NPORT-EX 2 NPORT_1326235099955021.htm HTML

Credit Suisse High Yield Bond Fund

Schedule of Investments

July 31, 2020 (unaudited)

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (96.2%)

                    
 

Aerospace & Defense (1.5%)

                    
$        460       

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

      (B+, B1)        04/15/25          7.500        $     452,999  
  1,250       

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

      (B-, B3)        03/15/27          7.500          1,267,737  
  1,940       

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

      (B+, Ba3)        03/15/26          6.250          2,049,135  
                        

 

 

  
                           3,769,871  
                        

 

 

  
                        
 

Air Transportation (0.4%)

                    
  1,000       

Mileage Plus Intellectual Property Assets, Ltd. Rule 144A, Senior Secured Notes
(Callable 06/30/23 @ 103.25)(1)

      (NR, Baa3)        06/20/27          6.500          1,037,500  
                        

 

 

  
                        
 

Auto Parts & Equipment (2.6%)

                    
  300       

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

      (B+, Ba3)        04/15/25          9.000          333,938  
  3,430       

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

      (CCC+, Caa1)        05/15/27          8.500          3,610,589  
  2,450       

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

      (CCC, Caa1)        11/15/26          5.625          1,356,222  
  1,000       

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

      (BB-, B3)        10/01/25          5.000          1,105,550  
                        

 

 

  
                           6,406,299  
                        

 

 

  
                        
 

Automakers (0.7%)

                    
  600       

Ford Motor Co., Global Senior Unsecured Notes

      (BB+, Ba2)        04/21/23          8.500          666,957  
  990       

Winnebago Industries, Inc., Rule 144A, Senior Secured Notes
(Callable 07/15/23 @ 103.13)(1)

      (BB, B2)        07/15/28          6.250          1,048,781  
                        

 

 

  
                           1,715,738  
                        

 

 

  
                        
 

Brokerage (0.7%)

                    
  1,610       

StoneX Group, Inc., Rule 144A, Senior Secured Notes Notes
(Callable 06/15/22 @ 104.31)(1)

      (BB-, Ba3)        06/15/25          8.625          1,727,731  
                        

 

 

  
                        
 

Building & Construction (1.0%)

                    
  600       

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

      (B+, B3)        02/15/25          7.500          589,875  
  300       

Summit Materials LLC / Summit Materials Finance Corp. Rule 144A, Company Guaranteed Notes (Callable 07/15/23 @ 102.65)(1)

      (BB, B2)        01/15/29          5.250          312,375  
  1,591       

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

      (BB, Ba3)        05/01/26          5.625          1,652,349  
                        

 

 

  
                           2,554,599  
                        

 

 

  
                        
 

Building Materials (6.9%)

                    
  2,225       

BMC East LLC, Rule 144A, Senior Secured Notes
(Callable 08/17/20 @ 104.13)(1)

      (BB, B1)        10/01/24          5.500          2,283,173  
  675       

Core & Main LP, Rule 144A, Senior Unsecured Notes (Callable 08/31/20 @ 103.06)(1)

      (CCC+, Caa2)        08/15/25          6.125          696,992  
  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          1,658,014  
  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          2,105,063  
  600       

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

      (BB-, B2)        12/15/27          4.875          612,636  
  4,900       

Omnimax International, Inc., Rule 144A, Senior Secured Notes (1)

      (CCC-, Caa3)        08/15/20          12.000          4,047,939  
  3,540       

PriSo Acquisition Corp., Rule 144A, Senior Unsecured Notes
(Callable 08/31/20 @ 100.00)(1)

      (CCC+, Caa2)        05/15/23          9.000          3,345,300  
  595       

Summit Materials Finance Corp., Global Company Guaranteed Notes
(Callable 08/11/20 @ 100.00)

      (BB, B2)        07/15/23          6.125          596,288  
  750       

WESCO Distribution, Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/15/22 @ 103.56)(1)

      (BB-, B2)        06/15/25          7.125          824,036  
  750       

WESCO Distribution, Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/15/23 @ 103.63)(1)

      (BB-, B2)        06/15/28          7.250          820,429  
                        

 

 

  
                           16,989,870  
                        

 

 

  
                        
 

Cable & Satellite TV (4.7%)

                    
  1,315       

CSC Holdings LLC, Global Senior Unsecured Notes

      (B, B3)        06/01/24          5.250          1,449,787  
  800       

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

      (BB, Ba3)        10/15/25          6.625          838,000  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Cable & Satellite TV

                    
$        525       

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

      (BB, Ba3)        04/15/27          5.500        $        563,588  
  750       

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

      (BB, Ba3)        02/01/28          5.375          814,054  
  1,555       

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

      (B, B3)        08/15/27          5.375          1,619,812  
  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          1,696,000  
  1,000       

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

      (BB-, Ba3)        04/15/27          5.000          1,373,171  
  2,922       

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

      (B+, B1)        01/15/27          5.500          3,088,101  
                        

 

 

  
                           11,442,513  
                        

 

 

  
                        
 

Chemicals (4.8%)

                    
  1,300       

Alpha U.S. Bidco, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/31/20 @ 103.13)(1)

      (CCC, Caa2)        02/01/25          6.250          1,343,875  
  2,000       

Atotech Alpha 2 B.V., 8.75% Cash, 9.50% PIK, Rule 144A, Senior Unsecured Notes
(Callable 08/31/20 @ 101.00)(1),(3)

      (CCC, Caa2)        06/01/23          8.750          2,027,290  
  300       

Avient Corp., Rule 144A, Senior Unsecured Notes
(Callable 05/15/22 @ 102.88)(1)

      (BB-, Ba3)        05/15/25          5.750          326,022  
  2,200       

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

      (NR, Ba3)        02/01/26          4.500          2,207,832  
  950       

Nouryon Holding B.V., Rule 144A, Senior Unsecured Notes
(Callable 10/01/21 @ 104.00)(1),(4)

      (B-, Caa1)        10/01/26          8.000          1,014,747  
  1,200       

Nouryon Holding B.V., Rule 144A, Senior Unsecured Notes
(Callable 10/01/21 @ 103.25)(1),(5)

