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Form N-CSRS CREDIT SUISSE HIGH YIELD For: Apr 30

June 30, 2022 11:38 AM EDT

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File No. 811-08777

 

 

CREDIT SUISSE HIGH YIELD BOND FUND

(Exact Name of Registrant as Specified in Charter)

 

 

Eleven Madison Avenue, New York, New York 10010

(Address of Principal Executive Offices) (Zip Code)

 

 

John G. Popp

Credit Suisse High Yield Bond Fund

Eleven Madison Avenue

New York, New York 10010

 

 

Registrant’s telephone number, including area code: (212) 325-2000

Date of fiscal year end: October 31

Date of reporting period: November 1, 2021 to April 30, 2022

 

 

 


Item 1. Reports to Stockholders.


Credit Suisse High Yield Bond Fund

Eleven Madison Avenue

New York, NY 10010

 

 

Trustees

Steven N. Rappaport

Chairman of the Board

Laura A. DeFelice

Jeffrey E. Garten

Mahendra R. Gupta

John G. Popp

 

 

Officers

John G. Popp

Chief Executive Officer and President

Thomas J. Flannery

Chief Investment Officer

Rachael Hoffman

Chief Compliance Officer

Lou Anne McInnis

Chief Legal Officer

Omar Tariq

Chief Financial Officer and Treasurer

Karen Regan

Senior Vice President and Secretary

 

 

Investment Adviser

Credit Suisse Asset Management, LLC

Eleven Madison Avenue

New York, NY 10010

 

 

Administrator and Custodian

State Street Bank and Trust Co.

One Lincoln Street

Boston, MA 02111

 

 

Shareholder Servicing Agent

Computershare Trust Company, N.A.

P.O. Box 30170

College Station, TX 77842-3170

 

 

Legal Counsel

Willkie Farr & Gallagher LLP

787 7th Avenue

New York, NY 10019

 

 

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

300 Madison Avenue

New York, NY 10017

 

 

 

 

Credit Suisse

High Yield Bond Fund

 

 

SEMIANNUAL REPORT

April 30, 2022

(unaudited)

 


Credit Suisse High Yield Bond Fund

Semiannual Investment Adviser’s Report

April 30, 2022 (unaudited)

 

 

June 9, 2022

Dear Shareholder:

We are pleased to present this Semiannual Report covering the activities of the Credit Suisse High Yield Bond Fund (the “Fund”) for the six-month period ended April 30, 2022.

Performance Summary

11/1/21 – 4/30/22

 

Fund & Benchmark    Performance  

Total Return (based on net asset value (“NAV”))1

     (6.47 %) 

Total Return (based on market value)1

     (13.34 %) 

ICE BofA US High Yield Constrained Index2

     (7.18 %) 

Market Review: Inflation and Uncertainty

The semiannual period ended April 30, 2022 (the “period”) was negative for the high yield market. Risk assets came under pressure due to tightening global financial conditions, economic uncertainty driven by the crisis in Ukraine, and the lasting effects of the COVID-19 pandemic.

The ICE BofA US High Yield Constrained Index (the “Index” and the Fund’s Benchmark), lost -7.18% for the period. After posting a third straight year of positive returns in 2021, the high yield market started 2022 with negative returns in each of the first four months of the year. Longer term U.S. Treasury yields widened out meaningfully ahead of the U.S. Federal Reserve’s interest rate hike in March. Yields continued to increase, as inflationary pressure and geopolitical tensions gripped the global economy. Overall, yields within the high yield asset class increased to end the period at 6.96%—275 basis points wider than yields as of October 31, 2021—while spreads widened more moderately, to +415 basis points versus +328 basis points.

For the period, B-rated bonds strongly outperformed the Index, losing -5.83% during the period. CCC-rated bonds were relatively in line with the Index, losing -7.13%. Conversely, BB-rated bonds underperformed the Index, losing -8.04%.

From an industry perspective, oil field equipment & services, oil refining & marketing, and transport infrastructure/services were the best performing sectors, returning +1.21%, +0.57% and -3.72%, respectively, during the period. In contrast, the worst performing sectors included discount stores, automakers, and beverage, losing -23.77%, -11.82% and -11.64%, respectively.

Default activity has been remarkably low in recent months for the high yield market. According to JPMorgan, the default rate, including distressed exchanges, ended the period at 0.48%—down 320 basis points over the prior year. In 2022, while we expect default rates to trend higher, we believe they will remain well below long-term averages.

After a very strong period of inflows in 2020—with mutual funds bringing in $44.9 billion—flows turned negative in 2021 (-$13.2 billion). So far in 2022, outflows have accelerated and total $33.3 billion, as of April 30, 2022.

New high yield bond issuance totaled a record $483.0 billion for 2021, an increase of approximately 7% year-over-year. In the year-to-date through April 30, 2022, high yield issuance totaled $57.4 billion—down approximately 72% year-over-year, as capital markets activity has slowed down due to volatility and economic uncertainty.

 

1


Credit Suisse High Yield Bond Fund

Semiannual Investment Adviser’s Report (continued)

April 30, 2022 (unaudited)

 

 

Strategic Review and Outlook: Cautiously optimistic

For the six-month period ending April 30, 2022, the Fund outperformed its benchmark. Positive security selection in the basic industry and leisure sectors contributed to relative performance. Additionally, underweights and positive security selection in both the media and consumer goods sectors also added to relative returns.

We have been impressed with the pricing power and earnings levels that leveraged finance companies have been able to maintain in the face of unprecedented inflation. However, looking forward, we are concerned about potential for demand erosion, particularly in the consumer and housing sectors. Additionally, given the uncertain earnings outlook, we expect to see increased volatility in all risk asset classes that could lead to opportunities. We believe default rates should remain below historical levels, although it is likely the current economic environment will eventually result in an increase in defaults.

 

Thomas J. Flannery    John G. Popp
Chief Investment Officer*    Chief Executive Officer and President**

High yield bonds are lower-quality bonds that are also known as “junk bonds.” Such bonds entail greater risks than those found in higher-rated securities.

