N-Q 1 d669231dnq.htm CREDIT SUISSE HIGH YIELD BOND FUND Credit Suisse 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:        November 1, 2018 to January 31, 2019

 

 

 

Item 1:             Schedule of Investments

 

 

 

Credit Suisse High Yield Bond Fund

Schedule of Investments

January 31, 2019 (unaudited)

 

Par
(000)		              

Ratings†

  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (113.8%)

  
 

Aerospace & Defense (0.8%)

  
$        1,940       

TransDigm, Inc., Rule 144A, Senior Secured Notes
(Callable 03/15/22 @ 103.13)(1)

      (B+, NR)        03/15/26          6.250        $        1,973,950  
                        

 

 

  
                        
 

Auto Parts & Equipment (1.3%)

            
  2,650       

Cooper-Standard Automotive, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/15/21 @ 102.81)(1)

      (B+, B1)        11/15/26          5.625          2,404,875  
  1,000       

Delphi Technologies PLC, Rule 144A, Company Guaranteed Notes(1)

      (BB, B1)        10/01/25          5.000          860,000  
                        

 

 

  
                           3,264,875  
                        

 

 

  
                        
 

Brokerage (3.4%)

               
  1,400       

Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes
(Callable 03/04/19 @ 103.44)(1)

      (B+, B1)        04/15/22          6.875          1,389,500  
  2,950       

Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes
(Callable 03/04/19 @ 103.75)(1)

      (B+, B1)        04/15/21          7.500          2,990,563  
  4,450       

LPL Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/15/20 @ 104.31)(1)

      (BB-, B2)        09/15/25          5.750          4,386,810  
                        

 

 

  
                           8,766,873  
                        

 

 

  
                        
 

Building & Construction (1.0%)

               
  2,771       

TopBuild Corp., Rule 144A, Company Guaranteed Notes
(Callable 05/01/21 @ 102.81)(1)

      (BB-, B1)        05/01/26          5.625          2,604,740  
                        

 

 

  
                        
 

Building Materials (10.7%)

                    
  1,500       

American Builders & Contractors Supply Co., Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 05/15/21 @ 102.94)(1)

      (B+, B3)        05/15/26          5.875          1,508,850  
  1,150       

American Builders & Contractors Supply Co., Inc.,
Rule 144A, Senior Unsecured Notes
(Callable 03/04/19 @ 104.31)(1)

      (B+, B3)        12/15/23          5.750          1,184,500  
  2,300       

American Woodmark Corp., Rule 144A, Company Guaranteed Notes
(Callable 03/15/21 @ 102.44)(1)

      (BB, Ba3)        03/15/26          4.875          2,144,750  
  2,225       

BMC East LLC, Rule 144A, Senior Secured Notes
(Callable 10/01/19 @ 104.13)(1)

      (BB, B2)        10/01/24          5.500          2,130,437  
  675       

Core & Main LP, Rule 144A, Senior Unsecured Notes
(Callable 08/15/20 @ 103.06)(1)

      (B-, Caa1)        08/15/25          6.125          646,313  
  750       

James Hardie International Finance DAC, Rule 144A, Company Guaranteed Notes
(Callable 01/15/21 @ 102.38)(1)

      (BB, Ba1)        01/15/25          4.750          716,250  
  1,970       

James Hardie International Finance DAC, Rule 144A, Company Guaranteed Notes
(Callable 01/15/23 @ 102.50)(1)

      (BB, Ba1)        01/15/28          5.000          1,782,850  
  800       

Jeld-Wen, Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/15/20 @ 102.31)(1)

      (BB-, B1)        12/15/25          4.625          728,000  
  2,500       

Jeld-Wen, Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/15/22 @ 102.44)(1)

      (BB-, B1)        12/15/27          4.875          2,218,750  
  1,130       

Masonite International Corp., Rule 144A, Company Guaranteed Notes
(Callable 09/15/21 @ 102.88)(1)

      (BB+, Ba3)        09/15/26          5.750          1,101,750  
  3,900       

Omnimax International, Inc., Rule 144A, Senior Secured Notes
(Callable 02/15/2019 @ 104.50)(1)

      (B-, Caa1)        08/15/20          12.000          3,943,875  
  3,540       

PriSo Acquisition Corp., Rule 144A, Senior Unsecured Notes
(Callable 03/04/19 @ 104.50)(1),(2)

      (CCC+, Caa1)        05/15/23          9.000          3,553,275  
  1,185       

Standard Industries, Inc. Rule 144A, Senior Unsecured Notes
(Callable 01/15/23 @ 102.38)(1)

      (BBB-, Ba2)        01/15/28          4.750          1,075,743  
  1,500       

Standard Industries, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/15/22 @ 102.50)(1)

      (BBB-, Ba2)        02/15/27          5.000          1,406,250  
  1,000       

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

      (BB, B3)        04/15/22          8.500          1,050,000  
  975       

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

      (BB-, B3)        06/01/24          6.375          951,600  
  1,600       

USG Corp., Rule 144A, Company Guaranteed Notes
(Callable 06/01/22 @ 102.44)(1)

      (BB+, Ba2)        06/01/27          4.875          1,630,560  
                        

 

 

  
                           27,773,753  
                        

 

 

  
                        
 

Cable & Satellite TV (10.1%)

                    
  2,065       

Altice Financing S.A., Rule 144A, Senior Secured Notes
(Callable 03/04/2019 @ 103.31)(1)

      (B+, B2)        02/15/23          6.625          2,081,107  
  2,300       

Altice Financing S.A., Rule 144A, Senior Secured Notes
(Callable 05/15/21 @ 103.75)(1)

      (B+, B2)        05/15/26          7.500          2,185,000  
  650       

Altice France S.A., Rule 144A, Senior Secured Notes
(Callable 05/01/21 @ 103.69)(1)

      (B, B2)        05/01/26          7.375          628,056  
  2,800       

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

      (B, B2)        05/15/24          6.250          2,755,340  

 

 

 

 

Par
(000)		              

Ratings†

  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

  
 

Cable & Satellite TV

  
$        4,000       

Block Communications, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/15/20 @ 103.44)(1)

      (BB-, Ba3)        02/15/25          6.875        $        4,120,000  
  1,315       

CSC Holdings LLC, Global Senior Unsecured Notes

      (B-, B3)        06/01/24          5.250          1,265,687  
  750       

CSC Holdings LLC, Rule 144A, Company Guaranteed Notes
(Callable 02/01/23 @ 102.69)(1)

      (BB-, Ba3)        02/01/28          5.375          722,812  
  525       

CSC Holdings LLC, Rule 144A, Company Guaranteed Notes
(Callable 04/15/22 @ 102.75)(1)

      (BB-, Ba2)        04/15/27          5.500          514,490  
  800       

CSC Holdings LLC, Rule 144A, Company Guaranteed Notes
(Callable 10/15/20 @ 103.31)(1)

