NPORT-EX 2 NPORT_TH96_37288502_0322.htm HTML

Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments

March 31, 2022 (unaudited)

 

Par
(000)
             

Ratings†
  (S&P/Moody’s)  

       Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (96.8%)

                   
 

Aerospace & Defense (0.6%)

                   
$           250       

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

     (BB-, Ba3)        09/30/28          4.750        $        244,049  
  800       

TransDigm, Inc., Global Company Guaranteed Notes
(Callable 05/02/22 @ 103.75)

     (B-, B3)        03/15/27          7.500          827,412  
                        

 

 

 
                           1,071,461  
                        

 

 

 
                        
 

Auto Parts & Equipment (1.9%)

                   
  2,710       

Clarios U.S. Finance Co., Rule 144A, Company Guaranteed Notes
(Callable 05/15/22 @ 104.25)(1)

     (CCC+, Caa1)        05/15/27          8.500          2,815,283  
  240       

Cooper-Standard Automotive, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/18/22 @ 102.81)(1),(2)

     (CCC-, Caa2)        11/15/26          5.625          127,492  
  250       

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

     (B+, Ba3)        01/15/29          7.875          263,221  
                        

 

 

 
                           3,205,996  
                        

 

 

 
                        
 

Automakers (0.5%)

                   
  200       

Thor Industries, Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/15/24 @ 102.00)(1)

     (BB-, B1)        10/15/29          4.000          175,830  
  675       

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

     (BB+, Ba3)        07/15/28          6.250          683,444  
                        

 

 

 
                           859,274  
                        

 

 

 
                        
 

Brokerage (0.6%)

                   
  901       

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

     (BB-, Ba3)        06/15/25          8.625          939,734  
                        

 

 

 
                        
 

Building & Construction (2.6%)

                   
  1,140       

Adams Homes, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/18/22 @ 103.75)(1)

     (B+, B2)        02/15/25          7.500          1,141,089  
  400       

APi Escrow Corp., Rule 144A, Company Guaranteed Notes
(Callable 10/15/24 @ 102.38)(1)

     (B, B1)        10/15/29          4.750          372,256  
  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          1,025,640  
  1,600       

PGT Innovations, Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/01/24 @ 102.19)(1)

     (B+, B2)        10/01/29          4.375          1,498,512  
  400       

Pike Corp., Rule 144A, Company Guaranteed Notes
(Callable 09/01/23 @ 102.75)(1)

     (CCC+, B3)        09/01/28          5.500          377,692  
                        

 

 

 
                           4,415,189  
                        

 

 

 
                        
 

Building Materials (4.7%)

                   
  200       

Builders FirstSource, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/01/25 @ 102.50)(1)

     (BB-, Ba2)        03/01/30          5.000          198,250  
  750       

Eco Material Technologies, Inc., Rule 144A, Senior Secured Notes
(Callable 01/31/24 @ 103.94)(1)

     (B, B2)        01/31/27          7.875          747,008  
  1,739       

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

     (CCC+, Caa1)        03/01/29          6.000          1,568,474  
  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          1,627,527  
  1,647       

MIWD Finance Corp., Rule144A, Company Guaranteed Notes
(Callable 02/01/25 @ 102.75)(1)

     (B, B3)        02/01/30          5.500          1,534,880  
  940       

Park River Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/01/24 @ 102.81)(1)

     (CCC, Caa1)        02/01/29          5.625          761,090  
  650       

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

     (CCC, Caa1)        08/01/29          6.750          543,686  
  800       

Standard Industries, Inc., Rule 144A, Senior Unsecured Notes
(Callable 07/15/25 @ 102.19)(1)

     (BB, B1)        07/15/30          4.375          736,996  
  200       

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

     (BB, Ba3)        01/15/29          5.250          198,366  
                        

 

 

 
                           7,916,277  
                        

 

 

 
                        
 

Cable & Satellite TV (2.9%)

                   
  685       

CSC Holdings LLC, Global Senior Unsecured Notes

     (B+, B3)        06/01/24          5.250          685,986  
  50       

CSC Holdings LLC, Rule 144A, Company Guaranteed Notes
(Callable 05/02/22 @ 102.75)(1)

     (BB, Ba3)        04/15/27          5.500          49,653  
  850       

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

     (BB, Ba3)        02/01/28          5.375          826,472  

 

 

 


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

March 31, 2022 (unaudited)

 

Par
(000)
             

Ratings†
  (S&P/Moody’s)  

       Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                   
 

Cable & Satellite TV (continued)

                   
$           600       

CSC Holdings LLC, Rule 144A, Company Guaranteed Notes
(Callable 11/15/26 @ 102.25)(1)

     (BB, Ba3)        11/15/31          4.500        $        537,855  
  1,600       

Telenet Finance Luxembourg Notes Sarl, Rule 144A, Senior Secured Notes
(Callable 12/01/22 @ 102.75)(1)

     (BB-, Ba3)        03/01/28          5.500          1,560,000  
  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          568,020  
  500       

Virgin Media Secured Finance PLC, Rule 144A, Senior Secured Notes
(Callable 04/15/22 @ 102.50)(1),(3)

     (BB-, Ba3)        04/15/27          5.000          668,093  
                        

 

 

 
                           4,896,079  
                        

 

 

 
                        
 

Chemicals (3.9%)

                   
  200       

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

     (BB-, Ba3)        05/15/25          5.750          205,660  
  500       

GCP Applied Technologies, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/18/22 @ 101.38)(1)

     (BB, B1)        04/15/26          5.500          507,623  
  800       

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

     (B, B2)        05/15/28          4.750          718,456  
  800       

Herens Midco Sarl, Rule 144A, Company Guaranteed Notes
(Callable 05/15/24 @ 102.63)(1),(4)

     (CCC+, Caa2)        05/15/29          5.250          764,871  
  800       

LSF11 A5 Holdings LLC, Rule 144A, Senior Unsecured Notes
(Callable 10/15/24 @ 103.31)(1)

     (B-, Caa1)        10/15/29          6.625          745,260  
  350       

Olympus Water U.S. Holding Corp., Rule 144A, Senior Unsecured Notes
(Callable 10/01/24 @ 103.13)(1),(2)

     (CCC+, Caa2)        10/01/29          6.250          310,422  
  1,425       

PMHC II, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/15/25 @ 104.50)(1)

     (CCC+, Caa2)        02/15/30          9.000          1,255,724  
  276       

Reichhold Industries, Inc., Rule 144A, Senior Secured Notes(1),(5),(6),(7),(8),(9)

     (NR, NR)        05/01/18          0.000          3,730  
  1,200       

Schenectady International Group, Inc., Rule 144A, Senior Unsecured Notes
(Callable 05/15/23 @ 103.38)(1)

     (CCC+, Caa2)        05/15/26          6.750          1,024,422  
  400       

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

     (B, B2)        04/01/29          5.125          369,856  
  800       

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

     (BB-, B1)        03/15/29          4.625          748,964  
                        

 

 

 
                           6,654,988  
                        

 

 

 
                        