The Fund is non-diversified, which means it may invest a greater proportion of its assets in securities of a smaller number of issuers than a diversified fund and may therefore be subject to greater volatility.

In addition to historical information, this report contains forward-looking statements, which may concern, among other things, domestic and foreign markets, industry and economic trends and developments and government regulation, and their potential impact on the Fund’s investments. These statements are subject to risks and uncertainties and actual trends, developments and regulations in the future, and their impact on the Fund, could be materially different from those projected, anticipated or implied. The Fund has no obligation to update or revise forward-looking statements.

The views of the Fund’s management are as of the date of this letter and the Fund holdings described in this document are as of April 30, 2022; these views and Fund holdings may have changed subsequent to these dates. Nothing in this document is a recommendation to purchase or sell securities.

 

1 

Assuming reinvestment of distributions.

2 

The ICE BofA US High Yield Constrained Index (the “Index”) is an unmanaged index that tracks the performance of below investment-grade U.S. dollar-denominated corporate bonds issued in the U.S. domestic market, where each issuer’s allocation is limited to 2% of the Index. The Index does not have transaction costs and investors cannot invest directly in the Index.

*

Thomas J. Flannery, Managing Director, is the Head of the Credit Suisse U.S. High Yield Management Team. Mr. Flannery joined Credit Suisse Asset Management, LLC (“Credit Suisse”) in June 2010. He is a portfolio manager for the Credit Investments Group (“CIG”) with responsibility for trading, directing investment decisions, originating and analyzing investment opportunities. Mr. Flannery is also a member of the CIG Credit Committee and is currently a high yield bond portfolio manager and trader for CIG. Mr. Flannery joined Credit Suisse AG in 2000 from First Dominion Capital, LLC where he was an Associate. Mr. Flannery holds a B.S. in Finance from Georgetown University.

**

John G. Popp is a Managing Director of Credit Suisse and Group Head and Chief Investment Officer of CIG, with primary responsibility for making investment decisions and monitoring processes for CIG’s global investment strategies. Mr. Popp also serves as Trustee, Chief Executive Officer and President of the Credit Suisse Funds, as well as serving as Director, Chief Executive Officer and President for the Credit Suisse Asset Management Income Fund, Inc. and Trustee, Chief Executive Officer and President of the Credit Suisse High Yield Bond Fund. Mr. Popp has been associated with Credit Suisse since 1997.

 

2


Credit Suisse High Yield Bond Fund

Semiannual Investment Adviser’s Report (continued)

April 30, 2022 (unaudited)

 

 

       1 Year        5 Years        10 Years  

Net Asset Value (NAV)

       (4.09)%          5.10%          7.47%  

Market Value

       (8.26)%          3.25%          5.88%  

Credit Suisse may waive fees and/or reimburse expenses, without which performance would be lower. Waivers and/or reimbursements are subject to change and may be discontinued at any time. Returns represent past performance and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total investment return at NAV is based on the change in the NAV of Fund shares and assumes reinvestment of dividends, capital gains, and return of capital distributions, if any, at prices pursuant to the Fund’s dividend reinvestment program. Total investment return at market value is based on the change in the market price at which the Fund’s shares traded on the NYSE American during the period and assumes reinvestment of dividends, capital gains, and return of capital distributions, if any, at prices pursuant to the Fund’s dividend reinvestment program. Because the Fund’s shares trade in the stock market based on investor demand, the Fund may trade at a price higher or lower than its NAV. Therefore, returns are calculated based on NAV and share price. Past performance is no guarantee of future results. The current performance of the Fund may be lower or higher than the figures shown. The Fund’s yield, return, NAV and market price will fluctuate. Performance information current to the most recent month end is available by calling 1-800-293-1232.

The annualized gross and net expense ratios are 1.88% and 1.71%, respectively.

Credit Quality Breakdown*

(% of Total Investments as of April 30, 2022)

 

S&P Ratings**

 

BBB

     0.5

BB

     26.5  

B

     39.5  

CCC

     24.8  

CC

     0.1  

NR

     6.3  
  

 

 

 

Subtotal

     97.7  

Equity and Other

     2.3  
  

 

 

 

Total

     100.0
  

 

 

 

 

*

Expressed as a percentage of total investments (excluding securities lending collateral, if applicable) and may vary over time.

**

Credit Quality is based on ratings provided by the S&P Global Ratings Division of S&P Global Inc. (“S&P”). S&P is a main provider of ratings for credit assets classes and is widely used amongst industry participants. The NR category consists of securities that have not been rated by S&P.

 

3


Credit Suisse High Yield Bond Fund

Schedule of Investments

April 30, 2022 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (100.0%)

           
 

Aerospace & Defense (0.7%)

           
$ 365    

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

   (BB-, Ba3)      09/30/28        4.750      $ 345,060  
  1,250    

TransDigm, Inc., Global Company Guaranteed Notes
(Callable 05/31/22 @ 103.75)

   (B-, B3)      03/15/27        7.500        1,261,075  
             

 

 

 
                1,606,135  
             

 

 

 
 

Auto Parts & Equipment (1.9%)

           
  4,030    

Clarios U.S. Finance Co., Rule 144A, Company Guaranteed Notes
(Callable 05/31/22 @ 104.25)(1)

   (CCC+, Caa1)      05/15/27        8.500        4,032,579  
  450    

Cooper-Standard Automotive, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/16/22 @ 102.81)(1)

   (CCC-, Caa2)      11/15/26        5.625        212,392  
  350    

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

   (B+, Ba3)      01/15/29        7.875        354,106  
             

 

 

 
                4,599,077  
             

 

 

 
 

Automakers (0.5%)

           
  300    

Thor Industries, Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/15/24 @ 102.00)(1)

   (BB-, B1)      10/15/29        4.000        253,908  
  990    

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

   (BB+, Ba3)      07/15/28        6.250        983,565  
             

 

 

 
                1,237,473  
             

 

 

 
 

Brokerage (0.6%)

           
  1,320    

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

   (BB-, Ba3)      06/15/25        8.625        1,382,324  
             

 

 

 
 

Building & Construction (2.8%)

