N-CSRS 1 d37482dncsrs.htm CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. Credit Suisse Asset Management Income Fund, Inc.

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-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, 2021 to June 30, 2021

 

 

 


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

Jeffrey E. Garten

Mahendra R. Gupta

John G. Popp

 

 

Officers

John G. Popp

Chief Executive Officer and President

Thomas J. Flannery

Chief Investment Officer

Emidio Morizio

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 Lincoln Street

Boston, MA 02111

 

 

Shareholder Servicing Agent

Computershare Trust Company, N.A.

P.O. Box 30170

College Station, TX 77842-3170

 

 

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, 2021

(Unaudited)

 

 


Credit Suisse Asset Management Income Fund, Inc.

Semiannual Investment Adviser’s Report

June 30, 2021 (unaudited)

 

 

June 30, 2021

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, 2021.

Performance Summary

01/01/21 – 6/30/21

 

Fund & Benchmark    Performance  

Total Return (based on NAV)1

     6.80

Total Return (based on market value)1

     16.29

ICE BofA US High Yield Constrained Index2

     3.70

Market Review: A strong reopening, but just the first of many tests

The semiannual period ended June 30, 2021, was a positive one for the high yield asset class, as the rollout of vaccinations against COVID-19 paved the way for a broader economic reopening. The ICE BofA US High Yield Constrained Index, the Fund’s benchmark, returned 3.70% for the period. The first quarter of 2021 saw significant widening in longer-term U.S. treasury yields, which pressured BB-rated high yield bonds. However, at the same time, market participants grew increasingly more confident in the outlook for riskier assets, especially CCC-rated high yield bonds, causing overall credit spreads to tighten meaningfully.

The second quarter of 2021 saw a similarly strong environment for lower-rated assets, but BB-rated high yield bonds were also back in vogue as longer-term U.S. treasury yields settled below their peaks and strong fundamentals were apparent in corporate earnings. The 10-year U.S. treasury rate widened by 55 basis points over the semiannual period, contributing to outflows from the asset class. The outflows, however, were not meaningful enough to slow the momentum in asset prices driven by favorable business conditions. Overall, yields within the high yield asset class declined and ended the period at 3.78%—45 basis points tighter than on December 31, 2020. And spread tightening was more extreme (due to widening of treasury yields), ending the period at +314 basis points versus +390 basis points as of December 31, 2020.

For the period, CCC-rated bonds strongly outperformed the benchmark, returning 8.09%. Conversely, B-rated and BB-rated bonds underperformed, though they still delivered firmly positive returns of 3.32% and 2.65%, respectively.

From an industry perspective, theaters & entertainment, oil field equipment & services, and energy—exploration & production were the best performing sectors, returning 29.76%, 25.73% and 11.83%, respectively. In contrast, the worst performing sectors included pharmaceuticals, electric-integrated and electric-generation, losing 1.30% and 1.02% and gaining 0.17%, respectively.

Default rates have declined significantly in 2021 after a major wave of restructurings, reorganizations and distressed situations in 2020. According to JP Morgan, default activity, including distressed exchanges, ended the period at 1.87%—down 489 basis points over the six-month period. We expect default activity to remain muted, as business fundamentals improve and healthy conditions in the capital markets continue.

After a very strong period of inflows in 2020—with high yield U.S. mutual funds bringing in $44.9 billion—flows turned negative in 2021. Year-to-date outflows totaled $13.8 billion as of June 30, 2021.

Year-to-date, new high yield issuance totaled $299.1 billion, up approximately 37% year-over-year. Year-to-date “net” new issuance, excluding refinancing activity, was $100.3 billion—up only 6.5% versus the first half of 2020, which saw a significant number of new transactions from borrowers seeking to raise capital for liquidity reserves during the early months of the pandemic.

 

1


Credit Suisse Asset Management Income Fund, Inc.

Semiannual Investment Adviser’s Report (continued)

June 30, 2021 (unaudited)

 

 

Strategic Review and Outlook: Looking forward with optimism and caution

For the six-month period ended June 30, 2021, the Fund outperformed the benchmark on both an NAV and Market Price basis. Positive security selection in the loan and high yield asset classes contributed positively to performance. From a sector perspective, positions within the leisure, real estate and media sectors contributed most significantly to positive relative returns. And from a rating perspective, allocations within CCC-rated positions contributed to outperformance.

Looking forward, we expect the backdrop for the high yield asset class to remain favorable, as fundamentals have continued to improve so far in 2021. We anticipate seeing strength in revenues, but realize labor and raw material inflation will pressure margins. Additionally, we believe the overall default rate will continue to decline but may also experience some weakness in energy prices—which could reverse some of the recent gains in the Index. From a technical standpoint, we believe we could see some volatility if inflationary pressures move rates higher, but a sharp sell-off would likely provide an excellent buying opportunity.

We are currently underweight energy and short on duration versus the Index, positioning us to capitalize on a sell-off driven by energy prices or rate increases.

 

 

LOGO    LOGO

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, 2021; 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 dividends of $0.135 per share.

2 

The ICE BofA US High Yield Constrained Index (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. Mr. Flannery holds a B.S. in Finance from Georgetown University.

**

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 Credit Suisse Asset Management Income Fund, Inc. 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, 2021 (unaudited)

 

 

Credit Quality Breakdown*

(% of Total Investments as of June 30, 2021)

 

S&P Ratings**

 

BBB

     0.7

BB

     24.4  

B

     40.1  

CCC

     28.7  

CC

     0.1  

C

     0.1  

NR

     5.3  
  

 

 

 

Subtotal

     99.4  

Equity and Other

     0.6  
  

 

 

 

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.

Average Annual Returns

June 30, 2021 (unaudited)

 

 

       1 Year        3 Years        5 Years        10 Years  

Net Asset Value (NAV)

       24.10%          9.77%          10.63%          8.04%  

Market Value

       41.44%          13.25%          13.01%          7.87%  

Credit Suisse may waive fees and/or reimburse expenses, without which performance would be lower. Waivers and/or reimbursements are subject to change and may be discontinued at any time. Returns represent past performance. Total investment return at net asset value is based on the change in the net asset value of Fund shares and assumes reinvestment of dividends and distributions, if any, at actual 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 stock exchange during the period and assumes reinvestment of dividends and 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. 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 1.03%.

 

3


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments

June 30, 2021 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (85.3%)

 
 

Advertising (0.2%)

 
$ 251    

TripAdvisor, Inc., Rule 144A, Company Guaranteed Notes
(Callable 07/15/22 @ 103.50)(1)

   (BB-, B1)      07/15/25        7.000      $ 270,578  
             

 

 

 
 

Aerospace and Defense (1.3%)

           
  250    

KBR, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/30/23 @ 102.38)(1)

   (B+, B1)      09/30/28        4.750        250,438  
  800    

TransDigm, Inc., Global Company Guaranteed Notes (Callable 03/15/22 @ 103.75)

   (B-, B3)      03/15/27        7.500        852,080  
  1,250    

TransDigm, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/22 @ 103.13)(1)

   (B+, Ba3)      03/15/26        6.250        1,320,312  
             

 

 

 
                2,422,830  
             

 

 

 
 

Air Transportation (0.4%)

 
  685    

Mileage Plus Intellectual Property Assets, Ltd. Rule 144A, Senior Secured Notes
(Callable 06/30/23 @ 103.25)(1)

   (NR, Baa3)      06/20/27        6.500        755,041  
             

 

 

 
 

Auto Parts & Equipment (2.6%)

           
  200    

Adient U.S. LLC, Rule 144A, Senior Secured Notes (Callable 04/15/22 @ 104.50)(1)

   (BB-, Ba3)      04/15/25        9.000        220,796  
  385    

BorgWarner, Inc., Rule 144A, Senior Unsecured Notes(1)

   (BBB, Baa1)      10/01/25        5.000        442,329  
  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        2,521,249  
  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        1,228,208  
  250    

Tenneco, Inc., Rule 144A, Senior Secured Notes (Callable 01/15/24 @ 103.94)(1)

   (B+, Ba3)      01/15/29        7.875        283,041  
             

 

 

 
                4,695,623  
             

 

 

 
 

Automakers (0.6%)

 
  400    

Ford Motor Co., Global Senior Unsecured Notes

   (BB+, Ba2)      04/21/23        8.500        446,880  
  675    

Winnebago Industries, Inc., Rule 144A, Senior Secured Notes
(Callable 07/15/23 @ 103.13)(1)

   (BB+, B1)      07/15/28        6.250        728,798  
             

 

 

 
                1,175,678  
             

 

 

 
 

Brokerage (0.6%)

 
  1,098    

StoneX Group, Inc., Rule 144A, Senior Secured Notes (Callable 06/15/22 @ 104.31)(1)

   (BB-, Ba3)      06/15/25        8.625        1,176,095  
             

 

 

 
 

Building & Construction (0.9%)

           
  400    

Adams Homes, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/15/22 @ 103.75)(1)

   (B+, B3)      02/15/25        7.500        419,250  
  200    

Dycom Industries, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/15/24 @ 102.25)(1)

   (BB, Ba3)      04/15/29        4.500        201,991  
  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        1,109,126  
             

 

 

 
                1,730,367  
             

 

 

 
 

Building Materials (3.7%)

 
  1,065    

Foundation Building Materials, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/01/24 @ 103.00)(1)

   (CCC+, Caa1)      03/01/29        6.000        1,053,157  
  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        1,753,125  

 

See Accompanying Notes to Financial Statements.

