0000810766falseN-CSRS100000000 0000810766 2022-06-30 2022-06-30 xbrli:shares
Credit Suisse Asset Management
Income Fund, Inc.
Eleven Madison Avenue
New York, NY 10010
Directors
Steven N. Rappaport
Laura A. DeFelice
Jeffrey E. Garten
Mahendra R. Gupta
John G. Popp
Officers
John G. Popp
Chief Executive Officer and President
Thomas J. Flannery
Rachael Hoffman
Lou Anne McInnis
Omar Tariq
Chief Financial Officer and Treasurer
Karen Regan
Senior Vice President and Secretary
Investment Adviser
Credit Suisse Asset Management, LLC
Eleven Madison Avenue
New York, NY 10010
Administrator and Custodian
State Street Bank and Trust Co.
One Lincoln Street
Boston, MA 02111
Shareholder Servicing Agent
Computershare Trust Company, N.A.
P.O. Box 30170
College Station, TX 77842-3170
Legal Counsel
Willkie Farr & Gallagher LLP
787 7th Avenue
New York, NY 10019
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
300 Madison Avenue
New York, NY 10017
Credit Suisse Asset Management
SEMIANNUAL REPORT
June 30, 2022
(unaudited)
Credit Suisse Asset Management Income Fund, Inc.
Semiannual Investment Adviser’s Report
June 30, 2022 (unaudited)
June 30, 2022
Dear Shareholder:
We are pleased to present this Semiannual Report covering the activities of the Credit Suisse Asset Management Income Fund, Inc. (the “Fund”) for the
six-month
period ended June 30, 2022.
Performance Summary
1/1/22 – 6/30/22
|
|
|
|
|
Fund & Benchmark |
|
Performance |
|
Total Return (based on NAV) 1 |
|
|
-14.86 |
% |
Total Return (based on market value) 1 |
|
|
-16.69 |
% |
ICE BofA US High Yield Constrained Index 2 |
|
|
-14.03 |
% |
Market Review: Inflation and Uncertainty
The semiannual period ended June 30, 2022 (the “period”), was negative for the high yield asset class. After three consecutive years of positive returns, the high yield market delivered negative returns in five of the first six months of 2022. This is due to inflationary forces that led to a tightening of monetary policy on a global basis, and the continued economic uncertainty from
COVID-19,
as well as the prolonged Russia-Ukraine conflict, weighed on markets. The ICE BofA US High Yield Constrained Index (the “Index”) lost 14.03% for the period. Longer term U.S. treasury yields widened significantly ahead of the U.S. Federal Reserve’s interest rate hike in March (followed by additional hikes in May and June), and government yields continued to increase as inflationary pressure and geopolitical tensions gripped the global economy. The
10-year
U.S. treasury rate widened by 150 basis points over the period, contributing to outflows from the high yield asset class. Overall, average yields on the Index increased significantly and ended the period at 8.90%—461 basis points wider than yields as of December 31, 2021. Spreads also widened, ending the period at +592 basis points compared to +329 basis points at the end of 2021.
For the period,
BB-rated
and
B-rated
bonds outperformed the Index, returning
-13.51%
and
-13.79%,
respectively. Conversely,
CCC-rated
bonds underperformed the Index, losing
-17.09%
during the period, due to a decline in risk taking by market participants.
From an industry perspective, oil refining & marketing, discount stores, and oil field equipment & services were the best performing sectors, delivering
-2.54%,
-3.94%
and
-6.44%,
respectively during the period. In contrast, the worst performing sectors included pharmaceuticals, automakers, and specialty retail, which respectively delivered
-23.35%,
-20.86%
and
-20.62%.
Default activity remains below long-term averages but has increased slightly in 2022. According to JPMorgan, the default rate, including distressed exchanges, ended the period at 1.08%, an increase of 73 basis points over the
year-end
2021. Despite market volatility and negative investor sentiment, we do not expect to see a catalyst for a material increase in defaults in the near-term.
Mutual fund flows were consistently negative during the semiannual period. Outflows totaled $44.1 billion during the period, compared to outflows of $13.9 billion in the first half of 2021 and $13.2 billion for calendar year 2021.
New high yield issuance of $71.0 billion for the period is down approximately 76% year-over-year. Additionally, issuance excluding refinancing activity, or “net” new issuance, of $36.7 billion is down 64% versus the first half of 2021. Conditions in the capital markets have deteriorated due to a tightening of financial conditions and
re-pricing
of risk premia.
1
Credit Suisse Asset Management Income Fund, Inc.
Semiannual Investment Adviser’s Report (continued)
June 30, 2022 (unaudited)
Strategic review and outlook: Cautiously optimistic
For the semiannual period ended June 30, 2022, the Fund slightly underperformed the Index based on NAV Portfolio performance benefitted from an allocation to the bank loan asset class, as returns have been more tempered versus the longer duration fixed income asset class. Additionally, the portfolio also benefitted from its positive selection in the chemicals, recreation & travel, and software/service sectors. Conversely, building materials, an underweight to the BB space, and leverage in the portfolio detracted from relative returns.
We have been impressed with the pricing power of companies in the leverage finance space and their ability to maintain earnings levels in the face of unprecedented inflation. However, we are concerned about the potential for demand erosion, particularly in the consumer and housing sectors. Given the uncertain earnings outlook, we expect to see more volatility in all risk asset classes that may lead to opportunities.
|
|
|
 |
|
 |
| Thomas J. Flannery Chief Investment Officer* |
|
John G. Popp
Chief Executive Officer and President** |
High yield bonds are lower-quality bonds that are also known as “junk bonds.” Such bonds entail greater risks than those found in higher-rated securities.
In addition to historical information, this report contains forward-looking statements, which may concern, among other things, domestic and foreign markets, industry and economic trends and developments, and government regulation, and their potential impact on the Fund’s investments. These statements are subject to risks and uncertainties and actual trends, developments and regulations in the future, and their impact on the Fund could be materially different from those projected, anticipated or implied. The Fund has no obligation to update or revise forward-looking statements.
