NPORT-EX 2 NPORT_211290598663566.htm HTML

Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments

September 30, 2020 (unaudited)

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (91.9%)

                    
 

Advertising (0.4%)

                    
$         625       

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

      (BB-, B1)        07/15/25          7.000        $ 652,734  
                        

 

 

  
                        
 

Aerospace and Defense (1.3%)

                    
  800       

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

      (B-, B3)        03/15/27          7.500          832,000  
  1,250       

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

      (B+, Ba3)        03/15/26          6.250          1,306,937  
                        

 

 

  
                           2,138,937  
                        

 

 

  
                        
 

Air Transportation (0.4%)

                    
  685       

Mileage Plus Intellectual Property Assets, Ltd. Rule 144A, Senior Secured Notes
(Callable 06/30/23 @ 103.25)(1)

      (NR, Baa3)        06/20/27          6.500          714,969  
                        

 

 

  
                        
 

Auto Parts & Equipment (2.5%)

                    
  200       

Adient U.S. LLC, Rule 144A, Senior Secured Notes
(Callable 04/15/22 @ 104.50)(1)

      (B+, Ba3)        04/15/25          9.000          220,875  
  2,310       

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

      (CCC+, Caa1)        05/15/27          8.500          2,388,887  
  1,300       

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

      (CCC, Caa1)        11/15/26          5.625          913,250  
  625       

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

      (BB-, B3)        10/01/25          5.000          715,234  
                        

 

 

  
                           4,238,246  
                        

 

 

  
                        
 

Automakers (0.7%)

                    
  400       

Ford Motor Co., Global Senior Unsecured Notes

      (BB+, Ba2)        04/21/23          8.500          436,638  
  675       

Winnebago Industries, Inc., Rule 144A, Senior Secured Notes
(Callable 07/15/23 @ 103.13)(1)

      (BB, B2)        07/15/28          6.250          713,391  
                        

 

 

  
                           1,150,029  
                        

 

 

  
                        
 

Brokerage (0.7%)

                    
  1,098       

StoneX Group, Inc., Rule 144A, Senior Secured Notes
(Callable 06/15/22 @ 104.31)(1)

      (BB-, Ba3)        06/15/25          8.625          1,187,899  
                        

 

 

  
                        
 

Building & Construction (0.9%)

                    
  400       

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

      (B+, B3)        02/15/25          7.500          405,250  
  1,025       

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

      (BB, Ba3)        05/01/26          5.625          1,061,962  
                        

 

 

  
                           1,467,212  
                        

 

 

  
                        
 

Building Materials (6.5%)

                    
  1,455       

BMC East LLC, Rule 144A, Senior Secured Notes
(Callable 10/16/20 @ 102.75)(1)

      (BB, B1)        10/01/24          5.500          1,497,741  
  325       

Core & Main LP, Rule 144A, Senior Unsecured Notes
(Callable 11/02/20 @ 103.06)(1)

      (CCC+, Caa2)        08/15/25          6.125          329,810  
  1,050       

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

      (B+, B3)        02/01/28          5.750          1,108,863  
  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          1,725,999  
  400       

Jeld-Wen, Inc., Rule 144A, Senior Secured Notes
(Callable 05/15/22 @ 103.12)(1)

      (BB+, Ba2)        05/15/25          6.250          428,000  
  2,797       

Omnimax International, Inc., Rule 144A,
Senior Secured Notes (1),(2)

      (D, Caa3)        08/15/21          12.000          2,289,450  
  2,450       

PriSo Acquisition Corp., Rule 144A, Senior Unsecured Notes
(Callable 11/02/20 @ 100.00)(1),(3)

      (CCC+, Caa2)        05/15/23          9.000          2,364,250  
  200       

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

      (BB, B2)        01/15/29          5.250          208,625  
  500       

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

      (BB-, B2)        06/15/25          7.125          545,312  
  500       

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

      (BB-, B2)        06/15/28          7.250          548,540  
                        

 

 

  
                           11,046,590  
                        

 

 

  
                        
 

Cable & Satellite TV (3.9%)

                    
  685       

CSC Holdings LLC, Global Senior Unsecured Notes

      (B, B3)        06/01/24          5.250          735,947  

 

 

 

Par
(000)		              

Ratings†
(S&P/Moody’s)

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Cable & Satellite TV

                    
$         500       

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

      (BB, Ba3)        05/15/26          5.500        $     520,625  
  50       

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

      (BB, Ba3)        04/15/27          5.500          52,680  
  850       

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

      (BB, Ba3)        02/01/28          5.375          899,938  
  1,023       

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

      (B, B3)        08/15/27          5.375          1,054,774  
  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          1,475,250  
  500       

Virgin Media Secured Finance PLC, Rule 144A, Senior Secured Notes
(Callable 04/15/22 @ 102.50)(1),(4)

      (BB-, Ba3)        04/15/27          5.000          678,571  
  1,214       

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

      (B+, B1)        01/15/27          5.500          1,273,905  
                        

 

 

  
                           6,691,690  
                        

 

 

  
                        
 

Chemicals (5.3%)

                    
  900       

Alpha U.S. Bidco, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/02/20 @ 103.13)(1)

      (CCC, Caa2)        02/01/25          6.250          916,875  
  1,700       

Atotech Alpha 2 B.V., 8.75% Cash, 9.50% PIK, Rule 144A, Senior Unsecured Notes
(Callable 11/02/20 @ 101.00)(1),(5)

      (CCC, Caa2)        06/01/23          8.750          1,710,446  
  200       

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

      (BB-, Ba3)        05/15/25          5.750          212,250  
  500       

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

      (BB, B1)        04/15/26          5.500          511,780  
  1,440       

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

      (NR, Ba3)        02/01/26          4.500          1,446,998  
  800       

Nouryon Holding B.V., Rule 144A, Senior Unsecured Notes
(Callable 10/01/21 @ 103.25)(1),(6)

      (B-, Caa1)        10/01/26          6.500          973,690  
  276       

Reichhold Industries, Inc., Rule 144A,
Senior Secured Notes (1),(2),(7),(8),(9)

      (NR, NR)        05/01/18          9.000          3,730  
  1,500       

Tronox, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/15/21 @ 103.25)(1),(3)

      (B, B3)        04/15/26          6.500          1,502,813  
  1,700       

Venator Materials LLC, Rule 144A, Company Guaranteed Notes
(Callable 11/02/20 @ 104.31)(1)

      (CCC+, Caa1)        07/15/25          5.750          1,467,313  
  200       

Venator Materials LLC, Rule 144A, Senior Secured Notes
(Callable 07/01/22 @ 107.13)(1)

