Regulatory Filings • Nov 9, 2017
Preview not available for this file type.
Download Source FileN-Q 1 d305896dnq.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, 2017 to September 30, 2017 |
Item 1: Schedule of Investments
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments
September 30, 2017 (unaudited)
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (89.9%) | |||||
| Advertising (2.2%) | |||||
| $ 275 | Clear Channel Worldwide Holdings, Inc., Series A, Global Company Guaranteed Notes (Callable | ||||
| 11/15/17 @ 103.25) | (B, B2) | 11/15/22 | 6.500 | $ 283,594 | |
| 1,475 | Clear Channel Worldwide Holdings, Inc., Series B, Global Company Guaranteed Notes (Callable | ||||
| 11/15/17 @ 103.25) | (B, B2) | 11/15/22 | 6.500 | 1,526,625 | |
| 2,220 | Southern Graphics, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/30/17 @ 102.09) (1) | (CCC+, Caa1) | 10/15/20 | 8.375 | 2,261,625 |
| 4,071,844 | |||||
| Air Transportation (0.3%) | |||||
| 550 | United Continental Holdings, Inc., Company Guaranteed Notes | (BB-, Ba3) | 02/01/24 | 5.000 | 564,438 |
| Auto Parts & Equipment (2.0%) | |||||
| 400 | Adient Global Holdings Ltd., Rule 144A, Company Guaranteed Notes (Callable 08/15/21 @ | ||||
| 102.44) (1) | (BB, Ba3) | 08/15/26 | 4.875 | 411,000 | |
| 1,300 | Cooper-Standard Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/21 @ | ||||
| 102.81) (1) | (B+, B2) | 11/15/26 | 5.625 | 1,332,500 | |
| 2,000 | IHO Verwaltungs GmbH, Rule 144A, Senior Secured Notes (Callable 09/15/21 @ 102.38) (1) | (BB-, Ba1) | 09/15/26 | 4.750 | 2,042,500 |
| 3,786,000 | |||||
| Banking (0.8%) | |||||
| 1,450 | AssuredPartners, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/15/20 @ 103.50) (1) | (CCC+, Caa2) | 08/15/25 | 7.000 | 1,488,063 |
| Brokerage (2.4%) | |||||
| 600 | Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 10/30/17 @ 105.16) (1) | (B, B1) | 04/15/22 | 6.875 | 606,000 |
| 1,450 | Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 10/30/17 @ 105.63) (1) | (B, B1) | 04/15/21 | 7.500 | 1,508,000 |
| 2,375 | LPL Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/15/20 @ 104.31) (1) | (B+, B2) | 09/15/25 | 5.750 | 2,468,100 |
| 4,582,100 | |||||
| Building & Construction (0.4%) | |||||
| 750 | Rialto Corp., Rule 144A, Company Guaranteed Notes (Callable 10/30/17 @ 101.75) (1) | (B, B1) | 12/01/18 | 7.000 | 759,375 |
| Building Materials (6.5%) | |||||
| 900 | Airxcel, Inc., Rule 144A, Senior Secured Notes (Callable 02/15/19 @ 104.25) (1) | (B, B2) | 02/15/22 | 8.500 | 956,340 |
| 550 | American Builders & Contractors Supply Co., Inc., Rule 144A, Senior Unsecured | ||||
| Notes (Callable 12/15/18 @ 104.31) (1) | (B+, B3) | 12/15/23 | 5.750 | 587,125 | |
| 325 | CD&R Waterworks Merger Sub LLC, Rule 144A, Senior Unsecured Notes (Callable 08/15/20 @ | ||||
| 103.06) (1) | (B-, Caa1) | 08/15/25 | 6.125 | 334,344 | |
| 710 | Eagle Materials, Inc., Company Guaranteed Notes (Callable 08/01/21 @ 102.25) | (BBB, Baa3) | 08/01/26 | 4.500 | 743,725 |
| 1,825 | FBM Finance, Inc., Rule 144A, Senior Secured Notes (Callable 08/15/18 @ 104.13) (1) | (B+, B3) | 08/15/21 | 8.250 | 1,961,875 |
| 700 | Masonite International Corp., Rule 144A, Company Guaranteed Notes (Callable 03/15/18 @ | ||||
| 104.22) (1) | (BB, Ba3) | 03/15/23 | 5.625 | 736,085 | |
| 1,150 | NCI Building Systems, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/18 @ 106.19) (1) | (BB, B3) | 01/15/23 | 8.250 | 1,239,125 |
| 1,600 | Omnimax International, Inc., Rule 144A, Senior Secured Notes (Callable 02/15/18 @ 109.00) (1) | (B-, Caa1) | 08/15/20 | 12.000 | 1,748,000 |
| 1,350 | PriSo Acquisition Corp., Rule 144A, Senior Unsecured Notes (Callable 05/15/18 @ 104.50) (1) | (CCC+, Caa1) | 05/15/23 | 9.000 | 1,441,125 |
| 500 | Summit Materials Finance Corp., Global Company Guaranteed Notes (Callable 04/15/19 @ | ||||
| 104.25) | (BB-, B3) | 04/15/22 | 8.500 | 565,000 | |
| 500 | Summit Materials Finance Corp., Global Company Guaranteed Notes (Callable 07/15/18 @ | ||||
| 103.06) | (BB-, B3) | 07/15/23 | 6.125 | 530,000 | |
| 475 | U.S. Concrete, Inc., Global Company Guaranteed Notes (Callable 06/01/19 @ 104.78) | (BB-, B2) | 06/01/24 | 6.375 | 514,187 |
| 800 | USG Corp., Rule 144A, Company Guaranteed Notes (Callable 06/01/22 @ 102.44) (1) | (BB+, Ba2) | 06/01/27 | 4.875 | 837,000 |
| 12,193,931 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (continued) | |||||
| Cable & Satellite TV (7.2%) | |||||
| $ 825 | Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 02/15/18 @ 104.97) (1) | (BB-, B1) | 02/15/23 | 6.625 | $ 876,562 |
| 1,250 | Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 05/15/21 @ 103.75) (1) | (BB-, B1) | 05/15/26 | 7.500 | 1,378,125 |
| 200 | Altice U.S. Finance I Corp., Rule 144A, Senior Secured Notes (Callable 07/15/18 @ 104.03) (1) | (BB, Ba3) | 07/15/23 | 5.375 | 212,000 |
| 1,850 | Block Communications, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/20 @ 103.44) (1) | (BB-, Ba3) | 02/15/25 | 6.875 | 2,017,055 |
| 280 | Cequel Capital Corp., Rule 144A, Senior Unsecured Notes (Callable 10/30/17 @ 101.59) (1) | (B, Caa1) | 09/15/20 | 6.375 | 286,650 |
