Regulatory Filings • Nov 29, 2018
Preview not available for this file type.
Download Source FileN-Q 1 d636596dnq.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
Eleven Madison Avenue
New York, New York 10010
(Address of principal executive offices) (Zip code)
John G. Popp
Eleven 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, 2018 to September 30, 2018 |
Item 1: Schedule of Investments
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments
September 30, 2018 (unaudited)
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (106.8%) | |||||
| Air Transportation (0.3%) | |||||
| $ 550 | United Continental Holdings, Inc., Company Guaranteed Notes (1) | (BB, Ba3) | 02/01/24 | 5.000 | $ 547,250 |
| Auto Parts & Equipment (2.3%) | |||||
| 1,300 | Cooper-Standard Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/21 @ | ||||
| 102.81) (2) | (B+, B1) | 11/15/26 | 5.625 | 1,282,125 | |
| 2,000 | IHO Verwaltungs GmbH, Rule 144A, Senior Secured Notes (Callable 09/15/21 @ 102.38) (2),(3) | (BB+, Ba1) | 09/15/26 | 4.750 | 1,890,000 |
| 1,000 | Stevens Holding Co., Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/23 @ 101.53) (2) | (B+, B2) | 10/01/26 | 6.125 | 1,018,750 |
| 4,190,875 | |||||
| Brokerage (2.4%) | |||||
| 600 | Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 10/29/18 @ 103.44) (2) | (B, B1) | 04/15/22 | 6.875 | 606,000 |
| 1,450 | Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 10/29/18 @ 103.75) (2) | (B, B1) | 04/15/21 | 7.500 | 1,489,875 |
| 2,375 | LPL Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/15/20 @ 104.31) (2) | (BB-, B2) | 09/15/25 | 5.750 | 2,324,531 |
| 4,420,406 | |||||
| Building & Construction (0.8%) | |||||
| 1,500 | TopBuild Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/21 @ 102.81) (2) | (BB-, B1) | 05/01/26 | 5.625 | 1,470,000 |
| Building Materials (8.4%) | |||||
| 1,000 | American Builders & Contractors Supply Co., Inc., Rule 144A, Company Guaranteed | ||||
| Notes (Callable 05/15/21 @ 102.94) (2) | (B+, B3) | 05/15/26 | 5.875 | 1,006,250 | |
| 550 | American Builders & Contractors Supply Co., Inc., Rule 144A, Senior Unsecured | ||||
| Notes (Callable 12/15/18 @ 104.31) (2) | (B+, B3) | 12/15/23 | 5.750 | 563,062 | |
| 1,000 | American Woodmark Corp., Rule 144A, Company Guaranteed Notes (Callable 03/15/21 @ 102.44) (2) | (BB, Ba3) | 03/15/26 | 4.875 | 957,500 |
| 1,825 | Beacon Roofing Supply, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/20 @ | ||||
| 102.44) (2) | (B+, B3) | 11/01/25 | 4.875 | 1,688,125 | |
| 325 | Core & Main LP, Rule 144A, Senior Unsecured Notes (Callable 08/15/20 @ 103.06) (2) | (B-, Caa1) | 08/15/25 | 6.125 | 312,000 |
| 250 | James Hardie International Finance DAC, Rule 144A, Company Guaranteed Notes (Callable | ||||
| 01/15/21 @ 102.38) (2) | (BB, Ba1) | 01/15/25 | 4.750 | 242,863 | |
| 1,250 | James Hardie International Finance DAC, Rule 144A, Company Guaranteed Notes (Callable | ||||
| 01/15/23 @ 102.50) (2) | (BB, Ba1) | 01/15/28 | 5.000 | 1,184,375 | |
| 1,025 | Jeld-Wen, Inc., Rule 144A, Company Guaranteed | ||||
| Notes (Callable 12/15/20 @ 102.31) (2) | (BB-, B1) | 12/15/25 | 4.625 | 948,125 | |
| 500 | Jeld-Wen, Inc., Rule 144A, Company Guaranteed | ||||
| Notes (Callable 12/15/22 @ 102.44) (2) | (BB-, B1) | 12/15/27 | 4.875 | 456,875 | |
| 575 | Masonite International Corp., Rule 144A, Senior Unsecured Notes (Callable 09/15/21 @ 102.88) (2) | (BB+, Ba3) | 09/15/26 | 5.750 | 577,875 |
| 2,350 | Omnimax International, Inc., Rule 144A, Senior Secured Notes (Callable 10/15/18 @ 104.50) (2) | (B-, Caa1) | 08/15/20 | 12.000 | 2,458,687 |
| 2,450 | PriSo Acquisition Corp., Rule 144A, Senior Unsecured Notes (Callable 10/29/18 @ 104.50) (2) | (CCC+, Caa1) | 05/15/23 | 9.000 | 2,541,875 |
| 500 | Summit Materials Finance Corp., Global Company Guaranteed Notes (Callable 04/15/19 @ | ||||
| 104.25) | (BB, B3) | 04/15/22 | 8.500 | 533,125 | |
| 500 | Summit Materials Finance Corp., Global Company Guaranteed Notes (Callable 10/15/18 @ | ||||
| 103.06) | (BB, B3) | 07/15/23 | 6.125 | 509,590 | |
| 475 | U.S. Concrete, Inc., Global Company Guaranteed Notes (Callable 06/01/19 @ 104.78) | (BB-, B3) | 06/01/24 | 6.375 | 482,933 |
| 800 | USG Corp., Rule 144A, Company Guaranteed Notes (Callable 06/01/22 @ 102.44) (2) | (BB+, Ba1) | 06/01/27 | 4.875 | 810,808 |
| 15,274,068 | |||||
| Cable & Satellite TV (8.7%) | |||||
| 1,250 | Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 05/15/21 @ 103.75) (2) | (B+, B1) | 05/15/26 | 7.500 | 1,221,875 |
| 825 | Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 10/29/18 @ 104.97) (2) | (B+, B1) | 02/15/23 | 6.625 | 833,250 |
| 550 | Altice France S.A., Rule 144A, Senior Secured Notes (Callable 05/01/21 @ 103.69) (2) | (B, B1) | 05/01/26 | 7.375 | 552,063 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (continued) | |||||
| Cable & Satellite TV | |||||
| $ 1,200 | Altice France S.A., Rule 144A, Senior Secured Notes (Callable 05/15/19 @ 103.13) (2) | (B, B1) | 05/15/24 | 6.250 | $ 1,186,500 |
| 500 | Altice U.S. Finance I Corp., Rule 144A, Senior Secured Notes (Callable 05/15/21 @ 102.75) (2) | (BB, Ba3) | 05/15/26 | 5.500 | 500,625 |
| 1,200 | Altice U.S. Finance I Corp., Rule 144A, Senior Secured Notes (Callable 10/09/18 @ 104.03) (2) | (BB, Ba3) | 07/15/23 | 5.375 | 1,216,500 |
| 1,850 | Block Communications, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/20 @ 103.44) (2) | (BB-, Ba3) | 02/15/25 | 6.875 | 1,905,500 |
| 685 | CSC Holdings LLC, Global Senior Unsecured Notes | (B-, B2) | 06/01/24 | 5.250 | 671,300 |
