Fund & Index | Performance | |||
Total Return (based on net asset value (“NAV”))1 |
9.80 | % | ||
Total Return (based on market value)1 |
11.56 | % | ||
ICE BofA US High Yield Constrained Index2 |
5.88 | % |
Thomas J. Flannery Chief Investment Officer* |
John G. Popp Chief Executive Officer and President** |
1 | Assuming reinvestment of distributions. |
2 | The ICE BofA 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. |
1 Year | 3 Years | 5 Years | 10 Years | |||||||||||||
Net Asset Value (NAV) |
0.73% | 9.25% | 3.98% | 5.64% | ||||||||||||
Market Value |
0.29% | 10.03% | 2.29% | 4.04% |
BBB |
2.1 | % | ||
BB |
28.8 | |||
B |
36.3 | |||
CCC |
23.2 | |||
CC |
0.0 | 1 | ||
D |
0.2 | |||
NR |
7.7 | |||
|
|
|||
Subtotal |
98.3 | |||
Equity and Other |
1.7 | |||
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%. |
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (98.1%) |
||||||||||||||||||
Aerospace & Defense (1.2%) |
||||||||||||||||||
$ | 300 | Bombardier, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/01/26 @ 103.75)(1) |
(B‑, B2) | 02/01/29 | 7.500 | $ | 295,615 | |||||||||||
1,505 | KBR, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/30/23 @ 102.38)(1) |
(BB‑, Ba3) | 09/30/28 | 4.750 | 1,393,284 | |||||||||||||
800 | TransDigm, Inc., Global Company Guaranteed Notes (Callable 05/30/23 @ 101.88) |
(B‑, B3) | 03/15/27 | 7.500 | 805,532 | |||||||||||||
|
|
|||||||||||||||||
2,494,431 | ||||||||||||||||||
|
|
|||||||||||||||||
Air Transportation (0.7%) |
||||||||||||||||||
450 | XO Management Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/01/24 @ 103.94)(1),(2) |
(B‑, Caa1) | 05/01/27 | 7.875 | 430,220 | |||||||||||||
1,200 | XO Management Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/01/25 @ 103.19)(1),(2) |
(B‑, Caa1) | 02/01/30 | 6.375 | 1,039,613 | |||||||||||||
|
|
|||||||||||||||||
1,469,833 | ||||||||||||||||||
|
|
|||||||||||||||||
Auto Parts & Equipment (1.2%) |
||||||||||||||||||
600 | Adient Global Holdings Ltd., Rule 144A, Senior Secured Notes (Callable 04/15/25 @ 103.50)(1) |
(BB+, Ba3) | 04/15/28 | 7.000 | 615,929 | |||||||||||||
1,480 | Clarios U.S. Finance Co., Rule 144A, Company Guaranteed Notes (Callable 05/30/23 @ 102.13)(1),(2) |
(B‑, Caa1) | 05/15/27 | 8.500 | 1,488,923 | |||||||||||||
546 | IHO Verwaltungs GmbH, 4.75% Cash, 5.50% PIK, Rule 144A, Senior Secured Notes (Callable 05/09/23 @ 101.58)(1),(3) |
(BB‑, Ba2) | 09/15/26 | 4.750 | 491,876 | |||||||||||||
|
|
|||||||||||||||||
2,596,728 | ||||||||||||||||||
|
|
|||||||||||||||||
Automakers (0.6%) |
||||||||||||||||||
300 | Thor Industries, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/24 @ 102.00)(1) |
(BB‑, B1) | 10/15/29 | 4.000 | 246,373 | |||||||||||||
990 | Winnebago Industries, Inc., Rule 144A, Senior Secured Notes (Callable 07/15/23 @ 103.13)(1) |
(BB+, Ba3) | 07/15/28 | 6.250 | 958,869 | |||||||||||||
|
|
|||||||||||||||||
1,205,242 | ||||||||||||||||||
|
|
|||||||||||||||||
Brokerage (0.9%) |
||||||||||||||||||
1,920 | StoneX Group, Inc., Rule 144A, Senior Secured Notes (Callable 05/30/23 @ 104.31)(1) |
(BB‑, Ba3) | 06/15/25 | 8.625 | 1,946,563 | |||||||||||||
|
|
|||||||||||||||||
Building & Construction (2.4%) |
||||||||||||||||||
2,010 | Adams Homes, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/15/23 @ 101.88)(1) |
(B+, B2) | 02/15/25 | 7.500 | 1,905,284 | |||||||||||||
1,000 | MasTec, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/15/24 @ 103.31)(1) |
(BBB‑, NR) | 08/15/29 | 6.625 | 910,566 | |||||||||||||
2,061 | Pike Corp., Rule 144A, Company Guaranteed Notes (Callable 09/01/23 @ 102.75)(1) |
(CCC+, B3) | 09/01/28 | 5.500 | 1,872,006 | |||||||||||||
525 | TopBuild Corp., Rule 144A, Company Guaranteed Notes (Callable 03/15/24 @ 101.81)(1) |
(BB+, Ba2) | 03/15/29 | 3.625 | 453,704 | |||||||||||||
|
|
|||||||||||||||||
5,141,560 | ||||||||||||||||||
|
|
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Building Materials (7.2%) |
||||||||||||||||||
$ | 2,250 | Advanced Drainage Systems, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/25 @ 103.19)(1) |
(BB‑, Ba2) | 06/15/30 | 6.375 | $ | 2,228,141 | |||||||||||
300 | Builders FirstSource, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/25 @ 102.50)(1) |
(BB‑, Ba2) | 03/01/30 | 5.000 | 280,646 | |||||||||||||
2,100 | Builders FirstSource, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/27 @ 103.19)(1) |
(BB‑, Ba2) | 06/15/32 | 6.375 | 2,095,229 | |||||||||||||
1,150 | Eco Material Technologies, Inc., Rule 144A, Senior Secured Notes (Callable 01/31/24 @ 103.94)(1) |
(B, B2) | 01/31/27 | 7.875 | 1,099,279 | |||||||||||||
3,389 | Foundation Building Materials, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/24 @ 103.00)(1) |
(CCC+, Caa1) | 03/01/29 | 6.000 | 2,709,711 | |||||||||||||
1,600 | GYP Holdings III Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/24 @ 102.31)(1) |
(B, B1) | 05/01/29 | 4.625 | 1,409,888 | |||||||||||||
359 | LBM Acquisition LLC, Rule 144A, Company Guaranteed Notes (Callable 01/15/24 @ 103.13)(1) |
(CCC, Caa2) | 01/15/29 | 6.250 | 285,029 | |||||||||||||
2,797 | MIWD Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/25 @ 102.75)(1) |
(B, B3) | 02/01/30 | 5.500 | 2,345,872 | |||||||||||||
1,750 | Oscar Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 04/15/25 @ 104.75)(1),(2) |
(CCC+, Caa1) | 04/15/30 | 9.500 | 1,533,122 | |||||||||||||
1,410 | Park River Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/24 @ 102.81)(1) |
(CCC, Caa1) | 02/01/29 | 5.625 | 1,034,052 | |||||||||||||
700 | Park River Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/24 @ 103.38)(1) |
(CCC, Caa1) | 08/01/29 | 6.750 | 512,276 | |||||||||||||
|
|
|||||||||||||||||
15,533,245 | ||||||||||||||||||
|
|
|||||||||||||||||
Cable & Satellite TV (3.0%) |
||||||||||||||||||
600 | CCO Holdings Capital Corp., Rule 144A, Senior Unsecured Notes (Callable 03/01/26 @ 103.69)(1) |
(BB‑, B1) | 03/01/31 | 7.375 | 588,364 | |||||||||||||
1,315 | CSC Holdings LLC, Global Senior Unsecured Notes |
(CCC+, Caa1) | 06/01/24 | 5.250 | 1,283,400 | |||||||||||||
525 | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 05/30/23 @ 101.83)(1) |
(B, B1) | 04/15/27 | 5.500 | 449,555 | |||||||||||||
750 | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 05/30/23 @ 102.69)(1) |
(B, B1) | 02/01/28 | 5.375 | 616,146 | |||||||||||||
900 | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 11/15/26 @ 102.25)(1) |
(B, B1) | 11/15/31 | 4.500 | 631,449 | |||||||||||||
2,000 | Telenet Finance Luxembourg Notes Sarl, Rule 144A, Senior Secured Notes (Callable 05/09/23 @ 102.75)(1) |
(BB‑, Ba3) | 03/01/28 | 5.500 | 1,860,500 | |||||||||||||
1,200 | UPC Broadband Finco B.V., Rule 144A, Senior Secured Notes (Callable 07/15/26 @ 102.44)(1) |
(BB‑, B1) | 07/15/31 | 4.875 | 1,036,764 | |||||||||||||
|
|
|||||||||||||||||
6,466,178 | ||||||||||||||||||
|
|
|||||||||||||||||
Chemicals (4.5%) |
||||||||||||||||||
300 | Avient Corp., Rule 144A, Senior Unsecured Notes (Callable 05/30/23 @ 101.44)(1) |
(BB‑, Ba3) | 05/15/25 | 5.750 | 300,112 | |||||||||||||
715 | Avient Corp., Rule 144A, Senior Unsecured Notes (Callable 08/01/25 @ 103.56)(1) |
(BB‑, Ba3) | 08/01/30 | 7.125 | 731,612 |
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Chemicals |
||||||||||||||||||
$ | 950 | Herens Holdco Sarl, Rule 144A, Senior Secured Notes (Callable 05/15/24 @ 102.38)(1) |
(B‑, B2) | 05/15/28 | 4.750 | $ | 788,595 | |||||||||||
1,200 | Herens Midco Sarl, Rule 144A, Company Guaranteed Notes (Callable 05/15/24 @ 102.63)(1),(4) |
(CCC, Caa2) | 05/15/29 | 5.250 | 897,632 | |||||||||||||
1,350 | INEOS Finance PLC, Rule 144A, Senior Secured Notes (Callable 02/15/25 @ 103.38)(1),(2) |
(BB, Ba2) | 05/15/28 | 6.750 | 1,334,434 | |||||||||||||
525 | Olympus Water U.S. Holding Corp., Rule 144A, Senior Unsecured Notes (Callable 10/01/24 @ 103.13)(1),(2) |
(CCC+, Caa2) | 10/01/29 | 6.250 | 414,661 | |||||||||||||
2,100 | Schenectady International Group, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/30/23 @ 103.38)(1) |
(CCC, Caa2) | 05/15/26 | 6.750 | 1,277,735 | |||||||||||||
1,200 | Tronox, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/15/24 @ 102.31)(1) |
(BB‑, B1) | 03/15/29 | 4.625 | 998,948 | |||||||||||||
3,335 | Vibrantz Technologies, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/25 @ 104.50)(1) |
(CCC+, Caa2) | 02/15/30 | 9.000 | 2,553,234 | |||||||||||||
500 | WR Grace Holdings LLC, Rule 144A, Senior Secured Notes (Callable 03/01/26 @ 103.69)(1) |
(B, B1) | 03/01/31 | 7.375 | 501,627 | |||||||||||||
|
|
