Credit Suisse High Yield Bond Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-08777

CREDIT SUISSE HIGH YIELD BOND FUND

(Exact name of registrant as specified in charter)

c/o Credit Suisse Asset Management, LLC

One Madison Avenue

New York, New York 10010

(Address of principal executive offices) (Zip code)

John G. Popp

One Madison Avenue

New York, New York 10010

(Name and address of agent for service)

 

Registrant’s telephone number, including area code: (212) 325-2000
Date of fiscal year-end:    October 31st
Date of reporting period:    November 1, 2017 to January 31, 2018

 

 

 

Item 1:            Schedule of Investments

 

 

 

Credit Suisse High Yield Bond Fund

Schedule of Investments

January 31, 2018 (unaudited)

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (116.1%)

                    
 

Advertising (0.3%)

                    
$           885       

Clear Channel Worldwide Holdings, Inc., Series A, Global Company Guaranteed Notes
(Callable 03/05/18 @ 103.25)

      (B, B2)        11/15/22          6.500        $        911,550  
                        

 

 

  
                        
 

Air Transportation (0.4%)

                    
  1,150       

United Continental Holdings, Inc., Company Guaranteed Notes

      (BB-, Ba3)        02/01/24          5.000          1,167,250  
                        

 

 

  
                        
 

Auto Parts & Equipment (0.9%)

                    
  2,650       

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

      (B+, B2)        11/15/26          5.625          2,722,875  
                        

 

 

  
                        
 

Brokerage (3.2%)

                    
  1,400       

Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes
(Callable 03/05/18 @ 105.16)(1)

      (B, B1)        04/15/22          6.875          1,442,000  
  2,950       

Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes
(Callable 03/05/18 @ 105.63)(1)

      (B, B1)        04/15/21          7.500          3,086,437  
  4,450       

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

      (B+, B2)        09/15/25          5.750          4,550,125  
                        

 

 

  
                      9,078,562  
                        

 

 

  
                        
 

Building & Construction (0.4%)

                    
  1,275       

Rialto Corp., Rule 144A, Company Guaranteed Notes
(Callable 03/05/18 @ 100.00)(1)

      (B, B1)        12/01/18          7.000          1,278,188  
                        

 

 

  
                        
 

Building Materials (10.1%)

                    
  915       

Airxcel, Inc., Rule 144A, Senior Secured Notes
(Callable 02/15/19 @ 104.25)(1)

      (B, B2)        02/15/22          8.500          975,619  
  1,150       

American Builders & Contractors Supply Co., Inc., Rule 144A, Senior Unsecured Notes
(Callable 12/15/18 @ 104.31)(1)

      (B+, B3)        12/15/23          5.750          1,216,125  
  2,925       

Beacon Escrow Corp., Rule 144A, Company Guaranteed Notes
(Callable 11/01/20 @ 102.44)(1)

      (B+, B3)        11/01/25          4.875          2,925,000  
  675       

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

      (B-, Caa1)        08/15/25          6.125          683,438  
  1,525       

Eagle Materials, Inc., Company Guaranteed Notes
(Callable 08/01/21 @ 102.25)

      (BBB, Baa3)        08/01/26          4.500          1,591,536  
  3,925       

FBM Finance, Inc., Rule 144A, Senior Secured Notes
(Callable 08/15/18 @ 104.13)(1)

      (B+, B3)        08/15/21          8.250          4,189,937  
  800       

Jeld-Wen, Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/15/20 @ 102.31)(1)

      (BB-, B1)        12/15/25          4.625          802,000  
  1,750       

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

      (BB-, B1)        12/15/27          4.875          1,756,562  
  1,860       

NCI Building Systems, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/08/18 @ 106.19)(1)

      (BB, B1)        01/15/23          8.250          1,975,506  
  3,900       

Omnimax International, Inc., Rule 144A, Senior Secured Notes
(Callable 02/16/18 @ 109.00)(1)

      (B-, Caa1)        08/15/20          12.000          4,221,750  
  3,540       

PriSo Acquisition Corp., Rule 144A, Senior Unsecured Notes
(Callable 05/15/18 @ 104.50)(1)

      (CCC+, Caa1)        05/15/23          9.000          3,765,675  
  1,000       

Summit Materials Finance Corp., Global Company Guaranteed Notes
(Callable 04/15/19 @ 104.25)

      (BB-, B3)        04/15/22          8.500          1,105,000  
  1,075       

Summit Materials Finance Corp., Global Company Guaranteed Notes
(Callable 07/15/18 @ 103.06)

      (BB-, B3)        07/15/23          6.125          1,115,312  
  975       

U.S. Concrete, Inc., Global Company Guaranteed Notes
(Callable 06/01/19 @ 104.78)

      (BB-, B2)        06/01/24          6.375          1,053,000  
  1,600       

USG Corp., Rule 144A, Company Guaranteed Notes
(Callable 06/01/22 @ 102.44)(1)

      (BB+, Ba1)        06/01/27          4.875          1,644,000  
                        

 

 

  
                           29,020,460  
                        

 

 

  
                        
 

Cable & Satellite TV (10.5%)

                    
  2,065       

Altice Financing S.A., Rule 144A, Senior Secured Notes
(Callable 03/05/18 @ 104.97)(1)

      (BB-, B1)        02/15/23          6.625          2,096,801  
  2,300       

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

      (BB-, B1)        05/15/26          7.500          2,394,875  
  2,200       

Altice U.S. Finance I Corp., Rule 144A, Senior Secured Notes
(Callable 07/15/18 @ 104.03)(1)

      (BB, Ba3)        07/15/23          5.375          2,257,750  
  4,000       

Block Communications, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/15/20 @ 103.44)(1)

      (BB-, Ba3)        02/15/25          6.875          4,180,000  
  1,315       

CSC Holdings LLC, Global Senior Unsecured Notes

      (B-, B2)        06/01/24          5.250          1,285,413  
  750       

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

      (BB-, Ba2)        02/01/28          5.375          750,000  
  525       

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

      (BB-, Ba2)        04/15/27          5.500          532,875  
  800       

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

      (BB-, Ba2)        10/15/25          6.625          858,000  

 

 

 

 

Par
(000)		              

Ratings†

  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Cable & Satellite TV

                    
  $          840       

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

      (B-, B2)        10/15/25          10.875        $     1,002,498  
  3,750       

Midcontinent Finance Corp., Rule 144A, Company Guaranteed Notes
(Callable 08/15/18 @ 105.16)(1)

      (B, B3)        08/15/23          6.875          3,993,750  
  1,370       

Radiate Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/15/20 @ 103.44)(1)

      (CCC+, Caa1e)        02/15/23          6.875          1,383,700  
  650       

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

      (B+, B1)        05/01/26          7.375          642,688  
  2,800       

SFR Group S.A., Rule 144A, Senior Secured Notes
(Callable 05/15/19 @ 103.13)(1)