| 850 | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 102.69) (2) | (BB-, Ba2) | 02/01/28 | 5.375 | 811,750 |
| 50 | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 04/15/22 @ 102.75) (2) | (BB-, Ba2) | 04/15/27 | 5.500 | 48,625 |
| 400 | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 10/15/20 @ 103.31) (2) | (BB-, Ba2) | 10/15/25 | 6.625 | 422,500 |
| 335 | CSC Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/20 @ 105.44) (2) | (B-, B2) | 10/15/25 | 10.875 | 390,275 |
| 2,350 | Midcontinent Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 10/29/18 @ 105.16) (2) | (B, B3) | 08/15/23 | 6.875 | 2,471,142 |
| 1,800 | Telenet Finance Luxembourg Notes Sarl, Rule 144A, Senior Secured Notes (Callable 12/01/22 @ | ||||
| 102.75) (2) | (BB-, Ba3) | 03/01/28 | 5.500 | 1,701,000 | |
| 500 | Virgin Media Secured Finance PLC, Rule 144A, Senior Secured Notes (Callable 04/15/22 @ | ||||
| 102.50) (2),(4) | (BB-, Ba3) | 04/15/27 | 5.000 | 651,368 | |
| 1,350 | Ziggo B.V., Rule 144A, Senior Secured Notes (Callable 01/15/22 @ 102.75) (2) | (BB-, B1) | 01/15/27 | 5.500 | 1,270,012 |
| 15,854,285 | |||||
| Chemicals (6.2%) | |||||
| 1,700 | Alpha 2 B.V., 8.75% Cash, 9.50% PIK, Rule 144A, Senior Unsecured Notes (Callable 06/01/19 @ | ||||
| 102.00) (2),(3) | (CCC+, Caa1) | 06/01/23 | 8.750 | 1,731,875 | |
| 1,500 | Alpha U.S. Bidco, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/20 @ 103.13) (2) | (CCC+, Caa1) | 02/01/25 | 6.250 | 1,500,450 |
| 500 | GCP Applied Technologies, Inc. Rule 144A, Company Guaranteed Notes (Callable 04/15/21 @ | ||||
| 102.75) (2) | (BB, B1) | 04/15/26 | 5.500 | 492,500 | |
| 1,380 | Ingevity Corp., Rule 144A, Senior Unsecured Notes (Callable 02/01/21 @ 102.25) (2) | (NR, Ba3) | 02/01/26 | 4.500 | 1,319,211 |
| 1,000 | Nufarm Americas, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/30/21 @ 102.88) (2) | (BB-, B1) | 04/30/26 | 5.750 | 948,750 |
| 500 | PQ Corp., Rule 144A, Senior Secured Notes (Callable 05/15/19 @ 103.38) (2) | (BB-, B2) | 11/15/22 | 6.750 | 522,090 |
| 276 | Reichhold Industries, Inc., Rule 144A, Senior Secured Notes (2),(5),(6),(7),(8) | (NR, NR) | 05/01/19 | 9.000 | 9,946 |
| 500 | Starfruit U.S. Holdco LLC, Rule 144A, Senior Unsecured Notes (Callable 10/01/21 @ 104.00) (2) | (B-, Caa1) | 10/01/26 | 8.000 | 508,125 |
| 1,000 | Trinseo Materials Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/20 @ | ||||
| 102.69) (2) | (BB-, B2) | 09/01/25 | 5.375 | 966,550 | |
| 1,500 | Tronox, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/21 @ 103.25) (1),(2) | (B-, B3) | 04/15/26 | 6.500 | 1,447,500 |
| 1,700 | Venator Materials LLC, Rule 144A, Company Guaranteed Notes (Callable 07/15/20 @ 104.31) (1),(2) | (BB-, B2) | 07/15/25 | 5.750 | 1,547,000 |
| 325 | Versum Materials, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/30/21 @ 102.75) (2) | (BB+, Ba3) | 09/30/24 | 5.500 | 332,313 |
| 11,326,310 | |||||
| Consumer/Commercial/Lease Financing (0.2%) | |||||
| 375 | Lincoln Finance Ltd., Rule 144A, Senior Secured Notes (Callable 10/09/18 @ 103.69) (2) | (BB+, B1) | 04/15/21 | 7.375 | 388,624 |
| Diversified Capital Goods (0.8%) | |||||
| 900 | Anixter, Inc., Global Company Guaranteed Notes | (BB, Ba3) | 03/01/23 | 5.500 | 932,625 |
| 470 | EnerSys, Rule 144A, Company Guaranteed Notes (Callable 01/30/23 @ 100.00) (2) | (BB+, Ba2) | 04/30/23 | 5.000 | 476,463 |
| 1,409,088 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (continued) | |||||
| Electronics (1.7%) | |||||
| $ 1,750 | Entegris, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/10/20 @ 103.47) (2) | (BB-, Ba3) | 02/10/26 | 4.625 | $ 1,673,263 |
| 1,500 | Sensata Technologies B.V., Rule 144A, Company Guaranteed Notes (2) | (BB+, Ba3) | 10/01/25 | 5.000 | 1,503,750 |
| 3,177,013 | |||||
| Energy - Exploration & Production (2.0%) | |||||
| 825 | Aker BP ASA, Rule 144A, Senior Unsecured Notes (Callable 03/31/21 @ 102.94) (2) | (BB+, Ba2) | 03/31/25 | 5.875 | 854,906 |
| 600 | Jagged Peak Energy LLC, Rule 144A, Company Guaranteed Notes (Callable 05/01/21 @ 102.94) (2) | (B, B3) | 05/01/26 | 5.875 | 598,500 |
| 932 | Talos Production Finance, Inc., Rule 144A, Secured Notes (Callable 05/10/19 @ 105.50) (2) | (NR, NR) | 04/03/22 | 11.000 | 1,002,153 |
| 1,124 | W&T Offshore, Inc., Global Company Guaranteed Notes (Callable 10/29/18 @ | ||||
| 100.00) | (CC, Ca) | 06/15/19 | 8.500 | 1,129,620 | |
| 3,585,179 | |||||
| Food - Wholesale (1.2%) | |||||
| 1,160 | Clearwater Seafoods, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/01/20 @ 105.16) (2) | (B+, B3) | 05/01/25 | 6.875 | 1,122,300 |
| 400 | Lamb Weston Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/21 @ 102.44) (2) | (BB, Ba2) | 11/01/26 | 4.875 | 393,500 |
| 700 | U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/19 @ 102.94) (2) | (BB, B2) | 06/15/24 | 5.875 | 707,000 |
| 2,222,800 | |||||
| Gaming (3.0%) | |||||
| 500 | Boyd Gaming Corp., Global Company Guaranteed Notes (Callable 08/15/21 @ 103.00) | (B, B3) | 08/15/26 | 6.000 | 506,250 |
| 1,750 | Churchill Downs, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/23 @ 102.38) (2) | (B+, Ba3) | 01/15/28 | 4.750 | 1,645,000 |
| 1,683 | Gateway Casinos & Entertainment Ltd., Rule 144A, Secured Notes (Callable 03/01/20 @ | ||||
| 104.13) (2) | (CCC+, Caa1) | 03/01/24 | 8.250 | 1,775,565 | |
| 1,469 | Jacobs Entertainment, Inc., Rule 144A, Secured Notes (Callable 02/01/20 @ 105.91) (2) | (B, B2) | 02/01/24 | 7.875 | 1,562,884 |
| 5,489,699 | |||||
| Gas Distribution (3.3%) | |||||
