Regulatory Filings • May 15, 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: | January 1, 2012 to March 31, 2012 |
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*Item 1: Schedule of Investments*
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*Credit Suisse Asset Management Income Fund, Inc.*
*Schedule of Investments*
March 31, 2012 (unaudited)
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS (86.9%) | |||||
| 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 | $ 1,065,000 |
| Auto Parts & Equipment (4.9%) | |||||
| 750 | Affinia Group, Inc., Global Company Guaranteed Notes (Callable11/30/12 @ $100.00) | (CCC+, B3) | 11/30/14 | 9.000 | 761,250 |
| 500 | IDQ Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 10/01/14 @ $108.63) | (B, B3) | 04/01/17 | 11.500 | 515,000 |
| 425 | Lear Corp., Company Guaranteed Notes (Callable 03/15/15 @ 104.06)§ | (BB, Ba2) | 03/15/20 | 8.125 | 476,000 |
| 1,211 | Mark IV USA SCA, Rule 144A, Senior Secured Notes (Callable 12/15/13 @ $106.66) | (BB-, Ba3) | 12/15/17 | 8.875 | 1,665,032 |
| 675 | Meritor, Inc., Company Guaranteed Notes (Callable 03/15/14 @ $105.31)§ | (B-, B3) | 03/15/18 | 10.625 | 729,000 |
| 550 | Schaeffler Finance BV, Rule 144A, Senior Secured Notes | (B, B1) | 02/15/17 | 7.750 | 584,375 |
| 1,000 | Schaeffler Finance BV, Rule 144A, Senior Secured Notes (Callable 02/15/15 @ $106.38) | (B, B1) | 02/15/19 | 8.500 | 1,072,500 |
| 1,075 | Stanadyne Corp., Series 1, Global Senior Subordinated Notes (Callable 08/15/12 @ $100.00) | (CCC, Caa1) | 08/15/14 | 10.000 | 989,000 |
| 1,300 | Stoneridge, Inc., Rule 144A, Senior Secured Notes (Callable 10/15/14 @ $104.75) | (BB-, B2) | 10/15/17 | 9.500 | 1,386,125 |
| 1,000 | UCI International, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ $104.31) | (CCC+, B3) | 02/15/19 | 8.625 | 1,032,500 |
| 9,210,782 | |||||
| Building & Construction (0.4%) | |||||
| 468 | Ashton Woods Finance Co., Rule 144A, Company Guaranteed Notes (Callable 02/24/14 @ $105.50)+ | (NR, NR) | 06/30/15 | 0.000 | 388,440 |
| 500 | K Hovnanian Enterprises, Inc., Rule 144A, Senior Secured Notes | (CC, B3) | 11/01/21 | 2.000 | 273,750 |
| 155 | William Lyon Homes, Inc., Global Company Guaranteed Notesø | (NR, NR) | 02/25/17 | 12.000 | 132,062 |
| 794,252 | |||||
| Building Materials (2.5%) | |||||
| 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 | 977,500 |
| 1,905 | International Wire Group, Inc., Rule 144A, Senior Secured Notes (Callable 10/15/12 @ $104.88) | (B, B3) | 04/15/15 | 9.750 | 2,000,250 |
| 325 | Summit Materials Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 01/31/16 @ $105.25) | (B, B3) | 01/31/20 | 10.500 | 341,250 |
| 4,722,000 | |||||
| Chemicals (4.9%) | |||||
| 1,100 | Ferro Corp., Senior Unsecured Notes (Callable 08/15/14 @ $103.94) | (B+, B1) | 08/15/18 | 7.875 | 1,127,500 |
| 400 | Ineos Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/15/13 @ $104.50) | (B, Ba3) | 05/15/15 | 9.000 | 426,500 |
| 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 |
| 200 | Nexeo Solutions Finance Corp., Rule 144A, Senior Subordinated Notes (Callable 03/01/14 @ $104.19) | (B-, B3) | 03/01/18 | 8.375 | 199,000 |
| 1,125 | Omnova Solutions, Inc., Global Company Guaranteed Notes (Callable 11/01/14 @ $103.94) | (B-, B2) | 11/01/18 | 7.875 | 1,082,812 |
| 1,400 | OXEA Finance & Cy SCA, Rule 144A, Senior Secured Notes (Callable 07/15/13 @ $107.13) | (B+, B2) | 07/15/17 | 9.500 | 1,505,000 |
| 1,050 | Polymer Group, Inc., Global Senior Secured Notes (Callable 02/01/15 @ $103.88) | (B, B1) | 02/01/19 | 7.750 | 1,110,375 |
| 750 | Reichhold Industries, Inc., Rule 144A, Senior Notes (Callable 08/15/12 @ $100.00)ø | (D, Ca) | 08/15/14 | 9.000 | 397,500 |
| 750 | Styrolution GmbH, Rule 144A, Senior Secured Notes (Callable 05/15/13 @ $105.72) | (B+, B2) | 05/15/16 | 7.625 | 878,922 |
| 500 | Taminco Global Chemical Corp., Rule 144A, Secured Notes (Callable 03/31/15 @ $107.31) | (B-, Caa1) | 03/31/20 | 9.750 | 522,500 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105953\12-10035-2\task5337109\10035-2-bi-01.htm',USER='105953',CD='May 8 16:01 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) | (NR, B1) | 10/01/17 | 8.250 | $ 631,500 |
| 9,116,609 | |||||
| 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 | 1,678,100 |
| Consumer Products (1.6%) | |||||
| 1,200 | NBTY, Inc., Global Company Guaranteed Notes (Callable 10/01/14 @ $104.50) | (B, B3) | 10/01/18 | 9.000 | 1,327,500 |
| 1,025 | Prestige Brands, Inc., Global Secured Notes (Callable 04/01/14 @ $104.13) | (BB-, Ba3) | 04/01/18 | 8.250 | 1,124,937 |
| 400 | Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/16 @ $104.06) | (B-, B3) | 02/01/20 | 8.125 | 435,500 |
| 2,887,937 | |||||
| Consumer/Commercial/Lease Financing (1.7%) | |||||