      (BB-, Ba2)        10/15/25          6.625          839,000  
  2,200       

CSC Holdings LLC, Rule 144A, Senior Secured Notes
(Callable 02/11/19 @ 104.03)(1)

      (BB-, Ba3)        07/15/23          5.375          2,229,590  
  840       

CSC Holdings LLC, Rule 144A, Senior Unsecured Notes
(Callable 10/15/20 @ 105.44)(1)

      (B-, B3)        10/15/25          10.875          970,360  
  1,750       

Midcontinent Finance Corp., Rule 144A, Company Guaranteed Notes
(Callable 03/04/19 @ 105.16)(1)

      (B, B3)        08/15/23          6.875          1,811,250  
  2,000       

Telenet Finance Luxembourg Notes Sarl, Rule 144A, Senior Secured Notes
(Callable 12/01/22 @ 102.75)(1)

      (BB-, Ba3)        03/01/28          5.500          1,900,000  
  1,000       

Virgin Media Secured Finance PLC, Rule 144A, Senior Secured Notes
(Callable 04/15/22 @ 102.50)(1),(3)

      (BB-, Ba3)        04/15/27          5.000          1,279,936  
  3,250       

Ziggo B.V., Rule 144A, Senior Secured Notes
(Callable 01/15/22 @ 102.75)(1)

      (B+, B1)        01/15/27          5.500          3,079,375  
                        

 

 

  
       26,382,003  
                        

 

 

  
                        
 

Chemicals (5.7%)

       
  2,000       

Alpha 2 B.V., 8.75% Cash, 9.50% PIK, Rule 144A, Senior Unsecured Notes
(Callable 06/01/19 @ 102.00)(1),(4)

      (CCC+, Caa1)        06/01/23          8.750          1,945,000  
  2,100       

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

      (CCC+, Caa1)        02/01/25          6.250          1,995,840  
  2,200       

Ingevity Corp., Rule 144A, Senior Unsecured Notes
(Callable 02/01/21 @ 102.25)(1)

      (NR, Ba3)        02/01/26          4.500          2,018,500  
  1,000       

Nufarm Americas, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/30/21 @ 102.88)(1)

      (BB-, B1)        04/30/26          5.750          930,000  
  272       

Reichhold Industries, Inc., Rule 144A, Senior Secured
Notes(1),(5),(6),(7),(8)

      (NR, NR)        05/01/19          9.000          3,667  
  950       

Starfruit U.S. Holdco LLC, Rule 144A, Senior Unsecured Notes
(Callable 10/01/21 @ 104.00)(1),(2)

      (B-, Caa1)        10/01/26          8.000          950,000  
  1,200       

Starfruit U.S. Holdco LLC, Rule 144A, Senior Unsecured Notes
(Callable 10/01/21 @ 103.25)(1),(9)

      (B-, Caa1)        10/01/26          6.500          1,332,809  
  2,000       

Trinseo Materials Finance, Inc., Rule 144A, Company Guaranteed Notes
(Callable 09/01/20 @ 102.69)(1)

      (BB-, B2)        09/01/25          5.375          1,820,600  
  1,250       

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

      (B-, B3)        04/15/26          6.500          1,098,437  
  2,625       

Venator Materials LLC, Rule 144A, Company Guaranteed Notes
(Callable 07/15/20 @ 104.31)(1),(2)

      (BB-, B2)        07/15/25          5.750          2,185,312  
  675       

Versum Materials, Inc., Rule 144A, Company Guaranteed Notes
(Callable 09/30/21 @ 102.75)(1)

      (BB+, Ba3)        09/30/24          5.500          686,813  
                        

 

 

  
       14,966,978  
                        

 

 

  
                        
 

Consumer/Commercial/Lease Financing (0.3%)

       
  775       

Lincoln Finance Ltd., Rule 144A, Senior Secured Notes
(Callable 02/11/2019 @ 103.69)(1)

      (BB+, B1)        04/15/21          7.375          785,656  
                        

 

 

  
                        
 

Diversified Capital Goods (1.6%)

                    
  2,050       

Anixter, Inc., Global Company Guaranteed Notes

      (BB, Ba3)        03/01/23          5.500          2,101,250  
  250       

Anixter, Inc., Rule 144A, Company Guaranteed Notes
(Callable 09/01/25 @ 100.00)(1)

      (BB, Ba3)        12/01/25          6.000          256,875  
  360       

EnerSys, Rule 144A, Company Guaranteed Notes
(Callable 01/30/23 @ 100.00)(1)

      (BB+, Ba2)        04/30/23          5.000          359,100  
  1,500       

Stevens Holding Co., Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/01/23 @ 101.53)(1)

      (B+, B2)        10/01/26          6.125          1,523,070  
                        

 

 

  
       4,240,295  
                        

 

 

  
                        
 

Electronics (1.9%)

       
  2,625       

Entegris, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/10/20 @ 103.47)(1)

      (BB, Ba2)        02/10/26          4.625          2,559,375  

 

 

 

 

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(1)

      (BB+, Ba3)        10/01/25          5.000        $        2,272,500  
                        

 

 

  
                           4,831,875  
                        

 

 

  
                        
 

Energy - Exploration & Production (1.7%)

                    
  1,981       

Talos Production Finance, Inc., Global Secured Notes
(Callable 05/10/19 @ 105.50)(2)

      (NR, NR)        04/03/22          11.000          2,052,558  
  2,500       

W&T Offshore, Inc., Rule 144A, Secured Notes
(Callable 11/01/20 @ 104.88)(1)

      (B, B3)        11/01/23          9.750          2,443,750  
                        

 

 

  
                           4,496,308  
                        

 

 

  
                        
 

Food - Wholesale (1.4%)

                    
  2,100       

Clearwater Seafoods, Inc., Rule 144A, Senior Unsecured Notes
(Callable 05/01/20 @ 105.16)(1)

      (B+, B3)        05/01/25          6.875          2,029,125  
  1,550       

U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/15/19 @ 102.94)(1)

      (BB, B2)        06/15/24          5.875          1,582,612  
                        

 

 

  
                           3,611,737  
                        

 

 

  
                        
 

Gaming (3.4%)

                    
  825       

Boyd Gaming Corp., Global Company Guaranteed Notes
(Callable 08/15/21 @ 103.00)

      (B, B3)        08/15/26          6.000          828,094  
  2,500       

Churchill Downs, Inc., Rule 144A, Company Guaranteed Notes
(Callable 01/15/23 @ 102.38)(1)

      (B+, Ba3)        01/15/28          4.750          2,409,375  
  2,000       

Gateway Casinos & Entertainment Ltd., Rule 144A,
Secured Notes
(Callable 03/01/20 @ 104.13)(1)

      (CCC+, Caa1)        03/01/24          8.250          2,070,000  
  2,200       

Jacobs Entertainment, Inc., Rule 144A, Secured Notes
(Callable 02/01/20 @ 105.91)(1)

