NPORT-EX 2 NPORT_TH82_7333483711.htm FOR VALIDATION PURPOSES ONLY - [210630.TX]

Credit Suisse High Yield Bond Fund

Schedule of Investments

July 31, 2021 (unaudited)

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (87.0%)

                    
 

Advertising (0.1%)

                    
$           202       

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

      (BB-, B1)        07/15/25          7.000        $        215,921  
                        

 

 

  
 

Aerospace & Defense (1.4%)

                    
  365       

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

      (BB-, B1)        09/30/28          4.750          369,865  
  1,250       

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

      (B-, B3)        03/15/27          7.500          1,326,125  
  1,940       

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

      (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
(Callable 06/30/23 @ 103.25)(1)

      (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
(Callable 04/15/22 @ 104.50)(1)

      (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
(Callable 05/15/22 @ 104.25)(1)

      (CCC+, Caa1)        05/15/27          8.500          3,708,687  
  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          2,259,537  
  350       

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

      (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
(Callable 07/15/23 @ 103.13)(1)

      (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
(Callable 06/15/22 @ 104.31)(1)

      (BB-, Ba3)        06/15/25          8.625          1,748,587  
                        

 

 

  
                        
 

Building & Construction (0.9%)

                    
  600       

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

      (B+, B3)        02/15/25          7.500          630,375  
  1,570       

Installed Building Products, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/01/23 @ 102.88)(1)

      (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
(Callable 03/01/24 @ 103.00)(1)

      (CCC+, Caa1)        03/01/29          6.000          1,575,776  
  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          2,094,888  
  600       

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

      (BB-, B2)        12/15/27          4.875          624,603  
  1,800       

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

      (CCC, Caa1)        02/01/29          5.625          1,768,491  
  300       

Park River Holdings, Inc., Rule 144A, Senior Unsecured Notes
(Callable 08/01/24 @ 103.38)(1)

      (CCC, Caa1)        08/01/29          6.750          303,412  
  600       

PGT Innovations, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/16/21 @ 105.06)(1)

      (B+, B2)        08/01/26          6.750          629,145  
  300       

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

      (BB, B1)        01/15/29          5.250          319,014  
  750       

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

      (BB-, B1)        06/15/25          7.125          807,184  
  750       

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

      (BB-, B1)        06/15/28          7.250          836,644  
                        

 

 

  
                           8,959,157  
                        

 

 

  
                        

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        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
(Callable 04/15/22 @ 102.75)(1)

      (BB, Ba3)        04/15/27          5.500             550,759  
  750       

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

      (BB, Ba3)        02/01/28          5.375          793,624  
  1,555       

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

      (B+, B3)        08/15/27          5.375          1,625,006  
  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          1,688,320  
  900       

UPC Broadband Finco B.V., Rule 144A, Senior Secured Notes
(Callable 07/15/26 @ 102.44)(1)

      (BB-, B1)        07/15/31          4.875          919,260  
  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          1,446,945  
  2,596       

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

      (B+, B1)        01/15/27          5.500          2,697,406  
                        

 

 

  
                           11,143,821  
                        

 

 

  
                        
 

Chemicals (2.9%)

                    
  300       

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

      (BB-, Ba3)        05/15/25          5.750          315,566  
  725       

GCP Applied Technologies, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/16/21 @ 102.75)(1)

      (BB, B1)        04/15/26          5.500          743,306  
  1,200       

Herens Holdco Sarl, Rule 144A, Senior Secured Notes
(Callable 05/15/24 @ 102.38)(1)

      (B, B2)        05/15/28          4.750          1,192,584  
  2,200       

Ingevity Corp., Rule 144A, Company Guaranteed Notes
(Callable 08/30/21 @ 102.25)(1)

      (NR, Ba3)        02/01/26          4.500          2,242,856  
  272       

Reichhold Industries, Inc., Rule 144A, Senior Secured
Notes (1),(3),(4),(5),(6)

      (NR, NR)        05/01/18          9.000          3,667  
  1,500       

Schenectady International Group, Inc., Rule 144A, Senior Unsecured Notes
(Callable 05/15/23 @ 103.38)(1)

      (CCC+, Caa2)        05/15/26          6.750          1,529,760  
  600       

Trinseo Materials Finance, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/01/24 @ 102.56)(1)

