Credit Suisse High Yield Bond Fund
Schedule of Investments
July 31, 2021 (unaudited)
Par (000) |
Ratings |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (87.0%) |
||||||||||||||||||
Advertising (0.1%) |
||||||||||||||||||
$ | 202 | TripAdvisor, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, B1) | 07/15/25 | 7.000 | $ | 215,921 | |||||||||||
|
|
|||||||||||||||||
Aerospace & Defense (1.4%) |
||||||||||||||||||
365 | KBR, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, B1) | 09/30/28 | 4.750 | 369,865 | |||||||||||||
1,250 | TransDigm, Inc., Global Company Guaranteed Notes |
(B-, B3) | 03/15/27 | 7.500 | 1,326,125 | |||||||||||||
1,940 | TransDigm, Inc., Rule 144A, Senior Secured Notes |
(B+, Ba3) | 03/15/26 | 6.250 | 2,039,697 | |||||||||||||
|
|
|||||||||||||||||
3,735,687 | ||||||||||||||||||
|
|
|||||||||||||||||
Air Transportation (0.4%) |
||||||||||||||||||
1,000 | Mileage Plus Intellectual Property Assets, Ltd., Rule 144A, Senior Secured Notes |
(NR, Baa3) | 06/20/27 | 6.500 | 1,088,750 | |||||||||||||
|
|
|||||||||||||||||
Auto Parts & Equipment (2.8%) |
||||||||||||||||||
300 | Adient U.S. LLC, Rule 144A, Senior Secured Notes |
(BB-, Ba3) | 04/15/25 | 9.000 | 328,335 | |||||||||||||
640 | BorgWarner, Inc., Rule 144A, Senior Unsecured Notes (1) |
(BBB, Baa1) | 10/01/25 | 5.000 | 740,585 | |||||||||||||
3,430 | Clarios U.S. Finance Co., Rule 144A, Company Guaranteed Notes |
(CCC+, Caa1) | 05/15/27 | 8.500 | 3,708,687 | |||||||||||||
2,450 | Cooper-Standard Automotive, Inc., Rule 144A, Company Guaranteed Notes |
(CCC, Caa1) | 11/15/26 | 5.625 | 2,259,537 | |||||||||||||
350 | Tenneco, Inc., Rule 144A, Senior Secured Notes |
(B+, Ba3) | 01/15/29 | 7.875 | 396,778 | |||||||||||||
|
|
|||||||||||||||||
7,433,922 | ||||||||||||||||||
|
|
|||||||||||||||||
Automakers (0.6%) |
||||||||||||||||||
600 | Ford Motor Co., Global Senior Unsecured Notes |
(BB+, Ba2) | 04/21/23 | 8.500 | 666,888 | |||||||||||||
990 | Winnebago Industries, Inc., Rule 144A, Senior Secured Notes |
(BB+, B1) | 07/15/28 | 6.250 | 1,067,779 | |||||||||||||
|
|
|||||||||||||||||
1,734,667 | ||||||||||||||||||
|
|
|||||||||||||||||
Brokerage (0.7%) |
||||||||||||||||||
1,608 | StoneX Group, Inc., Rule 144A, Senior Secured Notes |
(BB-, Ba3) | 06/15/25 | 8.625 | 1,748,587 | |||||||||||||
|
|
|||||||||||||||||
Building & Construction (0.9%) |
||||||||||||||||||
600 | Adams Homes, Inc., Rule 144A, Company Guaranteed Notes |
(B+, B3) | 02/15/25 | 7.500 | 630,375 | |||||||||||||
1,570 | Installed Building Products, Inc., Rule 144A, Company Guaranteed Notes |
(B+, B1) | 02/01/28 | 5.750 | 1,644,654 | |||||||||||||
|
|
|||||||||||||||||
2,275,029 | ||||||||||||||||||
|
|
|||||||||||||||||
Building Materials (3.4%) |
||||||||||||||||||
1,600 | Foundation Building Materials, Inc., Rule 144A, Company Guaranteed Notes |
(CCC+, Caa1) | 03/01/29 | 6.000 | 1,575,776 | |||||||||||||
1,970 | James Hardie International Finance DAC, Rule 144A, Company Guaranteed Notes |
(BB+, Ba1) | 01/15/28 | 5.000 | 2,094,888 | |||||||||||||
600 | Jeld-Wen, Inc., Rule 144A, Company Guaranteed
Notes |
(BB-, B2) | 12/15/27 | 4.875 | 624,603 | |||||||||||||
1,800 | Park River Holdings, Inc., Rule 144A, Company Guaranteed Notes |
(CCC, Caa1) | 02/01/29 | 5.625 | 1,768,491 | |||||||||||||
300 | Park River Holdings, Inc., Rule 144A, Senior Unsecured Notes |
(CCC, Caa1) | 08/01/29 | 6.750 | 303,412 | |||||||||||||
600 | PGT Innovations, Inc., Rule 144A, Company Guaranteed Notes |
(B+, B2) | 08/01/26 | 6.750 | 629,145 | |||||||||||||
300 | Summit Materials Finance Corp. Rule 144A, Company Guaranteed Notes |
(BB, B1) | 01/15/29 | 5.250 | 319,014 | |||||||||||||
750 | WESCO Distribution, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, B1) | 06/15/25 | 7.125 | 807,184 | |||||||||||||
750 | WESCO Distribution, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, B1) | 06/15/28 | 7.250 | 836,644 | |||||||||||||
|
|
|||||||||||||||||
8,959,157 | ||||||||||||||||||
|
|
|||||||||||||||||
Par (000) |
Ratings |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Cable & Satellite TV (4.2%) |
||||||||||||||||||
$ | 1,315 | CSC Holdings LLC, Global Senior Unsecured Notes |
(B+, B3) | 06/01/24 | 5.250 | $ | 1,422,501 | |||||||||||
525 | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes |
(BB, Ba3) | 04/15/27 | 5.500 | 550,759 | |||||||||||||
750 | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes |
(BB, Ba3) | 02/01/28 | 5.375 | 793,624 | |||||||||||||
1,555 | Midcontinent Finance Corp., Rule 144A, Company Guaranteed Notes |
(B+, B3) | 08/15/27 | 5.375 | 1,625,006 | |||||||||||||
1,600 | Telenet Finance Luxembourg Notes Sarl, Rule 144A, Senior Secured Notes |
(BB-, Ba3) | 03/01/28 | 5.500 | 1,688,320 | |||||||||||||
900 | UPC Broadband Finco B.V., Rule 144A, Senior Secured Notes |
(BB-, B1) | 07/15/31 | 4.875 | 919,260 | |||||||||||||
1,000 | Virgin Media Secured Finance PLC, Rule 144A, Senior Secured Notes |
(BB-, Ba3) | 04/15/27 | 5.000 | 1,446,945 | |||||||||||||
2,596 | Ziggo B.V., Rule 144A, Senior Secured Notes |
(B+, B1) | 01/15/27 | 5.500 | 2,697,406 | |||||||||||||
|
|
|||||||||||||||||
11,143,821 | ||||||||||||||||||
|
|
|||||||||||||||||
Chemicals (2.9%) |
||||||||||||||||||
300 | Avient Corp., Rule 144A, Senior Unsecured Notes |
(BB-, Ba3) | 05/15/25 | 5.750 | 315,566 | |||||||||||||
725 | GCP Applied Technologies, Inc., Rule 144A, Company Guaranteed Notes |
(BB, B1) | 04/15/26 | 5.500 | 743,306 | |||||||||||||
1,200 | Herens Holdco Sarl, Rule 144A, Senior Secured Notes |
(B, B2) | 05/15/28 | 4.750 | 1,192,584 | |||||||||||||
2,200 | Ingevity Corp., Rule 144A, Company Guaranteed Notes |
(NR, Ba3) | 02/01/26 | 4.500 | 2,242,856 | |||||||||||||
272 | Reichhold Industries, Inc., Rule 144A, Senior Secured |
(NR, NR) | 05/01/18 | 9.000 | 3,667 | |||||||||||||
1,500 | Schenectady International Group, Inc., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 05/15/26 | 6.750 | 1,529,760 | |||||||||||||
600 | Trinseo Materials Finance, Inc., Rule 144A, Company Guaranteed Notes |
(B-, B2) | 04/01/29 | 5.125 | 611,841 | |||||||||||||
1,200 | Tronox, Inc., Rule 144A, Company Guaranteed Notes |
(B, B3) | 03/15/29 | 4.625 | 1,222,500 | |||||||||||||
|
|
|||||||||||||||||
7,862,080 | ||||||||||||||||||
|
|
|||||||||||||||||
