Regulatory Filings • Nov 21, 2012
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*UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549*
*FORM N-Q*
*QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY*
| Investment Company Act file number | |
|---|---|
| CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. | |
| (Exact name of registrant as specified in charter) | |
| c/o Credit Suisse Asset Management, LLC One Madison Avenue New York, New York | 10010 |
| (Address of principal executive offices) | (Zip code) |
| John G. Popp One Madison Avenue New York, New York 10010 | |
| (Name and address of agent for service) | |
| Registrants telephone number, including area code: | (212) 325-2000 |
| Date of fiscal year end: | December 31st |
| Date of reporting period: | July 1, 2012 to September 30, 2012 |
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*Item 1: Schedule of Investments*
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*Credit Suisse Asset Management Income Fund, Inc.*
*Schedule of Investments*
September 30, 2012 (unaudited)
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS (84.8%) | |||||
| Aerospace & Defense (0.6%) | |||||
| $ 1,000 | Ducommun, Inc., Global Company Guaranteed Notes (Callable 07/15/15 @ 104.88) | (B-, B3) | 07/15/18 | 9.750 | $ 1,060,000 |
| Auto Parts & Equipment (4.8%) | |||||
| 750 | Affinia Group, Inc., Global Company Guaranteed Notes (Callable 11/30/12 @ 100.00)§ | (CCC+, B3) | 11/30/14 | 9.000 | 757,500 |
| 750 | Affinia Group, Inc., Rule 144A, Senior Secured Notes (Callable 10/29/12 @ 108.06) | (B+, B1) | 08/15/16 | 10.750 | 814,687 |
| 500 | IDQ Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 10/01/14 @ 108.63) | (B, B3) | 04/01/17 | 11.500 | 533,750 |
| 408 | Lear Corp., Company Guaranteed Notes (Callable 03/15/15 @ 104.06)§ | (BB, Ba2) | 03/15/20 | 8.125 | 463,080 |
| 1,215 | Mark IV USA SCA, Rule 144A, Senior Secured Notes (Callable 12/15/13 @ 106.66) | (BB-, Ba3) | 12/15/17 | 8.875 | 1,672,514 |
| 675 | Meritor, Inc., Company Guaranteed Notes (Callable 03/15/14 @ 105.31)§ | (B-, B3) | 03/15/18 | 10.625 | 715,500 |
| 550 | Schaeffler Finance BV, Rule 144A, Senior Secured Notes§ | (B+, Ba3) | 02/15/17 | 7.750 | 610,500 |
| 1,000 | Schaeffler Finance BV, Rule 144A, Senior Secured Notes (Callable 02/15/15 @ 106.38)§ | (B+, Ba3) | 02/15/19 | 8.500 | 1,125,000 |
| 1,300 | Stoneridge, Inc., Rule 144A, Senior Secured Notes (Callable 10/15/14 @ 104.75) | (BB-, B2) | 10/15/17 | 9.500 | 1,410,500 |
| 1,000 | UCI International, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.31) | (CCC+, B3) | 02/15/19 | 8.625 | 1,000,000 |
| 9,103,031 | |||||
| Building & Construction (0.5%) | |||||
| 468 | Ashton Woods Finance Co., Rule 144A, Company Guaranteed Notes (Callable 02/24/14 @ 105.50)+ | (NR, NR) | 06/30/15 | 11.000 | 451,620 |
| 500 | K Hovnanian Enterprises, Inc., Rule 144A, Senior Secured Notes | (CC, B3) | 11/01/21 | 2.000 | 347,500 |
| 157 | William Lyon Homes, Inc., Global Notes | (NR, NR) | 02/25/17 | 12.000 | 143,897 |
| 943,017 | |||||
| Building Materials (3.0%) | |||||
| 1,525 | Euramax International, Inc., Global Senior Secured Notes (Callable 04/01/13 @ 107.13) | (B-, Caa1) | 04/01/16 | 9.500 | 1,403,000 |
| 1,000 | Headwaters, Inc., Global Secured Notes (Callable 04/01/15 @ 103.81) | (B+, B2) | 04/01/19 | 7.625 | 1,020,000 |
| 900 | International Wire Group Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 10/15/15 @ 104.25) | (B, B3) | 10/15/17 | 8.500 | 900,000 |
| 1,905 | International Wire Group, Inc., Rule 144A, Senior Secured Notes (Callable 10/15/12 @ 104.88) | (B+, B3) | 04/15/15 | 9.750 | 2,009,775 |
| 325 | Summit Materials Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 01/31/16 @ 105.25) | (B, B3) | 01/31/20 | 10.500 | 349,375 |
| 5,682,150 | |||||
| Chemicals (4.0%) | |||||
| 1,100 | Ferro Corp., Senior Unsecured Notes (Callable 08/15/14 @ 103.94)§ | (B-, B1) | 08/15/18 | 7.875 | 1,067,000 |
| 400 | Ineos Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/15/13 @ 104.50) | (B+, B1) | 05/15/15 | 9.000 | 425,000 |
| 1,300 | Ineos Group Holdings PLC, Rule 144A, Company Guaranteed Notes (Callable 02/15/13 @ 101.42)§ | (CCC+, Caa1) | 02/15/16 | 8.500 | 1,235,000 |
| 600 | JM Huber Corp., Rule 144A, Senior Unsecured Notes (Callable 11/01/15 @ 104.94) | (BB-, B2) | 11/01/19 | 9.875 | 676,500 |
| 1,264 | OXEA Finance & Cy SCA, Rule 144A, Senior Secured Notes (Callable 07/15/13 @ 107.13) | (B+, B2) | 07/15/17 | 9.500 | 1,387,240 |
| 800 | Reichhold Industries, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/29/12 @ 100.00) | (CCC+, NR) | 05/08/17 | 9.000 | 628,071 |
| 750 | Styrolution GmbH, Rule 144A, Senior Secured Notes (Callable 05/15/13 @ 105.72) | (B+, B2) | 05/15/16 | 7.625 | 906,982 |
| 500 | Taminco Global Chemical Corp., Rule 144A, Secured Notes (Callable 03/31/15 @ 107.31) | (B-, Caa1) | 03/31/20 | 9.750 | 542,500 |
SEQ.=1,FOLIO='',FILE='C:\JMS\107541\12-17003-2\task5636876\17003-2-bi-01.htm',USER='107541',CD='Nov 1 12:48 2012'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Chemicals | |||||
| $ 600 | TPC Group LLC, Global Senior Secured Notes (Callable 10/01/13 @ 106.19) | (B+, B1) | 10/01/17 | 8.250 | $ 651,000 |
| 7,519,293 | |||||
| Computer Hardware (0.9%) | |||||
| 1,730 | Spansion LLC, Global Company Guaranteed Notes (Callable 11/15/13 @ 103.94) | (BB-, B3) | 11/15/17 | 7.875 | 1,721,350 |
| Consumer Products (1.5%) | |||||
| 1,200 | NBTY, Inc., Global Company Guaranteed Notes (Callable 10/01/14 @ 104.50) | (B, B3) | 10/01/18 | 9.000 | 1,341,000 |
| 400 | Prestige Brands, Inc., Global Company Guaranteed Notes (Callable 02/01/16 @ 104.06) | (B-, B3) | 02/01/20 | 8.125 | 448,000 |
| 1,025 | Prestige Brands, Inc., Global Senior Secured Notes (Callable 04/01/14 @ 104.13) | (BB-, Ba3) | 04/01/18 | 8.250 | 1,132,625 |
