NPORT-EX 2 NPORT_1019105642635910.htm HTML

Credit Suisse High Yield Bond Fund

Schedule of Investments

January 31, 2020 (unaudited)

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (94.6%)

                    
 

Aerospace & Defense (1.4%)

                    
$        1,250       

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

      (B-, B3)        03/15/27          7.500        $     1,371,062  
  1,940       

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

      (B+, Ba3)        03/15/26          6.250          2,095,926  
  300       

Triumph Group, Inc., Rule 144A, Secured Notes
(Callable 09/15/20 @ 103.13)(1)

      (B+, B3)        09/15/24          6.250          310,060  
                        

 

 

  
                           3,777,048  
                        

 

 

  
                        
 

Auto Parts & Equipment (2.9%)

                    
  2,650       

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

      (B-, B3)        11/15/26          5.625          2,464,096  
  1,000       

Delphi Technologies PLC, Rule 144A, Company Guaranteed Notes(1),(2)

      (BB-, B2)        10/01/25          5.000          1,110,000  
  3,430       

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

      (B, B3)        05/15/27          8.500          3,693,595  
  500       

Panther Finance Co., Inc., Rule 144A, Senior Secured Notes
(Callable 05/15/22 @ 103.13)(1)

      (B+, Ba3)        05/15/26          6.250          537,238  
                        

 

 

  
                           7,804,929  
                        

 

 

  
                        
 

Brokerage (1.4%)

                    
  3,450       

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

      (BB, B1)        09/15/25          5.750          3,605,215  
                        

 

 

  
                        
 

Building & Construction (0.9%)

                    
  600       

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

      (B+, B3)        02/15/25          7.500          618,000  
  1,591       

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

      (BB, B1)        05/01/26          5.625          1,663,148  
                        

 

 

  
                           2,281,148  
                        

 

 

  
                        
 

Building Materials (6.6%)

                    
  2,225       

BMC East LLC, Rule 144A, Senior Secured Notes
(Callable 02/18/20 @ 104.13)(1)

      (BB, B1)        10/01/24          5.500          2,298,236  
  675       

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

      (B-, Caa2)        08/15/25          6.125          695,155  
  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          1,672,596  
  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          2,058,743  
  2,500       

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

      (BB-, B1)        12/15/27          4.875          2,594,619  
  4,900       

Omnimax International, Inc., Rule 144A, Senior Secured Notes
(Callable 02/18/20 @ 100.00)(1)

      (CCC, Caa1)        08/15/20          12.000          4,865,149  
  3,540       

PriSo Acquisition Corp., Rule 144A, Senior Unsecured Notes
(Callable 03/02/20 @ 102.25)(1)

      (CCC+, Caa1)        05/15/23          9.000          3,469,200  
                        

 

 

  
                           17,653,698  
                        

 

 

  
                        
 

Cable & Satellite TV (6.7%)

                    
  2,065       

Altice Financing S.A., Rule 144A, Senior Secured Notes
(Callable 02/18/20 @ 101.66)(1)

      (B, B2)        02/15/23          6.625          2,105,443  
  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          2,462,265  
  1,315       

CSC Holdings LLC, Global Senior Unsecured Notes

      (B, B3)        06/01/24          5.250          1,422,942  
  750       

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

      (BB, Ba3)        02/01/28          5.375          796,742  
  450       

CSC Holdings LLC, Rule 144A, Company Guaranteed Notes
(Callable 02/11/20 @ 102.69)(1)

      (BB, Ba3)        07/15/23          5.375          460,523  
  525       

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

      (BB, Ba3)        04/15/27          5.500          558,128  
  800       

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

      (BB, Ba3)        10/15/25          6.625          846,592  
  840       

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

      (B, B3)        10/15/25          10.875          932,043  
  1,555       

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

      (B, B3)        08/15/27          5.375          1,648,840  
  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          1,712,000  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Cable & Satellite TV

                    
$        1,000       

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

      (BB-, Ba3)        04/15/27          5.000        $     1,395,577  
  3,250       

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

      (B+, B1)        01/15/27          5.500          3,451,013  
                        

 

 

  
                           17,792,108  
                        

 

 

  
                        
 

Chemicals (5.0%)

                    
  2,100       

Alpha U.S. Bidco, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/02/20 @ 103.13)(1)

      (CCC+, Caa1)        02/01/25          6.250          2,155,125  
  2,000       

Atotech Alpha 2 B.V., 8.75% Cash, 9.50% PIK, Rule 144A, Senior Unsecured Notes
(Callable 03/02/20 @ 102.00)(1),(4)

      (CCC+, Caa1)        06/01/23          8.750          2,041,030  
  2,200       

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

      (NR, Ba3)        02/01/26          4.500          2,228,264  
  1,000       

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

      (BB-, B1)        04/30/26          5.750          972,848  
  272       

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

      (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)

      (B-, Caa1)        10/01/26          8.000          988,024  
  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          1,401,765  
  1,250       

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

      (B, B3)        04/15/26          6.500          1,246,906  
  2,625       

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

      (BB-, B2)        07/15/25          5.750          2,408,437  
                        

 

 

  
                           13,446,066  
                        

 

 

  
                        
 

Consumer/Commercial/Lease Financing (1.0%)