| 685 | CSC Holdings LLC, Global Senior Unsecured Notes | (B, B2) | 06/01/24 | 5.250 | 694,419 |
| 50 | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 04/15/22 @ 102.75) (1) | (BB, Ba1) | 04/15/27 | 5.500 | 52,125 |
| 400 | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 10/15/20 @ 103.31) (1) | (BB, Ba1) | 10/15/25 | 6.625 | 439,000 |
| 335 | CSC Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/20 @ 105.44) (1) | (B, B2) | 10/15/25 | 10.875 | 414,981 |
| 2,350 | Midcontinent Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/15/18 @ 105.16) (1) | (B, B3) | 08/15/23 | 6.875 | 2,543,875 |
| 550 | SFR Group S.A., Rule 144A, Senior Secured Notes (Callable 05/01/21 @ 103.69) (1) | (B+, B1) | 05/01/26 | 7.375 | 596,063 |
| 1,200 | SFR Group S.A., Rule 144A, Senior Secured Notes (Callable 05/15/19 @ 103.13) (1) | (B+, B1) | 05/15/24 | 6.250 | 1,271,700 |
| 700 | SFR Group S.A., Rule 144A, Senior Secured Notes (Callable 10/30/17 @ 104.50) (1) | (B+, B1) | 05/15/22 | 6.000 | 732,375 |
| 500 | Virgin Media Secured Finance PLC, Rule 144A, Senior Secured Notes (Callable 04/15/22 @ | ||||
| 102.50) (1),(2) | (BB-, Ba3) | 04/15/27 | 5.000 | 692,189 | |
| 1,350 | Ziggo Secured Finance B.V., Rule 144A, Senior Secured Notes (Callable 01/15/22 @ 102.75) (1) | (BB-, Ba3) | 01/15/27 | 5.500 | 1,386,706 |
| 13,593,825 | |||||
| Chemicals (2.7%) | |||||
| 1,225 | A Schulman, Inc., Global Company Guaranteed Notes (Callable 06/01/18 @ 105.16) | (B, B3) | 06/01/23 | 6.875 | 1,277,062 |
| 475 | GCP Applied Technologies, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/19 @ | ||||
| 104.75) (1) | (BB-, B1) | 02/01/23 | 9.500 | 537,938 | |
| 500 | PQ Corp., Rule 144A, Senior Secured Notes (Callable 05/15/19 @ 103.38) (1) | (B+, B2) | 11/15/22 | 6.750 | 543,750 |
| 276 | Reichhold Industries, Inc., Rule 144A, Senior Secured Notes (Callable 10/30/17 @ 100.00) (1),(3),(4),(5),(6) | (NR, NR) | 05/01/18 | 9.000 | 9,946 |
| 1,000 | Trinseo Materials Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/20 @ | ||||
| 102.69) (1) | (BB-, B3) | 09/01/25 | 5.375 | 1,031,250 | |
| 500 | Valvoline, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/19 @ 104.13) (1) | (BB+, Ba3) | 07/15/24 | 5.500 | 535,000 |
| 825 | Valvoline, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/20 @ 103.28) (1) | (BB+, Ba3) | 08/15/25 | 4.375 | 841,500 |
| 325 | Versum Materials, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/30/21 @ 102.75) (1) | (BB, Ba3) | 09/30/24 | 5.500 | 345,313 |
| 5,121,759 | |||||
| Consumer/Commercial/Lease Financing (1.5%) | |||||
| 2,500 | Infinity Acquisition Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 10/16/17 @ | ||||
| 103.63) (1) | (CCC+, Caa2) | 08/01/22 | 7.250 | 2,456,250 | |
| 375 | Lincoln Finance Ltd., Rule 144A, Senior Secured Notes (Callable 04/15/18 @ 103.69) (1) | (BB+, B1) | 04/15/21 | 7.375 | 396,094 |
| 2,852,344 | |||||
| Diversified Capital Goods (1.5%) | |||||
| 900 | Anixter, Inc., Global Company Guaranteed Notes | (BB, Ba3) | 03/01/23 | 5.500 | 982,125 |
| 470 | EnerSys, Rule 144A, Company Guaranteed Notes (Callable 01/30/23 @ 100.00) (1) | (BB+, Ba2) | 04/30/23 | 5.000 | 490,562 |
| 1,250 | TriMas Corp., Rule 144A, Company Guaranteed Notes (Callable 10/15/20 @ 102.44) (1) | (B+, B1) | 10/15/25 | 4.875 | 1,262,500 |
| 2,735,187 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (continued) | |||||
| Electronics (0.6%) | |||||
| $ 261 | Microsemi Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/19 @ 106.84) (1) | (BB-, B2) | 04/15/23 | 9.125 | $ 299,171 |
| 675 | NXP Funding LLC, Rule 144A, Company Guaranteed Notes (1) | (BBB-, Ba1) | 06/01/23 | 4.625 | 727,313 |
| 1,026,484 | |||||
| Energy - Exploration & Production (1.8%) | |||||
| 725 | Oasis Petroleum, Inc., Company Guaranteed Notes (Callable 10/30/17 @ 103.25) (7) | (BB-, B3) | 11/01/21 | 6.500 | 743,125 |
| 932 | Stone Energy Corp., Secured Notes (Callable 05/31/20 @ 105.63) | (NR, NR) | 05/31/22 | 7.500 | 904,268 |
| 1,124 | W&T Offshore, Inc., Global Company Guaranteed Notes (Callable 10/30/17 @ | ||||
| 100.00) | (CC, Ca) | 06/15/19 | 8.500 | 994,740 | |
| 800 | Whiting Petroleum Corp., Company Guaranteed Notes (Callable 12/15/20 @ 100.00) (7) | (BB-, B3) | 03/15/21 | 5.750 | 788,000 |
| 3,430,133 | |||||
| Food - Wholesale (1.8%) | |||||
| 700 | B&G Foods, Inc., Company Guaranteed Notes (Callable 04/01/20 @ 103.94) | (B+, B3) | 04/01/25 | 5.250 | 719,250 |
| 910 | Clearwater Seafoods, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/01/20 @ 105.16) (1) | (B+, B3) | 05/01/25 | 6.875 | 968,012 |
| 550 | Lamb Weston Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/21 @ 102.31) (1) | (BB, Ba3) | 11/01/24 | 4.625 | 576,125 |
| 400 | Lamb Weston Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/21 @ 102.44) (1) | (BB, Ba3) | 11/01/26 | 4.875 | 421,000 |
| 700 | U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/19 @ 102.94) (1) | (B+, B3) | 06/15/24 | 5.875 | 736,750 |
| 3,421,137 | |||||
| Gaming (1.4%) | |||||
| 750 | Gateway Casinos & Entertainment Ltd., Rule 144A, Secured Notes (Callable 03/01/20 @ | ||||
| 104.13) (1) | (CCC+, Caa1) | 03/01/24 | 8.250 | 789,375 | |