| 1,450 | CNX Midstream Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 03/15/21 @ 104.88) (2) | (BB-, B3) | 03/15/26 | 6.500 | 1,446,375 |
| 1,500 | Energy Transfer Equity LP, Senior Secured Notes | (BB-, Ba2) | 10/15/20 | 7.500 | 1,608,750 |
| 750 | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 02/15/21 @ 104.69) | (B+, B1) | 05/15/26 | 6.250 | 716,250 |
| 750 | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 06/15/19 @ 102.81) | (B+, B1) | 06/15/24 | 5.625 | 712,500 |
| 425 | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 10/01/20 @ 104.88) | (B+, B1) | 10/01/25 | 6.500 | 413,312 |
| 164 | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 10/29/18 @ 104.50) | (B+, B1) | 05/15/23 | 6.000 | 162,565 |
| 1,000 | Holly Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/19 @ 104.50) (2) | (BB, B2) | 08/01/24 | 6.000 | 1,027,500 |
| 6,087,252 | |||||
| Health Facilities (1.8%) | |||||
| 750 | HCA, Inc., Company Guaranteed Notes (Callable 03/01/28 @ 100.00) | (BB-, Ba2) | 09/01/28 | 5.625 | 755,625 |
| 1,000 | HCA, Inc., Senior Secured Notes | (BBB-, Ba1) | 03/15/24 | 5.000 | 1,027,500 |
| 200 | MPT Finance Corp., Global Company Guaranteed Notes (Callable 05/01/19 @ 102.75) | (BBB-, Ba1) | 05/01/24 | 5.500 | 202,000 |
| 1,263 | Sabra Health Care LP, Global Company Guaranteed Notes (Callable 05/15/26 @ 100.00) | (BBB-, Ba1) | 08/15/26 | 5.125 | 1,238,404 |
| 3,223,529 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (continued) | |||||
| Health Services (2.1%) | |||||
| $ 1,250 | AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/19 @ 103.84) (2) | (BB-, Ba2) | 10/01/24 | 5.125 | $ 1,212,500 |
| 1,425 | CareTrust Capital Corp., Company Guaranteed Notes (Callable 06/01/20 @ 103.94) | (BB, Ba3) | 06/01/25 | 5.250 | 1,392,937 |
| 1,200 | Sotera Health Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 10/29/18 @ 104.88) (2) | (CCC+, Caa1) | 05/15/23 | 6.500 | 1,239,000 |
| 3,844,437 | |||||
| Hotels (1.1%) | |||||
| 2,100 | ESH Hospitality, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/01/20 @ 102.63) (2) | (BB-, B1) | 05/01/25 | 5.250 | 2,037,000 |
| Insurance Brokerage (3.3%) | |||||
| 2,000 | Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/20 @ 103.50) (2) | (CCC+, Caa2) | 11/15/25 | 7.000 | 1,869,900 |
| 710 | Alliant Holdings Co-Issuer, Rule 144A, Senior Unsecured | ||||
| Notes (Callable 10/09/18 @ 104.13) (2) | (CCC+, Caa2) | 08/01/23 | 8.250 | 736,625 | |
| 1,500 | HUB International Ltd., Rule 144A, Senior Unsecured Notes (Callable 05/01/21 @ 103.50) (2) | (CCC+, Caa2) | 05/01/26 | 7.000 | 1,505,715 |
| 1,950 | NFP Corp., Rule 144A, Senior Unsecured Notes (Callable 07/15/20 @ 103.44) (2) | (CCC+, Caa2) | 07/15/25 | 6.875 | 1,959,750 |
| 6,071,990 | |||||
| Investments & Misc. Financial Services (2.5%) | |||||
| 2,300 | Compass Group Diversified Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 05/01/21 | ||||
| @ 104.00) (2) | (B-, B3) | 05/01/26 | 8.000 | 2,380,500 | |
| 2,125 | Orchestra Co-Issuer, Inc., Rule 144A, Secured | ||||
| Notes (Callable 06/15/19 @ 103.38) (2) | (B-, B1) | 06/15/22 | 6.750 | 2,199,375 | |
| 4,579,875 | |||||
| Machinery (1.2%) | |||||
| 1,000 | Itron, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/21 @ 102.50) (1),(2) | (BB-, B2) | 01/15/26 | 5.000 | 962,500 |
| 450 | Rexnord LLC, Rule 144A, Company Guaranteed Notes (Callable 12/15/20 @ 102.44) (2) | (B+, B1) | 12/15/25 | 4.875 | 430,875 |
| 775 | Terex Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/20 @ 104.22) (2) | (BB, B2) | 02/01/25 | 5.625 | 771,125 |
| 2,164,500 | |||||
| Media - Diversified (0.3%) | |||||
| 550 | National CineMedia LLC, Global Senior Unsecured Notes (Callable 08/15/21 @ 102.88) | (B-, B3) | 08/15/26 | 5.750 | 523,325 |
| Media Content (2.1%) | |||||
| 1,550 | EMI Music Publishing Group North America Holdings, Inc., Rule 144A, Company Guaranteed | ||||
| Notes (Callable 06/15/19 @ 105.72) (2) | (B, B3) | 06/15/24 | 7.625 | 1,672,062 | |
| 1,200 | Netflix, Inc., Rule 144A, Senior Unsecured | ||||
| Notes (2) | (B+, Ba3) | 11/15/28 | 5.875 | 1,201,500 | |
| 905 | WMG Acquisition Corp., Rule 144A, Senior Secured Notes (Callable 08/01/19 @ 102.50) (2) | (B+, Ba3) | 08/01/23 | 5.000 | 908,394 |
| 3,781,956 | |||||
| Medical Products (0.5%) | |||||
| 875 | Sotera Health Topco, Inc., 8.125% Cash, 8.875% PIK, Rule 144A, Senior Unsecured | ||||
| Notes (Callable 10/29/18 @ 102.00) (2),(3) | (CCC+, Caa2) | 11/01/21 | 8.125 | 885,938 | |
| Metals & Mining - Excluding Steel (4.4%) | |||||
| 1,550 | Cleveland-Cliffs, Inc., Rule 144A, Senior Secured Notes (Callable 01/15/21 @ 102.44) (2) | (BB-, Ba3) | 01/15/24 | 4.875 | 1,530,625 |
| 2,000 | Eldorado Gold Corp., Rule 144A, Company Guaranteed Notes (Callable 10/29/18 @ 101.53) (2) | (B, B2) | 12/15/20 | 6.125 | 1,905,000 |
| 1,500 | First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes (Callable 03/01/21 @ | ||||
| 105.16) (1),(2) | (B, NR) | 03/01/26 | 6.875 | 1,368,750 | |
| 907 | Kaiser Aluminum Corp., Global Company Guaranteed Notes (Callable 05/15/19 @ 104.41) | (BB+, Ba3) | 05/15/24 | 5.875 | 929,403 |
| 2,120 | Noranda Aluminum Acquisition Corp., Global Senior Unsecured Notes (Callable 11/15/18 @ | ||||
| 100.00) (5),(7),(8) | (NR, NR) | 06/01/19 | 11.000 | |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (continued) | |||||
| Metals & Mining - Excluding Steel | |||||
| $ 2,250 | Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 06/15/19 @ 104.38) (2) | (B, B3) | 06/15/22 | 8.750 | $ 2,292,187 |
| 8,025,965 | |||||
