<Page>
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. 811-09054
---------------------------------------------------
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, 2004
Date of reporting period: November 1, 2003 to April 30, 2004
<Page>
ITEM 1. REPORTS TO STOCKHOLDERS.
<Page>
[CREDIT SUISSE ASSET MANAGEMENT LOGO]
CREDIT SUISSE FUNDS
SEMIANNUAL REPORT
APRIL 30, 2004
(UNAUDITED)
- - CREDIT SUISSE
U.S. GOVERNMENT MONEY FUND
- - CREDIT SUISSE
MUNICIPAL MONEY FUND
THE FUNDS' INVESTMENT OBJECTIVES, RISKS, CHARGES AND EXPENSES (WHICH SHOULD BE
CONSIDERED CAREFULLY BEFORE INVESTING), AND MORE COMPLETE INFORMATION ABOUT THE
FUNDS ARE PROVIDED IN THE PROSPECTUS, 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 VIEWS OF THE FUNDS' MANAGEMENT ARE AS OF THE DATE OF THE LETTER AND FUND
HOLDINGS DESCRIBED IN THIS DOCUMENT ARE AS OF APRIL 30, 2004; 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. FUND INVESTMENTS ARE SUBJECT TO INVESTMENT
RISKS, INCLUDING LOSS OF YOUR INVESTMENT.
<Page>
CREDIT SUISSE U.S. GOVERNMENT MONEY FUND
SEMIANNUAL INVESTMENT ADVISER'S REPORT
April 30, 2004 (unaudited)
May 19, 2004
Dear Shareholder:
The following statistics characterized the Credit Suisse U.S. Government
Money Fund (the "Fund") at April 30, 2004: annualized current and effective
yields for the seven days ended April 30, 2004 were each 0.33%(1); and total net
assets were $11.4 million, compared to $23.4 million on October 31, 2003.
The difficult investment environment for money market funds that prevailed
throughout 2003 persisted during most of the Fund's fiscal half-year. Nominal
interest rates remained at a multi-decade low of 1.00%, and were generally
expected to stay there until late 2004 at the earliest. Economic growth
continued to build upward momentum, furthermore, prompting many investors to
feel more comfortable with relatively risky financial assets than previously.
The result was that considerable sums flowed out of money market funds and into
other vehicles that offered higher yields, greater potential returns via
appreciation, or both.
To some extent, the environment changed in April. A number of economic
indicators -- better-than-expected employment data, rising inflation and a surge
in oil prices -- as well as remarks by Federal Reserve (the "Fed") Chairman Alan
Greenspan, were widely interpreted as signalling that the Fed was preparing to
raise nominal rates. Bond yields rose sharply across the maturity spectrum.
Our management approach to the Fund mirrored the shift in the marketplace
that we have described. We thus continued to structure the portfolio based on
our conviction that rates were most likely to remain stable and not rise in the
near term, but became more concerned in April about a possible acceleration in
the timing of the eventual first rate-hike.
As the period progressed, we gradually shortened the Fund's average weighted
maturity, to 67 days at April 30, 2004 from 79 days on October 31, 2003. We did
so not only because yields on relatively longer-term securities (I.E., with
maturities of up to one year) did not offer what we deemed to be sufficient
compensation for maturity risk, but also because we felt it was increasingly
prudent to adopt a more conservative stance amid the marketplace's considerable
volatility.
Credit Suisse Asset Management, LLC
1
<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.
ON MAY 19, 2004, THE BOARD OF TRUSTEES OF CREDIT SUISSE U.S. GOVERNMENT MONEY
FUND (THE "ACQUIRED FUND"), A SERIES OF CREDIT SUISSE OPPORTUNITY FUNDS,
APPROVED A REORGANIZATION (THE "REORGANIZATION") WHEREBY ALL OF THE ACQUIRED
FUND'S ASSETS AND LIABILITIES WILL BE TRANSFERRED TO CREDIT SUISSE CASH RESERVE
FUND, INC. (THE "ACQUIRING FUND") IN EXCHANGE FOR CLASS A SHARES OF THE
ACQUIRING FUND. THE ACQUIRED FUND WILL THEN BE LIQUIDATED, AND CLASS A SHARES OF
THE ACQUIRING FUND WILL BE DISTRIBUTED TO THE ACQUIRED FUND'S SHAREHOLDERS. THE
CLOSING DATE FOR THE REORGANIZATION (THE "CLOSING DATE") HAS NOT YET BEEN
DETERMINED.
AS A RESULT OF THE REORGANIZATION, EACH SHAREHOLDER OF THE ACQUIRED FUND WILL
BECOME A CLASS A SHAREHOLDER OF THE ACQUIRING FUND AND WILL RECEIVE ON A
TAX-FREE BASIS CLASS A SHARES OF THE ACQUIRING FUND WITH THE SAME AGGREGATE NET
ASSET VALUE AS THEIR SHARES OF BENEFICIAL INTEREST OF THE ACQUIRED FUND. ONCE
THE CLOSING DATE HAS BEEN DETERMINED, A LETTER DESCRIBING THE REORGANIZATION,
ALONG WITH A PROSPECTUS FOR THE ACQUIRING FUND, WILL BE MAILED TO ALL
SHAREHOLDERS OF THE ACQUIRED FUND.
2
<Page>
AVERAGE ANNUAL RETURNS AS OF MARCH 31, 2004(2)
<Table>
<Caption>
1 YEAR 5 YEARS SINCE INCEPTION INCEPTION DATE
------ ------- --------------- --------------
0.32% 2.74% 3.30% 2/24/97
</Table>
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2004(2)
<Table>
<Caption>
1 YEAR 5 YEARS SINCE INCEPTION INCEPTION DATE
------ ------- --------------- --------------
0.30% 2.67% 3.26% 2/24/97
</Table>
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.
- ----------
(1) The annualized current and effective yields, without waivers and/or
reimbursements, were -1.80% and -1.78% respectively. Declines in
interest-rate levels have caused this Fund's earnings to fall below the
Fund's expenses, resulting in a negative yield. CSAM has agreed voluntarily
to waive fees and reimburse expenses as necessary to maintain a positive
yield. This waiver and reimbursement may be changed or terminated at any
time.
(2) Returns assume reinvestment of dividends.
3
<Page>
CREDIT SUISSE MUNICIPAL MONEY FUND
SEMIANNUAL INVESTMENT ADVISER'S REPORT
April 30, 2004 (unaudited)
May 18, 2004
Dear Shareholder:
The following statistics characterized the Credit Suisse Municipal Money Fund
(the "Fund") at April 30, 2004: annualized current and effective yields for the
seven days ended April 30, 2004 were each 0.27%(1); and total net assets were
$21.0 million, compared to $20.8 million on October 31, 2003.
The difficult investment environment for money market funds that prevailed
throughout 2003 persisted during most of the Fund's fiscal half-year. Nominal
interest rates remained at a multi-decade low of 1.00%, and were generally
expected to stay there until late 2004 at the earliest. Economic growth
continued to build upward momentum, furthermore, prompting many investors to
feel more comfortable with relatively risky financial assets than previously.
The result was that considerable sums flowed out of money market funds and into
other vehicles that offered higher yields, greater potential returns via
appreciation, or both.
To some extent, the environment changed in April. A number of economic
indicators -- better-than-expected employment data, rising inflation and a surge
in oil prices -- as well as remarks by Federal Reserve (the "Fed") Chairman Alan
Greenspan, were widely interpreted as signaling that the Fed was preparing to
raise nominal rates. Bond yields rose sharply across the maturity spectrum.
There were a couple of positives in the municipal universe that we feel are
worth mentioning. First, the outlook for credit quality brightened as many
states reported marked improvement in their financial condition. Second, yields
for many municipal securities were unusually close to those of their taxable
counterparts, meaning that the municipals' after-tax returns were especially
desirable. This periodically helped to draw large "crossover" buyers (I.E., debt
investors that look for compelling opportunities, whether in taxable or
municipal instruments) into the municipal market.
Our management approach to the Fund mirrored the shift in the marketplace
that we have described. We thus continued to structure the portfolio based on
our conviction that rates were most likely to remain stable and not rise in the
near term, but became more concerned in April about a possible acceleration in
the timing of the eventual first rate-hike.
As the period progressed, we gradually shortened the Fund's average weighted
maturity, to 41 days at April 30, 2004 from 52 days on October 31, 2003. We did
so not only because yields on relatively longer-term securities
4
<Page>
(I.E., with maturities of up to one year) did not offer what we deemed to be
sufficient compensation for maturity risk, but also because we felt it was
increasingly prudent to adopt a more conservative stance amid the marketplace's
considerable volatility. We maintained our emphasis on 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 THE FUND'S INCOME MAY BE SUBJECT TO STATE, LOCAL AND CITY TAXES
OR THE FEDERAL ALTERNATIVE MINIMUM TAX.
IN ADDITION TO HISTORICAL INFORMATION, THIS REPORT CONTAINS FORWARD-LOOKING
STATEMENTS, WHICH MAY CONCERN, AMONG OTHER THINGS, DOMESTIC AND FOREIGN MARKET,
INDUSTRY AND ECONOMIC TRENDS AND DEVELOPMENTS AND GOVERNMENT REGULATION AND
THEIR POTENTIAL IMPACT ON THE FUND'S INVESTMENT PORTFOLIO. THESE STATEMENTS ARE
SUBJECT TO RISKS AND UNCERTAINTIES AND ACTUAL TRENDS, DEVELOPMENTS AND
REGULATIONS IN THE FUTURE AND THEIR IMPACT ON THE FUND COULD BE MATERIALLY
DIFFERENT FROM THOSE PROJECTED, ANTICIPATED OR IMPLIED. THE FUND HAS NO
OBLIGATION TO UPDATE OR REVISE FORWARD-LOOKING STATEMENTS.
5
<Page>
AVERAGE ANNUAL RETURNS AS OF MARCH 31, 2004(2)
<Table>
<Caption>
1 YEAR 5 YEARS SINCE INCEPTION INCEPTION DATE
------ ------- --------------- --------------
0.25% 1.63% 1.95% 2/24/97
</Table>
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2004(2)
<Table>
<Caption>
1 YEAR 5 YEARS SINCE INCEPTION INCEPTION DATE
------ ------- --------------- --------------
0.23% 1.60% 1.93% 2/24/97
</Table>
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.
- ----------
(1) The annualized current and effective yields, without waivers and/or
reimbursements, were -1.59% and -1.58% respectively. Declines in
interest-rate levels have caused this Fund's earnings to fall below the
Fund's expenses, resulting in a negative yield. CSAM has agreed voluntarily
to waive fees and reimburse expenses as necessary to maintain a positive
yield. This waiver and reimbursement may be changed or terminated at any
time.
(2) Returns assume reinvestment of dividends.
6
<Page>
CREDIT SUISSE U.S. GOVERNMENT MONEY FUND
SCHEDULE OF INVESTMENTS
April 30, 2004 (unaudited)
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
- ---------- ------------- -------- ----- -------------
UNITED STATES AGENCY OBLIGATIONS (86.7%)
$ 500 Fannie Mae Discount Notes (AAA , Aaa) 09/13/04 1.340 $ 497,487
500 Fannie Mae Discount Notes (AAA , Aaa) 09/17/04 1.340 497,413
500 Fannie Mae Discount Notes (AAA , Aaa) 04/01/05 1.520 492,928
1,000 Fannie Mae Global Notes (AAA , Aaa) 05/14/04 5.625 1,001,560
800 Fannie Mae Global Notes## (AAA , Aaa) 06/10/04 1.050 800,000
3,000 Fannie Mae Notes## (AAA , Aaa) 06/15/04 1.080 2,999,530
1,500 Federal Farm Credit Bank Bonds## (AAA , Aaa) 05/05/04 0.985 1,500,000
1,000 Federal Home Loan Bank Bonds## (AAA , Aaa) 07/05/04 1.040 999,966
300 Freddie Mac Discount Notes (AAA , Aaa) 08/12/04 1.380 298,815
500 Freddie Mac Discount Notes (AAA , Aaa) 10/07/04 1.240 497,262
300 Freddie Mac Discount Notes (AAA , Aaa) 03/08/05 1.170 296,968
-------------
TOTAL UNITED STATES AGENCY OBLIGATIONS (Cost $9,881,929) 9,881,929
-------------
REPURCHASE AGREEMENT (13.9%)
1,580 Morgan Stanley (Agreement dated 4/30/04,
to be repurchased at $1,594,961,
collateralized by $1,255,000 Treasury
Inflation Indexed Note 4.25% due 1/15/10.
Market Value of collateral is $1,612,145)
(Cost $1,580,000) (A1,P1) 05/03/04 1.030 1,580,000
-------------
TOTAL INVESTMENTS AT VALUE (100.6%) (Cost $11,461,929) 11,461,929
LIABILITIES IN EXCESS OF OTHER ASSETS (-0.6%) (71,877)
-------------
NET ASSETS (100.0%) $ 11,390,052
=============
</Table>
Average Weighted Maturity -- 67 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 April 30, 2004 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.
7
<Page>
CREDIT SUISSE MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS
April 30, 2004 (unaudited)
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
- ---------- ------------- -------- ----- -------------
MUNICIPAL BONDS (63.7%)
CONNECTICUT (1.9%)
$ 400 Connecticut State Health & Educational
Facilities Authority Revenue Bonds,
Series V-2 (Yale University LOC)## (A1+ , VMIG1) 05/03/04 1.050 $ 400,000
-------------
TOTAL CONNECTICUT (Cost $400,000) 400,000
-------------
DELAWARE (3.3%)
700 Delaware River & Bay Authority Revenue Bonds,
Series B (AMBAC Insurance LOC)## (A1+ , VMIG1) 05/06/04 1.060 700,000
-------------
TOTAL DELAWARE (Cost $700,000) 700,000
-------------
FLORIDA (2.4%)
500 Manatee County Pollution Control Revenue
Bonds, (Florida Power & Light Co. LOC)## (A-1 , VMIG1) 05/03/04 1.100 500,000
-------------
TOTAL FLORIDA (Cost $500,000) 500,000
-------------
GEORGIA (6.2%)
800 Georgia Municipal Electric Authority
Revenue Bonds, Subordinated Series B
(Landesbank Hessen Thuringen LOC)## (A1+ , VMIG1) 05/05/04 1.060 800,000
500 Hapeville Development Authority Industrial
Revenue Bonds, Hapeville Hotel, Ltd.
(Bank of America N.A. LOC)## (NR , P1) 05/03/04 1.080 500,000
-------------
TOTAL GEORGIA (Cost $1,300,000) 1,300,000
-------------
ILLINOIS (1.6%)
330 Kane County Forest Preservation District,
General Obligation Bonds (FGIC LOC) (AAA , Aaa) 12/30/04 3.000 334,239
-------------
TOTAL ILLINOIS (Cost $334,239) 334,239
-------------
INDIANA (2.4%)
500 Mount Vernon Industrial Pollution Control
Revenue Bonds, (General Electric Co. LOC)## (A1+ , Aaa) 05/03/04 1.080 500,000
-------------
TOTAL INDIANA (Cost $500,000) 500,000
-------------
KENTUCKY (2.4%)
500 Louisville & Jefferson County Regulatory
Airport Authority, Special Facilities
Revenue Bonds, Series C
(UPS Worldwide Forwarding LOC)## (A1+ , VMIG1) 05/03/04 1.080 500,000
-------------
TOTAL KENTUCKY (Cost $500,000) 500,000
-------------
LOUISIANA (3.8%)
400 East Baton Rouge Pollution Control Revenue
Bonds, (Exxon Mobil Corp. LOC)## (A1+ , P1) 05/03/04 1.030 400,000
400 Louisiana Public Facilities Authority Industrial
Development Revenue Bonds, Kenner Hotel, Ltd.
(Bank of America N.A. LOC)## (NR , P1) 05/03/04 1.080 400,000
-------------
TOTAL LOUISIANA (Cost $800,000) 800,000
-------------
</Table>
See Accompanying Notes to Financial Statements.
8
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
- ---------- ------------- -------- ----- -------------
MUNICIPAL BONDS
MAINE (1.7%)
$ 350 Maine State Turnpike Authority Revenue Bonds
(MBIA Insurance LOC) (AAA , Aaa) 07/01/04 6.000 $ 360,014
-------------
TOTAL MAINE (Cost $360,014) 360,014
-------------
MASSACHUSETTS (2.9%)
600 Massachusetts State Port Authority Revenue
Bonds, Series A (MBIA LOC) (AAA , Aaa) 07/01/04 2.000 601,092
-------------
TOTAL MASSACHUSETTS (Cost $601,092) 601,092
-------------
MICHIGAN (2.4%)
500 Michigan State, Municipal Notes, Series A (SP1+ , MIG1) 09/30/04 2.000 502,111
-------------
TOTAL MICHIGAN (Cost $502,111) 502,111
-------------
MISSISSIPI (2.4%)
500 Jackson County Pollution Control Revenue Bonds,
(Chevron USA, Inc. LOC)## (NR , P1) 05/03/04 1.100 500,000
-------------
TOTAL MISSISSIPI (Cost $500,000) 500,000
-------------
NEW JERSEY (3.5%)
475 Moorestown Township, General Obligation Bonds (NR , Aa3) 05/01/04 2.000 475,000
255 Springfield Township Schools, General
Obligation Bonds (FSA Insurance LOC) (AAA , Aaa) 06/15/04 3.000 255,622
-------------
TOTAL NEW JERSEY (Cost $730,622) 730,622
-------------
NEW MEXICO (2.4%)
500 Farmington Pollution Control Revenue Bonds,
Arizona Public Service Co., Series C
(Barclays Bank PLC LOC)## (A1+ , P1) 05/03/04 1.080 500,000
-------------
TOTAL NEW MEXICO (Cost $500,000) 500,000
-------------
NEW YORK (9.5%)
400 Long Island Power Authority, NY Electric System
Revenue Bonds, Subseries 1B
(State Street Bank & Trust Co. LOC)## (A1+ , Aa2) 05/03/04 1.080 400,000
400 New York City Municipal Water Finance Authority,
Water & Sewer System Revenue Bonds,
Fiscal 2003, Subseries C-3
(Bank of New York LOC)## (A1+ , VMIG1) 05/03/04 1.090 400,000
500 New York State, General Obligation Unlimited,
Environmental Quality, Series G
(Westdeutsche Landesbank LOC)## (A1+ , VMIG1) 10/01/04 1.030 500,000
400 New York, NY, City Transitional Finance Authority,
Adjusted Future Tax Secured, Series B
(Landesbank Baden LOC)## (A1+ , VMIG1) 05/03/04 1.080 400,000
300 Port Authority of New York & New Jersey,
Special Obligation Revenue Bonds,
Versatile Structure Obligation, Series 6
(Bank of Nova Scotia LOC)## (A1+ , VMIG1) 05/03/04 1.120 300,000
-------------
TOTAL NEW YORK (Cost $2,000,000) 2,000,000
-------------
</Table>
See Accompanying Notes to Financial Statements.
9
<Page>
<Table>
<Caption>
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
- ---------- ------------- -------- ----- -------------
MUNICIPAL BONDS
NORTH CAROLINA (1.4%)
$ 300 North Carolina Medical Care Commission,
Hospital Revenue Bonds, Pooled Financing
Project, Series B
(First Union National Bank LOC)## (AA , VMIG1) 05/03/04 1.120 $ 300,000
-------------
TOTAL NORTH CAROLINA (Cost $300,000) 300,000
-------------
OHIO (2.4%)
500 Paulding County Solid Waste Disposal
Revenue Bonds, Lafarge Corp. Project
(Bayerische Landesbank LOC)## (A1+ , P1) 05/03/04 1.040 500,000
-------------
TOTAL OHIO (Cost $500,000) 500,000
-------------
PENNSYLVANIA (2.4%)
500 Montgomery County Redevelopment Authority
Multifamily Housing Revenue Bonds,
Kingswood Apartments Project, Series A
(Fannie Mae LOC)## (A1+ , NR) 05/06/04 1.060 500,000
-------------
TOTAL PENNSYLVANIA (Cost $500,000) 500,000
-------------
SOUTH CAROLINA (2.6%)
545 South Carolina State, Refunding Highways,
Series B, General Obligation Bonds (AAA , Aaa) 07/01/04 2.000 545,902
-------------
TOTAL SOUTH CAROLINA (Cost $545,902) 545,902
-------------
TEXAS (4.7%)
985 Dallas Waterworks & Sewer Systems,
Refunding & Improvement
Revenue Bonds, Series A (AA+ , Aa2) 10/01/04 3.500 994,796
-------------
TOTAL TEXAS (Cost $994,796) 994,796
-------------
WISCONSIN (1.4%)
300 New Berlin School District, Tax & Revenue
Anticipation Promotional Notes,
General Obligation Notes (SP1+ , MIG1) 09/03/04 2.000 300,911
-------------
TOTAL WISCONSIN (Cost $300,911) 300,911
-------------
TOTAL MUNICIPAL BONDS (Cost $13,369,687) 13,369,687
-------------
<Caption>
NUMBER
OF
SHARES
- ----------
SHORT-TERM INVESTMENT (1.6%)
342,437 Federated Investors Tax-Free Obligations Fund (Cost $342,437) 342,437
-------------
TOTAL INVESTMENTS AT VALUE (65.3%) (Cost $13,712,124) 13,712,124
OTHER ASSETS IN EXCESS OF LIABILITIES (34.7%) 7,286,545
-------------
NET ASSETS (100.0%) $ 20,998,669
=============
</Table>
Average Weighted Maturity -- 41 days (Unaudited)
See Accompanying Notes to Financial Statements.
