Regulatory Filings • Nov 13, 2014
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Download Source FileN-Q 1 d814208dnq.htm CREDIT SUISSE ASSET MANAGEMENT INCOME FUND,INC. Credit Suisse Asset Management Income Fund,Inc.
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: 811-05012
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, 2014 to September 30, 2014
Item 1: Schedule of Investments
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments
September 30, 2014 (unaudited)
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (77.6%) | |||||
| Aerospace & Defense (0.4%) | |||||
| $ 750 | Ducommun, Inc., Global Company Guaranteed Notes (Callable 07/15/15 @ 104.88) | (B, B3) | 07/15/18 | 9.750 | $ 814,688 |
| Airlines (0.4%) | |||||
| 500 | Continental Airlines 2012-3, Class C Pass Thru Certificates§ | (B+, B1) | 04/29/18 | 6.125 | 530,000 |
| 200 | United Continental Holdings, Inc., Company Guaranteed Notes | (B, B2) | 06/01/18 | 6.375 | 210,000 |
| 740,000 | |||||
| Auto Parts & Equipment (1.2%) | |||||
| 180 | Lear Corp., Company Guaranteed Notes (Callable 03/15/15 @ 104.06)§ | (BB, Ba2) | 03/15/20 | 8.125 | 190,350 |
| 500 | Meritor, Inc., Company Guaranteed Notes (Callable 06/15/16 @ 105.06)§ | (B-, B3) | 06/15/21 | 6.750 | 522,500 |
| 1,750 | UCI International, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.31) | (CCC, Caa1) | 02/15/19 | 8.625 | 1,696,975 |
| 2,409,825 | |||||
| Beverages (0.1%) | |||||
| 237 | Beverages & More, Inc., Rule 144A, Senior Secured Notes (Callable 11/15/15 @ 105.00) | (CCC+, Caa2) | 11/15/18 | 10.000 | 223,669 |
| Brokerage (1.5%) | |||||
| 1,000 | CCRE Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 02/15/15 @ 105.81) | (B, B1) | 02/15/18 | 7.750 | 1,070,000 |
| 1,450 | Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 04/01/16 @ 105.53) | (B, B1) | 04/01/20 | 7.375 | 1,489,875 |
| 400 | Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 04/15/17 @ 105.16) | (B, B1) | 04/15/22 | 6.875 | 396,000 |
| 2,955,875 | |||||
| Building & Construction (1.2%) | |||||
| 1,000 | AV Homes, Inc., Rule 144A, Senior Unsecured Notes (Callable 07/01/16 @ 106.38) | (B-, Caa1) | 07/01/19 | 8.500 | 993,750 |
| 500 | K Hovnanian Enterprises, Inc., Global Senior Secured Notes | (CCC+, Ba3) | 11/01/21 | 2.000 | 357,500 |
| 1,000 | Rialto Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/15 @ 103.50) | (B, B2) | 12/01/18 | 7.000 | 1,021,875 |
| 2,373,125 | |||||
| Building Materials (2.7%) | |||||
| 1,750 | Euramax International, Inc., Global Senior Secured Notes (Callable 10/31/14 @ 104.75) | (B-, Caa2) | 04/01/16 | 9.500 | 1,715,000 |
| 1,000 | Headwaters, Inc., Global Company Guaranteed Notes (Callable 01/15/16 @ 103.63) | (CCC+, Caa2) | 01/15/19 | 7.250 | 1,040,000 |
| 1,850 | Headwaters, Inc., Global Secured Notes (Callable 04/01/15 @ 103.81) | (B+, B2) | 04/01/19 | 7.625 | 1,937,875 |
| 650 | Interline Brands, Inc., PIK, Global Senior Unsecured Notes (Callable 11/15/14 @ 105.00) | (CCC+, Caa2) | 11/15/18 | 10.000 | 680,875 |
| 5,373,750 | |||||
| Chemicals (4.5%) | |||||
| 150 | Axalta Coating Systems Dutch Holding B, Rule 144A, Company Guaranteed Notes (Callable 02/04/16 @ 105.53)§ | (B-, Caa1) | 05/01/21 | 7.375 | 161,625 |
| 500 | Chemtura Corp., Company Guaranteed Notes (Callable 07/15/16 @ 104.31) | (BB-, B1) | 07/15/21 | 5.750 | 497,500 |
| 1,450 | GrafTech International Ltd., Global Company Guaranteed Notes (Callable 11/15/16 @ 103.19)§ | (BB+, Ba3) | 11/15/20 | 6.375 | 1,446,375 |
| 500 | Ineos Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 105.63)§ | (BB-, Ba3) | 05/01/20 | 7.500 | 534,375 |
| 750 | INEOS Group Holdings S.A., Rule 144A, Company Guaranteed Notes (Callable 02/15/16 @ 102.94) | (B-, B3) | 02/15/19 | 5.875 | 740,625 |
| 350 | INEOS Group Holdings S.A., Rule 144A, Company Guaranteed Notes (Callable 05/15/15 @ 103.25)§ | (B-, B3) | 08/15/18 | 6.125 | 350,438 |
| 1,650 | OMNOVA Solutions, Inc., Global Company Guaranteed Notes (Callable 11/01/14 @ 103.94) | (B-, B2) | 11/01/18 | 7.875 | 1,683,000 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Chemicals | |||||
| $ 1,125 | Polymer Group, Inc., Global Senior Secured Notes (Callable 02/01/15 @ 103.88) | (B-, B2) | 02/01/19 | 7.750 | $ 1,170,000 |
