Regulatory Filings • May 15, 2015
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Download Source FileN-Q 1 d921782dnq.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: January 1, 2015 to March 31, 2015
Item 1: Schedule of Investments
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments
March 31, 2015 (unaudited)
| Par (000) | Ratings (S&P/Moodys) | Value | ||||
|---|---|---|---|---|---|---|
| CORPORATE BONDS (78.0%) | ||||||
| Advertising (2.6%) | ||||||
| $ 425 | Clear Channel Worldwide Holdings, Inc., Global Company Guaranteed Notes (Callable 11/15/17 @ 103.25) | (B, B1) | 11/15/22 | 6.500 | $ 443,063 | |
| 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 | 1,559,812 | |
| 1,270 | Southern Graphics, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/15 @ 106.28) 1 | (CCC+, Caa1) | 10/15/20 | 8.375 | 1,292,225 | |
| 1,650 | WMG Acquisition Corp., Rule 144A, Senior Secured Notes (Callable 01/15/16 @ | |||||
| 104.50) 1 | (B+, B1) | 01/15/21 | 6.000 | 1,691,250 | ||
| 4,986,350 | ||||||
| Auto Parts & Equipment (1.8%) | ||||||
| 500 | Meritor, Inc., Company Guaranteed Notes (Callable 06/15/16 @ 105.06) | (B, B2) | 06/15/21 | 6.750 | 520,000 | |
| 1,150 | MPG Holdco I, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/17 @ | |||||
| 105.53) 1 | (B+, B3) | 10/15/22 | 7.375 | 1,234,812 | ||
| 1,750 | UCI International, Inc., Global Company Guaranteed Notes (Callable 05/01/15 @ 104.31) | (CCC, Caa2) | 02/15/19 | 8.625 | 1,592,500 | |
| 3,347,312 | ||||||
| Banking (0.8%) | ||||||
| 1,500 | CCRE Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/15 @ | |||||
| 105.81) 1 | (B+, B1) | 02/15/18 | 7.750 | 1,575,000 | ||
| | 4 | FCC Holdings Finance Subsidiary, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/01/15 @ 100.00) 1,2,3 | (CCC+, Ca) | 12/15/15 | 13.000 | 19 |
| 1,575,019 | ||||||
| Building & Construction (1.1%) | ||||||
| 1,000 | AV Homes, Inc., Rule 144A, Senior Unsecured Notes (Callable 07/01/16 @ | |||||
| 106.38) 1 | (B-, Caa1) | 07/01/19 | 8.500 | 953,750 | ||
| 500 | K Hovnanian Enterprises, Inc., Global Senior Secured Notes | (CCC+, Ba3) | 11/01/21 | 2.000 | 342,500 | |
| 700 | NCI Building Systems, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/18 @ 106.19) 1 | (B+, B3) | 01/15/23 | 8.250 | 743,750 | |
| 2,040,000 | ||||||
| Building Materials (2.3%) | ||||||
| 2,000 | Euramax International, Inc., Global Senior Secured Notes (Callable 05/01/15 @ | |||||
| 100.00) 5 | (CCC, Caa2) | 04/01/16 | 9.500 | 1,890,000 | ||
| 1,000 | Headwaters, Inc., Global Company Guaranteed Notes (Callable 01/15/16 @ 103.63) | (B-, Caa1) | 01/15/19 | 7.250 | 1,052,500 | |
| 1,288 | Interline Brands, Inc.,10.000% Cash,10.750% PIK, Global Senior Unsecured Notes (Callable 05/01/15 @ 105.00) 5,6 | (CCC+, Caa2) | 11/15/18 | 20.750 | 1,355,620 | |
| 4,298,120 | ||||||
| Cable & Satellite TV (4.8%) | ||||||
| 800 | Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 12/15/16 @ | |||||
| 104.88) 1 | (BB-, B1) | 01/15/22 | 6.500 | 823,000 | ||
| 400 | Altice S.A., Rule 144A, Company Guaranteed Notes (Callable 02/15/20 @ | |||||
| 103.81) 1 | (B, B3) | 02/15/25 | 7.625 | 402,750 | ||
| 925 | Altice S.A., Rule 144A, Company Guaranteed Notes (Callable 05/15/17 @ | |||||
| 105.81) 1 | (B, B3) | 05/15/22 | 7.750 | 942,922 | ||
| 1,750 | Block Communications, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/01/16 @ 103.63) 1 | (B+, B1) | 02/01/20 | 7.250 | 1,789,375 | |
| 600 | Cablevision Systems Corp., Senior Unsecured Notes 5 | (B, B1) | 04/15/20 | 8.000 | 681,000 | |
| 1,000 | DISH DBS Corp., Global Company Guaranteed Notes | (BB-, Ba3) | 06/01/21 | 6.750 | 1,067,500 | |
| 230 | DISH DBS Corp., Global Company Guaranteed Notes | (BB-, Ba3) | 11/15/24 | 5.875 | 230,862 | |
| 1,000 | Harron Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 04/01/16 @ | |||||
| 104.56) 1 | (BB-, B3) | 04/01/20 | 9.125 | 1,098,750 | ||
| 700 | Numericable-SFR SAS, Rule 144A, Senior Secured Notes (Callable 05/15/17 @ | |||||
| 104.50) 1 | (B+, Ba3) | 05/15/22 | 6.000 | 709,625 | ||
| 1,200 | Numericable-SFR SAS, Rule 144A, Senior Secured Notes (Callable 05/15/19 @ | |||||
| 103.13) 1,5 | (B+, Ba3) | 05/15/24 | 6.250 | 1,216,500 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Cable & Satellite TV | |||||
