Edgar Filing: CREDIT SUISSE ASSET MANAGEMENT INCOME FUND INC

Credit Suisse Asset Management Income Fund, Inc.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-05012

CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.

(Exact name of registrant as specified in charter)

c/o Credit Suisse Asset Management, LLC

One Madison Avenue

New York, New York 10010

(Address of principal executive offices) (Zip code)

John G. Popp

One Madison Avenue

New York, New York 10010

(Name and address of agent for service)


Registrant’s telephone number, including area code: (212) 325-2000
Date of fiscal year-end:		December 31st
Date of reporting period:		July 1, 2016 to September 30, 2016

Item 1: Schedule of Investments

Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments

September 30, 2016 (unaudited)


Par (000)			Ratings† (S&P/Moody’s)	Maturity		Rate%		Value

	CORPORATE BONDS (76.3%)
	Advertising (2.7%)
$	275	Clear Channel Worldwide Holdings, Inc., Series A, Global Company Guaranteed Notes (Callable 11/15/17 @ 103.25)	(B+, B2)		11/15/22		6.500	$	278,437
	1,475	Clear Channel Worldwide Holdings, Inc., Series B, Global Company Guaranteed Notes (Callable 11/15/17 @ 103.25)	(B+, B2)		11/15/22		6.500		1,543,219
	1,270	Southern Graphics, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/31/16 @ 104.19)⁽¹⁾	(CCC+, Caa1)		10/15/20		8.375		1,295,400
	1,650	WMG Acquisition Corp., Rule 144A, Senior Secured Notes (Callable 10/31/16 @ 104.50)⁽¹⁾	(B, Ba3)		01/15/21		6.000		1,716,000

									4,833,056


	Auto Parts & Equipment (2.7%)
	400	Adient Global Holdings Ltd., Rule 144A, Company Guaranteed Notes (Callable 08/15/21 @ 102.44)⁽¹⁾	(BB, Ba3)		08/15/26		4.875		401,500
	2,000	IHO Verwaltungs GmbH, Rule 144A, Senior Secured Notes (Callable 09/15/19 @ 102.38)⁽¹⁾	(BB-, Ba1)		09/15/26		4.750		2,015,000
	1,150	MPG Holdco I, Inc., Global Company Guaranteed Notes (Callable 10/15/17 @ 105.53)	(B+, B3)		10/15/22		7.375		1,181,625
	900	Optimas OE Solutions, Inc., Rule 144A, Senior Secured Notes (Callable 06/01/18 @ 104.31)⁽¹⁾	(CCC+, Caa2)		06/01/21		8.625		713,250
	2,100	UCI International LLC, Global Company Guaranteed Notes (Callable 10/31/16 @ 102.16)⁽²⁾	(D, NR)		02/15/19		8.625		451,500

									4,762,875


	Brokerage (2.0%)
	1,700	CCRE Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 10/31/16 @ 102.91)⁽¹⁾	(B+, B1)		02/15/18		7.750		1,700,000
	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
	1,450	Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/17 @ 105.63)⁽¹⁾	(B, B1)		04/15/21		7.500		1,415,563

									3,489,563


	Building & Construction (1.7%)
	1,400	AV Homes, Inc., Global Company Guaranteed Notes (Callable 10/31/16 @ 106.38)	(B, Caa1)		07/01/19		8.500		1,459,500
	750	Rialto Corp., Rule 144A, Company Guaranteed Notes (Callable 10/31/16 @ 103.50)⁽¹⁾	(B, B1)		12/01/18		7.000		765,000
	750	U.S. Concrete, Inc., Global Company Guaranteed Notes (Callable 06/01/19 @ 104.78)	(BB-, B3)		06/01/24		6.375		780,000

									3,004,500


	Building Materials (4.6%)
	475	American Builders & Contractors Supply Co., Inc., Rule 144A, Senior Unsecured Notes (Callable 12/15/18 @ 104.31)⁽¹⁾	(B+, B3)		12/15/23		5.750		495,188
	400	Eagle Materials, Inc., Company Guaranteed Notes (Callable 08/01/21 @ 102.25)	(BBB, Ba1)		08/01/26		4.500		406,030
	1,600	Euramax International, Inc., Rule 144A, Senior Secured Notes (Callable 02/15/18 @ 109.00)⁽¹⁾	(B-, Caa2)		08/15/20		12.000		1,644,000
	1,825	FBM Finance, Inc., Rule 144A, Senior Secured Notes (Callable 08/15/18 @ 104.13)⁽¹⁾	(B+, Caa1)		08/15/21		8.250		1,916,250
	475	GCP Applied Technologies, Inc. Rule 144A, Company Guaranteed Notes (Callable 02/01/19 @ 104.75)⁽¹⁾	(B+, B1)		02/01/23		9.500		543,851
	1,150	NCI Building Systems, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/18 @ 106.19)⁽¹⁾	(BB-, B3)		01/15/23		8.250		1,256,375
	900	PriSo Acquisition Corp., Rule 144A, Senior Unsecured Notes (Callable 05/15/18 @ 104.50)⁽¹⁾	(CCC+, Caa1)		05/15/23		9.000		877,500
	500	Summit Materials Finance Corp., Global Company Guaranteed Notes (Callable 07/15/18 @ 103.06)	(B, Caa1)		07/15/23		6.125		512,500
	500	Summit Materials Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/19 @ 104.25)⁽¹⁾	(B, Caa1)		04/15/22		8.500		547,500

									8,199,194


	Cable & Satellite TV (6.2%)
	825	Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 02/15/18 @ 104.97)⁽¹⁾	(BB-, B1)		02/15/23		6.625		849,750


