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