 
  2,010    

Adams Homes, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/16/22 @ 103.75)(1)

   (B+, B2)      02/15/25        7.500        1,964,363  
  600    

APi Escrow Corp., Rule 144A, Company Guaranteed Notes
(Callable 10/15/24 @ 102.38)(1)

   (B, B1)      10/15/29        4.750        545,865  
  1,570    

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

   (B+, B1)      02/01/28        5.750        1,489,485  
  2,400    

PGT Innovations, Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/01/24 @ 102.19)(1)

   (B+, B1)      10/01/29        4.375        2,108,916  
  600    

Pike Corp., Rule 144A, Company Guaranteed Notes
(Callable 09/01/23 @ 102.75)(1)

   (CCC+, B3)      09/01/28        5.500        551,337  
             

 

 

 
                6,659,966  
             

 

 

 
 

Building Materials (5.2%)

           
  300    

Builders FirstSource, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/01/25 @ 102.50)(1)

   (BB-, Ba2)      03/01/30        5.000        277,907  
  1,150    

Eco Material Technologies, Inc., Rule 144A, Senior Secured Notes
(Callable 01/31/24 @ 103.94)(1)

   (B, B2)      01/31/27        7.875        1,114,839  
  2,610    

Foundation Building Materials, Inc., Rule 144A, Company Guaranteed Notes
(Callable 03/01/24 @ 103.00)(1)

   (CCC+, Caa1)      03/01/29        6.000        2,126,863  

 

See Accompanying Notes to Financial Statements.

 

4


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2022 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Building Materials

           
$ 1,970    

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

   (BB+, Ba1)      01/15/28        5.000      $ 1,902,596  
  2,497    

MIWD Finance Corp., Rule 144A, Company Guaranteed Notes
(Callable 02/01/25 @ 102.75)(1)

   (B, B3)      02/01/30        5.500        2,162,901  
  1,750    

Oscar Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 04/15/25 @ 104.75)(1)

   (CCC+, Caa1)      04/15/30        9.500        1,596,368  
  1,410    

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

   (CCC, Caa1)      02/01/29        5.625        1,084,088  
  1,000    

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

   (CCC, Caa1)      08/01/29        6.750        802,012  
  1,200    

Standard Industries, Inc., Rule 144A, Senior Unsecured Notes
(Callable 07/15/25 @ 102.19)(1)

   (BB, B1)      07/15/30        4.375        1,002,000  
  300    

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

   (BB, Ba3)      01/15/29        5.250        281,802  
             

 

 

 
                12,351,376  
             

 

 

 
 

Cable & Satellite TV (3.0%)

           
  1,315    

CSC Holdings LLC, Global Senior Unsecured Notes

   (B+, B3)      06/01/24        5.250        1,286,977  
  525    

CSC Holdings LLC, Rule 144A, Company Guaranteed Notes
(Callable 05/31/22 @ 102.75)(1)

   (BB, Ba3)      04/15/27        5.500        507,418  
  750    

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

   (BB, Ba3)      02/01/28        5.375        690,000  
  900    

CSC Holdings LLC, Rule 144A, Company Guaranteed Notes
(Callable 11/15/26 @ 102.25)(1)

   (BB, Ba3)      11/15/31        4.500        746,597  
  2,000    

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

   (BB-, Ba3)      03/01/28        5.500        1,930,000  
  900    

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

   (BB-, B1)      07/15/31        4.875        792,509  
  1,000    

Virgin Media Secured Finance PLC, Rule 144A, Senior Secured Notes
(Callable 05/09/22 @ 102.50)(1),(2)

   (BB-, Ba3)      04/15/27        5.000        1,230,121  
             

 

 

 
                7,183,622  
             

 

 

 
 

Chemicals (3.7%)

           
  300    

Avient Corp., Rule 144A, Senior Unsecured Notes
(Callable 05/31/22 @ 102.88)(1)

   (BB-, Ba3)      05/15/25        5.750        303,405  
  1,200    

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

   (B, B2)      05/15/28        4.750        1,054,500  
  1,200    

Herens Midco Sarl, Rule 144A, Company Guaranteed Notes
(Callable 05/15/24 @ 102.63)(1),(3)

   (CCC+, Caa2)      05/15/29        5.250        1,049,275  
  1,200    

LSF11 A5 Holdings LLC, Rule 144A, Senior Unsecured Notes
(Callable 10/15/24 @ 103.31)(1)

   (B-, Caa1)      10/15/29        6.625        1,046,856  
  525    

Olympus Water U.S. Holding Corp., Rule 144A, Senior Unsecured Notes
(Callable 10/01/24 @ 103.13)(1),(4)

   (CCC+, Caa2)      10/01/29        6.250        436,398  
  2,150    

PMHC II, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/15/25 @ 104.50)(1)

   (CCC+, Caa2)      02/15/30        9.000        1,733,588  

 

See Accompanying Notes to Financial Statements.

 

5


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2022 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Chemicals

           
$ 272    

Reichhold Industries, Inc., Rule 144A, Senior Secured Notes(1),(5),(6),(7),(8),(9)

   (NR, NR)      05/01/18        0.000      $ 3,667  
  1,800    

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

   (CCC+, Caa2)      05/15/26        6.750        1,470,303  
  600    

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

   (B, B2)      04/01/29        5.125        528,768  
  1,200    

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

   (BB-, B1)      03/15/29        4.625        1,075,416  
             

 

 

 
                8,702,176  
             

 

 

 
 

Consumer/Commercial/Lease Financing (1.2%)

           
  2,900    

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

   (BB, Ba3)      02/01/28        4.750        2,729,784  
             

 

 

 
 

Diversified Capital Goods (2.1%)

           
  1,725    

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

   (BB-, Ba3)      06/01/31        4.250        1,529,290  
  2,547    

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

   (BB, Ba3)      12/15/28        4.625        2,328,149  
  600    

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

   (B, B1)      06/30/28        4.125        529,503  
  600    

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

   (CCC+, Caa1)      06/30/29        5.875        489,744  
             

 

 

 
                4,876,686  
             

 

 

 
 

Electronics (0.8%)

