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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
--------------------------------------------
CREDIT SUISSE OPPORTUNITY FUNDS
----------------------------------------------------
(Exact Name of Registrant as Specified in Charter)
466 Lexington Avenue, New York, New York 10017-3140
-----------------------------------------------------
(Address of Principal Executive Offices) (Zip Code)
Hal Liebes, Esq.
Credit Suisse Opportunity Funds
466 Lexington Avenue
New York, New York 10017-3140
Registrant's telephone number, including area code:(212) 875-3500
Date of fiscal year end: October 31, 2003
Date of reporting period: November 1, 2002 to October 31, 2003
ITEM 1. REPORTS TO STOCKHOLDERS.
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[CREDIT SUISSE ASSET MANAGEMENT LOGO]
CREDIT SUISSE FUNDS
ANNUAL REPORT
OCTOBER 31, 2003
- - 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.
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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 FUND
HOLDINGS DESCRIBED IN THIS DOCUMENT ARE AS OF OCTOBER 31, 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.
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CREDIT SUISSE HIGH INCOME FUND
ANNUAL INVESTMENT ADVISER'S REPORT
October 31, 2003 (Unaudited)
November 17, 2003
Dear Shareholder:
For the 12 months ended October 31, 2003, the share classes of Credit Suisse
High Income Fund(1) (the "Fund") generated returns as follows: Common shares
gained 25.49%, Class A shares (without sales charge) gained 25.44%(2), Class B
shares (without sales charge) gained 24.55%(2), and Class C shares (without
sales charge) gained 24.54%(2). By contrast, the Citigroup High-Yield Market
Index(3) gained 36.84%; the Credit Suisse First Boston High Yield Index,
Developed Countries Only(3) gained 31.55%; and the Lipper High Yield Bond Funds
Index(3) (which we consider a more accurate gauge of the Fund's competitive
universe due to its inclusion only of similar funds) gained 30.28%.
The fiscal year was a time of great strength for the broad high yield market
(to which we refer generically as "high yield"). As measured by leading indices,
it generated positive returns in all but one of the period's 12 months (I.E.,
July) and significantly outperformed most other leading fixed income sectors.
Several trends helped to fuel demand for high yield securities, in our view:
- The interest-rate environment was generally favorable, as nominal
short-term rates fell by a total of three-quarters of a percentage point
to 1.00%, the lowest such level in over 40 years. With the returns
available from better-quality debt and money market funds correspondingly
low, many investors aggressively sought out higher-yielding instruments.
The high yield market was a major beneficiary.
- Economic conditions improved, particularly in the second half of the
fiscal year. This tends to be auspicious for high yield issuers because,
presumably, it enhances their ability to generate the revenues and cash
flow needed to pay their debt-servicing costs.
- Investors became more comfortable with relatively risky financial assets
than they had been in some time. This was due not only to the
interest-rate environment and economic backdrop, but also to a marked drop
in the number of high-profile corporate scandals and bankruptcies that had
hurt the high yield market so much in 2002.
- Key gauges of high yield credit quality were increasingly encouraging.
Ongoing declines in the high yield default rate and the ratio of high
yield ratings downgrades to upgrades, for example, indicated that overall
creditworthiness continued to improve.
1
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Although the Fund generated a healthy double-digit return in absolute terms
during the fiscal year, it nonetheless underperformed the broad high yield
market (I.E., as represented by the Citigroup High-Yield Market Index). 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 well into 2003.
These sectors notably included utilities, energy trading companies,
diversified 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 their valuations, in many cases, had risen to levels that we
considered unrealistically high.
The most positive contributions to the Fund's overall return came from our
positioning in several other sectors. Most prominent in this group were wireless
telecommunications providers, gaming and leisure.
- Wireless telecom: we maintained our longstanding above-market exposure as
perceptions about the industry's financial condition and operating
environment began to brighten.
- Gaming: our holdings emphasized issuers whose operations were not located
in the gambling hubs of Atlantic City and Las Vegas. Securities of such
companies tended to outperform their Atlantic City- and Las Vegas-based
counterparts. Our above-market allocation to gaming magnified the benefits
of our security selection.
- Leisure: as in the case of gaming, our security selection within the
wide-ranging leisure sector proved effective, and had an additionally
favorable impact on performance via our above-market allocation.
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 RISKS 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.
2
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[CHART]
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE CREDIT SUISSE HIGH
INCOME FUND(1) COMMON CLASS SHARES, CITIGROUP HIGH-YIELD MARKET INDEX(3), CREDIT
SUISSE FIRST BOSTON HIGH YIELD INDEX, DEVELOPED COUNTRIES ONLY(3) AND THE LIPPER
HIGH YIELD BOND FUNDS INDEX(3) FROM INCEPTION (08/01/00).
<Table>
<Caption>
CREDIT SUISSE HIGH INCOME CITIGROUP HIGH-YIELD CREDIT SUISSE FIRST BOSTON HIGH YIELD LIPPER HIGH YIELD BOND
FUND(1) COMMON CLASS MARKET INDEX(3) INDEX, DEVELOPED COUNTRIES ONLY(3) FUNDS INDEX(3)
8/1/2000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
8/31/2000 $ 10,079 $ 10,074 $ 10,059 $ 10,052
9/30/2000 $ 9,948 $ 9,966 $ 9,965 $ 9,904
10/31/2000 $ 9,713 $ 9,671 $ 9,659 $ 9,566
11/30/2000 $ 9,335 $ 9,276 $ 9,248 $ 9,032
12/31/2000 $ 9,542 $ 9,465 $ 9,438 $ 9,188
1/31/2001 $ 10,214 $ 10,103 $ 10,025 $ 9,797
2/28/2001 $ 10,406 $ 10,223 $ 10,136 $ 9,829
3/31/2001 $ 10,158 $ 10,037 $ 9,938 $ 9,502
4/30/2001 $ 10,173 $ 9,890 $ 9,841 $ 9,378
5/31/2001 $ 10,296 $ 10,048 $ 10,022 $ 9,477
6/30/2001 $ 9,999 $ 9,772 $ 9,847 $ 9,198
7/31/2001 $ 10,134 $ 9,956 $ 9,983 $ 9,252
8/31/2001 $ 10,244 $ 10,092 $ 10,116 $ 9,293
9/30/2001 $ 9,443 $ 9,365 $ 9,459 $ 8,637
10/31/2001 $ 9,798 $ 9,677 $ 9,701 $ 8,835
11/30/2001 $ 10,128 $ 10,044 $ 10,026 $ 9,115
12/31/2001 $ 10,136 $ 9,980 $ 10,028 $ 9,091
1/31/2002 $ 10,169 $ 10,023 $ 10,119 $ 9,112
2/28/2002 $ 10,118 $ 9,914 $ 10,035 $ 8,951
3/31/2002 $ 10,364 $ 10,177 $ 10,274 $ 9,129
4/30/2002 $ 10,469 $ 10,344 $ 10,437 $ 9,224
5/31/2002 $ 10,445 $ 10,216 $ 10,398 $ 9,131
6/30/2002 $ 10,046 $ 9,316 $ 10,042 $ 8,617
7/31/2002 $ 9,784 $ 8,895 $ 9,755 $ 8,335
8/31/2002 $ 9,854 $ 9,233 $ 9,880 $ 8,478
9/30/2002 $ 9,779 $ 9,052 $ 9,748 $ 8,360
10/31/2002 $ 9,739 $ 9,021 $ 9,685 $ 8,308
11/30/2002 $ 10,208 $ 9,709 $ 10,212 $ 8,786
12/31/2002 $ 10,317 $ 9,827 $ 10,332 $ 8,872
1/31/2003 $ 10,500 $ 10,192 $ 10,623 $ 9,068
2/28/2003 $ 10,653 $ 10,329 $ 10,780 $ 9,190
3/31/2003 $ 10,915 $ 10,677 $ 11,057 $ 9,419
4/30/2003 $ 11,343 $ 11,340 $ 11,621 $ 9,881
5/31/2003 $ 11,399 $ 11,415 $ 11,777 $ 9,999
6/30/2003 $ 11,698 $ 11,770 $ 12,115 $ 10,268
7/31/2003 $ 11,597 $ 11,596 $ 12,013 $ 10,189
8/31/2003 $ 11,724 $ 11,715 $ 12,147 $ 10,326
9/30/2003 $ 12,008 $ 12,058 $ 12,483 $ 10,577
10/31/2003 $ 12,222 $ 12,339 $ 12,741 $ 10,823
</Table>
[CHART]
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE CREDIT SUISSE HIGH
INCOME FUND(1) CLASS A SHARES AND CLASS B SHARES, CITIGROUP HIGH-YIELD MARKET
INDEX(3), CREDIT SUISSE FIRST BOSTON HIGH YIELD INDEX, DEVELOPED COUNTRIES
ONLY(3) AND THE LIPPER HIGH YIELD BOND FUNDS INDEX(3) FROM INCEPTION (03/08/99).
<Table>
<Caption>
CREDIT SUISSE HIGH INCOME CREDIT SUISSE
CREDIT SUISSE HIGH INCOME FUND(1) CLASS B (WITH FIRST BOSTON HIGH
FUND(1) CLASS A (WITH MAXIMUM CONTINGENT CITIGROUP HIGH-YIELD YIELD INDEX, DEVELOPED LIPPER HIGH YIELD
MAXIMUM SALES CHARGE) DEFERRED SALES CHARGE) MARKET INDEX(3) COUNTRIES ONLY(3) BOND FUNDS INDEX(3)
3/8/99 $ 9,525 $ 10,000 $ 10,000 $ 10,000 $ 10,000
3/31/99 $ 9,753 $ 10,233 $ 10,085 $ 10,068 $ 10,176
4/30/99 $ 9,954 $ 10,432 $ 10,296 $ 10,262 $ 10,440
5/31/99 $ 9,805 $ 10,268 $ 10,134 $ 10,160 $ 10,241
6/30/99 $ 9,797 $ 10,253 $ 10,112 $ 10,145 $ 10,242
7/31/99 $ 9,829 $ 10,280 $ 10,134 $ 10,156 $ 10,245
8/31/99 $ 9,744 $ 10,185 $ 10,013 $ 10,058 $ 10,142
9/30/99 $ 9,738 $ 10,172 $ 9,937 $ 9,968 $ 10,063
10/31/99 $ 9,733 $ 10,160 $ 9,870 $ 9,899 $ 10,034
11/30/99 $ 9,923 $ 10,363 $ 10,025 $ 10,020 $ 10,210
12/31/99 $ 10,019 $ 10,457 $ 10,109 $ 10,136 $ 10,333
1/31/2000 $ 9,972 $ 10,391 $ 10,025 $ 10,074 $ 10,282
2/29/2000 $ 10,004 $ 10,417 $ 10,049 $ 10,112 $ 10,355
3/31/2000 $ 9,821 $ 10,221 $ 9,845 $ 9,929 $ 10,176
4/30/2000 $ 9,919 $ 10,317 $ 9,885 $ 9,927 $ 10,131
5/31/2000 $ 9,861 $ 10,250 $ 9,747 $ 9,788 $ 9,951
6/30/2000 $ 9,961 $ 10,347 $ 9,966 $ 9,996 $ 10,135
7/31/2000 $ 10,021 $ 10,403 $ 10,075 $ 10,075 $ 10,153
8/31/2000 $ 10,091 $ 10,470 $ 10,150 $ 10,134 $ 10,206
9/30/2000 $ 9,971 $ 10,338 $ 10,041 $ 10,040 $ 10,056
10/31/2000 $ 9,727 $ 10,078 $ 9,744 $ 9,731 $ 9,712
11/30/2000 $ 9,348 $ 9,680 $ 9,345 $ 9,317 $ 9,170
12/31/2000 $ 9,555 $ 9,888 $ 9,536 $ 9,508 $ 9,329
1/31/2001 $ 10,229 $ 10,578 $ 10,178 $ 10,100 $ 9,947
2/28/2001 $ 10,421 $ 10,771 $ 10,300 $ 10,212 $ 9,979
3/31/2001 $ 10,184 $ 10,507 $ 10,113 $ 10,013 $ 9,648
4/30/2001 $ 10,187 $ 10,517 $ 9,964 $ 9,914 $ 9,521
5/31/2001 $ 10,335 $ 10,638 $ 10,124 $ 10,097 $ 9,623
6/30/2001 $ 10,037 $ 10,336 $ 9,845 $ 9,920 $ 9,339
7/31/2001 $ 10,173 $ 10,457 $ 10,031 $ 10,058 $ 9,394
8/31/2001 $ 10,283 $ 10,576 $ 10,168 $ 10,192 $ 9,436
9/30/2001 $ 9,481 $ 9,732 $ 9,436 $ 9,529 $ 8,769
10/31/2001 $ 9,837 $ 10,092 $ 9,749 $ 9,773 $ 8,970
11/30/2001 $ 10,167 $ 10,425 $ 10,120 $ 10,101 $ 9,255
12/31/2001 $ 10,176 $ 10,427 $ 10,055 $ 10,103 $ 9,230
1/31/2002 $ 10,209 $ 10,454 $ 10,098 $ 10,194 $ 9,252
2/28/2002 $ 10,158 $ 10,396 $ 9,988 $ 10,110 $ 9,088
3/31/2002 $ 10,404 $ 10,642 $ 10,254 $ 10,351 $ 9,268
4/30/2002 $ 10,509 $ 10,743 $ 10,422 $ 10,515 $ 9,365
5/31/2002 $ 10,473 $ 10,698 $ 10,292 $ 10,476 $ 9,271
6/30/2002 $ 10,086 $ 10,295 $ 9,386 $ 10,117 $ 8,749
7/31/2002 $ 9,811 $ 10,021 $ 8,962 $ 9,828 $ 8,462
8/31/2002 $ 9,882 $ 10,086 $ 9,303 $ 9,954 $ 8,608
9/30/2002 $ 9,819 $ 10,003 $ 9,120 $ 9,821 $ 8,488
10/31/2002 $ 9,781 $ 9,955 $ 9,089 $ 9,758 $ 8,435
11/30/2002 $ 10,251 $ 10,427 $ 9,782 $ 10,288 $ 8,921
12/31/2002 $ 10,347 $ 10,518 $ 9,901 $ 10,409 $ 9,008
1/31/2003 $ 10,544 $ 10,712 $ 10,269 $ 10,702 $ 9,207
2/28/2003 $ 10,697 $ 10,861 $ 10,406 $ 10,860 $ 9,330
3/31/2003 $ 10,959 $ 11,107 $ 10,757 $ 11,140 $ 9,563
4/30/2003 $ 11,388 $ 11,551 $ 11,425 $ 11,708 $ 10,033
5/31/2003 $ 11,444 $ 11,600 $ 11,501 $ 11,865 $ 10,152
6/30/2003 $ 11,745 $ 11,898 $ 11,859 $ 12,206 $ 10,425
7/31/2003 $ 11,643 $ 11,787 $ 11,683 $ 12,103 $ 10,345
8/31/2003 $ 11,770 $ 11,908 $ 11,803 $ 12,238 $ 10,484
9/30/2003 $ 12,041 $ 12,175 $ 12,149 $ 12,576 $ 10,739
10/31/2003 $ 12,270 $ 12,399 $ 12,431 $ 12,836 $ 10,989
</Table>
3
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[CHART]
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE CREDIT SUISSE HIGH
INCOME FUND(1) CLASS C SHARES, CITIGROUP HIGH-YIELD MARKET INDEX(3), CREDIT
SUISSE FIRST BOSTON HIGH YIELD INDEX, DEVELOPED COUNTRIES ONLY(3) AND THE LIPPER
HIGH YIELD BOND FUNDS INDEX(3) FROM INCEPTION (02/28/00).
<Table>
<Caption>
CREDIT SUISSE HIGH INCOME CREDIT SUISSE FIRST
FUND(1) CLASS C BOSTON HIGH YIELD
(WITH MAXIMUM CONTINGENT CITIGROUP HIGH-YIELD INDEX, DEVELOPED LIPPER HIGH YIELD BOND
DEFERRED SALES CHARGE) MARKET INDEX(3) COUNTRIES ONLY(3) FUNDS INDEX(3)
2/28/2000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
2/29/2000 $ 10,005 $ 10,000 $ 10,000 $ 10,000
3/31/2000 $ 9,817 $ 9,797 $ 9,819 $ 9,827
4/30/2000 $ 9,909 $ 9,836 $ 9,817 $ 9,784
5/31/2000 $ 9,844 $ 9,699 $ 9,680 $ 9,610
6/30/2000 $ 9,937 $ 9,918 $ 9,885 $ 9,787
7/31/2000 $ 9,990 $ 10,026 $ 9,963 $ 9,805
8/31/2000 $ 10,053 $ 10,100 $ 10,022 $ 9,856
9/30/2000 $ 9,916 $ 9,992 $ 9,928 $ 9,711
10/31/2000 $ 9,667 $ 9,696 $ 9,623 $ 9,379
11/30/2000 $ 9,296 $ 9,300 $ 9,214 $ 8,856
12/31/2000 $ 9,484 $ 9,489 $ 9,403 $ 9,009
1/31/2001 $ 10,146 $ 10,129 $ 9,987 $ 9,606
2/28/2001 $ 10,331 $ 10,250 $ 10,098 $ 9,637
3/31/2001 $ 10,090 $ 10,063 $ 9,901 $ 9,317
4/30/2001 $ 10,087 $ 9,915 $ 9,804 $ 9,195
5/31/2001 $ 10,203 $ 10,074 $ 9,985 $ 9,293
6/30/2001 $ 9,914 $ 9,797 $ 9,810 $ 9,019
7/31/2001 $ 10,042 $ 9,982 $ 9,946 $ 9,072
8/31/2001 $ 10,144 $ 10,118 $ 10,079 $ 9,112
9/30/2001 $ 9,347 $ 9,390 $ 9,424 $ 8,469
10/31/2001 $ 9,680 $ 9,702 $ 9,665 $ 8,662
11/30/2001 $ 10,012 $ 10,070 $ 9,989 $ 8,937
12/31/2001 $ 10,014 $ 10,006 $ 9,991 $ 8,913
1/31/2002 $ 10,040 $ 10,048 $ 10,081 $ 8,935
2/28/2002 $ 9,984 $ 9,939 $ 9,998 $ 8,777
3/31/2002 $ 10,220 $ 10,204 $ 10,236 $ 8,951
4/30/2002 $ 10,317 $ 10,371 $ 10,398 $ 9,044
5/31/2002 $ 10,275 $ 10,242 $ 10,359 $ 8,953
6/30/2002 $ 9,888 $ 9,340 $ 10,005 $ 8,449
7/31/2002 $ 9,612 $ 8,918 $ 9,718 $ 8,172
8/31/2002 $ 9,688 $ 9,257 $ 9,843 $ 8,313
9/30/2002 $ 9,607 $ 9,075 $ 9,712 $ 8,197
10/31/2002 $ 9,561 $ 9,044 $ 9,649 $ 8,146
11/30/2002 $ 10,015 $ 9,734 $ 10,174 $ 8,615
12/31/2002 $ 10,101 $ 9,853 $ 10,293 $ 8,699
1/31/2003 $ 10,288 $ 10,219 $ 10,583 $ 8,891
2/28/2003 $ 10,431 $ 10,356 $ 10,740 $ 9,010
3/31/2003 $ 10,668 $ 10,704 $ 11,016 $ 9,235
4/30/2003 $ 11,094 $ 11,369 $ 11,578 $ 9,689
5/31/2003 $ 11,141 $ 11,445 $ 11,733 $ 9,804
6/30/2003 $ 11,426 $ 11,801 $ 12,070 $ 10,068
7/31/2003 $ 11,320 $ 11,626 $ 11,968 $ 9,990
8/31/2003 $ 11,437 $ 11,746 $ 12,102 $ 10,125
9/30/2003 $ 11,692 $ 12,089 $ 12,436 $ 10,370
10/31/2003 $ 11,908 $ 12,370 $ 12,694 $ 10,612
</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.
AVERAGE ANNUAL RETURNS AS OF SEPTEMBER 30, 2003(1)
<Table>
<Caption>
SINCE
1 YEAR 3 YEARS INCEPTION
------ ------- ---------
Common Class 22.79% 6.47% 5.95%
Class A Without Sales Charge 22.62% 6.49% 5.27%
Class A With Maximum
Sales Charge 16.85% 4.77% 4.15%
Class B Without CDSC 21.71% 5.60% 4.40%
Class B With CDSC 17.71% 5.06% 4.40%
Class C Without CDSC 21.70% 5.65% 4.45%
Class C With CDSC 20.70% 5.65% 4.45%
</Table>
4
<Page>
AVERAGE ANNUAL RETURNS AS OF OCTOBER 31, 2003(1)
<Table>
<Caption>
SINCE
1 YEAR 3 YEARS INCEPTION
------ ------- ---------
Common Class 25.49% 7.96% 6.36%
Class A Without Sales Charge 25.44% 8.05% 5.60%
Class A With Maximum
Sales Charge 19.47% 6.29% 4.50%
Class B Without CDSC 24.55% 7.15% 4.73%
Class B With CDSC 20.55% 6.60% 4.73%
Class C Without CDSC 24.54% 7.20% 4.87%
Class C With CDSC 23.54% 7.20% 4.87%
</Table>
- ----------
(1) Fee waivers and/or expense 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 19.47%. Total return for
Class B shares for the reporting period, based on redemption value
(including maximum contingent deferred sales charge of 4%), was 20.55%.
Total return for Class C shares for the reporting period, based on
redemption value (including maximum contingent deferred sales charge of
1%), was 23.54%.
(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. 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.
5
<Page>
CREDIT SUISSE HIGH INCOME FUND
SCHEDULE OF INVESTMENTS
October 31, 2003
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS (94.4%)
AEROSPACE (1.0%)
$ 750 BE Aerospace, Inc., Series B, Senior Subordinated
Notes (Callable 3/01/04 @ $102.00) (B- , Caa3) 03/01/08 8.000 $ 686,250
620 Sequa Corp., Senior Notes (BB- , Ba3) 08/01/09 9.000 685,100
270 Sequa Corp., Series B, Senior Notes (BB , Ba3) 04/01/08 8.875 295,988
750 Titan Corp., Rule 144A, Senior Subordinated
Notes (Callable 5/15/07 @ $104.00)++ (B , B2) 05/15/11 8.000 866,250
250 TransDigm, Inc., Rule 144A,
Company Guaranteed, Senior Subordinated
Notes (Callable 7/15/06 @ $106.28)++ (B- , B3) 07/15/11 8.375 266,875
-------------
2,800,463
-------------
AIRLINES (0.0%)
100 American Airlines, Inc., Series 01-2,
Pass Thru Certificates (BB , B1) 10/01/06 7.800 82,145
-------------
AUTOMOBILE MANUFACTURING/VEHICLE PARTS (3.1%)
356 American Axle & Manufacturing, Inc., Company
Guaranteed Notes (Callable 3/01/04 @ $104.88) (BB- , Ba2) 03/01/09 9.750 381,810
750 Asbury Automotive Group, Inc., Global Company
Guaranteed Notes (Callable 6/15/07 @ $104.50) (B , B3) 06/15/12 9.000 783,750
990 Collins & Aikman Products Co., Company
Guaranteed Notes (Callable 4/15/04 @ $100.00)~ (B , B2) 04/15/06 11.500 727,650
100 Collins & Aikman Products Co., Global Company
Guaranteed Notes (Callable 12/31/06 @ $105.38) (B- , B2) 12/31/11 10.750 84,500
400 Cummins, Inc., Rule 144A, Senior Notes
(Callable 12/01/06 @ $104.75)++ (BB+ , Ba2) 12/01/10 9.500 462,000
450 Delco Remy International, Inc., Company
Guaranteed, Senior Subordinated Notes
(Callable 8/01/04 @ $100.00) (CCC+ , B3) 08/01/06 10.625 429,750
500 Group 1 Automotive, Inc., Rule 144A, Senior
Subordinated Notes (Callable 8/15/08 @ $104.13)++ (B+ , B1) 08/15/13 8.250 545,000
200 Holley Performance Products, Inc., Series B,
Company Guaranteed Notes
(Callable 9/15/04 @ $104.083) (CCC- , Caa3) 09/15/07 12.250 91,000
620 Metaldyne Corp., Global Company Guaranteed
Notes (Callable 6/15/07 @ $105.50) (B , Caa1) 06/15/12 11.000 523,900
250 Metaldyne Corp., Rule 144A, Senior Notes
(Callable 11/01/08 @ $105.00)++ (B , B3) 11/01/13 10.000 245,000
350 Motor Coach Industries International, Inc.,
Company Guaranteed, Senior Subordinated
Notes (Callable 5/01/04 @ $105.62) (CCC+ , Ca) 05/01/09 11.250 99,750
850 Rent-Way, Inc., Rule 144A, Senior Secured Notes++ (B- , B3) 06/15/10 11.875 914,812
100 Roller Bearing Company of America, Inc.,
Series B, Company Guaranteed Notes
(Callable 6/15/04 @ $101.60) (B- , B3) 06/15/07 9.625 93,500
</Table>
See Accompanying Notes to Financial Statements.