10
<Page>
INVESTMENT ABBREVIATIONS
AMBAC = Ambac Assurance Corporation
LOC = Letter of Credit
FGIC = Financial Guaranty Insurance Company
MBIA = MBIA Insurance Corporation
FSA = Financial Security Assurance, Inc.
NR = Not Rated
+ Credit ratings given by the Standard & Poor's Division of The McGraw-Hill
Companies, Inc. ("S&P") and Moody's Investors Service, Inc. ("Moody's") are
unaudited.
## The interest rate is as of April 30, 2004 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.
11
<Page>
CREDIT SUISSE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 2004 (unaudited)
<Table>
<Caption>
U.S. GOVERNMENT MUNICIPAL
MONEY FUND MONEY FUND
--------------- --------------
ASSETS
Investments at value (Cost $9,881,929 and $13,712,124,
respectively) (Note 1) $ 9,881,929 $ 13,712,124
Repurchase agreement at value (Cost $1,580,000 and $0,
respectively) (Note 1) 1,580,000 --
Cash 201 110,878
Interest receivable 33,244 43,254
Receivable for fund shares sold 20,537 7,147,817
Receivable from investment adviser (Note 2) 9,110 9,431
Prepaid expenses 20,444 21,245
--------------- --------------
Total Assets 11,545,465 21,044,749
--------------- --------------
LIABILITIES
Administrative services fee payable (Note 2) 2,496 2,909
Distribution fee payable (Note 2) 2,501 2,756
Payable for fund shares redeemed 111,152 --
Trustees' fee payable 47 45
Other accrued expenses payable 39,217 40,370
--------------- --------------
Total Liabilities 155,413 46,080
--------------- --------------
NET ASSETS
Capital stock, $0.001 par value (Note 3) 11,391 21,002
Paid-in capital (Note 3) 11,378,060 20,981,364
Accumulated net realized gain (loss) on investments 601 (3,697)
--------------- --------------
Net Assets $ 11,390,052 $ 20,998,669
=============== ==============
Shares outstanding 11,390,790 21,002,296
--------------- --------------
Net asset value, offering price, and redemption price per share $ 1.00 $ 1.00
=============== ==============
</Table>
See Accompanying Notes to Financial Statements.
12
<Page>
STATEMENTS OF OPERATIONS
For the Six Months Ended April 30, 2004 (unaudited)
<Table>
<Caption>
U.S. GOVERNMENT MUNICIPAL
MONEY FUND MONEY FUND
--------------- --------------
INTEREST INCOME (Note 1) $ 116,807 $ 110,130
--------------- --------------
EXPENSES
Investment advisory fees (Note 2) 41,543 44,619
Administrative services fees (Note 2) 17,617 19,786
Distribution fees Class A (Note 2) 25,965 27,887
Legal fees 17,926 23,952
Transfer agent fees 8,681 2,416
Audit fees 8,412 8,814
Registration fees 8,129 9,085
Printing fees (Note 2) 6,983 6,277
Insurance expense 6,379 7,110
Trustees' fees 3,157 3,155
Custodian fees 2,815 2,158
Miscellaneous expense 5,263 5,657
--------------- --------------
Total expenses 152,870 160,916
Less: fees waived and expense reimbursed (Note 2) (59,557) (73,609)
--------------- --------------
Net expenses 93,313 87,307
--------------- --------------
Net investment income 23,494 22,823
--------------- --------------
NET REALIZED GAIN FROM INVESTMENTS 601 --
--------------- --------------
Net increase in net assets resulting from operations $ 24,095 $ 22,823
=============== ==============
</Table>
See Accompanying Notes to Financial Statements.
13
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
U.S. GOVERNMENT MONEY FUND MUNICIPAL MONEY FUND
----------------------------------- -----------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE YEAR MONTHS ENDED FOR THE YEAR
APRIL 30, 2004 ENDED APRIL 30, 2004 ENDED
(UNAUDITED) OCTOBER 31, 2003 (UNAUDITED) OCTOBER 31, 2003
--------------- ---------------- --------------- ----------------
FROM OPERATIONS
Net investment income $ 23,494 $ 147,434 $ 22,823 $ 113,510
Net realized gain (loss) from investments 601 2,917 -- (3,697)
--------------- ---------------- --------------- ----------------
Net increase in net assets resulting
from operations 24,095 150,351 22,823 109,813
--------------- ---------------- --------------- ----------------
FROM DIVIDENDS
Dividends from net investment income (26,411) (151,366) (22,823) (121,221)
--------------- ---------------- --------------- ----------------
Net decrease in net assets resulting
from dividends (26,411) (151,366) (22,823) (121,221)
--------------- ---------------- --------------- ----------------
FROM CAPITAL SHARE TRANSACTIONS (Note 3)
Proceeds from sale of shares 30,180,319 102,786,071 58,610,680 121,114,088
Reinvestment of dividends 26,178 150,216 22,796 121,069
Net asset value of shares redeemed (42,260,390) (127,332,044) (58,459,715) (148,195,864)
--------------- ---------------- --------------- ----------------
Net increase (decrease) in net assets
from capital share transactions (12,053,893) (24,395,757) 173,761 (26,960,707)
--------------- ---------------- --------------- ----------------
Net increase (decrease) in net assets (12,056,209) (24,396,772) 173,761 (26,972,115)
NET ASSETS
Beginning of period 23,446,261 47,843,033 20,824,908 47,797,023
--------------- ---------------- --------------- ----------------
End of period $ 11,390,052 $ 23,446,261 $ 20,998,669 $ 20,824,908
=============== ================ =============== ================
Undistributed Net Investment Income $ -- $ 2,917 $ -- $ --
=============== ================ =============== ================
</Table>
See Accompanying Notes to Financial Statements.
14
<Page>
CREDIT SUISSE U.S. GOVERNMENT MONEY FUND
FINANCIAL HIGHLIGHTS
(For a Class A Share(1) of the Fund Outstanding Throughout Each Period)
<Table>
<Caption>
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED OCTOBER 31,
APRIL 30, 2004 --------------------------------------------------------------
(UNAUDITED) 2003 2002 2001 2000 1999
-------------- ---------- ---------- ---------- ---------- ----------
PER SHARE DATA
Net asset value, beginning of period $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
-------------- ---------- ---------- ---------- ---------- ----------
INVESTMENT OPERATIONS
Net investment income 0.0012 0.0045 0.0110 0.0410 0.0530 0.0420
Net gain on investments
(both realized and unrealized) 0.0001 0.0001 0.0002 -- -- --
-------------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 0.0013 0.0046 0.0112 0.0410 0.0530 0.0420
-------------- ---------- ---------- ---------- ---------- ----------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.0013) (0.0046) (0.0110) (0.0410) (0.0530) (0.0420)
Distributions from net realized gains -- -- (0.0002) -- -- --
-------------- ---------- ---------- ---------- ---------- ----------
Total dividends and distributions (0.0013) (0.0046) (0.0112) (0.0410) (0.0530) (0.0420)
-------------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
============== ========== ========== ========== ========== ==========
Total return(2) 0.13% 0.46% 1.11% 4.19% 5.39% 4.26%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 11,390 $ 23,446 $ 47,843 $ 81,478 $ 59,926 $ 59,877
Ratio of expenses to average net assets 0.90%(3) 0.90% 0.90% 0.90% 0.90% 0.90%
Ratio of net investment income to average
net assets 0.23%(3) 0.47% 1.12% 4.10% 5.26% 4.19%
Decrease reflected in above operating
expense ratios due to waivers/
reimbursements 0.57%(3) 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 periods shown, total returns would have been lower.
Total returns for period less than one year are not annualized.
(3) Annualized.
See Accompanying Notes to Financial Statements.
15
<Page>
CREDIT SUISSE MUNICIPAL MONEY FUND
FINANCIAL HIGHLIGHTS
(For a Class A Share(1) of the Fund Outstanding Throughout Each Period)
<Table>
<Caption>
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED OCTOBER 31,
APRIL 30, 2004 --------------------------------------------------------------
(UNAUDITED) 2003 2002 2001 2000 1999
-------------- ---------- ---------- ---------- ---------- ----------
PER SHARE DATA
Net asset value, beginning of period $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
-------------- ---------- ---------- ---------- ---------- ----------
INVESTMENT OPERATIONS
Net investment income 0.0010 0.0029 0.0076 0.0240 0.0320 0.0230
Net gain on investments -- 0.0002 -- -- -- --
-------------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 0.0010 0.0031 0.0076 0.0240 0.0320 0.0230
-------------- ---------- ---------- ---------- ---------- ----------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.0010) (0.0031) (0.0076) (0.0240) (0.0320) (0.0230)
Distributions from net realized gains -- -- (0.0000)(2) -- -- --
-------------- ---------- ---------- ---------- ---------- ----------
Total dividends and distributions (0.0010) (0.0031) (0.0076) (0.0240) (0.0320) (0.0230)
-------------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
============== ========== ========== ========== ========== ==========
Total return(3) 0.10% 0.31% 0.76% 2.40% 3.23% 2.37%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 20,999 $ 20,825 $ 47,797 $ 73,444 $ 56,488 $ 44,347
Ratio of expenses to average net assets 0.78%(4) 0.87% 0.90% 0.90% 0.90% 0.90%
Ratio of net investment income to average
net assets 0.20%(4) 0.32% 0.77% 2.38% 3.17% 2.33%
Decrease reflected in above operating
expense ratios due to waivers/
reimbursements 0.66%(4) 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 periods shown, total returns would have been lower.
Total returns for period less than one year are not annualized.
(4) Annualized.
See Accompanying Notes to Financial Statements.
16
<Page>
CREDIT SUISSE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 2004 (unaudited)
NOTE 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The Credit Suisse Opportunity Funds (the "Trust") is registered under the
Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end
management investment company consisting of three investment funds. The
accompanying financial statements and notes are those of the Credit Suisse U.S.
Government Money Fund ("U.S. Government Money") and the Credit Suisse Municipal
Money Fund ("Municipal Money") (each, a "Fund" and collectively, the "Funds").
The Trust was organized under the laws of the State of Delaware as a business
trust on May 31, 1995.
The investment objective of U.S. Government Money is maximum current income,
consistent with liquidity and safety of principal. The investment objective of
Municipal Money is maximum current income exempt from federal income taxes,
consistent with liquidity and safety of principal.
Each Fund is considered to be a separate entity for financial reporting and
tax purposes. It is the policy of each Fund to maintain a stable net asset value
of $1.00 per share. 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
12:00 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.
17
<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 carryforward, 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 the Fund's intention to have each Fund 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.
18
<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 six months ended April 30, 2004, investment advisory fees earned and
voluntarily waived were as follows:
<Table>
<Caption>
GROSS NET
ADVISORY ADVISORY EXPENSE
FUND FEE WAIVER FEE REIMBURSEMENT
--------------------- --------- ---------- -------- -------------
U.S. Government Money $ 41,543 $ (41,543) $ -- $ (18,014)
Municipal Money 44,619 (44,619) -- (28,990)
</Table>
Credit Suisse Asset Management Securities, Inc. ("CSAMSI"), an affiliate of
CSAM, and State Street Bank and Trust Company ("SSB") serve as co-administrators
to the Funds.
For its co-administrative services, CSAMSI currently receives a fee
calculated at an annual rate of 0.10% of each Fund's average daily net assets.
For the six months ended April 30, 2004, co-administrative services fees earned
by CSAMSI were as follows:
<Table>
<Caption>
FUND CO-ADMINISTRATION FEE
--------------------- ----------------------
U.S. Government Money $ 10,386
Municipal Money 11,155
</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>
For the six months ended April 30, 2004, 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 $ 7,231
Municipal Money 8,631
</Table>
19
<Page>
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 currently 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.
Merrill Corporation ("Merrill"), an affiliate of CSAM, has been engaged by
the Funds to provide certain financial printing and fulfillment services. For
the six months ended April 30, 2004, Merrill was paid for its services by the
Funds as follows:
<Table>
<Caption>
FUND AMOUNT
--------------------- --------
U.S. Government Money $ 2,418
Municipal Money 2,418
</Table>
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 SIX MONTHS ENDED FOR THE YEAR ENDED
APRIL 30, 2004 (UNAUDITED) OCTOBER 31, 2003
-------------------------- ------------------
Shares sold 30,180,319 102,786,071
Shares issued in reinvestment of dividends 26,178 150,216
Shares redeemed (42,260,390) (127,332,044)
-------------------------- ------------------
Net decrease (12,053,893) (24,395,757)
========================== ==================
</Table>
20
<Page>
NOTE 3. CAPITAL SHARE TRANSACTIONS
<Table>
<Caption>
MUNICIPAL MONEY
-----------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED
APRIL 30, 2004 (UNAUDITED) OCTOBER 31, 2003
-------------------------- ------------------
Shares sold 58,610,680 121,114,088
Shares issued in reinvestment of dividends 22,796 121,069
Shares redeemed (58,459,715) (148,195,864)
-------------------------- ------------------
Net increase (decrease) 173,761 (26,960,707)
========================== ==================
</Table>
On April 30, 2004, the number of shareholders that held 5% or more of the
outstanding shares of the Funds was as follows:
<Table>
<Caption>
NUMBER OF APPROXIMATE PERCENTAGE
FUND SHAREHOLDERS OF OUTSTANDING SHARES
--------------------- ------------ ----------------------
U.S. Government Money 2 77%
Municipal Money 1 95%
</Table>
Some of the shareholders are omnibus accounts, which hold shares on behalf of
individual shareholders.
NOTE 4. 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.
NOTE 5. PROPOSED REORGANIZATION
On May 19, 2004, the U.S. Government Money Fund's Board of Trustees approved
a proposed reorganization (the "Reorganization") whereby all of the U.S.
Government Money Fund's assets and liabilities would be transferred to Credit
Suisse Cash Reserve Fund (the "Acquiring Fund") in exchange for shares of the
U.S. Government Money Fund. The U.S. Government Money Fund would then be
liquidated and shares of the Acquiring Fund would be distributed to the U.S.
Government Money Fund's shareholders.
If the Reorganization is completed, each shareholder of the U.S. Government
Money Fund would become a shareholder of the Acquiring Fund and would receive on
a tax-free basis shares of the Acquiring Fund with the same aggregate net asset
value as their shares of beneficial interest of the U.S. Government Money Fund.
The Reorganization will only be completed after certain conditions have been
met.
21
<Page>
CREDIT SUISSE FUNDS
PRIVACY POLICY NOTICE (unaudited)
IMPORTANT PRIVACY CHOICES FOR CONSUMERS
We are committed to maintaining the privacy of every current and prospective
customer. We recognize that you entrust important personal information to us,
and we wish to assure you that we take seriously our responsibilities in
protecting and safeguarding this information.
In connection with making available investment products and services to
current and potential customers, we may obtain nonpublic personal information
about you. This information may include your name, address, e-mail address,
social security number, account number, assets, income, financial situation,
transaction history and other personal information.
We may collect nonpublic information about you from the following sources:
- Information we receive on applications, forms, questionnaires, web sites,
agreements or in the course of establishing or maintaining a customer
relationship; and
- Information about your transactions with us, our affiliates, or others.
We do not disclose any nonpublic personal information about our customers or
former customers to anyone, except with your consent or as otherwise permitted
by law.
RESTRICT INFORMATION SHARING WITH AFFILIATES: In cases where we believe that
additional products and services may be of interest to you, we may share the
information described above with our affiliates unless you say "No."
/ / No, please do not share personal and financial information with your
affiliated companies. [If you check this box, you must send this notice
back to us with your name, address and account number to Credit Suisse
Funds, 466 Lexington Avenue, New York, New York 10017.]
We may also disclose this information to firms that perform services on our
behalf. These agents and service providers are required to treat the information
confidentially and use it only for the purpose for which it is provided.
We restrict access to nonpublic personal information about you to those
employees, agents or other parties who need to know that information to provide
products or services to you or in connection with your investments with or
through us. We maintain physical, electronic and procedural safeguards that
comply with federal standards to guard your nonpublic personal information.
NOTE: THIS NOTICE IS PROVIDED TO CLIENTS AND PROSPECTIVE CLIENTS OF CREDIT
SUISSE ASSET MANAGEMENT, LLC ("CSAM"), CSAM CAPITAL INC., AND CREDIT SUISSE
ASSET MANAGEMENT SECURITIES, INC., AND SHAREHOLDERS AND PROSPECTIVE SHAREHOLDERS
IN CSAM-SPONSORED AND-ADVISED INVESTMENT COMPANIES, INCLUDING CREDIT SUISSE
FUNDS, AND OTHER CONSUMERS AND CUSTOMERS, AS APPLICABLE. THIS NOTICE IS NOT
INTENDED TO BE INCORPORATED IN ANY OFFERING MATERIALS BUT IS MERELY A STATEMENT
OF OUR CURRENT PRIVACY POLICY, AND MAY BE AMENDED FROM TIME TO TIME UPON NOTICE
TO YOU. THIS NOTICE IS DATED AS OF MAY 19, 2004.
22
<Page>
PROXY POLICY NOTICE (unaudited)
The policies and procedures that the Funds use to determine how to vote
proxies relating to their portfolio securities are available:
- By calling 1-800-927-2874
- On the Funds' website, www.csam.com/us
- On the website of the Securities and Exchange Commission,
http://www.sec.gov.
23
<Page>
This page intentionally left blank
<Page>
P.O. BOX 55030, BOSTON, MA 02205-5030 [CREDIT SUISSE ASSET MANAGEMENT LOGO]
800-927-2874 - www.csam.com/us
CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., DISTRIBUTOR. CSGMN-3-0404
<Page>
[CREDIT SUISSE ASSET MANAGEMENT LOGO]
CREDIT SUISSE FUNDS
Semiannual Report
April 30, 2004
(unaudited)
- - CREDIT SUISSE
HIGH INCOME FUND
The Fund's investment objectives, risks, charges and expenses (which should be
considered carefully before investing), and more complete information about the
Fund, are provided in the PROSPECTUS, 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>
INVESTORS IN THE CREDIT SUISSE FUNDS SHOULD BE AWARE THAT THEY MAY BE ELIGIBLE
TO PURCHASE COMMON CLASS AND/OR ADVISOR CLASS SHARES (WHERE OFFERED) DIRECTLY OR
THROUGH CERTAIN INTERMEDIARIES. SUCH SHARES ARE NOT SUBJECT TO A SALES CHARGE
BUT MAY BE SUBJECT TO AN ONGOING SERVICE AND DISTRIBUTION FEE OF UP TO 0.50% OF
AVERAGE DAILY NET ASSETS. INVESTORS IN THE CREDIT SUISSE FUNDS SHOULD ALSO BE
AWARE THAT THEY MAY BE ELIGIBLE FOR A REDUCTION OR WAIVER OF THE SALES CHARGE
WITH RESPECT TO CLASS A, B OR C SHARES. FOR MORE INFORMATION, PLEASE REVIEW THE
RELEVANT PROSPECTUSES OR CONSULT YOUR FINANCIAL REPRESENTATIVE.