The views of the Fund’s management are as of the date of this letter and the Fund holdings described in this document are as of June 30, 2022; 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 distributions. |
2 |
The Index is an unmanaged index that tracks the performance of below investment-grade U.S. dollar-denominated corporate bonds issued in the U.S. domestic market, where each issuer’s allocation is limited to 2% of the Index. The Index does not have transaction costs and investors cannot invest directly in the Index. |
| * |
Thomas J. Flannery, Managing Director, is the Head of the Credit Suisse U.S. High Yield Management Team. Mr. Flannery joined Credit Suisse Asset Management, LLC (“Credit Suisse”) in June 2010. He is a portfolio manager for the Credit Investments Group (“CIG”) with responsibility for trading, directing investment decisions, originating and analyzing investment opportunities. Mr. Flannery is also a member of the CIG Credit Committee and is currently a high yield bond portfolio manager and trader for CIG. Mr. Flannery joined Credit Suisse AG in 2000 from First Dominion Capital, LLC where he was an Associate. Mr. Flannery holds a B.S. in Finance from Georgetown University. |
| ** |
John G. Popp is a Managing Director of Credit Suisse and Group Head and Chief Investment Officer of CIG, with primary responsibility for making investment decisions and monitoring processes for CIG’s global investment strategies. Mr. Popp also serves as Trustee, Chief Executive Officer and President of the Credit Suisse Funds, as well as serving as Director, Chief Executive Officer and President for the Credit Suisse Asset Management Income Fund, Inc. and Trustee, Chief Executive Officer and President of the Credit Suisse High Yield Bond Fund. Mr. Popp has been associated with Credit Suisse since 1997. |
2
Credit Suisse Asset Management Income Fund, Inc.
Semiannual Investment Adviser’s Report (continued)
June 30, 2022 (unaudited)
Average Annual Returns
June 30, 2022 (unaudited)
|
|
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|
|
|
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|
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|
|
|
|
|
|
|
|
| |
|
1 Year |
|
|
3 Years |
|
|
5 Years |
|
|
10 Years |
|
| Net Asset Value (NAV) |
|
|
(13.50)% |
|
|
|
1.56% |
|
|
|
3.68% |
|
|
|
5.82% |
|
| Market Value |
|
|
(15.60)% |
|
|
|
4.48% |
|
|
|
4.48% |
|
|
|
4.95% |
|
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 and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. 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, capital gains, and return of capital 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 NYSE American stock exchange during the period and assumes reinvestment of dividends, capital gains, and return of capital 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
The annualized gross and net expense ratios are 1.34%.
Credit Quality Breakdown*
(% of Total Investments as of June 30, 2022)
S&P Ratings**
|
|
|
|
|
| BBB |
|
|
0.9 |
% |
| BB |
|
|
25.4 |
|
| B |
|
|
39.4 |
|
| CCC |
|
|
24.7 |
|
| CC |
|
|
0.5 |
|
| NR |
|
|
6.4 |
|
|
|
|
|
|
| Subtotal |
|
|
97.3 |
|
| Equity and Other |
|
|
2.7 |
|
|
|
|
|
|
| Total |
|
|
100.0 |
% |
|
|
|
|
|
| * |
Expressed as a percentage of total investments (excluding securities lending collateral, if applicable) and may vary over time. |
| ** |
Credit Quality is based on ratings provided by the S&P Global Ratings Division of S&P Global Inc. (“S&P”). S&P is a main provider of ratings for credit assets classes and is widely used amongst industry participants. The NR category consists of securities that have not been rated by S&P. |
3
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments
June 30, 2022 (unaudited)
|
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|
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|
|
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|
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|
|
|
| Par
(000) |
|
|
|
|
Ratings†
(S&P/Moody’s) |
|
Maturity |
|
|
Rate% |
|
|
Value |
|
|
|
|
|
|
|
Aerospace & Defense (0.7%) |
|
|
|
|
|
|
|
$ |
250 |
|
|
KBR, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/30/23 @ 102.38) (1) |
|
|
|
|
09/30/28 |
|
|
|
4.750 |
|
|
$ |
221,076 |
|
|
|
|
|
|
|
|
800 |
|
|
TransDigm, Inc., Global Company Guaranteed Notes (Callable 08/01/22 @ 103.75) |
|
|
|
|
03/15/27 |
|
|
|
7.500 |
|
|
|
755,712 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
976,788 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Auto Parts & Equipment (1.6%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,205 |
|
|
Clarios U.S. Finance Co., Rule 144A, Company Guaranteed Notes (Callable 08/01/22 @ 104.25) (1) |
|
(CCC+, Caa1) |
|
|
05/15/27 |
|
|
|
8.500 |
|
|
|
2,135,653 |
|
|
|
|
|
|
|
|
250 |
|
|
Tenneco, Inc., Rule 144A, Senior Secured Notes (Callable 01/15/24 @ 103.94) (1) |
|
(B+, Ba3) |
|
|
01/15/29 |
|
|
|
7.875 |
|
|
|
241,982 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,377,635 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
200 |
|
|
Thor Industries, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/24 @ 102.00) (1) |
|
|
|
|
10/15/29 |
|
|
|
4.000 |
|
|
|
158,650 |
|
|
|
|
|
|
|
|
675 |
|
|
Winnebago Industries, Inc., Rule 144A, Senior Secured Notes (Callable 07/15/23 @ 103.13) (1) |
|
(BB+, Ba3) |
|
|
07/15/28 |
|
|
|
6.250 |
|
|
|
619,313 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
777,963 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
901 |
|
|
StoneX Group, Inc., Rule 144A, Senior Secured Notes (Callable 08/01/22 @ 104.31) (1) |
|
|
|
|
06/15/25 |
|
|
|
8.625 |
|
|
|
904,919 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Building & Construction (2.8%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,340 |
|
|
Adams Homes, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/18/22 @ 103.75) (1) |
|
(B+, B2) |
|
|
02/15/25 |
|
|
|
7.500 |
|
|
|
1,248,257 |
|
|
|
|
|
|
|
|
1,050 |
|
|
Installed Building Products, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 102.88) (1) |
|
(B+, B1) |
|
|
02/01/28 |
|
|
|
5.750 |
|
|
|
934,314 |
|
|
|
|
|
|
|
|
1,600 |
|
|
PGT Innovations, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/24 @ 102.19) (1) |
|
(B+, B1) |
|
|
10/01/29 |
|
|
|
4.375 |
|
|
|
1,263,768 |
|
|
|
|
|
|
|
|
400 |
|
|
Pike Corp., Rule 144A, Company Guaranteed Notes (Callable 09/01/23 @ 102.75) (1) |
|
(CCC+, B3) |
|
|
09/01/28 |
|
|
|
5.500 |
|
|
|
320,588 |
|
|
|
|
|
|
|
|
350 |
|
|
TopBuild Corp., Rule 144A, Company Guaranteed Notes (Callable 03/15/24 @ 101.81) (1) |
|
(BB+, Ba2) |
|
|
03/15/29 |
|
|
|
3.625 |
|
|
|