 

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          1,907,051  
                        

 

 

 
                        
 

Diversified Capital Goods (2.0%)

                   
  1,150       

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

     (BB-, Ba3)        06/01/31          4.250          1,071,271  
  1,698       

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

     (BB, Ba3)        12/15/28          4.625          1,582,256  
  400       

Madison IAQ LLC, Rule 144A, Senior Secured Notes
(Callable 06/30/24 @ 102.06)(1)

     (B, B1)        06/30/28          4.125          369,504  
  400       

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

     (CCC+, Caa1)        06/30/29          5.875          355,554  
                        

 

 

 
                           3,378,585  
                        

 

 

 
                        
 

Electronics (0.8%)

                   
  431       

II-VI, Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/14/24 @ 102.50)(1)

     (B+, B2)        12/15/29          5.000          422,994  
  235       

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

     (BB+, Ba3)        04/15/29          4.000          224,122  
  800       

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

     (B+, Ba3)        06/15/29          4.000          755,688  
                        

 

 

 
                           1,402,804  
                        

 

 

 
                        
 

Energy - Exploration & Production (2.0%)

                   
  550       

CNX Resources Corp., Rule 144A, Company Guaranteed Notes
(Callable 05/02/22 @ 105.44)(1)

     (BB, B1)        03/14/27          7.250          582,827  
  550       

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

     (BB, B1)        01/15/29          6.000          556,218  
  235       

Laredo Petroleum, Inc., Rule 144A, Company Guaranteed Notes
(Callable 07/31/24 @ 103.88)(1),(2)

     (B, B3)        07/31/29          7.750          237,677  

 

 

 


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

March 31, 2022 (unaudited)

 

Par
(000)
             

Ratings†
  (S&P/Moody’s)  

       Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                   
 

Energy - Exploration & Production (continued)

                   
$           595       

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

     (B+, B3)        03/01/28          8.125        $        620,829  
  600       

Rockcliff Energy II LLC, Rule 144A, Senior Unsecured Notes
(Callable 10/15/24 @ 102.75)(1)

     (B+, B3)        10/15/29          5.500          602,250  
  880       

W&T Offshore, Inc., Rule 144A, Secured Notes
(Callable 05/02/22 @ 102.44)(1)

     (B, Caa2)        11/01/23          9.750          876,946  
                        

 

 

 
                           3,476,747  
                        

 

 

 
                        
 

Environmental (0.1%)

                   
  200       

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

     (BB-, NR)        01/15/29          3.875          186,231  
                        

 

 

 
                        
 

Food - Wholesale (0.9%)

                   
  140       

Lamb Weston Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 01/31/25 @ 102.06)(1)

     (BB+, Ba3)        01/31/30          4.125          130,970  
  400       

Lamb Weston Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 01/31/27 @ 102.19)(1)

     (BB+, Ba3)        01/31/32          4.375          374,328  
  250       

U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/15/24 @ 102.38)(1)

     (B+, B3)        02/15/29          4.750          238,766  
  800       

U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/01/25 @ 102.31)(1)

     (B+, B3)        06/01/30          4.625          743,476  
                        

 

 

 
                           1,487,540  
                        

 

 

 
                        
 

Gaming (2.1%)

                   
  325       

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

     (BB-, B3)        06/15/31          4.750          313,766  
  800       

CDI Escrow Issuer, Inc., Rule 144A, Senior Unsecured Notes
(Callable 04/01/25 @ 102.88)(1)

     (NR, NR)        04/01/30          5.750          809,000  
  231       

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

     (B+, B1)        01/15/28          4.750          224,504  
  1,200       

Fertitta Entertainment Finance Co., Inc, Rule 144A, Senior Secured Notes
(Callable 01/15/25 @ 102.31)(1)

     (B, B2)        01/15/29          4.625          1,134,576  
  675       

Jacobs Entertainment, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/15/25 @ 103.38)(1)

     (B, B2)        02/15/29          6.750          679,246  
  320       

Peninsula Pacific Entertainment Finance, Rule 144A, Senior Unsecured Notes
(Callable 11/15/23 @ 104.25)(1)

     (B, B3)        11/15/27          8.500          354,480  
                        

 

 

 
                           3,515,572  
                        

 

 

 
                        
 

Gas Distribution (4.8%)

                   
  800       

CNX Midstream Partners LP, Rule 144A, Company Guaranteed Notes
(Callable 04/15/25 @ 102.38)(1)

     (BB, B1)        04/15/30          4.750          750,080  
  750       

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 05/02/22 @ 100.94)

     (B, B2)        06/15/24          5.625          746,336  
  425       

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 05/02/22 @ 103.25)

     (B, B2)        10/01/25          6.500          419,851  
  675       

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 05/02/22 @ 103.13)

     (B, B2)        05/15/26          6.250          654,332  
  1,200       

Hess Midstream Operations LP, Rule 144A, Company Guaranteed Notes
(Callable 06/15/23 @ 102.56)(1)

     (BB+, Ba2)        06/15/28          5.125          1,205,346  
  980       

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

     (B, B2)        08/01/29          6.500          907,245  
  950       

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

     (BB-, B1)        09/30/26          6.500          939,265  
  1,180       

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

     (BB+, Ba2)        07/15/29          4.950          1,145,367  
  610       

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

     (BB+, Ba2)        05/15/30          4.800          579,094  
  200       

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

     (BB-, B1)        06/01/31          5.000          187,770  
  500       

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

     (BB-, B1)        10/01/25          7.500          527,410  
                        

 

 

 
                           8,062,096  
                        

 

 

 
                        
 

Health Facilities (0.6%)

                   
  300       

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

     (BB-, Baa3)        09/01/28          5.625          324,395  

 

 

 


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

March 31, 2022 (unaudited)

 

Par
(000)
             

Ratings†
  (S&P/Moody’s)  

       Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                   
 

Health Facilities (continued)

                   
$           200       

Option Care Health, Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/31/24 @ 102.19)(1)

     (B-, B3)        10/31/29          4.375        $        187,867  
  500       

Surgery Center Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/02/22 @ 105.00)(1)

     (CCC, Caa2)        04/15/27          10.000          525,800  
                        

 

 

 
                           1,038,062  
                        

 

 

 
                        
 

Health Services (4.2%)

                   
  1,060       

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

     (BB-, Ba3)        04/15/29          4.000          983,913  
  400       

MEDNAX, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/15/25 @ 102.69)(1)

     (B+, Ba3)        02/15/30          5.375          387,354  
  1,600       

Minerva Merger Sub, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/15/25 @ 103.25)(1)

     (CCC, Caa2)        02/15/30          6.500          1,557,848  
  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          123,782  
  1,518       

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

     (BB-, Ba3)        12/15/24          4.375          1,542,895  
  1,850       

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

     (CCC, Caa2)        02/01/28          9.250          1,853,672  
  235       

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

     (B-, B2)        12/15/25          5.250          229,887  
  393       

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

     (BB, Ba3)        05/15/31          4.000          366,498  
                        

 

 

 
                           7,045,849  
                        

 