THE VIEWS OF THE FUND'S MANAGEMENT ARE AS OF THE DATE OF THE LETTER AND THE FUND
HOLDINGS DESCRIBED IN THIS DOCUMENT ARE AS OF APRIL 30, 2004; 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. FUND INVESTMENTS ARE SUBJECT TO INVESTMENT
RISKS, INCLUDING LOSS OF YOUR INVESTMENT.
<Page>
CREDIT SUISSE HIGH INCOME FUND
SEMIANNUAL INVESTMENT ADVISER'S REPORT
April 30, 2004 (unaudited)
May 18, 2004
Dear Shareholder:
For the six months ended April 30, 2004, the share classes of Credit Suisse
High Income Fund(1) (the "Fund") generated returns as follows: Common shares
gained 5.87%, Class A shares (without sales charge) gained 5.75%(2), Class B
shares (without sales charge) gained 5.23%(2), and Class C shares (without sales
charge) also gained 5.23%(2). By contrast, the Citigroup High-Yield Market
Index(3) gained 5.51%, and the Lipper High Yield Bond Funds Index(3) (which
includes only similar funds) gained 5.28%.
The strength that characterized the broad high yield market (to which we
refer generically as "high yield") in 2003 persisted into January 2004, and then
cooled off a bit through the end of the Fund's fiscal half-year in April.
The underlying economic environment remained supportive. As measured by a
number of statistical indicators, the economy kept growing at a healthy pace.
Since rising economic activity tends to bode well for companies' ability to
generate the revenues and cash flow needed to service their debt, investors thus
appeared to stay confident about the creditworthiness of high yield issuers.
Monetary policy had mixed implications for high yield. Nominal short-term
interest rates were unchanged at the historically low level of 1.00%, and the
Federal Reserve seemed comfortable during most of the half-year with keeping
them there. While this was widely interpreted at the time by fixed income buyers
as a desirable sign of stability, it also signalled that the Fed thought the
economy was unlikely to experience rapid growth in the near term, which was less
bullish for high yield.
The supply/demand picture was also mixed. The level of new issuance remained
vigorous well into 2004, but cash flows for high yield mutual funds turned
negative in February and kept going downward in March and April.
It's worth mentioning that high yield declined only modestly in April, a
month in which prices of most other financial assets fell sharply in response to
new data that led most investors to the conclusion that the Fed would have to
raise interest rates and do so sooner than previously anticipated. As we see it,
investors chose to construe the potential for higher rates as an indication that
the US economy would remain strong, which augured well for high yield issuers'
ability to service their debt. Additional positives for high yield in April
included the generally upbeat tone of quarterly corporate earnings
announcements, and an ongoing decline in high yield default rates.
1
<Page>
We attribute the Fund's outperformance of the broad high yield market (i.e.,
as represented by the Citigroup High-Yield Market Index, abbreviated as CHYMI)
to our positioning in a variety of industry sectors. Our positioning was
especially effective in three of the latter; in each case, we enjoyed the
benefits of an overweight (i.e., above-benchmark) allocation as the sector's
return outpaced CHYMI, and effective security selection.
- Wireless telecom: we overweighted several local Sprint and AT&T affiliate
operators [Note: the Fund does not hold securities of Sprint or AT&T
themselves, both of which are rated investment-grade], which benefited from
industry consolidation and company-specific developments, and underweighted
one of the sector's biggest high yield issuers, whose bond valuations had
risen to levels we considered unsustainably high.
- Health care facilities/supplies: we benefited from what we owned (i.e.,
debt of companies across the health care spectrum that performed well) and
did not own (i.e., securities of one of the sector's biggest companies,
which suffered from accounting improprieties and governance problems).
- Gaming: our security selection emphasized an assortment of names that ended
up performing well, and we held little exposure to companies based in
Atlantic City, where the operating climate was weak.
Relative results were least favorable in utilities, energy trading companies
and satellite communications. In utilities, we felt that industry fundamentals
were not sufficiently encouraging and valuations were unsustainably high, and
preferred instead to maintain below-market exposure and choose our holdings very
selectively. Utilities outperformed CHYMI during the half-year. In energy
trading, we avoided the sector's two biggest companies based on our ongoing
skepticism about their fundamentals, but their bonds attracted speculative
buying and ended up outperforming CHYMI. One of our biggest satellite positions
was in a company whose bond prices fluctuated greatly, and ultimately fell, on
takeover speculation in the wake of the acquisition of one of the industry's
biggest players.
Credit Suisse High Yield Management Team
Michael Buchanan
Richard J. Lindquist
Misia K. Dudley
Philip L. Schantz
Mary Ann Thomas
John M. Tobin
John F. Dessauer
Michael J. Dugan
2
<Page>
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.
3
<Page>
AVERAGE ANNUAL RETURNS AS OF MARCH 31, 2004(1)
<Table>
<Caption>
SINCE INCEPTION
1 YEAR 5 YEARS INCEPTION DATE
--------- --------- --------- ---------
Common Class 18.54% -- 7.28% 8/01/00
Class A Without
Sales Charge 18.41% 5.88% 6.30% 3/08/99
Class A With Maximum
Sales Charge 12.75% 4.85% 5.28% 3/08/99
Class B Without CDSC 17.56% 4.99% 5.41% 3/08/99
Class B With CDSC 13.56% 4.99% 5.41% 3/08/99
Class C Without CDSC 17.55% -- 5.69% 2/28/00
Class C With CDSC 16.55% -- 5.69% 2/28/00
</Table>
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2004(1)
<Table>
<Caption>
SINCE INCEPTION
1 YEAR 5 YEARS INCEPTION DATE
--------- --------- --------- ---------
Common Class 14.07% -- 7.12% 8/01/00
Class A Without
Sales Charge 13.93% 5.44% 6.19% 3/08/99
Class A With Maximum
Sales Charge 8.52% 4.41% 5.19% 3/08/99
Class B Without CDSC 12.95% 4.57% 5.30% 3/08/99
Class B With CDSC 8.95% 4.57% 5.30% 3/08/99
Class C Without CDSC 12.95% -- 5.55% 2/28/00
Class C With CDSC 11.95% -- 5.55% 2/28/00
</Table>
RETURNS REPRESENT PAST PERFORMANCE AND INCLUDE CHANGE IN SHARE PRICE AND
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. PAST PERFORMANCE CANNOT GUARANTEE
FUTURE RESULTS. DUE TO MARKET VOLATILITY, THE PERFORMANCE OF THE FUNDS MAY BE
LOWER OR HIGHER THAN THE FIGURES SHOWN. RETURNS AND SHARE PRICE WILL FLUCTUATE,
AND REDEMPTION VALUE MAY BE MORE OR LESS THAN 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. PERFORMANCE INFORMATION
CURRENT TO THE MOST RECENT MONTH-END IS AVAILABLE AT www.csam.com/us.
- ----------
(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 (including maximum sales charge of 4.75%), was 0.76%. Total return
for Class B shares for the reporting period, based on redemption value
(including maximum contingent deferred sales charge of 4%), was 1.23%.
Total return for Class C shares for the reporting period, based on
redemption value (including maximum contingent deferred sales charge of
1%), was 4.23%.
(3) The Citigroup High-Yield Market Index is a broad-based, unmanaged index of
high yield securities that is compiled by Citigroup Global Markets Inc. The
Lipper High Yield Bond Funds Index is an equal-weighted performance index,
adjusted for capital-gain distributions and income dividends, of the
largest qualifying funds classified by Lipper Inc. as investing primarily
in high yield debt securities. It is compiled by Lipper Inc. Investors
cannot invest directly in an index.
4
<Page>
CREDIT SUISSE HIGH INCOME FUND
SCHEDULE OF INVESTMENTS
April 30, 2004 (unaudited)
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS (95.5%)
AEROSPACE (2.0%)
$ 650 Aviall, Inc., Senior Notes
(Callable 7/01/07 @ $103.81) (BB , B1) 07/01/11 7.625 $ 685,750
750 BE Aerospace, Inc., Series B, Senior Subordinated
Notes (Callable 3/01/05 @ $100.00) (B- , Caa3) 03/01/08 8.000 720,000
587 Hexcel Corp., Global Company Guaranteed Notes
(Callable 4/01/06 @ $104.94) (B , B3) 10/01/08 9.875 650,103
950 L-3 Communications Corp., Global Company
Guaranteed Notes (Callable 7/15/08 @ $103.06) (BB- , Ba3) 07/15/13 6.125 950,000
620 Sequa Corp., Senior Notes (BB- , B1) 08/01/09 9.000 688,200
250 Sequa Corp., Series B, Senior Notes (BB- , B1) 04/01/08 8.875 273,750
750 Titan Corp., Rule 144A, Senior Subordinated
Notes (Callable 5/15/07 @ $104.00)++ (B , B2) 05/15/11 8.000 858,750
250 TransDigm, Inc., Global Company Guaranteed
Notes (Callable 7/15/06 @ $106.28) (B- , B3) 07/15/11 8.375 265,625
------------
5,092,178
------------
AIRLINES (0.0%)
100 American Airlines, Inc., Series 01-2, Pass Thru
Certificates (BB , B1) 10/01/06 7.800 95,002
------------
AUTOMOBILE MANUFACTURING/VEHICLE PARTS (2.7%)
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 (B- , B3) 04/15/06 11.500 985,050
250 Collins & Aikman Products Co., Global Company
Guaranteed Notes (Callable 12/31/06 @ $105.38) (B- , B2) 12/31/11 10.750 260,000
400 Cummins, Inc., Global Senior Notes
(Callable 12/01/06 @ $104.75) (BB+ , Ba2) 12/01/10 9.500 466,000
500 Group 1 Automotive, Inc., Senior Subordinated
Notes (Callable 8/15/08 @ $104.12) (B+ , B1) 08/15/13 8.250 548,750
200 Holley Performance Products, Inc., Series B,
Company Guaranteed Notes
(Callable 9/15/04 @ $104.08) (CCC- , Caa3) 09/15/07 12.250 161,000
700 J. L. French Automotive Castings, Inc., Series B,
Company Guaranteed Notes
(Callable 6/01/04 @ $105.75) (CCC , Caa1) 06/01/09 11.500 490,000
620 Metaldyne Corp., Global Company Guaranteed
Notes (Callable 6/15/07 @ $105.50) (B , Caa1) 06/15/12 11.000 530,100
250 Metaldyne Corp., Rule 144A, Senior Notes
(Callable 11/01/08 @ $105.00)++ (B , B3) 11/01/13 10.000 243,750
350 Motor Coach Industries International, Inc.,
Company Guaranteed Notes
(Callable 5/01/04 @ $105.62) (CC , Ca) 05/01/09 11.250 159,687
100 Roller Bearing Company of America, Inc.,
Series B, Company Guaranteed Notes
(Callable 6/15/04 @ $101.60) (CCC+ , Caa1) 06/15/07 9.625 98,000
</Table>
See Accompanying Notes to Financial Statements.
5
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
AUTOMOBILE MANUFACTURING/VEHICLE PARTS
$ 500 Stanadyne Corp., Series B, Company Guaranteed
Notes (Callable 12/15/04 @ $101.71) (B , B3) 12/15/07 10.250 $ 502,500
900 Tenneco Automotive, Inc., Series B, Global Secured
Notes (Callable 7/15/08 @ $105.13) (CCC+ , B2) 07/15/13 10.250 1,041,750
520 TRW Automotive, Global Senior Subordinated
Notes (Callable 2/15/08 @ $105.50) (BB- , B2) 02/15/13 11.000 621,400
------------
6,891,737
------------
BANKING (0.2%)
480 Sovereign Bancorp, Inc., Senior Notes (BBB- , Baa3) 11/15/06 10.500 560,194
------------
BROADBAND (1.4%)
500 Atlantic Broadband Finance LLC, Rule 144A,
Senior Subordinated Notes
(Callable 1/15/09 @ $104.69)++ (CCC+ , Caa1) 01/15/14 9.375 487,500
550 Call-Net Enterprises, Inc., Yankee Company
Guaranteed Notes (Callable 1/01/06 @ $105.31) (B , Caa3) 12/31/08 10.625 565,125
1,000 Level 3 Communications Corp., Senior Discount
Notes (Callable 12/01/04 @ $103.50)+ (CC , Caa2) 12/01/08 10.500 710,000
555 Level 3 Communications Corp., Senior Notes
(Callable 5/01/04 @ $103.04) (CC , Caa2) 05/01/08 9.125 399,600
750 Level 3 Financing, Inc., Rule 144A, Senior Notes
(Callable 10/15/07 @ $105.38)++ (CCC- , Caa2) 10/15/11 10.750 667,500
750 Primus Telecommunications Group, Inc., Rule 144A,
Senior Notes (Callable 1/15/09 @ $104.00)++ (CCC , B3) 01/15/14 8.000 693,750
------------
3,523,475
------------
BROADCAST/OUTDOOR (2.3%)
608 Allbritton Communications Co., Global Senior
Subordinated Notes (Callable 12/15/07 @ $103.88) (B- , B3) 12/15/12 7.750 623,200
449 Corus Entertainment, Inc., Global Senior
Subordinated Notes (Callable 3/01/07 @ $104.38) (B+ , B1) 03/01/12 8.750 497,267
324 Emmis Communications Corp., Senior Discount
Notes (Callable 3/15/07@ $104.17)+ (B- , B3) 03/15/11 0.000 325,620
125 Emmis Communications Corp., Series B, Company
Guaranteed Notes (Callable 3/15/05 @ $102.71) (B- , B2) 03/15/09 8.125 131,094
250 Entravision Communications Corp., Global
Company Guaranteed, Senior Subordinated
Notes (Callable 3/15/06 @ $104.06) (B- , B3) 03/15/09 8.125 266,250
150 Gray Television, Inc., Global Company Guaranteed
Notes (Callable (12/15/06 @ $104.62) (B- , B2) 12/15/11 9.250 168,750
700 LIN Television Corp., Global Senior Subordinated
Notes (Callable 5/15/08 @ $103.25) (B , B1) 05/15/13 6.500 693,000
850 Nexstar Finance Holdings LLC., Global Senior
Discount Notes (Callable 4/01/08 @ $105.69)+ (B- , Caa1) 04/01/13 0.000 633,250
650 Paxson Communications Corp., Global Company
Guaranteed, Senior Subordinated Notes
(Callable 1/15/06 @ $106.12)+ (CCC+ , Caa1) 01/15/09 0.000 567,125
</Table>
See Accompanying Notes to Financial Statements.
6
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
BROADCAST/OUTDOOR
$ 150 Salem Communications Holding Corp., Series B,
Global Company Guaranteed Notes
(Callable 7/01/06 @ $104.50) (B- , B3) 07/01/11 9.000 $ 163,500
100 Sinclair Broadcast Group, Inc., Global Company
Guaranteed Notes (Callable 12/15/06 @ $104.38) (B , B2) 12/15/11 8.750 110,500
250 Southern Star Centennial Corp., Global Secured
Notes (Callable 8/01/07 @ $104.25) (B+ , B1) 08/01/10 8.500 276,250
500 Spanish Broadcasting System, Inc.,
Global Company Guaranteed Notes
(Callable 11/01/04 @ $104.81) (CCC+ , Caa1) 11/01/09 9.625 531,250
500 Susquehanna Media Co., Rule 144A,
Global Senior Subordinated Notes
(Callable 4/15/08 @ $103.69)++ (B , B1) 04/15/13 7.375 530,625
300 Videotron Ltee, Global Company Guaranteed
Notes (Callable 1/15/09 @ $103.44) (B+ , Ba3) 01/15/14 6.875 304,500
------------
5,822,181
------------
BUILDING PRODUCTS (2.3%)
150 Airxcel, Inc., Series B, Senior Subordinated
Notes (Callable 11/15/04 @ $101.83) (CCC+ , Caa1) 11/15/07 11.000 150,000
250 Associated Materials, Inc., Global Company
Guaranteed Notes (Callable 4/15/07 @ $104.88) (B- , B3) 04/15/12 9.750 280,000
282 Atrium Companies, Inc., Series B, Company
Guaranteed Notes (Callable 5/01/04 @ $105.25) (B- , B3) 05/01/09 10.500 297,862
190 Building Materials Corporation of America,
Series B, Company Guaranteed Notes (B+ , B2) 12/01/08 8.000 190,475
566 Building Materials Corporation of America,
Series B, Senior Notes (B+ , B2) 07/15/05 7.750 575,905
900 Building Materials Corporation of America,
Unsecured Senior Notes (B+ , B2) 10/15/07 8.000 902,250
250 Collins & Aikman Floorcovering, Global Company
Guaranteed Notes (Callable 2/15/06 @ $104.88) (B , B2) 02/15/10 9.750 266,250
440 Dayton Superior Corp., Company Guaranteed
Notes (Callable 6/15/07 @ $102.17) (CCC+ , Caa2) 06/15/09 13.000 323,400
400 Dayton Superior Corp., Global Secured Notes
(Callable 6/15/06 @ $105.62) (B , B3) 09/15/08 10.750 402,000
177 Interface, Inc., Global Senior Notes (B- , Caa1) 02/01/10 10.375 198,904
250 Interface, Inc., Rule 144A, Senior Subordinated
Notes (Callable 2/01/09 @ $104.75)++ (B- , Caa1) 02/01/14 9.500 252,500
800 Jacuzzi Brands, Inc., Global Secured Notes
(Callable 7/01/07 @ $104.81) (B , B3) 07/01/10 9.625 900,000
1,000 Nortek Holdings, Inc., Rule 144A, Senior Notes
(Callable 11/15/07 @ $105.00)++ + (B- , Caa1) 05/15/11 10.000 752,500
430 Nortek Holdings, Inc., Series B, Global Senior
Subordinated Notes (Callable 6/15/06 @ $104.94) (B- , B3) 06/15/11 9.875 484,825
------------
5,976,871
------------
</Table>
See Accompanying Notes to Financial Statements.
7
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
CABLE (4.5%)
$ 260 Adelphia Communications Corp.,
Series B, Senior Notes## (NR , NR) 07/15/04 10.500 $ 287,300
500 Adelphia Communications Corp.,
Series B, Senior Notes## (NR , NR) 02/15/04 9.500 526,250
1,250 Cablevision Systems New York Group,
Rule 144A, Senior Notes++ (B+ , B3) 04/15/12 8.000 1,259,375
150 Century Communications Corp., Senior Notes## (NR , NR) 10/01/07 8.750 166,500
1,250 Charter Communications Holdings LLC,
Senior Notes (Callable 4/01/05 @ $102.88) (CCC- , Ca) 04/01/09 8.625 1,043,750
500 Comcast UK Cable Partners, Ltd.,
Yankee Debentures (C , Caa2) 11/15/07 1.000 503,750
250 CSC Holdings, Inc., Debentures (BB- , B1) 07/15/18 7.625 253,750
275 CSC Holdings, Inc., Senior Notes (BB- , B1) 12/15/07 7.875 294,250
200 CSC Holdings, Inc., Series B, Debentures (BB- , B1) 08/15/09 8.125 215,000
200 CSC Holdings, Inc., Series B, Senior Notes (BB- , B1) 07/15/09 8.125 214,500
390 CSC Holdings, Inc., Series B, Senior Notes (BB- , B1) 04/01/11 7.625 407,550
700 Directv Holdings LLC, Rule 144A, Global Senior
Notes (Callable 3/15/08 @ $104.19)++ (BB- , B1) 03/15/13 8.375 785,750
880 Insight Communications Company, Inc., Senior
Discount Notes (Callable 2/15/06 @ $106.13)+ (B- , Caa2) 02/15/11 12.250 761,200
20 Insight Midwest/Insight Capital Corp., Global
Senior Notes (Callable 11/01/05 @ $105.25) (B+ , B2) 11/01/10 10.500 21,900
1,110 Insight Midwest/Insight Capital Corp., Senior
Notes (Callable 10/01/04 @ $104.88) (B+ , B2) 10/01/09 9.750 1,176,600
1,250 Mediacom LLC Capital Corp., Senior Notes
(Callable 2/15/06 @ $103.94) (B+ , B2) 02/15/11 7.875 1,212,500
200 Mediacom LLC Capital Corp., Series B,
Senior Notes (Callable 4/15/05 @ $101.42)~ (B+ , B2) 04/15/08 8.500 200,500
320 Northland Cable Television, Inc., Company
Guaranteed Notes (Callable 11/15/04 @ $101.71) (CC , Caa3) 11/15/07 10.250 321,600
650 Olympus Communications LP, Series B,
Senior Notes (Callable 11/15/04 @ $100.00)## (NR , NR) 11/15/06 10.630 806,000
697 Renaissance Media Group LLC, Company
Guaranteed Notes (Callable 4/15/05 @ $101.67)+ (CCC+ , B3) 04/15/08 10.000 723,137
250 Rogers Cable, Inc., Global Secured Notes (BBB- , Ba2) 06/15/13 6.250 241,986
150 Rogers Cablesystems Ltd., Series B,
Yankee Senior Notes (BBB- , Ba2) 03/15/05 10.000 159,184
------------
11,582,332
------------
CAPITAL GOODS (0.9%)
800 Case New Holland, Inc., Rule 144A, Senior Notes
(Callable 8/01/07 @ $104.63)++ (BB- , Ba3) 08/01/11 9.250 896,000
200 Case New Holland, Inc., Rule 144A, Senior Notes
(Callable 8/01/07 @ 104.63)++ (BB- , Ba3) 08/01/11 9.250 224,000
280 JII Holdings LLC, Rule 144A, Secured Notes
(Callable 1/01/05 @ $106.50)++ (CCC- , Caa2) 04/01/07 13.000 253,400
600 SPX Corp., Senior Notes (BB+ , Ba3) 06/15/11 6.250 601,500
</Table>
See Accompanying Notes to Financial Statements.
