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
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(Address of Principal Executive Offices) (Zip Code)
J. Kevin Gao, Esq.
Credit Suisse Asset Management Income Fund, Inc.
466 Lexington Avenue
New York, New York 10017-3140
Registrant's telephone number, including area code:(212) 875-3500
Date of fiscal year end: December 31
Date of reporting period: January 1, 2005 to June 30, 2005
ITEM 1. REPORTS TO STOCKHOLDERS.
[CREDIT SUISSE ASSET MANAGEMENT LOGO]
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
SEMIANNUAL REPORT
JUNE 30, 2005
(UNAUDITED)
This page intentionally left blank
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
SEMIANNUAL INVESTMENT ADVISER'S REPORT
June 30, 2005 (unaudited)
July 22, 2005
Dear Shareholder:
PERFORMANCE SUMMARY
1/1/05 - 6/30/05
FUND & BENCHMARK PERFORMANCE
Total Return (based on NAV)(1) -1.48%
Total Return (based on market value) 8.01%
Citigroup High-Yield Market Index(2) (CHYMI) 0.81%
MARKET OVERVIEW: SOME TURBULENCE ON THE FLIGHT TO QUALITY
Bond markets fluctuated in the first six months of 2005, at some points
dominated by weaker growth and benign inflation and at others by the resumed
recovery and increasing price pressures. The Federal Reserve, meanwhile,
continued its measured pace of 25 basis point rate hikes at each of its four
meetings, taking the fed funds target rate from 2.25% in January to 3.25% at the
end of June.
In the first half of 2005 the economy appeared to slow somewhat from last
year's pace, although GDP continued to grow at or above trend. Corporate profits
also declined modestly relative to the prior six months as various headwinds
emerged, including volatile oil prices, which broke the $60 a barrel barrier in
June. Inflation, meanwhile, appeared to trend upwards, due primarily to slower
productivity gains and increasing unit labor costs.
We believe the most important development in the credit markets this year was
the downgrades of General Motors (GM) and Ford to junk, which caused spreads to
widen further from their recent near-historic lows. Simply put, the prospect of
having to absorb fallen angels of this magnitude (together the two companies
possess nearly $90 billion in index-eligible debt), increased perceived risk
among high yield investors. The Fitch downgrade of GM to junk later in May
confirmed the company's status among the high yield benchmarks and removed some
of the uncertainty in the market. The smooth transition of the automaker's debt
into high yield accounts, in our opinion, was a key factor buoying second
quarter results.
STRATEGIC REVIEW: SELECTIVE SECTOR POSITIONING
Several factors accounted for the Fund's underperformance of its benchmark
during the fiscal half-year:
- The major detractors during the period were the Fund's overweight to the
Building Products sector, an underweight to the Energy sector and issue
selection in the Health Care Facilities sector.
1
- Our underweight to the Automobile Manufacturing sector during the period
(we sold all of our holdings in GM earlier in January) contributed
positively to the Fund's performance during the period.
- Our overweight to the Wireless sector added significantly to the Fund's
performance during the period.
- An underweight to the Airlines sector and issue selection in both the
Airlines and Cable sectors also benefited the Fund.
OUTLOOK: WATCHING THE CREDIT CYCLE TURN
We believe that corporations might continue the recent trend and favor
stockholders over bondholders in the next phase of the corporate finance cycle.
Since 2002, corporations had been paying down debt, buying back less stock, and
accumulating more cash on the balance sheet. This contributed to the improved
credit ratings of many firms and a lower default ratio in the credit market
generally. However, this trend essentially peaked and began to turn in late
2004. As a result we believe we have reached the apex of the credit improvement
cycle. We anticipate that firms will continue to pursue more shareholder
friendly actions, using the accumulated cash to increase dividends, inventories,
capital spending and stock buybacks. Over time this could lead to a gradual
deterioration in the credit environment, placing greater importance on
fundamental research and security selection.
Sincerely yours,
/s/ Michael E. Kenneally
Michael E. Kenneally, Chairman of the Board*
/s/ Dennis Schaney
Dennis Schaney, Chief Investment Officer**
HIGH YIELD BONDS ARE LOWER-QUALITY BONDS THAT ARE 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
2
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.
* Michael E. Kenneally is the Chairman of the Board. Mr. Kenneally is also
Director and/or Chairman of other investment companies advised by CSAM.
** Dennis Schaney is a Managing Director of CSAM and global head of fixed
income. He has served in these capacities since 2003. He is primarily
responsible for the management of the Fund's assets. From 1998 until 2003, he
was head of leveraged finance, co-head of credit research and a member of the
firm's investment strategy group at Blackrock Financial Management. Prior to his
tenure at Blackrock, Mr. Schaney spent nine years at Merrill Lynch, where he was
a Managing Director in the Global Fixed Income Research and Economics
Department. Mr. Schaney also is Chief Investment Officer of Credit Suisse High
Yield Bond Fund (NYSE: DHY)
----------
(1) Based on NAV and assuming reinvestment of dividends of $0.25 per share.
(2) The Citigroup High-Yield Market Index is a broad-based, unmanaged index of
high yield securities that is compiled by Citigroup Global Markets Inc. It
does not reflect the impact of taxes. Investors cannot invest directly in
an index.
3
TOP TEN HOLDINGS
(% of net assets as of 6/30/05)
1. Cablevision Systems, Corp., Series B, Global Senior Notes
8.00%, 04/15/12 1.4%
2. Georgia-Pacific Corp., Global Company Guaranteed Notes
9.375%, 02/01/13 1.2%
3. Qwest Corporation, Rule 144A, Senior Notes 7.875%, 09/01/11 1.0%
4. General Motors Acceptance Corp., Global Notes 6.75%, 12/01/14 1.0%
5. Newark Group, Inc., Global Senior Subordinated Notes
9.75%, 03/15/14 1.0%
6. Rural Cellular Corp., Global Senior Subordinated Notes
9.75%, 01/15/10 0.9%
7. Hard Rock Hotel, Inc., Global Notes 8.875%, 06/01/13 0.9%
8. Levi Strauss & Co., Global Senior Notes 9.75%, 01/15/15 0.7%
9. JSG Funding plc, Rule 144A, Senior Subordinated Notes
7.75%, 04/01/15 0.7%
10. Williams Companies, Inc., Notes 8.125%, 03/15/12 0.6%
CREDIT QUALITY BREAKDOWN
(% of total investments as of 6/30/05)
S&P RATINGS
BBB 0.7%
BB 15.0
B 53.7
CCC 21.9
CC 0.8
N/R 3.1
-----
Subtotal 95.2
Time Deposit 3.3
Equities and Other 1.5
-----
Total 100.0%
=====
4
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
SCHEDULE OF INVESTMENTS
June 30, 2005 (unaudited)
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
DOMESTIC SECURITIES (90.0%)
CORPORATE OBLIGATIONS (88.5%)
AEROSPACE (0.6%)
$ 300 BE Aerospace, Inc., Series B, Senior
Subordinated Notes (B-, Caa2) 03/01/08 8.000 $ 301,500
650 L-3 Communication Corp., Global Senior
Subordinated Notes (Callable 1/15/10 @
$102.94) (BB+, Ba3) 01/15/15 5.875 633,750
250 Sequa Corp., Senior Notes (BB-, B1) 08/01/09 9.000 276,875
--------------
1,212,125
--------------
AIRLINES (0.5%)
900 American Airlines, Inc., Series 01-2, Pass Thru
Certificates (B, B1) 10/01/06 7.800 855,852
155 Continental Airlines, Inc., Series 991C, Pass Thru
Certificates (BB-, B2) 08/02/09 6.954 125,393
--------------
981,245
--------------
AUTOMOBILE MANUFACTURING/VEHICLE PARTS (3.1%)
750 Accuride Corp., Global Company Guaranteed
Notes (Callable 2/01/10 @ $104.25) (B-, Caa1) 02/01/15 8.500 736,875
800 American Tire Distributors, Inc., Rule 144A,
Senior Notes (Callable 4/01/09 @ $105.38)++ (CCC+, Caa2) 04/01/13 10.750 768,000
400 Autocam Corp., Global Senior Subordinated
Notes (Callable 6/15/09 @ $105.44) (B-, Caa2) 06/15/14 10.875 260,000
775 Cambridge Industries, Inc., Senior Subordinated
Notes^ (NR, NR) 07/15/07 10.250 7,746
600 Cooper-Standard Automotive, Inc., Global
Company Guaranteed Notes (Callable
12/15/09 @ $104.19) (B, B3) 12/15/14 8.375 477,000
500 Cummins, Inc., Global Senior Notes (Callable
12/01/06 @ $104.75) (BB+, Ba2) 12/01/10 9.500 552,500
800 Dura Operating Corp., Series D, Company
Guaranteed Notes (Callable 5/01/06 @ $101.50) (CCC+, Caa1) 05/01/09 9.000 560,000
1,250 Goodyear Tire & Rubber Co., Rule 144A, Senior
Notes (Callable 7/01/10 @ $104.50)++ (B-, B3) 07/01/15 9.000 1,234,375
365 Holley Performance Products, Inc., Series B,
Company Guaranteed Notes (Callable
9/15/05 @ $102.04) (CCC-, Caa3) 09/15/07 12.250 276,487
500 J.B. Poindexter & Co., Inc., Global Company
Guaranteed Notes (Callable 3/15/09 @ $104.38) (B-, B1) 03/15/14 8.750 457,500
800 Metaldyne Corp., Global Company Guaranteed
Notes (Callable 6/15/07 @ $105.50) (CCC+, Caa2) 06/15/12 11.000 522,000
400 Stanadyne Corp., Global Senior Subordinated
Notes (Callable 8/15/09 @ $105.00) (B-, Caa1) 08/15/14 10.000 380,000
350 Tenneco Automotive, Inc., Global Company
Guaranteed Notes (Callable 11/15/09 @ $104.31) (B-, B3) 11/15/14 8.625 353,500
--------------
6,585,983
--------------
See Accompanying Notes to Financial Statements.
5
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
DOMESTIC SECURITIES
CORPORATE OBLIGATIONS
BROADBAND (0.4%)
$ 750 Level 3 Communications, Inc., Senior Notes
(Callable 5/01/06 @ $100.00) (CC, Ca) 05/01/08 9.125 $ 626,250
250 Level 3 Financing, Inc., Rule 144A, Senior Notes
(Callable 10/15/07 @ $105.38)++ (CC, Caa1) 10/15/11 10.750 211,875
250 Primus Telecommunications Group, Inc., Global
Senior Notes (Callable 1/15/09 @ $104.00) (CCC-, Caa1) 01/15/14 8.000 133,125
--------------
971,250
--------------
BROADCAST/OUTDOOR (0.9%)
750 Emmis Communications Corp., Rule 144A, Senior
Notes (Callable 12/15/05 @ $100.00)++# (B-, B3) 06/15/12 9.314 766,875
250 Emmis Operating, Co., Global Senior
Subordinated Notes (Callable 5/15/08 @ $103.44) (B-, B2) 05/15/12 6.875 248,750
75 Interep National Radio Sales, Inc., Series B,
Company Guaranteed Notes (Callable 7/01/05 @
$101.67) (CC, Ca) 07/01/08 10.000 62,719
500 Paxson Communications Corp., Global Company
Guaranteed Notes (Callable 1/15/06 @ $106.13)+ (CCC-, Caa1) 01/15/09 0.000 470,000
450 Sinclair Broadcast Group, Inc., Global Company
Guaranteed Notes (Callable 12/15/06 @ $104.38) (B, B2) 12/15/11 8.750 474,750
--------------
2,023,094
--------------
BUILDING PRODUCTS (3.6%)
750 Associated Materials, Inc., Global Senior Discount
Notes (Callable 3/01/09 @ $105.63)+ (CCC+, Caa2) 03/01/14 0.000 480,000
300 Building Materials Corp. of America, Global
Secured Notes (Callable 8/01/09 @ $103.88) (B+, B2) 08/01/14 7.750 279,000
66 Building Materials Corp.of America, Series B,
Senior Notes (B+, B2) 07/15/05 7.750 65,835
750 Compression Polymers Holding Corp., Rule 144A,
Senior Notes (Callable 7/01/09 @ $105.25)++ (B-, B2) 07/01/13 10.500 750,000
700 Dayton Superior Corp., Company Guaranteed
Notes (Callable 6/15/07 @ $102.17) (CCC, Caa2) 06/15/09 13.000 619,500
250 Dayton Superior Corp., Global Secured Notes
(Callable 6/15/06 @ $105.63) (B-, B3) 09/15/08 10.750 261,250
750 Goodman Global Holdings Co., Inc., Rule 144A,
Senior Subordinated Notes (Callable 12/15/08 @
$103.94)++ (B-, Caa1) 12/15/12 7.875 697,500
400 Interface, Inc., Global Senior Subordinated Notes
(Callable 2/01/09 @ $104.75) (CCC, Caa3) 02/01/14 9.500 410,000
250 Norcraft Holdings L.P./Norcraft Capital, Global
Senior Discount Notes (Callable 9/01/08 @
$104.88)+ (B-, Caa1) 09/01/12 0.000 173,750
1,000 NTK Holdings, Inc., Rule 144A, Senior Discount
Notes (Callable 9/01/09 @ $105.38)+++ (CCC+, Caa2) 03/01/14 0.000 475,000
See Accompanying Notes to Financial Statements.
