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:         July 1, 2014 to September 30, 2014


Item 1: Schedule of Investments


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments

September 30, 2014 (unaudited)

 

Par
(000)

             

Ratings†
(S&P/Moody’s)

     Maturity        Rate%        Value  
                        

 

CORPORATE BONDS (77.6%)

                   

 

Aerospace & Defense (0.4%)

                   
  $       750        

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

     (B, B3)        07/15/18           9.750         $ 814,688   
                        

 

 

 
                        

 

Airlines (0.4%)

                   
  500        

Continental Airlines 2012-3, Class C Pass Thru Certificates§

     (B+, B1)        04/29/18           6.125           530,000   
  200        

United Continental Holdings, Inc., Company Guaranteed Notes

     (B, B2)        06/01/18           6.375           210,000   
                        

 

 

 
                           740,000   
                        

 

 

 
                        

 

Auto Parts & Equipment (1.2%)

                   
  180        

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

     (BB, Ba2)        03/15/20           8.125           190,350   
  500        

Meritor, Inc., Company Guaranteed Notes (Callable 06/15/16 @ 105.06)§

     (B-, B3)        06/15/21           6.750           522,500   
  1,750        

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

     (CCC, Caa1)        02/15/19           8.625           1,696,975   
                        

 

 

 
                           2,409,825   
                        

 

 

 
                        

 

Beverages (0.1%)

                   
  237        

Beverages & More, Inc., Rule 144A, Senior Secured Notes (Callable 11/15/15 @ 105.00)‡

     (CCC+, Caa2)        11/15/18           10.000           223,669   
                        

 

 

 
                        

 

Brokerage (1.5%)

                   
  1,000        

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

     (B, B1)        02/15/18           7.750           1,070,000   
  1,450        

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

     (B, B1)        04/01/20           7.375           1,489,875   
  400        

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

     (B, B1)        04/15/22           6.875           396,000   
                        

 

 

 
                           2,955,875   
                        

 

 

 
                        

 

Building & Construction (1.2%)

                   
  1,000        

AV Homes, Inc., Rule 144A, Senior Unsecured Notes (Callable 07/01/16 @ 106.38)‡

     (B-, Caa1)        07/01/19           8.500           993,750   
  500        

K Hovnanian Enterprises, Inc., Global Senior Secured Notes

     (CCC+, Ba3)        11/01/21           2.000           357,500   
  1,000        

Rialto Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/15 @ 103.50)‡

     (B, B2)        12/01/18           7.000           1,021,875   
                        

 

 

 
                           2,373,125   
                        

 

 

 
                        

 

Building Materials (2.7%)

                   
  1,750        

Euramax International, Inc., Global Senior Secured Notes (Callable 10/31/14 @ 104.75)

     (B-, Caa2)        04/01/16           9.500           1,715,000   
  1,000        

Headwaters, Inc., Global Company Guaranteed Notes (Callable 01/15/16 @ 103.63)

     (CCC+, Caa2)        01/15/19           7.250           1,040,000   
  1,850        

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

     (B+, B2)        04/01/19           7.625           1,937,875   
  650        

Interline Brands, Inc., PIK, Global Senior Unsecured Notes (Callable 11/15/14 @ 105.00)

     (CCC+, Caa2)        11/15/18           10.000           680,875   
                        

 

 

 
                           5,373,750   
                        

 

 

 
                        

 

Chemicals (4.5%)

                   
  150        

Axalta Coating Systems Dutch Holding B, Rule 144A, Company Guaranteed Notes (Callable 02/04/16 @ 105.53)§‡

     (B-, Caa1)        05/01/21           7.375           161,625   
  500        

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

     (BB-, B1)        07/15/21           5.750           497,500   
  1,450        

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

     (BB+, Ba3)        11/15/20           6.375           1,446,375   
  500        

Ineos Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 105.63)§‡

     (BB-, Ba3)        05/01/20           7.500           534,375   
  750        

INEOS Group Holdings S.A., Rule 144A, Company Guaranteed Notes (Callable 02/15/16 @ 102.94)‡

     (B-, B3)        02/15/19           5.875           740,625   
  350        

INEOS Group Holdings S.A., Rule 144A, Company Guaranteed Notes (Callable 05/15/15 @ 103.25)§‡

     (B-, B3)        08/15/18           6.125           350,438   
  1,650        

OMNOVA Solutions, Inc., Global Company Guaranteed Notes (Callable 11/01/14 @ 103.94)

     (B-, B2)        11/01/18           7.875           1,683,000   

 

 


Par
(000)

             

Ratings†
(S&P/Moody’s)

     Maturity        Rate%        Value  
                        

 

CORPORATE BONDS

                   

 

Chemicals

                   
  $       1,125        

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

     (B-, B2)        02/01/19           7.750         $ 1,170,000   
  1,000        

Polymer Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/01/15 @ 105.16)‡

     (CCC+, Caa1)        06/01/19           6.875           998,750   
  276        

Reichhold Industries, Inc., PIK, Rule 144A, Senior Secured Notes (Callable 10/31/14 @ 100.00)‡

