N-Q 1 d296923dnq.htm CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. Credit Suisse Asset Management Income Fund, Inc.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-05012

CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.

(Exact name of registrant as specified in charter)

c/o Credit Suisse Asset Management, LLC

One Madison Avenue

New York, New York 10010

(Address of principal executive offices) (Zip code)

John G. Popp

One Madison Avenue

New York, New York 10010

(Name and address of agent for service)

Registrant’s telephone number, including area code: (212) 325-2000

Date of fiscal year-end:

   December 31st

Date of reporting period:

   January 1, 2016 to March 31, 2016

Item 1: Schedule of Investments

Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments

March 31, 2016 (unaudited)

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        

 

CORPORATE BONDS (76.3%)

                    

 

Advertising (3.0%)

                    
$             425        

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

      (B-, B2)        11/15/22           6.500         $ 406,938   
  1,475        

Clear Channel Worldwide Holdings, Inc., Series B, Global Company Guaranteed Notes
(Callable 11/15/17 @ 103.25)

      (B-, B2)        11/15/22           6.500           1,475,000   
  1,270        

Southern Graphics, Inc., Rule 144A, Company
Guaranteed Notes (Callable 05/02/16 @ 106.28)(1)

      (CCC+, Caa1)        10/15/20           8.375           1,273,175   
  1,650        

WMG Acquisition Corp., Rule 144A, Senior
Secured Notes (Callable 05/02/16 @ 104.50)(1)

      (B, B1)        01/15/21           6.000           1,695,375   
                        

 

 

  
                                 4,850,488   
                        

 

 

  
                        

 

Auto Parts & Equipment (1.2%)

                    
  470        

EnerSys, Rule 144A, Company Guaranteed Notes (Callable 01/30/23 @ 100.00)(1)

      (BB+, Ba2)        04/30/23           5.000           455,900   
  1,150        

MPG Holdco I, Inc., Global Company Guaranteed Notes (Callable 10/15/17 @ 105.53)(2)

      (B+, B3)        10/15/22           7.375           1,144,250   
  2,100        

UCI International LLC, Global Company Guaranteed Notes (Callable 05/02/16 @ 102.16)

      (D, C)        02/15/19           8.625           414,750   
                        

 

 

  
                           2,014,900   
                        

 

 

  
                        

 

Banking (0.9%)

                    
  1,500        

CCRE Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 05/02/16 @ 102.91)(1)

      (B+, B1)        02/15/18           7.750           1,492,500   
                        

 

 

  
                        

 

Building & Construction (2.3%)

                    
  1,400        

AV Homes, Inc., Global Company Guaranteed Notes (Callable 07/01/16 @ 106.38)

      (B-, Caa1)        07/01/19           8.500           1,379,000   
  500        

K Hovnanian Enterprises, Inc., Global Senior Secured Notes

      (CCC+, B1)        11/01/21           2.000           295,000   
  1,150        

NCI Building Systems, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/18 @ 106.19)(1)

      (BB-, B3)        01/15/23           8.250           1,216,125   
  900        

PriSo Acquisition Corp., Rule 144A, Senior
Unsecured Notes (Callable 05/15/18 @ 104.50)(1)

      (CCC+, Caa1)        05/15/23           9.000           812,250   
                        

 

 

  
                           3,702,375   
                        

 

 

  
                        

 

Building Materials (2.6%)

                    
  475        

American Builders & Contractors Supply Co., Inc., Rule 144A, Senior Unsecured Notes
(Callable 12/15/18 @ 104.31)(1)

      (BB, B3)        12/15/23           5.750           495,188   
  1,600        

Euramax International, Inc., Rule 144A, Senior
Secured Notes (Callable 02/15/18 @ 109.00)(1)

      (B-, Caa2)        08/15/20           12.000           1,464,000   
  1,250        

Headwaters, Inc., Global Company Guaranteed Notes (Callable 05/02/16 @ 103.63)

      (B, B3)        01/15/19           7.250           1,293,750   
  500        

Summit Materials Finance Corp., Global Company Guaranteed Notes (Callable 07/15/18 @ 103.06)

      (B, Caa1)        07/15/23           6.125           477,500   
  500        

Summit Materials Finance Corp., Rule 144A, Company Guaranteed Notes
(Callable 04/15/19 @ 104.25)(1)

      (B, Caa1)        04/15/22           8.500           518,750   
                        

 

 

  
                           4,249,188   
                        

 

 

  
                        

 

Cable & Satellite TV (5.3%)

                    
  800        

Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 12/15/16 @ 104.88)(1)

      (BB-, B1)        01/15/22           6.500           818,000   
  1,850        

Block Communications, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/02/16 @ 103.63)(1)

      (B, B1)        02/01/20           7.250           1,803,750   
  500        

Cequel Capital Corp., Rule 144A, Senior
Unsecured Notes (Callable 05/02/16 @ 104.78)(1)

      (B-, Caa1)        09/15/20           6.375           497,500   
  685        

CSC Holdings LLC, Global Senior Unsecured Notes

      (BB, Ba2)        06/01/24           5.250           612,219   
  1,000        

DISH DBS Corp., Global Company Guaranteed Notes

      (BB-, Ba3)        06/01/21           6.750           1,035,000   
  1,175        

Midcontinent Communications & Midcontinent Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/15/18 @ 105.16)(1)

      (B, B3)        08/15/23           6.875           1,222,000   
  400        

Neptune Finco Corp., Rule 144A, Senior Unsecured Notes (Callable 10/15/20 @ 103.31)(1)

      (BB-, Ba1)        10/15/25           6.625           433,460   
  400        

Neptune Finco Corp., Rule 144A, Senior Unsecured Notes (Callable 10/15/20 @ 105.44)(1)

      (B-, B2)        10/15/25           10.875           435,800   
  700        

Numericable-SFR SAS, Rule 144A, Senior Secured Notes (Callable 05/15/17 @ 104.50)(1)

      (B+, B1)        05/15/22           6.000           686,000   

 

 

 

    

    

    

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        

 

CORPORATE BONDS (continued)

                    

 

Cable & Satellite TV

                    
$          1,200        

Numericable-SFR SAS, Rule 144A, Senior Secured Notes (Callable 05/15/19 @ 103.13)(1)

      (B+, B1)        05/15/24           6.250         $       1,169,400   
                        

 

 

  
                           8,713,129   
                        

 

 

  
                        

 

Chemicals (5.1%)

                    
  1,225        

A Schulman, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/18 @ 105.16)(1)

