N-Q 1 d305896dnq.htm CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.

Credit Suisse Asset Management Income Fund, Inc.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-05012

CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.

(Exact name of registrant as specified in charter)

c/o Credit Suisse Asset Management, LLC

One Madison Avenue

New York, New York 10010

(Address of principal executive offices) (Zip code)

John G. Popp

One Madison Avenue

New York, New York 10010

(Name and address of agent for service)

Registrant’s telephone number, including area code: (212) 325-2000
Date of fiscal year-end:		December 31st
Date of reporting period:		July 1, 2017 to September 30, 2017

Item 1:            Schedule of Investments

Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments

September 30, 2017 (unaudited)

Par (000)						Ratings†   (S&P/Moody’s)		Maturity				Rate%				Value
	CORPORATE BONDS (89.9%)
	Advertising (2.2%)
$	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			$	283,594
	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				1,526,625
	2,220			Southern Graphics, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/30/17 @ 102.09)(1)		(CCC+, Caa1)			10/15/20				8.375				2,261,625
																	4,071,844
	Air Transportation (0.3%)
	550			United Continental Holdings, Inc., Company Guaranteed Notes		(BB-, Ba3)			02/01/24				5.000				564,438
	Auto Parts & Equipment (2.0%)
	400			Adient Global Holdings Ltd., Rule 144A, Company Guaranteed Notes (Callable 08/15/21 @ 102.44)(1)		(BB, Ba3)			08/15/26				4.875				411,000
	1,300			Cooper-Standard Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/21 @ 102.81)(1)		(B+, B2)			11/15/26				5.625				1,332,500
	2,000			IHO Verwaltungs GmbH, Rule 144A, Senior Secured Notes (Callable 09/15/21 @ 102.38)(1)		(BB-, Ba1)			09/15/26				4.750				2,042,500
																	3,786,000
	Banking (0.8%)
	1,450			AssuredPartners, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/15/20 @ 103.50)(1)		(CCC+, Caa2)			08/15/25				7.000				1,488,063
	Brokerage (2.4%)
	600			Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 10/30/17 @ 105.16)(1)		(B, B1)			04/15/22				6.875				606,000
	1,450			Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 10/30/17 @ 105.63)(1)		(B, B1)			04/15/21				7.500				1,508,000
	2,375			LPL Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/15/20 @ 104.31)(1)		(B+, B2)			09/15/25				5.750				2,468,100
																	4,582,100
	Building & Construction (0.4%)
	750			Rialto Corp., Rule 144A, Company Guaranteed Notes (Callable 10/30/17 @ 101.75)(1)		(B, B1)			12/01/18				7.000				759,375
	Building Materials (6.5%)
	900			Airxcel, Inc., Rule 144A, Senior Secured Notes (Callable 02/15/19 @ 104.25)(1)		(B, B2)			02/15/22				8.500				956,340
	550			American Builders & Contractors Supply Co., Inc., Rule 144A, Senior Unsecured Notes (Callable 12/15/18 @ 104.31)(1)		(B+, B3)			12/15/23				5.750				587,125
	325			CD&R Waterworks Merger Sub LLC, Rule 144A, Senior Unsecured Notes (Callable 08/15/20 @ 103.06)(1)		(B-, Caa1)			08/15/25				6.125				334,344
	710			Eagle Materials, Inc., Company Guaranteed Notes (Callable 08/01/21 @ 102.25)		(BBB, Baa3)			08/01/26				4.500				743,725
	1,825			FBM Finance, Inc., Rule 144A, Senior Secured Notes (Callable 08/15/18 @ 104.13)(1)		(B+, B3)			08/15/21				8.250				1,961,875
	700			Masonite International Corp., Rule 144A, Company Guaranteed Notes (Callable 03/15/18 @ 104.22)(1)		(BB, Ba3)			03/15/23				5.625				736,085
	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				1,239,125
	1,600			Omnimax International, Inc., Rule 144A, Senior Secured Notes (Callable 02/15/18 @ 109.00)(1)		(B-, Caa1)			08/15/20				12.000				1,748,000
	1,350			PriSo Acquisition Corp., Rule 144A, Senior Unsecured Notes (Callable 05/15/18 @ 104.50)(1)		(CCC+, Caa1)			05/15/23				9.000				1,441,125
	500			Summit Materials Finance Corp., Global Company Guaranteed Notes (Callable 04/15/19 @ 104.25)		(BB-, B3)			04/15/22				8.500				565,000
	500			Summit Materials Finance Corp., Global Company Guaranteed Notes (Callable 07/15/18 @ 103.06)		(BB-, B3)			07/15/23				6.125				530,000
	475			U.S. Concrete, Inc., Global Company Guaranteed Notes (Callable 06/01/19 @ 104.78)		(BB-, B2)			06/01/24				6.375				514,187
	800			USG Corp., Rule 144A, Company Guaranteed Notes (Callable 06/01/22 @ 102.44)(1)		(BB+, Ba2)			06/01/27				4.875				837,000
																	12,193,931

