UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File No. 811‑05012
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
(Exact Name of Registrant as Specified in Charter)
Eleven Madison Avenue, New York, New York 10010
(Address of Principal Executive Offices) (Zip Code)
John G. Popp
Credit Suisse Asset Management Income Fund, Inc.
Eleven Madison Avenue
New York, New York 10010
Registrant’s telephone number, including area code: (212) 325‑2000
Date of fiscal year end: December 31
Date of reporting period: January 1, 2023 to June 30, 2023
Item 1. Reports to Stockholders.
Credit Suisse Asset Management
Income Fund, Inc.
Eleven Madison Avenue
New York, NY 10010
Directors
Steven N. Rappaport
Chairman of the Board
Laura A. DeFelice
Mahendra R. Gupta
Samantha Kappagoda
John G. Popp
Officers
John G. Popp
Chief Executive Officer and President
Thomas J. Flannery
Chief Investment Officer
Brandi Sinkovich
Chief Compliance Officer
Lou Anne McInnis
Chief Legal Officer
Omar Tariq
Chief Financial Officer and Treasurer
Karen Regan
Senior Vice President and Secretary
Investment Adviser
Credit Suisse Asset Management, LLC
Eleven Madison Avenue
New York, NY 10010
Administrator and Custodian
State Street Bank and Trust Co.
One Congress Street, Suite 1
Boston, MA 02114-2016
Shareholder Servicing Agent
Computershare Trust Company, N.A.
P.O. Box 43006
Providence, RI 02940-3078
Legal Counsel
Willkie Farr & Gallagher LLP
787 7th Avenue
New York, NY 10019
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
300 Madison Avenue
New York, NY 10017
Credit Suisse Asset Management
Income Fund, Inc.
SEMIANNUAL REPORT
June 30, 2023 (Unaudited)
Credit Suisse Asset Management Income Fund, Inc.
Semiannual Investment Adviser’s Report
June 30, 2023 (unaudited)
June 30, 2023
Dear Shareholder:
We are pleased to present this Semiannual Report covering the activities of the Credit Suisse Asset Management Income Fund, Inc. (the “Fund”) for the six-month period ended June 30, 2023.
Performance Summary
01/01/2023 – 06/30/2023
| | | | |
Fund & Index | | Performance | |
Total Return (based on NAV)1 | | | 9.35 | % |
Total Return (based on market value)1 | | | 22.64 | % |
ICE BofA US High Yield Constrained Index2 | | | 5.42 | % |
Market Review: Improving fundamentals drive positive returns
The semiannual period ended June 30, 2023 (the “Period”) was positive for the high yield market, as risk assets recovered thanks to expectations for a slowing of monetary tightening. High yield trading levels were supported by positive technical factors including high portfolio cash balances following a dearth of new issuance supply throughout 2022. The ICE BofA US High Yield Constrained Index (the “Index”), gained +5.42% for the Period. Yields within the high yield asset class declined and ended the Period at 8.56%—45 basis points lower than on December 31, 2022. Spreads also declined, ending the Period at 429 basis points —52 basis points lower than the previous year end.
For the Period, CCC‑rated bonds strongly outperformed the Index, gaining +9.52%. Additionally, B‑rated bonds were relatively in line with the Index, gaining +5.78%, while BB‑rated bonds gained +4.21%.
From an industry perspective, theaters & entertainment, recreation & travel, and transportation infrastructure/services were the top performing sectors during the Period, returning +19.49%, +13.73% and +10.18%, respectively. In contrast, the bottom performing sectors during the Period included discount stores, reinsurance, and banking, losing ‑18.03%, ‑2.55% and ‑1.38%, respectively.
As expected, default activity increased early in the Period. According to JPMorgan, the default rate, including distressed exchanges, ended the Period at 2.71%. We are seeing an uptick in bankruptcies and other distressed activity, but do not currently expect a significant wave of defaults in the near-term.
Outflows from high yield mutual funds have persisted for the past few years and, despite better returns thus far in 2023, flows continue to be negative. Year‑to‑date outflows totaled $11.4 billion for the Period.
In 2022, new high yield bond issuance of $106.5 billion was a decade low. Primary activity has continued to be slow, albeit at a better pace, into 2023. During the period, high yield issuance totaled $95.6 billion, as compared with $71.4 billion for the same period in 2022.
Strategic review and outlook: Optimistic, yet cautious
For the Period, the Fund outperformed the Index on both NAV and market price basis. Positive security selection in both ratings and sectors contributed positively to performance. From a sector-perspective, the greatest contributors to performance were basic industry, media, and technology & electronics. Ratings-wise, portfolio relative return was benefited the most from Caa1, Caa2 and B3‑rated positions. Detractors from relative performance include leisure due to negative selection and retail due to an underweight and negative selection.
1
Credit Suisse Asset Management Income Fund, Inc.
Semiannual Investment Adviser’s Report (continued)
June 30, 2023 (unaudited)
The high yield market has performed well thus far in 2023, as risk sentiment has improved alongside expectations for a slowdown in central bank tightening due to moderating inflation signals. Yields have declined in the Period, and market technicals have improved, especially when compared to 2022. Still, we are only just beginning to see the consequences of substantial interest rate hikes and persistent elevated inflation on corporate earnings—and certain sectors of the economy face real risks associated with higher funding costs and tougher lending standards. It is prudent to be cautious given this backdrop, but we continue to believe there is an attractive risk/reward opportunity in the high yield market. Strong credit selection and a commitment to underwriting standards will remain critical as we navigate through an extended period of uncertainty.
| | |
| | |
Thomas J. Flannery Chief Investment Officer* | | John G. Popp Chief Executive Officer and President** |
High yield bonds are lower-quality bonds that are also known as “junk bonds.” Such bonds entail greater risks than those found in higher-rated securities.
In addition to historical information, this report contains forward-looking statements, which may concern, among other things, domestic and foreign markets, industry and economic trends and developments, and government regulation, and their potential impact on the Fund’s investments. These statements are subject to risks and uncertainties and actual trends, developments and regulations in the future, and their impact on the Fund could be materially different from those projected, anticipated or implied. The Fund has no obligation to update or revise forward-looking statements.
The views of the Fund’s management are as of the date of this letter and the Fund holdings described in this document are as of June 30, 2023; these views and Fund holdings may have changed subsequent to these dates. Nothing in this document is a recommendation to purchase or sell securities.
1 | Assuming reinvestment of distributions. |
2 | The Index is an unmanaged index that tracks the performance of below investment-grade U.S. dollar-denominated corporate bonds issued in the U.S. domestic market, where each issuer’s allocation is limited to 2% of the Index. The Index does not have transaction costs and investors cannot invest directly in the Index. |
* | Thomas J. Flannery, Managing Director, is the Head of the Credit Suisse U.S. High Yield Management Team. Mr. Flannery joined Credit Suisse Asset Management, LLC (“Credit Suisse”) in June 2010. He is a portfolio manager for the Credit Investments Group (“CIG”) with responsibility for trading, directing investment decisions, originating and analyzing investment opportunities. Mr. Flannery is also a member of the CIG Credit Committee and is currently a high yield bond portfolio manager and trader for CIG. Mr. Flannery joined Credit Suisse AG in 2000 from First Dominion Capital, LLC where he was an Associate. |
** | John G. Popp is a Managing Director of Credit Suisse and Group Head and Chief Investment Officer of CIG, with primary responsibility for making investment decisions and monitoring processes for CIG’s global investment strategies. Mr. Popp also serves as Trustee, Chief Executive Officer and President of the Credit Suisse Funds, as well as serving as Director, Chief Executive Officer and President for the Fund and Trustee, Chief Executive Officer and President of the Credit Suisse High Yield Bond Fund. Mr. Popp has been associated with Credit Suisse since 1997. |
2
Credit Suisse Asset Management Income Fund, Inc.
Semiannual Investment Adviser’s Report (continued)
June 30, 2023 (unaudited)
Average Annual Returns
June 30, 2023 (unaudited)
| | | | | | | | | | | | | | | | |
| | 1 Year | | | 3 Years | | | 5 Years | | | 10 Years | |
Net Asset Value (NAV) | | | 12.44% | | | | 6.47% | | | | 5.17% | | | | 5.93% | |
Market Value | | | 18.96% | | | | 12.40% | | | | 7.84% | | | | 6.22% | |
Credit Suisse may waive fees and/or reimburse expenses, without which performance would be lower. Returns represent past performance and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total investment return at NAV is based on the change in the NAV of Fund shares and assumes reinvestment of dividends, capital gains, and return of capital distributions, if any, at prices pursuant to the Fund’s dividend reinvestment program. Total investment return at market value is based on the change in the market price at which the Fund’s shares traded on the NYSE American during the period and assumes reinvestment of dividends, capital gains, and return of capital distributions, if any, at prices pursuant to the Fund’s dividend reinvestment program. Because the Fund’s shares trade in the stock market based on investor demand, the Fund may trade at a price higher or lower than its NAV. Therefore, returns are calculated based on NAV and share price. Past performance is no guarantee of future results. The current performance of the Fund may be lower or higher than the figures shown. The Fund’s yield, return, NAV and market price will fluctuate. Performance information current to the most recent month end is available by calling 1‑800‑293‑1232.
The annualized gross and net expense ratios are 3.09%.
Credit Quality Breakdown*
(% of Total Investments as of June 30, 2023)
S&P Ratings**
| | | | |
BBB | | | 2.4 | % |
BB | | | 30.1 | |
B | | | 32.5 | |
CCC | | | 23.7 | |
NR | | | 7.5 | |
| | | | |
Subtotal | | | 96.2 | |
Equity and Other | | | 3.8 | |
| | | | |
Total | | | 100.0 | % |
| | | | |
* | Expressed as a percentage of total investments (excluding securities lending collateral, if applicable) and may vary over time. |
** | Credit Quality is based on ratings provided by the S&P Global Ratings Division of S&P Global Inc. (“S&P”). S&P is a main provider of ratings for credit assets classes and is widely used amongst industry participants. The NR category consists of securities that have not been rated by S&P. |
3
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments
June 30, 2023 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
|
| CORPORATE BONDS (95.1%) | |
|
| Aerospace & Defense (0.7%) | |
| | | | | |
$ | 200 | | | Bombardier, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/01/26 @ 103.75)(1),(2) | | (B, B2) | | | 02/01/29 | | | | 7.500 | | | $ | 197,916 | |
| | | | | |
| 1,010 | | | KBR, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/30/23 @ 102.38)(1) | | (BB-, Ba3) | | | 09/30/28 | | | | 4.750 | | | | 920,171 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,118,087 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Air Transportation (0.6%) | | | | | | | | | | | | | | |
| | | | | |
| 300 | | | VistaJet Malta Finance PLC/Vista Management Holding, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/01/24 @ 103.94)(1),(2) | | (B-, B3) | | | 05/01/27 | | | | 7.875 | | | | 269,812 | |
| | | | | |
| 800 | | | VistaJet Malta Finance PLC/Vista Management Holding, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/01/25 @ 103.19)(1) | | (B-, B3) | | | 02/01/30 | | | | 6.375 | | | | 644,906 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 914,718 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Auto Parts & Equipment (1.2%) | | | | | | | | | | | | | | |
| | | | | |
| 400 | | | Adient Global Holdings Ltd., Rule 144A, Senior Secured Notes (Callable 04/15/25 @ 103.50)(1) | | (BB+, Ba3) | | | 04/15/28 | | | | 7.000 | | | | 404,750 | |
| | | | | |
| 1,005 | | | Clarios Global LP/Clarios U.S. Finance Co., Rule 144A, Company Guaranteed Notes (Callable 07/31/23 @ 102.13)(1),(2) | | (B-, Caa1) | | | 05/15/27 | | | | 8.500 | | | | 1,008,596 | |
| | | | | |
| 386 | | | IHO Verwaltungs GmbH, 4.75% Cash, 5.50% PIK, Rule 144A, Senior Secured Notes (Callable 07/11/23 @ 101.58)(1),(3) | | (BB-, Ba2) | | | 09/15/26 | | | | 4.750 | | | | 356,196 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,769,542 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Automakers (0.2%) | | | | | | | | | | | | | | |
| | | | | |
| 200 | | | Thor Industries, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/24 @ 102.00)(1) | | (BB-, B1) | | | 10/15/29 | | | | 4.000 | | | | 170,000 | |
| | | | | |
| 147 | | | Winnebago Industries, Inc., Rule 144A, Senior Secured Notes (Callable 07/31/23 @ 103.13)(1) | | (BB+, Ba3) | | | 07/15/28 | | | | 6.250 | | | | 144,235 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 314,235 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Brokerage (1.2%) | | | | | | | | | | | | | | |
| | | | | |
| 1,701 | | | StoneX Group, Inc., Rule 144A, Senior Secured Notes (Callable 07/31/23 @ 102.16)(1) | | (BB-, Ba3) | | | 06/15/25 | | | | 8.625 | | | | 1,719,465 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Building & Construction (2.6%) | | | | | | | | | | | | | | |
| | | | | |
| 1,340 | | | Adams Homes, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/17/23 @ 101.88)(1) | | (B+, B2) | | | 02/15/25 | | | | 7.500 | | | | 1,317,344 | |
| | | | | |
| 666 | | | MasTec, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/15/24 @ 103.31)(1) | | (BBB-, NR) | | | 08/15/29 | | | | 6.625 | | | | 602,910 | |
| | | | | |
| 1,774 | | | Pike Corp., Rule 144A, Company Guaranteed Notes (Callable 09/01/23 @ 102.75)(1) | | (CCC+, B3) | | | 09/01/28 | | | | 5.500 | | | | 1,594,479 | |
| | | | | |
| 350 | | | TopBuild Corp., Rule 144A, Company Guaranteed Notes (Callable 03/15/24 @ 101.81)(1) | | (BB+, Ba2) | | | 03/15/29 | | | | 3.625 | | | | 305,013 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 3,819,746 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Building Materials (5.6%) | | | | | | | | | | | | | | |
| | | | | |
| 950 | | | Advanced Drainage Systems, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/25 @ 103.19)(1) | | (BB-, Ba2) | | | 06/15/30 | | | | 6.375 | | | | 940,899 | |
| | | | | |
| 200 | | | Builders FirstSource, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/25 @ 102.50)(1) | | (BB-, Ba2) | | | 03/01/30 | | | | 5.000 | | | | 187,181 | |
| | | | | |
| 1,000 | | | Builders FirstSource, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/27 @ 103.19)(1) | | (BB-, Ba2) | | | 06/15/32 | | | | 6.375 | | | | 991,584 | |
See Accompanying Notes to Financial Statements.
4
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
June 30, 2023 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
|
| CORPORATE BONDS (continued) | |
|
| Building Materials | |
| | | | | |
$ | 750 | | | Eco Material Technologies, Inc., Rule 144A, Senior Secured Notes (Callable 01/31/24 @ 103.94)(1) | | (B, B2) | | | 01/31/27 | | | | 7.875 | | | $ | 710,513 | |
| | | | | |
| 2,258 | | | Foundation Building Materials, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/24 @ 103.00)(1) | | (CCC+, Caa1) | | | 03/01/29 | | | | 6.000 | | | | 1,888,286 | |
| | | | | |
| 700 | | | GYP Holdings III Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/24 @ 102.31)(1) | | (B, B1) | | | 05/01/29 | | | | 4.625 | | | | 617,397 | |
| | | | | |
| 1,847 | | | MIWD Holdco II LLC/MIWD Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/25 @ 102.75)(1) | | (B, B3) | | | 02/01/30 | | | | 5.500 | | | | 1,526,158 | |
| | | | | |
| 1,175 | | | Oscar AcquisitionCo LLC/Oscar Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 04/15/25 @ 104.75)(1),(2) | | (CCC+, Caa1) | | | 04/15/30 | | | | 9.500 | | | | 1,080,882 | |
| | | | | |
| 450 | | | Park River Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/24 @ 103.38)(1) | | (CCC, Caa1) | | | 08/01/29 | | | | 6.750 | | | | 358,351 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 8,301,251 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Cable & Satellite TV (3.8%) | | | | | | | | | | | | | | |
| | | | | |
| 800 | | | Altice France SA, Rule 144A, Senior Secured Notes (Callable 07/31/23 @ 102.50)(1) | | (B, B3) | | | 01/15/28 | | | | 5.000 | | | | 640,200 | |
| | | | | |
| 1,200 | | | CCO Holdings LLC/CCO Holdings Capital Corp., Rule 144A, Senior Unsecured Notes (Callable 03/01/26 @ 103.69)(1) | | (BB-, B1) | | | 03/01/31 | | | | 7.375 | | | | 1,170,140 | |
| | | | | |
| 685 | | | CSC Holdings LLC, Global Senior Unsecured Notes(2) | | (CCC+, Caa1) | | | 06/01/24 | | | | 5.250 | | | | 637,876 | |
| | | | | |
| 50 | | | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 07/31/23 @ 101.83)(1) | | (B, B1) | | | 04/15/27 | | | | 5.500 | | | | 41,676 | |
| | | | | |
| 850 | | | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 07/31/23 @ 102.69)(1) | | (B, B1) | | | 02/01/28 | | | | 5.375 | | | | 684,357 | |
| | | | | |
| 600 | | | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 11/15/26 @ 102.25)(1) | | (B, B1) | | | 11/15/31 | | | | 4.500 | | | | 418,869 | |
| | | | | |
| 1,600 | | | Telenet Finance Luxembourg Notes Sarl, Rule 144A, Senior Secured Notes (Callable 07/11/23 @ 102.75)(1) | | (BB-, Ba3) | | | 03/01/28 | | | | 5.500 | | | | 1,479,680 | |
| | | | | |
| 800 | | | UPC Broadband Finco BV, Rule 144A, Senior Secured Notes (Callable 07/15/26 @ 102.44)(1) | | (BB-, B1) | | | 07/15/31 | | | | 4.875 | | | | 659,376 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 5,732,174 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Chemicals (4.7%) | | | | | | | | | | | | | | |
| | | | | |
| 200 | | | Avient Corp., Rule 144A, Senior Unsecured Notes (Callable 07/31/23 @ 101.44)(1) | | (BB-, Ba3) | | | 05/15/25 | | | | 5.750 | | | | 197,769 | |
| | | | | |
| 477 | | | Avient Corp., Rule 144A, Senior Unsecured Notes (Callable 08/01/25 @ 103.56)(1) | | (BB-, Ba3) | | | 08/01/30 | | | | 7.125 | | | | 481,641 | |
| | | | | |
| 600 | | | Herens Holdco Sarl, Rule 144A, Senior Secured Notes (Callable 05/15/24 @ 102.38)(1) | | (B-, B2) | | | 05/15/28 | | | | 4.750 | | | | 465,597 | |
| | | | | |
| 800 | | | Herens Midco Sarl, Rule 144A, Company Guaranteed Notes (Callable 05/15/24 @ 102.63)(1),(4) | | (CCC, Caa2) | | | 05/15/29 | | | | 5.250 | | | | 506,660 | |
| | | | | |
| 1,300 | | | INEOS Finance PLC, Rule 144A, Senior Secured Notes (Callable 02/15/25 @ 103.38)(1),(2) | | (BB, Ba2) | | | 05/15/28 | | | | 6.750 | | | | 1,249,926 | |
| | | | | |
| 350 | | | Olympus Water U.S. Holding Corp., Rule 144A, Senior Unsecured Notes (Callable 10/01/24 @ 103.13)(1),(2) | | (CCC+, Caa2) | | | 10/01/29 | | | | 6.250 | | | | 253,332 | |
| | | | | |
| 1,400 | | | Polar U.S. Borrower LLC/Schenectady International Group, Inc., Rule 144A, Senior Unsecured Notes (Callable 07/31/23 @ 103.38)(1) | | (CCC, Caa2) | | | 05/15/26 | | | | 6.750 | | | | 829,440 | |
| | | | | |
| 800 | | | Tronox, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/15/24 @ 102.31)(1) | | (BB-, B1) | | | 03/15/29 | | | | 4.625 | | | | 665,558 | |
See Accompanying Notes to Financial Statements.
