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
Eleven Madison Avenue
New York, New York 10010
(Address of principal executive offices) (Zip code)
John G. Popp
Eleven Madison Avenue
New York, New York 10010
(Name and address of agent for service)
Registrants telephone number, including area code: (212) 325-2000 | ||
Date of fiscal year-end: | October 31st | |
Date of reporting period: | May 1, 2018 to July 31, 2018 |
Item 1: Schedule of Investments
Credit Suisse High Yield Bond Fund
Schedule of Investments
July 31, 2018 (unaudited)
Par (000) |
Ratings |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (114.4%) |
||||||||||||||||||
Air Transportation (0.4%) |
||||||||||||||||||
$ | 1,150 | United Continental Holdings, Inc., Company Guaranteed Notes(1) |
(BB, Ba3) | 02/01/24 | 5.000 | $ | 1,129,875 | |||||||||||
|
|
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Auto Parts & Equipment (0.9%) |
||||||||||||||||||
2,650 | Cooper-Standard Automotive, Inc., Rule 144A, Company Guaranteed Notes |
(B+, B1) | 11/15/26 | 5.625 | 2,610,250 | |||||||||||||
|
|
|||||||||||||||||
Brokerage (3.2%) |
||||||||||||||||||
1,400 | Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes |
(B, B1) | 04/15/22 | 6.875 | 1,417,738 | |||||||||||||
2,950 | Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes |
(B, B1) | 04/15/21 | 7.500 | 3,023,750 | |||||||||||||
4,450 | LPL Holdings, Inc., Rule 144A, Company Guaranteed Notes |
(B+, B2) | 09/15/25 | 5.750 | 4,327,625 | |||||||||||||
|
|
|||||||||||||||||
8,769,113 | ||||||||||||||||||
|
|
|||||||||||||||||
Building & Construction (0.9%) |
||||||||||||||||||
400 | Mason Finance Sub, Inc., Rule 144A, Secured Notes |
(B, B2) | 08/15/23 | 6.875 | 400,000 | |||||||||||||
2,271 | TopBuild Corp., Rule 144A, Company Guaranteed Notes |
(BB-, B1) | 05/01/26 | 5.625 | 2,231,258 | |||||||||||||
|
|
|||||||||||||||||
2,631,258 | ||||||||||||||||||
|
|
|||||||||||||||||
Building Materials (9.7%) |
||||||||||||||||||
1,500 | American Builders & Contractors Supply Co., Inc., Rule 144A, Company Guaranteed
Notes |
(B+, B3) | 05/15/26 | 5.875 | 1,501,875 | |||||||||||||
1,150 | American Builders & Contractors Supply Co., Inc., Rule 144A, Senior Unsecured Notes (Callable 12/15/18 @ 104.31)(1),(2) |
(B+, B3) | 12/15/23 | 5.750 | 1,184,500 | |||||||||||||
2,925 | Beacon Roofing Supply, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/20 @ 102.44)(2) |
(B+, B3) | 11/01/25 | 4.875 | 2,739,408 | |||||||||||||
675 | Core & Main LP, Rule 144A, Senior Unsecured Notes |
(B-, Caa1) | 08/15/25 | 6.125 | 651,375 | |||||||||||||
3,925 | FBM Finance, Inc., Rule 144A, Senior Secured Notes |
(B+, B3) | 08/15/21 | 8.250 | 4,101,625 | |||||||||||||
900 | James Hardie International Finance DAC, Rule 144A, Company Guaranteed Notes |
(BB, Ba1) | 01/15/28 | 5.000 | 859,500 | |||||||||||||
800 | Jeld-Wen, Inc., Rule 144A, Company Guaranteed
Notes |
(BB-, B1) | 12/15/25 | 4.625 | 762,000 | |||||||||||||
2,500 | Jeld-Wen, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/22 @ 102.44)(2) |
(BB-, B1) | 12/15/27 | 4.875 | 2,334,375 | |||||||||||||
3,900 | Omnimax International, Inc., Rule 144A, Senior Secured Notes |
(B-, Caa1) | 08/15/20 | 12.000 | 4,095,000 | |||||||||||||
3,540 | PriSo Acquisition Corp., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa1) | 05/15/23 | 9.000 | 3,690,450 | |||||||||||||
1,000 | Summit Materials Finance Corp., Global Company Guaranteed Notes |
(BB, B3) | 04/15/22 | 8.500 | 1,080,000 | |||||||||||||
1,075 | Summit Materials Finance Corp., Global Company Guaranteed Notes |
(BB, B3) | 07/15/23 | 6.125 | 1,096,500 | |||||||||||||
975 | U.S. Concrete, Inc., Global Company Guaranteed Notes |
(BB-, B3) | 06/01/24 | 6.375 | 976,219 | |||||||||||||
1,600 | USG Corp., Rule 144A, Company Guaranteed Notes |
(BB+, Ba1) | 06/01/27 | 4.875 | 1,632,000 | |||||||||||||
|
|
|||||||||||||||||
26,704,827 | ||||||||||||||||||
|
|
|||||||||||||||||
Cable & Satellite TV (10.5%) |
||||||||||||||||||
2,300 | Altice Financing S.A., Rule 144A, Senior Secured Notes |
(B+, B1) | 05/15/26 | 7.500 | 2,245,030 | |||||||||||||
2,065 | Altice Financing S.A., Rule 144A, Senior Secured Notes |
(B+, B1) | 02/15/23 | 6.625 | 2,093,394 | |||||||||||||
650 | Altice France S.A., Rule 144A, Senior Secured Notes |
(B, B1) | 05/01/26 | 7.375 | 645,125 | |||||||||||||
2,800 | Altice France S.A., Rule 144A, Senior Secured Notes |
(B, B1) | 05/15/24 | 6.250 | 2,793,000 | |||||||||||||
2,200 | Altice U.S. Finance I Corp., Rule 144A, Senior Secured Notes |
(BB, Ba3) | 07/15/23 | 5.375 | 2,224,750 | |||||||||||||
4,000 | Block Communications, Inc., Rule 144A, Senior Unsecured Notes |
(BB-, Ba3) | 02/15/25 | 6.875 | 4,000,000 | |||||||||||||
1,315 | CSC Holdings LLC, Global Senior Unsecured Notes(1) |
(B-, B2) | 06/01/24 | 5.250 | 1,268,975 |
Par (000) |
Ratings |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Cable & Satellite TV |
||||||||||||||||||
$ | 750 | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes |
(BB-, Ba2) | 02/01/28 | 5.375 | $ | 708,532 | |||||||||||
525 | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes |
(BB-, Ba2) | 04/15/27 | 5.500 | 506,625 | |||||||||||||
800 | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes |
(BB-, Ba2) | 10/15/25 | 6.625 | 828,000 | |||||||||||||
840 | CSC Holdings LLC, Rule 144A, Senior Unsecured Notes |
(B-, B2) | 10/15/25 | 10.875 | 976,500 | |||||||||||||
1,750 | Midcontinent Finance Corp., Rule 144A, Company Guaranteed Notes |
(B, B3) | 08/15/23 | 6.875 | 1,850,625 | |||||||||||||
1,370 | Radiate Finance, Inc., Rule 144A, Senior Unsecured Notes |
(CCC+, NR) | 02/15/23 | 6.875 | 1,332,325 | |||||||||||||