276,182 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,043,109 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Building Materials (5.6%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,500 |
|
|
Advanced Drainage System, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/25 @ 103.19) (1) |
|
(B+, Ba2) |
|
|
06/15/30 |
|
|
|
6.375 |
|
|
|
1,469,272 |
|
|
|
|
|
|
|
|
200 |
|
|
Builders FirstSource, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/25 @ 102.50) (1) |
|
|
|
|
03/01/30 |
|
|
|
5.000 |
|
|
|
169,745 |
|
|
|
|
|
|
|
|
600 |
|
|
Builders FirstSource, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/27 @ 103.19) (1) |
|
|
|
|
06/15/32 |
|
|
|
6.375 |
|
|
|
536,805 |
|
|
|
|
|
|
|
|
750 |
|
|
Eco Material Technologies, Inc., Rule 144A, Senior Secured Notes (Callable 01/31/24 @ 103.94) (1) |
|
(B, B2) |
|
|
01/31/27 |
|
|
|
7.875 |
|
|
|
667,539 |
|
|
|
|
|
|
|
|
2,058 |
|
|
Foundation Building Materials, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/24 @ 103.00) (1) |
|
(CCC+, Caa1) |
|
|
03/01/29 |
|
|
|
6.000 |
|
|
|
1,510,675 |
|
|
|
|
|
|
|
|
1,647 |
|
|
MIWD Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/25 @ 102.75) (1) |
|
(B, B3) |
|
|
02/01/30 |
|
|
|
5.500 |
|
|
|
1,327,446 |
|
| |
• |
|
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, 2022 in valuing the Fund’s assets and liabilities carried at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Investments in Securities |
|
Corporate Bonds |
|
$ |
— |
|
|
$ |
144,600,199 |
|
|
$ |
894,822 |
|
|
$ |
145,495,021 |
|
Bank Loans |
|
|
— |
|
|
|
35,219,915 |
|
|
|
12,211,948 |
|
|
|
47,431,863 |
|
Asset Backed Securities |
|
|
— |
|
|
|
10,312,691 |
|
|
|
— |
|
|
|
10,312,691 |
|
Common Stocks |
|
|
— |
|
|
|
458,507 |
|
|
|
673,344 |
|
|
|
1,131,851 |
|
Warrants |
|
|
— |
|
|
|
— |
|
|
|
0 |
(1) |
|
|
0 |
(1) |
Short-term Investments |
|
|
4,598,129 |
|
|
|
9,654,683 |
|
|
|
— |
|
|
|
14,252,812 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
4,598,129 |
|
|
$ |
200,245,995 |
|
|
$ |
13,780,114 |
|
|
$ |
218,624,238 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments* |
|
|
|
|
|
Forward Foreign Currency Contracts |
|
$ |
— |
|
|
$ |
277,784 |
|
|
$ |
— |
|
|
$ |
277,784 |
|
|
|
|
|
|
Liabilities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Other Financial Instruments* |
|
|
|
|
|
Forward Foreign Currency Contracts |
|
$ |
— |
|
|
$ |
13,807 |
|
|
$ |
— |
|
|
$ |
13,807 |
|
| |
(1) |
Includes zero valued security. |
| |
* |
Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts. |
26
Credit Suisse Asset Management Income Fund, Inc.
Notes to Financial Statements (continued)
June 30, 2022 (unaudited)
Note 2. Significant Accounting Policies
(continued)
The following is a reconciliation of investments as of June 30, 2022 for which significant unobservable inputs were used in determining fair value.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Corporate
Bonds |
|
|
Bank
Loans |
|
|
Common
Stocks |
|
|
Warrant |
|
|
Total |
|
Balance as of December 31, 2021 |
|
$ |
18,917 |
|
|
$ |
8,217,766 |
|
|
$ |
5,700 |
|
|
$ |
0 |
(1) |
|
$ |
8,242,383 |
|
Accrued discounts (premiums) |
|
|
630 |
|
|
|
25,889 |
|
|
|
— |
|
|
|
— |
|
|
|
26,519 |
|
Purchases |
|
|
866,892 |
|
|
|
996,629 |
|
|
|
— |
|
|
|
— |
|
|
|
1,863,521 |
|
Sales |
|
|
— |
|
|
|
(2,269,321 |
) |
|
|
— |
|
|
|
— |
|
|
|
(2,269,321 |
) |
Realized gain (loss) |
|
|
— |
|
|
|
15,585 |
|
|
|
(44,986 |
) |
|
|
— |
|
|
|
(29,401 |
) |
Change in unrealized appreciation (depreciation) |
|
|
8,383 |
|
|
|
(388,698 |
) |
|
|
40,754 |
|
|
|
— |
|
|
|
(339,561 |
) |
Transfers into Level 3 |
|
|
— |
|
|
|
6,678,161 |
|
|
|
671,876 |
|
|
|
— |
|
|
|
7,350,037 |
|
Transfers out of Level 3 |
|
|
— |
|
|
|
(1,064,063 |
) |
|
|
— |
|
|
|
— |
|
|
|
(1,064,063 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance as of June 30, 2022 |
|
$ |
894,822 |
|
|
$ |
12,211,948 |
|
|
$ |
673,344 |
|
|
$ |
0 |
(1) |
|
$ |
13,780,114 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net change in unrealized appreciation (depreciation) from investments still held as of June 30, 2022 |
|
$ |
8,383 |
|
|
$ |
(264,954 |
) |
|
$ |
(4,232 |
) |
|
|
— |
|
|
$ |
(260,803 |
) |
| |
(1) |
Includes zero valued security. |
Quantitative Disclosure About Significant Unobservable Inputs
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Class |
|
Fair Value
At 06/30/2022 |
|
|
Valuation
Technique |
|
|
Unobservable
Input |
|
|
Range
(Weighted Average)* |
|
Bank Loans |
|
$ |
12,211,948 |
|
|
|
Vendor pricing |
|
|
|
Single Broker Quote |
|
|
$ |
0.81 - $0.99 ($0.93 |
) |
Common Stocks |
|
$ |
1,468 |
|
|
|
Income Approach |
|
|
|
Expected Remaining Distribution |
|
|
$ |
0.00 - $5.22 ($1.79 |
) |
|
|
|
671,876 |
|
|
|
Vendor pricing |
|
|
|
Single Broker Quote |
|
|
$ |
67.00 (N/A |
) |
Corporate Bonds |
|
$ |
881,322 |
|
|
|
Income Approach |
|
|
|
Expected Remaining Distribution |
|
|
$ |
0.01 - $1.10 ($1.09 |
) |
|
|
|
13,500 |
|
|
|
Vendor pricing |
|
|
|
Single Broker Quote |
|
|
$ |
0.01 (N/A |
) |
Warrants |
|
$ |
0 |
|
|
|
Income Approach |
|
|
|
Expected Remaining Distribution |
|
|
$ |
0.00 (N/A |
) |
| |
* |
Weighted by relative fair value |
Each fair value determination is based on a consideration of relevant factors, including both observable and unobservable inputs. Observable and unobservable inputs that Credit Suisse considers may include (i) the existence of any contractual restrictions on the disposition of securities; (ii) information obtained from the company, which may include an analysis of the company’s financial statements, the company’s products or intended markets or the company’s technologies; (iii) the price of the same or similar security negotiated at arm’s length in an issuer’s completed subsequent round of financing; (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies; or (v) a probability and time value adjusted analysis of contractual term. Where available and appropriate, multiple valuation methodologies are applied to confirm fair value. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, determining fair value requires more judgment. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the investments existed. Accordingly, the degree of judgment exercised by the Fund in determining fair value is greatest for investments categorized in Level 3. In some circumstances, the inputs used to measure fair value might be categorized within different levels of the fair value hierarchy. In those instances, the fair value measurement is categorized in its entirety in the fair value hierarchy based on the least observable input that is
27
Credit Suisse Asset Management Income Fund, Inc.
