N-Q 1 a13-9054_2nq.htm QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

 

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)

 

Registrant’s telephone number, including area code:

(212) 325-2000

 

 

Date of fiscal year end:

December 31st

 

 

Date of reporting period:

January 1, 2013 to March 31, 2013

 

 


 

Item 1:                                                        Schedule of Investments

 


 

Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments

March 31, 2013 (unaudited)

 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS (81.5%)

 

 

 

 

 

 

 

 

 

Aerospace & Defense (0.8%)

 

 

 

 

 

 

 

 

 

$

1,500

 

Ducommun, Inc., Global Company Guaranteed Notes (Callable 07/15/15 @ 104.88)

 

(B-, B3)

 

07/15/18

 

9.750

 

$

1,657,500

 

 

 

 

 

 

 

 

 

 

 

Airlines (0.2%)

 

 

 

 

 

 

 

 

 

500

 

Continental Airlines 2012-3 Class C Pass Thru Certificates

 

(B+, B1)

 

04/29/18

 

6.125

 

502,500

 

 

 

 

 

 

 

 

 

 

 

Auto Parts & Equipment (5.2%)

 

 

 

 

 

 

 

 

 

1,060

 

Affinia Group, Inc., Global Company Guaranteed Notes

 

(CCC+, B3)

 

11/30/14

 

9.000

 

1,065,311

 

750

 

Affinia Group, Inc., Rule 144A, Senior Secured Notes (Callable 08/15/13 @ 105.38)‡

 

(B+, B1)

 

08/15/16

 

10.750

 

815,625

 

500

 

IDQ Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 10/01/14 @ 108.63)‡

 

(B, B3)

 

04/01/17

 

11.500

 

552,500

 

363

 

Lear Corp., Company Guaranteed Notes (Callable 03/15/15 @ 104.06)§

 

(BB, Ba2)

 

03/15/20

 

8.125

 

406,560

 

1,076

 

Mark IV USA SCA, Rule 144A, Senior Secured Notes (Callable 12/15/13 @ 106.66)‡ €

 

(BB-, Ba3)

 

12/15/17

 

8.875

 

1,499,065

 

675

 

Meritor, Inc., Company Guaranteed Notes (Callable 03/15/14 @ 105.31)§

 

(B-, B3)

 

03/15/18

 

10.625

 

731,531

 

550

 

Schaeffler Finance BV, Rule 144A, Senior Secured Notes‡

 

(B+, Ba3)

 

02/15/17

 

7.750

 

622,187

 

1,000

 

Schaeffler Finance BV, Rule 144A, Senior Secured Notes (Callable 02/15/15 @ 106.38)‡ §

 

(B+, Ba3)

 

02/15/19

 

8.500

 

1,142,500

 

1,300

 

Stoneridge, Inc., Rule 144A, Secured Notes (Callable 10/15/14 @ 104.75)‡

 

(BB-, B2)

 

10/15/17

 

9.500

 

1,404,000

 

1,000

 

Tomkins, Inc., Global Secured Notes (Callable 10/01/14 @ 104.50)

 

(BB-, B1)

 

10/01/18

 

9.000

 

1,118,750

 

1,000

 

UCI International, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.31)

 

(CCC+, B3)

 

02/15/19

 

8.625

 

1,040,000

 

 

 

 

 

 

 

 

 

 

 

10,398,029

 

Building & Construction (0.6%)

 

 

 

 

 

 

 

 

 

500

 

K Hovnanian Enterprises, Inc., Global Senior Secured Notes

 

(CCC, B3)

 

11/01/21

 

2.000

 

341,875

 

750

 

RSI Home Products, Inc., Rule 144A, Secured Notes (Callable 03/01/15 @ 105.16)‡

 

(B+, B1)

 

03/01/18

 

6.875

 

765,000

 

 

 

 

 

 

 

 

 

 

 

1,106,875

 

Building Materials (2.2%)

 

 

 

 

 

 

 

 

 

1,525

 

Euramax International, Inc., Global Senior Secured Notes (Callable 04/01/13 @ 107.13)

 

(B-, Caa2)

 

04/01/16

 

9.500

 

1,502,125

 

1,750

 

Headwaters, Inc., Global Secured Notes (Callable 04/01/15 @ 103.81)

 

(B+, B2)

 

04/01/19

 

7.625

 

1,881,250

 

900

 

International Wire Group Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 10/15/15 @ 104.25)‡ §

 

(B, B3)

 

10/15/17

 

8.500

 

931,500

 

 

 

 

 

 

 

 

 

 

 

4,314,875

 

Chemicals (4.0%)

 

 

 

 

 

 

 

 

 

1,000

 

GrafTech International Ltd., Rule 144A, Company Guaranteed Notes (Callable 11/15/16 @ 103.19)‡

 

(BB+, Ba2)

 

11/15/20

 

6.375

 

1,040,000

 

400

 

Ineos Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/15/13 @ 104.50)‡ §

 

(B+, B1)

 

05/15/15

 

9.000

 

423,000

 

1,300

 

Ineos Group Holdings PLC, Rule 144A, Secured Notes (Callable 02/15/14 @ 100.00)‡ §

 

(CCC+, Caa1)

 

02/15/16

 

8.500

 

1,326,000

 

600

 

JM Huber Corp., Rule 144A, Senior Notes (Callable 11/01/15 @ 104.94)‡

 

(BB-, B2)

 

11/01/19

 

9.875

 

682,500

 

1,264

 

OXEA Finance & Cy SCA, Rule 144A, Senior Secured Notes (Callable 07/15/13 @ 107.13)‡

 

(B+, B2)

 

07/15/17

 

9.500

 

1,380,920

 

842

 

Reichhold Industries, Inc. PIK, Rule 144A, Senior Secured Notes‡

 

(CCC+, NR)

 

05/08/17

 

11.000

 

667,589

 

500

 

Styrolution GmbH, Rule 144A, Senior Secured Notes (Callable 05/15/13 @ 105.72)‡ €

 

(B+, B2)

 

05/15/16

 

7.625

 

674,152

 

1,000

 

Taminco Global Chemical Corp., Rule 144A, Secured Notes (Callable 03/31/15 @ 107.31)‡

 

(B-, Caa1)

 

03/31/20

 

9.750

 

1,117,500

 

 


 

Par
(000)

 

 

 

Ratings†

(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Chemicals

 

 

 

 

 

 

 

 

 

$

600

 

US Coatings Acquisition, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/04/16 @ 105.53)‡

 

(B-, Caa1)

 

05/01/21

 

7.375

 

$

633,750

 

 

 

 

 

 

 

 

 

 

 

7,945,411

 

Consumer Products (2.3%)

 

 

 

 

 

 

 

 

 

895

 

Alphabet Holding Co., Inc. PIK, Rule 144A, Senior Unsecured Notes (Callable 11/01/13 @ 103.00)‡ §

 

(B-, Caa1)

 

11/01/17

 

7.750

 

935,275

 

1,375

 

NBTY, Inc., Global Company Guaranteed Notes (Callable 10/01/14 @ 104.50)§

 

(B, B3)

 

10/01/18

 

9.000

 

1,543,437

 

400

 

Prestige Brands, Inc., Global Company Guaranteed Notes (Callable 02/01/16 @ 104.06)

 

(B-, B3)

 

02/01/20

 

8.125

 

453,500

 

1,025

 

Prestige Brands, Inc., Global Senior Secured Notes (Callable 04/01/14 @ 104.13)

 

(BB-, Ba3)

 

04/01/18

 

