N-Q 1 d430685dnq.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, 2018 to March 31, 2018

 

 

 

Item 1:            Schedule of Investments

 

 

 

Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments

March 31, 2018 (unaudited)

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (108.7%)

                    
 

Air Transportation (0.3%)

                    
$           550       

United Continental Holdings, Inc., Company Guaranteed Notes

      (BB-, Ba3)        02/01/24          5.000        $        546,563  
                        

 

 

  
                        
 

Auto Parts & Equipment (1.8%)

                    
  1,300       

Cooper-Standard Automotive, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/15/21 @ 102.81)(1)

      (B+, B2)        11/15/26          5.625          1,300,000  
  2,000       

IHO Verwaltungs GmbH, 4.750% Cash, 5.500% PIK, Rule 144A, Senior Secured Notes
(Callable 09/15/21 @ 102.38)(1),(2)

      (BB-, Ba1)        09/15/26          10.250          1,932,500  
                        

 

 

  
                           3,232,500  
                        

 

 

  
                        
 

Brokerage (2.4%)

                    
  600       

Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes
(Callable 04/30/18 @ 103.44)(1)

      (B, B1)        04/15/22          6.875          597,000  
  1,450       

Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes
(Callable 04/30/18 @ 103.75)(1)

      (B, B1)        04/15/21          7.500          1,473,563  
  2,375       

LPL Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/15/20 @ 104.31)(1)

      (B+, B2)        09/15/25          5.750          2,350,537  
                        

 

 

  
                           4,421,100  
                        

 

 

  
                        
 

Building Materials (9.0%)

                    
  514       

Airxcel, Inc., Rule 144A, Senior Secured Notes
(Callable 04/13/18 @ 104.25)(1)

      (B, B2)        02/15/22          8.500          558,332  
  550       

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

      (B+, B3)        12/15/23          5.750          566,500  
  1,000       

American Woodmark Corp., Rule 144A, Company Guaranteed Notes
(Callable 03/15/21 @ 102.44)(1)

      (BB, Ba3)        03/15/26          4.875          978,750  
  1,825       

Beacon Escrow Corp., Rule 144A, Company Guaranteed Notes
(Callable 11/01/20 @ 102.44)(1)

      (B+, B3)        11/01/25          4.875          1,747,437  
  325       

Core & Main LP, Rule 144A, Senior Unsecured Notes (Callable 08/15/20 @ 103.06)(1)

      (B-, Caa1)        08/15/25          6.125          318,500  
  2,060       

FBM Finance, Inc., Rule 144A, Senior Secured Notes (Callable 08/15/18 @ 104.13)(1)

      (B+, B3)        08/15/21          8.250          2,163,000  
  250       

James Hardie International Finance DAC, Rule 144A, Senior Unsecured Notes
(Callable 01/15/21 @ 102.38)(1)

      (BB, Ba1)        01/15/25          4.750          246,250  
  1,250       

James Hardie International Finance DAC, Rule 144A, Senior Unsecured Notes
(Callable 01/15/23 @ 102.50)(1)

      (BB, Ba1)        01/15/28          5.000          1,218,750  
  525       

Jeld-Wen, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/20 @ 102.31)(1)

      (BB-, B1)        12/15/25          4.625          501,375  
  500       

Jeld-Wen, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/22 @ 102.44)(1)

      (BB-, B1)        12/15/27          4.875          473,750  
  700       

Masonite International Corp., Rule 144A, Company Guaranteed Notes
(Callable 04/30/18 @ 104.22)(1)

      (BB+, Ba3)        03/15/23          5.625          723,625  
  2,350       

Omnimax International, Inc., Rule 144A, Senior Secured Notes
(Callable 04/16/18 @ 109.00)(1)

      (B-, Caa1)        08/15/20          12.000          2,496,875  
  1,950       

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

      (CCC+, Caa1)        05/15/23          9.000          2,042,625  
  500       

Summit Materials Finance Corp., Global Company Guaranteed Notes
(Callable 04/15/19 @ 104.25)

      (BB, B3)        04/15/22          8.500          541,250  
  500       

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

      (BB, B3)        07/15/23          6.125          512,500  
  475       

U.S. Concrete, Inc., Global Company Guaranteed Notes (Callable 06/01/19 @ 104.78)

      (BB-, B2)        06/01/24          6.375          495,188  
  800       

USG Corp., Rule 144A, Company Guaranteed Notes
(Callable 06/01/22 @ 102.44)(1)

      (BB+, Ba1)        06/01/27          4.875          810,000  
                        

 

 

  
                           16,394,707  
                        

 

 

  
                        
 

Cable & Satellite TV (8.7%)

                    
  825       

Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 04/30/18 @ 104.97)(1)

      (BB-, B1)        02/15/23          6.625          818,813  
  1,250       

Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 05/15/21 @ 103.75)(1)

      (BB-, B1)        05/15/26          7.500          1,228,125  
  700       

Altice France S.A., Rule 144A, Senior Secured Notes (Callable 04/30/18 @ 104.50)(1)

      (B+, B1)        05/15/22          6.000          685,111  
  550       

Altice France S.A., Rule 144A, Senior Secured Notes (Callable 05/01/21 @ 103.69)(1)

      (B+, B1)        05/01/26          7.375          525,938  
  1,200       

Altice France S.A., Rule 144A, Senior Secured Notes (Callable 05/15/19 @ 103.13)(1)

      (B+, B1)        05/15/24          6.250          1,135,500  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

  
 

Cable & Satellite TV

  
$           500       

Altice U.S. Finance I Corp., Rule 144A, Senior Secured Notes
(Callable 05/15/21 @ 102.75)(1)

      (BB, Ba3)        05/15/26          5.500        $        489,950  
  1,200       

Altice U.S. Finance I Corp., Rule 144A, Senior Secured Notes
(Callable 07/15/18 @ 104.03)(1)

      (BB, Ba3)        07/15/23          5.375          1,218,600  
  1,850       

Block Communications, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/15/20 @ 103.44)(1)

      (BB-, Ba3)        02/15/25          6.875          1,869,573  
  280       

Cequel Capital Corp., Rule 144A, Senior Unsecured Notes
(Callable 01/29/18 @ 101.59)(1)

      (B, Caa1)        09/15/20          6.375          285,608  
  685       

CSC Holdings LLC, Global Senior Unsecured Notes

      (B-, B2)        06/01/24          5.250          653,319  
  850       

CSC Holdings LLC, Rule 144A, Company Guaranteed Notes
(Callable 02/01/23 @ 102.69)(1)

      (BB-, Ba2)        02/01/28          5.375          805,027  
  50       

CSC Holdings LLC, Rule 144A, Company Guaranteed Notes
(Callable 04/15/22 @ 102.75)(1)

      (BB-, Ba2)        04/15/27          5.500          48,000  
  400       

CSC Holdings LLC, Rule 144A, Company Guaranteed Notes
(Callable 10/15/20 @ 103.31)(1)

      (BB-, Ba2)        10/15/25          6.625          414,000  
  335       

CSC Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/20 @ 105.44)(1)

      (B-, B2)        10/15/25          10.875          394,459  
  2,350       

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

      (B, B3)        08/15/23          6.875          2,482,187  
  1,000       

Radiate Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/15/20 @ 103.44)(1)

      (CCC+, Caa1e)        02/15/23          6.875          972,500  
  500       

Virgin Media Secured Finance PLC, Rule 144A, Senior Secured Notes
(Callable 04/15/22 @ 102.50)(1),(3)