| 537 | CIT Group, Inc., Rule 144A, Secured Notes | (BB-, B1) | 05/04/15 | 7.000 | 538,316 |
| 353 | CIT Group, Inc., Rule 144A, Secured Notes | (BB-, B1) | 05/02/16 | 7.000 | 354,765 |
| 495 | CIT Group, Inc., Rule 144A, Secured Notes | (BB-, B1) | 05/02/17 | 7.000 | 496,856 |
| 550 | International Lease Finance Corp., Senior Unsecured Notes# | (BBB-, B1) | 07/13/12 | 0.927 | 547,233 |
| 350 | PFG Finance Corp., Rule 144A, Senior Notes (Callable 02/15/15 @ $105.06) | (B, B2) | 02/15/19 | 10.125 | 259,000 |
| 1,075 | PFG Finance Corp., Rule 144A, Senior Secured Notes (Callable 04/15/14 @ $105.13)§ | (BB, Ba3) | 04/15/17 | 10.250 | 1,050,812 |
| 3,246,982 | |||||
| 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 | 1,397,500 |
| Diversified Capital Goods (2.6%) | |||||
| 250 | Belden, Inc., Global Company Guaranteed Notes (Callable 03/15/13 @ $102.33) | (B+, Ba2) | 03/15/17 | 7.000 | 259,063 |
| 575 | Belden, Inc., Global Company Guaranteed Notes (Callable 06/15/14 @ $104.63) | (B+, Ba2) | 06/15/19 | 9.250 | 635,375 |
| 625 | Coleman Cable, Inc., Global Company Guaranteed Notes (Callable 02/15/14 @ $104.50) | (B, B3) | 02/15/18 | 9.000 | 660,937 |
| 772 | FCC Holdings, Inc., Rule 144A, Notes (Callable 12/15/12 @ $106.00) | (CCC, Caa3) | 12/15/15 | 12.000 | 700,590 |
| 600 | JM Huber Corp., Rule 144A, Senior Unsecured Notes (Callable 11/01/15 @ $104.94) | (BB-, B2) | 11/01/19 | 9.875 | 627,000 |
| 625 | Mueller Water Products, Inc., Global Company Guaranteed Notes (Callable 09/01/15 @ $104.38)§ | (B+, B2) | 09/01/20 | 8.750 | 703,125 |
| 1,050 | Trimas Corp., Global Senior Secured Notes (Callable 12/15/13 @ $104.88) | (B-, B2) | 12/15/17 | 9.750 | 1,165,500 |
| 4,751,590 | |||||
| Electric - Generation (0.4%) | |||||
| 2,200 | TCEH Finance, Inc., LLC, Series A, Global Company Guaranteed Notes (Callable 11/01/12 @ $102.56) | (D, Caa3) | 11/01/15 | 10.250 | 514,250 |
| 1,275 | TCEH Finance, Inc., LLC, Series B, Global Company Guaranteed Notes (Callable 11/01/12 @ $102.56)§ | (D, Caa3) | 11/01/15 | 10.250 | 283,688 |
| 797,938 | |||||
| Electric - Integrated (0.8%) | |||||
| 1,300 | The AES Corp., Rule 144A, Senior Notes§ | (BB-, Ba3) | 07/01/21 | 7.375 | 1,443,000 |
| Electronics (1.4%) | |||||
| 950 | CPI International, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ $104.00) | (CCC+, B3) | 02/15/18 | 8.000 | 843,125 |
| 781 | Freescale Semiconductor, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/14 @ $105.06)§ | (B, B1) | 03/15/18 | 10.125 | 874,720 |
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| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Electronics | |||||
| $ 1,000 | MEMC Electronic Materials, Inc., Global Company Guaranteed Notes (Callable 04/01/14 @ $105.81) | (BB, B3) | 04/01/19 | 7.750 | $ 800,000 |
| 2,517,845 | |||||
| Energy - Exploration & Production (8.3%) | |||||
| 475 | Comstock Resources, Inc., Company Guaranteed Notes (Callable 04/01/15 @ $103.88) | (B, B2) | 04/01/19 | 7.750 | 444,125 |
| 1,475 | Comstock Resources, Inc., Company Guaranteed Notes (Callable 10/15/13 @ $104.19)§ | (B, B2) | 10/15/17 | 8.375 | 1,441,812 |
| 475 | Denbury Resources, Inc., Company Guaranteed Notes (Callable 03/01/13 @ $104.88) | (BB, B1) | 03/01/16 | 9.750 | 523,688 |
| 1,450 | Energy Partners, Ltd., Global Company Guaranteed Notes (Callable 02/15/15 @ $104.13) | (B-, Caa1) | 02/15/18 | 8.250 | 1,477,187 |
| 625 | Energy XXI Gulf Coast, Inc., Company Guaranteed Notes (Callable 12/15/14 @ $104.63) | (B, Caa1) | 12/15/17 | 9.250 | 679,688 |
| 975 | EXCO Resources, Inc., Company Guaranteed Notes (Callable 09/15/14 @ $103.75)§ | (B-, B3) | 09/15/18 | 7.500 | 872,625 |
| 725 | Linn Energy Finance Corp., Global Company Guaranteed Notes (Callable 09/15/15 @ $103.88) | (B, B2) | 02/01/21 | 7.750 | 755,812 |
| 650 | Linn Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 11/01/15 @ $103.13) | (B, B2) | 11/01/19 | 6.250 | 631,313 |
| 2,100 | McMoRan Exploration Co., Company Guaranteed Notes (Callable 11/15/12 @ $104.94) | (B-, Caa1) | 11/15/14 | 11.875 | 2,226,000 |
| 550 | Oasis Petroleum, Inc., Global Company Guaranteed Notes (Callable 02/01/15 @ $103.63) | (B, Caa1) | 02/01/19 | 7.250 | 581,625 |
| 625 | PBF Finance Corp., Rule 144A, Senior Secured Notes (Callable 02/15/16 @ $104.13) | (BB+, Ba3) | 02/15/20 | 8.250 | 640,625 |
| 1,250 | Pioneer Natural Resources Co., Senior Unsecured Notes§ | (BBB-, Ba1) | 01/15/20 | 7.500 | 1,535,137 |
| 700 | Stone Energy Corp., Company Guaranteed Notes (Callable 02/01/14 @ $104.31) | (B, Caa1) | 02/01/17 | 8.625 | 735,000 |
| 675 | Stone Energy Corp., Global Senior Subordinated Notes (Callable 12/15/12 @ $100.00) | (CCC+, Caa2) | 12/15/14 | 6.750 | 681,750 |
| 525 | Swift Energy Co., Company Guaranteed Notes (Callable 06/01/12 @ $103.56)§ | (B+, B3) | 06/01/17 | 7.125 | 547,313 |
