N-CSRS 1 d936352dncsrs.htm N-CSRS N-CSRS

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File No. 811-08777

 

 

CREDIT SUISSE HIGH YIELD BOND FUND

(Exact Name of Registrant as Specified in Charter)

 

 

Eleven Madison Avenue, New York, New York 10010

(Address of Principal Executive Offices) (Zip Code)

 

 

John G. Popp

Credit Suisse High Yield Bond Fund

Eleven Madison Avenue

New York, New York 10010

 

 

Registrant’s telephone number, including area code: (212) 325-2000

Date of fiscal year end: October 31

Date of reporting period: November 1, 2019 to April 30, 2020

 

 

 


Item 1. Reports to Stockholders.


Credit Suisse High Yield Bond Fund

Eleven Madison Avenue

New York, NY 10010

 

 

Trustees

Steven N. Rappaport

Chairman of the Board

Laura A. DeFelice

Jeffrey E. Garten

Mahendra R. Gupta

John G. Popp

 

 

Officers

John G. Popp

Chief Executive Officer and President

Thomas J. Flannery

Chief Investment Officer

Emidio Morizio

Chief Compliance Officer

Lou Anne McInnis

Chief Legal Officer

Omar Tariq

Chief Financial Officer and Treasurer

Karen Regan

Senior Vice President and Secretary

 

 

Investment Adviser

Credit Suisse Asset Management, LLC

Eleven Madison Avenue

New York, NY 10010

 

 

Administrator and Custodian

State Street Bank and Trust Co.

One Lincoln Street

Boston, MA 02111

 

 

Shareholder Servicing Agent

Computershare Trust Company, N.A.

P.O. Box 30170

College Station, TX 77842-3170

 

 

Legal Counsel

Willkie Farr & Gallagher LLP

787 7th Avenue

New York, NY 10019

 

 

Independent Registered Public Accounting Firm

KPMG LLP

345 Park Avenue

New York, NY 10154

 

 

 

 

Credit Suisse

High Yield Bond Fund

 

 

SEMIANNUAL REPORT

April 30, 2020

(unaudited)

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from Credit Suisse Asset Management, LLC or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future reports in paper free of charge. If you hold accounts directly with the Fund, you can call 877-870-2874 to inform Credit Suisse Asset Management, LLC that you wish to continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by Credit Suisse Asset Management, LLC, or all funds held with your financial intermediary, as applicable.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by: i) accessing the Credit Suisse Asset Management, LLC website at www.credit-suisse.com/us/funds and logging into your accounts, if you hold accounts directly with the Fund, or ii) contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.

 


Credit Suisse High Yield Bond Fund

Semiannual Investment Adviser’s Report

April 30, 2020 (unaudited)

 

 

May 19, 2020

Dear Shareholder:

We are pleased to present this Semiannual Report covering the activities of the Credit Suisse High Yield Bond Fund (the “Fund”) for the six-month period April 30, 2020.

Performance Summary

11/01/19 – 04/30/20

 

Fund & Benchmark    Performance  

Total Return (based on net asset value (“NAV”))1

     (13.81 )% 

Total Return (based on market value)1

     (23.41 )% 

ICE BofAML US High Yield Constrained Index2

     (7.69 )% 

Market Review: A negative period for the high yield asset class, and risk assets generally

Despite a strong end to 2019, the six-month period ended April 30, 2020 was a negative one for the high yield asset class. The ICE BofAML US High Yield Constrained Index (the “Index”), the Fund’s benchmark, lost 7.69%, as the spread of COVID-19 caused a global economic slowdown. Due to this, the high yield asset class significantly deteriorated in the first quarter of 2020, although it partially rebounded in April. The 10-year U.S. Treasury rate tightened by 107 basis points over the period, although this can be attributed more to a risk-off sentiment than anything else. Overall, yields widened to end the period at 8.20% (237 basis points wider than November 1, 2019), while spreads widened to +775 basis points (353 points wider than the previous period).

For the period, BB-rated bonds significantly outperformed the Index, returning -4.07%, while B-rated bonds somewhat underperformed the Index, with returns of -8.64%. CCC-rated bonds severely underperformed the Index, losing -19.25%.

From an industry perspective, telecom-wireless, managed care, and food and drug retailers were among the best performing sectors, returning 4.53%, 4.17% and 3.38%, respectively. Unsurprisingly, the worst performers were those issuers most impacted by the economic consequences of COVID-19, including department stores, oil field equipment and services, and air transportation, returning -63.45%, -46.71% and -40.70%, respectively.

Default activity, as measured by JP Morgan and including distressed exchanges, ended the period at 4.92%—up 345 basis points year-over-year. Default activity has been higher in 2020 due to weakness in energy, which has accounted for more than 20% of the defaults year-to-date. Additionally, there have been several large defaults across telecommunications and retail companies and default rates are expected to continue rising throughout 2020 as businesses face unprecedented operating conditions due to the spread of COVID-19.

Mutual fund flows were marginally positive with $0.9 billion of net inflows in the six-month period (which includes $11.7 billion of outflows in March and $15.6 billion of inflows in April as the markets rallied). Inflows have also supported new high yield bond issuance of $109.4 billion in the first four months of 2020—a 30% year-over-year increase. Net issuance, excluding refinancing activity, has increased 67% year-to-date in 2020, indicating a faster pace of growth for the asset class.

Strategic review and outlook: Moving forward cautiously

For the six-month period ended April 30, 2020, the Fund underperformed the benchmark on both a market price and NAV basis. Negative security selection in the B3-rated position accounted for much of the performance

 

1


Credit Suisse High Yield Bond Fund

Semiannual Investment Adviser’s Report (continued)

April 30, 2020 (unaudited)

 

 

lag, while positive positions in Caa2 offset negative positions in Ba3. From a sector perspective, negative security selection and an overweight to leisure detracted from relative performance.

We continue to monitor fundamental credit trends including the possibility of defaults. The general consensus among street strategists is for higher default rates throughout 2020, with a focus on the energy sector. High yield issuers—especially those directly affected by the pandemic and ensuing shutdowns—have experienced a series of downgrades with rating agencies in the current environment. And while these downgrades are generally negative for the high yield market, most institutional buyers tend to have flexibility within their mandates.

 

LOGO    LOGO

Thomas J. Flannery

Chief Investment Officer*

  

John G. Popp

Chief Executive Officer and President**

High yield bonds are lower-quality bonds that are also known as “junk bonds.” Such bonds entail greater risks than those found in higher-rated securities.

The Fund is non-diversified, which means it may invest a greater proportion of its assets in securities of a smaller number of issuers than a diversified fund and may therefore be subject to greater volatility.

In addition to historical information, this report contains forward-looking statements, which may concern, among other things, domestic and foreign markets, industry and economic trends and developments and government regulation, and their potential impact on the Fund’s investments. These statements are subject to risks and uncertainties and actual trends, developments and regulations in the future, and their impact on the Fund, could be materially different from those projected, anticipated or implied. The Fund has no obligation to update or revise forward-looking statements.

The views of the Fund’s management are as of the date of this letter and the Fund holdings described in this document are as of April 30, 2020; these views and Fund holdings may have changed subsequent to these dates. Nothing in this document is a recommendation to purchase or sell securities.

 

1 

Assuming reinvestment of dividends of $0.102 per share.

2

The ICE BofAML US High Yield Constrained Index (the “Index”) is an unmanaged index that tracks the performance of below investment-grade U.S. dollar-denominated corporate bonds issued in the U.S. domestic market, where each issuer’s allocation is limited to 2% of the Index. The Index does not have transaction costs and investors cannot invest directly in the Index.

*

Thomas J. Flannery, Managing Director, is the Head of the Credit Suisse U.S. High Yield Management Team. Mr. Flannery joined Credit Suisse Asset Management, LLC (“Credit Suisse”) in June 2010. He is a portfolio manager for the Credit Investments Group (“CIG”) with responsibility for trading, directing investment decisions, originating and analyzing investment opportunities. Mr. Flannery is also a member of the CIG Credit Committee and is currently a high yield bond portfolio manager and trader for CIG. Mr. Flannery joined Credit Suisse AG in 2000 from First Dominion Capital, LLC where he was an Associate. Mr. Flannery holds a B.S. in Finance from Georgetown University.

**

John G. Popp is a Managing Director of Credit Suisse and Group Head and Chief Investment Officer of CIG, with primary responsibility for making investment decisions and monitoring processes for CIG’s global investment strategies. Mr. Popp also serves as Trustee, Chief Executive Officer and President of the Credit Suisse Funds, as well as serving as Director, Chief Executive Officer and President for the Credit Suisse Asset Management Income Fund, Inc. and Trustee, Chief Executive Officer and President of the Credit Suisse High Yield Bond Fund. Mr. Popp has been associated with Credit Suisse since 1997.

 

2


Credit Suisse High Yield Bond Fund

Semiannual Investment Adviser’s Report (continued)

April 30, 2020 (unaudited)

 

 

Credit Quality Breakdown*

(% of Total Investments as of April 30, 2020)

 

S&P Ratings**

 

BBB

     1.0

BB

     23.5  

B

     40.5  

CCC

     29.2  

CC

     1.3  

C

     0.6  

D

     0.0 1 

NR

     2.9  
  

 

 

 

Subtotal

     99.0  

Equity and Other

     1.0  
  

 

 

 

Total

     100.0
  

 

 

 

 

*

Expressed as a percentage of total investments (excluding securities lending collateral, if applicable) and may vary over time.

**

Credit Quality is based on ratings provided by the S&P Global Ratings Division of S&P Global Inc. (“S&P”). S&P is a main provider of ratings for credit assets classes and is widely used amongst industry participants. The NR category consists of securities that have not been rated by S&P.

1 

This amount represents less than 0.1%.

Average Annual Returns

April 30, 2020 (unaudited)

 

 

       1 Year        3 Years        5 Years        10 Years  

Net Asset Value (NAV)

       (12.29)%          (0.30)%          3.54%          7.03%  

Market Value

       (20.53)%          (4.05)%          1.89%          5.45%  

Credit Suisse may waive fees and/or reimburse expenses, without which performance would be lower. Waivers and/or reimbursements are subject to change and may be discontinued at any time. Returns represent past performance. Total investment return at net asset value is based on the change in the net asset value of Fund shares and assumes reinvestment of dividends and distributions, if any, at actual prices pursuant to the Fund’s dividend reinvestment program. Total investment return at market value is based on the change in the market price at which the Fund’s shares traded on the stock exchange during the period and assumes reinvestment of dividends and distributions, if any, at actual prices pursuant to the Fund’s dividend reinvestment program. Because the Fund’s shares trade in the stock market based on investor demand, the Fund may trade at a price higher or lower than its NAV. Therefore, returns are calculated based on NAV and share price. Past performance is no guarantee of future results. The current performance of the Fund may be lower or higher than the figures shown. The Fund’s yield, return, NAV and market price will fluctuate. Performance information current to the most recent month end is available by calling 1-800-293-1232.

The annualized gross and net expense ratios are 2.37% and 2.20%, respectively.

 

3


Credit Suisse High Yield Bond Fund

Schedule of Investments

April 30, 2020 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (103.4%)

           
 

Aerospace & Defense (1.9%)

           
$ 600    

Howmet Aerospace, Inc., Global Senior Unsecured Notes
(Callable 04/01/25 @ 100.00)

   (BBB-, Ba3)      05/01/25        6.875      $ 612,490  
  460    

Spirit AeroSystems, Inc., Rule 144A, Secured Notes
(Callable 04/15/22 @ 103.75)(1)

   (BB-, Ba2)      04/15/25        7.500        455,400  
  1,250    

TransDigm, Inc., Global Company Guaranteed Notes (Callable 03/15/22 @ 103.75)

   (B-, B3)      03/15/27        7.500        1,143,687  
  1,940    

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

   (B+, Ba3)      03/15/26        6.250        1,907,893  
             

 

 

 
                4,119,470  
             

 

 

 
 

Air Transportation (0.5%)

           
  1,000    

Delta Air Lines, Inc., Rule 144A, Senior Secured Notes(1)

   (BBB-, Baa2)      05/01/25        7.000        1,027,425  
             

 

 

 
 

Auto Parts & Equipment (2.7%)

           
  300    

Adient U.S. LLC, Rule 144A, Senior Secured Notes (Callable 04/15/22 @ 104.50)(1)

   (B+, Ba3)      04/15/25        9.000        314,250  
  2,450    

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

   (CCC, Caa1)      11/15/26        5.625        1,610,067  
  1,000    

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

   (BB-, B3)      10/01/25        5.000        941,250  
  3,430    

Panther Finance Co., Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/15/22 @ 104.25)(1)

   (CCC+, B3)      05/15/27        8.500        2,922,874  
             

 

 

 
                5,788,441  
             

 

 

 
 

Building & Construction (2.6%)

           
  600    

Adams Homes, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/15/22 @ 103.75)(1)

   (B+, B3)      02/15/25        7.500        549,750  
  1,591    

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

   (BB, Ba3)      05/01/26        5.625        1,570,476  
  1,665    

Williams Scotsman International, Inc., Rule 144A, Senior Secured Notes
(Callable 05/29/20 @ 103.94)(1)

   (B, B3)      12/15/22        7.875        1,699,632  
  1,753    

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

   (B, B3)      08/15/23        6.875        1,761,414  
             

 

 

 
                5,581,272  
             

 

 

 
 

Building Materials (7.1%)

           
  2,225    

BMC East LLC, Rule 144A, Senior Secured Notes (Callable 05/14/20 @ 104.13)(1)

   (BB, B1)      10/01/24        5.500        2,129,992  
  675    

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

   (B-, Caa2)      08/15/25        6.125        652,219  
  1,570    

Installed Building Products, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/01/23 @ 102.88)(1)

   (B+, B3)      02/01/28        5.750        1,518,347  
  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        1,880,562  
  2,500    

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

   (BB-, B2)      12/15/27        4.875        2,224,000  
  4,900    

Omnimax International, Inc., Rule 144A, Senior Secured Notes
(Callable 05/14/20 @ 100.00)(1)

   (CCC-, Caa1)      08/15/20        12.000        3,661,280  
  3,540    

PriSo Acquisition Corp., Rule 144A, Senior Unsecured Notes
(Callable 05/29/20 @ 100.00)(1)

   (CCC+, Caa2)      05/15/23        9.000        2,771,077  

 

See Accompanying Notes to Financial Statements.

