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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. 811-9054
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CREDIT SUISSE OPPORTUNITY FUNDS
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(Exact Name of Registrant as Specified in Charter)
466 Lexington Avenue, New York, New York 10017-3140
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(Address of Principal Executive Offices) (Zip Code)
Hal Liebes, Esq.
Credit Suisse Opportunity Funds
466 Lexington Avenue
New York, New York 10017-3147
Registrant's telephone number, including area code:(212) 875-3500
Date of fiscal year end: October 31, 2003
Date of reporting period: April 30, 2003
ITEM 1. REPORTS TO STOCKHOLDERS.
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[CREDIT SUISSE ASSET MANAGEMENT LOGO]
CREDIT SUISSE FUNDS
SEMIANNUAL REPORT
APRIL 30, 2003
(UNAUDITED)
- - CREDIT SUISSE
HIGH INCOME FUND
MORE COMPLETE INFORMATION ABOUT THE FUND, INCLUDING CHARGES AND EXPENSES, IS
PROVIDED IN THE PROSPECTUS, WHICH MUST PRECEDE OR ACCOMPANY THIS DOCUMENT AND
WHICH SHOULD BE READ CAREFULLY BEFORE INVESTING. YOU MAY OBTAIN ADDITIONAL
COPIES BY CALLING 800-927-2874 OR BY WRITING TO CREDIT SUISSE FUNDS, P.O. BOX
55030, BOSTON, MA 02205-5030.
CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., DISTRIBUTOR, IS LOCATED AT 466
LEXINGTON AVE., NEW YORK, NY 10017-3140. CREDIT SUISSE FUNDS ARE ADVISED BY
CREDIT SUISSE ASSET MANAGEMENT, LLC.
<Page>
THE FUND'S INVESTMENT ADVISER AND CO-ADMINISTRATORS MAY WAIVE SOME FEES AND/OR
REIMBURSE SOME EXPENSES, WITHOUT WHICH PERFORMANCE WOULD BE LOWER. WAIVERS
AND/OR REIMBURSEMENTS ARE SUBJECT TO CHANGE.
RETURNS INCLUDE CHANGE IN SHARE PRICE AND REINVESTMENT OF DIVIDENDS AND CAPITAL
GAINS. PAST PERFORMANCE CANNOT GUARANTEE FUTURE RESULTS. RETURNS AND SHARE PRICE
WILL FLUCTUATE, AND REDEMPTION VALUE MAY BE MORE OR LESS THAN ORIGINAL COST.
THE VIEWS OF THE FUND'S MANAGEMENT ARE AS OF THE DATE OF THE LETTER AND THE FUND
HOLDINGS DESCRIBED IN THIS DOCUMENT ARE AS OF APRIL 30, 2003; THESE VIEWS AND
FUND HOLDINGS MAY HAVE CHANGED SUBSEQUENT TO THESE DATES. NOTHING IN THIS
DOCUMENT IS A RECOMMENDATION TO PURCHASE OR SELL SECURITIES.
FUND SHARES ARE NOT DEPOSITS OR OTHER OBLIGATIONS OF CREDIT SUISSE ASSET
MANAGEMENT, LLC ("CSAM") OR ANY AFFILIATE, ARE NOT FDIC-INSURED AND ARE NOT
GUARANTEED BY CSAM OR ANY AFFILIATE.
<Page>
CREDIT SUISSE HIGH INCOME FUND
SEMIANNUAL INVESTMENT ADVISER'S REPORT
April 30, 2003
June 2, 2003
Dear Shareholder:
For the six months ended April 30, 2003, the share classes of Credit Suisse
High Income Fund (the "Fund")(1) generated returns as follows: Common shares
gained 16.47%, Class A shares gained 16.43%,(2) Class B shares gained 16.03%,(2)
and Class C shares also gained 16.03%.(2) By contrast, the Citigroup High-Yield
Market Index(3) gained 25.71%; the Credit Suisse First Boston High Yield Index,
Developed Countries Only(3) gained 19.98%; and the Lipper High Yield Bond Funds
Index(3) (which we consider a more accurate gauge of the Fund's competitive
universe) gained 18.94%.
Although the Fund did well in absolute terms during the period, it
nonetheless underperformed the broad high yield market. We attribute this to our
positioning in certain industry sectors. Essentially, we chose to maintain
below-market exposure to several sectors that had absorbed harsh selling in most
of 2002, yet rallied in the year's fourth quarter and kept going up well into
2003.
These sectors notably included utilities, energy trading companies,
fixed-line telecommunications and technology. Our stance in them was based on
our ongoing belief that their underlying fundamentals were discouraging, as well
as our sense that the buoyant rally had propelled valuations in many cases to
levels that we considered unrealistically high. Unfortunately, momentum-fuelled
buying kept pushing prices higher, a pattern that was exacerbated by the
persistent strength of cash inflows into high yield funds throughout the period.
On a more positive note, we especially added value via our positioning in
several other sectors. Most prominent in this group were wireless
telecommunications providers, competitive local-exchange telecom carriers (known
as CLECs) and gaming.
- In wireless telecom, we enjoyed particularly good security selection as
perceptions about the industry's financial condition and operating
environment began to improve.
- In CLECs, we reaped the twin benefits of robust security selection and an
above-market allocation to a sector that fared significantly better than
the high yield market as a whole.
1
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- In gaming, our holdings consisted entirely of issuers whose operations were
not located in the gambling hub of Atlantic City, New Jersey. This proved
beneficial because operating results for Atlantic City-based companies were
especially hurt by harsh winter weather and a generalized preference for
facilities located elsewhere.
We believe that overall prospects for the high yield market are positive.
Yield spreads for high yield versus comparable-maturity Treasury debt are still
wide enough to offer potential upside even after several months of price
appreciation, in our view. In addition, we expect fund inflows to remain strong
as yield-hungry investors stay on the prowl.
We see the economic environment as reasonably supportive. [Note: a positive
economic environment bodes well for the high yield market via its favorable
implications for both creditworthiness and companies' need to raise capital to
fund expected growth.] There is plenty of monetary and fiscal stimulus already
in the system to foster growth once, as we anticipate, the picture begins to
brighten.
We also find it encouraging in this context that the Federal Reserve's latest
view on monetary policy--I.E., that the risks of deflation outweigh the risks of
inflation--appears to signal that the Fed is unlikely to raise interest rates in
the next few months. This, in turn, suggests to us that high yield may continue
to attract yield-seekers who might otherwise invest in money market funds and
investment-grade fixed income categories.
Within the Fund, we have most recently begun to trim the degree of our
above-market exposure to the gaming sector, whose potential upside we regard as
lower than previously; and raise exposure to utilities, where we see improving
capital structures that could help to boost creditworthiness and, accordingly,
valuations.
Our sector allocations reflect our preference to not take an overly
aggressive stance just yet. The industries we like all have fairly stable growth
characteristics that could help them hold up well in case the economy doesn't,
which means their bond prices could be somewhat less volatile than the high
yield market overall. Relative to broad market indices, we are thus
overweighting gaming, energy, food/beverage/bottling, health care and
2
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selected industrials. We are either underweighting or completely avoiding
telecom, airlines and energy traders.
CREDIT SUISSE HIGH YIELD MANAGEMENT TEAM
Richard J. Lindquist
Misia K. Dudley
Philip L. Schantz
Mary Ann Thomas
John M. Tobin
John F. Dessauer
Michael J. Dugan
HIGH YIELD BONDS ARE LOWER-QUALITY BONDS THAT ARE ALSO KNOWN AS "JUNK BONDS."
SUCH BONDS ENTAIL GREATER RISK THAN THOSE FOUND IN HIGHER-RATED SECURITIES.
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.
3
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AVERAGE ANNUAL RETURNS AS OF MARCH 31, 2003(1)
<Table>
<Caption>
SINCE INCEPTION
ONE YEAR INCEPTION DATE
-------- --------- ---------
Common Class 5.31% 3.34% 8/1/00
Class A Without Sales Charge 5.33% 3.51% 3/8/99
Class A With Maximum
Sales Charge 0.38% 2.28% 3/8/99
Class B Without CDSC 4.37% 2.62% 3/8/99
Class B With CDSC 0.54% 2.44% 3/8/99
Class C Without CDSC 4.38% 2.12% 2/28/00
Class C With CDSC 3.42% 2.12% 2/28/00
</Table>
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2003(1)
<Table>
<Caption>
SINCE INCEPTION
ONE YEAR INCEPTION DATE
-------- --------- ---------
Common Class 8.35% 4.69% 8/1/00
Class A Without Sales Charge 8.36% 4.40% 3/8/99
Class A With Maximum
Sales Charge 3.16% 3.18% 3/8/99
Class B Without CDSC 7.52% 3.54% 3/8/99
Class B With CDSC 3.58% 3.54% 3/8/99
Class C Without CDSC 7.53% 3.33% 2/28/00
Class C With CDSC 6.54% 3.33% 2/28/00
</Table>
Past performance is not predictive of future performance. Investment return and
principal value of an investment will fluctuate so that an investor's shares
upon redemption may be worth more or less than their original cost. The
performance results do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
- ----------
(1) Fee waivers and/or expenses reimbursements reduced expenses for the Fund,
without which performance would be lower. Waivers and/or reimbursements may
be discontinued at any time.
(2) Total return for Class A Shares for the reporting period, based on offering
price (with maximum sales charge of 4.75%), was 10.89%. Total return for
Class B shares for the reporting period, based on redemption value
(including maximum contingent deferred sales charge of 4%), was 12.03%.
Total return for Class C shares for the reporting period, based on
redemption value (including maximum contingent deferred sales charge of
1%), was 15.03%.
(3) The Fund changed its benchmark from the Credit Suisse First Boston High
Yield Index, Developed Countries Only to the Citigroup High-Yield Market
Index, effective 12/20/02, because the construction methodology and the
sector codes used in the Citigroup High-Yield Market Index more closely
resemble those of the Fund's portfolio. The Fund had adopted the Credit
Suisse First Boston High Yield Index, Developed Countries Only as a
benchmark on 5/1/01, to better reflect the Fund's high yield bond emphasis.
In addition to the Citigroup High-Yield Market Index, the Fund may compare
its performance to the Lipper High Yield Bond Funds Index. The Citigroup
High-Yield Market Index is a broad-based, unmanaged index of high yield
securities that is compiled by Citigroup Global Markets Inc. Its name was
changed from the Salomon Smith Barney High-Yield Market Index effective
4/7/03. The Credit Suisse First Boston High Yield Index, Developed
Countries Only is an unmanaged index (with no defined investment objective)
of domestic high yield bonds and is compiled by Credit Suisse First Boston,
an affiliate of the Fund's adviser. Its name was changed from the Credit
Suisse First Boston Domestic+ High Yield Index effective 5/31/01. The
Lipper High Yield Bond Funds Index is an equal-weighted performance index,
adjusted for capital-gain distributions and income dividends, of the
largest qualifying funds classified by Lipper Inc. as investing primarily
in high yield debt securities. It is compiled by Lipper Inc. Investors
cannot invest directly in an index.
4
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CREDIT SUISSE HIGH INCOME FUND
SCHEDULE OF INVESTMENTS
April 30, 2003 (Unaudited)
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (88.7%)
AEROSPACE (0.6%)
$ 570 Sequa Corp., Senior Notes (BB-, Ba3) 08/01/09 9.000 $ 598,500
270 Sequa Corp., Series B, Senior Notes (BB-, Ba3) 04/01/08 8.875 280,125
250 TransDigm, Inc., Company
Guaranteed, Senior Subordinated Notes
(Callable 12/01/03 @ $105.19) (B-, B3) 12/01/08 10.375 267,500
------------
1,146,125
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AIRLINES (0.0%)
100 American Airlines, Inc., Series 01-2, Pass
Thru Cer (BB-, B1) 10/01/06 7.800 40,473
------------
AUTOMOBILE MANUFACTURING/VEHICLE PARTS (2.6%)
300 Advanced Accessory Systems, Series B,
Company Guaranteed, Senior Subordinated
Notes (Callable 10/01/03 @ $103.25) (NR, NR) 10/01/07 9.750 316,875
356 American Axle & Manufacturing, Inc., Company
Guaranteed (Callable 3/01/04 @ $104.88) (BB-, Ba2) 03/01/09 9.750 389,820
100 Asbury Automotive Group, Inc., Global Company
Guaranteed, Senior Subordinated Notes
(Callable 6/15/07 @ $104.50) (B, B3) 06/15/12 9.000 94,500
250 Collins & Aikman Notes, Global Company
Guaranteed, Senior Subordinated Notes
(Callable 2/15/06 @ $104.88) (B, B2) 02/15/10 9.750 253,750
990 Collins & Aikman Products Co., Company
Guaranteed, Senior Subordinated Notes
(Callable 4/15/04 @ $100.00) (B, B2) 04/15/06 11.500 930,600
100 Collins & Aikman Products Co., Global Company
Guaranteed (Callable 12/31/06 @ $105.38) (B, B1) 12/31/11 10.750 103,000
350 Cummins, Inc., Rule 144A, Senior Notes
(Callable 12/01/06 @ $104.75)## (BB+, Ba2) 12/01/10 9.500 379,750
450 Delco Remy International, Inc., Company
Guaranteed, Senior Subordinated Notes
(Callable 8/1/03 @ $101.77) (CCC+, B3) 08/01/06 10.625 249,750
250 Holley Performance Products, Inc., Series B,
Company Guaranteed, Senior Subordinated
Notes (Callable 9/15/03 @ $106.12) (CCC-, Caa3) 09/15/07 12.250 76,250
520 Metaldyne Corp., Global Company Guaranteed
(Callable 6/15/07 @ $105.50) (B, B3) 06/15/12 11.000 455,000
350 Motor Coach Industries International, Inc.,
Company Guaranteed, Senior Subordinated
Notes (Callable 5/01/04 @ $105.62) (CCC+, Caa1) 05/01/09 11.250 176,750
400 Oshkosh Truck Corp., Company
Guaranteed, Senior Subordinated Notes
(Callable 3/01/04 @ $102.92) (BB+, Ba3) 03/01/08 8.750 418,000
100 Roller Bearing Company of America, Inc.,
Series B, Company Guaranteed
(Callable 6/15/03 @ $103.21) (B-, B3) 06/15/07 9.625 84,500
</Table>
See Accompanying Notes to Financial Statements.
5
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
AUTOMOBILE MANUFACTURING/VEHICLE PARTS (CONCLUDED)
$ 500 Stanadyne Automotive Corp., Series B, Company
Guaranteed, Senior Subordinated Notes
(Callable 12/15/03 @ $103.42) (B, Caa1) 12/15/07 10.250 $ 388,125
800 TRW Automotive, Rule 144A, Senior Subordinated
Notes (Callable 2/15/08 @ $105.50)## (B+, B2) 02/15/13 11.000 880,000
------------
5,196,670
------------
BANKING (0.3%)
530 Sovereign Bancorp, Inc., Senior Notes (BBB-, Ba1) 11/15/06 10.500 643,950
------------
BEVERAGES (0.1%)
175 Cott Beverages USA, Inc., Global Company
Guaranteed, Senior Subordinated Notes
(Callable 12/15/06 @ $104.00) (B+, B2) 12/15/11 8.000 189,000
------------
BROADBAND (0.5%)
750 Level 3 Communications, Inc., Senior Discount
Notes (Callable 12/01/03 @ $105.25)+ (CC, Caa3) 12/01/08 10.500 543,750
555 Level 3 Communications, Inc., Senior Notes
(Callable 5/01/03 @ $104.56) (CC, Caa3) 05/01/08 9.125 452,325
------------
996,075
------------
BROADCAST/OUTDOOR (2.3%)
500 Allbritton Communications Co., Global Senior
Subordinated Notes (Callable 12/15/07 @ 103.88) (B-, B3) 12/15/12 7.750 522,500
449 Corus Entertainment, Inc., Global Senior
Subordinated Notes (Callable 3/01/07 @ $104.38) (B+, B1) 03/01/12 8.750 484,920
324 Emmis Communications Corp., Senior Discount
Notes (Callable 3/15/07@ $104.17)+ (B-, B3) 03/15/11 12.500 286,740
125 Emmis Communications Corp., Series B,
Company Guaranteed, Senior Subordinated
Notes (Callable 3/15/04 @ $104.06) (B-, B2) 03/15/09 8.125 132,500
250 Entravision Communications Corp., Global
Company Guaranteed, Senior Subordinated
Notes (Callable 3/15/06 @ $104.06) (B-, B3) 03/15/09 8.125 262,500
500 Interep National Radio Sales, Inc., Series B,
Company Guaranteed, Senior Notes
(Callable 7/01/03 @ $105.00) (CCC-, Caa2) 07/01/08 10.000 382,500
150 Lamar Media Corp., Company Guaranteed, Senior
Subordinated Notes (Callable 09/15/03 @ $102.88) (B, Ba3) 09/15/07 8.625 157,500
800 Nexstar Finance Holdings, Inc., Rule 144A, Senior
Discount Notes (Callable 4/01/08 @ $105.69)+## (B-, Caa1) 04/01/13 11.375 518,000
650 Paxson Communications Corp., Global
Company Guaranteed, Senior Discount Notes
(Callable 1/15/06 @ $106.12)+ (CCC+, Caa1) 01/15/09 12.250 549,250
150 Radio One, Inc., Series B, Global Company
Guaranteed Notes (Callable 7/01/06 @ $104.44) (B-, B2) 07/01/11 8.875 165,750
</Table>
See Accompanying Notes to Financial Statements.
6
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
BROADCAST/OUTDOOR (CONCLUDED)
$ 250 RH Donnelley Finance Corp., Rule 144A, Senior
Notes (Callable 12/15/06 @ $104.44)## (B+, B1) 12/15/10 8.875 $ 281,250
150 Salem Communications Holding Corp.,
Series B, Global Company Guaranteed
(Callable 7/01/06 @ $104.50) (B-, B3) 07/01/11 9.000 159,375
100 Sinclair Broadcast Group, Inc., Global Company
Guaranteed, Senior Subordinated Notes
(Callable 12/15/06 @ $104.38) (B, B2) 12/15/11 8.750 109,000
500 Susquehanna Media Co., Rule 144A,
Senior Subordinated Notes
(Callable 4/15/08 @ $103.69)## (B, B1) 04/15/13 7.375 526,250
------------
4,538,035
------------
BUILDING PRODUCTS (1.6%)
150 Airxcel, Inc., Series B, Senior Subordinated Notes
(Callable 11/15/03 @ $103.67) (CCC+, B3) 11/15/07 11.000 125,250
250 Associated Materials, Inc., Global Company
Guaranteed (Callable 4/15/07 @ $104.88) (B, B3) 04/15/12 9.750 273,750
282 Atrium Companies, Inc., Series B, Company
Guaranteed, Senior Subordinated Notes
(Callable 5/01/04 @ $105.25) (B-, B3) 05/01/09 10.500 297,510
190 Building Materials Corporation of America,
Series B, Company Guaranteed Notes (B, B2) 12/01/08 8.000 171,000
700 Building Materials Corporation of America,
Series B, Senior Notes (B, B2) 07/15/05 7.750 668,500
500 Building Materials Corporation of America,
Unsecured Senior Notes (B, B2) 10/15/07 8.000 458,750
640 Dayton Superior Corp., Company Guaranteed
Notes (Callable 6/15/07 @ $102.17) (B-, Caa2) 06/15/09 13.000 547,200
177 Interface, Inc., Global Senior Notes (B+, B2) 02/01/10 10.375 161,955
430 Nortek Holdings, Inc., Series B, Global Senior
Subordinated Notes (Callable 6/15/06 @ $104.94) (B-, B3) 06/15/11 9.875 449,350
------------
3,153,265
------------
CABLE (6.1%)
500 Adelphia Communications Corp., Series B,
Senior Notes# (NR, NR) 02/15/04 9.500 247,500
260 Adelphia Communications Corp., Series B,
Senior Notes# (NR, NR) 07/15/04 10.500 128,700
150 Century Communications Corp., Senior Notes# (NR, NR) 10/01/07 8.750 70,500
300 Charter Communications Holdings LLC, Senior
Notes (Callable 4/01/04 @ $104.31) (CCC-, Ca) 04/01/09 8.625 198,750
1,010 Coaxial Communications/Phoenix,
Company Guaranteed, Senior Notes
(Callable 8/15/03 @ $103.33) (B, B3) 08/15/06 10.000 1,042,825
400 Coaxial LLC, Company Guaranteed, Senior Notes
(Callable 8/15/03 @ $106.44)+ (CCC+, Caa1) 08/15/08 12.875 346,000
</Table>
See Accompanying Notes to Financial Statements.
7
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
CABLE (CONCLUDED)
$ 500 Comcast UK Cable Partners, Ltd., Yankee
Debentures (Callable 11/15/03 @ $100.00)+ (C, Caa2) 11/15/07 11.200 $ 412,500
300 CSC Holdings, Inc., Senior Notes (BB-, B1) 12/15/07 7.875 317,250
1,050 CSC Holdings, Inc., Senior Subordinated
Debentures Notes (Callable 2/15/04 @ $103.60) (B+, B2) 02/15/13 9.875 1,105,125
200 CSC Holdings, Inc., Series B, Debentures (BB-, B1) 08/15/09 8.125 213,000
200 CSC Holdings, Inc., Series B, Senior Notes (BB-, B1) 07/15/09 8.125 213,000
390 CSC Holdings, Inc., Series B, Senior Notes (BB-, B1) 04/01/11 7.625 412,425
750 Directv Holdings LLC, Rule 144A, Senior Notes
(Callable 3/15/08 @$104.19)## (B, B1) 03/15/13 8.375 838,125
880 Insight Communications Company, Inc., Senior
Discount Notes (Callable 2/15/06 @ $106.13)+ (B-, Caa1) 02/15/11 12.250 697,400
20 Insight Midwest Insight Capital, Global Senior
Notes (Callable 11/01/05 @ $105.25) (B+, B2) 11/01/10 10.500 22,250
1,060 Insight Midwest Insight Capital, Senior Notes
(Callable 10/01/04 @ $104.88) (B+, B2) 10/01/09 9.750 1,142,150
350 James Cable Partners LP, Series B, Senior Notes
(Callable 8/15/03 @ $100.00)# (NR, Ca) 08/15/04 10.750 185,500
347 MDC Corporation, Inc., Yankee Senior
Subordinated Notes (Callable 12/01/03 @ $101.75) (B, B2) 12/01/06 10.500 317,505
20 Mediacom LLC Capital Corp., Senior Notes
(Callable 1/15/06 @ $104.75) (B+, B2) 01/15/13 9.500 21,600
1,000 Mediacom LLC Capital Corp., Senior Notes
(Callable 2/15/06 @ $103.94) (B+, B2) 02/15/11 7.875 1,010,000
200 Mediacom LLC Capital Corp., Series B, Senior
Notes (Callable 4/15/04 @ $102.83) (B+, B2) 04/15/08 8.500 206,000
320 Northland Cable Television, Inc., Company
Guaranteed, Senior Subordinated Notes
(Callable 11/15/03 @ $103.42) (CC, Caa3) 11/15/07 10.250 299,200
200 Olympus Communications LP, Series B, Senior
Notes (Callable 11/15/03 @ $101.77)# (NR, NR) 11/15/06 10.625 184,000
447 Renaissance Media Group LLC, Company
Guaranteed, Senior Discount Notes
(Callable 4/15/04 @ $103.33)+ (CCC-, Caa1) 04/15/08 10.000 422,415
150 Rogers Cablesystems Ltd., Series B, Yankee
Senior Notes (BBB-, Ba2) 03/15/05 10.000 161,625
600 Rogers Communications, Inc., Yankee Senior
Notes (Callable 7/15/03 @ $102.96) (BB-, B2) 07/15/07 8.875 621,750
1,000 Vivendi Universal SA, Rule 144A, Senior Notes
(Callable 4/15/07 @ $104.63)## (B+, B1) 04/15/10 9.250 1,127,500
------------
11,964,595
------------
CAPITAL GOODS (0.2%)
250 International Wire Group, Inc., Senior
Subordinated Notes (Callable 6/01/03 @ $100.00) (CCC-, Caa1) 06/01/05 11.750 186,250
150 SPX Corp., Senior Notes
(Callable 1/01/08 @ $103.75) (BB+, Ba3) 01/01/13 7.500 164,250
------------
350,500
------------
</Table>
See Accompanying Notes to Financial Statements.