      (B-, B2)        04/01/29          5.125          611,841  
  1,200       

Tronox, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/15/24 @ 102.31)(1)

      (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
(Callable 02/01/23 @ 102.38)(1)

      (BB, Ba3)        02/01/28          4.750          2,971,064  
                        

 

 

  
                        
 

Diversified Capital Goods (2.3%)

                    
  1,425       

Atkore, Inc., Rule 144A, Senior Unsecured Notes
(Callable 06/01/26 @ 102.13)(1)

      (BB-, Ba3)        06/01/31          4.250          1,458,908  
  675       

Core & Main LP, Rule 144A, Senior Unsecured Notes
(Callable 08/15/21 @ 101.53)(1)

      (CCC+, Caa1)        08/15/25          6.125          685,429  
  1,200       

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

      (BB, Ba3)        12/15/28          4.625          1,234,500  
  600       

Madison IAQ LLC, Rule 144A, Senior Secured Notes
(Callable 06/30/24 @ 102.06)(1)

      (B, B1)        06/30/28          4.125          601,632  
  600       

Madison IAQ LLC, Rule 144A, Senior Unsecured Notes
(Callable 06/30/24 @ 102.94)(1)

      (CCC+, Caa1)        06/30/29          5.875          607,170  
  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          1,612,005  
                        

 

 

  
                           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
(Callable 04/15/24 @ 102.00)(1)

      (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
(Callable 03/14/22 @ 105.44)(1)

      (BB-, B1)        03/14/27          7.250          910,461  
  800       

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

      (BB-, B1)        01/15/29          6.000          848,084  

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Energy - Exploration & Production

                    
$           350       

Laredo Petroleum, Inc. Rule 144A, Company Guaranteed Notes
(Callable 07/31/24 @ 103.88)(1)

      (B, B3)        07/31/29          7.750        $        339,157  
  595       

Northern Oil & Gas, Inc., Rule 144A, Senior Unsecured Notes
(Callable 03/01/24 @ 104.06)(1)

      (B, Caa1)        03/01/28          8.125          623,991  
  2,500       

W&T Offshore, Inc., Rule 144A, Secured Notes
(Callable 08/30/21 @ 104.88)(1)

      (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
(Callable 02/15/24 @ 102.38)(1)

      (B+, Caa1)        02/15/29          4.750          919,125  
                        

 

 

  
                        
 

Gaming (3.5%)

                    
  500       

Boyd Gaming Corp., Rule 144A, Senior Unsecured Notes
(Callable 06/15/26 @ 102.38)(1)

      (B, Caa1)        06/15/31          4.750          517,927  
  1,868       

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

      (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
(Callable 08/30/21 @ 103.94)(1)

      (B-, B3)        02/01/24          7.875          2,294,567  
  1,250       

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

      (BB-, B1)        02/01/27          5.750          1,398,831  
                        

 

 

  
                           9,411,563  
                        

 

 

  
                        
 

Gas Distribution (3.9%)

                    
  2,750       

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 08/30/21 @ 100.94)

      (B+, B1)        06/15/24          5.625          2,739,096  
  1,125       

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 08/30/21 @ 104.69)

      (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
(Callable 03/31/23 @ 103.25)(1)

      (NR, B1)        09/30/26          6.500          1,466,740  
  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          1,440,292  
  300       

Rockies Express Pipeline LLC, Rule 144A, Senior Unsecured Notes
(Callable 04/15/29 @ 100.00)(1)

      (BB+, Ba2)        07/15/29          4.950          309,608  
  600       

Rockies Express Pipeline LLC, Rule 144A, Senior Unsecured Notes
(Callable 02/15/30 @ 100.00)(1)

      (BB+, Ba2)        05/15/30          4.800          608,097  
  300       

Suburban Energy Finance Corp., Rule 144A, Senior Unsecured Notes
(Callable 06/01/26 @ 102.50)(1)

      (BB-, B1)        06/01/31          5.000          312,495  
  750       

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

      (BB-, B1)        10/01/25          7.500          815,734  
                        

 

 

  
                           10,377,180  
                        

 

 

  
                        
 

Health Facilities (0.9%)

                    
  1,250       

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

      (BB-, Baa3)        09/01/28          5.625          1,505,025  
  775       

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

      (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
(Callable 04/15/24 @ 102.00)(1)