      (B+, B1)        05/15/24          6.250          2,688,000  
  1,000       

Virgin Media Finance PLC, Rule 144A, Company Guaranteed Notes
(Callable 04/15/18 @ 103.50)(1),(2)

      (B, B2)        04/15/23          7.000          1,488,602  
  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          1,453,638  
  3,250       

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

      (BB-, B1)        01/15/27          5.500          3,233,750  
                        

 

 

  
                           30,242,340  
                        

 

 

  
                        
 

Chemicals (4.6%)

                    
  2,650       

A Schulman, Inc., Global Company Guaranteed Notes
(Callable 06/01/18 @ 105.16)

      (B, B3)        06/01/23          6.875          2,809,000  
  2,100       

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

      (CCC+, (p)caa1)        02/01/25          6.250          2,160,375  
  975       

GCP Applied Technologies, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/01/19 @ 104.75)(1)

      (BB-, B1)        02/01/23          9.500          1,077,375  
  1,550       

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

      (NR, Ba3)        02/01/26          4.500          1,557,750  
  575       

Nufarm Australia Ltd., Rule 144A, Company Guaranteed Notes
(Callable 03/05/18 @ 101.59)(1)

      (B+, B1)        10/15/19          6.375          584,344  
  1,100       

PQ Corp., Rule 144A, Senior Secured Notes
(Callable 05/15/19 @ 103.38)(1)

      (BB-, B2)        11/15/22          6.750          1,179,750  
  272       

Reichhold Industries, Inc., Rule 144A, Senior Secured Notes
(Callable 03/05/18 @ 100.00)(1),(3),(4),(5),(6)

      (NR, NR)        05/01/18          9.000          9,780  
  2,000       

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

      (BB-, B3)        09/01/25          5.375          2,054,400  
  1,000       

Valvoline, Inc., Global Company Guaranteed Notes
(Callable 08/15/20 @ 103.28)

      (BB+, Ba3)        08/15/25          4.375          997,500  
  675       

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

      (BB, Ba3)        09/30/24          5.500          717,187  
                        

 

 

  
                           13,147,461  
                        

 

 

  
                        
 

Consumer/Commercial/Lease Financing (1.9%)

                    
  4,500       

Infinity Acquisition Finance Corp., Rule 144A, Senior Unsecured Notes
(Callable 02/16/18 @ 103.63)(1)

      (CCC+, Caa2)        08/01/22          7.250          4,533,750  
  775       

Lincoln Finance Ltd., Rule 144A, Senior Secured Notes
(Callable 04/15/18 @ 103.69)(1)

      (BB+, B1)        04/15/21          7.375          808,906  
                        

 

 

  
                           5,342,656  
                        

 

 

  
                        
 

Diversified Capital Goods (0.9%)

                    
  2,050       

Anixter, Inc., Global Company Guaranteed Notes

      (BB, Ba3)        03/01/23          5.500          2,190,938  
  360       

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

      (BB+, Ba2)        04/30/23          5.000          376,200  
                        

 

 

  
                           2,567,138  
                        

 

 

  
                        
 

Electronics (1.0%)

                    
  2,125       

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

      (BB-, Ba3)        02/10/26          4.625          2,143,594  
  261       

Microsemi Corp., Rule 144A, Company Guaranteed Notes
(Callable 01/15/19 @ 106.84)(1)

      (BB-, B1)        04/15/23          9.125          292,320  
  325       

NXP Funding LLC, Rule 144A, Company Guaranteed
Notes(1)

      (BBB-, Ba1)        06/01/23          4.625          339,722  
                        

 

 

  
                           2,775,636  
                        

 

 

  
                        
 

Energy - Exploration & Production (2.7%)

                    
  800       

Extraction Oil & Gas, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/01/21 @ 104.22)(1)

      (B, B3)        02/01/26          5.625          801,800  
  1,925       

Oasis Petroleum, Inc., Company Guaranteed Notes
(Callable 03/05/18 @ 102.17)(7)

      (BB-, B3)        11/01/21          6.500          1,970,719  
  1,981       

Stone Energy Corp., Secured Notes
(Callable 05/31/20 @ 105.63)

      (NR, NR)        05/31/22          7.500          2,005,515  
  3,000       

W&T Offshore, Inc., Global Company Guaranteed Notes
(Callable 03/05/18 @ 100.00)

      (CC, Ca)        06/15/19          8.500          2,902,500  
                        

 

 

  
                           7,680,534  
                        

 

 

  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

  
 

Food - Wholesale (2.5%)

  
$        1,575       

B&G Foods, Inc., Company Guaranteed Notes
(Callable 04/01/20 @ 103.94)

      (B+, B2)        04/01/25          5.250        $     1,580,906  
  1,850       

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

      (B+, B3)        05/01/25          6.875          1,891,625  
  1,100       

Lamb Weston Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/01/21 @ 102.31)(1)

      (BB, Ba3)        11/01/24          4.625          1,122,000  
  1,000       

Lamb Weston Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/01/21 @ 102.44)(1)

      (BB, Ba3)        11/01/26          4.875          1,022,500  
  1,550       

U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/15/19 @ 102.94)(1)

      (BB, B3)        06/15/24          5.875          1,623,625  
                        

 

 

  
                           7,240,656  
                        

 

 

  
                        
 

Gaming (2.6%)

                    
  2,100       

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

      (B+, B2)        01/15/28          4.750          2,081,625  
  1,500       

Gateway Casinos & Entertainment Ltd., Rule 144A, Secured Notes
(Callable 03/01/20 @ 104.13)(1),(7)

      (CCC+, Caa1)        03/01/24          8.250          1,620,000  
  2,200       

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

      (B, B2)        02/01/24          7.875          2,403,500  
  990       

Safari Holding Verwaltungs GmbH, Rule 144A, Senior Secured Notes
(Callable 03/02/18 @ 102.06)(1),(8)

      (B, B2)        02/15/21          8.250          1,262,505  
                        

 

 

  
                           7,367,630  
                        

 

 

  
                        
 

Gas Distribution (3.4%)

                    
  3,469       

Energy Transfer Equity LP, Senior Secured Notes

      (BB-, Ba2)        10/15/20          7.500          3,821,346  
  1,250       

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

      (BB-, B1)        05/15/26          6.250          1,250,000  
  2,750       

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 06/15/19 @ 102.81)

      (BB-, B1)        06/15/24          5.625          2,701,875  
  2,000       

Holly Energy Finance Corp., Rule 144A, Company Guaranteed Notes
(Callable 08/01/19 @ 104.50)(1)

      (BB, B2)        08/01/24          6.000          2,100,000  
                        

 

 

