Regulatory Filings • May 29, 2019
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Download Source FileNPORT-EX 1 NPORT_858684084710236.htm FOR VALIDATION PURPOSES ONLY - [697139.TX]
Credit Suisse Asset Management Income Fund, Inc.
Schedule of Investments
March 31, 2019 (unaudited)
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (106.9%) | |||||
| Aerospace & Defense (1.2%) | |||||
| $ 800 | TransDigm, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/15/22 @ 103.75) (1) | (B-, NR) | 03/15/27 | 7.500 | $ 822,000 |
| 1,250 | TransDigm, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/22 @ 103.13) (1) | (B+, Ba3) | 03/15/26 | 6.250 | 1,305,000 |
| 2,127,000 | |||||
| Auto Parts & Equipment (2.4%) | |||||
| 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 | 1,147,900 | |
| 625 | Delphi Technologies PLC, Rule 144A, Company Guaranteed Notes (1) | (BB, B1) | 10/01/25 | 5.000 | 551,875 |
| 2,000 | IHO Verwaltungs GmbH, Rule 144A, Senior Secured Notes (Callable 09/15/21 @ 102.38) (1) | (BB+, Ba1) | 09/15/26 | 4.750 | 1,910,000 |
| 250 | Panther Finance Co., Inc., Rule 144A, Company Guaranteed Notes (Callable 05/15/22 @ 104.25) (1) | (B, B3) | 05/15/27 | 8.500 | 251,250 |
| 350 | Panther Finance Co., Inc., Rule 144A, Senior Secured Notes (Callable 05/15/22 @ 103.13) (1) | (B+, Ba3) | 05/15/26 | 6.250 | 357,875 |
| 4,218,900 | |||||
| Brokerage (2.5%) | |||||
| 600 | Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 04/29/19 @ 101.72) (1) | (B+, B1) | 04/15/22 | 6.875 | 606,000 |
| 1,450 | Jefferies Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 04/29/19 @ 101.88) (1) | (B+, B1) | 04/15/21 | 7.500 | 1,479,000 |
| 2,375 | LPL Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/15/20 @ 104.31) (1) | (BB-, B2) | 09/15/25 | 5.750 | 2,411,338 |
| 4,496,338 | |||||
| Building & Construction (1.0%) | |||||
| 1,750 | TopBuild Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/21 @ 102.81) (1) | (BB-, B1) | 05/01/26 | 5.625 | 1,732,500 |
| Building Materials (8.4%) | |||||
| 1,000 | American Builders & Contractors Supply Co., Inc., Rule 144A, Company Guaranteed | ||||
| Notes (Callable 05/15/21 @ 102.94) (1) | (B+, B3) | 05/15/26 | 5.875 | 1,017,500 | |
| 350 | American Builders & Contractors Supply Co., Inc., Rule 144A, Senior Unsecured | ||||
| Notes (Callable 04/29/19 @ 104.31) (1) | (B+, B3) | 12/15/23 | 5.750 | 360,063 | |
| 1,200 | American Woodmark Corp., Rule 144A, Company Guaranteed Notes (Callable 03/15/21 @ 102.44) (1) | (BB, Ba3) | 03/15/26 | 4.875 | 1,179,000 |
| 1,455 | BMC East LLC, Rule 144A, Senior Secured Notes (Callable 10/01/19 @ 104.13) (1) | (BB, B2) | 10/01/24 | 5.500 | 1,434,994 |
| 325 | Core & Main LP, Rule 144A, Senior Unsecured Notes (Callable 08/15/20 @ 103.06) (1) | (B-, Caa1) | 08/15/25 | 6.125 | 319,410 |
| 250 | James Hardie International Finance DAC, Rule 144A, Company Guaranteed Notes (Callable | ||||
| 01/15/21 @ 102.38) (1) | (BB, Ba1) | 01/15/25 | 4.750 | 247,500 | |
| 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 | 1,604,625 | |
| 1,025 | Jeld-Wen, Inc., Rule 144A, Company Guaranteed | ||||
| Notes (Callable 12/15/20 @ 102.31) (1) | (BB-, B1) | 12/15/25 | 4.625 | 976,312 | |
| 500 | Jeld-Wen, Inc., Rule 144A, Company Guaranteed | ||||
| Notes (Callable 12/15/22 @ 102.44) (1) | (BB-, B1) | 12/15/27 | 4.875 | 472,500 | |
| 1,075 | NCI Building Systems, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/21 @ 104.00) (1) | (B-, Caa1) | 04/15/26 | 8.000 | 969,403 |
| 2,350 | Omnimax International, Inc., Rule 144A, Senior Secured Notes (Callable 04/15/19 @ 104.50) (1) | (B-, Caa1) | 08/15/20 | 12.000 | 2,394,062 |
| 2,450 | PriSo Acquisition Corp., Rule 144A, Senior Unsecured Notes (Callable 04/29/19 @ 104.50) (1) | (CCC+, Caa1) | 05/15/23 | 9.000 | 2,446,937 |
| 750 | Standard Industries, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/22 @ 102.50) (1) | (BBB-, Ba2) | 02/15/27 | 5.000 | 727,725 |
| 800 | USG Corp., Rule 144A, Company Guaranteed Notes (Callable 06/01/22 @ 102.44) (1) | (BB+, Ba2) | 06/01/27 | 4.875 | 810,500 |
| 14,960,531 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (continued) | |||||
| Cable & Satellite TV (8.5%) | |||||
| $ 825 | Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 04/29/19 @ 103.31) (1) | (B+, B2) | 02/15/23 | 6.625 | $ 845,625 |
| 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 | 1,236,875 |
| 550 | Altice France S.A., Rule 144A, Senior Secured Notes (Callable 05/01/21 @ 103.69) (1) | (B, B2) | 05/01/26 | 7.375 | 540,375 |
| 1,200 | Altice France S.A., Rule 144A, Senior Secured Notes (Callable 05/16/19 @ 103.13) (1) | (B, B2) | 05/15/24 | 6.250 | 1,213,500 |
| 1,850 | Block Communications, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/20 @ 103.44) (1) | (BB-, Ba3) | 02/15/25 | 6.875 | 1,926,312 |
| 685 | CSC Holdings LLC, Global Senior Unsecured Notes | (B, B3) | 06/01/24 | 5.250 | 696,987 |
| 850 | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 102.69) (1) | (BB, Ba3) | 02/01/28 | 5.375 | 854,250 |
| 594 | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 04/08/19 @ 104.03) (1) | (BB, Ba3) | 07/15/23 | 5.375 | 606,623 |
| 50 | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 04/15/22 @ 102.75) (1) | (BB, Ba3) | 04/15/27 | 5.500 | 51,183 |