 

 
                        
 

Insurance Brokerage (4.6%)

                   
  1,801       

Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 05/02/22 @ 101.75)(1)

     (CCC+, Caa2)        11/15/25          7.000          1,775,840  
  1,000       

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

     (CCC+, Caa2)        08/01/26          10.125          1,066,210  
  181       

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

     (CCC+, Caa2)        10/15/27          6.750          179,509  
  780       

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

     (CCC+, Caa2)        05/15/27          8.000          790,015  
  625       

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

     (B, B1)        08/15/28          4.875          598,072  
  2,712       

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

     (CCC+, Caa2)        08/15/28          6.875          2,586,624  
  800       

Ryan Specialty Group LLC, Rule 144A, Senior Secured Notes
(Callable 02/01/25 @ 102.19)(1)

     (BB-, B1)        02/01/30          4.375          757,000  
                        

 

 

 
                           7,753,270  
                        

 

 

 
                        
 

Investments & Misc. Financial Services (2.8%)

                   
  1,385       

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

     (B-, B2)        03/01/28          6.250          1,383,442  
  1,500       

Asteroid Private Merger Sub, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/15/24 @ 104.25)(1)

     (CCC+, Caa1)        11/15/29          8.500          1,457,610  
  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          1,135,560  
  600       

Compass Group Diversified Holdings LLC, Rule 144A, Senior Unsecured Notes
(Callable 01/15/27 @ 102.50)(1)

     (B+, B1)        01/15/32          5.000          542,562  
  136       

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

     (B-, B3)        03/15/26          8.625          132,526  
  200       

Paysafe Holdings U.S. Corp., Rule 144A, Senior Secured Notes
(Callable 06/15/24 @ 102.00)(1)

     (B, B1)        06/15/29          4.000          170,622  
                        

 

 

 
                           4,822,322  
                        

 

 

 
                        
 

Machinery (3.9%)

                   
  1,025       

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

     (BB, Ba2)        04/15/29          4.375          973,776  
  1,200       

ATS Automation Tooling Systems, Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/15/23 @ 102.06)(1)

     (B+, B2)        12/15/28          4.125          1,129,440  
  1,400       

Dornoch Debt Merger Sub, Inc., Rule 144A, Senior Unsecured Notes
(Callable 10/15/24 @ 103.31)(1),(2)

     (CCC, Caa1)        10/15/29          6.625          1,219,008  
  1,300       

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

     (CCC+, Caa1)        10/01/27          11.000          1,373,053  

 

 

 


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

March 31, 2022 (unaudited)

 

Par
(000)
             

Ratings†
  (S&P/Moody’s)  

       Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                   
 

Machinery (continued)

                   
$        1,638       

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

     (B+, B1)        07/31/27          5.750        $     1,589,253  
  400       

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

     (BB+, Ba1)        06/15/25          5.750          410,510  
                        

 

 

 
                           6,695,040  
                        

 

 

 
                        
 

Managed Care (0.4%)

                   
  705       

HealthEquity, Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/01/24 @ 102.25)(1)

     (B, B3)        10/01/29          4.500          668,869  
                        

 

 

 
                        
 

Media - Diversified (0.1%)

                   
  200       

News Corp., Rule 144A, Company Guaranteed Notes
(Callable 02/15/27 @ 102.56)(1)

     (BB+, Ba1)        02/15/32          5.125          201,230  
                        

 

 

 
                        
 

Media Content (0.4%)

                   
  980       

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

     (CCC-, Ca)        08/15/27          6.625          205,800  
  615       

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

     (CCC+, Caa3)        08/15/26          5.375          239,075  
  200       

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

     (BB, Ba3)        07/15/28          4.000          190,271  
                        

 

 

 
                           635,146  
                        

 

 

 
                        
 

Medical Products (1.6%)

                   
  675       

Embecta Corp., Rule 144A, Senior Secured Notes
(Callable 02/15/27 @ 101.25)(1)

     (B+, Ba3)        02/15/30          5.000          637,453  
  800       

Mozart Debt Merger Sub, Inc., Rule 144A, Senior Secured Notes
(Callable 10/01/24 @ 101.94)(1)

     (B+, B1)        04/01/29          3.875          740,020  
  1,400       

Mozart Debt Merger Sub, Inc., Rule 144A, Senior Unsecured Notes
(Callable 10/01/24 @ 102.63)(1)

     (B-, Caa1)        10/01/29          5.250          1,310,288  
                        

 

 

 
                           2,687,761  
                        

 

 

 
                        
 

Metals & Mining - Excluding Steel (3.3%)

                   
  250       

Canpack U.S. LLC, Rule 144A, Company Guaranteed Notes
(Callable 11/15/24 @ 101.94)(1)

     (BB, NR)        11/15/29          3.875          219,145  
  1,200       

ERO Copper Corp., Rule 144A, Company Guaranteed Notes
(Callable 02/15/25 @ 103.25)(1)

     (B, B1)        02/15/30          6.500          1,172,172  
  200       

First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes
(Callable 04/11/22 @ 100.00)(1)

     (B+, Wr)        04/01/23          7.250          200,258  
  1,500       

First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes
(Callable 04/11/22 @ 103.44)(1)

     (B+, NR)        03/01/26          6.875          1,543,388  
  400       

Kaiser Aluminum Corp., Rule 144A, Company Guaranteed Notes
(Callable 03/01/23 @ 102.31)(1)

     (BB, B1)        03/01/28          4.625          377,376  
  400       

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

     (BB, B1)        06/01/31          4.500          359,288  
  110       

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

     (BB, B1)        01/30/30          4.750          107,000  
  1,129       

SunCoke Energy, Inc., Rule 144A, Senior Secured Notes
(Callable 06/30/24 @ 102.44)(1)

     (BB, B1)        06/30/29          4.875          1,065,776  
 
550
 
    

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

     (B-, B3)        02/15/26          7.000          567,119  
                        

 

 

 
                           5,611,522  
                        

 

 

 
                        
 

Packaging (4.7%)

                   
  460       

Ardagh Metal Packaging Finance PLC, Rule 144A, Senior Unsecured Notes
(Callable 05/15/24 @ 101.50)(1),(4)

     (B+, B3)        09/01/29          3.000          457,624  
  133       

Crown Americas Capital Corp. VI, Global Company Guaranteed Notes
(Callable 05/02/22 @ 102.38)

     (BB-, Ba3)        02/01/26          4.750          134,354  
  2,250       

Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes
(Callable 05/02/22 @ 100.00)(1)

     (CCC+, Caa2)        01/15/25          6.875          2,259,525  
  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          395,000  
  1,930       

Intertape Polymer Group, Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/15/24 @ 102.19)(1)

     (B+, Ba3)        06/15/29          4.375          1,990,284  
  525       

Pactiv Evergreen Group Issuer LLC, Rule 144A, Senior Secured Notes
(Callable 10/15/23 @ 102.00)(1)

     (B+, B1)        10/15/27          4.000          487,567  

 

 

 


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

March 31, 2022 (unaudited)

