Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments
September 30, 2022 (unaudited)
Par (000) |
Ratings (S&P/Moodys) |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (99.6%) |
||||||||||||||||||
Aerospace & Defense (0.9%) |
||||||||||||||||||
$ | 650 | KBR, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, Ba3) | 09/30/28 | 4.750 | $ | 560,279 | |||||||||||
800 | TransDigm, Inc., Global Company Guaranteed Notes |
(B-, B3) | 03/15/27 | 7.500 | 762,560 | |||||||||||||
|
|
|||||||||||||||||
1,322,839 | ||||||||||||||||||
|
|
|||||||||||||||||
Auto Parts & Equipment (0.8%) |
||||||||||||||||||
1,005 | Clarios U.S. Finance Co., Rule 144A, Company Guaranteed Notes |
(CCC+, Caa1) | 05/15/27 | 8.500 | 956,181 | |||||||||||||
250 | Tenneco, Inc., Rule 144A, Senior Secured Notes |
(B+, Ba3) | 01/15/29 | 7.875 | 244,657 | |||||||||||||
|
|
|||||||||||||||||
1,200,838 | ||||||||||||||||||
|
|
|||||||||||||||||
Automakers (0.5%) |
||||||||||||||||||
200 | Thor Industries, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, B1) | 10/15/29 | 4.000 | 148,497 | |||||||||||||
675 | Winnebago Industries, Inc., Rule 144A, Senior Secured Notes |
(BB+, Ba3) | 07/15/28 | 6.250 | 626,103 | |||||||||||||
|
|
|||||||||||||||||
774,600 | ||||||||||||||||||
|
|
|||||||||||||||||
Brokerage (0.6%) |
||||||||||||||||||
901 | StoneX Group, Inc., Rule 144A, Senior Secured Notes |
(BB-, Ba3) | 06/15/25 | 8.625 | 911,898 | |||||||||||||
|
|
|||||||||||||||||
Building & Construction (1.4%) |
||||||||||||||||||
1,340 | Adams Homes, Inc., Rule 144A, Company Guaranteed Notes |
(B+, B2) | 02/15/25 | 7.500 | 1,107,946 | |||||||||||||
650 | Installed Building Products, Inc., Rule 144A, Company Guaranteed Notes |
(B+, B1) | 02/01/28 | 5.750 | 585,711 | |||||||||||||
350 | TopBuild Corp., Rule 144A, Company Guaranteed Notes |
(BB+, Ba2) | 03/15/29 | 3.625 | 275,401 | |||||||||||||
|
|
|||||||||||||||||
1,969,058 | ||||||||||||||||||
|
|
|||||||||||||||||
Building Materials (7.4%) |
||||||||||||||||||
1,500 | Advanced Drainage System, Inc., Rule 144A, Company Guaranteed Notes |
(B+, Ba2) | 06/15/30 | 6.375 | 1,456,845 | |||||||||||||
200 | Builders FirstSource, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, Ba2) | 03/01/30 | 5.000 | 169,328 | |||||||||||||
1,400 | Builders FirstSource, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, Ba2) | 06/15/32 | 6.375 | 1,247,093 | |||||||||||||
750 | Eco Material Technologies, Inc., Rule 144A, Senior Secured Notes |
(B, B2) | 01/31/27 | 7.875 | 665,583 | |||||||||||||
2,058 | Foundation Building Materials, Inc., Rule 144A, Company Guaranteed Notes |
(CCC+, Caa1) | 03/01/29 | 6.000 | 1,505,780 | |||||||||||||
426 | LBM Acquisition LLC, Rule 144A, Company Guaranteed Notes |
(CCC, Caa1) | 01/15/29 | 6.250 | 289,527 | |||||||||||||
1,647 | MIWD Finance Corp., Rule 144A, Company Guaranteed Notes |
(B, B3) | 02/01/30 | 5.500 | 1,204,561 | |||||||||||||
1,175 | Oscar Finance, Inc., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa1) | 04/15/30 | 9.500 | 985,543 | |||||||||||||
940 | Park River Holdings, Inc., Rule 144A, Company Guaranteed Notes |
(CCC, Caa1) | 02/01/29 | 5.625 | 611,663 | |||||||||||||
650 | Park River Holdings, Inc., Rule 144A, Senior Unsecured Notes |
(CCC, Caa1) | 08/01/29 | 6.750 | 432,396 | |||||||||||||
1,600 | PGT Innovations, Inc., Rule 144A, Company Guaranteed Notes |
(B+, B1) | 10/01/29 | 4.375 | 1,314,900 | |||||||||||||
800 | Standard Industries, Inc., Rule 144A, Senior Unsecured Notes |
(BB, B1) | 07/15/30 | 4.375 | 613,928 | |||||||||||||
|
|
|||||||||||||||||
10,497,147 | ||||||||||||||||||
|
|
|||||||||||||||||
Cable & Satellite TV (2.6%) |
||||||||||||||||||
685 | CSC Holdings LLC, Global Senior Unsecured Notes |
(B, B3) | 06/01/24 | 5.250 | 634,570 | |||||||||||||
50 | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes |
(BB, Ba3) | 04/15/27 | 5.500 | 44,308 | |||||||||||||
850 | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes |
(BB-, Ba3) | 02/01/28 | 5.375 | 744,175 |
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2022 (unaudited)
Par (000) |
Ratings (S&P/Moodys) |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Cable & Satellite TV (continued) |
||||||||||||||||||
$ | 600 | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes |
(BB-, Ba3) | 11/15/31 | 4.500 | $ | 451,680 | |||||||||||
1,600 | Telenet Finance Luxembourg Notes Sarl, Rule 144A, Senior Secured Notes |
(BB-, Ba3) | 03/01/28 | 5.500 | 1,401,816 | |||||||||||||
600 | UPC Broadband Finco B.V., Rule 144A, Senior Secured Notes |
(BB-, B1) | 07/15/31 | 4.875 | 466,587 | |||||||||||||
|
|
|||||||||||||||||
3,743,136 | ||||||||||||||||||
|
|
|||||||||||||||||
Chemicals (4.6%) |
||||||||||||||||||
200 | Avient Corp., Rule 144A, Senior Unsecured Notes |
(BB-, Ba3) | 05/15/25 | 5.750 | 193,245 | |||||||||||||
477 | Avient Corp., Rule 144A, Senior Unsecured Notes |
(BB-, Ba3) | 08/01/30 | 7.125 | 441,328 | |||||||||||||
600 | Herens Holdco Sarl, Rule 144A, Senior Secured Notes |
(B, B2) | 05/15/28 | 4.750 | 481,950 | |||||||||||||
800 | Herens Midco Sarl, Rule 144A, Company Guaranteed Notes |
(CCC+, Caa2) | 05/15/29 | 5.250 | 498,026 | |||||||||||||
800 | LSF11 A5 Holdings LLC, Rule 144A, Senior Unsecured Notes |
(B-, Caa1) | 10/15/29 | 6.625 | 601,572 | |||||||||||||
350 | Olympus Water U.S. Holding Corp., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 10/01/29 | 6.250 | 240,439 | |||||||||||||
276 | Reichhold Industries, Inc., Rule 144A, Senior Secured Notes(1),(4),(5),(6),(7),(8) |
(NR, NR) | 05/01/18 | 0.000 | 3,730 | |||||||||||||
1,200 | Schenectady International Group, Inc., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 05/15/26 | 6.750 | 662,310 | |||||||||||||
400 | Trinseo Materials Finance, Inc., Rule 144A, Company Guaranteed Notes |
(B, B2) | 04/01/29 | 5.125 | 236,770 | |||||||||||||
800 | Tronox, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, B1) | 03/15/29 | 4.625 | 593,684 | |||||||||||||
1,200 | Valvoline, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, Ba3) | 02/15/30 | 4.250 | 1,138,021 | |||||||||||||
2,215 | Vibrantz Technologies, Inc., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 02/15/30 | 9.000 | 1,446,123 | |||||||||||||
|
|
|||||||||||||||||
6,537,198 | ||||||||||||||||||
|
|
|||||||||||||||||
Consumer/Commercial/Lease Financing (1.2%) |
||||||||||||||||||
1,950 | Cargo Aircraft Management, Inc., Rule 144A, Company Guaranteed Notes |
(BB, Ba2) | 02/01/28 | 4.750 | 1,682,791 | |||||||||||||
|
|
|||||||||||||||||
Diversified Capital Goods (1.7%) |
||||||||||||||||||
1,350 | Atkore, Inc., Rule 144A, Senior Unsecured Notes |
(BB, Ba2) | 06/01/31 | 4.250 | 1,081,465 | |||||||||||||