| 500 | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 05/15/21 @ 102.75) (1) | (BB, Ba3) | 05/15/26 | 5.500 | 515,150 |
| 400 | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 10/15/20 @ 103.31) (1) | (BB, Ba3) | 10/15/25 | 6.625 | 425,000 |
| 335 | CSC Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/20 @ 105.44) (1) | (B, B3) | 10/15/25 | 10.875 | 387,595 |
| 2,350 | Midcontinent Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 04/29/19 @ 105.16) (1) | (B, B3) | 08/15/23 | 6.875 | 2,456,426 |
| 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 | 1,379,000 | |
| 500 | 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 | 657,619 | |
| 1,350 | Ziggo B.V., Rule 144A, Senior Secured Notes (Callable 01/15/22 @ 102.75) (1) | (B+, B1) | 01/15/27 | 5.500 | 1,336,500 |
| 15,129,020 | |||||
| Chemicals (7.1%) | |||||
| 1,700 | Alpha 2 B.V., 8.75% Cash, 9.50% PIK, Rule 144A, Senior Unsecured Notes (Callable 06/01/19 @ | ||||
| 102.00) (1),(3) | (CCC+, Caa1) | 06/01/23 | 8.750 | 1,661,750 | |
| 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 | 1,455,000 |
| 500 | GCP Applied Technologies, Inc. Rule 144A, Company Guaranteed Notes (Callable 04/15/21 @ | ||||
| 102.75) (1) | (BB, B1) | 04/15/26 | 5.500 | 511,250 | |
| 1,440 | Ingevity Corp., Rule 144A, Senior Unsecured Notes (Callable 02/01/21 @ 102.25) (1) | (NR, Ba3) | 02/01/26 | 4.500 | 1,411,675 |
| 400 | Neon Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/22 @ 105.06) (1) | (B, B3) | 04/01/26 | 10.125 | 409,000 |
| 1,000 | Nufarm Americas, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/30/21 @ 102.88) (1) | (BB-, B1) | 04/30/26 | 5.750 | 930,000 |
| 500 | PQ Corp., Rule 144A, Senior Secured Notes (Callable 05/15/19 @ 103.38) (1) | (BB-, B2) | 11/15/22 | 6.750 | 520,625 |
| 276 | Reichhold Industries, Inc., Rule 144A, Senior Secured Notes (1),(4),(5),(6),(7) | (NR, NR) | 05/01/19 | 9.000 | 3,730 |
| 575 | Starfruit U.S. Holdco LLC, Rule 144A, Senior Unsecured Notes (Callable 10/01/21 @ 104.00) (1),(8) | (B-, Caa1) | 10/01/26 | 8.000 | 580,750 |
| 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 | 903,708 |
| 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 | 951,250 | |
| 1,500 | Tronox, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/21 @ 103.25) (1) | (B-, B3) | 04/15/26 | 6.500 | 1,437,225 |
| 1,700 | Venator Materials LLC, Rule 144A, Company Guaranteed Notes (Callable 07/15/20 @ 104.31) (1),(8) | (BB-, B2) | 07/15/25 | 5.750 | 1,496,000 |
| 325 | Versum Materials, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/30/21 @ 102.75) (1) | (BB+, Ba3) | 09/30/24 | 5.500 | 342,469 |
| 12,614,432 | |||||
| Consumer/Commercial/Lease Financing (0.2%) | |||||
| 375 | Lincoln Finance Ltd., Rule 144A, Senior Secured Notes (Callable 04/15/2019 @ 101.84) (1) | (BB+, B1) | 04/15/21 | 7.375 | 382,500 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (continued) | |||||
| Diversified Capital Goods (1.7%) | |||||
| $ 900 | Anixter, Inc., Global Company Guaranteed Notes | (BB, Ba3) | 03/01/23 | 5.500 | $ 936,000 |
| 500 | Anixter, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/25 @ 100.00) (1) | (BB, Ba3) | 12/01/25 | 6.000 | 526,250 |
| 470 | EnerSys, Rule 144A, Company Guaranteed Notes (Callable 01/30/23 @ 100.00) (1) | (BB+, Ba2) | 04/30/23 | 5.000 | 470,000 |
| 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 | 1,035,000 |
| 2,967,250 | |||||
| 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 | 1,741,250 |
| 1,200 | Sensata Technologies B.V., Rule 144A, Company Guaranteed Notes (1) | (BB+, Ba3) | 10/01/25 | 5.000 | 1,236,000 |
| 2,977,250 | |||||
| Energy - Exploration & Production (1.7%) | |||||
| 525 | Aker BP ASA, Rule 144A, Senior Unsecured Notes (Callable 03/31/21 @ 102.94) (1) | (BB+, Ba2) | 03/31/25 | 5.875 | 551,906 |
| 932 | Talos Production Finance, Inc., Global Secured Notes (Callable 05/10/19 @ 105.50) (8) | (NR, NR) | 04/03/22 | 11.000 | 984,673 |
| 1,500 | W&T Offshore, Inc., Rule 144A, Secured Notes (Callable 11/01/20 @ 104.88) (1) | (B, B3) | 11/01/23 | 9.750 | 1,501,875 |
| 3,038,454 | |||||
| Food - Wholesale (0.6%) | |||||
| 1,160 | Clearwater Seafoods, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/01/20 @ 105.16) (1) | (B+, B3) | 05/01/25 | 6.875 | 1,152,750 |
| Gaming (3.5%) | |||||
| 500 | Boyd Gaming Corp., Global Company Guaranteed Notes (Callable 08/15/21 @ 103.00) | (B, B3) | 08/15/26 | 6.000 | 514,375 |
| 1,750 | Churchill Downs, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/23 @ 102.38) (1) | (B+, Ba3) | 01/15/28 | 4.750 | 1,673,437 |
| 1,683 | Gateway Casinos & Entertainment Ltd., Rule 144A, Secured Notes (Callable 03/01/20 @ | ||||
| 104.13) (1) | (CCC+, Caa1) | 03/01/24 | 8.250 | 1,765,046 | |
| 1,469 | Jacobs Entertainment, Inc., Rule 144A, Secured Notes (Callable 02/01/20 @ 105.91) (1) | (B, B2) | 02/01/24 | 7.875 | 1,542,450 |
| 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 | 777,188 | |
| 6,272,496 | |||||
| Gas Distribution (2.5%) | |||||
| 1,450 | CNX Midstream Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 03/15/21 @ 104.88) (1) | (BB-, B3) | 03/15/26 | 6.500 | 1,410,125 |
| 750 | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 02/15/21 @ 104.69) | (B+, B1) | 05/15/26 | 6.250 | 712,500 |
