Credit Suisse Asset Management Income Fund, Inc.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File No. 811-05012

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CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.

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(Exact Name of Registrant as Specified in Charter)

One Madison Avenue, New York, New York 10010

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(Address of Principal Executive Offices)             (Zip Code)

John G. Popp

Credit Suisse Asset Management Income Fund, Inc.

One Madison Avenue

New York, New York 10010

Registrant’s telephone number, including area code: (212) 325-2000

Date of fiscal year end: December 31

Date of reporting period: January 1, 2016 to June 30, 2016


Item 1. Reports to Stockholders.


Credit Suisse Asset Management

Income Fund, Inc.

One Madison Avenue

New York, NY 10010

 

 

Directors

Steven N. Rappaport

Chairman of the Board

Enrique R. Arzac

Terry Fires Bovarnick

James J. Cattano

Lawrence J. Fox

John G. Popp

 

 

Officers

John G. Popp

Chief Executive Officer and President

Thomas J. Flannery

Chief Investment Officer

Emidio Morizio

Chief Compliance Officer

Lou Anne McInnis

Chief Legal Officer

Kenneth J. Lohsen

Chief Financial Officer

Esther Cheung

Treasurer

Karen Regan

Senior Vice President and Secretary

 

 

Investment Adviser

Credit Suisse Asset Management, LLC

One Madison Avenue

New York, NY 10010

 

 

Administrator and Custodian

State Street Bank and Trust Co.

One Lincoln Street

Boston, MA 02111

 

 

Shareholder Servicing Agent

Computershare Trust Company, N.A.

P.O. Box 30170

College Station, TX 77842-3170

 

 

Legal Counsel

Willkie Farr & Gallagher LLP

787 7th Avenue

New York, NY 10019

 

 

Independent Registered Public Accounting Firm

KPMG LLP

345 Park Avenue

New York, NY 10154

 

 

 

 

 

Credit Suisse Asset Management

Income Fund, Inc.

 

 

 

SEMIANNUAL REPORT

June 30, 2016

(unaudited)

 

 

LOGO

 


Credit Suisse Asset Management Income Fund, Inc.

Semiannual Investment Adviser’s Report

June 30, 2016 (unaudited)

 

 

August 3, 2016

Dear Shareholder:

We are pleased to present this Semiannual Report covering the activities of the Credit Suisse Asset Management Income Fund, Inc. (the “Fund”) for the six months ended June 30, 2016.

Performance Summary

01/01/16 – 06/30/16

 

Fund & Benchmark    Performance  

Total Return (based on NAV)1

     6.14

Total Return (based on market value) 1

     10.49

BofA Merrill Lynch US High Yield Master II Constrained Index2

     9.32

Market Review: A Volatile Period with a Positive End

The six-month period ended June 30, 2016 was a volatile one for the high yield asset class, with the BofA Merrill Lynch US High Yield Master II Constrained Index, the Fund’s benchmark, returning 9.32%. During the period, global risk assets experienced significant volatility along with the price of oil and commodities. Although the high yield asset class had positive returns overall, it lost 5.14% from January 1 through February 11, as weakness in equity markets, negative headlines regarding China, and sharp declines in commodities detracted from returns.

Sentiment reversed and turned positive for below investment grade credit markets in mid-February—a change that carried into Q2, as certain technical and fundamental macro concerns began to moderate. Yields ended the period at 7.36%—140 basis points tighter than year-end 2015.

There was a modest pullback in late June when the approval of the United Kingdom’s (“UK”) referendum to exit European Union (“EU”) membership (“Brexit”) surprised many prognosticators. Equity markets responded with weakness and U.S. credit markets shared a similar, yet more muted response on fairly low volumes. The markets, however, recovered relatively quickly and have generally returned to near pre-Brexit levels.

While June quarter issuance improved relative to March ($104.0 billion vs. $51.2 billion), some of the increases were related to refinancings. Overall, 2016 issuance remains solidly below comparable 2015 levels so far (down 19% year-to-date). Fund flows were mixed, with high yield experiencing a net $3.6 billion of inflows, according to JP Morgan.

Strategic Review and Outlook: Anticipating Continued Positive Performance

For the six-month period ended June 30, 2016, the Fund outperformed its benchmark on a market value basis, but underperformed on an NAV basis. The most material drivers of underperformance were underexposure and issue selection in the metals/mining (excluding steel) and energy exploration and production sectors. Exposure to ABS/CLO (asset backed securities and collateralized loan obligations) assets also detracted from returns. Conversely, gains from oil field equipment & services, health services, and banking sectors partially offset these losses.

As detailed plans around an actual UK exit from the EU are yet to be determined, the uncertainty may weigh on economic activity and global growth in the near term and could lead to outflows from the credit markets if volatility persists. Energy markets in particular have improved, with oil stabilizing at $45-50 per barrel. We have become more constructive on the oil sector (less so on the natural gas market) and currently expect to see pricing

 

1


Credit Suisse Asset Management Income Fund, Inc.

Semiannual Investment Adviser’s Report (continued)

June 30, 2016 (unaudited)

 

 

improvements into late 2016, as worldwide supply grinds lower due to reduced capital investment. However, we realize that demand-side concerns resulting from Brexit-impacted economic activity and lower growth in China could somewhat change the equation.

Still, our medium and longer-term market views have not changed. We believe that low global rates (and limited visibility into rate increases altogether), muted issuance expectations, and relative economic performance in the United States versus many European or Asian economies will allow the U.S. credit markets to maintain solid footing for the remainder of the year.

 

LOGO    LOGO

Thomas J. Flannery

Chief Investment Officer*

  

John G. Popp

Chief Executive Officer and President**

High yield bonds are lower-quality bonds that are also known as “junk bonds.” Such bonds entail greater risks than those found in higher-rated securities.

In addition to historical information, this report contains forward-looking statements, which may concern, among other things, domestic and foreign market, industry and economic trends and developments and government regulation and their potential impact on the Fund’s investments. These statements are subject to risks and uncertainties and actual trends, developments and regulations in the future, and their impact on the Fund could be materially different from those projected, anticipated or implied. The Fund has no obligation to update or revise forward-looking statements.

The views of the Fund’s management are as of the date of the letter and the Fund holdings described in this document are as of June 30, 2016; these views and Fund holdings may have changed subsequent to these dates. Nothing in this document is a recommendation to purchase or sell securities.

 

1  Assuming reinvestment of dividends of $0.132 per share.
2  The BofA Merrill Lynch US High Yield Master II Constrained Index (the “Index”) is an unmanaged index that tracks the performance of below investment-grade U.S. dollar-denominated corporate bonds issued in the U.S. domestic market, where each issuer’s allocation is limited to 2% of the Index. The Index does not have transaction costs and investors cannot invest directly in the Index.
* Thomas J. Flannery, Managing Director, is the Head of the Credit Suisse U.S. High Yield Management Team. Mr. Flannery joined Credit Suisse Asset Management, LLC (“Credit Suisse”) in June 2010. He is a portfolio manager for the Credit Investments Group (“CIG”) with responsibility for trading, directing investment decisions, originating and analyzing investment opportunities. Mr. Flannery is also a member of the CIG Credit Committee and is currently a high yield bond portfolio manager and trader for CIG. Mr. Flannery joined Credit Suisse AG in 2000 from First Dominion Capital, LLC where he was an Associate. Mr. Flannery holds a B.S. in Finance from Georgetown University.
** John G. Popp is a Managing Director of Credit Suisse and Group Head and Chief Investment Officer of CIG, with primary responsibility for making investment decisions and monitoring processes for CIG’s global investment strategies. Mr. Popp also serves as the Chief Executive Officer and President of the Credit Suisse Funds, as well as serving as Director, Chief Executive Officer and President for the Credit Suisse Asset Management Income Fund, Inc. and Trustee, Chief Executive Officer, President of the Credit Suisse High Yield Bond Fund and Director, Chief Executive Officer and President of Credit Suisse Park View BDC, Inc. Mr. Popp has been associated with Credit Suisse since 1997.

 

2


Credit Suisse Asset Management Income Fund, Inc.

Semiannual Investment Adviser’s Report (continued)

June 30, 2016 (unaudited)

 

 

Credit Quality Breakdown*

(% of Total Investments as of June 30, 2016)

 

S&P Ratings**

 

BBB

     2.7

BB

     22.0   

B

     42.9   

CCC

     20.4   

CC

     1.7   

D

     0.6   

NR

     5.4   
  

 

 

 

Subtotal

     95.7   

Equity and Other

     0.0   

Short Term Investment1

     4.3   
  

 

 

 

Total

     100.0
  

 

 

 

 

* Expressed as a percentage of total investments (excluding securities lending collateral, if applicable) and may vary over time.
** Credit Quality is based on ratings provided by Standard & Poor’s Division of The McGraw-Hill Companies, Inc. (“S&P”). S&P is a main provider of ratings for credit assets classes and is widely used amongst industry participants. The NR category consists of securities that have not been rated by S&P.
1  Primarily reflects cash invested in State Street Bank and Trust Co. Euro Time Deposit, for which the purchases of securities have been executed but not yet settled at June 30, 2016, if applicable.

Average Annual Returns

June 30, 2016 (unaudited)

 

 

       1 Year        3 Years        5 Years        10 Years  

Net Asset Value (NAV)

       (1.79)%           3.36%           5.51%           7.24%   

Market Value

       0.44%           (0.41)%           2.97%           6.71%   

Credit Suisse may waive fees and/or reimburse expenses, without which performance would be lower. Waivers and/or reimbursements are subject to change and may be discontinued at any time. Returns represent past performance. Total investment return at net asset value is based on the change in the net asset value of Fund shares and assumes reinvestment of dividends and distributions, if any. Total investment return at market value is based on the change in the market price at which the Fund’s shares traded on the stock exchange during the period and assumes reinvestment of dividends and distributions, if any, at actual prices pursuant to the Fund’s dividend reinvestment program. Because the Fund’s shares trade in the stock market based on investor demand, the Fund may trade at a price higher or lower than its NAV. Therefore, returns are calculated based on NAV and share price. Past performance is no guarantee of future results. The current performance of the Fund may be lower or higher than the figures shown. The Fund’s yield, return, NAV and market price will fluctuate. Performance information current to the most recent month end is available by calling 1-800-293-1232.

The annualized gross and net expense ratios are 0.74%.