 

4


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2020 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Building Materials

           
$ 595    

Summit Materials Finance Corp., Global Company Guaranteed Notes
(Callable 05/14/20 @ 101.53)

   (BB, B3)      07/15/23        6.125      $ 597,439  
             

 

 

 
     15,434,916  
             

 

 

 
 

Cable & Satellite TV (5.7%)

           
  1,315    

CSC Holdings LLC, Global Senior Unsecured Notes

   (B, B3)      06/01/24        5.250        1,374,306  
  750    

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

   (BB, Ba3)      02/01/28        5.375        774,975  
  525    

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

   (BB, Ba3)      04/15/27        5.500        548,277  
  450    

CSC Holdings LLC, Rule 144A, Company Guaranteed Notes
(Callable 05/11/20 @ 102.69)(1)

   (BB, Ba3)      07/15/23        5.375        457,403  
  800    

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

   (BB, Ba3)      10/15/25        6.625        841,680  
  840    

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

   (B, B3)      10/15/25        10.875        911,946  
  1,555    

Midcontinent Finance Corp., Rule 144A, Company Guaranteed Notes
(Callable 08/15/22 @ 102.69)(1)

   (B, B3)      08/15/27        5.375        1,582,834  
  1,600    

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

   (BB-, Ba3)      03/01/28        5.500        1,656,000  
  1,000    

Virgin Media Secured Finance PLC, Rule 144A, Senior Secured Notes
(Callable 04/15/22 @ 102.50)(1),(2)

   (BB-, Ba3)      04/15/27        5.000        1,269,234  
  2,922    

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

   (B+, B1)      01/15/27        5.500        2,985,846  
             

 

 

 
     12,402,501  
             

 

 

 
 

Chemicals (5.7%)

           
  2,100    

Alpha U.S. Bidco, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/29/20 @ 103.13)(1)

   (CCC, Caa2)      02/01/25        6.250        2,005,080  
  2,000    

Atotech Alpha 2 B.V., 8.75% Cash, 9.50% PIK, Rule 144A, Senior Unsecured Notes (Callable 05/29/20 @ 102.00)(1),(3)

   (CCC, Caa2)      06/01/23        8.750        1,894,600  
  2,200    

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

   (NR, Ba3)      02/01/26        4.500        1,962,620  
  1,000    

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

   (BB-, B1)      04/30/26        5.750        947,100  
  300    

Polyone Corp., Rule 144A, Senior Unsecured Notes (Callable 05/15/2024 @ 100.00)(1)

   (BB-, Ba3)      05/15/25        5.750        304,500  
  272    

Reichhold Industries, Inc., Rule 144A, Senior Secured Notes(1),(4),(5),(6),(7)

   (NR, NR)      05/01/18        9.000        3,667  
  950    

Starfruit U.S. Holdco LLC, Rule 144A, Senior Unsecured Notes
(Callable 10/01/21 @ 104.00)(1),(8)

   (B-, Caa1)      10/01/26        8.000        894,425  
  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        1,256,857  
  1,250    

Tronox, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/15/21 @ 103.25)(1),(8)

   (B, B3)      04/15/26        6.500        1,139,125  
  2,625    

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

   (B-, B3)      07/15/25        5.750        1,827,656  
             

 

 

 
     12,235,630  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

5


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2020 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Consumer/Commercial/Lease Financing (1.1%)

           
$ 2,600    

Cargo Aircraft Management, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/01/23 @ 102.38)(1)

   (B+, Ba3)      02/01/28        4.750      $ 2,444,000  
             

 

 

 
 

Diversified Capital Goods (1.8%)

           
  2,050    

Anixter, Inc., Global Company Guaranteed Notes

   (BB, Ba3)      03/01/23        5.500        2,085,465  
  250    

Anixter, Inc., Global Company Guaranteed Notes (Callable 09/01/25 @ 100.00)

   (BB, Ba3)      12/01/25        6.000        254,325  
  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        1,513,950  
             

 

 

 
     3,853,740  
             

 

 

 
 

Electronics (2.1%)

           
  2,625    

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

   (BB, Ba2)      02/10/26        4.625        2,643,638  
  1,800    

Sensata Technologies B.V., Rule 144A, Company Guaranteed Notes(1)

   (BB+, Ba3)      10/01/25        5.000        1,799,640  
             

 

 

 
                4,443,278  
             

 

 

 
 

Energy - Exploration & Production (1.4%)

           
  1,200    

Laredo Petroleum, Inc., Company Guaranteed Notes (Callable 01/15/23 @ 107.59)

   (B-, B3)      01/15/28        10.125        496,356  
  2,718    

Talos Production Finance, Inc., Global Secured Notes (Callable 05/29/20 @ 102.75)

   (NR, NR)      04/03/22        11.000        1,622,636  
  2,500    

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

   (B, Caa3)      11/01/23        9.750        840,625  
             

 

 

 
                2,959,617  
             

 

 

 
 

Environmental (0.3%)

           
  625    

GFL Environmental, Inc., Rule 144A, Senior Secured Notes
(Callable 12/15/22 @ 102.56)(1)

   (BB-, Ba3)      12/15/26        5.125        653,906  
             

 

 

 
 

Forestry & Paper (0.3%)

           
  800    

Norbord, Inc., Rule 144A, Senior Secured Notes (Callable 07/15/22 @ 102.88)(1)

   (BB+, Ba1)      07/15/27        5.750        733,680  
             

 

 

 
 

Gaming (4.1%)

           
  825    

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

   (B+, Caa1)      08/15/26        6.000        752,483  
  2,500    

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

   (B+, B1)      01/15/28        4.750        2,339,125  
  3,405    

Gateway Casinos & Entertainment Ltd., Rule 144A, Secured Notes
(Callable 05/29/20 @ 104.13)(1)

   (CCC-, Caa3)      03/01/24        8.250        2,885,056  
  2,200    

Jacobs Entertainment, Inc., Rule 144A, Secured Notes (Callable 05/29/20 @ 105.91)(1)

   (B-, B3)      02/01/24        7.875        1,682,560  
  1,250    

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

   (BB-, B1)      02/01/27        5.750        1,269,562  
             

 

 

 
                8,928,786  
             

 

 

 
 

Gas Distribution (1.5%)

           
  1,125    

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

   (B+, B1)      05/15/26        6.250        947,363  
  2,750    

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 05/29/20 @ 102.81)

   (B+, B1)      06/15/24        5.625        2,343,825  
             

 

 

 
                3,291,188  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

6


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2020 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Health Facilities (1.1%)

           
$ 1,250    

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

   (BB-, Ba2)      09/01/28        5.625      $ 1,390,850  
  253    

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

   (BBB-, Ba1)      08/15/26        5.125        245,650  
  775    

Surgery Center Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/15/22 @ 105.00)(1)

   (CCC, Caa2)      04/15/27        10.000        722,378  
             

 

 

 
                2,358,878  
             

 

 

 
 

Health Services (1.9%)

           
  1,400    

AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/11/20 @ 103.84)(1)

   (BB-, Ba3)      10/01/24        5.125        1,397,200  
  2,750    

Radiology Partners, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/01/23 @ 104.63)(1)

   (CCC, Caa3)      02/01/28        9.250        2,636,563  
             

 

 

 
                4,033,763  
             

 

 

 
 

Insurance Brokerage (4.4%)

           
  1,000    

Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 08/01/22 @ 107.59)(1)

   (CCC+, Caa2)      08/01/26        10.125        1,000,950  
  3,530    

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

   (CCC+, Caa2)      11/15/25        7.000        3,146,113  
  1,200    

GTCR AP Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 05/15/22 @ 104.00)(1)

   (CCC+, Caa2)      05/15/27        8.000        1,130,520  
  3,910    

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

   (CCC+, Caa2)      07/15/25        6.875        3,758,487  
  450    

NFP Corp., Rule 144A, Senior Unsecured Notes (Callable 07/15/20 @ 104.00)(1)

   (CCC+, Caa2)      07/15/25        8.000        421,875  
             

 

 

 
                9,457,945  
             

 

 

 
 

Investments & Misc. Financial Services (2.3%)

           
  1,190    

AG Issuer LLC, Rule 144A, Senior Secured Notes (Callable 03/01/23 @ 103.13)(1)

   (B-, B2)      03/01/28        6.250        1,058,410  
  3,700    

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

   (B, B2)      05/01/26        8.000        3,892,770  
             

 

 

 
                4,951,180  
             

 

 

 
 

Machinery (1.4%)

           
  150    

Granite U.S. Holdings Corp., Rule 144A, Company Guaranteed Notes
(Callable 10/01/22 @ 105.50)(1)

   (CCC, Caa1)      10/01/27        11.000        128,565  
  690    

Harsco Corp., Rule 144A, Company Guaranteed Notes (Callable 07/31/22 @ 102.88)(1)

   (B+, Ba2)      07/31/27        5.750        654,810  
  2,300    

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

   (BB-, B1)      12/15/25        4.875        2,256,875  
             

 

 

 
                3,040,250  
             

 

 

 
 

Media - Diversified (0.3%)

           
  750    

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

   (B-, B3)      08/15/26        5.750        387,825  
  375    

National CineMedia LLC, Rule 144A, Senior Secured Notes
(Callable 04/15/23 @ 102.94)(1)

   (B+, Ba3)      04/15/28        5.875        268,913  
             

 

 

 
                656,738  
             

 

 

 
 

Media Content (2.0%)

           
  1,507    

Diamond Sports Finance Co., Rule 144A, Company Guaranteed Notes
(Callable 08/15/22 @ 103.31)(1)

   (B, B2)      08/15/27        6.625        832,090  

 

See Accompanying Notes to Financial Statements.

 

7


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2020 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Media Content

           
$ 925    

Diamond Sports Finance Co., Rule 144A, Senior Secured Notes
(Callable 08/15/22 @ 102.69)(1)

   (BB, Ba2)      08/15/26        5.375      $ 707,347  
  750    

Netflix, Inc., Global Senior Unsecured Notes

   (BB-, Ba3)      02/15/25        5.875        831,030  
  800    

Netflix, Inc., Global Senior Unsecured Notes

   (BB-, Ba3)      11/15/28        5.875        908,400  
  898    

Sirius XM Radio, Inc., Rule 144A, Company Guaranteed Notes
(Callable 07/01/24 @ 102.75)(1)

   (BB, Ba3)      07/01/29        5.500        951,521  
             

 

 

 
                4,230,388  
             

 

 

 
 

Metals & Mining - Excluding Steel (3.3%)

           
  2,200    

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

   (B+, Ba3)      01/15/24        4.875        1,897,940  
  2,150    

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

   (CCC+, NR)      03/01/26        6.875        1,895,548  
  900    

Kaiser Aluminum Corp., Rule 144A, Company Guaranteed Notes
(Callable 03/01/23 @ 102.31)(1)

   (BB+, B1)      03/01/28        4.625        842,085  
  500    

Novelis Corp., Rule 144A, Company Guaranteed Notes (Callable 01/30/25 @ 102.38)(1)

   (B+, B2)      01/30/30        4.750        441,400  
  3,925    

Taseko Mines Ltd., Rule 144A, Senior Secured Notes
(Callable 05/29/20 @ 104.38)(1),(7)

   (CCC+, Caa1)      06/15/22        8.750        2,068,671  
             

 

 

 
                7,145,644  
             

 

 

 
 

Oil Field Equipment & Services (1.0%)

           
  1,292    

Pioneer Energy Services Corp.(5),(6)

   (NR, NR)      08/28/25        5.000        927,914  
  2,580    

Pioneer Energy Services Corp., Global Company Guaranteed Notes
(Callable 05/29/20 @ 100.00)(4)

   (D, NR)      03/15/22        6.125        35,475  
  3,750    

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

   (CCC+, Caa1)      02/15/25        8.250        1,181,250  
             

 

 

 
                2,144,639  
             

 

 

 
 

Packaging (3.7%)

           
  1,000    

Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/11/20 @ 104.50)(1)

   (B, Caa1)      02/15/25        6.000        1,007,120  
  650    

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

   (BB-, Ba3)      02/01/26        4.750        672,490  
  2,500    

Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes
(Callable 05/29/20 @ 103.44)(1)

   (CCC+, Caa2)      01/15/25        6.875        2,436,750  
  3,400    

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

   (BB-, Ba3)      10/15/25        4.875        3,343,730  
  500    

Trivium Packaging Finance B.V., Rule 144A, Senior Secured Notes
(Callable 08/15/22 @ 102.75)(1)

   (B+, B2)      08/15/26        5.500        514,850  
             

 

