Regulatory Filings • Nov 8, 2013
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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, 2013 to September 30, 2013 |
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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, 2013 (unaudited)
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS (79.9%) | |||||
| Aerospace & Defense (1.3%) | |||||
| $ 650 | AAR Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/17 @ 103.63) | (BB, Ba3) | 01/15/22 | 7.250 | $ 680,875 |
| 1,750 | Ducommun, Inc., Global Company Guaranteed Notes (Callable 07/15/15 @ 104.88) | (B-, B3) | 07/15/18 | 9.750 | 1,951,250 |
| 2,632,125 | |||||
| Airlines (0.4%) | |||||
| 500 | Continental Airlines 2012-3 Class C Pass Thru Certificates | (B+, B1) | 04/29/18 | 6.125 | 508,750 |
| 200 | United Continental Holdings, Inc., Company Guaranteed Notes | (B, B2) | 06/01/18 | 6.375 | 204,500 |
| 713,250 | |||||
| Auto Parts & Equipment (4.8%) | |||||
| 500 | IDQ Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 10/01/14 @ 108.63) | (B-, B3) | 04/01/17 | 11.500 | 541,250 |
| 363 | Lear Corp., Company Guaranteed Notes (Callable 03/15/15 @ 104.06) | (BB, Ba2) | 03/15/20 | 8.125 | 399,300 |
| 500 | Lear Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/18 @ 102.38) | (BB, Ba2) | 01/15/23 | 4.750 | 466,250 |
| 1,080 | Mark IV U.S.A. S.C.A., Rule 144A, Senior Secured Notes (Callable 12/15/13 @ 106.66) | (BB-, Ba3) | 12/15/17 | 8.875 | 1,571,589 |
| 675 | Meritor, Inc., Company Guaranteed Notes (Callable 03/15/14 @ 105.31) | (B-, B3) | 03/15/18 | 10.625 | 732,375 |
| 500 | Meritor, Inc., Company Guaranteed Notes (Callable 06/15/16 @ 105.06) | (B-, B3) | 06/15/21 | 6.750 | 497,500 |
| 550 | Schaeffler Finance BV, Rule 144A, Senior Secured Notes | (B+, Ba2) | 02/15/17 | 7.750 | 618,750 |
| 1,000 | Schaeffler Finance BV, Rule 144A, Senior Secured Notes (Callable 02/15/15 @ 106.38) | (B+, Ba2) | 02/15/19 | 8.500 | 1,120,000 |
| 1,575 | Stoneridge, Inc., Rule 144A, Secured Notes (Callable 10/15/14 @ 104.75) | (BB-, B2) | 10/15/17 | 9.500 | 1,697,062 |
| 742 | Tomkins, Inc., Global Secured Notes (Callable 10/01/14 @ 104.50) | (BB-, B1) | 10/01/18 | 9.000 | 812,490 |
| 1,000 | UCI International, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.31) | (CCC, B3) | 02/15/19 | 8.625 | 1,025,000 |
| 9,481,566 | |||||
| Automakers (0.5%) | |||||
| 220 | General Motors Co., Rule 144A, Senior Unsecured Notes | (BB+, Ba1) | 10/02/18 | 3.500 | 220,550 |
| 660 | General Motors Co., Rule 144A, Senior Unsecured Notes | (BB+, Ba1) | 10/02/23 | 4.875 | 648,450 |
| 220 | General Motors Co., Rule 144A, Senior Unsecured Notes | (BB+, Ba1) | 10/02/43 | 6.250 | 217,800 |
| 1,086,800 | |||||
| Brokerage (1.2%) | |||||
| 1,000 | CCRE Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 02/15/15 @ 105.81) | (B, B1) | 02/15/18 | 7.750 | 1,022,500 |
| 1,450 | Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 04/01/16 @ 105.53) | (B+, B1) | 04/01/20 | 7.375 | 1,442,750 |
| 2,465,250 | |||||
| Building & Construction (0.2%) | |||||
| 500 | K Hovnanian Enterprises, Inc., Global Senior Secured Notes | (CCC+, B1) | 11/01/21 | 2.000 | 340,000 |
| Building Materials (2.6%) | |||||
| 1,525 | Euramax International, Inc., Global Senior Secured Notes (Callable 04/01/14 @ 104.75) | (B-, Caa2) | 04/01/16 | 9.500 | 1,467,812 |
| 1,850 | Headwaters, Inc., Global Secured Notes (Callable 04/01/15 @ 103.81) | (B+, B2) | 04/01/19 | 7.625 | 1,951,750 |
| 900 | International Wire Group Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 10/15/15 @ 104.25) | (B, B3) | 10/15/17 | 8.500 | 951,750 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105933\13-22536-2\task6312240\22536-2-bi.htm',USER='105933',CD='Oct 21 18:50 2013'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Building Materials | |||||
| $ 750 | RSI Home Products, Inc., Rule 144A, Secured Notes (Callable 03/01/15 @ 105.16) | (B+, B1) | 03/01/18 | 6.875 | $ 778,125 |
| 5,149,437 | |||||
| Chemicals (3.2%) | |||||
| 500 | Chemtura Corp., Company Guaranteed Notes (Callable 07/15/16 @ 104.31)§ | (BB-, B1) | 07/15/21 | 5.750 | 501,250 |
| 1,450 | GrafTech International Ltd., Global Company Guaranteed Notes (Callable 11/15/16 @ 103.19)§ | (BB+, Ba2) | 11/15/20 | 6.375 | 1,471,750 |
| 500 | Ineos Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 105.63) | (BB-, B1) | 05/01/20 | 7.500 | 538,750 |
| 350 | Ineos Group Holdings SA, Rule 144A, Company Guaranteed Notes (Callable 05/15/15 @ 103.25)§ | (B-, Caa1) | 08/15/18 | 6.125 | 343,000 |
| 600 | JM Huber Corp., Rule 144A, Senior Notes (Callable 11/01/15 @ 104.94) | (BB, Ba3) | 11/01/19 | 9.875 | 684,000 |
| 1,416 | Reichhold Industries, Inc., PIK, Rule 144A, Senior Secured Notes | (CCC+, NR) | 05/08/17 | 11.000 | 1,104,647 |
| 1,000 | Taminco Global Chemical Corp., Rule 144A, Secured Notes (Callable 03/31/15 @ 107.31) | (B-, Caa1) | 03/31/20 | 9.750 | 1,135,000 |
