NPORT-EX 2 d702503dex11.HTM HTML

Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments

September 30, 2019 (unaudited)

 

Par
(000)		              

Ratings†

  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (98.7%)

  
 

Aerospace and Defense (1.3%)

  
$ 800       

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

      (NR, B3)        03/15/27          7.500        $ 872,000  
         1,250       

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

      (B+, Ba3)        03/15/26          6.250          1,345,312  
  200       

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

      (B, B3)        09/15/24          6.250          208,540  
                        

 

 

  
           2,425,852  
                        

 

 

  
                        
 

Auto Parts & Equipment (3.3%)

                    
  1,300       

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

      (B, B1)        11/15/26          5.625          1,191,125  
  625       

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

      (BB, B1)        10/01/25          5.000          556,250  
  1,467       

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

      (B+, B3)        06/01/25          5.125          1,525,680  
  2,310       

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

      (B, B3)        05/15/27          8.500          2,344,650  
  350       

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

      (B+, Ba3)        05/15/26          6.250          369,250  
                        

 

 

  
       5,986,955  
                        

 

 

  
                        
 

Brokerage (1.4%)

                    
  2,375       

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

      (BB, B1)        09/15/25          5.750          2,475,937  
                        

 

 

  
                        
 

Building & Construction (1.2%)

                    
  1,050       

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

      (B+, B3)        02/01/28          5.750          1,085,438  
  1,025       

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

      (BB-, B1)        05/01/26          5.625          1,069,854  
                        

 

 

  
       2,155,292  
                        

 

 

  
                        
 

Building Materials (5.5%)

                    
  50       

American Builders & Contractors Supply Co., Inc., Rule 144A, Senior Unsecured Notes
(Callable 10/28/19 @ 104.31)(1)

      (B+, B3)        12/15/23          5.750          51,625  
  1,455       

BMC East LLC, Rule 144A, Senior Secured Notes
(Callable 10/15/19 @ 104.13)(1)

      (BB, B1)        10/01/24          5.500          1,517,329  
  325       

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

      (B-, Caa2)        08/15/25          6.125          325,813  
  515       

Cornerstone Building Brands, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/15/21 @ 104.00)(1),(2)

      (B-, Caa1)        04/15/26          8.000          508,563  
  1,650       

James Hardie International Finance DAC, Rule 144A, Company Guaranteed Notes
(Callable 01/15/23 @ 102.50)(1)

      (BB, Ba1)        01/15/28          5.000          1,720,125  
  500       

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

      (BB-, B1)        12/15/27          4.875          496,250  
  2,950       

Omnimax International, Inc., Rule 144A, Senior Secured Notes
(Callable 10/16/19 @ 100.00)(1)

      (CCC, Caa1)        08/15/20          12.000          2,931,562  
  2,450       

PriSo Acquisition Corp., Rule 144A, Senior Unsecured Notes
(Callable 10/31/19 @ 102.25)(1)

      (CCC+, Caa1)        05/15/23          9.000          2,312,187  
                        

 

 

  
       9,863,454  
                        

 

 

  
                        
 

Cable & Satellite TV (5.0%)

                    
  701       

Altice France S.A., Rule 144A, Senior Secured Notes
(Callable 10/13/19 @ 103.13)(1)

      (B, B2)        05/15/24          6.250          726,061  
  685       

CSC Holdings LLC, Global Senior Unsecured Notes

      (B, B3)        06/01/24          5.250          738,087  
  850       

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

      (BB, Ba3)        02/01/28          5.375          897,812  
  50       

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

      (BB, Ba3)        04/15/27          5.500          52,995  
  500       

CSC Holdings LLC, Rule 144A, Company Guaranteed Notes
(Callable 05/15/21 @ 102.75)(1)

      (BB, Ba3)        05/15/26          5.500          527,450  
  594       

CSC Holdings LLC, Rule 144A, Company Guaranteed Notes
(Callable 10/11/19 @ 102.69)(1)

      (BB, Ba3)        07/15/23          5.375          611,077  
  400       

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

      (BB, Ba3)        10/15/25          6.625          429,120  
  335       

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

      (B, B3)        10/15/25          10.875          379,999  

 

 

 

 

Par
(000)		              

Ratings†

  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

  
 

Cable & Satellite TV

  
$        1,023       

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

      (B, B3)        08/15/27          5.375        $ 1,079,265  
  1,400       

Telenet Finance Luxembourg Notes Sarl, Rule 144A, Senior Secured Notes
(Callable 12/01/22 @ 102.75)(1)

      (BB-, Ba3)        03/01/28          5.500          1,473,500  
  500       

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

      (BB-, Ba3)        04/15/27          5.000          650,485  
  1,350       

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

      (B+, B1)        01/15/27          5.500              1,413,720  
                        

 

 

  
       8,979,571  
                        

 

 

  
                        
 

Chemicals (6.9%)

                    
  1,700       

Alpha 2 B.V., 8.75% Cash, 9.50% PIK, Rule 144A, Senior Unsecured Notes
(Callable 10/31/19 @ 102.00)(1),(4)

      (CCC+, Caa1)        06/01/23          8.750          1,695,750  
  1,500       

Alpha U.S. Bidco, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/01/20 @ 103.13)(1)

      (CCC+, Caa1)        02/01/25          6.250          1,515,000  
  500       

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

      (BB, B1)        04/15/26          5.500          512,500  
  1,440       

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

      (NR, Ba3)        02/01/26          4.500          1,432,800  
  148       

Neon Holdings, Inc., Rule 144A, Senior Secured Notes
(Callable 04/01/22 @ 105.06)(1)

