Credit Suisse Asset Management Income Fund, Inc.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-05012

CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.

(Exact name of registrant as specified in charter)

c/o Credit Suisse Asset Management, LLC

One Madison Avenue

New York, New York 10010

(Address of principal executive offices) (Zip code)

John G. Popp

One Madison Avenue

New York, New York 10010

(Name and address of agent for service)

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

Date of fiscal year-end:         December 31st

Date of reporting period:       January 1, 2015 to March 31, 2015

 

 

 


Item 1: Schedule of Investments

 

 

 


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments

March 31, 2015 (unaudited)

 

Par
(000)
           

Ratings†
(S&P/Moody’s)

     Maturity        Rate%        Value  
                      

 

CORPORATE BONDS (78.0%)

                   

 

Advertising (2.6%)

                   
$           425      

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

     (B, B1)        11/15/22           6.500         $        443,063   
  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           1,559,812   
  1,270      

Southern Graphics, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/15 @ 106.28)1

     (CCC+, Caa1)        10/15/20           8.375           1,292,225   
  1,650      

WMG Acquisition Corp., Rule 144A, Senior Secured Notes (Callable 01/15/16 @ 104.50)1

     (B+, B1)        01/15/21           6.000           1,691,250   
                      

 

 

 
  4,986,350   
                      

 

 

 
         

 

Auto Parts & Equipment (1.8%)

  500   

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

(B, B2)   06/15/21      6.750      520,000   
  1,150   

MPG Holdco I, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/17 @ 105.53)1

(B+, B3)   10/15/22      7.375      1,234,812   
  1,750   

UCI International, Inc., Global Company Guaranteed Notes (Callable 05/01/15 @ 104.31)

(CCC, Caa2)   02/15/19      8.625      1,592,500   
                      

 

 

 
  3,347,312   
                      

 

 

 
         

 

Banking (0.8%)

  1,500   

CCRE Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/15 @ 105.81)1

(B+, B1)   02/15/18      7.750      1,575,000   
  4 

FCC Holdings Finance Subsidiary, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/01/15 @ 100.00)1,2,3

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

 

 

 
  1,575,019   
                      

 

 

 
         

 

Building & Construction (1.1%)

  1,000   

AV Homes, Inc., Rule 144A, Senior Unsecured Notes (Callable 07/01/16 @ 106.38)1

(B-, Caa1)   07/01/19      8.500      953,750   
  500   

K Hovnanian Enterprises, Inc., Global Senior Secured Notes

(CCC+, Ba3)   11/01/21      2.000      342,500   
  700   

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

(B+, B3)   01/15/23      8.250      743,750   
                      

 

 

 
  2,040,000   
                      

 

 

 
         

 

Building Materials (2.3%)

  2,000   

Euramax International, Inc., Global Senior Secured Notes (Callable 05/01/15 @ 100.00)5

(CCC, Caa2)   04/01/16      9.500      1,890,000   
  1,000   

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

(B-, Caa1)   01/15/19      7.250      1,052,500   
  1,288   

Interline Brands, Inc.,10.000% Cash,10.750% PIK, Global Senior Unsecured Notes (Callable 05/01/15 @ 105.00)5,6

(CCC+, Caa2)   11/15/18      20.750      1,355,620   
                      

 

 

 
  4,298,120   
                      

 

 

 
         

 

Cable & Satellite TV (4.8%)

  800   

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

(BB-, B1)   01/15/22      6.500      823,000   
  400   

Altice S.A., Rule 144A, Company Guaranteed Notes (Callable 02/15/20 @ 103.81)1

(B, B3)   02/15/25      7.625      402,750   
  925   

Altice S.A., Rule 144A, Company Guaranteed Notes (Callable 05/15/17 @ 105.81)1

(B, B3)   05/15/22      7.750      942,922   
  1,750   

Block Communications, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/01/16 @ 103.63)1

(B+, B1)   02/01/20      7.250      1,789,375   
  600   

Cablevision Systems Corp., Senior Unsecured Notes5

(B, B1)   04/15/20      8.000      681,000   
  1,000   

DISH DBS Corp., Global Company Guaranteed Notes

(BB-, Ba3)   06/01/21      6.750      1,067,500   
  230   

DISH DBS Corp., Global Company Guaranteed Notes

(BB-, Ba3)   11/15/24      5.875      230,862   
  1,000   

Harron Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 04/01/16 @ 104.56)1

(BB-, B3)   04/01/20      9.125      1,098,750   
  700   

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

(B+, Ba3)   05/15/22      6.000      709,625   
  1,200   

Numericable-SFR SAS, Rule 144A, Senior Secured Notes (Callable 05/15/19 @ 103.13)1,5

(B+, Ba3)   05/15/24      6.250      1,216,500   

 

 

 


 

Par
(000)
             

Ratings†
(S&P/Moody’s)

     Maturity        Rate%        Value  
                        

 

CORPORATE BONDS

                   

 

Cable & Satellite TV

                   
$           200        

Virgin Media Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 01/15/20 @ 102.88)1

     (B, B2)        01/15/25           5.750         $        208,060   
                        

 

 

 
  9,170,344   
                        

 