| 600 | U.S. Coatings Acquisition, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/04/16 @ 105.53)§ | (B-, Caa1) | 05/01/21 | 7.375 | 630,000 |
| 6,408,397 | |||||
| Consumer Products (2.0%) | |||||
| 895 | Alphabet Holding Co., Inc., PIK, Global Senior Unsecured Notes (Callable 11/01/13 @ 103.00)§ | (B-, Caa1) | 11/01/17 | 7.750 | 924,088 |
| 1,375 | NBTY, Inc., Global Company Guaranteed Notes (Callable 10/01/14 @ 104.50) | (B, B3) | 10/01/18 | 9.000 | 1,515,937 |
| 400 | Prestige Brands, Inc., Global Company Guaranteed Notes (Callable 02/01/16 @ 104.06)§ | (B-, B3) | 02/01/20 | 8.125 | 442,000 |
| 1,025 | Prestige Brands, Inc., Global Senior Secured Notes (Callable 04/01/14 @ 104.13) | (BB-, Ba3) | 04/01/18 | 8.250 | 1,094,188 |
| 3,976,213 | |||||
| Consumer/Commercial/Lease Financing (0.9%) | |||||
| 750 | Cabot Financial Luxembourg SA, Rule 144A, Senior Secured Notes (Callable 10/01/15 @ 107.78)£ | (BB, B1) | 10/01/19 | 10.375 | 1,384,586 |
| 450 | Milestone Aviation Group LLC, Rule 144A, Senior Unsecured Notes (Callable 12/15/15 @ 104.31) | (NR, NR) | 12/15/17 | 8.625 | 475,875 |
| 1,860,461 | |||||
| Discount Stores (0.7%) | |||||
| 1,300 | 99 Cents Only Stores, Global Company Guaranteed Notes (Callable 12/15/14 @ 108.25) | (CCC+, Caa1) | 12/15/19 | 11.000 | 1,462,500 |
| Diversified Capital Goods (1.4%) | |||||
| 750 | Anixter, Inc., Global Company Guaranteed Notes | (BB, Ba3) | 05/01/19 | 5.625 | 776,250 |
| 500 | BC Mountain Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/16 @ 105.25)§ | (B-, B3) | 02/01/21 | 7.000 | 498,750 |
| 1,000 | Belden, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/17 @ 102.75) | (B+, Ba2) | 09/01/22 | 5.500 | 970,000 |
| 4 | FCC Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 12/15/13 @ 105.00)^ | (CCC+, Ca) | 12/15/15 | 13.000 | 3,879 |
| 509 | Mueller Water Products, Inc., Global Company Guaranteed Notes (Callable 09/01/15 @ 104.38) | (NR, B1) | 09/01/20 | 8.750 | 562,445 |
| 2,811,324 | |||||
| Electric - Generation (0.1%) | |||||
| 2,200 | TCEH Finance, Inc., LLC, Series A, Global Company Guaranteed Notes (Callable 11/01/13 @ 100.00) | (D, C) | 11/01/15 | 10.250 | 60,500 |
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| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Electric - Generation | |||||
| $ 1,275 | TCEH Finance, Inc., Series B, Global Company Guaranteed Notes (Callable 11/01/13 @ 100.00) | (D, C) | 11/01/15 | 10.250 | $ 35,063 |
| 95,563 | |||||
| Electronics (0.4%) | |||||
| 500 | CPI International, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.00) | (CCC+, B3) | 02/15/18 | 8.000 | 517,500 |
| 260 | Freescale Semiconductor, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/14 @ 105.06) | (B, B1) | 03/15/18 | 10.125 | 284,830 |
| 802,330 | |||||
| Energy - Exploration & Production (6.5%) | |||||
| 325 | Bonanza Creek Energy, Inc., Global Company Guaranteed Notes (Callable 04/15/17 @ 103.38) | (B-, B3) | 04/15/21 | 6.750 | 329,875 |
| 1,400 | EP Energy Finance, Inc., Global Senior Unsecured Notes (Callable 05/01/16 @ 104.69) | (B, B2) | 05/01/20 | 9.375 | 1,582,000 |
| 1,975 | EPL Oil & Gas, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.13) | (B-, Caa1) | 02/15/18 | 8.250 | 2,093,500 |
| 350 | Everest Acquisition Finance, Inc., Global Senior Secured Notes (Callable 05/01/15 @ 103.44) | (B+, Ba3) | 05/01/19 | 6.875 | 375,375 |
| 2,100 | McMoRan Exploration Co., Company Guaranteed Notes (Callable 11/15/13 @ 100.00) | (BBB, Baa3) | 11/15/14 | 11.875 | 2,124,872 |
| 550 | Oasis Petroleum, Inc., Global Company Guaranteed Notes (Callable 02/01/15 @ 103.63) | (B, B3) | 02/01/19 | 7.250 | 585,750 |
| 1,050 | PDC Energy, Inc., Global Company Guaranteed Notes (Callable 10/15/17 @ 103.88)§ | (B-, B3) | 10/15/22 | 7.750 | 1,118,250 |
| 1,000 | Shelf Drilling Holdings Ltd., Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 104.31)§ | (B+, B1) | 11/01/18 | 8.625 | 1,067,500 |
| 700 | Stone Energy Corp., Company Guaranteed Notes (Callable 02/01/14 @ 104.31) | (B-, B3) | 02/01/17 | 8.625 | 743,750 |
| 525 | Swift Energy Co., Company Guaranteed Notes (Callable 06/01/14 @ 101.19) | (B+, B3) | 06/01/17 | 7.125 | 535,500 |
| 500 | Swift Energy Co., Global Company Guaranteed Notes (Callable 03/01/17 @ 103.94)§ | (B+, B3) | 03/01/22 | 7.875 | 492,500 |
| 1,124 | W&T Offshore, Inc., Global Company Guaranteed Notes (Callable 06/15/15 @ 104.25)§ | (B, B3) | 06/15/19 | 8.500 | 1,197,060 |
| 650 | Whiting Petroleum Corp., Company Guaranteed Notes (Callable 12/15/20 @ 100.00) | (BB+, Ba2) | 03/15/21 | 5.750 | 669,500 |
| 12,915,432 | |||||
| Environmental (1.1%) | |||||
| 1,000 | EnergySolutions LLC, Global Company Guaranteed Notes (Callable 08/15/14 @ 105.38) | (B, Caa3) | 08/15/18 | 10.750 | 1,067,500 |
| 1,000 | Nuverra Environmental Solutions, Inc., Global Company Guaranteed Notes (Callable 04/15/15 @ 104.94) | (B, B3) | 04/15/18 | 9.875 | 1,020,000 |
