N-Q 1 d581100dnq.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

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)

 

Registrant’s 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†
  (S&P/Moody’s)  

        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  
                        

 

 

  
                        
 

Auto Parts & Equipment (0.9%)

                    
  2,650       

Cooper-Standard Automotive, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/15/21 @ 102.81)(2)

      (B+, B1)        11/15/26          5.625          2,610,250  
                        

 

 

  
                        
 

Brokerage (3.2%)

                    
  1,400       

Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes
(Callable 08/31/18 @ 103.44)(2)

      (B, B1)        04/15/22          6.875          1,417,738  
  2,950       

Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes
(Callable 08/31/18 @ 103.75)(2)

      (B, B1)        04/15/21          7.500          3,023,750  
  4,450       

LPL Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/15/20 @ 104.31)(2)

      (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
(Callable 08/15/20 @ 103.44)(2)

      (B, B2)        08/15/23          6.875          400,000  
  2,271       

TopBuild Corp., Rule 144A, Company Guaranteed Notes
(Callable 05/01/21 @ 102.81)(2)

      (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
(Callable 05/15/21 @ 102.94)(2)

      (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
(Callable 08/15/20 @ 103.06)(1),(2)

      (B-, Caa1)        08/15/25          6.125          651,375  
  3,925       

FBM Finance, Inc., Rule 144A, Senior Secured Notes
(Callable 08/16/18 @ 104.13)(2)

      (B+, B3)        08/15/21          8.250          4,101,625  
  900       

James Hardie International Finance DAC, Rule 144A, Company Guaranteed Notes
(Callable 01/15/23 @ 102.50)(2)

      (BB, Ba1)        01/15/28          5.000          859,500  
  800       

Jeld-Wen, Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/15/20 @ 102.31)(2)

      (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
(Callable 08/16/18 @ 104.50)(2)

      (B-, Caa1)        08/15/20          12.000          4,095,000  
  3,540       

PriSo Acquisition Corp., Rule 144A, Senior Unsecured Notes
(Callable 08/31/18 @ 104.50)(2)

      (CCC+, Caa1)        05/15/23          9.000          3,690,450  
  1,000       

Summit Materials Finance Corp., Global Company Guaranteed Notes
(Callable 04/15/19 @ 104.25)

      (BB, B3)        04/15/22          8.500          1,080,000  
  1,075       

Summit Materials Finance Corp., Global Company Guaranteed Notes
(Callable 08/16/18 @ 103.06)

      (BB, B3)        07/15/23          6.125          1,096,500  
  975       

U.S. Concrete, Inc., Global Company Guaranteed Notes
(Callable 06/01/19 @ 104.78)

      (BB-, B3)        06/01/24          6.375          976,219  
  1,600       

USG Corp., Rule 144A, Company Guaranteed Notes
(Callable 06/01/22 @ 102.44)(2)

      (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
(Callable 05/15/21 @ 103.75)(2)

      (B+, B1)        05/15/26          7.500          2,245,030  
  2,065       

Altice Financing S.A., Rule 144A, Senior Secured Notes
(Callable 08/31/18 @ 104.97)(1),(2)

      (B+, B1)        02/15/23          6.625          2,093,394  
  650       

Altice France S.A., Rule 144A, Senior Secured Notes
(Callable 05/01/21 @ 103.69)(2)

      (B, B1)        05/01/26          7.375          645,125  
  2,800       

Altice France S.A., Rule 144A, Senior Secured Notes
(Callable 05/15/19 @ 103.13)(1),(2)

      (B, B1)        05/15/24          6.250          2,793,000  
  2,200       

Altice U.S. Finance I Corp., Rule 144A, Senior Secured Notes
(Callable 08/13/18 @ 104.03)(2)

      (BB, Ba3)        07/15/23          5.375          2,224,750  
  4,000       

Block Communications, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/15/20 @ 103.44)(2)

      (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†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Cable & Satellite TV

                    
$        750       

CSC Holdings LLC, Rule 144A, Company Guaranteed Notes
(Callable 02/01/23 @ 102.69)(2)

      (BB-, Ba2)        02/01/28          5.375        $        708,532  
  525       

CSC Holdings LLC, Rule 144A, Company Guaranteed Notes
(Callable 04/15/22 @ 102.75)(2)