Notes to Financial Statements (continued)
June 30, 2022 (unaudited)
Note 2. Significant Accounting Policies
(continued)
significant to the fair value measurement. Additionally, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different from the valuations used at the date of these financial statements.
For the six months ended June 30, 2022, $7,350,037 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $1,064,063 was transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs. All transfers, if any, are assumed to occur at the end of the reporting period.
B) DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES — The Fund adopted amendments to authoritative guidance on disclosures about derivative instruments and hedging activities which require that a fund disclose (a) how and why an entity uses derivative instruments, (b) how derivative instruments and hedging activities are accounted for and (c) how derivative instruments and related hedging activities affect a fund’s financial position, financial performance and cash flows.
The following table presents the fair value and the location of derivatives within the Statement of Assets and Liabilities at June 30, 2022 and the effect of these derivatives on the Statement of Operations for the six months ended June 30, 2022.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Primary
Underlying Risk |
|
Derivative
Assets |
|
|
Derivative
Liabilities |
|
|
Realized
Gain (Loss) |
|
|
Change in
Unrealized
Appreciation
(Depreciation) |
|
Foreign currency exchange rate forward contracts |
|
$ |
277,784 |
|
|
$ |
13,807 |
|
|
$ |
— |
|
|
$ |
237,826 |
|
For the six months ended June 30, 2022, the Fund held an average monthly value on a net basis of $3,045,252 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
derivative (including total return, credit default and interest rate swaps) and foreign exchange contracts entered into by the Fund. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Termination events applicable to the Fund may occur upon a decline in the Fund’s net assets below a specified threshold over a certain period of time.
The following table presents by counterparty the Fund’s derivative assets, net of related collateral held by the Fund, at June 30, 2022:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Gross Amount of
Derivative Assets Presented in
Statement of Assets
|
|
|
Financial
Instruments
and Derivatives
Available for Offset |
|
|
Collateral
Received |
|
|
Cash
Collateral
Received |
|
|
Net Amount
of Derivative
Assets |
|
Barclays Bank PLC |
|
$ |
26,401 |
|
|
$ |
(713 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
25,688 |
|
Deutsche Bank AG |
|
|
251,365 |
|
|
|
(10,247 |
) |
|
|
— |
|
|
|
— |
|
|
|
241,118 |
|
JPMorgan Chase |
|
|
18 |
|
|
|
(18 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
277,784 |
|
|
$ |
(10,978 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
266,806 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28
Credit Suisse Asset Management Income Fund, Inc.
Notes to Financial Statements (continued)
June 30, 2022 (unaudited)
Note 2. Significant Accounting Policies
(continued)
The following table presents by counterparty the Fund’s derivative liabilities, net of related collateral pledged by the Fund, at June 30, 2022:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Gross Amount of
Derivative Liabilities Presented in
Statement of Assets and
|
|
|
Financial
Instruments
and Derivatives
Available for Offset |
|
|
Non-Cash Collateral Pledged |
|
|
Cash
Collateral
Pledged |
|
|
Net Amount
of Derivative
Liabilities |
|
Barclays Bank PLC |
|
$ |
713 |
|
|
$ |
(713 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
Deutsche Bank AG |
|
|
10,247 |
|
|
|
(10,247 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
JPMorgan Chase |
|
|
967 |
|
|
|
(18 |
) |
|
|
— |
|
|
|
— |
|
|
|
949 |
|
Morgan Stanley |
|
|
1,880 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1,880 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
13,807 |
|
|
$ |
(10,978 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,829 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Forward foreign currency contracts are included. |
C) FOREIGN CURRENCY TRANSACTIONS — The books and records of the Fund are maintained in U.S. dollars. Transactions denominated in foreign currencies are recorded at the current prevailing exchange rates. All assets and liabilities denominated in foreign currencies, including purchases and sales of investments, and income and expenses, are translated into U.S. dollar amounts on the date of those transactions.
Reported net realized gain (loss) from foreign currency transactions arises from sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on securities transactions; and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net change in unrealized gains and losses on translation of assets and liabilities denominated in foreign currencies arises from changes in the fair values of assets and liabilities, other than investments, at the end of the period, resulting from changes in exchange rates.
The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held. Such fluctuations are included with net realized and unrealized gain or loss from investments in the Statement of Operations.
D) SECURITY TRANSACTIONS AND INVESTMENT INCOME/EXPENSE — Security transactions are accounted for on a trade date basis. Interest income/expense is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Dividend income/expense is recorded on the
ex-dividend
date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.
E) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — The Fund declares and pays dividends on a monthly basis and records them on
ex-date.
Distributions of net realized capital gains, if any, are declared and paid at least annually. However, to the extent that a net realized capital gain can be reduced by a capital loss carryforward, such gain will not be distributed. Dividends and distributions to shareholders of the Fund are recorded on the
ex-dividend
date and are determined in accordance with federal income tax regulations, which may differ from GAAP.
29
Credit Suisse Asset Management Income Fund, Inc.
Notes to Financial Statements (continued)
June 30, 2022 (unaudited)
Note 2. Significant Accounting Policies
(continued)
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.
F) FEDERAL AND OTHER TAXES — No provision is made for federal taxes as it is the Fund’s intention to continue to qualify as a regulated investment company (“RIC”) under the Internal Revenue Code of 1986, as amended (the “Code”), and to make the requisite distributions to its shareholders, which will be sufficient to relieve it from federal income and excise taxes.
In order to qualify as a RIC under the Code, the Fund must meet certain requirements regarding the source of its income, the diversification of its assets and the distribution of its income. One of these requirements is that the Fund derive at least 90% of its gross income for each taxable year from dividends, interest, payments with respect to certain securities loans, gains from the sale or other disposition of stock, securities or foreign currencies, other income derived with respect to its business of investing in such stock, securities or currencies or net income derived from interests in certain publicly-traded partnerships (“Qualifying Income”).
