NPORT-EX 2 NPORT_3540014657520999.htm FOR VALIDATION PURPOSES ONLY - [107261.TX]

Credit Suisse High Yield Bond Fund

Schedule of Investments

January 31, 2021 (unaudited)

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (86.9%)

                    
 

Advertising (0.4%)

                    
$        925       

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

      (BB-, B1)        07/15/25          7.000        $     1,000,855  
                        

 

 

  
                   
 

Aerospace & Defense (1.4%)

                    
  365       

KBR, Inc., Rule 144A, Company Guaranteed Notes
(Callable 09/30/23 @ 102.38)(1)

      (B+, B1)        09/30/28          4.750          378,231  
  1,250       

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

      (B-, B3)        03/15/27          7.500          1,339,613  
  1,940       

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

      (B+, Ba3)        03/15/26          6.250          2,048,436  
                        

 

 

  
                           3,766,280  
                        

 

 

  
                   
 

Air Transportation (0.5%)

                    
  300       

Hawaiianmiles Loyalty Ltd. Rule 144A, Senior Secured Notes
(Callable 01/20/24 @ 100.00)(1)

      (NR, Ba3)        01/20/26          5.750          311,812  
  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          1,095,000  
                        

 

 

  
                           1,406,812  
                        

 

 

  
                   
 

Auto Parts & Equipment (2.8%)

                    
  300       

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

      (B+, Ba3)        04/15/25          9.000          336,000  
  640       

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

      (BBB, Baa1)        10/01/25          5.000          753,784  
  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          3,638,030  
  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          2,236,360  
  350       

Tenneco, Inc., Rule 144A, Senior Secured Notes
(Callable 01/15/24 @ 103.94)(1)

      (B, Ba3)        01/15/29          7.875          394,408  
                        

 

 

  
                           7,358,582  
                        

 

 

  
                   
 

Automakers (0.7%)

                    
  600       

Ford Motor Co., Global Senior Unsecured Notes

      (BB+, Ba2)        04/21/23          8.500          672,570  
  990       

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

      (BB, B1)        07/15/28          6.250          1,068,581  
                        

 

 

  
                           1,741,151  
                        

 

 

  
                   
 

Brokerage (0.7%)

                    
  1,608       

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

      (BB-, Ba3)        06/15/25          8.625          1,745,685  
                        

 

 

  
                   
 

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          636,375  
  300       

Summit Materials Finance Corp. Rule 144A, Company Guaranteed Notes
(Callable 07/15/23 @ 102.63)(1)

      (BB, B2)        01/15/29          5.250          316,125  
  1,591       

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

      (BB, Ba3)        05/01/26          5.625          1,643,702  
                        

 

 

  
                           2,596,202  
                        

 

 

  
                   
 

Building Materials (3.2%)

                    
  675       

Core & Main LP, Rule 144A, Senior Unsecured Notes
(Callable 03/01/21 @ 103.06)(1)

      (CCC+, Caa2)        08/15/25          6.125          691,453  
  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          1,677,639  
  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          2,098,050  
  600       

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

      (BB-, B2)        12/15/27          4.875          631,500  
  600       

PGT Innovations, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/01/21 @ 105.06)(1)

      (B+, B2)        08/01/26          6.750          636,270  
  750       

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

      (BB-, B2)        06/15/25          7.125          818,494  
  750       

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

      (BB-, B2)        06/15/28          7.250          843,578  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Building Materials

                    
$        1,100       

White Cap Buyer LLC, Rule 144A, Senior Unsecured Notes
(Callable 10/15/23 @ 103.44)(1)

      (CCC+, Caa1)        10/15/28          6.875        $     1,141,002  
                        

 

 

  
                           8,537,986  
                        

 

 

  
                   
 

Building Products (0.5%)

                    
  1,200       

Park River Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/01/24 @ 102.81)(1)

      (CCC+, Caa1)        02/01/29          5.625          1,194,750  
                        

 

 

  
                   
 

Cable & Satellite TV (4.0%)

                    
  1,315       

CSC Holdings LLC, Global Senior Unsecured Notes

      (B, B3)        06/01/24          5.250          1,417,734  
  525       

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

      (BB, Ba3)        04/15/27          5.500          554,243  
  750       

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

      (BB, Ba3)        02/01/28          5.375          797,392  
  1,555       

Midcontinent Finance Corp., Rule 144A, Company Guaranteed Notes

(Callable 08/15/22 @ 102.69)(1)

      (B, B3)        08/15/27          5.375          1,630,511  
  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          1,698,800  
  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          1,446,790  
  2,922       

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

      (B+, B1)        01/15/27          5.500          3,070,014  
                        

 

 

  
                           10,615,484  
                        

 

 

  
                   
 

Chemicals (4.4%)

                    
  1,300       

Alpha U.S. Bidco, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/01/21 @ 101.56)(1)

      (CCC+, Caa1)        02/01/25          6.250          1,326,000  
  1,447       

Atotech Alpha 2 B.V., 8.75% Cash, 9.50% PIK, Rule 144A, Senior Unsecured Notes
(Callable 03/01/21 @ 101.00)(1),(3)

      (CCC+, Caa1)        06/01/23          8.750          1,466,370  
  300       

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

      (BB-, Ba3)        05/15/25          5.750          318,750  
  725       

GCP Applied Technologies, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/15/21 @ 102.75)(1)

      (BB, B1)        04/15/26          5.500          742,081  
  2,200       

Ingevity Corp., Rule 144A, Company Guaranteed Notes
(Callable 03/01/21 @ 102.25)(1)

      (NR, Ba3)        02/01/26          4.500          2,233,418  
  1,200       

Nouryon Holding B.V., Rule 144A, Senior Unsecured Notes
(Callable 10/01/21 @ 103.25)(1),(4)

      (B-, Caa1)        10/01/26          6.500          1,532,079  
  272       

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

      (NR, NR)        05/01/18          9.000          3,667  
  1,250       

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

      (B, B3)        04/15/26          6.500          1,290,625  
  2,625       

Venator Materials LLC, Rule 144A, Company Guaranteed Notes
(Callable 03/01/21 @ 104.31)(1)