Par (000)						Ratings†   (S&P/Moody’s)		Maturity				Rate%				Value
	CORPORATE BONDS (continued)
	Cable & Satellite TV (7.2%)
$	825			Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 02/15/18 @ 104.97)(1)		(BB-, B1)			02/15/23				6.625			$	876,562
	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				1,378,125
	200			Altice U.S. Finance I Corp., Rule 144A, Senior Secured Notes (Callable 07/15/18 @ 104.03)(1)		(BB, Ba3)			07/15/23				5.375				212,000
	1,850			Block Communications, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/20 @ 103.44)(1)		(BB-, Ba3)			02/15/25				6.875				2,017,055
	280			Cequel Capital Corp., Rule 144A, Senior Unsecured Notes (Callable 10/30/17 @ 101.59)(1)		(B, Caa1)			09/15/20				6.375				286,650
	685			CSC Holdings LLC, Global Senior Unsecured Notes		(B, B2)			06/01/24				5.250				694,419
	50			CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 04/15/22 @ 102.75)(1)		(BB, Ba1)			04/15/27				5.500				52,125
	400			CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 10/15/20 @ 103.31)(1)		(BB, Ba1)			10/15/25				6.625				439,000
	335			CSC Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/20 @ 105.44)(1)		(B, B2)			10/15/25				10.875				414,981
	2,350			Midcontinent Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/15/18 @ 105.16)(1)		(B, B3)			08/15/23				6.875				2,543,875
	550			SFR Group S.A., Rule 144A, Senior Secured Notes (Callable 05/01/21 @ 103.69)(1)		(B+, B1)			05/01/26				7.375				596,063
	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				1,271,700
	700			SFR Group S.A., Rule 144A, Senior Secured Notes (Callable 10/30/17 @ 104.50)(1)		(B+, B1)			05/15/22				6.000				732,375
	500			Virgin Media Secured Finance PLC, Rule 144A, Senior Secured Notes (Callable 04/15/22 @ 102.50)(1),(2)		(BB-, Ba3)			04/15/27				5.000				692,189
	1,350			Ziggo Secured Finance B.V., Rule 144A, Senior Secured Notes (Callable 01/15/22 @ 102.75)(1)		(BB-, Ba3)			01/15/27				5.500				1,386,706
																	13,593,825
	Chemicals (2.7%)
	1,225			A Schulman, Inc., Global Company Guaranteed Notes (Callable 06/01/18 @ 105.16)		(B, B3)			06/01/23				6.875				1,277,062
	475			GCP Applied Technologies, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/19 @ 104.75)(1)		(BB-, B1)			02/01/23				9.500				537,938
	500			PQ Corp., Rule 144A, Senior Secured Notes (Callable 05/15/19 @ 103.38)(1)		(B+, B2)			11/15/22				6.750				543,750
	276			Reichhold Industries, Inc., Rule 144A, Senior Secured Notes (Callable 10/30/17 @ 100.00)(1),(3),(4),(5),(6)		(NR, NR)			05/01/18				9.000				9,946
	1,000			Trinseo Materials Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/20 @ 102.69)(1)		(BB-, B3)			09/01/25				5.375				1,031,250
	500			Valvoline, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/19 @ 104.13)(1)		(BB+, Ba3)			07/15/24				5.500				535,000
	825			Valvoline, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/20 @ 103.28)(1)		(BB+, Ba3)			08/15/25				4.375				841,500
	325			Versum Materials, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/30/21 @ 102.75)(1)		(BB, Ba3)			09/30/24				5.500				345,313
																	5,121,759
	Consumer/Commercial/Lease Financing (1.5%)
	2,500			Infinity Acquisition Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 10/16/17 @ 103.63)(1)		(CCC+, Caa2)			08/01/22				7.250				2,456,250
	375			Lincoln Finance Ltd., Rule 144A, Senior Secured Notes (Callable 04/15/18 @ 103.69)(1)		(BB+, B1)			04/15/21				7.375				396,094
																	2,852,344
	Diversified Capital Goods (1.5%)
	900			Anixter, Inc., Global Company Guaranteed Notes		(BB, Ba3)			03/01/23				5.500				982,125
	470			EnerSys, Rule 144A, Company Guaranteed Notes (Callable 01/30/23 @ 100.00)(1)		(BB+, Ba2)			04/30/23				5.000				490,562
	1,250			TriMas Corp., Rule 144A, Company Guaranteed Notes (Callable 10/15/20 @ 102.44)(1)		(B+, B1)			10/15/25				4.875				1,262,500
																	2,735,187

Par (000)						Ratings†   (S&P/Moody’s)		Maturity				Rate%				Value
	CORPORATE BONDS (continued)
	Electronics (0.6%)
$	261			Microsemi Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/19 @ 106.84)(1)		(BB-, B2)			04/15/23				9.125			$	299,171
	675			NXP Funding LLC, Rule 144A, Company Guaranteed Notes(1)		(BBB-, Ba1)			06/01/23				4.625				727,313
																	1,026,484
	Energy - Exploration & Production (1.8%)
	725			Oasis Petroleum, Inc., Company Guaranteed Notes (Callable 10/30/17 @ 103.25)(7)		(BB-, B3)			11/01/21				6.500				743,125
	932			Stone Energy Corp., Secured Notes (Callable 05/31/20 @ 105.63)		(NR, NR)			05/31/22				7.500				904,268
	1,124			W&T Offshore, Inc., Global Company Guaranteed Notes (Callable 10/30/17 @ 100.00)		(CC, Ca)			06/15/19				8.500				994,740
	800			Whiting Petroleum Corp., Company Guaranteed Notes (Callable 12/15/20 @ 100.00)(7)		(BB-, B3)			03/15/21				5.750				788,000
																	3,430,133
	Food - Wholesale (1.8%)
	700			B&G Foods, Inc., Company Guaranteed Notes (Callable 04/01/20 @ 103.94)		(B+, B3)			04/01/25				5.250				719,250
	910			Clearwater Seafoods, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/01/20 @ 105.16)(1)		(B+, B3)			05/01/25				6.875				968,012
	550			Lamb Weston Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/21 @ 102.31)(1)		(BB, Ba3)			11/01/24				4.625				576,125
	400			Lamb Weston Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/21 @ 102.44)(1)		(BB, Ba3)			11/01/26				4.875				421,000
	700			U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/19 @ 102.94)(1)		(B+, B3)			06/15/24				5.875				736,750
																	3,421,137
	Gaming (1.4%)
	750			Gateway Casinos & Entertainment Ltd., Rule 144A, Secured Notes (Callable 03/01/20 @ 104.13)(1)		(CCC+, Caa1)			03/01/24				8.250				789,375
	1,100			Jacobs Entertainment, Inc., Rule 144A, Secured Notes (Callable 02/01/20 @ 105.91)(1)		(B, B2)			02/01/24				7.875				1,188,000
	495			Safari Holding Verwaltungs GmbH, Rule 144A, Senior Secured Notes (Callable 10/30/17 @ 104.13)(1),(8)		(B, B2)			02/15/21				8.250				610,457
																	2,587,832
	Gas Distribution (2.3%)
	1,500			Energy Transfer Equity LP, Senior Secured Notes		(BB-, Ba2)			10/15/20				7.500				1,696,875
	164			Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 05/15/18 @ 104.50)		(BB-, B1)			05/15/23				6.000				163,590
	750			Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 06/15/19 @ 102.81)		(BB-, B1)			06/15/24				5.625				731,250
	425			Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 10/01/20 @ 104.88)		(BB-, B1)			10/01/25				6.500				422,344
	350			Genesis Energy Finance Corp., Global Company Guaranteed Notes (Callable 10/30/17 @ 102.88)		(BB-, B1)			02/15/21				5.750				353,062
	1,000			Holly Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/19 @ 104.50)(1)		(BB, B2)			08/01/24				6.000				1,053,750
																	4,420,871
	Health Facilities (3.8%)
	1,000			HCA, Inc., Senior Secured Notes		(BBB-, Ba1)			03/15/24				5.000				1,067,500
	431			MPT Finance Corp., Company Guaranteed Notes (Callable 10/07/17 @ 103.19)		(BBB-, Ba1)			02/15/22				6.375				445,094
	600			MPT Finance Corp., Global Company Guaranteed Notes (Callable 10/15/22 @ 102.50)		(BBB-, Ba1)			10/15/27				5.000				616,500
	1,263			Sabra Health Care LP, Global Company Guaranteed Notes (Callable 05/15/26 @ 100.00)		(BBB-, Ba1)			08/15/26				5.125				1,297,812
	1,400			SP Finco LLC, Rule 144A, Company Guaranteed Notes (Callable 07/01/20 @ 103.38)(1),(7)		(CCC+, Caa2)			07/01/25				6.750				1,319,500
	1,000			Tenet Healthcare Corp., Global Senior Unsecured Notes		(CCC+, Caa1)			04/01/22				8.125				1,020,000