     (CC, NR)        05/08/17           9.000           180,963   
  1,000        

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

     (B-, Caa1)        03/31/20           9.750           1,106,250   
                        

 

 

 
                           8,869,901   
                        

 

 

 
                        

 

Consumer Products (2.1%)

                   
  1,595        

Alphabet Holding Co., Inc., PIK, Global Senior Unsecured Notes (Callable 10/31/14 @ 103.00)

     (B-, Caa1)        11/01/17           7.750           1,565,094   
  1,125        

NBTY, Inc., Global Company Guaranteed Notes (Callable 10/31/14 @ 104.50)

     (B, B3)        10/01/18           9.000           1,175,625   
  750        

Ontex IV S.A., Rule 144A, Senior Secured Notes (Callable 09/01/14 @ 103.75)‡€

     (BB-, Ba3)        04/15/18           7.500           984,150   
  400        

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

     (B-, Caa1)        02/01/20           8.125           428,000   
                        

 

 

 
                           4,152,869   
                        

 

 

 
                        

 

Diversified Capital Goods (1.5%)

                   
  1,000        

Anixter, Inc., Global Company Guaranteed Notes

     (BB, Ba3)        05/01/19           5.625           1,056,250   
  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   
         

FCC Holdings Finance Subsidiary, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/31/14 @ 100.00)‡^

     (CCC+, Ca)        12/15/15           13.000           19   
  359        

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

     (BB-, Ba3)        09/01/20           8.750           387,720   
                        

 

 

 
                           3,021,114   
                        

 

 

 
                        

 

Diversified Financial Services (0.7%)

                   
  1,500        

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

     (CCC+, Caa2)        08/01/22           7.250           1,455,000   
                        

 

 

 
                        

 

Electric - Distribution/Transportation (0.5%)

                   
  1,000        

Zebra Technologies Corp., Senior Secured Notes (Callable 10/15/17 @ 105.44)

     (B, B2)        10/15/22           7.250           1,000,000   
                        

 

 

 
                        

 

Electronics (0.5%)

                   
  1,000        

NCSG Crane & Heavy Haul Services, Rule 144A, Secured Notes (Callable 08/15/17 @ 109.50)‡^

     (B-, B3)        08/15/19           9.500           1,007,500   
                        

 

 

 
                        

 

Energy-Exploration & Production (6.1%)

                   
  1,900        

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

     (B-, B3)        04/15/21           6.750           1,966,500   
  1,975        

EPL Oil & Gas, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.13)

     (B, B3)        02/15/18           8.250           2,029,312   
  1,000        

Harkand Finance, Inc., Reg S, Rule 144A, Senior Secured Notes (Callable 03/28/16 @ 104.50)‡1

     (NR, NR)        03/28/19           7.500           1,007,500   
  600        

Memorial Production Finance Corp., Global Company Guaranteed Notes (Callable 05/01/17 @ 103.81)

     (B-, Caa1)        05/01/21           7.625           600,000   
  675        

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

     (B+, B2)        11/01/21           6.500           707,063   
  895        

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

     (B+, B2)        03/15/22           6.875           948,700   
  1,510        

PDC Energy, Inc., Global Company Guaranteed Notes (Callable 10/15/17 @ 103.88)

     (B-, B3)        10/15/22           7.750           1,623,250   
  1,200        

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

     (B-, B3)        11/15/22           7.500           1,242,360   
  1,124        

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

     (B-, B3)        06/15/19           8.500           1,168,960   
  650        

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

     (BB+, Ba2)        03/15/21           5.750           689,000   
                        

 

 

 
                           11,982,645   
                        

 

 

 

 

 

 


Par
(000)

              Ratings†
(S&P/Moody’s)
   Maturity        Rate%        Value  
                      

 

CORPORATE BONDS

                 

 

Food - Wholesale (0.4%)

                 
  $       116        

Big Heart Pet Brands, Global Company Guaranteed Notes (Callable 10/31/14 @ 103.81)

     (CCC+, Caa1)      02/15/19           7.625         $ 115,420   
  600        

Smithfield Foods, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/16 @ 104.41)‡

     (BB-, B2)      08/01/21           5.875           609,000   
                      

 

 

 
                         724,420   
                      

 

 

 
                      

 

Forestry & Paper (0.0%)

                 
  1,000        

Stone & Webster, Inc.^2

     (NR, NR)      10/23/19           0.000           1,000   
                      

 

 

 
                      

 

Gaming (0.8%)

                 
  605        

Choctaw Resort Development Enterprise, Rule 144A, Senior Unsecured Notes (Callable 10/31/14 @ 101.21)‡

     (B-, Caa1)      11/15/19           7.250           605,000   
  750        

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

     (B, B2)      02/15/21           8.250           986,377   
                      

 

 

 
                         1,591,377   
                      

 

 

 
                      

 

Gas Distribution (2.4%)