5
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
June 30, 2023 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
|
| CORPORATE BONDS (continued) | |
| | | | |
| Chemicals | | | | | | | | | | | | | | |
| | | | | |
$ | 2,215 | | | Vibrantz Technologies, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/25 @ 104.50)(1) | | (CCC+, Caa2) | | | 02/15/30 | | | | 9.000 | | | $ | 1,699,946 | |
| | | | | |
| 725 | | | WR Grace Holdings LLC, Rule 144A, Senior Secured Notes (Callable 03/01/26 @ 103.69)(1) | | (B, B1) | | | 03/01/31 | | | | 7.375 | | | | 711,139 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 7,061,008 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Consumer/Commercial/Lease Financing (1.1%) | | | | | | | | | | | | | | |
| | | | | |
| 1,950 | | | Cargo Aircraft Management, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/17/23 @ 102.38)(1) | | (BB, Ba2) | | | 02/01/28 | | | | 4.750 | | | | 1,710,092 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Diversified Capital Goods (0.8%) | | | | | | | | | | | | | | |
| | | | | |
| 1,350 | | | Atkore, Inc., Rule 144A, Senior Unsecured Notes (Callable 06/01/26 @ 102.13)(1) | | (BB, Ba2) | | | 06/01/31 | | | | 4.250 | | | | 1,169,372 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Electronics (0.5%) | | | | | | | | | | | | | | |
| | | | | |
| 800 | | | Synaptics, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/24 @ 102.00)(1),(2) | | (B+, Ba3) | | | 06/15/29 | | | | 4.000 | | | | 672,467 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Energy - Exploration & Production (2.9%) | | | | | | | | | | | | | | |
| | | | | |
| 425 | | | Civitas Resources, Inc., Rule 144A, Senior Unsecured Notes (Callable 07/01/25 @ 104.19)(1) | | (BB-, B1) | | | 07/01/28 | | | | 8.375 | | | | 429,900 | |
| | | | | |
| 425 | | | Civitas Resources, Inc., Rule 144A, Senior Unsecured Notes (Callable 07/01/26 @ 104.38)(1) | | (BB-, B1) | | | 07/01/31 | | | | 8.750 | | | | 431,486 | |
| | | | | |
| 40 | | | CNX Resources Corp., Rule 144A, Company Guaranteed Notes (Callable 07/31/23 @ 103.63)(1) | | (BB, B1) | | | 03/14/27 | | | | 7.250 | | | | 39,621 | |
| | | | | |
| 550 | | | CNX Resources Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/24 @ 104.50)(1) | | (BB, B1) | | | 01/15/29 | | | | 6.000 | | | | 510,364 | |
| | | | | |
| 1,684 | | | Northern Oil & Gas, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/01/24 @ 104.06)(1) | | (B+, B2) | | | 03/01/28 | | | | 8.125 | | | | 1,652,012 | |
| | | | | |
| 1,400 | | | Rockcliff Energy II LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/24 @ 102.75)(1) | | (B+, B3) | | | 10/15/29 | | | | 5.500 | | | | 1,292,858 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 4,356,241 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Environmental (0.4%) | | | | | | | | | | | | | | |
| | | | | |
| 600 | | | Darling Ingredients, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/25 @ 103.00)(1) | | (BB+, Ba2) | | | 06/15/30 | | | | 6.000 | | | | 586,635 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Food - Wholesale (0.5%) | | | | | | | | | | | | | | |
| | | | | |
| 800 | | | U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/25 @ 102.31)(1) | | (BB-, B2) | | | 06/01/30 | | | | 4.625 | | | | 717,830 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Gaming (2.0%) | | | | | | | | | | | | | | |
| | | | | |
| 325 | | | Boyd Gaming Corp., Rule 144A, Company Guaranteed Notes (Callable 06/15/26 @ 102.38)(1) | | (BB, B1) | | | 06/15/31 | | | | 4.750 | | | | 290,689 | |
| | | | | |
| 800 | | | CDI Escrow Issuer, Inc., Rule 144A, Senior Unsecured Notes (Callable 04/01/25 @ 102.88)(1) | | (B+, B1) | | | 04/01/30 | | | | 5.750 | | | | 747,370 | |
See Accompanying Notes to Financial Statements.
6
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
June 30, 2023 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
|
| CORPORATE BONDS (continued) | |
| | | | |
| Gaming | | | | | | | | | | | | | | |
| | | | | |
$ | 850 | | | Churchill Downs, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/01/26 @ 103.38)(1) | | (B+, B1) | | | 05/01/31 | | | | 6.750 | | | $ | 841,500 | |
| | | | | |
| 231 | | | Churchill Downs, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/31/23 @ 102.38)(1) | | (B+, B1) | | | 01/15/28 | | | | 4.750 | | | | 214,475 | |
| | | | | |
| 1,028 | | | Jacobs Entertainment, Inc., Rule 144A, Senior Unsecured Notes(1) | | (B, B2) | | | 02/15/29 | | | | 6.750 | | | | 921,037 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 3,015,071 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Gas Distribution (5.1%) | | | | | | | | | | | | | | |
| | | | | |
| 1,000 | | | CNX Midstream Partners LP, Rule 144A, Company Guaranteed Notes (Callable 04/15/25 @ 102.38)(1) | | (BB, B1) | | | 04/15/30 | | | | 4.750 | | | | 849,207 | |
| | | | | |
| 425 | | | Genesis Energy LP/Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 07/31/23 @ 101.63) | | (B, B2) | | | 10/01/25 | | | | 6.500 | | | | 418,799 | |
| | | | | |
| 675 | | | Genesis Energy LP/Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 07/31/23 @ 101.56) | | (B, B2) | | | 05/15/26 | | | | 6.250 | | | | 641,931 | |
| | | | | |
| 286 | | | Genesis Energy LP/Genesis Energy Finance Corp., Global Company Guaranteed Notes (Callable 04/15/26 @ 104.44) | | (B, B2) | | | 04/15/30 | | | | 8.875 | | | | 279,688 | |
| | | | | |
| 1,200 | | | Hess Midstream Operations LP, Rule 144A, Company Guaranteed Notes (Callable 07/31/23 @ 102.56)(1) | | (BB+, Ba2) | | | 06/15/28 | | | | 5.125 | | | | 1,124,203 | |
| | | | | |
| 400 | | | Hess Midstream Operations LP, Rule 144A, Company Guaranteed Notes (Callable 10/15/25 @ 102.75)(1) | | (BB+, Ba2) | | | 10/15/30 | | | | 5.500 | | | | 370,468 | |
| | | | | |
| 400 | | | Holly Energy Partners LP/Holly Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 103.19)(1) | | (BB+, Ba3) | | | 04/15/27 | | | | 6.375 | | | | 395,543 | |
| | | | | |
| 200 | | | Matador Resources Co., Rule 144A, Company Guaranteed Notes (Callable 04/15/25 @ 103.44)(1) | | (BB-, B1) | | | 04/15/28 | | | | 6.875 | | | | 197,282 | |
| | | | | |
| 400 | | | New Fortress Energy, Inc., Rule 144A, Senior Secured Notes (Callable 07/21/23 @ 103.38)(1) | | (BB, B1) | | | 09/15/25 | | | | 6.750 | | | | 375,662 | |
| | | | | |
| 950 | | | New Fortress Energy, Inc., Rule 144A, Senior Secured Notes (Callable 07/31/23 @ 103.25)(1) | | (BB, B1) | | | 09/30/26 | | | | 6.500 | | | | 851,152 | |
| | | | | |
| 1,180 | | | Rockies Express Pipeline LLC, Rule 144A, Senior Unsecured Notes (Callable 04/15/29 @ 100.00)(1) | | (BB+, Ba2) | | | 07/15/29 | | | | 4.950 | | | | 1,085,228 | |
| | | | | |
| 610 | | | Rockies Express Pipeline LLC, Rule 144A, Senior Unsecured Notes (Callable 02/15/30 @ 100.00)(1) | | (BB+, Ba2) | | | 05/15/30 | | | | 4.800 | | | | 534,231 | |
| | | | | |
| 500 | | | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 07/31/23 @ 105.63)(1) | | (BB-, B1) | | | 10/01/25 | | | | 7.500 | | | | 499,528 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 7,622,922 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Health Facility (0.5%) | | | | | | | | | | | | | | |
| | | | | |
| 800 | | | Option Care Health, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/31/24 @ 102.19)(1) | | (B-, B3) | | | 10/31/29 | | | | 4.375 | | | | 701,549 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Health Services (1.8%) | | | | | | | | | | | | | | |
| | | | | |
| 1,060 | | | AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.00)(1) | | (BB-, Ba3) | | | 04/15/29 | | | | 4.000 | | | | 925,407 | |
| | | | | |
| 1,600 | | | AthenaHealth Group, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/25 @ 103.25)(1),(2) | | (CCC, Caa2) | | | 02/15/30 | | | | 6.500 | | | | 1,348,274 | |
See Accompanying Notes to Financial Statements.
7
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
June 30, 2023 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
|
| CORPORATE BONDS (continued) | |
|
| Health Services | |
| | | | | |
$ | 446 | | | Pediatrix Medical Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/25 @ 102.69)(1),(2) | | (BB-, Ba3) | | | 02/15/30 | | | | 5.375 | | | $ | 410,788 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,684,469 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Insurance Brokerage (4.5%) | | | | | | | | | | | | | | |
| | | | | |
| 1,000 | | | Acrisure LLC/Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 07/31/23 @ 107.59)(1) | | (CCC+, Caa2) | | | 08/01/26 | | | | 10.125 | | | | 1,025,321 | |
| | | | | |
| 576 | | | GTCR AP Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 07/31/23 @ 102.00)(1) | | (CCC+, Caa2) | | | 05/15/27 | | | | 8.000 | | | | 565,308 | |
| | | | | |
| 600 | | | Jones Deslauriers Insurance Management, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/26 @ 104.25)(1) | | (B-, B2) | | | 03/15/30 | | | | 8.500 | | | | 612,813 | |
| | | | | |
| 1,000 | | | Jones Deslauriers Insurance Management, Inc., Rule 144A, Senior Unsecured Notes (Callable 12/15/25 @ 105.25)(1) | | (CCC, Caa2) | | | 12/15/30 | | | | 10.500 | | | | 1,008,904 | |
| | | | | |
| 400 | | | NFP Corp., Rule 144A, Senior Secured Notes (Callable 10/01/25 @ 103.75)(1) | | (B, B1) | | | 10/01/30 | | | | 7.500 | | | | 387,642 | |
| | | | | |
| 2,712 | | | NFP Corp., Rule 144A, Senior Unsecured Notes (Callable 08/15/23 @ 103.44)(1) | | (CCC+, Caa2) | | | 08/15/28 | | | | 6.875 | | | | 2,358,448 | |
| | | | | |
| 800 | | | Ryan Specialty LLC, Rule 144A, Senior Secured Notes (Callable 02/01/25 @ 102.19)(1) | | (BB-, B1) | | | 02/01/30 | | | | 4.375 | | | | 709,160 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 6,667,596 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Investments & Misc. Financial Services (3.1%) | | | | | | | | | | | | | | |
| | | | | |
| 1,900 | | | Armor Holdco, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 104.25)(1) | | (CCC+, Caa1) | | | 11/15/29 | | | | 8.500 | | | | 1,578,741 | |
| | | | | |
| 1,400 | | | Compass Group Diversified Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.63)(1) | | (B+, B1) | | | 04/15/29 | | | | 5.250 | | | | 1,228,733 | |
| | | | | |
| 800 | | | Compass Group Diversified Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 01/15/27 @ 102.50)(1) | | (B+, B1) | | | 01/15/32 | | | | 5.000 | | | | 648,454 | |
| | | | | |
| 419 | | | Home Point Capital, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/31/23 @ 102.50)(1) | | (NR, Caa1) | | | 02/01/26 | | | | 5.000 | | | | 376,034 | |
| | | | | |
| 600 | | | Paysafe Finance PLC/Paysafe Holdings U.S. Corp., Rule 144A, Senior Secured Notes (Callable 06/15/24 @ 102.00)(1),(2) | | (B, B2) | | | 06/15/29 | | | | 4.000 | | | | 472,399 | |
| | | | | |
| 400 | | | Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/31/23 @ 102.31)(1) | | (NR, Ba3) | | | 11/01/26 | | | | 4.625 | | | | 375,510 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 4,679,871 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Machinery (4.2%) | | | | | | | | | | | | | | |
| | | | | |
| 1,425 | | | Arcosa, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.19)(1) | | (BB, Ba2) | | | 04/15/29 | | | | 4.375 | | | | 1,278,271 | |
| | | | | |
| 1,080 | | | ATS Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/23 @ 102.06)(1) | | (BB-, B2) | | | 12/15/28 | | | | 4.125 | | | | 967,732 | |
| | | | | |
| 1,400 | | | Dornoch Debt Merger Sub, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/15/24 @ 103.31)(1),(2) | | (CCC, Caa2) | | | 10/15/29 | | | | 6.625 | | | | 1,143,834 | |
| | | | | |
| 1,638 | | | Enviri Corp., Rule 144A, Company Guaranteed Notes (Callable 07/31/23 @ 101.44)(1) | | (B, B3) | | | 07/31/27 | | | | 5.750 | | | | 1,427,697 | |
| | | | | |
| 400 | | | Hillenbrand, Inc., Global Company Guaranteed Notes (Callable 07/11/23 @ 101.44) | | (BB+, Ba1) | | | 06/15/25 | | | | 5.750 | | | | 396,560 | |
| | | | | |
| 400 | | | Interface, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/01/23 @ 102.75)(1) | | (B+, B1) | | | 12/01/28 | | | | 5.500 | | | | 325,010 | |
| | | | | |
| 335 | | | Regal Rexnord Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/29 @ 100.00)(1) | | (BB+, Baa3) | | | 02/15/30 | | | | 6.300 | | | | 334,079 | |
| | | | | |
| 335 | | | Regal Rexnord Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/33 @ 100.00)(1) | | (BB+, Baa3) | | | 04/15/33 | | | | 6.400 | | | | 334,839 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 6,208,022 | |
| | | | | | | | | | | | | | | | | | |
See Accompanying Notes to Financial Statements.
8
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
June 30, 2023 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
|
| CORPORATE BONDS (continued) | |
| | | | |
| Managed Care (0.3%) | | | | | | | | | | | | | | |
| | | | | |
$ | 505 | | | HealthEquity, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/24 @ 102.25)(1) | | (B, B3) | | | 10/01/29 | | | | 4.500 | | | $ | 445,719 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Media - Diversified (0.1%) | | | | | | | | | | | | | | |
| | | | | |
| 200 | | | News Corp., Rule 144A, Company Guaranteed Notes (Callable 02/15/27 @ 102.56)(1) | | (BB+, Ba1) | | | 02/15/32 | | | | 5.125 | | | | 182,618 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Media Content (0.6%) | | | | | | | | | | | | | | |
| | | | | |
| 1,000 | | | Sirius XM Radio, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/01/24 @ 102.75)(1) | | (BB, Ba3) | | | 07/01/29 | | | | 5.500 | | | | 900,217 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Metals & Mining - Excluding Steel (5.2%) | | | | | | | | | | | | | | |
| | | | | |
| 800 | | | Alcoa Nederland Holding BV, Rule 144A, Company Guaranteed Notes (Callable 07/31/23 @ 102.75)(1) | | (BB+, Baa3) | | | 12/15/27 | | | | 5.500 | | | | 774,533 | |
| | | | | |
| 250 | | | Canpack SA/Canpack U.S. LLC, Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 101.94)(1) | | (BB-, NR) | | | 11/15/29 | | | | 3.875 | | | | 203,781 | |
| | | | | |
| 1,800 | | | ERO Copper Corp., Rule 144A, Company Guaranteed Notes (Callable 02/15/25 @ 103.25)(1) | | (B, B1) | | | 02/15/30 | | | | 6.500 | | | | 1,554,868 | |
| | | | | |
| 1,500 | | | First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes (Callable 07/11/23 @ 101.72)(1) | | (B+, NR) | | | 03/01/26 | | | | 6.875 | | | | 1,478,665 | |
| | | | | |
| 400 | | | First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes (Callable 06/01/26 @ 104.31)(1) | | (B+, NR) | | | 06/01/31 | | | | 8.625 | | | | 410,452 | |
| | | | | |
| 400 | | | Kaiser Aluminum Corp., Rule 144A, Company Guaranteed Notes (Callable 07/31/23 @ 102.31)(1) | | (BB-, B2) | | | 03/01/28 | | | | 4.625 | | | | 350,412 | |
| | | | | |
| 600 | | | Kaiser Aluminum Corp., Rule 144A, Company Guaranteed Notes (Callable 06/01/26 @ 102.25)(1) | | (BB-, B2) | | | 06/01/31 | | | | 4.500 | | | | 480,666 | |
| | | | | |
| 110 | | | Novelis Corp., Rule 144A, Company Guaranteed Notes (Callable 01/30/25 @ 102.38)(1) | | (BB, Ba3) | | | 01/30/30 | | | | 4.750 | | | | 97,865 | |
| | | | | |
| 1,129 | | | SunCoke Energy, Inc., Rule 144A, Senior Secured Notes (Callable 06/30/24 @ 102.44)(1) | | (BB, B1) | | | 06/30/29 | | | | 4.875 | | | | 949,495 | |
| | | | | |
| 1,550 | | | Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 07/31/23 @ 103.50)(1),(2) | | (B-, B3) | | | 02/15/26 | | | | 7.000 | | | | 1,414,790 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 7,715,527 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Non - Electric Utilities (0.3%) | | | | | | | | | | | | | | |
| | | | | |
| 600 | | | Suburban Propane Partners LP/Suburban Energy Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 06/01/26 @ 102.50)(1) | | (BB-, B1) | | | 06/01/31 | | | | 5.000 | | | | 503,199 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Packaging (3.8%) | | | | | | | | | | | | | | |
| | | | | |
| 460 | | | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, Rule 144A, Senior Unsecured Notes (Callable 05/15/24 @ 101.50)(1),(4) | | (B+, Caa1) | | | 09/01/29 | | | | 3.000 | | | | 374,846 | |
| | | | | |
| 400 | | | Ball Corp., Global Company Guaranteed Notes (Callable 11/15/24 @ 103.44) | | (BB+, Ba1) | | | 03/15/28 | | | | 6.875 | | | | 408,336 | |
| | | | | |
| 400 | | | Ball Corp., Global Company Guaranteed Notes (Callable 05/15/26 @ 103.00) | | (BB+, Ba1) | | | 06/15/29 | | | | 6.000 | | | | 397,500 | |
| | | | | |
| 415 | | | Chart Industries, Inc., Rule 144A, Senior Secured Notes (Callable 01/01/26 @ 103.75)(1) | | (B+, Ba3) | | | 01/01/30 | | | | 7.500 | | | | 423,910 | |
See Accompanying Notes to Financial Statements.