           
  646    

II-VI, Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/14/24 @ 102.50)(1)

   (B+, B2)      12/15/29        5.000        606,494  
  345    

Sensata Technologies B.V., Rule 144A, Company Guaranteed Notes
(Callable 04/15/24 @ 102.00)(1)

   (BB+, Ba3)      04/15/29        4.000        307,981  
  1,200    

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

   (B+, Ba3)      06/15/29        4.000        1,059,546  
             

 

 

 
                1,974,021  
             

 

 

 
 

Energy - Exploration & Production (1.9%)

           
  250    

CNX Resources Corp., Rule 144A, Company Guaranteed Notes
(Callable 05/31/22 @ 105.44)(1)

   (BB, B1)      03/14/27        7.250        255,869  
  800    

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

   (BB, B1)      01/15/29        6.000        791,372  
  350    

Laredo Petroleum, Inc., Rule 144A, Company Guaranteed Notes
(Callable 07/31/24 @ 103.88)(1),(4)

   (B, B3)      07/31/29        7.750        343,424  
  895    

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

   (B+, B3)      03/01/28        8.125        891,639  
  900    

Rockcliff Energy II LLC, Rule 144A, Senior Unsecured Notes
(Callable 10/15/24 @ 102.75)(1)

   (B+, B3)      10/15/29        5.500        874,237  
  1,315    

W&T Offshore, Inc., Rule 144A, Secured Notes
(Callable 05/31/22 @ 102.44)(1)

   (B, Caa2)      11/01/23        9.750        1,307,958  
             

 

 

 
                4,464,499  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

6


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2022 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Environmental (0.1%)

           
$ 300    

Stericycle, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/15/23 @ 101.94)(1)

   (BB-, NR)      01/15/29        3.875      $ 264,954  
             

 

 

 
 

Food - Wholesale (0.8%)

           
  600    

Lamb Weston Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 01/31/27 @ 102.19)(1)

   (BB+, Ba3)      01/31/32        4.375        539,391  
  375    

U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/15/24 @ 102.38)(1)

   (B+, B3)      02/15/29        4.750        346,927  
  1,150    

U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/01/25 @ 102.31)(1)

   (B+, B3)      06/01/30        4.625        1,030,613  
             

 

 

 
                1,916,931  
             

 

 

 
 

Gaming (2.1%)

           
  500    

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

   (BB-, B3)      06/15/31        4.750        452,950  
  1,200    

CDI Escrow Issuer, Inc., Rule 144A, Senior Unsecured Notes
(Callable 04/01/25 @ 102.88)(1)

   (B+, NR)      04/01/30        5.750        1,158,342  
  332    

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

   (B+, B1)      01/15/28        4.750        310,850  
  1,800    

Fertitta Entertainment Finance Co., Inc, Rule 144A, Senior Secured Notes
(Callable 01/15/25 @ 102.31)(1)

   (B, B2)      01/15/29        4.625        1,635,615  
  1,000    

Jacobs Entertainment, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/15/25 @ 103.38)(1)

   (B, B2)      02/15/29        6.750        980,985  
  480    

Peninsula Pacific Entertainment Finance, Rule 144A, Senior Unsecured Notes (Callable 11/15/23 @ 104.25)(1)

   (B, B3)      11/15/27        8.500        526,814  
             

 

 

 
                5,065,556  
             

 

 

 
 

Gas Distribution (5.9%)

           
  1,200    

CNX Midstream Partners LP, Rule 144A, Company Guaranteed Notes
(Callable 04/15/25 @ 102.38)(1)

   (BB, B1)      04/15/30        4.750        1,105,614  
  2,750    

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 05/31/22 @ 100.94)

   (B, B2)      06/15/24        5.625        2,700,280  
  1,125    

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 05/31/22 @ 103.13)

   (B, B2)      05/15/26        6.250        1,050,671  
  1,800    

Hess Midstream Operations LP, Rule 144A, Company Guaranteed Notes
(Callable 06/15/23 @ 102.56)(1)

   (BB+, Ba2)      06/15/28        5.125        1,744,137  
  600    

Hess Midstream Operations LP, Rule 144A, Company Guaranteed Notes
(Callable 10/15/25 @ 102.75)(1)

   (BB+, Ba2)      10/15/30        5.500        592,038  
  600    

Holly Energy Finance Corp. Rule 144A, Company Guaranteed Notes
(Callable 04/15/24 @ 103.19)(1)

   (BB+, Ba3)      04/15/27        6.375        612,693  
  1,460    

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

   (B, B2)      08/01/29        6.500        1,300,422  
  1,450    

New Fortress Energy, Inc., Rule 144A, Senior Secured Notes
(Callable 03/31/23 @ 103.25)(1)

   (BB-, B1)      09/30/26        6.500        1,404,919  
  1,770    

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

   (BB+, Ba2)      07/15/29        4.950        1,659,180  

 

See Accompanying Notes to Financial Statements.

 

7


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2022 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Gas Distribution

           
$ 915    

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

   (BB+, Ba2)      05/15/30        4.800      $ 839,330  
  300    

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

   (BB-, B1)      06/01/31        5.000        273,248  
  750    

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

   (BB-, B1)      10/01/25        7.500        766,838  
             

 

 

 
                14,049,370  
             

 

 

 
 

Health Facilities (0.5%)

           
  300    

Option Care Health, Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/31/24 @ 102.19)(1)

   (B-, B3)      10/31/29        4.375        270,033  
  775    

Surgery Center Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/31/22 @ 105.00)(1)

   (CCC, Caa2)      04/15/27        10.000        810,960  
             

 

 

 
                1,080,993  
             

 

 

 
 

Health Services (4.2%)

           
  1,560    

AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes
(Callable 04/15/24 @ 102.00)(1)

   (BB-, Ba3)      04/15/29        4.000        1,413,969  
  600    

MEDNAX, Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/15/25 @ 102.69)(1)

   (B+, Ba3)      02/15/30        5.375        560,055  
  2,400    

Minerva Merger Sub, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/15/25 @ 103.25)(1)