Par (000)			Ratings† (S&P/Moody’s)	Maturity		Rate%		Value

	CORPORATE BONDS (continued)
	Cable & Satellite TV
$	1,250	Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 05/15/21 @ 103.75)⁽¹⁾	(BB-, B1)		05/15/26		7.500	$	1,304,687
	1,850	Block Communications, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/31/16 @ 103.63)⁽¹⁾	(B, B1)		02/01/20		7.250		1,905,500
	400	Cequel Capital Corp., Rule 144A, Senior Unsecured Notes (Callable 10/31/16 @ 103.19)⁽¹⁾	(B-, Caa1)		09/15/20		6.375		413,500
	685	CSC Holdings LLC, Global Senior Unsecured Notes⁽³⁾	(B-, B2)		06/01/24		5.250		652,463
	300	CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 04/15/22 @ 102.75)⁽¹⁾	(BB-, Ba1)		04/15/27		5.500		307,500
	400	CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 10/15/20 @ 103.31)⁽¹⁾	(BB-, Ba1)		10/15/25		6.625		435,000
	400	CSC Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/20 @ 105.44)⁽¹⁾	(B-, B2)		10/15/25		10.875		469,000
	1,175	Midcontinent Communications & Midcontinent Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/15/18 @ 105.16)⁽¹⁾	(B, B3)		08/15/23		6.875		1,257,250
	550	SFR Group S.A., Rule 144A, Senior Secured Notes (Callable 05/01/21 @ 103.69)⁽¹⁾	(B+, B1)		05/01/26		7.375		562,892
	700	SFR Group S.A., Rule 144A, Senior Secured Notes (Callable 05/15/17 @ 104.50)⁽¹⁾	(B+, B1)		05/15/22		6.000		716,625
	1,200	SFR Group S.A., Rule 144A, Senior Secured Notes (Callable 05/15/19 @ 103.13)⁽¹⁾	(B+, B1)		05/15/24		6.250		1,196,642
	850	Ziggo Secured Finance B.V., Rule 144A, Senior Secured Notes (Callable 01/15/22 @ 102.75)⁽¹⁾	(BB-, Ba3)		01/15/27		5.500		851,063

									10,921,872


	Chemicals (3.8%)
	1,225	A Schulman, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/18 @ 105.16)⁽¹⁾	(B+, B3)		06/01/23		6.875		1,243,375
	600	Blue Cube Spinco, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/20 @ 105.00)⁽¹⁾	(BB, Ba1)		10/15/25		10.000		711,000
	500	Chemtura Corp., Company Guaranteed Notes (Callable 10/31/16 @ 104.31)	(BB-, B1)		07/15/21		5.750		525,625
	750	Ineos Group Holdings S.A., Rule 144A, Secured Notes (Callable 10/31/16 @ 102.94)^(1),(3)	(B-, B3)		02/15/19		5.875		767,813
	1,020	OMNOVA Solutions, Inc., Global Company Guaranteed Notes (Callable 11/01/16 @ 100.00)	(NR, B2)		11/01/18		7.875		1,024,309
	500	PQ Corp., Rule 144A, Senior Secured Notes (Callable 05/15/19 @ 103.38)⁽¹⁾	(B+, B2)		11/15/22		6.750		531,250
	276	Reichhold Industries, Inc., Rule 144A, Senior Secured Notes (Callable 10/31/16 @ 100.00)^{(1),(2),(4),(5)}	(NR, NR)		05/08/17		9.000		11,051
	1,075	Tronox Finance LLC, Global Company Guaranteed Notes (Callable 10/31/16 @ 103.19)⁽³⁾	(B, Caa1)		08/15/20		6.375		997,063
	425	Valvoline, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/19 @ 104.13)⁽¹⁾	(B+, Ba3)		07/15/24		5.500		446,250
	325	Versum Materials, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/30/21 @ 102.75)⁽¹⁾	(BB-, Ba3)		09/30/24		5.500		334,750
	150	Westlake Chemical Corp., Rule 144A, Company Guaranteed Notes (Callable 05/15/18 @ 102.44)⁽¹⁾	(BBB, NR)		05/15/23		4.875		157,125

									6,749,611


	Consumer/Commercial/Lease Financing (2.0%)
	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		1,750,000
	375	Lincoln Finance Ltd., Rule 144A, Senior Secured Notes (Callable 04/15/18 @ 103.69)⁽¹⁾	(BB+, B1)		04/15/21		7.375		405,938
	1,300	NFP Corp., Rule 144A, Senior Unsecured Notes (Callable 10/31/16 @ 106.75)⁽¹⁾	(CCC+, Caa2)		07/15/21		9.000		1,340,462

									3,496,400


	Diversified Capital Goods (1.9%)
	900	Anixter, Inc., Global Company Guaranteed Notes	(BB, Ba3)		03/01/23		5.500		946,125
	1,550	Belden, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/17 @ 102.75)⁽¹⁾	(B+, Ba3)		09/01/22		5.500		1,623,625
	470	EnerSys, Rule 144A, Company Guaranteed Notes (Callable 01/30/23 @ 100.00)⁽¹⁾	(BB+, Ba2)		04/30/23		5.000		471,762


Par (000)			Ratings† (S&P/Moody’s)	Maturity		Rate%		Value

	CORPORATE BONDS (continued)
	Diversified Capital Goods
$	325	SPX FLOW, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/21 @ 102.94)⁽¹⁾	(BB, B1)		08/15/26		5.875	$	329,469

									3,370,981


	Electronics (0.9%)
	500	Microsemi Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/19 @ 106.84)⁽¹⁾	(B+, B2)		04/15/23		9.125		572,500
	200	NXP Funding LLC, Rule 144A, Company Guaranteed Notes⁽¹⁾	(BBB-, Ba1)		06/01/21		4.125		214,750
	675	NXP Funding LLC, Rule 144A, Company Guaranteed Notes⁽¹⁾	(BBB-, Ba1)		06/01/23		4.625		739,969