|||||||||||||||||
9,798,590 | ||||||||||||||||||
|
|
|||||||||||||||||
Consumer/Commercial/Lease Financing (1.2%) |
||||||||||||||||||
2,900 | Cargo Aircraft Management, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/15/23 @ 102.38)(1) |
(BB, Ba2) | 02/01/28 | 4.750 | 2,606,201 | |||||||||||||
|
|
|||||||||||||||||
Diversified Capital Goods (0.8%) |
||||||||||||||||||
2,025 | Atkore, Inc., Rule 144A, Senior Unsecured Notes (Callable 06/01/26 @ 102.13)(1) |
(BB, Ba2) | 06/01/31 | 4.250 | 1,785,257 | |||||||||||||
|
|
|||||||||||||||||
Electronics (0.8%) |
||||||||||||||||||
751 | Coherent Corp., Rule 144A, Company Guaranteed Notes (Callable 12/14/24 @ 102.50)(1) |
(B+, B2) | 12/15/29 | 5.000 | 668,158 | |||||||||||||
1,200 | Synaptics, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/24 @ 102.00)(1) |
(B+, Ba3) | 06/15/29 | 4.000 | 1,015,305 | |||||||||||||
|
|
|||||||||||||||||
1,683,463 | ||||||||||||||||||
|
|
|||||||||||||||||
Energy - Exploration & Production (2.4%) |
||||||||||||||||||
62 | CNX Resources Corp., Rule 144A, Company Guaranteed Notes (Callable 05/30/23 @ 103.63)(1) |
(BB, B1) | 03/14/27 | 7.250 | 61,376 | |||||||||||||
800 | CNX Resources Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/24 @ 104.50)(1) |
(BB, B1) | 01/15/29 | 6.000 | 740,902 | |||||||||||||
2,515 | Northern Oil & Gas, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/01/24 @ 104.06)(1) |
(B+, B3) | 03/01/28 | 8.125 | 2,486,228 | |||||||||||||
2,100 | Rockcliff Energy II LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/24 @ 102.75)(1) |
(B+, B3) | 10/15/29 | 5.500 | 1,902,527 | |||||||||||||
|
|
|||||||||||||||||
5,191,033 | ||||||||||||||||||
|
|
|||||||||||||||||
Environmental (0.4%) |
||||||||||||||||||
900 | Darling Ingredients, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/25 @ 103.00)(1) |
(BB+, Ba2) | 06/15/30 | 6.000 | 891,198 | |||||||||||||
|
|
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Food - Wholesale (0.5%) |
||||||||||||||||||
$ | 1,150 | U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/25 @ 102.31)(1),(2) |
(B+, B3) | 06/01/30 | 4.625 | $ | 1,052,717 | |||||||||||
|
|
|||||||||||||||||
Gaming (2.2%) |
||||||||||||||||||
500 | Boyd Gaming Corp., Rule 144A, Company Guaranteed Notes (Callable 06/15/26 @ 102.38)(1) |
(BB, B1) | 06/15/31 | 4.750 | 458,284 | |||||||||||||
1,200 | CDI Escrow Issuer, Inc., Rule 144A, Senior Unsecured Notes (Callable 04/01/25 @ 102.88)(1) |
(B+, B1) | 04/01/30 | 5.750 | 1,158,204 | |||||||||||||
1,250 | Churchill Downs, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/01/26 @ 103.38)(1) |
(B+, B1) | 05/01/31 | 6.750 | 1,258,300 | |||||||||||||
332 | Churchill Downs, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/30/23 @ 102.38)(1) |
(B+, B1) | 01/15/28 | 4.750 | 314,828 | |||||||||||||
618 | Fertitta Entertainment Finance Co., Inc., Rule 144A, Senior Secured Notes (Callable 01/15/25 @ 102.31)(1) |
(B, B2) | 01/15/29 | 4.625 | 541,659 | |||||||||||||
1,238 | Jacobs Entertainment, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/25 @ 103.38)(1) |
(B, B2) | 02/15/29 | 6.750 | 1,078,174 | |||||||||||||
|
|
|||||||||||||||||
4,809,449 | ||||||||||||||||||
|
|
|||||||||||||||||
Gas Distribution (5.0%) |
||||||||||||||||||
1,200 | CNX Midstream Partners LP, Rule 144A, Company Guaranteed Notes (Callable 04/15/25 @ 102.38)(1) |
(BB, B1) | 04/15/30 | 4.750 | 1,006,164 | |||||||||||||
1,125 | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 05/30/23 @ 101.56) |
(B, B2) | 05/15/26 | 6.250 | 1,085,230 | |||||||||||||
429 | Genesis Energy Finance Corp., Global Company Guaranteed Notes (Callable 04/15/26 @ 104.44) |
(B, B2) | 04/15/30 | 8.875 | 430,116 | |||||||||||||
1,800 | Hess Midstream Operations LP, Rule 144A, Company Guaranteed Notes (Callable 06/15/23 @ 102.56)(1) |
(BB+, Ba2) | 06/15/28 | 5.125 | 1,712,169 | |||||||||||||
600 | Hess Midstream Operations LP, Rule 144A, Company Guaranteed Notes (Callable 10/15/25 @ 102.75)(1) |
(BB+, Ba2) | 10/15/30 | 5.500 | 559,483 | |||||||||||||
600 | Holly Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 103.19)(1) |
(BB+, Ba3) | 04/15/27 | 6.375 | 592,252 | |||||||||||||
300 | Matador Resources Co., Rule 144A, Company Guaranteed Notes (Callable 04/15/25 @ 103.44)(1) |
(BB‑, B1) | 04/15/28 | 6.875 | 302,219 | |||||||||||||
600 | New Fortress Energy, Inc., Rule 144A, Senior Secured Notes (Callable 05/19/23 @ 103.38)(1) |
(BB, B1) | 09/15/25 | 6.750 | 572,324 | |||||||||||||
1,450 | New Fortress Energy, Inc., Rule 144A, Senior Secured Notes (Callable 05/30/23 @ 103.25)(1) |
(BB, B1) | 09/30/26 | 6.500 | 1,332,634 | |||||||||||||
1,770 | Rockies Express Pipeline LLC, Rule 144A, Senior Unsecured Notes (Callable 04/15/29 @ 100.00)(1) |
(BB+, Ba2) | 07/15/29 | 4.950 | 1,636,808 | |||||||||||||
915 | Rockies Express Pipeline LLC, Rule 144A, Senior Unsecured Notes (Callable 02/15/30 @ 100.00)(1) |
(BB+, Ba2) | 05/15/30 | 4.800 | 816,215 | |||||||||||||
750 | Tallgrass Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 05/30/23 @ 105.63)(1) |
(BB‑, B1) | 10/01/25 | 7.500 | 756,543 | |||||||||||||
|
|
|||||||||||||||||
10,802,157 | ||||||||||||||||||
|
|
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Health Facility (0.2%) |
||||||||||||||||||
$ | 600 | Option Care Health, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/31/24 @ 102.19)(1) |
(B‑, B3) | 10/31/29 | 4.375 | $ | 538,645 | |||||||||||
|
|
|||||||||||||||||
Health Services (2.0%) |
||||||||||||||||||
1,560 | AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.00)(1) |
(BB‑, Ba3) | 04/15/29 | 4.000 | 1,374,649 | |||||||||||||
2,400 | AthenaHealth Group, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/25 @ 103.25)(1),(2) |
(CCC, Caa2) | 02/15/30 | 6.500 | 1,972,635 | |||||||||||||
969 | Pediatrix Medical Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/25 @ 102.69)(1),(2) |
(BB‑, Ba3) | 02/15/30 | 5.375 | 886,029 | |||||||||||||
|
|
|||||||||||||||||
4,233,313 | ||||||||||||||||||
|
|
|||||||||||||||||
Insurance Brokerage (4.9%) |
||||||||||||||||||
1,000 | Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/30/23 @ 107.59)(1),(2) |
(CCC+, Caa2) | 08/01/26 | 10.125 | 1,018,692 | |||||||||||||
893 | GTCR AP Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/30/23 @ 102.00)(1) |
(CCC+, Caa2) | 05/15/27 | 8.000 | 874,033 | |||||||||||||
1,200 | Jones Deslauriers Insurance Management, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/26 @ 104.25)(1) |
(B‑, B2) | 03/15/30 | 8.500 | 1,215,372 | |||||||||||||
1,500 | Jones Deslauriers Insurance Management, Inc., Rule 144A, Senior Unsecured Notes (Callable 12/15/25 @ 105.25)(1) |
(CCC, Caa2) | 12/15/30 | 10.500 | 1,525,987 | |||||||||||||
950 | NFP Corp., Rule 144A, Senior Secured Notes (Callable 08/15/23 @ 102.44)(1) |
(B, B1) | 08/15/28 | 4.875 | 866,020 | |||||||||||||
600 | NFP Corp., Rule 144A, Senior Secured Notes (Callable 10/01/25 @ 103.75)(1) |
(B, B1) | 10/01/30 | 7.500 | 588,606 | |||||||||||||
4,055 | NFP Corp., Rule 144A, Senior Unsecured Notes (Callable 08/15/23 @ 103.44)(1) |
(CCC+, Caa2) | 08/15/28 | 6.875 | 3,541,540 | |||||||||||||
1,200 | Ryan Specialty Group LLC, Rule 144A, Senior Secured Notes (Callable 02/01/25 @ 102.19)(1) |
(BB‑, B1) | 02/01/30 | 4.375 | 1,070,822 | |||||||||||||
|
|
|||||||||||||||||
10,701,072 | ||||||||||||||||||
|
|
|||||||||||||||||
Investments & Misc. Financial Services (3.4%) |
||||||||||||||||||
2,850 | Armor Holdco, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 104.25)(1) |
(CCC+, Caa1) | 11/15/29 | 8.500 | 2,367,623 | |||||||||||||
2,050 | Compass Group Diversified Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.63)(1) |
(B+, B1) | 04/15/29 | 5.250 | 1,847,601 | |||||||||||||
1,150 | Compass Group Diversified Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 01/15/27 @ 102.50)(1) |
(B+, B1) | 01/15/32 | 5.000 | 936,040 | |||||||||||||
1,560 | Home Point Capital, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/30/23 @ 102.50)(1) |
(NR, Caa1) | 02/01/26 | 5.000 | 1,320,127 | |||||||||||||
300 | Paysafe Holdings U.S. Corp., Rule 144A, Senior Secured Notes (Callable 06/15/24 @ 102.00)(1),(2) |
(B, B2) | 06/15/29 | 4.000 | 234,803 | |||||||||||||
600 | Shift4 Payments Finance Sub, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/30/23 @ 102.31)(1),(2) |
(NR, Ba3) | 11/01/26 | 4.625 | 564,946 | |||||||||||||
|
|
|||||||||||||||||
7,271,140 | ||||||||||||||||||
|
|
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Machinery (4.6%) |
||||||||||||||||||