6
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
DOMESTIC SECURITIES
CORPORATE OBLIGATIONS
BUILDING PRODUCTS
$ 900 Ply Gem Industries, Inc., Global Senior
Subordinated Notes (Callable 2/15/08 @
$104.50) (B-, B3) 02/15/12 9.000 $ 765,000
500 RMCC Acquisition Co., Rule 144A, Senior
Subordinated Notes (Callable 11/01/08 @
$104.75)++ (CCC+, Caa1) 11/01/12 9.500 480,000
250 Texas Industries, Inc., Rule 144A, Senior Notes
(Callable 7/15/09 @ $103.63)++ (BB-, Ba3) 07/15/13 7.250 257,500
250 Texas Industries, Inc., Global Senior Notes
(Callable 6/15/07 @ $105.63) (BB-, B1) 06/15/11 10.250 290,937
800 THL Buildco (Nortek), Inc., Global Senior
Subordinated Notes (Callable 9/01/09 @
$104.25) (B-, Caa1) 09/01/14 8.500 748,000
1,300 Werner Holdings Co., Inc., Series A, Company
Guaranteed Notes (Callable 11/15/05 @ $100.00) (CCC-, Caa2) 11/15/07 10.000 906,750
--------------
7,660,022
--------------
CABLE (6.5%)
800 Adelphia Communications Corp., Series B,
Senior Notes< < (NR, NR) 02/01/08 8.375 700,000
750 Atlantic Broadband Finance LLC, Rule 144A,
Senior Subordinated Notes (Callable 1/15/09 @
$104.69)++ (CCC+, Caa1) 01/15/14 9.375 708,750
2,950 Cablevision Systems, Corp., Series B, Global
Senior Notes (B+, B3) 04/15/12 8.000 2,905,750
100 Charter Communication Holdings II, Senior
Notes (Callable 9/15/08 @ $105.13) (CCC-, Caa1) 09/15/10 10.250 101,625
500 Charter Communication Holdings LLC/Cap Corp.,
Global Senior Notes (Callable 11/15/08 @
$104.38) (CCC-, B3) 11/15/13 8.750 495,000
1,200 Charter Communications Holdings LLC, Senior
Discount Notes (Callable 4/01/06 @ $101.65) (CCC-, Ca) 04/01/11 9.920 882,000
950 Charter Communications Holdings LLC, Senior
Notes (Callable 1/15/06 @ $103.42) (CCC-, Ca) 01/15/10 10.250 710,125
1,500 Charter Communications Holdings LLC, Senior
Notes (Callable 4/01/06 @ $101.44) (CCC-, Ca) 04/01/09 8.625 1,121,250
150 CSC Holdings, Inc., Series B, Debentures (BB-, B1) 08/15/09 8.125 152,625
200 CSC Holdings, Inc., Series B, Senior Notes (BB-, B1) 04/01/11 7.625 198,500
3,014 DIVA Systems Corp., Series B, Senior Discount
Notes (Callable 3/01/06 @ $100.00)^< < (NR, NR) 03/01/08 12.625 7,536
500 Frontiervision Holdings LP, Series B, Senior
Discount Notes (Callable 9/15/05 @ $100.00)< < (NR, NR) 09/15/07 11.875 690,000
250 Insight Communications Co., Inc., Senior
Discount Notes (Callable 2/15/06 @ $106.13)+ (CCC+, Caa2) 02/15/11 0.000 251,875
See Accompanying Notes to Financial Statements.
7
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
DOMESTIC SECURITIES
CORPORATE OBLIGATIONS
CABLE
$ 500 Insight Midwest/Insight Capital, Global Senior
Notes (Callable 11/01/05 @ $105.25) (B, B2) 11/01/10 10.500 $ 532,500
900 Insight Midwest/Insight Capital, Senior Notes
(Callable 10/01/05 @ $103.25) (B, B2) 10/01/09 9.750 934,875
450 Jones Intercable, Inc., Senior Notes (BBB+, Baa2) 04/15/08 7.625 485,245
850 Mediacom LLC/Capital Corp., Senior Notes
(Callable 2/15/06 @ $103.94) (B, B3) 02/15/11 7.875 822,375
892 Olympus Communications, L.P./Olympus Capital
Corp., Series B, Senior Notes< < (NR, NR) 11/15/06 10.625 1,237,650
953 Renaissance Media Group LLC, Company
Guaranteed Notes (Callable 4/15/06 @ $100.00) (CCC+, B3) 04/15/08 10.000 948,235
--------------
13,885,916
--------------
CAPITAL GOODS (1.0%)
250 Blount, Inc., Senior Subordinated Notes (Callable
8/01/08 @ $104.44) (B-, Caa1) 08/01/12 8.875 268,750
350 Case New Holland, Inc., Rule 144A, Senior
Notes (Callable 8/01/07 @ $104.63)++ (BB-, Ba3) 08/01/11 9.250 369,250
760 JII Holdings LLC, Global Secured Notes
(Callable 1/01/06 @ $103.25)^ (CCC-, Caa2) 04/01/07 13.000 669,152
950 Motors & Gears, Inc., Series D, Senior Notes (CCC, Caa1) 11/15/06 10.750 869,250
--------------
2,176,402
--------------
CHEMICALS (3.6%)
160 BCP Crystal Holdings Corp., Global Senior
Subordinated Notes (Callable 6/15/09 @
$104.81) (B-, B3) 06/15/14 9.625 180,000
100 Crompton Corp., Global Senior Notes (Callable
8/01/08 @ $104.94) (B, B1) 08/01/12 9.875 116,500
455 Crystal U.S. Holdings/U.S. Sub 3, Series B,
Global Senior Discount Notes (Callable
10/01/09 @ $105.25)+ (B-, Caa2) 10/01/14 0.000 318,500
750 Del Laboratories, Inc., Global Company
Guaranteed Notes (Callable 2/01/08 @ $104.00) (CCC+, B3) 02/01/12 8.000 648,750
350 Equistar Chemicals LP/Equistar Funding Corp.,
Global Senior Notes (Callable 5/01/07 @
$105.31) (BB-, B2) 05/01/11 10.625 388,062
325 Huntsman Co. LLC, Global Company Guaranteed
Notes (Callable 10/15/07 @ $105.81) (BB-, B1) 10/15/10 11.625 382,281
264 Huntsman LLC, Global Company Guaranteed
Notes (Callable 7/15/08 @ $105.75) (B, B2) 07/15/12 11.500 310,860
350 IMC Global, Inc., Global Senior Notes (Callable
8/01/08 @ $105.44) (BB, Ba3) 08/01/13 10.875 412,125
250 ISP Chemco, Inc., Series B, Global Company
Guaranteed Notes (Callable 7/01/06 @ $105.13) (BB-, B1) 07/01/11 10.250 273,750
See Accompanying Notes to Financial Statements.
8
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
DOMESTIC SECURITIES
CORPORATE OBLIGATIONS
CHEMICALS
$ 600 KI Holdings, Inc., Global Senior Discount Notes
(Callable 11/15/09 @ $104.94)+ (B-, Caa2) 11/15/14 0.000 $ 351,000
350 KRATON Polymers LLC/KRATON Polymers
Capital Corp., Rule 144A, Senior Subordinated
Notes (Callable 1/15/09 @ $104.06)++ (B-, Caa1) 01/15/14 8.125 338,625
1,100 Lyondell Chemical Co., Global Company
Guaranteed Notes (Callable 6/01/08 @ $105.25) (BB-, B1) 06/01/13 10.500 1,263,625
100 Lyondell Chemical Co., Series B, Secured Notes
(Callable 5/01/06 @ $100.00) (BB-, B1) 05/01/07 9.875 103,000
500 Millennium America, Inc., Global Company
Guaranteed Notes (BB-, B1) 06/15/08 9.250 543,750
650 Nalco Co., Global Senior Notes (Callable
11/15/07 @ $103.88) (B-, B2) 11/15/11 7.750 695,500
400 Polyone Corp., Global Company Guaranteed
Notes (Callable 5/15/07 @ $105.31) (B+, B3) 05/15/10 10.625 425,000
500 Resolution Performance Products LLC, Global
Senior Subordinated Notes (Callable 11/15/05 @
$106.75) (B-, Caa2) 11/15/10 13.500 540,000
357 Terra Capital, Inc., Global Secured Notes
(Callable 6/01/07 @ $105.75) (B-, B2) 06/01/10 11.500 408,765
--------------
7,700,093
--------------
COMPETITIVE LOCAL EXCHANGE CARRIER (0.6%)
871 Madison River Capital/Madison River Finance,
Senior Notes (Callable 3/01/06 @ $104.42) (CCC+, B3) 03/01/10 13.250 922,730
400 Time Warner Telecom, LLC, Senior Notes
(Callable 7/15/05 @ $101.63) (CCC+, B3) 07/15/08 9.750 404,000
--------------
1,326,730
--------------
CONSUMER PRODUCTS/TOBACCO (3.2%)
400 AAC Group Holding Corp., Rule 144A, Senior
Discount Notes (Callable 10/01/08 @
$105.13)+++ (B-, Caa1) 10/01/12 0.000 272,000
650 ALH Finance LLC, Global Senior Subordinated
Notes (Callable 1/15/09 @ $104.25) (CCC+, B3) 01/15/13 8.500 598,812
400 Ames True Temper, Inc., Global Company
Guaranteed Notes (Callable 1/15/07 @ $103.00)# (B-, B3) 01/15/12 7.141 382,000
600 Ames True Temper, Inc., Global Senior
Subordinated Notes (Callable 7/15/08 @
$105.00) (CCC, Caa1) 07/15/12 10.000 486,000
300 Amscan Holdings, Inc., Global Senior
Subordinated Notes (Callable 5/01/09 @
$104.38) (B-, B3) 05/01/14 8.750 276,000
2,000 Diamond Brands Operating Corp., Company
Guaranteed Notes (Callable 4/15/06 @ $100.00)^< < (NR, NR) 04/15/08 10.125 20,000
See Accompanying Notes to Financial Statements.
9
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
DOMESTIC SECURITIES
CORPORATE OBLIGATIONS
CONSUMER PRODUCTS/TOBACCO
$ 700 General Binding Corp., Company Guaranteed
Notes (Callable 6/01/06 @ $100.00) (B-, Caa1) 06/01/08 9.375 $ 710,500
400 Interactive Health LLC, Rule 144A, Senior Notes
(Callable 4/01/08 @ $105.69)++ (B-, B3) 04/01/11 7.250 358,000
1,100 Johnsondiversey Holdings, Inc., Global Discount
Notes (Callable 5/15/07 @ $105.34)+ (B, Caa1) 05/15/13 0.000 787,875
250 Leiner Health Products, Inc., Global Senior
Subordinated Notes (Callable 6/01/08 @
$105.50) (CCC+, B3) 06/01/12 11.000 246,250
650 PCA LLC/PCA Finance Corp., Global Senior Notes (CCC, Caa2) 08/01/09 11.875 458,250
500 Playtex Products, Inc., Global Company
Guaranteed Notes (Callable 6/01/06 @ $104.69) (CCC+, Caa2) 06/01/11 9.375 528,750
299 Prestige Brands, Inc., Global Senior Subordinated
Notes (Callable 4/15/08 @ $104.63) (B-, B3) 04/15/12 9.250 311,707
115 Remington Arms Co., Inc., Global Company
Guaranteed Notes (Callable 2/01/07 @ $105.25) (CCC+, B3) 02/01/11 10.500 109,250
500 Revlon, Inc., Debentures (CCC, Caa2) 04/01/11 9.500 475,000
250 Samsonite Corp., Global Senior Subordinated
Notes (Callable 6/01/08 @ $104.44) (B-, B3) 06/01/11 8.875 266,875
400 Sealy Mattress Co., Global Senior Subordinated
Notes (Callable 6/15/09 @ $104.13) (B-, B2) 06/15/14 8.250 406,000
250 Spectrum Brands, Inc., Global Senior Subordinated
Notes (Callable 10/01/08 @ $104.25) (B-, B3) 10/01/13 8.500 262,500
--------------
6,955,769
--------------
CONTAINERS (2.2%)
600 Berry Plastics Corp., Global Company
Guaranteed Notes (Callable 7/15/07 @ $105.38) (B-, B3) 07/15/12 10.750 657,750
350 Graham Packaging Co., Rule 144A, Subordinated
Notes (Callable 10/15/09 @ $104.94)++ (CCC+, Caa2) 10/15/14 9.875 352,625
250 Graphic Packaging International Corp., Global
Senior Subordinated Notes (Callable 8/15/08 @
$104.75) (B-, B3) 08/15/13 9.500 253,125
300 Intertape Polymer U.S., Inc., Global Senior
Subordinated Notes (Callable 8/01/09 @
$104.25) (B-, B3) 08/01/14 8.500 298,790
680 Owens-Brockway Glass, Global Company
Guaranteed Notes (Callable 5/15/08 @ $104.13) (B, B2) 05/15/13 8.250 742,050
850 Owens-Illinois, Inc., Senior Notes (B, B3) 05/15/07 8.100 888,250
850 Pliant Corp., Company Guaranteed Notes
(Callable 6/01/06 @ $104.33) (CCC+, Caa2) 06/01/10 13.000 692,750
500 Solo Cup Co., Global Senior Subordinated Notes
(Callable 2/15/09 @ $104.25) (B-, B3) 02/15/14 8.500 470,000
250 U.S. Can Corp., Global Company Guaranteed
Notes (Callable 7/15/07 @ $105.44) (CCC+, Caa2) 07/15/10 10.87 261,875
--------------
4,617,215
--------------
See Accompanying Notes to Financial Statements.
10
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
DOMESTIC SECURITIES
CORPORATE OBLIGATIONS
DIVERSIFIED TELECOMMUNICATIONS (2.3%)
$ 800 Cincinnati Bell, Inc., Global Senior Subordinated
Notes (Callable 1/15/09 @ $104.19) (B-, B3) 01/15/14 8.375 $ 824,000
950 Hawaiian Telecom Communications, Inc.,
Rule 144A, Senior Notes (Callable 5/01/09 @
$104.88)++ (B-, B3) 05/01/13 9.750 1,011,750
250 Qwest Corp., Rule 144A, Senior Notes++ (BB-, Ba3) 09/01/11 7.875 261,875
2,164 Qwest Corporation, Rule 144A, Senior Notes++ (BB-, Ba3) 06/15/15 7.625 2,220,805
500 Qwest Services Corp., Global Secured Notes
(Callable 12/15/06 @ $106.75) (B, Caa1) 12/15/10 13.500 580,000
--------------
4,898,430
--------------
ENERGY - OTHER (2.8%)
250 Dynegy Holdings, Inc., Rule 144A, Secured
(Callable 7/15/08 @ $105.06)++ (B-, B3) 07/15/13 10.125 283,750
250 Dynegy Holdings, Inc., Senior Notes (CCC+, Caa2) 04/01/11 6.875 248,125
600 Dynegy Holdings, Inc., Senior Notes (CCC+, Caa2) 02/15/12 8.750 657,000
250 El Paso CGP Co., Notes (B-, Caa1) 02/01/09 6.375 247,500
250 El Paso CGP Co., Notes (B-, Caa1) 06/15/10 7.750 256,250
500 El Paso Corp., Senior Notes (B-, Caa1) 05/15/11 7.000 501,250
250 El Paso Natural Gas, Series A, Global Senior
Notes (Callable 8/01/07 @ $103.81) (B, B1) 08/01/10 7.625 265,175
750 El Paso Production Holding Co., Global Company
Guaranteed Notes (Callable 6/01/08 @ $103.88) (B, B3) 06/01/13 7.750 804,375
200 Giant Industries, Inc., Company Guaranteed
Notes (Callable 5/15/09 @ $104.00) (B-, B3) 05/15/14 8.000 209,500
162 Giant Industries, Inc., Global Company
Guaranteed Notes (Callable 5/15/07 @ $105.50) (B-, B3) 05/15/12 11.000 184,275
250 Inergy LP/Inergy Finance Corp., Rule 144A,
Senior Notes (Callable 12/15/09 @ $103.44)++ (B-, B1) 12/15/14 6.875 244,375
500 Reliant Energy, Inc., Global Secured Notes
(Callable 7/15/08 @ $104.75) (B+, B1) 07/15/13 9.500 557,500
250 Reliant Energy, Inc., Secured Notes (Callable
12/15/09 @ $103.38) (B+, B1) 12/15/14 6.750 245,625
1,175 Williams Companies, Inc., Global Notes (B+, B1) 03/15/12 8.125 1,339,500
--------------
6,044,200
--------------
ENVIRONMENTAL SERVICES (0.6%)
1,000 Allied Waste North America, Inc., Series B, Global
Senior Notes (Callable 4/15/09 @ $103.69) (B+, Caa1) 04/15/14 7.375 930,000
400 Waste Services, Inc., Rule 144A, Senior
Subordinated Notes (Callable 4/15/09 @
$104.75)++ (CCC, Ca) 04/15/14 9.500 398,000
--------------
1,328,000
--------------
See Accompanying Notes to Financial Statements.