| Oil Field Equipment & Services (4.2%) | |||||
| 1,575 | FTS International, Inc., Global Senior Secured Notes (Callable 10/29/18 @ 103.13) | (B, B3) | 05/01/22 | 6.250 | 1,517,906 |
| 1,000 | KCA Deutag UK Finance PLC, Rule 144A, Senior Secured Notes (Callable 04/01/20 @ 109.88) (2) | (B-, B3) | 04/01/22 | 9.875 | 1,000,000 |
| 811 | Nor Offshore SPV Ltd., PIK, Senior Secured Notes (Callable 10/29/18 @ 100.00) (3) | (NR, NR) | 02/04/20 | 8.400 | 291,918 |
| 950 | Parker Drilling Co., Global Company Guaranteed Notes (Callable 10/29/18 @ 103.38) (1) | (B-, Caa2) | 07/15/22 | 6.750 | 748,125 |
| 400 | Pioneer Energy Services Corp., Global Company Guaranteed Notes (Callable 10/29/18 @ | ||||
| 103.06) | (CCC, Caa3) | 03/15/22 | 6.125 | 352,000 | |
| 2,500 | Shelf Drilling Holdings Ltd., Rule 144A, Company Guaranteed Notes (Callable 02/15/21 @ | ||||
| 106.19) (2) | (B-, B2) | 02/15/25 | 8.250 | 2,587,500 | |
| 700 | Sidewinder Drilling, Inc., Secured Notes (Callable 10/16/18 @ 100.00) (7),(8) | (NR, NR) | 02/15/20 | 12.000 | 700,898 |
| 100 | Transocean, Inc., Global Company Guaranteed Notes (Callable 07/15/22 @ 100.00) | (B-, Caa2) | 10/15/22 | 5.800 | 99,875 |
| 400 | Trinidad Drilling Ltd., Rule 144A, Company Guaranteed Notes (Callable 02/15/20 @ 104.97) (2) | (BB-, B3) | 02/15/25 | 6.625 | 398,000 |
| 7,696,222 | |||||
| Oil Refining & Marketing (1.4%) | |||||
| 500 | CITGO Petroleum Corp., Rule 144A, Senior Secured Notes (Callable 10/29/18 @ 103.13) (2) | (B+, B3) | 08/15/22 | 6.250 | 501,250 |
| 2,000 | Coffeyville Finance, Inc., Global Company Guaranteed Notes (Callable 10/29/18 @ | ||||
| 103.25) | (BB-, B1) | 11/01/22 | 6.500 | 2,040,000 | |
| 2,541,250 | |||||
| Packaging (3.5%) | |||||
| 1,050 | Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/20 @ | ||||
| 104.50) (2) | (B, B3) | 02/15/25 | 6.000 | 1,030,313 | |
| 1,000 | Crown Americas Capital Corp., VI, Rule 144A, Company Guaranteed Notes (Callable 02/01/21 @ | ||||
| 103.56) (1),(2) | (B+, Ba3) | 02/01/26 | 4.750 | 957,500 | |
| 2,000 | Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes (Callable 01/15/20 @ 103.44) (2) | (CCC+, Caa1) | 01/15/25 | 6.875 | 1,920,000 |
| 450 | SIG Combibloc Holdings S.C.A., Rule 144A, Senior Secured Notes (Callable 10/01/18 @ 103.88) (2),(9) | (B-, Caa1) | 02/15/23 | 7.750 | 542,928 |
| 2,050 | TriMas Corp., Rule 144A, Company Guaranteed Notes (Callable 10/15/20 @ 102.44) (2) | (BB-, Ba3) | 10/15/25 | 4.875 | 1,966,719 |
| 6,417,460 | |||||
| Personal & Household Products (1.6%) | |||||
| 1,350 | High Ridge Brands Co., Rule 144A, Company Guaranteed Notes (Callable 03/15/20 @ 104.44) (2) | (CC, Caa3) | 03/15/25 | 8.875 | 659,813 |
| 1,124 | Mattel, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/31/20 @ 105.06) (2) | (BB-, B1) | 12/31/25 | 6.750 | 1,104,330 |
| 1,150 | Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/19 @ 104.78) (1),(2) | (B-, Caa1) | 03/01/24 | 6.375 | 1,168,687 |
| 2,932,830 | |||||
| Pharmaceuticals (4.0%) | |||||
| 500 | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/22 @ 104.63) (2) | (B-, Caa1) | 04/01/26 | 9.250 | 540,625 |
| 1,525 | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 10/29/18 @ 102.94) (2) | (B-, Caa1) | 05/15/23 | 5.875 | 1,492,594 |
| 250 | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/21 @ 104.50) (2) | (B-, Caa1) | 12/15/25 | 9.000 | 270,000 |
| 1,300 | Bausch Health Cos., Inc., Rule 144A, Senior Secured Notes (Callable 03/15/20 @ 103.50) (2) | (BB-, Ba3) | 03/15/24 | 7.000 | 1,376,700 |
| 1,000 | Catalent Pharma Solutions, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/20 @ | ||||
| 102.44) (2) | (B+, B3) | 01/15/26 | 4.875 | 967,500 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (continued) | |||||
| Pharmaceuticals | |||||
| $ 500 | Endo Finance LLC, Rule 144A, Company Guaranteed Notes (Callable 10/29/18 @ 104.50) (2) | (CCC+, B3) | 07/15/23 | 6.000 | $ 446,250 |
| 650 | Endo Finance LLC, Rule 144A, Senior Secured Notes (Callable 04/15/20 @ 102.94) (1),(2) | (BB-, Ba2) | 10/15/24 | 5.875 | 659,750 |
| 1,682 | Owens & Minor, Inc., Global Company Guaranteed Notes (Callable 09/15/24 @ | ||||
| 100.00) | (BB, B1) | 12/15/24 | 4.375 | 1,448,622 | |
| 7,202,041 | |||||
| Printing & Publishing (0.5%) | |||||
| 1,000 | Multi-Color Corp., Rule 144A, Company Guaranteed Notes (Callable 11/01/20 @ 102.44) (2) | (B+, B2) | 11/01/25 | 4.875 | 937,500 |
| Real Estate Investment Trusts (2.3%) | |||||
| 750 | iStar, Inc., Senior Unsecured Notes (Callable 04/01/19 @ 103.00) | (BB-, B1) | 04/01/22 | 6.000 | 757,500 |
| 1,000 | iStar, Inc., Senior Unsecured Notes (Callable 09/15/19 @ 102.63) | (BB-, B1) | 09/15/22 | 5.250 | 987,500 |
| 902 | iStar, Inc., Senior Unsecured Notes (Callable 10/29/18 @ 100.00) | (BB-, B1) | 07/01/19 | 5.000 | 904,075 |
| 600 | iStar, Inc., Senior Unsecured Notes (Callable 10/29/18 @ 103.25) | (BB-, B1) | 07/01/21 | 6.500 | 614,988 |
| 900 | Starwood Property Trust, Inc., Global Senior Unsecured Notes (Callable 09/15/21 @ | ||||
| 100.00) | (BB-, Ba3) | 12/15/21 | 5.000 | 909,000 | |
| 4,173,063 | |||||
| Recreation & Travel (2.9%) | |||||
| 1,250 | Boyne U.S.A., Inc., Rule 144A, Secured Notes (Callable 05/01/21 @ 103.63) (2) | (B, B2) | 05/01/25 | 7.250 | 1,328,125 |
| 1,035 | Canadas Wonderland Co., Global Company Guaranteed Notes (Callable 04/15/22 @ | ||||
| 102.69) | (BB-, B1) | 04/15/27 | 5.375 | 1,003,950 | |
| 750 | Merlin Entertainments PLC, Rule 144A, Senior Unsecured Notes (Callable 03/17/26 @ 100.00) (2) | (BB, Ba2) | 06/15/26 | 5.750 | 759,375 |