| 164 | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 04/29/2019 @ | ||||
| 104.50) | (B+, B1) | 05/15/23 | 6.000 | 165,640 | |
| 750 | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 06/15/19 @ 102.81) | (B+, B1) | 06/15/24 | 5.625 | 723,750 |
| 425 | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 10/01/20 @ 104.88) | (B+, B1) | 10/01/25 | 6.500 | 415,438 |
| 1,000 | Holly Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/19 @ 104.50) (1) | (BB, B2) | 08/01/24 | 6.000 | 1,037,000 |
| 4,464,453 | |||||
| Health Facilities (1.4%) | |||||
| 750 | HCA, Inc., Company Guaranteed Notes (Callable 03/01/28 @ 100.00) | (BB-, Ba2) | 09/01/28 | 5.625 | 795,000 |
| 1,263 | Sabra Health Care LP, Global Company Guaranteed Notes (Callable 05/15/26 @ 100.00) | (BBB-, Ba1) | 08/15/26 | 5.125 | 1,237,566 |
| 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 | |
| 2,541,316 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (continued) | |||||
| Health Services (2.6%) | |||||
| $ 1,625 | AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/19 @ 103.84) (1) | (BB-, Ba2) | 10/01/24 | 5.125 | $ 1,606,719 |
| 825 | CareTrust Capital Corp., Company Guaranteed Notes (Callable 06/01/20 @ 103.94) | (BB, Ba3) | 06/01/25 | 5.250 | 830,189 |
| 1,200 | Sotera Health Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 04/29/19 @ 104.88) (1) | (CCC+, Caa1) | 05/15/23 | 6.500 | 1,212,000 |
| 1,075 | Sotera Health Topco, Inc., 8.125% Cash, 8.875% PIK, Rule 144A, Senior Unsecured | ||||
| Notes (Callable 04/29/19 @ 101.00) (1),(3) | (CCC+, Caa2) | 11/01/21 | 8.125 | 1,064,250 | |
| 4,713,158 | |||||
| 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 | 2,091,243 |
| Insurance Brokerage (3.3%) | |||||
| 100 | Acrisure Finance, Inc., Rule 144A, Senior Secured Notes (Callable 02/15/21 @ 104.06) (1),(8) | (B, B2) | 02/15/24 | 8.125 | 103,804 |
| 2,000 | Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/20 @ 103.50) (1) | (CCC+, Caa2) | 11/15/25 | 7.000 | 1,810,000 |
| 710 | Alliant Holdings Co-Issuer, Rule 144A, Senior Unsecured | ||||
| Notes (Callable 04/08/19 @ 104.13) (1) | (CCC+, Caa2) | 08/01/23 | 8.250 | 731,300 | |
| 855 | HUB International Ltd., Rule 144A, Senior Unsecured Notes (Callable 05/01/21 @ 103.50) (1) | (CCC+, Caa2) | 05/01/26 | 7.000 | 848,587 |
| 2,560 | NFP Corp., Rule 144A, Senior Unsecured Notes (Callable 07/15/20 @ 103.44) (1) | (CCC+, Caa2) | 07/15/25 | 6.875 | 2,457,600 |
| 5,951,291 | |||||
| Investments & Misc. Financial Services (2.6%) | |||||
| 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 | 2,526,547 | |
| 2,125 | Orchestra Co-Issuer, Inc., Rule 144A, Secured | ||||
| Notes (Callable 06/15/19 @ 103.38) (1) | (B-, B1) | 06/15/22 | 6.750 | 2,196,889 | |
| 4,723,436 | |||||
| Machinery (1.9%) | |||||
| 1,000 | Itron, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/21 @ 102.50) (1) | (BB-, B2) | 01/15/26 | 5.000 | 986,250 |
| 1,600 | Rexnord LLC, Rule 144A, Company Guaranteed Notes (Callable 12/15/20 @ 102.44) (1) | (B+, B1) | 12/15/25 | 4.875 | 1,588,000 |
| 775 | Terex Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/20 @ 104.22) (1) | (BB, B2) | 02/01/25 | 5.625 | 772,094 |
| 3,346,344 | |||||
| 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 | 508,750 |
| Media Content (1.6%) | |||||
| 1,550 | EMI Music Publishing Group North America Holdings, Inc., Rule 144A, Company Guaranteed | ||||
| Notes (Callable 06/15/19 @ 105.72) (1) | (NR, B3) | 06/15/24 | 7.625 | 1,646,875 | |
| 1,200 | Netflix, Inc., Rule 144A, Senior Unsecured | ||||
| Notes (1) | (BB-, Ba3) | 11/15/28 | 5.875 | 1,270,500 | |
| 2,917,375 | |||||
| Metals & Mining - Excluding Steel (4.8%) | |||||
| 1,550 | Cleveland-Cliffs, Inc., Rule 144A, Senior Secured Notes (Callable 01/15/21 @ 102.44) (1) | (BB-, Ba2) | 01/15/24 | 4.875 | 1,534,500 |
| 2,000 | Eldorado Gold Corp., Rule 144A, Company Guaranteed Notes (Callable 04/29/19 @ 100.00) (1) | (B, B2) | 12/15/20 | 6.125 | 1,962,400 |
| 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 | 1,396,875 | |
| 1,307 | Kaiser Aluminum Corp., Global Company Guaranteed Notes (Callable 05/15/19 @ 104.41) | (BB+, Ba3) | 05/15/24 | 5.875 | 1,346,210 |
| 2,550 | Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 06/15/19 @ 104.38) (1),(5) | (B, B3) | 06/15/22 | 8.750 | 2,358,750 |
| 8,598,735 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (continued) | |||||
| Oil Field Equipment & Services (3.6%) | |||||
| $ 1,575 | FTS International, Inc., Global Senior Secured Notes (Callable 04/29/19 @ 103.13) | (B, B3) | 05/01/22 | 6.250 | $ 1,531,687 |
| 1,000 | KCA Deutag UK Finance PLC, Rule 144A, Senior Secured Notes (Callable 04/01/20 @ 109.88) (1) | (B-, B3) | 04/01/22 | 9.875 | 865,000 |
| 200 | KCA Deutag UK Finance PLC, Rule 144A, Senior Secured Notes (Callable 04/29/19 @ 101.81) (1),(8) | (B-, B3) | 05/15/21 | 7.250 | 173,000 |
| 325 | Nine Energy Service, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/20 @ 104.38) (1) | (B, B3) | 11/01/23 | 8.750 | 337,188 |
| 845 | Nor Offshore SPV Ltd., PIK, Senior Secured Notes (Callable 04/29/19 @ 100.00) (3) | (NR, NR) | 02/04/20 | 8.400 | 304,311 |
| 1,260 | Pioneer Energy Services Corp., Global Company Guaranteed Notes (Callable 04/29/19 @ | ||||