1,698 | GrafTech Finance, Inc., Rule 144A, Senior Secured Notes |
(BB, Ba3) | 12/15/28 | 4.625 | 1,292,297 | |||||||||||||
|
|
|||||||||||||||||
2,373,762 | ||||||||||||||||||
|
|
|||||||||||||||||
Electronics (0.7%) |
||||||||||||||||||
1,200 | Synaptics, Inc., Rule 144A, Company Guaranteed Notes |
(B+, Ba3) | 06/15/29 | 4.000 | 969,535 | |||||||||||||
|
|
|||||||||||||||||
Energy - Exploration & Production (2.3%) |
||||||||||||||||||
40 | CNX Resources Corp., Rule 144A, Company Guaranteed Notes |
(BB, B1) | 03/14/27 | 7.250 | 38,993 | |||||||||||||
550 | CNX Resources Corp., Rule 144A, Company Guaranteed Notes |
(BB, B1) | 01/15/29 | 6.000 | 501,751 | |||||||||||||
1,395 | Northern Oil & Gas, Inc., Rule 144A, Senior Unsecured Notes |
(B+, B3) | 03/01/28 | 8.125 | 1,310,686 | |||||||||||||
600 | Rockcliff Energy II LLC, Rule 144A, Senior Unsecured Notes |
(B+, B3) | 10/15/29 | 5.500 | 526,802 | |||||||||||||
880 | W&T Offshore, Inc., Rule 144A, Secured Notes |
(B, Caa2) | 11/01/23 | 9.750 | 863,459 | |||||||||||||
|
|
|||||||||||||||||
3,241,691 | ||||||||||||||||||
|
|
|||||||||||||||||
Environmental (0.5%) |
||||||||||||||||||
600 | Darling Ingredients, Inc., Rule 144A, Company Guaranteed Notes |
(BB+, Ba2) | 06/15/30 | 6.000 | 572,382 |
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2022 (unaudited)
Par (000) |
Ratings (S&P/Moodys) |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Environmental (continued) |
||||||||||||||||||
$ | 200 | Stericycle, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, NR) | 01/15/29 | 3.875 | $ | 165,840 | |||||||||||
|
|
|||||||||||||||||
738,222 | ||||||||||||||||||
|
|
|||||||||||||||||
Food - Wholesale (0.5%) |
||||||||||||||||||
800 | U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes |
(B+, B3) | 06/01/30 | 4.625 | 667,820 | |||||||||||||
|
|
|||||||||||||||||
Gaming (2.2%) |
||||||||||||||||||
325 | Boyd Gaming Corp., Rule 144A, Company Guaranteed Notes |
(BB-, B3) | 06/15/31 | 4.750 | 263,260 | |||||||||||||
800 | CDI Escrow Issuer, Inc., Rule 144A, Senior Unsecured Notes |
(B+, B1) | 04/01/30 | 5.750 | 699,928 | |||||||||||||
231 | Churchill Downs, Inc., Rule 144A, Company Guaranteed Notes |
(B+, B1) | 01/15/28 | 4.750 | 200,237 | |||||||||||||
450 | Fertitta Entertainment Finance Co., Inc, Rule 144A, Senior Secured Notes |
(B, B2) | 01/15/29 | 4.625 | 373,095 | |||||||||||||
1,475 | Jacobs Entertainment, Inc., Rule 144A, Senior Unsecured Notes |
(B, B2) | 02/15/29 | 6.750 | 1,263,962 | |||||||||||||
320 | Peninsula Pacific Entertainment Finance, Rule 144A, Senior Unsecured Notes(1) |
(B, B3) | 11/15/27 | 8.500 | 344,600 | |||||||||||||
|
|
|||||||||||||||||
3,145,082 | ||||||||||||||||||
|
|
|||||||||||||||||
Gas Distribution (5.0%) |
||||||||||||||||||
800 | CNX Midstream Partners LP, Rule 144A, Company Guaranteed Notes |
(BB, B1) | 04/15/30 | 4.750 | 625,804 | |||||||||||||
750 | Genesis Energy Finance Corp., Company Guaranteed Notes |
(B, B2) | 06/15/24 | 5.625 | 706,466 | |||||||||||||
425 | Genesis Energy Finance Corp., Company Guaranteed Notes |
(B, B2) | 10/01/25 | 6.500 | 385,112 | |||||||||||||
675 | Genesis Energy Finance Corp., Company Guaranteed Notes |
(B, B2) | 05/15/26 | 6.250 | 587,040 | |||||||||||||
1,200 | Hess Midstream Operations LP, Rule 144A, Company Guaranteed Notes |
(BB+, Ba2) | 06/15/28 | 5.125 | 1,052,434 | |||||||||||||
400 | Hess Midstream Operations LP, Rule 144A, Company Guaranteed Notes |
(BB+, Ba2) | 10/15/30 | 5.500 | 343,902 | |||||||||||||
400 | Holly Energy Finance Corp., Rule 144A, Company Guaranteed Notes |
(BB+, Ba3) | 04/15/27 | 6.375 | 382,426 | |||||||||||||
950 | New Fortress Energy, Inc., Rule 144A, Senior Secured Notes |
(BB-, B1) | 09/30/26 | 6.500 | 879,158 | |||||||||||||
1,180 | Rockies Express Pipeline LLC, Rule 144A, Senior Unsecured Notes |
(BB+, Ba2) | 07/15/29 | 4.950 | 1,014,529 | |||||||||||||
610 | Rockies Express Pipeline LLC, Rule 144A, Senior Unsecured Notes |
(BB+, Ba2) | 05/15/30 | 4.800 | 501,121 | |||||||||||||
200 | Suburban Energy Finance Corp., Rule 144A, Senior Unsecured Notes |
(BB-, B1) | 06/01/31 | 5.000 | 163,747 | |||||||||||||
500 | Tallgrass Energy Finance Corp., Rule 144A, Company Guaranteed Notes |
(BB-, B1) | 10/01/25 | 7.500 | 492,000 | |||||||||||||
|
|
|||||||||||||||||
7,133,739 | ||||||||||||||||||
|
|
|||||||||||||||||
Health Facility (0.1%) |
||||||||||||||||||
200 | Option Care Health, Inc., Rule 144A, Company Guaranteed Notes |
(B-, B3) | 10/31/29 | 4.375 | 169,378 | |||||||||||||
|
|
|||||||||||||||||
Health Services (3.5%) |
||||||||||||||||||
1,060 | AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, Ba3) | 04/15/29 | 4.000 | 895,329 | |||||||||||||
1,000 | MEDNAX, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, Ba3) | 02/15/30 | 5.375 | 830,099 | |||||||||||||
1,600 | Minerva Merger Sub, Inc., Rule 144A, Senior Unsecured Notes |
(CCC, Caa2) | 02/15/30 | 6.500 | 1,267,920 | |||||||||||||
2,450 | Radiology Partners, Inc., Rule 144A, Company Guaranteed Notes |
(CCC, Caa2) | 02/01/28 | 9.250 | 1,602,117 | |||||||||||||
393 | Service Corp., International, Global Senior Unsecured Notes |
(BB, Ba3) | 05/15/31 | 4.000 | 317,133 | |||||||||||||
|
|
|||||||||||||||||
4,912,598 | ||||||||||||||||||
|
|
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2022 (unaudited)
Par (000) |
Ratings (S&P/Moodys) |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Insurance Brokerage (3.9%) |
||||||||||||||||||
$ | 1,000 | Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 08/01/26 | 10.125 | $ | 963,665 | |||||||||||
181 | Alliant Holdings Co-Issuer, Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 10/15/27 | 6.750 | 156,375 | |||||||||||||
780 | GTCR AP Finance, Inc., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 05/15/27 | 8.000 | 719,067 | |||||||||||||
400 | NFP Corp., Rule 144A, Senior Secured Notes |
(B, B1) | 10/01/30 | 7.500 | 380,077 | |||||||||||||
625 | NFP Corp., Rule 144A, Senior Secured Notes |
(B, B1) | 08/15/28 | 4.875 | 534,150 | |||||||||||||
2,712 | NFP Corp., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 08/15/28 | 6.875 | 2,119,848 | |||||||||||||
800 | Ryan Specialty Group LLC, Rule 144A, Senior Secured Notes |
(BB-, B1) | 02/01/30 | 4.375 | 679,510 | |||||||||||||
|
|
|||||||||||||||||
5,552,692 | ||||||||||||||||||
|
|
|||||||||||||||||
Investments & Misc. Financial Services (3.6%) |
||||||||||||||||||
1,385 | AG Issuer LLC, Rule 144A, Senior Secured Notes |
(B-, B2) | 03/01/28 | 6.250 | 1,199,593 | |||||||||||||
1,700 | Armor Holdco, Inc., Rule 144A, Company Guaranteed Notes |
(CCC+, Caa1) | 11/15/29 | 8.500 | 1,359,260 | |||||||||||||
1,400 | Compass Group Diversified Holdings LLC, Rule 144A, Company Guaranteed Notes |
