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, 2014 to March 31, 2014
Item 1: Schedule of Investments
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments
March 31, 2014 (unaudited)
| Par |
Ratings† |
Maturity |
Rate% | Value | ||||||||||
| CORPORATE BONDS (76.5%) |
||||||||||||||
| Aerospace & Defense (1.5%) |
||||||||||||||
| $ 650 |
AAR Corp., Global Company Guaranteed Notes (Callable 01/15/17 @ 103.63) |
(BB, Ba3) | 01/15/22 | 7.250 | $ | 706,875 | ||||||||
| 1,000 |
Ducommun, Inc., Global Company Guaranteed Notes (Callable 07/15/15 @ 104.88) |
(B-, B3) | 07/15/18 | 9.750 | 1,125,000 | |||||||||
| 1,200 |
The Milestone Aviation Group Ltd., Rule 144A, Senior Unsecured Notes (Callable 12/15/15 @ 104.31)‡ |
(NR, NR) | 12/15/17 | 8.625 | 1,297,500 | |||||||||
|
|
|
|||||||||||||
| 3,129,375 | ||||||||||||||
|
|
|
|||||||||||||
| Airlines (0.4%) |
||||||||||||||
| 500 |
Continental Airlines 2012-3, Class C Pass Thru Certificates |
(B+, B1) | 04/29/18 | 6.125 | 526,875 | |||||||||
| 200 |
United Continental Holdings, Inc., Company Guaranteed Notes§ |
(B, B2) | 06/01/18 | 6.375 | 216,250 | |||||||||
|
|
|
|||||||||||||
| 743,125 | ||||||||||||||
|
|
|
|||||||||||||
| Auto Parts & Equipment (2.2%) |
||||||||||||||
| 180 |
Lear Corp., Company Guaranteed Notes (Callable 03/15/15 @ 104.06) |
(BB, Ba2) | 03/15/20 | 8.125 | 197,100 | |||||||||
| 950 |
Lear Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/18 @ 102.38)ठ|
(BB, Ba2) | 01/15/23 | 4.750 | 931,000 | |||||||||
| 500 |
Meritor, Inc., Company Guaranteed Notes (Callable 06/15/16 @ 105.06)§ |
(B-, B3) | 06/15/21 | 6.750 | 531,250 | |||||||||
| 1,000 |
Schaeffler Finance B.V., Rule 144A, Senior Secured Notes (Callable 02/15/15 @ 106.38)‡ |
(BB-, Ba2) | 02/15/19 | 8.500 | 1,121,250 | |||||||||
| 1,750 |
UCI International, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.31) |
(CCC, Caa1) | 02/15/19 | 8.625 | 1,706,250 | |||||||||
|
|
|
|||||||||||||
| 4,486,850 | ||||||||||||||
|
|
|
|||||||||||||
| Beverages (0.3%) |
||||||||||||||
| 600 |
Beverages & More, Inc., Rule 144A, Senior Secured Notes (Callable 11/15/15 @ 105.00)‡ |
(CCC+, Caa2) | 11/15/18 | 10.000 | 626,250 | |||||||||
|
|
|
|||||||||||||
| Brokerage (1.5%) |
||||||||||||||
| 1,000 |
CCRE Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 02/15/15 @ 105.81)ठ|
(B, B1) | 02/15/18 | 7.750 | 1,075,000 | |||||||||
| 1,450 |
Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 04/01/16 @ 105.53)‡ |
(B, B1) | 04/01/20 | 7.375 | 1,529,750 | |||||||||
| 400 |
Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 04/15/17 @ 105.16)‡ |
(B, B1) | 04/15/22 | 6.875 | 405,000 | |||||||||
|
|
|
|||||||||||||
| 3,009,750 | ||||||||||||||
|
|
|
|||||||||||||
| Building & Construction (0.2%) |
||||||||||||||
| 500 |
K Hovnanian Enterprises, Inc., Global Senior Secured Notes |
(CCC+, Ba3) | 11/01/21 | 2.000 | 352,500 | |||||||||
|
|
|
|||||||||||||
| Building Materials (2.8%) |
||||||||||||||
| 1,750 |
Euramax International, Inc., Global Senior Secured Notes (Callable 04/01/14 @ 104.75) |
(B-, Caa2) | 04/01/16 | 9.500 | 1,776,250 | |||||||||
| 1,850 |
Headwaters, Inc., Global Secured Notes (Callable 04/01/15 @ 103.81) |
(B+, B2) | 04/01/19 | 7.625 | 2,002,625 | |||||||||
| 1,000 |
Headwaters, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/16 @ 103.63)‡ |
(CCC+, Caa2) | 01/15/19 | 7.250 | 1,047,500 | |||||||||
| 750 |
RSI Home Products, Inc., Rule 144A, Secured Notes (Callable 03/01/15 @ 105.16)‡ |
(B+, B1) | 03/01/18 | 6.875 | 808,125 | |||||||||
|
|
|
|||||||||||||
| 5,634,500 | ||||||||||||||
|
|
|
|||||||||||||
| Chemicals (2.2%) |
||||||||||||||
| 150 |
Axalta Coating Systems Dutch Holding B B.V., Rule 144A, Company Guaranteed Notes (Callable 02/04/16 @ 105.53)ठ|
(B-, Caa1) | 05/01/21 | 7.375 | 163,875 | |||||||||
| 500 |
Chemtura Corp., Company Guaranteed Notes (Callable 07/15/16 @ 104.31)§ |
(BB-, B1) | 07/15/21 | 5.750 | 521,250 | |||||||||
| 500 |
Ineos Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 105.63)‡ |
(BB-, Ba3) | 05/01/20 | 7.500 | 550,625 | |||||||||
| 750 |
Ineos Group Holdings S.A., Rule 144A, Company Guaranteed Notes (Callable 02/15/16 @ 102.94)ठ|
(B-, B3) | 02/15/19 | 5.875 | 767,812 | |||||||||
| 350 |
Ineos Group Holdings S.A., Rule 144A, Company Guaranteed Notes (Callable 05/15/15 @ 103.25)ठ|
(B-, B3) | 08/15/18 | 6.125 | 364,438 | |||||||||
| 1,494 |
Reichhold Industries, Inc., PIK, Rule 144A, Senior Secured Notesठ|
(CCC+, NR) | 05/08/17 | 11.000 | 1,023,462 | |||||||||
| Par |
Ratings† |
Maturity |
Rate% | Value | ||||||||||
| CORPORATE BONDS |
||||||||||||||
| Chemicals |
||||||||||||||
| $ 1,000 | Taminco Global Chemical Corp., Rule 144A, Secured Notes (Callable 03/31/15 @ 107.31)‡ |
(B-, Caa1) | 03/31/20 | 9.750 | $ | 1,132,500 | ||||||||
|
|
|
|||||||||||||
| 4,523,962 | ||||||||||||||
|
|
|
|||||||||||||
| Consumer Products (2.2%) |
||||||||||||||
| 1,595 | Alphabet Holding Co., Inc., PIK, Global Senior Unsecured Notes (Callable 11/01/14 @ 102.00) |
(B-, Caa1) | 11/01/17 | 8.500 | 1,650,825 | |||||||||
| 1,125 | NBTY, Inc., Global Company Guaranteed Notes (Callable 10/01/14 @ 104.50) |
(B, B3) | 10/01/18 | 9.000 | 1,215,000 | |||||||||
| 750 | Ontex IV S.A., Rule 144A, Senior Secured Notes (Callable 04/15/14 @ 103.75)‡€ |
(B, B1) | 04/15/18 | 7.500 | 1,083,563 | |||||||||
