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:		January 1, 2017 to March 31, 2017

Item 1: Schedule of Investments

Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments

March 31, 2017 (unaudited)


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

	CORPORATE BONDS (80.3%)
	Advertising (1.9%)
$	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	$	280,500
	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		1,541,375
	1,270	Southern Graphics, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/01/17 @ 104.19)⁽¹⁾	(CCC+, Caa1)		10/15/20		8.375		1,295,400
	405	WMG Acquisition Corp., Rule 144A, Senior Secured Notes (Callable 08/01/19 @ 102.50)⁽¹⁾	(B, Ba3)		08/01/23		5.000		410,569

									3,527,844


	Air Transportation (0.3%)
	550	United Continental Holdings, Inc., Company Guaranteed Notes	(BB-, NR)		02/01/24		5.000		550,688


	Auto Parts & Equipment (2.6%)
	400	Adient Global Holdings Ltd., Rule 144A, Company Guaranteed Notes (Callable 08/15/21 @ 102.44)⁽¹⁾	(BB, Ba3)		08/15/26		4.875		393,500
	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		1,303,250
	2,000	IHO Verwaltungs GmbH, Rule 144A, Senior Secured Notes (Callable 09/15/21 @ 102.38)⁽¹⁾	(BB-, Ba1)		09/15/26		4.750		1,955,000
	1,150	MPG Holdco I, Inc., Global Company Guaranteed Notes (Callable 10/15/17 @ 105.53)	(B+, B3)		10/15/22		7.375		1,250,625

									4,902,375


	Banking (0.6%)
	1,175	Ladder Capital Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 09/15/21 @ 100.00)⁽¹⁾	(B+, Ba3)		03/15/22		5.250		1,186,750


	Brokerage (1.0%)
	400	Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 05/01/17 @ 105.16)⁽¹⁾	(B, B1)		04/15/22		6.875		384,000
	1,450	Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/17 @ 105.63)⁽¹⁾	(B, B1)		04/15/21		7.500		1,468,125

									1,852,125


	Building & Construction (2.0%)
	900	Airxcel, Inc., Rule 144A, Senior Secured Notes (Callable 02/15/19 @ 104.25)⁽¹⁾	(B, B2)		02/15/22		8.500		929,250
	1,400	AV Homes, Inc., Global Company Guaranteed Notes (Callable 05/01/17 @ 106.38)	(B, Caa1)		07/01/19		8.500		1,463,000
	750	Rialto Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/17 @ 101.75)⁽¹⁾	(B, B1)		12/01/18		7.000		767,812
	475	U.S. Concrete, Inc., Global Company Guaranteed Notes (Callable 06/01/19 @ 104.78)	(BB-, B2)		06/01/24		6.375		494,000

									3,654,062


	Building Materials (4.8%)
	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
	710	Eagle Materials, Inc., Company Guaranteed Notes (Callable 08/01/21 @ 102.25)	(BBB, Ba1)		08/01/26		4.500		710,000
	1,600	Euramax International, Inc., Rule 144A, Senior Secured Notes (Callable 02/15/18 @ 109.00)⁽¹⁾	(B-, Caa2)		08/15/20		12.000		1,760,000
	1,825	FBM Finance, Inc., Rule 144A, Senior Secured Notes (Callable 08/15/18 @ 104.13)⁽¹⁾	(B+, Caa1)		08/15/21		8.250		1,943,625
	475	GCP Applied Technologies, Inc. Rule 144A, Company Guaranteed Notes (Callable 02/01/19 @ 104.75)⁽¹⁾	(B+, B1)		02/01/23		9.500		540,312
	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		1,253,500
	1,125	PriSo Acquisition Corp., Rule 144A, Senior Unsecured Notes (Callable 05/15/18 @ 104.50)⁽¹⁾	(CCC+, Caa1)		05/15/23		9.000		1,153,125
	500	Summit Materials Finance Corp., Global Company Guaranteed Notes (Callable 04/15/19 @ 104.25)	(B, B3)		04/15/22		8.500		552,500


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

	CORPORATE BONDS (continued)
	Building Materials
$	500	Summit Materials Finance Corp., Global Company Guaranteed Notes (Callable 07/15/18 @ 103.06)	(B, B3)		07/15/23		6.125	$	512,500

									8,920,750


	Cable & Satellite TV (6.7%)
	825	Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 02/15/18 @ 104.97)⁽¹⁾	(BB-, B1)		02/15/23		6.625		860,887
	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		1,331,250
	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		207,000
	1,850	Block Communications, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/20 @ 103.44)⁽¹⁾	(BB-, Ba3)		02/15/25		6.875		1,965,625
	400	Cequel Capital Corp., Rule 144A, Senior Unsecured Notes (Callable 05/01/17 @ 103.19)⁽¹⁾	(B-, Caa1)		09/15/20		6.375		413,000
	685	CSC Holdings LLC, Global Senior Unsecured Notes	(B-, B2)		06/01/24		5.250		684,144
	300	CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 04/15/22 @ 102.75)⁽¹⁾	(BB-, Ba1)		04/15/27		5.500		305,625
	400	CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 10/15/20 @ 103.31)⁽¹⁾	(BB-, Ba1)		10/15/25		6.625		436,000
	400	CSC Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/20 @ 105.44)⁽¹⁾	(B-, B2)		10/15/25		10.875		482,000
	1,175	Midcontinent Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/15/18 @ 105.16)⁽¹⁾	(B+, B3)		08/15/23		6.875		1,255,781
	550	SFR Group S.A., Rule 144A, Senior Secured Notes (Callable 05/01/21 @ 103.69)⁽¹⁾	(B+, B1)		05/01/26		7.375		568,563
	700	SFR Group S.A., Rule 144A, Senior Secured Notes (Callable 05/15/17 @ 104.50)⁽¹⁾	(B+, B1)		05/15/22		6.000		728,000
	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		1,212,000
	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		632,258
	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		1,353,240