| 2,087,500 | |||||
| Food - Wholesale (0.5%) | |||||
| 600 | Sun Merger Sub., Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/16 @ 104.41) | (BB-, B2) | 08/01/21 | 5.875 | 609,750 |
| 450 | Wells Enterprises, Inc., Rule 144A, Senior Secured Notes (Callable 02/01/16 @ 105.06) | (B+, B2) | 02/01/20 | 6.750 | 460,125 |
| 1,069,875 | |||||
| Forestry & Paper (0.1%) | |||||
| 1,000 | Stone & Webster, Inc.* | (NR, NR) | 10/23/19 | 0.000 | 1,750 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105933\13-22536-2\task6312240\22536-2-bi.htm',USER='105933',CD='Oct 21 18:50 2013'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Forestry & Paper | |||||
| $ 850 | Verso Paper, Inc., Global Secured Notes (Callable 02/01/15 @ 104.38)§ | (CCC, Caa2) | 02/01/19 | 8.750 | $ 284,750 |
| 286,500 | |||||
| Gaming (2.4%) | |||||
| 925 | Affinity Gaming Finance Corp., Global Company Guaranteed Notes (Callable 05/15/15 @ 104.50) | (B, NR) | 05/15/18 | 9.000 | 1,003,625 |
| 775 | Buffalo Thunder Development Authority, Rule 144A, Senior Secured Notesø | (NR, NR) | 12/15/14 | 9.375 | 282,875 |
| 605 | Choctaw Resort Development Enterprise, Rule 144A, Senior Notes (Callable 11/15/13 @ 101.21) | (B, Caa1) | 11/15/19 | 7.250 | 598,950 |
| 1,300 | Greektown Superholdings, Inc., Series B, Global Secured Notes (Callable 01/01/14 @ 103.50) | (NR, NR) | 07/01/15 | 13.000 | 1,358,500 |
| 1,600 | Seminole Hard Rock International LLC, Rule 144A, Company Guaranteed Notes (Callable 05/15/16 @ 104.41) | (BB-, B2) | 05/15/21 | 5.875 | 1,539,000 |
| 4,782,950 | |||||
| Gas Distribution (2.0%) | |||||
| 1,500 | Energy Transfer Equity LP, Senior Secured Notes | (BB, Ba2) | 10/15/20 | 7.500 | 1,612,500 |
| 350 | Genesis Energy LP, Global Company Guaranteed Notes (Callable 02/15/17 @ 102.88) | (B, B1) | 02/15/21 | 5.750 | 344,750 |
| 1,475 | Genesis Energy LP, Global Company Guaranteed Notes (Callable 12/15/14 @ 103.94) | (B, B1) | 12/15/18 | 7.875 | 1,581,937 |
| 500 | Holly Energy Finance Corp., Global Company Guaranteed Notes (Callable 03/01/16 @ 103.25) | (BB-, B1) | 03/01/20 | 6.500 | 517,500 |
| 4,056,687 | |||||
| Health Facilities (2.1%) | |||||
| 600 | MPT Finance Corp., Global Company Guaranteed Notes (Callable 05/01/16 @ 103.44)§ | (BB, Ba1) | 05/01/21 | 6.875 | 634,500 |
| 550 | Service Corp. International, Senior Unsecured Notes | (BB-, B1) | 11/15/21 | 8.000 | 627,000 |
| 700 | Symbion, Inc., Global Company Guaranteed Notes | (CCC+, Caa2) | 08/23/15 | 11.000 | 700,000 |
| 1,175 | Symbion, Inc., Global Senior Secured Notes (Callable 06/15/14 @ 104.00) | (B, B2) | 06/15/16 | 8.000 | 1,245,500 |
| 1,000 | Tenet Healthcare Corp., Rule 144A, Senior Unsecured Notes | (CCC+, B3) | 04/01/22 | 8.125 | 1,046,250 |
| 4,253,250 | |||||
| Health Services (1.1%) | |||||
| 350 | Capsugel FinanceCo S.C.A., Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ 107.41) | (B, B3) | 08/01/19 | 9.875 | 530,631 |
| 400 | inVentiv Health, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/14 @ 105.00) | (CCC, Caa2) | 08/15/18 | 11.000 | 325,000 |
| 1,250 | STHI Holding Corp., Rule 144A, Secured Notes (Callable 03/15/14 @ 106.00) | (B, B2) | 03/15/18 | 8.000 | 1,353,125 |
| 2,208,756 | |||||
| Insurance Brokerage (0.8%) | |||||
| 1,100 | A-S Merger Sub LLC, Rule 144A, Senior Unsecured Notes (Callable 12/15/15 @ 103.94) | (CCC, Caa2) | 12/15/20 | 7.875 | 1,127,500 |
| 300 | Towergate Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/15/14 @ 101.00)£# | (NR, B1) | 02/15/18 | 6.009 | 483,488 |
| 1,610,988 | |||||
| Leisure (2.1%) | |||||
| 750 | Activision Blizzard, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/15/16 @ 104.22) | (BB+, Ba2) | 09/15/21 | 5.625 | 752,812 |
| 550 | Activision Blizzard, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/15/18 @ 103.06) | (BB+, Ba2) | 09/15/23 | 6.125 | 554,125 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105933\13-22536-2\task6312240\22536-2-bi.htm',USER='105933',CD='Oct 21 18:50 2013'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Leisure | |||||
| $ 500 | Cedar Fair LP, Global Company Guaranteed Notes (Callable 08/01/14 @ 104.56) | (B, B1) | 08/01/18 | 9.125 | $ 550,625 |
| 1,000 | Palace Entertainment Holdings Corp., Rule 144A, Senior Secured Notes (Callable 04/15/14 @ 104.44) | (B-, B2) | 04/15/17 | 8.875 | 1,022,500 |
| 1,250 | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/16 @ 103.94) | (BB-, B3) | 01/15/21 | 5.250 | 1,193,750 |
| 4,073,812 | |||||
| Media - Cable (2.9%) | |||||
| 150 | Cablevision Systems Corp., Senior Unsecured Notes | (B+, B1) | 04/15/18 | 7.750 | 168,750 |
| 600 | Cablevision Systems Corp., Senior Unsecured Notes§ | (B+, B1) | 04/15/20 | 8.000 | 672,000 |
| 1,450 | CCO Holdings Capital Corp., Global Company Guaranteed Notes (Callable 04/30/15 @ 104.06) | (BB-, B1) | 04/30/20 | 8.125 | 1,584,125 |