      (B+, B3)        06/01/23           6.875           1,212,750   
  150        

Axiall Corp., Global Company Guaranteed Notes (Callable 05/15/18 @ 102.44)

      (BB, Ba3)        05/15/23           4.875           147,093   
  600        

Blue Cube Spinco, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/20 @ 105.00)(1)

      (BB+, Ba1)        10/15/25           10.000           688,500   
  500        

Chemtura Corp., Company Guaranteed Notes (Callable 07/15/16 @ 104.31)

      (BB-, B1)        07/15/21           5.750           495,000   
  475        

GCP Applied Technologies, Inc. Rule 144A, Company Guaranteed Notes
(Callable 02/01/19 @ 104.75)(1)

      (B+, B1)        02/01/23           9.500           516,563   
  1,450        

GrafTech International Ltd., Global Company Guaranteed Notes (Callable 11/15/16 @ 103.19)

      (CCC+, Caa1)        11/15/20           6.375           873,625   
  750        

Ineos Group Holdings S.A., Rule 144A, Secured Notes (Callable 05/02/16 @ 102.94)(1),(2)

      (B-, B3)        02/15/19           5.875           758,437   
  350        

Ineos Group Holdings S.A., Rule 144A, Secured Notes (Callable 05/02/16 @ 103.06)(1),(2)

      (B-, B3)        08/15/18           6.125           357,217   
  1,020        

OMNOVA Solutions, Inc., Global Company Guaranteed Notes (Callable 05/02/16 @ 101.97)

      (B-, B2)        11/01/18           7.875           1,014,900   
  276        

Reichhold Industries, Inc., Rule 144A, Senior Secured Notes (Callable 05/02/16 @ 100.00)(1),(3),(4),(5)

      (NR, NR)        05/08/17           9.000           11,051   
  1,100        

The Chemours Co., Rule 144A, Senior Unsecured Notes (Callable 05/15/20 @ 103.50)(1)

      (BB-, B1)        05/15/25           7.000           885,500   
  1,075        

Tronox Finance LLC, Global Company Guaranteed Notes (Callable 05/02/16 @ 104.78)(2)

      (B+, Caa1)        08/15/20           6.375           831,781   
  600        

Univar U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/18 @ 103.38)(1),(2)

      (B, Caa1)        07/15/23           6.750           588,750   
                        

 

 

  
                           8,381,167   
                        

 

 

  
                        

 

Consumer/Commercial/Lease Financing (1.1%)

                    
  2,000        

Infinity Acquisition Finance Corp., Rule 144A, Senior Secured Notes (Callable 08/01/17 @ 103.63)(1)

      (CCC+, Caa2)        08/01/22           7.250           1,730,000   
                        

 

 

  
                        

 

Electronics (0.3%)

                    
  500        

Microsemi Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/19 @ 106.84)(1)

      (B+, B2)        04/15/23           9.125           551,250   
                        

 

 

  
                        

 

Energy - Exploration & Production (2.6%)

                    
  2,230        

Bonanza Creek Energy, Inc., Global Company Guaranteed Notes (Callable 04/15/17 @ 103.38)

      (CC, Ca)        04/15/21           6.750           635,550   
  1,200        

Comstock Resources, Inc., Company Guaranteed Notes (Callable 05/02/16 @ 101.94)

      (D, Caa3)        04/01/19           7.750           156,000   
  900        

Det Norske Oljeselskap ASA, Rule 144A,
Subordinated Notes (Callable 05/27/19 @ 105.13)(1)

      (NR, NR)        05/27/22           10.250           839,250   
  1,975        

EPL Oil & Gas, Inc., Global Company Guaranteed Notes (Callable 05/02/16 @ 102.06)

      (D, Ca)        02/15/18           8.250           99,985   
  958        

Harkand Finance, Inc., 7.800% Cash, 0.600% PIK, Reg S, Rule 144A, Senior Secured Notes
(Callable 05/03/16 @ 104.50)(1),(3),(6),(7)

      (NR, NR)        03/28/19           8.400           316,078   
  1,050        

Oasis Petroleum, Inc., Company Guaranteed Notes (Callable 11/01/16 @ 103.25)(2)

      (B+, Caa1)        11/01/21           6.500           782,250   
  470        

Oasis Petroleum, Inc., Global Company Guaranteed Notes (Callable 09/15/17 @ 103.44)(2)

      (B+, Caa1)        03/15/22           6.875           350,150   
  1,500        

Stone Energy Corp., Global Company Guaranteed Notes (Callable 11/15/17 @ 103.75)

      (CCC-, Caa3)        11/15/22           7.500           412,500   
  1,124        

W&T Offshore, Inc., Global Company Guaranteed Notes (Callable 05/02/16 @ 104.25)

      (CC, Ca)        06/15/19           8.500           140,500   
  650        

Whiting Petroleum Corp., Company Guaranteed Notes (Callable 12/15/20 @ 100.00)(2)

      (B, Caa2)        03/15/21           5.750           435,500   
                        

 

 

  
                           4,167,763   
                        

 

 

  

 

 

 

    

    

    

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        

 

CORPORATE BONDS (continued)

                    

 

Food - Wholesale (0.6%)

                    
$          1,000        

Dole Food Co., Inc., Rule 144A, Senior Secured Notes (Callable 05/02/16 @ 103.63)(1)

      (CCC+, B3)        05/01/19           7.250         $          997,500   
                        

 

 

  
                        

 

Forestry & Paper (0.0%)

                    
  1,000        

Stone & Webster, Inc.(4),(8)

      (NR, NR)        10/23/19           0.000           1,750   
                        

 

 

  
                        

 

Gaming (0.9%)

                    
  555        

Choctaw Resort Development Enterprise, Rule 144A, Senior Unsecured Notes
(Callable 05/02/16 @ 100.00)(1)

      (B-, Caa1)        11/15/19           7.250           541,125   
  750        

Safari Holding Verwaltungs GmbH, Rule 144A, Senior Secured Notes
(Callable 02/15/17 @ 104.13)(1),(9)

      (B, B2)        02/15/21           8.250           896,524   
                        

 

 

  
                           1,437,649   
                        

 

 

  
                        

 

Gas Distribution (2.8%)

                    
  1,500        

Energy Transfer Equity LP, Senior Secured Notes

      (BB, Ba2)        10/15/20           7.500           1,451,250   
  164        

Genesis Energy Finance Corp., Company
Guaranteed Notes (Callable 05/15/18 @ 104.50)

