N-CSR/A 1 a11-30384_5ncsra.htm N-CSR/A

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR/A

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number

811-08777

 

CREDIT SUISSE HIGH YIELD BOND FUND

(Exact name of registrant as specified in charter)

 

Eleven Madison Avenue, New York, New York

 

10010

(Address of principal executive offices)

 

(Zip code)

 

John G. Popp

Credit Suisse High Yield Bond Fund

Eleven Madison Avenue

New York, New York  10010

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

(212) 325-2000

 

 

Date of fiscal year end:

October 31st

 

 

Date of reporting period:

November 1, 2010 to October 31, 2011

 

 

Explanatory Note:

 

The Registrant is filing this amendment to its Certified Shareholder Report on Form N-CSR for the period ended October 31, 2011, originally filed with the Securities and Exchange Commission on January 4, 2012 (Accession Number 0001104659-12-000250).  The sole purpose of this amendment is to amend Item 1 “Reports to Shareholders” to file the Report of Independent Registered Public Accounting Firm with PricewaterhouseCoopers’ signature

 

Item 2 through 11 and Item 12(a)(1) to this Form N-CSR are incorporated by reference to the Form N-CSR filed on EDGAR on January 4, 2012 (Accession Number 0001104659-12-000250).

 



 

Item 1. Reports to Stockholders.

 


 


Credit Suisse High Yield Bond Fund
Eleven Madison Avenue
New York, NY 10010

Trustees

Enrique R. Arzac

Chairman of the Board

Terry Fires Bovarnick

James Cattano

Lawrence J. Fox

Steven Rappaport

Officers

John Popp

Chief Executive Officer and President

Thomas J. Flannery

Chief Investment Officer

Emidio Morizio

Chief Compliance Officer

Roger Machlis

Chief Legal Officer

Michael A. Pignataro

Chief Financial Officer

Karen Regan

Senior Vice President and Secretary

Cecilia Chau

Treasurer

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 43078
Providence, RI 02940-3078

Legal Counsel

Willkie Farr & Gallagher LLP
787 7th Avenue
New York, NY 10019

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP
125 High Street
Boston, MA 02110

Credit Suisse
High Yield Bond Fund

ANNUAL REPORT
October 31, 2011




Credit Suisse High Yield Bond Fund

Annual Investment Adviser's Report

October 31, 2011 (unaudited)

December 1, 2011

We are pleased to present this Annual Report which covers the activities of the Credit Suisse High Yield Bond Fund for the year ended October 31, 2011.

Dear Shareholder:

Performance Summary

11/1/10 – 10/31/11

Fund & Benchmark   Performance  
Total Return (based on NAV)1     6.84 %  
Total Return (based on market value)1     12.51 %  
BofA Merrill Lynch
US High Yield Master II Constrained Index2
    4.82 %  

 

Market Review: Lowest default rates since 2008

The year ended October 31, 2011 was a volatile one for the high yield market. The BofA Merrill Lynch US High Yield Master II Constrained Index (the "Index"), the Fund's benchmark, registered a return of 4.82% for the period. Although there was optimism in the first half of the year, it was tempered by escalating concerns over systemic risks in Europe and the United States during the third quarter. As a result, high yield spreads widened to +836 basis points versus the Treasury market in September then tightened to end the year at +713 basis points. Yields ended the period at 8.24%.

From a quality point-of-view, CC-rated securities and C-rated underperformed, returning -3.5% and -17.0%, respectively. BB and B-rated securities posted the highest returns of 5.0% and 5.1%, respectively. On a sector basis, the top performers were software/services, food and drug retailers, and REITs. Conversely, electricity distribution/transportation, monoline insurance, and integrated energy were the biggest detractors from overall performance during the period.

High yield default rates have fallen to their lowest levels since early 2008 with the trailing 12-month issuer-weighted global default rate, as measured by Moody's, declining steadily from 3.8% in October 2010 to 1.9% in October 2011. This rate is well below the historical average of 4.45% and is forecasted to increase to 2.25% over the next 12 months. The percentage of U.S. high yield securities that are "distressed," defined as those trading at spreads of more than 1,000 basis points over Treasuries, fell to a low of 5.0% through May 2011, before rising again to finish October 2011 at 16.1% — up from 10.5% year over year.

High yield issue volume for the period, according to JP Morgan, was more than $274 billion — generally in line with last year's figure of nearly $284 billion. New issue activity was greatest during the second quarter of 2011, with over $92 billion in new issues. There was a considerable decrease in activity in the third quarter as issuance dropped to less than $26 billion. And according to Lipper, high-yield mutual funds saw eight months of positive flows during the year for a total net inflow of more than $9 billion — it's worth noting that this figure includes a record monthly inflow of nearly $7 billion in October 2011.

Strategic Review and Outlook: Cautiously optimistic going forward

For the 12-month period ended October 31, 2011, the Fund outperformed the benchmark. An underweight to the banking and wireless sectors as well as superior credit selection in the gaming sector contributed positively to returns. Conversely, security selection in the restaurants and chemicals sectors hurt relative returns.

We believe recent dislocations in credit markets have presented opportunities for high yield portfolios to selectively purchase bonds at attractive yields. Our portfolio exposures remain defensive, with an emphasis on



Credit Suisse High Yield Bond Fund

Annual Investment Adviser's Report (continued)

October 31, 2011 (unaudited)

senior secured bonds. In addition, we continue to maintain an overweight to B-rated bonds with the best risk-return profiles, while underweighting the most aggressive CC-rated components of the Index. The Fund has also focused on securities with less interest rate sensitivity and has maintained its exposure to shorter duration bonds. From a sector perspective, we have a positive view on energy, technology and media. We continue to remain cautious with respect to consumer-driven industries where asset quality is low.

The broad macroeconomic data, such as inconsistent U.S. economic trends and Eurozone concerns, cause us to remain cautious for the near-term. However, on a fundamental basis, high yield companies have focused on deleveraging and extending maturities since early 2009—despite the volatility and negative sentiment that has dominated the landscape. These improved fundamentals continue to support the expectations that defaults will be lower than historical averages for 2012 and 2013.

   
Thomas J. Flannery
Chief Investment Officer*
  John 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 October 31, 2011; 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 $0.32 per share.

2  The BofA Merrill Lynch US High Yield Master II Constrained 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. An index does not have transaction costs; investors cannot invest directly in an index.

*  Thomas J. Flannery is a Managing Director of Credit Suisse Asset Management, LLC ("Credit Suisse") and Head of the Credit Suisse US High Yield Management Team. Mr. Flannery joined Credit Suisse in June 2010. He is a portfolio manager for the Performing Credit Strategies Group ("PCS") within the Asset Management business of Credit Suisse Group AG with responsibility for originating and analyzing investment opportunities. Mr. Flannery is also a member of the PCS Investment Committee and is currently a high yield bond portfolio manager and trader for PCS. Mr. Flannery joined Credit Suisse Group AG in 2000 from First Dominion Capital, LLC where he was an Associate. Mr. Flannery began his career with Houlihan Lokey Howard & Zukin, Inc.

**  John Popp is a Managing Director of Credit Suisse. He is the Group Manager and Senior Portfolio Manager for Performing Credit Strategies. Mr. Popp has been associated with Credit Suisse since 1997.



Credit Suisse High Yield Bond Fund

Annual Investment Adviser's Report (continued)

October 31, 2011 (unaudited)

Credit Quality Breakdown*

(% of total investments as of 10/31/11)

S&P Ratings  
BBB     1.5 %  
BB     23.7    
B     58.1    
CCC     11.2    
CC     0.1    
D     1.1    
NR     2.5    
Subtotal     98.2    
Equity and Other     1.8    
Total     100.0 %  

 

*  Expressed as a percentage of total investments (excluding securities lending collateral if applicable) and may vary over time.

Average Annual Returns

October 31, 2011 (unaudited)

    1 Year   3 Years   5 Years   10 Years  
Net Asset Value (NAV)     6.84 %     25.69 %     4.23 %     8.75 %  
Market Value     12.51 %     30.70 %     4.26 %     8.24 %  

 

Credit Suisse currently waives fees and/or reimburses 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 changes 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 changes 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 share price and NAV. 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 and market price and NAV will fluctuate. Performance information current to the most recent month-end is available by calling 1-800-293-1232.


1




Credit Suisse High Yield Bond Fund

Schedule of Investments

October 31, 2011

Par
(000)
 
  Ratings†
(S&P/Moody's)
  Maturity   Rate%   Value  
CORPORATE BONDS (126.5%)      
Aerospace & Defense (0.5%)      
$ 1,000     Ducommun, Inc., Rule 144A, Senior Notes (Callable 07/15/15 @ $104.88) ‡   (B-, B3)   07/15/18     9.750     $ 1,035,000    
Auto Parts & Equipment (6.2%)      
  1,000     Affinia Group, Inc., Global Company Guaranteed Notes (Callable11/30/11 @ $101.50)   (CCC+, B3)   11/30/14     9.000       992,500    
  280     American Axle & Manufacturing Holdings, Inc., Rule 144A, Senior Secured Notes
(Callable 01/15/14 @ $104.63) ‡§
  (BB+, Ba1)   01/15/17     9.250       306,600    
  750     American Axle & Manufacturing, Inc., Company Guaranteed Notes (Callable 03/01/12 @ $103.94) §   (B, B2)   03/01/17     7.875       763,125    
  1,200     American Tire Distributors, Inc., Global Senior Secured Notes (Callable 06/01/13 @ $107.31)   (B-, B2)   06/01/17     9.750       1,215,000    
  750     Lear Corp., Company Guaranteed Notes (Callable 03/15/15 @ 104.06)   (BB, Ba2)   03/15/20     8.125       825,000    
  2,150     Mark IV USA SCA, Rule 144A, Senior Secured Notes (Callable 12/15/13 @ $106.66) ‡   (BB-, Ba3)   12/15/17     8.875       3,028,807    
  850     Meritor, Inc., Company Guaranteed Notes (Callable 03/15/14 @ $105.31)   (CCC+, B3)   03/15/18     10.625       881,875    
  1,950     Stanadyne Corp., Series 1, Global Senior Subordinated Notes (Callable 08/15/12 @ $100.00)   (CCC, Caa1)   08/15/14     10.000       1,857,375    
  2,100     Stoneridge, Inc., Rule 144A, Senior Secured Notes (Callable 10/15/14 @ $104.75) ‡   (BB-, B3)   10/15/17     9.500       2,168,250    
  1,175     UCI International, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.31)   (CCC+, B3)   02/15/19     8.625       1,163,250    
                  13,201,782    
Building & Construction (1.3%)      
  741     Ashton Woods Finance Co., Rule 144A, Company Guaranteed Notes
(Callable 02/24/14 @ $105.50) *+‡
  (NR, NR)   06/30/15     0.000       529,815    
  600     K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes   (CC, Caa3)   01/15/16     6.250       243,000    
  1,900     Tutor Perini Corp., Global Company Guaranteed Notes (Callable 11/01/14 @ 103.81)   (BB-, Ba3)   11/01/18     7.625       1,781,250    
  1,000     William Lyon Homes, Inc., Company Guaranteed Notes ø§   (D, C)   04/01/13     10.750       185,000    
                  2,739,065    
Building Materials (4.0%)      
  600     Associated Materials LLC, Global Senior Secured Notes (Callable 11/01/13 @ $106.84) §   (B, B3)   11/01/17     9.125       549,000    
  1,300     Euramax International, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/13 @ $107.13) ‡   (B-, Caa1)   04/01/16     9.500       1,111,500    
  1,750     Headwaters, Inc., Global Secured Notes (Callable 04/01/15 @ 103.81)   (B+, B2)   04/01/19     7.625       1,531,250    
  3,000     International Wire Group, Inc., Rule 144A, Senior Secured Notes (Callable 10/15/12 @ $104.88) ‡   (B, B3)   04/15/15     9.750       3,075,000    
  1,000     USG Corp., Rule 144A, Company Guaranteed Notes (Callable 10/15/14 @ $104.19) ‡   (BB-, B2)   10/15/18     8.375       900,000    
  1,000     Xefin Lux SCA, Rule 144A, Senior Secured Notes (Callable 06/01/14 @ $106.00) ‡   (B+, Ba3)   06/01/18     8.000       1,316,342    
                  8,483,092    
Chemicals (7.7%)      
  1,900     Ferro Corp., Senior Unsecured Notes (Callable 08/15/14 @ $103.94)   (B+, B1)   08/15/18     7.875       1,928,500    
  500     Hexion Nova Scotia Finance ULC, Secured Notes (Callable 11/15/15 @ $104.50)   (CCC+, NR)   11/15/20     9.000       438,750    
  400     Ineos Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/15/13 @ $104.50) ‡   (B, Ba3)   05/15/15     9.000       413,000    
  1,675     Ineos Group Holdings PLC, Rule 144A, Company Guaranteed Notes (Callable 02/15/12 @ $102.83) ‡   (CCC, Caa1)   02/15/16     8.500       1,423,750    
  1,000     JM Huber Corp., Rule 144A, Senior Unsecured Notes (Callable 11/01/15 @ $104.94) ‡   (BB-, B2)   11/01/19     9.875       1,020,000    
  682     Momentive Performance Materials, Inc., Global Company Guaranteed Notes
(Callable 12/15/11 @ $106.25)
  (CCC, B2)   06/15/14     12.500       726,330    
  2,000     Momentive Performance Materials, Inc., Global Secured Notes (Callable 01/15/16 @ 104.50)   (CCC, Caa1)   01/15/21     9.000       1,700,000    
  300     Nexeo Solutions Finance Corp., Rule 144A, Senior Subordinated Notes (Callable 03/01/14 @ $104.19) ‡   (B-, B3)   03/01/18     8.375       301,500    
  2,100     Omnova Solutions, Inc., Global Company Guaranteed Notes (Callable 11/01/14 @ $103.94)   (B-, B2)   11/01/18     7.875       1,821,750    
  2,216     OXEA Finance & Cy SCA, Rule 144A, Senior Secured Notes (Callable 07/15/13 @ $107.13) ‡   (B+, B2)   07/15/17     9.500       2,238,160    
  1,800     Polymer Group, Inc., Rule 144A, Senior Secured Notes (Callable 02/01/15 @ $103.88) ‡   (B, B1)   02/01/19     7.750       1,876,500    
  1,175     Reichhold Industries, Inc., Rule 144A, Senior Notes (Callable 08/15/12 @ $100.00) ‡   (CCC+, Caa2)   08/15/14     9.000       710,875    
  750     Styrolution GmbH, Rule 144A, Senior Secured Notes (Callable 05/15/13 @ 105.72) ‡   (B+, B2)   05/15/16     7.625       831,649    
  950     TPC Group LLC, Global Senior Secured Notes (Callable 10/01/13 @ 106.19)   (NR, B1)   10/01/17     8.250       966,625    
                  16,397,389    
Computer Hardware (1.8%)      
  3,750     Spansion LLC, Rule 144A, Company Guaranteed Notes (Callable 11/15/13 @ $103.94) ‡   (BB-, B3)   11/15/17     7.875       3,825,000    