6
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
AUTOMOBILE MANUFACTURING/VEHICLE PARTS
$ 500 Sonic Automotive, Inc., Rule 144A, Senior
Subordinated Notes
(Callable 8/15/08 @ $104.31)++ (B+ , B2) 08/15/13 8.625 $ 531,250
500 Stanadyne Automotive Corp., Series B, Company
Guaranteed, Senior Subordinated Notes
(Callable 12/15/03 @ $103.42) (B , Caa1) 12/15/07 10.250 461,250
900 Tenneco Automotive, Inc., Series B,
Global Secured Notes
(Callable 7/15/08 @ $105.13) (CCC+ , B2) 07/15/13 10.250 999,000
800 TRW Automotive, Rule 144A,
Senior Subordinated Notes
(Callable 2/15/08 @ $105.50)++,~ (B+ , B2) 02/15/13 11.000 948,000
-------------
8,321,922
-------------
BANKING (0.2%)
480 Sovereign Bancorp, Inc., Senior Notes (BBB- , Ba1) 11/15/06 10.500 570,123
-------------
BEVERAGES (0.4%)
175 Cott Beverages USA, Inc., Global Company
Guaranteed, Senior Subordinated Notes
(Callable 12/15/06 @ $104.00) (B+ , B2) 12/15/11 8.000 189,875
750 Le-Natures, Inc., Rule 144A, Senior Subordinated
Notes (Callable 6/15/08 @ $104.50)++ (B- , B3) 06/15/13 9.000 783,750
-------------
973,625
-------------
BROADBAND (1.8%)
500 Call-Net Enterprises, Inc., Yankee Company
Guaranteed Notes (Callable 1/01/06 @ $105.31) (B , Caa3) 12/31/08 10.625 480,000
1,200 Level 3 Communications, Corp., Global Company
Guaranteed Notes (Callable 7/15/08 @ $103.06)~ (BB- , Ba3) 07/15/13 6.125 1,194,000
1,000 Level 3 Communications, Corp., Senior Discount
Notes (Callable 12/01/03 @ $105.25)| (CC , Caa2) 12/01/08 10.500 925,000
555 Level 3 Communications, Corp., Senior Notes
(Callable 5/01/04 @ $103.04)~ (CC , Caa2) 05/01/08 9.125 506,438
750 Level 3 Financing, Inc., Rule 144A, Senior Notes
(Callable 10/15/07 @ $105.38)++,~ (CCC- , Caa2) 10/15/11 10.750 783,750
1,000 Lin Television Corp., Rule 144A, Senior
Subordinated Notes
(Callable 5/15/08 @ $103.25)++,~ (B , B2) 05/15/13 6.500 977,500
-------------
4,866,688
-------------
BROADCAST/OUTDOOR (2.3%)
1,000 Advanstar Communications, Inc., Rule 144A,
Secured Notes (Callable 2/15/08 @ $105.38)++ (B- , B3) 08/15/10 10.750 1,067,500
550 Allbritton Communications Co., Global Senior
Subordinated Notes
(Callable 12/15/07 @ $103.88) (B- , B3) 12/15/12 7.750 563,750
</Table>
See Accompanying Notes to Financial Statements.
7
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
BROADCAST/OUTDOOR
$ 449 Corus Entertainment, Inc., Global Senior
Subordinated Notes
(Callable 3/01/07 @ $104.38) (B+ , B1) 03/01/12 8.750 $ 496,706
324 Emmis Communications Corp.,
Senior Discount Notes
(Callable 3/15/07 @ $104.17)| (B- , B3) 03/15/11 12.500 298,890
125 Emmis Communications Corp., Series B,
Company Guaranteed Notes
(Callable 3/15/04 @ $104.06) (B- , B2) 03/15/09 8.125 131,406
250 Entravision Communications Corp.,
Global Company Guaranteed, Senior
Subordinated Notes (Callable 3/15/06 @ $104.06) (B- , B3) 03/15/09 8.125 265,625
500 Interep National Radio Sales, Inc., Series B,
Company Guaranteed Notes
(Callable 7/01/04 @ $103.33) (CCC- , Caa2) 07/01/08 10.000 444,375
75 Lamar Media Corp., Company Guaranteed,
Senior Subordinated Notes
(Callable 09/15/04 @ $101.438) (B , Ba3) 09/15/07 8.625 77,625
850 Nexstar Finance Holdings LLC.,
Global Senior Discount Notes
(Callable 4/01/08 @ $105.69)| (B- , Caa1) 04/01/13 11.375 609,875
650 Paxson Communications Corp., Global Company
Guaranteed, Senior Subordinated Notes
(Callable 1/15/06 @ $106.12)| (CCC+ , Caa1) 01/15/09 12.250 549,250
250 RH Donnelley Finance Corp., Rule 144A,
Senior Notes
(Callable 12/15/06 @ $104.44)++ (B+ , B1) 12/15/10 8.875 281,562
150 Salem Communications Holding Corp.,
Series B, Global Company Guaranteed Notes
(Callable 7/01/06 @ $104.50) (B- , B3) 07/01/11 9.000 162,188
100 Sinclair Broadcast Group, Inc., Global Company
Guaranteed, Senior Subordinated Notes
(Callable 12/15/06 @ $104.38) (B , B2) 12/15/11 8.750 110,000
500 Spanish Broadcasting System, Inc.,
Global Company Guaranteed Notes
(Callable 11/01/04 @ $104.81) (CCC+ , Caa1) 11/01/09 9.625 521,250
500 Susquehanna Media Co., Rule 144A,
Global Senior Subordinated Notes
(Callable 4/15/08 @ $103.69)++ (B , B1) 04/15/13 7.375 518,750
70 Young Broadcasting, Inc., Series B, Company
Guaranteed Notes
(Callable 6/15/04 @ $101.46) (CCC+ , Caa1) 06/15/07 8.750 70,875
-------------
6,169,627
-------------
</Table>
See Accompanying Notes to Financial Statements.
8
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
BUILDING PRODUCTS (1.7%)
$ 150 Airxcel, Inc., Series B, Senior Subordinated
Notes (Callable 11/15/03 @ $103.67) (CCC+ , Caa1) 11/15/07 11.000 $ 128,625
250 Associated Materials, Inc., Global Company
Guaranteed Notes (Callable 4/15/07 @ $104.88) (B- , B3) 04/15/12 9.750 271,563
282 Atrium Companies, Inc., Series B, Company
Guaranteed, Senior Subordinated Notes
(Callable 5/01/04 @ $105.25) (B- , B3) 05/01/09 10.500 301,035
190 Building Materials Corporation of America,
Series B, Company Guaranteed Notes (B+ , B2) 12/01/08 8.000 186,200
1,566 Building Materials Corporation of America,
Series B, Senior Notes (B , B2) 07/15/05 7.750 1,605,150
500 Building Materials Corporation of America,
Unsecured Senior Notes (B , B2) 10/15/07 8.000 495,000
640 Dayton Superior Corp., Company
Guaranteed Notes (Callable 6/15/07 @ $102.17)~ (B- , Caa2) 06/15/09 13.000 569,600
400 Dayton Superior Corp., Rule144A, Secured Notes
(Callable 6/15/06 @ $105.62)++ (B+ , B3) 09/15/08 10.750 419,000
177 Interface, Inc., Global Senior Notes (B , B2) 02/01/10 10.375 188,505
430 Nortek Holdings, Inc., Series B, Global Senior
Subordinated Notes
(Callable 6/15/06 @ $104.94) (B- , B3) 06/15/11 9.875 465,475
-------------
4,630,153
-------------
CABLE (4.2%)
500 Adelphia Communications Corp., Series B,
Senior Notes# (NR , NR) 02/15/04 9.500 407,500
260 Adelphia Communications Corp., Series B,
Senior Notes# (NR , NR) 07/15/04 10.500 214,500
150 Century Communications Corp., Senior Notes# (NR , NR) 10/01/07 8.750 121,500
1,300 Charter Communications Holdings LLC,
Senior Notes (Callable 4/01/04 @ $104.31)~ (CCC- , Ca) 04/01/09 8.625 1,049,750
500 Comcast UK Cable Partners, Ltd.,
Yankee Debentures
(Callable 11/15/03 @ $100.00) (C , Caa2) 11/15/07 1.000 502,500
400 CSC Holdings, Inc., Debentures (BB- , B1) 07/15/18 7.625 396,000
275 CSC Holdings, Inc., Senior Notes (BB- , B1) 12/15/07 7.875 282,562
1,150 CSC Holdings, Inc., Senior Subordinated
Debentures (Callable 2/15/04 @ $103.60)~ (B+ , B2) 02/15/13 9.875 1,210,375
200 CSC Holdings, Inc., Series B, Debentures (BB- , B1) 08/15/09 8.125 209,000
200 CSC Holdings, Inc., Series B, Senior Notes (BB- , B1) 07/15/09 8.125 209,000
390 CSC Holdings, Inc., Series B, Senior Notes (BB- , B1) 04/01/11 7.625 399,750
</Table>
See Accompanying Notes to Financial Statements.
9
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
CABLE
$ 700 Directv Holdings LLC, Rule 144A, Global Senior
Notes (Callable 3/15/08 @ $104.19)++ (B , B1) 03/15/13 8.375 $ 791,000
1,230 Insight Communications Company, Inc., Senior
Discount Notes (Callable 2/15/06 @ $106.13)| (B- , Caa2) 02/15/11 12.250 867,150
20 Insight Midwest Insight Capital, Global Senior
Notes (Callable 11/01/05 @ $105.25) (B+ , B2) 11/01/10 10.500 21,000
1,110 Insight Midwest Insight Capital, Senior Notes
(Callable 10/01/04 @ $104.88)~ (B+ , B2) 10/01/09 9.750 1,137,750
350 James Cable Partners LP, Series B, Senior Notes# (NR , Ca) 08/15/04 10.750 199,500
1,250 Mediacom LLC Capital Corp., Senior Notes
(Callable 2/15/06 @ $103.94) (B+ , B2) 02/15/11 7.875 1,112,500
200 Mediacom LLC Capital Corp., Series B,
Senior Notes (Callable 4/15/04 @ $102.83)~ (B+ , B2) 04/15/08 8.500 191,000
320 Northland Cable Television, Inc.,
Company Guaranteed, Senior Subordinated
Notes (Callable 11/15/03 @ $103.42) (CC , Caa3) 11/15/07 10.250 320,000
650 Olympus Communications LP, Series B,
Senior Notes (Callable 11/15/03 @ $101.77)# (NR , NR) 11/15/06 10.625 672,750
697 Renaissance Media Group LLC, Company
Guaranteed, Senior Subordinated Notes
(Callable 4/15/04 @ $103.33) (CCC+ , B3) 04/15/08 10.000 716,168
250 Rogers Cable, Inc., Global Secured Notes (BBB- , Ba2) 06/15/13 6.250 251,250
150 Rogers Cablesystems Ltd., Series B,
Yankee Senior Notes (BBB- , Ba2) 03/15/05 10.000 162,000
-------------
11,444,505
-------------
CAPITAL GOODS (0.8%)
1,000 Case New Holland, Inc., Rule 144A,
Senior Notes (Callable 8/01/07 @ 104.62)++ (BB- , Ba3) 08/01/11 9.250 1,115,000
250 International Wire Group, Inc., Senior
Subordinated Notes~ (CCC- , Caa1) 06/01/05 11.750 138,750
600 SPX Corp., Senior Notes (BB+ , Ba3) 06/15/11 6.250 604,500
200 SPX Corp., Senior Notes
(Callable 1/01/08 @ $103.75) (BB+ , Ba3) 01/01/13 7.500 214,500
-------------
2,072,750
-------------
CHEMICALS (3.4%)
100 Airgas, Inc., Global Company Guaranteed, Senior
Subordinated Notes
(Callable 10/01/06 @ $104.56) (B+ , Ba2) 10/01/11 9.125 112,250
805 Applied Extrusion Technologies, Inc., Series B,
Company Guaranteed Notes
(Callable 7/01/06 @ $105.38) (B- , Caa1) 07/01/11 10.750 623,875
640 Avecia Group PLC, Global Company Guaranteed
Notes (Callable 7/01/04 @ $105.50) (CCC+ , Caa1) 07/01/09 11.000 598,400
200 Equistar Chemicals Funding, Global Company
Guaranteed Notes (BB- , B1) 09/01/08 10.125 211,000
</Table>
See Accompanying Notes to Financial Statements.
10
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
CHEMICALS
$ 400 Equistar Chemicals Funding, Rule 144A, Senior
Notes (Callable 5/01/07 @ $105.31)++,~ (BB- , B1) 05/01/11 10.625 $ 420,000
50 Equistar Chemicals Funding, Senior Notes (BB- , B1) 02/15/09 8.750 50,000
350 FMC Corp., Global Senior Secured Notes
(Callable 11/01/06 @ $105.13) (BB+ , Ba2) 11/01/09 10.250 411,250
500 HMP Equity Holdings Corp., Bond Units
(Callable 11/15/04 @ $64.79) (CCC+ , NR) 05/15/08 0.000 252,500
150 Huntsman ICI Chemicals LLC, Company
Guaranteed Notes (Callable 7/01/04 @ $105.06 (B- , Caa1) 07/01/09 10.125 143,625
650 Huntsman ICI Chemicals LLC, Rule 144A,
Secured Notes (Callable 10/15/07 @ $105.81)++ (B , B2) 10/15/10 11.625 627,250
250 Huntsman ICI Chemicals LLC, Senior Discount
Notes (Callable 7/01/04 @ $106.69) (B+ , Caa2) 12/31/09 0.000 101,250
100 Lyondell Chemical Co., Global Company
Guaranteed Notes
(Callable 12/15/05 @ $104.75) (BB , Ba3) 12/15/08 9.500 100,500
1,000 Lyondell Chemical Co., Global Company
Guaranteed Notes
(Callable 6/01/08 @ $105.25) (BB , Ba3) 06/01/13 10.500 1,035,000
150 Lyondell Chemical Co., Senior Secured Notes (BB , Ba3) 07/15/12 11.125 158,250
100 Lyondell Chemical Co., Series B, Senior Secured
Notes (Callable 5/01/04 @ $104.94) (BB , Ba3) 05/01/07 9.875 102,000
500 Nalco Co., Rule 144A, Senior Subordinated Notes
(Callable 11/15/08 @ $104.44)++ (B , Caa1) 11/15/13 8.875 522,500
800 PolyOne Corp., Rule 144A, Senior Notes
(Callable 5/15/07 @ $105.31)++,~ (BB- , B2) 05/15/10 10.625 732,000
500 Radnor Holdings Corp., Rule 144A,
Senior Notes (Callable 3/15/07 @ $105.50)++,~ (B , B2) 03/15/10 11.000 430,000
400 Resolution Performance Products LLC,
Global Senior Subordinated Notes
(Callable 11/15/05 @ $106.75) (B- , Caa1) 11/15/10 13.500 380,000
250 Resolution Performance Products LLC,
Global Senior Subordinated Notes
(Callable 4/15/06 @ $104.75) (B+ , B2) 04/15/10 9.500 265,000
1,150 Terra Capital, Inc., Global Secured Notes
(Callable 6/01/07 @ $105.75)~ (B- , Caa1) 06/01/10 11.500 1,129,875
750 United Industries Corp., Series D, Global
Company Guaranteed Notes
(Callable 4/01/04 @ $104.94) (B- , B3) 04/01/09 9.875 783,750
-------------
9,190,275
-------------
</Table>
See Accompanying Notes to Financial Statements.
11
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
COMPETITIVE LOCAL EXCHANGE CARRIER (CLEC) (1.3%)
$ 350 Block Communications, Inc., Global Company
Guaranteed, Senior Subordinated Notes
(Callable 4/15/06 @ $104.63) (B- , B2) 04/15/09 9.250 $ 376,250
500 FairPoint Communications, Inc., Senior Notes
(Callable 3/01/07 @ $105.94) (B , B3) 03/01/10 11.875 587,500
100 FairPoint Communications, Inc., Senior
Subordinated Notes (Callable 5/01/05 @ $106.25) (B- , Caa1) 05/01/10 12.500 108,000
200 FairPoint Communications, Inc., Series B, Senior
Subordinated Notes (Callable 05/01/04 @ $103.17) (B- , Caa1) 05/01/08 9.500 197,000
450 GCI, Inc., Senior Notes
(Callable 8/01/04 @ $101.63) (B+ , B2) 08/01/07 9.750 465,188
750 Qwest Corp., Notes (B- , Ba3) 11/15/08 5.625 738,750
534 RCN Corp., Senior Discount Notes
(Callable 10/15/05 @ $105.06)~ (CCC- , Ca) 10/15/07 11.125 245,640
500 RCN Corp., Senior Notes
(Callable 1/15/05 @ $105.06) (CCC- , Ca) 01/15/10 10.125 214,375
618 Time Warner Telecom LLC, Senior Notes
(Callable 7/15/04 @ $103.25) (CCC+ , B3) 07/15/08 9.750 636,025
-------------
3,568,728
-------------
CONGLOMERATE/DIVERSIFIED MANUFACTURING (0.4%)
800 Jacuzzi Brands, Inc., Rule 144A, Secured Notes
(Callable 7/01/07 @ $104.81)++ (B , B3) 07/01/10 9.625 852,000
400 Jordan Industries, Inc., Series B, Senior Notes
(Callable 8/01/04 @ $100.00) (B- , Caa3) 08/01/07 10.375 202,000
-------------
1,054,000
-------------
CONSUMER PRODUCTS/TOBACCO (4.1%)
300 American Achievement Corp.,
Series B, Global Company Guaranteed,
Senior Notes (Callable 1/01/05 @ $105.81) (B+ , B1) 01/01/07 11.625 333,000
300 American Greetings Corp., Global Senior
Subordinated Notes
(Callable 7/15/05 @ $105.88) (BB+ , Ba3) 07/15/08 11.750 343,875
40 Armkel, LLC., Global Senior Subordinated Notes
(Callable 8/15/05 @ $104.75) (B- , B2) 08/15/09 9.500 44,400
200 Central Garden & Pet Co., Senior Subordinated
Notes (Callable 2/01/08 @ $104.56) (B+ , B2) 02/01/13 9.125 220,500
750 Dimon, Inc., Rule 144A, Senior Notes
(Callable 6/01/08 @ $103.88)++ (BB , Ba3) 06/01/13 7.750 776,250
395 Dimon, Inc., Series B, Global Company
Guaranteed, Senior Notes
(Callable 10/15/06 @ $104.81) (BB , Ba3) 10/15/11 9.625 444,375
955 General Binding Corp., Company Guaranteed,
Senior Subordinated Notes
(Callable 06/01/04 @ $103.13) (B- , Caa1) 06/01/08 9.375 959,775
</Table>
See Accompanying Notes to Financial Statements.
12
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
CONSUMER PRODUCTS/TOBACCO
$ 530 Hockey Company Sports Maska,
Global Senior Secured Notes, Units
(Callable 4/15/06 @ $105.62) (B , B2) 04/15/09 11.250 $ 601,550
250 Holmes Group, Inc., Series D,
Senior Subordinated Notes
(Callable 11/15/03 @ $103.29) (B- , Caa2) 11/15/07 9.875 248,750
400 Jafra Cosmetics, Inc.,
Global Company Guaranteed Notes
(Callable 5/15/07 @ $105.38) (B- , B3) 05/15/11 10.750 442,000
1,000 Johnson Diversey Holdings, Inc.,
Rule 144A, Discount Notes
(Callable 5/15/07 @ $105.34)++,| (B , B3) 05/15/13 10.670 750,000
950 Johnson Diversey Holdings, Inc., Series B,
Global Company Guaranteed,
Senior Subordinated Notes
(Callable 5/15/07 @ $104.81) (B , B2) 05/15/12 9.625 1,054,500
500 National Beef Packing Company LLC.,
Rule 144A, Senior Notes
(Callable 8/01/07 @ $105.25)++ (B , B2) 08/01/11 10.500 552,500
558 PCA LLC, Global Senior Notes (B- , B3) 08/01/09 11.875 611,010
1,325 Playtex Products, Inc.,
Global Company Guaranteed Notes
(Callable 6/01/06 @ $104.69) (CCC+ , B3) 06/01/11 9.375 1,315,062
750 Remington Arms Co., Rule 144A,
Global Company Guaranteed Notes
(Callable 2/01/07 @ $105.25)++ (B- , B2) 02/01/11 10.500 788,437
1,000 Revlon Consumer Products Corp.,
Global Company Guaranteed Notes (CCC+ , Caa1) 12/01/05 12.000 985,000
615 Sealy Mattress Co., Series B,
Senior Subordinated Notes
(Callable 12/15/03 @ $103.29)~ (B- , B3) 12/15/07 9.875 638,063
-------------
11,109,047
-------------
CONTAINERS (3.5%)
670 Box USA Holdings, Series B, Senior
Secured Notes
(Callable 6/01/04 @ $100.00) (B , B3) 06/01/06 12.000 676,700
800 Constar International, Inc., Senior
Subordinated Notes
(Callable 12/01/07 @ $105.50)~ (B , Caa1)' 12/01/12 11.000 668,000
600 Crown Cork & Seal Financial PLC, Yankee
Company Guaranteed Notes (B , B3) 12/15/06 7.000 606,000
500 Crown Euro Holdings SA, Rule 144A,
Global Secured Notes
(Callable 3/01/07 @ $104.75)++ (B+ , B1) 03/01/11 9.500 557,500
</Table>
See Accompanying Notes to Financial Statements.