      (B+, B1)        05/15/23           6.000           145,140   
  750        

Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 06/15/19 @ 102.81)

      (B+, B1)        06/15/24           5.625           633,750   
  350        

Genesis Energy Finance Corp., Global Company Guaranteed Notes (Callable 02/15/17 @ 102.88)

      (B+, B1)        02/15/21           5.750           316,750   
  2,000        

Holly Energy Finance Corp., Global Company Guaranteed Notes (Callable 05/02/16 @ 103.25)

      (BB, B1)        03/01/20           6.500           1,990,000   
                        

 

 

  
                           4,536,890   
                        

 

 

  
                        

 

Health Facilities (3.0%)

                    
  1,725        

Covenant Surgical Partners, Inc., Rule 144A, Senior Secured Notes (Callable 08/01/16 @ 106.56)(1)

      (B-, B3)        08/01/19           8.750           1,664,625   
  1,075        

HCA, Inc., Global Senior Secured Notes
(Callable 12/15/25 @ 100.00)

      (BBB-, Ba1)        06/15/26           5.250           1,104,562   
  800        

Surgery Center Holdings, Inc., Rule 144A, Senior Unsecured Notes
(Callable 04/15/18 @ 106.66)(1),(2)

      (CCC+, Caa2)        04/15/21           8.875           802,000   
  1,000        

Tenet Healthcare Corp., Global Senior Unsecured Notes

      (CCC+, B3)        04/01/22           8.125           1,033,750   
  300        

Tenet Healthcare Corp., Global Senior Unsecured Notes(2)

      (CCC+, B3)        06/15/23           6.750           288,750   
                        

 

 

  
                           4,893,687   
                        

 

 

  
                        

 

Health Services (0.5%)

                    
  900        

Emdeon, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/17 @ 104.50)(1)

      (CCC+, Caa1)        02/15/21           6.000           879,750   
                        

 

 

  
                        

 

Insurance Brokerage (1.7%)

                    
  775        

Hub Holdings Finance, Inc., 8.125% Cash, 8.875% PIK, Rule 144A, Senior Unsecured Notes
(Callable 05/02/16 @ 102.00)(1),(2),(6)

      (CCC+, Caa2)        07/15/19           17.000           716,875   
  675        

HUB International Ltd., Rule 144A, Secured Notes (Callable 02/15/17 @ 103.00)(1)

      (CCC+, B3)        02/15/21           9.250           702,000   
  550        

HUB International Ltd., Rule 144A, Senior Unsecured Notes (Callable 10/01/16 @ 105.91)(1)

      (CCC+, Caa2)        10/01/21           7.875           543,125   
  900        

National Financial Partners Corp., Rule 144A, Senior Unsecured Notes
(Callable 07/15/16 @ 106.75)(1)

      (CCC+, Caa2)        07/15/21           9.000           867,375   
                        

 

 

  
                           2,829,375   
                        

 

 

  
                        

 

Investments & Misc. Financial Services (2.4%)

                    
  750        

Cabot Financial Luxembourg S.A., Rule 144A, Senior Secured Notes
(Callable 05/02/16 @ 107.78)(1),(10)

      (B+, B2)        10/01/19           10.375           1,150,738   
  400        

Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 04/15/17 @ 105.16)(1)

      (B, B1)        04/15/22           6.875           341,000   
  1,450        

Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/17 @ 105.63)(1)

      (B, B1)        04/15/21           7.500           1,252,438   
  375        

Lincoln Finance Ltd., Rule 144A, Senior Secured Notes (Callable 04/15/18 @ 103.69)(1)

      (BB+, B1)        04/15/21           7.375           391,406   
  750        

Rialto Corp., Rule 144A, Company Guaranteed Notes (Callable 05/02/16 @ 103.50)(1)

      (B, B2)        12/01/18           7.000           740,625   
                        

 

 

  
                           3,876,207   
                        

 

 

  
                        

 

Media Content (1.6%)

                    
  1,000        

Nexstar Broadcasting, Inc., Rule 144A, Company
Guaranteed Notes (Callable 02/15/18 @ 103.06)(1)

      (BB-, B3)        02/15/22           6.125           997,500   

 

 

 

    

    

    

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        

 

CORPORATE BONDS (continued)

                    

 

Media Content

                    
$             573        

Sinclair Television Group, Inc., Global Company
Guaranteed Notes (Callable 10/01/17 @ 103.06)

      (B+, B1)        10/01/22           6.125         $          605,231   
  1,000        

Sinclair Television Group, Inc., Global Company Guaranteed Notes (Callable 11/01/16 @ 104.78)

      (B+, B1)        11/01/21           6.375           1,060,000   
                        

 

 

  
                           2,662,731   
                        

 

 

  
                        

 

Medical Products (0.5%)

                    
  875        

Sterigenics-Nordion Holdings LLC, Rule 144A, Senior Unsecured Notes
(Callable 05/15/18 @ 104.88)(1)

      (CCC+, Caa1)        05/15/23           6.500           875,000   
                        

 

 

  
                        

 

Metals & Mining - Excluding Steel (3.0%)

                    
  1,350        

Boart Longyear Management Pty. Ltd., Rule 144A, Company Guaranteed Notes
(Callable 05/02/16 @ 103.50)(1),(2)

      (CCC+, Caa2)        04/01/21           7.000           499,500   
  230        

Boart Longyear Management Pty. Ltd., Rule 144A, Senior Secured Notes(1)

      (B, B3)        10/01/18           10.000           166,750   
  1,050        

Eldorado Gold Corp., Rule 144A, Company
Guaranteed Notes (Callable 12/15/16 @ 103.06)(1)

      (BB, B1)        12/15/20           6.125           963,375   
  1,400        

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

      (B+, B3)        06/01/19           9.500           1,484,000   
  2,120        

Noranda Aluminum Acquisition Corp., Global Company Guaranteed Notes
(Callable 05/02/16 @ 105.50)(3)

      (NR, NR)        06/01/19           11.000           31,800   
  3,325        

Taseko Mines Ltd., Company Guaranteed Notes (Callable 05/02/16 @ 101.94)(2)

      (CCC, Caa2)        04/15/19           7.750           1,745,625   
                        

 

 

  
                           4,891,050   
                        

 

 

  
                        

 

Oil Field Equipment & Services (2.7%)

                    
  1,825        

FTS International, Inc., Global Senior Secured Notes (Callable 05/01/17 @ 104.69)