									12,435,373


	Chemicals (3.6%)
	1,225	A Schulman, Inc., Global Company Guaranteed Notes (Callable 06/01/18 @ 105.16)	(B, B3e)		06/01/23		6.875		1,277,062
	1,050	Alpha U.S. Bidco, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/20 @ 103.13)⁽¹⁾	(CCC+, Caa1)		02/01/25		6.250		1,068,375
	600	Blue Cube Spinco, Inc., Global Company Guaranteed Notes (Callable 10/15/20 @ 105.00)	(BB, Ba1)		10/15/25		10.000		727,500
	500	Chemtura Corp., Company Guaranteed Notes (Callable 05/01/17 @ 104.31)	(BB-, B1)		07/15/21		5.750		517,188
	650	Koppers, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/20 @ 104.50)^(1),(3)	(B+, B1)		02/15/25		6.000		672,750
	500	PQ Corp., Rule 144A, Senior Secured Notes (Callable 05/15/19 @ 103.38)⁽¹⁾	(B+, B2)		11/15/22		6.750		533,750
	276	Reichhold Industries, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/17 @ 100.00)^{(1),(4),(5),(6)}	(NR, NR)		05/08/17		9.000		9,946
	1,075	Tronox Finance LLC, Global Company Guaranteed Notes (Callable 05/01/17 @ 103.19)	(B-, Caa1)		08/15/20		6.375		1,084,406
	425	Valvoline, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/19 @ 104.13)⁽¹⁾	(BB, Ba3)		07/15/24		5.500		447,313
	325	Versum Materials, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/30/21 @ 102.75)⁽¹⁾	(BB, Ba3)		09/30/24		5.500		336,781

									6,675,071


	Consumer/Commercial/Lease Financing (2.2%)
	2,000	Infinity Acquisition Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 08/01/17 @ 103.63)⁽¹⁾	(CCC+, Caa2)		08/01/22		7.250		1,840,000
	375	Lincoln Finance Ltd., Rule 144A, Senior Secured Notes (Callable 04/15/18 @ 103.69)⁽¹⁾	(BB+, B1)		04/15/21		7.375		398,906
	1,300	NFP Corp., Rule 144A, Senior Unsecured Notes (Callable 05/01/17 @ 106.75)⁽¹⁾	(CCC+, Caa2)		07/15/21		9.000		1,378,780


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

	CORPORATE BONDS (continued)
	Consumer/Commercial/Lease Financing
$	400	Park Aerospace Holdings Ltd., Rule 144A, Company Guaranteed Notes⁽¹⁾	(BB-, B1)		08/15/22		5.250	$	417,500

									4,035,186


	Diversified Capital Goods (1.9%)
	900	Anixter, Inc., Global Company Guaranteed Notes	(BB, Ba3)		03/01/23		5.500		937,125
	1,550	Belden, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/17 @ 102.75)⁽¹⁾	(BB-, Ba3)		09/01/22		5.500		1,588,750
	470	EnerSys, Rule 144A, Company Guaranteed Notes (Callable 01/30/23 @ 100.00)⁽¹⁾	(BB+, Ba2)		04/30/23		5.000		474,700
	575	SPX FLOW, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/21 @ 102.94)⁽¹⁾	(BB-, B1)		08/15/26		5.875		581,469

									3,582,044


	Electronics (0.7%)
	500	Microsemi Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/19 @ 106.84)⁽¹⁾	(B+, B2)		04/15/23		9.125		576,875
	675	NXP Funding LLC, Rule 144A, Company Guaranteed Notes⁽¹⁾	(BBB-, Ba1)		06/01/23		4.625		716,344

									1,293,219


	Energy - Exploration & Production (3.0%)
	900	Aker BP ASA, Rule 144A, Subordinated Notes (Callable 05/27/19 @ 105.13)⁽¹⁾	(NR, NR)		05/27/22		10.250		1,010,250
	725	Oasis Petroleum, Inc., Company Guaranteed Notes (Callable 05/01/17 @ 103.25)	(B+, B3)		11/01/21		6.500		730,437
	250	Peabody Securities Finance Corp., Rule 144A, Senior Secured Notes (Callable 03/31/19 @ 103.00)⁽¹⁾	(B+, Ba3)		03/31/22		6.000		249,531
	1,000	Peabody Securities Finance Corp., Rule 144A, Senior Secured Notes (Callable 03/31/20 @ 104.78)⁽¹⁾	(B+, Ba3)		03/31/25		6.375		998,750
	932	Stone Energy Corp., Secured Notes (Callable 05/31/20 @ 105.63)	(NR, NR)		05/31/22		7.500		911,260
	1,124	W&T Offshore, Inc., Global Company Guaranteed Notes (Callable 05/01/17 @ 102.13)	(CC, Ca)		06/15/19		8.500		913,250
	800	Whiting Petroleum Corp., Company Guaranteed Notes (Callable 12/15/20 @ 100.00)	(BB-, B3)		03/15/21		5.750		796,000