      (B, B3)        04/01/26          10.125          149,480  
  1,000       

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

      (BB-, B1)        04/30/26          5.750          992,500  
  500       

PQ Corp., Rule 144A, Senior Secured Notes
(Callable 10/31/19 @ 103.38)(1)

      (BB-, B1)        11/15/22          6.750          519,375  
  276       

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

      (NR, NR)        05/01/18          9.000          3,730  
  575       

Starfruit U.S. Holdco LLC, Rule 144A, Senior Unsecured Notes
(Callable 10/01/21 @ 104.00)(1),(2)

      (B-, Caa1)        10/01/26          8.000          578,594  
  800       

Starfruit U.S. Holdco LLC, Rule 144A, Senior Unsecured Notes
(Callable 10/01/21 @ 103.25)(1),(9)

      (B-, Caa1)        10/01/26          6.500          891,783  
  1,000       

Trinseo Materials Finance, Inc., Rule 144A, Company Guaranteed Notes
(Callable 09/01/20 @ 102.69)(1)

      (BB-, B2)        09/01/25          5.375          973,750  
  1,500       

Tronox, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/15/21 @ 103.25)(1),(2)

      (B-, B3)        04/15/26          6.500          1,436,250  
  1,700       

Venator Materials LLC, Rule 144A, Company Guaranteed Notes
(Callable 07/15/20 @ 104.31)(1),(2)

      (BB-, B2)        07/15/25          5.750          1,440,750  
  325       

Versum Materials, Inc., Rule 144A, Company Guaranteed Notes
(Callable 09/30/21 @ 102.75)(1)

      (BB+, Ba3)        09/30/24          5.500          346,938  
                        

 

 

  
       12,489,200  
                        

 

 

  
                        
 

Diversified Capital Goods (1.7%)

                    
  900       

Anixter, Inc., Global Company Guaranteed Notes

      (BB, Ba3)        03/01/23          5.500          976,500  
  500       

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

      (BB, Ba3)        12/01/25          6.000          553,750  
  470       

EnerSys, Rule 144A, Company Guaranteed Notes
(Callable 01/30/23 @ 100.00)(1)

      (BB+, Ba2)        04/30/23          5.000          484,100  
  1,000       

Stevens Holding Co., Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/01/23 @ 101.53)(1)

      (B+, B2)        10/01/26          6.125          1,068,750  
                        

 

 

  
       3,083,100  
                        

 

 

  
                        
 

Electronics (1.7%)

                    
  1,750       

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

      (BB, Ba2)        02/10/26          4.625          1,820,000  
  1,200       

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

      (BB+, Ba3)        10/01/25          5.000          1,288,500  
                        

 

 

  
       3,108,500  
                        

 

 

  
                        
 

Energy - Exploration & Production (1.6%)

                    
  525       

Aker BP ASA, Rule 144A, Senior Unsecured Notes
(Callable 03/31/21 @ 102.94)(1)

      (BB+, Ba1)        03/31/25          5.875          554,542  
  932       

Talos Production Finance, Inc., Global Secured Notes
(Callable 10/31/19 @ 105.50)

      (NR, NR)        04/03/22          11.000          955,541  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

  
 

Energy - Exploration & Production

  
$        1,500       

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

      (B, B3)        11/01/23          9.750        $     1,439,430  
                        

 

 

  
                           2,949,513  
                        

 

 

  
                        
 

Food - Wholesale (0.5%)

                    
  910       

Clearwater Seafoods, Inc., Rule 144A, Senior Unsecured Notes
(Callable 05/01/20 @ 105.16)(1)

      (B+, B3)        05/01/25          6.875          938,438  
                        

 

 

  
                        
 

Forestry & Paper (0.3%)

                    
  525       

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

      (BB+, Ba1)        07/15/27          5.750          539,438  
                        

 

 

  
                        
 

Gaming (3.9%)

                    
  500       

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

      (B, B3)        08/15/26          6.000          529,329  
  1,750       

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

      (B+, Ba3)        01/15/28          4.750          1,802,500  
  2,093       

Gateway Casinos & Entertainment Ltd., Rule 144A, Secured Notes
(Callable 03/01/20 @ 104.13)(1)

      (CCC+, Caa1)        03/01/24          8.250          2,181,952  
  1,469       

Jacobs Entertainment, Inc., Rule 144A, Secured Notes (Callable 02/01/20 @ 105.91)(1)

      (B, B2)        02/01/24          7.875          1,571,830  
  750       

MGP Finance Co-Issuer, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/01/26 @ 100.00)(1)

      (BB-, B1)        02/01/27          5.750          843,038  
                        

 

 

  
       6,928,649  
                        

 

 

  
    
 

Gas Distribution (1.7%)

       
  675       

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

      (B+, B1)        05/15/26          6.250          654,750  
  425       

Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 10/01/20 @ 104.88)

      (B+, B1)        10/01/25          6.500          415,969  
  750       

Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 10/31/19 @ 102.81)

      (B+, B1)        06/15/24          5.625          721,875  
  164       

Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 10/31/19 @ 103.00)

      (B+, B1)        05/15/23          6.000          165,435  
  1,000       

Holly Energy Finance Corp., Rule 144A, Company Guaranteed Notes
(Callable 10/16/19 @ 104.50)(1)

      (BB, B1)        08/01/24          6.000          1,048,750  
                        

 

 

  
                           3,006,779  
                        

 

 

  
                        
 

Health Facilities (1.5%)

                    
  750       

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

      (BB-, Ba2)        09/01/28          5.625          837,600  
  1,263       

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

      (BBB-, Ba1)        08/15/26          5.125          1,351,175  
  500       

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

      (CCC, Caa2)        04/15/27          10.000          508,750  
                        

 

 

  
       2,697,525  
                        

 

 

  
    
 

Health Services (2.1%)

       
  925       

AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/14/19 @ 103.84)(1)