| 650 | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/22 @ | ||||
| 102.75) (2) | (BB-, B2) | 04/15/27 | 5.500 | 645,125 | |
| 850 | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 07/31/19 @ | ||||
| 103.66) (2) | (BB-, B2) | 07/31/24 | 4.875 | 830,875 | |
| 675 | Speedway Motorsports, Inc., Global Company Guaranteed Notes (Callable 10/29/18 @ | ||||
| 103.84) | (BB+, Ba2) | 02/01/23 | 5.125 | 677,531 | |
| 5,244,981 | |||||
| Restaurants (1.8%) | |||||
| 1,350 | Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/15/19 @ 103.38) (2) | (CCC+, B3) | 10/15/24 | 6.750 | 1,372,788 |
| 2,075 | New Red Finance, Inc., Rule 144A, Secured Notes (Callable 10/15/20 @ 102.50) (2) | (B-, B3) | 10/15/25 | 5.000 | 1,992,021 |
| 3,364,809 | |||||
| Software - Services (4.3%) | |||||
| 1,850 | CDK Global, Inc., Global Senior Unsecured Notes (Callable 06/01/22 @ 102.44) | (BB+, Ba1) | 06/01/27 | 4.875 | 1,813,000 |
| 937 | Epicor Software Corp., Rule 144A, Secured Notes (Callable 10/29/18 @ 102.00), LIBOR 3M + | ||||
| 7.250% (2),(7),(8),(10) | (NR, NR) | 06/30/23 | 9.650 | 946,370 | |
| 900 | First Data Corp., Rule 144A, Secured Notes (Callable 01/15/19 @ 102.88) (2) | (B+, B1) | 01/15/24 | 5.750 | 918,000 |
| 950 | Infor Software Parent, Inc., 7.125% Cash, 7.875% PIK, Rule 144A, Senior Unsecured | ||||
| Notes (Callable 10/29/18 @ 101.78) (2),(3) | (CCC, Caa2) | 05/01/21 | 7.125 | 963,053 | |
| 900 | Infor U.S., Inc., Company Guaranteed Notes (Callable 10/15/18 @ 102.88) (9) | (CCC+, Caa1) | 05/15/22 | 5.750 | 1,074,619 |
| 1,925 | Solera Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/01/19 @ 107.88) (2) | (CCC+, Caa1) | 03/01/24 | 10.500 | 2,112,688 |
| 7,827,730 | |||||
| Specialty Retail (1.4%) | |||||
| 350 | Penske Automotive Group, Inc., Company Guaranteed Notes (Callable 05/15/21 @ | ||||
| 102.75) | (B+, Ba3) | 05/15/26 | 5.500 | 341,145 | |
| 750 | Penske Automotive Group, Inc., Company Guaranteed Notes (Callable 12/01/19 @ | ||||
| 102.69) | (B+, Ba3) | 12/01/24 | 5.375 | 738,750 | |
| 300 | Penske Automotive Group, Inc., Global Company Guaranteed Notes (Callable 10/29/18 @ | ||||
| 101.92) | (B+, Ba3) | 10/01/22 | 5.750 | 305,813 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (continued) | |||||
| Specialty Retail | |||||
| $ 1,150 | Ruyi U.S. Finance LLC, Rule 144A, Senior Secured Notes (Callable 05/01/21 @ 105.63) (2) | (B, B1) | 05/01/25 | 7.500 | $ 1,129,875 |
| 2,515,583 | |||||
| Steel Producers/Products (1.1%) | |||||
| 600 | Commercial Metals Co., Rule 144A, Senior Unsecured Notes (Callable 04/15/21 @ 102.88) (2) | (BB+, Ba3) | 04/15/26 | 5.750 | 583,500 |
| 400 | Commercial Metals Co., Senior Unsecured Notes (Callable 07/15/22 @ 102.69) | (BB+, Ba2) | 07/15/27 | 5.375 | 377,000 |
| 1,000 | Zekelman Industries, Inc., Rule 144A, Senior Secured Notes (Callable 06/15/19 @ 104.94) (2) | (B, B3) | 06/15/23 | 9.875 | 1,088,750 |
| 2,049,250 | |||||
| Support - Services (7.5%) | |||||
| 2,100 | Avison Young Canada, Inc., Rule 144A, Senior Secured Notes (Callable 12/15/19 @ 104.75) (2) | (B, B3) | 12/15/21 | 9.500 | 2,226,000 |
| 575 | CoreCivic, Inc., Company Guaranteed Notes (Callable 07/15/27 @ 100.00) | (BB, Ba1) | 10/15/27 | 4.750 | 510,313 |
| 1,200 | Gartner, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/20 @ 103.84) (2) | (BB-, B1) | 04/01/25 | 5.125 | 1,211,292 |
| 2,000 | H&E Equipment Services, Inc., Global Company Guaranteed Notes (Callable 09/01/20 @ | ||||
| 104.22) | (BB-, B2) | 09/01/25 | 5.625 | 2,000,000 | |
| 1,467 | KAR Auction Services, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/20 @ 103.84) (2) | (B, B3) | 06/01/25 | 5.125 | 1,426,657 |
| 663 | Sabre GLBL, Inc. Rule 144A, Senior Secured Notes (Callable 11/15/18 @ 103.94) (2) | (BB, Ba2) | 11/15/23 | 5.250 | 666,315 |
| 2,025 | Sothebys, Rule 144A, Company Guaranteed Notes (Callable 12/15/20 @ 103.66) (2) | (BB-, Ba3) | 12/15/25 | 4.875 | 1,941,469 |
| 575 | Tempo Acquisition Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 06/01/20 @ | ||||
| 103.38) (2) | (CCC+, Caa1) | 06/01/25 | 6.750 | 560,625 | |
| 1,100 | United Rentals North America, Inc., Company Guaranteed Notes (Callable 01/15/23 @ | ||||
| 102.44) | (BB, Ba3) | 01/15/28 | 4.875 | 1,034,000 | |
| 500 | United Rentals North America, Inc., Company Guaranteed Notes (Callable 05/15/22 @ | ||||
| 102.75) | (BB, Ba3) | 05/15/27 | 5.500 | 495,625 | |
| 1,350 | WeWork Cos., Inc., Rule 144A, Company Guaranteed Notes (2) | (B+, NR) | 05/01/25 | 7.875 | 1,315,075 |
| 200 | Williams Scotsman International, Inc., Rule 144A, Company Guaranteed Notes (Callable | ||||
| 08/15/20 @ 103.44) (2) | (B, B2) | 08/15/23 | 6.875 | 199,000 | |
| 13,586,371 | |||||
| Tech Hardware & Equipment (1.5%) | |||||
| 1,400 | CDW Finance Corp., Company Guaranteed Notes (Callable 03/01/20 @ 103.75) | (BB-, Ba3) | 09/01/25 | 5.000 | 1,397,900 |
| 525 | CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 03/15/22 @ 102.50) (2) | (BB-, Ba3) | 03/15/27 | 5.000 | 506,625 |
| 875 | CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 06/15/20 @ 103.00) (2) | (BB-, Ba3) | 06/15/25 | 6.000 | 905,625 |
| 2,810,150 | |||||
| Telecom - Satellite (0.7%) | |||||
| 482 | Hughes Satellite Systems Corp., Global Company Guaranteed Notes | (BB-, B3) | 06/15/21 | 7.625 | 521,900 |
| 800 | Hughes Satellite Systems Corp., Global Senior Secured Notes | (BBB-, Ba2) | 08/01/26 | 5.250 | 783,000 |
| 1,304,900 | |||||
| Telecom - Wireless (1.5%) | |||||
| 1,000 | Sprint Spectrum Co. II LLC, Rule 144A, Senior Secured Notes (2) | (NR, Baa2) | 03/20/28 | 5.152 | 1,007,400 |