2,000 | Telenet Finance Luxembourg Notes Sarl, Rule 144A, Senior Secured Notes |
(BB-, Ba3) | 03/01/28 | 5.500 | 1,835,000 | |||||||||||||
1,000 | Virgin Media Finance PLC, Rule 144A, Company Guaranteed Notes |
(B, B2) | 04/15/23 | 7.000 | 1,358,762 | |||||||||||||
1,000 | Virgin Media Secured Finance PLC, Rule 144A, Senior Secured Notes |
(BB-, Ba3) | 04/15/27 | 5.000 | 1,289,530 | |||||||||||||
3,250 | Ziggo B.V., Rule 144A, Senior Secured Notes |
(BB-, B1) | 01/15/27 | 5.500 | 3,103,750 | |||||||||||||
|
|
|||||||||||||||||
29,059,923 | ||||||||||||||||||
|
|
|||||||||||||||||
Chemicals (5.5%) |
||||||||||||||||||
2,650 | A Schulman, Inc., Global Company Guaranteed Notes |
(B, B3) | 06/01/23 | 6.875 | 2,782,500 | |||||||||||||
2,000 | Alpha 2 B.V., 8.75% Cash, 9.50% PIK, Rule 144A, Senior Unsecured Notes |
(CCC+, Caa1) | 06/01/23 | 18.250 | 2,012,500 | |||||||||||||
2,100 | Alpha U.S. Bidco, Inc., Rule 144A, Company Guaranteed Notes |
(CCC+, Caa1) | 02/01/25 | 6.250 | 2,063,250 | |||||||||||||
1,550 | Ingevity Corp., Rule 144A, Senior Unsecured Notes |
(NR, Ba3) | 02/01/26 | 4.500 | 1,457,000 | |||||||||||||
1,000 | Nufarm Americas Inc., Rule 144A, Company Guaranteed Notes |
(BB-, B1) | 04/30/26 | 5.750 | 961,250 | |||||||||||||
272 | Reichhold Industries, Inc., Rule 144A, Senior Secured Notes(2),(5),(6),(7),(8) |
(NR, NR) | 05/01/18 | 9.000 | 9,779 | |||||||||||||
2,000 | Trinseo Materials Finance, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, B2) | 09/01/25 | 5.375 | 1,980,000 | |||||||||||||
1,250 | Tronox, Inc., Rule 144A, Company Guaranteed Notes |
(B-, B3) | 04/15/26 | 6.500 | 1,243,750 | |||||||||||||
2,000 | Venator Materials LLC, Rule 144A, Company Guaranteed Notes |
(BB-, B2) | 07/15/25 | 5.750 | 1,860,000 | |||||||||||||
675 | Versum Materials, Inc., Rule 144A, Company Guaranteed Notes |
(BB+, Ba3) | 09/30/24 | 5.500 | 689,344 | |||||||||||||
|
|
|||||||||||||||||
15,059,373 | ||||||||||||||||||
|
|
|||||||||||||||||
Consumer/Commercial/Lease Financing (1.9%) |
||||||||||||||||||
4,500 | Infinity Acquisition Finance Corp., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 08/01/22 | 7.250 | 4,581,585 | |||||||||||||
775 | Lincoln Finance Ltd., Rule 144A, Senior Secured Notes |
(BB+, B1) | 04/15/21 | 7.375 | 803,249 | |||||||||||||
|
|
|||||||||||||||||
5,384,834 | ||||||||||||||||||
|
|
|||||||||||||||||
Diversified Capital Goods (2.2%) |
||||||||||||||||||
2,050 | Anixter, Inc., Global Company Guaranteed Notes |
(BB, Ba3) | 03/01/23 | 5.500 | 2,124,313 | |||||||||||||
3,700 | Compass Group Diversified Holdings LLC, Rule 144A, Senior Unsecured Notes |
(B-, B3) | 05/01/26 | 8.000 | 3,626,000 | |||||||||||||
360 | EnerSys, Rule 144A, Company Guaranteed Notes |
(BB+, Ba2) | 04/30/23 | 5.000 | 364,050 | |||||||||||||
|
|
|||||||||||||||||
6,114,363 | ||||||||||||||||||
|
|
|||||||||||||||||
Electronics (1.7%) |
||||||||||||||||||
2,125 | Entegris, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, Ba3) | 02/10/26 | 4.625 | 2,024,062 | |||||||||||||
325 | NXP Funding LLC, Rule 144A, Company Guaranteed Notes(2) |
(BBB-, Ba1) | 06/01/23 | 4.625 | 329,469 |
Par (000) |
Ratings |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Electronics |
||||||||||||||||||
$ | 2,250 | Sensata Technologies B.V., Rule 144A, Company Guaranteed Notes(2) |
(BB+, Ba3) | 10/01/25 | 5.000 | $ | 2,261,250 | |||||||||||
|
|
|||||||||||||||||
4,614,781 | ||||||||||||||||||
|
|
|||||||||||||||||
Energy - Exploration & Production (1.8%) |
||||||||||||||||||
1,981 | Talos Production Finance, Inc., Rule 144A, Secured Notes |
(NR, NR) | 04/03/22 | 11.000 | 2,079,794 | |||||||||||||
|
3,000 |
|
W&T Offshore, Inc., Global Company Guaranteed Notes |
(CC, Ca) | 06/15/19 | 8.500 | 2,985,000 | |||||||||||
|
|
|||||||||||||||||
5,064,794 | ||||||||||||||||||
|
|
|||||||||||||||||
Food - Wholesale (1.6%) |
||||||||||||||||||
2,100 | Clearwater Seafoods, Inc., Rule 144A, Senior Unsecured Notes |
(B+, B3) | 05/01/25 | 6.875 | 2,021,250 | |||||||||||||
1,000 | Lamb Weston Holdings, Inc., Rule 144A, Company Guaranteed Notes |
(BB, Ba3) | 11/01/26 | 4.875 | 986,250 | |||||||||||||
1,550 | U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes |
(BB, B2) | 06/15/24 | 5.875 | 1,550,000 | |||||||||||||
|
|
|||||||||||||||||
4,557,500 | ||||||||||||||||||
|
|
|||||||||||||||||
Gaming (2.6%) |
||||||||||||||||||
825 | Boyd Gaming Corp., Rule 144A, Company Guaranteed Notes |
(B, B3) | 08/15/26 | 6.000 | 833,250 | |||||||||||||
2,500 | Churchill Downs, Inc., Rule 144A, Company Guaranteed Notes |
(B+, B2) | 01/15/28 | 4.750 | 2,356,250 | |||||||||||||
1,500 | Gateway Casinos & Entertainment Ltd., Rule 144A, Secured Notes |
(CCC+, Caa1) | 03/01/24 | 8.250 | 1,593,750 | |||||||||||||
2,200 | Jacobs Entertainment, Inc., Rule 144A, Secured Notes |
(B, B2) | 02/01/24 | 7.875 | 2,304,500 | |||||||||||||
|
|
|||||||||||||||||
7,087,750 | ||||||||||||||||||
|
|
|||||||||||||||||
Gas Distribution (3.3%) |
||||||||||||||||||
800 | CNX Midstream Finance Corp., Rule 144A, Senior Unsecured Notes |
(BB-, B3) | 03/15/26 | 6.500 | 786,000 | |||||||||||||
2,469 | Energy Transfer Equity LP, Senior Secured Notes |
(BB-, Ba2) | 10/15/20 | 7.500 | 2,641,830 | |||||||||||||
1,250 | Genesis Energy Finance Corp., Company Guaranteed Notes |
(BB-, B1) | 05/15/26 | 6.250 | 1,178,125 | |||||||||||||
2,750 | Genesis Energy Finance Corp., Company Guaranteed Notes |
(BB-, B1) | 06/15/24 | 5.625 | 2,578,125 | |||||||||||||
2,000 | Holly Energy Finance Corp., Rule 144A, Company Guaranteed Notes |
(BB, B2) | 08/01/24 | 6.000 | 2,057,580 | |||||||||||||
|
|
|||||||||||||||||
9,241,660 | ||||||||||||||||||
|
|
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Health Facilities (1.9%) |