                    
  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          2,645,604  
                        

 

 

  
                        
 

Diversified Capital Goods (1.5%)

                    
  2,050       

Anixter, Inc., Global Company Guaranteed Notes

      (BB, Ba3)        03/01/23          5.500          2,178,976  
  250       

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

      (BB, Ba3)        12/01/25          6.000          265,729  
  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          1,646,771  
                        

 

 

  
                           4,091,476  
                        

 

 

  
                        
 

Electronics (1.8%)

                    
  2,625       

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

      (BB, Ba2)        02/10/26          4.625          2,715,169  
  1,800       

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

      (BB+, Ba3)        10/01/25          5.000          1,952,253  
                        

 

 

  
                           4,667,422  
                        

 

 

  
                        
 

Energy - Exploration & Production (2.3%)

                    
  1,200       

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

      (B+, B3)        01/15/28          10.125          1,073,820  
  2,718       

Talos Production Finance, Inc., Global Secured Notes
(Callable 03/02/20 @ 105.50)

      (NR, NR)        04/03/22          11.000          2,820,520  
  2,500       

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

      (B+, B3)        11/01/23          9.750          2,373,225  
                        

 

 

  
                           6,267,565  
                        

 

 

  
                        
 

Environmental (0.2%)

                    
  625       

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

      (B+, B1)        12/15/26          5.125          645,219  
                        

 

 

  
                        
 

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          842,278  
                        

 

 

  
                        
 

Gaming (5.3%)

                    
  825       

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

      (B+, B3)        08/15/26          6.000          878,912  
  2,500       

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

      (B+, Ba3)        01/15/28          4.750          2,579,625  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Gaming

                    
$        3,405       

Gateway Casinos & Entertainment Ltd., Rule 144A, Secured Notes
(Callable 03/02/20 @ 104.13)(1)

      (CCC+, Caa1)        03/01/24          8.250        $     3,556,812  
  3,250       

Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes
(Callable 03/02/20 @ 103.38)(1)

      (CCC+, B3)        10/15/24          6.750          3,348,117  
  2,200       

Jacobs Entertainment, Inc., Rule 144A, Secured Notes
(Callable 03/02/20 @ 105.91)(1)

      (B, B2)        02/01/24          7.875          2,337,962  
  1,250       

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

      (BB-, B1)        02/01/27          5.750          1,392,188  
                        

 

 

  
                           14,093,616  
                        

 

 

  
                        
 

Gas Distribution (2.2%)

                    
  1,125       

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

      (B+, B1)        05/15/26          6.250          1,077,444  
  2,750       

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 03/02/20 @ 102.81)

      (B+, B1)        06/15/24          5.625          2,682,391  
  2,000       

Holly Energy Finance Corp., Rule 144A, Company Guaranteed Notes
(Callable 02/05/20 @ 104.50)(1)

      (BB, B1)        08/01/24          6.000          2,095,380  
                        

 

 

  
                           5,855,215  
                        

 

 

  
                        
 

Health Facilities (2.1%)

                    
  1,250       

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

      (BB-, Ba2)        09/01/28          5.625          1,450,750  
  2,750       

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

      (CCC+, Caa2)        02/01/28          9.250          2,866,875  
  455       

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

      (BBB-, Ba1)        08/15/26          5.125          497,981  
  775       

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

      (CCC, Caa2)        04/15/27          10.000          864,394  
                        

 

 

  
                           5,680,000  
                        

 

 

  
                        
 

Health Services (0.5%)

                    
  1,400       

AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/17/20 @ 103.84)(1)

      (BB-, Ba2)        10/01/24          5.125          1,447,831  
                        

 

 

  
                        
 

Insurance Brokerage (3.9%)

                    
  1,000       

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

      (CCC+, Caa2)        08/01/26          10.125          1,094,872  
  3,530       

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

      (CCC+, Caa2)        11/15/25          7.000          3,468,190  
  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          1,275,417  
  3,910       

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

      (CCC+, Caa2)        07/15/25          6.875          3,986,245  
  450       

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

      (CCC+, Caa2)        07/15/25          8.000          468,052  
                        

 

 

  
                           10,292,776  
                        

 

 

  
                        
 

Investments & Misc. Financial Services (1.5%)

                    
  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          4,038,911  
                        

 

 

  
                        
 

lnvestments & Misc. Financial Services (0.3%)

                    
  690       

AG Issuer LLC, Rule 144A(1)

      (B, B1)        03/01/28          6.250          690,000  
                        

 

 

  
                        
 

Machinery (1.1%)

                    
  150       

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

      (B-, Caa1)        10/01/27          11.000          157,552  
  350       

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

      (BB-, Ba2)        07/31/27          5.750          358,759  
  2,485       

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

      (BB-, B1)        12/15/25          4.875          2,546,727  
                        

 

 

  
                           3,063,038  
                        

 

 

  
                        
 

Media - Diversified (0.4%)

                    
  750       

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

      (B-, B3)        08/15/26          5.750          742,761  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Media - Diversified

                    
$           375       

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

      (B+, Ba3)        04/15/28          5.875        $ 392,682  
                        

 

 

  
                               1,135,443  
                        

 

 

  
                        
 

Media Content (1.9%)