      (B-, Caa1)        10/01/26          6.500          1,461,659  
  272       

Reichhold Industries, Inc., Rule 144A, Senior Secured
Notes (1),(6),(7),(8),(9)

      (NR, NR)        05/01/18          9.000          3,668  
  1,250       

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

      (B, B3)        04/15/26          6.500          1,256,125  
  2,625       

Venator Materials LLC, Rule 144A, Company Guaranteed Notes
(Callable 08/31/20 @ 104.31)(1)

      (CCC+, Caa1)        07/15/25          5.750          1,960,547  
  200       

Venator Materials LLC, Rule 144A, Senior Secured Notes
(Callable 07/01/22 @ 107.13)(1)

      (B, B1)        07/01/25          9.500          207,000  
                        

 

 

  
                           11,808,765  
                        

 

 

  
                        
 

Consumer/Commercial/Lease Financing (1.1%)

                    
  2,600       

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

      (B+, Ba3)        02/01/28          4.750          2,665,000  
                        

 

 

  
                        
 

Diversified Capital Goods (0.7%)

                    
  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          1,610,340  
                        

 

 

  
                        
 

Electronics (1.9%)

                    
  2,625       

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

      (BB, Ba2)        02/10/26          4.625          2,733,754  
  1,800       

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

      (BB+, Ba3)        10/01/25          5.000          1,948,689  
                        

 

 

  
                           4,682,443  
                        

 

 

  
                        
 

Energy - Exploration & Production (2.1%)

                    
  1,200       

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

      (B-, B3)        01/15/28          10.125          855,000  
  2,718       

Talos Production Finance, Inc., Global Secured Notes
(Callable 08/31/20 @ 102.75)

      (NR, NR)        04/03/22          11.000          2,547,896  
  2,500       

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

      (B, Caa3)        11/01/23          9.750          1,672,850  
                        

 

 

  
                           5,075,746  
                        

 

 

  
                        
 

Environmental (0.3%)

                    
  625       

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

      (BB-, Ba3)        12/15/26          5.125          664,431  
                        

 

 

  
                        
 

Forestry & Paper (0.4%)

                    
  800       

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

      (BB+, Ba1)        07/15/27          5.750          854,848  
                        

 

 

  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Gaming (4.8%)

                    
$ 825       

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

      (B-, Caa1)        08/15/26          6.000        $ 834,438  
  2,500       

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

      (B+, B1)        01/15/28          4.750          2,555,788  
  3,405       

Gateway Casinos & Entertainment Ltd., Rule 144A, Secured Notes
(Callable 08/31/20 @ 104.13)(1)

      (CCC-, Caa3)        03/01/24          8.250          2,668,311  
  180       

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

      (CCC, Caa3)        10/01/25          8.750          94,725  
  3,250       

Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes
(Callable 08/31/20 @ 103.38)(1)

      (CCC, Caa2)        10/15/24          6.750          2,254,688  
  2,200       

Jacobs Entertainment, Inc., Rule 144A, Secured Notes
(Callable 08/31/20 @ 105.91)(1)

      (B-, B3)        02/01/24          7.875          2,004,519  
  1,250       

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

      (BB-, B1)        02/01/27          5.750          1,355,081  
                        

 

 

  
                           11,767,550  
                        

 

 

  
                        
 

Gas Distribution (1.5%)

                    
  2,750       

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 08/31/20 @ 101.88)

      (B+, B1)        06/15/24          5.625          2,550,336  
  1,125       

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

      (B+, B1)        05/15/26          6.250          1,058,693  
                        

 

 

  
                           3,609,029  
                        

 

 

  
                        
 

Health Facilities (0.9%)

                    
  1,250       

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

      (BB-, Ba2)        09/01/28          5.625          1,492,844  
  775       

Surgery Center Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/15/22 @ 105.00)(1),(4)

      (CCC, Caa2)        04/15/27          10.000          824,491  
                        

 

 

  
                           2,317,335  
                        

 

 

  
                        
 

Health Services (1.7%)

                    
  1,400       

AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes
(Callable 09/15/20 @ 103.84)(1)

      (BB-, Ba3)        10/01/24          5.125          1,426,103  
  2,750       

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

      (CCC, Caa3)        02/01/28          9.250          2,763,750  
                        

 

 

  
                           4,189,853  
                        

 

 

  
                        
 

Insurance Brokerage (4.9%)

                    
  3,530       

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

      (CCC+, Caa2)        11/15/25          7.000          3,576,684  
  1,000       

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

      (CCC+, Caa2)        08/01/26          10.125          1,107,340  
  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          1,270,272  
  3,910       

NFP Corp., Rule 144A, Senior Unsecured Notes
(Callable 08/31/20 @ 103.44)(1)

      (CCC+, Caa2)        07/15/25          6.875          4,043,135  
  450       

NFP Corp., Rule 144A, Senior Unsecured Notes
(Callable 08/31/20 @ 104.00)(1)

      (CCC+, Caa2)        07/15/25          8.000          470,138  
  1,500       

NFP Corp., Rule 144A, Senior Unsecured Notes
(Callable 08/15/23 @ 103.44)(1)

      (CCC+, Caa2)        08/15/28          6.875          1,503,750  
                        

 

 

  
                           11,971,319  
                        

 

 

  
                        
 

Investments & Misc. Financial Services (2.1%)

                    
  1,190       

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

      (B-, B2)        03/01/28          6.250          1,207,850  
  3,700       

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

      (B, B1)        05/01/26          8.000          3,916,672  
                        

 

 

  
                           5,124,522  
                        

 

 

  
                        
 

Machinery (1.6%)

                    
  150       

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

      (CCC, Caa1)        10/01/27          11.000          144,440  
  690       

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

      (B+, Ba2)        07/31/27          5.750          725,652  
  600       

Hillenbrand, Inc., Global Company Guaranteed Notes
(Callable 06/15/22 @ 102.88)

