Regulatory Filings • Nov 13, 2015
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Download Source FileN-Q 1 d47585dnq.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, 2015 to September 30, 2015 |
Item 1: Schedule of Investments
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments
September 30, 2015 (unaudited)
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (77.7%) | |||||
| Advertising (2.7%) | |||||
| $ 425 | Clear Channel Worldwide Holdings, Inc., Global Company Guaranteed Notes (Callable 11/15/17 @ 103.25) | (B, B1) | 11/15/22 | 6.500 | $ 424,469 |
| 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 | 1,486,062 |
| 1,270 | Southern Graphics, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/02/15 @ 106.28) 1 | (CCC+, Caa1) | 10/15/20 | 8.375 | 1,276,350 |
| 1,650 | WMG Acquisition Corp., Rule 144A, Senior Secured Notes (Callable 01/15/16 @ | ||||
| 104.50) 1 | (B+, B1) | 01/15/21 | 6.000 | 1,658,250 | |
| 4,845,131 | |||||
| Auto Parts & Equipment (1.8%) | |||||
| 570 | EnerSys, Rule 144A, Company Guaranteed Notes (Callable 01/30/23 @ | ||||
| 100.00) 1 | (BB+, Ba2) | 04/30/23 | 5.000 | 555,750 | |
| 1,150 | MPG Holdco I, Inc., Global Company Guaranteed Notes (Callable 10/15/17 @ | ||||
| 105.53) 2 | (B+, B3) | 10/15/22 | 7.375 | 1,201,750 | |
| 1,750 | UCI International, Inc., Global Company Guaranteed Notes (Callable 11/02/15 @ 104.31) | (CCC-, Caa2) | 02/15/19 | 8.625 | 1,408,750 |
| 3,166,250 | |||||
| Banking (0.9%) | |||||
| 1,500 | CCRE Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 11/02/15 @ | ||||
| 105.81) 1 | (B+, B1) | 02/15/18 | 7.750 | 1,560,000 | |
| Building & Construction (1.7%) | |||||
| 1,200 | AV Homes, Inc., Global Company Guaranteed Notes (Callable 07/01/16 @ 106.38) | (B-, Caa1) | 07/01/19 | 8.500 | 1,191,000 |
| 500 | K Hovnanian Enterprises, Inc., Global Senior Secured Notes | (CCC+, Ba3) | 11/01/21 | 2.000 | 290,000 |
| 700 | NCI Building Systems, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/18 @ 106.19) 1 | (B+, B3) | 01/15/23 | 8.250 | 736,750 |
| 900 | PriSo Acquisition Corp., Rule 144A, Senior Unsecured Notes (Callable 05/15/18 @ 104.50) 1,2 | (CCC+, Caa1) | 05/15/23 | 9.000 | 877,500 |
| 3,095,250 | |||||
| Building Materials (2.1%) | |||||
| 1,600 | Euramax International, Inc., Rule 144A, Senior Secured Notes (Callable 02/15/18 @ 109.00) 1 | (B-, Caa2) | 08/15/20 | 12.000 | 1,560,000 |
| 1,250 | Headwaters, Inc., Global Company Guaranteed Notes (Callable 01/15/16 @ 103.63) | (B-, Caa1) | 01/15/19 | 7.250 | 1,293,750 |
| 875 | Summit Materials Finance Corp., Global Senior Unsecured Notes (Callable 07/15/18 @ 103.06) 2 | (B, Caa2) | 07/15/23 | 6.125 | 848,750 |
| 3,702,500 | |||||
| Cable & Satellite TV (5.9%) | |||||
| 800 | Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 12/15/16 @ | ||||
| 104.88) 1 | (BB-, B1) | 01/15/22 | 6.500 | 774,408 | |
| 400 | Altice Luxembourg S.A., Rule 144A, Company Guaranteed Notes (Callable 02/15/20 @ 103.81) 1 | (B, B3) | 02/15/25 | 7.625 | 354,250 |
| 925 | Altice Luxembourg S.A., Rule 144A, Company Guaranteed Notes (Callable 05/15/17 @ 105.81) 1 | (B, B3) | 05/15/22 | 7.750 | 844,063 |
| 1,850 | Block Communications, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/01/16 @ 103.63) 1 | (B+, B1) | 02/01/20 | 7.250 | 1,840,750 |
| 600 | Cablevision Systems Corp., Senior Unsecured Notes | (B, B1) | 04/15/20 | 8.000 | 535,500 |
| 500 | Cequel Capital Corp., Rule 144A, Senior Unsecured Notes (Callable 11/02/15 @ | ||||
| 104.78) 1 | (B-, B3) | 09/15/20 | 6.375 | 472,500 | |
| 500 | DISH DBS Corp., Global Company Guaranteed Notes | (BB-, Ba3) | 06/01/21 | 6.750 | 482,810 |
| 230 | DISH DBS Corp., Global Company Guaranteed Notes | (BB-, Ba3) | 11/15/24 | 5.875 | 195,931 |
| 1,000 | Harron Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 04/01/16 @ | ||||
| 104.56) 1 | (BB-, B3) | 04/01/20 | 9.125 | 1,066,250 | |
| 1,175 | Midcontinent Communications & Midcontinent Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/15/18 @ 105.16) 1 | (B, B3) | 08/15/23 | 6.875 | 1,173,531 |
| 400 | Neptune Finco Corp., Rule 144A, Senior Unsecured Notes (Callable 10/15/20 @ | ||||
| 103.31) 1 | (BB-, Ba1) | 10/15/25 | 6.625 | 403,000 | |
| 400 | Neptune Finco Corp., Rule 144A, Senior Unsecured Notes (Callable 10/15/20 @ | ||||
| 105.44) 1 | (B-, B2) | 10/15/25 | 10.875 | 405,000 | |
| 700 | Numericable-SFR SAS, Rule 144A, Senior Secured Notes (Callable 05/15/17 @ | ||||
| 104.50) 1 | (B+, Ba3) | 05/15/22 | 6.000 | 676,375 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Cable & Satellite TV | |||||