      (BB-, Ba2)        10/01/24          5.125          962,000  
  560       

CareTrust Capital Corp., Company Guaranteed Notes (Callable 06/01/20 @ 103.94)

      (BB, Ba2)        06/01/25          5.250          579,600  
  1,200       

Sotera Health Holdings LLC, Rule 144A, Senior Unsecured Notes
(Callable 10/31/19 @ 103.25)(1)

      (CCC+, Caa2)        05/15/23          6.500          1,228,500  
  1,075       

Sotera Health Topco, Inc., 8.125% Cash, 8.875% PIK, Rule 144A, Senior Unsecured Notes
(Callable 10/31/19 @ 101.00)(1),(4)

      (CCC+, Caa2)        11/01/21          8.125          1,079,031  
                        

 

 

  
       3,849,131  
                        

 

 

  
    
 

Hotels (1.2%)

       
  2,100       

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

      (BB-, Ba3)        05/01/25          5.250          2,176,650  
                        

 

 

  
                        
 

Insurance Brokerage (4.4%)

                    
  1,000       

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

      (CCC+, Caa2)        08/01/26          10.125          1,047,500  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Insurance Brokerage

                    
$        2,000       

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

      (CCC+, Caa2)        11/15/25          7.000        $     1,874,600  
  710       

Alliant Holdings Co-Issuer, Rule 144A, Company Guaranteed Notes
(Callable 10/11/19 @ 102.06)(1)

      (CCC+, Caa2)        08/01/23          8.250          726,863  
  780       

GTCR AP Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 05/15/22 @ 104.00)(1)

      (CCC+, Caa2)        05/15/27          8.000          803,400  
  855       

HUB International Ltd., Rule 144A, Senior Unsecured Notes (Callable 05/01/21 @ 103.50)(1)

      (CCC+, Caa2)        05/01/26          7.000          880,393  
  2,560       

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

      (CCC+, Caa2)        07/15/25          6.875          2,550,400  
                        

 

 

  
       7,883,156  
                        

 

 

  
                        
 

Investments & Misc. Financial Services (2.8%)

                    
  179       

AG Merger Sub II, Inc., Rule 144A, Senior Unsecured Notes
(Callable 08/01/22 @ 108.06)(1)

      (B-, Caa1)        08/01/27          10.750          182,580  
  2,425       

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

      (B-, B3)        05/01/26          8.000          2,576,562  
  2,125       

Orchestra Co-Issuer, Inc., Rule 144A, Secured Notes
(Callable 10/09/2019 @ 103.38)(1)

      (B-, B1)        06/15/22          6.750          2,199,216  
                        

 

 

  
                           4,958,358  
                        

 

 

  
                        
 

Machinery (1.1%)

       
  225       

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

      (BB-, Ba2)        07/31/27          5.750          234,855  
  1,600       

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

      (BB-, B1)        12/15/25          4.875          1,651,840  
                        

 

 

  
                           1,886,695  
                        

 

 

  
                        
 

Media - Diversified (0.3%)

       
  550       

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

      (B-, B3)        08/15/26          5.750          536,250  
                        

 

 

  
                        
 

Media Content (1.1%)

                    
  1,200       

Netflix, Inc., Global Senior Unsecured Notes

      (BB-, Ba3)        11/15/28          5.875          1,306,560  
  587       

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

      (BB, Ba3)        07/01/29          5.500          628,090  
                        

 

 

  
                           1,934,650  
                        

 

 

  
                        
 

Metals & Mining - Excluding Steel (3.7%)

       
  1,550       

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

      (BB, Ba2)        01/15/24          4.875          1,584,875  
  1,500       

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

      (B-, NR)        03/01/26          6.875          1,436,250  
  1,307       

Kaiser Aluminum Corp., Global Company Guaranteed Notes
(Callable 10/31/19 @ 104.41)

      (BB+, Ba3)        05/15/24          5.875          1,363,998  
  2,550       

Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 10/31/19 @ 104.38)(1),(6)

      (B, B3)        06/15/22          8.750          2,346,000  
                        

 

 

  
                           6,731,123  
                        

 

 

  
                        
 

Oil Field Equipment & Services (2.0%)

       
  1,000       

KCA Deutag UK Finance PLC, Rule 144A, Senior Secured Notes
(Callable 04/01/20 @ 109.88)(1),(2)

      (CCC+, Caa1)        04/01/22          9.875          637,500  
  200       

KCA Deutag UK Finance PLC, Rule 144A, Senior Secured Notes
(Callable 10/31/2019 @ 100.00)(1)

      (CCC+, Caa1)        05/15/21          7.250          126,500  
  1,710       

Pioneer Energy Services Corp., Global Company Guaranteed Notes
(Callable 10/31/19 @ 101.53)

      (CCC, Caa2)        03/15/22          6.125          641,250  
  2,500       

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

      (B-, B3)        02/15/25          8.250          2,137,500  
                        

 

 

  
                           3,542,750  
                        

 

 

  
    
 

Oil Refining & Marketing (0.7%)

       
  1,250       

Coffeyville Finance, Inc., Global Company Guaranteed Notes
(Callable 10/31/19 @ 102.17)

      (BB-, B1)        11/01/22          6.500          1,267,188  
                        

 

 

  
                        

 

 

 

 

Par
(000)		              

Ratings†

  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

  
 

Packaging (3.6%)

  
$        1,050       

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

      (B, B3)        02/15/25          6.000        $     1,100,505  
  1,000       

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

      (BB-, Ba3)        02/01/26          4.750          1,048,750  
  2,000       

Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes
(Callable 01/15/20 @ 103.44)(1)

