UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File No. 811-05012
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
(Exact Name of Registrant as Specified in Charter)
466 Lexington Avenue, New York, New York 10017-3140
(Address of Principal Executive Offices) (Zip Code)
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, 2006 to June 30, 2006
ITEM 1. REPORTS TO STOCKHOLDERS.
CREDIT SUISSE ASSET MANAGEMENT
INCOME FUND, INC.
466 LEXINGTON AVENUE
NEW YORK, NY 10017
DIRECTORS
ENRIQUE R. ARZAC
CHAIRMAN OF THE BOARD
TERRY FIRES BOVARNICK
JAMES J. CATTANO
LAWRENCE J. FOX
LAWRENCE HABER
STEVEN N. RAPPAPORT
OFFICERS
STEVEN B. PLUMP
CHIEF EXECUTIVE OFFICER AND PRESIDENT
MARTHA B. METCALF
CHIEF INVESTMENT OFFICER
J. KEVIN GAO
SENIOR VICE PRESIDENT AND SECRETARY
AJAY MEHRA
CHIEF LEGAL OFFICER
EMIDIO MORIZIO
CHIEF COMPLIANCE OFFICER
MICHAEL A. PIGNATARO
CHIEF FINANCIAL OFFICER AND VICE PRESIDENT
ROBERT RIZZA
TREASURER
INVESTMENT ADVISER
CREDIT SUISSE ASSET MANAGEMENT, LLC
466 LEXINGTON AVENUE
NEW YORK, NEW YORK 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, MASSACHUSETTS 02109
SHAREHOLDER SERVICING AGENT
COMPUTERSHARE TRUST COMPANY, N.A.
P.O. BOX 43010
PROVIDENCE, RI 02940-3010
LEGAL COUNSEL
WILLKIE FARR & GALLAGHER
787 7TH AVENUE
NEW YORK, NEW YORK 10019
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
PRICEWATERHOUSECOOPERS LLP
TWO COMMERCE SQUARE
PHILADELPHIA, PENNSYLVANIA 19103
CREDIT SUISSE ASSET MANAGEMENT
INCOME FUND, INC.
SEMIANNUAL REPORT
JUNE 30, 2006
(UNAUDITED)
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
SEMIANNUAL INVESTMENT ADVISER'S REPORT
June 30, 2006 (unaudited)
July 31, 2006
Dear Shareholder:
PERFORMANCE SUMMARY
01/01/06 - 06/30/06
FUND & BENCHMARKS PERFORMANCE
Total Return (based on NAV)(1) 3.87%
Total Return (based on market value)(1) 12.88%
Merrill Lynch U.S. High Yield Master II Constrained Index(2) 2.52%
Citigroup High-Yield Market Index(2) 2.86%
FUND NOW TRADING ON AMEX
Effective May 11, 2006, the Fund is listed on, and has commenced trading on, the
American Stock Exchange ("AMEX"). The Fund opted to make the move based on
listing costs. The Fund estimates that the Fund's annual listing fees will
decline substantially. The Fund continues to trade under the same ticker symbol
(CIK).
MARKET OVERVIEW
The High Yield market began the year on a robust tone, posting four consecutive
positive monthly returns. This was followed by higher volatility and lackluster
returns during the months of May and June as investors grew increasingly
concerned about higher interest rates and the pace of economic growth. For the
six months ended June 30, the High Yield market generated a return of 2.52% (as
measured by the Merrill Lynch U.S. High Yield Master II Constrained Index).
Low-rated securities outperformed the broader market, returning 7.3%, while the
more interest rate sensitive BB rated securities underperformed, returning about
0.32%. The average yield spread between high yield bonds and Treasury securities
narrowed 25 basis points, ending the period at 338 basis points.
The majority of sectors posted positive returns, with Autos, Airlines, Building
Materials and Theaters leading the way. Sectors producing negative returns were
Energy -- Exploration & Production, Building & Construction and Health Services.
Credit fundamentals continued to be supportive of the high yield market,
although we believe that the best of the credit cycle does appear to be behind
us. Both default rates and the distressed ratio (a leading indicator for future
default rates) continue to be near 10-year lows, coming in at 1.78% and 2.9%,
respectively. Corporate balance sheets are strong but we expect growth might be
slower in the year ahead.
The technical environment had been positive for most of the year but more
recently has been strained as several large new issues came to market in the
High Yield market. These include $2 billion in new issuance from Nortel
Networks, $2.5 billion from Windstream Corp. and almost $3 billion from Intelsat
(these companies accounted for 0.2%, 0.3% and 0.5% of the Fund's net assets,
respectively, as of June 30, 2006). We view this to be temporary pressure on the
market and expect that once these deals are digested, market technicals will
probably stabilize as cash from coupon and bond redemptions continue to outpace
supply.
STRATEGIC REVIEW
The Fund's performance benefited from an underweight in the more interest rate
sensitive BB rated securities. The Fund's overweight in higher yielding
securities provided a positive contribution to return as well. Strong security
selection plus good sector allocation in the Consumer Products, Cable,
Packaging, Support-Services and Theater sectors also contributed to performance.
Security selection in Autos, Airlines and Health Services detracted from
returns.
OUTLOOK AND STRATEGY
We are constructive on the High Yield market near term given our analysis of a
solid fundamental backdrop, improving market technicals and relatively high
current yields. Even with an expected increase in default rates to 2.8% in the
coming year, forecasted spreads seem to indicate only a modest widening. That
being said, dispersion is on the rise and we are of the view that credit
selectivity will likely be an important driver of returns going forward.
At the sector level, we remain cautious toward consumer-oriented sectors but
more positive on corporate spending and the commercial cycle broadly. In
addition, we continue to take profits in Wireless and have been decreasing
exposures in Packaging given our view of the potential for hurricane-related
volatility in that industry.
/s/ Martha Metcalf
-------------------------------------
Martha Metcalf*
Chief Investment Officer
/s/Steven B. Plump
-------------------------------------
Steven B. Plump**
Chief Executive Officer and President
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 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.
* Martha B. Metcalf is a Managing Director of Credit Suisse Asset Management,
LLC ("Credit Suisse") and head of the U.S. High Yield Management Team. She
has served in these capacities since 2005. As of November 2005, she is
primarily responsible for the management of the Fund's assets. From 2000
until 2005, she was a Managing Director and Portfolio Manager of Global
High Yield bonds, and head of a global high yield business with
responsibility for total return, as well as structured portfolios at
Invesco. Prior to her tenure at Invesco, Ms. Metcalf served for over ten
years at JP Morgan Investment Management, where she was Vice President and
Portfolio Manager for High Yield Corporate bonds.
** Steven B. Plump is a Managing Director of Credit Suisse and CEO/President
of the Fund. He joined Warburg Pincus Asset Management ("WPAM") in 1995 and
came to Credit Suisse in 1999 when it acquired WPAM.
----------
(1) Based on NAV and assuming reinvestment of dividends of $0.21 per share.
(2) The Merrill Lynch U.S. High Yield Master II Constrained Index is an
unmanaged index that tracks the performance of below investment grade U.S.
dollar-denominated corporate bonds issued in the U.S. domestic market where
each issuer's allocation is limited to 2% of the index. Investors cannot
invest directly in an index. In order to ensure that the index the Fund is
benchmarked against is best aligned with the Fund's emphasis on
diversification and risk management, effective February 28, 2006, this
index replaces the Citigroup High Yield Market Index, a broad-based,
unmanaged index of high-yield securities that is compiled by Citigroup
Global Markets Inc.
TOP TEN HOLDINGS
(% OF NET ASSETS AS OF 6/30/06)
Security Description
1. Ford Motor Credit Co. 1.37%
6.625%, 06/16/08
2. General Motors Acceptance Corp. 1.22%
5.625%, 05/15/09
3. RH Donnelley Corp. 0.89%
6.875%, 01/15/13
4. Charter Communication Holdings II 0.83%
10.250%, 09/15/10
5. Tenet Healthcare Corp. 0.77%
9.875%, 07/01/14
6. Allied Waste North America, Inc. 0.76%
7.375%, 04/15/14
7. Chesapeake Energy Corp. 0.75%
6.875%, 01/15/16
8. El Paso Production Holding Co. 0.73%
7.750%, 06/01/13
9. Qwest Corp. 0.73%
7.625%, 06/15/15
10. Ford Motor Credit Co. 0.69%
7.000%, 10/01/13
CREDIT QUALITY BREAKDOWN
(% OF TOTAL INVESTMENTS AS OF 6/30/06)
S&P RATINGS
BBB 0.8%
BB 10.6
B 57.5
CCC 28.7
CC 0.4
D 0.5
N/R 0.4
-----
Subtotal 98.9
Time Deposit 0.4
Equities and Other 0.7
-----
Total 100.0%
=====
1
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
SCHEDULE OF INVESTMENTS
June 30, 2006 (unaudited)
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ ----------
DOMESTIC SECURITIES (88.7%)
CORPORATE OBLIGATIONS (87.7%)
AEROSPACE/DEFENSE (1.3%)
$ 600 DRS Technologies, Inc., Company Guaranteed Notes (Callable 02/01/11
@ $103.81) (B, B3) 02/01/18 7.625 $ 600,000
450 DRS Technologies, Inc., Global Senior Subordinated Notes (Callable
11/01/08 @ $103.44) (B, B3) 11/01/13 6.875 435,375
475 K&F Acquisition, Inc., Global Company Guaranteed Notes (Callable
11/15/09 @ $103.88) (B-, Caa1) 11/15/14 7.750 470,250
925 L-3 Communication Corp., Global Senior Subordinated Notes (Callable
01/15/10 @ $102.94) (BB+, Ba3) 01/15/15 5.875 867,187
250 Sequa Corp., Senior Notes (BB-, B1) 08/01/09 9.000 265,000
----------
2,637,812
----------
AGRICULTURE (0.5%)
1,000 Southern States Cooperative, Inc., Rule 144A, Senior Notes
(Callable 11/01/07 @ $108.00) ~ (B, B3) 11/01/10 10.500 1,050,000
----------
APPAREL/TEXTILES (1.1%)
600 Levi Strauss & Co., Global Senior Notes (Callable 01/15/10 @
$104.88) (B-, B3) 01/15/15 9.750 603,000
735 Levi Strauss & Co., Global Senior Notes (Callable 12/15/07 @
$106.13) (B-, B3) 12/15/12 12.250 815,850
400 Phillips Van-Heusen Corp., Global Senior Notes (Callable 02/15/08 @
$103.63) (BB, B1) 02/15/11 7.250 398,000
500 Propex Fabrics, Inc., Global Company Guaranteed Notes (Callable
12/01/08 @ $105.00) (B-, B3) 12/01/12 10.000 460,000
----------
2,276,850
----------
AUTO LOANS (3.9%)
1,650 Ford Motor Credit Co. Global Notes (B+, Ba2) 10/01/13 7.000 1,421,973
2,970 Ford Motor Credit Co., Notes (B+, Ba2) 06/16/08 6.625 2,828,082