      (BB+, Ba1)        06/15/25          5.750          646,125  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Machinery

                    
$        2,300       

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

      (BB-, B1)        12/15/25          4.875        $     2,370,461  
                        

 

 

  
                           3,886,678  
                        

 

 

  
                        
 

Media - Diversified (0.3%)

                    
  750       

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

      (CCC+, Caa1)        08/15/26          5.750          488,145  
  375       

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

      (B, B1)        04/15/28          5.875          300,163  
                        

 

 

  
                           788,308  
                        

 

 

  
                        
 

Media Content (1.0%)

                    
  1,507       

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

      (B, B3)        08/15/27          6.625          826,966  
  925       

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

      (BB-, Ba3)        08/15/26          5.375          714,549  
  898       

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

      (BB, Ba3)        07/01/29          5.500          1,002,114  
                        

 

 

  
                           2,543,629  
                        

 

 

  
                        
 

Metals & Mining - Excluding Steel (3.8%)

                    
  2,200       

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

      (B, Ba3)        01/15/24          4.875          2,131,019  
  300       

First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes
(Callable 08/31/20 @ 103.63)(1)

      (CCC+, Caa2)        04/01/23          7.250          301,793  
  2,150       

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

      (CCC+, NR)        03/01/26          6.875          2,160,782  
  900       

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

      (BB+, B1)        03/01/28          4.625          897,471  
  500       

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

      (B+, B2)        01/30/30          4.750          522,692  
  3,925       

Taseko Mines Ltd., Rule 144A, Senior Secured Notes
(Callable 08/31/20 @ 102.19)(1)

      (CCC+, Caa1)        06/15/22          8.750          3,359,859  
                        

 

 

  
                           9,373,616  
                        

 

 

  
                        
 

Metals & Mining - Excluding Steel (0.1%)

                    
  300       

Cleveland-Cliffs, Inc. Rule 144A, Senior Secured Notes
(Callable 10/17/22 @ 107.41)(1)

      (B, Ba3)        10/17/25          9.875          328,125  
                        

 

 

  
                        
 

Oil Field Equipment & Services (0.6%)

                    
  381       

Pioneer Energy Services Corp., PIK, Rule 144A, Senior Unsecured Notes (1),(3),(7),(8)

      (NR, NR)        08/28/25          5.000          117,958  
  3,750       

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

      (CCC+, Caa2)        02/15/25          8.250          1,436,681  
                        

 

 

  
                           1,554,639  
                        

 

 

  
                        
 

Packaging (4.0%)

                    
  276       

Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/11/20 @ 104.50)(1)

      (B, Caa1)        02/15/25          6.000          288,696  
  650       

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

      (BB-, Ba3)        02/01/26          4.750          680,576  
  2,500       

Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes
(Callable 08/31/20 @ 103.44)(1)

      (CCC+, Caa2)        01/15/25          6.875          2,545,287  
  2,235       

Plastipak Holdings, Inc., Rule 144A, Senior Unsecured Notes
(Callable 10/15/20 @ 103.13)(1)

      (B, B3)        10/15/25          6.250          2,239,191  
  3,400       

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

      (BB-, Ba3)        10/15/25          4.875          3,485,527  
  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          535,150  
                        

 

 

  
                           9,774,427  
                        

 

 

  
                        
 

Personal & Household Products (0.8%)

                    
  2,000       

High Ridge Brands Co., Rule 144A, Company Guaranteed Notes
(Callable 08/31/20 @ 104.44)(1),(6)

      (NR, Wr)        03/15/25          8.875          70,000  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Personal & Household Products

                    
$        1,822       

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

      (B+, B1)        12/31/25          6.750        $     1,953,312  
                        

 

 

  
                           2,023,312  
                        

 

 

  
                        
 

Pharmaceuticals (4.5%)

                    
  169       

Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/31/20 @ 100.00)(1)

      (B, B3)        05/15/23          5.875          169,132  
  1,600       

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

      (B, B3)        05/30/29          7.250          1,762,696  
  325       

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

      (B, B3)        01/30/30          5.250          332,270  
  2,850       

Bausch Health Cos., Inc., Rule 144A, Senior Secured Notes
(Callable 08/31/20 @ 103.50)(1)

      (BB, Ba2)        03/15/24          7.000          2,981,043  
  344       

Endo Finance LLC, Rule 144A, Company Guaranteed Notes
(Callable 06/30/23 @ 104.50)(1)

      (CCC+, Caa2)        06/30/28          6.000          262,644  
  251       

Endo Finance LLC, Rule 144A, Secured Notes
(Callable 07/31/23 @ 107.13)(1)

      (CCC+, Caa2)        07/31/27          9.500          270,766  
  1,350       

Endo Finance LLC, Rule 144A, Senior Secured Notes
(Callable 08/31/20 @ 102.94)(1)

      (B+, B2)        10/15/24          5.875          1,348,171  
  1,250       

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

      (B+, Ba3)        08/01/27          5.500          1,360,663  
  2,619       

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

      (B-, B3)        12/15/24          4.375          2,471,406  
  112       

Par Pharmaceutical, Inc., Rule 144A, Senior Secured Notes
(Callable 04/01/22 @ 105.63)(1)

      (B+, B2)        04/01/27          7.500          119,273  
                        

 

 

  
                           11,078,064  
                        

 

 

  
                        
 

Real Estate Development & Management (0.5%)

                    
  1,100       

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

      (BB+, NR)        11/15/23          6.125          1,130,026  
                        

 

 

  
                        
 

Real Estate Investment Trusts (2.1%)

                    
  1,280       

ESH Hospitality, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/31/20 @ 102.63)(1)

      (BB-, Ba3)        05/01/25          5.250          1,309,434  
  1,500       

iStar, Inc., Senior Unsecured Notes
(Callable 08/31/20 @ 102.63)

      (BB, Ba3)        09/15/22          5.250          1,505,272  
  1,405       

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

      (B+, Ba3)        02/01/21          3.625          1,392,531  
  970       

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

      (B+, Ba3)        12/15/21          5.000          983,032  
                        

 