13
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
CONTAINERS
$ 600 Crown Euro Holdings SA, Rule 144A,
Global Secured Notes
(Callable 3/01/08 @ $105.44)++ (B , B2) 03/01/13 10.875 $ 687,000
1,000 Fonda Group, Inc., Series B, Senior
Subordinated Notes
(Callable 3/01/04 @ $101.58) (CCC- , Caa2) 03/01/07 9.500 855,000
195 Graham Packaging Company, Inc.,
Series B, Senior Discount Notes
(Callable 1/15/04 @ $103.58)~ (CCC+ , Caa2) 01/15/09 10.750 202,556
750 Graphic Packaging International, Inc., Rule 144A,
Senior Subordinated Notes
(Callable 8/15/08 @ $104.75)++ (B- , B3) 08/15/13 9.500 838,125
210 Owens-Brockway, Global Company
Guaranteed Notes (Callable 2/15/06 @ $104.44) (BB , B1) 02/15/09 8.875 228,900
1,000 Owens-Brockway, Rule 144A,
Senior Notes (5/15/08 @ $104.13)++ (B+ , B2) 05/15/13 8.250 1,060,000
400 Owens-Illinois, Inc., Senior Notes (B+ , B3) 05/15/07 8.100 416,000
410 Owens-Illinois, Inc., Senior Notes~ (B+ , B3) 05/15/08 7.350 412,050
250 Plastipak Holdings, Inc., Global Company
Guaranteed Senior Notes
(Callable 9/01/06 @ $105.38) (B+ , B3) 09/01/11 10.750 277,500
250 Pliant Corp., Company Guaranteed,
Senior Subordinated Notes
(Callable 6/01/05 @ $106.50) (B- , Caa1) 06/01/10 13.000 240,000
750 Pliant Corp., Rule 144A, Senior Secured Notes
(Callable 6/01/07 @ $105.56)++ (NR , B3) 09/01/09 11.125 806,250
200 Tekni-Plex, Inc., Series B, Company Guaranteed,
Senior Subordinated Notes
(Callable 6/15/05 @ $106.38) (B- , B3) 06/15/10 12.750 206,000
800 U.S. Can Corp., Rule 144A, Secured Notes
(Callable 7/15/07 @ $105.44)++ (CCC+ , B3) 07/15/10 10.875 830,000
-------------
9,567,581
-------------
DIVERSIFIED TELECOMMUNICATIONS (1.8%)
1,000 ACC Escrow Corp., Rule 144A, Senior Notes
(Callable 8/1/07 @ $105.00)++ (B- , B2) 08/01/11 10.000 1,095,000
900 Avaya, Inc., Secured Notes
(Callable 4/01/06 @ $105.56) (B+ , B2) 04/01/09 11.125 1,066,500
150 Gray Television, Inc., Global Company
Guaranteed, Senior Subordinated Notes
(Callable 12/15/06 @ $104.62) (B- , B3) 12/15/11 9.250 166,875
800 Primus Telecommunications Group, Inc., Senior
Notes (Callable 1/15/04 @ $105.63) (CCC- , Caa3) 01/15/09 11.250 841,000
550 Primus Telecommunications Group, Inc.,
Series B, Senior Notes
(Callable 5/15/04 @ $103.21) (CCC- , Caa3) 05/15/08 9.875 558,938
</Table>
See Accompanying Notes to Financial Statements.
14
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
DIVERSIFIED TELECOMMUNICATIONS
$ 1,000 Vivendi Universal SA, Rule 144A, Senior Notes
(Callable 4/15/07 @ $104.63)++ (BB , B1) 04/15/10 9.250 $ 1,167,500
-------------
4,895,813
-------------
ELECTRONICS/INFORMATION/DATA TECHNOLOGY (1.2%)
650 Danka Business Systems PLC, Rule 144A, Senior
Notes (Callable 6/15/07 @ $105.50)++ (B+ , B2) 06/15/10 11.000 601,250
250 Flextronics International, Ltd., Rule 144A, Senior
Subordinated Notes (Callable 5/15/08 @ $103.25)++ (BB- , Ba2) 05/15/13 6.500 248,125
950 PG&E Corp., Rule 144A, Senior Secured Notes
(Callable 7/15/06 @ $103.44)++ (NR , NR) 07/15/08 6.875 1,011,750
300 Solectron Corp., Senior Notes
(Callable 2/15/06 @ $104.81)~ (BB- , Ba3) 02/15/09 9.625 333,000
950 Xerox Corp., Senior Notes (B+ , B1) 06/15/10 7.125 973,750
-------------
3,167,875
-------------
ENERGY - OTHER (6.9%)
1,100 Chesapeake Energy Corp., Global Company
Guarantee Notes (Callable 4/01/06 @ $104.06) (B+ , Ba3) 04/01/11 8.125 1,212,750
50 Clark Refining & Marketing, Inc., Senior
Subordinated Notes
(Callable 11/15/03 @ $102.96) (B , B2) 11/15/07 8.875 51,250
1,000 Dynegy Holdings, Inc., Rule 144A, Secured Notes
(Callable 7/15/08 @ $105.06)++ (B- , B3) 07/15/13 10.125 1,090,000
740 Edison Mission Energy, Senior Notes (BB- , B2) 06/15/09 7.730 636,400
400 EL Paso CGP Co., Notes (B , Caa1) 02/01/09 6.375 327,000
750 EL Paso CGP Co., Notes (B , Caa1) 06/15/10 7.750 635,625
1,100 El Paso Corp., Senior Notes~ (B , Caa1) 05/15/11 7.000 932,250
1,000 El Paso Natural Gas Co., Rule 144A, Senior Notes
(Callable 8/01/07 @ $103.81)++ (B+ , B1) 08/01/10 7.625 995,000
1,450 El Paso Production Holdings, Rule 144A,
Company Guaranteed Notes
(Callable 6/01/08 @ $103.88)++ (B+ , B2) 06/01/13 7.750 1,399,250
500 Frontier Oil Corp., Senior Notes
(Callable 11/15/04 @ $105.88) (B , B2) 11/15/09 11.750 567,500
1,000 Gemstone Investors Ltd., Rule 144A, Company
Guaranteed Notes++ (B , Caa1) 10/31/04 7.710 1,006,250
400 Giant Industries, Inc., Company Guaranteed Notes
(Callable 9/01/04 @ $101.50) (B- , B3) 09/01/07 9.000 400,000
250 Giant Industries, Inc., Global Company
Guaranteed Notes (Callable 5/15/07 @ $105.50) (B- , B3) 05/15/12 11.000 261,250
500 Gulfterra Energy Partners L.P., Company
Guaranteed Notes (Callable 6/01/07 @ $104.25) (BB- , B1) 06/01/10 8.500 547,500
200 Gulfterra Energy Partners L.P., Global Company
Guaranteed Notes (Callable 12/01/07 @ $105.31) (BB- , B1) 12/01/12 10.625 236,500
1,050 Mirant Corp., Rule 144A, Senior Notes++ (BB , Caa2) 07/15/04 7.400 582,750
500 Peabody Energy Corp., Series B, Global Company
Guaranteed Notes (Callable 3/15/08 @ $103.44) (BB- , Ba3) 03/15/13 6.875 528,750
</Table>
See Accompanying Notes to Financial Statements.
15
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
ENERGY - OTHER
$ 1,000 Reliant Resources, Inc, Rule 144A, Secured Notes
(Callable 7/15/08 @ $104.75)++,~ (B , B1) 07/15/13 9.500 $ 895,000
1,200 Sierra Pacific Resources, Notes~ (B- , B2) 05/15/05 8.750 1,200,000
535 Swift Energy Co., Senior Subordinated Notes
(Callable 5/01/07 @ $104.69) (B , B3) 05/01/12 9.375 583,150
400 Teco Energy, Inc., Senior Notes (BB+ , Ba1) 06/15/10 7.500 413,000
750 Transmontaigne, Inc., Rule 144A, Senior
Subordinated Notes
(Callable 6/01/07 @ $104.56)++ (B+ , B3) 06/01/10 9.125 817,500
250 Trico Marine Services, Inc., Global Company
Guaranteed Notes (Callable 5/15/07 @ $104.44)~ (B , B2) 05/15/12 8.875 172,500
760 Western Gas Resources, Inc., Company
Guaranteed Notes (Callable 6/15/04 @ $105.00) (BB- , Ba3) 06/15/09 10.000 815,100
700 Williams Companies, Inc., Notes (B+ , B3) 08/01/06 6.500 724,500
1,000 Williams Companies, Inc., Notes (B+ , B3) 12/01/08 6.500 1,015,000
750 Williams Companies, Inc., Senior Notes
(Callable 6/01/07 @ $104.31) (B+ , B3) 06/01/10 8.625 825,000
-------------
18,870,775
-------------
ENVIRONMENTAL SERVICES (0.8%)
420 Allied Waste North America, Inc., Series B,
Company Guaranteed Notes
(Callable 1/01/04 @ $103.94) (BB- , Ba3) 01/01/09 7.875 441,000
325 Allied Waste North America, Inc., Series B,
Company Guaranteed Notes
(Callable 8/01/04 @ $105.00)~ (B+ , B2) 08/01/09 10.000 355,063
350 Allied Waste North America, Inc., Series B, Global
Company Guaranteed Notes (BB- , Ba3) 04/01/08 8.875 388,500
250 IMC Global, Inc., Rule 144A, Company
Guaranteed, Senior Unsecured Notes
(Callable 6/01/06 @ $105.62)++ (BB , Ba2) 06/01/11 11.250 259,375
650 IMC Global, Inc., Rule 144A, Senior Notes
(Callable 8/01/08 @ $105.44)++,~ (B+ , B1) 08/01/13 10.875 674,375
50 IMC Global, Inc., Series B, Global Company
Guaranteed Notes (B+ , B1) 06/01/08 10.875 51,875
-------------
2,170,188
-------------
FINANCE - OTHER (0.2%)
250 Arch Western Finance, Rule 144A, Senior Notes
(Callable 7/01/08 @ $103.38)++ (BB+ , Ba2) 07/01/13 6.750 260,000
200 LaBranche & Co., Inc., Senior Subordinated Notes (BB- , Ba1) 03/02/07 12.000 206,000
-------------
466,000
-------------
FOOD PROCESSORS/BEVERAGE/BOTTLING (2.6%)
52 Archibald Candy Corp., Company
Guaranteed Notes^ (NR , NR) 11/01/07 10.000 15,718
</Table>
See Accompanying Notes to Financial Statements.
16
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
FOOD PROCESSORS/BEVERAGE/BOTTLING
$ 100 Aurora Foods, Inc., Series B, Senior
Subordinated Notes
(Callable 2/15/04 @ $103.65)# (D , Ca) 02/15/07 9.875 $ 68,000
525 Aurora Foods, Inc., Series B, Senior
Subordinated Notes
(Callable 7/01/04 @ $104.92)# (D , Ca) 07/01/08 8.750 351,750
700 B & G Foods, Inc., Series D, Global Company
Guaranteed Notes (Callable 8/01/04 @ $101.60) (B- , B3) 08/01/07 9.625 722,750
175 Burns Phillip Capital Property, Ltd., Rule 144A,
Company Guaranteed Notes
(Callable 7/15/07 @ $104.88)++ (B- , B3) 07/15/12 9.750 179,375
750 Curtice Burns Food, Inc., Company Guaranteed,
Senior Subordinated Notes
(Callable 11/01/03 @ $105.94) (B- , B3) 11/01/08 11.875 796,875
50 Del Monte Corp., Rule 144A, Senior Subordinated
Notes (Callable 12/15/07 @ $104.31)++ (B , B2) 12/15/12 8.625 55,500
150 Del Monte Corp., Series B, Global Company
Guaranteed Notes (Callable 5/15/06 @ $104.63) (B , B3) 05/15/11 9.250 166,500
600 Dole Food Company, Inc., Rule 144A,
Senior Notes (Callable 3/15/07 @ $104.44)++ (B+ , B2) 03/15/11 8.875 651,000
500 Domino's, Inc., Rule 144A, Senior
Subordinated Notes (Callable 7/01/07 @ $104.12)++ (B- , B3) 07/01/11 8.250 530,625
600 Eagle Family Foods, Inc., Series B, Company
Guaranteed Notes (Callable 1/15/04 @ $102.92) (CCC+ , Caa2) 01/15/08 8.750 423,000
715 Land O' Lakes, Inc., Global Senior Notes
(Callable 11/15/06 @ $104.38) (B+ , B2) 11/15/11 8.750 614,900
425 Luiginos, Inc., Senior Subordinated Notes
(Callable 2/01/04 @ $102.50) (B- , B3) 02/01/06 10.000 439,875
430 National Wine & Spirits, Inc., Company
Guaranteed Notes (Callable 1/15/04 @ $105.06) (CCC+ , B2) 01/15/09 10.125 380,550
460 Premier International Foods, Yankee Senior Notes
(Callable 9/01/04 @ $106.00) (B- , B3) 09/01/09 12.000 509,450
400 Reddy Ice Group, Inc., Rule 144A, Senior
Subordinated Notes
(Callable 8/01/07 @ $104.44)++ (B- , B3) 08/01/11 8.875 420,000
350 Roundy's, Inc., Series B, Global Company
Guaranteed Notes (Callable 6/15/07 @ $104.44) (B , B2) 06/15/12 8.875 367,500
200 Smithfield Foods, Inc., Series B,
Global Senior Notes (BBB- , Ba2) 10/15/09 8.000 221,000
280 Stater Brothers Holdings, Inc., Senior Notes
(Callable 8/15/04 @ $102.69) (B- , B2) 08/15/06 10.750 296,450
----------
7,210,818
----------
GAMING (7.4%)
910 Ameristar Casinos, Inc., Global Company
Guaranteed Notes (Callable 2/15/06 @ $105.38) (B , B3) 02/15/09 10.750 1,053,325
</Table>
See Accompanying Notes to Financial Statements.
17
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
GAMING
$ 760 Argosy Gaming Co., Company Guaranteed Notes
(Callable 6/01/04 @ $105.38) (B+ , B2) 06/01/09 10.750 $ 836,000
100 Aztar Corp., Global Senior Subordinated Notes
(Callable 8/15/06 @ $104.50) (B+ , Ba3) 08/15/11 9.000 108,500
750 Choctaw Resort Development Enterprise, Global
Senior Notes (Callable 4/01/05 @ $104.625) (BB- , B1) 04/01/09 9.250 822,187
750 Chukchansi Economic Development Authority,
Rule 144A, Senior Notes
(Callable 10/01/06 @ $113.00)++ (NR , NR) 06/15/09 14.500 916,875
250 Circus & Eldor Silver Leg, Global First Mortgage
Notes (Callable 3/01/07 @ $105.06) (B+ , B1) 03/01/12 10.125 257,188
775 Coast Hotels & Casinos, Inc., Company
Guaranteed, Senior Subordinated Notes
(Callable 4/01/04 @ 104.75) (B , B2) 04/01/09 9.500 829,250
1,540 Hard Rock Hotel, Inc., Rule 144A, Notes
(Callable 6/01/08 @ $104.44)++ (B , B3) 06/01/13 8.875 1,630,475
450 Herbst Gaming, Inc., Series B, Global Secured
Notes (Callable 9/01/05 @ $105.38) (B , B2) 09/01/08 10.750 505,688
75 Horseshoe Gaming Holding Corp., Series B,
Company Guaranteed Notes
(Callable 5/15/04 @ $104.31) (B+ , B2) 05/15/09 8.625 80,156
820 Isle of Capri Casinos, Inc., Company Guaranteed
Notes (Callable 4/15/04 @ $104.38) (B , B2) 04/15/09 8.750 872,275
730 Kerzner International Ltd., Global Company
Guaranteed, Senior Subordinated Notes
(Callable 8/15/06 @ $104.44) (B+ , B2) 08/15/11 8.875 800,263
1,800 Majestic Star Casino LLC, Rule 144A, Company
Guaranteed Notes
(Callable 10/15/07 @ $104.75)++ (B , B2) 10/15/10 9.500 1,872,000
1,000 Mandalay Resort Group, Rule 144A,
Senior Notes++ (BB+ , Ba2) 07/31/09 6.500 1,036,250
50 Mandalay Resort Group, Senior Notes (BB+ , Ba2) 02/01/06 6.450 52,125
495 Mandalay Resort Group, Series B, Senior
Subordinated Notes (BB- , Ba3) 08/01/07 10.250 572,962
780 MGM Mirage, Inc., Company Guaranteed, Senior
Subordinated Notes (BB+ , Ba2) 06/01/07 9.750 888,225
700 Mikohn Gaming Corp., Series B, Company
Guaranteed, Senior Notes
(Callable 8/15/05 @ $105.94) (B- , B3) 08/15/08 11.875 745,500
10 Mohegan Tribal Gaming, Global Senior
Subordinated Notes
(Callable 7/01/06 @ $104.19) (BB- , Ba3) 07/01/11 8.375 10,975
600 MTR Gaming Group, Inc., Rule 144A, Company
Guaranteed Notes (Callable 4/01/07 @ $104.88)++ (B+ , B2) 04/01/10 9.750 634,500
1,000 Old Evangeline Downs, Rule 144A, Company
Guaranteed Notes (Callable 3/01/07 @ $106.50)++ (B- , Caa1) 03/01/10 13.000 1,036,250
</Table>
See Accompanying Notes to Financial Statements.
18
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
GAMING
$ 650 Park Place Entertainment Corp., Senior
Subordinated Notes (BB+ , Ba2) 02/15/07 9.375 $ 732,875
150 Peninsula Gaming LLC., Series B, Company
Guaranteed, Senior Notes
(Callable 7/01/04 @ $105.33) (B , B2) 07/01/06 12.250 159,750
530 Penn National Gaming, Inc., Company
Guaranteed Notes (Callable 3/15/06 @ $104.44) (B- , B3) 03/15/10 8.875 579,687
350 Penn National Gaming, Inc., Series B, Global
Company Guaranteed, Senior Subordinated
Notes (Callable 3/01/05 @ $105.56) (B- , B3) 03/01/08 11.125 397,250
330 Riviera Holdings Corp., Global Company
Guaranteed Notes (Callable 6/15/06 @ $105.50) (B+ , B2) 06/15/10 11.000 338,250
380 Station Casinos, Inc., Senior Subordinated Notes
(Callable 7/01/05 @ $103.70) (B+ , B2) 07/01/10 9.875 424,175
988 Waterford Gaming LLC, Rule 144A, Senior Notes
(Callable 9/15/08 @ $103.55)++ (B+ , B1) 09/15/12 8.625 1,038,635
750 Wheeling Islands Gaming, Inc., Global Company
Guaranteed Notes (Callable 12/15/05 @ $105.06) (B+ , B3) 12/15/09 10.125 776,250
100 Windsor Woodmont Black Hawk, Series B, First
Mortgage Notes (Callable 3/15/04 @ $104.33)# (NR , NR) 03/15/05 13.000 65,625
----------
20,073,466
----------
HEALTHCARE FACILITIES/SUPPLIES (5.0%)
391 Advanced Medical Optics, Inc., Global Senior
Subordinated Notes
(Callable 7/15/06 @ $104.63) (B , B3) 07/15/10 9.250 430,100
1,250 Apogent Technologies, Inc., Rule 144A, Senior
Subordinated Notes
(Callable 5/15/08 @ $103.25)++ (BB+ , Ba2) 05/15/13 6.500 1,296,875
500 Ardent Health Services, Inc., Rule 144A, Senior
Subordinated Notes
(Callable 8/15/08 @ $105.00)++ (B- , B3) 08/15/13 10.000 537,500
1,000 Beverly Enterprises, Inc., Global Senior Notes (B+ , B1) 04/15/09 9.625 1,082,500
600 Bio-Rad Laboratories, Inc., Rule 144A, Senior
Subordinated Notes
(Callable 8/15/08 @ $103.75)++ (BB- , Ba3) 08/15/13 7.500 634,500
600 Concentra Operating Corp., Rule 144A, Company
Guaranteed Notes (Callable 8/15/07 @ $104.75)++ (B- , B3) 08/15/10 9.500 639,000
150 Coventry Health Care, Inc., Global Senior Notes
(Callable 2/15/07 @ $104.06) (BB+ , Ba3) 02/15/12 8.125 163,500
295 Extendicare Health Services, Inc., Company
Guaranteed Notes (Callable 12/15/03 @ $103.12) (CCC+ , B3) 12/15/07 9.350 306,800
350 Extendicare Health Services, Inc., Company
Guaranteed Notes (Callable 7/01/06 @ $104.75) (B- , B2) 07/01/10 9.500 386,750
</Table>
See Accompanying Notes to Financial Statements.
19
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
HEALTHCARE FACILITIES/SUPPLIES
$ 450 Fisher Scientific International, Inc., Global
Senior Subordinated Notes
(Callable 5/01/07 @ $104.06) (B+ , B2) 05/01/12 8.125 $ 486,000
850 Fisher Scientific International, Inc., Rule 144A,
Senior Subordinated Notes
(Callable 9/01/08 @ $104.00)++ (B+ , B2) 09/01/13 8.000 918,000
350 Hanger Orthopedic Group, Inc., Global Company
Guaranteed Notes (Callable 2/15/06 @ $105.19) (B , B2) 02/15/09 10.375 397,250
150 Healthsouth Corp., Global Senior Notes#,~ (D , Caa2) 10/01/11 8.375 133,500
600 Iasis Healthcare Corp., Global Company
Guaranteed Notes (Callable 6/15/06 @ $104.25) (B- , B3) 10/15/09 8.500 630,000
240 Insight Health Services Corp., Series B, Company
Guaranteed Notes
(Callable 11/01/06 @ $104.94)~ (B- , B3) 11/01/11 9.875 259,200
500 Kinetic Concepts, Inc., Rule 144A, Senior
Subordinated Notes
(Callable 5/15/08 @ $103.69)++ (B , B3) 05/15/13 7.375 515,000
100 Magellan Health Services, Inc., Senior
Subordinated Notes
(Callable 2/15/04 @ $103.00)# (D , C) 02/15/08 9.000 57,500
1,000 Medex, Inc., Rule 144A, Senior Subordinated
Notes (Callable 5/15/08 @ $104.44)++ (B- , B3) 05/15/13 8.875 1,080,000
250 Medquest, Inc., Series B, Global Company
Guaranteed Notes (Callable 8/15/07 @ $105.94) (B- , B3) 08/15/12 11.875 273,750
150 Owens & Minor, Inc., Global Company
Guaranteed, Senior Subordinated Notes
(Callable 7/15/06 @ $104.13) (BB- , Ba3) 07/15/11 8.500 165,750
530 PacifiCare Health Systems, Inc., Global Company
Guaranteed Notes (Callable 6/01/06 @ $105.38) (B , B2) 06/01/09 10.750 612,150
150 Rotech Healthcare, Inc., Global Company
Guaranteed, Senior Subordinated Notes
(Callable 4/01/07 @ $104.75) (B+ , B2) 04/01/12 9.500 162,750
800 Select Medical Corp., Rule 144A, Senior
Subordinated Notes
(Callable 8/01/08 @ $103.75)++ (B , B2) 08/01/13 7.500 840,000
100 Senior Housing Properties Trust, Senior Notes (BB+ , Ba2) 01/15/12 8.625 109,500
350 Triad Hospital, Inc., Series B, Company
Guaranteed Notes (Callable 5/15/04 @ $105.50) (B- , B2) 05/15/09 11.000 387,800
250 Triad Hospital, Inc., Series B, Global Company
Guaranteed, Senior Subordinated Notes
(Callable 5/01/05 @ $104.38) (B- , B1) 05/01/09 8.750 271,875
500 Universal Hospital Services, Rule 144A, Senior
Notes (Callable 11/01/07 @ $105.06)++ (B- , B3) 11/01/11 10.125 525,000
</Table>
See Accompanying Notes to Financial Statements.