| 400 | Prestige Brands, Inc., Global Company Guaranteed Notes (Callable 02/01/16 @ 104.06) |
(B+, B2) | 02/01/20 | 8.125 | 450,500 | |||||||||
|
|
|
|||||||||||||
| 4,399,888 | ||||||||||||||
|
|
|
|||||||||||||
| Consumer/Commercial/Lease Financing (0.2%) |
||||||||||||||
| 500 | JLC Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 06/01/16 @ 105.16)‡ |
(B, B2) | 06/01/20 | 6.875 | 510,000 | |||||||||
|
|
|
|||||||||||||
| Diversified Capital Goods (1.5%) |
||||||||||||||
| 750 | Anixter, Inc., Global Company Guaranteed Notes |
(BB, Ba3) | 05/01/19 | 5.625 | 802,500 | |||||||||
| 1,550 | Belden, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/17 @ 102.75)‡ |
(B+, Ba2) | 09/01/22 | 5.500 | 1,577,125 | |||||||||
| 4 | FCC Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 12/15/14 @ 100.00)‡^ |
(CCC+, Ca) | 12/15/15 | 13.000 | 3,976 | |||||||||
| 509 | Mueller Water Products, Inc., Global Company Guaranteed Notes (Callable 09/01/15 @ 104.38) |
(NR, B1) | 09/01/20 | 8.750 | 571,353 | |||||||||
|
|
|
|||||||||||||
| 2,954,954 | ||||||||||||||
|
|
|
|||||||||||||
| Electronics (0.3%) |
||||||||||||||
| 500 | CPI International, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.00) |
(CCC+, Caa1) | 02/15/18 | 8.000 | 518,750 | |||||||||
|
|
|
|||||||||||||
| Energy - Exploration & Production (5.6%) |
||||||||||||||
| 1,450 | Bonanza Creek Energy, Inc., Global Company Guaranteed Notes (Callable 04/15/17 @ 103.38) |
(B-, B3) | 04/15/21 | 6.750 | 1,555,125 | |||||||||
| 1,975 | EPL Oil & Gas, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.13) |
(B-, B3) | 02/15/18 | 8.250 | 2,147,812 | |||||||||
| 1,000 | Harkand Finance, Inc., Secured Notes (Callable 03/28/16 @ 104.50) |
(NR, NR) | 03/28/19 | 7.500 | 1,005,000 | |||||||||
| 600 | Memorial Production Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/17 @ 103.81)‡ |
(B-, Caa1) | 05/01/21 | 7.625 | 636,000 | |||||||||
| 550 | Oasis Petroleum, Inc., Global Company Guaranteed Notes (Callable 02/01/15 @ 103.63) |
(B+, B2) | 02/01/19 | 7.250 | 591,250 | |||||||||
| 895 | Oasis Petroleum, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/15/17 @ 103.44)‡ |
(B+, B2) | 03/15/22 | 6.875 | 973,313 | |||||||||
| 1,050 | PDC Energy, Inc., Global Company Guaranteed Notes (Callable 10/15/17 @ 103.88) |
(B-, B3) | 10/15/22 | 7.750 | 1,155,000 | |||||||||
| 1,200 | Stone Energy Corp., Global Company Guaranteed Notes (Callable 11/15/17 @ 103.75) |
(B-, B3) | 11/15/22 | 7.500 | 1,305,000 | |||||||||
| 1,124 | W&T Offshore, Inc., Global Company Guaranteed Notes (Callable 06/15/15 @ 104.25) |
(B, B3) | 06/15/19 | 8.500 | 1,219,540 | |||||||||
| 650 | Whiting Petroleum Corp., Company Guaranteed Notes (Callable 12/15/20 @ 100.00) |
(BB+, Ba2) | 03/15/21 | 5.750 | 700,375 | |||||||||
|
|
|
|||||||||||||
| 11,288,415 | ||||||||||||||
|
|
|
|||||||||||||
| Environmental (0.9%) |
||||||||||||||
| 1,800 | EnergySolutions LLC, Global Company Guaranteed Notes (Callable 08/15/14 @ 105.38) |
(B+, Caa2) | 08/15/18 | 10.750 | 1,923,750 | |||||||||
|
|
|
|||||||||||||
| Food - Wholesale (0.6%) |
||||||||||||||
| 346 | Big Heart Pet Brands, Global Company Guaranteed Notes (Callable 02/15/15 @ 101.91) |
(CCC+, Caa1) | 02/15/19 | 7.625 | 360,921 | |||||||||
| 600 | Smithfield Foods, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/16 @ 104.41)‡ |
(BB-, B2) | 08/01/21 | 5.875 | 624,000 | |||||||||
| Par |
Ratings† |
Maturity |
Rate% | Value | ||||||||||
| CORPORATE BONDS |
||||||||||||||
| Food - Wholesale |
||||||||||||||
| $ 210 | Wells Enterprises, Inc., Rule 144A, Senior Secured Notes (Callable 02/01/16 @ 105.06)‡ |
(B+, B3) | 02/01/20 | 6.750 | $ | 217,875 | ||||||||
|
|
|
|||||||||||||
| 1,202,796 | ||||||||||||||
|
|
|
|||||||||||||
| Forestry & Paper (0.0%) |
||||||||||||||
| 1,000 | Stone & Webster, Inc.*1 |
(NR, NR) | 10/23/19 | 0.000 | 1,000 | |||||||||
|
|
|
|||||||||||||
| Gaming (1.6%) |
||||||||||||||
| 925 | Affinity Gaming Finance Corp., Global Company Guaranteed Notes (Callable 05/15/15 @ 104.50) |
(B, NR) | 05/15/18 | 9.000 | 994,375 | |||||||||
| 605 | Choctaw Resort Development Enterprise, Rule 144A, Senior Notes (Callable 11/15/14 @ 100.00)‡ |
(B, Caa1) | 11/15/19 | 7.250 | 601,975 | |||||||||
| 600 | Churchill Downs, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/16 @ 104.03)‡ |
(BB, B1) | 12/15/21 | 5.375 | 613,500 | |||||||||
| 750 | Safari Holding Verwaltungs GmbH, Rule 144A, Senior Secured Notes (Callable 02/15/17 @ 104.13)‡€ |
(B, B2) | 02/15/21 | 8.250 | 1,117,674 | |||||||||
|
|
|
|||||||||||||
| 3,327,524 | ||||||||||||||
|
|
|
|||||||||||||
| Gas Distribution (1.8%) |
||||||||||||||
| 1,500 | Energy Transfer Equity LP, Senior Secured Notes |
(BB, Ba2) | 10/15/20 | 7.500 | 1,723,125 | |||||||||
| 350 | Genesis Energy LP, Global Company Guaranteed Notes (Callable 02/15/17 @ 102.88)§ |
(B, B1) | 02/15/21 | 5.750 | 364,000 | |||||||||
| 1,500 | Holly Energy Finance Corp., Global Company Guaranteed Notes (Callable 03/01/16 @ 103.25) |
(BB-, B1) | 03/01/20 | 6.500 | 1,601,250 | |||||||||
|
|
|
|||||||||||||
| 3,688,375 | ||||||||||||||
|
|
|
|||||||||||||
| Health Facilities (2.8%) |
||||||||||||||
| 500 | MPT Finance Corp., Company Guaranteed Notes (Callable 02/15/17 @ 103.19) |
(BB, Ba1) | 02/15/22 | 6.375 | 537,500 | |||||||||
| 1,360 | MPT Finance Corp., Global Company Guaranteed Notes (Callable 05/01/16 @ 103.44) |