| 950 | T-Mobile U.S.A., Inc., Company Guaranteed | ||||
| Notes (Callable 02/01/23 @ 102.38) | (BB+, Ba2) | 02/01/28 | 4.750 | 895,375 | |
| 700 | T-Mobile U.S.A., Inc., Global Company Guaranteed | ||||
| Notes (Callable 01/15/21 @ 103.25) | (BB+, Ba2) | 01/15/26 | 6.500 | 735,140 | |
| 2,637,915 | |||||
| Telecom - Wireline Integrated & Services (2.1%) | |||||
| 350 | Equinix, Inc., Senior Unsecured Notes (Callable 05/15/22 @ 102.69) | (BB+, B1) | 05/15/27 | 5.375 | 350,875 |
| 2,651 | GTT Communications, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/31/19 @ 105.91) (1),(2) | (CCC+, Caa1) | 12/31/24 | 7.875 | 2,594,666 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (continued) | |||||
| Telecom - Wireline Integrated & Services | |||||
| $ 800 | QTS Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 11/15/20 @ 103.56) (2) | (BB, B1) | 11/15/25 | 4.750 | $ 770,152 |
| 150 | Syniverse Holdings, Inc., Global Company Guaranteed Notes (Callable 10/29/18 @ | ||||
| 100.00) | (CCC+, Caa2) | 01/15/19 | 9.125 | 148,781 | |
| 3,864,474 | |||||
| Theaters & Entertainment (3.0%) | |||||
| 750 | AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes (Callable 05/15/22 @ | ||||
| 103.06) (1) | (B, B3) | 05/15/27 | 6.125 | 721,875 | |
| 600 | AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes (Callable 10/29/18 @ | ||||
| 102.94) | (B, B3) | 02/15/22 | 5.875 | 606,750 | |
| 500 | AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes (Callable 11/15/21 @ | ||||
| 102.94) (1) | (B, B3) | 11/15/26 | 5.875 | 480,000 | |
| 750 | Carmike Cinemas, Inc., Rule 144A, Secured Notes (Callable 10/29/18 @ 104.50) (2) | (BB-, Ba2) | 06/15/23 | 6.000 | 765,938 |
| 1,250 | Cinemark U.S.A., Inc., Global Company Guaranteed Notes (Callable 10/29/18 @ 102.44) | (BB, B2) | 06/01/23 | 4.875 | 1,235,937 |
| 700 | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/15/21 @ | ||||
| 104.22) (2) | (B+, B1) | 03/15/26 | 5.625 | 708,750 | |
| 1,025 | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/19 @ | ||||
| 103.66) (2) | (B+, B1) | 11/01/24 | 4.875 | 1,007,062 | |
| 5,526,312 | |||||
| Transport Infrastructure/Services (0.9%) | |||||
| 1,750 | Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes (Callable 10/29/18 @ | ||||
| 108.44) (2) | (B, Caa2) | 08/15/22 | 11.250 | 1,599,063 | |
| TOTAL CORPORATE BONDS (Cost $196,929,960) | 194,813,268 | ||||
| BANK LOANS (24.3%) | |||||
| Aerospace & Defense (0.5%) | |||||
| 875 | Sequa Mezzanine Holdings LLC, LIBOR 2M + | ||||
| 5.000% (10) | (CCC+, B3) | 11/28/21 | 7.186 | 862,675 | |
| Auto Parts & Equipment (0.8%) | |||||
| 744 | Dayco Products LLC, LIBOR 3M + | ||||
| 4.250% (10) | (B, B2) | 05/19/23 | 6.563 | 751,379 | |
| 669 | U.S. Farathane LLC, LIBOR 3M + | ||||
| 3.500% (8),(10) | (B+, B2) | 12/23/21 | 5.886 | 673,264 | |
| 1,424,643 | |||||
| Building Materials (1.1%) | |||||
| 1,000 | Airxcel, Inc., LIBOR 1M + | ||||
| 8.750% (8),(10) | (CCC+, Caa2) | 04/27/26 | 10.992 | 967,500 | |
| 1,073 | Fastener Acquisition, Inc., LIBOR 3M + | ||||
| 8.750% (10) | (CCC+, Caa2) | 03/30/26 | 11.136 | 1,034,971 | |
| 2,002,471 | |||||
| Chemicals (5.2%) | |||||
| 1,000 | Archroma Finance Sarl, LIBOR 3M + | ||||
| 8.250% (10) | (NR, Caa1) | 07/11/25 | 10.583 | 990,000 | |
| 1,313 | ASP Chromaflo Intermediate Holdings, Inc., LIBOR 1M + 8.000% (10) | (CCC, Caa2) | 11/14/24 | 10.242 | 1,314,141 |
| 1,641 | Preferred Proppants LLC, LIBOR 3M + | ||||
| 7.750% (6),(8),(10) | (CCC, Caa2) | 07/27/20 | 10.136 | 1,436,043 | |
| 1,600 | Schenectady International Group, | ||||
| Inc. (8),(10) | (B, B2) | 08/10/25 | 4.750 | 1,610,000 | |
| 992 | UTEX Industries, Inc., LIBOR 1M + | ||||
| 4.000% (10) | (CCC+, B3) | 05/22/21 | 6.242 | 984,786 | |
| 1,750 | Vantage Specialty Chemicals, Inc., LIBOR 2M + 8.250% (10) | (CCC, Caa2) | 10/27/25 | 10.592 | 1,763,860 |
| 1,546 | Zep, Inc., LIBOR 3M + 4.000% (10) | (CCC+, B2) | 08/12/24 | 6.386 | 1,475,555 |
| 9,574,385 | |||||
| Diversified Capital Goods (1.0%) | |||||
| 750 | Cortes NP Acquisition Corp., LIBOR 3M + | ||||
| 4.000% (10) | (B, B1) | 11/30/23 | 6.313 | 754,219 | |
| 1,005 | Dynacast International LLC, LIBOR 3M + | ||||
| 8.500% (8),(10) | (B-, Caa1) | 01/30/23 | 10.886 | 994,950 | |
| 1,749,169 | |||||
| Electronics (0.9%) | |||||
| 750 | CPI International, Inc., LIBOR 1M + | ||||
| 7.250% (8),(10) | (CCC+, Caa2) | 07/26/25 | 9.492 | 743,437 | |
| 987 | Oberthur Technologies S.A., LIBOR 3M + | ||||
| 3.750% (10) | (B-, B2) | 01/10/24 | 5.992 | 994,381 | |
| 1,737,818 | |||||
| Energy - Exploration & Production (0.6%) | |||||
| 1,000 | W&T Offshore, Inc. (6) | (B-, Caa2) | 05/15/20 | 9.000 | 1,012,500 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| BANK LOANS (continued) | |||||
| Health Facilities (0.8%) | |||||
| $ 995 | Prospect Medical Holdings, Inc., LIBOR 1M + | ||||
| 5.500% (8),(10) | (B, B1) | 02/22/24 | 7.625 | $ 1,011,169 | |
| 496 | Western Dental Services, Inc., LIBOR 1M + | ||||
| 4.500% (8),(10) | (B-, B3) | 06/23/23 | 6.742 | 498,734 | |
| 1,509,903 | |||||
| Insurance Brokerage (1.1%) | |||||
| 1,970 | Acrisure LLC, LIBOR 3M + | ||||
| 4.250% (10) | (B, B2) | 11/22/23 | 6.592 | 1,980,778 | |
| Investments & Misc. Financial Services (1.0%) | |||||
| 929 | Ditech Holding Corp., LIBOR 1M + | ||||
| 6.000% (10) | (CCC+, Caa2) | 06/30/22 | 8.242 | 880,439 | |
| 930 | Ocwen Financial Corp., LIBOR 1M + | ||||
| 5.000% (10) | (B+, B3) | 12/05/20 | 7.165 | 935,740 | |
| 1,816,179 | |||||
| Machinery (2.4%) | |||||
| 1,734 | CPM Acquisition Corp., LIBOR 1M + | ||||