9
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
June 30, 2023 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
|
| CORPORATE BONDS (continued) | |
|
| Packaging | |
| | | | | |
$ | 400 | | | Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co.-Issuer LLC, Rule 144A, Senior Secured Notes (Callable 07/31/23 @ 103.00)(1) | | (B-, B3) | | | 09/15/28 | | | | 6.000 | | | $ | 340,456 | |
| | | | | |
| 500 | | | Mauser Packaging Solutions Holding Co., Rule 144A, Senior Secured Notes (Callable 08/15/24 @ 103.94)(1) | | (B, B2) | | | 08/15/26 | | | | 7.875 | | | | 496,637 | |
| | | | | |
| 400 | | | Owens-Brockway Glass Container, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/15/26 @ 103.63)(1) | | (B+, B2) | | | 05/15/31 | | | | 7.250 | | | | 405,500 | |
| | | | | |
| 1,000 | | | Trident TPI Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/31/25 @ 106.38)(1) | | (CCC+, Caa2) | | | 12/31/28 | | | | 12.750 | | | | 1,038,250 | |
| | | | | |
| 2,040 | | | TriMas Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.06)(1) | | (BB-, Ba3) | | | 04/15/29 | | | | 4.125 | | | | 1,819,802 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 5,705,237 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Personal & Household Products (0.9%) | | | | | | | | | | | | | | |
| | | | | |
| 1,350 | | | CB High Ridge, Rule 144A, Company Guaranteed Notes (Callable 02/09/23 @ 100.00)(1),(5),(6),(7),(8) | | (NR, NR) | | | 03/15/25 | | | | 0.000 | | | | 16,875 | |
| | | | | |
| 1,600 | | | MajorDrive Holdings IV LLC, Rule 144A, Senior Unsecured Notes (Callable 06/01/24 @ 103.19)(1) | | (CCC+, Caa2) | | | 06/01/29 | | | | 6.375 | | | | 1,272,216 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,289,091 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Pharmaceuticals (0.9%) | | | | | | | | | | | | | | |
| | | | | |
| 708 | | | Emergent BioSolutions, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/23 @ 101.94)(1) | | (B, Caa2) | | | 08/15/28 | | | | 3.875 | | | | 412,619 | |
| | | | | |
| 1,000 | | | Syneos Health, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/24 @ 101.81)(1),(2) | | (BB-, B1) | | | 01/15/29 | | | | 3.625 | | | | 978,790 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,391,409 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Real Estate Investment Trusts (1.4%) | | | | | | | | | | | | | | |
| | | | | |
| 1,471 | | | Global Net Lease, Inc./Global Net Lease Operating Partnership LP, Rule 144A, Company Guaranteed Notes (Callable 09/15/27 @ 100.00)(1) | | (BBB-, WR) | | | 12/15/27 | | | | 3.750 | | | | 1,080,713 | |
| | | | | |
| 400 | | | Starwood Property Trust, Inc., Rule 144A, Senior Unsecured Notes (Callable 01/15/26 @ 100.00)(1) | | (BB-, Ba3) | | | 07/15/26 | | | | 3.625 | | | | 344,722 | |
| | | | | |
| 800 | | | Starwood Property Trust, Inc., Rule 144A, Senior Unsecured Notes (Callable 07/15/26 @ 100.00)(1) | | (BB-, Ba3) | | | 01/15/27 | | | | 4.375 | | | | 689,748 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,115,183 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Recreation & Travel (4.7%) | | | | | | | | | | | | | | |
| | | | | |
| 1,600 | | | Boyne USA, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/15/24 @ 102.38)(1) | | (B, B1) | | | 05/15/29 | | | | 4.750 | | | | 1,442,944 | |
| | | | | |
| 2,575 | | | SeaWorld Parks & Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/24 @ 102.63)(1) | | (B, B3) | | | 08/15/29 | | | | 5.250 | | | | 2,307,295 | |
| | | | | |
| 300 | | | SeaWorld Parks & Entertainment, Inc., Rule 144A, Senior Secured Notes (Callable 07/31/23 @ 102.19)(1) | | (BB, Ba3) | | | 05/01/25 | | | | 8.750 | | | | 304,834 | |
| | | | | |
| 1,200 | | | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 05/15/26 @ 103.63)(1) | | (B, B3) | | | 05/15/31 | | | | 7.250 | | | | 1,169,884 | |
| | | | | |
| 1,915 | | | Speedway Motorsports LLC/Speedway Funding II, Inc., Rule 144A, Senior Unsecured Notes (Callable 07/31/23 @ 102.44)(1) | | (BB, B2) | | | 11/01/27 | | | | 4.875 | | | | 1,775,191 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 7,000,148 | |
| | | | | | | | | | | | | | | | | | |
See Accompanying Notes to Financial Statements.
10
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
June 30, 2023 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
|
| CORPORATE BONDS (continued) | |
| | | | |
| Restaurants (0.4%) | | | | | | | | | | | | | | |
| | | | | |
$ | 625 | | | Yum! Brands, Inc., Global Senior Unsecured Notes (Callable 04/01/27 @ 102.69) | | (BB, Ba3) | | | 04/01/32 | | | | 5.375 | | | $ | 594,707 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Software - Services (6.2%) | | | | | | | | | | | | | | |
| | | | | |
| 1,700 | | | Elastic NV, Rule 144A, Senior Unsecured Notes (Callable 07/15/24 @ 102.06)(1) | | (B+, B1) | | | 07/15/29 | | | | 4.125 | | | | 1,468,087 | |
| | | | | |
| 1,775 | | | Newfold Digital Holdings Group, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/24 @ 103.00)(1) | | (CCC+, Caa2) | | | 02/15/29 | | | | 6.000 | | | | 1,334,072 | |
| | | | | |
| 635 | | | Open Text Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/24 @ 101.94)(1) | | (BB-, Ba3) | | | 12/01/29 | | | | 3.875 | | | | 531,326 | |
| | | | | |
| 800 | | | Open Text Corp., Rule 144A, Senior Secured Notes (Callable 11/01/27 @ 100.00)(1) | | (BBB-, Ba1) | | | 12/01/27 | | | | 6.900 | | | | 815,376 | |
| | | | | |
| 825 | | | Open Text Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/01/26 @ 102.06)(1) | | (BB-, Ba3) | | | 12/01/31 | | | | 4.125 | | | | 676,873 | |
| | | | | |
| 2,107 | | | Presidio Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/31/23 @ 104.13)(1) | | (CCC+, Caa1) | | | 02/01/28 | | | | 8.250 | | | | 2,008,850 | |
| | | | | |
| 2,705 | | | Virtusa Corp., Rule 144A, Senior Unsecured Notes (Callable 12/15/23 @ 103.56)(1) | | (CCC+, Caa1) | | | 12/15/28 | | | | 7.125 | | | | 2,204,233 | |
| | | | | |
| 200 | | | ZoomInfo Technologies LLC/ZoomInfo Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/24 @ 101.94)(1),(2) | | (B+, B1) | | | 02/01/29 | | | | 3.875 | | | | 172,261 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 9,211,078 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Specialty Retail (2.8%) | | | | | | | | | | | | | | |
| | | | | |
| 40 | | | Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 07/11/23 @ 102.25) | | (BB, B1) | | | 03/01/28 | | | | 4.500 | | | | 36,714 | |
| | | | | |
| 491 | | | Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 03/01/25 @ 102.38) | | (BB, B1) | | | 03/01/30 | | | | 4.750 | | | | 436,933 | |
| | | | | |
| 200 | | | Asbury Automotive Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 102.31)(1) | | (BB, B1) | | | 11/15/29 | | | | 4.625 | | | | 177,754 | |
| | | | | |
| 200 | | | Asbury Automotive Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/26 @ 102.50)(1) | | (BB, B1) | | | 02/15/32 | | | | 5.000 | | | | 174,337 | |
| | | | | |
| 68 | | | Eagle Intermediate Global Holding BV/Eagle U.S. Finance LLC(7),(8) | | (NR, WR) | | | 05/01/25 | | | | 0.000 | | | | 35,360 | |
| | | | | |
| 51 | | | Eagle Intermediate Global Holding BV/Eagle U.S. Finance LLC, Rule 144A, Senior Secured Notes (Callable 07/11/23 @ 101.88)(1),(7),(8) | | (NR, NR) | | | 05/01/25 | | | | 7.500 | | | | 32,802 | |
| | | | | |
| 1,850 | | | Eagle Intermediate Global Holding BV/Eagle U.S. Finance LLC, Rule 144A, Senior Secured Notes (Callable 07/11/23 @ 101.88)(1) | | (NR, Caa3) | | | 05/01/25 | | | | 7.500 | | | | 1,225,401 | |
| | | | | |
| 400 | | | LCM Investments Holdings II LLC, Rule 144A, Senior Unsecured Notes (Callable 05/01/24 @ 102.44)(1) | | (BB-, B2) | | | 05/01/29 | | | | 4.875 | | | | 342,722 | |
| | | | | |
| 400 | | | Murphy Oil USA, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/26 @ 101.88)(1) | | (BB+, Ba2) | | | 02/15/31 | | | | 3.750 | | | | 335,640 | |
| | | | | |
| 600 | | | Sonic Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 102.31)(1),(2) | | (BB-, B1) | | | 11/15/29 | | | | 4.625 | | | | 503,081 | |
| | | | | |
| 1,150 | | | Sonic Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/26 @ 102.44)(1),(2) | | (BB-, B1) | | | 11/15/31 | | | | 4.875 | | | | 944,907 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 4,245,651 | |
| | | | | | | | | | | | | | | | | | |
See Accompanying Notes to Financial Statements.
11
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
June 30, 2023 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
|
| CORPORATE BONDS (continued) | |
| | | | |
| Steel Producers/Products (1.1%) | | | | | | | | | | | | | | |
| | | | | |
$ | 1,997 | | | TMS International Corp., Rule 144A, Senior Unsecured Notes (Callable 04/15/24 @ 103.13)(1) | | (B, Caa1) | | | 04/15/29 | | | | 6.250 | | | $ | 1,679,537 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Support - Services (8.8%) | | | | | | | | | | | | | | |
| | | | | |
| 1,223 | | | Allied Universal Holdco LLC/Allied Universal Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 07/31/23 @ 102.44)(1) | | (CCC+, Caa2) | | | 07/15/27 | | | | 9.750 | | | | 1,082,801 | |
| | | | | |
| 1,300 | | | Allied Universal Holdco LLC/Allied Universal Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 06/01/24 @ 103.00)(1),(2) | | (CCC+, Caa2) | | | 06/01/29 | | | | 6.000 | | | | 960,951 | |
| | | | | |
| 582 | | | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, Rule 144A, Senior Secured Notes (Callable 06/01/24 @ 102.31)(1) | | (B, B3) | | | 06/01/28 | | | | 4.625 | | | | 490,262 | |
| | | | | |
| 400 | | | ASGN, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/31/23 @ 102.31)(1) | | (BB-, Ba3) | | | 05/15/28 | | | | 4.625 | | | | 362,394 | |
| | | | | |
| 2,400 | | | CoreLogic, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/24 @ 102.25)(1) | | (B-, B2) | | | 05/01/28 | | | | 4.500 | | | | 1,937,628 | |
| | | | | |
| 2,735 | | | GEMS MENASA Cayman Ltd./GEMS Education Delaware LLC, Rule 144A, Senior Secured Notes (Callable 07/31/23 @ 101.78)(1) | | (B, B2) | | | 07/31/26 | | | | 7.125 | | | | 2,650,641 | |
| | | | | |
| 915 | | | H&E Equipment Services, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/23 @ 101.94)(1) | | (BB-, B1) | | | 12/15/28 | | | | 3.875 | | | | 793,187 | |
| | | | | |
| 325 | | | TriNet Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/24 @ 101.75)(1) | | (BB+, Ba2) | | | 03/01/29 | | | | 3.500 | | | | 282,837 | |
| | | | | |
| 600 | | | United Rentals North America, Inc., Rule 144A, Senior Secured Notes (Callable 12/15/25 @ 103.00)(1) | | (BBB-, Baa3) | | | 12/15/29 | | | | 6.000 | | | | 599,188 | |
| | | | | |
| 500 | | | WESCO Distribution, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/31/23 @ 101.78)(1) | | (BB, Ba3) | | | 06/15/25 | | | | 7.125 | | | | 505,682 | |
| | | | | |
| 500 | | | WESCO Distribution, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/31/23 @ 103.63)(1) | | (BB, Ba3) | | | 06/15/28 | | | | 7.250 | | | | 510,489 | |
| | | | | |
| 1,231 | | | White Cap Buyer LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/23 @ 103.44)(1) | | (CCC+, Caa1) | | | 10/15/28 | | | | 6.875 | | | | 1,117,237 | |
| | | | | |
| 595 | | | Williams Scotsman International, Inc., Rule 144A, Senior Secured Notes (Callable 08/15/23 @ 102.31)(1) | | (B+, B2) | | | 08/15/28 | | | | 4.625 | | | | 544,692 | |
| | | | | |
| 1,500 | | | ZipRecruiter, Inc., Rule 144A, Senior Unsecured Notes (Callable 01/15/25 @ 102.50)(1) | | (BB-, B2) | | | 01/15/30 | | | | 5.000 | | | | 1,278,735 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 13,116,724 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Tech Hardware & Equipment (2.7%) | | | | | | | | | | | | | | |
| | | | | |
| 340 | | | CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 07/11/23 @ 101.67)(1) | | (CCC+, Caa1) | | | 03/15/27 | | | | 5.000 | | | | 236,841 | |
| | | | | |
| 1,350 | | | Entegris Escrow Corp., Rule 144A, Senior Secured Notes (Callable 01/15/29 @ 100.00)(1) | | (BB, Baa3) | | | 04/15/29 | | | | 4.750 | | | | 1,250,519 | |
| | | | | |
| 1,600 | | | Imola Merger Corp., Rule 144A, Senior Secured Notes (Callable 05/15/24 @ 102.38)(1) | | (BB-, B1) | | | 05/15/29 | | | | 4.750 | | | | 1,393,386 | |
| | | | | |
| 1,320 | | | Vertiv Group Corp., Rule 144A, Senior Secured Notes (Callable 11/15/24 @ 102.06)(1) | | (BB-, B1) | | | 11/15/28 | | | | 4.125 | | | | 1,190,572 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 4,071,318 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Telecom - Wireline Integrated & Services (3.3%) | | | | | | | | | | | | | | |
| | | | | |
| 1,856 | | | Altice France SA, Rule 144A, Senior Secured Notes (Callable 09/15/23 @ 102.56)(1) | | (B-, B2) | | | 01/15/29 | | | | 5.125 | | | | 1,325,118 | |
See Accompanying Notes to Financial Statements.
12
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
June 30, 2023 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
|
| CORPORATE BONDS (continued) | |
| | | | |
| Telecom - Wireline Integrated & Services | | | | | | | | | | | | | | |
| | | | | |
$ | 200 | | | Altice France SA, Rule 144A, Senior Secured Notes (Callable 04/15/24 @ 102.56)(1) | | (B-, B2) | | | 07/15/29 | | | | 5.125 | | | $ | 142,179 | |
| | | | | |
| 200 | | | Altice France SA, Rule 144A, Senior Secured Notes (Callable 10/15/24 @ 102.75)(1) | | (B-, B2) | | | 10/15/29 | | | | 5.500 | | | | 143,228 | |
| | | | | |
| 670 | | | Ciena Corp., Rule 144A, Company Guaranteed Notes (Callable 01/31/25 @ 102.00)(1) | | (BB, Ba1) | | | 01/31/30 | | | | 4.000 | | | | 584,340 | |
| | | | | |
| 1,193 | | | LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes (Callable 07/31/23 @ 103.38)(1) | | (B+, B1) | | | 10/15/27 | | | | 6.750 | | | | 1,119,138 | |
| | | | | |
| 200 | | | LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes (Callable 07/15/24 @ 102.56)(1) | | (B+, B1) | | | 07/15/29 | | | | 5.125 | | | | 168,286 | |
| | | | | |
| 400 | | | Level 3 Financing, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/31/23 @ 102.13)(1) | | (B, B1) | | | 07/01/28 | | | | 4.250 | | | | 258,117 | |
| | | | | |
| 600 | | | Level 3 Financing, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/24 @ 101.81)(1) | | (B, B1) | | | 01/15/29 | | | | 3.625 | | | | 360,570 | |
| | | | | |
| 500 | | | Virgin Media Secured Finance PLC, Rule 144A, Senior Secured Notes (Callable 07/10/23 @ 101.25)(1),(9) | | (BB-, Ba3) | | | 04/15/27 | | | | 5.000 | | | | 578,132 | |
| | | | | |
| 400 | | | Vmed O2 U.K. Financing I PLC, Rule 144A, Senior Secured Notes (Callable 01/31/26 @ 102.13)(1) | | (BB-, Ba3) | | | 01/31/31 | | | | 4.250 | | | | 323,850 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 5,002,958 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Theaters & Entertainment (2.1%) | | | | | | | | | | | | | | |
| | | | | |
| 1,538 | | | AMC Entertainment Holdings, Inc.,10.00% Cash, 12.00% PIK, Rule 144A, Secured Notes (Callable 07/11/23 @ 106.00)(1),(3) | | (CCC-, Caa3) | | | 06/15/26 | | | | 10.000 | | | | 1,105,386 | |
| | | | | |
| 1,025 | | | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/31/23 @ 100.00)(1) | | (B+, B2) | | | 11/01/24 | | | | 4.875 | | | | 1,010,345 | |
| | | | | |
| 700 | | | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/31/23 @ 101.41)(1) | | (B+, B2) | | | 03/15/26 | | | | 5.625 | | | | 684,715 | |
| | | | | |
| 325 | | | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/31/23 @ 103.56)(1) | | (B+, B2) | | | 10/15/27 | | | | 4.750 | | | | 303,561 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 3,104,007 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Transport Infrastructure/Services (1.5%) | | | | | | | | | | | | | | |
| | | | | |
| 1,400 | | | XPO Escrow Sub LLC, Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 103.75)(1) | | (BB+, Baa3) | | | 11/15/27 | | | | 7.500 | | | | 1,431,823 | |
| | | | | |
| 200 | | | XPO, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/26 @ 103.56)(1) | | (BB-, Ba3) | | | 06/01/31 | | | | 7.125 | | | | 200,723 | |
| | | | | |
| 645 | | | XPO, Inc., Rule 144A, Senior Secured Notes (Callable 06/01/25 @ 103.13)(1) | | (BBB-, Ba1) | | | 06/01/28 | | | | 6.250 | | | | 635,325 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,267,871 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| TOTAL CORPORATE BONDS (Cost $154,648,650) | | | | | | | | | | | | | 142,084,562 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| BANK LOANS (28.0%) | | | | | | | | | | | | | | |
|
| Advertising (0.4%) | |
| | | | | |
| 23 | | | MH Sub I LLC (1st Lien Term Loan), 1 mo. USD LIBOR + 3.750%(10) | | (B, B1) | | | 09/13/24 | | | | 8.852 | | | | 22,585 | |
| | | | | |
| 555 | | | MH Sub I LLC (Incremental Term Loan), 1 mo. USD LIBOR + 3.750%(10) | | (B, B1) | | | 09/13/24 | | | | 8.852 | | | | 555,817 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 578,402 | |
| | | | | | | | | | | | | | | | | | |
See Accompanying Notes to Financial Statements.