11
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
DOMESTIC SECURITIES
CORPORATE OBLIGATIONS
FINANCE (1.5%)
$ 250 E*Trade Financial Corp., Global Senior Notes
(Callable 6/15/08 @ $104.00) (B+, B3) 06/15/11 8.000 $ 264,375
2,375 General Motors Acceptance Corp., Global Notes (BB, Baa2) 12/01/14 6.750 2,128,404
750 IAAI Finance Corp., Rule 144A, Senior Unsecured
Notes (Callable 4/01/09 @ $105.50)++ (CCC+, Caa1) 04/01/13 11.000 775,969
--------------
3,168,748
--------------
FOOD PROCESSORS/BEVERAGE/BOTTLING (1.9%)
100 Agrilink Foods, Inc., Company Guaranteed
Notes (Callable 11/01/05 @ $101.98) (B-, B3) 11/01/08 11.875 103,875
500 Bear Creek Corp., Rule 144A, Senior Notes
(Callable 3/01/09 @ $104.50)++ (B-, B3) 03/01/13 9.000 490,000
471 Eagle Family Foods, Inc., Series B, Company
Guaranteed Notes (Callable 1/15/06 @ $100.00) (CCC, Caa2) 01/15/08 8.750 378,752
940 Land O'Lakes, Inc., Global Senior Notes
(Callable 11/15/06 @ $104.38) (B-, B3) 11/15/11 8.750 951,750
250 Le-Natures, Inc., Rule 144A, Senior Subordinated
Notes (Callable 6/15/08 @ $104.50)++ (CCC+, Caa1) 06/15/13 9.000 263,750
220 National Wine & Spirits, Inc., Company
Guaranteed Notes (Callable 1/15/06 @ $101.69) (CCC+, B3) 01/15/09 10.125 223,300
750 Pinnacle Foods Holding Corp., Global Senior
Subordinated Notes (Callable 12/01/08 @
$104.13) (B-, B3) 12/01/13 8.250 675,000
250 Swift & Co., Global Company Guaranteed Notes
(Callable 10/01/06 @ $105.06) (B+, B1) 10/01/09 10.125 273,750
300 Swift & Co., Global Senior Subordinated Notes
(Callable 10/01/06 @ $106.25) (B, B2) 01/01/10 12.500 336,375
400 Wornick Co., Global Secured Notes (Callable
7/15/08 @ $105.44) (B+, B2) 07/15/11 10.875 408,000
--------------
4,104,552
--------------
GAMING (6.8%)
750 155 E Tropicana LLC, Rule 144A, Secured Notes
(Callable 4/01/09 @ $104.38)++ (B-, B3) 04/01/12 8.750 733,125
920 Ameristar Casinos, Inc., Global Company
Guaranteed Notes (Callable 2/15/06 @ $105.38) (B+, B2) 02/15/09 10.750 1,005,100
250 Argosy Gaming Co., Global Senior Subordinated
Notes (Callable 1/15/09 @ $103.50) (B+, B1) 01/15/14 7.000 276,562
250 Argosy Gaming Co., Senior Subordinated Notes
(Callable 9/01/06 @ $104.50) (B+, Ba3) 09/01/11 9.000 274,687
250 Aztar Corp., Global Senior Subordinated Notes
(Callable 6/15/09 @ $103.94) (B+, Ba3) 06/15/14 7.875 265,625
600 Boyd Gaming Corp., Global Company Guaranteed
Notes (Callable 8/01/05 @ $104.63) (BB-, Ba3) 08/01/09 9.250 633,000
See Accompanying Notes to Financial Statements.
12
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
DOMESTIC SECURITIES
CORPORATE OBLIGATIONS
GAMING
$ 245 Caesars Entertainment, Inc., Series A, Senior
Subordinated Notes (BB+, Ba1) 12/15/05 7.875 $ 249,287
500 Caesars Entertainment, Inc., Senior Subordinated
Notes (BB+, Ba1) 02/15/07 9.375 538,750
1,000 Chukchansi Economic Development Authority,
Rule 144A, Senior Notes (Callable 10/01/06 @
$113.00)++ (NR, NR) 06/15/09 14.500 1,227,500
500 Circus & Eldorado/Silver Legacy Capital Corp.,
Global First Mortgage Notes (Callable
3/01/07 @ $105.06) (B+, B1) 03/01/12 10.125 525,625
1,740 Hard Rock Hotel, Inc., Global Notes (Callable
6/01/08 @ $104.44) (B, B3) 06/01/13 8.875 1,900,950
300 Herbst Gaming, Inc., Global Senior Subordinated
Notes (Callable 6/01/08 @ $104.06) (B-, B3) 06/01/12 8.125 319,500
400 Inn of the Mountain Gods, Global Senior Notes
(Callable 11/15/07 @ $106.00) (B, B3) 11/15/10 12.000 464,000
400 Isle of Capri Casinos, Inc., Global Senior
Subordinated Notes (Callable 3/01/09 @
$103.50) (B, B2) 03/01/14 7.000 404,000
750 Majestic Star Casino LLC, Company Guaranteed
Notes (Callable 10/15/07 @ $104.75) (B, B2) 10/15/10 9.500 776,250
950 MGM Mirage, Inc., Company Guaranteed Notes (BB, Ba2) 10/01/09 6.000 959,500
400 MGM Mirage, Inc., Company Guaranteed Notes (BB, Ba2) 09/15/10 8.500 446,000
450 MGM Mirage, Inc., Company Guaranteed Notes (B+, Ba3) 02/01/11 8.375 492,750
250 MGM Mirage, Inc., Global Senior Notes (BB, Ba2) 09/01/12 6.750 258,750
350 Mohegan Tribal Gaming Authority, Global Senior
Subordinated Notes (Callable 8/15/09 @
$103.56) (B+, Ba3) 08/15/14 7.125 368,375
500 OED Corp., Global Company Guaranteed Notes
(Callable 4/15/08 @ $104.38) (B, B2) 04/15/12 8.750 468,750
400 River Rock Entertainment Authority, Senior Notes
(Callable 11/01/07 @ $104.88) (B+, B2) 11/01/11 9.750 441,000
550 Riviera Holdings Corp., Global Company
Guaranteed Notes (Callable 6/15/06 @ $105.50) (B, B2) 06/15/10 11.000 610,500
150 Seneca Gaming, Corp., Global Senior Notes
(Callable 5/01/08 @ $103.63) (BB-, B2) 05/01/12 7.250 155,812
500 Station Casinos, Inc., Global Senior Subordinated
Notes (Callable 3/01/09 @ $102.58) (B+, B1) 03/01/16 6.875 516,250
219 Waterford Gaming LLC, Rule 144A, Senior
Notes (Callable 9/15/08 @ $103.55)++ (B+, B1) 09/15/12 8.625 232,687
267 Windsor Woodmont Black Hawk, Series B, First
Mortgage Notes^< < (NR, NR) 03/15/05 13.000 20,510
--------------
14,564,845
--------------
See Accompanying Notes to Financial Statements.
13
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
DOMESTIC SECURITIES
CORPORATE OBLIGATIONS
HEALTHCARE FACILITIES/SUPPLIES (2.6%)
$ 250 Ardent Health Services LLC, Global Senior
Subordinated Notes (Callable 8/15/08 @
$105.00) (B-, B3) 08/15/13 10.000 $ 303,438
250 Beverly Enterprises, Inc., Global Senior
Subordinated Notes (Callable 6/15/09 @
$103.94) (B, B2) 06/15/14 7.875 273,750
800 CDRV Investors, Inc., Rule 144A, Senior Discount
Notes (Callable 1/01/10 @ $104.81)+++ (B-, Caa2) 01/01/15 0.000 396,000
250 Concentra Operating Corp., Global Company
Guaranteed Notes (Callable 8/15/07 @ $104.75) (B-, B3) 08/15/10 9.500 267,500
200 DaVita, Inc., Rule 144A, Senior Subordinated Notes
(Callable 3/15/10 @ $103.63)++ (B, B3) 03/15/15 7.250 206,500
500 Fisher Scientific International, Rule 144A, Senior
Subordinated Notes (Callable 7/01/10 @
$103.06)++ (BB+, Ba3) 07/01/15 6.125 503,125
600 Medquest, Inc., Series B, Company Guaranteed
Notes (Callable 8/15/07 @ $105.94) (CCC+, Caa1) 08/15/12 11.875 570,000
1,000 MQ Associates, Inc., Global Senior Discount
Notes (Callable 8/15/08 @ $109.00)+ (CCC+, Caa2) 08/15/12 0.000 525,000
500 Tenet Healthcare Corp., Rule 144A, Senior Notes++ (B, B3) 02/01/15 9.250 521,250
250 Tenet Healthcare Corp., Global Senior Notes (B, B3) 07/01/14 9.875 269,375
1,000 Triad Hospitals, Inc., Senior Subordinated Notes
(Callable 11/15/08 @ $103.50) (B, B3) 11/15/13 7.000 1,032,500
250 Universal Hospital Services, Inc., Global Senior
Notes (Callable 11/01/07 @ $105.06) (B-, B3) 11/01/11 10.125 253,750
350 Vanguard Health Holding II, Global Senior
Subordinated Notes (Callable 10/01/09 @
$104.50) (CCC+, Caa1) 10/01/14 9.000 379,750
--------------
5,501,938
--------------
HOME BUILDERS (1.6%)
650 D.R. Horton, Inc., Bonds (BB+, Ba1) 01/15/16 5.625 646,686
1,050 KB HOME, Senior Notes (BB+, Ba1) 06/15/15 6.250 1,072,757
500 Tech Olympic USA, Inc., Global Company
Guaranteed Notes (Callable 7/01/06 @ $104.50) (B+, Ba3) 07/01/10 9.000 516,875
275 Toll Corp., Senior Subordinated Notes (Callable
12/01/06 @ $104.13) (BB+, Ba2) 12/01/11 8.250 297,000
650 WCI Communities, Inc., Global Company
Guaranteed Notes (Callable 2/15/06 @ $105.31) (B+, Ba3) 02/15/11 10.625 705,250
250 William Lyon Homes, Inc., Global Senior Notes
(Callable 2/15/09 @ $103.75) (B, B2) 02/15/14 7.500 236,250
--------------
3,474,818
--------------
See Accompanying Notes to Financial Statements.
14
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
DOMESTIC SECURITIES
CORPORATE OBLIGATIONS
INDUSTRIAL (1.9%)
$ 400 Altra Industrial Motion, Rule 144A, Secured
Notes (Callable 12/01/08 @ $104.50)++ (CCC+, B3) 12/01/11 9.000 $ 380,000
250 Amsted Industries, Inc., Rule 144A, Senior Notes
(Callable 10/15/07 @ $105.13)++ (B, B3) 10/15/11 10.250 271,250
600 Amtrol, Inc., Senior Subordinated Notes (CCC-, Caa3) 12/31/06 10.625 516,000
1,000 Coleman Cable, Inc., Rule 144A, Senior Notes
(Callable 10/01/08 @ $104.94)++ (B-, B3) 10/01/12 9.875 895,000
650 Hawk Corp., Global Senior Notes (Callable
11/01/09 @ $104.38) (B, B2) 11/01/14 8.750 663,000
400 Polypore, Inc., Global Senior Subordinated Notes
(Callable 5/15/08 @ $104.38) (CCC+, Caa1) 05/15/12 8.750 376,000
450 True Temper Sports, Inc., Global Company
Guaranteed Notes (Callable 3/15/08 @ $104.19) (CCC+, Caa1) 09/15/11 8.375 419,625
550 Wolverine Tube, Inc., Global Company
Guaranteed Notes (Callable 4/01/06 @ $105.25) (B, B3) 04/01/09 10.500 525,250
--------------
4,046,125
--------------
LEISURE (2.3%)
700 Affinity Group Holding, Global Senior
Subordinated Notes (Callable 2/15/08 @ $105.44) (B-, Caa1) 02/15/12 10.875 680,750
250 Affinity Group, Inc., Global Senior Subordinated
Notes (Callable 2/15/08 @ $104.50) (B-, B3) 02/15/12 9.000 254,375
400 AMC Entertainment, Inc., Global Senior
Subordinated Notes (Callable 3/01/09 @
$104.00) (CCC+, B3) 03/01/14 8.000 357,000
650 AMC Entertainment, Inc., Global Senior
Subordinated Notes (Callable 2/01/07 @
$104.94) (CCC+, B3) 02/01/12 9.875 648,375
350 Bally Total Fitness Holding Corp., Global Senior
Notes (Callable 7/15/07 @ $105.25) (CCC, Caa1) 07/15/11 10.500 351,313
500 Bluegreen Corp., Series B, Company Guaranteed
Notes (Callable 4/01/06 @ $100.00) (B-, B3) 04/01/08 10.500 508,750
400 Cinemark, Inc., Global Senior Discount Notes
(Callable 3/15/09 @ $104.88)+ (B-, Caa1) 03/15/14 0.000 268,000
250 Cinemark USA, Inc., Global Senior Subordinated
Notes (Callable 2/01/08 @ $104.50) (B-, B3) 02/01/13 9.000 258,125
400 Six Flags, Inc., Global Senior Notes (Callable
4/15/08 @ $104.88) (CCC, Caa1) 04/15/13 9.750 379,500
700 Six Flags, Inc., Global Senior Notes (Callable
6/01/09 @ $104.81) (CCC, Caa1) 06/01/14 9.625 658,000
500 Worldspan LP/WS Financing Corp., Rule 144A,
Senior Notes (Callable 8/15/06 @ $103.00)++# (CCC+, B3) 02/15/11 9.024 457,500
--------------
4,821,688
--------------
See Accompanying Notes to Financial Statements.