||||||||||||||||||
2,200 | HCA, Inc., Senior Secured Notes |
(BBB-, Ba1) | 03/15/24 | 5.000 | 2,238,500 | |||||||||||||
500 | MPT Finance Corp., Global Company Guaranteed Notes |
(BBB-, Ba1) | 05/01/24 | 5.500 | 506,250 | |||||||||||||
2,625 | Sabra Health Care LP, Global Company Guaranteed Notes |
(BBB-, Ba1) | 08/15/26 | 5.125 | 2,523,526 | |||||||||||||
|
|
|||||||||||||||||
5,268,276 | ||||||||||||||||||
|
|
|||||||||||||||||
Health Services (1.9%) |
||||||||||||||||||
2,500 | AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes |
(B+, Ba2) | 10/01/24 | 5.125 | 2,450,000 | |||||||||||||
1,115 | CareTrust Capital Corp., Company Guaranteed Notes |
(BB, Ba3) | 06/01/25 | 5.250 | 1,087,125 | |||||||||||||
1,700 | Sotera Health Holdings LLC, Rule 144A, Senior Unsecured Notes |
(CCC+, Caa1) | 05/15/23 | 6.500 | 1,729,750 | |||||||||||||
|
|
|||||||||||||||||
5,266,875 | ||||||||||||||||||
|
|
|||||||||||||||||
Hotels (1.1%) |
||||||||||||||||||
3,000 | ESH Hospitality, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, B1) | 05/01/25 | 5.250 | 2,917,800 | |||||||||||||
|
|
|||||||||||||||||
Insurance Brokerage (3.3%) |
||||||||||||||||||
3,530 | Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 11/15/25 | 7.000 | 3,203,475 |
Par (000) |
Ratings |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Insurance Brokerage |
||||||||||||||||||
$ | 2,500 | HUB International Ltd., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 05/01/26 | 7.000 | $ | 2,515,625 | |||||||||||
3,375 | NFP Corp., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 07/15/25 | 6.875 | 3,299,062 | |||||||||||||
|
|
|||||||||||||||||
9,018,162 | ||||||||||||||||||
|
|
|||||||||||||||||
Investments & Misc. Financial Services (1.2%) |
||||||||||||||||||
3,125 | Orchestra Co-Issuer, Inc., Rule 144A, Secured
Notes |
(B-, B1) | 06/15/22 | 6.750 | 3,222,656 | |||||||||||||
|
|
|||||||||||||||||
Machinery (0.9%) |
||||||||||||||||||
1,000 | Itron, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, B2) | 01/15/26 | 5.000 | 955,000 | |||||||||||||
1,575 | Terex Corp., Rule 144A, Company Guaranteed Notes |
(BB, B2) | 02/01/25 | 5.625 | 1,565,156 | |||||||||||||
|
|
|||||||||||||||||
2,520,156 | ||||||||||||||||||
|
|
|||||||||||||||||
Media - Diversified (0.4%) |
||||||||||||||||||
500 | National CineMedia LLC, Global Senior Secured Notes |
(B+, Ba3) | 04/15/22 | 6.000 | 510,000 | |||||||||||||
750 | National CineMedia LLC, Global Senior Unsecured Notes |
(B-, B3) | 08/15/26 | 5.750 | 699,375 | |||||||||||||
|
|
|||||||||||||||||
1,209,375 | ||||||||||||||||||
|
|
|||||||||||||||||
Media Content (2.3%) |
||||||||||||||||||
2,625 | EMI Music Publishing Group North America Holdings, Inc., Rule 144A, Company Guaranteed
Notes |
(B, B3) | 06/15/24 | 7.625 | 2,831,719 | |||||||||||||
550 | Netflix, Inc., Global Senior Unsecured Notes |
(B+, Ba3) | 03/01/24 | 5.750 | 564,438 | |||||||||||||
750 | Netflix, Inc., Global Senior Unsecured Notes |
(B+, Ba3) | 02/15/25 | 5.875 | 770,775 | |||||||||||||
800 | Netflix, Inc., Rule 144A, Senior Unsecured Notes(2) |
(B+, Ba3) | 11/15/28 | 5.875 | 806,000 | |||||||||||||
517 | The EW Scripps Co., Rule 144A, Company Guaranteed Notes |
(BB-, B1) | 05/15/25 | 5.125 | 487,758 | |||||||||||||
1,000 | WMG Acquisition Corp., Rule 144A, Senior Secured Notes |
(B+, Ba3) | 11/01/24 | 4.875 | 982,500 | |||||||||||||
|
|
|||||||||||||||||
6,443,190 | ||||||||||||||||||
|
|
|||||||||||||||||
Medical Products (0.6%) |
||||||||||||||||||
1,550 | Sotera Health Topco, Inc., 8.125% Cash, 8.875% PIK, Rule 144A, Senior Unsecured
Notes |
(CCC+, Caa2) | 11/01/21 | 17.000 | 1,571,003 | |||||||||||||
|
|
|||||||||||||||||
Metals & Mining - Excluding Steel (4.4%) |
||||||||||||||||||
2,200 | Cleveland-Cliffs, Inc., Rule 144A, Senior Secured Notes |
(BB-, Ba3) | 01/15/24 | 4.875 | 2,156,000 | |||||||||||||
2,950 | Eldorado Gold Corp., Rule 144A, Company Guaranteed Notes |
(B, B2) | 12/15/20 | 6.125 | 2,891,000 | |||||||||||||
1,250 | First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes |
(B, NR) | 03/01/26 | 6.875 | 1,221,875 | |||||||||||||
2,000 | Kaiser Aluminum Corp., Global Company Guaranteed Notes |
(BB+, Ba3) | 05/15/24 | 5.875 | 2,050,000 | |||||||||||||
4,525 | Noranda Aluminum Acquisition Corp., Global Senior Unsecured Notes |
(NR, NR) | 06/01/19 | 11.000 | | |||||||||||||
3,750 | Taseko Mines Ltd., Rule 144A, Senior Secured Notes |
(B, B3) | 06/15/22 | 8.750 | 3,815,625 | |||||||||||||
|
|
|||||||||||||||||
12,134,500 | ||||||||||||||||||
|
|
|||||||||||||||||
Oil Field Equipment & Services (5.1%) |
||||||||||||||||||
3,330 | FTS International, Inc., Global Senior Secured Notes |
(B, B3) | 05/01/22 | 6.250 | 3,324,872 | |||||||||||||
2,000 | KCA Deutag UK Finance PLC, Rule 144A, Senior Secured Notes |
(B-, B3) | 04/01/22 | 9.875 | 2,070,000 | |||||||||||||
397 | Nor Offshore SPV Ltd., PIK, Senior Secured Notes |
(NR, NR) | 02/04/20 | 8.400 | 142,958 | |||||||||||||
2,050 | Parker Drilling Co., Global Company Guaranteed Notes |
(B-, Caa2) | 07/15/22 | 6.750 | 1,681,000 | |||||||||||||
1,105 | Pioneer Energy Services Corp., Global Company Guaranteed Notes |
(CCC, Caa3) | 03/15/22 | 6.125 | 1,027,650 | |||||||||||||
3,500 | Shelf Drilling Holdings Ltd., Rule 144A, Company Guaranteed Notes |
(B-, B2) | 02/15/25 | 8.250 | 3,583,125 |
Par (000) |
Ratings |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Oil Field Equipment & Services |
||||||||||||||||||
$ | 1,564 | Sidewinder Drilling, Inc., Secured Notes |
(NR, NR) | 02/15/20 | 12.000 | $ | 1,295,662 | |||||||||||
250 | Transocean, Inc., Global Company Guaranteed Notes |