The Fund adopted the authoritative guidance for uncertainty in income taxes and recognizes a tax benefit or liability from an uncertain position only if it is more likely than not that the position is sustainable based solely on its technical merits and consideration of the relevant taxing authority’s widely understood administrative practices and procedures.
The Fund has reviewed its current tax positions and has determined that no provision for income tax is required in the Fund’s financial statements. The Fund’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
G) CASH — The Fund’s uninvested cash balance is held in an interest bearing variable rate demand deposit account at State Street Bank and Trust Company (“SSB”), the Fund’s custodian.
H) CASH FLOW INFORMATION — Cash, as used in the Statement of Cash Flows, is the amount reported in the Statement of Assets and Liabilities, including domestic and foreign currencies. The Fund invests in securities and distributes dividends from net investment income and net realized gains, if any (which are either paid in cash or reinvested at the discretion of shareholders). These activities are reported in the Statement of Changes in Net Assets. Information on cash payments is presented in the Statement of Cash Flows. Accounting practices that do not affect reporting activities on a cash basis include unrealized gain or loss on investment securities and accretion or amortization income/expense recognized on investment securities.
I) FORWARD FOREIGN CURRENCY CONTRACTS — A forward foreign currency exchange contract (“forward currency contract”) is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. The Fund will enter into forward currency contracts primarily for hedging foreign currency risk. Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and unrealized gain/loss is recorded daily. On the settlement date of the forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was closed. Certain risks may arise upon entering into forward currency
30
Credit Suisse Asset Management Income Fund, Inc.
Notes to Financial Statements (continued)
June 30, 2022 (unaudited)
Note 2. Significant Accounting Policies
(continued)
contracts from the potential inability of counterparties to meet the terms of their contracts. The maximum counterparty credit risk to the Fund is measured by the unrealized gain on appreciated contracts. Additionally, when utilizing forward currency contracts to hedge, the Fund forgoes the opportunity to profit from favorable exchange rate movements during the term of the contract. The Fund’s open forward currency contracts at June 30, 2022 are disclosed in the Schedule of Investments.
J) UNFUNDED LOAN COMMITMENTS — The Fund enters into certain agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these loan commitments at the borrowers’ discretion. Funded and unfunded portions of credit agreements are presented in the Schedule of Investments. As of June 30, 2022, the fund has no unfunded loan commitments.
Unfunded loan commitments and funded portions of credit agreements are marked to market daily and any unrealized appreciation or depreciation is included in the Statement of Assets and Liabilities and the Statement of Operations.
K) SECURITIES LENDING — The initial collateral received by the Fund is required to have a value of at least 102% of the market value of domestic securities on loan (including any accrued interest thereon) and 105% of the market value of foreign securities on loan (including any accrued interest thereon). The collateral is maintained thereafter at a value equal to at least 102% of the current market value of the securities on loan. The market value of loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day. Cash collateral received by the Fund in connection with securities lending activity may be pooled together with cash collateral for other funds/portfolios advised by Credit Suisse and may be invested in a variety of investments, including funds advised by SSB, the Fund’s securities lending agent, or money market instruments. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Fund or the borrower at any time.
SSB has been engaged by the Fund to act as the Fund’s securities lending agent. As of June 30, 2022, the Fund had outstanding loans of securities to certain approved brokers for which the Fund received collateral:
|
|
|
|
|
|
|
|
|
Market Value of
Loaned Securities |
|
Market Value of
Cash Collateral |
|
|
Total
Collateral |
|
| $9,415,695 |
|
$ |
9,654,683 |
|
|
$ |
9,654,683 |
|
The following table presents financial instruments that are subject to enforceable netting arrangements as of June 30, 2022.
Gross Amounts Not Offset in the Statement of Assets and Liabilities
|
|
|
|
|
|
|
|
|
Gross Asset Amounts
Presented in the
Statement of Assets and Liabilities (a) |
|
|
|
|
Net Amount |
|
| $9,415,695 |
|
$ |
(9,415,695 |
) |
|
$ |
— |
|
| |
(a) |
Represents market value of loaned securities at period end. |
| |
(b) |
The actual collateral received is greater than the amount shown here due to collateral requirements of the security lending agreement. |
31
Credit Suisse Asset Management Income Fund, Inc.
Notes to Financial Statements (continued)
June 30, 2022 (unaudited)
Note 2. Significant Accounting Policies
(continued)
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, 2022, total earnings from the Fund’s investment in cash collateral received in connection with securities lending arrangements was $21,490, of which $7,764 was rebated to borrowers (brokers). The Fund retained $10,300 in income from the cash collateral investment, and SSB, as lending agent, was paid $3,426.
L) OTHER — Lower-rated debt securities (commonly known as “junk bonds”) possess speculative characteristics and are subject to greater market fluctuations and risk of lost income and principal than higher-rated debt securities for a variety of reasons. Also, during an economic downturn or substantial period of rising interest rates, highly leveraged issuers may experience financial stress which would adversely affect their ability to service their principal and interest payment obligations, to meet projected business goals and to obtain additional financing.
In July 2017, the Financial Conduct Authority, the United Kingdom’s financial regulatory body, announced a desire to phase out the use of the London Interbank Offered Rate (“LIBOR”) by the end of 2021. The FCA and ICE Benchmark Administrator have since announced that most LIBOR settings will no longer be published after December 31, 2021 and a majority of U.S. dollar LIBOR settings will cease publication after June 30, 2023. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered
non-representative
of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing the Secured Overnight Financing Rate (“SOFR”) that is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new reference rates. Uncertainty related to the liquidity impact of the change in rates, and how to appropriately adjust these rates at the time of transition, poses risks for the Fund. The effect of any changes to, or discontinuation of, LIBOR on the Fund will depend on, among other things, (1) existing fallback or termination provisions in individual contracts and (2) whether, how, and when industry participants develop and adopt new reference rates and fallbacks for both legacy and new instruments and contracts. In addition, there are obstacles to converting certain longer-term securities and transactions to a new reference rate or rates and the effectiveness of one alternative reference rate versus multiple alternative reference rates in new or existing financial instruments and products has not been determined.
The transition away from LIBOR might lead to increased volatility and illiquidity in markets for instruments whose terms currently reference LIBOR, reduced values of LIBOR-related investments, reduced effectiveness of hedging strategies, increased costs for certain LIBOR-related instruments, increased difficulty in borrowing or refinancing, and prolonged adverse market conditions for the Fund. Furthermore, the risks associated with the expected discontinuation of LIBOR and related transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner.