| 1,100 | Jacobs Entertainment, Inc., Rule 144A, Secured Notes (Callable 02/01/20 @ 105.91) (1) | (B, B2) | 02/01/24 | 7.875 | 1,188,000 |
| 495 | Safari Holding Verwaltungs GmbH, Rule 144A, Senior Secured Notes (Callable 10/30/17 @ | ||||
| 104.13) (1),(8) | (B, B2) | 02/15/21 | 8.250 | 610,457 | |
| 2,587,832 | |||||
| Gas Distribution (2.3%) | |||||
| 1,500 | Energy Transfer Equity LP, Senior Secured Notes | (BB-, Ba2) | 10/15/20 | 7.500 | 1,696,875 |
| 164 | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 05/15/18 @ 104.50) | (BB-, B1) | 05/15/23 | 6.000 | 163,590 |
| 750 | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 06/15/19 @ 102.81) | (BB-, B1) | 06/15/24 | 5.625 | 731,250 |
| 425 | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 10/01/20 @ 104.88) | (BB-, B1) | 10/01/25 | 6.500 | 422,344 |
| 350 | Genesis Energy Finance Corp., Global Company Guaranteed Notes (Callable 10/30/17 @ | ||||
| 102.88) | (BB-, B1) | 02/15/21 | 5.750 | 353,062 | |
| 1,000 | Holly Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/19 @ 104.50) (1) | (BB, B2) | 08/01/24 | 6.000 | 1,053,750 |
| 4,420,871 | |||||
| Health Facilities (3.8%) | |||||
| 1,000 | HCA, Inc., Senior Secured Notes | (BBB-, Ba1) | 03/15/24 | 5.000 | 1,067,500 |
| 431 | MPT Finance Corp., Company Guaranteed Notes (Callable 10/07/17 @ 103.19) | (BBB-, Ba1) | 02/15/22 | 6.375 | 445,094 |
| 600 | MPT Finance Corp., Global Company Guaranteed Notes (Callable 10/15/22 @ 102.50) | (BBB-, Ba1) | 10/15/27 | 5.000 | 616,500 |
| 1,263 | Sabra Health Care LP, Global Company Guaranteed Notes (Callable 05/15/26 @ 100.00) | (BBB-, Ba1) | 08/15/26 | 5.125 | 1,297,812 |
| 1,400 | SP Finco LLC, Rule 144A, Company Guaranteed Notes (Callable 07/01/20 @ 103.38) (1),(7) | (CCC+, Caa2) | 07/01/25 | 6.750 | 1,319,500 |
| 1,000 | Tenet Healthcare Corp., Global Senior Unsecured Notes | (CCC+, Caa1) | 04/01/22 | 8.125 | 1,020,000 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (continued) | |||||
| Health Facilities | |||||
| $ 1,450 | Tenet Healthcare Corp., Rule 144A, Secured Notes (Callable 05/01/20 @ 102.56) (1) | (B-, Ba3) | 05/01/25 | 5.125 | $ 1,433,687 |
| 7,200,093 | |||||
| Health Services (1.2%) | |||||
| 1,000 | AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/19 @ 103.84) (1) | (BB-, Ba2) | 10/01/24 | 5.125 | 1,038,750 |
| 1,175 | CareTrust Capital Corp., Company Guaranteed Notes (Callable 06/01/20 @ 103.94) | (BB-, B1) | 06/01/25 | 5.250 | 1,212,130 |
| 2,250,880 | |||||
| Hotels (0.8%) | |||||
| 1,450 | ESH Hospitality, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/01/20 @ 102.63) (1) | (BB-, B1) | 05/01/25 | 5.250 | 1,502,563 |
| Insurance Brokerage (2.1%) | |||||
| 710 | Alliant Holdings Co-Issuer, Rule 144A, Senior Unsecured | ||||
| Notes (Callable 08/01/18 @ 104.13) (1) | (CCC+, Caa2) | 08/01/23 | 8.250 | 752,451 | |
| 925 | Hub Holdings Finance, Inc., 8.125% Cash, 8.875% PIK, Rule 144A, Senior Unsecured | ||||
| Notes (Callable 10/30/17 @ 100.00) (1),(9) | (CCC+, Caa2) | 07/15/19 | 17.000 | 929,047 | |
| 550 | HUB International Ltd., Rule 144A, Senior Unsecured Notes (Callable 10/30/17 @ 103.94) (1) | (CCC+, Caa2) | 10/01/21 | 7.875 | 573,375 |
| 1,700 | NFP Corp., Rule 144A, Senior Unsecured Notes (Callable 07/15/20 @ 103.44) (1) | (CCC+, Caa2) | 07/15/25 | 6.875 | 1,729,750 |
| 3,984,623 | |||||
| Investments & Misc. Financial Services (1.0%) | |||||
| 1,750 | Orchestra Co-Issuer, Inc., Rule 144A, Secured | ||||
| Notes (Callable 06/15/19 @ 103.38) (1) | (B-, NR) | 06/15/22 | 6.750 | 1,826,562 | |
| Machinery (1.2%) | |||||
| 775 | Terex Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/20 @ 104.22) (1) | (BB, B2) | 02/01/25 | 5.625 | 817,625 |
| 1,300 | Vertiv Intermediate Holding Corp., 12.000% Cash, 13.000% PIK, Rule 144A, Senior Unsecured | ||||
| Notes (Callable 02/15/19 @ 106.00) (1),(9) | (B-, Caa1) | 02/15/22 | 25.000 | 1,467,375 | |
| 2,285,000 | |||||
| Media - Diversified (1.0%) | |||||
| 2,100 | National CineMedia LLC, Global Senior Unsecured Notes (Callable 08/15/21 @ 102.88) | (B-, B3) | 08/15/26 | 5.750 | 1,958,250 |
| Media Content (2.5%) | |||||
| 1,050 | EMI Music Publishing Group North America Holdings, Inc., Rule 144A, Company Guaranteed | ||||
| Notes (Callable 06/15/19 @ 105.72) (1) | (B, B3) | 06/15/24 | 7.625 | 1,170,750 | |
| 1,000 | Nexstar Broadcasting, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/18 @ 103.06) (1),(7) | (B+, B3) | 02/15/22 | 6.125 | 1,047,500 |
| 250 | Nexstar Broadcasting, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/01/19 @ 104.22) (1) | (B+, B3) | 08/01/24 | 5.625 | 259,375 |
| 573 | Sinclair Television Group, Inc., Global Company Guaranteed Notes (Callable 10/16/17 @ | ||||
| 103.06) | (B+, B1) | 10/01/22 | 6.125 | 592,339 | |
| 1,150 | The EW Scripps Co., Rule 144A, Company Guaranteed Notes (Callable 05/15/20 @ 103.84) (1) | (BB-, Ba2) | 05/15/25 | 5.125 | 1,175,875 |
| 405 | WMG Acquisition Corp., Rule 144A, Senior Secured Notes (Callable 08/01/19 @ 102.50) (1) | (B+, Ba3) | 08/01/23 | 5.000 | 419,681 |
| 4,665,520 | |||||
| Metals & Mining - Excluding Steel (2.8%) | |||||