(BB, Ba1) | 05/01/21 | 6.875 | 1,468,800 | |||||||||
| 550 | Service Corp. International, Senior Unsecured Notes |
(BB-, B1) | 11/15/21 | 8.000 | 639,375 | |||||||||
| 698 | Symbion, Inc., Global Company Guaranteed Notes |
(CCC+, Caa2) | 08/23/15 | 11.000 | 699,047 | |||||||||
| 1,175 | Symbion, Inc., Global Senior Secured Notes (Callable 06/15/14 @ 104.00) |
(B, B2) | 06/15/16 | 8.000 | 1,239,625 | |||||||||
| 1,000 | Tenet Healthcare Corp., Global Senior Unsecured Notes§ |
(CCC+, B3) | 04/01/22 | 8.125 | 1,120,000 | |||||||||
|
|
|
|||||||||||||
| 5,704,347 | ||||||||||||||
|
|
|
|||||||||||||
| Health Services (1.3%) |
||||||||||||||
| 1,523 | MedAssets, Inc., Global Company Guaranteed Notes (Callable 11/15/14 @ 104.00) |
(B, B3) | 11/15/18 | 8.000 | 1,637,225 | |||||||||
| 1,000 | STHI Holding Corp., Rule 144A, Secured Notes (Callable 03/15/15 @ 104.00)‡ |
(B, B2) | 03/15/18 | 8.000 | 1,061,250 | |||||||||
|
|
|
|||||||||||||
| 2,698,475 | ||||||||||||||
|
|
|
|||||||||||||
| Household & Leisure Products (0.7%) |
||||||||||||||
| 750 | Activision Blizzard, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/15/16 @ 104.22)‡ |
(BB+, Ba2) | 09/15/21 | 5.625 | 804,375 | |||||||||
| 550 | Activision Blizzard, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/15/18 @ 103.06)ठ|
(BB+, Ba2) | 09/15/23 | 6.125 | 600,188 | |||||||||
|
|
|
|||||||||||||
| 1,404,563 | ||||||||||||||
|
|
|
|||||||||||||
| Insurance Brokerage (0.8%) |
||||||||||||||
| 1,100 | A-S Merger Sub LLC, Rule 144A, Senior Unsecured Notes (Callable 12/15/15 @ 103.94)‡ |
(CCC+, Caa2) | 12/15/20 | 7.875 | 1,182,500 | |||||||||
| 300 | Towergate Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/15/14 @ 101.00)‡£# |
(NR, B1) | 02/15/18 | 6.021 | 510,148 | |||||||||
|
|
|
|||||||||||||
| 1,692,648 | ||||||||||||||
|
|
|
|||||||||||||
| Investments & Misc. Financial Services (0.7%) |
||||||||||||||
| 750 | Cabot Financial Luxembourg S.A., Rule 144A, Senior Secured Notes (Callable 10/01/15 @ 107.78)࣠|
(B+, B2) | 10/01/19 | 10.375 | 1,431,665 | |||||||||
|
|
|
|||||||||||||
| Par |
Ratings† |
Maturity |
Rate% | Value | ||||||||||
| CORPORATE BONDS |
||||||||||||||
| Leisure (0.6%) |
||||||||||||||
| $ 1,250 | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/16 @ 103.94)ठ|
(BB-, B3) | 01/15/21 | 5.250 | $ | 1,262,500 | ||||||||
|
|
|
|||||||||||||
| Media - Cable (2.5%) |
||||||||||||||
| 800 | Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 12/15/16 @ 104.88)ठ|
(BB-, B1) | 01/15/22 | 6.500 | 846,000 | |||||||||
| 150 | Cablevision Systems Corp., Senior Unsecured Notes |
(B, B1) | 04/15/18 | 7.750 | 171,937 | |||||||||
| 600 | Cablevision Systems Corp., Senior Unsecured Notes§ |
(B, B1) | 04/15/20 | 8.000 | 702,750 | |||||||||
| 1,000 | DISH DBS Corp., Global Company Guaranteed Notes |
(BB-, Ba3) | 06/01/21 | 6.750 | 1,122,500 | |||||||||
| 500 | Harron Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 04/01/16 @ 104.56)‡ |
(B-, Caa1) | 04/01/20 | 9.125 | 567,500 | |||||||||
| 350 | Unitymedia NRW GmbH, Rule 144A, Senior Secured Notes (Callable 03/15/15 @ 103.75)‡ |
(BB-, Ba3) | 03/15/19 | 7.500 | 381,500 | |||||||||
| 1,200 | Virgin Media Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 04/15/18 @ 103.19)ठ|
(B, B2) | 04/15/23 | 6.375 | 1,278,000 | |||||||||
|
|
|
|||||||||||||
| 5,070,187 | ||||||||||||||
|
|
|
|||||||||||||
| Media - Diversified (1.4%) |
||||||||||||||
| 1,750 | Block Communications, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/01/16 @ 103.63)‡ |
(BB-, Ba3) | 02/01/20 | 7.250 | 1,872,500 | |||||||||
| 975 | Netflix, Inc., Rule 144A, Senior Unsecured Notesठ|
(BB-, Ba3) | 03/01/24 | 5.750 | 1,014,000 | |||||||||
|
|
|
|||||||||||||
| 2,886,500 | ||||||||||||||
|
|
|
|||||||||||||
| Media - Services (1.0%) |
||||||||||||||
| 425 | Clear Channel Worldwide Holdings, Inc., Global Company Guaranteed Notes (Callable 11/15/17 @ 103.25) |
(B, B1) | 11/15/22 | 6.500 | 453,156 | |||||||||
| 1,475 | Clear Channel Worldwide Holdings, Inc., Series B, Global Company Guaranteed Notes (Callable 11/15/17 @ 103.25) |
(B, B1) | 11/15/22 | 6.500 | 1,583,782 | |||||||||
|
|
|
|||||||||||||
| 2,036,938 | ||||||||||||||
|
|
|
|||||||||||||
| Medical Products (0.7%) |
||||||||||||||
| 1,250 | Polymer Group, Inc., Global Senior Secured Notes (Callable 02/01/15 @ 103.88) |
(B-, B1) | 02/01/19 | 7.750 | 1,343,750 | |||||||||
|
|
|
|||||||||||||
| Metals & Mining - Excluding Steel (6.3%) |
||||||||||||||
| 1,350 | Boart Longyear Management Pty. Ltd., Rule 144A, Company Guaranteed Notes (Callable 04/01/16 @ 103.50)ठ|
(CCC+, Caa2) | 04/01/21 | 7.000 | 1,032,750 | |||||||||
| 700 | Boart Longyear Management Pty. Ltd., Rule 144A, Senior Secured Notes‡ |
(B, B2) | 10/01/18 | 10.000 | 735,000 | |||||||||
| 1,350 | Calcipar S.A., Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 103.44)‡ |
(BB, Ba3) | 05/01/18 | 6.875 | 1,444,500 | |||||||||
| 1,050 | Eldorado Gold Corp., Rule 144A, Senior Unsecured Notes (Callable 12/15/16 @ 103.06)ठ|
(BB, Ba3) | 12/15/20 | 6.125 | 1,055,250 | |||||||||
| 400 | FMG Resources August 2006 Pty. Ltd., Rule 144A, Company Guaranteed Notes (Callable 11/01/15 @ 104.13)ठ|
(BB-, Ba2) | 11/01/19 | 8.250 | 441,500 | |||||||||
| 1,100 | Global Brass & Copper, Inc., Global Senior Secured Notes (Callable 06/01/16 @ 104.75) |