 

3


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments

June 30, 2016 (unaudited)

 

 

Par

(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 

 

CORPORATE BONDS (75.1%)

           

 

Advertising (2.9%)

           
$ 425     

Clear Channel Worldwide Holdings, Inc., Series A, Global Company Guaranteed Notes
(Callable 11/15/17 @ 103.25)

   (B+, B2)      11/15/22         6.500       $ 411,187   
  1,475     

Clear Channel Worldwide Holdings, Inc., Series B, Global Company Guaranteed Notes
(Callable 11/15/17 @ 103.25)

   (B+, B2)      11/15/22         6.500         1,482,375   
  1,270     

Southern Graphics, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/01/16 @ 106.28)(1)

   (CCC+, Caa1)      10/15/20         8.375         1,276,350   
  1,650     

WMG Acquisition Corp., Rule 144A, Senior Secured Notes (Callable 08/01/16 @ 104.50)(1)

   (B, Ba3)      01/15/21         6.000         1,707,750   
             

 

 

 
                4,877,662   
             

 

 

 

 

Auto Parts & Equipment (1.3%)

           
  1,150     

MPG Holdco I, Inc., Global Company Guaranteed Notes (Callable 10/15/17 @ 105.53)(2)

   (B+, B3)      10/15/22         7.375         1,135,625   
  900     

Optimas OE Solutions, Inc., Rule 144A, Senior Secured Notes (Callable 06/01/18 @ 104.31)(1)

   (CCC+, Caa2)      06/01/21         8.625         634,500   
  2,100     

UCI International LLC, Global Company Guaranteed Notes (Callable 08/01/16 @ 102.16)(3)

   (D, NR)      02/15/19         8.625         472,500   
             

 

 

 
                2,242,625   
             

 

 

 

 

Brokerage (1.8%)

           
  1,500     

CCRE Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/16 @ 102.91)(1)

   (B+, B1)      02/15/18         7.750         1,447,500   
  400     

Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 04/15/17 @ 105.16)(1)

   (B, B1)      04/15/22         6.875         346,000   
  1,450     

Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/17 @ 105.63)(1)

   (B, B1)      04/15/21         7.500         1,307,320   
             

 

 

 
                3,100,820   
             

 

 

 

 

Building & Construction (1.7%)

           
  1,400     

AV Homes, Inc., Global Company Guaranteed Notes (Callable 08/01/16 @ 106.38)

   (B, Caa1)      07/01/19         8.500         1,382,500   
  750     

Rialto Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/16 @ 103.50)(1)

   (B, B1)      12/01/18         7.000         755,625   
  750     

U.S. Concrete, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/19 @ 104.78)(1)

   (BB-, B3)      06/01/24         6.375         751,875   
             

 

 

 
                2,890,000   
             

 

 

 

 

Building Materials (4.1%)

           
  475     

American Builders & Contractors Supply Co., Inc., Rule 144A, Senior Unsecured Notes
(Callable 12/15/18 @ 104.31)(1)

   (BB, B3)      12/15/23         5.750         492,813   
  1,600     

Euramax International, Inc., Rule 144A, Senior Secured Notes (Callable 02/15/18 @ 109.00)(1)

   (B-, Caa2)      08/15/20         12.000         1,560,000   
  475     

GCP Applied Technologies, Inc. Rule 144A, Company Guaranteed Notes
(Callable 02/01/19 @ 104.75)(1)

   (B+, B1)      02/01/23         9.500         532,000   
  1,250     

Headwaters, Inc., Global Company Guaranteed Notes (Callable 08/01/16 @ 103.63)

   (B, B3)      01/15/19         7.250         1,281,250   
  1,150     

NCI Building Systems, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/18 @ 106.19)(1)

   (BB-, B3)      01/15/23         8.250         1,241,758   
  900     

PriSo Acquisition Corp., Rule 144A, Senior Unsecured Notes (Callable 05/15/18 @ 104.50)(1)

   (CCC+, Caa1)      05/15/23         9.000         879,750   
  500     

Summit Materials Finance Corp., Global Company Guaranteed Notes (Callable 07/15/18 @ 103.06)

   (B, Caa1)      07/15/23         6.125         495,310   
  500     

Summit Materials Finance Corp., Rule 144A, Company Guaranteed Notes
(Callable 04/15/19 @ 104.25)(1)

   (B, Caa1)      04/15/22         8.500         531,875   
             

 

 

 
                7,014,756   
             

 

 

 

 

Cable & Satellite TV (6.2%)

           
  825     

Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 02/15/18 @ 104.97)(1)

   (BB-, B1)      02/15/23         6.625         813,136   
  1,250     

Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 05/15/21 @ 103.75)(1)

   (BB-, B1)      05/15/26         7.500         1,228,125   
  1,850     

Block Communications, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/16 @ 103.63)(1)

   (B, B1)      02/01/20         7.250         1,877,750   
  100     

Cequel Capital Corp., Rule 144A, Senior Unsecured Notes (Callable 08/01/16 @ 103.84)(1)

   (B-, Caa1)      12/15/21         5.125         95,750   
  400     

Cequel Capital Corp., Rule 144A, Senior Unsecured Notes (Callable 08/01/16 @ 104.78)(1)

   (B-, Caa1)      09/15/20         6.375         408,220   
  685     

CSC Holdings LLC, Global Senior Unsecured Notes(2)

   (B-, B2)      06/01/24         5.250         625,063   
  1,000     

DISH DBS Corp., Global Company Guaranteed Notes

   (BB-, Ba3)      06/01/21         6.750         1,038,750   
  1,175     

Midcontinent Communications & Midcontinent Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/15/18 @ 105.16)(1)

   (B, B3)      08/15/23         6.875         1,210,250   
  400     

Neptune Finco Corp., Rule 144A, Senior Unsecured Notes (Callable 10/15/20 @ 103.31)(1)

   (BB-, Ba1)      10/15/25         6.625         421,000   

 

See Accompanying Notes to Financial Statements.

 

4


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2016 (unaudited)

 

 

Par

(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 

 

CORPORATE BONDS (continued)

           

 

Cable & Satellite TV

           
$ 400     

Neptune Finco Corp., Rule 144A, Senior Unsecured Notes (Callable 10/15/20 @ 105.44)(1)

   (B-, B2)      10/15/25         10.875       $ 458,248   
  550     

Numericable-SFR S.A., Rule 144A, Senior Secured Notes (Callable 05/01/21 @ 103.69)(1)

   (B+, B1)      05/01/26         7.375         544,500   
  700     

Numericable-SFR S.A., Rule 144A, Senior Secured Notes (Callable 05/15/17 @ 104.50)(1)

   (B+, B1)      05/15/22         6.000         683,375   
  1,200     

Numericable-SFR S.A., Rule 144A, Senior Secured Notes (Callable 05/15/19 @ 103.13)(1)

   (B+, B1)      05/15/24         6.250         1,152,000   
             

 

 

 
                10,556,167   
             

 

 

 

 

Chemicals (4.3%)

           
  1,225     

A Schulman, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/18 @ 105.16)(1)

   (B+, B3)      06/01/23         6.875         1,229,287   
  150     

Axiall Corp., Global Company Guaranteed Notes (Callable 05/15/18 @ 102.44)

   (BB-, Ba3)      05/15/23         4.875         154,688   
  600     

Blue Cube Spinco, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/20 @ 105.00)(1)

   (BB+, Ba1)      10/15/25         10.000         696,000   
  500     

Chemtura Corp., Company Guaranteed Notes (Callable 08/01/16 @ 104.31)

   (BB-, B1)      07/15/21         5.750         507,500   
  350     

Ineos Group Holdings S.A., Rule 144A, Secured Notes (Callable 08/01/16 @ 101.53)(1),(2)

   (B-, B3)      08/15/18         6.125         353,500   
  750     

Ineos Group Holdings S.A., Rule 144A, Secured Notes (Callable 08/01/16 @ 102.94)(1),(2)

   (B-, B3)      02/15/19         5.875         751,875   
  1,020     

OMNOVA Solutions, Inc., Global Company Guaranteed Notes (Callable 08/01/16 @ 101.97)

   (B-, B2)      11/01/18         7.875         1,025,100   
  500     

PQ Corp., Rule 144A, Senior Secured Notes (Callable 05/15/19 @ 103.38)(1)

   (B-, B2)      11/15/22         6.750         522,500   
  276     

Reichhold Industries, Inc., Rule 144A, Senior Secured Notes
(Callable 08/01/16 @ 100.00)(1),(3,),(4),(5)

   (NR, NR)      05/08/17         9.000         11,051   
  1,100     

The Chemours Co., Global Company Guaranteed Notes (Callable 05/15/20 @ 103.50)

   (B+, B1)      05/15/25         7.000         928,125   
  1,075     

Tronox Finance LLC, Global Company Guaranteed Notes (Callable 08/01/16 @ 104.78)(2)

   (B, Caa1)      08/15/20         6.375         803,563   
  360     

Univar U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/18 @ 103.38)(1),(2)

   (B, Caa1)      07/15/23         6.750         357,300   
             

 

 

 
                7,340,489   
             

 

 

 

 

Consumer/Commercial/Lease Financing (1.5%)

           
  2,000     

Infinity Acquisition Finance Corp., Rule 144A, Senior Secured Notes (Callable 08/01/17 @ 103.63)(1)

   (CCC+, Caa2)      08/01/22         7.250         1,755,000   
  900     

National Financial Partners Corp., Rule 144A, Senior Unsecured Notes
(Callable 08/01/16 @ 106.75)(1)

   (CCC+, Caa2)      07/15/21         9.000         870,750   
             

 

 

 
                2,625,750   
             

 

 

 

 

Diversified Capital Goods (1.7%)

           
  900     

Anixter, Inc., Global Company Guaranteed Notes

   (BB, Ba3)      03/01/23         5.500         919,125   
  1,550     

Belden, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/17 @ 102.75)(1)

   (B+, Ba3)      09/01/22         5.500         1,569,375   
  470     

EnerSys, Rule 144A, Company Guaranteed Notes (Callable 01/30/23 @ 100.00)(1)

   (BB+, Ba2)      04/30/23         5.000         466,475   
             

 

 

 
                2,954,975   
             

 

 

 

 

Electronics (0.9%)

           
  500     

Microsemi Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/19 @ 106.84)(1)

   (B+, B2)      04/15/23         9.125         552,500   
  200     

NXP Funding LLC, Rule 144A, Company Guaranteed Notes(1)

   (BB+, Ba2)      06/01/21         4.125         203,500   
  675     

NXP Funding LLC, Rule 144A, Company Guaranteed Notes(1)

   (BB+, Ba2)      06/01/23         4.625         688,500   
             

 

 

 
                1,444,500   
             

 

 

 

 

Energy - Exploration & Production (3.3%)

           
  2,230     

Bonanza Creek Energy, Inc., Global Company Guaranteed Notes (Callable 04/15/17 @ 103.38)

   (CC, Ca)      04/15/21         6.750         925,450   
  1,200     

Comstock Resources, Inc., Company Guaranteed Notes (Callable 08/01/16 @ 101.94)

   (D, Caa3)      04/01/19         7.750         534,000   
  900     

Det Norske Oljeselskap ASA, Rule 144A, Subordinated Notes (Callable 05/27/19 @ 105.13)(1)

   (NR, NR)      05/27/22         10.250         987,750   
  1,975     

EPL Oil & Gas, Inc., Global Company Guaranteed Notes (Callable 08/01/16 @ 102.06)(3)

   (NR, NR)      02/15/18         8.250         217,250   
  1,050     

Oasis Petroleum, Inc., Company Guaranteed Notes (Callable 11/01/16 @ 103.25)(2)

   (B+, Caa1)      11/01/21         6.500         963,375   
  350     

Oasis Petroleum, Inc., Global Company Guaranteed Notes (Callable 09/15/17 @ 103.44)(2)

   (B+, Caa1)      03/15/22         6.875         325,062   
  1,500     

Stone Energy Corp., Global Company Guaranteed Notes (Callable 11/15/17 @ 103.75)

   (CCC-, Ca)      11/15/22         7.500         682,500   
  1,124     

W&T Offshore, Inc., Global Company Guaranteed Notes (Callable 08/01/16 @ 102.13)

   (CC, Ca)      06/15/19         8.500         286,620   
  800     

Whiting Petroleum Corp., Company Guaranteed Notes (Callable 12/15/20 @ 100.00)(2)

   (B, Caa2)      03/15/21         5.750         726,000   
             

 

 

 
                5,648,007   
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

5


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2016 (unaudited)

 

 

Par

(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 

 

CORPORATE BONDS (continued)

           

 

Food - Wholesale (0.4%)

           
$ 700     

U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/19 @ 102.94)(1)

   (B, B3)      06/15/24         5.875       $ 719,250   
             

 

 

 

 

Forestry & Paper (0.0%)

           
  1,000     

Stone & Webster, Inc.(5)(6)

   (NR, NR)      10/23/19         0.000         1,650   
             

 

 

 

 

Gaming (0.8%)