(B+, B1) | 04/15/29 | 5.250 | 1,100,561 | |||||||||||||
800 | Compass Group Diversified Holdings LLC, Rule 144A, Senior Unsecured Notes |
(B+, B1) | 01/15/32 | 5.000 | 588,706 | |||||||||||||
1,040 | Home Point Capital, Inc., Rule 144A, Company Guaranteed Notes |
(NR, Caa1) | 02/01/26 | 5.000 | 649,791 | |||||||||||||
200 | Paysafe Holdings U.S. Corp., Rule 144A, Senior Secured Notes |
(B, B2) | 06/15/29 | 4.000 | 140,105 | |||||||||||||
|
|
|||||||||||||||||
5,038,016 | ||||||||||||||||||
|
|
|||||||||||||||||
Machinery (4.9%) |
||||||||||||||||||
1,225 | Arcosa, Inc., Rule 144A, Company Guaranteed Notes |
(BB, Ba2) | 04/15/29 | 4.375 | 1,043,155 | |||||||||||||
1,680 | ATS Automation Tooling Systems, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, B2) | 12/15/28 | 4.125 | 1,397,054 | |||||||||||||
1,400 | Dornoch Debt Merger Sub, Inc., Rule 144A, Senior Unsecured Notes |
(CCC, Caa1) | 10/15/29 | 6.625 | 1,011,224 | |||||||||||||
1,700 | Granite U.S. Holdings Corp., Rule 144A, Company Guaranteed Notes |
(CCC+, Caa1) | 10/01/27 | 11.000 | 1,605,723 | |||||||||||||
2,438 | Harsco Corp., Rule 144A, Company Guaranteed Notes |
(B+, B3) | 07/31/27 | 5.750 | 1,527,710 | |||||||||||||
400 | Hillenbrand, Inc., Global Company Guaranteed Notes |
(BB+, Ba1) | 06/15/25 | 5.750 | 390,516 | |||||||||||||
|
|
|||||||||||||||||
6,975,382 | ||||||||||||||||||
|
|
|||||||||||||||||
Managed Care (0.3%) |
||||||||||||||||||
505 | HealthEquity, Inc., Rule 144A, Company Guaranteed Notes |
(B, B3) | 10/01/29 | 4.500 | 433,669 | |||||||||||||
|
|
|||||||||||||||||
Media - Diversified (0.1%) |
||||||||||||||||||
200 | News Corp., Rule 144A, Company Guaranteed Notes |
(BB+, Ba1) | 02/15/32 | 5.125 | 175,901 | |||||||||||||
|
|
|||||||||||||||||
Media Content (0.7%) |
||||||||||||||||||
980 | Diamond Sports Finance Co., Rule 144A, Company Guaranteed Notes |
(CCC-, Ca) | 08/15/27 | 6.625 | 72,275 | |||||||||||||
491 | Diamond Sports Finance Co., Rule 144A, Secured Notes |
(CCC+, Caa3) | 08/15/26 | 5.375 | 97,095 | |||||||||||||
200 | Sirius XM Radio, Inc., Rule 144A, Company Guaranteed Notes |
(BB, Ba3) | 07/15/28 | 4.000 | 170,538 | |||||||||||||
800 | Sirius XM Radio, Inc., Rule 144A, Company Guaranteed Notes |
(BB, Ba3) | 07/01/29 | 5.500 | 721,278 | |||||||||||||
|
|
|||||||||||||||||
1,061,186 | ||||||||||||||||||
|
|
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2022 (unaudited)
Par (000) |
Ratings (S&P/Moodys) |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Medical Products (1.6%) |
||||||||||||||||||
$ | 675 | Embecta Corp., Rule 144A, Senior Secured Notes |
(B+, Ba3) | 02/15/30 | 5.000 | $ | 580,378 | |||||||||||
800 | Medline Borrower LP, Rule 144A, Senior secured Notes |
(B+, B1) | 04/01/29 | 3.875 | 643,324 | |||||||||||||
1,400 | Medline Borrower LP, Rule 144A, Senior Unsecured Notes |
(B-, Caa1) | 10/01/29 | 5.250 | 1,060,430 | |||||||||||||
|
|
|||||||||||||||||
2,284,132 | ||||||||||||||||||
|
|
|||||||||||||||||
Metals & Mining - Excluding Steel (4.6%) |
||||||||||||||||||
800 | Alcoa Nederland Holding B.V., Rule 144A, Company Guaranteed Notes |
(BB+, Baa3) | 12/15/27 | 5.500 | 747,804 | |||||||||||||
250 | Canpack U.S. LLC, Rule 144A, Company Guaranteed Notes |
(BB, NR) | 11/15/29 | 3.875 | 195,825 | |||||||||||||
1,800 | ERO Copper Corp., Rule 144A, Company Guaranteed Notes |
(B, B1) | 02/15/30 | 6.500 | 1,336,670 | |||||||||||||
1,500 | First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes |
(B+, NR) | 03/01/26 | 6.875 | 1,385,925 | |||||||||||||
400 | Kaiser Aluminum Corp., Rule 144A, Company Guaranteed Notes |
(BB, B1) | 03/01/28 | 4.625 | 327,080 | |||||||||||||
400 | Kaiser Aluminum Corp., Rule 144A, Company Guaranteed Notes |
(BB, B1) | 06/01/31 | 4.500 | 293,640 | |||||||||||||
110 | Novelis Corp., Rule 144A, Company Guaranteed Notes |
(BB, Ba3) | 01/30/30 | 4.750 | 90,478 | |||||||||||||
1,129 | SunCoke Energy, Inc., Rule 144A, Senior Secured Notes |
(BB, B1) | 06/30/29 | 4.875 | 873,061 | |||||||||||||
1,550 | Taseko Mines Ltd., Rule 144A, Senior Secured Notes |
(B-, B3) | 02/15/26 | 7.000 | 1,235,071 | |||||||||||||
|
|
|||||||||||||||||
6,485,554 | ||||||||||||||||||
|
|
|||||||||||||||||
Packaging (2.2%) |
||||||||||||||||||
460 | Ardagh Metal Packaging Finance PLC, Rule 144A, Senior Unsecured Notes |
(B+, B3) | 09/01/29 | 3.000 | 323,043 | |||||||||||||
400 | Intelligent Packaging Ltd. Co-Issuer LLC, Rule 144A, Senior Secured Notes |
(B-, B3) | 09/15/28 | 6.000 | 319,116 | |||||||||||||
525 | Pactiv Evergreen Group Issuer LLC, Rule 144A, Senior Secured Notes |
(B+, B1) | 10/15/27 | 4.000 | 441,208 | |||||||||||||
2,380 | TriMas Corp., Rule 144A, Company Guaranteed Notes |
(BB-, Ba3) | 04/15/29 | 4.125 | 2,014,111 | |||||||||||||
|
|
|||||||||||||||||
3,097,478 | ||||||||||||||||||
|
|
|||||||||||||||||
Personal & Household Products (1.2%) |
||||||||||||||||||
800 | Diamond BC B.V., Rule 144A, Company Guaranteed Notes |
(B, Caa1) | 10/01/29 | 4.625 | 562,304 | |||||||||||||
1,350 | High Ridge Brands Co., Rule 144A, Senior Unsecured Notes(1),(4),(5) |
(NR, NR) | 03/15/25 | 0.000 | 11,813 | |||||||||||||
1,600 | MajorDrive Holdings IV LLC, Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 06/01/29 | 6.375 | 1,105,200 | |||||||||||||
|
|
|||||||||||||||||
1,679,317 | ||||||||||||||||||
|
|
|||||||||||||||||
Pharmaceuticals (2.1%) |
||||||||||||||||||
500 | Bausch Health Americas, Inc., Rule 144A, Company Guaranteed Notes |
(D, Ca) | 04/01/26 | 9.250 | 293,580 | |||||||||||||
250 | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes |
(D, Ca) | 12/15/25 | 9.000 | 157,301 | |||||||||||||
500 | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes |
(D, Ca) | 05/30/29 | 7.250 | 192,350 | |||||||||||||
700 | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes |
(D, Ca) | 01/30/30 | 5.250 | 262,533 | |||||||||||||
400 | Bausch Health Cos., Inc., Rule 144A, Senior Secured Notes |
(B, Caa1) | 06/01/28 | 4.875 | 258,552 | |||||||||||||
708 | Emergent BioSolutions, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, B1) | 08/15/28 | 3.875 | 472,126 | |||||||||||||
650 | Endo Finance LLC, Rule 144A, Senior Secured Notes |
(D, NR) | 10/15/24 | 5.875 | 534,770 | |||||||||||||
400 | Endo U.S., Inc., Rule 144A, Senior Secured Notes |
(D, NR) | 04/01/29 | 6.125 | 316,363 |
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2022 (unaudited)
Par (000) |
Ratings (S&P/Moodys) |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Pharmaceuticals (continued) |
||||||||||||||||||
$ | 540 | Grifols Escrow Issuer S.A., Rule 144A, Senior Unsecured Notes |
(B-, B3) | 10/15/28 | 4.750 | $ | 418,294 | |||||||||||
|
|
|||||||||||||||||
2,905,869 | ||||||||||||||||||