      (BB-, Ba2)        04/15/27          5.500          506,625  
  800       

CSC Holdings LLC, Rule 144A, Company Guaranteed Notes
(Callable 10/15/20 @ 103.31)(2)

      (BB-, Ba2)        10/15/25          6.625          828,000  
  840       

CSC Holdings LLC, Rule 144A, Senior Unsecured Notes
(Callable 10/15/20 @ 105.44)(2)

      (B-, B2)        10/15/25          10.875          976,500  
  1,750       

Midcontinent Finance Corp., Rule 144A, Company Guaranteed Notes
(Callable 08/31/18 @ 105.16)(2)

      (B, B3)        08/15/23          6.875          1,850,625  
  1,370       

Radiate Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/15/20 @ 103.44)(2)

      (CCC+, NR)        02/15/23          6.875          1,332,325  
  2,000       

Telenet Finance Luxembourg Notes Sarl, Rule 144A, Senior Secured Notes
(Callable 12/01/22 @ 102.75)(2)

      (BB-, Ba3)        03/01/28          5.500          1,835,000  
  1,000       

Virgin Media Finance PLC, Rule 144A, Company Guaranteed Notes
(Callable 08/03/18 @ 103.50)(2),(3)

      (B, B2)        04/15/23          7.000          1,358,762  
  1,000       

Virgin Media Secured Finance PLC, Rule 144A, Senior Secured Notes
(Callable 04/15/22 @ 102.50)(2),(3)

      (BB-, Ba3)        04/15/27          5.000          1,289,530  
  3,250       

Ziggo B.V., Rule 144A, Senior Secured Notes
(Callable 01/15/22 @ 102.75)(2)

      (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
(Callable 08/31/18 @ 105.16)

      (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
(Callable 06/01/19 @ 102.00)(2),(4)

      (CCC+, Caa1)        06/01/23          18.250          2,012,500  
  2,100       

Alpha U.S. Bidco, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/01/20 @ 103.13)(1),(2)

      (CCC+, Caa1)        02/01/25          6.250          2,063,250  
  1,550       

Ingevity Corp., Rule 144A, Senior Unsecured Notes
(Callable 02/01/21 @ 102.25)(2)

      (NR, Ba3)        02/01/26          4.500          1,457,000  
  1,000       

Nufarm Americas Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/30/21 @ 102.88)(2)

      (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
(Callable 09/01/20 @ 102.69)(2)

      (BB-, B2)        09/01/25          5.375          1,980,000  
  1,250       

Tronox, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/15/21 @ 103.25)(1),(2)

      (B-, B3)        04/15/26          6.500          1,243,750  
  2,000       

Venator Materials LLC, Rule 144A, Company Guaranteed Notes
(Callable 07/15/20 @ 104.31)(2)

      (BB-, B2)        07/15/25          5.750          1,860,000  
  675       

Versum Materials, Inc., Rule 144A, Company Guaranteed Notes
(Callable 09/30/21 @ 102.75)(2)

      (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
(Callable 08/02/18 @ 101.81)(2)

      (CCC+, Caa2)        08/01/22          7.250          4,581,585  
  775       

Lincoln Finance Ltd., Rule 144A, Senior Secured Notes
(Callable 08/13/18 @ 103.69)(2)

      (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
(Callable 05/01/21 @ 104.00)(2)

      (B-, B3)        05/01/26          8.000          3,626,000  
  360       

EnerSys, Rule 144A, Company Guaranteed Notes
(Callable 01/30/23 @ 100.00)(2)

      (BB+, Ba2)        04/30/23          5.000          364,050  
                        

 

 

  
                           6,114,363  
                        

 

 

  
                        
 

Electronics (1.7%)

                    
  2,125       

Entegris, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/10/20 @ 103.47)(2)

      (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†
  (S&P/Moody’s)  

        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
(Callable 05/10/19 @ 105.50)(2)

      (NR, NR)        04/03/22          11.000          2,079,794  
 
 3,000
  
     

W&T Offshore, Inc., Global Company Guaranteed Notes
(Callable 08/31/18 @ 100.00)

      (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
(Callable 05/01/20 @ 105.16)(2)

      (B+, B3)        05/01/25          6.875          2,021,250  
  1,000       

Lamb Weston Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/01/21 @ 102.44)(2)