 

 
                7,974,940  
             

 

 

 
 

Personal & Household Products (1.1%)

           
  2,000    

High Ridge Brands Co., Rule 144A, Company Guaranteed Notes
(Callable 05/29/20 @ 104.44)(1),(4)

   (NR, NR)      03/15/25        8.875        30,000  
  1,822    

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

   (B+, B1)      12/31/25        6.750        1,858,804  
  550    

Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/29/20 @ 103.19)(1)

   (B+, B3)      03/01/24        6.375        567,985  
             

 

 

 
                2,456,789  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

8


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2020 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Pharmaceuticals (4.8%)

           
$ 325    

Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes
(Callable 01/30/25 @ 102.63)(1)

   (B, B3)      01/30/30        5.250      $ 323,378  
  169    

Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/29/20 @ 100.00)(1)

   (B, B3)      05/15/23        5.875        167,994  
  1,600    

Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/30/24 @ 103.63)(1)

   (B, B3)      05/30/29        7.250        1,714,848  
  2,850    

Bausch Health Cos., Inc., Rule 144A, Senior Secured Notes
(Callable 05/29/20 @ 103.50)(1)

   (BB, Ba2)      03/15/24        7.000        2,945,617  
  410    

Endo Finance LLC, Rule 144A, Company Guaranteed Notes
(Callable 06/01/20 @ 103.00)(1)

   (CCC+, Caa2)      07/15/23        6.000        309,899  
  300    

Endo Finance LLC, Rule 144A, Company Guaranteed Notes
(Callable 06/01/20 @ 103.00)(1)

   (CCC+, Caa2)      02/01/25        6.000        216,600  
  1,350    

Endo Finance LLC, Rule 144A, Senior Secured Notes (Callable 06/01/20 @ 102.94)(1)

   (B+, B1)      10/15/24        5.875        1,309,500  
  1,250    

Horizon Therapeutics U.S.A., Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/01/22 @ 104.13)(1)

   (BB-, B1)      08/01/27        5.500        1,305,813  
  2,619    

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

   (B-, B3)      12/15/24        4.375        2,140,509  
             

 

 

 
                10,434,158  
             

 

 

 
 

Real Estate Development & Management (0.5%)

           
  1,100    

Newmark Group, Inc., Global Senior Unsecured Notes (Callable 10/15/23 @ 100.00)

   (BB+, NR)      11/15/23        6.125        1,015,657  
             

 

 

 
 

Real Estate Investment Trusts (2.9%)

           
  3,000    

ESH Hospitality, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/29/20 @ 102.63)(1)

   (BB-, Ba3)      05/01/25        5.250        2,835,600  
  1,500    

iStar, Inc., Senior Unsecured Notes (Callable 05/29/20 @ 102.63)

   (BB, Ba3)      09/15/22        5.250        1,368,075  
  970    

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

   (B+, Ba3)      12/15/21        5.000        912,431  
  1,125    

Starwood Property Trust, Inc., Global Senior Unsecured Notes
(Callable 11/01/20 @ 100.00)

   (B+, Ba3)      02/01/21        3.625        1,065,656  
             

 

 

 
                6,181,762  
             

 

 

 
 

Recreation & Travel (6.2%)

           
  1,950    

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

   (B, B1)      05/01/25        7.250        1,964,235  
  2,000    

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

   (B-, B3)      04/15/27        5.375        1,791,600  
  1,575    

Cedar Fair LP, Rule 144A, Company Guaranteed Notes (Callable 07/15/24 @ 102.63)(1)

   (B-, B3)      07/15/29        5.250        1,361,824  
  1,300    

Merlin Entertainments Ltd., Rule 144A, Company Guaranteed Notes
(Callable 03/17/26 @ 100.00)(1)

   (B, B1)      06/15/26        5.750        1,237,730  
  1,000    

Motion Bondco DAC, Rule 144A, Company Guaranteed Notes
(Callable 11/15/22 @ 103.31)(1)

   (CCC+, Caa1)      11/15/27        6.625        805,000  
  600    

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 04/15/22 @ 102.75)(1),(8)

   (B-, B3)      04/15/27        5.500        522,210  
  2,150    

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 05/29/20 @ 103.66)(1)

   (B-, B3)      07/31/24        4.875        1,903,610  
  400    

Six Flags Theme Parks, Inc., Rule 144A, Senior Secured Notes
(Callable 07/01/22 @ 103.50)(1)

   (BB-, Ba2)      07/01/25        7.000        415,920  

 

See Accompanying Notes to Financial Statements.

 

9


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2020 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Recreation & Travel

           
$ 2,835    

Speedway Funding II, Inc., Rule 144A, Senior Unsecured Notes
(Callable 11/01/22 @ 102.44)(1)

   (BB+, B1)      11/01/27        4.875      $ 2,370,768  
  920    

Vail Resorts, Inc., 144A, Company Guaranteed Notes (Callable 05/15/2024 @ 100)(1)

   (BB, B2)      05/15/25        6.250        953,350  
             

 

 

 
                13,326,247  
             

 

 

 
 

Restaurants (2.5%)

           
  180    

Golden Nugget, Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/01/20 @ 104.38)(1)

   (CCC, Caa3)      10/01/25        8.750        103,725  
  3,250    

Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes
(Callable 05/29/20 @ 103.38)(1)

   (CCC, Caa2)      10/15/24        6.750        2,555,312  
  2,750    

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

   (B+, B2)      10/15/25        5.000        2,778,050  
             

 

 

 
                5,437,087  
             

 

 

 
 

Software - Services (6.5%)

           
  890    

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

   (BB+, Ba1)      06/01/27        4.875        892,937  
  1,529    

Epicor Software Corp., Rule 144A, Secured Notes
(Callable 05/29/20 @ 100.00), LIBOR 3M + 7.250%(1),(10)

   (CCC, Caa2)      06/30/23        8.700        1,529,042  
  1,593    

GD Finance Co., Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/01/22 @ 102.63)(1)

   (BB-, B1)      12/01/27        5.250        1,644,215  
  1,800    

Infor U.S., Inc., Company Guaranteed Notes (Callable 05/26/20 @ 100.00)(9)

   (CCC+, Caa1)      05/15/22        5.750        1,968,957  
  1,700    

Presidio Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/01/23 @ 104.13)(1)

   (CCC+, Caa1)      02/01/28        8.250        1,688,185  
  235    

Presidio Holdings, Inc., Rule 144A, Senior Secured Notes
(Callable 02/01/23 @ 102.44)(1)

   (B, B1)      02/01/27        4.875        232,580  
  3,975    

Solera Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 05/29/20 @ 105.25)(1)

   (CCC+, Caa1)      03/01/24        10.500        3,975,795  
  1,500    

SS&C Technologies, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/30/22 @ 104.13)(1)

   (B+, B2)      09/30/27        5.500        1,544,550  
  550    

WEX, Inc., Rule 144A, Senior Secured Notes (Callable 05/29/20 @ 100.79)(1)

   (BB-, Ba2)      02/01/23        4.750        534,765  
             

 

 

 
                14,011,026  
             

 

 

 
 

Specialty Retail (2.4%)

           
  733    

Asbury Automotive Group, Inc. Rule 144A, Company Guaranteed Notes
(Callable 03/01/25 @ 102.38)(1)

   (BB, B1)      03/01/30        4.750        618,725  
  61    

Asbury Automotive Group, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/01/23 @ 102.25)(1)

   (BB, B1)      03/01/28        4.500        51,603  
  1,425    

eG Global Finance PLC, Rule 144A, Senior Secured Notes
(Callable 10/30/21 @ 104.25)(1)

   (B, B2)      10/30/25        8.500        1,396,785  
  1,403    

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

   (BB, Ba2)      08/01/25        5.250        1,367,645  
  2,500    

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

   (NR, Caa2)      05/01/25        7.500        1,400,000  
  300    

Sally Capital, Inc., Rule 144A, Secured Notes (Callable 04/30/22 @ 104.38)(1)

   (BB-, Ba2)      04/30/25        8.750        305,625  
             

 

 

 
                5,140,383  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

10


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2020 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Steel Producers/Products (0.6%)

           
$ 725    

Allegheny Technologies, Inc., Global Senior Unsecured Notes
(Callable 12/01/22 @ 102.94)(8)

   (B, B2)      12/01/27        5.875      $ 603,563  
  800    

Zekelman Industries, Inc., Rule 144A, Senior Secured Notes
(Callable 05/29/20 @ 104.94)(1)

   (B+, B2)      06/15/23        9.875        805,000  
             

 

 

 
                1,408,563  
             

 

 

 
 

Support - Services (5.1%)

           
  50    

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

   (BB, Ba1)      10/15/27        4.750        42,315  
  1,190    

Gartner, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/11/20 @ 103.84)(1)

   (BB-, B1)      04/01/25        5.125        1,233,376  
  2,465    

Gems Education Delaware LLC, Rule 144A, Senior Secured Notes
(Callable 07/31/22 @ 103.56)(1)

   (B, B2)      07/31/26        7.125        2,366,400  
  300    

Granite Merger Sub 2, Inc., Rule 144A, Company Guaranteed Notes
(Callable 07/15/22 @ 108.25)(1)

   (CCC+, Caa1)      07/15/27        11.000        293,130  
  1,950    

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

   (B-, Caa1)      06/01/25        5.125        1,670,955  
  925    

Korn Ferry, Rule 144A, Company Guaranteed Notes (Callable 12/15/22 @ 102.31)(1)

   (BB, Ba3)      12/15/27        4.625        873,663  
  300    

Sabre Global, Inc., Rule 144A, Senior Secured Notes (Callable 03/16/25 @ 100.00)(1)

   (B+, Ba3)      04/15/25        9.250        317,880  
  2,730    

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

   (CCC+, Caa1)      06/01/25        6.750        2,665,162  
  445    

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

   (BB-, Ba3)      01/15/28        4.875        448,048  
  2,864    

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

   (CCC+, NR)      05/01/25        7.875        1,177,820  
             

 

 

 
                11,088,749  
             

 

 

 
 

Tech Hardware & Equipment (1.9%)

           
  1,750    

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

   (B-, B3)      03/15/27        5.000        1,511,650  
  1,950    

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

   (B-, B3)      06/15/25        6.000        1,747,493  
  675    

CommScope, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/01/22 @ 104.13)(1)

   (B-, B3)      03/01/27        8.250        650,126  
  250    

CommScope, Inc., Rule 144A, Senior Secured Notes (Callable 03/01/22 @ 103.00)(1)

   (B+, Ba3)      03/01/26        6.000        251,800  
             

 

 

 
                4,161,069  
             

 

 

 
 

Telecom - Wireline Integrated & Services (4.8%)

           
  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        2,408,445  
  650    

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

   (B, B2)      05/01/26        7.375        682,272  
  420    

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

   (BBB-, Ba1)      05/15/27        5.375        450,597  
  135    

GCI LLC, Rule 144A, Senior Unsecured Notes (Callable 06/15/21 @ 103.31)(1)

   (B, B3)      06/15/24        6.625        140,711  
  4,000    

GTT Communications, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/29/20 @ 105.91)(1)

   (CCC-, Caa1)      12/31/24        7.875        2,415,000  
  2,000    

LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes
(Callable 10/15/22 @ 103.38)(1)

   (B+, B1)      10/15/27        6.750        2,088,500  
  1,676    

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

   (BB, B1)      11/15/25        4.750        1,698,710  
  600    

Zayo Group Holdings, Inc., Rule 144A, Senior Unsecured Notes
(Callable 03/01/23 @ 103.06)(1)

   (CCC+, Caa1)      03/01/28        6.125        568,332  
             

 

 

 
                10,452,567  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

11


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2020 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Theaters & Entertainment (3.1%)

           
$ 2,995    

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

   (C, Caa2)      05/15/27        6.125      $ 726,287  
  1,490    

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

   (C, Caa2)      11/15/26        5.875        342,700  
  1,000    

Cinemark U.S.A., Inc., Global Company Guaranteed Notes
(Callable 05/29/20 @ 101.63)

   (BB-, B3)      06/01/23        4.875        846,250  
  1,265    

Cinemark U.S.A., Inc., Rule 144A, Senior Secured Notes
(Callable 05/01/22 @ 104.38)(1)

   (BB+, Ba2)      05/01/25        8.750        1,290,300  
  200    

Expedia Group, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/01/25 @ 100.00)(1)

   (BBB-, Baa3)      05/01/25        6.250        204,375  
  550    

Expedia Group, Inc., Rule 144A, Senior Unsecured Notes
(Callable 05/01/22 @ 103.50)(1)

   (BBB-, Baa3)      05/01/25        7.000        561,041  
  400    

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

   (B+, B1)      03/15/26        5.625        354,840  
  2,200    

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/04/20 @ 103.66)(1)

   (B+, B1)      11/01/24        4.875        1,964,875  
  500    

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/15/22 @ 103.56)(1)

   (B+, B1)      10/15/27        4.750        424,825  
             

 

 

 
                6,715,493  
             

 

 

 
 

Transport Infrastructure/Services (0.8%)

           
  3,150    

Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes
(Callable 06/01/20 @ 100.00)(1)

   (B-, Caa2)      08/15/22        11.250        1,707,458  
             

 

 

 
 

TOTAL CORPORATE BONDS (Cost $257,195,730)

       223,429,223  
             

 

 

 
 

BANK LOANS (34.0%)

 
 

Advertising (0.2%)

 
  597    

Southern Graphics, Inc., LIBOR 3M + 3.250%(10)