 

 
         

 

Chemicals (4.5%)

  150   

Axalta Coating Systems Dutch Holding B, Rule 144A, Company Guaranteed Notes (Callable 02/04/16 @ 105.53)1

(B-, Caa1)   05/01/21      7.375      162,000   
  1,350   

Calcipar S.A., Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 103.44)1

(BB, Ba3)   05/01/18      6.875      1,373,625   
  500   

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

(BB-, B1)   07/15/21      5.750      509,375   
  1,450   

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

(BB-, B1)   11/15/20      6.375      1,174,500   
  500   

Ineos Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 105.63)1,5

(BB-, Ba3)   05/01/20      7.500      529,375   
  750   

Ineos Group Holdings S.A., Rule 144A, Secured Notes (Callable 02/15/16 @ 102.94)1,5

(B-, B3)   02/15/19      5.875      743,438   
  350   

Ineos Group Holdings S.A., Rule 144A, Secured Notes (Callable 05/15/15 @ 103.25)1,5

(B-, B3)   08/15/18      6.125      353,500   
  1,360   

OMNOVA Solutions, Inc., Global Company Guaranteed Notes (Callable 05/01/15 @ 103.94)

(B-, B2)   11/01/18      7.875      1,385,500   
  1,125   

Polymer Group, Inc., Global Senior Secured Notes (Callable 05/01/15 @ 103.88)

(B-, B2)   02/01/19      7.750      1,172,812   
  1,000   

Polymer Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/01/15 @ 105.16)1

(CCC+, Caa1)   06/01/19      6.875      958,750   
  276   

Reichhold Industries, Inc., 9.000% Cash, 11.000% PIK, Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 100.00)1,6

(NR, NR)   05/08/17      20.000      117,419   
                        

 

 

 
  8,480,294   
                        

 

 

 
         

 

Consumer/Commercial/Lease Financing (1.0%)

  2,000   

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

(CCC+, Caa2)   08/01/22      7.250      1,880,000   
                        

 

 

 
         

 

Electric - Generation (0.7%)

  1,250   

Dynegy Finance II, Inc., Rule 144A, Senior Secured Notes (Callable 11/01/19 @ 103.81)1

(B+, B3)   11/01/24      7.625      1,314,063   
                        

 

 

 
         

 

Energy - Exploration & Production (5.3%)

  2,230   

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

(B-, B3)   04/15/21      6.750      2,179,825   
  1,200   

Comstock Resources, Inc., Company Guaranteed Notes (Callable 05/01/15 @ 103.88)

(CCC+, Caa1)   04/01/19      7.750      510,000   
  1,975   

EPL Oil & Gas, Inc., Global Company Guaranteed Notes (Callable 05/01/15 @ 104.13)5

(CCC+, Caa3)   02/15/18      8.250      1,471,375   
  957   

Harkand Finance, Inc., Reg S, Rule 144A, Senior Secured Notes (Callable 03/28/16 @ 104.50)1,7

(NR, NR)   03/28/19      7.500      660,000   
  475   

Oasis Petroleum, Inc., Company Guaranteed Notes (Callable 11/01/16 @ 103.25)5

(B+, B2)   11/01/21      6.500      456,000   
  895   

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

(B+, B2)   03/15/22      6.875      877,100   
  1,510   

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

(B-, B3)   10/15/22      7.750      1,593,050   
  1,200   

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

(B-, B3)   11/15/22      7.500      1,092,000   
  1,124   

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

(B-, B3)   06/15/19      8.500      685,640   
  650   

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

(BB, Ba2)   03/15/21      5.750      648,375   
                        

 

 

 
  10,173,365   
                        

 

 

 
         

 

Food & Drug Retailers (0.5%)

  850   

Rite Aid Corp., Rule 144A, Company Guaranteed Notes (Callable 04/01/18 @ 104.59)1

(CCC+, B3)   04/01/23      6.125      875,500   
                        

 

 

 

 

 

 


 

Par
(000)
             

Ratings†
(S&P/Moody’s)

     Maturity        Rate%        Value  
                        

 

CORPORATE BONDS

                   

 

Food - Wholesale (0.5%)

                   
$        1,000        

Dole Food Co., Inc., Rule 144A, Senior Secured Notes (Callable 11/01/15 @ 103.63)1

     (CCC+, Caa1)        05/01/19           7.250         $     1,017,500   
  7        

Smithfield Foods, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/16 @ 104.41)1

     (BB-, B1)        08/01/21           5.875           7,359   
                        

 

 

 
            1,024,859   
                        

 

 

 
         

 

Forestry & Paper (0.0%)

  1,000   

Stone & Webster, Inc.2,3,8

(NR, NR)   10/23/19      0.000      1,500   
                        

 

 

 
         

 

Gaming (0.7%)

  580   

Choctaw Resort Development Enterprise, Rule 144A, Senior Unsecured Notes (Callable 05/01/15 @ 100.00)1

(B-, Caa1)   11/15/19      7.250      581,450   
  750   

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

(B, B2)   02/15/21      8.250      842,472   
                        

 

 

 
  1,423,922   
                        

 

 

 
         

 

Gas Distribution (2.5%)