Par (000)						Ratings†   (S&P/Moody’s)		Maturity				Rate%				Value
	CORPORATE BONDS (continued)
	Health Facilities
$	1,450			Tenet Healthcare Corp., Rule 144A, Secured Notes (Callable 05/01/20 @ 102.56)(1)		(B-, Ba3)			05/01/25				5.125			$	1,433,687
																	7,200,093
	Health Services (1.2%)
	1,000			AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/19 @ 103.84)(1)		(BB-, Ba2)			10/01/24				5.125				1,038,750
	1,175			CareTrust Capital Corp., Company Guaranteed Notes (Callable 06/01/20 @ 103.94)		(BB-, B1)			06/01/25				5.250				1,212,130
																	2,250,880
	Hotels (0.8%)
	1,450			ESH Hospitality, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/01/20 @ 102.63)(1)		(BB-, B1)			05/01/25				5.250				1,502,563
	Insurance Brokerage (2.1%)
	710			Alliant Holdings Co-Issuer, Rule 144A, Senior Unsecured Notes (Callable 08/01/18 @ 104.13)(1)		(CCC+, Caa2)			08/01/23				8.250				752,451
	925			Hub Holdings Finance, Inc., 8.125% Cash, 8.875% PIK, Rule 144A, Senior Unsecured Notes (Callable 10/30/17 @ 100.00)(1),(9)		(CCC+, Caa2)			07/15/19				17.000				929,047
	550			HUB International Ltd., Rule 144A, Senior Unsecured Notes (Callable 10/30/17 @ 103.94)(1)		(CCC+, Caa2)			10/01/21				7.875				573,375
	1,700			NFP Corp., Rule 144A, Senior Unsecured Notes (Callable 07/15/20 @ 103.44)(1)		(CCC+, Caa2)			07/15/25				6.875				1,729,750
																	3,984,623
	Investments & Misc. Financial Services (1.0%)
	1,750			Orchestra Co-Issuer, Inc., Rule 144A, Secured Notes (Callable 06/15/19 @ 103.38)(1)		(B-, NR)			06/15/22				6.750				1,826,562
	Machinery (1.2%)
	775			Terex Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/20 @ 104.22)(1)		(BB, B2)			02/01/25				5.625				817,625
	1,300			Vertiv Intermediate Holding Corp., 12.000% Cash, 13.000% PIK, Rule 144A, Senior Unsecured Notes (Callable 02/15/19 @ 106.00)(1),(9)		(B-, Caa1)			02/15/22				25.000				1,467,375
																	2,285,000
	Media - Diversified (1.0%)
	2,100			National CineMedia LLC, Global Senior Unsecured Notes (Callable 08/15/21 @ 102.88)		(B-, B3)			08/15/26				5.750				1,958,250
	Media Content (2.5%)
	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				1,170,750
	1,000			Nexstar Broadcasting, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/18 @ 103.06)(1),(7)		(B+, B3)			02/15/22				6.125				1,047,500
	250			Nexstar Broadcasting, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/01/19 @ 104.22)(1)		(B+, B3)			08/01/24				5.625				259,375
	573			Sinclair Television Group, Inc., Global Company Guaranteed Notes (Callable 10/16/17 @ 103.06)		(B+, B1)			10/01/22				6.125				592,339
	1,150			The EW Scripps Co., Rule 144A, Company Guaranteed Notes (Callable 05/15/20 @ 103.84)(1)		(BB-, Ba2)			05/15/25				5.125				1,175,875
	405			WMG Acquisition Corp., Rule 144A, Senior Secured Notes (Callable 08/01/19 @ 102.50)(1)		(B+, Ba3)			08/01/23				5.000				419,681
																	4,665,520
	Metals & Mining - Excluding Steel (2.8%)
	1,250			Eldorado Gold Corp., Rule 144A, Company Guaranteed Notes (Callable 10/30/17 @ 103.06)(1)		(B+, B1)			12/15/20				6.125				1,276,562
	907			Kaiser Aluminum Corp., Global Company Guaranteed Notes (Callable 05/15/19 @ 104.41)		(BB+, Ba3)			05/15/24				5.875				972,758
	2,120			Noranda Aluminum Acquisition Corp., Global Company Guaranteed Notes (Callable 10/30/17 @ 102.75)(3),(4)		(NR, NR)			06/01/19				11.000				127
	1,000			Peabody Energy Corp., Rule 144A, Senior Secured Notes (Callable 03/31/20 @ 104.78)(1)		(B+, Ba3)			03/31/25				6.375				1,031,250