      (BB, Ba3)        11/01/26          4.875          986,250  
  1,550       

U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/15/19 @ 102.94)(2)

      (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
(Callable 08/15/21 @ 103.00)(2)

      (B, B3)        08/15/26          6.000          833,250  
  2,500       

Churchill Downs, Inc., Rule 144A, Company Guaranteed Notes
(Callable 01/15/23 @ 102.38)(2)

      (B+, B2)        01/15/28          4.750          2,356,250  
  1,500       

Gateway Casinos & Entertainment Ltd., Rule 144A, Secured Notes
(Callable 03/01/20 @ 104.13)(2)

      (CCC+, Caa1)        03/01/24          8.250          1,593,750  
  2,200       

Jacobs Entertainment, Inc., Rule 144A, Secured Notes
(Callable 02/01/20 @ 105.91)(2)

      (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
(Callable 03/15/21 @ 104.88)(2)

      (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
(Callable 02/15/21 @ 104.69)

      (BB-, B1)        05/15/26          6.250          1,178,125  
  2,750       

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 06/15/19 @ 102.81)

      (BB-, B1)        06/15/24          5.625          2,578,125  
  2,000       

Holly Energy Finance Corp., Rule 144A, Company Guaranteed Notes
(Callable 08/01/19 @ 104.50)(2)

      (BB, B2)        08/01/24          6.000          2,057,580  
                        

 

 

  
                           9,241,660  
                        

 

 

  
                        
 

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
(Callable 05/01/19 @ 102.75)

      (BBB-, Ba1)        05/01/24          5.500          506,250  
  2,625       

Sabra Health Care LP, Global Company Guaranteed Notes
(Callable 05/15/26 @ 100.00)

      (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
(Callable 10/01/19 @ 103.84)(2)

      (B+, Ba2)        10/01/24          5.125          2,450,000  
  1,115       

CareTrust Capital Corp., Company Guaranteed Notes
(Callable 06/01/20 @ 103.94)

      (BB, Ba3)        06/01/25          5.250          1,087,125  
  1,700       

Sotera Health Holdings LLC, Rule 144A, Senior Unsecured Notes
(Callable 08/31/18 @ 104.88)(2)

      (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
(Callable 05/01/20 @ 102.63)(2)

      (BB-, B1)        05/01/25          5.250          2,917,800  
                        

 

 

  
                        
 

Insurance Brokerage (3.3%)

                    
  3,530       

Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 11/15/20 @ 103.50)(2)

      (CCC+, Caa2)        11/15/25          7.000          3,203,475  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Insurance Brokerage

                    
$        2,500       

HUB International Ltd., Rule 144A, Senior Unsecured Notes
(Callable 05/01/21 @ 103.50)(2)

      (CCC+, Caa2)        05/01/26          7.000        $     2,515,625  
  3,375       

NFP Corp., Rule 144A, Senior Unsecured Notes
(Callable 07/15/20 @ 103.44)(2)

      (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
(Callable 06/15/19 @ 103.38)(2)

      (B-, B1)        06/15/22          6.750          3,222,656  
                        

 

 

  
                        
 

Machinery (0.9%)

                    
  1,000       

Itron, Inc., Rule 144A, Company Guaranteed Notes
(Callable 01/15/21 @ 102.50)(2)

      (BB-, B2)        01/15/26          5.000          955,000  
  1,575       

Terex Corp., Rule 144A, Company Guaranteed Notes
(Callable 02/01/20 @ 104.22)(2)

      (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
(Callable 08/31/18 @ 102.00)

      (B+, Ba3)        04/15/22          6.000          510,000  
  750       

National CineMedia LLC, Global Senior Unsecured Notes
(Callable 08/15/21 @ 102.88)

      (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
(Callable 06/15/19 @ 105.72)(2)

      (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
(Callable 05/15/20 @ 103.84)(2)

      (BB-, B1)        05/15/25          5.125          487,758  
  1,000       

WMG Acquisition Corp., Rule 144A, Senior Secured Notes
(Callable 11/01/19 @ 103.66)(2)

      (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
(Callable 08/31/18 @ 102.00)(2),(4)

      (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
(Callable 01/15/21 @ 102.44)(2)