(B, B3) | 06/01/19 | 9.500 | 1,276,000 | |||||||||
| 1,841 | KGHM International Ltd., Rule 144A, Company Guaranteed Notes (Callable 06/15/15 @ 103.88)‡ |
(BB-, B1) | 06/15/19 | 7.750 | 1,951,460 | |||||||||
| 700 | Molycorp, Inc., Global Senior Secured Notes (Callable 06/01/16 @ 105.00)§ |
(CCC+, B3) | 06/01/20 | 10.000 | 696,500 | |||||||||
| 1,500 | Noranda Aluminum Acquisition Corp., Global Company Guaranteed Notes (Callable 03/01/16 @ 105.50)§ |
(CCC+, Caa2) | 06/01/19 | 11.000 | 1,391,250 | |||||||||
| 1,700 | Taseko Mines Ltd., Company Guaranteed Notes (Callable 04/15/15 @ 103.88) |
(B, B3) | 04/15/19 | 7.750 | 1,742,500 | |||||||||
| 1,500 | Xinergy Corp., Rule 144A, Senior Secured Notes (Callable 05/15/15 @ 104.63)‡ |
(NR, NR) | 05/15/19 | 9.250 | 1,080,000 | |||||||||
|
|
|
|||||||||||||
| 12,846,710 | ||||||||||||||
|
|
|
|||||||||||||
| Oil Field Equipment & Services (4.8%) |
||||||||||||||
| 1,400 | Calfrac Holdings LP, Rule 144A, Company Guaranteed Notes (Callable 12/01/15 @ 103.75)‡ |
(BB-, B1) | 12/01/20 | 7.500 | 1,477,000 | |||||||||
| 1,200 | Pacific Drilling S.A., Reg S, Senior Unsecured Notes |
(NR, NR) | 02/23/15 | 8.250 | 1,251,000 | |||||||||
| 950 | Parker Drilling Co., Rule 144A, Company Guaranteed Notes (Callable 01/15/18 @ 103.38)‡ |
(B+, B1) | 07/15/22 | 6.750 | 983,250 | |||||||||
| Par |
Ratings† |
Maturity |
Rate% | Value | ||||||||||
| CORPORATE BONDS |
||||||||||||||
| Oil Field Equipment & Services |
||||||||||||||
| $ 586 | Permian Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 07/15/15 @ 107.88)‡ |
(B-, B3) | 01/15/18 | 10.500 | $ | 599,185 | ||||||||
| 1,600 | Pioneer Energy Services Corp., Global Company Guaranteed Notes (Callable 03/15/15 @ 102.47) |
(B+, B2) | 03/15/18 | 9.875 | 1,688,080 | |||||||||
| 1,000 | Shelf Drilling Holdings Ltd., Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 104.31)ठ|
(B+, B1) | 11/01/18 | 8.625 | 1,087,500 | |||||||||
| 1,500 | Sidewinder Drilling, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/16 @ 104.88)‡ |
(B-, B3) | 11/15/19 | 9.750 | 1,492,500 | |||||||||
| 1,000 | Trinidad Drilling Ltd., Rule 144A, Company Guaranteed Notes (Callable 01/15/15 @ 103.94)‡ |
(BB, B1) | 01/15/19 | 7.875 | 1,075,000 | |||||||||
|
|
|
|||||||||||||
| 9,653,515 | ||||||||||||||
|
|
|
|||||||||||||
| Oil Refining & Marketing (2.3%) |
||||||||||||||
| 2,000 | Coffeyville Finance, Inc., Global Secured Notes (Callable 11/01/17 @ 103.25)§ |
(B+, B2) | 11/01/22 | 6.500 | 2,115,000 | |||||||||
| 600 | Northern Tier Finance Corp., Global Senior Secured Notes (Callable 11/15/2015 @ 105.34)§ |
(BB-, B1) | 11/15/20 | 7.125 | 645,000 | |||||||||
| 1,850 | PBF Finance Corp., Global Senior Secured Notes (Callable 02/15/16 @ 104.13) |
(BB+, Ba3) | 02/15/20 | 8.250 | 2,016,500 | |||||||||
|
|
|
|||||||||||||
| 4,776,500 | ||||||||||||||
|
|
|
|||||||||||||
| Packaging (1.3%) |
||||||||||||||
| 1,000 | Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 01/31/17 @ 103.38)ठ|
(CCC+, Caa1) | 01/31/21 | 6.750 | 1,047,500 | |||||||||
| 88 | Ardagh Holdings U.S.A., Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/16 @ 103.50)‡ |
(NR, Caa1) | 11/15/20 | 7.000 | 93,309 | |||||||||
| 300 | Ardagh Packaging Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 10/15/15 @ 104.63)‡€ |
(CCC+, Caa1) | 10/15/20 | 9.250 | 463,092 | |||||||||
| 650 | Reynolds Group Issuer LLC, Global Company Guaranteed Notes (Callable 02/15/16 @ 104.13)§ |
(CCC+, Caa2) | 02/15/21 | 8.250 | 712,562 | |||||||||
| 350 | Reynolds Group Issuer LLC, Global Company Guaranteed Notes (Callable 10/15/14 @ 104.50) |
(CCC+, Caa2) | 04/15/19 | 9.000 | 376,250 | |||||||||
|
|
|
|||||||||||||
| 2,692,713 | ||||||||||||||
|
|
|
|||||||||||||
| Pharmaceuticals (0.8%) |
||||||||||||||
| 350 | Capsugel Finance Co. S.C.A., Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ 107.41)‡€ |
(B-, B3) | 08/01/19 | 9.875 | 532,435 | |||||||||
| 750 | Forest Laboratories, Inc., Rule 144A, Senior Unsecured Notesठ|
(BB+, Ba1) | 02/15/21 | 4.875 | 794,063 | |||||||||
| 400 | inVentiv Health, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/14 @ 105.00)‡ |
(CCC, Caa2) | 08/15/18 | 11.000 | 372,000 | |||||||||
|
|
|
|||||||||||||
| 1,698,498 | ||||||||||||||
|
|
|
|||||||||||||
| Real Estate Development & Management (0.5%) |
||||||||||||||
| 1,000 | Rialto Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/15 @ 103.50)‡ |
(B, B2) | 12/01/18 | 7.000 | 1,031,875 | |||||||||
|
|
|
|||||||||||||
| Real Estate Investment Trusts (1.0%) |
||||||||||||||
| 1,850 | CNL Lifestyle Properties, Inc., Global Company Guaranteed Notes (Callable 04/15/15 @ 103.63) |
(B, Ba3) | 04/15/19 | 7.250 | 1,951,750 | |||||||||
|
|
|
|||||||||||||
| Restaurants (0.8%) |
||||||||||||||
| 1,600 | Seminole Hard Rock International LLC, Rule 144A, Company Guaranteed Notes (Callable 05/15/16 @ 104.41)‡ |
(BB-, B2) | 05/15/21 | 5.875 | 1,620,000 | |||||||||
|
|
|
|||||||||||||
| Software/Services (4.9%) |
||||||||||||||
| 1,850 | Epicor Software Corp., Global Company Guaranteed Notes (Callable 05/01/15 @ 104.31) |
(CCC+, Caa1) | 05/01/19 | 8.625 | 2,032,687 | |||||||||
| 1,125 | First Data Corp., Rule 144A, Senior Secured Notes (Callable 06/15/15 @ 103.69)‡ |
(B+, B1) | 06/15/19 | 7.375 | 1,212,188 | |||||||||
| 650 | First Data Corp., Rule 144A, Senior Secured Notes (Callable 11/01/15 @ 105.06)‡ |