  
                           9,873,221  
                        

 

 

  
                        
 

Health Facilities (2.0%)

                    
  2,200       

HCA, Inc., Senior Secured Notes

      (BBB-, Ba1)        03/15/24          5.000          2,296,250  
  500       

MPT Finance Corp., Global Company Guaranteed Notes
(Callable 05/01/19 @ 102.75)

      (BBB-, Ba1)        05/01/24          5.500          517,500  
  350       

MPT Finance Corp., Global Company Guaranteed Notes
(Callable 10/15/22 @ 102.50)

      (BBB-, Ba1)        10/15/27          5.000          347,445  
  2,625       

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

      (BBB-, Ba1)        08/15/26          5.125          2,606,755  
                        

 

 

  
                           5,767,950  
                        

 

 

  
                        
 

Health Services (1.3%)

                    
  2,500       

AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/01/19 @ 103.84)(1)

      (BB-, Ba2)        10/01/24          5.125          2,557,000  
  1,115       

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

      (BB-, Ba3)        06/01/25          5.250          1,131,725  
                        

 

 

  
                           3,688,725  
                        

 

 

  
                        
 

Hotels (1.1%)

                    
  3,000       

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

      (BB-, B1)        05/01/25          5.250          3,030,000  
                        

 

 

  
                        
 

Insurance Brokerage (4.3%)

                    
  3,280       

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

      (CCC+, Caa2)        11/15/25          7.000          3,263,600  
  550       

AssuredPartners, Inc., Rule 144A, Senior Unsecured Notes
(Callable 08/15/20 @ 103.50)(1)

      (CCC+, Caa2)        08/15/25          7.000          565,125  
  2,420       

Hub Holdings Finance, Inc., 8.125% Cash, 8.875% PIK, Rule 144A, Senior Unsecured Notes
(Callable 03/05/18 @ 100.00)(1),(9)

      (CCC+, Caa2)        07/15/19          17.000          2,423,025  
  2,450       

HUB International Ltd., Rule 144A, Senior Unsecured Notes
(Callable 03/05/18 @ 103.94)(1)

      (CCC+, Caa2)        10/01/21          7.875          2,551,063  
  3,375       

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

      (CCC+, Caa2)        07/15/25          6.875          3,484,687  
                        

 

 

  
                           12,287,500  
                        

 

 

  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Investments & Misc. Financial Services (1.0%)

                    
$        2,750       

Orchestra Co-Issuer, Inc., Rule 144A, Secured Notes
(Callable 06/15/19 @ 103.38)(1)

      (B-, B1)        06/15/22          6.750        $     2,901,250  
                        

 

 

  
                        
 

Machinery (0.6%)

                    
  1,575       

Terex Corp., Rule 144A, Company Guaranteed Notes
(Callable 02/01/20 @ 104.22)(1)

      (BB, B2)        02/01/25          5.625          1,618,313  
                        

 

 

  
                        
 

Media - Diversified (1.1%)

                    
  1,000       

National CineMedia LLC, Global Senior Secured Notes
(Callable 03/05/18 @ 103.00)

          (B+, Ba3)            04/15/22          6.000          1,018,750  
  2,370       

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

          (B-, B3)             08/15/26          5.750          2,227,800  
                        

 

 

  
                           3,246,550  
                        

 

 

  
                        
 

Media Content (3.5%)

                    
  2,125       

EMI Music Publishing Group North America Holdings, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 06/15/19 @ 105.72)(1)

      (B, B3)        06/15/24              7.625          2,342,812  
  550       

Netflix, Inc., Global Senior Unsecured Notes

      (B+, B1)        03/01/24          5.750          584,375  
  750       

Netflix, Inc., Global Senior Unsecured Notes

      (B+, B1)        02/15/25          5.875          804,585  
  1,800       

Nexstar Broadcasting, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/15/18 @ 103.06)(1)

      (B+, B3)        02/15/22          6.125          1,863,000  
  1,710       

Sinclair Television Group, Inc., Global Company Guaranteed Notes
(Callable 02/16/18 @ 103.06)

      (B+, B1)        10/01/22          6.125          1,765,575  
  1,800       

The EW Scripps Co., Rule 144A, Company Guaranteed Notes
(Callable 05/15/20 @ 103.84)(1)

      (BB-, B1)        05/15/25          5.125          1,782,000  
  1,000       

WMG Acquisition Corp., Rule 144A, Senior Secured Notes
(Callable 11/01/19 @ 103.66)(1)

      (B+, Ba3)        11/01/24          4.875          1,025,000  
                        

 

 

  
                           10,167,347  
                        

 

 

  
                        
 

Metals & Mining - Excluding Steel (3.7%)

                    
  2,200       

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

      (BB-, Ba3)        01/15/24          4.875          2,194,500  
  2,300       

Eldorado Gold Corp., Rule 144A, Company Guaranteed Notes
(Callable 03/05/18 @ 101.53)(1)

      (B+, B1)        12/15/20          6.125          2,265,500  
  2,000       

Kaiser Aluminum Corp., Global Company Guaranteed Notes
(Callable 05/15/19 @ 104.41)

      (BB+, Ba3)        05/15/24          5.875          2,140,000  
  4,525       

Noranda Aluminum Acquisition Corp., Global Senior Unsecured Notes
(Callable 03/01/18 @ 100.00)(3),(4)

      (NR, NR)        06/01/19          11.000          271  
  3,750       

Taseko Mines Ltd., Rule 144A, Senior Secured Notes
(Callable 06/15/19 @ 104.38)(1)

      (B-, B3)        06/15/22          8.750          3,918,750  
                        

 

 

  
                           10,519,021  
                        

 

 

  
                        
 

Oil Field Equipment & Services (7.1%)

                    
  3,330       

FTS International, Inc., Global Senior Secured Notes
(Callable 03/05/18 @ 104.69)

      (CCC+, Caa2)        05/01/22          6.250          3,379,950  
  2,000       

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

      (CCC+, Caa1)        04/01/22          9.875          2,180,000  
  609       

Nor Offshore SPV Ltd., PIK, Senior Secured Notes
(Callable 03/02/18 @ 100.00)(9)

      (NR, NR)        02/04/20          8.400          219,418  
  200       

Parker Drilling Co., Global Company Guaranteed Notes
(Callable 03/05/17 @ 101.88)(7)

      (B-, Caa2)        08/01/20          7.500          188,500  
  2,050       

Parker Drilling Co., Global Company Guaranteed Notes
(Callable 03/05/18 @ 103.38)

      (B-, Caa2)        07/15/22          6.750          1,773,250  
  1,105       

Pioneer Energy Services Corp., Global Company Guaranteed Notes
(Callable 03/05/18 @ 104.59)