20
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
HEALTHCARE FACILITIES/SUPPLIES
$ 150 Vicar Operating, Inc., Company Guaranteed
Notes (Callable 12/01/05 @ $104.94) (B- , B3) 12/01/09 9.875 $ 168,000
-------------
13,470,550
-------------
HOME BUILDERS (1.0%)
380 Beazer Homes USA, Inc., Global Company
Guaranteed, Senior Notes
(Callable 4/15/07 @ $104.19) (BB , Ba2) 04/15/12 8.375 418,000
300 D.R. Horton, Inc., Global Company Guaranteed
Notes (Callable 4/15/07 @ $104.25) (BB , Ba1) 04/15/12 8.500 339,000
100 D.R. Horton, Inc., Senior Notes (BB , Ba1) 08/15/11 7.875 111,500
75 D.R. Horton, Inc., Series B, Company
Guaranteed Notes (BB , Ba1) 12/01/07 7.500 82,312
200 KB Home, Senior Subordinated Notes (BB- , Ba3) 12/15/08 8.625 222,500
20 Ryland Group, Inc., Senior Notes
(Callable 9/01/05 @ $104.88) (BB+ , Ba1) 09/01/10 9.750 23,000
150 Ryland Group, Inc., Senior Subordinated Notes
(Callable 6/15/06 @ $104.56) (BB+ , Ba2) 06/15/11 9.125 173,250
250 Technical Olympic USA, Inc., Global Company
Guaranteed Notes ( Callable 7/01/06 @ $104.50) (B+ , Ba3) 07/01/10 9.000 267,813
200 Toll Corp., Senior Subordinated Notes
(Callable 12/01/06 @ $104.12) (BB+ , Ba2) 12/01/11 8.250 223,000
350 WCI Communities, Inc., Global Company
Guaranteed, Senior Subordinated Notes
(Callable 5/01/07 @ $104.56) (B , Ba3) 05/01/12 9.125 385,000
500 William Lyon Homes, Inc., Company
Guaranteed Notes (Callable 4/01/08 @ $105.38) (B- , B3) 04/01/13 10.750 557,500
-------------
2,802,875
-------------
INDUSTRIAL - OTHER (1.4%)
550 Amsted Industries, Inc., Rule 144A, Senior Notes
(Callable 10/15/07 @ $105.12)++ (B , B3) 10/15/11 10.250 609,125
750 Gerdau Ameristeel Corp., Rule 144A, Senior Notes
(Callable 7/15/07 @ $105.38)++,~ (B+ , B2) 07/15/11 10.375 787,500
450 GSI Group, Inc., Company Guaranteed, Senior
Subordinated Notes
(Callable 11/01/03 @ $103.46) (CCC , Caa1) 11/01/07 10.250 330,750
587 Hexcel Corp., Global Company Guaranteed Notes
(Callable 4/01/06 @ $104.94) (B , B3) 10/01/08 9.875 654,505
350 International Utility Structures, Inc., Yankee
Senior Subordinated Notes
(Callable 2/01/04 @ $103.58)# (NR , NR) 02/01/08 10.750 76,125
350 Synagro Technologies, Inc., Global Senior
Subordinated Notes
(Callable 4/01/06 @ $104.75) (B , B3) 04/01/09 9.500 388,500
250 Tom Brown, Inc., Units
(Callable 9/15/08 @ $103.62) (BB- , Ba3) 09/15/13 7.250 262,500
</Table>
See Accompanying Notes to Financial Statements.
21
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
INDUSTRIAL - OTHER
$ 650 Tyco International Group SA, Yankee Company
Guaranteed Notes (BBB- , Ba2) 11/01/08 6.125 $ 686,563
-------------
3,795,568
-------------
LEISURE (3.7%)
300 AMC Entertainment, Inc., Global Senior
Subordinated Notes
(Callable 2/01/07 @ $104.94)~ (CCC+ , Caa2) 02/01/12 9.875 330,750
650 AMC Entertainment, Inc., Senior Subordinated
Notes (Callable 2/01/04 @ $104.75) (CCC+ , Caa2) 02/01/11 9.500 686,562
250 AMC Entertainment, Inc., Senior Subordinated
Notes (Callable 3/15/04 @ $102.38) (CCC+ , Caa2) 03/15/09 9.500 259,375
1,000 Bluegreen Corp., Series B, Company Guaranteed,
Senior Secured Notes
(Callable 4/01/04 @ $103.50) (B , B3) 04/01/08 10.500 1,015,000
710 Boca Resorts, Inc., Company Guaranteed, Senior
Subordinated Notes
(Callable 4/15/04 @ $104.94) (B- , B2) 04/15/09 9.875 763,250
800 Booth Creek Ski Holdings, Inc., Series B,
Company Guaranteed Notes
(Callable 3/15/04 @ $102.08) (CCC+ , Caa1) 03/15/07 12.500 800,000
750 Cinemark USA, Inc., Rule 144A, Global Senior
Subordinated Notes
(Callable 2/01/08 @ $104.50)++ (B- , B3) 02/01/13 9.000 825,000
175 Cinemark USA, Inc., Series B, Senior
Subordinated Notes
(Callable 8/01/04 @ $102.83) (B- , B3) 08/01/08 8.500 183,313
400 Icon Health & Fitness, Global Company
Guaranteed, Senior Subordinated Notes
(Callable 4/01/07 @ $105.62) (B- , B3) 04/01/12 11.250 438,000
1,100 Imax Corp., Yankee Senior Unsecured Notes
(Callable 12/01/03 @ $101.97) (CCC , Caa2) 12/01/05 7.875 1,116,500
300 Intrawest Corp., Global Company Guaranteed,
Senior Subordinated Notes
(Callable 2/01/05 @ $105.25) (B+ , B1) 02/01/10 10.500 331,125
450 Intrawest Corp., Rule 144A, Senior Notes
(Callable 10/15/08 @ $103.75)++ (B+ , B1) 10/15/13 7.500 453,375
135 Scientific Games Corp., Series B, Company
Guaranteed, Senior Subordinated Notes
(Callable 8/15/05 @ $106.25) (B , B2) 08/15/10 12.500 159,975
700 Six Flags, Inc., Global Senior Notes (B , B2) 04/15/13 9.750 689,500
400 Six Flags, Inc., Global Senior Notes
(Callable 2/01/06 @ $104.44) (B , B2) 02/01/10 8.875 382,000
1,000 Speedway Motorsports, Inc., Global Senior
Subordinated Notes
(Callable 6/01/08 @ $103.38) (B+ , Ba2) 06/01/13 6.750 1,022,500
</Table>
See Accompanying Notes to Financial Statements.
22
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
LEISURE
$ 600 Town Sports International, Inc., Rule 144A,
Senior Notes (Callable 4/15/07 @ $104.81)++ (B- , B2) 04/15/11 9.625 $ 645,750
-------------
10,101,975
-------------
LODGING (2.1%)
670 Aztar Corp., Senior Subordinated Notes
(Callable 5/15/04 @ $102.96) (B+ , Ba3) 05/15/07 8.880 703,500
340 Extended Stay America, Inc., Senior
Subordinated Notes (Callable 3/15/04 @ $103.05) (B , B2) 03/15/08 9.150 355,300
500 Host Marriott Corp., Rule 144A, Senior Notes
(Callable 11/01/08 @ $103.56)++ (B+ , Ba3) 11/01/13 7.125 501,875
200 Host Marriott Corp., Series B, Company
Guaranteed Notes (Callable 8/01/04 @ $102.66) (B+ , Ba3) 08/01/08 7.875 207,500
350 Host Marriott Corp., Series I, Global Company
Guaranteed Notes (B+ , Ba3) 01/15/07 9.500 389,375
900 Inn of The Mountain Gods, Rule 144A, Senior
Notes (Callable 11/15/07 @ $106.00)++ (B , Caa1) 11/15/10 12.000 945,000
200 John Q. Hammons Hotels, Series B, Global Notes,
First Mortgage (Callable 5/15/07 @ $104.44) (B , B2) 05/15/12 8.875 219,000
250 MeriStar Hospitality Corp., Global Company
Guaranteed Notes (B- , B2) 01/15/08 9.000 263,750
100 MGM Mirage, Inc., Company Guaranteed Notes~ (BB+ , Ba2) 02/01/11 8.375 112,000
100 Park Place Entertainment Corp., Senior
Subordinated Notes (BB- , Ba2) 12/15/05 7.875 106,375
700 Prime Hospitality Corp., Series B, Global Senior
Subordinated Notes (Callable 5/01/07 @ $104.19) (B , B1) 05/01/12 8.375 717,500
500 Sheridan Acquisition Corp., Rule 144A, Secured
Notes (Callable 8/15/07 @ $105.13)++ (B , B1) 08/15/11 10.250 525,000
250 Southern Star Cent Corp., Rule 144A, Secured
Notes (Callable 8/01/07 @ $104.25)++ (B+ , B1) 08/01/10 8.500 266,250
100 Starwood Hotels + Resorts Worldwide, Inc.,
Global Company Guaranteed, Senior Notes (BBB- , Ba1) 05/01/12 8.375 111,000
200 Vail Resorts, Inc., Company Guaranteed, Senior
Subordinated Notes (Callable 5/15/04 @ $104.38) (B , B2) 05/15/09 8.750 211,250
-------------
5,634,675
-------------
MACHINERY (0.3%)
1,085 Motors & Gears, Inc., Series D, Senior Notes
(Callable 11/15/03 @ $101.79) (B- , Caa1) 11/15/06 10.750 895,125
-------------
METALS & MINING (1.0%)
555 AK Steel Corp., Company Guaranteed Notes
(Callable 2/15/04 @ $103.94)~ (BB , B1) 02/15/09 7.875 391,275
350 AK Steel Corp., Global Company Guaranteed,
Senior Secured Notes
(Callable 6/15/07 @ $103.88) (BB , B1) 06/15/12 7.750 239,750
</Table>
See Accompanying Notes to Financial Statements.
23
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
METALS & MINING
$ 750 IPSCO, Inc., Rule144A, Senior Notes
(Callable 6/01/08 @ $104.38)++ (BB+ , Ba3) 06/01/13 8.750 $ 810,000
650 Jarden Corp., Global Company Guaranteed Notes
(Callable 5/01/07 @ $104.88) (B- , B3) 05/01/12 9.750 713,375
500 Metallurg, Inc., Series B, Company Guaranteed,
Senior Notes (Callable 12/01/03 @ $103.67) (CCC+ , Caa2) 12/01/07 11.000 242,500
100 Ormet Corp., Rule 144A, Company Guaranteed,
Senior Secured Notes
(Callable 8/15/04 @ $103.67)++,# (NR , NR) 08/15/08 11.000 23,500
350 UCAR Finance, Inc., Global Company Guaranteed
Notes (Callable 2/15/07 @ $105.13) (B , B3) 02/15/12 10.250 389,375
-------------
2,809,775
-------------
MISCELLANEOUS MANUFACTURING (0.1%)
250 Collins & Aikman Floorcovering, Global Company
Guaranteed Notes (Callable 2/15/06 @ $104.88) (B , B2) 02/15/10 9.750 266,250
-------------
OIL EQUIPMENT (0.8%)
750 Key Energy Services, Inc., Senior Notes (BB , Ba2) 05/01/13 6.375 757,500
158 Key Energy Services, Inc., Series B, Company
Guaranteed Notes (Callable 1/15/04 @ $107.00) (B+ , B2) 01/15/09 14.000 171,430
500 Parker Drilling Co., Rule 144A, Senior Notes
(Callable 10/01/08 @ $104.81)++ (B- , B2) 10/01/13 9.625 516,250
420 Parker Drilling Co., Series B, Company
Guaranteed, Senior Notes
(Callable 11/15/04 @ $105.06) (B- , B1) 11/15/09 10.125 441,000
189 Pride International, Inc., Senior Notes
(Callable 5/01/04 @ $101.56) (BB , Ba2) 05/01/07 9.375 195,615
-------------
2,081,795
-------------
PAPER & FOREST PRODUCTS (2.3%)
681 Ainsworth Lumber Co., Ltd., Yankee Senior Notes (B- , B3) 07/15/07 12.500 784,276
440 Appleton Papers, Inc., Series B, Global Company
Guaranteed Notes (Callable 12/15/05 @ $106.25) (B+ , B3) 12/15/08 12.500 488,400
750 Boise Cascade Corp., Senior Notes
(Callable 11/01/08 @ $103.50) (BB+ , Ba2) 11/01/13 7.000 769,558
1,200 Bowater, Inc., Rule 144A, Senior Notes++ (BB+ , Ba1) 06/15/13 6.500 1,105,246
250 Caraustar Industries, Inc., Global Company
Guaranteed, Senior Subordinated Notes
(Callable 4/01/06 @ $105.25) (B+ , B2) 04/01/11 9.875 262,500
250 Georgia-Pacific Corp., Global Company
Guaranteed Notes (Callable 2/01/08 @ $104.69) (BB+ , Ba2) 02/01/13 9.375 290,000
200 Georgia-Pacific Corp., Notes (BB+ , Ba3) 05/15/06 7.500 212,000
400 Longview Fibre Co., Global Senior Subordinated
Notes (Callable 1/15/06 @ $105.00) (B+ , B2) 01/15/09 10.000 454,000
250 MDP Acquisitions PLC, Rule 144A, Global Senior
Notes (Callable 10/01/07 @ $104.81)++ (B , B2) 10/01/12 9.625 278,750
</Table>
See Accompanying Notes to Financial Statements.
24
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
PAPER & FOREST PRODUCTS
$ 300 Norske Skog, Canada, Ltd., Series D, Global
Company Guaranteed Notes
(Callable 6/15/06 @ $104.31) (BB , Ba2) 06/15/11 8.625 $ 309,000
150 Stone Container Corp., Global Senior Notes
(Callable 2/01/06 @ $104.88) (B , B2) 02/01/11 9.750 164,250
140 Stone Container Corp., Global Senior Notes
(Callable 7/01/07 @ $104.19) (B , B2) 07/01/12 8.375 148,400
250 Stone Container Corp., Rule 144A, Company
Guaranteed Notes (Callable 8/15/04 @ $100.00)++ (B , B2) 08/15/06 11.500 265,625
700 Tembec Industries, Inc., Yankee Company
Guaranteed, Senior Unsecured Notes
(Callable 6/30/04 @ $104.31) (BB+ , Ba1) 06/30/09 8.625 686,000
-------------
6,218,005
-------------
PHARMACEUTICALS (0.2%)
100 aaiPharma, Inc., Global Company Guaranteed
Notes (Callable 4/01/06 @ $105.50) (B- , Caa1) 04/01/10 11.000 111,500
500 Alpharma, Inc., Rule 144A, Senior Notes
(Callable 5/01/07 @ $104.31)++ (B+ , B3) 05/01/11 8.625 501,250
-------------
612,750
-------------
PUBLISHING (2.4%)
600 American Color Graphics, Rule 144A, Notes
(Callable 6/15/07 @ $105)++ (B , B3) 06/15/10 10.000 646,500
750 Canwest Media, Inc., Series B, Global Company
Guaranteed Notes (Callable 4/15/08 @ $103.81) (B- , B1) 04/15/13 7.625 823,125
200 Dex Media East LLC, Global Company Guaranteed
Notes (Callable 11/15/06 @ $104.94) (B , B2) 11/15/09 9.875 227,500
600 Haights Cross Operating, Rule 144A,
Senior Notes (Callable 8/15/08 @ $105.88)++ (CCC+ , Caa1) 08/15/11 11.750 627,000
600 Hollinger, Inc., Rule 144A, Senior Notes
(Callable 3/01/07 @ 105.94)++ (B , B3) 03/01/11 11.875 663,000
250 Houghton Mifflin Co., Global Senior Subordinated
Notes (Callable 2/01/08 @ $104.94) (B , B3) 02/01/13 9.875 271,563
550 Liberty Group Operating, Inc., Company
Guaranteed Notes (Callable 2/01/04 @ $103.125) (CCC+ , Caa1) 02/01/08 9.375 547,250
500 Moore North American Finance, Rule 144A,
Senior Notes (Callable 1/15/07 @ $103.94)++ (BB- , B1) 01/15/11 7.875 542,500
750 Morris Publishing Group LLC, Rule 144A, Senior
Subordinated Notes
(Callable 8/01/08 @ $103.50)++ (B+ , Ba3) 08/01/13 7.000 768,750
425 Primedia, Inc., Global Company Guaranteed,
Senior Unsecured Notes
(Callable 5/15/06 @ $104.44) (B , B3) 05/15/11 8.875 440,937
500 Primedia, Inc., Rule 144A, Senior Notes
(Callable 5/15/08 @ $104.00)++ (B , B3) 05/15/13 8.000 511,250
</Table>
See Accompanying Notes to Financial Statements.
25
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
PUBLISHING
$ 375 Sun Media Corp., Rule 144A, Senior Notes
(Callable 2/15/08 @ $103.81)++ (B- , Ba3) 02/15/13 7.625 $ 403,125
-------------
6,472,500
-------------
RESTAURANTS (0.7%)
552 American Restaurant Group, Inc., Series D,
Company Guaranteed Notes
(Callable 11/01/04 @ $105.75) (B- , B3) 11/01/06 11.500 389,160
250 CKE Restaurants, Inc., Company Guaranteed
Notes (Callable 5/01/04 @ $104.56) (CCC+ , B3) 05/01/09 9.125 255,000
600 Friendly Ice Cream Corp., Company Guaranteed,
Senior Notes (Callable 12/01/03 @ $103.50) (B- , B3) 12/01/07 10.500 624,750
450 Perkins Family Restaurant LP, Series B, Senior
Notes (Callable 12/15/03 @ $103.38)~ (B+ , B1) 12/15/07 10.125 452,250
330 Sbarro, Inc., Company Guaranteed, Senior Notes
(Callable 9/15/04 @ $105.50)~ (B+ , B2) 09/15/09 11.000 287,513
-------------
2,008,673
-------------
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 9.125 382,500
300 Herbalife International, Inc., Global Company
Guaranteed Notes (Callable 7/15/06 @ $105.88) (B , B3) 07/15/10 11.750 346,500
400 Merisant Co., Rule 144A, Company Guaranteed
Notes (Callable 7/15/08 @ $104.75)++ (B , B2) 07/15/13 9.500 434,000
200 Nutritional Sourcing Corp., Notes
(Callable 6/05/04 @ $102.00) (NR , NR) 08/01/09 10.125 137,000
50 Pantry, Inc., Company Guaranteed Notes
(Callable 10/15/04 @ $101.71) (B- , B3) 10/15/07 10.250 52,000
800 Rite Aid Corp., Rule 144A, Global Secured Notes
(Callable 5/01/07 @ $104.06)++ (B+ , B2) 05/01/10 8.125 860,000
600 Rite Aid Corp., Rule 144A, Notes++ (B- , Caa2) 12/15/08 6.125 576,000
100 Swift & Co., Global Company Guaranteed Notes
(Callable 10/01/06 @ $105.06) (B+ , B1) 10/01/09 10.125 113,000
600 Swift & Co., Rule 144A, Senior Subordinated
Notes (Callable 10/01/06 @ $106.25)++ (B , B2) 01/01/10 12.500 684,000
-------------
3,585,000
-------------
RETAIL STORES (1.8%)
450 AutoNation, Inc., Global Company
Guaranteed Notes (BB+ , Ba2) 08/01/08 9.000 515,250
250 Cole National Group, Inc., Global Senior
Subordinated Notes (Callable 5/15/07 @ $104.44) (B , B2) 05/15/12 8.875 266,875
100 CSK Auto, Inc., Global Company Guaranteed
Notes (Callable 12/15/04 @ $106.00) (B , B2) 06/15/06 12.000 113,000
66 Dillard's, Inc., Notes (BB+ , Ba3) 08/01/04 6.430 67,650
</Table>
See Accompanying Notes to Financial Statements.
26
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
RETAIL STORES
$ 250 Jostens, Inc., Senior Subordinated Notes
(Callable 5/01/05 @ $106.38) (B , B3) 05/01/10 12.750 $ 291,250
755 Leslie's Poolmart, Senior Notes
(Callable 7/15/05 @ $102.59) (B- , B2) 07/15/08 10.375 758,775
100 Michaels Stores, Inc., Senior Notes
(Callable 7/01/05 @ $104.62) (BB , Ba1) 07/01/09 9.250 110,750
800 Nebraska Book Co., Senior Subordinated Notes
(Callable 2/15/04 @ $102.92) (B- , B3) 02/15/08 8.750 828,000
500 Pep Boys - Manny, Moe & Jack, Notes (BB- , B2) 06/01/05 7.000 508,750
500 Pep Boys - Manny, Moe & Jack, Series
MTNB, Notes (BB- , B2) 07/07/06 6.920 506,250
800 United Auto Group, Inc., Global Company
Guaranteed, Senior Secured Notes
(Callable 3/15/07 @ $104.81) (B , B3) 03/15/12 9.625 888,000
-------------
4,854,550
-------------
SATELLITE (0.9%)
750 EchoStar DBS Corp., Rule 144A, Senior Notes++ (BB- , Ba3) 10/01/11 6.375 750,000
750 EchoStar DBS Corp., Senior Notes
(Callable 2/01/04 @ $104.69) (BB- , Ba3) 02/01/09 9.375 796,875
575 Pegasus Communications Corp., Senior Notes
(Callable 8/01/04 @ $104.17) (CCC- , Ca) 08/01/07 12.500 485,875
100 Pegasus Communications Corp., Series B,
Senior Notes (CCC- , Ca) 10/15/05 9.625 83,750
100 Pegasus Communications Corp., Series B, Senior
Notes (Callable 12/01/03 @ $103.25) (CCC- , Ca) 12/01/06 9.750 83,500
100 Pegasus Satellite Communication, Global Senior
Notes (Callable 8/01/04 @ $110.00) (CCC- , Ca) 08/01/06 12.375 85,500
350 Pegasus Satellite Communication, Senior
Discount Notes (Callable 3/01/04 @ $106.75)| (CCC- , C) 03/01/07 13.500 247,625
-------------
2,533,125
-------------
SECONDARY OIL & GAS PRODUCERS (1.9%)
250 Compton Petroleum Corp., Global Senior Notes
(Callable 5/15/06 @ $104.95) (B , B2) 05/15/09 9.900 275,000
650 Continental Resources, Inc., Company
Guaranteed, Senior Subordinated Notes
(Callable 8/01/04 @ $103.42) (CCC+ , Caa1) 08/01/08 10.250 641,875
300 Forest Oil Corp., Global Senior Notes (BB , Ba3) 06/15/08 8.000 322,500
250 Houston Exploration Co., Rule 144A, Senior
Subordinated Notes
(Callable 6/15/08 @ $103.50)++ (B+ , B2) 06/15/13 7.000 254,375
106 Magnum Hunter Resources, Inc., Company
Guaranteed, Senior Notes
(Callable 6/01/04 @ $101.67)~ (B+ , B2) 06/01/07 10.000 110,107
</Table>
See Accompanying Notes to Financial Statements.
27
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
SECONDARY OIL & GAS PRODUCERS
$ 1,000 Plains Exploration & Production Company LP,
Global Senior Subordinated Notes
(Callable 7/01/07 @ $104.38) (B , B2) 07/01/12 8.750 $ 1,095,000
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 8.750 219,000
150 Pogo Producing Co., Series B, Senior
Subordinated Notes
(Callable 4/15/06 @ $104.13) (BB , Ba3) 04/15/11 8.250 166,500
250 SEMCO Energy, Inc., Rule 144A, Senior Notes++ (BB , Ba2) 05/15/08 7.125 256,250
500 SEMCO Energy, Inc., Rule 144A, Senior Notes
(Callable 5/15/08 @ $103.88)++ (BB , Ba2) 05/15/13 7.750 517,500
200 Vintage Petroleum, Inc., Global Senior
Subordinated Notes
(Callable 5/15/06 @ $103.94) (B , B1) 05/15/11 7.875 212,500
1,000 Wiser Oil Co., Company Guaranteed, Senior
Subordinated Notes
(Callable 5/15/04 @ $101.58) (CCC+ , Caa3) 05/15/07 9.500 970,000
-------------
5,040,607
-------------
SERVICES-OTHER (5.2%)
188 AP Holdings, Inc., Senior Discount Notes
(Callable 3/15/04 @ 103.75)# (NR , C) 03/15/08 11.250 29,140
650 Aviall, Inc., Senior Notes
(Callable 7/01/07 @ $103.81) (BB , B1) 07/01/11 7.625 680,875
400 Brand Services, Inc., Global Company Guaranteed
Notes (Callable 10/15/07 @ $106.00) (B- , B3) 10/15/12 12.000 448,000
200 Brickman Group, Ltd., Series B, Global Company
Guaranteed Notes (Callable 12/15/06 @ $105.88) (B , B2) 12/15/09 11.750 229,000
300 Casella Waste Systems, Inc., Global Senior
Subordinated Notes (Callable 2/01/08 @ $104.88) (B , B3) 02/01/13 9.750 330,000
500 Corrections Corporation of America, Rule 144A,
Senior Notes (Callable 5/01/07 @ $103.75)++ (B , B1) 05/01/11 7.500 525,000
500 Corrections Corporation of America, Senior Notes
(Callable 5/01/07 @ $103.75) (B , B1) 05/01/11 7.500 525,000
300 Diamond Triumph Auto Glass, Inc., Company
Guaranteed Notes (Callable 4/01/04 @ $103.08) (B , B3) 04/01/08 9.250 271,500
500 Great Lakes Dredge & Dock, Company
Guaranteed, Senior Subordinated Notes
(Callable 8/15/04 @ $103.75) (B- , B3) 08/15/08 11.250 530,000
500 IESI Corp., Global Company Guaranteed Notes
(Callable 6/15/07 @ $105.13) (B- , B3) 06/15/12 10.250 543,750
1,000 Iron Mountain, Inc., Company Gauranteed Notes
(Callable 1/15/08 @ $103.88) (B , B2) 01/15/15 7.750 1,072,500
</Table>
See Accompanying Notes to Financial Statements.