 

  
                           5,190,269  
                        

 

 

  
                        
 

Recreation & Travel (7.4%)

                    
  2,200       

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

      (B, B1)        05/01/25          7.250          2,359,269  
  2,000       

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

      (B-, B3)        04/15/27          5.375          1,935,810  
  1,575       

Cedar Fair LP, Global Company Guaranteed Notes
(Callable 07/15/24 @ 102.63)

      (B-, B3)        07/15/29          5.250          1,490,564  
  1,300       

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

      (B, B1)        06/15/26          5.750          1,239,628  
  1,000       

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

      (CCC+, Caa1)        11/15/27          6.625          864,040  
  1,150       

Powdr Corp., Rule 144A, Senior Secured Notes
(Callable 08/01/22 @ 103.00)(1)

      (B, B1)        08/01/25          6.000          1,180,188  
  680       

SeaWorld Parks & Entertainment, Inc., Rule 144A, Secured Notes
(Callable 02/01/22 @ 104.75)(1)

      (CCC, Caa2)        08/01/25          9.500          691,900  
  600       

SeaWorld Parks & Entertainment, Inc., Rule 144A, Senior Secured Notes
(Callable 05/01/22 @ 104.38)(1),(4)

      (B-, B2)        05/01/25          8.750          631,125  
  2,150       

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 08/31/20 @ 102.44)(1)

      (B-, B3)        07/31/24          4.875          2,045,575  
  600       

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 04/15/22 @ 102.75)(1),(4)

      (B-, B3)        04/15/27          5.500          567,750  
  400       

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

      (BB-, Ba2)        07/01/25          7.000          430,162  
  3,135       

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

      (BB-, B2)        11/01/27          4.875          2,860,687  
  925       

TripAdvisor, Inc., Rule 144A, Company Guaranteed Notes
(Callable 07/15/22 @ 103.50)(1)

      (BB-, B1)        07/15/25          7.000          970,949  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

  
 

Recreation & Travel

                    
$        920       

Vail Resorts, Inc., 144A, Company Guaranteed Notes
(Callable 05/15/22 @ 103.13)(1)

      (BB, B2)        05/15/25          6.250        $     992,450  
                        

 

 

  
                           18,260,097  
                        

 

 

  
                        
 

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          2,816,536  
                        

 

 

  
                        
 

Software - Services (4.6%)

                    
  890       

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

      (BB+, Ba1)        06/01/27          4.875          953,764  
  1,529       

Epicor Software Corp., Rule 144A, Secured Notes, LIBOR 3M + 7.250%
(Callable 08/13/20 @ 100.00)(1),(10)

      (CCC, Caa2)        06/30/23          7.560          1,528,837  
  388       

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

      (BB-, B1)        12/01/27          5.250          414,603  
  1,700       

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

      (CCC+, Caa1)        02/01/28          8.250          1,773,312  
  235       

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

      (B, B1)        02/01/27          4.875          240,104  
  3,975       

Solera Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/31/20 @ 105.25)(1)

      (CCC+, Caa1)        03/01/24          10.500          4,210,519  
  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          1,612,500  
  550       

WEX, Inc., Rule 144A, Senior Secured Notes
(Callable 08/31/20 @ 100.79)(1)

      (BB-, Ba2)        02/01/23          4.750          553,380  
                        

 

 

  
                           11,287,019  
                        

 

 

  
                        
 

Specialty Retail (2.4%)

                    
  61       

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

      (BB, B1)        03/01/28          4.500          62,738  
  733       

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

      (BB, B1)        03/01/30          4.750          753,157  
  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          1,559,520  
  1,403       

Lithia Motors, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/31/20 @ 103.94)(1)

      (BB, Ba2)        08/01/25          5.250          1,464,234  
  2,500       

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

      (NR, Caa2)        05/01/25          7.500          1,762,500  
  300       

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

      (BB-, Ba2)        04/30/25          8.750          339,140  
                        

 

 

  
                           5,941,289  
                        

 

 

  
                        
 

Steel Producers/Products (0.3%)

                    
  725       

Allegheny Technologies, Inc., Global Senior Unsecured Notes (Callable 12/01/22 @ 102.94)(4)

      (B, B2)        12/01/27          5.875          690,109  
                        

 

 

  
                        
 

Support - Services (5.4%)

                    
  50       

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

      (BB, Ba1)        10/15/27          4.750          42,408  
  1,190       

Gartner, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/10/20 @ 103.84)(1)

      (BB, Ba3)        04/01/25          5.125          1,233,310  
  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          2,403,375  
  300       

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

      (CCC+, Caa1)        07/15/27          11.000          313,631  
  1,950       

KAR Auction Services, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/31/20 @ 103.84)(1)

      (B-, Caa1)        06/01/25          5.125          1,962,187  
  925       

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

      (BB, Ba3)        12/15/27          4.625          953,675  
  300       

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

      (B+, Ba3)        04/15/25          9.250          330,938  
  1,700       

Tempo Acquisition Finance Corp., Rule 144A, Senior Unsecured Notes
(Callable 08/10/20 @ 103.38)(1)

      (CCC+, Caa1)        06/01/25          6.750          1,760,546  
  445       

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

      (BB-, Ba3)        01/15/28          4.875          478,375  
  2,864       

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

      (CCC+, Wr)        05/01/25          7.875          1,927,801  

 

 

 

 

Par
(000)		              

Ratings†
(S&P/Moody’s)

      Maturity        Rate%        Value  
                        
 

CORPORATE BONDS (continued)

  
 

Support - Services

  
$                 1,753       

Williams Scotsman International, Inc., Rule 144A, Senior Secured Notes
(Callable 08/31/20 @ 103.44)(1)

      (B+, B3)        08/15/23          6.875        $                 1,816,730  
                        

 

 

  
                           13,222,976  
                        

 

 

  
                        
 

Tech Hardware & Equipment (1.9%)

                    
  1,950       

CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes
(Callable 08/10/20 @ 103.00)(1)