      (CCC, Caa3)        03/15/22          6.125          994,500  
  1,500       

Shelf Drilling Holdings Ltd., Rule 144A, Secured Notes
(Callable 02/28/18 @ 100.00)(1)

      (B-, B2)        11/01/18          8.625          1,505,625  
  2,865       

Shelf Drilling Holdings Ltd., Rule 144A, Secured Notes
(Callable 02/28/18 @ 102.16)(1)

      (B-, B2)        11/02/20          9.500          2,932,813  
  3,500       

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

      (B-, B2)        02/15/25          8.250          3,500,000  
  1,474       

Sidewinder Drilling, Inc., Secured Notes
(Callable 02/15/18 @ 100.00)(4),(5),(6)

      (NR, NR)        02/15/20          12.000          1,411,387  
  1,600       

Transocean, Inc., Global Company Guaranteed Notes
(Callable 07/15/22 @ 100.00)(7)

      (B, Caa1)        10/15/22          5.800          1,624,000  
  850       

Trinidad Drilling Ltd., Rule 144A, Company Guaranteed Notes
(Callable 02/15/20 @ 104.97)(1)

        (BB-, Caa1)          02/15/25          6.625          837,250  
                        

 

 

  
                           20,546,693  
                        

 

 

  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Oil Refining & Marketing (1.8%)

                    
$        1,000       

CITGO Petroleum Corp., Rule 144A, Senior Secured Notes
(Callable 03/05/18 @ 104.69)(1)

      (B+, Caa1)        08/15/22          6.250        $     1,009,375  
  4,100       

Coffeyville Finance, Inc., Global Company Guaranteed Notes
(Callable 03/05/18 @ 103.25)

      (BB-, B1)        11/01/22          6.500          4,243,500  
                        

 

 

  
                           5,252,875  
                        

 

 

  
                        
 

Packaging (4.3%)

                    
  1,000       

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          1,035,000  
  1,250       

Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/15/19 @ 105.44)(1)

      (B, B3)        05/15/24          7.250          1,348,062  
  1,150       

Ardagh Holdings U.S.A., Inc., Rule 144A, Senior Secured Notes
(Callable 05/15/19 @ 102.31)(1)

      (BB, Ba3)        05/15/23          4.625          1,165,813  
  1,500       

Crown Americas Capital Corp. VI, Rule 144A, Company Guaranteed Notes
(Callable 02/01/21 @ 103.56)(1)

      (B+, Ba3)        02/01/26          4.750          1,511,250  
  2,200       

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

      (CCC+, Caa1)        01/15/25          6.875          2,261,875  
  1,050       

SIG Combibloc Holdings S.C.A., Rule 144A, Senior Secured Notes
(Callable 02/15/18 @ 103.88)(1),(8)

      (B-, Caa1)        02/15/23          7.750          1,361,373  
  750       

Trident Merger Sub, Inc., Rule 144A, Senior Unsecured Notes
(Callable 11/01/20 @ 103.31)(1)

      (CCC+, Caa2)        11/01/25          6.625          755,625  
  3,000       

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

      (B+, B1)        10/15/25          4.875          3,020,625  
                        

 

 

  
                           12,459,623  
                        

 

 

  
                        
 

Personal & Household Products (2.2%)

                    
  1,250       

First Quality Finance Co., Inc., Rule 144A,
Company Guaranteed Notes
(Callable 07/01/20 @ 103.75)(1)

      (BB-, B1)        07/01/25          5.000          1,262,500  
  2,000       

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

      (CCC, Caa1)        03/15/25          8.875          1,812,500  
  2,850       

Mattel, Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/31/20 @ 105.06)(1),(7)

      (BB-, Ba2)        12/31/25          6.750          2,899,875  
  300       

Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/01/19 @ 104.78)(1),(7)

      (B-, Caa1)        03/01/24          6.375          310,500  
                        

 

 

  
                           6,285,375  
                        

 

 

  
                        
 

Pharmaceuticals (2.6%)

                    
  500       

Endo Finance LLC, Rule 144A, Company Guaranteed Notes
(Callable 07/15/18 @ 104.50)(1)

      (CCC+, B3)        07/15/23          6.000          394,375  
  1,350       

Endo Finance LLC, Rule 144A, Senior Secured Notes
(Callable 04/15/20 @ 102.94)(1),(7)

      (BB-, Ba2)        10/15/24          5.875          1,377,000  
  3,050       

Valeant Pharmaceuticals International, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/15/18 @ 102.94)(1)

      (B-, Caa1)        05/15/23          5.875          2,763,148  
  2,850       

Valeant Pharmaceuticals International, Inc., Rule 144A, Senior Secured Notes
(Callable 03/15/20 @ 103.50)(1)

      (BB-, Ba3)        03/15/24          7.000          3,037,929  
                        

 

 

  
                           7,572,452  
                        

 

 

  
                        
 

Real Estate Investment Trusts (3.9%)

                    
  4,400       

iStar, Inc., Senior Unsecured Notes
(Callable 03/05/18 @ 101.25)

      (BB-, B1)        07/01/19          5.000          4,422,550  
  1,400       

iStar, Inc., Senior Unsecured Notes
(Callable 04/01/19 @ 103.00)

      (BB-, B1)        04/01/22          6.000          1,435,000  
  1,500       

iStar, Inc., Senior Unsecured Notes
(Callable 09/15/19 @ 102.63)

      (BB-, B1)        09/15/22          5.250          1,500,000  
  1,825       

QCP SNF West/Central/East/AL REIT LLC, Rule 144A, Secured Notes
(Callable 11/01/19 @ 104.06)(1),(7)

      (CCC+, Caa2)        11/01/23          8.125          1,884,312  
  1,800       

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

      (BB-, Ba3)        12/15/21          5.000          1,879,866  
                        

 

 

  
                           11,121,728  
                        

 

 

  
                        
 

Recreation & Travel (1.4%)

                    
  600       

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

      (BB-, B2)        04/15/27          5.500          615,750  
  2,150       

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 07/31/19 @ 103.66)(1)

      (BB-, B2)        07/31/24          4.875          2,184,938  
  1,320       

Speedway Motorsports, Inc., Global Company Guaranteed Notes
(Callable 03/05/18 @ 103.84)

      (BB+, Ba2)        02/01/23          5.125          1,349,700  
                        

 

 

  
                           4,150,388  
                        

 

 

  
                        

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Restaurants (1.6%)

                    
$        2,400       

Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes
(Callable 10/15/19 @ 103.38)(1)

      (CCC+, B3)        10/15/24          6.750        $     2,487,000  
  2,250       

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

      (B-, B3)        10/15/25          5.000          2,264,063  
                        

 

 

  
                           4,751,063  
                        

 

 

  
                        
 

Software - Services (5.6%)