| 1,050 | CSC Holdings LLC, Global Senior Unsecured Notes | (BB+, Ba3) | 02/15/19 | 8.625 | 1,223,250 |
| 500 | Harron Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 04/01/16 @ 104.56) | (B-, Caa1) | 04/01/20 | 9.125 | 552,500 |
| 350 | Unitymedia NRW GmbH, Rule 144A, Senior Secured Notes (Callable 03/15/15 @ 103.75) | (B+, Ba3) | 03/15/19 | 7.500 | 379,750 |
| 1,200 | Virgin Media Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 04/15/18 @ 103.19)§ | (B, B2) | 04/15/23 | 6.375 | 1,200,000 |
| 5,780,375 | |||||
| Media - Diversified (1.3%) | |||||
| 1,500 | Block Communications, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/01/16 @ 103.63) | (BB-, Ba3) | 02/01/20 | 7.250 | 1,582,500 |
| 450 | National CineMedia LLC, Global Senior Unsecured Notes (Callable 07/15/16 @ 103.94)§ | (B, B2) | 07/15/21 | 7.875 | 492,750 |
| 421 | Quebecor Media, Inc., Global Senior Unsecured Notes (Callable 03/15/14 @ 100.00)§ | (B+, B2) | 03/15/16 | 7.750 | 429,420 |
| 2,504,670 | |||||
| Media - Services (0.8%) | |||||
| 425 | Clear Channel Worldwide Holdings, Inc., Series A, Global Company Guaranteed Notes (Callable 11/15/17 @ 103.25) | (B, B1) | 11/15/22 | 6.500 | 433,500 |
| 1,075 | Clear Channel Worldwide Holdings, Inc., Series B, Global Company Guaranteed Notes (Callable 11/15/17 @ 103.25) | (B, B1) | 11/15/22 | 6.500 | 1,101,875 |
| 5 | Technicolor SA, Rule 144A, Senior Secured Notes^ | (NR, NR) | 05/26/17 | 9.350 | 4,120 |
| 1,539,495 | |||||
| Medical Products (0.8%) | |||||
| 277 | Bausch & Lomb, Inc., Global Senior Unsecured Notes (Callable 11/01/13 @ 100.00) | (NR, Caa1) | 11/01/15 | 9.875 | 279,078 |
| 1,250 | Polymer Group, Inc., Global Senior Secured Notes (Callable 02/01/15 @ 103.88) | (B, B1) | 02/01/19 | 7.750 | 1,342,187 |
| 1,621,265 | |||||
| Metals & Mining - Excluding Steel (7.2%) | |||||
| 1,350 | Boart Longyear Management Pty Ltd., Rule 144A, Company Guaranteed Notes (Callable 04/01/16 @ 103.50)§ | (B, B3) | 04/01/21 | 7.000 | 1,012,500 |
| 700 | Boart Longyear Management Pty Ltd., Rule 144A, Senior Secured Notes | (BB-, B1) | 10/01/18 | 10.000 | 710,500 |
| 1,600 | Calcipar SA, Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 103.44) | (BB, Ba3) | 05/01/18 | 6.875 | 1,676,000 |
| 1,150 | Eldorado Gold Corp., Rule 144A, Senior Unsecured Notes (Callable 12/15/16 @ 103.06)§ | (BB, Ba3) | 12/15/20 | 6.125 | 1,115,500 |
| 400 | FMG Resources August 2006 Pty Ltd., Rule 144A, Company Guaranteed Notes (Callable 11/01/15 @ 104.13)§ | (B+, B1) | 11/01/19 | 8.250 | 433,000 |
| 1,100 | Global Brass & Copper, Inc., Rule 144A, Senior Secured Notes (Callable 06/01/16 @ 104.75) | (B, B3) | 06/01/19 | 9.500 | 1,215,500 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105933\13-22536-2\task6312240\22536-2-bi.htm',USER='105933',CD='Oct 21 18:50 2013'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Metals & Mining - Excluding Steel | |||||
| $ 1,000 | Kaiser Aluminum Corp., Global Company Guaranteed Notes (Callable 06/01/16 @ 104.13) | (BB-, Ba3) | 06/01/20 | 8.250 | $ 1,122,500 |
| 1,841 | KGHM International Ltd., Rule 144A, Company Guaranteed Notes (Callable 06/15/15 @ 103.88) | (BB-, B1) | 06/15/19 | 7.750 | 1,910,037 |
| 1,000 | Molycorp, Inc., Global Senior Secured Notes (Callable 06/01/16 @ 105.00)§ | (CCC+, B3) | 06/01/20 | 10.000 | 1,002,500 |
| 1,500 | Noranda Aluminum Acquisition Corp., Rule 144A, Company Guaranteed Notes (Callable 03/01/16 @ 105.50) | (CCC+, Caa1) | 06/01/19 | 11.000 | 1,357,500 |
| 175 | Old AII, Inc., Global Company Guaranteed Notesø^ | (NR, NR) | 12/15/14 | 9.000 | 18 |
| 675 | Old AII, Inc., Global Company Guaranteed Notes (Callable 12/15/13 @ 101.67)ø^ | (NR, NR) | 12/15/16 | 10.000 | 67 |
| 1,700 | Taseko Mines Ltd., Company Guaranteed Notes (Callable 04/15/15 @ 103.88)§ | (B, B3) | 04/15/19 | 7.750 | 1,683,000 |
| 1,500 | Xinergy Corp., Rule 144A, Senior Secured Notes (Callable 05/15/15 @ 104.63) | (NR, NR) | 05/15/19 | 9.250 | 1,110,000 |
| 14,348,622 | |||||
| Oil Field Equipment & Services (5.3%) | |||||
| 1,700 | Edgen Murray Corp., Rule 144A, Senior Secured Notes (Callable 11/01/15 @ 106.56)§ | (B+, Caa1) | 11/01/20 | 8.750 | 1,734,000 |
| 721 | FTS International Bonds, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/14 @ 103.56) | (B+, Ba3) | 11/15/18 | 8.125 | 785,890 |
| 1,200 | Pacific Drilling SA, Reg S, Senior Unsecured Notes | (NR, NR) | 02/23/15 | 8.250 | 1,263,000 |
| 1,750 | Parker Drilling Co., Global Company Guaranteed Notes (Callable 04/01/14 @ 104.56) | (B+, B1) | 04/01/18 | 9.125 | 1,881,250 |
| 650 | Permian Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 07/15/15 @ 107.88) | (B-, B3) | 01/15/18 | 10.500 | 637,000 |
| 1,620 | Pioneer Energy Services Corp., Global Company Guaranteed Notes (Callable 03/15/14 @ 104.94) | (B+, B2) | 03/15/18 | 9.875 | 1,757,700 |
| 1,500 | Sidewinder Drilling, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/16 @ 104.88) | (B-, B3) | 11/15/19 | 9.750 | 1,462,500 |