                    
  1,387       

Diamond Sports Finance Co., Rule 144A, Company Guaranteed Notes
(Callable 08/15/22 @ 103.31)(1),(2)

      (B, B2)        08/15/27          6.625          1,299,411  
  925       

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

      (BB, Ba2)        08/15/26          5.375          923,128  
  750       

Netflix, Inc., Global Senior Unsecured Notes

      (BB-, Ba3)        02/15/25          5.875          842,501  
  800       

Netflix, Inc., Global Senior Unsecured Notes

      (BB-, Ba3)        11/15/28          5.875          902,400  
  898       

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

      (BB, Ba3)        07/01/29          5.500          968,044  
                        

 

 

  
                           4,935,484  
                        

 

 

  
                        
 

Metals & Mining - Excluding Steel (3.4%)

                    
  2,200       

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

      (BB, Ba2)        01/15/24          4.875          2,215,587  
  2,150       

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

      (B-, NR)        03/01/26          6.875          2,078,727  
  900       

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

      (BB+, Ba3)        03/01/28          4.625          919,665  
  500       

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

      (B+, B2)        01/30/30          4.750          503,138  
  3,925       

Taseko Mines Ltd., Rule 144A, Senior Secured Notes
(Callable 03/02/20 @ 104.38)(1),(8)

      (B-, B3)        06/15/22          8.750          3,465,037  
                        

 

 

  
                           9,182,154  
                        

 

 

  
                        
 

Oil Field Equipment & Services (1.8%)

                    
  300       

KCA Deutag UK Finance PLC, Rule 144A, Senior Secured Notes
(Callable 03/02/20 @ 100.00)(1)

      (CCC+, Caa1)        05/15/21          7.250          209,370  
  700       

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

      (CCC+, Caa1)        04/01/22          9.875          488,468  
  2,580       

Pioneer Energy Services Corp., Global Company Guaranteed Notes
(Callable 03/02/20 @ 101.53)

      (CC, Caa2)        03/15/22          6.125          599,850  
  3,750       

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

      (B-, Caa1)        02/15/25          8.250          3,496,838  
                        

 

 

  
                           4,794,526  
                        

 

 

  
                        
 

Packaging (3.1%)

                    
  1,000       

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

      (B, B3)        02/15/25          6.000          1,047,500  
  650       

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

      (BB-, Ba3)        02/01/26          4.750          675,478  
  2,500       

Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes
(Callable 03/02/20 @ 103.44)(1)

      (CCC+, Caa2)        01/15/25          6.875          2,515,600  
  3,400       

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

      (BB-, Ba3)        10/15/25          4.875          3,491,375  
  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          527,812  
                        

 

 

  
                           8,257,765  
                        

 

 

  
                        
 

Personal & Household Products (1.0%)

                    
  2,000       

High Ridge Brands Co., Rule 144A, Company Guaranteed Notes
(Callable 03/15/20 @ 104.44)(1),(5)

      (NR, Wr)        03/15/25          8.875          25,000  
  200       

Mattel, Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/15/22 @ 104.41)(1)

      (BB-, B1)        12/15/27          5.875          210,600  
  1,822       

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

      (BB-, B1)        12/31/25          6.750          1,957,894  
  550       

Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/02/20 @ 103.19)(1)

      (B+, B3)        03/01/24          6.375          568,334  
                        

 

 

  
                           2,761,828  
                        

 

 

  
                        
 

Pharmaceuticals (4.1%)

                    
  325       

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

      (B, B3)        01/30/30          5.250          331,906  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Pharmaceuticals

                    
$ 169       

Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/02/20 @ 101.47)(1)

      (B, B3)        05/15/23          5.875        $ 170,584  
         2,000       

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

      (B, B3)        05/30/29          7.250          2,258,120  
  2,850       

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

      (BB, Ba2)        03/15/24          7.000          2,960,537  
  410       

Endo Finance LLC, Rule 144A, Company Guaranteed Notes
(Callable 03/02/20 @ 103.00)(1)

      (CCC+, Caa2)        07/15/23          6.000          314,671  
  300       

Endo Finance LLC, Rule 144A, Company Guaranteed Notes
(Callable 03/02/20 @ 103.00)(1)

      (CCC+, Caa2)        02/01/25          6.000          208,593  
  1,350       

Endo Finance LLC, Rule 144A, Senior Secured Notes
(Callable 04/15/20 @ 102.94)(1)

      (B+, B1)        10/15/24          5.875          1,343,810  
  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          1,335,188  
  2,619       

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

      (B, B3)        12/15/24          4.375          2,024,265  
                        

 

 

  
                             10,947,674  
                        

 

 

  
                        
 

Real Estate Development & Management (1.0%)

                    
  2,500       

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

      (BB+, NR)        11/15/23          6.125          2,743,392  
                        

 

 

  
                        
 

Real Estate Investment Trusts (1.9%)

                    
  3,000       

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

      (BB-, Ba3)        05/01/25          5.250          3,081,255  
  1,500       

iStar, Inc., Senior Unsecured Notes
(Callable 03/02/20 @ 102.63)

      (BB, Ba3)        09/15/22          5.250          1,535,157  
  370       

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

      (BB-, Ba3)        12/15/21          5.000          380,082  
                        

 