									5,609,478


	Food - Wholesale (1.9%)
	700	B&G Foods, Inc., Company Guaranteed Notes (Callable 04/01/20 @ 103.94)	(B+, B3)		04/01/25		5.250		707,875
	550	Lamb Weston Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/21 @ 102.31)⁽¹⁾	(BB, Ba3)		11/01/24		4.625		562,375
	550	Lamb Weston Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/21 @ 102.44)⁽¹⁾	(BB, Ba3)		11/01/26		4.875		562,375
	375	Post Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/20 @ 104.13)⁽¹⁾	(B, B3)		03/01/25		5.500		378,750
	650	Post Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/22 @ 102.88)⁽¹⁾	(B, B3)		03/01/27		5.750		651,625
	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

									3,592,750


	Forestry & Paper (0.0%)
	1,000	Stone & Webster, Inc.^(5),(7)	(NR, NR)		10/23/19		0.000		1,000


	Gaming (1.2%)
	500	Gateway Casinos & Entertainment Ltd., Rule 144A, Secured Notes (Callable 03/01/20 @ 104.13)⁽¹⁾	(CCC+, Caa1)		03/01/24		8.250		507,500
	1,100	Jacobs Entertainment, Inc., Rule 144A, Secured Notes (Callable 02/01/20 @ 105.91)⁽¹⁾	(B, B2)		02/01/24		7.875		1,134,375
	485	Safari Holding Verwaltungs GmbH, Rule 144A, Senior Secured Notes (Callable 05/02/17 @ 104.13)^(1),(8)	(B, B2)		02/15/21		8.250		540,560

									2,182,435


	Gas Distribution (1.6%)
	1,500	Energy Transfer Equity LP, Senior Secured Notes	(BB, Ba2)		10/15/20		7.500		1,680,000


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

	CORPORATE BONDS (continued)
	Gas Distribution
$	164	Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 05/15/18 @ 104.50)	(B+, B1)		05/15/23		6.000	$	165,640
	750	Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 06/15/19 @ 102.81)	(B+, B1)		06/15/24		5.625		736,875
	350	Genesis Energy Finance Corp., Global Company Guaranteed Notes (Callable 05/01/17 @ 102.88)	(B+, B1)		02/15/21		5.750		356,125

									2,938,640


	Health Facilities (2.1%)
	1,263	Care Capital Properties LP, Global Company Guaranteed Notes (Callable 05/15/26 @ 100.00)	(BBB-, Baa3)		08/15/26		5.125		1,251,649
	1,075	HCA, Inc., Global Senior Secured Notes (Callable 12/15/25 @ 100.00)	(BBB-, Ba1)		06/15/26		5.250		1,134,125
	500	MPT Finance Corp., Company Guaranteed Notes (Callable 05/01/17 @ 103.19)	(BBB-, Ba1)		02/15/22		6.375		517,500
	1,000	Tenet Healthcare Corp., Global Senior Unsecured Notes	(CCC+, Caa1)		04/01/22		8.125		1,048,750

									3,952,024


	Insurance Brokerage (1.2%)
	925	Hub Holdings Finance, Inc., 8.125% Cash, 8.875% PIK, Rule 144A, Senior Unsecured Notes (Callable 05/01/17 @ 101.00)^(1),(9)	(CCC+, Caa2)		07/15/19		17.000		929,625
	675	HUB International Ltd., Rule 144A, Secured Notes (Callable 04/13/17 @ 103.00)⁽¹⁾	(NR, B3)		02/15/21		9.250		696,533
	550	HUB International Ltd., Rule 144A, Senior Unsecured Notes (Callable 05/01/17 @ 105.91)⁽¹⁾	(CCC+, Caa2)		10/01/21		7.875		574,750

									2,200,908


	Investments & Misc. Financial Services (1.3%)
	1,400	LPL Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/15/20 @ 104.31)⁽¹⁾	(B+, B2)		09/15/25		5.750		1,417,500
	900	Starwood Property Trust, Inc., Rule 144A, Senior Unsecured Notes (Callable 09/15/21 @ 100.00)⁽¹⁾	(BB-, Ba3)		12/15/21		5.000		936,000

									2,353,500


	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		787,594
	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		1,362,556

									2,150,150


	Media - Diversified (0.7%)
	1,350	National CineMedia LLC, Global Senior Unsecured Notes (Callable 08/15/21 @ 102.88)	(B, B2)		08/15/26		5.750		1,372,942


	Media Content (1.6%)
	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		1,149,750
	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		1,045,000
	250	Nexstar Broadcasting, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/01/19 @ 104.22)⁽¹⁾	(NR, B3)		08/01/24		5.625		254,375
	573	Sinclair Television Group, Inc., Global Company Guaranteed Notes (Callable 10/01/17 @ 103.06)	(B+, B1)		10/01/22		6.125		602,366

