CS HIGH YIELD BOND FUND

0001193125-17-285831.txt : 20170915 0001193125-17-285831.hdr.sgml : 20170915 20170915092005 ACCESSION NUMBER: 0001193125-17-285831 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20170731 FILED AS OF DATE: 20170915 DATE AS OF CHANGE: 20170915 EFFECTIVENESS DATE: 20170915 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CREDIT SUISSE HIGH YIELD BOND FUND CENTRAL INDEX KEY: 0001061353 IRS NUMBER: 134009166 STATE OF INCORPORATION: DE FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-08777 FILM NUMBER: 171087023 BUSINESS ADDRESS: STREET 1: ONE MADISON AVENUE CITY: NEW YORK STATE: NY ZIP: 10010 BUSINESS PHONE: 2123252000 MAIL ADDRESS: STREET 1: ONE MADISON AVENUE CITY: NEW YORK STATE: NY ZIP: 10010 FORMER COMPANY: FORMER CONFORMED NAME: DLJ HIGH YIELD BOND FUND DATE OF NAME CHANGE: 19980508 N-Q 1 d246083dnq.htm CS HIGH YIELD BOND FUND CS HIGH YIELD BOND FUND

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-08777

CREDIT SUISSE HIGH YIELD BOND FUND

(Exact name of registrant as specified in charter)

c/o Credit Suisse Asset Management, LLC

One Madison Avenue

New York, New York 10010

(Address of principal executive offices) (Zip code)

John G. Popp

One 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:		May 1, 2017 to July 31, 2017

Item 1: Schedule of Investments

Credit Suisse High Yield Bond Fund

Schedule of Investments

July 31, 2017 (unaudited)


Par (000)			Ratings† (S&P/Moody’s)	Maturity		Rate%		Value

	CORPORATE BONDS (113.0%)
	Advertising (3.2%)
$	885	Clear Channel Worldwide Holdings, Inc., Series A, Global Company Guaranteed Notes (Callable 11/15/17 @ 103.25)	(B, B2)		11/15/22		6.500	$	915,975
	2,414	Clear Channel Worldwide Holdings, Inc., Series B, Global Company Guaranteed Notes (Callable 11/15/17 @ 103.25)	(B, B2)		11/15/22		6.500		2,513,578
	1,800	Nexstar Broadcasting, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/18 @ 103.06)^(1),(2)	(B+, B3)		02/15/22		6.125		1,890,000
	3,600	Southern Graphics, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/31/17 @ 104.19)⁽¹⁾	(CCC+, Caa1)		10/15/20		8.375		3,654,000

									8,973,553


	Air Transportation (0.4%)
	1,150	United Continental Holdings, Inc., Company Guaranteed Notes	(BB-, Ba3)		02/01/24		5.000		1,170,125


	Auto Parts & Equipment (1.3%)
	850	Adient Global Holdings Ltd., Rule 144A, Company Guaranteed Notes (Callable 08/15/21 @ 102.44)⁽¹⁾	(BB, Ba3)		08/15/26		4.875		866,363
	2,650	Cooper-Standard Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/21 @ 102.81)⁽¹⁾	(B+, B2)		11/15/26		5.625		2,679,812

									3,546,175


	Banking (0.5%)
	1,450	AssuredPartners, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/15/20 @ 103.50)⁽¹⁾	(CCC+, Caa2e)		08/15/25		7.000		1,464,500


	Brokerage (2.7%)
	1,400	Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 08/31/17 @ 105.16)⁽¹⁾	(B, B1)		04/15/22		6.875		1,414,000
	2,950	Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/17 @ 105.63)⁽¹⁾	(B, B1)		04/15/21		7.500		3,082,750
	2,925	LPL Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/15/20 @ 104.31)⁽¹⁾	(B+, B2)		09/15/25		5.750		3,071,250

									7,568,000


	Building & Construction (0.5%)
	1,275	Rialto Corp., Rule 144A, Company Guaranteed Notes (Callable 08/31/17 @ 101.75)⁽¹⁾	(B, B1)		12/01/18		7.000		1,297,313


	Building Materials (8.2%)
	1,900	Airxcel, Inc., Rule 144A, Senior Secured Notes (Callable 02/15/19 @ 104.25)⁽¹⁾	(B, B2)		02/15/22		8.500		2,018,750
	1,150	American Builders & Contractors Supply Co., Inc., Rule 144A, Senior Unsecured Notes (Callable 12/15/18 @ 104.31)⁽¹⁾	(B+, B3)		12/15/23		5.750		1,224,750
	1,525	Eagle Materials, Inc., Company Guaranteed Notes (Callable 08/01/21 @ 102.25)	(BBB, Baa3)		08/01/26		4.500		1,601,250
	3,925	FBM Finance, Inc., Rule 144A, Senior Secured Notes (Callable 08/15/18 @ 104.13)⁽¹⁾	(B+, B3)		08/15/21		8.250		4,229,187
	1,860	NCI Building Systems, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/18 @ 106.19)⁽¹⁾	(BB, B3)		01/15/23		8.250		2,018,100
	3,650	Omnimax International, Inc., Rule 144A, Senior Secured Notes (Callable 02/15/18 @ 109.00)⁽¹⁾	(B-, Caa1)		08/15/20		12.000		3,996,750
	2,875	PriSo Acquisition Corp., Rule 144A, Senior Unsecured Notes (Callable 05/15/18 @ 104.50)⁽¹⁾	(CCC+, Caa1)		05/15/23		9.000		3,061,875
	1,000	Summit Materials Finance Corp., Global Company Guaranteed Notes (Callable 04/15/19 @ 104.25)	(BB-, B3)		04/15/22		8.500		1,130,000
	1,075	Summit Materials Finance Corp., Global Company Guaranteed Notes (Callable 07/15/18 @ 103.06)	(BB-, B3)		07/15/23		6.125		1,131,437
	975	U.S. Concrete, Inc., Global Company Guaranteed Notes (Callable 06/01/19 @ 104.78)	(BB-, B2)		06/01/24		6.375		1,045,688
	1,600	USG Corp., Rule 144A, Company Guaranteed Notes (Callable 06/01/22 @ 102.44)⁽¹⁾	(BB+, Ba2)		06/01/27		4.875		1,656,000