      (BB-, Ba3)        04/15/29          4.000          678,853  
  180       

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

      (CCC+, B3)        06/01/25          7.375          193,291  
  2,619       

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

      (BB-, Ba2)        12/15/24          4.375          2,760,282  

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Health Services

                    
$        2,750       

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

      (CCC, Caa2)        02/01/28          9.250        $     2,973,080  
  335       

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

      (B-, B2)        12/15/25          5.250          343,728  
  589       

Service Corp., International, Global Senior Unsecured Notes
(Callable 05/15/26 @ 102.00)

      (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
(Callable 08/30/21 @ 103.50)(1)

      (CCC+, Caa2)        11/15/25          7.000          3,230,230  
  1,000       

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

      (CCC+, Caa2)        08/01/26          10.125          1,121,330  
  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          993,750  
  419       

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

      (CCC+, Caa2)        10/15/27          6.750          437,876  
  300       

AmWINS Group, Inc. Rule 144A, Senior Unsecured Notes
(Callable 06/30/24 @ 102.44)(1)

      (B-, B3)        06/30/29          4.875          306,375  
  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          1,276,620  
  600       

NFP Corp., Rule 144A, Senior Secured Notes
(Callable 08/15/23 @ 102.44)(1)

      (B, B1)        08/15/28          4.875          612,468  
  2,400       

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

      (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
(Callable 03/01/23 @ 103.13)(1)

      (B-, B2)        03/01/28          6.250          1,250,785  
  1,750       

Compass Group Diversified Holdings LLC, Rule 144A, Company Guaranteed Notes
(Callable 04/15/24 @ 102.63)(1)

      (B+, B1)        04/15/29          5.250          1,817,813  
                        

 

 

  
                           3,068,598  
                        

 

 

  
                        
 

Machinery (2.6%)

                    
  1,250       

Arcosa., Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/15/24 @ 102.19)(1)

      (BB, Ba2)        04/15/29          4.375          1,281,250  
  1,475       

ATS Automation Tooling Systems, Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/15/23 @ 102.06)(1)

      (B+, B2)        12/15/28          4.125          1,504,500  
  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          167,282  
  690       

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

      (B+, B1)        07/31/27          5.750          718,249  
  600       

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

      (BB+, Ba1)        06/15/25          5.750          641,670  
  300       

Mueller Water Products, Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/15/24 @ 102.00)(1)

      (BB, Ba1)        06/15/29          4.000          311,009  
  2,300       

Rexnord LLC, Rule 144A, Company Guaranteed Notes
(Callable 08/30/21 @ 102.44)(1)

      (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
(Callable 08/30/21 @ 102.88)

      (CCC-, Caa3)        08/15/26          5.750          626,910  
  375       

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

      (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
(Callable 08/15/22 @ 103.31)(1)

      (CCC-, Ca)        08/15/27          6.625          600,050  
  925       

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

      (CCC+, Caa1)        08/15/26          5.375          537,656  
  300       

Sirius XM Radio, Inc., Rule 144A, Company Guaranteed Notes
(Callable 07/15/24 @ 102.00)(1)

      (BB, Ba3)        07/15/28          4.000          309,750  
   898       

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

      (BB, Ba3)        07/01/29          5.500            984,716  
                        

 

 

  
                           2,432,172  
                        

 

 

  

 

 

 

Par
(000)		              

Ratings†
(S&P/Moody’s)

      Maturity        Rate%        Value  
                        
 

CORPORATE BONDS (continued)

  
 

Metals & Mining - Excluding Steel (1.7%)

  
$           199       

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

      (BB-, Ba2)        10/17/25          9.875        $ 232,830  
  300       

First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes
(Callable 08/10/21 @ 101.81)(1)

      (B, Wr)        04/01/23          7.250          306,000  
  2,150       

First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes
(Callable 08/10/21 @ 105.16)(1)

      (B, NR)        03/01/26          6.875          2,250,620  
  300       

Kaiser Aluminum Corp., Rule 144A, Company Guaranteed Notes
(Callable 06/01/26 @ 102.25)(1)

      (BB, B1)        06/01/31          4.500          312,395  
  182       

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

      (BB, B1)        01/30/30          4.750          194,040  
  1,250       

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

      (B-, Caa1)        02/15/26          7.000              1,287,900  
                        

 