   (CCC+, B3)      12/31/22        4.700        323,636  
  850    

Southern Graphics, Inc., LIBOR 3M + 7.500%(7),(10)

   (CCC-, Caa3)      12/31/23        8.950        77,915  
             

 

 

 
                401,551  
             

 

 

 
 

Aerospace & Defense (0.7%)

 
  1,897    

Sequa Mezzanine Holdings LLC, LIBOR 3M + 5.000%(10)

   (CCC+, Caa2)      11/28/21        6.742        1,594,032  
             

 

 

 
 

Auto Parts & Equipment (0.7%)

 
  968    

Dayco Products LLC, LIBOR 3M + 4.250%(6),(10)

   (CCC+, Caa2)      05/19/23        5.863        726,278  
  1,759    

Jason, Inc., LIBOR 2M + 4.500%(7),(10)

   (CC, Caa3)      06/30/21        5.500        870,891  
             

 

 

 
                1,597,169  
             

 

 

 
 

Beverages (0.6%)

 
  2,000    

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

   (CC, Caa2)      01/02/22        8.500        1,250,000  
             

 

 

 
 

Building & Construction (0.7%)

 
  505    

ACProducts, Inc., LIBOR 3M + 6.500%(10)

   (B, B2)      08/18/25        8.192        454,592  
  1,095    

TRC Companies, Inc., LIBOR 3M + 5.000%(6),(7),(10)

   (B, B2)      06/21/24        6.450        996,116  
             

 

 

 
                1,450,708  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

12


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2020 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

BANK LOANS (continued)

           
 

Building Materials (1.7%)

 
$ 2,000    

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

   (CCC, Ca)      04/27/26        9.154      $ 1,420,000  
  2,468    

LBM Borrower LLC, LIBOR 3M + 3.750%(10)

   (B+, B2)      08/20/22        4.822        2,280,065  
             

 

 

 
                3,700,065  
             

 

 

 
 

Chemicals (4.7%)

 
  2,239    

Ascend Performance Materials Operations LLC, LIBOR 3M + 5.250%(6),(10)

   (BB-, B1)      08/27/26        6.700        2,059,650  
  375    

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

   (CCC, Caa2)      11/18/24        9.000        291,563  
  2,484    

PMHC II, Inc., LIBOR 12M + 3.500%(10)

   (CCC+, Caa1)      03/31/25        4.500        2,027,715  
  2,469    

Polar U.S. Borrower LLC, LIBOR 1M + 4.750%(10)

   (B, B2)      10/15/25        5.725        2,153,984  
  1,767    

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

   (CCC, Caa1)      05/22/21        5.311        489,533  
  2,000    

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

   (CCC, Caa2)      10/27/25        9.863        1,360,000  
  2,456    

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

   (CCC+, Caa1)      08/12/24        5.072        1,858,063  
             

 

 

 
                10,240,508  
             

 

 

 
 

Diversified Capital Goods (0.5%)

 
  2,045    

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

   (CCC-, Caa3)      01/30/23        9.950        1,092,367  
             

 

 

 
 

Electronics (1.9%)

 
  1,000    

CPI International, Inc., LIBOR 1M + 7.250%(6),(7),(10)

   (CCC, Caa2)      07/26/25        8.250        885,000  
  1,200    

EXC Holdings III Corp., LIBOR 3M + 7.500%(7),(10)

   (CCC+, Caa2)      12/01/25        8.937        1,012,686  
  2,453    

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

   (B-, B3)      01/10/24        5.200        2,125,678  
             

 

 

 
                4,023,364  
             

 

 

 
 

Energy - Exploration & Production (0.3%)

 
  2,579    

PES Holdings LLC, Prime + 6.990%(4),(6),(10)

   (NR, NR)      12/31/22        6.990        606,062  
             

 

 

 
 

Food - Wholesale (0.7%)

 
  1,712    

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

   (B, B3)      10/22/25        4.654        1,557,008  
             

 

 

 
 

Gas Distribution (1.8%)

 
  2,073    

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

   (B+, B2)      10/31/24        4.950        1,629,955  
  993    

BCP Renaissance Parent LLC, LIBOR 3M + 3.500%(6),(10)

   (B+, B2)      11/01/24        4.950        784,075  
  1,930    

Traverse Midstream Partners LLC, LIBOR 1M + 4.000%(10)

   (B+, B3)      09/27/24        5.000        1,474,692  
             

 

 

 
                3,888,722  
             

 

 

 
 

Health Facilities (0.5%)

 
  208    

Surgery Center Holdings, Inc., LIBOR 1M + 8.000%(10)

   (B-, B2)      09/03/24        9.000        208,570  
  1,140    

Western Dental Services, Inc., LIBOR 3M + 5.250%(10)

   (CCC+, B3)      06/30/23        6.700        921,822  
             

 

 

 
                1,130,392  
             

 

 

 
 

Health Services (1.8%)

 
  2,233    

Athenahealth, Inc., LIBOR 3M + 4.500%(6),(10)

   (B, B2)      02/11/26        5.284        2,076,793  
  897    

Carestream Health, Inc., LIBOR 3M + 6.250%(10)

   (B-, B1)      02/28/21        7.322        823,956  
  998    

Sotera Health Holdings LLC, LIBOR 1M + 4.500%(10)

   (B, B2)      12/13/26        5.500        962,961  
             

 

 

 
                3,863,710  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

13


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2020 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

BANK LOANS (continued)

 
 

Insurance Brokerage (1.4%)

 
$ 1,945    

Acrisure LLC, LIBOR 3M + 3.500%(10)

   (B, B2)      02/15/27        5.207      $ 1,806,229  
  1,245    

Alera Group Holdings, Inc., LIBOR 1M + 4.000%(6),(10)

   (B, B2)      08/01/25        5.070        1,163,881  
             

 

 

 
                2,970,110  
             

 

 

 
 

Investments & Misc. Financial Services (1.1%)

 
  1,496    

Advisor Group, Inc., LIBOR 1M + 5.000%(10)

   (B-, B2)      07/31/26        5.404        1,237,077  
  215    

Ditech Holding Corp., Prime + 7.000%(4),(10)

   (NR, NR)      06/30/22        11.250        86,628  
  1,298    

Duff & Phelps Corp., LIBOR 1M + 8.000%(6),(10)

   (CCC, Caa2)      04/07/28        9.000        1,148,798  
             

 

 

 
                2,472,503  
             

 

 

 
 

Life Insurance (0.6%)

 
  1,487    

Vida Capital, Inc., LIBOR 2M + 6.000%(6),(10)

   (B, B2)      10/01/26        6.760        1,375,359  
             

 

 

 
 

Machinery (1.4%)

 
  1,223    

LTI Holdings, Inc., LIBOR 1M + 6.750%(7),(10)

   (CCC, Caa3)      09/06/26        7.154        654,260  
  597    

LTI Holdings, Inc., LIBOR 1M + 3.500%(10)

   (CCC+, B3)      09/06/25        3.904        482,716  
  2,475    

WireCo WorldGroup, Inc., LIBOR 6M + 9.000%(6),(7),(10)

   (CCC+, Caa3)      09/30/24        10.072        1,794,375  
             

 

 

 
                2,931,351  
             

 

 

 
 

Medical Products (1.1%)

 
  1,173    

ABB Concise Optical Group LLC, LIBOR 3M + 5.000%(10)

   (CCC+, B3)      06/15/23        6.060        900,197  
  1,489    

Maravai Intermediate Holdings LLC, LIBOR 3M + 4.250%(10)

   (B-, B2)      08/01/25        5.750        1,444,005  
             

 

 

 
                2,344,202  
             

 

 

 
 

Metals & Mining - Excluding Steel (1.0%)

 
  2,292    

GrafTech Finance, Inc., LIBOR 1M + 3.500%(6),(10)

   (BB-, B1)      02/12/25        4.500        2,085,989  
             

 

 

 
 

Packaging (0.1%)

 
  800    

Strategic Materials, Inc., LIBOR 3M + 7.750%(6),(7),(10)

   (CC, C)      10/27/25        9.513        160,000  
             

 

 

 
 

Personal & Household Products (0.5%)

 
  2,750    

Serta Simmons Bedding LLC, LIBOR 3M + 8.000%(10)

   (C, Ca)      11/08/24        9.020        673,750  
  480    

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

   (B-, B2)      11/30/23        5.200        436,135  
             

 

 

 
                1,109,885  
             

 

 

 
 

Pharmaceuticals (0.7%)

 
  1,867    

Akorn, Inc., LIBOR 1M + 13.750%(10)

   (CC, Caa3)      04/16/21        14.750        1,583,084  
             

 

 

 
                1,583,084  
             

 

 

 
 

Recreation & Travel (1.9%)

 
  1,959    

Bulldog Purchaser, Inc., LIBOR 3M + 7.750%(7),(10)

   (CCC, Caa3)      09/04/26        8.822        1,449,660  
  1,866    

Bulldog Purchaser, Inc., LIBOR 3M + 3.750%(10)

   (B, B3)      09/05/25        4.822        1,538,197  
  1,547    

Hornblower Sub LLC, LIBOR 3M + 4.500%(10)

   (CCC+, B3)      04/27/25        5.950        1,057,324  
             

 

 

 
                4,045,181  
             

 

 

 
 

Restaurants (0.1%)

 
  300    

Golden Nugget, LLC, LIBOR 3M + 12.000%(10)

   (CCC, NR)      10/06/23        13.000        311,000  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

14


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2020 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

BANK LOANS (continued)

 
 

Software - Services (2.6%)

 
$ 249    

Almonde, Inc., LIBOR 6M + 3.500%(10)

   (CCC+, B2)      06/13/24        4.500      $ 218,091  
  2,979    

Almonde, Inc., LIBOR 6M + 7.250%(10)

   (CCC-, Caa2)      06/13/25        8.250        2,562,018  
  750    

Aston FinCo Sarl, LIBOR 1M + 4.250%(10)

   (B-, B2)      10/09/26        5.114        695,625  
  1,000    

Hyland Software, Inc., LIBOR 1M + 7.000%(10)

   (CCC, Caa1)      07/07/25        7.750        940,835  
  610    

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

   (B, B3)      12/09/22        7.248        515,079  
  729    

Project Leopard Holdings, Inc., LIBOR 3M + 4.250%(6),(10)

   (B, B2)      07/07/23        5.700        663,783  
             

 

 

 
                5,595,431  
             

 

 

 
 

Specialty Retail (1.0%)

 
  1,500    

Boing U.S. Holdco, Inc., LIBOR 1M + 7.500%(7),(10)

   (CCC, Caa2)      10/03/25        8.500        1,147,500  
  1,000    

Sally Holdings LLC(6)

   (BB+, Ba1)      07/05/24        4.500        940,000  
             

 

 

 
                2,087,500  
             

 

 

 
 

Support - Services (1.4%)

 
  1,237    

IG Investment Holdings LLC, LIBOR 3M + 4.000%(10)

   (B-, B2)      05/23/25        5.450        1,042,514  
  1,391    

Nuvei Technologies Corp., LIBOR 1M + 5.000%(6),(10)

   (B-, B2)      09/29/25        6.000        1,300,405  
  1,000    

USS Ultimate Holdings, Inc., LIBOR 3M + 7.750%(7),(10)

   (CCC, Caa2)      08/25/25        9.671        765,000  
             

 

 

 
                3,107,919  
             

 

 

 
 

Telecom - Wireline Integrated & Services (0.5%)

 
  1,125    

TVC Albany, Inc., LIBOR 1M + 7.500%(6),(7),(10)

   (CCC, Caa2)      07/23/26        7.900        984,375  
             

 

 

 
 

Theaters & Entertainment (1.8%)

 
  2,158    

Metro-Goldwyn-Mayer, Inc., LIBOR 1M + 4.500%(6),(10)

   (B-, B3)      07/03/26        5.500        1,985,775  
  2,419    

William Morris Endeavor Entertainment LLC, LIBOR 1M + 2.750%(10)

   (CCC+, B3)      05/18/25        3.731        1,828,692  
             

 

 

 
                3,814,467  
             

 

 

 
 

TOTAL BANK LOANS (Cost $91,843,467)

       73,374,014  
             

 

 

 
 

ASSET BACKED SECURITIES (1.9%)

 
 

Collateralized Debt Obligations (1.9%)

 
  1,500    

Anchorage Credit Opportunities CLO 1 Ltd., 2019-1A, Rule 144A,
LIBOR 3M + 7.550%(1),(10)

   (BB-, NR)      01/20/32        9.291        1,163,903  
  1,500    

KKR CLO 16 Ltd., Rule 144A, LIBOR 3M + 6.750%(1),(10)

   (NR, Ba3)      01/20/29        7.885        875,627  
  1,000    

Oaktree CLO Ltd., 2019-4A, Rule 144A, LIBOR 3M + 7.230%(1),(10)

   (BB-, NR)      10/20/32        8.365        730,978  
  1,500    

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

   (NR, Baa3)      07/15/28        4.279        1,318,933  
             

 

 

 
 

TOTAL ASSET BACKED SECURITIES (Cost $5,389,704)

       4,089,441  
             

 

 

 
             

 

See Accompanying Notes to Financial Statements.