| 1,000 | Trinidad Drilling, Ltd., Rule 144A, Senior Unsecured Notes (Callable 01/15/15 @ $103.94) | (BB-, B2) | 01/15/19 | 7.875 | 1,068,750 |
| 650 | W&T Offshore, Inc., Global Company Guaranteed Notes (Callable 06/15/15 @ $104.25)§ | (B, Caa1) | 06/15/19 | 8.500 | 690,625 |
| 15,533,075 | |||||
| Environmental (1.5%) | |||||
| 900 | Casella Waste Systems, Inc., Global Senior Secured Notes (Callable 07/15/12 @ $105.50) | (BB-, B3) | 07/15/14 | 11.000 | 967,500 |
| 675 | Darling International, Inc., Global Company Guaranteed Notes (Callable 12/15/14 @ $104.25) | (BB+, Ba3) | 12/15/18 | 8.500 | 756,000 |
| 1,000 | EnergySolutions LLC, Global Company Guaranteed Notes (Callable 08/15/14 @ $105.38) | (BB-, Caa1) | 08/15/18 | 10.750 | 1,037,500 |
| 2,761,000 | |||||
| Food - Wholesale (0.8%) | |||||
| 1,325 | Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 05/15/13 @ $105.63) | (B+, B3) | 05/15/15 | 11.250 | 1,421,063 |
| Forestry & Paper (1.0%) | |||||
| 500 | Smurfit Kappa Acquisitions, Rule 144A, Senior Secured Notes (Callable 11/15/13 @ $103.63) | (BB+, Ba1) | 11/15/17 | 7.250 | 715,789 |
| 725 | Smurfit Kappa Funding PLC, Global Senior Subordinated Notes (Callable 01/31/13 @ $100.00)§ | (B+, B1) | 04/01/15 | 7.750 | 732,250 |
| 1,000 | Stone & Webster, Inc.* | (NR, NR) | 07/01/12 | 8.375 | 21,250 |
| 850 | Verso Paper, Inc., Global Secured Notes (Callable 02/01/15 @ $104.38) | (B, B2) | 02/01/19 | 8.750 | 471,750 |
| 1,941,039 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105953\12-10035-2\task5337109\10035-2-bi-01.htm',USER='105953',CD='May 8 16:01 2012'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Gaming (4.8%) | |||||
| $ 775 | Buffalo Thunder Development Authority, Rule 144A, Senior Secured Notes (Callable 12/15/12 @ $100.00)ø | (NR, NR) | 12/15/14 | 9.375 | $ 275,125 |
| 605 | Choctaw Resort Development Enterprise, Rule 144A, Senior Notes (Callable 11/15/12 @ $102.42) | (B, Caa1) | 11/15/19 | 7.250 | 515,763 |
| 950 | Chukchansi Economic Development Authority, Rule 144A, Senior Unsecured Notes | (NR, Ca) | 11/15/13 | 8.000 | 684,000 |
| 375 | Fontainebleau Las Vegas Holdings LLC, Rule 144A, Second Mortgage Notes (Callable 06/15/12 @ $105.13)ø | (NR, NR) | 06/15/15 | 11.000 | 2,109 |
| 1,250 | Great Canadian Gaming Corp., Rule 144A, Company Guaranteed Notes (Callable 02/15/13 @ $100.00) | (BB-, B2) | 02/15/15 | 7.250 | 1,276,562 |
| 1,300 | Greektown Superholdings, Inc., Series B, Global Secured Notes (Callable 01/01/13 @ $106.50) | (NR, NR) | 07/01/15 | 13.000 | 1,433,250 |
| 1,500 | Jacobs Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/15/12 @ $100.00) | (B-, Caa1) | 06/15/14 | 9.750 | 1,477,500 |
| 210 | Majestic Star Casino LLC, Rule 144A, Senior Notes | (NR, NR) | 12/01/16 | 12.500 | 193,864 |
| 850 | Peninsula Gaming LLC, Global Company Guaranteed Notes (Callable 08/15/13 @ $105.38)§ | (B, Caa1) | 08/15/17 | 10.750 | 943,500 |
| 800 | Peninsula Gaming LLC, Global Secured Notes (Callable 08/15/12 @ $104.19) | (BB, Ba3) | 08/15/15 | 8.375 | 848,000 |
| 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 | 1,231,125 |
| 8,880,842 | |||||
| Gas Distribution (2.1%) | |||||
| 1,250 | Energy Transfer Equity LP, Company Guaranteed Notes§ | (BB, Ba2) | 10/15/20 | 7.500 | 1,393,750 |
| 700 | Genesis Energy LP, Global Company Guaranteed Notes (Callable 12/15/14 @ $103.94)§ | (B, B2) | 12/15/18 | 7.875 | 717,500 |
| 600 | Genesis Energy LP, Rule 144A, Senior Secured Notes (Callable 12/15/14 @ $103.94) | (NR, B2) | 12/15/18 | 7.875 | 612,000 |
| 500 | Holly Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 03/01/16 @ $103.25) | (BB-, B1) | 03/01/20 | 6.500 | 508,750 |
| 650 | Targa Resources Partners Finance Corp., Global Company Guaranteed Notes (Callable 07/01/12 @ $104.13)§ | (BB, Ba3) | 07/01/16 | 8.250 | 687,375 |
| 3,919,375 | |||||
| Health Facilities (2.0%) | |||||
| 455 | Bausch & Lomb, Inc., Global Senior Unsecured Notes (Callable 11/01/12 @ $102.47)§ | (B, Caa1) | 11/01/15 | 9.875 | 481,162 |
| 600 | MPT Finance Corp., Global Company Guaranteed Notes (Callable 05/01/16 @ $103.44) | (BB, Ba1) | 05/01/21 | 6.875 | 630,000 |
| 500 | Radiation Therapy Services, Inc., Global Company Guaranteed Notes (Callable 04/15/14 @ $104.94) | (CCC+, B3) | 04/15/17 | 9.875 | 403,750 |
| 1,175 | Symbion, Inc., Global Senior Secured Notes (Callable 06/15/14 @ $104.00)§ | (B, B2) | 06/15/16 | 8.000 | 1,169,125 |
| 400 | USPI Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 04/01/15 @ $106.75) | (CCC+, Caa1) | 04/01/20 | 9.000 | 414,000 |
| 687 | VWR Funding, Inc., Series B, Global Company Guaranteed Notes (Callable 07/15/12 @ $105.13)# | (B-, Caa1) | 07/15/15 | 10.250 | 714,026 |
| 3,812,063 | |||||
| Health Services (1.8%) | |||||
| 350 | Capsugel FinanceCo SCA, Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ $107.41) | (B, Caa1) | 08/01/19 | 9.875 | 508,044 |