| $ 200 | Virgin Media Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 01/15/20 @ 102.88) 1 | (B, B2) | 01/15/25 | 5.750 | $ 208,060 |
| 9,170,344 | |||||
| Chemicals (4.5%) | |||||
| 150 | Axalta Coating Systems Dutch Holding B, Rule 144A, Company Guaranteed Notes (Callable 02/04/16 @ 105.53) 1 | (B-, Caa1) | 05/01/21 | 7.375 | 162,000 |
| 1,350 | Calcipar S.A., Rule 144A, Senior Secured Notes (Callable 05/01/15 @ | ||||
| 103.44) 1 | (BB, Ba3) | 05/01/18 | 6.875 | 1,373,625 | |
| 500 | Chemtura Corp., Company Guaranteed Notes (Callable 07/15/16 @ 104.31) | (BB-, B1) | 07/15/21 | 5.750 | 509,375 |
| 1,450 | GrafTech International Ltd., Global Company Guaranteed Notes (Callable 11/15/16 @ 103.19) | (BB-, B1) | 11/15/20 | 6.375 | 1,174,500 |
| 500 | Ineos Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/01/15 @ | ||||
| 105.63) 1,5 | (BB-, Ba3) | 05/01/20 | 7.500 | 529,375 | |
| 750 | Ineos Group Holdings S.A., Rule 144A, Secured Notes (Callable 02/15/16 @ | ||||
| 102.94) 1,5 | (B-, B3) | 02/15/19 | 5.875 | 743,438 | |
| 350 | Ineos Group Holdings S.A., Rule 144A, Secured Notes (Callable 05/15/15 @ | ||||
| 103.25) 1,5 | (B-, B3) | 08/15/18 | 6.125 | 353,500 | |
| 1,360 | OMNOVA Solutions, Inc., Global Company Guaranteed Notes (Callable 05/01/15 @ 103.94) | (B-, B2) | 11/01/18 | 7.875 | 1,385,500 |
| 1,125 | Polymer Group, Inc., Global Senior Secured Notes (Callable 05/01/15 @ 103.88) | (B-, B2) | 02/01/19 | 7.750 | 1,172,812 |
| 1,000 | Polymer Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/01/15 @ | ||||
| 105.16) 1 | (CCC+, Caa1) | 06/01/19 | 6.875 | 958,750 | |
| 276 | Reichhold Industries, Inc., 9.000% Cash, 11.000% PIK, Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 100.00) 1,6 | (NR, NR) | 05/08/17 | 20.000 | 117,419 |
| 8,480,294 | |||||
| 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 | 1,880,000 |
| Electric - Generation (0.7%) | |||||
| 1,250 | Dynegy Finance II, Inc., Rule 144A, Senior Secured Notes (Callable 11/01/19 @ | ||||
| 103.81) 1 | (B+, B3) | 11/01/24 | 7.625 | 1,314,063 | |
| Energy - Exploration & Production (5.3%) | |||||
| 2,230 | Bonanza Creek Energy, Inc., Global Company Guaranteed Notes (Callable 04/15/17 @ 103.38) | (B-, B3) | 04/15/21 | 6.750 | 2,179,825 |
| 1,200 | Comstock Resources, Inc., Company Guaranteed Notes (Callable 05/01/15 @ 103.88) | (CCC+, Caa1) | 04/01/19 | 7.750 | 510,000 |
| 1,975 | EPL Oil & Gas, Inc., Global Company Guaranteed Notes (Callable 05/01/15 @ | ||||
| 104.13) 5 | (CCC+, Caa3) | 02/15/18 | 8.250 | 1,471,375 | |
| 957 | Harkand Finance, Inc., Reg S, Rule 144A, Senior Secured Notes (Callable 03/28/16 @ 104.50) 1,7 | (NR, NR) | 03/28/19 | 7.500 | 660,000 |
| 475 | Oasis Petroleum, Inc., Company Guaranteed Notes (Callable 11/01/16 @ | ||||
| 103.25) 5 | (B+, B2) | 11/01/21 | 6.500 | 456,000 | |
| 895 | Oasis Petroleum, Inc., Global Company Guaranteed Notes (Callable 09/15/17 @ 103.44) | (B+, B2) | 03/15/22 | 6.875 | 877,100 |
| 1,510 | PDC Energy, Inc., Global Company Guaranteed Notes (Callable 10/15/17 @ 103.88) | (B-, B3) | 10/15/22 | 7.750 | 1,593,050 |
| 1,200 | Stone Energy Corp., Global Company Guaranteed Notes (Callable 11/15/17 @ 103.75) | (B-, B3) | 11/15/22 | 7.500 | 1,092,000 |
| 1,124 | W&T Offshore, Inc., Global Company Guaranteed Notes (Callable 06/15/15 @ 104.25) | (B-, B3) | 06/15/19 | 8.500 | 685,640 |
| 650 | Whiting Petroleum Corp., Company Guaranteed Notes (Callable 12/15/20 @ 100.00) | (BB, Ba2) | 03/15/21 | 5.750 | 648,375 |
| 10,173,365 | |||||
| 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 | 875,500 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Food - Wholesale (0.5%) | |||||
| $ 1,000 | Dole Food Co., Inc., Rule 144A, Senior Secured Notes (Callable 11/01/15 @ | ||||
| 103.63) 1 | (CCC+, Caa1) | 05/01/19 | 7.250 | $ 1,017,500 | |
| 7 | Smithfield Foods, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/16 @ | ||||
| 104.41) 1 | (BB-, B1) | 08/01/21 | 5.875 | 7,359 | |
| 1,024,859 | |||||
| Forestry & Paper (0.0%) | |||||
| 1,000 | Stone & Webster, Inc. 2,3,8 | (NR, NR) | 10/23/19 | 0.000 | 1,500 |
| Gaming (0.7%) | |||||