| 1,000 | Polymer Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/01/15 @ 105.16) | (CCC+, Caa1) | 06/01/19 | 6.875 | 998,750 |
| 276 | Reichhold Industries, Inc., PIK, Rule 144A, Senior Secured Notes (Callable 10/31/14 @ 100.00) | (CC, NR) | 05/08/17 | 9.000 | 180,963 |
| 1,000 | Taminco Global Chemical Corp., Rule 144A, Secured Notes (Callable 03/31/15 @ 107.31) | (B-, Caa1) | 03/31/20 | 9.750 | 1,106,250 |
| 8,869,901 | |||||
| Consumer Products (2.1%) | |||||
| 1,595 | Alphabet Holding Co., Inc., PIK, Global Senior Unsecured Notes (Callable 10/31/14 @ 103.00) | (B-, Caa1) | 11/01/17 | 7.750 | 1,565,094 |
| 1,125 | NBTY, Inc., Global Company Guaranteed Notes (Callable 10/31/14 @ 104.50) | (B, B3) | 10/01/18 | 9.000 | 1,175,625 |
| 750 | Ontex IV S.A., Rule 144A, Senior Secured Notes (Callable 09/01/14 @ 103.75) | (BB-, Ba3) | 04/15/18 | 7.500 | 984,150 |
| 400 | Prestige Brands, Inc., Global Company Guaranteed Notes (Callable 02/01/16 @ 104.06) | (B-, Caa1) | 02/01/20 | 8.125 | 428,000 |
| 4,152,869 | |||||
| Diversified Capital Goods (1.5%) | |||||
| 1,000 | Anixter, Inc., Global Company Guaranteed Notes | (BB, Ba3) | 05/01/19 | 5.625 | 1,056,250 |
| 1,550 | Belden, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/17 @ 102.75) | (B+, Ba2) | 09/01/22 | 5.500 | 1,577,125 |
| | FCC Holdings Finance Subsidiary, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/31/14 @ 100.00)^ | (CCC+, Ca) | 12/15/15 | 13.000 | 19 |
| 359 | Mueller Water Products, Inc., Global Company Guaranteed Notes (Callable 09/01/15 @ 104.38) | (BB-, Ba3) | 09/01/20 | 8.750 | 387,720 |
| 3,021,114 | |||||
| Diversified Financial Services (0.7%) | |||||
| 1,500 | Infinity Acquisition Finance Corp., Rule 144A, Senior Secured Notes (Callable 08/01/17 @ 103.63) | (CCC+, Caa2) | 08/01/22 | 7.250 | 1,455,000 |
| Electric - Distribution/Transportation (0.5%) | |||||
| 1,000 | Zebra Technologies Corp., Senior Secured Notes (Callable 10/15/17 @ 105.44) | (B, B2) | 10/15/22 | 7.250 | 1,000,000 |
| Electronics (0.5%) | |||||
| 1,000 | NCSG Crane & Heavy Haul Services, Rule 144A, Secured Notes (Callable 08/15/17 @ 109.50)^ | (B-, B3) | 08/15/19 | 9.500 | 1,007,500 |
| Energy-Exploration & Production (6.1%) | |||||
| 1,900 | Bonanza Creek Energy, Inc., Global Company Guaranteed Notes (Callable 04/15/17 @ 103.38) | (B-, B3) | 04/15/21 | 6.750 | 1,966,500 |
| 1,975 | EPL Oil & Gas, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.13) | (B, B3) | 02/15/18 | 8.250 | 2,029,312 |
| 1,000 | Harkand Finance, Inc., Reg S, Rule 144A, Senior Secured Notes (Callable 03/28/16 @ 104.50) 1 | (NR, NR) | 03/28/19 | 7.500 | 1,007,500 |
| 600 | Memorial Production Finance Corp., Global Company Guaranteed Notes (Callable 05/01/17 @ 103.81) | (B-, Caa1) | 05/01/21 | 7.625 | 600,000 |
| 675 | Oasis Petroleum, Inc., Company Guaranteed Notes (Callable 11/01/16 @ 103.25) | (B+, B2) | 11/01/21 | 6.500 | 707,063 |
| 895 | Oasis Petroleum, Inc., Global Company Guaranteed Notes (Callable 09/15/17 @ 103.44) | (B+, B2) | 03/15/22 | 6.875 | 948,700 |
| 1,510 | PDC Energy, Inc., Global Company Guaranteed Notes (Callable 10/15/17 @ 103.88) | (B-, B3) | 10/15/22 | 7.750 | 1,623,250 |
| 1,200 | Stone Energy Corp., Global Company Guaranteed Notes (Callable 11/15/17 @ 103.75) | (B-, B3) | 11/15/22 | 7.500 | 1,242,360 |
| 1,124 | W&T Offshore, Inc., Global Company Guaranteed Notes (Callable 06/15/15 @ 104.25) | (B-, B3) | 06/15/19 | 8.500 | 1,168,960 |
| 650 | Whiting Petroleum Corp., Company Guaranteed Notes (Callable 12/15/20 @ 100.00) | (BB+, Ba2) | 03/15/21 | 5.750 | 689,000 |
| 11,982,645 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Food - Wholesale (0.4%) | |||||
| $ 116 | Big Heart Pet Brands, Global Company Guaranteed Notes (Callable 10/31/14 @ 103.81) | (CCC+, Caa1) | 02/15/19 | 7.625 | $ 115,420 |
| 600 | Smithfield Foods, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/16 @ 104.41) | (BB-, B2) | 08/01/21 | 5.875 | 609,000 |
| 724,420 | |||||
| Forestry & Paper (0.0%) | |||||
| 1,000 | Stone & Webster, Inc.^ 2 | (NR, NR) | 10/23/19 | 0.000 | 1,000 |
| Gaming (0.8%) | |||||
| 605 | Choctaw Resort Development Enterprise, Rule 144A, Senior Unsecured Notes (Callable 10/31/14 @ 101.21) | (B-, Caa1) | 11/15/19 | 7.250 | 605,000 |
| 750 | Safari Holding Verwaltungs GmbH, Rule 144A, Senior Secured Notes (Callable 02/15/17 @ 104.13) | (B, B2) | 02/15/21 | 8.250 | 986,377 |