In the normal course of business, the Fund trades financial instruments and enters into financial transactions for which risk of potential loss exists due to changes in the market (market risk) or failure of the other party to a transaction to perform (credit risk). Similar to credit risk, the Fund may be exposed to counterparty risk, including securities lending, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. The potential loss could exceed the value of the financial assets recorded in the financial statements. Financial assets, which potentially expose the Fund to credit risk, consist principally of cash
32
Credit Suisse Asset Management Income Fund, Inc.
Notes to Financial Statements (continued)
June 30, 2022 (unaudited)
Note 2. Significant Accounting Policies
(continued)
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.
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 an average weekly base amount which, with respect to each quarter, is the average of the lower of (i) the stock price (market value) of the Fund’s outstanding shares and (ii) the Fund’s net assets, in each case determined as of the last trading day for each week during the relevant quarter. For the six months ended June 30, 2022, investment advisory fees earned were $394,260.
The Fund from time to time purchases or sells loan investments in the secondary market through Credit Suisse or its affiliates acting in the capacity as broker-dealer. Credit Suisse or its affiliates may have acted in some type of agent capacity to the initial loan offering prior to such loan trading in the secondary market.
Note 4. Line of Credit
The Fund has a line of credit subject to annual renewal provided by SSB primarily to leverage its investment portfolio (the “Agreement”). The Fund may borrow the lesser of: a) $85,000,000; b) an amount that is no greater than 33 1/3% of the Fund’s total assets minus the sum of liabilities (other than aggregate indebtedness constituting leverage); and c) the Borrowing Base as defined in the Agreement. Under the terms of the Agreement, the Fund pays a commitment fee of 0.25% on the unused amount. In addition, the Fund pays interest on borrowings at SOFR plus a spread. At June 30, 2022, the Fund had loans outstanding under the Agreement of $65,500,000. Unless renewed, the Agreement will terminate on June 7, 2023. During the six months ended June 30, 2022, the Fund had borrowings under the Agreement as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Daily
Loan Balance |
|
|
Weighted Average
Interest Rate |
|
|
Maximum Daily
Loan Outstanding |
|
|
Interest Expense |
|
|
Number of
Days
Outstanding |
|
| $ |
64,107,735 |
|
|
|
1.31 |
% |
|
$ |
65,500,000 |
|
|
$ |
423,171 |
|
|
|
181 |
|
The use of leverage by the Fund creates an opportunity for increased net income and capital appreciation for the Fund, but, at the same time, creates special risks, and there can be no assurance that a leveraging strategy will be successful during any period in which it is employed. The Fund intends to utilize leverage to provide the shareholders with a potentially higher return. Leverage creates risks for shareholders including the likelihood of greater volatility of net asset value and market price of the Fund’s shares and the risk that fluctuations in interest rates on borrowings and short-term debt may affect the return to shareholders. To the extent the income or capital appreciation derived from securities purchased with funds received from leverage exceeds the cost of leverage, the Fund’s return will be greater than if leverage had not been used. Conversely, if the income or capital appreciation from the securities purchased with such funds is not sufficient to cover the cost of leverage, the return to the Fund will be less than if leverage had not been used, and therefore the amount available for distribution to shareholders as dividends and other distributions will be reduced. In the latter case, Credit Suisse
33
Credit Suisse Asset Management Income Fund, Inc.
Notes to Financial Statements (continued)
June 30, 2022 (unaudited)
Note 4. Line of Credit
(continued)
in its best judgment nevertheless may determine to maintain the Fund’s leveraged position if it deems such action to be appropriate under the circumstances.
Certain types of borrowings by the Fund may result in the Fund being subject to covenants in credit agreements, including those relating to asset coverage and portfolio composition requirements. The securities held by the Fund are subject to a lien granted to the lender, to the extent of the borrowing outstanding and any additional expenses. The Fund’s lenders may establish guidelines for borrowing which may impose asset coverage or portfolio composition requirements that are more stringent than those imposed by the 1940 Act. There is no guarantee that the Fund’s borrowing arrangements or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Fund. Expiration or termination of available financing for leveraged positions can result in adverse effects to the Fund’s access to liquidity and its ability to maintain leverage positions, and may cause the Fund to incur losses. Unfavorable economic conditions also could increase funding costs, limit access to the capital markets or result in a decision by lenders not to extend credit to the Fund. In addition, a decline in market value of the Fund’s assets may have particular adverse consequences in instances where the Fund has borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender requiring the Fund to sell assets at a time when it may not be in the Fund’s best interest to do so.
Note 5. Purchases and Sales of Securities
For the six months ended June 30, 2022, purchases and sales of investment securities (excluding short-term investments) and U.S. Government and Agency Obligations were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Securities |
|
|
U.S. Government/
Agency Obligations |
|
Purchases |
|
Sales |
|
|
Purchases |
|
|
Sales |
|
| $56,841,540 |
|
$ |
52,586,978 |
|
|
$ |
0 |
|
|
$ |
0 |
|
Note 6. Fund Shares
The Fund offers a Dividend Reinvestment Plan (the “Plan”) to its common stockholders. By participating in the Plan, dividends and distributions will be promptly paid to stockholders in additional shares of common stock of the Fund. The number of shares to be issued will be determined by dividing the total amount of the distribution payable by the greater of (i) the net asset value per share (“NAV”) of the Fund’s common stock on the payment date, or (ii) 95% of the market price per share of the Fund’s common stock on the payment date. If the NAV of the Fund’s common stock is greater than the market price (plus estimated brokerage commissions) on the payment date, Computershare (or a broker-dealer selected by Computershare) shall endeavor to apply the amount of such distribution to purchase shares of Fund common stock in the open market.
The Fund has one class of shares of common stock, par value $0.001 per share; one hundred million shares are authorized. Transactions in shares of beneficial interest of the Fund were as follows:
|
|
|
|
|
|
|
|
|
| |
|
For the Six Months Ended
June 30, 2022 |
|
|
For the Year Ended
December 31, 2021 |
|
Shares issued through reinvestment of distributions |
|
|
— |
|
|
|
34,063 |
|
|
|
|
|
|
|
|
|
|
Net increase |
|
|
— |
|
|
|
34,063 |
|
|
|
|
|
|
|
|
|
|
34
Credit Suisse Asset Management Income Fund, Inc.
Notes to Financial Statements (continued)
June 30, 2022 (unaudited)
Note 7. Shelf Offering
The Fund has an effective “shelf” registration statement, which became effective with the SEC on November 17, 2021. The shelf registration statement enables the Fund to issue up to $250,000,000 in proceeds through one or more public offerings. Shares may be offered at prices and terms to be set forth in one or more supplements to the Fund’s prospectus included in the shelf registration statement. On November 19, 2021, the Fund filed a prospectus supplement relating to an
offering of the Fund’s shares of common stock. Any proceeds raised through such offering will be used for investment purposes. For the six months ended June 30, 2022, no common shares of beneficial interest were issued in the shelf offering.