  1,500   

Energy Transfer Equity LP, Senior Secured Notes

(BB, Ba2)   10/15/20      7.500      1,687,500   
  350   

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

(B, B1)   02/15/21      5.750      339,500   
  750   

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

(B, B1)   06/15/24      5.625      708,750   
  2,000   

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

(BB, B1)   03/01/20      6.500      1,980,000   
                        

 

 

 
  4,715,750   
                        

 

 

 
         

 

Health Facilities (1.5%)

  1,725   

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

(B-, B3)   08/01/19      8.750      1,742,250   
  1,000   

Tenet Healthcare Corp., Global Senior Unsecured Notes

(CCC+, B3)   04/01/22      8.125      1,105,000   
                        

 

 

 
  2,847,250   
                        

 

 

 
         

 

Insurance Brokerage (1.7%)

  1,850   

A-S Merger Sub LLC, Rule 144A, Senior Unsecured Notes (Callable 12/15/15 @ 103.94)1

(CCC+, Caa2)   12/15/20      7.875      1,914,750   
  775   

Hub Holdings Finance, Inc., 8.125% Cash, 8.875% PIK, Rule 144A, Senior Unsecured Notes (Callable 07/15/15 @ 102.00)1,6

(CCC+, Caa2)   07/15/19      17.000      773,062   
  550   

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

(CCC+, Caa1)   10/01/21      7.875      565,125   
                        

 

 

 
  3,252,937   
                        

 

 

 
         

 

Investments & Misc. Financial Services (2.0%)

  750   

Cabot Financial Luxembourg S.A., Rule 144A, Senior Secured Notes (Callable 10/01/15 @ 107.78)1,10

(B+, B2)   10/01/19      10.375      1,229,167   
  1,450   

Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 04/01/16 @ 105.53)1

(B, B1)   04/01/20      7.375      1,413,750   
  400   

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

(B, B1)   04/15/22      6.875      374,000   
  750   

Rialto Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/15 @ 103.50)1

(B, B2)   12/01/18      7.000      781,875   
                        

 

 

 
  3,798,792   
                        

 

 

 
         

 

Machinery (0.3%)

  450   

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

(NR, Caa1)   02/15/23      7.750      512,105   
                        

 

 

 
         

 

Media Content (1.4%)

  1,000   

Nexstar Broadcasting, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/18 @ 103.06)1,5

(B+, B3)   02/15/22      6.125      1,027,500   
  573   

Sinclair Television Group, Inc., Global Company Guaranteed Notes (Callable 10/01/17 @ 103.06)5

(B+, B1)   10/01/22      6.125      603,197   

 

 

 


 

Par
(000)
             

Ratings†
(S&P/Moody’s)

     Maturity        Rate%        Value  
                        

 

CORPORATE BONDS

                   

 

Media Content

                   
$        1,000        

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

     (B+, B1)        11/01/21           6.375         $     1,062,500   
                        

 

 

 
  2,693,197   
                        

 

 

 
         

 

Medical Products (0.5%)

  1,000   

STHI Holding Corp., Rule 144A, Secured Notes (Callable 05/01/15 @ 104.00)1

(B, B2)   03/15/18      8.000      1,038,750   
                        

 

 

 
         

 

Metals & Mining - Excluding Steel (4.8%)

  1,350   

Boart Longyear Management Pty. Ltd., Rule 144A, Company Guaranteed Notes (Callable 04/01/16 @ 103.50)1,5

(CCC, Caa2)   04/01/21      7.000      896,062   
  230   

Boart Longyear Management Pty. Ltd., Rule 144A, Senior Secured Notes1

(B-, B3)   10/01/18      10.000      236,325   
  1,050   

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

(BB, Ba3)   12/15/20      6.125      1,026,375   
  1,400   

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

(B+, B3)   06/01/19      9.500      1,508,500   
  1,841   

KGHM International Ltd., Rule 144A, Company Guaranteed Notes (Callable 06/15/15 @ 103.88)1

(BB-, B1)   06/15/19      7.750      1,905,435   
  1,370   

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

(CCC, Caa2)   06/01/19      11.000      1,335,750   
  1,700   

Taseko Mines Ltd., Company Guaranteed Notes (Callable 05/01/15 @ 103.88)

(B-, B3)   04/15/19      7.750      1,249,500   
  1,500   

Xinergy Corp., Rule 144A, Senior Secured Notes (Callable 05/15/15 @ 104.63)1

(NR, NR)   05/15/19      9.250      922,500   
                        

 

 

 
  9,080,447   
                        

 

 

 
         

 

Oil Field Equipment & Services (4.4%)

  1,900   

Calfrac Holdings LP, Rule 144A, Company Guaranteed Notes (Callable 12/01/15 @ 103.75)1,5

(BB-, B1)   12/01/20      7.500      1,695,750   
  1,825   

FTS International, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/17 @ 104.69)1

(B, B2)   05/01/22      6.250      1,350,500   
  600   

Pacific Drilling V Ltd., Rule 144A, Senior Secured Notes (Callable 12/01/15 @ 103.63)1