| 400 | inVentiv Health, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/14 @ $105.00) | (CCC+, Caa2) | 08/15/18 | 10.000 | 362,000 |
| 350 | Labco SAS, Senior Secured Notes (Callable 01/15/14 @ $106.38) | (B+, B3) | 01/15/18 | 8.500 | 417,155 |
| 550 | Service Corp. International, Senior Unsecured Notes§ | (BB-, Ba3) | 11/15/21 | 8.000 | 638,000 |
| 1,250 | STHI Holding Corp., Rule 144A, Secured Notes (Callable 03/15/14 @ $106.00) | (B, B2) | 03/15/18 | 8.000 | 1,331,250 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105953\12-10035-2\task5337109\10035-2-bi-01.htm',USER='105953',CD='May 8 16:01 2012'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Health Services | |||||
| $ 175 | Universal Hospital Services, Inc., Global Secured Notes (Callable 06/01/12 @ $102.13)# | (B+, B3) | 06/01/15 | 8.500 | $ 180,031 |
| 3,436,480 | |||||
| Insurance Brokerage (0.7%) | |||||
| 1,250 | Alliant Holdings I, Inc. Rule 144A | (CCC, Caa2) | 05/01/15 | 11.000 | 1,317,188 |
| 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 | 1,127,500 |
| 1,000 | Palace Entertainment Holdings Corp., Rule 144A, Senior Secured Notes (Callable 04/15/14 @ $104.44) | (B-, B2) | 04/15/17 | 8.875 | 1,043,750 |
| 2,171,250 | |||||
| Machinery (1.5%) | |||||
| 1,400 | CPM Holdings, Inc., Global Senior Secured Notes (Callable 09/01/12 @ $105.31) | (B+, B2) | 09/01/14 | 10.625 | 1,498,000 |
| 900 | Dematic SA, Rule 144A, Senior Secured Notes (Callable 05/01/13 @ $104.38) | (B, B3) | 05/01/16 | 8.750 | 940,500 |
| 250 | Terex Corp., Senior Subordinated Notes (Callable 11/15/12 @ $104.00)§ | (B, Caa1) | 11/15/17 | 8.000 | 260,000 |
| 2,698,500 | |||||
| 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 | 1,858,687 |
| 350 | Townsquare Radio, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/15 @ $106.75) | (B, B3) | 04/01/19 | 9.000 | 346,500 |
| 2,205,187 | |||||
| Media - Cable (4.6%) | |||||
| 1,435 | Atlantic Broadband Finance LLC, Global Company Guaranteed Notes | (B-, B3) | 01/15/14 | 9.375 | 1,442,175 |
| 150 | Cablevision Systems Corp., Senior Unsecured Notes§ | (B+, B1) | 04/15/18 | 7.750 | 157,500 |
| 600 | Cablevision Systems Corp., Senior Unsecured Notes§ | (B+, B1) | 04/15/20 | 8.000 | 637,500 |
| 398 | CCH II Capital Corp., Global Senior Notes (Callable 11/30/12 @ $106.75) | (B, B2) | 11/30/16 | 13.500 | 454,497 |
| 1,450 | CCO Holdings Capital Corp., Global Company Guaranteed Notes (Callable 04/30/15 @ $104.06) | (BB-, B1) | 04/30/20 | 8.125 | 1,616,750 |
| 900 | Cequel Capital Corp., Rule 144A, Senior Unsecured Notes (Callable 11/15/12 @ $106.47)§ | (B-, B3) | 11/15/17 | 8.625 | 970,875 |
| 1,050 | CSC Holdings LLC, Global Senior Unsecured Notes§ | (BB, Ba3) | 02/15/19 | 8.625 | 1,212,750 |
| 500 | Harron Finance Corp., Rule 144A, Senior Notes (Callable 04/01/16 @ $104.56) | (B-, Caa1) | 04/01/20 | 9.125 | 509,375 |
| 750 | Insight Communications Co., Inc., Rule 144A, Senior Unsecured Notes (Callable 07/15/13 @ $107.03)§ | (BBB, B3) | 07/15/18 | 9.375 | 860,625 |
| 350 | Kabel Baden-Wurttemberg GmbH & Co. KG, Rule 144A, Senior Secured Notes (Callable 03/15/15 @ $103.75) | (B+, B1) | 03/15/19 | 7.500 | 379,750 |
| 200 | Unitymedia NRW GmbH, Rule 144A, Senior Secured Notes (Callable 12/01/12 @ $108.22) | (BB-, B1) | 12/01/17 | 8.125 | 283,652 |
| 8,525,449 | |||||
| Media - Diversified (1.0%) | |||||
| 1,050 | Block Communications, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/01/16 @ $103.63) | (B+, Ba3) | 02/01/20 | 7.250 | 1,074,937 |
| 775 | Quebecor Media, Inc., Global Senior Unsecured Notes (Callable 03/15/13 @ $101.29) | (B+, B1) | 03/15/16 | 7.750 | 799,219 |
| 1,874,156 | |||||
| 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 | 219,250 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105953\12-10035-2\task5337109\10035-2-bi-01.htm',USER='105953',CD='May 8 16:01 2012'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Media - Services | |||||
| $ 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 | $ 881,000 |
| 366 | SGS International, Inc., Global Company Guaranteed Notes | (B, B2) | 12/15/13 | 12.000 | 368,745 |
| 250 | WMG Acquisition Corp., Global Senior Secured Notes (Callable 06/15/13 @ $104.75)§ | (BB-, Ba2) | 06/15/16 | 9.500 | 273,750 |
| 1,742,745 | |||||
| Metals & Mining - Excluding Steel (2.9%) | |||||
| 500 | Arch Coal, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/16 @ 103.63)§ | (B+, B1) | 06/15/21 | 7.250 | 463,750 |
| 1,075 | Calcipar SA, Rule 144A, Senior Secured Notes (Callable 05/01/15 @ $103.44) | (BB-, B1) | 05/01/18 | 6.875 | 1,096,500 |
| 400 | FMG Resources August 2006 Pty, Ltd., Rule 144A, Senior Notes (Callable 11/01/15 @ $104.13) | (BB-, B1) | 11/01/19 | 8.250 | 422,000 |
| 1,213 | Noranda Aluminium Acquisition Corp., Global Company Guaranteed Notes# | (B-, B3) | 05/15/15 | 4.659 | 1,176,937 |