15
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
DOMESTIC SECURITIES
CORPORATE OBLIGATIONS
LODGING (0.8%)
$ 250 CapStar Hotel Co., Senior Subordinated Notes
(Callable 8/15/05 @ $100.00) (CCC, Caa1) 08/15/07 8.750 $ 252,500
425 Felcor Lodging LP, Global Company Guaranteed
Notes (B-, B1) 06/01/11 8.500 466,438
600 Host Marriot LP, Series I, Global Company
Guaranteed Notes (B+, Ba3) 01/15/07 9.500 639,000
300 John Q. Hammons Hotel LP, Series B, Global First
Mortgage Notes (Callable 5/15/07 @ $104.44) (B, B2) 05/15/12 8.875 328,500
--------------
1,686,438
--------------
METALS & MINING (2.9%)
250 AK Steel Corp., Company Guaranteed Notes
(Callable 2/15/06 @ $101.31) (B+, B1) 02/15/09 7.875 228,750
300 AK Steel Corp., Global Company Guaranteed
Notes (Callable 6/15/07 @ $103.88) (B+, B1) 06/15/12 7.750 255,000
900 Aleris International, Inc., Global Company
Guaranteed Notes (Callable 11/15/09 @ $104.50) (B-, NR) 11/15/14 9.000 936,000
500 Alpha Natural Resources, Rule 144A, Company
Guaranteed Notes (Callable 6/01/08 @ $105.00)++ (CCC+, B3) 06/01/12 10.000 555,000
500 American Rock Salt Co. LLC, Global Secured Notes
(Callable 3/15/09 @ $104.75) (B-, B3) 03/15/14 9.500 510,000
500 Earle M. Jorgensen Co., Global Secured Notes
(Callable 6/01/07 @ $104.88) (B, B2) 06/01/12 9.750 542,500
750 Edgen Acquisition Corp., Rule 144A, Secured
Notes (Callable 2/01/08 @ $104.94)++ (B-, B3) 02/01/11 9.875 731,250
1,000 International Steel Group, Inc., Global Senior
Notes (BB, Ba2) 04/15/14 6.500 965,000
259 Ispat Inland ULC, Global Secured Notes (Callable
4/01/09 @ $104.88) (B, Ba1) 04/01/14 9.750 303,030
571 Metallurg, Inc., Series B, Company Guaranteed
Notes (Callable 12/01/05 @ $100.00) (NR, Caa2) 12/01/07 11.000 533,418
250 WCI Steel, Inc., Series B, Senior Notes< < (NR, NR) 12/01/04 10.000 161,250
500 Wise Metals Group LLC, Global Secured Notes
(Callable 5/15/08 @ $105.13) (B-, B2) 05/15/12 10.250 422,500
--------------
6,143,698
--------------
OIL EQUIPMENT (0.1%)
158 Parker Drilling Co., Series B, Company
Guaranteed Notes (Callable 11/15/05 @ $103.38) (B-, B2) 11/15/09 10.125 166,098
--------------
PAPER & FOREST PRODUCTS (3.4%)
550 Appleton Papers, Inc., Series B, Global Senior
Subordinated Notes (Callable 6/15/09 @
$104.88) (B+, B3) 06/15/14 9.750 533,500
434 Caraustar Industries, Inc., Global Company
Guaranteed Notes (Callable 4/01/06 @ $105.25) (B-, Caa1) 04/01/11 9.875 439,425
See Accompanying Notes to Financial Statements.
16
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
DOMESTIC SECURITIES
CORPORATE OBLIGATIONS
PAPER & FOREST PRODUCTS
$ 850 Cellu Tissue Holdings, Inc., Global Secured
Notes (Callable 3/15/07 @ $107.31) (B, B2) 03/15/10 9.750 $ 867,000
2,350 Georgia-Pacific Corp., Global Company
Guaranteed Notes (Callable 2/01/08 @ $104.69) (BB+, Ba2) 02/01/13 9.375 2,670,188
2,250 Newark Group, Inc., Global Senior Subordinated
Notes (Callable 3/15/09 @ $104.88) (B-, Caa1) 03/15/14 9.750 2,081,250
600 Stone Container Corp., Global Senior Notes
(Callable 7/01/07 @ $104.19) (B, B2) 07/01/12 8.375 609,000
--------------
7,200,363
--------------
PUBLISHING (1.8%)
500 CBD Media Holdings LLC/CBD Holdings Finance,
Inc., Global Senior Notes (Callable 7/15/08 @
$104.63) (CCC+, Caa2) 07/15/12 9.250 508,750
200 Dex Media East LLC, Global Company
Guaranteed Notes (Callable 11/15/07 @ $106.06) (B, B2) 11/15/12 12.125 240,500
500 Dex Media, Inc., Global Discount Notes (Callable
11/15/08 @ $104.25)+ (B, B3) 11/15/13 0.000 405,000
250 Dex Media, Inc., Global Notes (Callable
11/15/08 @ $104.00) (B, B3) 11/15/13 8.000 266,875
750 Haights Cross Operating Co., Global Company
Guaranteed Notes (Callable 8/15/08 @ $105.88) (CCC, Caa1) 08/15/11 11.750 823,125
250 Houghton Mifflin Co., Global Senior Discount
Notes (Callable 10/15/08 @ $105.75)+ (B-, Caa2) 10/15/13 0.000 183,750
300 Houghton Mifflin Co., Global Senior Notes
(Callable 2/01/07 @ $104.13) (B-, B3) 02/01/11 8.250 312,750
2,000 Premier Graphics, Inc., Company Guaranteed
Notes^< < (NR, NR) 12/01/05 11.500 0
350 PRIMEDIA, Inc., Global Senior Notes (Callable
5/15/08 @ $104.00) (B, B2) 05/15/13 8.000 352,625
300 Sheridan Group Acquisition Corp., Global
Secured Notes (Callable 8/15/07 @ $105.13) (B, B1) 08/15/11 10.250 313,125
500 WDAC Subsidiary Corp., Rule 144A, Senior
Notes++ (Callable 12/01/09 @ $104.19) (CCC+, Caa1) 12/01/14 8.375 480,000
--------------
3,886,500
--------------
RESTAURANTS (2.3%)
500 Buffets, Inc., Global Senior Subordinated Notes
(Callable 7/15/06 @ $105.63) (CCC, B3) 07/15/10 11.250 506,250
150 Carrols Corp., Rule 144A, Senior Subordinated
Notes (Callable 1/15/09 @ $104.50)++ (CCC-, B3) 01/15/13 9.000 152,625
500 Denny's Corp./Denny's Holdings Corp., Global
Company Guaranteed Notes (Callable
10/01/08 @ $105.00) (CCC+, Caa1) 10/01/12 10.000 522,500
250 El Pollo Loco, Inc., Global Secured Notes
(Callable 12/15/06 @ $104.63) (B-, B2) 12/15/09 9.250 262,500
See Accompanying Notes to Financial Statements.
17
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
DOMESTIC SECURITIES
CORPORATE OBLIGATIONS
RESTAURANTS
$ 750 Friendly Ice Cream Corp., Global Senior Notes
(Callable 6/15/08 @ $104.19) (B-, B2) 06/15/12 8.375 $ 731,250
100 Landry's Restaurants, Inc., Series B, Global
Company Guaranteed Notes (Callable
12/15/09 @ $103.75) (B, B2) 12/15/14 7.500 97,250
400 O'Charley's, Inc., Global Senior Subordinated
Notes (Callable 11/01/08 @ $104.50) (B, Ba3) 11/01/13 9.000 434,000
1,202 Romacorp, Inc., Senior Notes^ (NR, NR) 12/31/08 10.500 601,200
850 Sbarro, Inc., Company Guaranteed Notes
(Callable 9/15/05 @ $103.67) (CCC+, Caa2) 09/15/09 11.000 858,500
850 Uno Restaurant Corp., Rule 144A, Senior Notes
(Callable 2/15/08 @ $110.00)++ (B-, B3) 02/15/11 10.000 811,750
--------------
4,977,825
--------------
RETAIL - FOOD & DRUG (1.7%)
575 Delhaize America, Inc., Global Company
Guaranteed Notes (BB+, Ba1) 04/15/11 8.125 647,786
500 Duane Reade, Inc., Global Senior Subordinated
Notes (Callable 8/01/08 @ $104.88) (CCC, Caa1) 08/01/11 9.750 410,000
500 General Nutrition Center, Rule 144A, Senior Notes
(Callable 1/15/08 @ $104.31)++ (B-, B3) 01/15/11 8.625 465,000
400 Great Atlantic & Pacific Tea Company, Inc., Senior
Notes (Callable 12/15/06 @ $104.56) (B-, Caa1) 12/15/11 9.125 423,000
700 Gregg Appliances, Inc., Rule 144A, Senior Notes
(Callable 2/01/09 @ $104.50)++ (B, B2) 02/01/13 9.000 659,750
750 Rite Aid Corp., Global Company Guaranteed
Notes (Callable 1/15/10 @ $103.75) (B+, B2) 01/15/15 7.500 723,750
200 Roundy's, Inc., Series B, Global Company
Guaranteed Notes (Callable 6/15/07 @ $104.44) (B, B2) 06/15/12 8.875 207,000
150 Stater Brothers Holdings, Inc., Global Senior
Notes (Callable 6/15/08 @ $104.06) (BB-, B1) 06/15/12 8.125 147,000
--------------
3,683,286
--------------
RETAIL STORES (2.3%)
400 Asbury Automotive Group Co., Global Company
Guaranteed Notes (Callable 6/15/07 @ $104.50) (B, B3) 06/15/12 9.000 411,000
500 CSK Auto, Inc., Global Company Guaranteed
Notes (Callable 1/15/09 @ $103.50) (B-, B2) 01/15/14 7.000 480,000
500 Finlay Fine Jewelry Corp., Global Senior Notes
(Callable 6/01/08 @ $104.19) (B+, B2) 06/01/12 8.375 453,125
703 Flooring America, Inc., Series B, Company
Guaranteed Notes (Callable
10/15/05 @ $100.00)^< < (NR, NR) 10/15/07 9.250 0
1,000 JC Penney Co., Inc., Series MTNA, Notes (BB+, Ba1) 10/15/15 6.875 1,080,000
400 Michaels Stores, Inc., Senior Notes (Callable
7/01/05 @ $104.63) (BB+, Ba1) 07/01/09 9.250 418,500
See Accompanying Notes to Financial Statements.
18
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
DOMESTIC SECURITIES
CORPORATE OBLIGATIONS
RETAIL STORES
$ 400 NBTY, Inc., Series B, Senior Subordinated Notes
(Callable 9/15/05 @ $100.00) (B+, B1) 09/15/07 8.625 $ 400,000
500 Nebraska Book Co., Inc., Global Senior
Subordinated Notes (Callable 3/15/08 @
$104.31) (CCC+, Caa1) 03/15/12 8.625 468,750
250 Perry Ellis International, Inc., Series B, Global
Senior Subordinated Notes (Callable 9/15/08 @
$104.44) (B-, B3) 09/15/13 8.875 251,250
750 Southern States Cooperative, Inc., Rule 144A,
Senior Notes (Callable 11/01/07 @ $108.00)++ (B, B3) 11/01/10 10.500 750,000
250 United Auto Group, Inc., Global Company
Guaranteed Notes (Callable 3/15/07 @ $104.81) (B, B3) 03/15/12 9.625 268,125
--------------
4,980,750
--------------
SATELLITE (0.5%)
750 Echostar DBS Corp., Global Company Guaranteed Notes (BB-, Ba3) 10/01/14 6.625 744,375
195 Echostar DBS Corp., Global Senior Notes
(Callable 1/15/06 @ $104.56) (BB-, Ba3) 01/15/09 9.125 208,163
195 PanAmSat Corp., Global Company Guaranteed
Notes (Callable 8/15/09 @ $104.50) (B+, B1) 08/15/14 9.000 213,769
--------------
1,166,307
--------------
SECONDARY OIL & GAS PRODUCERS (2.8%)
250 Belden & Blake Corp., Global Secured Notes
(Callable 7/15/08 @ $104.38) (CCC+, B3) 07/15/12 8.750 246,250
950 Chesapeake Energy Corp., Rule 144A, Senior
Notes (Callable 7/15/10 @ $103.13)++ (BB-, Ba3) 01/15/18 6.250 940,500
602 Chesapeake Energy Corp., Senior Notes (Callable
1/15/09 @ $103.44) (BB-, Ba3) 01/15/16 6.875 630,595
900 Forest Oil Corp., Global Senior Notes (BB-, Ba3) 06/15/08 8.000 958,500
1,000 Kerr-McGee Corp., Company Guaranteed Notes (BBB, Ba3) 09/15/11 6.875 1,072,768
300 Plains E&P Co., Series B, Global Senior
Subordinated Notes (Callable 7/01/07 @
$104.38) (B+, Ba3) 07/01/12 8.750 327,000
550 Pogo Producing Co., Series B, Senior
Subordinated Notes (Callable 4/15/06 @
$104.13) (BB, Ba3) 04/15/11 8.250 587,125
200 Range Resources Corp., Global Company
Guaranteed Notes (Callable 3/15/10 @ $103.19) (B, B3) 03/15/15 6.375 200,000
700 Vintage Petroleum, Inc., Global Senior
Subordinated Notes (Callable 5/15/06 @
$103.94) (B, B1) 05/15/11 7.875 742,000
300 Whiting Petroleum Corp., Global Senior
Subordinated Notes (Callable 5/01/08 @
$103.63) (B-, B2) 05/01/12 7.250 309,000
--------------
6,013,738
--------------
See Accompanying Notes to Financial Statements.
19
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
DOMESTIC SECURITIES
CORPORATE OBLIGATIONS
SERVICES (5.3%)
$ 400 Advanstar Communications, Inc., Global Secured
Notes (Callable 2/15/08 @ $105.38) (B-, B3) 08/15/10 10.750 $ 439,000
400 Allied Security Escrow Corp., Global Senior
Subordinated Notes (Callable 7/15/08 @
$105.69) (B-, Caa1) 07/15/11 11.375 392,000
750 American Color Graphics, Inc., Global Notes
(Callable 6/15/07 @ $105.00) (CCC, Caa3) 06/15/10 10.000 543,750
600 Brand Services, Inc., Global Company Guaranteed
Notes (Callable 10/15/07 @ $106.00) (CCC+, B3) 10/15/12 12.000 645,000
250 Buhrmann U.S., Inc., Global Senior Subordinated
Notes (Callable 7/01/09 @ $104.13) (B, B2) 07/01/14 8.250 251,250
750 Di Finance/Dyncorp International, Rule 144A,
Senior Subordinated Notes (Callable
2/15/09 @ $104.75)++ (B-, Caa1) 02/15/13 9.500 701,250
500 Diamond Triumph Auto Glass, Inc., Company
Guaranteed Notes (B-, Caa1) 04/01/08 9.250 363,750
800 Hydrochem Industrial Services, Inc., Rule 144A,
Senior Subordinated Notes (Callable
2/15/09 @ $104.63)++ (B-, Caa1) 02/15/13 9.250 744,000
815 Integrated Electrical Services, Inc., Series C,
Global Company Guaranteed Notes (Callable
2/01/06 @ $101.56) (CCC, Caa2) 02/01/09 9.375 613,288
400 Integrated Alarm Services Group, Inc., Rule 144A,
Secured Notes (Callable 11/15/08 @ $106.00)++ (B-, B3) 11/15/11 12.000 398,000
250 Iron Mountain, Inc., Company Guaranteed
Notes (Callable 1/15/08 @ $103.88) (B, Caa1) 01/15/15 7.750 252,500
350 Iron Mountain, Inc., Company Guaranteed
Notes (Callable 4/01/06 @ $104.31) (B, Caa1) 04/01/13 8.625 364,000
500 Knowledge Learning Corp., Inc., Rule 144A,
Company Guaranteed Notes (Callable 2/01/10 @
$103.88)++ (B-, B3) 02/01/15 7.750 480,000
815 La Petite Academy, Inc., Series B, Company
Guaranteed Notes (Callable 5/15/06 @ $100.00) (CC, Ca) 05/15/08 10.000 775,778
250 Language Line Holdings, Inc., Global Senior
Subordinated Notes (Callable 6/15/08 @
$105.56) (CCC+, Caa1) 06/15/12 11.125 226,250
300 Morton's Restaurant Group, Inc., Global Secured
Notes (Callable 7/01/07 @ $105.30) (B-, B2) 07/01/10 7.500 295,500
300 Muzak LLC/Muzak Finance Corp., Global Senior
Notes (Callable 2/15/06 @ $105.00) (CCC-, Caa2) 02/15/09 10.000 250,500
400 National Beef Packing Co. LLC, Global Senior
Notes (Callable 8/01/07 @ $105.25) (B-, B3) 08/01/11 10.500 383,000
250 Quintiles Transnational Corp., Global Senior
Subordinated Notes (Callable 10/01/08 @
$105.00) (B, B3) 10/01/13 10.000 275,000
500 Rent-Way, Inc., Global Secured Notes (B-, B3) 06/15/10 11.875 562,500
See Accompanying Notes to Financial Statements.