                 
  1,500        

Energy Transfer Equity LP, Senior Secured Notes

     (BB, Ba2)      10/15/20           7.500           1,676,250   
  350        

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

     (B, B1)      02/15/21           5.750           343,438   
  750        

Genesis Energy LP, Company Guaranteed Notes (Callable 06/15/19 @ 102.81)§

     (B, B1)      06/15/24           5.625           724,687   
  2,000        

Holly Energy Finance Corp., Global Company Guaranteed Notes (Callable 03/01/16 @ 103.25)

     (BB-, B1)      03/01/20           6.500           2,070,000   
                      

 

 

 
                         4,814,375   
                      

 

 

 
                      

 

Health Facilities (2.5%)

                 
  500        

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

     (BB, Ba1)      02/15/22           6.375           536,250   
  1,360        

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

     (BB, Ba1)      05/01/21           6.875           1,462,000   
  696        

Symbion, Inc., Global Company Guaranteed Notes (Callable 10/17/14 @ 100.00)

     (CCC+, Caa2)      08/23/15           11.000           696,000   
  1,175        

Symbion, Inc., Global Senior Secured Notes (Callable 10/30/14 @ 103.75)

     (B, B2)      06/15/16           8.000           1,219,062   
  1,000        

Tenet Healthcare Corp., Global Senior Unsecured Notes

     (CCC+, B3)      04/01/22           8.125           1,100,000   
                      

 

 

 
                         5,013,312   
                      

 

 

 
                      

 

Health Services (2.6%)

                 
  1,600        

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

     (B-, B3)      08/01/19           8.750           1,600,000   
  232        

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

     (CCC, Caa2)      08/15/18           10.000           215,760   
  168        

inVentiv Health, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/31/14 @ 105.00)‡

     (CCC, Caa3)      08/15/18           10.000           136,080   
  1,523        

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

     (B, B3)      11/15/18           8.000           1,587,727   
  550        

Service Corp. International, Senior Unsecured Notes§

     (BB-, B1)      11/15/21           8.000           646,250   
  1,000        

STHI Holding Corp., Rule 144A, Secured Notes (Callable 10/31/14 @ 106.00)‡

     (B, B2)      03/15/18           8.000           1,036,250   
                      

 

 

 
                         5,222,067   
                      

 

 

 
                      

 

Insurance Brokerage (2.0%)

                 
  1,850        

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

     (CCC+, Caa2)      12/15/20           7.875           1,924,000   
  775        

Hub Holdings Finance, Inc., PIK, Rule 144A, Senior Unsecured Notes (Callable 07/15/15 @ 102.00)‡

     (CCC+, Caa2)      07/15/19           8.125           761,438   
  900        

Onex York Acquisition Corp., Rule 144A, Company Guaranteed Notes (Callable 10/01/17 @ 106.38)‡

     (CCC+, Caa2)      10/01/22           8.500           897,750   
  300        

Towergate Finance PLC, Rule 144A, Senior Secured Notes (Callable 10/30/14 @ 101.00)‡£#

     (NR, B1)      02/15/18           6.060           447,437   
                      

 

 

 
                         4,030,625   
                      

 

 

 

 

 

 


Par
(000)

              Ratings†
(S&P/Moody’s)
   Maturity        Rate%        Value  
                      

 

CORPORATE BONDS

                 

 

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         $ 1,324,780   
                      

 

 

 
                      

 

Leisure (0.6%)

                 
  1,250        

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/16 @ 103.94)‡

     (BB-, B3)      01/15/21           5.250           1,218,750   
                      

 

 

 
                      

 

Media - Broadcast (0.8%)

                 
  1,000        

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

     (B+, B1)      11/01/21           6.375           1,027,500   
  573        

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

     (B+, B1)      10/01/22           6.125           585,893   
                      

 

 

 
                         1,613,393   
                      

 

 

 
                      

 

Media - Cable (1.9%)

                 
  800        

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

     (BB-, B1)      01/15/22           6.500           822,000   
  150        

Cablevision Systems Corp., Senior Unsecured Notes

     (B, B1)      04/15/18           7.750           163,125   
  600        

Cablevision Systems Corp., Senior Unsecured Notes

     (B, B1)      04/15/20           8.000           662,250   
  1,000        

DISH DBS Corp., Global Company Guaranteed Notes

     (BB-, Ba3)      06/01/21           6.750           1,077,500   
  1,000        

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

     (B-, Caa1)      04/01/20           9.125           1,095,000   
                      

 

 

 
                         3,819,875   
                      

 

 

 
                      

 

Media - Diversified (2.2%)

                 
  1,750        

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

     (BB-, Ba3)      02/01/20           7.250           1,824,375   
  1,815        

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

     (B, B2)      07/15/21           7.875           1,969,275   
  600        

Outerwall, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/17 @ 104.41)‡

     (BB-, Ba3)      06/15/21           5.875           568,500   
                      

 

 

 
                         4,362,150   
                      

 

 

 
                      

 

Media - Services (1.8%)