2,650 General Motors Acceptance Corp., Global Notes (BB, Ba1) 05/15/09 5.625 2,522,198
1,435 General Motors Acceptance Corp., Global Notes (BB, Ba1) 12/01/14 6.750 1,334,933
----------
8,107,186
----------
AUTO PARTS & EQUIPMENT (3.1%)
525 Accuride Corp., Global Company Guaranteed Notes (Callable 02/01/10
@ $104.25) (B-, B3) 02/01/15 8.500 506,625
650 Altra Industrial Motion, Inc., Global Secured Notes (Callable
12/01/08 @ $104.50) (CCC+, B3) 12/01/11 9.000 656,500
800 American Tire Distributors Holdings, Inc., Global Senior Notes
(Callable 04/01/09 @ $105.38) (CCC+, Caa2) 04/01/13 10.750 732,000
395 ArvinMeritor, Inc., Notes (BB, Ba3) 03/01/12 8.750 387,100
775 Cambridge Industries, Inc., Senior Subordinated Notes ^ (NR, NR) 07/15/07 10.250 0
400 Cooper-Standard Automotive, Inc., Global Company Guaranteed Notes
(Callable 12/15/09 @ $104.19) (B, Caa1) 12/15/14 8.375 317,500
1,200 Goodyear Tire & Rubber Co., Global Senior Notes (Callable 07/01/10
@ $104.50) (S) (B-, B3) 07/01/15 9.000 1,152,000
700 Insurance Auto Auctions, Inc., Global Company Guaranteed Notes
(Callable 04/01/09 @ $105.50) (CCC+, Caa1) 04/01/13 11.000 693,000
450 Keystone Automotive Operations, Inc., Global Senior Subordinated
Notes (Callable 11/01/08 @ $104.88) (B-, Caa1) 11/01/13 9.750 427,500
40 Meritor Automotive, Inc., Notes (BB-, Ba3) 02/15/09 6.800 38,800
400 Stanadyne Corp., Global Senior Subordinated Notes (Callable
08/15/09 @ $105.00) (CCC+, Caa1) 08/15/14 10.000 376,000
350 Tenneco Automotive, Inc., Global Company Guaranteed Notes (Callable
11/15/09 @ $104.31)(S) (B-, B3) 11/15/14 8.625 350,875
900 Visteon Corp., Global Senior Notes (S) (B-, B3) 08/01/10 8.250 846,000
----------
6,483,900
----------
AUTOMOTIVE (0.6%)
750 General Motors Corp., Global Debentures Notes (S) (B-, Caa1) 07/15/33 8.375 607,500
700 General Motors Corp., Senior Notes (S) (B-, Caa1) 07/15/13 7.125 579,250
----------
1,186,750
----------
BEVERAGE (0.1%)
250 Le-Natures, Inc., Rule 144A, Senior Subordinated Notes (Callable
06/15/08 @ $104.25) ~ (CCC+, B3) 06/15/13 9.000 264,687
----------
BROKERAGE (0.3%)
175 E*Trade Financial Corp., Global Senior Notes (Callable 06/15/08 @
$104.00) (B+, Ba2) 06/15/11 8.000 179,375
315 E*Trade Financial Corp., US Domestic Senior Notes (Callable
12/01/10 @ $103.94) (B+, Ba2) 12/01/15 7.875 324,450
----------
503,825
----------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
2
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ ----------
CORPORATE OBLIGATIONS
BUILDING & CONSTRUCTION (1.5%)
$ 500 K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes (BB, Ba1) 01/15/16 6.250 $ 436,250
600 KB HOME, Senior Notes (BB+, Ba1) 06/15/15 6.250 536,482
625 Standard Pacific Corp., Senior Notes (S) (BB, Ba2) 08/15/15 7.000 557,812
750 Technical Olympic USA, Inc., Global Senior Subordinated Notes (S) (B-, B2) 01/15/15 7.500 628,125
125 Technical Olympic USA, Inc., Rule 144A, Private Placement Senior
Notes ~ (B+, Ba3) 04/01/11 8.250 117,187
600 WCI Communities, Inc. Company Guaranteed Notes (Callable 05/01/07 @
$104.56) (B+, Ba3) 05/01/12 9.125 565,500
250 William Lyon Homes, Inc., Global Senior Notes (Callable 02/15/09 @
$103.75) (B, B2) 02/15/14 7.500 208,750
----------
3,050,106
----------
BUILDING MATERIALS (3.7%)
750 Associated Materials, Inc., Global Senior Discount Notes (Callable
03/01/09 @ $105.63) @ (CCC, Caa3) 03/01/14 0.000 455,625
300 Building Materials Corp. of America, Global Secured Notes (Callable
08/01/09 @ $103.88) (B+, B2) 08/01/14 7.750 288,000
1,000 Coleman Cable, Inc., Global Company Guaranteed Notes (Callable
10/10/08 @ $104.94) (B-, B3) 10/01/12 9.875 930,000
750 Compression Polymers Holding Corp., Rule 144A, Senior Notes
(Callable 07/01/09 @ $105.25) ~ (B-, B2) 07/01/13 10.500 768,750
300 Dayton Superior Corp., Company Guaranteed Notes (Callable 06/15/07
@ $102.17) (CCC-, Caa3) 06/15/09 13.000 263,250
500 Dayton Superior Corp., Global Secured Notes (Callable 06/15/07 @
$102.81) (CCC+, Caa1) 09/15/08 10.750 510,000
875 Goodman Global Holding Co., Inc., Global Senior Subordinated Notes
(Callable 12/15/08 @ $103.94) (S) (B-, B3) 12/15/12 7.875 840,000
400 Interface, Inc., Global Senior Subordinated Notes (Callable
02/01/09 @ $104.75) (CCC, Caa3) 02/01/14 9.500 415,000
325 Norcraft Cos/Norcraft Finance Corp., Global Senior Subordinated
Notes (Callable 11/01/07 @ $104.50) (B-, B3) 11/01/11 9.000 332,312
250 Norcraft Holdings L.P./Norcraft Capital, Global Senior Discount
Notes (Callable 09/01/08 @ $104.88) @ (B-, Caa1) 09/01/12 9.750 203,750
750 NTK Holdings, Inc., Global Senior Discount Notes (Callable 09/01/09
@ $105.38) (CCC+, Caa2) 03/01/14 0.000 546,562
900 Ply Gem Industries, Inc., Global Senior Subordinated Notes
(Callable 02/15/08 @ $104.50) (B-, B3) 02/15/12 9.000 823,500
500 RMCC Acquisition Co., Rule 144A, Senior Subordinated Notes
(Callable 11/01/08 @ $104.75) ~ (CCC+, Caa1) 11/01/12 9.500 522,500
700 THL Buildco (Nortek), Inc., Global Senior Subordinated Notes
(Callable 09/01/09 @ $104.25) (B-, NR) 09/01/14 8.500 680,750
800 Werner Holdings Co., Inc., Series A, Company Guaranteed Notes O (D, C) 11/15/07 10.000 208,000
----------
7,787,999
----------
CHEMICALS (2.6%)
322 BCP Crystal Holdings Corp., Global Senior Subordinated Notes
(Callable 06/15/09 @ $104.81) (B, B3) 06/15/14 9.625 350,980
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 0.000 358,312
350 Equistar Chemicals LP/Equistar Funding Corp., Global Senior Notes
(Callable 05/01/07 @ $105.31) (BB-, B2) 05/01/11 10.625 377,562
264 Huntsman Co. LLC, Global Company Guaranteed Notes (Callable
07/15/08 @ $105.75) (B, B2) 07/15/12 11.500 296,340
225 Huntsman Co. LLC, Global Company Guaranteed Notes (Callable
10/15/07 @ $105.81) (BB-, Ba3) 10/15/10 11.625 249,750
600 KI Holdings, Inc., Global Senior Discount Notes (Callable 11/15/09
@ $104.94) @ (B-, Caa1) 11/15/14 0.000 432,000
750 Lyondell Chemical Co., Global Company Guaranteed (Callable 06/01/08
@ $105.25) (BB-, Ba3) 06/01/13 10.500 828,750
300 Millennium America, Inc., Global Company Guaranteed Notes (B+, B1) 06/15/08 9.250 309,000
750 Nalco Co., Global Senior Notes (Callable 11/15/07 @ $103.88) (B-, B2) 11/15/11 7.750 751,875
275 Nalco Finance Holdings, Inc., Global Senior Notes (Callable
02/01/09 @ $104.50) @ (B-, Caa2) 02/01/14 0.000 207,625
575 Polyone Corp., Global Company Guaranteed Notes (Callable 05/15/07 @
$105.31) (B+, B3) 05/15/10 10.625 621,000
175 Polyone Corp., Senior Notes (B+, B3) 05/01/12 8.875 176,531
357 Terra Capital, Inc., Global Secured Notes (Callable 06/01/07 @
$105.75) (B-, B2) 06/01/10 11.500 390,915
----------
5,350,640
----------
COMPUTER HARDWARE (0.1%)
240 Activant Solutions, Inc., Rule 144A, Private Placement Senior
Subordinated Notes (Callable 05/01/11 @ $104.75) ~ (CCC+, Caa1) 05/01/16 9.500 233,400
----------
CONSUMER - PRODUCTS (3.1%)
725 AAC Group Holding Corp., Global Senior Discount Notes (Callable
10/01/08 @ $105.13) @ (CCC+, Caa1) 10/01/12 0.000 569,125
950 Amscan Holdings, Inc., Global Senior Subordinated Notes
(Callable 05/01/09 @ $104.38) (B-, Caa1) 05/01/14 8.750 836,000
750 Del Laboratories, Inc., Global Company Guaranteed Notes (CCC, Caa2) 02/01/12 8.000 627,187
800 Jarden Corp., Company Guaranteed Notes (Callable 05/01/07 @
$104.87) (B-, B3) 05/01/12 9.750 820,000
970 Playtex Products, Inc., Global Company Guaranteed Notes (Callable
06/01/07 @ $103.125) (CCC+, Caa1) 06/01/11 9.375 1,014,862
819 Prestige Brands, Inc., Global Senior Subordinated Notes (Callable
04/15/08 @ $104.63) (S) (B-, B3) 04/15/12 9.250 806,715
500 Revlon Consumer Products Corp., Global Senior Notes (Callable
04/01/08 @ $104.75) (CCC, Caa2) 04/01/11 9.500 440,000
525 Samsonite Corp., Global Senior Subordinated Notes (Callable
06/01/08 @ $104.44) (B, B3) 06/01/11 8.875 547,312
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
3
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ ------------- -------- ------ ----------
CORPORATE OBLIGATIONS
CONSUMER - PRODUCTS
$ 450 True Temper Sports, Inc., Company Guaranteed Notes (CCC+, Caa1) 09/15/11 8.375 $ 411,750
500 William Lyon Homes, Inc., Global Senior Notes (Callable 12/15/08 @
$103.81) (B, B2) 12/15/12 7.625 417,500
----------
6,490,451
----------
DIVERSIFIED CAPITAL GOODS (0.9%)
250 Amsted Industries, Inc., Rule 144A, Senior Notes (Callable 10/15/07
@ $105.13) ~ (B, B3) 10/15/11 10.250 268,750
300 Blount, Inc., Senior Subordinated Notes (Callable 08/01/08 @ $104.44) (B-, Caa1) 08/01/12 8.875 300,000
0 JII Holdings LLC, Global Secured Notes (Callable 01/01/07 @
$100.00) @@ (CCC-, Caa3) 04/01/07 13.000 340
575 Sensus Metering Systems, Inc., Global Senior Subordinated Notes
(Callable 12/15/08 @ $104.31) (B-, Caa1) 12/15/13 8.625 563,500
875 TriMas Corp., Global Company Guaranteed Notes (Callable 06/15/07 @
$104.94) (CCC+, Caa1) 06/15/12 9.875 805,000
----------
1,937,590
----------
ELECTRIC - GENERATION (1.8%)
37 AES Corp., Senior Notes (B, B1) 06/01/09 9.500 38,872
400 AES Corp., Senior Notes (B, B1) 03/01/14 7.750 404,000
800 Calpine Generating Co., Global Secured Notes (Callable 04/01/08 @
$103.50) (D, NR) 04/01/10 7.756 834,000
500 Dynegy Holdings, Inc., Rule 144A, Private Placement Senior Unsecured
Notes ~ (B-, B2) 05/01/16 8.375 495,000
500 Edison Mission Energy, Senior Notes (B+, B1) 06/15/09 7.730 507,500
400 Midwest Generation LLC, Global Secured Notes (Callable 05/01/09 @
$104.38) (B, Ba3) 05/01/34 8.750 426,000
375 NRG Energy, Inc., Senior Notes (Callable 02/01/11 @ $103.69) (B-, B1) 02/01/16 7.375 366,562
500 Reliant Energy, Inc., Global Secured Notes (Callable 07/15/08 @
$104.75) (B, B2) 07/15/13 9.500 505,000
250 Reliant Energy, Inc., Secured Notes (Callable 12/15/09 @ $103.38) (B+, B2) 12/15/14 6.750 231,250
----------
3,808,184
----------
ELECTRIC - INTEGRATED (0.7%)
400 Allegheny Energy Supply Company LLC, Global Notes (BB-, Ba3) 03/15/11 7.800 417,000
250 CMS Energy Corp., Global Senior Notes (B+, B1) 08/01/10 7.750 255,000
350 CMS Energy Corp., Senior Notes (B+, B1) 01/15/09 7.500 356,125
500 Mirant Americas Generation LLC, Senior Notes ^O (NR, NR) 05/01/06 7.625 0