| 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 |
| 1,450 | Taseko Mines, Ltd., Company Guaranteed Notes (Callable 04/15/15 @ $103.88) | (B, B3) | 04/15/19 | 7.750 | 1,388,375 |
| 1,200 | Xinergy Corp., Rule 144A, Senior Secured Notes (Callable 05/15/15 @ $104.63)§ | (B-, Caa1) | 05/15/19 | 9.250 | 930,000 |
| 5,477,647 | |||||
| Oil Field Equipment & Services (3.1%) | |||||
| 1,400 | Edgen Murray Corp., Global Senior Secured Notes (Callable 01/15/13 @ $106.13)§ | (B-, Caa3) | 01/15/15 | 12.250 | 1,435,000 |
| 1,125 | Frac Tech Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/14 @ $103.56) | (BB, Ba3) | 11/15/18 | 7.625 | 1,181,250 |
| 420 | Helix Energy Solutions Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/13 @ $102.36) | (B, B3) | 01/15/16 | 9.500 | 440,475 |
| 250 | Hornbeck Offshore Services, Inc., Global Company Guaranteed Notes (Callable 09/01/13 @ $104.00) | (BB-, Ba3) | 09/01/17 | 8.000 | 263,750 |
| 775 | Offshore Group Investments, Ltd., Global Senior Secured Notes (Callable 02/01/13 @ $108.63) | (B-, B3) | 08/01/15 | 11.500 | 856,375 |
| 400 | Parker Drilling Co., Global Company Guaranteed Notes (Callable 04/01/14 @ $104.56) | (B+, B1) | 04/01/18 | 9.125 | 426,000 |
| 1,060 | Pioneer Drilling Co., Global Company Guaranteed Notes (Callable 03/15/14 @ $104.94) | (B, NR) | 03/15/18 | 9.875 | 1,128,900 |
| 5,731,750 | |||||
| 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 | 1,497,250 |
| 90 | Coffeyville Finance, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/12 @ $106.75) | (BB, Ba2) | 04/01/15 | 9.000 | 96,750 |
| 825 | Northern Tier Finance Corp., Rule 144A, Senior Secured Notes (Callable 12/01/13 @ $107.88) | (BB-, B1) | 12/01/17 | 10.500 | 903,375 |
| 475 | Tesoro Corp., Company Guaranteed Notes (Callable 06/01/14 @ $104.88)§ | (BB+, Ba1) | 06/01/19 | 9.750 | 543,875 |
| 3,041,250 | |||||
| Packaging (2.8%) | |||||
| 300 | Ardagh Packaging Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 10/15/15 @ $104.63) | (B-, B3) | 10/15/20 | 9.250 | 407,504 |
| 1,125 | Ardagh Packaging Finance PLC, Rule 144A, Senior Secured Notes (Callable 10/15/14 @ $103.69) | (BB-, Ba3) | 10/15/17 | 7.375 | 1,595,543 |
| 375 | Berry Plastics Corp., Global Senior Secured Notes (Callable 11/15/12 @ $104.13) | (B, B1) | 11/15/15 | 8.250 | 402,187 |
| 475 | BWAY Holding Co., Global Company Guaranteed Notes (Callable 06/15/14 @ $105.00) | (CCC+, B3) | 06/15/18 | 10.000 | 523,687 |
| 850 | Clondalkin Acquisition BV, Rule 144A, Secured Notes# | (B, B2) | 12/15/13 | 2.474 | 807,500 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105953\12-10035-2\task5337109\10035-2-bi-03.htm',USER='105953',CD='May 8 16:14 2012'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Packaging | |||||
| $ 56 | Pregis Corp., Global Secured Notes# | (B, B2) | 04/15/13 | 6.245 | $ 73,244 |
| 350 | Reynolds Group Issuer LLC, Rule 144A, Senior Notes (Callable 10/15/14 @ $104.50) | (B-, Caa1) | 04/15/19 | 9.000 | 346,500 |
| 500 | Reynolds Group Issuer LLC, Rule 144A, Senior Secured Notes (Callable 10/15/12 @ $103.88) | (BB-, Ba3) | 10/15/16 | 8.750 | 531,250 |
| 300 | Reynolds Group Issuer LLC, Rule 144A, Senior Secured Notes (Callable 10/15/14 @ $103.56) | (BB-, Ba3) | 04/15/19 | 7.125 | 314,250 |
| 250 | Sealed Air Corp., Rule 144A, Senior Unsecured Notes (Callable 09/15/16 @ $104.19)§ | (BB, B1) | 09/15/21 | 8.375 | 282,188 |
| 5,283,853 | |||||
| Pharmaceuticals (0.7%) | |||||
| 104 | QHP Royalty Sub LLC, Rule 144A, Senior Secured Notes | (NR, NR) | 03/15/15 | 10.250 | 105,022 |
| 1,125 | Warner Chilcott Finance LLC, Global Company Guaranteed Notes (Callable 09/15/14 @ $103.88)§ | (BB, B3) | 09/15/18 | 7.750 | 1,178,437 |
| 1,283,459 | |||||
| Printing & Publishing (0.6%) | |||||
| 379 | Cenveo Corp., Global Company Guaranteed Notes§ | (CCC+, Caa2) | 12/01/13 | 7.875 | 363,840 |
| 775 | The Readers Digest Association, Inc., Global Senior Secured Notes (Callable 02/15/13 @ $104.00)# | (CCC, B3) | 02/15/17 | 9.500 | 687,813 |
| 1,051,653 | |||||
| Real Estate Development & Management (0.5%) | |||||
| 1,025 | Icahn Enterprises LP, Rule 144A, Company Guaranteed Notes# | (NR, NR) | 08/15/13 | 4.000 | 1,020,900 |
| 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 | 1,674,250 |
| 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 | 1,262,250 |
| 1,000 | HOA Finance Corp., Rule 144A, Senior Secured Notes (Callable 04/01/14 @ $105.63) | (B, B3) | 04/01/17 | 11.250 | 992,500 |
| 2,254,750 | |||||
| Software/Services (2.7%) | |||||
| 950 | Epicor Software Corp., Global Company Guaranteed Notes (Callable 05/01/15 @ $104.31)§ | (NR, Caa1) | 05/01/19 | 8.625 | 976,125 |
| 1,125 | First Data Corp., Rule 144A, Senior Secured Notes (Callable 06/15/15 @ $103.69) | (B+, B1) | 06/15/19 | 7.375 | 1,151,719 |