      (CCC+, Caa2)        05/01/22           6.250           209,875   
  600        

Pacific Drilling V Ltd., Rule 144A, Senior Secured Notes (Callable 05/02/16 @ 103.63)(1)

      (B, Caa3)        12/01/17           7.250           223,500   
  950        

Parker Drilling Co., Global Company Guaranteed Notes (Callable 01/15/18 @ 103.38)(2)

      (B-, Caa1)        07/15/22           6.750           688,750   
  1,150        

Pioneer Energy Services Corp., Global Company Guaranteed Notes (Callable 03/15/17 @ 104.59)

      (B+, Ca)        03/15/22           6.125           465,750   
  1,500        

Shelf Drilling Holdings Ltd., Rule 144A, Secured Notes (Callable 05/02/16 @ 104.31)(1)

      (B+, B2)        11/01/18           8.625           1,012,500   
  1,320        

Sidewinder Drilling, Inc.(4),(5)

      (NR, NR)        11/15/19           9.750           594,000   
  565        

Sidewinder Drilling, Inc.(4),(5)

      (NR, NR)        11/15/19           12.000           488,470   
  1,000        

Trinidad Drilling Ltd., Rule 144A, Company Guaranteed Notes (Callable 05/02/16 @ 101.97)(1)

      (BB, Caa1)        01/15/19           7.875           768,750   
                        

 

 

  
                           4,451,595   
                        

 

 

  
                        

 

Oil Refining & Marketing (3.3%)

                    
  500        

CITGO Petroleum Corp., Rule 144A, Senior Secured Notes (Callable 08/15/17 @ 104.69)(1)

      (B+, B3)        08/15/22           6.250           485,000   
  2,000        

Coffeyville Finance, Inc., Global Company Guaranteed Notes (Callable 11/01/17 @ 103.25)

      (BB-, B1)        11/01/22           6.500           1,790,000   
  975        

Northern Tier Finance Corp., Global Senior Secured Notes (Callable 05/02/16 @ 105.34)

      (BB-, B1)        11/15/20           7.125           960,375   
  1,850        

PBF Finance Corp., Global Senior Secured Notes (Callable 05/02/16 @ 104.13)(2)

      (BBB-, B1)        02/15/20           8.250           1,921,687   
  300        

Western Refining, Inc., Global Company Guaranteed Notes (Callable 04/01/17 @ 103.13)

      (B+, B3)        04/01/21           6.250           267,750   
                        

 

 

  
                           5,424,812   
                        

 

 

  
                        

 

Packaging (2.2%)

                    
  750        

Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 01/31/17 @ 103.38)(1)

      (CCC+, Caa1)        01/31/21           6.750           729,375   
  88        

Ardagh Holdings U.S.A., Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/16 @ 103.50)(1)

      (NR, Caa1)        11/15/20           7.000           84,485   
  300        

Ardagh Packaging Finance PLC, Rule 144A, Company Guaranteed Notes
(Callable 05/03/16 @ 104.63)(1),(9)

      (CCC+, Caa1)        10/15/20           9.250           358,106   
  1,850        

Reynolds Group Issuer LLC, Global Company Guaranteed Notes (Callable 05/02/16 @ 104.13)(2)

      (CCC+, Caa2)        02/15/21           8.250           1,905,500   

 

 

 

    

    

    

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        

 

CORPORATE BONDS (continued)

                    

 

Packaging

                    
$             450        

SIG Combibloc Holdings S.C.A., Rule 144A, Senior Unsecured Notes
(Callable 02/15/18 @ 103.88)(1),(9)

      (B-, Caa1)        02/15/23           7.750         $          549,237   
                        

 

 

  
                           3,626,703   
                        

 

 

  
                        

 

Personal & Household Products (1.7%)

                    
  500        

Avis Budget Finance, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/15/20 @ 102.63)(1),(2)

      (B+, B1)        03/15/25           5.250           459,375   
  800        

Avis Budget Finance, Inc., Rule 144A, Company
Guaranteed Notes (Callable 04/01/19 @ 104.78)(1)

      (B+, B1)        04/01/24           6.375           804,920   
  1,125        

NBTY, Inc., Global Company Guaranteed Notes (Callable 05/02/16 @ 102.25)

      (B-, B3)        10/01/18           9.000           1,154,531   
  400        

Prestige Brands, Inc. Rule 144A, Company Guaranteed Notes (Callable 03/01/19 @ 104.78)(1)

      (B, Caa1)        03/01/24           6.375           419,000   
                        

 

 

  
                           2,837,826   
                        

 

 

  
                        

 

Pharmaceuticals (1.4%)

                    
  800        

AMAG Pharmaceuticals, Inc., Rule 144A, Company Guaranteed Notes
(Callable 09/01/18 @ 105.91)(1),(2)

      (B+, B3)        09/01/23           7.875           710,000   
  800        

Capsugel S.A., 7.000 Cash%, 7.750% PIK, Rule 144A, Senior Unsecured Notes
(Callable 04/18/16 @ 101.00)(1),(6)

      (B-, Caa1)        05/15/19           14.750           805,500   
  250        

Valeant Pharmaceuticals International, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/15/17 @ 102.69)(1)

      (B-, B3)        03/15/20           5.375           205,000   
  625        

Valeant Pharmaceuticals International, Rule 144A, Company Guaranteed Notes
(Callable 10/15/16 @ 103.19)(1)

      (B-, B3)        10/15/20           6.375           521,875   
                        

 

 

  
                           2,242,375   
                        

 

 

  
                        

 

Printing & Publishing (1.1%)

                    
  1,790        

Harland Clarke Holdings Corp., Rule 144A, Senior Secured Notes
(Callable 05/02/16 @ 104.88)(1)

      (BB-, B1)        08/01/18           9.750           1,765,388   
                        

 

 

  
                        

 

Property & Casualty Insurance (0.5%)

                    
  1,150        

York Risk Services Holding Corp., Rule 144A, Company Guaranteed Notes
(Callable 10/01/17 @ 106.38)(1)

      (CCC+, Caa2)        10/01/22           8.500           740,313   
                        

 

 

  
                        

 

Real Estate Development & Management (0.3%)

                    
  500        

DuPont Fabros Technology LP, Company Guaranteed Notes (Callable 06/15/18 @ 104.22)

      (BB, Ba1)        06/15/23           5.625           513,750   
                        

 

 

  
                        

 

Real Estate Investment Trusts (2.9%)

