Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments
September 30, 2021 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | | | | | |
| CORPORATE BONDS (84.9%) | | | | | | | | | | | | | | |
| Advertising (0.1%) | | | | | | | | | | | | | | |
$ | 136 | | | TripAdvisor, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/22 @ 103.50)(1) | | (BB-, B1) | | | 07/15/25 | | | | 7.000 | | | $ | 144,330 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Aerospace and Defense (0.6%) | | | | | | | | | | | | | | |
| 250 | | | KBR, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/30/23 @ 102.38)(1) | | (BB-, Ba3) | | | 09/30/28 | | | | 4.750 | | | | 254,170 | |
| 800 | | | TransDigm, Inc., Global Company Guaranteed Notes (Callable 03/15/22 @ 103.75) | | (B-, B3) | | | 03/15/27 | | | | 7.500 | | | | 843,270 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 1,097,440 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Auto Parts & Equipment (2.6%) | | | | | | | | | | | | | | |
| 2,310 | | | Clarios U.S. Finance Co., Rule 144A, Company Guaranteed Notes (Callable 05/15/22 @ 104.25)(1) | | (CCC+, Caa1) | | | 05/15/27 | | | | 8.500 | | | | 2,460,150 | |
| 1,300 | | | Cooper-Standard Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/21 @ 102.81)(1) | | (CCC, Caa1) | | | 11/15/26 | | | | 5.625 | | | | 1,063,270 | |
| 1,000 | | | Dornoch Debt Merger Sub, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/15/24 @ 103.31)(1) | | (CCC, Caa1) | | | 10/15/29 | | | | 6.625 | | | | 1,000,990 | |
| 250 | | | Tenneco, Inc., Rule 144A, Senior Secured Notes (Callable 01/15/24 @ 103.94)(1) | | (B+, Ba3) | | | 01/15/29 | | | | 7.875 | | | | 279,375 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 4,803,785 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Automakers (0.6%) | | | | | | | | | | | | | | |
| 400 | | | Ford Motor Co., Global Senior Unsecured Notes | | (BB+, Ba2) | | | 04/21/23 | | | | 8.500 | | | | 440,476 | |
| 675 | | | Winnebago Industries, Inc., Rule 144A, Senior Secured Notes (Callable 07/15/23 @ 103.13)(1) | | (BB+, B1) | | | 07/15/28 | | | | 6.250 | | | | 728,183 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 1,168,659 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Brokerage (0.7%) | | | | | | | | | | | | | | |
| 1,098 | | | StoneX Group, Inc., Rule 144A, Senior Secured Notes (Callable 06/15/22 @ 104.31)(1) | | (BB-, Ba3) | | | 06/15/25 | | | | 8.625 | | | | 1,181,723 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Building & Construction (1.1%) | | | | | | | | | | | | | | |
| 800 | | | Adams Homes, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/22 @ 103.75)(1) | | (B+, B3) | | | 02/15/25 | | | | 7.500 | | | | 836,540 | |
| 1,050 | | | Installed Building Products, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 102.88)(1) | | (B+, B1) | | | 02/01/28 | | | | 5.750 | | | | 1,103,650 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 1,940,190 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Building Materials (3.6%) | | | | | | | | | | | | | | |
| 1,265 | | | Foundation Building Materials, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/24 @ 103.00)(1) | | (CCC+, Caa1) | | | 03/01/29 | | | | 6.000 | | | | 1,241,560 | |
| 1,650 | | | James Hardie International Finance DAC, Rule 144A, Company Guaranteed Notes (Callable 01/15/23 @ 102.50)(1) | | (BB+, Ba1) | | | 01/15/28 | | | | 5.000 | | | | 1,734,562 | |
| 1,200 | | | Park River Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/24 @ 102.81)(1) | | (CCC, Caa1) | | | 02/01/29 | | | | 5.625 | | | | 1,164,282 | |
| 450 | | | Park River Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/24 @ 103.38)(1) | | (CCC, Caa1) | | | 08/01/29 | | | | 6.750 | | | | 451,798 | |
| 600 | | | PGT Innovations, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/01/24 @ 102.19)(1) | | (B+, B2) | | | 10/01/29 | | | | 4.375 | | | | 605,253 | |
| 200 | | | Summit Materials Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 07/15/23 @ 102.63)(1) | | (BB, B1) | | | 01/15/29 | | | | 5.250 | | | | 210,250 | |
| 500 | | | WESCO Distribution, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/22 @ 103.56)(1) | | (BB-, B1) | | | 06/15/25 | | | | 7.125 | | | | 535,540 | |
| 500 | | | WESCO Distribution, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/23 @ 103.63)(1) | | (BB-, B1) | | | 06/15/28 | | | | 7.250 | | | | 554,375 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 6,497,620 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Cable & Satellite TV (4.0%) | | | | | | | | | | | | | | |
| 685 | | | CSC Holdings LLC, Global Senior Unsecured Notes | | (B+, B3) | | | 06/01/24 | | | | 5.250 | | | | 734,649 | |
| 50 | | | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 04/15/22 @ 102.75)(1) | | (BB, Ba3) | | | 04/15/27 | | | | 5.500 | | | | 52,011 | |
| 850 | | | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 102.69)(1) | | (BB, Ba3) | | | 02/01/28 | | | | 5.375 | | | | 889,312 | |
| 600 | | | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 11/15/26 @ 102.25)(1) | | (BB, Ba3) | | | 11/15/31 | | | | 4.500 | | | | 593,250 | |
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2021 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | | | | | |
| CORPORATE BONDS (continued) | | | | | | | | | | | | | | |
| Cable & Satellite TV | | | | | | | | | | | | | | |
$ | 1,023 | | | Midcontinent Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/15/22 @ 102.69)(1) | | (B+, B3) | | | 08/15/27 | | | | 5.375 | | | $ | 1,066,948 | |
| 1,400 | | | Telenet Finance Luxembourg Notes Sarl, Rule 144A, Senior Secured Notes (Callable 12/01/22 @ 102.75)(1) | | (BB-, Ba3) | | | 03/01/28 | | | | 5.500 | | | | 1,476,300 | |
| 600 | | | UPC Broadband Finco B.V., Rule 144A, Senior Secured Notes (Callable 07/15/26 @ 102.44)(1) | | (BB-, B1) | | | 07/15/31 | | | | 4.875 | | | | 615,066 | |
| 500 | | | Virgin Media Secured Finance PLC, Rule 144A, Senior Secured Notes (Callable 04/15/22 @ 102.50)(1),(2) | | (BB-, Ba3) | | | 04/15/27 | | | | 5.000 | | | | 699,578 | |
| 1,077 | | | Ziggo B.V., Rule 144A, Senior Secured Notes (Callable 01/15/22 @ 102.75)(1) | | (B+, B1) | | | 01/15/27 | | | | 5.500 | | | | 1,114,695 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 7,241,809 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Chemicals (3.5%) | | | | | | | | | | | | | | |
| 200 | | | Avient Corp., Rule 144A, Senior Unsecured Notes (Callable 05/15/22 @ 102.88)(1) | | (BB-, Ba3) | | | 05/15/25 | | | | 5.750 | | | | 211,000 | |
| 500 | | | GCP Applied Technologies, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/18/21 @ 102.75)(1) | | (BB, B1) | | | 04/15/26 | | | | 5.500 | | | | 512,187 | |
| 800 | | | Herens Holdco Sarl, Rule 144A, Senior Secured Notes (Callable 05/15/24 @ 102.38)(1) | | (B, B2) | | | 05/15/28 | | | | 4.750 | | | | 805,000 | |
| 1,440 | | | Ingevity Corp., Rule 144A, Company Guaranteed Notes (Callable 11/01/21 @ 102.25)(1) | | (NR, Ba3) | | | 02/01/26 | | | | 4.500 | | | | 1,457,388 | |
| 800 | | | LSF11 A5 Holdings LLC, Rule 144A, Senior Unsecured Notes (1) | | (B-, Caa1) | | | 10/15/29 | | | | 6.625 | | | | 800,000 | |
| 350 | | | Olympus Water U.S. Holding Corp., Rule 144A, Senior Unsecured Notes (Callable 10/01/24 @ 103.13)(1) | | (CCC+, Caa2) | | | 10/01/29 | | | | 6.250 | | | | 347,270 | |
| 276 | | | Reichhold Industries, Inc., Rule 144A, Senior Secured Notes (1),(3),(4),(5),(6) | | (NR, NR) | | | 05/01/18 | | | | 0.000 | | | | 3,730 | |
| 1,000 | | | Schenectady International Group, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/15/23 @ 103.38)(1) | | (CCC+, Caa2) | | | 05/15/26 | | | | 6.750 | | | | 1,007,515 | |
| 400 | | | Trinseo Materials Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/24 @ 102.56)(1) | | (B, B2) | | | 04/01/29 | | | | 5.125 | | | | 403,512 | |
| 800 | | | Tronox, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/15/24 @ 102.31)(1) | | (B, B3) | | | 03/15/29 | | | | 4.625 | | | | 797,000 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 6,344,602 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Consumer/Commercial/Lease Financing (1.1%) | | | | | | | | | | | | | | |
| 1,950 | | | Cargo Aircraft Management, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 102.38)(1) | | (BB, Ba3) | | | 02/01/28 | | | | 4.750 | | | | 2,018,737 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Diversified Capital Goods (2.0%) | | | | | | | | | | | | | | |