|
|
|||||||||||||||||
Real Estate Development & Management (0.6%) |
||||||||||||||||||
1,135 | WeWork Cos., Inc., Rule 144A, Company Guaranteed Notes(1) |
(CCC+, NR) | 05/01/25 | 7.875 | 786,691 | |||||||||||||
|
|
|||||||||||||||||
Real Estate Investment Trusts (2.3%) |
||||||||||||||||||
1,271 | Global Net Lease Operating Partnership LP, Rule 144A, Company Guaranteed Notes |
(BBB-, Ba3) | 12/15/27 | 3.750 | 993,626 | |||||||||||||
1,400 | iStar, Inc., Global Senior Unsecured Notes |
(BB, Ba2) | 02/15/26 | 5.500 | 1,410,542 | |||||||||||||
200 | iStar, Inc., Senior Unsecured Notes |
(BB, Ba2) | 10/01/24 | 4.750 | 197,541 | |||||||||||||
750 | VICI Note Co., Inc., Rule 144A, Company Guaranteed Notes |
(BBB-, Ba1) | 02/01/27 | 5.750 | 708,334 | |||||||||||||
|
|
|||||||||||||||||
3,310,043 | ||||||||||||||||||
|
|
|||||||||||||||||
Recreation & Travel (5.5%) |
||||||||||||||||||
800 | Boyne U.S.A., Inc., Rule 144A, Senior Unsecured Notes |
(B, B1) | 05/15/29 | 4.750 | 671,282 | |||||||||||||
1,227 | Merlin Entertainments Ltd., Rule 144A, Secured Notes |
(B, B2) | 06/15/26 | 5.750 | 1,144,460 | |||||||||||||
500 | Motion Bondco DAC, Rule 144A, Company Guaranteed Notes |
(CCC, Caa2) | 11/15/27 | 6.625 | 424,097 | |||||||||||||
2,575 | SeaWorld Parks & Entertainment, Inc., Rule 144A, Company Guaranteed Notes |
(B-, B3) | 08/15/29 | 5.250 | 2,144,202 | |||||||||||||
300 | SeaWorld Parks & Entertainment, Inc., Rule 144A, Senior Secured Notes |
(BB-, Ba3) | 05/01/25 | 8.750 | 306,665 | |||||||||||||
1,150 | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes |
(B-, B3) | 07/31/24 | 4.875 | 1,096,847 | |||||||||||||
2,315 | Speedway Funding II, Inc., Rule 144A, Senior Unsecured Notes |
(BB, B2) | 11/01/27 | 4.875 | 2,016,302 | |||||||||||||
|
|
|||||||||||||||||
7,803,855 | ||||||||||||||||||
|
|
|||||||||||||||||
Restaurants (0.8%) |
||||||||||||||||||
1,225 | Yum! Brands, Inc., Global Senior Unsecured Notes |
(BB, Ba3) | 04/01/32 | 5.375 | 1,088,711 | |||||||||||||
|
|
|||||||||||||||||
Software - Services (6.9%) |
||||||||||||||||||
635 | CA Magnum Holdings, Rule 144A, Senior Secured Notes |
(NR, B1) | 10/31/26 | 5.375 | 535,043 | |||||||||||||
875 | Central Parent, Inc., Rule 144A, Senior Secured Notes |
(B+, B1) | 06/15/29 | 7.250 | 833,700 | |||||||||||||
2,100 | Elastic NV, Rule 144A, Senior Unsecured Notes |
(B+, B1) | 07/15/29 | 4.125 | 1,661,793 | |||||||||||||
1,775 | Endurance International Group Holdings, Inc., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 02/15/29 | 6.000 | 1,182,005 | |||||||||||||
631 | II-VI, Inc., Rule 144A, Company Guaranteed Notes |
(B+, B2) | 12/15/29 | 5.000 | 523,490 | |||||||||||||
635 | Open Text Corp., Rule 144A, Company Guaranteed Notes |
(BB, Ba2) | 12/01/29 | 3.875 | 490,049 | |||||||||||||
825 | Open Text Holdings, Inc., Rule 144A, Company Guaranteed Notes |
(BB, Ba2) | 12/01/31 | 4.125 | 627,759 | |||||||||||||
1,807 | Presidio Holdings, Inc., Rule 144A, Company Guaranteed Notes |
(CCC+, Caa1) | 02/01/28 | 8.250 | 1,560,770 | |||||||||||||
2,705 | Virtusa Corp., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 12/15/28 | 7.125 | 1,997,237 | |||||||||||||
400 | ZoomInfo Finance Corp., Rule 144A, Company Guaranteed Notes |
(B+, B1) | 02/01/29 | 3.875 | 327,248 | |||||||||||||
|
|
|||||||||||||||||
9,739,094 | ||||||||||||||||||
|
|
|||||||||||||||||
Specialty Retail (3.9%) |
||||||||||||||||||
40 | Asbury Automotive Group, Inc., Global Company Guaranteed Notes |
(BB, B1) | 03/01/28 | 4.500 | 33,892 | |||||||||||||
491 | Asbury Automotive Group, Inc., Global Company Guaranteed Notes |
(BB, B1) | 03/01/30 | 4.750 | 384,777 |
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2022 (unaudited)
Par (000) |
Ratings (S&P/Moodys) |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Specialty Retail (continued) |
||||||||||||||||||
$ | 200 | Asbury Automotive Group, Inc., Rule 144A, Company Guaranteed Notes |
(BB, B1) | 11/15/29 | 4.625 | $ | 160,379 | |||||||||||
200 | Asbury Automotive Group, Inc., Rule 144A, Company Guaranteed Notes |
(BB, B1) | 02/15/32 | 5.000 | 153,382 | |||||||||||||
950 | eG Global Finance PLC, Rule 144A, Senior Secured Notes |
(B-, B3) | 10/30/25 | 8.500 | 831,833 | |||||||||||||
400 | LCM Investments Holdings II LLC, Rule 144A, Senior Unsecured Notes |
(BB-, B2) | 05/01/29 | 4.875 | 310,345 | |||||||||||||
200 | Murphy Oil U.S.A., Inc., Rule 144A, Company Guaranteed Notes |
(BB+, Ba2) | 02/15/31 | 3.750 | 161,146 | |||||||||||||
400 | Penske Automotive Group, Inc., Company Guaranteed Notes |
(BB-, Ba3) | 06/15/29 | 3.750 | 318,694 | |||||||||||||
68 | Ruyi U.S. Finance LLC(6),(8) |
(NR, NR) | 05/01/25 | 0.000 | 38,225 | |||||||||||||
51 | Ruyi U.S. Finance LLC, Rule 144A, Senior Secured Notes |
(NR, NR) | 05/01/25 | 7.500 | 38,508 | |||||||||||||
1,850 | Ruyi U.S. Finance LLC, Rule 144A, Senior Secured Notes |
(NR, Caa1) | 05/01/25 | 7.500 | 1,458,512 | |||||||||||||
600 | Sonic Automotive, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, B1) | 11/15/29 | 4.625 | 471,711 | |||||||||||||
1,150 | Sonic Automotive, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, B1) | 11/15/31 | 4.875 | 872,988 | |||||||||||||
450 | Wolverine World Wide, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, Ba3) | 08/15/29 | 4.000 | 343,967 | |||||||||||||
|
|
|||||||||||||||||
5,578,359 | ||||||||||||||||||
|
|
|||||||||||||||||
Support - Services (8.8%) |
||||||||||||||||||
582 | Allied Universal Finance Corp., Rule 144A, Senior Secured Notes |
(B, B2) | 06/01/28 | 4.625 | 440,257 | |||||||||||||
1,223 | Allied Universal Finance Corp., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa1) | 07/15/27 | 9.750 | 1,006,868 | |||||||||||||
1,300 | Allied Universal Finance Corp., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa1) | 06/01/29 | 6.000 | 841,684 | |||||||||||||
400 | APi Escrow Corp., Rule 144A, Company Guaranteed Notes |
(B, B1) | 10/15/29 | 4.750 | 335,806 | |||||||||||||
475 | APi Group DE, Inc., Rule 144A, Company Guaranteed Notes |
(B, B1) | 07/15/29 | 4.125 | 377,361 | |||||||||||||
400 | Clarivate Science Holdings Corp., Rule 144A, Company Guaranteed Notes |
(CCC+, Caa1) | 07/01/29 | 4.875 | 313,844 | |||||||||||||
1,600 | CoreLogic, Inc., Rule 144A, Senior Secured Notes |
(B-, B2) | 05/01/28 | 4.500 | 1,146,336 | |||||||||||||
2,035 | GEMS Education Delaware LLC, Rule 144A, Senior Secured Notes |
(B-, B3) | 07/31/26 | 7.125 | 1,914,135 | |||||||||||||
2,000 | GYP Holdings III Corp., Rule 144A, Company Guaranteed Notes |
(B, B1) | 05/01/29 | 4.625 | 1,525,624 | |||||||||||||
800 | Pike Corp., Rule 144A, Company Guaranteed Notes |
(CCC+, B3) | 09/01/28 | 5.500 | 649,024 | |||||||||||||