| 580 | Choctaw Resort Development Enterprise, Rule 144A, Senior Unsecured Notes (Callable 05/01/15 @ 100.00) 1 | (B-, Caa1) | 11/15/19 | 7.250 | 581,450 |
| 750 | Safari Holding Verwaltungs GmbH, Rule 144A, Senior Secured Notes (Callable 02/15/17 @ 104.13) 1,9 | (B, B2) | 02/15/21 | 8.250 | 842,472 |
| 1,423,922 | |||||
| Gas Distribution (2.5%) | |||||
| 1,500 | Energy Transfer Equity LP, Senior Secured Notes | (BB, Ba2) | 10/15/20 | 7.500 | 1,687,500 |
| 350 | Genesis Energy Finance Corp., Global Company Guaranteed Notes (Callable 02/15/17 @ 102.88) | (B, B1) | 02/15/21 | 5.750 | 339,500 |
| 750 | Genesis Energy LP, Company Guaranteed Notes (Callable 06/15/19 @ 102.81) | (B, B1) | 06/15/24 | 5.625 | 708,750 |
| 2,000 | Holly Energy Finance Corp., Global Company Guaranteed Notes (Callable 03/01/16 @ 103.25) | (BB, B1) | 03/01/20 | 6.500 | 1,980,000 |
| 4,715,750 | |||||
| Health Facilities (1.5%) | |||||
| 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 | 1,742,250 |
| 1,000 | Tenet Healthcare Corp., Global Senior Unsecured Notes | (CCC+, B3) | 04/01/22 | 8.125 | 1,105,000 |
| 2,847,250 | |||||
| Insurance Brokerage (1.7%) | |||||
| 1,850 | A-S Merger Sub LLC, Rule 144A, Senior Unsecured Notes (Callable 12/15/15 @ | ||||
| 103.94) 1 | (CCC+, Caa2) | 12/15/20 | 7.875 | 1,914,750 | |
| 775 | Hub Holdings Finance, Inc., 8.125% Cash, 8.875% PIK, Rule 144A, Senior Unsecured Notes (Callable 07/15/15 @ 102.00) 1,6 | (CCC+, Caa2) | 07/15/19 | 17.000 | 773,062 |
| 550 | HUB International Ltd., Rule 144A, Senior Unsecured Notes (Callable 10/01/16 @ | ||||
| 105.91) 1 | (CCC+, Caa1) | 10/01/21 | 7.875 | 565,125 | |
| 3,252,937 | |||||
| Investments & Misc. Financial Services (2.0%) | |||||
| 750 | Cabot Financial Luxembourg S.A., Rule 144A, Senior Secured Notes (Callable 10/01/15 @ 107.78) 1,10 | (B+, B2) | 10/01/19 | 10.375 | 1,229,167 |
| 1,450 | Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 04/01/16 @ | ||||
| 105.53) 1 | (B, B1) | 04/01/20 | 7.375 | 1,413,750 | |
| 400 | Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 04/15/17 @ | ||||
| 105.16) 1 | (B, B1) | 04/15/22 | 6.875 | 374,000 | |
| 750 | Rialto Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/15 @ | ||||
| 103.50) 1 | (B, B2) | 12/01/18 | 7.000 | 781,875 | |
| 3,798,792 | |||||
| Machinery (0.3%) | |||||
| 450 | SIG Combibloc Holdings S.C.A., Rule 144A, Senior Unsecured Notes (Callable 02/15/18 @ 103.88) 1,9 | (NR, Caa1) | 02/15/23 | 7.750 | 512,105 |
| Media Content (1.4%) | |||||
| 1,000 | Nexstar Broadcasting, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/18 @ 103.06) 1,5 | (B+, B3) | 02/15/22 | 6.125 | 1,027,500 |
| 573 | Sinclair Television Group, Inc., Global Company Guaranteed Notes (Callable 10/01/17 @ 103.06) 5 | (B+, B1) | 10/01/22 | 6.125 | 603,197 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Media Content | |||||
| $ 1,000 | Sinclair Television Group, Inc., Global Company Guaranteed Notes (Callable 11/01/16 @ 104.78) | (B+, B1) | 11/01/21 | 6.375 | $ 1,062,500 |
| 2,693,197 | |||||
| Medical Products (0.5%) | |||||
| 1,000 | STHI Holding Corp., Rule 144A, Secured Notes (Callable 05/01/15 @ | ||||
| 104.00) 1 | (B, B2) | 03/15/18 | 8.000 | 1,038,750 | |
| Metals & Mining - Excluding Steel (4.8%) | |||||
| 1,350 | Boart Longyear Management Pty. Ltd., Rule 144A, Company Guaranteed Notes (Callable 04/01/16 @ 103.50) 1,5 | (CCC, Caa2) | 04/01/21 | 7.000 | 896,062 |
| 230 | Boart Longyear Management Pty. Ltd., Rule 144A, Senior Secured Notes 1 | (B-, B3) | 10/01/18 | 10.000 | 236,325 |
| 1,050 | Eldorado Gold Corp., Rule 144A, Senior Unsecured Notes (Callable 12/15/16 @ | ||||
| 103.06) 1 | (BB, Ba3) | 12/15/20 | 6.125 | 1,026,375 | |
| 1,400 | Global Brass & Copper, Inc., Global Senior Secured Notes (Callable 06/01/16 @ 104.75) | (B+, B3) | 06/01/19 | 9.500 | 1,508,500 |
| 1,841 | KGHM International Ltd., Rule 144A, Company Guaranteed Notes (Callable 06/15/15 @ 103.88) 1 | (BB-, B1) | 06/15/19 | 7.750 | 1,905,435 |
| 1,370 | Noranda Aluminum Acquisition Corp., Global Company Guaranteed Notes (Callable 03/01/16 @ 105.50) | (CCC, Caa2) | 06/01/19 | 11.000 | 1,335,750 |
| 1,700 | Taseko Mines Ltd., Company Guaranteed Notes (Callable 05/01/15 @ 103.88) | (B-, B3) | 04/15/19 | 7.750 | 1,249,500 |