$ | 2,150 | Arcosa, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.19)(1) |
(BB, Ba2) | 04/15/29 | 4.375 | $ | 1,959,259 | |||||||||||
2,195 | ATS Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/23 @ 102.06)(1) |
(BB‑, B2) | 12/15/28 | 4.125 | 1,965,531 | |||||||||||||
2,100 | Dornoch Debt Merger Sub, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/15/24 @ 103.31)(1) |
(CCC, Caa2) | 10/15/29 | 6.625 | 1,558,369 | |||||||||||||
3,335 | Harsco Corp., Rule 144A, Company Guaranteed Notes (Callable 05/30/23 @ 102.88)(1) |
(B, B3) | 07/31/27 | 5.750 | 2,756,223 | |||||||||||||
600 | Hillenbrand, Inc., Global Company Guaranteed Notes (Callable 05/09/23 @ 102.88) |
(BB+, Ba1) | 06/15/25 | 5.750 | 599,705 | |||||||||||||
500 | Regal Rexnord Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/29 @ 100.00)(1) |
(BB+, Baa3) | 02/15/30 | 6.300 | 509,012 | |||||||||||||
500 | Regal Rexnord Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/33 @ 100.00)(1) |
(BB+, Baa3) | 04/15/33 | 6.400 | 509,596 | |||||||||||||
|
|
|||||||||||||||||
9,857,695 | ||||||||||||||||||
|
|
|||||||||||||||||
Managed Care (0.3%) |
||||||||||||||||||
750 | HealthEquity, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/24 @ 102.25)(1) |
(B, B3) | 10/01/29 | 4.500 | 671,588 | |||||||||||||
|
|
|||||||||||||||||
Media - Diversified (0.1%) |
||||||||||||||||||
300 | News Corp., Rule 144A, Company Guaranteed Notes (Callable 02/15/27 @ 102.56)(1) |
(BB+, Ba1) | 02/15/32 | 5.125 | 276,957 | |||||||||||||
|
|
|||||||||||||||||
Media Content (0.5%) |
||||||||||||||||||
1,200 | Sirius XM Radio, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/01/24 @ 102.75)(1) |
(BB, Ba3) | 07/01/29 | 5.500 | 1,071,372 | |||||||||||||
|
|
|||||||||||||||||
Metals & Mining - Excluding Steel (5.0%) |
||||||||||||||||||
1,200 | Alcoa Nederland Holding B.V., Rule 144A, Company Guaranteed Notes (Callable 06/15/23 @ 102.75)(1) |
(BB+, Baa3) | 12/15/27 | 5.500 | 1,183,122 | |||||||||||||
375 | Canpack U.S. LLC, Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 101.94)(1) |
(BB‑, NR) | 11/15/29 | 3.875 | 301,180 | |||||||||||||
2,700 | ERO Copper Corp., Rule 144A, Company Guaranteed Notes (Callable 02/15/25 @ 103.25)(1) |
(B, B1) | 02/15/30 | 6.500 | 2,404,620 | |||||||||||||
2,150 | First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes (Callable 05/09/23 @ 101.72)(1) |
(B+, NR) | 03/01/26 | 6.875 | 2,109,021 | |||||||||||||
600 | Kaiser Aluminum Corp., Rule 144A, Company Guaranteed Notes (Callable 05/30/23 @ 102.31)(1) |
(BB‑, B2) | 03/01/28 | 4.625 | 530,412 | |||||||||||||
600 | Kaiser Aluminum Corp., Rule 144A, Company Guaranteed Notes (Callable 06/01/26 @ 102.25)(1) |
(BB‑, B2) | 06/01/31 | 4.500 | 476,241 | |||||||||||||
182 | Novelis Corp., Rule 144A, Company Guaranteed Notes (Callable 01/30/25 @ 102.38)(1) |
(BB, Ba3) | 01/30/30 | 4.750 | 164,991 | |||||||||||||
1,692 | SunCoke Energy, Inc., Rule 144A, Senior Secured Notes (Callable 06/30/24 @ 102.44)(1) |
(BB, B1) | 06/30/29 | 4.875 | 1,474,730 |
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Metals & Mining - Excluding Steel |
||||||||||||||||||
$ | 2,325 | Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 05/29/23 @ 103.50)(1) |
(B‑, B3) | 02/15/26 | 7.000 | $ | 2,147,051 | |||||||||||
|
|
|||||||||||||||||
10,791,368 | ||||||||||||||||||
|
|
|||||||||||||||||
Non - Electric Utilities (0.4%) |
||||||||||||||||||
900 | Suburban Energy Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 06/01/26 @ 102.50)(1) |
(BB‑, B1) | 06/01/31 | 5.000 | 787,975 | |||||||||||||
|
|
|||||||||||||||||
Packaging (3.8%) |
||||||||||||||||||
690 | Ardagh Metal Packaging Finance PLC, Rule 144A, Senior Unsecured Notes (Callable 05/15/24 @ 101.50)(1),(4) |
(B+, Caa1) | 09/01/29 | 3.000 | 561,713 | |||||||||||||
600 | Ball Corp., Global Company Guaranteed Notes (Callable 11/15/24 @ 103.44) |
(BB+, Ba1) | 03/15/28 | 6.875 | 622,463 | |||||||||||||
300 | Chart Industries, Inc., Rule 144A, Senior Secured Notes (Callable 01/01/26 @ 103.75)(1) |
(B+, Ba3) | 01/01/30 | 7.500 | 309,375 | |||||||||||||
600 | Intelligent Packaging Ltd. Co‑Issuer LLC, Rule 144A, Senior Secured Notes (Callable 05/30/23 @ 103.00)(1) |
(B‑, B3) | 09/15/28 | 6.000 | 500,228 | |||||||||||||
750 | Mauser Packaging Solutions Holding Co., Rule 144A, Senior Secured Notes (Callable 08/15/24 @ 103.94)(1) |
(B, B2) | 08/15/26 | 7.875 | 758,869 | |||||||||||||
1,200 | Trident TPI Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/31/25 @ 106.38)(1) |
(CCC+, Caa2) | 12/31/28 | 12.750 | 1,229,760 | |||||||||||||
1,500 | Trident TPI Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/04/23 @ 102.31)(1) |
(CCC+, Caa2) | 08/01/24 | 9.250 | 1,535,700 | |||||||||||||
3,060 | TriMas Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.06)(1) |
(BB‑, Ba3) | 04/15/29 | 4.125 | 2,726,888 | |||||||||||||
|
|
|||||||||||||||||
8,244,996 | ||||||||||||||||||
|
|
|||||||||||||||||
Personal & Household Products (0.9%) |
||||||||||||||||||
2,000 | High Ridge Brands Co., Rule 144A, Company Guaranteed Notes(1),(5),(6),(7),(8) |
(NR, NR) | 03/15/25 | 0.000 | 18,750 | |||||||||||||
2,400 | MajorDrive Holdings IV LLC, Rule 144A, Senior Unsecured Notes (Callable 06/01/24 @ 103.19)(1) |
(CCC+, Caa2) | 06/01/29 | 6.375 | 1,898,160 | |||||||||||||
|
|
|||||||||||||||||
1,916,910 | ||||||||||||||||||
|
|
|||||||||||||||||
Pharmaceuticals (1.3%) |
||||||||||||||||||
600 | Bausch Health Cos., Inc., Rule 144A, Senior Secured Notes (Callable 06/01/24 @ 102.44)(1) |
(CCC+, Caa1) | 06/01/28 | 4.875 | 395,856 | |||||||||||||
1,064 | Emergent BioSolutions, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/23 @ 101.94)(1) |
(B, Caa2) | 08/15/28 | 3.875 | 564,936 | |||||||||||||
800 | Grifols Escrow Issuer S.A., Rule 144A, Senior Unsecured Notes (Callable 10/15/24 @ 102.38)(1) |
(B‑, Caa1) | 10/15/28 | 4.750 | 638,587 | |||||||||||||
1,500 | Syneos Health, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/24 @ 101.81)(1) |
(BB‑, B1) | 01/15/29 | 3.625 | 1,254,900 | |||||||||||||
|
|
|||||||||||||||||
2,854,279 | ||||||||||||||||||
|
|
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Real Estate Investment Trusts (1.1%) |
||||||||||||||||||
$ | 1,906 | Global Net Lease Operating Partnership LP, Rule 144A, Company Guaranteed Notes (Callable 09/15/27 @ 100.00)(1) |
(BBB‑, Ba3u) | 12/15/27 | 3.750 | $ | 1,447,970 | |||||||||||
600 | Starwood Property Trust, Inc., Rule 144A, Senior Unsecured Notes (Callable 01/15/26 @ 100.00)(1) |
(BB‑, Ba3) | 07/15/26 | 3.625 | 516,882 | |||||||||||||
600 | Starwood Property Trust, Inc., Rule 144A, Senior Unsecured Notes (Callable 07/15/26 @ 100.00)(1) |
(BB‑, Ba3) | 01/15/27 | 4.375 | 517,593 | |||||||||||||
|
|
|||||||||||||||||
2,482,445 | ||||||||||||||||||
|
|
|||||||||||||||||
Recreation & Travel (5.6%) |
||||||||||||||||||
2,400 | Boyne U.S.A., Inc., Rule 144A, Senior Unsecured Notes (Callable 05/15/24 @ 102.38)(1) |
(B, B1) | 05/15/29 | 4.750 | 2,175,688 | |||||||||||||
3,475 | SeaWorld Parks & Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/24 @ 102.63)(1),(2) |
(B, B3) | 08/15/29 | 5.250 | 3,130,732 | |||||||||||||
450 | SeaWorld Parks & Entertainment, Inc., Rule 144A, Senior Secured Notes (Callable 05/30/23 @ 102.19)(1) |
(BB, Ba3) | 05/01/25 | 8.750 | 460,647 | |||||||||||||
1,500 | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 05/15/26 @ 103.63)(1) |
(B, B3) | 05/15/31 | 7.250 | 1,467,600 | |||||||||||||
2,150 | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 05/30/23 @ 100.00)(1) |
(B, B3) | 07/31/24 | 4.875 | 2,151,345 | |||||||||||||
2,835 | Speedway Funding II, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/30/23 @ 102.44)(1) |
(BB, B2) | 11/01/27 | 4.875 | 2,634,948 | |||||||||||||
|
|
|||||||||||||||||
12,020,960 | ||||||||||||||||||
|
|
|||||||||||||||||
Restaurants (0.2%) |
||||||||||||||||||
376 | Yum! Brands, Inc., Global Senior Unsecured Notes (Callable 04/01/27 @ 102.69) |
(BB, Ba3) | 04/01/32 | 5.375 | 367,634 | |||||||||||||
|
|
|||||||||||||||||
Software - Services (7.3%) |
||||||||||||||||||
1,300 | Central Parent, Inc., Rule 144A, Senior Secured Notes (Callable 06/15/25 @ 103.63)(1) |
(B+, B1) | 06/15/29 | 7.250 | 1,288,691 | |||||||||||||
2,550 | Elastic NV, Rule 144A, Senior Unsecured Notes (Callable 07/15/24 @ 102.06)(1) |
(B+, B1) | 07/15/29 | 4.125 | 2,208,593 | |||||||||||||
2,675 | Newfold Digital Holdings Group, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/24 @ 103.00)(1) |
(CCC+, Caa2) | 02/15/29 | 6.000 | 1,839,260 | |||||||||||||