| 8.250% (10) | (B-, Caa1) | 04/10/23 | 10.492 | 1,751,477 | |
| 1,415 | LTI Holdings, Inc., LIBOR 3M + | ||||
| 6.750% (10) | (CCC+, Caa2) | 09/06/26 | 8.992 | 1,419,113 | |
| 1,125 | WireCo WorldGroup, Inc., LIBOR 1M + | ||||
| 9.000% (8),(10) | (B-, Caa2) | 09/30/24 | 11.242 | 1,136,250 | |
| 4,306,840 | |||||
| Media Content (0.3%) | |||||
| 500 | DLG Acquisitions Ltd., EURIBOR 6M + | ||||
| 7.250% (9),(10) | (CCC+, Caa2) | 06/30/22 | 8.250 | 585,015 | |
| Medical Products (0.5%) | |||||
| 893 | ABB Concise Optical Group LLC, LIBOR 1M + | ||||
| 5.000% (10) | (B-, B2) | 06/15/23 | 7.160 | 898,189 | |
| Personal & Household Products (2.3%) | |||||
| 1,000 | ABG Intermediate Holdings 2 LLC, LIBOR 1M + | ||||
| 7.750% (10) | (CCC+, Caa1) | 09/29/25 | 9.992 | 1,008,750 | |
| 494 | Comfort Holding LLC, LIBOR 1M + | ||||
| 4.750% (10) | (CCC+, Caa1) | 02/05/24 | 6.992 | 478,101 | |
| 1,350 | Comfort Holding LLC, LIBOR 1M + | ||||
| 10.000% (8),(10) | (CCC-, Caa3) | 02/03/25 | 12.242 | 1,306,125 | |
| 1,250 | Serta Simmons Bedding LLC, LIBOR 1M + | ||||
| 8.000% (10) | (CCC, Caa2) | 11/08/24 | 10.133 | 980,000 | |
| 45 | TricorBraun Holdings, Inc., LIBOR 3M + | ||||
| 2.750% (10) | (B, B2) | 11/30/23 | 6.103 | 45,592 | |
| 450 | TricorBraun Holdings, Inc., LIBOR 3M + | ||||
| 3.750% (10) | (B, B2) | 11/30/23 | 6.136 | 452,467 | |
| 4,271,035 | |||||
| Recreation & Travel (0.3%) | |||||
| 184 | BC Equity Ventures LLC (10) | (CCC+, Caa2) | 08/21/26 | 0.500 | 184,671 |
| 354 | BC Equity Ventures LLC, LIBOR 3M + | ||||
| 7.750% (10) | (CCC+, Caa2) | 08/21/26 | 9.860 | 355,137 | |
| 539,808 | |||||
| Software - Services (2.0%) | |||||
| 623 | Almonde, Inc., LIBOR 3M + | ||||
| 7.250% (10) | (CCC, Caa2) | 06/13/25 | 9.636 | 619,287 | |
| 600 | Eze Castle Software, Inc., LIBOR 1M + | ||||
| 6.500% (10) | (CCC+, Caa1) | 04/05/21 | 8.742 | 603,000 | |
| 1,053 | Flexera Software LLC, LIBOR 1M + | ||||
| 7.250% (10) | (CCC+, Caa1) | 02/26/26 | 9.500 | 1,060,055 | |
| 359 | LDiscovery LLC, LIBOR 2M + | ||||
| 5.875% (6),(8),(10) | (B, B3) | 12/09/22 | 8.085 | 347,836 | |
| 1,000 | TigerLuxOne Sarl, LIBOR 3M + | ||||
| 8.250% (10) | (CCC+, Caa2) | 02/16/25 | 10.636 | 1,003,750 | |
| 3,633,928 | |||||
| Specialty Retail (1.2%) | |||||
| 1,250 | Boing U.S. Holdco, Inc., LIBOR 3M + | ||||
| 7.500% (8),(10) | (CCC+, Caa1) | 10/03/25 | 9.843 | 1,256,250 | |
| 1,000 | Sally Holdings LLC (8) | (BB+, Ba1) | 07/05/24 | 4.500 | 975,000 |
| 2,231,250 | |||||
| Support - Services (1.5%) | |||||
| 1,500 | Sedgwick Claims Management Services, Inc., LIBOR 3M + 5.750% (10) | (CCC+, Caa2) | 02/28/22 | 8.008 | 1,508,445 |
| 1,576 | Sprint Industrial Holdings LLC, LIBOR 3M + | ||||
| 12.250% (6),(10) | (CC, Caa3) | 11/14/19 | 13.500 | 543,708 | |
| 650 | USS Ultimate Holdings, Inc., LIBOR 1M + | ||||
| 7.750% (10) | (CCC+, Caa2) | 08/25/25 | 9.992 | 653,250 | |
| 2,705,403 | |||||
| Theaters & Entertainment (0.8%) | |||||
| 1,330 | Metro-Goldwyn-Mayer, Inc., LIBOR 1M + | ||||
| 4.500% (10) | (B-, B2) | 07/03/26 | 6.750 | 1,335,277 | |
| 162 | NEG Holdings LLC, LIBOR 3M + | ||||
| 8.000% (6),(7),(8),(10) | (B-, B3) | 10/17/22 | 10.386 | 152,570 | |
| 1,487,847 | |||||
| TOTAL BANK LOANS (Cost $44,542,824) | 44,329,836 |
| Par (000) | Ratings (S&P/Moodys) | Value | ||||
|---|---|---|---|---|---|---|
| ASSET BACKED SECURITY (0.5%) | ||||||
| Collateralized Debt Obligation (0.5%) | ||||||
| $ 1,000 | JFIN CLO Ltd., 2013-1A, Rule 144A, LIBOR 3M + 4.750% (2),(10) (Cost $923,047) | (BB, NR) | 01/20/25 | 7.098 | $ 999,657 | |
| Number of Shares | ||||||
| COMMON STOCKS (1.4%) | ||||||
| Auto Parts & Equipment (0.5%) | ||||||
| 46,071 | UCI International, | |||||
| Inc. (6),(7),(8),(11) | 863,831 | |||||
| Building & Construction (0.0%) | ||||||
| 5 | White Forest Resources, | |||||
| Inc. (6),(7),(8),(11) | 21 | |||||
| Building Materials (0.0%) | ||||||
| 372 | Dayton Superior | |||||
| Corp. (6),(7),(8),(11) | | |||||
| Energy - Exploration & Production (0.5%) | ||||||
| 26,788 | Talos Energy, | |||||
| Inc. (11) | 879,182 | |||||
| Oil Field Equipment & Services (0.3%) | ||||||
| 11 | Sidewinder Drilling, Inc., Series | |||||
| A (7),(8),(11) | 656,762 | |||||
| Support - Services (0.1%) | ||||||
| 800 | LTR Holdings | |||||
| LLC (6),(7),(8),(11) | 221,600 | |||||
| 433 | Sprint Industrial Holdings LLC, Class G (7),(8),(11) | 4 | ||||
| 39 | Sprint Industrial Holdings LLC, Class H (7),(8),(11) | 1 | ||||
| 96 | Sprint Industrial Holdings LLC, Class I (7),(8),(11) | 1 | ||||
| 221,606 | ||||||
| Theaters & Entertainment (0.0%) | ||||||
| 20 | NEG Holdings LLC, Litigation Trust Units (6),(7),(8),(11) | 20 | ||||
| TOTAL COMMON STOCKS (Cost $2,887,148) | 2,621,422 | |||||
| PREFERRED STOCK (0.0%) | ||||||
| Building Materials (0.0%) | ||||||
| 413 | Dayton Superior | |||||
| Corp. (6),(7),(8),(11) (Cost $156,000) | | |||||
| Par (000) | ||||||
| SHORT-TERM INVESTMENT (6.9%) | ||||||
| $ 12,531 | State Street Navigator Securities Lending Government Money Market Portfolio, 2.19% (12) (Cost $12,530,978) | 12,530,978 | ||||
| TOTAL INVESTMENTS AT VALUE (139.9%) (Cost $257,969,957) | 255,295,161 | |||||
| LIABILITIES IN EXCESS OF OTHER ASSETS (-39.9%) | (72,876,250 | ) | ||||
| NET ASSETS (100.0%) | $ 182,418,911 |
INVESTMENT ABBREVIATIONS
| 1M = 1 Month 2M = 2 Month 3M = 3 Month 6M = 6 Month |
|---|
| EURIBOR = Euro Interbank Offered Rate |
| LIBOR = London Interbank Offered Rate |
| 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 or portion thereof is out on loan.