| 1,500 | Xinergy Corp., Rule 144A, Senior Secured Notes (Callable 05/15/15 @ | ||||
| 104.63) 1 | (NR, NR) | 05/15/19 | 9.250 | 922,500 | |
| 9,080,447 | |||||
| Oil Field Equipment & Services (4.4%) | |||||
| 1,900 | Calfrac Holdings LP, Rule 144A, Company Guaranteed Notes (Callable 12/01/15 @ | ||||
| 103.75) 1,5 | (BB-, B1) | 12/01/20 | 7.500 | 1,695,750 | |
| 1,825 | FTS International, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/17 @ | ||||
| 104.69) 1 | (B, B2) | 05/01/22 | 6.250 | 1,350,500 | |
| 600 | Pacific Drilling V Ltd., Rule 144A, Senior Secured Notes (Callable 12/01/15 @ | ||||
| 103.63) 1 | (B+, B2) | 12/01/17 | 7.250 | 543,000 | |
| 950 | Parker Drilling Co., Global Company Guaranteed Notes (Callable 01/15/18 @ 103.38) | (B+, B1) | 07/15/22 | 6.750 | 757,625 |
| 1,150 | Pioneer Energy Services Corp., Global Company Guaranteed Notes (Callable 03/15/17 @ 104.59) | (B+, B2) | 03/15/22 | 6.125 | 902,750 |
| 1,500 | Shelf Drilling Holdings Ltd., Rule 144A, Secured Notes (Callable 05/01/15 @ | ||||
| 104.31) 1,5 | (B+, Ba3) | 11/01/18 | 8.625 | 1,241,250 | |
| 1,600 | Sidewinder Drilling, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/16 @ 104.88) 1 | (CCC+, Caa1) | 11/15/19 | 9.750 | 1,000,000 |
| 1,000 | Trinidad Drilling Ltd., Rule 144A, Company Guaranteed Notes (Callable 05/01/15 @ | ||||
| 103.94) 1 | (BB, B1) | 01/15/19 | 7.875 | 935,000 | |
| 8,425,875 | |||||
| Oil Refining & Marketing (3.0%) | |||||
| 500 | CITGO Petroleum Corp., Rule 144A, Senior Secured Notes (Callable 08/15/17 @ | ||||
| 104.69) 1 | (B+, B3) | 08/15/22 | 6.250 | 487,500 | |
| 2,000 | Coffeyville Finance, Inc., Global Company Guaranteed Notes (Callable 11/01/17 @ 103.25) | (B+, B1) | 11/01/22 | 6.500 | 2,010,000 |
| 975 | Northern Tier Finance Corp., Global Senior Secured Notes (Callable 11/15/15 @ 105.34) | (BB-, B1) | 11/15/20 | 7.125 | 1,006,015 |
| 1,850 | PBF Finance Corp., Global Senior Secured Notes (Callable 02/15/16 @ | ||||
| 104.13) 5 | (BB+, Ba3) | 02/15/20 | 8.250 | 1,963,312 | |
| 300 | Western Refining, Inc., Global Company Guaranteed Notes (Callable 04/01/17 @ 103.13) | (B+, B3) | 04/01/21 | 6.250 | 300,000 |
| 5,766,827 | |||||
| Packaging (2.0%) | |||||
| 1,000 | Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 01/31/17 @ 103.38) 1,5 | (CCC+, Caa1) | 01/31/21 | 6.750 | 1,015,000 |
| 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 | 88,787 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Packaging | |||||
| $ 300 | Ardagh Packaging Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 10/15/15 @ 104.63) 1,9 | (CCC+, Caa1) | 10/15/20 | 9.250 | $ 346,365 |
| 1,850 | Reynolds Group Issuer LLC, Global Company Guaranteed Notes (Callable 02/15/16 @ 104.13) | (CCC+, Caa2) | 02/15/21 | 8.250 | 1,988,750 |
| 330 | Signode Industrial Group U.S., Inc., Rule 144A, Senior Unsecured Notes (Callable 05/01/17 @ 104.78) 1 | (CCC+, Caa1) | 05/01/22 | 6.375 | 329,587 |
| 3,768,489 | |||||
| Personal & Household Products (1.7%) | |||||
| 1,595 | Alphabet Holding Co., Inc., 7.750% Cash, 8.500% PIK, Global Senior Unsecured Notes (Callable 05/01/15 @ 102.00) 5,6 | (CCC+, Caa1) | 11/01/17 | 16.250 | 1,567,088 |
| 1,125 | NBTY, Inc., Global Company Guaranteed Notes (Callable 05/01/15 @ 104.50) | (B-, B3) | 10/01/18 | 9.000 | 1,175,625 |
| 400 | Prestige Brands, Inc., Global Company Guaranteed Notes (Callable 02/01/16 @ 104.06) | (B-, Caa1) | 02/01/20 | 8.125 | 431,000 |
| 3,173,713 | |||||
| Pharmaceuticals (0.6%) | |||||
| 800 | Capsugel S.A., 7.000 Cash%, 7.750% PIK, Rule 144A, Senior Unsecured Notes (Callable 04/16/15 @ 102.00) 1,6 | (B-, Caa1) | 05/15/19 | 14.750 | 814,500 |
| 246 | inVentiv Health, Inc., 10.000% Cash, 12.000% PIK, Rule 144A, Company Guaranteed Notes (Callable 08/15/15 @ 105.00) 1,6 | (CCC, Caa2) | 08/15/18 | 22.000 | 250,838 |
| 168 | inVentiv Health, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/01/15 @ | ||||
| 105.00) 1 | (CCC, Caa3) | 08/15/18 | 11.000 | 162,120 | |
| 1,227,458 | |||||
| Printing & Publishing (1.0%) | |||||
| 1,790 | Harland Clarke Holdings Corp., Rule 144A, Senior Secured Notes (Callable 08/01/15 @ 104.88) 1 | (B+, B1) | 08/01/18 | 9.750 | 1,901,875 |