13
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
June 30, 2023 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
| | | | |
| BANK LOANS (continued) | | | | | | | | | | | | | | |
| | | | |
| Aerospace & Defense (1.3%) | | | | | | | | | | | | | | |
| | | | | |
$ | 1,050 | | | Amentum Government Services Holdings LLC, 1 mo. USD Term SOFR + 8.750%(10) | | (NR, NR) | | | 01/31/28 | | | | 13.967 | | | $ | 959,438 | |
| | | | | |
| 297 | | | Amentum Government Services Holdings LLC, 1 mo. USD Term SOFR + 4.000%(8),(10) | | (B, B2) | | | 02/15/29 | | | | 9.147 | | | | 291,060 | |
| | | | | |
| 728 | | | Peraton Corp., 3 mo. USD Term SOFR + 7.750%(10) | | (NR, NR) | | | 02/01/29 | | | | 12.979 | | | | 707,628 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,958,126 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Auto Parts & Equipment (0.4%) | | | | | | | | | | | | | | |
| | | | | |
| 259 | | | Jason Group, Inc., 1 mo. USD LIBOR + 1.000% Cash, 9.000% PIK(3),(8),(10) | | (NR, WR) | | | 03/02/26 | | | | 15.193 | | | | 256,101 | |
| | | | | |
| 333 | | | Jason Group, Inc., 1 mo. USD LIBOR + 2.000% Cash, 4.000% PIK(3),(10) | | (NR, WR) | | | 08/28/25 | | | | 11.193 | | | | 282,040 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 538,141 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Building Materials (0.3%) | | | | | | | | | | | | | | |
| | | | | |
| 532 | | | Cornerstone Building Brands, Inc., 1 mo. USD Term SOFR + 5.625%(10) | | (B, B2) | | | 08/01/28 | | | | 10.772 | | | | 511,867 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Chemicals (1.2%) | | | | | | | | | | | | | | |
| | | | | |
| 347 | | | Ascend Performance Materials Operations LLC, 3 mo. USD Term SOFR + 4.750%(10) | | (B+, Ba3) | | | 08/27/26 | | | | 9.715 | | | | 340,569 | |
| | | | | |
| 741 | | | Luxembourg Investment Co. 428 Sarl, 3 mo. USD Term SOFR + 5.000%(10) | | (B-, B2) | | | 01/03/29 | | | | 10.392 | | | | 551,450 | |
| | | | | |
| 568 | | | Polar U.S. Borrower LLC, 3 mo. USD Term SOFR + 4.750%(10) | | (CCC+, B3) | | | 10/15/25 | | | | 9.721 ‑ 9.827 | | | | 450,412 | |
| | | | | |
| 544 | | | Zep, Inc., 3 mo. USD LIBOR + 4.000%(10) | | (CCC+, B3) | | | 08/12/24 | | | | 9.242 | | | | 467,464 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,809,895 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Diversified Capital Goods (0.9%) | | | | | | | | | | | | | | |
| | | | | |
| 597 | | | Dynacast International LLC, 3 mo. USD Term SOFR + 9.000%(10) | | (CCC, Caa2) | | | 10/22/25 | | | | 14.325 | | | | 453,679 | |
| | | | | |
| 1,021 | | | Electrical Components International, Inc., U.S. (Fed) Prime Rate + 7.500%(8),(10) | | (B-, B2) | | | 06/26/25 | | | | 15.750 | | | | 957,116 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,410,795 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Electronics (1.0%) | | | | | | | | | | | | | | |
| | | | | |
| 1,518 | | | Idemia Group, 3 mo. USD LIBOR + 4.500%(10) | | (B, B2) | | | 01/09/26 | | | | 10.038 | | | | 1,513,561 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Food & Drug Retailers (0.5%) | | | | | | | | | | | | | | |
| | | | | |
| 1,000 | | | WOOF Holdings, Inc., 3 mo. USD LIBOR + 7.250%(10) | | (CCC, Caa2) | | | 12/21/28 | | | | 12.421 | | | | 810,000 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Gas Distribution (0.7%) | | | | | | | | | | | | | | |
| | | | | |
| 998 | | | Traverse Midstream Partners LLC, 1 mo. USD Term SOFR + 3.750%(10) | | (B+, B2) | | | 02/16/28 | | | | 8.937 | | | | 991,410 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Health Facility (0.3%) | | | | | | | | | | | | | | |
| | | | | |
| 532 | | | Carestream Health, Inc., 3 mo. USD Term SOFR + 7.500%(10) | | (B-, Caa1) | | | 09/30/27 | | | | 12.842 | | | | 389,783 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Health Services (0.8%) | | | | | | | | | | | | | | |
| | | | | |
| 819 | | | MedAssets Software Intermediate Holdings, Inc., 1 mo. USD LIBOR + 6.750%(10) | | (CCC-, Caa3) | | | 12/17/29 | | | | 11.943 | | | | 491,912 | |
| | | | | |
| 802 | | | U.S. Radiology Specialists, Inc., 1 mo. USD Term SOFR + 5.250%(8),(10) | | (B-, B3) | | | 12/15/27 | | | | 10.452 | | | | 781,899 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,273,811 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Hotels (0.6%) | | | | | | | | | | | | | | |
| | | | | |
| 899 | | | Aimbridge Acquisition Co., Inc.(11) | | (CCC+, B3) | | | 02/02/26 | | | | 0.000 | | | | 881,950 | |
| | | | | | | | | | | | | | | | | | |
See Accompanying Notes to Financial Statements.
14
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
June 30, 2023 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
| | | | |
| BANK LOANS (continued) | | | | | | | | | | | | | | |
| | | | |
| Insurance Brokerage (0.6%) | | | | | | | | | | | | | | |
| | | | | |
$ | 846 | | | Hub International Ltd., 1 mo. USD LIBOR + 3.250%, 3 mo. USD LIBOR + 3.250%(10) | | (B, B2) | | | 04/25/25 | | | | 8.404 ‑ 8.788 | | | $ | 845,926 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Investments & Misc. Financial Services (1.5%) | | | | | | | | | | | | | | |
| | | | | |
| 1,500 | | | AqGen Ascensus, Inc., 1 mo. USD LIBOR + 6.500%(10) | | (CCC, Caa2) | | | 08/02/29 | | | | 11.688 | | | | 1,350,000 | |
| | | | | |
| 865 | | | Deerfield Dakota Holding LLC, 3 mo. USD LIBOR + 6.750%(10) | | (CCC, Caa2) | | | 04/07/28 | | | | 12.288 | | | | 811,571 | |
| | | | | |
| 476 | | | Ditech Holding Corp.(5),(6),(7),(8) | | (NR, WR) | | | 06/30/22 | | | | 0.000 | | | | 28,545 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,190,116 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Machinery (1.1%) | | | | | | | | | | | | | | |
| | | | | |
| 1,398 | | | LTI Holdings, Inc., 1 mo. USD LIBOR + 6.750%(10),(12) | | (CCC+, Caa2) | | | 09/06/26 | | | | 11.967 | | | | 1,198,431 | |
| | | | | |
| 433 | | | LTI Holdings, Inc., 1 mo. USD LIBOR + 3.500%(10) | | (B-, B2) | | | 09/06/25 | | | | 8.717 | | | | 416,875 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,615,306 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Media - Diversified (0.4%) | | | | | | | | | | | | | | |
| | | | | |
| 214 | | | Technicolor Creative Studios, 3 mo. EUR EURIBOR + 5.000%(4),(10) | | (NR, NR) | | | 06/05/30 | | | | 8.476 | | | | — | |
| | | | | |
| 101 | | | Technicolor Creative Studios, 6 mo. EUR EURIBOR + 5.000%(4),(8),(10) | | (NR, NR) | | | 07/31/26 | | | | 15.335 | | | | 109,278 | |
| | | | | |
| 95 | | | Technicolor Creative Studios(4),(8),(11) | | (NR, NR) | | | 07/31/26 | | | | 0.000 | | | | 102,232 | |
| | | | | |
| 529 | | | Technicolor Creative Studios, 3 mo. EUR EURIBOR + 5.000%(4),(10) | | (NR, NR) | | | 06/08/33 | | | | 8.547 | | | | 373,797 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 585,307 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Medical Products (1.4%) | | | | | | | | | | | | | | |
| | | | | |
| 627 | | | Femur Buyer, Inc., 3 mo. USD Term SOFR + 5.500%(8),(10) | | (CCC+, NR) | | | 08/05/25 | | | | 11.003 | | | | 560,213 | |
| | | | | |
| 900 | | | Viant Medical Holdings, Inc., 1 mo. USD LIBOR + 7.750%(10),(12) | | (CCC-, Caa3) | | | 07/02/26 | | | | 12.943 | | | | 799,875 | |
| | | | | |
| 682 | | | Viant Medical Holdings, Inc., 1 mo. USD LIBOR + 6.250%(8),(10) | | (CCC+, B3) | | | 07/02/25 | | | | 11.443 | | | | 678,867 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,038,955 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Personal & Household Products (1.5%) | | | | | | | | | | | | | | |
| | | | | |
| 800 | | | ABG Intermediate Holdings 2 LLC, 1 mo. USD Term SOFR + 6.000%(10) | | (CCC+, Caa1) | | | 12/20/29 | | | | 11.202 | | | | 748,000 | |
| | | | | |
| 1,100 | | | Serta Simmons Bedding LLC, 1 mo. USD LIBOR + 9.500%(10) | | (NR, NR) | | | 08/10/23 | | | | 14.448 | | | | 1,109,180 | |
| | | | | |
| 741 | | | Serta Simmons Bedding LLC, 3 mo. USD LIBOR + 9.500%(10) | | (NR, NR) | | | 08/10/23 | | | | 15.014 | | | | 443,302 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,300,482 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Pharmaceuticals (0.3%) | | | | | | | | | | | | | | |
| | | | | |
| 384 | | | Akorn, Inc.(5),(6) | | (NR, WR) | | | 10/01/25 | | | | 0.000 | | | | 404,672 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Recreation & Travel (1.8%) | | | | | | | | | | | | | | |
| | | | | |
| 763 | | | Bulldog Purchaser, Inc., 1 mo. USD Term SOFR + 7.750%(10) | | (CCC-, Caa3) | | | 09/04/26 | | | | 12.952 | | | | 598,043 | |
| | | | | |
| 966 | | | Bulldog Purchaser, Inc., 1 mo. USD Term SOFR + 3.750%(10) | | (B-, B3) | | | 09/05/25 | | | | 8.952 | | | | 906,032 | |
| | | | | |
| 523 | | | Hornblower Sub LLC, 3 mo. USD LIBOR + 4.500%(10) | | (CCC-, Caa2) | | | 04/27/25 | | | | 10.481 | | | | 255,021 | |
| | | | | |
| 773 | | | Hornblower Sub LLC (2020 Super Priority Term Loan), 3 mo. USD LIBOR + 8.125%(10) | | (NR, NR) | | | 11/10/25 | | | | 13.446 | | | | 770,779 | |
| | | | | |
| 200 | | | Hornblower Sub LLC (2022 Incremental Term Loan), 3 mo. USD LIBOR + 8.125%(10) | | (NR, NR) | | | 11/20/25 | | | | 13.446 | | | | 199,375 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,729,250 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Restaurants (0.1%) | | | | | | | | | | | | | | |
| | | | | |
| 200 | | | Tacala LLC, 1 mo. USD LIBOR + 7.500%(10) | | (CCC, Caa2) | | | 02/04/28 | | | | 12.693 | | | | 189,500 | |
| | | | | | | | | | | | | | | | | | |
See Accompanying Notes to Financial Statements.
15
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
June 30, 2023 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
| | | | |
| BANK LOANS (continued) | | | | | | | | | | | | | | |
| | | | |
| Software - Services (8.0%) | | | | | | | | | | | | | | |
| | | | | |
$ | 1,190 | | | Aston FinCo Sarl, 1 mo. USD LIBOR + 4.250%(8),(10) | | (B-, B3) | | | 10/09/26 | | | | 9.443 | | | $ | 1,023,820 | |
| | | | | |
| 595 | | | Astra Acquisition Corp., 1 mo. USD LIBOR + 5.250%(10) | | (B-, B1) | | | 10/25/28 | | | | 10.443 | | | | 419,413 | |
| | | | | |
| 600 | | | CommerceHub, Inc., 3 mo. USD Term SOFR + 7.000%(10) | | (CCC, Caa2) | | | 12/29/28 | | | | 12.217 | | | | 469,800 | |
| | | | | |
| 1,250 | | | Epicor Software Corp., 1 mo. USD Term SOFR + 7.750%(10) | | (CCC, Caa2) | | | 07/31/28 | | | | 12.953 | | | | 1,253,650 | |
| | | | | |
| 460 | | | Finastra USA, Inc., 3 mo. USD LIBOR + 3.500%, 6 mo. USD LIBOR + 3.500%(10) | | (CCC+, B3) | | | 06/13/24 | | | | 9.038 ‑ 9.231 | | | | 443,626 | |
| | | | | |
| 2,011 | | | Finastra USA, Inc., 6 mo. USD LIBOR + 7.250%(10) | | (CCC-, Caa3) | | | 06/13/25 | | | | 12.788 | | | | 1,832,596 | |
| | | | | |
| 499 | | | Genuine Financial Holdings LLC(11) | | (B, B2) | | | 07/11/25 | | | | 0.000 | | | | 498,638 | |
| | | | | |
| 1,930 | | | Hyland Software, Inc., 1 mo. USD LIBOR + 3.500%(10) | | (B-, B2) | | | 07/01/24 | | | | 8.693 | | | | 1,916,133 | |
| | | | | |
| 280 | | | Hyland Software, Inc., 1 mo. USD LIBOR + 6.250%(10) | | (CCC, Caa2) | | | 07/07/25 | | | | 11.467 | | | | 270,550 | |
| | | | | |
| 1,047 | | | Open Text Corp., 1 mo. USD Term SOFR + 3.500%(10) | | (BBB-, Ba1) | | | 01/31/30 | | | | 8.584 | | | | 1,052,586 | |
| | | | | |
| 1,191 | | | Project Alpha Intermediate Holding, Inc., 1 mo. USD LIBOR + 4.000%(10) | | (B, B3) | | | 04/26/24 | | | | 9.200 | | | | 1,190,041 | |
| | | | | |
| 994 | | | Quest Software U.S. Holdings, Inc., 3 mo. USD Term SOFR + 4.250%(10) | | (CCC+, B2) | | | 02/01/29 | | | | 9.445 | | | | 776,362 | |
| | | | | |
| 130 | | | Redstone Holdco 2 LP, 3 mo. USD LIBOR + 7.750%(10) | | (CCC+, Caa3) | | | 04/27/29 | | | | 13.042 | | | | 82,116 | |
| | | | | |
| 892 | | | Redstone Holdco 2 LP, 3 mo. USD LIBOR + 4.750%(10) | | (B-, B3) | | | 04/27/28 | | | | 10.005 | | | | 746,999 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 11,976,330 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Support - Services (0.8%) | | | | | | | | | | | | | | |
| | | | | |
| 400 | | | LaserShip, Inc., 1 mo. USD LIBOR + 7.500%(8),(10) | | (CCC-, Caa3) | | | 05/07/29 | | | | 12.693 | | | | 300,000 | |
| | | | | |
| 795 | | | LaserShip, Inc., 1 mo. USD LIBOR + 4.500%(8),(10) | | (CCC+, B3) | | | 05/07/28 | | | | 9.693 | | | | 660,221 | |
| | | | | |
| 400 | | | TruGreen Ltd. Partnership, 3 mo. USD LIBOR + 8.500%(8),(10) | | (CCC, Caa3) | | | 11/02/28 | | | | 13.773 | | | | 238,000 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,198,221 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Telecom - Wireline Integrated & Services (1.2%) | | | | | | | | | | | | | | |
| | | | | |
| 1,247 | | | Patagonia Holdco LLC, 3 mo. USD Term SOFR + 5.750%(10) | | (NR, B1) | | | 08/01/29 | | | | 10.789 | | | | 1,065,782 | |
| | | | | |
| 875 | | | TVC Albany, Inc., 1 mo. USD Term SOFR + 7.500%(10),(12) | | (CCC, Caa2) | | | 07/23/26 | | | | 12.584 | | | | 804,729 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,870,511 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Theaters & Entertainment (0.9%) | | | | | | | | | | | | | | |
| | | | | |
| 1,293 | | | William Morris Endeavor Entertainment LLC, 1 mo. USD LIBOR + 2.750%(10) | | (B+, B3) | | | 05/18/25 | | | | 7.950 | | | | 1,292,081 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| TOTAL BANK LOANS (Cost $45,006,017) | | | | | | | | | | | | | 41,904,398 | |
| | | | | | | | | | | | | | | | | | |
|
| ASSET BACKED SECURITIES (7.5%) | |
| | | | |
| Collateralized Debt Obligations (7.5%) | | | | | | | | | | | | | | |
| | | | | |
| 650 | | | Anchorage Capital CLO 15 Ltd., 2020-15A, Rule 144A, 3 mo. USD LIBOR + 7.400%(1),(10) | | (NR, Ba3) | | | 07/20/34 | | | | 12.650 | | | | 572,864 | |
| | | | | |
| 1,000 | | | Anchorage Capital CLO 25 Ltd., 2022-25A, Rule 144A, 3 mo. USD Term SOFR + 7.170%(1),(10) | | (NR, Ba3) | | | 04/20/35 | | | | 12.218 | | | | 910,477 | |
| | | | | |
| 500 | | | Anchorage Credit Funding 4 Ltd., 2016-4A, Rule 144A(1) | | (NR, Ba3) | | | 04/27/39 | | | | 6.659 | | | | 397,696 | |
| | | | | |
| 750 | | | Battalion CLO 18 Ltd., 2020-18A, Rule 144A, 3 mo. USD LIBOR + 6.710%(1),(10) | | (BB-, NR) | | | 10/15/36 | | | | 11.970 | | | | 606,718 | |
| | | | | |
| 1,000 | | | Battalion CLO XV Ltd., 2020-15A, Rule 144A, 3 mo. USD LIBOR + 6.350%(1),(10) | | (BB-, NR) | | | 01/17/33 | | | | 11.610 | | | | 833,121 | |
| | | | | |
| 1,000 | | | Cedar Funding VI CLO Ltd., 2016-6A, Rule 144A, 3 mo. USD LIBOR + 6.720%(1),(10) | | (BB-, NR) | | | 04/20/34 | | | | 11.970 | | | | 891,968 | |
See Accompanying Notes to Financial Statements.
16
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
June 30, 2023 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
|
| ASSET BACKED SECURITIES (continued) | |
| | | | |
| Collateralized Debt Obligations | | | | | | | | | | | | | | |
| | | | | |
$ | 1,000 | | | CIFC Funding Ltd., 2017-1A, Rule 144A, 3 mo. USD LIBOR + 3.500%(1),(10) | | (NR, Baa2) | | | 04/23/29 | | | | 8.761 | | | $ | 978,784 | |
| | | | | |
| 1,000 | | | KKR CLO 14 Ltd., Rule 144A, 3 mo. USD LIBOR + 6.150%(1),(10) | | (NR, B1) | | | 07/15/31 | | | | 11.410 | | | | 853,808 | |
| | | | | |
| 1,000 | | | KKR CLO Ltd., 16, Rule 144A, 3 mo. USD LIBOR + 7.110%(1),(10) | | (BB-, NR) | | | 10/20/34 | | | | 12.360 | | | | 857,222 | |
| | | | | |
| 1,000 | | | Marble Point CLO XXIII Ltd., 2021-4A, Rule 144A, 3 mo. USD LIBOR + 5.750%(1),(10) | | (NR, Ba1) | | | 01/22/35 | | | | 11.023 | | | | 907,474 | |
| | | | | |
| 400 | | | MP CLO III Ltd., 2013-1A, Rule 144A, 3 mo. USD LIBOR + 3.050%(1),(10) | | (NR, Ba1) | | | 10/20/30 | | | | 8.300 | | | | 352,616 | |
| | | | | |
| 1,000 | | | Oaktree CLO Ltd., 2019-4A, Rule 144A, 3 mo. USD LIBOR + 7.230%(1),(10) | | (BB-, NR) | | | 10/20/32 | | | | 12.480 | | | | 929,737 | |
| | | | | |
| 1,000 | | | Palmer Square Credit Funding Ltd., 2019-1A, Rule 144A(1) | | (NR, Baa2) | | | 04/20/37 | | | | 5.459 | | | | 892,419 | |
| | | | | |
| 1,000 | | | Venture 41 CLO Ltd., 2021-41A, Rule 144A, 3 mo. USD LIBOR + 7.710%(1),(10) | | (BB-, NR) | | | 01/20/34 | | | | 12.960 | | | | 890,954 | |
| | | | | |
| 400 | | | Vibrant CLO VII Ltd., 2017-7A, Rule 144A, 3 mo. USD LIBOR + 3.600%(1),(10) | | (NR, Baa3) | | | 09/15/30 | | | | 8.850 | | | | 359,941 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| TOTAL ASSET BACKED SECURITIES (Cost $12,459,441) | | | | | | | | | | | | | 11,235,799 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
Shares | | | | | | | | | | | | | | |
| | | | |
| COMMON STOCKS (0.8%) | | | | | | | | | | | | | | |
| | | | |
| Auto Parts & Equipment (0.2%) | | | | | | | | | | | | | | |
| | | | | |
| 37,432 | | | Jason, Inc.(6) | | | | | | | | | | | | | 336,890 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Chemicals (0.4%) | | | | | | | | | | | | | | |
| | | | | |
| 2,794 | | | Project Investor Holdings LLC(6),(7),(8),(12) | | | | | | | | | | | | | 28 | |
| | |
| 46,574 | | | Proppants Holdings LLC(6),(7),(8),(12) | | | | 931 | |
| | | | | |
| 10,028 | | | UTEX Industries, Inc.(6) | | | | | | | | | | | | | 645,131 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 646,090 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Pharmaceuticals (0.0%) | | | | | | | | | | | | | | |
| | | | | |
| 45,583 | | | Akorn, Inc.(6) | | | | | | | | | | | | | 13,675 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Private Placement (0.1%) | | | | | | | | | | | | | | |
| | | | | |
| 2,826,020 | | | Technicolor Creative Studios SA(6),(13) | | | | | | | | | | | | | 105,445 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Specialty Retail (0.0%) | | | | | | | | | | | | | | |
| | | | | |
| 69 | | | Eagle Investments Holding Co. LLC, Class B(6),(7),(8) | | | | | | | | | | | | | — | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Support - Services (0.0%) | | | | | | | | | | | | | | |
| | | | | |
| 800 | | | LTR Holdings, Inc.(6),(7),(8),(12) | | | | | | | | | | | | | 1,184 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Theaters & Entertainment (0.1%) | | | | | | | | | | | | | | |
| | |
| 307,692 | | | Vantiva SA(4),(6) | | | | 71,278 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| TOTAL COMMON STOCKS (Cost $2,730,930) | | | | | | | | | | | | | 1,174,562 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| WARRANTS (0.0%) | | | | | | | | | | | | | | |
|
| Chemicals (0.0%) | |
| | |
| 11,643 | | | Project Investor Holdings LLC, expires 02/20/2022(6),(7),(8),(12) | | | | — | |
See Accompanying Notes to Financial Statements.