      (BB-, Ba3)        04/15/27          5.000          693,621  
  1,350       

Ziggo Secured Finance B.V., Rule 144A, Senior Secured Notes
(Callable 01/15/22 @ 102.75)(1)

      (BB-, B1)        01/15/27          5.500          1,271,983  
                        

 

 

  
                           15,992,314  
                        

 

 

  
                        
 

Chemicals (4.2%)

                    
  1,225       

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

      (B, B3)        06/01/23          6.875          1,298,500  
  500       

GCP Applied Technologies, Inc. Rule 144A, Senior Unsecured Notes
(Callable 04/15/21 @ 102.75)(1)

      (BB, B1)        04/15/26          5.500          499,375  
  475       

GCP Applied Technologies, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/10/18 @ 104.75)(1)

      (BB, B1)        02/01/23          9.500          524,709  
  1,100       

Ingevity Corp., Rule 144A, Senior Unsecured Notes
(Callable 02/01/21 @ 102.25)(1)

      (NR, Ba3)        02/01/26          4.500          1,061,500  
  500       

PQ Corp., Rule 144A, Senior Secured Notes
(Callable 05/15/19 @ 103.38)(1)

      (BB-, B2)        11/15/22          6.750          527,500  
  276       

Reichhold Industries, Inc., Rule 144A, Senior Secured Notes
(Callable 04/30/18 @ 100.00)(1),(4),(5),(6),(7)

      (NR, NR)        05/01/18          9.000          9,946  
  1,000       

Trinseo Materials Finance, Inc., Rule 144A, Company Guaranteed Notes
(Callable 09/01/20 @ 102.69)(1)

      (BB-, B3)        09/01/25          5.375          985,000  
  1,500       

Tronox, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/21 @ 103.25)(1)

      (B-, B3)        04/15/26          6.500          1,503,750  
  1,000       

Venator Finance Sarl / Venator Materials LLC, Rule 144A, Company Guaranteed Notes
(Callable 07/15/20 @ 104.31)(1)

      (BB-, B2)        07/15/25          5.750          1,002,500  
  325       

Versum Materials, Inc., Rule 144A, Company Guaranteed Notes
(Callable 09/30/21 @ 102.75)(1)

      (BB, Ba3)        09/30/24          5.500          336,375  
                        

 

 

  
                           7,749,155  
                        

 

 

  
                        
 

Consumer/Commercial/Lease Financing (1.6%)

                    
  2,500       

Infinity Acquisition Finance Corp., Rule 144A, Senior Unsecured Notes
(Callable 04/16/18 @ 103.63)(1)

      (CCC+, Caa2)        08/01/22          7.250          2,493,750  
  375       

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

      (BB+, B1)        04/15/21          7.375          388,594  
                        

 

 

  
                           2,882,344  
                        

 

 

  
                        
 

Diversified Capital Goods (0.8%)

                    
  900       

Anixter, Inc., Global Company Guaranteed Notes

      (BB, Ba3)        03/01/23          5.500          934,875  
  470       

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

      (BB+, Ba2)        04/30/23          5.000          479,400  
                        

 

 

  
                           1,414,275  
                        

 

 

  
                        
 

Electronics (2.3%)

                   
  1,750       

Entegris, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/10/20 @ 103.47)(1)

      (BB-, Ba3)        02/10/26          4.625          1,715,192  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Electronics

                    
$           261       

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

      (BB-, B1)        04/15/23          9.125        $        291,341  
  675       

NXP Funding LLC, Rule 144A, Company Guaranteed Notes(1)

      (BBB-, Ba1)        06/01/23          4.625          688,703  
  1,500       

Sensata Technologies B.V., Rule 144A, Company Guaranteed Notes(1)

      (BB+, Ba3)        10/01/25          5.000          1,485,000  
                        

 

 

  
                           4,180,236  
                        

 

 

  
                        
 

Energy - Exploration & Production (3.0%)

                    
  825       

Aker BP ASA, Rule 144A, Senior Unsecured Notes
(Callable 03/31/21 @ 102.94)(1)

      (BB+, Ba2)        03/31/25          5.875          837,375  
  1,450       

CNX Midstream Finance Corp., Rule 144A, Senior Unsecured Notes
(Callable 03/15/21 @ 104.88)(1)

      (BB-, B3)        03/15/26          6.500          1,433,687  
  500       

Extraction Oil & Gas, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/01/21 @ 104.22)(1)

      (B, B3)        02/01/26          5.625          473,125  
  725       

Oasis Petroleum, Inc., Company Guaranteed Notes
(Callable 04/30/18 @ 102.17)(8)

      (BB-, B3)        11/01/21          6.500          737,688  
  932       

Stone Energy Corp., Secured Notes
(Callable 05/31/20 @ 105.63)

      (NR, NR)        05/31/22          7.500          953,210  
  1,124       

W&T Offshore, Inc., Global Company Guaranteed Notes
(Callable 04/30/18 @ 100.00)

      (CC, Ca)        06/15/19          8.500          1,079,040  
                        

 

 

  
                           5,514,125  
                        

 

 

  
                        
 

Food - Wholesale (2.0%)

                    
  1,700       

B&G Foods, Inc., Company Guaranteed Notes
(Callable 04/01/20 @ 103.94)

      (B+, B2)        04/01/25          5.250          1,587,885  
  910       

Clearwater Seafoods, Inc., Rule 144A, Senior Unsecured Notes
(Callable 05/01/20 @ 105.16)(1)

      (B+, B3)        05/01/25          6.875          872,462  
  400       

Lamb Weston Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/01/21 @ 102.44)(1)

      (BB, Ba3)        11/01/26          4.875          397,500  
  700       

U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/19 @ 102.94)(1)

      (BB, B3)        06/15/24          5.875          719,250  
                        

 

 

  
                           3,577,097  
                        

 

 

  
                        
 

Gaming (2.5%)

                    
  1,750       

Churchill Downs, Inc., Rule 144A, Company Guaranteed Notes
(Callable 01/15/23 @ 102.38)(1)

      (B+, B2)        01/15/28          4.750          1,658,125  
  1,683       

Gateway Casinos & Entertainment Ltd., Rule 144A, Secured Notes
(Callable 03/01/20 @ 104.13)(1)

      (CCC+, Caa1)        03/01/24          8.250          1,793,447  
  1,100       

Jacobs Entertainment, Inc., Rule 144A, Secured Notes (Callable 02/01/20 @ 105.91)(1)

      (B, B2)        02/01/24          7.875          1,168,750  
                        

 

 

  
                           4,620,322  
                        

 

 

  
                        
 

Gas Distribution (2.5%)

                    
  1,500       

Energy Transfer Equity LP, Senior Secured Notes

      (BB-, Ba2)        10/15/20          7.500          1,619,062  
  750       

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 02/15/21 @ 104.69)

      (BB-, B1)        05/15/26          6.250          716,250  
  164       

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

      (BB-, B1)        05/15/23          6.000          162,360  
  750       

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

      (BB-, B1)        06/15/24          5.625          710,625  
  425       

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 10/01/20 @ 104.88)

      (BB-, B1)        10/01/25          6.500          418,625  
  1,000       

Holly Energy Finance Corp., Rule 144A, Company Guaranteed Notes
(Callable 08/01/19 @ 104.50)(1)