Costs incurred by the Fund in connection with its shelf registration statement and prospectus supplement are recorded as a prepaid expense and recognized as “Deferred offering costs” on the Statement of Assets and Liabilities. These costs will be amortized pro rata as common shares are sold and will be recognized as a component of proceeds from the shelf offering on the Statement of Changes in Net Assets. Any deferred offering costs remaining after the effectiveness of the shelf registration statement will be expensed. Costs incurred by the Fund to keep the shelf registration current are expensed as incurred and recognized as a component of “Miscellaneous expense” on the Statement of Operations.
Note 8. Contingencies
In the normal course of business, the Fund may provide general indemnifications pursuant to certain contracts and organizational documents. The Fund’s maximum exposure under these arrangements is dependent on future claims that may be made against the Fund and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote.
Note 9. Subsequent Events
In preparing the financial statements as of June 30, 2022, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements through the date of release of this report. No such events requiring recognition or disclosure were identified through the date of the release of this report.
35
Credit Suisse Asset Management Income Fund, Inc.
Shareholder Meeting Results (unaudited)
On May 5, 2022, the Annual Meeting of shareholders of the Fund was held. The following matters were voted upon by the shareholders of the Fund and the results are presented below. Only proposal 1 was approved.
1. To re-elect Laura A. DeFelice as Director to serve a three-year term:
|
|
|
|
|
NOMINEE |
|
“FOR” NOMINEE |
|
WITHHELD |
| Laura A. DeFelice |
|
31,513,561 |
|
3,512,348 |
2. To amend the charter to increase the number of authorized shares of common stock:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
% of total
shares
outstanding |
|
|
% of total
shares voted |
|
For |
|
|
10,366,023 |
|
|
|
19.81 |
% |
|
|
29.60 |
% |
Against |
|
|
5,012,322 |
|
|
|
9.58 |
% |
|
|
14.31 |
% |
Abstain |
|
|
881,278 |
|
|
|
1.68 |
% |
|
|
2.52 |
% |
|
|
|
18,766,299 |
|
|
|
53.58 |
% |
|
|
53.58 |
% |
3. To amend the charter to permit the Board of Directors, without any action by the shareholders of the Fund, to amend the charter from time to time to increase or decrease the aggregate number of authorized shares of stock of any class or series:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
% of total
shares
outstanding |
|
|
% of total
shares voted |
|
For |
|
|
8,621,804 |
|
|
|
16.47 |
% |
|
|
24.62 |
% |
Against |
|
|
6,906,335 |
|
|
|
13.20 |
% |
|
|
19.72 |
% |
Abstain |
|
|
731,480 |
|
|
|
1.40 |
% |
|
|
2.09 |
% |
|
|
|
18,766,290 |
|
|
|
53.58 |
% |
|
|
53.58 |
% |
4. To amend the charter to permit the Board of Directors, without any action by shareholders of the Fund, to issue stock from time to time:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
% of total
shares
outstanding |
|
|
% of total
shares voted |
|
For |
|
|
8,421,768 |
|
|
|
16.09 |
% |
|
|
24.04 |
% |
Against |
|
|
6,955,320 |
|
|
|
13.29 |
% |
|
|
19.86 |
% |
Abstain |
|
|
882,535 |
|
|
|
1.69 |
% |
|
|
2.52 |
% |
|
|
|
18,766,290 |
|
|
|
53.58 |
% |
|
|
53.58 |
% |
36
Credit Suisse Asset Management Income Fund, Inc.
Notice of Privacy and Information Practices (unaudited)
At Credit Suisse, we know that you are concerned with how we protect and handle nonpublic personal information that identifies you. This notice is designed to help you understand what nonpublic personal information we collect from you and from other sources, and how we use that information in connection with your investments and investment choices that may be available to you. Except where otherwise noted, this notice is applicable only to consumers who are current or former investors, meaning individual persons whose investments are primarily for household, family or personal use (“individual investors”). Specified sections of this notice, however, also apply to other types of investors (called “institutional investors”). Where the notice applies to institutional investors, the notice expressly states so. This notice is being provided by Credit Suisse Funds and Credit Suisse
Closed-End
Funds. This notice applies solely to U.S. registered investment companies advised by Credit Suisse Asset Management, LLC.
Categories of information we may collect:
We may collect information about you, including nonpublic personal information, such as
| |
• |
|
Information we receive from you on applications, forms, agreements, questionnaires, Credit Suisse websites and other websites that are part of our investment program, or in the course of establishing or maintaining a customer relationship, such as your name, address, e-mail address, Social Security number, assets, income, financial situation; and |
| |
• |
|
Information we obtain from your transactions and experiences with us, our affiliates, or others, such as your account balances or other investment information, assets purchased and sold, and other parties to a transaction, where applicable. |
Categories of information we disclose and parties to whom we disclose it:
| |
• |
|
We do not disclose nonpublic personal information about our individual investors, except as permitted or required by law or regulation. Whether you are an individual investor or institutional investor, we may share the information described above with our affiliates that perform services on our behalf, and with our asset management and private banking affiliates; as well as with unaffiliated third parties that perform services on our behalf, such as our accountants, auditors, attorneys, broker-dealers, fund administrators, and other service providers. |
| |
• |
|
We want our investors to be informed about additional products or services. We do not disclose nonpublic personal information relating to individual investors to our affiliates for marketing purposes, nor do we use such information received from our affiliates to solicit individual investors for such purposes. Whether you are an individual investor or an institutional investor, we may disclose information, including nonpublic personal information, regarding our transactions and experiences with you to our affiliates. |
| |
• |
|
In addition, whether you are an individual investor or an institutional investor, we reserve the right to disclose information, including nonpublic personal information, about you to any person or s organization having jurisdiction over us or our affiliates, if (i) we determine in our discretion that such disclosure is necessary or advisable pursuant to or in connection with any United States federal, state or local, or non-U.S., court order (or other legal process), law, rule, regulation, or executive order or policy, including without limitation any anti-money laundering law or the USA PATRIOT Act of 2001; and (ii) such disclosure is not otherwise prohibited by law, rule, regulation, or executive order or policy. |
37
Credit Suisse Asset Management Income Fund, Inc.
Notice of Privacy and Information Practices (unaudited) (continued)
Confidentiality and security
| |
• |
|
To protect nonpublic personal information about individual investors, we restrict access to those employees and agents who need to know that information to provide products or services to us and to our investors. We maintain physical, electronic, and procedural safeguards to protect nonpublic personal information. |
Other Disclosures
This notice is not intended to be incorporated in any offering materials, but is a statement of our current Notice of Privacy and Information Practices and may be amended from time to time. This notice is current as of May 24, 2022.