| 2,921,625 | |||||
| Consumer/Commercial/Lease Financing (1.9%) | |||||
| 750 | Cabot Financial Luxembourg SA, Rule 144A, Senior Secured Notes (Callable 10/01/15 @ 107.78) | (BB, B1) | 10/01/19 | 10.375 | 1,220,183 |
| 450 | CNG Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 05/15/16 @ 104.69) | (B, B3) | 05/15/20 | 9.375 | 464,625 |
| 350 | NESCO Holding Corp., Rule 144A, Secured Notes (Callable 04/15/14 @ 110.00)§ | (B-, Caa1) | 04/15/17 | 11.750 | 374,500 |
| 350 | PFG Finance Corp., Rule 144A, Senior Notes (Callable 02/15/15 @ 105.06) | (B, B2) | 02/15/19 | 10.125 | 362,250 |
| 1,075 | PFG Finance Corp., Rule 144A, Senior Secured Notes (Callable 04/15/14 @ 105.13) | (BB, Ba3) | 04/15/17 | 10.250 | 1,161,000 |
| 3,582,558 | |||||
| Discount Stores (0.8%) | |||||
| 1,300 | Number Merger Sub, Inc., Rule 144A, Senior Notes (Callable 12/15/14 @ 108.25) | (NR, Caa1) | 12/15/19 | 11.000 | 1,465,750 |
| Diversified Capital Goods (1.7%) | |||||
| 600 | AM Castle & Co., Global Secured Notes (Callable 12/15/14 @ 106.38) | (B+, B3) | 12/15/16 | 12.750 | 681,000 |
| 625 | Coleman Cable, Inc., Global Company Guaranteed Notes (Callable 02/15/14 @ 104.50) | (B, B3) | 02/15/18 | 9.000 | 668,750 |
| 772 | FCC Holdings, Inc., Rule 144A, Notes (Callable 12/15/12 @ 106.00) | (CCC, Caa3) | 12/15/15 | 13.000 | 621,528 |
| 573 | Mueller Water Products, Inc., Global Company Guaranteed Notes (Callable 09/01/15 @ 104.38)§ | (NR, B2) | 09/01/20 | 8.750 | 650,355 |
| 491 | Trimas Corp., Global Senior Secured Notes (Callable 12/15/13 @ 104.88) | (B, B1) | 12/15/17 | 9.750 | 569,560 |
| 3,191,193 | |||||
| Electric - Generation (0.5%) | |||||
| 2,200 | TCEH Finance, Inc., LLC, Series A, Global Company Guaranteed Notes (Callable 11/01/12 @ 102.56) | (D, Ca) | 11/01/15 | 10.250 | 610,500 |
| 1,275 | TCEH Finance, Inc., LLC, Series B, Global Company Guaranteed Notes (Callable 11/01/12 @ 102.56)§ | (D, Ca) | 11/01/15 | 10.250 | 341,063 |
| 951,563 | |||||
| Electric - Integrated (0.8%) | |||||
| 1,300 | The AES Corp., Global Senior Unsecured Notes (Callable 06/01/21 @ 100.00)§ | (BB-, Ba3) | 07/01/21 | 7.375 | 1,488,500 |
| Electronics (1.4%) | |||||
| 950 | CPI International, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.00) | (CCC+, B3) | 02/15/18 | 8.000 | 909,625 |
SEQ.=1,FOLIO='',FILE='C:\JMS\107541\12-17003-2\task5636876\17003-2-bi-01.htm',USER='107541',CD='Nov 1 12:48 2012'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Electronics | |||||
| $ 781 | Freescale Semiconductor, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/14 @ 105.06)§ | (B, B1) | 03/15/18 | 10.125 | $ 863,005 |
| 1,000 | MEMC Electronic Materials, Inc., Global Company Guaranteed Notes (Callable 04/01/14 @ 105.81) | (B+, Caa1) | 04/01/19 | 7.750 | 825,000 |
| 2,597,630 | |||||
| Energy - Exploration & Production (8.3%) | |||||
| 475 | Comstock Resources, Inc., Company Guaranteed Notes (Callable 04/01/15 @ 103.88)§ | (B-, B3) | 04/01/19 | 7.750 | 479,750 |
| 1,475 | Comstock Resources, Inc., Company Guaranteed Notes (Callable 10/15/13 @ 104.19)§ | (B-, B3) | 10/15/17 | 8.375 | 1,541,375 |
| 475 | Denbury Resources, Inc., Company Guaranteed Notes (Callable 03/01/13 @ 104.88) | (BB, B1) | 03/01/16 | 9.750 | 511,813 |
| 1,450 | Energy Partners Ltd., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.13) | (B-, Caa1) | 02/15/18 | 8.250 | 1,471,750 |
| 625 | Energy XXI Gulf Coast, Inc., Company Guaranteed Notes (Callable 12/15/14 @ 104.63) | (B, B3) | 12/15/17 | 9.250 | 704,687 |
| 350 | Everest Acquisition Finance, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 103.44) | (BB-, Ba3) | 05/01/19 | 6.875 | 374,938 |
| 1,400 | Everest Acquisition Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/01/16 @ 104.69)§ | (B, B2) | 05/01/20 | 9.375 | 1,527,750 |
| 975 | EXCO Resources, Inc., Company Guaranteed Notes (Callable 09/15/14 @ 103.75) | (CCC+, B3) | 09/15/18 | 7.500 | 916,500 |
| 500 | Halcon Resources Corp., Rule 144A, Company Guaranteed Notes (Callable 07/15/16 @ 104.88) | (CCC+, B3) | 07/15/20 | 9.750 | 512,500 |
| 725 | Linn Energy Finance Corp., Global Company Guaranteed Notes (Callable 09/15/15 @ 103.88) | (B, B2) | 02/01/21 | 7.750 | 770,312 |
| 650 | Linn Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 11/01/15 @ 103.13) | (B, B2) | 11/01/19 | 6.250 | 647,562 |
| 2,100 | McMoRan Exploration Co., Company Guaranteed Notes (Callable 11/15/12 @ 104.94) | (B-, Caa1) | 11/15/14 | 11.875 | 2,220,750 |
| 550 | Oasis Petroleum, Inc., Global Company Guaranteed Notes (Callable 02/01/15 @ 103.63) | (B, B3) | 02/01/19 | 7.250 | 592,625 |
| 650 | PDC Energy, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/17 @ 103.88) | (B-, B3) | 10/15/22 | 7.750 | 650,000 |
| 700 | Stone Energy Corp., Company Guaranteed Notes (Callable 02/01/14 @ 104.31) | (B, B3) | 02/01/17 | 8.625 | 752,500 |
| 675 | Stone Energy Corp., Global Senior Subordinated Notes (Callable 12/15/12 @ 100.00) | (CCC+, Caa1) | 12/15/14 | 6.750 | 679,219 |
| 525 | Swift Energy Co., Company Guaranteed Notes (Callable 10/29/12 @ 103.56) | (B+, B3) | 06/01/17 | 7.125 | 546,000 |
| 650 | W&T Offshore, Inc., Global Company Guaranteed Notes (Callable 06/15/15 @ 104.25)§ | (B, B3) | 06/15/19 | 8.500 | 711,750 |
| 15,611,781 | |||||
| Environmental (1.5%) | |||||
| 900 | Casella Waste Systems, Inc., Global Senior Secured Notes (Callable 10/29/12 @ 105.50)§ | (BB-, B3) | 07/15/14 | 11.000 | 955,125 |
| 1,000 | EnergySolutions LLC, Global Company Guaranteed Notes (Callable 08/15/14 @ 105.38)§ | (B, Caa2) | 08/15/18 | 10.750 | 917,500 |
| 1,000 | Heckmann Corp., Global Company Guaranteed Notes (Callable 04/15/15 @ 104.94)§ | (B-, Caa1) | 04/15/18 | 9.875 | 1,032,500 |
| 2,905,125 | |||||
| Food - Wholesale (0.4%) | |||||