      (BB-, Ba3)        01/15/24          4.875          2,156,000  
  2,950       

Eldorado Gold Corp., Rule 144A, Company Guaranteed Notes
(Callable 08/31/18 @ 101.53)(2)

      (B, B2)        12/15/20          6.125          2,891,000  
  1,250       

First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes
(Callable 03/01/21 @ 105.16)(2)

      (B, NR)        03/01/26          6.875          1,221,875  
  2,000       

Kaiser Aluminum Corp., Global Company Guaranteed Notes
(Callable 05/15/19 @ 104.41)

      (BB+, Ba3)        05/15/24          5.875          2,050,000  
  4,525       

Noranda Aluminum Acquisition Corp., Global Senior Unsecured Notes
(Callable 09/10/18 @ 100.00)(5),(6),(8)

      (NR, NR)        06/01/19          11.000          —  
  3,750       

Taseko Mines Ltd., Rule 144A, Senior Secured Notes
(Callable 06/15/19 @ 104.38)(2)

      (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
(Callable 08/31/18 @ 103.13)

      (B, B3)        05/01/22          6.250          3,324,872  
  2,000       

KCA Deutag UK Finance PLC, Rule 144A, Senior Secured Notes
(Callable 04/01/20 @ 109.88)(2)

      (B-, B3)        04/01/22          9.875          2,070,000  
  397       

Nor Offshore SPV Ltd., PIK, Senior Secured Notes
(Callable 08/30/18 @ 100.00)(4)

      (NR, NR)        02/04/20          8.400          142,958  
  2,050       

Parker Drilling Co., Global Company Guaranteed Notes
(Callable 08/31/18 @ 103.38)(1)

      (B-, Caa2)        07/15/22          6.750          1,681,000  
  1,105       

Pioneer Energy Services Corp., Global Company Guaranteed Notes
(Callable 08/31/18 @ 103.06)

      (CCC, Caa3)        03/15/22          6.125          1,027,650  
  3,500       

Shelf Drilling Holdings Ltd., Rule 144A, Company Guaranteed Notes
(Callable 02/15/21 @ 106.19)(2)

      (B-, B2)        02/15/25          8.250          3,583,125  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Oil Field Equipment & Services

                    
$        1,564       

Sidewinder Drilling, Inc., Secured Notes
(Callable 08/15/18 @ 100.00)(6),(7),(8)

      (NR, NR)        02/15/20          12.000        $     1,295,662  
  250       

Transocean, Inc., Global Company Guaranteed Notes
(Callable 07/15/22 @ 100.00)(1)

      (B, Caa2)        10/15/22          5.800          247,187  
  850       

Trinidad Drilling Ltd., Rule 144A, Company Guaranteed Notes
(Callable 02/15/20 @ 104.97)(2)

      (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
(Callable 08/31/18 @ 103.13)(2)

      (B+, B3)        08/15/22          6.250          1,012,500  
  4,100       

Coffeyville Finance, Inc., Global Company Guaranteed Notes
(Callable 08/31/18 @ 103.25)

      (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
(Callable 02/15/20 @ 104.50)(2)

      (B, B3)        02/15/25          6.000          978,750  
  1,500       

Crown Americas Capital Corp., VI, Rule 144A, Company Guaranteed Notes
(Callable 02/01/21 @ 103.56)(2)

      (B+, Ba3)        02/01/26          4.750          1,413,750  
  2,500       

Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes
(Callable 01/15/20 @ 103.44)(2)

      (CCC+, Caa1)        01/15/25          6.875          2,443,750  
  1,050       

SIG Combibloc Holdings S.C.A., Rule 144A, Senior Secured Notes
(Callable 08/10/18 @ 103.88)(2),(9)

      (B-, Caa1)        02/15/23          7.750          1,281,430  
  3,400       

TriMas Corp., Rule 144A, Company Guaranteed Notes
(Callable 10/15/20 @ 102.44)(2)

      (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
(Callable 03/15/20 @ 104.44)(2)

      (CC, Caa3)        03/15/25          8.875          930,000  
  1,822       

Mattel, Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/31/20 @ 105.06)(1),(2)

      (BB-, B1)        12/31/25          6.750          1,769,617  
  550       

Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/01/19 @ 104.78)(1),(2)

      (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
(Callable 08/31/18 @ 102.94)(2)