                 
  425        

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

     (B, B1)      11/15/22           6.500           432,438   
  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           1,515,562   
  1,650        

WMG Acquisition Corp., Rule 144A, Senior Secured Notes (Callable 01/15/16 @ 104.50)‡

     (B+, B1)      01/15/21           6.000           1,678,875   
                      

 

 

 
                         3,626,875   
                      

 

 

 
                      

 

Metals & Mining - Excluding Steel (5.8%)

                 
  1,350        

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

     (CCC, Caa2)      04/01/21           7.000           1,046,250   
  700        

Boart Longyear Management Pty. Ltd., Rule 144A, Senior Secured Notes‡

     (B-, B3)      10/01/18           10.000           738,500   
  1,350        

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

     (BB, Ba3)      05/01/18           6.875           1,397,250   
  1,050        

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

     (BB, Ba3)      12/15/20           6.125           1,047,375   
  1,100        

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

     (B, B3)      06/01/19           9.500           1,226,500   
  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   
  1,500        

Noranda Aluminum Acquisition Corp., Global Company Guaranteed Notes (Callable 03/01/16 @ 105.50)

     (CCC+, Caa2)      06/01/19           11.000           1,552,500   
  1,700        

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

     (B, B3)      04/15/19           7.750           1,700,000   
  1,500        

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

     (NR, NR)      05/15/19           9.250           877,500   
                      

 

 

 
                         11,537,335   
                      

 

 

 

 

 

 


Par
(000)

              Ratings†
(S&P/Moody’s)
   Maturity        Rate%        Value  
                      

 

CORPORATE BONDS

                 

 

Oil Field Equipment & Services (4.9%)

                 
  $       1,900        

Calfrac Holdings LP, Rule 144A, Company Guaranteed Notes (Callable 12/01/15 @ 103.75)‡

     (BB-, B1)      12/01/20           7.500         $ 1,995,000   
  800        

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

     (B, B2)      08/01/19           8.125           812,000   
  1,200        

Pacific Drilling S.A., Reg S, Senior Unsecured Notes1

     (NR, NR)      02/23/15           8.250           1,218,000   
  600        

Pacific Drilling V Ltd., Rule 144A, Senior Secured Notes (Callable 12/01/15 @ 103.63)‡

     (B+, B2)      12/01/17           7.250           604,500   
  950        

Parker Drilling Co., Rule 144A, Company Guaranteed Notes (Callable 01/15/18 @ 103.38)‡

     (B+, B1)      07/15/22           6.750           959,500   
  1,500        

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

     (B+, Ba3)      11/01/18           8.625           1,582,500   
  1,500        

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

     (B-, B3)      11/15/19           9.750           1,515,000   
  1,000        

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

     (BB, B1)      01/15/19           7.875           1,039,375   
                      

 

 

 
                         9,725,875   
                      

 

 

 
                      

 

Oil Refining & Marketing (2.8%)

                 
  500        

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

     (B+, B1)      08/15/22           6.250           521,250   
  2,000        

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

     (B+, B2)      11/01/22           6.500           2,050,000   
  975        

Northern Tier Finance Corp., Global Senior Secured Notes (Callable 11/15/15 @ 105.34)

     (BB-, B1)      11/15/20           7.125           1,033,500   
  1,850        

PBF Finance Corp., Global Senior Secured Notes (Callable 02/15/16 @ 104.13)

     (BB+, Ba3)      02/15/20           8.250           1,947,125   
                      

 

 

 
                         5,551,875   
                      

 

 

 
                      

 

Packaging (1.9%)

                 
  1,000        

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

     (CCC+, Caa1)      01/31/21           6.750           1,002,500   
  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           89,559   
  300        

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

     (CCC+, Caa1)      10/15/20           9.250           407,398   
  1,850        

Reynolds Group Issuer LLC, Global Company Guaranteed Notes (Callable 02/15/16 @ 104.13)

     (CCC+, Caa2)      02/15/21           8.250           1,965,625   
  330        

Signode Industrial Group U.S., Inc., Rule 144A, Senior Unsecured Notes (Callable 05/01/17 @ 104.78)‡

     (CCC+, Caa1)      05/01/22           6.375           317,625   
                      

 

 

 
                         3,782,707   
                      

 

 

 
                      

 

Pharmaceuticals (0.4%)

                 
  800        

Capsugel S.A., PIK, Rule 144A, Senior Unsecured Notes (Callable 11/15/14 @ 102.00)‡

     (B-, Caa1)      05/15/19           7.000           799,500   
                      

 

 

 
                      

 

Printing & Publishing (0.6%)

                 
  1,000        

Harland Clarke Holdings Corp., Rule 144A, Senior Secured Notes (Callable 08/01/15 @ 104.88)‡

     (B+, B1)      08/01/18           9.750           1,072,500   
                      

 

 

 
                      

 

Real Estate Investment Trusts (1.9%)