(2) 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, 2018, these securities amounted to a value of $151,195,975 or 82.9% of net assets.
(3) PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal.
(4) This security is denominated in British Pound.
(5) Bond is currently in default.
(6) Illiquid security (unaudited).
(7) 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.
(8) Security is valued using significant unobservable inputs.
(9) This security is denominated in Euro.
(10) Variable rate obligation The interest rate shown is the rate in effect as of September 30, 2018.
(11) Non-income producing security.
(12) Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at September 30, 2018.
Forward Foreign Currency Contracts
| Forward Currency to be Purchased (Local) — EUR | 334,900 | Forward Currency to be Sold
(Local) — USD | 401,401 | Expiration Date — 10/12/18 | Counterparty — Morgan Stanley | Value on Settlement Date — $ 401,401 | $ | 389,291 | $ | (12,110 | ) |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| GBP | 1,685,000 | USD | 2,305,762 | 10/12/18 | Morgan Stanley | 2,305,762 | | 2,198,288 | | (107,474 | ) |
| USD | 3,495,423 | EUR | 2,895,000 | 10/12/18 | Morgan Stanley | (3,495,423 | ) | (3,365,178 | ) | 130,245 | |
| USD | 3,010,145 | GBP | 2,247,879 | 10/12/18 | Morgan Stanley | (3,010,145 | ) | (2,932,632 | ) | 77,513 | |
| | | | | | | | | | $ | 88,174 | |
| 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:
· Level 1quoted prices in active markets for identical investments
· Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
· Level 3significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments)
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of September 30, 2018 in valuing the Funds assets and liabilities carried at fair value:
| Assets | Level 1 | Level 2 | Level 3 | Total | ||
|---|---|---|---|---|---|---|
| Investments in Securities | ||||||
| Corporate Bonds | $ | $ 193,156,054 | $ 1,657,214 | (1) | $ 194,813,268 | (1) |
| Bank Loans | | 31,220,708 | 13,109,128 | 44,329,836 | ||
| Asset Backed Security | | 999,657 | | 999,657 | ||
| Common Stocks | 879,182 | | 1,742,240 | (1) | 2,621,422 | (1) |
| Preferred Stock | | | 0 | (1) | 0 | (1) |
| Short-Term Investment | | 12,530,978 | | 12,530,978 | ||
| $ 879,182 | $ 237,907,397 | $ 16,508,582 | (1) | $ 255,295,161 | (1) | |
| Other Financial Instruments* | ||||||
| Forward Foreign Currency Contracts | $ | $ 207,758 | $ | $ 207,758 | ||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||
| Other Financial Instruments* | ||||||
| Forward Foreign Currency Contracts | $ | $ 119,584 | $ | $ 119,584 |
(1) Includes zero valued securities.
The following is a reconciliation of investments as of September 30, 2018 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, 2017 | Corporate Bonds — $ 1,627,887 | Bank Loans — $ 8,431,068 | Common Stocks — $ 1,480,492 | (1) | Preferred Stock — $ 0 | (1) | Total — $ 11,539,447 | (1) | ||
|---|---|---|---|---|---|---|---|---|---|---|
| Accrued discounts (premiums) | 23,586 | 35,096 | | | 58,682 | |||||
| Purchases | 1,208,682 | 4,796,111 | | | 6,004,793 | |||||
| Sales | (1,232,793 | ) | (1,828,499 | ) | | | (3,061,292 | ) | ||
| Realized gain (loss) | 1,157 | 3,135 | | | 4,292 | |||||
| Change in unrealized appreciation (depreciation) | 28,695 | (88,872 | ) | 261,748 | | 201,571 | ||||
| Transfers into Level 3 | | 4,263,945 | | | 4,263,945 | |||||
| Transfers out of Level 3 | | (2,502,856 | ) | | | (2,502,856 | ) | |||
| Balance as of September 30, 2018 | $ 1,657,214 | (1) | $ 13,109,128 | $ 1,742,240 | (1) | $ 0 | (1) | $ 16,508,582 | (1) | |
| Net change in unrealized appreciation (depreciation) from investments still held as of | ||||||||||
| September 30, 2018 | $ 26,298 | $ (56,011 | ) | $ 261,748 | $ | $ 232,035 |
(1) Includes zero valued securities.
Quantitative Disclosure About Significant Unobservable Inputs
| Asset Class | Fair Value At 9/30/2018 | Valuation Techniques | Unobservable Input | Range (Weighted Average per
share) |
| --- | --- | --- | --- | --- |
| Corporate Bonds | $ 946,370 | Vendor Pricing | Single Broker Quote | NA |
| | $ 700,898 | Market Approach | Comparable Equity Price and Discount for Illiquidity | NA |
| | $ 9,946 | Income Approach | Expected remaining distribution | $0.00 $0.04 ($0.00) |
| Bank Loans | $ 12,956,558 | Vendor Pricing | Single Broker Quote | $0.88 $1.02 ($0.98) |
| | $ 152,570 | Market Approach | Comparable Bond Price | NA |
| Common Stocks | $ 863,831 | Vendor Pricing | Single Broker Quote | NA |
| | $ 656,762 | Market Approach | Comparable Equity Price and Discount for Illiquidity | NA |
| | $ 221,641 | Market Approach | Discount For Illiquidity and EBITDA Multiples | $0.00 $277.00 ($185.23) |
| | $ 6 | Market Approach/Income Approach | Comparable Bond Price, Discounted Cash Flows | NA |
| 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, 2018, there were no transfers between Level 1 and Level 2, but there was $4,263,945 transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $2,502,856 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 29, 2018
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 29, 2018
/s/ Laurie Pecha
Name: Laurie Pecha
Title: Chief Financial Officer and Treasurer
Date: November 29, 2018
Building tools?
Free accounts include 100 API calls/year for testing.
Have a question? We'll get back to you promptly.