      (B, B2)        02/01/24          7.875          2,316,160  
  1,250       

MGP Finance Co-Issuer, Inc. Rule 144A, Company Guaranteed Notes
(Callable 11/01/26 @ 100.00)(1)

      (BB-, B1)        02/01/27          5.750          1,262,312  
                        

 

 

  
                           8,885,941  
                        

 

 

  
                        
 

Gas Distribution (2.5%)

                    
  800       

CNX Midstream Finance Corp., Rule 144A, Senior Unsecured Notes
(Callable 03/15/21 @ 104.88)(1)

      (BB-, B3)        03/15/26          6.500          791,000  
  1,250       

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 02/15/21 @ 104.69)

      (B+, B1)        05/15/26          6.250          1,152,344  
  2,750       

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

      (B+, B1)        06/15/24          5.625          2,543,750  
  2,000       

Holly Energy Finance Corp., Rule 144A, Company Guaranteed Notes
(Callable 08/01/19 @ 104.50)(1)

      (BB, B2)        08/01/24          6.000          2,025,000  
                        

 

 

  
                           6,512,094  
                        

 

 

  
                        
 

Health Facilities (2.3%)

                    
  1,250       

HCA, Inc., Company Guaranteed Notes
(Callable 03/01/28 @ 100.00)

      (BB-, Ba2)        09/01/28          5.625          1,295,700  
  2,200       

HCA, Inc., Senior Secured Notes

      (BBB-, Baa3)        03/15/24          5.000          2,294,600  
  2,625       

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

      (BBB-, Ba1)        08/15/26          5.125          2,468,828  
                        

 

 

  
                           6,059,128  
                        

 

 

  
                        
 

Health Services (2.6%)

                    
  2,500       

AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/01/19 @ 103.84)(1)

      (BB-, Ba2)        10/01/24          5.125          2,487,500  
  715       

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

      (BB, Ba3)        06/01/25          5.250          698,913  
  1,700       

Sotera Health Holdings LLC, Rule 144A, Senior Unsecured Notes
(Callable 03/04/19 @ 104.88)(1)

      (CCC+, Caa1)        05/15/23          6.500          1,717,000  
  1,950       

Sotera Health Topco, Inc., 8.125% Cash, 8.875% PIK, Rule 144A, Senior Unsecured Notes
(Callable 03/04/19 @ 101.00)(1),(4)

      (CCC+, Caa2)        11/01/21          8.125          1,950,000  
                        

 

 

  
                           6,853,413  
                        

 

 

  
                        
 

Hotels (1.1%)

                    
  3,000       

ESH Hospitality, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/01/20 @ 102.63)(1)

      (BB-, Ba3)        05/01/25          5.250          2,973,300  
                        

 

 

  

 

 

 

 

Par
(000)		              

Ratings†

(S&P/Moody’s)

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

  
 

Insurance Brokerage (3.6%)

  
$        500       

Acrisure Finance, Inc., Rule 144A, Senior Secured Notes
(Callable 02/15/21 @ 104.06)(1)

      (B, B2)        02/15/24          8.125        $           509,688  
  3,530       

Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 11/15/20 @ 103.50)(1)

      (CCC+, Caa2)        11/15/25          7.000          3,088,750  
  2,500       

HUB International Ltd., Rule 144A, Senior Unsecured Notes
(Callable 05/01/21 @ 103.50)(1)

      (CCC+, Caa2)        05/01/26          7.000          2,431,250  
  3,375       

NFP Corp., Rule 144A, Senior Unsecured Notes
(Callable 07/15/20 @ 103.44)(1)

      (CCC+, Caa2)        07/15/25          6.875          3,223,125  
                        

 

 

  
                           9,252,813  
                        

 

 

  
                        
 

Investments & Misc. Financial Services (2.7%)

                    
  3,700       

Compass Group Diversified Holdings LLC, Rule 144A, Senior Unsecured Notes
(Callable 05/01/21 @ 104.00)(1)

      (B-, B3)        05/01/26          8.000          3,755,500  
  3,125       

Orchestra Co-Issuer, Inc., Rule 144A, Secured Notes
(Callable 06/15/19 @ 103.38)(1)

      (B-, B1)        06/15/22          6.750          3,179,688  
                        

 

 

  
                           6,935,188  
                        

 

 

  
                        
 

Machinery (1.9%)

                    
  1,000       

Itron, Inc., Rule 144A, Company Guaranteed Notes
(Callable 01/15/21 @ 102.50)(1)

      (BB-, B2)        01/15/26          5.000          955,950  
  2,485       

Rexnord LLC, Rule 144A, Company Guaranteed Notes
(Callable 12/15/20 @ 102.44)(1)

      (B+, B1)        12/15/25          4.875          2,410,450  
  1,575       

Terex Corp., Rule 144A, Company Guaranteed Notes
(Callable 02/01/20 @ 104.22)(1)

      (BB, B2)        02/01/25          5.625          1,525,781  
                        

 

 

  
                           4,892,181  
                        

 

 

  
                        
 

Media - Diversified (0.5%)

                    
  500       

National CineMedia LLC, Global Senior Secured Notes
(Callable 03/04/19 @ 102.00)

      (B+, Ba3)        04/15/22          6.000          506,250  
  750       

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

      (B-, B3)        08/15/26          5.750          678,750  
                        

 

 

  
                           1,185,000  
                        

 

 

  
                        
 

Media Content (2.1%)

                    
  2,625       

EMI Music Publishing Group North America Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/15/19 @ 105.72)(1)

      (B, B3)        06/15/24          7.625          2,790,847  
  750       

Netflix, Inc., Global Senior Unsecured Notes

      (BB-, Ba3)        02/15/25          5.875          778,838  
  800       

Netflix, Inc., Rule 144A, Senior Unsecured Notes(1)

      (BB-, Ba3)        11/15/28          5.875          813,000  
  1,000       

WMG Acquisition Corp., Rule 144A, Senior Secured Notes
(Callable 11/01/19 @ 103.66)(1)

      (B+, Ba3)        11/01/24          4.875          985,000  
                        

 

 

  
                           5,367,685  
                        

 

 

  
                        
 

Metals & Mining - Excluding Steel (4.8%)

                    
  2,200       

Cleveland-Cliffs, Inc., Rule 144A, Senior Secured Notes
(Callable 01/15/21 @ 102.44)(1)

      (BB-, Ba2)        01/15/24          4.875          2,123,000  
  2,950       

Eldorado Gold Corp., Rule 144A, Company Guaranteed Notes
(Callable 03/04/19 @ 100.00)(1)

      (B, B2)        12/15/20          6.125          2,817,250  
  2,150       

First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes
(Callable 03/01/21 @ 105.16)(1),(2)