 

See Accompanying Notes to Financial Statements.
2



Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2011

Par
(000)
 
  Ratings†
(S&P/Moody's)
  Maturity   Rate%   Value  
CORPORATE BONDS      
Consumer Products (2.7%)      
$ 2,000     NBTY, Inc., Global Company Guaranteed Notes (Callable 10/01/14 @ $104.50)   (B, B3)   10/01/18     9.000     $ 2,157,500    
  2,375     Prestige Brands, Inc., Global Company Guaranteed Notes (Callable 04/01/14 @ $104.13)   (B, B3)   04/01/18     8.250       2,434,375    
  1,100     Spectrum Brands Holdings, Inc., Global Senior Secured Notes (Callable 06/15/14 @ $104.75)   (B, B1)   06/15/18     9.500       1,226,500    
                  5,818,375    
Consumer/Commercial/Lease Financing (3.2%)      
  822     CIT Group, Inc., Rule 144A, Secured Notes (Callable 01/01/12 @ 100.00) ‡   (B+, B2)   05/04/15     7.000       823,027    
  380     CIT Group, Inc., Rule 144A, Secured Notes (Callable 01/01/12 @ 100.00) ‡   (B+, B2)   05/02/16     7.000       380,000    
  512     CIT Group, Inc., Rule 144A, Secured Notes (Callable 01/01/12 @ 100.00) ‡   (B+, B2)   05/02/17     7.000       511,360    
  1,290     International Lease Finance Corp., Global Senior Unsecured Notes   (BBB-, B1)   09/15/15     8.625       1,359,337    
  675     International Lease Finance Corp., Global Senior Unsecured Notes   (BBB-, B1)   03/15/17     8.750       713,138    
  650     PFG Finance Corp., Rule 144A, Senior Notes (Callable 02/15/15 @ $105.06) ‡   (B, B2)   02/15/19     10.125       614,250    
  2,300     PFG Finance Corp., Rule 144A, Senior Secured Notes (Callable 04/15/14 @ $105.13) ‡   (BB, Ba3)   04/15/17     10.250       2,311,500    
                  6,712,612    
Diversified Capital Goods (2.7%)      
  450     Belden, Inc., Global Company Guaranteed Notes (Callable 03/15/12 @ $103.50)   (B+, Ba2)   03/15/17     7.000       454,500    
  625     Belden, Inc., Global Company Guaranteed Notes (Callable 06/15/14 @ $104.63)   (B+, Ba2)   06/15/19     9.250       671,875    
  800     Coleman Cable, Inc., Global Company Guaranteed Notes (Callable 02/15/14 @ $104.50)   (B, B3)   02/15/18     9.000       796,000    
  1,500     FCC Holdings, Inc., Rule 144A, Notes (Callable 12/15/12 @ $106.00) ‡   (B-, Caa3)   12/15/15     12.000       1,305,000    
  950     Leucadia National Corp., Global Senior Unsecured Notes (Callable 03/15/12 @ $103.56)   (BB+, B1)   03/15/17     7.125       990,375    
  800     Mueller Water Products, Inc., Global Company Guaranteed Notes (Callable 09/01/15 @ $104.38)   (B+, B2)   09/01/20     8.750       856,000    
  575     Trimas Corp., Global Senior Secured Notes (Callable 12/15/13 @ $104.88)   (B-, B2)   12/15/17     9.750       618,125    
                  5,691,875    
Electric - Generation (2.7%)      
  1,475     Edison Mission Energy, Global Senior Unsecured Notes   (B-, Caa1)   05/15/17     7.000       1,039,875    
  675     Edison Mission Energy, Global Senior Unsecured Notes   (B-, Caa1)   05/15/19     7.200       452,250    
  1,175     Mirant Americas Pass Through Generation LLC, Senior Unsecured Notes   (BB-, B3)   10/01/21     8.500       1,157,375    
  625     NRG Energy, Inc., Company Guaranteed Notes (Callable 06/15/14 @ $104.25)   (BB-, B1)   06/15/19     8.500       656,250    
  775     NRG Energy, Inc., Global Company Guaranteed Notes (Callable 09/01/15 @ 104.13)   (BB-, B1)   09/01/20     8.250       806,000    
  2,925     TCEH Finance, Inc., LLC, Series A, Global Company Guaranteed Notes (Callable 11/01/11 @ $105.13) §   (D, Caa3)   11/01/15     10.250       1,155,375    
  1,175     TCEH Finance, Inc., LLC, Series B, Global Company Guaranteed Notes (Callable 11/01/11 @ $105.13) §   (D, Caa3)   11/01/15     10.250       458,250    
                  5,725,375    
Electric - Integrated (1.3%)      
  447     Mirant Mid Atlantic Pass Through Trust, Series B, Global Pass Thru Certificates   (BB-, Ba1)   06/30/17     9.125       460,577    
  550     The AES Corp., Global Senior Unsecured Notes   (BB-, B1)   04/15/16     9.750       627,000    
  675     The AES Corp., Global Senior Unsecured Notes   (BB-, B1)   10/15/17     8.000       744,188    
  900     The AES Corp., Rule 144A, Senior Notes ‡   (BB-, B1)   07/01/21     7.375       967,500    
                  2,799,265    
Electronics (1.6%)      
  1,500     CPI International, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ $104.00)   (CCC+, B3)   02/15/18     8.000       1,335,000    
  928     Freescale Semiconductor, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/14 @ $105.06) ‡§   (B, Ba3)   03/15/18     10.125       1,023,120    
  1,000     MEMC Electronic Materials, Inc., Global Company Guaranteed Notes (Callable 04/01/14 @ 105.81)   (BB, B1)   04/01/19     7.750       862,500    
  200     NXP Funding LLC, Rule 144A, Senior Secured Notes (Callable 08/01/14 @ $104.88) ‡   (B+, B2)   08/01/18     9.750       221,000    
                  3,441,620    
Energy - Exploration & Production (11.0%)      
  1,000     Carrizo Oil & Gas, Inc., Global Company Guaranteed Notes (Callable 10/15/14 @ $104.31)   (B-, B3)   10/15/18     8.625       1,020,000    
  850     Comstock Resources, Inc., Company Guaranteed Notes (Callable 04/01/15 @ $103.88)   (B, B2)   04/01/19     7.750       837,250    
  2,350     Comstock Resources, Inc., Company Guaranteed Notes (Callable 10/15/13 @ $104.19)   (B, B2)   10/15/17     8.375       2,420,500    
  50     Denbury Resources, Inc., Company Guaranteed Notes (Callable 03/01/13 @ $104.88)   (BB-, B1)   03/01/16     9.750       55,625    
  2,200     Energy Partners Ltd., Global Company Guaranteed Notes (Callable 02/15/15 @ $104.13)   (B-, Caa1)   02/15/18     8.250       2,079,000    
  950     Energy XXI Gulf Coast, Inc., Company Guaranteed Notes (Callable 12/15/14 @ $104.63)   (B, Caa1)   12/15/17     9.250       1,016,500    

 

See Accompanying Notes to Financial Statements.
3



Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2011

Par
(000)
 