      (CCC+, Caa2)        01/15/25          6.875          1,834,200  
  2,050       

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

      (BB-, Ba3)        10/15/25          4.875          2,089,719  
  350       

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

      (B+, B2)        08/15/26          5.500          368,795  
                        

 

 

  
       6,441,969  
                        

 

 

  
                        
 

Personal & Household Products (1.4%)

       
  1,350       

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

      (C, Caa3)        03/15/25          8.875          121,500  
  1,124       

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

      (BB-, B1)        12/31/25          6.750          1,175,637  
  1,150       

Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/31/2019 @ 104.78)(1),(2)

      (B, Caa1)        03/01/24          6.375          1,201,750  
                        

 

 

  
       2,498,887  
                        

 

 

  
    
 

Pharmaceuticals (4.5%)

       
  500       

Bausch Health Americas, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/01/22 @ 104.63)(1)

      (B-, B3)        04/01/26          9.250          569,370  
  1,100       

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

      (B-, B3)        05/30/29          7.250          1,204,280  
  630       

Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/31/19 @ 101.47)(1)

      (B-, B3)        05/15/23          5.875          640,237  
  250       

Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/15/21 @ 104.50)(1)

      (B-, B3)        12/15/25          9.000          281,562  
  1,300       

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

      (BB-, Ba2)        03/15/24          7.000          1,369,498  
  1,000       

Catalent Pharma Solutions, Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/15/20 @ 102.44)(1)

      (B+, B3)        01/15/26          4.875          1,033,750  
  410       

Endo Finance LLC, Rule 144A, Company Guaranteed Notes
(Callable 10/31/19 @ 103.00)(1)

      (CCC+, Caa2)        07/15/23          6.000          253,524  
  650       

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

      (B+, B1)        10/15/24          5.875          578,500  
  800       

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

      (B+, B1)        08/01/27          5.500          834,000  
  1,682       

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

      (B, B2)        12/15/24          4.375          1,307,755  
                        

 

 

  
       8,072,476  
                        

 

 

  
    
 

Real Estate Development & Management (1.0%)

       
  1,645       

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

      (BB+, NR)        11/15/23          6.125          1,785,701  
                        

 

 

  
                        
 

Real Estate Investment Trusts (1.4%)

                    
  600       

iStar, Inc., Senior Unsecured Notes
(Callable 10/16/19 @ 101.63)

      (BB-, Ba3)        07/01/21          6.500          610,575  
  1,000       

iStar, Inc., Senior Unsecured Notes
(Callable 10/31/19 @ 102.63)

      (BB-, Ba3)        09/15/22          5.250          1,023,750  
  750       

iStar, Inc., Senior Unsecured Notes
(Callable 10/31/19 @ 103.00)

      (BB-, Ba3)        04/01/22          6.000          774,075  
  165       

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

      (BB-, Ba3)        12/15/21          5.000          170,775  
                        

 

 

  
       2,579,175  
                        

 

 

  
    
 

Recreation & Travel (4.0%)

       
  1,250       

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

      (B, B1)        05/01/25          7.250          1,368,250  
  1,035       

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

      (BB-, B1)        04/15/27          5.375          1,112,935  
  1,325       

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

      (BB-, B1)        07/15/29          5.250          1,422,719  
  750       

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

      (BB, Ba2)        06/15/26          5.750          778,594  

 

 

 

 

Par
(000)		              

Ratings†

  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

  
 

Recreation & Travel

  
$ 650       

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

      (BB-, B2)        04/15/27          5.500        $ 694,674  
         1,150       

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 10/31/19 @ 103.66)(1)

      (BB-, B2)        07/31/24          4.875              1,193,125  
  675       

Speedway Motorsports LLC, Global Company Guaranteed Notes
(Callable 10/31/19 @ 102.56)

      (BB, B1)        02/01/23          5.125          688,500  
                        

 

 

  
       7,258,797  
                        

 

 

  
                        
 

Restaurants (2.4%)

       
  2,100       

Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes
(Callable 10/31/19 @ 103.38)(1)

      (CCC+, B3)        10/15/24          6.750          2,142,000  
  2,075       

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

      (B+, B2)        10/15/25          5.000          2,150,841  
                        

 

 

  
       4,292,841  
                        

 

 

  
                        
 

Software - Services (4.7%)

       
  1,000       

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

      (BB+, Ba1)        06/01/27          4.875          1,046,200  
  937       

Epicor Software Corp., Rule 144A, Secured Notes (Callable 10/31/19 @ 100.00), LIBOR 3M +
7.250%(1),(10)

      (CCC, Caa2)        06/30/23          9.350          932,976  
  1,750       

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

      (BB-, B1)        12/01/27          5.250          1,846,250  
  900       

Infor U.S., Inc., Company Guaranteed Notes
(Callable 10/15/19 @ 101.44)(9)

      (CCC+, Caa1)        05/15/22          5.750          997,721  
  2,675       

Solera Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 10/31/19 @ 107.88)(1)

      (CCC+, Caa1)        03/01/24          10.500          2,841,171  
  750       

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

      (B+, B2)        09/30/27          5.500          785,175  
                        

 

 

  
       8,449,493  
                        

 

 

  
                        
 

Specialty Retail (2.7%)

                    
  500       

GrubHub Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 07/01/22 @ 102.75)(1)

      (BB, Ba3)        07/01/27          5.500          511,400  
  1,000       

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

      (BB, Ba2)        08/01/25          5.250          1,046,250  
  1,000       

Penske Automotive Group, Inc., Company Guaranteed Notes
(Callable 05/15/21 @ 102.75)

      (B+, Ba3)        05/15/26          5.500          1,049,600  
  750       

Penske Automotive Group, Inc., Company Guaranteed Notes
(Callable 12/01/19 @ 102.69)