1,197 | TMS International Corp., Rule 144A, Senior Unsecured Notes |
(B, Caa1) | 04/15/29 | 6.250 | 852,025 | |||||||||||||
500 | WESCO Distribution, Inc., Rule 144A, Company Guaranteed Notes |
(BB, Ba3) | 06/15/25 | 7.125 | 501,075 | |||||||||||||
500 | WESCO Distribution, Inc., Rule 144A, Company Guaranteed Notes |
(BB, Ba3) | 06/15/28 | 7.250 | 490,793 | |||||||||||||
1,231 | White Cap Buyer LLC, Rule 144A, Senior Unsecured Notes |
(CCC+, Caa1) | 10/15/28 | 6.875 | 1,018,043 | |||||||||||||
595 | Williams Scotsman International, Inc., Rule 144A, Senior Secured Notes |
(B+, B2) | 08/15/28 | 4.625 | 521,708 | |||||||||||||
700 | ZipRecruiter, Inc., Rule 144A, Senior Unsecured Notes |
(BB-, B2) | 01/15/30 | 5.000 | 566,615 | |||||||||||||
|
|
|||||||||||||||||
12,501,198 | ||||||||||||||||||
|
|
|||||||||||||||||
Tech Hardware & Equipment (3.9%) |
||||||||||||||||||
1,200 | Ciena Corp., Rule 144A, Company Guaranteed Notes |
(BB, Ba1) | 01/31/30 | 4.000 | 1,003,662 | |||||||||||||
759 | CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes |
(CCC+, Caa1) | 06/15/25 | 6.000 | 675,457 |
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2022 (unaudited)
Par (000) |
Ratings (S&P/Moodys) |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Tech Hardware & Equipment (continued) |
||||||||||||||||||
$ | 340 | CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes |
(CCC+, Caa1) | 03/15/27 | 5.000 | $ | 257,154 | |||||||||||
1,350 | Entegris Escrow Corp., Rule 144A, Senior Secured Notes |
(BB+, Baa3) | 04/15/29 | 4.750 | 1,192,144 | |||||||||||||
1,600 | Imola Merger Corp., Rule 144A, Senior Secured Notes |
(BB-, B1) | 05/15/29 | 4.750 | 1,353,632 | |||||||||||||
1,320 | Vertiv Group Corp., Rule 144A, Senior Secured Notes |
(BB-, B1) | 11/15/28 | 4.125 | 1,064,600 | |||||||||||||
|
|
|||||||||||||||||
5,546,649 | ||||||||||||||||||
|
|
|||||||||||||||||
Telecom - Wireline Integrated & Services (2.6%) |
||||||||||||||||||
1,656 | Altice France S.A., Rule 144A, Senior Secured Notes |
(B, B2) | 01/15/29 | 5.125 | 1,224,903 | |||||||||||||
200 | Altice France S.A., Rule 144A, Senior Secured Notes |
(B, B2) | 07/15/29 | 5.125 | 149,894 | |||||||||||||
200 | Altice France S.A., Rule 144A, Senior Secured Notes |
(B, B2) | 10/15/29 | 5.500 | 150,983 | |||||||||||||
2,651 | GTT Communications, Inc., Rule 144A, Company Guaranteed Notes |
(NR, NR) | 12/31/24 | 0.000 | 212,080 | |||||||||||||
1,193 | LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes |
(B+, B1) | 10/15/27 | 6.750 | 991,830 | |||||||||||||
200 | LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes |
(B+, B1) | 07/15/29 | 5.125 | 150,890 | |||||||||||||
500 | Virgin Media Secured Finance PLC, Rule 144A, Senior Secured Notes |
(BB-, Ba3) | 04/15/27 | 5.000 | 486,090 | |||||||||||||
400 | Vmed O2 UK Financing I PLC, Rule 144A, Senior Secured Notes |
(BB-, Ba3) | 01/31/31 | 4.250 | 303,316 | |||||||||||||
|
|
|||||||||||||||||
3,669,986 | ||||||||||||||||||
|
|
|||||||||||||||||
Theaters & Entertainment (2.1%) |
||||||||||||||||||
1,538 | AMC Entertainment Holdings, Inc., 10.00% Cash, 12.00% PIK, Rule 144A, Secured
Notes |
(CCC-, Caa3) | 06/15/26 | 10.000 | 1,051,902 | |||||||||||||
1,025 | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes |
(B-, B3) | 11/01/24 | 4.875 | 990,709 | |||||||||||||
700 | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes |
(B-, B3) | 03/15/26 | 5.625 | 666,531 | |||||||||||||
325 | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes |
(B-, B3) | 10/15/27 | 4.750 | 282,825 | |||||||||||||
|
|
|||||||||||||||||
2,991,967 | ||||||||||||||||||
|
|
|||||||||||||||||
Trucking & Delivery (0.5%) |
||||||||||||||||||
800 | XO Management Holdings, Inc., Rule 144A, Senior Unsecured Notes |
(B-, Caa1) | 02/01/30 | 6.375 | 655,980 | |||||||||||||
|
|
|||||||||||||||||
TOTAL CORPORATE BONDS (Cost $174,107,224) |
141,353,061 | |||||||||||||||||
|
|
|||||||||||||||||
BANK LOANS (29.6%) |
||||||||||||||||||
Aerospace & Defense (1.4%) |
||||||||||||||||||
1,050 | Amentum Government Services Holdings LLC, LIBOR 6M + 8.750%(6),(11) |
(NR, NR) | 01/31/28 | 12.920 | 971,250 | |||||||||||||
299 | Amentum Government Services Holdings LLC, SOFR 3M + 4.000%(6),(11) |
(B, B1) | 02/15/29 | |
7.206 7.558 |
|
286,532 | |||||||||||
728 | Peraton Corp., LIBOR 1M + 7.750%(11) |
(NR, NR) | 02/01/29 | 10.568 | 692,615 | |||||||||||||
|
|
|||||||||||||||||
1,950,397 | ||||||||||||||||||
|
|
|||||||||||||||||
Auto Parts & Equipment (0.6%) |
||||||||||||||||||
243 | Jason Group, Inc., LIBOR 1M + 1.000% Cash, 9.000% PIK(10),(11) |
(NR, NR) | 03/02/26 | 13.115 | 240,656 | |||||||||||||
329 | Jason Group, Inc., LIBOR 1M + 2.000% Cash, 4.000% PIK(10),(11) |
(NR, NR) | 08/28/25 | 9.115 | 312,927 | |||||||||||||
352 | U.S. Farathane LLC, LIBOR 3M + 4.250%(11) |
(CCC+, B2) | 12/23/24 | 7.924 | 311,347 | |||||||||||||
|
|
|||||||||||||||||
864,930 | ||||||||||||||||||
|
|
|||||||||||||||||
Banking (0.6%) |
||||||||||||||||||
887 | Citco Funding LLC, LIBOR 3M + 2.500%(6),(11) |
(NR, Ba3) | 09/28/23 | 6.174 | 885,533 | |||||||||||||
|
|
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2022 (unaudited)
Par (000) |
Ratings (S&P/Moodys) |
Maturity | Rate% | Value | ||||||||||||||
BANK LOANS (continued) |
||||||||||||||||||
Building Materials (0.3%) |
||||||||||||||||||
$ | 534 | Cornerstone Building Brands, Inc., SOFR 1M + 5.625%(11) |
(B, B2) | 08/01/28 | 8.470 | $ | 491,724 | |||||||||||
|
|
|||||||||||||||||
Chemicals (3.0%) |
||||||||||||||||||
1,455 | Ascend Performance Materials Operations LLC, SOFR 6M + 4.750%(11) |
(BB-, Ba3) | 08/27/26 | 8.831 | 1,428,585 | |||||||||||||
802 | Polar U.S. Borrower LLC, LIBOR 1M + 4.750%, LIBOR 3M + 4.750%(11) |
(B-, B3) | 10/15/25 | |
6.714 7.205 |
|
654,582 | |||||||||||
1,750 | Vantage Specialty Chemicals, Inc., |
(CCC, Caa2) | 10/27/25 | 11.320 | 1,700,414 | |||||||||||||
544 | Zep, Inc., LIBOR 3M + 4.000%(11) |
(CCC+, B2) | 08/12/24 | 7.674 | 479,572 | |||||||||||||
|
|
|||||||||||||||||
4,263,153 | ||||||||||||||||||
|
|
|||||||||||||||||
Diversified Capital Goods (0.7%) |
||||||||||||||||||
1,029 | Electrical Components International, Inc., PRIME + 7.500%(6),(11) |
(B-, B2) | 06/26/25 | 13.750 | 951,582 | |||||||||||||
|
|
|||||||||||||||||
Electronics (1.6%) |
||||||||||||||||||
750 | CPI International, Inc., LIBOR 1M + 7.250%(6),(7),(11) |
(CCC+, Caa2) | 07/26/25 | 10.365 | 738,290 | |||||||||||||
1,530 | Idemia Group, LIBOR 3M + 4.500%(11) |
(B-, B3) | 01/09/26 | 8.174 | 1,463,346 | |||||||||||||
|
|
|||||||||||||||||
2,201,636 | ||||||||||||||||||
|
|
|||||||||||||||||
Food & Drug Retailers (0.7%) |
||||||||||||||||||
1,000 | WOOF Holdings, Inc., LIBOR 3M + 7.250%(11) |