   (CCC, Caa2)      02/15/30        6.500        2,212,500  
  180    

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

   (CCC+, B3)      06/01/25        7.375        183,839  
  2,223    

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

   (BB-, Ba3)      12/15/24        4.375        2,217,109  
  2,750    

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

   (CCC, Caa2)      02/01/28        9.250        2,616,405  
  335    

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

   (B-, B2)      12/15/25        5.250        312,012  
  589    

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

   (BB, Ba3)      05/15/31        4.000        531,013  
             

 

 

 
                10,046,902  
             

 

 

 
 

Insurance Brokerage (4.7%)

           
  3,178    

Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 05/31/22 @ 101.75)(1)

   (CCC+, Caa2)      11/15/25        7.000        3,098,598  
  1,000    

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

   (CCC+, Caa2)      08/01/26        10.125        1,041,340  
  264    

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

   (CCC+, Caa2)      10/15/27        6.750        249,947  
  1,200    

GTCR AP Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 05/31/22 @ 104.00)(1)

   (CCC+, Caa2)      05/15/27        8.000        1,197,084  
  950    

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

   (B, B1)      08/15/28        4.875        865,801  

 

See Accompanying Notes to Financial Statements.

 

8


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2022 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Insurance Brokerage

           
$ 4,055    

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

   (CCC+, Caa2)      08/15/28        6.875      $ 3,583,505  
  1,200    

Ryan Specialty Group LLC, Rule 144A, Senior Secured Notes
(Callable 02/01/25 @ 102.19)(1)

   (BB-, B1)      02/01/30        4.375        1,095,936  
             

 

 

 
                11,132,211  
             

 

 

 
 

Investments & Misc. Financial Services (3.0%)

           
  2,090    

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

   (B-, B2)      03/01/28        6.250        2,045,828  
  2,250    

Armor Holdco, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/15/24 @ 104.25)(1)

   (CCC+, Caa1)      11/15/29        8.500        2,178,394  
  1,750    

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

   (B+, B1)      04/15/29        5.250        1,572,812  
  1,150    

Compass Group Diversified Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 01/15/27 @ 102.50)(1)

   (B+, B1)      01/15/32        5.000        979,162  
  203    

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

   (B, B3)      03/15/26        8.625        196,778  
  300    

Paysafe Holdings U.S. Corp., Rule 144A, Senior Secured Notes
(Callable 06/15/24 @ 102.00)(1)

   (B, B1)      06/15/29        4.000        244,899  
             

 

 

 
                7,217,873  
             

 

 

 
 

Machinery (4.3%)

           
  1,850    

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

   (BB, Ba2)      04/15/29        4.375        1,690,336  
  1,775    

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

   (B+, B2)      12/15/28        4.125        1,608,674  
  2,100    

Dornoch Debt Merger Sub, Inc., Rule 144A, Senior Unsecured Notes
(Callable 10/15/24 @ 103.31)(1)

   (CCC, Caa1)      10/15/29        6.625        1,724,625  
  1,950    

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

   (CCC+, Caa1)      10/01/27        11.000        2,016,085  
  2,735    

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

   (B+, B1)      07/31/27        5.750        2,495,838  
  600    

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

   (BB+, Ba1)      06/15/25        5.750        609,477  
             

 

 

 
                10,145,035  
             

 

 

 
 

Managed Care (0.4%)

           
  1,050    

HealthEquity, Inc., Rule 144A, Company Guaranteed Notes
(Callable 10/01/24 @ 102.25)(1)

   (B, B3)      10/01/29        4.500        960,750  
             

 

 

 
 

Media - Diversified (0.1%)

           
  300    

News Corp., Rule 144A, Company Guaranteed Notes
(Callable 02/15/27 @ 102.56)(1)

   (BB+, Ba1)      02/15/32        5.125        286,962  
             

 

 

 
 

Media Content (0.4%)

           
  1,507    

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

   (CCC-, Ca)      08/15/27        6.625        316,470  

 

See Accompanying Notes to Financial Statements.

 

9


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2022 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Media Content

           
$ 925    

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

   (CCC+, Caa3)      08/15/26        5.375      $ 338,772  
  300    

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

   (BB, Ba3)      07/15/28        4.000        271,538  
             

 

 

 
                926,780  
             

 

 

 
 

Medical Products (1.6%)

           
  1,000    

Embecta Corp., Rule 144A, Senior Secured Notes
(Callable 02/15/27 @ 101.25)(1)

   (B+, Ba3)      02/15/30        5.000        904,210  
  1,200    

Mozart Debt Merger Sub, Inc., Rule 144A, Senior Secured Notes
(Callable 10/01/24 @ 101.94)(1)

   (B+, B1)      04/01/29        3.875        1,048,644  
  2,100    

Mozart Debt Merger Sub, Inc., Rule 144A, Senior Unsecured Notes
(Callable 10/01/24 @ 102.63)(1),(4)

   (B-, Caa1)      10/01/29        5.250        1,830,444  
             

 

 

 
                3,783,298  
             

 

 

 
 

Metals & Mining - Excluding Steel (3.4%)

           
  375    

Canpack U.S. LLC, Rule 144A, Company Guaranteed Notes
(Callable 11/15/24 @ 101.94)(1)

   (BB, NR)      11/15/29        3.875        322,540  
  2,100    

ERO Copper Corp., Rule 144A, Company Guaranteed Notes
(Callable 02/15/25 @ 103.25)(1)

   (B, B1)      02/15/30        6.500        1,887,375  
  200    

First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes
(Callable 05/10/22 @ 100.00)(1)

   (B+, Wr)      04/01/23        7.250        200,177  
  2,150    

First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes
(Callable 05/10/22 @ 103.44)(1)

   (B+, NR)      03/01/26        6.875        2,163,835  
  600    

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

   (BB, B1)      03/01/28        4.625        551,481  
  600    

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

   (BB, B1)      06/01/31        4.500        518,367  
  182    

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

   (BB, B1)      01/30/30        4.750        167,645  
  1,692    

SunCoke Energy, Inc., Rule 144A, Senior Secured Notes
(Callable 06/30/24 @ 102.44)(1)

   (BB, B1)      06/30/29        4.875        1,519,128  
  825    

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

   (B-, B3)      02/15/26        7.000        819,815  
             

 

 

 
                8,150,363  
             

 

 

 
 

Packaging (3.7%)

           
  690    

Ardagh Metal Packaging Finance PLC, Rule 144A, Senior Unsecured Notes
(Callable 05/15/24 @ 101.50)(1),(3)

   (B+, B3)      09/01/29        3.000        596,796  
  650    

Crown Americas Capital Corp. VI, Global Company Guaranteed Notes
(Callable 05/31/22 @ 102.38)

   (BB-, Ba3)      02/01/26        4.750        647,858  
  600    

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

   (B-, B3)      09/15/28        6.000        565,500  
  2,895    

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

   (B+, Ba3)      06/15/29        4.375        2,981,691  

 

See Accompanying Notes to Financial Statements.

