A method of forming an interconnect assembly including forming a substrate with a plurality of through holes extending from a first major surface to a second major surface. A plurality of recesses are formed in the second major surface of the substrate that at least partially overlap with the plurality of through holes. The recesses have a cross-sectional area greater than a cross-sectional area of the through holes. At least one discrete contact member is inserted in a plurality of the through holes. The contact members include proximal ends extending into the recesses, distal ends extending above the first major surface, and intermediate portions engaged with an engagement region of the substrate located between the first major surface and the recesses. Retention members at least partially deposited in the recesses bond to the proximal ends to retain the contact members in the through holes.