| 625 | Lawson Software, Inc., Rule 144A, Senior Unsecured Notes (Callable 04/01/15 @ $107.50) | (B-, Caa1) | 04/01/19 | 10.000 | 832,312 |
| 1,000 | Serena Software, Inc., Global Company Guaranteed Notes (Callable 03/15/13 @ $101.73) | (CCC+, Caa1) | 03/15/16 | 10.375 | 1,038,750 |
| 400 | SSI Co-Issuer LLC, Global Company Guaranteed Notes (Callable 06/01/14 @ $105.56) | (CCC+, Caa1) | 06/01/18 | 11.125 | 446,000 |
| 600 | SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 11/15/13 @ $105.53) | (B, Caa1) | 11/15/18 | 7.375 | 640,500 |
| 5,085,406 | |||||
| Specialty Retail (1.6%) | |||||
| 800 | Brown Shoe Co., Inc., Global Company Guaranteed Notes (Callable 05/15/14 @ $105.34)§ | (B, B3) | 05/15/19 | 7.125 | 788,000 |
| 750 | Claires Stores, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/15 @ $106.75)§ | (B, NR) | 03/15/19 | 9.000 | 779,063 |
| 750 | Ontex IV SA, Rule 144A, Senior Secured Notes (Callable 04/15/14 @ $103.25) | (B+, B1) | 04/15/18 | 7.500 | 938,848 |
| 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 | 550,000 |
| 3,055,911 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105953\12-10035-2\task5337109\10035-2-bi-03.htm',USER='105953',CD='May 8 16:14 2012'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Steel Producers/Products (1.9%) | |||||
| $ 600 | AM Castle & Co., Rule 144A, Senior Secured Notes (Callable 12/15/14 @ $106.38) | (B+, B3) | 12/15/16 | 12.750 | $ 652,500 |
| 550 | JMC Steel Group, Rule 144A, Senior Notes (Callable 03/15/14 @ $106.19) | (B, B3) | 03/15/18 | 8.250 | 574,750 |
| 550 | Ryerson, Inc., Global Senior Secured Notes (Callable 11/01/12 @ $103.00) | (CCC+, Caa1) | 11/01/15 | 12.000 | 566,500 |
| 1,000 | Tempel Steel Co., Rule 144A, Senior Secured Notes (Callable 02/15/14 @ $109.00) | (B, B3) | 08/15/16 | 12.000 | 1,185,000 |
| 475 | Tube City IMS Corp., Global Company Guaranteed Notes (Callable 02/01/13 @ $100.00) | (B, B3) | 02/01/15 | 9.750 | 490,437 |
| 3,469,187 | |||||
| Support-Services (3.4%) | |||||
| 750 | Brickman Group Holdings, Inc., Rule 144A, Senior Notes (Callable 11/01/13 @ $106.84) | (CCC+, B3) | 11/01/18 | 9.125 | 727,500 |
| 1,100 | CoreLogic, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/16 @ $103.63) | (B+, Ba3) | 06/01/21 | 7.250 | 1,138,500 |
| 500 | Emdeon, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/31/15 @ $105.50) | (CCC+, Caa1) | 12/31/19 | 11.000 | 567,500 |
| 775 | Garda World Security Corp., Rule 144A, Senior Unsecured Notes (Callable 03/15/14 @ $104.88) | (B, B2) | 03/15/17 | 9.750 | 833,125 |
| 800 | Maxim Crane Works LP, Rule 144A, Secured Notes (Callable 04/15/12 @ $109.19) | (B, Caa2) | 04/15/15 | 12.250 | 764,000 |
| 325 | The Geo Group, Inc., Global Company Guaranteed Notes (Callable 02/15/16 @ $103.31) | (B+, B1) | 02/15/21 | 6.625 | 341,656 |
| 450 | The Geo Group, Inc., Global Company Guaranteed Notes (Callable 10/15/13 @ $103.88) | (B+, B1) | 10/15/17 | 7.750 | 488,812 |
| 275 | United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 06/15/13 @ $105.44)§ | (B, B3) | 06/15/16 | 10.875 | 312,813 |
| 1,200 | UR Financing Escrow Corp., Rule 144A, Senior Unsecured Notes (Callable 05/15/16 @ $103.69) | (B, B3) | 05/15/20 | 7.375 | 1,230,000 |
| 6,403,906 | |||||
| Telecom - Integrated/Services (0.8%) | |||||
| 350 | Hellas Telecommunications II SCA, Rule 144A, Subordinated Notes#ø^ | (NR, NR) | 01/15/15 | 6.034 | 0 |
| 600 | Intelsat Jackson Holdings SA, Global Company Guaranteed Notes (Callable 04/01/15 @ $103.63) | (B, B3) | 04/01/19 | 7.250 | 633,750 |
| 750 | Intelsat Jackson Holdings SA, Global Company Guaranteed Notes (Callable 04/01/16 @ $103.75)§ | (B, B3) | 04/01/21 | 7.500 | 792,188 |
| 1,425,938 | |||||
| Telecom - Wireless (0.6%) | |||||
| 200 | Cricket Communications, Inc., Global Senior Secured Notes (Callable 05/15/12 @ $105.81) | (B+, Ba2) | 05/15/16 | 7.750 | 212,000 |
| 200 | GeoEye, Inc., Senior Secured Notes (Callable 10/01/13 @ $104.31) | (B-, B3) | 10/01/16 | 8.625 | 209,000 |
| 250 | Wind Acquisition Finance SA, Rule 144A, Company Guaranteed Notes (Callable 07/15/13 @ $105.88) | (BB-, B3) | 07/15/17 | 11.750 | 247,500 |
| 350 | Wind Acquisition Finance SA, Rule 144A, Company Guaranteed Notes (Callable 07/15/13 @ $105.88) | (BB-, B3) | 07/15/17 | 11.750 | 442,790 |
| 1,111,290 | |||||
| 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 | 705,250 |
| 950 | Brightstar Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/14 @ $104.75)§ | (BB-, B1) | 12/01/16 | 9.500 | 992,750 |
| 1,698,000 | |||||
| Textiles & Apparel (0.0%) | |||||
| 150 | IT Holding Finance SA, Rule 144A, Company Guaranteed Notesø | (NR, NR) | 11/15/12 | 9.875 | 3,975 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105953\12-10035-2\task5337109\10035-2-bi-03.htm',USER='105953',CD='May 8 16:14 2012'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Theaters & Entertainment (2.2%) | |||||