 

4


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2021 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

 
 

Building Materials

 
$ 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      $ 1,169,250  
  200    

Park River Holdings, Inc., Rule 144A, Senior Unsecured Notes
(Callable 08/01/24 @ 103.38)(1)

   (CCC, Caa1)      08/01/29        6.750        202,915  
  400    

PGT Innovations, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/01/21 @ 105.06)(1)

   (B+, B2)      08/01/26        6.750        423,344  
  200    

Summit Materials Finance Corp. Rule 144A, Company Guaranteed Notes
(Callable 07/15/23 @ 102.63)(1)

   (BB, B1)      01/15/29        5.250        212,768  
  500    

WESCO Distribution, Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/15/22 @ 103.56)(1)

   (BB-, B1)      06/15/25        7.125        540,975  
  500    

WESCO Distribution, Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/15/23 @ 103.63)(1)

   (BB-, B1)      06/15/28        7.250        557,593  
  750    

White Cap Buyer LLC, Rule 144A, Senior Unsecured Notes
(Callable 10/15/23 @ 103.44)(1)

   (CCC+, Caa1)      10/15/28        6.875        803,726  
             

 

 

 
                6,716,853  
             

 

 

 
 

Cable & Satellite TV (3.7%)

 
  685    

CSC Holdings LLC, Global Senior Unsecured Notes

   (B+, B3)      06/01/24        5.250        744,047  
  50    

CSC Holdings LLC, Rule 144A, Company Guaranteed Notes
(Callable 04/15/22 @ 102.75)(1)

   (BB, Ba3)      04/15/27        5.500        52,632  
  850    

CSC Holdings LLC, Rule 144A, Company Guaranteed Notes
(Callable 02/01/23 @ 102.69)(1)

   (BB, Ba3)      02/01/28        5.375        900,006  
  1,023    

Midcontinent Finance Corp., Rule 144A, Company Guaranteed Notes
(Callable 08/15/22 @ 102.69)(1)

   (B+, B3)      08/15/27        5.375        1,077,720  
  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        1,475,250  
  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        602,130  
  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        718,972  
  1,077    

Ziggo B.V., Rule 144A, Senior Secured Notes (Callable 01/15/22 @ 102.75)(1)

   (B+, B1)      01/15/27        5.500        1,121,480  
             

 

 

 
                6,692,237  
             

 

 

 
 

Chemicals (3.4%)

 
  200    

Avient Corp., Rule 144A, Senior Unsecured Notes (Callable 05/15/22 @ 102.88)(1)

   (BB-, Ba3)      05/15/25        5.750        211,638  
  500    

GCP Applied Technologies, Inc., Rule 144A, Company Guaranteed Notes
(Callable 07/16/21 @ 102.75)(1)

   (BB, B1)      04/15/26        5.500        514,900  
  800    

Herens Holdco Sarl, Rule 144A, Senior Secured Notes (Callable 05/15/24 @ 102.38)(1)

   (B, B2)      05/15/28        4.750        797,000  
  1,440    

Ingevity Corp., Rule 144A, Company Guaranteed Notes (Callable 08/02/21 @ 102.25)(1)

   (NR, Ba3)      02/01/26        4.500        1,470,038  
  800    

Nouryon Holding B.V., Rule 144A, Senior Unsecured Notes
(Callable 10/01/21 @ 103.25)(1),(3)

   (B-, Caa1)      10/01/26        6.500        994,426  
  276    

Reichhold Industries, Inc., Rule 144A, Senior Secured Notes (1),(4),(5),(6),(7)

   (NR, NR)      05/01/18        9.000        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        1,003,270  
  400    

Trinseo Materials Finance, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/01/24 @ 102.56)(1)

   (B-, B2)      04/01/29        5.125        409,574  

 

See Accompanying Notes to Financial Statements.

 

5


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2021 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

 
 

Chemicals

 
$ 800    

Tronox, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/15/24 @ 102.31)(1)

   (B, B3)      03/15/29        4.625      $ 809,992  
             

 

 

 
                6,214,568  
             

 

 

 
 

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        1,994,928  
             

 

 

 
 

Diversified Capital Goods (1.2%)

           
  325    

Core & Main LP, Rule 144A, Senior Unsecured Notes (Callable 08/02/21 @ 103.06)(1)

   (CCC+, Caa1)      08/15/25        6.125        332,647  
  800    

GrafTech Finance, Inc., Rule 144A, Senior Secured Notes
(Callable 12/15/23 @ 102.31)(1)

   (BB, Ba3)      12/15/28        4.625        823,756  
  1,000    

Stevens Holding Co., Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/01/23 @ 101.53)(1)

   (B+, B2)      10/01/26        6.125        1,075,960  
             

 

 

 
                2,232,363  
             

 

 

 
 

Electronics (1.2%)

 
  1,085    

Sensata Technologies B.V., Rule 144A, Company Guaranteed Notes (1)

   (BB+, Ba3)      10/01/25        5.000        1,210,350  
  235    

Sensata Technologies B.V., Rule 144A, Company Guaranteed Notes
(Callable 04/15/24 @ 102.00)(1)

   (BB+, Ba3)      04/15/29        4.000        238,838  
  800    

Synaptics, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/24 @ 102.00)(1)

   (BB-, Ba3)      06/15/29        4.000        805,000  
             

 

 

 
                2,254,188  
             

 

 

 
 

Energy - Exploration & Production (1.7%)

 
  550    

CNX Resources Corp., Rule 144A, Company Guaranteed Notes
(Callable 03/14/22 @ 105.44)(1)

   (BB-, B1)      03/14/27        7.250        590,133  
  550    

CNX Resources Corp., Rule 144A, Company Guaranteed Notes
(Callable 01/15/24 @ 104.50)(1)

   (BB-, B1)      01/15/29        6.000        595,455  
  395    

Northern Oil & Gas, Inc., Rule 144A, Senior Unsecured Notes
(Callable 03/01/24 @ 104.06)(1)

   (B, Caa1)      03/01/28        8.125        426,134  
  1,500    

W&T Offshore, Inc., Rule 144A, Secured Notes (Callable 08/02/21 @ 104.88)(1)

   (B, Caa2)      11/01/23        9.750        1,456,875  
             

 

 

 
                3,068,597  
             

 

 

 
 

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        450,917  
  200    

Stericycle, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/15/23 @ 101.94)(1)

   (BB-, NR)      01/15/29        3.875        200,303  
             

 

 

 
                651,220  
             

 

 

 
 

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        612,777  
             

 

 

 
 

Gaming (3.6%)

           
  325    

Boyd Gaming Corp., Rule 144A, Senior Unsecured Notes
(Callable 06/15/26 @ 102.38)(1)

   (B, Caa1)      06/15/31        4.750        338,091  
  1,665    

Churchill Downs, Inc., Rule 144A, Company Guaranteed Notes
(Callable 01/15/23 @ 102.38)(1)

   (B+, B1)      01/15/28        4.750        1,725,115  

 

See Accompanying Notes to Financial Statements.

 

6


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2021 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

 
 

Gaming

           
$ 2,100    

Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes
(Callable 08/02/21 @ 101.69)(1)

   (CCC, Caa2)      10/15/24        6.750      $ 2,124,087  
  1,469    

Jacobs Entertainment, Inc., Rule 144A, Secured Notes (Callable 08/02/21 @ 103.94)(1)

   (B-, B3)      02/01/24        7.875        1,539,233  
  750    

MGP Finance Co-Issuer, Inc., Global Company Guaranteed Notes
(Callable 11/01/26 @ 100.00)

   (BB-, B1)      02/01/27        5.750        835,638  
             

 

 

 
                6,562,164  
             

 

 

 
 

Gas Distribution (3.3%)

 
  750    

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 08/02/21 @ 100.94)

   (B+, B1)      06/15/24        5.625        754,579  
  425    

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 08/02/21 @ 104.88)

   (B+, B1)      10/01/25        6.500        429,575  
  675    

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 08/02/21 @ 104.69)

   (B+, B1)      05/15/26        6.250        678,038  
  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        1,050,265  
  800    

New Fortress Energy, Inc., Rule 144A, Senior Secured Notes
(Callable 03/31/23 @ 103.25)(1)

   (NR, B1)      09/30/26        6.500        818,440  
  950    

NGL Energy Finance Corp., Rule 144A, Senior Secured Notes
(Callable 02/01/23 @ 103.75)(1)

   (BB-, B1)      02/01/26        7.500        998,687  
  200    

Rockies Express Pipeline LLC, Rule 144A, Senior Unsecured Notes
(Callable 04/15/29 @ 100.00)(1)

   (BB+, Ba2)      07/15/29        4.950        206,830  
  400    

Rockies Express Pipeline LLC, Rule 144A, Senior Unsecured Notes
(Callable 02/15/30 @ 100.00)(1)

   (BB+, Ba2)      05/15/30        4.800        402,380  
  200    

Suburban Energy Finance Corp., Rule 144A, Senior Unsecured Notes
(Callable 06/01/26 @ 102.50)(1)

   (BB-, B1)      06/01/31        5.000        205,000  
  500    

Tallgrass Energy Finance Corp., Rule 144A, Company Guaranteed Notes
(Callable 10/01/22 @ 105.63)(1)

   (BB-, B1)      10/01/25        7.500        549,160  
             

 

 

 
                6,092,954  
             

 

 

 
 

Health Facilities (0.8%)

 
  750    

HCA, Inc., Company Guaranteed Notes (Callable 03/01/28 @ 100.00)

   (BB-, Baa3)      09/01/28        5.625        889,688  
  500    

Surgery Center Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/15/22 @ 105.00)(1),(8)

   (CCC, Caa2)      04/15/27        10.000        550,510  
             

 

 

 
                1,440,198  
             

 

 

 
 

Health Services (1.0%)

 
  1,782    

Owens & Minor, Inc., Global Senior Secured Notes (Callable 09/15/24 @ 100.00)

   (B+, Ba2)      12/15/24        4.375        1,864,257  
             

 

 

 
 

Health Services (1.9%)

           
  450    

AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/15/24 @ 102.00)(1)

   (BB-, Ba3)      04/15/29        4.000        454,815  
  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        129,338  
  1,850    

Radiology Partners, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/01/23 @ 104.63)(1)

   (CCC, Caa3)      02/01/28        9.250        2,051,132  

 

See Accompanying Notes to Financial Statements.