8
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
CHEMICALS (3.2%)
$ 100 Airgas, Inc., Global Company Guaranteed, Senior
Subordinated Notes (Callable 10/01/06 @ $104.56) (B+, Ba2) 10/01/11 9.125 $ 112,000
650 Applied Extrusion Technologies, Inc.,
Series B, Company Guaranteed
(Callable 7/01/06 @ $105.38) (B, Caa1) 07/01/11 10.750 484,250
640 Avecia Group PLC, Global Company Guaranteed
(Callable 7/01/04 @ $105.50) (B-, Caa1) 07/01/09 11.000 585,600
200 Equistar Chemicals Funding, Global
Company Guaranteed (BB, B1) 09/01/08 10.125 211,000
400 Equistar Chemicals Funding, Rule 144A, Senior
Notes (Callable 5/01/07 @ $105.31)## (BB, B1) 05/01/11 10.625 425,000
50 Equistar Chemicals Funding, Senior Notes (BB, B1) 02/15/09 8.750 49,566
150 Ferro Corp., Senior Notes (BBB-, Baa3) 01/01/09 9.125 168,662
300 FMC Corp., Global Senior Secured
(Callable 11/1/06 @ $105.13) (BB+, Ba2) 11/01/09 10.250 339,000
50 FMC Corp., Rule 144A, Senior Secured Notes
(Callable 11/1/06 @ $105.13)## (BB+, Ba2) 11/01/09 10.250 56,500
150 Huntsman ICI Chems LLC, Company Guaranteed
(Callable 7/01/04 @ $105.06) (B-, Caa1) 07/01/09 10.125 155,250
250 Huntsman ICI Chems LLC, Senior Discount Notes
(Callable 7/01/04 @ $106.69) (B+, Caa2) 12/31/09 0.000 98,750
100 Lyondell Chemical Co., Global Company
Guaranteed (Callable 12/15/05 @ $104.75) (BB, Ba3) 12/15/08 9.500 102,500
150 Lyondell Chemical Co., Senior Secured Notes (BB, Ba3) 07/15/12 11.125 162,750
100 Lyondell Chemical Co., Series B, Senior Secured
Notes (Callable 5/01/04 @ $104.94) (BB, Ba3) 05/01/07 9.875 103,500
250 Mississippi Chemical Corp., Bonds
(Callable 11/15/07 @ $100.00)# (CCC, Caa2) 11/15/17 7.250 21,250
750 PolyOne Corp., Rule 144A, Senior Notes
(Callable 5/15/07 @ $105.31)## (BB-, B2) 05/15/10 10.625 750,000
500 Radnor Holdings Corp., Rule 144A, Senior Notes
(Callable 3/15/07 @ $105.50)## (B, B2) 03/15/10 11.000 502,500
400 Resolution Performance Products LLC,
Global Senior Subordinated Notes
(Callable 11/15/05 @ $106.75) (B-, Caa1) 11/15/10 13.500 431,000
250 Resolution Performance Products LLC, Rule 144A,
Senior Notes (Callable 4/15/06 @ $104.75)## (B+, B2) 04/15/10 9.500 268,750
500 Terra Industries, Inc., Series B, Senior Notes
(Callable 6/15/03 @ $100.00) (B, Caa3) 06/15/05 10.500 495,000
600 United Industries Corp., Rule 144A, Senior
Subordinated Notes (Callable 4/01/04 @ $104.94)## (B-, B3) 04/01/09 9.875 639,000
150 United Industries Corp., Senior Subordinated
Notes (Callable 4/01/04 @ $104.94) (B-, B3) 04/01/09 9.875 159,750
------------
6,321,578
------------
</Table>
See Accompanying Notes to Financial Statements.
9
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
COMPETITIVE LOCAL EXCHANGE CARRIER (CLEC) (1.2%)
$ 350 Block Communications, Inc., Global Company
Guaranteed, Senior Subordinated Notes
(Callable 4/15/06 @ $104.63) (B-, B2) 04/15/09 9.250 $ 382,375
100 Fairpoint Communications Inc, Senior
Subordinated Notes (Callable 5/01/05 @ $106.25) (B-, Caa1) 05/01/10 12.500 98,250
500 Fairpoint Communications, Inc., Rule 144A,
Senior Notes (Callable 3/01/07 @ 105.94)## (B, B3) 03/01/10 11.875 557,500
400 GCI, Inc., Senior Notes (Callable 8/01/03 @ $103.25) (B+, B2) 08/01/07 9.750 408,000
150 Qwest Corp., Notes (B-, Ba3) 11/15/08 5.625 140,250
534 RCN Corp., Senior Discount Notes
(Callable 10/15/03 @ $103.71)+ (CCC-, Ca) 10/15/07 11.125 192,240
618 Time Warner Telecom LLC, Senior Notes
(Callable 7/15/03 @ $104.88) (CCC+, B3) 07/15/08 9.750 521,788
------------
2,300,403
------------
CONGLOMERATE/DIVERSIFIED MANUFACTURING (0.5%)
400 Jordan Industries, Inc., Series B, Senior Notes
(Callable 8/01/03 @ $102.59) (B-, Caa3) 08/01/07 10.375 152,000
900 Tyco International Group SA, Yankee
Company Guaranteed (BBB-, Ba2) 11/01/08 6.125 888,750
------------
1,040,750
------------
CONSUMER PRODUCTS/TOBACCO (4.5%)
250 American Achievement Corp., Series B, Global
Company Guaranteed, Senior Notes
(Callable 1/01/05 @ $105.81) (B+, B1) 01/01/07 11.625 271,250
250 American Greetings Corp., Global Senior
Subordinated Notes (Callable 7/15/05 @ $105.88) (BB+, Ba3) 07/15/08 11.750 287,500
40 Armkel, LLC., Global Senior Subordinated Notes
(Callable 8/15/05 @ $104.75) (B-, B2) 08/15/09 9.500 45,000
150 Central Garden & Pet Co., Rule 144A, Senior
Subordinated Notes (Callable 2/01/08 @ $104.56)## (B+, B2) 02/01/13 9.125 161,250
395 Dimon, Inc., Series B, Global
Company Guaranteed, Senior Notes
(Callable 10/15/06 @ $104.81) (BB, Ba3) 10/15/11 9.625 432,525
955 General Binding Corp., Company
Guaranteed, Senior Subordinated Notes
(Callable 06/01/03 @ $104.69) (B-, Caa1) 06/01/08 9.375 916,800
530 Hockey Company Sports Maska,
Global Senior Secured Notes, Units
(Callable 4/15/06 @ $105.62) (B, B2) 04/15/09 11.250 581,675
250 Holmes Group, Inc., Series D, Senior Subordinated
Notes (Callable 11/15/03 @ $103.29) (B-, Caa2) 11/15/07 9.875 228,750
650 Johnsondiversey, Inc., Series B, Global Company
Guaranteed, Senior Subordinated Notes
(Callable 5/15/07 @ $104.81) (B-, B2) 05/15/12 9.625 719,875
</Table>
See Accompanying Notes to Financial Statements.
10
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
CONSUMER PRODUCTS/TOBACCO (CONCLUDED)
$ 710 Packaged Ice, Inc., Series B, Company
Guaranteed, Senior Unsecured Notes
(Callable 2/01/04 @ $100.00) (B-, Caa3) 02/01/05 9.750 $ 685,150
390 PCA LLC, Global Senior Notes (B-, B3) 08/01/09 11.875 413,400
400 Playtex Products, Inc., Global Company
Guaranteed (Callable 6/01/06 @ $104.69) (B, B2) 06/01/11 9.375 436,000
500 Remington Arms Company, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 2/01/07 @ $105.25)## (B-, B2) 02/01/11 10.500 542,500
700 Revlon Consumer Products Corp., Global
Company Guaranteed (CCC+, Caa1) 12/01/05 12.000 665,000
905 Scotts Co., Company Guaranteed
(Callable 1/15/04 @ $104.31) (B+, B2) 01/15/09 8.625 963,825
615 Sealy Mattress Co., Series B, Senior Subordinated
Notes (Callable 12/15/03 @ $103.29) (B-, B3) 12/15/07 9.875 636,525
765 Werner Holding Co., Inc., Series A, Company
Guaranteed (Callable 11/15/03 @ $103.33) (B-, B2) 11/15/07 10.000 787,950
------------
8,774,975
------------
CONTAINERS (3.2%)
100 Consolidated Container Co., LLC, Company
Guaranteed (Callable 7/15/04 @ $105.06) (CCC, Caa2) 07/15/09 10.125 60,000
50 Constar International, Inc., Senior Subordinated
Notes (Callable 12/01/07 @ $105.50) (B, B3) 12/01/12 11.000 52,750
600 Crown Cork & Seal Fin PLC, Yankee Company
Guaranteed Notes (B, B3) 12/15/06 7.000 565,500
500 Crown Euro Holdings SA, Rule 144A
(Callable 3/01/07 @ $104.75)## (B+, B1) 03/01/11 9.500 535,000
550 Crown Euro Holdings SA, Rule 144A
(Callable 3/01/08 @ $105.44)## (B, B2) 03/01/13 10.875 595,375
195 Graham Packaging Company, Inc., Series B, Senior
Discount Notes (Callable 1/15/04 @ $103.58)+ (CCC+, Caa2) 01/15/09 10.750 200,850
2,000 Owens Brockway Glass Container, Rule 144A,
Senior Notes (Callable 5/15/08 @ $104.13)## (B+, B2) 05/15/13 8.250 2,000,000
210 Owens-Brockway, Global Company Guaranteed
(Callable 2/15/06 @ $104.44) (BB, B1) 02/15/09 8.875 226,275
400 Owens-Illinois, Inc., Senior Notes (B+, B3) 05/15/07 8.100 412,000
360 Owens-Illinois, Inc., Senior Notes (B+, B3) 05/15/08 7.350 358,200
200 Plastipak Holdings, Inc., Global
Company Guaranteed, Senior Notes
(Callable 9/01/06 @ $105.38) (B+, B3) 09/01/11 10.750 217,000
250 Pliant Corp., Company Guaranteed, Senior
Subordinated Notes (Callable 6/01/05 @ $106.50) (B-, Caa1) 06/01/10 13.000 232,500
250 Portola Packaging, Inc., Senior Notes
(Callable 10/1/03 @ $100.00) (B, B2) 10/01/05 10.750 255,625
250 Sealed Air Corp., Rule 144A, Company Guaranteed## (BBB, Baa3) 07/01/08 8.750 293,858
</Table>
See Accompanying Notes to Financial Statements.
11
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
CONTAINERS (CONCLUDED)
$ 200 Tekni-Plex, Inc., Series B, Company
Guaranteed, Senior Subordinated Notes
(Callable 6/15/05 @ $106.38) (B-, B3) 06/15/10 12.750 $ 196,500
------------
6,201,433
------------
DIVERSIFIED TELECOMMUNICATIONS (0.6%)
150 Gray Television, Inc., Global Company
Guaranteed, Senior Subordinated Notes
(Callable (12/15/06 @ $104.62) (B-, B3) 12/15/11 9.250 165,750
800 Primus Telecommunications Group, Inc., Senior
Notes (Callable 1/15/04 @ $105.63) (CCC-, Caa3) 01/15/09 11.250 684,000
150 Primus Telecommunications Group, Inc., Senior
Notes (Callable 8/01/03 @ $100.00) (CCC-, Caa3) 08/01/04 11.750 149,813
200 Primus Telecommunications Group, Inc., Series B,
Senior Notes (Callable 5/15/03 @ $104.94) (CCC-, Caa3) 05/15/08 9.875 163,000
------------
1,162,563
------------
ELECTRONICS/INFORMATION/DATA TECHNOLOGY (0.3%)
240 Flextronics International, Ltd., Yankee Senior
Subordinated Notes (Callable 7/01/05 @ $104.94) (BB-, Ba2) 07/01/10 9.875 270,000
250 Solectron Corp., Senior Notes
(Callable 2/15/06 @ $104.81) (BB-, Ba3) 02/15/09 9.625 272,500
40 Unisys Corp., Senior Notes (BB+, Ba1) 01/15/05 7.250 42,000
------------
584,500
------------
ENERGY - OTHER (6.0%)
50 Clark Refining & Marketing, Inc., Senior
Subordinated Notes (Callable 11/15/03 @ $102.96) (B, B2) 11/15/07 8.875 50,625
100 Crown Central Petroleum Corp., Senior Notes (NR, Caa1) 02/01/05 10.875 69,500
500 El Paso CGP Co., Notes (B, Caa1) 02/01/09 6.375 422,500
750 El Paso CGP Co., Notes (B, Caa1) 06/15/10 7.750 663,750
1,100 El Paso Corp., Senior Notes (B, Caa1) 05/15/11 7.000 962,500
200 El Paso Energy Partners LP,
Rule 144A, Senior Subordinated Notes
(Callable 12/01/07 @ $105.31)## (BB-, B1) 12/01/12 10.625 231,000
500 El Paso Energy Partners LP, Rule 144A, Senior
Subordinated Notes (Callable 6/01/07 @ 104.25)## (BB-, B1) 06/01/10 8.500 541,250
500 Frontier Oil Corp., Senior Notes
(Callable 11/15/04 @ $105.88) (B, B2) 11/15/09 11.750 557,500
250 Giant Industries, Inc., Global Company Guaranteed
Notes (Callable 5/15/07 @ $105.50) (B-, B3) 05/15/12 11.000 238,750
1,050 Mirant Corp., Rule 144A, Senior Notes## (BB, Caa2) 07/15/04 7.400 925,499
1,000 PSEG Energy Holdings LLC., Rule 144A, Notes## (BBB-, Baa3) 04/16/07 7.750 1,048,565
1,200 Sierra Pacific Resources, Notes (B-, B2) 05/15/05 8.750 1,170,000
485 Swift Energy Co., Senior Subordinated Notes
(Callable 5/01/07 @ $104.69) (B, B3) 05/01/12 9.375 509,250
</Table>
See Accompanying Notes to Financial Statements.
12
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
ENERGY - OTHER (CONCLUDED)
$ 1,000 Tesoro Petroleum Corp., Rule 144A, Secured
Notes (Callable 4/15/06 @ $104.00)## (BB, Ba3) 04/15/08 8.000 $ 1,040,000
300 Trico Marine Services, Inc., Global Company
Guaranteed (Callable 5/15/07 @ $104.44) (B, B2) 05/15/12 8.875 264,000
660 Western Gas Resources, Inc., Company
Guaranteed (Callable 6/15/04 @ $105.00) (BB-, Ba3) 06/15/09 10.000 722,700
700 Williams Companies, Inc., Global Notes (B, Caa1) 03/15/04 9.250 708,750
700 Williams Companies, Inc., Notes (B, Caa1) 08/01/06 6.500 675,500
1,000 Williams Companies, Inc., Notes (B, Caa1) 12/01/08 6.500 935,000
------------
11,736,639
------------
ENVIRONMENTAL SERVICES (0.8%)
325 Allied Waste North America, Inc., Series B, Company
Guaranteed (Callable 8/01/04 @ $105.00) (B+, B2) 08/01/09 10.000 348,969
420 Allied Waste North America, Inc., Series B,
Company Guaranteed, Senior Notes
(Callable 1/01/04 @ $103.94) (BB-, Ba3) 01/01/09 7.875 435,750
350 Allied Waste North America, Inc., Series B, Global
Company Guaranteed (BB-, Ba3) 04/01/08 8.875 379,750
100 IMC Global, Inc., Notes (B+, Ba3) 01/15/05 6.550 101,500
250 IMC Global, Inc., Rule 144A, Company
Guaranteed, Senior Unsecured Notes
(Callable 6/01/06 @ 105.62)## (BB, Ba2) 06/01/11 11.250 285,000
------------
1,550,969
------------
FINANCE - OTHER (0.2%)
250 LaBranche & Co., Inc., Senior Subordinated Notes (BB+, Baa3) 08/15/04 9.500 266,250
200 LaBranche & Co., Inc., Senior Subordinated Notes (BB-, Ba1) 03/02/07 12.000 220,000
------------
486,250
------------
FOOD PROCESSORS/BEVERAGE/BOTTLING (2.8%)
50 Archibald Candy Corp., Company Guaranteed (NR, NR) 11/01/07 10.000 44,910
100 Aurora Foods, Inc., Series B, Senior Subordinated
Notes (Callable 2/15/04 @ $103.65) (CC, Ca) 02/15/07 9.875 45,500
525 Aurora Foods, Inc., Series B, Senior Subordinated
Notes (Callable 7/01/03 @ $106.38) (CC, Ca) 07/01/08 8.750 233,625
550 B & G Foods, Inc., Series D, Global Company
Guaranteed (Callable 8/01/03 @ $103.21) (B-, B3) 08/01/07 9.625 569,937
175 Burns Phillip Capital Property, Ltd.,
Rule 144A, Company Guaranteed Notes
(Callable 7/15/07 @ $104.88)## (B-, B3) 07/15/12 9.750 175,875
750 Curtice Burns Food, Inc., Company
Guaranteed, Senior Subordinated Notes
(Callable 11/01/03 @ $105.94) (B-, B3) 11/01/08 11.875 815,625
150 Del Monte Corp., Series B, Global Company
Guaranteed (Callable 5/15/06 @ $104.63) (B, B3) 05/15/11 9.250 162,938
</Table>
See Accompanying Notes to Financial Statements.
13
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
FOOD PROCESSORS/BEVERAGE/BOTTLING (CONCLUDED)
$ 550 Dole Food Company, Inc., Rule 144A, Senior
Notes (Callable 3/15/07 @ 104.44)## (B+, B2) 03/15/11 8.875 $ 598,125
600 Eagle Family Foods, Inc., Series B, Company
Guaranteed (Callable 1/15/04 @ $102.92) (CCC+, Caa2) 01/15/08 8.750 405,000
110 Fleming Companies, Inc., Global Company
Guaranteed (Callable 4/01/05 @ $105.06)# (NR, Caa3) 04/01/08 10.125 16,225
300 Fleming Companies, Inc., Series D, Global
Company Guaranteed (Callable 7/31/03 @ $103.54)# (NR, C) 07/31/07 10.625 3,000
715 Land O' Lakes, Inc., Global Senior Notes
(Callable 11/15/06 @ $104.38) (B+, B2) 11/15/11 8.750 461,175
425 Luiginos, Inc., Senior Subordinated Notes
(Callable 2/01/04 @ $102.50) (B-, B3) 02/01/06 10.000 442,000
430 National Wine & Spirits, Inc., Company Guaranteed
(Callable 1/15/04 @ $105.06) (CCC+, B2) 01/15/09 10.125 393,450
460 Premier International Foods, Yankee Senior Notes
(Callable 9/01/04 @ $106.00) (B-, B3) 09/01/09 12.000 508,300
300 Roundy's, Inc., Series B, Global Company
Guaranteed (Callable 6/15/07 @ $104.44) (B, B2) 06/15/12 8.875 310,500
250 Smithfield Foods, Inc., Series B, Global
Senior Notes (BBB-, Ba2) 10/15/09 8.000 257,500
------------
5,443,685
------------
GAMING (9.1%)
910 Ameristar Casinos, Inc., Global Company
Guaranteed (Callable 2/15/06 @ $105.38) (B, B3) 02/15/09 10.750 1,023,750
760 Argosy Gaming Co., Company Guaranteed
(Callable 6/01/04 @ $105.38) (B+, B2) 06/01/09 10.750 843,600
100 Aztar Corp., Global Senior Subordinated Notes
(Callable 8/15/06 @ $104.50) (B+, Ba3) 08/15/11 9.000 106,250
670 Aztar Corp., Senior Subordinated Notes
(Callable 5/15/03 @ $104.44) (B+, Ba3) 05/15/07 8.875 703,500
750 Choctaw Resort Development Enterprise, Global
Senior Notes (Callable 4/01/05 @ $104.625) (BB-, B1) 04/01/09 9.250 806,250
500 Chukchansi Economic Development
Authority, Rule 144A, Senior Notes
(Callable 10/01/06 @ $113.00)## (NR, NR) 06/15/09 14.500 526,250
250 Circus & Eldor Silver Leg, Global First Mortgage
Notes (Callable 3/01/07 @ $105.06) (B+, B1) 03/01/12 10.125 241,875
725 Coast Hotels & Casinos, Inc., Company
Guaranteed, Senior Subordinated Notes
(Callable 4/01/04 @ 104.75) (B, B2) 04/01/09 9.500 783,000
1,105 Hard Rock Hotel, Inc., Series B, Senior
Subordinated Notes (Callable 4/01/04 @ $100.00) (B-, Caa1) 04/01/05 9.250 1,132,625
250 Herbst Gaming, Inc., Rule 144A, Senior Secured
Notes (Callable 9/01/05 @ $105.38)## (B, B2) 09/01/08 10.750 275,625
</Table>
See Accompanying Notes to Financial Statements.