| $ 707 | AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes (Callable 12/01/15 @ $104.88)§ | (CCC+, Caa1) | 12/01/20 | 9.750 | $ 669,883 |
| 675 | AMC Entertainment, Inc., Global Senior Unsecured Notes (Callable 06/01/14 @ $104.38)§ | (B-, B2) | 06/01/19 | 8.750 | 710,437 |
| 400 | National CineMedia LLC, Senior Unsecured Notes (Callable 07/15/16 @ $103.94) | (B, B2) | 07/15/21 | 7.875 | 428,000 |
| 1,600 | Regal Entertainment Group, Company Guaranteed Notes (Callable 08/15/14 @ $104.56)§ | (B-, B3) | 08/15/18 | 9.125 | 1,760,000 |
| 550 | Wallace Theater Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 12/15/12 @ $100.00)# | (CCC, NR) | 06/15/13 | 12.500 | 486,750 |
| 4,055,070 | |||||
| Tobacco (0.7%) | |||||
| 1,150 | Vector Group, Ltd., Global Senior Secured Notes (Callable 08/15/12 @ $103.67)§ | (NR, B1) | 08/15/15 | 11.000 | 1,211,813 |
| Transportation - Excluding Air/Rail (0.9%) | |||||
| 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 | 345,000 |
| 1,250 | Ship Finance International, Ltd., Global Company Guaranteed Notes§ | (B+, B3) | 12/15/13 | 8.500 | 1,256,250 |
| 1,601,250 | |||||
| TOTAL CORPORATE BONDS (Cost $161,074,967) | 161,810,205 | ||||
| ASSET BACKED SECURITIES (0.8%) | |||||
| Collateralized Loan Obligations (0.8%) | |||||
| 1,000 | Commercial Industrial Finance Corp., Rule 144A# | (BBB, NR) | 01/19/23 | 3.893 | 831,553 |
| 1,000 | Gale Force CLO, Ltd., Rule 144A# | (BBB+, Baa2) | 11/15/17 | 2.353 | 793,673 |
| TOTAL ASSET BACKED SECURITIES (Cost $1,540,273) | 1,625,226 | ||||
| BANK LOANS (8.9%) | |||||
| Aerospace & Defense (0.4%) | |||||
| 548 | London Acquisition Holdings B.V.# | (B, B1) | 05/12/14 | 0.00 | 670,992 |
| Auto Parts & Equipment (0.5%) | |||||
| 987 | Milacron LLC# | (B, B1) | 05/15/17 | 7.500 | 989,746 |
| Banking (0.2%) | |||||
| 454 | Ocwen Financial Corp.# | (B, B1) | 09/01/16 | 7.000 | 456,237 |
| Gaming (0.5%) | |||||
| 1,000 | CKX Entertainment, Inc.# | (B+, B1) | 06/21/17 | 9.000 | 850,000 |
| Health Services (0.5%) | |||||
| 990 | Onex Carestream Finance LP# | (BB-, B1) | 02/25/17 | 0.05 | 969,961 |
| lnvestments & Misc. Financial Services (0.7%) | |||||
| 1,250 | BNY Convergex Group LLC# | (B-, B2) | 12/18/17 | 8.75 | 1,246,875 |
| Leisure (0.6%) | |||||
| 871 | Technicolor SA# | (B-, NR) | 05/26/17 | 9.591 | 779,113 |
| 379 | Technicolor SA# | (B-, NR) | 04/25/16 | 9.591 | 339,643 |
| 1,118,756 | |||||
| Media - Broadcast (0.4%) | |||||
| 748 | Cumulus Media Holdings, Inc.# | (BB-, Ba2) | 09/17/18 | 5.750 | 752,996 |
| Media - Diversified (0.4%) | |||||
| 555 | Flint Group Holdings Sarl# | (B-, B2) | 12/31/14 | 7.285 | 347,031 |
| 430 | Flint Group Holdings Sarl# | (B-, B2) | 06/30/16 | 7.285 | 341,990 |
| 689,021 | |||||
| Metals & Mining - Excluding Steel (0.8%) | |||||
| 1,480 | Global Brass & Copper, Inc.# | (B, B2) | 08/18/15 | 10.250 | 1,524,768 |
| Oil Field Equipment & Services (0.3%) | |||||
| 640 | Amtrol, Inc.# | (NR, NR) | 12/05/14 | 4.891 | 591,814 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105953\12-10035-2\task5337109\10035-2-bi-03.htm',USER='105953',CD='May 8 16:14 2012'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| BANK LOANS | |||||
| Packaging (0.3%) | |||||
| $ 453 | Hilex Poly Co. LLC# | (B+, B3) | 11/19/15 | 11.500 | $ 463,548 |
| Printing & Publishing (0.2%) | |||||
| 1,250 | Yell Group PLC# | (B-, B2) | 07/31/14 | 3.990 | 400,000 |
| Real Estate Investment Trusts (2.1%) | |||||
| 945 | iStar Financial, Inc.# | (BB-, B1) | 06/28/13 | 5.000 | 944,668 |
| 1,000 | iStar Financial, Inc.# | (BB-, B2) | 06/30/14 | 7.000 | 1,000,105 |
| 2,000 | Spirit Finance Corp.# | (CCC+, Ca) | 08/01/13 | 3.782 | 1,930,830 |
| 3,875,603 | |||||
| Software/Services (1.0%) | |||||
| 1,000 | SafeNet, Inc.# | (B-, Caa1) | 04/12/15 | 6.241 | 951,875 |
| 1,000 | Flexera Software LLC# | (CCC+, Caa2) | 09/30/18 | 11.000 | 990,000 |
| 1,941,875 | |||||
| TOTAL BANK LOANS (Cost $16,496,589) | 16,542,192 |
| Number of Shares | ||
|---|---|---|
| COMMON STOCKS (0.5%) | ||
| Automotive (0.0%) | ||
| 1,219 | Safelite Realty Corp.*^ | 0 |
| Building & Construction (0.0%) | ||
| 92,791 | William Lyon Homes, Inc.* | 55,674 |
| Building Materials (0.0%) | ||
| 372 | Dayton Superior Corp.*^ | 0 |
| 328 | Nortek, Inc.*§ | 14,429 |
| 14,429 | ||
| Chemicals (0.0%) | ||
| 4,893 | Huntsman Corp. | 68,551 |
| Forestry & Paper (0.1%) | ||
| 7,000 | AbitibiBowater, Inc.*§ | 99,960 |
| Gaming (0.1%) | ||
| 36,250 | Majestic Holdco LLC* | 79,750 |
| 1,500 | Progressive Gaming International Corp.* | 2 |
| 79,752 | ||
| Leisure (0.3%) | ||
| 12,670 | Six Flags Entertainment Corp. | 592,576 |
| Printing & Publishing (0.0%) | ||
| 10,652 | Cenveo, Inc.* | 36,110 |
| 888 | SuperMedia, Inc.* | 2,122 |
| 38,232 | ||
| TOTAL COMMON STOCKS (Cost $1,819,810) | 949,174 | |