(B, Caa2) | 10/15/22 | 5.800 | 247,187 | |||||||||||||
850 | Trinidad Drilling Ltd., Rule 144A, Company Guaranteed Notes |
(BB-, B3) | 02/15/25 | 6.625 | 826,625 | |||||||||||||
|
|
|||||||||||||||||
14,199,079 | ||||||||||||||||||
|
|
|||||||||||||||||
Oil Refining & Marketing (1.9%) |
||||||||||||||||||
1,000 | CITGO Petroleum Corp., Rule 144A, Senior Secured Notes |
(B+, B3) | 08/15/22 | 6.250 | 1,012,500 | |||||||||||||
4,100 | Coffeyville Finance, Inc., Global Company Guaranteed Notes |
(BB-, B1) | 11/01/22 | 6.500 | 4,212,750 | |||||||||||||
|
|
|||||||||||||||||
5,225,250 | ||||||||||||||||||
|
|
|||||||||||||||||
Packaging (3.4%) |
||||||||||||||||||
1,000 | Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes |
(B, B3) | 02/15/25 | 6.000 | 978,750 | |||||||||||||
1,500 | Crown Americas Capital Corp., VI, Rule 144A, Company Guaranteed Notes |
(B+, Ba3) | 02/01/26 | 4.750 | 1,413,750 | |||||||||||||
2,500 | Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa1) | 01/15/25 | 6.875 | 2,443,750 | |||||||||||||
1,050 | SIG Combibloc Holdings S.C.A., Rule 144A, Senior Secured Notes |
(B-, Caa1) | 02/15/23 | 7.750 | 1,281,430 | |||||||||||||
3,400 | TriMas Corp., Rule 144A, Company Guaranteed Notes |
(BB-, Ba3) | 10/15/25 | 4.875 | 3,261,875 | |||||||||||||
|
|
|||||||||||||||||
9,379,555 | ||||||||||||||||||
|
|
|||||||||||||||||
Personal & Household Products (1.2%) |
||||||||||||||||||
2,000 | High Ridge Brands Co., Rule 144A, Company Guaranteed Notes |
(CC, Caa3) | 03/15/25 | 8.875 | 930,000 | |||||||||||||
1,822 | Mattel, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, B1) | 12/31/25 | 6.750 | 1,769,617 | |||||||||||||
550 | Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes |
(B-, Caa1) | 03/01/24 | 6.375 | 552,063 | |||||||||||||
|
|
|||||||||||||||||
3,251,680 | ||||||||||||||||||
|
|
|||||||||||||||||
Pharmaceuticals (3.7%) |
||||||||||||||||||
2,850 | Bausch Health Cos, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/20 @ 103.50)(2) |
(BB-, Ba3) | 03/15/24 | 7.000 | 3,032,400 | |||||||||||||
3,050 | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes |
(B-, Caa1) | 05/15/23 | 5.875 | 2,940,962 | |||||||||||||
500 | Endo Finance LLC, Rule 144A, Company Guaranteed Notes |
(CCC+, B3) | 07/15/23 | 6.000 | 427,500 | |||||||||||||
1,350 | Endo Finance LLC, Rule 144A, Senior Secured Notes |
(BB-, Ba2) | 10/15/24 | 5.875 | 1,336,905 | |||||||||||||
2,725 | Owens & Minor, Inc., Global Company Guaranteed Notes |
(BB, B1) | 12/15/24 | 4.375 | 2,370,750 | |||||||||||||
|
|
|||||||||||||||||
10,108,517 | ||||||||||||||||||
|
|
|||||||||||||||||
Real Estate Investment Trusts (3.5%) |
||||||||||||||||||
1,400 | iStar, Inc., Senior Unsecured Notes |
(BB-, B1) | 04/01/22 | 6.000 | 1,407,000 | |||||||||||||
2,840 | iStar, Inc., Senior Unsecured Notes |
(BB-, B1) | 07/01/19 | 5.000 | 2,846,035 | |||||||||||||
1,500 | iStar, Inc., Senior Unsecured Notes |
(BB-, B1) | 09/15/22 | 5.250 | 1,466,250 | |||||||||||||
1,825 | QCP SNF West/Central/East/AL REIT LLC, Rule 144A, Secured Notes |
(NR, NR) | 11/01/23 | 8.125 | 1,991,531 | |||||||||||||
1,800 | Starwood Property Trust, Inc., Global Senior Unsecured Notes |
(BB-, Ba3) | 12/15/21 | 5.000 | 1,827,000 | |||||||||||||
|
|
|||||||||||||||||
9,537,816 | ||||||||||||||||||
|
|
|||||||||||||||||
Recreation & Travel (3.4%) |
||||||||||||||||||
1,950 | Boyne U.S.A., Inc., Rule 144A, Secured Notes |
(B, B2) | 05/01/25 | 7.250 | 2,047,500 | |||||||||||||
2,000 | Canadas Wonderland Co., Global Company Guaranteed Notes |
(BB-, B1) | 04/15/27 | 5.375 | 1,965,000 | |||||||||||||
1,300 | Merlin Entertainments PLC, Rule 144A, Senior Unsecured Notes |
(BB, Ba2) | 06/15/26 | 5.750 | 1,329,250 |
Par (000) |
Ratings |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Recreation & Travel |
||||||||||||||||||
$ | 600 | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes |
(BB-, B2) | 04/15/27 | 5.500 | $ | 588,750 | |||||||||||
2,150 | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes |
(BB-, B2) | 07/31/24 | 4.875 | 2,104,312 | |||||||||||||
1,320 | Speedway Motorsports, Inc., Global Company Guaranteed Notes |
(BB+, Ba2) | 02/01/23 | 5.125 | 1,303,500 | |||||||||||||
|
|
|||||||||||||||||
9,338,312 | ||||||||||||||||||
|
|
|||||||||||||||||
Restaurants (1.8%) |
||||||||||||||||||
2,400 | Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes |
(CCC+, B3) | 10/15/24 | 6.750 | 2,400,000 | |||||||||||||
2,750 | New Red Finance, Inc., Rule 144A, Secured Notes |
(B-, B3) | 10/15/25 | 5.000 | 2,650,313 | |||||||||||||
|
|
|||||||||||||||||
5,050,313 | ||||||||||||||||||
|
|
|||||||||||||||||
Software - Services (4.3%) |
||||||||||||||||||
2,250 | CDK Global, Inc., Global Senior Unsecured Notes |
(BB+, Ba1) | 06/01/27 | 4.875 | 2,213,438 | |||||||||||||
1,529 | Epicor Software Corp., Rule 144A, Secured Notes, |
(CCC, NR) | 06/30/23 | 10.590 | 1,551,018 | |||||||||||||
1,825 | First Data Corp., Rule 144A, Secured Notes |
(B, B1) | 01/15/24 | 5.750 | 1,873,271 | |||||||||||||
1,450 | Infor Software Parent, Inc., 7.125% Cash, 7.875% PIK, Rule 144A, Senior Unsecured
Notes |
(CCC, Caa2) | 05/01/21 | 15.000 | 1,469,938 | |||||||||||||
1,800 | Infor U.S., Inc., Company Guaranteed Notes |
(CCC+, Caa1) | 05/15/22 | 5.750 | 2,146,738 | |||||||||||||
2,250 | Solera Finance, Inc., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa1) | 03/01/24 | 10.500 | 2,499,204 | |||||||||||||
|
|
|||||||||||||||||
11,753,607 | ||||||||||||||||||
|
|
|||||||||||||||||
Specialty Retail (1.8%) |
||||||||||||||||||
3,920 | Penske Automotive Group, Inc., Global Company Guaranteed Notes |
(B+, B1) | 10/01/22 | 5.750 | 4,004,848 | |||||||||||||
1,000 | Ruyi U.S. Finance LLC, Rule 144A, Senior Secured Notes |