 

  
                           4,996,494  
                        

 

 

  
                        
 

Recreation & Travel (5.3%)

                    
  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          2,121,434  
  2,000       

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

      (BB-, B1)        04/15/27          5.375          2,122,855  
  1,575       

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

      (BB-, B1)        07/15/29          5.250          1,664,539  
  1,300       

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

      (B+, Ba3)        06/15/26          5.750          1,423,952  
  1,000       

Motion Bondco DAC, Rule 144A, Senior Secured Notes
(Callable 11/15/22 @ 103.31)(1),(2)

      (B-, B3)        11/15/27          6.625          1,067,500  
  2,150       

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 03/02/20 @ 103.66)(1)

      (BB-, B2)        07/31/24          4.875          2,200,170  
  600       

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

      (BB-, B2)        04/15/27          5.500          622,200  
  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          2,863,350  
                        

 

 

  
                           14,086,000  
                        

 

 

  
                        
 

Restaurants (1.1%)

                    
  2,750       

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

      (B+, B2)        10/15/25          5.000          2,842,909  
                        

 

 

  
                        
 

Software - Services (4.7%)

                    
  1,000       

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

      (BB+, Ba1)        06/01/27          4.875          1,051,278  
  1,529       

Epicor Software Corp., Rule 144A, Secured Notes
(Callable 03/02/20 @ 100.00), LIBOR
3M + 7.250%(1),(10)

      (CCC, Caa2)        06/30/23          9.190          1,529,019  
  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          1,673,606  
  1,800       

Infor U.S., Inc., Company Guaranteed Notes
(Callable 02/18/20 @ 101.44)(9)

      (CCC+, Caa1)        05/15/22          5.750          2,028,871  
  240       

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

      (CCC+, Caa1)        02/01/28          8.250          247,200  
  235       

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

      (B, B1)        02/01/27          4.875          235,405  
  3,975       

Solera Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 03/02/20 @ 105.25)(1)

      (CCC+, Caa1)        03/01/24          10.500          4,216,819  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Software - Services

                    
$        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        $ 1,589,512  
                        

 

 

  
                             12,571,710  
                        

 

 

  
                        
 

Specialty Retail (1.9%)

                    
  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          1,513,471  
  1,403       

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

      (BB, Ba2)        08/01/25          5.250          1,452,687  
  2,500       

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

      (NR, B3)        05/01/25          7.500          2,032,288  
                        

 

 

  
                           4,998,446  
                        

 

 

  
                        
 

Steel Producers/Products (0.6%)

                    
  725       

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

      (B, B2)        12/01/27          5.875          739,754  
  800       

Zekelman Industries, Inc., Rule 144A, Senior Secured Notes
(Callable 03/02/20 @ 104.94)(1)

      (B+, B2)        06/15/23          9.875          843,500  
                        

 

 

  
                           1,583,254  
                        

 

 

  
                        
 

Support - Services (4.9%)

                    
  50       

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

      (BB, Ba1)        10/15/27          4.750          46,126  
  1,190       

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

      (BB-, B1)        04/01/25          5.125          1,239,581  
  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          2,577,811  
  1,950       

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

      (B+, B3)        06/01/25          5.125          2,004,434  
  925       

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

      (BB, Ba3)        12/15/27          4.625          930,874  
  1,730       

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

      (CCC+, Caa1)        06/01/25          6.750          1,794,858  
  445       

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

      (BB-, Ba3)        01/15/28          4.875          464,736  
  2,864       

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

      (B, Wr)        05/01/25          7.875          2,226,731  
  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          1,846,339  
                        

 

 

  
                           13,131,490  
                        

 

 

  
                        
 

Tech Hardware & Equipment (1.7%)

                    
  1,750       

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

      (B-, B3)        03/15/27          5.000          1,592,544  
  1,950       

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

      (B-, B3)        06/15/25          6.000          1,872,000  
  675       

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

      (B-, B3)        03/01/27          8.250          694,811  
  250       

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

      (B+, Ba3)        03/01/26          6.000          262,656  
                        

 

 

  
                           4,422,011  
                        

 

 

  
                        
 

Telecom - Wireline Integrated & Services (3.1%)

                    
  650       

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

      (B, B2)        05/01/26          7.375          693,504  
  420       

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

      (BBB-, Ba1)        05/15/27          5.375          455,973  
  135       

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

      (B, B3)        06/15/24          6.625          145,856  
  4,000       

GTT Communications, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/02/20 @ 105.91)(1)

      (CCC, Caa1)        12/31/24          7.875          3,130,000  
  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          2,118,780  
  1,676       

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

      (BB, B1)        11/15/25          4.750          1,737,451  
                        

 

 

  
                           8,281,564  
                        

 

 

  
                        

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Theaters & Entertainment (3.0%)

                    
$        2,995       

AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes
(Callable 05/15/22 @ 103.06)(2)

      (CCC+, B3)        05/15/27          6.125        $ 2,553,312  
  1,490       

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

      (CCC+, B3)        11/15/26          5.875          1,292,311  
  1,000       

Cinemark U.S.A., Inc., Global Company Guaranteed Notes
(Callable 03/02/20 @ 101.63)