| 750 | Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 05/15/13 @ 105.63) | (B, B3) | 05/15/15 | 11.250 | 785,625 |
| Forestry & Paper (0.6%) | |||||
| 725 | Smurfit Kappa Funding PLC, Global Senior Subordinated Notes (Callable 01/31/13 @ 100.00) | (NR, B1) | 04/01/15 | 7.750 | 734,026 |
SEQ.=1,FOLIO='',FILE='C:\JMS\107541\12-17003-2\task5636876\17003-2-bi-01.htm',USER='107541',CD='Nov 1 12:48 2012'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Forestry & Paper | |||||
| $ 1,000 | Stone & Webster, Inc.* | (NR, NR) | 07/02/13 | 0.000 | $ 21,250 |
| 850 | Verso Paper, Inc., Global Secured Notes (Callable 02/01/15 @ 104.38)§ | (CCC+, B3) | 02/01/19 | 8.750 | 416,500 |
| 1,171,776 | |||||
| Gaming (4.7%) | |||||
| 925 | Affinity Gaming Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 05/15/15 @ 104.50) | (B, Caa1) | 05/15/18 | 9.000 | 964,313 |
| 775 | Buffalo Thunder Development Authority, Rule 144A, Senior Secured Notes (Callable 12/15/12 @ 100.00)ø | (NR, NR) | 12/15/14 | 9.375 | 286,750 |
| 605 | Choctaw Resort Development Enterprise, Rule 144A, Senior Notes (Callable 11/15/12 @ 102.42) | (B, Caa1) | 11/15/19 | 7.250 | 532,400 |
| 898 | Chukchansi Economic Development Authority, Rule 144A, Secured Notes (Callable 05/30/16 @ 104.88) | (NR, Caa2) | 05/30/20 | 9.750 | 592,433 |
| 375 | Fontainebleau Las Vegas Holdings LLC, Rule 144A, Second Mortgage Notes (Callable 10/29/12 @ 102.56)ø | (NR, NR) | 06/15/15 | 10.250 | 703 |
| 1,300 | Greektown Superholdings, Inc., Series B, Global Secured Notes (Callable 01/01/13 @ 106.50) | (NR, NR) | 07/01/15 | 13.000 | 1,413,750 |
| 1,500 | Jacobs Entertainment, Inc., Global Company Guaranteed Notes (Callable 10/29/12 @ 100.00) | (B-, Caa1) | 06/15/14 | 9.750 | 1,505,625 |
| 210 | Majestic Star Casino LLC, Rule 144A, Senior Notes§ | (NR, NR) | 12/01/16 | 12.500 | 195,960 |
| 850 | Peninsula Gaming LLC, Global Company Guaranteed Notes (Callable 08/15/13 @ 105.38) | (B, Caa1) | 08/15/17 | 10.750 | 964,750 |
| 800 | Peninsula Gaming LLC, Global Secured Notes (Callable 10/01/12 @ 104.19) | (BB, Ba3) | 08/15/15 | 8.375 | 840,000 |
| 500 | Rivers Pittsburgh Finance Corp., Rule 144A, Senior Secured Notes (Callable 06/15/15 @ 104.75) | (B, B3) | 06/15/19 | 9.500 | 533,750 |
| 435 | Tropicana Finance Corp., Global Senior Subordinated Notes (Callable 12/15/12 @ 100.00)ø^ | (NR, NR) | 12/15/14 | 9.625 | 44 |
| 1,225 | Tunica-Biloxi Gaming Authority, Rule 144A, Senior Unsecured Notes (Callable 11/15/12 @ 101.60) | (B+, B3) | 11/15/15 | 9.000 | 1,102,500 |
| 8,932,978 | |||||
| Gas Distribution (2.1%) | |||||
| 1,250 | Energy Transfer Equity LP, Company Guaranteed Notes§ | (BB, Ba2) | 10/15/20 | 7.500 | 1,425,000 |
| 700 | Genesis Energy LP, Global Company Guaranteed Notes (Callable 12/15/14 @ 103.94)§ | (B, B2) | 12/15/18 | 7.875 | 745,500 |
| 600 | Genesis Energy LP, Rule 144A, Senior Unsecured Notes (Callable 12/15/14 @ 103.94) | (NR, B2) | 12/15/18 | 7.875 | 639,000 |
| 500 | Holly Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 03/01/16 @ 103.25) | (BB-, B1) | 03/01/20 | 6.500 | 526,250 |
| 650 | Targa Resources Partners Finance Corp., Global Company Guaranteed Notes (Callable 10/29/12 @ 104.13) | (BB, Ba3) | 07/01/16 | 8.250 | 680,875 |
| 4,016,625 | |||||
| Health Facilities (1.7%) | |||||
| 455 | Bausch & Lomb, Inc., Global Senior Unsecured Notes (Callable 11/01/12 @ 102.47) | (B, Caa1) | 11/01/15 | 9.875 | 470,356 |
| 600 | MPT Finance Corp., Global Company Guaranteed Notes (Callable 05/01/16 @ 103.44) | (BB, Ba1) | 05/01/21 | 6.875 | 657,000 |
| 500 | Radiation Therapy Services, Inc., Global Company Guaranteed Notes (Callable 04/15/14 @ 104.94) | (CCC+, Caa2) | 04/15/17 | 9.875 | 366,250 |
| 1,175 | Symbion, Inc., Global Senior Secured Notes (Callable 06/15/14 @ 104.00)§ | (B, B2) | 06/15/16 | 8.000 | 1,210,250 |
| 400 | USPI Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 04/01/15 @ 106.75) | (CCC+, Caa1) | 04/01/20 | 9.000 | 436,000 |
| 3,139,856 |
SEQ.=1,FOLIO='',FILE='C:\JMS\107541\12-17003-2\task5636876\17003-2-bi-01.htm',USER='107541',CD='Nov 1 12:48 2012'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Health Services (1.5%) | |||||
| $ 350 | Capsugel FinanceCo SCA, Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ 107.41) | (B, Caa1) | 08/01/19 | 9.875 | $ 508,811 |
| 400 | inVentiv Health, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/14 @ 105.00) | (CCC, Caa2) | 08/15/18 | 10.000 | 354,000 |
| 550 | Service Corp. International, Senior Unsecured Notes | (BB-, Ba3) | 11/15/21 | 8.000 | 673,750 |
| 1,250 | STHI Holding Corp., Rule 144A, Secured Notes (Callable 03/15/14 @ 106.00) | (B, B2) | 03/15/18 | 8.000 | 1,337,500 |
| 2,874,061 | |||||
| Insurance Brokerage (1.0%) | |||||
| 1,250 | Alliant Holdings I, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/13 @ 100.00) | (CCC, Caa2) | 05/01/15 | 11.000 | 1,293,750 |
| 550 | Hub International Ltd., Rule 144A, Company Guaranteed Notes (Callable 10/15/14 @ 104.06) | (CCC+, Caa2) | 10/15/18 | 8.125 | 559,625 |
| 1,853,375 | |||||
| Leisure (1.2%) | |||||
| 1,000 | Magnum Management Corp., Global Company Guaranteed Notes (Callable 08/01/14 @ 104.56) | (B, B2) | 08/01/18 | 9.125 | 1,141,250 |
| 1,000 | Palace Entertainment Holdings Corp., Rule 144A, Senior Secured Notes (Callable 04/15/14 @ 104.44) | (B-, B2) | 04/15/17 | 8.875 | 1,062,500 |
| 2,203,750 | |||||
| Machinery (0.7%) | |||||
| 900 | Dematic SA, Rule 144A, Senior Secured Notes (Callable 05/01/13 @ 104.38) | (B, B2) | 05/01/16 | 8.750 | 967,500 |
| 250 | Terex Corp., Senior Subordinated Notes (Callable 11/15/12 @ 104.00)§ | (B, Caa1) | 11/15/17 | 8.000 | 260,000 |
| 1,227,500 | |||||
| Media - Broadcast (1.2%) | |||||
| 1,725 | Mission Broadcasting, Inc., Global Secured Notes (Callable 04/15/14 @ 104.44)§ | (B, B3) | 04/15/17 | 8.875 | 1,884,563 |