(B, B1) | 05/01/25 | 7.500 | 997,500 | |||||||||||||
|
|
|||||||||||||||||
5,002,348 | ||||||||||||||||||
|
|
|||||||||||||||||
Steel Producers/Products (1.3%) |
||||||||||||||||||
1,000 | Commercial Metals Co., Rule 144A, Senior Unsecured Notes |
(BB+, Ba3) | 04/15/26 | 5.750 | 967,500 | |||||||||||||
450 | Commercial Metals Co., Senior Unsecured Notes |
(BB+, Ba2) | 07/15/27 | 5.375 | 419,625 | |||||||||||||
2,000 | Zekelman Industries, Inc., Rule 144A, Senior Secured Notes |
(B, B3) | 06/15/23 | 9.875 | 2,190,000 | |||||||||||||
|
|
|||||||||||||||||
3,577,125 | ||||||||||||||||||
|
|
|||||||||||||||||
Support - Services (7.0%) |
||||||||||||||||||
3,250 | Avison Young Canada, Inc., Rule 144A, Senior Secured Notes |
(B, B3) | 12/15/21 | 9.500 | 3,445,000 | |||||||||||||
50 | CoreCivic, Inc., Company Guaranteed Notes |
(BB, Ba1) | 10/15/27 | 4.750 | 44,922 | |||||||||||||
2,550 | Gartner, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, B1) | 04/01/25 | 5.125 | 2,579,061 | |||||||||||||
3,000 | H&E Equipment Services, Inc., Global Company Guaranteed Notes |
(BB-, B2) | 09/01/25 | 5.625 | 2,970,000 | |||||||||||||
1,450 | KAR Auction Services, Inc., Rule 144A, Company Guaranteed Notes |
(B, B3) | 06/01/25 | 5.125 | 1,410,125 | |||||||||||||
2,750 | Sothebys, Rule 144A, Company Guaranteed Notes |
(BB-, Ba3) | 12/15/25 | 4.875 | 2,645,822 | |||||||||||||
1,550 | Tempo Acquisition Finance Corp., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa1) | 06/01/25 | 6.750 | 1,502,260 | |||||||||||||
1,900 | United Rentals North America, Inc., Company Guaranteed Notes |
(BB, Ba3) | 01/15/28 | 4.875 | 1,779,502 | |||||||||||||
1,000 | United Rentals North America, Inc., Company Guaranteed Notes |
(BB, Ba3) | 05/15/27 | 5.500 | 993,400 |
Par (000) |
Ratings |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Support - Services |
||||||||||||||||||
$ | 1,950 | WeWork Cos., Inc., Rule 144A, |
(B+, Caa1) | 05/01/25 | 7.875 | $ | 1,906,125 | |||||||||||
|
|
|||||||||||||||||
19,276,217 | ||||||||||||||||||
|
|
|||||||||||||||||
Tech Hardware & Equipment (2.5%) |
||||||||||||||||||
3,091 | CDW Finance Corp., Company Guaranteed Notes |
(BB-, Ba3) | 09/01/25 | 5.000 | 3,074,568 | |||||||||||||
1,750 | CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes |
(BB-, Ba3) | 03/15/27 | 5.000 | 1,686,563 | |||||||||||||
1,950 | CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes |
(BB-, Ba3) | 06/15/25 | 6.000 | 2,018,250 | |||||||||||||
|
|
|||||||||||||||||
6,779,381 | ||||||||||||||||||
|
|
|||||||||||||||||
Telecom - Satellite (1.5%) |
||||||||||||||||||
3,000 | Hughes Satellite Systems Corp., Global Company Guaranteed Notes |
(BB-, B3) | 06/15/21 | 7.625 | 3,228,750 | |||||||||||||
1,000 | Hughes Satellite Systems Corp., Global Senior Secured Notes |
(BBB-, Ba2) | 08/01/26 | 5.250 | 958,750 | |||||||||||||
|
|
|||||||||||||||||
4,187,500 | ||||||||||||||||||
|
|
|||||||||||||||||
Telecom - Wireless (0.9%) |
||||||||||||||||||
1,000 | Sprint Spectrum Co. II LLC, Rule 144A, Senior Secured Notes(2) |
(NR, Baa2) | 03/20/28 | 5.152 | 995,000 | |||||||||||||
1,400 | T-Mobile U.S.A., Inc., Global Company Guaranteed
Notes |
(BB+, Ba2) | 01/15/26 | 6.500 | 1,471,750 | |||||||||||||
|
|
|||||||||||||||||
2,466,750 | ||||||||||||||||||
|
|
|||||||||||||||||
Telecom - Wireline Integrated & Services (3.5%) |
||||||||||||||||||
725 | Equinix, Inc., Senior Unsecured Notes |
(BB+, B1) | 05/15/27 | 5.375 | 732,250 | |||||||||||||
4,000 | GTT Communications, Inc., Rule 144A, Company Guaranteed Notes |
(CCC+, Caa1) | 12/31/24 | 7.875 | 3,980,000 | |||||||||||||
1,500 | QTS Finance Corp., Rule 144A, Company Guaranteed Notes |
(BB, B1) | 11/15/25 | 4.750 | 1,428,750 | |||||||||||||
326 | Syniverse Holdings, Inc., Global Company Guaranteed Notes |
(CCC+, Caa2) | 01/15/19 | 9.125 | 322,944 | |||||||||||||
1,000 | Zayo Capital, Inc., Global Company Guaranteed Notes |
(B, B3) | 04/01/23 | 6.000 | 1,031,250 | |||||||||||||
2,175 | Zayo Capital, Inc., Rule 144A, Company Guaranteed Notes |
(B, B3) | 01/15/27 | 5.750 | 2,158,687 | |||||||||||||
|
|
|||||||||||||||||
9,653,881 | ||||||||||||||||||
|
|
|||||||||||||||||
Theaters & Entertainment (2.3%) |
||||||||||||||||||
600 | AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes |
(B+, B3) | 05/15/27 | 6.125 | 585,000 | |||||||||||||
855 | AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes |
(B+, B3) | 11/15/26 | 5.875 | 835,762 | |||||||||||||
1,475 | Carmike Cinemas, Inc., Rule 144A, Secured Notes |
(BB, Ba2) | 06/15/23 | 6.000 | 1,504,500 | |||||||||||||
1,000 | Cinemark U.S.A., Inc., Global Company Guaranteed Notes |
(BB, B2) | 06/01/23 | 4.875 | 990,300 | |||||||||||||
400 | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes |
(B+, B1) | 03/15/26 | 5.625 | 400,000 | |||||||||||||
2,200 | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes |
(B+, B1) | 11/01/24 | 4.875 | 2,175,250 | |||||||||||||
|
|
|||||||||||||||||
6,490,812 | ||||||||||||||||||
|
|
|||||||||||||||||
Transport Infrastructure/Services (1.1%) |
||||||||||||||||||
3,150 | Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes |
(B, Caa2) | 08/15/22 | 11.250 | 3,012,188 | |||||||||||||
|
|
|||||||||||||||||
TOTAL CORPORATE BONDS (Cost $317,330,575) |
315,892,625 | |||||||||||||||||
|
|
|||||||||||||||||
BANK LOANS (22.3%) |
||||||||||||||||||
Aerospace & Defense (0.7%) |
||||||||||||||||||
1,931 | Sequa Mezzanine Holdings LLC, LIBOR 1M + 5.000%(8),(10) |
(B-, B3) | 11/28/21 | 7.067 | 1,934,471 | |||||||||||||
|
|
|||||||||||||||||
Auto Parts & Equipment (0.3%) |
||||||||||||||||||
733 | Dayco Products LLC, LIBOR 3M + 4.250%(8),(10) |