| 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 | 948,750 |
| Real Estate Investment Trusts (2.7%) | |||||
| 2,000 | CNL Lifestyle Properties, Inc., Global Company Guaranteed Notes (Callable 05/01/15 @ 103.63) | (B, Ba3) | 04/15/19 | 7.250 | 2,050,000 |
| 1,398 | iStar Financial, Inc., Senior Unsecured Notes (Callable 07/01/16 @ 102.50) | (B+, B2) | 07/01/19 | 5.000 | 1,403,243 |
| 500 | MPT Finance Corp., Company Guaranteed Notes (Callable 02/15/17 @ 103.19) | (BBB-, Ba1) | 02/15/22 | 6.375 | 543,850 |
| 425 | QTS Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/17 @ | ||||
| 104.41) 1 | (B+, B2) | 08/01/22 | 5.875 | 438,281 | |
| 575 | The Geo Group, Inc., Global Company Guaranteed Notes (Callable 02/15/16 @ 103.31) | (BB-, Ba3) | 02/15/21 | 6.625 | 612,375 |
| 5,047,749 | |||||
| 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 | 258,125 |
| Software - Services (5.1%) | |||||
| 1,850 | Epicor Software Corp., Global Company Guaranteed Notes (Callable 05/01/15 @ 104.31) | (CCC+, B3) | 05/01/19 | 8.625 | 1,942,500 |
| 625 | Infor U.S., Inc., Global Company Guaranteed Notes (Callable 04/01/16 @ | ||||
| 105.00) 9 | (B-, B3) | 04/01/19 | 10.000 | 733,340 | |
| 1,523 | MedAssets, Inc., Global Company Guaranteed Notes (Callable 05/01/15 @ 104.00) | (B, B3) | 11/15/18 | 8.000 | 1,595,342 |
| 1,500 | NeuStar, Inc., Global Company Guaranteed Notes (Callable 01/15/18 @ | ||||
| 102.25) 5 | (B+, B2) | 01/15/23 | 4.500 | 1,297,500 | |
| 1,050 | Sophia Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/01/15 @ | ||||
| 107.31) 1 | (CCC+, Caa1) | 01/15/19 | 9.750 | 1,130,063 | |
| 445 | Sophia Holding Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/01/15 @ 102.00) 1 | (CCC+, Caa2) | 12/01/18 | 9.625 | 451,119 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Software - Services | |||||
| $ 1,250 | Sungard Availability Services Capital, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/19 @ 104.38) 1 | (CCC+, Caa1) | 04/01/22 | 8.750 | $ 790,625 |
| 1,698 | Syniverse Holdings, Inc., Global Company Guaranteed Notes (Callable 05/01/15 @ 104.56) | (B-, Caa1) | 01/15/19 | 9.125 | 1,681,020 |
| 9,621,509 | |||||
| Specialty Retail (0.2%) | |||||
| 237 | Beverages & More, Inc., Rule 144A, Senior Secured Notes (Callable 11/15/15 @ | ||||
| 105.00) 1 | (CCC+, Caa2) | 11/15/18 | 10.000 | 226,039 | |
| 150 | IT Holding Finance S.A., Company Guaranteed Notes 3,9,11 | (NR, NR) | 11/15/25 | 9.875 | 1,587 |
| 200 | Takko Luxembourg 2 S.C.A., Rule 144A, Senior Secured Notes (Callable 04/15/16 @ | ||||
| 104.94) 1,9 | (CCC, Caa1) | 04/15/19 | 9.875 | 93,438 | |
| 321,064 | |||||
| Steel Producers/Products (0.5%) | |||||
| 1,200 | JMC Steel Group, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/01/15 @ | ||||
| 104.13) 1,5 | (B-, Caa1) | 03/15/18 | 8.250 | 1,012,500 | |
| Support - Services (3.9%) | |||||
| 1,075 | CoreLogic, Inc., Global Company Guaranteed Notes (Callable 06/01/16 @ 103.63) | (B+, B1) | 06/01/21 | 7.250 | 1,150,250 |
| 750 | Garda World Security Corp., Rule 144A, Company Guaranteed Notes (Callable 11/15/16 @ 105.44) 1 | (B-, Caa1) | 11/15/21 | 7.250 | 740,625 |
| 1,731 | H&E Equipment Services, Inc., Global Company Guaranteed Notes (Callable 09/01/17 @ 103.50) 5 | (BB-, B3) | 09/01/22 | 7.000 | 1,791,585 |
| 800 | Light Tower Rentals, Inc., Rule 144A, Senior Secured Notes (Callable 08/01/16 @ | ||||
| 106.09) 1 | (B, B2) | 08/01/19 | 8.125 | 620,000 | |
| 1,000 | NCSG Crane & Heavy Haul Services, Inc., Rule 144A, Secured Notes (Callable 08/15/17 @ 109.50) 1,5 | (B, B3) | 08/15/19 | 9.500 | 640,000 |
| 600 | Outerwall, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/17 @ | ||||
| 104.41) 1 | (BB-, Ba3) | 06/15/21 | 5.875 | 544,500 | |
| 950 | Safway Finance Corp., Rule 144A, Secured Notes (Callable 05/15/15 @ | ||||
| 103.50) 1 | (B+, B3) | 05/15/18 | 7.000 | 945,250 | |
| 915 | United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 05/15/16 @ 103.69) | (BB-, B1) | 05/15/20 | 7.375 | 993,347 |
| 7,425,557 | |||||
| Tech Hardware & Equipment (2.4%) | |||||
| 1,000 | Anixter, Inc., Global Company Guaranteed Notes | (BB, Ba3) | 05/01/19 | 5.625 | 1,080,000 |
| 1,325 | Avaya, Inc., Rule 144A, Secured Notes (Callable 03/01/17 @ 107.88) 1,5 | (CCC+, Caa1) | 03/01/21 | 10.500 | 1,132,875 |