      (B, B1)        07/01/25          9.500          213,000  
                        

 

 

  
                           8,958,895  
                        

 

 

  
                        
 

Consumer/Commercial/Lease Financing (1.0%)

                    
  1,750       

Cargo Aircraft Management, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/01/23 @ 102.38)(1)

      (B+, Ba3)        02/01/28          4.750          1,771,613  
                        

 

 

  
                        
 

Diversified Capital Goods (0.6%)

                    
  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          1,073,560  
                        

 

 

  
                        
 

Electronics (1.8%)

                    
  1,750       

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

      (BB, Ba2)        02/10/26          4.625          1,793,417  
  1,200       

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

      (BB+, Ba3)        10/01/25          5.000          1,292,250  
                        

 

 

  
                           3,085,667  
                        

 

 

  
                        
 

Energy - Exploration & Production (2.2%)

                    
  525       

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

      (BBB-, Ba1)        03/31/25          5.875          546,038  
  800       

Laredo Petroleum, Inc., Company Guaranteed Notes
(Callable 01/15/23 @ 107.59)

      (B-, Caa1)        01/15/28          10.125          473,920  
  1,826       

Talos Production Finance, Inc., Global Secured Notes
(Callable 11/02/20 @ 102.75)

      (NR, NR)        04/03/22          11.000          1,753,185  
  1,500       

W&T Offshore, Inc., Rule 144A, Secured Notes
(Callable 11/02/20 @ 104.88)(1)

      (B, Caa3)        11/01/23          9.750          1,036,740  
                        

 

 

  
                           3,809,883  
                        

 

 

  

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Environmental (0.3%)

                    
$         425       

GFL Environmental, Inc., Rule 144A, Senior Secured Notes
(Callable 12/15/22 @ 102.56)(1)

      (BB-, Ba3)        12/15/26          5.125        $     439,429  
                        

 

 

  
                        
 

Forestry & Paper (0.3%)

                    
  525       

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

      (BB+, Ba1)        07/15/27          5.750          556,427  
                        

 

 

  
                        
 

Gaming (4.9%)

                    
  500       

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

      (B-, Caa1)        08/15/26          6.000          517,405  
  1,665       

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

      (B+, B1)        01/15/28          4.750          1,677,179  
  2,293       

Gateway Casinos & Entertainment Ltd., Rule 144A, Secured Notes
(Callable 11/02/20 @ 104.13)(1)

      (CCC-, Caa3)        03/01/24          8.250          1,945,943  
  120       

Golden Nugget, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/02/20 @ 104.38)(1),(3)

      (CCC, Caa3)        10/01/25          8.750          94,875  
  2,100       

Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes
(Callable 10/30/20 @ 101.69)(1)

      (CCC, Caa2)        10/15/24          6.750          1,756,125  
  1,469       

Jacobs Entertainment, Inc., Rule 144A, Secured Notes
(Callable 11/02/20 @ 105.91)(1)

      (B-, B3)        02/01/24          7.875          1,438,849  
  750       

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

      (BB-, B1)        02/01/27          5.750          809,299  
                        

 

 

  
                           8,239,675  
                        

 

 

  
                        
 

Gas Distribution (1.0%)

                    
  164       

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 11/02/20 @ 101.50)

      (B+, B1)        05/15/23          6.000          149,343  
  750       

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 11/02/20 @ 101.88)

      (B+, B1)        06/15/24          5.625          641,122  
  425       

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 11/02/20 @ 104.88)

      (B+, B1)        10/01/25          6.500          368,422  
  675       

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

      (B+, B1)        05/15/26          6.250          564,482  
                        

 

 

  
                           1,723,369  
                        

 

 

  
                        
 

Health Facilities (0.8%)

                    
  750       

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

      (BB-, Ba2)        09/01/28          5.625          859,294  
  500       

Surgery Center Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/15/22 @ 105.00)(1),(3)

      (CCC, Caa2)        04/15/27          10.000          533,437  
                        

 

 

  
                           1,392,731  
                        

 

 

  
                        
 

Health Services (1.7%)

                    
  925       

AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/16/20 @ 102.56)(1)

      (BB-, Ba3)        10/01/24          5.125          950,340  
  1,850       

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

      (CCC, Caa3)        02/01/28          9.250          1,928,625  
                        

 

 

  
                           2,878,965  
                        

 

 

  
                        
 

Insurance Brokerage (2.9%)

                    
  2,000       

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

      (CCC+, Caa2)        11/15/25          7.000          1,968,500  
  1,000       

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

      (CCC+, Caa2)        08/01/26          10.125          1,110,000  
  780       

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

      (CCC+, Caa2)        05/15/27          8.000          825,337  
  1,000       

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

      (CCC+, Caa2)        08/15/28          6.875          1,013,625  
                        

 

 

  
                           4,917,462  
                        

 

 

  
                        
 

Investments & Misc. Financial Services (2.0%)

                    
  785       

AG Issuer LLC, Rule 144A, Senior Secured Notes
(Callable 03/01/23 @ 103.13)(1)

      (B-, B2)        03/01/28          6.250          783,037  

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Investments & Misc. Financial Services

                    
$         2,425       

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

      (B, B1)        05/01/26          8.000        $     2,554,883  
                        

 

 

  
                           3,337,920  
                        

 

 

  
                        
 

Machinery (1.5%)

                    
  100       

Granite U.S. Holdings Corp., Rule 144A, Company Guaranteed Notes
(Callable 10/01/22 @ 105.50)(1)

      (CCC, Caa1)        10/01/27          11.000          103,000  
  470       

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

      (B+, Ba2)        07/31/27          5.750          476,756  
  400       

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

      (BB+, Ba1)        06/15/25          5.750          427,250  
  1,485       

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

      (BB-, B1)        12/15/25          4.875          1,509,131  
                        

 

 

  
                           2,516,137  
                        

 

 

  
                        
 

Media - Diversified (0.4%)

                    
  550       

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

      (CCC+, Caa1)        08/15/26          5.750          375,958  
  250       

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

      (B, B1)        04/15/28          5.875          209,375  
                        

 

 

  
                           585,333  
                        

 

 

  
                        
 

Media Content (0.9%)

                    
  980       

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

      (B, B3)        08/15/27          6.625          511,437  
  615       

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

      (BB-, Ba3)        08/15/26          5.375          436,598  
  587       

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

      (BB, Ba3)        07/01/29          5.500          630,658  
                        

 

 

  
                           1,578,693  
                        

 

 

  
                        
 

Metals & Mining - Excluding Steel (3.8%)