20
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
DOMESTIC SECURITIES
CORPORATE OBLIGATIONS
SERVICES
$ 1,000 United Rentals North America, Inc., Global Senior
Subordinated Notes (Callable 2/15/09 @
$103.50) (B+, B2) 02/15/14 7.000 $ 957,500
800 United Rentals North America, Inc., Global Senior
Subordinated Notes (Callable 11/15/08 @
$103.88) (B+,B2) 11/15/13 7.750 790,000
811 WMG Holdings Corp., Rule 144A, Senior Discount
Notes (Callable 12/15/09 @ $104.75)+++ (B-, Caa2) 12/15/14 0.000 563,645
--------------
11,267,461
--------------
TECHNOLOGY (3.0%)
500 Activant Solutions, Inc., Rule 144A, Senior Notes
(Callable 4/01/06 @ $102.00)++# (B+, B2) 04/01/10 9.090 520,000
500 Advanced Micro Devices, Inc., Global Senior
Notes (Callable 11/01/08 @ $103.88) (B-, B3) 11/01/12 7.750 495,000
900 Amkor Technology, Inc., Global Senior Notes
(Callable 5/15/08 @ $103.88) (B-, B3) 05/15/13 7.750 778,500
350 Amkor Technology, Inc., Global Senior Notes (B-, B3) 02/15/08 9.250 337,750
159 Ampex Corp., Secured Notes^ (NR, NR) 08/15/08 12.000 159,481
250 Itron, Inc., Global Senior Subordinated Notes
(Callable 5/15/08 @ $103.88) (B, B2) 05/15/12 7.750 257,500
340 Lucent Technologies, Inc., Notes (B, B1) 07/15/06 7.250 349,350
550 Lucent Technologies, Inc., Notes (B, B1) 11/15/08 5.500 548,625
800 Sanmina-SCI Corp., Global Company Guaranteed
Notes (Callable 1/15/07 @ $105.19) (BB-, Ba2) 01/15/10 10.375 892,000
250 Unisys Corp., Senior Notes (Callable 4/01/06 @
$100.00) (BB+, Ba1) 04/01/08 7.875 253,750
600 Viasystems, Inc., Global Senior Subordinated
Notes (Callable 1/15/08 @ $105.25) (CCC+, Caa2) 01/15/11 10.500 555,000
1,200 Xerox Corp., Senior Notes (Callable 6/15/08 @
$103.81) (BB-, Ba2) 06/15/13 7.625 1,297,500
--------------
6,444,456
--------------
TEXTILE/APPAREL/SHOE MANUFACTURING (1.9%)
250 BGF Industries, Inc., Series B, Senior
Subordinated Notes (Callable 1/15/06 @ $101.75) (CCC-, Ca) 01/15/09 10.250 251,875
1,600 Levi Strauss & Co., Global Senior Notes (Callable
1/15/10 @ $104.88) (B-, Caa3) 01/15/15 9.750 1,596,000
735 Levi Strauss & Co., Global Senior Notes (Callable
12/15/07 @ $106.13) (B-, Caa3) 12/15/12 12.250 806,663
500 Levi Strauss & Co., Global Senior Unsubordinated
Notes (Callable 4/01/07 @ $102.00)# (B-, Caa3) 04/01/12 8.254 475,000
400 Phillips Van-Heusen Corp., Global Senior Notes
(Callable 2/15/08 @ $103.63) (BB, B2) 02/15/11 7.250 422,000
500 Propex Fabrics, Inc., Global Company Guaranteed
Notes (Callable 12/01/08 @ $105.00) (B-, Caa1) 12/01/12 10.000 477,500
--------------
4,029,038
--------------
See Accompanying Notes to Financial Statements.
21
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
DOMESTIC SECURITIES
CORPORATE OBLIGATIONS
TOWER (0.5%)
$ 600 American Tower Corp., Global Senior Notes
(Callable 10/15/08 @ $103.56) (CCC+, B3) 10/15/12 7.125 $ 631,500
587 SBA Telecommunications Corp., Global Senior
Discount Notes (Callable 12/15/07 @ $104.88)+ (CCC-, B3) 12/15/11 0.000 542,975
--------------
1,174,475
--------------
TRANSPORTATION (0.3%)
300 H-Lines Finance Holding Corp., Rule 144A, Senior
Discount Notes (Callable 4/01/08 @ $105.50)+++ (CCC+, Caa2) 04/01/13 0.000 232,500
300 Horizon Lines LLC, Rule 144A, Notes (Callable
11/01/08 @ $104.50)++ (B-, B3) 11/01/12 9.000 315,750
--------------
548,250
--------------
UTILITIES (3.9%)
37 AES Corp., Senior Notes (B-, B1) 06/01/09 9.500 40,880
400 AES Corp., Senior Notes (B-, B1) 03/01/14 7.750 436,000
400 Allegheny Energy Supply Company LLC, Global
Notes (B, Ba3) 03/15/11 7.800 438,000
400 Aquila, Inc., Senior Notes (B-, B2) 11/15/09 7.625 415,000
950 Calpine Corp., Rule 144A, Secured Notes
(Callable 7/15/07 @ $104.25)++ (B-, NR) 07/15/10 8.500 736,250
850 Calpine Corp., Rule 144A, Secured Notes
(Callable 7/15/08 @ $104.38)++ (B-, NR) 07/15/13 8.750 633,250
747 Calpine Corp., Senior Notes (CCC, Caa3) 04/15/09 7.750 511,695
800 Calpine Generating Co., Global Secured Notes
(Callable 4/01/08 @ $103.50)# (B-, B3) 04/01/10 7.756 788,000
250 CMS Energy Corp., Global Senior Notes (B+, B1) 08/01/10 7.750 270,000
700 CMS Energy Corp., Senior Notes (B+, B1) 01/15/09 7.500 740,250
500 Edison Mission Energy, Global Senior Notes (B+, B1) 08/15/08 10.000 563,750
500 Edison Mission Energy, Senior Notes (B+, B1) 06/15/09 7.730 529,375
400 Midwest Generation LLC, Global Secured
Notes (Callable 5/01/09 @ $104.38) (B, B1) 05/01/34 8.750 450,000
500 Mirant Americas Generation LLC, Senior Notes< < (NR, NR) 05/01/06 7.625 581,250
300 Mirant Corp., Rule 144A, Senior Notes++< < (NR, NR) 07/15/04 7.400 244,500
300 NRG Energy, Inc., Rule 144A, Secured Notes
(Callable 12/15/08 @ $104.00)++ (B, B1) 12/15/13 8.000 318,000
300 Sierra Pacific Resources, Global Senior Notes
(Callable 3/15/09 @ $104.31) (B-, B2) 03/15/14 8.625 333,000
350 TNP Enterprises, Inc., Series B, Senior
Subordinated Notes (Callable 4/01/06 @
$105.13) (NR, Ba3) 04/01/10 10.250 369,425
--------------
8,398,625
--------------
WIRELESS (4.5%)
50 Airgate PCS, Inc., Rule 144A, Secured Notes
(Callable 1/01/06 @ $104.69)++ (CCC, Caa1) 09/01/09 9.375 52,750
See Accompanying Notes to Financial Statements.
22
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
DOMESTIC SECURITIES
CORPORATE OBLIGATIONS
WIRELESS
$ 350 Airgate PCS, Inc., Secured Notes (Callable
1/01/06 @ $104.69) (CCC, Caa1) 09/01/09 9.375 $ 369,250
700 American Cellular Corp., Series B, Global Senior
Notes (Callable 8/01/07 @ $105.00) (B-, Caa1) 08/01/11 10.000 714,000
400 Centennial Cellular Operating Co./Centennial
Communications Corp., Global Company
Guaranteed Notes (Callable 6/15/08 @ $105.06) (CCC, B3) 06/15/13 10.125 454,000
180 Dobson Cellular Systems, Rule 144A, Secured
Notes (Callable 11/01/08 @ $104.94)++ (CCC, B3) 11/01/12 9.875 190,800
600 Dobson Communications Corp., Global Senior
Notes (Callable 10/01/08 @ $104.44) (CCC, Ca) 10/01/13 8.875 552,000
750 GCI, Inc., Global Senior Notes (Callable
2/15/09 @ $103.63) (B+, B2) 02/15/14 7.250 723,750
350 Horizon PCS, Inc., Global Company Guaranteed
Notes (Callable 7/15/08 @ $105.69) (CCC, B3) 07/15/12 11.375 392,000
250 IPCS, Inc., Global Senior Notes (Callable
5/01/08 @ $105.75) (CCC, B3) 05/01/12 11.500 280,000
250 IWO Escrow Co., Rule 144A, Senior Discount
Notes++ (CCC-, Caa2) 01/15/15 0.000 165,000
550 Nextel Communications, Inc., Senior Notes
(Callable 8/01/08 @ $103.69) (BB, Ba3) 08/01/15 7.375 596,750
750 Nextel Partners, Inc., Global Senior Notes
(Callable 7/01/07 @ $104.06) (BB-, Ba3) 07/01/11 8.125 817,500
2,100 Rural Cellular Corp., Global Senior Subordinated
Notes (Callable 1/15/06 @ $104.88) (CCC, Caa2) 01/15/10 9.750 1,963,500
750 Triton PCS, Inc., Global Company Guaranteed
Notes (Callable 6/01/08 @ $104.25) (CCC-, Caa1) 06/01/13 8.500 695,625
400 U.S. Unwired, Inc., Series B, Global Secured
Notes (Callable 6/15/08 @ $105.00) (CCC-, Caa1) 06/15/12 10.000 447,000
500 Ubiquitel Operating Co., Global Senior Notes
(Callable 3/01/07 @ $107.41) (CCC, Caa1) 03/01/11 9.875 551,250
500 Western Wireless Corp., Global Senior Notes
(Callable 7/15/08 @ $104.63) (CCC, Caa1) 07/15/13 9.250 571,875
--------------
9,537,050
--------------
TOTAL CORPORATE OBLIGATIONS (Cost $194,077,243) 189,353,546
--------------
NUMBER OF
SHARES
------
COMMON STOCKS (1.3%)
BROADCAST/OUTDOOR (0.1%)
5,567 Equinix, Inc.* 241,274
--------------
CABLE (0.0%)
69,987 Digitalglobe, Inc.^* 69,987
--------------
See Accompanying Notes to Financial Statements.
23
NUMBER OF
SHARES VALUE
------ -----
DOMESTIC SECURITIES
COMMON STOCKS
CAPITAL GOODS (0.0%)
750 Motels of America, Inc.^* $ 75
--------------
CHEMICALS (0.1%)
4,893 Huntsman Corp.* 99,181
--------------
CONTAINERS (0.0%)
20,689 Continental AFA Dispensing Co.^* 37,240
--------------
FINANCE (0.0%)
16,893 Westfed Holdings, Inc., Class B (acquired 9/20/88, cost $510)^*^^ 169
--------------
FOOD PROCESSORS/BEVERAGE/BOTTLING (0.3%)
562 Crunch Equity Holdings LLC* 730,600
52,500 Specialty Foods Corp.^* 0
--------------
730,600
--------------
HEALTHCARE FACILITIES/SUPPLIES (0.0%)
232 Magellan Health Services, Inc.* 8,192
--------------
INDUSTRIAL (0.1%)
36,000 Doskocil Manufacturing Co.^* 126,000
--------------
RETAIL - FOOD & DRUG (0.0%)
2,030 Archibald Candy Corp.^* 0
--------------
RETAIL STORES (0.1%)
18,064 Safelite Glass Corp., Class B^* 90,320
1,219 Safelite Realty Corp.^* 12,190
--------------
102,510
--------------
SERVICES (0.1%)
21,306 Cenveo, Inc.* 161,073
10,652 Cenveo, Inc., Rule 144A++* 80,529
--------------
241,602
--------------
TEXTILE/APPAREL/SHOE MANUFACTURING (0.2%)
26,759 Safety Components International, Inc.* 356,564
--------------
WIRELESS (0.3%)
57,927 Dobson Communications Corp., Class A* 246,769
17,187 IWO Holdings, Inc.* 476,939
--------------
723,708
--------------
TOTAL COMMON STOCKS (Cost $3,289,832) 2,737,102
--------------
PREFERRED STOCKS (0.2%)
CABLE (0.0%)
7,500 Adelphia Communications Corp., 13% cumulative exchangeable Series B
(Callable 7/15/05 @ $103.25)* 5,625
--------------
FINANCE (0.0%)
57,005 Westfed Holdings, Inc., Class A (acquired 9/20/88-6/18/93, cost $4,815,472)^*^^ 14,251
--------------
See Accompanying Notes to Financial Statements.