| PREFERRED STOCK (0.0%) | ||
| Building Materials (0.0%) | ||
| 413 | Dayton Superior Corp.*^ (Cost $156,000) | 0 |
| WARRANTS (0.1%) | ||
| Building Materials (0.0%) | ||
| 864 | Nortek, Inc., strike price $1.00, expires 12/07/14*§ | 1,944 |
| Media - Broadcast (0.1%) | ||
| 12,259 | CNB Capital Trust I, Rule 144A, strike price $0.00, expires 03/23/19*^ | 88,265 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105953\12-10035-2\task5337109\10035-2-bi-03.htm',USER='105953',CD='May 8 16:14 2012'
| Number of Shares | Value | ||||
|---|---|---|---|---|---|
| WARRANTS | |||||
| Printing & Publishing (0.0%) | |||||
| 3,871 | The Readers Digest Association, Inc., strike price $0.00, expires 02/19/14* | $ 0 | |||
| TOTAL WARRANTS (Cost $864) | 90,209 | ||||
| SHORT-TERM INVESTMENTS (19.9%) | |||||
| 31,619,454 | State Street Navigator Prime Portfolio§§ | 31,619,454 | |||
| Par (000) | Maturity | Rate% | |||
| $ 5,444 | State Street Bank and Trust Co. Euro Time Deposit | 04/02/12 | 0.010 | 5,444,000 | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $37,063,454) | 37,063,454 | ||||
| TOTAL INVESTMENTS AT VALUE (117.1%) (Cost $218,151,957) | 218,080,460 | ||||
| LIABILITIES IN EXCESS OF OTHER ASSETS (-17.1%) | (31,875,360 | ) | |||
| NET ASSETS (100.0%) | $ 186,205,100 |
*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 March 31, 2012, these securities amounted to a value of $71,090,317 or 38.2% of net assets. |
| | This security is denominated in Euro. |
| + | Step Bond The interest rate is as of March 31, 2012 and will reset at a future date. |
| ø | Bond is currently in default. |
| # | Variable rate obligations The interest rate is the rate as of March 31, 2012. |
| * | 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. |
| § | 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 March 31, 2012. |
| Forward Foreign Currency to be Purchased (Local) | Forward Foreign Currency to be Sold (Local) | Expiration Date | Counterparty | Value on Settlement Date | Current Value | Unrealized Appreciation/ (Depreciation) | |||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Open Forward Foreign Currency Contracts | |||||||||||
| USD | 8,262,475 | EUR | 6,500,000 | 04/13/12 | Morgan Stanley | $ (8,262,475 | ) | $ (8,656,439 | ) | $ (393,964 | ) |
| EUR | 275,000 | USD | 366,644 | 04/20/12 | Morgan Stanley | 366,644 | 366,246 | (398 | ) | ||
| USD | 390,210 | EUR | 300,000 | 04/20/12 | Morgan Stanley | (390,210 | ) | (399,541 | ) | (9,331 | ) |
| USD | 262,940 | EUR | 200,000 | 04/20/12 | Morgan Stanley | (262,940 | ) | (266,360 | ) | (3,420 | ) |
| Total | $ (407,113 | ) |
*Currency Abbreviations:*
EUR = Euro
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 March 31, 2012, the Fund held 0.05% 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 $1,084,299 and fair value of $88,309. 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 March 31, 2012 in valuing the Funds investments carried at value:
| Level 1 | Level 2 | Level 3 | Total | |||
|---|---|---|---|---|---|---|
| Investments in Securities | ||||||
| Corporate Bonds | $ | $ 161,810,161 | $ 44 | $ 161,810,205 | ||
| Asset Backed Securities | | 1,625,226 | | 1,625,226 | ||
| Bank Loans | | 16,542,192 | | 16,542,192 | ||
| Common Stocks | 869,424 | 79,750 | | 949,174 | ||
| Preferred Stock | | | | | ||
| Warrants | 1,944 | | 88,265 | 90,209 | ||
| Short-Term Investments | 31,619,454 | 5,444,000 | | 37,063,454 | ||
| Other Financial Instruments * | ||||||
| Forward Foreign Currency Contracts | | (407,113 | ) | | (407,113 | ) |
| $ 32,490,822 | $ 185,094,216 | $ 88,309 | $ 217,673,347 |
The following is a reconciliation of investments as of March 31, 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.
| Investments | |
|---|---|
| Balance as of December 31, 2011 | $ 80,218 |
| Accrued discounts/premiums | |
| Purchase | |
| Sales | |
| Realized Gain/(Loss) | |
| Change in Unrealized Appreciation/(Depreciation) | 8,091 |
| Transfers Into Level 3 | |
| Transfers Out of Level 3 | |
| Balance as of March 31, 2012 | $ 88,309 |
| Net change in unrealized Appreciation/(Depreciation) from investments still held as of March 31, 2012 | $ 8,091 |
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 March 31, 2012, there were no transfers in and out of Level 1, Level 2 and Level 3.
Federal Income Tax Cost - At March 31, 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 depreciation from investments were $218,151,957, $9,800,749, $(9,872,246) and $(71,497), 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 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: May 15, 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: May 15, 2012 |
| /s/Thomas M. Sipp |
| Name: Thomas M. Sipp |
| Title: Chief Financial Officer |
| Date: May 15, 2012 |
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