Consumer/Commercial/Lease Financing (1.1%) |
||||||||||||||||||
2,900 | Cargo Aircraft Management, Inc., Rule 144A, Company Guaranteed Notes |
(BB, Ba3) | 02/01/28 | 4.750 | 2,971,064 | |||||||||||||
|
|
|||||||||||||||||
Diversified Capital Goods (2.3%) |
||||||||||||||||||
1,425 | Atkore, Inc., Rule 144A, Senior Unsecured Notes |
(BB-, Ba3) | 06/01/31 | 4.250 | 1,458,908 | |||||||||||||
675 | Core & Main LP, Rule 144A, Senior Unsecured Notes |
(CCC+, Caa1) | 08/15/25 | 6.125 | 685,429 | |||||||||||||
1,200 | GrafTech Finance, Inc., Rule 144A, Senior Secured Notes |
(BB, Ba3) | 12/15/28 | 4.625 | 1,234,500 | |||||||||||||
600 | Madison IAQ LLC, Rule 144A, Senior Secured Notes |
(B, B1) | 06/30/28 | 4.125 | 601,632 | |||||||||||||
600 | Madison IAQ LLC, Rule 144A, Senior Unsecured Notes |
(CCC+, Caa1) | 06/30/29 | 5.875 | 607,170 | |||||||||||||
1,500 | Stevens Holding Co., Inc., Rule 144A, Company Guaranteed Notes |
(B+, B2) | 10/01/26 | 6.125 | 1,612,005 | |||||||||||||
|
|
|||||||||||||||||
6,199,644 | ||||||||||||||||||
|
|
|||||||||||||||||
Electronics (1.3%) |
||||||||||||||||||
1,628 | Sensata Technologies B.V., Rule 144A, Company Guaranteed Notes (1) |
(BB+, Ba3) | 10/01/25 | 5.000 | 1,819,290 | |||||||||||||
345 | Sensata Technologies B.V., Rule 144A, Company Guaranteed Notes |
(BB+, Ba3) | 04/15/29 | 4.000 | 355,014 | |||||||||||||
1,200 | Synaptics, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/24 @ 102.00)(1) |
(BB-, Ba3) | 06/15/29 | 4.000 | 1,218,228 | |||||||||||||
|
|
|||||||||||||||||
3,392,532 | ||||||||||||||||||
|
|
|||||||||||||||||
Energy - Exploration & Production (1.9%) |
||||||||||||||||||
850 | CNX Resources Corp., Rule 144A, Company Guaranteed Notes |
(BB-, B1) | 03/14/27 | 7.250 | 910,461 | |||||||||||||
800 | CNX Resources Corp., Rule 144A, Company Guaranteed Notes |
(BB-, B1) | 01/15/29 | 6.000 | 848,084 |
Par (000) |
Ratings |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Energy - Exploration & Production |
||||||||||||||||||
$ | 350 | Laredo Petroleum, Inc. Rule 144A, Company Guaranteed Notes |
(B, B3) | 07/31/29 | 7.750 | $ | 339,157 | |||||||||||
595 | Northern Oil & Gas, Inc., Rule 144A, Senior Unsecured Notes |
(B, Caa1) | 03/01/28 | 8.125 | 623,991 | |||||||||||||
2,500 | W&T Offshore, Inc., Rule 144A, Secured Notes |
(B, Caa2) | 11/01/23 | 9.750 | 2,402,725 | |||||||||||||
|
|
|||||||||||||||||
5,124,418 | ||||||||||||||||||
|
|
|||||||||||||||||
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 | 658,109 | |||||||||||||
300 | Stericycle, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/23 @ 101.94)(1) |
(BB-, NR) | 01/15/29 | 3.875 | 304,776 | |||||||||||||
|
|
|||||||||||||||||
962,885 | ||||||||||||||||||
|
|
|||||||||||||||||
Food - Wholesale (0.3%) |
||||||||||||||||||
900 | U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes |
(B+, Caa1) | 02/15/29 | 4.750 | 919,125 | |||||||||||||
|
|
|||||||||||||||||
Gaming (3.5%) |
||||||||||||||||||
500 | Boyd Gaming Corp., Rule 144A, Senior Unsecured Notes |
(B, Caa1) | 06/15/31 | 4.750 | 517,927 | |||||||||||||
1,868 | Churchill Downs, Inc., Rule 144A, Company Guaranteed Notes |
(B+, B1) | 01/15/28 | 4.750 | 1,938,050 | |||||||||||||
3,250 | Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/30/21 @ 101.69)(1) |
(CCC, Caa2) | 10/15/24 | 6.750 | 3,262,188 | |||||||||||||
2,200 | Jacobs Entertainment, Inc., Rule 144A, Secured Notes |
(B-, B3) | 02/01/24 | 7.875 | 2,294,567 | |||||||||||||
1,250 | MGP Finance Co-Issuer, Inc., Global Company Guaranteed
Notes |
(BB-, B1) | 02/01/27 | 5.750 | 1,398,831 | |||||||||||||
|
|
|||||||||||||||||
9,411,563 | ||||||||||||||||||
|
|
|||||||||||||||||
Gas Distribution (3.9%) |
||||||||||||||||||
2,750 | Genesis Energy Finance Corp., Company Guaranteed Notes |
(B+, B1) | 06/15/24 | 5.625 | 2,739,096 | |||||||||||||
1,125 | Genesis Energy Finance Corp., Company Guaranteed Notes |
(B+, B1) | 05/15/26 | 6.250 | 1,111,821 | |||||||||||||
1,500 | Hess Midstream Operations LP, Rule 144A, Company Guaranteed Notes (Callable 06/15/23 @ 102.56)(1) |
(BB+, Ba3) | 06/15/28 | 5.125 | 1,573,297 | |||||||||||||
1,450 | New Fortress Energy, Inc., Rule 144A, Senior Secured Notes |
(NR, B1) | 09/30/26 | 6.500 | 1,466,740 | |||||||||||||
1,400 | NGL Energy Finance Corp., Rule 144A, Senior Secured Notes |
(BB-, B1) | 02/01/26 | 7.500 | 1,440,292 | |||||||||||||
300 | Rockies Express Pipeline LLC, Rule 144A, Senior Unsecured Notes |
(BB+, Ba2) | 07/15/29 | 4.950 | 309,608 | |||||||||||||
600 | Rockies Express Pipeline LLC, Rule 144A, Senior Unsecured Notes |
(BB+, Ba2) | 05/15/30 | 4.800 | 608,097 | |||||||||||||
300 | Suburban Energy Finance Corp., Rule 144A, Senior Unsecured Notes |
(BB-, B1) | 06/01/31 | 5.000 | 312,495 | |||||||||||||
750 | Tallgrass Energy Finance Corp., Rule 144A, Company Guaranteed Notes |
(BB-, B1) | 10/01/25 | 7.500 | 815,734 | |||||||||||||
|
|
|||||||||||||||||
10,377,180 | ||||||||||||||||||
|
|
|||||||||||||||||
Health Facilities (0.9%) |
||||||||||||||||||
1,250 | HCA, Inc., Company Guaranteed Notes |
(BB-, Baa3) | 09/01/28 | 5.625 | 1,505,025 | |||||||||||||
775 | Surgery Center Holdings, Inc., Rule 144A, Company Guaranteed Notes |
(CCC, Caa2) | 04/15/27 | 10.000 | 847,567 | |||||||||||||
|
|
|||||||||||||||||
2,352,592 | ||||||||||||||||||
|
|
|||||||||||||||||
Health Services (2.8%) |
||||||||||||||||||
660 | AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, Ba3) | 04/15/29 | 4.000 | 678,853 | |||||||||||||
180 | Ortho-Clinical Diagnostics S.A., Rule 144A, Senior Unsecured Notes |
(CCC+, B3) | 06/01/25 | 7.375 | 193,291 | |||||||||||||
2,619 | Owens & Minor, Inc., Global Senior Secured Notes |
(BB-, Ba2) | 12/15/24 | 4.375 | 2,760,282 |
Par (000) |
Ratings |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Health Services |
||||||||||||||||||
$ | 2,750 | Radiology Partners, Inc., Rule 144A, Company Guaranteed Notes |
(CCC, Caa2) | 02/01/28 | 9.250 | $ | 2,973,080 | |||||||||||
335 | RP Escrow Issuer LLC, Rule 144A, Senior Secured Notes |
(B-, B2) | 12/15/25 | 5.250 | 343,728 | |||||||||||||
589 | Service Corp., International, Global Senior Unsecured Notes |
(BB, Ba3) | 05/15/31 | 4.000 | 608,835 | |||||||||||||
|
|
|||||||||||||||||
7,558,069 | ||||||||||||||||||
|
|
|||||||||||||||||
Insurance Brokerage (3.9%) |