14
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
GAMING (CONTINUED)
$ 150 Herbst Gaming, Inc., Series B, Global Secured
Notes (Callable 9/01/05 @ $105.38) (B, B2) 09/01/08 10.750 $ 165,375
350 Hollywood Casino Corp., Company
Guaranteed, Senior Secured Notes
(Callable 5/01/03 @ $107.00) (B+, B1) 05/01/07 11.250 374,500
75 Horseshoe Gaming Holding Corp., Series B,
Company Guaranteed (Callable 5/15/04 @ $104.31) (B+, B2) 05/15/09 8.625 80,063
670 Isle of Capri Casinos, Inc., Company Guaranteed
(Callable 4/15/04 @ $104.38) (B, B2) 04/15/09 8.750 708,525
680 Kerzner International LTD., Global Company
Guaranteed, Senior Subordinated Notes
(Callable 8/15/06 @ $104.44) (B+, B2) 08/15/11 8.875 724,200
900 Majestic Investor Holdings, Company
Guaranteed, Senior Secured Notes
(Callable 11/30/05 @ $105.83) (B, B2) 11/30/07 11.653 886,500
650 Majestic Star Casino LLC, Series B,
Company Guaranteed, Senior Secured Notes
(Callable 7/01/03 @ $105.44) (B, B2) 07/01/06 10.875 677,625
50 Mandalay Resort Group, Senior Notes (BB+, Ba2) 02/01/06 6.450 51,000
485 Mandalay Resort Group, Senior Subordinated
Notes (Callable 12/01/03 @ $102.31) (BB-, Ba3) 12/01/05 9.250 509,856
550 Mandalay Resort Group, Series B, Senior
Subordinated Notes (BB-, Ba3) 08/01/07 10.250 610,500
780 MGM Mirage, Inc., Company Guaranteed, Senior
Subordinated Notes (BB+, Ba2) 06/01/07 9.750 877,500
100 MGM Mirage, Inc., Company Guaranteed, Senior
Subordinated Notes (BB+, Ba2) 02/01/11 8.375 109,750
900 Mikohn Gaming Corp., Series B,
Company Guaranteed, Senior Notes
(Callable 8/15/05 @ $105.94) (B-, B3) 08/15/08 11.875 823,500
10 Mohegan Tribal Gaming, Global Senior
Subordinated Notes (Callable 7/01/06 @ $104.19) (BB-, Ba3) 07/01/11 8.375 10,700
600 Mohegan Tribal Gaming, Senior Subordinated
Notes (Callable 1/01/04 @ $104.38) (BB-, Ba3) 01/01/09 8.750 640,500
600 MTR Gaming Group, Inc., Rule 144A,
Company Guaranteed, Senior Notes
(Callable 4/01/07 @ $104.88)## (B+, B2) 04/01/10 9.750 627,000
550 Old Evangeline Downs, Rule 144A, Company
Guaranteed Notes (Callable 3/1/07 @ $106.50)## (B-, Caa1) 03/01/10 13.000 558,250
100 Park Place Entertainment Corp., Senior
Subordinated Notes (BB+, Ba2) 12/15/05 7.875 105,000
600 Park Place Entertainment Corp., Senior
Subordinated Notes (BB+, Ba2) 02/15/07 9.375 654,000
150 Peninsula Gaming LLC., Series B,
Company Guaranteed, Senior Notes
(Callable 7/01/03 @ $108.00) (B, B2) 07/01/06 12.250 156,750
</Table>
See Accompanying Notes to Financial Statements.
15
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
GAMING (CONTINUED)
$ 480 Penn National Gaming, Inc., Company Guaranteed
(Callable 3/15/06 @ $104.44) (B-, B3) 03/15/10 8.875 $ 505,200
350 Penn National Gaming, Inc., Series B, Global
Company Guaranteed, Senior Subordinated Notes
(Callable 3/01/05 @ $105.56) (B-, B3) 03/01/08 11.125 387,625
330 Riviera Holdings Corp., Global Company Guaranteed
(Callable 6/15/06 @ $105.50) (B+, B2) 06/15/10 11.000 311,850
380 Station Casinos, Inc., Senior Subordinated Notes
(Callable 7/01/05 @ $103.70) (B+, B2) 07/01/10 9.875 420,850
230 Waterford Gaming LLC, Rule 144A, Senior Notes
(Callable 3/15/04 @ $105.18)## (B+, B1) 03/15/10 9.500 247,669
250 Wheeling Islands Gaming, Inc., Global Company
Guaranteed (Callable 12/15/05 @ $105.06) (B+, B3) 12/15/09 10.125 253,750
100 Windsor Woodmont Black Hawk, Series B, First
Mortgage (Callable 3/15/04 @ $104.33)# (NR, NR) 03/15/05 13.000 68,500
------------
17,989,263
------------
HEALTHCARE FACILITIES/SUPPLIES (3.0%)
390 Advanced Medical Optics, Inc., Global Senior
Subordinated Notes (Callable 7/15/06 @ $104.63) (B, B3) 07/15/10 9.250 415,350
550 Alaris Medical Systems, Company Guaranteed
(Callable 12/01/03 @ $101.625) (B-, Caa1) 12/01/06 9.750 572,000
450 Beverly Enterprises, Inc., Global Senior Notes (B+, B1) 04/15/09 9.625 398,250
150 Coventry Health Care, Inc., Global Senior Notes
(Callable 2/15/07 @ $104.06) (BB+, Ba3) 02/15/12 8.125 161,625
295 Extendicare Health Services, Inc., Company
Guaranteed (Callable 12/15/03 @ $103.12) (CCC+, B3) 12/15/07 9.350 240,425
300 Extendicare Health Services, Inc., Company
Guaranteed (Callable 7/01/06 @ $104.75) (B-, B2) 07/01/10 9.500 298,500
200 Fisher Scientific International, Inc., Global Senior
Subordinated Notes (Callable 5/01/07 @ $104.06) (B+, B2) 05/01/12 8.125 216,000
250 Fisher Scientific International, Inc.,
Rule 144A, Senior Subordinated Notes
(Callable 5/01/07 @ $104.06)## (B+, B2) 05/01/12 8.125 270,000
495 Genesis Health Ventures, Inc., Senior
Secured Notes# (B, B1) 04/02/07 6.290 477,675
300 Hanger Orthopedic Group, Inc., Global Company
Guaranteed (Callable 2/15/06 @ $105.19) (B, B2) 02/15/09 10.375 328,500
150 Healthsouth Corp., Global Senior Notes# (D, Caa2) 10/01/11 8.375 96,375
50 Hudson Respiratory Care Inc., Senior Subordinated
Notes (Callable 4/15/04 @ $103.04) (CC, Ca) 04/15/08 9.125 27,750
240 Insight Health Services Corp., Series B, Company
Guaranteed (Callable 11/01/06 @ $104.94) (B-, B3) 11/01/11 9.875 226,800
500 Kinetic Concepts, Inc., Series B,
Company Guaranteed, Senior Notes
(Callable 11/01/04 @ $101.60) (B-, B3) 11/01/07 9.625 523,750
</Table>
See Accompanying Notes to Financial Statements.
16
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
HEALTHCARE FACILITIES/SUPPLIES (CONCLUDED)
$ 100 Magellan Health Services, Inc., Senior
Subordinated Notes (Callable 2/15/04 @ $103.00)# (D, C) 02/15/08 9.000 $ 27,000
250 Medquest, Inc., Series B, Global Company
Guaranteed (Callable 8/15/07 @ $105.94) (B-, B3) 08/15/12 11.875 232,500
150 Owens & Minor, Inc., Global Company
Guaranteed, Senior Subordinated Notes
(Callable 7/15/06 @ $104.13) (BB-, Ba3) 07/15/11 8.500 163,500
200 PacifiCare Health Systems, Inc., Global Company
Guaranteed (Callable 6/01/06 @ $105.38) (B+, B2) 06/01/09 10.750 222,500
150 Rotech Healthcare, Inc., Global Company
Guaranteed, Senior Subordinated Notes
(Callable 4/01/07 @ $104.75) (B+, B2) 04/01/12 9.500 153,000
100 Senior Housing Properties Trust, Senior Notes (BB+, Ba2) 01/15/12 8.625 106,000
300 Triad Hospital, Inc., Series B, Company
Guaranteed, Senior Subordinated Notes
(Callable 5/15/04 @ $105.50) (B-, B2) 05/15/09 11.000 334,500
250 Triad Hospital, Inc., Series B, Global Company
Guaranteed (Callable 5/01/05 @ $104.38) (B-, B1) 05/01/09 8.750 273,125
150 Vicar Operating, Inc., Company Guaranteed
(Callable 12/01/05 @ $104.94) (B-, B3) 12/01/09 9.875 166,500
------------
5,931,625
------------
HOME BUILDERS (1.3%)
380 Beazer Homes USA, Inc., Global
Company Guaranteed, Senior Notes
(Callable 4/15/07 @ $104.19) (BB, Ba2) 04/15/12 8.375 417,050
300 D.R. Horton, Inc., Global Company Guaranteed
(Callable 4/15/07 @ $104.25) (BB, Ba1) 04/15/12 8.500 330,000
100 D.R. Horton, Inc., Senior Notes (BB, Ba1) 08/15/11 7.875 108,500
75 D.R. Horton, Inc., Series B, Company Guaranteed,
Senior Subordinated Notes (BB, Ba1) 12/01/07 7.500 79,875
200 KB Home, Senior Subordinated Notes (BB-, Ba3) 12/15/08 8.625 217,000
20 Ryland Group, Inc., Senior Notes
(Callable 9/01/05 @ $104.88) (BB+, Ba2) 09/01/10 9.750 22,825
150 Ryland Group, Inc., Senior Subordinated Notes
(Callable 6/15/06 @ $104.56) (BB-, Ba3) 06/15/11 9.125 167,625
200 Technical Olympic USA, Inc., Global Company
Guaranteed Notes ( Callable 7/01/06 @ $104.50) (B+, Ba3) 07/01/10 9.000 208,000
200 Toll Corp., Senior Subordinated Notes
(Callable 12/01/06 @ $104.12) (BB+, Ba2) 12/01/11 8.250 216,500
350 WCI Communities, Inc., Global Company
Guaranteed, Senior Subordinated Notes
(Callable 5/01/07 @ $104.56) (B, Ba3) 05/01/12 9.125 355,250
500 William Lyon Homes, Inc., Company Guaranteed
(Callable 4/01/08 @ $105.38) (B-, B3) 04/01/13 10.750 515,000
------------
2,637,625
------------
</Table>
See Accompanying Notes to Financial Statements.
17
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
INDUSTRIAL - OTHER (0.7%)
$ 500 Day International Group, Inc., Series B, Senior
Notes (Callable 6/01/03 @ $101.24) (B-, B2) 06/01/05 11.125 $ 507,500
450 GSI Group, Inc., Company
Guaranteed, Senior Subordinated Notes
(Callable 11/01/03 @ $103.46) (CCC, Caa1) 11/01/07 10.250 331,313
350 International Utility Structures, Inc.,
Yankee Senior Subordinated Notes
(Callable 2/01/04 @ $103.58) (CCC-, Ca) 02/01/08 10.750 190,750
300 Synagro Technologies, Inc., Global
Senior Subordinated Notes
(Callable 4/01/06 @ $104.75) (B, B3) 04/01/09 9.500 324,000
------------
1,353,563
------------
LEISURE (4.0%)
300 AMC Entertainment, Inc., Global
Senior Subordinated Notes
(Callable 2/01/07 @ $104.94) (CCC+, Caa2) 02/01/12 9.875 316,500
650 AMC Entertainment, Inc., Senior Subordinated
Notes (Callable 2/01/04 @ $104.75) (CCC+, Caa2) 02/01/11 9.500 682,500
200 AMC Entertainment, Inc., Senior Subordinated
Notes (Callable 3/15/04 @ $102.38) (CCC+, Caa2) 03/15/09 9.500 208,000
300 Bluegreen Corp., Series B, Company
Guaranteed, Senior Secured Notes
(Callable 4/01/04 @ $103.50) (B, B3) 04/01/08 10.500 271,500
660 Boca Resorts, Inc., Company Guaranteed, Senior
Subordinated Notes (Callable 4/15/04 @ $104.94) (B-, B2) 04/15/09 9.875 699,600
650 Booth Creek Ski Holdings, Inc., Series B, Company
Guaranteed (Callable 3/15/04 @ $102.08) (CCC+, Caa1) 03/15/07 12.500 640,250
750 Cinemark USA, Inc., Rule 144A, Senior
Subordinated Notes (Callable 2/01/08 @ $104.50)## (B-, B3) 02/01/13 9.000 813,750
175 Cinemark USA, Inc., Series B, Senior Subordinated
Notes (Callable 8/01/03 @ $104.13) (B-, B3) 08/01/08 8.500 182,875
400 Icon Health & Fitness, Global Company
Guaranteed, Senior Subordinated Notes
(Callable 4/01/07 @ $105.62) (B-, B3) 04/01/12 11.250 418,000
750 Imax Corp., Yankee Senior Unsecured Notes
(Callable 12/01/03 @ $101.97) (CCC, Caa2) 12/01/05 7.875 675,000
250 Intrawest Corp., Global Company
Guaranteed, Senior Unsecured Notes
(Callable 2/1/05 @ $105.25) (B+, B1) 02/01/10 10.500 272,500
350 Intrawest Corp., Yankee Senior Notes
(Callable 8/15/03 @ $104.88) (B+, B1) 08/15/08 9.750 367,500
550 KSL Recreation Group, Inc., Series B, Senior
Subordinated Notes (Callable 5/01/03 @ $103.42) (B-, B2) 05/01/07 10.250 568,793
75 Scientific Games Corp., Series B, Company
Guaranteed, Senior Subordinated Notes
(Callable 8/15/05 @ $106.25) (B, B2) 08/15/10 12.500 84,375
</Table>
See Accompanying Notes to Financial Statements.
18
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
LEISURE (CONCLUDED)
$ 350 Six Flags, Inc., Global Senior Notes
(Callable 2/01/06 @ $104.44) (B, B2) 02/01/10 8.875 $ 351,750
700 Six Flags, Inc., Rule 144A, Senior Notes
(Callable 4/15/08 @ $104.88)## (B, B2) 04/15/13 9.750 733,250
600 Town Sports International, Inc., Rule 144A,
Senior Notes (Callable 4/15/07 @ $104.81)## (B-, B2) 04/15/11 9.625 633,000
------------
7,919,143
------------
LODGING (1.1%)
150 Capstar Hotel Co., Senior Subordinated Notes
(Callable 8/15/03 @ $102.92) (CCC, Caa1) 08/15/07 8.750 112,500
340 Extended Stay America, Inc., Senior Subordinated
Notes (Callable 3/15/04 @ $103.05) (B, B2) 03/15/08 9.150 345,525
150 Hilton Hotels Corp., Notes (BBB-, Ba1) 02/15/11 8.250 163,033
200 HMH Properties, Inc., Series B, Company
Guaranteed (Callable 8/01/03 @ $103.98) (B+, Ba3) 08/01/08 7.875 203,000
50 Host Marriott Corp., Series A, Company
Guaranteed (Callable 8/01/03 @ $102.63) (B+, Ba3) 08/01/05 7.875 50,750
350 Host Marriott Corp., Series I, Global
Company Guaranteed (B+, Ba3) 01/15/07 9.500 369,687
200 John Q. Hammons Hotels, Series B, Global Notes,
First Mortgage (Callable 5/15/07 @ $104.44) (B, B2) 05/15/12 8.875 208,000
150 MeriStar Hospitality Corp., Global
Company Guaranteed (B-, B2) 01/15/08 9.000 143,250
325 Prime Hospitality Corp., Series B, Global Senior
Subordinated Notes (Callable 5/01/07 @ $104.19) (B, B1) 05/01/12 8.375 307,125
100 Starwood Hotels + Resorts Worldwide, Inc.,
Global Company Guaranteed, Senior Notes (BBB-, Ba1) 05/01/12 7.875 105,125
200 Vail Resorts, Inc., Company Guaranteed, Senior
Subordinated Notes (Callable 5/15/04 @ $104.38) (B, B2) 05/15/09 8.750 210,000
------------
2,217,995
------------
MACHINERY (0.4%)
920 Motors & Gears, Inc., Series D, Senior Notes
(Callable 11/15/03 @ $101.79) (B-, Caa1) 11/15/06 10.750 809,600
------------
METALS/MINING (1.7%)
555 AK Steel Corp., Company Guaranteed
(Callable 2/15/04 @ $103.94) (BB, B1) 02/15/09 7.875 495,337
350 AK Steel Corp., Global Company Guaranteed, Senior
Secured Notes (Callable 6/15/07 @ $103.88) (BB, B1) 06/15/12 7.750 307,563
500 Great Lakes Carbon Corp., Series B, Company
Guaranteed (Callable 5/15/03 @ $105.13) (B-, B3) 05/15/08 10.250 412,500
100 Haynes International, Inc., Senior Notes (CCC+, Caa2) 09/01/04 11.625 48,500
500 Jarden Corp., Global Company Guaranteed, Senior
Subordinated Notes (Callable 5/01/07 @ 104.88) (B-, B3) 05/01/12 9.750 540,000
</Table>
See Accompanying Notes to Financial Statements.
19
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
METALS/MINING (CONCLUDED)
$ 650 Metallurg, Inc., Series B, Company Guaranteed,
Senior Notes (Callable 12/01/03 @ $103.67) (CCC+, Caa2) 12/01/07 11.000 $ 386,750
173 Oregon Steel Mills, Inc., Global Company
Guaranteed (Callable 7/15/06 @ $105.00) (B+, B1) 07/15/09 10.000 165,215
100 Ormet Corp., Rule 144A, Company
Guaranteed, Senior Secured Notes
(Callable 8/15/03 @ $105.50)## # (NR, NR) 08/15/08 11.000 35,500
500 Peabody Energy Corp., Rule 144A, Senior Notes
(Callable 3/15/08 @ $103.44)## (BB-, Ba3) 03/15/13 6.875 522,500
350 UCAR Finance, Inc., Global Company Guaranteed
(Callable 2/15/07 @ $105.13) (B, B3) 02/15/12 10.250 329,000
450 WCI Steel, Inc., Series B, Senior Secured Notes
(Callable 12/01/03 @ $101.00) (CCC+, Caa2) 12/01/04 10.000 141,750
------------
3,384,615
------------
MISCELLANEOUS MANUFACTURING (0.3%)
587 Hexcel Corp., Rule 144A, Senior Notes
(Callable 4/01/06 @104.94)## (B, B3) 10/01/08 9.875 631,025
------------
OIL EQUIPMENT (0.8%)
250 Key Energy Services, Inc.,
(Callable 6/05/03 @ $101.43) (NR, Ba3) 09/15/04 5.000 244,530
371 Key Energy Services, Inc., Series B, Company
Guaranteed, Senior Subordinated Notes
(Callable 1/15/04 @ $107.00) (B+, B2) 01/15/09 14.000 421,085
420 Parker Drilling Co., Series B, Senior
Notes, Company Guaranteed
(Callable 11/15/04 @ $105.06) (B+, B1) 11/15/09 10.125 450,450
350 Pride International, Inc., Senior Notes
(Callable 5/01/03 @ $103.13) (BB, Ba2) 05/01/07 9.375 365,750
------------
1,481,815
------------
PAPER & FOREST PRODUCTS (2.8%)
631 Ainsworth Lumber Co., Ltd., Yankee Senior Notes (B-, B3) 07/15/07 12.500 696,702
390 Appleton Papers, Inc., Series B, Global Company
Guaranteed (Callable 12/15/05 @ $106.25) (B+, B3) 12/15/08 12.500 444,600
670 Box USA Holdings, Series B, Senior Secured Notes
(Callable 6/01/03 @ $102.00) (B, B3) 06/01/06 12.000 686,750
250 Caraustar Industries, Inc., Global Company
Guaranteed, Senior Subordinated Notes
(Callable 4/01/06 @ $105.25) (B+, Ba2) 04/01/11 9.875 257,500
150 Georgia-Pacific Corp., Notes (BB+, Ba3) 05/15/06 7.500 150,375
250 Georgia-Pacific Corp., Rules 144A, Senior Notes
(Callable 2/01/08 @ $104.69)## (BB+, Ba2) 02/01/13 9.375 276,250
350 Longview Fibre Co., Global Senior Subordinated
Notes (Callable 1/15/06 @ $105.00) (B+, B2) 01/15/09 10.000 378,000
</Table>
See Accompanying Notes to Financial Statements.
20
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
PAPER & FOREST PRODUCTS (CONCLUDED)
$ 200 MDP Acquisitions PLC, Rule 144A, Senior Notes
(Callable 10/01/07 @ $104.81)## (B, B2) 10/01/12 9.625 $ 218,000
300 Norske Skog Canada Ltd, Global
Company Guaranteed, Senior Notes
(Callable 6/15/06 @ $104.31) (BB, Ba2) 06/15/11 8.625 312,000
250 Packaging Corporation of America, Company
Guaranteed (Callable 4/01/04 @ $104.81) (BB+, Ba2) 04/01/09 9.625 272,500
350 Riverwood International Corp., Company
Guaranteed (Callable 4/01/04 @ $101.36) (CCC+, Caa1) 04/01/08 10.875 363,125
150 Stone Container Corp., Global Senior Notes
(Callable 2/01/06 @ $104.88) (B, B2) 02/01/11 9.750 169,125
90 Stone Container Corp., Global Senior Notes
(Callable 7/01/07 @ $104.19) (B, B2) 07/01/12 8.375 98,325
250 Stone Container Corp., Rule 144A,
Company Guaranteed, Senior Notes
(Callable 8/15/04 @ $100.00)## (B, B2) 08/15/06 11.500 268,750
100 Tembec Industries, Inc., Global
Company Guaranteed (BB+, Ba1) 02/01/11 8.500 104,500
500 Tembec Industries, Inc., Rule 144A, Senior Notes
(Callable 6/30/04 @ $104.31)## (BB+, Ba1) 06/30/09 8.625 522,500
200 Tembec Industries, Inc., Yankee Company
Guaranteed, Senior Unsecured Notes
(Callable 6/30/04 @ $104.31) (BB+, Ba1) 06/30/09 8.625 209,000
------------
5,428,002
------------
PHARMACEUTICALS (0.3%)
100 aaiPharma, Inc., Global Company Guaranteed
(Callable 4/01/06 @ 105.50) (B-, Caa1) 04/01/10 11.000 107,500
550 Alpharma, Inc., Rule 144A, Senior Notes
(Callable 5/01/07 @ $104.31)## (B+, B3) 05/01/11 8.625 572,000
------------
679,500
------------
PUBLISHING (2.0%)
800 Canwest Media, Inc., Rule 144A, Senior Notes
(Callable 4/15/08 @ $103.81)## (B-, B1) 04/15/13 7.625 844,000
200 Dex Media East LLC Finance, Rule 144A, Senior
Notes (Callable 11/15/06 @ $104.94)## (B, B2) 11/15/09 9.875 230,000
550 Hollinger, Inc., Rule 144A, Senior Notes
(Callable 3/01/07 @ 105.94)## (B, B3) 03/01/11 11.875 588,500
250 Houghton Mifflin Co., Rule 144A, Senior Notes
(Callable 2/01/08 @ $104.94)## (B, B3) 02/01/13 9.875 271,250
550 Liberty Group Operating, Inc., Company
Guaranteed (Callable 2/01/04 @ 103.125) (CCC+, Caa1) 02/01/08 9.375 548,625
500 Moore North American Finance, Rule 144A, Senior
Notes (Callable 1/15/07 @ $103.94)## (BB-, B1) 01/15/11 7.875 535,000
</Table>
See Accompanying Notes to Financial Statements.