Par (000)						Ratings†   (S&P/Moody’s)		Maturity				Rate%				Value
	CORPORATE BONDS (continued)
	Metals & Mining - Excluding Steel
$	2,000			Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 06/15/19 @ 104.38)(1),(7)		(B-, B3)			06/15/22				8.750			$	2,040,000
																	5,320,697
	Oil Field Equipment & Services (4.3%)
	1,575			FTS International, Inc., Global Senior Secured Notes (Callable 10/30/17 @ 104.69)		(CCC+, Caa2)			05/01/22				6.250				1,449,000
	1,000			KCA Deutag UK Finance PLC, Rule 144A, Senior Secured Notes (Callable 04/01/20 @ 109.88)(1)		(CCC+, Caa1)			04/01/22				9.875				1,042,500
	1,194			Nor Offshore SPV Ltd., PIK, Senior Secured Notes (Callable 10/30/17 @ 100.00)(9)		(NR, NR)			02/04/20				8.400				449,503
	600			Pacific Drilling V Ltd., Rule 144A, Senior Secured Notes (Callable 10/30/17 @ 100.00)(1)		(NR, Ca)			12/01/17				7.250				249,000
	950			Parker Drilling Co., Global Company Guaranteed Notes (Callable 01/15/18 @ 103.38)		(B-, Caa1)			07/15/22				6.750				762,375
	400			Pioneer Energy Services Corp., Global Company Guaranteed Notes (Callable 10/30/17 @ 104.59)		(B-, Ca)			03/15/22				6.125				340,000
	500			Shelf Drilling Holdings Ltd., Rule 144A, Secured Notes (Callable 10/30/17 @ 102.16)(1)		(B-, B2)			11/01/18				8.625				500,625
	1,607			Shelf Drilling Holdings Ltd., Rule 144A, Secured Notes (Callable 10/30/17 @ 104.31)(1)		(B-, B2)			11/02/20				9.500				1,632,893
	641			Sidewinder Drilling, Inc.(4),(5),(6)		(NR, NR)			02/14/20				12.000				590,722
	750			Transocean, Inc., Global Company Guaranteed Notes (Callable 07/15/22 @ 100.00)(7)		(B+, Caa1)			10/15/22				5.800				740,625
	400			Trinidad Drilling Ltd., Rule 144A, Company Guaranteed Notes (Callable 02/15/20 @ 104.97)(1)		(BB-, Caa1)			02/15/25				6.625				376,000
																	8,133,243
	Oil Refining & Marketing (1.4%)
	500			CITGO Petroleum Corp., Rule 144A, Senior Secured Notes (Callable 10/30/17 @ 104.69)(1)		(B+, B3)			08/15/22				6.250				517,500
	2,000			Coffeyville Finance, Inc., Global Company Guaranteed Notes (Callable 11/01/17 @ 103.25)		(BB-, B1)			11/01/22				6.500				2,050,000
																	2,567,500
	Packaging (2.3%)
	1,050			Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/20 @ 104.50)(1)		(B, B3)			02/15/25				6.000				1,114,313
	600			Ardagh Holdings U.S.A., Inc., Rule 144A, Senior Secured Notes (Callable 05/15/19 @ 102.31)(1)		(BB, Ba3)			05/15/23				4.625				618,570
	1,050			Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes (Callable 01/15/20 @ 103.44)(1)		(CCC+, Caa1)			01/15/25				6.875				1,092,000
	1,000			Multi-Color Corp., Rule 144A, Senior Unsecured Notes (Callable 11/01/20 @ 102.44)(1)		(B+, B2)			11/01/25				4.875				1,013,450
	450			SIG Combibloc Holdings S.C.A., Rule 144A, Senior Secured Notes (Callable 02/15/18 @ 103.88)(1),(8)		(B-, Caa1)			02/15/23				7.750				564,103
																	4,402,436
	Personal & Household Products (0.9%)
	1,350			High Ridge Brands Co., Rule 144A, Company Guaranteed Notes (Callable 03/15/20 @ 104.44)(1)		(CCC+, Caa1)			03/15/25				8.875				1,292,625
	400			Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/19 @ 104.78)(1)		(B-, Caa1)			03/01/24				6.375				432,000
																	1,724,625
	Pharmaceuticals (2.5%)
	800			AMAG Pharmaceuticals, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/18 @ 105.91)(1)		(BB-, Ba3)			09/01/23				7.875				814,000
	650			Endo Finance LLC, Rule 144A, Senior Secured Notes (Callable 04/15/20 @ 102.94)(1),(7)		(BB-, Ba2)			10/15/24				5.875				684,125
	550			Valeant Pharmaceuticals International, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/20 @ 103.06)(1)		(B-, Caa1)			04/15/25				6.125				484,000
	1,525			Valeant Pharmaceuticals International, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/15/18 @ 102.94)(1)		(B-, Caa1)			05/15/23				5.875				1,351,531