945 | Open Text Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/24 @ 101.94)(1) |
(BB‑, Ba3) | 12/01/29 | 3.875 | 795,324 | |||||||||||||
1,200 | Open Text Corp., Rule 144A, Senior Secured Notes (Callable 11/01/27 @ 100.00)(1) |
(BBB‑, Ba1) | 12/01/27 | 6.900 | 1,240,706 | |||||||||||||
1,250 | Open Text Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/01/26 @ 102.06)(1) |
(BB‑, Ba3) | 12/01/31 | 4.125 | 1,036,101 | |||||||||||||
2,512 | Presidio Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/30/23 @ 104.13)(1) |
(CCC+, Caa1) | 02/01/28 | 8.250 | 2,369,272 | |||||||||||||
4,060 | Virtusa Corp., Rule 144A, Senior Unsecured Notes (Callable 12/15/23 @ 103.56)(1) |
(CCC+, Caa1) | 12/15/28 | 7.125 | 3,272,302 | |||||||||||||
2,100 | ZoomInfo Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/24 @ 101.94)(1),(2) |
(B+, B1) | 02/01/29 | 3.875 | 1,812,694 | |||||||||||||
|
|
|||||||||||||||||
15,862,943 | ||||||||||||||||||
|
|
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Specialty Retail (3.5%) |
||||||||||||||||||
$ | 61 | Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 05/09/23 @ 102.25) |
(BB, B1) | 03/01/28 | 4.500 | $ | 55,483 | |||||||||||
733 | Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 03/01/25 @ 102.38) |
(BB, B1) | 03/01/30 | 4.750 | 651,373 | |||||||||||||
300 | Asbury Automotive Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 102.31)(1) |
(BB, B1) | 11/15/29 | 4.625 | 267,379 | |||||||||||||
300 | Asbury Automotive Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/26 @ 102.50)(1) |
(BB, B1) | 02/15/32 | 5.000 | 258,728 | |||||||||||||
102 | Eagle Intermediate Global Holdings B.V.(6),(8) |
(NR, NR) | 05/01/25 | 0.000 | 50,582 | |||||||||||||
77 | Eagle Intermediate Global Holdings B.V., Rule 144A, Senior Secured Notes (Callable 05/09/23 @ 101.88)(1),(6),(8) |
(NR, NR) | 05/01/25 | 7.500 | 48,384 | |||||||||||||
2,800 | Eagle Intermediate Global Holdings B.V., Rule 144A, Senior Secured Notes (Callable 05/09/23 @ 101.88)(1) |
(NR, Caa2) | 05/01/25 | 7.500 | 1,816,500 | |||||||||||||
1,425 | eG Global Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/30/23 @ 102.13)(1) |
(B‑, B3) | 10/30/25 | 8.500 | 1,353,590 | |||||||||||||
600 | LCM Investments Holdings II LLC, Rule 144A, Senior Unsecured Notes (Callable 05/01/24 @ 102.44)(1) |
(BB‑, B2) | 05/01/29 | 4.875 | 512,054 | |||||||||||||
600 | Murphy Oil U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/26 @ 101.88)(1) |
(BB+, Ba2) | 02/15/31 | 3.750 | 513,900 | |||||||||||||
900 | Sonic Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 102.31)(1),(2) |
(BB‑, B1) | 11/15/29 | 4.625 | 756,068 | |||||||||||||
1,725 | Sonic Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/26 @ 102.44)(1),(2) |
(BB‑, B1) | 11/15/31 | 4.875 | 1,394,611 | |||||||||||||
|
|
|||||||||||||||||
7,678,652 | ||||||||||||||||||
|
|
|||||||||||||||||
Steel Producers/Products (0.9%) |
||||||||||||||||||
2,395 | TMS International Corp., Rule 144A, Senior Unsecured Notes (Callable 04/15/24 @ 103.13)(1) |
(B, Caa1) | 04/15/29 | 6.250 | 1,858,894 | |||||||||||||
|
|
|||||||||||||||||
Support - Services (8.0%) |
||||||||||||||||||
602 | Allied Universal Finance Corp., Rule 144A, Senior Secured Notes (Callable 06/01/24 @ 102.31)(1) |
(B, B2) | 06/01/28 | 4.625 | 524,652 | |||||||||||||
1,821 | Allied Universal Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 05/30/23 @ 104.88)(1) |
(CCC+, Caa1) | 07/15/27 | 9.750 | 1,696,099 | |||||||||||||
1,950 | Allied Universal Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 06/01/24 @ 103.00)(1),(2) |
(CCC+, Caa1) | 06/01/29 | 6.000 | 1,530,738 | |||||||||||||
600 | Clarivate Science Holdings Corp., Rule 144A, Company Guaranteed Notes (Callable 06/30/24 @ 102.44)(1),(2) |
(B‑, Caa1) | 07/01/29 | 4.875 | 536,402 | |||||||||||||
3,900 | CoreLogic, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/24 @ 102.25)(1) |
(B‑, B2) | 05/01/28 | 4.500 | 3,192,247 | |||||||||||||
3,065 | GEMS Education Delaware LLC, Rule 144A, Senior Secured Notes (Callable 05/29/23 @ 103.56)(1) |
(B, B2) | 07/31/26 | 7.125 | 2,990,988 | |||||||||||||
775 | H&E Equipment Services, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/23 @ 101.94)(1) |
(BB‑, B2) | 12/15/28 | 3.875 | 671,450 | |||||||||||||
500 | TriNet Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/24 @ 101.75)(1) |
(BB+, Ba2) | 03/01/29 | 3.500 | 437,743 |
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Support - Services |
||||||||||||||||||
$ | 900 | United Rentals North America, Inc., Rule 144A, Senior Secured Notes (Callable 12/15/25 @ 103.00)(1) |
(BBB‑, Baa3) | 12/15/29 | 6.000 | $ | 914,249 | |||||||||||
750 | WESCO Distribution, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/30/23 @ 103.56)(1) |
(BB, Ba3) | 06/15/25 | 7.125 | 764,595 | |||||||||||||
750 | WESCO Distribution, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/23 @ 103.63)(1) |
(BB, Ba3) | 06/15/28 | 7.250 | 771,500 | |||||||||||||
1,821 | White Cap Buyer LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/23 @ 103.44)(1) |
(CCC+, Caa1) | 10/15/28 | 6.875 | 1,581,144 | |||||||||||||
865 | Williams Scotsman International, Inc., Rule 144A, Senior Secured Notes (Callable 08/15/23 @ 102.31)(1) |
(B+, B2) | 08/15/28 | 4.625 | 796,638 | |||||||||||||
1,050 | ZipRecruiter, Inc., Rule 144A, Senior Unsecured Notes (Callable 01/15/25 @ 102.50)(1) |
(BB‑, B2) | 01/15/30 | 5.000 | 918,104 | |||||||||||||
|
|
|||||||||||||||||
17,326,549 | ||||||||||||||||||
|
|
|||||||||||||||||
Tech Hardware & Equipment (2.8%) |
||||||||||||||||||
510 | CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 05/09/23 @ 101.67)(1) |
(CCC+, Caa1) | 03/15/27 | 5.000 | 346,585 | |||||||||||||
2,000 | Entegris Escrow Corp., Rule 144A, Senior Secured Notes (Callable 01/15/29 @ 100.00)(1) |
(BB, Baa3) | 04/15/29 | 4.750 | 1,866,924 | |||||||||||||
2,400 | Imola Merger Corp., Rule 144A, Senior Secured Notes (Callable 05/15/24 @ 102.38)(1) |
(BB‑, B1) | 05/15/29 | 4.750 | 2,080,966 | |||||||||||||
1,980 | Vertiv Group Corp., Rule 144A, Senior Secured Notes (Callable 11/15/24 @ 102.06)(1) |
(BB‑, B1) | 11/15/28 | 4.125 | 1,789,670 | |||||||||||||
|
|
|||||||||||||||||
6,084,145 | ||||||||||||||||||
|
|
|||||||||||||||||
Telecom - Wireline Integrated & Services (3.2%) |
||||||||||||||||||
2,785 | Altice France S.A., Rule 144A, Senior Secured Notes (Callable 09/15/23 @ 102.56)(1) |
(B‑, B2) | 01/15/29 | 5.125 | 2,060,702 | |||||||||||||
300 | Altice France S.A., Rule 144A, Senior Secured Notes (Callable 04/15/24 @ 102.56)(1) |
(B‑, B2) | 07/15/29 | 5.125 | 222,060 | |||||||||||||
300 | Altice France S.A., Rule 144A, Senior Secured Notes (Callable 10/15/24 @ 102.75)(1) |
(B‑, B2) | 10/15/29 | 5.500 | 224,851 | |||||||||||||
1,005 | Ciena Corp., Rule 144A, Company Guaranteed Notes (Callable 01/31/25 @ 102.00)(1) |
(BB, Ba1) | 01/31/30 | 4.000 | 884,026 | |||||||||||||
1,800 | LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes (Callable 05/29/23 @ 103.38)(1) |
(B+, B1) | 10/15/27 | 6.750 | 1,712,166 | |||||||||||||
300 | LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes (Callable 07/15/24 @ 102.56)(1) |
(B+, B1) | 07/15/29 | 5.125 | 257,289 | |||||||||||||
1,000 | Virgin Media Secured Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/09/23 @ 101.25)(1),(9) |
(BB‑, Ba3) | 04/15/27 | 5.000 | 1,165,368 | |||||||||||||
600 | Vmed O2 UK Financing I PLC, Rule 144A, Senior Secured Notes (Callable 01/31/26 @ 102.13)(1) |
(BB‑, Ba3) | 01/31/31 | 4.250 | 498,204 | |||||||||||||
|
|
|||||||||||||||||
7,024,666 | ||||||||||||||||||
|
|
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Theaters & Entertainment (2.1%) |
||||||||||||||||||
$ | 2,374 | AMC Entertainment Holdings, Inc.,10.00% Cash, 12.00% PIK, Rule 144A, Secured Notes (Callable 06/15/23 @ 106.00)(1),(3) |
(CCC‑, Caa3) | 06/15/26 | 10.000 | $ | 1,606,184 | |||||||||||
2,200 | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/30/23 @ 100.00)(1) |
(B, B2) | 11/01/24 | 4.875 | 2,175,217 | |||||||||||||
400 | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/30/23 @ 101.41)(1) |
(B, B2) | 03/15/26 | 5.625 | 390,186 | |||||||||||||
500 | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/30/23 @ 103.56)(1) |
(B, B2) | 10/15/27 | 4.750 | 464,646 | |||||||||||||
|
|
|||||||||||||||||
4,636,233 | ||||||||||||||||||
|
|
|||||||||||||||||
Transport Infrastructure/Services (1.0%) |
||||||||||||||||||
2,100 | XPO Escrow Sub LLC, Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 103.75)(1) |
(BB+, Baa3) | 11/15/27 | 7.500 | 2,154,557 | |||||||||||||