21
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
PUBLISHING (CONCLUDED)
$ 80 Phoenix Color Corp., Company Guaranteed
(Callable 2/01/04 @ 105.19) (CCC+, Caa2) 02/01/09 10.375 $ 72,400
425 Primedia, Inc., Global Company Guaranteed, Senior
Unsecured Notes (Callable 5/15/06 @ $104.44) (B, B3) 05/15/11 8.875 456,875
375 Sun Media Corp., Rule 144A, Senior Notes
(Callable 2/15/08 @ $103.81)## (B-, Ba3) 02/15/13 7.625 401,250
------------
3,947,900
------------
RESTAURANTS (1.0%)
552 American Restaurant Group, Inc., Series D, Company
Guaranteed (Callable 11/01/04 @ $105.75) (B-, B3) 11/01/06 11.500 356,040
250 CKE Restaurants, Inc., Company Guaranteed
(Callable 5/01/04 @ $104.56) (CCC+, Caa1) 05/01/09 9.125 233,750
550 Friendly Ice Cream Corp., Company Guaranteed,
Senior Notes (Callable 12/01/03 @ $103.50) (B-, B3) 12/01/07 10.500 559,625
450 Perkins Family Restaurant LP, Series B, Senior
Notes (Callable 12/15/03 @ $103.38) (B+, B1) 12/15/07 10.125 429,750
330 Sbarro, Inc., Company Guaranteed, Senior Notes
(Callable 9/15/04 @ $105.50) (B+, B2) 09/15/09 11.000 323,400
------------
1,902,565
------------
RETAIL-FOOD & DRUG (1.3%)
450 Great Atlantic & Pacific Tea Company, Inc., Senior
Notes (Callable 12/15/06 @ $104.56) (B+, B3) 12/15/11 9.125 389,250
300 Herbalife International, Inc., Global Company
Guaranteed (Callable 7/15/06 @$105.88) (B, B3) 07/15/10 11.750 334,500
50 Pantry, Inc., Company Guaranteed
(Callable 10/15/03 @ $103.42) (B-, B3) 10/15/07 10.250 50,062
800 Rite Aid Corp., Rule 144A, Secured Notes
(Callable 5/01/07 @ $104.06)## (B+, B2) 05/01/10 8.125 824,000
280 Stater Bros. Holdings, Inc., Senior Notes
(Callable 8/15/03 @ $105.38) (B-, B2) 08/15/06 10.750 298,900
100 Swift & Co., Rule 144A, Senior Notes
(Callable 10/01/06 @ $105.06)## (B+, B1) 10/01/09 10.125 103,000
600 Swift & Co., Rule 144A, Senior Subordinated Notes
(Callable 10/01/06 @ $106.25)## (B, B2) 01/01/10 12.500 609,000
------------
2,608,712
------------
RETAIL STORES (2.4%)
400 AutoNation, Inc., Global Company Guaranteed (BB+, Ba2) 08/01/08 9.000 438,000
250 Cole National Group, Inc., Global Senior
Subordinated Notes (Callable 5/15/07 @ $104.44) (B, B2) 05/15/12 8.875 229,375
100 CSK Auto, Inc., Global Company Guaranteed
(Callable 12/15/04 @ $106.00) (B, B2) 06/15/06 12.000 110,125
66 Dillard's, Inc., Notes (BB+, Ba3) 08/01/04 6.430 66,990
250 Jostens, Inc., Senior Subordinated Notes
(Callable 5/01/05 @ $106.38) (B, B3) 05/01/10 12.750 300,000
</Table>
See Accompanying Notes to Financial Statements.
22
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
RETAIL STORES (CONCLUDED)
$ 705 Leslie's Poolmart, Senior Notes
(Callable 7/15/03 @ $100.00) (B-, B2) 07/15/04 10.375 $ 709,406
100 Michaels Stores, Inc., Senior Notes
(Callable 7/01/05 @ $104.62) (BB, Ba1) 07/01/09 9.250 109,000
900 Nebraska Book Co., Senior Subordinated Notes
(Callable 2/15/04 @ $102.92) (B-, B3) 02/15/08 8.750 905,625
450 Pep Boys - Manny, Moe & Jack, Notes (BB-, B2) 06/01/05 7.000 446,625
500 Pep Boys - Manny, Moe & Jack, Series
MTNB, Notes (BB-, B2) 07/07/06 6.920 471,875
800 United Auto Group, Inc., Global Company
Guaranteed, Senior Secured Notes
(Callable 3/15/07 @ $104.81) (B, B3) 03/15/12 9.625 848,000
------------
4,635,021
------------
SATELLITE (1.3%)
750 EchoStar DBS Corp., Senior Notes
(Callable 2/01/04 @ $104.69) (BB-, Ba3) 02/01/09 9.375 812,813
287 Loral Cyberstar, Inc., Company Guaranteed,
Senior Notes (CCC+, Caa1) 07/15/06 10.000 120,540
525 Pegasus Communications Corp., Senior Notes
(Callable 8/01/03 @ $106.25) (CCC-, Ca) 08/01/07 12.500 509,250
100 Pegasus Communications Corp., Series B, Senior
Notes (Callable 12/01/03 @ $103.25) (CCC-, Ca) 12/01/06 9.750 92,500
200 Pegasus Media & Communications, Inc.,
Series B, Senior Subordinated Notes
(Callable 7/01/03 @ $100.00) (CCC-, Caa3) 07/01/05 12.500 200,750
100 Pegasus Satellite Communication, Global Senior
Notes (Callable 8/01/03 @ $112.00) (CCC-, Ca) 08/01/06 12.375 97,000
350 Pegasus Satellite Communication, Senior Discount
Notes (Callable 3/01/04 @ $106.75)+ (CCC-, C) 03/01/07 13.500 302,750
400 Star Choice Communications (BB-, B3) 12/15/05 13.000 426,000
------------
2,561,603
------------
SECONDARY OIL & GAS PRODUCERS (3.3%)
1,100 Chesapeake Energy Corp., Global
Company Guaranteed, Senior Notes
(Callable 4/01/06 @ $104.06) (B+, Ba3) 04/01/11 8.125 1,193,500
300 Compton Petroleum Corp., Global Senior Notes
(Callable 5/15/06 @ $104.95) (B, B2) 05/15/09 9.900 328,500
650 Continental Resources, Inc., Company
Guaranteed, Senior Subordinated Notes
(Callable 8/01/03 @ $105.12) (CCC+, Caa1) 08/01/08 10.250 646,750
300 Forest Oil Corp., Global Senior Notes (BB, Ba3) 06/15/08 8.000 319,500
550 Frontier Escrow Corp., Rule 144A, Senior Notes
(Callable 4/15/08 @ $104.00)## (B, B2) 04/15/13 8.000 572,000
</Table>
See Accompanying Notes to Financial Statements.
23
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
SECONDARY OIL & GAS PRODUCERS (CONCLUDED)
$ 250 Houston Exploration Co., Series B, Senior
Subordinated Notes (Callable 1/01/04 @ $102.88) (B, B2) 01/01/08 8.625 $ 261,875
195 Magnum Hunter Resources, Inc.,
Company Guaranteed, Senior Notes
(Callable 6/01/03 @ $103.33) (B+, B2) 06/01/07 10.000 203,775
500 Mariner Energy, Inc., Series B, Senior Subordinated
Notes (Callable 8/01/03 @ $100.00) (C, Caa2) 08/01/06 10.500 503,750
230 Ocean Energy, Inc., Series B, Company
Guaranteed, Senior Subordinated Notes
(Callable 7/01/03 @ $104.19) (BB+, Ba1) 07/01/08 8.375 242,937
200 Plains Exploration & Production Company LP,
Series B, Global Company Guaranteed, Senior
Subordinated Notes (Callable 7/01/07 @ $104.38) (B, B2) 07/01/12 8.750 215,000
150 Pogo Producing Co., Series B, Senior Subordinated
Notes (Callable 4/15/06 @ $104.13) (BB, Ba3) 04/15/11 8.250 163,500
497 Pogo Producing Co., Series B, Senior Subordinated
Notes (Callable 5/15/03 @ $102.92) (BB, Ba3) 05/15/07 8.750 515,016
100 Southwest Royalties, Inc., Company
Guaranteed, Senior Secured Notes+ (CCC-, Caa2) 06/30/04 11.500 100,000
78 Southwest Royalties, Inc., Company
Guaranteed, Senior Secured Notes+ (CCC-, Caa2) 06/30/04 11.500 75,173
150 Vintage Petroleum, Inc., Global Senior
Subordinated Notes (Callable 5/15/06 @ $103.94) (B, B1) 05/15/11 7.875 154,688
250 Westport Resources Corp., Series B, Senior
Subordinated Notes (Callable 9/15/03 @ $102.96) (B+, Ba3) 09/15/07 8.875 262,500
750 Wiser Oil Co., Company Guaranteed, Senior
Subordinated Notes (Callable 5/15/03 @ $103.17) (CCC+, Caa3) 05/15/07 9.500 656,250
------------
6,414,714
------------
SERVICES (3.3%)
188 AP Holdings, Inc., Senior Discount Notes
(Callable 3/15/04 @ 103.75)+ (NR, C) 03/15/08 11.250 29,140
400 Brand Services, Inc., Rule 144A,
Senior Subordinated Notes
(Callable 10/15/07 @ $106.00)## (B-, B3) 10/15/12 12.000 442,000
200 Brickman Group, Ltd., Rule 144A,
Senior Subordinated Notes
(Callable 12/15/06 @ $105.88)## (B, B2) 12/15/09 11.750 225,000
300 Casella Waste Systems, Inc., Rule 144A,
Senior Subordinated Notes
(Callable 2/01/08 @ $104.88)## (B, B3) 02/01/13 9.750 327,000
300 Diamond Triumph Auto Glass, Inc., Company
Guaranteed (Callable 4/01/04 @ $103.08) (B, B3) 04/01/08 9.250 241,500
</Table>
See Accompanying Notes to Financial Statements.
24
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
SERVICES (CONCLUDED)
$ 500 Great Lakes Dredge & Dock, Company
Guaranteed, Senior Subordinated Notes
(Callable 8/15/03 @ $105.63) (B-, B3) 08/15/08 11.250 $ 530,625
450 IESI Corp., Global Company Guaranteed
(Callable 6/15/07 @ $105.13) (B-, B3) 06/15/12 10.250 468,000
1,000 Iron Mountain, Inc., Company Guaranteed
(Callable 1/15/08 @ $103.88) (B, B2) 01/15/15 7.750 1,080,000
325 Iron Mountain, Inc., Company Guaranteed
(Callable 4/01/06 @ $104.31) (B, B2) 04/01/13 8.625 355,875
945 La Petite Academy, Inc., Series B, Company
Guaranteed (Callable 5/15/03 @ $105.00) (CC, Ca) 05/15/08 10.000 557,550
250 Mail-Well, Inc., Series B, Company
Guaranteed, Senior Subordinated Notes
(Callable 12/15/03 @ $104.38) (B, B3) 12/15/08 8.750 223,750
250 Mail-Well, Inc., Global Company Guaranteed,
Senior Notes (Callable 3/15/07 @$104.81) (BB-, B1) 03/15/12 9.625 255,000
550 Muzak LLC Muzak Finance, Company
Guaranteed, Senior Subordinated Notes
(Callable 3/15/04 @ $104.94) (B-, Caa1) 03/15/09 9.875 514,250
200 Protection One Alarm Monitor, Series B, Global
Company Guaranteed (CCC+, Caa3) 01/15/09 8.125 155,000
100 Salton, Inc., Global Senior Subordinated Notes
(Callable 4/15/05 @ $106.13) (B, B2) 04/15/08 12.250 104,500
350 Standard Parking Corp., Company
Guaranteed, Senior Subordinated Notes
(Callable 3/15/04 @ $103.08) (CC, Caa3) 03/15/08 9.250 124,250
200 United Rentals, Inc., Series B, Company
Guaranteed, Senior Subordinated Notes
(Callable 1/15/04 @ $104.63) (B+, B2) 01/15/09 9.250 193,000
250 Volume Services America, Inc., Company
Guaranteed, Senior Subordinated Notes
(Callable 3/01/04 @ $105.62) (B-, B3) 03/01/09 11.250 246,250
450 Worldwide Flight Services, Series B, Company
Guaranteed (Callable 8/15/03 @ $106.13) (B-, B3) 08/15/07 12.250 492,750
------------
6,565,440
------------
TECHNOLOGY (1.4%)
200 AMI Semiconductor, Inc., Rule 144A, Senior
Subordinated Notes (Callable 2/01/08 @ $105.38)## (B, B3) 02/01/13 10.750 221,000
200 Amkor Technology, Inc., Global Senior Notes (B, B1) 02/15/08 9.250 214,500
203 Fairchild Semiconductor Corp., Company
Guaranteed (Callable 4/01/04 @ $103.46) (B, B2) 10/01/07 10.375 215,180
1,025 Lucent Technologies, Inc., Notes (B-, Caa1) 07/15/06 7.250 978,875
1,000 Lucent Technologies, Inc., Notes (B-, Caa1) 11/15/08 5.500 852,500
250 Sanmina-SCI Corp., Rule 144A, Secured Notes
(Callable 1/15/07 @ 105.19)## (BB-, Ba2) 01/15/10 10.375 286,250
------------
2,768,305
------------
</Table>
See Accompanying Notes to Financial Statements.
25
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
TEXTILE/APPAREL/SHOE MANUFACTURING (1.2%)
$ 200 BGF Industries, Inc., Series B, Senior Subordinated
Notes (Callable 1/15/04 @ $105.25) (CC, Ca) 01/15/09 10.250 $ 93,000
300 Levi Strauss & Co., Global Senior Notes
(Callable 1/15/05 @ $105.81) (BB-, B3) 01/15/08 11.625 255,000
30 Levi Strauss & Co., Notes (BB-, B3) 11/01/06 7.000 23,850
150 Levi Strauss & Co., Rule 144A, Senior Notes
(Callable 12/15/07 @ $106.13)## (BB-, B3) 12/15/12 12.250 125,250
1,000 Phillips-Van Heusen Corp, Senior Notes
(Callable 5/01/08 @ $104.06) (BB-, B2) 05/01/13 8.125 1,000,000
265 Simmons Co., Series B, Senior Subordinated
Notes (Callable 3/15/04 @ $105.12) (B-, B2) 03/15/09 10.250 287,525
300 Tropical Sportswear International Corp., Series A,
Company Guaranteed, Senior Subordinated Notes
(Callable 6/15/03 @ $105.50) (B, B3) 06/15/08 11.000 307,500
250 USI American Holdings, Inc., Series B, Company
Guaranteed Notes (B+, B3) 12/01/06 7.250 241,250
30 WestPoint Stevens, Inc., Senior Notes (CC, Ca) 06/15/05 7.875 6,000
------------
2,339,375
------------
TRANSPORTATION/OTHER (0.9%)
150 Kansas City Southern Railway, Global Company
Guaranteed, Senior Notes (BB-, Ba2) 10/01/08 9.500 166,500
500 North American Van Lines, Inc., Global Company
Guaranteed (Callable 12/01/04 @ $106.69) (B-, B3) 12/01/09 13.375 537,500
200 Oglebay Norton Co., Senior Subordinated Notes
(Callable 2/01/04 @ $105.00) (CCC+, Caa2) 02/01/09 10.000 81,000
500 Overseas Shipholding Group, Inc., Rule 144A,
Senior Notes (Callable 3/15/08 @ $104.13)## (BB+, Ba1) 03/15/13 8.250 518,125
250 Teekay Shipping Corp., Global Senior Notes (BB-, Ba2) 07/15/11 8.875 274,375
250 Ultrapetrol (Bahamas), Ltd., First Mortgage
(Callable 4/01/04 @$103.50) (BB-, B1) 04/01/08 10.500 195,000
------------
1,772,500
------------
UTILITIES (3.7%)
174 AES Corp., Rule 144A, Secured Notes
(Callable 12/15/04 @ $100.00)## (BB, B2) 07/15/05 10.000 183,570
250 AES Corp., Senior Notes (B-, B3) 12/31/08 8.000 230,000
400 AES Corp., Senior Unsecured Notes (B-, B3) 06/01/09 9.500 396,000
150 AES Corp., Senior Unsecured Notes (B-, B3) 02/15/11 8.875 144,000
139 Caithness Coso Fund Corp., Series B, Senior
Secured Notes (BB, Ba3) 12/15/09 9.050 145,487
450 Calpine Corp., Senior Notes (B+, B1) 04/15/09 7.750 324,000
265 Calpine Corp., Senior Notes (B+, B1) 08/15/10 8.625 190,800
800 Calpine Corp., Senior Notes (B+, B1) 02/15/11 8.500 588,000
300 CMS Energy Corp., Senior Notes (B+, B3) 11/15/04 7.625 300,000
500 CMS Energy Corp., Senior Notes (B+, B3) 07/15/08 8.900 505,000
</Table>
See Accompanying Notes to Financial Statements.
26
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONTINUED)
UTILITIES (CONCLUDED)
$ 790 CMS Energy Corp., Senior Notes (B+, B3) 01/15/09 7.500 $ 766,300
415 CMS Energy Corp., Series B, Senior Notes (B+, B3) 01/15/04 6.750 418,113
497 Cogentrix Energy, Inc., Series B, Company
Guaranteed, Senior Notes (BB, B1) 10/15/08 8.750 398,084
110 ESI Tractebel Acquisition Corp., Series B, Company
Guaranteed (Callable 6/30/08 @ $101.84) (BB, Ba1) 12/30/11 7.990 108,189
1,500 Mirant Americas Generation Corp., Senior Notes (B, B3) 05/01/06 7.625 1,297,500
202 National Waterworks, Inc., Rule 144A,
Senior Subordinated Notes
(Callable 12/01/07 @ $105.25)## (B, B3) 12/01/12 10.500 221,190
1,000 TNP Enterprises, Inc., Senior Subordinated Notes
(Callable 4/01/05 @ $105.13) (BB+, Ba3) 04/01/10 10.250 1,020,000
------------
7,236,233
------------
WIRELESS (3.8%)
600 AirGate PCS, Inc., Senior Subordinated Notes
(Callable 10/01/04 @ $106.75)+ (CC, Caa2) 10/01/09 13.500 153,000
1,045 Alamosa Holdings, Inc., Company
Guaranteed, Senior Discount Notes
(Callable 2/15/05 @ $106.44)+ (CCC-, Caa3) 02/15/10 12.875 465,025
350 American Cellular Corp., Global Company
Guaranteed (Callable 10/15/05 @ $104.75) (C, Caa3) 10/15/09 9.500 92,750
450 Centennial Communications, Senior Subordinated
Notes (Callable 12/15/03 @ $105.38) (CCC+, Caa2) 12/15/08 10.750 378,000
500 IPCS, Inc., Senior Discount Notes
(Callable 7/15/05 @ $107.00)# (D, Ca) 07/15/10 14.000 27,500
950 IWO Holdings, Inc., Global Company Guaranteed,
Senior Notes (Callable 1/15/06 @ $107.00) (C, Ca) 01/15/11 14.000 166,250
500 Nextel Communications, Inc., Senior Discount
Notes (Callable 2/15/04 @ $103.32)+ (B, B3) 02/15/08 9.950 527,500
200 Nextel Communications, Inc., Senior Notes
(Callable 11/15/04 @ $104.69) (B, B3) 11/15/09 9.375 217,000
800 Nextel Partners, Inc., Senior Discount Notes
(Callable 2/01/04 @ $107.00)+ (CCC+, Caa1) 02/01/09 14.000 816,000
600 Nextel Partners, Inc., Senior Notes
(Callable 3/15/05 @ $105.50) (CCC+, Caa1) 03/15/10 11.000 633,000
250 Nextel Partners, Inc., Senior Notes
(Callable 3/15/05 @ $105.50) (CCC+, Caa1) 03/15/10 11.000 263,750
400 Rogers Cantel, Inc., Yankee Senior Notes,
Debentures (Callable 6/1/03 @ $104.69) (BB+, Ba3) 06/01/08 9.375 418,500
75 Rogers Wireless Communications, Inc., Global
Secured Notes (BB+, Ba3) 05/01/11 9.625 82,969
750 Rural Cellular Corp., Global Senior Subordinated
Notes ( Callable 1/15/06 @ $104.88) (CCC+, Caa1) 01/15/10 9.750 656,250
50 Rural Cellular Corp., Series B, Senior Subordinated
Notes (Callable 5/15/03 @ $104.81) (CCC+, Caa1) 05/15/08 9.625 43,750
</Table>
See Accompanying Notes to Financial Statements.