                    
  1,550       

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

      (B, Ba3)        01/15/24          4.875          1,532,400  
  200       

First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes
(Callable 11/02/20 @ 103.63)(1)

      (CCC+, Caa2)        04/01/23          7.250          200,055  
  1,500       

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

      (CCC+, NR)        03/01/26          6.875          1,448,437  
  620       

Kaiser Aluminum Corp., Rule 144A, Company Guaranteed Notes
(Callable 03/01/23 @ 102.31)(1)

      (BB+, B1)        03/01/28          4.625          579,198  
  300       

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

      (B+, B2)        01/30/30          4.750          295,271  
  2,550       

Taseko Mines Ltd., Rule 144A, Senior Secured Notes
(Callable 11/02/20 @ 102.19)(1)

      (CCC+, Caa1)        06/15/22          8.750          2,437,838  
                        

 

 

  
                           6,493,199  
                        

 

 

  
                        
 

Metals & Mining - Excluding Steel (0.1%)

                    
  200       

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

      (B, Ba3)        10/17/25          9.875          223,500  
                        

 

 

  
                        
 

Mortgage Backed (0.9%)

                    
  1,018       

Starwood Property Trust, Inc., Global Senior Unsecured Notes
(Callable 11/02/20 @ 100.00)

      (B+, Ba3)        02/01/21          3.625          1,020,978  
  565       

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

      (B+, Ba3)        12/15/21          5.000          560,762  
                        

 

 

  
                           1,581,740  
                        

 

 

  
                        
 

Oil Field Equipment & Services (0.6%)

                    
  253       

Pioneer Energy Services Corp., PIK, Rule 144A, Senior Unsecured Notes (1),(5),(7),(8)

      (NR, NR)        08/28/25          5.000          79,948  
  2,500       

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

      (CCC+, Caa2)        02/15/25          8.250          1,000,000  
                        

 

 

  
                           1,079,948  
                        

 

 

  

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Oil Refining & Marketing (0.3%)

                    
$         500       

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

      (BB-, B1)        10/01/25          7.500        $     502,963  
                        

 

 

  
                        
 

Packaging (4.1%)

                    
  290       

Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/12/20 @ 104.50)(1)

      (B, Caa1)        02/15/25          6.000          301,397  
  133       

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

      (BB-, Ba3)        02/01/26          4.750          138,461  
  2,000       

Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes
(Callable 11/02/20 @ 103.44)(1)

      (CCC+, Caa2)        01/15/25          6.875          2,005,000  
  400       

Intelligent Packaging Ltd. Co-Issuer LLC, Rule 144A, Senior Secured Notes
(Callable 09/15/22 @ 103.00)(1)

      (B, B3)        09/15/28          6.000          406,370  
  1,710       

Plastipak Holdings, Inc., Rule 144A, Senior Unsecured Notes
(Callable 11/02/20 @ 103.13)(1)

      (B, B3)        10/15/25          6.250          1,713,206  
  2,050       

TriMas Corp., Rule 144A, Company Guaranteed Notes
(Callable 11/02/20 @ 102.44)(1)

      (BB-, Ba3)        10/15/25          4.875          2,080,433  
  350       

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

      (B, B2)        08/15/26          5.500          363,291  
                        

 

 

  
                           7,008,158  
                        

 

 

  
                        
 

Personal & Household Products (0.8%)

                    
  1,350       

High Ridge Brands Co., Rule 144A, Company Guaranteed Notes
(Callable 11/02/20 @ 104.44)(1),(2)

      (NR, NR)        03/15/25          8.875          33,750  
  1,174       

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

      (B+, B1)        12/31/25          6.750          1,239,744  
                        

 

 

  
                           1,273,494  
                        

 

 

  
                        
 

Pharmaceuticals (4.6%)

                    
  500       

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

      (B, B3)        04/01/26          9.250          550,650  
  42       

Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/02/20 @ 100.00)(1)

      (B, B3)        05/15/23          5.875          41,823  
  250       

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

      (B, B3)        12/15/25          9.000          272,575  
  500       

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

      (B, B3)        05/30/29          7.250          539,592  
  700       

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

      (B, B3)        01/30/30          5.250          690,284  
  1,300       

Bausch Health Cos., Inc., Rule 144A, Senior Secured Notes
(Callable 11/02/20 @ 103.50)(1)

      (BB, Ba2)        03/15/24          7.000          1,346,800  
  1,000       

Catalent Pharma Solutions, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/02/20 @ 102.44)(1)

      (B+, B3)        01/15/26          4.875          1,023,560  
  650       

Endo Finance LLC, Rule 144A, Senior Secured Notes
(Callable 11/02/20 @ 102.94)(1)

      (B+, B2)        10/15/24          5.875          651,719  
  800       

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

      (B+, Ba3)        08/01/27          5.500          850,352  
  1,782       

Owens & Minor, Inc., Global Senior Secured Notes
(Callable 09/15/24 @ 100.00)(3)

      (B-, B3)        12/15/24          4.375          1,783,114  
                        

 

 

  
                           7,750,469  
                        

 

 

  
                        
 

Real Estate Development & Management (0.4%)

                    
  718       

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

      (BB+, NR)        11/15/23          6.125          748,460  
                        

 

 

  
                        
 

Real Estate Investment Trusts (0.5%)

                    
  900       

ESH Hospitality, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/02/20 @ 102.63)(1)

      (BB-, Ba3)        05/01/25          5.250          910,328  
                        

 

 

  
                        
 

Recreation & Travel (6.5%)

                    
  1,500       

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

      (B, B1)        05/01/25          7.250          1,580,467  
  1,035       

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

      (CCC, B3)        04/15/27          5.375          1,032,412  
  1,325       

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

      (CCC, B3)        07/15/29          5.250          1,274,239  
  750       

Merlin Entertainments Ltd., Rule 144A, Company Guaranteed Notes
(Callable 03/17/26 @ 100.00)(1),(3)

      (CCC+, B1)        06/15/26          5.750          717,045  

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Recreation & Travel

                    
$         500       

Motion Bondco DAC, Rule 144A, Company Guaranteed Notes
(Callable 11/15/22 @ 103.31)(1)

      (CCC-, Caa1)        11/15/27          6.625        $     435,335  
  800       

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

      (B, B1)        08/01/25          6.000          821,000  
  400       

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

      (B-, B2)        05/01/25          8.750          424,750  
  1,150       

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 11/02/20 @ 102.44)(1)

      (CCC, B3)        07/31/24          4.875          1,083,645  
  650       

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 04/15/22 @ 102.75)(1),(3)

      (CCC, B3)        04/15/27          5.500          617,208  
  350       

Six Flags Theme Parks, Inc., Rule 144A, Senior Secured Notes
(Callable 07/01/22 @ 103.50)(1)