 

  
                           4,583,785  
                        

 

 

  
                        
 

Oil Field Equipment & Services (0.2%)

  
  400       

Pioneer Energy Services Corp., PIK, Rule 144A, Senior Unsecured
Notes (1),(4),(6),(7),(8)

      (NR, NR)        11/15/25          5.000          465,450  
                        

 

 

  
                        
 

Oil Refining & Marketing (0.5%)

  
  1,460       

ITT Holdings LLC, Rule 144A, Senior Unsecured Notes
(Callable 08/01/24 @ 103.25)(1)

      (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
(Callable 08/10/21 @ 103.00)(1)

      (B-, Caa1)        02/15/25          6.000          285,246  
  600       

Ardagh Metal Packaging Finance PLC, Rule 144A, Senior Unsecured Notes
(Callable 05/15/24 @ 102.00)(1)

      (B+, B3)        09/01/29          4.000          602,250  
  650       

Crown Americas Capital Corp. VI, Global Company Guaranteed Notes
(Callable 08/30/21 @ 103.56)

      (BB-, Ba3)        02/01/26          4.750          674,375  
  2,500       

Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes
(Callable 08/30/21 @ 101.72)(1)

      (CCC+, Caa2)        01/15/25          6.875          2,541,125  
  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          626,076  
  1,695       

Intertape Polymer Group, Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/15/24 @ 102.19)(1)

      (B+, Ba3)        06/15/29          4.375          1,737,799  
  3,435       

Plastipak Holdings, Inc., Rule 144A, Senior Unsecured Notes
(Callable 08/30/21 @ 103.13)(1)

      (B, B3)        10/15/25          6.250          3,516,959  
  2,970       

TriMas Corp., Rule 144A, Company Guaranteed Notes
(Callable 04/15/24 @ 102.06)(1)

      (BB-, Ba3)        04/15/29          4.125          3,021,277  
  250       

Trivium Packaging Finance B.V., Rule 144A, Senior Secured Notes
(Callable 08/15/22 @ 102.75)(1)

      (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
(Callable 09/07/21 @ 102.22)(1),(3),(4),(6)

      (NR, NR)        03/15/25          8.875          20,000  
  600       

MajorDrive Holdings IV LLC, Rule 144A, Senior Unsecured Notes
(Callable 06/01/24 @ 103.19)(1)

      (CCC+, Caa2)        06/01/29          6.375          591,759  
                        

 

 

  
                           611,759  
                        

 

 

  
                        
 

Pharmaceuticals (3.4%)

  
  600       

Bausch Health Cos., Inc. Rule 144A, Senior Secured Notes
(Callable 06/01/24 @ 102.44)(1)

      (BB, Ba2)        06/01/28          4.875          618,000  
  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          1,661,656  
  325       

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

      (B, B3)        01/30/30          5.250          306,283  
  1,064       

Emergent BioSolutions, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/15/23 @ 101.94)(1)

      (BB-, Ba3)        08/15/28          3.875          1,059,617  
  1,350       

Endo Finance LLC, Rule 144A, Senior Secured Notes
(Callable 08/30/21 @ 101.47)(1)

      (B, B2)        10/15/24          5.875          1,339,895  
  600       

Endo U.S., Inc. Rule 144A, Senior Secured Notes
(Callable 04/01/24 @ 104.59)(1)

      (B, B2)        04/01/29          6.125          597,147  

 

 

 

Par
(000)		              

Ratings†
(S&P/Moody’s)

      Maturity        Rate%        Value  
                        
 

CORPORATE BONDS (continued)

  
 

Pharmaceuticals

  
$        1,250       

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

      (B+, Ba3)        08/01/27          5.500        $     1,335,494  
  2,100       

Jazz Securities DAC, Rule 144A, Senior Secured Notes
(Callable 07/15/24 @ 102.19)(1)

      (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
(Callable 10/15/23 @ 100.00)

      (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
(Callable 09/15/27 @ 100.00)(1)

      (BBB-, Ba3)        12/15/27          3.750          1,598,252  
  2,100       

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

      (BB, Ba3)        02/15/26          5.500          2,197,860  
  300       

iStar, Inc., Senior Unsecured Notes
(Callable 07/01/24 @ 100.00)