           
  555     

Choctaw Resort Development Enterprise, Rule 144A, Senior Unsecured Notes
(Callable 08/01/16 @ 100.00)(1)

   (B+, Caa1)      11/15/19         7.250         527,250   
  750     

Safari Holding Verwaltungs GmbH, Rule 144A, Senior Secured Notes
(Callable 02/15/17 @ 104.13)(1),(7)

   (B, B2)      02/15/21         8.250         875,798   
             

 

 

 
                1,403,048   
             

 

 

 

 

Gas Distribution (2.7%)

           
  1,500     

Energy Transfer Equity LP, Senior Secured Notes

   (BB, Ba2)      10/15/20         7.500         1,597,500   
  164     

Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 05/15/18 @ 104.50)

   (B+, B1)      05/15/23         6.000         154,160   
  750     

Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 06/15/19 @ 102.81)

   (B+, B1)      06/15/24         5.625         686,250   
  350     

Genesis Energy Finance Corp., Global Company Guaranteed Notes (Callable 02/15/17 @ 102.88)

   (B+, B1)      02/15/21         5.750         332,500   
  1,750     

Holly Energy Finance Corp., Global Company Guaranteed Notes (Callable 08/01/16 @ 103.25)

   (BB, B1)      03/01/20         6.500         1,767,500   
             

 

 

 
                4,537,910   
             

 

 

 

 

Health Facilities (2.7%)

           
  1,725     

Covenant Surgical Partners, Inc., Rule 144A, Senior Secured Notes (Callable 08/01/16 @ 106.56)(1)

   (B-, B3)      08/01/19         8.750         1,664,625   
  1,075     

HCA, Inc., Global Senior Secured Notes (Callable 12/15/25 @ 100.00)

   (BBB-, Ba1)      06/15/26         5.250         1,118,672   
  500     

MPT Finance Corp., Company Guaranteed Notes (Callable 02/15/17 @ 103.19)

   (BBB-, Ba1)      02/15/22         6.375         520,625   
  1,000     

Tenet Healthcare Corp., Global Senior Unsecured Notes

   (CCC+, Caa1)      04/01/22         8.125         1,029,800   
  300     

Tenet Healthcare Corp., Global Senior Unsecured Notes(2)

   (CCC+, Caa1)      06/15/23         6.750         288,375   
             

 

 

 
                4,622,097   
             

 

 

 

 

Insurance Brokerage (1.2%)

           
  775     

Hub Holdings Finance, Inc., 8.125% Cash, 8.875% PIK, Rule 144A, Senior Unsecured Notes
(Callable 08/01/16 @ 101.00)(1),(8)

   (CCC+, Caa2)      07/15/19         17.000         747,875   
  675     

HUB International Ltd., Rule 144A, Secured Notes (Callable 02/15/17 @ 103.00)(1)

   (CCC+, B3)      02/15/21         9.250         708,750   
  550     

HUB International Ltd., Rule 144A, Senior Unsecured Notes (Callable 10/01/16 @ 105.91)(1)

   (CCC+, Caa2)      10/01/21         7.875         529,375   
             

 

 

 
                1,986,000   
             

 

 

 

 

Investments & Misc. Financial Services (0.9%)

           
  750     

Cabot Financial Luxembourg S.A., Rule 144A, Senior Secured Notes
(Callable 08/01/16 @ 107.78)(1),(9)

   (B+, B2)      10/01/19         10.375         1,062,786   
  375     

Lincoln Finance Ltd., Rule 144A, Senior Secured Notes (Callable 04/15/18 @ 103.69)(1)

   (BB+, B1)      04/15/21         7.375         389,531   
             

 

 

 
                1,452,317   
             

 

 

 

 

Media - Diversified (1.1%)

           
  1,815     

National CineMedia LLC, Global Senior Unsecured Notes (Callable 08/01/16 @ 103.94)

   (B, B2)      07/15/21         7.875         1,887,600   
             

 

 

 

 

Media Content (1.7%)

           
  250     

Activision Blizzard, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/15/16 @ 104.22)(1)

   (BBB-, Baa3)      09/15/21         5.625         262,188   
  1,000     

Nexstar Broadcasting, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/18 @ 103.06)(1)

   (BB-, B3)      02/15/22         6.125         1,015,000   
  573     

Sinclair Television Group, Inc., Global Company Guaranteed Notes (Callable 10/01/17 @ 103.06)

   (B+, B1)      10/01/22         6.125         594,487   
  1,000     

Sinclair Television Group, Inc., Global Company Guaranteed Notes (Callable 11/01/16 @ 104.78)

   (B+, B1)      11/01/21         6.375         1,055,000   
             

 

 

 
                2,926,675   
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

6


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2016 (unaudited)

 

 

Par

(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 

 

CORPORATE BONDS (continued)

           

 

Medical Products (0.5%)

           
$ 875     

Sterigenics-Nordion Holdings LLC, Rule 144A, Senior Unsecured Notes
(Callable 05/15/18 @ 104.88)(1)

   (CCC+, Caa1)      05/15/23         6.500       $ 888,125   
             

 

 

 

 

Metals & Mining - Excluding Steel (3.6%)

           
  703     

Boart Longyear Management Pty. Ltd., Rule 144A, Company Guaranteed Notes
(Callable 08/02/16 @ 103.50)(1)

   (CCC+, Caa2)      04/01/21         7.000         128,297   
  230     

Boart Longyear Management Pty. Ltd., Rule 144A, Senior Secured Notes(1)

   (B, B3)      10/01/18         10.000         116,150   
  1,050     

Eldorado Gold Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/16 @ 103.06)(1)

   (BB-, B1)      12/15/20         6.125         1,055,250   
  1,400     

Global Brass & Copper, Inc., Global Senior Secured Notes (Callable 07/18/16 @ 104.75)

   (BB-, B2)      06/01/19         9.500         1,469,650   
  1,450     

GrafTech International Ltd., Global Company Guaranteed Notes (Callable 11/15/16 @ 103.19)

   (CCC+, Caa2)      11/15/20         6.375         1,123,750   
  2,120     

Noranda Aluminum Acquisition Corp., Global Company Guaranteed Notes
(Callable 08/01/16 @ 105.50)(3)

   (NR, NR)      06/01/19         11.000         29,150   
  3,325     

Taseko Mines Ltd., Company Guaranteed Notes (Callable 08/01/16 @ 101.94)(2)

   (CCC, Caa2)      04/15/19         7.750         2,111,375   
             

 

 

 
                6,033,622   
             

 

 

 

 

Oil Field Equipment & Services (3.7%)

           
  1,825     

FTS International, Inc., Global Senior Secured Notes (Callable 05/01/17 @ 104.69)

   (CC, Caa2)      05/01/22         6.250         720,875   
  961     

Harkand Finance, Inc., 7.800% Cash, 0.600% PIK, Reg S, Rule 144A, Senior Secured Notes
(Callable 08/01/16 @ 104.50)(1),(3),(8),(10)

   (NR, NR)      03/28/19         8.400         398,685   
  600     

Pacific Drilling V Ltd., Rule 144A, Senior Secured Notes (Callable 08/01/16 @ 103.63)(1)

   (B-, Caa3)      12/01/17         7.250         249,000   
  950     

Parker Drilling Co., Global Company Guaranteed Notes (Callable 01/15/18 @ 103.38)(2)

   (B-, Caa1)      07/15/22         6.750         719,625   
  1,150     

Pioneer Energy Services Corp., Global Company Guaranteed Notes
(Callable 03/15/17 @ 104.59)

   (B-, Ca)      03/15/22         6.125         810,750   
  1,500     

Shelf Drilling Holdings Ltd., Rule 144A, Secured Notes (Callable 08/01/16 @ 104.31)(1)

   (B, B2)      11/01/18         8.625         1,110,000   
  1,338     

Sidewinder Drilling, Inc.(4),(5)

   (NR, NR)      11/15/19         9.750         668,759   
  565     

Sidewinder Drilling, Inc.(4),(5)

   (NR, NR)      11/15/19         12.000         508,823   
  750     

Transocean, Inc., Global Company Guaranteed Notes (Callable 07/15/22 @ 100.00)

   (BB-, B2)      10/15/22         5.050         534,375   
  535     

Trinidad Drilling Ltd., Rule 144A, Company Guaranteed Notes (Callable 08/01/16 @ 101.97)(1)

   (BB, Caa1)      01/15/19         7.875         478,825   
             

 

 

 
                6,199,717   
             

 

 

 

 

Oil Refining & Marketing (3.2%)

           
  500     

CITGO Petroleum Corp., Rule 144A, Senior Secured Notes (Callable 08/15/17 @ 104.69)(1)

   (B+, B3)      08/15/22         6.250         481,250   
  2,000     

Coffeyville Finance, Inc., Global Company Guaranteed Notes (Callable 11/01/17 @ 103.25)

   (BB-, B1)      11/01/22         6.500         1,730,000   
  975     

Northern Tier Finance Corp., Global Senior Secured Notes (Callable 08/01/16 @ 105.34)

   (BB-, B1)      11/15/20         7.125         996,937   
  1,850     

PBF Finance Corp., Global Senior Secured Notes (Callable 08/01/16 @ 104.13)

   (BBB-, B1)      02/15/20         8.250         1,928,625   
  300     

Western Refining, Inc., Global Company Guaranteed Notes (Callable 04/01/17 @ 103.13)

   (B, B3)      04/01/21         6.250         274,500   
             

 

 

 
                5,411,312   
             

 

 

 

 

Packaging (1.9%)

           
  750     

Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes
(Callable 01/31/17 @ 103.38)(1)

   (CCC+, B3)      01/31/21         6.750         758,437   
  88     

Ardagh Holdings U.S.A., Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/16 @ 103.50)(1)

   (NR, B3)      11/15/20         7.000         86,912   
  1,850     

Reynolds Group Issuer LLC, Global Company Guaranteed Notes (Callable 08/01/16 @ 104.13)(2)

   (CCC+, Caa2)      02/15/21         8.250         1,935,655   
  450     

SIG Combibloc Holdings S.C.A., Rule 144A, Senior Secured Notes (Callable 02/15/18 @ 103.88)(1),(7)

   (B-, Caa1)      02/15/23         7.750         528,148   
             

 

 

 
                3,309,152   
             

 

 

 

 

Personal & Household Products (0.2%)

           
  400     

Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/19 @ 104.78)(1)

   (B, Caa1)      03/01/24         6.375         417,000   
             

 

 

 

 

Pharmaceuticals (1.2%)

           
  800     

AMAG Pharmaceuticals, Inc., Rule 144A, Company Guaranteed Notes
(Callable 09/01/18 @ 105.91)(1),(2)

   (B+, B3)      09/01/23         7.875         720,000   

 

See Accompanying Notes to Financial Statements.