(B+, B1) | 11/01/20 | 6.750 | 702,000 | |||||||||
| 400 | Infor U.S., Inc., Global Company Guaranteed Notes (Callable 04/01/15 @ 107.03) |
(B-, Caa1) | 04/01/19 | 9.375 | 452,500 | |||||||||
| 625 | Infor U.S., Inc., Global Company Guaranteed Notes (Callable 04/01/15 @ 107.50)€ |
(B-, Caa1) | 04/01/19 | 10.000 | 975,542 | |||||||||
| Par |
Ratings† |
Maturity |
Rate% | Value | ||||||||||
| CORPORATE BONDS |
||||||||||||||
| Software/Services |
||||||||||||||
| $ 1,500 | NeuStar, Inc., Global Company Guaranteed Notes (Callable 01/15/18 @ 102.25) |
(BB-, Ba3) | 01/15/23 | 4.500 | $ | 1,308,750 | ||||||||
| 1,003 | Serena Software, Inc., Global Company Guaranteed Notes |
(CCC+, Caa1) | 03/15/16 | 10.375 | 1,010,523 | |||||||||
| 400 | SSI Co-Issuer LLC, Global Company Guaranteed Notes (Callable 06/01/14 @ 105.56) |
(CCC+, Caa1) | 06/01/18 | 11.125 | 428,500 | |||||||||
| 1,598 | Syniverse Holdings, Inc., Global Company Guaranteed Notes (Callable 01/15/15 @ 104.56) |
(B-, Caa1) | 01/15/19 | 9.125 | 1,745,815 | |||||||||
|
|
|
|||||||||||||
| 9,868,505 | ||||||||||||||
|
|
|
|||||||||||||
| Specialty Retail (0.7%) |
||||||||||||||
| 1,350 | Brown Shoe Co., Inc., Global Company Guaranteed Notes (Callable 05/15/14 @ 105.34) |
(B+, B3) | 05/15/19 | 7.125 | 1,434,375 | |||||||||
|
|
|
|||||||||||||
| Steel Producers/Products (1.5%) |
||||||||||||||
| 1,450 | GrafTech International Ltd., Global Company Guaranteed Notes (Callable 11/15/16 @ 103.19)§ |
(BB+, Ba2) | 11/15/20 | 6.375 | 1,500,750 | |||||||||
| 550 | JMC Steel Group, Inc., Rule 144A, Senior Notes (Callable 03/15/15 @ 104.13)‡ |
(B-, Caa1) | 03/15/18 | 8.250 | 564,438 | |||||||||
| 1,000 | Tempel Steel Co., Rule 144A, Senior Secured Notes (Callable 08/15/14 @ 106.00)‡ |
(CCC+, Caa1) | 08/15/16 | 12.000 | 945,000 | |||||||||
|
|
|
|||||||||||||
| 3,010,188 | ||||||||||||||
|
|
|
|||||||||||||
| Support-Services (5.4%) |
||||||||||||||
| 600 | CDL Acquisition Co., Inc., Rule 144A, Senior Secured Notes (Callable 04/15/16 @ 106.19)‡ |
(B+, B2) | 10/15/18 | 8.250 | 643,500 | |||||||||
| 1,250 | CoreLogic, Inc., Global Company Guaranteed Notes (Callable 06/01/16 @ 103.63) |
(B+, B1) | 06/01/21 | 7.250 | 1,359,375 | |||||||||
| 1,000 | DigitalGlobe, Inc., Company Guaranteed Notes (Callable 02/01/17 @ 102.63)§ |
(BB, B1) | 02/01/21 | 5.250 | 992,500 | |||||||||
| 500 | Emdeon, Inc., Global Company Guaranteed Notes (Callable 12/31/15 @ 105.50)§ |
(CCC+, Caa1) | 12/31/19 | 11.000 | 583,125 | |||||||||
| 750 | Garda World Security Corp., Rule 144A, Company Guaranteed Notes (Callable 11/15/16 @ 105.44)ठ|
(B-, B3) | 11/15/21 | 7.250 | 804,375 | |||||||||
| 1,731 | H&E Equipment Services, Inc., Global Company Guaranteed Notes (Callable 09/01/17 @ 103.50) |
(B+, B3) | 09/01/22 | 7.000 | 1,912,755 | |||||||||
| 500 | Sabre GLBL, Inc., Rule 144A, Senior Secured Notes (Callable 05/15/15 @ 106.38)‡ |
(B, B1) | 05/15/19 | 8.500 | 554,375 | |||||||||
| 950 | Safway Finance Corp., Rule 144A, Secured Notes (Callable 05/15/15 @ 103.50)‡ |
(B, B3) | 05/15/18 | 7.000 | 1,016,500 | |||||||||
| 575 | The Geo Group, Inc., Global Company Guaranteed Notes (Callable 02/15/16 @ 103.31) |
(B+, B1) | 02/15/21 | 6.625 | 619,562 | |||||||||
| 1,095 | The Geo Group, Inc., Global Company Guaranteed Notes (Callable 04/01/18 @ 102.56)§ |
(B+, B1) | 04/01/23 | 5.125 | 1,078,575 | |||||||||
| 1,200 | United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 05/15/16 @ 103.69) |
(BB-, B2) | 05/15/20 | 7.375 | 1,330,500 | |||||||||
|
|
|
|||||||||||||
| 10,895,142 | ||||||||||||||
|
|
|
|||||||||||||
| Telecom - Integrated/Services (2.2%) |
||||||||||||||
| 350 | Hellas Telecommunications Luxembourg II S.C.A., Rule 144A, Subordinated Notes‡^ø1 |
(NR, NR) | 01/15/15 | 0.000 | — | |||||||||
| 322 | Hughes Satellite Systems Corp., Global Company Guaranteed Notes |
(B-, B3) | 06/15/21 | 7.625 | 364,665 | |||||||||
| 600 | Intelsat Jackson Holdings S.A., Global Company Guaranteed Notes (Callable 04/01/15 @ 103.63) |
(B+, B3) | 04/01/19 | 7.250 | 648,000 | |||||||||
| 750 | Intelsat Jackson Holdings S.A., Global Company Guaranteed Notes (Callable 04/01/16 @ 103.75) |
(B+, B3) | 04/01/21 | 7.500 | 826,875 | |||||||||
| 250 | Intelsat Luxembourg S.A., Rule 144A, Company Guaranteed Notes (Callable 06/01/15 @ 103.38)‡ |
(B-, Caa2) | 06/01/18 | 6.750 | 265,625 | |||||||||
| 800 | Intelsat Luxembourg S.A., Rule 144A, Company Guaranteed Notes (Callable 06/01/17 @ 103.88)ठ|
(B-, Caa2) | 06/01/21 | 7.750 | 845,000 | |||||||||
| 400 | Telesat LLC, Rule 144A, Senior Unsecured Notes (Callable 05/15/14 @ 103.00)‡ |
(B, B3) | 05/15/17 | 6.000 | 415,000 | |||||||||
| 950 | Zayo Capital, Inc., Global Senior Secured Notes (Callable 07/01/15 @ 104.06) |
(B, B1) | 01/01/20 | 8.125 | 1,046,187 | |||||||||
|
|
|
|||||||||||||
| 4,411,352 | ||||||||||||||
|
|
|
|||||||||||||
| Par |
Ratings† |
Maturity |
Rate% | Value | ||||||||||
| CORPORATE BONDS |
||||||||||||||
| Telecom - Wireless (0.8%) |
||||||||||||||
| $ 800 | Sprint Corp., Rule 144A, Company Guaranteed Notes‡ |
(BB-, B1) | 06/15/24 | 7.125 | $ | 842,000 | ||||||||
| 600 | Wind Acquisition Finance S.A., Rule 144A, Secured Notes (Callable 07/15/14 @ 102.94)‡ |
(B+, B3) | 07/15/17 | 11.750 | 772,572 | |||||||||
|
|
|
|||||||||||||
| 1,614,572 | ||||||||||||||
|
|
|
|||||||||||||