300 Mirant Corp., Rule 144A, Private Placement Senior Notes ~O (NR, NR) 07/15/04 7.400 3,750
300 Sierra Pacific Resources, Global Senior Notes (Callable 03/15/09 @
$104.31) (B-, B1) 03/15/14 8.625 319,304
----------
1,351,179
----------
ELECTRONICS (2.0%)
1,350 Amkor Technology, Inc., Global Senior Notes (CCC+, Caa1) 05/15/13 7.750 1,226,812
250 Amkor Technology, Inc., Senior Unsecured Notes (Callable 06/01/11 @
$104.63) (CCC+, Caa1) 06/01/16 9.250 238,125
169 Ampex Corp., Secured Notes ^ (NR, NR) 08/15/08 12.000 169,049
700 Sanmina-SCI Corp., Senior Subordinated Notes (Callable 03/01/11 @
$104.06) (B, B1) 03/01/16 8.125 686,000
775 Spansion, Inc., Rule 144A, Private Placement Senior Notes (Callable
01/15/11 @ $105.62) ~ (B, Caa1) 01/15/16 11.250 784,687
450 UCAR Finance, Inc. Company Guaranteed (Callable 02/15/07 @ $102.13) (B-, B2) 02/15/12 10.250 477,000
600 Viasystems, Inc., Senior Subordinated Notes (CCC+, Caa2) 01/15/11 10.500 591,000
----------
4,172,673
----------
ENERGY - EXPLORATION & PRODUCTION (2.0%)
250 Belden & Blake Corp., Global Secured Notes (Callable 07/15/08 @
$104.38) (CCC+, B3) 07/15/12 8.750 255,000
1,627 Chesapeake Energy Corp., Senior Notes (Callable 01/15/09 @ $103.44) (BB, Ba2) 01/15/16 6.875 1,545,650
1,500 El Paso Production Holding Co., Global Company Guaranteed Notes
(Callable 06/01/08 @ $103.88) (B+, B1) 06/01/13 7.750 1,518,750
400 Forest Oil Corp., Global Senior Notes (B+, Ba3) 06/15/08 8.000 410,500
200 Range Resources, Corp., Global Company Guaranteed Notes (Callable
03/15/10 @ $103.19) (B, B2) 03/15/15 6.375 185,500
300 Whiting Petroleum Corp., Senior Subordinated Notes (B-, B2) 05/01/12 7.250 289,500
----------
4,204,900
----------
ENVIRONMENTAL (1.6%)
900 Aleris International, Inc., Global Company Guaranteed Notes
(Callable 11/15/09 @ $104.50) (B+, B3) 11/15/14 9.000 920,250
1,650 Allied Waste North America, Inc., Series B, Senior Notes (Callable
04/15/09 @ $103.69) (S) (B+, Caa1) 04/15/14 7.375 1,575,750
750 Waste Services, Inc., Global Senior Subordinated Notes (Callable
04/15/09 @ $104.75) (CCC, Caa2) 04/15/14 9.500 761,250
----------
3,257,250
----------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
4
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ ------------- -------- ------ ----------
CORPORATE OBLIGATIONS
FOOD & DRUG RETAILERS (1.1%)
$ 500 Duane Reade, Inc., Global Senior Subordinated Notes (Callable
08/01/08 @ $104.88) (S) (CCC, Caa3) 08/01/11 9.750 $ 405,000
750 Rite Aid Corp., Global Company Guaranteed Notes (Callable 01/15/10 @
$103.75) (B+, B2) 01/15/15 7.500 723,750
1,125 Stater Brothers Holdings, Inc., Global Senior Notes (Callable
06/15/08 @ $104.06) (BB-, B1) 06/15/12 8.125 1,116,562
----------
2,245,312
----------
FOOD - WHOLESALE (1.0%)
100 Agrilink Foods, Inc., Company Guaranteed Notes (Callable 11/01/06 @
$101.98) (B-, B3) 11/01/08 11.875 102,375
471 Eagle Family Foods, Inc., Series B, Company Guaranteed Notes
(Callable 07/17/06 @ $100.00) (CCC, Caa2) 01/15/08 8.750 382,281
400 National Beef Packing Co. LLC, Global Senior Notes (Callable 08/01/07
@ $105.25) (B-, B3) 08/01/11 10.500 406,000
700 Pinnacle Foods Holding Corp., Global Senior Subordinated Notes
(Callable 12/01/08 @ $104.13) (B-, B3) 12/01/13 8.250 691,250
250 Swift & Co., Global Company Guaranteed Notes (Callable 10/01/06 @
$105.06) (B-, B3) 10/01/09 10.125 255,625
300 Swift & Co., Global Senior Subordinated Notes (Callable 10/01/06 @
106.25) (CCC+, Caa1) 01/01/10 12.500 300,000
----------
2,137,531
----------
FORESTRY/PAPER (2.5%)
525 Boise Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/09
@ $103.56) (B+, B2) 10/15/14 7.125 467,250
850 Cellu Tissue Holdings, Inc., Global Secured Notes (Callable 03/15/07
@ $107.31) (B, B2) 03/15/10 9.750 833,000
475 Georgia-Pacific Corp., Debentures Notes (B, B2) 06/15/15 7.700 456,000
775 Graphic Packaging International Corp., Senior Subordinated Notes
(Callable 08/15/08 @ $104.75) (S) (B-, B3) 08/15/13 9.500 771,125
375 Newark Group, Inc., Global Senior Subordinated Notes (Callable
03/15/09 @ $104.88) (B-, Caa1) 03/15/14 9.750 348,750
450 NewPage Corp., Global Secured Notes (Callable 05/01/09 @ $106.00) (CCC+, B3) 05/01/12 10.000 468,000
550 NewPage Corp., Global Senior Subordinated Notes (Callable 05/01/09 @
$106.00) (S) (CCC+, Caa2) 05/01/13 12.000 572,000
1,250 Stone Container Corp., Global Senior Notes (Callable 07/01/07 @
$104.19) (CCC+, B2) 07/01/12 8.375 1,187,500
----------
5,103,625
----------
GAMING (4.8%)
400 Aztar Corp., Global Senior Subordinated Notes (Callable 06/15/09 @
$103.94) (B+, Ba3) 06/15/14 7.875 425,000
900 CCM Merger, Inc., Rule 144A, Notes (Callable 08/01/09 @ $104.00) ~ (CCC+, B3) 08/01/13 8.000 855,000
175 Circus & Eldorado/Silver Legacy Capital Corp., Global First Mortgage
Notes (Callable 03/01/07 @ $105.06) (B, B2) 03/01/12 10.125 185,719
740 Hard Rock Hotel, Inc., Global Notes (Callable 06/01/08 @ $104.44) (B, B3) 06/01/13 8.875 798,275
300 Herbst Gaming, Inc., Global Senior Subordinated Notes (Callable
06/01/08 @ $104.06) (B-, NR) 06/01/12 8.125 303,750
975 Inn of the Mountain Gods, Global Senior Notes (Callable 11/15/07 @
$106.00) (B, B3) 11/15/10 12.000 1,040,812
400 Isle of Capri Casinos, Inc., Global Senior Subordinated Notes
(Callable 03/01/09 @ $103.50) (B, B2) 03/01/14 7.000 379,500
500 Jacobs Entertainment, Rule 144A, Private Placement Senior Notes
(Callable 06/15/10 @ $104.88) ~ (B-, B3) 06/15/14 9.750 505,000
475 Majestic Star Casino LLC, Company Guaranteed Notes (Callable 10/15/07
@ $104.75) (BB-, B2) 10/15/10 9.500 499,938
700 Majestic Star Casino LLC, Rule 144A, Private Placement Secured Notes
(Callable 10/15/08 @ $104.88) ~ (B-, B3) 01/15/11 9.750 705,250
375 MGM Mirage, Inc., Company Guaranteed Notes (BB, Ba2) 09/15/10 8.500 391,406
450 MGM Mirage, Inc., Company Guaranteed Notes (B+, Ba3) 02/01/11 8.375 463,500
500 OED Corp., Global Company Guaranteed Notes (Callable 04/15/08 @
$104.38) (B, B2) 04/15/12 8.750 505,625
200 Pokagon Gaming Authority, Rule 144A, Private Placement Senior Notes
(Callable 06/15/10 @ $105.19) ~ (B, B3) 06/15/14 10.375 207,750
600 Resorts International Hotel and Casino, Inc., Global Company
Guaranteed Notes (Callable 03/15/07 @ $106.00) (B, B2) 03/15/09 11.500 651,000
400 River Rock Entertainment Authority, Senior Notes (Callable 11/01/07
@ $104.88) (B+, B2) 11/01/11 9.750 423,000
100 Seneca Gaming Corp., Global Senior Notes (Callable 05/01/08 @
$103.63) (BB-, B2) 05/01/12 7.250 97,375
500 Trump Entertainment Resorts, Inc., Secured Notes (Callable 06/01/10
@ $104.25) (S) (B-, Caa1) 06/01/15 8.500 483,125
199 Waterford Gaming LLC, Rule 144A, Senior Notes ~ (BB-, B1) 09/15/12 8.625 210,940
900 WYNN Las Vegas LLC, Global 1st Mortgage Notes (Callable 12/01/09 @
$103.31) (B+, B2) 12/01/14 6.625 852,750
----------
9,984,715
----------
GAS DISTRIBUTION (1.2%)
500 El Paso Corp., Senior Notes (B, B2) 05/15/11 7.000 495,625
250 El Paso Natural Gas, Series A, Global Senior Notes (Callable 08/01/07
@ $103.81) (B+, Ba2) 08/01/10 7.625 255,625
525 Inergy LP/Inergy Finance Corp., Global Guaranteed Notes (Callable
03/01/11 @ $104.13) (B, B1) 03/01/16 8.250 532,875
1,175 Williams Companies, Inc., Notes (BB-, Ba2) 03/15/12 8.125 1,224,938
----------
2,509,063
----------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
5
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ ----------
CORPORATE OBLIGATIONS
HEALTH SERVICES (4.2%)
$ 800 CDRV Investors, Inc., Global Senior Discount Notes
(Callable 01/01/10 @ $104.81) @ (B-, Caa2) 01/01/15 0.000 $ 544,000
250 Concentra Operating Corp., Global Company Guaranteed Notes
(Callable 08/15/07 @ $104.75) (B-, B3) 08/15/10 9.500 260,000
500 Fisher Scientific International Inc., Global Senior
Subordinated Notes (Callable 08/15/09 @ $103.38) (BB+, Ba2) 08/15/14 6.750 500,625
350 HCA, Inc., Notes (BB+, Ba1) 10/01/12 6.300 330,932
800 Healthsouth Corp., Rule 144A, Private Placement Senior Notes
(Callable 06/15/11 @ $105.38) ~ (CCC+, B3) 06/15/16 10.750 788,000
650 Iasis Healthcare LLC/Iasis Capital Corp., Global Senior
Subordinated Notes (Callable 06/15/09 @ $104.38) (B-, B3) 06/15/14 8.750 640,250
250 Medquest, Inc., Series B, Company Guaranteed Notes
(Callable 08/15/07 @ $105.94) (CCC, Caa3) 08/15/12 11.875 233,125
550 Stewart Enterprises, Inc., Global Senior Notes
(Callable 02/15/09 @ $103.13) (B+, B1) 02/15/13 6.250 503,938
1,575 Tenet Healthcare Corp., Global Senior Notes (B, B3) 07/01/14 9.875 1,582,875
500 Tenet Healthcare Corp., Rule 144A, Senior Notes ~ (B, B3) 02/01/15 9.250 492,500
1,050 Triad Hospitals, Inc., Senior Subordinated Notes (B+, B3) 11/15/13 7.000 1,026,375
800 Universal Hospital Services, Inc., Global Senior Notes
(Callable 11/01/07 @ $105.06) (B-, B3) 11/01/11 10.125 836,000
950 Vanguard Health Holding II, Global Senior Subordinated Notes
(Callable 10/01/09 @ $104.50) (CCC+, Caa1) 10/01/14 9.000 952,375
100 VWR International, Inc., Global Senior Subordinated Notes
(Callable 04/15/09 @ $104.00) (B-, Caa1) 04/15/14 8.000 97,625
----------
8,788,620
----------
HOTELS (0.9%)
500 Bluegreen Corp., Series B, Company Guaranteed Notes
(Callable 07/17/06 @ $100.00) (B-, B3) 04/01/08 10.500 497,500
425 Felcor Lodging LP, Global Company Guaranteed Notes (B, Ba3) 06/01/11 8.500 452,625
200 Host Marriott LP, Global Senior Notes
(Callable 11/01/08 @ $103.56) (BB, Ba2) 11/01/13 7.125 200,250
825 Host Marriott LP., Rule 144A, Private Placement Senior Notes
(Callable 06/01/11 @ $103.38) ~ (BB, Ba2) 06/01/16 6.750 790,969
----------
1,941,344
----------
HOUSEHOLD & LEISURE PRODUCTS (1.3%)
650 ALH Finance LLC, Senior Subordinated Notes
(Callable 01/15/09 @ $104.25) (S) (CCC+, B3) 01/15/13 8.500 630,500
400 Ames True Temper, Inc., Global Company Guaranteed Notes
(Callable 01/15/07 @ $103.00) # (CCC+, Caa1) 01/15/12 7.141 395,000
600 Ames True Temper, Inc., Senior Subordinated Notes
(Callable 07/15/08 @ $105.00) (S) (CCC-, Caa2) 07/15/12 10.000 492,000
100 Remington Arms Co., Inc., Global Company Guaranteed Notes
(Callable 02/01/07 @ $105.25) (CCC-, Caa1) 02/01/11 10.500 86,500
600 Sealy Mattress Co., Global Senior Subordinated Notes