									23,113,787


	Cable & Satellite TV (10.6%)
	2,065	Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 02/15/18 @ 104.97)⁽¹⁾	(BB-, B1)		02/15/23		6.625		2,192,772
	2,300	Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 05/15/21 @ 103.75)⁽¹⁾	(BB-, B1)		05/15/26		7.500		2,555,990
	1,200	Altice U.S. Finance I Corp., Rule 144A, Senior Secured Notes (Callable 07/15/18 @ 104.03)⁽¹⁾	(BB, Ba3)		07/15/23		5.375		1,263,000
	4,000	Block Communications, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/20 @ 103.44)⁽¹⁾	(BB-, Ba3)		02/15/25		6.875		4,320,000
	1,315	CSC Holdings LLC, Global Senior Unsecured Notes	(B, B2)		06/01/24		5.250		1,368,915


Par (000)			Ratings† (S&P/Moody’s)	Maturity		Rate%		Value

	CORPORATE BONDS (continued)
	Cable & Satellite TV
$	525	CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 04/15/22 @ 102.75)⁽¹⁾	(BB, Ba1)		04/15/27		5.500	$	560,438
	800	CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 10/15/20 @ 103.31)⁽¹⁾	(BB, Ba1)		10/15/25		6.625		884,000
	840	CSC Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/20 @ 105.44)⁽¹⁾	(B, B2)		10/15/25		10.875		1,050,000
	3,750	Midcontinent Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/15/18 @ 105.16)⁽¹⁾	(B, B3)		08/15/23		6.875		4,083,375
	650	SFR Group S.A., Rule 144A, Senior Secured Notes (Callable 05/01/21 @ 103.69)⁽¹⁾	(B+, B1)		05/01/26		7.375		706,062
	2,800	SFR Group S.A., Rule 144A, Senior Secured Notes (Callable 05/15/19 @ 103.13)⁽¹⁾	(B+, B1)		05/15/24		6.250		2,968,000
	1,700	SFR Group S.A., Rule 144A, Senior Secured Notes (Callable 08/31/17 @ 104.50)⁽¹⁾	(B+, B1)		05/15/22		6.000		1,780,716
	1,000	Virgin Media Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 04/15/18 @ 103.50)^(1),(3)	(B, B2)		04/15/23		7.000		1,412,282
	1,000	Virgin Media Secured Finance PLC, Rule 144A, Senior Secured Notes (Callable 04/15/22 @ 102.50)^(1),(3)	(BB-, Ba3)		04/15/27		5.000		1,380,347
	3,250	Ziggo Secured Finance B.V., Rule 144A, Senior Secured Notes (Callable 01/15/22 @ 102.75)⁽¹⁾	(BB-, Ba3)		01/15/27		5.500		3,371,875

									29,897,772


	Chemicals (4.2%)
	2,650	A Schulman, Inc., Global Company Guaranteed Notes (Callable 06/01/18 @ 105.16)	(B, B3)		06/01/23		6.875		2,782,500
	2,100	Alpha U.S. Bidco, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/20 @ 103.13)⁽¹⁾	(CCC+, Caa1)		02/01/25		6.250		2,173,500
	975	GCP Applied Technologies, Inc. Rule 144A, Company Guaranteed Notes (Callable 02/01/19 @ 104.75)⁽¹⁾	(B+, B1)		02/01/23		9.500		1,112,719
	575	Nufarm Australia Ltd., Rule 144A, Company Guaranteed Notes (Callable 08/31/17 @ 103.19)⁽¹⁾	(B+, B1)		10/15/19		6.375		590,094
	1,100	PQ Corp., Rule 144A, Senior Secured Notes (Callable 05/15/19 @ 103.38)⁽¹⁾	(B+, B2)		11/15/22		6.750		1,194,072
	272	Reichhold Industries, Inc., Rule 144A, Senior Secured Notes (Callable 08/31/17 @ 100.00)^{(1),(4),(5),(6)}	(NR, NR)		05/01/18		9.000		9,779
	2,200	Tronox Finance LLC, Global Company Guaranteed Notes (Callable 08/31/17 @ 101.59)	(B-, Caa1)		08/15/20		6.375		2,216,500
	1,000	Valvoline, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/19 @ 104.13)⁽¹⁾	(BB, Ba3)		07/15/24		5.500		1,062,500
	675	Versum Materials, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/30/21 @ 102.75)⁽¹⁾	(BB, Ba3)		09/30/24		5.500		718,875

									11,860,539


	Consumer/Commercial/Lease Financing (2.7%)
	4,500	Infinity Acquisition Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 08/16/17 @ 103.63)⁽¹⁾	(CCC+, Caa2)		08/01/22		7.250		4,297,500
	2,450	Ladder Capital Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 09/15/21 @ 100.00)⁽¹⁾	(B+, Ba3)		03/15/22		5.250		2,532,687
	775	Lincoln Finance Ltd., Rule 144A, Senior Secured Notes (Callable 04/15/18 @ 103.69)⁽¹⁾	(BB+, B1)		04/15/21		7.375		822,469

									7,652,656


	Diversified Capital Goods (0.9%)
	2,050	Anixter, Inc., Global Company Guaranteed Notes	(BB, Ba3)		03/01/23		5.500		2,206,313
	360	EnerSys, Rule 144A, Company Guaranteed Notes (Callable 01/30/23 @ 100.00)⁽¹⁾	(BB+, Ba2)		04/30/23		5.000		371,250

									2,577,563


	Electronics (0.6%)
	261	Microsemi Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/19 @ 106.84)⁽¹⁾	(B+, B2)		04/15/23		9.125		300,803
	1,325	NXP Funding LLC, Rule 144A, Company Guaranteed Notes⁽¹⁾	(BBB-, Ba1)		06/01/23		4.625		1,434,551

									1,735,354


	Energy - Exploration & Production (2.7%)
	1,925	Oasis Petroleum, Inc., Company Guaranteed Notes (Callable 08/31/17 @ 103.25)⁽²⁾	(B+, B3)		11/01/21		6.500		1,910,562
	1,981	Stone Energy Corp., Secured Notes (Callable 05/31/20 @ 105.63)	(NR, NR)		05/31/22		7.500		1,896,574


Par (000)			Ratings† (S&P/Moody’s)	Maturity		Rate%		Value

	CORPORATE BONDS (continued)
	Energy - Exploration & Production
$	3,000	W&T Offshore, Inc., Global Company Guaranteed Notes (Callable 08/31/17 @ 100.00)	(CC, Ca)		06/15/19		8.500	$	2,122,500
	1,700	Whiting Petroleum Corp., Company Guaranteed Notes (Callable 12/15/20 @ 100.00)⁽²⁾	(BB-, B3)		03/15/21		5.750		1,619,250