(CCC, Caa2) | 12/21/28 | 10.815 | 960,000 | |||||||||||||
|
|
|||||||||||||||||
Food - Wholesale (0.2%) |
||||||||||||||||||
338 | United Natural Foods, Inc., SOFR 1M + 3.250%(11) |
(BB-, B1) | 10/22/25 | 6.399 | 334,031 | |||||||||||||
|
|
|||||||||||||||||
Gas Distribution (0.7%) |
||||||||||||||||||
1,073 | Traverse Midstream Partners LLC, SOFR 3M + 4.250%(11) |
(B+, B3) | 09/27/24 | 5.950 | 1,051,287 | |||||||||||||
|
|
|||||||||||||||||
Health Services (1.8%) |
||||||||||||||||||
524 | Carestream Health, Inc., LIBOR 3M + 7.250%(8),(11) |
(NR, NR) | 05/08/23 | 10.924 | 468,512 | |||||||||||||
819 | MedAssets Software Intermediate Holdings, Inc.(12) |
(CCC, Caa2) | 12/17/29 | 0.000 | 707,411 | |||||||||||||
1,612 | U.S. Radiology Specialists, Inc., LIBOR 3M + 5.250%(11) |
(B-, B3) | 12/15/27 | 8.924 | 1,426,263 | |||||||||||||
|
|
|||||||||||||||||
2,602,186 | ||||||||||||||||||
|
|
|||||||||||||||||
Investments & Misc. Financial Services (1.6%) |
||||||||||||||||||
1,500 | AqGen Ascensus, Inc., LIBOR 3M + 6.500%(11) |
(CCC, Caa2) | 08/02/29 | 8.813 | 1,357,500 | |||||||||||||
865 | Deerfield Dakota Holding LLC, |
(CCC, Caa2) | 04/07/28 | 9.865 | 841,587 | |||||||||||||
520 | Ditech Holding Corp.(4),(5),(6) |
(NR, NR) | 06/30/22 | 0.000 | 65,053 | |||||||||||||
|
|
|||||||||||||||||
2,264,140 | ||||||||||||||||||
|
|
|||||||||||||||||
Life Insurance (0.5%) |
||||||||||||||||||
939 | Vida Capital, Inc., LIBOR 1M + 6.000%(11) |
(CCC+, B2) | 10/01/26 | 9.115 | 735,649 | |||||||||||||
|
|
|||||||||||||||||
Machinery (1.1%) |
||||||||||||||||||
487 | Granite Holdings U.S. Acquisition Co., LIBOR 3M + 4.000%(11) |
(B, B1) | 09/30/26 | 7.674 | 469,665 | |||||||||||||
798 | LTI Holdings, Inc., LIBOR 1M + 6.750%(7),(11) |
(CCC+, Caa2) | 09/06/26 | 9.865 | 705,130 | |||||||||||||
436 | LTI Holdings, Inc., LIBOR 1M + 3.250%(11) |
(B-, B2) | 09/06/25 | 6.365 | 404,946 | |||||||||||||
|
|
|||||||||||||||||
1,579,741 | ||||||||||||||||||
|
|
|||||||||||||||||
Medical Products (0.9%) |
||||||||||||||||||
615 | Femur Buyer, Inc., LIBOR 3M + 5.500%(6),(11) |
(NR, NR) | 03/05/24 | 9.174 | 524,511 | |||||||||||||
688 | Viant Medical Holdings, Inc., LIBOR 1M + 6.250%(6),(11) |
(CCC+, B3) | 07/02/25 | 9.365 | 679,000 | |||||||||||||
|
|
|||||||||||||||||
1,203,511 | ||||||||||||||||||
|
|
|||||||||||||||||
Packaging (0.2%) |
||||||||||||||||||
540 | Strategic Materials, Inc., LIBOR 3M + 7.750%(6),(7),(11) |
(CC, C) | 10/31/25 | 10.532 | 216,000 | |||||||||||||
|
|
|||||||||||||||||
Personal & Household Products (1.6%) |
||||||||||||||||||
800 | ABG Intermediate Holdings 2 LLC, SOFR |
(CCC+, Caa1) | 12/20/29 | 9.134 | 758,000 | |||||||||||||
1,106 | Serta Simmons Bedding LLC, LIBOR 1M + 7.500%(11) |
(B-, B3) | 08/10/23 | 10.793 | 1,080,153 | |||||||||||||
745 | Serta Simmons Bedding LLC, LIBOR 1M + 7.500%(11) |
(CCC+, Ca) | 08/10/23 | 10.793 | 398,730 | |||||||||||||
|
|
|||||||||||||||||
2,236,883 | ||||||||||||||||||
|
|
|||||||||||||||||
Pharmaceuticals (0.3%) |
||||||||||||||||||
384 | Akorn, Inc., LIBOR 3M + 7.500%(11) |
(CCC+, Caa3) | 10/01/25 | 9.777 | 372,294 | |||||||||||||
|
|
|||||||||||||||||
Recreation & Travel (1.9%) |
||||||||||||||||||
763 | Bulldog Purchaser, Inc., LIBOR 1M + 7.750%(11) |
(CCC-, Caa3) | 09/04/26 | 10.884 | 670,575 |
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2022 (unaudited)
Par (000) |
Ratings (S&P/Moodys) |
Maturity | Rate% | Value | ||||||||||||||
BANK LOANS (continued) |
||||||||||||||||||
Recreation & Travel (continued) |
||||||||||||||||||
$ | 973 | Bulldog Purchaser, Inc., LIBOR 1M + 3.750%(11) |
(B-, B3) | 09/05/25 | 6.884 | $ | 884,721 | |||||||||||
527 | Hornblower Sub LLC, LIBOR 3M + 4.500%(11) |
(CCC-, Caa2) | 04/27/25 | 8.670 | 373,828 | |||||||||||||
773 | Hornblower Sub LLC, LIBOR 3M + 8.125%(6),(11) |
(NR, NR) | 11/10/25 | 11.048 | 777,062 | |||||||||||||
|
|
|||||||||||||||||
2,706,186 | ||||||||||||||||||
|
|
|||||||||||||||||
Restaurants (0.1%) |
||||||||||||||||||
200 | Tacala LLC, LIBOR 1M + 7.500%(6),(11) |
(CCC, Caa2) | 02/04/28 | 10.615 | 184,000 | |||||||||||||
|
|
|||||||||||||||||
Software - Services (4.5%) |
||||||||||||||||||
1,200 | Aston FinCo Sarl, LIBOR 1M + 4.250%(11) |
(B-, B2) | 10/09/26 | 7.365 | 1,131,728 | |||||||||||||
595 | Astra Acquisition Corp., LIBOR 1M + 5.250%(11) |
(B-, B2) | 10/25/28 | 8.365 | 508,873 | |||||||||||||
600 | CommerceHub, Inc., LIBOR 1M + 7.000%(11) |
(CCC, Caa2) | 12/29/28 | 10.674 | 481,500 | |||||||||||||
1,250 | Epicor Software Corp., LIBOR 1M + 7.750%(11) |
(CCC, Caa2) | 07/31/28 | 10.865 | 1,226,250 | |||||||||||||
464 | Finastra U.S.A., Inc., LIBOR 3M + 3.500%(11) |
(B-, B2) | 06/13/24 | 6.871 | 405,161 | |||||||||||||
2,361 | Finastra U.S.A., Inc., LIBOR 1W + 7.250%(11) |
(CCC, Caa2) | 06/13/25 | 8.489 | 1,943,130 | |||||||||||||
500 | Quest Software U.S. Holdings, Inc.(12) |
(B-, B2) | 02/01/29 | 0.000 | 372,500 | |||||||||||||
499 | Redstone Holdco 2 LP(12) |
(B-, B3) | 04/27/28 | 0.000 | 372,559 | |||||||||||||
|
|
|||||||||||||||||
6,441,701 | ||||||||||||||||||
|
|
|||||||||||||||||
Support - Services (2.1%) |
||||||||||||||||||
2,260 | Change Healthcare Holdings LLC, PRIME + 1.500%(11) |
(B+, B1) | 03/01/24 | 7.750 | 2,256,244 | |||||||||||||
400 | LaserShip, Inc., LIBOR 3M + 7.500%(6),(11) |
(CCC, Caa2) | 05/07/29 | 10.377 | 312,000 | |||||||||||||
400 | TruGreen LP, LIBOR 1M + 8.500%(6),(11) |
(CCC+, Caa2) | 11/02/28 | 11.615 | 360,000 | |||||||||||||
|
|
|||||||||||||||||
2,928,244 | ||||||||||||||||||
|
|
|||||||||||||||||
Telecom - Wireline Integrated & Services (1.1%) |
||||||||||||||||||
1,028 | Patagonia Holdco LLC, SOFR 3M + 5.750%(11) |
(NR, B1) | 08/01/29 | 8.386 | 831,110 | |||||||||||||
875 | TVC Albany, Inc., LIBOR 1M + 7.500%(7),(11) |
(CCC, Caa2) | 07/23/26 | 10.620 | 797,344 | |||||||||||||
|
|
|||||||||||||||||
1,628,454 | ||||||||||||||||||
|
|
|||||||||||||||||
Theaters & Entertainment (2.1%) |
||||||||||||||||||
780 | Technicolor Creative Studios, EURIBOR |
(B, B2) | 09/07/26 | 7.000 | 712,548 | |||||||||||||
844 | TopGolf International, Inc., LIBOR 1M + 6.250%(11) |
(B, B3) | 02/09/26 | 9.334 | 838,428 | |||||||||||||
1,419 | William Morris Endeavor Entertainment LLC, LIBOR 1M + 2.750%(11) |
(B, B3) | 05/18/25 | 5.870 | 1,357,446 | |||||||||||||
|
|
|||||||||||||||||
2,908,422 | ||||||||||||||||||
|
|
|||||||||||||||||
TOTAL BANK LOANS (Cost $45,910,676) |
41,961,684 | |||||||||||||||||
|
|
|||||||||||||||||
ASSET BACKED SECURITIES (7.1%) |
||||||||||||||||||
Collateralized Debt Obligations (7.1%) |
||||||||||||||||||
650 | Anchorage Capital CLO 15 Ltd., 2020-15A, Rule 144A, LIBOR 3M + 7.400%(1),(11) |
(NR, Ba3) | 07/20/34 | 10.110 | 558,638 | |||||||||||||