      (BB, Ba3)        10/01/24          4.750          318,513  
  970       

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

      (B+, Ba3)        12/15/21          5.000          974,510  
  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          1,974,000  
                        

 

 

  
                           7,063,135  
                        

 

 

  
                        
 

Recreation & Travel (5.9%)

  
  600       

Boyne U.S.A., Inc., Rule 144A, Senior Unsecured Notes
(Callable 05/15/24 @ 102.38)(1)

      (B, B1)        05/15/29          4.750          619,500  
  2,000       

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

      (CCC, B3)        04/15/27          5.375          2,045,160  
  1,575       

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

      (CCC, B3)        07/15/29          5.250          1,603,523  
  1,300       

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

      (CCC+, B2)        06/15/26          5.750          1,358,552  
  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          1,018,865  
  942       

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

      (B-, B1)        08/01/25          6.000          989,750  
  600       

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

      (B-, B2)        05/01/25          8.750          647,415  
  2,150       

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 08/30/21 @ 101.22)(1)

      (CCC, B3)        07/31/24          4.875          2,166,125  
  600       

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

      (CCC, B3)        04/15/27          5.500          619,761  
  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          428,854  
  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          3,190,239  
  920       

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

      (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
(Callable 12/15/23 @ 103.56)(1)

      (CCC+, Caa2)        12/15/28          7.125          2,873,878  
  600       

Booz Allen Hamilton, Inc., Rule 144A, Company Guaranteed Notes
(Callable 07/01/24 @ 102.00)(1)

      (BB-, Ba2)        07/01/29          4.000          619,653  
  890       

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

      (BB+, Ba1)        06/01/27          4.875          940,418  
  1,950       

Elastic NV, Rule 144A, Senior Unsecured Notes
(Callable 07/15/24 @ 102.06)(1)

      (B+, B1)        07/15/29          4.125          1,959,828  
  900       

Endure Digital, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/15/24 @ 103.00)(1)

      (CCC+, Caa2)        02/15/29          6.000          875,300  
  388       

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

      (BB-, Ba3)        12/01/27          5.250          407,499  
  1,500       

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

      (CCC+, Caa1)        07/15/27          11.000          1,708,410  

 

 

 

Par
(000)		              

Ratings†
(S&P/Moody’s)

      Maturity        Rate%        Value  
                        
 

CORPORATE BONDS (continued)

  
 

Software - Services

  
$           850       

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

      (CCC+, Caa1)        02/01/28          8.250        $        926,525  
  235       

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

      (B, B1)        02/01/27          4.875          242,707  
  1,500       

SS&C Technologies, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/30/22 @ 104.13)(1)

      (B+, B2)        09/30/27          5.500          1,589,400  
                        

 

 

  
                           12,143,618  
                        

 

 

  
                        
 

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          63,288  
  733       

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

      (BB, B1)        03/01/30          4.750          777,090  
  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          1,496,229  
  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
(Callable 02/15/26 @ 101.88)(1)

      (BB+, Ba2)        02/15/31          3.750          299,657  
  2,500       

Ruyi U.S. Finance LLC, Rule 144A, Senior Secured Notes
(Callable 08/30/21 @ 105.63)(1)

      (NR, Caa1)        05/01/25          7.500          2,347,162  
  300       

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

      (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
(Callable 06/01/24 @ 102.31)(1)

     

(B, B2)

        06/01/28          4.625          639,799  
  1,011       

Allied Universal Finance Corp., Rule 144A, Senior Secured Notes
(Callable 06/01/24 @ 102.31)(1)

      (B, B2)        06/01/28          4.625          1,016,055  
  1,650       

Allied Universal Finance Corp., Rule 144A, Senior Unsecured Notes
(Callable 06/01/24 @ 103.00)(1)

      (CCC+, Caa1)        06/01/29          6.000          1,654,174  
  710       

APi Group DE, Inc., Rule 144A, Company Guaranteed Notes
(Callable 07/15/24 @ 102.06)(1)

      (B, B1)        07/15/29          4.125          693,184  
  600       

Clarivate Science Holdings Corp., Rule 144A, Senior Unsecured Notes
(Callable 06/30/24 @ 102.44)(1)

      (CCC+, Caa1)        06/30/29          4.875          605,892  
  2,400       

CoreLogic, Inc., Rule 144A, Senior Secured Notes
(Callable 05/01/24 @ 102.25)(1)