28
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
SERVICES-OTHER
$ 325 Iron Mountain, Inc., Company Guaranteed Notes
(Callable 4/01/06 @ $104.31) (B , B2) 04/01/13 8.625 $ 356,687
800 Iron Mountain, Inc., Company Guaranteed Notes
(Callable 7/01/08 @ $103.31) (B , B2) 01/01/16 6.625 784,000
945 La Petite Academy, Inc., Series B, Company
Guaranteed Notes (Callable 5/15/04 @ $103.33) (CC , Ca) 05/15/08 10.000 581,175
600 LNR Property Corp., Rule 144A, Senior
Subordinated Notes
(Callable 10/15/08 @ $103.63)++ (B+ , Ba3) 10/15/13 7.250 609,000
250 Mail-Well, Inc., Global Company Guaranteed
Notes (Callable 3/15/07 @ $104.81) (BB- , B1) 03/15/12 9.625 281,875
250 Mail-Well, Inc., Series B, Company Guaranteed,
Senior Subordinated Notes
(Callable 12/15/03 @ $104.38)~ (B , B3) 12/15/08 8.750 253,125
1,000 Muzak LLC/Muzak Finance, Global Senior Notes
(Callable 2/15/06 @ $105.00) (B- , B3) 02/15/09 10.000 1,057,500
200 Protection One Alarm Monitor, Series B, Global
Company Guaranteed Notes~ (CCC+ , Caa3) 01/15/09 8.125 155,000
800 Quintiles Transnational Corp., Rule 144A, Senior
Subordinated Notes
(Callable 10/01/08 @ $105.00)++ (B , B3) 10/01/13 10.000 848,000
700 Rent-A-Center, Inc., Series B, Global Company
Guaranteed Notes (Callable 5/01/06 @ $103.75) (B+ , B1) 05/01/10 7.500 745,500
1,000 Salton, Inc., Global Senior Subordinated Notes
(Callable 4/15/05 @ $106.13)~ (B- , B3) 04/15/08 12.250 990,000
250 Standard Parking Corp., Company Guaranteed,
Senior Subordinated Notes
(Callable 3/15/04 @ $103.08) (CC , Caa3) 03/15/08 9.250 98,750
1,000 United Rentals, Inc., Rule 144A, Senior
Subordinated Notes
(Callable 11/15/08 @ $103.88)++ (B+ , B2) 11/15/13 7.750 1,002,500
200 United Rentals, Inc., Series B, Company
Guaranteed, Senior Subordinated Notes
(Callable 1/15/04 @ $104.63)~ (B+ , B2) 01/15/09 9.250 211,500
250 Volume Services America, Inc., Company
Guaranteed, Senior Subordinated Notes
(Callable 3/01/04 @ $105.62) (B- , B3) 03/01/09 11.250 268,750
1,015 Werner Holding Co., Inc., Series A, Company
Guaranteed Notes (Callable 11/15/03 @ $103.33)~ (B- , B2) 11/15/07 10.000 766,325
-------------
14,194,452
-------------
TECHNOLOGY (1.8%)
200 AMI Semiconductor, Inc., Global Company
Guaranteed Notes (Callable 2/1/08 @ $105.38) (B , B3) 02/01/13 10.750 233,000
200 Amkor Technology, Inc., Rule 144A, Global Senior
Notes (Callable 5/15/08 @ $103.88)++ (B , B1) 02/15/08 9.250 225,000
</Table>
See Accompanying Notes to Financial Statements.
29
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
TECHNOLOGY
$ 800 Amkor Technology, Inc., Rule 144A, Senior Notes
(Callable 5/15/08 @ $103.88)++~ (B , B1) 05/15/13 7.750 $ 856,000
500 DigitalNet Holdings, Inc., Rule 144A,
Senior Notes (Callable 7/15/07 @ $104.50)++ (B , B2) 07/15/10 9.000 547,500
925 Lucent Technologies, Inc., Notes~ (B- , Caa1) 07/15/06 7.250 948,125
1,000 Lucent Technologies, Inc., Notes~ (B- , Caa1) 11/15/08 5.500 935,000
250 Sanmina-SCI Corp., Rule 144A, Secured Notes
(Callable 1/15/07 @ $105.19)++ (BB- , Ba2) 01/15/10 10.375 296,250
750 Thomas & Betts Corp., Notes
(Callable 6/01/08 @ $103.63) (BBB- , Ba1) 06/01/13 7.250 768,750
-------------
4,809,625
-------------
TEXTILE/APPAREL/SHOE MANUFACTURING (2.1%)
200 Advanced Glassfiber Yarns LLC, Senior
Subordinated Notes
(Callable 1/15/04 @ $105.06)# (NR , NR) 01/15/09 9.875 11,000
200 BGF Industries, Inc., Series B, Senior
Subordinated Notes
(Callable 1/15/04 @ $105.25) (CC , Ca) 01/15/09 10.250 148,000
300 Levi Strauss & Co., Global Senior Notes
(Callable 1/15/05 @ $105.81)~ (B , Ca) 01/15/08 11.625 259,500
850 Levi Strauss & Co., Global Senior Notes
(Callable 12/15/07 @ $106.13)~ (B , Ca) 12/15/12 12.250 709,750
1,000 Oxford Industries, Inc., Rule 144A, Senior Notes
(Callable 6/01/07 @ $104.44)++ (B , B2) 06/01/11 8.875 1,081,250
500 Perry Ellis International, Inc., Rule 144A, Senior
Subordinated Notes
(Callable 9/15/08 @ $104.44)++ (B- , B3) 09/15/13 8.875 521,250
1,000 Phillips-Van Heusen Corp, Rule 144A,
Senior Notes (Callable 5/01/08 @ $104.06)++ (BB- , B2) 05/01/13 8.125 1,060,000
200 Russell Corp., Global Company Guaranteed Notes
(Callable 5/01/06 @ $104.63) (BB , B1) 05/01/10 9.250 211,000
315 Simmons Co., Series B, Senior Subordinated
Notes (Callable 3/15/04 @ $105.12) (B- , B2) 03/15/09 10.250 337,050
350 Tropical Sportswear International Corp., Series A,
Company Guaranteed, Senior Subordinated
Notes (Callable 6/15/04 @ $103.67) (B- , B3) 06/15/08 11.000 332,500
900 Warnaco, Inc., Rule 144A, Senior Notes
(Callable 6/15/08 @ $104.44)++ (B , B2) 06/15/13 8.875 967,500
-------------
5,638,800
-------------
TRANSPORTATION/OTHER (0.6%)
150 Kansas City Southern Railway, Global Company
Guaranteed, Senior Notes (BB- , Ba2) 10/01/08 9.500 165,750
500 North American Van Lines, Inc., Global Company
Guaranteed Notes (Callable 12/01/04 @ $106.69) (B- , B3) 12/01/09 13.375 577,500
</Table>
See Accompanying Notes to Financial Statements.
30
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
TRANSPORTATION/OTHER
$ 500 Overseas Shipholding Group, Inc., Rule 144A,
Senior Notes (Callable 3/15/08 @ $104.12)++ (BB+ , Ba1) 03/15/13 8.250 $ 532,500
300 Teekay Shipping Corp., Global Senior Notes (BB- , Ba2) 07/15/11 8.875 337,500
250 Ultrapetrol (Bahamas), Ltd., First Mortgage
Notes (Callable 4/01/04 @ $103.50)^ (BB- , B1) 04/01/08 10.500 150,000
-------------
1,763,250
-------------
UTILITIES (4.5%)
169 AES Corp., Rule 144A, Secured Notes
(Callable 12/15/04 @ $100.00)++ (BB , B2) 07/15/05 10.000 175,169
750 AES Corp., Rule 144A, Senior Secured Notes
(Callable 5/15/08 @ $104.50)++ (B+ , B2) 05/15/15 9.000 806,250
849 AES Corp., Senior Notes (B- , B3) 12/31/08 8.000 844,755
77 AES Corp., Senior Unsecured Notes~ (B- , B3) 06/01/09 9.500 82,390
31 AES Corp., Senior Unsecured Notes (B- , B3) 02/15/11 8.875 32,008
134 Caithness Coso Fund Corp., Series B,
Senior Secured Notes (BB , Ba3) 12/15/09 9.050 143,768
1,250 Calpine Corp., Rule 144A, Secured Notes
(Callable 7/15/07 @ $104.25)++,~ (B , NR) 07/15/10 8.500 1,150,000
450 Calpine Corp., Senior Notes~ (B+ , B1) 04/15/09 7.750 315,000
265 Calpine Corp., Senior Notes~ (B+ , B1) 08/15/10 8.625 190,137
1,075 Calpine Corp., Senior Notes~ (B+ , B1) 02/15/11 8.500 774,000
500 CMS Energy Corp., Rule 144A, Senior Notes++ (B+ , B3) 08/01/10 7.750 511,250
300 CMS Energy Corp., Senior Notes~ (B+ , B3) 11/15/04 7.625 307,500
500 CMS Energy Corp., Senior Notes (B+ , B3) 07/15/08 8.900 530,000
790 CMS Energy Corp., Senior Notes~ (B+ , B3) 01/15/09 7.500 807,775
987 Cogentrix Energy, Inc., Series B, Company
Guaranteed, Senior Notes (BB , B1) 10/15/08 8.750 1,000,571
272 ESI Tractebel Acquisition Corp., Series B,
Company Guaranteed Notes
(Callable 6/30/08 @ $101.84) (BB , Ba1) 12/30/11 7.990 282,200
1,700 Mirant Americas Generation Corp., Senior Notes~ (B , B3) 05/01/06 7.625 1,419,500
252 National Waterworks, Inc., Series B, Global
Company Guaranteed Notes
(Callable 12/01/07 @ $105.25) (B , B3) 12/01/12 10.500 283,500
650 Prestolite Electric, Inc., Company Guaranteed
Notes (Callable 2/01/04 @ $103.21) (B- , Caa1) 02/01/08 9.625 654,063
900 PSEG Energy Holdings LLC, Global Notes (BB- , Ba3) 04/16/07 7.750 913,500
1,050 TNP Enterprises, Inc., Senior Subordinated Notes
(Callable 4/01/05 @ $105.13) (BB+ , Ba3) 04/01/10 10.250 1,113,000
-------------
12,336,336
-------------
WIRELESS (4.2%)
600 AirGate PCS, Inc., Senior Subordinated Notes
(Callable 10/01/04 @ $106.75)| (CC , Caa2) 10/01/09 13.500 408,000
</Table>
See Accompanying Notes to Financial Statements.
31
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
CORPORATE BONDS
WIRELESS
$ 1,095 Alamosa Holdings, Inc., Company Guaranteed,
Senior Subordinted Notes
(Callable 2/15/05 @ $106.44)| (C , Caa3) 02/15/10 12.875 $ 859,575
600 Centennial Communications, Rule 144A, Company
Guaranteed Notes
(Callable 6/15/08 @ $105.06)++ (CCC+ , Caa1) 06/15/13 10.125 624,000
450 Centennial Communications, Senior Subordinated
Notes (Callable 12/15/03 @ $105.38)~ (CCC+ , Caa2) 12/15/08 10.750 452,250
1,000 Dobson Communications Corp., Rule 144A,
Senior Notes (Callable 10/01/08 @ $104.44)++ (CCC+ , B3) 10/01/13 8.875 1,020,000
500 iPCS, Inc., Senior Discount Notes
(Callable 7/15/05 @ $107.00)# (D , Ca) 07/15/10 14.000 52,500
950 IWO Holdings, Inc., Global Company Guaranteed,
Senior Notes (Callable 1/15/06 @ $107.00) (C , Ca) 01/15/11 14.000 171,000
250 Nextel Communications, Inc., Senior Discount
Notes (Callable 2/15/04 @ $103.32) (B , B3) 02/15/08 9.950 263,750
200 Nextel Communications, Inc., Senior Notes
(Callable 11/15/04 @ $104.69) (B+ , B2) 11/15/09 9.375 219,000
750 Nextel Communications, Inc., Senior Notes
(Callable 8/01/08 @ $103.69) (B+ , B2) 08/01/15 7.375 783,750
1,500 Nextel Partners, Inc., Rule 144A, Senior Notes
(Callable 7/01/07 @ $104.06)++,~ (CCC+ , Caa1) 07/01/11 8.125 1,548,750
850 Nextel Partners, Inc., Senior Notes
(Callable 3/15/05 @ $105.50)~ (CCC+ , Caa1) 03/15/10 11.000 945,625
400 Rogers Cantel, Inc., Yankee Senior Notes,
Debentures (Callable 6/01/04 @ $103.13) (BB+ , Ba3) 06/01/08 9.375 420,500
125 Rogers Wireless Communications, Inc.,
Global Secured Notes (BB+ , Ba3) 05/01/11 9.625 145,625
800 Rural Cellular Corp., Global Senior Subordinated
Notes ( Callable 1/15/06 @ $104.88)~ (CCC+ , Caa1) 01/15/10 9.750 720,000
250 Triton PCS, Inc., Global Company Guaranteed
Notes (Callable 11/15/06 @ $104.38)~ (B- , B3) 11/15/11 8.750 241,250
200 Triton PCS, Inc., Global Company Guaranteed
Notes (Callable 2/01/06 @ $104.69)~ (B- , B3) 02/01/11 9.375 198,500
800 Triton PCS, Inc., Global Company Guaranteed
Notes (Callable 6/01/08 @ $104.25) (B+ , B2) 06/01/13 8.500 846,000
1,080 US Unwired, Inc., Series B, Company Guaranteed,
Senior Discount Notes
(Callable 11/01/04 @ $106.69)| (C , Caa2) 11/01/09 13.375 707,400
800 Western Wireless Corp., Rule 144A, Senior Notes
(Callable 7/15/08 @ $104.62)++ (CCC , Caa2) 07/15/13 9.250 840,000
-------------
11,467,475
-------------
TOTAL CORPORATE BONDS (Cost $241,539,593) 256,670,303
-------------
</Table>
See Accompanying Notes to Financial Statements.
32
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
----- ------------- -------- ----- -----
FOREIGN BONDS (0.3%)
CABLE (0.1%)
$ 300 Videotron LTEE, Rule 144A, Senior Notes
(Callable 1/15/09 @ $103.44) (Canada)++ (B+ , Ba3) 01/15/14 6.875 $ 311,250
-------------
CHEMICALS (0.2%)
550 Acetex Corp., Rule 144A, Senior Notes
(Callable 8/1/05 @ $105.44) (Euro)++ (B+ , B2) 08/01/09 10.875 618,750
-------------
TOTAL FOREIGN BONDS (Cost $897,875) 930,000
-------------
CONVERTIBLE BONDS (0.5%)
COMPETITIVE LOCAL EXCHANGE CARRIER (CLEC) (0.3%)
1,000 Nortel Networks Corp., Global Notes
(Callable 9/07/04 @ $102.12) (B , B3) 09/01/08 4.250 952,290
-------------
OIL EQUIPMENT (0.2%)
450 Key Energy Services, Inc. (B+ , Ba3) 09/15/04 5.000 435,420
-------------
TOTAL CONVERTIBLE BONDS (Cost $1,336,458) 1,387,710
-------------
<Caption>
NUMBER
OF
SHARES
------
COMMON STOCKS (0.1%)
SECONDARY OIL & GAS PRODUCERS (0.0%)
1,176 Southwest Royalties, Inc.*^ 17,793
-------------
WIRELESS (0.1%)
22,527 Dobson Communications Corp., Class A* 195,312
-------------
TOTAL COMMON STOCKS (Cost $183,821) 213,105
-------------
PREFERRED STOCKS (0.4%)
BROADCAST/OUTDOOR (0.4%)
106 Paxson Communications Corp.* 999,050
-------------
WIRELESS (0.0%)
24,000 Dobson Communications Corp.* 25,740
350 Dobson Communications Corp., Rule 144A
(Callable 8/19/05 @ $106.00)++ 71,050
-------------
96,790
-------------
TOTAL PREFERRED STOCKS (Cost $942,983) 1,095,840
-------------
</Table>
See Accompanying Notes to Financial Statements.
33
<Page>
<Table>
<Caption>
NUMBER OF
SHARES MATURITY RATE% VALUE
------ -------- ----- -----
WARRANTS (0.0%)
BROADBAND (0.0%)
100 GT Group Telecom, Inc., Rule 144A, expires
February 2010*,++(Cost $2,500) $ 88
-------------
<Caption>
PAR
(000)
-----
SHORT-TERM INVESTMENTS (14.4%)
$ 5,423 State Street Bank and Trust Co.
Euro Time Deposit 11/03/03 0.750 5,423,000
33,625 Suntrust Bank Time Deposit~~ 11/03/03 1.031 33,625,105
-------------
TOTAL SHORT-TERM INVESTMENTS (Cost $39,048,105) 39,048,105
-------------
TOTAL INVESTMENTS AT VALUE (110.1%) (Cost $283,951,335) 299,345,151
LIABILITIES IN EXCESS OF OTHER ASSETS (-10.1%) (27,401,732)
-------------
NET ASSETS (100.0%) $ 271,943,419
=============
</Table>
+ Credit ratings given by the Standard & Poor's Division of The McGraw-Hill
Companies, Inc. ("S&P") and Moody's Investors Service, Inc. ("Moody") 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 October 31,
2003, these securities amounted to a value of $86,139,349 or 31.7% of net
assets.
| Step Bond - The interest rate is as of October 31, 2003 and will reset at a
future date.
# Security in default.
* Non-income producing security.
^ Not readily marketable security; security is valued at fair value as
determined in good faith by the Board of Trustees.
~ Security or portion thereof is out on loan.
~~ Represents security purchased with cash collateral received for securities on
loan
See Accompanying Notes to Financial Statements.
34
<Page>
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2003
<Table>
ASSETS
Investments at value, including collateral for securities on loan of
$33,625,105 (Cost $283,951,335) (Note 1) $ 299,345,151(1)
Cash 555
Interest receivable 6,410,913
Receivable for fund shares sold 4,308,038
Receivable for investments sold 267,828
Receivable from Investment adviser (Note 2) 208,599
Prepaid expenses and other assets 33,521
---------------
Total Assets 310,574,605
---------------
LIABILITIES
Administrative services fee payable (Note 2) 72,698
Distribution fee payable (Note 2) 140,688
Payable upon return of securities loaned (Note 1) 33,625,105
Payable for investments purchased 3,575,560
Dividend payable 1,074,945
Payable for fund shares redeemed 76,670
Trustees' fee payable 1,993
Other accrued expenses payable 63,527
---------------
Total Liabilities 38,631,186
---------------
NET ASSETS
Capital stock, $0.001 par value (Note 5) 32,824
Paid-in capital (Note 5) 258,470,672
Accumulated net investment loss (16,587)
Accumulated net realized loss on investments (1,937,306)
Net unrealized appreciation from investments 15,393,816
---------------
Net Assets $ 271,943,419
===============
COMMON SHARES
Net assets $ 1,029,349
Shares outstanding 124,400
---------------
Net asset value, offering price, and redemption price per share $ 8.27
===============
A SHARES
Net assets $ 134,123,405
Shares outstanding 16,173,688
---------------
Net asset value and redemption price per share $ 8.29
===============
Maximum offering price per share (net asset value/(1-4.75%)) $ 8.70
===============
B SHARES
Net assets $ 42,535,666
Shares outstanding 5,143,307
---------------
Net asset value and offering price per share $ 8.27
===============
C SHARES
Net assets $ 94,254,999
Shares outstanding 11,382,960
---------------
Net asset value and offering price per share $ 8.28
===============
</Table>
(1) Including $32,119,068 of securities on loan.
See Accompanying Notes to Financial Statements.
35
<Page>
STATEMENT OF OPERATIONS
For the Year Ended October 31, 2003
<Table>
INVESTMENT INCOME (Note 1)
Interest $ 15,555,027
Dividends 35,905
Securities lending 30,725
Foreign taxes withheld (1,845)
---------------
Total investment income 15,619,812
---------------
EXPENSES
Investment advisory fees (Note 2) 972,467
Administrative services fees (Note 2) 315,247
Distribution fees (Note 2) 1,018,228
Legal fees 64,735
Registration fees 62,097
Transfer agent fees (Note 2) 61,432
Printing fees (Note 2) 32,159
Custodian fees 29,470
Audit fees 20,563
Insurance expense 8,559
Interest expense 7,055
Trustees' fees 6,647
Miscellaneous expense 5,659
---------------
Total expenses 2,604,318
Less: fees waived (Note 2) (217,783)
---------------
Net expenses 2,386,535
---------------
Net investment income 13,233,277
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS
Net realized gain from investments 1,239,437
Net change in unrealized appreciation (depreciation) from investments 16,738,801
---------------
Net realized and unrealized gain from investments 17,978,238
---------------
Net increase in net assets resulting from operations $ 31,211,515
===============
</Table>
See Accompanying Notes to Financial Statements.
36
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
FOR THE YEAR FOR THE YEAR
ENDED ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002
---------------- ----------------
FROM OPERATIONS
Net investment income $ 13,233,277 $ 1,253,765
Net realized gain (loss) from investments 1,239,437 (1,365,146)
Net change in unrealized appreciation (depreciation) from investments 16,738,801 86,591
--------------- ---------------
Net increase (decrease) in net assets resulting from operations 31,211,515 (24,790)
--------------- ---------------
FROM DIVIDENDS
Dividends from net investment income
Common Class Shares (115,907) (124,699)
Class A shares (6,660,406) (757,622)
Class B shares (2,089,668) (246,942)
Class C shares (4,369,160) (112,283)
Class D shares -- (59,879)
--------------- ---------------
Net decrease in net assets resulting from dividends (13,235,141) (1,301,425)
--------------- ---------------
FROM CAPITAL SHARE TRANSACTIONS (Note 5)
Proceeds from sale of shares 276,882,232 19,366,259
Reinvestment of dividends 4,643,481 628,234
Net asset value of shares redeemed (47,677,867) (11,871,096)
--------------- ---------------
Net increase in net assets from capital share transactions 233,847,846 8,123,397
--------------- ---------------
Net increase in net assets 251,824,220 6,797,182
NET ASSETS
Beginning of year 20,119,199 13,322,017
--------------- ---------------
End of year $ 271,943,419 $ 20,119,199
=============== ===============
Accumulated Net Investment Loss $ (16,587) $ (43,027)
=============== ===============
</Table>
See Accompanying Notes to Financial Statements.
37
<Page>
FINANCIAL HIGHLIGHTS
(For a Common Class Share of the Fund Outstanding Throughout Each Period)
<Table>
<Caption>
FOR THE YEAR ENDED OCTOBER 31,
---------------------------------------------------
2003 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 0.70 0.72(2) 0.80 0.21
Net gain (loss) on investments (both realized and unrealized) 1.08 (0.74) (0.71) (0.48)
--------- --------- --------- ---------
Total from investment operations 1.78 (0.02) 0.09 (0.27)
--------- --------- --------- ---------
LESS DIVIDENDS
Dividends from net investment income (0.70) (0.75) (0.86) (0.21)
--------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 8.27 $ 7.19 $ 7.96 $ 8.73
========= ========= ========= =========
Total return(3) 25.49% (0.60)% 0.88% (2.98)%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 1,029 $ 1,324 $ 599 $ 141
Ratio of expenses to average net assets(4) 1.10% 1.10% 1.10% 1.10%(5)
Ratio of net investment income to average
net assets 8.97% 9.16% 9.98% 9.14%(5)
Decrease reflected in above operating expense
ratios due to waivers/reimbursements 0.14% 2.04% 1.41% 1.58%(5)
Portfolio turnover rate 20% 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 shares 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 periods shown, total returns would have been lower.