 

10


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2022 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Packaging

           
$ 800    

Pactiv Evergreen Group Issuer LLC, Rule 144A, Senior Secured Notes
(Callable 10/15/23 @ 102.00)(1)

   (B+, B1)      10/15/27        4.000      $ 699,124  
  3,570    

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

   (BB-, Ba3)      04/15/29        4.125        3,199,898  
             

 

 

 
                8,690,867  
             

 

 

 
 

Personal & Household Products (1.3%)

           
  1,200    

Diamond BC B.V., Rule 144A, Company Guaranteed Notes
(Callable 10/01/24 @ 102.31)(1)

   (B, Caa1)      10/01/29        4.625        1,033,848  
  2,000    

High Ridge Brands Co., Rule 144A, Senior Unsecured Notes(1),(5),(6),(7),(9)

   (NR, NR)      03/15/25        0.000        22,500  
  2,400    

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

   (CCC+, Caa2)      06/01/29        6.375        1,905,120  
             

 

 

 
                2,961,468  
             

 

 

 
 

Pharmaceuticals (3.3%)

           
  1,600    

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

   (B, B3)      05/30/29        7.250        1,210,024  
  325    

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

   (B, B3)      01/30/30        5.250        225,966  
  600    

Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/15/26 @ 102.63)(1)

   (B, B3)      02/15/31        5.250        417,765  
  600    

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

   (BB, Ba2)      06/01/28        4.875        533,076  
  1,064    

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

   (BB-, Ba3)      08/15/28        3.875        904,937  
  1,350    

Endo Finance LLC, Rule 144A, Senior Secured Notes
(Callable 05/30/22 @ 100.00)(1)

   (B-, B3)      10/15/24        5.875        1,243,978  
  600    

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

   (B-, B3)      04/01/29        6.125        525,633  
  1,400    

Grifols Escrow Issuer S.A., Rule 144A, Senior Unsecured Notes
(Callable 10/15/24 @ 102.38)(1)

   (B, B3)      10/15/28        4.750        1,279,376  
  1,600    

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

   (BB-, Ba2)      01/15/29        4.375        1,476,040  
             

 

 

 
                7,816,795  
             

 

 

 
 

Real Estate Development & Management (1.0%)

           
  223    

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

   (BB+, NR)      11/15/23        6.125        227,578  
  2,467    

WeWork Cos., Inc., Rule 144A, Company Guaranteed Notes(1),(4)

   (CCC+, Wr)      05/01/25        7.875        2,082,198  
             

 

 

 
              2,309,776  
             

 

 

 
 

Real Estate Investment Trusts (2.3%)

           
  1,906    

Global Net Lease Operating Partnership LP, Rule 144A, Company Guaranteed Notes (Callable 09/15/27 @ 100.00)(1)

   (BBB-, Ba3)      12/15/27        3.750        1,715,804  
  2,100    

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

   (BB, Ba3)      02/15/26        5.500        2,046,313  
  300    

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

   (BB, Ba3)      10/01/24        4.750        292,116  
  1,250    

VICI Note Co., Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/01/26 @ 100.00)(1)

   (NR, NR)      02/01/27        5.750        1,292,819  
             

 

 

 
                5,347,052  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

11


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2022 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Recreation & Travel (5.4%)

           
$ 1,200    

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

   (B, B1)      05/15/29        4.750      $ 1,114,650  
  1,817    

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

   (B, B2)      06/15/26        5.750        1,778,679  
  1,000    

Motion Bondco DAC, Rule 144A, Company Guaranteed Notes
(Callable 11/15/22 @ 103.31)(1),(4)

   (CCC, Caa2)      11/15/27        6.625        922,195  
  848    

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

   (B-, B1)      08/01/25        6.000        862,747  
  2,275    

SeaWorld Parks & Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/24 @ 102.63)(1)

   (B-, Caa1)      08/15/29        5.250        2,073,003  
  600    

SeaWorld Parks & Entertainment, Inc., Rule 144A, Senior Secured Notes
(Callable 05/31/22 @ 104.38)(1)

   (BB-, Ba3)      05/01/25        8.750        629,022  
  2,150    

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 05/31/22 @ 101.22)(1)

   (B-, B3)      07/31/24        4.875        2,144,216  
  400    

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

   (BB-, Ba2)      07/01/25        7.000        416,026  
  3,135    

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

   (BB-, B2)      11/01/27        4.875        2,958,876  
             

 

 

 
                12,899,414  
             

 

 

 
 

Restaurants (0.7%)

           
  1,825    

Yum Brands, Inc., Senior Unsecured Notes (Callable 04/01/27 @ 102.69)

   (BB, Ba3)      04/01/32        5.375        1,746,881  
             

 

 

 
 

Software - Services (4.7%)

 
  350    

CA Magnum Holdings, Rule 144A, Senior Secured Notes
(Callable 10/31/23 @ 102.69)(1)

   (NR, B1)      10/31/26        5.375        336,000  
  890    

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

   (BB+, Ba1)      06/01/27        4.875        895,500  
  250    

CDK Global, Inc., Rule 144A, Senior Unsecured Notes
(Callable 05/15/24 @ 102.63)(1)

   (BB+, Ba1)      05/15/29        5.250        252,238  
  3,150    

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

   (B+, B1)      07/15/29        4.125        2,823,707  
  2,375    

Endurance International Group Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/24 @ 103.00)(1)