(Callable 06/15/09 @ $104.13) (B-, B2) 06/15/14 8.250 603,000
525 Simmons Bedding Co., Global Senior Subordinated Notes
(Callable 01/15/09 @ $103.94) (S) (B-, Caa1) 01/15/14 7.875 493,500
----------
2,700,500
----------
INVESTMENTS & MISCELLANEOUS FINANCIAL SERVICES (0.2%)
500 Cardtronics, Inc., Rule 144A, Senior Subordinated Notes
(Callable 08/15/09 @ $104.63) ~ (B-, Caa1) 08/15/13 9.250 495,000
----------
LEISURE (0.7%)
350 Bally Total Fitness Holding Corp., Global Senior Notes
(Callable 07/15/07 @ $105.25) (CCC, Caa1) 07/15/11 10.500 367,063
550 Six Flags, Inc., Global Senior Notes
(Callable 04/15/08 @ $104.88) (CCC, Caa1) 04/15/13 9.750 508,063
700 Six Flags, Inc., Global Senior Notes
(Callable 06/01/09 @ $104.81) (CCC, Caa1) 06/01/14 9.625 640,500
----------
1,515,626
----------
MACHINERY (0.2%)
450 Case New Holland, Inc., Global Company Guaranteed Notes
(Callable 08/01/07 @ $104.62) (BB-, Ba3) 08/01/11 9.250 475,875
----------
MEDIA - BROADCAST (2.2%)
600 Allbritton Communication Co., Global Senior Subordinated Notes
(Callable 12/15/07 @ $103.88) (B-, B3) 12/15/12 7.750 597,000
300 Fisher Communications, Inc., Global Senior Notes
(Callable 09/15/09 @ $104.31) (B-, B2) 09/15/14 8.625 312,000
575 Nextar Finance, Inc., Global Senior Subordinated Notes
(Callable 01/15/09 @ $103.50) (CCC+, B3) 01/15/14 7.000 526,125
800 Paxson Communications Corp., Rule 144A, Private Placement
Secured Notes (Callable 01/15/08 @ $102.00)~# (CCC-, B3) 01/15/13 10.777 806,000
500 Sinclair Broadcast Group, Inc., Global Company Guaranteed Notes
(Callable 03/15/07 @ $104.00) (B, B2) 03/15/12 8.000 510,000
750 Sirius Satellite Radio, Inc., Global Senior Unsecured Notes
(Callable 09/01/09 @ $104.81) (S) (CCC, Caa1) 08/01/13 9.625 706,875
400 Xm Satellite Radio, Inc., Rule 144A, Private Placement Senior
Notes (Callable 05/01/08 @ $102.00) ~# (CCC, Caa2) 05/01/13 9.649 369,000
800 Young Broadcasting, Inc., Global Company Guaranteed Notes
(Callable 03/01/07 @ $103.33) (CCC-, Caa2) 03/01/11 10.000 716,000
----------
4,543,000
----------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
6
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ -----------
CORPORATE OBLIGATIONS
MEDIA - CABLE (5.8%)
$ 750 Atlantic Broadband Finance LLC, Rule 144A, Senior Subordinated
Notes (Callable 01/15/09 @ $104.69) ~ (CCC+, Caa1) 01/15/14 9.375 $ 708,750
792 CCH I LLC, Global Secured Notes
(Callable 10/01/10 @ $105.50) (CCC-, Caa3) 10/01/15 11.000 696,960
1,150 CCO Holdings LLC/Cap Corp., Global Senior Notes
(Callable 11/15/08 @ $104.38) (CCC-, NR) 11/15/13 8.750 1,127,000
1,700 Charter Communications Holdings II, Senior Notes
(Callable 09/15/08 @ $105.13) (CCC-, Caa1) 09/15/10 10.250 1,712,750
1,325 Charter Communications Holdings LLC, Senior Notes
(Callable 04/01/07 @ $100.00) (S) (CCC-, Ca) 04/01/09 8.625 1,026,875
1,200 CSC Holdings, Inc., Rule 144A, Senior Notes ~ (B+, B2) 04/15/12 6.750 1,164,000
1,380 CSC Holdings, Inc., Series B, Senior Notes (B+, B2) 04/01/11 7.625 1,386,900
2,976 DIVA Systems Corp., Series B, Senior Discount Notes
(Callable 07/17/06 @ $100.00) ^O (NR, NR) 03/01/08 12.625 29,762
750 Echostar DBS Corp., Global Company Guaranteed Notes (BB-, Ba3) 10/01/14 6.625 706,875
525 GCI, Inc., Global Senior Notes (Callable 02/15/09 @ $103.63) (B+, B2) 02/15/14 7.250 509,250
250 Insight Communications Co., Inc., Senior Discount Notes
(Callable 02/15/07 @ $104.08) @ (CCC+, Caa1) 02/15/11 0.000 265,000
500 Insight Midwest/Insight Capital, Global Senior Notes
(Callable 11/01/06 @ $103.50) (B, B2) 11/01/10 10.500 523,750
500 Insight Midwest/Insight Capital, Senior Notes
(Callable 10/01/06 @ $101.63) (B, B2) 10/01/09 9.750 511,250
1,175 Mediacom Broadband LLC, Global Senior Notes
(Callable 10/15/10 @ $104.25) (B, B2) 10/15/15 8.500 1,133,875
525 Mediacom LLC/Capital Corp., Senior Notes
(Callable 02/15/07 @ $101.97) (B, B3) 02/15/11 7.875 501,375
-----------
12,004,372
-----------
MEDIA - SERVICES (0.3%)
811 WMG Holdings Corp., Global Senior Discount Notes
(Callable 12/15/09 @ $104.75) @ (B-, B3) 12/15/14 0.000 587,975
-----------
METALS/MINING EXCLUDING STEEL (0.9%)
500 Alpha Natural Resources, Company Guaranteed Notes
(Callable 06/01/08 @ $105.00) (B-, B3) 06/01/12 10.000 537,500
500 American Rock Salt Co. LLC, Global Secured Notes
(Callable 03/15/09 @ $104.75) (B-, B3) 03/15/14 9.500 508,750
675 Southern Copper Corp., Global Senior Notes (BBB-, Baa2) 07/27/35 7.500 647,818
300 Wise Metals Group LLC, Global Secured Notes
(Callable 05/15/08 @ $105.13) (CCC+, Caa1) 05/15/12 10.250 262,500
-----------
1,956,568
-----------
NON-FOOD & DRUG RETAILERS (4.7%)
769 Affinity Group Holding, Global Senior Subordinated Notes
(Callable 02/15/08 @ $105.44) >> (CCC+, Caa1) 02/15/12 10.875 754,108
250 Affinity Group, Inc., Global Senior Subordinated Notes
(Callable 02/15/08 @ $104.50) (CCC+, B3) 02/15/12 9.000 250,000
675 Asbury Automotive Group Co., Global Company Guaranteed Notes
(Callable 06/15/07 @ $104.50) (B, B3) 06/15/12 9.000 671,625
750 Brookstone Company, Inc., Rule 144A, Secured Notes
(Callable 10/15/09 @ $106.00) ~ (B, B3) 10/15/12 12.000 663,750
775 CSK Auto, Inc., Global Company Guaranteed Notes
(Callable 01/15/09 @ $103.50) (B-, B3) 01/15/14 7.000 775,969
600 Finlay Fine Jewelry Corp., Global Senior Notes
(Callable 06/01/08 @ $104.19) (S) (B-, B3) 06/01/12 8.375 525,000
703 Flooring America, Inc., Series B, Company Guaranteed Notes
(Callable 12/13/06 @ $100.00) ^O (NR, NR) 10/15/07 9.250 0
400 General Nutrition Centers, Inc., Global Company Guaranteed
Notes (Callable 01/15/08 @ $104.31) (B-, B3) 01/15/11 8.625 402,500
425 General Nutrition Centers, Inc., Global Senior Subordinated
Notes (Callable 12/01/07 @ $104.25) (B-, B3) 12/01/10 8.500 413,313
350 Gregg Appliances, Inc., Global Company Guaranteed Notes
(Callable 02/01/09 @ $104.50) (B, B2) 02/01/13 9.000 324,625
850 GSC Holdings Corp., Global Company Guaranteed Notes
(Callable 10/01/09 @ $104.00) (S) (B+, Ba3) 10/01/12 8.000 854,250
500 Intcomex, Inc., Rule 144A, Secured Notes
(Callable 01/15/07 @ $106.00) ~ (B-, Caa1) 01/15/11 11.750 498,750
220 National Wine & Spirits, Inc., Company Guaranteed Notes
(Callable 01/15/07 @ $100.00) (CCC+, B3) 01/15/09 10.125 221,100
500 Nebraska Book Co., Inc., Global Senior Subordinated Notes
(Callable 03/15/08 @ $104.31) (CCC, Caa1) 03/15/12 8.625 467,500
1,000 Neiman Marcus Group, Inc., Rule 144A, Senior Subordinated
Notes (Callable 10/15/10 @ $105.19) ~ (S) (B-, B3) 10/15/15 10.375 1,067,500
650 PCA LLC/PCA Finance Corp., Global Senior Notes (NR, Ca) 08/01/09 11.875 149,500
800 Rent-Way, Inc., Global Secured Notes (B-, B3) 06/15/10 11.875 827,000
625 Stripes Acquisition LLC, Rule 144A, Private Placement Senior
Notes (Callable 12/15/09 @ $105.31) ~ (B, B2) 12/15/13 10.625 662,500
250 United Auto Group, Inc., Global Company Guaranteed Notes
(Callable 03/15/07 @ $104.81) (B, B3) 03/15/12 9.625 262,500
-----------
9,791,490
-----------
OFFICE EQUIPMENT (0.5%)
950 Xerox Corp., Senior Notes (Callable 06/15/08 @ $103.81) (BB+, Ba2) 06/15/13 7.625 961,875
-----------
OIL REFINING & MARKETING (0.2%)
200 Giant Industries, Inc., Company Guaranteed Notes
(Callable 05/15/09 @ $104.00) (B-, B3) 05/15/14 8.000 198,500
162 Giant Industries, Inc., Global Company Guaranteed Notes
(Callable 05/15/07 @ $105.50) (B-, B3) 05/15/12 11.000 176,580
-----------
375,080
-----------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
7
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ ----------
CORPORATE OBLIGATIONS
PACKAGING (3.7%)
$ 600 Amtrol, Inc., Senior Subordinated Notes (CCC-, Ca) 12/31/06 10.625 $ 540,000
725 Berry Plastics Corp., Global Company Guaranteed Notes (Callable
07/15/07 @ $105.38) (B-, B3) 07/15/12 10.750 788,438
1,050 Constar International Inc., Senior Subordinated Notes (Callable
12/01/07 @ $105.50) (S) (CCC, Caa3) 12/01/12 11.000 792,750
650 Covalence Specialty Materials Corp., Rule 144A, Private Placement
Senior Subordinated Notes (Callable 03/01/11 @ $105.13) ~ (CCC+, B3) 03/01/16 10.250 627,250
485 Crown Americas LLC, Rule 144A, Private Placement Senior Notes (Callable
11/15/10 @ $103.88) ~ (B, B1) 11/15/15 7.750 480,150
175 Graham Packaging Co., Inc., Global Company Guaranteed Notes (Callable
10/15/08 @ $104.25) (CCC+, Caa1) 10/15/12 8.500 172,375
825 Graham Packaging Co., Inc., Global Subordinated Notes ( Callable
10/15/09 @ $104.94) (S) (CCC+, Caa2) 10/15/14 9.875 820,875
425 Intertape Polymer U.S., Inc., Global Senior Subordinated Notes
(Callable 08/01/09 @ $104.25) (B-, B3) 08/01/14 8.500 393,125
680 Owens-Brockway Glass, Global Company Guaranteed Notes (Callable
05/15/08 @ $104.13) (B, B2) 05/15/13 8.250 685,100
500 Plastipak Holdings, Inc., Rule 144A, Private Placement Senior Notes
(Callable 12/15/10 @ $104.25) ~ (B, B2) 12/15/15 8.500 502,500
850 Pliant Corp., Company Guaranteed Notes (Callable 06/01/07 @ $102.17) O (NR, NR) 06/01/10 13.000 399,500
400 SGS International, Inc., Rule 144A, Private Placement Senior
Subordinated Notes (Callable 12/15/09 @ $106.00) ~ (B-, Caa1) 12/15/13 12.000 402,000
1,200 Solo Cup Co., Global Senior Subordinated Notes (Callable 02/15/09 @
$104.25) (S) (B-, Caa1) 02/15/14 8.500 1,044,000
----------
7,648,063
----------
PHARMACEUTICALS (0.3%)
650 Athena Neuro Finance LLC, Company Guaranteed Notes (B, B3) 02/21/08 7.250 648,375
----------
PRINTING & PUBLISHING (4.5%)
775 American Media Operations, Inc., Series B, Global Company Guaranteed
Notes (Callable 05/01/07 @ $100.00) (CCC, Caa1) 05/01/09 10.250 726,563
975 CBD Media Holdings/CBD Finance, Global Senior Notes (Callable 07/15/08
@ $104.63) (CCC+, Caa2) 07/15/12 9.250 975,000
625 Cenveo Corp., Global Senior Subordinated Notes (Callable 02/01/08 @
$103.94) (B, B3) 12/01/13 7.875 612,500
500 Dex Media, Inc., Global Discount Notes (Callable 11/15/08 @ $104.50) @ (B, B3) 11/15/13 0.000 423,750
800 Dex Media, Inc., Global Notes (Callable 11/15/08 @ $104.00) (B, B3) 11/15/13 8.000 808,000
750 Haights Cross Operating Co., Global Company Guaranteed Notes (Callable
08/15/08 @ $105.88) (CCC, Caa1) 08/15/11 11.750 771,563
575 Houghton Mifflin Co., Global Senior Subordinated Notes (Callable