 

7


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2021 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

 
 

Health Services

           
$ 235    

RP Escrow Issuer LLC, Rule 144A, Senior Secured Notes
(Callable 12/15/22 @ 102.63)(1)

   (B-, B3)      12/15/25        5.250      $ 246,047  
  500    

Service Corp., Global Senior Unsecured Notes (Callable 05/15/26 @ 102.00)

   (BB, Ba3)      05/15/31        4.000        510,995  
             

 

 

 
                3,392,327  
             

 

 

 
 

Insurance Brokerage (3.9%)

 
  2,000    

Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 08/02/21 @ 103.50)(1)

   (CCC+, Caa2)      11/15/25        7.000        2,047,170  
  1,000    

Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 08/01/22 @ 107.59)(1)

   (CCC+, Caa2)      08/01/26        10.125        1,129,530  
  700    

Alliant Holdings Co-Issuer, Rule 144A, Senior Secured Notes
(Callable 10/15/23 @ 102.13)(1)

   (B, B2)      10/15/27        4.250        711,515  
  293    

Alliant Holdings Co-Issuer, Rule 144A, Senior Unsecured Notes
(Callable 10/15/22 @ 103.38)(1)

   (CCC+, Caa2)      10/15/27        6.750        308,303  
  780    

GTCR AP Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 05/15/22 @ 104.00)(1)

   (CCC+, Caa2)      05/15/27        8.000        833,426  
  400    

NFP Corp., Rule 144A, Senior Secured Notes (Callable 08/15/23 @ 102.44)(1)

   (B, B1)      08/15/28        4.875        407,012  
  1,600    

NFP Corp., Rule 144A, Senior Unsecured Notes (Callable 08/15/23 @ 103.44)(1)

   (CCC+, Caa2)      08/15/28        6.875        1,689,168  
             

 

 

 
                7,126,124  
             

 

 

 
 

Investments & Misc. Financial Services (1.1%)

 
  785    

AG Issuer LLC, Rule 144A, Senior Secured Notes (Callable 03/01/23 @ 103.13)(1)

   (B-, B2)      03/01/28        6.250        829,992  
  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        1,252,500  
             

 

 

 
                2,082,492  
             

 

 

 
 

Machinery (2.7%)

 
  825    

Arcosa., Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.19)(1)

   (BB, Ba2)      04/15/29        4.375        841,087  
  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        1,027,195  
  100    

Granite U.S. Holdings Corp., Rule 144A, Company Guaranteed Notes
(Callable 10/01/22 @ 105.50)(1)

   (CCC+, Caa1)      10/01/27        11.000        111,887  
  470    

Harsco Corp., Rule 144A, Company Guaranteed Notes (Callable 07/31/22 @ 102.88)(1)

   (B+, B1)      07/31/27        5.750        495,634  
  400    

Hillenbrand, Inc., Global Company Guaranteed Notes (Callable 06/15/22 @ 102.88)

   (BB+, Ba1)      06/15/25        5.750        429,860  
  400    

Madison IAQ LLC, Rule 144A, Senior Unsecured Notes (Callable 06/30/24 @ 102.94)(1)

   (CCC+, Caa1)      06/30/29        5.875        407,500  
  200    

Mueller Water Products, Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/15/24 @ 102.00)(1)

   (BB, Ba1)      06/15/29        4.000        205,774  
  1,485    

Rexnord LLC, Rule 144A, Company Guaranteed Notes (Callable 08/02/21 @ 102.44)(1)

   (BB-, B1)      12/15/25        4.875        1,519,526  
             

 

 

 
                5,038,463  
             

 

 

 
 

Media - Diversified (0.4%)

 
  550    

National CineMedia LLC, Global Senior Unsecured Notes (Callable 08/15/21 @ 102.88)

   (CCC-, Caa3)      08/15/26        5.750        501,875  
  250    

National CineMedia LLC, Rule 144A, Senior Secured Notes
(Callable 04/15/23 @ 102.94)(1)

   (CCC+, B3)      04/15/28        5.875        245,990  
             

 

 

 
                747,865  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

8


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2021 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

 
 

Media Content (0.9%)

 
$ 980    

Diamond Sports Finance Co., Rule 144A, Company Guaranteed Notes
(Callable 08/15/22 @ 103.31)(1)

   (CCC-, Caa2)      08/15/27        6.625      $ 481,538  
  615    

Diamond Sports Finance Co., Rule 144A, Senior Secured Notes
(Callable 08/15/22 @ 102.69)(1)

   (CCC+, B2)      08/15/26        5.375        399,750  
  200    

Sirius XM Radio, Inc., Rule 144A, Company Guaranteed Notes
(Callable 07/15/24 @ 102.00)(1)

   (BB, Ba3)      07/15/28        4.000        206,462  
  587    

Sirius XM Radio, Inc., Rule 144A, Company Guaranteed Notes
(Callable 07/01/24 @ 102.75)(1)

   (BB, Ba3)      07/01/29        5.500        640,387  
             

 

 

 
                1,728,137  
             

 

 

 
 

Metals & Mining - Excluding Steel (1.6%)

 
  132    

Cleveland-Cliffs, Inc., Rule 144A, Senior Secured Notes (Callable 10/17/22 @ 107.41)(1)

   (BB-, Ba2)      10/17/25        9.875        154,870  
  200    

First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes
(Callable 07/12/21 @ 101.81)(1)

   (B, NR)      04/01/23        7.250        204,126  
  1,500    

First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes
(Callable 07/12/21 @ 105.16)(1)

   (B, NR)      03/01/26        6.875        1,573,125  
  110    

Novelis Corp., Rule 144A, Company Guaranteed Notes (Callable 01/30/25 @ 102.38)(1)

   (BB-, B1)      01/30/30        4.750        115,638  
  850    

Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 02/15/23 @ 103.50)(1)

   (B-, Caa1)      02/15/26        7.000        887,187  
             

 

 

 
                2,934,946  
             

 

 

 
 

Metals & Mining - Excluding Steel (0.1%)

 
  200    

Kaiser Aluminum Corp., Rule 144A, Company Guaranteed Notes
(Callable 06/01/26 @ 102.25)(1)

   (BB, B1)      06/01/31        4.500        205,584  
             

 

 

 
 

Oil Field Equipment & Services (0.1%)

           
  265    

Pioneer Energy Services Corp., PIK, Rule 144A, Senior Unsecured Notes (1),(5),(6),(9),(10)

   (NR, NR)      11/15/25        5.000        202,957  
             

 

 

 
 

Oil Refining & Marketing (0.6%)

           
  980    

ITT Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 08/01/24 @ 103.25)(1)

   (B, B2)      08/01/29        6.500        1,002,403  
             

 

 

 
 

Packaging (4.7%)

           
  290    

Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes
(Callable 07/12/21 @ 103.00)(1)

   (B-, Caa1)      02/15/25        6.000        299,925  
  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        397,750  
  133    

Crown Americas Capital Corp. VI, Global Company Guaranteed Notes
(Callable 08/02/21 @ 103.56)

   (BB-, Ba3)      02/01/26        4.750        138,190  
  2,000    

Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes
(Callable 08/02/21 @ 101.72)(1)

   (CCC+, Caa2)      01/15/25        6.875        2,037,550  
  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        417,062  
  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        1,148,413  
  1,710    

Plastipak Holdings, Inc., Rule 144A, Senior Unsecured Notes
(Callable 08/02/21 @ 103.13)(1)

   (B, B3)      10/15/25        6.250        1,754,332  
  1,980    

TriMas Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.06)(1)

   (BB-, Ba3)      04/15/29        4.125        2,009,463  

 

See Accompanying Notes to Financial Statements.

 

9


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2021 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

 
 

Packaging

           
$ 350    

Trivium Packaging Finance B.V., Rule 144A, Senior Secured Notes
(Callable 08/15/22 @ 102.75)(1)

   (B, B2)      08/15/26        5.500      $ 368,183  
             

 

 

 
                8,570,868  
             

 

 

 
 

Personal & Household Products (0.1%)

 
  1,350    

High Ridge Brands Co., Rule 144A, Senior Unsecured Notes
(Callable 08/16/21 @ 102.22)(1),(4),(5),(6)

   (NR, NR)      03/15/25        8.875        13,500  
  226    

Mattel, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/01/21 @ 105.06)(1)

   (BB, Ba2)      12/31/25        6.750        237,515  
             

 

 

 
                251,015  
             

 

 

 
 

Pharmaceuticals (3.5%)

 
  500    

Bausch Health Americas, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/01/22 @ 104.63)(1)

   (B, B3)      04/01/26        9.250        544,475  
  400    

Bausch Health Cos., Inc. Rule 144A, Senior Secured Notes
(Callable 06/01/24 @ 102.44)(1)

   (BB, Ba2)      06/01/28        4.875        409,000  
  250    

Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/15/21 @ 104.50)(1)

   (B, B3)      12/15/25        9.000        268,388  
  500    

Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/30/24 @ 103.63)(1)

   (B, B3)      05/30/29        7.250        512,353  
  700    

Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes
(Callable 01/30/25 @ 102.63)(1)

   (B, B3)      01/30/30        5.250        651,875  
  708    

Emergent BioSolutions, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/15/23 @ 101.94)(1)

   (BB-, Ba3)      08/15/28        3.875        694,555  
  650    

Endo Finance LLC, Rule 144A, Senior Secured Notes (Callable 08/02/21 @ 101.47)(1)

   (B, B2)      10/15/24        5.875        641,192  
  400    

Endo U.S., Inc. Rule 144A, Senior Secured Notes (Callable 04/01/24 @ 104.59)(1)

   (B, B2)      04/01/29        6.125        392,500  
  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        850,600  
  1,400    

Jazz Securities DAC, Rule 144A, Senior Secured Notes (Callable 07/15/24 @ 102.19)(1)

   (BB-, Ba2)      01/15/29        4.375        1,453,270  
             

 

 

 
                6,418,208  
             

 

 

 
 

Real Estate Development & Management (1.5%)

 
  718    

Newmark Group, Inc., Global Senior Unsecured Notes (Callable 10/15/23 @ 100.00)

   (BB+, NR)      11/15/23        6.125        791,091  
  1,782    

WeWork Cos., Inc., Rule 144A, Company Guaranteed Notes (1)

   (CCC+, NR)      05/01/25        7.875        1,864,418  
             

 

 

 
                2,655,509  
             

 

 

 
 

Real Estate Investment Trusts (3.1%)

 
  900    

ESH Hospitality, Inc., Rule 144A, Company Guaranteed Notes
(Callable 07/16/21 @ 101.75)(1)

   (BB-, NR)      05/01/25        5.250        917,865  
  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        1,062,099  
  1,400    

iStar, Inc., Global Senior Unsecured Notes (Callable 08/15/22 @ 102.75)

   (BB, Ba3)      02/15/26        5.500        1,470,385  
  200    

iStar, Inc., Senior Unsecured Notes (Callable 07/01/24 @ 100.00)

   (BB, Ba3)      10/01/24        4.750        210,760  
  565    

Starwood Property Trust, Inc., Global Senior Unsecured Notes
(Callable 09/15/21 @ 100.00)

   (B+, Ba3)      12/15/21        5.000        568,531  
  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        1,452,519  
             

 

 

 
                5,682,159  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

10


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2021 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

 
 

Recreation & Travel (5.7%)

 
$ 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      $ 413,846  
  1,035    

Canada’s Wonderland Co., Global Company Guaranteed Notes
(Callable 04/15/22 @ 102.69)