                    
  400        

ESH Hospitality, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/01/20 @ 102.63)(1)

      (BB-, B3)        05/01/25           5.250           391,000   
  1,398        

iStar, Inc., Senior Unsecured Notes
(Callable 07/01/16 @ 102.50)

      (B+, B2)        07/01/19           5.000           1,349,070   
  600        

iStar, Inc., Senior Unsecured Notes
(Callable 07/01/18 @ 103.25)(2)

      (B+, B2)        07/01/21           6.500           585,750   
  500        

MPT Finance Corp., Company Guaranteed Notes (Callable 02/15/17 @ 103.19)

      (BBB-, Ba1)        02/15/22           6.375           524,375   
  1,175        

QTS Finance Corp., Global Company Guaranteed Notes (Callable 08/01/17 @ 104.41)

      (BB-, B2)        08/01/22           5.875           1,202,906   
  575        

The Geo Group, Inc., Global Company Guaranteed Notes (Callable 05/02/16 @ 103.31)(2)

      (BB-, Ba3)        02/15/21           6.625           595,844   
                        

 

 

  
                           4,648,945   
                        

 

 

  
                        

 

Recreation & Travel (1.0%)

                    
  1,500        

ClubCorp Club Operations, Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/15/18 @ 106.19)(1)

      (B-, B3)        12/15/23           8.250           1,440,000   
  250        

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 05/02/16 @ 103.94)(1)

      (BB-, B3)        01/15/21           5.250           258,125   
                        

 

 

  
                           1,698,125   
                        

 

 

  
                        

 

Software - Services (2.1%)

                    
  900        

Optimas OE Solutions, Inc., Rule 144A, Senior Secured Notes (Callable 06/01/18 @ 104.31)(1)

      (B-, B3)        06/01/21           8.625           684,000   
  1,225        

Riverbed Technology, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/18 @ 104.44)(1)

      (CCC+, Caa1)        03/01/23           8.875           1,225,000   
  975        

Sungard Availability Services Capital, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/01/19 @ 104.38)(1)

      (CCC, Caa1)        04/01/22           8.750           531,375   

 

 

 

    

    

    

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        

 

CORPORATE BONDS (continued)

                    

 

Software - Services

                    
$          1,998        

Syniverse Holdings, Inc., Global Company Guaranteed Notes (Callable 05/02/16 @ 102.28)

      (CCC+, Caa2)        01/15/19           9.125         $          909,090   
                        

 

 

  
                           3,349,465   
                        

 

 

  
                        

 

Specialty Retail (1.0%)

                    
  775        

Beverages & More, Inc., Rule 144A, Senior Secured Notes (Callable 05/02/16 @ 105.00)(1)

      (B-, Caa1)        11/15/18           10.000           698,469   
  350        

Caleres, Inc., Global Company Guaranteed Notes (Callable 08/15/18 @ 104.69)

      (BB, B1)        08/15/23           6.250           351,750   
  500        

Penske Automotive Group, Inc., Company Guaranteed Notes (Callable 12/01/19 @ 102.69)

      (B+, B1)        12/01/24           5.375           498,750   
  200        

Takko Luxembourg 2 S.C.A., Rule 144A, Senior Secured Notes (Callable 04/15/16 @ 104.94)(1),(9)

      (CCC+, Caa1)        04/15/19           9.875           130,022   
                        

 

 

  
                           1,678,991   
                        

 

 

  
                        

 

Steel Producers/Products (0.8%)

                    
  1,500        

JMC Steel Group, Inc., Rule 144A, Senior Unsecured Notes
(Callable 05/02/16 @ 102.06)(1),(2)

      (B-, Caa1)        03/15/18           8.250           1,342,500   
                        

 

 

  
                        

 

Support - Services (3.3%)

                    
  250        

Brand Energy & Infrastructure Services, Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/01/16 @ 106.38)(1)

      (CCC+, Caa1)        12/01/21           8.500           236,250   
  1,075        

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

      (B+, Ba3)        06/01/21           7.250           1,122,300   
  750        

Garda World Security Corp., Rule 144A, Company Guaranteed Notes (Callable 11/15/16 @ 105.44)(1)

      (CCC+, Caa1)        11/15/21           7.250           581,250   
  1,731        

H&E Equipment Services, Inc., Global Company Guaranteed Notes (Callable 09/01/17 @ 103.50)(2)

      (BB-, B3)        09/01/22           7.000           1,765,620   
  800        

Light Tower Rentals, Inc., Rule 144A, Senior Secured Notes (Callable 08/01/16 @ 106.09)(1)

      (B-, Caa1)        08/01/19           8.125           442,000   
  325        

Safway Finance Corp., Rule 144A, Secured Notes (Callable 05/02/16 @ 103.50)(1)

      (B+, B3)        05/15/18           7.000           327,438   
  875        

The Hertz Corp., Global Company Guaranteed Notes (Callable 05/02/16 @ 101.88)

      (B, B2)        10/15/18           7.500           891,187   
                        

 

 

  
                           5,366,045   
                        

 

 

  
                        

 

Tech Hardware & Equipment (3.9%)

                    
  500        

Anixter, Inc., Global Company Guaranteed Notes

      (BB, Ba3)        05/01/19           5.625           525,625   
  900        

Anixter, Inc., Rule 144A, Company Guaranteed Notes(1)

      (BB, Ba3)        03/01/23           5.500           913,500   
  750        

Avaya, Inc., Rule 144A, Senior Secured Notes (Callable 05/02/16 @ 102.25)(1)

      (B, B2)        04/01/19           9.000           510,000   
  700        

Avaya, Inc., Rule 144A, Senior Secured Notes (Callable 05/02/16 @ 103.50)(1),(2)

      (B, B2)        04/01/19           7.000           476,000   
  1,550        

Belden, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/17 @ 102.75)(1)

      (B+, Ba3)        09/01/22           5.500           1,565,500   
  875        

CommScope Technologies Finance LLC, Rule 144A, Senior Unsecured Notes
(Callable 06/15/20 @ 103.00)(1)

      (B, B2)        06/15/25           6.000           887,578   
  1,000        

Dell, Inc., Global Senior Unsecured Notes

      (BB+, Ba3)        04/15/38           6.500           825,000   
  625        

Western Digital Corp., Rule 144A, Secured Notes (Callable 04/01/19 @ 103.69)(1)

      (BBB-, Ba1)        04/01/23           7.375           625,000   
                        

 

 

  
                           6,328,203   
                        

 

 

  
                        

 