27
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ -------------- -------- ------ ------------
CORPORATE BONDS (CONCLUDED)
WIRELESS (CONCLUDED)
$ 517 TeleCorp PCS, Inc., Company
Guaranteed, Senior Subordinated Notes
(Callable 4/15/04 @ $105.81)+ (BBB, Baa2) 04/15/09 11.625 $ 532,510
584 Tritel PCS, Inc., Company Guaranteed
(Callable 5/15/04 @ $106.38)+ (BBB, Baa2) 05/15/09 12.750 601,520
500 Triton PCS, Inc., Company Guaranteed,
Senior Subordinated Discount Notes
(Callable 5/01/03 @ $105.50)+ (B-, B3) 05/01/08 11.000 503,750
150 Triton PCS, Inc., Global Company Guaranteed
(Callable 11/15/06 @ $104.38) (B-, B3) 11/15/11 8.750 140,250
150 Triton PCS, Inc., Global Company Guaranteed
(Callable 2/01/06 @ $104.69) (B-, B3) 02/01/11 9.375 143,625
1,080 US Unwired, Inc., Series B, Company
Guaranteed, Senior Discount Notes
(Callable 11/01/04 @ $106.69)+ (CC, Caa2) 11/01/09 13.380 210,600
250 Voicestream Wireless Corp., Senior Discount
Notes (Callable 11/15/04 @ $105.94)+ (BBB+, Ba3) 11/15/09 11.875 238,750
98 Voicestream Wireless Corp., Senior Notes
(Callable 11/15/04 @ $105.19) (BBB+, Ba3) 11/15/09 10.375 109,270
130 Western Wireless Corp., Senior Subordinated
Notes (Callable 2/01/04 @ $101.75) (CCC, Caa2) 02/01/07 10.500 118,950
------------
7,540,469
------------
TOTAL CORPORATE BONDS (Cost $166,004,478) 174,579,041
------------
<Caption>
NUMBER
OF
SHARES
------
COMMON STOCKS (0.0%)
SECONDARY OIL & GAS PRODUCERS (0.0%)
1,176 Southwest Royalties, Inc.*^ (Cost $38,970) 17,793
------------
PREFERRED STOCKS (0.5%)
BROADCAST/OUTDOOR (0.5%)
10,000 Paxson Communications Corp., Public Notes
(Callable 6/02/03 @ $10,662) 922,500
------------
WIRELESS (0.0%)
24,822 Dobson Communications Corp.,
(Callable 5/01/04 @ $1,065) 21,657
------------
TOTAL PREFERRED STOCKS (Cost $827,298) 944,157
------------
WARRANTS (0.0%)
BROADBAND (0.0%)
100 GT Group Telecom, Inc., Rule 144A, expires
February 2010*##(Cost $2,500) 75
------------
</Table>
See Accompanying Notes to Financial Statements.
28
<Page>
<Table>
<Caption>
PAR
(000) MATURITY RATE% VALUE
------ -------- -------- -------------
SHORT-TERM INVESTMENT (10.8%)
$ 21,194 State Street Bank and Trust Co. Euro Time
Deposit (Cost $21,194,000) 05/01/03 1.188 $ 21,194,000
-------------
TOTAL INVESTMENTS AT VALUE (100.0%) (Cost $188,067,246) 196,735,066
OTHER ASSETS IN EXCESS OF LIABILITIES (0.0%) 44,195
-------------
NET ASSETS (100.0%) $ 196,779,261
=============
</Table>
- ----------
+ Credit ratings given by the Standard & Poor's Division of The McGraw-Hill
Companies, Inc. and Moody's Investors Service, Inc. 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 April 30, 2003,
these securities amounted to a value of $31,982,201 or 16.25% of net assets.
+ Step Bond--The interest rate as of April 30, 2003 is 0% and will reset to the
interest rate shown at a future date.
# Security in default
* Non-income producing security.
^ Not readily marketable; security is valued at fair value as determined in
good faith by the Board of Trustees.
See Accompanying Notes to Financial Statements.
29
<Page>
CREDIT SUISSE HIGH INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2003 (Unaudited)
<Table>
ASSETS
Investments at value (Cost $188,067,246) (Note 1) $ 196,735,066
Cash 63
Receivable for fund shares sold 8,071,571
Interest receivable 4,398,042
Receivable for investments sold 19,482
Prepaid expenses 17,369
--------------
Total Assets 209,241,593
--------------
LIABILITIES
Advisory fee payable (Note 2) 57,818
Administrative services fee payable (Note 2) 27,976
Distribution fee payable (Note 2) 84,985
Payable for investments purchased 11,457,156
Dividend payable 704,265
Payable for fund shares redeemed 66,738
Other accrued expenses payable 63,394
--------------
Total Liabilities 12,462,332
--------------
NET ASSETS
Capital stock, $0.001 par value (Note 5) 24,566
Paid-in capital (Note 5) 191,543,013
Accumulated net investment loss (43,027)
Accumulated net realized loss on investments (3,413,111)
Net unrealized appreciation from investments 8,667,820
--------------
Net Assets $ 196,779,261
==============
COMMON SHARES
Net assets $ 1,537,147
Shares outstanding 192,132
--------------
Net asset value, offering price, and redemption price per share $ 8.00
==============
A SHARES
Net assets $ 96,067,979
Shares outstanding 11,981,392
--------------
Net asset value and redemption price per share $ 8.02
==============
Maximum offering price per share (net asset value/(1-4.75%)) $ 8.42
==============
B SHARES
Net assets $ 32,799,525
Shares outstanding 4,101,891
--------------
Net asset value and offering price per share $ 8.00
==============
C SHARES
Net assets $ 66,374,610
Shares outstanding 8,290,593
--------------
Net asset value and offering price per share $ 8.01
==============
</Table>
See Accompanying Notes to Financial Statements.
30
<Page>
CREDIT SUISSE HIGH INCOME FUND
STATEMENT OF OPERATIONS
For the Six Months Ended April 30, 2003 (Unaudited)
<Table>
INTEREST INCOME (Note 1) $ 4,077,114
--------------
EXPENSES
Investment advisory fees (Note 2) 269,150
Administrative services fees (Note 2) 82,073
Distribution fees (Note 2) 263,977
Registration fees 41,086
Legal fees 37,164
Printing fees (Note 2) 35,719
Audit fees 9,697
Transfer agent fees (Note 2) 9,489
Custodian fees 4,488
Insurance expense 3,513
Trustees' fees 1,812
Miscellaneous expense 1,632
--------------
Total expenses 759,800
Less: fees waived (Note 2) (151,740)
--------------
Net expenses 608,060
--------------
Net investment income 3,469,054
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS
Net realized loss from investments (264,672)
Net change in unrealized appreciation (depreciation) from investments 10,012,805
--------------
Net realized and unrealized gain from investments 9,748,133
--------------
Net increase in net assets resulting from operations $ 13,217,187
==============
</Table>
See Accompanying Notes to Financial Statements.
31
<Page>
CREDIT SUISSE HIGH INCOME FUND
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
FOR THE SIX MONTHS
ENDED FOR THE YEAR
APRIL 30, 2003 ENDED
(UNAUDITED) OCTOBER 31, 2002
------------------ ------------------
FROM OPERATIONS
Net investment income $ 3,469,054 $ 1,253,765
Net realized loss from investments (264,672) (1,365,146)
Net change in unrealized appreciation (depreciation) from investments 10,012,805 86,591
------------------ ------------------
Net increase (decrease) in net assets resulting from operations 13,217,187 (24,790)
------------------ ------------------
FROM DIVIDENDS
Dividends from net investment income
Common Class Shares (66,015) (124,699)
Class A Shares (1,610,458) (757,622)
Class B Shares (592,949) (246,942)
Class C Shares (1,199,632) (112,283)
Class D Shares -- (59,879)
------------------ ------------------
Net decrease in net assets resulting from dividends (3,469,054) (1,301,425)
------------------ ------------------
FROM CAPITAL SHARE TRANSACTIONS (Note 5)
Proceeds from sale of shares 172,936,490 19,366,259
Reinvestment of dividends 1,197,344 628,234
Net asset value of shares redeemed (7,221,905) (11,871,096)
------------------ ------------------
Net increase in net assets from capital share transactions 166,911,929 8,123,397
------------------ ------------------
Net increase in net assets 176,660,062 6,797,182
NET ASSETS
Beginning of period 20,119,199 13,322,017
------------------ ------------------
End of period $ 196,779,261 $ 20,119,199
================== ==================
Accumulated Net Investment Loss $ (43,027) $ (43,027)
================== ==================
</Table>
See Accompanying Notes to Financial Statements.
32
<Page>
CREDIT SUISSE HIGH INCOME FUND
FINANCIAL HIGHLIGHTS
(For a Common Class Share of the Fund Outstanding Throughout Each Period)
<Table>
<Caption>
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED OCTOBER 31,
APRIL 30, 2003 ----------------------------------------
(UNAUDITED) 2002 2001 2000(1)
-------------- ---------- ---------- ----------
PER SHARE DATA
Net asset value, beginning of period $ 7.19 $ 7.96 $ 8.73 $ 9.21
-------------- ---------- ---------- ----------
INVESTMENT OPERATIONS
Net investment income 0.35(2) 0.72(2) 0.80 0.21
Net gain (loss) on investments
(both realized and unrealized) 0.81 (0.74) (0.71) (0.48)
-------------- ---------- ---------- ----------
Total from investment operations 1.16 (0.02) 0.09 (0.27)
-------------- ---------- ---------- ----------
LESS DIVIDENDS
Dividends from net investment income (0.35) (0.75) (0.86) (0.21)
-------------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 8.00 $ 7.19 $ 7.96 $ 8.73
============== ========== ========== ==========
Total return(3) 16.47% (0.60)% 0.88% (2.98)%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 1,537 $ 1,324 $ 599 $ 141
Ratio of expenses to average net assets 1.10%(4) 1.10% 1.10% 1.10%(4)
Ratio of net investment income to average
net assets 9.33%(4) 9.16% 9.98% 9.14%(4)
Decrease reflected in above operating expense
ratios due to waivers/reimbursements 0.37%(4) 2.04% 1.41% 1.58%(4)
Portfolio turnover rate 15% 86% 41% 44%
</Table>
- ----------
(1) For the period August 1, 2000 (inception date) through October 31, 2000.
(2) Per share information is calculated using the average share outstanding
method.
(3) Total returns are historical and assume changes in share price and
reinvestment of all dividends and distributions. Had certain expenses not
been reduced during the period shown, total returns would have been lower.
Total returns for periods of less than one year are not annualized.
(4) Annualized.
See Accompanying Notes to Financial Statements.
33
<Page>
CREDIT SUISSE HIGH INCOME FUND
FINANCIAL HIGHLIGHTS
(For a Class A Share of the Fund Outstanding Throughout Each Period)
<Table>
<Caption>
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED OCTOBER 31,
APRIL 30, 2003 -------------------------------------------------------
(UNAUDITED) 2002 2001 2000 1999(1)
-------------- ---------- ---------- ---------- ----------
PER SHARE DATA
Net asset value, beginning of period $ 7.21 $ 7.98 $ 8.73 $ 9.66 $ 10.00
-------------- ---------- ---------- ---------- ----------
INVESTMENT OPERATIONS
Net investment income 0.35(2) 0.72(2) 0.86 0.88 0.56
Net gain (loss) on investments
(both realized and unrealized) 0.81 (0.74) (0.75) (0.86) (0.34)
-------------- ---------- ---------- ---------- ----------
Total from investment operations 1.16 (0.02) 0.11 0.02 0.22
-------------- ---------- ---------- ---------- ----------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.35) (0.75) (0.86) (0.88) (0.56)
Distributions from net realized gains -- -- -- (0.07) --
-------------- ---------- ---------- ---------- ----------
Total dividends and distributions (0.35) (0.75) (0.86) (0.95) (0.56)
-------------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 8.02 $ 7.21 $ 7.98 $ 8.73 $ 9.66
============== ========== ========== ========== ==========
Total return(3) 16.43% (0.56)% 1.13% (0.06)% 2.19%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 96,068 $ 9,390 $ 8,952 $ 10,709 $ 10,488
Ratio of expenses to average net assets 1.10%(4) 1.10% 1.10% 1.10% 1.10%(4)
Ratio of net investment income to average
net assets 8.91%(4) 9.16% 10.01% 9.35% 8.61%(4)
Decrease reflected in above operating expense
ratios due to waivers/reimbursements 0.37%(4) 1.97% 1.30% 1.58% 1.43%(4)
Portfolio turnover rate 15% 86% 41% 44% 188%
</Table>
- ----------
(1) For the period March 8, 1999 (inception date) through October 31, 1999.
(2) Per share information is calculated using the average share outstanding
method.
(3) Total returns are historical and assume changes in share price, reinvestment
of all dividends and distributions and no sales charge. Had certain expenses
not been reduced during the period shown, total returns would have been
lower. Total returns for periods less than one year are not annualized.
(4) Annualized.
See Accompanying Notes to Financial Statements.
34
<Page>
CREDIT SUISSE HIGH INCOME FUND
FINANCIAL HIGHLIGHTS
(For a Class B Share of the Fund Outstanding Throughout Each Period)
<Table>
<Caption>
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED OCTOBER 31,
APRIL 30, 2003 -------------------------------------------------------
(UNAUDITED) 2002 2001 2000 1999(1)
-------------- ---------- ---------- ---------- ----------
PER SHARE DATA
Net asset value, beginning of period $ 7.19 $ 7.96 $ 8.73 $ 9.66 $ 10.00
-------------- ---------- ---------- ---------- ----------
INVESTMENT OPERATIONS
Net investment income 0.32(2) 0.65(2) 0.80 0.81 0.50
Net gain (loss) on investments
(both realized and unrealized) 0.81 (0.73) (0.77) (0.86) (0.34)
-------------- ---------- ---------- ---------- ----------
Total from investment operations 1.13 (0.08) 0.03 (0.05) 0.16
-------------- ---------- ---------- ---------- ----------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.32) (0.69) (0.80) (0.81) (0.50)
Distributions from net realized gains -- -- -- (0.07) --
-------------- ---------- ---------- ---------- ----------
Total dividends and distributions (0.32) (0.69) (0.80) (0.88) (0.50)
-------------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 8.00 $ 7.19 $ 7.96 $ 8.73 $ 9.66
============== ========== ========== ========== ==========
Total return(3) 16.03% (1.36)% 0.14% (0.81)% 1.60%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 32,800 $ 2,860 $ 1,667 $ 1,313 $ 1,447
Ratio of expenses to average net assets 1.85%(4) 1.85% 1.85% 1.85% 1.85%(4)
Ratio of net investment income to average
net assets 8.24%(4) 8.35% 9.22% 8.60% 7.83%(4)
Decrease reflected in above operating expense
ratios due to waivers/reimbursements 0.37%(4) 1.97% 1.35% 1.58% 1.43%(4)
Portfolio turnover rate 15% 86% 41% 44% 188%
</Table>
- ----------
(1) For the period March 8, 1999 (inception date) through October 31, 1999.
(2) Per share information is calculated using the average share outstanding
method.
(3) Total returns are historical and assume changes in share price, reinvestment
of all dividends and distributions and no sales charge. Had certain expenses
not been reduced during the period shown, total returns would have been
lower. Total returns for periods less than one year are not annualized.
(4) Annualized.
See Accompanying Notes to Financial Statements.
35
<Page>
CREDIT SUISSE HIGH INCOME FUND
FINANCIAL HIGHLIGHTS
(For a Class C Share of the Fund Outstanding Throughout Each Period)
<Table>
<Caption>
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED OCTOBER 31,
APRIL 30, 2003 ----------------------------------------
(UNAUDITED) 2002 2001 2000(1)
-------------- ---------- ---------- ----------
PER SHARE DATA
Net asset value, beginning of period $ 7.20 $ 7.96 $ 8.73 $ 9.57
-------------- ---------- ---------- ----------
INVESTMENT OPERATIONS
Net investment Income 0.32(2) 0.61(2) 0.80 0.53
Net gain (loss) on investments
(both realized and unrealized) 0.81 (0.68) (0.77) (0.84)
-------------- ---------- ---------- ----------
Total from investment operations 1.13 (0.07) 0.03 (0.31)
-------------- ---------- ---------- ----------
LESS DIVIDENDS
Dividends from net investment income (0.32) (0.69) (0.80) (0.53)
-------------- ---------- ---------- ----------
Total dividends (0.32) (0.69) (0.80) (0.53)
-------------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 8.01 $ 7.20 $ 7.96 $ 8.73
============== ========== ========== ==========
Total return(3) 16.03% (1.22)% 0.14% 3.31%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 66,375 $ 6,545 $ 623 $ 78
Ratio of expenses to average net assets 1.85%(4) 1.85% 1.85% 1.85%(4)
Ratio of net investment income to average
net assets 8.27%(4) 8.03% 9.18% 7.57%(4)
Decrease reflected in above operating expense
ratios due to waivers/reimbursements 0.37%(4) 2.61% 1.75% 1.58%(4)
Portfolio turnover rate 15% 86% 41% 44%
</Table>
- ----------
(1) For the period February 28, 2000 (inception date) through October 31, 2000.
(2) Per share information is calculated using the average share outstanding
method.
(3) Total returns are historical and assume changes in share price, reinvestment
of all dividends and distributions and no sales charge. Had certain expenses
not been reduced during the period shown, total returns would have been
lower. Total returns for periods less than one year are not annualized.
(4) Annualized.
See Accompanying Notes to Financial Statements.
36
<Page>
CREDIT SUISSE HIGH INCOME FUND
NOTES TO FINANCIAL STATEMENTS
April 30, 2003 (Unaudited)
NOTE 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The Credit Suisse High Income Fund (the "Fund"), a portfolio of the Credit
Suisse Opportunity Funds, ("The Trust") a Delaware business trust, is registered
under the Investment Company Act of 1940, as amended (the "1940 Act"), as a
non-diversified open-end management investment company that seeks to provide a
high level of current income and, secondarily, capital appreciation. The Trust
was organized under the laws of the State of Delaware as a business trust on May
31, 1995.
The Fund is authorized to offer four Classes of shares: Common Class, Class
A, Class B and Class C shares. Each class of shares represents an equal pro rata
interest in the Fund, except that they bear different expenses which reflect the
difference in the range of services provided to them. Effective December 12,
2001, Common Class shares closed to new investments, except for reinvestments of
dividends. Common Class shareholders may continue to hold Common Class shares
but may not add to their accounts. Although no further shares can be purchased,
shareholders can redeem their Common Class shares through any available method.
Effective March 18, 2002, Class D ceased operations. Common Class shares bear
expenses paid pursuant to a distribution plan at an annual rate of 0.25% of the
average daily net asset value of the Fund's Common Class shares. Class A shares
are sold subject to a front-end sales charge up to 4.75% and bear expenses paid
pursuant to a distribution plan at an annual rate up to 0.50% of the average
daily net asset value of the Fund's Class A shares. A fee of 0.25% is currently
charged to Class A shares. Class B shares are sold subject to a contingent
deferred sales charge which declines from 4.00% to zero depending on the period
of time the shares are held and bear expenses paid pursuant to a distribution
plan at an annual rate of 1.00% of the average daily net asset value of the
Fund's Class B shares. Class C shares are sold subject to a contingent deferred
sales charge of 1.00% if redeemed within the first year of purchase and bear
expenses paid pursuant to a distribution plan at an annual rate of 1.00% of the
average daily net asset value of the Fund's Class C shares.
A) SECURITY VALUATION -- The net asset value of the Fund is determined
daily as of the close of regular trading on the New York Stock Exchange, Inc. on
each day the Exchange is open for business. Debt securities with a remaining
maturity greater than 60 days are valued on the basis of broker quotations or
valuations provided by a pricing service that may use a matrix, formula or other
objective method that takes into consideration market indices, yield curves and
other specific adjustments. The Fund's equity investments are valued at market
value, which is generally determined
37
<Page>
using the closing price on the exchange or market on which the security is
primarily traded. If no sales are reported, equity investments are generally
valued at the most recent bid price. Securities and other assets for which
market quotations are not readily available are valued at fair value as
determined in good faith by the Board of Trustees under procedures established
by the Board of Trustees in the absence of readily ascertainable market values.
Debt obligations that will mature in 60 days or less are valued on the basis of
amortized cost, which approximates market value, unless the Board determines
that using this method would not reflect an investment's fair value.
B) SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
accounted for on a trade date basis. Interest income is recorded on the accrual
basis. The Fund amortizes premium and accretes discount using the effective
interest method. Dividends are recorded on the ex-dividend date. Income,
expenses (excluding class-specific expenses) and realized/unrealized
gains/losses are allocated proportionately to each class of shares based upon
the relative net asset value of the outstanding shares of that class. The cost
of investments sold is determined by use of the specific identification method
for both financial reporting and income tax purposes.
C) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net
investment income are declared daily 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
gain distributions are determined in accordance with federal income tax
regulations which may differ from accounting principles generally accepted in
the United States of America ("GAAP").
D) FEDERAL INCOME TAXES -- No provision is made for federal taxes as it is
the Fund's intention to continue to qualify for and elect the tax treatment
applicable to regulated investment companies under the Internal Revenue Code of
1986, as amended, and make the requisite distributions to its shareholders which
will be sufficient to relieve it from federal income and excise taxes.
E) 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 and disclosure of contingent 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.
38
<Page>
F) SHORT-TERM INVESTMENTS -- The Fund, together with other funds/portfolios
advised by Credit Suisse Asset Management, LLC ("CSAM"), an indirect,
wholly-owned subsidiary of Credit Suisse Group, pool available cash into a
short-term time deposit issued by State Street Bank and Trust Company ("SSB"),
the Fund's custodian. The short-term time deposit is a variable rate account
classified as a short-term investment.
G) TBA PURCHASE COMMITMENTS -- The Fund may enter into "TBA" (to be
announced) purchase commitments to purchase securities for a fixed price at a
future date, typically not exceeding 45 days. TBA purchase commitments may be
considered securities in themselves, and involve a risk of loss if the value of
the security to be purchased declines prior to settlement date. This risk is in
addition to the risk of decline in the Fund's other assets. Unsettled TBA
purchase commitments are valued at the current market value of the underlying
securities, according to the procedures described under "Security Valuation"
above.
H) 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 CSAM-advised Funds
or the AIM Institutional Funds Liquid Asset Portfolio. 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. The Fund had no
securities out on loan during the six months ended April 30, 2003.
Credit Suisse First Boston ("CSFB"), an affiliate of CSAM, has been engaged
by the Fund to act as the Fund's securities lending agent. Prior to April 1,
2003, CSFB had agreed to charge the Fund fees for its securities lending
activities equal to its costs in providing services as securities lending agent
and had voluntarily waived such fees through March 31, 2003. Effective April 1,
2003, the Fund and CSFB entered into an arrangement to share the income earned
from securities lending activities, whereby, generally, the Fund will receive
75% and CSFB will receive 25% of the income, in accordance with the provisions
of the securities lending agency agreement. If CSFB should enter into a
securities lending agency agreement with another comparable investment company
client under which it will receive a smaller
39
<Page>
proportion of the fees, its fee agreement with the Fund shall be reduced to such
lower fee amount.