02/01/08 @ $104.94) (B-, Caa1) 02/01/13 9.875 599,438
725 Houghton Mifflin Co., Global Senior Discount Notes (Callable 10/15/08 @
$105.75) @ (CCC+, Caa2) 10/15/13 0.000 601,750
2,000 Premier Graphics, Inc., Company Guaranteed Notes ^O (NR, NR) 12/01/05 11.500 0
2,000 RH Donnelley Corp., Rule 144A, Private Placement Senior Discount Notes
(Callable 01/15/09 @ $103.44) ~ (B, Caa1) 01/15/13 6.875 1,850,000
250 RH Donnelley Corp., Rule 144A, Private Placement Senior Notes (Callable
01/15/11 @ $104.44) ~ (B, Caa1) 01/15/16 8.875 253,438
725 Vertis, Inc., Series B, Global Company Guaranteed Notes (Callable
06/15/07 @ $102.72) (S) (CCC, Caa2) 06/15/09 10.875 717,750
1,025 WDAC Subsidiary Corp., Rule 144A, Senior Notes ~ (CCC+, Caa1) 12/01/14 8.375 1,012,188
----------
9,351,940
----------
REAL ESTATE DEVELOPMENT & MANAGEMENT (0.3%)
650 Ashton Woods, Global Senior Subordinated Notes (Callable 10/01/10 @
$104.75) (B-, B3) 10/01/15 9.500 578,500
----------
RESTAURANTS (1.8%)
675 Buffets, Inc., Global Senior Subordinated Notes (Callable 07/15/06 @
$105.63) (CCC, B3) 07/15/10 11.250 701,156
750 Denny's Corp./Denny's Holdings Corp., Global Company Guaranteed Notes
(Callable 10/01/08 @ $105.00) (S) (CCC+, Caa1) 10/01/12 10.000 750,000
600 Friendly Ice Cream Corp., Global Senior Notes (Callable 06/15/08 @
$104.19) (S) (CCC+, B3) 06/15/12 8.375 519,000
400 O'Charley's, Inc., Global Senior Subordinated Notes (Callable 11/01/08
@ $104.50) (B, Ba3) 11/01/13 9.000 407,000
145 Romacorp, Inc., Senior Notes O (NR, NR) 12/31/08 10.500 43,500
850 Sbarro, Inc., Company Guaranteed Notes (Callable 09/15/06 @ $101.84)
(S) (CCC+, Caa2) 09/15/09 11.000 870,188
700 Uno Restaurant Corp., Rule 144A, Senior Notes (Callable 02/15/08 @
$110.00) ~(S) (CCC+, B3) 02/15/11 10.000 539,000
----------
3,829,844
----------
SOFTWARE/SERVICES (0.9%)
500 SunGard Data Systems, Inc., Rule 144A, Private Placement Senior
Unsecured Notes (Callable 08/15/09 @ $104.563) ~ (B-, B3) 08/15/13 9.125 521,250
1,300 SunGard Data Systems, Inc., Rule 144A, Senior Subordinated Notes
(Callable 08/15/10 @ $105.13) ~ (B-, Caa1) 08/15/15 10.250 1,350,375
----------
1,871,625
----------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
8
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ ----------
CORPORATE OBLIGATIONS
STEEL PRODUCERS/PRODUCTS (1.3%)
$ 250 AK Steel Corp., Company Guaranteed Notes (Callable 02/15/07 @ $100.00) (B+, B1) 02/15/09 7.875 $ 250,000
575 AK Steel Corp., Global Company Guaranteed Notes (Callable 06/15/07 @
$103.88) (B+, B1) 06/15/12 7.750 566,375
750 Egden Acquisition Corp., Global Secured Notes (Callable 02/01/08 @
$104.94) (B-, B3) 02/01/11 9.875 735,000
525 International Steel Group, Inc., Global Senior Notes (BBB-, Ba1) 04/15/14 6.500 498,750
625 RathGibson, Inc., Rule 144A, Private Placement Senior Notes (Callable
02/15/10 @ $105.62) ~ (B-, B2) 02/15/14 11.250 646,875
83 WCI Steel Acquisition, Inc., Senior Notes (NR, NR) 05/01/16 8.000 81,666
250 WCI Steel, Inc., Senior Notes, Series B O (NR, NR) 12/01/04 10.000 11,175
----------
2,789,841
----------
SUPPORT - SERVICES (3.7%)
400 Allied Security Escrow Corp., Global Senior Subordinated Notes
(Callable 07/15/08 @ $105.69) (CCC+, Caa1) 07/15/11 11.375 390,000
600 Brand Services, Inc., Global Company Guaranteed (Callable 10/15/07 @
$106.00) (CCC+, Caa1) 10/15/12 12.000 679,500
684 Di Finance/Dyncorp International, Series B, Global Senior Subordinated
Notes (Callable 02/15/09 @ $104.75) (B, B3) 02/15/13 9.500 714,780
100 Education Management LLC, Rule 144A, Private Placement Senior Notes
(Callable 06/01/10 @ $104.30) ~ (CCC+, B3) 06/01/14 8.750 99,500
500 Education Management LLC, Rule 144A, Private Placement Senior
Subordinated Notes (Callable 06/01/11 @ $105.13) ~ (CCC+, Caa1) 06/01/16 10.250 500,000
300 Hertz Corp., Rule 144A, Private Placement Senior Notes (Callable
01/01/10 @ $104.44) ~ (B, B1) 01/01/14 8.875 309,000
400 Hertz Corp., Rule 144A, Private Placement Senior Subordinated Notes
(Callable 01/01/11 @ $105.25) ~ (B, B3) 01/01/16 10.500 426,000
800 Hydrochem Industrial Services, Inc., Rule 144A, Senior Subordinated
Notes (Callable 02/15/09 @ $104.63) ~ (CCC+, Caa1) 02/15/13 9.250 776,000
350 Iron Mountain, Inc., Company Guaranteed Notes (Callable 04/01/07 @
$102.88) (B, Caa1) 04/01/13 8.625 351,750
300 Iron Mountain, Inc., Company Guaranteed Notes (Callable 07/01/08 @
$103.31) (B, Caa1) 01/01/16 6.625 271,500
1,100 Johnsondiversey Holdings, Inc., Global Discount Notes (Callable
05/15/07 @ $105.34) @ (CCC+, Caa1) 05/15/13 0.000 940,500
275 La Petite Academy, Inc., Series B, Company Guaranteed Notes (Callable
09/11/06 @ $100.00) (CC, Ca) 05/15/08 10.000 266,750
250 Language Line Holdings, Inc., Global Senior Subordinated Notes
(Callable 06/15/08 @ $105.56) (CCC+, NR) 06/15/12 11.125 243,750
300 Muzak LLC/Muzak Finance Corp., Global Senior Notes (Callable 02/15/07 @
$102.50) (CCC-, Caa2) 02/15/09 10.000 253,500
425 United Rentals North America, Inc., Global Company Guaranteed Notes
(Callable 02/15/08 @ $103.25) (B+, B3) 02/15/12 6.500 403,750
675 United Rentals North America, Inc., Global Senior Subordinated Notes
(Callable 02/15/09 @ $103.50) (B, Caa1) 02/15/14 7.000 620,156
525 Williams Scotsman, Inc., Global Company Guaranteed Notes (Callable
10/01/10 @ $104.25) (B+, B3) 10/01/15 8.500 521,063
----------
7,767,499
----------
TELECOM - FIXED LINE (1.1%)
1,300 Level 3 Communications, Inc. (S) (CCC-, Ca) 03/15/10 6.000 1,083,875
475 Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable
10/15/07 @ $105.38) (CCC-, B3) 10/15/11 10.750 490,438
219 Madison River Capital/Madison River Finance, Senior Notes (Callable
03/01/07 @ $102.21) (B-, B3) 03/01/10 13.250 229,425
500 Time Warner Telecom Holdings, Global Company Guaranteed Notes (Callable
02/15/09 @ $104.62) (CCC+, B2) 02/15/14 9.250 515,000
----------
2,318,738
----------
TELECOM - INTEGRATED/SERVICES (3.2%)
1,050 Cincinnati Bell, Inc., Global Senior Subordinated Notes (Callable
01/15/09 @ $104.19) (B-, B3) 01/15/14 8.375 1,039,500
525 Embarq Corp., Notes (BBB-, Baa3) 06/01/16 7.082 523,034
800 Hawaiian Telecom Communications, Inc., Global Company Guaranteed Notes
(Callable 05/01/10 @ $106.25) (S) (CCC+, Caa1) 05/01/15 12.500 842,000
525 Hughes Network Systems LLC/HNS Finance Corp., Rule 144A, Private
Placement Senior Notes (Callable 04/15/10 @ $104.25) ~ (B-, B1) 04/15/14 9.500 517,125
545 PanAmSat Corp., Global Company Guaranteed Notes (Callable 08/15/09 @
$104.50) (B, B2) 08/15/14 9.000 555,900
1,025 Qwest Communications International, Inc., Global Company Guaranteed
Notes (Callable 02/15/08 @ $103.62) (B, B2) 02/15/11 7.250 999,375
300 Qwest Communications International, Inc., Global Company Guaranteed
Notes (Callable 02/15/09 @ $103.75) (B, B2) 02/15/14 7.500 294,000
1,530 Qwest Corp., Global Senior Notes (BB, Ba3) 06/15/15 7.625 1,518,525
225 Windstream Corp., Rule 144A, Private Placement Senior Notes ~ (BB-, Ba3) 08/01/13 8.125 230,625
225 Windstream Corp., Rule 144A, Private Placement Senior Notes (Callable
08/01/11 @ $104.31) ~ (BB-, Ba3) 08/01/16 8.625 231,188
----------
6,751,272
----------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
9
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ -----
CORPORATE OBLIGATIONS
TELECOM - WIRELESS (2.4%)
$ 525 American Tower Corp., Global Senior Notes (Callable 10/15/08 @
$103.56) (BB-, B1) 10/15/12 7.125 $ 530,250
450 Centennial Cellular Operating Co./Centennial Communications Corp.,
Global Company Guaranteed Notes (Callable 06/15/08 @ $105.06) (CCC, B3) 06/15/13 10.125 475,875
625 Centennial Communications Corp. Global Senior Notes (Callable
01/01/09 @ $107.50) (CCC, Caa2) 01/01/13 10.000 621,875
455 Dobson Cellular Systems, Global Secured Notes (Callable 11/1/08 @
$104.94) (CCC, B2) 11/01/12 9.875 482,300
600 Dobson Communications Corp., Global Senior Notes (Callable 10/01/08
@ $104.44) (CCC, Caa2) 10/01/13 8.875 592,500
350 Horizon PCS, Inc., Global Company Guaranteed Notes (Callable
07/15/08 @ $105.69) (B-, NR) 07/15/12 11.375 395,063
250 IPCS, Inc., Global Senior Notes (Callable 05/01/08 @ $105.75) (B-, B3) 05/01/12 11.500 280,000
100 Rural Cellular Corp., Global Senior Notes (Callable 08/01/07 @
$104.94) (CCC, Caa1) 02/01/10 9.875 103,375
375 Rural Cellular Corp., Global Senior Subordinated Notes (Callable
05/01/07 @ $103.25) (CCC, Caa2) 01/15/10 9.750 375,469
525 Rural Cellular Corp., Rule 144A, Private Placement Senior
Subordinated Notes (Callable 11/01/07 @ $102.00) ~# (CCC, Caa2) 11/01/12 10.041 541,406
700 Triton PCS, Inc., Company Guaranteed Notes (CCC-, Caa2) 06/01/13 8.500 645,750
------------
5,043,863
------------
THEATERS & ENTERTAINMENT (0.7%)
400 AMC Entertainment, Inc., Global Senior Subordinated Notes
(Callable 03/01/09 @ $104.00) (CCC+, B3) 03/01/14 8.000 368,500
650 AMC Entertainment, Inc., Senior Subordinated Notes (Callable
02/01/07 @ $104.94) (CCC+, B3) 02/01/12 9.875 650,000
200 Cinemark USA, Inc., Global Senior Subordinated Notes (Callable
02/01/08 @ $104.50) (B-, B3) 02/01/13 9.000 211,000
400 Cinemark, Inc., Global Senior Discount Notes (Callable 03/15/09 @
$104.88) @ (B-, Caa1) 03/15/14 0.000 312,000
------------
1,541,500
------------
TRANSPORTATION EXCLUDING AIR/RAIL (0.2%)
195 H-Line Finance Holding Corp., Global Senior Discount Notes
(Callable 04/01/08 @ $105.50) @ (CCC+, Caa2) 04/01/13 0.000 168,188
237 Horizon Lines LLC, Global Company Guaranteed Notes (Callable
11/01/08 @ $104.50) (CCC+, B3) 11/01/12 9.000 241,740
------------
409,928
------------
TOTAL CORPORAT OBLIGATIONS (Cost $190,058,604) 182,823,941
------------
ASSET BACKED SECURITIES (0.3%)
550 Park Place Securities, Inc., Rule 144A ~# (Cost $498,817) (BB+, Ba1) 10/25/34 7.568 514,684
------------
NUMBER
OF
SHARES
------
COMMON STOCKS (0.7%)
AUTO PARTS & EQUIPMENT (0.0%)
18,064 Safelite Glass Corp., Class B ^* 15,354
1,219 Safelite Realty Corp. ^* 9,752
------------
25,106
------------
CHEMICALS (0.0%)
4,893 Huntsman Corp. * 84,747
------------
CONSUMER - PRODUCTS (0.0%)
20,689 Continental AFA Dispensing Co. ^* 0
------------
ELECTRIC - INTEGRATED (0.3%)