| 1,000 | Trinidad Drilling Ltd., Rule 144A, Senior Unsecured Notes (Callable 01/15/15 @ 103.94) | (BB-, B1) | 01/15/19 | 7.875 | 1,060,000 |
| 10,581,340 | |||||
| Oil Refining & Marketing (2.0%) | |||||
| 1,750 | Coffeyville Finance, Inc., Global Secured Notes (Callable 11/01/17 @ 103.25) | (B+, B2) | 11/01/22 | 6.500 | 1,708,438 |
| 600 | Northern Tier Finance Corp., Rule 144A, Senior Secured Notes (Callable 11/15/15 @ 105.34) | (BB-, B1) | 11/15/20 | 7.125 | 603,000 |
| 1,500 | PBF Finance Corp., Global Senior Secured Notes (Callable 02/15/16 @ 104.13) | (BB+, Ba3) | 02/15/20 | 8.250 | 1,560,000 |
| 3,871,438 | |||||
| Packaging (1.0%) | |||||
| 500 | Ardagh MP Holdings U.S.A., Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/16 @ 103.50)§ | (CCC+, B3) | 11/15/20 | 7.000 | 482,500 |
| 300 | Ardagh Packaging Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 10/15/15 @ 104.63) | (CCC+, B3) | 10/15/20 | 9.250 | 425,417 |
| 350 | Reynolds Group Issuer LLC, Global Company Guaranteed Notes (Callable 10/15/14 @ 104.50)§ | (CCC+, Caa2) | 04/15/19 | 9.000 | 369,250 |
| 300 | Reynolds Group Issuer LLC, Global Senior Secured Notes (Callable 10/15/14 @ 103.56) | (B+, B1) | 04/15/19 | 7.125 | 320,250 |
| 250 | Sealed Air Corp., Rule 144A, Company Guaranteed Notes (Callable 09/15/16 @ 104.19) | (BB-, B1) | 09/15/21 | 8.375 | 284,375 |
| 1,881,792 | |||||
| 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 | 1,226,250 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105933\13-22536-2\task6312240\22536-2-bi.htm',USER='105933',CD='Oct 21 18:50 2013'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Real Estate Investment Trusts (1.0%) | |||||
| $ 1,850 | CNL Lifestyle Properties, Inc., Global Company Guaranteed Notes (Callable 04/15/15 @ 103.63)§ | (B, Ba3) | 04/15/19 | 7.250 | $ 1,905,500 |
| Software/Services (5.9%) | |||||
| 1,850 | Epicor Software Corp., Global Company Guaranteed Notes (Callable 05/01/15 @ 104.31) | (CCC+, Caa1) | 05/01/19 | 8.625 | 1,984,125 |
| 1,125 | First Data Corp., Rule 144A, Senior Secured Notes (Callable 06/15/15 @ 103.69) | (B+, B1) | 06/15/19 | 7.375 | 1,189,688 |
| 650 | First Data Corp., Rule 144A, Senior Secured Notes (Callable 11/01/15 @ 105.06) | (B+, B1) | 11/01/20 | 6.750 | 676,000 |
| 400 | Infor U.S., Inc., Global Company Guaranteed Notes (Callable 04/01/15 @ 107.03) | (B-, Caa1) | 04/01/19 | 9.375 | 449,000 |
| 625 | Infor U.S., Inc., Global Company Guaranteed Notes (Callable 04/01/15 @ 107.50) | (B-, Caa1) | 04/01/19 | 10.000 | 947,556 |
| 1,523 | MedAssets, Inc., Global Company Guaranteed Notes (Callable 11/15/14 @ 104.00) | (B-, B3) | 11/15/18 | 8.000 | 1,648,647 |
| 1,000 | NeuStar, Inc., Global Company Guaranteed Notes (Callable 01/15/18 @ 102.25)§ | (BB-, Ba3) | 01/15/23 | 4.500 | 902,500 |
| 1,003 | Serena Software, Inc., Global Company Guaranteed Notes (Callable 03/15/14 @ 100.00) | (CCC+, Caa1) | 03/15/16 | 10.375 | 1,013,030 |
| 400 | SSI Co-Issuer LLC, Global Company Guaranteed Notes (Callable 06/01/14 @ 105.56) | (CCC+, Caa1) | 06/01/18 | 11.125 | 442,000 |
| 600 | SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 11/15/13 @ 105.53) | (B, Caa1) | 11/15/18 | 7.375 | 637,500 |
| 1,598 | Syniverse Holdings, Inc., Global Company Guaranteed Notes (Callable 01/15/15 @ 104.56) | (B-, Caa1) | 01/15/19 | 9.125 | 1,729,835 |
| 11,619,881 | |||||
| Specialty Retail (1.8%) | |||||
| 1,350 | Brown Shoe Co., Inc., Global Company Guaranteed Notes (Callable 05/15/14 @ 105.34) | (B, B3) | 05/15/19 | 7.125 | 1,432,687 |
| 750 | Ontex IV SA, Rule 144A, Senior Secured Notes (Callable 04/15/14 @ 103.75) | (B, B1) | 04/15/18 | 7.500 | 1,063,462 |
| 1,050 | Penske Automotive Group, Inc., Global Company Guaranteed Notes (Callable 10/01/17 @ 102.88) | (B, B2) | 10/01/22 | 5.750 | 1,034,250 |
| 3,530,399 | |||||
| Steel Producers/Products (0.8%) | |||||
| 550 | JMC Steel Group, Rule 144A, Senior Notes (Callable 03/15/14 @ 106.19)§ | (B-, Caa1) | 03/15/18 | 8.250 | 540,375 |
| 1,000 | Tempel Steel Co., Rule 144A, Senior Secured Notes (Callable 02/15/14 @ 109.00) | (B-, Caa1) | 08/15/16 | 12.000 | 960,000 |
| 1,500,375 | |||||
| Support-Services (4.1%) | |||||
| 1,250 | CoreLogic, Inc., Global Company Guaranteed Notes (Callable 06/01/16 @ 103.63) | (B+, B1) | 06/01/21 | 7.250 | 1,337,500 |
| 500 | Emdeon, Inc., Global Company Guaranteed Notes (Callable 12/31/15 @ 105.50) | (CCC+, Caa1) | 12/31/19 | 11.000 | 571,875 |
| 775 | Garda World Security Corp., Rule 144A, Senior Unsecured Notes (Callable 03/15/14 @ 104.88) | (B, B2) | 03/15/17 | 9.750 | 829,250 |
| 356 | H&E Equipment Services, Inc., Global Company Guaranteed Notes (Callable 09/01/17 @ 103.50) | (B+, B3) | 09/01/22 | 7.000 | 380,920 |
| 750 | Iron Mountain, Inc., Company Guaranteed Notes (Callable 08/15/18 @ 103.00) | (BB-, Ba1) | 08/15/23 | 6.000 | 748,125 |