 

Par
(000)
             

Ratings†
  (S&P/Moody’s)  

       Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                   
 

Packaging (continued)

                   
$        2,380       

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

     (BB-, Ba3)        04/15/29          4.125        $     2,176,248  
                        

 

 

 
                           7,900,602  
                        

 

 

 
                        
 

Personal & Household Products (1.3%)

                   
  800       

Diamond BC B.V., Rule 144A, Company Guaranteed Notes
(Callable 10/01/24 @ 102.31)(1),(2)

     (B, Caa1)        10/01/29          4.625          719,528  
  1,350       

High Ridge Brands Co., Rule 144A, Senior Unsecured Notes
(Callable 05/09/22 @ 100.00)(1),(5),(6),(7),(9)

     (NR, NR)        03/15/25          0.000          15,188  
  1,600       

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

     (CCC+, Caa2)        06/01/29          6.375          1,419,120  
                        

 

 

 
                           2,153,836  
                        

 

 

 
                        
 

Pharmaceuticals (3.7%)

                   
  500       

Bausch Health Americas, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/02/22 @ 104.63)(1)

     (B, B3)        04/01/26          9.250          513,438  
  250       

Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/02/22 @ 104.50)(1)

     (B, B3)        12/15/25          9.000          259,275  
  500       

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

     (B, B3)        05/30/29          7.250          428,840  
  700       

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

     (B, B3)        01/30/30          5.250          551,002  
  400       

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

     (BB, Ba2)        06/01/28          4.875          383,542  
  708       

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

     (BB-, Ba3)        08/15/28          3.875          636,442  
  650       

Endo Finance LLC, Rule 144A, Senior Secured Notes
(Callable 05/03/22 @ 100.00)(1),(2)

     (B-, B3)        10/15/24          5.875          613,411  
  400       

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

     (B-, B3)        04/01/29          6.125          365,482  
  940       

Grifols Escrow Issuer S.A., Rule 144A, Senior Unsecured Notes
(Callable 10/15/24 @ 102.38)(1)

     (B, B3)        10/15/28          4.750          886,049  
  540       

Horizon Therapeutics U.S.A., Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/01/22 @ 104.13)(1)

     (B+, Ba2)        08/01/27          5.500          554,488  
  1,100       

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

     (BB-, Ba2)        01/15/29          4.375          1,068,589  
                        

 

 

 
                           6,260,558  
                        

 

 

 
                        
 

Real Estate Development & Management (1.3%)

                   
  718       

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

     (BB+, NR)        11/15/23          6.125          751,961  
  1,535       

WeWork Cos., Inc., Rule 144A, Company Guaranteed Notes(1),(2)

     (CCC+, Wr)        05/01/25          7.875          1,397,326  
                        

 

 

 
                           2,149,287  
                        

 

 

 
                        
 

Real Estate Investment Trusts (2.0%)

                   
  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          990,584  
  1,400       

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

     (BB, Ba3)        02/15/26          5.500          1,422,806  
  200       

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

     (BB, Ba3)        10/01/24          4.750          201,972  
  750       

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

     (BB-, B1)        02/01/27          5.750          795,469  
                        

 

 

 
                           3,410,831  
                        

 

 

 
                        
 

Recreation & Travel (5.4%)

                   
  800       

Boyne U.S.A., Inc., Rule 144A, Senior Unsecured Notes
(Callable 05/15/24 @ 102.38)(1)

     (B, B1)        05/15/29          4.750          769,036  
  407       

Canada’s Wonderland Co., Global Company Guaranteed Notes
(Callable 05/02/22 @ 102.69)

     (CCC+, B3)        04/15/27          5.375          405,097  
  1,227       

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

     (B, B2)        06/15/26          5.750          1,212,895  
  500       

Motion Bondco DAC, Rule 144A, Company Guaranteed Notes
(Callable 11/15/22 @ 103.31)(1),(2)

     (CCC, Caa2)        11/15/27          6.625          472,195  
  589       

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

     (B-, B1)        08/01/25          6.000          604,700  

 

 

 


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

March 31, 2022 (unaudited)

 

Par
(000)
             

Ratings†
  (S&P/Moody’s)  

       Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                   
 

Recreation & Travel (continued)

                   
$        1,775       

SeaWorld Parks & Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/15/24 @ 102.63)(1),(2)

     (B-, Caa1)        08/15/29          5.250        $     1,696,545  
  400       

SeaWorld Parks & Entertainment, Inc., Rule 144A, Senior Secured Notes
(Callable 05/02/22 @ 104.38)(1)

     (BB-, Ba3)        05/01/25          8.750          415,504  
  1,150       

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 05/02/22 @ 101.22)(1)

     (B-, B3)        07/31/24          4.875          1,151,380  
  350       

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

     (BB-, Ba2)        07/01/25          7.000          365,864  
  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          2,063,225  
                        

 

 

 
                           9,156,441  
                        

 

 

 
                        
 

Restaurants (0.7%)

                   
  1,225       

Yum Brands, Inc., Senior Unsecured Notes
(Callable 04/01/27 @ 102.69)

     (BB, Ba3)        04/01/32          5.375          1,228,393  
                        

 

 

 
                        
 

Software - Services (4.4%)

                   
  235       

CA Magnum Holdings, Rule 144A, Senior Secured Notes
(Callable 10/31/23 @ 102.69)(1)

     (NR, B1)        10/31/26          5.375          232,062  
  610       

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

     (BB+, Ba1)        06/01/27          4.875          615,902  
  2,100       

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

     (B+, B1)        07/15/29          4.125          1,955,667  
  1,575       

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

     (CCC+, Caa2)        02/15/29          6.000          1,361,706  
  257       

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

     (BB-, Ba3)        12/01/27          5.250          258,731  
  225       

Open Text Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/01/26 @ 102.06)(1)

     (BB, Ba2)        12/01/31          4.125          211,128  
  587       

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

     (CCC+, Caa1)        02/01/28          8.250          599,509  
  2,305       

Virtusa Corp., Rule 144A, Senior Unsecured Notes
(Callable 12/15/23 @ 103.56)(1)

     (CCC+, Caa2)        12/15/28          7.125          2,148,271  
                        

 

 

 
                           7,382,976  
                        

 

 

 
                        
 

Specialty Retail (3.6%)

                   
  40       

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

     (BB, B1)        03/01/28          4.500          38,508  
  491       

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

     (BB, B1)        03/01/30          4.750          464,020  
  200       

Asbury Automotive Group, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/15/24 @ 102.31)(1)

     (BB, B1)        11/15/29          4.625          187,338  
  200       

Asbury Automotive Group, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/15/26 @ 102.50)(1)

     (BB, B1)        02/15/32          5.000          186,184  
  950       

eG Global Finance PLC, Rule 144A, Senior Secured Notes
(Callable 05/03/22 @ 104.25)(1)

     (B-, B3)        10/30/25          8.500          974,106  
  400       

LCM Investments Holdings II LLC, Rule 144A, Senior Unsecured Notes
(Callable 05/01/24 @ 102.44)(1)