(B+, B2)   12/01/17      7.250      543,000   
  950   

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

(B+, B1)   07/15/22      6.750      757,625   
  1,150   

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

(B+, B2)   03/15/22      6.125      902,750   
  1,500   

Shelf Drilling Holdings Ltd., Rule 144A, Secured Notes (Callable 05/01/15 @ 104.31)1,5

(B+, Ba3)   11/01/18      8.625      1,241,250   
  1,600   

Sidewinder Drilling, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/16 @ 104.88)1

(CCC+, Caa1)   11/15/19      9.750      1,000,000   
  1,000   

Trinidad Drilling Ltd., Rule 144A, Company Guaranteed Notes (Callable 05/01/15 @ 103.94)1

(BB, B1)   01/15/19      7.875      935,000   
                        

 

 

 
  8,425,875   
                        

 

 

 
         

 

Oil Refining & Marketing (3.0%)

  500   

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

(B+, B3)   08/15/22      6.250      487,500   
  2,000   

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

(B+, B1)   11/01/22      6.500      2,010,000   
  975   

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

(BB-, B1)   11/15/20      7.125      1,006,015   
  1,850   

PBF Finance Corp., Global Senior Secured Notes (Callable 02/15/16 @ 104.13)5

(BB+, Ba3)   02/15/20      8.250      1,963,312   
  300   

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

(B+, B3)   04/01/21      6.250      300,000   
                        

 

 

 
  5,766,827   
                        

 

 

 
         

 

Packaging (2.0%)

  1,000   

Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 01/31/17 @ 103.38)1,5

(CCC+, Caa1)   01/31/21      6.750      1,015,000   
  88   

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

(NR, Caa1)   11/15/20      7.000      88,787   

 

 

 


 

Par
(000)
             

Ratings†
(S&P/Moody’s)

     Maturity        Rate%        Value  
                        

 

CORPORATE BONDS

                   

 

Packaging

                   
$          300        

Ardagh Packaging Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 10/15/15 @ 104.63)1,9

     (CCC+, Caa1)        10/15/20           9.250         $        346,365   
  1,850        

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

     (CCC+, Caa2)        02/15/21           8.250           1,988,750   
  330        

Signode Industrial Group U.S., Inc., Rule 144A, Senior Unsecured Notes (Callable 05/01/17 @ 104.78)1

     (CCC+, Caa1)        05/01/22           6.375           329,587   
                        

 

 

 
  3,768,489   
                        

 

 

 
         

 

Personal & Household Products (1.7%)

  1,595   

Alphabet Holding Co., Inc., 7.750% Cash, 8.500% PIK, Global Senior Unsecured Notes (Callable 05/01/15 @ 102.00)5,6

(CCC+, Caa1)   11/01/17      16.250      1,567,088   
  1,125   

NBTY, Inc., Global Company Guaranteed Notes (Callable 05/01/15 @ 104.50)

(B-, B3)   10/01/18      9.000      1,175,625   
  400   

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

(B-, Caa1)   02/01/20      8.125      431,000   
                        

 

 

 
  3,173,713   
                        

 

 

 
         

 

Pharmaceuticals (0.6%)

  800   

Capsugel S.A., 7.000 Cash%, 7.750% PIK, Rule 144A, Senior Unsecured Notes (Callable 04/16/15 @ 102.00)1,6

(B-, Caa1)   05/15/19      14.750      814,500   
  246   

inVentiv Health, Inc., 10.000% Cash, 12.000% PIK, Rule 144A, Company Guaranteed Notes (Callable 08/15/15 @ 105.00)1,6

(CCC, Caa2)   08/15/18      22.000      250,838   
  168   

inVentiv Health, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/01/15 @ 105.00)1

(CCC, Caa3)   08/15/18      11.000      162,120   
                        

 

 

 
  1,227,458   
                        

 

 

 
         

 

Printing & Publishing (1.0%)

  1,790   

Harland Clarke Holdings Corp., Rule 144A, Senior Secured Notes (Callable 08/01/15 @ 104.88)1

(B+, B1)   08/01/18      9.750      1,901,875   
                        

 

 

 
         

 

Property & Casualty Insurance (0.5%)

  1,000   

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

(CCC+, Caa2)   10/01/22      8.500      948,750   
                        

 

 

 
         

 

Real Estate Investment Trusts (2.7%)

  2,000   

CNL Lifestyle Properties, Inc., Global Company Guaranteed Notes (Callable 05/01/15 @ 103.63)

(B, Ba3)   04/15/19      7.250      2,050,000   
  1,398   

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

(B+, B2)   07/01/19      5.000      1,403,243   
  500   

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

(BBB-, Ba1)   02/15/22      6.375      543,850   
  425   

QTS Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/17 @ 104.41)1

(B+, B2)   08/01/22      5.875      438,281   
  575   

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

(BB-, Ba3)   02/15/21      6.625      612,375   
                        

 

 

 
  5,047,749   
                        

 

 

 
         

 

Recreation & Travel (0.1%)

  250   

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/16 @ 103.94)1

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

 

 

 
         

 

Software - Services (5.1%)