                    
  2,250       

CDK Global, Inc., Rule 144A, Senior Unsecured Notes
(Callable 06/01/22 @ 102.44)(1)

      (BB+, Ba1)        06/01/27          4.875          2,260,372  
  2,000       

Epicor Software Corp., Senior Secured Notes,
LIBOR 3M + 8.250%(5),(6),(10)

      (CCC, NR)        06/30/23          9.943          2,030,000  
  1,825       

First Data Corp., Rule 144A, Secured Notes
(Callable 01/15/19 @ 102.88)(1)

      (B, B3)        01/15/24          5.750          1,893,437  
  1,450       

Infor Software Parent, Inc., 7.125% Cash, 7.875%
PIK, Rule 144A, Senior Unsecured Notes
(Callable 03/05/18 @ 103.56)(1),(9)

      (CCC, Caa2)        05/01/21          15.000          1,486,250  
  1,800       

Infor U.S., Inc., Company Guaranteed Notes
(Callable 05/15/18 @ 102.88)(8)

      (CCC+, Caa1)        05/15/22          5.750          2,299,531  
  900       

j2 Global Co-Obligor, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 07/15/20 @ 104.50)(1)

      (BB, Ba3)        07/15/25          6.000          956,250  
  1,000       

Solera Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 03/01/19 @ 107.88)(1)

      (CCC+, Caa1)        03/01/24          10.500          1,126,250  
  3,692       

Syniverse Foreign Holdings Corp., Rule 144A, Company Guaranteed Notes
(Callable 01/15/19 @ 104.56)(1)

      (B, Caa2)        01/15/22          9.125          3,844,295  
  326       

Syniverse Holdings, Inc., Global Company Guaranteed Notes
(Callable 03/05/18 @ 100.00)

      (CCC+, Caa2)        01/15/19          9.125          327,223  
                        

 

 

  
                           16,223,608  
                        

 

 

  
                        
 

Specialty Retail (1.8%)

                    
  1,000       

Itron, Inc., Rule 144A, Company Guaranteed Notes
(Callable 01/15/21 @ 102.50)(1)

      (BB-, B2)        01/15/26          5.000          1,007,500  
  3,920       

Penske Automotive Group, Inc., Global Company Guaranteed Notes
(Callable 03/05/18 @ 102.88)

      (B+, B1)        10/01/22          5.750          4,038,874  
                        

 

 

  
                           5,046,374  
                        

 

 

  
                        
 

Steel Producers/Products (0.9%)

                    
  450       

Commercial Metals Co., Senior Unsecured Notes
(Callable 07/15/22 @ 102.69)

      (BB+, Ba2)        07/15/27          5.375          463,500  
  2,000       

Zekelman Industries, Inc., Rule 144A, Senior Secured Notes
(Callable 06/15/19 @ 104.94)(1)

      (B, Caa1)        06/15/23          9.875          2,245,000  
                        

 

 

  
                           2,708,500  
                        

 

 

  
                        
 

Support - Services (7.0%)

                    
  3,250       

Avison Young Canada, Inc., Rule 144A, Senior Secured Notes
(Callable 12/15/19 @ 104.75)(1)

      (B+, B3)        12/15/21          9.500          3,306,875  
  2,505       

Conduent Business Services LLC, Rule 144A, Company Guaranteed Notes
(Callable 12/15/20 @ 105.25)(1)

      (B+, B2)        12/15/24          10.500          2,930,850  
  50       

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

      (BB, Ba1)        10/15/27          4.750          48,750  
  2,550       

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

      (BB-, B1)        04/01/25          5.125          2,658,375  
  3,000       

H&E Equipment Services, Inc., Rule 144A, Company Guaranteed Notes
(Callable 09/01/20 @ 104.22)(1)

      (BB-, B2)        09/01/25          5.625          3,120,000  
  1,450       

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

      (B, B3)        06/01/25          5.125          1,471,750  
  2,250       

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

      (B+, Ba3)        12/15/25          4.875          2,222,325  
  1,550       

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

      (CCC+, Caa1)        06/01/25          6.750          1,584,875  
  1,900       

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

      (BB-, Ba3)        01/15/28          4.875          1,902,375  
  1,000       

United Rentals North America, Inc., Company Guaranteed Notes
(Callable 05/15/22 @ 102.75)

      (BB-, Ba3)        05/15/27          5.500          1,052,500  
                        

 

 

  
                           20,298,675  
                        

 

 

  
                        
 

Tech Hardware & Equipment (1.8%)

                    
  550       

CDW Finance Corp., Company Guaranteed Notes
(Callable 03/01/20 @ 103.75)

      (BB-, Ba3)        09/01/25          5.000          561,688  
  1,750       

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

      (BB-, Ba3)        03/15/27          5.000          1,747,813  
  1,950       

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

      (BB-, Ba3)        06/15/25          6.000          2,061,520  
  800       

Western Digital Corp., Rule 144A, Senior Secured Notes
(Callable 04/01/19 @ 103.69)(1)

      (BBB-, Baa2)        04/01/23          7.375          873,000  
                        

 

 

  
                           5,244,021  
                        

 

 

  

 

 

 

 

Par
(000)		              

Ratings†

  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Telecom - Satellite (1.5%)

                    
$        3,000       

Hughes Satellite Systems Corp., Global Company Guaranteed Notes

      (BB-, B3)        06/15/21          7.625        $     3,288,750  
  1,000       

Hughes Satellite Systems Corp., Global Senior Secured Notes

      (BBB-, Ba2)        08/01/26          5.250          1,013,750  
                        

 

 

  
                           4,302,500  
                        

 

 

  
                        
 

Telecom - Wireless (0.5%)

                    
  1,400       

T-Mobile U.S.A., Inc., Global Company Guaranteed Notes
(Callable 01/15/21 @ 103.25)

      (BB+, Ba2)        01/15/26          6.500          1,520,750  
                        

 

 

  
                        
 

Telecom - Wireline Integrated & Services (4.6%)

                    
  700       

CyrusOne Finance Corp., Global Company Guaranteed Notes
(Callable 03/15/22 @ 102.69)

      (BB+, Ba3)        03/15/27          5.375          729,750  
  725       

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

      (BB+, B1)        05/15/27          5.375          763,062  
  4,000       

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

      (CCC+, Caa1)        12/31/24          7.875          4,290,000  
  1,500       

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

      (BB, B1)        11/15/25          4.750          1,518,750  
  2,000       

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

      (BB-, Ba3)        03/01/28          5.500          2,000,000  
  750       

Wind Tre SpA, Rule 144A, Senior Secured Notes
(Callable 11/03/20 @ 102.50)(1)

      (BB-, B1)        01/20/26          5.000          685,358  
  1,000       

Zayo Capital, Inc., Global Company Guaranteed Notes (Callable 04/01/18 @ 104.50)