      (CCC+, Caa1)        07/15/25          5.750          2,597,110  
  200       

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

      (B, B1)        07/01/25          9.500          220,000  
                        

 

 

  
                           11,730,100  
                        

 

 

  
                   
 

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          2,708,875  
                        

 

 

  
                   
 

Diversified Capital Goods (1.1%)

                    
  1,200       

GrafTech Finance, Inc., Rule 144A, Senior Secured Notes
(Callable 12/15/23 @ 102.31)(1)

      (BB-, B1)        12/15/28          4.625          1,216,500  
  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          1,639,740  
                        

 

 

  
                           2,856,240  
                        

 

 

  
                   
 

Electronics (1.8%)

                    
  2,625       

Entegris, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/08/21 @ 103.47)(1)

      (BB, Ba2)        02/10/26          4.625          2,721,797  
  1,800       

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

      (BB+, Ba3)        10/01/25          5.000          1,987,875  
                        

 

 

  
                           4,709,672  
                        

 

 

  
                   
 

Energy - Exploration & Production (1.6%)

                    
  550       

CNX Resources Corp., Rule 144A, Company Guaranteed Notes
(Callable 03/14/22 @ 105.44)(1)

      (BB-, B3)        03/14/27          7.250          592,102  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

  
 

Energy - Exploration & Production

  
$        500       

CNX Resources Corp., Rule 144A, Company Guaranteed Notes
(Callable 01/15/24 @ 104.50)(1)

      (BB-, B3)        01/15/29          6.000        $        517,663  
                        
  1,200       

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

      (B-, Caa1)        01/15/28          10.125          1,046,400  
                        
  2,500       

W&T Offshore, Inc., Rule 144A, Secured Notes
(Callable 03/01/21 @ 104.88)(1)

      (B, Caa3)        11/01/23          9.750          1,984,637  
                        

 

 

  
                           4,140,802  
                        

 

 

  
                   
 

Environmental (0.4%)

                    
  625       

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

      (BB-, Ba3)        12/15/26          5.125          660,219  
  300       

Stericycle, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/15/23 @ 101.94)(1)

      (BB-, NR)        01/15/29          3.875          308,925  
                        

 

 

  
                           969,144  
                        

 

 

  
                   
 

Food - Wholesale (0.1%)

                    
  300       

U.S. Foods, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/15/24 @ 102.38)(1)

      (B+, Caa1)        02/15/29          4.750          301,500  
                        

 

 

  
                   
 

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          862,500  
                        

 

 

  
                   
 

Gaming (4.4%)

                    
  825       

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

      (B-, Caa1)        08/15/26          6.000          854,906  
  2,390       

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

      (B+, B1)        01/15/28          4.750          2,491,133  
  1,287       

Gateway Casinos & Entertainment Ltd., Rule 144A, Secured Notes
(Callable 03/01/21 @ 102.75)(1)

      (CCC-, Caa3)        03/01/24          8.250          1,196,775  
  3,250       

Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes
(Callable 03/01/21 @ 101.69)(1)

      (CCC, Caa2)        10/15/24          6.750          3,261,538  
  2,200       

Jacobs Entertainment, Inc., Rule 144A, Secured Notes
(Callable 03/01/21 @ 103.94)(1)

      (B-, B3)        02/01/24          7.875          2,279,519  
  1,250       

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

      (BB-, B1)        02/01/27          5.750          1,407,506  
                        

 

 

  
                           11,491,377  
                        

 

 

  
                   
 

Gas Distribution (1.7%)

                    
  2,750       

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 03/01/21 @ 101.88)

      (B+, B1)        06/15/24          5.625          2,590,156  
  1,125       

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 03/01/21 @ 104.69)

      (B+, B1)        05/15/26          6.250          1,010,492  
  750       

Tallgrass Energy Finance Corp., Rule 144A, Company Guaranteed Notes
(Callable 10/01/22 @ 105.63)(1)

      (BB-, B1)        10/01/25          7.500          800,156  
                        

 

 

  
                           4,400,804  
                        

 

 

  
                   
 

Health Facilities (0.9%)

                    
  1,250       

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

      (BB-, Ba2)        09/01/28          5.625          1,466,181  
  775       

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

      (CCC, Caa2)        04/15/27          10.000          857,828  
                        

 

 

  
                           2,324,009  
                        

 

 

  
                   
 

Health Services (1.7%)

                    
  660       

AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/15/24 @ 102.00)(1)

      (BB-, Ba3)        04/15/29          4.000          675,675  
  300       

Ortho-Clinical Diagnostics S.A., Rule 144A, Senior Unsecured Notes
(Callable 06/01/22 @ 103.69)(1)

      (CCC, Caa2)        06/01/25          7.375          321,563  
  2,750       

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

      (CCC, Caa3)        02/01/28          9.250          3,014,660  
  335       

RP Escrow Issuer LLC, Rule 144A, Senior Secured Notes
(Callable 12/15/22 @ 102.63)(1)

      (B-, B3)        12/15/25          5.250          347,981  
                        

 

 

  
                           4,359,879  
                        

 

 

  
                   
 

Insurance (0.6%)

                    
  1,000       

Alliant Holdings Co-Issuer, Rule 144A, Senior Secured Notes
(Callable 10/15/23 @ 102.13)(1)

      (B, B2)        10/15/27          4.250          1,018,875  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Insurance

                    
$        625       

Alliant Holdings Co-Issuer, Rule 144A, Senior Unsecured Notes
(Callable 10/15/22 @ 103.38)(1)

      (CCC+, Caa2)        10/15/27          6.750        $     661,994  
                        

 

 

  
                           1,680,869  
                        

 

 

  
                        
 

Insurance Brokerage (3.1%)

                    
  3,530       

Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 03/01/21 @ 103.50)(1)

      (CCC+, Caa2)        11/15/25          7.000          3,638,106  
  1,000       

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

      (CCC+, Caa2)        08/01/26          10.125          1,149,840  
  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          1,296,000  
  2,100       

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

      (CCC+, Caa2)        08/15/28          6.875          2,210,040  
                        

 

 

  
                           8,293,986  
                        

 

 

  
                        
 

Investments & Misc. Financial Services (2.0%)