      (B-, Caa1)        05/15/23          5.875          2,940,962  
  500       

Endo Finance LLC, Rule 144A, Company Guaranteed Notes
(Callable 08/31/18 @ 104.50)(2)

      (CCC+, B3)        07/15/23          6.000          427,500  
  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          1,336,905  
  2,725       

Owens & Minor, Inc., Global Company Guaranteed Notes
(Callable 09/15/24 @ 100.00)(1)

      (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
(Callable 04/01/19 @ 103.00)

      (BB-, B1)        04/01/22          6.000          1,407,000  
  2,840       

iStar, Inc., Senior Unsecured Notes
(Callable 08/31/18 @ 100.00)

      (BB-, B1)        07/01/19          5.000          2,846,035  
  1,500       

iStar, Inc., Senior Unsecured Notes
(Callable 09/15/19 @ 102.63)

      (BB-, B1)        09/15/22          5.250          1,466,250  
  1,825       

QCP SNF West/Central/East/AL REIT LLC, Rule 144A, Secured Notes
(Callable 08/28/18 @ 100.00)(2)

      (NR, NR)        11/01/23          8.125          1,991,531  
  1,800       

Starwood Property Trust, Inc., Global Senior Unsecured Notes
(Callable 09/15/21 @ 100.00)

      (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
(Callable 05/01/21 @ 103.63)(1),(2)

      (B, B2)        05/01/25          7.250          2,047,500  
  2,000       

Canada’s Wonderland Co., Global Company Guaranteed Notes
(Callable 04/15/22 @ 102.69)

      (BB-, B1)        04/15/27          5.375          1,965,000  
  1,300       

Merlin Entertainments PLC, Rule 144A, Senior Unsecured Notes
(Callable 03/17/26 @ 100.00)(2)

      (BB, Ba2)        06/15/26          5.750          1,329,250  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Recreation & Travel

                    
$        600       

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 04/15/22 @ 102.75)(2)

      (BB-, B2)        04/15/27          5.500        $     588,750  
  2,150       

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 07/31/19 @ 103.66)(2)

      (BB-, B2)        07/31/24          4.875          2,104,312  
  1,320       

Speedway Motorsports, Inc., Global Company Guaranteed Notes
(Callable 08/31/18 @ 103.84)

      (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
(Callable 10/15/19 @ 103.38)(2)

      (CCC+, B3)        10/15/24          6.750          2,400,000  
  2,750       

New Red Finance, Inc., Rule 144A, Secured Notes
(Callable 10/15/20 @ 102.50)(2)

      (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
(Callable 06/01/22 @ 102.44)

      (BB+, Ba1)        06/01/27          4.875          2,213,438  
  1,529       

Epicor Software Corp., Rule 144A, Secured Notes,
LIBOR 3M + 8.250%(2),(10)

      (CCC, NR)        06/30/23          10.590          1,551,018  
  1,825       

First Data Corp., Rule 144A, Secured Notes
(Callable 01/15/19 @ 102.88)(2)

      (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
(Callable 08/31/18 @ 101.78)(2),(4)

      (CCC, Caa2)        05/01/21          15.000          1,469,938  
  1,800       

Infor U.S., Inc., Company Guaranteed Notes
(Callable 08/15/18 @ 102.88)(9)

      (CCC+, Caa1)        05/15/22          5.750          2,146,738  
  2,250       

Solera Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 03/01/19 @ 107.88)(2)

      (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
(Callable 08/31/18 @ 102.88)

      (B+, B1)        10/01/22          5.750          4,004,848  
  1,000       

Ruyi U.S. Finance LLC, Rule 144A, Senior Secured Notes
(Callable 05/01/21 @ 105.63)(2)

      (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
(Callable 04/15/21 @ 102.88)(2)

      (BB+, Ba3)        04/15/26          5.750          967,500  
  450       

Commercial Metals Co., Senior Unsecured Notes
(Callable 07/15/22 @ 102.69)

      (BB+, Ba2)        07/15/27          5.375          419,625  
  2,000       

Zekelman Industries, Inc., Rule 144A, Senior Secured Notes
(Callable 06/15/19 @ 104.94)(2)

      (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
(Callable 12/15/19 @ 104.75)(2)

      (B, B3)        12/15/21          9.500          3,445,000  
  50       

CoreCivic, Inc., Company Guaranteed Notes
(Callable 07/15/27 @ 100.00)