									1,527,219


	Energy - Exploration & Production (2.9%)
	2,230	Bonanza Creek Energy, Inc., Global Company Guaranteed Notes (Callable 04/15/17 @ 103.38)	(CC, Ca)		04/15/21		6.750		1,025,800
	900	Det Norske Oljeselskap ASA, Rule 144A, Subordinated Notes (Callable 05/27/19 @ 105.13)⁽¹⁾	(NR, NR)		05/27/22		10.250		1,002,375
	1,975	EPL Oil & Gas, Inc., Global Company Guaranteed Notes (Callable 10/31/16 @ 102.06)⁽²⁾	(NR, NR)		02/15/18		8.250		281,437
	725	Oasis Petroleum, Inc., Company Guaranteed Notes (Callable 11/01/16 @ 103.25)⁽³⁾	(B+, Caa1)		11/01/21		6.500		696,000
	105	Oasis Petroleum, Inc., Global Company Guaranteed Notes (Callable 09/15/17 @ 103.44)⁽³⁾	(B+, Caa1)		03/15/22		6.875		101,063
	1,500	Stone Energy Corp., Global Company Guaranteed Notes (Callable 11/15/17 @ 103.75)	(CCC-, Ca)		11/15/22		7.500		866,250
	1,124	W&T Offshore, Inc., Global Company Guaranteed Notes (Callable 10/31/16 @ 102.13)	(CC, Ca)		06/15/19		8.500		410,260
	800	Whiting Petroleum Corp., Company Guaranteed Notes (Callable 12/15/20 @ 100.00)⁽³⁾	(B+, Caa1)		03/15/21		5.750		752,000

									5,135,185


	Food - Wholesale (0.4%)
	700	U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/19 @ 102.94)⁽¹⁾	(B, B3)		06/15/24		5.875		729,750


	Forestry & Paper (0.0%)
	1,000	Stone & Webster, Inc.^(2),(4),(6)	(NR, NR)		10/23/19		0.000		2,375


	Gaming (0.8%)
	555	Choctaw Resort Development Enterprise, Rule 144A, Senior Unsecured Notes (Callable 10/01/16 @ 100.00)⁽¹⁾	(B+, B3)		11/15/19		7.250		555,000
	750	Safari Holding Verwaltungs GmbH, Rule 144A, Senior Secured Notes (Callable 02/15/17 @ 104.13)^(1),(7)	(B, B2)		02/15/21		8.250		890,050

									1,445,050


	Gas Distribution (2.7%)
	1,500	Energy Transfer Equity LP, Senior Secured Notes	(BB, Ba2)		10/15/20		7.500		1,653,750
	164	Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 05/15/18 @ 104.50)	(B+, B1)		05/15/23		6.000		163,590
	750	Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 06/15/19 @ 102.81)	(B+, B1)		06/15/24		5.625		738,750
	350	Genesis Energy Finance Corp., Global Company Guaranteed Notes (Callable 02/15/17 @ 102.88)	(B+, B1)		02/15/21		5.750		351,750
	1,750	Holly Energy Finance Corp., Global Company Guaranteed Notes (Callable 10/31/16 @ 103.25)	(BB, B1)		03/01/20		6.500		1,813,437

									4,721,277


	Health Facilities (3.0%)
	750	Care Capital Properties LP, Rule 144A, Company Guaranteed Notes (Callable 05/15/26 @ 100.00)⁽¹⁾	(BBB-, Baa3)		08/15/26		5.125		751,315
	1,725	Covenant Surgical Partners, Inc., Rule 144A, Senior Secured Notes (Callable 10/31/16 @ 106.56)⁽¹⁾	(B-, B3)		08/01/19		8.750		1,664,625
	1,075	HCA, Inc., Global Senior Secured Notes (Callable 12/15/25 @ 100.00)	(BBB-, Ba1)		06/15/26		5.250		1,144,875
	500	MPT Finance Corp., Company Guaranteed Notes (Callable 02/15/17 @ 103.19)	(BBB-, Ba1)		02/15/22		6.375		523,125
	1,000	Tenet Healthcare Corp., Global Senior Unsecured Notes	(CCC+, Caa1)		04/01/22		8.125		1,005,000


Par (000)			Ratings† (S&P/Moody’s)	Maturity		Rate%		Value

	CORPORATE BONDS (continued)
	Health Facilities
$	300	Tenet Healthcare Corp., Global Senior Unsecured Notes⁽³⁾	(CCC+, Caa1)		06/15/23		6.750	$	279,750

									5,368,690


	Insurance Brokerage (1.2%)
	925	Hub Holdings Finance, Inc., 8.125% Cash, 8.875% PIK, Rule 144A, Senior Unsecured Notes (Callable 10/31/16 @ 101.00)^(1),(8)	(CCC+, Caa2)		07/15/19		17.000		906,500
	675	HUB International Ltd., Rule 144A, Secured Notes (Callable 02/15/17 @ 103.00)⁽¹⁾	(CCC+, B3)		02/15/21		9.250		705,713
	550	HUB International Ltd., Rule 144A, Senior Unsecured Notes (Callable 10/31/16 @ 105.91)⁽¹⁾	(CCC+, Caa2)		10/01/21		7.875		562,375

									2,174,588


	Investments & Misc. Financial Services (0.6%)
	750	Cabot Financial Luxembourg S.A., Rule 144A, Senior Secured Notes (Callable 10/06/16 @ 105.19)^(1),(9)	(B+, NR)		10/01/19		10.375		1,024,794


	Media - Diversified (0.2%)
	310	National CineMedia LLC, Rule 144A, Senior Unsecured Notes (Callable 08/15/21 @ 102.88)⁽¹⁾	(B, B2)		08/15/26		5.750		322,400