      (B, Ba2)        07/01/25          7.000          372,969  
  2,115       

Speedway Funding II, Inc., Rule 144A, Senior Unsecured Notes
(Callable 11/01/22 @ 102.44)(1)

      (BB-, B2)        11/01/27          4.875          2,035,053  
  625       

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

      (BB, B2)        05/15/25          6.250          664,063  
                        

 

 

  
                           11,058,186  
                        

 

 

  
                        
 

Restaurants (1.3%)

                    
  2,075       

New Red Finance, Inc., Rule 144A, Secured Notes
(Callable 11/02/20 @ 102.50)(1)

      (B+, B2)        10/15/25          5.000          2,131,139  
                        

 

 

  
                        
 

Software - Services (3.9%)

                    
  610       

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

      (BB+, Ba1)        06/01/27          4.875          643,550  
  257       

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

      (BB-, B1)        12/01/27          5.250          267,996  
  250       

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

      (B+, B1)        09/30/28          4.750          251,875  
  1,175       

Presidio Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/01/23 @ 104.13)(1),(3)

      (CCC+, Caa1)        02/01/28          8.250          1,234,484  
  160       

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

      (B, B1)        02/01/27          4.875          161,875  
  2,675       

Solera Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 11/02/20 @ 105.25)(1)

      (CCC+, Caa1)        03/01/24          10.500          2,798,719  
  750       

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

      (B+, B2)        09/30/27          5.500          797,977  
  375       

WEX, Inc., Rule 144A, Senior Secured Notes
(Callable 11/02/20 @ 100.79)(1)

      (BB-, Ba2)        02/01/23          4.750          376,836  
                        

 

 

  
                           6,533,312  
                        

 

 

  
                        
 

Specialty Retail (3.4%)

                    
  40       

Asbury Automotive Group, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/01/23 @ 102.25)(1)

      (BB, B1)        03/01/28          4.500          40,325  
  491       

Asbury Automotive Group, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/01/25 @ 102.38)(1)

      (BB, B1)        03/01/30          4.750          495,603  
  950       

eG Global Finance PLC, Rule 144A, Senior Secured Notes
(Callable 10/30/21 @ 104.25)(1)

      (B-, B2)        10/30/25          8.500          1,001,657  
  1,000       

Lithia Motors, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/02/20 @ 103.94)(1)

      (BB, Ba2)        08/01/25          5.250          1,031,145  
  750       

Penske Automotive Group, Inc., Company Guaranteed Notes
(Callable 10/30/20 @ 102.69)

      (B+, Ba3)        12/01/24          5.375          764,366  
  1,000       

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

      (B+, Ba3)        05/15/26          5.500          1,033,795  
  1,650       

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

      (NR, Caa2)        05/01/25          7.500          1,163,250  
  200       

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

      (BB-, Ba2)        04/30/25          8.750          219,750  
                        

 

 

  
                           5,749,891  
                        

 

 

  
                        
 

Steel Producers/Products (0.3%)

                    
  500       

Allegheny Technologies, Inc., Global Senior Unsecured Notes
(Callable 12/01/22 @ 102.94)(3)

      (B, B3)        12/01/27          5.875          481,413  
                        

 

 

  
                        
 

Support - Services (4.6%)

                    
  575       

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

      (BB, Ba1)        10/15/27          4.750          487,689  

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Support - Services

                    
$         1,635       

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

      (B, B2)        07/31/26          7.125        $     1,622,738  
  200       

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

      (CCC+, Caa1)        07/15/27          11.000          211,087  
  1,467       

KAR Auction Services, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/02/20 @ 103.84)(1)

      (B-, Caa1)        06/01/25          5.125          1,468,804  
  625       

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

      (BB, Ba3)        12/15/27          4.625          634,375  
  200       

Sabre Global, Inc., Rule 144A, Senior Secured Notes
(Callable 03/16/25 @ 100.00)(1)

      (B, Ba3)        04/15/25          9.250          220,489  
  1,172       

Tempo Acquisition Finance Corp., Rule 144A, Senior Unsecured Notes
(Callable 10/13/20 @ 103.38)(1)

      (CCC+, Caa1)        06/01/25          6.750          1,198,352  
  253       

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

      (BB-, Ba3)        01/15/28          4.875          265,966  
  1,782       

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

      (CCC+, NR)        05/01/25          7.875          1,141,576  
  595       

Williams Scotsman International, Inc., Rule 144A, Senior Secured Notes
(Callable 08/15/23 @ 102.31)(1)

      (B+, B3)        08/15/28          4.625          598,520  
                        

 

 

  
                           7,849,596  
                        

 

 

  
                        
 

Tech Hardware & Equipment (2.1%)

                    
  817       

CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes
(Callable 10/13/20 @ 103.00)(1)

      (B-, B3)        06/15/25          6.000          829,173  
  525       

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

      (B-, B3)        03/15/27          5.000          504,984  
  1,325       

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

      (B-, B3)        03/01/27          8.250          1,379,663  
  150       

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

      (B+, Ba3)        03/01/26          6.000          156,572  
  225       

Xerox Holdings Corp., Rule 144A, Company Guaranteed Notes
(Callable 07/15/25 @ 100.00)(1)

      (BB, Ba1)        08/15/25          5.000          222,642  
  525       

Xerox Holdings Corp., Rule 144A, Company Guaranteed Notes
(Callable 07/15/28 @ 100.00)(1)

      (BB, Ba1)        08/15/28          5.500          518,228  
                        

 

 

  
                           3,611,262  
                        

 

 

  
                        
 

Telecom - Wireless (0.6%)

                    
  950       

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

      (BB, Ba3)        02/01/28          4.750          1,017,441  
                        

 

 

  
                        
 

Telecom - Wireline Integrated & Services (4.4%)

                    
  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          1,324,725  
  850       

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

      (B, B2)        05/01/26          7.375          891,608  
  205       

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

      (BBB-, Baa3)        05/15/27          5.375          223,461  
  90       

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

      (B, B3)        06/15/24          6.625          96,759  
  2,651       

GTT Communications, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/02/20 @ 105.91)(1)

      (CCC-, Caa2)        12/31/24          7.875          1,375,206  
  1,325       

LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes
(Callable 10/15/22 @ 103.38)(1)

      ((P)B+, B1)        10/15/27          6.750          1,386,281  
  1,650       

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

      (BB, Ba3)        11/15/25          4.750          1,717,394  
  400       

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

      (CCC+, Caa1)        03/01/28          6.125          413,568  
                        

 

 

  
                           7,429,002  
                        

 