 

7


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2016 (unaudited)

 

 

Par

(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 

 

CORPORATE BONDS (continued)

           

 

Pharmaceuticals

           
$ 618     

Capsugel S.A., 7.000 Cash%, 7.750% PIK, Rule 144A, Senior Unsecured Notes
(Callable 07/18/16 @ 101.00)(1),(8)

   (B-, Caa1)      05/15/19         14.750       $ 619,545   
  250     

Valeant Pharmaceuticals International, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/15/17 @ 102.69)(1)

   (B-, B3)      03/15/20         5.375         214,844   
  625     

Valeant Pharmaceuticals International, Rule 144A, Company Guaranteed Notes
(Callable 10/15/16 @ 103.19)(1)

   (B-, B3)      10/15/20         6.375         540,625   
             

 

 

 
                2,095,014   
             

 

 

 

 

Real Estate Investment Trusts (2.2%)

           
  200     

DuPont Fabros Technology LP, Company Guaranteed Notes (Callable 06/15/18 @ 104.22)

   (BB, Ba1)      06/15/23         5.625         206,000   
  400     

ESH Hospitality, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/01/20 @ 102.63)(1)

   (BB-, B3)      05/01/25         5.250         391,500   
  600     

iStar, Inc., Senior Unsecured Notes (Callable 07/01/18 @ 103.25)

   (B+, B2)      07/01/21         6.500         568,500   
  1,398     

iStar, Inc., Senior Unsecured Notes (Callable 08/01/16 @ 102.50)

   (B+, B2)      07/01/19         5.000         1,310,625   
  1,175     

QTS Finance Corp., Global Company Guaranteed Notes (Callable 08/01/17 @ 104.41)

   (BB-, B2)      08/01/22         5.875         1,197,031   
             

 

 

 
                3,673,656   
             

 

 

 

 

Recreation & Travel (1.2%)

           
  1,500     

ClubCorp Club Operations, Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/15/18 @ 106.19)(1)

   (B-, B3)      12/15/23         8.250         1,500,000   
  250     

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 07/31/19 @ 103.66)(1)

   (BB-, B3)      07/31/24         4.875         247,500   
  250     

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 08/01/16 @ 103.94)(1)

   (BB-, B3)      01/15/21         5.250         259,063   
             

 

 

 
                2,006,563   
             

 

 

 

 

Software - Services (1.4%)

           
  525     

NeuStar, Inc., Global Company Guaranteed Notes (Callable 01/15/18 @ 102.25)(2)

   (B, B2)      01/15/23         4.500         475,125   
  325     

PTC, Inc., Global Senior Unsecured Notes (Callable 05/15/19 @ 104.50)

   (BB-, Ba3)      05/15/24         6.000         337,188   
  975     

Sungard Availability Services Capital, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/01/19 @ 104.38)(1)

   (CCC, Caa2)      04/01/22         8.750         538,687   
  1,998     

Syniverse Holdings, Inc., Global Company Guaranteed Notes (Callable 08/01/16 @ 102.28)

   (CCC+, Caa2)      01/15/19         9.125         989,010   
             

 

 

 
                2,340,010   
             

 

 

 

 

Specialty Retail (1.6%)

           
  975     

Beverages & More, Inc., Rule 144A, Senior Secured Notes (Callable 08/01/16 @ 105.00)(1)

   (B-, Caa1)      11/15/18         10.000         886,031   
  570     

Caleres, Inc., Global Company Guaranteed Notes (Callable 08/15/18 @ 104.69)

   (BB, B1)      08/15/23         6.250         581,400   
  350     

Penske Automotive Group, Inc., Company Guaranteed Notes (Callable 05/15/21 @ 102.75)

   (B+, B1)      05/15/26         5.500         333,375   
  500     

Penske Automotive Group, Inc., Company Guaranteed Notes (Callable 12/01/19 @ 102.69)

   (B+, B1)      12/01/24         5.375         485,000   
  300     

Penske Automotive Group, Inc., Global Company Guaranteed Notes (Callable 10/01/17 @ 102.88)

   (B+, B1)      10/01/22         5.750         301,500   
  200     

Takko Luxembourg 2 S.C.A., Rule 144A, Senior Secured Notes (Callable 07/11/16 @ 104.94)(1),(7)

   (CCC+, Caa1)      04/15/19         9.875         131,648   
             

 

 

 
                2,718,954   
             

 

 

 

 

Steel Producers/Products (0.6%)

           
  1,000     

Zekelman Industries, Inc., Rule 144A, Senior Secured Notes (Callable 06/15/19 @ 104.94)(1)

   (B, Caa2)      06/15/23         9.875         1,012,500   
             

 

 

 

 

Support - Services (5.4%)

           
  500     

Avis Budget Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/15/20 @ 102.63)(1),(2)

   (B+, B1)      03/15/25         5.250         454,375   
  800     

Avis Budget Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/19 @ 104.78)(1),(2)

   (B+, B1)      04/01/24         6.375         796,000   
  900     

Change Healthcare Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/15/17 @ 104.50)(1)

   (CCC+, Caa1)      02/15/21         6.000         959,625   
  1,050     

EMI Music Publishing Group North America Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 06/15/19 @ 105.72)(1)

   (B, B3)      06/15/24         7.625         1,081,500   

 

See Accompanying Notes to Financial Statements.

 

8


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2016 (unaudited)

 

 

Par

(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 

 

CORPORATE BONDS (continued)

           

 

Support - Services

           
$ 750     

Garda World Security Corp., Rule 144A, Company Guaranteed Notes
(Callable 11/15/16 @ 105.44)(1)

   (CCC+, Caa1)      11/15/21         7.250       $ 609,375   
  1,731     

H&E Equipment Services, Inc., Global Company Guaranteed Notes (Callable 09/01/17 @ 103.50)(2)

   (BB-, B3)      09/01/22         7.000         1,800,240   
  900     

Infor U.S., Inc., Company Guaranteed Notes (Callable 05/15/18 @ 102.88)(7)

   (NR, Caa1)      05/15/22         5.750         850,176   
  800     

Light Tower Rentals, Inc., Rule 144A, Senior Secured Notes (Callable 08/01/16 @ 106.09)(1)

   (CCC+, Caa3)      08/01/19         8.125         476,000   
  325     

Safway Finance Corp., Rule 144A, Secured Notes (Callable 08/01/16 @ 101.75)(1)

   (B+, B3)      05/15/18         7.000         325,812   
  875     

The Hertz Corp., Global Company Guaranteed Notes (Callable 07/08/16 @ 101.88)(2)

   (B, B2)      10/15/18         7.500         893,594   
  1,150     

York Risk Services Holding Corp., Rule 144A, Company Guaranteed Notes
(Callable 10/01/17 @ 106.38)(1)

   (CCC, Caa3)      10/01/22         8.500         853,875   
             

 

 

 
                9,100,572   
             

 

 

 

 

Tech Hardware & Equipment (2.8%)

           
  700     

Avaya, Inc., Rule 144A, Senior Secured Notes (Callable 08/01/16 @ 101.75)(1),(2)

   (CCC+, B2)      04/01/19         7.000         504,000   
  750     

Avaya, Inc., Rule 144A, Senior Secured Notes (Callable 08/01/16 @ 102.25)(1),(2)

   (CCC+, B2)      04/01/19         9.000         562,500   
  875     

CommScope Technologies Finance LLC, Rule 144A, Senior Unsecured Notes
(Callable 06/15/20 @ 103.00)(1)

   (B, B1)      06/15/25         6.000         901,250   
  1,000     

Dell, Inc., Global Senior Unsecured Notes

   (BB-, Ba3)      04/15/38         6.500         840,000   
  1,225     

Riverbed Technology, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/18 @ 104.44)(1)

   (CCC+, Caa1)      03/01/23         8.875         1,274,000   
  625     

Western Digital Corp., Rule 144A, Senior Secured Notes (Callable 04/01/19 @ 103.69)(1)

   (BBB-, Ba1)      04/01/23         7.375         667,188   
             

 

 

 
                4,748,938   
             

 

 

 

 

Telecom - Satellite (0.5%)

           
  482     

Hughes Satellite Systems Corp., Global Company Guaranteed Notes

   (BB, B3)      06/15/21         7.625         520,500   
  250     

Intelsat Luxembourg S.A., Global Company Guaranteed Notes (Callable 06/01/17 @ 100.00)(2)

   (CC, Ca)      06/01/18         6.750         165,000   
  800     

Intelsat Luxembourg S.A., Global Company Guaranteed Notes (Callable 06/01/17 @ 103.88)

   (CC, Ca)      06/01/21         7.750         200,000   
             

 

 

 
                885,500   
             

 

 

 

 

Telecom - Wireless (2.2%)

           
  225     

Sprint Corp., Global Company Guaranteed Notes

   (B, Caa1)      09/15/23         7.875         185,063   
  650     

Sprint Corp., Global Company Guaranteed Notes

   (B, Caa1)      06/15/24         7.125         521,625   
  700     

Sprint Corp., Global Company Guaranteed Notes (Callable 11/15/24 @ 100.00)

   (B, Caa1)      02/15/25         7.625         557,375   
  700     

T-Mobile U.S.A., Inc., Global Company Guaranteed Notes (Callable 01/15/21 @ 103.25)

   (BB, Ba3)      01/15/26         6.500         741,125   
  1,575     

T-Mobile U.S.A., Inc., Global Company Guaranteed Notes (Callable 09/01/19 @ 103.19)

   (BB, Ba3)      03/01/25         6.375         1,651,781   
             

 

 

 
                3,656,969   
             

 

 

 

 

Telecom - Wireline Integrated & Services (0.4%)

           
  625     

Zayo Capital, Inc., Global Company Guaranteed Notes (Callable 04/01/18 @ 104.50)

   (B-, B3)      04/01/23         6.000         637,500   
             

 

 

 

 

Theaters & Entertainment (0.9%)

           
  775     

AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 02/15/17 @ 104.41)

   (B, B2)      02/15/22         5.875         782,750   
  650     

Carmike Cinemas, Inc., Rule 144A, Secured Notes (Callable 06/15/18 @ 104.50)(1)

   (BB, B1)      06/15/23         6.000         679,250   
             

 

 

 
                1,462,000   
             

 

 

 

 

Transport Infrastructure/Services (0.4%)

           
  1,600     

Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes
(Callable 01/15/17 @ 105.53)(1)

   (B-, Caa2)      01/15/22         7.375         720,000   
             

 

 

 

 

TOTAL CORPORATE BONDS (Cost $145,500,996)

              127,549,402   
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

9


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2016 (unaudited)

 

 

Par

(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 

 

BANK LOANS (15.0%)

           

 

Aerospace & Defense (0.7%)

           
$ 1,496     

Sequa Corp.(11)

   (CCC+, Caa1)      06/19/17         5.250       $ 1,181,938   
             

 

 

 

 

Auto Parts & Equipment (1.0%)

           
  1,200     

Jason, Inc.(5),(11)

   (CCC+, Caa1)      06/30/22         9.000         972,000   
  741     

U.S. Farathane LLC(11)

   (B, B2)      12/23/21         5.750         742,045   
             

 

 

 
                1,714,045   
             

 

 

 

 

Chemicals (2.4%)

           
  750     

Chromaflo Technologies Corp.(11)

   (CCC+, Caa2)      06/02/20         8.250         693,750   
  1,955     

Ravago Holdings America, Inc.(11)

   (BB+, B2)      12/20/20         7.000         1,959,897   
  1,500     

Solenis International LP(11)

   (B-, Caa1)      07/31/22         7.750         1,399,995   
             

 

 

 
                4,053,642   
             

 

 

 

 

Diversified Capital Goods (0.5%)

           
  930     

Dynacast International LLC(11)

   (B-, Caa1)      01/30/23         9.500         902,100   
             

 

 

 

 

Electronics (0.3%)

           
  598     

Excelitas Technologies Corp.(11)

   (B-, B3)      11/02/20         6.000         568,539   
             

 

 

 

 

Energy - Exploration & Production (0.4%)

           
  1,000     

W&T Offshore, Inc.(11)

   (CC, Caa2)      05/15/20         9.000         608,335   
             

 

 

 

 

Food - Wholesale (0.2%)

           
  500     

Del Monte Foods, Inc.(11)

   (CCC, Caa1)      08/18/21         8.250         360,000   
             

 

 

 

 

Gaming (1.0%)

           
  746     

CBAC Borrower LLC(11)

   (B-, Caa1)      07/02/20         8.250         705,206   
  992     

ROC Finance LLC(11)

   (B+, B2)      06/20/19         5.000         952,405   
             

 

 

 
                1,657,611   
             

 

 

 

 

Health Services (1.0%)

           
  579     

MMM Holdings, Inc.(11)