Par (000)						Ratings†   (S&P/Moody’s)		Maturity				Rate%				Value
	CORPORATE BONDS (continued)
	Pharmaceuticals
$	1,300			Valeant Pharmaceuticals International, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/20 @ 103.50)(1)		(BB-, Ba3)			03/15/24				7.000			$	1,391,117
																	4,724,773
	Real Estate Investment Trusts (3.9%)
	750			iStar, Inc., Senior Unsecured Notes (Callable 04/01/19 @ 103.00)		(BB-, B1)			04/01/22				6.000				778,125
	600			iStar, Inc., Senior Unsecured Notes (Callable 07/01/18 @ 103.25)		(BB-, B1)			07/01/21				6.500				628,500
	1,000			iStar, Inc., Senior Unsecured Notes (Callable 09/15/19 @ 102.63)		(BB-, B1)			09/15/22				5.250				1,017,500
	1,398			iStar, Inc., Senior Unsecured Notes (Callable 10/30/17 @ 101.25)		(BB-, B1)			07/01/19				5.000				1,417,222
	1,300			QCP SNF West/Central/East/AL REIT LLC, Rule 144A, Secured Notes (Callable 11/01/19 @ 104.06)(1)		(B+, Caa2)			11/01/23				8.125				1,322,750
	1,175			QTS Finance Corp., Global Company Guaranteed Notes (Callable 10/30/17 @ 104.41)		(BB, B1)			08/01/22				5.875				1,228,639
	900			Starwood Property Trust, Inc., Global Senior Unsecured Notes (Callable 09/15/21 @ 100.00)		(BB-, Ba3)			12/15/21				5.000				941,625
																	7,334,361
	Recreation & Travel (1.2%)
	650			Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/22 @ 102.75)(1)		(BB-, B2)			04/15/27				5.500				667,875
	850			Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 07/31/19 @ 103.66)(1)		(BB-, B2)			07/31/24				4.875				867,000
	675			Speedway Motorsports, Inc., Global Company Guaranteed Notes (Callable 02/01/18 @ 103.84)		(BB+, Ba2)			02/01/23				5.125				700,312
																	2,235,187
	Restaurants (2.3%)
	1,350			Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/15/19 @ 103.38)(1)		(CCC+, Caa1)			10/15/24				6.750				1,336,529
	1,350			Landry’s, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/15/19 @ 103.38)(1)		(CCC+, Caa1)			10/15/24				6.750				1,368,563
	1,675			New Red Finance, Inc., Rule 144A, Secured Notes (Callable 10/15/20 @ 102.50)(1)		(B-, B3e)			10/15/25				5.000				1,704,145
																	4,409,237
	Software - Services (3.0%)
	1,150			CDK Global, Inc., Rule 144A, Senior Unsecured Notes (Callable 06/01/22 @ 102.44)(1)		(BB+, Ba1)			06/01/27				4.875				1,184,500
	900			First Data Corp., Rule 144A, Secured Notes (Callable 01/15/19 @ 102.88)(1)		(B, B3)			01/15/24				5.750				945,000
	700			Infor Software Parent, Inc., 7.125% Cash, 7.875% PIK, Rule 144A, Company Guaranteed Notes (Callable 10/30/17 @ 103.56)(1),(9)		(CCC, Caa2)			05/01/21				15.000				715,960
	650			j2 Global Co-Obligor, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/20 @ 104.50)(1)		(BB, Ba3)			07/15/25				6.000				683,312
	1,703			Syniverse Foreign Holdings Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/19 @ 104.56)(1)		(B, Caa3)			01/15/22				9.125				1,741,317
	295			Syniverse Holdings, Inc., Global Company Guaranteed Notes (Callable 10/02/17 @ 100.00)		(CCC+, Caa3)			01/15/19				9.125				294,263
																	5,564,352
	Specialty Retail (1.3%)
	1,000			Penske Automotive Group, Inc., Company Guaranteed Notes		(B+, B1)			08/15/20				3.750				1,022,500
	350			Penske Automotive Group, Inc., Company Guaranteed Notes (Callable 05/15/21 @ 102.75)		(B+, B1)			05/15/26				5.500				362,687
	750			Penske Automotive Group, Inc., Company Guaranteed Notes (Callable 12/01/19 @ 102.69)		(B+, B1)			12/01/24				5.375				776,250
	300			Penske Automotive Group, Inc., Global Company Guaranteed Notes (Callable 10/30/17 @ 102.88)		(B+, B1)			10/01/22				5.750				309,968
																	2,471,405
	Steel Producers/Products (0.8%)
	400			Commercial Metals Co., Senior Unsecured Notes (Callable 07/15/22 @ 102.69)		(BB+, Ba2)			07/15/27				5.375				421,000

Par (000)						Ratings†   (S&P/Moody’s)		Maturity				Rate%				Value
	CORPORATE BONDS (continued)
	Steel Producers/Products
$	1,000			Zekelman Industries, Inc., Rule 144A, Senior Secured Notes (Callable 06/15/19 @ 104.94)(1),(7)		(B, Caa1)			06/15/23				9.875			$	1,130,000
																	1,551,000
	Support - Services (6.6%)
	1,950			Avison Young Canada, Inc., Rule 144A, Senior Secured Notes (Callable 12/15/19 @ 104.75)(1)		(B+, B3)			12/15/21				9.500				1,976,812
	1,215			Conduent Business Services LLC, Rule 144A, Company Guaranteed Notes (Callable 12/15/20 @ 105.25)(1)		(B+, B2)			12/15/24				10.500				1,436,738
	1,200			Gartner, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/20 @ 103.84)(1)		(BB-, B1)			04/01/25				5.125				1,269,000
	2,000			H&E Equipment Services, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/20 @ 104.22)(1)		(BB-, B2)			09/01/25				5.625				2,115,000
	900			Infor U.S., Inc., Company Guaranteed Notes (Callable 05/15/18 @ 102.88)(8)		(CCC+, Caa1)			05/15/22				5.750				1,118,204
	1,467			KAR Auction Services, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/20 @ 103.84)(1)		(B, B3)			06/01/25				5.125				1,529,348
	1,400			Tempo Acquisition Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 06/01/20 @ 103.38)(1)		(CCC+, Caa1)			06/01/25				6.750				1,417,500
	1,100			United Rentals North America, Inc., Company Guaranteed Notes (Callable 01/15/23 @ 102.44)		(BB-, Ba3)			01/15/28				4.875				1,108,250
	500			United Rentals North America, Inc., Company Guaranteed Notes (Callable 05/15/22 @ 102.75)		(BB-, Ba3)			05/15/27				5.500				534,375
																	12,505,227
	Tech Hardware & Equipment (1.9%)
	250			CDW Finance Corp., Company Guaranteed Notes (Callable 03/01/20 @ 103.75)		(BB-, Ba3)			09/01/25				5.000				263,750
	525			CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 03/15/22 @ 102.50)(1)		(BB-, Ba3)			03/15/27				5.000				527,625
	875			CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 06/15/20 @ 103.00)(1)		(BB-, Ba3)			06/15/25				6.000				939,531
	1,225			Riverbed Technology, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/18 @ 104.44)(1)		(CCC+, Caa1)			03/01/23				8.875				1,171,406
	625			Western Digital Corp., Rule 144A, Senior Secured Notes (Callable 04/01/19 @ 103.69)(1)		(BBB-, Ba1)			04/01/23				7.375				686,250
																	3,588,562
	Telecom - Satellite (0.7%)
	482			Hughes Satellite Systems Corp., Global Company Guaranteed Notes		(BB-, B3)			06/15/21				7.625				549,128
	800			Hughes Satellite Systems Corp., Global Senior Secured Notes		(BBB-, Ba2)			08/01/26				5.250				835,000
																	1,384,128
	Telecom - Wireless (0.4%)
	700			T-Mobile U.S.A., Inc., Global Company Guaranteed Notes (Callable 01/15/21 @ 103.25)		(BB, Ba3)			01/15/26				6.500				774,375
	Telecom - Wireline Integrated & Services (2.6%)
	300			CyrusOne Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 03/15/22 @ 102.69)(1)		(BB+, Ba3)			03/15/27				5.375				322,500
	350			Equinix, Inc., Senior Unsecured Notes (Callable 05/15/22 @ 102.69)		(BB+, B1)			05/15/27				5.375				381,063
	2,151			GTT Communications, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/31/19 @ 105.91)(1)		(CCC+, Caa1)			12/31/24				7.875				2,290,815
	600			Zayo Capital, Inc., Global Company Guaranteed Notes (Callable 04/01/18 @ 104.50)		(B, B3)			04/01/23				6.000				636,750
	1,175			Zayo Capital, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/22 @ 102.88)(1)		(B, B3)			01/15/27				5.750				1,248,437
																	4,879,565
	Theaters & Entertainment (2.0%)
	750			AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes (Callable 05/15/22 @ 103.06)(7)		(B+, B2)			05/15/27				6.125				744,375
	775			AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes (Callable 10/30/17 @ 104.41)(7)		(B+, B2)			02/15/22				5.875				783,719
	425			AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes (Callable 11/15/21 @ 102.94)(7)		(B+, B2)			11/15/26				5.875				420,219