| 1,591,377 | |||||
| Gas Distribution (2.4%) | |||||
| 1,500 | Energy Transfer Equity LP, Senior Secured Notes | (BB, Ba2) | 10/15/20 | 7.500 | 1,676,250 |
| 350 | Genesis Energy Finance Corp., Global Company Guaranteed Notes (Callable 02/15/17 @ 102.88) | (B, B1) | 02/15/21 | 5.750 | 343,438 |
| 750 | Genesis Energy LP, Company Guaranteed Notes (Callable 06/15/19 @ 102.81)§ | (B, B1) | 06/15/24 | 5.625 | 724,687 |
| 2,000 | Holly Energy Finance Corp., Global Company Guaranteed Notes (Callable 03/01/16 @ 103.25) | (BB-, B1) | 03/01/20 | 6.500 | 2,070,000 |
| 4,814,375 | |||||
| Health Facilities (2.5%) | |||||
| 500 | MPT Finance Corp., Company Guaranteed Notes (Callable 02/15/17 @ 103.19) | (BB, Ba1) | 02/15/22 | 6.375 | 536,250 |
| 1,360 | MPT Finance Corp., Global Company Guaranteed Notes (Callable 05/01/16 @ 103.44) | (BB, Ba1) | 05/01/21 | 6.875 | 1,462,000 |
| 696 | Symbion, Inc., Global Company Guaranteed Notes (Callable 10/17/14 @ 100.00) | (CCC+, Caa2) | 08/23/15 | 11.000 | 696,000 |
| 1,175 | Symbion, Inc., Global Senior Secured Notes (Callable 10/30/14 @ 103.75) | (B, B2) | 06/15/16 | 8.000 | 1,219,062 |
| 1,000 | Tenet Healthcare Corp., Global Senior Unsecured Notes | (CCC+, B3) | 04/01/22 | 8.125 | 1,100,000 |
| 5,013,312 | |||||
| Health Services (2.6%) | |||||
| 1,600 | Covenant Surgical Partners, Inc., Rule 144A, Senior Secured Notes (Callable 08/01/16 @ 106.56)§ | (B-, B3) | 08/01/19 | 8.750 | 1,600,000 |
| 232 | inVentiv Health, Inc., PIK, Rule 144A, Company Guaranteed Notes (Callable 08/15/15 @ 105.00) | (CCC, Caa2) | 08/15/18 | 10.000 | 215,760 |
| 168 | inVentiv Health, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/31/14 @ 105.00) | (CCC, Caa3) | 08/15/18 | 10.000 | 136,080 |
| 1,523 | MedAssets, Inc., Global Company Guaranteed Notes (Callable 11/15/14 @ 104.00) | (B, B3) | 11/15/18 | 8.000 | 1,587,727 |
| 550 | Service Corp. International, Senior Unsecured Notes§ | (BB-, B1) | 11/15/21 | 8.000 | 646,250 |
| 1,000 | STHI Holding Corp., Rule 144A, Secured Notes (Callable 10/31/14 @ 106.00) | (B, B2) | 03/15/18 | 8.000 | 1,036,250 |
| 5,222,067 | |||||
| Insurance Brokerage (2.0%) | |||||
| 1,850 | A-S Merger Sub LLC, Rule 144A, Senior Unsecured Notes (Callable 12/15/15 @ 103.94) | (CCC+, Caa2) | 12/15/20 | 7.875 | 1,924,000 |
| 775 | Hub Holdings Finance, Inc., PIK, Rule 144A, Senior Unsecured Notes (Callable 07/15/15 @ 102.00) | (CCC+, Caa2) | 07/15/19 | 8.125 | 761,438 |
| 900 | Onex York Acquisition Corp., Rule 144A, Company Guaranteed Notes (Callable 10/01/17 @ 106.38) | (CCC+, Caa2) | 10/01/22 | 8.500 | 897,750 |
| 300 | Towergate Finance PLC, Rule 144A, Senior Secured Notes (Callable 10/30/14 @ 101.00)£# | (NR, B1) | 02/15/18 | 6.060 | 447,437 |
| 4,030,625 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Investments & Misc. Financial Services (0.7%) | |||||
| $ 750 | Cabot Financial Luxembourg S.A., Rule 144A, Senior Secured Notes (Callable 10/01/15 @ 107.78)£ | (B+, B2) | 10/01/19 | 10.375 | $ 1,324,780 |
| Leisure (0.6%) | |||||
| 1,250 | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/16 @ 103.94) | (BB-, B3) | 01/15/21 | 5.250 | 1,218,750 |
| Media - Broadcast (0.8%) | |||||
| 1,000 | Sinclair Television Group, Inc., Global Company Guaranteed Notes (Callable 11/01/16 @ 104.78) | (B+, B1) | 11/01/21 | 6.375 | 1,027,500 |
| 573 | Sinclair Television Group, Inc., Global Unsecured Notes (Callable 10/01/17 @ 103.06) | (B+, B1) | 10/01/22 | 6.125 | 585,893 |
| 1,613,393 | |||||
| Media - Cable (1.9%) | |||||
| 800 | Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 12/15/16 @ 104.88) | (BB-, B1) | 01/15/22 | 6.500 | 822,000 |
| 150 | Cablevision Systems Corp., Senior Unsecured Notes | (B, B1) | 04/15/18 | 7.750 | 163,125 |
| 600 | Cablevision Systems Corp., Senior Unsecured Notes | (B, B1) | 04/15/20 | 8.000 | 662,250 |
| 1,000 | DISH DBS Corp., Global Company Guaranteed Notes | (BB-, Ba3) | 06/01/21 | 6.750 | 1,077,500 |
| 1,000 | Harron Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 04/01/16 @ 104.56) | (B-, Caa1) | 04/01/20 | 9.125 | 1,095,000 |
| 3,819,875 | |||||
| Media - Diversified (2.2%) | |||||
| 1,750 | Block Communications, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/01/16 @ 103.63) | (BB-, Ba3) | 02/01/20 | 7.250 | 1,824,375 |