| 101.53) | (CCC, Caa2) | 03/15/22 | 6.125 | 793,800 | |
| 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 | 2,387,500 | |
| 6,392,486 | |||||
| Oil Refining & Marketing (1.0%) | |||||
| 500 | CITGO Petroleum Corp., Rule 144A, Senior Secured Notes (Callable 04/29/19 @ 103.13) (1) | (B+, B3) | 08/15/22 | 6.250 | 498,750 |
| 1,250 | Coffeyville Finance, Inc., Global Company Guaranteed Notes (Callable 04/29/19 @ | ||||
| 102.17) | (BB-, B1) | 11/01/22 | 6.500 | 1,268,750 | |
| 1,767,500 | |||||
| Packaging (3.4%) | |||||
| 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 | 1,052,625 | |
| 1,000 | Crown Americas Capital Corp. VI, Global Company Guaranteed Notes (Callable 02/01/21 @ | ||||
| 103.56) | (BB-, Ba3) | 02/01/26 | 4.750 | 1,007,300 | |
| 2,000 | Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes (Callable 01/15/20 @ 103.44) (1) | (CCC+, Caa1) | 01/15/25 | 6.875 | 1,920,000 |
| 2,050 | TriMas Corp., Rule 144A, Company Guaranteed Notes (Callable 10/15/20 @ 102.44) (1) | (BB-, Ba3) | 10/15/25 | 4.875 | 2,023,094 |
| 6,003,019 | |||||
| Personal & Household Products (1.6%) | |||||
| 1,350 | High Ridge Brands Co., Rule 144A, Company Guaranteed Notes (Callable 03/15/20 @ 104.44) (1) | (CC, Caa3) | 03/15/25 | 8.875 | 546,750 |
| 1,124 | Mattel, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/31/20 @ 105.06) (1) | (BB-, B1) | 12/31/25 | 6.750 | 1,108,545 |
| 1,150 | Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/29/19 @ 104.78) (1),(8) | (B, Caa1) | 03/01/24 | 6.375 | 1,175,875 |
| 2,831,170 | |||||
| Pharmaceuticals (3.8%) | |||||
| 500 | Bausch Health Americas, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/22 @ | ||||
| 104.63) (1) | (B-, B3) | 04/01/26 | 9.250 | 548,400 | |
| 1,525 | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 04/29/19 @ 102.94) (1) | (B-, B3) | 05/15/23 | 5.875 | 1,549,781 |
| 250 | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/21 @ 104.50) (1) | (B-, B3) | 12/15/25 | 9.000 | 272,513 |
| 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 | 1,378,650 |
| 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 | 995,000 | |
| 410 | Endo Finance LLC, Rule 144A, Company Guaranteed Notes (Callable 04/29/19 @ 104.50) (1) | (CCC+, Caa1) | 07/15/23 | 6.000 | 317,750 |
| 650 | Endo Finance LLC, Rule 144A, Senior Secured Notes (Callable 04/15/20 @ 102.94) (1),(8) | (B+, Ba3) | 10/15/24 | 5.875 | 641,062 |
| 1,682 | Owens & Minor, Inc., Global Senior Secured Notes (Callable 09/15/24 @ | ||||
| 100.00) | (B, B2) | 12/15/24 | 4.375 | 1,093,300 | |
| 6,796,456 | |||||
| Printing & Publishing (0.6%) | |||||
| 1,000 | Multi-Color Corp., Rule 144A, Company Guaranteed Notes (Callable 11/01/20 @ 102.44) (1),(8) | (B, B2) | 11/01/25 | 4.875 | 1,035,000 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (continued) | |||||
| Real Estate Development & Management (0.3%) | |||||
| $ 600 | Newmark Group, Inc., Global Senior Unsecured Notes (Callable 10/15/23 @ 100.00) | (BB+, NR) | 11/15/23 | 6.125 | $ 618,941 |
| Real Estate Investment Trusts (1.4%) | |||||
| 750 | iStar, Inc., Senior Unsecured Notes (Callable 04/29/19 @ 103.00) | (BB-, Ba3) | 04/01/22 | 6.000 | 754,687 |
| 600 | iStar, Inc., Senior Unsecured Notes (Callable 04/29/19 @ 103.25) | (BB-, Ba3) | 07/01/21 | 6.500 | 612,000 |
| 1,000 | iStar, Inc., Senior Unsecured Notes (Callable 09/15/19 @ 102.63) | (BB-, Ba3) | 09/15/22 | 5.250 | 983,750 |
| 165 | Starwood Property Trust, Inc., Global Senior Unsecured Notes (Callable 09/15/21 @ | ||||
| 100.00) | (BB-, Ba3) | 12/15/21 | 5.000 | 169,744 | |
| 2,520,181 | |||||
| Recreation & Travel (3.2%) | |||||
| 1,250 | Boyne U.S.A., Inc., Rule 144A, Secured Notes (Callable 05/01/21 @ 103.63) (1) | (B, B2) | 05/01/25 | 7.250 | 1,343,750 |
| 1,035 | Canadas Wonderland Co., Global Company Guaranteed Notes (Callable 04/15/22 @ | ||||
| 102.69) | (BB-, B1) | 04/15/27 | 5.375 | 1,044,056 | |
| 750 | Merlin Entertainments PLC, Rule 144A, Senior Unsecured Notes (Callable 03/17/26 @ 100.00) (1) | (BB, Ba2) | 06/15/26 | 5.750 | 776,250 |
| 650 | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/22 @ | ||||
| 102.75) (1) | (BB-, B2) | 04/15/27 | 5.500 | 644,345 | |
| 1,150 | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 07/31/19 @ | ||||
| 103.66) (1) | (BB-, B2) | 07/31/24 | 4.875 | 1,139,213 | |
| 675 | Speedway Motorsports, Inc., Global Company Guaranteed Notes (Callable 04/29/19 @ | ||||
| 102.56) | (BB+, Ba2) | 02/01/23 | 5.125 | 680,906 | |
| 5,628,520 | |||||
| Restaurants (2.3%) | |||||
| 2,100 | Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/15/19 @ 103.38) (1) | (CCC+, B3) | 10/15/24 | 6.750 | 2,115,750 |
| 2,075 | New Red Finance, Inc., Rule 144A, Secured Notes (Callable 10/15/20 @ 102.50) (1) | (B, B3) | 10/15/25 | 5.000 | 2,054,873 |
| 4,170,623 | |||||
| Software - Services (5.8%) | |||||
| 1,000 | CDK Global, Inc., Global Senior Unsecured Notes (Callable 06/01/22 @ 102.44) | (BB+, Ba1) | 06/01/27 | 4.875 | 1,003,750 |
| 937 | Epicor Software Corp., Rule 144A, Secured Notes (Callable 04/29/19 @ 102.00), LIBOR 3M + | ||||
| 7.250% (1),(10) | (NR, NR) | 06/30/23 | 9.840 | 932,839 | |
| 900 | First Data Corp., Rule 144A, Secured Notes (Callable 04/08/19 @ 102.88) (1) | (B+, B2) | 01/15/24 | 5.750 | 928,800 |