      (BB, B2)        08/01/24          6.000          1,025,000  
                        

 

 

  
                           4,651,922  
                        

 

 

  
                        
 

Health Facilities (1.4%)

                    
  1,000       

HCA, Inc., Senior Secured Notes

      (BBB-, Ba1)        03/15/24          5.000          1,012,500  
  200       

MPT Finance Corp., Global Company Guaranteed Notes (Callable 05/01/19 @ 102.75)

      (BBB-, Ba1)        05/01/24          5.500          205,002  
  200       

MPT Finance Corp., Global Company Guaranteed Notes (Callable 10/15/22 @ 102.50)

      (BBB-, Ba1)        10/15/27          5.000          196,560  
  1,263       

Sabra Health Care LP, Global Company Guaranteed Notes
(Callable 05/15/26 @ 100.00)

      (BBB-, Ba1)        08/15/26          5.125          1,219,616  
                        

 

 

  
                           2,633,678  
                        

 

 

  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Health Services (1.5%)

                    
$        1,250       

AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/01/19 @ 103.84)(1)

      (B+, Ba2)        10/01/24          5.125        $     1,250,000  
  1,425       

CareTrust Capital Corp., Company Guaranteed Notes (Callable 06/01/20 @ 103.94)

      (BB-, Ba3)        06/01/25          5.250          1,428,563  
                        

 

 

  
                           2,678,563  
                        

 

 

  
                        
 

Hotels (1.1%)

                    
  2,100       

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

      (BB-, B1)        05/01/25          5.250          2,048,130  
                        

 

 

  
                        
 

Insurance Brokerage (4.1%)

                    
  2,000       

Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 11/15/20 @ 103.50)(1)

      (CCC+, Caa2)        11/15/25          7.000          1,925,000  
  710       

Alliant Holdings Co-Issuer, Rule 144A, Senior Unsecured Notes
(Callable 08/01/18 @ 104.13)(1)

      (CCC+, Caa2)        08/01/23          8.250          733,075  
  2,275       

Hub Holdings Finance, Inc., 8.125% Cash, 8.875% PIK, Rule 144A, Senior Unsecured Notes
(Callable 04/30/18 @ 100.00)(1),(2)

      (CCC+, Caa2)        07/15/19          17.000          2,280,687  
  550       

HUB International Ltd., Rule 144A, Senior Unsecured Notes
(Callable 04/30/18 @ 103.94)(1)

      (CCC+, Caa2)        10/01/21          7.875          569,938  
  1,950       

NFP Corp., Rule 144A, Senior Unsecured Notes
(Callable 07/15/20 @ 103.44)(1)

      (CCC+, Caa2)        07/15/25          6.875          1,945,125  
                        

 

 

  
                           7,453,825  
                        

 

 

  
                        
 

Investments & Misc. Financial Services (1.2%)

                    
  2,125       

Orchestra Co-Issuer, Inc., Rule 144A, Secured Notes
(Callable 06/15/19 @ 103.38)(1)

      (B-, B1)        06/15/22          6.750          2,249,844  
                        

 

 

  
                        
 

Machinery (1.0%)

                    
  1,000       

Itron, Inc., Rule 144A, Company Guaranteed Notes
(Callable 01/15/21 @ 102.50)(1)

      (BB-, B2)        01/15/26          5.000          987,800  
  775       

Terex Corp., Rule 144A, Company Guaranteed Notes
(Callable 02/01/20 @ 104.22)(1)

      (BB, B2)        02/01/25          5.625          776,938  
                        

 

 

  
                           1,764,738  
                        

 

 

  
                        
 

Media - Diversified (0.9%)

                    
  1,900       

National CineMedia LLC, Global Senior Unsecured Notes
(Callable 08/15/21 @ 102.88)

      (B-, B3)        08/15/26          5.750          1,724,250  
                        

 

 

  
                        
 

Media Content (2.6%)

                    
  1,550       

EMI Music Publishing Group North America Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/15/19 @ 105.72)(1)

      (B, B3)        06/15/24          7.625          1,681,750  
  550       

Nexstar Broadcasting, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/09/18 @ 103.06)(1)

      (B+, B3)        02/15/22          6.125          567,710  
  573       

Sinclair Television Group, Inc., Global Company Guaranteed Notes
(Callable 04/16/18 @ 103.06)

      (B+, B1)        10/01/22          6.125          589,474  
  1,150       

The EW Scripps Co., Rule 144A, Company Guaranteed Notes
(Callable 05/15/20 @ 103.84)(1)

      (BB-, B1)        05/15/25          5.125          1,072,375  
  905       

WMG Acquisition Corp., Rule 144A, Senior Secured Notes
(Callable 08/01/19 @ 102.50)(1)

      (B+, Ba3)        08/01/23          5.000          909,525  
                        

 

 

  
                           4,820,834  
                        

 

 

  
                        
 

Metals & Mining - Excluding Steel (4.3%)

                    
  1,550       

Cleveland-Cliffs, Inc., Rule 144A, Senior Secured Notes (Callable 01/15/21 @ 102.44)(1)

      (BB-, Ba3)        01/15/24          4.875          1,507,375  
  2,000       

Eldorado Gold Corp., Rule 144A, Company Guaranteed Notes
(Callable 04/30/18 @ 101.53)(1)

      (B, B1)        12/15/20          6.125          1,905,000  
  1,500       

First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes
(Callable 03/01/21 @ 105.16)(1)

      (B, NR)        03/01/26          6.875          1,428,750  
  907       

Kaiser Aluminum Corp., Global Company Guaranteed Notes
(Callable 05/15/19 @ 104.41)

      (BB+, Ba3)        05/15/24          5.875          941,012  
  2,120       

Noranda Aluminum Acquisition Corp., Global Senior Unsecured Notes
(Callable 05/14/18 @ 100.00)(4),(5),(7)

      (NR, NR)        06/01/19          11.000          —  
  2,000       

Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 06/15/19 @ 104.38)(1)

      (B, B3)        06/15/22          8.750          2,090,000  
                        

 

 

  
                           7,872,137  
                        

 

 

  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Oil Field Equipment & Services (4.5%)

                    
$        1,575       

FTS International, Inc., Global Senior Secured Notes
(Callable 04/30/18 @ 104.69)

      (B, B3)        05/01/22          6.250        $     1,586,812  
  1,000       

KCA Deutag UK Finance PLC, Rule 144A, Senior Secured Notes
(Callable 04/01/20 @ 109.88)(1)

      (B-, B3)        04/01/22          9.875          1,049,470  
  778       

Nor Offshore SPV Ltd., PIK, Senior Secured Notes
(Callable 04/30/18 @ 100.00)(2)

      (NR, NR)        02/04/20          8.400          280,035  
  950       

Parker Drilling Co., Global Company Guaranteed Notes (Callable 04/30/18 @ 103.38)

      (B-, Caa2)        07/15/22          6.750          741,000  
  400       

Pioneer Energy Services Corp., Global Company Guaranteed Notes
(Callable 04/30/18 @ 103.06)

      (CCC, Caa3)        03/15/22          6.125          349,000  
  2,500       

Shelf Drilling Holdings Ltd., Rule 144A, Senior Unsecured Notes
(Callable 02/15/21 @ 106.19)(1)

      (B-, B2)        02/15/25          8.250          2,515,625  
  660       

Sidewinder Drilling, Inc., Secured Notes
(Callable 04/16/18 @ 100.00)(5),(6),(7)