|
|
|||||||||||||||||
TOTAL CORPORATE BONDS (Cost $231,682,053) |
212,188,833 | |||||||||||||||||
|
|
|||||||||||||||||
BANK LOANS (28.6%) |
||||||||||||||||||
Advertising (1.4%) |
||||||||||||||||||
156 | MH Sub I, LLC (1st Lien Term Loan), LIBOR 1M + 3.750%(10) |
(B, B1) | 09/13/24 | 8.775 | 155,411 | |||||||||||||
2,797 | MH Sub I, LLC (Incremental Term Loan), LIBOR 1M + 3.750%(10) |
(B, B1) | 09/13/24 | 8.775 | 2,787,597 | |||||||||||||
|
|
|||||||||||||||||
2,943,008 | ||||||||||||||||||
|
|
|||||||||||||||||
Aerospace & Defense (1.3%) |
||||||||||||||||||
1,500 | Amentum Government Services Holdings LLC, LIBOR 1M + 8.750%(10) |
(NR, NR) | 01/31/28 | 13.775 | 1,351,875 | |||||||||||||
397 | Amentum Government Services Holdings LLC, SOFR 3M + 4.000%(10) |
(B, B2) | 02/15/29 | 8.764 – 9.033 | 382,112 | |||||||||||||
1,214 | Peraton Corp., LIBOR 3M + 7.750%(10) |
(NR, NR) | 02/01/29 | 12.651 | 1,166,863 | |||||||||||||
|
|
|||||||||||||||||
2,900,850 | ||||||||||||||||||
|
|
|||||||||||||||||
Auto Parts & Equipment (0.4%) |
||||||||||||||||||
387 | Jason Group, Inc., LIBOR 3M + 1.000% Cash, 9.000% PIK(3),(8),(10) |
(NR, NR) | 03/02/26 | 15.273 | 383,562 | |||||||||||||
500 | Jason Group, Inc., LIBOR 1M + 2.000% Cash, 4.000% PIK(3),(10) |
(NR, WR) | 08/28/25 | 10.840 | 418,923 | |||||||||||||
|
|
|||||||||||||||||
802,485 | ||||||||||||||||||
|
|
|||||||||||||||||
Building Materials (0.4%) |
||||||||||||||||||
800 | Cornerstone Building Brands, Inc., SOFR 1M + 5.625%(10) |
(B, B2) | 08/01/28 | 10.515 | 749,449 | |||||||||||||
|
|
|||||||||||||||||
Chemicals (0.9%) |
||||||||||||||||||
522 | Ascend Performance Materials Operations LLC, SOFR 3M + 4.750%(10) |
(BB‑, Ba3) | 08/27/26 | 9.715 | 517,200 | |||||||||||||
841 | Polar U.S. Borrower LLC, SOFR 3M + 4.750%(10) |
(CCC+, B3) | 10/15/25 | 9.721 – 9.727 | 695,411 | |||||||||||||
878 | Zep, Inc., LIBOR 3M + 4.000%(10) |
(CCC+, B3) | 08/12/24 | 9.159 | 753,973 | |||||||||||||
|
|
|||||||||||||||||
1,966,584 | ||||||||||||||||||
|
|
|||||||||||||||||
Diversified Capital Goods (1.0%) |
||||||||||||||||||
898 | Dynacast International LLC(11) |
(CCC, Caa2) | 10/22/25 | 0.000 | 684,504 | |||||||||||||
1,496 | Electrical Components International, Inc., PRIME 3M + 7.500%(8),(10) |
(B‑, B2) | 06/26/25 | 15.500 | 1,376,200 | |||||||||||||
|
|
|||||||||||||||||
2,060,704 | ||||||||||||||||||
|
|
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
BANK LOANS (continued) |
||||||||||||||||||
Electronics (1.1%) |
||||||||||||||||||
$ | 2,379 | Idemia Group, LIBOR 3M + 4.500%(10) |
(B, B3) | 01/09/26 | 9.659 | $ | 2,373,545 | |||||||||||
|
|
|||||||||||||||||
Energy - Exploration & Production (0.0%) |
||||||||||||||||||
2,683 | PES Holdings, LLC, 3.000% PIK(3),(5),(10) |
(NR, WR) | 12/31/24 | 3.000 | 78,826 | |||||||||||||
|
|
|||||||||||||||||
Food & Drug Retailers (0.6%) |
||||||||||||||||||
1,500 | WOOF Holdings, Inc., LIBOR 3M + 7.250%(8),(10) |
(CCC, Caa2) | 12/21/28 | 12.421 | 1,237,500 | |||||||||||||
|
|
|||||||||||||||||
Gas Distribution (1.2%) |
||||||||||||||||||
1,069 | BCP Renaissance Parent LLC, SOFR 3M + 3.500%(10) |
(B+, B2) | 10/31/26 | 8.398 | 1,063,239 | |||||||||||||
1,557 | Traverse Midstream Partners LLC, SOFR 3M + 3.750%(10) |
(B+, B2) | 02/16/28 | 8.726 | 1,542,512 | |||||||||||||
|
|
|||||||||||||||||
2,605,751 | ||||||||||||||||||
|
|
|||||||||||||||||
Health Facility (0.3%) |
||||||||||||||||||
799 | Carestream Health, Inc., SOFR 3M + 7.500%(10) |
(B‑, B3) | 09/30/27 | 12.498 | 577,753 | |||||||||||||
|
|
|||||||||||||||||
Health Services (1.2%) |
||||||||||||||||||
1,230 | MedAssets Software Intermediate Holdings, Inc., LIBOR 1M + 6.750%(10) |
(CCC‑, Caa2) | 12/17/29 | 11.775 | 880,219 | |||||||||||||
1,772 | U.S. Radiology Specialists, Inc., SOFR 1M + 5.250%(10) |
(B‑, B3) | 12/15/27 | 10.332 | 1,642,489 | |||||||||||||
|
|
|||||||||||||||||
2,522,708 | ||||||||||||||||||
|
|
|||||||||||||||||
Investments & Misc. Financial Services (1.5%) |
||||||||||||||||||
2,329 | AqGen Ascensus, Inc., LIBOR 1M + 6.500%(10) |
(CCC, Caa2) | 08/02/29 | 11.375 | 2,103,775 | |||||||||||||
1,298 | Deerfield Dakota Holding LLC, LIBOR 3M + 6.750%(10) |
(CCC, Caa2) | 04/07/28 | 11.909 | 1,207,478 | |||||||||||||
123 | Ditech Holding Corp.(5),(7),(8) |
(NR, WR) | 06/30/22 | 0.000 | 7,404 | |||||||||||||
|
|
|||||||||||||||||
3,318,657 | ||||||||||||||||||
|
|
|||||||||||||||||
Machinery (1.1%) |
||||||||||||||||||
2,123 | LTI Holdings, Inc., LIBOR 1M + 6.750%(10),(12) |
(CCC+, Caa2) | 09/06/26 | 11.775 | 1,872,720 | |||||||||||||
579 | LTI Holdings, Inc., LIBOR 1M + 3.500%(10) |
(B‑, B2) | 09/06/25 | 8.525 | 565,314 | |||||||||||||
|
|
|||||||||||||||||
2,438,034 | ||||||||||||||||||
|
|
|||||||||||||||||
Media - Diversified (0.5%) |
||||||||||||||||||
149 | Technicolor Creative Studios, EURIBOR 3M + 0.500%(4),(8),(10) |
(NR, NR) | 07/31/26 | 3.552 | 162,325 | |||||||||||||
139 | Technicolor Creative Studios(4),(8),(11) |
(NR, NR) | 07/31/26 | 0.000 | 151,860 | |||||||||||||
1,145 | Technicolor Creative Studios(4),(5),(7) |
(D, Caa3) | 09/15/26 | 0.000 | 651,002 | |||||||||||||
|
|
|||||||||||||||||
965,187 | ||||||||||||||||||
|
|
|||||||||||||||||
Medical Products (0.8%) |
||||||||||||||||||
919 | Femur Buyer, Inc., SOFR 3M + 5.500%(8),(10) |
(CCC+, NR) | 08/05/25 | 10.376 | 810,571 | |||||||||||||
977 | Viant Medical Holdings, Inc., LIBOR 1M + 6.250%(8),(10) |
(CCC+, B3) | 07/02/25 | 11.268 | 967,443 | |||||||||||||
|
|
|||||||||||||||||
1,778,014 | ||||||||||||||||||
|
|
|||||||||||||||||
Packaging (0.0%) |
||||||||||||||||||
800 | Strategic Materials, Inc., LIBOR 3M + 7.750%(10),(12) |
(CC, C) | 10/31/25 | 12.564 | 76,000 | |||||||||||||
|
|
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
BANK LOANS (continued) |
||||||||||||||||||
Personal & Household Products (1.6%) |
||||||||||||||||||
$ | 1,200 | ABG Intermediate Holdings 2 LLC, SOFR 1M + 6.000%(10) |
(CCC+, Caa1) | 12/20/29 | 11.082 | $ | 1,116,000 | |||||||||||
1,726 | Serta Simmons Bedding, LLC (First Out Term Loan)(5),(7) |
(NR, WR) | 08/10/23 | 0.000 | 1,732,005 | |||||||||||||
1,046 | Serta Simmons Bedding, LLC (Second Out Term Loan)(5),(7) |
(NR, WR) | 08/10/23 | 0.000 | 626,539 | |||||||||||||
|
|
|||||||||||||||||
3,474,544 | ||||||||||||||||||
|
|
|||||||||||||||||
Pharmaceuticals (0.1%) |
||||||||||||||||||
583 | Akorn, Inc.(5),(7) |
(NR, WR) | 10/01/25 | 0.000 | 143,408 | |||||||||||||
|
|
|||||||||||||||||
143,408 | ||||||||||||||||||
|
|
|||||||||||||||||
Recreation & Travel (1.9%) |
||||||||||||||||||
959 | Bulldog Purchaser, Inc., LIBOR 1M + 7.750%(10) |
(CCC‑, Caa3) | 09/04/26 | 12.832 | 750,897 | |||||||||||||
1,811 | Bulldog Purchaser, Inc., SOFR 1M + 3.750%(10) |
(B‑, B3) | 09/05/25 | 8.832 | 1,639,192 | |||||||||||||
787 | Hornblower Sub LLC, LIBOR 3M + 4.500%(10) |
(CCC‑, Caa2) | 04/27/25 | 9.960 | 437,386 | |||||||||||||
1,082 | Hornblower Sub LLC, LIBOR 3M + 8.125%(8),(10) |
(NR, NR) | 11/10/25 | 12.994 | 1,077,062 | |||||||||||||
300 | Hornblower Sub LLC, LIBOR 3M + 8.125%(8),(10) |
(NR, NR) | 11/20/25 | 12.994 | 298,500 | |||||||||||||
|
|
|||||||||||||||||
4,203,037 | ||||||||||||||||||
|
|
|||||||||||||||||
Restaurants (0.1%) |
||||||||||||||||||
300 | Tacala LLC, LIBOR 1M + 7.500%(10) |
(CCC, Caa2) | 02/04/28 | 12.525 | 277,063 | |||||||||||||
|
|
|||||||||||||||||
Software - Services (8.2%) |
||||||||||||||||||
1,705 | Aston FinCo Sarl, LIBOR 1M + 4.250%(8),(10) |
(B‑, B3) | 10/09/26 | 9.275 | 1,466,154 | |||||||||||||
893 | Astra Acquisition Corp., LIBOR 1M + 5.250%(10) |
(B, B1) | 10/25/28 | 10.275 | 718,118 | |||||||||||||
900 | CommerceHub, Inc., SOFR 3M + 7.000%(10) |
(CCC, Caa2) | 12/29/28 | 11.777 | 744,975 | |||||||||||||
1,810 | Epicor Software Corp., SOFR 1M + 7.750%(10) |
(CCC, Caa2) | 07/31/28 | 12.832 | 1,808,163 | |||||||||||||
680 | Finastra U.S.A., Inc., LIBOR 3M + 3.500%(10) |
(CCC+, B3) | 06/13/24 | 8.655 | 650,171 | |||||||||||||
3,011 | Finastra U.S.A., Inc., LIBOR 3M + 7.250%(10) |
(CCC‑, Caa3) | 06/13/25 | 12.405 | 2,560,810 | |||||||||||||
957 | GHX Ultimate Parent Corp., LIBOR 1M + 3.250%(8),(10) |
(B‑, B2) | 06/28/24 | 8.275 | 956,861 | |||||||||||||
2,593 | Hyland Software, Inc., LIBOR 1M + 3.500%(10) |
(B‑, B1) | 07/01/24 | 8.525 | 2,579,705 | |||||||||||||
420 | Hyland Software, Inc., LIBOR 1M + 6.250%(10) |
(CCC, Caa1) | 07/07/25 | 11.275 | 404,624 | |||||||||||||
1,574 | Open Text Corp., SOFR 1M + 3.500%(10) |
(BBB‑, Ba1) | 01/31/30 | 8.582 | 1,574,975 | |||||||||||||
1,792 | Project Alpha Intermediate Holding, Inc., LIBOR 1M + 4.000%(10) |