									3,051,491


	Metals & Mining - Excluding Steel (2.9%)
	1,250	Eldorado Gold Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/17 @ 103.06)⁽¹⁾	(BB-, B1)		12/15/20		6.125		1,287,500
	907	Kaiser Aluminum Corp., Global Company Guaranteed Notes (Callable 05/15/19 @ 104.41)	(BB, Ba3)		05/15/24		5.875		947,534
	2,120	Noranda Aluminum Acquisition Corp., Global Company Guaranteed Notes (Callable 05/01/17 @ 102.75)⁽⁴⁾	(NR, NR)		06/01/19		11.000		127


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

	CORPORATE BONDS (continued)
	Metals & Mining - Excluding Steel
$	3,325	Taseko Mines Ltd., Company Guaranteed Notes (Callable 05/01/17 @ 100.00)⁽³⁾	(B-, Caa1)		04/15/19		7.750	$	3,241,875

									5,477,036


	Oil Field Equipment & Services (4.3%)
	1,575	FTS International, Inc., Global Senior Secured Notes (Callable 05/01/17 @ 104.69)	(CCC, Ca)		05/01/22		6.250		1,386,000
	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		1,027,500
	1,145	Nor Offshore SPV Ltd., PIK, Senior Secured Notes (Callable 05/02/17 @ 100.00)⁽⁹⁾	(NR, NR)		02/04/20		8.400		384,801
	600	Pacific Drilling V Ltd., Rule 144A, Senior Secured Notes (Callable 05/02/17 @ 100.00)⁽¹⁾	(NR, Ca)		12/01/17		7.250		330,000
	950	Parker Drilling Co., Global Company Guaranteed Notes (Callable 01/15/18 @ 103.38)	(B-, Caa1)		07/15/22		6.750		847,875
	400	Pioneer Energy Services Corp., Global Company Guaranteed Notes (Callable 05/01/17 @ 104.59)	(B-, Ca)		03/15/22		6.125		366,000
	500	Shelf Drilling Holdings Ltd., Rule 144A, Secured Notes (Callable 05/01/17 @ 102.16)⁽¹⁾	(B-, B2)		11/01/18		8.625		477,500
	1,607	Shelf Drilling Holdings Ltd., Rule 144A, Secured Notes (Callable 05/01/17 @ 104.31)⁽¹⁾	(B-, B2)		11/02/20		9.500		1,510,376
	595	Sidewinder Drilling, Inc.^(5),(6)	(NR, NR)		02/14/20		12.000		576,147
	750	Transocean, Inc., Global Company Guaranteed Notes (Callable 07/15/22 @ 100.00)⁽³⁾	(B+, Caa1)		10/15/22		5.550		709,219
	400	Trinidad Drilling Ltd., Rule 144A, Company Guaranteed Notes (Callable 02/15/20 @ 104.97)⁽¹⁾	(BB-, Caa1)		02/15/25		6.625		400,500

									8,015,918


	Oil Refining & Marketing (2.7%)
	500	CITGO Petroleum Corp., Rule 144A, Senior Secured Notes (Callable 08/15/17 @ 104.69)⁽¹⁾	(B+, B3)		08/15/22		6.250		508,750
	2,000	Coffeyville Finance, Inc., Global Company Guaranteed Notes (Callable 11/01/17 @ 103.25)	(BB-, B1)		11/01/22		6.500		2,025,000
	225	Northern Tier Finance Corp., Global Senior Secured Notes (Callable 05/01/17 @ 103.56)	(BB-, B1)		11/15/20		7.125		235,125
	1,850	PBF Finance Corp., Global Senior Secured Notes (Callable 05/01/17 @ 102.06)⁽³⁾	(BBB-, B1)		02/15/20		8.250		1,891,625
	300	Western Refining, Inc., Global Company Guaranteed Notes (Callable 05/01/17 @ 103.13)	(B, B3)		04/01/21		6.250		310,312

									4,970,812


	Packaging (1.7%)
	1,050	Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/20 @ 104.50)⁽¹⁾	(CCC+, B3)		02/15/25		6.000		1,064,437
	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		606,750
	1,050	Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes (Callable 01/15/20 @ 103.44)⁽¹⁾	(B-, Caa1)		01/15/25		6.875		1,074,649
	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		514,928

									3,260,764


	Personal & Household Products (0.6%)
	725	High Ridge Brands Co., Rule 144A, Company Guaranteed Notes (Callable 03/15/20 @ 104.44)⁽¹⁾	(CCC+, Caa1)		03/15/25		8.875		741,313
	400	Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/19 @ 104.78)⁽¹⁾	(B-, Caa1)		03/01/24		6.375		422,000

									1,163,313


	Pharmaceuticals (2.4%)
	800	AMAG Pharmaceuticals, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/18 @ 105.91)⁽¹⁾	(B+, B3)		09/01/23		7.875		762,000
	618	Capsugel S.A., 7.000% Cash, 7.750% PIK, Rule 144A, Company Guaranteed Notes (Callable 04/17/17 @ 100.00)^(1),(9)	(B-, Caa1)		05/15/19		14.750		616,609