									7,548,886


	Food - Wholesale (3.4%)
	1,425	B&G Foods, Inc., Company Guaranteed Notes (Callable 04/01/20 @ 103.94)	(B+, B3)		04/01/25		5.250		1,489,125
	1,850	Clearwater Seafoods, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/01/20 @ 105.16)⁽¹⁾	(B+, B3)		05/01/25		6.875		1,979,500
	1,100	Lamb Weston Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/21 @ 102.31)⁽¹⁾	(BB, Ba3)		11/01/24		4.625		1,153,625
	1,000	Lamb Weston Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/21 @ 102.44)⁽¹⁾	(BB, Ba3)		11/01/26		4.875		1,050,410
	750	Post Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/20 @ 104.13)⁽¹⁾	(B, B3)		03/01/25		5.500		793,125
	1,350	Post Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/22 @ 102.88)⁽¹⁾	(B, B3)		03/01/27		5.750		1,437,750
	1,550	U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/19 @ 102.94)⁽¹⁾	(B+, B3)		06/15/24		5.875		1,625,562

									9,529,097


	Gaming (1.8%)
	1,500	Gateway Casinos & Entertainment Ltd., Rule 144A, Secured Notes (Callable 03/01/20 @ 104.13)⁽¹⁾	(CCC+, Caa1)		03/01/24		8.250		1,563,750
	2,200	Jacobs Entertainment, Inc., Rule 144A, Secured Notes (Callable 02/01/20 @ 105.91)⁽¹⁾	(B, B2)		02/01/24		7.875		2,392,500
	990	Safari Holding Verwaltungs GmbH, Rule 144A, Senior Secured Notes (Callable 08/30/17 @ 104.13)^(1),(7)	(B, B2)		02/15/21		8.250		1,217,680

									5,173,930


	Gas Distribution (2.9%)
	3,469	Energy Transfer Equity LP, Senior Secured Notes	(BB-, Ba2)		10/15/20		7.500		3,937,315
	2,750	Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 06/15/19 @ 102.81)	(B+, B1)		06/15/24		5.625		2,667,500
	1,450	Genesis Energy Finance Corp., Global Company Guaranteed Notes (Callable 08/31/17 @ 102.88)	(B+, B1)		02/15/21		5.750		1,471,750

									8,076,565


	Health Facilities (3.7%)
	2,625	Care Capital Properties LP, Global Company Guaranteed Notes (Callable 05/15/26 @ 100.00)	(BBB-, Baa3)		08/15/26		5.125		2,681,540
	2,200	HCA, Inc., Senior Secured Notes	(BBB-, Ba1)		03/15/24		5.000		2,340,800
	1,500	Surgery Center Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/01/20 @ 103.38)⁽¹⁾	(CCC+, Caa2)		07/01/25		6.750		1,545,000
	2,100	Tenet Healthcare Corp., Global Senior Unsecured Notes	(CCC+, Caa1)		04/01/22		8.125		2,264,850
	1,500	Tenet Healthcare Corp., Rule 144A, Secured Notes (Callable 05/01/20 @ 102.56)^(1),(2)	(B-, Ba3)		05/01/25		5.125		1,513,125

									10,345,315


	Health Services (1.2%)
	1,000	AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/19 @ 103.84)⁽¹⁾	(B+, Ba3)		10/01/24		5.125		1,030,000
	2,375	CareTrust Capital Corp., Company Guaranteed Notes (Callable 06/01/20 @ 103.94)	(BB-, B1)		06/01/25		5.250		2,443,281

									3,473,281


	Hotels (1.1%)
	3,000	ESH Hospitality, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/01/20 @ 102.63)⁽¹⁾	(BB-, B2)		05/01/25		5.250		3,142,500


	Insurance Brokerage (2.7%)
	2,100	Hub Holdings Finance, Inc., 8.125% Cash, 8.875% PIK, Rule 144A, Senior Unsecured Notes (Callable 08/31/17 @ 100.00)^(1),(8)	(CCC+, Caa2)		07/15/19		17.000		2,102,625
	2,450	HUB International Ltd., Rule 144A, Senior Unsecured Notes (Callable 08/31/17 @ 105.91)⁽¹⁾	(CCC+, Caa2)		10/01/21		7.875		2,566,375


Par (000)			Ratings† (S&P/Moody’s)	Maturity		Rate%		Value

	CORPORATE BONDS (continued)
	Insurance Brokerage
$	2,975	NFP Corp., Rule 144A, Senior Unsecured Notes (Callable 07/15/20 @ 103.44)⁽¹⁾	(CCC+, Caa2)		07/15/25		6.875	$	3,034,128

									7,703,128


	Investments & Misc. Financial Services (1.0%)
	2,750	Orchestra Co-Issuer, Inc., Rule 144A (Callable 06/15/19 @ 103.38)⁽¹⁾	(B-, NR)		06/15/22		6.750		2,894,375


	Machinery (1.6%)
	1,575	Terex Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/20 @ 104.22)⁽¹⁾	(BB, B2)		02/01/25		5.625		1,643,906
	2,625	Vertiv Intermediate Holding Corp., 12.000% Cash, 13.000% PIK, Rule 144A, Senior Unsecured Notes (Callable 02/15/19 @ 106.00)^(1),(8)	(B-, Caa1)		02/15/22		25.000		2,897,344

									4,541,250


	Media - Diversified (1.4%)
	1,000	National CineMedia LLC, Global Senior Secured Notes (Callable 08/31/17 @ 103.00)	(B+, Ba3)		04/15/22		6.000		1,032,500
	2,870	National CineMedia LLC, Global Senior Unsecured Notes (Callable 08/15/21 @ 102.88)	(B-, B3)		08/15/26		5.750		2,769,550

									3,802,050


	Media Content (2.9%)
	2,125	EMI Music Publishing Group North America Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/19 @ 105.72)⁽¹⁾	(B, B3)		06/15/24		7.625		2,364,063
	550	Netflix, Inc., Global Senior Unsecured Notes	(B+, B1)		03/01/24		5.750		606,375
	750	Netflix, Inc., Global Senior Unsecured Notes	(B+, B1)		02/15/25		5.875		841,875
	525	Nexstar Broadcasting, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/01/19 @ 104.22)⁽¹⁾	(B+, B3)		08/01/24		5.625		544,031
	1,710	Sinclair Television Group, Inc., Global Company Guaranteed Notes (Callable 10/01/17 @ 103.06)	(B+, B1)		10/01/22		6.125		1,778,400
	900	The EW Scripps Co., Rule 144A, Company Guaranteed Notes (Callable 05/15/20 @ 103.84)⁽¹⁾	(BB, Ba2)		05/15/25		5.125		933,750
	1,000	WMG Acquisition Corp., Rule 144A, Senior Secured Notes (Callable 11/01/19 @ 103.66)⁽¹⁾	(B+, Ba3)		11/01/24		4.875		1,032,500