(B, B3) | 04/26/24 | 9.030 | 1,790,768 | |||||||||||||
1,491 | Quest Software U.S. Holdings, Inc., SOFR 3M + 4.250%(10) |
(B‑, B2) | 02/01/29 | 9.445 | 1,282,779 | |||||||||||||
200 | Redstone Holdco 2 LP(11) |
(CCC+, Caa3) | 04/27/29 | 0.000 | 122,800 | |||||||||||||
1,342 | Redstone Holdco 2 LP, LIBOR 3M + 4.750%(10) |
(B‑, B3) | 04/27/28 | 10.005 | 1,145,990 | |||||||||||||
|
|
|||||||||||||||||
17,806,893 | ||||||||||||||||||
|
|
|||||||||||||||||
Support - Services (0.9%) |
||||||||||||||||||
600 | LaserShip, Inc., LIBOR 3M + 7.500%(8),(10) |
(CCC, Caa3) | 05/07/29 | 12.659 | 390,000 | |||||||||||||
1,196 | LaserShip, Inc., LIBOR 3M + 4.500%(10) |
(B‑, B3) | 05/07/28 | 9.659 | 1,035,466 | |||||||||||||
600 | TruGreen Limited Partnership, LIBOR 3M + 8.500%(8),(10) |
(CCC, Caa2) | 11/02/28 | 13.773 | 405,000 | |||||||||||||
|
|
|||||||||||||||||
1,830,466 | ||||||||||||||||||
|
|
|||||||||||||||||
Telecom - Wireline Integrated & Services (1.2%) |
||||||||||||||||||
1,950 | Patagonia Holdco LLC, SOFR 3M + 5.750%(10) |
(NR, B1) | 08/01/29 | 10.473 | 1,595,885 | |||||||||||||
1,125 | TVC Albany, Inc., LIBOR 1M + 7.500%(10),(12) |
(CCC, Caa2) | 07/23/26 | 12.520 | 1,023,750 | |||||||||||||
|
|
|||||||||||||||||
2,619,635 | ||||||||||||||||||
|
|
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
BANK LOANS (continued) |
||||||||||||||||||
Theaters & Entertainment (0.9%) |
||||||||||||||||||
$ | 1,958 | William Morris Endeavor Entertainment LLC, LIBOR 1M + 2.750%(10) |
(B+, B3) | 05/18/25 | 7.780 | $ | 1,955,989 | |||||||||||
|
|
|||||||||||||||||
TOTAL BANK LOANS (Cost $69,936,081) |
61,706,090 | |||||||||||||||||
|
|
|||||||||||||||||
ASSET BACKED SECURITIES (7.6%) |
||||||||||||||||||
Collateralized Debt Obligations (7.6%) |
||||||||||||||||||
1,000 | Anchorage Capital CLO 15 Ltd., 2020‑15A, Rule 144A, LIBOR 3M + 7.400%(1),(10) |
(NR, Ba3) | 07/20/34 | 12.650 | 926,726 | |||||||||||||
1,500 | Anchorage Capital CLO 25 Ltd., 2022‑25A, Rule 144A, SOFR 3M + 7.170%(1),(10) |
(NR, Ba3) | 04/20/35 | 12.218 | 1,392,128 | |||||||||||||
1,250 | Anchorage Credit Funding 4 Ltd., 2016‑4A, Rule 144A(1) |
(NR, Ba3) | 04/27/39 | 6.659 | 1,016,770 | |||||||||||||
1,250 | Battalion CLO 18 Ltd., 2020‑18A, Rule 144A, LIBOR 3M + 6.710%(1),(10) |
(BB‑, NR) | 10/15/36 | 11.970 | 1,004,938 | |||||||||||||
1,250 | Benefit Street Partners CLO X Ltd., 2016‑10A, Rule 144A, LIBOR 3M + 6.750%(1),(10) |
(BB‑, NR) | 04/20/34 | 12.000 | 1,151,484 | |||||||||||||
1,500 | Cedar Funding VI CLO Ltd., 2016‑6A, Rule 144A, LIBOR 3M + 6.720%(1),(10) |
(BB‑, NR) | 04/20/34 | 11.970 | 1,354,335 | |||||||||||||
1,500 | CIFC Funding Ltd., 2017‑1A, Rule 144A, LIBOR 3M + 3.500%(1),(10) |
(NR, Baa3) | 04/23/29 | 8.761 | 1,451,791 | |||||||||||||
1,500 | KKR CLO Ltd., 14, Rule 144A, LIBOR 3M + 6.150%(1),(10) |
(NR, B1) | 07/15/31 | 11.410 | 1,306,384 | |||||||||||||
1,500 | KKR CLO Ltd., 16, Rule 144A, LIBOR 3M + 7.110%(1),(10) |
(BB‑, NR) | 10/20/34 | 12.360 | 1,296,727 | |||||||||||||
1,500 | Marble Point CLO XXIII Ltd., 2021‑4A, Rule 144A, LIBOR 3M + 5.750%(1),(10) |
(NR, Ba1) | 01/22/35 | 11.023 | 1,351,360 | |||||||||||||
600 | MP CLO III Ltd., 2013‑1A, Rule 144A, LIBOR 3M + 3.050%(1),(10) |
(NR, Ba1) | 10/20/30 | 8.300 | 539,198 | |||||||||||||
1,000 | Oaktree CLO Ltd., 2019‑4A, Rule 144A, LIBOR 3M + 7.230%(1),(10) |
(BB‑, NR) | 10/20/32 | 12.480 | 934,263 | |||||||||||||
1,500 | Palmer Square Credit Funding Ltd., 2019‑1A, Rule 144A(1) |
(NR, Baa2) | 04/20/37 | 5.459 | 1,334,090 | |||||||||||||
1,000 | Venture 41 CLO Ltd., 2021‑41A, Rule 144A, LIBOR 3M + 7.710%(1),(10) |
(BB‑, NR) | 01/20/34 | 12.960 | 891,814 | |||||||||||||
600 | Vibrant CLO VII Ltd., 2017‑7A, Rule 144A, LIBOR 3M + 3.600%(1),(10) |
(NR, Baa3) | 09/15/30 | 8.850 | 536,383 | |||||||||||||
|
|
|||||||||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $18,036,027) |
16,488,391 | |||||||||||||||||
|
|
|||||||||||||||||
Shares |
||||||||||||||||||
COMMON STOCKS (0.7%) |
||||||||||||||||||
Auto Parts & Equipment (0.1%) |
||||||||||||||||||
27,589 | Jason Group, Inc.(7) |
248,302 | ||||||||||||||||
|
|
|||||||||||||||||
Chemicals (0.5%) |
||||||||||||||||||
5,400 | Project Investor Holdings LLC(6),(7),(8),(12) |
|
54 | |||||||||||||||
89,998 | Proppants Holdings LLC(6),(7),(8),(12) |
|
1,800 | |||||||||||||||
15,074 | UTEX Industries, Inc.(7) |
|
959,716 | |||||||||||||||
|
|
|||||||||||||||||
961,570 | ||||||||||||||||||
|
|
|||||||||||||||||
Energy - Exploration & Production (0.0%) |
||||||||||||||||||
111,570 | PES Energy, Inc.(6),(7),(8),(12) |
1,116 | ||||||||||||||||
|
|
Shares |
Value |
|||||||||||||||||
COMMON STOCKS (continued) |
||||||||||||||||||
Pharmaceuticals (0.0%) |
||||||||||||||||||
68,836 | Akorn Holding Company LLC(7) |
$ | 17,209 | |||||||||||||||
|
|
|||||||||||||||||
Private Placement (0.0%) |
||||||||||||||||||
461,538 | Technicolor Creative Studios SA(7),(13) |
50,750 | ||||||||||||||||
|
|
|||||||||||||||||
Specialty Retail (0.0%) |
||||||||||||||||||
105 | Eagle Intermediate Global Holdings B.V., Class B(6),(7),(8) |
1 | ||||||||||||||||
|
|
|||||||||||||||||
Support - Services (0.0%) |
||||||||||||||||||
2,100 | LTR Holdings, Inc.(6),(7),(8),(12) |
3,111 | ||||||||||||||||
|
|
|||||||||||||||||
Theaters & Entertainment (0.1%) |
||||||||||||||||||
461,538 | Vantiva SA(4),(7) |
111,254 | ||||||||||||||||
|
|
|||||||||||||||||
TOTAL COMMON STOCKS (Cost $5,133,412) |
1,393,313 | |||||||||||||||||
|
|
|||||||||||||||||
WARRANT (0.0%) |
||||||||||||||||||
Chemicals (0.0%) |
||||||||||||||||||
22,499 | Project Investor Holdings LLC, expires 02/20/2022(6),(7),(8),(12) (Cost $11,699) |
— | ||||||||||||||||
|
|
|||||||||||||||||
SHORT-TERM INVESTMENTS (9.4%) |
||||||||||||||||||
3,570,806 | State Street Institutional U.S. Government Money Market Fund - Premier Class, 4.74% |
3,570,806 | ||||||||||||||||
16,815,013 | State Street Navigator Securities Lending Government Money Market Portfolio, 4.84%(14) |
16,815,013 | ||||||||||||||||
|
|
|||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $20,385,819) |
20,385,819 | |||||||||||||||||
|
|
|||||||||||||||||
TOTAL INVESTMENTS AT VALUE (144.4%) (Cost $345,185,091) |
312,162,446 | |||||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS (‑44.4%) |
(95,918,102 | ) | ||||||||||||||||
|
|
|||||||||||||||||
NET ASSETS (100.0%) |
$ | 216,244,344 | ||||||||||||||||
|
|
† | 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, 2023, these securities amounted to a value of $222,725,706 or 103.0% of net assets. |
(2) | Security or portion thereof is out on loan (See Note 2‑K). |
(3) | PIK: Payment‑in‑kind security for which part of the income earned may be paid as additional principal. |
(4) | This security is denominated in Euro. |
(5) | Bond is currently in default. |
(6) | Not readily marketable security; security is valued at fair value as determined in good faith by Credit Suisse Asset Management, LLC as the Fund’s valuation designee under the oversight of the Board of Trustees. |
(7) | Non‑income producing security. |
(8) | Security is valued using significant unobservable inputs. |
(9) | This security is denominated in British Pound. |
(10) | Variable rate obligation - The interest rate shown is the rate in effect as of April 30, 2023. The rate may be subject to a cap and floor. |
(11) | The rates on certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The interest rate shown is the rate in effect as of April 30, 2023. |
(12) | Illiquid security. |
(13) | Security is held through holdings of 100 shares of the CIG Special Purpose SPC - Credit Suisse High Yield Bond Fund Segregated Portfolio, an affiliated entity. |
(14) | Represents security purchased with cash collateral received for securities on loan. |
Forward Currency to be Purchased |
Forward Currency to be Sold |
Expiration Date |
Counterparty |
Value on Settlement Date |
Current Value/Notional |
Unrealized Appreciation |
||||||||||||||||||||||
EUR |
710,608 | USD | 755,626 | 10/11/23 | Barclays Bank PLC | $ | 755,626 | $ | 790,982 | $ | 35,356 | |||||||||||||||||
EUR |
526,292 | USD | 553,172 | 10/11/23 | Deutsche Bank AG | 553,172 | 585,818 | 32,646 | ||||||||||||||||||||
EUR |
768,633 | USD | 805,710 | 10/11/23 | Morgan Stanley | 805,710 | 855,570 | 49,860 | ||||||||||||||||||||
GBP |
50,783 | USD | 59,453 | 10/11/23 | Deutsche Bank AG | 59,453 | 63,974 | 4,521 | ||||||||||||||||||||
GBP |
6,553 | USD | 7,634 | 10/11/23 | Morgan Stanley | 7,634 | 8,255 | 621 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