| 950 | | | Atkore, Inc., Rule 144A, Senior Unsecured Notes (Callable 06/01/26 @ 102.13)(1) | | (BB-, Ba3) | | | 06/01/31 | | | | 4.250 | | | | 979,687 | |
| 800 | | | GrafTech Finance, Inc., Rule 144A, Senior Secured Notes (Callable 12/15/23 @ 102.31)(1) | | (BB, Ba3) | | | 12/15/28 | | | | 4.625 | | | | 822,000 | |
| 400 | | | Madison IAQ LLC, Rule 144A, Senior Secured Notes (Callable 06/30/24 @ 102.06)(1) | | (B, B1) | | | 06/30/28 | | | | 4.125 | | | | 400,506 | |
| 400 | | | Madison IAQ LLC, Rule 144A, Senior Unsecured Notes (Callable 06/30/24 @ 102.94)(1) | | (CCC+, Caa1) | | | 06/30/29 | | | | 5.875 | | | | 403,522 | |
| 1,000 | | | Stevens Holding Co., Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/23 @ 101.53)(1) | | (BB-, Ba3) | | | 10/01/26 | | | | 6.125 | | | | 1,080,000 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 3,685,715 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Electronics (1.4%) | | | | | | | | | | | | | | |
| 200 | | | CPI CG, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/23 @ 104.31)(1) | | (B-, B3) | | | 03/15/26 | | | | 8.625 | | | | 217,250 | |
| 1,085 | | | Sensata Technologies B.V., Rule 144A, Company Guaranteed Notes (1) | | (BB+, Ba3) | | | 10/01/25 | | | | 5.000 | | | | 1,196,212 | |
| 235 | | | Sensata Technologies B.V., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.00)(1) | | (BB+, Ba3) | | | 04/15/29 | | | | 4.000 | | | | 239,512 | |
| 800 | | | Synaptics, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/24 @ 102.00)(1),(7) | | (BB-, Ba3) | | | 06/15/29 | | | | 4.000 | | | | 819,456 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 2,472,430 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Energy - Exploration & Production (1.8%) | | | | | | | | | | | | | | |
| 550 | | | CNX Resources Corp., Rule 144A, Company Guaranteed Notes (Callable 03/14/22 @ 105.44)(1) | | (BB-, B1) | | | 03/14/27 | | | | 7.250 | | | | 586,272 | |
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2021 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | | | | | |
| CORPORATE BONDS (continued) | | | | | | | | | | | | | | |
| Energy - Exploration & Production | | | | | | | | | | | | | | |
$ | 550 | | | CNX Resources Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/24 @ 104.50)(1) | | (BB-, B1) | | | 01/15/29 | | | | 6.000 | | | $ | 582,313 | |
| 235 | | | Laredo Petroleum, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/31/24 @ 103.88)(1) | | (B, B3) | | | 07/31/29 | | | | 7.750 | | | | 235,881 | |
| 395 | | | Northern Oil & Gas, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/01/24 @ 104.06)(1) | | (B, B3) | | | 03/01/28 | | | | 8.125 | | | | 422,611 | |
| 1,500 | | | W&T Offshore, Inc., Rule 144A, Secured Notes (Callable 11/01/21 @ 102.44)(1) | | (B, Caa2) | | | 11/01/23 | | | | 9.750 | | | | 1,429,762 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 3,256,839 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Environmental (0.4%) | | | | | | | | | | | | | | |
| 425 | | | GFL Environmental, Inc., Rule 144A, Senior Secured Notes (Callable 12/15/22 @ 102.56)(1) | | (BB-, Ba3) | | | 12/15/26 | | | | 5.125 | | | | 446,828 | |
| 200 | | | Stericycle, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/23 @ 101.94)(1) | | (BB-, NR) | | | 01/15/29 | | | | 3.875 | | | | 201,472 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 648,300 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Food - Wholesale (0.3%) | | | | | | | | | | | | | | |
| 600 | | | U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/24 @ 102.38)(1) | | (B+, Caa1) | | | 02/15/29 | | | | 4.750 | | | | 616,563 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Gaming (3.5%) | | | | | | | | | | | | | | |
| 325 | | | Boyd Gaming Corp., Rule 144A, Company Guaranteed Notes (Callable 06/15/26 @ 102.38)(1) | | (B, Caa1) | | | 06/15/31 | | | | 4.750 | | | | 335,563 | |
| 1,301 | | | Churchill Downs, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/23 @ 102.38)(1) | | (B+, B1) | | | 01/15/28 | | | | 4.750 | | | | 1,362,797 | |
| 2,100 | | | Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/21 @ 100.00)(1) | | (CCC, Caa2) | | | 10/15/24 | | | | 6.750 | | | | 2,105,355 | |
| 1,469 | | | Jacobs Entertainment, Inc., Rule 144A, Secured Notes (Callable 11/01/21 @ 103.94)(1) | | (B-, B3) | | | 02/01/24 | | | | 7.875 | | | | 1,518,579 | |
| 750 | | | MGP Finance Co-Issuer, Inc., Global Company Guaranteed Notes (Callable 11/01/26 @ 100.00) | | (BB-, B1) | | | 02/01/27 | | | | 5.750 | | | | 863,438 | |
| 220 | | | Peninsula Pacific Entertainment Finance, Rule 144A, Senior Unsecured Notes (Callable 11/15/23 @ 104.25)(1) | | (B-, Caa1) | | | 11/15/27 | | | | 8.500 | | | | 238,813 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 6,424,545 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Gas Distribution (3.2%) | | | | | | | | | | | | | | |
| 750 | | | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 11/01/21 @ 100.94) | | (B, B1) | | | 06/15/24 | | | | 5.625 | | | | 749,062 | |
| 425 | | | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 11/01/21 @ 103.25) | | (B, B1) | | | 10/01/25 | | | | 6.500 | | | | 424,499 | |
| 675 | | | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 11/01/21 @ 104.69) | | (B, B1) | | | 05/15/26 | | | | 6.250 | | | | 663,650 | |
| 1,000 | | | Hess Midstream Operations LP, Rule 144A, Company Guaranteed Notes (Callable 06/15/23 @ 102.56)(1) | | (BB+, Ba3) | | | 06/15/28 | | | | 5.125 | | | | 1,045,800 | |
| 200 | | | Hess Midstream Operations LP, Rule 144A, Company Guaranteed Notes (Callable 02/15/25 @ 102.13)(1) | | (BB+, Ba3) | | | 02/15/30 | | | | 4.250 | | | | 202,860 | |
| 950 | | | New Fortress Energy, Inc., Rule 144A, Senior Secured Notes (Callable 03/31/23 @ 103.25)(1) | | (B+, B1) | | | 09/30/26 | | | | 6.500 | | | | 909,625 | |
| 500 | | | Rockies Express Pipeline LLC, Rule 144A, Senior Unsecured Notes (Callable 04/15/29 @ 100.00)(1) | | (BB+, Ba2) | | | 07/15/29 | | | | 4.950 | | | | 520,625 | |
| 610 | | | Rockies Express Pipeline LLC, Rule 144A, Senior Unsecured Notes (Callable 02/15/30 @ 100.00)(1) | | (BB+, Ba2) | | | 05/15/30 | | | | 4.800 | | | | 636,169 | |
| 200 | | | Suburban Energy Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 06/01/26 @ 102.50)(1) | | (BB-, B1) | | | 06/01/31 | | | | 5.000 | | | | 207,750 | |
| 500 | | | Tallgrass Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 10/01/22 @ 105.63)(1) | | (BB-, B1) | | | 10/01/25 | | | | 7.500 | | | | 541,875 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 5,901,915 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Health Facilities (1.4%) | | | | | | | | | | | | | | |
| 750 | | | HCA, Inc., Company Guaranteed Notes (Callable 03/01/28 @ 100.00) | | (BB-, Baa3) | | | 09/01/28 | | | | 5.625 | | | | 893,212 | |
| 800 | | | Mozart Debt Merger Sub, Inc., Rule 144A, Senior secured Notes (Callable 10/01/24 @ 101.94)(1) | | (B+, B1) | | | 04/01/29 | | | | 3.875 | | | | 800,000 | |
| 400 | | | Mozart Debt Merger Sub, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/01/24 @ 102.63)(1) | | (NR, Caa1) | | | 10/01/29 | | | | 5.250 | | | | 400,000 | |
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2021 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | | | | | |
| CORPORATE BONDS (continued) | | | | | | | | | | | | | | |
| Health Facilities | | | | | | | | | | | | | | |
$ | 500 | | | Surgery Center Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/22 @ 105.00)(1),(7) | | (CCC, Caa2) | | | 04/15/27 | | | | 10.000 | | | $ | 540,625 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 2,633,837 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Health Services (3.2%) | | | | | | | | | | | | | | |
| 450 | | | AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.00)(1) | | (BB-, Ba3) | | | 04/15/29 | | | | 4.000 | | | | 463,234 | |
| 705 | | | HealthEquity, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/24 @ 102.25)(1) | | (B, B3) | | | 10/01/29 | | | | 4.500 | | | | 718,324 | |
| 120 | | | Ortho-Clinical Diagnostics S.A., Rule 144A, Senior Unsecured Notes (Callable 06/01/22 @ 103.69)(1) | | (CCC+, B3) | | | 06/01/25 | | | | 7.375 | | | | 126,787 | |