   (CCC, B3)      04/15/27        5.375        1,067,587  
  1,325    

Cedar Fair LP, Global Company Guaranteed Notes (Callable 07/15/24 @ 102.63)

   (CCC, B3)      07/15/29        5.250        1,367,652  
  750    

Merlin Entertainments Ltd., Rule 144A, Secured Notes
(Callable 03/17/26 @ 100.00)(1)

   (CCC+, B2)      06/15/26        5.750        789,821  
  500    

Motion Bondco DAC, Rule 144A, Company Guaranteed Notes
(Callable 11/15/22 @ 103.31)(1)

   (CCC-, Caa2)      11/15/27        6.625        508,230  
  800    

Powdr Corp., Rule 144A, Senior Secured Notes (Callable 08/01/22 @ 103.00)(1)

   (B-, B1)      08/01/25        6.000        843,040  
  400    

SeaWorld Parks & Entertainment, Inc., Rule 144A, Senior Secured Notes
(Callable 05/01/22 @ 104.38)(1)

   (B-, B2)      05/01/25        8.750        435,006  
  1,150    

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 08/02/21 @ 101.22)(1)

   (CCC, B3)      07/31/24        4.875        1,155,750  
  650    

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 04/15/22 @ 102.75)(1),(8)

   (CCC, B3)      04/15/27        5.500        672,288  
  350    

Six Flags Theme Parks, Inc., Rule 144A, Senior Secured Notes
(Callable 07/01/22 @ 103.50)(1)

   (B, Ba2)      07/01/25        7.000        377,659  
  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        2,141,691  
  625    

Vail Resorts, Inc., 144A, Company Guaranteed Notes (Callable 05/15/22 @ 103.13)(1)

   (BB, B1)      05/15/25        6.250        670,788  
             

 

 

 
                10,443,358  
             

 

 

 
 

Software - Services (4.4%)

 
  1,875    

Austin BidCo, Inc., Rule 144A, Senior Unsecured Notes (Callable 12/15/23 @ 103.56)(1)

   (CCC+, Caa2)      12/15/28        7.125        1,925,081  
  400    

Booz Allen Hamilton, Inc., Rule 144A, Company Guaranteed Notes
(Callable 07/01/24 @ 102.00)(1)

   (BB-, Ba2)      07/01/29        4.000        409,500  
  610    

CDK Global, Inc., Global Senior Unsecured Notes (Callable 06/01/22 @ 102.44)

   (BB+, Ba1)      06/01/27        4.875        646,804  
  400    

Clarivate Science Holdings Corp., Rule 144A, Senior Unsecured Notes
(Callable 06/30/24 @ 102.44)(1)

   (CCC+, Caa1)      06/30/29        4.875        411,000  
  1,100    

Elastic NV, Rule 144A, Senior Unsecured Notes (Callable 07/15/24 @ 102.06)(1)

   (B+, B1)      07/15/29        4.125        1,104,125  
  600    

Endurance Digital, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/15/24 @ 103.00)(1)

   (CCC+, Caa2)      02/15/29        6.000        594,843  
  257    

GD Finance Co., Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/01/22 @ 102.63)(1)

   (BB-, Ba3)      12/01/27        5.250        270,220  
  1,000    

Granite Merger Sub 2, Inc., Rule 144A, Company Guaranteed Notes
(Callable 07/15/22 @ 108.25)(1)

   (CCC+, Caa1)      07/15/27        11.000        1,137,935  
  587    

Presidio Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/01/23 @ 104.13)(1)

   (CCC+, Caa1)      02/01/28        8.250        640,517  
  160    

Presidio Holdings, Inc., Rule 144A, Senior Secured Notes
(Callable 02/01/23 @ 102.44)(1)

   (B, B1)      02/01/27        4.875        164,922  
  750    

SS&C Technologies, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/30/22 @ 104.13)(1)

   (B+, B2)      09/30/27        5.500        796,594  
             

 

 

 
                8,101,541  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

11


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2021 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

 
 

Specialty Retail (2.5%)

 
$ 40    

Asbury Automotive Group, Inc., Global Company Guaranteed Notes
(Callable 03/01/23 @ 102.25)

   (BB, B1)      03/01/28        4.500      $ 41,180  
  491    

Asbury Automotive Group, Inc., Global Company Guaranteed Notes
(Callable 03/01/25 @ 102.38)

   (BB, B1)      03/01/30        4.750        513,954  
  950    

eG Global Finance PLC, Rule 144A, Senior Secured Notes
(Callable 10/30/21 @ 104.25)(1)

   (B-, B3)      10/30/25        8.500        1,008,040  
  1,000    

Lithia Motors, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/02/21 @ 102.63)(1)

   (BB+, Ba2)      08/01/25        5.250        1,032,395  
  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        198,018  
  1,650    

Ruyi U.S. Finance LLC, Rule 144A, Senior Secured Notes
(Callable 08/02/21 @ 105.63)(1)

   (NR, Caa1)      05/01/25        7.500        1,594,313  
  200    

Sally Capital, Inc., Rule 144A, Secured Notes (Callable 04/30/22 @ 104.38)(1)

   (BB+, Ba2)      04/30/25        8.750        219,250  
             

 

 

 
                4,607,150  
             

 

 

 
 

Steel Producers/Products (0.5%)

 
  950    

Atkore, Inc., Rule 144A, Senior Unsecured Notes (Callable 06/01/26 @ 102.13)(1)

   (BB-, Ba3)      06/01/31        4.250        963,381  
             

 

 

 
 

Support - Services (6.0%)

           
  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        1,116,621  
  400    

APi Group DE, Inc., Rule 144A, Company Guaranteed Notes
(Callable 07/15/24 @ 102.06)(1)

   (B, B1)      07/15/29        4.125        398,500  
  1,100    

Atlas Luxco 4 Sarl, Rule 144A, Senior Secured Notes (Callable 06/01/24 @ 102.31)(1)

   (B, B2)      06/01/28        4.625        1,104,256  
  1,600    

CoreLogic, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/24 @ 102.25)(1)

   (B, B1)      05/01/28        4.500        1,588,000  
  200    

CPI CG, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/23 @ 104.31)(1)

   (B-, B3)      03/15/26        8.625        213,054  
  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        1,902,436  
  1,600    

GYP Holdings III Corp., Rule 144A, Company Guaranteed Notes
(Callable 05/01/24 @ 102.31)(1)

   (B, B2)      05/01/29        4.625        1,610,656  
  388    

Korn Ferry, Rule 144A, Company Guaranteed Notes (Callable 12/15/22 @ 102.31)(1)

   (BB, Ba3)      12/15/27        4.625        403,627  
  400    

MajorDrive Holdings IV LLC, Rule 144A, Senior Unsecured Notes
(Callable 06/01/24 @ 103.19)(1)

   (CCC+, Caa2)      06/01/29        6.375        399,500  
  200    

Sabre Global, Inc., Rule 144A, Senior Secured Notes (Callable 03/16/25 @ 100.00)(1)

   (B, Ba3)      04/15/25        9.250        238,347  
  1,172    

Tempo Acquisition Finance Corp., Rule 144A, Senior Unsecured Notes
(Callable 07/02/21 @ 101.69)(1)

   (CCC+, Caa1)      06/01/25        6.750        1,191,783  
  253    

United Rentals North America, Inc., Company Guaranteed Notes
(Callable 01/15/23 @ 102.44)

   (BB, Ba2)      01/15/28        4.875        268,828  
  595    

Williams Scotsman International, Inc., Rule 144A, Senior Secured Notes
(Callable 08/15/23 @ 102.31)(1)

   (B+, B3)      08/15/28        4.625        615,647  
             

 

 

 
                11,051,255  
             

 

 

 
 

Tech Hardware & Equipment (1.4%)

 
  759    

CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes
(Callable 07/12/21 @ 102.00)(1)

   (CCC+, B3)      06/15/25        6.000        776,077  

 

See Accompanying Notes to Financial Statements.

 

12


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2021 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

 
 

Tech Hardware & Equipment

 
$ 525    

CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes
(Callable 03/15/22 @ 102.50)(1)

   (CCC+, B3)      03/15/27        5.000      $ 538,125  
  1,200    

Imola Merger Corp., Rule 144A, Senior Secured Notes (Callable 05/15/24 @ 102.38)(1)

   (BB-, B1)      05/15/29        4.750        1,236,000  
             

 

 

 
                2,550,202  
             

 

 

 
 

Telecom - Wireless (0.6%)

 
  950    

T-Mobile U.S.A., Inc., Company Guaranteed Notes (Callable 02/01/23 @ 102.38)

   (BB, Ba3)      02/01/28        4.750        1,018,875  
             

 

 

 
 

Telecom - Wireline Integrated & Services (2.6%)

           
  1,250    

Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 07/16/21 @ 103.75)(1)

   (B, B2)      05/15/26        7.500        1,303,187  
  374    

Altice France S.A., Rule 144A, Senior Secured Notes (Callable 07/12/21 @ 103.69)(1)

   (B, B2)      05/01/26        7.375        389,401  
  856    

Altice France S.A., Rule 144A, Senior Secured Notes (Callable 09/15/23 @ 102.56)(1)

   (B, B2)      01/15/29        5.125        862,001  
  2,651    

GTT Communications, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/02/21 @ 103.94)(1),(4)

   (C, NR)      12/31/24        7.875        249,565  
  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        1,431,305  
  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        206,968  
  400    

Zayo Group Holdings, Inc., Rule 144A, Senior Unsecured Notes
(Callable 03/01/23 @ 103.06)(1)

   (CCC+, Caa1)      03/01/28        6.125        409,056  
             

 

 

 
                4,851,483  
             

 

 

 
 

Theaters & Entertainment (2.2%)

 
  1,538    

AMC Entertainment Holdings, Inc.,10.00% Cash, 12.00% PIK, Rule 144A, Secured Notes (Callable 06/15/23 @ 106.00)(1),(9)

   (CCC-, Ca)      06/15/26        12.000        1,575,982  
  380    

Cinemark U.S.A., Inc., Rule 144A, Senior Secured Notes
(Callable 05/01/22 @ 104.38)(1)

   (BB-, Ba3)      05/01/25        8.750        416,860  
  1,025    

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/02/21 @ 102.44)(1)

   (B-, B3)      11/01/24        4.875        1,043,450  
  700    

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/02/21 @ 104.22)(1)