| 650 | NES Rentals Holdings, Inc., Rule 144A, Secured Notes (Callable 05/01/15 @ 103.94) | (CCC+, Caa2) | 05/01/18 | 7.875 | 666,250 |
| 500 | Sabre, Inc., Rule 144A, Senior Secured Notes (Callable 05/15/15 @ 106.38)§ | (B, B1) | 05/15/19 | 8.500 | 542,500 |
| 950 | Safway Finance Corp., Rule 144A, Secured Notes (Callable 05/15/15 @ 103.50) | (B, B3) | 05/15/18 | 7.000 | 969,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105933\13-22536-2\task6312240\22536-2-bi.htm',USER='105933',CD='Oct 21 18:50 2013'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Support-Services | |||||
| $ 325 | The Geo Group, Inc., Global Company Guaranteed Notes (Callable 02/15/16 @ 103.31) | (B+, B1) | 02/15/21 | 6.625 | $ 342,875 |
| 475 | The Geo Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/18 @ 102.56) | (B+, B1) | 04/01/23 | 5.125 | 437,000 |
| 1,200 | United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 05/15/16 @ 103.69) | (B+, B2) | 05/15/20 | 7.375 | 1,299,000 |
| 8,124,295 | |||||
| Telecom - Integrated/Services (1.8%) | |||||
| 350 | Hellas Telecommunications Luxembourg II S.C.A., Rule 144A, Subordinated Notesø^ | (NR, NR) | 01/15/15 | 0.000 | |
| 600 | Intelsat Jackson Holdings SA, Global Company Guaranteed Notes (Callable 04/01/15 @ 103.63) | (B, B3) | 04/01/19 | 7.250 | 645,000 |
| 750 | Intelsat Jackson Holdings SA, Global Company Guaranteed Notes (Callable 04/01/16 @ 103.75) | (B, B3) | 04/01/21 | 7.500 | 813,750 |
| 250 | Intelsat Luxembourg SA, Rule 144A, Company Guaranteed Notes (Callable 06/01/15 @ 103.38) | (CCC+, Caa2) | 06/01/18 | 6.750 | 260,625 |
| 800 | Intelsat Luxembourg SA, Rule 144A, Company Guaranteed Notes (Callable 06/01/17 @ 103.88)§ | (CCC+, Caa2) | 06/01/21 | 7.750 | 831,000 |
| 950 | Zayo Capital, Inc., Global Senior Secured Notes (Callable 07/01/15 @ 104.06) | (B, B1) | 01/01/20 | 8.125 | 1,043,813 |
| 3,594,188 | |||||
| Telecom - Wireless (0.6%) | |||||
| 400 | Telesat LLC, Rule 144A, Senior Unsecured Notes (Callable 05/15/14 @ 103.00) | (B-, B3) | 05/15/17 | 6.000 | 417,500 |
| 600 | Wind Acquisition Finance SA, Rule 144A, Secured Notes (Callable 07/15/14 @ 102.94) | (B, B3) | 07/15/17 | 11.750 | 771,103 |
| 1,188,603 | |||||
| Telecommunications Equipment (1.5%) | |||||
| 1,200 | Avaya, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/15 @ 103.50) | (B, B1) | 04/01/19 | 7.000 | 1,128,000 |
| 1,700 | Brightstar Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/14 @ 104.75) | (B+, B1) | 12/01/16 | 9.500 | 1,785,000 |
| 2,913,000 | |||||
| Textiles & Apparel (0.3%) | |||||
| 150 | IT Holding Finance SA, Rule 144A, Company Guaranteed Notesø | (NR, NR) | 11/15/25 | 9.875 | 2,000 |
| 500 | Takko Luxembourg 2 S.C.A., Rule 144A, Senior Secured Notes (Callable 04/15/16 @ 104.94) | (B-, B3) | 04/15/19 | 9.875 | 663,289 |
| 665,289 | |||||
| Theaters & Entertainment (1.3%) | |||||
| 800 | AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/01/14 @ 104.38) | (B-, B2) | 06/01/19 | 8.750 | 864,000 |
| 857 | AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 12/01/15 @ 104.88) | (CCC+, Caa1) | 12/01/20 | 9.750 | 981,265 |
| 650 | Carmike Cinemas, Inc., Global Secured Notes (Callable 05/15/15 @ 105.53) | (B, B2) | 05/15/19 | 7.375 | 703,625 |
| 2,548,890 | |||||
| Tobacco (0.3%) | |||||
| 650 | Vector Group Ltd., Global Senior Secured Notes (Callable 02/15/16 @ 105.81) | (B+, Ba3) | 02/15/21 | 7.750 | 676,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105933\13-22536-2\task6312240\22536-2-bi.htm',USER='105933',CD='Oct 21 18:50 2013'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Transportation - Excluding Air/Rail (0.2%) | |||||
| $ 400 | Navios Maritime Holdings Finance II U.S., Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.06) | (B+, Caa1) | 02/15/19 | 8.125 | $ 399,000 |
| TOTAL CORPORATE BONDS (Cost $159,158,459) | 158,651,633 | ||||
| ASSET BACKED SECURITIES (9.0%) | |||||
| Collateralized Debt Obligations (9.0%) | |||||
| 750 | Apidos CLO XIV, 2013-14A, Rule 144A# | (BB, NR) | 04/15/25 | 4.668 | 650,816 |
| 1,000 | Carlyle Global Market Strategies CLO Ltd., 2011-1A, Rule 144A# | (BB, NR) | 08/10/21 | 5.715 | 968,393 |
| 1,000 | Carlyle Global Market Strategies CLO Ltd., 2012-4A, Rule 144A | (NR, NR) | 01/20/25 | 0.000 | 985,839 |
| 1,000 | CIFC Funding Ltd., 2011-1A, Rule 144A# | (BBB, NR) | 01/19/23 | 3.366 | 952,128 |
| 2,000 | CIFC Funding Ltd., 2012-2X# | (BB-, NR) | 12/05/24 | 6.260 | 1,952,130 |
| 1,000 | ECP CLO Ltd., 2013-5A, Rule 144A# | (BB, NR) | 01/20/25 | 4.520 | 875,988 |
| 1,000 | Emerson Park CLO Ltd., 2013-1A, Rule 144A# | (BB, NR) | 07/15/25 | 5.113 | 920,621 |
| 1,000 | Finn Square CLO Ltd., 2012-1A, Rule 144A# | (BB, NR) | 12/24/23 | 5.300 | 937,601 |
| 1,000 | Gale Force 4 CLO Ltd., 2007-4A, Rule 144A# | (BBB, Ba1) | 08/20/21 | 3.764 | 956,799 |
| 1,000 | Halcyon Loan Advisors Funding Ltd., 2012-2A, Rule 144A# | (BB, NR) | 12/20/24 | 5.652 | 927,985 |