   (B-, B3)      12/12/17         9.750         442,966   
  421     

MSO of Puerto Rico, Inc.(11)

   (B-, B3)      12/12/17         9.750         322,034   
  1,000     

Phillips-Medisize Corp.(11)

   (CCC+, Caa2)      06/16/22         8.250         957,500   
             

 

 

 
                1,722,500   
             

 

 

 

 

Investments & Misc. Financial Services (0.8%)

           
  450     

Liquidnet Holdings, Inc.(11)

   (B, B2)      05/22/19         7.750         446,063   
  1,000     

Mergermarket U.S.A., Inc.(5),(11)

   (CCC+, Caa2)      02/04/22         7.500         880,000   
             

 

 

 
                1,326,063   
             

 

 

 

 

Machinery (0.7%)

           
  1,250     

CPM Holdings, Inc.(5),(11)

   (B, Caa1)      04/10/23         10.250         1,187,500   
             

 

 

 

 

Media Content (0.3%)

           
  500     

DLG Acquisitions Ltd.(7),(11)

   (B-, Caa2)      06/30/22         8.250         482,338   
             

 

 

 

 

Oil Field Equipment & Services (0.3%)

           
  1,000     

Shelf Drilling Holdings Ltd.(11)

   (CCC+, B3)      10/08/18         10.000         496,665   
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

10


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2016 (unaudited)

 

 

Par

(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 

 

BANK LOANS (continued)

           

 

Recreation & Travel (1.1%)

           
$ 975     

Abercrombie & Kent U.S. Group Holdings, Inc.(4),(5),(11)

   (NR, NR)      12/07/18         5.000       $ 940,875   
  1,000     

Legendary Pictures Funding LLC(5),(11)

   (NR, NR)      04/22/20         7.000         995,000   
             

 

 

 
                1,935,875   
             

 

 

 

 

Software - Services (1.7%)

           
  1,000     

Deltek, Inc.(11)

   (CCC+, Caa2)      06/25/23         9.500         1,013,125   
  1,000     

Eze Castle Software, Inc.(11)

   (CCC+, Caa1)      04/05/21         7.250         970,000   
  978     

Intralinks, Inc.(5),(11)

   (BB, B2)      02/24/19         7.250         968,922   
             

 

 

 
                2,952,047   
             

 

 

 

 

Specialty Retail (0.9%)

           
  1,493     

BJ’s Wholesale Club, Inc.(11)

   (CCC, Caa2)      03/26/20         8.500         1,444,337   
             

 

 

 

 

Steel Producers/Products (0.9%)

           
  1,500     

Atkore International, Inc.(11)

   (CCC+, Caa2)      10/09/21         7.750         1,492,500   
             

 

 

 

 

Telecom - Wireline Integrated & Services (0.5%)

           
  1,000     

Omnitracs, Inc.(11)

   (CCC+, Caa1)      05/25/21         8.750         865,000   
             

 

 

 

 

Theaters & Entertainment (0.3%)

           
  1,000     

CKX, Inc.(4),(5),(11)

   (NR, NR)      06/21/17         11.000         415,000   
             

 

 

 

 

TOTAL BANK LOANS (Cost $26,524,601)

              25,366,035   
             

 

 

 

 

ASSET BACKED SECURITIES (5.3%)

           

 

Collateralized Debt Obligations (5.3%)

           
  1,000     

Carlyle Global Market Strategies CLO Ltd., 2012-4A, Rule 144A(1),(5),(6)

   (NR, NR)      01/20/25         0.000         625,820   
  2,000     

CIFC Funding Ltd., 2012-2A, Rule 144A(1),(11)

   (BB-, NR)      12/05/24         6.430         1,750,352   
  1,250     

Eaton Vance CLO Ltd., 2014-1A, Rule 144A(1),(11)

   (NR, Ba3)      07/15/26         5.658         834,505   
  1,000     

Galaxy XIV CLO Ltd., 2012-14A, Rule 144A(1),(11)

   (BB, NR)      11/15/24         6.026         871,280   
  1,000     

ING Investment Management CLO Ltd., 2012-1RA, Rule 144A(1),(11)

   (B, NR)      03/14/22         6.836         863,419   
  1,000     

JFIN CLO Ltd., 2013-1A, Rule 144A(1),(11)

   (BB, NR)      01/20/25         5.384         694,305   
  1,500     

Ocean Trails CLO IV, 2013-4A, Rule 144A(1),(11)

   (B, NR)      08/13/25         6.527         936,582   
  1,000     

Shackleton I CLO Ltd., 2012-1A, Rule 144A(1),(11)

   (BB, NR)      08/14/23         6.828         845,466   
  700     

Stewart Park CLO Ltd., 2015-1A, Rule 144A(1),(5),(6)

   (NR, NR)      04/15/26         0.000         656,295   
  1,325     

Venture XVII CLO Ltd., 2014-17A, Rule 144A(1),(11)

   (NR, Ba2)      07/15/26         5.628         949,033   
             

 

 

 

 

TOTAL ASSET BACKED SECURITIES (Cost $11,250,503)

              9,027,057   
             

 

 

 

Number of
Shares

                               

 

COMMON STOCKS (0.0%)

           

 

Building & Construction (0.0%)

           
  6,154     

White Forest Resources, Inc.(4),(5),(12)

              62   
             

 

 

 

 

Building Materials (0.0%)

           
  372     

Dayton Superior Corp.(4),(5),(12)

                
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

11


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2016 (unaudited)

 

 

Number of
Shares

                            Value  

 

COMMON STOCKS (continued)

           

 

Gaming (0.0%)

           
  36,250     

Majestic Holdco LLC(5),(12)

            $ 8,609   
  1,500     

Progressive Gaming International Corp.(4),(5),(12)

                
             

 

 

 
              8,609   
             

 

 

 

 

TOTAL COMMON STOCKS (Cost $368,415)

              8,671   
             

 

 

 

 

PREFERRED STOCK (0.0%)

           

 

Building Materials (0.0%)

           
  413     

Dayton Superior Corp.(4),(5),(12) (Cost $156,000)

                
             

 

 

 

 

SHORT-TERM INVESTMENTS (13.6%)

           
  15,957,315     

State Street Navigator Prime Portfolio, 0.51%(13)

              15,957,315   

Par
(000)

             

Maturity

    

Rate%

        
$ 7,183     

State Street Bank and Trust Co. Euro Time Deposit

        07/01/16         0.010         7,183,143   
             

 

 

 

 

TOTAL SHORT-TERM INVESTMENTS (Cost $23,140,458)

              23,140,458   
             

 

 

 

 

TOTAL INVESTMENTS AT VALUE (109.0%) (Cost $206,940,973)

              185,091,623   

 

LIABILITIES IN EXCESS OF OTHER ASSETS (-9.0%)

              (15,338,859
             

 

 

 

 

NET ASSETS (100.0%)

            $ 169,752,764   
             

 

 

 

 

Credit ratings given by 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. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2016, these securities amounted to a value of $75,525,090 or 44.5% of net assets.

 

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

 

(3)  Bond is currently in default.

 

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

 

(5)  Illiquid security (unaudited).

 

(6)  Zero-coupon security.

 

(7)  This security is denominated in Euro.

 

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

 

(9)  This security is denominated in British Pound.

 

(10)  REG S: Securities sold under Regulation S may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

 

(11)  Variable rate obligations - The interest rate shown is the rate as of June 30, 2016.

 

(12)  Non-income producing security.

 

(13)  Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at June 30, 2016.

INVESTMENT ABBREVIATION

NR = Not Rated

 

See Accompanying Notes to Financial Statements.

 

12


Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (continued)

June 30, 2016 (unaudited)

 

 

Forward Foreign Currency Contracts

 

Forward Foreign
Currency to be
Purchased (Local)

    

Forward Foreign
Currency to be
Sold (Local)

     Expiration
Date
    

Counterparty

   Value on
Settlement Date
    Current
Value/Notional
    Net Unrealized
Appreciation
(Depreciation)
 

USD

     3,048,908       EUR      2,678,500         10/14/16       Morgan Stanley    $ (3,048,908   $ (2,986,796   $ 62,112   

USD

     1,138,021       GBP      807,250         10/14/16       Morgan Stanley      (1,138,021     (1,080,050     57,971   

USD

     9,994       GBP      7,500         10/14/16       Morgan Stanley      (9,994     (10,035     (41
                     

 

 

 
                      $ 120,042   
                     

 

 

 

Currency Abbreviations:

EUR = Euro

GBP = British Pound

USD = United States Dollar

 

See Accompanying Notes to Financial Statements.

 

13


Credit Suisse Asset Management Income Fund, Inc.

Statement of Assets and Liabilities

June 30, 2016 (unaudited)

 

 

Assets

  

Investments at value, including collateral for securities on loan of $15,957,315
(Cost $206,940,973) (Note 2)

   $         185,091,6231   

Cash

     100,576   

Dividend and interest receivable

     3,175,518   

Unrealized appreciation on forward currency contracts (Note 2)

     120,083   

Receivable for investments sold

     2,348   

Prepaid expenses and other assets

     1,568   
  

 

 

 

Total assets

     188,491,716   
  

 

 

 

Liabilities

  

Investment advisory fee payable (Note 3)

     187,686   

Administrative services fee payable (Note 3)

     8,484   

Payable upon return of securities loaned (Note 2)

     15,957,315   

Payable for investments purchased

     2,011,958   

Due to custodian for foreign currency at value (cost $468,845)

     469,154   

Directors’ fee payable

     54,554   

Unrealized depreciation on forward currency contracts (Note 2)

     41   

Accrued expenses

     49,760   
  

 

 

 

Total liabilities

     18,738,952   
  

 

 

 

Net Assets

  

Applicable to 52,275,901 shares outstanding

   $ 169,752,764   
  

 

 

 

Net Assets

  

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

     52,276   

Paid-in capital (Note 6)

     233,346,102   

Accumulated net investment loss

     (541,871

Accumulated net realized loss from investments and foreign currency transactions

     (41,371,468

Net unrealized depreciation from investments and foreign currency translations

     (21,732,275
  

 

 

 

Net assets

   $ 169,752,764   
  

 

 

 

Net Asset Value Per Share ($169,752,764 / 52,275,901)

     $3.25   
  

 

 

 

Market Price Per Share

     $2.93   
  

 

 

 

 

 

1  Including $15,701,883 of securities on loan.

 

See Accompanying Notes to Financial Statements.

 

14


Credit Suisse Asset Management Income Fund, Inc.

Statement of Operations

For the Six Months Ended June 30, 2016 (unaudited)

 

 

Investment Income

  

Interest

   $         6,966,091   

Securities lending (net of rebates)

     58,033   
  

 

 

 

Total investment income

     7,024,124   
  

 

 

 

Expenses

  

Investment advisory fees (Note 3)

     364,296   

Administrative services fees (Note 3)

     26,046   

Directors’ fees

     70,630   

Printing fees

     33,029   

Audit and tax fees

     25,923   

Transfer agent fees

     24,265   

Legal fees

     22,184   

Custodian fees

     11,475   

Stock exchange listing fees

     8,539   

Commitment fees (Note 4)

     6,651   

Insurance expense

     2,253   

Miscellaneous expense

     7,146   
  

 

 

 

Total expenses

     602,437   
  

 

 

 

Net investment income

     6,421,687   
  

 

 

 

Net Realized and Unrealized Gain (Loss) from Investments and Foreign Currency Related Items

  

Net realized loss from investments

     (6,297,282

Net realized gain from foreign currency transactions

     102,315   

Net change in unrealized appreciation (depreciation) from investments

     8,622,324   

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

     (43,470
  

 

 

 

Net realized and unrealized gain from investments and foreign currency related items

     2,383,887   
  

 

 

 

Net increase in net assets resulting from operations

   $ 8,805,574   
  

 

 

 

 

See Accompanying Notes to Financial Statements.