18,795 Mirant Corp. * 503,706
------------
FOOD - WHOLESALE (0.3%)
590 Crunch Equity Holdings LLC * 560,885
------------
HEALTH SERVICES (0.0%)
232 Magellan Health Services, Inc. * 10,512
------------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
10
NUMBER
OF SHARES VALUE
--------- ------------
COMMON STOCKS
PRINTING & PUBLISHING (0.1%)
206 Cenveo, Inc. * $ 3,698
10,652 Cenveo, Inc., Rule 144A ~* 191,203
------------
194,901
------------
STEEL PRODUCERS/PRODUCTS (0.0%)
2,520 WCI Steel Acquisition, Inc. * 69,300
------------
TELECOM - INTEGRATED/SERVICES (0.0%)
69,987 Digitalglobe, Inc. ^* 69,987
------------
TOTAL COMMON STOCKS (Cost $1,775,491) 1,519,144
------------
PREFERRED STOCKS (0.0%)
MEDIA - CABLE (0.0%)
7,500 Adelphia Communications Corp., 13% cumulative exchangeable
Series B (Callable 07/15/06 @ $102.17)* (Cost $750,000) 1,500
------------
WARRANTS (0.0%)
AEROSPACE/DEFENSE (0.0%)
6,290 Loral Space & Communications, strike price $23.70, expires
12/27/06 ^* 0
------------
AUTO PARTS & EQUIPMENT (0.0%)
44,271 Safelite Glass Corp., strike price $0.01, Class A, expires
09/29/06 ^* 0
29,514 Safelite Glass Corp., strike price $0.01, Class B, expires
09/29/07 ^* 0
------------
BUILDING MATERIALS (0.0%)
1,250 Dayton Superior Corp., strike price $0.01, Rule 144A, expires
06/15/09 ~^* 13
------------
CHEMICALS (0.0%)
117 AGY Holding Corp., strike price $0.01, expires 01/01/10 ^* 1
------------
GAMING (0.0%)
3,000 Mikohn Gaming Corp., strike price $7.70, expires 08/15/08 * 30
------------
PACKAGING (0.0%)
747 Pliant Corp., strike price $0.01, expires 06/01/10 ^* 0
------------
TELECOM - FIXED LINE (0.0%)
4 NTL, Inc., strike price $262.93, Series A, expires 01/13/11* 3
------------
TOTAL WARRANTS (Cost $61,387) 47
------------
TOTAL DOMESTIC SECURITIES (Cost $193,144,299) 184,859,316
------------
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
FOREIGN SECURITIES (10.2%)
CORPORATE OBLIGATIONS (10.2%)
APPAREL/TEXTILES (0.2%)
$ 275 IT Holding Finance SA, Rule 144A, Senior Notes (Luxembourg) ~ (CCC+, Caa1) 11/15/12 9.875 318,224
-------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
11
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ ----------
CORPORATE OBLIGATIONS
BUILDING MATERIALS (0.4%)
$ 750 MAAX Corp., Global Senior Subordinated Notes (Callable 06/15/08 @
$104.88) (Canada) (CCC-, B3) 06/15/12 9.750 $ 615,937
500 MAAX Holdings, Inc., Global Senior Discount Notes (Callable 12/15/08
@ $105.62) (Canada) @ (CCC-, Caa3) 12/15/12 0.000 197,500
----------
813,437
----------
CHEMICALS (1.1%)
500 Basell AF SCA, Rule 144A, Private Placement Company Guaranteed Notes
(Callable 08/15/10 @ $104.19) (Luxembourg) ~ (B-, B2) 08/15/15 8.375 483,125
1,125 Ineos Group Holding Plc., Rule 144A, Private Placement Notes
(Callable 02/15/11 @ $104.25) (United Kingdom) ~ (B-, NR) 02/15/16 8.500 1,058,906
373 Rhodia SA, Global Senior Notes (France) (CCC+, B3) 06/01/10 10.250 400,043
300 Rhodia SA., Global Senior Subordinated Notes (Callable 06/01/07 @
$104.44) (France) (B-, Caa1) 06/01/11 8.875 300,375
----------
2,242,449
----------
DIVERSIFIED CAPITAL GOODS (0.3%)
425 Sensata Technologies BV., Rule 144A, Private Placement Notes
(Callable 05/01/11 @ $104.50) (Netherlands) ~ (B-, Caa1) 05/01/16 9.000 536,905
----------
ELECTRONICS (0.8%)
400 Avago Technologies Finance Pte., US/Wireless, Rule 144A, Private
Placement Senior Subordinated Notes (Callable 12/01/10 @ $105.94)
(Singapore) ~ (CCC+, Caa2) 12/01/15 11.875 437,000
600 Celestica, Inc., Senior Subordinated Notes (Callable 07/01/08 @
$103.94) (Canada) (B, B2) 07/01/11 7.875 592,500
650 Magnachip Semiconductor, Senior Subordinated Notes (Callable
12/15/09 @ $104.00) (South Korea) (B-, B2) 12/15/14 8.000 542,750
----------
1,572,250
----------
FOOD & DRUG RETAILERS (0.5%)
1,125 Jean Coutu Group (PJC), Inc., Global Senior Subordinated Notes
(Callable 08/01/09 @ $104.25) (Canada) (B-, Caa2) 08/01/14 8.500 1,040,625
----------
FORESTRY/PAPER (1.4%)
700 Abitibi-Consolidated, Inc., Yankee Senior Notes (Canada) (B+, B1) 04/01/15 8.375 642,250
350 Abitibi-Consolidated, Inc., Global Notes (Canada) (B+, B1) 06/15/11 7.750 322,875
550 Bowater Canada Finance, Global Company Guaranteed (Canada) (B+, B1) 11/15/11 7.950 525,250
500 JSG Funding Plc, Global Senior Notes (Callable 10/01/07 @ $104.81)
(Ireland) (B-, B3) 10/01/12 9.625 517,500
750 JSG Funding Plc, Senior Subordinated Notes (Callable 01/31/10 @
$103.88) (Ireland) (B-, Caa1) 04/01/15 7.750 682,500
250 Tembec Industries, Inc., Global Company Guaranteed Notes (Canada) (CCC-, Ca) 03/15/12 7.750 128,750
200 Tembec Industries, Inc., Yankee Company Guaranteed (Callable
06/30/07 @ $100.00) (Canada) (CCC-, Ca) 06/30/09 8.625 110,500
----------
2,929,625
----------
LEISURE (0.4%)
150 Intrawest Corp., Global Senior Notes (Callable 10/15/08 @ $103.75)
(Canada) (B+, B1) 10/15/13 7.500 150,000
750 NCL Corp., Global Senior Notes (Callable 07/15/09 @ $105.31)
(Bermuda) (B+, B2) 07/15/14 10.625 740,625
----------
890,625
----------
MEDIA - BROADCAST (0.0%)
4,600 Australis Holdings Pty. Ltd., Yankee Senior Discount Notes
(Australia) ^O (NR, NR) 11/01/02 15.000 0
----------
MEDIA - CABLE (0.9%)
500 Kabel Deutschland GmbH, Rule 144A, Company Guaranteed Notes
(Callable 07/01/09 @ $105.31) (Germany) ~ (B-, B2) 07/01/14 10.625 530,000
400 Ono Finance Plc, Rule 144A, Company Guaranteed Notes (Callable
05/15/09 @ $105.25) (United Kingdom) ~ (CCC+, B3) 05/15/14 10.500 543,426
393 Telenet Group Holding NV, Rule 144A, Discount Notes (Callable
12/15/08 @ $105.75) (Belgium) ~@ (CCC+, Caa1) 06/15/14 0.000 335,033
400 Unity Media GMBH, Rule 144A, Private Placement Senior Notes
(Callable 02/15/10 @ $105.06) (Germany) ~ (CCC+, Caa2) 02/15/15 10.125 493,559
----------
1,902,018
----------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
12
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ------ -----------
CORPORATE OBLIGATIONS
MEDIA - DIVERSIFIED (0.1%)
$ 150 Quebecor Media, Inc., Rule 144A, Private Placement Senior Notes
(Callable 03/15/11 @ $103.88) (Canada) ~ (B, B2) 03/15/16 7.750 $ 147,750
-----------
METALS/MINING EXCLUDING STEEL (0.0%)
924 International Utility Structures, Inc., Subordinated Notes
(Canada) ^O (NR, NR) 02/01/08 13.000 0
800 International Utility Structures, Inc., Yankee Senior Subordinated
Notes (Canada) ^O (NR, NR) 02/01/08 10.750 0
-----------
0
-----------
OIL FIELD EQUIPMENT & SERVICES (0.1%)
150 Titan Petrochemicals Group Ltd., Rule 144A, Company Guaranteed Notes
(Bermuda) ~ (B+, B1) 03/18/12 8.500 128,625
-----------
PACKAGING (0.2%)
400 Gerresheimer Holdings GMBH, Rule 144A, Company Guaranteed Notes
(Callable 02/15/10 @ $103.94) (Germany) ~ (B-, Caa1) 03/01/15 7.875 506,345
-----------
PHARMACEUTICALS (0.3%)
400 Biovail Corp. Yankee Senior Subordinated Notes (Callable 04/01/07 @
$101.969) (Canada) (BB-, B2) 04/01/10 7.875 407,000
275 Elan Finance Plc./Elan Finance Corp., Global Company Guaranteed
Notes (Callable 11/15/08 @ $103.88) (Ireland) (B, B3) 11/15/11 7.750 264,000
-----------
671,000
-----------
SUPPORT - SERVICES (0.3%)
675 Ashtead Holdings Plc., Rule 144A, Private Placement Secured Notes
(Callable 08/01/10 @ $104.31) (United Kingdom) ~ (B, B2) 08/01/15 8.625 685,125
-----------
TELECOM - INTEGRATED/SERVICES (1.8%)
750 Global Crossing UK Finance Plc., Global Company Guaranteed Notes
(Callable 12/15/09 @ $105.38) (United Kingdom) (B-, Caa1) 12/15/14 10.750 798,750
400 Hellas Telecom, Rule 144A, Secured Notes (Callable 10/15/06 @
$102.00) (Luxembourg) ~# (B, B1) 10/15/12 6.014 526,164
625 Intelsat Bermuda Ltd., Rule 144A, Private Placement Senior Notes
(Callable 06/15/11 @ $105.62) (Bermuda) ~ (B, Caa1) 06/15/16 11.250 643,750
975 Intelsat Ltd., Global Notes (Bermuda) (B, Caa2) 04/15/12 7.625 809,250
250 Intelsat Subsidiary Holding Co., LTD., Global Senior Notes
(Callable 01/15/09 @ $104.13) (Bermuda) (B+, B2) 01/15/13 8.250 249,375
575 Nordic Tel Co., Holdings, Rule 144A, Private Placement Notes
(Callable 05/01/07 @ $102.00) (Denmark) ~# (B, B2) 05/01/16 8.352 766,471
-----------
3,793,760
-----------
TELECOM - WIRELESS (0.3%)
500 Millicom International Cellular S.A., Global Senior Notes (Callable
12/01/08 @ $105.00) (Luxembourg) (B-, B3) 12/01/13 10.000 560,000
-----------
TELECOMMUNICATIONS - EQUIPMENT (0.1%)
275 Nortel Networks Ltd., Private Placement Company Guaranteed Notes
(Canada) # (B-, B3) 07/15/11 9.731 281,188
-----------
TRANSPORTATION EXCLUDING AIR/RAIL (1.0%)
700 Sea Containers Ltd., Series B, Yankee Senior Notes (Callable
08/18/06 @ $100.00) (Bermuda) (S) (CC, Caa3) 02/15/08 7.875 633,500
1,350 Ship Finance International Ltd., Global Senior Notes (Callable
12/15/08 @ $104.25) (Bermuda) (B, B1) 12/15/13 8.500 1,289,250
250 Stena AB, Global Senior Notes (Callable 12/01/09 @ $103.50) (Sweden) (BB-, Ba3) 12/01/16 7.000 231,250
-----------
2,154,000
-----------
TOTAL FOREIGN CORPORATE OBLIGATIONS (Cost $25,210,059) 21,173,951
-----------
NUMBER
OF
SHARES
------
COMMON STOCKS (0.0%)
TELECOM - INTEGRATED/SERVICES (0.0%)
7,498 Colt Telecom Group Plc. (United Kingdom) (Cost $5,422) 8,113
-----------
TOTAL FOREIGN SECURITIES (Cost $25,215,481) 21,182,064
-----------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
13
PAR
(000) MATURITY RATE% VALUE
----- -------- ----- ------------
SHORT-TERM INVESTMENTS (10.9%)
$ 776 Wells Fargo-Grand Cayman overnight deposit (USD) 07/03/06 4.250 $ 776,000
NUMBER
OF SHARES
-----------
21,926,930 Securities Lending Investment Fund, a series of the Brown
Brothers Investment Trust PIE 21,926,930
------------
TOTAL SHORT-TERM INVESTMENTS (Cost $22,702,930) 22,702,930
------------
TOTAL INVESTMENTS (109.8%) (Cost $241,062,710) 228,744,310
------------
LIABILITIES IN EXCESS OF OTHER ASSETS (-9.8%) (20,353,643)
------------
NET ASSETS (100%)
Applicable to 49,895,588 issued and outstanding
$0.001 par value shares (authorized 100,000,000 shares) $208,390,667
============
INVESTMENT ABBREVIATIONS
NR = Not Rated
+ 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, 2006,
these securities amounted to a value of $36,161,548 or 17.4% of net
assests.