| $ 1,200 | Numericable-SFR SAS, Rule 144A, Senior Secured Notes (Callable 05/15/19 @ | ||||
| 103.13) 1 | (B+, Ba3) | 05/15/24 | 6.250 | $ 1,158,000 | |
| 10,382,368 | |||||
| Chemicals (4.3%) | |||||
| 1,225 | A Schulman, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/18 @ | ||||
| 105.16) 1 | (B+, B3) | 06/01/23 | 6.875 | 1,160,687 | |
| 150 | Axiall Corp., Global Company Guaranteed Notes (Callable 05/15/18 @ 102.44) | (BB, Ba3) | 05/15/23 | 4.875 | 126,563 |
| 600 | Blue Cube Spinco, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/15/20 @ 105.00) 1 | (BB+, Ba1) | 10/15/25 | 10.000 | 623,250 |
| 500 | Chemtura Corp., Company Guaranteed Notes (Callable 07/15/16 @ 104.31) | (BB-, B1) | 07/15/21 | 5.750 | 496,250 |
| 1,450 | GrafTech International Ltd., Global Company Guaranteed Notes (Callable 11/15/16 @ 103.19) | (B+, B1) | 11/15/20 | 6.375 | 1,022,250 |
| 750 | Ineos Group Holdings S.A., Rule 144A, Company Guaranteed Notes (Callable 02/15/16 @ 102.94) 1,2 | (B-, B3) | 02/15/19 | 5.875 | 700,312 |
| 350 | Ineos Group Holdings S.A., Rule 144A, Company Guaranteed Notes (Callable 11/02/15 @ 103.06) 1,2 | (B-, B3) | 08/15/18 | 6.125 | 331,188 |
| 1,360 | OMNOVA Solutions, Inc., Global Company Guaranteed Notes (Callable 11/02/15 @ 101.97) | (B-, B2) | 11/01/18 | 7.875 | 1,351,500 |
| 276 | Reichhold Industries, Inc., Rule 144A, Senior Secured Notes (Callable 11/02/15 @ 100.00) 1,3 | (NR, NR) | 05/08/17 | 9.000 | 116,037 |
| 1,100 | The Chemours Co., Rule 144A, Senior Unsecured Notes (Callable 05/15/20 @ | ||||
| 103.50) 1,2 | (BB-, B1) | 05/15/25 | 7.000 | 726,000 | |
| 475 | Tronox Finance LLC, Global Company Guaranteed Notes (Callable 11/02/15 @ 104.78) | (B+, B3) | 08/15/20 | 6.375 | 304,000 |
| 600 | Univar U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/18 @ | ||||
| 103.38) 1,2 | (B, Caa1) | 07/15/23 | 6.750 | 558,000 | |
| 7,516,037 | |||||
| Consumer/Commercial/Lease Financing (1.0%) | |||||
| 2,000 | Infinity Acquisition Finance Corp., Rule 144A, Senior Secured Notes (Callable 08/01/17 @ 103.63) 1 | (CCC+, Caa2) | 08/01/22 | 7.250 | 1,800,000 |
| Electric - Generation (0.7%) | |||||
| 1,250 | Dynegy, Inc., Global Company Guaranteed Notes (Callable 11/01/19 @ 103.81) | (B+, B3) | 11/01/24 | 7.625 | 1,268,750 |
| Energy - Exploration & Production (4.7%) | |||||
| 2,230 | Bonanza Creek Energy, Inc., Global Company Guaranteed Notes (Callable 04/15/17 @ 103.38) 2 | (CCC+, B3) | 04/15/21 | 6.750 | 1,566,575 |
| 1,200 | Comstock Resources, Inc., Company Guaranteed Notes (Callable 11/02/15 @ | ||||
| 103.88) 2 | (CCC, Caa2) | 04/01/19 | 7.750 | 306,000 | |
| 900 | Det Norske Oljeselskap ASA, Rule 144A, Subordinated Notes (Callable 05/27/19 @ 105.13) 1 | (NR, NR) | 05/27/22 | 10.250 | 760,500 |
| 1,975 | EPL Oil & Gas, Inc., Global Company Guaranteed Notes (Callable 11/02/15 @ | ||||
| 104.13) 2 | (CCC+, Caa3) | 02/15/18 | 8.250 | 493,750 | |
| 958 | Harkand Finance, Inc., 7.800% Cash, 0.600% PIK, Reg S, Rule 144A, Senior Secured Notes (Callable 03/28/16 @ 104.50) 1,4,5 | (NR, NR) | 03/28/19 | 8.400 | 651,313 |
| 475 | Oasis Petroleum, Inc., Company Guaranteed Notes (Callable 11/01/16 @ 103.25) | (B+, B2) | 11/01/21 | 6.500 | 377,625 |
| 895 | Oasis Petroleum, Inc., Global Company Guaranteed Notes (Callable 09/15/17 @ | ||||
| 103.44) 2 | (B+, B2) | 03/15/22 | 6.875 | 713,583 | |
| 1,510 | PDC Energy, Inc., Global Company Guaranteed Notes (Callable 10/15/17 @ 103.88) | (B+, B2) | 10/15/22 | 7.750 | 1,510,000 |
| 1,500 | Stone Energy Corp., Global Company Guaranteed Notes (Callable 11/15/17 @ 103.75) | (B-, B3) | 11/15/22 | 7.500 | 937,500 |
| 1,124 | W&T Offshore, Inc., Global Company Guaranteed Notes (Callable 11/02/15 @ | ||||
| 104.25) 2 | (CCC+, Caa1) | 06/15/19 | 8.500 | 505,800 | |
| 650 | Whiting Petroleum Corp., Company Guaranteed Notes (Callable 12/15/20 @ 100.00) | (BB, Ba2) | 03/15/21 | 5.750 | 565,825 |
| 8,388,471 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Food & Drug Retailers (0.5%) | |||||
| $ 850 | Rite Aid Corp., Rule 144A, Company Guaranteed Notes (Callable 04/01/18 @ | ||||
| 104.59) 1 | (CCC+, B3) | 04/01/23 | 6.125 | $ 846,813 | |
| Food - Wholesale (0.6%) | |||||
| 1,000 | Dole Food Co., Inc., Rule 144A, Senior Secured Notes (Callable 11/02/15 @ | ||||
| 103.63) 1 | (CCC+, B3) | 05/01/19 | 7.250 | 1,000,000 | |
| Forestry & Paper (0.2%) | |||||
| 300 | Berry Plastics Escrow Corp., Rule 144A, Secured Notes (Callable 10/15/18 @ | ||||
| 103.00) 1 | (B, B3) | 10/15/22 | 6.000 | 302,250 | |
| 1,000 | Stone & Webster, Inc. 3,6,7 | (NR, NR) | 10/23/19 | 0.000 | 2,000 |