	Media Content (1.7%)
	250	Activision Blizzard, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/19/16 @ 104.22)⁽¹⁾	(BBB-, Baa2)		09/15/21		5.625		260,853
	1,050	EMI Music Publishing Group North America Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/19 @ 105.72)⁽¹⁾	(B, B3)		06/15/24		7.625		1,140,562
	1,000	Nexstar Broadcasting, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/18 @ 103.06)^(1),(3)	(B+, B3)		02/15/22		6.125		1,037,500
	573	Sinclair Television Group, Inc., Global Company Guaranteed Notes (Callable 10/01/17 @ 103.06)	(B+, B1)		10/01/22		6.125		607,380

									3,046,295


	Medical Products (0.5%)
	875	Sterigenics-Nordion Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 05/15/18 @ 104.88)⁽¹⁾	(CCC+, Caa1)		05/15/23		6.500		912,188


	Metals & Mining - Excluding Steel (2.6%)
	1,250	Eldorado Gold Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/16 @ 103.06)⁽¹⁾	(BB-, B1)		12/15/20		6.125		1,265,000
	1,450	GrafTech International Ltd., Global Company Guaranteed Notes (Callable 11/15/16 @ 103.19)	(CCC+, Caa2)		11/15/20		6.375		1,116,500
	2,120	Noranda Aluminum Acquisition Corp., Global Company Guaranteed Notes (Callable 10/31/16 @ 105.50)⁽²⁾	(NR, NR)		06/01/19		11.000		29,150
	3,325	Taseko Mines Ltd., Company Guaranteed Notes (Callable 10/31/16 @ 101.94)⁽³⁾	(CCC, Caa2)		04/15/19		7.750		2,136,313

									4,546,963


	Oil Field Equipment & Services (3.6%)
	1,825	FTS International, Inc., Global Senior Secured Notes (Callable 05/01/17 @ 104.69)	(CCC, Ca)		05/01/22		6.250		707,187
	1,099	Nor Offshore SPV Ltd., PIK, Senior Secured Notes (Callable 10/31/16 @ 100.00)⁽⁸⁾	(NR, NR)		02/04/20		8.400		400,880
	600	Pacific Drilling V Ltd., Rule 144A, Senior Secured Notes (Callable 10/31/16 @ 103.63)⁽¹⁾	(B-, Caa3)		12/01/17		7.250		245,625
	950	Parker Drilling Co., Global Company Guaranteed Notes (Callable 01/15/18 @ 103.38)⁽³⁾	(B-, Caa1)		07/15/22		6.750		745,750
	1,150	Pioneer Energy Services Corp., Global Company Guaranteed Notes (Callable 03/15/17 @ 104.59)	(B-, Ca)		03/15/22		6.125		764,750
	1,500	Shelf Drilling Holdings Ltd., Rule 144A, Secured Notes (Callable 10/31/16 @ 104.31)⁽¹⁾	(CCC, B2)		11/01/18		8.625		1,200,000
	1,380	Sidewinder Drilling, Inc.^(4),(5)	(NR, NR)		11/15/19		9.750		690,153
	565	Sidewinder Drilling, Inc.^(4),(5)	(NR, NR)		11/15/19		12.000		508,823
	750	Transocean, Inc., Global Company Guaranteed Notes (Callable 07/15/22 @ 100.00)	(BB-, Caa1)		10/15/22		5.050		591,563
	535	Trinidad Drilling Ltd., Rule 144A, Company Guaranteed Notes (Callable 10/31/16 @ 101.97)⁽¹⁾	(BB-, Caa1)		01/15/19		7.875		500,225

									6,354,956


Par (000)			Ratings† (S&P/Moody’s)	Maturity		Rate%		Value

	CORPORATE BONDS (continued)
	Oil Refining & Marketing (3.1%)
$	500	CITGO Petroleum Corp., Rule 144A, Senior Secured Notes (Callable 08/15/17 @ 104.69)⁽¹⁾	(B+, B3)		08/15/22		6.250	$	490,000
	2,000	Coffeyville Finance, Inc., Global Company Guaranteed Notes (Callable 11/01/17 @ 103.25)	(BB-, B1)		11/01/22		6.500		1,820,000
	975	Northern Tier Finance Corp., Global Senior Secured Notes (Callable 10/31/16 @ 105.34)	(BB-, B1)		11/15/20		7.125		1,001,812
	1,850	PBF Finance Corp., Global Senior Secured Notes (Callable 10/31/16 @ 104.13)⁽³⁾	(BBB-, B1)		02/15/20		8.250		1,917,525
	300	Western Refining, Inc., Global Company Guaranteed Notes (Callable 04/01/17 @ 103.13)	(B, B3)		04/01/21		6.250		297,750

									5,527,087


	Packaging (2.2%)
	650	ARD Finance S.A., Rule 144A, Senior Secured Notes (Callable 09/15/19 @ 103.56)⁽¹⁾	(CCC+, Caa2)		09/15/23		7.125		648,375
	750	Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 01/31/17 @ 103.38)⁽¹⁾	(CCC+, B3)		01/31/21		6.750		778,125
	88	Ardagh Holdings U.S.A., Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/16 @ 103.50)⁽¹⁾	(NR, B3)		11/15/20		7.000		91,544
	1,850	Reynolds Group Issuer LLC, Global Company Guaranteed Notes (Callable 10/31/16 @ 104.13)	(B-, Caa2)		02/15/21		8.250		1,930,362
	450	SIG Combibloc Holdings S.C.A., Rule 144A, Senior Secured Notes (Callable 02/15/18 @ 103.88)^(1),(7)	(B-, Caa1)		02/15/23		7.750		532,639

									3,981,045


	Personal & Household Products (0.2%)
	400	Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/19 @ 104.78)⁽¹⁾	(B, Caa1)		03/01/24		6.375		427,000