  Ratings†
(S&P/Moody's)
  Maturity   Rate%   Value  
CORPORATE BONDS      
Energy - Exploration & Production      
$ 1,025     EXCO Resources, Inc., Company Guaranteed Notes (Callable 09/15/14 @ $103.75)   (B, B3)   09/15/18     7.500     $ 1,019,875    
  900     Linn Energy Finance Corp., Global Company Guaranteed Notes (Callable 09/15/15 @ $103.88)   (B, B2)   02/01/21     7.750       965,250    
  3,500     McMoRan Exploration Co., Company Guaranteed Notes (Callable 11/15/11 @ $105.94)   (B, Caa1)   11/15/14     11.875       3,727,500    
  1,250     Oasis Petroleum, Inc., Rule 144A, Senior Notes (Callable 02/01/15 @ $103.63) ‡   (B-, Caa1)   02/01/19     7.250       1,325,000    
  450     Penn Virginia Corp., Senior Notes (Callable 06/15/13 @ $105.19)   (BB-, B2)   06/15/16     10.375       492,750    
  1,525     Petrohawk Energy Corp., Global Company Guaranteed Notes (Callable 08/15/14 @ $103.63)   (BBB+, Baa3)   08/15/18     7.250       1,753,750    
  2,475     Pioneer Natural Resources Co., Senior Unsecured Notes   (BB+, Ba1)   01/15/20     7.500       2,814,642    
  800     Stone Energy Corp., Company Guaranteed Notes (Callable 02/01/14 @ $104.31)   (B, Caa1)   02/01/17     8.625       812,000    
  1,525     Stone Energy Corp., Global Senior Subordinated Notes (Callable 12/15/11 @ $101.13)   (CCC+, Caa2)   12/15/14     6.750       1,517,375    
  475     Swift Energy Co., Company Guaranteed Notes (Callable 06/01/12 @ $103.56)   (BB-, B3)   06/01/17     7.125       484,500    
  1,000     W&T Offshore, Inc., Rule 144A, Senior Notes (Callable 06/15/15 @ 104.25) ‡   (B, Caa1)   06/15/19     8.500       1,025,000    
                  23,366,517    
Environmental (2.4%)      
  1,000     ALBA Group PLC & Co. KG, Rule 144A, Senior Notes (Callable 05/15/14 @ 106.00) ‡   (B, B3)   05/15/18     8.000       1,374,269    
  1,100     Casella Waste Systems, Inc., Global Senior Secured Notes (Callable 07/15/12 @ $105.50)   (BB, B2)   07/15/14     11.000       1,193,500    
  900     Darling International, Inc., Global Company Guaranteed Notes (Callable 12/15/14 @ $104.25)   (BB, Ba3)   12/15/18     8.500       1,014,750    
  550     EnergySolutions LLC, Global Company Guaranteed Notes (Callable 08/15/14 @ 105.38)   (BB-, Caa1)   08/15/18     10.750       558,250    
  1,000     WCA Waste Corp., Rule 144A, Company Guaranteed Notes (Callable 06/15/14 @ 105.63) ‡   (B-, B3)   06/15/19     7.500       975,000    
                  5,115,769    
Food & Drug Retailers (0.6%)      
  700     Rite Aid Corp., Global Company Guaranteed Notes (Callable 06/15/12 @ $104.69)   (CCC, Caa3)   12/15/15     9.375       661,500    
  475     Rite Aid Corp., Global Senior Secured Notes (Callable 06/12/13 @ $104.88)   (B+, B3)   06/12/16     9.750       522,500    
                  1,184,000    
Food - Wholesale (2.2%)      
  2,650     Del Monte Foods Co., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/14 @ $103.81) ‡   (CCC+, B3)   02/15/19     7.625       2,530,750    
  2,075     Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 05/15/13 @ $105.63) ‡   (B+, B3)   05/15/15     11.250       2,178,750    
                  4,709,500    
Forestry & Paper (1.6%)      
  628     Boise Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/12 @ $100.00)   (B+, Caa1)   10/15/14     7.125       618,580    
  500     Smurfit Kappa Acquisitions, Rule 144A, Senior Secured Notes (Callable 11/15/13 @ $103.63) ‡   (BB, Ba2)   11/15/17     7.250       718,322    
  1,000     Smurfit Kappa Funding PLC, Global Senior Subordinated Notes (Callable 01/31/12 @ $101.29)   (B, B2)   04/01/15     7.750       1,005,000    
  950     Stone & Webster, Inc. *   (NR, NR)   07/01/12     0.000       26,125    
  300     Verso Paper, Inc., Global Secured Notes (Callable 02/01/15 @ $104.38)   (B, B2)   02/01/19     8.750       217,500    
  1,125     Verso Paper, Inc., Series B, Global Company Guaranteed Notes (Callable 08/01/12 @ $103.79) §   (CCC+, Caa1)   08/01/16     11.375       838,125    
                  3,423,652    
Gaming (8.3%)      
  775     Buffalo Thunder Development Authority, Rule 144A, Senior Secured Notes
(Callable 12/15/11 @ $102.34)ø ‡
  (NR, NR)   12/15/14     9.375       275,125    
  2,000     CCM Merger, Inc., Rule 144A, Notes ‡   (CCC+, Caa3)   08/01/13     8.000       1,910,000    
  973     Choctaw Resort Development Enterprise, Rule 144A, Senior Notes (Callable 11/15/11 @ $103.63) ‡   (CCC+, Caa3)   11/15/19     7.250       612,990    
  1,590     Chukchansi Economic Development Authority, Rule 144A, Senior Unsecured Notes
(Callable 11/15/11 @ $100.00) ‡
  (B-, Caa2)   11/15/13     8.000       1,045,425    
  1,500     Cirsa Funding Luxembourg SA, Rule 144A, Company Guaranteed Notes (Callable 05/15/14 @ $104.38) ‡   (B+, B3)   05/15/18     8.750       1,859,442    
  625     Fontainebleau Las Vegas Holdings LLC, Rule 144A, Second Mortgage Notes
(Callable 06/15/12 @ $105.13)ø ‡
  (NR, NR)   06/15/15     10.250       781    
  1,950     Great Canadian Gaming Corp., Rule 144A, Company Guaranteed Notes (Callable 02/15/12 @ $101.81) ‡§   (BB-, B2)   02/15/15     7.250       1,959,750    
  1,700     Greektown Superholdings, Inc., Series B, Global Senior Secured Notes (Callable 01/01/13 @ $106.50)   (NR, NR)   07/01/15     13.000       1,755,250    
  369     Inn of the Mountain Gods Resort & Casino, Rule 144A, Senior Secured Notes ‡   (NR, NR)   11/30/20     1.250       212,132    
  3,025     Jacobs Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/15/12 @ $100.00)   (B-, Caa1)   06/15/14     9.750       2,949,375    
  950     Majestic Star Casino Capital Corp., Senior Secured Notes ø   (NR, NR)   10/15/10     9.500       375,250    
  950     Peninsula Gaming LLC, Global Company Guaranteed Notes (Callable 08/15/13 @ $105.38)   (B, Caa1)   08/15/17     10.750       983,250    

 

See Accompanying Notes to Financial Statements.
4



Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2011

Par
(000)
 
  Ratings†
(S&P/Moody's)
  Maturity   Rate%   Value  
CORPORATE BONDS      
Gaming      
$ 1,425     Peninsula Gaming LLC, Global Senior Secured Notes (Callable 08/15/12 @ $104.19)   (BB, Ba3)   08/15/15     8.375     $ 1,471,313    
  670     Tropicana Finance Corp., Global Senior Subordinated Notes (Callable 12/15/11 @ $102.41) ø^   (NR, NR)   12/15/14     9.625       67    
  2,085     Tunica-Biloxi Gaming Authority, Rule 144A, Senior Unsecured Notes (Callable 11/15/11 @ $103.00) ‡   (B+, B2)   11/15/15     9.000       2,085,000    
                  17,495,150    
Gas Distribution (1.7%)      
  2,200     Genesis Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/14 @ $103.94) ‡   (B, B3)   12/15/18     7.875       2,145,000    
  600     Targa Resources Partners Finance Corp., Global Company Guaranteed Notes
(Callable 07/01/12 @ $104.13)
  (BB, B1)   07/01/16     8.250       633,000    
  875     Targa Resources Partners Finance Corp., Rule 144A, Company Guaranteed Notes
(Callable 02/01/16 @ $103.44) ‡
  (BB, B1)   02/01/21     6.875       868,438    
                  3,646,438    
Health Facilities (2.5%)      
  545     Bausch & Lomb, Inc., Global Senior Unsecured Notes (Callable 11/01/11 @ $104.94)   (B, Caa1)   11/01/15     9.875       574,975    
  450     Omega Healthcare Investors, Inc., Global Company Guaranteed Notes (Callable 10/15/15 @ $103.38)   (BB+, Ba2)   10/15/22     6.750       456,750    
  625     Radiation Therapy Services, Inc., Global Company Guaranteed Notes (Callable 04/15/14 @ $104.94)   (CCC+, B3)   04/15/17     9.875       523,438    
  1,950     Symbion, Inc., Rule 144A, Senior Secured Notes (Callable 06/15/14 @ 104.00) ‡   (B, B2)   06/15/16     8.000       1,828,125    
  900     Tenet Healthcare Corp., Global Senior Secured Notes (Callable 07/01/14 @ $104.44)   (BB-, B1)   07/01/19     8.875       1,021,500    
  250     Universal Hospital Services, Inc., Global Secured Notes (Callable 06/01/12 @ $102.13)   (B+, B3)   06/01/15     8.500       258,750    
  634     VWR Funding, Inc., Series B, Global Company Guaranteed Notes (Callable 07/15/12 @ $105.13)   (B-, Caa1)   07/15/15     10.250       665,437    
                  5,328,975    
Health Services (2.9%)      
  650     Capsugel FinanceCo SCA, Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ $107.41) ‡   (B, Caa1)   08/01/19     9.875       933,818    
  500     Emdeon, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/31/15 @ $105.50) ‡   (NR, Caa1)   12/31/19     11.000       522,500    
  675     inVentiv Health, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/14 @ $105.00) ‡   (CCC+, Caa2)   08/15/18     10.000       651,375    
  425     Service Corp. International, Senior Unsecured Notes   (BB-, Ba3)   11/15/21     8.000       470,156    
  2,025     STHI Holding Corp., Rule 144A, Secured Notes (Callable 03/15/14 @ $106.00) ‡   (B, B2)   03/15/18     8.000       2,075,625    
  1,500     Warner Chilcott Finance LLC, Global Company Guaranteed Notes (Callable 09/15/14 @ $103.88)   (BB, B3)   09/15/18     7.750       1,571,250    
                  6,224,724    
Leisure (1.5%)      
  400     Magnum Management Corp., Global Company Guaranteed Notes (Callable 08/01/14 @ 104.56)   (B-, B2)   08/01/18     9.125       436,000    
  2,000     Palace Entertainment Holdings Corp., Rule 144A, Senior Secured Notes (Callable 04/15/14 @ $104.44) ‡   (B-, B2)   04/15/17     8.875       1,970,000    
  650     Seven Seas Cruises S de RL LLC, Rule 144A, Secured Notes (Callable 05/15/15 @ $104.56) ‡   (B-, B3)   05/15/19     9.125       666,250    
                  3,072,250    
Machinery (0.9%)      
  525     CPM Holdings, Inc., Global Senior Secured Notes (Callable 09/01/12 @ 105.31)   (B+, B2)   09/01/14     10.625       561,750    
  1,000     Dematic SA, Rule 144A, Senior Secured Notes (Callable 05/01/13 @ 104.38) ‡   (B, B3)   05/01/16     8.750       990,000    
  250     Terex Corp., Senior Subordinated Notes (Callable 11/15/12 @ $104.00) §   (B, Caa1)   11/15/17     8.000       246,875    
                  1,798,625    
Media - Broadcast (2.9%)      
  795     Barrington Broadcasting Capital Corp., Global Company Guaranteed Notes (Callable 08/15/12 @ $100.00)   (CCC+, Caa1)   08/15/14     10.500       735,375    
  1,925     CCO Holdings Capital Corp., Global Company Guaranteed Notes (Callable 04/30/15 @ $104.06)   (BB-, B1)   04/30/20     8.125       2,093,438    
  350     Fisher Communications, Inc., Global Company Guaranteed Notes (Callable 09/15/12 @ $100.00)   (NR, B1)   09/15/14     8.625       351,750    
  2,900     Mission Broadcasting, Inc., Global Senior Secured Notes (Callable 04/15/14 @ $104.44)   (B, B3)   04/15/17     8.875       2,958,000    
                  6,138,563    
Media - Cable (5.4%)      
  1,375     Atlantic Broadband Finance LLC, Global Company Guaranteed Notes (Callable 01/15/12 @ $100.00)   (B-, B3)   01/15/14     9.375       1,378,437    
  75     Cablevision Systems Corp., Senior Unsecured Notes   (B+, B1)   04/15/18     7.750       78,750    
  1,150     Cablevision Systems Corp., Senior Unsecured Notes §   (B+, B1)   04/15/20     8.000       1,219,000    
  723     CCH II Capital Corp., Global Senior Notes (Callable 11/30/12 @ $106.75)   (B, B2)   11/30/16     13.500       836,852    
  1,950     Cequel Capital Corp., Rule 144A, Senior Unsecured Notes (Callable 11/15/12 @ $106.47) ‡   (B-, B3)   11/15/17     8.625       2,047,500    