   (B-, B3)      03/15/26        5.625        730,366  
  325    

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/15/22 @ 103.56)(1)

   (B-, B3)      10/15/27        4.750        337,594  
             

 

 

 
                4,104,252  
             

 

 

 
 

Transport Infrastructure/Services (1.2%)

 
  2,110    

Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes
(Callable 08/02/21 @ 100.00)(1)

   (CCC, Caa2)      08/15/22        11.250        2,117,712  
             

 

 

 
 

TOTAL CORPORATE BONDS (Cost $153,891,496)

              156,471,782  
             

 

 

 
 

BANK LOANS (31.5%)

           
 

Aerospace & Defense (0.6%)

           
  1,050    

Amentum Government Services Holdings LLC, LIBOR 3M + 8.750%(6),(11)

   (NR, NR)      01/31/28        10.000        1,057,875  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

13


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2021 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

BANK LOANS (continued)

           
 

Auto Parts & Equipment (0.9%)

           
$ 730    

Dayco Products LLC, LIBOR 3M + 4.250%(11)

   (CCC+, Caa1)      05/19/23        4.385      $ 699,504  
  221    

Jason Group, Inc., LIBOR 3M + 1.000% Cash, 9.000% PIK(9),(11)

   (CCC-, Caa3)      03/02/26        11.000        217,410  
  324    

Jason Group, Inc., LIBOR 1M + 2.000% Cash, 4.000% PIK(9),(11)

   (B-, Caa1)      08/28/25        7.000        319,373  
  376    

U.S. Farathane LLC, LIBOR 3M + 4.250%(11)

   (B, B2)      12/23/24        5.250        373,697  
             

 

 

 
                1,609,984  
             

 

 

 
 

Building & Construction (0.4%)

           
  739    

TRC Companies, Inc., LIBOR 1M + 4.500%(6),(11)

   (B, B2)      06/21/24        5.250        740,832  
             

 

 

 
 

Building Materials (0.5%)

           
  1,000    

Airxcel, Inc., LIBOR 1M + 8.750%(11)

   (CCC+, Caa2)      04/27/26        8.854        987,500  
             

 

 

 
 

Chemicals (4.3%)

           
  1,474    

Ascend Performance Materials Operations LLC, LIBOR 3M + 4.750%(11)

   (BB-, B1)      08/27/26        5.500        1,497,262  
  1,619    

PMHC II, Inc., LIBOR 12M + 3.500%(11)

   (B-, Caa1)      03/31/25        4.500        1,609,983  
  1,452    

Polar U.S. Borrower LLC, LIBOR 1M + 4.750%, LIBOR 3M + 4.750%(6),(11)

   (B-, B3)      10/15/25        4.831–4.897        1,458,783  
  76    

UTEX Industries, Inc., LIBOR 3M + 7.000%(11)

   (NR, NR)      12/03/25        8.500        76,868  
  65    

UTEX Industries, Inc., LIBOR 1M + 5.250%(11)

   (NR, NR)      12/03/25        11.000        63,631  
  1,750    

Vantage Specialty Chemicals, Inc., LIBOR 3M + 8.250%(7),(11)

   (CCC-, Caa3)      10/27/25        9.250        1,698,323  
  1,507    

Zep, Inc., LIBOR 3M + 4.000%(11)

   (B-, B3)      08/12/24        5.000        1,490,099  
             

 

 

 
                7,894,949  
             

 

 

 
 

Diversified Capital Goods (1.0%)

           
  516    

Callaway Golf Co., LIBOR 1M + 4.500%(11)

   (B, B1)      01/02/26        4.591        519,398  
  690    

Electrical Components International, Inc.(6),(12)

   (B-, B2)      06/26/25        0.000        693,450  
  693    

GrafTech Finance, Inc., LIBOR 1M + 3.000%(11)

   (BB, Ba3)      02/12/25        3.500        694,443  
             

 

 

 
                1,907,291  
             

 

 

 
 

Electronics (3.5%)

           
  250    

Bright Bidco B.V., LIBOR 3M + 3.500%(11)

   (CCC, Caa3)      06/30/24        4.500        210,344  
  750    

CPI International, Inc., LIBOR 1M + 7.250%(6),(7),(11)

   (CCC, Caa2)      07/26/25        8.250        700,813  
  1,550    

EXC Holdings III Corp., LIBOR 3M + 7.500%(11)

   (CCC+, Caa2)      12/01/25        8.500        1,552,519  
  2,498    

GlobalLogic Holdings, Inc., LIBOR 1M + 2.750%(6),(11)

   (B, B2)      08/01/25        2.854        2,494,959  
  1,549    

Idemia Group, LIBOR 3M + 4.500%(11)

   (B-, B3)      01/09/26        5.250        1,545,900  
             

 

 

 
                6,504,535  
             

 

 

 
 

Food - Wholesale (0.4%)

           
  649    

United Natural Foods, Inc., LIBOR 1M + 3.500%(11)

   (B, B2)      10/22/25        3.604        650,762  
             

 

 

 
 

Gas Distribution (1.4%)

           
  1,471    

BCP Renaissance Parent LLC, LIBOR 3M + 3.500%(6),(11)

   (B, B2)      11/01/24        3.635        1,447,415  
  1,150    

Traverse Midstream Partners LLC, LIBOR 1M + 5.500%(11)

   (B, B3)      09/27/24        6.500        1,157,687  
             

 

 

 
                2,605,102  
             

 

 

 
 

Health Facility (0.6%)

           
  1,083    

Western Dental Services, Inc., LIBOR 1M + 5.250%(6),(11)

   (B-, B3)      06/30/23        6.250        1,085,880  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

14


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2021 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

BANK LOANS (continued)

           
 

Health Services (1.8%)

           
$ 1,917    

Athenahealth, Inc., LIBOR 3M + 4.250%(11)

   (B, B2)      02/11/26        4.410      $ 1,924,431  
  574    

Carestream Health, Inc., LIBOR 3M + 6.750%(11)

   (B-, B1)      05/08/23        7.750        575,711  
  826    

U.S. Radiology Specialists, Inc., LIBOR 3M + 5.500%(11)

   (B-, B3)      12/10/27        6.250        832,044  
             

 

 

 
                3,332,186  
             

 

 

 
 

Insurance Brokerage (1.5%)

           
  1,921    

Acrisure LLC, LIBOR 3M + 3.500%(11)

   (B, B2)      02/15/27        3.604        1,903,103  
  829    

Alera Group Holdings, Inc., LIBOR 1M + 4.000%(11)

   (B, B2)      08/01/25        4.500        832,552  
             

 

 

 
                2,735,655  
             

 

 

 
 

Investments & Misc. Financial Services (1.4%)

           
  1,500    

AqGen Ascensus, Inc.(6),(12)

   (CCC, Caa2)      05/04/29        0.000        1,492,500  
  865    

Deerfield Dakota Holding LLC, LIBOR 1M + 6.750%(6),(11)

   (CCC, Caa2)      04/07/28        7.500        889,183  
  570    

Ditech Holding Corp.(4),(12)

   (NR, NR)      06/30/22        0.000        115,876  
             

 

 

 
                2,497,559  
             

 

 

 
 

Life Insurance (0.5%)

           
  1,031    

Vida Capital, Inc., LIBOR 1M + 6.000%(11)

   (B, B2)      10/01/26        6.104        995,156  
             

 

 

 
 

Machinery (0.9%)

           
  491    

Granite Holdings U.S. Acquisition Co., LIBOR 3M + 4.000%(6),(11)

   (B, B1)      09/30/26        4.147        493,715  
  798    

LTI Holdings, Inc., LIBOR 1M + 6.750%(7),(11)

   (CCC+, Caa2)      09/06/26        6.854        798,268  
  442    

LTI Holdings, Inc., LIBOR 1M + 3.500%(11)

   (B-, B2)      09/06/25        3.604        436,776  
             

 

 

 
                1,728,759  
             

 

 

 
 

Medical Products (0.9%)

           
  968    

ABB Concise Optical Group LLC, LIBOR 3M + 5.000%(11)

   (CCC+, B3)      06/15/23        6.000        938,049  
  696    

Viant Medical Holdings, Inc., LIBOR 1M + 6.250%(6),(11)

   (CCC+, B3)      07/02/25        7.250        698,197  
             

 

 

 
                1,636,246  
             

 

 

 
 

Packaging (0.2%)

           
  540    

Strategic Materials, Inc., LIBOR 3M + 7.750%(6),(7),(11)

   (CC, C)      10/31/25        8.750        310,500  
             

 

 

 
 

Personal & Household Products (1.1%)

           
  1,246    

Serta Simmons Bedding LLC, LIBOR 1M + 7.500%(11)

   (B, B2)      08/10/23        8.500        1,264,317  
  753    

Serta Simmons Bedding LLC, LIBOR 1M + 7.500%(11)

   (B-, Caa2)      08/10/23        8.500        721,631  
             

 

 

 
                1,985,948  
             

 

 

 
 

Pharmaceuticals (0.3%)

           
  535    

Akorn, Inc., LIBOR 3M + 7.500%(11)

   (CCC+, Caa2)      10/01/25        8.500        552,654  
             

 

 

 
 

Real Estate Investment Trusts (0.4%)

           
  645    

Blackstone Mortgage Trust, Inc., LIBOR 1M + 2.750%(6),(11)

   (B+, Ba2)      04/23/26        3.250        645,125  
             

 

 

 
 

Recreation & Travel (2.3%)

           
  1,613    

Bulldog Purchaser, Inc., LIBOR 3M + 7.750%(11)

   (CCC-, Caa3)      09/04/26        7.885        1,462,200  
  985    

Bulldog Purchaser, Inc., LIBOR 3M + 3.750%(11)

   (B-, B3)      09/05/25        3.885        959,692  

 

See Accompanying Notes to Financial Statements.