||||||||||||||||||
3,178 | Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 11/15/25 | 7.000 | 3,230,230 | |||||||||||||
1,000 | Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 08/01/26 | 10.125 | 1,121,330 | |||||||||||||
1,000 | Alliant Holdings Co-Issuer, Rule 144A, Senior Secured
Notes |
(B, B2) | 10/15/27 | 4.250 | 993,750 | |||||||||||||
419 | Alliant Holdings Co-Issuer, Rule 144A, Senior Unsecured
Notes |
(CCC+, Caa2) | 10/15/27 | 6.750 | 437,876 | |||||||||||||
300 | AmWINS Group, Inc. Rule 144A, Senior Unsecured Notes |
(B-, B3) | 06/30/29 | 4.875 | 306,375 | |||||||||||||
1,200 | GTCR AP Finance, Inc., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 05/15/27 | 8.000 | 1,276,620 | |||||||||||||
600 | NFP Corp., Rule 144A, Senior Secured Notes |
(B, B1) | 08/15/28 | 4.875 | 612,468 | |||||||||||||
2,400 | NFP Corp., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 08/15/28 | 6.875 | 2,491,008 | |||||||||||||
|
|
|||||||||||||||||
10,469,657 | ||||||||||||||||||
|
|
|||||||||||||||||
Investments & Misc. Financial Services (1.2%) |
||||||||||||||||||
1,190 | AG Issuer LLC, Rule 144A, Senior Secured Notes |
(B-, B2) | 03/01/28 | 6.250 | 1,250,785 | |||||||||||||
1,750 | Compass Group Diversified Holdings LLC, Rule 144A, Company Guaranteed Notes |
(B+, B1) | 04/15/29 | 5.250 | 1,817,813 | |||||||||||||
|
|
|||||||||||||||||
3,068,598 | ||||||||||||||||||
|
|
|||||||||||||||||
Machinery (2.6%) |
||||||||||||||||||
1,250 | Arcosa., Inc., Rule 144A, Company Guaranteed Notes |
(BB, Ba2) | 04/15/29 | 4.375 | 1,281,250 | |||||||||||||
1,475 | ATS Automation Tooling Systems, Inc., Rule 144A, Company Guaranteed Notes |
(B+, B2) | 12/15/28 | 4.125 | 1,504,500 | |||||||||||||
150 | Granite U.S. Holdings Corp., Rule 144A, Company Guaranteed Notes |
(CCC+, Caa1) | 10/01/27 | 11.000 | 167,282 | |||||||||||||
690 | Harsco Corp., Rule 144A, Company Guaranteed Notes |
(B+, B1) | 07/31/27 | 5.750 | 718,249 | |||||||||||||
600 | Hillenbrand, Inc., Global Company Guaranteed Notes |
(BB+, Ba1) | 06/15/25 | 5.750 | 641,670 | |||||||||||||
300 | Mueller Water Products, Inc., Rule 144A, Company Guaranteed Notes |
(BB, Ba1) | 06/15/29 | 4.000 | 311,009 | |||||||||||||
2,300 | Rexnord LLC, Rule 144A, Company Guaranteed Notes |
(BB-, B1) | 12/15/25 | 4.875 | 2,353,187 | |||||||||||||
|
|
|||||||||||||||||
6,977,147 | ||||||||||||||||||
|
|
|||||||||||||||||
Media - Diversified (0.4%) |
||||||||||||||||||
750 | National CineMedia LLC, Global Senior Unsecured Notes |
(CCC-, Caa3) | 08/15/26 | 5.750 | 626,910 | |||||||||||||
375 | National CineMedia LLC, Rule 144A, Senior Secured Notes |
(CCC+, B3) | 04/15/28 | 5.875 | 352,997 | |||||||||||||
|
|
|||||||||||||||||
979,907 | ||||||||||||||||||
|
|
|||||||||||||||||
Media Content (0.9%) |
||||||||||||||||||
1,507 | Diamond Sports Finance Co., Rule 144A, Company Guaranteed Notes |
(CCC-, Ca) | 08/15/27 | 6.625 | 600,050 | |||||||||||||
925 | Diamond Sports Finance Co., Rule 144A, Senior Secured Notes |
(CCC+, Caa1) | 08/15/26 | 5.375 | 537,656 | |||||||||||||
300 | Sirius XM Radio, Inc., Rule 144A, Company Guaranteed Notes |
(BB, Ba3) | 07/15/28 | 4.000 | 309,750 | |||||||||||||
898 | Sirius XM Radio, Inc., Rule 144A, Company Guaranteed Notes |
(BB, Ba3) | 07/01/29 | 5.500 | 984,716 | |||||||||||||
|
|
|||||||||||||||||
2,432,172 | ||||||||||||||||||
|
|
Par (000) |
Ratings |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Metals & Mining - Excluding Steel (1.7%) |
||||||||||||||||||
$ | 199 | Cleveland-Cliffs, Inc., Rule 144A, Senior Secured Notes |
(BB-, Ba2) | 10/17/25 | 9.875 | $ | 232,830 | |||||||||||
300 | First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes |
(B, Wr) | 04/01/23 | 7.250 | 306,000 | |||||||||||||
2,150 | First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes |
(B, NR) | 03/01/26 | 6.875 | 2,250,620 | |||||||||||||
300 | Kaiser Aluminum Corp., Rule 144A, Company Guaranteed Notes |
(BB, B1) | 06/01/31 | 4.500 | 312,395 | |||||||||||||
182 | Novelis Corp., Rule 144A, Company Guaranteed Notes |
(BB, B1) | 01/30/30 | 4.750 | 194,040 | |||||||||||||
1,250 | Taseko Mines Ltd., Rule 144A, Senior Secured Notes |
(B-, Caa1) | 02/15/26 | 7.000 | 1,287,900 | |||||||||||||
|
|
|||||||||||||||||
4,583,785 | ||||||||||||||||||
|
|
|||||||||||||||||
Oil Field Equipment & Services (0.2%) |
||||||||||||||||||
400 | Pioneer Energy Services Corp., PIK, Rule 144A, Senior Unsecured |
(NR, NR) | 11/15/25 | 5.000 | 465,450 | |||||||||||||
|
|
|||||||||||||||||
Oil Refining & Marketing (0.5%) |
||||||||||||||||||
1,460 | ITT Holdings LLC, Rule 144A, Senior Unsecured Notes |
(B, B2) | 08/01/29 | 6.500 | 1,458,533 | |||||||||||||
|
|
|||||||||||||||||
Packaging (5.0%) |
||||||||||||||||||
276 | Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes |
(B-, Caa1) | 02/15/25 | 6.000 | 285,246 | |||||||||||||
600 | Ardagh Metal Packaging Finance PLC, Rule 144A, Senior Unsecured Notes |
(B+, B3) | 09/01/29 | 4.000 | 602,250 | |||||||||||||
650 | Crown Americas Capital Corp. VI, Global Company Guaranteed Notes |
(BB-, Ba3) | 02/01/26 | 4.750 | 674,375 | |||||||||||||
2,500 | Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 01/15/25 | 6.875 | 2,541,125 | |||||||||||||
600 | Intelligent Packaging Ltd. Co-Issuer LLC, Rule 144A,
Senior Secured Notes |
(B-, B3) | 09/15/28 | 6.000 | 626,076 | |||||||||||||
1,695 | Intertape Polymer Group, Inc., Rule 144A, Company Guaranteed Notes |
(B+, Ba3) | 06/15/29 | 4.375 | 1,737,799 | |||||||||||||
3,435 | Plastipak Holdings, Inc., Rule 144A, Senior Unsecured Notes |
(B, B3) | 10/15/25 | 6.250 | 3,516,959 | |||||||||||||
2,970 | TriMas Corp., Rule 144A, Company Guaranteed Notes |
(BB-, Ba3) | 04/15/29 | 4.125 | 3,021,277 | |||||||||||||
250 | Trivium Packaging Finance B.V., Rule 144A, Senior Secured Notes |
(B, B2) | 08/15/26 | 5.500 | 261,562 | |||||||||||||
|
|
|||||||||||||||||
13,266,669 | ||||||||||||||||||
|
|
|||||||||||||||||
Personal & Household Products (0.2%) |
||||||||||||||||||
2,000 | High Ridge Brands Co., Rule 144A, Senior Unsecured Notes |
(NR, NR) | 03/15/25 | 8.875 | 20,000 | |||||||||||||
600 | MajorDrive Holdings IV LLC, Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 06/01/29 | 6.375 | 591,759 | |||||||||||||
|
|
|||||||||||||||||
611,759 | ||||||||||||||||||