(B, B2) | 05/19/23 | 6.557 | 734,431 | |||||||||||||
|
|
|||||||||||||||||
Beverages (0.6%) |
||||||||||||||||||
2,000 | The Winebow Group, Inc., LIBOR 1M + 7.500%(7),(8),(10) |
(CCC-, Caa1) | 12/31/21 | 9.577 | 1,510,000 | |||||||||||||
|
|
Par (000) |
Ratings |
Maturity | Rate% | Value | ||||||||||||||
BANK LOANS (continued) |
||||||||||||||||||
Building Materials (1.2%) |
||||||||||||||||||
$ | 2,000 | Airxcel, Inc., LIBOR 1M + 8.750%(8),(10) |
(CCC+, Caa2) | 04/27/26 | 10.827 | $ | 1,945,000 | |||||||||||
1,384 | Fastener Acquisition, Inc., LIBOR 3M + 8.750%(10) |
(CCC+, Caa2) | 03/30/26 | 11.084 | 1,347,440 | |||||||||||||
|
|
|||||||||||||||||
3,292,440 | ||||||||||||||||||
|
|
|||||||||||||||||
Chemicals (3.7%) |
||||||||||||||||||
1,000 | Archroma Finance Sarl, LIBOR 3M + 8.250%(10) |
(NR, Caa1) | 07/11/25 | 10.583 | 990,000 | |||||||||||||
2,097 | Ascend Performance Materials Operations LLC, LIBOR 3M + 5.250%(10) |
(B+, B2) | 08/12/22 | 7.584 | 2,111,090 | |||||||||||||
1,000 | ASP Chromaflo Intermediate Holdings, Inc., LIBOR 1M + 8.000%(10) |
(CCC, Caa2) | 11/14/24 | 10.077 | 1,001,250 | |||||||||||||
3,163 | Preferred Proppants LLC, LIBOR 3M + 7.750%(7),(10) |
(CCC, Caa2) | 07/27/20 | 10.084 | 2,961,041 | |||||||||||||
995 | UTEX Industries, Inc., LIBOR 1M + 4.000%(10) |
(CCC+, B3) | 05/22/21 | 6.077 | 988,850 | |||||||||||||
2,000 | Vantage Specialty Chemicals, Inc., LIBOR 2M + 8.250%(10) |
(CCC, Caa2) | 10/27/25 | 10.592 | 2,016,670 | |||||||||||||
|
|
|||||||||||||||||
10,068,901 | ||||||||||||||||||
|
|
|||||||||||||||||
Diversified Capital Goods (1.0%) |
||||||||||||||||||
750 | Cortes NP Acquisition Corp., LIBOR 1M + 4.000%(10) |
(B+, Ba3) | 11/30/23 | 6.100 | 746,404 | |||||||||||||
2,045 | Dynacast International LLC, LIBOR 3M + 8.500%(8),(10) |
(B-, Caa1) | 01/30/23 | 10.834 | 2,034,775 | |||||||||||||
|
|
|||||||||||||||||
2,781,179 | ||||||||||||||||||
|
|
|||||||||||||||||
Electronics (0.7%) |
||||||||||||||||||
1,000 | CPI International, Inc., LIBOR 1M + 7.250%(8),(10) |
(CCC+, Caa2) | 07/26/25 | 9.327 | 1,006,250 | |||||||||||||
990 | Oberthur Technologies S.A., LIBOR 3M + 3.750%(10) |
(B-, B2) | 01/10/24 | 6.084 | 989,619 | |||||||||||||
|
|
|||||||||||||||||
1,995,869 | ||||||||||||||||||
|
|
|||||||||||||||||
Energy - Exploration & Production (0.7%) |
||||||||||||||||||
2,000 | W&T Offshore, Inc.(7),(11) |
(B-, Caa2) | 05/15/20 | 9.000 | 2,031,670 | |||||||||||||
|
|
|||||||||||||||||
Gas Distribution (0.8%) |
||||||||||||||||||
2,110 | BCP Renaissance Parent LLC, LIBOR 3M + 3.500%(10) |
(B+, B1) | 10/31/24 | 5.842 | 2,121,141 | |||||||||||||
|
|
|||||||||||||||||
Health Facilities (0.5%) |
||||||||||||||||||
249 | Prospect Medical Holdings, Inc., LIBOR 1M + 5.500%(10) |
(B, B1) | 02/22/24 | 7.625 | 250,779 | |||||||||||||
1,161 | Western Dental Services, Inc., LIBOR 1M + 4.500%(8),(10) |
(B-, B3) | 06/23/23 | 6.577 | 1,166,729 | |||||||||||||
|
|
|||||||||||||||||
1,417,508 | ||||||||||||||||||
|
|
|||||||||||||||||
Insurance Brokerage (0.7%) |
||||||||||||||||||
1,975 | Acrisure LLC, LIBOR 3M + 4.250%(10) |
(B, B2) | 11/22/23 | 6.592 | 1,982,482 | |||||||||||||
|
|
|||||||||||||||||
Investments & Misc. Financial Services (0.4%) |
||||||||||||||||||
236 | Ditech Holding Corp., LIBOR 1M + 6.000%(10) |
(CCC+, Caa2) | 06/30/22 | 8.077 | 225,207 | |||||||||||||
930 | Ocwen Financial Corp., LIBOR 1M + 5.000%(10) |
(B+, B3) | 12/05/20 | 7.079 | 934,768 | |||||||||||||
|
|
|||||||||||||||||
1,159,975 | ||||||||||||||||||
|
|
|||||||||||||||||
Machinery (1.9%) |
||||||||||||||||||
2,725 | CPM Acquisition Corp., LIBOR 1M + 8.250%(10) |
(B-, Caa1) | 04/10/23 | 10.327 | 2,779,571 | |||||||||||||
2,475 | WireCo WorldGroup, Inc., LIBOR 1M + 9.000%(8),(10) |
(B-, Caa2) | 09/30/24 | 11.077 | 2,499,750 | |||||||||||||
|
|
|||||||||||||||||
5,279,321 | ||||||||||||||||||
|
|
|||||||||||||||||
Media Content (0.4%) |
||||||||||||||||||
1,000 | DLG Acquisitions Ltd., EURIBOR 6M + 7.250%(9),(10) |
(CCC+, Caa2) | 06/30/22 | 8.250 | 1,178,621 | |||||||||||||
|
|
|||||||||||||||||
Medical Products (0.4%) |
||||||||||||||||||
1,193 | ABB Concise Optical Group LLC, LIBOR 1M + 5.000%(10) |
(B-, B2) | 06/15/23 | 7.079 | 1,208,197 | |||||||||||||
|
|
|||||||||||||||||
Oil Refining & Marketing (1.0%) |
||||||||||||||||||
2,886 | Philadelphia Energy Solutions LLC, Prime + 4.000%(5),(10) |
(NR, NR) | 04/04/19 | 9.000 | 2,713,182 | |||||||||||||
|
|
|||||||||||||||||
Personal & Household Products (2.4%) |
||||||||||||||||||
1,990 | ABG Intermediate Holdings 2 LLC, |
(CCC+, Caa1) | 09/29/25 | 9.827 | 1,992,488 | |||||||||||||
495 | Comfort Holding LLC, LIBOR 1M + 4.750%(10) |
(CCC+, Caa1) | 02/05/24 | 6.827 | 476,272 | |||||||||||||
2,450 | Comfort Holding LLC, LIBOR 1M + 10.000%(10) |
(CCC-, Caa3) | 02/03/25 | 12.077 | 2,326,471 | |||||||||||||
2,000 | Serta Simmons Bedding LLC, LIBOR 1M + 8.000%(10) |
(CCC, Caa2) | 11/08/24 | 10.097 | 1,378,330 | |||||||||||||
45 | TricorBraun Holdings, Inc., LIBOR 3M + 3.750%(10) |
(B, B2) | 11/30/23 | 6.080 | 45,575 | |||||||||||||
451 | TricorBraun Holdings, Inc., LIBOR 3M + 3.750%(10) |
(B, B2) | 11/30/23 | 6.084 | 452,304 | |||||||||||||
|
|
|||||||||||||||||
6,671,440 | ||||||||||||||||||
|
|
|||||||||||||||||
Software - Services (2.5%) |
||||||||||||||||||
1,309 | Almonde, Inc., LIBOR 3M + 7.250%(10) |
(CCC, Caa2) | 06/13/25 | 9.557 | 1,266,545 | |||||||||||||
1,250 | Eze Castle Software, Inc., LIBOR 1M + 6.500%(10) |
(CCC+, Caa1) | 04/05/21 | 8.577 | 1,254,688 |
Par (000) |
Ratings |
Maturity | Rate% | Value | ||||||||||||||
BANK LOANS (continued) |
||||||||||||||||||
Software - Services |
||||||||||||||||||
$ | 1,704 | Flexera Software LLC, LIBOR 1M + 7.250%(10) |