 

15


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2021 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

BANK LOANS (continued)

           
 

Recreation & Travel

           
$ 1,032    

Hornblower Sub LLC, LIBOR 3M + 4.500%(11)

   (CCC-, Caa2)      04/27/25        5.500      $ 973,942  
  773    

Hornblower Sub LLC, LIBOR 6M + 8.125%(6),(11)

   (NR, NR)      11/10/25        9.125        819,588  
             

 

 

 
                4,215,422  
             

 

 

 
 

Restaurants (0.1%)

           
  15    

Golden Nugget, Inc., LIBOR 3M + 12.000%(6),(11)

   (NR, NR)      10/04/23        13.000        16,912  
  200    

Tacala LLC, LIBOR 1M + 7.500%(6),(11)

   (CCC, Caa2)      02/04/28        8.250        200,876  
             

 

 

 
                217,788  
             

 

 

 
 

Software - Services (3.7%)

           
  1,215    

Aston FinCo Sarl, LIBOR 1M + 4.250%(11)

   (B-, B2)      10/09/26        4.343        1,210,735  
  1,750    

Epicor Software Corp., LIBOR 1M + 7.750%(11)

   (CCC, Caa2)      07/31/28        8.750        1,812,895  
  471    

Finastra U.S.A., Inc., LIBOR 6M + 3.500%(11)

   (CCC+, B2)      06/13/24        4.500        463,910  
  1,703    

Finastra U.S.A., Inc., LIBOR 6M + 7.250%(11)

   (CCC-, Caa2)      06/13/25        8.250        1,725,205  
  480    

Project Leopard Holdings, Inc., LIBOR 3M + 4.750%(11)

   (B, B2)      07/07/24        5.750        482,578  
  997    

SkillSoft Corp., LIBOR 3M + 7.500%(6),(11)

   (B+, B1)      12/27/24        8.500        999,936  
             

 

 

 
                6,695,259  
             

 

 

 
 

Support - Services (0.4%)

           
  164    

Nuvei Technologies Corp., LIBOR 3M + 2.500%(11)

   (B+, Ba3)      10/30/25        2.625        165,074  
  650    

USS Ultimate Holdings, Inc., LIBOR 1M + 7.750%(7),(11)

   (CCC, Caa1)      08/25/25        8.750        652,437  
             

 

 

 
                817,511  
             

 

 

 
 

Telecom - Wireline Integrated & Services (0.7%)

           
  299    

GTT Communications, Inc. (1st Lien Term Loan B),
LIBOR 1M + 5.000% Cash, 2.500% PIK(9),(11)

   (CCC+, NR)      12/31/21        8.500        304,412  
  171    

GTT Communications, Inc. (Incremental Term Loan),
LIBOR 1M + 5.000% Cash, 2.500% PIK(9),(11)

   (CCC+, NR)      12/31/21        8.500        174,484  
  875    

TVC Albany, Inc., LIBOR 1M + 7.500%(6),(7),(11)

   (CCC, Caa2)      07/23/26        7.600        831,250  
             

 

 

 
                1,310,146  
             

 

 

 
 

Theaters & Entertainment (1.7%)

           
  1,530    

Metro-Goldwyn-Mayer, Inc., LIBOR 1M + 4.500%(11)

   (CCC+, B3)      07/03/26        5.500        1,536,020  
  1,581    

William Morris Endeavor Entertainment LLC, LIBOR 1M + 2.750%(11)

   (B, B3)      05/18/25        2.860        1,555,794  
             

 

 

 
                3,091,814  
             

 

 

 
 

TOTAL BANK LOANS (Cost $58,119,059)

              57,812,438  
             

 

 

 
 

ASSET BACKED SECURITIES (6.3%)

           
 

Collateralized Debt Obligations (6.3%)

           
  650    

Anchorage Capital CLO 15 Ltd., 2020-15A, Rule 144A, LIBOR 3M + 7.400%(1),(11)

   (NR, NR)      07/20/34        0.000        650,325  
  500    

Anchorage Credit Funding Ltd., 2016-4A, Rule 144A (1)

   (NR, Ba3)      04/27/39        6.659        470,625  
  1,000    

Anchorage Credit Opportunities CLO 1 Ltd., 2019-1A, Rule 144A,
LIBOR 3M + 7.550%(1),(11)

   (BB-, NR)      01/20/32        7.738        996,745  
  750    

Battalion CLO 18 Ltd., 2020-18A, Rule 144A, LIBOR 3M + 7.940%(1),(11)

   (BB-, NR)      10/15/32        8.124        752,547  
  1,000    

Battalion CLO VII Ltd., 2014-7A, Rule 144A, LIBOR 3M + 6.310%(1),(11)

   (NR, Ba2)      07/17/28        6.500        1,000,109  

 

See Accompanying Notes to Financial Statements.

 

16


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2021 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

ASSET BACKED SECURITIES (continued)

           
 

Collateralized Debt Obligations

           
$ 1,000    

Battalion CLO XIV Ltd., 2019-14A, Rule 144A, LIBOR 3M + 3.950%(1),(11)

   (NR, Baa3)      04/20/32        4.138      $ 1,001,141  
  1,000    

Battalion CLO XV Ltd., 2020-15A, Rule 144A, LIBOR 3M + 6.350%(1),(11)

   (BB-, NR)      01/17/33        6.540        1,000,838  
  1,000    

Cedar Funding VI CLO Ltd., 2016-6A, Rule 144A, LIBOR 3M + 6.720%(1),(11)

   (BB-, NR)      04/20/34        6.908        984,198  
  1,000    

KKR CLO Ltd., 16, Rule 144A, LIBOR 3M + 6.750%(1),(11)

   (NR, Ba3)      01/20/29        6.938        995,874  
  1,000    

Oaktree CLO Ltd., 2019-4A, Rule 144A, LIBOR 3M + 7.230%(1),(11)

   (BB-, NR)      10/20/32        7.418        993,925  
  750    

Octagon Investment Partners 48 Ltd., 2020-3A, Rule 144A, LIBOR 3M + 7.660%(1),(11)

   (BB-, NR)      10/20/31        7.848        753,106  
  1,000    

Palmer Square Credit Funding Ltd., 2019-1A, Rule 144A(1)

   (NR, Baa2)      04/20/37        5.459        998,890  
  1,000    

Venture 41 CLO Ltd., 2021-41A, Rule 144A, LIBOR 3M + 7.710%(1),(11)

   (BB-, NR)      01/20/34        7.913        1,000,582  
             

 

 

 
 

TOTAL ASSET BACKED SECURITIES (Cost $11,487,632)

              11,598,905  
             

 

 

 
             

Number of
Shares

                               
 

COMMON STOCKS (0.8%)

           
 

Auto Parts & Equipment (0.1%)

           
  18,270    

Jason Group, Inc.(13)

 

     182,702  
    

 

 

 
 

Building & Construction (0.0%)

           
  5    

White Forest Resources, Inc.(5),(6),(13)

 

      
    

 

 

 
 

Chemicals (0.2%)

           
  2,794    

Project Investor Holdings LLC(5),(6),(7),(13)

 

     28  
  46,574    

Proppants Holdings LLC(5),(6),(7),(13)

 

     2,329  
  10,028    

UTEX Industries, Inc.(13)

 

     411,148  
    

 

 

 
                413,505  
             

 

 

 
 

Oil Field Equipment & Services (0.0%)

           
  2,820    

Pioneer Energy Services Corp.(5),(6),(13)

 

     5,358  
    

 

 

 
 

Pharmaceuticals (0.4%)

           
  45,583    

Akorn Holding Company LLC(13)

 

     689,443  
    

 

 

 
 

Support - Services (0.1%)

           
  800    

LTR Holdings LLC(5),(6),(7),(13)

 

     76,320  
  433    

Sprint Industrial Holdings LLC, Class G(5),(6),(7),(13)

 

      
  39    

Sprint Industrial Holdings LLC, Class H(5),(6),(7),(13)

 

      
  96    

Sprint Industrial Holdings LLC, Class I(5),(6),(7),(13)

              1  
             

 

 

 
                76,321  
             

 

 

 
 

TOTAL COMMON STOCKS (Cost $2,267,834)

              1,367,329  
             

 

 

 
 

WARRANT (0.0%)

           
 

Chemicals (0.0%)

           
  11,643    

Project Investor Holdings LLC, expires 02/20/2022(5),(6),(7),(13) (Cost $6,054)

               
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

17


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2021 (unaudited)

 

 

Number of
Shares

                           

Value

 
 

SHORT-TERM INVESTMENTS (0.5%)

           
$ 944,743    

State Street Navigator Securities Lending Government Money Market Portfolio, 0.02%(14) (Cost $944,743)

            $ 944,743  
             

 

 

 
 

TOTAL INVESTMENTS AT VALUE (124.4%) (Cost $226,716,818)

              228,195,197  
 

LIABILITIES IN EXCESS OF OTHER ASSETS (-24.4%)

              (44,734,539
             

 

 

 
 

NET ASSETS (100.0%)

            $ 183,460,658  
             

 

 

 

INVESTMENT ABBREVIATIONS

1M = 1 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 June 30, 2021, these securities amounted to a value of $151,029,338 or 82.3% of net assets.

 

(2) 

This security is denominated in British Pound.

 

(3) 

This security is denominated in Euro.

 

(4) 

Bond is currently in default.

 

(5) 

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

 

(6) 

Security is valued using significant unobservable inputs.

 

(7) 

Illiquid security (unaudited).

 

(8) 

Security or portion thereof is out on loan (See note 2-J).

 

(9) 

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

 

(10) 

Convertible security.

 

(11) 

Variable rate obligation - The interest rate shown is the rate in effect as of June 30, 2021. The rate may be subject to a cap and floor.

 

(12) 

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, 2021.

 

(13) 

Non-income producing security.

 

(14) 

Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at June 30, 2021.

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

     48,093      USD      57,192        10/13/21      Deutsche Bank AG    $ 57,192     $ 57,155     $ (37

GBP

     13,000      USD      16,854        10/13/21      Barclays Bank PLC      16,854       17,964       1,110  

USD

     1,021,318      EUR      861,962        10/13/21      Morgan Stanley      (1,021,318     (1,024,390     (3,072

USD

     42,356      EUR      35,385        10/13/21      Deutsche Bank AG      (42,356     (42,053     303  

USD

     703,121      GBP      543,171        10/13/21      Deutsche Bank AG      (703,121     (750,554     (47,433
                     

 

 

 
  $ (49,129
                     

 

 

 

 

See Accompanying Notes to Financial Statements.