| 350 | Townsquare Radio, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/15 @ 106.75) | (B, B3) | 04/01/19 | 9.000 | 378,000 |
| 2,262,563 | |||||
| Media - Cable (3.2%) | |||||
| 150 | Cablevision Systems Corp., Senior Unsecured Notes§ | (B+, B1) | 04/15/18 | 7.750 | 166,875 |
| 600 | Cablevision Systems Corp., Senior Unsecured Notes | (B+, B1) | 04/15/20 | 8.000 | 672,000 |
| 398 | CCH II Capital Corp., Global Senior Notes (Callable 11/30/12 @ 106.75) | (B, B2) | 11/30/16 | 13.500 | 432,617 |
| 1,450 | CCO Holdings Capital Corp., Global Company Guaranteed Notes (Callable 04/30/15 @ 104.06) | (BB-, B1) | 04/30/20 | 8.125 | 1,645,750 |
| 900 | Cequel Capital Corp., Rule 144A, Senior Unsecured Notes (Callable 11/15/12 @ 106.47) | (B-, B3) | 11/15/17 | 8.625 | 965,250 |
| 1,050 | CSC Holdings LLC, Global Senior Unsecured Notes§ | (BB+, Ba3) | 02/15/19 | 8.625 | 1,249,500 |
| 500 | Harron Finance Corp., Rule 144A, Senior Notes (Callable 04/01/16 @ 104.56) | (B-, Caa1) | 04/01/20 | 9.125 | 542,500 |
| 350 | Unitymedia NRW GmbH, Rule 144A, Senior Secured Notes (Callable 03/15/15 @ 103.75) | (BB-, Ba3) | 03/15/19 | 7.500 | 385,875 |
| 6,060,367 | |||||
| Media - Diversified (1.3%) | |||||
| 1,050 | Block Communications, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/01/16 @ 103.63) | (B+, Ba3) | 02/01/20 | 7.250 | 1,120,875 |
| 400 | National CineMedia LLC, Senior Unsecured Notes (Callable 07/15/16 @ 103.94) | (B, B2) | 07/15/21 | 7.875 | 438,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\107541\12-17003-2\task5636876\17003-2-bi-01.htm',USER='107541',CD='Nov 1 12:48 2012'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Media - Diversified | |||||
| $ 775 | Quebecor Media, Inc., Global Senior Unsecured Notes (Callable 03/15/13 @ 101.29) | (B+, B2) | 03/15/16 | 7.750 | $ 800,187 |
| 2,359,062 | |||||
| Media - Services (0.9%) | |||||
| 200 | Clear Channel Worldwide Holdings, Inc., Global Company Guaranteed Notes (Callable 12/15/12 @ 106.94)§ | (B, B1) | 12/15/17 | 9.250 | 215,000 |
| 800 | Clear Channel Worldwide Holdings, Inc., Series B, Global Company Guaranteed Notes (Callable 12/15/12 @ 106.94) | (B, B1) | 12/15/17 | 9.250 | 866,000 |
| 366 | SGS International, Inc., Global Company Guaranteed Notes | (B-, B2) | 12/15/13 | 12.000 | 371,032 |
| 250 | WMG Acquisition Corp., Global Senior Secured Notes (Callable 06/15/13 @ 104.75) | (BB-, Ba2) | 06/15/16 | 9.500 | 274,063 |
| 1,726,095 | |||||
| Medical Products (0.6%) | |||||
| 1,050 | Polymer Group, Inc., Global Senior Secured Notes (Callable 02/01/15 @ 103.88) | (B, B1) | 02/01/19 | 7.750 | 1,123,500 |
| Metals & Mining - Excluding Steel (5.3%) | |||||
| 500 | Arch Coal, Inc., Global Company Guaranteed Notes (Callable 06/15/16 @ 103.63)§ | (B-, B3) | 06/15/21 | 7.250 | 420,000 |
| 1,075 | Calcipar SA, Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 103.44) | (BB, B1) | 05/01/18 | 6.875 | 1,072,312 |
| 400 | FMG Resources August 2006 Pty Ltd., Rule 144A, Senior Notes (Callable 11/01/15 @ 104.13)§ | (B+, Ba3) | 11/01/19 | 8.250 | 390,000 |
| 750 | Global Brass & Copper, Inc., Rule 144A, Senior Secured Notes (Callable 06/01/16 @ 104.75) | (B, B3) | 06/01/19 | 9.500 | 817,500 |
| 1,000 | Kaiser Aluminum Corp., Global Company Guaranteed Notes (Callable 06/01/16 @ 104.13) | (BB-, Ba3) | 06/01/20 | 8.250 | 1,085,000 |
| 1,000 | Molycorp, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/16 @ 105.00)§ | (CCC+, B3) | 06/01/20 | 10.000 | 995,000 |
| 1,338 | Noranda Aluminium Acquisition Corp., Global Company Guaranteed Notes# | (CCC+, B3) | 05/15/15 | 4.730 | 1,278,112 |
| 175 | Old AII, Inc., Global Company Guaranteed Notes (Callable 12/15/12 @ 100.00)ø^ | (NR, NR) | 12/15/14 | 9.000 | 18 |
| 675 | Old AII, Inc., Global Company Guaranteed Notes (Callable 12/15/12 @ 103.33)ø^ | (NR, NR) | 12/15/16 | 10.000 | 67 |
| 500 | Penn Virginia Resource Finance Corp II, Rule 144A, Company Guaranteed Notes (Callable 06/01/16 @ 104.19) | (B, B2) | 06/01/20 | 8.375 | 518,750 |
| 1,241 | Quadra FNX Mining Ltd., Rule 144A, Company Guaranteed Notes (Callable 06/15/15 @ 103.88) | (BB-, B1) | 06/15/19 | 7.750 | 1,284,435 |
| 1,450 | Taseko Mines Ltd., Company Guaranteed Notes (Callable 04/15/15 @ 103.88) | (B, B3) | 04/15/19 | 7.750 | 1,395,625 |
| 1,200 | Xinergy Corp., Rule 144A, Senior Secured Notes (Callable 05/15/15 @ 104.63)§ | (CCC, Caa3) | 05/15/19 | 9.250 | 786,000 |
| 10,042,819 | |||||
| Oil Field Equipment & Services (4.0%) | |||||
| 1,400 | Edgen Murray Corp., Global Senior Secured Notes (Callable 01/15/13 @ 106.13)§ | (B+, Caa2) | 01/15/15 | 12.250 | 1,501,500 |
| 1,125 | Frac Tech Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/14 @ 103.56) | (BB-, Ba3) | 11/15/18 | 8.125 | 1,203,750 |
| 420 | Helix Energy Solutions Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/13 @ 102.36) | (B, B3) | 01/15/16 | 9.500 | 438,900 |
| 250 | Hornbeck Offshore Services, Inc., Global Company Guaranteed Notes (Callable 09/01/13 @ 104.00) | (BB-, Ba3) | 09/01/17 | 8.000 | 270,312 |
| 1,000 | Offshore Group Investments, Ltd., Global Senior Secured Notes (Callable 02/01/13 @ 108.63) | (B-, B3) | 08/01/15 | 11.500 | 1,110,000 |
| 400 | Parker Drilling Co., Global Company Guaranteed Notes (Callable 04/01/14 @ 104.56) | (B+, B1) | 04/01/18 | 9.125 | 433,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\107541\12-17003-2\task5636876\17003-2-bi-01.htm',USER='107541',CD='Nov 1 12:48 2012'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Oil Field Equipment & Services | |||||
| $ 1,400 | Pioneer Drilling Co., Global Company Guaranteed Notes (Callable 03/15/14 @ 104.94) | (B+, B2) | 03/15/18 | 9.875 | $ 1,529,500 |
| 1,000 | Trinidad Drilling, Ltd., Rule 144A, Senior Unsecured Notes (Callable 01/15/15 @ 103.94) | (BB-, B1) | 01/15/19 | 7.875 | 1,085,000 |