8.250

 

1,122,375

 

450

 

Wells Enterprises, Inc., Rule 144A, Senior Secured Notes (Callable 02/01/16 @ 105.06)‡ §

 

(B+, B2)

 

02/01/20

 

6.750

 

475,875

 

 

 

 

 

 

 

 

 

 

 

4,530,462

 

Consumer/Commercial/Lease Financing (1.9%)

 

 

 

 

 

 

 

 

 

750

 

Cabot Financial Luxembourg SA, Rule 144A, Senior Secured Notes (Callable 10/01/15 @ 107.78)‡ £

 

(BB, B1)

 

10/01/19

 

10.375

 

1,266,957

 

450

 

CNG Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 05/15/16 @ 104.69)‡

 

(B, B3)

 

05/15/20

 

9.375

 

443,813

 

450

 

Milestone Aviation Group LLC, Rule 144A, Senior Unsecured Notes (Callable 12/15/15 @ 104.31)‡

 

(NR, NR)

 

12/15/17

 

8.625

 

465,750

 

350

 

PFG Finance Corp., Rule 144A, Senior Notes (Callable 02/15/15 @ 105.06)‡

 

(B, B2)

 

02/15/19

 

10.125

 

383,250

 

1,075

 

PFG Finance Corp., Rule 144A, Senior Secured Notes (Callable 04/15/14 @ 105.13)‡

 

(BB, Ba3)

 

04/15/17

 

10.250

 

1,204,000

 

 

 

 

 

 

 

 

 

 

 

3,763,770

 

Discount Stores (0.8%)

 

 

 

 

 

 

 

 

 

1,300

 

99 Cents Only Stores, Global Company Guaranteed Notes (Callable 12/15/14 @ 108.25)

 

(CCC+, Caa1)

 

12/15/19

 

11.000

 

1,498,250

 

 

 

 

 

 

 

 

 

 

 

 

 

Diversified Capital Goods (1.0%)

 

 

 

 

 

 

 

 

 

600

 

AM Castle & Co., Global Secured Notes (Callable 12/15/14 @ 106.38)

 

(B+, B3)

 

12/15/16

 

12.750

 

708,000

 

776

 

FCC Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 12/15/13 @ 105.00)‡

 

(CCC+, Caa3)

 

12/15/15

 

13.000

 

665,377

 

509

 

Mueller Water Products, Inc., Global Company Guaranteed Notes (Callable 09/01/15 @ 104.38)

 

(NR, B2)

 

09/01/20

 

8.750

 

581,533

 

 

 

 

 

 

 

 

 

 

 

1,954,910

 

Electric - Generation (0.2%)

 

 

 

 

 

 

 

 

 

2,200

 

TCEH Finance, Inc., LLC, Series A, Global Company Guaranteed Notes (Callable 11/01/13 @ 100.00)

 

(D, C)

 

11/01/15

 

10.250

 

231,000

 

1,275

 

TCEH Finance, Inc., LLC, Series B, Global Company Guaranteed Notes (Callable 11/01/13 @ 100.00)

 

(D, C)

 

11/01/15

 

10.250

 

133,875

 

 

 

 

 

 

 

 

 

 

 

364,875

 

Electronics (1.2%)

 

 

 

 

 

 

 

 

 

500

 

CPI International, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.00)

 

(CCC+, B3)

 

02/15/18

 

8.000

 

522,500

 

781

 

Freescale Semiconductor, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/14 @ 105.06)‡

 

(B, B1)

 

03/15/18

 

10.125

 

868,863

 

1,000

 

MEMC Electronic Materials, Inc., Global Company Guaranteed Notes (Callable 04/01/14 @ 105.81)§

 

(B+, Caa1)

 

04/01/19

 

7.750

 

930,000

 

 

 

 

 

 

 

 

 

 

 

2,321,363

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Energy - Exploration & Production (8.1%)

 

 

 

 

 

 

 

 

 

$

1,250

 

Comstock Resources, Inc., Company Guaranteed Notes (Callable 10/15/13 @ 104.19)§

 

(B-, B3)

 

10/15/17

 

8.375

 

$

1,334,375

 

1,450

 

Energy Partners Ltd., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.13)§

 

(B-, Caa1)

 

02/15/18

 

8.250

 

1,547,875

 

600

 

Energy XXI Gulf Coast, Inc., Global Company Guaranteed Notes (Callable 12/15/14 @ 104.63)

 

(B+, B3)

 

12/15/17

 

9.250

 

681,000

 

1,400

 

EP Energy Finance, Inc., Global Senior Unsecured Notes (Callable 05/01/16 @ 104.69)§

 

(B, NR)

 

05/01/20

 

9.375

 

1,624,000

 

350

 

Everest Acquisition Finance, Inc., Global Senior Secured Notes (Callable 05/01/15 @ 103.44)

 

(B+, Ba3)

 

05/01/19

 

6.875

 

385,000

 

610

 

Halcon Resources Corp., Rule 144A, Company Guaranteed Notes (Callable 07/15/16 @ 104.88)‡

 

(CCC+, B3)

 

07/15/20

 

9.750

 

677,100

 

725

 

Linn Energy Finance Corp., Global Company Guaranteed Notes (Callable 09/15/15 @ 103.88)

 

(B, B2)

 

02/01/21

 

7.750

 

781,187

 

2,100

 

McMoRan Exploration Co., Company Guaranteed Notes (Callable 11/15/13 @ 100.00)

 

(B-, Caa1)

 

11/15/14

 

11.875

 

2,226,000

 

550

 

Oasis Petroleum, Inc., Global Company Guaranteed Notes (Callable 02/01/15 @ 103.63)

 

(B, B3)

 

02/01/19

 

7.250

 

599,500

 

650

 

PDC Energy, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/17 @ 103.88)‡

 

(B-, B3)

 

10/15/22

 

7.750

 

692,250

 

1,000

 

Shelf Drilling Holdings Ltd., Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 104.31)‡

 

(B, B1)

 

11/01/18

 

8.625

 

1,065,000

 

1,500

 

Sidewinder Drilling, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/16 @ 104.88)‡

 

(B-, B3)

 

11/15/19

 

9.750

 

1,515,000

 

700

 

Stone Energy Corp., Company Guaranteed Notes (Callable 02/01/14 @ 104.31)§

 

(B-, B3)

 

02/01/17

 

8.625

 

759,500

 

525

 

Swift Energy Co., Company Guaranteed Notes (Callable 06/01/13 @ 102.38)

 

(B+, B3)

 

06/01/17

 

7.125

 

540,750

 

500

 

Swift Energy Co., Rule 144A, Company Guaranteed Notes (Callable 03/01/17 @ 103.94)‡

 

(B+, B3)

 

03/01/22

 

7.875

 

525,000

 

1,124

 

W&T Offshore, Inc., Global Company Guaranteed Notes (Callable 06/15/15 @ 104.25)§

 

(B, B3)

 

06/15/19

 

8.500

 

1,227,970

 

 

 

 

 

 

 

 

 

 

 

16,181,507

 

Environmental (1.1%)

 

 

 

 

 

 

 

 

 

1,000

 

EnergySolutions LLC, Global Company Guaranteed Notes (Callable 08/15/14 @ 105.38)

 

(B, Caa3)

 

08/15/18

 

10.750

 

1,047,500

 

1,000

 

Heckmann Corp., Global Company Guaranteed Notes (Callable 04/15/15 @ 104.94)§

 

(B, B3)

 

04/15/18

 

9.875

 

1,073,750

 

 

 

 