                    
  1,190       

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

      (B-, B2)        03/01/28          6.250          1,246,394  
  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          3,901,687  
                        

 

 

  
                           5,148,081  
                        

 

 

  
                        
 

Machinery (1.4%)

                    
  690       

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

      (B+, B1)        07/31/27          5.750          716,306  
  600       

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

      (BB+, Ba1)        06/15/25          5.750          646,125  
  2,300       

Rexnord LLC, Rule 144A, Company Guaranteed Notes
(Callable 03/01/21 @ 102.44)(1)

      (BB-, B1)        12/15/25          4.875          2,355,752  
                        

 

 

  
                           3,718,183  
                        

 

 

  
                        
 

Media - Diversified (0.3%)

                    
  750       

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

      (CCC-, Caa3)        08/15/26          5.750          585,795  
  375       

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

      (CCC+, B3)        04/15/28          5.875          339,375  
                        

 

 

  
                           925,170  
                        

 

 

  
                        
 

Media Content (1.0%)

                    
 
 1,507
  
     

Diamond Sports Finance Co., Rule 144A, Company Guaranteed Notes
(Callable 08/15/22 @ 103.31)(1),(9)

      (CCC-, B3)        08/15/27          6.625          958,829  
  925       

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

      (CCC+, Ba3)        08/15/26          5.375          748,094  
  898       

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

      (BB, Ba3)        07/01/29          5.500          980,791  
                        

 

 

  
                           2,687,714  
                        

 

 

  
                        
 

Metals & Mining - Excluding Steel (4.2%)

                    
  2,200       

Cleveland-Cliffs, Inc., Rule 144A, Senior Secured Notes
(Callable 03/01/21 @ 102.44)(1)

      (B, B2)        01/15/24          4.875          2,250,875  
  300       

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

      (B, B2)        10/17/25          9.875          352,125  
  300       

First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes
(Callable 03/01/21 @ 103.63)(1)

      (CCC+, Caa2)        04/01/23          7.250          306,871  
  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          2,242,719  
  500       

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

      (B+, B2)        01/30/30          4.750          526,800  
  3,925       

Taseko Mines Ltd., Rule 144A, Senior Secured Notes
(Callable 03/01/21 @ 102.19)(1)

      (B-, Caa1)        06/15/22          8.750          4,038,884  
  1,250       

Taseko Mines Ltd., Rule 144A, Senior Secured Notes
(Callable 02/15/23 @ 103.50)(1)

      (B-, Caa1)        02/15/26          7.000          1,246,875  
                        

 

 

  
                           10,965,149  
                        

 

 

  
                        
 

Oil Field Equipment & Services (1.4%)

                    
  1,400       

NGL Energy Finance Corp., Rule 144A, Senior Secured Notes
(Callable 02/01/23 @ 103.75)(1)

      (BB-, B1)        02/01/26          7.500          1,417,220  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Oil Field Equipment & Services

                    
$        390       

Pioneer Energy Services Corp., PIK, Rule 144A, Senior Unsecured Notes (1),(3),(6),(7)

      (NR, NR)        08/28/25          5.000        $     170,687  
  3,750       

Shelf Drilling Holdings Ltd., Rule 144A, Company Guaranteed Notes
(Callable 03/01/21 @ 106.19)(1)

      (CCC+, Caa2)        02/15/25          8.250          2,050,781  
                        

 

 

  
                           3,638,688  
                        

 

 

  
                        
 

Packaging (4.1%)

                    
  276       

Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/09/21 @ 104.50)(1)

      (B, Caa1)        02/15/25          6.000          284,556  
  650       

Crown Americas Capital Corp. VI, Global Company Guaranteed Notes
(Callable 03/01/21 @ 103.56)

      (BB-, Ba3)        02/01/26          4.750          675,577  
  2,500       

Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes
(Callable 03/01/21 @ 101.72)(1)

      (CCC+, Caa2)        01/15/25          6.875          2,546,875  
  600       

Intelligent Packaging Ltd. Co-Issuer LLC, Rule 144A, Senior Secured Notes
(Callable 09/15/22 @ 103.00)(1)

      (B-, B3)        09/15/28          6.000          620,625  
  2,535       

Plastipak Holdings, Inc., Rule 144A, Senior Unsecured Notes
(Callable 03/01/21 @ 103.13)(1)

      (B, B3)        10/15/25          6.250          2,596,791  
  3,400       

TriMas Corp., Rule 144A, Company Guaranteed Notes
(Callable 03/01/21 @ 102.44)(1)

      (BB-, Ba3)        10/15/25          4.875          3,471,723  
  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          528,100  
                        

 

 

  
                           10,724,247  
                        

 

 

  
                        
 

Personal & Household Products (0.7%)

                    
  2,000       

High Ridge Brands Co., Rule 144A, Senior Unsecured Notes (1),(6),(7)

      (NR, NR)        03/15/25          8.875          22,500  
  1,822       

Mattel, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/08/21 @ 105.06)(1)

      (B+, B1)        12/31/25          6.750          1,915,468  
                        

 

 

  
                           1,937,968  
                        

 

 

  
                        
 

Pharmaceuticals (4.0%)

                    
  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          1,786,696  
  325       

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

      (B, B3)        01/30/30          5.250          335,946  
  2,850       

Bausch Health Cos., Inc., Rule 144A, Senior Secured Notes
(Callable 03/01/21 @ 103.50)(1)

      (BB, Ba2)        03/15/24          7.000          2,914,837  
  1,350       

Endo Finance LLC, Rule 144A, Senior Secured Notes
(Callable 03/01/21 @ 102.94)(1)

      (B+, B2)        10/15/24          5.875          1,367,719  
  1,250       

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

      (BB-, Ba3)        08/01/27          5.500          1,333,363  
  2,619       

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

      (B+, B2)        12/15/24          4.375          2,686,112  
                        

 

 

  
                           10,424,673  
                        

 

 

  
                        
 

Real Estate Development & Management (1.4%)

                    
  1,100       

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

      (BB+, NR)        11/15/23          6.125          1,196,727  
  2,864       

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

      (CCC+, NR)        05/01/25          7.875          2,557,881  
                        

 

 

  
                           3,754,608  
                        

 

 

  
                        