| 7,571,962 | |||||
| Oil Refining & Marketing (1.6%) | |||||
| 1,325 | Coffeyville Finance, Inc., Rule 144A, Secured Notes (Callable 04/01/13 @ 108.16)§ | (B+, B1) | 04/01/17 | 10.875 | 1,490,625 |
| 90 | Coffeyville Finance, Inc., Rule 144A, Senior Secured Notes (Callable 10/29/12 @ 106.75) | (BB, Ba2) | 04/01/15 | 9.000 | 96,525 |
| 743 | Northern Tier Finance Corp., Global Senior Secured Notes (Callable 12/01/13 @ 107.88) | (BB-, B1) | 12/01/17 | 10.500 | 817,300 |
| 625 | PBF Finance Co., Rule 144A, Senior Secured Notes (Callable 02/15/16 @ 104.13) | (BB+, Ba3) | 02/15/20 | 8.250 | 659,375 |
| 3,063,825 | |||||
| Packaging (2.0%) | |||||
| 300 | Ardagh Packaging Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 10/15/15 @ 104.63) | (CCC+, B3) | 10/15/20 | 9.250 | 399,458 |
| 500 | Ardagh Packaging Finance PLC, Rule 144A, Senior Secured Notes (Callable 10/15/14 @ 103.69) | (B+, Ba3) | 10/15/17 | 7.375 | 686,669 |
| 375 | Berry Plastics Corp., Global Senior Secured Notes (Callable 11/15/12 @ 104.13) | (B, B1) | 11/15/15 | 8.250 | 394,219 |
| 475 | BWAY Holding Co., Global Company Guaranteed Notes (Callable 06/15/14 @ 105.00) | (CCC+, B3) | 06/15/18 | 10.000 | 536,750 |
| 850 | Clondalkin Acquisition BV, Rule 144A, Secured Notes# | (B, B2) | 12/15/13 | 2.389 | 809,625 |
| 350 | Reynolds Group Issuer LLC, Global Company Guaranteed Notes (Callable 10/15/14 @ 104.50)§ | (CCC+, Caa2) | 04/15/19 | 9.000 | 358,750 |
| 300 | Reynolds Group Issuer LLC, Global Senior Secured Notes (Callable 10/15/14 @ 103.56) | (B+, B1) | 04/15/19 | 7.125 | 318,000 |
| 250 | Sealed Air Corp., Rule 144A, Senior Unsecured Notes (Callable 09/15/16 @ 104.19) | (BB-, B1) | 09/15/21 | 8.375 | 281,250 |
| 3,784,721 | |||||
| Pharmaceuticals (0.6%) | |||||
| 1,125 | Warner Chilcott Finance LLC, Global Company Guaranteed Notes (Callable 09/15/14 @ 103.88) | (BB-, B3) | 09/15/18 | 7.750 | 1,206,563 |
| Printing & Publishing (0.2%) | |||||
| 683 | The Readers Digest Association, Inc., Global Senior Secured Notes (Callable 02/15/13 @ 104.00)# | (CC, Caa1) | 02/15/17 | 9.500 | 401,263 |
| Real Estate Investment Trusts (0.9%) | |||||
| 1,850 | CNL Lifestyle Properties, Inc., Global Company Guaranteed Notes (Callable 04/15/15 @ 103.63)§ | (B+, Ba3) | 04/15/19 | 7.250 | 1,762,125 |
| Restaurants (1.2%) | |||||
| 1,100 | CKE Restaurants, Inc., Global Senior Secured Notes (Callable 07/15/14 @ 105.69)§ | (B-, B2) | 07/15/18 | 11.375 | 1,281,500 |
| 1,000 | HOA Finance Corp., Rule 144A, Senior Secured Notes (Callable 04/01/14 @ 105.63) | (B, B3) | 04/01/17 | 11.250 | 917,500 |
| 2,199,000 | |||||
| Software/Services (3.7%) | |||||
| 950 | Epicor Software Corp., Global Company Guaranteed Notes (Callable 05/01/15 @ 104.31) | (CCC+, Caa1) | 05/01/19 | 8.625 | 1,007,000 |
| 1,125 | First Data Corp., Rule 144A, Senior Secured Notes (Callable 06/15/15 @ 103.69) | (B+, B1) | 06/15/19 | 7.375 | 1,165,781 |
| 650 | First Data Corp., Rule 144A, Senior Secured Notes (Callable 11/01/15 @ 105.06) | (B+, B1) | 11/01/20 | 6.750 | 649,187 |
SEQ.=1,FOLIO='',FILE='C:\JMS\107532\12-17003-2\task5636688\17003-2-bi-03.htm',USER='107532',CD='Nov 1 11:43 2012'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Software/Services | |||||
| $ 625 | Infor (US), Inc., Rule 144A, Senior Unsecured Notes (Callable 04/01/15 @ 107.50) | (B-, Caa1) | 04/01/19 | 10.000 | $ 872,408 |
| 1,250 | Serena Software, Inc., Global Company Guaranteed Notes (Callable 03/15/13 @ 101.73) | (CCC+, Caa1) | 03/15/16 | 10.375 | 1,284,375 |
| 400 | SSI Co-Issuer LLC, Global Company Guaranteed Notes (Callable 06/01/14 @ 105.56) | (CCC+, Caa1) | 06/01/18 | 11.125 | 454,000 |
| 600 | SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 11/15/13 @ 105.53) | (B, Caa1) | 11/15/18 | 7.375 | 646,500 |
| 848 | Syniverse Holdings, Inc., Global Company Guaranteed Notes (Callable 01/15/15 @ 104.56) | (B-, Caa1) | 01/15/19 | 9.125 | 915,840 |
| 6,995,091 | |||||
| Specialty Retail (1.8%) | |||||
| 800 | Brown Shoe Co., Inc., Global Company Guaranteed Notes (Callable 05/15/14 @ 105.34) | (B, B3) | 05/15/19 | 7.125 | 822,000 |
| 1,000 | Claires Stores, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/15 @ 106.75) | (B, B2) | 03/15/19 | 9.000 | 1,042,500 |
| 750 | Ontex IV SA, Rule 144A, Senior Secured Notes (Callable 04/15/14 @ 103.25) | (B+, B1) | 04/15/18 | 7.500 | 984,172 |
| 500 | Toys R Us Property Co. I LLC, Global Company Guaranteed Notes (Callable 07/15/13 @ 105.38) | (B+, B3) | 07/15/17 | 10.750 | 547,500 |
| 3,396,172 | |||||
| Steel Producers/Products (1.1%) | |||||
| 550 | JMC Steel Group, Rule 144A, Senior Notes (Callable 03/15/14 @ 106.19) | (B, B3) | 03/15/18 | 8.250 | 563,750 |
| 550 | Ryerson, Inc., Global Senior Secured Notes (Callable 11/01/12 @ 103.00) | (CCC+, Caa1) | 11/01/15 | 12.000 | 569,250 |
| 1,000 | Tempel Steel Co., Rule 144A, Senior Secured Notes (Callable 02/15/14 @ 109.00) | (B, B3) | 08/15/16 | 12.000 | 982,500 |
| 2,115,500 | |||||
| Support-Services (2.9%) | |||||
| 1,100 | CoreLogic, Inc., Global Company Guaranteed Notes (Callable 06/01/16 @ 103.63) | (B+, Ba3) | 06/01/21 | 7.250 | 1,196,250 |
| 500 | Emdeon, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/31/15 @ 105.50) | (CCC+, Caa1) | 12/31/19 | 11.000 | 570,000 |
| 775 | Garda World Security Corp., Rule 144A, Senior Unsecured Notes (Callable 03/15/14 @ 104.88) | (B, B2) | 03/15/17 | 9.750 | 817,625 |
| 500 | Sabre, Inc., Rule 144A, Senior Secured Notes (Callable 05/15/15 @ 106.38) | (B, B1) | 05/15/19 | 8.500 | 515,000 |
| 325 | The Geo Group, Inc., Global Company Guaranteed Notes (Callable 02/15/16 @ 103.31) | (B+, B1) | 02/15/21 | 6.625 | 349,375 |
| 450 | The Geo Group, Inc., Global Company Guaranteed Notes (Callable 10/15/13 @ 103.88) | (B+, B1) | 10/15/17 | 7.750 | 487,125 |