 

 

 

 

 

 

 

2,121,250

 

Forestry & Paper (0.2%)

 

 

 

 

 

 

 

 

 

1,000

 

Stone & Webster, Inc.*

 

(NR, NR)

 

07/02/13

 

0.000

 

2,750

 

850

 

Verso Paper, Inc., Global Secured Notes (Callable 02/01/15 @ 104.38)§

 

(CCC, Caa2)

 

02/01/19

 

8.750

 

410,125

 

 

 

 

 

 

 

 

 

 

 

412,875

 

Gaming (2.5%)

 

 

 

 

 

 

 

 

 

925

 

Affinity Gaming Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 05/15/15 @ 104.50)‡

 

(B, B3)

 

05/15/18

 

9.000

 

992,062

 

775

 

Buffalo Thunder Development Authority, Rule 144A, Senior Secured Notes‡ ø

 

(NR, NR)

 

12/15/14

 

9.375

 

248,000

 

605

 

Choctaw Resort Development Enterprise, Rule 144A, Senior Notes (Callable 11/15/13 @ 101.21)‡

 

(B, Caa1)

 

11/15/19

 

7.250

 

571,725

 

898

 

Chukchansi Economic Development Authority, Rule 144A, Secured Notes (Callable 05/30/16 @ 104.88)‡

 

(NR, Caa2)

 

05/30/20

 

9.750

 

538,576

 

375

 

Fontainebleau Las Vegas Holdings LLC, Rule 144A, Senior Secured Notes (Callable 06/15/13 @ 100.00)‡ ø

 

(NR, NR)

 

06/15/15

 

10.250

 

703

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Gaming

 

 

 

 

 

 

 

 

 

$

1,300

 

Greektown Superholdings, Inc., Series B, Global Secured Notes (Callable 01/01/14 @ 103.50)

 

(NR, NR)

 

07/01/15

 

13.000

 

$

1,397,500

 

225

 

Majestic Star Casino LLC PIK, Rule 144A, Secured Notes‡ §

 

(NR, NR)

 

12/01/16

 

12.500

 

213,538

 

435

 

Tropicana Finance Corp., Global Company Guaranteed Notesø ^

 

(NR, NR)

 

12/15/14

 

9.625

 

44

 

1,225

 

Tunica-Biloxi Gaming Authority, Rule 144A, Senior Unsecured Notes (Callable 11/15/13 @ 100.00)‡

 

(B+, B3)

 

11/15/15

 

9.000

 

1,090,250

 

 

 

 

 

 

 

 

 

 

 

5,052,398

 

Gas Distribution (1.7%)

 

 

 

 

 

 

 

 

 

1,250

 

Energy Transfer Equity LP, Senior Secured Notes§

 

(BB, Ba2)

 

10/15/20

 

7.500

 

1,446,875

 

1,300

 

Genesis Energy LP, Global Company Guaranteed Notes (Callable 12/15/14 @ 103.94)

 

(B, B1)

 

12/15/18

 

7.875

 

1,433,250

 

500

 

Holly Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 03/01/16 @ 103.25)‡

 

(BB-, B1)

 

03/01/20

 

6.500

 

533,750

 

 

 

 

 

 

 

 

 

 

 

3,413,875

 

Health Facilities (1.3%)

 

 

 

 

 

 

 

 

 

277

 

Bausch & Lomb, Inc., Global Senior Unsecured Notes (Callable 11/01/13 @ 100.00)

 

(B, Caa1)

 

11/01/15

 

9.875

 

288,080

 

600

 

MPT Finance Corp., Global Company Guaranteed Notes (Callable 05/01/16 @ 103.44)

 

(BB, Ba1)

 

05/01/21

 

6.875

 

654,000

 

500

 

Radiation Therapy Services, Inc., Global Company Guaranteed Notes (Callable 04/15/14 @ 104.94)

 

(CCC+, Caa2)

 

04/15/17

 

9.875

 

312,500

 

1,175

 

Symbion, Inc., Global Senior Secured Notes (Callable 06/15/14 @ 104.00)

 

(B, B2)

 

06/15/16

 

8.000

 

1,248,437

 

 

 

 

 

 

 

 

 

 

 

2,503,017

 

Health Services (1.4%)

 

 

 

 

 

 

 

 

 

350

 

Capsugel FinanceCo SCA, Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ 107.41)‡ €

 

(B, Caa1)

 

08/01/19

 

9.875

 

507,861

 

400

 

inVentiv Health, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/14 @ 105.00)‡

 

(CCC, Caa2)

 

08/15/18

 

11.000

 

346,000

 

550

 

Service Corp. International, Senior Unsecured Notes

 

(BB-, Ba3)

 

11/15/21

 

8.000

 

660,688

 

1,250

 

STHI Holding Corp., Rule 144A, Secured Notes (Callable 03/15/14 @ 106.00)‡

 

(B, B2)

 

03/15/18

 

8.000

 

1,371,875

 

 

 

 

 

 

 

 

 

 

 

2,886,424

 

Insurance Brokerage (1.4%)

 

 

 

 

 

 

 

 

 

1,100

 

A-S Merger Sub LLC, Rule 144A, Senior Unsecured Notes (Callable 12/15/15 @ 103.94)‡ §

 

(CCC, Caa2)

 

12/15/20

 

7.875

 

1,135,750

 

1,500

 

Hub International Ltd., Rule 144A, Company Guaranteed Notes (Callable 10/15/14 @ 104.06)‡ §

 

(CCC+, Caa2)

 

10/15/18

 

8.125

 

1,586,250

 

 

 

 

 

 

 

 

 

 

 

2,722,000

 

Investments & Misc. Financial Services (0.3%)

 

 

 

 

 

 

 

 

 

600

 

Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 04/01/16 @ 105.53)‡

 

(B+, B1)

 

04/01/20

 

7.375

 

613,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Leisure (1.1%)

 

 

 

 

 

 

 

 

 

1,000

 

Magnum Management Corp., Global Company Guaranteed Notes (Callable 08/01/14 @ 104.56)

 

(B, B1)

 

08/01/18

 

9.125

 

1,125,000

 

1,000

 

Palace Entertainment Holdings Corp., Rule 144A, Senior Secured Notes (Callable 04/15/14 @ 104.44)‡

 

(B-, B2)

 

04/15/17

 

8.875

 

1,065,000

 

 

 

 

 

 

 

 

 

 

 

2,190,000

 

Media - Broadcast (1.0%)

 

 

 

 

 

 

 

 

 

1,725

 

Mission Broadcasting, Inc., Global Secured Notes (Callable 04/15/14 @ 104.44)

 

(B, B3)

 

04/15/17

 

8.875

 

1,906,125

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Media - Cable (3.0%)

 

 

 

 

 

 

 

 

 

$

150

 

Cablevision Systems Corp., Senior Unsecured Notes

 

(B+, B1)

 

04/15/18

 

7.750

 

$

168,938

 

600

 

Cablevision Systems Corp., Senior Unsecured Notes

 

(B+, B1)

 

04/15/20

 

8.000

 

678,000

 

1,450

 

CCO Holdings Capital Corp., Global Company Guaranteed Notes (Callable 04/30/15 @ 104.06)§

 

(BB-, B1)

 

04/30/20

 

8.125

 

1,627,625

 

1,050

 

CSC Holdings LLC, Global Senior Unsecured Notes§

 

(BB+, Ba3)

 

02/15/19

 

8.625

 

1,265,250

 

500

 

Harron Finance Corp., Rule 144A, Senior Notes (Callable 04/01/16 @ 104.56)‡

 