1,000 | Anchorage Capital CLO 25 Ltd., 2022-25A, Rule 144A, SOFR 3M + 7.170%(1),(11) |
(NR, Ba3) | 04/20/35 | 9.647 | 838,682 | |||||||||||||
500 | Anchorage Credit Funding Ltd., 2016-4A, Rule 144A(1) |
(NR, Ba3) | 04/27/39 | 6.659 | 390,526 | |||||||||||||
750 | Battalion CLO 18 Ltd., 2020-18A, Rule 144A, LIBOR 3M + 6.710%(1),(11) |
(BB-, NR) | 10/15/36 | 9.222 | 617,381 | |||||||||||||
1,000 | Battalion CLO XV Ltd., 2020-15A, Rule 144A, LIBOR 3M + 6.350%(1),(11) |
(BB-, NR) | 01/17/33 | 9.090 | 889,738 | |||||||||||||
1,000 | Cedar Funding VI CLO Ltd., 2016-6A, Rule 144A, LIBOR 3M + 6.720%(1),(11) |
(BB-, NR) | 04/20/34 | 9.430 | 893,528 | |||||||||||||
1,000 | KKR CLO Ltd., 14, Rule 144A, LIBOR |
(NR, B1) | 07/15/31 | 8.662 | 827,185 | |||||||||||||
1,000 | KKR CLO Ltd., 16, Rule 144A, LIBOR |
(BB-, NR) | 10/20/34 | 9.820 | 855,850 | |||||||||||||
1,000 | Marble Point CLO XXIII Ltd., 2021-4A, Rule 144A, LIBOR 3M + 5.750%(1),(11) |
(NR, Ba1) | 01/22/35 | 8.509 | 884,764 | |||||||||||||
400 | MP CLO III Ltd., 2013-1A, Rule 144A, LIBOR 3M + 3.050%(1),(11) |
(NR, Ba1) | 10/20/30 | 5.760 | 346,690 | |||||||||||||
1,000 | Oaktree CLO Ltd., 2019-4A, Rule 144A, LIBOR 3M + 7.230%(1),(11) |
(BB-, NR) | 10/20/32 | 9.940 | 849,905 | |||||||||||||
1,000 | Palmer Square Credit Funding Ltd., 2019-1A, Rule 144A(1) |
(NR, Baa2) | 04/20/37 | 5.459 | 880,792 | |||||||||||||
1,000 | Venture 41 CLO Ltd., 2021-41A, Rule 144A, LIBOR 3M + 7.710%(1),(11) |
(BB-, NR) | 01/20/34 | 10.420 | 869,335 | |||||||||||||
400 | Vibrant Clo VII Ltd., 2017-7A, Rule 144A, LIBOR 3M + 3.600%(1),(11) |
(NR, Baa3) | 09/15/30 | 6.310 | 355,429 | |||||||||||||
|
|
|||||||||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $11,470,736) |
10,058,443 | |||||||||||||||||
|
|
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2022 (unaudited)
Shares | Value | |||||||||||||||||
COMMON STOCKS (1.5%) |
||||||||||||||||||
Auto Parts & Equipment (0.2%) |
||||||||||||||||||
18,270 | Jason Group, Inc.(5),(6) |
$ | 196,405 | |||||||||||||||
|
|
|||||||||||||||||
Chemicals (0.5%) |
||||||||||||||||||
2,794 | Project Investor Holdings LLC(5),(6),(7),(8) |
28 | ||||||||||||||||
46,574 | Proppants Holdings LLC(5),(6),(7),(8) |
931 | ||||||||||||||||
10,028 | UTEX Industries, Inc.(5),(6) |
671,876 | ||||||||||||||||
|
|
|||||||||||||||||
672,835 | ||||||||||||||||||
|
|
|||||||||||||||||
Pharmaceuticals (0.2%) |
||||||||||||||||||
45,583 | Akorn Holding Company LLC(5) |
296,290 | ||||||||||||||||
|
|
|||||||||||||||||
Specialty Retail (0.0%) |
||||||||||||||||||
69 | Ruyi U.S. Finance LLC, Class B(5),(6),(8) |
1 | ||||||||||||||||
|
|
|||||||||||||||||
Support - Services (0.0%) |
||||||||||||||||||
800 | LTR Holdings LLC(5),(6),(7),(8) |
1,185 | ||||||||||||||||
433 | Sprint Industrial Holdings LLC, Class G(5),(6),(7),(8) |
| ||||||||||||||||
39 | Sprint Industrial Holdings LLC, Class H(5),(6),(7),(8) |
| ||||||||||||||||
96 | Sprint Industrial Holdings LLC, Class I(5),(6),(7),(8) |
500 | ||||||||||||||||
|
|
|||||||||||||||||
1,685 | ||||||||||||||||||
|
|
|||||||||||||||||
Theaters & Entertainment (0.6%) |
||||||||||||||||||
307,692 | Technicolor Creative Studios SA(3),(5) |
587,789 | ||||||||||||||||
307,692 | Vantiva SA(3),(5) |
307,897 | ||||||||||||||||
|
|
|||||||||||||||||
895,686 | ||||||||||||||||||
|
|
|||||||||||||||||
TOTAL COMMON STOCKS (Cost $2,434,783) |
2,062,902 | |||||||||||||||||
|
|
|||||||||||||||||
WARRANT (0.0%) |
||||||||||||||||||
Chemicals (0.0%) |
||||||||||||||||||
11,643 | Project Investor Holdings LLC, expires 02/20/2022(5),(6),(7),(8) (Cost $6,054) |
| ||||||||||||||||
|
|
|||||||||||||||||
SHORT-TERM INVESTMENTS (9.3%) |
||||||||||||||||||
3,693,637 | State Street Institutional U.S. Government Money Market Fund - Premier Class, 2.94% |
3,693,637 | ||||||||||||||||
9,557,730 | State Street Navigator Securities Lending Government Money Market Portfolio, 3.07%(13) |
9,557,730 | ||||||||||||||||
|
|
|||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $13,251,367) |
13,251,367 | |||||||||||||||||
|
|
|||||||||||||||||
TOTAL INVESTMENTS AT VALUE (147.1%) (Cost $247,180,840) |
208,687,457 | |||||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS (-47.1%) |
(66,830,266 | ) | ||||||||||||||||
|
|
|||||||||||||||||
NET ASSETS (100.0%) |
$ | 141,857,191 | ||||||||||||||||
|
|
INVESTMENT ABBREVIATIONS
1M = 1 Month
1W = 1 Week
3M = 3 Month
6M = 6 Month
EURIBOR = Euro Interbank Offered Rate
LIBOR = London Interbank Offered Rate
NR = Not Rated
Sarl = société à responsabilité limitée
SOFR = Secured Overnight Financing Rate
| Credit ratings given by the S&P Global Ratings Division of S&P Global Inc. (S&P) and Moodys Investors Service, Inc. (Moodys) are unaudited. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2022, these securities amounted to a value of $144,155,725 or 101.6% of net assets. |
(2) | Security or portion thereof is out on loan. |
(3) | This security is denominated in Euro. |
(4) | Bond is currently in default. |
(5) | Non-income producing security. |
(6) | Security is valued using significant unobservable inputs. |
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments (continued)
September 30, 2022 (unaudited)
(7) | Illiquid security. |
(8) | 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. |
(9) | This security is denominated in British Pound. |
(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 September 30, 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 September 30, 2022. |
(13) | Represents security purchased with cash collateral received for securities on loan. |
Forward Foreign Currency Contracts
Forward Currency to be Purchased |
Forward Currency to be Sold |
Expiration Date |
Counterparty |
Value on Settlement Date |
Current Value/Notional |
Unrealized Appreciation |
||||||||||||||||||||
USD |
531,853 | EUR |
479,991 | 10/12/22 | Barclays Bank PLC | $ | (531,853 | ) | $ | (470,479 | ) | $ | 61,374 | |||||||||||||
USD |
2,365,022 | EUR |
2,079,062 | 10/12/22 | Deutsche Bank AG | (2,365,022 | ) | (2,037,859 | ) | 327,163 | ||||||||||||||||
USD |
226,295 | EUR |
220,009 | 10/12/22 | JPMorgan Chase | (226,295 | ) | (215,649 | ) | 10,646 | ||||||||||||||||
USD |
771,227 | EUR |
762,311 | 10/12/22 | Morgan Stanley | (771,227 | ) | (747,204 | ) | 24,023 | ||||||||||||||||
USD |
733,738 | GBP |
540,767 | 10/12/22 | Deutsche Bank AG | (733,738 | ) | (603,760 | ) | 129,978 | ||||||||||||||||
USD |
27,546 | GBP |
22,679 | 10/12/22 | JPMorgan Chase | (27,546 | ) | (25,321 | ) | 2,225 | ||||||||||||||||
|
|
|||||||||||||||||||||||||
Total Unrealized Appreciation |
|
$ | 555,409 | |||||||||||||||||||||||
|
|
Forward Foreign Currency Contracts
Forward Currency to be Purchased |
Forward Currency to be Sold |