Telecom - Satellite (1.0%)

                    
  482        

Hughes Satellite Systems Corp., Global Company Guaranteed Notes

      (BB, B3)        06/15/21           7.625           539,238   
  700        

Intelsat Jackson Holdings S.A., Rule 144A, Senior Secured Notes (Callable 02/15/19 @ 104.00)(1),(2)

      (B-, B1)        02/15/24           8.000           722,750   
  250        

Intelsat Luxembourg S.A., Global Company
Guaranteed Notes (Callable 06/01/16 @ 101.69)(2)

      (CC, Ca)        06/01/18           6.750           191,875   
  800        

Intelsat Luxembourg S.A., Global Company Guaranteed Notes (Callable 06/01/17 @ 103.88)

      (CC, Ca)        06/01/21           7.750           242,000   
                        

 

 

  
                           1,695,863   
                        

 

 

  
                        

 

Telecom - Wireless (2.2%)

                    
  225        

Sprint Corp., Global Company Guaranteed Notes

      (B, Caa1)        09/15/23           7.875           173,203   
  650        

Sprint Corp., Global Company Guaranteed Notes

      (B, Caa1)        06/15/24           7.125           485,875   

 

 

 

    

    

    

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        

 

CORPORATE BONDS (continued)

                    

 

Telecom - Wireless

                    
$             700        

Sprint Corp., Global Company Guaranteed Notes (Callable 11/15/24 @ 100.00)

      (B, Caa1)        02/15/25           7.625         $          523,250   
  700        

T-Mobile U.S.A., Inc., Global Company Guaranteed Notes
(Callable 01/15/21 @ 103.25)

      (BB, Ba3)        01/15/26           6.500           730,625   
  1,575        

T-Mobile U.S.A., Inc., Global Company Guaranteed Notes
(Callable 09/01/19 @ 103.19)

      (BB, Ba3)        03/01/25           6.375           1,618,312   
                        

 

 

  
                           3,531,265   
                        

 

 

  
                        

 

Telecom - Wireline Integrated & Services (0.9%)

                    
  1,000        

NeuStar, Inc., Global Company Guaranteed Notes (Callable 01/15/18 @ 102.25)(2)

      (B, B2)        01/15/23           4.500           820,000   
  625        

Zayo Capital, Inc., Global Company Guaranteed Notes
(Callable 04/01/18 @ 104.50)

      (B-, Caa1)        04/01/23           6.000           626,950   
                        

 

 

  
                           1,446,950   
                        

 

 

  
                        

 

Theaters & Entertainment (2.2%)

                    
  250        

Activision Blizzard, Inc., Rule 144A, Company Guaranteed Notes
(Callable 09/15/16 @ 104.22)(1)

      (BB+, Baa3)        09/15/21           5.625           264,063   
  775        

AMC Entertainment, Inc., Global Company Guaranteed Notes
(Callable 02/15/17 @ 104.41)

      (B, B2)        02/15/22           5.875           800,187   
  650        

Carmike Cinemas, Inc., Rule 144A, Secured Notes (Callable 06/15/18 @ 104.50)(1)

      (BB, B1)        06/15/23           6.000           687,375   
  1,815        

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

      (B, B2)        07/15/21           7.875           1,896,675   
                        

 

 

  
                           3,648,300   
                        

 

 

  
                        

 

Transport Infrastructure/Services (0.4%)

                    
  1,600        

Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes
(Callable 01/15/17 @ 105.53)(1)

      (B, B3)        01/15/22           7.375           584,000   
                        

 

 

  

 

TOTAL CORPORATE BONDS (Cost $148,613,095)

                       124,655,763   
                        

 

 

  
                        

 

BANK LOANS (13.7%)

                    

 

Auto Parts & Equipment (1.0%)

                    
  1,200        

Jason, Inc.(4),(11)

      (CCC+, Caa1)        06/30/22           9.000           906,000   
  751        

U.S. Farathane LLC(11)

      (B+, B2)        12/23/21           6.750           750,500   
                        

 

 

  
                           1,656,500   
                        

 

 

  
                        

 

Building Materials (0.7%)

                    
  1,085        

Panolam Industries International, Inc.(4),(11)

      (BB-, B2)        08/23/17           7.519           1,074,082   
                        

 

 

  
                        

 

Chemicals (2.3%)

                    
  750        

Chromaflo Technologies Corp.(11)

      (CCC+, Caa2)        06/02/20           8.250           581,250   
  1,960        

Ravago Holdings America, Inc.(11)

      (BB+, B2)        12/20/20           5.500           1,957,550   
  1,500        

Solenis International LP(11)

      (B-, Caa1)        07/31/22           7.750           1,268,250   
                        

 

 

  
                           3,807,050   
                        

 

 

  
                        

 

Diversified Capital Goods (0.5%)

                    
  930        

Dynacast International LLC(11)

      (B-, Caa1)        01/30/23           9.500           864,900   
                        

 

 

  
                        

 

Food - Wholesale (0.2%)

                    
  500        

Del Monte Foods, Inc.(11)

      (CCC, Caa1)        08/18/21           8.250           360,000   
                        

 

 

  
                        

 

Gaming (1.0%)

                    
  748        

CBAC Borrower LLC(11)

      (B-, B3)        07/02/20           8.250           725,681   
  995        

ROC Finance LLC(11)

      (B+, B2)        06/20/19           5.000           965,051   
                        

 

 

  
                           1,690,732   
                        

 

 

  
                        

 

Health Services (0.5%)

                    
  1,000        

Phillips-Medisize Corp.(11)

      (CCC+, Caa2)        06/16/22           8.250           870,000   
                        

 

 

  
                        

 

Investments & Misc. Financial Services (0.8%)

                    
  456        

Liquidnet Holdings, Inc.(11)

      (B, B3)        05/22/19           7.750           447,125   
  1,000        

Mergermarket U.S.A., Inc.(11)

      (CCC+, Caa2)        02/04/22           7.500           880,000   
                        

 

 

  
                           1,327,125   
                        

 

 

  

 

 

 

    

    

    

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        

 

BANK LOANS (continued)

                    

 

Machinery (0.7%)

                    
$          1,250        

CPM Holdings, Inc.(4),(11)

      (B, Caa1)        04/10/23           10.250         $       1,187,500   
                        

 

 

  
                        

 

Media Content (0.3%)

                    
  500        

DLG Acquisitions Ltd.(9),(11)

      (B-, Caa2)        06/30/22           8.250           518,852   
                        

 