 

18


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2021 (unaudited)

 

 

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, 2021 (unaudited)

 

 

Assets

  

Investments at value, including collateral for securities on loan of $944,743
(Cost $226,716,818) (Note 2)

   $         228,195,197 1 

Cash

     11,959,190  

Foreign currency at value (Cost $5,245)

     5,288  

Receivable for investments sold

     2,746,756  

Interest receivable

     2,998,677  

Unrealized appreciation on forward foreign currency contracts (Note 2)

     1,413  

Prepaid expenses and other assets

     9,382  
  

 

 

 

Total assets

     245,915,903  
  

 

 

 

Liabilities

  

Investment advisory fee payable (Note 3)

     225,369  

Administrative services fee payable (Note 3)

     14,255  

Loan payable (Note 4)

     53,000,000  

Payable for investments purchased

     8,027,959  

Payable upon return of securities loaned (Note 2)

     944,743  

Unrealized depreciation on forward foreign currency contracts (Note 2)

     50,542  

Directors’ fee payable

     48,035  

Accrued expenses

     144,342  
  

 

 

 

Total liabilities

     62,455,245  
  

 

 

 

Net Assets

  

Applicable to 52,313,377 shares outstanding

   $ 183,460,658  
  

 

 

 

Net Assets

  

Capital stock, $.001 par value (Note 6)

     52,313  

Paid-in capital (Note 6)

     196,161,317  

Total distributable earnings (loss)

     (12,752,972
  

 

 

 

Net assets

   $ 183,460,658  
  

 

 

 

Net Asset Value Per Share ($183,460,658 / 52,313,377)

     $3.51  
  

 

 

 

Market Price Per Share

     $3.52  
  

 

 

 

 

 

1 

Includes $924,964 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, 2021 (unaudited)

 

 

Investment Income

  

Interest

   $         7,309,719  

Securities lending (net of rebates)

     7,751  
  

 

 

 

Total investment income

     7,317,470  
  

 

 

 

Expenses

  

Investment advisory fees (Note 3)

     436,232  

Administrative services fees (Note 3)

     31,680  

Interest expense (Note 4)

     231,535  

Directors’ fees

     62,472  

Printing fees

     29,868  

Commitment fees (Note 4)

     29,652  

Audit and tax fees

     28,670  

Transfer agent fees (Note 3)

     21,201  

Custodian fees

     19,958  

Legal fees

     18,253  

Stock exchange listing fees

     8,328  

Insurance expense

     3,984  

Miscellaneous expense

     5,871  
  

 

 

 

Total expenses

     927,704  
  

 

 

 

Net investment income

     6,389,766  
  

 

 

 

Net Realized and Unrealized Gain (Loss) from Investments, Foreign Currency and Forward Foreign Currency Contracts

  

Net realized gain from investments

     145,852  

Net realized loss from foreign currency transactions

     (464

Net change in unrealized appreciation (depreciation) from investments

     5,287,610  

Net change in unrealized appreciation (depreciation) from foreign currency translations

     (1,157

Net change in unrealized appreciation (depreciation) from forward foreign currency contracts

     29,697  
  

 

 

 

Net realized and unrealized loss from investments, foreign currency and forward foreign currency contracts

     5,461,538  
  

 

 

 

Net increase in net assets resulting from operations

   $ 11,851,304  
  

 

 

 

 

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, 2021
  (unaudited)  
     For the Year
Ended
  December 31, 2020  
 

From Operations

     

Net investment income

   $ 6,389,766      $ 14,273,727  

Net realized gain (loss) from investments, foreign currency transactions and forward foreign currency contracts

     145,388        (1,383,665

Net change in unrealized appreciation (depreciation) from investments, foreign currency translations and forward foreign currency contracts

     5,316,150        (2,156,100
  

 

 

    

 

 

 

Net increase in net assets resulting from operations

     11,851,304        10,733,962  
  

 

 

    

 

 

 

From Distributions

     

From distributable earnings

     (7,061,263      (14,122,336
  

 

 

    

 

 

 

Net decrease in net assets resulting from dividends

     (7,061,263      (14,122,336
  

 

 

    

 

 

 

From Capital Share Transactions (Note 6)

     

Reinvestment of dividends

     29,401         
  

 

 

    

 

 

 

Net increase in net assets from capital share transactions

     29,401         
  

 

 

    

 

 

 

Net increase (decrease) in net assets

     4,819,442        (3,388,374

Net Assets

     

Beginning of period

     178,641,216        182,029,590  
  

 

 

    

 

 

 

End of period

   $         183,460,658      $         178,641,216  
  

 

 

    

 

 

 

 

See Accompanying Notes to Financial Statements.

 

22


Credit Suisse Asset Management Income Fund, Inc.

Statement of Cash Flows

June 30, 2021 (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

     $ 11,851,304  
    

 

 

 

Adjustments to Reconcile Net Increase in Net Assets from Operations to Net Cash Provided by Operating Activities

    

Decrease in interest receivable

   $ 143,098    

Decrease in accrued expenses

     (21,318  

Decrease in payable upon return of securities loaned

     (5,116,552  

Increase in prepaid expenses and other assets

     (2,200  

Decrease in unfunded loan commitments

     (296,639  

Increase in investment advisory fee payable

     24,088    

Net amortization of discount on investments

     (53,043  

Purchases of long-term securities, net of change in payable for investments purchased

     (57,739,635  

Sales of long-term securities, net of change in receivable for investments sold

     62,733,362    

Net proceeds from sales (purchases) of short-term securities

     5,116,552    

Net change in unrealized (appreciation) depreciation from investments and forward foreign currency contracts

     (5,317,307  

Net realized gain from investments

     (145,852  

Total adjustments

       (675,446
    

 

 

 

Net cash provided by operating activities1

     $ 11,175,858  
    

 

 

 

Cash Flows From Financing Activities

    

Repayments of credit facility

     (3,500,000  

Cash dividends paid

     (7,031,862  
  

 

 

   

Net cash provided by financing activities

       (10,531,862
    

 

 

 

Net increase in cash

       643,996  

Cash — beginning of period

       11,320,482  
    

 

 

 

Cash — end of period

     $         11,964,478  
    

 

 

 

Non-Cash Activity:

    

Issuance of shares through dividend reinvestments

     $ 29,401  
    

 

 

 

 

 

1 

Included in net cash provided by operating activities is cash of $231,535 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, 2021

(unaudited)
    For the Year Ended December 31,  
    2020     2019     2018     2017     2016  

Per share operating performance

           

Net asset value, beginning of period

  $ 3.42     $ 3.48     $ 3.21     $ 3.58     $ 3.48     $ 3.21  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INVESTMENT OPERATIONS

           

Net investment income1

    0.12       0.27       0.26       0.27       0.24       0.25  

Net gain (loss) on investments, foreign currency transactions and forward foreign currency contracts (both realized and unrealized)

    0.11       (0.06     0.28       (0.37     0.12       0.28  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from investment activities

    0.23       0.21       0.54       (0.10     0.36       0.53  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DIVIDENDS AND DISTRIBUTIONS

           

Dividends from net investment income

    (0.14     (0.27     (0.27     (0.27     (0.24     (0.25

Return of capital

                (0.00 )2            (0.02     (0.01
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total dividends and distributions

    (0.14     (0.27     (0.27     (0.27     (0.26     (0.26
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 3.51     $ 3.42     $ 3.48     $ 3.21     $ 3.58     $ 3.48  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Per share market value, end of period

  $ 3.52     $ 3.15     $ 3.22     $ 2.77     $ 3.31     $ 3.16  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENT RETURN3

           

Net asset value

    6.80     8.08     18.17     (2.39 )%      11.34     18.64

Market value

    16.29     7.58     26.71     (8.89 )%      13.37     24.39

RATIOS AND SUPPLEMENTAL DATA

           

Net assets, end of period (000s omitted)

  $ 183,461     $ 178,641     $ 182,030     $ 167,897     $ 187,472     $ 182,019  

Ratio of net expenses to average net assets

    1.03 %4      1.25     1.92     1.82     1.06     0.74

Ratio of net expenses to average net assets excluding interest expense

    0.77 %4      0.75     0.78     0.78     0.90     0.74

Ratio of net investment income to average net assets

    7.09 %4      8.55     7.59     7.83     6.75     7.66

Asset Coverage per $1,000 of Indebtedness

  $ 4,462     $ 4,162     $ 4,021     $ 3,373     $ 5,075     $  

Portfolio turnover rate5

    28     36     35     39     64     53

 

 

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 the change in the net asset value of Fund shares and assumes reinvestment of dividends and distributions, if any, at actual 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 stock exchange during the period and assumes reinvestment of dividends and 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.

4 

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, 2021 (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 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

 

25


Credit Suisse Asset Management Income Fund, Inc.

Notes to Financial Statements (continued)

June 30, 2021 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

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.

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, 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

   $      $ 156,251,595      $ 220,187     $ 156,471,782  

Bank Loans

            40,734,649        17,077,789       57,812,438  

Asset Backed Securities

            11,598,905              11,598,905  

Common Stocks

            1,283,293        84,036       1,367,329  

Warrants

                   0 (1)      0 (1) 

Short-term Investment

            944,743              944,743  
  

 

 

    

 

 

    

 

 

   

 

 

 
   $      $ 210,813,185      $ 17,382,012     $ 228,195,197  
  

 

 

    

 

 

    

 

 

   

 

 

 

Other Financial Instruments*

          

Forward Foreign Currency Contracts

   $      $ 1,413      $     $ 1,413  

Liabilities

   Level 1      Level 2      Level 3     Total  

Other Financial Instruments*

          

Forward Foreign Currency Contracts

   $      $ 50,542      $     $ 50,542  

 

  *

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

  (1)

Includes zero valued securities..

 

26


Credit Suisse Asset Management Income Fund, Inc.

Notes to Financial Statements (continued)

June 30, 2021 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

The following is a reconciliation of investments as of June 30, 2021 for which significant unobservable inputs were used in determining fair value.

 

     Corporate
Bonds
     Bank
Loans
     Common
Stocks
     Warrant     Total  

Balance as of December 31, 2020

   $ 117,591      $ 11,862,301      $ 526,478      $ 0 (1)    $ 12,506,370  

Accrued discounts (premiums)

            (29,750                   (29,750

Purchases

     6,471        9,911,470                     9,917,941  

Sales

            (5,027,878      (416,732            (5,444,610

Realized gain (loss)

            5,961        349,011              354,972  

Change in unrealized appreciation (depreciation)

     82,625        340,471        (374,721            48,375  

Transfers into Level 3

     13,500        5,192,889                     5,206,389  

Transfers out of Level 3

            (5,177,675                   (5,177,675
  

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Balance as of June 30, 2021

   $ 220,187      $ 17,077,789      $ 84,036      $ 0 (1)    $ 17,382,012  
  

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) from investments still held as of June 30, 2021

   $ 82,625      $ 234,830      $ (93,686          $ 223,769  

 

  (1)

Includes zero valued securities.