| 2,651 | GTT Communications, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/31/19 @ 105.91) (1),(8) | (CCC, Caa1) | 12/31/24 | 7.875 | 2,332,880 |
| 950 | Infor Software Parent, Inc., 7.125% Cash, 7.875% PIK, Rule 144A, Senior Unsecured | ||||
| Notes (Callable 04/29/19 @ 101.78) (1),(3) | (CCC, Caa2) | 05/01/21 | 7.125 | 952,660 | |
| 900 | Infor U.S., Inc., Company Guaranteed Notes (Callable 04/12/19 @ 102.88) (9) | (CCC+, Caa1) | 05/15/22 | 5.750 | 1,035,063 |
| 2,175 | Solera Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 04/29/19 @ 107.88) (1) | (CCC+, Caa1) | 03/01/24 | 10.500 | 2,368,401 |
| 750 | SS&C Technologies, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/30/22 @ | ||||
| 104.13) (1) | (B+, B2) | 09/30/27 | 5.500 | 758,906 | |
| 10,313,299 | |||||
| Specialty Retail (2.5%) | |||||
| 1,000 | Lithia Motors, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/01/20 @ 103.94) (1) | (BB, Ba2) | 08/01/25 | 5.250 | 1,008,750 |
| 1,000 | Penske Automotive Group, Inc., Company Guaranteed Notes (Callable 05/15/21 @ | ||||
| 102.75) | (B+, Ba3) | 05/15/26 | 5.500 | 988,750 | |
| 750 | Penske Automotive Group, Inc., Company Guaranteed Notes (Callable 12/01/19 @ | ||||
| 102.69) | (B+, Ba3) | 12/01/24 | 5.375 | 750,000 | |
| 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 | 1,633,500 |
| 4,381,000 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (continued) | |||||
| Steel Producers/Products (1.1%) | |||||
| $ 600 | Commercial Metals Co., Global Senior Unsecured Notes (Callable 04/15/21 @ 102.88) | (BB+, Ba2) | 04/15/26 | 5.750 | $ 600,000 |
| 400 | Commercial Metals Co., Senior Unsecured Notes (Callable 07/15/22 @ 102.69) | (BB+, Ba2) | 07/15/27 | 5.375 | 386,000 |
| 1,000 | Zekelman Industries, Inc., Rule 144A, Senior Secured Notes (Callable 06/15/19 @ 104.94) (1) | (B, B3) | 06/15/23 | 9.875 | 1,065,625 |
| 2,051,625 | |||||
| Support - Services (6.6%) | |||||
| 575 | CoreCivic, Inc., Company Guaranteed Notes (Callable 07/15/27 @ 100.00) | (BB, Ba1) | 10/15/27 | 4.750 | 491,269 |
| 1,200 | Gartner, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/20 @ 103.84) (1) | (BB-, B1) | 04/01/25 | 5.125 | 1,215,840 |
| 1,050 | H&E Equipment Services, Inc., Global Company Guaranteed Notes (Callable 09/01/20 @ | ||||
| 104.22) | (BB-, B2) | 09/01/25 | 5.625 | 1,051,312 | |
| 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 | 1,457,831 |
| 663 | Sabre GLBL, Inc. Rule 144A, Senior Secured Notes (Callable 04/29/19 @ 103.94) (1) | (BB, Ba2) | 11/15/23 | 5.250 | 679,575 |
| 2,025 | Sothebys, Rule 144A, Company Guaranteed Notes (Callable 12/15/20 @ 103.66) (1) | (BB-, Ba3) | 12/15/25 | 4.875 | 1,976,906 |
| 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 | 1,125,900 | |
| 1,100 | United Rentals North America, Inc., Company Guaranteed Notes (Callable 01/15/23 @ | ||||
| 102.44) | (BB-, Ba3) | 01/15/28 | 4.875 | 1,072,720 | |
| 1,900 | WeWork Cos., Inc., Rule 144A, Company Guaranteed Notes (1) | (B+, NR) | 05/01/25 | 7.875 | 1,757,500 |
| 900 | Williams Scotsman International, Inc., Rule 144A, Senior Secured Notes (Callable 08/15/20 @ | ||||
| 103.44) (1) | (B, B3) | 08/15/23 | 6.875 | 902,250 | |
| 11,731,103 | |||||
| Tech Hardware & Equipment (1.5%) | |||||
| 150 | CommScope Finance LLC, Rule 144A, Senior Secured Notes (Callable 03/01/22 @ 103.00) (1) | (BB, Ba1) | 03/01/26 | 6.000 | 155,531 |
| 1,225 | CommScope Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 03/01/22 @ 104.13) (1) | (B+, B1) | 03/01/27 | 8.250 | 1,274,000 |
| 525 | CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 03/15/22 @ 102.50) (1) | (BB-, B1) | 03/15/27 | 5.000 | 466,819 |
| 875 | CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 06/15/20 @ 103.00) (1) | (BB-, B1) | 06/15/25 | 6.000 | 853,956 |
| 2,750,306 | |||||
| Telecom - Wireless (0.5%) | |||||
| 950 | T-Mobile U.S.A., Inc., Company Guaranteed | ||||
| Notes (Callable 02/01/23 @ 102.38) | (BB+, Ba2) | 02/01/28 | 4.750 | 945,250 | |
| Telecom - Wireline Integrated & Services (1.1%) | |||||
| 350 | Equinix, Inc., Senior Unsecured Notes (Callable 05/15/22 @ 102.69) | (BBB-, Ba2) | 05/15/27 | 5.375 | 368,480 |
| 1,650 | QTS Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 11/15/20 @ 103.56) (1) | (BB, B1) | 11/15/25 | 4.750 | 1,604,625 |
| 1,973,105 | |||||
| Theaters & Entertainment (3.2%) | |||||
| 600 | AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes (Callable 04/22/19 @ | ||||
| 101.47) (8) | (CCC+, B3) | 02/15/22 | 5.875 | 611,250 | |
| 850 | AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes (Callable 05/15/22 @ | ||||
| 103.06) (8) | (CCC+, B3) | 05/15/27 | 6.125 | 772,437 | |
| 500 | AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes (Callable 11/15/21 @ | ||||
| 102.94) | (CCC+, B3) | 11/15/26 | 5.875 | 452,500 | |
| 750 | Carmike Cinemas, Inc., Rule 144A, Secured Notes (Callable 04/25/19 @ 104.50) (1) | (BB-, Ba2) | 06/15/23 | 6.000 | 788,475 |
| 1,250 | Cinemark U.S.A., Inc., Global Company Guaranteed Notes (Callable 04/29/19 @ 102.44) | (BB, B2) | 06/01/23 | 4.875 | 1,274,125 |
| 700 | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/15/21 @ | ||||
| 104.22) (1) | (B+, B1) | 03/15/26 | 5.625 | 724,500 | |