 

See Accompanying Notes to Financial Statements.
5



Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2011

Par
(000)
 
  Ratings†
(S&P/Moody's)
  Maturity   Rate%   Value  
CORPORATE BONDS      
Media - Cable      
$ 525     CSC Holdings LLC, Global Senior Unsecured Notes   (BB, Ba3)   02/15/19     8.625     $ 598,500    
  1,500     DISH DBS Corp., Global Company Guaranteed Notes   (BB-, Ba2)   09/01/19     7.875       1,653,750    
  1,425     Insight Communications Co., Inc., Rule 144A, Senior Notes (Callable 07/15/13 @ $107.03) ‡   (B-, B3)   07/15/18     9.375       1,624,500    
  600     Kabel Baden-Wurttemberg GmbH & Co. KG, Rule 144A, Senior Secured Notes
(Callable 03/15/15 @ $103.75) ‡
  (B+, B1)   03/15/19     7.500       627,000    
  200     Unitymedia NRW GmbH, Rule 144A, Senior Secured Notes (Callable 12/01/12 @ $108.22) ‡   (BB-, B1)   12/01/17     8.125       291,513    
  1,000     Virgin Media Finance PLC, Global Company Guaranteed Notes (Callable 10/15/14 @ $104.19)   (BB-, Ba2)   10/15/19     8.375       1,117,500    
                  11,473,302    
Media - Diversified (1.4%)      
  2,225     Block Communications, Inc., Rule 144A, Senior Notes (Callable 12/15/11 @ $102.75) ‡   (B, B1)   12/15/15     8.250       2,258,375    
  600     Quebecor Media, Inc., Global Senior Unsecured Notes (Callable 03/15/12 @ $102.58)   (B+, B1)   03/15/16     7.750       622,500    
                  2,880,875    
Media - Services (1.3%)      
  150     Clear Channel Worldwide Holdings, Inc., Global Company Guaranteed Notes (Callable 12/15/12 @ $106.94)   (B, B2)   12/15/17     9.250       162,750    
  1,500     Clear Channel Worldwide Holdings, Inc., Series B, Global Company Guaranteed Notes
(Callable 12/15/12 @ $106.94)
  (B, B2)   12/15/17     9.250       1,635,000    
  600     SGS International, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $100.00)   (B, B2)   12/15/13     12.000       609,000    
  400     WMG Acquisition Corp., Global Senior Secured Notes (Callable 06/15/13 @ $104.75)   (BB-, Ba2)   06/15/16     9.500       426,000    
                  2,832,750    
Medical Products (0.6%)      
  1,250     Giant Funding Corp., Rule 144A, Secured Notes (Callable 02/01/14 @ $106.19) ‡   (B, B3)   02/01/18     8.250       1,321,875    
Metals & Mining - Excluding Steel (2.4%)      
  350     Calcipar SA, Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 103.44) ‡   (BB-, B1)   05/01/18     6.875       327,250    
  600     FMG Resources August 2006 Pty Ltd., Rule 144A, Senior Notes (Callable 11/01/15 @ 104.13) ‡   (B+, B1)   11/01/19     8.250       609,000    
  1,630     Noranda Aluminium Acquisition Corp., Global Company Guaranteed Notes#   (B, B2)   05/15/15     4.417       1,515,959    
  225     Old AII, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $102.25) ø   (NR, NR)   12/15/14     9.000       22    
  1,100     Old AII, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $105.00) ø   (NR, NR)   12/15/16     10.000       110    
  1,400     Taseko Mines Ltd., Company Guaranteed Notes (Callable 04/15/15 @ 103.88)   (B, B3)   04/15/19     7.750       1,316,000    
  1,600     Xinergy Corp., Rule 144A, Senior Secured Notes (Callable 05/15/15 @ 104.63) ‡   (B-, Caa1)   05/15/19     9.250       1,352,000    
                  5,120,341    
Oil Field Equipment & Services (6.2%)      
  900     Edgen Murray Corp., Global Senior Secured Notes (Callable 01/15/13 @ $106.13) §   (B-, Caa3)   01/15/15     12.250       855,000    
  2,325     Frac Tech Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/14 @ $103.56) ‡   (BB, Ba3)   11/15/18     7.625       2,441,250    
  1,300     Helix Energy Solutions Group, Inc., Rule 144A, Company Guaranteed Notes
(Callable 01/15/12 @ $104.75) ‡
  (B-, B3)   01/15/16     9.500       1,371,500    
  300     Hornbeck Offshore Services, Inc., Global Company Guaranteed Notes (Callable 09/01/13 @ $104.00)   (B+, Ba3)   09/01/17     8.000       304,500    
  350     Hornbeck Offshore Services, Inc., Series B, Global Company Guaranteed Notes
(Callable 12/01/11 @ $101.02)
  (B+, Ba3)   12/01/14     6.125       354,375    
  950     Offshore Group Investments, Ltd., Global Senior Secured Notes (Callable 02/01/13 @ $108.63)   (B-, B3)   08/01/15     11.500       1,040,250    
  700     Offshore Group Investments, Ltd., Rule 144A, Senior Secured Notes (Callable 02/01/13 @ $108.63) ‡   (B-, B3)   08/01/15     11.500       766,500    
  625     Parker Drilling Co., Global Company Guaranteed Notes (Callable 04/01/14 @ $104.56)   (B+, B1)   04/01/18     9.125       657,812    
  2,000     Pioneer Drilling Co., Global Company Guaranteed Notes (Callable 03/15/14 @ $104.94)   (B, NR)   03/15/18     9.875       2,090,000    
  505     Thermon Industries, Inc., Global Secured Notes (Callable 05/01/14 @ 104.75)   (B+, B1)   05/01/17     9.500       547,925    
  2,500     Trinidad Drilling, Ltd., Rule 144A, Senior Unsecured Notes (Callable 01/15/15 @ $103.94) ‡   (BB-, B2)   01/15/19     7.875       2,631,250    
                  13,060,362    
Oil Refining & Marketing (3.0%)      
  183     Coffeyville Finance, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/12 @ $106.75) ‡   (BB, Ba3)   04/01/15     9.000       198,097    
  2,600     Coffeyville Finance, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/13 @ $108.16) ‡   (BB-, B3)   04/01/17     10.875       2,957,500    
  1,300     Northern Tier Finance Corp., Rule 144A, Senior Secured Notes (Callable 12/01/13 @ $107.88) ‡   (BB-, B1)   12/01/17     10.500       1,433,250    
  500     Tesoro Corp., Company Guaranteed Notes (Callable 06/01/14 @ $104.88)   (BB+, Ba1)   06/01/19     9.750       565,000    
  1,050     Western Refining, Inc., Rule 144A, Senior Secured Notes (Callable 12/15/11 @ $105.00) #‡   (B, B3)   06/15/14     10.750       1,113,000    
                  6,266,847    

 

See Accompanying Notes to Financial Statements.
6



Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2011

Par
(000)
 
  Ratings†
(S&P/Moody's)
  Maturity   Rate%   Value  
CORPORATE BONDS      
Packaging (5.3%)      
$ 850     Ardagh Glass Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 06/15/12 @ $103.56) ‡   (B-, B3)   06/15/17     7.125     $ 1,087,769    
  700     Ardagh Packaging Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 10/15/15 @ $104.63) ‡   (B-, B3)   10/15/20     9.250       921,439    
  825     Ardagh Packaging Finance PLC, Rule 144A, Senior Secured Notes (Callable 10/15/14 @ $103.69) ‡   (BB-, Ba3)   10/15/17     7.375       1,149,271    
  525     Berry Plastics Corp., Global Senior Secured Notes (Callable 11/15/12 @ $104.13)   (B, B1)   11/15/15     8.250       556,500    
  625     BWAY Holding Co., Global Company Guaranteed Notes (Callable 06/15/14 @ 105.00)   (CCC+, B3)   06/15/18     10.000       643,750    
  1,000     Pregis Corp., Global Secured Notes #   (B, B2)   04/15/13     6.572       1,366,904    
  1,135     Pregis Corp., Global Secured Notes #   (B, B2)   04/15/13     6.572       1,551,435    
  2,475     Reynolds Group Issuer LLC, Rule 144A, Senior Notes (Callable 10/15/14 @ $104.50) ‡   (B-, Caa1)   04/15/19     9.000       2,400,750    
  700     Reynolds Group Issuer LLC, Rule 144A, Senior Secured Notes (Callable 10/15/12 @ $103.88) ‡   (BB-, Ba3)   10/15/16     8.750       739,375    
  300     Reynolds Group Issuer LLC, Rule 144A, Senior Secured Notes (Callable 10/15/14 @ $103.56) ‡   (BB-, Ba3)   04/15/19     7.125       307,500    
  500     Sealed Air Corp., Rule 144A, Senior Unsecured Notes (Callable 09/15/16 @ $104.19) ‡   (BB, B1)   09/15/21     8.375       542,500    
                  11,267,193    
Pharmaceuticals (0.6%)      
  1,000     ConvaTec Healthcare E SA, Rule 144A, Senior Unsecured Notes (Callable 12/15/14 @ $105.25) ‡   (B, Caa1)   12/15/18     10.500       967,500    
  211     QHP Royalty Sub LLC, Rule 144A, Senior Secured Notes ‡   (NR, NR)   03/15/15     10.250       214,868    
                  1,182,368    
Printing & Publishing (0.7%)      
  1,000     Cenveo Corp., Global Senior Subordinated Notes (Callable 12/01/11 @ $100.00)   (CCC+, Caa2)   12/01/13     7.875       830,000    
  875     The Reader's Digest Association, Inc., Global Senior Secured Notes (Callable 02/15/13 @ $104.00) #   (CCC, B3)   02/15/17     9.500       704,375    
                  1,534,375    
Real Estate Development & Management (0.6%)      
  1,300     Icahn Enterprises LP, Rule 144A, Senior Unsecured Notes #‡   (NR, NR)   08/15/13     4.000       1,222,000    
Real Estate Investment Trusts (2.6%)      
  2,850     CNL Lifestyle Properties, Inc., Global Company Guaranteed Notes (Callable 04/15/15 @ $103.63)   (BB-, Ba3)   04/15/19     7.250       2,579,250    
  500     MPT Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/16 @ 103.44) ‡   (BB, Ba2)   05/01/21     6.875       500,000    
  2,500     Sabra Capital Corp., Global Company Guaranteed Notes (Callable 11/01/14 @ $104.06)   (BB-, B2)   11/01/18     8.125       2,475,000    
                  5,554,250    
Restaurants (3.1%)      
  1,867     CKE Restaurants, Inc., Global Senior Secured Notes (Callable 07/15/14 @ $105.69) §   (B-, B2)   07/15/18     11.375       2,016,360    
  2,050     HOA Finance Corp., Rule 144A, Senior Secured Notes (Callable 04/01/14 @ $105.63) ‡   (B, B3)   04/01/17     11.250       1,875,750    
  3,100     Real Mex Restaurants, Inc., Global Senior Secured Notes (Callable 07/01/12 @ $100.00) ø   (D, NR)   01/01/13     14.000       1,488,000    
  1,250     Sizzling Platter LLC, Rule 144A, Senior Secured Notes (Callable 04/15/14 @ 106.13) ‡   (B-, Caa1)   04/15/16     12.250       1,281,250    
                  6,661,360    
Software/Services (2.1%)      
  1,600     Eagle Parent, Inc., Rule 144A, Senior Notes (Callable 05/01/15 @ 104.31) ‡   (CCC+, Caa1)   05/01/19     8.625       1,504,000    
  625     First Data Corp., Rule 144A, Senior Secured Notes (Callable 06/15/15 @ $103.69) ‡   (B+, B1)   06/15/19     7.375       621,875    
  600     SSI Co-Issuer LLC, Global Company Guaranteed Notes (Callable 06/01/14 @ $105.56)   (CCC+, Caa1)   06/01/18     11.125       636,000    
  1,600     SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 11/15/13 @ 105.53)   (B, Caa1)   11/15/18     7.375       1,644,000    
                  4,405,875    
Specialty Retail (1.6%)      
  500     Academy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ $106.94) ‡   (CCC+, Caa1)   08/01/19     9.250       505,000    
  1,300     Brown Shoe Co., Inc., Global Company Guaranteed Notes (Callable 05/15/14 @ $105.34)   (B+, B3)   05/15/19     7.125       1,196,000    
  1,250     Ontex IV SA, Rule 144A, Senior Secured Notes (Callable 04/15/14 @ $ 103.25) ‡   (B+, Ba3)   04/15/18     7.500       1,651,965    
                  3,352,965    
Steel Producers/Products (1.0%)      
  900     JMC Steel Group, Rule 144A, Senior Notes (Callable 03/15/14 @ $ 106.19) ‡   (B, B3)   03/15/18     8.250       895,500    
  700     Ryerson, Inc., Global Senior Secured Notes (Callable 11/01/11 @ $106.00)   (CCC+, Caa1)   11/01/15     12.000       717,500    
  525     Tube City IMS Corp., Global Company Guaranteed Notes (Callable 02/01/12 @ $102.44)   (B-, Caa1)   02/01/15     9.750       525,000    
                  2,138,000    