 

15


Credit Suisse Asset Management Income Fund, Inc.

Statement of Changes in Net Assets

 

 

     For the
Six Months Ended
June 30, 2016
  (unaudited)  
     For the
Year Ended
December 31,
  2015  
 

From Operations

     

Net investment income

   $ 6,421,687       $ 13,311,711   

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

     (6,194,967      1,160,434   

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

     8,578,854         (22,233,435
  

 

 

    

 

 

 

Net increase (decrease) in net assets resulting from operations

     8,805,574         (7,761,290
  

 

 

    

 

 

 

From Dividends

     

Dividends from net investment income

     (6,900,419      (13,796,877
  

 

 

    

 

 

 

Net decrease in net assets resulting from dividends

     (6,900,419      (13,796,877
  

 

 

    

 

 

 

From Capital Share Transactions (Note 6)

     

Issuance of 0 and 18,690 shares, respectively, through the directors compensation plan (Note 3)

             62,993   
  

 

 

    

 

 

 

Net increase in net assets from capital share transactions

             62,993   
  

 

 

    

 

 

 

Net increase (decrease) in net assets

     1,905,155         (21,495,174

Net Assets

     

Beginning of period

     167,847,609         189,342,783   
  

 

 

    

 

 

 

End of period

   $         169,752,764       $         167,847,609   
  

 

 

    

 

 

 

Accumulated net investment loss

   $ (541,871    $ (63,139
  

 

 

    

 

 

 

 

See Accompanying Notes to Financial Statements.

 

16


Credit Suisse Asset Management Income Fund, Inc.

Financial Highlights

 

 

    For the Six Months
Ended
6/30/16

(unaudited)
    For the Year Ended December 31,  
      2015     2014     2013     2012     2011  

Per share operating performance

           

Net asset value, beginning of period

  $ 3.21      $ 3.62      $ 3.84      $ 3.80      $ 3.60      $ 3.70   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INVESTMENT OPERATIONS

           

Net investment income

    0.12        0.25        0.25        0.28        0.32        0.30   

Net gain (loss) from investments, swap contracts and foreign currency related items (both realized and unrealized)

    0.05        (0.40     (0.19     0.05        0.20        (0.11
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from investment activities

    0.17        (0.15     0.06        0.33        0.52        0.19   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DIVIDENDS AND DISTRIBUTIONS

           

Dividends from net investment income

    (0.13 )3      (0.26     (0.27     (0.29     (0.32     (0.29

Return of capital

                  (0.01     (0.01              
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total dividends and distributions

    (0.13     (0.26     (0.28     (0.30     (0.32     (0.29
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

           

Increase to net asset value due to shares issued through at-the-market offerings

                         0.01                 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 3.25      $ 3.21      $ 3.62      $ 3.84      $ 3.80      $ 3.60   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Per share market value, end of period

  $ 2.93      $ 2.78      $ 3.29      $ 3.56      $ 4.03      $ 3.65   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENT RETURN1

           

Net asset value

    6.14     (3.35 )%      1.92     9.34     14.95     5.35

Market value

    10.49     (7.90 )%      (0.09 )%      (4.42 )%      20.24     11.02

RATIOS AND SUPPLEMENTAL DATA

           

Net assets, end of period (000s omitted)

  $ 169,753      $ 167,848      $ 189,343      $ 200,780      $ 190,673      $ 180,011   

Ratio of expenses to average net assets

    0.74 %2      0.66     0.71     0.76     0.75     0.73

Ratio of expenses to average net assets excluding interest expense4

    0.74 %2      0.66     0.71     0.76     0.75     0.73

Ratio of net investment income to average net assets

    7.86 %2      7.21     6.60     7.40     8.49     8.09

Portfolio turnover rate

    27     51     67     69     67     57

 

 

1  Total investment return at net asset value is based on the change in the net asset value of Fund shares and assumes reinvestment of dividends and distributions, if any, at actual prices pursuant to the Fund’s dividend reinvestment program. Total investment return at market value is based on the change in the market price at which the Fund’s shares traded on the stock exchange during the period and assumes reinvestment of dividends and distributions, if any, at actual prices pursuant to the Fund’s dividend reinvestment program. Because the Fund’s shares trade in the stock market based on investor demand, the Fund may trade at a price higher or lower than its NAV. Therefore, returns are calculated based on NAV and share price.
2  Annualized.
3  The sources of the Fund’s current year distributions may include net investment income, net gains from the sale of securities, a return of capital or a combination thereof. The sources or characteristics of distributions paid and reported during the year may be estimates and the actual tax characteristics of such distributions will be determined and reported to shareholders only after the close of the Fund’s fiscal year.
4  Presentation of 2011-2014 adjusted for consistency with current period presentation.

 

See Accompanying Notes to Financial Statements.

 

17


Credit Suisse Asset Management Income Fund, Inc.

Notes to Financial Statements

June 30, 2016 (unaudited)

 

 

Note 1. Organization

Credit Suisse Asset Management Income Fund, Inc. (the “Fund”) was incorporated on February 11, 1987 and is registered as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The investment objective of the Fund is to provide current income consistent with the preservation of capital.

Note 2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is considered an investment company for financial reporting purposes under GAAP and follows Accounting Standard Codification (“ASC”) Topic 946 — Financial Services — Investment Companies.

A) SECURITY VALUATION — 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 of Directors (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 broker/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, the Fund values these securities as determined in accordance with procedures approved and established by the Board.

 

18


Credit Suisse Asset Management Income Fund, Inc.

Notes to Financial Statements (continued)

June 30, 2016 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

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

GAAP established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at each measurement date. These inputs are summarized in the three broad levels listed below:

 

    Level 1—quoted prices in active markets for identical investments

 

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

 

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

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

The following is a summary of the inputs used as of June 30, 2016 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

   $       $ 126,360,769       $ 1,188,633       $ 127,549,402   

Bank Loans

             15,442,304         9,923,731         25,366,035   

Asset Backed Securities

             9,027,057                 9,027,057   

Common Stocks

             8,609         62 1       8,671 1 

Preferred Stocks

                     0 1       0 1 

Short-term Investments

             23,140,458                 23,140,458   
  

 

 

    

 

 

    

 

 

    

 

 

 
   $       $ 173,979,197       $ 11,112,426       $ 185,091,623   
  

 

 

    

 

 

    

 

 

    

 

 

 

Other Financial Instruments*

           

Forward Foreign Currency Contracts

   $       $ 120,083       $       $ 120,083   

Liabilities

   Level 1      Level 2      Level 3      Total  

Other Financial Instruments*

           

Forward Foreign Currency Contracts

   $       $ 41       $       $ 41   

 

  1  Includes a zero valued security.
  * Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts.

 

19


Credit Suisse Asset Management Income Fund, Inc.

Notes to Financial Statements (continued)

June 30, 2016 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

The following is a reconciliation of investments as of June 30, 2016 in which significant unobservable inputs were used in determining value. Transfers into or out of Level 3 represent the end of the period value of any security or instrument where a change in the level has occurred from the beginning to the end of the period.

 

     Corporate
Bonds
     Bank Loans      Common
Stocks
     Preferred
Stock
     Total  

Balance as of December 31, 2015

   $ 118,037       $ 11,031,469       $       $       $ 11,149,506   

Accrued discounts (premiums)

     (15,502      28,963                         13,461   

Purchases

     2,124,716         2,666,969         44,986                 4,836,671   

Sales

     (437      (2,550,714                      (2,551,151

Realized gain (loss)

     (349,563      (6,857                      (356,420

Change in unrealized appreciation (depreciation)

     (686,968      78,835         (44,924              (653,057

Transfers into Level 3

             1,295,000                         1,295,000   

Transfers out of Level 3

     (1,650      (2,619,934                      (2,621,584
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Balance as of June 30, 2016

   $ 1,188,633       $ 9,923,731       $ 62       $       $ 11,112,426   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net change in unrealized appreciation (depreciation) from investments still held as of June 30, 2016

   $ (1,036,968    $ 74,210       $ (44,924    $       $ (1,007,682

Quantitative Disclosure About Significant Unobservable Inputs

 

Asset Class

   Fair Value
at 06/30/2016
     Valuation
Techniques
     Unobservable
Input
     Range
(Weighted Average)
(per share)
 

Corporate Bonds

   $ 11,051         Income Approach         Expected Remaining Distribution         NA   
   $ 1,177,582         Market Approach         Discount for Illiquidity       $ 0.50 – $.90 ($0.62)   

Bank Loans

   $ 9,923,731         Vendor Pricing         Single Broker Quote       $ 0.42 – $1.00 ($0.88)   

Common Stocks

   $ 62         Market Approach         Discount for Illiquidity       $ 0.00 – $.01 ($0.01)   

Preferred Stock

   $ 0         Market Approach         Discount for Illiquidity         NA   

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 Asset Management LLC, the Fund’s investment adviser (“Credit Suisse” or the “Adviser”) 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. Significant unobservable inputs identified by the Adviser are often used in the fair value determination. A significant change in any of these inputs may result in a significant change in the fair value measurement. Due to the uncertainty inherent in the valuation process, such estimates of fair value may differ significantly from the values that would have been used had a ready market for the investments existed, and differences could be material. 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 six months ended June 30, 2016, there were no transfers between Level 1 and Level 2, but there was $1,295,000 transferred from Level 2 to Level 3 due to a lack of pricing source supported by observable inputs and

 

20


Credit Suisse Asset Management Income Fund, Inc.

Notes to Financial Statements (continued)

June 30, 2016 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

$2,621,584 transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs. All transfers, if any, are assumed to occur at the end of the reporting period.

B) DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES — The Fund adopted amendments to authoritative guidance on disclosures about derivative instruments and hedging activities which require that a fund disclose (a) how and why an entity uses derivative instruments, (b) how derivative instruments and hedging activities are accounted for and (c) how derivative instruments and related hedging activities affect a fund’s financial position, financial performance and cash flows. For the six months ended June 30, 2016, the Fund’s derivatives did not qualify for hedge accounting as they are held at fair value.

Fair Values of Derivative Instruments as of June 30, 2016

 

     Asset Derivatives               Liability Derivatives  
     Balance Sheet Location    Fair Value               Balance Sheet Location    Fair Value  

Currency Contracts

  

Unrealized appreciation on forward currency contracts

   $ 120,083           

Unrealized depreciation on forward currency contracts

   $ 41   
     

 

 

            

 

 

 

Effect of Derivative Instruments on the Statement of Operations

 

     Location    Realized
Gain (Loss)
              Location    Unrealized
Appreciation
(Depreciation)
 

Currency Contracts

  

Net realized gain from foreign currency transactions*

   $ 111,503           

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

   $ (43,204
     

 

 

            

 

 

 

 

  * Statement of Operations includes both forward currency contracts and foreign currency transactions/translations.

The value amount of forward foreign currency contracts at June 30, 2016 is reflected in the Schedule of Investments. For the six months ended June 30, 2016, the Fund held an average monthly value on a net basis of $3,811,828 in forward foreign currency contracts.

The Fund is a party to International Swap and Derivatives Association, Inc. (“ISDA”) Master Agreements (“Master Agreements”) with certain counterparties that govern over-the-counter derivative (including Total Return, Credit Default and Interest Rate Swaps) and foreign exchange contracts entered into by the Fund. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Termination events applicable to the Fund may occur upon a decline in the Fund’s net assets below a specified threshold over a certain period of time.

 

21


Credit Suisse Asset Management Income Fund, Inc.