      (BB, B2)        06/01/23          4.875          1,014,990  
  2,200       

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/06/20 @ 103.66)(1)

      (B+, Ba3)        11/01/24          4.875          2,279,398  
  400       

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

      (B+, Ba3)        03/15/26          5.625          427,139  
  500       

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

      (B+, Ba3)        10/15/27          4.750          515,325  
                        

 

 

  
                           8,082,475  
                        

 

 

  
                        
 

Transport Infrastructure/Services (0.8%)

                    
  3,150       

Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes
(Callable 03/03/20 @ 100.00)(1)

      (B, Caa2)        08/15/22          11.250          2,119,358  
                        

 

 

  
 

TOTAL CORPORATE BONDS (Cost $252,108,216)

                       252,555,140  
                        

 

 

  
                        
 

BANK LOANS (31.7%)

                    
 

Advertising (0.2%)

                    
  598       

Southern Graphics, Inc., LIBOR 1M + 3.250%(10)

      (CCC+, B3)        12/31/22          4.895          376,529  
  850       

Southern Graphics, Inc., LIBOR 1M + 7.500%(8),(10)

      (CCC-, Caa3)        12/31/23          9.145          234,600  
                        

 

 

  
                           611,129  
                        

 

 

  
                        
 

Aerospace & Defense (0.7%)

                    
  1,902       

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

      (CCC+, B3)        11/28/21          6.904          1,911,579  
                        

 

 

  
                        
 

Auto Parts & Equipment (0.9%)

                    
  971       

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

      (B-, B3)        05/19/23          6.159          878,629  
  1,764       

Jason, Inc., LIBOR 3M + 4.500%(8),(10)

      (CCC+, Caa1)        06/30/21          6.445          1,426,782  
                        

 

 

  
                           2,305,411  
                        

 

 

  
                        
 

Beverages (0.5%)

                    
  2,000       

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

      (CCC-, Caa2)        01/02/22          9.145          1,353,330  
                        

 

 

  
                        
 

Building & Construction (0.2%)

                    
  500       

TRC Companies, Inc., LIBOR 1M + 5.000%(10)

      (B, B2)        06/21/24          6.645          501,355  
                        

 

 

  
                        
 

Building Materials (1.6%)

                    
  2,000       

Airxcel, Inc., LIBOR 1M + 8.750%(8),(10)

      (CCC+, Caa2)        04/27/26          10.395          1,803,340  
  2,475       

LBM Borrower LLC, LIBOR 1M + 3.750%(10)

      (B+, B2)        08/20/22          5.395          2,491,746  
                        

 

 

  
                           4,295,086  
                        
 

Chemicals (4.4%)

                    
  2,244       

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

      (BB-, B1)        08/27/26          7.195          2,261,208  
  375       

ASP Chromaflo Intermediate Holdings, Inc., LIBOR 1M + 8.000%(6),(8),(10)

      (CCC, Caa2)        11/18/24          9.645          361,875  
  1,491       

PMHC II, Inc., LIBOR 3M + 3.500%(10)

      (CCC+, Caa1)        03/31/25          5.445          1,364,758  
  2,475       

Polar U.S. Borrower LLC, LIBOR 3M + 4.750%(6),(10)

      (B, B2)        10/15/25          6.625          2,465,719  
  1,772       

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

      (CCC, Caa1)        05/22/21          5.645          1,520,931  
  2,000       

Vantage Specialty Chemicals, Inc., LIBOR 3M +
8.250%(8),(10)

      (CCC, Caa2)        10/27/25          10.159          1,747,500  
  2,462       

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

      (CCC+, Caa1)        08/12/24          5.945          1,955,000  
                        

 

 

  
                           11,676,991  
                        

 

 

  
                        
 

Diversified Capital Goods (2.1%)

                    
  3,700       

Cortes NP Acquisition Corp., LIBOR 1M + 4.000%(10)

      (B+, B2)        11/30/23          5.645          3,702,312  
  2,045       

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

      (CCC+, Caa2)        01/30/23          10.445          1,959,366  
                        

 

 

  
                           5,661,678  
                        

 

 

  
                        
 

Electronics (1.6%)

                    
  1,000       

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

      (CCC+, Caa2)        07/26/25          8.895          963,750  
  750       

EXC Holdings III Corp., LIBOR 3M + 7.500%(6),(10)

      (CCC+, Caa2)        12/01/25          9.408          735,000  
  2,460       

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

      (B-, B3)        01/10/24          5.695          2,430,855  
                        

 

 

  
                           4,129,605  
                        

 

 

  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

BANK LOANS (continued)

                    
 

Energy - Exploration & Production (0.4%)

                    
$        2,535       

PES Holdings LLC, LIBOR 3M + 6.990%(5),(10)

      (NR, NR)        12/31/22          6.990        $     1,053,160  
                        

 

 

  
                        
 

Food - Wholesale (0.6%)

                    
  1,716       

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

      (B, B3)        10/22/25          5.895          1,543,881  
                        

 

 

  
                        
 

Gas Distribution (1.7%)

                    
  2,078       

BCP Renaissance Parent LLC, LIBOR 2M + 3.500%(10)

      (B+, B1)        10/31/24          5.445          1,893,896  
  995       

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

      (B+, B1)        10/31/24          5.445          886,794  
  1,935       

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

      (B+, B2)        09/27/24          5.650          1,724,441  
                        

 