 

Real Estate Investment Trusts (2.3%)

                    
  1,280       

ESH Hospitality, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/01/21 @ 102.63)(1)

      (BB-, Ba3)        05/01/25          5.250          1,307,488  
  1,800       

iStar, Inc., Global Senior Unsecured Notes
(Callable 08/15/22 @ 102.75)

      (BB, Ba3)        02/15/26          5.500          1,825,875  
  970       

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

      (B+, Ba3)        12/15/21          5.000          985,156  
  1,880       

Starwood Property Trust, Inc., Rule 144A, Senior Unsecured Notes
(Callable 08/01/23 @ 100.00)(1)

      (B+, Ba3)        11/01/23          5.500          1,957,550  
                        

 

 

  
                           6,076,069  
                        

 

 

  
                        
 

Recreation & Travel (6.6%)

                    
  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          2,300,375  
  2,000       

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

      (CCC, B3)        04/15/27          5.375          2,008,750  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Recreation & Travel

                    
$        1,575       

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

      (CCC, B3)        07/15/29          5.250        $     1,593,412  
  1,300       

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

      (CCC+, B2)        06/15/26          5.750          1,353,378  
  1,000       

Motion Bondco DAC, Rule 144A, Company Guaranteed Notes
(Callable 11/15/22 @ 103.31)(1),(9)

      (CCC-, Caa2)        11/15/27          6.625          1,008,520  
  1,150       

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

      (B-, B1)        08/01/25          6.000          1,214,688  
  600       

SeaWorld Parks & Entertainment, Inc., Rule 144A, Senior Secured Notes
(Callable 05/01/22 @ 104.38)(1),(9)

      (B-, B2)        05/01/25          8.750          647,625  
  2,150       

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 03/01/21 @ 102.44)(1)

      (CCC, B3)        07/31/24          4.875          2,137,379  
  600       

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

      (CCC, B3)        04/15/27          5.500          606,930  
  400       

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

      (B, Ba2)        07/01/25          7.000          431,750  
  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          3,111,487  
  920       

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

      (BB, B1)        05/15/25          6.250          978,650  
                        

 

 

  
                           17,392,944  
                        

 

 

  
                        
 

Software - Services (4.1%)

                    
  890       

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

      (BB+, Ba1)        06/01/27          4.875          937,277  
  388       

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

      (BB-, B1)        12/01/27          5.250          409,499  
  900       

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

      (CCC+, Caa1)        07/15/27          11.000          1,037,642  
  1,700       

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

      (CCC+, Caa1)        02/01/28          8.250          1,888,062  
  235       

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

      (B, B1)        02/01/27          4.875          247,690  
  3,975       

Solera Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 03/01/21 @ 102.63)(1)

      (CCC+, Caa1)        03/01/24          10.500          4,103,194  
  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          1,592,190  
  550       

WEX, Inc., Rule 144A, Senior Secured Notes
(Callable 03/01/21 @ 100.00)(1)

      (BB-, Ba2)        02/01/23          4.750          552,692  
                        

 

 

  
                           10,768,246  
                        

 

 

  
                        
 

Specialty Retail (2.5%)

                    
  61       

Asbury Automotive Group, Inc., Global Company Guaranteed Notes
(Callable 03/01/23 @ 102.25)

      (BB, B1)        03/01/28          4.500          62,830  
  733       

Asbury Automotive Group, Inc., Global Company Guaranteed Notes
(Callable 03/01/25 @ 102.38)

      (BB, B1)        03/01/30          4.750          771,812  
  1,425       

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

      (B-, B3)        10/30/25          8.500          1,516,200  
  1,403       

Lithia Motors, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/01/21 @ 103.94)(1)

      (BB, Ba2)        08/01/25          5.250          1,460,727  
  300       

Murphy Oil U.S.A., Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/15/26 @ 101.88)(1)

      (BB+, Ba2)        02/15/31          3.750          300,750  
  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          2,153,125  
  300       

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

      (BB+, Ba2)        04/30/25          8.750          332,625  
                        

 

 

  
                           6,598,069  
                        

 

 

  
                        
 

Steel Producers/Products (0.3%)

                    
  725       

Allegheny Technologies, Inc., Global Senior Unsecured Notes
(Callable 12/01/22 @ 102.94)(9)

      (B, B3)        12/01/27          5.875          762,693  
                        

 

 

  
                        
 

Support - Services (3.8%)

                    
  600       

Austin BidCo, Inc., Rule 144A, Senior Unsecured Notes (Callable 12/15/23 @ 103.56)(1)

      (CCC+, Caa2)        12/15/28          7.125          622,875  
  600       

Endurance Acquisition Merger Sub, Rule 144A, Senior Unsecured Notes
(Callable 02/15/24 @ 103.00)(1)

      (CCC+, Caa2)        02/15/29          6.000          592,500  

 

 

 

 

Par
(000)		              

Ratings†
(S&P/Moody’s)

      Maturity        Rate%        Value  
                        
 

CORPORATE BONDS (continued)

  
 

Support - Services

  
$        2,465       

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

      (B, B3)        07/31/26          7.125        $     2,587,597  
  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          169,125  
  1,950       

KAR Auction Services, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/21 @ 103.84)(1)

      (B-, Caa1)        06/01/25          5.125          2,003,625  
  575       

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

      (BB, Ba3)        12/15/27          4.625          606,769  
  300       

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

      (B, Ba3)        04/15/25          9.250          356,310  
  1,700       

Tempo Acquisition Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 02/08/21 @ 103.38)(1)

      (CCC+, Caa1)        06/01/25          6.750          1,751,000  
  445       

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

      (BB-, Ba3)        01/15/28          4.875          475,037  
  865       

Williams Scotsman International, Inc., Rule 144A, Senior Secured Notes (Callable 08/15/23 @ 102.31)(1)

      (B+, B3)        08/15/28          4.625          892,572  
                        

 

 

  
                           10,057,410  
                        

 

 

  
                        
 

Tech Hardware & Equipment (1.4%)

  
  1,690       

CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 02/08/21 @ 103.00)(1)