38
Credit Suisse Asset Management Income Fund, Inc.
Proxy Voting and Portfolio Holdings Information (unaudited)
Information regarding how the Fund voted proxies related to its portfolio securities during the
12-month
period ended June 30 of each year, as well as the policies and procedures that the Fund uses to determine how to vote proxies relating to its portfolio securities are available:
| |
• |
|
On the Fund’s website, www.credit-suisse.com/us/funds |
| |
• |
|
On the website of the Securities and Exchange Commission, www.sec.gov |
The Fund files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its reports on Form
N-PORT,
and for reporting periods ended prior to March 31, 2019, filed such information on Form
N-Q.
The Fund’s Forms
N-PORT
and
N-Q
are available on the SEC’s website at www.sec.gov.
Funds Managed by Credit Suisse Asset Management, LLC
Fixed Income
Credit Suisse Asset Management Income Fund, Inc. (NYSE American: CIK)
Credit Suisse High Yield Bond Fund (NYSE American: DHY)
Literature Request
— Call today for free descriptive information on the closed-ended funds listed above at
or visit our website at www.credit-suisse.com/us/funds
|
|
|
| Credit Suisse Commodity Return Strategy Fund |
|
Credit Suisse Strategic Income Fund |
| Credit Suisse Floating Rate High Income Fund |
|
Credit Suisse Managed Futures Strategy Fund |
| Credit Suisse Multialternative Strategy Fund |
|
|
Fund shares are not deposits or other obligation of Credit Suisse Asset Management, LLC or any affiliate, are not FDIC-insured and are not guaranteed by Credit Suisse Asset Management, LLC or any affiliate. Fund investments are subject to investment risks, including loss of your investment. There are special risk considerations associated with international, global, emerging-markets, small-company, private equity, high-yield debt, single-industry, single-country and other special, aggressive or concentrated investment strategies. Past performance cannot guarantee future results.
More complete information about a fund, including charges and expenses, is provided in the Prospectus, which should be read carefully before investing. You may obtain copies by calling Credit Suisse Funds at
Performance information current to the most recent
month-end
is available at www.credit-suisse.com/us/funds.
Credit Suisse Securities (USA) LLC, Distributor.
39
Credit Suisse Asset Management Income Fund, Inc.
Dividend Reinvestment and Cash Purchase Plan (unaudited)
Credit Suisse Asset Management Income Fund, Inc. (the “Fund”) offers a Dividend Reinvestment and Cash Purchase Plan (the “Plan”) to its common stockholders. The Plan offers common stockholders a prompt and simple way to reinvest net investment income dividends and capital gains and other periodic distributions in shares of the Fund’s common stock. Computershare Trust Company, N.A. (“Computershare”) acts as Plan Agent for stockholders in administering the Plan.
If your shares of common stock of the Fund are registered in your own name, you will automatically participate in the Plan, unless you have indicated that you do not wish to participate and instead wish to receive dividends and capital gains distributions in cash. If you are a beneficial owner of the Fund having your shares registered in the name of a bank, broker or other nominee, you must first make arrangements with the organization in whose name your shares are registered to have the shares transferred into your own name. Registered shareholders can join the Plan via the Internet by going to www.computershare.com, authenticating your online account, agreeing to the Terms and Conditions of online “Account Access” and completing an online Plan Enrollment Form. Alternatively, you can complete the Plan Enrollment Form and return it to Computershare at the address below.
By participating in the Plan, your dividends and distributions will be promptly paid to you in additional shares of common stock of the Fund. The number of shares to be issued to you will be determined by dividing the total amount of the distribution payable to you by the greater of (i) the net asset value per share (“NAV”) of the Fund’s common stock on the payment date, or (ii) 95% of the market price per share of the Fund’s common stock on the payment date. If the NAV of the Fund’s common stock is greater than the market price (plus estimated brokerage commissions) on the payment date, then Computershare (or a broker-dealer selected by Computershare) shall endeavor to apply the amount of such distribution on your shares to purchase shares of Fund common stock in the open market.
You should be aware that all net investment income dividends and capital gain distributions are taxable to you as ordinary income and capital gain, respectively, whether received in cash or reinvested in additional shares of the Fund’s common stock.
The Plan also permits participants to purchase shares of the Fund through Computershare. You may invest $100 or more monthly, with a maximum of $100,000 in any annual period. Computershare will purchase shares for you on the open market on the 25th of each month or the next trading day if the 25th is not a trading day.
There is no service fee payable by Plan participants for dividend reinvestment. For voluntary cash payments, Plan participants must pay a service fee of $5.00 per transaction. Plan participants will also be charged a pro rata share of the brokerage commissions for all open market purchases ($0.03 per share as of December 2021). Participants will also be charged a service fee of $5.00 for each sale and brokerage commissions of $0.03 per share (as of December 2021).
You may terminate your participation in the Plan at any time by notifying Computershare or requesting a sale of your shares held in the Plan. Your withdrawal will be effective immediately if your notice is received by Computershare prior to any dividend or distribution record date; otherwise, such termination will be effective only with respect to any subsequent dividend or distribution. Your dividend participation option will remain the same unless you withdraw all of your whole and fractional Plan shares, in which case your participation in the Plan will be terminated and you will receive subsequent dividends and capital gains distributions in cash instead of shares.
40
Credit Suisse Asset Management Income Fund, Inc.
Dividend Reinvestment and Cash Purchase Plan (unaudited) (continued)
If you want further information about the Plan, including a brochure describing the Plan in greater detail, please contact Computershare as follows:
| |
By Internet: |
www.computershare.com |
| |
By phone: |
(800) 730-6001 (U.S. and Canada) |
| |
|
(781) 575-3100 (Outside U.S. and Canada) |
Customer service associates are available from 9:00 a.m. to 5:00 p.m. Eastern time, Monday through Friday
| |
By mail: |
Credit Suisse Asset Management Income Fund, Inc. |
| |
|
College Station, TX 77842-3170 |
Overnight correspondence should be sent to:
| |
|
211 Quality Circle, Suite 210 |
| |
|
College Station, TX 77845 |
All notices, correspondence, questions or other communications sent by mail should be sent by registered or certified mail, return receipt requested.
The Plan may be terminated by the Fund or Computershare upon notice in writing mailed to each participant at least 30 days prior to any record date for the payment of any dividend or distribution.
41
This report, including the financial statements herein, is sent to the shareholders of the Fund for their information. It is not a prospectus, circular or representation intended for use in the purchase or sale of shares of the Fund or of any securities mentioned in this report.
CIK-SAR-0622