      (B, B3)        04/01/23          6.000          1,047,500  
  2,175       

Zayo Capital, Inc., Rule 144A, Company Guaranteed Notes
(Callable 01/15/22 @ 102.88)(1)

      (B, B3)        01/15/27          5.750          2,215,890  
                        

 

 

  
                           13,250,310  
                        

 

 

  
                        
 

Theaters & Entertainment (2.4%)

                    
  1,600       

AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes
(Callable 03/05/18 @ 102.94)(7)

      (B+, B2)        02/15/22          5.875          1,614,000  
  600       

AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes
(Callable 05/15/22 @ 103.06)(7)

      (B+, B2)        05/15/27          6.125          588,000  
  855       

AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes
(Callable 11/15/21 @ 102.94)(7)

      (B+, B2)        11/15/26          5.875          833,625  
  1,475       

Carmike Cinemas, Inc., Rule 144A, Secured Notes
(Callable 06/15/18 @ 104.50)(1)

      (BB, Ba1)        06/15/23          6.000          1,556,125  
  2,200       

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

      (B+, B1)        11/01/24          4.875          2,249,500  
                        

 

 

  
                           6,841,250  
                        

 

 

  
                        
 

Transport Infrastructure/Services (1.1%)

                    
  3,150       

Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes
(Callable 03/05/18 @ 108.44)(1)

      (B-, Caa2)        08/15/22          11.250          3,201,188  
                        

 

 

  
 

TOTAL CORPORATE BONDS (Cost $323,935,097)

                       334,420,186  
                        

 

 

  
                        
 

BANK LOANS (24.7%)

                    
 

Aerospace & Defense (0.7%)

                    
  1,941       

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

      (B-, B3)        11/28/21          6.549          1,972,138  
                        

 

 

  
                        
 

Auto Parts & Equipment (0.3%)

                    
  736       

Dayco Products LLC, LIBOR 3M + 5.000%(6),(10)

      (B, B2)        05/19/23          6.479          748,265  
                        

 

 

  
                        
 

Beverages (0.7%)

                    
  2,000       

The Winebow Group, Inc., LIBOR 1M + 7.500%(4),(6),(10)

      (CCC, Caa1)        12/31/21          9.074          1,880,000  
                        

 

 

  
                        
 

Building Materials (0.7%)

                    
  1,987       

Morsco, Inc., LIBOR 1W + 7.000%(10)

      (B+, B3)        10/31/23          8.573          2,023,280  
                        

 

 

  
                        
 

Chemicals (5.1%)

                    
  1,000       

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

      (NR, Caa1)        07/11/25          9.955          1,012,500  
  2,107       

Ascend Performance Materials Operations LLC, LIBOR 3M + 5.250%(6),(10)

      (B-, Wr)        08/12/22          6.943          2,128,446  
  1,000       

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

      (CCC, Caa2)        11/14/24          9.574          1,000,000  
  3,145       

Preferred Proppants LLC, LIBOR 3M + 7.750%(4),(6),(10)

      (CCC, Caa2)        07/27/20          9.443          2,964,502  
  3,163       

Solenis International LP, LIBOR 3M + 6.750%(10)

      (CCC+, Caa1)        07/31/22          8.229          3,072,906  
  453       

Tronox Blocked Borrower LLC, LIBOR 3M + 3.000%(10)

      (BB-, Ba3)        09/22/24          4.693          458,509  
  1,047       

Tronox Finance LLC, LIBOR 3M + 3.000%(10)

      (BB-, Ba3)        09/22/24          4.693          1,058,097  
  1,000       

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

      (CCC+, B3)        05/22/21          5.574          989,530  
  2,000       

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

      (CCC, Caa2)        10/05/25          10.020          2,015,000  
                        

 

 

  
                           14,699,490  
                        

 

 

  

 

 

 

 

Par
(000)		              

Ratings†

  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

BANK LOANS (continued)

                    
 

Diversified Capital Goods (1.0%)

                    
$           750       

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

      (B+, Ba3)        11/30/23          5.568        $        759,142  
  2,045       

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

      (B-, Caa1)        01/30/23          10.193          2,055,225  
                        

 

 

  
                           2,814,367  
                        

 

 

  
                        
 

Electronics (0.7%)

                    
  1,000       

CPI International, Inc., LIBOR 1M + 7.250%(6),(10)

      (CCC+, Caa2)        07/26/25          8.824          1,006,250  
  995       

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

      (B-, B2)        01/10/24          5.443          998,724  
                        

 

 

  
                           2,004,974  
                        

 

 

  
                        
 

Energy - Exploration & Production (1.5%)

                    
  2,500       

Chief Exploration & Development LLC, LIBOR 3M + 6.500%(4),(10)

      (NR, NR)        05/16/21          7.959          2,503,125  
  2,000       

W&T Offshore, Inc.(4),(10)

      (CCC, Caa2)        05/15/20          9.000          1,940,000  
                        

 

 

  
                           4,443,125  
                        

 

 

  
                        
 

Gas Distribution (0.7%)

                    
  2,110       

BCP Renaissance Parent LLC, LIBOR 3M + 4.000%(10)

      (B+, B1)        10/31/24          5.772          2,139,456  
                        

 

 

  
                        
 

Health Facility (0.4%)

                    
  1,167       

Western Dental Services, Inc., LIBOR 1M + 4.500%(10)

      (B-, B3)        06/23/23          6.074          1,182,831  
                        

 

 

  
                        
 

Insurance Brokerage (0.7%)

                    
  1,985       

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

      (B, B2)        11/22/23          5.991          2,022,244  
                        

 

 

  
                        
 

lnvestments & Misc. Financial Services (0.4%)

                    
  1,156       

Ocwen Financial Corp., LIBOR 1M + 5.000%(10)

      (B+, B3)        12/05/20          6.560          1,162,915  
                        

 

 

  
                        
 

Machinery (1.9%)

                    
  2,750       

CPM Acquisition Corp., LIBOR 1M + 8.250%(6),(10)

      (B-, Caa1)        04/10/23          9.817          2,805,000  
  2,475       

WireCo WorldGroup, Inc., LIBOR 3M + 9.000%(6),(10)

      (B-, Caa3)        09/30/24          10.479          2,524,500  
                        

 

 

  
                           5,329,500  
                        

 

 

  
                        
 

Media Content (0.4%)

                    
  1,000       

DLG Acquisitions Ltd., EURIBOR 6M + 7.250%(8),(10)

      (CCC+, Caa2)        06/30/22          8.250          1,255,405  
                        

 

 

  
                        
 

Medical Products (0.4%)

                    
  1,200       

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

      (B-, B2)        06/15/23          6.580          1,206,006  
                        

 

 

  
                        
 

Oil Refining & Marketing (0.8%)