      (B, NR)        03/01/26          6.875          1,956,500  
  2,000       

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

      (BB+, Ba3)        05/15/24          5.875          2,035,000  
  3,925       

Taseko Mines Ltd., Rule 144A, Senior Secured Notes
(Callable 06/15/19 @ 104.38)(1),(7)

      (B, B3)        06/15/22          8.750          3,503,063  
                        

 

 

  
                           12,434,813  
                        

 

 

  
                        
 

Oil Field Equipment & Services (4.3%)

                    
  3,330       

FTS International, Inc., Global Senior Secured Notes
(Callable 03/04/19 @ 103.13)

      (B, B3)        05/01/22          6.250          3,130,200  
  300       

KCA Deutag UK Finance PLC, Rule 144A, Senior Secured Notes
(Callable 03/04/19 @ 101.81)(1),(2)

      (B-, B3)        05/15/21          7.250          240,000  
  2,000       

KCA Deutag UK Finance PLC, Rule 144A, Senior Secured Notes
(Callable 04/01/20 @ 109.88)(1)

      (B-, B3)        04/01/22          9.875          1,560,000  
  675       

Nine Energy Service, Inc., Rule 144A, Senior Unsecured Notes
(Callable 11/01/20 @ 104.38)(1)

      (B, B3)        11/01/23          8.750          680,063  
  414       

Nor Offshore SPV Ltd., PIK, Senior Secured Notes
(Callable 03/01/19 @ 100.00)(4)

      (NR, NR)        02/04/20          8.400          149,025  

 

 

 

 

Par
(000)		              

Ratings†

  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

  
 

Oil Field Equipment & Services

  
$        2,130       

Pioneer Energy Services Corp., Global Company Guaranteed Notes
(Callable 03/04/19 @ 103.06)

      (CCC, Caa2)        03/15/22          6.125        $        1,299,300  
  3,750       

Shelf Drilling Holdings Ltd., Rule 144A, Company Guaranteed Notes
(Callable 02/15/21 @ 106.19)(1)

      (B-, B2)        02/15/25          8.250          3,417,187  
  850       

Trinidad Drilling Ltd., Rule 144A, Company Guaranteed Notes
(Callable 02/15/20 @ 104.97)(1)

      (BB-, B3)        02/15/25          6.625          859,562  
                        

 

 

  
                           11,335,337  
                        

 

 

  
                        
 

Oil Refining & Marketing (2.0%)

                    
  1,000       

CITGO Petroleum Corp., Rule 144A, Senior Secured Notes
(Callable 03/04/2019 @ 103.13)(1)

      (B+, B3)        08/15/22          6.250          990,000  
  4,100       

Coffeyville Finance, Inc., Global Company Guaranteed Notes
(Callable 03/04/19 @ 102.17)

      (BB-, B1)        11/01/22          6.500          4,130,750  
                        

 

 

  
                           5,120,750  
                        

 

 

  
                        
 

Packaging (3.1%)

                    
  1,000       

Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/15/20 @ 104.50)(1)

      (B, B3)        02/15/25          6.000          975,000  
  1,500       

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

      (BB-, Ba3)        02/01/26          4.750          1,473,750  
  2,500       

Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes
(Callable 01/15/20 @ 103.44)(1)

      (CCC+, Caa1)        01/15/25          6.875          2,350,000  
  3,400       

TriMas Corp., Rule 144A, Company Guaranteed Notes
(Callable 10/15/20 @ 102.44)(1)

      (BB-, Ba3)        10/15/25          4.875          3,304,375  
                        

 

 

  
                           8,103,125  
                        

 

 

  
                        
 

Personal & Household Products (1.2%)

                    
  2,000       

High Ridge Brands Co., Rule 144A, Company Guaranteed Notes
(Callable 03/15/20 @ 104.44)(1)

      (CC, Caa3)        03/15/25          8.875          870,000  
  1,822       

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

      (BB-, B1)        12/31/25          6.750          1,726,345  
  550       

Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/04/19 @ 104.78)(1),(2)

      (B, Caa1)        03/01/24          6.375          550,000  
                        

 

 

  
                           3,146,345  
                        

 

 

  
                        
 

Pharmaceuticals (3.7%)

                    
  3,050       

Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/04/19 @ 102.94)(1)

      (B-, B3)        05/15/23          5.875          2,996,625  
  2,850       

Bausch Health Cos., Inc., Rule 144A, Senior Secured Notes
(Callable 03/15/20 @ 103.50)(1)

      (BB-, Ba2)        03/15/24          7.000          3,001,335  
  500       

Endo Finance LLC, Rule 144A, Company Guaranteed Notes
(Callable 03/04/2019 @ 104.50)(1)

      (CCC+, B3)        07/15/23          6.000          411,060  
  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          1,329,750  
  2,619       

Owens & Minor, Inc., Global Senior Secured Notes
(Callable 09/15/24 @ 100.00)

      (B, B1)        12/15/24          4.375          2,029,725  
                        

 

 

  
                           9,768,495  
                        

 

 

  
                        
 

Real Estate Development & Management (0.4%)

                    
  950       

Newmark Group, Inc., Rule 144A, Senior Unsecured Notes
(Callable 10/15/23 @ 100.00)(1)

      (BB+, NR)        11/15/23          6.125          948,748  
                        

 

 

  
                        
 

Real Estate Investment Trusts (2.7%)

                    
  2,143       

iStar, Inc., Senior Unsecured Notes
(Callable 03/04/19 @ 100.00)

      (BB-, Ba3)        07/01/19          5.000          2,147,018  
  1,400       

iStar, Inc., Senior Unsecured Notes
(Callable 04/01/19 @ 103.00)

      (BB-, Ba3)        04/01/22          6.000          1,400,000  
  1,500       

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

      (BB-, Ba3)        09/15/22          5.250          1,480,500  
  370       

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

      (BB-, Ba3)        12/15/21          5.000          374,625  
  1,800       

Starwood Property Trust, Inc., Global Senior Unsecured Notes
(Callable 09/15/24 @ 100.00)

      (BB-, Ba3)        03/15/25          4.750          1,732,500  
                        

 

 

  
                           7,134,643  
                        

 

 

  
                        
 

Recreation & Travel (3.6%)

                    
  1,950       

Boyne U.S.A., Inc., Rule 144A, Secured Notes
(Callable 05/01/21 @ 103.63)(1)

      (B, B2)        05/01/25          7.250          2,062,125  
  2,000       

Canada’s Wonderland Co., Global Company Guaranteed Notes
(Callable 04/15/22 @ 102.69)(2)

      (BB-, B1)        04/15/27          5.375          1,995,000  

 

 

 

 

Par
(000)		              

Ratings†

  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

  
 

Recreation & Travel

  
$        1,300       

Merlin Entertainments PLC, Rule 144A, Senior Unsecured Notes
(Callable 03/17/26 @ 100.00)(1)

      (BB, Ba2)        06/15/26          5.750        $        1,330,875  
  600       

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 04/15/22 @ 102.75)(1)