(B-, Caa1)

 

04/01/20

 

9.125

 

557,500

 

1,200

 

Lynx II Corp., Rule 144A, Senior Unsecured Notes (Callable 04/15/18 @ 103.19)‡ §

 

(B, B2)

 

04/15/23

 

6.375

 

1,263,000

 

350

 

Unitymedia NRW GmbH, Rule 144A, Senior Secured Notes (Callable 03/15/15 @ 103.75)‡

 

(BB-, Ba3)

 

03/15/19

 

7.500

 

384,562

 

 

 

 

 

 

 

 

 

 

 

5,944,875

 

Media - Diversified (1.0%)

 

 

 

 

 

 

 

 

 

1,050

 

Block Communications, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/01/16 @ 103.63)‡

 

(BB-, Ba3)

 

02/01/20

 

7.250

 

1,147,125

 

400

 

National CineMedia LLC, Global Senior Unsecured Notes (Callable 07/15/16 @ 103.94)

 

(B, B2)

 

07/15/21

 

7.875

 

447,500

 

421

 

Quebecor Media, Inc., Global Senior Unsecured Notes (Callable 03/15/14 @ 100.00)

 

(B+, B2)

 

03/15/16

 

7.750

 

429,946

 

 

 

 

 

 

 

 

 

 

 

2,024,571

 

Media - Services (0.8%)

 

 

 

 

 

 

 

 

 

1,500

 

Clear Channel Worldwide Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/17 @ 103.25)‡

 

(B, B1)

 

11/15/22

 

6.500

 

1,584,688

 

 

 

 

 

 

 

 

 

 

 

 

 

Medical Products (0.6%)

 

 

 

 

 

 

 

 

 

1,050

 

Polymer Group, Inc., Global Senior Secured Notes (Callable 02/01/15 @ 103.88)

 

(B, B1)

 

02/01/19

 

7.750

 

1,149,750

 

 

 

 

 

 

 

 

 

 

 

 

 

Metals & Mining - Excluding Steel (7.2%)

 

 

 

 

 

 

 

 

 

500

 

Arch Coal, Inc., Global Company Guaranteed Notes (Callable 06/15/16 @ 103.63)§

 

(B-, B3)

 

06/15/21

 

7.250

 

451,250

 

1,100

 

Boart Longyear Management Pty Ltd., Rule 144A, Company Guaranteed Notes (Callable 04/01/16 @ 103.50)‡

 

(BB-, Ba2)

 

04/01/21

 

7.000

 

1,141,250

 

1,075

 

Calcipar SA, Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 103.44)‡ §

 

(BB, B1)

 

05/01/18

 

6.875

 

1,150,250

 

1,150

 

Eldorado Gold Corp., Rule 144A, Senior Unsecured Notes (Callable 12/15/16 @ 103.06)‡

 

(BB, Ba3)

 

12/15/20

 

6.125

 

1,198,875

 

400

 

FMG Resources August 2006 Pty Ltd., Rule 144A, Company Guaranteed Notes (Callable 11/01/15 @ 104.13)‡ §

 

(B+, B1)

 

11/01/19

 

8.250

 

433,500

 

1,100

 

Global Brass & Copper, Inc., Rule 144A, Senior Secured Notes (Callable 06/01/16 @ 104.75)‡

 

(B, B3)

 

06/01/19

 

9.500

 

1,223,750

 

1,000

 

Kaiser Aluminum Corp., Global Company Guaranteed Notes (Callable 06/01/16 @ 104.13)

 

(BB-, Ba3)

 

06/01/20

 

8.250

 

1,125,000

 

1,000

 

Molycorp, Inc., Global Senior Secured Notes (Callable 06/01/16 @ 105.00)§

 

(CCC+, B3)

 

06/01/20

 

10.000

 

990,000

 

1,500

 

Noranda Aluminum Acquisition Corp., Rule 144A, Company Guaranteed Notes (Callable 03/01/16 @ 105.50)‡

 

(CCC+, Caa1)

 

06/01/19

 

11.000

 

1,507,500

 

175

 

Old AII, Inc., Global Company Guaranteed Notesø ^

 

(NR, NR)

 

12/15/14

 

9.000

 

18

 

675

 

Old AII, Inc., Global Company Guaranteed Notes (Callable 12/15/13 @ 101.67)ø ^

 

(NR, NR)

 

12/15/16

 

10.000

 

67

 

500

 

Penn Virginia Resource Finance Corp. II, Global Company Guaranteed Notes (Callable 06/01/16 @ 104.19)

 

(B-, B2)

 

06/01/20

 

8.375

 

527,500

 

1,841

 

Quadra FNX Mining Ltd., Rule 144A, Company Guaranteed Notes (Callable 06/15/15 @ 103.88)‡

 

(BB-, B1)

 

06/15/19

 

7.750

 

1,942,255

 

1,450

 

Taseko Mines Ltd., Company Guaranteed Notes (Callable 04/15/15 @ 103.88)

 

(B, B3)

 

04/15/19

 

7.750

 

1,468,125

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Metals & Mining - Excluding Steel

 

 

 

 

 

 

 

 

 

$

1,500

 

Xinergy Corp., Rule 144A, Senior Secured Notes (Callable 05/15/15 @ 104.63)‡ §

 

(CCC-, Caa3)

 

05/15/19

 

9.250

 

$

1,080,000

 

 

 

 

 

 

 

 

 

 

 

14,239,340

 

Oil Field Equipment & Services (3.9%)

 

 

 

 

 

 

 

 

 

900

 

Edgen Murray Corp., Rule 144A, Senior Secured Notes (Callable 11/01/15 @ 106.56)‡

 

(B+, Caa1)

 

11/01/20

 

8.750

 

938,250

 

818

 

FTS International Bonds, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/14 @ 103.56)‡ §

 

(B+, Ba3)

 

11/15/18

 

8.125

 

860,945

 

420

 

Helix Energy Solutions Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/14 @ 100.00)‡

 

(B, B3)

 

01/15/16

 

9.500

 

432,337

 

1,750

 

Parker Drilling Co., Global Company Guaranteed Notes (Callable 04/01/14 @ 104.56)§

 

(B+, B1)

 

04/01/18

 

9.125

 

1,916,250

 

650

 

Permian Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 07/15/15 @ 107.88)‡

 

(B-, B3)

 

01/15/18

 

10.500

 

672,750

 

1,620

 

Pioneer Energy Services Corp., Global Company Guaranteed Notes (Callable 03/15/14 @ 104.94)

 

(B+, B2)

 

03/15/18

 

9.875

 

1,782,000

 

1,000

 

Trinidad Drilling, Ltd., Rule 144A, Senior Unsecured Notes (Callable 01/15/15 @ 103.94)‡

 

(BB-, B1)

 

01/15/19

 

7.875

 

1,090,000

 

 

 

 

 

 

 

 

 

 

 

7,692,532

 

Oil Refining & Marketing (1.7%)

 

 

 

 

 

 

 

 

 

1,250

 

Coffeyville Finance, Inc., Rule 144A, Secured Notes (Callable 11/01/17 @ 103.25)‡

 

(B+, B2)

 

11/01/22

 

6.500

 

1,284,375

 

600

 

Northern Tier Finance Corp., Rule 144A, Senior Secured Notes (Callable 11/15/15 @ 105.34)‡

 

(BB-, B1)

 

11/15/20

 

7.125

 

639,000

 

1,350

 

PBF Finance Corp., Rule 144A, Senior Secured Notes (Callable 02/15/16 @ 104.13)‡

 