                    
  2,886       

Philadelphia Energy Solutions LLC, Prime + 4.000%(3),(4),(6),(10)

      (D, Wr)        04/04/18          8.500          2,381,250  
                        

 

 

  
                        
 

Personal & Household Products (1.8%)

                    
  1,990       

ABG Intermediate Holdings 2 LLC, LIBOR 3M + 7.750%(10)

      (CCC+, Caa1)        09/29/25          9.443          2,022,337  
  497       

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

      (CCC+, B3)        02/05/24          6.304          493,452  
  2,450       

Comfort Holding LLC, LIBOR 1M + 10.000%(10)

      (CCC-, Caa2)        02/03/25          11.554          2,266,250  
  46       

TricorBraun Holdings, Inc., Prime + 2.750%(10)

      (B, B2)        11/30/23          5.392          45,963  
  453       

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

      (B, B2)        11/30/23          5.443          456,177  
                        

 

 

  
                           5,284,179  
                        

 

 

  
                        
 

Real Estate Investment Trusts (0.4%)

                    
  997       

Quality Care Properties, Inc., LIBOR 1M + 5.250%(10)

      (B-, Caa1)        10/31/22          6.824          1,011,201  
                        

 

 

  
                        
 

Recreation & Travel (1.0%)

                    
  3,000       

Legendary Pictures Funding LLC, LIBOR 3M + 6.000%(4),(6),(10)

      (NR, NR)        04/22/20          7.693          2,973,750  
                        

 

 

  
                        
 

Software - Services (4.2%)

                    
  1,309       

Almonde, Inc., LIBOR 3M + 7.250%(10)

      (CCC+, Caa2)        06/13/25          8.729          1,321,855  
  2,590       

Aricent Technologies, LIBOR 1M + 8.500%(10)

      (CCC, Caa2)        04/14/22          10.060          2,614,696  
  1,250       

Eze Castle Software, Inc., LIBOR 3M + 6.500%(10)

      (CCC+, Caa1)        04/05/21          8.193          1,254,688  
  1,204       

Flexera Software LLC(10)

      (CCC+, Caa1)        01/23/26          7.000          1,220,783  
  406       

Flexera Software LLC, LIBOR 1M + 7.000%(6),(10)

      (B-, Caa1)        04/02/21          8.570          407,652  
  731       

LDiscovery LLC, LIBOR 3M + 5.875%(4),(10)

      (B, B3)        12/09/22          7.278          664,523  
  2,750       

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

      (CCC+, Caa1)        05/25/21          9.450          2,764,891  
  2,000       

TigerLuxOne Sarl, LIBOR 3M + 8.250%(10)

      (CCC+, Caa2)        02/16/25          9.943          1,985,000  
                        

 

 

  
                           12,234,088  
                        

 

 

  
                        
 

Specialty Retail (0.4%)

                    
  1,000       

Sally Holdings LLC(10)

      (BBB-, Ba1)        07/05/24          4.500          1,001,250  
                        

 

 

  
                        
 

Support - Services (0.4%)

                    
  247       

Interior Logic Group, Inc., LIBOR 3M + 6.000%(6),(10)

      (B, B3)        03/01/24          7.481          248,955  
  2,854       

Sprint Industrial Holdings LLC, LIBOR 3M + 12.250%(4),(10)

      (CC, Caa3)        11/14/19          13.500          916,832  
                        

 

 

  
                           1,165,787  
                        

 

 

  

 

 

 

 

Par
(000)		              

Ratings†

  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

BANK LOANS (continued)

                    
 

Theaters & Entertainment (0.1%)

                    
$        335       

NEG Holdings LLC, LIBOR 3M + 8.000%(4),(5),(6),(10)

      (NR, NR)        10/17/22          9.693        $     308,498  
                        

 

 

  
 

TOTAL BANK LOANS (Cost $70,698,106)

                       71,243,999  
                        

 

 

  
                        
Number of
Shares		                                           
                        
 

COMMON STOCKS (2.4%)

                    
 

Auto Parts & Equipment (0.7%)

                    
  109,693       

UCI International, Inc.(4),(5),(6),(11)

                       1,974,474  
                        

 

 

  
                        
 

Building & Construction (0.0%)

                    
  10       

White Forest Resources, Inc.(4),(5),(6),(11)

                       81  
                        

 

 

  
                        
 

Building Materials (0.0%)

                    
  619       

Dayton Superior Corp.(4),(5),(6),(11)

                       —  
                        

 

 

  
                        
 

Chemicals (0.1%)

                    
  4,893       

Huntsman Corp.(4)

                       169,151  
                        

 

 

  
                        
 

Oil Field Equipment & Services (0.4%)

                    
  26       

Sidewinder Drilling, Inc., Series A(4),(5),(6),(11)

                       1,144,461  
                        

 

 

  
                        
 

Oil, Gas & Consumable Fuels (0.9%)

                    
  71,901       

Stone Energy Corp.(11)

                       2,598,502  
                        

 

 

  
                        
 

Support - Services (0.3%)

                    
  2,100       

LTR Holdings LLC(4),(5),(6),(11)

                       950,082  
  692       

Sprint Industrial Holdings LLC, Class G(5),(6),(11)

                       7  
  63       

Sprint Industrial Holdings LLC, Class H(5),(6),(11)

                       1  
  153       

Sprint Industrial Holdings LLC, Class I(5),(6),(11)

                       1  
                        

 

 

  
                           950,091  
                        

 

 

  
                        
 

Theaters & Entertainment (0.0%)

                    
  40       

NEG Holdings LLC, Litigation Trust Units(4),(5),(6),(11)

                       40  
                        

 

 

  
 

TOTAL COMMON STOCKS (Cost $7,091,176)

                       6,836,800  
                        

 

 

  
                        
 

PREFERRED STOCK (0.0%)

                    
 

Building Materials (0.0%)

                    
  688       

Dayton Superior Corp.(4),(5),(6),(11) (Cost $250,835)

                       —  
                        

 

 

  
                        
 

SHORT-TERM INVESTMENT (5.5%)

                    
  10,423,785       

State Street Navigator Securities Lending Government Money Market Portfolio, 1.31% (12)

                       10,423,785  

 

 

 

 

Par
(000)		                        Maturity            Rate%            Value    
                        
 

SHORT-TERM INVESTMENT

                    
$       5,289       

State Street Bank and Trust Co. Euro Time Deposit

             02/01/18          0.200        $        5,289,153  
                        

 

 

  
                        
 

TOTAL SHORT-TERM INVESTMENT (Cost $15,712,938)

                       15,712,938  
                        

 

 

  
                        
 

TOTAL INVESTMENTS AT VALUE (148.7%) (Cost $417,688,152)

                       428,213,923  
                        
 

LIABILITIES IN EXCESS OF OTHER ASSETS (-48.7%)

                       (140,181,875 ) 
                        

 

 

  
                        
 

NET ASSETS (100.0%)

                     $ 288,032,048  
                        

 

 

  

 

† 

Credit ratings given by the Standard & Poor’s Division of The McGraw-Hill Companies, Inc. (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”) are unaudited.