| Telecommunications Equipment (1.5%) |
||||||||||||||
| 1,200 | Avaya, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/15 @ 103.50)ठ|
(B, B1) | 04/01/19 | 7.000 | 1,197,000 | |||||||||
| 1,700 | Brightstar Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/14 @ 104.75)‡ |
(BB+, Ba1) | 12/01/16 | 9.500 | 1,861,500 | |||||||||
|
|
|
|||||||||||||
| 3,058,500 | ||||||||||||||
|
|
|
|||||||||||||
| Textiles & Apparel (0.3%) |
||||||||||||||
| 150 | IT Holding Finance S.A., Company Guaranteed Notes€ø |
(NR, NR) | 11/15/25 | 9.875 | 2,036 | |||||||||
| 500 | Takko Luxembourg 2 S.C.A., Rule 144A, Senior Secured Notes (Callable 04/15/16 @ 104.94)‡€ |
(B-, B3) | 04/15/19 | 9.875 | 647,433 | |||||||||
|
|
|
|||||||||||||
| 649,469 | ||||||||||||||
|
|
|
|||||||||||||
| Theaters & Entertainment (2.6%) |
||||||||||||||
| 857 | AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 12/01/15 @ 104.88) |
(B-, B3) | 12/01/20 | 9.750 | 991,977 | |||||||||
| 775 | AMC Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/17 @ 104.41)ठ|
(B-, B3) | 02/15/22 | 5.875 | 790,500 | |||||||||
| 650 | Carmike Cinemas, Inc., Global Secured Notes (Callable 05/15/15 @ 105.53)§ |
(B, B2) | 05/15/19 | 7.375 | 712,563 | |||||||||
| 1,815 | National CineMedia LLC, Global Senior Unsecured Notes (Callable 07/15/16 @ 103.94) |
(B, B2) | 07/15/21 | 7.875 | 2,012,381 | |||||||||
| 650 | WMG Acquisition Corp., Rule 144A, Senior Secured Notes (Callable 01/15/16 @ 104.50)‡ |
(B+, B1) | 01/15/21 | 6.000 | 680,875 | |||||||||
|
|
|
|||||||||||||
| 5,188,296 | ||||||||||||||
|
|
|
|||||||||||||
| Tobacco (0.3%) |
||||||||||||||
| 650 | Vector Group Ltd., Global Senior Secured Notes (Callable 02/15/16 @ 105.81) |
(B+, Ba3) | 02/15/21 | 7.750 | 702,000 | |||||||||
|
|
|
|||||||||||||
| Transportation - Excluding Air/Rail (0.2%) |
||||||||||||||
| 400 | Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes (Callable 01/15/17 @ 105.53)‡ |
(BB-, B1) | 01/15/22 | 7.375 | 410,000 | |||||||||
|
|
|
|||||||||||||
| TOTAL CORPORATE BONDS (Cost $149,334,781) |
155,367,297 | |||||||||||||
|
|
|
|||||||||||||
| BANK LOANS (12.5%) |
||||||||||||||
| Beverages (0.2%) |
||||||||||||||
| 500 | Del Monte Foods, Inc.# |
(CCC+, Caa1) | 08/18/21 | 8.250 | 498,750 | |||||||||
|
|
|
|||||||||||||
| Chemicals (2.0%) |
||||||||||||||
| 1,000 | Oxbow Carbon & Minerals Holdings, Inc.# |
(BB-, B2) | 01/18/20 | 8.000 | 1,025,000 | |||||||||
| 2,000 | Ravago Holdings America, Inc.# |
(BB-, B2) | 12/18/20 | 5.500 | 2,021,250 | |||||||||
| 1,000 | Royal Adhesives and Sealants LLC# |
(CCC+, Caa2) | 01/31/19 | 9.750 | 1,027,500 | |||||||||
|
|
|
|||||||||||||
| 4,073,750 | ||||||||||||||
|
|
|
|||||||||||||
| Consumer Products (0.8%) |
||||||||||||||
| 1,500 | Ranpak Corp.# |
(B-, Caa1) | 04/23/20 | 8.500 | 1,535,625 | |||||||||
|
|
|
|||||||||||||
| Diversified Capital Goods (0.5%) |
||||||||||||||
| 434 | Flint Group Holdings Sarl# |
(NR, NR) | 06/30/18 | 7.334 | 438,242 | |||||||||
| 611 | Flint Group Holdings Sarl# |
(NR, NR) | 12/31/18 | 7.334 | 604,047 | |||||||||
|
|
|
|||||||||||||
| 1,042,289 | ||||||||||||||
|
|
|
|||||||||||||
| Electronics (0.8%) |
||||||||||||||
| 1,500 | Fidji Luxembourg Sarl# |
(BB-, B1) | 12/27/20 | 6.250 | 1,515,000 | |||||||||
|
|
|
|||||||||||||
| Energy - Exploration & Production (0.7%) |
||||||||||||||
| 1,001 | Delek Benelux B.V.€# |
(NR, NR) | 02/08/17 | 5.367 | 1,385,141 | |||||||||
|
|
|
|||||||||||||
| Par |
Ratings† |
Maturity |
Rate% | Value | ||||||||||
| BANK LOANS |
||||||||||||||
| Financial Services (0.5%) |
||||||||||||||
| $ 1,000 | MergerMarket U.S.A., Inc.# |
(CCC+, Caa2) | 01/07/22 | 7.500 | $ | 998,750 | ||||||||
|
|
|
|||||||||||||
| Gaming (0.5%) |
||||||||||||||
| 1,000 | Abercrombie & Kent U.S. Group Holdings, Inc.# |
(NR, NR) | 12/09/18 | 5.000 | 950,000 | |||||||||
|
|
|
|||||||||||||
| Hotels (0.6%) |
||||||||||||||
| 1,250 | Four Seasons Holdings, Inc.# |
(B-, Caa1) | 12/28/20 | 6.250 | 1,273,437 | |||||||||
|
|
|
|||||||||||||
| Investments & Misc. Financial Services (1.3%) |
||||||||||||||
| 1,000 | Ascensus, Inc.# |
(CCC+, Caa1) | 12/11/20 | 9.000 | 1,030,000 | |||||||||
| 750 | ION Trading Technologies Sarl# |
(CCC+, Caa2) | 05/22/21 | 8.250 | 761,561 | |||||||||
| 856 | StoneRiver Group LP# |
(CCC+, Caa1) | 05/29/20 | 8.500 | 867,450 | |||||||||
|
|
|
|||||||||||||
| 2,659,011 | ||||||||||||||
|
|
|
|||||||||||||
| Machinery (0.6%) |
||||||||||||||
| 1,250 | CPM Acquisition Corp.# |
(B, Caa1) | 03/01/18 | 10.250 | 1,271,875 | |||||||||
|
|
|
|||||||||||||
| Oil Field Equipment & Services (0.5%) |
||||||||||||||
| 1,000 | Shelf Drilling Holdings Ltd.# |
(B+, B2) | 10/08/18 | 10.000 | 1,026,250 | |||||||||
|
|
|
|||||||||||||
| Printing & Publishing (0.1%) |
||||||||||||||
| 1,209 | Hibu PLC# |
(NR, NR) | 07/31/14 | 1.500 | 284,194 | |||||||||
|
|
|
|||||||||||||
| Software/Services (1.0%) |
||||||||||||||
| 1,000 | Intralinks, Inc.# |
(NR, NR) | 02/24/19 | 7.250 | 997,500 | |||||||||
| 1,000 | Wall Street Systems Holdings, Inc.# |
(B-, Caa2) | 10/25/20 | 9.250 | 1,010,625 | |||||||||
|
|
|
|||||||||||||
| 2,008,125 | ||||||||||||||
|
|
|
|||||||||||||
| Specialty Retail (0.8%) |
||||||||||||||
| 1,500 | BJ’s Wholesale Club, Inc.# |
(CCC, Caa2) | 03/31/20 | 8.500 | 1,539,750 | |||||||||
|
|
|
|||||||||||||
| Telecom - Integrated/Services (0.8%) |
||||||||||||||