Expiration Date |
Counterparty |
Value on Settlement Date |
Current Value/Notional |
Unrealized Depreciation |
||||||||||||||||||||
EUR |
254,858 | USD |
273,772 | 10/12/22 | Deutsche Bank AG | $ | 273,772 | $ | 249,807 | $ | (23,965 | ) | ||||||||||||||
EUR |
687,845 | USD |
691,063 | 10/12/22 | JPMorgan Chase | 691,063 | 674,213 | (16,850 | ) | |||||||||||||||||
EUR |
19,172 | USD |
22,069 | 10/12/22 | Morgan Stanley | 22,069 | 18,792 | (3,277 | ) | |||||||||||||||||
GBP |
44,469 | USD |
53,351 | 10/12/22 | Barclays Bank PLC | 53,351 | 49,649 | (3,702 | ) | |||||||||||||||||
GBP |
23,155 | USD |
30,381 | 10/12/22 | Deutsche Bank AG | 30,381 | 25,852 | (4,529 | ) | |||||||||||||||||
GBP |
44,366 | USD |
53,244 | 10/12/22 | JPMorgan Chase | 53,244 | 49,534 | (3,710 | ) | |||||||||||||||||
|
|
|||||||||||||||||||||||||
Total Unrealized Depreciation |
|
$ | (56,033 | ) | ||||||||||||||||||||||
|
|
|||||||||||||||||||||||||
Total Net Unrealized Appreciation/(Depreciation) |
|
$ | 499,376 | |||||||||||||||||||||||
|
|
Currency Abbreviations:
EUR = Euro
GBP = British Pound
USD = United States Dollar
SECURITY VALUATION The Board of Directors (the Board) is responsible for the Funds valuation process. The Board has delegated the supervision of the daily valuation process to Credit Suisse Asset Management, LLC, the Funds 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 Funds pricing policies. The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the Exchange) on each day the Exchange is open for business. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional round lot size, but some trades occur in smaller odd lot sizes which may be effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the Board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. Investments in mutual funds are valued at the net asset value as reported on each business day and under normal circumstances. 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 SEC adopted a new rule providing a framework for fund valuation practices (Rule 2a-5). Rule 2a-5 went into effect on March 8, 2021, with a compliance date of September 8, 2022. Rule 2a-5 establishes requirements for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit fund boards to designate certain parties to perform fair value determinations, subject to board oversight and certain other conditions. Rule 2a-5 also defines when market quotations are readily available for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. In connection with Rule 2a-5, the SEC also adopted related recordkeeping requirements and is rescinding previously issues guidance, including with respect to the role a board in determining fair value and the accounting and auditing of fund investments.
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 1quoted prices in active markets for identical investments |
Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
Level 3significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of September 30, 2022 in valuing the Funds assets and liabilities carried at fair value:
Assets |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments in Securities |
||||||||||||||||
Corporate Bonds |
$ | | $ | 141,272,598 | $ | 80,463 | $ | 141,353,061 | ||||||||
Bank Loans |
| 34,169,284 | 7,792,400 | 41,961,684 | ||||||||||||
Asset Backed Securities |
| 10,058,443 | | 10,058,443 | ||||||||||||
Common Stocks |
895,686 | 296,290 | 870,926 | 2,062,902 | ||||||||||||
Warrants |
| | 0 | (1) | 0 | (1) | ||||||||||
Short-term Investments |
3,693,637 | 9,557,730 | | 13,251,367 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 4,589,323 | $ | 195,354,345 | $ | 8,743,789 | $ | 208,687,457 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Other Financial Instruments* |
||||||||||||||||
Forward Foreign Currency Contracts |
$ | | $ | 555,409 | $ | | $ | 555,409 | ||||||||
Liabilities |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments* |
||||||||||||||||
Forward Foreign Currency Contracts |
$ | | $ | 56,033 | $ | | $ | 56,033 |
(1) | Included a zero valued security. |
* | Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts. |
The following is a reconciliation of investments as of September 30, 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, 2022 |
$ | 18,917 | $ | 8,217,766 | $ | 5,700 | $ | 0 | (1) | $ | 8,242,383 | |||||||||
Accrued discounts (premiums) |
| 37,139 | | | 37,139 | |||||||||||||||
Purchases |
| 1,319,599 | | | 1,319,599 | |||||||||||||||
Sales |
| (2,324,494 | ) | | | (2,324,494 | ) | |||||||||||||
Realized gain (loss) |
| 15,600 | (44,986 | ) | | (29,386 | ) | |||||||||||||
Change in unrealized appreciation (depreciation) |
73,359 | (918,047 | ) | 41,931 | | (802,757 | ) | |||||||||||||
Transfers into Level 3 |
| 3,000,181 | 868,281 | | 3,868,462 | |||||||||||||||
Transfers out of Level 3 |
(11,813 | ) | (1,555,344 | ) | | | (1,567,157 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Balance as of September 30, 2022 |
$ | 80,463 | $ | 7,792,400 | $ | 870,926 | $ | 0 | (1) | $ | 8,743,789 | |||||||||
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Net change in unrealized appreciation (depreciation) from investments still held as of September 30, 2022 |
$ | 76,734 | $ | (804,617 | ) | $ | (3,054 | ) | | $ | (730,937 | ) |
(1) | Includes zero valued security. |
Quantitative Disclosure About Significant Unobservable Inputs
Asset Class |
Fair Value At September 30, 2022 |
Valuation Technique |
Unobservable Input |
Price Range (Weighted Average)* | ||||||
Bank Loans |
$ | 7,792,400 | Vendor pricing | Single Broker Quote | $0.12 $1.01 ($0.93) | |||||
Common Stocks |
960 | Income Approach | Expected Remaining Distribution | 0.00 0.02 (0.02) | ||||||
1,685 | Recent Transactions | Trade Price | 1.48 5.22 (2.59) | |||||||
868,281 | Vendor pricing | Single Broker Quote | 10.75 67.00 (54.28) | |||||||
Corporate Bonds |
80,463 | Income Approach | Expected Remaining Distribution | 0.01 0.76 (0.63) | ||||||
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 companys financial statements, the companys products or intended markets or the companys technologies; (iii) the price of the same or similar security negotiated at arms length in an issuers 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 September 30, 2022, $3,868,462 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $1,567,157 was transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs. All transfers, if any, are assumed to occur at the end of the reporting period.
Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Funds website at www.credit-suisse.com/us/funds, as well as on the website of the Securities and Exchange Commission at www.sec.gov.