      (CCC+, B3)        06/15/25          6.000          1,726,081  
  1,750       

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

      (CCC+, B3)        03/15/27          5.000          1,737,969  
  250       

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

      (B, Ba3)        03/01/26          6.000          265,016  
                        

 

 

  
                           3,729,066  
                        

 

 

  
                        
 

Telecom - Wireline Integrated & Services (3.1%)

  
  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          2,415,000  
  1,100       

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

      (B, B2)        05/01/26          7.375          1,154,186  
  420       

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

      (BBB-, Baa3)        05/15/27          5.375          455,964  
  4,000       

GTT Communications, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/21 @ 103.94)(1)

      (CC, NR)        12/31/24          7.875          1,455,000  
  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          2,158,060  
  600       

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

      (CCC+, Caa1)        03/01/28          6.125          625,133  
                        

 

 

  
                           8,263,343  
                        

 

 

  
                        
 

Theaters & Entertainment (3.0%)

  
  2,240       

AMC Entertainment Holdings, Inc.,10.00% Cash, 12.00% PIK, Rule 144A, Secured Notes (Callable 06/15/23 @ 106.00)(1),(3)

      (C, Ca)        06/15/26          12.000          1,650,480  
  1,000       

Cinemark U.S.A., Inc., Global Company Guaranteed Notes (Callable 03/01/21 @ 100.81)

      (B, Caa1)        06/01/23          4.875          963,125  
  1,265       

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

      (BB-, Ba3)        05/01/25          8.750          1,364,208  
  200       

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

      (BBB-, Baa3)        05/01/25          6.250          231,254  
  550       

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

      (BBB-, Baa3)        05/01/25          7.000          602,445  
  2,200       

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/03/21 @ 102.44)(1)

      (B-, B3)        11/01/24          4.875          2,214,300  
  400       

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

      (B-, B3)        03/15/26          5.625          411,100  
  500       

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

      (B-, B3)        10/15/27          4.750          502,033  
                        

 

 

  
                           7,938,945  
                        

 

 

  
                        
 

Transport Infrastructure/Services (1.0%)

  
  3,150       

Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes (Callable 03/02/21 @ 100.00)(1)

      (CCC, Caa2)        08/15/22          11.250          2,741,887  
                        

 

 

  
 

TOTAL CORPORATE BONDS (Cost $227,699,439)

          229,046,697  
                        

 

 

  

 

 

 

 

Par
(000)		              

Ratings†
(S&P/Moody’s)

      Maturity        Rate%        Value  
                        
 

BANK LOANS (32.2%)

  
 

Advertising (0.3%)

  
$ 592       

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

      (CCC+, B3)        12/31/22          3.371        $ 443,795  
  850       

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

      (CCC-, Caa3)        12/31/23          7.621          340,000  
                        

 

 

  
                           783,795  
                        

 

 

  
                        
 

Auto Parts & Equipment (0.6%)

  
  961       

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

      (CCC+, Caa2)        05/19/23          4.483          825,776  
  321       

Jason Group, Inc., LIBOR 1M + 1.000% Cash, 9.000% PIK(3),(7),(10)

      (CCC-, Caa3)        02/28/26          11.000          300,160  
  481       

Jason Group, Inc., LIBOR 1M + 2.000% Cash, 4.000% PIK(3),(7),(10)

      (B-, Caa1)        08/28/25          7.000          479,054  
                        

 

 

  
                               1,604,990  
                        

 

 

  
                        
 

Building & Construction (1.2%)

  
         1,968       

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

      (B, B2)        08/18/25          7.500          2,023,462  
  1,078       

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

      (B, B2)        06/21/24          6.000          1,082,900  
                        

 

 

  
                           3,106,362  
                        

 

 

  
                        
 

Building Materials (0.7%)

  
  2,000       

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

      (CCC, Caa2)        04/27/26          8.871          1,910,000  
                        

 

 

  
                        
 

Chemicals (4.4%)

  
  2,222       

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

      (BB-, B1)        08/27/26          6.250          2,241,039  
  2,465       

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

      (CCC+, Caa1)        03/31/25          4.500          2,332,669  
  2,450       

Polar U.S. Borrower LLC, LIBOR 1M + 4.750%(7),(10)

      (B-, B2)        10/15/25          4.883 - 5.004          2,443,875  
  146       

UTEX Industries, Inc., LIBOR 1M + 9.000%(10)

      (CCC+, Caa1)        03/01/28          10.500          147,261  
  102       

UTEX Industries, Inc., LIBOR 1M + 7.000%(10)

      (CCC+, B3)        08/12/24          8.500          103,083  
  95       

UTEX Industries, Inc., LIBOR 1M + 9.500%(10)

      (NR, NR)        12/03/25          11.000          94,757  
  2,000       

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

      (CCC-, Caa3)        10/27/25          9.250          1,864,000  
  2,437       

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

      (CCC+, B3)        08/12/24          5.000          2,417,738  
                        

 

 

  
                           11,644,422  
                        

 

 

  
                        
 

Diversified Capital Goods (1.0%)

  
  778       

Callaway Golf Co., LIBOR 1M + 4.500%(10)

      (B+, B1)        01/02/26          4.630          781,531  
  2,045       

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

      (CCC-, Caa3)        01/30/23          9.500          1,849,017  
                        

 

 

  
                           2,630,548  
                        

 

 

  
                        
 

Electronics (2.1%)

  
  999       

CPI International, Inc., LIBOR 1M + 7.250%(7),(8),(10)

      (CCC, Caa2)        07/26/25          8.250          919,426  
  2,250       

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

      (CCC+, Caa2)        12/01/25          8.500          2,250,000  
  2,434       

Oberthur Technologies SA, LIBOR 3M + 3.750%(10)

      (B-, B3)        01/10/24          4.004          2,406,237  
                        

 

 

  
                           5,575,663  
                        

 

 

  
                        
 

Energy - Exploration & Production (0.1%)

  
  2,557       

PES Holdings LLC, PRIME + 1.500% Cash, 3.000% PIK (3),(5),(10)

      (NR, NR)        12/31/22          3.000          115,053  
                        

 

 

  
                        
 

Food - Wholesale (0.4%)

  
  978       

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

      (B, B2)        10/22/25          4.371          981,122  
                        

 

 

  
                        
 