(1) 

Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2018, these securities amounted to a value of $239,974,546 or 83.3% of net assets.

(2) 

This security is denominated in British Pound.

(3) 

Bond is currently in default.

(4) 

Illiquid security (unaudited).

(5) 

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.

(6) 

Security is valued using significant unobservable inputs.

(7) 

Security or portion thereof is out on loan.

(8) 

This security is denominated in Euro.

(9) 

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

(10) 

Variable rate obligation — The interest rate shown is the rate in effect as of January 31, 2018.

(11) 

Non-income producing security.

(12) 

Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at January 31, 2018.

INVESTMENT ABBREVIATIONS

1M = 1 Month

1W = 1 Week

3M = 3 Month

6M = 6 Month

ADR = American Depositary Receipt

EURIBOR = Euro Interbank Offered Rate

LIBOR = London Interbank Offered Rate

NR = Not Rated

 

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

     1,624,000     

USD

      1,948,190      10/12/18    Morgan Stanley    $ 1,948,190     $ 2,059,847     $ 111,657  

GBP

     3,150,000     

USD

      4,261,679      10/12/18    Morgan Stanley      4,261,679       4,525,199       263,520  

USD

     8,252,579     

EUR

      6,835,000      10/12/18    Morgan Stanley          (8,252,579 )          (8,669,368 )      (416,789 ) 

USD

     7,478,375     

GBP

      5,586,400      10/12/18    Morgan Stanley      (7,478,375 )      (8,025,261 )      (546,886 ) 
                    

 

 

  
                    
                     $         (588,498 ) 
                    

 

 

  

Currency Abbreviations:

EUR = Euro

GBP = British Pound

USD = United States Dollar

 

 

 

 

SECURITY VALUATION — 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 of Trustees (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, the Fund values these securities as determined in accordance with procedures approved and established by the Board. The Fund may utilize a service provided by an independent third party which has been approved by the Board of Trustees (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, the Fund values these securities as determined in accordance with procedures approved and established 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.

 

 

 

 

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

 

  ·

Level  1–quoted prices in active markets for identical investments

  ·

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

  ·

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

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

The following is a summary of the inputs used as of January 31, 2018 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

    $ —      $ 330,969,020      $ 3,451,166     $ 334,420,186  

Bank Loans

      —        46,796,706        24,447,293       71,243,999  

Common Stocks

      2,767,653        —        4,069,147 (1)      6,836,800 (1) 

Preferred Stock

      —        —        0 (1)      0 (1) 

Short-term Investments

      —        15,712,938        —       15,712,938  
  

 

 

     

 

 

     

 

 

    

 

 

  
   $              2,767,653      $     393,478,664      $     31,967,606 (1)    $     428,213,923 (1) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Other Financial Instruments*

           

Forward Foreign Currency Contracts

    $ —      $ 375,177      $ —     $ 375,177  
          

Liabilities    

    Level 1      Level 2      Level 3     Total  

Other Financial Instruments*

           

Forward Foreign Currency Contracts

    $ —      $ 963,675      $ —     $ 963,675  

 

(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 January 31, 2018 for which significant unobservable inputs were used in determining value. All transfers, if any, are assumed to occur at the end of the reporting period.

 

     Corporate
Bonds		     Bank
Loans		     Common
Stocks		     Preferred
Stock		     Total  

Balance as of October 31, 2017

    $ 2,852,603     $ 13,055,574     $ 3,243,069 (1)    $ 0 (1)    $ 19,151,246 (1) 

Accrued discounts (premiums)

      13,253       15,132       —       —       28,385  

Purchases

      808,994       4,398,983       —       —       5,207,977  

Sales

      (267,852 )      (17,677 )      —       —       (285,529 ) 

Realized gain (loss)

      —       454       —       —       454  

Change in unrealized appreciation (depreciation)

      44,168       33,852       826,078       —       904,098  

Transfers into Level 3

      —       6,960,975       —       —       6,960,975  

Transfers out of Level 3

      —       —       —       —       —  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Balance as of January 31, 2018

    $     3,451,166     $ 24,447,293     $ 4,069,147 (1)    $            0 (1)    $ 31,967,606 (1) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation (depreciation) from investments still held as of January 31, 2018

    $ 44,168     $ 33,852     $ 826,078     $ —     $ 904,098  

 

(1) 

Includes zero valued securities.

 

 

 

 

Quantitative Disclosure About Significant Unobservable Inputs

 

Asset Class    

    Fair Value At
1/31/2018		     

Valuation Techniques

   

Unobservable

Input

   

Range

(Weighted Average)

(per share)

Corporate Bonds

    $ 9,779      Income Approach   

Expected Remaining

Distribution

    NA
   $ 2,030,000      Vendor Pricing    Single Broker Quote    NA
   $ 1,411,387      Market Approach    Comparable Bond Price    NA

Bank Loans

    $ 308,498      Market Approach    Comparable Bond Price    NA
   $ 24,138,795      Vendor Pricing    Single Broker Quote    $0.83 – $1.02 ($0.97)

Common Stocks

    $ 121      Market Approach   

Discount For Illiquidity

and EBITDA Multiples

    $0.00 – $8.10 ($0.18)
   $ 2,924,556      Vendor Pricing    Single Broker Quote    $18.00 – $452.42 ($26.16)
   $ 1,144,470      Market/Income Approach   

Comparable Bond Price,

Discounted Cash Flows

    $0.01 – $44,703.75 ($1,225.35)

Preferred Stock

    $ 0      Market Approach    Discount For Illiquidity    NA

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

 

 

 

 

During the period ended January 31, 2018, there were no transfers between Level 1 and Level 2, but there was $6,960,975 transferred from Level 2 to Level 3 due to a lack 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.

 

 

 

Item 2:             Controls and Procedures

(a)        As of a date within 90 days from the filing date of this report, the principal executive officer and principal financial officer concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)), were effective based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities and Exchange Act of 1934.

(b)        There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3:             Exhibits

1.        The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report.

 

 

 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

CREDIT SUISSE HIGH YIELD BOND FUND

/s/ John G. Popp

Name: John G. Popp

Title:   Chief Executive Officer and President

Date:   March 14, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

/s/ John G. Popp

Name: John G. Popp

Title:   Chief Executive Officer and President

Date:   March 14, 2018

/s/ Laurie Pecha

Name: Laurie Pecha

Title:   Chief Financial Officer

Date:   March 14, 2018