Notes to Financial Statements (continued)

June 30, 2016 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

The following table presents by counterparty the Fund’s derivative assets, net of related collateral held by the Fund, at June 30, 2016:

 

Counterparty

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

Morgan Stanley

   $ 120,083       $ (41    $       $       $ 120,042   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

The following table presents by counterparty the Fund’s derivative liabilities, net of related collateral pledged by the Fund, at June 30, 2016:

Counterparty

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

Morgan Stanley

   $ 41       $ (41    $       $       $   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Forward foreign currency exchange contracts are included.

C) FOREIGN CURRENCY TRANSACTIONS — The books and records of the Fund are maintained in U.S. dollars. Transactions denominated in foreign currencies are recorded at the current prevailing exchange rates. All assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the current exchange rate at the end of the period. Translation gains or losses resulting from changes in the exchange rate during the reporting period and realized gains and losses on the settlement of foreign currency transactions are reported in the results of operations for the current period. The Fund isolates that portion of realized gains and losses on investments which is due to changes in the foreign exchange rate from that which is due to changes in market prices.

D) SECURITY TRANSACTIONS AND INVESTMENT INCOME/EXPENSE — Security transactions are accounted for on a trade date basis. Interest income/expense is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Dividend income/expense is recorded on the ex-dividend date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes.

E) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — The Fund declares and pays dividends on a monthly basis and records them on ex-date. Distributions of net realized capital gains, if any, are declared and paid at least annually. However, to the extent that a net realized capital gain can be reduced by a capital loss carryforward, such gain will not be distributed. Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.

The Fund’s dividend policy is to distribute substantially all of its net investment income to its shareholders on a monthly basis. However, in order to provide shareholders with a more consistent yield to the current trading price of shares of common stock of the Fund, the Fund may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the dividends paid by the Fund for any particular month may be more or less than the amount of net investment income earned by the Fund during such month.

 

22


Credit Suisse Asset Management Income Fund, Inc.

Notes to Financial Statements (continued)

June 30, 2016 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

F) FEDERAL INCOME TAXES — No provision is made for federal taxes as it is the Fund’s intention to continue to qualify as a regulated investment company (“RIC”) under the Internal Revenue Code of 1986, as amended (the “Code”), and to make the requisite distributions to its shareholders, which will be sufficient to relieve it from federal income and excise taxes.

In order to qualify as a RIC under the Code, the Fund must meet certain requirements regarding the source of its income, the diversification of its assets and the distribution of its income. One of these requirements is that the Fund derive at least 90% of its gross income for each taxable year from dividends, interest, payments with respect to certain securities loans, gains from the sale or other disposition of stock, securities or foreign currencies, other income derived with respect to its business of investing in such stock, securities or currencies or net income derived from interests in certain publicly-traded partnerships (“Qualifying Income”).

The Fund adopted the authoritative guidance for uncertainty in income taxes and recognizes a tax benefit or liability from an uncertain position only if it is more likely than not that the position is sustainable based solely on its technical merits and consideration of the relevant taxing authority’s widely understood administrative practices and procedures. The Fund has reviewed its current tax positions and has determined that no provision for income tax is required in the Fund’s financial statements. The Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

G) SHORT-TERM INVESTMENTS — The Fund, together with other funds/portfolios advised by Credit Suisse, pools available cash into a short-term variable rate time deposit issued by State Street Bank and Trust Company (“SSB”), the Fund’s custodian. The short-term time deposit issued by SSB is a variable rate account classified as a short-term investment.

H) FORWARD FOREIGN CURRENCY CONTRACTS — A forward foreign currency exchange contract (“forward currency contract”) is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. The Fund will enter into forward foreign currency contracts primarily for hedging foreign currency risk. Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and unrealized gain (loss) is recorded daily. On the settlement date of the forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was closed. Certain risks may arise upon entering into forward currency contracts from the potential inability of counterparties to meet the terms of their contracts. The maximum counterparty credit risk to the Fund is measured by the unrealized gain on appreciated contracts. Additionally, when utilizing forward currency contracts to hedge, the Fund gives up the opportunity to profit from favorable exchange rate movements during the term of the contract. The Fund’s open forward foreign currency contracts at June 30, 2016 are disclosed in the Schedule of Investments.

I) SECURITIES LENDING — The initial collateral received by the Fund is required to have a value of at least 102% of the market value of domestic securities on loan (including any accrued interest thereon) and 105% of the market value of foreign securities on loan (including any accrued interest thereon). The collateral is maintained thereafter at a value equal to at least 102% of the current market value of the securities on loan. The market value of loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day. Cash collateral received by the Fund in connection with securities lending activity may be pooled together with cash collateral for other funds/portfolios advised by Credit Suisse and may be invested in a variety of investments,

 

23


Credit Suisse Asset Management Income Fund, Inc.

Notes to Financial Statements (continued)

June 30, 2016 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

including funds advised by SSB, the Fund’s securities lending agent or money market instruments. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.

SSB has been engaged by the Fund to act as the Fund’s securities lending agent. As of June 30, 2016, the Fund had investment securities on loan with a fair value of $15,701,883 and a related liability of $15,957,315 for collateral received on securities loaned, both of which are presented gross in the Statement of Assets and Liabilities. The collateral for securities loaned is valued consistently to the other investments held by the Fund and is included in Level 2 of the fair value hierarchy. As of June 30, 2016, the value of the related collateral exceeded the value of the securities loaned.

The Fund’s securities lending arrangement provides that the Fund and SSB will share the net income earned from securities lending activities. Securities lending income is accrued as earned. During the six months ended June 30, 2016, total earnings from the Fund’s investment in cash collateral received in connection with securities lending arrangements was $74,939, of which $5,430 was rebated to borrowers (brokers). The Fund retained $58,033 in income from the cash collateral investment, and SSB, as lending agent, was paid $11,476.

J) OTHER — Lower-rated debt securities (commonly known as “junk bonds”) possess speculative characteristics and are subject to greater market fluctuations and risk of lost income and principal than higher-rated debt securities for a variety of reasons. Also, during an economic downturn or substantial period of rising interest rates, highly leveraged issuers may experience financial stress which would adversely affect their ability to service their principal and interest payment obligations, to meet projected business goals and to obtain additional financing.

In the normal course of business the Fund trades financial instruments and enters into financial transactions in which risk of potential loss exists due to changes in the market (market risk) or failure of the other party to a transaction to perform (credit risk). Similar to credit risk, the Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. The potential loss could exceed the value of the financial assets recorded in the financial statements. Financial assets, which potentially expose the Fund to credit risk, consist principally of cash due from counterparties and investments. The extent of the Fund’s exposure to credit and counterparty risks in respect to these financial assets approximates their carrying value as recorded in the Fund’s Statement of Assets and Liabilities.

In addition, periods of economic uncertainty and changes can be expected to result in increased volatility of market prices of lower-rated debt securities and the Fund’s net asset value.

K) NEW ACCOUNTING PRONOUNCEMENTS — On April 7, 2015, Financial Accounting Standards Board (“FASB”) issued a new Accounting Standards Update (“ASU”) No. 2015-03, “Simplifying the Presentation of Debt Issuance Costs”. The ASU requires debt issuance costs to be presented on the balance sheet as a direct deduction from the debt liability. The ASU is effective for interim and annual reporting periods beginning after December 15, 2015. Management has reviewed the requirements and believes the adoption of this ASU will not have a material impact on the financial statements.

In May 2015, the FASB issued ASU No. 2015-07, “Disclosures for Investments in Certain Entities that Calculate Net Asset Value per Share (or its Equivalent)”. The guidance removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the Net Asset Value per share practical

 

24


Credit Suisse Asset Management Income Fund, Inc.

Notes to Financial Statements (continued)

June 30, 2016 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

expedient. Sufficient information must be provided to permit reconciliation of the fair value of assets categorized within the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. The guidance is required to be presented for annual periods beginning after December 15, 2015, and for interim periods within those fiscal years. Management has reviewed the requirements and believes the adoption of this ASU will not have a material impact on its financial statements.

L) SUBSEQUENT EVENTS — In preparing the financial statements as of June 30, 2016, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements through the date of release of this report. No such events requiring recognition or disclosure were identified through the date of the release of this report.

Note 3. Transactions with Affiliates and Related Parties

Credit Suisse serves as investment adviser for the Fund. For its investment advisory services, Credit Suisse is entitled to receive a fee from the Fund at a rate per annum, computed weekly and paid quarterly as follows: 0.50% of the lower of the weekly stock price (market value) of the Fund’s outstanding shares or its average weekly net assets. For the six months ended June 30, 2016, investment advisory fees earned were $364,296.

SSB serves as Accounting and Administrative Agent for the Fund. For its administrative services, SSB receives a fee, exclusive of out-of-pocket expenses, calculated in total for all the Credit Suisse funds/portfolios co-administered by SSB and allocated based upon the relative average net assets of each fund/portfolio, subject to an annual minimum fee. For the six months ended June 30, 2016, administrative services fees earned by SSB (including out-of-pocket expenses) with respect to the Fund were $26,046.

The Independent Directors receive fifty percent (50%) of their annual retainer in the form of shares. During the six months ended June 30, 2016 and the year ended December 31, 2015, 0 shares and 18,690 shares, respectively, were issued through the Directors’ compensation plan. Directors as a group own less than 1% of the Fund’s outstanding shares as of June 30, 2016.

Note 4. Line of Credit

The Fund, together with other funds/portfolios advised by Credit Suisse (collectively, the “Participating Funds”), participates in a committed, unsecured line of credit facility (“Credit Facility”) with SSB, in an aggregated amount of $250 million for temporary or emergency purposes under a first-come, first-served basis. Under the terms of the Credit Facility, the Participating Funds pay an aggregate commitment fee on the average unused amount of the Credit Facility, which is allocated among the Participating Funds in such manner as is determined by the governing Boards of the Participating Funds. In addition, the Participating Funds pay interest on borrowings at either the Overnight Federal Funds rate or the Overnight LIBOR rate plus a spread. At June 30, 2016, the Fund had no loan outstanding under the Credit Facility.

Note 5. Purchases and Sales of Securities

For the six months ended June 30, 2016, purchases and sales of investment securities (excluding short-term investments) were $50,907,615 and $41,707,956, respectively.

 

25


Credit Suisse Asset Management Income Fund, Inc.

Notes to Financial Statements (continued)

June 30, 2016 (unaudited)

 

 

Note 6. Fund Shares

The Fund offers a Dividend Reinvestment Plan (the “Plan”) to its common stockholders. By participating in the Plan, dividends and distributions will be promptly paid to stockholders in additional shares of common stock of the Fund. The number of shares to be issued will be determined by dividing the total amount of the distribution payable by the greater of (i) the net asset value per share (“NAV”) of the Fund’s common stock on the payment date, or (ii) 95% of the market price per share of the Fund’s common stock on the payment date. If the NAV of the Fund’s common stock is greater than the market price (plus estimated brokerage commissions) on the payment date, then Computershare (or a broker-dealer selected by Computershare) shall endeavor to apply the amount of such distribution to purchase shares of Fund common stock in the open market.

The Fund has one class of shares of common stock, par value $.001 per share; one hundred million shares are authorized. Transactions in shares of common stock were as follows:

 

     For the Six-Month Period Ended
June 30, 2016 (unaudited)
     For the Year Ended
December 31, 2015
 

Shares issued through the Directors compensation plan

     0         18,690   
  

 

 

    

 

 

 

Net increase

     0         18,690   
  

 

 

    

 

 

 

Note 7. Contingencies

In the normal course of business, the Fund may provide general indemnifications pursuant to certain contracts and organizational documents. The Fund’s maximum exposure under these arrangements is dependent on future claims that may be made against the Fund and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote.