									8,100,994


	Metals & Mining - Excluding Steel (3.8%)
	2,300	Eldorado Gold Corp., Rule 144A, Company Guaranteed Notes (Callable 08/31/17 @ 103.06)⁽¹⁾	(B+, B1)		12/15/20		6.125		2,357,500
	2,000	Kaiser Aluminum Corp., Global Company Guaranteed Notes (Callable 05/15/19 @ 104.41)	(BB+, Ba3)		05/15/24		5.875		2,130,000
	4,525	Noranda Aluminum Acquisition Corp., Global Company Guaranteed Notes (Callable 08/31/17 @ 102.75)^(4),(5)	(NR, NR)		06/01/19		11.000		272
	550	Peabody Energy Corp., Rule 144A, Senior Secured Notes (Callable 03/31/19 @ 103.00)⁽¹⁾	(B+, Ba3)		03/31/22		6.000		563,062
	2,000	Peabody Energy Corp., Rule 144A, Senior Secured Notes (Callable 03/31/20 @ 104.78)⁽¹⁾	(B+, Ba3)		03/31/25		6.375		2,027,500
	3,750	Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 06/15/19 @ 104.38)^(1),(2)	(B-, B3)		06/15/22		8.750		3,735,937

									10,814,271


	Non - Electric Utilities (0.2%)
	675	CD&R Waterworks Merger Sub LLC, Rule 144A, Senior Unsecured Notes (Callable 08/15/20 @ 103.06)⁽¹⁾	(B-, Caa1)		08/15/25		6.125		690,188


	Oil Field Equipment & Services (5.9%)
	3,330	FTS International, Inc., Global Senior Secured Notes (Callable 08/31/17 @ 104.69)	(CCC, Ca)		05/01/22		6.250		2,905,425
	2,000	KCA Deutag UK Finance PLC, Rule 144A, Senior Secured Notes (Callable 04/01/20 @ 109.88)^(1),(2)	(CCC+, Caa1)		04/01/22		9.875		2,020,000
	585	Nor Offshore SPV Ltd., PIK, Senior Secured Notes (Callable 08/30/17 @ 100.00)⁽⁸⁾	(NR, NR)		02/04/20		8.400		208,728
	1,575	Pacific Drilling V Ltd., Rule 144A, Senior Secured Notes (Callable 08/28/17 @ 100.00)⁽¹⁾	(NR, Ca)		12/01/17		7.250		767,813
	2,050	Parker Drilling Co., Global Company Guaranteed Notes (Callable 01/15/18 @ 103.38)	(B-, Caa1)		07/15/22		6.750		1,593,875
	200	Parker Drilling Co., Global Company Guaranteed Notes (Callable 08/31/17 @ 101.88)	(B-, Caa1)		08/01/20		7.500		174,000


Par (000)			Ratings† (S&P/Moody’s)	Maturity		Rate%		Value

	CORPORATE BONDS (continued)
	Oil Field Equipment & Services
$	1,105	Pioneer Energy Services Corp., Global Company Guaranteed Notes (Callable 08/31/17 @ 104.59)	(B-, Ca)		03/15/22		6.125	$	895,050
	1,500	Shelf Drilling Holdings Ltd., Rule 144A, Secured Notes (Callable 08/31/17 @ 102.16)⁽¹⁾	(B-, B2)		11/01/18		8.625		1,500,000
	2,865	Shelf Drilling Holdings Ltd., Rule 144A, Secured Notes (Callable 08/31/17 @ 104.31)⁽¹⁾	(B-, B2)		11/02/20		9.500		2,836,127
	1,390	Sidewinder Drilling, Inc.^(5),(6)	(NR, NR)		02/14/20		12.000		1,292,831
	1,600	Transocean, Inc., Global Company Guaranteed Notes (Callable 07/15/22 @ 100.00)⁽²⁾	(B+, Caa1)		10/15/22		5.800		1,518,208
	850	Trinidad Drilling Ltd., Rule 144A, Company Guaranteed Notes (Callable 02/15/20 @ 104.97)⁽¹⁾	(BB-, Caa1)		02/15/25		6.625		805,375

									16,517,432


	Oil Refining & Marketing (1.9%)
	1,000	CITGO Petroleum Corp., Rule 144A, Senior Secured Notes (Callable 08/31/17 @ 104.69)⁽¹⁾	(B+, B3)		08/15/22		6.250		1,022,500
	4,100	Coffeyville Finance, Inc., Global Company Guaranteed Notes (Callable 11/01/17 @ 103.25)	(BB-, B1)		11/01/22		6.500		4,182,000

									5,204,500


	Packaging (2.6%)
	1,000	Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/20 @ 104.50)⁽¹⁾	(B, B3)		02/15/25		6.000		1,067,500
	1,250	Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 05/15/19 @ 105.44)⁽¹⁾	(B, B3)		05/15/24		7.250		1,384,375
	1,150	Ardagh Holdings U.S.A., Inc., Rule 144A, Senior Secured Notes (Callable 05/15/19 @ 102.31)⁽¹⁾	(BB, Ba3)		05/15/23		4.625		1,180,188
	2,200	Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes (Callable 01/15/20 @ 103.44)⁽¹⁾	(CCC+, Caa1)		01/15/25		6.875		2,314,125
	1,050	SIG Combibloc Holdings S.C.A., Rule 144A, Senior Secured Notes (Callable 02/15/18 @ 103.88)^(1),(7)	(B-, Caa1)		02/15/23		7.750		1,317,365

									7,263,553


	Personal & Household Products (1.3%)
	1,250	First Quality Finance Co., Inc., Rule 144A, Company Guaranteed Notes (Callable 07/01/20 @ 103.75)⁽¹⁾	(BB-, B1)		07/01/25		5.000		1,293,500
	2,000	High Ridge Brands Co., Rule 144A, Company Guaranteed Notes (Callable 03/15/20 @ 104.44)⁽¹⁾	(CCC+, Caa1)		03/15/25		8.875		1,995,000
	300	Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/19 @ 104.78)⁽¹⁾	(B-, Caa1)		03/01/24		6.375		323,625