| 1,250 | Eldorado Gold Corp., Rule 144A, Company Guaranteed Notes (Callable 10/30/17 @ 103.06) (1) | (B+, B1) | 12/15/20 | 6.125 | 1,276,562 |
| 907 | Kaiser Aluminum Corp., Global Company Guaranteed Notes (Callable 05/15/19 @ 104.41) | (BB+, Ba3) | 05/15/24 | 5.875 | 972,758 |
| 2,120 | Noranda Aluminum Acquisition Corp., Global Company Guaranteed Notes (Callable 10/30/17 @ | ||||
| 102.75) (3),(4) | (NR, NR) | 06/01/19 | 11.000 | 127 | |
| 1,000 | Peabody Energy Corp., Rule 144A, Senior Secured Notes (Callable 03/31/20 @ 104.78) (1) | (B+, Ba3) | 03/31/25 | 6.375 | 1,031,250 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (continued) | |||||
| Metals & Mining - Excluding Steel | |||||
| $ 2,000 | Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 06/15/19 @ 104.38) (1),(7) | (B-, B3) | 06/15/22 | 8.750 | $ 2,040,000 |
| 5,320,697 | |||||
| Oil Field Equipment & Services (4.3%) | |||||
| 1,575 | FTS International, Inc., Global Senior Secured Notes (Callable 10/30/17 @ 104.69) | (CCC+, Caa2) | 05/01/22 | 6.250 | 1,449,000 |
| 1,000 | KCA Deutag UK Finance PLC, Rule 144A, Senior Secured Notes (Callable 04/01/20 @ 109.88) (1) | (CCC+, Caa1) | 04/01/22 | 9.875 | 1,042,500 |
| 1,194 | Nor Offshore SPV Ltd., PIK, Senior Secured Notes (Callable 10/30/17 @ 100.00) (9) | (NR, NR) | 02/04/20 | 8.400 | 449,503 |
| 600 | Pacific Drilling V Ltd., Rule 144A, Senior Secured Notes (Callable 10/30/17 @ 100.00) (1) | (NR, Ca) | 12/01/17 | 7.250 | 249,000 |
| 950 | Parker Drilling Co., Global Company Guaranteed Notes (Callable 01/15/18 @ 103.38) | (B-, Caa1) | 07/15/22 | 6.750 | 762,375 |
| 400 | Pioneer Energy Services Corp., Global Company Guaranteed Notes (Callable 10/30/17 @ | ||||
| 104.59) | (B-, Ca) | 03/15/22 | 6.125 | 340,000 | |
| 500 | Shelf Drilling Holdings Ltd., Rule 144A, Secured Notes (Callable 10/30/17 @ 102.16) (1) | (B-, B2) | 11/01/18 | 8.625 | 500,625 |
| 1,607 | Shelf Drilling Holdings Ltd., Rule 144A, Secured Notes (Callable 10/30/17 @ 104.31) (1) | (B-, B2) | 11/02/20 | 9.500 | 1,632,893 |
| 641 | Sidewinder Drilling, | ||||
| Inc. (4),(5),(6) | (NR, NR) | 02/14/20 | 12.000 | 590,722 | |
| 750 | Transocean, Inc., Global Company Guaranteed Notes (Callable 07/15/22 @ 100.00) (7) | (B+, Caa1) | 10/15/22 | 5.800 | 740,625 |
| 400 | Trinidad Drilling Ltd., Rule 144A, Company Guaranteed Notes (Callable 02/15/20 @ 104.97) (1) | (BB-, Caa1) | 02/15/25 | 6.625 | 376,000 |
| 8,133,243 | |||||
| Oil Refining & Marketing (1.4%) | |||||
| 500 | CITGO Petroleum Corp., Rule 144A, Senior Secured Notes (Callable 10/30/17 @ 104.69) (1) | (B+, B3) | 08/15/22 | 6.250 | 517,500 |
| 2,000 | Coffeyville Finance, Inc., Global Company Guaranteed Notes (Callable 11/01/17 @ | ||||
| 103.25) | (BB-, B1) | 11/01/22 | 6.500 | 2,050,000 | |
| 2,567,500 | |||||
| Packaging (2.3%) | |||||
| 1,050 | Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/20 @ | ||||
| 104.50) (1) | (B, B3) | 02/15/25 | 6.000 | 1,114,313 | |
| 600 | Ardagh Holdings U.S.A., Inc., Rule 144A, Senior Secured Notes (Callable 05/15/19 @ 102.31) (1) | (BB, Ba3) | 05/15/23 | 4.625 | 618,570 |
| 1,050 | Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes (Callable 01/15/20 @ 103.44) (1) | (CCC+, Caa1) | 01/15/25 | 6.875 | 1,092,000 |
| 1,000 | Multi-Color Corp., Rule 144A, Senior Unsecured Notes (Callable 11/01/20 @ 102.44) (1) | (B+, B2) | 11/01/25 | 4.875 | 1,013,450 |
| 450 | SIG Combibloc Holdings S.C.A., Rule 144A, Senior Secured Notes (Callable 02/15/18 @ 103.88) (1),(8) | (B-, Caa1) | 02/15/23 | 7.750 | 564,103 |
| 4,402,436 | |||||
| Personal & Household Products (0.9%) | |||||
| 1,350 | High Ridge Brands Co., Rule 144A, Company Guaranteed Notes (Callable 03/15/20 @ 104.44) (1) | (CCC+, Caa1) | 03/15/25 | 8.875 | 1,292,625 |
| 400 | Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/19 @ 104.78) (1) | (B-, Caa1) | 03/01/24 | 6.375 | 432,000 |
| 1,724,625 | |||||
| Pharmaceuticals (2.5%) | |||||
| 800 | AMAG Pharmaceuticals, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/18 @ 105.91) (1) | (BB-, Ba3) | 09/01/23 | 7.875 | 814,000 |
| 650 | Endo Finance LLC, Rule 144A, Senior Secured Notes (Callable 04/15/20 @ 102.94) (1),(7) | (BB-, Ba2) | 10/15/24 | 5.875 | 684,125 |
| 550 | Valeant Pharmaceuticals International, Inc., Rule 144A, Company Guaranteed Notes (Callable | ||||
| 04/15/20 @ 103.06) (1) | (B-, Caa1) | 04/15/25 | 6.125 | 484,000 | |
| 1,525 | Valeant Pharmaceuticals International, Inc., Rule 144A, Company Guaranteed Notes (Callable | ||||
| 05/15/18 @ 102.94) (1) | (B-, Caa1) | 05/15/23 | 5.875 | 1,351,531 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (continued) | |||||
| Pharmaceuticals | |||||
| $ 1,300 | Valeant Pharmaceuticals International, Inc., Rule 144A, Senior Secured Notes (Callable | ||||
| 03/15/20 @ 103.50) (1) | (BB-, Ba3) | 03/15/24 | 7.000 | $ 1,391,117 | |
| 4,724,773 | |||||
| Real Estate Investment Trusts (3.9%) | |||||
| 750 | iStar, Inc., Senior Unsecured Notes (Callable 04/01/19 @ 103.00) | (BB-, B1) | 04/01/22 | 6.000 | 778,125 |
| 600 | iStar, Inc., Senior Unsecured Notes (Callable 07/01/18 @ 103.25) | (BB-, B1) | 07/01/21 | 6.500 | 628,500 |
| 1,000 | iStar, Inc., Senior Unsecured Notes (Callable 09/15/19 @ 102.63) | (BB-, B1) | 09/15/22 | 5.250 | 1,017,500 |