 

  
                           4,505,131  
                        

 

 

  
                        
 

Health Facility (0.4%)

                    
  1,143       

Western Dental Services, Inc., LIBOR 1M + 5.250%(6),(10)

      (B-, B3)        06/30/23          6.895          1,146,193  
                        

 

 

  
                        
 

Health Services (1.8%)

                    
  1,489       

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

      (B, B2)        02/11/26          6.401          1,497,742  
  897       

Carestream Health, Inc., LIBOR 1M + 6.000%(10)

      (B, B1)        02/28/21          7.645          884,394  
  1,444       

NVA Holdings, Inc., PRIME + 1.750%(10)

      (B, B2)        02/02/25          6.500          1,443,852  
  998       

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

      (B, B2)        12/11/26          6.145          1,002,492  
                        

 

 

  
                           4,828,480  
                        

 

 

  
                        
 

Insurance Brokerage (0.7%)

                    
  1,945       

Acrisure LLC, LIBOR 3M + 4.250%(10)

      (B, B2)        11/22/23          6.195          1,953,006  
                        

 

 

  
                        
 

lnvestments & Misc. Financial Services (0.0%)

                    
  215       

Ditech Holding Corp., Prime + 7.000%(5),(10)

      (NR, NR)        06/30/22          12.000          89,134  
                        

 

 

  
                        
 

Life Insurance (0.2%)

                    
  500       

Vida Capital, Inc., LIBOR 3M + 6.000%(6),(10)

      (B, B2)        10/01/26          7.777          500,000  
                        

 

 

  
                        
 

Machinery (1.8%)

                    
  1,223       

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

      (CCC+, Caa3)        09/06/26          8.395          995,149  
  598       

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

      (B-, B3)        09/06/25          5.145          551,731  
  1,000       

MW Industries, Inc., LIBOR 3M + 8.000%(6),(8),(10)

      (CCC, Caa2)        09/29/25          9.945          950,000  
  2,475       

WireCo WorldGroup, Inc., LIBOR 1M + 9.000%(6),(10)

      (B-, Caa2)        09/30/24          10.645          2,252,250  
                        

 

 

  
                           4,749,130  
                        

 

 

  
                        
 

Medical Products (1.0%)

                    
  1,176       

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

      (CCC+, B3)        06/15/23          6.703          1,125,729  
  1,492       

Maravai Intermediate Holdings LLC, LIBOR 1M +
4.250%(6),(10)

      (B-, B2)        08/01/25          5.938          1,499,906  
                        

 

 

  
                           2,625,635  
                        

 

 

  
                        
 

Metals & Mining - Excluding Steel (0.5%)

                    
  1,292       

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

      (BB-, B1)        02/12/25          5.145          1,287,450  
                        

 

 

  
                        
 

Packaging (0.1%)

                    
  500       

Strategic Materials, Inc., LIBOR 3M + 7.750%(6),(8),(10)

      (CCC-, Caa3)        10/27/25          9.677          327,500  
                        

 

 

  
                        
 

Personal & Household Products (1.5%)

                    
  2,722       

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

      (CCC+, Caa1)        02/05/24          6.395          2,710,584  
  2,750       

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

      (CC, Caa3)        11/08/24          9.660          852,500  
  489       

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

      (B-, B2)        11/30/23          5.693          487,939  
                        

 

 

  
                           4,051,023  
                        

 

 

  
                        
 

Pharmaceuticals (0.6%)

                    
  1,513       

Akorn, Inc., LIBOR 3M + 10.000%(10)

      (B-, Caa1)        04/16/21          11.813          1,463,753  
                        

 

 

  
                           1,463,753  
                        

 

 

  
                        
 

Recreation & Travel (1.4%)

                    
  1,959       

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

      (CCC+, Caa2)        09/04/26          9.395          1,942,681  
  1,870       

Bulldog Purchaser, Inc., LIBOR 1M + 3.750%(6),(10)

      (B+, B2)        09/05/25          5.395          1,854,081  
                        

 

 

  
                           3,796,762  
                        

 

 

  
                        
 

Software - Services (3.0%)

                    
  2,979       

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

      (CCC, Caa2)        06/13/25          9.027          2,931,619  
  750       

Aston FinCo Sarl, LIBOR 3M + 4.250%(6),(10)

      (B-, B2)        10/09/26          6.128          747,656  
  2,004       

Flexera Software LLC, LIBOR 1M + 7.250%(6),(10)

      (CCC+, Caa1)        02/26/26          8.900          2,006,731  
  1,000       

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

      (CCC, Caa1)        07/07/25          8.645          1,014,170  
  618       

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

      (B, B3)        12/09/22          7.775          618,662  

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

BANK LOANS (continued)

                    
 

Software - Services

                    
$           731       

Project Leopard Holdings, Inc., LIBOR 1M + 4.250%(10)

      (B, B2)        07/07/23          5.895        $ 737,220  
                        

 

 

  
                           8,056,058  
                        

 

 

  
                        
 

Specialty Retail (0.9%)