      (B-, B3)        06/15/25          6.000          1,995,143  
  1,750       

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

      (B-, B3)        03/15/27          5.000          1,694,954  
  675       

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

      (B-, B3)        03/01/27          8.250          728,767  
  250       

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

      (B+, Ba3)        03/01/26          6.000          267,046  
                        

 

 

  
                           4,685,910  
                        

 

 

  
                        
 

Telecom - Wireline Integrated & Services (4.3%)

                    
  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          2,475,950  
  650       

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

      (B, B2)        05/01/26          7.375          694,005  
  420       

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

      (BBB-, Baa3)        05/15/27          5.375          463,115  
  135       

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

      (B, B3)        06/15/24          6.625          142,524  
  4,000       

GTT Communications, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/31/20 @ 105.91)(1)

      (CCC-, Caa1)        12/31/24          7.875          2,272,500  
  2,000       

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

      ((P)B+, B1)        10/15/27          6.750          2,163,500  
  1,676       

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

      (BB, B1)        11/15/25          4.750          1,740,769  
  600       

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

      (CCC+, Caa1)        03/01/28          6.125          620,532  
                        

 

 

  
                           10,572,895  
                        

 

 

  
                        
 

Theaters & Entertainment (2.9%)

                    
  1,490       

AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes
(Callable 11/15/21 @ 102.94)(6)

      (C, Ca)        11/15/26          5.875          428,375  
  2,995       

AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes
(Callable 05/15/22 @ 103.06)(6)

      (C, Ca)        05/15/27          6.125          861,062  
  1,000       

Cinemark U.S.A., Inc., Global Company Guaranteed Notes
(Callable 08/31/20 @ 100.81)

      (BB-, B3)        06/01/23          4.875          852,500  
  1,265       

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

      (BB+, Ba2)        05/01/25          8.750          1,311,647  
  200       

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

      (BBB-, Baa3)        05/01/25          6.250          219,013  
  550       

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

      (BBB-, Baa3)        05/01/25          7.000          596,176  
  2,200       

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/05/20 @ 103.66)(1)

      (B, B1)        11/01/24          4.875          2,083,950  
  400       

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

      (B, B1)        03/15/26          5.625          381,504  
  500       

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

      (B, B1)        10/15/27          4.750          462,658  
                        

 

 

  
                           7,196,885  
                        

 

 

  
                        
 

Transport Infrastructure/Services (0.9%)

                    
  3,150       

Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes
(Callable 08/31/20 @ 100.00)(1)

      (B-, Caa2)        08/15/22          11.250          2,216,072  
                        

 

 

  
 

TOTAL CORPORATE BONDS (Cost $249,233,963)

          236,546,183  
                        

 

 

  
                        
 

BANK LOANS (35.0%)

  
 

Advertising (0.3%)

                    
  595       

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

      (CCC+, B3)        12/31/22          3.411          338,970  
  850       

Southern Graphics, Inc., LIBOR 1M +
7.500%(9),(10)

      (CCC-, Caa3)        12/31/23          7.661          283,335  
                        

 

 

  
                           622,305  
                        

 

 

  

 

 

 

 

Par
(000)		              

Ratings†
(S&P/Moody’s)

      Maturity        Rate%        Value  
                        
 

BANK LOANS (continued)

  
 

Aerospace & Defense (0.7%)

  
$                 1,703       

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

      (NR, NR)        11/28/21          6.000        $                 1,616,105  
                        

 

 

  
                        
 

Auto Parts & Equipment (0.6%)

                    
  966       

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

      (CCC+, Caa2)        05/19/23          4.613          611,727  
  1,724       

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

      (D, NR)        06/30/21          4.740          917,776  
                        

 

 

  
                           1,529,503  
                        

 

 

  
                        
 

Beverages (0.5%)

                    
  2,000       

The Winebow Group, Inc., LIBOR 1M +
7.500%(9),(10)

      (CC, Caa2)        01/02/22          8.500          1,256,670  
                        

 

 

  
                        
 

Building & Construction (1.2%)

                    
  1,993       

ACProducts, Inc., LIBOR 6M + 6.500%(8),(10)

      (B, B2)        08/18/25          7.500          1,995,061  
  1,092       

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

      (B, B2)        06/21/24          6.000          1,040,706  
                        

 

 

  
                           3,035,767  
                        

 

 

  
                        
 

Building Materials (1.7%)

                    
  2,000       

Airxcel, Inc., LIBOR 2M + 8.750%(10)

      (CCC, Ca)        04/27/26          8.993          1,684,000  
  2,462       

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

      (B+, B2)        08/20/22          4.822          2,435,652  
                        

 

 

  
                           4,119,652  
                        

 

 

  
                        
 

Chemicals (4.5%)

                    
  2,233       

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

      (BB-, B1)        08/27/26          6.250          2,247,082  
  250       

ASP Chromaflo Intermediate Holdings, Inc., LIBOR 1M + 8.000%(9),(10)

      (CCC, Caa2)        11/18/24          9.000          198,125  
  2,478       

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

      (CCC+, Caa1)        03/31/25          4.500          2,159,443  
  2,463       

Polar U.S. Borrower LLC, LIBOR 1M +
4.750%(8),(10)

      (B-, B2)        10/15/25          4.920          2,327,063  
  1,767       

UTEX Industries, Inc., Prime + 5.000%(6),(10)

      (CCC, Ca)        05/22/21          8.250          493,907  
  2,000       

Vantage Specialty Chemicals, Inc., LIBOR 6M + 8.250%(9),(10)

      (CCC, Caa3)        10/27/25          9.250          1,470,000  
  2,450       

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

      (CCC+, Caa1)        08/12/24          5.072          2,172,202  
                        

 

 

  
                           11,067,822  
                        

 

 

  
                        
 

Diversified Capital Goods (0.5%)

                    
  2,045       

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

      (CCC-, Caa3)        01/30/23          9.500          1,155,425  
                        

 

 

  
                        
 

Electronics (2.2%)

                    
  999       

CPI International, Inc., LIBOR 1M +
7.250%(8),(9),(10)