17
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
June 30, 2023 (unaudited)
| | | | | | | | | | | | | | | | | | |
Shares | | | | | | | | | | | | | Value | |
| | | | |
| WARRANTS (continued) | | | | | | | | | | | | | | |
| | | | |
| Private Placement (0.0%) | | | | | | | | | | | | | | |
| | | | | |
| 819,286 | | | Technicolor Creative Studios SA(6),(13) | | | | | | | | | | | | $ | 30,569 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| TOTAL WARRANTS (Cost $6,054) | | | | | | | | | | | | | 30,569 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| SHORT-TERM INVESTMENTS (11.7%) | | | | | | | | | | | | | | |
| | | | |
| 6,591,439 | | | State Street Institutional U.S. Government Money Market Fund - Premier Class, 5.03% | | | | | | | | | | | 6,591,439 | |
| | | | |
| 10,826,798 | | | State Street Navigator Securities Lending Government Money Market Portfolio, 5.11%(14) | | | | | | | | | | | 10,826,798 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $17,418,237) | | | | | | | | | | | | | 17,418,237 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| TOTAL INVESTMENTS AT VALUE (143.1%) (Cost $232,269,329) | | | | | | | | | | | | | 213,848,127 | |
| | | | |
| LIABILITIES IN EXCESS OF OTHER ASSETS (-43.1%) | | | | | | | | | | | | | (64,449,124 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | |
| NET ASSETS (100.0%) | | | | | | | | | | | | $ | 149,399,003 | |
| | | | | | | | | | | | | | | | | | |
INVESTMENT ABBREVIATIONS
1 mo. = 1 month
3 mo. = 3 month
6 mo. = 6 month
EURIBOR = Euro Interbank Offered Rate
LIBOR = London Interbank Offered Rate
NR = Not Rated
Sarl = société à responsabilité limitée
SOFR = Secured Overnight Financing Rate
WR = Withdrawn Rating
† | Credit ratings given by the S&P Global Ratings Division of S&P Global 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 June 30, 2023, these securities amounted to a value of $149,035,957 or 99.8% of net assets. |
(2) | Security or portion thereof is out on loan (See Note 2-K). |
(3) | PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal. |
(4) | This security is denominated in Euro. |
(5) | Bond is currently in default. |
(6) | Non-income producing security. |
(7) | Not readily marketable security; security is valued at fair value as determined in good faith by Credit Suisse Asset Management, LLC as the Fund’s valuation designee under the oversight of the Board of Directors. |
(8) | Security is valued using significant unobservable inputs. |
(9) | This security is denominated in British Pound. |
(10) | Variable rate obligation - The interest rate shown is the rate in effect as of June 30, 2023. The rate may be subject to a cap and floor. |
(11) | The rates on certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The interest rate shown is the rate in effect as of June 30, 2023. |
(13) | Security is held through holdings of 100 shares of the CIG Special Purpose SPC - Credit Suisse Asset Management Income Fund Segregated Portfolio, an affiliated entity. |
(14) | Represents security purchased with cash collateral received for securities on loan. |
See Accompanying Notes to Financial Statements.
18
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
June 30, 2023 (unaudited)
Forward Foreign Currency Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Currency to be Purchased | | | Forward Currency to be Sold | | | Expiration Date | | | Counterparty | | Value on Settlement Date | | | Current Value/Notional | | | Unrealized Appreciation | |
EUR | | | 473,540 | | | USD | | | 503,537 | | | | 10/11/23 | | | Barclays Bank PLC | | $ | 503,537 | | | $ | 519,187 | | | $ | 15,650 | |
EUR | | | 439,102 | | | USD | | | 465,587 | | | | 10/11/23 | | | Deutsche Bank AG | | | 465,587 | | | | 481,429 | | | | 15,842 | |
EUR | | | 69,379 | | | USD | | | 75,704 | | | | 10/11/23 | | | JPMorgan Chase | | | 75,704 | | | | 76,066 | | | | 362 | |
EUR | | | 494,747 | | | USD | | | 518,119 | | | | 10/11/23 | | | Morgan Stanley | | | 518,119 | | | | 542,439 | | | | 24,320 | |
GBP | | | 15,119 | | | USD | | | 17,160 | | | | 10/11/23 | | | Deutsche Bank AG | | | 17,160 | | | | 19,224 | | | | 2,064 | |
GBP | | | 11,096 | | | USD | | | 13,786 | | | | 10/11/23 | | | JPMorgan Chase | | | 13,786 | | | | 14,109 | | | | 323 | |
USD | | | 44,994 | | | EUR | | | 40,746 | | | | 10/11/23 | | | JPMorgan Chase | | | (44,994 | ) | | | (44,673 | ) | | | 321 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Unrealized Appreciation | | | $ | 58,882 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Currency to be Purchased | | | Forward Currency to be Sold | | | Expiration Date | | | Counterparty | | Value on Settlement Date | | | Current Value/Notional | | | Unrealized Depreciation | |
USD | | | 2,933,963 | | | EUR | | | 2,890,364 | | | | 10/11/23 | | | Deutsche Bank AG | | $ | (2,933,963 | ) | | $ | (3,168,979 | ) | | $ | (235,016 | ) |
USD | | | 11,837 | | | GBP | | | 9,647 | | | | 10/11/23 | | | Barclays Bank PLC | | | (11,837 | ) | | | (12,266 | ) | | | (429 | ) |
USD | | | 537,061 | | | GBP | | | 480,394 | | | | 10/11/23 | | | Deutsche Bank AG | | | (537,061 | ) | | | (610,823 | ) | | | (73,762 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Unrealized Depreciation | | | $ | (309,207 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Net Unrealized Appreciation/(Depreciation) | | | $ | (250,325 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Currency Abbreviations:
EUR = Euro
GBP = British Pound
USD = United States Dollar
See Accompanying Notes to Financial Statements.
19
Credit Suisse Asset Management Income Fund, Inc.
Statement of Assets and Liabilities
June 30, 2023 (unaudited)
| | | | |
Assets | | | | |
Investments at value, including collateral for securities on loan of $10,826,798 (Cost $232,269,329) (Note 2) | | $ | 213,848,127 | 1 |
Foreign currency at value (Cost $4,971) | | | 5,035 | |
Cash segregated at brokers for forwards contracts (Note 2) | | | 300,000 | |
Interest receivable | | | 3,498,702 | |
Receivable for investments sold | | | 689,880 | |
Deferred offering costs (Note 7) | | | 571,505 | |
Unrealized appreciation on forward foreign currency contracts (Note 2) | | | 58,882 | |
Prepaid expenses and other assets | | | 18,226 | |
| | | | |
Total assets | | | 218,990,357 | |
| | | | |
Liabilities | | | | |
Investment advisory fee payable (Note 3) | | | 177,665 | |
Administrative services fee payable (Note 3) | | | 14,667 | |
Loan payable (Note 4) | | | 55,000,000 | |
Payable upon return of securities loaned (Note 2) | | | 10,826,798 | |
Payable for investments purchased | | | 2,049,304 | |
Interest payable (Note 4) | | | 729,563 | |
Due to custodian | | | 310,742 | |
Unrealized depreciation on forward foreign currency contracts (Note 2) | | | 309,207 | |
Directors’ fee payable | | | 53,212 | |
Accrued expenses | | | 120,196 | |
| | | | |
Total liabilities | | | 69,591,354 | |
| | | | |
Net Assets | | | | |
Applicable to 52,644,857 shares outstanding | | $ | 149,399,003 | |
| | | | |
Net Assets | | | | |
Capital stock, $.001 par value (Note 6) | | | 52,645 | |
Paid‑in capital (Note 6) | | | 193,867,731 | |
Total distributable earnings (loss) | | | (44,521,373 | ) |
| | | | |
Net assets | | $ | 149,399,003 | |
| | | | |
Net Asset Value Per Share | | | $2.84 | |
| | | | |
Market Price Per Share | | | $2.94 | |
| | | | |
1 | Includes $10,613,714 of securities on loan. |
See Accompanying Notes to Financial Statements.
20
Credit Suisse Asset Management Income Fund, Inc.
Statement of Operations
For the Six Months Ended June 30, 2023 (unaudited)
| | | | |
Investment Income | | | | |
Interest | | $ | 8,690,617 | |
Securities lending (net of rebates) | | | 31,614 | |
| | | | |
Total investment income | | | 8,722,231 | |
| | | | |
Expenses | | | | |
Investment advisory fees (Note 3) | | | 350,749 | |
Administrative services fees (Note 3) | | | 31,103 | |
Interest expense (Note 4) | | | 1,630,592 | |
Directors’ fees | | | 66,453 | |
Printing fees | | | 38,053 | |
Custodian fees | | | 33,239 | |
Legal fees | | | 28,471 | |
Audit and tax fees | | | 26,976 | |
Commitment fees (Note 4) | | | 24,133 | |
Transfer agent fees | | | 23,551 | |
Stock exchange listing fees | | | 8,326 | |
Insurance expense | | | 3,458 | |
Miscellaneous expense | | | 5,060 | |
| | | | |
Total expenses | | | 2,270,164 | |
| | | | |
Net investment income | | | 6,452,067 | |
| | | | |
Net Realized and Unrealized Gain (Loss) from Investments, Foreign Currency and Forward Foreign Currency Contracts | | | | |
Net realized loss from investments | | | (9,770,582 | ) |
Net realized gain from foreign currency transactions | | | 5,062 | |
Net change in unrealized appreciation (depreciation) from investments | | | 15,923,999 | |
Net change in unrealized appreciation (depreciation) from foreign currency translations | | | (6,576 | ) |
Net change in unrealized appreciation (depreciation) from forward foreign currency contracts | | | (45,498 | ) |
| | | | |
Net realized and unrealized gain from investments, foreign currency and forward foreign currency contracts | | | 6,106,405 | |
| | | | |
Net increase in net assets resulting from operations | | $ | 12,558,472 | |
| | | | |
See Accompanying Notes to Financial Statements.
21
Credit Suisse Asset Management Income Fund, Inc.
Statements of Changes in Net Assets
| | | | | | | | |
| | For the Six Months Ended June 30, 2023 (unaudited) | | | For the Year Ended December 31, 2022 | |
From Operations | | | | | | | | |
Net investment income | | $ | 6,452,067 | | | $ | 12,209,827 | |
Net realized loss from investments, foreign currency transactions and forward foreign currency contracts | | | (9,765,520 | ) | | | (2,734,929 | ) |
Net change in unrealized appreciation (depreciation) from investments, foreign currency translations and forward foreign currency contracts | | | 15,871,925 | | | | (31,873,386 | ) |
| | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | 12,558,472 | | | | (22,398,488 | ) |
| | | | | | | | |
From Distributions | | | | | | | | |
From distributable earnings | | | (7,106,023 | ) | | | (12,261,813 | ) |
Return of capital | | | — | | | | (1,895,583 | ) |
| | | | | | | | |
Net decrease in net assets resulting from distributions | | | (7,106,023 | ) | | | (14,157,396 | ) |
| | | | | | | | |
From Capital Share Transactions (Note 6) | | | | | | | | |
Net proceeds from at‑the‑market offering (Note 7) | | | — | | | | 808,859 | |
Reinvestment of distributions | | | 32,523 | | | | 47,275 | |
| | | | | | | | |
Net increase in net assets from capital share transactions | | | 32,523 | | | | 856,134 | |
| | | | | | | | |
Net increase (decrease) in net assets | | | 5,484,972 | | | | (35,699,750 | ) |
Net Assets | | | | | | | | |
Beginning of period | | | 143,914,031 | | | | 179,613,781 | |
| | | | | | | | |
End of period | | $ | 149,399,003 | | | $ | 143,914,031 | |
| | | | | | | | |
See Accompanying Notes to Financial Statements.
22
Credit Suisse Asset Management Income Fund, Inc.
Statement of Cash Flows
For the Six Months Ended June 30, 2023 (unaudited)
| | | | | | | | |
Reconciliation of Net Increase in Net Assets from Operations to Net Cash Provided by Operating Activities | | | | | | | | |
Net increase in net assets resulting from operations | | | | | | $ | 12,558,472 | |
| | | | | | | | |
Adjustments to Reconcile Net Increase in Net Assets from Operations to Net Cash Provided by Operating Activities | | | | | | | | |
Decrease in interest receivable | | $ | 23,707 | | | | | |
Increase in accrued expenses | | | 4,595 | | | | | |
Increase in payable upon return of securities loaned | | | 3,939,283 | | | | | |
Increase in interest payable | | | 597,840 | | | | | |
Increase in prepaid expenses and other assets | | | (17,649 | ) | | | | |
Increase in investment advisory fee payable | | | 4,557 | | | | | |
Net amortization of a premium or accretion of a discount on investments | | | (422,774 | ) | | | | |
Increase in cash segregated at brokers | | | (300,000 | ) | | | | |
Purchases of long-term securities, net of change in payable for investments purchased | | | (44,744,322 | ) | | | | |
Sales of long-term securities, net of change in receivable for investments sold | | | 52,759,390 | | | | | |
Net proceeds from sales (purchases) of short-term securities | | | (6,190,730 | ) | | | | |
Net change in unrealized (appreciation) depreciation from investments and forward foreign currency contracts | | | (15,878,501 | ) | | | | |
Net realized loss from investments | | | 9,770,582 | | | | | |
Total adjustments | | | | | | | (454,022 | ) |
| | | | | | | | |
Net cash provided by operating activities1 | | | | | | $ | 12,104,450 | |
| | | | | | | | |
Cash Flows From Financing Activities | | | | | | | | |
Borrowings on revolving credit facility | | | 5,000,000 | | | | | |
Repayments of credit facility | | | (10,500,000 | ) | | | | |
Cash distributions paid | | | (7,073,500 | ) | | | | |
| | | | | | | | |
Net cash used in financing activities | | | | | | | (12,573,500) | |
| | | | | | | | |
Net decrease in cash | | | | | | | (469,050 | ) |
Cash — beginning of period | | | | | | | 163,343 | |
| | | | | | | | |
Cash — end of period | | | | | | $ | (305,707 | ) |
| | | | | | | | |
| | |
Non‑Cash Activity: | | | | | | | | |
Issuance of shares through dividend reinvestments | | | | | | $ | 32,523 | |
| | | | | | | | |
1 | Included in net cash provided by operating activities is cash of $1,032,752 paid for interest on borrowings. |
See Accompanying Notes to Financial Statements.
23
Credit Suisse Asset Management Income Fund, Inc.
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | For the Six Months Ended June 30, 2023 (unaudited) | | | For the Year Ended December 31, | |
| | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Per share operating performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 2.73 | | | $ | 3.43 | | | $ | 3.42 | | | $ | 3.48 | | | $ | 3.21 | | | $ | 3.58 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
INVESTMENT OPERATIONS | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.12 | | | | 0.23 | | | | 0.23 | | | | 0.27 | | | | 0.26 | | | | 0.27 | |
Net gain (loss) from investments, foreign currency transactions and forward foreign currency contracts(both realized and unrealized) | | | 0.13 | | | | (0.66 | ) | | | 0.05 | | | | (0.06 | ) | | | 0.28 | | | | (0.37 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.25 | | | | (0.43 | ) | | | 0.28 | | | | 0.21 | | | | 0.54 | | | | (0.10 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
LESS DIVIDENDS AND DISTRIBUTIONS | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | (0.14 | ) | | | (0.23 | ) | | | (0.24 | ) | | | (0.27 | ) | | | (0.27 | ) | | | (0.27 | ) |
Return of capital | | | — | | | | (0.04 | ) | | | (0.03 | ) | | | — | | | | (0.00 | )2 | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.14 | ) | | | (0.27 | ) | | | (0.27 | ) | | | (0.27 | ) | | | (0.27 | ) | | | (0.27 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | $ | 2.84 | | | $ | 2.73 | | | $ | 3.43 | | | $ | 3.42 | | | $ | 3.48 | | | $ | 3.21 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Per share market value, end of period | | $ | 2.94 | | | $ | 2.52 | | | $ | 3.43 | | | $ | 3.15 | | | $ | 3.22 | | | $ | 2.77 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
TOTAL INVESTMENT RETURN3 | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value | | | 9.35 | % | | | (12.46 | )% | | | 8.51 | % | | | 8.08 | % | | | 18.17 | % | | | (2.39 | )% |
Market value | | | 22.64 | % | | | (19.19 | )% | | | 17.82 | % | | | 7.58 | % | | | 26.71 | % | | | (8.89 | )% |
| | | | | | |
RATIOS AND SUPPLEMENTAL DATA | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s omitted) | | $ | 149,399 | | | $ | 143,914 | | | $ | 179,614 | | | $ | 178,641 | | | $ | 182,030 | | | $ | 167,897 | |
Ratio of net expenses to average net assets | | | 3.09 | %4 | | | 1.91 | % | | | 1.07 | % | | | 1.25 | % | | | 1.92 | % | | | 1.82 | % |
Ratio of net expenses to average net assets excluding interest expense | | | 0.87 | %4 | | | 0.89 | % | | | 0.80 | % | | | 0.75 | % | | | 0.78 | % | | | 0.78 | % |
Ratio of net investment income to average net assets | | | 8.77 | %4 | | | 7.79 | % | | | 6.70 | % | | | 8.55 | % | | | 7.59 | % | | | 7.83 | % |
Asset Coverage per $1,000 of Indebtedness | | $ | 3,716 | | | $ | 3,379 | | | $ | 4,070 | | | $ | 4,162 | | | $ | 4,021 | | | $ | 3,373 | |
Portfolio turnover rate5 | | | 21 | % | | | 42 | % | | | 53 | % | | | 36 | % | | | 35 | % | | | 39 | % |
1 | Per share information is calculated using the average shares outstanding method. |
2 | This amount represents less than $(0.01) per share. |
3 | Total investment return at net asset value is based on changes in the net asset value of Fund shares and assumes reinvestment of distributions, if any, at actual prices pursuant to the Fund’s dividend reinvestment program. Total investment return at market value is based on changes in the market price at which the Fund’s shares traded on the stock exchange during the period and assumes reinvestment of distributions, if any, at actual prices pursuant to the Fund’s dividend reinvestment program. Because the Fund’s shares trade in the stock market based on investor demand, the Fund may trade at a price higher or lower than its NAV. Therefore, returns are calculated based on NAV and share price. Total returns for periods less than one year are not annualized. |
5 | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
See Accompanying Notes to Financial Statements.