      (NR, NR)        02/15/20          12.000          616,421  
  750       

Transocean, Inc., Global Company Guaranteed Notes (Callable 07/15/22 @ 100.00)

      (B, Caa1)        10/15/22          5.800          723,750  
  400       

Trinidad Drilling Ltd., Rule 144A, Company Guaranteed Notes
(Callable 02/15/20 @ 104.97)(1)

      (BB-, Caa1)        02/15/25          6.625          375,000  
                        

 

 

  
                           8,237,113  
                        

 

 

  
                        
 

Oil Refining & Marketing (1.4%)

                    
  500       

CITGO Petroleum Corp., Rule 144A, Senior Secured Notes
(Callable 04/30/18 @ 104.69)(1)

      (B+, B3)        08/15/22          6.250          498,125  
  2,000       

Coffeyville Finance, Inc., Global Company Guaranteed Notes
(Callable 04/30/18 @ 103.25)

      (BB-, B1)        11/01/22          6.500          2,050,000  
                        

 

 

  
                           2,548,125  
                        

 

 

  
                        
 

Packaging (4.1%)

                    
  1,050       

Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/15/20 @ 104.50)(1)

      (B, B3)        02/15/25          6.000          1,057,875  
  1,250       

Ardagh Holdings U.S.A., Inc., Rule 144A, Senior Secured Notes
(Callable 05/15/19 @ 102.31)(1)

      (BB, Ba3)        05/15/23          4.625          1,259,375  
  1,000       

Crown Americas Capital Corp. VI, Rule 144A, Company Guaranteed Notes
(Callable 02/01/21 @ 103.56)(1)

      (B+, Ba3)        02/01/26          4.750          970,000  
  1,250       

Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes
(Callable 01/15/20 @ 103.44)(1)

      (CCC+, Caa1)        01/15/25          6.875          1,239,844  
  450       

SIG Combibloc Holdings S.C.A., Rule 144A, Senior Secured Notes
(Callable 04/09/18 @ 103.88)(1),(9)

      (B-, Caa1)        02/15/23          7.750          576,718  
  400       

Trident Merger Sub, Inc., Rule 144A, Senior Unsecured Notes
(Callable 11/01/20 @ 103.31)(1)

      (CCC, Caa2)        11/01/25          6.625          391,000  
  2,050       

TriMas Corp., Rule 144A, Company Guaranteed Notes (Callable 10/15/20 @ 102.44)(1)

      (B+, B1)        10/15/25          4.875          1,987,219  
                        

 

 

  
                           7,482,031  
                        

 

 

  
                        
 

Personal & Household Products (2.2%)

                    
  1,350       

High Ridge Brands Co., Rule 144A, Company Guaranteed Notes
(Callable 03/15/20 @ 104.44)(1)

      (CCC, Caa1)        03/15/25          8.875          1,201,500  
  1,600       

Mattel, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/31/20 @ 105.06)(1),(8)

      (BB-, Ba2)        12/31/25          6.750          1,568,000  
  1,150       

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

      (B-, Caa1)        03/01/24          6.375          1,184,500  
                        

 

 

  
                           3,954,000  
                        

 

 

  
                        
 

Pharmaceuticals (3.0%)

                    
  1,000       

Catalent Pharma Solutions, Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/15/20 @ 102.44)(1)

      (B+, B3)        01/15/26          4.875          977,500  
  500       

Endo Finance LLC, Rule 144A, Company Guaranteed Notes
(Callable 07/15/18 @ 104.50)(1)

      (CCC+, B3)        07/15/23          6.000          380,000  
  650       

Endo Finance LLC, Rule 144A, Senior Secured Notes (Callable 04/15/20 @ 102.94)(1)

      (BB-, Ba2)        10/15/24          5.875          643,500  
  1,525       

Valeant Pharmaceuticals International, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/15/18 @ 102.94)(1)

      (B-, Caa1)        05/15/23          5.875          1,351,516  
  250       

Valeant Pharmaceuticals International, Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/15/21 @ 104.50)(1)

      (B-, Caa1)        12/15/25          9.000          249,375  
  1,300       

Valeant Pharmaceuticals International, Inc., Rule 144A, Senior Secured Notes
(Callable 03/15/20 @ 103.50)(1)

      (BB-, Ba3)        03/15/24          7.000          1,360,125  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Pharmaceuticals

                    
$           500       

Valeant Pharmaceuticals International, Rule 144A, Company Guaranteed Notes
(Callable 04/01/22 @ 104.63)(1)

      (B-, Caa1)        04/01/26          9.250        $        499,350  
                        

 

 

  
                           5,461,366  
                        

 

 

  
                        
 

Printing & Publishing (0.5%)

                    
  1,000       

Multi-Color Corp., Rule 144A, Company Guaranteed Notes
(Callable 11/01/20 @ 102.44)(1)

      (B+, B2)        11/01/25          4.875          937,500  
                        

 

 

  
                        
 

Real Estate Investment Trusts (3.3%)

                    
  750       

iStar, Inc., Senior Unsecured Notes
(Callable 04/01/19 @ 103.00)

      (BB-, B1)        04/01/22          6.000          753,750  
  1,398       

iStar, Inc., Senior Unsecured Notes
(Callable 04/30/18 @ 101.25)

      (BB-, B1)        07/01/19          5.000          1,403,305  
  600       

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

      (BB-, B1)        07/01/21          6.500          614,250  
  1,000       

iStar, Inc., Senior Unsecured Notes
(Callable 09/15/19 @ 102.63)

      (BB-, B1)        09/15/22          5.250          970,000  
  1,300       

QCP SNF West/Central/East/AL REIT LLC, Rule 144A, Secured Notes
(Callable 11/01/19 @ 104.06)(1)

      (CCC+, Caa2)        11/01/23          8.125          1,352,000  
  900       

Starwood Property Trust, Inc., Global Senior Unsecured Notes
(Callable 09/15/21 @ 100.00)

      (BB-, Ba3)        12/15/21          5.000          920,250  
                        

 

 

  
                           6,013,555  
                        

 

 

  
                        
 

Recreation & Travel (2.0%)

                    
  1,250       

Boyne U.S.A., Inc., Rule 144A, Secured Notes
(Callable 05/01/21 @ 103.63)(1)

      (B, B2e)        05/01/25          7.250          1,289,062  
  235       

Canada’s Wonderland Co., Rule 144A, Company Guaranteed Notes
(Callable 04/15/22 @ 102.69)(1)

      (BB-, B1)        04/15/27          5.375          233,238  
  650       

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 04/15/22 @ 102.75)(1)

      (BB-, B2)        04/15/27          5.500          645,125  
  850       

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 07/31/19 @ 103.66)(1)

      (BB-, B2)        07/31/24          4.875          829,812  
  675       

Speedway Motorsports, Inc., Global Company Guaranteed Notes
(Callable 04/30/18 @ 103.84)

      (BB+, Ba2)        02/01/23          5.125          675,473  
                        

 

 

  
                           3,672,710  
                        

 

 

  
                        
 

Restaurants (1.8%)

                    
  1,350       

Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes
(Callable 10/15/19 @ 103.38)(1)

      (CCC+, B3)        10/15/24          6.750          1,360,111  
  2,075       

New Red Finance, Inc., Rule 144A, Secured Notes
(Callable 10/15/20 @ 102.50)(1)