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

	CORPORATE BONDS (continued)
	Pharmaceuticals
$	550	Valeant Pharmaceuticals International, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/20 @ 103.06)⁽¹⁾	(B-, Caa1)		04/15/25		6.125	$	425,563
	89	Valeant Pharmaceuticals International, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/01/17 @ 102.53)^(1),(3)	(B-, Caa1)		08/15/18		6.750		89,278
	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		1,191,406
	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		1,337,375

									4,422,231


	Real Estate Investment Trusts (2.8%)
	300	CyrusOne Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 03/15/22 @ 102.69)⁽¹⁾	(BB, B1)		03/15/27		5.375		303,750
	750	iStar, Inc., Senior Unsecured Notes (Callable 04/01/19 @ 103.00)	(B+, B2)		04/01/22		6.000		763,125
	1,398	iStar, Inc., Senior Unsecured Notes (Callable 05/01/17 @ 102.50)	(B+, B2)		07/01/19		5.000		1,411,980
	600	iStar, Inc., Senior Unsecured Notes (Callable 07/01/18 @ 103.25)	(B+, B2)		07/01/21		6.500		618,000
	875	QCP SNF West/Central/East/AL REIT LLC, Rule 144A, Secured Notes (Callable 11/01/19 @ 104.06)^(1),(3)	(BB-, B3)		11/01/23		8.125		912,187
	1,175	QTS Finance Corp., Global Company Guaranteed Notes (Callable 08/01/17 @ 104.41)	(BB, B1)		08/01/22		5.875		1,210,250

									5,219,292


	Recreation & Travel (1.8%)
	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		1,638,750
	250	Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/17 @ 102.63)⁽¹⁾	(BB-, B2)		01/15/21		5.250		257,113
	700	Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 07/31/19 @ 103.66)⁽¹⁾	(BB-, B2)		07/31/24		4.875		694,750
	675	Speedway Motorsports, Inc., Global Company Guaranteed Notes (Callable 02/01/18 @ 103.84)	(BB+, Ba2)		02/01/23		5.125		685,125

									3,275,738


	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		1,482,000


	Software - Services (1.9%)
	690	First Data Corp., Rule 144A, Secured Notes (Callable 01/15/19 @ 102.88)⁽¹⁾	(B, B3)		01/15/24		5.750		714,322
	525	NeuStar, Inc., Global Company Guaranteed Notes (Callable 01/15/18 @ 102.25)	(B, B2)		01/15/23		4.500		541,406
	900	Sungard Availability Services Capital, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/19 @ 104.38)⁽¹⁾	(CCC, Caa2)		04/01/22		8.750		650,250
	295	Syniverse Holdings, Inc., Global Company Guaranteed Notes (Callable 05/01/17 @ 100.00)	(CCC+, Caa3)		01/15/19		9.125		276,563
	1,215	Xerox Business Services LLC, Rule 144A, Company Guaranteed Notes (Callable 12/15/20 @ 105.25)⁽¹⁾	(B+, B2)		12/15/24		10.500		1,403,325

									3,585,866


	Specialty Retail (1.6%)
	975	Beverages & More, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/17 @ 102.50)⁽¹⁾	(B-, Caa1)		11/15/18		10.000		934,781
	570	Caleres, Inc., Global Company Guaranteed Notes (Callable 08/15/18 @ 104.69)	(BB, B1)		08/15/23		6.250		597,075
	350	Penske Automotive Group, Inc., Company Guaranteed Notes (Callable 05/15/21 @ 102.75)	(B+, B1)		05/15/26		5.500		343,875
	750	Penske Automotive Group, Inc., Company Guaranteed Notes (Callable 12/01/19 @ 102.69)	(B+, B1)		12/01/24		5.375		755,625
	300	Penske Automotive Group, Inc., Global Company Guaranteed Notes (Callable 10/01/17 @ 102.88)	(B+, B1)		10/01/22		5.750		312,000

									2,943,356


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

	CORPORATE BONDS (continued)
	Steel Producers/Products (0.6%)
$	1,000	Zekelman Industries, Inc., Rule 144A, Senior Secured Notes (Callable 06/15/19 @ 104.94)⁽¹⁾	(B, Caa1)		06/15/23		9.875	$	1,120,000


	Support - Services (6.1%)
	1,000	AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/19 @ 103.84)⁽¹⁾	(B+, Ba3)		10/01/24		5.125		1,012,500
	500	Avis Budget Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/15/20 @ 102.63)^(1),(3)	(BB-, B1)		03/15/25		5.250		464,375
	800	Avis Budget Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/19 @ 104.78)^(1),(3)	(BB-, B1)		04/01/24		6.375		805,000
	1,450	Avison Young Canada, Inc., Rule 144A, Senior Secured Notes (Callable 12/15/19 @ 104.75)⁽¹⁾	(B+, B3)		12/15/21		9.500		1,435,500
	1,450	ESH Hospitality, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/01/20 @ 102.63)⁽¹⁾	(BB-, B2)		05/01/25		5.250		1,465,399
	1,200	Gartner, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/20 @ 103.84)⁽¹⁾	(BB-, B1)		04/01/25		5.125		1,225,500
	1,335	H&E Equipment Services, Inc., Global Company Guaranteed Notes (Callable 09/01/17 @ 103.50)	(BB-, B3)		09/01/22		7.000		1,406,756
	900	Infor U.S., Inc., Company Guaranteed Notes (Callable 05/15/18 @ 102.88)⁽⁸⁾	(CCC+, Caa1)		05/15/22		5.750		994,312
	345	Ritchie Bros Auctioneers, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/20 @ 104.03)⁽¹⁾	(BB-, B2)		01/15/25		5.375		353,625
	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		1,651,910
	500	United Rentals North America, Inc., Company Guaranteed Notes (Callable 05/15/22 @ 102.75)	(BB-, B1)		05/15/27		5.500		506,250