| 1,000 | ING Investment Management CLO Ltd., 2011-1A, Rule 144A# | (BB, NR) | 06/22/21 | 4.750 | 905,448 |
| 1,000 | JFIN CLO Ltd., 2013-1A, Rule 144A# | (BB, NR) | 01/20/25 | 5.070 | 895,561 |
| 1,000 | KVK CLO Ltd., 2013-1A, Rule 144A# | (BBB, NR) | 04/14/25 | 4.654 | 1,006,728 |
| 1,000 | Shackleton I CLO Ltd., 2012-1A, Rule 144A# | (BBB, NR) | 08/14/23 | 5.015 | 1,007,928 |
| 1,000 | Shackleton I CLO Ltd., 2012-1A, Rule 144A# | (BB, NR) | 08/14/23 | 6.465 | 988,622 |
| 1,000 | Shackleton II CLO Ltd., 2012-2A, Rule 144A# | (BB, NR) | 10/20/23 | 5.466 | 943,114 |
| 1,000 | Symphony CLO VII Ltd., 2011-7A, Rule 144A# | (BBB, NR) | 07/28/21 | 3.464 | 981,574 |
| 1,000 | Venture X CLO Ltd., 2012-12A, Rule 144A# | (BB, NR) | 02/28/24 | 5.562 | 932,416 |
| TOTAL ASSET BACKED SECURITIES (Cost $17,377,026) | 17,789,691 | ||||
| BANK LOANS (7.8%) | |||||
| Chemicals (1.0%) | |||||
| 1,000 | Oxbow Carbon & Minerals Holdings, Inc.# | (BB-, B2) | 01/18/20 | 8.000 | 1,025,000 |
| 1,000 | Royal Adhesives and Sealants LLC# | (CCC+, Caa2) | 01/31/19 | 9.750 | 1,000,000 |
| 2,025,000 | |||||
| Consumer Products (0.8%) | |||||
| 1,500 | Ranpak Corp.# | (B-, Caa1) | 04/23/20 | 8.500 | 1,537,500 |
| Energy - Exploration & Production (0.7%) | |||||
| 1,001 | Delek Benelux B.V.# | (NR, NR) | 02/08/17 | 5.253 | 1,306,273 |
| Financial Services (0.5%) | |||||
| 1,000 | StoneRiver Group LP# | (CCC+, Caa1) | 05/29/20 | 8.500 | 1,017,500 |
| Gaming (0.5%) | |||||
| 1,000 | CKX Entertainment, Inc.# | (B+, B1) | 06/21/17 | 9.000 | 905,000 |
| Health Services (0.5%) | |||||
| 1,000 | Catalent Pharma Solutions, Inc.# | (B, Caa1) | 12/31/17 | 6.500 | 1,001,880 |
| Hotels (0.6%) | |||||
| 1,250 | Four Seasons Hotels Ltd.# | (B-, Caa1) | 12/27/20 | 6.250 | 1,281,250 |
| Machinery (0.6%) | |||||
| 1,250 | CPM Holdings, Inc.# | (B, Caa1) | 03/01/18 | 10.250 | 1,259,375 |
| Media - Diversified (0.5%) | |||||
| 433 | Flint Group Holdings Sarl# | (NR, NR) | 06/30/18 | 7.396 | 400,151 |
| 597 | Flint Group Holdings Sarl# | (NR, NR) | 12/31/18 | 7.396 | 519,419 |
| 919,570 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105933\13-22536-2\task6312240\22536-2-bi.htm',USER='105933',CD='Oct 21 18:50 2013'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | ||
|---|---|---|---|---|---|---|
| BANK LOANS | ||||||
| Printing & Publishing (0.1%) | ||||||
| $ 1,207 | hibu PLC# | (NR, NR) | 07/31/14 | 3.929 | $ 262,844 | |
| Software/Services (1.5%) | ||||||
| 1,000 | Decision Insight Information Group, Inc.# | (B, B1) | 01/04/17 | 7.000 | 999,585 | |
| 1,000 | SafeNet, Inc.# | (B, B3) | 04/12/15 | 6.179 | 998,440 | |
| 1,000 | Wall Street Systems Holdings, Inc.# | (B-, Caa2) | 10/25/20 | 9.250 | 1,008,425 | |
| 3,006,450 | ||||||
| Telecom - Integrated/Services (0.5%) | ||||||
| 1,000 | LTS Buyer LLC# | (CCC+, Caa1) | 03/28/21 | 8.000 | 1,015,000 | |
| TOTAL BANK LOANS (Cost $15,382,471) | 15,537,642 | |||||
| Number of | ||||||
| Shares | ||||||
| COMMON STOCKS (0.3%) | ||||||
| Automakers (0.0%) | ||||||
| 1,219 | Safelite Realty Corp.*^ | | ||||
| Building & Construction (0.1%) | ||||||
| 14,400 | Ashton Woods U.S.A. LLC, Class B*^ | 205,920 | ||||
| 199 | William Lyon Homes, Class A*§ | 4,043 | ||||
| 209,963 | ||||||
| Building Materials (0.0%) | ||||||
| 372 | Dayton Superior Corp.*^ | | ||||
| Chemicals (0.1%) | ||||||
| 4,893 | Huntsman Corp. | 100,845 | ||||
| Forestry & Paper (0.0%) | ||||||
| 260 | Resolute Forest Products, Inc.*§ | 3,437 | ||||
| Gaming (0.0%) | ||||||
| 36,250 | Majestic Holdco LLC* | 47,125 | ||||
| 1,500 | Progressive Gaming International Corp.* | 1 | ||||
| 47,126 | ||||||
| Media - Broadcast (0.1%) | ||||||
| 26,986 | Cumulus Media, Inc., Class A*§ | 143,026 | ||||
| TOTAL COMMON STOCKS (Cost $376,743) | 504,397 | |||||
| PREFERRED STOCK (0.0%) | ||||||
| Building Materials (0.0%) | ||||||
| 413 | Dayton Superior Corp.*^ (Cost $156,000) | | ||||
| WARRANT (0.0%) | ||||||
| Printing & Publishing (0.0%) | ||||||
| 3,871 | The Readers Digest Association, Inc., strike price $0.00, expires 02/19/14*^ (Cost $) | | ||||
| SHORT-TERM INVESTMENT (10.2%) | ||||||
| 20,271,240 | State Street Navigator Prime Portfolio, 0.17%§§ (Cost $20,271,240) | 20,271,240 | ||||
| TOTAL INVESTMENTS AT VALUE (107.2%) (Cost $212,721,939) | 212,754,603 | |||||
| LIABILITIES IN EXCESS OF OTHER ASSETS (-7.2%) | (14,251,610 | ) | ||||
| NET ASSETS (100.0%) | $ 198,502,993 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105933\13-22536-2\task6312240\22536-2-bi.htm',USER='105933',CD='Oct 21 18:50 2013'
*INVESTMENT ABBREVIATIONS* NR = Not Rated PIK = Payment in Kind Reg S = Regulation S
| | 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, 2013, these securities amounted to a value of $84,282,091 or 42.5% of net assets. |
| | This security is denominated in Euro. |
| £ | This security is denominated in British Pound. |