| 1,550 | Belden, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/17 @ | ||||
| 102.75) 1 | (B+, Ba3) | 09/01/22 | 5.500 | 1,596,500 | |
| 650 | Dell, Inc., Global Senior Unsecured Notes | (BB+, Ba3) | 04/15/38 | 6.500 | 664,625 |
| 4,474,000 | |||||
| Telecom - Satellite (1.4%) | |||||
| 322 | Hughes Satellite Systems Corp., Global Company Guaranteed Notes | (B-, B3) | 06/15/21 | 7.625 | 355,408 |
| 750 | Intelsat Jackson Holdings S.A., Global Company Guaranteed Notes (Callable 04/01/16 @ 103.75) | (B+, B3) | 04/01/21 | 7.500 | 774,375 |
| 600 | Intelsat Jackson Holdings S.A., Global Company Guaranteed Notes (Callable 05/01/15 @ 103.63) | (B+, B3) | 04/01/19 | 7.250 | 624,150 |
| 250 | Intelsat Luxembourg S.A., Global Company Guaranteed Notes (Callable 06/01/15 @ 103.38) | (CCC+, Caa2) | 06/01/18 | 6.750 | 246,250 |
| 800 | Intelsat Luxembourg S.A., Global Company Guaranteed Notes (Callable 06/01/17 @ | ||||
| 103.88) 5 | (CCC+, Caa2) | 06/01/21 | 7.750 | 741,000 | |
| 2,741,183 | |||||
| Telecom - Wireless (1.6%) | |||||
| 650 | Sprint Corp., Global Company Guaranteed Notes | (B+, B2) | 06/15/24 | 7.125 | 637,000 |
| 700 | Sprint Corp., Global Company Guaranteed Notes (Callable 11/15/24 @ | ||||
| 100.00) 5 | (B+, B2) | 02/15/25 | 7.625 | 700,000 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS | |||||
| Telecom - Wireless | |||||
| $ 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 | $ 1,629,180 |
| 2,966,180 | |||||
| Telecom - Wireline Integrated & Services (1.1%) | |||||
| 350 | Hellas Telecommunications Luxembourg II S.C.A., Rule 144A, Subordinated | ||||
| Notes 1,2,3,8,11 | (NR, NR) | 01/15/15 | 0.000 | | |
| 925 | Windstream Corp., Global Company Guaranteed Notes (Callable 05/01/15 @ 104.06) | (B, B1) | 09/01/18 | 8.125 | 968,706 |
| 1,150 | Zayo Capital, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/18 @ | ||||
| 104.50) 1 | (CCC+, Caa1) | 04/01/23 | 6.000 | 1,161,500 | |
| 2,130,206 | |||||
| Telecommunications Equipment (1.9%) | |||||
| 1,200 | Avaya, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/15 @ | ||||
| 103.50) 1,5 | (B, B1) | 04/01/19 | 7.000 | 1,197,000 | |
| 1,700 | Brightstar Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/15 @ | ||||
| 104.75) 1 | (BB+, Ba1) | 12/01/16 | 9.500 | 1,785,000 | |
| 525 | CDW Finance Corp., Company Guaranteed Notes (Callable 06/01/24 @ 100.00) | (B+, B1) | 12/01/24 | 5.500 | 551,250 |
| 3,533,250 | |||||
| Theaters & Entertainment (1.9%) | |||||
| 775 | AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 02/15/17 @ | ||||
| 104.41) 5 | (B, B3) | 02/15/22 | 5.875 | 807,938 | |
| 857 | AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 12/01/15 @ 104.88) | (B, B3) | 12/01/20 | 9.750 | 941,629 |
| 1,815 | National CineMedia LLC, Global Senior Unsecured Notes (Callable 07/15/16 @ 103.94) | (B, B2) | 07/15/21 | 7.875 | 1,937,512 |
| 3,687,079 | |||||
| Transport Infrastructure/Services (0.7%) | |||||
| 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 | 375,000 |
| 1,000 | Teekay Offshore Finance Corp., Global Senior Unsecured Notes | (NR, NR) | 07/30/19 | 6.000 | 908,750 |
| 1,283,750 | |||||
| TOTAL CORPORATE BONDS (Cost $154,948,397) | 148,245,015 | ||||
| BANK LOANS (12.8%) | |||||
| Auto Parts & Equipment (0.8%) | |||||
| 750 | Jason, Inc. 12 | (CCC+, Caa1) | 06/30/22 | 9.000 | 710,625 |
| 790 | U.S. Farathane LLC 12 | (B+, B2) | 12/23/21 | 6.750 | 798,887 |
| 1,509,512 | |||||
| Building Materials (0.6%) | |||||
| 1,151 | Panolam Industries International, Inc. 12 | (BB-, B2) | 08/23/17 | 7.761 | 1,144,932 |
| Chemicals (2.5%) | |||||
| 1,750 | AZ Chem U.S., Inc. 12 | (B-, B1) | 06/12/22 | 7.500 | 1,730,671 |
| 1,980 | Ravago Holdings America, Inc. 12 | (BB+, B2) | 12/20/20 | 5.500 | 1,989,910 |
| 1,000 | Royal Adhesives and Sealants LLC 12 | (CCC+, Caa1) | 01/31/19 | 9.750 | 1,009,585 |
| 4,730,166 | |||||
| Diversified Capital Goods (0.5%) | |||||
| 930 | Dynacast International LLC 12 | (B-, Caa1) | 01/30/23 | 9.500 | 941,625 |
| Electronics (0.7%) | |||||
| 1,425 | FIDJI Luxembourg (BC4) Sarl 12 | (BB-, B1) | 12/24/20 | 6.250 | 1,427,373 |
| Food - Wholesale (0.2%) | |||||