  1,850   

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

(CCC+, B3)   05/01/19      8.625      1,942,500   
  625   

Infor U.S., Inc., Global Company Guaranteed Notes (Callable 04/01/16 @ 105.00)9

(B-, B3)   04/01/19      10.000      733,340   
  1,523   

MedAssets, Inc., Global Company Guaranteed Notes (Callable 05/01/15 @ 104.00)

(B, B3)   11/15/18      8.000      1,595,342   
  1,500   

NeuStar, Inc., Global Company Guaranteed Notes (Callable 01/15/18 @ 102.25)5

(B+, B2)   01/15/23      4.500      1,297,500   
  1,050   

Sophia Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/01/15 @ 107.31)1

(CCC+, Caa1)   01/15/19      9.750      1,130,063   
  445   

Sophia Holding Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/01/15 @ 102.00)1

(CCC+, Caa2)   12/01/18      9.625      451,119   

 

 

 


 

Par
(000)
             

Ratings†
(S&P/Moody’s)

     Maturity        Rate%        Value  
                        

 

CORPORATE BONDS

                   

 

Software - Services

                   
$        1,250        

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

     (CCC+, Caa1)        04/01/22           8.750         $        790,625   
  1,698        

Syniverse Holdings, Inc., Global Company Guaranteed Notes (Callable 05/01/15 @ 104.56)

     (B-, Caa1)        01/15/19           9.125           1,681,020   
                        

 

 

 
            9,621,509   
                        

 

 

 
         

 

Specialty Retail (0.2%)

  237   

Beverages & More, Inc., Rule 144A, Senior Secured Notes (Callable 11/15/15 @ 105.00)1

(CCC+, Caa2)   11/15/18      10.000      226,039   
  150   

IT Holding Finance S.A., Company Guaranteed Notes3,9,11

(NR, NR)   11/15/25      9.875      1,587   
  200   

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

(CCC, Caa1)   04/15/19      9.875      93,438   
                        

 

 

 
            321,064   
                        

 

 

 
         

 

Steel Producers/Products (0.5%)

  1,200   

JMC Steel Group, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/01/15 @ 104.13)1,5

(B-, Caa1)   03/15/18      8.250      1,012,500   
                        

 

 

 
         

 

Support - Services (3.9%)

  1,075   

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

(B+, B1)   06/01/21      7.250      1,150,250   
  750   

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

(B-, Caa1)   11/15/21      7.250      740,625   
  1,731   

H&E Equipment Services, Inc., Global Company Guaranteed Notes (Callable 09/01/17 @ 103.50)5

(BB-, B3)   09/01/22      7.000      1,791,585   
  800   

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

(B, B2)   08/01/19      8.125      620,000   
  1,000   

NCSG Crane & Heavy Haul Services, Inc., Rule 144A, Secured Notes (Callable 08/15/17 @ 109.50)1,5

(B, B3)   08/15/19      9.500      640,000   
  600   

Outerwall, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/17 @ 104.41)1

(BB-, Ba3)   06/15/21      5.875      544,500   
  950   

Safway Finance Corp., Rule 144A, Secured Notes (Callable 05/15/15 @ 103.50)1

(B+, B3)   05/15/18      7.000      945,250   
  915   

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

(BB-, B1)   05/15/20      7.375      993,347   
                        

 

 

 
            7,425,557   
                        

 

 

 
         

 

Tech Hardware & Equipment (2.4%)

  1,000   

Anixter, Inc., Global Company Guaranteed Notes

(BB, Ba3)   05/01/19      5.625      1,080,000   
  1,325   

Avaya, Inc., Rule 144A, Secured Notes (Callable 03/01/17 @ 107.88)1,5

(CCC+, Caa1)   03/01/21      10.500      1,132,875   
  1,550   

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

(B+, Ba3)   09/01/22      5.500      1,596,500   
  650   

Dell, Inc., Global Senior Unsecured Notes

(BB+, Ba3)   04/15/38      6.500      664,625   
                        

 

 

 
  4,474,000   
                        

 

 

 
         

 

Telecom - Satellite (1.4%)

  322   

Hughes Satellite Systems Corp., Global Company Guaranteed Notes

(B-, B3)   06/15/21      7.625      355,408   
  750   

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

(B+, B3)   04/01/21      7.500      774,375   
  600   

Intelsat Jackson Holdings S.A., Global Company Guaranteed Notes (Callable 05/01/15 @ 103.63)

(B+, B3)   04/01/19      7.250      624,150   
  250   

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

(CCC+, Caa2)   06/01/18      6.750      246,250   
  800   

Intelsat Luxembourg S.A., Global Company Guaranteed Notes (Callable 06/01/17 @ 103.88)5

(CCC+, Caa2)   06/01/21      7.750      741,000   
                        

 

 

 
  2,741,183   
                        

 

 

 
         

 

Telecom - Wireless (1.6%)

  650   

Sprint Corp., Global Company Guaranteed Notes

(B+, B2)   06/15/24      7.125      637,000   
  700   

Sprint Corp., Global Company Guaranteed Notes (Callable 11/15/24 @ 100.00)5

(B+, B2)   02/15/25      7.625      700,000   

 

 

 


 

Par
(000)
             

Ratings†
(S&P/Moody’s)