|
|
|||||||||||||||||
Pharmaceuticals (3.4%) |
||||||||||||||||||
600 | Bausch Health Cos., Inc. Rule 144A, Senior Secured Notes |
(BB, Ba2) | 06/01/28 | 4.875 | 618,000 | |||||||||||||
1,600 | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes |
(B, B3) | 05/30/29 | 7.250 | 1,661,656 | |||||||||||||
325 | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes |
(B, B3) | 01/30/30 | 5.250 | 306,283 | |||||||||||||
1,064 | Emergent BioSolutions, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, Ba3) | 08/15/28 | 3.875 | 1,059,617 | |||||||||||||
1,350 | Endo Finance LLC, Rule 144A, Senior Secured Notes |
(B, B2) | 10/15/24 | 5.875 | 1,339,895 | |||||||||||||
600 | Endo U.S., Inc. Rule 144A, Senior Secured Notes |
(B, B2) | 04/01/29 | 6.125 | 597,147 |
Par (000) |
Ratings |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Pharmaceuticals |
||||||||||||||||||
$ | 1,250 | Horizon Therapeutics U.S.A., Inc., Rule 144A, Company Guaranteed Notes |
(B+, Ba3) | 08/01/27 | 5.500 | $ | 1,335,494 | |||||||||||
2,100 | Jazz Securities DAC, Rule 144A, Senior Secured Notes |
(BB-, Ba2) | 01/15/29 | 4.375 | 2,189,481 | |||||||||||||
9,107,573 | ||||||||||||||||||
Real Estate Development & Management (1.5%) |
||||||||||||||||||
1,100 | Newmark Group, Inc., Global Senior Unsecured Notes |
(BB+, NR) | 11/15/23 | 6.125 | 1,195,651 | |||||||||||||
2,864 | WeWork Cos., Inc., Rule 144A, Company Guaranteed Notes(1) |
(CCC+, Wr) | 05/01/25 | 7.875 | 2,927,867 | |||||||||||||
|
|
|||||||||||||||||
4,123,518 | ||||||||||||||||||
|
|
|||||||||||||||||
Real Estate Investment Trusts (2.6%) |
||||||||||||||||||
1,606 | Global Net Lease Operating Partnership LP, Rule 144A, Company Guaranteed Notes |
(BBB-, Ba3) | 12/15/27 | 3.750 | 1,598,252 | |||||||||||||
2,100 | iStar, Inc., Global Senior Unsecured Notes |
(BB, Ba3) | 02/15/26 | 5.500 | 2,197,860 | |||||||||||||
300 | iStar, Inc., Senior Unsecured Notes |
(BB, Ba3) | 10/01/24 | 4.750 | 318,513 | |||||||||||||
970 | Starwood Property Trust, Inc., Global Senior Unsecured Notes |
(B+, Ba3) | 12/15/21 | 5.000 | 974,510 | |||||||||||||
1,880 | Starwood Property Trust, Inc., Rule 144A, Senior Unsecured Notes |
(B+, Ba3) | 11/01/23 | 5.500 | 1,974,000 | |||||||||||||
|
|
|||||||||||||||||
7,063,135 | ||||||||||||||||||
|
|
|||||||||||||||||
Recreation & Travel (5.9%) |
||||||||||||||||||
600 | Boyne U.S.A., Inc., Rule 144A, Senior Unsecured Notes |
(B, B1) | 05/15/29 | 4.750 | 619,500 | |||||||||||||
2,000 | Canadas Wonderland Co., Global Company Guaranteed Notes |
(CCC, B3) | 04/15/27 | 5.375 | 2,045,160 | |||||||||||||
1,575 | Cedar Fair LP, Global Company Guaranteed Notes |
(CCC, B3) | 07/15/29 | 5.250 | 1,603,523 | |||||||||||||
1,300 | Merlin Entertainments Ltd., Rule 144A, Secured Notes |
(CCC+, B2) | 06/15/26 | 5.750 | 1,358,552 | |||||||||||||
1,000 | Motion Bondco DAC, Rule 144A, Company Guaranteed Notes |
(CCC-, Caa2) | 11/15/27 | 6.625 | 1,018,865 | |||||||||||||
942 | Powdr Corp., Rule 144A, Senior Secured Notes |
(B-, B1) | 08/01/25 | 6.000 | 989,750 | |||||||||||||
600 | SeaWorld Parks & Entertainment, Inc., Rule 144A, Senior Secured Notes |
(B-, B2) | 05/01/25 | 8.750 | 647,415 | |||||||||||||
2,150 | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes |
(CCC, B3) | 07/31/24 | 4.875 | 2,166,125 | |||||||||||||
600 | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes |
(CCC, B3) | 04/15/27 | 5.500 | 619,761 | |||||||||||||
400 | Six Flags Theme Parks, Inc., Rule 144A, Senior Secured Notes |
(B, Ba2) | 07/01/25 | 7.000 | 428,854 | |||||||||||||
3,135 | Speedway Funding II, Inc., Rule 144A, Senior Unsecured Notes |
(BB-, B2) | 11/01/27 | 4.875 | 3,190,239 | |||||||||||||
920 | Vail Resorts, Inc., 144A, Company Guaranteed Notes |
(BB, B1) | 05/15/25 | 6.250 | 978,328 | |||||||||||||
|
|
|||||||||||||||||
15,666,072 | ||||||||||||||||||
|
|
|||||||||||||||||
Software - Services (4.6%) |
||||||||||||||||||
2,800 | Austin BidCo, Inc., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 12/15/28 | 7.125 | 2,873,878 | |||||||||||||
600 | Booz Allen Hamilton, Inc., Rule 144A, Company Guaranteed Notes |
(BB-, Ba2) | 07/01/29 | 4.000 | 619,653 | |||||||||||||
890 | CDK Global, Inc., Global Senior Unsecured Notes |
(BB+, Ba1) | 06/01/27 | 4.875 | 940,418 | |||||||||||||
1,950 | Elastic NV, Rule 144A, Senior Unsecured Notes |
(B+, B1) | 07/15/29 | 4.125 | 1,959,828 | |||||||||||||
900 | Endure Digital, Inc., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa2) | 02/15/29 | 6.000 | 875,300 | |||||||||||||
388 | GD Finance Co., Inc., Rule 144A, Company Guaranteed Notes |
(BB-, Ba3) | 12/01/27 | 5.250 | 407,499 | |||||||||||||
1,500 | Granite Merger Sub 2, Inc., Rule 144A, Company Guaranteed Notes |
(CCC+, Caa1) | 07/15/27 | 11.000 | 1,708,410 |
Par (000) |
Ratings |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Software - Services |
||||||||||||||||||
$ | 850 | Presidio Holdings, Inc., Rule 144A, Company Guaranteed Notes |
(CCC+, Caa1) | 02/01/28 | 8.250 | $ | 926,525 | |||||||||||
235 | Presidio Holdings, Inc., Rule 144A, Senior Secured Notes |
(B, B1) | 02/01/27 | 4.875 | 242,707 | |||||||||||||
1,500 | SS&C Technologies, Inc., Rule 144A, Company Guaranteed Notes |
(B+, B2) | 09/30/27 | 5.500 | 1,589,400 | |||||||||||||
|
|
|||||||||||||||||
12,143,618 | ||||||||||||||||||
|
|
|||||||||||||||||
Specialty Retail (2.5%) |
||||||||||||||||||
61 | Asbury Automotive Group, Inc., Global Company Guaranteed Notes |
(BB, B1) | 03/01/28 | 4.500 | 63,288 | |||||||||||||
733 | Asbury Automotive Group, Inc., Global Company Guaranteed Notes |
(BB, B1) | 03/01/30 | 4.750 | 777,090 | |||||||||||||
1,425 | eG Global Finance PLC, Rule 144A, Senior Secured Notes |
(B-, B3) | 10/30/25 | 8.500 | 1,496,229 | |||||||||||||
1,403 | Lithia Motors, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/01/21 @ 102.63)(1) |
(BB+, Ba2) | 08/01/25 | 5.250 | 1,444,381 | |||||||||||||
300 | Murphy Oil U.S.A., Inc., Rule 144A, Company Guaranteed Notes |
(BB+, Ba2) | 02/15/31 | 3.750 | 299,657 | |||||||||||||
2,500 | Ruyi U.S. Finance LLC, Rule 144A, Senior Secured Notes |
(NR, Caa1) | 05/01/25 | 7.500 | 2,347,162 | |||||||||||||
300 | Sally Capital, Inc., Rule 144A, Secured Notes |
(BB+, Ba2) | 04/30/25 | 8.750 | 326,428 | |||||||||||||
|
|