   (CCC+, Caa2)      02/15/29        6.000        1,925,341  
  388    

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

   (BB-, Ba3)      12/01/27        5.250        384,303  
  650    

Open Text Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 12/01/26 @ 102.06)(1)

   (BB, Ba2)      12/01/31        4.125        564,535  
  850    

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

   (CCC+, Caa1)      02/01/28        8.250        826,591  
  3,460    

Virtusa Corp., Rule 144A, Senior Unsecured Notes
(Callable 12/15/23 @ 103.56)(1)

   (CCC+, Caa2)      12/15/28        7.125        3,118,619  
             

 

 

 
                11,126,834  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

12


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2022 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Specialty Retail (3.7%)

           
$ 61    

Asbury Automotive Group, Inc., Global Company Guaranteed Notes
(Callable 03/01/23 @ 102.25)

   (BB, B1)      03/01/28        4.500      $ 56,975  
  733    

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

   (BB, B1)      03/01/30        4.750        655,141  
  300    

Asbury Automotive Group, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/15/24 @ 102.31)(1)

   (BB, B1)      11/15/29        4.625        270,501  
  300    

Asbury Automotive Group, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/15/26 @ 102.50)(1)

   (BB, B1)      02/15/32        5.000        266,672  
  1,425    

eG Global Finance PLC, Rule 144A, Senior Secured Notes
(Callable 05/30/22 @ 104.25)(1)

   (B-, B3)      10/30/25        8.500        1,426,845  
  600    

LCM Investments Holdings II LLC, Rule 144A, Senior Unsecured Notes
(Callable 05/01/24 @ 102.44)(1)

   (BB-, B2)      05/01/29        4.875        526,515  
  300    

Murphy Oil U.S.A., Inc., Rule 144A, Company Guaranteed Notes
(Callable 02/15/26 @ 101.88)(1)

   (BB+, Ba2)      02/15/31        3.750        263,958  
  600    

Penske Automotive Group, Inc., Company Guaranteed Notes
(Callable 06/15/24 @ 101.88)

   (BB-, Ba3)      06/15/29        3.750        512,718  
  2,800    

Ruyi U.S. Finance LLC, Rule 144A, Senior Secured Notes
(Callable 05/30/22 @ 103.75)(1)

   (NR, Caa1)      05/01/25        7.500        2,529,996  
  300    

Sonic Automotive, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/15/24 @ 102.31)(1)

   (BB-, B1)      11/15/29        4.625        258,533  
  1,725    

Sonic Automotive, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/15/26 @ 102.44)(1),(4)

   (BB-, B1)      11/15/31        4.875        1,474,771  
  675    

Wolverine World Wide, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/15/24 @ 102.00)(1)

   (BB-, Ba2)      08/15/29        4.000        574,540  
             

 

 

 
                8,817,165  
             

 

 

 
 

Support - Services (7.3%)

           
  1,179    

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

   (B, B2)      06/01/28        4.625        1,036,141  
  471    

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

   (B, B2)      06/01/28        4.625        417,381  
  1,950    

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

   (CCC+, Caa1)      06/01/29        6.000        1,601,467  
  710    

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

   (B, B1)      07/15/29        4.125        634,715  
  600    

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

   (CCC+, Caa1)      07/01/29        4.875        529,509  
  2,400    

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

   (B, B1)      05/01/28        4.500        2,129,832  
  3,065    

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

   (B-, B3)      07/31/26        7.125        3,061,491  
  3,000    

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

   (B, B2)      05/01/29        4.625        2,662,500  
  750    

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

   (BB, B1)      06/15/25        7.125        780,007  

 

See Accompanying Notes to Financial Statements.

 

13


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2022 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Support - Services

           
$ 750    

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

   (BB, B1)      06/15/28        7.250      $ 780,525  
  2,300    

White Cap Buyer LLC, Rule 144A, Senior Unsecured Notes
(Callable 10/15/23 @ 103.44)(1)

   (CCC+, Caa1)      10/15/28        6.875        2,110,399  
  865    

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

   (B+, B2)      08/15/28        4.625        819,851  
  750    

ZipRecruiter, Inc., Rule 144A, Senior Unsecured Notes
(Callable 01/15/25 @ 102.50)(1)

   (BB-, B2)      01/15/30        5.000        702,248  
             

 

 

 
                17,266,066  
             

 

 

 
 

Tech Hardware & Equipment (4.2%)

           
  1,800    

Ciena Corp., Rule 144A, Company Guaranteed Notes
(Callable 01/31/25 @ 102.00)(1)

   (BB, Ba1)      01/31/30        4.000        1,643,886  
  1,690    

CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes
(Callable 05/10/22 @ 102.00)(1)

   (CCC+, B3)      06/15/25        6.000        1,472,413  
  1,135    

CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes
(Callable 05/10/22 @ 102.50)(1)

   (CCC+, B3)      03/15/27        5.000        892,575  
  150    

CommScope, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/31/22 @ 104.13)(1)

   (CCC+, B3)      03/01/27        8.250        129,183  
  615    

CommScope, Inc., Rule 144A, Senior Secured Notes
(Callable 09/01/24 @ 102.38)(1)

   (B, Ba3)      09/01/29        4.750        515,213  
  2,000    

Entegris Escrow Corp., Rule 144A, Senior Secured Notes
(Callable 01/15/29 @ 100.00)(1)

   (BB+, Baa3)      04/15/29        4.750        1,930,340  
  1,800    

Imola Merger Corp., Rule 144A, Senior Secured Notes
(Callable 05/15/24 @ 102.38)(1)

   (BB-, B1)      05/15/29        4.750        1,676,295  
  1,980    

Vertiv Group Corp., Rule 144A, Senior Secured Notes
(Callable 11/15/24 @ 102.06)(1)

   (BB-, B1)      11/15/28        4.125        1,727,580  
             

 

 

 
                9,987,485  
             

 

 

 
 

Telecom - Wireline Integrated & Services (2.6%)