      (BB-, B2)        04/15/27          5.500          597,000  
  2,150       

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 07/31/19 @ 103.66)(1)

      (BB-, B2)        07/31/24          4.875          2,133,875  
  1,320       

Speedway Motorsports, Inc., Global Company Guaranteed Notes
(Callable 03/04/19 @ 102.56)

      (BB+, Ba2)        02/01/23          5.125          1,316,700  
                        

 

 

  
                           9,435,575  
                        

 

 

  
                        
 

Restaurants (2.3%)

                    
  3,250       

Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes
(Callable 10/15/19 @ 103.38)(1)

      (CCC+, B3)        10/15/24          6.750          3,258,125  
  2,750       

New Red Finance, Inc., Rule 144A, Secured Notes
(Callable 10/15/20 @ 102.50)(1)

      (B-, B3)        10/15/25          5.000          2,660,625  
                        

 

 

  
                           5,918,750  
                        

 

 

  
                        
 

Software - Services (4.5%)

                    
  1,000       

CDK Global, Inc., Global Senior Unsecured Notes
(Callable 06/01/22 @ 102.44)

      (BB+, Ba1)        06/01/27          4.875          975,000  
  1,529       

Epicor Software Corp., Rule 144A, Secured Notes
(Callable 03/04/19 @ 102.00),
LIBOR 3M + 7.250%(1),(6),(8),(10)

      (NR, NR)        06/30/23          10.050          1,498,420  
  1,825       

First Data Corp., Rule 144A, Secured Notes
(Callable 02/11/19 @ 102.88)(1)

      (B+, B2)        01/15/24          5.750          1,883,172  
  1,450       

Infor Software Parent, Inc., 7.125% Cash, 7.875% PIK, Rule 144A, Senior Unsecured Notes
(Callable 03/04/19 @ 101.78)(1),(4)

      (CCC, Caa2)        05/01/21          7.125          1,466,312  
  1,800       

Infor U.S., Inc., Company Guaranteed Notes
(Callable 02/14/19 @ 102.88)(9)

      (CCC+, Caa1)        05/15/22          5.750          2,131,920  
  3,350       

Solera Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 03/04/19 @ 107.88)(1)

      (CCC+, Caa1)        03/01/24          10.500          3,651,433  
                        

 

 

  
                           11,606,257  
                        

 

 

  
                        
 

Specialty Retail (1.4%)

                    
  1,403       

Lithia Motors, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/01/20 @ 103.94)(1)

      (BB, Ba2)        08/01/25          5.250          1,359,156  
  2,500       

Ruyi U.S. Finance LLC, Rule 144A, Senior Secured Notes
(Callable 05/01/21 @ 105.63)(1)

      (B, B1)        05/01/25          7.500          2,390,625  
                        

 

 

  
                           3,749,781  
                        

 

 

  
                        
 

Steel Producers/Products (1.3%)

                    
  1,000       

Commercial Metals Co., Global Senior Unsecured Notes
(Callable 04/15/21 @ 102.88)

      (BB+, Ba2)        04/15/26          5.750          950,000  
  450       

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

      (BB+, Ba2)        07/15/27          5.375          410,625  
  2,000       

Zekelman Industries, Inc., Rule 144A, Senior Secured Notes
(Callable 06/15/19 @ 104.94)(1)

      (B, B3)        06/15/23          9.875          2,135,000  
                        

 

 

  
                           3,495,625  
                        

 

 

  
                        
 

Support - Services (6.9%)

                    
  50       

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

      (BB, Ba1)        10/15/27          4.750          42,750  
  2,550       

Gartner, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/01/20 @ 103.84)(1)

      (BB-, B1)        04/01/25          5.125          2,543,625  
  3,000       

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

      (BB-, B2)        09/01/25          5.625          2,943,750  
  1,950       

KAR Auction Services, Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/01/20 @ 103.84)(1)

      (B, B3)        06/01/25          5.125          1,888,731  
  2,750       

Sotheby’s, Rule 144A, Company Guaranteed Notes
(Callable 12/15/20 @ 103.66)(1)

      (BB-, Ba3)        12/15/25          4.875          2,654,575  
  1,730       

Tempo Acquisition Finance Corp., Rule 144A, Senior Unsecured Notes
(Callable 06/01/20 @ 103.38)(1)

      (CCC+, Caa1)        06/01/25          6.750          1,717,025  
  1,900       

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

      (BB, Ba3)        01/15/28          4.875          1,807,375  
  1,000       

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

      (BB, Ba3)        05/15/27          5.500          987,800  
  150       

United Rentals North America, Inc., Global Company Guaranteed Notes
(Callable 12/15/21 @ 103.25)

      (BB, Ba3)        12/15/26          6.500          156,000  

 

 

 

 

Par
(000)		              

Ratings†

  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

  
 

Support - Services

  
$        3,050       

WeWork Cos., Inc., Rule 144A, Company
Guaranteed Notes(1),(2)

      (B+, NR)        05/01/25          7.875        $        2,775,866  
  400       

Williams Scotsman International, Inc., Rule 144A, Senior Secured Notes
(Callable 08/15/20 @ 103.44)(1)

      (B, B3)        08/15/23          6.875          392,620  
                        

 

 

  
                           17,910,117  
                        

 

 

  
                        
 

Tech Hardware & Equipment (2.2%)

                    
  2,341       

CDW Finance Corp., Company Guaranteed Notes
(Callable 03/01/20 @ 103.75)

      (BB-, Ba2)        09/01/25          5.000          2,332,221  
  1,750       

CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes
(Callable 03/15/22 @ 102.50)(1)

      (BB-, B1)        03/15/27          5.000          1,496,075  
  1,950       

CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes
(Callable 06/15/20 @ 103.00)(1)

      (BB-, B1)        06/15/25          6.000          1,847,625  
                        

 

 

  
                           5,675,921  
                        

 

 

  
                        
 

Telecom - Satellite (0.4%)

                    
  1,000       

Hughes Satellite Systems Corp., Global Senior Secured Notes

      (BBB-, Ba2)        08/01/26          5.250          961,250  
                        

 

 

  
                        
 

Telecom - Wireless (0.6%)

                    
  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          1,484,000  
                        

 

 

  
                        
 

Telecom - Wireline Integrated & Services (2.6%)

                    
  725       

Equinix, Inc., Senior Unsecured Notes
(Callable 05/15/22 @ 102.69)

      (BB+, B1)        05/15/27          5.375          728,625  
  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          3,540,000  
  2,550       

QTS Finance Corp., Rule 144A, Company Guaranteed Notes
(Callable 11/15/20 @ 103.56)(1)

      (BB, B1)        11/15/25          4.750          2,397,000  
                        

 

 

  
                           6,665,625  
                        

 

 

  
                        
 

Theaters & Entertainment (2.4%)

                    
  600       

AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes
(Callable 05/15/22 @ 103.06)