									11,321,127


	Tech Hardware & Equipment (1.7%)
	250	CDW Finance Corp., Company Guaranteed Notes (Callable 03/01/20 @ 103.75)	(BB-, Ba3)		09/01/25		5.000		256,250
	875	CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 06/15/20 @ 103.00)⁽¹⁾	(B+, Ba3)		06/15/25		6.000		920,938
	1,225	Riverbed Technology, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/18 @ 104.44)⁽¹⁾	(CCC+, Caa1)		03/01/23		8.875		1,258,687
	625	Western Digital Corp., Rule 144A, Senior Secured Notes (Callable 04/01/19 @ 103.69)⁽¹⁾	(BBB-, Ba1)		04/01/23		7.375		686,719

									3,122,594


	Telecom - Satellite (0.7%)
	482	Hughes Satellite Systems Corp., Global Company Guaranteed Notes	(BB-, B3)		06/15/21		7.625		533,213
	800	Hughes Satellite Systems Corp., Rule 144A, Senior Secured Notes⁽¹⁾	(BBB-, Ba2)		08/01/26		5.250		800,000

									1,333,213


	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		768,250


	Telecom - Wireline Integrated & Services (1.1%)
	350	Equinix, Inc., Senior Unsecured Notes (Callable 05/15/22 @ 102.69)	(BB+, B1)		05/15/27		5.375		362,250
	400	GTT Escrow Corp., Rule 144A, Company Guaranteed Notes (Callable 12/31/19 @ 105.91)⁽¹⁾	(B-, Caa1)		12/31/24		7.875		416,000
	600	Zayo Capital, Inc., Global Company Guaranteed Notes (Callable 04/01/18 @ 104.50)	(B, B3)		04/01/23		6.000		636,750
	575	Zayo Capital, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/22 @ 102.88)⁽¹⁾	(B, B3)		01/15/27		5.750		607,948

									2,022,948


	Telecommunications Equipment (0.3%)
	525	CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 03/15/22 @ 102.50)⁽¹⁾	(BB-, Ba3)		03/15/27		5.000		525,499


	Theaters & Entertainment (1.8%)
	775	AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes (Callable 05/01/17 @ 104.41)	(B+, B2)		02/15/22		5.875		810,844
	250	AMC Entertainment Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/15/22 @ 103.06)⁽¹⁾	(B+, B2)		05/15/27		6.125		252,813


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

	CORPORATE BONDS (continued)
	Theaters & Entertainment
$	425	AMC Entertainment Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/21 @ 102.94)⁽¹⁾	(B+, B2)		11/15/26		5.875	$	430,844
	750	Carmike Cinemas, Inc., Rule 144A, Secured Notes (Callable 06/15/18 @ 104.50)⁽¹⁾	(BB, B1)		06/15/23		6.000		795,000
	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		1,027,562

									3,317,063

	TOTAL CORPORATE BONDS (Cost $146,840,194)								149,367,825


	BANK LOANS (14.9%)
	Aerospace & Defense (0.8%)
	1,484	Sequa Corp.⁽¹⁰⁾	(CCC-, Caa3)		06/19/17		5.250		1,469,651


	Auto Parts & Equipment (0.8%)
	1,200	Jason, Inc.^(6),(10)	(CCC+, Caa3)		06/30/22		9.147		811,200
	713	U.S. Farathane LLC⁽¹⁰⁾	(B, B2)		12/23/21		5.147		721,352

									1,532,552


	Chemicals (2.0%)
	813	ASP Chromaflo Intermediate Holdings, Inc.⁽¹⁰⁾	(CCC, Caa2)		11/14/24		9.000		810,469
	1,500	Solenis International LP⁽¹⁰⁾	(B-, Caa1)		07/31/22		7.804		1,488,285
	1,500	Vantage Specialty Chemicals, Inc.^(6),(10)	(CCC, Caa1)		02/05/22		9.750		1,507,500

									3,806,254


	Diversified Capital Goods (0.5%)
	1,005	Dynacast International LLC⁽¹⁰⁾	(B-, Caa1)		01/30/23		9.647		1,007,513


	Electronics (0.6%)
	426	CPI International, Inc.⁽¹⁰⁾	(CCC+, Caa2)		04/07/22		8.250		429,669
	594	Excelitas Technologies Corp.⁽¹⁰⁾	(CCC+, B3)		10/31/20		6.150		593,846

									1,023,515


	Energy - Exploration & Production (0.5%)
	1,000	W&T Offshore, Inc.⁽¹⁰⁾	(CCC, Caa2)		05/15/20		9.000		887,500


	Gaming (1.4%)
	741	CBAC Borrower LLC⁽¹⁰⁾	(B-, B3)		07/02/20		8.250		743,402
	1,500	The Intertain Group Ltd.^(2),(6),(10)	(B, Caa1)		12/16/22		10.000		1,889,743