									3,612,125


	Pharmaceuticals (3.6%)
	1,850	AMAG Pharmaceuticals, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/18 @ 105.91)⁽¹⁾	(BB-, Ba3)		09/01/23		7.875		1,831,500
	1,350	Endo Finance LLC, Rule 144A, Senior Secured Notes (Callable 04/15/20 @ 102.94)^(1),(2)	(BB, Ba2)		10/15/24		5.875		1,404,000
	1,100	Valeant Pharmaceuticals International, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/20 @ 103.06)⁽¹⁾	(B-, Caa1)		04/15/25		6.125		940,500
	3,050	Valeant Pharmaceuticals International, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/15/18 @ 102.94)⁽¹⁾	(B-, Caa1)		05/15/23		5.875		2,638,250
	205	Valeant Pharmaceuticals International, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/17 @ 100.00)^(1),(2)	(B-, Caa1)		08/15/18		6.750		205,307
	2,850	Valeant Pharmaceuticals International, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/20 @ 103.50)⁽¹⁾	(BB-, Ba3)		03/15/24		7.000		3,042,375

									10,061,932


	Real Estate Investment Trusts (4.4%)
	1,400	iStar, Inc., Senior Unsecured Notes (Callable 04/01/19 @ 103.00)	(B+, B2)		04/01/22		6.000		1,452,500
	4,400	iStar, Inc., Senior Unsecured Notes (Callable 08/31/17 @ 101.25)	(B+, B2)		07/01/19		5.000		4,460,500
	1,825	QCP SNF West/Central/East/AL REIT LLC, Rule 144A, Secured Notes (Callable 11/01/19 @ 104.06)⁽¹⁾	(B+, Caa2)		11/01/23		8.125		1,875,187
	2,500	QTS Finance Corp., Global Company Guaranteed Notes (Callable 08/31/17 @ 104.41)	(BB, B1)		08/01/22		5.875		2,621,875
	1,800	Starwood Property Trust, Inc., Global Senior Unsecured Notes (Callable 09/15/21 @ 100.00)	(BB-, Ba3e)		12/15/21		5.000		1,881,000

									12,291,062


Par (000)			Ratings† (S&P/Moody’s)	Maturity		Rate%		Value

	CORPORATE BONDS (continued)
	Recreation & Travel (2.7%)
$	3,000	ClubCorp Club Operations, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/18 @ 106.19)⁽¹⁾	(B-, B3)		12/15/23		8.250	$	3,360,000
	600	Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/22 @ 102.75)⁽¹⁾	(BB-, B2)		04/15/27		5.500		621,750
	2,150	Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 07/31/19 @ 103.66)⁽¹⁾	(BB-, B2)		07/31/24		4.875		2,193,000
	1,320	Speedway Motorsports, Inc., Global Company Guaranteed Notes (Callable 02/01/18 @ 103.84)	(BB+, Ba2)		02/01/23		5.125		1,359,600

									7,534,350


	Restaurants (0.3%)
	925	Pizza Hut Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 06/01/22 @ 102.38)⁽¹⁾	(BB, B1)		06/01/27		4.750		956,219


	Software - Services (3.8%)
	900	CDK Global, Inc., Rule 144A, Senior Unsecured Notes (Callable 06/01/22 @ 102.44)⁽¹⁾	(BB+, Ba1)		06/01/27		4.875		927,000
	1,825	First Data Corp., Rule 144A, Secured Notes (Callable 01/15/19 @ 102.88)⁽¹⁾	(B, B3)		01/15/24		5.750		1,934,500
	1,450	Infor Software Parent, Inc., 7.125% Cash, 7.875% PIK, Rule 144A, Company Guaranteed Notes (Callable 08/31/17 @ 103.56)^(1),(8)	(CCC, Caa2)		05/01/21		15.000		1,508,000
	900	j2 Global Co-Obligor, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/20 @ 104.55)⁽¹⁾	(BB, Ba3)		07/15/25		6.000		941,625
	1,050	NeuStar, Inc., Global Company Guaranteed Notes (Callable 01/15/18 @ 102.25)	(B, B2)		01/15/23		4.500		1,081,500
	3,692	Syniverse Foreign Holdings Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/19 @ 104.56)⁽¹⁾	(B, Caa3)		01/15/22		9.125		3,719,690
	639	Syniverse Holdings, Inc., Global Company Guaranteed Notes (Callable 08/31/17 @ 100.00)	(CCC+, Caa3)		01/15/19		9.125		626,220

									10,738,535


	Specialty Retail (1.4%)
	3,920	Penske Automotive Group, Inc., Global Company Guaranteed Notes (Callable 10/01/17 @ 102.88)	(B+, B1)		10/01/22		5.750		4,067,000


	Steel Producers/Products (1.0%)
	450	Commercial Metals Co., Senior Unsecured Notes (Callable 07/15/22 @ 102.69)	(BB+, Ba2)		07/15/27		5.375		470,250
	2,000	Zekelman Industries, Inc., Rule 144A, Senior Secured Notes (Callable 06/15/19 @ 104.94)⁽¹⁾	(B, Caa1)		06/15/23		9.875		2,270,000

									2,740,250


	Support - Services (8.5%)
	3,100	Avison Young Canada, Inc., Rule 144A, Senior Secured Notes (Callable 12/15/19 @ 104.75)⁽¹⁾	(B+, B3)		12/15/21		9.500		3,134,875
	3,000	Brand Energy & Infrastructure Services, Inc., Rule 144A, Senior Unsecured Notes (Callable 07/15/20 @ 106.34)⁽¹⁾	(CCC+, Caa2)		07/15/25		8.500		3,202,500
	2,550	Gartner, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/20 @ 103.84)⁽¹⁾	(BB-, B1)		04/01/25		5.125		2,703,000
	3,262	H&E Equipment Services, Inc., Global Company Guaranteed Notes (Callable 09/01/17 @ 103.50)	(BB-, B3)		09/01/22		7.000		3,392,480
	1,800	Infor U.S., Inc., Company Guaranteed Notes (Callable 05/15/18 @ 102.88)⁽⁷⁾	(CCC+, Caa1)		05/15/22		5.750		2,226,189
	1,450	KAR Auction Services, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/20 @ 103.84)⁽¹⁾	(B, B3)		06/01/25		5.125		1,515,250
	3,050	Tempo Acquisition Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 06/01/20 @ 103.38)⁽¹⁾	(CCC+, Caa1)		06/01/25		6.750		3,170,231
	1,000	United Rentals North America, Inc., Company Guaranteed Notes (Callable 05/15/22 @ 102.75)	(BB-, Ba3)		05/15/27		5.500		1,057,500
	650	United Rentals North America, Inc., Senior Unsecured Notes (Callable 01/15/23 @ 102.44)	(BB-, Ba3)		01/15/28		4.875		653,250
	2,505	Xerox Business Services LLC, Rule 144A, Company Guaranteed Notes (Callable 12/15/20 @ 105.25)⁽¹⁾	(B+, B2)		12/15/24		10.500		2,937,112