Par (000)						Ratings†   (S&P/Moody’s)		Maturity				Rate%				Value
	CORPORATE BONDS (continued)
	Theaters & Entertainment
$	750			Carmike Cinemas, Inc., Rule 144A, Secured Notes (Callable 06/15/18 @ 104.50)(1)		(BB, Ba1)			06/15/23				6.000			$	793,125
	1,025			Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/19 @ 103.66)(1)		(B+, B3)			11/01/24				4.875				1,063,437
																	3,804,875
	TOTAL CORPORATE BONDS (Cost $166,013,780)																169,684,362
	BANK LOANS (18.0%)
	Aerospace & Defense (0.5%)
	884			Sequa Mezzanine Holdings LLC, LIBOR 3M + 5.500%(10)		(B-, B3)			11/28/21				6.814				892,188
	Auto Parts & Equipment (0.8%)
	758			Dayco Products LLC, LIBOR 3M + 5.000%(6),(10)		(B+, B2)			05/19/23				6.317				763,786
	704			U.S. Farathane LLC, LIBOR 3M + 3.500%(6),(10)		(B, B2)			12/23/21				4.833				708,699
																	1,472,485
	Building Materials (1.1%)
	1,096			IPS Corp., LIBOR 1M + 5.250%(6),(10)		(B, B2)			12/20/23				6.487				1,111,112
	994			Morsco, Inc., LIBOR 1M + 7.000%(10)		(B+, B3)			10/31/23				8.235				1,004,020
																	2,115,132
	Chemicals (2.8%)
	1,313			ASP Chromaflo Intermediate Holdings, Inc., LIBOR 1M + 8.000%(10)		(CCC, Caa2)			11/14/24				9.235				1,309,219
	1,000			SK Spice Sarl, LIBOR 1M + 8.250%(6),(10)		(NR, Caa1)			07/11/25				9.487				1,015,000
	1,500			Solenis International LP, LIBOR 3M + 6.750%(10)		(B-, Caa1)			07/31/22				8.067				1,496,872
	1,500			Vantage Specialty Chemicals, Inc., Prime + 7.750%(4),(6),(10)		(CCC, Caa1)			02/05/22				12.000				1,507,500
																	5,328,591
	Diversified Capital Goods (0.5%)
	1,005			Dynacast International LLC, LIBOR 3M + 8.500%(6),(10)		(B-, Caa1)			01/30/23				9.833				1,010,025
	Electronics (1.2%)
	750			CPI International, Inc., LIBOR 1M + 7.250%(10)		(CCC+, Caa2)			07/26/25				8.485				753,281
	590			Excelitas Technologies Corp., LIBOR 3M + 5.000%(10)		(B-, B3)			10/31/20				6.340				592,185
	997			Oberthur Technologies S.A., LIBOR 3M + 3.750%(10)		(B-, B2)			01/10/24				5.083				971,309
																	2,316,775
	Energy - Exploration & Production (0.5%)
	1,000			W&T Offshore, Inc.(4),(10)		(CCC, Caa2)			05/15/20				9.000				900,000
	Gaming (1.1%)
	1,500			The Intertain Group Ltd., LIBOR 1M + 9.000%(2),(4),(10)		(B, Caa1)			12/16/22				10.000				2,087,942
	Health Facility (0.3%)
	501			Western Dental Services, Inc., LIBOR 1M + 5.250%(6),(10)		(B-, B3)			06/23/23				6.485				505,665
	Insurance Brokerage (1.1%)
	1,990			Acrisure LLC, LIBOR 2M + 5.000%(10)		(B, B2)			11/22/23				6.272				2,017,363
	Machinery (1.6%)
	1,750			CPM Acquisition Corp., LIBOR 1M + 8.250%(6),(10)		(B-, Caa1)			04/10/23				9.485				1,785,000
	1,125			WireCo WorldGroup, Inc., LIBOR 3M + 9.000%(10)		(B-, Caa2)			09/30/24				10.317				1,134,495
																	2,919,495
	Media Content (0.3%)
	500			DLG Acquisitions Ltd., EURIBOR 6M + 7.250%(8),(10)		(CCC+, Caa2)			06/30/22				8.250				594,351
	Personal & Household Products (1.3%)
	1,000			ABG Intermediate Holdings 2 LLC, LIBOR 3M + 7.750%(10)		(CCC+, Caa1)			09/26/25				9.083				1,010,348
	499			Comfort Holding LLC, LIBOR 1M + 4.750%(10)		(CCC+, B2)			02/05/24				5.981				450,742
	1,200			Comfort Holding LLC, LIBOR 1M + 10.000%(10)		(CCC-, Caa1)			02/03/25				11.231				1,024,002
																	2,485,092
	Recreation & Travel (0.5%)
	1,000			Legendary Pictures Funding LLC, LIBOR 3M + 6.000%(4),(6),(10)		(NR, NR)			04/22/20				7.333				987,500