                 
  2,000        

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

     (B, Ba3)      04/15/19           7.250           2,065,000   
  1,200        

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

     (B+, B3)      07/01/19           5.000           1,161,000   
  425        

QTS Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/17 @ 104.41)§‡

     (B+, B2)      08/01/22           5.875           417,562   
                      

 

 

 
                         3,643,562   
                      

 

 

 
                      

 

Restaurants (0.9%)

                 
  650        

New Red Finance, Inc., Rule 144A, Secured Notes (Callable 10/01/17 @ 103.00)‡

     (B-, Caa1)      04/01/22           6.000           649,188   
  1,100        

Seminole Hard Rock International LLC, Rule 144A, Company Guaranteed Notes (Callable 05/15/16 @ 104.41)‡

     (BB-, B2)      05/15/21           5.875           1,067,000   
                      

 

 

 
                         1,716,188   
                      

 

 

 

 

 

 


Par
(000)

              Ratings†
(S&P/Moody’s)
   Maturity        Rate%        Value  
                      

 

CORPORATE BONDS

                 

 

Software - Services (4.2%)

                 
  $       1,000        

Comdata, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/14/14 @ 100.00)‡

     (CCC, Caa2)      11/15/17           8.125         $     1,003,750   
  1,850        

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

     (CCC+, B3)      05/01/19           8.625           1,965,625   
  775        

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

     (BB-, B1)      06/15/19           7.375           817,702   
  422        

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

     (BB-, B1)      11/01/20           6.750           448,375   
  625        

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

     (B-, Caa1)      04/01/19           10.000           884,275   
  1,500        

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

     (BB-, B2)      01/15/23           4.500           1,335,000   
  1,698        

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

     (B-, Caa1)      01/15/19           9.125           1,787,145   
                      

 

 

 
                         8,241,872   
                      

 

 

 
                      

 

Specialty Retail (0.8%)

                 
  1,450        

Brown Shoe Co., Inc., Global Company Guaranteed Notes (Callable 10/31/14 @ 105.34)

     (B+, B3)      05/15/19           7.125           1,522,500   
                      

 

 

 
                      

 

Steel Producers/Products (0.3%)

                 
  550        

JMC Steel Group, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/31/14 @ 106.19)§‡

     (B-, Caa1)      03/15/18           8.250           557,563   
                      

 

 

 
                      

 

Support - Services (3.2%)

                 
  1,075        

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

     (B+, B1)      06/01/21           7.250           1,134,125   
  750        

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

     (B-, Caa1)      11/15/21           7.250           750,000   
  1,731        

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

     (B+, B3)      09/01/22           7.000           1,856,497   
  950        

Safway Finance Corp., Rule 144A, Secured Notes (Callable 05/15/15 @ 103.50)‡§

     (B, B3)      05/15/18           7.000           971,375   
  575        

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

     (B+, Ba3)      02/15/21           6.625           606,625   
  915        

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

     (BB-, B1)      05/15/20           7.375           976,763   
                      

 

 

 
                         6,295,385   
                      

 

 

 
                      

 

Telecom - Integrated/Services (2.9%)

                 
  925        

Altice S.A., Rule 144A, Senior Secured Notes (Callable 05/15/17 @ 105.81)‡

     (B, B3)      05/15/22           7.750           957,375   
  350        

Hellas Telecommunications Luxembourg II S.C.A., Rule 144A, Subordinated Notes‡^2ø

     (NR, NR)      01/15/15           0.000             
  322        

Hughes Satellite Systems Corp., Global Company Guaranteed Notes

     (B-, B3)      06/15/21           7.625           352,590   
  600        

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

     (B+, B3)      04/01/19           7.250           632,250   
  750        

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

     (B+, B3)      04/01/21           7.500           803,437   
  250        

Intelsat Luxembourg S.A., Global Company Guaranteed Notes (Callable 06/01/15 @ 103.38)

     (B-, Caa2)      06/01/18           6.750           258,125   
  800        

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

     (B-, Caa2)      06/01/21           7.750           818,000   
  700        

Numericable Group S.A., Rule 144A, Senior Secured Notes (Callable 05/15/17 @ 104.50)‡

     (B+, Ba3)      05/15/22           6.000           706,125   
  1,200        

Numericable Group S.A., Rule 144A, Senior Secured Notes (Callable 05/15/19 @ 103.13)‡

     (B+, Ba3)      05/15/24           6.250           1,198,500   
                      

 

 

 
                         5,726,402   
                      

 

 

 
                      

 

Telecom - Wireless (1.1%)

                 
  650        

Sprint Corp., Rule 144A, Company Guaranteed Notes‡

     (BB-, B1)      06/15/24           7.125           657,312   
  1,575        

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

     (BB, Ba3)      03/01/25           6.375           1,575,000   
                      

 

 

 
                         2,232,312   
                      

 

 

 

 

 

 


 

Par
(000)

              Ratings†
(S&P/Moody’s)
   Maturity        Rate%        Value  
                                          

 

CORPORATE BONDS

                 

 

Telecommunications Equipment (1.5%)