Gaming (0.5%)

  
  1,369       

Gateway Casinos & Entertainment Ltd., LIBOR 3M + 3.500% Cash, 3.000% PIK(3),(10)

      (B-, B2)        03/13/25          7.500          1,341,497  
                        

 

 

  
                        
 

Gas Distribution (1.5%)

  
  1,211       

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

      (B, B2)        10/31/24          4.500          1,187,947  
  984       

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

      (B, B2)        11/01/24          3.733          955,624  
  1,843       

Traverse Midstream Partners LLC, LIBOR 1M + 5.500%(10)

      (B, B3)        09/27/24          6.500          1,818,432  
                        

 

 

  
                           3,962,003  
                        

 

 

  
                        
 

Health Facility (0.4%)

  
  1,132       

Western Dental Services, Inc., LIBOR 1M + 5.250%(7),(10)

      (CCC+, Caa1)        06/30/23          6.250          1,117,463  
                        

 

 

  
                        
 

Health Services (1.7%)

  
  2,216       

Athenahealth, Inc., LIBOR 1M + 4.500%(10)

      (B, B2)        02/11/26          4.633          2,226,931  
  895       

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

      (B-, B1)        05/08/23          7.750          894,061  
  1,210       

U.S. Radiology Specialists, Inc., LIBOR 3M + 5.500%(10)

      (B-, B3)        12/10/27          6.250          1,220,587  
                        

 

 

  
                           4,341,579  
                        

 

 

  
                        
 

Insurance Brokerage (1.2%)

  
  1,931       

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

      (B, B2)        02/15/27          3.621          1,925,983  

 

 

 

 

Par
(000)		              

Ratings†
(S&P/Moody’s)

      Maturity        Rate%        Value  
                        
 

BANK LOANS (continued)

  
 

Insurance Brokerage

  
$        1,235       

Alera Group Holdings, Inc., LIBOR 1M + 4.000%(7),(10)

      (B, B2)        08/01/25          4.500        $     1,236,914  
                        

 

 

  
                           3,162,897  
                        

 

 

  
                        
 

Investments & Misc. Financial Services (1.1%)

  
  1,485       

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

      (B-, B2)        07/31/26          5.121          1,488,193  
  1,298       

Deerfield Dakota Holding LLC, LIBOR 1M + 8.000%(7),(10)

      (CCC, Caa2)        04/07/28          9.000          1,327,283  
  173       

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

      (NR, NR)        06/30/22          11.250          55,937  
                        

 

 

  
                           2,871,413  
                        

 

 

  
                        
 

Life Insurance (0.5%)

  
  1,448       

Vida Capital, Inc., LIBOR 1M + 6.000%(7),(10)

      (B, B2)        10/01/26          6.121          1,396,837  
                        

 

 

  
                        
 

Machinery (1.5%)

  
  1,223       

LTI Holdings, Inc., LIBOR 1M + 6.750%(8),(10)

      (CCC+, Caa3)        09/06/26          6.871          1,193,108  
  592       

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

      (B-, B3)        09/06/25          3.621          579,714  
  2,475       

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

      (CCC+, Caa3)        09/30/24          10.000          2,091,375  
                        

 

 

  
                           3,864,197  
                        

 

 

  
                        
 

Medical Products (0.4%)

  
  1,164       

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

      (CCC+, B3)        06/15/23          6.000          1,107,549  
                        

 

 

  
                        
 

Metals & Mining - Excluding Steel (0.5%)

  
  1,228       

GrafTech Finance, Inc., LIBOR 1M + 3.500%(7),(10)

      (BB-, B1)        02/12/25          4.500          1,230,758  
                        

 

 

  
                        
 

Packaging (0.3%)

  
  800       

Strategic Materials, Inc., LIBOR 3M + 7.750%(7),(8),(10)

      (CC, C)        10/31/25          8.750          392,000  
  476       

TricorBraun Holdings, Inc., LIBOR 1M + 3.750%(10)

      (B-, B2)        11/30/23          4.750          476,455  
                        

 

 

  
                           868,455  
                        

 

 

  
                        
 

Personal & Household Products (1.1%)

  
  1,761       

Serta Simmons Bedding LLC (First Out Term Loan), LIBOR 1M + 7.500%(10)

      (B+, B2)        08/10/23          8.500          1,787,661  
  1,067       

Serta Simmons Bedding LLC (Second Out Term Loan), LIBOR 1M + 7.500%(10)

      (B, Caa2)        08/10/23          8.500          989,391  
                        

 

 

  
                           2,777,052  
                        

 

 

  
                        
 

Pharmaceuticals (0.3%)

  
  809       

Akorn, Inc., LIBOR 3M + 7.500%(10)

      (CCC+, Caa2)        10/01/25          8.500          812,592  
                        

 

 

  
                        
 

Real Estate Investment Trusts (0.3%)

  
  848       

Blackstone Mortgage Trust, Inc., LIBOR 1M + 4.750%(10)

      (B+, Ba2)        04/23/26          5.750          860,588  
                        

 

 

  
                        
 

Recreation & Travel (2.3%)

  
  1,959       

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

      (CCC-, Caa3)        09/04/26          7.871          1,768,810  
  1,852       

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

      (B-, B3)        09/05/25          3.871          1,719,496  
  1,547       

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

      (CCC-, Caa2)        04/27/25          5.750          1,358,529  
  1,082       

Hornblower Sub LLC, LIBOR 3M + 8.125%(10)

      (NR, NR)        11/10/25          9.125          1,165,013  
                        

 

 

  
                           6,011,848  
                        

 

 

  
                        
 

Restaurants (0.1%)

  
  23       

Golden Nugget, Inc., LIBOR 3M + 12.000%(7),(10)

      (NR, NR)        10/04/23          13.000          25,821  
  300       

Tacala LLC, LIBOR 1M + 7.500%(10)

      (CCC, Caa2)        02/04/28          8.250          300,000  
                        

 

 

  
                           325,821  
                        

 

 

  
                        
 

Software - Services (3.9%)

  
  744       

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

      (B-, B2)        10/09/26          4.403          741,003  
  2,560       

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

      (CCC, Caa2)        07/31/28          8.750          2,680,320  
  697       

Finastra U.S.A., Inc., LIBOR 6M + 3.500%(10)