 

15


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2020 (unaudited)

 

 

Number of
Shares

             

 

    

 

    

Value

 
 

COMMON STOCKS (1.5%)

 
 

Auto Parts & Equipment (1.1%)

 
  109,693    

UCI International, Inc.(5),(6),(7),(11)

 

   $ 2,413,246  
             

 

 

 
 

Building & Construction (0.0%)

 
  10    

White Forest Resources, Inc.(5),(6),(7),(11)

 

      
             

 

 

 
 

Chemicals (0.2%)

 
  4,893    

Huntsman Corp.(7)

 

     82,251  
  5,400    

Project Investor Holdings LLC(5),(6),(7),(11)

 

     54  
  89,998    

Proppants Holdings LLC(5),(6),(7),(11)

 

     250,195  
             

 

 

 
                332,500  
             

 

 

 
 

Energy - Exploration & Production (0.2%)

 
  10,716    

Independence Contract Drilling, Inc.(11)

 

     83,479  
  111,570    

PES Energy, Inc.(7),(11)

 

     7,029  
  32,848    

Talos Energy, Inc.(11)

 

     374,138  
             

 

 

 
                464,646  
             

 

 

 
 

Support - Services (0.0%)

 
  2,100    

LTR Holdings LLC(5),(6),(7),(11)

 

     7,917  
  865    

Sprint Industrial Holdings LLC, Class G(5),(6),(7),(11)

 

      
  78    

Sprint Industrial Holdings LLC, Class H(5),(6),(7),(11)

 

      
  192    

Sprint Industrial Holdings LLC, Class I(5),(6),(7),(11)

 

     2  
             

 

 

 
                7,919  
             

 

 

 
 

Theaters & Entertainment (0.0%)

 
  45    

NEG Holdings LLC, Litigation Trust Units(5),(6),(7),(11)

 

      
             

 

 

 
 

TOTAL COMMON STOCKS (Cost $5,611,858)

       3,218,311  
             

 

 

 
 

WARRANT (0.0%)

 
 

Chemicals (0.0%)

 
  22,499    

Project Investor Holdings LLC, expires 02/20/2022(5),(6),(7),(11) (Cost $11,699)

 

      
             

 

 

 
 

SHORT-TERM INVESTMENTS (1.4%)

 
  3,116,923    

State Street Navigator Securities Lending Government Money Market Portfolio 0.19%(12) (Cost $3,116,923)

 

        3,116,923  
             

 

 

 
 

TOTAL INVESTMENTS AT VALUE (142.2%) (Cost $363,169,381)

       307,227,912  
 

LIABILITIES IN EXCESS OF OTHER ASSETS (-42.2%)

       (91,127,891
             

 

 

 
 

NET ASSETS (100.0%)

     $ 216,100,021  
             

 

 

 

 

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 April 30, 2020, these securities amounted to a value of $194,003,511 or 89.8% of net assets.

 

(2) 

This security is denominated in British Pound.

 

See Accompanying Notes to Financial Statements.

 

16


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2020 (unaudited)

 

 

(3) 

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

 

(4) 

Bond is currently in default.

 

(5) 

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.

 

(6) 

Security is valued using significant unobservable inputs.

 

(7) 

Illiquid security (unaudited).

 

(8) 

Security or portion thereof is out on loan (See note 2-J).

 

(9) 

This security is denominated in Euro.

 

(10)

Variable rate obligation - The interest rate shown is the rate in effect as of April 30, 2020.

 

(11)

Non-income producing security.

 

(12)

Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at April 30, 2020.

INVESTMENT ABBREVIATIONS

1M = 1 Month

2M = 2 Month

3M = 3 Month

6M = 6 Month

12M = 12 Month

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

     432,314      USD      477,815        10/13/20      Deutsche Bank AG    $ 477,815     $ 475,166     $ (2,649

EUR

     124,026      USD      142,693        10/13/20      Barclays Bank PLC      142,693       136,319       (6,374

GBP

     93,150      USD      115,751        10/13/20      Barclays Bank PLC      115,751       117,563       1,812  

GBP

     49,343      USD      58,431        10/13/20      Deutsche Bank AG      58,431       62,276       3,845  

USD

     416,385      EUR      375,785        10/13/20      Deutsche Bank AG      (416,385     (413,032     3,353  

USD

     150,336      EUR      137,069        10/13/20      JPMorgan Chase      (150,336     (150,655     (319

USD

     3,452,811      EUR      3,072,989        10/13/20      Morgan Stanley      (3,452,811     (3,377,581     75,230  

USD

     62,172      GBP      50,207        10/13/20      Deutsche Bank AG      (62,172     (63,366     (1,194

USD

     36,316      GBP      29,081        10/13/20      JPMorgan Chase      (36,316     (36,702     (386

USD

     1,334,381      GBP      1,080,182        10/13/20      Morgan Stanley      (1,334,381     (1,363,281     (28,900
                     

 

 

 
  $ 44,418  
                     

 

 

 

Currency Abbreviations:

EUR = Euro

GBP = British Pound

USD = United States Dollar

 

See Accompanying Notes to Financial Statements.

 

17


Credit Suisse High Yield Bond Fund

Statement of Assets and Liabilities

April 30, 2020 (unaudited)

 

 

Assets

 

Investments at value, including collateral for securities on loan of $3,116,923
(Cost $363,169,381) (Note 2)

   $         307,227,912 1 

Cash

     6,823,234  

Foreign currency at value (Cost $75,296)

     75,254  

Interest receivable

     5,304,194  

Receivable for investments sold

     705,449  

Unrealized appreciation on forward foreign currency contracts (Note 2)

     84,240  

Prepaid expenses and other assets

     16,350  
  

 

 

 

Total assets

     320,236,633  
  

 

 

 

Liabilities

  

Investment advisory fee payable (Note 3)

     204,098  

Administrative services fee payable (Note 3)

     22,585  

Loan payable (Note 4)

     97,000,000  

Payable for investments purchased

     3,566,880  

Payable upon return of securities loaned (Note 2)

     3,116,923  

Interest payable

     56,529  

Trustees’ fee payable

     44,895  

Unrealized depreciation on forward foreign currency contracts (Note 2)

     39,822  

Accrued expenses

     84,880  
  

 

 

 

Total liabilities

     104,136,612  
  

 

 

 

Net Assets

  

Applicable to 103,507,402 shares outstanding

   $ 216,100,021  
  

 

 

 

Net Assets

  

Capital stock, $.001 par value (Note 6)

     103,507  

Paid-in capital (Note 6)

     298,367,409  

Total distributable earnings (loss)

     (82,370,895
  

 

 

 

Net assets

   $ 216,100,021  
  

 

 

 

Net Asset Value Per Share ($216,100,021 / 103,507,402)

     $2.09  
  

 

 

 

Market Price Per Share

     $1.85  
  

 

 

 

 

 

1 

Includes $3,083,628 of securities on loan.

 

See Accompanying Notes to Financial Statements.

 

18


Credit Suisse High Yield Bond Fund

Statement of Operations

For the Six Months Ended April 30, 2020 (unaudited)

 

 

Investment Income

 

Interest

   $         12,395,503  

Dividends

     81,121  

Other

     11,029  

Securities lending (net of rebates)

     26,582  
  

 

 

 

Total investment income

     12,514,235  
  

 

 

 

Expenses

  

Investment advisory fees (Note 3)

     1,596,909  

Administrative services fees (Note 3)

     34,092  

Interest expense (Note 4)

     1,056,570  

Trustees’ fees

     60,242  

Commitment fees (Note 4)

     46,828  

Legal fees

     44,754  

Printing fees

     28,739  

Audit and tax fees

     25,047  

Custodian fees

     22,861  

Stock exchange listing fees

     16,639  

Transfer agent fees (Note 3)

     12,276  

Insurance expense

     3,573  

Miscellaneous expense

     5,179  
  

 

 

 

Total expenses

     2,953,709  

Less: fees waived (Note 3)

     (211,338
  

 

 

 

Net expenses

     2,742,371  
  

 

 

 

Net investment income

     9,771,864  
  

 

 

 

Net Realized and Unrealized Gain (Loss) from Investments, Foreign Currency and Forward Foreign Currency Contracts

  

Net realized loss from investments

     (1,768,020

Net realized gain from foreign currency transactions

     1,244  

Net change in unrealized appreciation (depreciation) from investments

     (44,154,333

Net change in unrealized appreciation (depreciation) from foreign currency translations

     (718

Net change in unrealized appreciation (depreciation) from forward foreign currency contracts

     168,391  
  

 

 

 

Net realized and unrealized loss from investments, foreign currency and forward foreign currency contracts

     (45,753,436
  

 

 

 

Net decrease in net assets resulting from operations

   $ (35,981,572
  

 

 

 

 

See Accompanying Notes to Financial Statements.

 

19


Credit Suisse High Yield Bond Fund

Statements of Changes in Net Assets

 

 

     For the Six Months
Ended
April 30, 2020
(unaudited)
     For the Year
Ended
October 31, 2019
 

From Operations

     

Net investment income

   $ 9,771,864      $ 20,025,305  

Net realized loss from investments, foreign currency transactions and forward foreign currency contracts

     (1,766,776      (889,970

Net change in unrealized appreciation (depreciation) from investments, foreign currency translations and forward foreign currency contracts

     (43,986,660      841,171  
  

 

 

    

 

 

 

Net increase (decrease) in net assets resulting from operations

     (35,981,572      19,976,506  
  

 

 

    

 

 

 

From Distributions

     

From distributable earnings

     (10,505,853      (19,793,295

Return of Capital

            (3,903,530
  

 

 

    

 

 

 

Net decrease in net assets resulting from distributions

     (10,505,853      (23,696,825
  

 

 

    

 

 

 

From Capital Share Transactions (Note 6)

     

Reinvestment of dividends

     19,719        55,828  
  

 

 

    

 

 

 

Net increase in net assets from capital share transactions

     19,719        55,828  
  

 

 

    

 

 

 

Net decrease in net assets

     (46,467,706      (3,664,491

Net Assets

     

Beginning of period

     262,567,727        266,232,218  
  

 

 

    

 

 

 

End of period

   $         216,100,021      $         262,567,727  
  

 

 

    

 

 

 

 

See Accompanying Notes to Financial Statements.

 

20


Credit Suisse High Yield Bond Fund

Statement of Cash Flows

April 30, 2020 (unaudited)

 

 

Reconcilation of Net Decrease in Net Assets from Operations to Net Cash Provided by Operating Activities

     

Net decrease in net assets resulting from operations

      $ (35,981,572
     

 

 

 

Adjustments to Reconcile Net Decrease in Net Assets from Operations to Net Cash Provided by Operating Activities

     

Increase in interest receivable

   $ (200,146   

Increase in accrued expenses

     12,000     

Decrease in payable upon return of securities loaned

     (8,265,342   

Increase in interest payable

     31,626     

Increase in prepaid expenses and other assets

     (9,063   

Decrease in advisory fees payable

     (42,908   

Net amortization of discount on investments

     (435,091   

Purchases of long-term securities, net of change in payable for investments purchased

     (65,314,215   

Sales of long-term securities, net of change in receivable for investments sold

     57,770,031     

Net proceeds from sales (purchases) of short-term securities

     7,192,467     

Net change in unrealized (appreciation) depreciation from investments and forward foreign currency contracts

     43,985,942     

Net realized loss from investments

     1,768,020     

Total adjustments

        36,493,321  
     

 

 

 

Net cash provided by operating activities1

      $ 511,749  
     

 

 

 

Cash Flows From Financing Activities

     

Borrowings on revolving credit facility

     12,000,000     

Repayments of credit facility

     (7,000,000   

Cash dividends paid

     (10,486,134   
  

 

 

    

Net cash provided by financing activities

                (5,486,134
     

 

 

 

Net decrease in cash

        (4,974,385

Cash — beginning of period

        11,872,873  
     

 

 

 

Cash — end of period

      $ 6,898,488  
     

 

 

 

Non-Cash Activity:

     

Issuance of shares through dividend reinvestments

      $ 19,719  
     

 

 

 

 

 

1 

Included in net cash provided by operating activities is cash of $1,024,944 paid for interest on borrowings.

 

See Accompanying Notes to Financial Statements.

 

21


Credit Suisse High Yield Bond Fund

Financial Highlights

 

 

    For the Six Months
Ended
April 30, 2020
(unaudited)
    For the Year Ended October 31,  
  2019     2018     2017     2016     2015  

Per share operating performance

           

Net asset value, beginning of period

  $ 2.54     $ 2.57     $ 2.80     $ 2.62     $ 2.62     $ 3.04  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INVESTMENT OPERATIONS

           

Net investment income1

    0.09       0.20       0.21       0.23       0.25       0.26  

Net gain (loss) on investments, foreign currency transactions and forward foreign currency contracts (both realized and unrealized)

    (0.44     (0.00 )2      (0.19     0.22       0.03       (0.39
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from investment activities

    (0.35     0.20       0.02       0.45       0.28       (0.13
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DIVIDENDS AND DISTRIBUTIONS

           

Dividends from net investment income

    (0.10     (0.19     (0.21     (0.22     (0.24     (0.29

Return of capital

          (0.04     (0.04     (0.05     (0.04      
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total dividends and distributions

    (0.10     (0.23     (0.25     (0.27     (0.28     (0.29
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

           

Increase to net asset value due to shares issued through at-the-market offerings

                      0.00 2            0.00 2 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 2.09     $ 2.54     $ 2.57     $ 2.80     $ 2.62     $ 2.62  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Per share market value, end of period

  $ 1.85     $ 2.53     $ 2.35     $ 2.84     $ 2.44     $ 2.40  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENT RETURN3

           

Net asset value

    (13.81 )%      8.54     0.68     17.90     12.75     (3.96 )% 

Market value

    (23.41 )%      18.23     (9.23 )%      28.40     14.63     (14.28 )% 

RATIOS AND SUPPLEMENTAL DATA

           

Net assets, end of period (000s omitted)

  $ 216,100     $ 262,568     $ 266,232     $ 287,967     $ 261,610     $ 262,119  

Ratio of expenses to average net assets

    2.20 %4      2.70     2.59     2.14     2.04     1.87

Ratio of expenses to average net assets excluding interest expense

    1.35 %4      1.37     1.41     1.38     1.45     1.37

Ratio of net investment income to average net assets

    7.84 %4      7.60     7.81     8.19     10.07     9.28

Decrease reflected in above operating expense ratios due to waivers/reimbursements

    0.17 %4      0.16     0.15     0.15     0.17     0.15

Average debt per share

  $ 0.91     $ 1.06     $ 1.20     $ 1.13     $ 1.11     $ 1.37  

Asset Coverage per $1,000 of Indebtedness

  $ 3,228     $ 3,854     $ 3,147     $ 3,482     $ 3,567     $ 3,070  

Portfolio turnover rate

    18     32     42     65     49     41

 

 

1 

Per share information is calculated using the average shares outstanding method.