| 275 | United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 06/15/13 @ 105.44) | (B+, B3) | 06/15/16 | 10.875 | 307,312 |
| 1,200 | UR Financing Escrow Corp., Rule 144A, Senior Unsecured Notes (Callable 05/15/16 @ 103.69)§ | (B+, B3) | 05/15/20 | 7.375 | 1,293,000 |
| 5,535,687 | |||||
| Telecom - Integrated/Services (1.2%) | |||||
| 350 | Hellas Telecommunications II SCA, Rule 144A, Subordinated Notes#^ø | (NR, NR) | 01/15/15 | 6.039 | 0 |
| 600 | Intelsat Jackson Holdings SA, Global Company Guaranteed Notes (Callable 04/01/15 @ 103.63)§ | (B, B3) | 04/01/19 | 7.250 | 651,000 |
| 750 | Intelsat Jackson Holdings SA, Global Company Guaranteed Notes (Callable 04/01/16 @ 103.75) | (B, B3) | 04/01/21 | 7.500 | 815,625 |
SEQ.=1,FOLIO='',FILE='C:\JMS\107532\12-17003-2\task5636688\17003-2-bi-03.htm',USER='107532',CD='Nov 1 11:43 2012'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Telecom - Integrated/Services | |||||
| $ 700 | Zayo Capital, Inc., Global Senior Secured Notes (Callable 07/01/15 @ 104.06) | (B, B1) | 01/01/20 | 8.125 | $ 768,250 |
| 2,234,875 | |||||
| Telecom - Wireless (0.8%) | |||||
| 200 | Cricket Communications, Inc., Global Senior Secured Notes (Callable 10/29/12 @ 105.81) | (B+, Ba2) | 05/15/16 | 7.750 | 212,000 |
| 200 | GeoEye, Inc., Senior Secured Notes (Callable 10/01/13 @ 104.31) | (CCC, Caa1) | 10/01/16 | 8.625 | 219,500 |
| 400 | Telesat LLC, Rule 144A, Senior Unsecured Notes (Callable 05/15/14 @ 103.00) | (B-, B3) | 05/15/17 | 6.000 | 418,000 |
| 250 | Wind Acquisition Finance SA, Rule 144A, Company Guaranteed Notes (Callable 07/15/13 @ 105.88) | (BB-, B3) | 07/15/17 | 11.750 | 236,875 |
| 350 | Wind Acquisition Finance SA, Rule 144A, Company Guaranteed Notes (Callable 07/15/13 @ 105.88) | (BB-, B3) | 07/15/17 | 11.750 | 415,379 |
| 1,501,754 | |||||
| Telecommunications Equipment (0.9%) | |||||
| 700 | Avaya, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/15 @ 103.50)§ | (B, B1) | 04/01/19 | 7.000 | 654,500 |
| 950 | Brightstar Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/14 @ 104.75) | (BB-, B1) | 12/01/16 | 9.500 | 1,024,813 |
| 1,679,313 | |||||
| Textiles & Apparel (0.0%) | |||||
| 150 | IT Holding Finance SA, Rule 144A, Company Guaranteed Notesø | (NR, NR) | 11/15/12 | 9.875 | 1,978 |
| Theaters & Entertainment (2.1%) | |||||
| 857 | AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 12/01/15 @ 104.88)§ | (CCC+, Caa1) | 12/01/20 | 9.750 | 969,481 |
| 675 | AMC Entertainment, Inc., Global Senior Unsecured Notes (Callable 06/01/14 @ 104.38)§ | (B-, B2) | 06/01/19 | 8.750 | 747,563 |
| 1,600 | Regal Entertainment Group, Company Guaranteed Notes (Callable 08/15/14 @ 104.56)§ | (B-, B3) | 08/15/18 | 9.125 | 1,796,000 |
| 550 | Wallace Theater Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 12/15/12 @ 100.00)# | (CCC, NR) | 06/15/13 | 12.500 | 547,250 |
| 4,060,294 | |||||
| Tobacco (0.6%) | |||||
| 1,150 | Vector Group, Ltd., Global Senior Secured Notes (Callable 10/29/12 @ 103.68)§ | (NR, B1) | 08/15/15 | 11.000 | 1,203,188 |
| Transportation - Excluding Air/Rail (0.6%) | |||||
| 400 | Navios Maritime Holdings Finance II US, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.06) | (B+, B3) | 02/15/19 | 8.125 | 363,000 |
| 750 | Ship Finance International, Ltd., Global Company Guaranteed Notes§ | (B+, B3) | 12/15/13 | 8.500 | 753,750 |
| 1,116,750 | |||||
| TOTAL CORPORATE BONDS (Cost $158,517,127) | 160,354,579 | ||||
| ASSET BACKED SECURITIES (1.4%) | |||||
| Collateralized Loan Obligations (1.4%) | |||||
| 1,000 | Commercial Industrial Finance Corp.# | (BBB, NR) | 01/19/23 | 3.893 | 934,257 |
| 1,000 | Gale Force 1 CLO Ltd.# | (BBB+, Baa2) | 11/15/17 | 2.285 | 869,273 |
| 1,000 | Shackleton I CLO Ltd.# | (BBB, NR) | 08/14/23 | 5.352 | 959,806 |
| TOTAL ASSET BACKED SECURITIES (Cost $2,448,334) | 2,763,336 |
SEQ.=1,FOLIO='',FILE='C:\JMS\107532\12-17003-2\task5636688\17003-2-bi-03.htm',USER='107532',CD='Nov 1 11:43 2012'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| BANK LOANS (10.8%) | |||||
| Aerospace & Defense (0.9%) | |||||
| $ 1,500 | Arinc, Inc.# | (B, Caa1) | 10/25/15 | 6.214 | $ 1,475,625 |
| 236 | Stork Topco BV# | (B, B1) | 12/31/19 | 17.000 | 294,649 |
| 1,770,274 | |||||
| Banking (0.2%) | |||||
| 321 | Ocwen Financial Corp.# | (B, B1) | 09/01/16 | 7.000 | 323,007 |
| Chemicals (1.0%) | |||||
| 2,000 | PQ Corp.# | (B-, Caa1) | 07/30/15 | 6.714 | 1,915,000 |
| Diversified Capital Goods (0.5%) | |||||
| 997 | Electrical Components International, Inc.# | (B+, B1) | 02/04/17 | 6.750 | 989,981 |
| Energy - Exploration & Production (0.6%) | |||||
| 538 | Delek Benelux BV# | (NR, NR) | 02/08/17 | 5.339 | 607,650 |
| 463 | Delek Benelux BV# | (NR, NR) | 02/08/17 | 5.339 | 530,546 |
| 1,138,196 | |||||
| Gaming (0.5%) | |||||
| 1,000 | CKX Entertainment, Inc.# | (B+, B1) | 06/21/17 | 9.000 | 848,750 |
| Health Services (0.5%) | |||||
| 985 | Onex Carestream Finance LP | (BB-, B1) | 02/25/17 | 5.000 | 978,407 |
| Investments & Misc. Financial Services (0.6%) | |||||
| 881 | BNY ConvergEX Group LLC# | (B-, B3) | 12/18/17 | 8.750 | 820,541 |
| 369 | BNY ConvergEX Group LLC# | (B-, B3) | 12/18/17 | 8.750 | 344,303 |
| 1,164,844 | |||||
| Leisure (1.1%) | |||||
| 993 | Legendary Pictures Funding LLC# | (NR, NR) | 03/29/18 | 9.000 | 973,467 |
| 284 | Technicolor SA# | (B-, NR) | 03/31/16 | 9.350 | 284,508 |
| 760 | Technicolor SA# | (B, NR) | 05/26/17 | 9.350 | 761,405 |
| 2,019,380 | |||||
| Machinery (0.7%) | |||||
| 1,250 | CPM Acquisition Corp.# | (NR, B2) | 03/01/18 | 9.214 | 1,265,625 |
| Media - Diversified (0.4%) | |||||
| 571 | Flint Group Holdings Sarl# | (B-, B2) | 12/31/16 | 7.224 | 439,438 |
| 430 | Flint Group Holdings Sarl# | (B-, B2) | 06/30/16 | 7.724 | 363,697 |