      (B-, B3)        10/15/25          5.000          1,986,190  
                        

 

 

  
                           3,346,301  
                        

 

 

  
                        
 

Software - Services (5.2%)

                    
  1,850       

CDK Global, Inc., Rule 144A, Senior Unsecured Notes
(Callable 06/01/22 @ 102.44)(1)

      (BB+, Ba1)        06/01/27          4.875          1,785,250  
  1,046       

Epicor Software Corp., Rule 144A, Secured Notes, LIBOR 3M + 8.250%(1),(5),(7),(10)

      (CCC, NR)        06/30/23          10.560          1,070,215  
  900       

First Data Corp., Rule 144A, Secured Notes
(Callable 01/15/19 @ 102.88)(1)

      (B, B3)        01/15/24          5.750          909,000  
  950       

Infor Software Parent, Inc., 7.125% Cash, 7.875% PIK, Rule 144A, Senior Unsecured Notes
(Callable 04/30/18 @ 103.56)(1),(2)

      (CCC, Caa2)        05/01/21          15.000          963,433  
  900       

Infor U.S., Inc., Company Guaranteed Notes
(Callable 05/15/18 @ 102.88)(9)

      (CCC+, Caa1)        05/15/22          5.750          1,130,718  
  650       

j2 Global Co-Obligor, Inc., Rule 144A, Company Guaranteed Notes
(Callable 07/15/20 @ 104.50)(1)

      (BB, Ba3)        07/15/25          6.000          668,688  
  400       

Sabre GLBL, Inc. Rule 144A, Senior Secured Notes
(Callable 04/30/18 @ 104.03)(1)

      (BB-, Ba2)        04/15/23          5.375          405,500  
  663       

Sabre GLBL, Inc. Rule 144A, Senior Secured Notes
(Callable 11/15/18 @ 103.94)(1)

      (BB-, Ba2)        11/15/23          5.250          673,144  
  1,750       

Solera Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 03/01/19 @ 107.88)(1)

      (CCC+, Caa1)        03/01/24          10.500          1,955,625  
                        

 

 

  
                           9,561,573  
                        

 

 

  
                        
 

Specialty Retail (0.8%)

                    
  350       

Penske Automotive Group, Inc., Company Guaranteed Notes
(Callable 05/15/21 @ 102.75)

      (B+, B1)        05/15/26          5.500          344,750  
  750       

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

      (B+, B1)        12/01/24          5.375          757,500  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Specialty Retail

                    
$           300       

Penske Automotive Group, Inc., Global Company Guaranteed Notes
(Callable 04/30/18 @ 102.88)

      (B+, B1)        10/01/22          5.750        $        307,688  
                        

 

 

  
                           1,409,938  
                        

 

 

  
                        
 

Steel Producers/Products (0.8%)

                    
  400       

Commercial Metals Co., Senior Unsecured Notes
(Callable 07/15/22 @ 102.69)

      (BB+, Ba2)        07/15/27          5.375          395,000  
  1,000       

Zekelman Industries, Inc., Rule 144A, Senior Secured Notes
(Callable 06/15/19 @ 104.94)(1)

      (B, Caa1)        06/15/23          9.875          1,102,500  
                        

 

 

  
                           1,497,500  
                        

 

 

  
                        
 

Support - Services (7.0%)

                    
  2,100       

Avison Young Canada, Inc., Rule 144A, Senior Secured Notes
(Callable 12/15/19 @ 104.75)(1)

      (B+, B3)        12/15/21          9.500          2,136,750  
  1,215       

Conduent Business Services LLC, Rule 144A, Company Guaranteed Notes
(Callable 12/15/20 @ 105.25)(1)

      (B+, B2)        12/15/24          10.500          1,429,144  
  575       

CoreCivic, Inc., Company Guaranteed Notes
(Callable 07/15/27 @ 100.00)

      (BB, Ba1)        10/15/27          4.750          541,938  
  1,200       

Gartner, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/20 @ 103.84)(1)

      (BB-, B1)        04/01/25          5.125          1,203,000  
  2,000       

H&E Equipment Services, Inc., Global Company Guaranteed Notes
(Callable 09/01/20 @ 104.22)

      (BB-, B2e)        09/01/25          5.625          2,022,500  
  1,467       

KAR Auction Services, Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/01/20 @ 103.84)(1)

      (B, B3)        06/01/25          5.125          1,463,332  
  2,025       

Sotheby’s, Rule 144A, Company Guaranteed Notes
(Callable 12/15/20 @ 103.66)(1)

      (BB-, Ba3)        12/15/25          4.875          1,933,672  
  575       

Tempo Acquisition Finance Corp., Rule 144A, Senior Unsecured Notes
(Callable 06/01/20 @ 103.38)(1)

      (CCC+, Caa1)        06/01/25          6.750          575,719  
  1,100       

United Rentals North America, Inc., Company Guaranteed Notes
(Callable 01/15/23 @ 102.44)

      (BB-, Ba3)        01/15/28          4.875          1,064,250  
  500       

United Rentals North America, Inc., Company Guaranteed Notes
(Callable 05/15/22 @ 102.75)

      (BB-, Ba3)        05/15/27          5.500          505,000  
                        

 

 

  
                           12,875,305  
                        

 

 

  
                        
 

Tech Hardware & Equipment (1.5%)

                    
  1,400       

CDW Finance Corp., Company Guaranteed Notes
(Callable 03/01/20 @ 103.75)

      (BB-, Ba3)        09/01/25          5.000          1,400,000  
  525       

CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes
(Callable 03/15/22 @ 102.50)(1)

      (BB-, Ba3)        03/15/27          5.000          500,063  
  875       

CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes
(Callable 06/15/20 @ 103.00)(1)

      (BB-, Ba3)        06/15/25          6.000          914,812  
                        

 

 

  
                           2,814,875  
                        

 

 

  
                        
 

Telecom - Satellite (0.7%)

                    
  482       

Hughes Satellite Systems Corp., Global Company Guaranteed Notes

      (BB-, B3)        06/15/21          7.625          519,075  
  800       

Hughes Satellite Systems Corp., Global Senior Secured Notes

      (BBB-, Ba2)        08/01/26          5.250          787,000  
                        

 

 

  
                           1,306,075  
                        

 

 

  
                        
 

Telecom - Wireless (2.2%)

                    
  1,000       

Sprint Spectrum Co. II LLC, Rule 144A, Senior Secured Notes(1)

      (NR, Baa2)        03/20/28          5.152          1,007,800  
  950       

T-Mobile U.S.A., Inc., Company Guaranteed Notes
(Callable 02/01/23 @ 102.38)

      (BB+, Ba2)        02/01/28          4.750          914,375  
  700       

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

      (BB+, Ba2)        01/15/26          6.500          745,500  
  1,550       

Wind Tre SpA, Rule 144A, Senior Secured Notes
(Callable 11/03/20 @ 102.50)(1)

      (BB-, B1)        01/20/26          5.000          1,324,847  
                        

 

 

  
                           3,992,522  
                        

 

 

  
                        
 

Telecom - Wireline Integrated & Services (4.4%)

                    
  350       

Equinix, Inc., Senior Unsecured Notes
(Callable 05/15/22 @ 102.69)

      (BB+, B1)        05/15/27          5.375          356,125  
  2,651       

GTT Communications, Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/31/19 @ 105.91)(1)