I) OTHER -- Lower-rated debt securities (commonly known as "junk bonds")
possess speculative characteristics and are subject to greater market
fluctuations and risk of lost income and principal than higher-rated debt
securities for a variety of reasons. Also, during an economic downturn or
substantial period of rising interest rates, highly leveraged issuers may
experience financial stress which would adversely effect their ability to
service their principal and interest payment obligations, to meet projected
business goals and to obtain additional financing.
In addition, periods of economic uncertainty and changes can be expected to
result in increased volatility of market prices of lower-rated debt securities
and (to the extent a Fund invests in junk bonds) the Fund's net asset value.
NOTE 2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
CSAM serves as investment adviser for the Fund. For its investment advisory
services, CSAM is entitled to receive a fee from the Fund at an annual rate as
follows: 0.70% of average daily net assets less than or equal to $100 million
and 0.50% of average daily net assets greater than $100 million.
For the six months ended April 30, 2003, investment advisory fees earned
and voluntarily waived were $269,150 and $151,740, respectively.
Credit Suisse Asset Management Securities, Inc. ("CSAMSI"), an affiliate of
CSAM, and SSB serve as co-administrators to the Fund.
For its co-administrative services, CSAMSI currently receives a fee
calculated at an annual rate of 0.10% of the Fund's average daily net assets.
For the six months ended April 30, 2003, co-administrative services fees earned
by CSAMSI were $40,480.
For its co-administrative services, SSB receives a fee, exclusive of
out-of-pocket expenses, based upon the following fee structure calculated in
total for all the Credit Suisse Funds/Portfolios co-administered by SSB and
allocated based upon relative average net assets of each fund/portfolio.
<Table>
<Caption>
AVERAGE DAILY NET ASSETS ANNUAL RATE
------------------------ --------------------------------
First $5 billion .050% of average daily net assets
Next $5 billion .035% of average daily net assets
Over $10 billion .020% of average daily net assets
</Table>
40
<Page>
For the six months ended April 30, 2003, co-administrative service fees
earned by SSB (including out-of-pocket expenses) were $41,593.
In addition to serving as the Fund's co-administrator, CSAMSI currently
serves as distributor of the Fund's shares. Pursuant to distribution plans
adopted by the Fund pursuant to Rule 12b-1 under the 1940 Act, CSAMSI receives
fees for its distribution services. This fee is calculated at an annual rate of
0.25% of the average daily net assets of the Common Class shares, up to 0.50% of
the Class A shares and 1.00% of the average daily net assets of the Class B and
C shares. CSAMSI is currently paid at the annual rate of 0.25% of the average
net assets of the Class A shares. CSAMSI may use this fee to compensate service
organizations for distribution services. For the six months ended April 30,
2003, distribution fees earned by CSAMSI were as follows:
<Table>
<Caption>
CLASS DISTRIBUTION FEE
----- ----------------
Common Class $ 1,768
Class A 45,174
Class B 71,996
Class C 145,039
----------------
$ 263,977
================
</Table>
Certain brokers, dealers and financial representatives provide transfer
agent related services to the Fund, and receive compensation from CSAM. CSAM is
then reimbursed by the Fund. For the six months ended April 30, 2003, the Fund
reimbursed CSAM $448, which is included in the Fund's transfer agent expense.
For the six months ended April 30, 2003, CSAMSI and its affiliates advised
the Fund that they retained $274,002 from commissions earned on the sale of the
Fund's Class A shares.
Merrill Corporation ("Merrill"), an affiliate of CSAM, has been engaged by
the Fund to provide certain financial printing and fulfillment services. For the
six months ended April 30, 2003, Merrill was paid $9,629 for its services to the
Fund.
NOTE 3. LINE OF CREDIT
The Fund, together with other funds/portfolios advised by CSAM
(collectively, the "Participating Funds"), participates in a $150 million
committed,
41
<Page>
unsecured line of credit facility ("Credit Facility") with Deutsche Bank, A.G.
as administrative agent and syndication agent and SSB as operations agent for
temporary or emergency purposes. Under the terms of the Credit Facility, the
Participating Funds pay an aggregate commitment fee at a rate of 0.10% per annum
on the average unused amount of the Credit Facility, which is allocated among
the Participating Funds in such manner as is determined by the governing Boards
of the Participating Funds. In addition, the Participating Funds pay interest on
borrowings at the Federal Funds rate plus 0.50%. At April 30, 2003 and during
the six months ended April 30, 2003, the Fund had no borrowings under the Credit
Facility.
NOTE 4. PURCHASES AND SALES OF SECURITIES
For the six months ended April 30, 2003, purchases and sales of investment
securities (excluding short-term investments) were $159,714,500 and $11,637,767,
respectively.
At April 30, 2003, the identified cost for federal income tax purposes, as
well as the gross unrealized appreciation from investments for those securities
having an excess of value over cost, gross unrealized depreciation from
investments for those securities having an excess of cost over value and net
unrealized appreciation (depreciation) (based on cost for federal income tax
purposes) were $188,067,246, $10,004,295, $(1,336,475) and $8,667,820,
respectively.
NOTE 5. CAPITAL SHARE TRANSACTIONS
The Fund is authorized to issue an unlimited number of full and fractional
shares of beneficial interest, $.001 par value per share, of which an unlimited
number of shares are classified as the Common Class shares, Class A shares,
Class B shares and Class C shares. Transactions in capital shares for each class
were as follows:
<Table>
<Caption>
COMMON CLASS
----------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED
APRIL 30, 2003 (UNAUDITED) OCTOBER 31, 2002
----------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
---------------- ---------------- ---------------- ----------------
Shares sold 10,799 $ 80,633 264,811 $ 2,114,199
Shares issued in reinvestment
of dividends 8,051 61,586 13,137 101,994
Shares redeemed (10,868) (81,426) (169,074) (1,328,719)
---------------- ---------------- ---------------- ----------------
Net increase 7,982 $ 60,793 108,874 $ 887,474
================ ================ ================ ================
</Table>
42
<Page>
<Table>
<Caption>
CLASS A
----------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED
APRIL 30, 2003 (UNAUDITED) OCTOBER 31, 2002
----------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
---------------- ---------------- ---------------- ----------------
Shares sold 11,205,536 $ 86,141,945 956,207 $ 7,119,416
Shares issued in reinvestment
of dividends 92,128 717,975 44,463 349,237
Shares redeemed (618,976) (4,753,716) (820,293) (6,301,159)
---------------- ---------------- ---------------- ----------------
Net increase 10,678,688 $ 82,106,204 180,377 $ 1,167,494
================ ================ ================ ================
</Table>
<Table>
<Caption>
CLASS B
----------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED
APRIL 30, 2003 (UNAUDITED) OCTOBER 31, 2002
----------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
---------------- ---------------- ---------------- ----------------
Shares sold 3,734,544 $ 28,507,016 469,274 $ 3,637,725
Shares issued in reinvestment
of dividends 14,049 107,975 10,337 80,323
Shares redeemed (44,538) (341,382) (291,283) (2,219,548)
---------------- ---------------- ---------------- ----------------
Net increase 3,704,055 $ 28,273,609 188,328 $ 1,498,500
================ ================ ================ ================
</Table>
<Table>
<Caption>
CLASS C
----------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED
APRIL 30, 2003 (UNAUDITED) OCTOBER 31, 2002
----------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
---------------- ---------------- ---------------- ----------------
Shares sold 7,604,826 $ 58,206,896 846,338 $ 6,180,539
Shares issued in reinvestment
of dividends 40,168 309,808 5,739 44,296
Shares redeemed (263,763) (2,045,381) (20,900) (153,158)
---------------- ---------------- ---------------- ----------------
Net increase 7,381,231 $ 56,471,323 831,177 $ 6,071,677
================ ================ ================ ================
</Table>
<Table>
<Caption>
CLASS D
--------------------------------
FOR THE YEAR ENDED
OCTOBER 31, 2002(1)
--------------------------------
SHARES VALUE
-------------- --------------
Shares sold 39,302 $ 314,380
Shares issued in reinvestment
of dividends 6,488 52,384
Shares redeemed (231,851) (1,868,512)
-------------- --------------
Net decrease (186,061) $ (1,501,748)
============== ==============
</Table>
- ----------
(1) Class D ceased operations effective March 18, 2002.
43
<Page>
Management has determined that due to an administrative oversight, new
sales of Common Class shares other than pursuant to reinvestment of dividends
took place after February 28, 2002, when there was no effective Common Class
prospectus. A right of rescission will be offered to shareholders who purchased
Common Class shares after February 28, 2002. The Fund will not bear any of the
costs of the rescission offer, including payments due to shareholders who accept
the offer.
On April 30, 2003, the number of shareholders that held 5% or more of the
outstanding shares of each class of the fund were as follows:
<Table>
<Caption>
NUMBER OF APPROXIMATE PERCENTAGE
CLASS SHAREHOLDERS OF OUTSTANDING SHARES
----- ------------ ----------------------
Common Class 5 71%
Class A 3 54%
Class B 1 61%
Class C 1 59%
</Table>
Some of the shareholders are comprised of omnibus accounts, which are held
on behalf of several individual shareholders.
NOTE 6. SUBSEQUENT EVENT
New distribution plans approved by shareholders of the Fund became
effective on May 1, 2003. The new plans are similar in all respects to the
distribution plans previously in effect, except that they are "compensation"
type plans, rather then "reimbursement" type plans, and there could be material
differences in the payments made to CSAMSI. Under the new plans, the annual
level of payments is fixed in advance, regardless of whether CSAMSI incurs more
or less expenses than the fixed level. To the extent the Fund's distribution
expenses exceed amounts payable under the new plans, CSAMSI will incur a loss.
The fee rates payable by each class under the new plans did not change.
44
<Page>
CREDIT SUISSE HIGH INCOME FUND
SHAREHOLDER MEETING RESULTS (UNAUDITED)
A special meeting of shareholders of the Credit Suisse High Income Fund (the
"Fund") was held at 466 Lexington Avenue, 16th Floor, New York, NY 10017 on
April 11, 2003 and adjourned to May 2, 2003. The following matters were voted
upon by the shareholders of the Fund and the results are presented below. Shares
delivered not voted are included on the total for the proposals. All proposals
were approved.
1. To Elect the Following Nominees as Trustees:
<Table>
<Caption>
FOR WITHHELD
---------- --------
Richard H. Francis 6,125,742 33,208
Jack W. Fritz 6,125,742 33,208
Joseph D. Gallagher 6,127,094 31,856
Jeffrey E. Garten 6,127,094 31,856
Peter F. Krogh 6,127,094 31,856
James S. Pasman, Jr. 6,125,742 33,208
Steven N. Rappaport 6,127,094 31,856
William W. Priest 6,127,094 31,856
Total Eligible Shares 10,251,969
Total Shares Voted 6,158,950
% of Shares Voted 60.08%
</Table>
2. To Approve Amended Distribution Plans:
<Table>
<Caption>
COMMON CLASS
-------------------------------------------------
% OF TOTAL SHARES % OF TOTAL
SHARES OUTSTANDING SHARES VOTED
---------- ------------------ --------------
For 101,229 53.81% 98.46%
Against 1,584 0.84% 1.54%
Abstain -- -- --
<Caption>
CLASS A
-------------------------------------------------
% OF TOTAL SHARES % OF TOTAL
SHARES OUTSTANDING SHARES VOTED
---------- ------------------ --------------
For 2,410,777 59.38% 99.18%
Against 7,955 0.20% 0.33%
Abstain 11,903 0.29% 0.49%
<Caption>
CLASS B
--------------------------------------------------------------------------------------------------------
CLASS A CLASS B
------- -------
% OF TOTAL SHARES % OF TOTAL % OF TOTAL SHARES % OF TOTAL
SHARES OUTSTANDING SHARES VOTED SHARES OUTSTANDING SHARES VOTED
--------- ----------------- ------------ --------- ----------------- ------------
For 1,287,427 63.49% 98.01% 1,289,423 63.59% 98.16%
Against 2,401 0.12% 0.18% 405 0.02% 0.03%
Abstain 23,721 1.17% 1.81% 23,721 1.17% 1.81%
</Table>
45
<Page>
<Table>
<Caption>
CLASS C
-------------------------------------------------
% OF TOTAL SHARES % OF TOTAL
SHARES OUTSTANDING SHARES VOTED
---------- ------------------ --------------
For 2,254,413 56.70% 97.51%
Against 18,639 0.47% 0.81%
Abstain 38,901 0.98% 1.68%
</Table>
3-A. To Modify the Fundamental Investment Restriction on Borrowing Money:
<Table>
<Caption>
% OF TOTAL SHARES % OF TOTAL
SHARES OUTSTANDING SHARES VOTED
---------- ------------------ --------------
For 3,285,895 32.05% 53.35%
Against 84,720 0.83% 1.37%
Abstain 108,155 1.06% 1.76%
Broker Non-votes 2,680,181 26.14% 43.52%
</Table>
3-B. To Modify the Fundamental Investment Restriction on Lending:
<Table>
<Caption>
% OF TOTAL SHARES % OF TOTAL
SHARES OUTSTANDING SHARES VOTED
---------- ------------------ --------------
For 3,287,483 32.07% 53.38%
Against 92,555 0.90% 1.50%
Abstain 98,732 0.96% 1.60%
Broker Non-votes 2,680,181 26.14% 43.52%
</Table>
3-C. To Modify the Fundamental Investment Restriction on Real Estate
Investments:
<Table>
<Caption>
% OF TOTAL SHARES % OF TOTAL
SHARES OUTSTANDING SHARES VOTED
---------- ------------------ --------------
For 3,343,569 32.61% 54.29%
Against 58,539 0.57% 0.95%
Abstain 76,662 0.75% 1.24%
Broker Non-votes 2,680,181 26.14% 43.52%
</Table>
3-D. To Remove the Fundamental Investment Restriction on Short Sales:
<Table>
<Caption>
% OF TOTAL SHARES % OF TOTAL
SHARES OUTSTANDING SHARES VOTED
---------- ------------------ --------------
For 3,340,958 32.59% 54.24%
Against 56,665 0.55% 0.92%
Abstain 81,147 0.79% 1.32%
Broker Non-votes 2,680,181 26.14% 43.52%
</Table>
46
<Page>
4. To Change the Fund's Investment Objective from Fundamental to
Non-Fundamental:
<Table>
<Caption>
% OF TOTAL SHARES % OF TOTAL
SHARES OUTSTANDING SHARES VOTED
---------- ------------------ --------------
For 3,256,149 31.76% 52.87%
Against 139,507 1.36% 2.26%
Abstain 83,114 0.81% 1.35%
Broker Non-votes 2,680,181 26.14% 43.52%
</Table>
5-A. To Amend the Charter Document to Allow Involuntary Redemptions:
<Table>
<Caption>
% OF TOTAL SHARES % OF TOTAL
SHARES OUTSTANDING SHARES VOTED
---------- ------------------ --------------
For 3,216,954 31.38% 52.23%
Against 175,687 1.71% 2.85%
Abstain 86,129 0.84% 1.40%
Broker Non-votes 2,680,181 26.14% 43.52%
</Table>
5-B. To Amend the Charter Document to Allow Reorganization of the Fund or its
Series Without Shareholder Approval:
<Table>
<Caption>
% OF TOTAL SHARES % OF TOTAL
SHARES OUTSTANDING SHARES VOTED
---------- ------------------ --------------
For 3,220,653 31.42% 52.29%
Against 181,641 1.77% 2.95%
Abstain 76,476 0.75% 1.24%
Broker Non-votes 2,680,181 26.14% 43.52%
</Table>
47
<Page>
CREDIT SUISSE HIGH INCOME FUND
PRIVACY POLICY NOTICE
We are committed to maintaining the privacy of every current and
prospective customer. We recognize that you entrust important personal
information to us, and we wish to assure you that we take seriously our
responsibilities in protecting and safeguarding this information.
In connection with making available investment products and services to
current and potential customers, we may obtain nonpublic personal information
about you. This information may include your name, address, e-mail address,
social security number, account number, assets, income, financial situation,
transaction history and other personal information.
We may collect nonpublic information about you from the following sources:
- Information we receive on applications, forms, questionnaires, web
sites, agreements or in the course of establishing or maintaining a
customer relationship; and
- Information about your transactions with us, our affiliates, or others.
We do not disclose any nonpublic personal information about our customers
or former customers to anyone, except with your consent or as otherwise
permitted by law. In cases where we believe that additional products and
services may be of interest to you, we may share the information described above
with our affiliates. We may also disclose this information to firms that perform
services on our behalf. These agents and service providers are required to treat
the information confidentially and use it only for the purpose for which it is
provided.
We restrict access to nonpublic personal information about you to those
employees, agents or other parties who need to know that information to provide
products or services to you or in connection with your investments with or
through us. We maintain physical, electronic and procedural safeguards that
comply with federal standards to guard your nonpublic personal information.
NOTE: THIS NOTICE IS PROVIDED TO CLIENTS AND PROSPECTIVE CLIENTS OF CREDIT
SUISSE ASSET MANAGEMENT, LLC ("CSAM"), CSAM CAPITAL INC., AND CREDIT SUISSE
ASSET MANAGEMENT SECURITIES, INC., AND SHAREHOLDERS AND PROSPECTIVE SHAREHOLDERS
IN CSAM SPONSORED AND ADVISED INVESTMENT COMPANIES, INCLUDING CREDIT SUISSE
FUNDS, AND OTHER CONSUMERS AND CUSTOMERS, AS APPLICABLE. THIS NOTICE IS NOT
INTENDED TO BE INCORPORATED IN ANY OFFERING MATERIALS BUT IS MERELY A STATEMENT
OF OUR CURRENT PRIVACY POLICY, AND MAY BE AMENDED FROM TIME TO TIME UPON NOTICE
TO YOU. THIS NOTICE IS DATED AS OF MAY 20, 2003.
48
<Page>
P.O. BOX 55030, BOSTON, MA 02205-5030
800-927-2874 - www.csam-americas.com
[CREDIT SUISSE ASSET MANAGEMENT LOGO]
CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., DISTRIBUTOR. CSHIF-3-0403
<Page>
[CREDIT SUISSE ASSET MANAGEMENT LOGO]
CREDIT SUISSE FUNDS
SEMIANNUAL REPORT
APRIL 30, 2003
(UNAUDITED)
- - CREDIT SUISSE
U.S. GOVERNMENT MONEY FUND
- - CREDIT SUISSE
MUNICIPAL MONEY FUND
MORE COMPLETE INFORMATION ABOUT THE FUNDS, INCLUDING CHARGES AND EXPENSES, IS
PROVIDED IN THE PROSPECTUS, WHICH MUST PRECEDE OR ACCOMPANY THIS DOCUMENT AND
WHICH SHOULD BE READ CAREFULLY BEFORE INVESTING. YOU MAY OBTAIN ADDITIONAL
COPIES BY CALLING 800-927-2874 OR BY WRITING TO CREDIT SUISSE FUNDS, P.O. BOX
55030, BOSTON, MA 02205-5030.
CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., DISTRIBUTOR, IS LOCATED AT 466
LEXINGTON AVE., NEW YORK, NY 10017-3140. CREDIT SUISSE FUNDS ARE ADVISED BY
CREDIT SUISSE ASSET MANAGEMENT, LLC.
<Page>
THE FUNDS' INVESTMENT ADVISER AND CO-ADMINISTRATORS MAY WAIVE SOME FEES AND/OR
REIMBURSE SOME EXPENSES, WITHOUT WHICH PERFORMANCE WOULD BE LOWER. WAIVERS
AND/OR REIMBURSEMENTS ARE SUBJECT TO CHANGE.
PAST PERFORMANCE CANNOT GUARANTEE FUTURE RESULTS. THE FUNDS' YIELDS WILL
FLUCTUATE. ALTHOUGH EACH FUND SEEKS TO MAINTAIN A CONSTANT NET ASSET VALUE OF $1
PER SHARE, THERE CAN BE NO ASSURANCE THAT IT CAN DO SO ON A CONTINUING BASIS AND
IT IS POSSIBLE TO LOSE MONEY BY INVESTING IN EACH FUND. AN INVESTMENT IN EACH
FUND IS NEITHER INSURED NOR GUARANTEED BY THE FEDERAL DEPOSIT INSURANCE
CORPORATION OR ANY OTHER GOVERNMENT AGENCY.
THE VIEWS OF THE FUNDS' MANAGEMENT ARE AS OF THE DATE OF THE LETTER AND THE
PORTFOLIO HOLDINGS DESCRIBED IN THIS DOCUMENT ARE AS OF APRIL 30, 2003; THESE
VIEWS AND PORTFOLIO HOLDINGS MAY HAVE CHANGED SUBSEQUENT TO THESE DATES. NOTHING
IN THIS DOCUMENT IS A RECOMMENDATION TO PURCHASE OR SELL SECURITIES.
FUND SHARES ARE NOT DEPOSITS OR OTHER OBLIGATIONS OF CREDIT SUISSE ASSET
MANAGEMENT, LLC ("CSAM") OR ANY AFFILIATE, ARE NOT FDIC-INSURED AND ARE NOT
GUARANTEED BY CSAM OR ANY AFFILIATE.
<Page>
CREDIT SUISSE U.S. GOVERNMENT MONEY FUND
SEMIANNUAL INVESTMENT ADVISER'S REPORT
April 30, 2003
May 21, 2003
Dear Shareholder:
For the six months ended April 30, 2003, Credit Suisse U.S. Government
Money Fund (the "Fund") returned 0.29%.(1) In addition, the Fund's total net
assets as of April 30, 2003 were $31.6 million, compared to $47.8 million on
October 31, 2002, and its annualized yield for the seven day period ended April
30, 2003 was 0.47%.
The six-month period was difficult for money market vehicles like the Fund.
Most challenging, in our view, was the simple fact that short-term interest
rates were sufficiently low to compel many investors to look elsewhere for
attractive yields. An exclamation point of sorts in this regard occurred on
November 6, just after the period began, when the Federal Reserve cut its
nominal short-term interest rate by a half-point (I.E., to 1.25% from 1.75%) to
the lowest such level since July 1961. Most economic data, moreover, tended to
paint a weak economic picture, suggesting that the Fed had little reason to
raise rates in the near term.
To some degree, money market vehicles benefited from the high degree of
risk aversion caused by uncertainty about the timing and potential length of a
war in Iraq. While such risk aversion frequently wreaked havoc on stocks, it
also prompted some shifting of assets out of stocks and into less-risky
investments like money market funds. War-related uncertainty abated toward the
end of the period, however, when major military action concluded and sentiment
could focus more comfortably on the future than the present.