                    
  1,500       

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

      (CCC+, Caa2)        10/03/25          9.184          1,460,625  
  1,000       

Sally Holdings LLC

      (BB+, Ba1)        07/05/24          4.500          995,940  
                        

 

 

  
                           2,456,565  
                        

 

 

  
                        
 

Support - Services (0.8%)

                    
  1,241       

IG Investment Holdings LLC, LIBOR 1M + 4.000%(10)

      (B-, B2)        05/23/25          5.645          1,247,867  
  1,000       

USS Ultimate Holdings, Inc., LIBOR 6M + 7.750%(10)

      (CCC+, Caa2)        08/25/25          9.671          978,000  
                        

 

 

  
                           2,225,867  
                        

 

 

  
                        
 

Telecom - Wireline Integrated & Services (0.4%)

                    
  1,125       

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

      (CCC, Caa2)        07/23/26          9.150          1,116,562  
                        

 

 

  
                        
 

Theaters & Entertainment (1.7%)

                    
  2,158       

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

      (B-, B2)        07/03/26          6.150          2,171,941  
  2,425       

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

      (B, B2)        05/18/25          4.400          2,418,654  
                        

 

 

  
                           4,590,595  
                        

 

 

  
 

TOTAL BANK LOANS (Cost $89,398,131)

                         84,812,049  
                        

 

 

  
                        
 

ASSET BACKED SECURITIES (1.5%)

                    
 

Collateralized Debt Obligations (1.5%)

                    
  1,500       

Anchorage Credit Opportunities CLO 1 Ltd., 2019-1A, Rule 144A, LIBOR 3M + 7.550%(1),(10),(11)

      (BB-, NR)        01/20/32          0.000          1,386,404  
  1,000       

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

      (BB-, NR)        10/20/32          9.148          1,012,845  
  1,500       

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

      (NR, Baa3)        07/15/28          4.891          1,501,236  
                        

 

 

  
 

TOTAL ASSET BACKED SECURITIES (Cost $3,891,166)

                  3,900,485  
                        

 

 

  
                        
Number of
Shares		                                           
                        
 

COMMON STOCKS (1.8%)

                    
 

Auto Parts & Equipment (0.9%)

                    
  109,693       

UCI International, Inc.(6),(7),(8),(12)

                       2,495,516  
                        

 

 

  
                        
 

Building & Construction (0.0%)

                    
  10       

White Forest Resources, Inc.(6),(7),(8),(12)

                       —  
                        

 

 

  
                        
 

Chemicals (0.3%)

                    
  4,893       

Huntsman Corp.(8)

 

        100,600  
  5,400       

Project Investor Holdings LLC(6),(7),(8),(12)

 

        54  
  89,998       

Proppants Holdings LLC(6),(7),(8),(12)

                       747,883  
                        

 

 

  
                           848,537  
                        

 

 

  
                        
 

Energy - Exploration & Production (0.5%)

                    
  777,123       

Independence Contract Drilling, Inc.(12)

 

        545,851  
  111,570       

PES Energy, Inc.(8),(12)

 

        13,947  
  32,848       

Talos Energy, Inc.(12)

                       720,685  
                        

 

 

  
                           1,280,483  
                        

 

 

  
                        
 

Support - Services (0.1%)

                    
  2,100       

LTR Holdings LLC(6),(7),(8),(12)

 

        295,449  
  865       

Sprint Industrial Holdings LLC, Class G(6),(7),(8),(12)

 

        —  
  78       

Sprint Industrial Holdings LLC, Class H(6),(7),(8),(12)

 

        —  
  192       

Sprint Industrial Holdings LLC, Class I(6),(7),(8),(12)

                       2  
                        

 

 

  
                           295,451  
                        

 

 

  
                        
 

Theaters & Entertainment (0.0%)

                    
  45       

NEG Holdings LLC, Litigation Trust Units(6),(7),(8),(12)

                       —  
                        

 

 

  
 

TOTAL COMMON STOCKS (Cost $7,697,032)

                       4,919,987  
                        

 

 

  
                        

 

 

 

 

Number of
Shares		                     

 

       

 

        Value  
                        
 

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 (2.3%)

                    
    6,171,950       

State Street Navigator Securities Lending Government Money Market Portfolio, 1.77%(13) (Cost $6,171,950)

                       6,171,950  
                        

 

 

  
                        
 

TOTAL INVESTMENTS AT VALUE (131.9%) (Cost $359,278,194)

               352,359,611  
                        
 

LIABILITIES IN EXCESS OF OTHER ASSETS (-31.9%)

               (85,298,168 ) 
                        

 

 

  
                        
 

NET ASSETS (100.0%)

             $ 267,061,443  
                        

 

 

  

 

† 

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

(1) 

Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2020, these securities amounted to a value of $217,126,818 or 81.3% of net assets.

(2) 

Security or portion thereof is out on loan.

(3) 

This security is denominated in British Pound.

(4) 

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

(5) 

Bond is currently in default.

(6) 

Security is valued using significant unobservable inputs.

(7) 

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.

(8) 

Illiquid security (unaudited).

(9) 

This security is denominated in Euro.

(10) 

Variable rate obligation—The interest rate shown is the rate in effect as of January 31, 2020.

(11) 

Zero coupon security.

(12) 

Non-income producing security.

(13) 

Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at January 31, 2020.