| 1,025 | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/19 @ | ||||
| 103.66) (1) | (B+, B1) | 11/01/24 | 4.875 | 1,033,969 | |
| 5,657,256 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| CORPORATE BONDS (continued) | |||||
| Transport Infrastructure/Services (0.7%) | |||||
| $ 1,750 | Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes (Callable 04/29/19 @ | ||||
| 104.22) (1) | (B, Caa1) | 08/15/22 | 11.250 | $ 1,170,313 | |
| TOTAL CORPORATE BONDS (Cost $193,196,613) | 190,662,675 | ||||
| BANK LOANS (22.6%) | |||||
| Aeros pace & Defense (0.5%) | |||||
| 871 | Sequa Mezzanine Holdings LLC, LIBOR 1M + | ||||
| 5.000% (10) | (CCC+, B3) | 11/28/21 | 7.776 | 854,679 | |
| Auto Parts & Equipment (0.8%) | |||||
| 744 | Dayco Products LLC, LIBOR 3M + | ||||
| 4.250% (6),(10) | (B, B2) | 05/19/23 | 6.879 | 729,512 | |
| 651 | U.S. Farathane LLC, LIBOR 3M + | ||||
| 3.500% (6),(10) | (B+, B2) | 12/23/21 | 6.101 | 633,559 | |
| 1,363,071 | |||||
| Building Materials (1.9%) | |||||
| 1,000 | Airxcel, Inc., LIBOR 1M + | ||||
| 8.750% (5),(6),(10) | (CCC+, Caa2) | 04/27/26 | 11.249 | 890,000 | |
| 1,173 | Fastener Acquisition, Inc., LIBOR 1M + | ||||
| 8.750% (5),(6),(10) | (CCC+, Caa2) | 03/30/26 | 11.249 | 1,102,159 | |
| 1,496 | LBM Borrower LLC, LIBOR 1M + | ||||
| 3.750% (10) | (B+, B3) | 08/20/22 | 6.249 | 1,441,474 | |
| 3,433,633 | |||||
| Chemicals (4.2%) | |||||
| 1,000 | Archroma Finance Sarl, LIBOR 3M + | ||||
| 8.250% (5),(6),(10) | (NR, Caa1) | 08/11/25 | 11.049 | 965,000 | |
| 616 | ASP Chromaflo Intermediate Holdings, Inc., LIBOR 1M + 8.000% (5),(6),(10) | (CCC, Caa2) | 11/18/24 | 10.499 | 616,249 |
| 250 | Houghton International, Inc., LIBOR 1M + | ||||
| 8.500% (6),(10) | (B-, Caa1) | 12/21/20 | 10.999 | 250,000 | |
| 1,596 | Polar U.S. Borrower LLC, LIBOR 3M + | ||||
| 4.750% (10) | (B, B2) | 10/15/25 | 9.198 | 1,597,982 | |
| 987 | UTEX Industries, Inc., LIBOR 1M + | ||||
| 4.000% (10) | (CCC+, B3) | 05/21/21 | 6.499 | 950,960 | |
| 1,750 | Vantage Specialty Chemicals, Inc., LIBOR 3M + 8.250% (5),(10) | (CCC, Caa2) | 10/27/25 | 10.851 | 1,707,711 |
| 1,538 | Zep, Inc., LIBOR 3M + 4.000% (10) | (CCC+, B2) | 08/12/24 | 6.601 | 1,363,945 |
| 7,451,847 | |||||
| Diversified Capital Goods (1.1%) | |||||
| 1,000 | Cortes NP Acquisition Corp., LIBOR 3M + | ||||
| 4.000% (10) | (B, B1) | 11/30/23 | 6.629 | 942,915 | |
| 1,005 | Dynacast International LLC, LIBOR 3M + | ||||
| 8.500% (5),(6),(10) | (B-, Caa2) | 01/30/23 | 11.101 | 974,850 | |
| 1,917,765 | |||||
| Electronics (1.1%) | |||||
| 500 | CPI Acquisition, Inc., LIBOR 3M + | ||||
| 4.500% (10) | (CCC+, Caa1) | 08/17/22 | 7.349 | 337,250 | |
| 750 | CPI International, Inc., LIBOR 1M + | ||||
| 7.250% (6),(10) | (CCC+, Caa2) | 07/28/25 | 9.749 | 742,500 | |
| 982 | Oberthur Technologies S.A., LIBOR 3M + | ||||
| 3.750% (10) | (B-, B2) | 01/10/24 | 6.351 | 964,561 | |
| 2,044,311 | |||||
| Food - Wholesale (0.4%) | |||||
| 750 | United Natural Foods, Inc., LIBOR 1M + | ||||
| 4.250% (10) | (B+, B2) | 10/22/25 | 6.749 | 648,000 | |
| Health Facilities (0.8%) | |||||
| 1,093 | Prospect Medical Holdings, Inc., LIBOR 1M + | ||||
| 5.500% (10) | (B, B3) | 02/22/24 | 8.000 | 998,725 | |
| 494 | Western Dental Services, Inc., LIBOR 1M + | ||||
| 5.250% (6),(10) | (B-, B3) | 06/30/23 | 7.749 | 485,100 | |
| 1,483,825 | |||||
| Health Services (0.7%) | |||||
| 1,200 | VVC Holding Corp., LIBOR 3M + | ||||
| 4.500% (10) | (B, B2) | 02/11/26 | 7.197 | 1,186,500 | |
| Insurance Brokerage (1.1%) | |||||
| 1,960 | Acrisure LLC, LIBOR 3M + | ||||
| 4.250% (10) | (B, B2) | 11/22/23 | 6.879 | 1,951,163 | |
| Investments & Misc. Financial Services (0.8%) | |||||
| 859 | Ditech Holding Corp., Prime + | ||||
| 7.000% (4),(10) | (D, Ca) | 06/30/22 | 12.500 | 592,075 | |
| 881 | Ocwen Loan Servicing LLC, LIBOR 1M + | ||||
| 5.000% (10) | (B+, B2) | 12/07/20 | 7.486 | 880,126 | |
| 1,472,201 | |||||
| Machinery (1.4%) | |||||
| 798 | LTI Holdings, Inc., LIBOR 1M + | ||||
| 6.750% (10) | (CCC+, Caa2) | 09/06/26 | 9.249 | 760,849 | |
| 650 | MW Industries, Inc., LIBOR 3M + | ||||
| 8.000% (5),(6),(10) | (CCC, Caa2) | 09/29/25 | 10.601 | 633,750 | |
| 1,125 | WireCo WorldGroup, Inc., LIBOR 1M + | ||||
| 9.000% (6),(10) | (B-, Caa2) | 09/30/24 | 11.499 | 1,122,188 | |
| 2,516,787 |
| Par (000) | Ratings (S&P/Moodys) | Value | |||
|---|---|---|---|---|---|
| BANK LOANS (continued) | |||||
| Media Content (0.3%) | |||||
| $ 500 | DLG Acquisitions Ltd., EURIBOR 6M + | ||||
| 7.250% (9),(10) | (CCC+, Caa2) | 06/30/22 | 8.250 | $ 564,092 | |
| Medical Products (0.5%) | |||||
| 889 | ABB Concise Optical Group LLC, LIBOR 1M + 5.000% (6),(10) | (B-, B3) | 06/15/23 | 7.486 | 848,620 |
| Personal & Household Products (2.3%) | |||||
| 1,000 | ABG Intermediate Holdings 2 LLC, LIBOR 1M + 7.750% (6),(10) | (CCC+, Caa1) | 09/29/25 | 10.249 | 990,000 |
| 591 | Comfort Holding LLC, LIBOR 1M + | ||||
| 4.750% (10) | (CCC+, Caa1) | 02/05/24 | 7.249 | 589,620 | |
| 1,350 | Comfort Holding LLC, LIBOR 1M + | ||||
| 10.000% (5),(10) | (CCC-, Caa3) | 02/03/25 | 12.499 | 1,343,250 | |
| 1,250 | Serta Simmons Bedding LLC, LIBOR 1M + | ||||
| 8.000% (10) | (CCC-, Caa2) | 11/08/24 | 10.489 | 639,063 | |
| 492 | TricorBraun Holdings, Inc., LIBOR 3M + | ||||