| 304,250 | |||||
| Gaming (0.8%) | |||||
| 580 | Choctaw Resort Development Enterprise, Rule 144A, Senior Unsecured Notes (Callable 08/31/15 @ 100.00) 1 | (B-, Caa1) | 11/15/19 | 7.250 | 574,200 |
| 750 | Safari Holding Verwaltungs GmbH, Rule 144A, Senior Secured Notes (Callable 02/15/17 @ 104.13) 1,8 | (B, B2) | 02/15/21 | 8.250 | 865,451 |
| 1,439,651 | |||||
| Gas Distribution (2.5%) | |||||
| 1,500 | Energy Transfer Equity LP, Senior Secured Notes | (BB, Ba2) | 10/15/20 | 7.500 | 1,500,000 |
| 750 | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 06/15/19 @ 102.81) | (B+, B1) | 06/15/24 | 5.625 | 648,750 |
| 350 | Genesis Energy Finance Corp., Global Company Guaranteed Notes (Callable 02/15/17 @ 102.88) | (B+, B1) | 02/15/21 | 5.750 | 320,250 |
| 2,000 | Holly Energy Finance Corp., Global Company Guaranteed Notes (Callable 03/01/16 @ 103.25) | (BB, B1) | 03/01/20 | 6.500 | 1,910,000 |
| 4,379,000 | |||||
| Health Facilities (1.8%) | |||||
| 1,725 | Covenant Surgical Partners, Inc., Rule 144A, Senior Secured Notes (Callable 08/01/16 @ 106.56) 1 | (B-, B3) | 08/01/19 | 8.750 | 1,737,937 |
| 1,000 | Tenet Healthcare Corp., Global Senior Unsecured Notes | (CCC+, B3) | 04/01/22 | 8.125 | 1,065,400 |
| 300 | Tenet Healthcare Corp., Global Senior Unsecured Notes 2 | (CCC+, B3) | 06/15/23 | 6.750 | 299,250 |
| 3,102,587 | |||||
| Health Services (0.7%) | |||||
| 900 | Emdeon, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/17 @ | ||||
| 104.50) 1 | (CCC+, Caa1) | 02/15/21 | 6.000 | 871,875 | |
| 360 | ExamWorks Group, Inc., Company Guaranteed Notes (Callable 04/15/18 @ 104.22) | (B-, B3) | 04/15/23 | 5.625 | 366,300 |
| 1,238,175 | |||||
| Insurance Brokerage (1.2%) | |||||
| 775 | Hub Holdings Finance, Inc., 8.125% Cash, 8.875% PIK, Rule 144A, Senior Unsecured Notes (Callable 11/02/15 @ 102.00) 1,4 | (CCC+, Caa2) | 07/15/19 | 17.000 | 751,750 |
| 550 | HUB International Ltd., Rule 144A, Senior Unsecured Notes (Callable 10/01/16 @ 105.91) 1 | (CCC+, Caa1) | 10/01/21 | 7.875 | 526,625 |
| 900 | National Financial Partners Corp., Rule 144A, Senior Unsecured Notes (Callable 07/15/16 @ 106.75) 1 | (CCC+, Caa2) | 07/15/21 | 9.000 | 871,875 |
| 2,150,250 | |||||
| Investments & Misc. Financial Services (2.1%) | |||||
| 750 | Cabot Financial Luxembourg S.A., Rule 144A, Senior Secured Notes (Callable 10/30/15 @ 107.78) 1,9 | (B+, B2) | 10/01/19 | 10.375 | 1,225,090 |
| 1,450 | Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 04/01/16 @ | ||||
| 105.53) 1 | (B, B1) | 04/01/20 | 7.375 | 1,404,760 | |
| 400 | Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 04/15/17 @ | ||||
| 105.16) 1 | (B, B1) | 04/15/22 | 6.875 | 366,000 | |
| 750 | Rialto Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/15 @ | ||||
| 103.50) 1 | (B, B2) | 12/01/18 | 7.000 | 765,000 | |
| 3,760,850 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Media Content (1.5%) | |||||
| $ 1,000 | Nexstar Broadcasting, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/18 @ 103.06) 1 | (B+, B3) | 02/15/22 | 6.125 | $ 990,000 |
| 573 | Sinclair Television Group, Inc., Global Company Guaranteed Notes (Callable 10/01/17 @ 103.06) | (B+, B1) | 10/01/22 | 6.125 | 570,135 |
| 1,000 | Sinclair Television Group, Inc., Global Company Guaranteed Notes (Callable 11/01/16 @ 104.78) | (B+, B1) | 11/01/21 | 6.375 | 1,010,000 |
| 2,570,135 | |||||
| Medical Products (0.5%) | |||||
| 875 | Sterigenics-Nordion Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 05/15/18 @ 104.88) 1 | (CCC+, Caa1) | 05/15/23 | 6.500 | 870,625 |
| Metals & Mining - Excluding Steel (2.8%) | |||||
| 1,350 | Boart Longyear Management Pty. Ltd., Rule 144A, Company Guaranteed Notes (Callable 04/01/16 @ 103.50) 1,2 | (CCC+, Caa2) | 04/01/21 | 7.000 | 587,250 |
| 230 | Boart Longyear Management Pty. Ltd., Rule 144A, Senior Secured Notes 1 | (B, B3) | 10/01/18 | 10.000 | 201,825 |
| 1,050 | Eldorado Gold Corp., Rule 144A, Senior Unsecured Notes (Callable 12/15/16 @ | ||||
| 103.06) 1 | (BB, Ba3) | 12/15/20 | 6.125 | 924,000 | |
| 1,400 | Global Brass & Copper, Inc., Global Senior Secured Notes (Callable 06/01/16 @ 104.75) | (B+, B3) | 06/01/19 | 9.500 | 1,520,750 |
| 1,370 | Noranda Aluminum Acquisition Corp., Global Company Guaranteed Notes (Callable 03/01/16 @ 105.50) | (CCC, Caa3) | 06/01/19 | 11.000 | 424,700 |
| 1,900 | Taseko Mines Ltd., Company Guaranteed Notes (Callable 11/02/15 @ 103.88) | (B-, B3) | 04/15/19 | 7.750 | 1,054,500 |
| 1,500 | Xinergy Corp., Rule 144A, Senior Secured Notes (Callable 11/02/15 @ | ||||