      (B, B1)        05/01/28          4.500          2,399,796  
  300       

CPI CG, Inc., Rule 144A, Senior Secured Notes
(Callable 03/15/23 @ 104.31)(1)

      (B-, B3)        03/15/26          8.625          320,288  
  2,765       

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

      (B-, B3)        07/31/26          7.125          2,859,148  
  2,400       

GYP Holdings III Corp., Rule 144A, Company Guaranteed Notes
(Callable 05/01/24 @ 102.31)(1)

      (B, B2)        05/01/29          4.625          2,431,908  
  575       

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

      (BB, Ba3)        12/15/27          4.625          595,654  
  445       

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

      (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
(Callable 08/15/23 @ 102.31)(1)

      (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
Notes (Callable 08/10/21 @ 102.00)(1)

      (CCC+, B3)        06/15/25          6.000          1,717,463  
  1,750       

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

      (CCC+, B3)        03/15/27          5.000          1,772,837  
  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
(Callable 08/16/21 @ 103.75)(1)

      (B, B2)        05/15/26          7.500          2,395,864  
  484       

Altice France S.A., Rule 144A, Senior Secured Notes
(Callable 08/10/21 @ 103.69)(1)

      (B, B2)        05/01/26          7.375          503,965  

 

 

 

Par
(000)		              

Ratings†
(S&P/Moody’s)

      Maturity        Rate%        Value  
                        
 

CORPORATE BONDS (continued)

  
 

Telecom - Wireline Integrated & Services

  
$      1,285       

Altice France S.A., Rule 144A, Senior Secured Notes
(Callable 09/15/23 @ 102.56)(1)

      (B, B2)        01/15/29          5.125        $     1,296,276  
  4,000       

GTT Communications, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/30/21 @ 103.94)(1),(3)

      (D, Wr)        12/31/24          7.875          397,160  
  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          2,139,580  
  300       

LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes
(Callable 07/15/24 @ 102.56)(1)

      (B+, B1)        07/15/29          5.125          307,750  
  600       

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

      (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
(Callable 06/15/23 @ 106.00)(1),(7)

      (CCC-, Ca)        06/15/26          12.000          2,104,159  
  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          1,355,068  
  2,200       

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/30/21 @ 102.44)(1)

      (B-, B3)        11/01/24          4.875          2,238,544  
  400       

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/30/21 @ 104.22)(1)

      (B-, B3)        03/15/26          5.625          416,500  
  500       

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

      (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
(Callable 08/30/21 @ 100.00)(1)

      (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 +
8.750%(6),(10)

      (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
3M + 8.250%(5),(10)

      (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/Moody’s)

      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/Moody’s)

      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 Moody’s Investors Service, Inc. (“Moody’s”) are unaudited.

(1) 

Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 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 Fund’s valuation process. The Board has delegated the supervision of the daily valuation process to Credit Suisse Asset Management, LLC, the Fund’s investment adviser (“Credit Suisse” or the “Adviser”), who has established a Pricing Committee which, pursuant to the policies adopted by the Board, is responsible for making fair valuation determinations and overseeing the Fund’s pricing policies. The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional “round lot” size, but some trades occur in smaller “odd lot” sizes which may be effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more brokers/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, these securities will be fair valued in good faith by the Pricing Committee, in accordance with procedures adopted by the Board.

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

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

 

  •  

Level 1–quoted prices in active markets for identical investments

  •  

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

 

 

 

  •  

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

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

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

    $ —      $ 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 company’s financial statements, the company’s products or intended markets or the company’s technologies; (iii) the price of the same or similar security negotiated at arm’s length in an issuer’s completed subsequent round of financing; (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies; or (v) a probability and time value adjusted analysis of contractual term. Where available and appropriate, multiple valuation methodologies are applied to confirm fair value. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, determining fair value requires more judgment. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the investments existed. Accordingly, the degree of judgment exercised by the Fund in determining fair value is greatest for investments categorized in Level 3. In some circumstances, the inputs used to measure fair value might be categorized within different levels of the fair value hierarchy. In those instances, the fair value measurement is categorized in its entirety in the fair value hierarchy based on the least observable input that is significant to the fair value measurement. Additionally, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different from the valuations used at the date of these financial statements.

During the period ended July 31, 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 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.