| 803,135 | |||||
| Oil Field Equipment & Services (0.3%) | |||||
| 640 | Amtrol, Inc.# | (NR, NR) | 12/05/14 | 6.900 | 598,212 |
| Packaging (0.2%) | |||||
| 415 | Hilex Poly Co. LLC# | (B+, B3) | 11/19/15 | 11.250 | 423,008 |
| Printing & Publishing (0.2%) | |||||
| 1,207 | Yell Group PLC# | (B-, B2) | 07/31/14 | 4.459 | 324,550 |
| Real Estate Investment Trusts (0.8%) | |||||
| 1,000 | iStar Financial, Inc.# | (BB-, B2) | 06/30/14 | 7.000 | 1,001,455 |
| 593 | iStar Financial, Inc.# | (BB-, B1) | 06/28/13 | 5.000 | 595,415 |
| 1,596,870 | |||||
| Software/Services (2.0%) | |||||
| 773 | AVG Technologies N.V.# | (B+, B1) | 03/15/16 | 7.500 | 769,144 |
| 1,000 | Decision Insight Information Group# | (B, B1) | 01/04/17 | 7.000 | 990,000 |
| 1,000 | Flexera Software LLC# | (CCC+, Caa2) | 09/30/18 | 11.000 | 1,020,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\107532\12-17003-2\task5636688\17003-2-bi-03.htm',USER='107532',CD='Nov 1 11:43 2012'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| BANK LOANS | |||||
| Software/Services | |||||
| $ 980 | SafeNet, Inc.# | (B-, Caa1) | 04/12/15 | 6.216 | $ 975,299 |
| 20 | SafeNet, Inc.# | (B-, Caa1) | 04/12/15 | 6.216 | 19,701 |
| 3,774,144 | |||||
| Telecommunications Equipment (0.3%) | |||||
| 500 | Mitel US Holdings, Inc.# | (NR, Caa1) | 08/16/15 | 7.214 | 498,750 |
| TOTAL BANK LOANS (Cost $20,184,685) | 20,432,133 |
| Number of Shares | ||
|---|---|---|
| COMMON STOCKS (0.2%) | ||
| Automotive (0.0%) | ||
| 1,219 | Safelite Realty Corp.*^ | 0 |
| Building & Construction (0.1%) | ||
| 92,791 | William Lyon Homes, Inc.* | 88,151 |
| Building Materials (0.0%) | ||
| 372 | Dayton Superior Corp.*^ | 0 |
| 328 | Nortek, Inc.*§ | 17,951 |
| 17,951 | ||
| Chemicals (0.0%) | ||
| 4,893 | Huntsman Corp. | 73,053 |
| Forestry & Paper (0.1%) | ||
| 7,000 | Resolute Forest Products* | 91,000 |
| Gaming (0.0%) | ||
| 36,250 | Majestic Holdco LLC* | 36,250 |
| 1,500 | Progressive Gaming International Corp.* | 1 |
| 36,251 | ||
| Printing & Publishing (0.0%) | ||
| 888 | SuperMedia, Inc.*§ | 2,362 |
| TOTAL COMMON STOCKS (Cost $1,594,282) | 308,768 | |
| PREFERRED STOCK (0.0%) | ||
| Building Materials (0.0%) | ||
| 413 | Dayton Superior Corp. (Cost $156,000)*^ | 0 |
| WARRANTS (0.0%) | ||
| Building Materials (0.0%) | ||
| 864 | Nortek, Inc., strike price $1.00, expires 12/07/14*§ | 4,320 |
| Media - Broadcast (0.0%) | ||
| 12,259 | CNB Capital Trust I, Rule 144A, strike price $0.00, expires 03/23/19*^ | 67,547 |
| Printing & Publishing (0.0%) | ||
| 3,871 | The Readers Digest Association, Inc., strike price $0.00, expires 02/19/14*^ | 0 |
| TOTAL WARRANTS (Cost $864) | 71,867 | |
| SHORT-TERM INVESTMENTS (19.8%) | ||
| 28,631,537 | State Street Navigator Prime Portfolio, 0.30%§§ | 28,631,537 |
SEQ.=1,FOLIO='',FILE='C:\JMS\107532\12-17003-2\task5636688\17003-2-bi-03.htm',USER='107532',CD='Nov 1 11:43 2012'
| Par (000) | Maturity | Rate% | Value | |
|---|---|---|---|---|
| SHORT-TERM INVESTMENTS | ||||
| $ 8,764 | State Street Bank and Trust Co. Euro Time Deposit | 10/01/12 | 0.010 | $ 8,764,000 |
| TOTAL SHORT-TERM INVESTMENTS (Cost $37,395,537) | 37,395,537 | |||
| TOTAL INVESTMENTS AT VALUE (117.0%) (Cost $220,296,829) | 221,326,220 | |||
| LIABILITIES IN EXCESS OF OTHER ASSETS (-17.0%) | (32,187,660) | |||
| NET ASSETS (100.0%) | $ 189,138,560 |
*INVESTMENT ABBREVIATION*
NR = Not Rated
| | Credit ratings given by the Standard & Poors Division of The McGraw-Hill Companies, Inc. (S&P) and Moodys Investors Service, Inc. (Moodys) 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 September 30, 2012, these securities amounted to a value of $71,212,250 or 37.7% of net assets. |
| | This security is denominated in Euro. |
| + | Step Bond The interest rate is as of September 30, 2012 and will reset at a future date. |
| ø | Bond is currently 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 Directors. |
| # | Variable rate obligations The interest rate is the rate as of September 30, 2012. |
| § | Security or portion thereof is out on loan. |
| §§ | Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at September 30, 2012. |
At September 30, 2012, Open Forward Foreign Currency Contracts were as follows:
| Forward Foreign Currency to be Purchased (Local) | Forward Foreign Currency to be Sold (Local) | Expiration Date | Counterparties | Value on Settlement Date | Current Value | Unrealized Appreciation/ (Depreciation) | |||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| EUR | 560,596 | USD | 560,596 | 10/19/12 | Morgan Stanley | $ 560,596 | $ 585,454 | $ 24,858 | |||
| USD | 1,219,650 | GBP | 750,000 | 10/19/12 | Morgan Stanley | (1,219,650 | ) | (1,211,038 | ) | 8,612 | |
| USD | 7,250,315 | EUR | 5,959,000 | 10/19/12 | Goldman Sachs | (7,250,315 | ) | (7,667,525 | ) | (417,210 | ) |
| $ (383,740 | ) |
*Currency Abbreviations:*
EUR = Euro
GBP = British Pound
USD = United States Dollar
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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. 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. Equity investments are generally categorized as Level 1. Investments in open-end investment companies are valued at their net asset value each business day and are generally categorized as Level 1. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Debt securities are generally categorized as Level 2. Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and are generally categorized as Level 2. Securities and other assets for which market quotations are not readily available, or whose values have been materially affected by events occurring before the Funds Valuation Time but after the close of the securities primary markets, are valued at fair value as determined in good faith by, or under the direction of, the Board of Directors under procedures established by the Board of Directors and are generally categorized as Level 3. At September 30, 2012, the Fund held 0.04% of its net assets in securities valued at fair value as determined in good faith under procedures established by the Board of Directors with an aggregate cost of $1,934,412 and fair value of $67,676. The Funds estimate of fair value assumes a willing buyer and a willing seller neither acting under the compulsion to buy or sell. Although these securities may be resold in privately negotiated transactions, the prices realized on such sales could differ from the prices originally paid by the Fund or the current carrying values, and the difference could be material.