| 1,398 | iStar, Inc., Senior Unsecured Notes (Callable 10/30/17 @ 101.25) | (BB-, B1) | 07/01/19 | 5.000 | 1,417,222 |
| 1,300 | QCP SNF West/Central/East/AL REIT LLC, Rule 144A, Secured Notes (Callable 11/01/19 @ 104.06) (1) | (B+, Caa2) | 11/01/23 | 8.125 | 1,322,750 |
| 1,175 | QTS Finance Corp., Global Company Guaranteed Notes (Callable 10/30/17 @ 104.41) | (BB, B1) | 08/01/22 | 5.875 | 1,228,639 |
| 900 | Starwood Property Trust, Inc., Global Senior Unsecured Notes (Callable 09/15/21 @ | ||||
| 100.00) | (BB-, Ba3) | 12/15/21 | 5.000 | 941,625 | |
| 7,334,361 | |||||
| Recreation & Travel (1.2%) | |||||
| 650 | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/22 @ | ||||
| 102.75) (1) | (BB-, B2) | 04/15/27 | 5.500 | 667,875 | |
| 850 | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 07/31/19 @ | ||||
| 103.66) (1) | (BB-, B2) | 07/31/24 | 4.875 | 867,000 | |
| 675 | Speedway Motorsports, Inc., Global Company Guaranteed Notes (Callable 02/01/18 @ | ||||
| 103.84) | (BB+, Ba2) | 02/01/23 | 5.125 | 700,312 | |
| 2,235,187 | |||||
| Restaurants (2.3%) | |||||
| 1,350 | Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/15/19 @ 103.38) (1) | (CCC+, Caa1) | 10/15/24 | 6.750 | 1,336,529 |
| 1,350 | Landrys, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/15/19 @ 103.38) (1) | (CCC+, Caa1) | 10/15/24 | 6.750 | 1,368,563 |
| 1,675 | New Red Finance, Inc., Rule 144A, Secured Notes (Callable 10/15/20 @ 102.50) (1) | (B-, B3e) | 10/15/25 | 5.000 | 1,704,145 |
| 4,409,237 | |||||
| Software - Services (3.0%) | |||||
| 1,150 | CDK Global, Inc., Rule 144A, Senior Unsecured Notes (Callable 06/01/22 @ 102.44) (1) | (BB+, Ba1) | 06/01/27 | 4.875 | 1,184,500 |
| 900 | First Data Corp., Rule 144A, Secured Notes (Callable 01/15/19 @ 102.88) (1) | (B, B3) | 01/15/24 | 5.750 | 945,000 |
| 700 | Infor Software Parent, Inc., 7.125% Cash, 7.875% PIK, Rule 144A, Company Guaranteed | ||||
| Notes (Callable 10/30/17 @ 103.56) (1),(9) | (CCC, Caa2) | 05/01/21 | 15.000 | 715,960 | |
| 650 | j2 Global Co-Obligor, Inc., Rule 144A, Company | ||||
| Guaranteed Notes (Callable 07/15/20 @ 104.50) (1) | (BB, Ba3) | 07/15/25 | 6.000 | 683,312 | |
| 1,703 | Syniverse Foreign Holdings Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/19 @ | ||||
| 104.56) (1) | (B, Caa3) | 01/15/22 | 9.125 | 1,741,317 | |
| 295 | Syniverse Holdings, Inc., Global Company Guaranteed Notes (Callable 10/02/17 @ | ||||
| 100.00) | (CCC+, Caa3) | 01/15/19 | 9.125 | 294,263 | |
| 5,564,352 | |||||
| Specialty Retail (1.3%) | |||||
| 1,000 | Penske Automotive Group, Inc., Company Guaranteed Notes | (B+, B1) | 08/15/20 | 3.750 | 1,022,500 |
| 350 | Penske Automotive Group, Inc., Company Guaranteed Notes (Callable 05/15/21 @ | ||||
| 102.75) | (B+, B1) | 05/15/26 | 5.500 | 362,687 | |
| 750 | Penske Automotive Group, Inc., Company Guaranteed Notes (Callable 12/01/19 @ | ||||
| 102.69) | (B+, B1) | 12/01/24 | 5.375 | 776,250 | |
| 300 | Penske Automotive Group, Inc., Global Company Guaranteed Notes (Callable 10/30/17 @ | ||||
| 102.88) | (B+, B1) | 10/01/22 | 5.750 | 309,968 | |
| 2,471,405 | |||||
| Steel Producers/Products (0.8%) | |||||
| 400 | Commercial Metals Co., Senior Unsecured Notes (Callable 07/15/22 @ 102.69) | (BB+, Ba2) | 07/15/27 | 5.375 | 421,000 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (continued) | |||||
| Steel Producers/Products | |||||
| $ 1,000 | Zekelman Industries, Inc., Rule 144A, Senior Secured Notes (Callable 06/15/19 @ 104.94) (1),(7) | (B, Caa1) | 06/15/23 | 9.875 | $ 1,130,000 |
| 1,551,000 | |||||
| Support - Services (6.6%) | |||||
| 1,950 | Avison Young Canada, Inc., Rule 144A, Senior Secured Notes (Callable 12/15/19 @ 104.75) (1) | (B+, B3) | 12/15/21 | 9.500 | 1,976,812 |
| 1,215 | Conduent Business Services LLC, Rule 144A, Company Guaranteed Notes (Callable 12/15/20 @ | ||||
| 105.25) (1) | (B+, B2) | 12/15/24 | 10.500 | 1,436,738 | |
| 1,200 | Gartner, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/20 @ 103.84) (1) | (BB-, B1) | 04/01/25 | 5.125 | 1,269,000 |
| 2,000 | H&E Equipment Services, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/20 @ | ||||
| 104.22) (1) | (BB-, B2) | 09/01/25 | 5.625 | 2,115,000 | |
| 900 | Infor U.S., Inc., Company Guaranteed Notes (Callable 05/15/18 @ 102.88) (8) | (CCC+, Caa1) | 05/15/22 | 5.750 | 1,118,204 |
| 1,467 | KAR Auction Services, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/20 @ 103.84) (1) | (B, B3) | 06/01/25 | 5.125 | 1,529,348 |
| 1,400 | Tempo Acquisition Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 06/01/20 @ | ||||
| 103.38) (1) | (CCC+, Caa1) | 06/01/25 | 6.750 | 1,417,500 | |
| 1,100 | United Rentals North America, Inc., Company Guaranteed Notes (Callable 01/15/23 @ | ||||
| 102.44) | (BB-, Ba3) | 01/15/28 | 4.875 | 1,108,250 | |
| 500 | United Rentals North America, Inc., Company Guaranteed Notes (Callable 05/15/22 @ | ||||
| 102.75) | (BB-, Ba3) | 05/15/27 | 5.500 | 534,375 | |
| 12,505,227 | |||||
| Tech Hardware & Equipment (1.9%) | |||||
| 250 | CDW Finance Corp., Company Guaranteed Notes (Callable 03/01/20 @ 103.75) | (BB-, Ba3) | 09/01/25 | 5.000 | 263,750 |