| 1,815 | National CineMedia LLC, Global Senior Unsecured Notes (Callable 07/15/16 @ 103.94) | (B, B2) | 07/15/21 | 7.875 | 1,969,275 |
| 600 | Outerwall, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/17 @ 104.41) | (BB-, Ba3) | 06/15/21 | 5.875 | 568,500 |
| 4,362,150 | |||||
| Media - Services (1.8%) | |||||
| 425 | Clear Channel Worldwide Holdings, Inc., Global Company Guaranteed Notes (Callable 11/15/17 @ 103.25) | (B, B1) | 11/15/22 | 6.500 | 432,438 |
| 1,475 | Clear Channel Worldwide Holdings, Inc., Series B, Global Company Guaranteed Notes (Callable 11/15/17 @ 103.25) | (B, B1) | 11/15/22 | 6.500 | 1,515,562 |
| 1,650 | WMG Acquisition Corp., Rule 144A, Senior Secured Notes (Callable 01/15/16 @ 104.50) | (B+, B1) | 01/15/21 | 6.000 | 1,678,875 |
| 3,626,875 | |||||
| Metals & Mining - Excluding Steel (5.8%) | |||||
| 1,350 | Boart Longyear Management Pty. Ltd., Rule 144A, Company Guaranteed Notes (Callable 04/01/16 @ 103.50)§ | (CCC, Caa2) | 04/01/21 | 7.000 | 1,046,250 |
| 700 | Boart Longyear Management Pty. Ltd., Rule 144A, Senior Secured Notes | (B-, B3) | 10/01/18 | 10.000 | 738,500 |
| 1,350 | Calcipar S.A., Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 103.44) | (BB, Ba3) | 05/01/18 | 6.875 | 1,397,250 |
| 1,050 | Eldorado Gold Corp., Rule 144A, Senior Unsecured Notes (Callable 12/15/16 @ 103.06) | (BB, Ba3) | 12/15/20 | 6.125 | 1,047,375 |
| 1,100 | Global Brass & Copper, Inc., Global Senior Secured Notes (Callable 06/01/16 @ 104.75) | (B, B3) | 06/01/19 | 9.500 | 1,226,500 |
| 1,841 | KGHM International Ltd., Rule 144A, Company Guaranteed Notes (Callable 06/15/15 @ 103.88) | (BB-, B1) | 06/15/19 | 7.750 | 1,951,460 |
| 1,500 | Noranda Aluminum Acquisition Corp., Global Company Guaranteed Notes (Callable 03/01/16 @ 105.50) | (CCC+, Caa2) | 06/01/19 | 11.000 | 1,552,500 |
| 1,700 | Taseko Mines Ltd., Company Guaranteed Notes (Callable 04/15/15 @ 103.88) | (B, B3) | 04/15/19 | 7.750 | 1,700,000 |
| 1,500 | Xinergy Corp., Rule 144A, Senior Secured Notes (Callable 05/15/15 @ 104.63) | (NR, NR) | 05/15/19 | 9.250 | 877,500 |
| 11,537,335 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Oil Field Equipment & Services (4.9%) | |||||
| $ 1,900 | Calfrac Holdings LP, Rule 144A, Company Guaranteed Notes (Callable 12/01/15 @ 103.75) | (BB-, B1) | 12/01/20 | 7.500 | $ 1,995,000 |
| 800 | Light Tower Rentals, Inc., Rule 144A, Senior Secured Notes (Callable 08/01/16 @ 106.09)§ | (B, B2) | 08/01/19 | 8.125 | 812,000 |
| 1,200 | Pacific Drilling S.A., Reg S, Senior Unsecured Notes 1 | (NR, NR) | 02/23/15 | 8.250 | 1,218,000 |
| 600 | Pacific Drilling V Ltd., Rule 144A, Senior Secured Notes (Callable 12/01/15 @ 103.63) | (B+, B2) | 12/01/17 | 7.250 | 604,500 |
| 950 | Parker Drilling Co., Rule 144A, Company Guaranteed Notes (Callable 01/15/18 @ 103.38) | (B+, B1) | 07/15/22 | 6.750 | 959,500 |
| 1,500 | Shelf Drilling Holdings Ltd., Rule 144A, Secured Notes (Callable 05/01/15 @ 104.31)§ | (B+, Ba3) | 11/01/18 | 8.625 | 1,582,500 |
| 1,500 | Sidewinder Drilling, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/16 @ 104.88) | (B-, B3) | 11/15/19 | 9.750 | 1,515,000 |
| 1,000 | Trinidad Drilling Ltd., Rule 144A, Company Guaranteed Notes (Callable 01/15/15 @ 103.94) | (BB, B1) | 01/15/19 | 7.875 | 1,039,375 |
| 9,725,875 | |||||
| Oil Refining & Marketing (2.8%) | |||||
| 500 | CITGO Petroleum Corp., Rule 144A, Senior Secured Notes (Callable 08/15/17 @ 104.69) | (B+, B1) | 08/15/22 | 6.250 | 521,250 |
| 2,000 | Coffeyville Finance, Inc., Global Secured Notes (Callable 11/01/17 @ 103.25) | (B+, B2) | 11/01/22 | 6.500 | 2,050,000 |
| 975 | Northern Tier Finance Corp., Global Senior Secured Notes (Callable 11/15/15 @ 105.34) | (BB-, B1) | 11/15/20 | 7.125 | 1,033,500 |
| 1,850 | PBF Finance Corp., Global Senior Secured Notes (Callable 02/15/16 @ 104.13) | (BB+, Ba3) | 02/15/20 | 8.250 | 1,947,125 |
| 5,551,875 | |||||
| Packaging (1.9%) | |||||
| 1,000 | Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 01/31/17 @ 103.38)§ | (CCC+, Caa1) | 01/31/21 | 6.750 | 1,002,500 |
| 88 | Ardagh Holdings U.S.A., Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/16 @ 103.50) | (NR, Caa1) | 11/15/20 | 7.000 | 89,559 |
| 300 | Ardagh Packaging Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 10/15/15 @ 104.63) | (CCC+, Caa1) | 10/15/20 | 9.250 | 407,398 |