| 3.750% (10) | (B-, B2) | 11/30/23 | 6.352 | 491,567 | |
| 4,053,500 | |||||
| Recreation & Travel (0.3%) | |||||
| 71 | Bulldog Purchaser, | ||||
| Inc. (10),(11),(12) | (CCC+, Caa2) | 09/04/26 | 3.875 | 70,319 | |
| 468 | Bulldog Purchaser, Inc., LIBOR 1M + | ||||
| 7.750% (10) | (CCC+, Caa2) | 09/04/26 | 10.249 | 464,104 | |
| 534,423 | |||||
| Software - Services (1.5%) | |||||
| 623 | Almonde, Inc., LIBOR 3M + | ||||
| 7.250% (10) | (CCC, Caa2) | 06/13/25 | 9.851 | 602,210 | |
| 1,053 | Flexera Software LLC, LIBOR 1M + | ||||
| 7.250% (10) | (CCC+, Caa1) | 02/26/26 | 9.750 | 1,046,237 | |
| 322 | LDiscovery LLC, LIBOR 2M + | ||||
| 5.875% (5),(10) | (B-, B3) | 12/09/22 | 8.461 | 280,500 | |
| 750 | TigerLuxOne Sarl, LIBOR 3M + | ||||
| 8.250% (10) | (CCC+, Caa1) | 02/22/25 | 10.851 | 750,937 | |
| 2,679,884 | |||||
| Specialty Retail (1.2%) | |||||
| 1,250 | Boing U.S. Holdco, Inc., LIBOR 3M + | ||||
| 7.500% (6),(10) | (CCC+, Caa1) | 10/03/25 | 10.239 | 1,231,250 | |
| 1,000 | Sally Holdings LLC | (BB+, Ba1) | 07/05/24 | 4.500 | 971,875 |
| 2,203,125 | |||||
| Support - Services (0.7%) | |||||
| 1,684 | Sprint Industrial Holdings LLC, LIBOR 3M + 12.250% (5),(6),(10) | (C, Caa3) | 11/14/19 | 13.500 | 580,923 |
| 650 | USS Ultimate Holdings, Inc., LIBOR 1M + | ||||
| 7.750% (10) | (CCC+, Caa2) | 08/25/25 | 10.249 | 621,832 | |
| 1,202,755 | |||||
| Telecom - Wireline Integrated & Services (0.2%) | |||||
| 375 | TVC Albany, Inc., LIBOR 1M + | ||||
| 7.500% (5),(10) | (CCC, Caa2) | 07/23/26 | 10.000 | 367,500 | |
| Theaters & Entertainment (0.8%) | |||||
| 1,330 | Metro-Goldwyn-Mayer, Inc., LIBOR 1M + | ||||
| 4.500% (10) | (B-, B2) | 07/03/26 | 7.000 | 1,274,856 | |
| 171 | NEG Holdings LLC, LIBOR 3M + | ||||
| 8.000% (5),(6),(7),(10) | (B-, B3) | 10/17/22 | 10.601 | 160,811 | |
| 1,435,667 | |||||
| TOTAL BANK LOANS (Cost $42,381,514) | 40,213,348 | ||||
| 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 | 7.511 | 985,241 |
| 1,000 | Symphony Credit Opportunities Fund, Ltd., 2015-2A, Rule 144A, LIBOR 3M + 3.060% (1),(10) | (NR, Baa3) | 07/15/28 | 5.847 | 1,002,661 |
| TOTAL ASSET BACKED SECURITIES (Cost $1,927,932) | 1,987,902 | ||||
| Number of Shares | |||||
| COMMON STOCKS (1.6%) | |||||
| Auto Parts & Equipment (0.6%) | |||||
| 46,071 | UCI International, | ||||
| Inc. (5),(6),(7),(13) | 1,036,597 | ||||
| Building & Construction (0.0%) | |||||
| 5 | White Forest Resources, | ||||
| Inc. (5),(6),(7),(13) | 6 |
| Number of Shares | Value | ||
|---|---|---|---|
| COMMON STOCKS (continued) | |||
| Building Materials (0.0%) | |||
| 372 | Dayton Superior | ||
| Corp. (5),(6),(7),(13) | $ | ||
| Chemicals (0.1%) | |||
| 2,794 | Project Investor Holdings | ||
| LLC (5),(6),(7),(13) | 18,776 | ||
| 46,574 | Proppants Holdings | ||
| LLC (5),(6),(7),(13) | 186,296 | ||
| 205,072 | |||
| Energy - Exploration & Production (0.8%) | |||
| 347,803 | Independence Contract Drilling, | ||
| Inc. (13) | 732,195 | ||
| 26,788 | Talos Energy, Inc. (13) | 711,489 | |
| 1,443,684 | |||
| Support - Services (0.1%) | |||
| 800 | LTR Holdings LLC (5),(6),(7),(13) | 198,360 | |
| 433 | Sprint Industrial Holdings LLC, | ||
| Class G (5),(6),(7),(13) | 4 | ||
| 39 | Sprint Industrial Holdings LLC, | ||
| Class H (5),(6),(7),(13) | 1 | ||
| 96 | Sprint Industrial Holdings LLC, | ||
| Class I (5),(6),(7),(13) | 1 | ||
| 198,366 | |||
| Theaters & Entertainment (0.0%) | |||
| 20 | NEG Holdings LLC, Litigation Trust | ||
| Units (5),(6),(7),(13) | 20 | ||
| TOTAL COMMON STOCKS (Cost $3,542,190) | 2,883,745 | ||
| PREFERRED STOCK (0.0%) | |||
| Building Materials (0.0%) | |||
| 413 | Dayton Superior Corp. (5),(6),(7),(13) (Cost $156,000) | | |
| WARRANT (0.0%) | |||
| Chemicals (0.0%) | |||
| 11,643 | Project Investor Holdings LLC, expires | ||
| 02/20/2022 (5),(6),(7),(13) (Cost $6,054) | 26,430 | ||
| SHORT-TERM INVESTMENT (4.0%) | |||
| 7,043,925 | State Street Navigator Securities Lending Government Money Market Portfolio, 2.39% (14) (Cost $7,043,925) | 7,043,925 | |
| TOTAL INVESTMENTS AT VALUE (136.2%) (Cost $248,254,228) | 242,818,025 | ||
| LIABILITIES IN EXCESS OF OTHER ASSETS (-36.2%) | (64,498,188 | ) | |
| NET ASSETS (100.0%) | $ 178,319,837 |
INVESTMENT ABBREVIATIONS
1M = 1 Month
2M = 2 Month
3M = 3 Month
6M = 6 Month
EURIBOR = Euro Interbank Offered Rate
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 Moodys Investors Service, Inc. (Moodys) are unaudited.
(1) Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2019, these securities amounted to a value of $160,117,361 or 89.8% of net assets.
(2) This security is denominated in British Pound.
(3) PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal.
(4) Bond is currently in default.
(5) Illiquid security (unaudited).
(6) Security is valued using significant unobservable inputs.
(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 or portion thereof is out on loan.
(9) This security is denominated in Euro.
(10) Variable rate obligation The interest rate shown is the rate in effect as of March 31, 2019.
(11) Unfunded loan commitment.
(12) 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 March 31, 2019.
(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 March 31, 2019.