     Maturity        Rate%        Value  
                        

 

CORPORATE BONDS

                   

 

Telecom - Wireless

                   
$        1,575        

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

     (BB, Ba3)        03/01/25           6.375         $     1,629,180   
                        

 

 

 
  2,966,180   
                        

 

 

 
         

 

Telecom - Wireline Integrated & Services (1.1%)

  350   

Hellas Telecommunications Luxembourg II S.C.A., Rule 144A, Subordinated Notes1,2,3,8,11

(NR, NR)   01/15/15      0.000        
  925   

Windstream Corp., Global Company Guaranteed Notes (Callable 05/01/15 @ 104.06)

(B, B1)   09/01/18      8.125      968,706   
  1,150   

Zayo Capital, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/18 @ 104.50)1

(CCC+, Caa1)   04/01/23      6.000      1,161,500   
                        

 

 

 
  2,130,206   
                        

 

 

 
         

 

Telecommunications Equipment (1.9%)

  1,200   

Avaya, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 103.50)1,5

(B, B1)   04/01/19      7.000      1,197,000   
  1,700   

Brightstar Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/15 @ 104.75)1

(BB+, Ba1)   12/01/16      9.500      1,785,000   
  525   

CDW Finance Corp., Company Guaranteed Notes (Callable 06/01/24 @ 100.00)

(B+, B1)   12/01/24      5.500      551,250   
                        

 

 

 
  3,533,250   
                        

 

 

 
         

 

Theaters & Entertainment (1.9%)

  775   

AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 02/15/17 @ 104.41)5

(B, B3)   02/15/22      5.875      807,938   
  857   

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

(B, B3)   12/01/20      9.750      941,629   
  1,815   

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

(B, B2)   07/15/21      7.875      1,937,512   
                        

 

 

 
  3,687,079   
                        

 

 

 
         

 

Transport Infrastructure/Services (0.7%)

  400   

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

(BB-, B1)   01/15/22      7.375      375,000   
  1,000   

Teekay Offshore Finance Corp., Global Senior Unsecured Notes

(NR, NR)   07/30/19      6.000      908,750   
                        

 

 

 
  1,283,750   
                        

 

 

 

 

TOTAL CORPORATE BONDS (Cost $154,948,397)

  148,245,015   
                        

 

 

 
         

 

BANK LOANS (12.8%)

 

Auto Parts & Equipment (0.8%)

  750   

Jason, Inc.12

(CCC+, Caa1)   06/30/22      9.000      710,625   
  790   

U.S. Farathane LLC12

(B+, B2)   12/23/21      6.750      798,887   
                        

 

 

 
  1,509,512   
                        

 

 

 
         

 

Building Materials (0.6%)

  1,151   

Panolam Industries International, Inc.12

(BB-, B2)   08/23/17      7.761      1,144,932   
                        

 

 

 
         

 

Chemicals (2.5%)

  1,750   

AZ Chem U.S., Inc.12

(B-, B1)   06/12/22      7.500      1,730,671   
  1,980   

Ravago Holdings America, Inc.12

(BB+, B2)   12/20/20      5.500      1,989,910   
  1,000   

Royal Adhesives and Sealants LLC12

(CCC+, Caa1)   01/31/19      9.750      1,009,585   
                        

 

 

 
  4,730,166   
                        

 

 

 
         

 

Diversified Capital Goods (0.5%)

  930   

Dynacast International LLC12

(B-, Caa1)   01/30/23      9.500      941,625   
                        

 

 

 
         

 

Electronics (0.7%)

  1,425   

FIDJI Luxembourg (BC4) Sarl12

(BB-, B1)   12/24/20      6.250      1,427,373   
                        

 

 

 
         

 

Food - Wholesale (0.2%)

  500   

Del Monte Foods, Inc.12

(CCC+, Caa1)   08/18/21      8.250      453,750   
                        

 

 

 
         

 

 

 


 

Par
(000)
             

Ratings†
(S&P/Moody’s)

     Maturity        Rate%        Value  
                        

 

BANK LOANS

                   

 

Gaming (0.4%)

                   
$           750        

CBAC Borrower LLC12

     (B-, B3)        07/02/20           8.250         $        727,500   
                        

 

 

 
         

 

Health Services (1.0%)

  1,133   

Creganna-Tactx Medical12

(CCC+, Caa1)   06/01/22      9.000      1,140,417   
  750   

Phillips-Medisize Corp.12

(CCC+, Caa2)   06/16/22      8.250      731,250   
                        

 

 

 
  1,871,667   
                        

 

 

 
         

 

Investments & Misc. Financial Services (1.2%)

  1,000   

Ascensus, Inc.12

(CCC+, Caa1)   12/02/20      9.000      1,001,040   
  481   

Liquidnet Holdings, Inc.12

(B, B3)   05/22/19      7.750      468,016   
  1,000   

Mergermarket U.S.A., Inc.12

(CCC+, Caa2)   02/04/22      7.500      912,500   
                        

 

 

 
  2,381,556   
                        

 

 

 
         

 

Machinery (0.7%)

  1,250   

CPM Acquisition Corp.12

(B, Caa1)   03/01/18      10.250      1,256,250   
                        

 