| 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, 2013. |
| § | 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, 2013. |
At September 30, 2013, Open Forward Foreign Currency Contracts were as follows:
| Forward Foreign — Currency to be | Forward Foreign — Currency to be | Expiration | Value on | Current | Unrealized — Appreciation/ | ||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Purchased (Local) | Sold (Local) | Date | Counterparty | Settlement Date | Value | (Depreciation) | |||||
| USD | 7,321,720 | EUR | 5,600,000 | 10/15/13 | Morgan Stanley | $ (7,321,720 | ) | $ (7,580,687 | ) | $ (258,967 | ) |
| USD | 1,765,518 | GBP | 1,170,000 | 10/15/13 | Morgan Stanley | (1,765,518 | ) | (1,894,507 | ) | (128,989 | ) |
| $ (387,956 | ) |
*Currency Abbreviations:*
EUR = Euro
GBP = British Pound
USD = United States Dollar
SEQ.=1,FOLIO='',FILE='C:\JMS\105933\13-22536-2\task6312240\22536-2-bi.htm',USER='105933',CD='Oct 21 18:50 2013'
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. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Short-term fixed income securities that will mature in 60 days or less are valued at amortized cost unless it is determined that using this method would not reflect an investments fair value. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board of Directors to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Funds Board of Directors.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
Accounting principles generally accepted in the United States of America (GAAP) established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
| · | Level 1quoted prices in active markets for identical investments |
|---|---|
| · | Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| · | Level 3significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value 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, 2013 in valuing the Funds assets and liabilities carried at fair value:
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| Level 1 | Level 2 | Level 3 | Total | |||
|---|---|---|---|---|---|---|
| Investments in Securities | ||||||
| Corporate Bonds | $ | $ 158,643,549 | $ 8,084 | $ 158,651,633 | ||
| Asset Backed Securities | | 17,789,691 | | 17,789,691 | ||
| Bank Loans | | 15,537,642 | | 15,537,642 | ||
| Common Stocks | 251,352 | 47,125 | 205,920 | 504,397 | ||
| Preferred Stock | | | 0 | 0 | ||
| Warrant | | | 0 | 0 | ||
| Short-term Investment | 20,271,240 | | | 20,271,240 | ||
| Other Financial Instruments* | ||||||
| Forward Foreign Currency Contracts | | (387,956 | ) | | (387,956 | ) |
| $ 20,522,592 | $ 191,630,051 | $ 214,004 | $ 212,366,647 |
The following is a reconciliation of investments as of September 30, 2013 in which significant unobservable inputs (Level 3) were used in determining value. Transfers in or out of Level 3 represent the end of the period value of any security or instrument where a change in the level has occurred from the beginning to the end of the period.
| Corporate Bonds | Common Stocks | Preferred Stock | Warrant | Total | |||
|---|---|---|---|---|---|---|---|
| Balance as of December 31, 2012 | $ 130 | $ 108,720 | $ 0 | $ 0 | $ 108,850 | ||
| Accrued discounts/premiums | 4 | | | | 4 | ||
| Purchases | 4,119 | | | | 4,119 | ||
| Sales | (119 | ) | | | | (119 | ) |
| Realized Gain/(Loss) | (433,955 | ) | | | | (433,955 | ) |
| Change in Unrealized Appreciation/(Depreciation) | 434,026 | 97,200 | | | 531,226 | ||
| Transfers Into Level 3 | 3,879 | | | | 3,879 | ||
| Transfers Out of Level 3 | | | | | | ||
| Balance as of September 30, 2013 | $ 8,084 | $ 205,920 | $ 0 | $ 0 | $ 214,004 | ||
| Net change in unrealized Appreication/(Depreciation) from investments still held as of September 30, 2013 | $ (4 | ) | $ 97,200 | $ 0 | $ 0 | $ 97,196 |
The Fund adopted Financial Accounting Standards Board 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. At the period ended September 30, 2013, the amount of transfers between Level 2 and Level 3 was $3,879. Investments were transferred from Level 2 to Level 3 because it went from multiple 3rd party pricing sources to being a 1 broker quoted security. All transfers are assumed to occur at the end of the reporting period.
Federal Income Tax Cost - At September 30, 2013, the cost of investments (excluding foreign currency related transactions) and net unrealized appreciation (depreciation) for income tax purposes were as follows:
| Cost of Investments | $ | |
|---|---|---|
| Unrealized appreciation | $ 8,162,364 | |
| Unrealized depreciation | (8,129,700 | ) |
| Net unrealized appreciation | $ 32,664 |
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 8, 2013 |
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 8, 2013 |
| /s/Bruce S. Rosenberg | |
| Name: | Bruce S. Rosenberg |
| Title: | Chief Financial Officer |
| Date: | November 8, 2013 |
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