Within the environment we have described, we managed the portfolio guided
by our conviction that interest rates were unlikely to rise and might even fall
further. We thus chose to emphasize relatively longer-term securities (I.E.,
with maturities of up to one year) when market conditions were such that their
yields were advantageously higher than those available from shorter-term paper.
The Fund's average weighted maturity, which we consistently kept between 75 and
80 days throughout the period, was 77 days at April 30, 2003, compared to 80
days on October 31, 2002.
1
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We expect the overall investment climate to stay fairly similar for the
time being. The Fund's performance, in our opinion, should be affected most
meaningfully by conflicting forces of low interest rates and fluctuating levels
of risk tolerance. Our current approach to the Fund remains intact accordingly.
Credit Suisse Asset Management, LLC
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.
AVERAGE ANNUAL RETURNS AS OF MARCH 31, 2003(1)
<Table>
<Caption>
SINCE
1 YEAR 5 YEARS INCEPTION INCEPTION DATE
------ ------- --------- --------------
0.81% 3.58% 3.80% 2/24/97
</Table>
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2003(1)
<Table>
<Caption>
SINCE
1 YEAR 5 YEARS INCEPTION INCEPTION DATE
------ ------- --------- --------------
0.76% 3.51% 3.75% 2/24/97
</Table>
- ----------
(1) Returns assume reinvestment of dividends.
2
<Page>
CREDIT SUISSE MUNICIPAL MONEY FUND
SEMIANNUAL INVESTMENT ADVISER'S REPORT
April 30, 2003
May 21, 2003
Dear Shareholder:
For the six months ended April 30, 2003, Credit Suisse Municipal Money Fund
(the "Fund") returned 0.20%.(1) The following statistics characterized the Fund
as of April 30, 2003: total net assets were $31.9 million, compared to $47.8
million on October 31, 2002; annualized yield for the seven day period ended
April 30, 2003 was 0.42%; and average weighted maturity was 59 days, down from
60 days on October 31, 2002.
The six-month period was difficult for money market vehicles like the Fund.
Most challenging, in our view, was the simple fact that short-term interest
rates were sufficiently low to prompt many investors to look elsewhere for
attractive yields. An exclamation point of sorts in this regard occurred on
November 6, just after the period began, when the Federal Reserve cut its
nominal short-term interest rate by a half-point (I.E., to 1.25% from 1.75%) to
the lowest such threshhold since July 1961. Most economic data, moreover, tended
to paint a weak economic picture, suggesting that the Fed had little reason to
raise rates in the near term.
One noteworthy aspect of the municipal market within this environment was
that issuance of new municipal paper exploded to an all-time high in 2002 and
continued to surge into 2003. Such issuance was so large, in fact, that it
greatly exceeded demand, which had the effect of driving valuations down to
levels that many investors (ourselves included) found compelling.
Our investment strategy was guided by our conviction that interest rates
were unlikely to rise and might even fall further. We thus chose to emphasize
relatively longer-term securities (I.E., with maturities of up to one year) when
market conditions were such that their yields were advantageously higher than
those available from shorter-term paper. We also continued to seek out
highest-quality instruments like general obligations, insured paper and bonds
whose issuers ranked in the top tiers of creditworthiness.
We expect the overall investment climate to stay fairly similar for the
time being. The Fund's performance, in our opinion, should be affected most
meaningfully by conflicting forces of low interest rates and fluctuating levels
of risk tolerance. Our current approach to the Fund remains intact accordingly.
3
<Page>
Now that uncertainty related to the war in Iraq has subsided, furthermore,
we believe that investors will refocus their attention on economic fundamentals
and topics specific to the municipal market. With regard to the latter, we note
that municipal valuations remain at levels that we consider especially
attractive.
Credit Suisse Asset Management, LLC
A PORTION OF INCOME MAY BE SUBJECT TO STATE, LOCAL AND CITY TAXES OR THE
FEDERAL ALTERNATIVE MINIMUM TAX.
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.
AVERAGE ANNUAL RETURNS AS OF MARCH 31, 2003(1)
<Table>
<Caption>
SINCE
1 YEAR 5 YEARS INCEPTION INCEPTION DATE
------ ------- --------- --------------
0.57% 2.10% 2.23% 2/24/97
</Table>
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2003(1)
<Table>
<Caption>
SINCE
1 YEAR 5 YEARS INCEPTION INCEPTION DATE
------ ------- --------- --------------
0.53% 2.05% 2.21% 2/24/97
</Table>
- ----------
(1) Returns assume reinvestment of dividends.
4
<Page>
CREDIT SUISSE U.S. GOVERNMENT MONEY FUND
SCHEDULE OF INVESTMENTS
April 30, 2003 (Unaudited)
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---- ------------- -------- ------- ------------
UNITED STATES AGENCY OBLIGATIONS (79.4%)
$ 600 Fannie Mae (AAA , Aaa) 04/16/04 1.410 $ 600,000
11,000 Fannie Mae Discount Notes (AAA , Aaa) 05/01/03 1.250 11,000,000
2,000 Fannie Mae Discount Notes (AAA , Aaa) 09/19/03 1.720 1,986,527
500 Fannie Mae Discount Notes (AAA , Aaa) 01/09/04 1.260 495,572
600 Fannie Mae Discount Notes (AAA , Aaa) 02/06/04 1.260 594,099
500 Fannie Mae Discount Notes (AAA , Aaa) 03/05/04 1.170 494,635
1,800 Federal Farm Credit Bank Floating Rate Notes ## (AAA , Aaa) 09/25/03 1.270 1,800,000
1,000 Federal Farm Credit Bank Floating Rate Notes ## (AAA , Aaa) 02/03/04 1.250 1,000,000
2,000 Federal Home Loan Bank (AAA , Aaa) 08/15/03 4.125 2,013,109
1,000 Federal Home Loan Bank (AAA , Aaa) 04/12/04 1.300 1,000,000
1,500 Federal Home Loan Bank Discount Notes (AAA , Aaa) 08/14/03 1.700 1,492,563
1,500 Freddie Mac (AAA , Aaa) 05/15/03 7.375 1,503,263
800 Freddie Mac Discount Notes (AAA , Aaa) 12/05/03 1.140 794,187
300 Freddie Mac Discount Notes (AAA , Aaa) 12/15/03 1.270 297,663
------------
TOTAL UNITED STATES AGENCY OBLIGATIONS (Cost $25,071,618) 25,071,618
------------
UNITED STATES TREASURY OBLIGATIONS (5.5%)
UNITED STATES TREASURY NOTES (5.5%)
1,000 United States Treasury Notes (AAA , Aaa) 02/15/04 4.750 1,027,676
700 United States Treasury Notes (AAA , Aaa) 04/30/04 3.375 714,621
------------
TOTAL UNITED STATES TREASURY OBLIGATIONS (Cost $1,742,297) 1,742,297
------------
REPURCHASE AGREEMENT (17.4%)
5,491 Goldman Sachs Group, Inc. (Agreement dated
4/30/03, to be repurchased at $5,491,200,
collateralized by $2,630,000 Federal Home Loan
Bank 7.375% due 2/12/10 and $9,430,000 Federal
Home Loan Bank 0.000% due 1/23/23. Market value
of collateral is $5,606,165.) (Cost $5,491,000) (A1+ , Aaa) 05/01/03 1.310 5,491,000
------------
TOTAL INVESTMENTS AT VALUE (102.3%) (Cost $32,304,915) 32,304,915
LIABILITIES IN EXCESS OF OTHER ASSETS (-2.3%) (715,311)
------------
NET ASSETS (100.0%) $ 31,589,604
============
</Table>
Average Weighted Maturity -- 77 days
- ----------
+ 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.
## The interest rate is as of April 30, 2003 and the maturity date is the later
of the next interest readjustment date or the date the principal amount can
be recovered through demand.
See Accompanying Notes to Financial Statements.
5
<Page>
CREDIT SUISSE MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS
April 30, 2003 (Unaudited)
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---- ------------- -------- ------- ------------
MUNICIPAL BONDS (94.1%)
COLORADO (3.2%)
$ 1,000 Colorado State General Funding Revenue,
Tax & Revenue Anticipation Notes, Series A (SP1+ , NR) 06/27/03 3.000 $ 1,002,307
------------
TOTAL COLORADO (Cost $1,002,307) 1,002,307
------------
DISTRICT OF COLUMBIA (3.2%)
1,000 District of Columbia Revenue Bonds, George
Washington University, Series A
(MBIA Insurance LOC) (AAA , Aaa) 09/15/03 5.250 1,015,357
------------
TOTAL DISTRICT OF COLUMBIA (Cost $1,015,357) 1,015,357
------------
FLORIDA (1.7%)
550 Orange County Tourist Development Tax
Revenue Bonds, Series A
(AMBAC Insurance LOC) (AAA , Aaa) 10/01/03 3.000 552,847
------------
TOTAL FLORIDA (Cost $552,847) 552,847
------------
GEORGIA (5.6%)
1,800 Georgia Municipal Electric Authority Revenue
Bonds, Subordinated Series B
(Landesbank Hessen Thuringen LOC) ## (A1 , VMIG1) 05/07/03 1.350 1,800,000
------------
TOTAL GEORGIA (Cost $1,800,000) 1,800,000
------------
IDAHO (4.4%)
1,400 Idaho State Tax Anticipation Notes, General
Obligation Bonds (SP1+ , MIG1) 06/30/03 3.000 1,403,102
------------
TOTAL IDAHO (Cost $1,403,102) 1,403,102
------------
ILLINOIS (8.8%)
2,800 Illinois State Revenue Anticipation Certificates (SP1+ , MIG1) 06/15/03 3.000 2,805,132
------------
TOTAL ILLINOIS (Cost $2,805,132) 2,805,132
------------
INDIANA (9.4%)
2,000 Indiana Health Facility Financing Authority
Revenue Bonds, Series A-1
(Ascension Health Credit Group LOC) # (A1+ , VMIG1) 07/03/03 1.830 2,000,000
1,000 Mount Vernon Industrial Pollution Control
Revenue Bonds (General Electric LOC) ## (A1+ , P1) 05/01/03 1.400 1,000,000
------------
TOTAL INDIANA (Cost $3,000,000) 3,000,000
------------
MASSACHUSETTS (6.3%)
500 Lynnfield Massachusetts, General Obligation
Anticipation Notes (NR , MIG1) 03/12/04 1.750 502,817
1,500 Massachusetts State Water Resources
Authority Revenue Bonds, Series D
(FGIC GO LOC) ## (A1+ , VMIG1) 05/07/03 1.350 1,500,000
------------
TOTAL MASSACHUSETTS (Cost $2,002,817) 2,002,817
------------
</Table>
See Accompanying Notes to Financial Statements.
6
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---- ------------- -------- ------- ------------
MUNICIPAL BONDS (CONTINUED)
MISSOURI (7.4%)
$ 1,100 Kansas City Airport Revenue, General
Improvement Revenue Bonds, Series A
(FSA Insurance LOC) (AAA , Aaa) 09/01/03 5.250 $ 1,112,818
1,245 St. Louis Missouri Clearance Redevelopment
Authority, Industrial Revenue Development
Bonds (Firstar Bank LOC) ## (NR , NR) 05/01/03 1.500 1,245,000
------------
TOTAL MISSOURI (Cost $2,357,818) 2,357,818
------------
NEW YORK (3.1%)
1,000 New York City Municipal Water Finance Authority,
Water & Sewer System Revenue Bonds,
Series C (FGIC Insurance LOC) ## (A1+ , VMIG1) 05/01/03 1.400 1,000,000
------------
TOTAL NEW YORK (Cost $1,000,000) 1,000,000
------------
NORTH CAROLINA (3.1%)
1,000 North Carolina State General Obligation Bonds,
Refunding Series C ## (A1+ , VMIG1) 05/07/03 1.300 1,000,000
------------
TOTAL NORTH CAROLINA (Cost $1,000,000) 1,000,000
------------
OHIO (3.1%)
1,000 Paulding County Solid Waste Disposal Revenue
Bonds (Bayerische Landesbank LOC) ## (A1+ , P1) 05/01/03 1.400 1,000,001
------------
TOTAL OHIO (Cost $1,000,001) 1,000,001
------------
SOUTH CAROLINA (8.2%)
1,800 Piedmont Municipal Power Agency, Electric
Revenue Bonds, Refunding Series C
(MBIA Insurance LOC) ## (A1+ , VMIG1) 05/07/03 1.450 1,800,000
800 South Carolina State School Facilities, General
Obligation Bonds, Series A (AAA , Aaa) 01/01/04 5.000 820,677
------------
TOTAL SOUTH CAROLINA (Cost $2,620,677) 2,620,677
------------
TEXAS (17.7%)
1,500 Dallas-Fort Worth International Airport
Facilities Improvement Corp. Revenue
Bonds (UPS LOC) ## (A1 , VMIG1) 05/01/03 1.400 1,500,000
1,200 Houston Tax & Revenue Anticipation Notes (SP1+ , MIG1) 06/30/03 3.000 1,202,737
1,900 Texas State Tax & Revenue Anticipation Notes (SP1+ , MIG1) 08/29/03 2.750 1,907,225
1,000 Williamson County General Obligation Bonds
(FSA LOC) (AAA , Aaa) 02/15/04 4.000 1,022,800
------------
TOTAL TEXAS (Cost $5,632,762) 5,632,762
------------
WASHINGTON (4.2%)
339 Bremerton Washington General Obligation
Bonds (AMBAC Insurance LOC) (AAA , Aaa) 12/01/03 2.500 340,667
1,000 Port Seattle Washington General Obligation Bonds (AA+ , Aa1) 05/01/03 5.250 1,000,000
------------
TOTAL WASHINGTON (Cost $1,340,667) 1,340,667
------------
</Table>
See Accompanying Notes to Financial Statements.
7
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---- ------------- -------- ------- ------------
MUNICIPAL BONDS (CONCLUDED)
WYOMING (4.7%)
$ 1,500 Lincoln County Pollution Control Revenue
Bonds, Series A (Exxon LOC) ## (A1+ , P1) 05/01/03 1.400 $ 1,500,000
------------
TOTAL WYOMING (Cost $1,500,000) 1,500,000
------------
TOTAL MUNICIPAL BONDS (Cost $30,033,487) 30,033,487
------------
<Caption>
NUMBER
OF
SHARES
------
SHORT-TERM INVESTMENT (3.6%)
1,157,960 Federated Investors Tax-Free Obligations Fund (Cost $1,157,960) 1,157,960
------------
TOTAL INVESTMENTS AT VALUE (97.7%) (Cost $31,191,447) 31,191,447
OTHER ASSETS IN EXCESS OF LIABILITIES (2.3%) 729,480
------------
NET ASSETS (100.0%) $ 31,920,927
============
</Table>
Average Weighted Maturity -- 59 days
INVESTMENT ABBREVIATIONS
AMBAC - Ambac Assurance Corporation
FGIC - Financial Guaranty Insurance Company
FSA - Financial Security Assurance, Inc.
GO - General Obligation
LOC - Letter of Credit
MBIA - MBIA Insurance Corporation
- ----------
+ 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.
# Variable rate obligations - The interest rate shown is the rate as of
4/30/2003.
## The interest rate is as of April 30, 2003 and the maturity date is the later
of the next interest readjustment date or the date the principal amount can
be recovered through demand.
See Accompanying Notes to Financial Statements.
8
<Page>
CREDIT SUISSE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 2003 (Unaudited)
<Table>
<Caption>
U.S. GOVERNMENT MUNICIPAL
MONEY FUND MONEY FUND
---------------- ----------------
ASSETS
Investments at value (Cost $26,813,915 and $31,191,447,
respectively) (Note 1) $ 26,813,915 $ 31,191,447
Repurchase agreement at value (Cost $5,491,000 and $0,
respectively) (Note 1) 5,491,000 --
Cash 640 707
Interest receivable 86,289 290,136
Receivable from investment adviser (Note 2) 586 --
Receivable for fund shares sold -- 659,427
Prepaid expenses and other assets 8,723 10,796
---------------- ----------------
Total Assets 32,401,153 32,152,513
---------------- ----------------
LIABILITIES
Advisory fee payable (Note 2) -- 3,680
Administrative services fee payable (Note 2) 6,274 6,601
Distribution fee payable (Note 2) 5,558 3,038
Payable for fund shares redeemed 749,013 177,773
Other accrued expenses payable 50,704 40,494
---------------- ----------------
Total Liabilities 811,549 231,586
---------------- ----------------
NET ASSETS
Capital stock, $0.001 par value (Note 3) 31,586 31,917
Paid-in capital (Note 3) 31,552,608 31,884,996
Accumulated undistributed net investment income 3,932 7,711
Accumulated net realized gain (loss) on investments 1,478 (3,697)
---------------- ----------------
Net Assets $ 31,589,604 $ 31,920,927
================ ================
Shares outstanding 31,585,534 31,916,842
---------------- ----------------
Net asset value, offering price, and redemption price per share $ 1.00 $ 1.00
================ ================
</Table>
See Accompanying Notes to Financial Statements.
9
<Page>
CREDIT SUISSE FUNDS
STATEMENTS OF OPERATIONS
For the Six Months Ended April 30, 2003 (Unaudited)
<Table>
<Caption>
U.S. GOVERNMENT MUNICIPAL
MONEY FUND MONEY FUND
---------------- ----------------
INTEREST INCOME (Note 1) $ 261,695 $ 267,086
---------------- ----------------
EXPENSES
Investment advisory fees (Note 2) 70,162 81,592
Administrative services fees (Note 2) 28,130 31,927
Distribution fees (Note 2) 35,081 20,398
Legal fees 18,557 23,537
Transfer agent fees 17,948 5,380
Registration fees 15,857 19,986
Printing fees (Note 2) 13,399 13,399
Audit fees 10,751 12,595
Custodian fees 6,070 5,374
Insurance expense 3,806 3,810
Trustees' fees 1,812 1,941
Miscellaneous expense 1,093 4,134
---------------- ----------------
Total expenses 222,666 224,073
Less: fees waived (Note 2) (64,768) (38,826)
---------------- ----------------
Net expenses 157,898 185,247
---------------- ----------------
Net investment income 103,797 81,839
---------------- ----------------
NET REALIZED GAIN (LOSS) FROM INVESTMENTS 1,478 (3,697)
---------------- ----------------
Net increase in net assets resulting from operations $ 105,275 $ 78,142
================ ================
</Table>
See Accompanying Notes to Financial Statements.
10
<Page>
CREDIT SUISSE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
U.S. GOVERNMENT MONEY FUND MUNICIPAL MONEY FUND
------------------------------------------ ------------------------------------------
FOR THE SIX MONTHS FOR THE SIX MONTHS
ENDED FOR THE YEAR ENDED FOR THE YEAR
APRIL 30, 2003 ENDED APRIL 30, 2003 ENDED
(UNAUDITED) OCTOBER 31, 2002 (UNAUDITED) OCTOBER 31, 2002
------------------- ------------------- ------------------- -------------------
FROM OPERATIONS
Net investment income $ 103,797 $ 725,951 $ 81,839 $ 563,109
Net realized gain (loss) from
investments 1,478 4,839 (3,697) 8,202
------------------- ------------------- ------------------- -------------------
Net increase in net assets
resulting from operations 105,275 730,790 78,142 571,311
------------------- ------------------- ------------------- -------------------
FROM DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (103,797) (729,565) (81,839) (563,180)
Distributions from net realized gains -- (17,942) -- (1,301)
------------------- ------------------- ------------------- -------------------
Net decrease in net assets resulting
from dividends and distributions (103,797) (747,507) (81,839) (564,481)
------------------- ------------------- ------------------- -------------------
FROM CAPITAL SHARE TRANSACTIONS (Note 3)
Proceeds from sale of shares 49,339,736 292,017,745 78,284,892 343,557,549
Reinvestment of dividends and
distributions 102,993 655,775 81,718 502,413
Net asset value of shares redeemed (65,697,636) (326,291,771) (94,239,009) (369,714,124)
------------------- ------------------- ------------------- -------------------
Net decrease in net assets
from capital share transactions (16,254,907) (33,618,251) (15,872,399) (25,654,162)
------------------- ------------------- ------------------- -------------------
Net decrease in net assets (16,253,429) (33,634,968) (15,876,096) (25,647,332)
NET ASSETS
Beginning of period 47,843,033 81,478,001 47,797,023 73,444,355
------------------- ------------------- ------------------- -------------------
End of period $ 31,589,604 $ 47,843,033 $ 31,920,927 $ 47,797,023
=================== =================== =================== ===================
UNDISTRIBUTED NET INVESTMENT INCOME $ 3,932 $ 3,932 $ 7,711 $ 7,711
=================== =================== =================== ===================
</Table>
See Accompanying Notes to Financial Statements.
11
<Page>
CREDIT SUISSE U.S. GOVERNMENT MONEY FUND
FINANCIAL HIGHLIGHTS
(For a Class A Share(1) of the Fund Outstanding Throughout Each Period)
<Table>
<Caption>
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED OCTOBER 31,
APRIL 30, 2003 -------------------------------------------------------------
(UNAUDITED) 2002 2001 2000 1999 1998
-------------- --------- --------- --------- --------- ---------
PER SHARE DATA
Net asset value, beginning of period $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
-------------- --------- --------- --------- --------- ---------
INVESTMENT OPERATIONS
Net investment income 0.0029 0.0110 0.0410 0.0530 0.0420 0.0470
Net realized gain on investments -- 0.0002 -- -- -- --
-------------- --------- --------- --------- --------- ---------
Total from investment operations 0.0029 0.0112 0.0410 0.0530 0.0420 0.0470
-------------- --------- --------- --------- --------- ---------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.0029) (0.0110) (0.0410) (0.0530) (0.0420) (0.0470)
Distributions from net realized gains -- (0.0002) -- -- -- --
-------------- --------- --------- --------- --------- ---------
Total dividends and distributions (0.0029) (0.0112) (0.0410) (0.0530) (0.0420) (0.0470)
-------------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
============== ========= ========= ========= ========= =========
Total return(2) 0.29% 1.11% 4.19% 5.39% 4.26% 4.79%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 31,590 $ 47,843 $ 81,478 $ 59,926 $ 59,877 $ 56,697
Ratio of expenses to average net assets 0.90%(3) 0.90% 0.90% 0.90% 0.90% 0.90
Ratio of net investment income to
average net assets 0.59%(3) 1.12% 4.10% 5.26% 4.19% 4.68%
Decrease reflected in above operating
expense ratios due to
waivers/reimbursements 0.37%(3) 0.19% 0.08% 0.09% 0.19% 0.25%
</Table>
- ----------
(1) The name of the class was changed to Class A from Common Class on February
28, 2003.