Total returns for periods less than one year are not annualized.
(4) Interest earned on uninvested cash balances may be used to offset portions
of the transfer agent expense. For the years ended October 31, 2003, 2002
and 2001, and for the period ended October 31, 2000, there was no effect on
the net operating expense ratio because of transfer agent credits.
(5) Annualized.
See Accompanying Notes to Financial Statements.
38
<Page>
(For a Class A Share of the Fund Outstanding Throughout Each Period)
<Table>
<Caption>
FOR THE YEAR ENDED OCTOBER 31,
-------------------------------------------------------------
2003 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 0.73 0.72(2) 0.86 0.88 0.56
Net gain (loss) on investments
(both realized and unrealized) 1.05 (0.74) (0.75) (0.86) (0.34)
--------- --------- --------- --------- ---------
Total from investment operations 1.78 (0.02) 0.11 0.02 0.22
--------- --------- --------- --------- ---------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.70) (0.75) (0.86) (0.88) (0.56)
Distributions from net realized gains -- -- -- (0.07) --
--------- --------- --------- --------- ---------
Total dividends and distributions (0.70) (0.75) (0.86) (0.95) (0.56)
--------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 8.29 $ 7.21 $ 7.98 $ 8.73 $ 9.66
========= ========= ========= ========= =========
Total return(3) 25.44% (0.56)% 1.13% (0.06)% 2.19%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 134,123 $ 9,390 $ 8,952 $ 10,709 $ 10,488
Ratio of expenses to average net assets(4) 1.10% 1.10% 1.10% 1.10% 1.10%(5)
Ratio of net investment income to average
net assets 8.58% 9.16% 10.01% 9.35% 8.61%(5)
Decrease reflected in above operating expense
ratios due to waivers/reimbursements 0.14% 1.97% 1.30% 1.58% 1.43%(5)
Portfolio turnover rate 20% 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 shares 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 periods shown, total returns
would have been lower. Total returns for periods less than one year are not
annualized.
(4) Interest earned on uninvested cash balances may be used to offset portions
of the transfer expense. For the years ended October 31, 2003, 2002, 2001
and 2000, and for the period ended October 31, 1999, there was no effect on
the net operating expense ratio because of transfer agent credits.
(5) Annualized.
See Accompanying Notes to Financial Statements.
39
<Page>
(For a Class B Share of the Fund Outstanding Throughout Each Period)
<Table>
<Caption>
FOR THE YEAR ENDED OCTOBER 31,
------------------------------------------------------------
2003 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 0.65 0.65(2) 0.80 0.81 0.50
Net gain (loss) on investments
(both realized and unrealized) 1.07 (0.73) (0.77) (0.86) (0.34)
--------- --------- --------- --------- ---------
Total from investment operations 1.72 (0.08) 0.03 (0.05) 0.16
--------- --------- --------- --------- ---------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.64) (0.69) (0.80) (0.81) (0.50)
Distributions from net realized gains -- -- -- (0.07) --
--------- --------- --------- --------- ---------
Total dividends and distributions (0.64) (0.69) (0.80) (0.88) (0.50)
--------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 8.27 $ 7.19 $ 7.96 $ 8.73 $ 9.66
========= ========= ========= ========= =========
Total return(3) 24.55% (1.36)% 0.14% (0.81)% 1.60%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 42,536 $ 2,860 $ 1,667 $ 1,313 $ 1,447
Ratio of expenses to average net assets(4) 1.85% 1.85% 1.85% 1.85% 1.85%(5)
Ratio of net investment income to average
net assets 7.87% 8.35% 9.22% 8.60% 7.83%(5)
Decrease reflected in above operating expense
ratios due to waivers/reimbursements 0.14% 1.97% 1.35% 1.58% 1.43%(5)
Portfolio turnover rate 20% 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 shares 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 periods shown, total returns
would have been lower. Total returns for periods less than one year are not
annualized.
(4) Interest earned on uninvested cash balances may be used to offset portions
of the transfer expense. For the years ended October 31, 2003, 2002, 2001
and 2000, and for the period ended October 31, 1999, there was no effect on
the net operating expense ratio because of transfer agent credits.
(5) Annualized.
See Accompanying Notes to Financial Statements.
40
<Page>
(For a Class C Share of the Fund Outstanding Throughout Each Period)
<Table>
<Caption>
FOR THE YEAR ENDED OCTOBER 31,
---------------------------------------------------
2003 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 0.64 0.61(2) 0.80 0.53
Net gain (loss) on investments
(both realized and unrealized) 1.08 (0.68) (0.77) (0.84)
--------- --------- --------- ---------
Total from investment operations 1.72 (0.07) 0.03 (0.31)
--------- --------- --------- ---------
LESS DIVIDENDS
Dividends from net investment income (0.64) (0.69) (0.80) (0.53)
--------- --------- --------- ---------
Total dividends (0.64) (0.69) (0.80) (0.53)
--------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 8.28 $ 7.20 $ 7.96 $ 8.73
========= ========= ========= =========
Total return(3) 24.54% (1.22)% 0.14% 3.31%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 94,255 $ 6,545 $ 623 $ 78
Ratio of expenses to average net assets(4) 1.85% 1.85% 1.85% 1.85%(5)
Ratio of net investment income to average
net assets 7.86% 8.03% 9.18% 7.57%(5)
Decrease reflected in above operating expense
ratios due to waivers/reimbursements 0.14% 2.61% 1.75% 1.58%(5)
Portfolio turnover rate 20% 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 shares 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 periods shown, total returns
would have been lower. Total returns for periods less than one year are not
annualized.
(4) Interest earned on uninvested cash balances may be used to offset portions
of the transfer agent expense. For the years ended October 31, 2003, 2002
and 2001, and for the period ended October 31, 2000, there was no effect on
the net operating expense ratio because of transfer agent credits.
(5) Annualized.
See Accompanying Notes to Financial Statements.
41
<Page>
CREDIT SUISSE HIGH INCOME FUND
NOTES TO FINANCIAL STATEMENTS
October 31, 2003
NOTE 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
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. Class A shares are sold
subject to a front-end sales charge up to 4.75%. 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. Class C shares are sold
subject to a contingent deferred sales charge of 1.00% if redeemed within the
first year of purchase.
A) SECURITY VALUATION -- The net asset value of the Fund is determined daily
as of the close of regular trading on the New York Stock Exchange, Inc. (the
"Exchange") on each day the Exchange is open for business. Debt securities with
a remaining maturity greater than 60 days are valued in accordance with the
price supplied by a pricing service, which may use a matrix, formula or other
objective method that takes into consideration market indices, yield curves and
other specific adjustments. The Fund's equity investments are valued at market
value, which is generally determined using the closing price on the exchange or
market on which the security is primarily traded at the time of valuation (the
"Valuation Time"). If no sales are reported, equity investments are generally
valued at the most recent bid quotation as of the Valuation Time or at the
lowest asked quotation in the case of a short sale of securities. Securities and
other assets for which market quotations are not readily available, or whose
values have been materially affected by events occurring before the Fund's
Valuation Time but after the close of the securities' primary markets, are
valued at fair value as determined in good faith under procedures established by
the Board of Trustees. Debt obligations that will mature in 60 days or less are
valued on the basis of amortized cost, which approximates market value, unless
it is determined that this method would not represent fair value.
42
<Page>
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. Certain
expenses are class-specific expenses and vary by class. 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.
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, pools available cash into either
a short-term variable rate time deposit issued by State Street Bank and Trust
Company ("SSB"), the Fund's custodian, or a money market fund advised by CSAM.
The short-term time deposit issued by SSB is a variable rate account classified
as a short-term investment.
43
<Page>
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 above under "Security
Valuation".
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
is pooled together with cash collateral for other funds/portfolios advised by
CSAM and may be invested in a variety of investments, including certain
CSAM-advised funds, money market instruments and 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 market value of securities on loan to brokers and the value of collateral
held by the Fund with respect to such loans at October 31, 2003 is as follows:
<Table>
<Caption>
MARKET VALUE OF VALUE OF
SECURITIES LOANED COLLATERAL RECEIVED
----------------- -------------------
$ 32,119,068 $ 33,625,105
</Table>
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 proportion of the fees, its fee
agreement with the Fund shall be reduced to such lower fee amount.
44
<Page>
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 affect their ability to
service their principal and interest payment obligations, to meet projected
business goals and to obtain additional financing.
In addition, periods of economic uncertainty and changes can be expected to
result in increased volatility of market prices of lower-rated debt securities
and (to the extent the Fund invests in junk bonds) the Fund's net asset value.
NOTE 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 year ended October 31, 2003, investment advisory fees earned and
voluntarily waived were $972,467 and $217,783, 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 year ended October 31, 2003, co-administrative services fees earned by
CSAMSI were $160,979.
For its co-administrative services, SSB receives a fee, exclusive of
out-of-pocket expenses, based upon the following fee schedule 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, subject
to an annual minimum fee.
<Table>
<Caption>
AVERAGE DAILY NET ASSETS ANNUAL RATE
------------------------ -----------
First $5 billion 0.050% of average daily net assets
Next $5 billion 0.035% of average daily net assets
Over $10 billion 0.020% of average daily net assets
</Table>
45
<Page>
For the year ended October 31, 2003, co-administrative services fees earned
by SSB (including out-of-pocket expenses) were $154,268.
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. These fees are calculated at an annual rate
of 0.25% of the average daily net assets of the Common Class shares, 0.50% of
the average daily net assets 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. Prior to
May 1, 2003, the Fund made payments under a prior distribution plan to reimburse
CSAMSI for its payments to broker-dealers of initial concessions on ongoing
maintenance fees on sales of its shares. Such fees were paid at the annual rate
of 0.25% of the average daily net assets of the Fund. Effective November 1,
2003, CSAMSI no longer receives 12b-1 fees on Common Class shares. For the year
ended October 31, 2003, distribution fees earned by CSAMSI were as follows:
<Table>
<Caption>
DISTRIBUTION FEE
----------------
Common Class $ 3,230
Class A 193,962
Class B 265,559
Class C 555,477
------------
$ 1,018,228
============
</Table>
Certain brokers, dealers and financial representatives provide transfer agent
related services to the Fund, and receive compensation for these services from
CSAM. CSAM is then reimbursed by the Fund. For the year ended October 31, 2003,
the Fund reimbursed CSAM $796, which is included in the Fund's transfer agent
expense.
For the year ended October 31, 2003, CSAMSI and its affiliates advised the
Fund that they retained $458,380 from commissions earned on the sale of the
Fund's Class A shares.
For the year ended October 31, 2003, CSFB received $10,116 from securities
lending transactions.
Merrill Corporation ("Merrill"), an affiliate of CSAM, has been engaged by
the Fund to provide certain financial printing and fulfillment services. For the
year ended October 31, 2003, Merrill was paid $28,929 for its services to the
Fund.
46
<Page>
NOTE 3. LINE OF CREDIT
The Fund, together with other funds/portfolios advised by CSAM (collectively,
the "Participating Funds"), participate in a $100 million committed, unsecured
line of credit facility ("Credit Facility") for temporary or emergency purposes
with Deutsche Bank, A.G. as administrative agent and syndication agent and SSB
as operations agent. Under the terms of the Credit Facility, the Participating
Funds pay an aggregate commitment fee at a rate of 0.10% per annum on the
average unused amount of the Credit Facility, which is allocated among the
Participating Funds in such manner as is determined by the governing Boards of
the Participating Funds. In addition, the Participating Funds pay interest on
borrowings at the Federal Funds rate plus 0.50%. At October 31, 2003 and during
the year ended October 31, 2003, the Fund had no borrowings under the Credit
Facility.
NOTE 4. PURCHASES AND SALES OF SECURITIES
For the year ended October 31, 2003, purchases and sales of investment
securities (excluding short-term investments) were $280,271,927 and $30,496,446,
respectively.
In connection with a review of the Fund, CSAM became aware of certain
portfolio transactions undertaken on behalf of the Fund with respect to which
the Fund paid commissions. Upon further analysis, CSAM believes that such
transactions could have been effected in a more efficient manner for the Fund
and, as a result, CSAM determined to pay the amount of the commissions, with
interest, to the Fund. The payment amount did not have a material effect on the
Fund's net asset value per share as of October 31, 2003.
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 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 YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002
------------------------------------------------------------
SHARES VALUE SHARES VALUE
------------ ------------- ------------ ------------
Shares sold 10,799 $ 80,633 264,811 $ 2,114,199
Shares issued in reinvestment
of dividends 13,496 105,586 13,137 101,994
Shares redeemed (84,045) (679,246) (169,074) (1,328,719)
------------ ------------- ------------ ------------
Net increase (decrease) (59,750) $ (493,027) 108,874 $ 887,474
============ ============= ============ ============
</Table>
47
<Page>
<Table>
<Caption>
CLASS A
------------------------------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002
------------------------------------------------------------
SHARES VALUE SHARES VALUE
------------ ------------- ------------ ------------
Shares sold 18,707,365 $ 146,956,559 956,207 $ 7,119,416
Shares issued in reinvestment
of dividends 409,410 3,292,884 44,463 349,237
Shares redeemed (4,245,791) (34,085,441) (820,293) (6,301,159)
------------ ------------- ------------ ------------
Net increase 14,870,984 $ 116,164,002 180,377 $ 1,167,494
============ ============= ============ ============
</Table>
<Table>
<Caption>
CLASS B
------------------------------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002
------------------------------------------------------------
SHARES VALUE SHARES VALUE
------------ ------------- ------------ ------------
Shares sold 4,955,118 $ 38,361,835 469,274 $ 3,637,725
Shares issued in reinvestment
of dividends 43,452 345,958 10,337 80,323
Shares redeemed (253,099) (2,033,837) (291,283) (2,219,548)
------------ ------------- ------------ ------------
Net increase 4,745,471 $ 36,673,956 188,328 $ 1,498,500
============ ============= ============ ============
</Table>
<Table>
<Caption>
CLASS C
------------------------------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002
------------------------------------------------------------
SHARES VALUE SHARES VALUE
------------ ------------- ------------ ------------
Shares sold 11,719,331 $ 91,483,205 846,338 $ 6,180,539
Shares issued in reinvestment
of dividends 112,835 899,053 5,739 44,296
Shares redeemed (1,358,568) (10,879,343) (20,900) (153,158)
------------ ------------- ------------ ------------
Net increase 10,473,598 $ 81,502,915 831,177 $ 6,071,677
============ ============= ============ ============
</Table>
<Table>
<Caption>
CLASS D
----------------------------
FOR THE PERIOD 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.
48
<Page>
On October 31, 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
SHAREHOLDERS OF OUTSTANDING SHARES
------------ ----------------------
Common Class 5 65%
Class A 3 54%
Class B 1 62%
Class C 1 58%
</Table>
Some of the shareholders are omnibus accounts, which hold shares on behalf of
individual shareholders.
NOTE 6. FEDERAL INCOME TAXES
Income and capital gain distributions are determined in accordance with
federal income tax regulations, which may differ from GAAP. These differences
are primarily due to differing treatments of losses deferred due to wash sales,
paydowns and defaulted bonds.
The tax characteristics of dividends and distributions paid during the years
ended October 31, 2003 and 2002 by the Fund were as follows:
<Table>
<Caption>
ORDINARY INCOME LONG-TERM CAPITAL GAIN
----------------------------- -----------------------------
2003 2002 2003 2002
------------- ------------- ------------- -------------
$ 13,235,141 $ 1,301,425 $ -- $ --
</Table>
At October 31, 2003, the components of distributable earnings on a tax basis
for the Fund were as follows:
<Table>
Undistributed ordinary income $ 319,128
Accumulated realized loss (1,857,354)
Unrealized appreciation 14,978,149
-------------
$ 13,439,923
=============
</Table>
At October 31, 2003, the Fund had capital loss carryforwards available to
offset possible future capital gains as follows:
<Table>
<Caption>
EXPIRES OCTOBER 31,
------------------------------------------------------
2009 2010
-------------- ---------------
$ (477,310) $ (1,380,044)
</Table>
49
<Page>
At October 31, 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 the net
unrealized appreciation (depreciation) from investments were $284,367,003,
$17,861,979, $(2,883,830) and $14,978,149, respectively.
At October 31, 2003, the Fund reclassified $28,304 to accumulated
undistributed net investment loss from accumulated net realized loss from
investments, to adjust for current period permanent book/tax differences which
arose principally from differing book/tax treatments of defaulted bonds and
paydowns. Net assets were not affected by these reclassifications.
NOTE 7. CONTINGENCIES
In the normal course of business, the Fund may provide general
indemnifications pursuant to certain contracts and organizational documents. The
Fund's maximum exposure under these arrangements is dependent on future claims
that may be made against the Fund and, therefore, cannot be estimated; however,
based on experience, the risk of loss from such claims is considered remote.
50
<Page>
REPORT OF INDEPENDENT AUDITORS
To the Board of Trustees and Shareholders of
Credit Suisse High Income Fund:
In our opinion, the accompanying statement of assets and liabilities,
including the schedule of investments, and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Credit Suisse High Income Fund (the
"Fund") at October 31, 2003, the results of its operations for the year then
ended, the changes in its net assets for each of the two years in the period
then ended and the financial highlights for each of three years in the period
ended October 31, 2003 presented, in conformity with accounting principles
generally accepted in the United States of America. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States of America, which require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at October
31, 2003 by correspondence with the custodian and brokers, provide a reasonable
basis for our opinion. The financial highlights of the Fund for each of the
periods presented in the period ended October 31, 2000 were audited by other
independent auditors, whose report dated December 20, 2000 expressed an
unqualified opinion on those statements.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 23, 2003
51
<Page>
INFORMATION CONCERNING TRUSTEES AND OFFICERS (UNAUDITED)
<Table>
<Caption>
TERM NUMBER OF
OF OFFICE(1) PORTFOLIOS IN
AND FUND
POSITION(S) LENGTH PRINCIPAL COMPLEX OTHER
NAME, ADDRESS AND HELD WITH OF TIME OCCUPATION(S) DURING OVERSEEN BY DIRECTORSHIPS
DATE OF BIRTH FUND SERVED PAST FIVE YEARS TRUSTEES HELD BY TRUSTEES
- -------------------------- ------------ ------------ ------------------------------ -------------- --------------------------
INDEPENDENT TRUSTEES
Richard H. Francis Trustee, Since 2001 Currently retired 44 None
c/o Credit Suisse Asset Nominating
Management, LLC and
466 Lexington Avenue Audit
New York, New York Committee
10017-3140 Member
Date of Birth: 04/23/32
Jeffrey E. Garten Trustee, Since 2001 Dean of Yale School of 43 Director of Aetna, Inc.
Box 208200 Nominating Management and William S. (insurance company);
New Haven, Connecticut and Beinecke Professor in the Director of Calpine
06520-8200 Audit Practice of International Corporation (energy
Committee Trade and Finance (11/95 -- provider); Director of
Date of Birth: 10/29/46 Member present) CarMax Group (used car
dealers)
Peter F. Krogh Trustee, Since 2001 Dean Emeritus and 43 Director of Carlisle
301 ICC Nominating Distinguished Professor of Companies Incorporated
Georgetown University and International Affairs at the (diversified
Washington, DC 20057 Audit Edmund A. Walsh School of manufacturing company);
Committee Foreign Service, Georgetown Member of Selection
Date of Birth: 02/11/37 Member University (6/95 -- present); Committee for Truman
Moderator of PBS foreign Scholars and Henry Luce
affairs television series Scholars; Senior
(1988 -- 2000) Associate of Center for
Strategic and
International Studies;
Trustee of numerous
world affairs
organizations
</Table>
- ----------
(1) Each Trustee and Officer serves until his or her respective successor has
been duly elected and qualified.
52
<Page>
<Table>
<Caption>
TERM NUMBER OF
OF OFFICE(1) PORTFOLIOS IN
AND FUND
POSITION(S) LENGTH PRINCIPAL COMPLEX OTHER
NAME, ADDRESS AND HELD WITH OF TIME OCCUPATION(S) DURING OVERSEEN BY DIRECTORSHIPS
DATE OF BIRTH FUND SERVED PAST FIVE YEARS TRUSTEES HELD BY TRUSTEES
- -------------------------- ------------ ------------ ------------------------------ -------------- --------------------------
INDEPENDENT TRUSTEES
James S. Pasman, Jr. Trustee, Since 1999 Currently retired 45 Director of Education
c/o Credit Suisse Asset Nominating Management Corp.
Management, LLC and
466 Lexington Avenue Audit
New York, New York Committee
10017-3140 Member
Date of Birth: 12/20/30
Steven N. Rappaport Trustee, Since 1999 Partner of Lehigh Court, LLC 45 None
Lehigh Court, LLC Nominating and RZ Capital (private
40 East 52nd Street Committee investment firms) (7/02 --
New York, New York Member present); Consultant to
10022 and SunGard Securities Finance,
Audit Inc. from February 2002 to
Date of Birth: 07/10/48 Committee July 2002; President of
Chairman SunGard Securities Finance,
Inc. from 2001 to February
2002; President of Loanet,
Inc. (on-line accounting
service) from 1997 to 2001
INTERESTED TRUSTEES
Joseph D. Gallagher(2) Trustee, Since 2003 Managing Director and Chief 46 None
Credit Suisse Asset Chairman of Executive Officer of CSAM
Management, LLC the Board since 2003; Global Chief
466 Lexington Avenue and Chief Financial Officer, Credit
New York, New York Executive Suisse Asset Management since
10017-3140 Officer 1999; Chief Executive Officer
and Director of Credit Suisse
Date of Birth: 12/14/62 Asset Management Limited,
London, England, from June
2000 to 2003; Director of
Credit Suisse Asset Management
Funds (UK) Limited, London,
England, from June 2000 to
2003; Managing Director, Head
-- Asian Corporate Finance and
M&A, Credit Suisse First
Boston, Hong Kong, China, from
January 1998 to May 1999
</Table>
53
<Page>
<Table>
<Caption>
TERM NUMBER OF
OF OFFICE(1) PORTFOLIOS IN
AND FUND
POSITION(S) LENGTH PRINCIPAL COMPLEX OTHER
NAME, ADDRESS AND HELD WITH OF TIME OCCUPATION(S) DURING OVERSEEN BY DIRECTORSHIPS
DATE OF BIRTH FUND SERVED PAST FIVE YEARS TRUSTEES HELD BY TRUSTEES
- -------------------------- ------------ ------------ ------------------------------ -------------- --------------------------
INTERESTED TRUSTEES
William W. Priest,Jr.(3) Trustee Since 1999 Co-Managing Partner, Steinberg 50 Director of Globe
Steinberg Priest & Sloane Priest & Sloane Capital Wireless, LLC (maritime
Capital Management, LLC Management, LLC since communication company);
12 East 49th Street March 2001; Chairman and Director of InfraRed X
12th Floor Managing Director of CSAM from (medical device company)
New York, New York 2000 to February 2001, Chief
10017 Executive Officer and Managing
Director of CSAM from 1990 to
Date of Birth: 09/24/41 2000
</Table>
- ----------
(2) Mr.Gallagher is a Trustee who is an "interested person" of the Fund as
defined in the 1940 Act, because he is an officer of CSAM.
(3) Mr.Priest is a Trustee who is an "interested person" of the Fund as defined
in the 1940 Act, because he provided consulting services to CSAM within the
last two years (ended 12/31/02).