24
Credit Suisse Asset Management Income Fund, Inc.
Notes to Financial Statements
June 30, 2023 (unaudited)
Note 1. Organization
Credit Suisse Asset Management Income Fund, Inc. (the “Fund”) was incorporated on February 11, 1987 and is registered as a diversified, closed‑end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The investment objective of the Fund is to provide current income consistent with the preservation of capital.
Note 2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies are in accordance with generally accepted accounting principles in the United States of America (“GAAP”). The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is considered an investment company for financial reporting purposes under GAAP and follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 — Financial Services — Investment Companies.
A) SECURITY VALUATION — The Board of Directors (the “Board”) is responsible for the Fund’s valuation process. The Board has delegated the supervision of the daily valuation process to Credit Suisse Asset Management, LLC, the Fund’s investment adviser (“Credit Suisse” or the “Adviser”), who has established a Pricing Committee and a Pricing Group, which, pursuant to the policies adopted by the Board, are responsible for making fair valuation determinations and overseeing the Fund’s pricing policies. 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. Investments in open-ended mutual funds are valued at the net asset value as reported on each business day and under normal circumstances. Securities for which market quotations are not readily available are valued at their fair value as determined in good faith by the Adviser, as the Board’s valuation designee (as defined in Rule 2a‑5 under the 1940 Act), in accordance with the Adviser’s procedures. The Board oversees the Adviser in its role as valuation designee in accordance with the requirements of Rule 2a‑5 under the 1940 Act. The Fund may utilize a service provided by an independent third party 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
25
Credit Suisse Asset Management Income Fund, Inc.
Notes to Financial Statements (continued)
June 30, 2023 (unaudited)
Note 2. Significant Accounting Policies (continued)
supply prices for a portfolio investment, or if the prices supplied are deemed by the Adviser to be unreliable, the market price may be determined by the 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, these securities will be fair valued in good faith by the Pricing Group, in accordance with procedures established by the Adviser.
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.
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 June 30, 2023 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 | | $ | — | | | $ | 141,999,525 | | | $ | 85,037 | | | $ | 142,084,562 | |
Bank Loans | | | — | | | | 35,917,046 | | | | 5,987,352 | | | | 41,904,398 | |
Asset Backed Securities | | | — | | | | 11,235,799 | | | | — | | | | 11,235,799 | |
Common Stocks | | | 105,445 | | | | 1,066,974 | | | | 2,143 | | | | 1,174,562 | |
Warrants | | | 30,569 | | | | — | | | | 0 | 1 | | | 30,569 | |
Short-term Investments | | | 17,418,237 | | | | — | | | | — | | | | 17,418,237 | |
| | | | | | | | | | | | | | | | |
| | $ | 17,554,251 | | | $ | 190,219,344 | | | $ | 6,074,532 | | | $ | 213,848,127 | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 58,882 | | | $ | — | | | $ | 58,882 | |
| | | | | | | | | | | | | | | | |
| | | | |
Liabilities | | | | | | | | | | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 309,207 | | | $ | — | | | $ | 309,207 | |
| | | | | | | | | | | | | | | | |
| 1 | Included a zero valued security. |
| * | Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts. |
26
Credit Suisse Asset Management Income Fund, Inc.
Notes to Financial Statements (continued)
June 30, 2023 (unaudited)
Note 2. Significant Accounting Policies (continued)
The following is a reconciliation of investments as of June 30, 2023 for which significant unobservable inputs were used in determining fair value.
| | | | | | | | | | | | | | | | | | | | |
| | Corporate Bonds | | | Bank Loans | | | Common Stocks | | | Warrant | | | Total | |
Balance as of December 31, 2022 | | $ | 94,488 | | | $ | 4,620,480 | | | $ | 302,487 | | | $ | 73 | (1) | | $ | 5,017,528 | |
Accrued discounts (premiums) | | | (18,502 | ) | | | (1,387 | ) | | | — | | | | — | | | | (19,889 | ) |
Purchases | | | — | | | | 192,791 | | | | — | | | | — | | | | 192,791 | |
Sales | | | (32,968 | ) | | | (555,864 | ) | | | (92,783 | ) | | | — | | | | (681,615 | ) |
Realized gain (loss) | | | (224,808 | ) | | | 16 | | | | (2,594,921 | ) | | | (3,965 | ) | | | (2,823,678 | ) |
Change in unrealized appreciation (depreciation) | | | 266,827 | | | | 131,817 | | | | 2,401,035 | | | | 3,892 | | | | 2,803,571 | |
Transfers into Level 3 | | | — | | | | 1,989,281 | | | | — | | | | — | | | | 1,989,281 | |
Transfers out of Level 3 | | | — | | | | (389,782 | ) | | | (13,675 | ) | | | — | | | | (403,457 | ) |
| | | | | | | | | | | | | | | | | | | | |
Balance as of June 30, 2023 | | $ | 85,037 | | | $ | 5,987,352 | | | $ | 2,143 | | | $ | 0 | (1) | | $ | 6,074,532 | |
| | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) from investments still held as of June 30, 2023 | | $ | (5,722 | ) | | $ | 148,592 | | | $ | — | | | $ | — | | | $ | 142,870 | |
| (1) | Includes a zero valued security. |
Quantitative Disclosure About Significant Unobservable Inputs
| | | | | | | | | | | | | | | | |
Asset Class | | Fair Value At 06/30/2023 | | | Valuation Technique | | | Unobservable Input | | | Price Range (Weighted Average)* | |
Bank Loans | | $ | 5,987,352 | | | | Vendor pricing | | | | Single Broker Quote | | | $ | 0.06 ‑ $1.08 ($0.90) | |
Corporate Bonds | | | 68,162 | | | | Income Approach | | | | Expected Remaining Distribution | | | | 0.52 - 0.64 (0.58) | |
| | | 16,875 | | | | Vendor pricing | | | | Single Broker Quote | | | | 0.01 (N/A) | |
Common Stocks | | | 2,143 | | | | Income Approach | | | | Expected Remaining Distribution | | | | 0.00 - 1.48 (0.83) | |
Warrant | | | 0 | | | | Income Approach | | | | Expected Remaining Distribution | | | | 0.00 (N/A) | |
| * | Weighted by relative fair value |
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 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.
27
Credit Suisse Asset Management Income Fund, Inc.
Notes to Financial Statements (continued)
June 30, 2023 (unaudited)
Note 2. Significant Accounting Policies (continued)
For the six months ended June 30, 2023, $1,989,281 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $403,457 was 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.
B) DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES — The Fund adopted amendments to authoritative guidance on disclosures about derivative instruments and hedging activities which require that a fund disclose (a) how and why an entity uses derivative instruments, (b) how derivative instruments and hedging activities are accounted for and (c) how derivative instruments and related hedging activities affect a fund’s financial position, financial performance and cash flows.
The following table presents the fair value and the location of derivatives within the Statement of Assets and Liabilities at June 30, 2023 and the effect of these derivatives on the Statement of Operations for the six months ended June 30, 2023.
| | | | | | | | | | | | | | | | |
Primary Underlying Risk | | Derivative Assets | | | Derivative Liabilities | | | Realized Gain (Loss) | | | Net Change in Unrealized Appreciation (Depreciation) | |
Foreign currency exchange rate Forward contracts | | $ | 58,882 | | | $ | 309,207 | | | $ | — | | | $ | (45,498 | ) |
For the six months ended June 30, 2023, the Fund held an average monthly value on a net basis of $4,792,423 in forward foreign currency contracts.
The Fund is a party to International Swap and Derivatives Association, Inc. (“ISDA”) Master Agreements (“Master Agreements”) with certain counterparties that govern over‑the‑counter derivative (including total return, credit default and interest rate swaps) and foreign exchange contracts entered into by the Fund. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Termination events applicable to the Fund may occur upon a decline in the Fund’s net assets below a specified threshold over a certain period of time.
The following table presents by counterparty the Fund’s derivative assets, net of related collateral held by the Fund, at June 30, 2023:
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | Gross Amount of Derivative Assets Presented in the Statement of Assets and Liabilities(a) | | | Financial Instruments and Derivatives Available for Offset | | | Non‑Cash Collateral Received | | | Cash Collateral Received | | | Net Amount of Derivative Assets | |
Barclays Bank PLC | | $ | 15,650 | | | $ | (429 | ) | | $ | — | | | $ | — | | | $ | 15,221 | |
Deutsche Bank AG | | | 17,906 | | | | (17,906 | ) | | | — | | | | — | | | | — | |
JPMorgan Chase | | | 1,006 | | | | — | | | | — | | | | — | | | | 1,006 | |
Morgan Stanley | | | 24,320 | | | | — | | | | — | | | | — | | | | 24,320 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 58,882 | | | $ | (18,335 | ) | | $ | — | | | $ | — | | | $ | 40,547 | |
| | | | | | | | | | | | | | | | | | | | |
28
Credit Suisse Asset Management Income Fund, Inc.
Notes to Financial Statements (continued)
June 30, 2023 (unaudited)
Note 2. Significant Accounting Policies (continued)
The following table presents by counterparty the Fund’s derivative liabilities, net of related collateral pledged by the Fund, at June 30, 2023:
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | Gross Amount of Derivative Liabilities Presented in the Statement of Assets and Liabilities(a) | | | Financial Instruments and Derivatives Available for Offset | | | Non‑Cash Collateral Pledged | | | Cash Collateral Pledged(b) | | | Net Amount of Derivative Liabilities | |
Barclays Bank PLC | | $ | 429 | | | $ | (429 | ) | | $ | — | | | $ | — | | | $ | — | |
Deutsche Bank AG | | | 308,778 | | | | (17,906 | ) | | | — | | | | (290,872 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 309,207 | | | $ | (18,335 | ) | | $ | — | | | $ | (290,872 | ) | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| (a) | Forward foreign currency contracts are included. |
| (b) | The actual collateral pledged may be more than the amounts shown. |
C) FOREIGN CURRENCY TRANSACTIONS — The books and records of the Fund are maintained in U.S. dollars. Transactions denominated in foreign currencies are recorded at the current prevailing exchange rates. All assets and liabilities denominated in foreign currencies, including purchases and sales of investments, and income and expenses, are translated into U.S. dollar amounts on the date of those transactions.
Reported net realized gain (loss) from foreign currency transactions arises from sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on securities transactions; and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net change in unrealized gains and losses on translation of assets and liabilities denominated in foreign currencies arises from changes in the fair values of assets and liabilities, other than investments, at the end of the period, resulting from changes in exchange rates.
The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held. Such fluctuations are included with net realized and unrealized gain or loss from investments in the Statement of Operations.
D) SECURITY TRANSACTIONS AND INVESTMENT INCOME/EXPENSE — Security transactions are accounted for on a trade date basis. Interest income/expense is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Dividend income/expense is recorded on the ex‑dividend date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.
E) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — The Fund declares and pays dividends on a monthly basis and records them on ex-dividend date. Distributions of net realized capital gains, if any, are declared and paid at least annually. However, to the extent that a net realized capital gain can be reduced by a capital loss carryforward, such gain will not be distributed. Dividends and distributions to shareholders of the Fund are recorded on the ex‑dividend date and are determined in accordance with federal income tax regulations, which may differ from GAAP.
29
Credit Suisse Asset Management Income Fund, Inc.
Notes to Financial Statements (continued)
June 30, 2023 (unaudited)
Note 2. Significant Accounting Policies (continued)
The Fund’s dividend policy is to distribute substantially all of its net investment income to its shareholders on a monthly basis. However, in order to provide shareholders with a more consistent yield to the current trading price of shares of common stock of the Fund, the Fund may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the dividends paid by the Fund for any particular month may be more or less than the amount of net investment income earned by the Fund during such month.
F) FEDERAL AND OTHER TAXES — No provision is made for federal taxes as it is the Fund’s intention to continue to qualify as a regulated investment company (“RIC”) under the Internal Revenue Code of 1986, as amended (the “Code”), and to make the requisite distributions to its shareholders, which will be sufficient to relieve it from federal income and excise taxes.
In order to qualify as a RIC under the Code, the Fund must meet certain requirements regarding the source of its income, the diversification of its assets and the distribution of its income. One of these requirements is that the Fund derive at least 90% of its gross income for each taxable year from dividends, interest, payments with respect to certain securities loans, gains from the sale or other disposition of stock, securities or foreign currencies, other income derived with respect to its business of investing in such stock, securities or currencies or net income derived from interests in certain publicly-traded partnerships (“Qualifying Income”).
The Fund adopted the authoritative guidance for uncertainty in income taxes and recognizes a tax benefit or liability from an uncertain position only if it is more likely than not that the position is sustainable based solely on its technical merits and consideration of the relevant taxing authority’s widely understood administrative practices and procedures. The Fund has reviewed its current tax positions and has determined that no provision for income tax is required in the Fund’s financial statements. The Fund’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
G) CASH — The Fund’s uninvested cash balance is held in an interest bearing variable rate demand deposit account at State Street Bank and Trust Company (“SSB”), the Fund’s custodian.
H) CASH FLOW INFORMATION — Cash, as used in the Statement of Cash Flows, is the amount reported in the Statement of Assets and Liabilities, including domestic and foreign currencies. The Fund invests in securities and distributes dividends from net investment income and net realized gains, if any (which are either paid in cash or reinvested at the discretion of shareholders). These activities are reported in the Statement of Changes in Net Assets. Information on cash payments is presented in the Statement of Cash Flows. Accounting practices that do not affect reporting activities on a cash basis include unrealized gain or loss on investment securities and accretion or amortization income/expense recognized on investment securities.
I) FORWARD FOREIGN CURRENCY CONTRACTS — A forward foreign currency exchange contract (“forward currency contract”) is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. The Fund will enter into forward currency contracts primarily for hedging foreign currency risk. Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and unrealized gain/loss is recorded daily. On the settlement date of the forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was closed. Certain risks may arise upon entering into forward currency
30
Credit Suisse Asset Management Income Fund, Inc.
Notes to Financial Statements (continued)
June 30, 2023 (unaudited)
Note 2. Significant Accounting Policies (continued)
contracts from the potential inability of counterparties to meet the terms of their contracts. The maximum counterparty credit risk to the Fund is measured by the unrealized gain on appreciated contracts. Additionally, when utilizing forward currency contracts to hedge, the Fund forgoes the opportunity to profit from favorable exchange rate movements during the term of the contract. The Fund’s open forward currency contracts at June 30, 2023 are disclosed in the Schedule of Investments. At June 30, 2023, the amount of restricted cash held at brokers related to open forward foreign currency contracts was $300,000.
J) UNFUNDED LOAN COMMITMENTS — The Fund enters into certain agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these loan commitments at the borrowers’ discretion. Funded and unfunded portions of credit agreements are presented in the Schedule of Investments. As of June 30, 2023, the Fund has no unfunded loan commitments.
Unfunded loan commitments and funded portions of credit agreements are marked to market daily and any unrealized appreciation or depreciation is included in the Statement of Assets and Liabilities and the Statement of Operations.
K) SECURITIES LENDING — The initial collateral received by the Fund is required to have a value of at least 102% of the market value of domestic securities on loan (including any accrued interest thereon) and 105% of the market value of foreign securities on loan (including any accrued interest thereon). The collateral is maintained thereafter at a value equal to at least 102% of the current market value of the securities on loan. The market value of loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day. Cash collateral received by the Fund in connection with securities lending activity may be pooled together with cash collateral for other funds/portfolios advised by Credit Suisse and may be invested in a variety of investments, including funds advised by SSB, the Fund’s securities lending agent, or money market instruments. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Fund or the borrower at any time.
SSB has been engaged by the Fund to act as the Fund’s securities lending agent. As of June 30, 2023, the Fund had outstanding loans of securities to certain approved brokers for which the Fund received collateral:
| | | | | | | | | | |
Market Value of Loaned Securities | | | Market Value of Cash Collateral | | | Total Collateral | |
$ | 10,613,714 | | | $ | 10,826,798 | | | $ | 10,826,798 | |
The following table presents financial instruments that are subject to enforceable netting arrangements as of June 30, 2023.
Gross Amounts Not Offset in the Statement of Assets and Liabilities
| | | | | | | | | | |
Gross Asset Amounts Presented in the Statement of Assets and Liabilities(a) | | | Collateral Received(b) | | | Net Amount | |
$ | 10,613,714 | | | $ | (10,613,714 | ) | | $ | — | |
| (a) | Represents market value of loaned securities at period end. |
| (b) | The actual collateral received is greater than the amount shown here due to collateral requirements of the security lending agreement. |
31
Credit Suisse Asset Management Income Fund, Inc.
Notes to Financial Statements (continued)
June 30, 2023 (unaudited)
Note 2. Significant Accounting Policies (continued)
The Fund’s securities lending arrangement provides that the Fund and SSB will share the net income earned from securities lending activities. Securities lending income is accrued as earned. For the six months ended June 30, 2023, total earnings received in connection with securities lending arrangements was $242,800, of which $200,801 was rebated to borrowers (brokers). The Fund retained $31,614 in income, and SSB, as lending agent, was paid $10,385.
L) OTHER — Lower-rated debt securities (commonly known as “junk bonds”) possess speculative characteristics and are subject to greater market fluctuations and risk of lost income and principal than higher-rated debt securities for a variety of reasons. Also, during an economic downturn or substantial period of rising interest rates, highly leveraged issuers may experience financial stress which would adversely affect their ability to service their principal and interest payment obligations, to meet projected business goals and to obtain additional financing.
The United Kingdom’s Financial Conduct Authority announced a phase out of LIBOR such that after June 30, 2023, the overnight, 1‑month, 3‑month, 6‑month and 12‑month U.S. dollar LIBOR settings will cease to be published or will no longer be representative. All other LIBOR settings and certain other interbank offered rates, such as the Euro Overnight Index Average (“EONIA”), ceased to be published after December 31, 2021. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non‑representative of the underlying market. The Secured Overnight Financing Rate, or “SOFR,” is a broad measure of the cost of borrowing cash overnight collateralized by U.S. Treasury securities in the purchase agreement (“repo”) market and has been used increasingly on a voluntary basis in new instruments and transactions. On March 15, 2022, the Adjustable Interest Rate Act was signed into law, providing a statutory fallback mechanism to replace LIBOR with a benchmark rate that is selected by the Federal Reserve Board and based on SOFR for certain contracts that reference LIBOR without adequate fallback provisions. On December 16, 2022, the Federal Reserve Board adopted regulations implementing the Adjustable Interest Rate Act by identifying benchmark rates based on SOFR that will replace LIBOR in different categories of financial contracts after June 30, 2023. These regulations apply only to contracts governed by U.S. law, among other limitations. Neither the effect of the LIBOR transition process nor its ultimate success can yet be known. Not all existing LIBOR-based instruments may have alternative rate-setting provisions and there remains uncertainty regarding the willingness and ability of issuers to add alternative rate-setting provisions in certain existing instruments. Parties to contracts, securities or other instruments using LIBOR may disagree on transition rates or the application of applicable transition regulation, potentially resulting in uncertainty of performance and the possibility of litigation. The fund may have instruments linked to other interbank offered rates that may also cease to be published in the future.