	Pharmaceuticals (1.4%)
	800	AMAG Pharmaceuticals, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/18 @ 105.91)⁽¹⁾	(B+, B3)		09/01/23		7.875		768,000
	618	Capsugel S.A., 7.000% Cash, 7.750% PIK, Rule 144A, Senior Unsecured Notes (Callable 10/17/16 @ 101.00)^(1),(8)	(B-, Caa1)		05/15/19		14.750		619,932
	250	Valeant Pharmaceuticals International, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/15/17 @ 102.69)⁽¹⁾	(B-, B3)		03/15/20		5.375		232,500
	300	Valeant Pharmaceuticals International, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/31/16 @ 102.53)^(1),(3)	(B-, B3)		08/15/18		6.750		303,000
	625	Valeant Pharmaceuticals International, Rule 144A, Company Guaranteed Notes (Callable 10/31/16 @ 103.19)⁽¹⁾	(B-, B3)		10/15/20		6.375		589,063

									2,512,495


	Real Estate Investment Trusts (2.3%)
	200	DuPont Fabros Technology LP, Company Guaranteed Notes (Callable 06/15/18 @ 104.22)	(BB, Ba1)		06/15/23		5.625		211,000
	600	iStar, Inc., Senior Unsecured Notes (Callable 07/01/18 @ 103.25)	(B+, B2)		07/01/21		6.500		610,500
	1,398	iStar, Inc., Senior Unsecured Notes (Callable 10/31/16 @ 102.50)	(B+, B2)		07/01/19		5.000		1,399,579
	600	QCP SNF West/Central/East/AL REIT LLC, Rule 144A (Callable 11/01/19 @ 104.06)⁽¹⁾	(NR, B3)		11/01/23		8.125		600,000
	1,175	QTS Finance Corp., Global Company Guaranteed Notes (Callable 08/01/17 @ 104.41)	(BB, B2)		08/01/22		5.875		1,205,844

									4,026,923


	Recreation & Travel (1.2%)
	1,500	ClubCorp Club Operations, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/18 @ 106.19)⁽¹⁾	(B-, B3)		12/15/23		8.250		1,620,000
	250	Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 07/31/19 @ 103.66)⁽¹⁾	(BB-, B3)		07/31/24		4.875		253,125
	250	Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 10/31/16 @ 103.94)⁽¹⁾	(BB-, B3)		01/15/21		5.250		258,188

									2,131,313


	Restaurants (0.8%)
	1,425	Landry’s, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/15/19 @ 103.38)⁽¹⁾	(CCC+, Caa1)		10/15/24		6.750		1,453,500


Par (000)			Ratings† (S&P/Moody’s)	Maturity		Rate%		Value

	CORPORATE BONDS (continued)
	Software - Services (1.5%)
$	525	NeuStar, Inc., Global Company Guaranteed Notes (Callable 01/15/18 @ 102.25)	(B+, B2)		01/15/23		4.500	$	472,500
	975	Sungard Availability Services Capital, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/19 @ 104.38)⁽¹⁾	(CCC, Caa2)		04/01/22		8.750		638,625
	1,998	Syniverse Holdings, Inc., Global Company Guaranteed Notes (Callable 10/31/16 @ 102.28)	(CCC+, Caa2)		01/15/19		9.125		1,518,480

									2,629,605


	Specialty Retail (1.6%)
	975	Beverages & More, Inc., Rule 144A, Senior Secured Notes (Callable 10/31/16 @ 105.00)⁽¹⁾	(B-, Caa1)		11/15/18		10.000		929,906
	570	Caleres, Inc., Global Company Guaranteed Notes (Callable 08/15/18 @ 104.69)	(BB, B1)		08/15/23		6.250		594,510
	350	Penske Automotive Group, Inc., Company Guaranteed Notes (Callable 05/15/21 @ 102.75)	(B+, B1)		05/15/26		5.500		350,000
	500	Penske Automotive Group, Inc., Company Guaranteed Notes (Callable 12/01/19 @ 102.69)	(B+, B1)		12/01/24		5.375		505,000
	300	Penske Automotive Group, Inc., Global Company Guaranteed Notes (Callable 10/01/17 @ 102.88)	(B+, B1)		10/01/22		5.750		312,750
	200	Takko Luxembourg 2 S.C.A., Rule 144A, Senior Secured Notes (Callable 10/10/16 @ 104.94)^(1),(7)	(CCC+, Caa1)		04/15/19		9.875		146,094

									2,838,260


	Steel Producers/Products (0.6%)
	1,000	Zekelman Industries, Inc., Rule 144A, Senior Secured Notes (Callable 06/15/19 @ 104.94)⁽¹⁾	(B, Caa2)		06/15/23		9.875		1,057,500


	Support - Services (4.0%)
	500	Avis Budget Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/15/20 @ 102.63)^(1),(3)	(B+, B1)		03/15/25		5.250		481,875
	800	Avis Budget Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/19 @ 104.78)⁽¹⁾	(B+, B1)		04/01/24		6.375		820,000
	900	Change Healthcare Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/17 @ 104.50)⁽¹⁾	(CCC+, Caa1)		02/15/21		6.000		951,750
	400	ESH Hospitality, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/01/20 @ 102.63)⁽¹⁾	(BB-, B2)		05/01/25		5.250		401,500
	750	Garda World Security Corp., Rule 144A, Company Guaranteed Notes (Callable 11/15/16 @ 105.44)⁽¹⁾	(CCC+, Caa1)		11/15/21		7.250		695,625
	1,335	H&E Equipment Services, Inc., Global Company Guaranteed Notes (Callable 09/01/17 @ 103.50)⁽³⁾	(BB-, B3)		09/01/22		7.000		1,415,100
	900	Infor U.S., Inc., Company Guaranteed Notes (Callable 05/15/18 @ 102.88)⁽⁷⁾	(B-, Caa1)		05/15/22		5.750		990,112
	800	Light Tower Rentals, Inc., Rule 144A, Senior Secured Notes (Callable 10/31/16 @ 106.09)^(1),(2)	(NR, NR)		08/01/19		8.125		364,000
	1,150	York Risk Services Holding Corp., Rule 144A, Company Guaranteed Notes (Callable 10/01/17 @ 106.38)⁽¹⁾	(CCC, Caa3)		10/01/22		8.500		899,875