                 
  $       1,200        

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

     (B, B1)      04/01/19           7.000         $     1,170,000   
  1,700        

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

     (BB+, Ba1)      12/01/16           9.500           1,808,375   
                      

 

 

 
                         2,978,375   
                      

 

 

 
                      

 

Textiles & Apparel (0.3%)

                 
  150        

IT Holding Finance S.A., Company Guaranteed Notes€ø

     (NR, NR)      11/15/25           9.875           1,866   
  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           546,356   
                      

 

 

 
                         548,222   
                      

 

 

 
                      

 

Theaters & Entertainment (1.3%)

                 
  50        

Activision Blizzard, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/15/18 @ 103.06)§‡

     (BB+, Ba2)      09/15/23           6.125           53,250   
  775        

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

     (B-, B3)      02/15/22           5.875           784,688   
  857        

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

     (B-, B3)      12/01/20           9.750           948,056   
  650        

Carmike Cinemas, Inc., Global Secured Notes (Callable 05/15/15 @ 105.53)

     (BB, B1)      05/15/19           7.375           692,250   
                      

 

 

 
                         2,478,244   
                      

 

 

 
                      

 

Transportation - Excluding Air/Rail (0.7%)

                 
  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           381,500   
  1,000        

Teekay Offshore Finance Corp., Global Senior Unsecured Notes

     (NR, NR)      07/30/19           6.000           982,500   
                      

 

 

 
                         1,364,000   
                      

 

 

 
                      

 

TOTAL CORPORATE BONDS (Cost $152,637,790)

                    153,517,377   
                      

 

 

 
                      

 

BANK LOANS (13.6%)

                 

 

Auto Parts & Equipment (0.4%)

                 
  750        

Jason, Inc.#

     (CCC+, Caa1)      05/21/22           9.000           742,500   
                      

 

 

 
                      

 

Beverages (0.2%)

                 
  500        

Del Monte Foods, Inc.#

     (CCC+, Caa1)      08/18/21           8.250           456,668   
                      

 

 

 
                      

 

Building Materials (0.6%)

                 
  1,184        

Panolam Industries International, Inc.#

     (BB-, B2)      08/30/17           7.757           1,183,562   
                      

 

 

 
                      

 

Chemicals (2.4%)

                 
  1,750        

AZ Chem U.S., Inc.#

     (B-, B1)      06/12/22           7.500           1,763,851   
  1,990        

Ravago Holdings America, Inc.#

     (BB-, B2)      12/20/20           5.500           1,997,473   
  1,000        

Royal Adhesives and Sealants LLC#

     (CCC+, Caa2)      01/31/19           9.750           1,016,665   
                      

 

 

 
                         4,777,989   
                      

 

 

 
                      

 

Consumer Products (0.8%)

                 
  1,500        

Ranpak Corp.#

     (B-, Caa1)      04/23/20           8.500           1,519,372   
                      

 

 

 
                      

 

Electronics (0.8%)

                 
  1,463        

FIDJI Luxembourg (BC4) Sarl#

     (BB-, B1)      12/24/20           6.250           1,474,383   
                      

 

 

 
                      

 

Financial Services (0.5%)

                 
  1,000        

Mergermarket U.S.A., Inc.#

     (CCC+, Caa2)      02/04/22           7.500           965,000   
                      

 

 

 
                      

 

Gaming (0.9%)

                 
  993        

Abercrombie & Kent U.S. Group Holdings, Inc.^#

     (NR, NR)      12/09/18           5.000           947,837   
  750        

CBAC Borrower LLC#

     (B-, B3)      07/02/20           8.250           766,875   
                      

 

 

 
                         1,714,712   
                      

 

 

 
                      

 

Health Services (0.4%)

                 
  750        

Phillips-Medisize Corp.#

     (CCC+,Caa2)      06/16/22           8.250           745,313   
                      

 

 

 

 

 

 


Par
(000)

              Ratings†
(S&P/Moody’s)
   Maturity        Rate%        Value  
                      

 

BANK LOANS

                 

 

Hotels (0.6%)

                 
  $       1,250        

Four Seasons Holdings, Inc.#

     (B-, Caa1)      12/28/20           6.250         $     1,254,687   
                      

 

 

 
                      

 

Investments & Misc. Financial Services (1.5%)

                 
  1,000        

Ascensus, Inc.#

     (CCC+, Caa1)      12/02/20           9.000           1,015,000   
  494        

Liquidnet Holdings, Inc.#

     (B, B3)      05/22/19           7.750           491,281   
  1,500        

Transfirst Holdings, Inc.#

     (NR, Caa1)      06/27/18           8.000           1,496,250   
                      

 

 

 
                         3,002,531   
                      

 

 

 
                      

 

Machinery (0.6%)

                 
  1,250        

CPM Acquisition Corp.#

     (B, Caa1)      03/01/18           10.250           1,268,750   
                      

 

 

 
                      

 

Media - Broadcast (0.3%)

                 
  500        

All3Media International€#

     (B, B3)      06/30/22           8.250           627,283   
                      

 

 

 
                      