     (BB-, B2)        05/01/29          4.875          378,288  
  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          182,917  
  400       

Penske Automotive Group, Inc., Company Guaranteed Notes
(Callable 06/15/24 @ 101.88)

     (BB-, Ba3)        06/15/29          3.750          359,588  
  1,850       

Ruyi U.S. Finance LLC, Rule 144A, Senior Secured Notes
(Callable 05/02/22 @ 103.75)(1)

     (NR, Caa1)        05/01/25          7.500          1,669,958  
  200       

Sonic Automotive, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/15/24 @ 102.31)(1)

     (BB-, B1)        11/15/29          4.625          179,001  
  1,150       

Sonic Automotive, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/15/26 @ 102.44)(1)

     (BB-, B1)        11/15/31          4.875          1,021,430  
  450       

Wolverine World Wide, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/15/24 @ 102.00)(1)

     (BB-, Ba2)        08/15/29          4.000          400,185  
                        

 

 

 
                           6,041,523  
                        

 

 

 
                        
 

Support - Services (7.0%)

                   
  318       

Allied Universal Finance Corp., Rule 144A, Senior Secured Notes
(Callable 06/01/24 @ 102.31)(1)

     (B, B2)        06/01/28          4.625          302,525  

 

 

 


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

March 31, 2022 (unaudited)

 

Par
(000)
             

Ratings†
  (S&P/Moody’s)  

       Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

 
 

Support - Services (continued)

 
$           782       

Allied Universal Finance Corp., Rule 144A, Senior Secured Notes
(Callable 06/01/24 @ 102.31)(1)

     (B, B2)        06/01/28          4.625        $        731,991  
  1,300       

Allied Universal Finance Corp., Rule 144A, Senior Unsecured Notes
(Callable 06/01/24 @ 103.00)(1)

     (CCC+, Caa1)        06/01/29          6.000          1,145,515  
  475       

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

     (B, B1)        07/15/29          4.125          438,639  
  400       

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

     (CCC+, Caa1)        07/01/29          4.875          377,162  
  1,600       

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

     (B, B1)        05/01/28          4.500          1,511,848  
  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          1,843,404  
  2,000       

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

     (B, B2)        05/01/29          4.625          1,854,440  
  500       

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

     (BB, B1)        06/15/25          7.125          519,920  
  500       

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

     (BB, B1)        06/15/28          7.250          531,650  
  1,550       

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

     (CCC+, Caa1)        10/15/28          6.875          1,470,632  
  595       

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

     (B+, B2)        08/15/28          4.625          580,803  
  500       

ZipRecruiter, Inc., Rule 144A, Senior Unsecured Notes
(Callable 01/15/25 @ 102.50)(1)

     (BB-, B2)        01/15/30          5.000          488,830  
                        

 

 

 
                           11,797,359  
                        

 

 

 
                        
 

Tech Hardware & Equipment (3.4%)

                   
  1,200       

Ciena Corp., Rule 144A, Company Guaranteed Notes
(Callable 01/31/25 @ 102.00)(1)

     (BB, Ba1)        01/31/30          4.000          1,156,746  
  759       

CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes
(Callable 04/11/22 @ 102.00)(1)

     (CCC+, B3)        06/15/25          6.000          725,740  
  340       

CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes
(Callable 04/11/22 @ 102.50)(1)

     (CCC+, B3)        03/15/27          5.000          296,548  
  650       

CommScope, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/02/22 @ 104.13)(1)

     (CCC+, B3)        03/01/27          8.250          633,851  
  685       

CommScope, Inc., Rule 144A, Senior Secured Notes
(Callable 09/01/24 @ 102.38)(1)

     (B, Ba3)        09/01/29          4.750          632,851  
  1,200       

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

     (BB-, B1)        05/15/29          4.750          1,157,160  
  1,320       

Vertiv Group Corp., Rule 144A, Senior Secured Notes
(Callable 11/15/24 @ 102.06)(1)

     (BB-, B1)        11/15/28          4.125          1,206,216  
                        

 

 

 
                           5,809,112  
                        

 

 

 
                        
 

Telecom - Wireline Integrated & Services (2.5%)

                   
  1,656       

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

     (B, B2)        01/15/29          5.125          1,474,362  
  200       

Altice France S.A., Rule 144A, Senior Secured Notes
(Callable 04/15/24 @ 102.56)(1)

     (B, B2)        07/15/29          5.125          179,520  
  200       

Altice France S.A., Rule 144A, Senior Secured Notes
(Callable 10/15/24 @ 102.75)(1)

     (B, B2)        10/15/29          5.500          179,728  
  2,651       

GTT Communications, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/02/22 @ 101.97)(1),(5)

     (NR, Wr)        12/31/24          0.000          271,727  
  1,193       

LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes
(Callable 10/15/22 @ 103.38)(1)

     (B+, B1)        10/15/27          6.750          1,227,168  
  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          191,340  
  400       

Vmed O2 UK Financing I PLC, Rule 144A, Senior Secured Notes
(Callable 01/31/26 @ 102.13)(1)

     (BB-, Ba3)        01/31/31          4.250          366,364  
  400       

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

     (CCC+, Caa1)        03/01/28          6.125          358,790  
                        

 

 

 
                           4,248,999  
                        

 

 

 
                        
 

Theaters & Entertainment (2.5%)

                   
  1,538       

AMC Entertainment Holdings, Inc.,10.00% Cash, 12.00% PIK, Rule 144A, Secured Notes
(Callable 06/15/23 @ 106.00)(1),(10)

     (CCC-, Caa3)        06/15/26          10.000          1,386,472  

 

 

 


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

March 31, 2022 (unaudited)

 

Par
(000)
             

Ratings†
  (S&P/Moody’s)  

       Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

 
 

Theaters & Entertainment (continued)

 
$      1,025       

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/02/22 @ 101.22)(1)

     (B-, B3)        11/01/24          4.875        $     1,030,881  
  700       

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/02/22 @ 102.81)(1)

     (B-, B3)        03/15/26          5.625          713,958  
  325       

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

     (B-, B3)        10/15/27          4.750          318,305  
  800       

Technicolor S.A., Rule 144A (1),(4),(6),(7)

     (NR, NR)        05/31/29          4.500          867,867  
                        

 

 

 
                           4,317,483  
                        

 

 

 
                        
 

Transport Infrastructure/Services (0.5%)

                   
  899       

Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes
(Callable 04/11/22 @ 100.00)(1)

     (B, Caa1)        08/15/22          11.250          896,051  
                        

 

 

 
                        
 

Trucking & Delivery (0.4%)

                   
  800       

XO Management Holdings, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/01/25 @ 103.19)(1)

     (B-, Caa1)        02/01/30          6.375          757,068  
                        

 

 

 
 

TOTAL CORPORATE BONDS (Cost $174,066,060)

         164,045,214  
                        

 

 

 
                        
 

BANK LOANS (32.1%)

 
 

Aerospace & Defense (1.2%)