| 104.63) 1,10 | (NR, NR) | 05/15/19 | 9.250 | 307,500 | |
| 5,020,525 | |||||
| Oil Field Equipment & Services (3.7%) | |||||
| 1,900 | Calfrac Holdings LP, Rule 144A, Company Guaranteed Notes (Callable 12/01/15 @ | ||||
| 103.75) 1,2 | (BB-, Caa1) | 12/01/20 | 7.500 | 1,197,000 | |
| 1,825 | FTS International, Inc., Global Senior Secured Notes (Callable 05/01/17 @ 104.69) | (CCC+, Caa2) | 05/01/22 | 6.250 | 574,875 |
| 600 | Pacific Drilling V Ltd., Rule 144A, Senior Secured Notes (Callable 12/01/15 @ | ||||
| 103.63) 1,2 | (B+, Caa1) | 12/01/17 | 7.250 | 411,000 | |
| 950 | Parker Drilling Co., Global Company Guaranteed Notes (Callable 01/15/18 @ 103.38) | (B+, B2) | 07/15/22 | 6.750 | 745,750 |
| 1,150 | Pioneer Energy Services Corp., Global Company Guaranteed Notes (Callable 03/15/17 @ 104.59) | (B+, B3) | 03/15/22 | 6.125 | 655,500 |
| 1,500 | Shelf Drilling Holdings Ltd., Rule 144A, Secured Notes (Callable 11/02/15 @ | ||||
| 104.31) 1,2 | (B+, Ba3) | 11/01/18 | 8.625 | 1,177,500 | |
| 1,600 | Sidewinder Drilling, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/16 @ 104.88) 1 | (CCC+, Ca) | 11/15/19 | 9.750 | 904,000 |
| 1,000 | Trinidad Drilling Ltd., Rule 144A, Company Guaranteed Notes (Callable 11/02/15 @ 103.94) 1 | (BB, B1) | 01/15/19 | 7.875 | 940,000 |
| 6,605,625 | |||||
| Oil Refining & Marketing (3.2%) | |||||
| 500 | CITGO Petroleum Corp., Rule 144A, Senior Secured Notes (Callable 08/15/17 @ | ||||
| 104.69) 1 | (B+, B3) | 08/15/22 | 6.250 | 480,000 | |
| 2,000 | Coffeyville Finance, Inc., Global Company Guaranteed Notes (Callable 11/01/17 @ 103.25) | (BB-, B1) | 11/01/22 | 6.500 | 1,948,000 |
| 975 | Northern Tier Finance Corp., Global Senior Secured Notes (Callable 11/15/15 @ 105.34) | (BB-, B1) | 11/15/20 | 7.125 | 979,875 |
| 1,850 | PBF Finance Corp., Global Senior Secured Notes (Callable 02/15/16 @ | ||||
| 104.13) 2 | (BB+, Ba3) | 02/15/20 | 8.250 | 1,901,800 | |
| 300 | Western Refining, Inc., Global Company Guaranteed Notes (Callable 04/01/17 @ 103.13) | (B+, B3) | 04/01/21 | 6.250 | 292,500 |
| 5,602,175 | |||||
| Packaging (1.9%) | |||||
| 500 | Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 01/31/17 @ 103.38) 1,2 | (CCC+, Caa1) | 01/31/21 | 6.750 | 503,750 |
| 88 | Ardagh Holdings U.S.A., Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/16 @ 103.50) 1 | (NR, Caa1) | 11/15/20 | 7.000 | 88,676 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Packaging | |||||
| $ 300 | Ardagh Packaging Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 10/30/15 @ 104.63) 1,8 | (CCC+, Caa1) | 10/15/20 | 9.250 | $ 350,907 |
| 1,850 | Reynolds Group Issuer LLC, Global Company Guaranteed Notes (Callable 02/15/16 @ 104.13) | (CCC+, Caa2) | 02/15/21 | 8.250 | 1,854,625 |
| 450 | SIG Combibloc Holdings S.C.A., Rule 144A, Senior Unsecured Notes (Callable 02/15/18 @ 103.88) 1,8 | (B-, Caa1) | 02/15/23 | 7.750 | 516,126 |
| 3,314,084 | |||||
| Personal & Household Products (0.9%) | |||||
| 1,125 | NBTY, Inc., Global Company Guaranteed Notes (Callable 11/02/15 @ 102.25) | (B-, B3) | 10/01/18 | 9.000 | 1,153,125 |
| 400 | Prestige Brands, Inc., Global Company Guaranteed Notes (Callable 02/01/16 @ 104.06) | (B-, Caa1) | 02/01/20 | 8.125 | 421,000 |
| 1,574,125 | |||||
| Pharmaceuticals (1.8%) | |||||
| 800 | AMAG Pharmaceuticals, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/18 @ 105.91) 1 | (B+, B3) | 09/01/23 | 7.875 | 770,000 |
| 800 | Capsugel S.A., 7.000 Cash%, 7.750% PIK, Rule 144A, Senior Unsecured Notes (Callable 10/16/15 @ 102.00) 1,4 | (B-, Caa1) | 05/15/19 | 14.750 | 801,500 |
| 600 | Endo Ltd., Rule 144A, Company Guaranteed Notes (Callable 07/15/18 @ | ||||
| 104.50) 1 | (B, B1) | 07/15/23 | 6.000 | 594,000 | |
| 261 | inVentiv Health, Inc., 10.000% Cash, 12.000% PIK, Rule 144A, Company Guaranteed Notes (Callable 11/02/15 @ 105.00) 1,4 | (CCC, Caa2) | 08/15/18 | 22.000 | 260,023 |
| 168 | inVentiv Health, Inc., Global Senior Unsecured Notes (Callable 08/15/16 @ 100.00) | (CCC, Caa3) | 08/15/18 | 10.000 | 162,960 |
| 625 | Valeant Pharmaceuticals International, Rule 144A, Company Guaranteed Notes (Callable 10/15/16 @ 103.19) 1 | (B, B1) | 10/15/20 | 6.375 | 623,047 |
| 3,211,530 | |||||
| Printing & Publishing (1.0%) | |||||
| 1,790 | Harland Clarke Holdings Corp., Rule 144A, Senior Secured Notes (Callable 11/02/15 @ 104.88) 1 | (B+, B1) | 08/01/18 | 9.750 | 1,845,938 |
| Property & Casualty Insurance (0.5%) | |||||
| 1,000 | York Risk Services Holding Corp., Rule 144A, Company Guaranteed Notes (Callable 10/01/17 @ 106.38) 1 | (CCC+, Caa2) | 10/01/22 | 8.500 | 853,750 |