8
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
CAPITAL GOODS
$ 200 SPX Corp., Senior Notes
(Callable 1/01/08 @ $103.75) (BB+ , Ba3) 01/01/13 7.500 $ 212,500
------------
2,187,400
------------
CHEMICALS (4.2%)
100 Airgas, Inc., Global Company Guaranteed Notes
(Callable 10/01/06 @ $104.56) (B+ , Ba2) 10/01/11 9.125 113,500
780 Applied Extrusion Technologies, Inc.,
Series B, Company Guaranteed Notes
(Callable 7/01/06 @ $105.38) (CCC , Caa1) 07/01/11 10.750 604,500
640 Avecia Group PLC, Global Company Guaranteed
Notes (Callable 7/01/04 @ $105.50) (CCC , Caa3) 07/01/09 11.000 512,000
200 Equistar Chemicals Funding, Global Company
Guaranteed Notes (B+ , B2) 09/01/08 10.125 222,500
800 Equistar Chemicals Funding, Global Senior Notes
(Callable 5/01/07 @ $105.31) (B+ , B2) 05/01/11 10.625 900,000
50 Equistar Chemicals Funding, Senior Notes (B+ , B2) 02/15/09 8.750 52,875
350 FMC Corp., Global Senior Secured Notes
(Callable 11/01/06 @ $105.13) (BB+ , Ba2) 11/01/09 10.250 414,750
500 HMP Equity Holdings Corp., Bond Units
(Callable 11/15/04 @ $64.79) (CCC+ , NR) 05/15/08 0.000 395,000
150 Huntsman ICI Chemicals LLC, Company
Guaranteed Notes (Callable 7/01/04 @ $105.06) (CCC+ , Caa1) 07/01/09 10.125 157,875
250 Huntsman ICI Chemicals LLC, Senior Discount
Notes (Callable 7/01/04 @ $106.69) (CCC+ , Caa2) 12/31/09 0.000 126,875
650 Huntsman LLC, Global Company Guaranteed
Notes (Callable 10/15/07 @ $105.81) (B , B2) 10/15/10 11.625 718,250
500 IMC Global, Inc., Global Senior Notes
(Callable 8/01/08 @ $105.44) (B+ , B1) 08/01/13 10.875 616,250
250 IMC Global, Inc., Rule 144A, Company Guaranteed
Notes (Callable 6/01/06 @ $105.62)++ (B+ , B1) 06/01/11 11.250 291,250
50 IMC Global, Inc., Series B, Global Company
Guaranteed Notes (B+ , B1) 06/01/08 10.875 59,375
100 Lyondell Chemical Co., Global Company Guaranteed
Notes (Callable 12/15/05 @ $104.75) (B+ , B1) 12/15/08 9.500 105,000
1,000 Lyondell Chemical Co., Global Company
Guaranteed Notes (Callable 6/01/08 @ $105.25) (B+ , B1) 06/01/13 10.500 1,100,000
150 Lyondell Chemical Co., Senior Secured Notes (B+ , B1) 07/15/12 11.125 167,250
100 Lyondell Chemical Co., Series B, Senior Secured
Notes (Callable 5/01/04 @ $104.94) (B+ , B1) 05/01/07 9.875 105,500
600 Nalco Co., Rule 144A, Senior Subordinated Notes
(Callable 11/15/08 @ $104.44)++ (B- , Caa1) 11/15/13 8.875 636,000
800 PolyOne Corp., Rule 144A, Senior Notes
(Callable 5/15/07 @ $105.31)++ (BB- , B3) 05/15/10 10.625 840,000
400 Resolution Performance Products LLC,
Global Senior Subordinated Notes
(Callable 11/15/05 @ $106.75) (CCC+ , Caa2) 11/15/10 13.500 334,000
</Table>
See Accompanying Notes to Financial Statements.
9
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
CHEMICALS
$ 250 Resolution Performance Products LLC,
Global Senior Subordinated Notes
(Callable 4/15/06 @ $104.75) (B- , B3) 04/15/10 9.500 $ 256,250
1,150 Terra Capital, Inc., Global Secured Notes
(Callable 6/01/07 @ $105.75) (B- , Caa1) 06/01/10 11.500 1,259,250
750 United Industries Corp., Series D, Global Company
Guaranteed Notes (Callable 4/01/05 @ $103.29) (B- , B3) 04/01/09 9.875 790,785
------------
10,779,035
------------
COMPETITIVE LOCAL EXCHANGE CARRIER (CLEC) (1.1%)
350 Block Communications, Inc., Global Company
Guaranteed Notes (Callable 4/15/06 @ $104.63) (B- , B2) 04/15/09 9.250 369,250
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 12.500 110,500
200 FairPoint Communications, Inc.,
Series B, Senior Subordinated Notes
(Callable 05/01/04 @ $103.17) (B- , Caa1) 05/01/08 9.500 199,000
750 Qwest Corp., Notes (B- , Ba3) 11/15/08 5.625 731,250
334 RCN Corp., Senior Discount Notes
(Callable 10/15/05 @ $105.06)## (NR , Ca) 10/15/07 11.130 168,670
618 Time Warner Telecom LLC, Senior Notes
(Callable 7/15/04 @ $103.25) (CCC+ , B3) 07/15/08 9.750 531,050
------------
2,697,220
------------
CONSUMER PRODUCTS/TOBACCO (4.5%)
300 American Greetings Corp., Global Senior
Subordinated Notes (Callable 7/15/05 @ $105.88) (BB+ , Ba2) 07/15/08 11.750 352,500
40 Armkel, LLC., Global Senior Subordinated Notes
(Callable 8/15/05 @ $104.75) (B , B2) 08/15/09 9.500 44,000
200 Central Garden & Pet Co., Senior Subordinated
Notes (Callable 2/01/08 @ $104.56) (B+ , B2) 02/01/13 9.125 223,000
750 DIMON, Inc., Senior Notes
(Callable 6/01/08 @ $103.87) (BB , Ba3) 06/01/13 7.750 736,875
395 DIMON, Inc., Series B, Global Company
Guaranteed Notes (Callable 10/15/06 @ $104.81) (BB , Ba3) 10/15/11 9.625 424,625
955 General Binding Corp., Company Guaranteed
Notes (Callable 06/01/04 @ $103.13) (B- , Caa1) 06/01/08 9.375 975,294
530 Hockey Company Sports Maska,
Global Senior Secured Notes, Units
(Callable 4/15/06 @ $105.62) (B , B2) 04/15/09 11.250 633,350
250 Holmes Group, Inc., Series D, Senior Subordinated
Notes (Callable 11/15/04 @ $101.65) (NR , Caa1) 11/15/07 9.875 255,365
650 Jarden Corp., Global Company Guaranteed Notes
(Callable 5/01/07 @ $104.88) (B- , B2) 05/01/12 9.750 734,500
1,000 Johnsondiversey Holdings, Inc., Global Discount
Notes (Callable 5/15/07 @ $105.34)+ (B , B3) 05/15/13 10.670 765,000
</Table>
See Accompanying Notes to Financial Statements.
10
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
CONSUMER PRODUCTS/TOBACCO
$ 950 Johnsondiversey Holdings, Inc., Series B, Global
Company Guaranteed Notes
(Callable 5/15/07 @ $104.81) (B , B2) 05/15/12 9.625 $ 1,045,000
550 National Beef Packing Company LLC., Rule 144A,
Senior Notes (Callable 8/01/07 @ $105.25)++ (B , B2) 08/01/11 10.500 594,000
553 PCA LLC, Global Senior Notes (B- , B3) 08/01/09 11.875 622,125
875 Playtex Products, Inc., Global Company
Guaranteed Notes (Callable 6/01/06 @ $104.69) (CCC+ , Caa2) 06/01/11 9.375 870,625
500 Prestige Brands, Inc., Rule 144A,
Senior Subordinated Notes
(Callable 4/15/08 @ $104.63)++ (CCC+ , Caa1) 04/15/12 9.250 486,250
400 Reddy Ice Group, Inc, Global Senior Subordinated
Notes (Callable 8/01/07 @ $104.44) (B- , B3) 08/01/11 8.875 432,000
750 Remington Arms Co., Rule 144A,
Global Company Guaranteed Notes
(Callable 2/01/07 @ $105.25)++ (CCC+ , B2) 02/01/11 10.500 750,000
1,000 Revlon Consumer Products Corp.,
Global Company Guaranteed Notes (NR , B2) 12/01/05 12.000 1,130,000
450 Sealy Mattress Co., Rule 144A, Senior Subordinated
Notes (Callable 6/15/09 @ $104.13)++ (B- , Caa1) 06/15/14 8.250 441,000
------------
11,515,509
------------
CONTAINERS (3.5%)
655 Box USA Holdings, Series B, Senior Secured Notes
(Callable 6/01/04 @ $100.00) (CCC+ , B3) 06/01/06 12.000 666,463
800 Constar International, Inc., Senior Subordinated
Notes (Callable 12/01/07 @ $105.50) (B , Caa1) 12/01/12 11.000 756,000
600 Crown Cork & Seal Financial PLC,
Yankee Company Guaranteed Notes (B , B3) 12/15/06 7.000 618,000
500 Crown Euro Holdings SA, Rule 144A, Global
Secured Notes (Callable 3/01/07 @ $104.75)++ (B+ , B1) 03/01/11 9.500 563,125
600 Crown Euro Holdings SA, Rule 144A, Global
Secured Notes (Callable 3/01/08 @ $105.44)++ (B , B2) 03/01/13 10.875 702,000
195 Graham Packaging Company, Inc., Series B, Senior
Discount Notes (Callable 1/15/05 @ $101.79) (CCC+ , Caa2) 01/15/09 10.750 201,825
750 Graphic Packaging International Corp.,
Global Senior Subordinated Notes
(Callable 8/15/08 @ $104.75) (B- , B3) 08/15/13 9.500 847,500
210 Owens-Brockway, Global Company Guaranteed
Notes (Callable 2/15/06 @ $104.44) (BB- , B2) 02/15/09 8.875 229,162
750 Owens-Brockway, Rule 144A,
Senior Notes (5/15/08 @ $104.13)++ (B , B3) 05/15/13 8.250 778,125
400 Owens-Illinois, Inc., Senior Notes (B , Caa1) 05/15/07 8.100 411,000
410 Owens-Illinois, Inc., Senior Notes (B , Caa1) 05/15/08 7.350 407,950
250 Plastipak Holdings, Inc.,
Global Company Guaranteed Senior Notes
(Callable 9/01/06 @ $105.38) (B+ , B3) 09/01/11 10.750 271,250
</Table>
See Accompanying Notes to Financial Statements.
11
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
CONTAINERS
$ 250 Pliant Corp., Company Guaranteed Notes
(Callable 6/01/05 @ $106.50) (B- , Caa2) 06/01/10 13.000 $ 227,500
750 Pliant Corp., Global Secured Notes
(Callable 6/01/07 @ $105.56) (B- , B3) 09/01/09 11.125 802,500
500 Radnor Holdings Corp., Global Senior Notes
(Callable 3/15/07 @ $105.50) (CCC+ , Caa1) 03/15/10 11.000 437,500
200 Tekni-Plex, Inc., Series B, Company Guaranteed
Notes (Callable 6/15/05 @ $106.38) (B- , B3) 06/15/10 12.750 203,000
800 U.S. Can Corp., Global Company Guaranteed
(Callable 7/15/07 @ $105.44) (CCC+ , B3) 07/15/10 10.875 844,000
------------
8,966,900
------------
DIVERSIFIED TELECOMMUNICATIONS (0.2%)
500 Qwest Communications International, Inc.,
Rule 144A, Senior Notes
(Callable 2/15/09 @ $103.75)++ (CCC+ , B3) 02/15/14 7.500 461,250
------------
ELECTRONICS/INFORMATION/DATA TECHNOLOGY (0.9%)
950 PG&E Corp., Rule 144A, Senior Secured Notes
(Callable 7/15/06 @ $103.44)++ (NR , NR) 07/15/08 6.880 1,016,500
300 Solectron Corp., Senior Notes
(Callable 2/15/06 @ $104.81) (B+ , B1) 02/15/09 9.625 328,500
950 Xerox Corp., Senior Notes (B+ , B1) 06/15/10 7.125 969,000
------------
2,314,000
------------
ENERGY - OTHER (6.0%)
1,000 Dynegy Holdings, Inc., Rule 144A, Secured Notes
(Callable 7/15/08 @ $105.06)++ (B- , B3) 07/15/13 10.125 1,100,000
1,040 Edison Mission Energy, Senior Notes (B , B2) 06/15/09 7.730 988,000
400 EL Paso CGP Co., Notes (CCC+ , Caa1) 02/01/09 6.380 337,000
750 EL Paso CGP Co., Notes (CCC+ , Caa1) 06/15/10 7.750 652,500
850 El Paso Corp., Senior Notes (CCC+ , Caa1) 05/15/11 7.000 726,750
1,000 El Paso Natural Gas Co., Rule 144A, Senior Notes
(Callable 8/01/07 @ $103.81)++ (B- , B1) 08/01/10 7.625 1,035,000
850 El Paso Production Holding Co., Global Company
Guaranteed (Callable 6/01/08 @ $103.02) (B- , B3) 06/01/13 7.750 811,750
500 Frontier Oil Corp., Senior Notes
(Callable 11/15/04 @ $105.88) (B+ , B2) 11/15/09 11.750 552,500
400 Giant Industries, Inc., Company Guaranteed Notes
(Callable 9/01/04 @ $101.50) (B- , B3) 09/01/07 9.000 415,500
250 Giant Industries, Inc., Global Company Guaranteed
Notes (Callable 5/15/07 @ $105.50) (B- , B3) 05/15/12 11.000 281,250
360 Gulfterra Energy Partners L.P., Company
Guaranteed Notes (Callable 6/01/07 @ $104.25) (BB- , B1) 06/01/10 8.500 403,200
134 Gulfterra Energy Partners L.P., Global Company
Guaranteed Notes (Callable 12/01/07 @ $105.31) (BB- , B1) 12/01/12 10.630 165,490
1,050 Mirant Corp., Rule 144A, Senior Notes##,++ (D , Ca) 07/15/04 7.400 619,500
400 North American Energy Partners, Inc., Rule 144A,
Senior Notes (Callable 12/01/07 @ $104.38)++ (B+ , B2) 12/01/11 8.750 396,000
</Table>
See Accompanying Notes to Financial Statements.
12
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
ENERGY - OTHER
$ 500 Peabody Energy Corp., Senior Notes
(Callable 4/15/09 @ $102.94) (BB- , Ba3) 04/15/16 5.880 $ 467,500
500 Peabody Energy Corp., Series B, Global Company
Guaranteed Notes (Callable 3/15/08 @ $103.44) (BB- , Ba3) 03/15/13 6.880 522,500
1,000 Reliant Resources, Inc., Global Secured Notes
(Callable 7/15/08 @ $104.75) (B , B1) 07/15/13 9.500 1,090,000
250 SEMCO Energy, Inc., Global Senior Notes (BB- , Ba2) 05/15/08 7.125 261,250
500 SEMCO Energy, Inc., Global Senior Notes
(Callable 5/15/08 @ $103.87) (BB- , Ba2) 05/15/13 7.750 527,500
535 Swift Energy Co., Senior Subordinated Notes
(Callable 5/01/07 @ $104.69) (B , B3) 05/01/12 9.375 596,525
400 Teco Energy, Inc., Senior Notes (BB+ , Ba2) 06/15/10 7.500 411,000
760 Western Gas Resources, Inc., Company
Guaranteed Notes (Callable 6/15/04 @ $105.00) (BB- , Ba3) 06/15/09 10.000 801,800
450 Williams Companies, Inc., Notes (B+ , B3) 08/01/06 6.500 473,062
750 Williams Companies, Inc., Notes (B+ , B3) 12/01/08 6.500 783,750
750 Williams Companies, Inc., Senior Notes
(Callable 6/01/07 @ $104.31) (B+ , B3) 06/01/10 8.625 828,750
------------
15,248,077
------------
ENVIRONMENTAL SERVICES (0.2%)
325 Allied Waste North America, Inc., Rule 144A,
Senior Notes (Callable 4/15/09 @ 103.69)++ (B+ , B2) 04/15/14 7.375 324,188
24 Allied Waste North America, Inc., Series B,
Company Guaranteed Notes
(Callable 1/01/05 @ $102.63) (BB- , Ba3) 01/01/09 7.875 25,020
250 Allied Waste North America, Inc., Series B,
Global Company Guaranteed Notes (BB- , Ba3) 04/01/08 8.750 278,750
------------
627,958
------------
FINANCE - OTHER (0.7%)
500 Corrections Corporation of America, Rule 144A,
Senior Notes (Callable 5/01/07 @ $103.75)++ (B , B1) 05/01/11 7.500 526,250
250 Corrections Corporation of America, Senior Notes
(Callable 5/01/07 @ $103.75) (B , B1) 05/01/11 7.500 263,125
100 Senior Housing Properties Trust, Senior Notes (BB+ , Ba2) 01/15/12 8.625 112,500
1,000 Ship Finance International, Ltd, Rule 144A, Senior
Notes (Callable 12/15/08 @ $104.25)++ (B , B2) 12/15/13 8.500 970,000
------------
1,871,875
------------
FOOD PROCESSORS/BEVERAGE/BOTTLING (3.0%)
100 Aurora Foods, Inc., Series B, Senior Subordinated
Notes (Callable 2/15/05 @ $102.00)## (D , Ca) 02/15/07 9.880 85,500
525 Aurora Foods, Inc., Series B, Senior Subordinated
Notes (Callable 7/01/04 @ $104.92)## (D , Ca) 07/01/08 8.750 448,875
700 B & G Foods, Inc., Series D, Global Company
Guaranteed Notes (Callable 8/01/04 @ $101.60) (B- , B3) 08/01/07 9.625 725,956
</Table>
See Accompanying Notes to Financial Statements.