In the normal course of business, the Fund trades financial instruments and enters into financial transactions for which risk of potential loss exists due to changes in the market (market risk) or failure of the other party to a transaction to perform (credit risk). Similar to credit risk, the Fund may be exposed to counterparty risk, including with respect to securities lending, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. The potential loss could exceed the value of the financial assets recorded in the financial statements. Financial assets, which potentially expose the Fund to credit risk, consist principally of cash due from counterparties and investments. The extent of the Fund’s exposure to credit and counterparty risks in respect to these financial assets approximates their carrying value as recorded in the Fund’s Statement of Assets and Liabilities.
32
Credit Suisse Asset Management Income Fund, Inc.
Notes to Financial Statements (continued)
June 30, 2023 (unaudited)
Note 2. Significant Accounting Policies (continued)
In addition, periods of economic uncertainty and changes can be expected to result in increased volatility of market prices of lower-rated debt securities and the Fund’s net asset value.
Note 3. Transactions with Affiliates and Related Parties
Credit Suisse serves as investment adviser for the Fund. For its investment advisory services, Credit Suisse is entitled to receive a fee from the Fund at a rate per annum, computed weekly and paid quarterly as follows: 0.50% of an average weekly base amount which, with respect to each quarter, is the average of the lower of (i) the stock price (market value) of the Fund’s outstanding shares and (ii) the Fund’s net assets, in each case determined as of the last trading day for each week during the relevant quarter. For the six months ended June 30, 2023, investment advisory fees earned were $350,749. Effective June 12, 2023, Credit Suisse serves as investment adviser for the Fund pursuant to an interim advisory agreement. Until a new advisory agreement is approved by shareholders of the Fund, Credit Suisse’s advisory fees will be held in an interest-bearing escrow account.
The Fund from time to time purchases or sells loan investments in the secondary market through Credit Suisse or its affiliates acting in the capacity as broker-dealer. Credit Suisse or its affiliates may have acted in some type of agent capacity to the initial loan offering prior to such loan trading in the secondary market.
Note 4. Line of Credit
The Fund has a line of credit subject to annual renewal provided by SSB primarily to leverage its investment portfolio (the “Agreement”). The Fund may borrow the lesser of: a) $85,000,000; b) an amount that is no greater than 33 1/3% of the Fund’s total assets minus the sum of liabilities (other than aggregate indebtedness constituting leverage); and c) the Borrowing Base as defined in the Agreement. Under the terms of the Agreement, the Fund pays a commitment fee of 0.25% on the unused amount. In addition, the Fund pays interest on borrowings at a designated reference rate plus a spread. At June 30, 2023, the Fund had loans outstanding under the Agreement of $55,000,000. Unless renewed, the Agreement will terminate on June 5, 2024. During the six months ended June 30, 2023, the Fund had borrowings under the Agreement as follows:
| | | | | | | | | | | | | | | | | | |
Average Daily Loan Balance | | | Weighted Average Interest Rate % | | | Maximum Daily Loan Outstanding | | | Interest Expense | | | Number of Days Outstanding | |
$ | 57,546,961 | | | | 5.636 | % | | $ | 62,500,000 | | | $ | 1,630,592 | | | | 181 | |
The use of leverage by the Fund creates an opportunity for increased net income and capital appreciation for the Fund, but, at the same time, creates special risks, and there can be no assurance that a leveraging strategy will be successful during any period in which it is employed. The Fund intends to utilize leverage to provide the shareholders with a potentially higher return. Leverage creates risks for shareholders including the likelihood of greater volatility of net asset value and market price of the Fund’s shares and the risk that fluctuations in interest rates on borrowings and short-term debt may affect the return to shareholders. To the extent the income or capital appreciation derived from securities purchased with funds received from leverage exceeds the cost of leverage, the Fund’s return will be greater than if leverage had not been used. Conversely, if the income or capital appreciation from the securities purchased with such funds is not sufficient to cover the cost of leverage, the return to the Fund will be less than if leverage had not been used, and therefore the amount available for distribution to shareholders as dividends and other distributions will be reduced. In the latter case, Credit Suisse in its best judgment nevertheless may determine to maintain the Fund’s leveraged position if it deems such action to be appropriate under the circumstances.
33
Credit Suisse Asset Management Income Fund, Inc.
Notes to Financial Statements (continued)
June 30, 2023 (unaudited)
Note 4. Line of Credit (continued)
Certain types of borrowings by the Fund may result in the Fund being subject to covenants in credit agreements, including those relating to asset coverage and portfolio composition requirements. The securities held by the Fund are subject to a lien granted to the lender, to the extent of the borrowing outstanding and any additional expenses. The Fund’s lenders may establish guidelines for borrowing which may impose asset coverage or portfolio composition requirements that are more stringent than those imposed by the 1940 Act. There is no guarantee that the Fund’s borrowing arrangements or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Fund. Expiration or termination of available financing for leveraged positions can result in adverse effects to the Fund’s access to liquidity and its ability to maintain leverage positions, and may cause the Fund to incur losses. Unfavorable economic conditions also could increase funding costs, limit access to the capital markets or result in a decision by lenders not to extend credit to the Fund. In addition, a decline in market value of the Fund’s assets may have particular adverse consequences in instances where the Fund has borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender requiring the Fund to sell assets at a time when it may not be in the Fund’s best interest to do so.
Note 5. Purchases and Sales of Securities
For the six months ended June 30, 2023, purchases and sales of investment securities (excluding short-term investments) and U.S. Government and Agency Obligations were as follows:
| | | | | | | | | | | | | | |
Investment Securities | | | U.S. Government/ Agency Obligations | |
Purchases | | | Sales | | | Purchases | | | Sales | |
$ | 41,486,615 | | | $ | 51,691,967 | | | $ | 0 | | | $ | 0 | |
Note 6. Fund Shares
The Fund offers a Dividend Reinvestment Plan (the “Plan”) to its common stockholders. By participating in the Plan, dividends and distributions will be promptly paid to stockholders in additional shares of common stock of the Fund. The number of shares to be issued will be determined by dividing the total amount of the distribution payable by the greater of (i) the net asset value (“NAV”) per share of the Fund’s common stock on the payment date, or (ii) 95% of the market price per share of the Fund’s common stock on the payment date. If the NAV of the Fund’s common stock is greater than the market price (plus estimated brokerage commissions) on the payment date, Computershare (or a broker-dealer selected by Computershare) shall endeavor to apply the amount of such distribution to purchase shares of Fund common stock in the open market.
The Fund has one class of shares of common stock, par value $0.001 per share; one hundred million shares are authorized. Transactions in shares of beneficial interest of the Fund were as follows:
| | | | | | | | |
| | For the Six Months Ended June 30, 2023 | | | For the Year Ended December 31, 2022 | |
Shares issued through at‑the‑market offerings | | | — | | | | 277,489 | |
Shares issued through reinvestment of distributions | | | 11,554 | | | | 16,822 | |
| | | | | | | | |
Net increase | | | 11,554 | | | | 294,311 | |
| | | | | | | | |
Note 7. Shelf Offering
The Fund has an effective “shelf” registration statement, which became effective with the SEC on November 17, 2021. The shelf registration statement enables the Fund to issue up to $250,000,000 in proceeds through one or
34
Credit Suisse Asset Management Income Fund, Inc.
Notes to Financial Statements (continued)
June 30, 2023 (unaudited)
Note 7. Shelf Offering (continued)
more public offerings. Shares may be offered at prices and terms to be set forth in one or more supplements to the Fund’s prospectus included in the shelf registration statement. On November 19, 2021, the Fund filed a prospectus supplement relating to an at‑the‑market offering of the Fund’s shares of common stock. Any proceeds raised through such offering will be used for investment purposes.
Costs incurred by the Fund in connection with its shelf registration statement and prospectus supplement are recorded as a prepaid expense and recognized as “Deferred offering costs” on the Statement of Assets and Liabilities. These costs will be amortized pro rata as common shares are sold and will be recognized as a component of proceeds from the shelf offering on the Statement of Changes in Net Assets. Any deferred offering costs remaining after the effectiveness of the shelf registration statement will be expensed. Costs incurred by the Fund to keep the shelf registration current are expensed as incurred and recognized as a component of “Miscellaneous expense” on the Statement of Operations.
Note 8. Contingencies
In the normal course of business, the Fund may provide general indemnifications pursuant to certain contracts and organizational documents. The Fund’s maximum exposure under these arrangements is dependent on future claims that may be made against the Fund and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote.
Note 9. UBS Merger
On June 12, 2023 (the “Closing Date”), Credit Suisse Group AG (“CS Group”) merged with and into UBS Group AG, a global financial services company (“UBS Group”), with UBS Group remaining as the surviving company (the “Transaction”), pursuant to a definitive merger agreement signed on March 19, 2023. CS Group was the ultimate parent company of Credit Suisse Asset Management, LLC (“Credit Suisse”), the Fund’s investment manager. As a result of the Transaction, Credit Suisse is now an indirect wholly-owned subsidiary of UBS Group.
The closing of the Transaction was deemed to result in an assignment of the Fund’s investment advisory agreement with Credit Suisse (the “Prior Advisory Agreement”), resulting in its automatic termination as of the Closing Date. Prior to the Closing Date, the Board of the Fund approved a new investment advisory agreement with Credit Suisse (the “New Advisory Agreement”), which is subject to shareholder approval at a joint special meeting of shareholders of the Fund and the other Credit Suisse Funds to be held on August 24, 2023. In addition, prior to the Closing Date, the Board of the Fund approved an interim investment advisory agreement with Credit Suisse (the “Interim Advisory Agreement”). The Interim Advisory Agreement did not require shareholder approval. The Interim Advisory Agreement took effect upon the Closing Date when the Prior Advisory Agreement was deemed to have terminated, so that Credit Suisse could continue to manage the Fund following the Closing Date. The Interim Advisory Agreement will terminate upon the earlier of shareholder approval of the corresponding New Advisory Agreement or 150 days following the Closing Date (i.e., November 9, 2023). Each Interim Advisory Agreement contains the same terms and conditions as the corresponding Prior Advisory Agreement except for the effective and termination dates, the termination and escrow provisions required by Rule 15a-4 under the 1940 Act and certain non-material changes. During the period that each Interim Advisory Agreement is in effect, Credit Suisse’s advisory fees will be held in an interest-bearing escrow account, pursuant to Rule 15a-4.
35
Credit Suisse Asset Management Income Fund, Inc.
Notes to Financial Statements (continued)
June 30, 2023 (unaudited)
Note 9. UBS Merger (continued)
In addition, on June 7, 2023, Credit Suisse and certain of its affiliates filed an application (the “Application”) for a waiver from disqualification under Section 9(a) of the 1940 Act from serving as investment adviser to registered investment companies, including the Fund, in connection with a consent order and final judgment (the “Consent Judgment”) filed in New Jersey Superior Court on October 24, 2022. The Consent Judgment was entered against certain of Credit Suisse’s affiliates, but did not involve the Fund or the services that Credit Suisse and its affiliates provided to the Fund. Because Credit Suisse is an affiliate of the entities subject to the Consent Judgment, it could also be subject to disqualification under Section 9(a), despite not being involved in the conduct underlying the Consent Judgment. As requested in the Application, the SEC granted a temporary waiver from Section 9(a) to Credit Suisse and its affiliates, as well as to UBS Group and its affiliates (“UBS”), on June 7, 2023. The temporary waiver became effective on the Closing Date. Credit Suisse and certain of its affiliates also applied for a permanent order, which the SEC granted on July 5, 2023. The permanent order grants (i) a time-limited exemption from Section 9(a) (the “Time-Limited Exemption”), which enables Credit Suisse to provide investment advisory services to the Fund until the 12‑month anniversary of the Closing Date (by which point such services are anticipated to be transitioned to one or more UBS asset management affiliates), and (ii) a permanent exemption from Section 9(a) for UBS.
No changes to the investment objective, principal investment strategies and policies, principal risks, fundamental and non-fundamental investment policies, or portfolio managers (“Fund-specific changes”) (other than potential personnel changes outside of Credit Suisse’s control) of the Fund are currently contemplated as a result of the Transaction or the Time-Limited Exemption. Although no Fund-specific changes are currently contemplated as a result of the Transaction, shareholders should note that Credit Suisse is expected to transition the investment advisory services that its currently provides to the Fund to one or more registered investment advisers affiliated with UBS on or prior to June 12, 2024 (the “UBS Transition”). In connection with, or following the completion of, the UBS Transition, it is possible that there could be Fund-specific changes. In addition, subject to Board approval, one or more Fund service providers may change prior to the expiration of the Time-Limited Exemption in connection with the UBS Transition. However, the exact structure and timing of the UBS Transition and Fund-specific changes (if any) related to the UBS Transition have not yet been finalized. Any Fund-specific changes would be implemented without shareholder approval to the extent permitted under the federal securities laws (except for any changes to the Fund’s fundamental investment policies, which would require shareholder approval). Shareholders of the Fund will be promptly notified of any material Fund-specific changes.
Note 10. Subsequent Events
In preparing the financial statements as of June 30, 2023, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements through the date of release of this report. No such events requiring recognition or disclosure were identified through the date of the release of this report.
36
Credit Suisse Asset Management Income Fund, Inc.
Results of Annual Meeting of Shareholders (unaudited)
On April 18, 2023, the Annual Meeting of Shareholders of the Credit Suisse Asset Management Income Fund, Inc. (the “Fund”) was held and the following matter was voted upon:
1) To elect two directors to the Board of Directors of the Fund:
| | | | |
NAME OF DIRECTOR | | FOR | | WITHHELD |
Samantha Kappagoda | | 31,102,090 | | 3,277,153 |
Steven Rappaport | | 31,097,893 | | 3,281,350 |
In addition to the directors re-elected at the meeting, Laura DeFelice, Mahendra Gupta and John Popp continue to serve as Directors of the Fund.
37
Credit Suisse Asset Management Income Fund, Inc.
Board Approval of Interim and New Investment Advisory Agreements (unaudited)
The Fund’s Board of Directors (the “Board” and the members thereof, the “Board Members”), including a majority of the Board Members who are not “interested persons” of the Fund (as defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) (the “Independent Board Members”), unanimously approved the Fund’s interim advisory agreement (the “Interim Advisory Agreement”) and new investment advisory agreement with Credit Suisse Asset Management, LLC (“Credit Suisse”) (the “New Advisory Agreement”) at a meeting of the Board held on May 16, 2023 (the “May 2023 Board Meeting”) after concluding that the approval of the Interim Advisory Agreement and the New Advisory Agreement was in the best interests of the Fund and its shareholders. The factors considered by the Board in considering and approving the Interim Advisory Agreement and the New Advisory Agreement are set out below.
In anticipation of the closing of the merger of Credit Suisse Group AG (“CS Group”) with and into UBS Group AG, a global financial services company (“UBS Group”), with UBS Group remaining as the surviving company (the “Merger”), and in response to a request from the Board, representatives of UBS Group and its affiliates (collectively, “UBS”) attended the May 2023 Board Meeting and provided information regarding the UBS asset management business and the investment advisory and principal underwriting services currently provided to the UBS family of registered investment companies (the “UBS Presentation”).
The Board’s evaluation of the Interim Advisory Agreement and the New Advisory Agreement reflected information provided at the May 2023 Board Meeting as well as, where relevant, information relating to the Fund and Credit Suisse that was previously furnished to the Board in connection with a special meeting held on November 9, 2022, where the Board discussed the information and materials relating to the renewal of the Fund’s prior investment advisory agreement with Credit Suisse (the “Prior Advisory Agreement”), and at an in person meeting held on November 14‑15, 2022 (the “November 2022 15(c) Meeting”), where the Board approved the renewal of the Prior Advisory Agreement (collectively, the “November 2022 15(c) Materials”), and information provided to the Board at other Board meetings throughout the year. The Board considered Credit Suisse’s representations at the May 2023 Board Meeting that (i) no material changes to the information provided in the November 2022 15(c) Materials had occurred since the November 2022 15(c) Meeting, (ii) with respect to the Interim Advisory Agreement, the scope and quality of services under the Interim Advisory Agreement will be at least equivalent to the scope and quality of services provided under the Prior Advisory Agreement, and (iii) the personnel, resources and services provided to the Fund are not expected to change under the Interim Advisory Agreement and the New Advisory Agreement and will be similar to those services provided under the Prior Advisory Agreement. The Board also considered that the Interim Advisory Agreement will be substantially similar to the Prior Advisory Agreement, including with respect to compensation, except for certain terms including the term, termination and escrow provisions required by Rule 15a-4 under the 1940 Act and certain non-material changes.
The Board, including all of the Independent Board Members, were assisted by experienced independent legal counsel throughout the Interim Advisory Agreement and New Advisory Agreement review process. The Independent Board Members discussed the proposed approvals in private session with such counsel at which no representatives of management or Credit Suisse were present. Each Board Member, including each of the Independent Board Members, relied upon the advice of independent legal counsel and his or her own business judgment in determining the material factors to be considered in evaluating the Interim Advisory Agreement and New Advisory Agreement and the weight to be given to each such factor. The conclusions reached by the Board Members were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Board Member may have afforded different weight to the various factors in reaching his or her conclusions with respect to the Interim Advisory Agreement and New Advisory Agreement.
38
Credit Suisse Asset Management Income Fund, Inc.
Board Approval of Interim and New Investment Advisory Agreements (unaudited) (continued)
On June 7, 2023, Credit Suisse, Credit Suisse Asset Management Limited (“Credit Suisse UK”) and certain of their affiliates filed an application with the Securities and Exchange Commission (the “Commission”) pursuant to Section 9(c) of the 1940 Act for temporary and permanent orders granting an exemption to Credit Suisse, Credit Suisse UK and their affiliates, as well as to UBS, from the prohibitions under Section 9(a) of the 1940 Act, in connection with a consent order and final judgment (“Consent Judgment”) filed in New Jersey Superior Court on October 24, 2022, which was entered against certain of Credit Suisse’s affiliates. Section 9(a) of the 1940 Act automatically prohibits entities that are, or whose affiliates are, subject to, among other things, certain court ordered “injunctions,” from serving or acting as investment adviser of any investment company registered under the 1940 Act or a principal underwriter for any registered open‑end investment company under the 1940 Act, or serving in various other capacities in respect of registered investment companies.
While the application for the Section 9(c) exemption was submitted and the temporary order (the “Temporary Order”) granting a temporary exemption from Section 9(a) of the 1940 Act was granted to Credit Suisse, Credit Suisse UK and their affiliates, as well as to UBS, after the Board approved the Interim Advisory Agreement and New Advisory Agreement at the May 2023 Board Meeting, since shortly after the entry of the Consent Judgment in October 2022, the Board has been apprised of the Consent Judgment and the potential consequences thereof under Section 9(a) of the 1940 Act and have been provided with regular updates. In addition, the Board was apprised of the filing of the Section 9(c) exemption application and the implications of the Time-Limited Exemption (as defined below) prior to approving the submission of the New Advisory Agreement to shareholders at a meeting of the Board held on June 15, 2023.
The “Time-Limited Exemption” refers to the time-limited exemption from Section 9(a) of the 1940 Act for 12 months from the closing date sought by Credit Suisse, Credit Suisse UK and certain of their affiliates to provide Credit Suisse, Credit Suisse UK and Credit Suisse Securities (USA) LLC (“CSSU”) with adequate time to complete the CS Fund Servicing Reorganization (as defined below) while engaged in serving as investment adviser to the Funds and as underwriter to the Open‑End Funds (as defined below) (collectively, “Fund Servicing Activities”). The “CS Fund Servicing Reorganization” refers to the process of (i) transitioning the Fund Servicing Activities that Credit Suisse, Credit Suisse UK and CSSU perform on behalf of one or more of the funds to other providers of such services, and/or (ii) restructuring the applicants’ businesses such that Credit Suisse, Credit Suisse UK and/or each other company that was an “affiliated person” of the settling entities as of the date of the Section 9(c) application may provide Fund Servicing Activities without being subject to disqualification under Section 9(a) of the 1940 Act.