 

  
                        
 

Theaters & Entertainment (2.8%)

                    
  2,243       

AMC Entertainment Holdings, Inc., PIK, Rule 144A, Secured Notes
(Callable 06/15/23 @ 106.00)(1),(5)

      (CCC-, Ca)        06/15/26          12.000          639,255  
  264       

AMC Entertainment Holdings, Inc., Rule 144A, Senior Secured Notes
(Callable 06/15/22 @ 105.25)(1)

      (B-, Caa2)        04/24/26          10.500          191,400  
  1,250       

Cinemark U.S.A., Inc., Global Company Guaranteed Notes
(Callable 11/02/20 @ 100.81)

      (B+, Caa1)        06/01/23          4.875          1,069,531  
  380       

Cinemark U.S.A., Inc., Rule 144A, Senior Secured Notes
(Callable 05/01/22 @ 104.38)(1)

      (BB, Ba3)        05/01/25          8.750          404,463  

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

CORPORATE BONDS (continued)

                    
 

Theaters & Entertainment

                    
$         150       

Expedia Group, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/01/25 @ 100.00)(1)

      (BBB-, Baa3)        05/01/25          6.250        $     165,658  
  350       

Expedia Group, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/01/22 @ 103.50)(1)

      (BBB-, Baa3)        05/01/25          7.000          378,889  
  1,025       

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/06/20 @ 103.66)(1)

      (B, B3)        11/01/24          4.875          993,609  
  700       

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

      (B, B3)        03/15/26          5.625          677,250  
  325       

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

      (B, B3)        10/15/27          4.750          304,891  
                        

 

 

  
                           4,824,946  
                        

 

 

  
                        
 

Transport Infrastructure/Services (1.0%)

                    
  2,110       

Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes
(Callable 11/02/20 @ 100.00)(1)

      (B-, Caa2)        08/15/22          11.250          1,656,350  
                        

 

 

  
 

TOTAL CORPORATE BONDS (Cost $164,346,032)

                       156,068,862  
                        

 

 

  
                        
 

BANK LOANS (33.9%)

                    
 

Advertising (0.3%)

                    
  397       

Southern Graphics, Inc., LIBOR 1M + 3.250%(10)

      (CCC+, B3)        12/31/22          3.397          239,363  
  725       

Southern Graphics, Inc., LIBOR 1M + 7.500%(9),(10)

      (CCC-, Caa3)        12/31/23          7.647          237,438  
                        

 

 

  
                           476,801  
                        

 

 

  
                        
 

Aerospace & Defense (0.4%)

                    
  686       

Sequa Mezzanine Holdings LLC, LIBOR 3M + 6.750%(10)

      (CCC+, Caa1)        11/28/23          7.750          650,710  
                        

 

 

  
                        
 

Auto Parts & Equipment (0.7%)

                    
  735       

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

      (CCC+, Caa2)        05/19/23          4.506          471,511  
  205       

Jason Group, Inc., LIBOR 3M + 10.000%(8),(10)

      (CCC-, Caa3)        03/02/26          11.000          204,594  
  599       

U.S. Farathane LLC, LIBOR 3M + 3.500%(10)

      (CCC, Caa3)        12/23/21          4.500          522,025  
                        

 

 

  
                           1,198,130  
                        

 

 

  
                        
 

Building & Construction (1.2%)

                    
  1,369       

ACProducts, Inc., LIBOR 3M + 6.500%(10)

      (B, B2)        08/18/25          7.500          1,375,392  
  747       

TRC Companies, Inc., LIBOR 1M + 5.000%(10)

      (B, B2)        06/21/24          6.000          734,509  
                        

 

 

  
                           2,109,901  
                        

 

 

  
                        
 

Building Materials (1.4%)

                    
  1,000       

Airxcel, Inc., LIBOR 2M + 8.750%(10)

      (CCC, Ca)        04/27/26          8.938          862,500  
  1,473       

LBM Borrower LLC, LIBOR 3M + 3.750%(10)

      (B+, B2)        08/20/22          4.750          1,475,602  
                        

 

 

  
                           2,338,102  
                        

 

 

  
                        
 

Chemicals (4.8%)

                    
  1,485       

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

      (BB-, B1)        08/27/26          6.250          1,485,616  
  313       

Ascend Performance Materials Operations LLC, LIBOR 3M + 6.000%(10)

      (B-, Caa1)        08/28/25          6.251          313,437  
  180       

ASP Chromaflo Intermediate Holdings, Inc., LIBOR 1M + 8.000%(9),(10)

      (CCC, Caa2)        11/18/24          9.000          144,375  
  1,631       

PMHC II, Inc., LIBOR 12M + 3.500%(10)

      (CCC+, Caa1)        03/31/25          4.500          1,487,390  
  1,572       

Polar U.S. Borrower LLC, LIBOR 1M + 4.750%(8),(10)

      (B-, B2)        10/15/25          4.910          1,516,980  
  1,176       

UTEX Industries, Inc., LIBOR 3M + 4.000%(2),(10)

      (NR, Ca)        05/22/21          0.000          368,853  
  1,750       

Vantage Specialty Chemicals, Inc., LIBOR 3M + 8.250%(9),(10)

      (CCC, Caa3)        10/27/25          9.250          1,343,860  
  1,515       

Zep, Inc., LIBOR 6M + 4.000%(10)

      (CCC+, B3)        08/12/24          5.000          1,430,128  
                        

 

 

  
                           8,090,639  
                        

 

 

  
                        
 

Diversified Capital Goods (0.3%)

                    
  1,005       

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

      (CCC-, Caa3)        01/30/23          9.500          582,900  
                        

 

 

  
                        
 

Electronics (2.2%)

                    
  750       

CPI International, Inc., LIBOR 1M + 7.250%(8),(9),(10)

      (CCC, Caa2)        07/26/25          8.250          663,336  
  1,550       

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

      (CCC+, Caa2)        12/01/25          8.500          1,527,238  
  1,561       

Oberthur Technologies SA, LIBOR 3M + 3.750%(10)

      (B-, B3)        01/10/24          3.970          1,507,113  
                        

 

 

  
                           3,697,687  
                        

 

 

  

 

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

BANK LOANS (continued)

                    
 

Food - Wholesale (0.6%)

                    
  $       1,099       

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

      (B, B3)        10/22/25          4.397        $     1,075,002  
                        

 

 

  
                        
 

Gas Distribution (1.4%)

                    
  1,480       

BCP Renaissance Parent LLC, LIBOR 2M + 3.500%(8),(10)

      (B, B2)        11/01/24          3.689          1,287,984  
  1,231       

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

      (B, B3)        09/27/24          5.000          1,139,589  
                        

 