Par (000)						Ratings†   (S&P/Moody’s)		Maturity				Rate%				Value
	BANK LOANS (continued)
	Software - Services (2.7%)
$	623			Almonde, Inc., LIBOR 3M + 7.250%(10)		(CCC+, Caa2)			06/13/25				8.567			$	636,178
	1,240			Aricent Technologies, LIBOR 1M + 8.500%(10)		(CCC, Caa2)			04/14/22				9.737				1,249,300
	1,000			Eze Castle Software, Inc., LIBOR 3M + 6.500%(10)		(CCC+, Caa1)			04/05/21				7.833				1,002,500
	500			Flexera Software LLC, LIBOR 3M + 7.000%(10)		(B-, Caa1)			04/02/21				8.330				500,625
	368			LDiscovery LLC, LIBOR 3M + 5.875%(4),(10)		(B+, B2)			12/09/22				7.186				346,350
	997			Synchronoss Technologies, Inc., LIBOR 1M + 4.500%(10)		(BB-, Ba3)			01/19/24				5.735				946,123
	500			Syniverse Holdings, Inc., LIBOR 3M + 3.000%(10)		(B, B3)			04/23/19				4.333				485,000
																	5,166,076
	Specialty Retail (0.5%)
	1,000			Sally Holdings LLC(10)		(BBB-, Ba1)			07/05/24				4.500				1,000,625
	Support - Services (0.2%)
	1,381			Sprint Industrial Holdings LLC, LIBOR 3M + 12.250%(4),(10)		(CC, Caa3)			11/14/19				13.500				379,641
	Telecom - Wireline Integrated & Services (0.9%)
	1,750			Omnitracs, Inc., LIBOR 3M + 7.750%(10)		(CCC+, Caa1)			05/25/21				9.090				1,756,563
	Theaters & Entertainment (0.1%)
	164			NEG Holdings LLC, LIBOR 3M + 8.000%(4),(5),(6),(10)		(NR, NR)			10/17/22				9.333				121,373
	TOTAL BANK LOANS (Cost $33,219,425)																34,056,882
	ASSET BACKED SECURITIES (1.4%)
	Collateralized Debt Obligations (1.4%)
	1,000			Galaxy XIV CLO Ltd., 2012-14A, Rule 144A, LIBOR 3M + 7.900%(1),(10)		(BB, NR)			11/15/26				9.215				1,020,246
	1,000			JFIN CLO Ltd., 2013-1A, Rule 144A, LIBOR 3M + 4.750%(1),(10)		(BB, NR)			01/20/25				6.057				993,032
	700			Stewart Park CLO Ltd., 2015-1A, Rule 144A(1),(4),(10),(11)		(NR, NR)			04/15/26				0.000				543,525
	TOTAL ASSET BACKED SECURITIES (Cost $2,559,831)																2,556,803
Number of Shares
	COMMON STOCKS (1.1%)
	Auto Parts & Equipment (0.4%)
	46,071			UCI International, Inc.(4),(5),(6),(12)													817,760
	Building & Construction (0.0%)
	6			White Forest Resources, Inc.(4),(5),(6),(12)													78
	Building Materials (0.0%)
	372			Dayton Superior Corp.(4),(5),(6),(12)													—
	Oil Field Equipment & Services (0.2%)
	11			Sidewinder Drilling, Inc., Series A(4),(5),(6),(12)													284,975
	Oil, Gas & Consumable Fuels (0.4%)
	26,788			Stone Energy Corp.(12)													778,459
	Support - Services (0.1%)
	800			LTR Holdings LLC(5),(6),(12)													284,000
	346			Sprint Industrial Holdings LLC, Class G(5),(6),(12)													4
	31			Sprint Industrial Holdings LLC, Class H(5),(6),(12)													—
	77			Sprint Industrial Holdings LLC, Class I(5),(6),(12)													1
																	284,005
	Theaters & Entertainment (0.0%)
	20			NEG Holdings LLC, Litigation Trust Units(4),(5),(6),(12)													20
	TOTAL COMMON STOCKS (Cost $2,887,148)																2,165,297
	PREFERRED STOCK (0.0%)
	Building Materials (0.0%)
	413			Dayton Superior Corp.(4),(5),(6),(12) (Cost $156,000)													—
	SHORT-TERM INVESTMENTS (9.1%)
	6,820,113			State Street Navigator Securities Lending Government Money Market Portfolio, 1.00%(13)													6,820,113

Par (000)								Maturity				Rate%				Value
	SHORT-TERM INVESTMENTS (continued)
$	10,408			State Street Bank and Trust Co. Euro Time Deposit					10/02/17				0.120			$	10,408,156
	TOTAL SHORT-TERM INVESTMENTS (Cost $17,228,269)																17,228,269
	TOTAL INVESTMENTS AT VALUE (119.5%) (Cost $222,064,453)																225,691,613
	LIABILITIES IN EXCESS OF OTHER ASSETS (-19.5%)																(36,926,377	)
	NET ASSETS (100.0%)															$	188,765,236

† Credit ratings given by the Standard & Poor’s Division of The McGraw-Hill Companies, Inc. (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”) are unaudited.

⁽¹⁾  Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2017, these securities amounted to a value of $123,430,952 or 65.4% of net assets.

⁽²⁾  This security is denominated in British Pound.

⁽³⁾  Bond is currently in default.

⁽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⁾  Investment was valued using significant unobservable inputs.