| 1,782 | | | Owens & Minor, Inc., Global Senior Secured Notes (Callable 09/15/24 @ 100.00) | | (BB-, Ba2) | | | 12/15/24 | | | | 4.375 | | | | 1,894,498 | |
| 1,850 | | | Radiology Partners, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 104.63)(1) | | (CCC, Caa2) | | | 02/01/28 | | | | 9.250 | | | | 1,992,552 | |
| 235 | | | RP Escrow Issuer LLC, Rule 144A, Senior Secured Notes (Callable 12/15/22 @ 102.63)(1) | | (B-, B2) | | | 12/15/25 | | | | 5.250 | | | | 242,063 | |
| 393 | | | Service Corp., International, Global Senior Unsecured Notes (Callable 05/15/26 @ 102.00) | | (BB, Ba3) | | | 05/15/31 | | | | 4.000 | | | | 406,755 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 5,844,213 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Insurance Brokerage (4.0%) | | | | | | | | | | | | | | |
| 1,801 | | | Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/21 @ 103.50)(1) | | (CCC+, Caa2) | | | 11/15/25 | | | | 7.000 | | | | 1,836,196 | |
| 1,000 | | | Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/22 @ 107.59)(1) | | (CCC+, Caa2) | | | 08/01/26 | | | | 10.125 | | | | 1,116,510 | |
| 700 | | | Alliant Holdings Co-Issuer, Rule 144A, Senior Secured Notes (Callable 10/15/23 @ 102.13)(1) | | (B, B2) | | | 10/15/27 | | | | 4.250 | | | | 708,263 | |
| 293 | | | Alliant Holdings Co-Issuer, Rule 144A, Senior Unsecured Notes (Callable 10/15/22 @ 103.38)(1) | | (CCC+, Caa2) | | | 10/15/27 | | | | 6.750 | | | | 303,645 | |
| 200 | | | AmWINS Group, Inc., Rule 144A, Senior Unsecured Notes (Callable 06/30/24 @ 102.44)(1) | | (B-, B3) | | | 06/30/29 | | | | 4.875 | | | | 203,250 | |
| 780 | | | GTCR AP Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/15/22 @ 104.00)(1) | | (CCC+, Caa2) | | | 05/15/27 | | | | 8.000 | | | | 824,121 | |
| 625 | | | NFP Corp., Rule 144A, Senior Secured Notes (Callable 08/15/23 @ 102.44)(1) | | (B, B1) | | | 08/15/28 | | | | 4.875 | | | | 633,594 | |
| 1,600 | | | NFP Corp., Rule 144A, Senior Unsecured Notes (Callable 08/15/23 @ 103.44)(1) | | (CCC+, Caa2) | | | 08/15/28 | | | | 6.875 | | | | 1,635,856 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 7,261,435 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Investments & Misc. Financial Services (1.4%) | | | | | | | | | | | | | | |
| 1,185 | | | AG Issuer LLC, Rule 144A, Senior Secured Notes (Callable 03/01/23 @ 103.13)(1) | | (B-, B2) | | | 03/01/28 | | | | 6.250 | | | | 1,244,475 | |
| 1,200 | | | Compass Group Diversified Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.63)(1) | | (B+, B1) | | | 04/15/29 | | | | 5.250 | | | | 1,257,000 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 2,501,475 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Machinery (2.9%) | | | | | | | | | | | | | | |
| 1,025 | | | Arcosa., Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.19)(1) | | (BB, Ba2) | | | 04/15/29 | | | | 4.375 | | | | 1,039,094 | |
| 1,000 | | | ATS Automation Tooling Systems, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/23 @ 102.06)(1) | | (B+, B2) | | | 12/15/28 | | | | 4.125 | | | | 1,026,790 | |
| 300 | | | Granite U.S. Holdings Corp., Rule 144A, Company Guaranteed Notes (Callable 10/01/22 @ 105.50)(1) | | (CCC+, Caa1) | | | 10/01/27 | | | | 11.000 | | | | 328,878 | |
| 470 | | | Harsco Corp., Rule 144A, Company Guaranteed Notes (Callable 07/31/22 @ 102.88)(1) | | (B+, B1) | | | 07/31/27 | | | | 5.750 | | | | 487,625 | |
| 400 | | | Hillenbrand, Inc., Global Company Guaranteed Notes (Callable 06/15/22 @ 102.88) | | (BB+, Ba1) | | | 06/15/25 | | | | 5.750 | | | | 421,500 | |
| 200 | | | Mueller Water Products, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/24 @ 102.00)(1) | | (BB, Ba1) | | | 06/15/29 | | | | 4.000 | | | | 207,290 | |
| 1,485 | | | Rexnord LLC, Rule 144A, Company Guaranteed Notes (Callable 10/04/21 @ 102.44)(1) | | (BB-, B1) | | | 12/15/25 | | | | 4.875 | | | | 1,521,204 | |
| 200 | | | Roller Bearing Co. of America, Inc., Rule 144A, Senior Secured Notes (Callable 10/15/24 @ 102.19)(1) | | (B+, B2) | | | 10/15/29 | | | | 4.375 | | | | 205,250 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 5,237,631 | |
| | | | | | | | | | | | | | | | | | |
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2021 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | | | | | |
| CORPORATE BONDS (continued) | | | | | | | | | | | | | | |
| Media - Diversified (0.4%) | | | | | | | | | | | | | | |
$ | 550 | | | National CineMedia LLC, Global Senior Unsecured Notes (Callable 11/01/21 @ 102.88) | | (CCC-, Caa3) | | | 08/15/26 | | | | 5.750 | | | $ | 451,412 | |
| 250 | | | National CineMedia LLC, Rule 144A, Senior Secured Notes (Callable 04/15/23 @ 102.94)(1),(7) | | (CCC+, B3) | | | 04/15/28 | | | | 5.875 | | | | 229,823 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 681,235 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Media Content (0.9%) | | | | | | | | | | | | | | |
| 980 | | | Diamond Sports Finance Co., Rule 144A, Company Guaranteed Notes (Callable 08/15/22 @ 103.31)(1) | | (CC, Ca) | | | 08/15/27 | | | | 6.625 | | | | 430,396 | |
| 615 | | | Diamond Sports Finance Co., Rule 144A, Senior Secured Notes (Callable 08/15/22 @ 102.69)(1) | | (CCC, Caa1) | | | 08/15/26 | | | | 5.375 | | | | 406,669 | |
| 200 | | | Sirius XM Radio, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/24 @ 102.00)(1) | | (BB, Ba3) | | | 07/15/28 | | | | 4.000 | | | | 203,625 | |
| 587 | | | Sirius XM Radio, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/01/24 @ 102.75)(1) | | (BB, Ba3) | | | 07/01/29 | | | | 5.500 | | | | 635,428 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 1,676,118 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Metals & Mining - Excluding Steel (1.7%) | | | | | | | | | | | | | | |
| 200 | | | First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes (Callable 10/12/21 @ 101.81)(1) | | (B, NR) | | | 04/01/23 | | | | 7.250 | | | | 203,750 | |
| 1,500 | | | First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes (Callable 10/12/21 @ 105.16)(1) | | (B, NR) | | | 03/01/26 | | | | 6.875 | | | | 1,561,875 | |
| 200 | | | Kaiser Aluminum Corp., Rule 144A, Company Guaranteed Notes (Callable 06/01/26 @ 102.25)(1) | | (BB, B1) | | | 06/01/31 | | | | 4.500 | | | | 205,250 | |
| 110 | | | Novelis Corp., Rule 144A, Company Guaranteed Notes (Callable 01/30/25 @ 102.38)(1) | | (BB, B1) | | | 01/30/30 | | | | 4.750 | | | | 115,934 | |
| 1,000 | | | Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 02/15/23 @ 103.50)(1) | | (B-, Caa1) | | | 02/15/26 | | | | 7.000 | | | | 1,015,000 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 3,101,809 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Oil Field Equipment & Services (0.4%) | | | | | | | | | | | | | | |
| 265 | | | Pioneer Energy Services Corp., PIK, Rule 144A, Senior Unsecured Notes (1),(4),(5),(8),(9) | | (NR, NR) | | | 11/15/25 | | | | 5.000 | | | | 324,386 | |
| 400 | | | Rockcliff Energy II LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/24 @ 102.75)(1) | | (B+, B3) | | | 10/15/29 | | | | 5.500 | | | | 406,500 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 730,886 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Oil Refining & Marketing (0.5%) | | | | | | | | | | | | | | |
| 980 | | | ITT Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 08/01/24 @ 103.25)(1) | | (B, B2) | | | 08/01/29 | | | | 6.500 | | | | 989,800 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Packaging (5.0%) | | | | | | | | | | | | | | |
| 400 | | | Ardagh Metal Packaging Finance PLC, Rule 144A, Senior Unsecured Notes (Callable 05/15/24 @ 102.00)(1) | | (B+, B3) | | | 09/01/29 | | | | 4.000 | | | | 405,000 | |
| 133 | | | Crown Americas Capital Corp. VI, Global Company Guaranteed Notes (Callable 11/01/21 @ 103.56) | | (BB-, Ba3) | | | 02/01/26 | | | | 4.750 | | | | 137,236 | |
| 2,000 | | | Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/21 @ 101.72)(1) | | (CCC+, Caa2) | | | 01/15/25 | | | | 6.875 | | | | 2,027,500 | |
| 400 | | | Intelligent Packaging Ltd. Co-Issuer LLC, Rule 144A, Senior Secured Notes (Callable 09/15/22 @ 103.00)(1) | | (B-, B3) | | | 09/15/28 | | | | 6.000 | | | | 419,580 | |
| 1,130 | | | Intertape Polymer Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/24 @ 102.19)(1) | | (B+, Ba3) | | | 06/15/29 | | | | 4.375 | | | | 1,150,182 | |