| 1,850 | Reynolds Group Issuer LLC, Global Company Guaranteed Notes (Callable 02/15/16 @ 104.13) | (CCC+, Caa2) | 02/15/21 | 8.250 | 1,965,625 |
| 330 | Signode Industrial Group U.S., Inc., Rule 144A, Senior Unsecured Notes (Callable 05/01/17 @ 104.78) | (CCC+, Caa1) | 05/01/22 | 6.375 | 317,625 |
| 3,782,707 | |||||
| Pharmaceuticals (0.4%) | |||||
| 800 | Capsugel S.A., PIK, Rule 144A, Senior Unsecured Notes (Callable 11/15/14 @ 102.00) | (B-, Caa1) | 05/15/19 | 7.000 | 799,500 |
| Printing & Publishing (0.6%) | |||||
| 1,000 | Harland Clarke Holdings Corp., Rule 144A, Senior Secured Notes (Callable 08/01/15 @ 104.88) | (B+, B1) | 08/01/18 | 9.750 | 1,072,500 |
| Real Estate Investment Trusts (1.9%) | |||||
| 2,000 | CNL Lifestyle Properties, Inc., Global Company Guaranteed Notes (Callable 04/15/15 @ 103.63) | (B, Ba3) | 04/15/19 | 7.250 | 2,065,000 |
| 1,200 | iStar Financial, Inc., Senior Unsecured Notes (Callable 07/01/16 @ 102.50) | (B+, B3) | 07/01/19 | 5.000 | 1,161,000 |
| 425 | QTS Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/17 @ 104.41)§ | (B+, B2) | 08/01/22 | 5.875 | 417,562 |
| 3,643,562 | |||||
| Restaurants (0.9%) | |||||
| 650 | New Red Finance, Inc., Rule 144A, Secured Notes (Callable 10/01/17 @ 103.00) | (B-, Caa1) | 04/01/22 | 6.000 | 649,188 |
| 1,100 | Seminole Hard Rock International LLC, Rule 144A, Company Guaranteed Notes (Callable 05/15/16 @ 104.41) | (BB-, B2) | 05/15/21 | 5.875 | 1,067,000 |
| 1,716,188 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Software - Services (4.2%) | |||||
| $ 1,000 | Comdata, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/14/14 @ 100.00) | (CCC, Caa2) | 11/15/17 | 8.125 | $ 1,003,750 |
| 1,850 | Epicor Software Corp., Global Company Guaranteed Notes (Callable 05/01/15 @ 104.31) | (CCC+, B3) | 05/01/19 | 8.625 | 1,965,625 |
| 775 | First Data Corp., Rule 144A, Senior Secured Notes (Callable 06/15/15 @ 103.69) | (BB-, B1) | 06/15/19 | 7.375 | 817,702 |
| 422 | First Data Corp., Rule 144A, Senior Secured Notes (Callable 11/01/15 @ 105.06)§ | (BB-, B1) | 11/01/20 | 6.750 | 448,375 |
| 625 | Infor U.S., Inc., Global Company Guaranteed Notes (Callable 04/01/15 @ 107.50) | (B-, Caa1) | 04/01/19 | 10.000 | 884,275 |
| 1,500 | NeuStar, Inc., Global Company Guaranteed Notes (Callable 01/15/18 @ 102.25) | (BB-, B2) | 01/15/23 | 4.500 | 1,335,000 |
| 1,698 | Syniverse Holdings, Inc., Global Company Guaranteed Notes (Callable 01/15/15 @ 104.56) | (B-, Caa1) | 01/15/19 | 9.125 | 1,787,145 |
| 8,241,872 | |||||
| Specialty Retail (0.8%) | |||||
| 1,450 | Brown Shoe Co., Inc., Global Company Guaranteed Notes (Callable 10/31/14 @ 105.34) | (B+, B3) | 05/15/19 | 7.125 | 1,522,500 |
| Steel Producers/Products (0.3%) | |||||
| 550 | JMC Steel Group, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/31/14 @ 106.19)§ | (B-, Caa1) | 03/15/18 | 8.250 | 557,563 |
| Support - Services (3.2%) | |||||
| 1,075 | CoreLogic, Inc., Global Company Guaranteed Notes (Callable 06/01/16 @ 103.63) | (B+, B1) | 06/01/21 | 7.250 | 1,134,125 |
| 750 | Garda World Security Corp., Rule 144A, Company Guaranteed Notes (Callable 11/15/16 @ 105.44) | (B-, Caa1) | 11/15/21 | 7.250 | 750,000 |
| 1,731 | H&E Equipment Services, Inc., Global Company Guaranteed Notes (Callable 09/01/17 @ 103.50) | (B+, B3) | 09/01/22 | 7.000 | 1,856,497 |
| 950 | Safway Finance Corp., Rule 144A, Secured Notes (Callable 05/15/15 @ 103.50)§ | (B, B3) | 05/15/18 | 7.000 | 971,375 |
| 575 | The Geo Group, Inc., Global Company Guaranteed Notes (Callable 02/15/16 @ 103.31) | (B+, Ba3) | 02/15/21 | 6.625 | 606,625 |
| 915 | United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 05/15/16 @ 103.69) | (BB-, B1) | 05/15/20 | 7.375 | 976,763 |
| 6,295,385 | |||||
| Telecom - Integrated/Services (2.9%) | |||||
| 925 | Altice S.A., Rule 144A, Senior Secured Notes (Callable 05/15/17 @ 105.81) | (B, B3) | 05/15/22 | 7.750 | 957,375 |
| 350 | Hellas Telecommunications Luxembourg II S.C.A., Rule 144A, Subordinated Notes^ 2 ø | (NR, NR) | 01/15/15 | 0.000 | |
| 322 | Hughes Satellite Systems Corp., Global Company Guaranteed Notes | (B-, B3) | 06/15/21 | 7.625 | 352,590 |
| 600 | Intelsat Jackson Holdings S.A., Global Company Guaranteed Notes (Callable 04/01/15 @ 103.63) | (B+, B3) | 04/01/19 | 7.250 | 632,250 |