 

26


Credit Suisse Asset Management Income Fund, Inc.

Results of Annual Meeting of Shareholders (unaudited)

 

 

On April 19, 2016, the Annual Meeting of Shareholders of the Fund was held. Robert Wilson, in his capacity as Inspector, reported that, with respect to the proposal relating to the election of two Directors, the following number of shares were voted:

 

NOMINEE   

“FOR” NOMINEE

  

WITHHELD

Enrique R. Arzac

   33,734,952    11,363,004

Terry Fires Bovarnick

   33,957,621    11,140,335

In addition to the Directors elected at the meeting, Lawrence J. Fox, John G. Popp, James J. Cattano and Steven N. Rappaport continue to serve as Directors of the Fund.

 

27


Credit Suisse Asset Management Income Fund, Inc.

Notice of Privacy and Information Practices (unaudited)

 

 

At Credit Suisse, we know that you are concerned with how we protect and handle nonpublic personal information that identifies you. This notice is designed to help you understand what nonpublic personal information we collect from you and from other sources, and how we use that information in connection with your investments and investment choices that may be available to you. Except where otherwise noted, this notice is applicable only to consumers who are current or former investors, meaning individual persons whose investments are primarily for household, family or personal use (“individual investors”). Specified sections of this notice, however, also apply to other types of investors (called “institutional investors”). Where the notice applies to institutional investors, the notice expressly states so. This notice is being provided by Credit Suisse Funds and Credit Suisse Closed-End Funds. This notice applies solely to U.S. registered investment companies advised by Credit Suisse Asset Management, LLC.

Categories of information we may collect:

We may collect information about you, including nonpublic personal information, such as

 

    Information we receive from you on applications, forms, agreements, questionnaires, Credit Suisse websites and other websites that are part of our investment program, or in the course of establishing or maintaining a customer relationship, such as your name, address, e-mail address, Social Security number, assets, income, financial situation; and

 

    Information we obtain from your transactions and experiences with us, our affiliates, or others, such as your account balances or other investment information, assets purchased and sold, and other parties to a transaction, where applicable.

Categories of information we disclose and parties to whom we disclose it:

 

    We do not disclose nonpublic personal information about our individual investors, except as permitted or required by law or regulation. Whether you are an individual investor or institutional investor, we may share the information described above with our affiliates that perform services on our behalf, and with our asset management and private banking affiliates; as well as with unaffiliated third parties that perform services on our behalf, such as our accountants, auditors, attorneys, broker-dealers, fund administrators, and other service providers.

 

    We want our investors to be informed about additional products or services. We do not disclose nonpublic personal information relating to individual investors to our affiliates for marketing purposes, nor do we use such information received from our affiliates to solicit individual investors for such purposes. Whether you are an individual investor or an institutional investor, we may disclose information, including nonpublic personal information, regarding our transactions and experiences with you to our affiliates.

 

    In addition, whether you are an individual investor or an institutional investor, we reserve the right to disclose information, including nonpublic personal information, about you to any person or entity, including without limitation any governmental agency, regulatory authority or self-regulatory organization having jurisdiction over us or our affiliates, if (i) we determine in our discretion that such disclosure is necessary or advisable pursuant to or in connection with any United States federal, state or local, or non-U.S., court order (or other legal process), law, rule, regulation, or executive order or policy, including without limitation any anti-money laundering law or the USA PATRIOT Act of 2001; and (ii) such disclosure is not otherwise prohibited by law, rule, regulation, or executive order or policy.

 

28


Credit Suisse Asset Management Income Fund, Inc.

Notice of Privacy and Information Practices (unaudited) (continued)

 

 

Confidentiality and security

 

    To protect nonpublic personal information about individual investors, we restrict access to those employees and agents who need to know that information to provide products or services to us and to our investors. We maintain physical, electronic, and procedural safeguards to protect nonpublic personal information.

Other Disclosures

This notice is not intended to be incorporated in any offering materials, but is a statement of our current Notice of Privacy and Information Practices and may be amended from time to time. This notice is current as of May 24, 2016.

 

29


Credit Suisse Asset Management Income Fund, Inc.

Proxy Voting and Portfolio Holdings Information (unaudited)

 

 

Information regarding how the Fund voted proxies related to its portfolio securities during the 12-month period ended June 30 of each year, as well as the policies and procedures that the Fund uses to determine how to vote proxies relating to its portfolio securities are available:

 

    By calling 1-800-293-1232

 

    On the Fund’s website, www.credit-suisse.com/us/funds

 

    On the website of the Securities and Exchange Commission, www.sec.gov.

The Fund files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-202-551-8090.

Funds Managed by Credit Suisse Asset Management, LLC

 

CLOSED-END FUNDS

Fixed Income

Credit Suisse Asset Management Income Fund, Inc. (NYSE MKT: CIK)

Credit Suisse High Yield Bond Fund (NYSE MKT: DHY)

Literature Request — Call today for free descriptive information on the closed-ended funds listed above at 1-800-293-1232 or visit our website at www.credit-suisse.com/us/funds.

 

 

OPEN-END FUNDS

 

Credit Suisse Commodity Return Strategy Fund    Credit Suisse Strategic Income Fund
Credit Suisse Floating Rate High Income Fund    Credit Suisse Commodity ACCESS Strategy Fund
Credit Suisse Multialternative Strategy Fund    Credit Suisse Managed Futures Strategy Fund
Credit Suisse Emerging Markets Equity Fund   
Credit Suisse Global Sustainable Dividend Equity Fund   

Fund shares are not deposits or other obligation of Credit Suisse Asset Management, LLC or any affiliate, are not FDIC-insured and are not guaranteed by Credit Suisse Asset Management, LLC or any affiliate. Fund investments are subject to investment risks, including loss of your investment. There are special risk considerations associated with international, global, emerging-markets, small-company, private equity, high-yield debt, single-industry, single-country and other special, aggressive or concentrated investment strategies. Past performance cannot guarantee future results.

More complete information about a fund, including charges and expenses, is provided in the Prospectus, which should be read carefully before investing. You may obtain copies by calling Credit Suisse Funds at 1-877-870-2874. Performance information current to the most recent month-end is available at www.credit-suisse.com/us/funds.

Credit Suisse Securities (USA) LLC, Distributor.

 

30


Credit Suisse Asset Management Income Fund, Inc.

Dividend Reinvestment and Cash Purchase Plan (unaudited)

 

 

Credit Suisse Asset Management Income Fund, Inc. (the “Fund”) offers a Dividend Reinvestment and Cash Purchase Plan (the “Plan”) to its common stockholders. The Plan offers common stockholders a prompt and simple way to reinvest net investment income dividends and capital gains and other periodic distributions in shares of the Fund’s common stock. Computershare Trust Company, N.A. (“Computershare”) acts as Plan Agent for stockholders in administering the Plan.

If your shares of common stock of the Fund are registered in your own name, you will automatically participate in the Plan, unless you have indicated that you do not wish to participate and instead wish to receive dividends and capital gains distributions in cash. If you are a beneficial owner of the Fund having your shares registered in the name of a bank, broker or other nominee, you must first make arrangements with the organization in whose name your shares are registered to have the shares transferred into your own name. Registered shareholders can join the Plan via the Internet by going to www.computershare.com, authenticating your online account, agreeing to the Terms and Conditions of online “Account Access” and completing an online Plan Enrollment Form. Alternatively, you can complete the Plan Enrollment Form and return it to Computershare at the address below.

By participating in the Plan, your dividends and distributions will be promptly paid to you in additional shares of common stock of the Fund. The number of shares to be issued to you will be determined by dividing the total amount of the distribution payable to you by the greater of (i) the net asset value per share (“NAV”) of the Fund’s common stock on the payment date, or (ii) 95% of the market price per share of the Fund’s common stock on the payment date. If the NAV of the Fund’s common stock is greater than the market price (plus estimated brokerage commissions) on the payment date, then Computershare (or a broker-dealer selected by Computershare) shall endeavor to apply the amount of such distribution on your shares to purchase shares of Fund common stock in the open market.

You should be aware that all net investment income dividends and capital gain distributions are taxable to you as ordinary income and capital gain, respectively, whether received in cash or reinvested in additional shares of the Fund’s common stock.

The Plan also permits participants to purchase shares of the Fund through Computershare. You may invest $100 or more monthly, with a maximum of $100,000 in any annual period. Computershare will purchase shares for you on the open market on the 25th of each month or the next trading day if the 25th is not a trading day.

There is no service fee payable by Plan participants for dividend reinvestment. For voluntary cash payments, Plan participants must pay a service fee of $5.00 per transaction. Plan participants will also be charged a pro rata share of the brokerage commissions for all open market purchases ($0.03 per share as of October 2006). Participants will also be charged a service fee of $5.00 for each sale and brokerage commissions of $0.03 per share (as of October 2006).

You may terminate your participation in the Plan at any time by notifying Computershare or requesting a sale of your shares held in the Plan. Your withdrawal will be effective immediately if your notice is received by Computershare prior to any dividend or distribution record date; otherwise, such termination will be effective only with respect to any subsequent dividend or distribution. Your dividend participation option will remain the same unless you withdraw all of your whole and fractional Plan shares, in which case your participation in the Plan will be terminated and you will receive subsequent dividends and capital gains distributions in cash instead of shares.

 

 

31


Credit Suisse Asset Management Income Fund, Inc.

Dividend Reinvestment and Cash Purchase Plan (unaudited) (continued)

 

 

If you want further information about the Plan, including a brochure describing the Plan in greater detail, please contact Computershare as follows:

 

  By Internet: www.computershare.com

 

  By phone: (800) 730-6001 (U.S. and Canada)
    (781) 575-3100 (Outside U.S. and Canada)

Customer service associates are available from 9:00 a.m. to 5:00 p.m. Eastern time, Monday through Friday

 

  By mail: Credit Suisse Asset Management Income Fund, Inc.
    c/o Computershare
    P.O. Box 30170
    College Station, TX 77842-3170

Overnight correspondence should be sent to:

    Computershare
    211 Quality Circle, Suite 210
    College Station, TX 77845

All notices, correspondence, questions or other communications sent by mail should be sent by registered or certified mail, return receipt requested.

The Plan may be terminated by the Fund or Computershare upon notice in writing mailed to each participant at least 30 days prior to any record date for the payment of any dividend or distribution.

 

32


 

 

 

 

This report, including the financial statements herein, is sent to the shareholders of the Fund for their information. It is not a prospectus, circular or representation intended for use in the purchase or sale of shares of the Fund or of any securities mentioned in this report.

 

 

CIK-SAR-0616


Item 2. Code of Ethics.

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

Item 3. Audit Committee Financial Expert.

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

Item 4. Principal Accountant Fees and Services.

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

Item 5. Audit Committee of Listed Registrants.

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

Item 6. Schedule of Investments.

Included as part of the report to shareholders filed under Item 1 of this Form.

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

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

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

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

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

None.

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

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors since the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(g) of Schedule 14A in its definitive proxy statement dated March 8, 2016.

Item 11. Controls and Procedures.

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

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


Item 12. Exhibits.

(a)(1)   Not applicable.

(a)(2)   The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report.

(a)(3)   Not applicable.

(b)       The certifications of the registrant as required by Rule 30a-2(b) under the Act are an exhibit to this report.


SIGNATURES

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

CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.

/s/John G. Popp

  Name:

John G. Popp

  Title:

Chief Executive Officer and President

  Date:

September 1, 2016

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

/s/John G. Popp

  Name:

John G. Popp

  Title:

Chief Executive Officer and President

  Date:

September 1, 2016

/s/Kenneth J. Lohsen

  Name:

Kenneth J. Lohsen

  Title:

Chief Financial Officer

  Date:

September 1, 2016