 

Oil Field Equipment & Services (0.5%)

                 
  1,000        

Shelf Drilling Holdings Ltd.#

     (B+, B1)      10/08/18           10.000           1,007,500   
                      

 

 

 
                      

 

Packaging (0.4%)

                 
  750        

Berlin Packaging LLC#

     (CCC+, Caa2)      09/24/22           6.750           755,625   
                      

 

 

 
                      

 

Printing & Publishing (0.1%)

                 
  21        

HIBU Connect S.A.£#

     (CCC+, NR)      03/03/19           1.500             
  509        

YH Ltd.#

     (CCC-, NR)      03/03/24           1.000             
  240        

YH Ltd.#

     (CCC+, NR)      03/03/19           5.233           233,459   
                      

 

 

 
                         233,459   
                      

 

 

 
                      

 

Software - Services (0.5%)

                 
  995        

Intralinks, Inc.#

     (BB, B2)      02/21/19           7.250           990,025   
                      

 

 

 
                      

 

Specialty Retail (0.8%)

                 
  1,500        

BJ’s Wholesale Club, Inc.#

     (CCC, Caa2)      03/26/20           8.500           1,513,597   
                      

 

 

 
                      

 

Telecom - Integrated/Services (0.5%)

                 
  1,000        

Omnitracs, Inc.#

     (CCC+, Caa1)      05/25/21           8.750           999,375   
                      

 

 

 
                      

 

Telecom - Wireless (0.4%)

                 
  918        

Maritime Telecommunications Network, Inc.#

     (B+, NR)      03/03/16           7.500           876,650   
                      

 

 

 
                      

 

Theaters & Entertainment (0.4%)

                 
  1,000        

CKX, Inc.#

     (B+, B2)      06/21/17           9.000           875,000   
                      

 

 

 
                      

 

TOTAL BANK LOANS (Cost $26,732,909)

                    26,983,981   
                      

 

 

 
                      

 

ASSET BACKED SECURITIES (7.0%)

                 

 

Collateralized Debt Obligations (7.0%)

                 
  1,000        

Carlyle Global Market Strategies CLO Ltd., 2012-4A, Rule 144A‡2

     (NR, NR)      01/20/25           0.000           968,318   
  2,000        

CIFC Funding Ltd., 2012-2X#

     (BB-, NR)      12/05/24           6.234           1,998,832   
  1,000        

ECP CLO Ltd., 2013-5A, Rule 144A‡#

     (BB, NR)      01/20/25           4.434           892,533   
  1,000        

Galaxy XIV CLO Ltd., 2012-14A, Rule 144A‡#

     (BB, NR)      11/15/24           5.634           950,838   
  1,000        

Halcyon Loan Advisors Funding Ltd., 2012-2A, Rule 144A‡#

     (BB, NR)      12/20/24           5.633           936,516   
  1,000        

Hildene CLO II Ltd., 2014-2A, Rule 144A‡#

     (NR, Ba3)      07/19/26           5.376           917,676   
  1,000        

ING Investment Management CLO Ltd., 2012-1RA, Rule 144A‡#

     (B, NR)      03/14/22           6.734           989,943   
  1,000        

Jamestown CLO III Ltd., 2013-3A, Rule 144A‡#

     (BB-, NR)      01/15/26           4.834           879,276   
  1,000        

JFIN CLO Ltd., 2013-1A, Rule 144A‡#

     (BB, NR)      01/20/25           4.984           894,635   
  1,500        

Ocean Trails CLO IV, 2013-4A, Rule 144A‡#

     (B, NR)      08/13/25           6.134           1,326,755   
  1,000        

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

     (BB, NR)      08/14/23           6.435           969,848   
  1,325        

Venture XVII CLO Ltd., 2014-17A, Rule 144A‡#

     (NR, Ba2)      07/15/26           5.284           1,178,758   
  1,000        

WhiteHorse VIII Ltd., 2014-1A, Rule 144A‡#

     (NR, Ba3)      05/01/26           4.790           883,732   
                      

 

 

 

 

TOTAL ASSET BACKED SECURITIES (Cost $13,932,411)

                    13,787,660   
                      

 

 

 
                      

Number of
Shares

                                        
                      

 

COMMON STOCKS (0.2%)

                 

 

Automakers (0.0%)

                 
  1,219        

Safelite Realty Corp.^*

                      
                      

 

 

 

 

 

 


Number of
Shares

                             Value  
                

COMMON STOCKS

           

Building & Construction (0.1%)

           
       14,400     

Ashton Woods U.S.A. LLC, Class B^*

            $ 196,848   
                

 

 

 
                

Building Materials (0.0%)

           
372     

Dayton Superior Corp.^*

                
                

 

 

 
                

Gaming (0.0%)

           
36,250     

Majestic Holdco LLC^*

              25,375   
1,500     

Progressive Gaming International Corp.*

              6   
                

 

 

 
                   25,381   
                

 

 

 

Media (0.0%)

           
196,453     

Hibu PLC£*

                
                