(BB+, Ba3)

 

02/15/20

 

8.250

 

1,491,750

 

 

 

 

 

 

 

 

 

 

 

3,415,125

 

Packaging (2.0%)

 

 

 

 

 

 

 

 

 

500

 

Ardagh MP Holdings USA, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/16 @ 103.50)‡ §

 

(CCC+, B3)

 

11/15/20

 

7.000

 

515,000

 

300

 

Ardagh Packaging Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 10/15/15 @ 104.63)‡ €

 

(CCC+, B3)

 

10/15/20

 

9.250

 

417,974

 

500

 

Ardagh Packaging Finance PLC, Rule 144A, Senior Secured Notes (Callable 10/15/14 @ 103.69)‡ €

 

(B+, Ba3)

 

10/15/17

 

7.375

 

696,624

 

475

 

BWAY Holding Co., Global Company Guaranteed Notes (Callable 06/15/14 @ 105.00)

 

(CCC+, B3)

 

06/15/18

 

10.000

 

534,375

 

850

 

Clondalkin Acquisition BV, Rule 144A, Secured Notes‡ #

 

(B-, B2)

 

12/15/13

 

2.280

 

835,125

 

350

 

Reynolds Group Issuer LLC, Global Company Guaranteed Notes (Callable 10/15/14 @ 104.50)§

 

(CCC+, Caa2)

 

04/15/19

 

9.000

 

371,875

 

300

 

Reynolds Group Issuer LLC, Global Senior Secured Notes (Callable 10/15/14 @ 103.56)

 

(B+, B1)

 

04/15/19

 

7.125

 

323,625

 

250

 

Sealed Air Corp., Rule 144A, Company Guaranteed Notes (Callable 09/15/16 @ 104.19)‡ §

 

(BB-, B1)

 

09/15/21

 

8.375

 

287,500

 

 

 

 

 

 

 

 

 

 

 

3,982,098

 

Pharmaceuticals (0.6%)

 

 

 

 

 

 

 

 

 

1,125

 

Warner Chilcott Finance LLC, Global Company Guaranteed Notes (Callable 09/15/14 @ 103.88)

 

(BB, B3)

 

09/15/18

 

7.750

 

1,207,969

 

 

 

 

 

 

 

 

 

 

 

 

 

Printing & Publishing (0.1%)

 

 

 

 

 

 

 

 

 

683

 

The Reader’s Digest Association, Inc., Global Senior Secured Notes (Callable 02/15/14 @ 103.00)ø #

 

(D, NR)

 

02/15/17

 

9.500

 

262,955

 

 

 

 

 

 

 

 

 

 

 

 

 

Real Estate Investment Trusts (1.8%)

 

 

 

 

 

 

 

 

 

500

 

CCRE Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 02/15/15 @ 105.81)‡

 

(B, B1)

 

02/15/18

 

7.750

 

511,250

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Real Estate Investment Trusts

 

 

 

 

 

 

 

 

 

$

1,850

 

CNL Lifestyle Properties, Inc., Global Company Guaranteed Notes (Callable 04/15/15 @ 103.63)§

 

(B+, Ba3)

 

04/15/19

 

7.250

 

$

1,859,250

 

325

 

The Geo Group, Inc., Global Company Guaranteed Notes (Callable 02/15/16 @ 103.31)

 

(B+, B1)

 

02/15/21

 

6.625

 

358,719

 

750

 

The Geo Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/18 @ 102.56)‡ §

 

(B+, B1)

 

04/01/23

 

5.125

 

759,375

 

 

 

 

 

 

 

 

 

 

 

3,488,594

 

Restaurants (0.6%)

 

 

 

 

 

 

 

 

 

1,100

 

CKE Restaurants, Inc., Global Secured Notes (Callable 07/15/14 @ 105.69)

 

(B-, B2)

 

07/15/18

 

11.375

 

1,281,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Software/Services (4.7%)

 

 

 

 

 

 

 

 

 

950

 

Epicor Software Corp., Global Company Guaranteed Notes (Callable 05/01/15 @ 104.31)

 

(CCC+, Caa1)

 

05/01/19

 

8.625

 

1,033,125

 

1,125

 

First Data Corp., Rule 144A, Senior Secured Notes (Callable 06/15/15 @ 103.69)‡

 

(B+, B1)

 

06/15/19

 

7.375

 

1,202,344

 

650

 

First Data Corp., Rule 144A, Senior Secured Notes (Callable 11/01/15 @ 105.06)‡

 

(B+, B1)

 

11/01/20

 

6.750

 

680,875

 

625

 

Infor US, Inc., Global Company Guaranteed Notes (Callable 04/01/15 @ 107.50)€

 

(B-, Caa1)

 

04/01/19

 

10.000

 

904,889

 

1,523

 

MedAssets, Inc., Global Company Guaranteed Notes (Callable 11/15/14 @ 104.00)

 

(B-, B3)

 

11/15/18

 

8.000

 

1,671,492

 

1,003

 

Serena Software, Inc., Global Company Guaranteed Notes (Callable 03/15/14 @ 100.00)

 

(CCC+, Caa1)

 

03/15/16

 

10.375

 

1,023,060

 

400

 

SSI Co-Issuer LLC, Global Company Guaranteed Notes (Callable 06/01/14 @ 105.56)

 

(CCC+, Caa1)

 

06/01/18

 

11.125

 

446,000

 

600

 

SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 11/15/13 @ 105.53)

 

(B, Caa1)

 

11/15/18

 

7.375

 

645,000

 

1,598

 

Syniverse Holdings, Inc., Global Company Guaranteed Notes (Callable 01/15/15 @ 104.56)

 

(B-, Caa1)

 

01/15/19

 

9.125

 

1,761,795

 

 

 

 

 

 

 

 

 

 

 

9,368,580

 

Specialty Retail (2.7%)

 

 

 

 

 

 

 

 

 

1,350

 

Brown Shoe Co., Inc., Global Company Guaranteed Notes (Callable 05/15/14 @ 105.34)

 

(B, B3)

 

05/15/19

 

7.125

 

1,431,000

 

1,000

 

Claire’s Stores, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/15 @ 106.75)‡

 

(B-, B2)

 

03/15/19

 

9.000

 

1,135,000

 

750

 

Ontex IV SA, Rule 144A, Senior Secured Notes (Callable 04/15/14 @ 103.25)‡ €

 

(B, B1)

 

04/15/18

 

7.500

 

1,006,413

 

750

 

Tempur-Pedic International, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/16 @ 103.44)‡ §

 

(B+, B3)

 

12/15/20

 

6.875

 

804,375

 

1,000

 

Toys R Us Property Co. I LLC, Global Company Guaranteed Notes (Callable 07/15/13 @ 105.38)

 

(B+, B3)

 

07/15/17

 

10.750

 

1,081,250

 

 

 

 

 

 

 

 

 

 

 

5,458,038

 

Steel Producers/Products (0.8%)

 

 

 

 

 

 

 

 

 

550

 

JMC Steel Group, Rule 144A, Senior Notes (Callable 03/15/14 @ 106.19)‡

 

(B, B3)

 

03/15/18

 

8.250

 

585,750

 

1,000

 

Tempel Steel Co., Rule 144A, Senior Secured Notes (Callable 02/15/14 @ 109.00)‡

 

(B-, Caa1)

 

08/15/16

 

12.000

 

945,000

 

 

 

 

 

 

 

 

 

 

 

1,530,750

 

Support-Services (2.5%)