| Real Estate Development & Management (0.3%) | |||||
| 500 | DuPont Fabros Technology LP, Company Guaranteed Notes (Callable 06/15/18 @ 104.22) | (BB, Ba1) | 06/15/23 | 5.625 | 503,750 |
| Real Estate Investment Trusts (2.1%) | |||||
| 1,398 | iStar, Inc., Senior Unsecured Notes (Callable 07/01/16 @ 102.50) | (B+, B2) | 07/01/19 | 5.000 | 1,333,343 |
| 500 | MPT Finance Corp., Company Guaranteed Notes (Callable 02/15/17 @ 103.19) | (BBB-, Ba1) | 02/15/22 | 6.375 | 524,375 |
| 1,175 | QTS Finance Corp., Global Company Guaranteed Notes (Callable 08/01/17 @ 104.41) | (BB-, B2) | 08/01/22 | 5.875 | 1,179,406 |
| 575 | The Geo Group, Inc., Global Company Guaranteed Notes (Callable 02/15/16 @ 103.31) | (BB-, Ba3) | 02/15/21 | 6.625 | 600,875 |
| 3,637,999 | |||||
| Recreation & Travel (0.1%) | |||||
| 250 | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/16 @ 103.94) 1 | (BB-, B3) | 01/15/21 | 5.250 | 251,250 |
| Software - Services (5.6%) | |||||
| 1,185 | Audatex North America, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/18 @ 103.06) 1 | (BB-, B1) | 11/01/23 | 6.125 | 1,195,369 |
| 1,523 | MedAssets, Inc., Global Company Guaranteed Notes (Callable 11/02/15 @ 104.00) | (B, B3) | 11/15/18 | 8.000 | 1,557,267 |
| 1,000 | NeuStar, Inc., Global Company Guaranteed Notes (Callable 01/15/18 @ | ||||
| 102.25) 2 | (B+, B2) | 01/15/23 | 4.500 | 845,000 | |
| 900 | Optimas OE Solutions, Inc., Rule 144A, Senior Secured Notes (Callable 06/01/18 @ | ||||
| 104.31) 1 | (B-, B3) | 06/01/21 | 8.625 | 875,250 | |
| 1,050 | Sophia Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/02/15 @ 107.31) 1 | (CCC+, Caa1) | 01/15/19 | 9.750 | 1,129,538 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Software - Services | |||||
| $ 695 | Sophia Holding Finance, Inc., PIK, Rule 144A, Company Guaranteed Notes (Callable 10/12/15 @ 102.00) 1,4 | (CCC+, Caa2) | 12/01/18 | 9.625 | $ 711,506 |
| 1,450 | SS&C Technologies Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/18 @ 104.41) 1 | (B+, B3) | 07/15/23 | 5.875 | 1,479,000 |
| 975 | Sungard Availability Services Capital, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/19 @ 104.38) 1,2 | (CCC+, Caa1) | 04/01/22 | 8.750 | 589,875 |
| 1,698 | Syniverse Holdings, Inc., Global Company Guaranteed Notes (Callable 11/02/15 @ 104.56) | (CCC+, Caa1) | 01/15/19 | 9.125 | 1,451,790 |
| 9,834,595 | |||||
| Specialty Retail (0.8%) | |||||
| 750 | Beverages & More, Inc., Rule 144A, Senior Secured Notes (Callable 11/15/15 @ | ||||
| 105.00) 1 | (B-, Caa1) | 11/15/18 | 10.000 | 722,813 | |
| 500 | Caleres, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/18 @ | ||||
| 104.69) 1 | (BB, B1) | 08/15/23 | 6.250 | 503,750 | |
| 150 | IT Holding Finance S.A., Company Guaranteed Notes 3,6,8,10 | (NR, NR) | 11/15/25 | 9.875 | 1,319 |
| 200 | Takko Luxembourg 2 S.C.A., Rule 144A, Senior Secured Notes (Callable 04/15/16 @ | ||||
| 104.94) 1,8 | (CCC, Caa1) | 04/15/19 | 9.875 | 138,415 | |
| 1,366,297 | |||||
| Steel Producers/Products (0.5%) | |||||
| 1,200 | JMC Steel Group, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/02/15 @ | ||||
| 104.13) 1 | (B-, Caa1) | 03/15/18 | 8.250 | 822,000 | |
| Support - Services (4.2%) | |||||
| 250 | Brand Energy & Infrastructure Services, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/01/16 @ 106.38) 1 | (CCC+, Caa1) | 12/01/21 | 8.500 | 224,375 |
| 1,075 | CoreLogic, Inc., Global Company Guaranteed Notes (Callable 06/01/16 @ 103.63) | (B+, Ba3) | 06/01/21 | 7.250 | 1,128,750 |
| 750 | Garda World Security Corp., Rule 144A, Company Guaranteed Notes (Callable 11/15/16 @ 105.44) 1 | (CCC+, Caa1) | 11/15/21 | 7.250 | 688,125 |
| 1,731 | H&E Equipment Services, Inc., Global Company Guaranteed Notes (Callable 09/01/17 @ 103.50) 2 | (BB-, B3) | 09/01/22 | 7.000 | 1,687,725 |
| 800 | Light Tower Rentals, Inc., Rule 144A, Senior Secured Notes (Callable 08/01/16 @ | ||||
| 106.09) 1,2 | (B, B2) | 08/01/19 | 8.125 | 552,000 | |
| 1,000 | NCSG Crane & Heavy Haul Services, Inc., Rule 144A, Secured Notes (Callable 08/15/17 @ 109.50) 1 | (B-, Caa2) | 08/15/19 | 9.500 | 585,000 |
| 600 | Outerwall, Inc., Global Company Guaranteed Notes (Callable 06/15/17 @ 104.41) | (BB-, Ba3) | 06/15/21 | 5.875 | 564,750 |
| 950 | Safway Finance Corp., Rule 144A, Secured Notes (Callable 11/02/15 @ | ||||
| 103.50) 1 | (B+, B3) | 05/15/18 | 7.000 | 977,312 | |
| 915 | United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 05/15/16 @ 103.69) | (BB-, B1) | 05/15/20 | 7.375 | 965,325 |
| 7,373,362 | |||||
| Tech Hardware & Equipment (4.3%) | |||||