| 525 | | | Pactiv Evergreen Group Issuer LLC, Rule 144A, Senior Secured Notes (Callable 10/15/23 @ 102.00)(1) | | (B+, B1) | | | 10/15/27 | | | | 4.000 | | | | 520,419 | |
| 2,310 | | | Plastipak Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/21 @ 101.56)(1) | | (B, B3) | | | 10/15/25 | | | | 6.250 | | | | 2,354,006 | |
| 1,980 | | | TriMas Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.06)(1) | | (BB-, Ba3) | | | 04/15/29 | | | | 4.125 | | | | 2,028,965 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 9,042,888 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Personal & Household Products (0.2%) | | | | | | | | | | | | | | |
| 1,350 | | | High Ridge Brands Co., Rule 144A, Senior Unsecured Notes (Callable 11/08/21 @ 102.22)(1),(3),(4),(5) | | (NR, NR) | | | 03/15/25 | | | | 0.000 | | | | 11,813 | |
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2021 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | | | | | |
| CORPORATE BONDS (continued) | | | | | | | | | | | | | | |
| Personal & Household Products | | | | | | | | | | | | | | |
$ | 400 | | | MajorDrive Holdings IV LLC, Rule 144A, Senior Unsecured Notes (Callable 06/01/24 @ 103.19)(1) | | (CCC+, Caa2) | | | 06/01/29 | | | | 6.375 | | | $ | 390,502 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 402,315 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Pharmaceuticals (4.1%) | | | | | | | | | | | | | | |
| 500 | | | Bausch Health Americas, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/22 @ 104.63)(1) | | (B, B3) | | | 04/01/26 | | | | 9.250 | | | | 533,750 | |
| 400 | | | Bausch Health Cos., Inc. Rule 144A, Senior Secured Notes (Callable 06/01/24 @ 102.44)(1) | | (BB, Ba2) | | | 06/01/28 | | | | 4.875 | | | | 415,000 | |
| 250 | | | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/21 @ 104.50)(1) | | (B, B3) | | | 12/15/25 | | | | 9.000 | | | | 265,000 | |
| 500 | | | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 05/30/24 @ 103.63)(1) | | (B, B3) | | | 05/30/29 | | | | 7.250 | | | | 511,315 | |
| 700 | | | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 01/30/25 @ 102.63)(1) | | (B, B3) | | | 01/30/30 | | | | 5.250 | | | | 653,814 | |
| 708 | | | Emergent BioSolutions, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/23 @ 101.94)(1) | | (BB-, Ba3) | | | 08/15/28 | | | | 3.875 | | | | 691,306 | |
| 650 | | | Endo Finance LLC, Rule 144A, Senior Secured Notes (Callable 11/01/21 @ 101.47)(1) | | (B-, B3) | | | 10/15/24 | | | | 5.875 | | | | 638,901 | |
| 400 | | | Endo U.S., Inc., Rule 144A, Senior Secured Notes (Callable 04/01/24 @ 104.59)(1) | | (B-, B3) | | | 04/01/29 | | | | 6.125 | | | | 400,542 | |
| 940 | | | Grifols Escrow Issuer S.A., Rule 144A, Senior Unsecured Notes (Callable 10/15/24 @ 102.38)(1) | | (B, B3) | | | 10/15/28 | | | | 4.750 | | | | 961,338 | |
| 800 | | | Horizon Therapeutics U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 08/01/22 @ 104.13)(1) | | (B+, Ba3) | | | 08/01/27 | | | | 5.500 | | | | 849,000 | |
| 1,400 | | | Jazz Securities DAC, Rule 144A, Senior Secured Notes (Callable 07/15/24 @ 102.19)(1) | | (BB-, Ba2) | | | 01/15/29 | | | | 4.375 | | | | 1,452,570 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 7,372,536 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Real Estate Development & Management (1.4%) | | | | | | | | | | | | | | |
| 718 | | | Newmark Group, Inc., Global Senior Unsecured Notes (Callable 10/15/23 @ 100.00) | | (BB+, NR) | | | 11/15/23 | | | | 6.125 | | | | 776,337 | |
| 1,782 | | | WeWork Cos., Inc., Rule 144A, Company Guaranteed Notes(1),(7) | | (CCC+, NR) | | | 05/01/25 | | | | 7.875 | | | | 1,809,523 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 2,585,860 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Real Estate Investment Trusts (2.4%) | | | | | | | | | | | | | | |
| 1,071 | | | Global Net Lease Operating Partnership LP, Rule 144A, Company Guaranteed Notes (Callable 09/15/27 @ 100.00)(1) | | (BBB-, Ba3) | | | 12/15/27 | | | | 3.750 | | | | 1,063,772 | |
| 1,400 | | | iStar, Inc., Global Senior Unsecured Notes (Callable 08/15/22 @ 102.75) | | (BB, Ba3) | | | 02/15/26 | | | | 5.500 | | | | 1,464,750 | |
| 200 | | | iStar, Inc., Senior Unsecured Notes (Callable 07/01/24 @ 100.00) | | (BB, Ba3) | | | 10/01/24 | | | | 4.750 | | | | 211,750 | |
| 242 | | | Starwood Property Trust, Inc., Global Senior Unsecured Notes (Callable 11/01/21 @ 100.00) | | (B+, NR) | | | 12/15/21 | | | | 5.000 | | | | 242,635 | |
| 1,385 | | | Starwood Property Trust, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/23 @ 100.00)(1) | | (B+, Ba3) | | | 11/01/23 | | | | 5.500 | | | | 1,454,569 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 4,437,476 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Recreation & Travel (5.1%) | | | | | | | | | | | | | | |
| 400 | | | Boyne U.S.A., Inc., Rule 144A, Senior Unsecured Notes (Callable 05/15/24 @ 102.38)(1) | | (B, B1) | | | 05/15/29 | | | | 4.750 | | | | 413,500 | |
| 407 | | | Canada’s Wonderland Co., Global Company Guaranteed Notes (Callable 04/15/22 @ 102.69) | | (CCC+, B3) | | | 04/15/27 | | | | 5.375 | | | | 418,701 | |
| 1,325 | | | Cedar Fair LP, Global Company Guaranteed Notes (Callable 07/15/24 @ 102.63) | | (CCC+, B3) | | | 07/15/29 | | | | 5.250 | | | | 1,361,835 | |
| 750 | | | Merlin Entertainments Ltd., Rule 144A, Secured Notes (Callable 03/17/26 @ 100.00)(1) | | (CCC+, B2) | | | 06/15/26 | | | | 5.750 | | | | 775,714 | |
| 500 | | | Motion Bondco DAC, Rule 144A, Company Guaranteed Notes (Callable 11/15/22 @ 103.31)(1),(7) | | (CCC-, Caa2) | | | 11/15/27 | | | | 6.625 | | | | 504,817 | |
| 655 | | | Powdr Corp., Rule 144A, Senior Secured Notes (Callable 08/01/22 @ 103.00)(1) | | (B-, B1) | | | 08/01/25 | | | | 6.000 | | | | 688,801 | |
| 450 | | | SeaWorld Parks & Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/24 @ 102.63)(1) | | (B-, Caa1) | | | 08/15/29 | | | | 5.250 | | | | 460,328 | |
| 400 | | | SeaWorld Parks & Entertainment, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/22 @ 104.38)(1) | | (BB-, Ba3) | | | 05/01/25 | | | | 8.750 | | | | 430,252 | |
| 1,150 | | | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 11/01/21 @ 101.22)(1) | | (B-, B3) | | | 07/31/24 | | | | 4.875 | | | | 1,162,219 | |
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2021 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | | | | | |
| CORPORATE BONDS (continued) | | | | | | | | | | | | | | |
| Recreation & Travel | | | | | | | | | | | | | | |
$ | 517 | | | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/22 @ 102.75)(1),(7) | | (B-, B3) | | | 04/15/27 | | | | 5.500 | | | $ | 534,449 | |
| 350 | | | Six Flags Theme Parks, Inc., Rule 144A, Senior Secured Notes (Callable 07/01/22 @ 103.50)(1) | | (BB-, Ba2) | | | 07/01/25 | | | | 7.000 | | | | 373,188 | |
| 2,115 | | | Speedway Funding II, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/22 @ 102.44)(1) | | (BB-, B2) | | | 11/01/27 | | | | 4.875 | | | | 2,160,948 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 9,284,752 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Software - Services (5.1%) | | | | | | | | | | | | | | |
| 2,105 | | | Austin BidCo, Inc., Rule 144A, Senior Unsecured Notes (Callable 12/15/23 @ 103.56)(1) | | (CCC+, Caa2) | | | 12/15/28 | | | | 7.125 | | | | 2,123,682 | |
| 400 | | | Booz Allen Hamilton, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/01/24 @ 102.00)(1) | | (BB-, Ba2) | | | 07/01/29 | | | | 4.000 | | | | 411,000 | |
| 610 | | | CDK Global, Inc., Global Senior Unsecured Notes (Callable 06/01/22 @ 102.44) | | (BB+, Ba1) | | | 06/01/27 | | | | 4.875 | | | | 639,573 | |
| 1,300 | | | Elastic NV, Rule 144A, Senior Unsecured Notes (Callable 07/15/24 @ 102.06)(1) | | (B+, B1) | | | 07/15/29 | | | | 4.125 | | | | 1,308,125 | |
| 1,375 | | | Endure Digital, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/24 @ 103.00)(1) | | (CCC+, Caa2) | | | 02/15/29 | | | | 6.000 | | | | 1,308,278 | |
| 257 | | | GD Finance Co., Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/22 @ 102.63)(1) | | (BB-, Ba3) | | | 12/01/27 | | | | 5.250 | | | | 268,244 | |
| 1,400 | | | Granite Merger Sub 2, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/22 @ 108.25)(1) | | (CCC+, Caa1) | | | 07/15/27 | | | | 11.000 | | | | 1,574,377 | |