| 750 | Intelsat Jackson Holdings S.A., Global Company Guaranteed Notes (Callable 04/01/16 @ 103.75)§ | (B+, B3) | 04/01/21 | 7.500 | 803,437 |
| 250 | Intelsat Luxembourg S.A., Global Company Guaranteed Notes (Callable 06/01/15 @ 103.38) | (B-, Caa2) | 06/01/18 | 6.750 | 258,125 |
| 800 | Intelsat Luxembourg S.A., Global Company Guaranteed Notes (Callable 06/01/17 @ 103.88)§ | (B-, Caa2) | 06/01/21 | 7.750 | 818,000 |
| 700 | Numericable Group S.A., Rule 144A, Senior Secured Notes (Callable 05/15/17 @ 104.50) | (B+, Ba3) | 05/15/22 | 6.000 | 706,125 |
| 1,200 | Numericable Group S.A., Rule 144A, Senior Secured Notes (Callable 05/15/19 @ 103.13) | (B+, Ba3) | 05/15/24 | 6.250 | 1,198,500 |
| 5,726,402 | |||||
| Telecom - Wireless (1.1%) | |||||
| 650 | Sprint Corp., Rule 144A, Company Guaranteed Notes | (BB-, B1) | 06/15/24 | 7.125 | 657,312 |
| 1,575 | T-Mobile U.S.A., Inc., Company Guaranteed Notes (Callable 09/01/19 @ 103.19) | (BB, Ba3) | 03/01/25 | 6.375 | 1,575,000 |
| 2,232,312 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| 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 | $ 1,170,000 |
| 1,700 | Brightstar Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/14 @ 104.75) | (BB+, Ba1) | 12/01/16 | 9.500 | 1,808,375 |
| 2,978,375 | |||||
| Textiles & Apparel (0.3%) | |||||
| 150 | IT Holding Finance S.A., Company Guaranteed Notesø | (NR, NR) | 11/15/25 | 9.875 | 1,866 |
| 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 | 546,356 |
| 548,222 | |||||
| Theaters & Entertainment (1.3%) | |||||
| 50 | Activision Blizzard, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/15/18 @ 103.06)§ | (BB+, Ba2) | 09/15/23 | 6.125 | 53,250 |
| 775 | AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 02/15/17 @ 104.41)§ | (B-, B3) | 02/15/22 | 5.875 | 784,688 |
| 857 | AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 12/01/15 @ 104.88) | (B-, B3) | 12/01/20 | 9.750 | 948,056 |
| 650 | Carmike Cinemas, Inc., Global Secured Notes (Callable 05/15/15 @ 105.53) | (BB, B1) | 05/15/19 | 7.375 | 692,250 |
| 2,478,244 | |||||
| Transportation - Excluding Air/Rail (0.7%) | |||||
| 400 | Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes (Callable 01/15/17 @ 105.53) | (BB-, B1) | 01/15/22 | 7.375 | 381,500 |
| 1,000 | Teekay Offshore Finance Corp., Global Senior Unsecured Notes | (NR, NR) | 07/30/19 | 6.000 | 982,500 |
| 1,364,000 | |||||
| TOTAL CORPORATE BONDS (Cost $152,637,790) | 153,517,377 | ||||
| BANK LOANS (13.6%) | |||||
| Auto Parts & Equipment (0.4%) | |||||
| 750 | Jason, Inc.# | (CCC+, Caa1) | 05/21/22 | 9.000 | 742,500 |
| Beverages (0.2%) | |||||
| 500 | Del Monte Foods, Inc.# | (CCC+, Caa1) | 08/18/21 | 8.250 | 456,668 |
| Building Materials (0.6%) | |||||
| 1,184 | Panolam Industries International, Inc.# | (BB-, B2) | 08/30/17 | 7.757 | 1,183,562 |
| Chemicals (2.4%) | |||||
| 1,750 | AZ Chem U.S., Inc.# | (B-, B1) | 06/12/22 | 7.500 | 1,763,851 |
| 1,990 | Ravago Holdings America, Inc.# | (BB-, B2) | 12/20/20 | 5.500 | 1,997,473 |
| 1,000 | Royal Adhesives and Sealants LLC# | (CCC+, Caa2) | 01/31/19 | 9.750 | 1,016,665 |
| 4,777,989 | |||||
| Consumer Products (0.8%) | |||||
| 1,500 | Ranpak Corp.# | (B-, Caa1) | 04/23/20 | 8.500 | 1,519,372 |
| Electronics (0.8%) | |||||
| 1,463 | FIDJI Luxembourg (BC4) Sarl# | (BB-, B1) | 12/24/20 | 6.250 | 1,474,383 |
| Financial Services (0.5%) | |||||
| 1,000 | Mergermarket U.S.A., Inc.# | (CCC+, Caa2) | 02/04/22 | 7.500 | 965,000 |
| Gaming (0.9%) | |||||
| 993 | Abercrombie & Kent U.S. Group Holdings, Inc.^# | (NR, NR) | 12/09/18 | 5.000 | 947,837 |
| 750 | CBAC Borrower LLC# | (B-, B3) | 07/02/20 | 8.250 | 766,875 |
| 1,714,712 | |||||
| Health Services (0.4%) | |||||
| 750 | Phillips-Medisize Corp.# | (CCC+,Caa2) | 06/16/22 | 8.250 | 745,313 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| BANK LOANS | |||||
| Hotels (0.6%) | |||||
| $ 1,250 | Four Seasons Holdings, Inc.# | (B-, Caa1) | 12/28/20 | 6.250 | $ 1,254,687 |
| Investments & Misc. Financial Services (1.5%) | |||||
| 1,000 | Ascensus, Inc.# | (CCC+, Caa1) | 12/02/20 | 9.000 | 1,015,000 |
| 494 | Liquidnet Holdings, Inc.# | (B, B3) | 05/22/19 | 7.750 | 491,281 |
| 1,500 | Transfirst Holdings, Inc.# | (NR, Caa1) | 06/27/18 | 8.000 | 1,496,250 |