| 500 | Anixter, Inc., Global Company Guaranteed Notes | (BB, Ba3) | 05/01/19 | 5.625 | 526,250 |
| 900 | Anixter, Inc., Rule 144A, Company Guaranteed Notes 1 | (BB, Ba3) | 03/01/23 | 5.500 | 888,750 |
| 700 | Avaya, Inc., Rule 144A, Senior Secured Notes (Callable 11/02/15 @ | ||||
| 103.50) 1 | (B, B1) | 04/01/19 | 7.000 | 558,250 | |
| 750 | Avaya, Inc., Rule 144A, Senior Secured Notes (Callable 11/02/15 @ | ||||
| 104.50) 1 | (B, B1) | 04/01/19 | 9.000 | 626,250 | |
| 1,550 | Belden, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/17 @ | ||||
| 102.75) 1 | (B+, Ba3) | 09/01/22 | 5.500 | 1,507,375 | |
| 1,700 | Brightstar Corp., Rule 144A, Company Guaranteed Notes (Callable 11/02/15 @ | ||||
| 104.75) 1 | (BB+, Ba1) | 12/01/16 | 9.500 | 1,717,000 | |
| 875 | CommScope Technologies Finance LLC, Rule 144A, Senior Secured Notes (Callable 06/15/20 @ 103.00) 1 | (B, B2) | 06/15/25 | 6.000 | 841,645 |
| 1,000 | Dell, Inc., Global Senior Unsecured Notes | (BB+, Ba3) | 04/15/38 | 6.500 | 886,900 |
| 7,552,420 | |||||
| Telecom - Satellite (1.4%) | |||||
| 482 | Hughes Satellite Systems Corp., Global Company Guaranteed Notes | (BB-, B3) | 06/15/21 | 7.625 | 518,150 |
| 750 | Intelsat Jackson Holdings S.A., Global Company Guaranteed Notes (Callable 04/01/16 @ 103.75) | (B+, B3) | 04/01/21 | 7.500 | 694,687 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Telecom - Satellite | |||||
| $ 600 | Intelsat Jackson Holdings S.A., Global Company Guaranteed Notes (Callable 08/31/15 @ 103.63) | (B+, B3) | 04/01/19 | 7.250 | $ 564,750 |
| 250 | Intelsat Luxembourg S.A., Global Company Guaranteed Notes (Callable 06/01/16 @ 101.69) 2 | (CCC+, Caa2) | 06/01/18 | 6.750 | 214,063 |
| 800 | Intelsat Luxembourg S.A., Global Company Guaranteed Notes (Callable 06/01/17 @ 103.88) | (CCC+, Caa2) | 06/01/21 | 7.750 | 531,000 |
| 2,522,650 | |||||
| Telecom - Wireless (1.5%) | |||||
| 225 | Sprint Corp., Global Company Guaranteed Notes | (B+, Caa1) | 09/15/23 | 7.875 | 182,672 |
| 650 | Sprint Corp., Global Company Guaranteed Notes | (B+, Caa1) | 06/15/24 | 7.125 | 501,865 |
| 700 | Sprint Corp., Global Company Guaranteed Notes (Callable 11/15/24 @ 100.00) | (B+, Caa1) | 02/15/25 | 7.625 | 543,813 |
| 1,575 | T-Mobile U.S.A., Inc., Global Company Guaranteed Notes (Callable 09/01/19 @ 103.19) | (BB, Ba3) | 03/01/25 | 6.375 | 1,515,937 |
| 2,744,287 | |||||
| Telecom - Wireline Integrated & Services (0.7%) | |||||
| 1,200 | Frontier Communications Corp., Rule 144A, Senior Unsecured Notes (Callable 06/15/25 @ 100.00) 1 | (BB-, Ba3) | 09/15/25 | 11.000 | 1,164,000 |
| 350 | Hellas Telecommunications Luxembourg II S.C.A., Rule 144A, Subordinated | ||||
| Notes 1,3,6,7,10 | (NR, NR) | 01/15/15 | 0.000 | | |
| 1,164,000 | |||||
| Theaters & Entertainment (1.9%) | |||||
| 775 | AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 02/15/17 @ 104.41) | (B, B2) | 02/15/22 | 5.875 | 782,750 |
| 650 | Carmike Cinemas, Inc., Rule 144A, Secured Notes (Callable 06/15/18 @ | ||||
| 104.50) 1 | (BB, B1) | 06/15/23 | 6.000 | 658,125 | |
| 1,815 | National CineMedia LLC, Global Senior Unsecured Notes (Callable 07/15/16 @ 103.94) | (B, B2) | 07/15/21 | 7.875 | 1,878,525 |
| 3,319,400 | |||||
| Transport Infrastructure/Services (0.3%) | |||||
| 400 | Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes (Callable 01/15/17 @ 105.53) 1 | (BB-, B1) | 01/15/22 | 7.375 | 323,500 |
| 375 | Teekay Offshore Finance Corp., Global Senior Unsecured Notes | (NR, NR) | 07/30/19 | 6.000 | 281,250 |
| 604,750 | |||||
| TOTAL CORPORATE BONDS (Cost $156,904,146) | 137,111,605 | ||||
| BANK LOANS (12.7%) | |||||
| Auto Parts & Equipment (0.8%) | |||||
| 750 | Jason, Inc. 11 | (CCC+, Caa1) | 06/30/22 | 9.000 | 688,751 |
| 770 | U.S. Farathane LLC 11 | (B+, B2) | 12/23/21 | 6.750 | 774,805 |
| 1,463,556 | |||||
| Building Materials (0.6%) | |||||
| 1,118 | Panolam Industries International, Inc. 11 | (BB-, B2) | 08/23/17 | 7.761 | 1,106,630 |
| Chemicals (2.1%) | |||||
| 1,750 | AZ Chem U.S., Inc. 11 | (B-, B1) | 06/12/22 | 7.500 | 1,765,312 |
| 1,970 | Ravago Holdings America, Inc. 11 | (BB+, B2) | 12/20/20 | 5.500 | 1,975,329 |
| 3,740,641 | |||||
| Diversified Capital Goods (0.5%) | |||||
| 930 | Dynacast International LLC 11 | (B-, Caa1) | 01/30/23 | 9.500 | 928,549 |
| Electronics (0.6%) | |||||
| 1,046 | FIDJI Luxembourg (BC4) Sarl 11 | (BB-, B1) | 12/24/20 | 6.250 | 1,046,250 |
| Food - Wholesale (0.3%) | |||||
| 500 | Del Monte Foods, Inc. 11 | (CCC+, Caa1) | 08/18/21 | 8.250 | 447,500 |
| Gaming (0.4%) | |||||