24
NUMBER OF
SHARES VALUE
------ -----
DOMESTIC SECURITIES
PREFERRED STOCKS
RESTAURANTS (0.0%)
40,375 AmeriKing, Inc., 13% Cum. Exchangeable^*>> $ 0
--------------
WIRELESS (0.2%)
900 Dobson Communications Corp., Rule 144A, 6% Conv. Preferred
(Callable 8/19/05 @ $106.00)++* 107,146
426 Rural Cellular Corp., Series B, 11.375% Senior Exchangeable
(Callable 5/15/06 @ $1,014.22)*>> 392,985
--------------
500,131
--------------
TOTAL PREFERRED STOCKS (Cost $6,611,899) 520,007
--------------
WARRANTS (0.0%)
AEROSPACE (0.0%)
800 Decrane Aircraft Holdings, Rule 144A, strike price $35.65, expires 9/30/08^++* 8
--------------
BROADBAND (0.0%)
400 Colt Telecom Group Plc, strike price $75.63, expires 12/31/06* 7,337
--------------
BUILDING PRODUCTS (0.0%)
1,250 Dayton Superior Corp., Rule 144A, strike price $0.01, expires 6/15/09++* 169
--------------
CABLE (0.0%)
4 NTL, Inc., Series A, strike price $262.93, expires 1/13/11* 4
--------------
COMPETITIVE LOCAL EXCHANGE CARRIER (0.0%)
6,290 Loral Space & Communications, strike price $23.70, expires 12/27/06* 123
--------------
CONTAINERS (0.0%)
747 Pliant Corp., Rule 144A, strike price $0.01, expires 6/01/10^++* 93
--------------
GAMING (0.0%)
3,000 Mikohn Gaming Corp., strike price $7.70, expires 8/15/08* 180
100 Windsor Woodmont Black Hawk, strike price $0.01, expires 3/15/10^* 0
--------------
180
--------------
RETAIL STORES (0.0%)
44,271 Safelite Glass Corp., Class A, strike price $0.01, expires 9/29/06^* 443
29,514 Safelite Glass Corp., Class A, strike price $0.01, expires 9/29/07^* 295
--------------
738
--------------
SATELLITE (0.0%)
250 Pegasus Communications Corp., strike price $75.00, expires 1/01/07^* 0
--------------
TEXTILE/APPAREL/SHOE MANUFACTURING (0.0%)
117 AGY Holding Corp., strike price $0.01, expires 1/01/10^* 293
--------------
TOTAL WARRANTS (Cost $86,124) 8,945
--------------
TOTAL DOMESTIC SECURITIES (Cost $204,065,098) 192,619,600
--------------
See Accompanying Notes to Financial Statements.
25
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
FOREIGN SECURITIES (7.8%)
CORPORATE OBLIGATIONS (7.6%)
AUTOMOBILE MANUFACTURING/VEHICLE PARTS (0.1%)
$ 250 Bombardier Recreational Products, Inc., Global
Senior Subordinated Notes (Callable
12/15/08 @ $104.19) (Canada) (B-, B3) 12/15/13 8.375 $ 267,500
--------------
BROADBAND (0.5%)
400 Call Net Enterprises, Inc., Yankee Company
Guaranteed Notes (Callable 1/01/06 @ $105.31)
(Canada) (B-, B3) 12/31/08 10.625 433,000
750 Global Crossing Finance Plc, Rule 144A, Company
Guaranteed Notes (Callable 12/15/09 @ $105.38)
(United Kingdom)++ (B-, Caa1) 12/15/14 10.750 684,375
--------------
1,117,375
--------------
BROADCAST/OUTDOOR (0.1%)
150 Corus Entertainment, Inc., Global Senior
Subordinated Notes (Callable 3/01/07 @
$104.38) (Canada) (B+, B1) 03/01/12 8.750 161,625
--------------
BUILDING PRODUCTS (0.4%)
750 MAAX Corp., Global Senior Subordinated Notes
(Callable 6/15/08 @ $104.88) (Canada) (CCC+, B3) 06/15/12 9.750 665,625
500 MAAX Holdings, Inc., Rule 144A, Senior Discount
Notes (Callable 12/15/08 @ $105.63) (Canada)+++ (CCC+, Caa1) 12/15/12 0.000 220,000
--------------
885,625
--------------
CABLE (0.8%)
4,600 Australis Holdings Pty. Ltd., Yankee Senior
Discount Notes (Australia)^< < (NR, NR) 11/01/02 15.000 92,000
400 Kabel Deutschland GmbH, Rule 144A, Company
Guaranteed Notes (Callable 7/01/09 @ $105.31)
(Germany)++ (B-, B2) 07/01/14 10.625 436,000
600 Telenet Group Holding NV, Rule 144A, Discount
Notes (Callable 12/15/08 @ $105.75)(Belgium)+++ (CCC+, Caa2) 06/15/14 0.000 469,500
600 Videotron LTEE, Global Company Guaranteed
Notes (Callable 1/15/09 @ $103.44) (Canada) (B+, Ba3) 01/15/14 6.875 613,500
--------------
1,611,000
--------------
CHEMICALS (0.5%)
400 Acetex Corp., Global Senior Notes (Callable
8/01/05 @ $105.44) (Canada) (B+, B2) 08/01/09 10.875 422,000
600 Rhodia SA, Global Senior Notes (France) (CCC+, B3) 06/01/10 10.250 646,500
--------------
1,068,500
--------------
CONTAINERS (0.4%)
795 Crown Euro Holdings SA, Global Secured
Notes (Callable 3/01/07 @ $104.75) (France) (B+, B1) 03/01/11 9.500 882,450
--------------
See Accompanying Notes to Financial Statements.
26
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
FOREIGN SECURITIES
CORPORATE OBLIGATIONS
INDUSTRIAL (0.0%)
$ 924 International Utility Structures, Inc., Subordinated
Notes (Callable 2/01/06 @ $100.00)(Canada)^< < (NR, NR) 02/01/08 13.000 $ 0
800 International Utility Structures, Inc., Yankee
Senior Subordinated Notes (Callable 2/01/06 @
$100.00)(Canada)^< < (NR, NR) 02/01/08 10.750 80
--------------
80
--------------
LEISURE (0.5%)
250 Intrawest Corp., Global Senior Notes (Callable
10/15/08 @ $103.75) (Canada) (B+, B1) 10/15/13 7.500 257,812
750 NCL Corp., Rule 144A, Senior Notes (Callable
7/15/09 @ $105.31) (Bermuda)++ (B+, B2) 07/15/14 10.625 793,125
--------------
1,050,937
--------------
METALS & MINING (0.1%)
250 Gerdau Ameristeel Corp., Global Senior Notes
(Callable 7/15/07 @ $105.38) (Canada) (BB-, Ba3) 07/15/11 10.375 272,500
--------------
PAPER & FOREST PRODUCTS (1.8%)
250 Abitibi-Consolidated, Inc., Global Notes (Canada) (BB-, Ba3) 06/15/11 7.750 252,500
250 Ainsworth Lumber Co. Ltd., Global Company
Guaranteed Notes (Callable 10/01/08 @ 103.63)
(Canada) (B+, B2) 10/01/12 7.250 239,375
750 Fraser Papers, Inc., Rule 144A, Company
Guaranteed Notes (Callable 3/15/10 @ $104.38)
(Canada)++ (B, B3) 03/15/15 8.750 690,000
500 JSG Funding plc, Global Senior Notes (Callable
10/01/07 @ $104.81) (Ireland) (B-, B3) 10/01/12 9.625 502,500
1,750 JSG Funding plc, Rule 144A, Senior Subordinated
Notes (Callable 1/31/10 @ $103.88) (Ireland)++ (B-, Caa1) 04/01/15 7.750 1,443,750
250 Norkse Skog Ltd., Global Senior Notes (Callable
3/01/09 @ $103.69) (Canada) (BB-, Ba3) 03/01/14 7.375 246,250
250 Tembec Industries, Inc., Global Company
Guaranteed Notes (Canada) (B, B3) 03/15/12 7.750 185,000
400 Tembec Industries, Inc., Yankee Company
Guaranteed Notes (Canada) (B, B3) 06/30/09 8.625 328,000
--------------
3,887,375
--------------
RETAIL - FOOD & DRUG (0.3%)
700 Jean Coutu Group (PJC), Inc., Global Senior
Subordinated Notes (Callable 8/01/09 @
$104.25) (Canada) (B, B3) 08/01/14 8.500 694,750
--------------
SATELLITE (0.3%)
600 Intelsat Bermuda Ltd., Rule 144A, Senior Notes
(Callable 1/15/09 @ $104.13) (Bermuda)++ (B+, B2) 01/15/13 8.250 622,500
--------------
See Accompanying Notes to Financial Statements.
27
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ --------------
FOREIGN SECURITIES
CORPORATE OBLIGATIONS
TECHNOLOGY (0.7%)
$ 300 Celestica, Inc., Senior Subordinated Notes
(Callable 7/01/08 @ $103.94) (Canada) (B, B2) 07/01/11 7.875 $ 309,000
250 Danka Business Systems Plc, Global Senior Notes
(Callable 6/15/07 @ $105.50) (United Kingdom) (B, B3) 06/15/10 11.000 201,250
650 Flextronics International Ltd., Global Senior
Subordinated Notes (Callable 11/15/09 @
$103.13) (Singapore) (BB-, Ba2) 11/15/14 6.250 648,375
400 Magnachip Semiconductor, Rule 144A, Senior
Subordinated Notes (Callable 12/15/09 @
$104.00) (South Korea)++ (B-, B2) 12/15/14 8.000 386,000
--------------
1,544,625
--------------
TRANSPORTATION (0.8%)
700 Sea Containers Ltd., Series B, Yankee Senior
Notes (Bermuda) (B, B3) 02/15/08 7.875 686,000
750 Ship Finance International Ltd., Global Senior
Notes (Callable 12/15/08 @ $104.25) (Bermuda) (B, B1) 12/15/13 8.500 717,188
250 Stena AB, Global Senior Notes (Callable
12/01/09 @ $103.50) (Sweden) (BB-, Ba3) 12/01/16 7.000 233,125
150 Titan Petrochemicals Group Ltd., Rule 144A,
Company Guaranteed Notes (Bermuda)++ (B+, B1) 03/18/12 8.500 137,250
--------------
1,773,563
--------------
WIRELESS (0.3%)
500 Millicom International Cellular S.A., Global Senior
Notes (Callable 12/01/08 @ $105.00)
(Luxembourg) (B-, B3) 12/01/13 10.000 500,000
--------------
TOTAL CORPORATE OBLIGATIONS (Cost $20,020,253) 16,340,405
--------------
GOVERNMENT OBLIGATION (0.2%)
ARGENTINA (0.2%)
1,193 Republic of Argentina, Notes
(Cost $373,604) (B-, NR) 12/31/33 5.830 425,144
--------------
TOTAL FOREIGN SECURITIES (Cost $20,393,857) 16,765,549
--------------
TIME DEPOSIT (3.3%)
7,155 Bank of America (London) (Cost $7,155,000) 07/01/05 2.484 7,155,000
--------------
TOTAL INVESTMENTS (101.1%) (Cost $231,613,955) 216,540,149
--------------
LIABILITIES IN EXCESS OF OTHER ASSETS (-1.1%) (2,409,207)
--------------
NET ASSETS (100%)
Applicable to $49,895,588 issued and outstanding $.001 par value
shares (authorized 100,000,000 shares) $ 214,130,942
==============
See Accompanying Notes to Financial Statements.
28
+ Credit ratings given by the Standard & Poor's Division of The McGraw-Hill
Companies, Inc. ("S&P") and Moody's Investors Service, Inc. ("Moody's") are
unaudited.
++ Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At June 30, 2005,
these securities amounted to a value of $37,726,601 or 17.6% of net assets.
^ Not readily marketable security; security is valued at fair value as
determined in good faith by, or under the direction of, the Board of
Directors.
# 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,
2005.
+ Step Bond -- The interest rate stated is the rate as of June 30, 2005.
< < Security in default.
* Non-income producing security.
^^ Restricted as to private and public resale. Total cost of restricted
securities at June 30, 2005 aggregated $4,815,982. Total market value of
restricted securities owned at June 30, 2005 was $14,420 or 0.01% of net
assets.
>> Payment-in-kind preferred stock. Market value includes accrued dividend.
See Accompanying Notes to Financial Statements.
29
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2005 (unaudited)
ASSETS
Investments at value (Cost $231,613,955) (Note 2) $ 216,540,149
Foreign cash at value (Cost $10,781) 11,081
Receivable for investments sold 561,177
Interest receivable (Note 2) 4,581,228
Other assets 36,809
--------------
Total Assets 221,730,444
--------------
LIABILITIES
Due to custodian 11,975
Payable for investments purchased 5,458,699
Dividends payable 1,746,337
Investment advisory fees (Note 3) 267,070
Shareholders' reports 37,891
Audit fees 25,535
Administrative fees (Note 3) 21,610
Custodian fees 16,905
Legal fees 6,865
Shareholders' servicing fees 6,615
--------------
Total Liabilities 7,599,502
--------------
NET ASSETS $ 214,130,942
==============
NET ASSETS CONSIST OF
Capital shares at $.001 par value $ 49,896
Capital paid in excess of par value 390,430,990
Distributions in excess of net investment income (7,416,878)
Accumulated net realized loss on investments and foreign currency transactions (153,859,396)
Unrealized depreciation on investments and foreign currency translations (15,073,670)
--------------
NET ASSETS APPLICABLE TO 49,895,588 ISSUED AND OUTSTANDING SHARES
(AUTHORIZED 100,000,000 SHARES) $ 214,130,942
==============
NET ASSET VALUE PER SHARE $ 4.29
==============
MARKET PRICE PER SHARE $ 4.59
==============
See Accompanying Notes to Financial Statements.
30
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2005 (unaudited)
INVESTMENT INCOME
Interest (Net of foreign taxes withheld of $1,632) (Note 2) $ 9,562,621
------------
Total income 9,562,621
------------
EXPENSES
Investment advisory fees (Note 3) 541,274
Shareholders' reports 65,078
Custodian fees 58,949
Administrative fees (Note 3) 54,127
Directors' fees and expenses 34,160
Shareholders' servicing fees 31,901
Legal fees 25,918
Audit fees 22,945
NYSE fees 18,731
Miscellaneous 12,234
------------
Total expenses 865,317
------------
Net investment income 8,697,304
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS AND FOREIGN CURRENCY RELATED ITEMS
Net realized gain from investments 3,666,099
Net realized gain on foreign currency transactions (Note 2) 55,370
Net change in unrealized appreciation (depreciation) from investments (13,459,901)
Net change in unrealized appreciation (depreciation) from
foreign currency translations (Note 2) 22,578
------------
Net realized and unrealized loss from investments and foreign currency related items (9,715,854)
------------
Net decrease in net assets resulting from operations $ (1,018,550)
============
See Accompanying Notes to Financial Statements.
31
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
STATEMENT OF CHANGES IN NET ASSETS
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
----------------- -----------------
FROM OPERATIONS
Net investment income $ 8,697,304 $ 17,700,572
Net realized gain on investments and foreign currency transactions 3,721,469 3,019,985
Change in unrealized appreciation (depreciation) of investments
and foreign currency translations (13,437,323) 7,746,019
----------------- -----------------
Net increase (decrease) in net assets resulting from operations (1,018,550) 28,466,576
----------------- -----------------
FROM DISTRIBUTIONS
Net investment income (12,224,442) (20,005,808)
Return of capital -- (950,339)
----------------- -----------------
Total distributions (12,224,442) (20,956,147)
----------------- -----------------
Total increase (decrease) in net assets (13,242,992) 7,510,429
----------------- -----------------
NET ASSETS
Beginning of period 227,373,934 219,863,505
----------------- -----------------
End of period $ 214,130,942 $ 227,373,934
================= =================
Distributions in excess of net investment income $ 7,416,878 $ 3,889,740
================= =================
See Accompanying Notes to Financial Statements.