|||||||||||||||||
6,754,235 | ||||||||||||||||||
|
|
|||||||||||||||||
Support - Services (5.9%) |
||||||||||||||||||
639 | Allied Universal Finance Corp., Rule 144A, Senior Secured Notes |
(B, B2) |
06/01/28 | 4.625 | 639,799 | |||||||||||||
1,011 | Allied Universal Finance Corp., Rule 144A, Senior Secured Notes |
(B, B2) | 06/01/28 | 4.625 | 1,016,055 | |||||||||||||
1,650 | Allied Universal Finance Corp., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa1) | 06/01/29 | 6.000 | 1,654,174 | |||||||||||||
710 | APi Group DE, Inc., Rule 144A, Company Guaranteed Notes |
(B, B1) | 07/15/29 | 4.125 | 693,184 | |||||||||||||
600 | Clarivate Science Holdings Corp., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa1) | 06/30/29 | 4.875 | 605,892 | |||||||||||||
2,400 | CoreLogic, Inc., Rule 144A, Senior Secured Notes |
(B, B1) | 05/01/28 | 4.500 | 2,399,796 | |||||||||||||
300 | CPI CG, Inc., Rule 144A, Senior Secured Notes |
(B-, B3) | 03/15/26 | 8.625 | 320,288 | |||||||||||||
2,765 | Gems Education Delaware LLC, Rule 144A, Senior Secured Notes |
(B-, B3) | 07/31/26 | 7.125 | 2,859,148 | |||||||||||||
2,400 | GYP Holdings III Corp., Rule 144A, Company Guaranteed Notes |
(B, B2) | 05/01/29 | 4.625 | 2,431,908 | |||||||||||||
575 | Korn Ferry, Rule 144A, Company Guaranteed Notes |
(BB, Ba3) | 12/15/27 | 4.625 | 595,654 | |||||||||||||
445 | United Rentals North America, Inc., Company Guaranteed Notes |
(BB, Ba2) | 01/15/28 | 4.875 | 470,532 | |||||||||||||
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 | 1,175,922 | |||||||||||||
865 | Williams Scotsman International, Inc., Rule 144A, Senior Secured Notes |
(B+, B3) | 08/15/28 | 4.625 | 893,112 | |||||||||||||
|
|
|||||||||||||||||
15,755,464 | ||||||||||||||||||
|
|
|||||||||||||||||
Tech Hardware & Equipment (2.0%) |
||||||||||||||||||
1,690 | CommScope Technologies LLC, Rule 144A, Company Guaranteed |
(CCC+, B3) | 06/15/25 | 6.000 | 1,717,463 | |||||||||||||
1,750 | CommScope Technologies LLC, Rule 144A, Company Guaranteed |
(CCC+, B3) | 03/15/27 | 5.000 | 1,772,837 | |||||||||||||
1,800 | Imola Merger Corp., Rule 144A, Senior Secured Notes (Callable 05/15/24 @ 102.38)(1) |
(BB-, B1) | 05/15/29 | 4.750 | 1,860,273 | |||||||||||||
|
|
|||||||||||||||||
5,350,573 | ||||||||||||||||||
|
|
|||||||||||||||||
Telecom - Wireline Integrated & Services (2.9%) |
||||||||||||||||||
2,300 | Altice Financing S.A., Rule 144A, Senior Secured Notes |
(B, B2) | 05/15/26 | 7.500 | 2,395,864 | |||||||||||||
484 | Altice France S.A., Rule 144A, Senior Secured Notes |
(B, B2) | 05/01/26 | 7.375 | 503,965 |
Par (000) |
Ratings |
Maturity | Rate% | Value | ||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Telecom - Wireline Integrated & Services |
||||||||||||||||||
$ | 1,285 | Altice France S.A., Rule 144A, Senior Secured Notes |
(B, B2) | 01/15/29 | 5.125 | $ | 1,296,276 | |||||||||||
4,000 | GTT Communications, Inc., Rule 144A, Company Guaranteed Notes |
(D, Wr) | 12/31/24 | 7.875 | 397,160 | |||||||||||||
2,000 | LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes |
(B+, B1) | 10/15/27 | 6.750 | 2,139,580 | |||||||||||||
300 | LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes |
(B+, B1) | 07/15/29 | 5.125 | 307,750 | |||||||||||||
600 | Zayo Group Holdings, Inc., Rule 144A, Senior Unsecured Notes |
(CCC+, Caa1) | 03/01/28 | 6.125 | 611,346 | |||||||||||||
|
|
|||||||||||||||||
7,651,941 | ||||||||||||||||||
|
|
|||||||||||||||||
Theaters & Entertainment (2.5%) |
||||||||||||||||||
2,374 | AMC Entertainment Holdings, Inc.,10.00% Cash, 12.00% PIK, Rule 144A, Secured Notes |
(CCC-, Ca) | 06/15/26 | 12.000 | 2,104,159 | |||||||||||||
1,265 | Cinemark U.S.A., Inc., Rule 144A, Senior Secured Notes |
(BB-, Ba3) | 05/01/25 | 8.750 | 1,355,068 | |||||||||||||
2,200 | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes |
(B-, B3) | 11/01/24 | 4.875 | 2,238,544 | |||||||||||||
400 | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes |
(B-, B3) | 03/15/26 | 5.625 | 416,500 | |||||||||||||
500 | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes |
(B-, B3) | 10/15/27 | 4.750 | 511,250 | |||||||||||||
|
|
|||||||||||||||||
6,625,521 | ||||||||||||||||||
|
|
|||||||||||||||||
Transport Infrastructure/Services (0.8%) |
||||||||||||||||||
2,117 | Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes |
(CCC-, Caa2) | 08/15/22 | 11.250 | 2,114,153 | |||||||||||||
|
|
|||||||||||||||||
TOTAL CORPORATE BONDS (Cost $229,675,273) |
232,136,173 | |||||||||||||||||
|
|
|||||||||||||||||
BANK LOANS (28.8%) |
||||||||||||||||||
Aerospace & Defense (1.2%) |
||||||||||||||||||
1,500 | Amentum Government Services Holdings LLC, LIBOR 3M + |
(NR, NR) | 01/31/28 | 10.000 | 1,507,500 | |||||||||||||
1,750 | Peraton Corp.(11) |
(NR, NR) | 02/01/29 | 0.000 | 1,787,188 | |||||||||||||
|
|
|||||||||||||||||
3,294,688 | ||||||||||||||||||
|
|
|||||||||||||||||
Auto Parts & Equipment (0.7%) |
||||||||||||||||||
956 | Dayco Products LLC, LIBOR 3M + 4.250%(10) |
(CCC+, Caa1) | 05/19/23 | 4.385 | 933,422 | |||||||||||||
333 | Jason Group, Inc., LIBOR 3M + 1.000% Cash, 9.000% PIK(7),(10) |
(CCC-, Caa3) | 03/02/26 | 11.000 | 328,301 | |||||||||||||
490 | Jason Group, Inc., LIBOR 3M + 2.000% Cash, 4.000% PIK(7),(10) |
(B-, Caa1) | 08/28/25 | 7.000 | 482,271 | |||||||||||||
|
|
|||||||||||||||||
1,743,994 | ||||||||||||||||||
|
|
|||||||||||||||||
Building & Construction (0.4%) |
||||||||||||||||||
1,078 | TRC Companies, Inc., LIBOR 1M + 4.500%(6),(10) |
(B, B2) | 06/21/24 | 5.250 | 1,076,160 | |||||||||||||
|
|
|||||||||||||||||
Building Materials (0.7%) |
||||||||||||||||||
2,000 | Airxcel, Inc., LIBOR 1M + 8.750%(10) |
(CCC+, Caa2) | 04/27/26 | 8.842 | 1,978,330 | |||||||||||||
|
|
|||||||||||||||||
Chemicals (4.3%) |
||||||||||||||||||
2,211 | Ascend Performance Materials Operations LLC, LIBOR 3M + 4.750%(10) |
(BB-, B1) | 08/27/26 | 5.500 | 2,244,845 | |||||||||||||
2,452 | PMHC II, Inc., LIBOR 12M + 3.500%(10) |
(B-, Caa1) | 03/31/25 | 4.500 | 2,436,152 | |||||||||||||
2,268 | Polar U.S. Borrower LLC, LIBOR 1M + 4.750%, LIBOR 3M + 4.750%(6),(10) |
(B-, B3) | 10/15/25 | 4.874 - 4.897 | 2,273,679 | |||||||||||||
115 | UTEX Industries, Inc., LIBOR 1M + 7.000%(10) |
(NR, NR) | 12/03/25 | 8.500 | 115,552 | |||||||||||||
99 | UTEX Industries, Inc., LIBOR 1M + 5.250%(10) |