In accordance with the authoritative guidance on fair value measurements and disclosures under accounting principles generally accepted in the United States of America (GAAP), the Fund discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. GAAP established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entitys own assumptions about the assumptions market
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participants would use in pricing the asset or liability developed based on the best information available in the circumstances. In accordance with the Funds valuation procedures, factors used in determining value may include, but are not limited to, the type of the security, the size of the holding, the initial cost of the security, the existence of any contractual restrictions on the securitys disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies, quotations or evaluated prices from broker-dealers and/or pricing services, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the companys or issuers financial statements, an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold and with respect to debt securities, the maturity, coupon, creditworthiness, currency denomination, and the movement of the market in which the security is normally traded. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
| · | Level 1 quoted prices in active markets for identical investments |
|---|---|
| · | Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| · | Level 3 significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of September 30, 2012 in valuing the Funds investments carried at value:
| Level 1 | Level 2 | Level 3 | Total | |||
|---|---|---|---|---|---|---|
| Investments in Securities | ||||||
| Corporate Bonds | $ | $ 160,354,450 | $ 129 | $ 160,354,579 | ||
| Asset Backed Securities | | 2,763,336 | | 2,763,336 | ||
| Bank Loans | | 20,432,133 | | 20,432,133 | ||
| Common Stocks | 184,367 | 124,401 | | 308,768 | ||
| Preferred Stock | | | | | ||
| Warrants | 4,320 | | 67,547 | 71,867 | ||
| Short-Term Investments | 28,631,537 | 8,764,000 | | 37,395,537 | ||
| Other Financial Instruments * | ||||||
| Forward Foreign Currency Contracts | | (383,740 | ) | | (383,740 | ) |
| $ 28,820,224 | $ 192,054,580 | $ 67,676 | $ 220,942,480 |
The following is a reconciliation of investments as of September 30, 2012 in which significant unobservable inputs (Level 3) were used in determining value. Transfers in or out of Level 3 represent the beginning value of any security or instrument where a change in the level has occurred from the beginning to the end of the period.
| Balance as of December 31, 2011 | Investments — $ 80,218 | |
|---|---|---|
| Accrued discounts/premiums | | |
| Purchases | | |
| Sales | | |
| Realized Gain/(Loss) | | |
| Change in Unrealized Appreciation/(Depreciation) | (12,627 | ) |
| Transfers Into Level 3 | 85 | |
| Transfers Out of Level 3 | | |
| Balance as of September 30, 2012 | $ 67,676 | |
| Net change in unrealized Appreication/(Depreciation) from investments still held as of September 30, 2012 | $ (12,627 | ) |
The Fund adopted FASB amendments to authoritative guidance which require the Fund to disclose details of transfers in and out of Level 1 and Level 2 measurements and Level 2 and Level 3 measurements and the reasons for the transfers. For the quarter ended September 30, 2012, there were no transfers in and out of Level 1 and Level 2, but there was $85 transfered in from Level 2 to Level 3.
Federal Income Tax Cost - At September 30, 2012, 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 $220,296,829, $10,757,284, $(9,727,893) and $1,029,391 respectively.
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Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Funds website at www.credit-suisse.com/us/funds as well as on the website of the Securities and Exchange Commission at www.sec.gov.
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*Item 2: Controls and Procedures*
(a) As of a date within 90 days from the filing date of this report, the principal executive officer and principal financial officer concluded that the registrants 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 and Exchange Act of 1934.
(b) There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting.
*Item 3: Exhibits*
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*SIGNATURES*
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
| /s/John G. Popp | |
|---|---|
| Name: | John G. Popp |
| Title: | Chief Executive Officer |
| Date: | November 21, 2012 |
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/John G. Popp | |
|---|---|
| Name: | John G. Popp |
| Title: | Chief Executive Officer |
| Date: | November 21, 2012 |
| /s/Bruce S. Rosenberg | |
|---|---|
| Name: | Bruce S. Rosenberg |
| Title: | Chief Financial Officer |
| Date: | November 21, 2012 |
SEQ.=1,FOLIO='',FILE='C:\JMS\kgiri\12-17003-2\task5674620\17003-2-jc.htm',USER='105348',CD='Nov 17 09:30 2012'
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