									23,992,387


	Tech Hardware & Equipment (2.5%)
	550	CDW Finance Corp., Company Guaranteed Notes (Callable 03/01/20 @ 103.75)	(BB-, Ba3)		09/01/25		5.000		577,159
	950	CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 03/15/22 @ 102.50)⁽¹⁾	(BB-, Ba3)		03/15/27		5.000		954,750
	1,950	CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 06/15/20 @ 103.00)⁽¹⁾	(BB-, Ba3)		06/15/25		6.000		2,106,000


Par (000)			Ratings† (S&P/Moody’s)	Maturity		Rate%		Value

	CORPORATE BONDS (continued)
	Tech Hardware & Equipment
$	2,385	Riverbed Technology, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/18 @ 104.44)^(1),(2)	(CCC+, Caa1)		03/01/23		8.875	$	2,376,056
	800	Western Digital Corp., Rule 144A, Senior Secured Notes (Callable 04/01/19 @ 103.69)⁽¹⁾	(BBB-, Ba1)		04/01/23		7.375		880,000

									6,893,965


	Telecom - Satellite (1.6%)
	3,000	Hughes Satellite Systems Corp., Global Company Guaranteed Notes	(BB-, B3)		06/15/21		7.625		3,453,750
	1,000	Hughes Satellite Systems Corp., Global Senior Secured Notes	(BBB-, Ba2)		08/01/26		5.250		1,052,500

									4,506,250


	Telecom - Wireless (0.6%)
	1,400	T-Mobile U.S.A., Inc., Global Company Guaranteed Notes (Callable 01/15/21 @ 103.25)	(BB, Ba3)		01/15/26		6.500		1,561,000


	Telecom - Wireline Integrated & Services (2.2%)
	700	CyrusOne Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 03/15/22 @ 102.69)⁽¹⁾	(BB, Ba3)		03/15/27		5.375		741,125
	725	Equinix, Inc., Senior Unsecured Notes (Callable 05/15/22 @ 102.69)	(BB+, B1)		05/15/27		5.375		785,719
	1,175	GTT Communications, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/31/19 @ 105.91)⁽¹⁾	(B-, Caa1)		12/31/24		7.875		1,266,063
	1,000	Zayo Capital, Inc., Global Company Guaranteed Notes (Callable 04/01/18 @ 104.50)	(B, B3)		04/01/23		6.000		1,058,750
	2,175	Zayo Capital, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/22 @ 102.88)⁽¹⁾	(B, B3)		01/15/27		5.750		2,310,937

									6,162,594


	Theaters & Entertainment (2.5%)
	500	AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes (Callable 05/15/22 @ 103.06)⁽²⁾	(B+, B2)		05/15/27		6.125		515,575
	1,600	AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes (Callable 08/31/17 @ 104.41)	(B+, B2)		02/15/22		5.875		1,670,000
	855	AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes (Callable 11/15/21 @ 102.94)	(B+, B2)		11/15/26		5.875		874,152
	1,475	Carmike Cinemas, Inc., Rule 144A, Secured Notes (Callable 06/15/18 @ 104.50)⁽¹⁾	(BB, Ba1)		06/15/23		6.000		1,567,188
	2,200	Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/19 @ 103.66)⁽¹⁾	(B+, B3)		11/01/24		4.875		2,260,500

									6,887,415

	TOTAL CORPORATE BONDS (Cost $308,803,825)								317,683,736


	BANK LOANS (21.1%)
	Aerospace& Defense (0.7%)
	1,950	Sequa Mezzanine Holdings LLC⁽⁹⁾	(B-, B3)		11/28/21		6.814		1,970,668


	Auto Parts & Equipment (1.0%)
	740	Dayco Products LLC⁽⁹⁾	(B+, B2)		05/19/23		6.234		745,550
	2,800	Jason, Inc.^(5),(9)	(CCC+, Caa3)		06/30/22		9.296		2,152,258

									2,897,808


	Beverages (0.7%)
	2,000	The Winebow Group, Inc.^(5),(9)	(CCC, Caa1)		12/31/21		8.734		1,870,000


	Chemicals (3.6%)
	2,118	Ascend Performance Materials Operations LLC⁽⁹⁾	(B-, B2)		08/12/22		6.796		2,141,898
	1,000	ASP Chromaflo Intermediate Holdings, Inc.⁽⁹⁾	(CCC, Caa2)		11/14/24		9.234		998,750
	1,000	SK Spice Sarl⁽⁹⁾	(NR, Caa1)		07/11/25		9.474		1,015,000
	2,500	Solenis International LP⁽⁹⁾	(B-, Caa1)		07/31/22		7.952		2,513,025
	3,500	Vantage Specialty Chemicals, Inc.^(5),(9)	(CCC, Caa1)		02/05/22		9.984		3,517,500

									10,186,173


	Diversified Capital Goods (0.7%)
	2,045	Dynacast International LLC⁽⁹⁾	(B-, Caa1)		01/30/23		9.796		2,055,225


	Electronics (0.4%)
	1,000	CPI International, Inc.⁽⁹⁾	(CCC+, Caa2)		07/25/25		10.500		1,005,000


	Energy - Exploration & Production (1.2%)
	1,750	Chief Exploration & Development LLC⁽⁹⁾	(NR, NR)		05/16/21		7.932		1,709,172


Par (000)			Ratings† (S&P/Moody’s)	Maturity		Rate%		Value

	BANK LOANS (continued)
	Energy - Exploration & Production
$	2,000	W&T Offshore, Inc.⁽⁹⁾	(CCC, Caa2)		05/15/20		9.000	$	1,710,000

									3,419,172


	Gaming (1.4%)
	3,000	The Intertain Group Ltd.^(3),(5),(9)	(B, Caa1)		12/16/22		10.000		3,994,600


	Health Facility (0.4%)
	1,173	Western Dental Services, Inc.⁽⁹⁾	(B-, B3)		06/23/23		6.484		1,181,446


	Insurance Brokerage (0.7%)
	1,995	Acrisure LLC⁽⁹⁾	(B, B2)		11/22/23		6.296		2,024,925


	Investments & Misc. Financial Services (1.1%)
	3,000	Mergermarket U.S.A., Inc.⁽⁹⁾	(CCC+, Caa2)		02/04/22		7.723		3,000,000