| 1,000 | Coronado Guarantor LLC# |
(CCC+, Caa1) | 05/25/21 | 8.750 | 1,016,250 | |||||||||
| 633 | LTS Buyer LLC# |
(CCC+, Caa1) | 03/28/21 | 8.000 | 645,941 | |||||||||
|
|
|
|||||||||||||
| 1,662,191 | ||||||||||||||
|
|
|
|||||||||||||
| Telecom - Wireless (0.4%) |
||||||||||||||
| 986 | Maritime Telecommunications Network, Inc.# |
(B+, NR) | 03/04/16 | 7.500 | 858,082 | |||||||||
|
|
|
|||||||||||||
| Theaters & Entertainment (0.4%) |
||||||||||||||
| 1,000 | CKX Entertainment, Inc.# |
(B+, B1) | 06/21/17 | 9.000 | 890,000 | |||||||||
|
|
|
|||||||||||||
| TOTAL BANK LOANS (Cost $24,988,214) |
25,472,220 | |||||||||||||
|
|
|
|||||||||||||
| ASSET BACKED SECURITIES (8.7%) |
||||||||||||||
| Collateralized Debt Obligations (8.7%) |
||||||||||||||
| 1,000 | Babson CLO Ltd., 2013-IA, Rule 144A‡# |
(BB, NR) | 04/20/25 | 4.637 | 913,777 | |||||||||
| 1,000 | Carlyle Global Market Strategies CLO Ltd., 2012-4A, Rule 144A‡1 |
(NR, NR) | 01/20/25 | 0.000 | 920,000 | |||||||||
| 2,000 | CIFC Funding Ltd., 2012-2X# |
(BB-, NR) | 12/05/24 | 6.236 | 2,001,828 | |||||||||
| 1,000 | ECP CLO Ltd., 2013-5A, Rule 144A‡# |
(BB, NR) | 01/20/25 | 4.436 | 898,143 | |||||||||
| 1,000 | Gale Force 4 CLO Ltd., 2007-4A, Rule 144A‡# |
(BBB, Ba1) | 08/20/21 | 3.735 | 990,743 | |||||||||
| 1,000 | Greywolf CLO Ltd., 2014-1A, Rule 144A‡^# |
(BB, NR) | 04/22/26 | 5.333 | 943,200 | |||||||||
| 1,000 | Halcyon Loan Advisors Funding Ltd., 2012-2A, Rule 144A‡# |
(BB, NR) | 12/20/24 | 5.635 | 965,176 | |||||||||
| 1,000 | ING Investment Management CLO Ltd., 2012-1RA, Rule 144A‡# |
(B, NR) | 03/14/22 | 7.235 | 1,000,494 | |||||||||
| 1,000 | Jamestown CLO III Ltd., 2013-3A, Rule 144A‡# |
(BB-, NR) | 01/15/26 | 4.843 | 915,094 | |||||||||
| 1,000 | JFIN CLO Ltd., 2013-1A, Rule 144A‡# |
(BB, NR) | 01/20/25 | 4.987 | 924,265 | |||||||||
| 500 | Ocean Trails CLO IV, 2013-4A, Rule 144A‡# |
(B, NR) | 08/13/25 | 6.137 | 468,815 | |||||||||
| 1,000 | OFSI Fund VI Ltd., 2014-6A, Rule 144A‡# |
(BB, NR) | 03/20/25 | 5.236 | 899,515 | |||||||||
| 1,000 | OZLM Funding V Ltd., 2013-5A, Rule 144A‡# |
(BB, NR) | 01/17/26 | 5.028 | 926,130 | |||||||||
| 1,000 | Shackleton I CLO Ltd., 2012-1A, Rule 144A‡# |
(BBB, NR) | 08/14/23 | 4.984 | 1,002,698 | |||||||||
| 1,500 | Shackleton I CLO Ltd., 2012-1A, Rule 144A‡# |
(BB, NR) | 08/14/23 | 6.434 | 1,499,888 | |||||||||
| 1,000 | Shackleton II CLO Ltd., 2012-2A, Rule 144A‡# |
(BB, NR) | 10/20/23 | 5.437 | 960,555 | |||||||||
| 1,000 | TICP CLO I Ltd., 2014-1A, Rule 144A‡^# |
(BB, NR) | 04/26/26 | 4.734 | 901,250 | |||||||||
| 556 | Venture X CLO Ltd., 2012-12A, Rule 144A‡# |
(BB, NR) | 02/28/24 | 5.533 | 534,291 | |||||||||
|
|
|
|||||||||||||
| TOTAL ASSET BACKED SECURITIES (Cost $17,238,707) |
17,665,862 | |||||||||||||
|
|
|
|||||||||||||
| Par |
Ratings† |
Maturity |
Rate% | Value | ||||||||||
| MUNICIPAL BOND (0.3%) |
||||||||||||||
| Puerto Rico (0.3%) |
||||||||||||||
| $ 600 | Commonwealth of Puerto Rico (Callable 07/01/20 @ 100.00) (Cost $558,030) |
(BB+, Ba2) | 07/01/35 | 8.000 | $ | 560,436 | ||||||||
|
|
|
|||||||||||||
| Number of |
||||||||||||||
| COMMON STOCKS (0.3%) |
||||||||||||||
| Automakers (0.0%) |
||||||||||||||
| 1,219 | Safelite Realty Corp.^* |
— | ||||||||||||
|
|
|
|||||||||||||
| Building & Construction (0.1%) |
||||||||||||||
| 14,400 | Ashton Woods U.S.A. LLC, Class B^* |
241,056 | ||||||||||||
|
|
|
|||||||||||||
| Building Materials (0.0%) |
||||||||||||||
| 372 | Dayton Superior Corp.^* |
— | ||||||||||||
|
|
|
|||||||||||||
| Chemicals (0.1%) |
||||||||||||||
| 4,893 | Huntsman Corp. |
119,487 | ||||||||||||
|
|
|
|||||||||||||
| Gaming (0.0%) |
||||||||||||||
| 36,250 | Majestic Holdco LLC* |
24,469 | ||||||||||||
| 1,500 | Progressive Gaming International Corp.* |
2 | ||||||||||||
|
|
|
|||||||||||||
| 24,471 | ||||||||||||||
|
|
|
|||||||||||||
| Media - Broadcast (0.1%) |
||||||||||||||
| 26,986 | Cumulus Media, Inc., Class A§* |
186,473 | ||||||||||||
|
|
|
|||||||||||||
| TOTAL COMMON STOCKS (Cost $375,436) |
571,487 | |||||||||||||
|
|
|
|||||||||||||
| PREFERRED STOCK (0.0%) |
||||||||||||||
| Building Materials (0.0%) |
||||||||||||||
| 413 | Dayton Superior Corp.^* (Cost $156,000) |
— | ||||||||||||
|
|
|
|||||||||||||
| SHORT-TERM INVESTMENTS (12.7%) |
||||||||||||||
| 23,558,615 | State Street Navigator Prime Portfolio, 0.16%§§ |
23,558,615 | ||||||||||||
| Par |
Maturity |
Rate% | ||||||||||||
| $ 2,301 | State Street Bank and Trust Co. Euro Time Deposit |
04/01/14 | 0.010 | 2,301,000 | ||||||||||
|
|
|
|||||||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $25,859,615) |
25,859,615 | |||||||||||||
|
|
|
|||||||||||||
| TOTAL INVESTMENTS AT VALUE (111.0%) (Cost $218,510,783) |
225,496,917 | |||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS (-11.0%) |
(22,380,366 | ) | ||||||||||||
|
|
|
|||||||||||||
| NET ASSETS (100.0%) |
$ | 203,116,551 | ||||||||||||
|
|
|
|||||||||||||
INVESTMENT ABBREVIATIONS
NR = Not Rated
PIK = Payment in Kind
Reg S = Regulation S
| † | Credit ratings given by the Standard & Poor’s Division of The McGraw-Hill Companies, Inc. (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”) are unaudited. |
| ‡ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2014, these securities amounted to a value of $84,858,298 or 41.8% of net assets. |
| § | Security or portion thereof is out on loan. |