      (CCC+, Caa1)        12/31/24          7.875          2,670,882  
  619       

Level 3 Financing, Inc., Global Company Guaranteed Notes
(Callable 03/15/21 @ 102.63)

      (BB, Ba3)        03/15/26          5.250          584,955  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Telecom - Wireline Integrated & Services

                    
$           800       

QTS Finance Corp., Rule 144A, Company Guaranteed Notes
(Callable 11/15/20 @ 103.56)(1)

      (BB, B1)        11/15/25          4.750        $        756,000  
  150       

Syniverse Holdings, Inc., Global Company Guaranteed Notes
(Callable 04/30/18 @ 100.00)

      (CCC+, Caa2)        01/15/19          9.125          149,719  
  1,800       

Telenet Finance Luxembourg Notes Sarl, Rule 144A, Senior Secured Notes
(Callable 12/01/22 @ 102.75)(1)

      (BB-, Ba3)        03/01/28          5.500          1,730,250  
  600       

Zayo Capital, Inc., Global Company Guaranteed Notes (Callable 04/30/18 @ 104.50)

      (B, B3)        04/01/23          6.000          619,500  
  1,175       

Zayo Capital, Inc., Rule 144A, Company Guaranteed Notes
(Callable 01/15/22 @ 102.88)(1)

      (B, B3)        01/15/27          5.750          1,151,500  
                        

 

 

  
                           8,018,931  
                        

 

 

  
                        
 

Theaters & Entertainment (3.1%)

                    
  775       

AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes
(Callable 04/30/18 @ 102.94)(8)

      (B+, B3)        02/15/22          5.875          787,594  
  750       

AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes
(Callable 05/15/22 @ 103.06)(8)

      (B+, B3)        05/15/27          6.125          742,575  
  500       

AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes
(Callable 11/15/21 @ 102.94)(8)

      (B+, B3)        11/15/26          5.875          492,500  
  750       

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

      (BB, Ba2)        06/15/23          6.000          783,750  
  1,250       

Cinemark U.S.A., Inc., Global Company Guaranteed Notes
(Callable 06/01/18 @ 102.44)

      (BB, B2)        06/01/23          4.875          1,240,375  
  700       

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/15/21 @ 104.22)(1)

      (B+, B1)        03/15/26          5.625          710,500  
  1,025       

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/01/19 @ 103.66)(1)

      (B+, B1)        11/01/24          4.875          1,001,937  
                        

 

 

  
                           5,759,231  
                        

 

 

  
                        
 

Transport Infrastructure/Services (1.0%)

                    
  1,750       

Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes
(Callable 04/30/18 @ 108.44)(1)

      (B-, Caa2)        08/15/22          11.250          1,758,750  
                        

 

 

  
 

TOTAL CORPORATE BONDS (Cost $199,520,908)

          199,070,060  
                        

 

 

  
 

BANK LOANS (23.6%)

                    
 

Aerospace & Defense (0.5%)

                    
  880       

Sequa Mezzanine Holdings LLC, LIBOR 3M + 5.000%(10)

      (B-, B3)        11/28/21          7.071          892,709  
                        

 

 

  
                        
 

Auto Parts & Equipment (0.8%)

                    
  754       

Dayco Products LLC, LIBOR 3M + 5.000%(7),(10)

      (B, B2)        05/19/23          6.984          762,786  
  687       

U.S. Farathane LLC, LIBOR 3M + 3.500%(7),(10)

      (B+, B2)        12/23/21          5.802          692,698  
                        

 

 

  
                           1,455,484  
                        

 

 

  
                        
 

Building Materials (1.0%)

                    
  923       

Fastener Acquisition, Inc., LIBOR 1M + 8.750(10)

      (CCC+, Caa2)        03/08/26          11.052          905,212  
  949       

Morsco, Inc., LIBOR 1M + 7.000%(10)

      (B+, B3)        10/31/23          8.877          966,575  
                        

 

 

  
                           1,871,787  
                        

 

 

  
                        
 

Chemicals (4.7%)

                    
  1,000       

Archroma Finance Sarl, LIBOR 3M + 8.250%(7),(10)

      (NR, Caa1)        07/11/25          9.955          985,000  
  1,313       

ASP Chromaflo Intermediate Holdings, Inc., LIBOR 1M + 8.000%(10)

      (CCC, Caa2)        11/14/24          9.877          1,312,500  
  1,632       

Preferred Proppants LLC, LIBOR 3M + 7.750%(6),(7),(10)

      (CCC, Caa2)        07/27/20          10.052          1,566,819  
  2,163       

Solenis International LP, LIBOR 3M + 6.750%(10)

      (CCC+, Caa1)        07/31/22          8.734          2,061,944  
  997       

UTEX Industries, Inc., LIBOR 1M + 4.000%(10)

      (CCC+, B3)        05/22/21          5.877          980,787  
  1,750       

Vantage Specialty Chemicals, Inc., LIBOR 3M + 8.250%(10)

      (CCC, Caa2)        10/27/25          10.022          1,758,750  
                        

 

 

  
                           8,665,800  
                        

 

 

  
                        
 

Diversified Capital Goods (1.0%)

                    
  750       

Cortes NP Acquisition Corp., LIBOR 1M + 4.000%(10)

      (B+, Ba3)        11/30/23          5.670          754,530  
  1,005       

Dynacast International LLC, LIBOR 3M + 8.500%(7),(10)

      (B-, Caa1)        01/30/23          10.802          1,010,025  
                        

 

 

  
                           1,764,555  
                        

 

 

  
                        
 

Electronics (1.0%)

                    
  750       

CPI International, Inc., LIBOR 1M + 7.250%(7),(10)

      (CCC+, Caa2)        07/26/25          9.127          754,687  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

BANK LOANS (continued)

                    
 

Electronics

                    
$           992       

Oberthur Technologies S.A., LIBOR 3M + 3.750%(10)

      (B-, B2)        01/10/24          6.052        $        988,343  
                        

 

 

  
                           1,743,030  
                        

 

 

  
                        
 

Energy - Exploration & Production (2.3%)

                    
  2,000       

Chief Exploration & Development LLC, LIBOR 2M + 6.500%(6),(10)

      (NR, NR)        05/16/21          8.416          1,989,170  
  1,167       

Drillship Hydra Owners, Inc.(10)

      (B, Caa1)        09/20/24          8.000          1,225,000  
  1,000       

W&T Offshore, Inc.(6),(10)

      (CCC, Caa2)        05/15/20          9.000          970,000  
                        

 

 

  
                           4,184,170  
                        

 

 

  
                        
 

Health Facilities (0.8%)

                    
  1,000       

Prospect Medical Holdings, Inc., LIBOR 1M + 5.500%(10)

      (B, B1)        02/22/24          7.188          1,002,500  
  499       

Western Dental Services, Inc., LIBOR 1M + 4.500%(10)

      (B-, B3)        06/23/23          6.377          504,689  
                        

 

 

  
                           1,507,189  
                        

 

 

  
                        
 

Insurance Brokerage (1.1%)

                    
  1,980       

Acrisure LLC, LIBOR 3M + 4.250%(10)

      (B, B2)        11/22/23          5.991          2,008,266  
                        

 

 

  
                        
 

lnvestments & Misc. Financial Services (1.1%)

                    
  1,140       

Ocwen Financial Corp., LIBOR 1M + 5.000%(10)

      (B+, B3)        12/05/20          6.786          1,149,973  
  993       

Ditech Holding Corp., LIBOR 1M + 6.000%(10)