| 3,002,531 | |||||
| Machinery (0.6%) | |||||
| 1,250 | CPM Acquisition Corp.# | (B, Caa1) | 03/01/18 | 10.250 | 1,268,750 |
| Media - Broadcast (0.3%) | |||||
| 500 | All3Media International# | (B, B3) | 06/30/22 | 8.250 | 627,283 |
| Oil Field Equipment & Services (0.5%) | |||||
| 1,000 | Shelf Drilling Holdings Ltd.# | (B+, B1) | 10/08/18 | 10.000 | 1,007,500 |
| Packaging (0.4%) | |||||
| 750 | Berlin Packaging LLC# | (CCC+, Caa2) | 09/24/22 | 6.750 | 755,625 |
| Printing & Publishing (0.1%) | |||||
| 21 | HIBU Connect S.A.£# | (CCC+, NR) | 03/03/19 | 1.500 | |
| 509 | YH Ltd.# | (CCC-, NR) | 03/03/24 | 1.000 | |
| 240 | YH Ltd.# | (CCC+, NR) | 03/03/19 | 5.233 | 233,459 |
| 233,459 | |||||
| Software - Services (0.5%) | |||||
| 995 | Intralinks, Inc.# | (BB, B2) | 02/21/19 | 7.250 | 990,025 |
| Specialty Retail (0.8%) | |||||
| 1,500 | BJs Wholesale Club, Inc.# | (CCC, Caa2) | 03/26/20 | 8.500 | 1,513,597 |
| Telecom - Integrated/Services (0.5%) | |||||
| 1,000 | Omnitracs, Inc.# | (CCC+, Caa1) | 05/25/21 | 8.750 | 999,375 |
| Telecom - Wireless (0.4%) | |||||
| 918 | Maritime Telecommunications Network, Inc.# | (B+, NR) | 03/03/16 | 7.500 | 876,650 |
| Theaters & Entertainment (0.4%) | |||||
| 1,000 | CKX, Inc.# | (B+, B2) | 06/21/17 | 9.000 | 875,000 |
| TOTAL BANK LOANS (Cost $26,732,909) | 26,983,981 | ||||
| ASSET BACKED SECURITIES (7.0%) | |||||
| Collateralized Debt Obligations (7.0%) | |||||
| 1,000 | Carlyle Global Market Strategies CLO Ltd., 2012-4A, Rule 144A 2 | (NR, NR) | 01/20/25 | 0.000 | 968,318 |
| 2,000 | CIFC Funding Ltd., 2012-2X# | (BB-, NR) | 12/05/24 | 6.234 | 1,998,832 |
| 1,000 | ECP CLO Ltd., 2013-5A, Rule 144A# | (BB, NR) | 01/20/25 | 4.434 | 892,533 |
| 1,000 | Galaxy XIV CLO Ltd., 2012-14A, Rule 144A# | (BB, NR) | 11/15/24 | 5.634 | 950,838 |
| 1,000 | Halcyon Loan Advisors Funding Ltd., 2012-2A, Rule 144A# | (BB, NR) | 12/20/24 | 5.633 | 936,516 |
| 1,000 | Hildene CLO II Ltd., 2014-2A, Rule 144A# | (NR, Ba3) | 07/19/26 | 5.376 | 917,676 |
| 1,000 | ING Investment Management CLO Ltd., 2012-1RA, Rule 144A# | (B, NR) | 03/14/22 | 6.734 | 989,943 |
| 1,000 | Jamestown CLO III Ltd., 2013-3A, Rule 144A# | (BB-, NR) | 01/15/26 | 4.834 | 879,276 |
| 1,000 | JFIN CLO Ltd., 2013-1A, Rule 144A# | (BB, NR) | 01/20/25 | 4.984 | 894,635 |
| 1,500 | Ocean Trails CLO IV, 2013-4A, Rule 144A# | (B, NR) | 08/13/25 | 6.134 | 1,326,755 |
| 1,000 | Shackleton I CLO Ltd., 2012-1A, Rule 144A# | (BB, NR) | 08/14/23 | 6.435 | 969,848 |
| 1,325 | Venture XVII CLO Ltd., 2014-17A, Rule 144A# | (NR, Ba2) | 07/15/26 | 5.284 | 1,178,758 |
| 1,000 | WhiteHorse VIII Ltd., 2014-1A, Rule 144A# | (NR, Ba3) | 05/01/26 | 4.790 | 883,732 |
| TOTAL ASSET BACKED SECURITIES (Cost $13,932,411) | 13,787,660 | ||||
| Number of Shares | |||||
| COMMON STOCKS (0.2%) | |||||
| Automakers (0.0%) | |||||
| 1,219 | Safelite Realty Corp.^* | |
| Number of Shares | |||||
|---|---|---|---|---|---|
| COMMON STOCKS | |||||
| Building & Construction (0.1%) | |||||
| 14,400 | Ashton Woods U.S.A. LLC, Class B^* | $ | 196,848 | ||
| Building Materials (0.0%) | |||||
| 372 | Dayton Superior Corp.^* | | |||
| Gaming (0.0%) | |||||
| 36,250 | Majestic Holdco LLC^* | 25,375 | |||
| 1,500 | Progressive Gaming International Corp.* | 6 | |||
| 25,381 | |||||
| Media (0.0%) | |||||
| 196,453 | Hibu PLC£* | | |||
| Media - Broadcast (0.1%) | |||||
| 26,986 | Cumulus Media, Inc., Class A§* | 108,754 | |||
| TOTAL COMMON STOCKS (Cost $323,655) | 330,983 | ||||
| PREFERRED STOCK (0.0%) | |||||
| Building Materials (0.0%) | |||||
| 413 | Dayton Superior Corp.^* (Cost $156,000) | | |||
| SHORT-TERM INVESTMENTS (8.0%) | |||||
| 13,336,676 | State Street Navigator Prime Portfolio, 0.15%§§ | 13,336,676 | |||
| Par (000) | Maturity | Rate% | |||
| $2,585 | State Street Bank and Trust Co. Euro Time Deposit | 10/01/14 | 0.010 | 2,585,000 | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $15,921,676) | 15,921,676 | ||||
| TOTAL INVESTMENTS AT VALUE (106.4%) (Cost $209,704,441) | 210,541,677 | ||||
| LIABILITIES IN EXCESS OF OTHER ASSETS (-6.4%) | (12,593,151 | ) | |||
| NET ASSETS (100.0%) | $ | 197,948,526 |
INVESTMENT ABBREVIATIONS
NR = Not Rated
PIK = Payment in Kind
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 or portion thereof is out on loan.