 

 
         

 

Media Content (0.3%)

  500   

DLG Acquisitions Ltd.9,12

(B-, Caa2)   06/30/22      8.250      534,181   
                        

 

 

 
         

 

Oil Field Equipment & Services (0.4%)

  1,000   

Shelf Drilling Holdings Ltd.12

(B+, B1)   10/08/18      10.000      685,000   
                        

 

 

 
         

 

Recreation & Travel (0.5%)

  988   

Abercrombie & Kent U.S. Group Holdings, Inc.3,12

(NR, NR)   12/09/18      5.000      923,312   
                        

 

 

 
         

 

Software - Services (0.5%)

  990   

Intralinks, Inc.3,12

(BB, B2)   02/21/19      7.250      982,575   
                        

 

 

 
         

 

Specialty Retail (0.8%)

  1,500   

BJ’s Wholesale Club, Inc.12

(CCC, Caa2)   03/26/20      8.500      1,494,067   
                        

 

 

 
         

 

Telecom - Wireless (0.4%)

  789   

Maritime Telecommunications Network, Inc.12

(B+, NR)   03/04/16      7.500      789,009   
                        

 

 

 
         

 

Telecom - Wireline Integrated & Services (0.5%)

  1,000   

Omnitracs, Inc.12

(CCC+, Caa1)   05/25/21      8.750      981,565   
                        

 

 

 
         

 

Theaters & Entertainment (0.4%)

  1,000   

CKX, Inc.12

(B+, B2)   06/21/17      9.000      725,000   
                        

 

 

 
         

 

Transport Infrastructure/Services (0.4%)

  680   

PODS LLC12

(CCC+, Caa1)   02/02/23      9.250      685,100   
                        

 

 

 

 

TOTAL BANK LOANS (Cost $24,880,161)

  24,244,140   
                        

 

 

 
         

 

ASSET BACKED SECURITIES (6.6%)

 

Collateralized Debt Obligations (6.6%)

  1,000   

Carlyle Global Market Strategies CLO Ltd., 2012-4A, Rule 144A1,8

(NR, NR)   01/20/25      0.000      856,705   
  2,000   

CIFC Funding Ltd., 2012-2X, Reg S7,12

(BB-, NR)   12/05/24      6.265      1,948,364   
  1,000   

ECP CLO Ltd., 2013-5A, Rule 144A1,12

(BB, NR)   01/20/25      4.457      874,332   
  1,000   

Galaxy XIV CLO Ltd., 2012-14A, Rule 144A1,12

(BB, NR)   11/15/24      5.657      950,901   
  1,000   

Halcyon Loan Advisors Funding Ltd., 2012-2A, Rule 144A1,12

(BB, NR)   12/20/24      5.670      898,209   
  1,000   

ING Investment Management CLO Ltd., 2012-1RA, Rule 144A1,12

(B, NR)   03/14/22      6.771      995,857   
  1,000   

Jamestown CLO III Ltd., 2013-3A, Rule 144A1,12

(BB-, NR)   01/15/26      4.852      886,308   
  1,000   

JFIN CLO Ltd., 2013-1A, Rule 144A1,12

(BB, NR)   01/20/25      5.007      888,133   
  1,500   

Ocean Trails CLO IV, 2013-4A, Rule 144A1,12

(B, NR)   08/13/25      6.158      1,288,426   
  1,000   

Shackleton I CLO Ltd., 2012-1A, Rule 144A1,12

(BB, NR)   08/14/23      6.458      963,484   
  1,325   

Venture XVII CLO Ltd., 2014-17A, Rule 144A1,12

(NR, Ba2)   07/15/26      5.253      1,189,816   
  1,000   

WhiteHorse VIII Ltd., 2014-1A, Rule 144A1,12

(NR, Ba3)   05/01/26      4.806      878,724   
                        

 

 

 

 

TOTAL ASSET BACKED SECURITIES (Cost $13,052,101)

  12,619,259   
                        

 

 

 
         
Number of
Shares
                                          
                                  

 

COMMON STOCKS (0.1%)

                   

 

Building & Construction (0.1%)

                   
  14,400        

Ashton Woods U.S.A. LLC, Class B2,3,13

                      188,208   

 

 

 


 

Number of
Shares
                                     Value  
                      

 

COMMON STOCKS

                   

 

Building Materials (0.0%)

                   
  372      

Dayton Superior Corp.2,3,13

                    $   
                      

 

 

 
      

 

Gaming (0.0%)

  36,250   

Majestic Holdco LLC2,3,13

  10,422   
  1,500   

Progressive Gaming International Corp.3,13

  3   
                      

 

 

 
  10,425   
                      

 

 

 
      

 

Media Content (0.0%)

  26,986   

Cumulus Media, Inc., Class A5,13

  66,655   
                      

 

 

 

 

TOTAL COMMON STOCKS (Cost $323,430)

  265,288   
                      

 

 

 
      

 

PREFERRED STOCK (0.0%)

 

Building Materials (0.0%)

  413   

Dayton Superior Corp.2,3,13 (Cost $156,000)

    
                      

 

 

 
      

 