Total Unrealized Appreciation |
|
$ | 123,004 | |||||||||||||||||||||||||
|
|
Forward Currency to be Purchased |
Forward Currency to be Sold |
Expiration Date |
Counterparty |
Value on Settlement Date |
Current Value/Notional |
Unrealized Depreciation |
||||||||||||||||||||||
USD |
4,353,530 | EUR | 4,288,402 | 10/11/23 | Deutsche Bank AG | $ | (4,353,530 | ) | $ | (4,773,446 | ) | $ | (419,916 | ) | ||||||||||||||
USD |
66,853 | EUR | 60,542 | 10/11/23 | JPMorgan Chase | (66,853 | ) | (67,389 | ) | (536 | ) | |||||||||||||||||
USD |
28,601 | GBP | 23,307 | 10/11/23 | Barclays Bank PLC | (28,601 | ) | (29,361 | ) | (760 | ) | |||||||||||||||||
USD |
1,102,066 | GBP | 983,871 | 10/11/23 | Deutsche Bank AG | (1,102,066 | ) | (1,239,422 | ) | (137,356 | ) | |||||||||||||||||
|
|
|||||||||||||||||||||||||||
Total Unrealized Depreciation |
|
$ | (558,568 | ) | ||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
Total Net Unrealized Appreciation/(Depreciation) |
|
$ | (435,564 | ) | ||||||||||||||||||||||||
|
|
Assets |
||||
Investments at value, including collateral for securities on loan of $16,815,013 (Cost $345,185,091) (Note 2) |
$ | 312,162,446 | 1 | |
Foreign currency at value (Cost $176,966) |
180,872 | |||
Cash segregated at brokers for forward contracts (Note 2) |
350,000 | |||
Receivable for investments sold |
5,878,300 | |||
Interest receivable |
4,738,263 | |||
Unrealized appreciation on forward foreign currency contracts (Note 2) |
123,004 | |||
|
|
|||
Total assets |
323,432,885 | |||
|
|
|||
Liabilities |
||||
Investment advisory fee payable (Note 3) |
203,606 | |||
Administrative services fee payable (Note 3) |
15,854 | |||
Loan payable (Note 4) |
83,500,000 | |||
Payable upon return of securities loaned (Note 2) |
16,815,013 | |||
Payable for investments purchased |
5,519,904 | |||
Unrealized depreciation on forward foreign currency contracts (Note 2) |
558,568 | |||
Interest payable (Note 4) |
420,907 | |||
Commitment fees payable (Note 4) |
19,216 | |||
Trustees’ fee payable |
35,421 | |||
Due to custodian |
517 | |||
Accrued expenses |
99,535 | |||
|
|
|||
Total liabilities |
107,188,541 | |||
|
|
|||
Net Assets |
||||
Applicable to |
$ | 216,244,344 | ||
|
|
|||
Net Assets |
||||
Capital stock, $.001 par value (Note 6) |
103,514 | |||
Paid‑in capital (Note 6) |
293,220,091 | |||
Total distributable earnings (loss) |
(77,079,261 | ) | ||
|
|
|||
Net assets |
$ | 216,244,344 | ||
|
|
|||
Net Asset Value Per Share |
$2.09 | |||
|
|
|||
Market Price Per Share |
$1.89 | |||
|
|
1 | Includes $16,509,102 of securities on loan. |
Investment Income |
||||
Interest |
$ | 12,785,891 | ||
Securities lending (net of rebates) |
31,073 | |||
|
|
|||
Total investment income |
12,816,964 | |||
|
|
|||
Expenses |
||||
Investment advisory fees (Note 3) |
1,448,923 | |||
Administrative services fees (Note 3) |
35,406 | |||
Interest expense (Note 4) |
2,505,650 | |||
Trustees’ fees |
65,288 | |||
Custodian fees |
44,844 | |||
Printing fees |
35,622 | |||
Commitment fees (Note 4) |
32,639 | |||
Legal fees |
27,633 | |||
Audit and tax fees |
22,848 | |||
Stock exchange listing fees |
16,467 | |||
Transfer agent fees |
13,723 | |||
Insurance expense |
5,131 | |||
Miscellaneous expense |
6,228 | |||
|
|
|||
Total expenses |
4,260,402 | |||
Less: fees waived and expenses reimbursed (Note 3) |
(210,753 | ) | ||
|
|
|||
Net expenses |
4,049,649 | |||
|
|
|||
Net investment income |
8,767,315 | |||
|
|
|||
Net Realized and Unrealized Gain (Loss) from Investments, Foreign Currency and Forward Foreign Currency Contracts |
||||
Net realized loss from investments |
(14,052,495 | ) | ||
Net realized gain from foreign currency transactions |
4,514 | |||
Net change in unrealized appreciation (depreciation) from investments |
24,687,119 | |||
Net change in unrealized appreciation (depreciation) from foreign currency translations |
3,221 | |||
Net change in unrealized appreciation (depreciation) from forward foreign currency contracts |
(374,013 | ) | ||
|
|
|||
Net realized and unrealized gain from investments, foreign currency and forward foreign currency contracts |
10,268,346 | |||
|
|
|||
Net increase in net assets resulting from operations |
$ | 19,035,661 | ||
|
|
For the Six Months Ended April 30, 2023 (unaudited) |
For the Year Ended October 31, 2022 |
|||||||
From Operations |
||||||||
Net investment income |
$ | 8,767,315 | $ | 16,669,056 | ||||
Net realized loss from investments, foreign currency transactions and forward foreign currency contracts |
(14,047,981 | ) | (2,345,300 | ) | ||||
Net change in unrealized appreciation (depreciation) from investments, foreign currency translations and forward foreign currency contracts |
24,316,327 | (51,748,658 | ) | |||||
|
|
|
|
|||||
Net increase (decrease) in net assets resulting from operations |
19,035,661 | (37,424,902 | ) | |||||
|
|
|
|
|||||
From Distributions |
| |||||||
From distributable earnings |
(9,626,777 | ) | (16,765,342 | ) | ||||
Return of capital |
— | (2,488,213 | ) | |||||
|
|
|
|
|||||
Net decrease in net assets resulting from distributions |
(9,626,777 | ) | (19,253,555 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in net assets |
9,408,884 | (56,678,457 | ) | |||||
Net Assets |
||||||||
Beginning of period |
206,835,460 | 263,513,917 | ||||||
|
|
|
|
|||||
End of period |
$ | 216,244,344 | $ | 206,835,460 | ||||
|
|
|
|
Reconciliation of Net Increase in Net Assets from Operations to Net Cash Provided by Operating Activities |
||||||||
Net increase in net assets resulting from operations |
$ | 19,035,661 | ||||||
|
|
|||||||
Adjustments to Reconcile Net Increase in Net Assets from Operations to Net Cash Provided by Operating Activities |
||||||||
Decrease in interest receivable |
$ | 46,195 | ||||||
Decrease in accrued expenses |
(72,997 | ) | ||||||
Increase in payable upon return of securities loaned |
5,464,133 | |||||||
Increase in interest payable |
141,998 | |||||||
Increase in commitment fees payable |
19,216 | |||||||
Decrease in advisory fees payable |
(4,040 | ) | ||||||
Net amortization of a premium or accretion of a discount on investments |
(517,896 | ) | ||||||
Increase in cash segregated at brokers |
(350,000 | ) | ||||||
Decrease in cash received from brokers |
(98,829 | ) | ||||||
Purchases of long-term securities, net of change in payable for investments purchased |
(51,734,196 | ) | ||||||
Sales of long-term securities, net of change in receivable for investments sold |
59,865,042 | |||||||
Net proceeds from sales (purchases) of short-term securities |
(3,301,109 | ) | ||||||
Net change in unrealized (appreciation) depreciation from investments and forward foreign currency contracts |
(24,313,106 | ) | ||||||
Net realized loss from investments |
14,052,495 | |||||||
Total adjustments |
(803,094 | ) | ||||||
|
|
|||||||
Net cash provided by operating activities1 |
$ | 18,232,567 | ||||||
|
|
|||||||
Cash Flows From Financing Activities |
||||||||
Borrowings on revolving credit facility |
6,000,000 | |||||||
Repayments of credit facility |
(14,000,000 | ) | ||||||
Cash dividends paid |
(9,626,777 | ) | ||||||
|
|
|||||||
Net cash used in financing activities |
(17,626,777 | ) | ||||||
|
|
|||||||
Net increase in cash |
605,790 | |||||||
Cash — beginning of period |
(425,435 | ) | ||||||
|
|
|||||||
Cash — end of period |
$ | 180,355 | ||||||
|
|
1 | Included in net cash provided by operating activities is cash of $2,363,652 paid for interest on borrowings. |
For the Six Months Ended April 30, 2023 (unaudited) |
For the Year Ended October 31, | |||||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||||||
Per share operating performance |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 2.00 | $ | 2.55 | $ | 2.39 | $ | 2.54 | $ | 2.57 | $ | 2.80 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
INVESTMENT OPERATIONS |
||||||||||||||||||||||||
Net investment income1 |
0.08 | 0.16 | 0.17 | 0.19 | 0.20 | 0.21 | ||||||||||||||||||
Net gain (loss) from investments, foreign currency transactions and forward foreign currency contracts (both realized and unrealized) |
0.10 | (0.52 | ) | 0.18 | (0.14 | ) | (0.00 | )2 | (0.19 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total from investment activities |
0.18 | (0.36 | ) | 0.35 | 0.05 | 0.20 | 0.02 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
LESS DIVIDENDS AND DISTRIBUTIONS |
||||||||||||||||||||||||
Dividends from net investment income |
(0.09 | ) | (0.17 | ) | (0.17 | ) | (0.19 | ) | (0.19 | ) | (0.21 | ) | ||||||||||||