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, 2014, these securities amounted to a value of $78,777,539 or 39.8% of net assets.
€ This security is denominated in Euro.
^ 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.
1 REG S: Securities sold under Regulation S may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
2 Zero coupon security.
£ This security is denominated in British Pound.
ø Bond is currently in default.
§§ Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at September 30, 2014.
Forward Foreign Currency Contracts
| Forward Foreign Currency to be Purchased (Local) — EUR | 1,350,000 | Forward Foreign Currency to be Sold
(Local) — USD | 1,734,264 | Expiration Date — 10/15/14 | Counterparty — Morgan Stanley | Value on Settlement Date — $ 1,734,264 | $ | 1,705,530 | $ | (28,734 |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| USD | 6,901,746 | EUR | 5,075,000 | 10/15/14 | Morgan Stanley | (6,901,746 | ) | (6,411,529 | ) | 490,217 |
| USD | 1,999,436 | GBP | 1,170,000 | 10/15/14 | Morgan Stanley | (1,999,436 | ) | (1,896,536 | ) | 102,900 |
| | | | | | | | | | $ | 564,383 |
Currency Abbreviations:
EUR = Euro
GBP = British Pound
USD = United States Dollar
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 may be valued at amortized cost. 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. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. 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 (the Board) 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 and established by the Funds Board.
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 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 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, 2014 in valuing the Funds assets and liabilities carried at fair value:
| Level 1 | Level 2 | Level 3 | Total | |
|---|---|---|---|---|
| Investments in Securities | ||||
| Corporate Bonds | $ | $ 152,508,858 | $ 1,008,519 | $ 153,517,377 |
| Bank Loans | | 26,036,144 | 947,837 | 26,983,981 |
| Asset Backed Securities | | 13,787,660 | | 13,787,660 |
| Common Stocks | 108,760 | | 222,223 | 330,983 |
| Preferred Stocks | | | | |
| Short-term Investments | | 15,921,676 | | 15,921,676 |
| Other Financial Instruments* | ||||
| Forward Foreign Currency Contracts | | 564,383 | | 564,383 |
| $ 108,760 | $ 208,818,721 | $ 2,178,579 | $ 211,106,060 |
The following is a reconciliation of investments as of September 30, 2014 in which significant unobservable inputs 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.
| Balance as of December 31, 2013 | Corporate Bonds — $ 3,943 | $ | 6,992,382 | $ | 214,704 | Preferred Stocks — $ 0 | Total — $ 7,211,029 | ||
|---|---|---|---|---|---|---|---|---|---|
| Accrued discounts (premiums) | 5 | 95,992 | | | 95,997 | ||||
| Purchases | 1,000,038 | 944,792 | | | 1,944,830 | ||||
| Sales | (4,045 | ) | (1,407,341 | ) | | | (1,411,386 | ) | |
| Realized gain (loss) | (849,933 | ) | 133,869 | | | (716,064 | ) | ||
| Change in unrealized appreciation (depreciation) | 857,511 | (257,084 | ) | (17,856 | ) | 0 | 582,571 | ||
| Transfers into Level 3 | 1,000 | | 25,375 | | 26,375 | ||||
| Transfers out of Level 3 | | (5,554,773 | ) | | | (5,554,773 | ) | ||
| Balance as of September 30, 2014 | $ 1,008,519 | $ | 947,837 | $ | 222,223 | $ 0 | $ 2,178,579 | ||
| Net change in unrealized appreciation (depreciation) from investments still held as of September 30, 2014 | $ 7,546 | $ | 468 | $ | (17,856 | ) | $ 0 | $ (9,842 | ) |
The Fund follows Financial Accounting Standards Board (FASB) amendments to authoritative guidance which requires the Fund to disclose details of transfers in and out of Level 1 and Level 2 measurements and Level 2 and Level 3 measurements and the reasons for the transfers. For the quarter ended September 30, 2014, there were no significant transfers in and out of Level 1 and Level 2, but there was $26,375 transferred in from Level 2 to Level 3 due to lack of observable market data because of decrease in market activity and $5,554,773 transferred out from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs. All transfers are assumed to occur at the end of the reporting period.
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.
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
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 and President
Date: November 13, 2014
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 and President
Date: November 13, 2014
/s/Bruce S. Rosenberg
Name: Bruce S. Rosenberg
Title: Chief Financial Officer
Date: November 13, 2014
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