| 500 | Del Monte Foods, Inc. 12 | (CCC+, Caa1) | 08/18/21 | 8.250 | 453,750 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| BANK LOANS | |||||
| Gaming (0.4%) | |||||
| $ 750 | CBAC Borrower LLC 12 | (B-, B3) | 07/02/20 | 8.250 | $ 727,500 |
| Health Services (1.0%) | |||||
| 1,133 | Creganna-Tactx Medical 12 | (CCC+, Caa1) | 06/01/22 | 9.000 | 1,140,417 |
| 750 | Phillips-Medisize Corp. 12 | (CCC+, Caa2) | 06/16/22 | 8.250 | 731,250 |
| 1,871,667 | |||||
| Investments & Misc. Financial Services (1.2%) | |||||
| 1,000 | Ascensus, Inc. 12 | (CCC+, Caa1) | 12/02/20 | 9.000 | 1,001,040 |
| 481 | Liquidnet Holdings, Inc. 12 | (B, B3) | 05/22/19 | 7.750 | 468,016 |
| 1,000 | Mergermarket U.S.A., Inc. 12 | (CCC+, Caa2) | 02/04/22 | 7.500 | 912,500 |
| 2,381,556 | |||||
| Machinery (0.7%) | |||||
| 1,250 | CPM Acquisition Corp. 12 | (B, Caa1) | 03/01/18 | 10.250 | 1,256,250 |
| Media Content (0.3%) | |||||
| 500 | DLG Acquisitions Ltd. 9,12 | (B-, Caa2) | 06/30/22 | 8.250 | 534,181 |
| Oil Field Equipment & Services (0.4%) | |||||
| 1,000 | Shelf Drilling Holdings Ltd. 12 | (B+, B1) | 10/08/18 | 10.000 | 685,000 |
| Recreation & Travel (0.5%) | |||||
| 988 | Abercrombie & Kent U.S. Group Holdings, Inc. 3,12 | (NR, NR) | 12/09/18 | 5.000 | 923,312 |
| Software - Services (0.5%) | |||||
| 990 | Intralinks, Inc. 3,12 | (BB, B2) | 02/21/19 | 7.250 | 982,575 |
| Specialty Retail (0.8%) | |||||
| 1,500 | BJs Wholesale Club, Inc. 12 | (CCC, Caa2) | 03/26/20 | 8.500 | 1,494,067 |
| Telecom - Wireless (0.4%) | |||||
| 789 | Maritime Telecommunications Network, Inc. 12 | (B+, NR) | 03/04/16 | 7.500 | 789,009 |
| Telecom - Wireline Integrated & Services (0.5%) | |||||
| 1,000 | Omnitracs, Inc. 12 | (CCC+, Caa1) | 05/25/21 | 8.750 | 981,565 |
| Theaters & Entertainment (0.4%) | |||||
| 1,000 | CKX, Inc. 12 | (B+, B2) | 06/21/17 | 9.000 | 725,000 |
| Transport Infrastructure/Services (0.4%) | |||||
| 680 | PODS LLC 12 | (CCC+, Caa1) | 02/02/23 | 9.250 | 685,100 |
| TOTAL BANK LOANS (Cost $24,880,161) | 24,244,140 | ||||
| ASSET BACKED SECURITIES (6.6%) | |||||
| Collateralized Debt Obligations (6.6%) | |||||
| 1,000 | Carlyle Global Market Strategies CLO Ltd., 2012-4A, Rule 144A 1,8 | (NR, NR) | 01/20/25 | 0.000 | 856,705 |
| 2,000 | CIFC Funding Ltd., 2012-2X, Reg S 7,12 | (BB-, NR) | 12/05/24 | 6.265 | 1,948,364 |
| 1,000 | ECP CLO Ltd., 2013-5A, Rule 144A 1,12 | (BB, NR) | 01/20/25 | 4.457 | 874,332 |
| 1,000 | Galaxy XIV CLO Ltd., 2012-14A, Rule 144A 1,12 | (BB, NR) | 11/15/24 | 5.657 | 950,901 |
| 1,000 | Halcyon Loan Advisors Funding Ltd., 2012-2A, Rule 144A 1,12 | (BB, NR) | 12/20/24 | 5.670 | 898,209 |
| 1,000 | ING Investment Management CLO Ltd., 2012-1RA, Rule 144A 1,12 | (B, NR) | 03/14/22 | 6.771 | 995,857 |
| 1,000 | Jamestown CLO III Ltd., 2013-3A, Rule 144A 1,12 | (BB-, NR) | 01/15/26 | 4.852 | 886,308 |
| 1,000 | JFIN CLO Ltd., 2013-1A, Rule 144A 1,12 | (BB, NR) | 01/20/25 | 5.007 | 888,133 |
| 1,500 | Ocean Trails CLO IV, 2013-4A, Rule 144A 1,12 | (B, NR) | 08/13/25 | 6.158 | 1,288,426 |
| 1,000 | Shackleton I CLO Ltd., 2012-1A, Rule 144A 1,12 | (BB, NR) | 08/14/23 | 6.458 | 963,484 |
| 1,325 | Venture XVII CLO Ltd., 2014-17A, Rule 144A 1,12 | (NR, Ba2) | 07/15/26 | 5.253 | 1,189,816 |
| 1,000 | WhiteHorse VIII Ltd., 2014-1A, Rule 144A 1,12 | (NR, Ba3) | 05/01/26 | 4.806 | 878,724 |
| TOTAL ASSET BACKED SECURITIES (Cost $13,052,101) | 12,619,259 | ||||
| Number of Shares | |||||
| COMMON STOCKS (0.1%) | |||||
| Building & Construction (0.1%) | |||||
| 14,400 | Ashton Woods U.S.A. LLC, Class B 2,3,13 | 188,208 |
| Number of Shares | |||||
|---|---|---|---|---|---|
| COMMON STOCKS | |||||
| Building Materials (0.0%) | |||||
| 372 | Dayton Superior Corp. 2,3,13 | $ | | ||
| Gaming (0.0%) | |||||
| 36,250 | Majestic Holdco LLC 2,3,13 | 10,422 | |||
| 1,500 | Progressive Gaming International Corp. 3,13 | 3 | |||
| 10,425 | |||||
| Media Content (0.0%) | |||||
| 26,986 | Cumulus Media, Inc., Class A 5,13 | 66,655 | |||
| TOTAL COMMON STOCKS (Cost $323,430) | 265,288 | ||||
| PREFERRED STOCK (0.0%) | |||||
| Building Materials (0.0%) | |||||
| 413 | Dayton Superior Corp. 2,3,13 (Cost $156,000) | | |||
| SHORT-TERM INVESTMENTS (14.0%) | |||||