SHORT-TERM INVESTMENTS (14.0%)

  

  25,360,157   

State Street Navigator Prime Portfolio, 0.16%14

  25,360,157   
Par
(000)
                       Maturity                Rate%               
$ 1,280          State Street Bank and Trust Co. Euro Time Deposit             04/01/15           0.010           1,280,000   
                      

 

 

 
      

 

TOTAL SHORT-TERM INVESTMENTS (Cost $26,640,157)

  

  26,640,157   
                      

 

 

 
      

 

TOTAL INVESTMENTS AT VALUE (111.5%) (Cost $220,000,246)

  

  212,013,859   
      

 

LIABILITIES IN EXCESS OF OTHER ASSETS (-11.5%)

  

  (21,905,987
                      

 

 

 
      

 

NET ASSETS (100.0%)

  

$ 190,107,872   
                      

 

 

 

INVESTMENT ABBREVIATION

NR = Not Rated

 

 

Credit ratings given by the Standard & Poor’s Division of The McGraw-Hill Companies, Inc. (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”) are unaudited.
1  Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2015, these securities amounted to a value of $81,377,427 or 42.8% of net assets.
2  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.
3  Illiquid security.
4  Par value of security held is less than 1,000.
5  Security or portion thereof is out on loan.
6  PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal.
7  REG S: Securities sold under Regulation S may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
8  Zero-coupon security.
9  This security is denominated in Euro.
10  This security is denominated in British Pound.
11  Bond is currently in default.
12  Variable rate obligations — The interest rate is the rate as of March 31, 2015.
13  Non-income producing security.
14  Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at March 31, 2015.

 

 

 


 

Forward Foreign Currency Contracts

 

Forward Foreign
Currency to be
Purchased (Local)

    

Forward Foreign
Currency to be
Sold (Local)

    

Expiration
Date

  

Counterparty

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

USD

    3,014,001      

EUR

     2,554,000       04/15/15    Morgan Stanley    $ (3,014,001   $ (2,743,465   $ 270,536   

USD

    630,326      

EUR

     556,000       04/15/15    Morgan Stanley      (630,326     (597,246     33,080   

USD

    1,389,921      

GBP

     918,000       04/15/15    Morgan Stanley          (1,389,921         (1,362,655     27,266   
                    

 

 

 
$         330,882   
                    

 

 

 

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. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board of Directors (the “Board”) to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved and established by the Board.

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

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

 

   

Level  1–quoted prices in active markets for identical investments

   

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

   

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

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

 

 

 


 

The following is a summary of the inputs used as of March 31, 2015 in valuing the Fund’s assets and liabilities carried at fair value:

 

Assets    Level 1      Level 2      Level 3     Total  

Investments in Securities

          

Corporate Bonds

   $       $ 148,243,496       $ 1,519      $ 148,245,015   

Bank Loans

             16,433,174         7,821,394        24,254,568   

Asset Backed Securities

             12,619,259                12,619,259   

Common Stocks

     66,658                 198,630        265,288   

Preferred Stock

                     1      1 

Short-term Investments

             26,640,157                26,640,157   
  

 

 

    

 

 

    

 

 

   

 

 

 
            66,658          203,936,086              8,021,543          212,024,287   
  

 

 

    

 

 

    

 

 

   

 

 

 

Other Financial Instruments*

Forward Foreign Currency Contracts

$    $ 330,882    $    $ 330,882   

 

1

Included a zero valued security.

*

Other financial instruments include unrealized appreciation (depreciation) on Forward Foreign Currency Contracts.

The following is a reconciliation of investments as of March 31, 2015 in which significant unobservable inputs were used in determining value. Transfers in or out of Level 3 represent the end of the period value of any security or instrument where a change in the level has occurred from the beginning to the end of the period.

 

     Corporate
Bonds
    Bank
Loans
    Common
Stocks
    Preferred
Stock
     Total  

Balance as of December 31, 2014

   $     3,769      $ 1,700,650      $ 209,052      $       $ 1,913,471   

Accrued discounts (premiums)

            13,207                       13,207   

Purchases

            784,000                       784,000   

Sales

            (2,000                    (2,000

Realized gain (loss)

            40                       40   

Change in unrealized appreciation (depreciation)

     (2,250     (38,270     (10,422             (50,942

Transfers into Level 3

            5,363,767                       5,363,767   

Transfers out of Level 3

                                    
  

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Balance as of March 31, 2015

$ 1,519    $ 7,821,394    $ 198,630    $            —    $ 8,021,543   
  

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Net change in unrealized appreciation (depreciation) from investments still held as of March 31, 2015

$ (2,250 $ (38,270 $ (10,422 $    $ (50,942

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 March 31, 2015, there were no transfers in and out of Level 1 and Level 2, but there were $5,363,767 transferred in from Level 2 to Level 3 due to lack of observable market data because of decrease in market activity. 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:   May 15, 2015

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

/s/John G. Popp

Name: John G. Popp

Title:   Chief Executive Officer and President

Date:   May 15, 2015

/s/Bruce S. Rosenberg

Name: Bruce S. Rosenberg

Title:   Chief Financial Officer

Date:   May 15, 2015