| 587 | | | Presidio Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 104.13)(1) | | (CCC+, Caa1) | | | 02/01/28 | | | | 8.250 | | | | 632,680 | |
| 160 | | | Presidio Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 02/01/23 @ 102.44)(1) | | (B, B1) | | | 02/01/27 | | | | 4.875 | | | | 165,400 | |
| 750 | | | SS&C Technologies, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/30/22 @ 104.13)(1) | | (B+, B2) | | | 09/30/27 | | | | 5.500 | | | | 793,414 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 9,224,773 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Specialty Retail (2.3%) | | | | | | | | | | | | | | |
| 40 | | | Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 03/01/23 @ 102.25) | | (BB, B1) | | | 03/01/28 | | | | 4.500 | | | | 41,175 | |
| 491 | | | Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 03/01/25 @ 102.38) | | (BB, B1) | | | 03/01/30 | | | | 4.750 | | | | 513,095 | |
| 950 | | | eG Global Finance PLC, Rule 144A, Senior Secured Notes (Callable 11/01/21 @ 104.25)(1) | | (B-, B3) | | | 10/30/25 | | | | 8.500 | | | | 990,688 | |
| 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 | | | | 410,928 | |
| 200 | | | Murphy Oil U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/26 @ 101.88)(1) | | (BB+, Ba2) | | | 02/15/31 | | | | 3.750 | | | | 201,500 | |
| 1,650 | | | Ruyi U.S. Finance LLC, Rule 144A, Senior Secured Notes (Callable 11/01/21 @ 105.63)(1) | | (NR, Caa1) | | | 05/01/25 | | | | 7.500 | | | | 1,521,572 | |
| 450 | | | Wolverine World Wide, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/24 @ 102.00)(1) | | (BB, Ba2) | | | 08/15/29 | | | | 4.000 | | | | 455,063 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 4,134,021 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Steel Producers/Products (0.1%) | | | | | | | | | | | | | | |
| 132 | | | Cleveland-Cliffs, Inc., Rule 144A, Senior Secured Notes (Callable 10/17/22 @ 107.41)(1) | | (BB-, Ba2) | | | 10/17/25 | | | | 9.875 | | | | 151,635 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Support - Services (5.7%) | | | | | | | | | | | | | | |
| 426 | | | Allied Universal Finance Corp., Rule 144A, Senior Secured Notes (Callable 06/01/24 @ 102.31)(1) | | (B, B2) | | | 06/01/28 | | | | 4.625 | | | | 426,000 | |
| 674 | | | Allied Universal Finance Corp., Rule 144A, Senior Secured Notes (Callable 06/01/24 @ 102.31)(1) | | (B, B2) | | | 06/01/28 | | | | 4.625 | | | | 673,798 | |
| 1,100 | | | Allied Universal Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 06/01/24 @ 103.00)(1) | | (CCC+, Caa1) | | | 06/01/29 | | | | 6.000 | | | | 1,086,932 | |
| 475 | | | APi Group DE, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/24 @ 102.06)(1) | | (B, B1) | | | 07/15/29 | | | | 4.125 | | | | 466,084 | |
| 400 | | | Clarivate Science Holdings Corp., Rule 144A, Senior Unsecured Notes (Callable 06/30/24 @ 102.44)(1) | | (CCC+, Caa1) | | | 07/01/29 | | | | 4.875 | | | | 401,600 | |
| 1,600 | | | CoreLogic, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/24 @ 102.25)(1) | | (B, B1) | | | 05/01/28 | | | | 4.500 | | | | 1,592,000 | |
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2021 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | | | | | |
| CORPORATE BONDS (continued) | | | | | | | | | | | | | | |
| Support - Services | | | | | | | | | | | | | | |
$ | 1,835 | | | Gems Education Delaware LLC, Rule 144A, Senior Secured Notes (Callable 07/31/22 @ 103.56)(1) | | (B-, B3) | | | 07/31/26 | | | | 7.125 | | | $ | 1,883,875 | |
| 2,000 | | | GYP Holdings III Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/24 @ 102.31)(1) | | (B, B2) | | | 05/01/29 | | | | 4.625 | | | | 2,025,000 | |
| 388 | | | Korn Ferry, Rule 144A, Company Guaranteed Notes (Callable 12/15/22 @ 102.31)(1) | | (BB, Ba3) | | | 12/15/27 | | | | 4.625 | | | | 403,035 | |
| 750 | | | White Cap Buyer LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/23 @ 103.44)(1) | | (CCC+, Caa1) | | | 10/15/28 | | | | 6.875 | | | | 792,248 | |
| 595 | | | Williams Scotsman International, Inc., Rule 144A, Senior Secured Notes (Callable 08/15/23 @ 102.31)(1) | | (B+, B3) | | | 08/15/28 | | | | 4.625 | | | | 620,594 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 10,371,166 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Tech Hardware & Equipment (1.7%) | | | | | | | | | | | | | | |
| 759 | | | CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 10/12/21 @ 102.00)(1) | | (CCC+, B3) | | | 06/15/25 | | | | 6.000 | | | | 770,962 | |
| 340 | | | CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 03/15/22 @ 102.50)(1) | | (CCC+, B3) | | | 03/15/27 | | | | 5.000 | | | | 323,911 | |
| 685 | | | CommScope, Inc., Rule 144A, Senior Secured Notes (Callable 09/01/24 @ 102.38)(1) | | (B, Ba3) | | | 09/01/29 | | | | 4.750 | | | | 686,713 | |
| 1,200 | | | Imola Merger Corp., Rule 144A, Senior Secured Notes (Callable 05/15/24 @ 102.38)(1) | | (BB-, B1) | | | 05/15/29 | | | | 4.750 | | | | 1,242,432 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 3,024,018 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Telecom - Wireline Integrated & Services (1.9%) | | | | | | | | | | | | | | |
| 374 | | | Altice France S.A., Rule 144A, Senior Secured Notes (Callable 10/07/21 @ 103.69)(1) | | (B, B2) | | | 05/01/26 | | | | 7.375 | | | | 388,571 | |
| 856 | | | Altice France S.A., Rule 144A, Senior Secured Notes (Callable 09/15/23 @ 102.56)(1) | | (B, B2) | | | 01/15/29 | | | | 5.125 | | | | 840,417 | |
| 2,651 | | | GTT Communications, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/21 @ 103.94)(1),(3) | | (D, NR) | | | 12/31/24 | | | | 0.000 | | | | 291,610 | |
| 1,325 | | | LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes (Callable 10/15/22 @ 103.38)(1) | | (B+, B1) | | | 10/15/27 | | | | 6.750 | | | | 1,406,156 | |
| 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 | | | | 206,750 | |
| 400 | | | Zayo Group Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/01/23 @ 103.06)(1) | | (CCC+, Caa1) | | | 03/01/28 | | | | 6.125 | | | | 406,072 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 3,539,576 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Theaters & Entertainment (2.0%) | | | | | | | | | | | | | | |
| 1,538 | | | AMC Entertainment Holdings, Inc.,10.00% Cash, 12.00% PIK, Rule 144A, Secured Notes (Callable 06/15/23 @ 106.00)(1),(8) | | (CCC-, Ca) | | | 06/15/26 | | | | 12.000 | | | | 1,489,495 | |
| 1,025 | | | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/21 @ 101.22)(1) | | (B-, B3) | | | 11/01/24 | | | | 4.875 | | | | 1,037,730 | |
| 700 | | | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/21 @ 104.22)(1) | | (B-, B3) | | | 03/15/26 | | | | 5.625 | | | | 725,630 | |
| 325 | | | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/22 @ 103.56)(1) | | (B-, B3) | | | 10/15/27 | | | | 4.750 | | | | 330,688 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 3,583,543 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Transport Infrastructure/Services (0.6%) | | | | | | | | | | | | | | |
| 1,141 | | | Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes (Callable 10/11/21 @ 100.00)(1) | | (CCC-, Caa2) | | | 08/15/22 | | | | 11.250 | | | | 1,146,311 | |
| | | | | | | | | | | | | | | | | | |
| TOTAL CORPORATE BONDS (Cost $153,754,851) | | | | | | | | | | | | | 154,404,511 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| BANK LOANS (33.8%) | | | | | | | | | | | | | | |
| Aerospace & Defense (1.1%) | | | | | | | | | | | | | | |
| 1,050 | | | Amentum Government Services Holdings LLC, LIBOR 1M + 8.750%(5),(10) | | (NR, NR) | | | 01/31/28 | | | | 10.000 | | | | 1,055,250 | |
| 1,000 | | | Peraton Corp., LIBOR 1M + 7.750%(10) | | (NR, NR) | | | 02/01/29 | | | | 8.500 | | | | 1,022,500 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 2,077,750 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Auto Parts & Equipment (0.9%) | | | | | | | | | | | | | | |
| 728 | | | Dayco Products LLC, LIBOR 3M + 4.250%(10) | | (CCC+, B3) | | | 05/19/23 | | | | 4.371 | | | | 709,962 | |
| 226 | | | Jason Group, Inc., LIBOR 3M + 1.000% Cash, 9.000% PIK(8),(10) | | (CCC-, Caa3) | | | 03/02/26 | | | | 11.000 | | | | 224,386 | |
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2021 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | | | | | |
| BANK LOANS (continued) | | | | | | | | | | | | | | |
| Auto Parts & Equipment | | | | | | | | | | | | | | |
$ | 328 | | | Jason Group, Inc., LIBOR 3M + 2.000% Cash, 4.000% PIK(8),(10) | | (B-, Caa1) | | | 08/28/25 | | | | 7.000 | | | $ | 326,118 | |
| 371 | | | U.S. Farathane LLC, LIBOR 3M + 4.250%(10) | | (B, B2) | | | 12/23/24 | | | | 5.250 | | | | 369,894 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 1,630,360 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Banking (0.5%) | | | | | | | | | | | | | | |
| 896 | | | Citco Funding LLC(11) | | (NR, Ba3) | | | 09/28/23 | | | | 0.000 | | | | 896,028 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Building & Construction (0.4%) | | | | | | | | | | | | | | |
| 739 | | | TRC Companies, Inc., LIBOR 1M + 4.500%(5),(10) | | (B, B2) | | | 06/21/24 | | | | 5.250 | | | | 738,061 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Chemicals (6.7%) | | | | | | | | | | | | | | |
| 1,470 | | | Ascend Performance Materials Operations LLC, LIBOR 3M + 4.750%(10) | | (BB-, B1) | | | 08/27/26 | | | | 5.500 | | | | 1,489,781 | |
| 1,995 | | | Atotech B.V.(11) | | (B+, B1) | | | 03/18/28 | | | | 0.000 | | | | 1,994,791 | |
| 1,305 | | | Ferro Corp. (Term Loan B1)(11) | | (BB-, Ba3) | | | 02/14/24 | | | | 0.000 | | | | 1,304,531 | |
| 343 | | | Ferro Corp. (Term Loan B2)(11) | | (BB-, Ba3) | | | 02/14/24 | | | | 0.000 | | | | 342,763 | |
| 336 | | | Ferro Corp. (Term Loan B3)(11) | | (BB-, Ba3) | | | 02/14/24 | | | | 0.000 | | | | 335,470 | |
| 1,909 | | | PMHC II, Inc., LIBOR 12M + 3.500%(10) | | (B-, Caa1) | | | 03/31/25 | | | | 4.500 | | | | 1,900,079 | |
| 1,452 | | | Polar U.S. Borrower LLC, LIBOR 1M + 4.750%, PRIME + 3.750%(5),(10) | | (B-, B3) | | | 10/15/25 | | |
| 4.874 – 7.000 | | | | 1,451,525 | |
| 76 | | | UTEX Industries, Inc., LIBOR 1M + 7.000%(10) | | (NR, NR) | | | 12/03/25 | | | | 8.500 | | | | 76,995 | |
| 67 | | | UTEX Industries, Inc., LIBOR 1M + 5.250%(10) | | (NR, NR) | | | 12/03/25 | | | | 11.000 | | | | 65,577 | |
| 1,750 | | | Vantage Specialty Chemicals, Inc., LIBOR 3M + 8.250%(6),(10) | | (CCC-, Caa3) | | | 10/27/25 | | | | 9.250 | | | | 1,700,563 | |
| 1,499 | | | Zep, Inc., LIBOR 3M + 4.000%(10) | | (CCC+, B3) | | | 08/12/24 | | | | 5.000 | | | | 1,466,448 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 12,128,523 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Diversified Capital Goods (1.0%) | | | | | | | | | | | | | | |
| 514 | | | Callaway Golf Co., LIBOR 1M + 4.500%(10) | | (B, B1) | | | 01/02/26 | | | | 4.586 | | | | 517,470 | |
| 688 | | | Electrical Components International, Inc., PRIME + 7.500%(5),(10) | | (B-, B2) | | | 06/26/25 | | | | 10.750 | | | | 689,135 | |
| 600 | | | GrafTech Finance, Inc., LIBOR 1M + 3.000%(10) | | (BB, Ba3) | | | 02/12/25 | | | | 3.500 | | | | 601,121 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 1,807,726 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Electronics (2.1%) | | | | | | | | | | | | | | |
| 750 | | | CPI International, Inc., LIBOR 1M + 7.250%(5),(6),(10) | | (CCC, Caa2) | | | 07/26/25 | | | | 8.250 | | | | 700,813 | |
| 1,550 | | | EXC Holdings III Corp., LIBOR 3M + 7.500%(10) | | (CCC+, Caa1) | | | 12/01/25 | | | | 8.500 | | | | 1,554,852 | |
| 1,545 | | | Idemia Group, LIBOR 3M + 4.500%(10) | | (B-, B3) | | | 01/09/26 | | | | 5.250 | | | | 1,549,411 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 3,805,076 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Food & Drug Retailers (0.4%) | | | | | | | | | | | | | | |
| 800 | | | WOOF Holdings, Inc., LIBOR 6M + 7.250%(10) | | (CCC, Caa2) | | | 12/21/28 | | | | 8.000 | | | | 811,504 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Food - Wholesale (0.4%) | | | | | | | | | | | | | | |
| 644 | | | United Natural Foods, Inc., LIBOR 1M + 3.500%(10) | | (B, B2) | | | 10/22/25 | | | | 3.584 | | | | 644,752 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Gas Distribution (1.4%) | | | | | | | | | | | | | | |
| 1,449 | | | BCP Renaissance Parent LLC, LIBOR 3M + 3.500%(5),(10) | | (B, B2) | | | 11/01/24 | | | | 3.621 | | | | 1,440,205 | |
| 1,147 | | | Traverse Midstream Partners LLC, LIBOR 1M + 5.500%(10) | | (B, B3) | | | 09/27/24 | | | | 6.500 | | | | 1,150,042 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 2,590,247 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Health Services (2.2%) | | | | | | | | | | | | | | |
| 1,912 | | | Athenahealth, Inc., LIBOR 3M + 4.250%(10) | | (B, B2) | | | 02/11/26 | | | | 4.377 | | | | 1,919,723 | |
| 563 | | | Carestream Health, Inc., LIBOR 6M + 6.750%(10) | | (B-, B1) | | | 05/08/23 | | | | 7.750 | | | | 566,031 | |
| 620 | | | PPD, Inc., LIBOR 1M + 2.000%(10) | | (BB-, Ba2) | | | 01/13/28 | | | | 2.500 | | | | 620,116 | |
| 824 | | | U.S. Radiology Specialists, Inc., LIBOR 3M + 5.500%(10) | | (B-, B3) | | | 12/10/27 | | | | 6.250 | | | | 828,664 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 3,934,534 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Investments & Misc. Financial Services (1.4%) | | | | | | | | | | | | | | |
| 1,500 | | | AqGen Ascensus, Inc., LIBOR 2M + 6.500%(5),(10) | | (CCC, Caa2) | | | 08/02/29 | | | | 7.000 | | | | 1,500,000 | |
| 865 | | | Deerfield Dakota Holding LLC, LIBOR 1M + 6.750%(10) | | (CCC, Caa2) | | | 04/07/28 | | | | 7.500 | | | | 895,673 | |
| 570 | | | Ditech Holding Corp.(3) | | (NR, NR) | | | 06/30/22 | | | | 0.000 | | | | 114,451 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 2,510,124 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Life Insurance (0.5%) | | | | | | | | | | | | | | |
| 1,016 | | | Vida Capital, Inc., LIBOR 1M + 6.000%(5),(10) | | (B-, B2) | | | 10/01/26 | | | | 6.084 | | | | 937,375 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Machinery (0.9%) | | | | | | | | | | | | | | |
| 490 | | | Granite Holdings U.S. Acquisition Co., LIBOR 3M + 4.000%(5),(10) | | (B, B1) | | | 09/30/26 | | | | 4.132 | | | | 491,354 | |
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2021 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | | | | | |
| BANK LOANS (continued) | | | | | | | | | | | | | | |
| Machinery | | | | | | | | | | | | | | |
$ | 798 | | | LTI Holdings, Inc., LIBOR 1M + 6.750%(6),(10) | | (CCC+, Caa2) | | | 09/06/26 | | | | 6.834 | | | $ | 797,266 | |
| 441 | | | LTI Holdings, Inc., LIBOR 1M + 3.500%(10) | | (B-, B2) | | | 09/06/25 | | | | 3.584 | | | | 435,673 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 1,724,293 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Managed Care (1.0%) | | | | | | | | | | | | | | |
| 1,810 | | | Inovalon Holdings, Inc.(11) | | (B+, B2) | | | 04/02/25 | | | | 0.000 | | | | 1,810,648 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Medical Products (0.9%) | | | | | | | | | | | | | | |
| 965 | | | ABB Concise Optical Group LLC, LIBOR 6M + 5.000%(10) | | (CCC+, B3) | | | 06/15/23 | | | | 6.000 | | | | 936,340 | |
| 695 | | | Viant Medical Holdings, Inc., LIBOR 1M + 6.250%(5),(10) | | (CCC+, B3) | | | 07/02/25 | | | | 7.250 | | | | 696,420 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 1,632,760 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Packaging (0.2%) | | | | | | | | | | | | | | |
| 540 | | | Strategic Materials, Inc., LIBOR 3M + 7.750%(5),(6),(10) | | (CC, C) | | | 10/31/25 | | | | 8.750 | | | | 310,500 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Personal & Household Products (1.1%) | | | | | | | | | | | | | | |
| 1,242 | | | Serta Simmons Bedding, LLC, LIBOR 1M + 7.500%(10) | | (B, B2) | | | 08/10/23 | | | | 8.500 | | | | 1,257,914 | |
| 753 | | | Serta Simmons Bedding, LLC, LIBOR 1M + 7.500%(10) | | (B-, Caa2) | | | 08/10/23 | | | | 8.500 | | | | 718,669 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 1,976,583 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Pharmaceuticals (0.6%) | | | | | | | | | | | | | | |
| 1,060 | | | Akorn, Inc., LIBOR 3M + 7.500%(10) | | (CCC+, Caa2) | | | 10/01/25 | | | | 8.500 | | | | 1,079,421 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Printing and Publishing (0.4%) | | | | | | | | | | | | | | |
| 693 | | | ProQuest LLC(11) | | (B, B2) | | | 10/23/26 | | | | 0.000 | | | | 693,468 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Real Estate Investment Trusts (0.4%) | | | | | | | | | | | | | | |