      (B-, B3)        05/15/27          6.125          537,000  
  855       

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

      (B-, B3)        11/15/26          5.875          771,637  
  1,475       

Carmike Cinemas, Inc., Rule 144A, Secured Notes
(Callable 03/04/19 @ 104.50)(1)

      (BB-, Ba2)        06/15/23          6.000          1,506,344  
  1,000       

Cinemark U.S.A., Inc., Global Company Guaranteed Notes
(Callable 03/04/19 @ 102.44)

      (BB, B2)        06/01/23          4.875          992,500  
  400       

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/15/21 @ 104.22)(1)

      (B+, B1)        03/15/26          5.625          405,000  
  2,200       

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/01/19 @ 103.66)(1)

      (B+, B1)        11/01/24          4.875          2,172,500  
                        

 

 

  
                           6,384,981  
                        

 

 

  
                        
 

Transport Infrastructure/Services (0.8%)

                    
  3,150       

Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes
(Callable 03/04/19 @ 104.22)(1)

      (B, Caa1)        08/15/22          11.250          2,205,000  
                        

 

 

  
 

TOTAL CORPORATE BONDS (Cost $303,811,316)

          296,100,924  
                        

 

 

  
                        
 

BANK LOANS (23.6%)

  
 

Aerospace & Defense (0.7%)

  
  1,921       

Sequa Mezzanine Holdings LLC, LIBOR 1M + 5.000%(10)

      (CCC+, B3)        11/28/21          7.516          1,892,283  
                        

 

 

  
                        
 

Auto Parts & Equipment (0.3%)

                    
  725       

Dayco Products LLC, LIBOR 3M + 4.250%(8),(10)

      (B, B2)        05/19/23          6.957          708,502  
                        

 

 

  
                        
 

Beverages (0.4%)

                    
  2,000       

The Winebow Group, Inc., LIBOR 1M + 7.500%(7),(8),(10)

      (CCC-, Caa1)        12/31/21          9.999          1,100,000  
                        

 

 

  
                        
 

Building Materials (1.3%)

                    
  2,000       

Airxcel, Inc., LIBOR 1M + 8.750%(7),(10)

      (CCC+, Caa2)        04/27/26          11.249          1,830,000  
  1,634       

Fastener Acquisition, Inc., LIBOR 3M + 8.750%(7),(8),(10)

      (CCC+, Caa2)        03/30/26          11.553          1,511,232  
                        

 

 

  
                           3,341,232  
                        

 

 

  
                        
 

Chemicals (5.1%)

                    
  1,000       

Archroma Finance Sarl, LIBOR 3M + 8.250%(7),(8),(10)

      (NR, Caa1)        07/28/25          11.049          985,000  
  2,086       

Ascend Performance Materials Operations LLC,
LIBOR 3M + 5.250%(8),(10)

      (B+, B2)        08/12/22          8.053          2,075,548  

 

 

 

 

Par
(000)		              

Ratings†

  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

BANK LOANS (continued)

                    
 

Chemicals

                    
$        958       

ASP Chromaflo Intermediate Holdings, Inc.,
LIBOR 1M + 8.000%(7),(10)

      (CCC, Caa2)        11/18/24          10.499        $           953,542  
  500       

Houghton International, Inc., LIBOR 1M + 8.500%(8),(10)

      (B-, Caa1)        12/20/20          10.999          500,000  
  2,500       

Polar US Borrower LLC, LIBOR 3M + 4.750%(8),(10)

      (B, B2)        10/15/25          7.537          2,481,250  
  3,361       

Preferred Proppants LLC, LIBOR 3M + 9.750%(5),(7),(8),(10)

      (NR, NR)        07/27/20          12.553          672,167  
  1,488       

UTEX Industries, Inc., LIBOR 1M + 4.000%(10)

      (CCC+, B3)        05/22/21          6.499          1,406,473  
  2,000       

Vantage Specialty Chemicals, Inc.,
LIBOR 3M + 8.250%(7),(10)

      (CCC, Caa2)        10/27/25          10.884          1,937,500  
  2,487       

Zep, Inc., LIBOR 3M + 4.000%(10)

      (CCC+, B2)        08/12/24          6.803          2,205,508  
                        

 

 

  
                           13,216,988  
                        

 

 

  
                        
 

Diversified Capital Goods (1.3%)

                    
  1,500       

Cortes NP Acquisition Corp., LIBOR 3M + 4.000%(10)

      (B, B1)        11/30/23          6.707          1,401,562  
  2,045       

Dynacast International LLC, LIBOR 3M + 8.500%(7),(8),(10)

      (B-, Caa2)        01/30/23          11.303          1,983,650  
                        

 

 

  
                           3,385,212  
                        

 

 

  
                        
 

Electronics (0.8%)

                    
  1,000       

CPI International, Inc., LIBOR 1M + 7.250%(8),(10)

      (CCC+, Caa2)        07/26/25          9.752          985,000  
  985       

Oberthur Technologies S.A., LIBOR 3M + 3.750%(10)

      (B-, B2)        01/10/24          6.553          967,110  
                        

 

 

  
                           1,952,110  
                        

 

 

  
                        
 

Energy - Exploration & Production (0.7%)

                    
  2,350       

PES Holdings LLC, LIBOR 3M + 0.500%(10)

      (B-, B2)        12/31/22          10.293          1,779,816  
                        

 

 

  
                        
 

Food - Wholesale (0.4%)

                    
  1,250       

United Natural Foods, Inc., LIBOR 1M + 4.250%(10)

      (B+, B2)        10/22/25          6.749          1,077,500  
                        

 

 

  
                        
 

Gas Distribution (0.8%)

                    
  2,099       

BCP Renaissance Parent LLC, LIBOR 3M + 3.500%(10)

      (B+, B1)        10/31/24          6.244          2,083,043  
                        

 

 

  
                        
 

Health Facilities (0.5%)

                    
  248       

Prospect Medical Holdings, Inc.,
LIBOR 1M + 5.500%(8),(10)

      (B, B1)        02/22/24          8.063          246,884  
  1,155       

Western Dental Services, Inc., LIBOR 1M + 5.250%(10)

      (B-, B3)        06/30/23          7.749          1,124,741  
                        

 

 

  
                           1,371,625  
                        

 

 

  
                        
 

Insurance Brokerage (0.7%)

                    
  1,965       

Acrisure LLC, LIBOR 1M + 4.250%(10)

      (B, B2)        11/22/23          6.749          1,932,583  
                        

 

 

  
                        
 

Investments & Misc. Financial Services (0.4%)

                    
  215       

Ditech Holding Corp., LIBOR 1M + 6.000%(10)

      (CC, Caa2)        06/30/22          8.499          146,051  
  897       

Ocwen Financial Corp., LIBOR 1M + 5.000%(10)

      (B+, B2)        12/05/20          7.519          886,803  
                        

 

 