 

 

 

 

 

 

 

 

 

500

 

BC Mountain Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/16 @ 105.25)‡

 

(B-, B3)

 

02/01/21

 

7.000

 

531,250

 

1,100

 

CoreLogic, Inc., Global Company Guaranteed Notes (Callable 06/01/16 @ 103.63)

 

(B+, Ba3)

 

06/01/21

 

7.250

 

1,221,000

 

500

 

Emdeon, Inc., Global Company Guaranteed Notes (Callable 12/31/15 @ 105.50)

 

(CCC+, Caa1)

 

12/31/19

 

11.000

 

578,750

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Support-Services

 

 

 

 

 

 

 

 

 

$

775

 

Garda World Security Corp., Rule 144A, Senior Unsecured Notes (Callable 03/15/14 @ 104.88)‡

 

(B, B2)

 

03/15/17

 

9.750

 

$

838,937

 

500

 

Sabre, Inc., Rule 144A, Senior Secured Notes (Callable 05/15/15 @ 106.38)‡

 

(B, B1)

 

05/15/19

 

8.500

 

544,375

 

1,200

 

United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 05/15/16 @ 103.69)§

 

(B+, B3)

 

05/15/20

 

7.375

 

1,338,000

 

 

 

 

 

 

 

 

 

 

 

5,052,312

 

Telecom - Integrated/Services (2.0%)

 

 

 

 

 

 

 

 

 

350

 

Hellas Telecommunications II SCA, Rule 144A, Subordinated Notes‡ ø ^ #

 

(NR, NR)

 

01/15/15

 

0.000

 

—

 

600

 

Intelsat Jackson Holdings SA, Global Company Guaranteed Notes (Callable 04/01/15 @ 103.63)

 

(B, B3)

 

04/01/19

 

7.250

 

658,500

 

750

 

Intelsat Jackson Holdings SA, Global Company Guaranteed Notes (Callable 04/01/16 @ 103.75)§

 

(B, B3)

 

04/01/21

 

7.500

 

838,125

 

800

 

Intelsat Luxembourg SA, Rule 144A, Senior Unsecured Notes (Callable 06/01/17 @ 103.88)‡

 

(CCC+, Caa3)

 

06/01/21

 

7.750

 

816,000

 

250

 

Intelsat Luxembourg SA, Rule 144A, Senior Unsecured Notes (Callable 06/01/15 @ 103.38)‡

 

(CCC+, Caa3)

 

06/01/18

 

6.750

 

258,750

 

1,300

 

Zayo Capital, Inc., Global Senior Secured Notes (Callable 07/01/15 @ 104.06)§

 

(B, B1)

 

01/01/20

 

8.125

 

1,462,500

 

 

 

 

 

 

 

 

 

 

 

4,033,875

 

Telecom - Wireless (0.6%)

 

 

 

 

 

 

 

 

 

400

 

Telesat LLC, Rule 144A, Senior Unsecured Notes (Callable 05/15/14 @ 103.00)‡

 

(B-, B3)

 

05/15/17

 

6.000

 

420,000

 

600

 

Wind Acquisition Finance SA, Rule 144A, Secured Notes (Callable 07/15/13 @ 105.88)‡ €

 

(B+, B3)

 

07/15/17

 

11.750

 

742,651

 

 

 

 

 

 

 

 

 

 

 

1,162,651

 

Telecommunications Equipment (1.5%)

 

 

 

 

 

 

 

 

 

1,200

 

Avaya, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/15 @ 103.50)‡ §

 

(B, B1)

 

04/01/19

 

7.000

 

1,179,000

 

1,600

 

Brightstar Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/14 @ 104.75)‡

 

(BB-, B1)

 

12/01/16

 

9.500

 

1,720,000

 

 

 

 

 

 

 

 

 

 

 

2,899,000

 

Textiles & Apparel (0.3%)

 

 

 

 

 

 

 

 

 

150

 

IT Holding Finance SA, Rule 144A, Company Guaranteed Notes‡ € ø

 

(NR, NR)

 

11/15/25

 

9.875

 

1,974

 

500

 

Takko Luxembourg 2 S.C.A, Rule 144A, Senior Secured Notes (Callable 04/15/16 @ 104.94)‡ €

 

(B-, B3)

 

04/15/19

 

9.875

 

628,246

 

 

 

 

 

 

 

 

 

 

 

630,220

 

Theaters & Entertainment (2.1%)

 

 

 

 

 

 

 

 

 

675

 

AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/01/14 @ 104.38)§

 

(B-, B2)

 

06/01/19

 

8.750

 

744,187

 

857

 

AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 12/01/15 @ 104.88)

 

(CCC+, Caa1)

 

12/01/20

 

9.750

 

993,049

 

1,600

 

Regal Entertainment Group, Company Guaranteed Notes (Callable 08/15/14 @ 104.56)§

 

(B-, B3)

 

08/15/18

 

9.125

 

1,804,000

 

700

 

Wallace Theater Holdings, Inc., Rule 144A, Senior Secured Notes‡ #

 

(CCC, NR)

 

06/15/13

 

12.500

 

703,500

 

 

 

 

 

 

 

 

 

 

 

4,244,736

 

Tobacco (0.3%)

 

 

 

 

 

 

 

 

 

650

 

Vector Group Ltd., Rule 144A, Senior Secured Notes (Callable 02/15/16 @ 105.81)‡ §

 

(B+, Ba3)

 

02/15/21

 

7.750

 

685,750

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Transportation - Excluding Air/Rail (0.2%)

 

 

 

 

 

 

 

 

 

$

400

 

Navios Maritime Holdings Finance II US, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.06)

 

(B+, Caa1)

 

02/15/19

 

8.125

 

$

364,000

 

TOTAL CORPORATE BONDS (Cost $159,670,015)

 

 

 

 

 

 

 

162,065,700

 

 

 

 

 

 

 

 

 

 

 

ASSET BACKED SECURITIES (8.5%)

 

 

 

 

 

 

 

 

 

Collateralized Debt Obligations (8.5%)

 

 

 

 

 

 

 

 

 

1,000

 

ALM VI Ltd., Rule 144A‡ #

 

(B, NR)

 

06/14/23

 

6.281

 

964,333

 

1,000

 

Carlyle Global Market Strategies CLO 2012-4 Ltd., Rule 144A‡

 

(NR, NR)

 

01/20/25

 

0.000

 

847,500

 

1,000

 

Carlyle Global Market Strategies CLO 2013-1 Ltd., Rule 144A‡ #

 

(BB, NR)

 

02/14/25

 

5.790

 

959,626

 

1,000

 

Catamaran CLO 2012-1 Ltd., Rule 144A‡ #

 

(BBB, NR)

 

12/20/23

 

5.009

 

1,007,160

 

1,000

 

Commercial Industrial Finance Corp., Rule 144A‡ #

 

(BBB, NR)

 

01/19/23

 

3.402

 

969,154

 

1,000

 

ECP CLO Ltd., Rule 144A‡ #

 

(BB, NR)

 

01/20/15

 

4.482

 

835,780

 

1,000

 

Finn Square CLO Ltd., Rule 144A‡ #

 

(BB, NR)

 

12/24/23

 

5.567

 

939,939

 

1,000

 

Gale Force 1 CLO Ltd., Rule 144A‡ #

 

(A, A2)

 

11/15/17

 

2.140

 

938,015

 

1,000

 

Gale Force 4 CLO Ltd., Rule 144A‡ #

 

(BBB, Ba1)

 

08/20/21

 

3.789

 