| 750 | CBAC Borrower LLC 11 | (B-, B3) | 07/02/20 | 8.250 | 708,750 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| BANK LOANS | |||||
| Health Services (0.4%) | |||||
| $ 750 | Phillips-Medisize Corp. 11 | (CCC+, Caa2) | 06/16/22 | 8.250 | $ 746,719 |
| Investments & Misc. Financial Services (1.4%) | |||||
| 1,000 | Ascensus, Inc. 11 | (CCC+, Caa1) | 12/02/20 | 9.000 | 1,000,625 |
| 469 | Liquidnet Holdings, Inc. 11 | (B, B3) | 05/22/19 | 7.750 | 454,687 |
| 1,000 | Mergermarket U.S.A., Inc. 11 | (CCC+, Caa2) | 02/04/22 | 7.500 | 924,375 |
| 2,379,687 | |||||
| Machinery (0.7%) | |||||
| 1,250 | CPM Holdings, Inc. 11 | (B, Caa1) | 04/10/23 | 10.250 | 1,256,250 |
| Media Content (0.3%) | |||||
| 500 | DLG Acquisitions Ltd. 8,11 | (B-, Caa2) | 06/30/22 | 8.250 | 550,802 |
| Oil Field Equipment & Services (0.4%) | |||||
| 1,000 | Shelf Drilling Holdings Ltd. 11 | (B+, B1) | 10/08/18 | 10.000 | 627,500 |
| Recreation & Travel (1.1%) | |||||
| 983 | Abercrombie & Kent U.S. Group Holdings, Inc. 6,11 | (NR, NR) | 12/09/18 | 5.000 | 918,638 |
| 1,000 | Legendary Pictures Funding LLC 11 | (NR, NR) | 04/17/20 | 7.000 | 995,000 |
| 1,913,638 | |||||
| Software - Services (1.1%) | |||||
| 1,000 | Deltek, Inc. 11 | (CCC+, Caa2) | 06/17/23 | 9.500 | 1,003,125 |
| 985 | Intralinks, Inc. 6,11 | (BB, B2) | 02/21/19 | 7.250 | 977,613 |
| 1,980,738 | |||||
| Specialty Retail (0.8%) | |||||
| 1,500 | BJs Wholesale Club, Inc. 11 | (CCC, Caa2) | 03/26/20 | 8.500 | 1,489,380 |
| Telecom - Wireline Integrated & Services (0.6%) | |||||
| 1,000 | Omnitracs, Inc. 11 | (CCC+, Caa1) | 05/25/21 | 8.750 | 974,375 |
| Theaters & Entertainment (0.2%) | |||||
| 1,000 | CKX, Inc. 11 | (CCC-, Caa2) | 06/21/17 | 11.000 | 428,330 |
| Transport Infrastructure/Services (0.4%) | |||||
| 680 | PODS LLC 11 | (CCC+, Caa1) | 02/02/23 | 9.250 | 686,800 |
| TOTAL BANK LOANS (Cost $23,561,368) | 22,476,095 | ||||
| ASSET BACKED SECURITIES (7.4%) | |||||
| Collateralized Debt Obligations (7.4%) | |||||
| 1,000 | Carlyle Global Market Strategies CLO Ltd., 2012-4A, Rule 144A 1,7 | (NR, NR) | 01/20/25 | 0.000 | 825,805 |
| 2,000 | CIFC Funding Ltd., 2012-2A, Rule 144A 1,11 | (BB-, NR) | 12/05/24 | 6.082 | 1,999,203 |
| 1,250 | Eaton Vance CLO Ltd., 2014-1A, Rule 144A 1,11 | (NR, Ba3) | 07/15/26 | 5.306 | 1,088,801 |
| 1,000 | ECP CLO Ltd., 2013-5A, Rule 144A 1,11 | (BB, NR) | 01/20/25 | 4.487 | 830,713 |
| 1,000 | Galaxy XIV CLO Ltd., 2012-14A, Rule 144A 1,11 | (BB, NR) | 11/15/24 | 5.721 | 927,374 |
| 1,000 | ING Investment Management CLO Ltd., 2012-1RA, Rule 144A 1,11 | (B, NR) | 03/14/22 | 6.836 | 974,040 |
| 1,000 | Jamestown CLO III Ltd., 2013-3A, Rule 144A 1,11 | (BB-, NR) | 01/15/26 | 4.774 | 845,654 |
| 1,000 | JFIN CLO Ltd., 2013-1A, Rule 144A 1,11 | (BB, NR) | 01/20/25 | 5.037 | 847,054 |
| 1,500 | Ocean Trails CLO IV, 2013-4A, Rule 144A 1,11 | (B, NR) | 08/13/25 | 6.214 | 1,225,786 |
| 1,000 | Shackleton I CLO Ltd., 2012-1A, Rule 144A 1,11 | (BB, NR) | 08/14/23 | 6.514 | 931,404 |
| 700 | Stewart Park CLO Ltd., 2015-1A, Rule 144A 1,7 | (NR, NR) | 04/15/26 | 0.000 | 661,900 |
| 1,325 | Venture XVII CLO Ltd., 2014-17A, Rule 144A 1,11 | (NR, Ba2) | 07/15/26 | 5.289 | 1,147,954 |
| 1,000 | WhiteHorse VIII Ltd., 2014-1A, Rule 144A 1,11 | (NR, Ba3) | 05/01/26 | 4.739 | 813,309 |
| TOTAL ASSET BACKED SECURITIES (Cost $13,887,600) | 13,118,997 | ||||
| Number of Shares | |||||
| COMMON STOCKS (0.0%) | |||||
| Building Materials (0.0%) | |||||
| 372 | Dayton Superior Corp. 3,6,12 | | |||
| Gaming (0.0%) | |||||
| 36,250 | Majestic Holdco LLC 6,12 | 6,797 |
| Number of Shares | |||||
|---|---|---|---|---|---|
| COMMON STOCKS | |||||
| Gaming | |||||
| 1,500 | Progressive Gaming International Corp. 6,12 | $ | 5 | ||
| 6,802 | |||||
| Media Content (0.0%) | |||||
| 26,986 | Cumulus Media, Inc., Class A 2,12 | 18,993 | |||
| TOTAL COMMON STOCKS (Cost $323,430) | 25,795 | ||||
| PREFERRED STOCK (0.0%) | |||||
| Building Materials (0.0%) | |||||
| 413 | Dayton Superior Corp. 3,6,12 (Cost $156,000) | | |||
| SHORT-TERM INVESTMENTS (8.9%) | |||||
| 14,131,214 | State Street Navigator Prime Portfolio, 0.20% 13 | 14,131,214 | |||
| Par (000) | Maturity | Rate% | |||
| $ 1,518 | State Street Bank and Trust Co. Euro Time Deposit | 10/01/15 | 0.010 | 1,517,796 | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $15,649,010) | 15,649,010 | ||||
| TOTAL INVESTMENTS AT VALUE (106.7%) (Cost $210,481,554) | 188,381,502 | ||||
| LIABILITIES IN EXCESS OF OTHER ASSETS (-6.7%) | (11,831,533 | ) | |||
| NET ASSETS (100.0%) | $ | 176,549,969 |
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.