^ 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.
# Variable rate obligation -- the interest rate shown is the rate as of June
30, 2006.
+ Step Bond -- The interest rate stated is the rate as of June 30, 2006.
O Security in default.
* Non-income producing security.
>> Payment-in-kind
++ Less then 1,000 par.
(S) Security or a portion thereof is out on loan.
PIE Represents security purchased with cash collateral received for securities
on loan.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
14
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2006 (unaudited)
ASSETS
Investments at value, including collateral
for securities on loan of $21,926,930
(Cost $241,062,710) (Note 2) $ 228,744,310(1)
Cash 335,759
Interest receivable 4,497,037
Other assets 16,808
-------------
Total Assets 233,593,914
-------------
LIABILITIES
Investment advisory fees (Note 3) 244,201
Administrative fees (Note 3) 21,232
Payable upon return of securities loaned (Note 2) 21,926,930
Dividend payable 1,496,868
Payable for investments purchased 1,344,481
Unrealized depreciation on foreign currency transactions 61,197
Printing fees (Note 3) 26,908
Directors' fees (Note 3) 17,141
Other accrued expenses 64,289
-------------
Total Liabilities 25,203,247
-------------
NET ASSETS $ 208,390,667
=============
NET ASSETS CONSIST OF
Capital stock at $0.001 par value $ 49,896
Paid-in capital 390,325,868
Distributions in excess of net investment income (4,267,192)
Accumulated net realized loss on investments and foreign
currency transactions (165,296,076)
Unrealized depreciation on investments and foreign currency
translations (12,421,829)
Net Assets applicable to 49,895,588 issued and outstanding -------------
shares (authorized 100,000,000 shares) $ 208,390,667
=============
NET ASSET VALUE PER SHARE $ 4.18
=============
MARKET PRICE PER SHARE $ 3.96
=============
(1) Including $21,473,465 of securities on loan
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
15
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2006 (unaudited)
INVESTMENT INCOME
Interest (Net of foreign taxes withheld of $141) (Note 2) $ 9,308,300
Securities lending 19,008
-----------
Total investment income 9,327,308
-----------
EXPENSES
Investment advisory fees (Note 3) 485,272
Custodian fees 59,507
Administrative fees (Note 3) 48,527
Directors' fees and expenses 39,546
Printing fees (Note 3) 37,192
Legal fees 31,737
Shareholder servicing fees 31,241
Audit and tax fees 22,935
Miscellaneous 16,455
-----------
Total expenses 772,412
-----------
Net investment income 8,554,896
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS AND
FOREIGN CURRENCY RELATED ITEMS
Net realized loss from investments (789,660)
Net realized loss on foreign currency transactions (Note 2) (48,750)
Net change in unrealized appreciation (depreciation) from
investments (383,999)
-----------
Net realized and unrealized loss from investments and foreign
currency related items (1,222,409)
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 7,332,487
===========
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
16
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE
SIX MONTHS ENDED FOR THE YEAR
JUNE 30, 2006 ENDED
(UNAUDITED) DECEMBER 31, 2005
---------------- -----------------
FROM OPERATIONS
Net investment income $ 8,554,896 $ 17,793,325
Net realized loss on investments and foreign currency transactions (838,410) (3,520,742)
Net change in unrealized appreciation (depreciation)
of investments and foreign currency translations (383,999) (10,401,483)
------------ ------------
Net increase in net assets resulting from operations 7,332,487 3,871,100
------------ ------------
FROM DISTRIBUTIONS
Net investment income (10,478,073) (19,491,595)
Return of capital -- (217,186)
------------ ------------
Total distributions (10,478,073) (19,708,781)
------------ ------------
Total decrease in net assets (3,145,586) (15,837,681)
------------ ------------
NET ASSETS
Beginning of period 211,536,253 227,373,934
------------ ------------
End of period $208,390,667 $211,536,253
============ ============
Distributions in excess of net investment income $ (4,267,192) $ (2,344,015)
============ ============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
17
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
FINANCIAL HIGHLIGHTS
FOR THE
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
6/30/06 ---------------------
(UNAUDITED) 12/31/05 12/31/04
----------- -------- --------
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period $ 4.24 $ 4.56 $ 4.41
-------- -------- --------
Offering Costs -- -- --
-------- -------- --------
INVESTMENT ACTIVITIES
Net investment income 0.17 0.36 0.35
Net realized and unrealized gain
(loss) on investments and futures
contracts (0.02) (0.28) 0.22
-------- -------- --------
Total from investment activities 0.15 0.08 0.57
-------- -------- --------
DISTRIBUTIONS
Net investment income (0.21) (0.40) (0.40)
Return of capital -- (0.00)(2) (0.02)
-------- -------- --------
Total distributions (0.21) (0.40) (0.42)
-------- -------- --------
Decrease in net asset value due to
shares issued through rights
offering -- -- --
-------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 4.18 $ 4.24 $ 4.56
======== ======== ========
PER SHARE MARKET VALUE, END OF PERIOD $ 3.96 $ 3.67 $ 4.45
======== ======== ========
TOTAL INVESTMENT RETURN
Net asset value(1) 3.87% 1.74% 13.55%
Market value 12.88% (9.76)% 8.60
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period
(000s omitted) $208,391 $211,536 $227,374
Ratio of expenses to average net
assets including expense
offsets 0.73%** 0.82% 0.78%
Ratio of expenses to average net
assets 0.73%** 0.82% 0.78%
Ratio of net investment income to
average net assets 8.13%** 8.20% 8.08%
Portfolio turnover rate 30.6% 61.5% 57.8%
+ Calculated using the average share method.
* Adjusted for Rights Offering.
** Annualized.
(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) This amount represents less then $(0.01) per share.
(3) 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.
(4) 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.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
18
YEAR ENDED DECEMBER 31,
----------------------------------------------------------------------------------------
12/31/03 12/31/02 12/31/01(3) 12/31/00 12/31/99 12/31/98 12/31/97 12/31/96
-------- -------- ----------- -------- -------- -------- -------- --------
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period $ 3.91 $ 4.74 $ 5.70 $ 7.34 $ 7.77 $ 8.44 $ 8.12 $ 8.63
-------- -------- -------- -------- -------- -------- -------- --------
Offering Costs -- -- -- -- -- -- -- (0.02)
-------- -------- -------- -------- -------- -------- -------- --------
INVESTMENT ACTIVITIES
Net investment income 0.37 0.42 0.61+ 0.67 0.75 0.71 0.69 0.75
Net realized and unrealized gain
(loss) on investments and futures
contracts 0.58 (0.55) (0.85) (1.55) (0.46) (0.66) 0.39 0.18
-------- -------- -------- -------- -------- -------- -------- --------
Total from investment activities 0.95 (0.13) (0.24) (0.88) 0.29 0.05 1.08 0.93
-------- -------- -------- -------- -------- -------- -------- --------
DISTRIBUTIONS
Net investment income (0.43) (0.62) (0.72) (0.76) (0.72) (0.72) (0.76) (0.90)
Return of capital (0.02) (0.08) -- -- -- -- -- --
-------- -------- -------- -------- -------- -------- -------- --------
Total distributions (0.45) (0.70) (0.72) (0.76) (0.72) (0.72) (0.76) (0.90)
-------- -------- -------- -------- -------- -------- -------- --------
Decrease in net asset value due to
shares issued through rights
offering -- -- -- -- -- -- -- (0.52)
-------- -------- -------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 4.41 $ 3.91 $ 4.74 $ 5.70 $ 7.34 $ 7.77 $ 8.44 $ 8.12
======== ======== ======== ======== ======== ======== ======== ========
PER SHARE MARKET VALUE, END OF PERIOD $ 4.50 $ 3.88 $ 4.98 $ 5.56 $ 6.06 $ 7.56 $ 8.75 $ 7.63
======== ======== ======== ======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN
Net asset value(1) 24.59% (5.26)% (6.04)% (12.37)% 4.50% 0.47% 14.03% 10.59%*
Market value 28.11% (10.52)% 1.15% 3.55% (11.32)% (5.68)% 25.90% 10.05%*
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period
(000s omitted) $219,864 $195,089 $236,652 $197,817 $254,857 $269,507 $291,959 $280,634
Ratio of expenses to average net
assets including expense
offsets 0.78% 0.79% 1.07% 0.78% 0.78% 0.81% 0.84% 0.94%
Ratio of expenses to average net
assets 0.78% 0.79% 1.07% 0.78% 0.78% 0.81% 0.84% 0.95%
Ratio of net investment income to
average net assets 8.83% 9.93% 11.66% 10.10% 9.90% 8.59% 8.47% 9.23%
Portfolio turnover rate 77.8% 61.1% 50.1%(4) 39.1% 43.5% 84.7% 97.7% 81.0%
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
19
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
NOTES TO FINANCIAL STATEMENTS
June 30, 2006 (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 than 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.
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 144A securities that
have been determined to be liquid under procedures established by the Board of
Directors). 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. 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.
20
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 ("Credit Suisse"), 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.
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, 2006, 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, 2006,
the Fund had the following forward foreign currency contracts.
FOREIGN
FORWARD FOREIGN EXPIRATION CURRENCY CONTRACT CONTRACT UNREALIZED
CURRENCY CONTRACT DATE TO BE SOLD AMOUNT VALUE LOSS
---------------------- ---------- ----------------- ---------- ---------- ----------
European Economic Unit 9/26/06 (euro)(2,954,000) $3,799,041 $3,737,844 $(61,197)
J) SECURITIES LENDING -- Loans of securities are required at all times to
be secured by collateral at least equal to 102% of the market value of domestic
securities on loan (including any accrued interest thereon) and 105% of the
market value of foreign securities on loan (including any accrued interest
thereon). Cash collateral received by the Fund in connection with securities
lending activity may be invested in a variety of investments, including certain
Credit Suisse advised funds, funds advised by BBH&Co., the Fund's securities
lending agent, or money
21
market instruments. However, in the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings.
BBH&Co. has been engaged by the Fund to act as the Fund's securities
lending agent. The Fund's securities lending arrangement provides that the Fund
and BBH&Co. will share net income earned from the securities lending activities.