 

See Accompanying Notes to Financial Statements.
7



Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2011

Par
(000)
 
  Ratings†
(S&P/Moody's)
  Maturity   Rate%   Value  
CORPORATE BONDS      
Support - Services (4.7%)      
$ 800     Ashtead Capital, Inc., Rule 144A, Secured Notes (Callable 08/15/12 @ $103.00) ‡   (B+, B2)   08/15/16     9.000     $ 836,000    
  250     Audatex North America, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/14 @ 103.38) ‡   (BB-, Ba2)   06/15/18     6.750       255,000    
  1,700     Brickman Group Holdings, Inc., Rule 144A, Senior Notes (Callable 11/01/13 @ $106.84) ‡   (CCC+, B3)   11/01/18     9.125       1,555,500    
  1,850     CoreLogic, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/16 @ $103.63) ‡   (B+, Ba3)   06/01/21     7.250       1,766,750    
  1,475     Garda World Security Corp., Rule 144A, Senior Unsecured Notes (Callable 03/15/14 @ $104.88) ‡   (B, B2)   03/15/17     9.750       1,504,500    
  1,975     Maxim Crane Works LP, Rule 144A, Senior Secured Notes (Callable 04/15/12 @ $109.19) ‡   (B, Caa1)   04/15/15     12.250       1,807,125    
  625     RSC Holdings III LLC, Global Company Guaranteed Notes (Callable 02/01/16 @ 104.13)   (B-, Caa1)   02/01/21     8.250       637,500    
  550     The Geo Group, Inc., Global Company Guaranteed Notes (Callable 10/15/13 @ $103.88)   (B+, B1)   10/15/17     7.750       580,250    
  625     The Geo Group, Inc., Global Company Guaranteed Notes (Callable 02/15/16 @ $103.31)   (B+, B1)   02/15/21     6.625       625,000    
  300     United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 06/15/13 @ $105.44)   (B, B3)   06/15/16     10.875       340,500    
                  9,908,125    
Telecom - Integrated/Services (1.1%)      
  550     Hellas Telecommunications II SCA, Rule 144A, Subordinated Notes ø#^‡   (NR, NR)   01/15/15     6.034       0    
  1,100     Intelsat Jackson Holdings SA, Rule 144A, Company Guaranteed Notes (Callable 04/01/15 @ $103.63) ‡   (B, B3)   04/01/19     7.250       1,108,250    
  1,250     Intelsat Jackson Holdings SA, Rule 144A, Company Guaranteed Notes (Callable 04/01/16 @ $103.75) ‡   (B, B3)   04/01/21     7.500       1,259,375    
                  2,367,625    
Telecom - Wireless (1.1%)      
  250     Cricket Communications, Inc., Global Senior Secured Notes (Callable 05/15/12 @ $105.81)   (B+, Ba2)   05/15/16     7.750       260,625    
  800     GeoEye, Inc., Global Senior Secured Notes (Callable 10/01/13 @ $104.81)   (BB-, Ba3)   10/01/15     9.625       900,000    
  300     GeoEye, Inc., Senior Secured Notes (Callable 10/01/13 @ $104.31)   (B-, B3)   10/01/16     8.625       319,500    
  750     Wind Acquisition Finance SA, Rule 144A, Company Guaranteed Notes (Callable 07/15/13 @ $105.88) ‡   (BB-, B2)   07/15/17     11.750       906,170    
                  2,386,295    
Telecommunications Equipment (1.7%)      
  1,950     Avaya, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/15 @ $103.50) ‡   (B, B1)   04/01/19     7.000       1,881,750    
  1,700     Brightstar Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/14 @ $104.75) ‡   (BB-, B1)   12/01/16     9.500       1,725,500    
                  3,607,250    
Textiles & Apparel (0.0%)      
  75     IT Holding Finance SA, Rule 144A, Company Guaranteed Notes ø‡   (NR, NR)   11/15/12     9.875       5,231    
Theaters & Entertainment (3.5%)      
  3,365     AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 03/01/12 @ $100.00)   (CCC+, Caa1)   03/01/14     8.000       3,348,175    
  750     AMC Entertainment, Inc., Global Senior Unsecured Notes (Callable 06/01/14 @ $104.38)   (B-, B1)   06/01/19     8.750       796,875    
  600     National CineMedia LLC, Senior Unsecured Notes (Callable 07/15/16 @ $103.94)   (B, B2)   07/15/21     7.875       609,000    
  2,500     Regal Entertainment Group, Company Guaranteed Notes (Callable 08/15/14 @ $104.56)   (B-, B3)   08/15/18     9.125       2,687,500    
                  7,441,550    
Tobacco (0.9%)      
  1,850     Vector Group, Ltd., Global Senior Secured Notes (Callable 08/15/12 @ $103.67)   (B+, B1)   08/15/15     11.000       1,914,750    
Transportation - Excluding Air/Rail (1.4%)      
  650     Navios Maritime Holdings Finance II US, Inc., Global Company Guaranteed Notes
(Callable 02/15/15 @ $104.06)
  (B+, B3)   02/15/19     8.125       515,125    
  2,130     Ship Finance International, Ltd., Global Company Guaranteed Notes (Callable 12/15/11 @ $100.00)   (B+, B1)   12/15/13     8.500       2,044,800    
  500     Teekay Corp., Global Senior Unsecured Notes   (BB, B2)   01/15/20     8.500       485,000    
                  3,044,925    
TOTAL CORPORATE BONDS (Cost $275,885,323)                 268,325,102    
BANK LOANS (9.7%)      
Aerospace & Defense (1.3%)      
  2,047     London Acquisition Holdings B.V. #   (B, B1)   05/12/14     13.831       2,826,320    
Chemicals (0.8%)      
  1,764     PQ Corp. #   (B+, B3)   07/30/14     3.680       1,673,638    

 

See Accompanying Notes to Financial Statements.
8



Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2011

Par
(000)
 
  Ratings†
(S&P/Moody's)
  Maturity   Rate%   Value  
BANK LOANS      
Environmental (0.4%)      
$ 941     EnviroSolutions Real Property Holdings, Inc. #   (CCC-, Caa1)   07/29/14     8.000     $ 916,861    
Health Services (0.9%)      
  1,492     Onex Carestream Finance LP #   (BB-, B1)   02/25/17     5.000       1,348,468    
  157     Warner Chilcott Corp. #   (BBB-, Ba3)   03/15/18     4.250       155,854    
  114     Warner Chilcott Corp. #   (BBB-, Ba3)   03/15/18     4.250       113,349    
  228     Warner Chilcott Corp. #   (BBB-, Ba3)   03/15/18     4.250       226,698    
                  1,844,369    
lnvestments & Misc. Financial Services (1.2%)      
  2,500     BNY Convergex Group LLC #   (B-, B2)   12/18/17     8.750       2,491,662    
Media - Diversified (0.7%)      
  1,088     Flint Group Holdings Sarl #   (B-, B2)   12/31/14     6.926       854,255    
  859     Flint Group Holdings Sarl #   (B-, B2)   06/30/16     6.926       702,454    
                  1,556,709    
Metals & Mining - Excluding Steel (1.2%)      
  498     American Rock Salt Co. LLC #   (B+, B3)   04/25/17     5.500       488,794    
  1,979     Global Brass & Copper, Inc. #   (B, B2)   08/18/15     10.250       1,979,047    
                  2,467,841    
Oil Field Equipment & Services (0.4%)      
  1,200     Amtrol, Inc. #   (NR, NR)   12/05/14     4.896       906,000    
Packaging (0.5%)      
  999     Hilex Poly Co. LLC #   (B, B3)   11/19/15     11.250       982,766    
Printing & Publishing (0.2%)      
  1,750     Yell Group PLC #   (B-, B2)   07/31/14     3.996       515,708    
Software/Services (0.9%)      
  2,000     SafeNet, Inc. #   (B-, Caa1)   04/12/15     6.246 – 6.249       1,898,760    
Telecom - Integrated/Services (0.7%)      
  1,542     Mobsat Group Holding Sarl #   (B+, B1)   09/05/17     5.330 – 5.500       1,542,477    
Telecommunications Equipment (0.5%)      
  349     Avaya, Inc. #   (B, B1)   10/24/14     3.064       334,008    
  701     Avaya, Inc. #   (B, B1)   10/26/17     4.814       642,437    
                  976,445    
TOTAL BANK LOANS (Cost $21,303,778)                 20,599,556    
Number
of Shares
                     
COMMON STOCKS (0.4%)      
Building Materials (0.0%)      
  619     Dayton Superior Corp. *^                 0    
  437     Nortek, Inc. *                 8,740    
                  8,740    
Chemicals (0.0%)      
  4,893     Huntsman Corp.                 57,444    
Forestry & Paper (0.1%)      
  11,000     AbitibiBowater, Inc. *§                 187,000    

 

See Accompanying Notes to Financial Statements.
9



Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2011

Number
of Shares
 
 
 
 
  Value  
COMMON STOCKS      
Leisure (0.3%)      
  18,392     Six Flags Entertainment Corp. §                     $ 660,273    
Printing & Publishing (0.0%)      
  1,322     SuperMedia, Inc. *§                       2,287    
TOTAL COMMON STOCKS (Cost $2,231,975)                 915,744    
PREFERRED STOCKS (0.2%)      
Banks (0.2%)      
  473     Ally Financial, Inc., Rule 144A (Callable 12/31/11 @ $1,000) ‡                       352,784    
Building Materials (0.0%)      
  688     Dayton Superior Corp. *^                       0    
TOTAL PREFERRED STOCKS (Cost $347,106)                 352,784    
WARRANTS (0.1%)      
Building Materials (0.0%)      
  1,152     Nortek, Inc., strike price $1.00, expires 12/07/14 *§                       1,279    
Media - Broadcast (0.1%)      
  19,721     CNB Capital Trust I, Rule 144A, strike price $0.00, expires 03/23/19 *^                       118,523    
Printing & Publishing (0.0%)      
  5,735     The Readers Digest Association, Inc., strike price $0.00, expires 02/19/14 *                       0    
TOTAL WARRANTS (Cost $1,152)                 119,802    
SHORT-TERM INVESTMENTS (5.7%)      
  7,653,298     State Street Navigator Prime Portfolio, 0.23% §§                       7,653,298    
Par
(000)
 
 
 
Maturity
 
Rate%
 
 
$ 4,509     State Street Bank and Trust Co. Euro Time Deposit       11/01/11     0.010       4,509,000    
TOTAL SHORT-TERM INVESTMENTS (Cost $12,162,298)                 12,162,298    
TOTAL INVESTMENTS AT VALUE (142.6%) (Cost $311,931,632)     302,475,286    
LIABILITIES IN EXCESS OF OTHER ASSETS (-42.6%)     (90,350,864 )  
NET ASSETS (100.0%)   $ 212,124,422    

 

INVESTMENT ABBREVIATION

NR = Not Rated

†  Credit ratings given by the Standard & Poor's Division of The McGraw-Hill Companies, Inc. ("S&P") and Moody's Investors Service, Inc. ("Moody's") are unaudited.