| 525 | CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 03/15/22 @ 102.50) (1) | (BB-, Ba3) | 03/15/27 | 5.000 | 527,625 |
| 875 | CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 06/15/20 @ 103.00) (1) | (BB-, Ba3) | 06/15/25 | 6.000 | 939,531 |
| 1,225 | Riverbed Technology, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/18 @ 104.44) (1) | (CCC+, Caa1) | 03/01/23 | 8.875 | 1,171,406 |
| 625 | Western Digital Corp., Rule 144A, Senior Secured Notes (Callable 04/01/19 @ 103.69) (1) | (BBB-, Ba1) | 04/01/23 | 7.375 | 686,250 |
| 3,588,562 | |||||
| Telecom - Satellite (0.7%) | |||||
| 482 | Hughes Satellite Systems Corp., Global Company Guaranteed Notes | (BB-, B3) | 06/15/21 | 7.625 | 549,128 |
| 800 | Hughes Satellite Systems Corp., Global Senior Secured Notes | (BBB-, Ba2) | 08/01/26 | 5.250 | 835,000 |
| 1,384,128 | |||||
| Telecom - Wireless (0.4%) | |||||
| 700 | T-Mobile U.S.A., Inc., Global Company Guaranteed | ||||
| Notes (Callable 01/15/21 @ 103.25) | (BB, Ba3) | 01/15/26 | 6.500 | 774,375 | |
| Telecom - Wireline Integrated & Services (2.6%) | |||||
| 300 | CyrusOne Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 03/15/22 @ 102.69) (1) | (BB+, Ba3) | 03/15/27 | 5.375 | 322,500 |
| 350 | Equinix, Inc., Senior Unsecured Notes (Callable 05/15/22 @ 102.69) | (BB+, B1) | 05/15/27 | 5.375 | 381,063 |
| 2,151 | GTT Communications, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/31/19 @ 105.91) (1) | (CCC+, Caa1) | 12/31/24 | 7.875 | 2,290,815 |
| 600 | Zayo Capital, Inc., Global Company Guaranteed Notes (Callable 04/01/18 @ 104.50) | (B, B3) | 04/01/23 | 6.000 | 636,750 |
| 1,175 | Zayo Capital, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/22 @ 102.88) (1) | (B, B3) | 01/15/27 | 5.750 | 1,248,437 |
| 4,879,565 | |||||
| Theaters & Entertainment (2.0%) | |||||
| 750 | AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes (Callable 05/15/22 @ | ||||
| 103.06) (7) | (B+, B2) | 05/15/27 | 6.125 | 744,375 | |
| 775 | AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes (Callable 10/30/17 @ | ||||
| 104.41) (7) | (B+, B2) | 02/15/22 | 5.875 | 783,719 | |
| 425 | AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes (Callable 11/15/21 @ | ||||
| 102.94) (7) | (B+, B2) | 11/15/26 | 5.875 | 420,219 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (continued) | |||||
| Theaters & Entertainment | |||||
| $ 750 | Carmike Cinemas, Inc., Rule 144A, Secured Notes (Callable 06/15/18 @ 104.50) (1) | (BB, Ba1) | 06/15/23 | 6.000 | $ 793,125 |
| 1,025 | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/19 @ | ||||
| 103.66) (1) | (B+, B3) | 11/01/24 | 4.875 | 1,063,437 | |
| 3,804,875 | |||||
| TOTAL CORPORATE BONDS (Cost $166,013,780) | 169,684,362 | ||||
| BANK LOANS (18.0%) | |||||
| Aerospace & Defense (0.5%) | |||||
| 884 | Sequa Mezzanine Holdings LLC, LIBOR 3M + | ||||
| 5.500% (10) | (B-, B3) | 11/28/21 | 6.814 | 892,188 | |
| Auto Parts & Equipment (0.8%) | |||||
| 758 | Dayco Products LLC, LIBOR 3M + | ||||
| 5.000% (6),(10) | (B+, B2) | 05/19/23 | 6.317 | 763,786 | |
| 704 | U.S. Farathane LLC, LIBOR 3M + | ||||
| 3.500% (6),(10) | (B, B2) | 12/23/21 | 4.833 | 708,699 | |
| 1,472,485 | |||||
| Building Materials (1.1%) | |||||
| 1,096 | IPS Corp., LIBOR 1M + | ||||
| 5.250% (6),(10) | (B, B2) | 12/20/23 | 6.487 | 1,111,112 | |
| 994 | Morsco, Inc., LIBOR 1M + | ||||
| 7.000% (10) | (B+, B3) | 10/31/23 | 8.235 | 1,004,020 | |
| 2,115,132 | |||||
| Chemicals (2.8%) | |||||
| 1,313 | ASP Chromaflo Intermediate Holdings, Inc., LIBOR 1M + 8.000% (10) | (CCC, Caa2) | 11/14/24 | 9.235 | 1,309,219 |
| 1,000 | SK Spice Sarl, LIBOR 1M + | ||||
| 8.250% (6),(10) | (NR, Caa1) | 07/11/25 | 9.487 | 1,015,000 | |
| 1,500 | Solenis International LP, LIBOR 3M + | ||||
| 6.750% (10) | (B-, Caa1) | 07/31/22 | 8.067 | 1,496,872 | |
| 1,500 | Vantage Specialty Chemicals, Inc., Prime + | ||||
| 7.750% (4),(6),(10) | (CCC, Caa1) | 02/05/22 | 12.000 | 1,507,500 | |
| 5,328,591 | |||||
| Diversified Capital Goods (0.5%) | |||||
| 1,005 | Dynacast International LLC, LIBOR 3M + | ||||
| 8.500% (6),(10) | (B-, Caa1) | 01/30/23 | 9.833 | 1,010,025 | |
| Electronics (1.2%) | |||||
| 750 | CPI International, Inc., LIBOR 1M + | ||||
| 7.250% (10) | (CCC+, Caa2) | 07/26/25 | 8.485 | 753,281 | |
| 590 | Excelitas Technologies Corp., LIBOR 3M + | ||||
| 5.000% (10) | (B-, B3) | 10/31/20 | 6.340 | 592,185 | |
| 997 | Oberthur Technologies S.A., LIBOR 3M + | ||||
| 3.750% (10) | (B-, B2) | 01/10/24 | 5.083 | 971,309 | |
| 2,316,775 | |||||
| Energy - Exploration & Production (0.5%) | |||||
| 1,000 | W&T Offshore, Inc. (4),(10) | (CCC, Caa2) | 05/15/20 | 9.000 | 900,000 |
| Gaming (1.1%) | |||||
| 1,500 | The Intertain Group Ltd., LIBOR 1M + | ||||
| 9.000% (2),(4),(10) | (B, Caa1) | 12/16/22 | 10.000 | 2,087,942 | |
| Health Facility (0.3%) | |||||
| 501 | Western Dental Services, Inc., LIBOR 1M + | ||||
| 5.250% (6),(10) | (B-, B3) | 06/23/23 | 6.485 | 505,665 | |
| Insurance Brokerage (1.1%) | |||||
| 1,990 | Acrisure LLC, LIBOR 2M + | ||||
| 5.000% (10) | (B, B2) | 11/22/23 | 6.272 | 2,017,363 | |
| Machinery (1.6%) | |||||