During the six months ended June 30, 2006, total earnings from the Fund's
investment in cash collateral received in connection with securities lending
arrangements was $61,979, of which $38,219 was rebated to borrowers (brokers).
The Fund retained $19,008 in income from the cash collateral investment and
BBH&Co., as lending agent, was paid $4,752. The Fund may also be entitled to
certain minimum amounts of income from its securities lending activities.
Securities lending income is accrued as earned.
K) 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
capital gains realized on the sale of such investments. The Fund accrues such
taxes when the related income is earned or gains are realized.
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
Credit Suisse serves as investment adviser for the Fund. For its investment
advisory services, Credit Suisse 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, 2006,
investment advisory fees earned were $485,272.
Credit Suisse Asset Management Limited ("Credit Suisse U.K."), an affiliate
of Credit Suisse, is sub-investment adviser to the Fund. Credit Suisse U.K.'s
sub-investment advisory fees are paid by Credit Suisse out of Credit Suisse's
net investment advisory fee and are not paid by the Fund.
22
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, 2006, BBH&Co. earned
administrative service fees (including out-of-pocket expenses) of $48,527.
The Independent Directors receive fifty percent (50%) of their annual
retainer in the form of shares purchased by the Fund's transfer agent in the
open market.
Merrill Corporation ("Merrill"), an affiliate of Credit Suisse, has been
engaged by the Fund to provide certain financial printing services. For the six
months ended June 30, 2006, Merrill was paid $29,489 for its services to the
Fund.
NOTE 4. LINE OF CREDIT
The Fund, together with other funds/portfolios advised by Credit Suisse
(collectively, the "Participating Funds"), participates in a $75 million
committed, unsecured line of credit facility ("Credit Facility") for temporary
or emergency purposes with Deutsche Bank, A.G. as administrative agent and
syndication agent and State Street Bank and Trust Company as operations agent.
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, 2006 and during the six months ended June 30,
2006, the Fund had no borrowings under the Credit Facility.
NOTE 5. PURCHASES AND SALES OF SECURITIES
For the six months ended June 30, 2006, the Fund had no investments in U.S.
Government and Agency Obligations. Purchases and sales of investment securities
(excluding short-term investments) were $70,397,339 and $62,929,370,
respectively.
At June 30, 2006, 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 depreciation from investments were $241,062,710, $3,631,529,
$(15,949,929) and $(12,318,400), respectively.
NOTE 6. 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 7. 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.
23
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
RESULTS OF ANNUAL MEETING OF SHAREHOLDERS (UNAUDITED)
On April 20, 2006, the Annual Meeting of Shareholders of The Credit Suisse Asset
Management Income Fund, Inc. (the "Fund") was held and the following matter was
voted upon:
(1) To elect three directors to the Board of Directors of the Fund:
NAME OF DIRECTOR FOR WITHHELD
---------------- ---------- ---------
Lawrence J. Fox (Class II) 42,200,481 1,095,635
Lawrence D. Haber (Class II) 42,138,534 1,157,582
James J. Cattano (Class I) 42,114,016 1,182,100
In addition to the directors elected at the meeting, Enrique R. Arzac and Steven
N. Rappaport continue to serve as Directors of the Fund. Also, effective July 1,
2006, Terry Fires Bovarnick was appointed to serve as a director of the Fund.
24
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
ADDITIONAL INFORMATION (UNAUDITED)
DESCRIPTION OF INVESTLINK(SM) PROGRAM
The InvestLink(SM) Program is sponsored and administered by Computershare
Shareholder Services, Inc., not by Credit Suisse Asset Management Income Fund,
Inc. (the "Fund"). Computershare Shareholder Services, Inc. will act as program
administrator (the "Program Administrator") of the InvestLink(SM) Program (the
"Program"). The purpose of the Program is to provide interested investors with a
simple and convenient way to invest funds and reinvest dividends in shares of
the Fund's common stock ("Shares") at prevailing prices, with reduced brokerage
commissions and fees.
An interested investor may join the Program at any time. Purchases of
Shares with funds from a participant's cash payment or automatic account
deduction will begin on the next day on which funds are invested. If a
participant selects the dividend reinvestment option, automatic investment of
dividends generally will begin with the next dividend payable after the Program
Administrator receives his enrollment form. Once in the Program, a person will
remain a participant until he terminates his participation or sells all Shares
held in his Program account, or his account is terminated by the Program
Administrator. A participant may change his investment options at any time by
requesting a new enrollment form and returning it to the Program Administrator.
A participant will be assessed certain charges in connection with his
participation in the Program. First-time investors will be subject to an initial
service charge which will be deducted from their initial cash deposit. All
optional cash deposit investments will be subject to a service charge. Sales
processed through the Program will have a service fee deducted from the net
proceeds, after brokerage commissions. In addition to the transaction charges
outlined above, participants will be assessed per share processing fees (which
include brokerage commissions.) Participants will not be charged any fee for
reinvesting dividends.
The number of Shares to be purchased for a participant depends on the
amount of his dividends, cash payments or bank account or payroll deductions,
less applicable fees and commissions, and the purchase price of the Shares. The
Program Administrator uses dividends and funds of participants to purchase
Shares of the Fund's common stock in the open market. Such purchases will be
made by participating brokers as agent for the participants using normal cash
settlement practices. All Shares purchased through the Program will be allocated
to participants as of the settlement date, which is usually three business days
from the purchase date. In all cases, transaction processing will occur within
30 days of the receipt of funds, except where temporary curtailment or
suspension of purchases is necessary to comply with applicable provisions of the
Federal Securities laws or when unusual market conditions make prudent
investment impracticable. In the event the Program Administrator is unable to
purchase Shares within 30 days of the receipt of funds, such funds will be
returned to the participants.
The average price of all Shares purchased by the Program Administrator with
all funds received during the time period from two business days preceding any
investment date up to the second business day preceding the next investment date
shall be the price per share allocable to a participant in connection with the
Shares purchased for his account with his funds or dividends received by the
Program Administrator during such time period. The average price of all Shares
sold by the Program Administrator pursuant to sell orders received during such
time period shall be the price per share allocable to a participant in
connection with the Shares sold for his account pursuant to his sell orders
received by the Program Administrator during such time period.
Computershare Shareholder Services, Inc., 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
25
the participant. In addition, each participant will receive copies of the Fund's
annual and semi-annual reports to shareholders, proxy statements and, if
applicable, dividend income information for tax reporting purposes.
If the Fund is paying dividends on the Shares, a participant will receive
dividends through the Program for all Shares held on the dividend record date on
the basis of full and fractional Shares held in his account, and for all other
Shares of the Fund registered in his name. The Program Administrator will send
checks to the participants for the amounts of their dividends that are not to be
automatically reinvested at no cost to the participants.
Shares of the Fund purchased under the Program will be registered in the
name of the accounts of the respective participants. Unless requested, the Fund
will not issue to participants certificates for Shares of the Fund purchased
under the Program. The Program Administrator will hold the Shares in book-entry
form until a Program participant chooses to withdraw his Shares or terminate his
participation in the Program. The number of Shares purchased for a participant's
account under the Program will be shown on his statement of account. This
feature protects against loss, theft or destruction of stock certificates.
A participant may withdraw all or a portion of the Shares from his Program
account by notifying the Program Administrator. After receipt of a participant's
request, the Program Administrator will issue to such participant certificates
for the whole Shares of the Fund so withdrawn or, if requested by the
participant, sell the Shares for him and send him the proceeds, less applicable
brokerage commissions, fees, and transfer taxes, if any. If a participant
withdraws all full and fractional Shares in his Program account, his
participation in the Program will be terminated by the Program Administrator. In
no case will certificates for fractional Shares be issued. The Program
Administrator will convert any fractional Shares held by a participant at the
time of his withdrawal to cash.
Participation in any rights offering, dividend distribution or stock split
will be based upon both the Shares of the Fund registered in participants' names
and the Shares (including fractional Shares) credited to participants' Program
accounts. Any stock dividend or Shares resulting from stock splits with respect
to Shares of the Fund, both full and fractional, which participants hold in
their Program accounts and with respect to all Shares registered in their names
will be automatically credited to their accounts.
All Shares of the Fund (including any fractional share) credited to his
account under the Program will be voted as the participant directs. The
participants will be sent the proxy materials for the annual meetings of
shareholders. When a participant returns an executed proxy, all of such shares
will be voted as indicated. A participant may also elect to vote his Shares in
person at the Shareholders' meeting.
A participant will receive tax information annually for his personal
records and to help him prepare his U.S. federal income tax return. The
automatic reinvestment of dividends does not relieve him of any income tax which
may be payable on dividends. For further information as to tax consequences of
participation in the Program, participants should consult with their own tax
advisors.
The Program Administrator in administering the Program will not be liable
for any act done in good faith or for any good faith omission to act. However,
the Program Administrator will be liable for loss or damage due to error caused
by its negligence, bad faith or willful misconduct. Shares held in custody by
the Program Administrator are not subject to protection under the Securities
Investors Protection Act of 1970.
The participant should recognize that neither the Fund nor the Program
Administrator can provide any assurance of a profit or protection against loss
on any Shares purchased under the program. A participant's investment in Shares
held in his Program account is no different than his investment in directly held
Shares in this regard. The participant bears the risk of loss and the benefits
of gain from market price changes with respect to all his Shares. Neither the
Fund nor the Program Administrator can guarantee that Shares purchased under the
26
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: Computershare Trust Company N.A., InvestLink Program, P.O.
43010, Providence, RI 02940-3010.
27
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.
In cases where we believe that additional products and services may be of
interest to you, we may share the information described above with our
affiliates.
We may also disclose this information to firms that perform services on our
behalf. These agents and service providers are required to treat the information
confidentially and use it only for the purpose for which it is provided.
We restrict access to nonpublic personal information about you to those
employees, agents or other parties who need to know that information to provide
products or services to you or in connection with your investments with or
through us. We maintain physical, electronic and procedural safeguards that
comply with federal standards to guard your nonpublic personal information.
NOTE: THIS NOTICE IS PROVIDED TO CLIENTS AND PROSPECTIVE CLIENTS OF CREDIT
SUISSE ASSET MANAGEMENT, LLC, ("CREDIT SUISSE"), AND CREDIT SUISSE ASSET
MANAGEMENT SECURITIES, INC., AND SHAREHOLDERS AND PROSPECTIVE SHAREHOLDERS IN
CREDIT SUISSE-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 18, 2006.
28
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.credit-suisse.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
1-202-551-8090.
29
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
OTHER FUNDS MANAGED BY CREDIT SUISSE ASSET MANAGEMENT, LLC
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)
LITERATURE REQUEST -- Call today for free descriptive information on the
closed-end funds listed above at 1-800-293-1232 or visit our website on the
Internet: http://www.credit-suisse.com/us.
OPEN-END FUNDS
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 Blend Fund
Credit Suisse Large Cap Value Fund
Credit Suisse Mid-Cap Growth Fund
Credit Suisse New York Municipal Fund
Credit Suisse Short Duration Bond Fund
Credit Suisse Small Cap Growth Fund
Credit Suisse Small Cap Value Fund
Credit Suisse Strategic Allocation 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. Performance
information current to the most recent month-end is available at
www.credit-suisse.com/us.
Credit Suisse Asset Management Securities, Inc., Distributor.
30
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
SUMMARY OF GENERAL INFORMATION (UNAUDITED)
Credit Suisse Asset Management Income Fund, Inc. is a closed-end,
non-diversified management investment company whose shares trade on the American
Stock Exchange, LLC. The Fund's American Stock Exchange trading symbol is CIK.
Its investment objective is to seek current income. Credit Suisse Asset
Management, LLC is part of the asset management business of Credit Suisse, one
of the world's leading banks. With offices focused on asset management in 18
countries, Credit Suisse's asset management business is operated as a globally
integrated network to deliver the bank's best investment ideas and capabilities
to clients around the world.
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". Weekly comparative net asset
value (NAV) and market price information about The Credit Suisse Asset
Management 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."
Notice is hereby given in accordance with Section 23(c) of the Investment
Company Act of 1940, as amended, that the Credit Suisse Asset Management Income
Fund, Inc. may from time to time purchase shares of its capital stock in the
open market.
31
800-293-1232 - www.credit-suisse.com/us
CIK-SAR-0606
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.
This item is inapplicable to a semi-annual report on Form N-CSR.
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 1, 2006.
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 last 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 B. Plump
------------------------------------
Name: Steven B. Plump
Title: Chief Executive Officer
Date: September 5, 2006
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 B. Plump
------------------------------------
Name: Steven B. Plump
Title: Chief Executive Officer
Date: September 5, 2006
/s/ Michael A. Pignataro
------------------------------------
Name: Michael A. Pignataro
Title: Chief Financial Officer
Date: September 5, 2006