32
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CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
FINANCIAL HIGHLIGHTS
FOR THE
SIX MONTHS FOR THE YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, 2005 ---------------------------
(UNAUDITED) 2004 2003
------------- ----------- -----------
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period $ 4.56 $ 4.41 $ 3.91
------------- ----------- -----------
Offering costs -- -- --
------------- ----------- -----------
INVESTMENT ACTIVITIES
Net investment income 0.17 0.35 0.37
Net realized and unrealized gain (loss) on
investments and futures contracts (0.19) 0.22 0.58
------------- ----------- -----------
Total from investment activities (0.02) 0.57 0.95
------------- ----------- -----------
DISTRIBUTIONS
Net investment income (0.25) (0.40) (0.43)
Return of capital -- (0.02) (0.02)
------------- ----------- -----------
Total distributions (0.25) (0.42) (0.45)
------------- ----------- -----------
Decrease in net asset value due to shares
issued through rights offering -- -- --
------------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 4.29 $ 4.56 $ 4.41
============= =========== ===========
PER SHARE MARKET VALUE, END OF PERIOD $ 4.59 $ 4.45 $ 4.50
============= =========== ===========
TOTAL INVESTMENT RETURN
Net asset value(1) (1.48)% 13.55% 24.59%
Market value 8.01% 8.60% 28.11%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 214,131 $ 227,374 $ 219,864
Ratio of expenses to average net assets
including expense offsets 0.79%** 0.78% 0.78%
Ratio of expenses to average net assets 0.79%** 0.78% 0.78%
Ratio of net investment income to average
net assets 7.97%** 8.08% 8.83%
Portfolio turnover rate 27.7% 57.8% 77.8%
++ 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 shares outstanding 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 premium 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 periods 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.
34
FOR THE YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------------
2002 2001(2) 2000 1999 1998
----------- ----------- ----------- ----------- -----------
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period $ 4.74 $ 5.70 $ 7.34 $ 7.77 $ 8.44
----------- ----------- ----------- ----------- -----------
Offering costs -- -- -- -- --
----------- ----------- ----------- ----------- -----------
INVESTMENT ACTIVITIES
Net investment income 0.42 0.61+ 0.67 0.75 0.71
Net realized and unrealized gain (loss) on
investments and futures contracts (0.55) (0.85) (1.55) (0.46) (0.66)
----------- ----------- ----------- ----------- -----------
Total from investment activities (0.13) (0.24) (0.88) 0.29 0.05
----------- ----------- ----------- ----------- -----------
DISTRIBUTIONS
Net investment income (0.62) (0.72) (0.76) (0.72) (0.72)
Return of capital (0.08) -- -- -- --
----------- ----------- ----------- ----------- -----------
Total distributions (0.70) (0.72) (0.76) (0.72) (0.72)
----------- ----------- ----------- ----------- -----------
Decrease in net asset value due to shares
issued through rights offering -- -- -- -- --
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 3.91 $ 4.74 $ 5.70 $ 7.34 $ 7.77
=========== =========== =========== =========== ===========
PER SHARE MARKET VALUE, END OF PERIOD $ 3.88 $ 4.98 $ 5.56 $ 6.06 $ 7.56
=========== =========== =========== =========== ===========
TOTAL INVESTMENT RETURN
Net asset value(1) (5.26)% (6.04)% (12.37)% 4.50% 0.47%
Market value (10.52)% 1.15% 3.55% (11.32)% (5.68)%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 195,089 $ 236,652 $ 197,817 $ 254,857 $ 269,507
Ratio of expenses to average net assets
including expense offsets 0.79% 1.07% 0.78% 0.78% 0.81%
Ratio of expenses to average net assets 0.79% 1.07% 0.78% 0.78% 0.81%
Ratio of net investment income to average
net assets 9.93% 11.66% 10.10% 9.90% 8.59%
Portfolio turnover rate 61.1% 50.1%(3) 39.1% 43.5% 84.7%
FOR THE YEAR ENDED DECEMBER 31,
--------------------------------------------
1997 1996 1995++
----------- ----------- -----------
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period $ 8.12 $ 8.63 $ 8.05
----------- ----------- -----------
Offering costs -- (0.02) --
----------- ----------- -----------
INVESTMENT ACTIVITIES
Net investment income 0.69 0.75 0.86
Net realized and unrealized gain (loss) on
investments and futures contracts 0.39 0.18 0.48
----------- ----------- -----------
Total from investment activities 1.08 0.93 1.34
----------- ----------- -----------
DISTRIBUTIONS
Net investment income (0.76) (0.90) (0.76)
Return of capital -- -- --
----------- ----------- -----------
Total distributions (0.76) (0.90) (0.76)
----------- ----------- -----------
Decrease in net asset value due to shares
issued through rights offering -- (0.52) --
----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 8.44 $ 8.12 $ 8.63
=========== =========== ===========
PER SHARE MARKET VALUE, END OF PERIOD $ 8.75 $ 7.63 $ 7.88
=========== =========== ===========
TOTAL INVESTMENT RETURN
Net asset value(1) 14.03% 10.59%* 17.41%
Market value 25.90% 10.05%* 24.34%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 291,959 $ 280,634 $ 210,441
Ratio of expenses to average net assets
including expense offsets 0.84% 0.94% --
Ratio of expenses to average net assets 0.84% 0.95% 0.92%
Ratio of net investment income to average
net assets 8.47% 9.23% 10.22%
Portfolio turnover rate 97.7% 81.0% 44.1%
See Accompanying Notes to Financial Statements.
35
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
NOTES TO FINANCIAL STATEMENTS
June 30, 2005 (unaudited)
NOTE 1. ORGANIZATION
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, as amended. The
Fund's investment objective is to seek current income through investment
primarily in debt securities.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
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. (the
"Exchange") on each day the Exchange is open for business. Debt securities with
a remaining maturity greater then 60 days are valued 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. 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'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 or at the lowest asked quotation in the
case of a short sale of securities. Securities and other assets for which market
quotations are not readily available, or whose values have been materially
affected by events occurring before the Fund's Valuation Time but after the
close of the securities' primary markets, are valued at fair value as determined
in good faith by, or under the direction of, the Board of Directors under
procedures established by the Board of Directors.
The Fund may invest up to 10% of its total assets in securities which are not
readily marketable, including those which are restricted as to disposition under
securities law ("restricted securities") (excludes liquid 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 accrued as earned. The
Fund amortizes premium and accretes discount using the effective yield method.
Dividends are recorded on the ex-dividend date.
36
The cost of investments sold is determined by use of the specific
identification method for both financial reporting and income tax purposes.
Discount or premium on mortgage backed securities is 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 to make the requisite distributions to its shareholders
which will be sufficient to relieve it from federal income and excise taxes.
E) USE OF ESTIMATES -- The preparation of financial statements in conformity
with GAAP requires management to make estimates and assumptions that affect the
reported amounts of assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from these estimates.
F) 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
either a short-term variable rate time deposit issued by Brown Brothers Harriman
& Co. ("BBH&Co."), the Fund's custodian, Grand Cayman branch, or with other
highly rated banks. The short-term time deposit is a variable rate account
classified as a short-term investment.
G) 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.
37
H) 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, 2005, the Fund had no open
futures contracts.
I) 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, 2005,
the Fund had no open forward foreign currency contracts.
J) OTHER -- The Fund may invest in securities of foreign countries and
governments which involve certain risks in addition to those inherent in
domestic investments. Such risks generally include, among others, currency risks
(fluctuations in currency exchange rates), information risk (key information may
be inaccurate or unavailable) and political risk (expropriation, nationalization
or the imposition of capital or currency controls or punitive taxes). Other
risks of investing in foreign securities include liquidity and valuation risks.
The Fund may be subject to taxes imposed by countries in which it invests
with respect to its investments in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
38
capital gains realized on the sale of such investments. The Fund accrues such
taxes when the related income or gains are earned.
The Fund's investments in securities of issuers located in less developed
countries considered to be "emerging markets" involve risks in addition to those
generally applicable to foreign securities. Focusing on emerging (less
developed) markets involves higher levels of risk, including increased currency,
information, liquidity, market, political and valuation risks. Deficiencies in
regulatory oversight, market infrastructure, shareholder protections and company
laws could expose the Fund to operational and other risks as well. Some
countries may have restrictions that could limit the Fund's access to attractive
investment opportunities. Additionally, emerging markets often face serious
economic problems (such as high external debt, inflation and unemployment) that
could subject the portfolio to increased volatility or substantial declines in
value.
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 the Fund invests in junk bonds) the Fund's net asset value.
NOTE 3. 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 rate per annum,
computed weekly and paid quarterly, 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, 2005, investment advisory
fees earned were $541,274.
Credit Suisse Asset Management Limited (CSAM U.K.) ("CSAM U.K."), an
affiliate of CSAM, is sub-investment adviser to the Fund. CSAM U.K.'s
sub-investment advisory fees are paid by CSAM out of CSAM's net investment
advisory fee and are not paid by the Fund.
39
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, 2005, BBH&Co. earned administrative service
fees (including out-of-pocket expenses) of $54,127.
Merrill Corporation ("Merrill"), an affiliate of CSAM, has been engaged by
the Fund to provide certain financial printing services. For the six months
ended June 30, 2005, Merrill was paid $21,202 for its services to the Fund.
NOTE 4. LINE OF CREDIT
The Fund, together with other funds/portfolios advised by CSAM (collectively,
the "Participating Funds"), participates in a $75 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 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, 2005 and during the six months ended June 30, 2005, the Fund
had no borrowings under the Credit Facility.
NOTE 5. PURCHASES AND SALES OF SECURITIES
For the six months ended June 30, 2005, there were no U.S. Government and
Agency Obligations. Purchases and sales of investment securities (excluding
short-term investments) were $64,444,869 and $58,542,414, respectively.
40
NOTE 6. FEDERAL INCOME TAXES
At June 30, 2005, 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 the net
unrealized appreciation (depreciation) from investments were $231,613,955,
$8,890,526, $(23,964,332) and $(15,073,806), respectively.
NOTE 7. 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.
NOTE 8. CONTINGENCIES
In the normal course of business, the Fund may provide general
indemnifications pursuant to certain contracts and organizational documents. The
Fund's maximum exposure under these arrangements is dependent on future claims
that may be made against the Fund and, therefore, cannot be estimated; however,
based on experience, the risk of loss from such claims is considered remote.
41
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
ADDITIONAL INFORMATION (UNAUDITED)
DESCRIPTION OF INVESTLINK(SM) PROGRAM
The InvestLink(SM) Program is sponsored and administered by EquiServe L.P.,
not by Credit Suisse Asset Management Income Fund, Inc., (the "Fund"). EquiServe
L.P. 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
42
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.
EquiServe, L.P., as Program Administrator administers the Program for
participants, keeps records, sends statements of account to participants and
performs other duties relating to the Program. Each participant in the Program
will receive a statement of his account following each purchase of Shares. The
statements will also show the amount of dividends credited to such participant's
account (if applicable), as well as fees paid by the participant. In addition,
each participant will receive copies of the Fund's annual and semi-annual
reports to shareholders, proxy statements and, if applicable, dividend income
information for tax reporting purposes.
If the Fund is paying dividends on the Shares, a participant will receive
dividends through the Program for all Shares held on the dividend record date on
the basis of full and fractional Shares held in his account, and for all other
Shares of the Fund registered in his name. The Program Administrator will send
checks to the participants for the amounts of their dividends that are not to be
automatically reinvested at no cost to the participants.
Shares of the Fund purchased under the Program will be registered in the name
of the accounts of the respective participants. Unless requested, the Fund will
not issue to participants certificates for Shares of the Fund purchased under
the Program. The Program Administrator will hold the Shares in book-entry form
until a Program participant chooses to withdraw his Shares or terminate his
participation in the Program. The number of Shares purchased for a participant's
account under the Program will be shown on his statement of account. This
feature protects against loss, theft or destruction of stock certificates.
43
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
44
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 judgment and research.
While the Program Administrator hopes to continue the Program indefinitely,
the Program Administrator reserves the right to suspend or terminate the Program
at any time. It also reserves the right to make modifications to the Program.
Participants will be notified of any such suspension, termination or
modification in accordance with the terms and conditions of the Program. The
Program Administrator also reserves the right to terminate any participant's
participation in the Program at any time. Any question of interpretation arising
under the Program will be determined in good faith by the Program Administrator
and any such good faith determination will be final.
Any interested investor may participate in the Program. To participate in the
Program, an investor who is not already a registered owner of the Shares must
make an initial investment of at least $250.00. All other cash payments or bank
account deductions must be at least $100.00, up to a maximum of $100,000.00
annually. An interested investor may join the Program by reading the Program
description, completing and signing the enrollment form and returning it to the
Program Administrator. The enrollment form and information relating to the
Program (including terms and conditions) may be obtained by calling the Program
Administrator at (800) 730-6001. All correspondence regarding the Program should
be directed to: EquiServe Trust Company N.A., InvestLink Program, P.O. 43010,
Providence, RI 02940-3010.
45
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
RESULTS OF ANNUAL MEETING OF SHAREHOLDERS (UNAUDITED)
On April 22, 2005, the Annual Meeting of Shareholders of the Fund was held
and the following matter was approved:
(1) To elect two Directors to the Board of Directors of the Fund.
NAME OF DIRECTOR FOR WITHHELD
-------------------- ---------- --------
James S. Pasman, Jr. 43,081,598 637,874
Steven N. Rappaport 43,119,773 599,698
In addition to the Directors elected at the meeting, Enrique R. Arzac,
Lawrence J. Fox, and Michael E. Kenneally continued as Directors of the Fund.
46
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
BOARD CONSIDERATION AND RE-APPROVAL OF INVESTMENT ADVISORY AGREEMENT (UNAUDITED)
Section 15(c) of the Investment Company Act of 1940 (the "1940 Act")
contemplates that the Board of Directors (the "Board") of Credit Suisse Asset
Management Income Fund, Inc. (the "Fund"), including a majority of the Directors
who have no direct or indirect interest in the investment advisory agreement and
are not "interested persons" of the Fund, as defined in the 1940 Act (the
"Independent Directors"), will annually review and re-approve the terms of the
Fund's existing investment advisory agreement. In this regard, the Board
reviewed and re-approved, during the most recent six months covered by this
report, an investment advisory agreement (the "Advisory Agreement") with Credit
Suisse Asset Management, LLC ("CSAM") for the Fund.
More specifically, at a meeting held on February 14, 2005, the Board,
including the Independent Directors advised by their independent legal counsel,
considered the factors and reached the conclusions described below relating to
the selection of CSAM and the re-approval of the Advisory Agreement.