INVESTMENT ABBREVIATIONS

1M = 1 Month

2M = 2 Month

3M = 3 Month

6M = 6 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)		  

GBP

     5,408     

USD

      7,127      10/13/20    Barclays Bank PLC    $ 7,127     $ 7,176     $ 49  

USD

     147,607     

EUR

      130,746      10/13/20    Deutsche Bank AG      (147,607 )      (147,052 )      555  

USD

     3,452,811     

EUR

      3,072,989      10/13/20    Morgan Stanley          (3,452,811 )          (3,456,229 )      (3,418 ) 

USD

     1,334,381     

GBP

      1,080,182      10/13/20    Morgan Stanley      (1,334,381 )      (1,433,195 )      (98,814 ) 
                    

 

 

  
                    
                     $         (101,628 ) 
                    

 

 

  

Currency Abbreviations:

EUR = Euro

GBP = British Pound

USD = United States Dollar

 

 

 

 

SECURITY VALUATION — The Board of Trustees (the “Board”) is responsible for the Fund’s valuation process. The Board has delegated the supervision of the daily valuation process to Credit Suisse Asset Management, LLC, the Fund’s investment adviser (“Credit Suisse” or the “Adviser”), who has established a Pricing Committee which, pursuant to the policies adopted by the Board, is responsible for making fair valuation determinations and overseeing the Fund’s pricing policies. The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional “round lot” size, but some trades occur in smaller “odd lot” sizes which may be effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more brokers/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, these securities will be fair valued in good faith by the Pricing Committee, in accordance with procedures adopted by the Board.

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

Generally accepted accounting principles in the United States of America (“GAAP”) established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at each measurement date. These inputs are summarized in the three broad levels listed below:

 

  •  

Level  1–quoted prices in active markets for identical investments

  •  

Level  2–other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

  •  

Level  3–significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

 

 

 

The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used as of January 31, 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

    $ —      $ 252,551,473      $ 3,667     $ 252,555,140  

Bank Loans

      —        64,740,324        20,071,725       84,812,049  

Asset Backed Securities

      —        3,900,485        —       3,900,485  

Common Stocks

      1,367,136        13,947        3,538,904       4,919,987  

Warrants

      —        —        0 (1)      0 (1) 

Short-term Investment

      —        6,171,950        —       6,171,950  
  

 

 

     

 

 

     

 

 

    

 

 

  
   $         1,367,136      $     327,378,179      $       23,614,296     $     352,359,611  
  

 

 

     

 

 

     

 

 

    

 

 

  

Other Financial Instruments*

           

Forward Foreign Currency Contracts

    $ —      $ 604      $ —     $ 604  
          

Liabilities    

    Level 1      Level 2      Level 3     Total  

Other Financial Instruments*

           

Forward Foreign Currency Contracts

    $ —      $ 102,232      $ —     $ 102,232  

 

(1) 

Includes zero valued securities.

*

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

The following is a reconciliation of investments as of January 31, 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)

      —          9,734        —        —        9,734  

Purchases

      —          4,081,031        —        —        4,081,031  

Sales

      —          (3,737,926 )       —        —        (3,737,926 ) 

Realized gain (loss)

      —          6,171        —        —        6,171  

Change in unrealized appreciation (depreciation)

      —          217,729        (160,206 )       —        57,523  

Transfers into Level 3

      —          5,876,086        —        —        5,876,086  

Transfers out of Level 3

      —          (2,711,250 )       —        —        (2,711,250 ) 
  

 

 

       

 

 

     

 

 

     

 

 

     

 

 

  

Balance as of January 31, 2019

    $     3,667        $ 20,071,725      $ 3,538,904      $            0 (1)     $ 23,614,296  
  

 

 

       

 

 

     

 

 

     

 

 

     

 

 

  

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

    $ —        $ 166,744      $ (160,206 )     $ —      $ 6,538  

 

(1) 

Includes zero valued securities.

Quantitative Disclosure About Significant Unobservable Inputs

 

Asset Class    

    Fair Value At
01/31/2020		     

Valuation

Techniques

   

Unobservable

Input

   

Range
(Weighted Average)*

Corporate Bonds

    $ 3,667      Income Approach    Expected remaining distribution    $0.01 (N/A)

Bank Loans

    $ 20,071,725      Vendor Pricing    Single Broker Quote    $0.66 – $1.01 ($0.97)

Common Stocks

    $ 2,495,516      Vendor Pricing    Single Broker Quote    $22.75 (N/A)
   $ 1,043,386      Market Approach    EBITDA Multiples    2.4 – 7.7 (7.1)
   $ 2      Income Approach    Expected remaining distribution    $0.00 – $0.01 ($0.01)

Warrants

    $ 0      Market Approach    EBITDA Multiples    7.7 (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 measurement is categorized in its entirety in the fair value hierarchy based on the least observable input that is significant to the fair value measurement. Additionally, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different from the valuations used at the date of these financial statements.

During the period ended January 31, 2020, $5,876,086 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $2,711,250 transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs. All transfers, if any, are assumed to occur at the end of the reporting period.

Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Fund’s website at www.credit-suisse.com/us/funds, as well as on the website of the Securities and Exchange Commission at www.sec.gov.