942,627

 

1,000

 

Halcyon Loan Advisors Funding Ltd., Rule 144A‡ #

 

(BB, NR)

 

12/20/24

 

5.680

 

945,387

 

1,000

 

ING Investment Management CLO 2011-1 LLC, Rule 144A‡ #

 

(BB, NR)

 

06/22/21

 

4.784

 

917,925

 

1,000

 

JFIN CLO Ltd., Rule 144A‡ #

 

(BB, NR)

 

01/20/25

 

5.030

 

855,750

 

1,000

 

Marine Park CLO Ltd., Rule 144A‡ #

 

(BB-, NR)

 

05/18/23

 

6.040

 

976,518

 

1,000

 

OFSI Fund V Ltd., Rule 144A‡ #

 

(BBB, NR)

 

04/17/25

 

4.542

 

950,626

 

1,000

 

Shackleton I CLO Ltd., Rule 144A‡ #

 

(BBB, NR)

 

08/14/23

 

5.042

 

999,014

 

1,000

 

Shackleton I CLO Ltd., Rule 144A‡ #

 

(BB, NR)

 

08/14/23

 

6.492

 

958,946

 

1,000

 

Shackleton II CLO Ltd., Rule 144A‡ #

 

(BB, NR)

 

10/20/23

 

5.648

 

925,201

 

1,000

 

Venture X CLO Ltd., Rule 144A‡ #

 

(BB, NR)

 

02/28/24

 

5.662

 

907,500

 

TOTAL ASSET BACKED SECURITIES (Cost $16,092,841)

 

 

 

 

 

 

 

16,841,001

 

 

 

 

 

 

 

 

 

 

 

BANK LOANS (5.4%)

 

 

 

 

 

 

 

 

 

Aerospace & Defense (0.2%)

 

 

 

 

 

 

 

 

 

466

 

Arinc, Inc.#

 

(B, Caa1)

 

10/25/15

 

6.210

 

460,280

 

 

 

 

 

 

 

 

 

 

 

 

 

Energy - Exploration & Production (0.6%)

 

 

 

 

 

 

 

 

 

1,001

 

Delek Benelux BV€ #

 

(NR, NR)

 

02/08/17

 

5.245

 

1,234,742

 

 

 

 

 

 

 

 

 

 

 

 

 

Gaming (0.5%)

 

 

 

 

 

 

 

 

 

1,000

 

CKX Entertainment, Inc.#

 

(B+, B1)

 

06/21/17

 

9.000

 

879,380

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments & Misc. Financial Services (0.6%)

 

 

 

 

 

 

 

 

 

881

 

BNY ConvergEX Group LLC#

 

(CCC+, B3)

 

12/17/17

 

8.750

 

872.822

 

369

 

BNY ConvergEX Group LLC#

 

(CCC+, B3)

 

12/18/17

 

8.750

 

366.240

 

 

 

 

 

 

 

 

 

 

 

 

 

Leisure (0.6%)

 

 

 

 

 

 

 

 

 

253

 

Technicolor SA#

 

(B, NR)

 

03/31/16

 

9.350

 

278,164

 

760

 

Technicolor SA#

 

(B, NR)

 

05/26/17

 

9.350

 

834,823

 

 

 

 

 

 

 

 

 

 

 

1,112,987

 

Machinery (0.6%)

 

 

 

 

 

 

 

 

 

1,250

 

CPM Acquisition Corp.#

 

(B, Caa1)

 

03/01/18

 

10.250

 

1,271,875

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Diversified (0.5%)

 

 

 

 

 

 

 

 

 

432

 

Flint Group Holdings Sarl#

 

(NR, NR)

 

06/30/16

 

7.476

 

407,778

 

584

 

Flint Group Holdings Sarl#

 

(NR, NR)

 

12/31/16

 

7.476

 

481,655

 

 

 

 

 

 

 

 

 

 

 

889,433

 

Printing & Publishing (0.1%)

 

 

 

 

 

 

 

 

 

1,207

 

Yell Group PLC#

 

(NR, NR)

 

07/31/14

 

3.954

 

221,442

 

 

 

 

 

 

 

 

 

 

 

 

 

Software/Services (1.7%)

 

 

 

 

 

 

 

 

 

378

 

AVG Technologies N.V.#

 

(BB-, B1)

 

03/15/16

 

8.250

 

380,284

 

1,000

 

Decision Insight Information Group#

 

(B, B1)

 

01/04/17

 

7.000

 

1,009,585

 

980

 

SafeNet, Inc.#

 

(B, B3)

 

04/12/15

 

6.204

 

976,833

 

20

 

SafeNet, Inc.#

 

(B-, Caa1)

 

04/12/15

 

6.204

 

19,732

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

BANK LOANS

 

 

 

 

 

 

 

 

 

Software/Services

 

 

 

 

 

 

 

 

 

$

1,000

 

Wall Street Systems Delaware, Inc.#

 

(NR, Caa2)

 

10/25/20

 

9.250

 

$

1,010,000

 

 

 

 

 

 

 

 

 

 

 

3,396,434

 

TOTAL BANK LOANS (Cost $10,610,922)

 

 

 

 

 

 

 

10,705,635

 

 

 

 

 

 

 

 

 

 

 

 

 

Number of
Shares

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

COMMON STOCKS (0.4%)

 

 

 

Automotive (0.0%)

 

 

 

1,219

 

Safelite Realty Corp.*^

 

—

 

 

 

 

 

 

 

Building & Construction (0.2%)

 

 

 

14,400

 

Ashton Woods USA LLC, Class B*^

 

190,368

 

92,791

 

William Lyon Homes, Inc.*

 

264,454

 

 

 

 

 

454,822

 

Building Materials (0.0%)

 

 

 

372

 

Dayton Superior Corp.*^

 

—

 

328

 

Nortek, Inc.*§

 

23,406

 

 

 

 

 

23,406

 

Chemicals (0.1%)

 

 

 

4,893

 

Huntsman Corp.

 

90,961

 

 

 

 

 

 

 

Gaming (0.0%)

 

 

 

36,250

 

Majestic Holdco LLC*

 

68,875

 

1,500

 

Progressive Gaming International Corp.*

 

1

 

 

 

 

 

68,876

 

Media - Broadcast (0.1%)

 

 

 

26,986

 

Cumulus Media, Inc., Class A*§

 

90,943

 

 

 

 

 

 

 

Printing & Publishing (0.0%)

 

 

 

888

 

SuperMedia, Inc.*§

 

3,436

 

TOTAL COMMON STOCKS (Cost $1,443,868)

 

732,444

 

 

 

 

 

PREFERRED STOCK (0.0%)

 

 

 

413

 

Dayton Superior Corp. (Cost $156,000) *^

 

—

 

 

 

 

 

WARRANTS (0.0%)

 

 

 

Building Materials (0.0%)

 

 

 

864

 

Nortek, Inc., strike price $1.00, expires 12/07/14*§

 

17,280

 

 

 

 

 

 

 

Printing & Publishing (0.0%)

 

 

 

3,871

 

The Readers Digest Association, Inc., strike price $0.00, expires 02/19/14*^

 

—

 

TOTAL WARRANTS (Cost $864)

 

17,280

 

 

 

 

 

SHORT-TERM INVESTMENTS (18.8%)

 

 

 

35,492,513

 

State Street Navigator Prime Portfolio, 0.22%§§

 

35,492,513

 

 

 

 

 

 

 

Par
(000)

 

 

 

Maturity

 

Rate%

 

 

 

 

 

 

 

 

 

 

 

 

 

$

1,895

 

State Street Bank and Trust Co. Euro Time Deposit

 

04/01/13

 

0.010

 

1,895,000

 

TOTAL SHORT-TERM INVESTMENTS (Cost $37,387,513)

 

 

 

 

 

37,387,513

 

 


 

 

 

 

Value

 

 

 

 

 

TOTAL INVESTMENTS AT VALUE (114.6%) (Cost $225,362,023)

 

$

227,749,573

 

 

 

 

 

 

LIABILITIES IN EXCESS OF OTHER ASSETS (-14.6%)

 

(28,942,575

)

 

 

 

 

NET ASSETS (100.0%)

 

$

198,806,998

 

 

All securities are denominated in U.S. Dollars unless otherwise noted.