⁽⁷⁾  Security or portion thereof is out on loan.

⁽⁸⁾  This security is denominated in Euro.

⁽⁹⁾  PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal.

⁽¹⁰⁾  Variable rate obligation — The interest rate shown is the rate in effect as of September 30, 2017.

⁽¹¹⁾  Zero-coupon security.

⁽¹²⁾  Non-income producing security.

⁽¹³⁾  Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at September 30, 2017.

INVESTMENT ABBREVIATION

EURIBOR = Euro Interbank Offered Rate

LIBOR = London Interbank Offered Rate

NR = Not Rated

Forward Currency Contracts

Forward Currency to be Purchased (Local)						Forward Currency to be Sold (Local)						Expiration     Date		Counterparty		Value on Settlement Date				Current Value/Notional				Net Unrealized Appreciation (Depreciation)
EUR			450,000			USD			486,405			12/15/17		Morgan Stanley		$	486,405			$	534,123			$	47,718
GBP			667,850			USD			852,654			10/13/17		Morgan Stanley			852,654				896,321				43,667
USD			3,259,300			EUR			2,905,400			10/13/17		Morgan Stanley			(3,259,300	)			(3,436,613	)			(177,313	)
USD			127,211			EUR			115,100			12/15/17		Morgan Stanley			(127,211	)			(136,616	)			(9,405	)
USD			2,747,450			GBP			2,218,000			10/13/17		Morgan Stanley			(2,747,450	)			(2,976,778	)			(229,328	)
USD			848,524			GBP			667,350			12/15/17		Morgan Stanley			(848,524	)			(897,333	)			(48,809	)
																								$	(373,470	)

Currency Abbreviations:

EUR = Euro

GBP = British Pound

USD = United States Dollar

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

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

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

l Level  1–quoted prices in active markets for identical investments

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

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

Information Classification: Limited Access

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, 2017 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		$	—			$	169,083,695			$	600,667			$	169,684,362
Bank Loans			—				24,541,222				9,515,660				34,056,882
Asset Backed Securities			—				2,556,803				—				2,556,803
Common Stocks			778,459				—				1,386,838	(1)			2,165,297	(1)
Preferred Stock			—				—				0	(1)			0	(1)
Short-term Investments			—				17,228,269				—				17,228,269
		$	778,459			$	213,409,989			$	11,503,165	(1)		$	225,691,613	(1)
Other Financial Instruments*
Forward Currency Contracts		$	—			$	91,385			$	—			$	91,385
Liabilities		Level 1				Level 2				Level 3				Total
Other Financial Instruments*
Forward Currency Contracts		$	—			$	464,855			$	—			$	464,855

⁽¹⁾  Includes zero valued securities.

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

The following is a reconciliation of investments as of September 30, 2017 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, 2016		$	1,304,747			$	9,282,581			$	732,717	(1)		$	0	(1)		$	11,320,045	(1)
Accrued discounts (premiums)			(1,615	)			20,387				—				—				18,772
Purchases			593,869				5,775,516				968,201				—				7,337,586
Sales			(1,590,881	)			(3,549,717	)			(34,437	)			—				(5,175,035	)
Realized gain (loss)			(590,692	)			(8,060	)			(52,562	)			—				(651,314	)
Change in unrealized appreciation (depreciation)			885,239				429,246				(227,081	)			—				1,087,404
Transfers into Level 3			—				—				—				—				—
Transfers out of Level 3			—				(2,434,293	)			—				—				(2,434,293	)
Balance as of September 30, 2017		$	600,667			$	9,515,660			$	1,386,838	(1)		$	0	(1)		$	11,503,165	(1)
Net change in unrealized appreciation (depreciation) from investments still held as of September 30, 2017		$	(10,112	)		$	148,155			$	(227,081	)		$	—			$	(89,038	)

⁽¹⁾  Includes zero valued securities.

Quantitative Disclosure About Significant Unobservable Inputs

Asset Class		Fair Value At 9/30/2017				Valuation Technique		Unobservable Input		Range (Weighted Average) (per share)
Corporate Bonds		$	9,946			Income Approach		Expected Remaining Distribution		NA
		$	590,721			Market Approach		Comparable Bond Price		NA
Bank Loans		$	121,373			Market Approach		Comparable Bond Price		NA
		$	9,394,287			Vendor Pricing		Single Broker Quote		$0.99 – $1.02 ($1.01)
Common Stocks		$	98			Market Approach		Discount for Illiquidity		$1.00 – $12.69 ($0.25)
		$	1,101,761			Vendor Pricing		Single Broker Quote		$17.75 – $355 ($23.51)
		$	284,979			Market Approach		Comparable Bond Price		$0.01 – $24,871.24($611.99)
Preferred Stock		$	0			Market Approach		Discount for Illiquidity		NA

Each fair value determination is based on a consideration of relevant factors, including both observable and unobservable inputs. Observable and unobservable inputs that Credit Suisse Asset Management, LLC, the Fund’s investment adviser (“Credit Suisse” or the “Adviser”) considers may include (i) the existence of any contractual restrictions on the disposition of securities; (ii) information obtained from the company, which may include an analysis of the company’s financial statements, the company’s products or intended markets or the company’s technologies; (iii) the price of the same or similar security negotiated at arm’s length in an issuer’s completed subsequent round of financing; (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies; or (v) a probability and time value adjusted analysis of contractual term. Where available and appropriate, multiple valuation methodologies are applied to confirm fair value. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, determining fair value requires more judgment. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the investments existed. Accordingly, the degree of judgment exercised by the Fund in determining fair value is greatest for investments categorized in Level 3. In some circumstances, the inputs used to measure fair value might be categorized within different levels of the fair value hierarchy. In those instances, the fair value measurement is categorized in its entirety in the fair value hierarchy based on the

least observable input that is significant to the fair value measurement. Additionally, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different from the valuations used at the date of these financial statements.

During the period ended September 30, 2017, there were no transfers between Level 1 and Level 2, but there was $2,434,293 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 9, 2017

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 9, 2017

/s/Laurie Pecha

Name: Laurie Pecha

Title:   Chief Financial Officer

Date:   November 9, 2017