(NR, NR) | 12/03/25 | 11.000 | 96,618 | |||||||||||||
2,000 | Vantage Specialty Chemicals, Inc., LIBOR |
(CCC-, Caa3) | 10/27/25 | 9.250 | 1,937,300 | |||||||||||||
2,424 | Zep, Inc., LIBOR 3M + 4.000%(10) |
(B-, B3) | 08/12/24 | 5.000 | 2,361,398 | |||||||||||||
|
|
|||||||||||||||||
11,465,544 | ||||||||||||||||||
|
|
|||||||||||||||||
Diversified Capital Goods (1.0%) |
||||||||||||||||||
774 | Callaway Golf Co., LIBOR 1M + 4.500%(10) |
(B, B1) | 01/02/26 | 4.589 | 778,494 | |||||||||||||
1,020 | Electrical Components International, Inc.(6),(11) |
(B-, B2) | 06/26/25 | 0.000 | 1,021,275 | |||||||||||||
967 | GrafTech Finance, Inc., LIBOR 1M + 3.000%(10) |
(BB, Ba3) | 02/12/25 | 3.500 | 968,409 | |||||||||||||
|
|
|||||||||||||||||
2,768,178 | ||||||||||||||||||
|
|
|||||||||||||||||
Par (000) |
Ratings (S&P/Moodys) |
Maturity | Rate% | Value | ||||||||||||||
BANK LOANS (continued) |
||||||||||||||||||
Electronics (2.2%) |
||||||||||||||||||
$ | 347 | Bright Bidco B.V., LIBOR 3M + 3.500%(10) |
(CCC, Caa3) | 06/30/24 | 4.500 | $ | 278,670 | |||||||||||
999 | CPI International, Inc., LIBOR 1M + 7.250%(5),(6),(10) |
(CCC, Caa2) | 07/26/25 | 8.250 | 934,417 | |||||||||||||
2,250 | EXC Holdings III Corp., LIBOR 3M + 7.500%(10) |
(CCC+, Caa1) | 12/01/25 | 8.500 | 2,250,698 | |||||||||||||
2,422 | Idemia Group, LIBOR 3M + 4.500%(10) |
(B-, B3) | 01/09/26 | 5.250 | 2,417,189 | |||||||||||||
|
|
|||||||||||||||||
5,880,974 | ||||||||||||||||||
|
|
|||||||||||||||||
Energy - Exploration & Production (0.0%) | ||||||||||||||||||
2,595 | PES Holdings LLC, 3.000% PIK(3),(7),(10) |
(NR, NR) | 12/31/22 | 3.000 | 58,388 | |||||||||||||
|
|
|||||||||||||||||
Food - Wholesale (0.4%) |
||||||||||||||||||
968 | United Natural Foods, Inc., LIBOR 1M + 3.500%(10) |
(B, B2) | 10/22/25 | 3.592 | 966,196 | |||||||||||||
|
|
|||||||||||||||||
Gas Distribution (1.5%) |
||||||||||||||||||
1,204 | BCP Renaissance Parent LLC, LIBOR 3M + 3.500%(10) |
(B, B2) | 10/31/24 | 4.500 | 1,190,899 | |||||||||||||
978 | BCP Renaissance Parent LLC, LIBOR 3M + 3.500%(6),(10) |
(B, B2) | 11/01/24 | 3.635 | 964,388 | |||||||||||||
1,795 | Traverse Midstream Partners LLC, LIBOR 1M + 5.500%(10) |
(B, B3) | 09/27/24 | 6.500 | 1,798,508 | |||||||||||||
|
|
|||||||||||||||||
3,953,795 | ||||||||||||||||||
|
|
|||||||||||||||||
Health Facility (0.6%) |
||||||||||||||||||
1,624 | Western Dental Services, Inc., LIBOR 1M + 5.250%(10) |
(B-, B3) | 06/30/23 | 6.250 | 1,624,604 | |||||||||||||
|
|
|||||||||||||||||
Health Services (1.6%) |
||||||||||||||||||
2,211 | Athenahealth, Inc., LIBOR 3M + 4.250%(10) |
(B, B2) | 02/11/26 | 4.410 | 2,213,969 | |||||||||||||
853 | Carestream Health, Inc., LIBOR 3M + 6.750%(10) |
(B-, B1) | 05/08/23 | 7.750 | 858,820 | |||||||||||||
1,204 | U.S. Radiology Specialists, Inc., LIBOR 3M + 5.500%(10) |
(B-, B3) | 12/10/27 | 6.250 | 1,213,732 | |||||||||||||
|
|
|||||||||||||||||
4,286,521 | ||||||||||||||||||
|
|
|||||||||||||||||
Insurance Brokerage (0.5%) |
||||||||||||||||||
1,229 | Alera Group Holdings, Inc., LIBOR 1M + 4.000%(6),(10) |
(B, B2) | 08/01/25 | 4.500 | 1,230,698 | |||||||||||||
|
|
|||||||||||||||||
Investments & Misc. Financial Services (1.3%) |
||||||||||||||||||
2,000 | AqGen Ascensus, Inc.(6),(11) |
(CCC, Caa2) | 05/04/29 | 0.000 | 1,990,000 | |||||||||||||
1,298 | Deerfield Dakota Holding LLC, LIBOR 1M + 6.750%(10) |
(CCC, Caa2) | 04/07/28 | 7.500 | 1,331,340 | |||||||||||||
143 | Ditech Holding Corp.(3),(11) |
(NR, NR) | 06/30/22 | 0.000 | 28,732 | |||||||||||||
|
|
|||||||||||||||||
3,350,072 | ||||||||||||||||||
|
|
|||||||||||||||||
Life Insurance (0.5%) |
||||||||||||||||||
1,406 | Vida Capital, Inc., LIBOR 1M + 6.000%(6),(10) |
(B, B2) | 10/01/26 | 6.092 | 1,321,875 | |||||||||||||
|
|
|||||||||||||||||
Machinery (0.7%) |
||||||||||||||||||
1,223 | LTI Holdings, Inc., LIBOR 1M + 6.750%(5),(10) |
(CCC+, Caa2) | 09/06/26 | 6.842 | 1,220,624 | |||||||||||||
589 | LTI Holdings, Inc., LIBOR 1M + 3.500%(10) |
(B-, B2) | 09/06/25 | 3.592 | 580,461 | |||||||||||||
|
|
|||||||||||||||||
1,801,085 | ||||||||||||||||||
|
|
|||||||||||||||||
Medical Products (0.9%) |
||||||||||||||||||
1,457 | ABB Concise Optical Group LLC, LIBOR 3M + 5.000%(10) |
(CCC+, B3) | 06/15/23 | 6.000 | 1,410,710 | |||||||||||||
995 | Viant Medical Holdings, Inc., LIBOR 1M + 6.250%(6),(10) |
(CCC+, B3) | 07/02/25 | 7.250 | 997,424 | |||||||||||||
|
|
|||||||||||||||||
2,408,134 | ||||||||||||||||||
|
|
|||||||||||||||||
Packaging (0.2%) |
||||||||||||||||||
800 | Strategic Materials, Inc., LIBOR 3M + 7.750%(5),(6),(10) |
(CC, C) | 10/31/25 | 8.750 | 460,000 | |||||||||||||
|
|
|||||||||||||||||
Personal & Household Products (1.0%) |
||||||||||||||||||
1,752 | Serta Simmons Bedding, LLC (First Out Term Loan), LIBOR 1M + 7.500%(10) |
(B, B2) | 08/10/23 | 8.500 | 1,771,546 | |||||||||||||
1,062 | Serta Simmons Bedding, LLC (Second Out Term Loan), LIBOR 1M + 7.500%(10) |
(B-, Caa2) | 08/10/23 | 8.500 | 1,010,948 | |||||||||||||
|
|
|||||||||||||||||
2,782,494 | ||||||||||||||||||
|
|
|||||||||||||||||
Pharmaceuticals (0.3%) |
||||||||||||||||||
809 | Akorn, Inc., LIBOR 3M + 7.500%(10) |
(CCC+, Caa2) | 10/01/25 | 8.500 | 823,709 | |||||||||||||
|
|
|||||||||||||||||
823,709 | ||||||||||||||||||
|
|
|||||||||||||||||
Real Estate (0.3%) |
||||||||||||||||||
844 | Blackstone Mortgage Trust, Inc., LIBOR 1M + 2.750%(6),(10) |
(B+, Ba2) | 04/23/26 | 3.250 | 840,461 | |||||||||||||
|
|
|||||||||||||||||
Recreation & Travel (2.3%) |
||||||||||||||||||
|
1,959 |
|
Bulldog Purchaser, Inc., LIBOR 3M + 7.750%(10) |
(CCC-, Caa3) | 09/04/26 | 7.885 | 1,787,588 | |||||||||||
1,843 | Bulldog Purchaser, Inc., LIBOR 3M + 3.750%(10) |
(B-, B3) | 09/05/25 | 3.885 | 1,785,533 |
Par (000) |
Ratings (S&P/Moodys) |
Maturity | Rate% | Value | ||||||||||||||
BANK LOANS (continued) |
||||||||||||||||||
Recreation & Travel |
||||||||||||||||||
$ | 1,547 | Hornblower Sub LLC, LIBOR 3M + 4.500%(10) |
(CCC-, Caa2) | 04/27/25 | 5.500 | $ | 1,432,536 | |||||||||||
1,082 | Hornblower Sub LLC, LIBOR 6M + 8.125%(6),(10) |
(NR, NR) | 11/10/25 | 9.125 | 1,139,304 | |||||||||||||
|
|
|||||||||||||||||
6,144,961 | ||||||||||||||||||
|
|
|||||||||||||||||
Restaurants (0.1%) |
||||||||||||||||||
23 | Golden Nugget, Inc., LIBOR 3M + 12.000%(6),(10) |