(CCC+, Caa1) | 02/26/26 | 9.330 | $ | 1,711,681 | |||||||||||
722 | LDiscovery LLC, LIBOR 2M + 5.875%(7),(8),(10) |
(B, B3) | 12/09/22 | 8.053 | 671,344 | |||||||||||||
2,000 | TigerLuxOne Sarl, LIBOR 3M + 8.250%(8),(10) |
(CCC+, Caa2) | 02/16/25 | 10.584 | 2,005,000 | |||||||||||||
|
|
|||||||||||||||||
6,909,258 | ||||||||||||||||||
|
|
|||||||||||||||||
Specialty Retail (1.1%) |
||||||||||||||||||
2,000 | Boing U.S. Holdco, Inc., LIBOR 3M + 7.500%(8),(10) |
(CCC+, Caa1) | 10/03/25 | 9.863 | 2,005,000 | |||||||||||||
1,000 | Sally Holdings LLC(10) |
(BB+, Ba1) | 07/05/24 | 4.500 | 953,330 | |||||||||||||
|
|
|||||||||||||||||
2,958,330 | ||||||||||||||||||
|
|
|||||||||||||||||
Support - Services (0.4%) |
||||||||||||||||||
3,049 | Sprint Industrial Holdings LLC, LIBOR 3M + 12.250%(7),(10) |
(CC, Caa3) | 11/14/19 | 13.500 | 1,052,008 | |||||||||||||
|
|
|||||||||||||||||
Theaters & Entertainment (0.9%) |
||||||||||||||||||
2,158 | Metro-Goldwyn-Mayer, Inc., LIBOR 1M + 4.500%(8),(10) |
(B-, B2) | 07/03/26 | 6.580 | 2,158,451 | |||||||||||||
316 | NEG Holdings LLC, LIBOR 3M + 8.000%(6),(7),(8),(10) |
(NR, NR) | 10/17/22 | 10.334 | 297,245 | |||||||||||||
|
|
|||||||||||||||||
2,455,696 | ||||||||||||||||||
|
|
|||||||||||||||||
TOTAL BANK LOANS (Cost $62,678,932) |
61,456,120 | |||||||||||||||||
|
|
|||||||||||||||||
Number of Shares |
||||||||||||||||||
COMMON STOCKS (2.4%) |
||||||||||||||||||
Auto Parts & Equipment (0.7%) |
||||||||||||||||||
109,693 | UCI International, Inc.(6),(7),(8),(12) |
2,029,321 | ||||||||||||||||
|
|
|||||||||||||||||
Building & Construction (0.0%) |
||||||||||||||||||
10 | White Forest Resources, Inc.(6),(7),(8),(12) |
47 | ||||||||||||||||
|
|
|||||||||||||||||
Building Materials (0.0%) |
||||||||||||||||||
619 | Dayton Superior Corp.(6),(7),(8),(12) |
| ||||||||||||||||
|
|
|||||||||||||||||
Chemicals (0.1%) |
||||||||||||||||||
4,893 | Huntsman Corp.(7) |
164,062 | ||||||||||||||||
|
|
|||||||||||||||||
Energy - Exploration & Production (1.0%) |
||||||||||||||||||
71,901 | Talos Energy, Inc.(12) |
2,670,403 | ||||||||||||||||
|
|
|||||||||||||||||
Oil Field Equipment & Services (0.4%) |
||||||||||||||||||
26 | Sidewinder Drilling, Inc., Series A(6),(7),(8),(12) |
1,186,545 | ||||||||||||||||
|
|
|||||||||||||||||
Support - Services (0.2%) |
||||||||||||||||||
2,100 | LTR Holdings LLC(6),(7),(8),(12) |
549,570 | ||||||||||||||||
865 | Sprint Industrial Holdings LLC, Class G(6),(8),(12) |
8 | ||||||||||||||||
78 | Sprint Industrial Holdings LLC, Class H(6),(8),(12) |
1 | ||||||||||||||||
192 | Sprint Industrial Holdings LLC, Class I(6),(8),(12) |
2 | ||||||||||||||||
|
|
|||||||||||||||||
549,581 | ||||||||||||||||||
|
|
|||||||||||||||||
Theaters & Entertainment (0.0%) |
||||||||||||||||||
40 | NEG Holdings LLC, Litigation Trust Units(6),(7),(8),(12) |
40 | ||||||||||||||||
|
|
|||||||||||||||||
TOTAL COMMON STOCKS (Cost $7,091,176) |
6,599,999 | |||||||||||||||||
|
|
|||||||||||||||||
PREFERRED STOCK (0.0%) |
||||||||||||||||||
Building Materials (0.0%) |
||||||||||||||||||
688 | Dayton Superior Corp.(6),(7),(8),(12) (Cost $250,835) |
| ||||||||||||||||
|
|
|||||||||||||||||
SHORT-TERM INVESTMENTS (9.6%) |
||||||||||||||||||
18,485,110 | State Street Navigator Securities Lending Government Money Market Portfolio,1.95%(13) |
18,485,110 | ||||||||||||||||
Par (000) |
||||||||||||||||||
$ | 8,140 | State Street Bank and Trust Co. Euro Time Deposit |
08/01/18 | 0.350 | 8,140,088 | |||||||||||||
|
|
|||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $26,625,198) |
26,625,198 | |||||||||||||||||
|
|
Value | ||||||||||||
TOTAL INVESTMENTS AT VALUE (148.7%) (Cost $413,976,716) |
$ | 410,573,942 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS (-48.7%) |
(134,460,308 | ) | ||||||||||
|
|
|||||||||||
NET ASSETS (100.0%) |
$ | 276,113,634 | ||||||||||
|
|
| Credit ratings given by the Standard & Poors Division of The McGraw-Hill Companies, Inc. (S&P) and Moodys Investors Service, Inc. (Moodys) are unaudited. |
(1) | Security or portion thereof is out on loan. |
(2) | 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, 2018, these securities amounted to a value of $232,179,763 or 84.1% of net assets. |
(3) | This security is denominated in British Pound. |
(4) | PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal. |
(5) | Bond is currently in default. |
(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) | Illiquid security (unaudited). |
(8) | Security is valued using significant unobservable inputs. |
(9) | This security is denominated in Euro. |
(10) | Variable rate obligation The interest rate shown is the rate in effect as of July 31, 2018. |
(11) | The rates on certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The interest rate shown is the rate in effect as of July 31, 2018. |
(12) | Non-income producing security. |
(13) | Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at July 31, 2018. |
INVESTMENT ABBREVIATIONS
1M = 1 Month
2M = 2 Month
3M = 3 Month
6M = 6 Month
EURIBOR = Euro Interbank Offered Rate
LIBOR = London Interbank Offered Rate
NR = Not Rated
Forward Foreign Currency Contracts
Forward Currency to be Purchased |
Forward Currency to be Sold (Local) |
Expiration Date |
Counterparty |
Value on Settlement Date |
Current Value/Notional |
Net Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
EUR |
2,624,000 | USD |
3,199,879 | 10/12/18 | Morgan Stanley | $ | 3,199,879 | $ | 3,086,528 | $ | (113,351 | ) | ||||||||||||||
GBP |
3,450,000 | USD |
4,682,325 | 10/12/18 | Morgan Stanley | 4,682,325 | 4,539,211 | (143,114 | ) | |||||||||||||||||
USD |
8,252,579 | EUR |