      (CCC+, B2)        06/13/24          4.500          686,412  
  2,529       

Finastra U.S.A., Inc., LIBOR 3M + 7.250%(10)

      (CCC-, Caa2)        06/13/25          8.250          2,539,106  
  880       

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

      (CCC, Caa1)        07/07/25          7.750          893,200  
  584       

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

      (B, B2)        12/09/22          6.875          571,037  
  724       

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

      (B, B2)        07/07/23          5.250          727,399  
  1,500       

SkillSoft Corp., LIBOR 3M + 7.500%(10)

      (B+, B1)        12/27/24          8.500          1,541,250  
                        

 

 

  
                           10,379,727  
                        

 

 

  
                        
 

Support - Services (0.9%)

  
  1,228       

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

      (B-, B2)        05/23/25          5.000          1,230,919  
  245       

Nuvei Technologies Corp., LIBOR 1M + 4.000%(7),(10)

      (B+, Ba3)        09/29/25          4.750          247,577  

 

 

 

 

Par
(000)		              

Ratings†
(S&P/
Moody’s)

      Maturity        Rate%        Value  
                        
 

BANK LOANS (continued)

  
 

Support - Services

  
$        1,000       

USS Ultimate Holdings, Inc., LIBOR 1M + 7.750%(8),(10)

      (CCC, Caa1)        08/25/25          8.750        $     1,002,920  
                        

 

 

  
                           2,481,416  
                        

 

 

  
                        
 

Telecom - Wireline Integrated & Services (0.7%)

  
  448       

GTT Communications, Inc.(11),(12),(13)

      (B-, NR)        12/31/21          0.000          444,790  
  256       

GTT Communications, Inc., LIBOR 1M + 6.000%(10)

      (B-, NR)        12/31/21          8.500          254,166  
  1,125       

TVC Albany, Inc., LIBOR 1M + 7.500%(8),(10)

      (CCC, Caa2)        07/23/26          7.620          1,026,563  
                        

 

 

  
                           1,725,519  
                        

 

 

  
                        
 

Theaters & Entertainment (2.2%)

  
  2,458       

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

      (CCC+, B3)        07/03/26          5.500          2,467,682  
  2,400       

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

      (CCC+, B3)        05/18/25          2.880          2,247,043  
  992       

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

      (CCC+, B3)        05/18/25          9.500          1,055,360  
                        

 

 

  
                           5,770,085  
                        

 

 

  
 

TOTAL BANK LOANS (Cost $88,560,119)

          84,761,251  
                        

 

 

  
                        
 

ASSET BACKED SECURITIES (4.9%)

  
 

Collateralized Debt Obligations (4.9%)

  
  1,250       

Anchorage Credit Funding Ltd., 2016-4A, Rule 144A (1)

      (NR, NR)        04/27/39          6.659          1,175,000  
  1,500       

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

      (BB-, NR)        01/20/32          7.774          1,450,746  
  1,250       

Battalion CLO 18 Ltd., 2020-18A, Rule 144A, LIBOR 3M + 7.940% (1),(10)

      (BB-, NR)        10/15/32          8.181          1,263,455  
  1,500       

Battalion CLO VII Ltd., 2014-7A, Rule 144A, LIBOR 3M + 6.310% (1),(10)

      (NR, Ba3)        07/17/28          6.533          1,501,281  
  1,500       

Battalion CLO XIV Ltd., 2019-14A, Rule 144A, LIBOR 3M + 3.950% (1),(10)

      (NR, Baa3)        04/20/32          4.174          1,504,176  
  1,500       

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

      (NR, Ba3)        01/20/29          6.974          1,483,542  
  1,000       

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

      (BB-, NR)        10/20/32          7.454          984,498  
  1,050       

Octagon Investment Partners 48 Ltd., 2020-3A, Rule 144A, LIBOR 3M + 7.660% (1),(10)

      (BB-, NR)        10/20/31          7.892          1,059,179  
  1,500       

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

      (NR, Baa3)        07/15/28          3.301          1,501,839  
  1,000       

Venture 41 CLO Ltd., 2021-41A, Rule 144A, LIBOR 3M + 7.710% (1),(10),(12)

      (BB-, NR)        01/20/34          0.000          983,074  
                        

 

 

  
 

TOTAL ASSET BACKED SECURITIES (Cost $12,800,319)

          12,906,790  
                        

 

 

  
                        
Number of
Shares		                                           
                        
 

COMMON STOCKS (1.2%)

  
 

Auto Parts & Equipment (0.4%)

  
  27,589       

Jason Group, Inc.(14)

 

        165,534  
  109,693       

Remainco LLC(6),(7),(14)

 

        830,376  
                        

 

 

  
            995,910  
                        

 

 

  
                        
 

Building & Construction (0.0%)

  
  10       

White Forest Resources, Inc.(6),(7),(14)

 

        —  
                        

 

 

  
                        
 

Chemicals (0.2%)

  
  4,893       

Huntsman Corp.(8),(14)

 

        129,273  
  5,400       

Project Investor Holdings LLC(6),(7),(8),(14)

 

        54  
  89,998       

Proppants Holdings LLC(6),(7),(8),(14)

 

        4,500  
  15,074       

UTEX Industries, Inc.(14)

 

        472,314  
                        

 

 

  
            606,141  
                        

 

 

  
                        
 

Energy - Exploration & Production (0.1%)

  
  111,570       

PES Energy, Inc.(6),(7),(8),(14)

 

        1,116  
  32,848       

Talos Energy, Inc.(14)

 

        277,894  
                        

 

 

  
            279,010  
                        

 

 

  
                        
 

Oil Field Equipment & Services (0.0%)

  
  4,254       

Pioneer Energy Services Corp.(6),(7),(14)

 

        4,382  
                        

 

 

  

 

 

 

 

Number of
Shares		                   Value    
 

COMMON STOCKS (continued)

  
 

Pharmaceuticals (0.3%)

  
         68,836       

Akorn Holding Company LLC(14)

 

      $     900,581  
                        

 

 

  
                        
 

Support - Services (0.2%)