(NR, NR) | 10/04/23 | 13.000 | 25,255 | |||||||||||||
300 | Tacala LLC, LIBOR 1M + 7.500%(10) |
(CCC, Caa2) | 02/04/28 | 8.250 | 300,600 | |||||||||||||
|
|
|||||||||||||||||
325,855 | ||||||||||||||||||
|
|
|||||||||||||||||
Software - Services (3.1%) |
||||||||||||||||||
1,736 | Aston FinCo Sarl, LIBOR 1M + 4.250%(10) |
(B-, B2) | 10/09/26 | 4.335 | 1,731,708 | |||||||||||||
2,560 | Epicor Software Corp., LIBOR 1M + 7.750%(10) |
(CCC, Caa2) | 07/31/28 | 8.750 | 2,650,662 | |||||||||||||
694 | Finastra U.S.A., Inc., LIBOR 6M + 3.500%(10) |
(CCC+, B2) | 06/13/24 | 4.500 | 683,661 | |||||||||||||
2,529 | Finastra U.S.A., Inc., LIBOR 6M + 7.250%(10) |
(CCC-, Caa2) | 06/13/25 | 8.250 | 2,550,437 | |||||||||||||
720 | Project Leopard Holdings, Inc., LIBOR 3M + 4.750%(10) |
(B, B2) | 07/07/24 | 5.750 | 723,812 | |||||||||||||
|
|
|||||||||||||||||
8,340,280 | ||||||||||||||||||
|
|
|||||||||||||||||
Support - Services (0.5%) |
||||||||||||||||||
245 | Nuvei Technologies Corp., LIBOR 3M + 2.500%(10) |
(B+, Ba3) | 10/30/25 | 2.625 | 244,513 | |||||||||||||
1,000 | USS Ultimate Holdings, Inc., LIBOR 1M + 7.750%(5),(10) |
(CCC, Caa1) | 08/25/25 | 8.750 | 1,002,190 | |||||||||||||
|
|
|||||||||||||||||
1,246,703 | ||||||||||||||||||
|
|
|||||||||||||||||
Telecom - Wireline Integrated & Services (0.7%) |
||||||||||||||||||
452 | GTT Communications, Inc. (1st Lien Term Loan B), LIBOR 1M + 5.000% Cash, 2.500% PIK(7),(10) |
(CCC+, NR) | 12/31/21 | 8.500 | 460,280 | |||||||||||||
259 | GTT Communications, Inc. (Incremental Term Loan), LIBOR 1M + 5.000% Cash, 2.500% PIK(7),(10) |
(CCC+, NR) | 12/31/21 | 8.500 | 263,821 | |||||||||||||
1,125 | TVC Albany, Inc., LIBOR 1M + 7.500%(5),(6),(10) |
(CCC, Caa2) | 07/23/26 | 7.590 | 1,068,750 | |||||||||||||
|
|
|||||||||||||||||
1,792,851 | ||||||||||||||||||
|
|
|||||||||||||||||
Theaters & Entertainment (1.8%) |
||||||||||||||||||
2,458 | Metro-Goldwyn-Mayer, Inc., LIBOR 1M + 4.500%(10) |
(CCC+, B3) | 07/03/26 | 5.500 | 2,466,637 | |||||||||||||
2,387 | William Morris Endeavor Entertainment LLC, LIBOR 1M + 2.750%(10) |
(B, B3) | 05/18/25 | 2.850 | 2,325,446 | |||||||||||||
|
|
|||||||||||||||||
4,792,083 | ||||||||||||||||||
|
|
|||||||||||||||||
TOTAL BANK LOANS (Cost $79,332,423) |
76,758,633 | |||||||||||||||||
|
|
|||||||||||||||||
ASSET BACKED SECURITIES (6.3%) |
||||||||||||||||||
Collateralized Debt Obligations (6.3%) |
||||||||||||||||||
1,000 | Anchorage Capital CLO 15 Ltd., 2020-15A, Rule 144A, LIBOR 3M + 7.400% (1),(10) |
(NR, Ba3) | 07/20/34 | 7.534 | 1,000,697 | |||||||||||||
1,250 | Anchorage Credit Funding Ltd., 2016-4A, Rule 144A(1) |
(NR, Ba3) | 04/27/39 | 6.659 | 1,216,801 | |||||||||||||
1,500 | Anchorage Credit Opportunities CLO 1 Ltd., 2019-1A, Rule 144A, LIBOR 3M + 7.550% (1),(10) |
(BB-, NR) | 01/20/32 | 7.684 | 1,495,765 | |||||||||||||
1,250 | Battalion CLO 18 Ltd., 2020-18A, Rule 144A, LIBOR 3M + 7.940% (1),(10) |
(BB-, NR) | 10/15/32 | 8.066 | 1,253,223 | |||||||||||||
1,500 | Battalion CLO VII Ltd., 2014-7A, Rule 144A, LIBOR 3M + 6.310% (1),(10) |
(NR, Ba2) | 07/17/28 | 6.444 | 1,500,807 | |||||||||||||
1,500 | Battalion CLO XIV Ltd., 2019-14A, Rule 144A, LIBOR 3M + 3.950% (1),(10) |
(NR, Baa3) | 04/20/32 | 4.084 | 1,505,433 | |||||||||||||
1,250 | Benefit Street Partners CLO X Ltd., 2016-10A, Rule 144A, LIBOR 3M + 6.750% (1),(10) |
(BB-, NR) | 04/20/34 | 6.884 | 1,238,734 | |||||||||||||
1,500 | Cedar Funding VI CLO Ltd., 2016-6A, Rule 144A, LIBOR 3M + 6.720% (1),(10) |
(BB-, NR) | 04/20/34 | 6.854 | 1,477,847 | |||||||||||||
1,500 | KKR CLO Ltd., 16, Rule 144A, LIBOR 3M + 6.750% (1),(10) |
(NR, Ba3) | 01/20/29 | 6.884 | 1,495,421 | |||||||||||||
1,000 | Oaktree CLO Ltd., 2019-4A, Rule 144A, LIBOR 3M + 7.230% (1),(10) |
(BB-, NR) | 10/20/32 | 7.364 | 996,725 | |||||||||||||
1,050 | Octagon Investment Partners 48 Ltd., 2020-3A, Rule 144A, LIBOR 3M + 7.660% (1),(10) |
(BB-, NR) | 10/20/31 | 7.794 | 1,053,389 | |||||||||||||
1,500 | Palmer Square Credit Funding Ltd., 2019-1A, Rule 144A (1) |
(NR, Baa2) | 04/20/37 | 5.459 | 1,516,951 | |||||||||||||
1,000 | Venture 41 CLO Ltd., 2021-41A, Rule 144A, LIBOR 3M + 7.710% (1),(10) |
(BB-, NR) | 01/20/34 | 7.844 | 1,000,601 | |||||||||||||
|
|
|||||||||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $16,507,816) |
16,752,394 | |||||||||||||||||
|
|
Number of Shares |
Value | |||||||||||||||||
COMMON STOCKS (0.8%) |
||||||||||||||||||
Auto Parts & Equipment (0.1%) |
||||||||||||||||||
27,589 | Jason Group, Inc.(12) |
$ | 275,890 | |||||||||||||||
|
|
|||||||||||||||||
Building & Construction (0.0%) |
||||||||||||||||||
10 | White Forest Resources, Inc.(4),(6),(12) |
| ||||||||||||||||
|
|
|||||||||||||||||
Chemicals (0.2%) |
||||||||||||||||||
5,400 | Project Investor Holdings LLC(4),(5),(6),(12) |
54 | ||||||||||||||||
89,998 | Proppants Holdings LLC(4),(5),(6),(12) |
4,500 | ||||||||||||||||
15,074 | UTEX Industries, Inc.(12) |
618,034 | ||||||||||||||||
|
|
|||||||||||||||||
622,588 | ||||||||||||||||||
|
|
|||||||||||||||||
Energy - Exploration & Production (0.0%) |
||||||||||||||||||
111,570 | PES Energy, Inc.(4),(5),(6),(12) |
1,116 | ||||||||||||||||
|
|
|||||||||||||||||
Oil Field Equipment & Services (0.0%) |
||||||||||||||||||
4,254 | Pioneer Energy Services Corp.(4),(6),(12) |
68,064 | ||||||||||||||||
|
|
|||||||||||||||||
Pharmaceuticals (0.4%) |
||||||||||||||||||
68,836 | Akorn Holding Company LLC(12) |
1,001,564 | ||||||||||||||||
|
|
|||||||||||||||||
Support - Services (0.1%) |
||||||||||||||||||
2,100 | LTR Holdings LLC(4),(5),(6),(12) |
200,088 | ||||||||||||||||
865 | Sprint Industrial Holdings LLC, Class G(4),(5),(6),(12) |
| ||||||||||||||||
78 | Sprint Industrial Holdings LLC, Class H(4),(5),(6),(12) |
| ||||||||||||||||
192 | Sprint Industrial Holdings LLC, Class I(4),(5),(6),(12) |
2 | ||||||||||||||||
|
|
|||||||||||||||||
200,090 | ||||||||||||||||||
|
|
|||||||||||||||||
TOTAL COMMON STOCKS (Cost $4,948,302) |
2,169,312 | |||||||||||||||||
|
|
|||||||||||||||||
WARRANT (0.0%) |
||||||||||||||||||
Chemicals (0.0%) |
||||||||||||||||||
22,499 | Project Investor Holdings LLC, expires 02/20/2022(4),(5),(6),(12) (Cost $11,700) |
| ||||||||||||||||
|
|
|||||||||||||||||
SHORT-TERM INVESTMENTS (0.3%) |
||||||||||||||||||