									7,019,837


	Tech Hardware & Equipment (2.8%)
	700	Avaya, Inc., Rule 144A, Senior Secured Notes (Callable 10/31/16 @ 101.75)^(1),(3)	(CCC+, B2)		04/01/19		7.000		519,750
	750	Avaya, Inc., Rule 144A, Senior Secured Notes (Callable 10/31/16 @ 102.25)⁽¹⁾	(CCC+, B2)		04/01/19		9.000		564,375
	875	CommScope Technologies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 06/15/20 @ 103.00)⁽¹⁾	(B, B1)		06/15/25		6.000		937,344
	1,000	Dell, Inc., Global Senior Unsecured Notes	(BB-, Ba2)		04/15/38		6.500		970,000
	1,225	Riverbed Technology, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/18 @ 104.44)⁽¹⁾	(CCC+, Caa1)		03/01/23		8.875		1,315,344
	625	Western Digital Corp., Rule 144A, Senior Secured Notes (Callable 04/01/19 @ 103.69)⁽¹⁾	(BBB-, Ba1)		04/01/23		7.375		689,062

									4,995,875


	Telecom - Satellite (2.0%)
	482	Hughes Satellite Systems Corp., Global Company Guaranteed Notes	(BB-, B3)		06/15/21		7.625		515,740
	800	Hughes Satellite Systems Corp., Rule 144A, Senior Secured Notes⁽¹⁾	(BB+, Ba2)		08/01/26		5.250		792,000


Par (000)			Ratings† (S&P/Moody’s)	Maturity		Rate%		Value

	CORPORATE BONDS (continued)
	Telecom - Satellite
$	250	Intelsat Luxembourg S.A., Global Company Guaranteed Notes (Callable 06/01/17 @ 100.00)⁽³⁾	(CC, Ca)		06/01/18		6.750	$	166,250
	800	Intelsat Luxembourg S.A., Global Company Guaranteed Notes (Callable 06/01/17 @ 103.88)	(CC, Ca)		06/01/21		7.750		272,000
	1,875	Telesat LLC, Rule 144A, Company Guaranteed Notes (Callable 10/31/16 @ 100.00)⁽¹⁾	(B, B3)		05/15/17		6.000		1,879,688

									3,625,678


	Telecom - Wireless (2.3%)
	225	Sprint Corp., Global Company Guaranteed Notes	(B, Caa1)		09/15/23		7.875		227,531
	650	Sprint Corp., Global Company Guaranteed Notes	(B, Caa1)		06/15/24		7.125		637,000
	700	Sprint Corp., Global Company Guaranteed Notes (Callable 11/15/24 @ 100.00)	(B, Caa1)		02/15/25		7.625		696,500
	700	T-Mobile U.S.A., Inc., Global Company Guaranteed Notes (Callable 01/15/21 @ 103.25)	(BB, Ba3)		01/15/26		6.500		777,000
	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		1,716,750

									4,054,781


	Telecom - Wireline Integrated & Services (0.4%)
	625	Zayo Capital, Inc., Global Company Guaranteed Notes (Callable 04/01/18 @ 104.50)	(B-, B3)		04/01/23		6.000		659,375


	Theaters & Entertainment (0.8%)
	775	AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 02/15/17 @ 104.41)	(B, B2)		02/15/22		5.875		806,000
	650	Carmike Cinemas, Inc., Rule 144A, Secured Notes (Callable 06/15/18 @ 104.50)⁽¹⁾	(BB, B1)		06/15/23		6.000		679,250

									1,485,250


	Transport Infrastructure/Services (0.4%)
	1,310	Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes (Callable 01/15/17 @ 105.53)⁽¹⁾	(B-, Caa2)		01/15/22		7.375		638,625

	TOTAL CORPORATE BONDS (Cost $146,609,696)								135,203,931


	BANK LOANS (14.7%)
	Aerospace & Defense (0.7%)
	1,492	Sequa Corp.⁽¹⁰⁾	(CCC-, Caa3)		06/19/17		5.250		1,314,342


	Auto Parts & Equipment (0.9%)
	1,200	Jason, Inc.^(4),(10)	(CCC+, Caa2)		06/30/22		9.000		894,000
	732	U.S. Farathane LLC⁽¹⁰⁾	(B, B2)		12/23/21		5.750		735,396

									1,629,396


	Chemicals (2.1%)
	750	Chromaflo Technologies Corp.⁽¹⁰⁾	(CCC+, Caa2)		06/02/20		8.250		708,750
	1,500	Solenis International LP⁽¹⁰⁾	(B-, Caa1)		07/31/22		7.750		1,468,125
	1,500	Vantage Specialty Chemicals, Inc.^(4),(10)	(CCC, Caa1)		07/22/22		9.750		1,485,000

									3,661,875


	Diversified Capital Goods (0.5%)
	930	Dynacast International LLC⁽¹⁰⁾	(B-, Caa1)		01/30/23		9.500		911,400


	Electronics (0.3%)
	597	Excelitas Technologies Corp.⁽¹⁰⁾	(B-, B3)		10/31/20		6.000		587,596


	Energy - Exploration & Production (0.4%)
	1,000	W&T Offshore, Inc.⁽¹⁰⁾	(CCC, Caa2)		05/15/20		9.000		652,500