(2) Total returns are historical and assume changes in share price and
reinvestment of all dividends and distributions. Had certain expenses not
been reduced during the periods shown, total returns would have been lower.
Total returns for periods less than one year are not annualized.
(3) Annualized.
See Accompanying Notes to Financial Statements.
12
<Page>
CREDIT SUISSE MUNICIPAL MONEY FUND
FINANCIAL HIGHLIGHTS
(For a Class A Share(1) of the Fund Outstanding Throughout Each Period)
<Table>
<Caption>
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED OCTOBER 31,
APRIL 30, 2003 -------------------------------------------------------------
(UNAUDITED) 2002 2001 2000 1999 1998
-------------- --------- --------- --------- --------- ---------
PER SHARE DATA
Net asset value, beginning of period $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
-------------- --------- --------- --------- --------- ---------
INVESTMENT OPERATIONS
Net investment income 0.0020 0.0076 0.0240 0.0320 0.0230 0.0270
-------------- --------- --------- --------- --------- ---------
Total from investment operations 0.0020 0.0076 0.0240 0.0320 0.0230 0.0270
-------------- --------- --------- --------- --------- ---------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.0020) (0.0076) (0.0240) (0.0320) (0.0230) (0.0270)
Distributions from net realized gains -- (0.0000)(2) -- -- -- --
-------------- --------- --------- --------- --------- ---------
Total dividends and distributions (0.0020) (0.0076) (0.0240) (0.0320) (0.0230) (0.0270)
-------------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
============== ========= ========= ========= ========= =========
Total return(3) 0.20% 0.76% 2.40% 3.23% 2.37% 2.72%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 31,921 $ 47,797 $ 73,444 $ 56,488 $ 44,347 $ 57,778
Ratio of expenses to average net assets 0.90%(4) 0.90% 0.90% 0.90% 0.90% 0.90%
Ratio of net investment income to
average net assets 0.40%(4) 0.77% 2.38% 3.17% 2.33% 2.68%
Decrease reflected in above operating
expense ratios due to
waivers/reimbursements 0.19%(4) -- 0.10% 0.09% 0.14% 0.15%
</Table>
- ----------
(1) The name of the class was changed to Class A from Common Class on February
28, 2003.
(2) This amount represents less than ($0.0001) per share.
(3) Total returns are historical and assume changes in share price and
reinvestment of all dividends and distributions. Had certain expenses not
been reduced during the periods shown, total returns would have been lower.
Total returns for periods less than one year are not annualized.
(4) Annualized.
See Accompanying Notes to Financial Statements.
13
<Page>
CREDIT SUISSE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 2003 (Unaudited)
NOTE 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The Credit Suisse Opportunity Funds (the "Trust") is registered under the
Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end
management investment company consisting of three investment funds. The
accompanying financial statements and notes are those of the Credit Suisse U.S.
Government Money Fund ("U.S. Government Money") and the Credit Suisse Municipal
Money Fund ("Municipal Money") (each, a "Fund" and collectively, the "Funds").
The Trust was organized under the laws of the State of Delaware as a business
trust on May 31, 1995.
The investment objective of U.S. Government Money is maximum current
income, consistent with liquidity and safety of principal. The investment
objective of Municipal Money is maximum current income exempt from federal
income taxes, consistent with liquidity and safety of principal.
Each Fund is considered to be a separate entity for financial reporting and
tax purposes. It is the policy of each Fund to maintain a stable net asset value
of $1.00 per share for each Fund. Each Fund has adopted certain investment, fund
valuation, dividend and distribution policies to enable it to do so. There is no
assurance, however, that each Fund will be able to maintain a stable net asset
value of $1.00 per share.
A) SECURITY VALUATION -- The net asset value of each Fund is determined as
of the close of regular trading on the New York Stock Exchange, Inc. on each day
the Exchange is open for business. Each Fund's investments are valued under the
amortized cost method, which has been determined by the Funds' Board of Trustees
to represent the fair value of the Funds' investments. The Board of Trustees has
established procedures which include review by the Board of Trustees, at such
intervals as it deems appropriate, to determine the extent, if any, to which the
Fund's net asset value per share calculated by using available market quotations
deviates from $1.00 per share. In the event such deviation exceeds 1/2 of 1%,
the Board of Trustees will promptly consider what action, if any, should be
initiated. Amortized cost involves valuing a Fund's holding initially at its
cost and then assuming a constant amortization to maturity of any discount or
premium. The amortized cost method ignores any impact of fluctuating interest
rates.
B) SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
accounted for on a trade date basis. Interest income is recorded on the accrual
basis. The cost of the investments sold is determined by use of the specific
identification method for both financial reporting and income tax purposes. The
Funds account separately for the
14
<Page>
assets, liabilities and operations of each Fund. Expenses directly attributed to
each Fund are charged to that Fund's operations; expenses which are applicable
to all funds are allocated among them on a pro rata basis.
C) DIVIDENDS AND DISTRIBUTIONS -- Dividends from net investment income are
declared daily and paid monthly. Distributions of net realized capital gains, if
any, are generally declared and paid annually, although the Funds may declare
and pay short-term capital gains, if any, periodically as the Board of Trustees
determines. 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 gain distributions are determined in accordance with federal income
tax regulations which may differ from accounting principles generally accepted
in the United States of America ("GAAP").
D) FEDERAL INCOME TAXES -- No provision is made for federal income taxes as
it is each Fund's intention to continue to qualify for and elect the tax
treatment applicable to regulated investment companies under the Internal
Revenue Code of 1986, as amended, and make the requisite distributions to its
shareholders which will be sufficient to relieve it from federal income and
excise taxes.
E) REPURCHASE AGREEMENTS -- Each Fund may enter into repurchase agreements.
Under the terms of a typical repurchase agreement, a Fund acquires a security
subject to an obligation of the seller to repurchase. Securities pledged as
collateral for repurchase agreements are held by the broker until the agreements
mature. Each agreement requires that the market value of the collateral be
sufficient to cover payment of interest and principal; however in the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings.
F) 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 and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenue and expenses during the reporting period. Actual
results could differ from those estimates.
NOTE 2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
Credit Suisse Asset Management, LLC ("CSAM") serves as investment adviser
for the Funds. For its investment advisory services, CSAM is entitled
15
<Page>
to receive a fee from each Fund based on the following fee structure, computed
daily and payable monthly on each Fund's average daily net assets:
<Table>
<Caption>
AVERAGE DAILY NET ASSETS ANNUAL RATE
------------------------ ---------------------------------
First $1 billion 0.40% of average daily net assets
Over $1 billion 0.35% of average daily net assets
</Table>
For the six months ended April 30, 2003, investment advisory fees earned
and voluntarily waived were as follows:
<Table>
<Caption>
GROSS NET
ADVISORY ADVISORY
FUND FEE WAIVER FEE
--------------------- --------- ---------- ----------
U.S. Government Money $ 70,162 $ (64,768) $ 5,394
Municipal Money 81,592 (38,826) 42,766
</Table>
Credit Suisse Asset Management Securities, Inc. ("CSAMSI") an affiliate of
CSAM, and State Street Bank and Trust Company ("SSB") serve as co-administrators
to the Funds. For its co-administrative services, CSAMSI currently receives a
fee calculated at an annual rate of 0.10% of each Fund's average daily net
assets. For the six months ended April 30, 2003, co-administrative services fees
earned by CSAMSI were as follows:
<Table>
<Caption>
FUND CO-ADMINISTRATION FEE
--------------------- ---------------------
U.S. Government Money $ 17,541
Municipal Money 20,398
</Table>
For its co-administrative services, SSB receives a fee, exclusive of
out-of-pocket expenses, based upon the following fee structure calculated in
total for all the Credit Suisse Funds/Portfolios co-administered by SSB and
allocated based upon relative average net assets of each fund/portfolio.
<Table>
<Caption>
AVERAGE DAILY NET ASSETS ANNUAL RATE
------------------------ ---------------------------------
First $5 billion .050% of average daily net assets
Next $5 billion .035% of average daily net assets
Over $10 billion .020% of average daily net assets
</Table>
For the six months ended April 30, 2003, co-administrative service fees
earned by SSB (including out-of-pocket fees) were as follows:
<Table>
<Caption>
FUND CO-ADMINISTRATION FEE
--------------------- ---------------------
U.S. Government Money $ 10,589
Municipal Money 11,529
</Table>
16
<Page>
In addition to serving as each Fund's co-administrator, CSAMSI serves as
distributor of each Fund's shares. Pursuant to a distribution plan adopted by
each Fund pursuant to Rule 12b-1 under the 1940 Act and the Distribution
Agreement with CSAMSI, payments by each Fund under the plan are used to
reimburse CSAMSI for its payments to broker-dealers of initial concessions or
ongoing maintenance fees on sales of the Fund's shares. The maximum amount
payable by each Fund under its 12b-1 Plan for distributing shares is 0.40% of
its average daily net assets. During the six months ended April 30, 2003, U.S.
Government Money and Municipal Money paid distribution services fees to CSAMSI
to reimburse CSAMSI for its payments to broker-dealers at an annual rate of
0.20% and 0.10%, respectively, of its average daily net assets. For the six
months ended April 30, 2003, distribution fees paid to CSAMSI were as follows:
<Table>
<Caption>
FUND DISTRIBUTION FEE
--------------------- ----------------
U.S. Government Money $ 35,081
Municipal Money 20,398
</Table>
Merrill Corporation ("Merrill"), an affiliate of CSAM, has been engaged by
the Funds to provide certain financial printing and fulfillment services. For
the six months ended April 30, 2003, Merrill was paid for its services by the
Funds as follows:
<Table>
<Caption>
FUND AMOUNT
--------------------- ---------
U.S. Government Money $ 3,508
Municipal Money 3,508
</Table>
NOTE 3. CAPITAL SHARE TRANSACTIONS
Each Fund is authorized to issue an unlimited number of shares of
beneficial interest at $.001 par value per share. Transactions in capital shares
of each Fund were as follows ($1.00 per share):
<Table>
<Caption>
U.S. GOVERNMENT MONEY
--------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED
APRIL 30, 2003 (UNAUDITED) OCTOBER 31, 2002
-------------------------- ------------------
Shares sold 49,339,736 292,017,745
Shares issued in reinvestment of dividends
and distributions 102,993 655,775
Shares redeemed (65,697,636) (326,291,771)
----------- ------------
Net decrease (16,254,907) (33,618,251)
=========== ============
</Table>
17
<Page>
<Table>
<Caption>
MUNICIPAL MONEY
--------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED
APRIL 30, 2003 (UNAUDITED) OCTOBER 31, 2002
-------------------------- ------------------
Shares sold 78,284,892 343,557,549
Shares issued in reinvestment of dividends
and distributions 81,718 502,413
Shares redeemed (94,239,009) (369,714,124)
----------- ------------
Net decrease (15,872,399) (25,654,162)
=========== ============
</Table>
On April 30, 2003, the number of shareholders that held 5% or more of the
outstanding shares of the Funds were as follows:
<Table>
<Caption>
NUMBER OF APPROXIMATE PERCENTAGE
FUND SHAREHOLDERS OF OUTSTANDING SHARES
- --------------------- ------------ ----------------------
U.S. Government Money 1 84%
Municipal Money 1 96%
</Table>
Some of the shareholders are comprised of omnibus accounts, which are held
on behalf of several individual shareholders.
NOTE 4. SUBSEQUENT EVENT
A new distribution plan for each Fund approved by that Fund's shareholders
became effective on May 1, 2003. The new plans are similar in all respects to
the distribution plans previously in effect, except that they are
"compensation"-type plans, rather than "reimbursement"-type plans, and there
could be material differences in the payments made to CSAMSI. Under the new
plans, the annual level of payment is fixed in advance, regardless of whether
CSAMSI incurs more or less expenses than the fixed level. The maximum amount
payable by each Fund under its 12b-1 plan for distributing shares is 0.40% of
its average daily net assets, but each Fund will pay these fees at the annual
rate of 0.25% of its average net assets.
18
<Page>
CREDIT SUISSE U.S. GOVERNMENT MONEY FUND
SHAREHOLDER MEETING RESULTS (UNAUDITED)
A special meeting of shareholders of the Credit Suisse U.S. Government
Money Fund (the "Fund") was held at 466 Lexington Avenue, 16th Floor, New York,
NY 10017 on April 11, 2003. The following matters were voted upon by the
shareholders of the Fund and the results are presented below. Shares delivered
not voted are included on the total for the proposals. All proposals were
approved.
1. To Elect the Following Nominees as Trustees:
<Table>
<Caption>
FOR WITHHELD
---------- --------
Richard H. Francis 31,085,423 9,057
Jack W. Fritz 31,085,423 9,057
Joseph D. Gallagher 31,085,423 9,057
Jeffrey E. Garten 31,085,423 9,057
Peter F. Krogh 31,085,423 9,057
James S. Pasman, Jr. 31,085,423 9,057
Steven N. Rappaport 31,085,423 9,057
William W. Priest 31,085,423 9,057
Total Eligible Shares 34,908,391
Total Shares Voted 31,094,480
% of Shares Voted 89.08%
</Table>
2. To Approve the Amended Distribution Plan:
<Table>
<Caption>
% OF TOTAL SHARES % OF TOTAL
SHARES OUTSTANDING SHARES VOTED
---------- ----------------- ------------
For 31,084,438 89.05% 99.97%
Against 7,688 0.02% 0.02%
Abstain 2,354 0.01% 0.01%
</Table>
3. To Modify the Fundamental Investment Restriction on Lending:
<Table>
<Caption>
% OF TOTAL SHARES % OF TOTAL
SHARES OUTSTANDING SHARES VOTED
---------- ----------------- ------------
For 29,833,945 85.47% 95.95%
Against 19,157 0.06% 0.06%
Abstain 985 0.00% 0.00%
Broker Non-votes 1,240,393 3.55% 3.99%
</Table>
4. To Change the Fund's Investment Objective from Fundamental to
Non-Fundamental:
<Table>
<Caption>
% OF TOTAL SHARES % OF TOTAL
SHARES OUTSTANDING SHARES VOTED
---------- ----------------- ------------
For 29,828,983 85.45% 95.93%
Against 19,031 0.06% 0.06%
Abstain 6,073 0.02% 0.02%
Broker Non-votes 1,240,393 3.55% 3.99%
</Table>
19
<Page>
5A-A. To Amend the Charter Document to Allow Involuntary Redemptions:
<Table>
<Caption>
% OF TOTAL SHARES % OF TOTAL
SHARES OUTSTANDING SHARES VOTED
---------- ----------------- ------------
For 29,828,984 85.45% 95.93%
Against 23,992 0.07% 0.08%
Abstain 1,111 0.00% 0.00%
Broker Non-votes 1,240,393 3.56% 3.99%
</Table>
5A-B. To Amend the Charter Document to Allow Mergers Without Shareholder
Approval:
<Table>
<Caption>
% OF TOTAL SHARES % OF TOTAL
SHARES OUTSTANDING SHARES VOTED
---------- ----------------- ------------
For 29,828,984 85.45% 95.93%
Against 23,992 0.07% 0.08%
Abstain 1,111 0.00% 0.00%
Broker Non-votes 1,240,393 3.56% 3.99%
</Table>
20
<Page>
CREDIT SUISSE MUNICIPAL MONEY FUND
SHAREHOLDER MEETING RESULTS (UNAUDITED)
A special meeting of shareholders of the Credit Suisse Municipal Money Fund
(the "Fund") was held at 466 Lexington Avenue, 16th Floor, New York, NY 10017 on
April 11, 2003. The following matters were voted upon by the shareholders of the
Fund and the results are presented below. Shares delivered not voted are
included on the total for the proposals. All proposals were approved.
1. To Elect the Following Nominees as Trustees:
<Table>
<Caption>
FOR WITHHELD
---------- --------
Richard H. Francis 40,443,468 9,047
Jack W. Fritz 40,443,468 9,047
Joseph D. Gallagher 40,443,468 9,047
Jeffrey E. Garten 40,443,468 9,047
Peter F. Krogh 40,443,468 9,047
James S. Pasman, Jr. 40,443,468 9,047
Steven N. Rappaport 40,443,468 9,047
William W. Priest 40,443,468 9,047
Total Eligible Shares 41,029,042
Total Shares Voted 40,452,515
% of Shares Voted 98.60%
</Table>
2. To Approve the Amended Distribution Plan:
<Table>
<Caption>
% OF TOTAL SHARES % OF TOTAL
SHARES OUTSTANDING SHARES VOTED
---------- ----------------- ------------
For 40,372,953 98.40% 99.80%
Against 79,562 0.20% 0.20%
</Table>
3. To Modify the Fundamental Investment Restriction on Lending:
<Table>
<Caption>
% OF TOTAL SHARES % OF TOTAL
SHARES OUTSTANDING SHARES VOTED
---------- ----------------- ------------
For 40,270,168 98.15% 99.55%
Against 55,862 0.14% 0.14%
Broker Non-votes 126,485 0.31% 0.31%
</Table>
4. To Change the Fund's Investment Objective from Fundamental to
Non-Fundamental:
<Table>
<Caption>
% OF TOTAL SHARES % OF TOTAL
SHARES OUTSTANDING SHARES VOTED
---------- ----------------- ------------
For 40,237,217 98.07% 99.47%
Against 88,813 0.22% 0.22%
Broker Non-votes 126,485 0.31% 0.31%
</Table>
21
<Page>
5A-A. To Amend the Charter Document to Allow Involuntary Redemptions:
<Table>
<Caption>
% OF TOTAL SHARES % OF TOTAL
SHARES OUTSTANDING SHARES VOTED
---------- ----------------- ------------
For 40,237,217 98.07% 99.47%
Against 65,113 0.16% 0.16%
Abstain 23,700 0.06% 0.06%
Broker Non-votes 126,485 0.31% 0.31%
</Table>
5A-B. To Amend the Charter Document to Allow Mergers Without Shareholder
Approval:
<Table>
<Caption>
% OF TOTAL SHARES % OF TOTAL
SHARES OUTSTANDING SHARES VOTED
---------- ----------------- ------------
For 40,237,217 98.07% 99.47%
Against 65,113 0.16% 0.16%
Abstain 23,700 0.06% 0.06%
Broker Non-votes 126,485 0.31% 0.31%
</Table>
22
<Page>
CREDIT SUISSE FUNDS
PRIVACY POLICY NOTICE
We are committed to maintaining the privacy of every current and
prospective customer. We recognize that you entrust important personal
information to us, and we wish to assure you that we take seriously our
responsibilities in protecting and safeguarding this information.
In connection with making available investment products and services to
current and potential customers, we may obtain nonpublic personal information
about you. This information may include your name, address, e-mail address,
social security number, account number, assets, income, financial situation,
transaction history and other personal information.
We may collect nonpublic information about you from the following sources:
- Information we receive on applications, forms, questionnaires, web
sites, agreements or in the course of establishing or maintaining a
customer relationship; and
- Information about your transactions with us, our affiliates, or others.
We do not disclose any nonpublic personal information about our customers
or former customers to anyone, except with your consent or as otherwise
permitted by law. In cases where we believe that additional products and
services may be of interest to you, we may share the information described above
with our affiliates. We may also disclose this information to firms that perform
services on our behalf. These agents and service providers are required to treat
the information confidentially and use it only for the purpose for which it is
provided.
We restrict access to nonpublic personal information about you to those
employees, agents or other parties who need to know that information to provide
products or services to you or in connection with your investments with or
through us. We maintain physical, electronic and procedural safeguards that
comply with federal standards to guard your nonpublic personal information.
NOTE: THIS NOTICE IS PROVIDED TO CLIENTS AND PROSPECTIVE CLIENTS OF CREDIT
SUISSE ASSET MANAGEMENT, LLC ("CSAM"), CSAM CAPITAL INC., AND CREDIT SUISSE
ASSET MANAGEMENT SECURITIES, INC., AND SHAREHOLDERS AND PROSPECTIVE SHAREHOLDERS
IN CSAM SPONSORED AND ADVISED INVESTMENT COMPANIES, INCLUDING CREDIT SUISSE
FUNDS, AND OTHER CONSUMERS AND CUSTOMERS, AS APPLICABLE. THIS NOTICE IS NOT
INTENDED TO BE INCORPORATED IN ANY OFFERING MATERIALS BUT IS MERELY A STATEMENT
OF OUR CURRENT PRIVACY POLICY, AND MAY BE AMENDED FROM TIME TO TIME UPON NOTICE
TO YOU. THIS NOTICE IS DATED AS OF MAY 20, 2003.
23
<Page>
This page intentionally left blank
24
<Page>
P.O. BOX 55030, BOSTON, MA 02205-5030
800-927-2874 - www.csam-americas.com
[CREDIT SUISSE ASSET MANAGEMENT LOGO]
CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., DISTRIBUTOR. CSGMN-3-0403
<Page>
ITEM 2. CODE OF ETHICS.
Form N-CSR disclosure requirement not yet effective with respect to the
Registrant.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Form N-CSR disclosure requirement not yet effective with respect to the
Registrant.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Form N-CSR disclosure requirement not yet effective with respect to the
Registrant.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to the Registrant.
<Page>
ITEM 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES.
(a) The Principal Executive Officer and Principal Financial Officer concluded
that the Registrant's Disclosure Controls and Procedures are effective based on
their evaluation of the Disclosure Controls and Procedures as of a date within
90 days of the filing date of this report.
(b) There were no significant changes in Registrant's internal controls or in
other factors that could significantly affect these controls subsequent to the
date of their evaluation, including any corrective actions with regard to
significant deficiencies and material weaknesses.
ITEM 10. EXHIBITS.
(a) Form N-CSR disclosure requirement not yet effective with respect to the
Registrant.
(b) The certifications of the Registrant as required by Rule 30a-2 under the
Act are exhibits 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 Opportunity Funds
/s/ Joseph D. Gallagher
-----------------------
Name: Joseph D. Gallagher
Title: Chief Executive Officer
Date: July 2, 2003
Pursuant to the requirements of the Securities Exchange Act of
1934 and the Investment Company Act of 1940, this report has been signed below
by the following persons on behalf of the registrant and in the capacities and
on the dates indicated.
/s/ Joseph D. Gallagher
-----------------------
Name: Joseph D. Gallagher
Title: Chief Executive Officer
Date: July 2, 2003
<Page>
/s/ Michael A. Pignataro
Name: Michael A. Pignataro
Title: Chief Financial Officer
Date: July 2, 2003