  
  2,100       

LTR Holdings LLC(6),(7),(8),(14)

 

        384,090  
  865       

Sprint Industrial Holdings LLC, Class G(6),(7),(8),(14)

 

        —  
  78       

Sprint Industrial Holdings LLC, Class H(6),(7),(8),(14)

 

        —  
  192       

Sprint Industrial Holdings LLC, Class I(6),(7),(8),(14)

 

        2  
                        

 

 

  
                           384,092  
                        

 

 

  
 

TOTAL COMMON STOCKS (Cost $6,379,619)

          3,170,116  
                        

 

 

  
                        
 

WARRANT (0.0%)

  
 

Chemicals (0.0%)

  
  22,499       

Project Investor Holdings LLC, expires 02/20/2022(6),(7),(8),(14) (Cost $11,699)

 

        —  
                        

 

 

  
                        
 

SHORT-TERM INVESTMENTS (1.3%)

       
  3,544,355       

State Street Navigator Securities Lending Government Money Market Portfolio 0.06%(15) (Cost $3,544,355)

 

        3,544,355  
                        
 

TOTAL INVESTMENTS AT VALUE (126.5%) (Cost $338,995,550)

          333,429,209  
                        
 

LIABILITIES IN EXCESS OF OTHER ASSETS (-26.5%)

          (69,766,495 ) 
                        

 

 

  
                        
 

NET ASSETS (100.0%)

        $ 263,662,714  
                        

 

 

  

 

†

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, 2021, these securities amounted to a value of $213,515,662 or 81.0% 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) 

This security is denominated in Euro.

(5) 

Bond is currently in default.

(6) 

Not readily marketable security; security is valued at fair value as determined in good faith by, or under the direction of, the Board of Trustees.

(7) 

Security is valued using significant unobservable inputs.

(8) 

Illiquid security (unaudited).

(9) 

Security or portion thereof is out on loan.

(10) 

Variable rate obligation - The interest rate shown is the rate in effect as of January 31, 2021.

(11) 

The rates on certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The interest rate shown is the rate in effect as of January 31, 2021.

(12) 

Zero coupon security.

(13) 

All or a portion is an unfunded loan commitment.

(14) 

Non-income producing security.

(15) 

Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at January 31, 2021.

INVESTMENT ABBREVIATIONS

1M = 1 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

     41,500     

USD

      50,508      10/13/21    Deutsche Bank AG    $ 50,508     $ 50,701     $                 193  

GBP

     27,500     

USD

      37,737      10/13/21    Deutsche Bank AG      37,737       37,813       76  

USD

     1,529,640     

EUR

      1,290,972      10/13/21    Morgan Stanley          (1,529,640 )          (1,577,197 )      (47,557 ) 

USD

     33,346     

EUR

      27,685      10/13/21    Deutsche Bank AG      (33,346 )      (33,823 )      (477 ) 

USD

     1,394,186     

GBP

      1,077,650      10/13/21    Deutsche Bank AG      (1,394,186 )      (1,481,793 )      (87,607 ) 
                    

 

 

  
                    
  $         (135,372 ) 
                    

 

 

  

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, 2021 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

    $ —      $ 228,849,843      $ 196,854     $ 229,046,697  

Bank Loans

      —        73,644,083        11,117,168       84,761,251  

Asset Backed Securities

      —        12,906,790        —       12,906,790  

Common Stocks

      407,167        1,538,429        1,224,520       3,170,116  

Warrants

      —        —        0 (1)      0 (1) 

Short-term Investment

      —        3,544,355        —       3,544,355  
  

 

 

     

 

 

     

 

 

    

 

 

  
   $              407,167      $     320,483,500      $     12,538,542     $     333,429,209  
  

 

 

     

 

 

     

 

 

    

 

 

  

Other Financial Instruments*

           

Forward Foreign Currency Contracts

    $ —      $ 269      $ —     $ 269  
          

Liabilities    

    Level 1      Level 2      Level 3     Total  

Other Financial Instruments*

           

Forward Foreign Currency Contracts

    $ —      $ 135,641      $ —     $ 135,641  

 

*

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 January 31, 2021 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, 2020

    $ 124,711      $ 14,090,592     $ 1,605,750     $ 0 (1)    $ 15,821,053  

Accrued discounts (premiums)

      —        1,108       —       —       1,108  

Purchases

      8,784        4,835       —       —       13,619  

Sales

      —        (302,240 )      (246,709 )      —       (548,949 ) 

Realized gain (loss)

      —        9,622       198,875       —       208,497  

Change in unrealized appreciation (depreciation)

      63,359        456,062       (168,978 )      —       350,443  

Transfers into Level 3

      —        5,371,630       1,116       —       5,372,746  

Transfers out of Level 3

      —        (8,514,441 )      (165,534 )      —       (8,679,975 ) 
  

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Balance as of January 31, 2021

    $     196,854      $ 11,117,168     $ 1,224,520     $            0 (1)    $ 12,538,542  
  

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation (depreciation) from investments still held as of January 31, 2021

    $ 63,359      $ 270,375     $ (196,567 )    $ —     $ 137,167  

 

(1) 

Includes zero valued securities.

Quantitative Disclosure About Significant Unobservable Inputs

 

Asset Class

    Fair Value At
01/31/2021		     

Valuation
Technique

   

Unobservable
Input

   

Range
(Weighted Average)*

Bank Loans

    $ 11,117,168      Vendor pricing    Single Broker Quote    $0.49 – $1.14 ($0.97)

Common Stocks

    $ 836,048      Income Approach    Expected Remaining Distribution    $0.00 – $7.57 ($7.52)
   $ 384,090      Market Approach    EBITDA Multiples    7.2 (N/A)
   $ 4,382      Vendor pricing    Single Broker Quote    $1.03 (N/A)

Corporate Bonds

    $ 3,667      Income Approach    Expected Remaining Distribution    $0.01 (N/A)
   $ 170,687      Market Approach    EBITDA Multiples    6.2 (N/A)
   $ 22,500      Vendor pricing    Single Broker Quote    $0.01 (N/A)

Warrants

    $ 0      Income Approach    Expected Remaining Distribution    $0.00 (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, 2021, $5,372,746 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $8,679,975 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.