      (B+, Ba3)        12/01/24          5.375          773,437  
  1,650       

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

      (B-, B1)        05/01/25          7.500          1,489,125  
                        

 

 

  
       4,869,812  
                        

 

 

  
                        
 

Steel Producers/Products (0.2%)

       
  400       

Zekelman Industries, Inc., Rule 144A, Senior Secured Notes
(Callable 10/31/19 @ 104.94)(1)

      (B, B3)        06/15/23          9.875          421,750  
                        

 

 

  
                        
 

Support - Services (6.3%)

                    
  575       

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

      (BB, Ba1)        10/15/27          4.750          507,438  
  900       

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

      (B, B2)        08/15/27          6.625          936,000  
  615       

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

      (BB, Ba2)        08/15/26          5.375          639,600  
  560       

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

      (BB-, B1)        04/01/25          5.125          587,300  
  1,635       

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

      (B, B2)        07/31/26          7.125          1,692,225  
  663       

Sabre GLBL, Inc. Rule 144A, Senior Secured Notes
(Callable 10/31/19 @ 103.94)(1)

      (BB, Ba2)        11/15/23          5.250          684,547  
  2,025       

Sotheby’s, Rule 144A, Company Guaranteed Notes
(Callable 12/15/20 @ 103.66)(1)

      (B+, Ba3)        12/15/25          4.875          2,055,577  
  1,112       

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

      (CCC+, Caa1)        06/01/25          6.750          1,150,920  
  253       

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

      (BB-, Ba3)        01/15/28          4.875          264,069  

 

 

 

 

Par
(000)		              

Ratings†

  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

  
 

Support - Services

  
$        1,900       

WeWork Cos., Inc., Rule 144A, Company Guaranteed Notes(1),(2)

      (B, Wr)        05/01/25          7.875        $ 1,622,125  
  1,100       

Williams Scotsman International, Inc., Rule 144A, Senior Secured Notes
(Callable 08/15/20 @ 103.44)(1)

      (B, B3)        08/15/23          6.875          1,155,000  
                        

 

 

  
         11,294,801  
                        

 

 

  
                        
 

Tech Hardware & Equipment (1.5%)

       
  525       

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

      (B-, B3)        03/15/27          5.000          435,750  
  875       

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

      (B-, B3)        06/15/25          6.000          796,250  
  1,325       

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

      (B-, B3)        03/01/27          8.250          1,294,773  
  150       

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

      (B+, Ba3)        03/01/26          6.000          155,970  
                        

 

 

  
       2,682,743  
                        

 

 

  
                        
 

Telecom - Wireless (0.6%)

       
  950       

T-Mobile U.S.A., Inc., Company Guaranteed Notes
(Callable 02/01/23 @ 102.38)

      (BB+, Ba2)        02/01/28          4.750          997,738  
                        

 

 

  
                        
 

Telecom - Wireline Integrated & Services (3.8%)

                    
  1,250       

Altice Financing S.A., Rule 144A, Senior Secured Notes
(Callable 05/15/21 @ 103.75)(1)

      (B+, B2)        05/15/26          7.500          1,331,237  
  825       

Altice Financing S.A., Rule 144A, Senior Secured Notes
(Callable 10/31/19 @ 103.31)(1)

      (B+, B2)        02/15/23          6.625          848,719  
  550       

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

      (B, B2)        05/01/26          7.375          591,090  
  350       

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

      (BBB-, Ba2)        05/15/27          5.375          378,219  
  500       

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

      (B, B3)        06/15/24          6.625          540,625  
  2,651       

GTT Communications, Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/31/19 @ 105.91)(1)

      (CCC, Caa1)        12/31/24          7.875          1,511,070  
  1,650       

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

      (BB, B1)        11/15/25          4.750          1,707,750  
                        

 

 

  
       6,908,710  
                        

 

 

  
                        
 

Theaters & Entertainment (3.0%)

       
  2,055       

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

      (CCC+, B3)        05/15/27          6.125          1,870,050  
  500       

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

      (CCC+, B3)        11/15/26          5.875          456,250  
  1,250       

Cinemark U.S.A., Inc., Global Company Guaranteed Notes
(Callable 10/31/19 @ 101.63)

      (BB, B2)        06/01/23          4.875          1,271,875  
  700       

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

      (B+, Ba3)        03/15/26          5.625          746,375  
  1,025       

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/01/19 @ 103.66)(1)

      (B+, Ba3)        11/01/24          4.875          1,064,501  
                        

 

 

  
       5,409,051  
                        

 

 

  
                        
 

Transport Infrastructure/Services (0.7%)

       
  1,750       

Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes
(Callable 10/31/2019 @ 104.22)(1)

      (B, Caa1)        08/15/22          11.250          1,233,750  
                        

 

 

  
 

TOTAL CORPORATE BONDS (Cost $178,424,305)

          177,591,848  
                        

 

 

  
                        
 

BANK LOANS (27.6%)

  
 

Aerospace & Defense (0.6%)

  
  1,048       

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

      (CCC+, B3)        11/28/21          7.187          1,040,680  
                        

 

 

  
                        
 

Auto Parts & Equipment (0.7%)

                    
  743       

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

      (B, B3)        05/19/23          6.374          674,182  
  634       

U.S. Farathane LLC, LIBOR 1M + 3.500%(8),(10)

      (B+, B2)        12/23/21          5.544          602,174  
                        

 

 

  
       1,276,356  
                        

 

 

  
                        
 

Building Materials (1.3%)

       
  1,000       

Airxcel, Inc., LIBOR 1M + 8.750%(6),(10)

      (CCC+, Caa2)        04/27/26          10.794          913,330  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

BANK LOANS (continued)

  
 

Building Materials

  
$        1,489       

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

      (B+, B2)        08/20/22          5.794        $     1,489,832  
                        

 