†

Credit ratings given by the Standard & Poor’s Division of The McGraw-Hill Companies, Inc. (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”) are unaudited.

‡

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2013, these securities amounted to a value of $95,993,839 or 48.3% of net assets.

€

This security is denominated in Euro.

£

This security is denominated in British Pound.

ø

Bond is currently in default.

*

Non-income producing security.

^

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.

#

Variable rate obligations — The interest rate is the rate as of March 31, 2013.

§

Security or portion thereof is out on loan.

§§

Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at March 31, 2013.

 

INVESTMENT ABBREVIATIONS

NR = Not Rated

PIK = Payment in Kind

 

At March 31, 2013, Open Forward Foreign Currency Contracts were as follows:

 

Forward Foreign
Currency
to be Purchased
(Local)

 

Forward Foreign
 Currency
to be Sold (Local)

 

Expiration
Date

 

Counterparties

 

Value on
Settlement
Date

 

Current
Value

 

Unrealized
Appreciation/
(Depreciation)

 

USD

 

8,807,856

 

EUR

 

6,580,000

 

04/18/13

 

Morgan Stanley

 

$

(8,807,856

)

$

(8,450,228

)

$

357,628

 

USD

 

2,262,444

 

GBP

 

1,415,000

 

04/18/13

 

Morgan Stanley

 

(2,262,444

)

(2,148,431

)

114,013

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

471,641

 

 

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. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Debt securities are generally categorized as Level 2. Equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (the “Valuation Time”). If no sales are reported, equity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities.  Equity investments are generally categorized as Level 1. Investments in open-end investment companies are valued at their net asset value each business day and are generally categorized as Level 1. Time Deposits are valued at cost and are generally categorized as Level 2.  Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and are generally categorized as Level 2. Securities and other assets for which market quotations are not readily available, or whose values have been materially affected by events occurring before the Fund’s Valuation Time but after the close of the securities’ primary markets, are valued at fair value as determined in good faith by, or under the direction of, the Board of Directors under procedures established by the Board of Directors and are generally categorized as Level 3. At March 31, 2013, the Fund held 0.10% of its net assets in securities valued at fair value as determined in good faith under procedures established by the Board of Directors with an aggregate cost of $1,934,381 and fair value of $190,497. The Fund’s estimate of fair value assumes a willing buyer and a willing seller neither acting under the compulsion to buy or sell. Although these securities may be resold in privately negotiated transactions, the prices realized on such sales could differ from the prices originally paid by the Fund or the current carrying values, and the difference could be material.

 

In accordance with the authoritative guidance on fair value measurements and disclosures under accounting principles generally accepted in the United States of America (“GAAP”), the Fund discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value.  In accordance with GAAP, fair value is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. GAAP established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on

 


 

market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. In accordance with the Fund’s valuation procedures, factors used in determining value may include, but are not limited to, the type of the security, the size of the holding, the initial cost of the security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies, quotations or evaluated prices from broker-dealers and/or pricing services, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or issuer’s financial statements, an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold and with respect to debt securities, the maturity, coupon, creditworthiness, currency denomination, and the movement of the market in which the security is normally traded.  The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.

 

·

Level 1 — quoted prices in active markets for identical investments

 

 

·

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

 

·

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used as of March 31, 2013 in valuing the Fund’s investments carried at value:

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Investments in Securities

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

$

—

 

$

162,065,571

 

$

129

 

$

162,065,700

 

Asset Backed Securities

 

—

 

16,841,001

 

—

 

16,841,001

 

Bank Loans

 

—

 

10,705,635

 

—

 

10,705,635

 

Common Stocks

 

208,746

 

333,330

 

190,368

 

732,444

 

Preferred Stock

 

—

 

—

 

0

 

—

 

Warrants

 

17,280

 

—

 

0

 

17,280

 

Short-Term Investments

 

35,492,513

 

1,895,000

 

—

 

37,387,513

 

Other Financial Instruments *

 

 

 

 

 

 

 

 

 

Forward Foreign Currency Contracts

 

—

 

471,641

 

—

 

471,641

 

 

 

$

35,718,539

 

$

192,312,178

 

$

190,497

 

$

228,221,214

 

 

* Other financial instruments include forward foreign currency contracts.

 

The following is a reconciliation of investments as of March 31, 2013 in which significant unobservable inputs (Level 3) were used in determining value. Transfers in or out of Level 3 represent the beginning value of any security or instrument where a change in the level has occurred from the beginning to the end of the period.

 

 

 

Corporate
Bonds

 

Common
Stocks

 

Preferred
Stock

 

Warrants

 

Total

 

Balance as of December 31, 2012

 

$

130

 

$

108,720

 

$

0

 

$

0

 

$

108,850

 

Accrued discounts/premiums

 

—

 

—

 

—

 

—

 

—

 

Purchases

 

—

 

—

 

—

 

—

 

—

 

Sales

 

—

 

—

 

—

 

—

 

—

 

Realized Gain/(Loss)

 

—

 

—

 

—

 

—

 

—

 

Change in Unrealized Appreciation/(Depreciation)

 

(1

)

81,648

 

0

 

0

 

81,647

 

Transfers Into Level 3

 

—

 

—

 

—

 

—

 

—

 

Transfers Out of Level 3

 

—

 

—

 

—

 

—

 

—

 

Balance as of March 31, 2013

 

$

129

 

$

190,368

 

$

0

 

$

0

 

$

190,497

 

 

 

 

 

 

 

 

 

 

 

 

 

Net change in unrealized Appreication/(Depreciation) from investments still held as of March 31, 2013

 

$

(1

)

$

81,648

 

$

0

 

$

0

 

$

81,647

 

 

The Fund adopted FASB amendments to authoritative guidance which require the Fund to disclose details of transfers in and out of Level 1 and Level 2 measurements and Level 2 and Level 3 measurements and the reasons for the transfers. For the quarter ended March 31, 2013, there were no transfers in and out of Level 1, Level 2 and Level 3.

 


 

Federal Income Tax Cost - At March 31, 2013, the cost of investments (excluding foreign currency related transactions) and net unrealized appreciation (depreciation) for income tax purposes were as follows:

 

Cost of Investments

 

$

225,362,023

 

Unrealized appreciation

 

$

12,397,151

 

Unrealized depreciation

 

(10,009,601

)

Net unrealized appreciation (depreciation)

 

$

2,387,550

 

 

Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Fund’s 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 registrant’s 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 registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3:                                                        Exhibits

 

1.             The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report.

 


 

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

 

Date:

May 29, 2013

 

 

 

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

 

Date:

May 29, 2013

 

 

 

/s/Bruce S. Rosenberg

 

Name:

Bruce S. Rosenberg

 

Title:

Chief Financial Officer

 

Date:

May 29, 2013