‡  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 October 31, 2011, these securities amounted to a value of $123,730,979 or 58.3% of net assets.

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

#  Variable rate obligations - The interest rate is the rate as of October 31, 2011.

+  Step Bond - The interest rate is as of October 31, 2011 and will reset at a future date.

ø  Bond is currently in default.

*  Non-income producing security.

§  Security or portion thereof is out on loan.

§§  Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at October 31, 2011.

 

See Accompanying Notes to Financial Statements.
10




Credit Suisse High Yield Bond Fund

Statement of Assets and Liabilities

October 31, 2011

Assets  
Investments at value, including collateral for securities on loan of $7,653,298 (Cost $311,931,632) (Note 2)   $ 302,475,286 1   
Cash     3,050,167    
Foreign currency at value (Cost $142,514)     144,047    
Dividend and interest receivable     6,503,124    
Receivable for investments sold     530,086    
Prepaid expenses and other assets     12,706    
Total Assets     312,715,416    
Liabilities  
Advisory fee payable (Note 3)     202,675    
Administrative services fee payable (Note 3)     24,529    
Loan payable (Note 4)     89,000,000    
Payable upon return of securities loaned (Note 2)     7,653,298    
Payable for investments purchased     2,729,955    
Unrealized depreciation on forward currency contracts (Note 2)     702,440    
Interest payable     159,940    
Trustees' fee payable     37,969    
Other accrued expenses payable     80,188    
Total Liabilities     100,590,994    
Net Assets  
Applicable to 75,228,035 shares outstanding   $ 212,124,422    
Net Assets  
Capital stock, $.001 par value (Note 6)   $ 75,228    
Paid-in capital (Note 6)     310,295,893    
Accumulated net investment loss     (1,041,808 )  
Accumulated net realized loss on investments and foreign currency transactions     (87,043,502 )  
Net unrealized depreciation from investments and foreign currency translations     (10,161,389 )  
Net Assets   $ 212,124,422    
Net Asset Value Per Share ($212,124,422 / 75,228,035)   $ 2.82    
Market Price Per Share   $ 2.95    

 

1  Including $7,465,858 of securities on loan.

 

See Accompanying Notes to Financial Statements.
11



Credit Suisse High Yield Bond Fund

Statement of Operations

For the Year Ended October 31, 2011

Investment Income (Note 2)  
Interest   $ 27,939,749    
Dividends     83,371    
Securities lending     87,169    
Foreign taxes withheld     (41 )  
Total investment income     28,110,248    
Expenses  
Investment advisory fees (Note 3)     2,974,576    
Administrative services fees (Note 3)     141,111    
Interest expense (Note 4)     1,202,016    
Commitment fees (Note 4)     201,331    
Trustees' fees     103,325    
Printing fees (Note 3)     71,811    
Legal fees     60,255    
Audit and tax fees     40,700    
Custodian fees     30,243    
Transfer agent fees     21,971    
Insurance expense     10,447    
Miscellaneous expense     1,813    
Total expenses     4,859,599    
Less: fees waived (Note 3)     (428,509 )  
Net expenses     4,431,090    
Net investment income     23,679,158    
Net Realized and Unrealized Gain (Loss) from Investments and Foreign Currency Related Items  
Net realized gain from investments     5,142,740    
Net realized gain from foreign currency transactions     89,695    
Net change in unrealized appreciation (depreciation) from investments     (13,058,008 )  
Net change in unrealized appreciation (depreciation) from foreign currency translations     (786,591 )  
Net realized and unrealized loss from investments and foreign currency related items     (8,612,164 )  
Net increase in net assets resulting from operations   $ 15,066,994    

 

See Accompanying Notes to Financial Statements.
12



Credit Suisse High Yield Bond Fund

Statements of Changes in Net Assets

    For the Year
Ended
October 31, 2011
  For the Year
Ended
October 31, 2010
 
From Operations  
Net investment income   $ 23,679,158     $ 16,713,278    
Net realized gain (loss) from investments and foreign currency transactions     5,232,435       (2,784,642 )  
Net change in unrealized appreciation (depreciation) from investments and foreign
currency translations
    (13,844,599 )     21,291,302    
Net increase in net assets resulting from operations     15,066,994       35,219,938    
From Dividends and Distributions  
Dividends from net investment income     (23,874,498 )     (17,200,723 )  
Distributions from return of capital           (631,150 )  
Net decrease in net assets resulting from dividends and distributions     (23,874,498 )     (17,831,873 )  
From Capital Share Transactions (Note 6)  
Issuance of 16,879 shares and 38,696 shares through the directors
compensation plan (Note 3)
    50,035       109,406    
Net proceeds from rights offering (Note 8)           50,932,277    
Offering costs (Note 8)     (62,923 )     (485,000 )  
Reinvestment of dividends     797,400       656,845    
Net increase in net assets from capital share transactions     784,512       51,213,528    
Net increase (decrease) in net assets     (8,022,992 )     68,601,593    
Net Assets  
Beginning of year     220,147,414       151,545,821    
End of year   $ 212,124,422     $ 220,147,414    
Accumulated net investment loss   $ (1,041,808 )   $ (1,241,251 )  

 

See Accompanying Notes to Financial Statements.
13



Credit Suisse High Yield Bond Fund

Statement of Cash Flows

For the Year Ended October 31, 2011

Cash flows from operating activities  
Investment income received   $ 26,150,508          
Operating expenses paid     (4,419,769 )        
Purchases of long-term securities     (332,042,097 )        
Proceeds from sales of long-term securities     292,925,118          
Sales of short-term securities, net     14,861,000          
Net cash used in operating activities       $ (2,525,240 )  
Cash flows from financing activities  
Increase in loan payable     28,500,000          
Proceeds from issuance of shares     50,035          
Offering costs     (62,923 )        
Cash dividends paid     (23,077,098 )        
Net cash provided by financing activities         5,410,014    
Effect of exchange rate on cash         68,874    
Net increase in cash         2,953,648    
Cash — beginning of year         240,566    
Cash — end of year       $ 3,194,214    
RECONCILIATION OF NET INCREASE IN NET ASSETS
FROM OPERATIONS TO NET CASH USED IN
OPERATING ACTIVITIES
 
Net increase in net assets resulting from operations       $ 15,066,994    
Adjustments to reconcile net increase in net assets from
operations to net cash used in operating activities
 
Change in interest receivable   $ (1,042,502 )        
Change in accrued expenses     (5,022 )        
Change in interest payable     (11,463 )        
Change in prepaid expenses and other assets     1,103          
Change in advisory fees payable     26,703          
Net amortization of discount on investments     (917,238 )        
Purchases of long-term securities     (332,042,097 )        
Proceeds from sales of long-term securities     292,925,118          
Sales of short-term securities, net     14,861,000          
Net change in unrealized depreciation from investments and foreign currency
translations
    13,844,599          
Net realized gain from investments and foreign currency transactions     (5,232,435 )        
Total adjustments           (17,592,234 )  
Net cash used in operating activities       $ (2,525,240 )  
Non-cash activity:  
Issuance of shares through dividend reinvestments       $ 797,400    

 

See Accompanying Notes to Financial Statements.
14



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Credit Suisse High Yield Bond Fund

Financial Highlights

    For the Year Ended  
Per share operating performance   10/31/11   10/31/10   10/31/09   10/31/08   10/31/07  
Net asset value, beginning of year   $ 2.94     $ 2.71     $ 2.09     $ 4.10     $ 4.18    
INVESTMENT OPERATIONS  
Net investment income     0.32       0.30       0.28       0.401       0.401    
Net gain (loss) on investments, swap contracts and foreign currency related items
(both realized and unrealized)
    (0.12 )     0.32       0.68       (2.00 )     (0.08 )  
Total from investment activities     0.20       0.62       0.96       (1.60 )     0.32    
LESS DIVIDENDS AND DISTRIBUTIONS  
Dividends from net investment income     (0.32 )     (0.31 )     (0.33 )     (0.41 )     (0.40 )  
Return of capital           (0.01 )     (0.01 )              
Total dividends and distributions     (0.32 )     (0.32 )     (0.34 )     (0.41 )     (0.40 )  
CAPITAL SHARE TRANSACTIONS  
Decrease to Net Asset Value due to Shares Issued through Rights Offering           (0.07 )                    
Net asset value, end of year   $ 2.82     $ 2.94     $ 2.71     $ 2.09     $ 4.10    
Per share market value, end of year   $ 2.95     $ 2.92     $ 2.62     $ 1.97     $ 3.65    
TOTAL INVESTMENT RETURN 2  
Net asset value     6.84 %     21.32 %     53.12 %     (42.45 )%     7.65 %  
Market value     12.51 %     24.11 %     59.92 %     (38.20 )%     (10.72 )%  
RATIOS AND SUPPLEMENTAL DATA  
Net assets, end of year (000s omitted)   $ 212,124     $ 220,147     $ 151,546     $ 116,492     $ 228,724    
Average debt per share   $ 1.22     $ 0.69     $ 0.58     $ 1.69     $ 1.98    
Ratio of expenses to average net assets     2.00 %     2.05 %     2.67 %     3.76 %     4.11 %  
Ratio of expenses to average net assets excluding interest expense     1.46 %     1.52 %     1.80 %     1.50 %     1.37 %  
Ratio of net investment income to average net assets     10.70 %     10.40 %     13.32 %     11.68 %     9.48 %  
Decrease reflected in above operating expense ratios due to waivers/reimbursements     0.19 %     0.15 %     0.15 %     0.15 %     0.15 %  
Portfolio turnover rate     66.00 %     62.00 %     49.00 %     32.01 %     49.18 %  

 

1  Per share information is calculated using the average shares outstanding method.

2  Total investment return at net asset value is based on changes 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 changes 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 share price and NAV.

3  Unaudited.

 

See Accompanying Notes to Financial Statements.
16



   
Per share operating performance   10/31/06   10/31/05   10/31/04   10/31/03   10/31/02  
Net asset value, beginning of year   $ 4.12     $ 4.53     $ 4.34     $ 3.53     $ 4.49    
INVESTMENT OPERATIONS  
Net investment income     0.40       0.47       0.53       0.55       0.651    
Net gain (loss) on investments, swap contracts and foreign currency related items
(both realized and unrealized)
    0.11       (0.35 )     0.24       0.87       (0.80 )  
Total from investment activities     0.51       0.12       0.77       1.42       (0.15 )  
LESS DIVIDENDS AND DISTRIBUTIONS  
Dividends from net investment income     (0.42 )     (0.51 )     (0.58 )     (0.61 )     (0.71 )  
Return of capital     (0.03 )     (0.02 )                 (0.10 )  
Total dividends and distributions     (0.45 )     (0.53 )     (0.58 )     (0.61 )     (0.81 )  
CAPITAL SHARE TRANSACTIONS  
Decrease to Net Asset Value due to Shares Issued through Rights Offering                                
Net asset value, end of year   $ 4.18     $ 4.12     $ 4.53     $ 4.34     $ 3.53    
Per share market value, end of year   $ 4.50     $ 4.77     $ 5.24     $ 4.76     $ 4.10    
TOTAL INVESTMENT RETURN 2  
Net asset value     13.13 %     2.62 %     18.98 %3     43.04 %3     (4.99 )%3  
Market value     5.23 %     2.71 %     25.49 %     35.07 %     (2.15 )%  
RATIOS AND SUPPLEMENTAL DATA  
Net assets, end of year (000s omitted)   $ 231,765     $ 255,760     $ 244,523     $ 229,255     $ 180,889    
Average debt per share   $ 1.96     $ 2.05     $ 2.05     $ 1.81     $ 1.99    
Ratio of expenses to average net assets     4.20 %     3.27 %     2.51 %     2.57 %     2.91 %  
Ratio of expenses to average net assets excluding interest expense     1.65 %     1.68 %     1.70 %     1.73 %     1.78 %  
Ratio of net investment income to average net assets     9.67 %     10.72 %     11.99 %     13.85 %     15.17 %  
Decrease reflected in above operating expense ratios due to waivers/reimbursements                                
Portfolio turnover rate     61.91 %     31.05 %     12.10 %     15.96 %     33.22 %  

See Accompanying Notes to Financial Statements.
17




Credit Suisse High Yield Bond Fund

Notes to Financial Statements

October 31, 2011

Note 1. Organization

Credit Suisse High Yield Bond Fund (the "Fund") is a business trust organized under the laws of the State of Delaware on April 30, 1998. The Fund is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act"), as a non-diversified, closed-end management investment company. The Fund's primary objective is to seek high current income.