13
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
FOOD PROCESSORS/BEVERAGE/BOTTLING
$ 188 Birds Eye Foods, Inc., Company Guaranteed Notes,
Senior Subordinated Notes
(Callable 11/01/04 @ $103.96) (B- , B3) 11/01/08 11.875 $ 200,220
175 Cott Beverages USA, Inc., Global Company
Guaranteed Notes (Callable 12/15/06 @ $104.00) (B+ , B2) 12/15/11 8.000 191,625
50 Del Monte Corp., Global 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 , B2) 05/15/11 9.250 166,125
600 Dole Food Company, Inc., Rule 144A, Senior Notes
(Callable 3/15/07 @ $104.44)++ (BB- , B2) 03/15/11 8.875 642,000
600 Eagle Family Foods, Inc., Series B, Company
Guaranteed Notes (Callable 1/15/05 @ $101.46) (CCC+ , Caa2) 01/15/08 8.750 483,000
915 Land O' Lakes, Inc., Global Senior Notes
(Callable 11/15/06 @ $104.38) (B- , B3) 11/15/11 8.750 878,400
750 Le-Natures, Inc., Rule 144A, Senior Subordinated
Notes (Callable 6/15/08 @ $104.50)++ (B- , B3) 06/15/13 9.500 789,375
425 Luiginos, Inc., Senior Subordinated Notes
(Callable 2/01/05 @ $100.00) (B- , B3) 02/01/06 10.000 435,625
430 National Wine & Spirits, Inc., Company
Guaranteed Notes (Callable 1/15/05 @ $103.38) (CCC+ , B3) 01/15/09 10.125 389,150
750 Pinnacle Foods Holding, Rule 144A,
Senior Subordinated Notes
(Callable 12/01/08 @ $104.13)++ (B , B3) 12/01/13 8.250 786,562
460 Premier International Foods, Yankee Senior
Notes (Callable 9/01/04 @ $106.00) (B- , B3) 09/01/09 12.000 499,100
350 Roundy's, Inc., Series B, Global Company
Guaranteed Notes (Callable 6/15/07 @ $104.44) (B , B2) 06/15/12 8.875 381,500
200 Smithfield Foods, Inc.,
Series B, Global Senior Notes (BB , Ba2) 10/15/09 8.000 221,500
280 Stater Brothers Holdings, Inc., Senior Notes
(Callable 8/15/04 @ $102.69) (B- , B2) 08/15/06 10.750 294,700
------------
7,674,713
------------
GAMING (6.5%)
910 Ameristar Casinos, Inc., Global Company
Guaranteed Notes (Callable 2/15/06 @ $105.38) (B , B2) 02/15/09 10.750 1,060,150
950 Argosy Gaming Co., Rule 144A,
Senior Subordinated Notes
(Callable 1/15/09 @ $103.50)++ (B+ , B3) 01/15/14 7.000 977,313
100 Aztar Corp., Global Senior Subordinated Notes
(Callable 8/15/06 @ $104.50) (B+ , Ba3) 08/15/11 9.000 112,750
650 Caesars Entertainment, Inc., Senior
Subordinated Notes (BB- , Ba2) 02/15/07 9.375 719,875
750 Choctaw Resort Development Enterprise, Global
Senior Notes (Callable 4/01/05 @ $104.63) (BB- , B1) 04/01/09 9.250 815,625
</Table>
See Accompanying Notes to Financial Statements.
14
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
GAMING
$ 750 Chukchansi Economic Development Authority,
Rule 144A, Senior Notes
(Callable 10/01/06 @ $113.00)++ (NR , NR) 06/15/09 14.500 $ 937,500
500 Circus Circus & Eldorado, Global First Mortgage
Notes (Callable 3/01/07 @ $105.06) (B+ , B1) 03/01/12 10.125 510,000
775 Coast Hotels & Casinos, Inc., Company
Guaranteed Notes (Callable 4/01/05 @ $103.17) (B , B2) 04/01/09 9.500 818,594
790 Hard Rock Hotel, Inc., Global Notes
(Callable 6/01/08 @ $104.44) (B , B3) 06/01/13 8.875 837,400
450 Herbst Gaming, Inc., Series B, Global Secured
Notes (Callable 9/01/05 @ $105.38) (B , B2) 09/01/08 10.750 508,500
75 Horseshoe Gaming Holding Corp.,
Series B, Company Guaranteed Notes
(Callable 5/15/04 @ $104.31) (B+ , B2) 05/15/09 8.625 78,750
750 Isle of Capri Casinos, Inc., Rule 144A,
Senior Subordinated Notes
(Callable 3/01/09 @ $103.50)++ (B , B2) 03/01/14 7.000 738,750
730 Kerzner International Ltd., Global Company
Guaranteed Notes (Callable 8/15/06 @ $104.44) (B+ , B2) 08/15/11 8.875 813,950
1,100 Majestic Star Casino LLC, Company Guaranteed
Notes (Callable 10/15/07 @ $104.75) (B , B2) 10/15/10 9.500 1,157,750
750 Mandalay Resort Group, Global Senior Notes (BB+ , Ba2) 07/31/09 6.500 787,500
50 Mandalay Resort Group, Senior Notes (BB+ , Ba2) 02/01/06 6.450 52,500
495 Mandalay Resort Group, Series B, Senior
Subordinated Notes (BB- , Ba3) 08/01/07 10.250 577,912
780 MGM Mirage, Inc., Company Guaranteed, Senior
Subordinated Notes (BB- , Ba2) 06/01/07 9.750 885,300
10 Mohegan Tribal Gaming, Global Senior
Subordinated Notes (Callable 7/01/06 @ $104.19) (BB- , Ba3) 07/01/11 8.375 10,950
600 MTR Gaming Group, Inc., Rule 144A, Company
Guaranteed Notes (Callable 4/01/07 @ $104.88)++ (B+ , B2) 04/01/10 9.750 640,500
250 OED Corporation, Rule 144A, Company
Guaranteed Notes (Callable 4/15/08 @ $104.38)++ (B , B2) 04/15/12 8.750 245,625
150 Peninsula Gaming LLC., Series B, Company
Guaranteed Notes (Callable 7/01/04 @ $105.33) (B , B2) 07/01/06 12.250 162,750
530 Penn National Gaming, Inc., Company Guaranteed
Notes (Callable 3/15/06 @ $104.44) (B , B2) 03/15/10 8.875 579,025
350 Penn National Gaming, Inc.,
Series B, Global Company Guaranteed Notes
(Callable 3/01/05 @ $105.56) (B , B2) 03/01/08 11.125 390,250
330 Riviera Holdings Corp., Global Company
Guaranteed Notes (Callable 6/15/06 @ $105.50) (B , B2) 06/15/10 11.000 353,100
941 Waterford Gaming LLC, Rule144A, Senior Notes
(Callable 9/15/08 @ $103.55)++ (B+ , B1) 09/15/12 8.625 1,011,575
750 Wheeling Islands Gaming, Inc., Global Company
Guaranteed Notes (Callable 12/15/05 @ $105.06) (B+ , B3) 12/15/09 10.125 813,750
</Table>
See Accompanying Notes to Financial Statements.
15
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
GAMING
$ 100 Windsor Woodmont Black Hawk,
Series B, First Mortgage Notes## (CCC+ , NR) 03/15/05 13.000 $ 65,500
------------
16,663,144
------------
HEALTHCARE FACILITIES/SUPPLIES (4.3%)
391 Advanced Medical Optics, Inc., Global Senior
Subordinated Notes (Callable 7/15/06 @ $104.63) (BB- , B2) 07/15/10 9.250 427,168
500 Ardent Health Services, Global Senior Subordinated
Notes (Callable 8/15/08 @ $105.00) (B- , B3) 08/15/13 10.000 550,000
500 Beverly Enterprises, Inc., Global Senior Notes (B+ , B1) 04/15/09 9.625 585,000
600 Bio-Rad Laboratories, Inc., Global Senior
Subordinated Notes (Callable 8/15/08 @ $103.75) (BB- , Ba3) 08/15/13 7.500 651,000
600 Concentra Operating Corp., Rule 144A, Company
Guaranteed Notes (Callable 8/15/07 @ $104.75)++ (B- , B3) 08/15/10 9.500 669,000
150 Coventry Health Care, Inc., Global Senior Notes
(Callable 2/15/07 @ $104.06) (BBB- , Ba1) 02/15/12 8.125 169,500
350 Extendicare Health Services, Inc., Company
Guaranteed Notes (Callable 7/01/06 @ $104.75) (B , B1) 07/01/10 9.500 390,250
391 Fisher Scientific International, Inc., Global
Senior Subordinated Notes
(Callable 5/01/07 @ $104.06) (B+ , B2) 05/01/12 8.125 426,190
850 Fisher Scientific International, Inc., Global
Senior Subordinated Notes
(Callable 9/01/08 @ $104.00) (B+ , B2) 09/01/13 8.000 935,000
350 Hanger Orthopedic Group, Inc., Global Company
Guaranteed Notes (Callable 2/15/06 @ $105.19)## (B- , B2) 02/15/09 10.375 392,000
150 Healthsouth Corp., Global Senior Notes (NR , NR) 10/01/11 8.375 152,250
600 Iasis Healthcare Corp., Global Company Guaranteed
Notes (Callable 6/15/06 @ $104.25) (B- , B3) 10/15/09 8.500 645,000
240 Insight Health Services Corp., Series B, Company
Guaranteed Notes (Callable 11/01/06 @ $104.94) (B- , B3) 11/01/11 9.875 243,600
325 Kinetic Concepts, Inc., Global Senior Subordinated
Notes (Callable 5/15/08 @ $103.69) (B , B3) 05/15/13 7.375 342,875
750 Medex, Inc., Rule 144A, Senior Subordinated Notes
(Callable 5/15/08 @ $104.44)++ (B- , B3) 05/15/13 8.875 813,750
250 Medquest, Inc., Series B, Global Company
Guaranteed Notes (Callable 8/15/07 @ $105.94) (B- , B3) 08/15/12 11.875 285,000
150 Owens & Minor, Inc., Global Company Guaranteed
Notes (Callable 7/15/06 @ $104.13) (BB- , Ba3) 07/15/11 8.500 167,250
344 PacifiCare Health Systems, Inc., Global Company
Guaranteed Notes (Callable 6/01/06 @ $105.38) (BB+ , B1) 06/01/09 10.750 401,620
150 Rotech Healthcare, Inc., Global Company
Guaranteed Notes (Callable 4/01/07 @ $104.75) (B+ , B2) 04/01/12 9.500 160,500
800 Select Medical Corp., Global Senior Subordinated
Notes (Callable 8/01/08 @ $103.75) (B , B2) 08/01/13 7.500 850,000
750 Triad Hospital, Inc., Senior Subordinated Notes
(Callable 11/15/08 @ $103.50) (B , B3) 11/15/13 7.000 729,375
</Table>
See Accompanying Notes to Financial Statements.
16
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
HEALTHCARE FACILITIES/SUPPLIES
$ 250 Triad Hospital, Inc., Series B, Global Company
Guaranteed Notes (Callable 5/01/05 @ $104.38) (B+ , B1) 05/01/09 8.750 $ 278,437
500 Universal Hospital Services, Rule 144A, Senior
Notes (Callable 11/01/07 @ $105.06)++ (B- , B3) 11/01/11 10.125 535,000
150 Vicar Operating, Inc., Company Guaranteed Notes
(Callable 12/01/05 @ $104.94) (B- , B3) 12/01/09 9.875 168,000
------------
10,967,765
------------
HOME BUILDERS (1.2%)
380 Beazer Homes USA, Inc., Global Company
Guaranteed Notes (Callable 4/15/07 @ $104.19) (BB , Ba2) 04/15/12 8.375 413,250
300 D.R. Horton, Inc., Global Company Guaranteed
Notes (Callable 4/15/07 @ $104.25) (BB+ , Ba1) 04/15/12 8.500 338,250
100 D.R. Horton, Inc., Senior Notes (BB+ , Ba1) 08/15/11 7.875 112,000
75 D.R. Horton, Inc., Series B,
Company Guaranteed Notes (BB+ , Ba1) 12/01/07 7.500 82,125
200 KB Home, Senior Subordinated Notes (BB- , Ba2) 12/15/08 8.625 219,500
150 Ryland Group, Inc., Senior Subordinated Notes
(Callable 6/15/06 @ $104.56) (BB+ , Ba2) 06/15/11 9.125 169,875
250 Technical Olympic USA, Inc., Global Company
Guaranteed Notes ( Callable 7/01/06 @ $104.50) (B+ , Ba3) 07/01/10 9.000 263,750
300 Technical Olympic USA, Inc., Rule 144A,
Subordinated Notes (Callable 3/15/08 @ $103.75)++ (B- , B2) 03/15/11 7.500 289,500
200 Toll Corp., Senior Subordinated Notes
(Callable 12/01/06 @ $104.12) (BB+ , Ba2) 12/01/11 8.250 222,000
350 WCI Communities, Inc., Global Company
Guaranteed Notes (Callable 5/01/07 @ $104.56) (B , Ba3) 05/01/12 9.125 383,250
500 William Lyon Homes, Inc., Company
Guaranteed Notes (Callable 4/01/08 @ $105.38) (B- , B2) 04/01/13 10.750 577,500
------------
3,071,000
------------
INDUSTRIAL - OTHER (1.2%)
500 Amsted Industries, Inc., Rule 144A, Senior Notes
(Callable 10/15/07 @ $105.12)++ (B , B3) 10/15/11 10.250 567,500
750 Apogent Technologies, Inc., Global Senior
Subordinated Notes (Callable 5/15/08 @ $103.25) (BB+ , Ba2) 05/15/13 6.500 781,875
450 GSI Group, Inc., Company Guaranteed Notes
(Callable 11/01/04 @ $101.73) (NR , Caa1) 11/01/07 10.250 362,250
350 International Utility Structures, Inc.,
Yankee Senior Subordinated Notes
(Callable 2/01/05 @ $101.79)## (NR , NR) 02/01/08 10.750 64,750
350 Synagro Technologies, Inc., Global Senior
Subordinated Notes (Callable 4/01/06 @ $104.75) (B , B3) 04/01/09 9.500 379,750
250 Tom Brown, Inc., Units
(Callable 9/15/08 @ $103.62) (BB- , Ba3) 09/15/13 7.250 285,000
650 Tyco International Group SA, Yankee Company
Guaranteed Notes (BBB- , Ba2) 11/01/08 6.125 686,956
------------
3,128,081
------------
</Table>
See Accompanying Notes to Financial Statements.
17
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
LEISURE (3.5%)
$ 300 AMC Entertainment, Inc., Global Senior
Subordinated Notes (Callable 2/01/07 @ $104.94) (CCC+ , Caa1) 02/01/12 9.880 $ 325,500
650 AMC Entertainment, Inc., Rule 144A, Senior
Subordinated Notes (Callable 3/01/09 @ $104.00)++ (CCC+ , Caa1) 03/01/14 8.000 640,250
468 AMC Entertainment, Inc., Senior Subordinated
Notes (Callable 2/01/05 @ $103.17) (CCC+ , Caa1) 02/01/11 9.500 491,400
750 Bluegreen Corp., Series B, Company Guaranteed
Notes (Callable 4/01/05 @ $101.75) (CCC+ , B3) 04/01/08 10.500 765,000
710 Boca Resorts, Inc., Company Guaranteed Notes
(Callable 4/15/05 @ $103.29) (B- , B2) 04/15/09 9.880 750,825
800 Booth Creek Ski Holdings, Inc., Series B, Company
Guaranteed Notes (Callable 3/15/05 @ $100.00) (CCC+ , Caa1) 03/15/07 12.500 812,000
550 Carmike Cinemas Inc, Rule 144A, Senior
Subordinated Notes (Callable 2/15/09 @ $103.75)++ (CCC+ , Caa1) 02/15/14 7.500 558,250
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
500 Cinemark, Inc., Rule 144A, Senior Discount Notes
(Callable 3/15/09 @ $104.88)+++ (B- , Caa1) 03/15/14 9.750 315,625
400 Icon Health & Fitness, Global Company Guaranteed,
Senior Subordinated Notes
(Callable 4/01/07 @ $105.62) (B- , B3) 04/01/12 11.250 452,000
135 Scientific Games Corp., Series B, Company
Guaranteed Notes (Callable 8/15/05 @ $106.25) (B , B2) 08/15/10 12.500 157,950
700 Six Flags, Inc., Global Senior Notes (B- , B2) 04/15/13 9.750 741,125
400 Six Flags, Inc., Global Senior Notes
(Callable 2/01/06 @ $104.44) (B- , B2) 02/01/10 8.875 409,000
400 Six Flags, Inc., Rule 144A, Senior Notes
(Callable 6/01/09 @ $104.81)++ (B- , B2) 06/01/14 9.625 421,000
750 Speedway Motorsports, Inc., Global Senior
Subordinated Notes (Callable 6/01/08 @ $103.38) (B+ , Ba2) 06/01/13 6.750 783,750
600 Town Sports International, Inc., Rule 144A, Senior
Notes (Callable 4/15/07 @ $104.81)++ (B- , B2) 04/15/11 9.625 624,000
------------
9,072,675
------------
LODGING (2.0%)
670 Aztar Corp., Senior Subordinated Notes
(Callable 5/15/04 @ $102.96) (B+ , Ba3) 05/15/07 8.875 695,125
100 Caesars Entertainment, Inc.,
Senior Subordinated Notes (BB- , Ba2) 12/15/05 7.880 106,500
340 Extended Stay America, Inc., Senior Subordinated
Notes (Callable 3/15/05 @ $101.53) (B , B2) 03/15/08 9.150 353,600
500 Host Marriott Corp., Global Senior Notes
(Callable 11/01/08 @ $103.56) (B+ , Ba3) 11/01/13 7.125 510,000
118 Host Marriott Corp., Series B, Company
Guaranteed Notes (Callable 8/01/04 @ $102.66) (B+ , Ba3) 08/01/08 7.875 122,425
350 Host Marriott Corp., Series I,
Global Company Guaranteed Notes (B+ , Ba3) 01/15/07 9.500 390,250
</Table>
See Accompanying Notes to Financial Statements.
18
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
LODGING
$ 900 Inn of The Mountain Gods, Rule 144A,
Senior Notes (Callable 11/15/07 @ $106.00)++ (B , Caa1) 11/15/10 12.000 $ 990,000
200 John Q. Hammons Hotels, Series B, Global Notes,
First Mortgage (Callable 5/15/07 @ $104.44) (B , B2) 05/15/12 8.875 221,000
250 MeriStar Hospitality Corp., Global Company
Guaranteed Notes (CCC+ , B2) 01/15/08 9.000 258,750
100 MGM Mirage, Inc., Company Guaranteed Notes (BB- , Ba2) 02/01/11 8.375 111,000
700 Prime Hospitality Corp., Series B, Global Senior
Subordinated Notes (Callable 5/01/07 @ $104.19) (B , B2) 05/01/12 8.375 742,000
500 Sheridan Acquisition Corp., Rule 144A, Secured
Notes (Callable 8/15/07 @ $105.13)++ (B , B1) 08/15/11 10.250 538,125
100 Starwood Hotels + Resorts Worldwide, Inc.,
Global Company Guaranteed Notes (BB+ , Ba1) 05/01/12 7.875 109,875
------------
5,148,650
------------
MACHINERY (0.3%)
785 Motors & Gears, Inc., Series D, Senior Notes
(Callable 11/15/04 @ $100.00) (CCC , Caa1) 11/15/06 10.750 698,650
------------
METALS & MINING (1.5%)
435 AK Steel Corp., Company Guaranteed Notes
(Callable 2/15/05 @ $102.65) (B+ , B3) 02/15/09 7.880 402,375
350 AK Steel Corp., Global Company Guaranteed Notes
(Callable 6/15/07 @ $103.88) (B+ , B3) 06/15/12 7.750 316,750
250 Arch Western Finance, Rule 144A, Senior Notes
(Callable 7/01/08 @ $103.38)++ (BB+ , Ba2) 07/01/13 6.750 258,750
750 Gerdau Ameristeel Corp., Global Senior Notes
(Callable 7/15/07 @ $105.38) (B , B2) 07/15/11 10.380 847,500
500 Metallurg, Inc., Series B, Company Guaranteed
Notes (Callable 12/01/04 @ $101.83) (CC , Ca) 12/01/07 11.000 265,000
350 UCAR Finance, Inc., Global Company Guaranteed
Notes (Callable 2/15/07 @ $105.13) (B , B2) 02/15/12 10.250 401,625
1,500 WCI Steel, Inc., Series B, Senior Notes## (NR , NR) 12/01/04 10.000 727,500
500 Wolverine Tube, Inc., Rule 144A, Senior Notes++ (B+ , B3) 08/01/08 7.375 495,000
------------
3,714,500
------------
OIL EQUIPMENT (0.8%)
750 Key Energy Services, Inc., Senior Notes (B+ , Ba3) 05/01/13 6.375 742,500
500 Parker Drilling Co, Global Senior Notes
(Callable 10/01/08 @ $104.81) (B- , B2) 10/01/13 9.625 542,500
420 Parker Drilling Co., Series B, Company Guaranteed
Notes (Callable 11/15/04 @ $105.06) (B+ , B2) 11/15/09 10.125 452,550
189 Pride International, Inc., Senior Notes
(Callable 5/01/04 @ $101.56) (BB , Ba2) 05/01/07 9.375 192,780
------------
1,930,330
------------
</Table>
See Accompanying Notes to Financial Statements.