	Machinery (1.9%)
	2,750	CPM Holdings, Inc.^(5),(9)	(B-, Caa1)		04/10/23		10.476		2,805,000
	2,475	WireCo WorldGroup, Inc.⁽⁹⁾	(B-, Caa2)		09/30/24		10.202		2,495,889

									5,300,889


	Media Content (0.4%)
	1,000	DLG Acquisitions Ltd.^(7),(9)	(CCC+, Caa2)		06/30/22		8.250		1,192,117


	Oil Refining & Marketing (0.9%)
	2,902	Philadelphia Energy Solutions LLC⁽⁹⁾	(B+, B3)		04/04/18		6.257		2,625,871


	Personal & Household Products (1.4%)
	1,990	ABG Intermediate Holdings 2 LLC^(5),(9)	(CCC+, Caa1)		05/27/22		9.796		2,014,875
	2,300	Comfort Holding LLC⁽⁹⁾	(CCC-, Caa1)		01/17/25		11.135		1,966,500

									3,981,375


	Recreation & Travel (1.1%)
	3,000	Legendary Pictures Funding LLC^(5),(9)	(NR, NR)		04/22/20		7.296		3,003,750


	Software - Services (2.1%)
	1,309	Almonde, Inc.⁽⁹⁾	(CCC+, Caa2)		06/13/25		8.459		1,347,951
	2,590	Aricent Technologies⁽⁹⁾	(CCC, Caa2)		04/14/22		9.724		2,617,519
	1,250	Eze Castle Software, Inc.⁽⁹⁾	(CCC+, Caa1)		04/05/21		7.796		1,253,125
	741	LDiscovery LLC⁽⁹⁾	(B+, B2)		12/09/22		7.055		697,113

									5,915,708


	Support - Services (0.5%)
	500	Pike Corp.⁽⁹⁾	(CCC+, Caa1)		09/02/24		9.240		508,750
	2,671	Sprint Industrial Holdings LLC^(5),(9)	(CC, Caa3)		11/14/19		13.546		734,534

									1,243,284


	Telecom - Wireline Integrated & Services (0.8%)
	2,250	Omnitracs, Inc.⁽⁹⁾	(CCC+, Caa1)		05/25/21		9.050		2,261,250


	Theaters & Entertainment (0.1%)
	320	NEG Holdings LLC^(5),(6),(9)	(NR, NR)		10/17/22		9.296		237,173

	TOTAL BANK LOANS (Cost $58,691,825)								59,366,434


Number of Shares

	COMMON STOCKS (1.8%)
	Auto Parts & Equipment (0.5%)
	109,693	UCI International, Inc.^(5),(6),(10)							1,371,163


	Building & Construction (0.0%)
	13	White Forest Resources, Inc.^(5),(6),(10)							161


	Building Materials (0.0%)
	619	Dayton Superior Corp.^(5),(6),(10)							—


	Chemicals (0.0%)
	4,893	Huntsman Corp.⁽⁵⁾							130,252


	Oil Field Equipment & Services (0.4%)
	26	Sidewinder Drilling, Inc., Series A^(5),(6),(10)							1,009,362


	Oil, Gas & Consumable Fuels (0.6%)
	5,416	Bonanza Creek Energy, Inc.⁽¹⁰⁾							157,281


Number of Shares							Value

	COMMON STOCKS (continued)
	Oil, Gas & Consumable Fuels
	71,901	Stone Energy Corp.⁽¹⁰⁾					$	1,551,623

								1,708,904


	Support - Services (0.3%)
	2,100	LTR Holdings LLC⁽¹⁰⁾						798,000
	692	Sprint Industrial Holdings LLC, Class G^(6),(10)						—
	63	Sprint Industrial Holdings LLC, Class H^(6),(10)						—
	153	Sprint Industrial Holdings LLC, Class I^(6),(10)						—

								798,000


	Theaters & Entertainment (0.0%)
	40	NEG Holdings LLC, Litigation Trust Units^(5),(6),(10)						—

	TOTAL COMMON STOCKS (Cost $7,103,613)							5,017,842


	PREFERRED STOCK (0.0%)
	Building Materials (0.0%)
	688	Dayton Superior Corp.^(5),(6),(10) (Cost $250,835)						—


	SHORT-TERM INVESTMENTS (6.5%)
	10,207,713	State Street Navigator Securities Lending Government Money Market Portfolio, 0.99%⁽¹¹⁾						10,207,713

Par (000)			Maturity		Rate%
$	8,021	State Street Bank and Trust Co. Euro Time Deposit		08/01/17		0.120		8,020,511



	TOTAL SHORT-TERM INVESTMENTS (Cost $18,228,224)							18,228,224


	TOTAL INVESTMENTS AT VALUE (142.4%) (Cost $393,078,322)							400,296,236

	LIABILITIES IN EXCESS OF OTHER ASSETS (-42.4%)							(119,131,468	)


	NET ASSETS (100.0%)						$	281,164,768

†	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.

⁽¹⁾

Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2017, these securities amounted to a value of $213,928,850 or 76.1% of net assets.

⁽²⁾	Security or portion thereof is out on loan.

⁽³⁾	This security is denominated in British Pound.

⁽⁴⁾	Bond is currently in default.

⁽⁵⁾	Illiquid security (unaudited).

⁽⁶⁾	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.

⁽⁷⁾	This security is denominated in Euro.

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

⁽⁹⁾	Variable rate obligation — The interest rate shown is as of July 31, 2017.

⁽¹⁰⁾	Non-income producing security.

⁽¹¹⁾	Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at July 31, 2017.

Forward Foreign Currency Contracts


Forward Currency to be Purchased (Local)		Forward Currency to be Sold (Local)		Expiration Date	Counterparty	Value on Settlement Date			Current Value/Notional			Net Unrealized Appreciation (Depreciation)
EUR	1,700,000	USD	1,841,544	12/15/17	Morgan Stanley	$	1,841,544		$	2,019,050		$	177,506
GBP	1,405,650	USD	1,794,614	10/13/17	Morgan Stanley		1,794,614			1,857,594			62,980
USD	7,617,123	EUR	6,786,500	10/13/17	Morgan Stanley		(7,617,123	)		(8,032,238	)		(415,115	)
USD	139,592	EUR	128,500	12/15/17	Morgan Stanley		(139,592	)		(152,616	)		(13,024	)
USD	6,857,738	GBP	5,552,750	10/13/17	Morgan Stanley		(6,857,738	)		(7,338,072	)		(480,334	)
USD	1,521,393	GBP	1,201,250	12/15/17	Morgan Stanley		(1,521,393	)		(1,590,686	)		(69,293	)


												$	(737,280	)

Currency Abbreviations:

EUR = Euro

GBP = British Pound

USD = United States Dollar

SECURITY VALUATION — The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional “round lot” size, but some trades occur in smaller “odd lot” sizes which may be effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board of Trustees (the “Board”) to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more brokers/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved and established by the Board.