Note 2. Significant Accounting Policies

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. Equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (the "Valuation Time"). If no sales are reported, equity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities. Equity investments are generally categorized as Level 1. Investments in open-end investment companies are valued at their net asset value each business day and are generally categorized as Level 1. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Debt securities are generally categorized as Level 2. Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and are generally categorized as Level 2. Securities and other assets for which market quotations are not readily available, or whose values have been materially affected by events occurring before the Fund's Valuation Time but after the close of the securities' primary markets, are valued at fair value as determined in good faith by, or under the direction of, the Board of Trustees under procedures established by the Board of Trustees and are generally categorized as Level 3. At October 31, 2011, the Fund held 0.06% of its net assets in securities valued at fair value as determined in good faith under procedures established by the Board of Trustees with an aggregate cost of $1,700,782 and fair value of $118,590. The Fund's estimate of fair value assumes a willing buyer and a willing seller neither acting under the compulsion to buy or sell. Although these securities may be resold in privately negotiated transactions, the prices realized on such sales could differ from the prices originally paid by the Fund or the current carrying values, and the difference could be material.

In accordance with the authoritative guidance on fair value measurements and disclosures under accounting principles generally accepted in the United States of America ("GAAP"), the Fund discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. GAAP established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity's own assumptions about the


18



Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

October 31, 2011

assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. In accordance with the Fund's valuation procedures, factors used in determining value may include, but are not limited to, the type of the security, the size of the holding, the initial cost of the security, the existence of any contractual restrictions on the security's disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies, quotations or evaluated prices from broker-dealers and/or pricing services, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company's or issuer's financial statements, an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold and with respect to debt securities, the maturity, coupon, creditworthiness, currency denomination, and the movement of the market in which the security is normally traded. The three-tier hierarchy of inputs is 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 methodology used for valuing 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 October 31, 2011 in valuing the Fund's investments carried at value:

    Level 1   Level 2   Level 3   Total  
Investments in Securities                          
Corporate Bonds   $     $ 268,325,035     $ 67     $ 268,325,102    
Bank Loans           20,599,556             20,599,556    
Common Stocks     915,744                   915,744    
Preferred Stocks     352,784                   352,784    
Warrants     1,279             118,523       119,802    
Short-Term Investments     7,653,298       4,509,000             12,162,298    
Other Financial Instruments*                          
Forward Foreign Currency Contract           (702,440 )           (702,440 )  
    $ 8,923,105     $ 292,731,151     $ 118,590     $ 301,772,846    

 

* Other financial instruments include futures, forwards and swap contracts.

The following is a reconciliation of investments as of October 31, 2011 in which significant unobservable inputs (Level 3) were used in determining value. Transfers in or out of Level 3 represent the beginning value of any security or instrument where a change in the level has occurred from the beginning to the end of the period.

    Investments  
Balance as of October 31, 2010   $ 1,204    
Accrued discounts/premiums     2,675    
Purchases     2,890,251    
Sales     (246,570 )  
Realized Gain/(Loss)     183,625    
Change in Unrealized Appreciation/(Depreciation)     54,956    
Transfers Into Level 3     59,933    
Transfers Out of Level 3     (2,827,484 )  
Balance as of October 31, 2011   $ 118,590    
Net change in unrealized Appreciation/(Depreciation) from investments still held as of October 31, 2011   $ 116,677    


19



Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

October 31, 2011

The Fund adopted FASB amendments to authoritative guidance which require the Fund to disclose details of significant transfers in and out of Level 1 and Level 2 measurements and the reasons for the transfers. For the year ended October 31, 2011, there were no significant transfers in and out of Level 1 and Level 2.

B) DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES — The Fund adopted amendments to authoritative guidance on disclosures about derivative instruments and hedging activities which require that the 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.

Fair Values of Derivative Instruments as of October 31, 2011

    Asset Derivatives   Liability Derivatives  
    Balance Sheet
Location
  Fair Value   Balance Sheet
Location
  Fair Value  
    Net Assets –       Liabilities –  
 
Forward Foreign   Unrealized       Unrealized  
 
Currency Contracts   Appreciation   $ 0     Depreciation   $ 702,440 *  

 

*  Includes cumulative appreciation/depreciation of forward foreign currency contracts as reported in the Statement of Assets and Liabilities and Notes to Financial Statements.

Effect of Derivative Instruments on the Statement of Operations

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Forward Foreign Currency Contracts
  $ 167,710    
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Forward Foreign Currency Contracts
  $ (765,771 )  

 

The notional amount of forward foreign currency contracts at period end are reflected in the Notes to Financial Statements. The notional amounts of forward foreign currency contracts at each month end throughout the reporting period averaged approximately 6.8% of net assets of the Fund.

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 does not isolate that portion of realized gains and losses on investments in equity securities which is due to changes in the foreign exchange rate from that which is due to changes in market prices of equity securities. The Fund isolates that portion of realized gains and losses on investments in debt securities which is due to changes in the foreign exchange rate from that which is due to changes in market prices of debt securities.

D) SECURITY TRANSACTIONS AND INVESTMENT INCOME — Security transactions are accounted for on a trade date basis. Interest income is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Dividends are 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.


20



Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

October 31, 2011

E) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — The Fund declares and pays dividends on a monthly basis. 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 beneficial interest 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 INCOME TAXES — No provision is made for federal taxes as it is the Fund's intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under the Internal Revenue Code of 1986, as amended, and to make the requisite distributions to its shareholders, which will be sufficient to relieve it from federal income and excise taxes.

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) USE OF ESTIMATES — The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.

H) SHORT-TERM INVESTMENTS — The Fund, together with other funds/portfolios advised by Credit Suisse Asset Management, LLC ("Credit Suisse"), an indirect, wholly-owned subsidiary of Credit Suisse Group AG, 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.

I) CASH FLOW INFORMATION — Cash, as used in the Statement of Cash Flows, is the amount reported in the Statement of Assets and Liabilities. 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 recognized on investment securities.

J) FORWARD FOREIGN CURRENCY CONTRACTS — The Fund may enter into forward foreign currency contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their


21



Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

October 31, 2011

contracts and from unanticipated movements in the value of a foreign currency. The Fund will enter into forward foreign currency contracts primarily for hedging foreign currency risk. Forward foreign currency contracts are adjusted by the daily forward exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized until the contract settlement date or an offsetting position is entered into. At October 31, 2011, the Fund had the following open forward foreign currency contract:

Forward Foreign
Currency to be
Purchased (Local)
  Forward Foreign
Currency to be
Sold (Local)
  Expiration
Date
  Counterparty   Value on
Settlement Date
  Current
Value
  Unrealized
Appreciation/
(Depreciation)
 
USD 25,924,730     EUR 19,100,000     01/13/12   Morgan Stanley   $ (25,924,730 )   $ (26,627,170 )   $ (702,440 )  

 

Currency Abbreviations:

EUR – Euro Currency

USD – United States Dollar

K) SECURITIES LENDING — Loans of securities are required at all times to be secured by collateral at least equal to 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). 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.

SSB has been engaged by the Fund to act as the Fund's securities lending agent. The Fund's securities lending arrangement provides that the Fund and SSB will share the net income earned from securities lending activities. During the year ended October 31, 2011, total earnings from the Fund's investment in cash collateral received in connection with securities lending arrangements was $108,896 of which $43 was rebated to borrowers (brokers). The Fund retained $87,169 in income from the cash collateral investment, and SSB, as lending agent, was paid $21,684. Securities lending income is accrued as earned.

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 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.

M) SUBSEQUENT EVENTS — In preparing the financial statements as of October 31, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements through the date of release of this report.

On December 8, 2011, the Fund filed a "shelf" registration statement with the SEC, which would permit the Fund to issue up to $50 million in shares of common stock through one or more public offerings. Under the shelf registration statement, the Fund may sell the Fund's common shares in one or more at-the-market offerings when market conditions are considered favorable. Such shares would only be issued when the premium to net asset value is greater than the costs associated with the transaction. Any proceeds raised would be used for investment purposes.


22



Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

October 31, 2011

Note 3. Transactions with Affiliates and Related Parties

The Fund has entered into an Investment Advisory Agreement (the "Advisory Agreement") with Credit Suisse. The Advisory Agreement provides for a fee at the annual rate of 1.00% of the first $250 million of the average weekly value of the Fund's total assets minus the sum of liabilities (other than aggregate indebtedness constituting leverage) and 0.75% of the average weekly value of the Fund's total assets minus the sum of liabilities (other than aggregate indebtedness constituting leverage) greater than $250 million. Effective January 1, 2007, Credit Suisse agreed to waive 0.15% of the fees payable under the Advisory Agreement. Effective January 1, 2011, Credit Suisse agreed to waive 0.15% of the fees payable under the Advisory Agreement up to $200 million and 0.25% of the fees payable under the Advisory Agreement on the next $50 million. For the year ended October 31, 2011, investment advisory fees earned and voluntarily waived were $2,974,576 and $428,509, respectively. Credit Suisse will not recapture from the Fund any fees it waived during the year ended October 31, 2011. Fee waivers and expense reimbursements are voluntary and may be discontinued by Credit Suisse at any time.

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 year ended October 31, 2011, administrative services fees earned by SSB (including out-of-pocket expenses) were $141,111.

The Independent Trustees receive fifty percent (50%) of their annual retainer in the form of shares. Since 2008, the Independent Trustees have been able to elect to receive up to 100% of their annual retainer in shares of the Fund. During the year ended October 31, 2011, 16,879 shares were issued through the trustees compensation plan. Trustees as a group own less than 1% of the Fund's outstanding shares.

Merrill Corporation ("Merrill"), an affiliate of Credit Suisse, has been engaged by the Fund to provide certain financial printing services. For the year ended October 31, 2011, Merrill was paid $31,780 for its services by the Fund.

Note 4. Line of Credit

The Fund has a line of credit provided by SSB primarily to leverage its investment portfolio (the "SSB Agreement"). At October 31, 2011, under the SSB Agreement, the Fund may borrow the least of: a) $100,000,000; b) an amount that is no greater than 31% 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 SSB Agreement. Effective December 9, 2011, the Fund may borrow the least of: a) $140,000,000; 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 SSB Agreement. At October 31, 2011, the Fund had loans outstanding under the Agreement of $89,000,000. During the year ended October 31, 2011, the Fund had borrowings under the Agreement as follows:

Average Daily
Loan Balance
  Weighted Average
Interest Rate %
  Maximum Daily
Loan Outstanding
 
$ 91,963,014       1.289 %   $ 100,000,000    

 

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


23



Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

October 31, 2011

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 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. During periods in which the Fund is utilizing leverage, the management fee will be higher than if the Fund did not utilize a leveraged capital structure because the fee is calculated as a percentage of the managed assets including those purchased with leverage.