743,303 | State Street Navigator Securities Lending Government Money Market Portfolio, 0.05%(13) (Cost $743,303) |
743,303 | ||||||||||||||||
TOTAL INVESTMENTS AT VALUE (123.2%) (Cost $331,218,817) |
328,559,815 | |||||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS (-23.2%) |
(61,953,798 | ) | ||||||||||||||||
|
|
|||||||||||||||||
NET ASSETS (100.0%) |
$ | 266,606,017 | ||||||||||||||||
|
|
| Credit ratings given by the S&P Global Ratings Division of S&P Global Inc. (S&P) and Moodys Investors Service, Inc. (Moodys) 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, 2021, these securities amounted to a value of $222,819,663 or 83.6% of net assets. |
(2) | This security is denominated in British Pound. |
(3) | Bond is currently in default. |
(4) | 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. |
(5) | Illiquid security (unaudited). |
(6) | Security is valued using significant unobservable inputs. |
(7) | PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal. |
(8) | Convertible security. |
(9) | Security or portion thereof is out on loan. |
(10) | Variable rate obligation The interest rate shown is the rate in effect as of July 31, 2021. The rate may be subject to a cap and floor. |
(11) | The rates on certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The interest rate shown is the rate in effect as of July 31, 2021. |
(12) | Non-income producing security. |
(13) | Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at July 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 |
1,345,506 | USD |
1,592,373 | 10/13/21 | Deutsche Bank AG | $ | 1,592,373 | $ | 1,597,747 | $ | 5,374 | |||||||||||||||
GBP |
27,500 | USD |
37,737 | 10/13/21 | Deutsche Bank AG | 37,737 | 38,241 | 504 | ||||||||||||||||||
USD |
1,529,640 | EUR |
1,290,972 | 10/13/21 | Morgan Stanley | (1,529,640 | ) | (1,532,989 | ) | (3,349 | ) | |||||||||||||||
USD |
64,966 | EUR |
54,535 | 10/13/21 | Deutsche Bank AG | (64,966 | ) | (64,758 | ) | 208 | ||||||||||||||||
USD |
1,425,689 | GBP |
1,100,343 | 10/13/21 | Deutsche Bank AG | (1,425,689 | ) | (1,530,114 | ) | (104,425 | ) | |||||||||||||||
|
|
|||||||||||||||||||||||||
$ | (101,688 | ) | ||||||||||||||||||||||||
|
|
Currency Abbreviations:
EUR = Euro
GBP = British Pound
USD = United States Dollar
SECURITY VALUATION The Board of Trustees (the Board) is responsible for the Funds valuation process. The Board has delegated the supervision of the daily valuation process to Credit Suisse Asset Management, LLC, the Funds 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 Funds 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 1quoted prices in active markets for identical investments |
| Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3significant unobservable inputs (including the Funds 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, 2021 in valuing the Funds assets and liabilities carried at fair value:
Assets |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments in Securities |
| |||||||||||||||
Corporate Bonds |
$ | | $ | 231,647,056 | $ | 489,117 | $ | 232,136,173 | ||||||||
Bank Loans |
| 59,907,447 | 16,851,186 | 76,758,633 | ||||||||||||
Asset Backed Securities |
| 16,752,394 | | 16,752,394 | ||||||||||||
Common Stocks |
| 1,895,488 | 273,824 | 2,169,312 | ||||||||||||
Warrants |
| | 0 | (1) | 0 | (1) | ||||||||||
Short-term Investment |
| 743,303 | | 743,303 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | | $ | 310,945,688 | $ | 17,614,127 | $ | 328,559,815 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Other Financial Instruments* |
|
|||||||||||||||
Forward Foreign Currency Contracts |
$ | | $ | 6,086 | $ | | $ | 6,086 | ||||||||
|
||||||||||||||||
Liabilities |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments* |
|
|||||||||||||||
Forward Foreign Currency Contracts |
$ | | $ | 107,774 | $ | | $ | 107,774 |
* | 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, 2021 for which significant unobservable inputs were used in determining fair value.
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) |
| (15,520 | ) | | | (15,520 | ) | |||||||||||||
Purchases |
18,529 | 8,972,170 | | | 8,990,699 | |||||||||||||||
Sales |
| (6,713,308 | ) | (1,239,068 | ) | | (7,952,376 | ) | ||||||||||||
Realized gain (loss) |
| 64,137 | 1,030,074 | | 1,094,211 | |||||||||||||||
Change in unrealized appreciation (depreciation) |
345,877 | 495,417 | (848,157 | ) | | (6,863 | ) | |||||||||||||
Transfers into Level 3 |
| 4,559,942 | 1,116 | | 4,561,058 | |||||||||||||||
Transfers out of Level 3 |
| (4,602,244 | ) | (275,891 | ) | | (4,878,135 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Balance as of July 31, 2021 |
$ | 489,117 | $ | 16,851,186 | $ | 273,824 | $ | 0 | (1) | $ | 17,614,127 | |||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net change in unrealized appreciation (depreciation) from investments still held as of July 31, 2021 |
$ | 345,877 | $ | 434,777 | $ | (117,911 | ) | $ | | $ | 662,743 |
(1) | Includes zero valued securities. |
Quantitative Disclosure About Significant Unobservable Inputs
Asset Class |
Fair Value At 07/31/2021 |
Valuation Technique |
Unobservable Input |
Range (Weighted Average)* | ||||||
Bank Loans |
$ | 16,851,186 | Vendor pricing | Single Broker Quote | $0.58 $1.11 ($0.98) | |||||
Common Stocks |
$ | 68,064 | Vendor pricing | Single Broker Quote | $16.00 (N/A) | |||||
$ | 200,088 | Market Approach | EBITDA Multiples | 7.3 (N/A) | ||||||
$ | 5,672 | Income Approach | Expected Remaining Distribution | $0.00 $0.05 ($0.04) | ||||||
Corporate Bonds |
$ | 485,450 | Vendor pricing | Single Broker Quote | $0.01 $1.17 ($1.12) | |||||
$ | 3,667 | Income Approach | Expected Remaining Distribution | $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 companys financial statements, the companys products or intended markets or the companys technologies; (iii) the price of the same or similar security negotiated at arms length in an issuers 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, 2021, $4,561,058 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $4,878,135 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 Funds website at www.credit-suisse.com/us/funds, as well as on the website of the Securities and Exchange Commission at www.sec.gov.