									2,633,145


	Health Facilities (1.1%)
	1,455	Drumm Investors LLC⁽¹⁰⁾	(B-, Caa1)		05/04/18		9.232		1,455,414
	600	Premier Dental Services, Inc.⁽¹⁰⁾	(B-, Caa1)		11/01/18		7.500		598,438

									2,053,852


	Investments & Misc. Financial Services (0.9%)
	431	Liquidnet Holdings, Inc.⁽¹⁰⁾	(B, B2)		05/22/19		7.750		429,902
	1,250	Mergermarket U.S.A., Inc.⁽¹⁰⁾	(CCC+, Caa2)		02/04/22		7.602		1,240,625

									1,670,527


	Machinery (1.3%)
	1,250	CPM Holdings, Inc.^(6),(10)	(B, Caa1)		04/10/23		10.250		1,253,125
	1,125	WireCo WorldGroup, Inc.⁽¹⁰⁾	(B-, Caa2)		09/30/24		10.000		1,136,953

									2,390,078


	Media Content (0.3%)
	500	DLG Acquisitions Ltd.^(8),(10)	(CCC+, Caa2)		06/30/22		8.250		548,144


	Oil Field Equipment & Services (0.5%)
	968	Abaco Energy Technologies LLC^(6),(10)	(CCC, Caa3)		11/20/20		10.541		861,093


	Personal & Household Products (1.2%)
	1,000	ABG Intermediate Holdings 2 LLC^(6),(10)	(CCC+, Caa1)		05/27/22		9.647		1,015,000


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

	BANK LOANS (continued)
	Personal & Household Products
$	1,200	Comfort Holding LLC⁽¹⁰⁾	(CCC+, Caa1)		01/17/25		11.000	$	1,159,998

									2,174,998


	Recreation & Travel (0.5%)
	1,000	Legendary Pictures Funding LLC^(6),(10)	(NR, NR)		04/22/20		7.000		1,001,250


	Software - Services (1.6%)
	1,240	Aricent Technologies⁽¹⁰⁾	(CCC, Caa2)		04/14/22		9.500		1,246,820
	375	CCC Information Services, Inc.⁽¹⁰⁾	(CCC, Caa2)		03/29/25		7.750		372,188
	1,000	Eze Castle Software, Inc.⁽¹⁰⁾	(CCC+, Caa1)		04/05/21		7.647		996,250
	375	LDiscovery LLC⁽¹⁰⁾	(B+, B2)		12/09/22		6.875		359,531

									2,974,789


	Support - Services (0.3%)
	250	Pike Corp.⁽¹⁰⁾	(CCC+, Caa1)		09/02/24		9.000		254,375
	1,250	Sprint Industrial Holdings LLC^(6),(10)	(CC, Caa3)		11/14/19		11.250		343,750

									598,125


	Telecom - Wireline Integrated & Services (0.5%)
	1,000	Omnitracs, Inc.⁽¹⁰⁾	(CCC+, Caa1)		05/25/21		8.900		1,007,815


	Theaters & Entertainment (0.1%)
	156	NEG Holdings LLC^(5),(6),(10)	(NR, NR)		10/17/22		9.147		115,938

	TOTAL BANK LOANS (Cost $26,953,900)								27,756,739


	ASSET BACKED SECURITIES (1.4%)
	Collateralized Debt Obligations (1.4%)
	1,000	Galaxy XIV CLO Ltd., 2012-14A, Rule 144A^(1),(10)	(BB, NR)		11/15/26		8.939		1,029,636
	1,000	JFIN CLO Ltd., 2013-1A, Rule 144A^(1),(10)	(BB, NR)		01/20/25		5.780		906,896
	700	Stewart Park CLO Ltd., 2015-1A, Rule 144A^(1),(6),(7)	(NR, NR)		04/15/26		0.000		575,971

	TOTAL ASSET BACKED SECURITIES (Cost $2,550,791)								2,512,503


Number of Shares

	COMMON STOCKS (1.2%)
	Auto Parts & Equipment (0.3%)
	46,071	UCI International, Inc.^(5),(6),(11)							504,017


	Building & Construction (0.0%)
	6	White Forest Resources, Inc.^(5),(6),(11)							91


	Building Materials (0.0%)
	372	Dayton Superior Corp.^(5),(6),(11)							—


	Gaming (0.0%)
	36,250	Majestic Holdco LLC^(5),(6),(11)							18,125


	Oil Field Equipment & Services (0.5%)
	11	Sidewinder Drilling, Inc., Series A^(5),(6),(11)							847,111


	Oil, Gas & Consumable Fuels (0.3%)
	26,788	Stone Energy Corp.⁽¹¹⁾							585,050


	Support - Services (0.1%)
	800	LTR Holdings LLC^(5),(11)							284,000


	Theaters & Entertainment (0.0%)
	20	NEG Holdings LLC, Litigation Trust Units^(5),(6),(11)							—

	TOTAL COMMON STOCKS (Cost $2,974,148)								2,238,394


	PREFERRED STOCK (0.0%)
	Building Materials (0.0%)
	413	Dayton Superior Corp.^(5),(6) (Cost $156,000)							—