      (CCC, Caa2)        07/26/25          8.250          884,448  
  2,250       

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

      (CCC+, Caa2)        12/01/25          8.500          2,175,188  
  2,447       

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

      (B-, B3)        01/10/24          4.058          2,303,261  
                        

 

 

  
                           5,362,897  
                        

 

 

  
                        
 

Energy - Exploration & Production (0.2%)

                    
  2,625       

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

      (NR, NR)        12/31/22          6.990          610,211  
                        

 

 

  
                        
 

Food - Wholesale (0.7%)

                    
  1,708       

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

      (B, B3)        10/22/25          4.411          1,664,693  
                        

 

 

  
                        
 

Gas Distribution (1.5%)

                    
  1,217       

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

      (B, B2)        10/31/24          4.500          1,102,550  
  990       

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

      (B, B2)        11/01/24          3.808          853,875  
  1,926       

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

      (B, B3)        09/27/24          5.000          1,692,719  
                        

 

 

  
                           3,649,144  
                        

 

 

  
                        
 

Health Facility (0.4%)

                    
  1,137       

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

      (CCC+, Caa1)        06/30/23          6.250          983,913  
                        

 

 

  
                        
 

Health Services (1.6%)

                    
  2,227       

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

      (B, B2)        02/11/26          4.818          2,202,413  
  895       

Carestream Health, Inc., LIBOR 3M + 6.750%(10)

      (B-, B1)        05/08/23          7.822          853,979  
  995       

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

      (B, B2)        12/11/26          5.500          994,280  
                        

 

 

  
                           4,050,672  
                        

 

 

  
                        
 

Insurance Brokerage (1.3%)

                    
  1,940       

Acrisure LLC, LIBOR 1M + 3.500%(10)

      (B, B2)        02/15/27          3.661          1,874,390  
  1,242       

Alera Group Holdings, Inc., LIBOR 6M +
4.000%(8),(10)

      (B, B2)        08/01/25          5.072          1,213,696  
                        

 

 

  
                           3,088,086  
                        

 

 

  

 

 

 

 

Par
(000)		              

Ratings†
(S&P/Moody’s)

      Maturity        Rate%        Value  
                        
 

BANK LOANS (continued)

  
 

Investments & Misc. Financial Services (1.1%)

                    
$ 1,493       

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

      (B-, B2)        07/31/26          5.161        $ 1,416,592  
                  1,298       

Deerfield Dakota Holding LLC, LIBOR 1M + 8.000%(8),(10)

      (CCC, Caa2)        04/07/28          9.000                          1,294,832  
  215       

Ditech Holding Corp., Prime + 7.000%(6),(8),(10)

      (NR, NR)        06/30/22          10.250          50,473  
                        

 

 

  
                           2,761,897  
                        

 

 

  
                        
 

Life Insurance (0.6%)

                    
  1,474       

Vida Capital, Inc., LIBOR 2M + 6.000%(8),(10)

      (B, B2)        10/01/26          6.161          1,470,066  
                        

 

 

  
                        
 

Machinery (1.3%)

                    
  1,223       

LTI Holdings, Inc., LIBOR 1M + 6.750%(9),(10)

      (CCC, Caa3)        09/06/26          6.918          882,334  
  595       

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

      (CCC+, B3)        09/06/25          3.668          525,769  
  2,475       

WireCo WorldGroup, Inc., LIBOR 6M +
9.000%(8),(9),(10)

      (CCC+, Caa3)        09/30/24          10.072          1,893,375  
                        

 

 

  
                           3,301,478  
                        

 

 

  
                        
 

Medical Products (1.0%)

                    
  1,170       

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

      (CCC+, B3)        06/15/23          6.060          994,177  
  1,485       

Maravai Intermediate Holdings LLC, LIBOR 3M + 4.250%(8),(10)

      (B-, B2)        08/01/25          5.250          1,473,750  
                        

 

 

  
                           2,467,927  
                        

 

 

  
                        
 

Metals & Mining - Excluding Steel (0.9%)

                    
  2,216       

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

      (BB-, B1)        02/12/25          4.500          2,163,276  
                        

 

 

  
                        
 

Packaging (0.1%)

                    
  800       

Strategic Materials, Inc., LIBOR 3M +
7.750%(8),(9),(10)

      (CC, C)        10/31/25          8.750          160,000  
                        

 

 

  
                        
 

Personal & Household Products (1.2%)

                    
  1,770       

Serta Simmons Bedding LLC, LIBOR 3M + 7.500%(10)

      (B+, B2)        08/10/23          8.500          1,755,027  
  1,073       

Serta Simmons Bedding LLC, LIBOR 3M + 7.500%(10)

      (B, Caa2)        08/10/23          8.500          825,825  
  479       

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

      (B-, B2)        11/30/23          4.750          473,372  
                        

 

 

  
                           3,054,224  
                        

 

 

  
                        
 

Pharmaceuticals (0.7%)

                    
  1,870       

Akorn, Inc., LIBOR 1M + 13.750%(6),(10)

      (D, NR)        04/16/21          14.750          1,823,647  
                        

 

 

  
                           1,823,647  
                        

 

 

  
                        
 

Recreation & Travel (1.8%)

                    
  1,959       

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

      (CCC-, Caa3)        09/04/26          8.822          1,593,323  
  1,861       

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

      (B-, B3)        09/05/25          4.822          1,560,065  
  1,547       

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

      (CCC-, Caa2)        04/27/25          5.500          1,257,181  
                        

 

 

  
                           4,410,569  
                        

 

 

  
                        
 

Restaurants (0.1%)

                    
  277       

Golden Nugget, Inc., LIBOR 3M + 12.000%(8),(10)

      (NR, NR)        10/04/23          13.000          321,726  
  23       

Golden Nugget, Inc., LIBOR 3M + 12.000%(8),(10)

      (NR, NR)        10/04/23          13.000          25,708  
                        

 

 

  
                           347,434  
                        

 

 

  
                        
 

Software - Services (3.5%)