Return of capital |
— | (0.02 | ) | (0.02 | ) | (0.01 | ) | (0.04 | ) | (0.04 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total dividends and distributions |
(0.09 | ) | (0.19 | ) | (0.19 | ) | (0.20 | ) | (0.23 | ) | (0.25 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net asset value, end of period |
$ | 2.09 | $ | 2.00 | $ | 2.55 | $ | 2.39 | $ | 2.54 | $ | 2.57 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Per share market value, end of period |
$ | 1.89 | $ | 1.78 | $ | 2.50 | $ | 2.07 | $ | 2.53 | $ | 2.35 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
TOTAL INVESTMENT RETURN3 |
||||||||||||||||||||||||
Net asset value |
9.80 | % | (14.19 | )% | 15.33 | % | 3.43 | % | 8.54 | % | 0.68 | % | ||||||||||||
Market value |
11.56 | % | (22.10 | )% | 30.55 | % | (10.07 | )% | 18.23 | % | (9.23 | )% | ||||||||||||
RATIOS AND SUPPLEMENTAL DATA |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$ | 216,244 | $ | 206,835 | $ | 263,514 | $ | 247,017 | $ | 262,568 | $ | 266,232 | ||||||||||||
Ratio of net expenses to average net assets |
3.84 | %4 | 2.20 | % | 1.58 | % | 2.00 | % | 2.70 | % | 2.59 | % | ||||||||||||
Ratio of net expenses to average net assets excluding interest expense |
1.47 | %4 | 1.43 | % | 1.29 | % | 1.37 | % | 1.37 | % | 1.41 | % | ||||||||||||
Ratio of net investment income to average net assets |
8.32 | %4 | 7.04 | % | 6.49 | % | 8.10 | % | 7.60 | % | 7.81 | % | ||||||||||||
Decrease reflected in above operating expense ratios due to waivers/reimbursements |
0.20 | %4 | 0.18 | % | 0.16 | % | 0.18 | % | 0.16 | % | 0.15 | % | ||||||||||||
Average debt per share |
$ | 0.91 | $ | 0.93 | $ | 0.80 | $ | 0.93 | $ | 1.06 | $ | 1.20 | ||||||||||||
Asset Coverage per $1,000 of Indebtedness |
$ | 3,590 | $ | 3,260 | $ | 4,214 | $ | 3,847 | $ | 3,854 | $ | 3,147 | ||||||||||||
Portfolio turnover rate5 |
17 | % | 46 | % | 49 | % | 33 | % | 32 | % | 42 | % |
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 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 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. |
5 | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
• | 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) |
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments in Securities |
||||||||||||||||
Corporate Bonds |
$ | — | $ | 212,071,117 | $ | 117,716 | $ | 212,188,833 | ||||||||
Bank Loans |
— | 52,015,648 | 9,690,442 | 61,706,090 | ||||||||||||
Asset Backed Securities |
— | 16,488,391 | — | 16,488,391 | ||||||||||||
Common Stocks |
50,750 | 1,336,481 | 6,082 | 1,393,313 | ||||||||||||
Warrants |
— | — | 0 | 1 | 0 | |||||||||||
Short-term Investments |
20,385,819 | — | — | 20,385,819 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 20,436,569 | $ | 281,911,637 | $ | 9,814,240 | $ | 312,162,446 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Other Financial Instruments* |
||||||||||||||||
Forward Foreign Currency Contracts |
$ | — | $ | 123,004 | $ | — | $ | 123,004 | ||||||||
Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments* |
||||||||||||||||
Forward Foreign Currency Contracts |
$ | — | $ | 558,568 | $ | — | $ | 558,568 |
1 | Includes a zero valued security. |
* | Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts. |
Corporate Bonds |
Bank Loans |
Common Stocks |
Warrants | Total | ||||||||||||||||
Balance as of October 31, 2022 |
$ | 147,913 | $ | 8,741,291 | $ | 1,306,725 | $ | 0 | (1) | $ | 10,195,929 | |||||||||
Accrued discounts (premiums) |
(17,364 | ) | (34,683 | ) | — | — | (52,047 | ) | ||||||||||||
Purchases |
— | 1,536,702 | — | — | 1,536,702 | |||||||||||||||
Sales |
(47,941 | ) | (2,929,160 | ) | (26,482 | ) | — | (3,003,583 | ) | |||||||||||
Realized gain (loss) |
(206,350 | ) | (362,748 | ) | 26,482 | — | (542,616 | ) | ||||||||||||
Change in unrealized appreciation (depreciation) |
241,458 | 345,560 | (92,625 | ) | — | 494,393 | ||||||||||||||
Transfers into Level 3 |
— | 4,164,278 | — | — | 4,164,278 | |||||||||||||||
Transfers out of Level 3 |
— | (1,770,798 | ) | (1,208,018 | ) | — | (2,978,816 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Balance as of April 30, 2023 |
$ | 117,716 | $ | 9,690,442 | $ | 6,082 | $ | 0 | (1) | $ | 9,814,240 | |||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net change in unrealized appreciation (depreciation) from investments still held as of April 30, 2023 |
$ | (26,529 | ) | $ | (58,732 | ) | $ | — | $ | — | $ | (85,261 | ) |
(1) | Includes zero valued securities. |
Asset Class | Fair Value at 04/30/2023 |
Valuation Technique |
Unobservable Input |
Price Range (Weighted Average)* |
||||||||||||
Corporate Bonds |
$ | 98,966 | Income Approach | Expected Remaining Distribution | $ | 0.50 ‑ $0.63 ($0.56) | ||||||||||
18,750 | Vendor pricing | Single Broker Quote | 0.01 (N/A) | |||||||||||||
Bank Loans |
9,690,442 | Vendor pricing | Single Broker Quote | 0.06 ‑ 1.09 (0.91) | ||||||||||||
Common Stocks |
6,082 | Income Approach | Expected Remaining Distribution | 0.01 ‑ 1.48 (0.77) | ||||||||||||
Warrants |
0 | Income Approach | Expected Remaining Distribution | 0.00 (N/A) |
* | Weighted by relative fair value |
Primary Underlying Risk | Derivative Assets |
Derivative Liabilities |
Realized Gain (Loss) |
Net Change in Unrealized Appreciation (Depreciation) |
||||||||||||
Foreign currency exchange rate forward contracts |
$ | 123,004 | $ | 558,568 | $ | — | $ | (374,013 | ) |
Counterparty | Gross Amount of Derivative Assets Presented in the 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 |
$ | 35,356 | $ | (760 | ) | $ | — | $ | — | $ | 34,596 | |||||||||
Deutsche Bank |
37,167 | (536 | ) | — | — | 36,631 | ||||||||||||||
Morgan Stanley |
50,481 | — | — | — | 50,481 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 123,004 | $ | (1,296 | ) | $ | — | $ | — | $ | 121,708 | ||||||||||
|
|
|
|
|
|
|
|
|
|
Counterparty | Gross Amount of Derivative Liabilities Presented in the 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 |
$ | 760 | $ | (760 | ) | $ | — | $ | — | $ | — | |||||||||
Deutsche Bank |
536 | (536 | ) | — | — | — | ||||||||||||||
JPMorgan Chase |
557,272 | — | — | — | 557,272 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 558,568 | $ | (1,296 | ) | $ | — | $ | — | $ | 557,272 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | Forward foreign currency contracts are included. |
Market Value of Loaned Securities |
Market Value of Cash Collateral |
Total Collateral | ||||||||
$ | 16,509,102 | $ | 16,815,013 | $ | 16,815,013 |
Gross Asset Amounts Presented in the Statement of Assets and Liabilities(a) |
Collateral Received(b) |
Net Amount |
||||||||
$ | 16,509,102 | $ | (16,509,102 | ) | $ | — |
(a) | Represents market value of loaned securities at period end. |
(b) | The actual collateral received is greater than the amount shown here due to collateral requirements of the security lending agreement. |
Average Daily Loan Balance |
Weighted Average Interest Rate % |
Maximum Daily Loan Outstanding |
Interest Expense |
Number of Days Outstanding |
||||||||||||||
$ | 93,748,619 | 5.31 | % | $ | 97,500,000 | $ | 2,505,650 | 181 |
Investment Securities | U.S. Government/ Agency Obligations |
|||||||||||||
Purchases | Sales | Purchases | Sales | |||||||||||
$ | 52,208,127 | $ | 62,832,261 | $ | 0 | $ | 0 |
NAME OF TRUSTEE | “FOR” |
WITHHELD | ||
Samantha Kappagoda |
64,047,282 | 4,524,785 |
• | The Contractual Advisory Fee and Net Advisory Fee, reviewed along with information provided by Broadridge for the 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. |
• | 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. |
• | 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. |
• | 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. |
• | 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 |
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 |
By Internet: | www.computershare.com |
By phone: | (800) 730‑6001 (U.S. and Canada) |
(781) 575‑3100 (Outside U.S. and Canada) |
By mail: | Credit Suisse High Yield Bond Fund |
c/o Computershare |
P.O. Box 43006 |
Providence, RI 02940-3078 |
Computershare |
150 Royall St., Suite 101 |
Canton, MA 02021 |
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, 2022.
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)(3) Not applicable.
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: June 30, 2023 |
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: June 30, 2023 |
/s/ Omar Tariq |
Name: Omar Tariq |
Title: Chief Financial Officer and Treasurer |
Date: June 30, 2023 |