 

 

 
                

Media - Broadcast (0.1%)

           
26,986     

Cumulus Media, Inc., Class A§*

              108,754   
                

 

 

 
                

TOTAL COMMON STOCKS (Cost $323,655)

              330,983   
                

 

 

 
                

PREFERRED STOCK (0.0%)

           

Building Materials (0.0%)

           
413     

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

                
                

 

 

 
                

SHORT-TERM INVESTMENTS (8.0%)

           
13,336,676     

State Street Navigator Prime Portfolio, 0.15%§§

              13,336,676   
                

Par
(000)

               Maturity      Rate%         
                
$2,585     

State Street Bank and Trust Co. Euro Time Deposit

        10/01/14         0.010         2,585,000   
                

 

 

 
                

TOTAL SHORT-TERM INVESTMENTS (Cost $15,921,676)

              15,921,676   
                

 

 

 
                

TOTAL INVESTMENTS AT VALUE (106.4%) (Cost $209,704,441)

              210,541,677   
                

LIABILITIES IN EXCESS OF OTHER ASSETS (-6.4%)

              (12,593,151
                

 

 

 
                

NET ASSETS (100.0%)

            $ 197,948,526   
                

 

 

 

INVESTMENT ABBREVIATIONS

NR = Not Rated

PIK = Payment in Kind

 

 

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 or portion thereof is out on loan.
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 September 30, 2014, these securities amounted to a value of $78,777,539 or 39.8% of net assets.
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.
1  REG S: Securities sold under Regulation S may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
2  Zero coupon security.
£ This security is denominated in British Pound.
# Variable rate obligations — The interest rate is the rate as of September 30, 2014.
ø Bond is currently in default.
* Non-income producing security.
§§ Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at September 30, 2014.

 

 


 

Forward Foreign Currency Contracts

 

Forward Foreign
Currency to be
Purchased (Local)

    

Forward Foreign
Currency to be
Sold (Local)

    

    Expiration    

Date

  

Counterparty

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

EUR

    1,350,000      

USD

     1,734,264       10/15/14    Morgan Stanley    $ 1,734,264      $ 1,705,530      $ (28,734

USD

    6,901,746      

EUR

     5,075,000       10/15/14    Morgan Stanley      (6,901,746     (6,411,529     490,217   

USD

    1,999,436      

GBP

     1,170,000       10/15/14    Morgan Stanley      (1,999,436     (1,896,536     102,900   
                    

 

 

 
                    
                     $ 564,383   
                    

 

 

 

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. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board of Directors (the “Board”) to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved and established by the Fund’s 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 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 September 30, 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

   $       $ 152,508,858       $ 1,008,519       $ 153,517,377   

Bank Loans

             26,036,144         947,837         26,983,981   

Asset Backed Securities

             13,787,660                 13,787,660   

Common Stocks

     108,760                 222,223         330,983   

Preferred Stocks

                               

Short-term Investments

             15,921,676                 15,921,676   

Other Financial Instruments*

           

Forward Foreign Currency Contracts

             564,383                 564,383   
  

 

 

    

 

 

    

 

 

    

 

 

 
   $         108,760       $     208,818,721       $       2,178,579       $     211,106,060   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

*

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

The following is a reconciliation of investments as of September 30, 2014 in which significant unobservable inputs were used in determining value. Transfers in or out of Level 3 represent the end of the period value of any security or instrument where a change in the level has occurred from the beginning to the end of the period.

 

     Corporate
Bonds
    Bank Loans     Common
Stocks
    Preferred
Stocks
     Total  

Balance as of December 31, 2013

   $ 3,943      $ 6,992,382      $ 214,704      $ 0       $ 7,211,029   

Accrued discounts (premiums)

     5        95,992                       95,997   

Purchases

     1,000,038        944,792                       1,944,830   

Sales

     (4,045     (1,407,341                    (1,411,386

Realized gain (loss)

     (849,933     133,869                       (716,064

Change in unrealized appreciation (depreciation)

     857,511        (257,084     (17,856     0         582,571   

Transfers into Level 3

     1,000               25,375                26,375   

Transfers out of Level 3

            (5,554,773                    (5,554,773
  

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Balance as of September 30, 2014

   $ 1,008,519      $ 947,837      $ 222,223      $ 0       $ 2,178,579   
  

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Net change in unrealized appreciation (depreciation) from investments still held as of September 30, 2014

   $ 7,546      $ 468      $ (17,856   $ 0       $ (9,842

The Fund follows Financial Accounting Standards Board (“FASB”) amendments to authoritative guidance which requires 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 September 30, 2014, there were no significant transfers in and out of Level 1 and Level 2, but there was $26,375 transferred in from Level 2 to Level 3 due to lack of observable market data because of decrease in market activity and $5,554,773 transferred out from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs. All transfers 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:       November 13, 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:       November 13, 2014

/s/Bruce S. Rosenberg

Name:     Bruce S. Rosenberg

Title:       Chief Financial Officer

Date:       November 13, 2014