 

2 

This amount represents less than $0.01 or $(0.01) per share.

 

3 

Total investment return at net asset value is based on the change in the net asset value of Fund shares and assumes reinvestment of dividends and distributions, if any, at actual prices pursuant to the Fund’s dividend reinvestment program. Total investment return at market value is based on the change in the market price at which the Fund’s shares traded on the stock exchange during the period and assumes reinvestment of dividends and distributions, if any, at actual prices pursuant to the Fund’s dividend reinvestment program. Because the Fund’s shares trade in the stock market based on investor demand, the Fund may trade at a price higher or lower than its NAV. Therefore, returns are calculated based on NAV and market price. Total returns for periods less than one year are not annualized.

 

4 

Annualized.

 

See Accompanying Notes to Financial Statements.

 

22


Credit Suisse High Yield Bond Fund

Notes to Financial Statements

April 30, 2020 (unaudited)

 

 

Note 1. Organization

Credit Suisse High Yield Bond Fund (the “Fund”) is a business trust organized under the laws of the State of Delaware on April 30, 1998. The Fund is registered as a non-diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund’s principal investment objective is to seek high current income. The Fund also will seek capital appreciation as a secondary objective, to the extent consistent with its objective of seeking high current income.

Note 2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies are in accordance with generally accepted accounting principles in the United States of America (“GAAP”). The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is considered an investment company for financial reporting purposes under GAAP and follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 — Financial Services — Investment Companies.

A) 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

 

23


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

April 30, 2020 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

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.

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 April 30, 2020 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

   $      $ 222,497,642      $ 931,581     $ 223,429,223  

Bank Loans

            51,637,300        21,736,714       73,374,014  

Asset Backed Securities

            4,089,441              4,089,441  

Common Stocks

     539,868        7,029        2,671,414       3,218,311  

Warrants

                   0 (1)      0 (1) 

Short-term Investment

            3,116,923              3,116,923  
  

 

 

    

 

 

    

 

 

   

 

 

 
   $ 539,868      $ 281,348,335      $ 25,339,709     $ 307,227,912  
  

 

 

    

 

 

    

 

 

   

 

 

 

Other Financial Instruments*

          

Forward Foreign Currency Contracts

   $      $ 84,240      $     $ 84,240  

Liabilities

   Level 1      Level 2      Level 3     Total  

Other Financial Instruments*

          

Forward Foreign Currency Contracts

   $      $ 39,822      $     $ 39,822  

 

  (1)

Includes zero valued securities.

  *

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

 

24


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

April 30, 2020 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

The following is a reconciliation of investments as of April 30, 2020 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
     Warrants     Total  

Balance as of October 31, 2019

   $ 3,667      $ 16,330,150      $ 3,699,110      $ 0 (1)    $ 20,032,927  

Accrued discounts (premiums)

            24,034                     24,034  

Purchases

     1,292,000        9,461,536                     10,753,536  

Sales

            (4,469,528                   (4,469,528

Realized gain (loss)

            (281,031                   (281,031

Change in unrealized appreciation (depreciation)

     (364,086      (2,715,815      (1,027,696            (4,107,597

Transfers into Level 3

            8,114,737                     8,114,737  

Transfers out of Level 3

            (4,727,369                   (4,727,369
  

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Balance as of April 30, 2020

   $ 931,581      $ 21,736,714      $ 2,671,414      $ 0 (1)    $ 25,339,709  
  

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) from investments still held as of April 30, 2020

   $ (364,086    $ (1,962,297    $ (1,027,696    $     $ (3,354,079

 

  (1)

Includes zero valued securities.

 

Quantitative Disclosure About Significant Unobservable Inputs

 

Asset Class

   Fair Value
At 04/30/2020
     Valuation
Techniques
     Unobservable
Input
     Range (Weighted
Average)*
 

Corporate Bonds

   $ 3,667        Income Approach       
Expected Remaining
Distribution
 
 
     0.01 (N/A)  
   $ 927,914        Market Approach        EBITDA Multiples        3.7 (N/A)  

Bank Loans

   $ 21,736,714        Vendor Pricing        Single Broker Quote      $ 0.20-$0.94 ($0.87)  

Common Stocks

   $ 2        Income Approach       
Expected Remaining
Distribution
 
 
   $ 0.00-$0.01 ($0.01)  
   $ 258,166        Market Approach        EBITDA Multiples        0.0-3.8 (2.8)  
   $ 2,413,246        Vendor Pricing        Single Broker Quote      $ 22.00 (N/A)  

Warrants

   $ 0        Market Approach        EBITDA Multiples        8.5 (N/A)  

 

  *

Weighted by relative fair value

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

 

25


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

April 30, 2020 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

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.

For the six months ended April 30, 2020, $8,114,737 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $4,727,369 was 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.

B) DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES — The Fund adopted amendments to authoritative guidance on disclosures about derivative instruments and hedging activities which require that a fund disclose (a) how and why an entity uses derivative instruments, (b) how derivative instruments and hedging activities are accounted for and (c) how derivative instruments and related hedging activities affect a fund’s financial position, financial performance and cash flows.

The following table presents the fair value and the location of derivatives within the Statement of Assets and Liabilities at April 30, 2020 and the effect of these derivatives on the Statement of Operations for the six months ended April 30, 2020.

 

Primary Underlying Risk

   Derivative
Assets
     Derivative
Liabilities
     Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
 

Foreign currency exchange rate forward contracts

   $ 84,240      $ 39,822      $      $ 168,391  

For the six months ended April 30, 2020, the Fund held an average monthly value on a net basis of $5,219,981 in forward foreign currency contracts.

The Fund is a party to International Swap and Derivatives Association, Inc. (“ISDA”) Master Agreements (“Master Agreements”) with certain counterparties that govern over-the-counter derivative (including Total Return, Credit Default and Interest Rate Swaps) and foreign exchange contracts entered into by the Fund. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Termination events applicable to the Fund may occur upon a decline in the Fund’s net assets below a specified threshold over a certain period of time.

The following table presents by counterparty the Fund’s derivative assets, net of related collateral held by the Fund, at April 30, 2020:

 

Counterparty

   Gross Amount of Derivative
Assets Presented in the
Consolidated Statement of
Assets and Liabilities(a)
     Financial
Instruments
and Derivatives
Available for Offset
     Non-Cash
Collateral
Received
     Cash
Collateral
Received
     Net Amount
of Derivative
Assets
 

Barclays Bank PLC

   $ 1,812        $ (1,812)      $      $      $  

Deutsche Bank

     7,198        (3,843                    3,355  

Morgan Stanley

     75,230        (28,900                    46,330  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $  84,240        $ (34,555)      $  —      $  —      $  49,685  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Forward foreign currency contracts are included.

 

26


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

April 30, 2020 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

The following table presents by counterparty the Fund’s derivative liabilities, net of related collateral pledged by the Fund, at April 30, 2020:

 

Counterparty

   Gross Amount of Derivative
Liabilities Presented in the
Consolidated Statement of
Assets and Liabilities(a)
     Financial
Instruments
and Derivatives
Available for Offset
     Non-Cash
Collateral
Pledged
     Cash
Collateral
Pledged
     Net Amount
of Derivative
Liabilities
 

Barclays Bank PLC

   $ 6,374        $ (1,812)      $      $      $ 4,562  

Deutsche Bank

     3,843        (3,843                     

JPMorgan Chase

     705                             705  

Morgan Stanley

     28,900        (28,900                     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $  39,822        $ (34,555)      $  —      $      $  5,267  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Forward foreign currency contracts are included.

C) FOREIGN CURRENCY TRANSACTIONS — The books and records of the Fund are maintained in U.S. dollars. Transactions denominated in foreign currencies are recorded at the current prevailing exchange rates. All assets and liabilities denominated in foreign currencies, including purchases and sales of investments, and income and expenses, are translated into US dollar amounts on the date of those transactions.

Reported net realized gain (loss) from foreign currency transactions arises from sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on securities transactions; and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net change in unrealized gains and losses on translation of assets and liabilities denominated in foreign currencies arises from changes in the fair values of assets and liabilities, other than investments, at the end of the period, resulting from changes in exchange rates.

The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held. Such fluctuations are included with net realized and unrealized gain or loss from investments in the Statement of Operations.

D) SECURITY TRANSACTIONS AND INVESTMENT INCOME/EXPENSE — Security transactions are accounted for on a trade date basis. Interest income/expense is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Dividend income/expense is recorded on the ex-dividend date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.

E) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — The Fund declares and pays dividends on a monthly basis and records them on ex-date. Distributions of net realized capital gains, if any, are declared and paid at least annually. However, to the extent that a net realized capital gain can be reduced by a capital loss carryforward, such gain will not be distributed. Dividends and distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations, which may differ from GAAP.

 

27


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

April 30, 2020 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

The Fund’s dividend policy is to distribute substantially all of its net investment income to its shareholders on a monthly basis. However, in order to provide shareholders with a more consistent yield to the current trading price of shares of common stock of the Fund, the Fund may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the dividends paid by the Fund for any particular month may be more or less than the amount of net investment income earned by the Fund during such month.

F) FEDERAL AND OTHER TAXES — No provision is made for federal taxes as it is the Fund’s intention to continue to qualify as a regulated investment company (“RIC”) under the Internal Revenue Code of 1986, as amended (the “Code”), and to make the requisite distributions to its shareholders, which will be sufficient to relieve it from federal income and excise taxes.

In order to qualify as a RIC under the Code, the Fund must meet certain requirements regarding the source of its income, the diversification of its assets and the distribution of its income. One of these requirements is that the Fund derive at least 90% of its gross income for each taxable year from dividends, interest, payments with respect to certain securities loans, gains from the sale or other disposition of stock, securities or foreign currencies, other income derived with respect to its business of investing in such stock, securities or currencies or net income derived from interests in certain publicly-traded partnerships (“Qualifying Income”).

The Fund adopted the authoritative guidance for uncertainty in income taxes and recognizes a tax benefit or liability from an uncertain position only if it is more likely than not that the position is sustainable based solely on its technical merits and consideration of the relevant taxing authority’s widely understood administrative practices and procedures. The Fund has reviewed its current tax positions and has determined that no provision for income tax is required in the Fund’s financial statements. The Fund’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

G) CASH — The Fund’s uninvested cash balance is held in an interest bearing variable rate demand deposit account at State Street Bank and Trust Company (“SSB”), the Fund’s custodian.

H) CASH FLOW INFORMATION — Cash, as used in the Statement of Cash Flows, is the amount reported in the Statement of Assets and Liabilities, including domestic and foreign currencies. The Fund invests in securities and distributes dividends from net investment income and net realized gains, if any (which are either paid in cash or reinvested at the discretion of shareholders). These activities are reported in the Statement of Changes in Net Assets. Information on cash payments is presented in the Statement of Cash Flows. Accounting practices that do not affect reporting activities on a cash basis include unrealized gain or loss on investment securities and accretion or amortization income/expense recognized on investment securities.

I) FORWARD FOREIGN CURRENCY CONTRACTS — A forward foreign currency exchange contract (“forward currency contract”) is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. The Fund will enter into forward currency contracts primarily for hedging foreign currency risk. Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and unrealized gain/loss is recorded daily. On the settlement date of the forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was closed. Certain risks may arise upon entering into forward currency

 

28


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

April 30, 2020 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

contracts from the potential inability of counterparties to meet the terms of their contracts. The maximum counterparty credit risk to the Fund is measured by the unrealized gain on appreciated contracts. Additionally, when utilizing forward currency contracts to hedge, the Fund forgoes the opportunity to profit from favorable exchange rate movements during the term of the contract. The Fund’s open forward currency contracts at April 30, 2020 are disclosed in the Schedule of Investments.

J) UNFUNDED LOAN COMMITMENTS — The Fund enters into certain agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these loan commitments at the borrowers’ discretion. Funded and unfunded portions of credit agreements are presented in the Schedule of Investments. As of April 30, 2020, the fund has no unfunded loan commitments.

Unfunded loan commitments and funded portions of credit agreements are marked to market daily and any unrealized appreciation or depreciation is included in the Statement of Assets and Liabilities and the Statement of Operations.