                   
  1,050       

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

     (NR, NR)        01/31/28          10.000          1,044,750  
  300       

Amentum Government Services Holdings LLC, SOFR 3M + 4.000%(11)

     (B, B1)        02/15/29         
4.500 –
4.777
 
 
       298,125  
  728       

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

     (NR, NR)        02/01/29          8.500          725,376  
                        

 

 

 
                      2,068,251  
                        

 

 

 
                        
 

Auto Parts & Equipment (1.0%)

                   
  724       

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

     (CCC+, B3)        05/19/23          4.758          711,833  
  233       

Jason Group, Inc., LIBOR 3M + 1.000% Cash, 9.000% PIK(10),(11)

     (NR, Caa3)        03/02/26          11.000          230,321  
  327       

Jason Group, Inc., LIBOR 3M + 2.000% Cash, 4.000% PIK(10),(11)

     (NR, Caa1)        08/28/25          7.010          324,317  
  361       

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

     (CCC+, B2)        12/23/24          5.256          338,167  
                        

 

 

 
                           1,604,638  
                        

 

 

 
                        
 

Banking (0.5%)

                   
  891       

Citco Funding LLC, LIBOR 3M + 2.500%(11)

     (NR, Ba3)        09/28/23          3.506          882,980  
                        

 

 

 
                        
 

Chemicals (6.9%)

                   
  1,463       

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

     (BB-, Ba3)        08/27/26          5.500          1,460,452  
  3,577       

Atotech B.V., LIBOR 1M + 2.500%(11)

     (B+, B1)        03/18/28          3.000          3,541,657  
  741       

Ferro Corp. (Term Loan B1), LIBOR 3M + 2.250%(11)

     (BB-, Ba3)        02/14/24          3.256          739,702  
  195       

Ferro Corp. (Term Loan B2), LIBOR 3M + 2.250%(11)

     (BB-, Ba3)        02/14/24          3.256          194,355  
  190       

Ferro Corp. (Term Loan B3), LIBOR 3M + 2.250%(11)

     (BB-, Ba3)        02/14/24          3.256          190,220  
  1,899       

PMHC II, Inc., LIBOR 1M + 3.500%(11)

     (B-, B3)        03/31/25          4.500          1,888,639  
  1,452       

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

     (B-, B3)        10/15/25         
4.854 –
4.988
 
 
       1,411,609  
  1,750       

Vantage Specialty Chemicals, Inc., LIBOR 3M +
8.250%(8),(11)

     (CCC-, Caa3)        10/27/25          9.250          1,696,188  
  544       

Zep, Inc., LIBOR 12M + 4.000%(11)

     (CCC+, B2)        08/12/24          5.000          522,427  
                        

 

 

 
                           11,645,249  
                        

 

 

 
                        
 

Diversified Capital Goods (0.8%)

                   
  1,034       

Electrical Components International, Inc., PRIME +
7.500%(6),(11)

     (B-, B2)        06/26/25          11.000          1,013,267  
  267       

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

     (BB, Ba3)        02/12/25          3.500          264,638  
                        

 

 

 
                           1,277,905  
                        

 

 

 
                        
 

Electronics (2.2%)

                   
  750       

CPI International, Inc., LIBOR 3M + 7.250%(6),(8),(11)

     (CCC, Caa2)        07/26/25          8.250          712,056  
  1,550       

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

     (CCC+, Caa1)        12/01/25          8.500          1,545,481  
  1,537       

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

     (B-, B3)        01/09/26          5.506          1,519,141  
                        

 

 

 
                           3,776,678  
                        

 

 

 
                        
 

Food & Drug Retailers (0.5%)

                   
  800       

WOOF Holdings, Inc., LIBOR 3M + 7.250%(11)

     (CCC, Caa2)        12/21/28          8.178          793,000  
                        

 

 

 

 

 

 

 


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

March 31, 2022 (unaudited)

 

Par
(000)
             

Ratings†
  (S&P/Moody’s)  

       Maturity            Rate%            Value    
                        
 

BANK LOANS (continued)

 
 

Food - Wholesale (0.3%)

 
$           518       

United Natural Foods, Inc., LIBOR 1M + 3.250%(11)

     (BB-, B1)        10/22/25          3.707        $        514,960  
                        

 

 

 
                        
 

Gas Distribution (0.7%)

                   
  1,141       

Traverse Midstream Partners LLC, SOFR 3M + 4.250%(11)

     (B, B3)        09/27/24          5.250          1,138,220  
                        

 

 

 
                        
 

Health Services (1.3%)

                   
  548       

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

     (B-, B1)        05/08/23          7.756          543,009  
  1,620       

U.S. Radiology Specialists, Inc., LIBOR 3M + 5.250%(11)

     (B-, B3)        12/15/27          6.313          1,616,849  
                        

 

 

 
                           2,159,858  
                        

 

 

 
                        
 

Investments & Misc. Financial Services (1.5%)

                   
  1,500       

AqGen Ascensus, Inc., LIBOR 3M + 6.500%(6),(11)

     (CCC, Caa2)        08/02/29          7.000          1,490,625  
  865       

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

     (CCC, Caa2)        04/07/28          7.500          867,548  
  570       

Ditech Holding Corp.(5),(9)

     (NR, NR)        06/30/22          0.000          113,618  
                        

 

 

 
                           2,471,791  
                        

 

 

 
                        
 

Life Insurance (0.5%)

                   
  980       

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

     (B-, B2)        10/01/26          6.457          902,764  
                        

 

 

 
                        
 

Machinery (1.0%)

                   
  489       

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

     (B, B1)        09/30/26          5.006          484,870  
  798       

LTI Holdings, Inc., LIBOR 3M + 6.750%(8),(11)

     (CCC+, Caa2)        09/06/26          7.207          784,693  
  439       

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

     (B-, B2)        09/06/25          3.957          429,498  
                        

 

 

 
                           1,699,061  
                        

 

 

 
                        
 

Media - Diversified (0.1%)

                   
  118       

Diamond Sports Group, LLC, SOFR 3M + 8.000%(11)

     (B, B2)        05/26/26          9.000          120,049  
                        

 

 

 
                        
 

Medical Products (0.7%)

                   
  615       

Femur Buyer, Inc., LIBOR 3M + 5.500%(6),(11)

     (NR, NR)        03/05/24          6.506          531,038  
  691       

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

     (CCC+, B3)        07/02/25          7.250          682,500  
                        

 

 

 
                           1,213,538  
                        

 

 

 
                        
 

Packaging (0.2%)

                   
  540       

Strategic Materials, Inc., LIBOR 3M + 7.750%(6),(8),(11)

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

 

 

 
                        
 

Personal & Household Products (1.5%)

                   
  800       

ABG Intermediate Holdings 2 LLC, SOFR 3M +
6.000%(6),(11)

     (CCC+, Caa1)        12/20/29          6.801          795,000  
  1,111       

Serta Simmons Bedding, LLC (2020 Super Priority First Out Term Loan), LIBOR 1M + 7.500%(11)