| 25,360,157 | State Street Navigator Prime Portfolio, 0.16% 14 | 25,360,157 | |||
| Par (000) | Maturity | Rate% | |||
| $ 1,280 | State Street Bank and Trust Co. Euro Time Deposit | 04/01/15 | 0.010 | 1,280,000 | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $26,640,157) | 26,640,157 | ||||
| TOTAL INVESTMENTS AT VALUE (111.5%) (Cost $220,000,246) | 212,013,859 | ||||
| LIABILITIES IN EXCESS OF OTHER ASSETS (-11.5%) | (21,905,987 | ) | |||
| NET ASSETS (100.0%) | $ | 190,107,872 |
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 March 31, 2015, these securities amounted to a value of $81,377,427 or 42.8% of net assets.
2 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.
3 Illiquid security.
4 Par value of security held is less than 1,000.
5 Security or portion thereof is out on loan.
6 PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal.
7 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.
8 Zero-coupon security.
9 This security is denominated in Euro.
10 This security is denominated in British Pound.
11 Bond is currently in default.
12 Variable rate obligations The interest rate is the rate as of March 31, 2015.
13 Non-income producing security.
14 Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at March 31, 2015.
Forward Foreign Currency Contracts
| Forward Foreign Currency to be Purchased (Local) | | Forward Foreign Currency to be Sold
(Local) | | Expiration Date | Counterparty | Value on Settlement Date | | Current Value/Notional | | Net Unrealized Appreciation (Depreciation) |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| USD | 3,014,001 | EUR | 2,554,000 | 04/15/15 | Morgan Stanley | $ (3,014,001 | ) | $ (2,743,465 | ) | $ 270,536 |
| USD | 630,326 | EUR | 556,000 | 04/15/15 | Morgan Stanley | (630,326 | ) | (597,246 | ) | 33,080 |
| USD | 1,389,921 | GBP | 918,000 | 04/15/15 | Morgan Stanley | (1,389,921 | ) | (1,362,655 | ) | 27,266 |
| | | | | | | | | | | $ 330,882 |
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. 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 March 31, 2015 in valuing the Funds assets and liabilities carried at fair value:
| Assets | Level 1 | Level 2 | Level 3 | |||
|---|---|---|---|---|---|---|
| Investments in Securities | ||||||
| Corporate Bonds | $ | $ 148,243,496 | $ 1,519 | $ | 148,245,015 | |
| Bank Loans | | 16,433,174 | 7,821,394 | 24,254,568 | ||
| Asset Backed Securities | | 12,619,259 | | 12,619,259 | ||
| Common Stocks | 66,658 | | 198,630 | 265,288 | ||
| Preferred Stock | | | | 1 | | 1 |
| Short-term Investments | | 26,640,157 | | 26,640,157 | ||
| 66,658 | 203,936,086 | 8,021,543 | 212,024,287 | |||
| Other Financial Instruments* | ||||||
| Forward Foreign Currency Contracts | $ | $ 330,882 | $ | $ | 330,882 |
1 Included a zero valued security.
The following is a reconciliation of investments as of March 31, 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 | Common Stocks — $ 209,052 | Preferred Stock — $ | Total — $ 1,913,471 | ||||
|---|---|---|---|---|---|---|---|---|---|
| Accrued discounts (premiums) | | 13,207 | | | 13,207 | ||||
| Purchases | | 784,000 | | | 784,000 | ||||
| Sales | | (2,000 | ) | | | (2,000 | ) | ||
| Realized gain (loss) | | 40 | | | 40 | ||||
| Change in unrealized appreciation (depreciation) | (2,250 | ) | (38,270 | ) | (10,422 | ) | | (50,942 | ) |
| Transfers into Level 3 | | 5,363,767 | | | 5,363,767 | ||||
| Transfers out of Level 3 | | | | | | ||||
| Balance as of March 31, 2015 | $ 1,519 | $ 7,821,394 | $ 198,630 | $ | $ 8,021,543 | ||||
| Net change in unrealized appreciation (depreciation) from investments still held as of March 31, 2015 | $ (2,250 | ) | $ (38,270 | ) | $ (10,422 | ) | $ | $ (50,942 | ) |
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 March 31, 2015, there were no transfers in and out of Level 1 and Level 2, but there were $5,363,767 transferred in from Level 2 to Level 3 due to lack of observable market data because of decrease in market activity. 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: May 15, 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: May 15, 2015
/s/Bruce S. Rosenberg
Name: Bruce S. Rosenberg
Title: Chief Financial Officer
Date: May 15, 2015
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