| 644 | | | Blackstone Mortgage Trust, Inc., LIBOR 1M + 2.750%(5),(10) | | (B+, Ba2) | | | 04/23/26 | | | | 3.250 | | | | 644,313 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Recreation & Travel (1.8%) | | | | | | | | | | | | | | |
| 1,113 | | | Bulldog Purchaser, Inc., LIBOR 3M + 7.750%(5),(10) | | (CCC-, Caa3) | | | 09/04/26 | | | | 7.871 | | | | 1,057,789 | |
| 983 | | | Bulldog Purchaser, Inc., LIBOR 3M + 3.750%(10) | | (B-, B3) | | | 09/05/25 | | | | 3.871 | | | | 953,513 | |
| 532 | | | Hornblower Sub LLC, LIBOR 3M + 4.750%(10) | | (CCC-, Caa2) | | | 04/27/25 | | | | 5.750 | | | | 504,956 | |
| 773 | | | Hornblower Sub LLC, LIBOR 6M + 8.125%(5),(10) | | (NR, NR) | | | 11/10/25 | | | | 8.281 | | | | 811,856 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 3,328,114 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Restaurants (0.1%) | | | | | | | | | | | | | | |
| 15 | | | Golden Nugget, Inc., LIBOR 3M + 12.000%(5),(10) | | (NR, NR) | | | 10/04/23 | | | | 13.000 | | | | 16,535 | |
| 200 | | | Tacala LLC, LIBOR 1M + 7.500%(10) | | (CCC, Caa2) | | | 02/04/28 | | | | 8.250 | | | | 200,075 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 216,610 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Software - Services (3.1%) | | | | | | | | | | | | | | |
| 1,212 | | | Aston FinCo Sarl, LIBOR 1M + 4.250%(10) | | (B-, B2) | | | 10/09/26 | | | | 4.332 | | | | 1,208,361 | |
| 1,750 | | | Epicor Software Corp., LIBOR 1M + 7.750%(10) | | (CCC, Caa2) | | | 07/31/28 | | | | 8.750 | | | | 1,802,937 | |
| 469 | | | Finastra U.S.A., Inc., LIBOR 6M + 3.500%(10) | | (CCC+, B2) | | | 06/13/24 | | | | 4.500 | | | | 466,139 | |
| 1,721 | | | Finastra U.S.A., Inc., LIBOR 6M + 7.250%(10) | | (CCC-, Caa2) | | | 06/13/25 | | | | 8.250 | | | | 1,734,347 | |
| 479 | | | Project Leopard Holdings, Inc., LIBOR 3M + 4.750%(10) | | (B, B2) | | | 07/07/24 | | | | 5.750 | | | | 481,720 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 5,693,504 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Support - Services (1.7%) | | | | | | | | | | | | | | |
| 2,315 | | | Change Healthcare Holdings LLC(11) | | (B+, B1) | | | 03/01/24 | | | | 0.000 | | | | 2,315,016 | |
| 164 | | | Nuvei Technologies Corp., LIBOR 3M + 2.500%(10) | | (B+, Ba3) | | | 10/30/25 | | | | 3.000 | | | | 164,560 | |
| 650 | | | USS Ultimate Holdings, Inc., LIBOR 1M + 7.750%(6),(10) | | (CCC, Caa1) | | | 08/25/25 | | | | 8.750 | | | | 653,250 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 3,132,826 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Telecom - Wireline Integrated & Services (0.5%) | | | | | | | | | | | | | | |
| 875 | | | TVC Albany, Inc., LIBOR 1M + 7.500%(5),(6),(10) | | (CCC, Caa2) | | | 07/23/26 | | | | 7.580 | | | | 850,937 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Theaters & Entertainment (2.1%) | | | | | | | | | | | | | | |
| 2,289 | | | Metro-Goldwyn-Mayer, Inc., LIBOR 1M + 4.500%(10) | | (CCC+, B3) | | | 07/03/26 | | | | 5.500 | | | | 2,296,815 | |
| 1,577 | | | William Morris Endeavor Entertainment LLC, LIBOR 1M + 2.750%(10) | | (B, B3) | | | 05/18/25 | | | | 2.840 | | | | 1,549,283 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 3,846,098 | |
| | | | | | | | | | | | | | | | | | |
| TOTAL BANK LOANS (Cost $61,724,072) | | | | | | | | | | | | | 61,452,135 | |
| | | | | | | | | | | | | | | | | | |
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2021 (unaudited)
| | | | | | | | | | | | | | | | | | |
Par (000) | | | | | Ratings† (S&P/Moody’s) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | | | | | |
| ASSET BACKED SECURITIES (6.9%) | |
| Collateralized Debt Obligations (6.9%) | |
| $ 650 | | | Anchorage Capital CLO 15 Ltd., 2020-15A, Rule 144A, LIBOR 3M + 7.400% (1),(10) | | (NR, Ba3) | | | 07/20/34 | | | | 7.534 | | | $ | 649,841 | |
| 500 | | | Anchorage Credit Funding Ltd., 2016-4A, Rule 144A (1) | | (NR, Ba3) | | | 04/27/39 | | | | 6.659 | | | | 477,501 | |
| 1,000 | | | Anchorage Credit Opportunities CLO 1 Ltd., 2019-1A, Rule 144A, LIBOR 3M + 7.550% (1),(10) | | (BB-, NR) | | | 01/20/32 | | | | 7.684 | | | | 995,594 | |
| 750 | | | Battalion CLO 18 Ltd., 2020-18A, Rule 144A, LIBOR 3M + 7.940% (1),(10) | | (BB-, NR) | | | 10/15/32 | | | | 8.066 | | | | 750,332 | |
| 1,000 | | | Battalion CLO VII Ltd., 2014-7A, Rule 144A, LIBOR 3M + 6.310% (1),(10) | | (NR, Ba2) | | | 07/17/28 | | | | 6.444 | | | | 1,000,073 | |
| 1,000 | | | Battalion CLO XIV Ltd., 2019-14A, Rule 144A, LIBOR 3M + 3.950% (1),(10) | | (NR, Baa3) | | | 04/20/32 | | | | 4.084 | | | | 1,001,100 | |
| 1,000 | | | Battalion CLO XV Ltd., 2020-15A, Rule 144A, LIBOR 3M + 6.350% (1),(10) | | (BB-, NR) | | | 01/17/33 | | | | 6.484 | | | | 1,000,698 | |
| 1,000 | | | Cedar Funding VI CLO Ltd., 2016-6A, Rule 144A, LIBOR 3M + 6.720% (1),(10) | | (BB-, NR) | | | 04/20/34 | | | | 6.854 | | | | 983,988 | |
| 1,000 | | | KKR CLO Ltd., 16, Rule 144A, LIBOR 3M + 6.750% (1),(10) | | (NR, Ba3) | | | 01/20/29 | | | | 6.884 | | | | 1,000,005 | |
| 1,000 | | | KKR CLO Ltd., Rule 144A, LIBOR 3M + 7.110% (1),(10) | | (BB-, NR) | | | 10/20/34 | | | | 7.242 | | | | 988,539 | |
| 1,000 | | | Oaktree CLO Ltd., 2019-4A, Rule 144A, LIBOR 3M + 7.230% (1),(10) | | (BB-, NR) | | | 10/20/32 | | | | 7.364 | | | | 1,000,592 | |
| 750 | | | Octagon Investment Partners 48 Ltd., 2020-3A, Rule 144A, LIBOR 3M + 7.660% (1),(10) | | (BB-, NR) | | | 10/20/31 | | | | 7.794 | | | | 750,522 | |
| 1,000 | | | Palmer Square Credit Funding Ltd., 2019-1A, Rule 144A (1) | | (NR, Baa2) | | | 04/20/37 | | | | 5.459 | | | | 997,093 | |
| 1,000 | | | Venture 41 CLO Ltd., 2021-41A, Rule 144A, LIBOR 3M + 7.710% (1),(10) | | (BB-, NR) | | | 01/20/34 | | | | 7.844 | | | | 998,460 | |
| | | | | | | | | | | | | | | | | | |
| TOTAL ASSET BACKED SECURITIES (Cost $12,481,141) | | | | 12,594,338 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
Number of Shares | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| COMMON STOCKS (0.7%) | |
| Auto Parts & Equipment (0.1%) | | | | | | | | | | | | | | |
| 18,270 | | | Jason Group, Inc.(12) | | | | | | | | | | | | | 191,838 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Building & Construction (0.0%) | | | | | | | | | | | | | | |
| 5 | | | White Forest Resources, Inc.(4),(5),(12) | | | | | | | | | | | | | — | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Chemicals (0.2%) | | | | | | | | | | | | | | |
| 2,794 | | | Project Investor Holdings LLC(4),(5),(6),(12) | | | | | | | | | | | | | 28 | |
| 46,574 | | | Proppants Holdings LLC(4),(5),(6),(12) | | | | | | | | | | | | | 466 | |
| 10,028 | | | UTEX Industries, Inc.(12) | | | | | | | | | | | | | 461,288 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 461,782 | |
| | | | | | | | | | | | | | | | | | |
| Oil Field Equipment & Services (0.0%) | | | | | | | | | | | | | | |
| 2,820 | | | Pioneer Energy Services Corp.(4),(5),(12) | | | | | | | | | | | | | 44,556 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Pharmaceuticals (0.3%) | | | | | | | | | | | | | | |
| 45,583 | | | Akorn Holding Company LLC(12) | | | | | | | | | | | | | 505,196 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Support - Services (0.1%) | | | | | | | | | | | | | | |
| 800 | | | LTR Holdings LLC(4),(5),(6),(12) | | | | | | | | | | | | | 104,408 | |
| 433 | | | Sprint Industrial Holdings LLC, Class G(4),(5),(6),(12) | | | | | | | | | | | | | — | |
| 39 | | | Sprint Industrial Holdings LLC, Class H(4),(5),(6),(12) | | | | | | | | | | | | | — | |
| 96 | | | Sprint Industrial Holdings LLC, Class I(4),(5),(6),(12) | | | | | | | | | | | | | 1 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 104,409 | |
| | | | | | | | | | | | | | | | | | |
| TOTAL COMMON STOCKS (Cost $2,267,834) | | | | | | | | | | | 1,307,781 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| WARRANT (0.0%) | | | | | | | | | | | | | | |
| Chemicals (0.0%) | | | | | | | | | | | | | | |
| 11,643 | | | Project Investor Holdings LLC, expires 02/20/2022(4),(5),(6),(12) (Cost $6,054) | | | | | | | | | | | | | — | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| SHORT-TERM INVESTMENTS (12.5%) | | | | | | | | | | | | | | |
| 18,335,300 | | | State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.03% | | | | | | | | | | | | | 18,335,300 | |