 

  
                           2,427,573  
                        

 

 

  
                        
 

Health Facility (0.3%)

                    
  486       

Western Dental Services, Inc., LIBOR 3M + 5.250%(8),(10)

      (CCC+, Caa1)        06/30/23          6.250          432,720  
                        

 

 

  
                        
 

Health Services (1.5%)

                    
  1,926       

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

      (B, B2)        02/11/26          4.750          1,904,661  
  597       

Carestream Health, Inc., LIBOR 3M + 6.750%(10)

      (B-, B1)        05/08/23          7.750          583,001  
                        

 

 

  
                           2,487,662  
                        

 

 

  
                        
 

Insurance Brokerage (1.6%)

                    
  1,935       

Acrisure LLC, LIBOR 1M + 3.500%(10)

      (B, B2)        02/15/27          3.647          1,874,666  
  834       

Alera Group Holdings, Inc., LIBOR 6M + 4.000%(8),(10)

      (B, B2)        08/01/25          4.147          822,158  
                        

 

 

  
                           2,696,824  
                        

 

 

  
                        
 

Investments & Misc. Financial Services (1.2%)

                    
  993       

Advisor Group, Inc., LIBOR 1M + 5.000%(10)

      (B-, B2)        07/31/26          5.147          963,966  
  865       

Deerfield Dakota Holding LLC, LIBOR 1M + 8.000%(8),(10)

      (CCC, Caa2)        04/07/28          9.000          882,692  
  691       

Ditech Holding Corp., PRIME + 7.000%(2),(10)

      (NR, Wr)        06/30/22          10.000          165,867  
                        

 

 

  
                           2,012,525  
                        

 

 

  
                        
 

Life Insurance (0.6%)

                    
  1,071       

Vida Capital, Inc., LIBOR 1M + 6.000%(8),(10)

      (B, B2)        10/01/26          6.147          1,071,125  
                        

 

 

  
                        
 

Machinery (1.5%)

                    
  496       

Granite Holdings U.S. Acquisition Co., LIBOR 3M
+ 5.250%(10)

      (CCC+, B1)        09/30/26          5.470          471,438  
  798       

LTI Holdings, Inc., LIBOR 1M + 6.750%(9),(10)

      (CCC+, Caa3)        09/06/26          6.897          708,060  
  445       

LTI Holdings, Inc., LIBOR 1M + 3.500%(10)

      (B-, B3)        09/06/25          3.647          415,943  
  1,125       

WireCo WorldGroup, Inc., LIBOR 6M + 9.000%(9),(10)

      (CCC+, Caa3)        09/30/24          10.000          871,875  
                        

 

 

  
                           2,467,316  
                        

 

 

  
                        
 

Medical Products (1.4%)

                    
  875       

ABB Concise Optical Group LLC, LIBOR 1M + 5.000%(10)

      (CCC+, B3)        06/15/23          6.000          760,101  
  987       

Maravai Intermediate Holdings LLC,
LIBOR 1M + 4.250%(8),(10)

      (B-, B2)        08/01/25          5.250          989,874  
  596       

Sotera Health Holdings LLC, LIBOR 3M + 4.500%(10)

      (B, B2)        12/11/26          5.500          593,772  
                        

 

 

  
                           2,343,747  
                        

 

 

  
                        
 

Metals & Mining - Excluding Steel (0.9%)

                    
  1,482       

GrafTech Finance, Inc., LIBOR 1M + 3.500%(10)

      (BB-, B1)        02/12/25          4.500          1,468,667  
                        

 

 

  
                        
 

Packaging (0.1%)

                    
  540       

Strategic Materials, Inc., LIBOR 3M + 7.750%(8),(9),(10)

      (CC, C)        10/31/25          8.750          191,700  
                        

 

 

  
                        
 

Personal & Household Products (1.4%)

                    
  1,255       

Serta Simmons Bedding LLC, LIBOR 1M + 7.500%(10)

      (B+, B2)        08/10/23          8.500          1,249,054  
  761       

Serta Simmons Bedding LLC, LIBOR 1M + 7.500%(10)

      (B, Caa2)        08/10/23          8.500          627,413  
  479       

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

      (B-, B2)        11/30/23          4.750          474,566  
                        

 

 

  
                           2,351,033  
                        

 

 

  
                        
 

Pharmaceuticals (0.6%)

                    
 
 1,240
  
     

Akorn, Inc., LIBOR 1M + 13.750%(2),(10)

      (D, NR)        04/16/21          14.750          1,074,648  
                        

 

 

  
                        
 

Recreation & Travel (1.8%)

                    
         1,613       

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

      (CCC-, Caa3)        09/04/26          7.897          1,351,275  
  993       

Bulldog Purchaser, Inc., LIBOR 1M + 3.750%(10)

      (B-, B3)        09/05/25          3.897          862,670  
  1,032       

Hornblower Sub LLC, LIBOR 3M + 4.500%(10)

      (CCC-, Caa2)        04/27/25          5.500          869,066  
                        

 

 

  
                           3,083,011  
                        

 

 

  
                        
 

Restaurants (0.1%)

                    
  185       

Golden Nugget, Inc., LIBOR 1M + 12.000%(8),(10)

      (NR, NR)        10/04/23          13.000          214,484  

 

 

 

Par
(000)		              

Ratings†
  (S&P/Moody’s)  

        Maturity            Rate%            Value    
                        
 

BANK LOANS (continued)

                    
 

Restaurants

                    
  $            15       

Golden Nugget, Inc., LIBOR 3M + 12.000%(8),(10)

      (NR, NR)        10/04/23          13.000        $ 17,214  
                        

 

 

  
                           231,698  
                        

 

 

  
                        
 

Software - Services (3.3%)

                    
  498       

Aston FinCo Sarl, LIBOR 1M + 4.250%(10)

      (B-, B2)        10/09/26          4.401          490,038  
  1,750       

Epicor Software Corp., LIBOR 1M + 7.750%(10)

      (CCC, Caa2)        07/31/28          8.750              1,804,687  
  174       

Finastra U.S.A., Inc., LIBOR 3M + 3.500%(10)

      (CCC+, B2)        06/13/24          4.500          162,781  
  2,003       

Finastra U.S.A., Inc., LIBOR 6M + 7.250%(10)

      (CCC-, Caa2)        06/13/25          8.250          1,892,189  
  500       

Hyland Software, Inc., LIBOR 1M + 7.000%(10)

      (CCC, Caa1)        07/07/25          7.750          498,960  
  296       

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

      (B, B3)        12/09/22          6.875          283,607  
  484       

Project Leopard Holdings, Inc., LIBOR 3M + 4.250%(10)