 

  
       2,403,162  
                        

 

 

  
                        
 

Chemicals (5.0%)

       
  1,000       

Archroma Finance Sarl, LIBOR 3M + 8.250%(6),(10)

      (NR, Caa1)        08/11/25          10.591          960,000  
  1,500       

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

      (BB-, B1)        08/27/26          7.354          1,507,508  
  616       

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

      (CCC, Caa2)        11/18/24          10.044          604,694  
  996       

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

      (CCC+, B3)        03/31/25          5.604          811,910  
  1,588       

Polar U.S. Borrower LLC, LIBOR 3M + 4.750%(8),(10)

      (B, B2)        10/15/25          7.058          1,546,315  
  982       

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

      (CCC+, Caa1)        05/21/21          6.044          839,495  
  1,750       

Vantage Specialty Chemicals, Inc., LIBOR 3M +
8.250%(6),(8),(10)

      (CCC, Caa2)        10/27/25          10.337          1,575,000  
  1,530       

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

      (CCC+, Caa1)        08/12/24          6.104          1,212,261  
                        

 

 

  
       9,057,183  
                        

 

 

  
                        
 

Diversified Capital Goods (1.8%)

       
  2,450       

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

      (B, B2)        11/30/23          6.044          2,337,459  
  1,005       

Dynacast International LLC, LIBOR 3M + 8.500%(6),(8),(10)

      (CCC+, Caa2)        01/30/23          10.604          974,850  
                        

 

 

  
       3,312,309  
                        

 

 

  
                        
 

Electronics (1.4%)

       
  750       

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

      (CCC+, Caa2)        07/28/25          9.304          721,875  
  500       

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

      (CCC+, Caa2)        12/01/25          9.832          501,717  
  1,327       

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

      (B-, B3)        01/10/24          5.854          1,295,249  
                        

 

 

  
       2,518,841  
                        

 

 

  
                        
 

Food - Wholesale (0.4%)

       
  746       

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

      (B+, B2)        10/22/25          6.294          625,783  
                        

 

 

  
                        
 

Gas Distribution (1.4%)

                    
  1,496       

BCP Renaissance Parent LLC, LIBOR 3M + 3.500%(8),(10)

      (B+, B1)        11/01/24          5.604          1,428,919  
  1,244       

Traverse Midstream Partners LLC, LIBOR 1M +
4.000%(8),(10)

      (B+, B2)        09/27/24          6.050          1,103,800  
                        

 

 

  
       2,532,719  
                        

 

 

  
                        
 

Health Facility (0.3%)

       
  491       

Western Dental Services, Inc., LIBOR 1M + 5.250%(8),(10)

      (B-, B3)        06/30/23          7.294          489,386  
                        

 

 

  
                        
 

Health Services (1.4%)

                    
  1,194       

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

      (B, B2)        02/11/26          6.681          1,192,884  
  698       

NVA Holdings, Inc., LIBOR 1M + 2.750%(10)

      (B, B2)        02/02/25          4.794          698,310  
  599       

Sotera Health Holdings LLC, LIBOR 1M + 3.500%(10)

      (B, B1)        05/15/22          5.567          598,751  
                        

 

 

  
       2,489,945  
                        

 

 

  
                        
 

Insurance Brokerage (1.1%)

       
  1,950       

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

      (B, B2)        11/22/23          6.354          1,944,720  
                        

 

 

  
                        
 

Investments & Misc. Financial Services (0.5%)

               
  859       

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

      (D, Ca)        06/30/22          12.250          355,461  
  603       

Ocwen Loan Servicing LLC, LIBOR 1M + 5.000%(10)

      (B+, B2)        12/07/20          7.044          595,344  
                        

 

 

  
       950,805  
                        

 

 

  
                        
 

Machinery (2.1%)

       
  798       

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

      (CCC+, Caa2)        09/06/26          8.794          731,409  
  1,235       

Milacron LLC, LIBOR 1M + 2.500%(8),(10)

      (B+, B2)        09/28/23          4.544          1,236,282  
  650       

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

      (CCC, Caa2)        09/29/25          10.104          622,375  
  1,125       

WireCo WorldGroup, Inc., LIBOR 1M + 9.000%(8),(10)

      (B-, Caa2)        09/30/24          11.044          1,113,750  
                        

 

 

  
       3,703,816  
                        

 

 

  
                        
 

Medical Products (1.0%)

       
  884       

ABB Concise Optical Group LLC, LIBOR 6M + 5.000%(10)

      (CCC+, B3)        06/15/23          7.168          843,164  
  997       

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

      (B-, B2)        08/02/25          6.313          991,870  
                        

 

 

  
       1,835,034  
                        

 

 

  
                        

 

 

 

 

Par
(000)		              

Ratings†

  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

BANK LOANS (continued)

  
 

Personal & Household Products (2.1%)

  
$ 981       

ABG Intermediate Holdings 2 LLC, LIBOR 1M +
7.750%(10)

      (CCC+, Caa1)        09/29/25          9.794        $ 982,487  
         1,833       

Comfort Holding LLC, LIBOR 1M + 4.750%(8),(10)

      (CCC+, Caa1)        02/05/24          6.794          1,816,816  
  1,250       

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

      (CCC-, Caa3)        11/08/24          10.057          427,081  
  490       

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

      (B-, B2)        11/30/23          5.859          478,418  
                        

 

 

  
       3,704,802  
                        

 

 

  
                        
 

Pharmaceuticals (0.5%)

       
  999       

Akorn, Inc., LIBOR 1M + 6.250%(10)

      (B-, Caa1)        04/16/21          9.063          925,402  
                        

 

 

  
                        
 

Recreation & Travel (0.4%)