K) SECURITIES LENDING — The initial collateral received by the Fund is required to have a value of at least 102% of the market value of domestic securities on loan (including any accrued interest thereon) and 105% of the market value of foreign securities on loan (including any accrued interest thereon). The collateral is maintained thereafter at a value equal to at least 102% of the current market value of the securities on loan. The market value of loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day. Cash collateral received by the Fund in connection with securities lending activity may be pooled together with cash collateral for other funds/portfolios advised by Credit Suisse and may be invested in a variety of investments, including funds advised by SSB, the Fund’s securities lending agent, or money market instruments. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.

SSB has been engaged by the Fund to act as the Fund’s securities lending agent. As of April 30, 2020, the Fund had investment securities on loan with a fair value of $3,083,628. Collateral received for securities loaned and a related liability of $3,116,923 are presented gross in the Statement of Assets and Liabilities. The collateral for securities loaned is valued consistently with the other investments held by the Fund and is included in Level 2 of the fair value hierarchy. As of April 30, 2020, the value of the related collateral exceeded the value of the securities loaned.

The Fund’s securities lending arrangement provides that the Fund and SSB will share the net income earned from securities lending activities. Securities lending income is accrued as earned. During the six months ended April 30, 2020, total earnings from the Fund’s investment in cash collateral received in connection with securities lending arrangements was $65,129, of which $29,661 was rebated to borrowers (brokers). The Fund retained $26,582 in income from the cash collateral investment, and SSB, as lending agent, was paid $8,886.

L) OTHER — Lower-rated debt securities (commonly known as “junk bonds”) possess speculative characteristics and are subject to greater market fluctuations and risk of lost income and principal than higher-rated debt securities for a variety of reasons. Also, during an economic downturn or substantial period of rising interest rates, highly leveraged issuers may experience financial stress which would adversely affect their ability to service their principal and interest payment obligations, to meet projected business goals and to obtain additional financing.

 

29


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

April 30, 2020 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

In the normal course of business the Fund trades financial instruments and enters into financial transactions for which risk of potential loss exists due to changes in the market (market risk) or failure of the other party to a transaction to perform (credit risk). Similar to credit risk, the Fund may be exposed to counterparty risk, including securities lending, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. The potential loss could exceed the value of the financial assets recorded in the financial statements. Financial assets, which potentially expose the Fund to credit risk, consist principally of cash due from counterparties and investments. The extent of the Fund’s exposure to credit and counterparty risks in respect to these financial assets approximates their carrying value as recorded in the Fund’s Statement of Assets and Liabilities.

In addition, periods of economic uncertainty and changes can be expected to result in increased volatility of market prices of lower-rated debt securities and the Fund’s net asset value.

M) RECENT ACCOUNTING PRONOUNCEMENTS — In August 2018, the FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The update provides guidance that eliminates, adds and modifies certain disclosure requirements for fair value measurements. ASU 2018-13 will be effective for annual periods beginning after December 15, 2019. Management is currently assessing the potential impact of these changes to future financial statements.

N) SUBSEQUENT EVENTS — In preparing the financial statements as of April 30, 2020, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements through the date of release of this report. No such events requiring recognition or disclosure were identified through the date of the release of this report.

Note 3. Transactions with Affiliates and Related Parties

Credit Suisse serves as investment adviser for the Fund. For its investment advisory services, Credit Suisse is entitled to receive a fee from the Fund at an annualized rate of 1.00% of the first $250 million of the average weekly value of the Fund’s total assets minus the sum of liabilities (other than aggregate indebtedness constituting leverage) and 0.75% of the average weekly value of the Fund’s total assets minus the sum of liabilities (other than aggregate indebtedness constituting leverage) greater than $250 million. Effective January 1, 2011, Credit Suisse has agreed to waive 0.15% of the fees payable under the Advisory Agreement up to $200 million and 0.25% of the fees payable under the Advisory Agreement on the next $50 million. For the six months ended April 30, 2020, investment advisory fees earned and voluntarily waived were $1,596,909 and $211,338, respectively. Fee waivers and expense reimbursements are voluntary and may be discontinued by Credit Suisse at any time.

SSB serves as Accounting and Administrative Agent for the Fund. For its administrative services, SSB receives a fee, exclusive of out-of-pocket expenses, calculated in total for all the Credit Suisse funds/portfolios co-administered by SSB and allocated based upon the relative average net assets of each fund/portfolio, subject to an annual minimum fee. For the six months ended April 30, 2020, administrative services fees earned by SSB (including out-of-pocket expenses) with respect to the Fund were $34,092.

The Fund from time to time purchases or sells loan investments in the secondary market through Credit Suisse or its affiliates acting in the capacity as broker-dealer. Credit Suisse or its affiliates may have acted in some type of agent capacity to the initial loan offering prior to such loan trading in the secondary market.

 

30


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

April 30, 2020 (unaudited)

 

 

Note 4. Line of Credit

The Fund has a line of credit provided by SSB primarily to leverage its investment portfolio (the “Agreement”). The Fund may borrow the lesser of: a) $140,000,000; b) an amount that is no greater than 33 1/3% of the Fund’s total assets minus the sum of liabilities (other than aggregate indebtedness constituting leverage); and c) the Borrowing Base as defined in the Agreement. Under the terms of the Agreement, the Fund pays a commitment fee of 0.25% on the unused amount. In addition, the Fund pays interest on borrowings at LIBOR plus a spread. At April 30, 2020, the Fund had loans outstanding under the Agreement of $97,000,000. The Agreement was renewed on November 22, 2019 with a new termination date of November 20, 2020. During the six months ended April 30, 2020, the Fund had borrowings under the Agreement as follows:

 

Average Daily
Loan Balance
    Weighted Average
Interest Rate %
    Maximum Daily
Loan Outstanding
    Interest
Expense
 
$ 94,148,352       2.22   $ 98,000,000     $ 1,056,570  

The use of leverage by the Fund creates an opportunity for increased net income and capital appreciation for the Fund, but, at the same time, creates special risks, and there can be no assurance that a leveraging strategy will be successful during any period in which it is employed. The Fund intends to utilize leverage to provide the shareholders with a potentially higher return. Leverage creates risks for shareholders including the likelihood of greater volatility of net asset value and market price of the Fund’s shares and the risk that fluctuations in interest rates on borrowings and short-term debt may affect the return to shareholders. To the extent the income or capital appreciation derived from securities purchased with funds received from leverage exceeds the cost of leverage, the Fund’s return will be greater than if leverage had not been used. Conversely, if the income or capital appreciation from the securities purchased with such funds is not sufficient to cover the cost of leverage, the return to the Fund will be less than if leverage had not been used, and therefore the amount available for distribution to shareholders as dividends and other distributions will be reduced. In the latter case, Credit Suisse in its best judgment nevertheless may determine to maintain the Fund’s leveraged position if it deems such action to be appropriate under the circumstances. During periods in which the Fund is utilizing leverage, the management fee will be higher than if the Fund did not utilize a leveraged capital structure because the fee is calculated as a percentage of the managed assets including those purchased with leverage.

Certain types of borrowings by the Fund may result in the Fund being subject to covenants in credit agreements, including those relating to asset coverage and portfolio composition requirements. The securities held by the Fund are subject to a lien granted to the lender, to the extent of the borrowing outstanding and any additional expenses. The Fund’s lenders may establish guidelines for borrowing which may impose asset coverage or portfolio composition requirements that are more stringent than those imposed by the 1940 Act. There is no guarantee that the Fund’s borrowing arrangements or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Fund. Expiration or termination of available financing for leveraged positions can result in adverse effects to the Fund’s access to liquidity and its ability to maintain leverage positions, and may cause the Fund to incur losses. Unfavorable economic conditions also could increase funding costs, limit access to the capital markets or result in a decision by lenders not to extend credit to the Fund. In addition, a decline in market value of the Fund’s assets may have particular adverse consequences in instances where the Fund has borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender requiring the Fund to sell assets at a time when it may not be in the Fund’s best interest to do so.

 

31


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

April 30, 2020 (unaudited)

 

 

Note 5. Purchases and Sales of Securities

For the six months ended April 30, 2020, purchases and sales of investment securities (excluding short-term investments) were $64,438,892 and $57,839,604, respectively.

Note 6. Fund Shares

The Fund offers a Dividend Reinvestment Plan (the “Plan”) to its common stockholders. By participating in the Plan, dividends and distributions will be promptly paid to stockholders in additional shares of common stock of the Fund. The number of shares to be issued will be determined by dividing the total amount of the distribution payable by the greater of (i) the net asset value per share (“NAV”) of the Fund’s common stock on the payment date, or (ii) 95% of the market price per share of the Fund’s common stock on the payment date. If the NAV of the Fund’s common stock is greater than the market price (plus estimated brokerage commissions) on the payment date, Computershare (or a broker-dealer selected by Computershare) shall endeavor to apply the amount of such distribution to purchase shares of Fund common stock in the open market.

The Fund has one class of shares of beneficial interest, par value $.001 per share; an unlimited number of shares are authorized. Transactions in shares of beneficial interest of the Fund were as follows:

 

     For the Six Months Ended
April 30, 2020 (unaudited)
     For the Year Ended
October 31, 2019
 

Shares issued through at-the-market offerings

             

Shares issued through reinvestment of dividends

     7,794        21,837  
  

 

 

    

 

 

 

Net increase

     7,794        21,837  
  

 

 

    

 

 

 

Note 7. Shelf Offering

The Fund has an effective “shelf” registration statement. The shelf registration statement enables the Fund to issue up to $90,000,000 in proceeds through one or more public offerings. Shares may be offered at prices and terms to be set forth in one or more supplements to the Fund’s prospectus included in the shelf registration statement. Transactions in shares of common stock in at-the-market offerings, resulting in proceeds (net of commissions) to the Fund were as follows:

 

     For the Period Ended
April 30, 2020
     For the Year Ended
October 31, 2019
 

Shares issued through at-the-market offerings

             

Proceeds (net of commissions)

   $      $  

Note 8. Contingencies

In the normal course of business, the Fund may provide general indemnifications pursuant to certain contracts and organizational documents. The Fund’s maximum exposure under these arrangements is dependent on future claims that may be made against the Fund and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote.

 

32


Credit Suisse High Yield Bond Fund

Shareholder Meeting Results (unaudited)

 

 

On February 11, 2020, the Annual Meeting of Shareholders of the Credit Suisse High Yield Bond Fund (the “Fund”) was held and the following matter was voted upon:

(1) To elect one Trustee to the Board of Trustees of the Fund:

 

NOMINEE   

“FOR” NOMINEE

  

WITHHELD

Jeffrey E. Garten

   79,857,437    5,251,941

In addition to the Trustee elected at the meeting, Laura A. DeFelice, Mahendra R, Gupta, John G. Popp and Steven N. Rappaport continue to serve as Trustees of the Fund.

 

33


Credit Suisse High Yield Bond Fund

Board Approval of Investment Management Agreement (unaudited)

 

 

In approving the renewal of the current Advisory Agreement for the Credit Suisse High Yield Bond Fund (the “Fund”), the Board of Trustees of the Fund (the “Board”), including all of the Trustees who are not “interested persons” of the Fund as defined in the Investment Company Act of 1940 (the “Independent Trustees”), at a Special Telephonic Meeting held on November 5, 2019 where the Board discussed information and materials previously provided to them in connection with the renewal of the Advisory Agreement and at an in-person meeting held on November 11 and 12, 2019 considered the following factors:

Investment Advisory Fee Rates and Expenses

The Board reviewed and considered the contractual investment advisory fee rate of 1.00% of the average weekly value of the Fund’s total assets minus the sum of accrued liabilities (other than aggregate indebtedness constituting leverage) (the “Managed Assets”) less than or equal to $250 million and 0.75% of the Managed Assets greater than $250 million (the “Contractual Advisory Fee”) in light of the extent and quality of the advisory services provided by Credit Suisse Asset Management, LLC (“Credit Suisse”). The Board also reviewed and considered the voluntary fee waivers currently in place for the Fund and considered the actual fee rate of 0.817% paid by the Fund after taking waivers and breakpoints into account (the “Net Advisory Fee”). The Board noted that Credit Suisse, at the Board’s request, had revised the voluntary waiver as of January 1, 2011 so that it was voluntarily waiving 0.15% of the fees payable under the Advisory Agreement up to $200 million and 0.25% of the fees payable under the Advisory Agreement on the next $50 million. The Board acknowledged that voluntary fee waivers could be discontinued at any time but had received assurances that such waivers would remain in place over the next year.

Additionally, the Board considered information comparing the Contractual Advisory Fee less waivers and/or reimbursements (“Net Advisory Fee”) and the Fund’s overall expenses with those of funds in both the relevant expense group (“Expense Group”) and universe of funds (“Expense Universe”) provided by Broadridge, an independent provider of investment company data. The Board noted that the advisory fees and overall expenses were within the range of its peers as presented in the Broadridge report. The Board was provided with a description of the methodology used to arrive at the funds included in the Expense Group and the Expense Universe.