19
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
PAPER & FOREST PRODUCTS (2.8%)
$ 1 Ainsworth Lumber Co., Ltd., Yankee Senior Notes (B+ , B1) 07/15/07 12.500 $ 590
440 Appleton Papers, Inc., Series B, Global Company
Guaranteed Notes (Callable 12/15/05 @ $106.25) (B+ , B3) 12/15/08 12.500 497,200
500 Blue Ridge Paper Products, Rule 144A, Secured
Notes (Callable 12/15/06 @ $104.75)++ (B- , B2) 12/15/08 9.500 457,500
750 Boise Cascade Corp., Senior Notes
(Callable 11/01/08 @ $103.50) (BB , Ba2) 11/01/13 7.000 791,037
250 Caraustar Industries, Inc., Global Company
Guaranteed Notes (Callable 4/01/06 @ $105.25) (B , B2) 04/01/11 9.875 256,250
250 Georgia-Pacific Corp., Global Company
Guaranteed Notes (Callable 2/01/08 @ $104.69) (BB+ , Ba2) 02/01/13 9.375 291,875
200 Georgia-Pacific Corp., Notes (BB+ , Ba3) 05/15/06 7.500 214,500
500 Georgia-Pacific Corp., Rule 144A, Senior Notes++ (BB+ , Ba3) 01/15/24 8.000 527,500
400 Longview Fibre Co., Global Senior Subordinated
Notes (Callable 1/15/06 @ $105.00) (B+ , B2) 01/15/09 10.000 438,000
250 MDP Acquisitions PLC, Rule 144A, Global Senior
Notes (Callable 10/01/07 @ $104.81)++ (B , B3) 10/01/12 9.625 282,500
1,000 Newark Group, Inc., Rule 144A, Senior
Subordinated Notes (Callable 3/15/09 @ $104.87)++ (B- , Caa1) 03/15/14 9.750 985,000
750 Norske Skog, Canada, Ltd., Series D, Global
Company Guaranteed Notes
(Callable 6/15/06 @ $104.31) (BB , Ba3) 06/15/11 8.625 815,625
150 Stone Container Corp., Global Senior Notes
(Callable 2/01/06 @ $104.88) (B , B2) 02/01/11 9.750 167,250
140 Stone Container Corp., Global Senior Notes
(Callable 7/01/07 @ $104.19) (B , B2) 07/01/12 8.375 151,200
250 Stone Container Corp., Rule 144A, Company
Guaranteed Notes (Callable 8/15/04 @ $100.00)++ (B , B2) 08/15/06 11.500 256,875
900 Tembec Industries, Inc., Yankee Company
Guaranteed Notes (Callable 6/30/04 @ $104.31) (BB- , Ba3) 06/30/09 8.625 922,500
------------
7,055,402
------------
PHARMACEUTICALS (0.2%)
100 aaiPharma, Inc., Global Company Guaranteed
Notes (Callable 4/01/06 @ $105.50) (CC , Ca) 04/01/10 11.000 90,500
500 Alpharma, Inc., Rule 144A, Senior Notes
(Callable 5/01/07 @ $104.31)++ (B , B3) 05/01/11 8.625 527,500
------------
618,000
------------
PIPELINES (0.3%)
750 TransMontaigne, Inc., Global Senior Subordinated
Notes (Callable 6/01/07 @ $104.56) (B+ , B3) 06/01/10 9.125 776,250
------------
PUBLISHING (2.1%)
750 Canwest Media, Inc., Series B, Global Company
Guaranteed Notes (Callable 4/15/08 @ $103.81) (B- , B1) 04/15/13 7.625 802,500
200 Dex Media East LLC, Global Company Guaranteed
Notes (Callable 11/15/06 @ $104.94) (B , B3) 11/15/09 9.875 225,250
</Table>
See Accompanying Notes to Financial Statements.
20
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
PUBLISHING
$ 300 Dex Media, Inc., Rule 144A, Discount Notes
(Callable 11/15/08 @ 104.50)++ + (B , Caa2) 11/15/13 9.000 $ 184,500
700 Dex Media, Inc., Rule 144A, Notes
(Callable 11/15/08 @ $104.00)++ (B , Caa2) 11/15/13 8.000 682,500
600 Haights Cross Operating Co., Global Company
Guaranteed Notes (Callable 8/15/08 @ $105.88) (CCC+ , Caa1) 08/15/11 11.750 666,000
250 Houghton Mifflin Co., Global Senior Subordinated
Notes (Callable 2/01/08 @ $104.94) (B , B3) 02/01/13 9.875 248,125
550 Liberty Group Operating, Inc., Company
Guaranteed Notes (Callable 2/01/05 @ $101.56) (CCC+ , Caa1) 02/01/08 9.375 556,875
750 Morris Publishing Group LLC, Rule 144A, Senior
Subordinated Notes (Callable 8/01/08 @ $103.50)++ (B+ , Ba3) 08/01/13 7.000 757,500
425 PRIMEDIA, Inc., Global Company Guaranteed
Notes (Callable 5/15/06 @ $104.44) (B , B3) 05/15/11 8.875 434,563
250 RH Donnelley Finance Corp., Rule 144A, Senior
Notes (Callable 12/15/06 @ $104.44)++ (B+ , B1) 12/15/10 8.875 280,000
375 Sun Media Corp., Rule 144A, Senior Notes
(Callable 2/15/08 @ $103.81)++ (B , Ba3) 02/15/13 7.625 401,250
------------
5,239,063
------------
RESTAURANTS (0.9%)
552 American Restaurant Group, Inc.,
Series D, Company Guaranteed Notes
(Callable 11/01/04 @ $105.75) (CCC- , Caa2) 11/01/06 11.500 251,160
250 CKE Restaurants, Inc., Company Guaranteed
Notes (Callable 5/01/04 @ $104.56) (CCC+ , B3) 05/01/09 9.125 261,875
500 Domino's, Inc., Global Senior Subordinated Notes
(Callable 7/1/07 @ $104.12) (B- , B3) 07/01/11 8.250 542,500
500 Friendly Ice Cream Corp., Rule 144A, Senior Notes
(Callable 6/15/08 @ $104.19)++ (B- , B2) 06/15/12 8.375 513,750
450 Perkins Family Restaurant L.P., Series B, Senior
Notes (Callable 12/15/04 @ $101.69)~ (B+ , B1) 12/15/07 10.125 469,125
330 Sbarro, Inc., Company Guaranteed Notes
(Callable 9/15/04 @ $105.50) (CCC , Caa2) 09/15/09 11.000 283,800
------------
2,322,210
------------
RETAIL - FOOD & DRUG (1.4%)
650 Great Atlantic & Pacific Tea Company, Inc.,
Senior Notes (Callable 12/15/06 @ $104.56) (B , B3) 12/15/11 9.125 567,125
300 Herbalife International, Inc., Global Company
Guaranteed Notes (Callable 7/15/06 @ $105.88) (B , B2) 07/15/10 11.750 348,000
400 Merisant Co., Rule 144A, Company Guaranteed Notes
(Callable 7/15/08 @ $104.75)++ (B- , B3) 07/15/13 9.500 424,000
200 Nutritional Sourcing Corp., Notes
(Callable 6/05/04 @ $102.00) (NR , NR) 08/01/09 10.130 128,000
800 Rite Aid Corp., Rule 144A, Global Secured Notes
(Callable 5/01/07 @ $104.06)++ (B+ , B2) 05/01/10 8.125 868,000
</Table>
See Accompanying Notes to Financial Statements.
21
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
RETAIL - FOOD & DRUG
$ 600 Rite Aid Corp., Rule 144A, Notes++ (B- , Caa1) 12/15/08 6.125 $ 567,000
100 Swift & Co., Global Company Guaranteed Notes
(Callable 10/01/06 @ $105.06) (B+ , B1) 10/01/09 10.125 107,375
600 Swift & Co., Global Senior Subordinated Notes
(Callable 10/01/06 @ $106.25) (B , B2) 01/01/10 12.500 639,000
------------
3,648,500
------------
RETAIL STORES (2.1%)
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 , B3) 05/15/12 8.875 271,250
66 Dillard's, Inc., Notes (BB , B2) 08/01/04 6.430 66,330
400 Jafra Cosmetics, Inc., Global Company Guaranteed
Notes (Callable 5/15/07 @ $105.38) (B- , B3) 05/15/11 10.750 455,000
250 Jostens, Inc., Senior Subordinated Notes
(Callable 5/01/05 @ $106.38) (B- , B3) 05/01/10 12.750 282,500
830 Leslie's Poolmart, Senior Notes
(Callable 7/15/05 @ $102.59) (B- , B2) 07/15/08 10.375 833,112
100 Michaels Stores, Inc., Senior Notes
(Callable 7/01/05 @ $104.62) (BB+ , Ba1) 07/01/09 9.250 110,375
350 Pantry Inc, Rule 144A, Senior Subordinated Notes
(Callable 2/15/09 @ $103.88)++ (B- , B3) 02/15/14 7.750 351,750
500 Pep Boys - Manny, Moe & Jack, Notes (BB- , B2) 06/01/05 7.000 518,750
500 Pep Boys - Manny, Moe & Jack, Series MTNB, Notes (BB- , B2) 07/07/06 6.920 520,000
500 Sonic Automotive, Inc., Series B, Global Senior
Subordinated Notes (Callable 8/15/08 @ $104.31) (B+ , B2) 08/15/13 8.625 541,250
800 United Auto Group, Inc., Global Company
Guaranteed Notes (Callable 3/15/07 @ $104.81) (B , B3) 03/15/12 9.625 898,000
------------
5,363,567
------------
SATELLITE (0.6%)
750 EchoStar DBS Corp., Rule 144A, Senior Notes++ (BB- , Ba3) 10/01/11 6.375 762,188
575 Pegasus Communications Corp., Senior Notes
(Callable 8/01/04 @ $104.17) (CC , Ca) 08/01/07 12.500 393,875
100 Pegasus Communications Corp.,
Series B, Senior Notes (CC , Ca) 10/15/05 9.625 74,000
100 Pegasus Communications Corp., Series B, Senior
Notes (Callable 12/01/04 @ $101.63) (CC , Ca) 12/01/06 9.750 70,500
100 Pegasus Satellite Communication, Global Senior
Notes (Callable 8/01/04 @ $110.00) (CC , Ca) 08/01/06 12.375 70,500
350 Pegasus Satellite Communication, Senior Discount
Notes (Callable 3/01/05 @ $103.38)+ (CC , C) 03/01/07 13.500 208,250
------------
1,579,313
------------
</Table>
See Accompanying Notes to Financial Statements.
22
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
SECONDARY OIL & GAS PRODUCERS (2.0%)
$ 782 Chesapeake Energy Corp., Senior Notes
(Callable 1/15/09 @ $103.45) (BB- , Ba3) 01/15/16 6.875 $ 797,640
250 Compton Petroleum Corp., Global Senior Notes
(Callable 5/15/06 @ $104.95) (B , B2) 05/15/09 9.900 280,000
650 Continental Resources, Inc., Company Guaranteed
Notes (Callable 8/01/04 @ $103.42) (CCC+ , Caa1) 08/01/08 10.250 674,375
300 Forest Oil Corp., Global Senior Notes (BB , Ba3) 06/15/08 8.000 330,000
250 Houston Exploration Company, Global Senior
Subordinated Notes (Callable 6/15/08 @ $103.50) (B+ , B2) 06/15/13 7.000 261,875
1,000 Plains Exploration & Production Company LP,
Global Senior Subordinated Notes
(Callable 7/01/07 @ $104.38) (B , B2) 07/01/12 8.750 1,105,000
200 Plains Exploration & Production Company LP,
Series B, Global Company Guaranteed Notes
(Callable 7/01/07 @ $104.38) (B , B2) 07/01/12 8.750 221,000
150 Pogo Producing Co., Series B, Senior Subordinated
Notes (Callable 4/15/06 @ $104.13) (BB , Ba3) 04/15/11 8.250 169,125
245 Vintage Petroleum, Inc., Global Senior
Subordinated Notes (Callable 5/15/06 @ $103.94) (B , B1) 05/15/11 7.875 260,925
1,000 Wiser Oil Co., Company Guaranteed Notes
(Callable 5/15/04 @ $101.58) (CCC+ , Caa3) 05/15/07 9.500 1,002,500
------------
5,102,440
------------
SERVICES - OTHER (5.3%)
1,000 Advanstar Communications, Inc., Rule 144A,
Secured Notes (Callable 12/15/08 @ $105.38)++ (B- , B3) 08/15/10 10.750 1,097,500
600 American Color Graphics, Global Notes
(Callable 6/15/07 @ $105.00) (B , B3) 06/15/10 10.000 519,000
188 AP Holdings, Inc., Senior Discount Notes
(Callable 3/15/05 @ $101.88)## (NR , NR) 03/15/08 11.250 29,140
400 Brand Services, Inc., Global Company Guaranteed
Notes (Callable 10/15/07 @ $106.00) (B- , B3) 10/15/12 12.000 466,000
200 Brickman Group, Ltd., Series B, Global Company
Guaranteed Notes (Callable 12/15/06 @ $105.88) (B , B2) 12/15/09 11.750 232,000
300 Casella Waste Systems, Inc., Global Senior
Subordinated Notes (Callable 2/01/08 @ $104.88) (B , B3) 02/01/13 9.750 335,250
300 Diamond Triumph Auto Glass, Inc., Company
Guaranteed Notes (Callable 4/01/05 @ $101.54) (B , B3) 04/01/08 9.250 283,875
500 IESI Corp., Global Company Guaranteed Notes
(Callable 6/15/07 @ $105.13) (B- , B3) 06/15/12 10.250 553,750
650 Iron Mountain, Inc., Company Gauranteed Notes
(Callable 1/15/08 @ $103.88) (B , B3) 01/15/15 7.750 669,500
325 Iron Mountain, Inc., Company Guaranteed Notes
(Callable 4/01/06 @ $104.31) (B , B3) 04/01/13 8.625 349,375
800 Iron Mountain, Inc., Company Guaranteed Notes
(Callable 7/01/08 @ $103.31) (B , B3) 01/01/16 6.625 748,000
</Table>
See Accompanying Notes to Financial Statements.
23
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
SERVICES - OTHER
$ 945 La Petite Academy, Inc., Series B, Company
Guaranteed Notes (Callable 5/15/04 @ $103.33) (CC , Ca) 05/15/08 10.000 $ 722,925
600 LNR Property Corp., Series A, Global
Senior Subordinated Notes
(Callable 10/15/08 @ $103.62) (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 9.625 276,250
1,000 Muzak LLC/Muzak Finance, Global Senior Notes
(Callable 2/15/06 @ $105.00) (B- , B3) 02/15/09 10.000 1,030,000
500 Nebraska Book Company, Inc., Rule 144A,
Senior Subordinated Notes
(Callable 3/15/08 @ $104.31)++ (CCC+ , Caa1) 03/15/12 8.625 506,250
200 Protection One Alarm Monitor, Series B, Global
Company Guaranteed Notes (C , Ca) 01/15/09 8.125 135,000
800 Quintiles Transnational Corp., Rule 144A,
Senior Subordinated Notes
(Callable 10/01/08 @ $105.00)++ (B , B3) 10/01/13 10.000 832,000
700 Rent-A-Center, Inc., Series B, Global Company
Guaranteed Notes (Callable 5/01/06 @ $103.75) (B+ , B1) 05/01/10 7.500 731,500
850 Rent-Way, Inc., Global Secured Notes (B- , B3) 06/15/10 11.875 952,000
1,000 Salton, Inc., Global Senior Subordinated Notes
(Callable 4/15/05 @ $106.13) (CCC+ , Caa2) 04/15/08 12.250 905,000
250 Standard Parking Corp., Company Guaranteed
Notes (Callable 3/15/05 @ $101.54) (CCC+ , Caa3) 03/15/08 9.250 88,750
750 United Rentals North America, Inc., Global
Senior Subordinated Notes
(Callable 11/15/08 @ $103.88) (B+ , B2) 11/15/13 7.750 727,500
1,015 Werner Holding Co., Inc., Series A, Company
Guaranteed Notes (Callable 11/15/04 @ $101.67) (CCC+ , B3) 11/15/07 10.000 791,700
------------
13,591,265
------------
TECHNOLOGY (1.9%)
130 AMI Semiconductor, Inc., Global Company
Guaranteed Notes (Callable 2/1/08 @ $105.38) (B , B3) 02/01/13 10.750 153,075
800 Amkor Technology, Inc., Global Senior Notes
(Callable 5/15/08 @ $103.88) (B , B1) 05/15/13 7.750 792,000
200 Amkor Technology, Inc., Global Senior Notes (B , B1) 02/15/08 9.250 215,000
585 Avaya, Inc., Secured Notes
(Callable 4/01/06 @ $105.56) (B+ , B2) 04/01/09 11.125 693,225
325 DigitalNet Holdings, Inc., Global Senior Notes
(Callable 1/15/07 @ $104.50) (B , B2) 07/15/10 9.000 351,000
175 Lucent Technologies, Inc., Notes (B , Caa1) 07/15/06 7.250 182,656
1,000 Lucent Technologies, Inc., Notes (B , Caa1) 11/15/08 5.500 955,000
250 Sanmina-SCI Corp., Rule 144A, Secured Notes
(Callable 1/15/07 @ $105.19)++ (BB- , Ba2) 01/15/10 10.375 293,750
</Table>
See Accompanying Notes to Financial Statements.
24
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
TECHNOLOGY
$ 750 Thomas & Betts Corp., Notes
(Callable 6/01/08 @ $103.63) (BBB- , Ba1) 06/01/13 7.250 $ 797,008
400 Viasystems, Inc., Rule 144A, Senior Subordinated
Notes (Callable 1/15/08 @ $105.25)++ (CCC+ , Caa2) 01/15/11 10.500 440,000
------------
4,872,714
------------
TEXTILE/APPAREL/SHOE MANUFACTURING (1.9%)
200 BGF Industries, Inc., Series B, Senior
Subordinated Notes (Callable 1/15/05 @ $103.50) (CC , Ca) 01/15/09 10.250 172,000
300 Levi Strauss & Co., Global Senior Notes
(Callable 1/15/05 @ $105.81) (CCC , Ca) 01/15/08 11.625 274,500
850 Levi Strauss & Co., Global Senior Notes
(Callable 12/15/07 @ $106.13) (CCC , Ca) 12/15/12 12.250 765,000
500 Oxford Industries, Inc., Rule 144A, Senior Notes
(Callable 6/01/07 @ $104.44)++ (B , B2) 06/01/11 8.875 536,250
500 Perry Ellis International, Inc., Series B, Global
Senior Subordinated Notes
(Callable 9/15/08 @ $104.44) (B- , B3) 09/15/13 8.875 530,000
750 Phillips-Van Heusen Corp., Global Senior Notes
(Callable 5/01/08 @ $104.06) (BB- , B2) 05/01/13 8.125 791,250
400 Phillips-Van Heusen Corp., Rule 144A, Senior
Notes (Callable 2/15/08 @ $103.63)++ (BB- , B2) 02/15/11 7.250 404,000
200 Russell Corp., Global Company Guaranteed Notes
(Callable 5/01/06 @ $104.63) (BB , B1) 05/01/10 9.250 211,000
350 Tropical Sportswear International Corp., Series A,
Company Guaranteed Notes
(Callable 6/15/04 @ $103.67) (CC , Caa1) 06/15/08 11.000 218,750
900 Warnaco, Inc., Global Senior Notes
(Callable 6/15/08 @ $104.44) (B , B2) 06/15/13 8.875 972,000
------------
4,874,750
------------
TOWER (0.5%)
500 American Towers, Inc., Rule 144A,
Senior Subordinated Notes
(Callable 12/01/07 @ $103.62)++ (CCC , B3) 12/01/11 7.250 513,750
500 Crown Castle International Corp., Global Senior
Notes (Callable 12/01/08 @ $103.75) (CCC , B3) 12/01/13 7.500 501,250
400 SBA Telecommunications/SBA Communications
Corp., Rule 144A, Senior Discount Notes
(Callable 12/15/07 @ $104.88)++ + (CCC- , Caa1) 12/15/11 9.750 298,000
------------
1,313,000
------------
TRANSPORTATION/OTHER (0.4%)
150 Kansas City Southern Railway, Global
Company Guaranteed Notes (B+ , B2) 10/01/08 9.500 166,875
500 Overseas Shipholding Group, Inc., Rule 144A,
Senior Notes (Callable 3/15/08 @ $104.12)++ (BB+ , Ba1) 03/15/13 8.250 557,500
250 Teekay Shipping Corp., Global Senior Notes (BB- , Ba2) 07/15/11 8.875 288,750
------------
1,013,125
------------
</Table>
See Accompanying Notes to Financial Statements.