      (B-, Caa2)        06/30/22          7.877          968,882  
                        

 

 

  
                           2,118,855  
                        

 

 

  
                        
 

Machinery (1.6%)

                    
  1,734       

CPM Acquisition Corp., LIBOR 1M + 8.250%(10)

      (B-, Caa1)        04/10/23          10.127          1,773,153  
  1,125       

WireCo WorldGroup, Inc., LIBOR 3M + 9.000%(7),(10)

      (B-, Caa3)        09/30/24          10.984          1,147,500  
                        

 

 

  
                           2,920,653  
                        

 

 

  
                        
 

Media Content (0.3%)

                    
  500       

DLG Acquisitions Ltd., EUIBOR 6M + 7.250%(9),(10)

      (CCC+, Caa2)        06/30/22          8.250          619,153  
                        

 

 

  
                        
 

Medical Products (0.5%)

                    
  898       

ABB Concise Optical Group LLC, LIBOR 3M + 5.000%(10)

      (B-, B2)        06/15/23          6.805          902,771  
                        

 

 

  
                        
 

Personal & Household Products (2.3%)

                    
  1,000       

ABG Intermediate Holdings 2 LLC, LIBOR 3M + 7.750%(10)

      (CCC+, Caa1)        09/29/25          10.052          1,016,250  
  496       

Comfort Holding LLC, LIBOR 1M + 4.750%(10)

      (CCC+, B3)        02/05/24          6.490          482,490  
  1,350       

Comfort Holding LLC, LIBOR 1M + 10.000%(10)

      (CCC-, Caa2)        02/03/25          11.740          1,280,252  
  1,250       

Serta Simmons Bedding LLC, LIBOR 1M + 8.000%(10)

      (CCC, Caa1)        11/08/24          9.711          1,006,250  
  46       

TricorBraun Holdings, Inc., Prime + 2.750%(10)

      (B, B2)        11/30/23          5.973          45,879  
  452       

TricorBraun Holdings, Inc., Prime + 2.750%(10)

      (B, B2)        11/30/23          6.052          455,335  
                        

 

 

  
                           4,286,456  
                        

 

 

  
                        
 

Real Estate Investment Trusts (0.7%)

                    
  1,244       

Quality Care Properties, Inc., LIBOR 1M + 5.250%(10)

      (B-, Caa1)        10/31/22          7.127          1,260,401  
                        

 

 

  
                        
 

Recreation & Travel (0.5%)

                    
  1,000       

Legendary Pictures Funding LLC, LIBOR 3M + 6.000%(6),(7),(10)

      (NR, NR)        04/22/20          8.302          991,250  
                        

 

 

  
                        
 

Software - Services (2.1%)

                    
  623       

Almonde, Inc., LIBOR 3M + 7.250%(10)

      (CCC, Caa2)        06/13/25          9.234          619,041  
  1,000       

Eze Castle Software, Inc., LIBOR 3M + 6.500%(10)

      (CCC+, Caa1)        04/05/21          8.802          1,003,335  
  803       

Flexera Software LLC, LIBOR 1M + 7.250%(10)

      (CCC+, Caa1)        02/26/26          9.130          810,845  
  363       

LDiscovery LLC, LIBOR 3M + 5.875%(6),(10)

      (B, B3)        12/09/22          7.675          326,953  
  1,000       

TigerLuxOne Sarl, LIBOR 3M + 8.250%(10)

      (CCC+, Caa2)        02/16/25          10.552          1,003,130  
                        

 

 

  
                           3,763,304  
                        

 

 

  
                        
 

Specialty Retail (0.5%)

                    
  1,000       

Sally Holdings LLC(10)

      (BBB-, Ba1)        07/05/24          4.500          989,375  
                        

 

 

  
                        
 

Support - Services (0.7%)

                    
  731       

Interior Logic Group, Inc., LIBOR 1M + 6.000%(7),(10)

      (B, B3)        03/01/24          7.877          736,250  
  1,475       

Sprint Industrial Holdings LLC, LIBOR 3M + 12.250%(6),(10)

      (CC, Caa3)        11/14/19          13.500          479,377  
                        

 

 

  
                           1,215,627  
                        

 

 

  
                        
 

Theaters & Entertainment (0.1%)

                    
  154       

NEG Holdings LLC, LIBOR 3M + 8.000%(5),(6),(7),(10)

      (NR, NR)        10/17/22          10.302          142,872  
                        

 

 

  
 

TOTAL BANK LOANS (Cost $42,963,827)

        $   43,303,707  
                        

 

 

  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

ASSET BACKED SECURITIES (1.1%)

                    
 

Collateralized Debt Obligations (1.1%)

                    
$        1,000       

Galaxy XIV CLO Ltd., 2012-14A, Rule 144A, LIBOR 3M + 7.900%(1),(10)

      (BB, NR)        11/15/26          9.739        $     1,013,630  
  1,000       

JFIN CLO Ltd., 2013-1A, Rule 144A, LIBOR 3M + 4.750%(1),(10)

      (BB, NR)        01/20/25          6.495          999,072  
                        

 

 

  
 

TOTAL ASSET BACKED SECURITIES (Cost $1,899,681)

          2,012,702  
                        

 

 

  
                        
Number of
Shares		                                           
                        
 

COMMON STOCKS (1.5%)

                    
 

Auto Parts & Equipment (0.5%)

                    
  46,071       

UCI International, Inc.(5),(6),(7),(11)

 

        829,278  
                        

 

 

  
                        
 

Building & Construction (0.0%)

                    
  5       

White Forest Resources, Inc.(5),(6),(7),(11)

 

        37  
                        

 

 

  
                        
 

Building Materials (0.0%)

                    
  372       

Dayton Superior Corp.(5),(6),(7),(11)

 

        —  
                        

 

 

  
                        
 

Energy - Exploration & Production (0.5%)

                    
  26,788       

Stone Energy Corp.(11)

 

        993,835  
                        

 

 

  
                        
 

Oil Field Equipment & Services (0.3%)

                    
  11       

Sidewinder Drilling, Inc., Series A(5),(6),(7),(11)

 

        514,710  
                        

 

 

  
                        
 

Support - Services (0.2%)

                    
  800       

LTR Holdings LLC(5),(6),(7),(11)

 

        307,088  
  433       

Sprint Industrial Holdings LLC, Class G(5),(7),(11)

 

        4  
  39       

Sprint Industrial Holdings LLC, Class H(5),(7),(11)

 

        1  
  96       

Sprint Industrial Holdings LLC, Class I(5),(7),(11)

 

        1  
                        

 

 

  
                           307,094  
                        

 

 

  
                        
 

Theaters & Entertainment (0.0%)

                    
  20       

NEG Holdings LLC, Litigation Trust Units(5),(6),(7),(11)

 

        20  
                        

 

 

  
 

TOTAL COMMON STOCKS (Cost $2,887,148)

          2,644,974  
                        

 

 

  
                        
 

PREFERRED STOCK (0.0%)

  
 

Building Materials (0.0%)

                    
  413       

Dayton Superior Corp.(5),(6),(7),(11) (Cost $156,000)

 

        —  
                        

 

 

  
                        
 

SHORT-TERM INVESTMENT (7.9%)

                    
  2,494,413       

State Street Navigator Securities Lending Government Money Market Portfolio, 1.72%(12)

 

        2,494,413  
                        
Par
(000)		                        Maturity            Rate%             
$ 12,037       

State Street Bank and Trust Co. Euro Time Deposit

        04/02/18          0.280          12,037,320  
                        

 

 

  
                        
 

TOTAL SHORT-TERM INVESTMENT (Cost $14,531,733)

          14,531,733  
                        

 

 

  
                        
 

TOTAL INVESTMENTS AT VALUE (142.8%) (Cost $261,959,297)

          261,563,176  
                        
 

LIABILITIES IN EXCESS OF OTHER ASSETS (-42.8%)

          (78,340,249 ) 
                        

 

 

  
                        
 

NET ASSETS (100.0%)

        $ 183,222,927  
                        

 

 

  

INVESTMENT ABBREVIATIONS

1M = 1 Month

3M = 3 Month

6M = 6 Month

EURIBOR = Euro Interbank Offered Rate

LIBOR = London Interbank Offered Rate

NR = Not Rated

 

 

 

 

† 

Credit ratings given by the Standard & 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, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2018, these securities amounted to a value of $152,706,162 or 83.3% of net assets.