	Gaming (1.0%)
	744	CBAC Borrower LLC⁽¹⁰⁾	(B-, Caa1)		07/02/20		8.250		734,140
	990	ROC Finance LLC⁽¹⁰⁾	(B+, B2)		06/20/19		5.000		971,653

									1,705,793


	Health Services (1.1%)
	579	MMM Holdings, Inc.⁽¹⁰⁾	(B-, B3)		12/12/17		9.750		564,565


Par (000)			Ratings† (S&P/Moody’s)	Maturity		Rate%		Value

	BANK LOANS (continued)
	Health Services
$	421	MSO of Puerto Rico, Inc.⁽¹⁰⁾	(B-, B3)		12/12/17		9.750	$	410,435
	1,000	Phillips-Medisize Corp.⁽¹⁰⁾	(CCC+, Caa2)		06/16/22		8.250		1,002,505

									1,977,505


	Investments & Misc. Financial Services (0.8%)
	444	Liquidnet Holdings, Inc.⁽¹⁰⁾	(B, B2)		05/22/19		7.750		440,422
	1,000	Mergermarket U.S.A., Inc.^(4),(10)	(CCC+, Caa2)		02/04/22		7.500		960,000

									1,400,422


	Machinery (1.3%)
	1,250	CPM Holdings, Inc.^(4),(10)	(B, Caa1)		04/10/23		10.250		1,187,500
	1,125	WireCo WorldGroup, Inc.⁽¹⁰⁾	(B-, Caa2)		07/20/24		10.000		1,127,813

									2,315,313


	Media Content (0.3%)
	500	DLG Acquisitions Ltd.^(7),(10)	(B-, Caa2)		06/30/22		8.250		536,615


	Oil Field Equipment & Services (0.3%)
	1,000	Shelf Drilling Holdings Ltd.⁽¹⁰⁾	(CC, B3)		10/08/18		10.000		575,000


	Recreation & Travel (0.6%)
	1,000	Legendary Pictures Funding LLC^(4),(10)	(NR, NR)		04/22/20		7.000		1,002,500


	Software - Services (2.2%)
	1,240	Aricent Technologies^(4),(10)	(CCC, Caa2)		04/14/22		9.500		1,003,160
	1,000	Deltek, Inc.⁽¹⁰⁾	(CCC+, Caa2)		06/25/23		9.500		1,013,750
	1,000	Eze Castle Software, Inc.⁽¹⁰⁾	(CCC+, Caa1)		04/05/21		7.250		977,500
	975	Intralinks, Inc.^(4),(10)	(BB, B2)		02/24/19		7.250		966,444

									3,960,854


	Specialty Retail (0.6%)
	990	BJ’s Wholesale Club, Inc.⁽¹⁰⁾	(CCC, Caa2)		03/26/20		8.500		998,149


	Steel Producers/Products (0.9%)
	1,500	Atkore International, Inc.⁽¹⁰⁾	(CCC+, Caa1)		10/09/21		7.750		1,507,500


	Telecom - Wireline Integrated & Services (0.5%)
	1,000	Omnitracs, Inc.⁽¹⁰⁾	(CCC+, Caa1)		05/25/21		8.750		948,750


	Theaters & Entertainment (0.2%)
	1,000	CKX, Inc.^{(2),(4),(5),(10)}	(NR, NR)		06/21/17		11.000		420,000

	TOTAL BANK LOANS (Cost $26,309,935)								26,105,510


	ASSET BACKED SECURITIES (4.1%)
	Collateralized Debt Obligations (4.1%)
	1,000	Carlyle Global Market Strategies CLO Ltd., 2012-4A, Rule 144A^(1),(4),(6)	(NR, NR)		01/20/25		0.000		652,011
	2,000	CIFC Funding Ltd., 2012-2A, Rule 144A^(1),(10)	(BB-, NR)		12/05/24		6.585		1,961,798
	1,000	Galaxy XIV CLO Ltd., 2012-14A, Rule 144A^(1),(10)	(BB, NR)		11/15/24		6.217		973,278
	1,000	JFIN CLO Ltd., 2013-1A, Rule 144A^(1),(10)	(BB, NR)		01/20/25		5.446		765,788
	1,500	Ocean Trails CLO IV, 2013-4A, Rule 144A^(1),(10)	(B, NR)		08/13/25		6.717		1,186,186
	700	Stewart Park CLO Ltd., 2015-1A, Rule 144A^(1),(4),(6)	(NR, NR)		04/15/26		0.000		630,551
	1,325	Venture XVII CLO Ltd., 2014-17A, Rule 144A^(1),(10)	(NR, Ba2)		07/15/26		5.680		1,129,348

	TOTAL ASSET BACKED SECURITIES (Cost $8,139,533)								7,298,960


Number of Shares
	COMMON STOCKS (0.0%)
	Building & Construction (0.0%)
	6	White Forest Resources, Inc.^(4),(5),(11)							87

	Building Materials (0.0%)
	372	Dayton Superior Corp.^(4),(5),(11)							—

	Gaming (0.0%)
	36,250	Majestic Holdco LLC^(4),(11)							4,531


Number of Shares							Value

	COMMON STOCKS (continued)
	TOTAL COMMON STOCKS (Cost $275,986)						$	4,618


	PREFERRED STOCK (0.0%)
	Building Materials (0.0%)
	413	Dayton Superior Corp.^(4),(5),(11) (Cost $156,000)						—


	SHORT-TERM INVESTMENTS (9.2%)
	9,519,003	State Street Navigator Prime Portfolio, 0.30%⁽¹²⁾						9,519,003

Par (000)			Maturity		Rate%

$	6,695	State Street Bank and Trust Co. Euro Time Deposit		10/03/16		0.010		6,694,884


	TOTAL SHORT-TERM INVESTMENTS (Cost $16,213,887)							16,213,887


	TOTAL INVESTMENTS AT VALUE (104.3%) (Cost $197,705,037)							184,826,906

	LIABILITIES IN EXCESS OF OTHER ASSETS (-4.3%)							(7,694,975	)


	NET ASSETS (100.0%)						$	177,131,931

†	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 September 30, 2016, these securities amounted to a value of $87,639,864 or 49.5% of net assets.