25
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
UTILITIES (6.1%)
$ 105 AES Corp., Rule 144A, Secured Notes
(Callable 12/15/04 @ $100.00)++ (BB , B2) 07/15/05 10.000 $ 108,222
750 AES Corp., Rule 144A, Senior Secured Notes
(Callable 5/15/08 @ $104.50)++ (B+ , B2) 05/15/15 9.000 821,250
77 AES Corp., Senior Notes (B- , B3) 06/01/09 9.500 82,775
750 AES Corp., Senior Notes (B- , B3) 03/01/14 7.750 748,125
31 AES Corp., Senior Unsecured Notes (B- , B3) 02/15/11 8.880 32,705
900 Allegheny Energy Supply Company LLC,
Global Notes (CCC+ , B3) 03/15/11 7.800 886,500
750 Aquila, Inc., Senior Notes (B- , Caa1) 11/15/09 7.630 731,250
126 Caithness Coso Fund Corp., Series B, Senior
Secured Notes (BB , Ba3) 12/15/09 9.050 139,988
500 Calpine Corp., Rule 144A, Secured Notes++ (B , NR) 12/01/11 9.875 465,000
750 Calpine Corp., Rule 144A, Secured Notes
(Callable 7/15/07 @ $104.25)++ (B , Aa2) 07/15/10 8.500 667,500
450 Calpine Corp., Senior Notes (CCC+ , Caa1) 04/15/09 7.750 313,875
265 Calpine Corp., Senior Notes (CCC+ , Caa1) 08/15/10 8.625 186,825
825 Calpine Corp., Senior Notes (CCC+ , Caa1) 02/15/11 8.500 581,625
1,000 Calpine Generating Co., Rule 144A, Secured Notes
(Callable 4/01/08 @ $103.50)++ (B , NR) 04/01/10 7.000 940,000
500 CMS Energy Corp., Rule 144A, Senior Notes++ (B+ , B3) 08/01/10 7.750 507,500
300 CMS Energy Corp., Senior Notes (B+ , B3) 11/15/04 7.625 308,250
500 CMS Energy Corp., Senior Notes (B+ , B3) 07/15/08 8.900 532,500
540 CMS Energy Corp., Senior Notes (B+ , B3) 01/15/09 7.500 546,750
987 Cogentrix Energy, Inc., Series B, Company
Guaranteed Notes (B+ , Ba3) 10/15/08 8.750 1,043,753
266 ESI Tractebel Acquisition Corp., Series B, Company
Guaranteed Notes (Callable 6/30/08 @ $101.84) (BB , Ba1) 12/30/11 7.990 275,310
950 Mirant Americas Generation Corp., Senior Notes## (D , Caa3) 05/01/06 7.625 698,250
252 National Waterworks, Inc., Series B, Global
Company Guaranteed Notes
(Callable 12/01/07 @ $105.25) (B , B3) 12/01/12 10.500 284,760
750 NRG Energy, Inc., Rule 144A, Secured Notes
(Callable 12/15/08 @ $104.00)++ (B+ , B2) 12/15/13 8.000 759,375
650 Prestolite Electric, Inc., Company Guaranteed
Notes (Callable 2/01/05 @ $101.60) (B- , Caa1) 02/01/08 9.625 669,500
900 PSEG Energy Holdings LLC, Global Notes (BB- , Ba3) 04/16/07 7.750 945,000
1,200 Sierra Pacific Resources, Rule 144A, Senior Notes
(Callable 3/15/09 @ $104.31)++ (B- , B2) 03/15/14 8.625 1,218,000
1,050 TNP Enterprises, Inc., Senior Subordinated Notes
(Callable 4/01/05 @ $105.13) (BB- , Ba3) 04/01/10 10.250 1,152,375
------------
15,646,963
------------
WIRELESS (5.1%)
320 AirGate PCS, Inc., Secured Notes
(Callable 1/01/06 @ $104.69) (CCC- , NR) 09/01/09 9.375 311,903
1,095 Alamosa Holdings, Inc., Company Guaranteed
Notes (Callable 2/15/05 @ $106.44)+ (NR , NR) 02/15/10 12.875 874,631
</Table>
See Accompanying Notes to Financial Statements.
26
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
CORPORATE BONDS
WIRELESS
$ 1,000 American Cellular Corp., Global Senior Notes
(Callable 8/01/07 @ $105.00) (B- , B3) 08/01/11 10.000 $ 970,000
600 Centennial Communications, Global Company
Guaranteed Notes (Callable 6/15/08 @ $105.06) (CCC , Caa1) 06/15/13 10.125 621,000
450 Centennial Communications, Senior Subordinated
Notes (Callable 12/15/04 @ $103.58) (CCC , Caa3) 12/15/08 10.750 465,750
1,000 Dobson Communications Corp., Global Senior
Notes (Callable 10/01/08 @ $104.44) (CCC+ , Caa1) 10/01/13 8.875 787,500
950 IWO Holdings, Inc., Global Company Guaranteed
Notes (Callable 1/15/06 @ $107.00) (C , Ca) 01/15/11 14.000 346,750
200 Nextel Communications, Inc., Senior Notes
(Callable 11/15/04 @ $104.69) (BB , B2) 11/15/09 9.375 217,250
750 Nextel Communications, Inc., Senior Notes
(Callable 8/01/08 @ $103.69) (BB , B2) 08/01/15 7.375 782,812
1,500 Nextel Partners, Inc., Global Senior Notes
(Callable 7/01/07 @ $104.06) (CCC+ , Caa1) 07/01/11 8.125 1,530,000
600 Nextel Partners, Inc., Senior Notes
(Callable 3/15/05 @ $105.50) (CCC+ , Caa1) 03/15/10 11.000 681,000
250 Nextel Partners, Inc., Senior Notes
(Callable 3/15/05 @ $105.50) (CCC+ , Caa1) 03/15/10 11.000 283,750
125 Rogers Wireless Communications, Inc.,
Global Secured Notes (BB+ , Ba3) 05/01/11 9.625 144,844
800 Rural Cellular Corp., Global Senior Subordinated
Notes ( Callable 1/15/06 @ $104.88) (CCC , Caa2) 01/15/10 9.750 752,000
250 Triton PCS, Inc., Global Company Guaranteed
Notes (Callable 11/15/06 @ $104.38) (B- , B3) 11/15/11 8.750 231,875
200 Triton PCS, Inc., Global Company Guaranteed
Notes (Callable 2/01/06 @ $104.69) (B- , B3) 02/01/11 9.375 190,500
800 Triton PCS, Inc., Global Company Guaranteed
Notes (Callable 6/01/08 @ $104.25) (B+ , B2) 06/01/13 8.500 836,000
1,000 Ubiquitel Operating Co., Company Guaranteed
Notes (Callable 4/15/05 @ $107.00)+ (CC , Caa3) 04/15/10 14.000 985,000
1,080 US Unwired, Inc., Series B, Company Guaranteed
Notes (Callable 11/01/04 @ $106.69)+ (C , Caa2) 11/01/09 13.375 1,080,000
800 Western Wireless Corp., Global Senior Notes
(Callable 7/15/08 @ $104.63) (CCC , Caa1) 07/15/13 9.250 826,000
------------
12,918,565
------------
TOTAL CORPORATE BONDS (Cost $228,573,063) 244,217,829
------------
FOREIGN BONDS (1.7%)
CHEMICALS (0.2%)
550 Acetex Corp., Global Senior Notes
(Callable 8/01/05 @ $105.44) (Canada) (B+ , B2) 08/01/09 10.875 607,750
------------
DIVERSIFIED TELECOMMUNICATIONS (0.4%)
950 Vivendi Universal SA, Global Senior Notes
(Callable 4/15/07 @ $104.62) (France) (BB , Ba3) 04/15/10 9.250 1,113,875
------------
</Table>
See Accompanying Notes to Financial Statements.
27
<Page>
<Table>
<Caption>
PAR RATINGS#
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
---------- ------------- -------- ------------ ------------
FOREIGN BONDS
ELECTRONICS/INFORMATION/DATA TECHNOLOGY (0.1%)
$ 250 Flextronics International Ltd., Global
Senior Subordinated Notes
(Callable 5/15/08 @ $103.25)(Singapore) (BB- , Ba2) 05/15/13 6.500 $ 254,375
------------
FOOD PROCESSORS/BEVERAGE/BOTTLING (0.1%)
175 Burns Philp Capital Pty, Ltd, Global Company
Guaranteed Notes (Callable 7/15/07 @ $104.88)
(Australia) (B- , B3) 07/15/12 9.750 185,500
------------
LEISURE (0.3%)
300 Intrawest Corp., Global Company Guaranteed
Notes (Callable 2/01/05 @ $105.25) (Canada) (B+ , B1) 02/01/10 10.500 329,250
450 Intrawest Corp., Global Senior Notes
(Callable 10/15/08 @ $103.75) (Canada) (B+ , B1) 10/15/13 7.500 462,375
------------
791,625
------------
METALS & MINING (0.3%)
750 IPSCO, Inc., Global Senior Notes
(Callable 6/01/08 @ $104.38) (Canada) (BB , Ba3) 06/01/13 8.750 843,750
------------
TECHNOLOGY (0.3%)
650 Danka Business Systems PLC, Global Senior
Notes (Callable 6/15/07 @ $105.50)
(United Kingdom) (B+ , B2) 06/15/10 11.000 666,250
------------
TOTAL FOREIGN BONDS (Cost $4,102,898) 4,463,125
------------
CONVERTIBLE BONDS (0.2%)
OIL EQUIPMENT (0.2%)
400 Key Energy Services, Inc. (Cost $397,516) (B+ , B1) 09/15/04 5.000 397,540
------------
<Caption>
NUMBER OF
SHARES
----------
COMMON STOCKS (0.1%)
SECONDARY OIL & GAS PRODUCERS (0.0%)
1,176 Southwest Royalties, Inc.*^ 41,160
------------
TEXTILE/APPAREL/SHOE MANUFACTURING (0.0%)
187 AGY Holdings Corp.* 4,675
------------
WIRELESS (0.1%)
13,216 AirGate PCS, Inc.* 251,368
22,527 Dobson Communications Corp., Class A* 80,647
------------
332,015
------------
TOTAL COMMON STOCKS (Cost $231,970) 377,850
------------
PREFERRED STOCKS (0.4%)
BROADCAST/OUTDOOR (0.4%)
11,300 Paxson Communications Corp. 1,059,375
------------
</Table>
See Accompanying Notes to Financial Statements.
28
<Page>
<Table>
<Caption>
NUMBER OF
SHARES MATURITY RATE% VALUE
---------- -------- ------------ -------------
PREFERRED STOCKS
WIRELESS (0.0%)
24,000 Dobson Communications Corp. $ 16,980
350 Dobson Communications Corp., Rule 144A
(Callable 8/19/05 @ $106.00)++ 41,847
-------------
58,827
-------------
TOTAL PREFERRED STOCKS (Cost $1,011,232) 1,118,202
-------------
WARRANTS (0.0%)
BROADBAND (0.0%)
100 GT Group Telecom, Inc., Rule 144A, expires
February 2010*++ 75
-------------
TEXTILE/APPAREL/SHOE MANUFACTURING (0.0%)
155 AGY Holdings Corp.* 1
-------------
TOTAL WARRANTS (Cost $2,502) 76
-------------
SHORT-TERM INVESTMENT (0.3%)
698,870 State Street Navigator Prime Fund~~
(Cost $698,870) 698,870
-------------
TOTAL INVESTMENTS AT VALUE (98.2%) (Cost $235,018,051) 251,273,492
OTHER ASSETS IN EXCESS OF LIABILITIES (1.8%) 4,590,164
-------------
NET ASSETS (100.0%) $ 255,863,656
==============
</Table>
INVESTMENT ABBREVIATIONS
NR = Not Rated
# Credit ratings given by the Standard & Poor's Division of The McGraw-Hill
Companies, Inc. ("S&P") and Moody's Investors Service, Inc. ("Moody") are
unaudited.
++ Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At April 30,
2004, these securities amounted to a value of $55,582,869 or 21.7% of net
assets.
+ Step Bond - The interest rate is as of April 30, 2004 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, or under the direction of, 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.
29
<Page>
CREDIT SUISSE HIGH INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2004 (unaudited)
<Table>
ASSETS
Investments at value, including collateral for securites on loan of $698,870
(Cost $235,018,051) (Note 1) $ 251,273,492(1)
Cash 528
Interest receivable 6,143,224
Receivable for investments sold 2,580,337
Receivable for fund shares sold 1,138,937
Prepaid expenses and other assets 57,614
----------------
Total Assets 261,194,132
----------------
LIABILITIES
Advisory fee payable (Note 2) 102,391
Administrative services fee payable (Note 2) 53,388
Distribution fee payable (Note 2) 141,419
Payable upon return of securities loaned (Note 1) 698,870
Loan payable (Note 3) 1,979,000
Payable for fund shares redeemed 1,166,597
Dividend payable 1,108,653
Interest payable 6,382
Trustees' fee payable 119
Other accrued expenses payable 73,657
----------------
Total Liabilities 5,330,476
----------------
NET ASSETS
Capital stock, $0.001 par value (Note 5) 30,537
Paid-in capital (Note 5) 239,256,795
Accumulated net investment loss (404,299)
Accumulated net realized gain on investments 725,182
Net unrealized appreciation from investments 16,255,441
----------------
Net Assets $ 255,863,656
================
COMMON SHARES
Net assets $ 1,020,362
Shares outstanding 121,922
----------------
Net asset value, offering price, and redemption price per share $ 8.37
================
A SHARES
Net assets $ 115,044,985
Shares outstanding 13,716,494
----------------
Net asset value and redemption price per share $ 8.39
================
Maximum offering price per share (net asset value/(1-4.75%)) $ 8.81
================
B SHARES
Net assets $ 44,305,213
Shares outstanding 5,296,729
----------------
Net asset value and offering price per share $ 8.36
================
C SHARES
Net assets $ 95,493,096
Shares outstanding 11,402,320
----------------
Net asset value and offering price per share $ 8.37
================
</Table>
(1) Including $681,675 of securities on loan.
See Accompanying Notes to Financial Statements.
30
<Page>
STATEMENT OF OPERATIONS
For the Six Months Ended April 30, 2004 (unaudited)
<Table>
INVESTMENT INCOME (Note 1)
Interest $ 12,780,463
Dividends 72,987
Securities lending 54,724
----------------
Total investment income 12,908,174
----------------
EXPENSES
Investment advisory fees (Note 2) 785,798
Administrative services fees (Note 2) 251,777
Distribution fees (Note 2)
Class A 164,735
Class B 221,132
Class C 487,543
Transfer agent fees (Note 2) 39,876
Legal fees 30,959
Custodian fees 23,038
Printing fees (Note 2) 19,085
Insurance expense 12,412
Registration fees 10,252
Audit fees 6,963
Interest expense (Note 3) 6,382
Commitment fees (Note 3) 3,622
Trustees' fees 3,229
Miscellaneous expense 8,591
----------------
Total expenses 2,075,394
Less: fees waived (Note 2) (44,324)
----------------
Net expenses 2,031,070
----------------
Net investment income 10,877,104
----------------
NET REALIZED AND UNREALIZED GAIN FROM INVESTMENTS
Net realized gain from investments 2,662,488
Net change in unrealized appreciation (depreciation) from investments 861,625
----------------
Net realized and unrealized gain from investments 3,524,113
----------------
Net increase in net assets resulting from operations $ 14,401,217
================
</Table>
See Accompanying Notes to Financial Statements.
31
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
FOR THE SIX MONTHS
ENDED FOR THE YEAR
APRIL 30, 2004 ENDED
(UNAUDITED) OCTOBER 31, 2003
------------------ ----------------
FROM OPERATIONS
Net investment income $ 10,877,104 $ 13,233,277
Net realized gain from investments 2,662,488 1,239,437
Net change in unrealized appreciation (depreciation) from investments 861,625 16,738,801
------------------ ----------------
Net increase in net assets resulting from operations 14,401,217 31,211,515
------------------ ----------------
FROM DIVIDENDS
Dividends from net investment income
Common Class shares (44,834) (115,907)
Class A shares (5,664,269) (6,660,406)
Class B shares (1,733,974) (2,089,668)
Class C shares (3,821,739) (4,369,160)
------------------ ----------------
Net decrease in net assets resulting from dividends (11,264,816) (13,235,141)
------------------ ----------------
FROM CAPITAL SHARE TRANSACTIONS (Note 5)
Proceeds from sale of shares 46,976,698 276,882,232
Reinvestment of dividends 4,063,304 4,643,481
Net asset value of shares redeemed (70,256,166) (47,677,867)
------------------ ----------------
Net increase (decrease) in net assets from capital share transactions (19,216,164) 233,847,846
------------------ ----------------
Net increase (decrease) in net assets (16,079,763) 251,824,220
NET ASSETS
Beginning of period 271,943,419 20,119,199
------------------ ----------------
End of period $ 255,863,656 $ 271,943,419
================== ================
ACCUMULATED NET INVESTMENT LOSS $ (404,299) $ (16,587)
================== ================
</Table>
See Accompanying Notes to Financial Statements.
32
<Page>
FINANCIAL HIGHLIGHTS
(For a Common Class Share of the Fund Outstanding Throughout Each Period)
<Table>
<Caption>
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED OCTOBER 31,
APRIL 30, 2004 ----------------------------------------------------
(UNAUDITED) 2003 2002 2001 2000(1)
--------------- --------- ---------- --------- ---------
PER SHARE DATA
Net asset value, beginning of period $ 8.27 $ 7.19 $ 7.96 $ 8.73 $ 9.21
--------------- --------- ---------- --------- ---------
INVESTMENT OPERATIONS
Net investment income 0.37 0.70 0.72(2) 0.80 0.21
Net gain (loss) on investments
(both realized and unrealized) 0.10 1.08 (0.74) (0.71) (0.48)
--------------- --------- ---------- --------- ---------
Total from investment operations 0.47 1.78 (0.02) 0.09 (0.27)
--------------- --------- ---------- --------- ---------
LESS DIVIDENDS
Dividends from net investment income (0.37) (0.70) (0.75) (0.86) (0.21)
--------------- --------- ---------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 8.37 $ 8.27 $ 7.19 $ 7.96 $ 8.73
=============== ========= ========== ========= =========
Total return(3) 5.87% 25.49% (0.60)% 0.88% (2.98)%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 1,020 $ 1,029 $ 1,324 $ 599 $ 141
Ratio of expenses to average net assets(4) 0.85%(5) 1.10% 1.10% 1.10% 1.10%(5)
Ratio of net investment income to average
net assets 8.56%(5) 8.97% 9.16% 9.98% 9.14%(5)
Decrease reflected in above operating
expense ratios due to waivers/
reimbursements 0.03%(5) 0.14% 2.04% 1.41% 1.58%(5)
Portfolio turnover rate 32% 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 is used to offset portions of
the transfer agent expense. For the six months ended April 30, 2004, and
the years ended October 31, 2003, 2002, 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.