                    
  104       

Bulldog Purchaser, Inc.(6),(11),(12)

      (CCC+, Caa2)        09/04/26          3.875          102,881  
  685       

Bulldog Purchaser, Inc., LIBOR 1M + 7.750%(6),(10)

      (CCC+, Caa2)        09/04/26          9.794          679,013  
                        

 

 

  
       781,894  
                        

 

 

  
                        
 

Software - Services (1.8%)

       
  499       

Air Newco LLC, LIBOR 1M + 4.750%(10)

      (B, B3)        05/31/24          6.792          499,574  
  500       

Air Newco LLC(11)

      (B-, B2)        10/09/26          4.250          497,815  
  623       

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

      (CCC, Caa2)        06/13/25          9.446          598,834  
  1,253       

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

      (CCC+, Caa1)        02/26/26          9.300          1,250,468  
  313       

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

      (B-, B3)        12/09/22          8.186          311,537  
                        

 

 

  
       3,158,228  
                        

 

 

  
                        
 

Specialty Retail (0.9%)

       
  750       

Boing U.S. Holdco, Inc., LIBOR 1M + 7.500%(8),(10)

      (CCC+, Caa2)        10/03/25          9.542          725,625  
  1,000       

Sally Holdings LLC

      (BB+, Ba1)        07/05/24          4.500          978,750  
                        

 

 

  
       1,704,375  
                        

 

 

  
                        
 

Support - Services (0.8%)

       
  746       

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

      (B-, B2)        05/23/25          6.044          743,983  
 
 650
  
     

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

      (CCC+, Caa2)        08/25/25          9.950          640,250  
                        

 

 

  
       1,384,233  
                        

 

 

  
                        
 

Telecom - Wireline Integrated & Services (0.5%)

      
  875       

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

      (CCC, Caa2)        07/23/26          9.540          868,437  
                        

 

 

  
                        
 

Theaters & Entertainment (1.6%)

                    
  1,330       

Metro-Goldwyn-Mayer, Inc., LIBOR 1M + 4.500%(8),(10)

      (B-, B2)        07/03/26          6.550          1,320,305  
  1,611       

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

      (B, B2)        05/18/25          4.800          1,568,466  
                        

 

 

  
       2,888,771  
                        

 

 

  
 

TOTAL BANK LOANS (Cost $51,805,393)

          49,596,881  
                        

 

 

  
                        
 

ASSET BACKED SECURITIES (1.1%)

  
 

Collateralized Debt Obligations (1.1%)

  
  1,000       

JFIN CLO Ltd., 2013-1A, Rule 144A, LIBOR 3M + 4.750%(1),(10)

      (BB, NR)        01/20/25          7.028          990,993  
  1,000       

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

      (NR, Baa3)        07/15/28          5.363          971,702  
                        

 

 

  
 

TOTAL ASSET BACKED SECURITIES (Cost $1,934,112)

              1,962,695  
                        

 

 

  
                        
Number of
Shares		                                           
                        
 

COMMON STOCKS (1.4%)

  
 

Auto Parts & Equipment (0.6%)

  
  46,071       

UCI International, Inc.(6),(7),(8),(13)

 

        1,048,115  
                        

 

 

  
                        
 

Building & Construction (0.0%)

                    
  5       

White Forest Resources, Inc.(6),(7),(8),(13)

 

        1  
                        

 

 

  
                        
 

Chemicals (0.2%)

                    
  2,794       

Project Investor Holdings LLC(6),(7),(8),(13)

 

        28  
  46,574       

Proppants Holdings LLC(6),(7),(8),(13)

 

        426,617  
                        

 

 

  
       426,645  
                        

 

 

  
                        

 

 

 

 

Number of
Shares		                                                                                     Value  
                        
 

COMMON STOCKS (continued)

               
 

Energy - Exploration & Production (0.5%)

               
  347,803       

Independence Contract Drilling, Inc.(13)

                     $     397,539  
  26,788       

Talos Energy, Inc.(13)

                       544,600  
                        

 

 

  
                           942,139  
                        

 

 

  
                        
 

Support - Services (0.1%)

               
  800       

LTR Holdings LLC(6),(7),(8),(13)

                       180,968  
  433       

Sprint Industrial Holdings LLC, Class G(6),(7),(8),(13)

                       4  
  39       

Sprint Industrial Holdings LLC, Class H(6),(7),(8),(13)

                       —  
  96       

Sprint Industrial Holdings LLC, Class I(6),(7),(8),(13)

                       1  
                        

 

 

  
                           180,973  
                        

 

 

  
                        
 

Theaters & Entertainment (0.0%)

               
  20       

NEG Holdings LLC, Litigation Trust Units(6),(7),(8),(13)

                       20  
                        

 

 

  
 

TOTAL COMMON STOCKS (Cost $3,398,190)

                  2,597,893  
                        

 

 

  
                        
 

WARRANT (0.0%)

                    
 

Chemicals (0.0%)

                    
  11,643       

Project Investor Holdings LLC, expires 02/20/2022(6),(7),(8),(13) (Cost $6,054)

 

        —  
                        

 

 

  
                        
 

SHORT-TERM INVESTMENT (5.1%)

               
  9,201,855       

State Street Navigator Securities Lending Government Money Market Portfolio, 2.09%(14) (Cost $9,201,855)

                       9,201,855  
                        

 

 

  
                        
 

TOTAL INVESTMENTS AT VALUE (133.9%) (Cost $244,769,909)

                  240,951,172  
              
 

LIABILITIES IN EXCESS OF OTHER ASSETS (-33.9%)

                  (61,052,038)  
                        

 

 

  
                        
 

NET ASSETS (100.0%)

                $   179,899,134  
                        

 

 

  

 

INVESTMENT ABBREVIATIONS
1M = 1 Month
3M = 3 Month
6M = 6 Month
LIBOR = London Interbank Offered Rate
NR = Not Rated
Sarl - société à responsabilité limitée

 

† 

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 September 30, 2019, these securities amounted to a value of $146,952,273 or 81.7% of net assets.