 

  
                        

 

Oil Field Equipment & Services (0.3%)

                    
  1,000        

Shelf Drilling Holdings Ltd.(11)

      (B-, B3)        10/08/18           10.000           480,000   
                        

 

 

  
                        

 

Recreation & Travel (1.2%)

                    
  978        

Abercrombie & Kent U.S. Group Holdings, Inc.(4),(5),(11)

      (NR, NR)        12/07/18           5.000           943,288   
  1,000        

Legendary Pictures Funding LLC(4),(11)

      (NR, NR)        04/22/20           7.000           982,500   
                        

 

 

  
                           1,925,788   
                        

 

 

  
                        

 

Software - Services (1.8%)

                    
  1,000        

Deltek, Inc.(11)

      (CCC+, Caa2)        06/25/23           9.500           965,000   
  1,000        

Eze Castle Software, Inc.(11)

      (CCC+, Caa1)        04/05/21           7.250           951,665   
  980        

Intralinks, Inc.(4),(11)

      (BB, B2)        02/24/19           7.250           972,650   
                        

 

 

  
                           2,889,315   
                        

 

 

  
                        

 

Specialty Retail (0.9%)

                    
  1,500        

BJ’s Wholesale Club, Inc.(11)

      (CCC, Caa2)        03/26/20           8.500           1,389,375   
                        

 

 

  
                        

 

Steel Producers/Products (0.6%)

                    
  1,000        

Atkore International, Inc.(11)

      (CCC+, Caa2)        10/09/21           7.750           927,500   
                        

 

 

  
                        

 

Telecom - Wireline Integrated & Services (0.6%)

                    
  1,000        

Omnitracs, Inc.(11)

      (CCC+, Caa1)        05/25/21           8.750           936,670   
                        

 

 

  
                        

 

Theaters & Entertainment (0.3%)

                    
  1,000        

CKX, Inc.(4),(5),(11)

      (CCC-, Caa2)        06/21/17           11.000           425,000   
                        

 

 

  

 

TOTAL BANK LOANS (Cost $24,260,756)

                  22,330,389   
                        

 

 

  
                        

 

ASSET BACKED SECURITIES (6.0%)

                    

 

Collateralized Debt Obligations (6.0%)

                    
  1,000        

Carlyle Global Market Strategies CLO Ltd., 2012-4A, Rule 144A(1),(4),(8)

      (NR, NR)        01/20/25           0.000           517,953   
  2,000        

CIFC Funding Ltd., 2012-2A, Rule 144A(1),(11)

      (BB-, NR)        12/05/24           6.386           1,744,880   
  1,250        

Eaton Vance CLO Ltd., 2014-1A, Rule 144A(1),(11)

      (NR, Ba3)        07/15/26           5.652           833,440   
  1,000        

ECP CLO Ltd., 2013-5A, Rule 144A(1),(11)

      (BB, NR)        01/20/25           4.824           496,132   
  1,000        

Galaxy XIV CLO Ltd., 2012-14A, Rule 144A(1),(11)

      (BB, NR)        11/15/24           6.018           836,333   
  1,000        

ING Investment Management CLO Ltd., 2012-1RA, Rule 144A(1),(11)

      (B, NR)        03/14/22           7.002           861,470   
  1,000        

Jamestown CLO III Ltd., 2013-3A, Rule 144A(1),(11)

      (BB-, NR)        01/15/26           5.222           607,709   
  1,000        

JFIN CLO Ltd., 2013-1A, Rule 144A(1),(11)

      (BB, NR)        01/20/25           5.374           710,220   
  1,500        

Ocean Trails CLO IV, 2013-4A, Rule 144A(1),(11)

      (B, NR)        08/13/25           6.518           992,235   
  1,000        

Shackleton I CLO Ltd., 2012-1A, Rule 144A(1),(11)

      (BB, NR)        08/14/23           6.818           765,899   
  700        

Stewart Park CLO Ltd., 2015-1A, Rule 144A(1),(4),(8)

      (NR, NR)        04/15/26           0.000           548,874   
  1,325        

Venture XVII CLO Ltd., 2014-17A, Rule 144A(1),(11)

      (NR, Ba2)        07/15/26           5.622           946,141   
                        

 

 

  

 

TOTAL ASSET BACKED SECURITIES (Cost $13,029,262)

                  9,861,286   
                        

 

 

  
                   
Number of
Shares		                                           
                        

 

COMMON STOCKS (0.0%)

                    

 

Building Materials (0.0%)

                    
  372        

Dayton Superior Corp.(4),(5),(12)

                       —   
                        

 

 

  
                        

 

Gaming (0.0%)

                    
  36,250        

Majestic Holdco LLC(4),(12)

                       8,609   
  1,500        

Progressive Gaming International Corp.(4),(12)

                       6   
                        

 

 

  
                           8,615   
                        

 

 

  
                        

 

Metals & Mining (0.0%)

                    
  6,154        

White Forest Resources, Inc.(5),(12)

                       45,971   
                        

 

 

  

 

TOTAL COMMON STOCKS (Cost $1,708,044)

                  54,586   
                        

 

 

  

 

 

 

        

    

    

 

Number of
Shares		                                          Value    
                        

 

PREFERRED STOCK (0.0%)

                    

 

Building Materials (0.0%)

                    
  413        

Dayton Superior Corp.(4),(5),(12) (Cost $156,000)

                     $ —   
                        

 

 

  

 

SHORT-TERM INVESTMENTS (13.6%)

                    
  17,990,240        

State Street Navigator Prime Portfolio, 0.49%(13)

                       17,990,240   
                        
Par
(000)		                        Maturity              Rate%               
                        
$          4,303        

State Street Bank and Trust Co. Euro Time Deposit

             04/01/16           0.010           4,303,394   
                        

 

 

  
                        

 

TOTAL SHORT-TERM INVESTMENTS (Cost $22,293,634)

                       22,293,634   
                        

 

 

  
                        

 

TOTAL INVESTMENTS AT VALUE (109.6%) (Cost $210,060,791)

  

             179,195,658   
                        

 

LIABILITIES IN EXCESS OF OTHER ASSETS (-9.6%)

                       (15,701,842 ) 
                        

 

 

  
                        

 

NET ASSETS (100.0%)

                     $   163,493,816   
                        

 

 

  

 

†

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.

(1) 

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2016, these securities amounted to a value of $76,960,555 or 47.1% of net assets.

(2) 

Security or portion thereof is out on loan.