33
<Page>
(For a Class A Share of the Fund Outstanding Throughout Each Period)
<Table>
<Caption>
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED OCTOBER 31,
APRIL 30, 2004 --------------------------------------
(UNAUDITED) 2003 2002 2001
--------------- --------- ---------- ---------
PER SHARE DATA
Net asset value, beginning of period $ 8.29 $ 7.21 $ 7.98 $ 8.73
--------------- --------- ---------- ---------
INVESTMENT OPERATIONS
Net investment income 0.36 0.73 0.72(2) 0.86
Net gain (loss) on investments
(both realized and unrealized) 0.10 1.05 (0.74) (0.75)
--------------- --------- ---------- ---------
Total from investment operations 0.46 1.78 (0.02) 0.11
--------------- --------- ---------- ---------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.36) (0.70) (0.75) (0.86)
Distributions from net realized gains -- -- -- --
--------------- --------- ---------- ---------
Total dividends and distributions (0.36) (0.70) (0.75) (0.86)
--------------- --------- ---------- ---------
NET ASSET VALUE, END OF PERIOD $ 8.39 $ 8.29 $ 7.21 $ 7.98
=============== ========= ========== =========
Total return(3) 5.75% 25.44% (0.56)% 1.13%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 115,045 $ 134,123 $ 9,390 $ 8,952
Ratio of expenses to average net assets(4) 1.10%(5) 1.10% 1.10% 1.10%
Ratio of net investment income to average
net assets 8.31%(5) 8.58% 9.16% 10.01%
Decrease reflected in above operating
expense ratios due to waivers/
reimbursements 0.03%(5) 0.14% 1.97% 1.30%
Portfolio turnover rate 32% 20% 86% 41%
<Caption>
FOR THE YEAR ENDED OCTOBER 31,
------------------------------
2000 1999(1)
--------- ---------
PER SHARE DATA
Net asset value, beginning of period $ 9.66 $ 10.00
--------- ---------
INVESTMENT OPERATIONS
Net investment income 0.88 0.56
Net gain (loss) on investments
(both realized and unrealized) (0.86) (0.34)
--------- ---------
Total from investment operations 0.02 0.22
--------- ---------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.88) (0.56)
Distributions from net realized gains (0.07) --
--------- ---------
Total dividends and distributions (0.95) (0.56)
--------- ---------
NET ASSET VALUE, END OF PERIOD $ 8.73 $ 9.66
========= =========
Total return(3) (0.06)% 2.19%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 10,709 $ 10,488
Ratio of expenses to average net assets(4) 1.10% 1.10%(5)
Ratio of net investment income to average
net assets 9.35% 8.61%(5)
Decrease reflected in above operating
expense ratios due to waivers/
reimbursements 1.58% 1.43%(5)
Portfolio turnover rate 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 is used to offset portions of
the transfer agent expense. For the six months ended April 30, 2004, and
the years ended October 31, 2003, 2002, 2001, 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.
34
<Page>
(For a Class B Share of the Fund Outstanding Throughout Each Period)
<Table>
<Caption>
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED OCTOBER 31,
APRIL 30, 2004 --------------------------------------
(UNAUDITED) 2003 2002 2001
--------------- --------- ---------- ---------
PER SHARE DATA
Net asset value, beginning of period $ 8.27 $ 7.19 $ 7.96 $ 8.73
--------------- --------- ---------- ---------
INVESTMENT OPERATIONS
Net investment income 0.33 0.65 0.65(2) 0.80
Net gain (loss) on investments
(both realized and unrealized) 0.09 1.07 (0.73) (0.77)
--------------- --------- ---------- ---------
Total from investment operations 0.42 1.72 (0.08) 0.03
--------------- --------- ---------- ---------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.33) (0.64) (0.69) (0.80)
Distributions from net realized gains -- -- -- --
--------------- --------- ---------- ---------
Total dividends and distributions (0.33) (0.64) (0.69) (0.80)
--------------- --------- ---------- ---------
NET ASSET VALUE, END OF PERIOD $ 8.36 $ 8.27 $ 7.19 $ 7.96
=============== ========= ========== =========
Total return(3) 5.23% 24.55% (1.36)% 0.14%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 44,305 $ 42,536 $ 2,860 $ 1,667
Ratio of expenses to average net assets(4) 1.85%(5) 1.85% 1.85% 1.85%
Ratio of net investment income to average
net assets 7.56%(5) 7.87% 8.35% 9.22%
Decrease reflected in above operating
expense ratios due to waivers/
reimbursements 0.03%(5) 0.14% 1.97% 1.35%
Portfolio turnover rate 32% 20% 86% 41%
<Caption>
FOR THE YEAR ENDED OCTOBER 31,
------------------------------
2000 1999(1)
--------- ---------
PER SHARE DATA
Net asset value, beginning of period $ 9.66 $ 10.00
--------- ---------
INVESTMENT OPERATIONS
Net investment income 0.81 0.50
Net gain (loss) on investments
(both realized and unrealized) (0.86) (0.34)
--------- ---------
Total from investment operations (0.05) 0.16
--------- ---------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.81) (0.50)
Distributions from net realized gains (0.07) --
--------- ---------
Total dividends and distributions (0.88) (0.50)
--------- ---------
NET ASSET VALUE, END OF PERIOD $ 8.73 $ 9.66
========= =========
Total return(3) (0.81)% 1.60%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 1,313 $ 1,447
Ratio of expenses to average net assets(4) 1.85% 1.85%(5)
Ratio of net investment income to average
net assets 8.60% 7.83%(5)
Decrease reflected in above operating
expense ratios due to waivers/
reimbursements 1.58% 1.43%(5)
Portfolio turnover rate 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 is used to offset portions of
the transfer agent expense. For the six months ended April 30, 2004, and
the years ended October 31, 2003, 2002, 2001, 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.
35
<Page>
(For a Class C Share of the Fund Outstanding Throughout Each Period)
<Table>
<Caption>
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED OCTOBER 31,
APRIL 30, 2004 ----------------------------------------------------
(UNAUDITED) 2003 2002 2001 2000(1)
--------------- --------- ---------- --------- ---------
PER SHARE DATA
Net asset value, beginning of period $ 8.28 $ 7.20 $ 7.96 $ 8.73 $ 9.57
--------------- --------- ---------- --------- ---------
INVESTMENT OPERATIONS
Net investment Income 0.33 0.64 0.61(2) 0.80 0.53(3)
Net gain (loss) on investments
(both realized and unrealized) 0.09 1.08 (0.68) (0.77) (0.84)
--------------- --------- ---------- --------- ---------
Total from investment operations 0.42 1.72 (0.07) 0.03 (0.31)
--------------- --------- ---------- --------- ---------
LESS DIVIDENDS
Dividends from net investment income (0.33) (0.64) (0.69) (0.80) (0.53)
--------------- --------- ---------- --------- ---------
Total dividends (0.33) (0.64) (0.69) (0.80) (0.53)
--------------- --------- ---------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 8.37 $ 8.28 $ 7.20 $ 7.96 $ 8.73
=============== ========= ========== ========= =========
Total return(3) 5.23% 24.54% (1.22)% 0.14% 3.31%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 95,493 $ 94,255 $ 6,545 $ 623 $ 78
Ratio of expenses to average net assets(4) 1.85%(5) 1.85% 1.85% 1.85% 1.85%(5)
Ratio of net investment income to average
net assets 7.56%(5) 7.86% 8.03% 9.18% 7.57%(5)
Decrease reflected in above operating
expense ratios due to waivers/
reimbursements 0.03%(5) 0.14% 2.61% 1.75% 1.58%(5)
Portfolio turnover rate 32% 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 is used to offset portions of
the transfer agent expense. For the six months ended April 30, 2004, and
the years ended October 31, 2003, 2002, 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.
36
<Page>
CREDIT SUISSE HIGH INCOME FUND
NOTES TO FINANCIAL STATEMENTS
April 30, 2004 (unaudited)
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
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
differences in the range of services provided to them. Effective December 12,
2001, Common Class shares closed to new investments, except for reinvestment 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.
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. 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. 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
37
<Page>
markets, are valued at fair value as determined in good faith by, or under the
direction of, the Board of Trustees under procedures established by the Board of
Trustees. The Fund may utilize a service provided by an independent third party
which has been approved by the Board of Trustees to fair value certain Fund
portfolio securities.
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 carryforward, 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
38
<Page>
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.
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". As of April 30, 2004, the Fund had no TBA purchase commitments.
H) SECURITIES LENDING -- Loans of securities are required at all times to
be secured by collateral at least equal to 102% of the market value of domestic
securities on loan (including any accrued interest thereon) and 105% of the
market value of foreign securities on loan (including any accrued interest
thereon). Cash collateral received by the Fund in connection with securities
lending activity may be 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, funds advised by SSB, the
Fund's securities lending agent or money market instruments. However, in the
event of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral may be subject to legal proceedings.
The market value of securities on loan to brokers and the value of
collateral held by the Fund with respect to such loans at April 30, 2004 is as
follows:
<Table>
<Caption>
MARKET VALUE OF VALUE OF
SECURITIES LOANED COLLATERAL RECEIVED
----------------- -------------------
$ 681,675 $ 698,870
</Table>
Prior to March 17, 2004, Credit Suisse First Boston ("CSFB"), an affiliate
of CSAM, had been engaged by the Fund to act as the Fund's securities lending
agent.
Effective March 17, 2004, SSB has been engaged by the Fund to act as the
Fund's securities lending agent. The Fund's securities lending arrangement
provides that the Fund and SSB will share the net income earned from the
securities lending activities, with the Fund receiving 70% and SSB receiving
39
<Page>
30% of the earnings from the investment of cash collateral or any other
securities lending income in accordance with the provisions of the securities
lending agency agreement. Securites lending income is accrued as earned.
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 six
months ended April 30, 2004, investment advisory fees earned and voluntarily
waived were $785,798 and $44,324, respectively.
Credit Suisse Asset Management Securities, Inc. ("CSAMSI"), an affiliate of
CSAM, and SSB serve as co-administrators to the Fund.
For its co-administrative services, CSAMSI currently receives a fee
calculated at an annual rate of 0.10% of the Fund's average daily net assets.
For the six months ended April 30, 2004, co-administrative services fees earned
by CSAMSI were $137,269.
For its co-administrative services, SSB receives a fee, exclusive of
out-of-pocket expenses, based on 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>
40
<Page>
For the six months ended April 30, 2004, co-administrative service fees
earned by SSB (including out-of-pocket expenses) were $114,508.
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, up to 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. Effective
November 1, 2003, CSAMSI no longer receives 12b-1 fees on Common Class shares.
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 six months ended April
30, 2004, the Fund reimbursed CSAM $590, which is included in the Fund's
transfer agent expense.
For the six months ended April 30, 2004, CSAMSI and its affiliates advised
the Fund that they retained $270,992 from commissions earned on the sale of the
Fund's Class A shares.
For the six months ended April 30, 2004, CSFB received $14,619 in fees for
its securities lending activities.
Merrill Corporation ("Merrill"), an affiliate of CSAM, has been engaged by
the Fund to provide certain financial printing and fulfillment services. For the
six months ended April 30, 2004, Merrill was paid $14,502 for its services to
the Fund.
NOTE 3. LINE OF CREDIT
The Fund, together with other funds/portfolios advised by CSAM
(collectively, the "Participating Funds"), participate in a $75 million
committed, unsecured line of credit facility ("Credit Facility") for temporary
or emergency purposes with Deutsche Bank, A.G. as administrative agent and
syndication agent and 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
41
<Page>
addition, the Participating Funds pay interest on borrowings at the Federal
Funds rate plus 0.50%. At April 30, 2004, the Fund had a loan outstanding under
the Credit Facility of $1,979,000. During the six months ended April 30, 2004,
the Fund had borrowings under the Credit Facility as follows:
<Table>
<Caption>
AVERAGE DAILY WEIGHTED AVERAGE MAXIMUM DAILY
LOAN BALANCE INTEREST RATE% LOAN OUTSTANDING
------------- ---------------- ----------------
$ 9,667,375 1.505% $ 14,568,000
</Table>
NOTE 4. PURCHASES AND SALES OF SECURITIES
For the six months ended April 30, 2004, purchases and sales of investment
securities (excluding short-term investments) were $84,336,782 and $99,289,613,
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 paid 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.
At April 30, 2004, 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 from investments were $235,018,051, $19,427,909,
($3,172,468) and $16,255,441, respectively.
NOTE 5. CAPITAL SHARE TRANSACTIONS
The Fund is authorized to issue an unlimited number of full and fractional
shares of beneficial interest, $.001 par value per share, of which an unlimited
number of shares are classified as Common Class shares, Class A shares, Class B
shares and Class C shares. Transactions in capital shares for each class were as
follows:
<Table>
<Caption>
COMMON CLASS
------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED
APRIL 30, 2004 (UNAUDITED) OCTOBER 31, 2003
------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
--------------- --------------- --------------- ---------------
Shares sold -- $ -- 10,799 $ 80,633
Shares issued in reinvestment
of dividends 4,922 41,386 13,496 105,586
Shares redeemed (7,400) (62,119) (84,045) (679,246)
--------------- --------------- --------------- ---------------
Net decrease (2,478) $ (20,733) (59,750) $ (493,027)
=============== =============== =============== ===============
</Table>
42
<Page>
<Table>
<Caption>
CLASS A
------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED
APRIL 30, 2004 (UNAUDITED) OCTOBER 31, 2003
------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
--------------- --------------- --------------- ---------------
Shares sold 3,066,772 $ 25,922,148 18,707,365 $ 146,956,559
Shares issued in reinvestment
of dividends 350,875 2,957,015 409,410 3,292,884
Shares redeemed (5,874,841) (49,565,717) (4,245,791) (34,085,441)
--------------- --------------- --------------- ---------------
Net increase (decrease) (2,457,194) $ (20,686,554) 14,870,984 $ 116,164,002
=============== =============== =============== ===============
<Caption>
CLASS B
------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED
APRIL 30, 2004 (UNAUDITED) OCTOBER 31, 2003
------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
--------------- --------------- --------------- ---------------
Shares sold 513,192 $ 4,329,027 4,955,118 $ 38,361,835
Shares issued in reinvestment
of dividends 33,448 281,027 43,452 345,958
Shares redeemed (393,218) (3,321,700) (253,099) (2,033,837)
--------------- --------------- --------------- ---------------
Net increase 153,422 $ 1,288,354 4,745,471 $ 36,673,956
=============== =============== =============== ===============
<Caption>
CLASS C
------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED
APRIL 30, 2004 (UNAUDITED) OCTOBER 31, 2003
------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
--------------- --------------- --------------- ---------------
Shares sold 1,977,535 $ 16,725,523 11,719,331 $ 91,483,205
Shares issued in reinvestment
of dividends 93,167 783,876 112,835 899,053
Shares redeemed (2,051,342) (17,306,630) (1,358,568) (10,879,343)
--------------- --------------- --------------- ---------------
Net increase 19,360 $ 202,769 10,473,598 $ 81,502,915
=============== =============== =============== ===============
</Table>
On April 30, 2004, 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 4 65%
Class A 3 58%
Class B 1 60%
Class C 1 57%
</Table>
Some of the shareholders are omnibus accounts, which hold shares on behalf
of individual shareholders.
43
<Page>
NOTE 6. 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.
44
<Page>
CREDIT SUISSE HIGH INCOME FUND
PRIVACY POLICY NOTICE (unaudited)
IMPORTANT PRIVACY CHOICES FOR CONSUMERS
We are committed to maintaining the privacy of every current and
prospective customer. We recognize that you entrust important personal
information to us, and we wish to assure you that we take seriously our
responsibilities in protecting and safeguarding this information.
In connection with making available investment products and services to
current and potential customers, we may obtain nonpublic personal information
about you. This information may include your name, address, e-mail address,
social security number, account number, assets, income, financial situation,
transaction history and other personal information.
We may collect nonpublic information about you from the following sources:
- Information we receive on applications, forms, questionnaires, web
sites, agreements or in the course of establishing or maintaining a
customer relationship; and
- Information about your transactions with us, our affiliates, or
others.
We do not disclose any nonpublic personal information about our customers
or former customers to anyone, except with your consent or as otherwise
permitted by law.
RESTRICT INFORMATION SHARING WITH AFFILIATES: In cases where we believe
that additional products and services may be of interest to you, we may share
the information described above with our affiliates unless you say "No."
/ / No, please do not share personal and financial information with your
affiliated companies. [If you check this box, you must send this
notice back to us with your name, address and account number to Credit
Suisse Funds, 466 Lexington Avenue, New York, New York 10017.]
We may also disclose this information to firms that perform services on our
behalf. These agents and service providers are required to treat the information
confidentially and use it only for the purpose for which it is provided.
We restrict access to nonpublic personal information about you to those
employees, agents or other parties who need to know that information to provide
products or services to you or in connection with your investments with or
through us. We maintain physical, electronic and procedural safeguards that
comply with federal standards to guard your nonpublic personal information.
NOTE: THIS NOTICE IS PROVIDED TO CLIENTS AND PROSPECTIVE CLIENTS OF CREDIT
SUISSE ASSET MANAGEMENT, LLC ("CSAM"), CSAM CAPITAL INC., AND CREDIT SUISSE
ASSET MANAGEMENT SECURITIES, INC., AND SHAREHOLDERS AND PROSPECTIVE SHAREHOLDERS
IN CSAM-SPONSORED AND-ADVISED INVESTMENT COMPANIES, INCLUDING CREDIT SUISSE
FUNDS, AND OTHER CONSUMERS AND CUSTOMERS, AS APPLICABLE. THIS NOTICE IS NOT
INTENDED TO BE INCORPORATED IN ANY OFFERING MATERIALS BUT IS MERELY A STATEMENT
OF OUR CURRENT PRIVACY POLICY, AND MAY BE AMENDED FROM TIME TO TIME UPON NOTICE
TO YOU. THIS NOTICE IS DATED AS OF MAY 19, 2004.
45
<Page>
CREDIT SUISSE HIGH INCOME FUND
PROXY VOTING (unaudited)
The policies and procedures that the Fund uses to determine how to vote
proxies relating to its portfolio securities are available:
- By calling 1-800-927-2874
- On the Fund's website, www.csam.com/us
- On the website of the Securities and Exchange Commission,
http://www.sec.gov.
46
<Page>
This page intentionally left blank
<Page>
This page intentionally left blank
<Page>
[CREDIT SUISSE ASSET MANAGEMENT LOGO]
P.O. BOX 55030, BOSTON, MA 02205-5030
800-927-2874 - www.csam.com/us
CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., DISTRIBUTOR. CSHIF-3-0404
<Page>
ITEM 2. CODE OF ETHICS.
This item is inapplicable to a semi-annual report on Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
This item is inapplicable to a semi-annual report on Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
This item is inapplicable to a semi-annual report on Form N-CSR.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to the registrant.
ITEM 6. SCHEDULE OF INVESTMENTS
Form N-CSR disclosure requirement not yet effective with respect to the
registrant.
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
The Nominating Committee recommends Board member candidates. Shareholders of the
registrant may also submit nominees that will be considered by the Committee.
Recommendations should be mailed to the registrant's Secretary, c/o Credit
Suisse Asset Management, LLC, 466 Lexington Avenue, New York, NY 10017. Any
submission should include at a minimum the following information: the name, age,
business address, residence address and principal occupation or employment of
such individual; the class, series and number of shares of the registrant that
are beneficially owned by such individual; the date such shares were acquired
and the investment intent of such acquisition; whether such shareholder believes
such individual is, or is not, an "interested person" of the registrant (as
defined in the Investment Company Act of 1940) and information regarding such
individual that is sufficient, in the Committee's discretion, to make such
determination; and all other information relating to such individual that is
required to be disclosed in solicitation of proxies for election of directors in
an election contest (even if an election contest is not involved) or is
otherwise required pursuant to the rules for proxy materials under the
Securities Exchange Act of 1934.
ITEM 10. CONTROLS AND PROCEDURES.
<Page>
(a) As of a date within 90 days from the filing date of this report, the
principal executive officer and principal financial officer concluded that the
registrant's disclosure controls and procedures (as defined in Rule 30a-3(c)
under the Investment Company Act of 1940 (the "Act")) were effective based on
their evaluation of the disclosure controls and procedures required by Rule
30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934.
(b) There were no changes in registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the
registrant's last fiscal half-year that have materially affected, or are
reasonably likely to materially affect, the registrant's internal control over
financial reporting.
ITEM 11. EXHIBITS.
(a)(1) Not applicable.
(a)(2) The certifications of the registrant as required by Rule 30a-2(a) under
the Act are exhibits to this report.
(a)(3) Not applicable.
(b) The certifications of the registrant as required by Rule 30a-2(b) under
the Act are an exhibit to this report.
<Page>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
CREDIT SUISSE OPPORTUNITY FUNDS
/s/ Joseph D. Gallagher
-----------------------
Name: Joseph D. Gallagher
Title: Chief Executive Officer
Date: July 6, 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: July 6, 2004
/s/ Michael A. Pignataro
------------------------
Name: Michael A. Pignataro
Title: Chief Financial Officer
Date: July 6, 2004