6,835,000 | 10/12/18 | Morgan Stanley | (8,252,579 | ) | (8,039,794 | ) | 212,785 | ||||||||||||||||
USD |
7,478,375 | GBP |
5,586,400 | 10/12/18 | Morgan Stanley | (7,478,375 | ) | (7,350,101 | ) | 128,274 | ||||||||||||||||
|
|
|||||||||||||||||||||||||
$ | 84,594 | |||||||||||||||||||||||||
|
|
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 1quoted prices in active markets for identical investments |
| Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3significant unobservable inputs (including the Funds 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, 2018 in valuing the Funds assets and liabilities carried at fair value:
Assets |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments in Securities |
||||||||||||||||
Corporate Bonds |
$ | | $ | 314,587,184 | $ | 1,305,441 | (1) | $ | 315,892,625 | (1) | ||||||
Bank Loans |
| 39,495,186 | 21,960,934 | 61,456,120 | ||||||||||||
Common Stocks |
2,834,465 | | 3,765,534 | (1) | 6,599,999 | (1) | ||||||||||
Preferred Stock |
| | 0 | (1) | 0 | (1) | ||||||||||
Short-Term Investments |
| 26,625,198 | | 26,625,198 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 2,834,465 | $ | 380,707,568 | $ | 27,031,909 | (1) | $ | 410,573,942 | (1) | |||||||
|
|
|
|
|
|
|
|
|||||||||
Other Financial Instruments* |
||||||||||||||||
Forward Foreign Currency Contracts |
$ | | $ | 341,059 | $ | | $ | 341,059 | ||||||||
Liabilities |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments* |
||||||||||||||||
Forward Foreign Currency Contracts |
$ | | $ | 256,465 | $ | | $ | 256,465 |
(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, 2018 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, 2017 |
$ | 2,852,603 | $ | 13,055,574 | $ | 3,243,069 | (1) | $ | 0 | (1) | $ | 19,151,246 | (1) | |||||||
Accrued discounts (premiums) |
37,934 | 61,664 | | | 99,598 | |||||||||||||||
Purchases |
898,781 | 8,292,661 | | | 9,191,442 | |||||||||||||||
Sales |
(746,482 | ) | (3,509,463 | ) | | | (4,255,945 | ) | ||||||||||||
Realized gain (loss) |
792 | 23,416 | | | 24,208 | |||||||||||||||
Change in unrealized appreciation (depreciation) |
(187,169 | ) | (415,772 | ) | 522,465 | | (80,476 | ) | ||||||||||||
Transfers into Level 3 |
| 12,304,557 | | | 12,304,557 | |||||||||||||||
Transfers out of Level 3 |
(1,551,018 | ) | (7,851,703 | ) | | | (9,402,721 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Balance as of July 31, 2018 |
$ | 1,305,441 | (1) | $ | 21,960,934 | $ | 3,765,534 | (1) | $ | 0 | (1) | $ | 27,031,909 | (1) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net change in unrealized appreciation (depreciation) from investments still held as of July 31, 2018 |
$ | (205,619 | ) | $ | (331,783 | ) | $ | 522,465 | $ | | $ | (14,937 | ) |
(1) | Includes zero valued securities. |
Quantitative Disclosure About Significant Unobservable Inputs
Asset Class |
Fair Value At 7/31/2018 |
Valuation Techniques |
Unobservable Input |
Range (Weighted Average per share) | ||||||
Corporate Bonds |
$ | 9,779 | Income Approach | Expected Remaining Distribution | $0.00 $0.04 ($0.00) | |||||
$ | 1,295,662 | Market Approach | Comparable Bond Price | NA | ||||||
Bank Loans |
$ | 297,245 | Market Approach | Comparable Bond Price | NA | |||||
$ | 21,663,689 | Vendor Pricing | Single Broker Quote | $0.76 $1.01 ($0.98) | ||||||
Common Stocks |
$ | 87 | Market Approach | Discount For Illiquidity and EBITDA Multiples | $0.00 $4.71 ($0.13) | |||||
$ | 2,578,890 | Vendor Pricing | Single Broker Quote | $18.50 $261.70 ($23.07) | ||||||
$ | 1,186,557 | Market Approach/Income Approach | Comparable Bond Price, Discounted Cash Flows | $0.01 $46,347.62 ($1,021.93) | ||||||
Preferred Stock |
$ | 0.00 | 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 Funds 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 companys financial statements, the companys products or intended markets or the companys technologies; (iii) the price of the same or similar security negotiated at arms length in an issuers 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, 2018, there were no transfers between Level 1 and Level 2, but there was $12,304,557 transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $9,402,721 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 Funds 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 registrants 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 registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants 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 25, 2018
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 25, 2018
/s/Laurie Pecha
Name: Laurie Pecha
Title: Chief Financial Officer and Treasurer
Date: September 25, 2018
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 registrants 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 registrants 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 registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants 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 registrants 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 registrants internal control over financial reporting.
Date: September 25, 2018
/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;
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 registrants 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 registrants 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 registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants 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 registrants 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 registrants internal control over financial reporting.
Date: September 25, 2018
/s/Laurie Pecha
Name: Laurie Pecha
Title: Chief Financial Officer and Treasurer