54
<Page>
<Table>
<Caption>
TERM
OF OFFICE(1)
AND
POSITION(S) LENGTH
NAME, ADDRESS AND HELD WITH OF TIME
DATE OF BIRTH FUND SERVED PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS
- -------------------------- ------------ ------------ ----------------------------------------------
OFFICERS
Hal Liebes Vice Since 2001 Managing Director and Global General Counsel of CSAM;
Credit Suisse Asset President and Associated with CSAM since 1997; Officer of other
Management, LLC Secretary Credit Suisse Funds
466 Lexington Avenue
New York, New York
10017-3140
Date of Birth: 07/06/64
Michael A. Pignataro Chief Since 2001 Director and Director of Fund Administration of CSAM;
Credit Suisse Asset Financial Associated with CSAM since 1984; Officer of other
Management, LLC Officer and Credit Suisse Funds
466 Lexington Avenue Treasurer
New York, New York
10017-3140
Date of Birth: 11/15/59
Gregory N. Bressler Assistant Since 2001 Director and Deputy General Counsel of CSAM; Associated
Credit Suisse Asset Secretary with CSAM since January 2000; Associated with the law
Management, LLC firm of Swidler Berlin Shereff Friedman LLP from 1996
466 Lexington Avenue to 2000; Officer of other Credit Suisse Funds
New York, New York
10017-3140
Date of Birth: 11/17/66
</Table>
55
<Page>
<Table>
<Caption>
TERM
OF OFFICE(1)
AND
POSITION(S) LENGTH
NAME, ADDRESS AND HELD WITH OF TIME
DATE OF BIRTH FUND SERVED PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS
- -------------------------- ------------ ------------ ----------------------------------------------
OFFICERS
Rocco A. Del Guercio Assistant Since 1999 Vice President of CSAM; Associated with CSAM since June
Credit Suisse Asset Treasurer 1996; Officer of other Credit Suisse Funds
Management, LLC
466 Lexington Avenue
New York, New York
10017-3140
Date of Birth: 04/28/63
Joseph Parascondola Assistant Since 2000 Assistant Vice President of CSAM; Associated with CSAM
Credit Suisse Asset Treasurer since April 2000; Assistant Vice President, Deutsche
Management, LLC Asset Management from January 1999 to April 2000;
466 Lexington Avenue Assistant Vice President, Weiss, Peck & Greer LLC from
New York, New York November 1995 to December 1998; Officer of other Credit
10017-3140 Suisse Funds
Date of Birth: 06/05/63
Robert M. Rizza Assistant Since 2002 Assistant Vice President of CSAM; Associated with CSAM
Credit Suisse Asset Treasurer since 1998; Officer of other Credit Suisse Funds
Management, LLC
466 Lexington Avenue
New York, New York
10017-3140
Date of Birth: 12/09/65
</Table>
The Statement of Additional Information includes additional information about
the Trustees and is available, without charge, upon request, by calling
800-927-2874.
56
<Page>
TAX INFORMATION LETTER (UNAUDITED)
October 31, 2003
IMPORTANT TAX INFORMATION FOR CORPORATE SHAREHOLDERS
Corporate shareholders should note for the year ended October 31, 2003, the
percentage of the Fund's investment income (i.e., net investment income plus
short-term capital gains) that qualified for the intercorporate dividends
received deduction is 0.25%.
For the fiscal year ended October 31, 2003 certain dividends paid by each
Fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs
and Growth Tax Relief Reconciliation Act of 2003. Complete information will be
reported in conjunction with your 2003 Form 1099-DIV.
57
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<Page>
P.O. BOX 55030, BOSTON, MA 02205-5030 [CREDIT SUISSE ASSET MANAGEMENT LOGO]
800-927-2874 - www.csam-americas.com
CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., DISTRIBUTOR. CSHIF-2-1003
<Page>
[CREDIT SUISSE ASSET MANAGEMENT LOGO]
CREDIT SUISSE FUNDS
ANNUAL REPORT
OCTOBER 31, 2003
- - 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 FUND
HOLDINGS DESCRIBED IN THIS DOCUMENT ARE AS OF OCTOBER 31, 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 U.S. GOVERNMENT MONEY FUND
ANNUAL INVESTMENT ADVISER'S REPORT
October 31, 2003 (Unaudited)
November 18, 2003
Dear Shareholder:
For the 12 months ended October 31, 2003, Credit Suisse U.S. Government Money
Fund (the "Fund") returned 0.46%.(1) In addition, the Fund's total net assets as
of October 31, 2003 were $23.4 million, compared to $47.8 million on October 31,
2002, and its annualized yield for the seven days ended October 31, 2003 was
0.25%.
The investment environment for money market vehicles like the Fund was
difficult throughout most of the Fund's fiscal year. As we see it, the key
influence on returns was the widespread perception that interest rates (which
were already historically low) were likely to continue to decline. The Federal
Reserve (the "Fed") cut its benchmark fed funds rate twice in the period, by a
total of three-quarters of a percentage point, to 1.00%, the lowest such level
in over 40 years. Market-based yields across the maturity spectrum fell
accordingly, and reached their lowest points in decades during June. The Fed
additionally helped to fuel the perception that rates would fall further via
highly publicized comments regarding its concerns about deflation.
Falling rates hurt the attractiveness of money market vehicles compared to
other investments, and gave investors considerable incentive to look for higher
yields elsewhere. We were thus not surprised to see sizable assets flow out of
money market funds and into riskier fixed income categories like lower-quality
corporate bonds and longer-maturity instruments more broadly.
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 year, was 79 days at October 31, 2003, compared to 80
days on October 31, 2002.
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.
1
<Page>
AVERAGE ANNUAL RETURNS AS OF SEPTEMBER 30, 2003(1)
-------------------------------------------------------
<Table>
<Caption>
1 YEAR 5 YEARS SINCE INCEPTION(2)
------ ------- ------------------
0.52% 3.14% 3.53%
</Table>
AVERAGE ANNUAL RETURNS AS OF OCTOBER 31, 2003(1)
-------------------------------------------------------
<Table>
<Caption>
1 YEAR 5 YEARS SINCE INCEPTION(2)
------ ------- ------------------
0.46% 3.06% 3.49%
</Table>
- ----------
(1) Returns assume reinvestment of dividends.
(2) Inception date 2/24/97.
2
<Page>
CREDIT SUISSE MUNICIPAL MONEY FUND
ANNUAL INVESTMENT ADVISER'S REPORT
October 31, 2003 (Unaudited)
November 18, 2003
Dear Shareholder:
For the 12 months ended October 31, 2003, Credit Suisse Municipal Money Fund
(the "Fund") returned 0.31%.(1) The following statistics characterized the Fund
as of October 31, 2003: total net assets were $20.8 million, compared to $47.8
million on October 31, 2002; annualized yield for the seven days ended October
31, 2003 was 0.23%; and average weighted maturity was 52 days, down from 60 days
on October 31, 2002.
The investment environment for money market vehicles was difficult throughout
most of the Fund's fiscal year. As we see it, the key influence on returns was
the widespread perception that interest rates (which were already historically
low) were likely to continue to decline. The Federal Reserve (the "Fed") cut its
benchmark fed funds rate twice in the period, by a total of three-quarters of a
percentage point, to 1.00%, the lowest such level in over 40 years. Market-based
yields across the maturity spectrum fell accordingly, and reached their lowest
points in decades during June. The Fed additionally helped to fuel the
perception that rates would fall further via highly publicized comments
regarding its concerns about deflation.
Falling rates hurt the attractiveness of money market vehicles compared to
other investments, and gave investors considerable incentive to look for higher
yields elsewhere. We were thus not surprised to see sizable assets flow out of
money market funds and into riskier fixed income categories like lower-quality
corporate bonds and longer-maturity instruments more broadly.
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.
Credit Suisse Asset Management, LLC
A PORTION OF INCOME MAY BE SUBJECT TO STATE, LOCAL AND CITY TAXES OR THE
FEDERAL ALTERNATIVE MINIMUM TAX.
3
<Page>
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 SEPTEMBER 30, 2003(1)
-------------------------------------------------------
<Table>
<Caption>
1 YEAR 5 YEARS SINCE INCEPTION(2)
------ ------- ------------------
0.38% 1.85% 2.08%
</Table>
AVERAGE ANNUAL RETURNS AS OF OCTOBER 31, 2003(1)
-------------------------------------------------------
<Table>
<Caption>
1 YEAR 5 YEARS SINCE INCEPTION(2)
------ ------- ------------------
0.31% 1.81% 2.06%
</Table>
- ----------
(1) Returns assume reinvestment of dividends.
(2) Inception date 2/24/97.
4
<Page>
CREDIT SUISSE U.S. GOVERNMENT MONEY FUND
SCHEDULE OF INVESTMENTS
October 31, 2003
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
-------- ------------- -------- ----- ------------
UNITED STATES AGENCY OBLIGATIONS (82.3%)
$ 650 Fannie Mae Discount Notes (AAA, Aaa) 11/17/03 1.040 $ 649,700
765 Fannie Mae Discount Notes (AAA, Aaa) 11/19/03 1.020 764,610
500 Fannie Mae Discount Notes (AAA, Aaa) 01/09/04 1.260 498,792
1,000 Fannie Mae Discount Notes (AAA, Aaa) 01/21/04 1.075 997,641
600 Fannie Mae Discount Notes (AAA, Aaa) 02/06/04 1.260 597,963
800 Fannie Mae Discount Notes (AAA, Aaa) 02/13/04 1.090 797,481
1,200 Fannie Mae Discount Notes (AAA, Aaa) 04/30/04 1.145 1,193,092
703 Fannie Mae Discount Notes (AAA, Aaa) 04/30/04 1.170 698,864
800 Fannie Mae Floating Rate Notes## (AAA, Aaa) 12/10/03 1.080 800,000
1,000 Fannie Mae Notes (AAA, Aaa) 15/14/04 5.625 1,023,405
1,000 Federal Farm Credit Bank Floating Rate Notes## (AAA, Aaa) 11/03/03 1.000 1,000,000
500 Federal Home Loan Bank Discount Notes (AAA, Aaa) 12/12/03 1.068 499,442
1,000 Federal Home Loan Bank Discount Notes (AAA, Aaa) 02/09/04 1.150 996,806
600 Federal Home Loan Bank Global Bonds (AAA, Aaa) 04/16/04 4.875 609,993
1,000 Freddie Mac Discount Notes (AAA, Aaa) 11/25/03 1.030 999,313
700 Freddie Mac Discount Notes (AAA, Aaa) 12/04/03 1.000 699,358
800 Freddie Mac Discount Notes (AAA, Aaa) 12/05/03 1.070 799,093
300 Freddie Mac Discount Notes (AAA, Aaa) 12/15/03 1.230 299,549
571 Freddie Mac Discount Notes (AAA, Aaa) 12/19/03 1.180 570,102
300 Freddie Mac Discount Notes (AAA, Aaa) 01/07/04 1.090 299,391
1,000 Freddie Mac Discount Notes (AAA, Aaa) 01/08/04 1.080 997,960
600 Freddie Mac Discount Notes (AAA, Aaa) 01/12/04 1.030 598,764
1,000 Freddie Mac Discount Notes (AAA, Aaa) 03/31/04 1.075 995,491
300 Freddie Mac Discount Notes (AAA, Aaa) 07/15/04 1.125 297,591
300 Freddie Mac Discount Notes (AAA, Aaa) 08/12/04 1.380 296,723
500 Freddie Mac Discount Notes (AAA, Aaa) 10/07/04 1.240 494,127
500 Freddie Mac Global Notes (AAA, Aaa) 12/15/03 3.250 501,294
300 Freddie Mac Global Notes (AAA, Aaa) 07/15/04 3.000 304,051
------------
TOTAL UNITED STATES AGENCY OBLIGATIONS (Cost $19,280,596) 19,280,596
------------
REPURCHASE AGREEMENT (22.4%)
5,258 Goldman Sachs Group, Inc. (Agreement
dated 10/31/03, to be repurchased at
$5,258,451, collateralized by $5,460,000
Federal Home Loan Bank 4.5% due
6/12/13. Market Value of collateral
is $5,367,207) (Cost $5,258,000) (A-1+, P-1) 11/03/03 1.030 5,258,000
------------
TOTAL INVESTMENTS AT VALUE (104.7%) (Cost $24,538,596) 24,538,596
LIABILITIES IN EXCESS OF OTHER ASSETS (-4.7%) (1,092,335)
------------
NET ASSETS (100.0%) $ 23,446,261
============
</Table>
Average Weighted Maturity -- 79 days (Unaudited)
+ 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 October 31, 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>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
-------- ------------- -------- ----- ------------
MUNICIPAL BONDS (97.2%)
GEORGIA (6.2%)
$ 800 Georgia Municipal Electric Authority Revenue
Bonds, Subordinated Series B
(Landesbank Hessen Thuringen LOC)## (A1+, VMIG1) 11/05/03 1.000 $ 800,000
500 Gwinnett County, Detention Center
Expansion Project, General Obligation Bonds (AAA, Aaa) 01/01/04 2.000 500,865
------------
TOTAL GEORGIA (Cost $1,300,865) 1,300,865
------------
ILLINOIS (8.6%)
1,000 Illinois Health Facilities Authority Revenue
Bonds, University of Chicago Hospitals
(MBIA GO of Corp.)## (A1, VMIG1) 11/03/03 1.120 1,000,000
800 Schaumburg Multifamily Housing Revenue
Bonds, Tree House II Apartments Project
(Fannie Mae LOC)## (A1+, VMIG1) 11/05/03 1.000 800,000
------------
TOTAL ILLINOIS (Cost $1,800,000) 1,800,000
------------
INDIANA (4.8%)
1,000 Mount Vernon Industrial Pollution Control
Revenue Bonds (General Electric LOC)## (A1+, P1) 11/03/03 1.150 1,000,000
------------
TOTAL INDIANA (Cost $1,000,000) 1,000,000
------------
KENTUCKY (5.8%)
1,200 Louisville & Jefferson County Regulatory
Airport Authority, Special Facilities
Revenue Bonds, UPS Worldwide Forwarding,
Series C## (A1+, VMIG1) 11/03/03 1.150 1,200,000
------------
TOTAL KENTUCKY (Cost $1,200,000) 1,200,000
------------
MASSACHUSETTS (11.6%)
500 Lynnfield Massachusetts,
General Obligation Anticipation Notes (SP1+, MIG1) 03/12/04 1.750 501,177
600 Massachusetts State Port Authority Revenue
Bonds, Series A (MBIA LOC) (AAA, Aaa) 07/01/04 2.000 604,351
1,300 Massachusetts State Water Resources Authority,
General Revenue Bonds, Series B
(AMBAC GO of Authority)## (A1, VMIG1) 11/05/03 1.080 1,300,000
------------
TOTAL MASSACHUSETTS (Cost $2,405,528) 2,405,528
------------
NEW HAMPSHIRE (7.7%)
1,000 New Hampshire Business Finance Authority,
Resource Recovery Revenue Bonds,
Wheelabrator Corcord Co., Series B
(Wachovia Bank LOC)## (A1, VMIG1) 11/05/03 1.150 1,000,000
600 Rockingham County, Tax Anticipation Notes,
General Obligation Notes (SP1+, MIG1) 12/31/03 1.400 600,508
------------
TOTAL NEW HAMPSHIRE (Cost $1,600,508) 1,600,508
------------
</Table>
See Accompanying Notes to Financial Statements.
6
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
-------- ------------- -------- ----- ------------
MUNICIPAL BONDS
NEW JERSEY (4.0%)
$ 475 Moorestown Township, General Obligation Bonds (NR, Aa3) 05/01/04 2.000 $ 476,988
100 New Jersey Educational Facilities Authority
Revenue Bonds, Princeton University,
Series B## (A1+, VMIG1) 11/03/03 1.150 100,000
255 Springfield Township Schools, General Obligation
Bonds (FSA Insurance LOC) (AAA, Aaa) 06/15/04 3.000 258,137
------------
TOTAL NEW JERSEY (Cost $835,125) 835,125
------------
NEW YORK (16.8%)
1,000 Jay Street Development Corp., NY Certificates
Facilities Lease Revenue Bonds, Jay Street Project,
Series A-1 (JP Morgan Chase & Co. LOC)## (A1+, VMIG1) 11/05/03 1.000 1,000,000
1,000 Long Island Power Authority, NY Electric System
Revenue Bonds, Subseries 1B
(State Street Bank & Trust Co. LOC)## (A1+, Aa2) 11/03/03 1.120 1,000,000
500 New York State, General Obligation Unlimited,
Environmental Quality, Series G
(Westdeutsche Landesbank LOC)## (A1+, VMIG1) 10/01/04 1.030 500,000
1,000 New York, NY, General Obligation Unlimited,
Subseries C-4 (BNP Paribas LOC)## (A1+, VMIG1) 11/05/03 0.950 1,000,000
------------
TOTAL NEW YORK (Cost $3,500,000) 3,500,000
------------
NORTH CAROLINA (4.8%)
1,000 Raleigh Durham Airport Authority Revenue
Bonds (FGIC LOC)## (A1+, VMIG1) 11/05/03 1.050 1,000,000
------------
TOTAL NORTH CAROLINA (Cost $1,000,000) 1,000,000
------------
OHIO (7.7%)
400 Cuyahoga County Hospital Revenue Bonds,
University Hospital of Cleveland
(Chase Manhattan Bank LOC)## (A1, VMIG1) 11/03/03 1.130 400,000
1,200 Paulding County Solid Waste Disposal Revenue
Bonds (Bayerische Landesbank LOC)## (A1+, P1) 11/03/03 1.100 1,200,000
------------
TOTAL OHIO (Cost $1,600,000) 1,600,000
------------
SOUTH CAROLINA (6.5%)
545 South Carolina State, Refunding Highways,
Series B, General Obligation Bonds (AAA, Aaa) 07/01/04 2.000 548,591
800 South Carolina State School Facilities,
General Obligation Bonds, Series A (AAA, Aaa) 01/01/04 5.000 805,148
------------
TOTAL SOUTH CAROLINA (Cost $1,353,739) 1,353,739
------------
TEXAS (7.2%)
500 Harris County Industrial Development Corp.,
Pollution Control Revenue Bonds## (A1+, Aaa) 11/03/03 1.040 500,000
1,000 Williamson County, General Obligation Bonds
(FSA Insurance LOC) (AAA, Aaa) 02/15/04 4.000 1,008,334
------------
TOTAL TEXAS (Cost $1,508,334) 1,508,334
------------
</Table>
See Accompanying Notes to Financial Statements.
7
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
-------- ------------- -------- ----- ------------
MUNICIPAL BONDS
WASHINGTON (4.0%)
$ 339 Bremerton Washington, General Obligation
Bonds (AMBAC Insurance LOC) (AAA, Aaa) 12/01/03 2.500 $ 339,234
500 Snohomish County School District No. 103,
Refunding Monroe School District,
General Obligation Bonds
(FSA School Board Guaranty LOC) (AAA, Aaa) 12/01/03 2.000 500,438
------------
TOTAL WASHINGTON (Cost $839,672) 839,672
------------
WISCONSIN (1.5%)
300 New Berlin School District,
Tax & Revenue Anticipation Promotional Notes,
General Obligation Notes (SP1+, MIG1) 09/03/04 2.000 302,238
------------
TOTAL WISCONSIN (Cost $302,238) 302,238
------------
TOTAL MUNICIPAL BONDS (Cost $20,246,009) 20,246,009
------------
<Caption>
NUMBER
OF
SHARES
--------
SHORT-TERM INVESTMENT (0.3%)
51,028 Federated Investors Tax-Free Obligations Fund
(Cost $51,028) 51,028
------------
TOTAL INVESTMENTS AT VALUE (97.5%) (Cost $20,297,037) 20,297,037
OTHER ASSETS IN EXCESS OF LIABILITIES (2.5%) 527,871
------------
NET ASSETS (100.0%) $ 20,824,908
============
</Table>
Average Weighted Maturity -- 52 days (Unaudited)
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.
## The interest rate is as of October 31, 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
October 31, 2003
<Table>
<Caption>
U.S. GOVERNMENT MUNICIPAL
MONEY FUND MONEY FUND
--------------- ---------------
ASSETS
Investments at value (Cost $19,280,596 and $20,297,037,
respectively) (Note 1) $ 19,280,596 $ 20,297,037
Repurchase agreement at value (Cost $5,258,000 and $0,
respectively) (Note 1) 5,258,000 --
Cash 857 90,193
Interest receivable 39,844 67,581
Receivable for fund shares sold -- 411,209
Prepaid expenses 7,703 7,220
--------------- ---------------
Total Assets 24,587,000 20,873,240
--------------- ---------------
LIABILITIES
Advisory fee payable (Note 2) 4,960 2,747
Administrative services fee payable (Note 2) 5,126 5,052
Distribution fee payable (Note 2) 5,201 5,328
Payable for investments purchased 997,641 --
Payable for fund shares redeemed 106,898 16,009
Trustees' fee payable 1,993 1,993
Other accrued expenses payable 18,920 17,203
--------------- ---------------
Total Liabilities 1,140,739 48,332
--------------- ---------------
NET ASSETS
Capital stock, $0.001 par value (Note 3) 23,445 20,829
Paid-in capital (Note 3) 23,419,899 20,807,776
Undistributed net investment income 2,917 --
Accumulated net realized loss on investments -- (3,697)
--------------- ---------------
Net Assets $ 23,446,261 $ 20,824,908
=============== ===============
Shares outstanding 23,444,683 20,828,535
--------------- ---------------
Net asset value, offering price, and redemption price per share $ 1.00 $ 1.00
=============== ===============
</Table>
See Accompanying Notes to Financial Statements.
9
<Page>
STATEMENTS OF OPERATIONS
For the Year Ended October 31, 2003
<Table>
<Caption>
U.S. GOVERNMENT MUNICIPAL
MONEY FUND MONEY FUND
--------------- ---------------
INTEREST INCOME (Note 1) $ 429,307 $ 419,149
--------------- ---------------
EXPENSES
Investment advisory fees (Note 2) 125,277 140,359
Administrative services fees (Note 2) 51,715 57,762
Distribution fees (Note 2) 69,528 57,127
Legal fees 33,803 49,610
Transfer agent fees 24,570 7,086
Audit fees 21,582 26,325
Registration fees 19,809 26,409
Printing fees (Note 2) 10,774 9,612
Insurance expense 8,355 8,370
Custodian fees 6,155 4,602
Trustees' fees 6,148 6,148
Miscellaneous expense 4,245 6,292
--------------- ---------------
Total expenses 381,961 399,702
Less: fees waived (Note 2) (100,088) (94,063)
--------------- ---------------
Net expenses 281,873 305,639
--------------- ---------------
Net investment income 147,434 113,510
--------------- ---------------
NET REALIZED GAIN (LOSS) FROM INVESTMENTS 2,917 (3,697)
--------------- ---------------
Net increase in net assets resulting from operations $ 150,351 $ 109,813
=============== ===============
</Table>
See Accompanying Notes to Financial Statements.