1 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, 2015, these securities amounted to a value of $85,977,527 or 48.7% of net assets.
2 Security or portion thereof is out on loan.
3 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.
4 PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal.
5 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.
6 Illiquid security.
7 Zero-coupon security.
8 This security is denominated in Euro.
9 This security is denominated in British Pound.
10 Bond is currently in default.
11 Variable rate obligations The interest rate is the rate as of September 30, 2015.
12 Non-income producing security.
13 Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at September 30, 2015.
Forward Foreign Currency Contracts
| Forward Foreign Currency to
be Purchased (Local) — EUR | 146,000 | Forward Foreign Currency to be Sold
(Local) — USD | 160,639 | Expiration Date — 10/15/15 | Counterparty — Morgan Stanley | Value on Settlement Date — $ 160,639 | $ | 163,004 | $ | 2,365 | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| GBP | 55,000 | USD | 85,666 | 10/15/15 | Morgan Stanley | 85,666 | | 83,306 | | (2,360 | ) |
| USD | 2,669,145 | EUR | 2,391,000 | 10/15/15 | Morgan Stanley | (2,669,145 | ) | (2,669,461 | ) | (316 | ) |
| USD | 1,403,492 | GBP | 914,500 | 10/15/15 | Morgan Stanley | (1,403,492 | ) | (1,385,147 | ) | 18,345 | |
| | | | | | | | | | $ | 18,034 | |
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. 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 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 each 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, 2015 in valuing the Funds assets and liabilities carried at fair value:
| Assets | Level 1 | Level 2 | Level 3 | |||
|---|---|---|---|---|---|---|
| Investments in Securities | ||||||
| Corporate Bonds | $ | $ 136,992,249 | $ 119,356 | $ | 137,111,605 | |
| Bank Loans | | 15,371,727 | 7,104,368 | 22,476,095 | ||
| Asset Backed Securities | | 13,118,997 | | 13,118,997 | ||
| Common Stocks | 18,998 | 6,797 | 0 | 1 | 25,795 | |
| Preferred Stocks | | | 0 | 1 | 0 | 1 |
| Short-term Investments | | 15,649,010 | | 15,649,010 | ||
| $ 18,998 | $ 181,138,780 | $ 7,223,724 | $ | 188,381,502 | ||
| Other Financial Instruments* | ||||||
| Forward Foreign Currency Contracts | $ | $ 20,710 | $ | $ | 20,710 | |
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||
| Other Financial Instruments* | ||||||
| Forward Foreign Currency Contracts | $ | $ 2,676 | $ | $ | 2,676 |
1 Included a zero valued security.
The following is a reconciliation of investments as of September 30, 2015 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, 2014 | Corporate Bonds — $ 3,769 | Bank Loans — $ 1,700,650 | $ | 209,052 | $ | 1,913,471 | ||
|---|---|---|---|---|---|---|---|---|
| Accrued discounts (premiums) | | 43,347 | | 43,347 | ||||
| Purchases | | 2,871,950 | | 2,871,950 | ||||
| Sales | (19 | ) | (7,500 | ) | (285,000 | ) | (292,519 | ) |
| Realized gain (loss) | | 287 | 285,000 | 285,287 | ||||
| Change in unrealized appreciation (depreciation) | (1,750 | ) | (323,716 | ) | (202,255 | ) | (527,721 | ) |
| Transfers into Level 3 | 117,356 | 3,247,680 | | 3,365,036 | ||||
| Transfers out of Level 3 | | (428,330 | ) | (6,797 | ) | (435,127 | ) | |
| Balance as of September 30, 2015 | $ 119,356 | $ 7,104,368 | $ | | $ | 7,223,724 | ||
| Net change in unrealized appreciation (depreciation) from investments still held as of September 30, 2015 | $ (1,750 | ) | $ 55,983 | $ | | $ | 54,233 |
Quantitative Disclosure About Significant Unobservable Inputs
| Asset Class | Fair Value at 09/30/2015 | Valuation Technique | Unobservable Input | Range |
|---|---|---|---|---|
| Corporate Bonds | $ 119,356 | Market Approach | Single Broker Quote | NA |
| Bank Loans | $ 7,104,368 | Market Approach | Single Broker Quote | NA |
Each fair value determination is based on a consideration of relevant factors, including both observable and unobservable inputs. Observable and unobservable inputs Credit Suisse Asset Management LLC, the Funds investment adviser (Credit Suisse or the Adviser) considers may include (i) the existence of any contractual restrictions on the disposition of securities; (ii) information obtained from the company, which may include an analysis of the companys financial statements, the companys products or intended markets or the companys technologies; (iii) the price of the same or similar security negotiated at arms length in an issuers completed subsequent round of financing; (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies; or (v) a probability and time value adjusted analysis of contractual term. Where available and appropriate, multiple valuation methodologies are applied to confirm fair value. Significant unobservable inputs identified by the Adviser are often used in the fair value determination. A significant change in any of these inputs may result in a significant change in the fair value measurement. Due to the uncertainty inherent in the valuation process, such estimates of fair value may differ significantly from the values that would have been used had a ready market for the investments existed, and differences could be material. Additionally, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different from the valuations used at the date of these financial statements.
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, 2015, there were no transfers in and out of Level 1 and Level 2, but there were
$3,365,036 transferred out from Level 2 to Level 3 due to lack of observable market data because of decrease in market activity and $435,127 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, 2015
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, 2015
/s/Rocco DelGuercio
Name: Rocco DelGuercio
Title: Chief Financial Officer and Treasurer
Date: November 13, 2015
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