Number of Shares							Value

	SHORT-TERM INVESTMENTS (6.1%)
	6,797,525	State Street Navigator Securities Lending Government Money Market Portfolio, 0.74%⁽¹²⁾					$	6,797,525

Par (000)			Maturity		Rate%

$	4,467	State Street Bank and Trust Co. Euro Time Deposit		04/03/17		0.090		4,466,881


	TOTAL SHORT-TERM INVESTMENTS (Cost $11,264,406)							11,264,406


	TOTAL INVESTMENTS AT VALUE (103.9%) (Cost $190,739,439)							193,139,867

	LIABILITIES IN EXCESS OF OTHER ASSETS (-3.9%)							(7,197,702	)


	NET ASSETS (100.0%)						$	185,942,165

†	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 March 31, 2017, these securities amounted to a value of $99,660,382 or 53.6% of net assets.

⁽²⁾	This security is denominated in British Pound.

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

⁽⁴⁾	Bond is currently in default.

⁽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⁾	Illiquid security (unaudited).

⁽⁷⁾	Zero-coupon security.

⁽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 as of March 31, 2017.

⁽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 March 31, 2017.

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)
EUR	450,000	USD	486,405	12/15/17	Morgan Stanley	$	486,405		$	487,735		$	1,330
GBP	667,850	USD	852,654	10/13/17	Morgan Stanley		852,654			839,303			(13,351	)
USD	3,246,137	EUR	2,893,400	10/13/17	Morgan Stanley		(3,246,137	)		(3,124,740	)		121,397
USD	100,593	EUR	92,600	12/15/17	Morgan Stanley		(100,593	)		(100,365	)		228
USD	2,636,338	GBP	2,132,500	10/13/17	Morgan Stanley		(2,636,338	)		(2,679,965	)		(43,627	)
USD	734,258	GBP	579,750	12/15/17	Morgan Stanley		(734,258	)		(730,026	)		4,232


												$	70,209

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:

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

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

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

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

The following is a summary of the inputs used as of March 31, 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	$	—	$	148,780,732	$	587,093		$	149,367,825
Bank Loans		—		16,257,754		11,498,985			27,756,739
Asset Backed Securities		—		2,512,503		—			2,512,503
Common Stocks		585,049		—		1,653,345	⁽¹⁾		2,238,394	⁽¹⁾
Preferred Stocks		—		—		0	⁽¹⁾		0	⁽¹⁾
Short-term Investments		—		11,264,406		—			11,264,406

	$	585,049	$	178,815,395	$	13,739,423		$	193,139,867

Other Financial Instruments*
Forward Foreign Currency Contracts	$	—	$	127,187	$	—		$	127,187

Liabilities	Level 1		Level 2		Level 3			Total
Other Financial Instruments*
Forward Foreign Currency Contracts	$	—	$	56,978	$	—		$	56,978

⁽¹⁾	Includes zero valued securities.

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

The following is a reconciliation of investments as of March 31, 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⁾	$	—	⁽¹⁾	$	11,320,045
Accrued discounts (premiums)		(2,405	)		23,529			—			—			21,124
Purchases		547,976			3,980,581			968,201			—			5,496,758
Sales		(1,589,631	)		(1,022,104	)		—			—			(2,611,735	)
Realized gain (loss)		(591,942	)		14,945			—			—			(576,997	)
Change in unrealized appreciation (depreciation)		918,348			194,334			(47,573	)		—			1,065,109
Transfers into Level 3		—			2,017,795			—			—			2,017,795
Transfers out of Level 3		—			(2,992,676	)		—			—			(2,992,676	)

Balance as of March 31, 2017	$	587,093		$	11,498,985		$	1,653,345	⁽¹⁾	$	—	⁽¹⁾	$	13,739,423


Net change in unrealized appreciation (depreciation) from investments still held as of March 31, 2017	$	(1,016,112	)	$	45,724		$	(47,573	)	$	—		$	(1,017,961	)

⁽¹⁾	Includes zero valued securities.

Quantitative Disclosure About Significant Unobservable Inputs


Asset Class	Fair Value At 3/31/2017		Valuation Technique	Unobservable Input	Range (Weighted Average) (per share)
Corporate Bonds	$	9,946	Income Approach	Expected Remaining Distribution	NA
	$	1,000	Vendor Pricing	Single Broker Quote	NA
	$	576,147	Market Approach	Comparable Bond Price	NA
Bank Loans	$	115,938	Market Approach	Discount for Illiquidity	NA
	$	11,383,047	Vendor Pricing	Single Broker Quote	$0.28 – $1.10 ($0.92)
Common Stocks	$	504,108	Market Approach	Discount for Illiquidity	$10.94 – $15.17 ($10.85)
	$	847,111	Market Approach	Comparable Bond Price	NA
	$	302,126	Vendor Pricing	Single Broker Quote	$0.50 – $355 ($8.15)
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 March 31, 2017, there were no transfers between Level 1 and Level 2, but there was $2,017,795 transferred from Level 2 to Level 3 due to a lack of pricing source supported by observable inputs and $2,992,676 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: May 17, 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: May 17, 2017

/s/Laurie Pecha

Name: Laurie Pecha

Title: Chief Financial Officer

Date: May 17, 2017