Nature, Extent and Quality of the Services under the Advisory Agreement

The Board received and considered information regarding the nature, extent and quality of services provided to the Fund by Credit Suisse under the Advisory Agreement. The Board also noted information received at regular meetings throughout the year related to the services rendered by Credit Suisse which, in addition to portfolio management and investment advisory services set forth in the Advisory Agreement, included credit analysis and research, supervising the day-to-day operations of the Fund’s non-advisory functions which included accounting, administration, custody, transfer agent and other applicable third party service providers, overseeing and facilitating audits, overseeing the Fund’s credit facility and supervising and/or preparing applicable Fund filings, disclosures and shareholder reports. The Board also considered Credit Suisse’s compliance program with respect to the Fund. The Board noted that Credit Suisse reports to the Board about portfolio management and compliance matters on a periodic basis. The Board reviewed background information about Credit Suisse including its Form ADV Part 2 – Disclosure Brochure and Brochure Supplement. The Board considered the background and experience of Credit Suisse’s senior management and the expertise of, and the amount of attention given to the Fund by, senior personnel of Credit Suisse. In addition, the Board reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day portfolio management of the Fund and the extent of the resources devoted to research and analysis of actual and potential investments,

 

34


Credit Suisse High Yield Bond Fund

Board Approval of Investment Management Agreement (unaudited) (continued)

 

 

as well as the resources provided to them. The Board evaluated the ability of Credit Suisse, based on its resources, reputation and other attributes, to attract and retain qualified investment professionals, including research, advisory, and supervisory personnel. The Board also received and considered information about the nature, extent and quality of services and fee rates offered to other Credit Suisse clients for comparable services. The Board acknowledged Credit Suisse’s representation that the services provided to the Fund are more extensive than the services provided in connection with other types of accounts such as separate accounts as well as the services offered and provided to a sub-advised fund. The Board also considered that the services provided by Credit Suisse have expanded over time as a result of regulatory and other developments.

Fund Performance

The Board considered the performance results of the Fund over the previous year as well as over longer time periods, along with comparisons both to the relevant performance group (“Performance Group”) and universe of funds (“Performance Universe”) for the Fund provided in the Broadridge materials. The Board was provided with a description of the methodology used to arrive at the funds included in the Performance Group and Performance Universe. The Board considered that the Fund has continued to trade well, either at a premium or a small discount to net asset value. The Board also considered the positive investment performance of the Fund over various investment periods relative its stated objectives as well as the performance of the Fund relative to its peers.

Credit Suisse Profitability

The Board received and considered a profitability analysis of Credit Suisse based on the fees payable under the Advisory Agreement for the Fund, including any fee waivers, as well as other relationships between the Fund on the one hand and Credit Suisse affiliates on the other. The Board deliberations also reflected Credit Suisse’s methodology for allocating costs to the Fund, recognizing that cost allocation methodologies are inherently subjective. The Board also received net profitability information for the other funds in the Credit Suisse family of funds, which include both open-end and closed-end funds. The Board also reviewed Credit Suisse’s profit margin as reflected in the profitability analysis, as well as reviewing profitability in light of appropriate court cases and the services rendered to the Fund.

Economies of Scale

The Board considered information regarding whether there have been economies of scale with respect to the management of the Fund, whether the Fund has appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Board noted that the Fund’s Contractual Advisory Fee had breakpoints that would allow investors to benefit directly in the form of lower fees as Fund assets grow, as well as the current voluntary expense waiver. Additionally, the Board noted the Fund’s current at-the-market offering as a result of the Fund’s shares trading at a premium to its net asset value and that between July and October, 2017, the Fund sold and issued approximately 2,869,600 new shares for a net profit/increase in assets of approximately $8,083,146. The Board received information regarding Credit Suisse’s profitability in connection with providing advisory services to the Fund, including Credit Suisse’s costs in providing the services.

Other Benefits to Credit Suisse

The Board considered other benefits received by Credit Suisse and its affiliates as a result of their relationship with the Fund. Such benefits include, among others, benefits potentially derived from an increase in Credit Suisse’s businesses and its reputation as a result of its relationship with the Fund (such as the ability to market its

 

35


Credit Suisse High Yield Bond Fund

Board Approval of Investment Management Agreement (unaudited) (continued)

 

 

advisory services to other clients or investors including separate account or third party sub-advised mandates or other financial products offered by Credit Suisse and its affiliates).

The Board considered the standards applied in seeking best execution and their policies and practices regarding soft dollars and reviewed Credit Suisse’s method for allocating portfolio investment opportunities among its advisory clients.

Other Factors and Broader Review

As discussed above, the Board reviewed detailed materials received from Credit Suisse as part of the annual approval process. The Board also reviews and assesses the quality of the services that the Fund receives from Credit Suisse throughout the year. In this regard, the Board reviews reports of Credit Suisse at least quarterly, which include, among other things, detailed portfolio and market reviews, detailed fund performance reports, and Credit Suisse’s compliance procedures.

Conclusions

In selecting Credit Suisse, and approving the renewal of the Advisory Agreement and the investment advisory fee under such agreement, the Board concluded that:

 

   

The Contractual Advisory Fee and Net Advisory Fee, reviewed along with information provided by Broadridge for funds in the Fund’s Expense Group and Expense Universe, were reasonable in relation to the services provided by Credit Suisse.

 

   

The Board was satisfied with the nature, extent and quality of the investment advisory services provided to the Fund by Credit Suisse and that, based on dialogue with management and counsel, the services provided by Credit Suisse under the Advisory Agreement are typical of, and consistent with, those provided to similar mutual funds by other investment advisers.

 

   

In light of the costs of providing investment management and other services to the Fund and Credit Suisse’s ongoing commitment to the Fund and willingness to waive fees, Credit Suisse’s net profitability based on fees payable under the Advisory Agreement, as well as other ancillary benefits that Credit Suisse and its affiliates received, were considered reasonable.

 

   

In light of the information received and considered by the Board, the Fund’s current fee structure was considered reasonable.

No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the renewal of the Advisory Agreement. The Independent Trustees were advised by separate independent legal counsel throughout the process.

 

36


Credit Suisse High Yield Bond Fund

Change in Independent Registered Public Accounting Firm (unaudited)

 

 

Effective June 25, 2020, KPMG LLP (“KPMG”) was dismissed as the independent registered public accounting firm to the Fund. The Audit Committee of the Board participated in, and approved, the decision to change the independent registered public accounting firm on June 25, 2020. KPMG’s reports on the Fund’s financial statements for the fiscal periods ended October 31, 2019 and October 31, 2018 contained no adverse opinion or disclaimer of opinion nor were they qualified or modified as to uncertainty, audit scope or accounting principle. During the Fund’s fiscal periods ended October 31, 2019 and October 31, 2018 and the subsequent interim period through June 25, 2020, (i) there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused them to make reference to the subject matter of the disagreements in connection with their reports on the Fund’s financial statements for such periods, and (ii) there were no “reportable events” of the kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended.

The Audit Committee of the Board approved the engagement of PricewaterhouseCoopers LLP (“PwC”) as the Fund’s independent registered public accounting firm for the fiscal year ending October 31, 2020. During the Fund’s fiscal periods ended October 31, 2019 and October 31, 2018 and the subsequent interim period through June 25, 2020, neither the Fund, nor anyone on its behalf, consulted with PwC on items which: (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Fund’s financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(v) of said Item 304).

 

37


Credit Suisse High Yield Bond Fund

Notice of Privacy and Information Practices (unaudited)

 

 

At Credit Suisse, we know that you are concerned with how we protect and handle nonpublic personal information that identifies you. This notice is designed to help you understand what nonpublic personal information we collect from you and from other sources, and how we use that information in connection with your investments and investment choices that may be available to you. Except where otherwise noted, this notice is applicable only to consumers who are current or former investors, meaning individual persons whose investments are primarily for household, family or personal use (“individual investors”). Specified sections of this notice, however, also apply to other types of investors (called “institutional investors”). Where the notice applies to institutional investors, the notice expressly states so. This notice is being provided by Credit Suisse Funds and Credit Suisse Closed-End Funds. This notice applies solely to U.S. registered investment companies advised by Credit Suisse Asset Management, LLC.

Categories of information we may collect:

We may collect information about you, including nonpublic personal information, such as

 

   

Information we receive from you on applications, forms, agreements, questionnaires, Credit Suisse websites and other websites that are part of our investment program, or in the course of establishing or maintaining a customer relationship, such as your name, address, e-mail address, Social Security number, assets, income, financial situation; and

 

   

Information we obtain from your transactions and experiences with us, our affiliates, or others, such as your account balances or other investment information, assets purchased and sold, and other parties to a transaction, where applicable.

Categories of information we disclose and parties to whom we disclose it:

 

   

We do not disclose nonpublic personal information about our individual investors, except as permitted or required by law or regulation. Whether you are an individual investor or institutional investor, we may share the information described above with our affiliates that perform services on our behalf, and with our asset management and private banking affiliates; as well as with unaffiliated third parties that perform services on our behalf, such as our accountants, auditors, attorneys, broker-dealers, fund administrators, and other service providers.

 

   

We want our investors to be informed about additional products or services. We do not disclose nonpublic personal information relating to individual investors to our affiliates for marketing purposes, nor do we use such information received from our affiliates to solicit individual investors for such purposes. Whether you are an individual investor or an institutional investor, we may disclose information, including nonpublic personal information, regarding our transactions and experiences with you to our affiliates.

 

   

In addition, whether you are an individual investor or an institutional investor, we reserve the right to disclose information, including nonpublic personal information, about you to any person or entity, including without limitation any governmental agency, regulatory authority or self-regulatory organization having jurisdiction over us or our affiliates, if (i) we determine in our discretion that such disclosure is necessary or advisable pursuant to or in connection with any United States federal, state or local, or non-U.S., court order (or other legal process), law, rule, regulation, or executive order or policy, including without limitation any anti-money laundering law or the USA PATRIOT Act of 2001; and (ii) such disclosure is not otherwise prohibited by law, rule, regulation, or executive order or policy.

 

38


Credit Suisse High Yield Bond Fund

Notice of Privacy and Information Practices (unaudited) (continued)

 

 

Confidentiality and security

 

   

To protect nonpublic personal information about individual investors, we restrict access to those employees and agents who need to know that information to provide products or services to us and to our investors. We maintain physical, electronic, and procedural safeguards to protect nonpublic personal information.

Other Disclosures

This notice is not intended to be incorporated in any offering materials, but is a statement of our current Notice of Privacy and Information Practices and may be amended from time to time. This notice is current as of May 19, 2020.

 

39


Credit Suisse High Yield Bond Fund

Proxy Voting and Portfolio Holdings Information (unaudited)

 

 

Information regarding how the Fund voted proxies related to its portfolio securities during the 12-month period ended June 30 of each year, as well as the policies and procedures that the Fund uses to determine how to vote proxies relating to its portfolio securities are available:

 

   

By calling 1-800-293-1232

 

   

On the Fund’s website, www.credit-suisse.com/us/funds

 

   

On the website of the Securities and Exchange Commission, www.sec.gov

The Fund files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at www.sec.gov.

Funds Managed by Credit Suisse Asset Management, LLC

 

CLOSED-END FUNDS

Fixed Income

Credit Suisse Asset Management Income Fund, Inc. (NYSE American: CIK)

Credit Suisse High Yield Bond Fund (NYSE American: DHY)

Literature Request — Call today for free descriptive information on the closed-ended funds listed above at 1-800-293-1232 or visit our website at www.credit-suisse.com/us/funds

 

 

OPEN-END FUNDS

 

Credit Suisse Commodity Return Strategy Fund    Credit Suisse Strategic Income Fund
Credit Suisse Floating Rate High Income Fund    Credit Suisse Managed Futures Strategy Fund
Credit Suisse Multialternative Strategy Fund   

Fund shares are not deposits or other obligation of Credit Suisse Asset Management, LLC or any affiliate, are not FDIC-insured and are not guaranteed by Credit Suisse Asset Management, LLC or any affiliate. Fund investments are subject to investment risks, including loss of your investment. There are special risk considerations associated with international, global, emerging-markets, small-company, private equity, high-yield debt, single-industry, single-country and other special, aggressive or concentrated investment strategies. Past performance cannot guarantee future results.

More complete information about a fund, including charges and expenses, is provided in the Prospectus, which should be read carefully before investing. You may obtain copies by calling Credit Suisse Funds at 1-877-870-2874. Performance information current to the most recent month-end is available at www.credit-suisse.com/us/funds.

Credit Suisse Securities (USA) LLC, Distributor.

 

40


This report, including the financial statements herein, is sent to the shareholders of the Fund for their information. It is not a prospectus, circular or representation intended for use in the purchase or sale of shares of the Fund or of any securities mentioned in this report.

 

 

DHY-SAR-0420


Item 2. Code of Ethics.

This item is inapplicable to a semi-annual report on Form N-CSR.

Item 3. Audit Committee Financial Expert.

This item is inapplicable to a semi-annual report on Form N-CSR.

Item 4. Principal Accountant Fees and Services.

This item is inapplicable to a semi-annual report on Form N-CSR.

Item 5. Audit Committee of Listed Registrants.

This item is inapplicable to a semi-annual report on Form N-CSR.

Item 6. Schedule of Investments.

Included as part of the report to shareholders filed under Item 1 of this Form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

This item is inapplicable to a semi-annual report on Form N-CSR.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

This item is inapplicable to a semi-annual report on Form N-CSR.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

None.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors since the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(g) of Schedule 14A in its definitive proxy statement dated December 27, 2019.

Item 11. 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 Exchange Act of 1934.

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


Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

This item is inapplicable to a semi-annual report on Form N-CSR.

Item 13. Exhibits.

(a)(1) Not applicable.

(a)(2) The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report.

(a)(3) Not applicable.

(b) The certifications of the registrant as required by Rule 30a-2(b) under the Act are an exhibit 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:   July 9, 2020

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:   July 9, 2020

/s/ Omar Tariq

Name:   Omar Tariq
Title:   Chief Financial Officer and Treasurer
Date:   July 9, 2020