(2)

Security or portion thereof is out on loan.

(3)

This security is denominated in British Pound.

(4)

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

(5)

Bond is currently in default.

(6)

Illiquid security (unaudited).

(7)

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

(8)

Security is valued using significant unobservable inputs.

(9)

This security is denominated in Euro.

(10)

Variable rate obligation—The interest rate shown is the rate in effect as of September 30, 2019.

(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 September 30, 2019.

(12)

All or a portion is an unfunded loan commitment.

(13)

Non-income producing security.

(14)

Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at September 30, 2019.

 

 

 

 

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

     55,103     

USD

      64,038      10/11/19    Morgan Stanley    $ 64,038     $ 60,114     $ (3,924 ) 

EUR

     858,000     

USD

      982,532      10/11/19    JPMorgan Chase      982,532       936,028       (46,504 ) 

GBP

     51,558     

USD

      62,781      10/11/19    Barclays Bank plc      62,781       63,558       777  

GBP

     52,441     

USD

      67,792      10/11/19    Morgan Stanley      67,792       64,646       (3,146 ) 

USD

     39,609     

EUR

      35,922      10/11/19    Deutsche Bank AG      (39,609 )      (39,189 )      420  

USD

     3,162,290     

EUR

      2,659,343      10/11/19    Morgan Stanley          (3,162,290 )          (2,901,188 )      261,102  

USD

     13,958     

GBP

      11,215      10/11/19    Deutsche Bank AG      (13,958 )      (13,826 )      132  

USD

     823,766     

GBP

      613,602      10/11/19    Morgan Stanley      (823,766 )      (756,416 )      67,350  

USD

     22,610     

GBP

      17,769      10/11/19    JPMorgan Chase      (22,610 )      (21,904 )      706  
                    

 

 

  
                    
  $         276,913  
                    

 

 

  

Currency Abbreviations:

EUR = Euro

GBP = British Pound

USD = United States Dollar

 

 

 

 

SECURITY VALUATION — The Board of Directors (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 September 30, 2019 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

    $ —      $ 177,588,118      $ 3,730     $ 177,591,848  

Bank Loans

      —        34,319,409        15,277,472       49,596,881  

Asset Backed Securities

      —        1,962,695        —       1,962,695  

Common Stocks

      544,600        397,539        1,655,754       2,597,893  

Warrant

      —        —        0 (1)      0 (1) 

Short-term Investment

      —        9,201,855        —       9,201,855  
  

 

 

     

 

 

     

 

 

    

 

 

  
   $          544,600      $     223,469,616      $     16,936,956     $     240,951,172  
  

 

 

     

 

 

     

 

 

    

 

 

  

Other Financial Instruments*

 

  

Forward Foreign Currency Contracts

    $ —      $ 330,487      $ —     $ 330,487  
          

Liabilities    

    Level 1      Level 2      Level 3     Total  

Other Financial Instruments*

 

  

Forward Foreign Currency Contracts

    $ —      $ 53,574      $ —     $ 53,574  

 

(1)

Includes zero valued securities.

*

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

The following is a reconciliation of investments as of September 30, 2019 for which significant unobservable inputs were used in determining fair value. All transfers, if any, are assumed to occur at the end of the reporting period.

 

     Corporate
Bonds		     Bank
Loans		     Common
Stocks		     Preferred
Stock		     Warrant     Total  

Balance as of December 31, 2018

    $ 921,990     $ 12,855,455     $ 1,002,107     $ 0 (1)    $ —     $ 14,779,552  

Accrued discounts (premiums)

      18,092       270,408       —       —       —       288,500  

Purchases

      —       4,563,595       334,633       —       6,054       4,904,282  

Sales

      —       (4,317,207 )      —       —       —       (4,317,207 ) 

Realized gain (loss)

      —       (1,192,467 )      (144,000 )      (156,000 )      —       (1,492,467 ) 

Change in unrealized appreciation (depreciation)

      (3,376 )      1,649,759       463,014       156,000       (6,054 )      2,259,343  

Transfers into Level 3

      —       4,014,191       —       —       —       4,014,191  

Transfers out of Level 3

      (932,976 )      (2,566,262 )      —       —       —       (3,499,238 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Balance as of September 30, 2019

    $     3,730     $ 15,277,472     $ 1,655,754     $ —     $            0 (1)    $ 16,936,956  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation (depreciation) from investments still held as of September 30, 2019

    $ (18,499 )    $ (64,694 )    $ 319,015     $ —       (6,054 )    $ 229,768  

 

(1) 

Includes zero valued securities.

Quantitative Disclosure About Significant Unobservable Inputs

 

Asset Class    

    Fair Value At
09/30/2019		     

Valuation

Techniques

   

Unobservable

Input

   

Range

(Weighted Average)

Corporate Bonds

    $ 3,730      Income Approach    Expected remaining distribution    N/A

Bank Loans

    $ 15,277,472      Vendor Pricing    Single Broker Quote    $0.89 – $1.00 ($0.96)

Common Stocks

    $ 1,048,115      Vendor Pricing    Single Broker Quote    N/A
   $ 607,614      Market Approach    EBITDA Multiples    3.1 – 7.0 (6.9)
   $ 25      Income Approach    Expected remaining distribution    $0.00 – $1.00 ($0.04)

Warrant

    $ 0      Market Approach    EBITDA Multiples    6.0 (N/A)

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 September 30, 2019, $4,014,191 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $3,499,238 was 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.