(3) 

Bond is currently in default.

(4) 

Illiquid security (unaudited).

(5) 

Not readily marketable security; security is valued at fair value as determined in good faith by, or under the direction of, the Board of Directors.

(6) 

PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal.

(7) 

REG S: Securities sold under Regulation S may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

(8) 

Zero-coupon security.

(9) 

This security is denominated in Euro.

(10) 

This security is denominated in British Pound.

(11) 

Variable rate obligations — The interest rate is the rate as of March 31, 2016.

(12) 

Non-income producing security.

(13) 

Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at March 31, 2016.

Investment Abbreviation

NR = Not Rated (unaudited)

Forward Foreign Currency Contracts

 

Forward Foreign
Currency to be
Purchased (Local)

     

Forward Foreign

Currency to be

Sold (Local)

     

    Expiration    

Date

   

Counterparty

    Value on
Settlement Date		     Current
Value/Notional		     Net Unrealized
Appreciation
(Depreciation)		  

EUR

     73,000      

USD

      82,828       04/15/16    Morgan Stanley    $ 82,828      $ 83,215      $ 387   

USD

     2,514,133      

EUR

      2,309,500       04/15/16    Morgan Stanley          (2,514,133 )          (2,632,675 )      (118,542 ) 

USD

     1,194,961      

GBP

      828,000       04/15/16    Morgan Stanley      (1,194,961 )      (1,190,123 )      4,838   
                    

 

 

  
                    
  $         (113,317 ) 
                    

 

 

  

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 broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved and established by the Board.

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

Accounting principles generally accepted in the United States of America (“GAAP”) established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at each measurement date. These inputs are summarized in the three broad levels listed below:

 

    

Level  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 methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

 

 

 

    

    

    

 

The following is a summary of the inputs used as of March 31, 2016 in valuing the Fund’s assets and liabilities carried at fair value:

 

Assets    

        Level 1              Level 2              Level 3             Total      

Investments in Securities

           

Corporate Bonds

    $ —       $ 123,560,492       $ 1,095,271      $ 124,655,763   

Bank Loans

      —         10,201,987         12,128,402        22,330,389   

Asset Backed Securities

      —         9,861,286         —        9,861,286   

Common Stocks

      6         8,609         45,971        54,586   

Preferred Stocks

      —         —         0 1      0 1 

Short-term Investments

      —         22,293,634         —        22,293,634   
  

 

 

     

 

 

     

 

 

    

 

 

  
   $ 6       $     165,926,008       $     13,269,644      $     179,195,658   
  

 

 

     

 

 

     

 

 

    

 

 

  

Other Financial Instruments*

           

Forward Foreign Currency Contracts

    $ —       $ 5,225       $ —      $ 5,225   
          

Liabilities    

    Level 1      Level 2      Level 3     Total  

Other Financial Instruments*

           

Forward Foreign Currency Contracts

    $                     —       $ 118,542       $ —      $ 118,542   

 

1 

Included a zero valued security.

*

Other financial instruments include unrealized appreciation/(depreciation) on forward foreign currency contracts.

The following is a reconciliation of investments as of March 31, 2016 in which significant unobservable inputs were used in determining value. Transfers in or out of Level 3 represent the end of the period value of any security or instrument where a change in the level has occurred from the beginning to the end of the period.

 

     Corporate
Bonds		     Bank
Loans		     Common
Stocks		     Preferred
Stock		      Total  

Balance as of December 31, 2015

    $ 118,037      $ 11,031,469      $ —      $ —       $ 11,149,506   

Accrued discounts (premiums)

      (4,512 )      11,474        —        —         6,962   

Purchases

      2,107,200        747,500        1,384,614        —         4,239,314   

Sales

      (438 )      (705,463 )      —        —         (705,901 ) 

Realized gain (loss)

      (349,563 )      (7,133 )      —        —         (356,696 ) 

Change in unrealized appreciation (depreciation)

      (775,453 )      (225,701 )      (1,338,643 )      —         (2,339,797 ) 

Transfers into Level 3

      —        3,140,051        —        —         3,140,051   

Transfers out of Level 3

      —        (1,863,795 )      —        —         (1,863,795 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Balance as of March 31, 2016

    $ 1,095,271      $ 12,128,402      $ 45,971        —       $ 13,269,644   
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Net change in unrealized appreciation (depreciation) from investments still held as of March 31, 2016

    $ (1,125,453 )    $ (86,961 )    $ (1,338,643 )    $            —       $ (2,551,057 ) 

Quantitative Disclosure About Significant Unobservable Inputs

 

Asset Class    

    Fair Value At
3/31/2016		     

Valuation Technique

   

Unobservable

Input

   

Range

(Weighted Average)

(per share)

Corporate Bonds

    $ 1,095,271       Vendor Pricing    Single Broker Quote    $0.00 – $0.86 ($0.35)

Bank Loans

    $ 12,128,402       Vendor Pricing    Single Broker Quote    $0.43 – $1.00 ($0.89)

Common Stocks

    $ 45,971       Vendor Pricing    Single Broker Quote    $0.00 – $7.47 ($7.04)

Each fair value determination is based on a consideration of relevant factors, including both observable and unobservable inputs. Observable and unobservable inputs Credit Suisse Asset Managment LLC, the Fund’s 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 company’s financial statements, the company’s products or intended markets or the company’s technologies; (iii) the price of the same or similar security negotiated at arm’s length in an issuer’s completed subsequent round of financing; (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies; or (v) a probability and time value adjusted analysis of contractual term. Where available and appropriate, multiple valuation methodologies are applied to confirm fair value. Significant unobservable inputs identified by the Adviser are often used in the fair value determination. A significant change in any of these inputs may result in a significant change in the fair value measurement. Due to the uncertainty inherent in the valuation process, such estimates of fair value may differ significantly from the values that would have been used had a ready market for the investments existed, and differences could be material. Additionally, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different from the valuations used at the date of these financial statements.

For the quarter ended March 31, 2016, there was no transfers in and out of Level 1 and Level 2, but there were $3,140,051 transferred out from Level 2 to Level 3 due to lack of pricing source supported by observable inputs and $1,863,795 transferred out 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 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 and President

Date:  May 19, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

/s/ John G. Popp

Name: John G. Popp

Title:  Chief Executive Officer and President

Date:  May 19, 2016

/s/ Rocco DelGuercio

Name: Rocco DelGuercio

Title:  Chief Financial Officer

Date:  May 19, 2016