| € | This security is denominated in Euro. |
| ^ | 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. |
| * | Non-income producing security. |
| 1 | Zero-coupon security. |
| £ | This security is denominated in British Pound. |
| # | Variable rate obligations — The interest rate is the rate as of March 31, 2014. |
| ø | Bond is currently in default. |
| §§ | Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at March 31, 2014. |
At March 31, 2014, Open Forward Foreign Currency Contracts were as follows:
| Forward Foreign Currency to be Purchased (Local) |
Forward Foreign Currency to be Sold (Local) |
Expiration |
Counterparty |
Value on Settlement Date |
Current Value | Net Unrealized Appreciation/ (Depreciation) |
||||||||||||||||
| EUR | 1,100,000 | USD | 1,487,236 | 04/16/14 | Morgan Stanley | $ | 1,487,236 | $ | 1,516,028 | $ | 28,792 | |||||||||||
| USD | 8,326,312 | EUR | 6,100,000 | 04/16/14 | Morgan Stanley | (8,326,312 | ) | (8,407,066 | ) | (80,754 | ) | |||||||||||
| USD | 1,963,560 | GBP | 1,200,000 | 04/16/14 | Morgan Stanley | (1,963,560 | ) | (2,000,367 | ) | (36,807 | ) | |||||||||||
|
|
|
|||||||||||||||||||||
| $ | (88,769 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
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. Short-term fixed income securities that will mature in 60 days or less may be valued at amortized cost. 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. The forward is valued at the net of the present value and the spot rate and are generally categorized as Level 2. 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 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 by the Fund’s Board of Directors.
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 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, 2014 in valuing the Fund’s assets and liabilities carried at fair value:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Investments in Securities |
||||||||||||||||
| Corporate Bonds |
$ | — | $ | 155,363,321 | $ | 3,976 | $ | 155,367,297 | ||||||||
| Bank Loans |
— | 18,501,497 | 6,970,723 | 25,472,220 | ||||||||||||
| Asset Backed Securities |
— | 15,821,412 | 1,844,450 | 17,665,862 | ||||||||||||
| Municipal Bonds |
— | 560,436 | — | 560,436 | ||||||||||||
| Common Stocks |
305,962 | 24,469 | 241,056 | 571,487 | ||||||||||||
| Preferred Stocks |
— | — | 0 | 0 | ||||||||||||
| Short-term Investments |
— | 25,859,615 | — | 25,859,615 | ||||||||||||
| Other Financial Instruments* |
||||||||||||||||
| Forward Foreign Currency Contracts |
— | (88,769 | ) | — | (88,769 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 305,962 | $ | 216,041,981 | $ | 9,060,205 | $ | 225,408,148 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| * | Other financial instruments include unrealized appreciation/(depreciation) on forward foreign currency contracts. |
The following is a reconciliation of investments as of March 31, 2014 in which significant unobservable inputs (Level 3) 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 |
Asset Backed |
Common Stocks |
Preferred Stock |
Total | |||||||||||||||||||
| Balance as of December 31, 2013 |
$ | 3,943 | $ | 6,992,382 | $ | — | $ | 214,704 | $ | 0 | $ | 7,211,029 | ||||||||||||
| Accrued discounts/premiums |
4 | 31,726 | — | — | — | 31,730 | ||||||||||||||||||
| Purchases |
— | (4,120 | ) | 1,844,450 | — | — | 1,840,330 | |||||||||||||||||
| Sales |
— | (13,698 | ) | — | — | — | (13,698 | ) | ||||||||||||||||
| Realized gain/(loss) |
(850,050 | ) | 1,469 | — | — | — | (848,581 | ) | ||||||||||||||||
| Change in Unrealized appreciation/(depreciation) |
850,079 | (37,036 | ) | — | 26,352 | 0 | 839,395 | |||||||||||||||||
| Transfers Into Level 3 |
— | — | — | — | — | — | ||||||||||||||||||
| Transfers Out of Level 3 |
— | — | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Balance as of March 31, 2014 |
$ | 3,976 | $ | 6,970,723 | $ | 1,844,450 | $ | 241,056 | $ | — | $ | 9,060,205 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net change in unrealized appreciation/(depreciation) from investments still held as of March 31, 2014 |
$ | 114 | $ | (37,062 | ) | $ | — | $ | 26,352 | $ | 0 | $ | (10,596 | ) | ||||||||||
The Fund follows Financial Accounting Standards Board (“FASB”) amendments to authoritative guidance which require the Fund to disclose details of transfers in and out of Level 1 and Level 2 measurements and Level 2 and Level 3 measurements and the reasons for the transfers. For the quarter ended March 31, 2014, there were no transfers in and out of Level 1, Level 2 and Level 3. All transfers are assumed to occur at the end of the reporting period.
Federal Income Tax Cost - At March 31, 2014, the cost of investments (excluding foreign currency related transactions) and net unrealized appreciation/(depreciation) for income tax purposes were as follows:
| Cost of investments |
$ | 218,510,783 | ||
|
|
|
|||
| Unrealized appreciation |
$ | 9,569,274 | ||
| Unrealized depreciation |
(2,583,140 | ) | ||
|
|
|
|||
| Net unrealized appreciation/(depreciation) |
$ | 6,986,134 | ||
|
|
|
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 16, 2014
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 16, 2014
/s/Bruce S. Rosenberg
Name: Bruce S. Rosenberg
Title: Chief Financial Officer
Date: May 16, 2014