| 1,750 | CPM Acquisition Corp., LIBOR 1M + | ||||
| 8.250% (6),(10) | (B-, Caa1) | 04/10/23 | 9.485 | 1,785,000 | |
| 1,125 | WireCo WorldGroup, Inc., LIBOR 3M + | ||||
| 9.000% (10) | (B-, Caa2) | 09/30/24 | 10.317 | 1,134,495 | |
| 2,919,495 | |||||
| Media Content (0.3%) | |||||
| 500 | DLG Acquisitions Ltd., EURIBOR 6M + | ||||
| 7.250% (8),(10) | (CCC+, Caa2) | 06/30/22 | 8.250 | 594,351 | |
| Personal & Household Products (1.3%) | |||||
| 1,000 | ABG Intermediate Holdings 2 LLC, LIBOR 3M + | ||||
| 7.750% (10) | (CCC+, Caa1) | 09/26/25 | 9.083 | 1,010,348 | |
| 499 | Comfort Holding LLC, LIBOR 1M + | ||||
| 4.750% (10) | (CCC+, B2) | 02/05/24 | 5.981 | 450,742 | |
| 1,200 | Comfort Holding LLC, LIBOR 1M + | ||||
| 10.000% (10) | (CCC-, Caa1) | 02/03/25 | 11.231 | 1,024,002 | |
| 2,485,092 | |||||
| Recreation & Travel (0.5%) | |||||
| 1,000 | Legendary Pictures Funding LLC, LIBOR 3M + | ||||
| 6.000% (4),(6),(10) | (NR, NR) | 04/22/20 | 7.333 | 987,500 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| BANK LOANS (continued) | |||||
| Software - Services (2.7%) | |||||
| $ 623 | Almonde, Inc., LIBOR 3M + | ||||
| 7.250% (10) | (CCC+, Caa2) | 06/13/25 | 8.567 | $ 636,178 | |
| 1,240 | Aricent Technologies, LIBOR 1M + | ||||
| 8.500% (10) | (CCC, Caa2) | 04/14/22 | 9.737 | 1,249,300 | |
| 1,000 | Eze Castle Software, Inc., LIBOR 3M + | ||||
| 6.500% (10) | (CCC+, Caa1) | 04/05/21 | 7.833 | 1,002,500 | |
| 500 | Flexera Software LLC, LIBOR 3M + | ||||
| 7.000% (10) | (B-, Caa1) | 04/02/21 | 8.330 | 500,625 | |
| 368 | LDiscovery LLC, LIBOR 3M + | ||||
| 5.875% (4),(10) | (B+, B2) | 12/09/22 | 7.186 | 346,350 | |
| 997 | Synchronoss Technologies, Inc., LIBOR 1M + | ||||
| 4.500% (10) | (BB-, Ba3) | 01/19/24 | 5.735 | 946,123 | |
| 500 | Syniverse Holdings, Inc., LIBOR 3M + | ||||
| 3.000% (10) | (B, B3) | 04/23/19 | 4.333 | 485,000 | |
| 5,166,076 | |||||
| Specialty Retail (0.5%) | |||||
| 1,000 | Sally Holdings LLC (10) | (BBB-, Ba1) | 07/05/24 | 4.500 | 1,000,625 |
| Support - Services (0.2%) | |||||
| 1,381 | Sprint Industrial Holdings LLC, LIBOR 3M + | ||||
| 12.250% (4),(10) | (CC, Caa3) | 11/14/19 | 13.500 | 379,641 | |
| Telecom - Wireline Integrated & Services (0.9%) | |||||
| 1,750 | Omnitracs, Inc., LIBOR 3M + | ||||
| 7.750% (10) | (CCC+, Caa1) | 05/25/21 | 9.090 | 1,756,563 | |
| Theaters & Entertainment (0.1%) | |||||
| 164 | NEG Holdings LLC, LIBOR 3M + | ||||
| 8.000% (4),(5),(6),(10) | (NR, NR) | 10/17/22 | 9.333 | 121,373 | |
| TOTAL BANK LOANS (Cost $33,219,425) | 34,056,882 | ||||
| ASSET BACKED SECURITIES (1.4%) | |||||
| Collateralized Debt Obligations (1.4%) | |||||
| 1,000 | Galaxy XIV CLO Ltd., 2012-14A, Rule 144A, LIBOR 3M + | ||||
| 7.900% (1),(10) | (BB, NR) | 11/15/26 | 9.215 | 1,020,246 | |
| 1,000 | JFIN CLO Ltd., 2013-1A, Rule 144A, LIBOR 3M + 4.750% (1),(10) | (BB, NR) | 01/20/25 | 6.057 | 993,032 |
| 700 | Stewart Park CLO Ltd., 2015-1A, Rule 144A (1),(4),(10),(11) | (NR, NR) | 04/15/26 | 0.000 | 543,525 |
| TOTAL ASSET BACKED SECURITIES (Cost $2,559,831) | 2,556,803 | ||||
| Number of Shares | |||||
| COMMON STOCKS (1.1%) | |||||
| Auto Parts & Equipment (0.4%) | |||||
| 46,071 | UCI International, | ||||
| Inc. (4),(5),(6),(12) | 817,760 | ||||
| Building & Construction (0.0%) | |||||
| 6 | White Forest Resources, | ||||
| Inc. (4),(5),(6),(12) | 78 | ||||
| Building Materials (0.0%) | |||||
| 372 | Dayton Superior | ||||
| Corp. (4),(5),(6),(12) | | ||||
| Oil Field Equipment & Services (0.2%) | |||||
| 11 | Sidewinder Drilling, Inc., Series | ||||
| A (4),(5),(6),(12) | 284,975 | ||||
| Oil, Gas & Consumable Fuels (0.4%) | |||||
| 26,788 | Stone Energy Corp. (12) | 778,459 | |||
| Support - Services (0.1%) | |||||
| 800 | LTR Holdings LLC (5),(6),(12) | 284,000 | |||
| 346 | Sprint Industrial Holdings LLC, | ||||
| Class G (5),(6),(12) | 4 | ||||
| 31 | Sprint Industrial Holdings LLC, | ||||
| Class H (5),(6),(12) | | ||||
| 77 | Sprint Industrial Holdings LLC, | ||||
| Class I (5),(6),(12) | 1 | ||||
| 284,005 | |||||
| Theaters & Entertainment (0.0%) | |||||
| 20 | NEG Holdings LLC, Litigation Trust | ||||
| Units (4),(5),(6),(12) | 20 | ||||
| TOTAL COMMON STOCKS (Cost $2,887,148) | 2,165,297 | ||||
| PREFERRED STOCK (0.0%) | |||||
| Building Materials (0.0%) | |||||
| 413 | Dayton Superior Corp. (4),(5),(6) ,(12) (Cost $156,000) | | |||
| SHORT-TERM INVESTMENTS (9.1%) | |||||
| 6,820,113 | State Street Navigator Securities Lending Government Money Market Portfolio, 1.00% (13) | 6,820,113 |
| Par (000) | Value | ||||
|---|---|---|---|---|---|
| SHORT-TERM INVESTMENTS (continued) | |||||
| $ 10,408 | State Street Bank and Trust Co. Euro Time Deposit | 10/02/17 | 0.120 | $ 10,408,156 | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $17,228,269) | 17,228,269 | ||||
| TOTAL INVESTMENTS AT VALUE (119.5%) (Cost $222,064,453) | 225,691,613 | ||||
| LIABILITIES IN EXCESS OF OTHER ASSETS (-19.5%) | (36,926,377 | ) | |||
| NET ASSETS (100.0%) | $ 188,765,236 |
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, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2017, these securities amounted to a value of $123,430,952 or 65.4% of net assets.