                    
  748       

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

      (B-, B2)        10/09/26          4.428          719,367  
  2,560       

Epicor Software Corp., LIBOR 1M + 7.750%(10)

      (CCC, Caa2)        07/30/28          8.750          2,624,000  
  249       

Finastra U.S.A., Inc., LIBOR 3M + 3.500%(10)

      (CCC+, B2)        06/13/24          4.500          230,868  
  2,979       

Finastra U.S.A., Inc., LIBOR 6M + 7.250%(10)

      (CCC-, Caa2)        06/13/25          8.250          2,746,349  
  1,000       

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

      (CCC, Caa1)        07/07/25          7.750          1,000,005  
  601       

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

      (B, B3)        12/09/22          6.875          567,922  
  728       

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

      (B, B2)        07/07/23          5.250          717,126  
                        

 

 

  
                           8,605,637  
                        

 

 

  
                        
 

Specialty Retail (1.0%)

                    
  1,500       

Boing U.S. Holdco, Inc., LIBOR 1M +
7.500%(9),(10)

      (CCC, Caa2)        10/03/25          8.500          1,338,750  
  1,000       

Sally Holdings LLC

      (BB+, Ba1)        07/05/24          4.500          998,750  
                        

 

 

  
                           2,337,500  
                        

 

 

  
                        
 

Support - Services (1.4%)

                    
  1,234       

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

      (B-, B2)        05/23/25          5.000          1,183,726  
  1,391       

Nuvei Technologies Corp., LIBOR 1M +
5.000%(8),(10)

      (B-, B2)        09/29/25          6.000          1,390,808  
  1,000       

USS Ultimate Holdings, Inc., LIBOR 3M + 7.750%(8),(9),(10)

      (CCC, Caa2)        08/25/25          8.750          900,000  
                        

 

 

  
                           3,474,534  
                        

 

 

  

 

 

 

 

Par
(000)		              

Ratings†
(S&P/Moody’s)

      Maturity        Rate%        Value  
 

BANK LOANS (continued)

  
 

Telecom - Wireline Integrated & Services (0.4%)

  
$        1,125       

TVC Albany, Inc., LIBOR 1M + 7.500%(9),(10)

      (CCC, Caa2)        07/23/26          7.660        $ 971,657  
                        

 

 

  
                        
 

Theaters & Entertainment (2.0%)

                    
  2,158       

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

      (B-, B3)        07/03/26          5.500          2,090,999  
  2,412       

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

      (CCC+, B3)        05/18/25          2.920          1,926,370  
  997       

William Morris Endeavor Entertainment LLC, LIBOR 1M + 8.500%(10)

      (CCC+, B3)        05/18/25          9.500          972,563  
                        

 

 

  
                           4,989,932  
                        

 

 

  
 

TOTAL BANK LOANS (Cost $98,059,157)

                 86,152,643  
                        

 

 

  
    
 

ASSET BACKED SECURITIES (2.0%)

  
 

Collateralized Debt Obligations (2.0%)

                    
  1,500       

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

      (BB-, NR)        01/20/32          7.822          1,380,900  
  1,500       

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

      (NR, Ba3)        01/20/29          7.022          1,260,324  
  1,000       

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

      (BB-, NR)        10/20/32          7.502          927,920  
  1,500       

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

      (NR, Baa3)        07/15/28          3.335          1,333,152  
                        

 

 

  
 

TOTAL ASSET BACKED SECURITIES (Cost $5,392,131)

          4,902,296  
                        

 

 

  
                        
Number of
Shares		                                           
                        
 

COMMON STOCKS (2.6%)

  
 

Auto Parts & Equipment (2.2%)

                    
  109,693       

Remainco LLC(7),(8),(11)

                       5,415,543  
                        

 

 

  
                        
 

Building & Construction (0.0%)

                    
  10       

White Forest Resources, Inc.(7),(8),(9),(11)

                       —  
                        

 

 

  
                        
 

Chemicals (0.1%)

                    
  4,893       

Huntsman Corp.(9)

                       90,521  
  5,400       

Project Investor Holdings LLC(7),(8),(9),(11)

                       54  
  89,998       

Proppants Holdings LLC(7),(8),(9),(11)

                       180,896  
                        

 

 

  
                           271,471  
                        

 

 

  
                        
 

Energy - Exploration & Production (0.1%)

                    
  10,716       

Independence Contract Drilling, Inc.(11)

                       35,898  
  111,570       

PES Energy, Inc.(9),(11)

                       1,116  
  32,848       

Talos Energy, Inc.(11)

                       223,695  
                        

 

 

  
                           260,709  
                        

 

 

  
                        
 

Oil Field Equipment & Services (0.0%)

                    
  4,254       

Pioneer Energy Services Corp.(7),(8),(11)

                       3,105  
                        

 

 

  
                        
 

Support - Services (0.2%)

                    
  2,100       

LTR Holdings LLC(7),(8),(9),(11)

                       439,173  
  865       

Sprint Industrial Holdings LLC, Class G(7),(8),(9),(11)

                       —  
  78       

Sprint Industrial Holdings LLC, Class H(7),(8),(9),(11)

                       —  
  192       

Sprint Industrial Holdings LLC, Class I(7),(8),(9),(11)

                       2  
                        

 

 

  
                           439,175  
                        

 

 

  
                        
 

Theaters & Entertainment (0.0%)

                    
  45       

NEG Holdings LLC, Litigation Trust Units(7),(8),(9),(11)

 

        1  
                        

 

 

  
 

TOTAL COMMON STOCKS (Cost $6,528,331)

          6,390,004  
                        

 

 

  
                        
 

WARRANT (0.0%)

  
 

Chemicals (0.0%)

                    
  22,499       

Project Investor Holdings LLC, expires 02/20/2022(7),(8),(9),(11) (Cost $11,699)

 

        —  
                        

 

 

  
                        
 

SHORT-TERM INVESTMENTS (1.5%)

                    
         3,797,525       

State Street Navigator Securities Lending Government Money Market Portfolio 0.12%(12)
(Cost $3,797,525)

 

        3,797,525  

 

 

 

 

TOTAL INVESTMENTS AT VALUE (137.3%) (Cost $363,022,806)

           $ 337,788,651  

LIABILITIES IN EXCESS OF OTHER ASSETS (-37.3%)

             (91,809,230 ) 
                        

 

 

  

NET ASSETS (100.0%)

           $ 245,979,421  
                        

 

 

  

 

†

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 July 31, 2020, these securities amounted to a value of $209,280,227 or 85.1% of net assets.