10
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
U.S. GOVERNMENT MONEY FUND MUNICIPAL MONEY FUND
---------------------------------- ---------------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002 OCTOBER 31, 2003 OCTOBER 31, 2002
---------------- ---------------- ---------------- ----------------
FROM OPERATIONS
Net investment income $ 147,434 $ 725,951 $ 113,510 $ 563,109
Net realized gain (loss)
from investments 2,917 4,839 (3,697) 8,202
------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations 150,351 730,790 109,813 571,311
------------- ------------- ------------- -------------
FROM DIVIDENDS AND DISTRIBUTIONS
Dividends from
net investment income (151,366) (729,565) (121,221) (563,180)
Distributions from net realized gains -- (17,942) -- (1,301)
------------- ------------- ------------- -------------
Net decrease in net assets resulting
from dividends and distributions (151,366) (747,507) (121,221) (564,481)
------------- ------------- ------------- -------------
FROM CAPITAL SHARE TRANSACTIONS
(NOTE 3)
Proceeds from sale of shares 102,786,071 292,017,745 121,114,088 343,557,549
Reinvestment of dividends and
distributions 150,216 655,775 121,069 502,413
Net asset value of shares redeemed (127,332,044) (326,291,771) (148,195,864) (369,714,124)
------------- ------------- ------------- -------------
Net decrease in net assets
from capital share transactions (24,395,757) (33,618,251) (26,960,707) (25,654,162)
------------- ------------- ------------- -------------
Net decrease in net assets (24,396,772) (33,634,968) (26,972,115) (25,647,332)
NET ASSETS
Beginning of year 47,843,033 81,478,001 47,797,023 73,444,355
------------- ------------- ------------- -------------
End of year $ 23,446,261 $ 47,843,033 $ 20,824,908 $ 47,797,023
============= ============= ============= =============
Undistributed
Net Investment Income $ 2,917 $ 3,932 $ -- $ 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 Year)
<Table>
<Caption>
FOR THE YEAR ENDED OCTOBER 31,
----------------------------------------------------------------------
2003 2002 2001 2000 1999
---------- ---------- ---------- ---------- ----------
PER SHARE DATA
Net asset value, beginning of year $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ---------- ---------- ---------- ----------
INVESTMENT OPERATIONS
Net investment income 0.0045 0.0110 0.0410 0.0530 0.0420
Net gain on investments
(both realized and unrealized) 0.0001 0.0002 -- -- --
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.0046 0.0112 0.0410 0.0530 0.0420
---------- ---------- ---------- ---------- ----------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.0046) (0.0110) (0.0410) (0.0530) (0.0420)
Distributions from net realized gains -- (0.0002) -- -- --
---------- ---------- ---------- ---------- ----------
Total dividends and distributions (0.0046) (0.0112) (0.0410) (0.0530) (0.0420)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF YEAR $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
========== ========== ========== ========== ==========
Total return(2) 0.46% 1.11% 4.19% 5.39% 4.26%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of year (000s omitted) $ 23,446 $ 47,843 $ 81,478 $ 59,926 $ 59,877
Ratio of expenses to average net assets 0.90% 0.90% 0.90% 0.90% 0.90%
Ratio of net investment income to average
net assets 0.47% 1.12% 4.10% 5.26% 4.19%
Decrease reflected in above operating expense
ratios due to waivers/reimbursements 0.32% 0.19% 0.08% 0.09% 0.19%
</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 years shown, total returns would have been lower.
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 Year)
<Table>
<Caption>
FOR THE YEAR ENDED OCTOBER 31,
----------------------------------------------------------------------
2003 2002 2001 2000 1999
---------- ---------- ---------- ---------- ----------
PER SHARE DATA
Net asset value, beginning of year $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ---------- ---------- ---------- ----------
INVESTMENT OPERATIONS
Net investment income 0.0029 0.0076 0.0240 0.0320 0.0230
Net gain on investments 0.0002 -- -- -- --
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.0031 0.0076 0.0240 0.0320 0.0230
---------- ---------- ---------- ---------- ----------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.0031) (0.0076) (0.0240) (0.0320) (0.0230)
Distributions from net realized gains -- (0.0000)(2) -- -- --
---------- ---------- ---------- ---------- ----------
Total dividends and distributions (0.0031) (0.0076) (0.0240) (0.0320) (0.0230)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF YEAR $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
========== ========== ========== ========== ==========
Total return(3) 0.31% 0.76% 2.40% 3.23% 2.37%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of year (000s omitted) $ 20,825 $ 47,797 $ 73,444 $ 56,488 $ 44,347
Ratio of expenses to average net assets 0.87% 0.90% 0.90% 0.90% 0.90%
Ratio of net investment income to average
net assets 0.32% 0.77% 2.38% 3.17% 2.33%
Decrease reflected in above operating expense
ratios due to waivers/reimbursements 0.27% -- 0.10% 0.09% 0.14%
</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 years shown, total returns would have been lower.
See Accompanying Notes to Financial Statements.
13
<Page>
CREDIT SUISSE FUNDS
NOTES TO FINANCIAL STATEMENTS
October 31, 2003
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. 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 at
1:00 p.m. eastern time and at the close of regular trading on the New York Stock
Exchange, Inc. on Monday through Friday, except for the days the following
holidays are observed: New Year's Day, Martin Luther King Jr.'s Birthday,
Presidents' Day, Good Friday, Memorial Day, Independence Day, Labor Day,
Columbus Day, Veterans' Day, Thanksgiving Day and Christmas Day. 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. 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. The Board of Trustees has established procedures intended to
stabilize each Fund's net asset value for purposes of sales and redemptions at
$1.00 per share. These procedures include review by the Board of Trustees, at
such intervals as it deems appropriate, to determine the extent, if any, to
which a 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.
14
<Page>
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 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 the security. 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.
15
<Page>
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 to receive a
fee from each Fund based on the following fee schedule, 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 year ended October 31, 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 $ 125,277 $ (100,088) $ 25,189
Municipal Money 140,359 (94,063) 46,296
</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 year ended October 31, 2003, co-administrative services fees earned by
CSAMSI were as follows:
<Table>
<Caption>
FUND CO-ADMINISTRATION FEE
---- ---------------------
U.S. Government Money $ 31,320
Municipal Money 35,090
</Table>
For its co-administrative services, SSB receives a fee, exclusive of
out-of-pocket expenses, based upon the following fee schedule 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, subject
to an annual minimum fee.
<Table>
<Caption>
AVERAGE DAILY NET ASSETS ANNUAL RATE
------------------------ -----------
First $5 billion 0.050% of average daily net assets
Next $5 billion 0.035% of average daily net assets
Over $10 billion 0.020% of average daily net assets
</Table>
16
<Page>
For the year ended October 31, 2003, co-administrative services fees earned
by SSB (including out-of-pocket fees) were as follows:
<Table>
<Caption>
FUND CO-ADMINISTRATION FEE
---- ---------------------
U.S. Government Money $ 20,395
Municipal Money 22,672
</Table>
In addition to serving as each Fund's co-administrator, CSAMSI serves as
distributor of each Fund's shares. Pursuant to an amended distribution plan
adopted by each Fund pursuant to Rule 12b-1 under the 1940 Act and approved by
each Fund's shareholders at a special meeting held on April 11, 2003 and the
Distribution Agreement with CSAMSI, each Fund pays CSAMSI distribution and
service fees for the sales and servicing of Class A 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. Each Fund pays these fees at the annual rate of
0.25% of its average net assets. Prior to May 1, 2003, each Fund made payments
under a prior distribution plan to reimburse CSAMSI for its payments to
broker-dealers of initial concessions on ongoing maintenance fees on sales of
its shares. Such fees were paid at the annual rate of 0.20% and 0.10% of the
average daily net assets of U.S. Government Money and Municipal Money,
respectively. For the year ended October 31, 2003, distribution fees paid to
CSAMSI were as follows:
<Table>
<Caption>
FUND DISTRIBUTION FEE
---- ----------------
U.S. Government Money $ 69,528
Municipal Money 57,127
</Table>
Merrill Corporation ("Merrill"), an affiliate of CSAM, has been engaged by
the Funds to provide certain financial printing and fulfillment services. For
the year ended October 31, 2003, Merrill was paid for its services by the Funds
as follows:
<Table>
<Caption>
FUND AMOUNT
---- ----------
U.S. Government Money $ 10,920
Municipal Money 10,920
</Table>
17
<Page>
NOTE 3. CAPITAL SHARE TRANSACTIONS
Each Fund is authorized to issue an unlimited number of Class A 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 YEAR ENDED
--------------------------------------
OCTOBER 31, 2003 OCTOBER 31, 2002
---------------- ----------------
Shares sold 102,786,071 292,017,745
Shares issued in reinvestment
of dividends and distributions 150,216 655,775
Shares redeemed (127,332,044) (326,291,771)
------------ ------------
Net decrease (24,395,757) (33,618,251)
============ ============
</Table>
<Table>
<Caption>
MUNICIPAL MONEY
--------------------------------------
FOR THE YEAR ENDED
--------------------------------------
OCTOBER 31, 2003 OCTOBER 31, 2002
---------------- ----------------
Shares sold 121,114,088 343,557,549
Shares issued in reinvestment
of dividends and distributions 121,069 502,413
Shares redeemed (148,195,864) (369,714,124)
------------ ------------
Net decrease (26,960,707) (25,654,162)
============ ============
</Table>
On October 31, 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 2 86%
Municipal Money 1 96%
</Table>
Some of the shareholders are omnibus accounts, which hold shares on behalf of
individual shareholders.
NOTE 4. FEDERAL INCOME TAXES
Income and capital gain distributions are determined in accordance with
federal income tax regulations, which may differ from GAAP.
18
<Page>
NOTE 4. FEDERAL INCOME TAXES
The tax characteristics of dividends and distributions paid during the years
ended October 31, 2003 and 2002, respectively, by the Funds were as follows:
<Table>
<Caption>
ORDINARY INCOME TAX EXEMPT INCOME
--------------------- --------------------
FUND 2003 2002 2003 2002
---- --------- ---------- --------- ---------
U.S. Government Money $ 151,366 $ 747,507 $ -- $ --
Municipal Money -- 38,760 121,221 525,721
</Table>
At October 31, 2003, the components of distributable earnings on a tax basis
for the Fund's were as follows:
<Table>
<Caption>
U.S. GOVERNMENT MONEY MUNICIPAL MONEY
--------------------- ---------------
Undistributed ordinary income $ 2,917 $ --
Accumulated realized loss -- (3,697)
</Table>
At October 31, 2003, Municipal Money had capital loss carryforwards available
to offset possible future capital gains as follows:
<Table>
<Caption>
EXPIRES OCTOBER 31,
2011
------------------
$ 3,697
</Table>
At October 31, 2003, the identified cost for federal income tax purposes was
as follows:
<Table>
<Caption>
FUND IDENTIFIED COST
---- ---------------
U.S. Government Money $ 19,280,596
Municipal Money 20,297,037
</Table>
At October 31, 2003, undistributed net investment income, accumulated net
realized gain (loss) from investments have been adjusted for current period
permanent book/tax differences which arose principally from differing book/tax
treatments that arose from dividend redesignations. Net assets were not affected
by these reclassifications:
<Table>
<Caption>
ACCUMULATED NET
UNDISTRIBUTED NET REALIZED GAIN ON
FUND INVESTMENT INCOME INVESTMENTS
---- ----------------- ----------------
U.S. Government Money $ 2,917 $ (2,917)
</Table>
NOTE 5. CONTINGENCIES
In the normal course of business, each Fund may provide general
indemnifications pursuant to certain contracts and organizational documents. The
Funds' maximum exposure under these arrangements is dependent on future claims
that may be made against the Funds and, therefore, cannot be estimated; however,
based on experience, the risk of loss from such claims is considered remote.
19
<Page>
CREDIT SUISSE FUNDS
REPORT OF INDEPENDENT AUDITORS
To the Board of Trustees and Shareholders of
Credit Suisse U.S. Government Money Fund and
Credit Suisse Municipal Money Fund:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Credit Suisse U.S. Government Money
Fund and Credit Suisse Municipal Money Fund (two of the funds comprising the
Credit Suisse Opportunity Funds) (collectively referred to as the "Funds") at
October 31, 2003, the results of their operations for the year then ended, the
changes in their net assets for each of the two years in the period then ended
and the financial highlights for each of the three years in the period then
ended, in conformity with accounting principles generally accepted in the United
States of America. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Funds' management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with auditing standards generally accepted in
the United States of America, which require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements are free
of material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at October 31, 2003 by
correspondence with the custodian and broker, provide a reasonable basis for our
opinion. The financial highlights of the Funds for each of the periods presented
in the period ended October 31, 2000 were audited by other independent auditors,
whose report dated December 20, 2000 expressed an unqualified opinion on those
statements.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 23, 2003
20
<Page>
CREDIT SUISSE FUNDS
INFORMATION CONCERNING TRUSTEES AND OFFICERS (UNAUDITED)
<Table>
<Caption>
TERM NUMBER OF
OF OFFICE(1) PORTFOLIOS IN
AND FUND
POSITION(S) LENGTH PRINCIPAL COMPLEX OTHER
NAME, ADDRESS AND HELD WITH OF TIME OCCUPATION(S) DURING OVERSEEN BY DIRECTORSHIPS
DATE OF BIRTH FUNDS SERVED PAST FIVE YEARS TRUSTEE HELD BY TRUSTEE
- ----------------- ----------- ------------ -------------------- ------------- ---------------
INDEPENDENT TRUSTEES
Richard H. Francis Trustee, Since Currently retired 44 None
c/o Credit Suisse Asset Nominating 2001
Management, LLC and Audit
466 Lexington Avenue Committee
New York, New York Member
10017-3140
Date of Birth: 04/23/32
Jeffrey E. Garten Trustee, Since Dean of Yale School 43 Director of Aetna,
Box 208200 Nominating 2001 of Management and Inc. (insurance
New Haven, Connecticut and Audit William S. Beinecke company); Director
06520-8200 Committee Professor in the of Calpine
Member Practice of Corporation (energy
Date of Birth: 10/29/46 International Trade provider); Director
and Finance (11/95 - of CarMax Group
present) (used car dealers)
</Table>
- -----------
(1) Each Trustee and Officer serves until his or her respective successor has
been duly elected and qualified.
21
<Page>
<Table>
<Caption>
TERM NUMBER OF
OF OFFICE(1) PORTFOLIOS IN
AND FUND
POSITION(S) LENGTH PRINCIPAL COMPLEX OTHER
NAME, ADDRESS AND HELD WITH OF TIME OCCUPATION(S) DURING OVERSEEN BY DIRECTORSHIPS
DATE OF BIRTH FUNDS SERVED PAST FIVE YEARS TRUSTEE HELD BY TRUSTEE
- ----------------- ----------- ------------ -------------------- ------------- ---------------
INDEPENDENT TRUSTEES
Peter F. Krogh Trustee, Since Dean Emeritus and 43 Director of
301 ICC Nominating 2001 Distinguished Professor Carlisle
Georgetown University and Audit of International Affairs Companies
Washington, DC 20057 Committee at the Edmund A. Walsh Incorporated
Member School of (diversified
Date of Birth: 02/11/37 Foreign Service, manufacturing
Georgetown University company);
(6/95 - present); Member of
Moderator of PBS Selection
foreign affairs television Committee
series (1988 - 2000) for Truman
Scholars
and Henry Luce
Scholars; Senior
Associate of
Center for
Strategic and
International
Studies; Trustee
of numerous
world affairs
organizations
James S. Pasman, Jr. Trustee, Since Currently retired 45 Director of
c/o Credit Suisse Asset Nominating 2001 Education
Management, LLC and Audit Management
466 Lexington Avenue Committee Corp.
New York, New York Member
10017-3140
Date of Birth: 12/20/30
</Table>
22
<Page>
<Table>
<Caption>
TERM NUMBER OF
OF OFFICE(1) PORTFOLIOS IN
AND FUND
POSITION(S) LENGTH PRINCIPAL COMPLEX OTHER
NAME, ADDRESS AND HELD WITH OF TIME OCCUPATION(S) DURING OVERSEEN BY DIRECTORSHIPS
DATE OF BIRTH FUNDS SERVED PAST FIVE YEARS TRUSTEE HELD BY TRUSTEE
- ----------------- ----------- ------------ -------------------- ------------- ---------------
INDEPENDENT TRUSTEES
Steven N. Rappaport Trustee, Since Partner of Lehigh 45 None
Lehigh Court, LLC Nominating 2001 Court, LLC and
40 East 52nd Street Committee RZ Capital
New York, New York Member and (private investment
10022 Audit firms) (7/02 - present);
Committee Consultant to
Date of Birth: 07/10/48 Chairman SunGard Securities
Finance, Inc. from
February 2002 to
July 2002; President
of SunGard Securities
Finance, Inc.
from 2001 to
February 2002;
President of Loanet,
Inc. (on-line accounting
service) from 1997
to 2001
INTERESTED TRUSTEES
Joseph D. Gallagher(2) Trustee, Since Managing Director and 46 None
Credit Suisse Asset Chairman of 2003 Chief Executive Officer
Management, LLC the Board of CSAM since 2003;
466 Lexington Avenue and Chief Global Chief Financial
New York, New York Executive Officer, Credit Suisse
10017-3140 Officer Asset Management since
1999; Chief Executive
Date of Birth: 12/14/62 Officer and Director of
Credit Suisse Asset
Management Limited,
London, England, from
June 2000 to 2003;
Director of Credit
Suisse Asset Management
Funds (UK) Limited,
London, England, from
June 2000 to 2003;
Managing Director,
Head -- Asian Corporate
Finance and M&A, Credit
Suisse First Boston,
Hong Kong, China, from
January 1998 to May
1999
</Table>
- ----------
(2) Mr. Gallagher is a Trustee who is an "interested person" of the Fund as
defined in the 1940 Act, because he is an officer of CSAM.
23
<Page>
<Table>
<Caption>
TERM NUMBER OF
OF OFFICE(1) PORTFOLIOS IN
AND FUND
POSITION(S) LENGTH PRINCIPAL COMPLEX OTHER
NAME, ADDRESS AND HELD WITH OF TIME OCCUPATION(S) DURING OVERSEEN BY DIRECTORSHIPS
DATE OF BIRTH FUNDS SERVED PAST FIVE YEARS TRUSTEE HELD BY TRUSTEE
- ----------------- ----------- ------------ -------------------- ------------- ---------------
INTERESTED TRUSTEES
William W. Priest, Jr.(3) Trustee Since Co-Managing Partner, 50 Director of Globe
Steinberg Priest & Sloane 2001 Steinberg Priest & Wireless, LLC
Capital Management, LLC Sloane Capital (maritime
12 East 49th Street Management, LLC communications
12th Floor since March 2001; company);
New York, New York Chairman and Director of
10017 Managing Director InfraRed X
of CSAM (medical device
Date of Birth: 09/24/41 from 2000 to company)
February 2001,
Chief Executive Officer
and Managing Director
of CSAM from 1990 to
2000
</Table>
- ----------
(3) Mr. Priest is a Trustee who is an "interested person" of the Fund as
defined in the 1940 Act, because he provided consulting services to CSAM
within the last two years (ended 12/31/02).
24
<Page>
<Table>
<Caption>
TERM
OF OFFICE(1)
AND
POSITION(S) LENGTH
NAME, ADDRESS AND HELD WITH OF TIME
DATE OF BIRTH FUNDS SERVED PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS
- ----------------- ----------- ------------ ----------------------------------------------
OFFICERS
Hal Liebes Vice President Since Managing Director and Global General Counsel of CSAM;
Credit Suisse Asset and Secretary 1999 Associated with CSAM since 1997; Officer of other
Management, LLC Credit Suisse Funds
466 Lexington Avenue
New York, New York
10017-3140
Date of Birth: 07/06/64
Michael A. Pignataro Chief Financial Since Director and Director of Fund Administration of CSAM;
Credit Suisse Asset Officer and 1999 Associated with CSAM since 1984; Officer of other
Management, LLC Treasurer Credit Suisse Funds
466 Lexington Avenue
New York, New York
10017-3140
Date of Birth: 11/15/59
Gregory N. Bressler Assistant Since Director and Deputy General Counsel of CSAM;
Credit Suisse Asset Secretary 2000 Associated with CSAM since January 2000; Associated
Management, LLC with the law firm of Swidler Berlin Shereff Friedman LLP
466 Lexington Avenue from 1996 to 2000; Officer of other Credit Suisse Funds
New York, New York
10017-3140
Date of Birth: 11/17/66
Rocco A. Del Guercio Assistant Since Vice President of CSAM; Associated with CSAM since
Credit Suisse Asset Treasurer 1999 June 1996; Officer of other Credit Suisse Funds
Management, LLC
466 Lexington Avenue
New York, New York
10017-3140
Date of Birth: 04/28/63
</Table>
25
<Page>
<Table>
<Caption>
TERM
OF OFFICE(1)
AND
POSITION(S) LENGTH
NAME, ADDRESS AND HELD WITH OF TIME
DATE OF BIRTH FUNDS SERVED PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS
- ----------------- ----------- ------------ ----------------------------------------------
OFFICERS
Joseph Parascondola Assistant Since Assistant Vice President of CSAM; Associated with CSAM
Credit Suisse Asset Treasurer 2000 since April 2000; Assistant Vice President, Deutsche
Management, LLC Asset Management from January 1999 to April 2000;
466 Lexington Avenue Assistant Vice President, Weiss, Peck & Greer LLC from
New York, New York November 1995 to December 1998; Officer of other
10017-3140 Credit Suisse Funds
Date of Birth: 06/05/63
Robert M. Rizza Assistant Since Assistant Vice President of CSAM; Associated with CSAM
Credit Suisse Asset Treasurer 2002 since 1998; Officer of other Credit Suisse Funds
Management, LLC
466 Lexington Avenue
New York, New York
10017-3140
Date of Birth: 12/09/65
</Table>
The Statement of Additional Information includes additional information about
the Trustees and is available, without charge, upon request, by calling
800-927-2874.
26
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CREDIT SUISSE FUNDS
TAX INFORMATION LETTER (UNAUDITED)
October 31, 2003
U.S. GOVERNMENT MONEY
IMPORTANT TAX INFORMATION FOR SHAREHOLDERS
In the twelve months ended October 31, 2003, (the end of the fiscal year),
40.41% of the dividends paid by the Fund were US Government securities interest
dividends for the purpose of federal income taxes and free from such taxes.
MUNICIPAL MONEY
IMPORTANT TAX INFORMATION FOR SHAREHOLDERS
In the twelve months ended October 31, 2003, (the end of the fiscal year),
99.86% of the dividends paid by the Fund were exempt-interest dividends for the
purpose of federal income taxes and free from such taxes.
In January 2004, you will be furnished with a schedule of the yearly
percentage breakdown by state or U.S. possession of the source of interest
earned by the Fund in 2003. It is suggested that you consult your tax advisor
concerning the applicability of State and local taxes to dividends paid by the
Fund during the year.
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P.O. BOX 55030, BOSTON, MA 02205-5030 [CREDIT SUISSE ASSET MANAGEMENT LOGO]
800-927-2874 - www.csam-americas.com
CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., DISTRIBUTOR. CSGMN-2-1003
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ITEM 2. CODE OF ETHICS.
The registrant has adopted a code of ethics applicable to its Chief Executive
Officer, President, Chief Financial Officer and Chief Accounting Officer, or
persons performing similar functions. A copy of the code is filed as Exhibit
11(a)(1) to this Form. There were no amendments to the code during the fiscal
year ended October 31, 2003. There were no waivers or implicit waivers from the
code granted by the registrant during the fiscal year ended October 31, 2003.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant's governing board has determined that it has three audit
committee financial experts serving on its audit committee: Richard H. Francis,
James S. Pasman, Jr., and Steven N. Rappaport. Each audit committee financial
expert is "independent" for purposes of this item.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Form N-CSR disclosure requirement is not yet effective with respect to the
registrant.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to the registrant.
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. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the registrant.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
N-CSR disclosure requirement not yet effective with respect to the registrant.
ITEM 10. CONTROLS AND PROCEDURES.
(a) As of a date within 90 days from the filing date of this report, the
principal executive officer and principal financial officer concluded that the
registrant's disclosure controls and procedures (as defined in Rule 30a-3(c)
under the Investment Company Act of 1940 (the "Act")) were effective based on
their evaluation of the disclosure controls and procedures required by Rule
30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934.
(b) There were no changes in registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the
registrant's second fiscal half-year that have materially affected, or are
reasonably likely to materially affect, the registrant's internal control over
financial reporting.
ITEM 11. EXHIBITS.
(a)(1) The registrant's code of ethics is an exhibit to this report.
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(a)(2) The certifications of the registrant as required by Rule 30a-2(a) under
the Act are exhibits to this report.
(a)(3) Not applicable.
(b) The certifications of the registrant as required by Rule 30a-2(b) under
the Act are an exhibit to this report.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, the registrant has duly caused this
report to be signed on its behalf by the undersigned, thereunto duly authorized.
CREDIT SUISSE OPPORTUNITY FUNDS
/s/ Joseph D. Gallagher
-----------------------
Name: Joseph D. Gallagher
Title: Chief Executive Officer
Date: January 5, 2004
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: January 5, 2004
/s/ Michael A. Pignataro
------------------------
Name: Michael A. Pignataro
Title: Chief Financial Officer
Date: January 5, 2004