Quantitative Disclosure About Significant Unobservable Inputs

 

Asset Class

   Fair Value
At 06/30/2021
     Valuation
Technique
     Unobservable
Input
     Range
(Weighted Average)*
 

Bank Loans

   $ 17,077,789        Vendor pricing        Single Broker Quote        $0.58 - $1.12 ($0.99)  

Common Stocks

   $ 2,358        Income Approach        Expected Remaining Distribution        $0.00 - $0.05 ($0.05)  
   $ 76,320        Market Approach        EBITDA Multiples        7.3 (N/A)  
   $ 5,358        Vendor pricing        Single Broker Quote        $1.90 (N/A)  

Corporate Bonds

   $ 3,730        Income Approach        Expected Remaining Distribution        $0.01 (N/A)  
   $ 216,457        Vendor pricing        Single Broker Quote        $0.01 - $0.77 ($0.72)  

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

 

27


Credit Suisse Asset Management Income Fund, Inc.

Notes to Financial Statements (continued)

June 30, 2021 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

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.

For the six months ended June 30, 2021, $5,206,389 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $5,177,675 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, 2021 and the effect of these derivatives on the Statement of Operations for the six months ended June 30, 2021.

 

Primary Underlying Risk

   Derivative
Assets
     Derivative
Liabilities
     Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
 

Foreign currency exchange rate forward contracts

   $ 1,413      $ 50,542      $      $ 29,697  

For the six months ended June 30, 2021, the Fund held an average monthly value on a net basis of $1,816,931 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, 2021:

 

Counterparty

   Gross Amount of
Derivative Assets Presented in
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

   $ 1,110      $      $      $      $ 1,110  

Deutsche Bank AG

     303        (303                     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
     1,413        (303                    1,110
 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

28


Credit Suisse Asset Management Income Fund, Inc.

Notes to Financial Statements (continued)

June 30, 2021 (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, 2021:

 

Counterparty

   Gross Amount of
Derivative Liabilities Presented in
Statement of Assets and
Liabilities(a)
     Financial
Instruments
and Derivatives
Available for Offset
     Non-Cash
Collateral
Pledged
     Cash
Collateral
Pledged
     Net Amount
of Derivative
Liabilities
 

Deutsche Bank AG

   $ 47,470      $ (303    $      $      $ 47,167  

Morgan Stanley

     3,072                             3,072  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
     50,542        (303                    50,239  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Forward foreign currency contracts are included.

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-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.

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

 

29


Credit Suisse Asset Management Income Fund, Inc.

Notes to Financial Statements (continued)

June 30, 2021 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

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 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

 

30


Credit Suisse Asset Management Income Fund, Inc.

Notes to Financial Statements (continued)

June 30, 2021 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

exchange rate movements during the term of the contract. The Fund’s open forward currency contracts at June 30, 2021 are disclosed in the Schedule of Investments.

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, 2021, 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, 2021, 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
 
$ 924,964     $ 944,743     $ 944,743  

The following table presents financial instruments that are subject to enforceable netting arrangements as of June 30, 2021.

Gross Amounts Not Offset in the Statement of Assets and Liabilities

 

Gross Asset Amounts
Presented in
Statement of Assets and
Liabilities(a)
    Collateral
Received(b)
    Net Amount
(not less than $0)
 
$ 924,964     $ (924,964   $  

 

  (a)

Represents market value of loaned securities at year end.

  (b)

The actual collateral received is greater than the amount shown here due to collateral requirements of the security lending agreement.

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. During the six months ended June 30, 2021, total earnings from the Fund’s investment in cash collateral received in connection with securities lending arrangements was $10,331, of which $0 was rebated to borrowers (brokers). The Fund retained $7,751 in income from the cash collateral investment, and SSB, as lending agent, was paid $2,580.

 

31


Credit Suisse Asset Management Income Fund, Inc.

Notes to Financial Statements (continued)

June 30, 2021 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

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.

In July 2017, the Financial Conduct Authority, the United Kingdom’s financial regulatory body, announced a desire to phase out the use of LIBOR by the end of 2021.

Although financial regulators and industry working groups have suggested alternative reference rates, such as European Interbank Offer Rate (“EURIBOR”), Sterling Overnight Interbank Average Rate (“SONIA”) and Secured Overnight Financing Rate (“SOFR”), global consensus on alternative rates is lacking and the process for amending existing contracts or instruments to transition away from LIBOR remains uncertain. There also remains uncertainty and risk regarding the willingness and ability of issuers to include fallback provisions and/or other measures that contemplate the discontinuation of LIBOR in new and existing contracts or instruments. In addition, there are obstacles to converting certain longer-term securities and transactions to a new reference rate or rates and the effectiveness of one alternative reference rate versus multiple alternative reference rates in new or existing financial instruments and products has not been determined.

The transition away from LIBOR might lead to increased volatility and illiquidity in markets for instruments whose terms currently reference LIBOR, reduced values of LIBOR-related investments, reduced effectiveness of hedging strategies, increased costs for certain LIBOR-related instruments, increased difficulty in borrowing or refinancing, and prolonged adverse market conditions for the Fund. Furthermore, the risks associated with the expected discontinuation of LIBOR and related transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner.

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 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 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.

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.

M) RECENT ACCOUNTING PRONOUNCEMENTS — In October 2020, FASB issued Accounting Standards Update No. 2020-08 (“ASU 2020-08”), “Receivables — Nonrefundable Fees and Other Costs (Codification Improvements Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities”. ASU 2020-08 is an update of ASU No. 2017-08, which amends the amortization period of certain purchased callable debt securities held at a premium. ASU 2020-08 updates the amortization period for callable debt securities to be amortized to the next call date. For purposes of this update, the next call date is the first date when a call option at

 

32


Credit Suisse Asset Management Income Fund, Inc.

Notes to Financial Statements (continued)

June 30, 2021 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

a specified price becomes exercisable. Once that date has passed, the next call date is when the next call option at a specified price becomes exercisable, if applicable. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2020. Management has evaluated the implication, if any, of the additional disclosure requirement and the impact is reflected in the Fund’s financial statements.

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 the lower of the weekly stock price (market value) of the Fund’s outstanding shares or its average weekly net assets. For the six months ended June 30, 2021, investment advisory fees earned were $436,232.

SSB serves as Accounting and Administrative Agent for the Fund. For its administrative services, SSB receives a fee, exclusive of out-of-pocket expenses, calculated in total for all the Credit Suisse funds/portfolios co-administered by SSB and allocated based upon the relative average net assets of each fund/portfolio, subject to an annual minimum fee. For the six months ended June 30, 2021, administrative services fees earned by SSB (including out-of-pocket expenses) with respect to the Fund were $31,680.

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 LIBOR plus a spread. At June 30, 2021, the Fund had loans outstanding under the Agreement of $53,000,000. Unless renewed, the Agreement will terminate on June 8, 2022. During the six months ended June 30, 2021, 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
 
$ 54,480,663       0.85   $ 56,500,000     $ 231,535       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

 

33


Credit Suisse Asset Management Income Fund, Inc.

Notes to Financial Statements (continued)

June 30, 2021 (unaudited)

 

 

Note 4. Line of Credit (continued)

 

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.

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, 2021, 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  
$ 63,594,207     $ 62,994,580      $ 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 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, 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 $.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, 2021 (unaudited)
     For the Year Ended
December 31, 2020
 

Shares issued through at-the-market offerings

             

Shares issued through reinvestment of dividends

     8,448         
  

 

 

    

 

 

 

Net increase

     8,448         
  

 

 

    

 

 

 

 

34


Credit Suisse Asset Management Income Fund, Inc.

Notes to Financial Statements (continued)

June 30, 2021 (unaudited)

 

 

Note 7. 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 8. Subsequent Events

In preparing the financial statements as of June 30, 2021, 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.

 

35


Credit Suisse Asset Management Income Fund, Inc.

Shareholder Meeting Results (unaudited)

 

 

On April 20, 2021, 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 re-elect two directors to the Board of Directors of the Fund:

 

NAME OF DIRECTOR   

FOR

  

WITHHELD

Mahendra Gupta

   36,275,828    1,194,612

John Popp

   36,327,475    1,142,965

In addition to the directors re-elected at the meeting, Laura DeFelice, Jeffrey Garten and Steven Rappaport continue to serve as Directors of the Fund.

 

36


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.

 

37


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 25, 2021.

 

38


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.

 

39


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 October 2006). Participants will also be charged a service fee of $5.00 for each sale and brokerage commissions of $0.03 per share (as of October 2006).

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.

 

40


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.

   

c/o Computershare

   

P.O. Box 30170

   

College Station, TX 77842-3170

Overnight correspondence should be sent to:

   

Computershare

   

211 Quality Circle, Suite 210

   

College Station, TX 77845

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.

 

41


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-0621


Item 2. Code of Ethics.

This item is inapplicable to a semi-annual report on Form N-CSR.

Item 3. Audit Committee Financial Expert.

This item is inapplicable to a semi-annual report on Form N-CSR.


Item 4. Principal Accountant Fees and Services.

This item is inapplicable to a semi-annual report on Form N-CSR.

Item 5. Audit Committee of Listed Registrants.

This item is inapplicable to a semi-annual report on Form N-CSR.

Item 6. Schedule of Investments.

 

  (a)

This schedule is included as part of the report to shareholders filed under Item 1 of this Form N-CSR.

 

  (b)

Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

This item is inapplicable to a semi-annual report on Form N-CSR.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

This item is inapplicable to a semi-annual report on Form N-CSR.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

None.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors since the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(g) of Schedule 14A in its definitive proxy statement dated March 19, 2021.

Item 11. Controls and Procedures.

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

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


Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

This item is inapplicable to a semi-annual report on Form N-CSR.

Item 13. Exhibits.

 

(a)(1)    Not applicable.
(a)(2)    The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report.
(a)(3)    Not applicable.
(b)    The certifications of the registrant as required by Rule 30a-2(b) under the Act are an exhibit to this report.


SIGNATURES

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

CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.

 

/s/ John G. Popp

Name:   John G. Popp
Title:   Chief Executive Officer and President
Date:   August 16, 2021

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

 

/s/ John G. Popp

Name:   John G. Popp
Title:   Chief Executive Officer and President
Date:   August 16, 2021

/s/ Omar Tariq

Name:   Omar Tariq
Title:   Chief Financial Officer and Treasurer
Date:   August 16, 2021