  
                           1,032,854  
                        

 

 

  
                        
 

Machinery (1.8%)

                    
  1,223       

LTI Holdings, Inc., LIBOR 1M + 6.750%(10)

      (CCC+, Caa2)        09/06/26          9.249          1,143,427  
  1,000       

MW Industries, Inc., LIBOR 3M + 8.000%(7),(10)

      (CCC+, Caa2)        09/28/25          10.803          985,000  
  2,475       

WireCo WorldGroup, Inc., LIBOR 1M + 9.000%(8),(10)

      (B-, Caa2)        09/30/24          11.499          2,475,000  
                        

 

 

  
                           4,603,427  
                        

 

 

  
                        
 

Media Content (0.4%)

                    
  1,000       

DLG Acquisitions Ltd., EURIBOR 6M + 7.250%(9),(10)

      (CCC+, Caa2)        06/30/22          8.250          1,153,043  
                        

 

 

  
                        
 

Medical Products (0.4%)

                    
  1,188       

ABB Concise Optical Group LLC, LIBOR 1M + 5.000%(10)

      (B-, B2)        06/15/23          7.519          1,150,728  
                        

 

 

  
                        
 

Personal & Household Products (2.6%)

                    
  1,990       

ABG Intermediate Holdings 2 LLC, LIBOR 1M + 7.750%(10)

      (CCC+, Caa1)        09/29/25          10.249          1,962,638  
  492       

Comfort Holding LLC, LIBOR 1M + 4.750%(10)

      (CCC+, Caa1)        02/05/24          7.249          465,190  
  2,450       

Comfort Holding LLC, LIBOR 1M + 10.000%(7),(10)

      (CCC-, Caa3)        02/03/25          12.499          2,315,250  
  2,000       

Serta Simmons Bedding LLC, LIBOR 1M + 8.000%(10)

      (CCC, Caa2)        11/08/24          10.514          1,439,000  
  494       

TricorBraun Holdings, Inc., LIBOR 3M + 3.750%(10)

      (B-, B2)        11/30/23          6.551          489,017  
                        

 

 

  
                           6,671,095  
                        

 

 

  
                        
 

Recreation & Travel (0.2%)

                    
  53       

Bulldog Purchaser, Inc.(8),(10),(11),(12)

      (CCC+, Caa2)        09/04/26          3.880          51,579  
  347       

Bulldog Purchaser, Inc., LIBOR 1M + 7.750%(8),(10)

      (CCC+, Caa2)        09/04/26          10.249          340,421  
                        

 

 

  
                           392,000  
                        

 

 

  
                        
 

Software - Services (2.0%)

                    
  1,309       

Almonde, Inc., LIBOR 3M + 7.250%(10)

      (CCC, Caa2)        06/13/25          10.053          1,241,293  

 

 

 

 

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          9.750        $        1,689,850  
  652       

LDiscovery LLC, LIBOR 3M + 5.875%(7),(10)

      (B-, B3)        12/09/22          8.490          579,628  
  1,750       

TigerLuxOne Sarl, LIBOR 3M + 8.250%(8),(10)

      (CCC+, Caa1)        02/16/25          11.053          1,752,187  
                        

 

 

  
                           5,262,958  
                        

 

 

  
                        
 

Specialty Retail (1.1%)

                    
  2,000       

Boing U.S. Holdco, Inc., LIBOR 3M + 7.500%(8),(10)

      (CCC+, Caa1)        10/03/25          10.089          1,960,000  
  1,000       

Sally Holdings LLC

      (BB+, Ba1)        07/05/24          4.500          948,750  
                        

 

 

  
                           2,908,750  
                        

 

 

  
                        
 

Support - Services (0.8%)

                    
  3,262       

Sprint Industrial Holdings LLC,
LIBOR 3M + 12.250%(7),(8),(10)

      (C, Caa3)        11/14/19          13.500          1,125,223  
  1,000       

USS Ultimate Holdings, Inc., LIBOR 1M + 7.750%(10)

      (CCC+, Caa2)        08/25/25          10.249          970,000  
                        

 

 

  
                           2,095,223  
                        

 

 

  
                        
 

Theaters & Entertainment (0.9%)

                    
  2,158       

Metro-Goldwyn-Mayer, Inc., LIBOR 1M + 4.500%(10)

      (B-, B2)        07/03/26          7.000          2,088,312  
  333       

NEG Holdings LLC, LIBOR 3M + 8.000%(6),(7),(8),(10)

      (B-, B3)        10/17/22          10.803          298,110  
                        

 

 

  
                           2,386,422  
                        

 

 

  
 

TOTAL BANK LOANS (Cost $68,286,706)

                       61,497,394  
                        

 

 

  
                        
 

ASSET BACKED SECURITY (0.6%)

                    
 

Collateralized Debt Obligations (0.6%)

                    
  1,500       

Symphony Credit Opportunities Fund, Ltd., 2015-2A, Rule 144A, LIBOR 3M + 3.060%(1),(10)
(Cost $1,498,175)

      (NR, Baa3)        07/15/28          5.847          1,496,293  
                        

 

 

  
                        
Number of
Shares		                                           
                        
 

COMMON STOCKS (2.5%)

                    
 

Auto Parts & Equipment (0.8%)

                    
  109,693       

UCI International, Inc.(6),(7),(8),(13)

                       2,056,744  
                        

 

 

  
                        
 

Building & Construction (0.0%)

                    
  10       

White Forest Resources, Inc.(6),(7),(8),(13)

                       37  
                        

 

 

  
                        
 

Building Materials (0.0%)

                    
  619       

Dayton Superior Corp.(6),(7),(8),(13)

                       —  
                        

 

 

  
                        
 

Chemicals (0.0%)

                    
  4,893       

Huntsman Corp.(7)

                       107,499  
                        

 

 

  
                        
 

Energy - Exploration & Production (1.5%)

                    
  777,123       

Independence Contract Drilling, Inc.(13)

                       2,019,898  
  111,570       

PES Energy, Inc.(13)

                       446,280  
  71,901       

Talos Energy, Inc.(13)

                       1,373,309  
                        

 

 

  
                           3,839,487  
                        

 

 

  
                        
 

Support - Services (0.2%)

                    
  2,100       

LTR Holdings LLC(6),(7),(8),(13)

                       531,930  
  865       

Sprint Industrial Holdings LLC, Class G(6),(7),(8),(13)

                       8  
  78       

Sprint Industrial Holdings LLC, Class H(6),(7),(8),(13)

                       1  
  192       

Sprint Industrial Holdings LLC, Class I(6),(7),(8),(13)

                       2  
                        

 

 

  
                           531,941  
                        

 

 

  
                        
 

Theaters & Entertainment (0.0%)

                    
  40       

NEG Holdings LLC, Litigation Trust
Units(6),(7),(8),(13)

                       40  
                        

 

 

  
 

TOTAL COMMON STOCKS (Cost $8,811,263)