NATURE, EXTENT AND QUALITY OF SERVICES
The Board received and considered various data and information regarding the
nature, extent and quality of services provided to the Fund by CSAM under the
Advisory Agreement. The most recent investment adviser registration form ("Form
ADV") for CSAM was provided to the Board, as were responses of CSAM to a
detailed series of requests submitted by the Independent Directors' independent
legal counsel on behalf of such Directors. The Board reviewed and analyzed these
materials, which included, among other things, information about the background
and experience of the senior management and the expertise of, and amount of
attention devoted to the Fund by, investment personnel of CSAM. In this regard,
the Board specifically reviewed the qualifications, background and
responsibilities of the chief investment officer who is primarily responsible
for day-to-day portfolio management services for the Fund.
The Board considered the investment and legal compliance programs of the Fund
and CSAM, including their implementation of enhanced compliance policies and
procedures in response to Securities and Exchange Commission rule changes and
other regulatory initiatives.
The Board evaluated the ability of CSAM, based on its resources, reputation
and other attributes, to attract and retain highly qualified investment
professionals, including research, advisory, and supervisory personnel. In this
connection, the Board considered information regarding CSAM's compensation
arrangements for its personnel involved in the management of the Fund.
47
Based on the above factors, together with those referenced below, the Board
concluded that it was generally satisfied with the nature, extent and quality of
the investment advisory services provided to the Fund by CSAM.
FUND PERFORMANCE AND EXPENSES
The Board considered the one-year, two-year, three-year, four-year, five-year
and ten-year performance results for the Fund. It also considered these results
in comparison to the median performance results of the group of funds that was
determined to be the most similar to the Fund (the "Peer Group") and to the
median performance of a broader universe of relevant funds (the "Universe"), as
well as to the Fund's benchmark index, the Lipper Closed-End Flexible Income
Funds Index. Lipper Inc. ("Lipper"), an independent provider of investment
company data, determined the Peer Group and Universe for the Fund and provided
the comparative data. The Board was provided with a description of the
methodology used by Lipper to select the closed-end funds in the Fund's Peer
Group and Universe. The Board noted that the Fund's performance ranked in the
bottom third of the performance results for funds in its Peer Group over the
four-, five- and ten-year periods. However, the Board observed that the Fund's
performance improved significantly over the one-, two- and three-year periods
and had the top ranking in its Peer Group over the one- and two-year periods.
The Board received and considered statistical information regarding the
Fund's total expense ratio and its various components, including management
fees, non-management fees, fee waivers/caps and/or expense reimbursements and
actual total expenses of the Fund, including and excluding investment-related
expenses and taxes. It also considered comparisons of these fees to the expense
information for the Fund's Peer Group and Universe, which comparative data was
provided by Lipper. The Board noted that the overall expense ratio of the Fund
was significantly lower than the Peer Group's median overall ratio and was the
lowest overall expense ratio in its Peer Group, including and excluding
investment-related expenses and taxes.
Management also discussed the Lipper data and rankings, and other relevant
information, for the Fund. Based on the above-referenced considerations and
other factors, the Board concluded that the overall performance and expense
results supported the re-approval of the Advisory Agreement for the Fund.
48
INVESTMENT ADVISORY FEE RATE
The Board reviewed and considered the proposed contractual investment
advisory fee rate (the "Advisory Agreement Rate") payable by the Fund to CSAM
for investment advisory services. In addition, the Board reviewed and considered
the proposed fee waiver/cap arrangements applicable to the Advisory Agreement
Rate and considered the Advisory Agreement Rate after taking the waivers into
account (the "Net Advisory Rate"). The Board noted that CSAM had voluntary fee
waivers in effect to base its current investment advisory fee upon the lower of
the average weekly stock price or its average weekly net assets.
Additionally, the Board received and considered information comparing the
Advisory Agreement Rate (both on a stand-alone basis and on a combined basis
with the Fund's administration fee rate) with those of the other funds in its
Peer Group. The Board concluded that the Advisory Agreement Rate for the Fund
was the lowest among funds in its Peer Group. The Board noted that the Fund's
administrator is not affiliated with CSAM and that the Fund's administration
agreement and corresponding fees were negotiated at arm's-length. However, the
Board also noted that the combined investment advisory/administration fee rate
for the Fund was the lowest of funds in its Peer Group. The Board concluded that
these factors supported the Advisory Agreement Rate and the Net Advisory Rate.
PROFITABILITY
The Board received and considered a detailed estimated profitability analysis
of CSAM based on the Advisory Agreement Rate, as well as on any other
relationships between the Fund and CSAM and its affiliates.
The Board concluded that, in light of the costs of providing investment
management and other services to the Fund, the profits and other ancillary
benefits that CSAM and its affiliates received with regard to providing these
services to the Fund were not unreasonable.
ECONOMIES OF SCALE
The Board received and considered information regarding whether there have
been economies of scale with respect to the management of the Fund, whether the
Fund has appropriately benefited from any economies of scale, and whether there
is potential for realization of any further economies of scale.
49
The Board observed that the Advisory Agreement did not offer breakpoints.
However, the Board considered the diminished impact of economies of scale in the
context of a closed-end fund as well as the Advisory Agreement Rate and
concluded that the fees were fair and equitable based on relevant factors,
including the Fund's performance results and total expenses ranking relative to
its Peer Group.
INFORMATION ABOUT SERVICES TO OTHER CLIENTS
The Board also received and considered information about the nature, extent
and quality of services and fee rates offered by CSAM to its other clients,
including other registered investment companies and institutional investors and
investment companies to which CSAM serves as an unaffiliated sub-adviser. The
Board concluded that the Advisory Agreement Rate was lower than or the same as
most of the fee rates offered to other CSAM clients. Where rates offered to
other clients were relatively lower, the Board considered that CSAM's voluntary
fee waivers would potentially decrease the Advisory Agreement Rate. The Board
concluded, based on information provided by CSAM, that the costs associated with
managing and operating a registered, closed-end bond fund, compared with an
open-end fixed income fund, provided a justification for the higher fee rates
charged to the Fund.
OTHER FACTORS AND BROADER REVIEW
As discussed above, the Board reviews detailed materials received from CSAM
annually as part of the re-approval process under Section 15(c) of the 1940 Act.
The Board also regularly reviews and assesses the quality of the services that
the Fund receives throughout the year. In this regard, the Board reviews reports
of CSAM at least in each of its quarterly meetings, which include, among other
things, a detailed portfolio review, and detailed fund performance reports, and
confers with the chief investment officer of the Fund at least quarterly with
respect to the portfolio management of the Fund.
After considering the above-described factors and based on its deliberations
and its evaluation of the information provided to it, the Board concluded that
re-approval of the Advisory Agreement for the Fund was in the best interest of
the Fund and its shareholders. Accordingly, the Board unanimously re-approved
the Advisory Agreement.
50
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
PRIVACY POLICY NOTICE (UNAUDITED)
IMPORTANT PRIVACY CHOICES FOR CONSUMERS
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.
RESTRICT INFORMATION SHARING WITH AFFILIATES: 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 unless you say "No."
/ / No, please do not share personal and financial information with your
affiliated companies. [If you check this box, you must send this notice
back to us with your name, address and account number to Credit Suisse
Funds, 466 Lexington Avenue, New York, New York 10017.]
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"), 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 16, 2005.
51
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
PROXY VOTING AND PORTFOLIO HOLDINGS INFORMATION (UNAUDITED)
Information regarding how the Credit Suisse Asset Management Income Fund,
Inc. (the "Fund") voted proxies related to its portfolio securities during the
12-month period ended June 30 of each year as well as policies and procedures
that the Fund uses to determine how to vote proxies relating to its portfolio
securities are available:
- By calling 1-800-293-1232
- On the Fund's website, www.csam.com/us
- On the website of the Securities and Exchange Commission,
http://www.sec.gov
The Fund files a complete schedule of its portfolio holdings for the first
and third quarters of its fiscal year with the SEC on Form N-Q. The Fund's Forms
N-Q are available on the SEC's website at http://www.sec.gov and may be reviewed
and copied at the SEC's Public Reference Room in Washington, DC. Information on
the operation of the SEC's Public Reference Room may be obtained by calling
1-800-SEC-0330.
52
OTHER FUNDS MANAGED BY CREDIT SUISSE ASSET MANAGEMENT, LLC
Credit Suisse Capital Appreciation Fund
Credit Suisse Cash Reserve Fund
Credit Suisse Commodity Return Strategy Fund
Credit Suisse Emerging Markets Fund
Credit Suisse Fixed Income Fund
Credit Suisse Global Fixed Income Fund
Credit Suisse Global Small Cap Fund
Credit Suisse High Income Fund
Credit Suisse International Focus Fund
Credit Suisse Japan Equity Fund
Credit Suisse Large Cap Value Fund
Credit Suisse Mid-Cap Growth Fund
Credit Suisse New York Municipal Fund
Credit Suisse Large Cap Blend Fund
Credit Suisse Short Duration Bond Fund
Credit Suisse Small Cap Growth Fund
Credit Suisse Small Cap Value Fund
Fund shares are not deposits or other obligations of Credit Suisse Asset
Management, LLC or any affiliate, are not FDIC-insured and are not guaranteed by
Credit Suisse Asset Management, LLC or any affiliate. Fund investments are
subject to investment risks, including loss of your investment. There are
special risk considerations associated with international, global,
emerging-market, small-company, private equity, high-yield debt,
single-industry, single-country and other special, aggressive or concentrated
investment strategies. Past performance cannot guarantee future results.
More complete information about a fund, including charges and expenses, is
provided in the Prospectus, which should be read carefully before investing. You
may obtain copies by calling Credit Suisse Funds at 800-927-2874. For up-to-date
performance, please look in the mutual fund section of your newspaper under
Credit Suisse.
Credit Suisse Asset Management Securities, Inc., Distributor.
53
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SUMMARY OF GENERAL INFORMATION (UNAUDITED)
The Fund -- The CSAM Income Fund, Inc. -- is a closed-end, non-diversified
management investment company whose shares trade on the New York Stock Exchange,
Inc. Its investment objective is to seek current income through investment
primarily in debt securities. Credit Suisse Asset Management, LLC (New York),
the Fund's investment adviser, is part of Credit Suisse Asset Management
("CSAM"), the institutional and mutual-fund asset-management arm of Credit
Suisse First Boston. As of June 30, 2005, CSAM managed over $24 billion in the
U.S. and, together with its global affiliates, managed assets of over $327
billion in 16 countries.
SHAREHOLDER INFORMATION
The market price is published in: THE NEW YORK TIMES (DAILY) under the
designation "CrSuisinco" and THE WALL STREET JOURNAL (DAILY), and BARRON'S (EACH
MONDAY) under the designation "CSAM Income Fd". The Fund's New York Stock
Exchange, Inc. trading symbol is CIK. Weekly comparative net asset value (NAV)
and market price information about The CSAM Income Fund, Inc.'s shares are
published each Sunday in THE NEW YORK TIMES and each Monday in THE WALL STREET
JOURNAL and BARRON's, as well as other newspapers, in a table called "Closed-End
Funds."
THE CSAM GROUP OF FUNDS
LITERATURE REQUEST -- Call today for free descriptive information on the
closed-end funds listed below at 1-800-293-1232 or visit our website on the
Internet: http://www.csam.com/us.
CLOSED-END FUNDS
SINGLE COUNTRY
The Chile Fund, Inc. (CH)
The First Israel Fund, Inc. (ISL)
The Indonesia Fund, Inc. (IF)
MULTIPLE COUNTRY
The Emerging Markets Telecommunications Fund, Inc. (ETF)
The Latin America Equity Fund, Inc. (LAQ)
FIXED INCOME
Credit Suisse High Yield Bond Fund (DHY)
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 shares of its capital stock in the open market.
57
DIRECTORS AND CORPORATE OFFICERS
Enrique R. Arzac Director
Lawrence J. Fox Director
James S. Pasman, Jr. Director
Steven N. Rappaport Director
Michael E. Kenneally Director and Chairman of the Board
Dennis M. Schaney Chief Investment Officer
Michael E. Gray Investment Officer
J. Kevin Gao Senior Vice President
Ajay Mehra Chief Legal Officer
Emidio Morizio Chief Compliance Officer
Michael A. Pignataro Chief Financial Officer, Vice President and Secretary
Maxine C. Evertz Assistant Secretary
Robert M. Rizza Treasurer
INVESTMENT ADVISER
Credit Suisse Asset Management, LLC
466 Lexington Avenue
New York, NY 10017
INVESTMENT SUB-ADVISER
Credit Suisse Asset Management Limited
Beaufort House
15 St. Botolph Street
London EC3A 7JJ, England
ADMINISTRATOR AND CUSTODIAN
Brown Brothers Harriman & Co.
40 Water Street
Boston, MA 02109
SHAREHOLDER SERVICING AGENT
EquiServe Trust Company, N.A.
P.O. Box 43010
Providence, RI 02940
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
PricewaterhouseCoopers LLP
Two Commerce Square
Philadelphia, PA 19103
LEGAL COUNSEL
Willkie Farr & Gallagher LLP
787 Seventh Avenue
New York, NY 10017
This report, including the financial statements herein, is sent to the
shareholders of the Fund for their information. The financial information
included herein is taken from the records of the Fund without examination by the
independent registered public accountants who do not express an opinion thereon.
It is not a prospectus, circular or representation intended for use in the
purchase or sale of shares of the Fund or of any securities mentioned in this
report.
CIK LISTED NYSE
CIK-SAR-0605
ITEM 2. CODE OF ETHICS.
This item is inapplicable to a semi-annual report on Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
This item is inapplicable to a semi-annual report on Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
This item is inapplicable to a semi-annual report on Form N-CSR.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is inapplicable to a semi-annual report on Form N-CSR.
ITEM 6. SCHEDULE OF INVESTMENTS.
Included as part of the report to shareholders filed under Item 1 of this Form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
This item is inapplicable to a semi-annual report on Form N-CSR.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Form N-CSR disclosure requirement not yet effective with respect to the
registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
None.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may
recommend nominees to the registrant's board of directors since the registrant
last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(g)
of Schedule 14A in its definitive proxy statement dated March 21, 2005.
ITEM 11. CONTROLS AND PROCEDURES.
(a) As of a date within 90 days from the filing date of this report, the
principal executive officer and principal financial officer concluded that the
registrant's disclosure controls and procedures (as defined in Rule 30a-3(c)
under the Investment Company Act of 1940 (the "Act")) were effective based on
their evaluation of the disclosure controls and procedures required by Rule
30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934.
(b) There were no changes in registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the
registrant's second fiscal half-year that have materially affected, or are
reasonably likely to materially affect, the registrant's internal control over
financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Not applicable.
(a)(2) The certifications of the registrant as required by Rule 30a-2(a)
under the Act are exhibits to this report.
(a)(3) Not applicable.
(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/steven Plump
---------------
Name: Steven Plump
Title: Chief Executive Officer
Date: September 1, 2005
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/Steven Plump
---------------
Name: Steven Plump
Title: Chief Executive Officer
Date: September 1, 2005
/s/Michael A. Pignataro
-----------------------
Name: Michael A. Pignataro
Title: Chief Financial Officer
Date: September 1, 2005