     (B, B2)        08/10/23          8.500          1,116,711  
  749       

Serta Simmons Bedding, LLC (2020 Super Priority Second Out Term Loan), LIBOR 1M + 7.500%(11)

     (B-, Caa2)        08/10/23          8.500          709,087  
                        

 

 

 
                           2,620,798  
                        

 

 

 
                        
 

Pharmaceuticals (1.6%)

                   
  776       

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

     (CCC+, Caa2)        10/01/25          8.500          778,792  
  818       

Bausch Health Companies, Inc.(12)

     (BB, Ba2)        06/02/25          0.000          812,679  
  1,145       

Bausch Health Companies, Inc.(12)

     (BB, Ba2)        11/27/25          0.000          1,136,413  
                        

 

 

 
                           2,727,884  
                        

 

 

 
                        
 

Recreation & Travel (1.7%)

                   
  763       

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

     (CCC-, Caa3)        09/04/26          8.258          730,064  
  978       

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

     (B-, B3)        09/05/25          4.258          928,364  
  530       

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

     (CCC-, Caa2)        04/27/25          5.500          476,489  
  773       

Hornblower Sub LLC, LIBOR 3M + 8.125%(11)

     (NR, NR)        11/10/25          9.125          800,258  
                        

 

 

 
                           2,935,175  
                        

 

 

 
                        
 

Restaurants (0.1%)

                   
  15       

Golden Nugget, Inc., LIBOR 1M + 12.000%(6),(11)

     (NR, NR)        10/04/23          13.000          16,157  
  200       

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

     (CCC, Caa2)        02/04/28          8.250          197,750  
                        

 

 

 
                           213,907  
                        

 

 

 
                        
 

Software - Services (3.7%)

                   
  1,206       

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

     (B-, B2)        10/09/26          4.707          1,197,331  
  600       

CommerceHub, Inc.(12)

     (CCC, Caa2)        12/29/28          0.000          557,250  
  1,250       

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

     (CCC, Caa2)        07/31/28          8.750          1,279,688  

 

 

 


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

March 31, 2022 (unaudited)

 

Par
(000)
             

Ratings†
  (S&P/Moody’s)  

       Maturity            Rate%            Value    
                        
 

BANK LOANS (continued)

 
 

Software - Services (continued)

 
$           467       

Finastra U.S.A., Inc., LIBOR 3M + 3.500%(11)

     (B-, B2)        06/13/24          4.500        $        461,481  
  2,361       

Finastra U.S.A., Inc., LIBOR 3M + 7.250%(11)

     (CCC, Caa2)        06/13/25          8.250          2,328,566  
  477       

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

     (B, B2)        07/07/24          5.750          475,132  
                        

 

 

 
                           6,299,448  
                        

 

 

 
                        
 

Support - Services (1.9%)

                   
  2,260       

Change Healthcare Holdings LLC, LIBOR 1M +
2.500%(11)

     (B+, B1)        03/01/24          3.500          2,251,001  
  400       

LaserShip, Inc.(6),(12)

     (CCC, Caa2)        05/07/29          0.000          399,000  
  163       

Nuvei Technologies Corp., LIBOR 1M + 2.500%(6),(11)

     (B+, Ba3)        09/28/25          3.000          162,412  
  400       

TruGreen Limited Partnership, LIBOR 3M +
8.500%(6),(11)

     (CCC+, Caa1)        11/02/28          9.506          403,000  
                        

 

 

 
                           3,215,413  
                        

 

 

 
                        
 

Telecom - Wireline Integrated & Services (0.5%)

                   
  875       

TVC Albany, Inc., LIBOR 1M + 7.500%(6),(8),(11)

     (CCC, Caa2)        07/23/26          7.960          844,375  
                        

 

 

 
                        
 

Theaters & Entertainment (1.7%)

                   
  515       

Technicolor S.A., LIBOR 6M + 6.000% Cash, 6.000% PIK(10),(11)

     (B, Caa1)        06/30/24          12.446          535,067  
  748       

TopGolf International, Inc.(12)

     (B, B3)        02/09/26          0.000          760,931  
  1,568       

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

     (B, B3)        05/18/25          3.210          1,544,386  
                        

 

 

 
                           2,840,384  
                        

 

 

 
 

TOTAL BANK LOANS (Cost $55,227,753)

         54,276,826  
                        

 

 

 
                        
 

ASSET BACKED SECURITIES (6.2%)

 
 

Collateralized Debt Obligations (6.2%)

                   
  650       

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

     (NR, Ba3)        07/20/34          7.654          638,089  
  1,000       

Anchorage Capital CLO 25 Ltd., 2022-25A, Rule 144A, SOFR 3M + 7.170% (1),(11)

     (NR, Ba3)        04/20/35          7.411          974,956  
  500       

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

     (NR, Ba3)        04/27/39          6.659          428,528  
  750       

Battalion CLO 18 Ltd., 2020-18A, Rule 144A, LIBOR 3M + 6.710% (1),(11)

     (BB-, NR)        10/15/36          6.951          717,652  
  1,000       

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

     (BB-, NR)        01/17/33          6.591          966,958  
  1,000       

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

     (BB-, NR)        04/20/34          6.974          952,640  
  1,000       

KKR CLO Ltd., Rule 144A, LIBOR 3M + 6.150% (1),(11)

     (NR, B1)        07/15/31          6.391          952,538  
  1,000       

KKR CLO Ltd., Rule 144A, LIBOR 3M + 7.110% (1),(11)

     (BB-, NR)        10/20/34          7.364          969,752  
  1,000       

Marble Point CLO XXIII Ltd., 2021-4A, Rule 144A, LIBOR 3M + 5.750% (1),(11)

     (NR, Ba1)        01/22/35          5.843          950,421  
  1,000       

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

     (BB-, NR)        10/20/32          7.484          982,410  
  1,000       

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

     (NR, Baa2)        04/20/37          5.459          991,421  
  1,000       

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

     (BB-, NR)        01/20/34          7.964          964,178  
                        

 

 

 
 

TOTAL ASSET BACKED SECURITIES (Cost $10,767,898)

         10,489,543  
                        

 

 

 
                        
Number of
Shares
                                          
                        
 

COMMON STOCKS (0.7%)

 
 

Auto Parts & Equipment (0.1%)

                   
  18,270       

Jason Group, Inc.(9)

 

       191,837  
                        

 

 

 
                        
 

Chemicals (0.4%)

                   
  2,794       

Project Investor Holdings LLC(6),(7),(8),(9)

 

       28  
  46,574       

Proppants Holdings LLC(6),(7),(8),(9)

 

       466  
  10,028       

UTEX Industries, Inc.(6),(9)

 

       621,736  
                        

 

 

 
                           622,230  
                        

 

 

 
                        
 

Pharmaceuticals (0.2%)

                   
  45,583       

Akorn Holding Company LLC(6),(9)

 

       364,664  
                        

 

 

 
                        
 

Support - Services (0.0%)

                   
  800       

LTR Holdings LLC(6),(7),(8),(9)

 