                       6,535,748  
                        

 

 

  
                        
 

PREFERRED STOCK (0.0%)

                    
 

Building Materials (0.0%)

                    
  688       

Dayton Superior Corp.(6),(7),(8),(13) (Cost $250,835)

                       —  
                        

 

 

  
                        
 

SHORT-TERM INVESTMENT (7.5%)

                    
  19,565,655       

State Street Navigator Securities Lending Government Money Market Portfolio, 2.46%(14)
(Cost $19,565,655)

                       19,565,655  
                        

 

 

  

 

 

 

 

                                         Value    
                        

TOTAL INVESTMENTS AT VALUE (148.0%) (Cost $402,223,950)

                     $    385,196,014  
                        

LIABILITIES IN EXCESS OF OTHER ASSETS (-48.0%)

                       (124,847,133 ) 
                        

 

 

  
                        

NET ASSETS (100.0%)

                     $ 260,348,881  
                        

 

 

  

 

†

Credit ratings given by the S&P Global Ratings Division of S&P Global Inc. (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”) are unaudited.

(1) 

Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2019, these securities amounted to a value of $234,023,509 or 89.9% of net assets.

(2) 

Security or portion thereof is out on loan.

(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 January 31, 2019.

(11) 

Unfunded loan commitment.

(12) 

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 January 31, 2019.

(13) 

Non-income producing security.

(14) 

Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at January 31, 2019.

 

INVESTMENT ABBREVIATIONS

1M = 1 Month

3M = 3 Month

6M = 6 Month

EURIBOR = Euro Interbank Offered Rate
LIBOR = London Interbank Offered Rate
NR = Not Rated
Sarl - société à responsabilité limitée

 

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

     994,940     

USD

      1,170,209      10/11/19    Morgan Stanley    $ 1,170,209     $ 1,166,064     $ (4,145 ) 

GBP

     1,052,529     

USD

      1,390,288      10/11/19    Morgan Stanley      1,390,288       1,401,388       11,100  

USD

     6,153,435     

EUR

      5,185,499      10/11/19    Morgan Stanley          (6,153,435 )          (6,077,374 )      76,061  

USD

     2,951,852     

GBP

      2,197,254      10/11/19    Morgan Stanley      (2,951,852 )      (2,925,527 )      26,325  
                    

 

 

  
                    
                     $         109,341  
                    

 

 

  

Currency Abbreviations:

EUR = Euro

GBP = British Pound

USD = United States Dollar

 

 

 

SECURITY VALUATION — The Board of Trustees (the “Board”) is responsible for the Fund’s valuation process. The Board has delegated the supervision of the daily valuation process to Credit Suisse Asset Management, LLC, the Fund’s investment adviser (“Credit Suisse” or the “Adviser”) who has established a Pricing Committee which, pursuant to the policies adopted by the Board, is responsible for making fair valuation determinations and overseeing the Fund’s pricing policies. 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 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, these securities will be fair valued in good faith by the Pricing Committee, in accordance with procedures adopted 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.

Generally accepted accounting principles 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 January 31, 2019 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

    $ —      $ 294,598,837      $ 1,502,087     $ 296,100,924  

Bank Loans

      —        40,245,640        21,251,754       61,497,394  

Asset Backed Security

      —        1,496,293        —       1,496,293  

Common Stocks

      3,946,987        —        2,588,761 (1)       6,535,748 (1)  

Preferred Stock

      —        —        0 (1)       0 (1)  

Short-term Investment

      —        19,565,655        —       19,565,655  
  

 

 

     

 

 

     

 

 

    

 

 

  
   $          3,946,987      $     355,906,425      $     25,342,602 (1)     $     385,196,014 (1)  
  

 

 

     

 

 

     

 

 

    

 

 

  

Other Financial Instruments*

 

  

Forward Foreign Currency Contracts

    $ —      $ 113,486      $ —     $ 113,486  
          

Liabilities    

    Level 1      Level 2      Level 3     Total  

Other Financial Instruments*

           

Forward Foreign Currency Contracts

    $ —      $ 4,145      $ —     $ 4,145  

 

(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 January 31, 2019 for which significant unobservable inputs were used in determining fair 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, 2018

    $  1,554,070 (1)     $  15,532,190     $  3,450,657 (1)     $ 0 (1)     $  20,536,917 (1)  

Accrued discounts (premiums)

      4,107       220,577       —       —       224,684  

Purchases

      254,291       768,891       —       —       1,023,182  

Sales

      (266,817 )      (625 )      —       —       (267,442 ) 

Realized gain (loss)

      8,192       (3 )      —       —       8,189  

Change in unrealized appreciation (depreciation)

      (51,756 )      (1,956,677 )      (415,616 )      —       (2,424,049 ) 

Transfers into Level 3

      —       10,297,217       —       —       10,297,217  

Transfers out of Level 3

      —       (3,609,816 )      (446,280 )      —       (4,056,096 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Balance as of January 31, 2019

    $     1,502,087     $ 21,251,754     $  2,588,761 (1)     $            0 (1)     $  25,342,602 (1)  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation (depreciation)
from investments still held as of January 31, 2019

    $ (51,755 )    $  (1,650,551 )    $ (80,906 )    $ —     $  (1,783,212 ) 

 

(1) 

Includes zero valued securities.

Quantitative Disclosure About Significant Unobservable Inputs

 

Asset Class    

   Fair Value At
1/31/2019		     Valuation
Techniques		     Unobservable
Input		     Range
(Weighted Average
per share)		  

Corporate Bonds

   $ 3,667       Income Approach       Expected Remaining Distribution       N/A  
  $ 1,498,420       Vendor Pricing       Single Broker Quote       N/A  

Bank Loans

   $ 298,110       Market Approach       Comparable Bond Price       N/A  
  $ 20,953,644       Vendor Pricing       Single Broker Quote       $0.20 – $1.00 ($0.78)  

Common Stocks

   $ 11      

 Market Approach/

Income Approach

  

 

    
 Comparable Bond Price,
Discounted Cash Flows		  
 		     N/A  
  $ 532,006       Market Approach      
 Discount for Illiquidity and
EBITDA Multiples		  
 		     $0.00 – $253.30 ($192.13)  
  $ 2,056,744       Vendor Pricing       Single Broker Quote       N/A  

Preferred Stock

   $ 0       Market Approach       Discount For Illiquidity       N/A  

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 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 January 31, 2019, there were no transfers between Level 1 and Level 2, but there was $446,280 transferred from Level 3 to Level 1 as a result of the availability of a pricing source supported by quoted prices in active markets, $3,609,816 transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs and $10,297,217 transferred from Level 2 to Level 3 due to a lack 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:   March 28, 2019

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:   March 28, 2019

/s/Laurie Pecha

Name: Laurie Pecha

Title:   Chief Financial Officer and Treasurer

Date:   March 28, 2019