Investment Advisory Fee Rates and Expenses
The Board reviewed and considered the contractual advisory fees of the Fund under its Prior Advisory Agreement and its Interim Advisory Agreement and New Advisory Agreement (which fees are identical), in light of the extent and quality of the management services provided by Credit Suisse, as investment adviser.
The November 2022 15(c) Materials included information comparing the Fund’s contractual advisory fee, the Fund’s contractual advisory fee less any waivers and/or reimbursements (“actual advisory fee”), and the Fund’s overall expenses with those of funds in both the relevant expense group (each, an “Expense Group”) and universe of funds (each, an “Expense Universe”) provided by Broadridge, an independent provider of investment company data. The November 15(c) Materials included a description of the methodology used to arrive at the funds included in the Expense Group and the Expense Universe. Each fund in the Expense Group and Expense Universe was placed in one of five quintiles for each relevant comparison period, with the first quintile including the funds with the lowest relative expenses and the fifth quintile including funds with the highest relative
39
Credit Suisse Asset Management Income Fund, Inc.
Board Approval of Interim and New Investment Advisory Agreements (unaudited) (continued)
expenses during the period. The Fund’s Board noted with respect to the Fund’s fees and expenses compared to its peers as presented in a report provided by Broadridge that the Fund’s contractual advisory fees ranked in the first quintile relative to its Expense Group, and the Fund’s actual advisory fees and total expenses ranked in the first quintile relative to its Expense Group and Expense Universe.
Nature, Extent and Quality of the Services
The Board received and considered information regarding the nature, extent and quality of services provided to the Fund by Credit Suisse. The Board also noted information received at regular meetings throughout the year related to the services rendered by Credit Suisse which, in addition to portfolio management and investment management services, included credit analysis and research, supervising the day‑to‑day operations of the Fund’s non‑advisory functions which include accounting, administration, custody, transfer agent and other applicable third party service providers, overseeing and facilitating audits, overseeing the Fund’s credit facility and supervising and/or preparing applicable Fund filings, disclosures and shareholder reports. The Board noted that the extensive investment management services provided by Credit Suisse included broad supervisory responsibility and oversight over other service providers to the Fund. The Board also considered Credit Suisse’s compliance program with respect to the Fund. The Board noted that Credit Suisse reports to the Board about portfolio management and compliance matters on a periodic basis. The Board also reviewed background information about Credit Suisse, including the Form ADV Part 2 – Disclosure Brochure and Brochure Supplement and considered the background and experience of Credit Suisse’s senior management and the expertise of, and the amount of attention given to the Fund by, senior personnel of Credit Suisse. In addition, the Board reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day‑to‑day portfolio management of the Fund and the extent of the resources devoted to research and analysis of actual and potential investments, as well as the resources provided to them. The Board evaluated the ability of Credit Suisse based on its resources, reputation and other attributes, to attract and retain qualified investment professionals including research, advisory, and supervisory personnel. The Board also received and considered information about the nature, extent and quality of services and fee rates offered to other Credit Suisse clients for comparable services. The Board acknowledged Credit Suisse’s representation that the services provided to the Fund are more extensive than the services provided in connection with other types of accounts, such as separate accounts, offered by Credit Suisse and the services are also more extensive from those offered and provided to a sub‑advised fund. The Board also considered that the services provided by Credit Suisse have expanded over time as a result of regulatory and other developments.
Fund Performance
The Board considered information provided in the November 2022 15(c) Materials and at each subsequent quarterly meeting to consider the performance of the Fund. That information in the November 2022 15(c) Materials included performance results of the Fund over the previous year ended August 31, 2022 as well as over the two‑, three-, four-, five-, and ten‑year periods ended August 31, 2022 along with comparisons both to the relevant performance group (each, a “Performance Group”) and universe of funds (each, a “Performance Universe”) for the Fund for the same time periods provided by Broadridge. The November 2022 15(c) materials included a description of the methodology used to arrive at the funds included in the Performance Group and the Performance Universe. Each fund in the Performance Universe was placed in one of five quintiles for each relevant comparison period, with the first quintile including the best performing funds and the fifth quintile including the worst performing funds during the period. The Fund’s Board noted with respect to the Fund’s performance compared to its peers as presented in a report provided by Broadridge, along with other information
40
Credit Suisse Asset Management Income Fund, Inc.
Board Approval of Interim and New Investment Advisory Agreements (unaudited) (continued)
provided by Credit Suisse, the Fund’s performance ranked in the first quintile relative to its Performance Universe for the one‑, three-, four- five-, and ten‑year periods reported, and the Fund’s performance ranked in the second quintile for the two‑year period reported. The Fund’s Board concluded that the Fund has continued to trade relatively well, at a small discount to net asset value, based on Lipper data provided by Credit Suisse reflecting the Fund’s historical share price and net asset value.
The Board also considered the investment performance of the Fund relative to its stated objectives.
The Board noted that at the May 2023 Board Meeting, the Board received information from Credit Suisse regarding the Fund’s performance relative to its benchmark and select peers for the three- and six‑month and one‑, three-, five-, and ten‑year periods ended March 31, 2023, as applicable.
Credit Suisse Profitability
The Board referred to a profitability analysis of Credit Suisse provided in the November 2022 15(c) Materials based on the fees payable under the Prior Advisory Agreement and the Interim Advisory Agreement and New Advisory Agreement for the Fund, including any fee waivers, as well as other relationships between the Fund on the one hand and Credit Suisse affiliates on the other. The Board’s deliberations also reflected, in the context of Credit Suisse’s profitability, Credit Suisse’s methodology for allocating costs to the Fund, recognizing that cost allocation methodologies are inherently subjective. The Board had also received net profitability information for all of the Fund. The Board reviewed Credit Suisse’s profit margin as reflected in the profitability analysis, as well as reviewing profitability in light of appropriate court cases and the services rendered to the Fund.
Economies of Scale
The Board considered information provided in the November 2022 15(c) Materials regarding whether there have been economies of scale with respect to the management of the Fund, whether the Fund has appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale for the Fund. The Board considered that, if the Fund’s asset levels grow, further economies of scale potentially could be realized (although this is not guaranteed) and the fact that the Fund does not pay advisory fees on the Fund’s leveraged assets. Additionally, the Board noted the Fund has an effective shelf registration statement that permits it to conduct an at‑the‑market offering, whereby the Fund may issue additional shares when the Fund’s shares are trading at a premium to its net asset value, and that between November 17, 2021 and September 30, 2022, the Fund sold and issued approximately 277,489 new shares for a net increase in assets of approximately $823,639. The Board received information regarding Credit Suisse’s profitability in connection with providing advisory services to the Fund, including Credit Suisse’s costs in providing the services.
Other Benefits to Credit Suisse
The Board considered other benefits received by Credit Suisse and its affiliates as a result of their relationship with the Fund previously included in the November 2022 15(c) Materials. Such benefits included, among others, benefits potentially derived from an increase in Credit Suisse’s businesses and its reputation as a result of its relationship with the Fund (such as the ability to market its advisory services to other clients and investors including separate account or third party sub‑advised mandates or other financial products offered by Credit Suisse and its affiliates).
The Board considered the standards Credit Suisse applied in seeking best execution and Credit Suisse’s policies and practices regarding soft dollars and reviewed Credit Suisse’s method for allocating portfolio investment opportunities among its advisory clients, as provided in the November 2022 15(c) Materials.
41
Credit Suisse Asset Management Income Fund, Inc.
Board Approval of Interim and New Investment Advisory Agreements (unaudited) (continued)
Other Factors and Broader Review
As discussed above, the Board previously reviewed and referred to detailed materials received from Credit Suisse as part of this special approval process. The Board also reviews and assesses the quality of the services that the Fund receives throughout the year and reviews reports of Credit Suisse at least quarterly, which include, among other things, detailed portfolio and market reviews, detailed fund performance reports, and Credit Suisse’s compliance procedures.
The Board also considered the information provided by the representatives of UBS during the UBS Presentation at the May 2023 Board Meeting. In particular, each Board considered the information regarding the investment advisory and principal underwriting services currently provided to the UBS family of registered investment companies.
In addition, the Board considered representations from Credit Suisse and UBS that there were no plans to make any changes to the investment objective(s), principal investment strategies and policies, principal risks, fundamental and non‑fundamental investment policies or portfolio managers (other than potential personnel changes outside of Credit Suisse’s control) of the Fund upon the closing of the Merger.
Conclusions
After consideration of the foregoing, the Board reached the following conclusions regarding the Interim Advisory Agreement and New Advisory Agreement (in addition to the conclusions set forth above):
| • | | The contractual and net advisory fees for the Fund were reasonable in relation to the services provided by Credit Suisse. |
| • | | The Board was satisfied by the nature, extent and quality of the investment advisory services provided to the Fund by Credit Suisse, and that, based on dialogue with management and counsel, the services to be provided by Credit Suisse, under the Interim Advisory Agreement and New Advisory Agreement are typical of, and consistent with, those provided to similar mutual funds by other investment advisers. |
| • | | In light of the costs of providing investment management and other services to the Fund and Credit Suisse’s ongoing commitment to the Fund and willingness to base the fee on an average weekly base amount which, with respect to each quarter, is the average of the lower of (i) the stock price (market value) of the Fund’s outstanding shares and (ii) the Fund’s net assets, in each case determined as of the last trading day for each week during that quarter, Credit Suisse’s net profitability based on fees payable under the Fund’s Interim Advisory Agreement and New Advisory Agreement, as well as other ancillary benefits that Credit Suisse and its affiliates received, were considered reasonable. |
| • | | In light of the information received and considered by the Board, the Fund’s current fee structure was considered reasonable. |
No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the Interim Advisory Agreement and New Advisory Agreement. The Independent Board Members were advised by separate independent legal counsel throughout the process. After consideration of these factors, the Fund’s Board concluded that the approval of the Interim Advisory Agreement and New Advisory Agreement was in the best interests of the Fund and the Fund’s shareholders.
42
Credit Suisse Asset Management Income Fund, Inc.
Notice of Privacy and Information Practices (unaudited)
At Credit Suisse, we know that you are concerned with how we protect and handle nonpublic personal information that identifies you. This notice is designed to help you understand what nonpublic personal information we collect from you and from other sources, and how we use that information in connection with your investments and investment choices that may be available to you. Except where otherwise noted, this notice is applicable only to consumers who are current or former investors, meaning individual persons whose investments are primarily for household, family or personal use (“individual investors”). Specified sections of this notice, however, also apply to other types of investors (called “institutional investors”). Where the notice applies to institutional investors, the notice expressly states so. This notice is being provided by Credit Suisse Funds and Credit Suisse Closed‑End Funds. This notice applies solely to U.S. registered investment companies advised by Credit Suisse Asset Management, LLC.
Categories of information we may collect:
We may collect information about you, including nonpublic personal information, such as
| • | | Information we receive from you on applications, forms, agreements, questionnaires, Credit Suisse websites and other websites that are part of our investment program, or in the course of establishing or maintaining a customer relationship, such as your name, address, e‑mail address, Social Security number, assets, income, financial situation; and |
| • | | Information we obtain from your transactions and experiences with us, our affiliates, or others, such as your account balances or other investment information, assets purchased and sold, and other parties to a transaction, where applicable. |
Categories of information we disclose and parties to whom we disclose it:
| • | | We do not disclose nonpublic personal information about our individual investors, except as permitted or required by law or regulation. Whether you are an individual investor or institutional investor, we may share the information described above with our affiliates that perform services on our behalf, and with our asset management and private banking affiliates; as well as with unaffiliated third parties that perform services on our behalf, such as our accountants, auditors, attorneys, broker-dealers, fund administrators, and other service providers. |
| • | | We want our investors to be informed about additional products or services. We do not disclose nonpublic personal information relating to individual investors to our affiliates for marketing purposes, nor do we use such information received from our affiliates to solicit individual investors for such purposes. Whether you are an individual investor or an institutional investor, we may disclose information, including nonpublic personal information, regarding our transactions and experiences with you to our affiliates. |
| • | | In addition, whether you are an individual investor or an institutional investor, we reserve the right to disclose information, including nonpublic personal information, about you to any person or entity, including without limitation any governmental agency, regulatory authority or self-regulatory organization having jurisdiction over us or our affiliates, if (i) we determine in our discretion that such disclosure is necessary or advisable pursuant to or in connection with any United States federal, state or local, or non‑U.S., court order (or other legal process), law, rule, regulation, or executive order or policy, including without limitation any anti-money laundering law or the USA PATRIOT Act of 2001; and (ii) such disclosure is not otherwise prohibited by law, rule, regulation, or executive order or policy. |
43
Credit Suisse Asset Management Income Fund, Inc.
Notice of Privacy and Information Practices (unaudited) (continued)
Confidentiality and security
| • | | To protect nonpublic personal information about individual investors, we restrict access to those employees and agents who need to know that information to provide products or services to us and to our investors. We maintain physical, electronic, and procedural safeguards to protect nonpublic personal information. |
Other Disclosures
This notice is not intended to be incorporated in any offering materials, but is a statement of our current Notice of Privacy and Information Practices and may be amended from time to time. This notice is current as of May 16, 2023.
44
Credit Suisse Asset Management Income Fund, Inc.
Proxy Voting and Portfolio Holdings Information (unaudited)
Information regarding how the Fund voted proxies related to its portfolio securities during the 12‑month period ended June 30 of each year, as well as the policies and procedures that the Fund uses to determine how to vote proxies relating to its portfolio securities are available:
| • | | By calling 1‑800‑293‑1232 |
| • | | On the Fund’s website, www.credit-suisse.com/us/funds |
| • | | On the website of the Securities and Exchange Commission, www.sec.gov |
The Fund files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its reports on Form N‑PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N‑Q. The Fund’s Forms N‑PORT and N‑Q are available on the SEC’s website at www.sec.gov.
Funds Managed by Credit Suisse Asset Management, LLC
CLOSED‑END FUNDS
Fixed Income
Credit Suisse Asset Management Income Fund, Inc. (NYSE American: CIK)
Credit Suisse High Yield Bond Fund (NYSE American: DHY)
Literature Request — Call today for free descriptive information on the closed-ended funds listed above at 1‑800‑293‑1232 or visit our website at www.credit-suisse.com/us/funds
OPEN‑END FUNDS
| | |
Credit Suisse Commodity Return Strategy Fund | | Credit Suisse Strategic Income Fund |
Credit Suisse Floating Rate High Income Fund | | Credit Suisse Managed Futures Strategy Fund |
Credit Suisse Multialternative Strategy Fund | | |
Fund shares are not deposits or other obligation of Credit Suisse Asset Management, LLC or any affiliate, are not FDIC-insured and are not guaranteed by Credit Suisse Asset Management, LLC or any affiliate. Fund investments are subject to investment risks, including loss of your investment. There are special risk considerations associated with international, global, emerging-markets, small-company, private equity, high-yield debt, single-industry, single-country and other special, aggressive or concentrated investment strategies. Past performance cannot guarantee future results.
More complete information about a fund, including charges and expenses, is provided in the Prospectus, which should be read carefully before investing. You may obtain copies by calling Credit Suisse Funds at 1‑877‑870‑2874. Performance information current to the most recent month‑end is available at www.credit-suisse.com/us/funds.
Credit Suisse Securities (USA) LLC, Distributor.
45
Credit Suisse Asset Management Income Fund, Inc.
Dividend Reinvestment and Cash Purchase Plan (unaudited)
Credit Suisse Asset Management Income Fund, Inc. (the “Fund”) offers a Dividend Reinvestment and Cash Purchase Plan (the “Plan”) to its common stockholders. The Plan offers common stockholders a prompt and simple way to reinvest net investment income dividends and capital gains and other periodic distributions in shares of the Fund’s common stock. Computershare Trust Company, N.A. (“Computershare”) acts as Plan Agent for stockholders in administering the Plan.
If your shares of common stock of the Fund are registered in your own name, you will automatically participate in the Plan, unless you have indicated that you do not wish to participate and instead wish to receive dividends and capital gains distributions in cash. If you are a beneficial owner of the Fund having your shares registered in the name of a bank, broker or other nominee, you must first make arrangements with the organization in whose name your shares are registered to have the shares transferred into your own name. Registered shareholders can join the Plan via the Internet by going to www.computershare.com, authenticating your online account, agreeing to the Terms and Conditions of online “Account Access” and completing an online Plan Enrollment Form. Alternatively, you can complete the Plan Enrollment Form and return it to Computershare at the address below.
By participating in the Plan, your dividends and distributions will be promptly paid to you in additional shares of common stock of the Fund. The number of shares to be issued to you will be determined by dividing the total amount of the distribution payable to you by the greater of (i) the net asset value per share (“NAV”) of the Fund’s common stock on the payment date, or (ii) 95% of the market price per share of the Fund’s common stock on the payment date. If the NAV of the Fund’s common stock is greater than the market price (plus estimated brokerage commissions) on the payment date, then Computershare (or a broker-dealer selected by Computershare) shall endeavor to apply the amount of such distribution on your shares to purchase shares of Fund common stock in the open market.
You should be aware that all net investment income dividends and capital gain distributions are taxable to you as ordinary income and capital gain, respectively, whether received in cash or reinvested in additional shares of the Fund’s common stock.
The Plan also permits participants to purchase shares of the Fund through Computershare. You may invest $100 or more monthly, with a maximum of $100,000 in any annual period. Computershare will purchase shares for you on the open market on the 25th of each month or the next trading day if the 25th is not a trading day.
There is no service fee payable by Plan participants for dividend reinvestment. For voluntary cash payments, Plan participants must pay a service fee of $5.00 per transaction. Plan participants will also be charged a pro rata share of the brokerage commissions for all open market purchases ($0.03 per share as of December 2022). Participants will also be charged a service fee of $5.00 for each sale and brokerage commissions of $0.03 per share (as of December 2022).
You may terminate your participation in the Plan at any time by notifying Computershare or requesting a sale of your shares held in the Plan. Your withdrawal will be effective immediately if your notice is received by Computershare prior to any dividend or distribution record date; otherwise, such termination will be effective only with respect to any subsequent dividend or distribution. Your dividend participation option will remain the same unless you withdraw all of your whole and fractional Plan shares, in which case your participation in the Plan will be terminated and you will receive subsequent dividends and capital gains distributions in cash instead of shares.
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Credit Suisse Asset Management Income Fund, Inc.
Dividend Reinvestment and Cash Purchase Plan (unaudited) (continued)
If you want further information about the Plan, including a brochure describing the Plan in greater detail, please contact Computershare as follows:
| By Internet: | www.computershare.com |
| By phone: | (800) 730‑6001 (U.S. and Canada) |
| | (781) 575‑3100 (Outside U.S. and Canada) |
Customer service associates are available from 9:00 a.m. to 5:00 p.m. Eastern time, Monday through Friday
| By mail: | Credit Suisse Asset Management Income Fund, Inc. |
| | Providence, RI 02940-3078 |
Overnight correspondence should be sent to:
| | 150 Royall St., Suite 101 |
All notices, correspondence, questions or other communications sent by mail should be sent by registered or certified mail, return receipt requested.
The Plan may be terminated by the Fund or Computershare upon notice in writing mailed to each participant at least 30 days prior to any record date for the payment of any dividend or distribution.
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This report, including the financial statements herein, is sent to the shareholders of the Fund for their information. It is not a prospectus, circular or representation intended for use in the purchase or sale of shares of the Fund or of any securities mentioned in this report.
CIK-SAR-0623