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

Accounting principles generally accepted in the United States of America (“GAAP”) established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at each measurement date. These inputs are summarized in the three broad levels listed below:

Level 1–quoted prices in active markets for identical investments

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

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

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

The following is a summary of the inputs used as of July 31, 2017 in valuing the Fund’s assets and liabilities carried at fair value:


Assets	Level 1		Level 2		Level 3			Total
Investments in Securities
Corporate Bonds	$	—	$	316,381,125	$	1,302,611		$	317,683,736
Bank Loans		—		35,555,267		23,811,167			59,366,434
Common Stocks		1,839,156		798,000		2,380,686	⁽¹⁾		5,017,842	⁽¹⁾
Preferred Stocks		—		—		0	⁽¹⁾		0	⁽¹⁾
Short-term Investments		—		18,228,224		—			18,228,224

	$	1,839,156	$	370,962,616	$	27,494,464	⁽¹⁾	$	400,296,236	⁽¹⁾

Other Financial Instruments*
Forward Foreign Currency Contracts	$	—	$	240,486	$	—		$	240,486

Liabilities	Level 1		Level 2		Level 3			Total
Other Financial Instruments*
Forward Foreign Currency Contracts	$	—	$	977,766	$	—		$	977,766

⁽¹⁾	Includes zero valued securities.

*	Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts.

The following is a reconciliation of investments as of July 31, 2017 for which significant unobservable inputs were used in determining value. All transfers, if any, are assumed to occur at the end of the reporting period.


	Corporate Bonds			Bank Loans			Common Stocks			Preferred Stock			Total
Balance as of October 31, 2016	$	2,880,737		$	20,702,208		$	1,131,580	⁽¹⁾	$	0	⁽¹⁾	$	24,714,525	⁽¹⁾
Accrued discounts (premiums)		(18,008	)		85,255			—			—			67,247
Purchases		1,285,736			9,558,898			3,213,284			—			14,057,918
Sales		(3,580,986	)		(8,144,856	)		(287,500	)		—			(12,013,342	)
Realized gain (loss)		(1,222,659	)		141,565			(90,000	)		—			(1,171,094	)
Change in unrealized appreciation (depreciation)		1,957,791			616,199			(788,678	)		—			1,785,312
Transfers into Level 3		—			3,851,898			—			—			3,851,898
Transfers out of Level 3		—			(3,000,000	)		(798,000	)		—			(3,798,000	)

Balance as of July 31, 2017	$	1,302,611		$	23,811,167		$	2,380,686	⁽¹⁾	$	0	⁽¹⁾	$	27,494,464	⁽¹⁾


Net change in unrealized appreciation (depreciation) from investments still held as of July 31, 2017	$	(5,351	)	$	265,266		$	(832,778	)	$	—		$	(572,863	)

⁽¹⁾	Includes zero valued securities.

Quantitative Disclosure About Significant Unobservable Inputs


Asset Class	Fair Value at 7/31/2017		Valuation Techniques	Unobservable Input	Range (Weighted Average) (per share)
Corporate Bonds	$	9,780	Income Approach	Expected Remaining Distribution	NA
	$	1,292,831	Market Approach	Comparable Bond Price	NA
Bank Loans	$	237,173	Market Approach	Discount For Illiquidity	NA
	$	23,573,994	Vendor Pricing	Single Broker Quote	$0.86 – $1.02 ($0.99)
Common Stocks	$	161	Market Approach	Discount For Illiquidity	$0.00 – $12.69 ($0.24)
	$	1,009,362	Market Approach	Comparable Bond Price	$0.00 – $39,426.66 ($1,080.70)
	$	1,371,163	Vendor Pricing	Single Broker Quote	NA
Preferred Stock	$	0	Market Approach	Discount For Illiquidity	NA

Each fair value determination is based on a consideration of relevant factors, including both observable and unobservable inputs. Observable and unobservable inputs that Credit Suisse Asset Management, LLC, the Fund’s investment adviser (“Credit Suisse” or the “Adviser”) considers may include (i) the existence of any contractual restrictions on the disposition of securities; (ii) information obtained from the company, which may include an analysis of the company’s financial statements, the company’s products or intended markets or the company’s technologies; (iii) the price of the same or similar security negotiated at arm’s length in an issuer’s completed subsequent round of financing; (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies; or (v) a probability and time value adjusted analysis of contractual term. Where available and appropriate, multiple valuation methodologies are applied to confirm fair value. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, determining fair value requires more judgment. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the investments existed. Accordingly, the degree of judgment exercised by the Fund in determining fair value is greatest for investments categorized in Level 3. In some circumstances, the inputs used to measure fair value might be categorized within different levels of the fair value hierarchy. In those instances, the fair value measurement is categorized in its entirety in the fair value hierarchy based on the least observable input that is significant to the fair value measurement. Additionally, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different from the valuations used at the date of these financial statements.

During the period ended July 31, 2017, there were no transfers between Level 1 and Level 2, but there was $3,851,898 transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $3,798,000 transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs. All transfers, if any, are assumed to occur at the end of the reporting period.

Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Fund’s website at www.credit-suisse.com/us/funds, as well as on the website of the Securities and Exchange Commission at www.sec.gov.

Item 2: Controls and Procedures

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

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

Item 3: Exhibits

1. The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits 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 and President

Date: September 15, 2017

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

/s/John G. Popp

Name: John G. Popp

Title: Chief Executive Officer and President

Date: September 15, 2017

/s/Laurie Pecha

Name: Laurie Pecha

Title: Chief Financial Officer

Date: September 15, 2017

EX-99.CERT 2 d246083dex99cert.htm CERTIFICATIONS Certifications

I, John G. Popp, certify that:

1. I have reviewed this report on Form N-Q of Credit Suisse High Yield Bond Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: September 15, 2017

/s/John G. Popp

Name: John G. Popp

Title: Chief Executive Officer and President

I, Laurie Pecha, certify that:

1. I have reviewed this report on Form N-Q of Credit Suisse High Yield Bond Fund;

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: September 15, 2017

/s/Laurie Pecha

Name: Laurie Pecha

Title: Chief Financial Officer