Forward Foreign Currency Contracts
| Forward Currency to be Purchased (Local) — EUR | 55,103 | Forward Currency to be Sold (Local) — USD | 64,038 | Expiration Date — 10/11/19 | Counterparty — Morgan Stanley | Value on Settlement Date — $ 64,038 | $ | 62,865 | $ | (1,173 |
|---|---|---|---|---|---|---|---|---|---|---|
| GBP | 38,810 | USD | 49,915 | 10/11/19 | Morgan Stanley | 49,915 | 51,039 | 1,124 | ||
| USD | 3,162,290 | EUR | 2,659,343 | 10/11/19 | Morgan Stanley | (3,162,290 | ) | (3,033,959 | ) | 128,331 |
| USD | 823,767 | GBP | 613,602 | 10/11/19 | Morgan Stanley | (823,767 | ) | (806,952 | ) | 16,815 |
| $ | 145,097 |
Currency Abbreviations:
EUR = Euro
GBP = British Pound
USD = United States Dollar
SECURITY VALUATION The Board of Directors (the Board) is responsible for the Funds valuation process. The Board has delegated the supervision of the daily valuation process to Credit Suisse Asset Management, LLC, the Funds investment adviser (Credit Suisse or the Adviser), who has established a Pricing Committee which, pursuant to the policies adopted by the Board, is responsible for making fair valuation determinations and overseeing the Funds pricing policies. The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the Exchange) on each day the Exchange is open for business. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional round lot size, but some trades occur in smaller odd lot sizes which may be effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more brokers/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, these securities will be fair valued in good faith by the Pricing Committee, in accordance with procedures adopted by the Board.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
Generally accepted accounting principles in the United States of America (GAAP) established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at each measurement date. These inputs are summarized in the three broad levels listed below:
Level 1quoted prices in active markets for identical investments
Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
Level 3significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments)
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of March 31, 2019 in valuing the Funds assets and liabilities carried at fair value:
| Assets | Level 1 | Level 2 | Level 3 | Total | ||
|---|---|---|---|---|---|---|
| Investments in Securities | ||||||
| Corporate Bonds | $ | $ 190,658,945 | $ 3,730 | $ 190,662,675 | ||
| Bank Loans | | 27,256,877 | 12,956,471 | 40,213,348 | ||
| Asset Backed Securities | | 1,987,902 | | 1,987,902 | ||
| Common Stocks | 711,489 | 732,195 | 1,440,061 | (1) | 2,883,745 | (1) |
| Preferred Stock | | | 0 | (1) | 0 | (1) |
| Warrant | | | 26,430 | 26,430 | ||
| Short-Term Investment | | 7,043,925 | | 7,043,925 | ||
| $ 711,489 | $ 227,679,844 | $ 14,426,692 | (1) | $ 242,818,025 | (1) | |
| Other Financial Instruments* | ||||||
| Forward Foreign Currency Contracts | $ | $ 146,270 | $ | $ 146,270 | ||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||
| Other Financial Instruments* | ||||||
| Forward Foreign Currency Contracts | $ | $ 1,173 | $ | $ 1,173 |
(1) Includes zero valued securities.
The following is a reconciliation of investments as of March 31, 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.
| Balance as of December 31, 2018 | Corporate Bonds — $ 921,990 | Bank Loans — $ 12,855,455 | Common Stocks — $ 1,002,107 | (1) | Preferred Stock — $ 0 | (1) | Warrant — $ | Total — $ 14,779,552 | (1) | ||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Accrued discounts (premiums) | 18,367 | 102,081 | | | | 120,448 | |||||
| Purchases | | 555,441 | 334,633 | | 6,055 | 896,129 | |||||
| Sales | | (848,966 | ) | | | | (848,966 | ) | |||
| Realized gain (loss) | | (1,336,823 | ) | | | 20,375 | (1,316,448 | ) | |||
| Change in unrealized appreciation (depreciation) | (3,788 | ) | 1,069,155 | 103,321 | | | 1,168,688 | ||||
| Transfers into Level 3 | | 5,155,777 | | | | 5,155,777 | |||||
| Transfers out of Level 3 | (932,839 | ) | (4,595,649 | ) | | | | (5,528,488 | ) | ||
| Balance as of March 31, 2019 | $ 3,730 | $ 12,956,471 | $ 1,440,061 | (1) | $ 0 | (1) | $ 26,430 | $ 14,426,692 | (1) | ||
| Net change in unrealized appreciation (depreciation) from investments still held as of | |||||||||||
| March 31, 2019 | $ (18,499 | ) | $ (107,426 | ) | $ 103,321 | $ | $ 20,375 | $ (2,229 | ) |
(1) Includes zero valued securities.
Quantitative Disclosure About Significant Unobservable Inputs
| Asset Class | Fair Value At 3/31/2019 | Valuation Techniques | Unobservable Input | Range (Weighted Average) |
|---|---|---|---|---|
| Corporate Bonds | $ 3,730 | Income Approach | Expected remaining distribution | NA |
| Bank Loans | $ 12,795,660 | Vendor Pricing | Single Broker Quote | $0.34 $1.00 ($0.90) |
| $ 160,811 | Market Approach | Comparable Bond Price | NA | |
| Common Stocks | $ 1,241,669 | Vendor Pricing | Single Broker Quote | $4.00 $22.50 ($13.01) |
| $ 20 | Income Approach | Expected remaining distribution | NA | |
| $ 198,366 | Market Approach | EBITDA Multiples | 3.5 6.1 (6.1) | |
| $ 6 | Market Approach/ Income Approach | Comparable Bond Price, Discounted Cash Flows | NA | |
| $ 0 | Market Approach | Enterprise Value | NA | |
| Preferred Stock | $ 0 | Market Approach | Enterprise Value | NA |
| Warrant | $ 26,430 | Market Approach | EBITDA Multiples | 6.1 7.6 (6.6) |
Each fair value determination is based on a consideration of relevant factors, including both observable and unobservable inputs. Observable and unobservable inputs that Credit Suisse considers may include (i) the existence of any contractual restrictions on the disposition of securities; (ii) information obtained from the company, which may include an analysis of the companys financial statements, the companys products or intended markets or the companys technologies; (iii) the price of the same or similar security negotiated at arms length in an issuers completed subsequent round of financing; (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies; or (v) a probability and time value adjusted analysis of contractual term. Where available and appropriate, multiple valuation methodologies are applied to confirm fair value. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, determining fair value requires more judgment. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the investments existed. Accordingly, the degree of judgment exercised by the Fund in determining fair value is greatest for investments categorized in Level 3. In some circumstances, the inputs used to measure fair value might be categorized within different levels of the fair value hierarchy. In those instances, the fair value measurement is categorized in its entirety in the fair value hierarchy based on the least observable input that is significant to the fair value measurement. Additionally, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different from the valuations used at the date of these financial statements.
During the period ended March 31, 2019, $5,155,777 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $5,528,488 transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs. All transfers, if any, are assumed to occur at the end of the reporting period.
Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Funds website at www.credit-suisse.com/us/funds, as well as on the website of the Securities and Exchange Commission at www.sec.gov.
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