| 4,283,353 | | | State Street Navigator Securities Lending Government Money Market Portfolio, 0.03%(13) | | | | | | | | | | | | | 4,283,353 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $22,618,653) | | | | | | | | | | | 22,618,653 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| TOTAL INVESTMENTS AT VALUE (138.8%) (Cost $252,852,605) | | | | | | | | | | | 252,377,418 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| LIABILITIES IN EXCESS OF OTHER ASSETS (-38.8%) | | | | | | | | | | | (70,597,504 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| NET ASSETS (100.0%) | | | | | | | | | | | | $ | 181,779,914 | |
| | | | | | | | | | | | | | | | | | |
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2021 (unaudited)
INVESTMENT ABBREVIATIONS
1M = 1 Month
2M = 2 Month
3M = 3 Month
6M = 6 Month
12M = 12 Month
LIBOR = London Interbank Offered Rate
NR = Not Rated
Sarl - société à responsabilité limitée
† | 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 September 30, 2021, these securities amounted to a value of $152,405,341 or 83.8% of net assets. |
(2) | This security is denominated in British Pound. |
(3) | Bond is currently in default. |
(4) | Not readily marketable security; security is valued at fair value as determined in good faith by, or under the direction of, the Board of Directors. |
(5) | Security is valued using significant unobservable inputs. |
(6) | Illiquid security (unaudited). |
(7) | Security or portion thereof is out on loan. |
(8) | PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal. |
(9) | Convertible security. |
(10) | Variable rate obligation - The interest rate shown is the rate in effect as of September 30, 2021. 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 September 30, 2021. |
(12) | Non-income producing security. |
(13) | Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at September 30, 2021. |
Currency Abbreviations:
EUR = Euro
GBP = British Pound
USD = United States Dollar
Forward Foreign Currency Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Currency to be Purchased (Local) | | | Forward Currency to be Sold (Local) | | | Expiration Date | | Counterparty | | Value on Settlement Date | | | Current Value/Notional | | | Net Unrealized Appreciation (Depreciation) | |
GBP | | | 13,000 | | | USD | | | 16,854 | | | 10/13/21 | | Barclays Bank PLC | | $ | 16,854 | | | $ | 17,529 | | | $ | 675 | |
USD | | | 42,355 | | | EUR | | | 35,385 | | | 10/13/21 | | Deutsche Bank AG | | | (42,355 | ) | | | (41,016 | ) | | | 1,339 | |
USD | | | 1,021,318 | | | EUR | | | 861,962 | | | 10/13/21 | | Morgan Stanley | | | (1,021,318 | ) | | | (999,132 | ) | | | 22,186 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 24,200 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Currency to be Purchased (Local) | | | Forward Currency to be Sold (Local) | | | Expiration Date | | Counterparty | | Value on Settlement Date | | | Current Value/ Notional | | | Net Unrealized Appreciation (Depreciation) | |
EUR | | | 897,347 | | | USD | | | 1,061,356 | | | 10/13/21 | | Deutsche Bank AG | | $ | 1,061,356 | | | $ | 1,040,148 | | | $ | (21,208 | ) |
USD | | | 703,122 | | | GBP | | | 543,172 | | | 10/13/21 | | Deutsche Bank AG | | | (703,122 | ) | | | (732,391 | ) | | | (29,269 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (50,477 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (26,277 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
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 which, pursuant to the policies adopted by the Board, is 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. The Fund may utilize a service provided by an independent third party which has been approved by the Board to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more brokers/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, these securities will be fair valued in good faith by the Pricing Committee, in accordance with procedures adopted by the Board.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
Generally accepted accounting principles in the United States of America (“GAAP”) established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at each measurement date. These inputs are summarized in the three broad levels listed below:
| | | Level 1–quoted prices in active markets for identical investments |
| | | Level 2–other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| | | Level 3–significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of September 30, 2021 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 | | $ | — | | | $ | 154,064,582 | | | $ | 339,929 | | | $ | 154,404,511 | |
Bank Loans | | | — | | | | 48,060,067 | | | | 13,392,068 | | | | 61,452,135 | |
Asset Backed Securities | | | — | | | | 12,594,338 | | | | — | | | | 12,594,338 | |
Common Stocks | | | — | | | | 1,158,322 | | | | 149,459 | | | | 1,307,781 | |
Warrants | | | — | | | | — | | | | 0 | (1) | | | 0 | (1) |
Short-term Investments | | | 18,335,300 | | | | 4,283,353 | | | | — | | | | 22,618,653 | |
| | | | | | | | | | | | | | | | |
| | $ | 18,335,300 | | | $ | 220,160,662 | | | $ | 13,881,456 | | | $ | 252,377,418 | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments* | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 24,200 | | | $ | — | | | $ | 24,200 | |
| | | | | | | | | | | | | | | | |
Liabilities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Other Financial Instruments* | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 50,477 | | | $ | — | | | $ | 50,477 | |
* Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts.
(1) Includes zero valued securities.
The following is a reconciliation of investments as of September 30, 2021 for which significant unobservable inputs were used in determining fair value.
| | | | | | | | | | | | | | | | | | | | |
| | Corporate Bonds | | | Bank Loans | | | Common Stocks | | | Warrants | | | Total | |
Balance as of December 31, 2020 | | $ | 117,591 | | | $ | 11,862,301 | | | $ | 526,478 | | | $ | 0 | (1) | | $ | 12,506,370 | |
Accrued discounts (premiums) | | | — | | | | (43,229 | ) | | | — | | | | — | | | | (43,229 | ) |
Purchases | | | 6,471 | | | | 7,338,207 | | | | — | | | | — | | | | 7,344,678 | |
Sales | | | — | | | | (6,350,510 | ) | | | (416,732 | ) | | | — | | | | (6,767,242 | ) |
Realized gain (loss) | | | — | | | | 3,603 | | | | 349,011 | | | | — | | | | 352,614 | |
Change in unrealized appreciation (depreciation) | | | 204,055 | | | | 276,761 | | | | (309,298 | ) | | | — | | | | 171,518 | |
Transfers into Level 3 | | | 11,812 | | | | 3,949,520 | | | | — | | | | — | | | | 3,961,332 | |
Transfers out of Level 3 | | | — | | | | (3,644,585 | ) | | | — | | | | — | | | | (3,644,585 | ) |
| | | | | | | | | | | | | | | | | | | | |
Balance as of September 30, 2021 | | $ | 339,929 | | | $ | 13,392,068 | | | $ | 149,459 | | | $ | 0 | (1) | | $ | 13,881,456 | |
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Net change in unrealized appreciation (depreciation) from investments still held as of September 30, 2021 | | $ | 204,055 | | | $ | 161,438 | | | $ | (28,263 | ) | | | — | | | $ | 337,230 | |
(1) Includes zero valued securities.
Quantitative Disclosure About Significant Unobservable Inputs
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Asset Class | | Fair Value At 09/30/2021 | | | Valuation Technique | | Unobservable Input | | Range (Weighted Average)* |
Bank Loans | | $ | 13,392,068 | | | Vendor pricing | | Single Broker Quote | | $0.58 – $1.09 ($0.98) |
Common Stocks | | $ | 45,051 | | | Income Approach | | Expected Remaining Distribution | | $0.00 – $15.80 ($15.63) |
| | $ | 104,408 | | | Market Approach | | EBITDA Multiples | | 7.6 (N/A) |
Corporate Bonds | | $ | 328,116 | | | Income Approach | | Expected Remaining Distribution | | $0.01 – $1.22 ($1.21) |
| | $ | 11,813 | | | Vendor pricing | | Single Broker Quote | | $0.01 (N/A) |
Warrants | | $ | 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.
During the period ended September 30, 2021, $3,961,332 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $3,644,585 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.
Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Fund’s website at www.credit-suisse.com/us/funds, as well as on the website of the Securities and Exchange Commission at www.sec.gov.