      (B, B2)        07/07/23          5.250          477,071  
                        

 

 

  
                           5,609,333  
                        

 

 

  
                        
 

Specialty Retail (0.9%)

                    
  750       

Boing U.S. Holdco, Inc., LIBOR 1M + 7.500%(9),(10)

      (CCC, Caa2)        10/03/25          8.500          708,750  
  810       

Sally Holdings LLC(8)

      (BB+, Ba1)        07/05/24          4.500          807,978  
                        

 

 

  
                           1,516,728  
                        

 

 

  
                        
 

Support - Services (0.9%)

                    
  739       

IG Investment Holdings LLC, LIBOR 3M + 4.000%(10)

      (B-, B2)        05/23/25          5.000          730,126  
  164       

Nuvei Technologies Corp., LIBOR 1M + 5.000%(8),(10)

      (B-, B2)        09/29/25          6.000          164,459  
  650       

USS Ultimate Holdings, Inc., LIBOR 3M + 7.750%(9),(10)

      (CCC, Caa2)        08/25/25          8.750          621,972  
                        

 

 

  
                           1,516,557  
                        

 

 

  
                        
 

Telecom - Wireline Integrated & Services (0.4%)

                    
  875       

TVC Albany, Inc., LIBOR 1M + 7.500%(8),(9),(10)

      (CCC, Caa2)        07/23/26          7.650          765,625  
                        

 

 

  
                        
 

Theaters & Entertainment (2.1%)

                    
  1,530       

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

      (B-, B3)        07/03/26          5.500          1,490,112  
  1,594       

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

      (CCC+, B3)        05/18/25          2.900          1,371,948  
  746       

William Morris Endeavor Entertainment LLC, LIBOR 1M + 8.500%(8),(10)

      (CCC+, B3)        05/18/25          9.500          746,250  
                        

 

 

  
                           3,608,310  
                        

 

 

  
 

TOTAL BANK LOANS (Cost $62,762,817)

                       57,576,674  
                        

 

 

  
                        
 

ASSET BACKED SECURITIES (3.7%)

                    
 

Collateralized Debt Obligations (3.7%)

                    
  1,000       

Anchorage Credit Opportunities CLO 1 Ltd., 2019-1A, Rule 144A, LIBOR 3M + 7.550% (1),(10)

      (BB-, NR)        01/20/32          7.822          943,046  
  750       

Battalion CLO 18 Ltd., 2020-18A, Rule 144A, LIBOR 3M + 7.940% (1),(10)

      (NR, NR)        10/15/32          8.212          735,000  
  1,000       

Battalion CLO XV Ltd., 2020-15A, Rule 144A, LIBOR 3M + 6.350% (1),(10)

      (BB-, NR)        01/17/33          6.623          949,903  
  1,000       

KKR CLO Ltd., 16, Rule 144A, LIBOR 3M + 6.750% (1),(10)

      (NR, Ba3)        01/20/29          7.022          866,843  
  1,000       

Oaktree CLO Ltd., 2019-4A, Rule 144A, LIBOR 3M + 7.230% (1),(10)

      (BB-, NR)        10/20/32          7.502          965,896  
  750       

Octagon Investment Partners 48 Ltd., 2020-3A, Rule 144A, LIBOR 3M + 7.660% (1),(10)

      (BB-, NR)        10/20/31          7.892          739,718  
  1,000       

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

      (NR, Baa3)        07/15/28          3.335          973,706  
                        

 

 

  
 

TOTAL ASSET BACKED SECURITIES (Cost $6,403,112)

                  6,174,112  
                        

 

 

  
                        
Number of
Shares		                                           
                        
 

COMMON STOCKS (0.5%)

                   
 

Auto Parts & Equipment (0.3%)

                    
  18,270       

Jason Group, Inc.(8),(11)

                       92,630  
  46,071       

Remainco LLC(7),(8),(11)

                       452,417  
                        

 

 

  
                           545,047  
                        

 

 

  
                        
 

Building & Construction (0.0%)

                    
  5       

White Forest Resources, Inc.(7),(8),(9),(11)

                       —  
                        

 

 

  

 

 

 

 

Number of
Shares		                                          Value    
                        
 

COMMON STOCKS (continued)

                    
 

Chemicals (0.0%)

                    
  2,794       

Project Investor Holdings LLC(7),(8),(9),(11)

                     $ 28  
  46,574       

Proppants Holdings LLC(7),(8),(9),(11)

                       61,477  
                        

 

 

  
                           61,505  
                        

 

 

  
                        
 

Energy - Exploration & Production (0.1%)

                    
  4,796       

Independence Contract Drilling, Inc.(11)

                       11,702  
  12,239       

Talos Energy, Inc.(11)

                       78,942  
                        

 

 

  
                           90,644  
                        

 

 

  
                        
 

Oil Field Equipment & Services (0.0%)

                    
  2,820       

Pioneer Energy Services Corp.(7),(8),(11)

                       2,087  
                        

 

 

  
                        
 

Support - Services (0.1%)

                    
  800       

LTR Holdings LLC(7),(8),(9),(11)

                       151,432  
  433       

Sprint Industrial Holdings LLC, Class G(7),(8),(9),(11)

                       —  
  39       

Sprint Industrial Holdings LLC, Class H(7),(8),(9),(11)

                       —  
  96       

Sprint Industrial Holdings LLC, Class I(7),(8),(9),(11)

                       1  
                        

 

 

  
                           151,433  
                        

 

 

  
                        
 

Theaters & Entertainment (0.0%)

                    
  6,614       

AMC Entertainment Holdings, Inc.(11)

                       31,152  
  22       

NEG Holdings LLC, Litigation Trust Units(7),(8),(9),(11)

                       —  
                        

 

 

  
                           31,152  
                        

 

 

  
 

TOTAL COMMON STOCKS (Cost $2,657,494)

                  881,868  
                        

 

 

  
                        
 

WARRANT (0.0%)

                    
 

Chemicals (0.0%)

                    
  11,643       

Project Investor Holdings LLC, expires 02/20/2022(7),(8),(9),(11) (Cost $6,054)

                       —  
                        

 

 

  
                        
 

SHORT-TERM INVESTMENTS (3.1%)

                    
  5,304,068       

State Street Navigator Securities Lending Government Money Market Portfolio, 0.09%(12) (Cost $5,304,068)

                       5,304,068  
 

TOTAL INVESTMENTS AT VALUE (133.1%) (Cost $241,479,577)

                  226,005,584  
                        
 

LIABILITIES IN EXCESS OF OTHER ASSETS (-33.1%)

                  (56,182,314 ) 
                        

 

 

  
                        
 

NET ASSETS (100.0%)

                     $   169,823,270  
                        

 

 

  

INVESTMENT ABBREVIATIONS

1M = 1 Month

2M = 2 Month

3M = 3 Month

6M = 6 Month

12M = 12 Month

LIBOR = London Interbank Offered Rate

NR = Not Rated

Sarl - société à responsabilité limitée

 

 

†

Credit ratings given by the S&P Global Ratings Division of S&P Global Inc. (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”) are unaudited.