Certain types of borrowings by the Fund may result in the Fund's being subject to covenants in credit agreements, including those relating to asset coverage and portfolio composition requirements. 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 its 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 they have 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 year ended October 31, 2011, purchases and sales of investment securities (excluding short-term investments) were $249,499,845 and $202,099,894, respectively.

Note 6. Fund Shares

The Fund has one class of shares of beneficial interest, par value $.001 per share; an unlimited number of shares are authorized. Transactions in shares of beneficial interest of the Fund were as follows:

    For the Year Ended
October 31, 2011
  For the Year Ended
October 31, 2010
 
Shares issued through the trustees compensation plan     16,879       38,696    
Shares issued through rights offering           18,725,102    
Shares issued through reinvestment of dividends     269,290       230,947    
Net increase     286,169       18,994,745    

 

Note 7. Federal Income Taxes

Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.


24



Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

October 31, 2011

The tax characteristics of dividends and distributions paid during the years ended October 31, 2011 and 2010, respectively, by the Fund were as follows:

Ordinary Income   Return of Capital  
2011   2010   2011   2010  
$ 23,874,498     $ 17,200,723     $ 0     $ 631,150    

 

The tax basis components of distributable earnings differ from the amounts reflected in the Statement of Assets and Liabilities by temporary book/tax differences. These differences are primarily due to losses deferred on wash sales, income from defaulted bonds and mark to market of forward contracts. At October 31, 2011, the components of distributable earnings on a tax basis were as follows:

Undistributed net investment income   $ 47,843    
Accumulated realized loss     (87,743,811 )  
Unrealized depreciation     (10,550,731 )  
    $ (98,246,699 )  

 

At October 31, 2011, the Fund had capital loss carryforwards available to offset possible future capital gains as follows:

Expires October 31,  
2012   2013   2014   2016   2017   2018  
$ 6,096,544     $ 1,583,878     $ 8,944,708     $ 24,144,149     $ 40,767,194     $ 6,207,338    

 

During the tax year ended October 31, 2011, the Fund utilized $3,455,175 of the capital loss carryforwards and $4,836,064 of the capital loss carryforwards expired.

Under the Regulated Investment Company Modernization Act of 2010, the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. It is uncertain whether the Fund will be able to realize the full benefits of the capital loss carryforwards before they expire.

At October 31, 2011, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized depreciation from investments were $313,023,414, $10,303,645, $(20,851,773) and $(10,548,128), respectively.

At October 31, 2011, the Fund reclassified $394,783 to net investment loss and $4,441,281 to accumulated net realized loss from investments from paid in capital, to adjust for current period permanent book/tax differences. These permanent differences are due to differing book/tax treatments of foreign currency gain/(loss), defaulted bonds and expiration of capital loss carryforwards. Net assets were not affected by these reclassifications.

Note 8. Rights Offering

On August 25, 2010, the Board of Trustees of the Fund announced the approval of the transferable rights offering for the Fund. The Fund issued to its shareholders of record as of the close of business on September 13,


25



Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

October 31, 2011

2010, transferable rights (with an expiration date of October 15, 2010) to subscribe for up to an aggregate of 18,725,102 Common Shares of Beneficial Interest ("Shares") of the Fund at a rate of one Share for three rights held at the subcription price of $2.72 per share. During October 2010, the Fund issued a total of 18,725,102 Shares upon the exercise of such rights. Rights' offering costs of $485,000 was charged to capital during the fiscal year ended October 31, 2010, and $62,923 was charged to capital during the year ended October 31, 2011. The net asset value of the Fund's Shares were reduced by $0.07 as a result of the Offer, which includes the effect of the offering costs.

Note 9. 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 High Yield Bond Fund

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of
Credit Suisse High Yield Bond Fund:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Credit Suisse High Yield Bond Fund (the "Fund"), at October 31, 2011, the results of its operations for the year then ended and the changes in its net assets and financial highlights for the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at October 31, 2011 by correspondence with the custodian, brokers, agent banks and the application of alternative auditing procedures where confirmations had not been received, provides a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts
December 21, 2011


27



Credit Suisse High Yield Bond Fund

Information Concerning Trustees and Officers (unaudited)

Name, Address
(Year of Birth)
  Position(s)
Held with Fund
  Term
of Office
and
Length
of Time
Served
  Principal
Occupation(s) During
Past Five Years
  Number of
Portfolios in
Fund
Complex
Overseen by
Trustee
  Other
Directorships
Held by Trustee
 
Independent Trustees            
Enrique Arzac c/o Credit Suisse Asset Management, LLC Attn: General Counsel Eleven Madison Avenue New York, New York 10010
(1941)
  Chairman of the Board of Trustees; Audit Committee Member and Nominating Committee Chairman   Chairman since 2005 and Trustee since 2001; current term ends at the 2014 annual meeting   Professor of Finance and Economics, Graduate School of Business, Columbia University since 1971.   6   Director of Epoch Holding Corporation (an investment management and investment advisory services company); Director of The Adams Express Company, Director of Petroleum and Resources Corporation, Director of Aberdeen Asset Management-advised Funds (six closed-end investment companies); Director of Mirae Asset Discovery Funds (open-end investment companies).  
Terry F. Bovarnick c/o Credit Suisse Asset Management, LLC Attn: General Counsel Eleven Madison Avenue New York, New York 10010
(1958)
  Trustee; Audit and Nominating Committee Member   Since 2006; current term ends at the 2014 annual meeting   Currently retired.   2   None  
James Cattano
c/o Credit Suisse Asset Management, LLC Attn: General Counsel Eleven Madison Avenue New York, New York 10010
(1943)
  Trustee; Audit Committee Chairman and Nominating Committee Member   Since 2006; current term ends at the 2012 annual meeting   Currently retired. President, Primary Resources, Inc. (an international trading and manufacturing company specializing in the sale of agricultural commodities throughout Latin American markets) since October 1996.   2   Director of Aberdeen Asset Management-advised Funds (five closed-end investment companies).  
Lawrence J. Fox One Logan Square 18th & Cherry Streets Philadelphia, Pennsylvania 19103
(1943)
  Trustee and Nominating Committee Member   Since 2001; current term ends at the 2013 annual meeting   Partner of Drinker Biddle & Reath (law firm) since 1972.   2   Director of Aberdeen Asset Management-advised Funds (four closed-end investment companies).  

 


28



Credit Suisse High Yield Bond Fund

Information Concerning Trustees and Officers (unaudited) (continued)

Name, Address
(Year of Birth)
  Position(s)
Held with Fund
  Term
of Office
and
Length
of Time
Served
  Principal
Occupation(s) During
Past Five Years
  Number of
Portfolios in
Fund
Complex
Overseen by
Trustee
  Other
Directorships
Held by Trustee
 
Independent Trustees            
Steven N. Rappaport Lehigh Court, LLC 555 Madison Avenue 29th Floor
New York, New York
10022
(1948)
  Trustee; Audit and Nominating Committee Member   Since 2005; current term ends at the 2012 annual meeting   Partner of Lehigh Court, LLC and RZ Capital (private investment firms) from July 2002 to present.   6   Director of iCAD, Inc. (surgical and medical instruments and apparatus company); Director of Presstek, Inc. (digital imaging technologies company); Director of Wood Resources, LLC. (plywood manufacturing company); Director of Aberdeen Asset Management-advised Funds (five closed-end investment companies).  

 


29



Credit Suisse High Yield Bond Fund

Information Concerning Trustees and Officers (unaudited) (continued)

Name, Address
(Year of Birth)
  Position(s)
Held with Fund
  Term
of Office
and
Length
of Time
Served
  Principal Occupation(s) During Past Five Years  
Officers**        
John Popp
Credit Suisse Asset Management, LLC Eleven Madison Avenue New York, New York 10010
(1956)
  Chief Executive Officer and President   Since 2010   Managing Director of Credit Suisse; Group Manager and Senior Portfolio Manager for Performing Credit Strategies; Associated with Credit Suisse or its predecessor since 1997; Officer of other Credit Suisse Funds.  
Thomas J. Flannery
Credit Suisse Asset Management, LLC
Eleven Madison Avenue New York, New York 10010
(1974)
  Chief Investment Officer   Since 2010   Managing Director of Credit Suisse and Head of the Credit Suisse US High Yield Management Team; Associated with Credit Suisse Group AG since 2000; Officer of other Credit Suisse Funds.  
Emidio Morizio
Credit Suisse Asset Management, LLC
One Madison Avenue New York, New York 10010
(1966)
  Chief Compliance Officer   Since 2004   Managing Director and Global Head of Compliance of Credit Suisse; Associated with Credit Suisse since July 2000; Officer of other Credit Suisse Funds.  
Michael A. Pignataro Credit Suisse Asset Management, LLC
Eleven Madison Avenue New York, New York 10010
(1959)
  Chief Financial Officer   Since 2001   Director and Director of Fund Administration of Credit Suisse; Associated with Credit Suisse or its predecessor since 1984; Officer of other Credit Suisse Funds.  
Roger Machlis
Credit Suisse Asset Management, LLC
One Madison Avenue New York, New York 10010
(1961)
  Chief Legal Officer   Since 2010   Managing Director and General Counsel for Credit Suisse; Associated with Credit Suisse Group AG since 1997; Officer of other Credit Suisse Funds.  

 


30



Credit Suisse High Yield Bond Fund

Information Concerning Trustees and Officers (unaudited) (continued)

Name, Address
(Year of Birth)
  Position(s)
Held with Fund
  Term
of Office
and
Length
of Time
Served
  Principal Occupation(s) During Past Five Years  
Officers**        
Cecilia Chau
Credit Suisse Asset Management, LLC
Eleven Madison Avenue New York, New York 10010
(1973)
  Treasurer   Since 2008   Vice President of Credit Suisse since 2009; Assistant Vice President of Credit Suisse from June 2007 to December 2008; Associated with Alliance Bernstein L.P. from January 2007 to May 2007; Associated with Credit Suisse from August 2000 to December 2006; Officer of other Credit Suisse Funds.  
Karen Regan
Credit Suisse Asset Management, LLC
Eleven Madison Avenue New York, New York 10010
(1963)
  Senior Vice President and Secretary   Since 2010   Vice President of Credit Suisse; Associated with Credit Suisse since December 2004; Officer of other Credit Suisse Funds.  

 

**  The officers of the Fund shown are officers that make policy decisions.

 


31



Credit Suisse High Yield Bond Fund

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

• 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.

Other Funds Managed by Credit Suisse Asset Management, LLC

CLOSED-ENDED FUNDS

Fixed Income

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

Credit Suisse High Yield Bond Fund (NYSE Amex: 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.

OPEN-END FUNDS

Credit Suisse Commodity Return Strategy Fund

Credit Suisse Floating Rate High Income 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.

Credit Suisse Asset Management Securities, Inc., Distributor.


32



Credit Suisse High Yield Bond Fund

Dividend Reinvestment and Cash Purchase Plan (unaudited)

Credit Suisse High Yield Bond Fund (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.


33



Credit Suisse High Yield Bond Fund

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 High Yield Bond Fund
  c/o Computershare
  P.O. Box 43078
  Providence, Rhode Island 02940-3078

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.


34




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.

DHY-AR-1011




 

Item 12. Exhibits.

 

(a)(2)

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

 

 

(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 HIGH YIELD BOND FUND.

 

 

/s/ John G. Popp

 

Name:

John G. Popp

 

Title:

Chief Executive Officer

 

Date:

January 18, 2012

 

 

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

 

Date:

January 18, 2012

 

 

 

/s/ Michael A. Pignataro

 

Name:

Michael A. Pignataro

 

Title:

Chief Financial Officer

 

Date:

January 18, 2012