(2) This security is denominated in British Pound.
(3) Bond is currently in default.
(4) Illiquid security (unaudited).
(5) 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.
(6) Investment was valued using significant unobservable inputs.
(7) Security or portion thereof is out on loan.
(8) This security is denominated in Euro.
(9) PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal.
(10) Variable rate obligation The interest rate shown is the rate in effect as of September 30, 2017.
(11) Zero-coupon security.
(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, 2017.
INVESTMENT ABBREVIATION
EURIBOR = Euro Interbank Offered Rate
LIBOR = London Interbank Offered Rate
NR = Not Rated
Forward Currency Contracts
| Forward Currency to be Purchased (Local) — EUR | 450,000 | Forward Currency to be Sold (Local) — USD | 486,405 | Expiration Date — 12/15/17 | Counterparty — Morgan Stanley | Value on Settlement Date — $ 486,405 | $ | 534,123 | $ | 47,718 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| GBP | 667,850 | USD | 852,654 | 10/13/17 | Morgan Stanley | 852,654 | 896,321 | 43,667 | |||
| USD | 3,259,300 | EUR | 2,905,400 | 10/13/17 | Morgan Stanley | (3,259,300 | ) | (3,436,613 | ) | (177,313 | ) |
| USD | 127,211 | EUR | 115,100 | 12/15/17 | Morgan Stanley | (127,211 | ) | (136,616 | ) | (9,405 | ) |
| USD | 2,747,450 | GBP | 2,218,000 | 10/13/17 | Morgan Stanley | (2,747,450 | ) | (2,976,778 | ) | (229,328 | ) |
| USD | 848,524 | GBP | 667,350 | 12/15/17 | Morgan Stanley | (848,524 | ) | (897,333 | ) | (48,809 | ) |
| $ | (373,470 | ) |
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. These pricing services generally price fixed income securities assuming orderly transactions of an institutional round lot size, but some trades occur in smaller odd lot sizes which may be effected at lower prices than institutional round lot trades. 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 brokers/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:
l Level 1quoted prices in active markets for identical investments
l Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
l Level 3significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments)
Information Classification: Limited Access
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, 2017 in valuing the Funds assets and liabilities carried at fair value:
| Assets | Level 1 | Level 2 | Level 3 | Total | ||
|---|---|---|---|---|---|---|
| Investments in Securities | ||||||
| Corporate Bonds | $ | $ 169,083,695 | $ 600,667 | $ 169,684,362 | ||
| Bank Loans | | 24,541,222 | 9,515,660 | 34,056,882 | ||
| Asset Backed Securities | | 2,556,803 | | 2,556,803 | ||
| Common Stocks | 778,459 | | 1,386,838 | (1) | 2,165,297 | (1) |
| Preferred Stock | | | 0 | (1) | 0 | (1) |
| Short-term Investments | | 17,228,269 | | 17,228,269 | ||
| $ 778,459 | $ 213,409,989 | $ 11,503,165 | (1) | $ 225,691,613 | (1) | |
| Other Financial Instruments* | ||||||
| Forward Currency Contracts | $ | $ 91,385 | $ | $ 91,385 | ||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||
| Other Financial Instruments* | ||||||
| Forward Currency Contracts | $ | $ 464,855 | $ | $ 464,855 |
(1) Includes zero valued securities.
The following is a reconciliation of investments as of September 30, 2017 for which significant unobservable inputs were used in determining value. All transfers, if any, are assumed to occur at the end of the reporting period.
| Balance as of December 31, 2016 | Corporate Bonds — $ 1,304,747 | Bank Loans — $ 9,282,581 | $ | 732,717 | (1) | Preferred Stock — $ 0 | (1) | Total — $ 11,320,045 | (1) | |
|---|---|---|---|---|---|---|---|---|---|---|
| Accrued discounts (premiums) | (1,615 | ) | 20,387 | | | 18,772 | ||||
| Purchases | 593,869 | 5,775,516 | 968,201 | | 7,337,586 | |||||
| Sales | (1,590,881 | ) | (3,549,717 | ) | (34,437 | ) | | (5,175,035 | ) | |
| Realized gain (loss) | (590,692 | ) | (8,060 | ) | (52,562 | ) | | (651,314 | ) | |
| Change in unrealized appreciation (depreciation) | 885,239 | 429,246 | (227,081 | ) | | 1,087,404 | ||||
| Transfers into Level 3 | | | | | | |||||
| Transfers out of Level 3 | | (2,434,293 | ) | | | (2,434,293 | ) | |||
| Balance as of September 30, 2017 | $ 600,667 | $ 9,515,660 | $ | 1,386,838 | (1) | $ 0 | (1) | $ 11,503,165 | (1) | |
| Net change in unrealized appreciation (depreciation) from investments still held as of | ||||||||||
| September 30, 2017 | $ (10,112 | ) | $ 148,155 | $ | (227,081 | ) | $ | $ (89,038 | ) |
(1) Includes zero valued securities.
Quantitative Disclosure About Significant Unobservable Inputs
| Asset Class | Fair Value At 9/30/2017 | Valuation Technique | Unobservable Input | Range (Weighted Average) (per share) |
|---|---|---|---|---|
| Corporate Bonds | $ 9,946 | Income Approach | Expected Remaining Distribution | NA |
| $ 590,721 | Market Approach | Comparable Bond Price | NA | |
| Bank Loans | $ 121,373 | Market Approach | Comparable Bond Price | NA |
| $ 9,394,287 | Vendor Pricing | Single Broker Quote | $0.99 $1.02 ($1.01) | |
| Common Stocks | $ 98 | Market Approach | Discount for Illiquidity | $1.00 $12.69 ($0.25) |
| $ 1,101,761 | Vendor Pricing | Single Broker Quote | $17.75 $355 ($23.51) | |
| $ 284,979 | Market Approach | Comparable Bond Price | $0.01 $24,871.24($611.99) | |
| Preferred Stock | $ 0 | Market Approach | Discount for Illiquidity | NA |
Each fair value determination is based on a consideration of relevant factors, including both observable and unobservable inputs. Observable and unobservable inputs that 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. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, determining fair value requires more judgment. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the investments existed. Accordingly, the degree of judgment exercised by the Fund in determining fair value is greatest for investments categorized in Level 3. In some circumstances, the inputs used to measure fair value might be categorized within different levels of the fair value hierarchy. In those instances, the fair value measurement is categorized in its entirety in the fair value hierarchy based on the
least observable input that is significant to the fair value measurement. 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.
During the period ended September 30, 2017, there were no transfers between Level 1 and Level 2, but there was $2,434,293 transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs. All transfers, if any, 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 9, 2017
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 9, 2017
/s/Laurie Pecha
Name: Laurie Pecha
Title: Chief Financial Officer
Date: November 9, 2017
Building tools?
Free accounts include 100 API calls/year for testing.
Have a question? We'll get back to you promptly.