(1) 

Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2020, these securities amounted to a value of $140,753,071 or 82.9% of net assets.

(2) 

Bond is currently in default.

(3) 

Security or portion thereof is out on loan.

(4) 

This security is denominated in British Pound.

(5) 

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

(6) 

This security is denominated in Euro.

(7) 

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

(8) 

Security is valued using significant unobservable inputs.

(9) 

Illiquid security (unaudited).

(10) 

Variable rate obligation — The interest rate shown is the rate in effect as of September 30, 2020.

(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 September 30, 2020.

 

 

 

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

     292,827     

USD

      325,732      10/13/20    Deutsche Bank AG    $ 325,732     $ 343,462     $ 17,730  

EUR

     879,075     

USD

      981,215      10/13/20    JPMorgan Chase      981,215       1,031,082       49,867  

GBP

     36,818     

USD

      44,950      10/13/20    Deutsche Bank AG      44,950       47,601       2,651  

GBP

     43,871     

USD

      54,312      10/13/20    Barclays Bank PLC      54,312       56,720       2,408  

USD

     142,637     

EUR

      126,806      10/13/20    JPMorgan Chase      (142,637 )      (148,734 )      (6,097 ) 

USD

     1,951,639     

EUR

      1,736,952      10/13/20    Morgan Stanley          (1,951,639 )          (2,037,301 )      (85,662 ) 

USD

     188,182     

EUR

      170,105      10/13/20    Deutsche Bank AG      (188,182 )      (199,519 )      (11,337 ) 

USD

     665,333     

GBP

      538,587      10/13/20    Morgan Stanley      (665,333 )      (696,322 )      (30,989 ) 

USD

     14,424     

GBP

      10,946      10/13/20    Barclays Bank PLC      (14,424 )      (14,152 )      272  

USD

     47,073     

GBP

      37,959      10/13/20    Deutsche Bank AG      (47,073 )      (49,078 )      (2,005 ) 

USD

     32,645     

GBP

      25,953      10/13/20    JPMorgan Chase      (32,645 )      (33,555 )      (910 ) 
                    

 

 

  
                    
  $         (64,072 ) 
                    

 

 

  

Currency Abbreviations:

EUR = Euro

GBP = British Pound

USD = United States Dollar

 

 

 

 

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

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

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

 

  •  

Level  1–quoted prices in active markets for identical investments

  •  

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

 

 

 

 

  •  

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

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

The following is a summary of the inputs used as of September 30, 2020 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

    $ —      $ 155,985,184      $ 83,678     $ 156,068,862  

Bank Loans

      —        45,657,912        11,918,762       57,576,674  

Asset Backed Securities

      —        6,174,112        —       6,174,112  

Common Stocks

      121,796        —        760,072       881,868  

Warrants

      —        —        0 (1)      0 (1) 

Short-term Investment

      —        5,304,068        —       5,304,068  
  

 

 

     

 

 

     

 

 

    

 

 

  
   $             121,796      $     213,121,276      $     12,762,512     $     226,005,584  
  

 

 

     

 

 

     

 

 

    

 

 

  

Other Financial Instruments*

           

Forward Foreign Currency Contracts

    $ —      $ 72,928      $ —     $ 72,928  
          

Liabilities    

    Level 1      Level 2      Level 3     Total  

Other Financial Instruments*

           

Forward Foreign Currency Contracts

    $ —      $ 137,000      $ —     $ 137,000  

 

(1) 

Includes zero valued securities.

*

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

The following is a reconciliation of investments as of September 30, 2020 for which significant unobservable inputs were used in determining fair value.

 

     Corporate
Bonds		     Bank
Loans		     Common
Stocks		     Warrant     Total  

Balance as of December 31, 2019

    $ 3,730     $ 14,127,238     $ 1,648,703     $                 0 (1)    $ 15,779,671  

Accrued discounts (premiums)

      —       45,303       —       —       45,303  

Purchases

      856,000       6,531,589       1,902,195       —       9,289,784  

Sales

      (389,149 )      (1,827,925 )      (444,506 )      —       (2,661,580 ) 

Realized gain (loss)

      (281,851 )      (186,130 )      (710,105 )      —       (1,178,086 ) 

Change in unrealized appreciation (depreciation)

      (105,052 )      (1,053,064 )      (1,636,215 )      —       (2,794,331 ) 

Transfers into Level 3

      —       3,703,066       —       —       3,703,066  

Transfers out of Level 3

      —       (9,421,315 )      —       —       (9,421,315 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Balance as of September 30, 2020

    $ 83,678     $     11,918,762     $ 760,072     $ 0 (1)    $     12,762,512  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation (depreciation) from investments still held as of September 30, 2020

    $     (105,052 )    $ (459,714 )    $     (1,023,340 )      —     $ (1,588,106 ) 

 

(1) 

Includes zero valued securities.

Quantitative Disclosure About Significant Unobservable Inputs

 

Asset Class

    Fair Value
At 09/30/2020		     

Valuation
Techniques

  

Unobservable

Input

   Range
(Weighted Average) *		  

Corporate Bonds

    $ 3,730      Income Approach   Expected remaining distribution   $ 0.01 (N/A)  
   $ 79,948      Market Approach   EBITDA Multiples     5.9 (N/A)  

Bank Loans

    $ 11,918,762      Vendor Pricing   Single Broker Quote   $ 0.36 - $1.16 ($0.95)  

Common Stocks

    $ 92,630      Vendor Pricing   Single Broker Quote   $ 5.07 (N/A)  
   $ 215,024      Market Approach   EBITDA Multiples     3.2 - 8.1 (7.5)  
   $ 452,418      Income Approach   Expected remaining distribution   $ 0.00 - $9.82 ($9.82)  

Warrant

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

 

* Weighted by relative fair value

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

During the period ended September 30, 2020, $3,703,066 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $9,421,315 was transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs. All transfers, if any, are assumed to occur at the end of the reporting period.

Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Fund’s website at www.credit-suisse.com/us/funds, as well as on the website of the Securities and Exchange Commission at www.sec.gov.