      (BB, Ba1)        10/15/27          4.750          44,922  
  2,550       

Gartner, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/01/20 @ 103.84)(2)

      (BB-, B1)        04/01/25          5.125          2,579,061  
  3,000       

H&E Equipment Services, Inc., Global Company Guaranteed Notes
(Callable 09/01/20 @ 104.22)

      (BB-, B2)        09/01/25          5.625          2,970,000  
  1,450       

KAR Auction Services, Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/01/20 @ 103.84)(2)

      (B, B3)        06/01/25          5.125          1,410,125  
  2,750       

Sotheby’s, Rule 144A, Company Guaranteed Notes
(Callable 12/15/20 @ 103.66)(2)

      (BB-, Ba3)        12/15/25          4.875          2,645,822  
  1,550       

Tempo Acquisition Finance Corp., Rule 144A, Senior Unsecured Notes
(Callable 06/01/20 @ 103.38)(2)

      (CCC+, Caa1)        06/01/25          6.750          1,502,260  
  1,900       

United Rentals North America, Inc., Company Guaranteed Notes
(Callable 01/15/23 @ 102.44)

      (BB, Ba3)        01/15/28          4.875          1,779,502  
  1,000       

United Rentals North America, Inc., Company Guaranteed Notes
(Callable 05/15/22 @ 102.75)

      (BB, Ba3)        05/15/27          5.500          993,400  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Support - Services

                    
$        1,950       

WeWork Cos., Inc., Rule 144A,
Company Guaranteed Notes(2)

      (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
(Callable 03/01/20 @ 103.75)

      (BB-, Ba3)        09/01/25          5.000          3,074,568  
  1,750       

CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes
(Callable 03/15/22 @ 102.50)(2)

      (BB-, Ba3)        03/15/27          5.000          1,686,563  
  1,950       

CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes
(Callable 06/15/20 @ 103.00)(2)

      (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
(Callable 01/15/21 @ 103.25)

      (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
(Callable 05/15/22 @ 102.69)

      (BB+, B1)        05/15/27          5.375          732,250  
  4,000       

GTT Communications, Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/31/19 @ 105.91)(1),(2)

      (CCC+, Caa1)        12/31/24          7.875          3,980,000  
  1,500       

QTS Finance Corp., Rule 144A, Company Guaranteed Notes
(Callable 11/15/20 @ 103.56)(2)

      (BB, B1)        11/15/25          4.750          1,428,750  
  326       

Syniverse Holdings, Inc., Global Company Guaranteed Notes
(Callable 08/31/18 @ 100.00)

      (CCC+, Caa2)        01/15/19          9.125          322,944  
  1,000       

Zayo Capital, Inc., Global Company Guaranteed Notes
(Callable 08/31/18 @ 104.50)

      (B, B3)        04/01/23          6.000          1,031,250  
  2,175       

Zayo Capital, Inc., Rule 144A, Company Guaranteed Notes
(Callable 01/15/22 @ 102.88)(2)

      (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
(Callable 05/15/22 @ 103.06)(1)

      (B+, B3)        05/15/27          6.125          585,000  
  855       

AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes
(Callable 11/15/21 @ 102.94)(1)

      (B+, B3)        11/15/26          5.875          835,762  
  1,475       

Carmike Cinemas, Inc., Rule 144A, Secured Notes
(Callable 08/31/18 @ 104.50)(2)

      (BB, Ba2)        06/15/23          6.000          1,504,500  
  1,000       

Cinemark U.S.A., Inc., Global Company Guaranteed Notes
(Callable 08/31/18 @ 102.44)

      (BB, B2)        06/01/23          4.875          990,300  
  400       

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/15/21 @ 104.22)(2)

      (B+, B1)        03/15/26          5.625          400,000  
  2,200       

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/01/19 @ 103.66)(2)

      (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
(Callable 08/31/18 @ 108.44)(2)

      (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†
  (S&P/Moody’s)  

        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,
LIBOR 1M + 7.750%(8),(10)

      (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†
  (S&P/Moody’s)  

        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 & Poor’s Division of The McGraw-Hill Companies, Inc. (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”) 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
(Local)

     

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  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, 2018 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

    $ —      $ 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 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, 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 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 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