⁽²⁾	Bond is currently in default.

⁽³⁾	Security or portion thereof is out on loan.

⁽⁴⁾	Illiquid security (unaudited).

⁽⁵⁾	Not readily marketable security; security is valued at fair value as determined in good faith by, or under the direction of, the Board of Directors.

⁽⁶⁾	Zero-coupon security.

⁽⁷⁾	This security is denominated in Euro.

⁽⁸⁾	PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal.

⁽⁹⁾	This security is denominated in British Pound.

⁽¹⁰⁾	Variable rate obligation — The interest rate shown is the rate as of September 30, 2016.

⁽¹¹⁾	Non-income producing security.

⁽¹²⁾	Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at September 30, 2016.

INVESTMENT ABBREVIATION

NR = Not Rated

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	2,693,098	EUR	2,358,500	10/14/16	Morgan Stanley	$	(2,693,098)	$	(2,651,738)	$	41,360
USD	479,682	EUR	430,000	10/14/16	Morgan Stanley		(479,682)		(483,463)		(3,781)
USD	1,171,302	GBP	832,500	10/14/16	Morgan Stanley		(1,171,302)		(1,081,668)		89,634


										$	127,213

Currency Abbreviations:

EUR = Euro

GBP = British Pound

USD = United States Dollar

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

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

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

Level 1–quoted prices in active markets for identical investments

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

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

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

The following is a summary of the inputs used as of September 30, 2016 in valuing the Fund’s assets and liabilities carried at fair value:


Assets	Level 1		Level 2		Level 3			Total
Investments in Securities
Corporate Bonds	$	—	$	133,993,904	$	1,210,027		$	135,203,931
Bank Loans		—		15,641,905		10,463,605			26,105,510
Asset Backed Securities		—		7,298,960		—			7,298,960
Common Stocks		—		4,531		87	⁽¹⁾		4,618	⁽¹⁾
Preferred Stock		—		—		0	⁽¹⁾		0	⁽¹⁾
Short-term Investments		—		16,213,887		—			16,213,887

	$	—	$	173,153,187	$	11,673,719		$	184,826,906

Other Financial Instruments*
Forward Foreign Currency Contracts	$	—	$	130,994	$	—		$	130,994

Liabilities	Level 1		Level 2		Level 3			Total
Other Financial Instruments*
Forward Foreign Currency Contracts	$	—	$	3,781	$	—		$	3,781

⁽¹⁾	Includes 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 September 30, 2016 for which significant unobservable inputs were used in determining value. All transfers, if any, are assumed to occur at the end of the reporting period.


	Corporate Bonds			Bank Loans			Common Stocks			Preferred Stock			Total
Balance as of December 31, 2015	$	118,037		$	11,031,469		$	—		$	—		$	11,149,506
Accrued discounts (premiums)		(26,469	)		90,229			—			—			63,760
Purchases		2,167,504			3,575,313			44,986			—			5,787,803
Sales		(437	)		(3,545,720	)		—			—			(3,546,157	)
Realized gain (loss)		(349,563	)		18,113			—			—			(331,450	)
Change in unrealized appreciation (depreciation)		(696,670	)		394,898			(44,899	)		—			(346,671	)
Transfers into Level 3		—			1,916,615			—			—			1,916,615
Transfers out of Level 3		(2,375	)		(3,017,312	)		—			—			(3,019,687	)

Balance as of September 30, 2016	$	1,210,027		$	10,463,605		$	87	⁽¹⁾	$	—	⁽¹⁾	$	11,673,719


Net change in unrealized appreciation (depreciation) from investments still held as of September 30, 2016	$	(1,047,045	)	$	407,510		$	(44,899	)	$	—		$	(684,434	)

⁽¹⁾	Includes a zero valued security.

Quantitative Disclosure About Significant Unobservable Inputs


Asset Class	Fair Value At 9/30/2016		Valuation Technique	Unobservable Input	Range (Weighted Average) (per share)
Corporate Bonds	$	11,051	Income Approach	Expected Remaining Distribution	NA
	$	1,198,976	Market Approach	Discount for Illiquidity	$0.50 – $0.90 ($0.54)
Bank Loans	$	420,000	Income Approach	Expected Remaining Distribution	NA
	$	10,043,605	Vendor Pricing	Single Broker Quote	$0.58 – $1.07 ($0.94)
Common Stocks	$	87	Market Approach	Discount for Illiquidity	$0.00 – $14.11 ($0.23)
Preferred Stock	$	0	Market Approach	Discount for Illiquidity	NA

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

During the period ended September 30, 2016, there were no transfers between Level 1 and Level 2, but there was $1,916,615 transferred from Level 2 to Level 3 due to a lack of pricing source supported by observable inputs and $3,019,687 transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs. All transfers, if any, are assumed to occur at the end of the reporting period.

Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Fund’s website at www.credit-suisse.com/us/funds, as well as on the website of the Securities and Exchange Commission at www.sec.gov.

Item 2: Controls and Procedures

(a) As of a date within 90 days from the filing date of this report, the principal executive officer and principal financial officer concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)), were effective based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities and Exchange Act of 1934.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3: Exhibits

1. The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.

/s/John G. Popp

Name: John G. Popp

Title: Chief Executive Officer and President

Date: November 22, 2016

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

/s/John G. Popp

Name: John G. Popp

Title: Chief Executive Officer and President

Date: November 22, 2016

/s/Laurie Pecha

Name: Laurie Pecha

Title: Chief Financial Officer

Date: November 22, 2016