       4,706  
  433       

Sprint Industrial Holdings LLC, Class G(6),(7),(8),(9)

 

        
  39       

Sprint Industrial Holdings LLC, Class H(6),(7),(8),(9)

 

        

 

 

 


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

March 31, 2022 (unaudited)

 

Number of
Shares
                                         Value    
                        
 

COMMON STOCKS (continued)

 
 

Support - Services (continued)

 
              96       

Sprint Industrial Holdings LLC, Class I(6),(7),(8),(9)

                    $ 500  
                        

 

 

 
                           5,206  
                        

 

 

 
 

TOTAL COMMON STOCKS (Cost $1,639,154)

                      1,183,937  
                        

 

 

 
                        
 

WARRANT (0.0%)

 
 

Chemicals (0.0%)

 
       11,643       

Project Investor Holdings LLC, expires 02/20/2022(6),(7),(8),(9) (Cost $6,054)

                       
                        

 

 

 
                        
 

SHORT-TERM INVESTMENTS (7.1%)

 
  7,072,028       

State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.25%

                      7,072,028  
  4,993,173       

State Street Navigator Securities Lending Government Money Market Portfolio, 0.25%(13)

                      4,993,173  
                        

 

 

 
                        
 

TOTAL SHORT-TERM INVESTMENTS (Cost $12,065,201)

                      12,065,201  
                        

 

 

 
                        
 

TOTAL INVESTMENTS AT VALUE (142.9%) (Cost $253,772,120)

                      242,060,721  
 

LIABILITIES IN EXCESS OF OTHER ASSETS (-42.9%)

                      (72,611,043
                        

 

 

 
                        
 

NET ASSETS (100.0%)

                    $ 169,449,678  
                        

 

 

 

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

SOFR = Secured Overnight Financing Rate

 

 

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 March 31, 2022, these securities amounted to a value of $162,138,472 or 95.7% of net assets.

(2) 

Security or portion thereof is out on loan.

(3) 

This security is denominated in British Pound.

(4) 

This security is denominated in Euro.

(5) 

Bond is currently in default.

(6) 

Security is valued using significant unobservable inputs.

(7) 

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.

(8) 

Illiquid security.

(9) 

Non-income producing security.

(10) 

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

(11) 

Variable rate obligation — The interest rate shown is the rate in effect as of March 31, 2022. 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 March 31, 2022.

(13) 

Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at March 31, 2022.

 

 

 


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

March 31, 2022 (unaudited)

 

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
 

USD

  $ 2,269,327     

EUR

   $ 1,987,909      10/12/22    Deutsche Bank AG    $ (2,269,327   $ (2,233,278   $ 36,049  

USD

    720,667     

GBP

     530,171      10/12/22    Deutsche Bank AG      (720,667     (698,196     22,471  
                    

 

 

 
 
  $           58,520  
                    

 

 

 

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
Depreciation
 

EUR

           95,591     

USD

          108,044      10/12/22    Deutsche Bank AG    $ 108,044     $ 107,391     $ (653

EUR

    19,172     

USD

     22,069      10/12/22    Morgan Stanley      22,069       21,538       (531

GBP

    12,952     

USD

     17,783      10/12/22    Deutsche Bank AG      17,783       17,057       (726

USD

    463,874     

EUR

     416,000      10/12/22    Barclays Bank PLC      (463,874     (467,347     (3,473
                    

 

 

 
  $ (5,383
                    

 

 

 
 
  $           53,137  
                    

 

 

 

Currency Abbreviations:

EUR = Euro

GBP = British Pound

USD = United States Dollar

 

 

 


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

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

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

 

    

Level  1–quoted prices in active markets for identical investments

    

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

 

 

 


    

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

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

The following is a summary of the inputs used as of March 31, 2022 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

   $      $ 163,158,429      $ 886,785     $ 164,045,214  

Bank Loans

            43,108,119        11,168,707       54,276,826  

Asset Backed Securities

            10,489,543              10,489,543  

Common Stocks

            191,837        992,100       1,183,937  

Warrants

                   0 (1)      0 (1) 

Short-term Investments

     7,072,028        4,993,173              12,065,201  
  

 

 

    

 

 

    

 

 

   

 

 

 
   $         7,072,028      $     221,941,101      $       13,047,592     $     242,060,721  
  

 

 

    

 

 

    

 

 

   

 

 

 

Other Financial Instruments*

 

 

Forward Foreign Currency Contracts

   $      $ 58,520      $     $ 58,520  
          

Liabilities

   Level 1      Level 2      Level 3     Total  

Other Financial Instruments*

          

Forward Foreign Currency Contracts

   $      $ 5,383      $     $ 5,383  

 

*

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

(1) 

Includes a zero valued security.

The following is a reconciliation of investments as of March 31, 2022 for which significant unobservable inputs were used in determining fair value.

 

     Corporate
Bonds
     Bank
Loans
    Common
Stocks
    Warrant     Total  

Balance as of December 31, 2021

   $ 18,917      $ 8,217,766     $ 5,700     $ 0 (1)    $ 8,242,383  

Accrued discounts (premiums)

            12,384                   12,384  

Purchases

     866,892        453,002                   1,319,894  

Sales

            (2,087,294                 (2,087,294

Realized gain (loss)

            16,154       (44,986           (28,832

Change in unrealized appreciation (depreciation)

     976        (96,956     44,986             (50,994

Transfers into Level 3

            4,653,651       986,400             5,640,051  

Transfers out of Level 3

                               
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Balance as of March 31, 2022

   $ 886,785      $ 11,168,707     $ 992,100     $ 0 (1)    $ 13,047,592  
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) from investments still held as of March 31, 2022

   $ 976      $ (82,960   $ —             $ (81,984

 

(1) 

Includes zero valued securities.

Quantitative Disclosure About Significant Unobservable Inputs

 

Asset Class    

   Fair Value
At 03/31/2022
    

Valuation

Technique

  

Unobservable

Input

  

Range

(Weighted Average)*

Bank Loans

   $ 11,168,707      Vendor pricing    Single Broker Quote    $0.58 - $1.07 ($0.97)

Common Stocks

   $ 494      Income Approach    Expected Remaining Distribution    $0.00 - $0.01 ($0.01)
     5,206      Recent Transactions    Trade Price    $5.22 - $5.88 ($5.82)
     986,400      Vendor pricing    Single Broker Quote    $8.00 - $62.00 ($42.04)

Corporate Bonds

   $ 3,730      Income Approach    Expected Remaining Distribution    $0.01 (N/A)
     867,867      Recent Transactions    Trade Price    $1.08 (N/A)
     15,188      Vendor pricing    Single Broker Quote    $0.01 (N/A)

Warrants

   $ 0      Income Approach    Expected Remaining Distribution    $0.00 (N/A)

* Weighted by relative fair value

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

For the period ended March 31, 2022, $5,640,051 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs. All transfers, if any, are assumed to occur at the end of the reporting period.

Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Fund’s website at www.credit-suisse.com/us/funds, as well as on the website of the Securities and Exchange Commission at www.sec.gov.