(2) 

This security is denominated in British Pound.

(3) 

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

(4) 

Security or portion thereof is out on loan.

(5) 

This security is denominated in Euro.

(6) 

Bond is currently in default.

(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) 

Security is valued using significant unobservable inputs.

(9) 

Illiquid security (unaudited).

(10) 

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

(11) 

Non-income producing security.

(12) 

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

INVESTMENT ABBREVIATIONS

1M = 1 Month

2M = 2 Month

3M = 3 Month

6M = 6 Month

12M = 12 Month

LIBOR = London Interbank Offered Rate

NR = Not Rated

Sarl - société à responsabilité limitée

Forward Foreign Currency Contracts

 

Forward
Currency to be
Purchased (Local)

     

Forward
Currency to be
Sold (Local)

     

    Expiration    
Date

   

Counterparty

    Value on
Settlement Date		     Current
Value/Notional		     Net Unrealized
Appreciation
(Depreciation)		  

EUR

     124,026     

USD

      142,693      10/13/20    Barclays Bank PLC    $ 142,693     $ 146,879     $ 4,186  

EUR

     432,314     

USD

      477,816      10/13/20    Deutsche Bank AG      477,816       511,973       34,157  

EUR

     1,841,850     

USD

      2,055,857      10/13/20    JPMorgan Chase      2,055,857       2,181,228       125,371  

GBP

     93,150     

USD

      115,750      10/13/20    Barclays Bank PLC      115,750       122,305       6,555  

GBP

     49,343     

USD

      58,430      10/13/20    Deutsche Bank AG      58,430       64,787       6,357  

USD

     3,452,811     

EUR

      3,072,989      10/13/20    Morgan Stanley          (3,452,811 )          (3,639,216 )      (186,405 ) 

USD

     487,075     

EUR

      439,892      10/13/20    Deutsche Bank AG      (487,075 )      (520,946 )      (33,871 ) 

USD

     182,771     

EUR

      165,657      10/13/20    JPMorgan Chase      (182,771 )      (196,180 )      (13,409 ) 

USD

     1,334,381     

GBP

      1,080,182      10/13/20    Morgan Stanley      (1,334,381 )      (1,418,260 )      (83,879 ) 

USD

     106,780     

GBP

      86,009      10/13/20    Deutsche Bank AG      (106,780 )      (112,929 )      (6,149 ) 

USD

     67,965     

GBP

      53,953      10/13/20    JPMorgan Chase      (67,965 )      (70,839 )      (2,874 ) 
                    

 

 

  
                    
                     $         (149,961 ) 
                    

 

 

  

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 July 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

    $ —      $ 236,424,557      $ 121,626     $ 236,546,183  

Bank Loans

      —        68,504,555        17,648,088       86,152,643  

Asset Backed Securities

      —        4,902,296        —       4,902,296  

Common Stocks

      350,114        1,116        6,038,774       6,390,004  

Warrants

      —        —        0 (1)      0 (1) 

Short-term Investment

      —        3,797,525        —       3,797,525  
  

 

 

     

 

 

     

 

 

    

 

 

  
   $       350,114      $     313,630,049      $     23,808,488     $     337,788,651  
  

 

 

     

 

 

     

 

 

    

 

 

  

Other Financial Instruments*

           

Forward Foreign Currency Contracts

    $ —      $ 176,626      $ —     $ 176,626  
          

Liabilities    

    Level 1      Level 2      Level 3     Total  

Other Financial Instruments*

           

Forward Foreign Currency Contracts

    $ —      $ 326,587      $ —     $ 326,587  

 

*

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

(1) 

Includes zero valued securities.

The following is a reconciliation of investments as of July 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)

      —       38,112       —       —       38,112  

Purchases

      1,292,000       8,190,699       3,131,130       —       12,613,829  

Sales

      (588,211 )      (4,465,810 )      (1,055,290 )      —       (6,109,311 ) 

Realized gain (loss)

      (425,789 )      (283,500 )      (1,159,356 )      —       (1,868,645 ) 

Change in unrealized appreciation (depreciation)

      (160,041 )      (1,478,104 )      1,423,180       —       (214,965 ) 

Transfers into Level 3

      —       4,671,305       —       —       4,671,305  

Transfers out of Level 3

      —       (5,354,764 )      —       —       (5,354,764 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Balance as of July 31, 2020

    $      121,626     $ 17,648,088     $ 6,038,774     $            0 (1)    $ 23,808,488  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation (depreciation) from investments still held as of July 31, 2020

    $ (160,041)     $ (881,872)     $ (1,524,270)     $ —       $ (2,566,183)  

 

(1) 

Includes zero valued securities.

Quantitative Disclosure About Significant Unobservable Inputs

 

Asset Class    

    Fair Value At
07/31/2020		     

Valuation Techniques

   

Unobservable

Input

   

Range

(Weighted Average)*

Corporate Bonds

    $ 3,667      Income Approach    Expected Remaining Distribution    $0.01 (N/A)
   $ 117,959      Market Approach    EBITDA Multiples    11.7 (N/A)

Bank Loans

    $ 17,648,088      Vendor Pricing    Single Broker Quote    $0.20 – $1.16 ($0.95)

Common Stocks

    $ 5,415,545      Income Approach    Expected Remaining Distribution   

$0.00 – $49.37 ($49.37)

   $ 623,229      Market Approach    EBITDA Multiples    4.4 – 11.7 (7.9)

Warrants

    $ 0      Market Approach    EBITDA Multiples    6.6 (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 July 31, 2020, $4,671,305 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $5,354,764 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.