(2) 

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

(3) 

This security is denominated in British Pound.

(4) 

Bond is currently in default.

(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) 

Illiquid security (unaudited).

(7) 

Security is valued using significant unobservable inputs.

(8) 

Security or portion thereof is out on loan.

(9) 

This security is denominated in Euro.

(10) 

Variable rate obligation — The interest rate shown is the rate in effect as of March 31, 2018.

(11) 

Non-income producing security.

(12) 

Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at March 31, 2018.

Forward Foreign Currency Contracts

 

Forward
Currency to be
Purchased (Local)

     

Forward

Currency to be

Sold (Local)

     

    Expiration    

Date

   

Counterparty

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

EUR

     334,900     

USD

      401,401      10/12/18    Morgan Stanley    $ 401,401     $ 418,022     $ 16,621  

GBP

     1,685,000     

USD

      2,305,762      10/12/18    Morgan Stanley          2,305,762           2,382,829            77,067  

USD

     3,495,423     

EUR

      2,895,000      10/12/18    Morgan Stanley      (3,495,423 )      (3,613,537 )      (118,114 ) 

USD

     3,001,555     

GBP

      2,241,350      10/12/18    Morgan Stanley      (3,001,555 )      (3,169,587 )      (168,032 ) 
                    

 

 

  
                    
                     $         (192,458 ) 
                    

 

 

  

Currency Abbreviations:

EUR = Euro

GBP = British Pound

USD = United States Dollar

 

 

 

 

SECURITY VALUATION — The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional “round lot” size, but some trades occur in smaller “odd lot” sizes which may be effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board of Directors (the “Board”) to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more brokers/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved and established by the Board.

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

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

 

  l

Level  1–quoted prices in active markets for identical investments

  l

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

  l

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, 2018 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

    $ —      $ 197,373,479      $ 1,696,581     $ 199,070,060  

Bank Loans

      —        34,513,819        8,789,888       43,303,707  

Asset Backed Securities

      —        2,012,702        —       2,012,702  

Common Stocks

      993,835        —        1,651,139 (1)      2,644,974 (1) 

Preferred Stocks

      —        —        0 (1)      0 (1) 

Short-Term Investments

      —        14,531,733        —       14,531,733  
  

 

 

     

 

 

     

 

 

    

 

 

  
   $            993,835      $     248,431,733      $       12,137,608 (1)    $     261,563,176 (1) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Other Financial Instruments*

           

Forward Foreign Currency Contracts

    $ —      $ 93,688      $ —     $ 93,688  
          


Liabilities    

    Level 1      Level 2      Level 3     Total  

Other Financial Instruments*

           

Forward Foreign Currency Contracts

    $ —      $ 286,146      $ —     $ 286,146  

 

(1) 

Includes zero valued securities.

*

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

The following is a reconciliation of investments as of March 31, 2018 for which significant unobservable inputs were used in determining value. All transfers, if any, are assumed to occur at the end of the reporting period.

 

     Corporate
Bonds		      Bank
Loans		     Common
Stocks		     Preferred
Stock		     Total  

Balance as of December 31, 2017

    $ 1,627,887      $ 8,431,068     $ 1,480,492 (1)    $ 0 (1)    $ 11,539,447 (1) 

Accrued discounts (premiums)

      59,701        11,923       —       —       71,624  

Purchases

      —        12,197       —       —       12,197  

Sales

      —        (73,163 )      —       —       (73,163 ) 

Realized gain (loss)

      —        105       —       —       105  

Change in unrealized appreciation (depreciation)

      8,993        48,411       170,647       —       228,051  

Transfers into Level 3

      —        2,132,500       —       —       2,132,500  

Transfers out of Level 3

      —        (1,773,153 )      —       —       (1,773,153 ) 
  

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Balance as of March 31, 2018

    $   1,696,581      $ 8,789,888     $ 1,651,139 (1)    $            0 (1)    $ 12,137,608 (1) 
  

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation (depreciation) from investments still held as of March 31, 2018

    $ 8,993      $ 54,120     $ 170,647     $ —     $ 233,760  

 

(1) 

Includes zero valued securities.    

Quantitative Disclosure About Significant Unobservable Inputs

 

Asset Class    

    Fair Value At
03/31/2018		     

Valuation Techniques

   

Unobservable

Input

   

Range

(Weighted Average)

(per share)

Corporate Bonds

    $ 9,946      Income Approach    Expected remaining distribution    NA
   $ 1,070,215      Vendor Pricing    Single Broker Quote    NA
   $ 616,420      Market Approach    Comparable Bond Price    NA

Bank Loans

    $ 142,872      Market Approach    Comparable Bond Price    NA
   $ 8,647,016      Vendor Pricing    Single Broker Quote    $0.96 – $1.02 ($1.00)

Common Stocks

    $ 57      Market Approach   

Discount For Illiquidity

and EBITDA Multiples

    $0.00 – $7.34 ($0.14)
   $ 1,136,366      Vendor Pricing    Single Broker Quote    $18.00 – $383.86 ($24.24)
   $ 514,716      Market Approach/Income Approach   

Comparable Bond Price,

Discounted Cash Flows

    $0.01 – $44,921.50 ($888.66)

Preferred Stock

    $ 0      Market Approach    Discount For Illiquidity    NA

Each fair value determination is based on a consideration of relevant factors, including both observable and unobservable inputs. Observable and unobservable inputs that Credit Suisse Asset Management, LLC, the 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. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, determining fair value requires more judgment. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the investments existed. Accordingly, the degree of judgment exercised by the Fund in determining fair value is greatest for investments categorized in Level 3. In some circumstances, the inputs used to measure fair value might be categorized within different levels of the fair value hierarchy. In those instances, the fair value measurement is categorized in its entirety in the fair value hierarchy based on the least observable input that is significant to the fair value measurement. Additionally, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different from the valuations used at the date of these financial statements.

During the period ended March 31, 2018, there were no transfers between Level 1 and Level 2, and $2,132,500 transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $1,773,153 transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs. All transfers, if any, are assumed to occur at the end of the reporting period.

Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the 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 15, 2018

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

/s/John G. Popp

Name: John G. Popp

Title:   Chief Executive Officer and President

Date:   May 15, 2018

/s/Laurie Pecha

Name: Laurie Pecha

Title:   Chief Financial Officer

Date:   May 15, 2018