           
  2,485    

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

   (B, B2)      01/15/29        5.125        2,111,927  
  300    

Altice France S.A., Rule 144A, Senior Secured Notes
(Callable 04/15/24 @ 102.56)(1)

   (B, B2)      07/15/29        5.125        254,463  
  300    

Altice France S.A., Rule 144A, Senior Secured Notes
(Callable 10/15/24 @ 102.75)(1)

   (B, B2)      10/15/29        5.500        256,090  
  4,000    

GTT Communications, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/31/22 @ 101.97)(1),(5)

   (NR, Wr)      12/31/24        0.000        350,000  
  1,800    

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

   (B+, B1)      10/15/27        6.750        1,792,062  
  300    

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

   (B+, B1)      07/15/29        5.125        273,600  
  600    

Vmed O2 UK Financing I PLC, Rule 144A, Senior Secured Notes
(Callable 01/31/26 @ 102.13)(1)

   (BB-, Ba3)      01/31/31        4.250        508,056  
  600    

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

   (CCC+, Caa1)      03/01/28        6.125        503,289  
             

 

 

 
                6,049,487  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

14


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2022 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Theaters & Entertainment (2.9%)

           
$ 2,374    

AMC Entertainment Holdings, Inc.,10.00% Cash, 12.00% PIK, Rule 144A, Secured Notes (Callable 06/15/23 @ 106.00)(1)

   (CCC-, Caa3)      06/15/26        10.000      $ 1,991,466  
  2,200    

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/31/22 @ 101.22)(1)

   (B-, B3)      11/01/24        4.875        2,175,503  
  400    

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 05/31/22 @ 102.81)(1)

   (B-, B3)      03/15/26        5.625        395,508  
  500    

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

   (B-, B3)      10/15/27        4.750        470,375  
  1,200    

Technicolor S.A., Rule 144A(1),(3),(6),(9)

   (NR, NR)      05/31/29        4.500        1,234,292  
  600    

Technicolor S.A., Tranche 2 Notes(3)

   (NR, NR)      06/30/24        6.000        668,378  
             

 

 

 
                6,935,522  
             

 

 

 
 

Transport Infrastructure/Services (0.6%)

           
  1,342    

Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes
(Callable 05/10/22 @ 100.00)(1)

   (B, Caa1)      08/15/22        11.250        1,344,476  
             

 

 

 
 

Trucking & Delivery (0.4%)

           
  1,200    

XO Management Holdings, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/01/25 @ 103.19)(1)

   (B-, Caa1)      02/01/30        6.375        1,051,392  
             

 

 

 
 

TOTAL CORPORATE BONDS (Cost $262,244,733)

       237,145,797  
             

 

 

 
 

BANK LOANS (31.9%)

           
 

Aerospace & Defense (1.3%)

           
  1,500    

Amentum Government Services Holdings LLC, LIBOR 3M + 8.750%(6),(10)

   (NR, NR)      01/31/28        10.000        1,496,250  
  400    

Amentum Government Services Holdings LLC, SOFR 3M + 4.000%(10)

   (B, B1)      02/15/29        4.500 – 4.777        398,400  
  1,214    

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

   (NR, NR)      02/01/29        8.500        1,205,319  
             

 

 

 
                3,099,969  
             

 

 

 
 

Auto Parts & Equipment (0.7%)

           
  948    

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

   (B-, B3)      05/19/23        4.758        941,343  
  354    

Jason Group, Inc., LIBOR 1M + 1.000% Cash, 9.000% PIK(10),(11)

   (NR, Caa3)      03/02/26        11.000        349,435  
  493    

Jason Group, Inc., LIBOR 3M + 2.000% Cash, 4.000% PIK(6),(10),(11)

   (NR, Caa1)      08/28/25        7.006        483,568  
             

 

 

 
                1,774,346  
             

 

 

 
 

Banking (0.6%)

           
  1,343    

Citco Funding LLC, LIBOR 3M + 2.500%(10)

   (NR, Ba3)      09/28/23        3.506        1,340,905  
             

 

 

 
 

Chemicals (5.2%)

           
  2,194    

Ascend Performance Materials Operations LLC, LIBOR 3M + 4.750%(10)

   (BB-, Ba3)      08/27/26        5.500        2,195,473  
  5,266    

Atotech B.V., LIBOR 1M + 2.500%(10)

   (B+, B1)      03/18/28        3.264        5,231,637  
  2,268    

Polar U.S. Borrower LLC, LIBOR 1M + 4.750%, LIBOR 3M + 4.750%(6),(10)

   (B-, B3)      10/15/25        5.264        2,219,813  
  2,000    

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

   (CCC-, Caa3)      10/27/25        9.250        1,951,250  
  878    

Zep, Inc., LIBOR 12M + 4.000%(10)

   (CCC+, B2)      08/12/24        5.000        816,292  
             

 

 

 
                12,414,465  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

15


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2022 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

BANK LOANS (continued)

           
 

Diversified Capital Goods (0.8%)

           
$ 1,511    

Electrical Components International, Inc., PRIME + 7.500%(6),(10)

   (B-, B2)      06/26/25        11.000      $ 1,480,872  
  355    

GrafTech Finance, Inc., LIBOR 1M + 3.000%(10)

   (BB, Ba3)      02/12/25        3.764        353,917  
             

 

 

 
                1,834,789  
             

 

 

 
 

Electronics (2.4%)

           
  999    

CPI International, Inc., LIBOR 3M + 7.250%(6),(8),(10)

   (CCC, Caa2)      07/26/25        8.489        949,408  
  2,250    

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

   (CCC+, Caa1)      12/01/25        8.500        2,257,031  
  2,404    

Idemia Group, LIBOR 3M + 4.500%(10)

   (B-, B3)      01/09/26        5.506        2,393,558  
             

 

 

 
                5,599,997  
             

 

 

 
 

Energy - Exploration & Production (0.0%)

           
  2,610    

PES Holdings LLC, 3.000% PIK(5),(10),(11)

   (NR, NR)      12/31/22        3.000        94,629  
             

 

 

 
 

Food & Drug Retailers (0.6%)

           
  1,500    

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

   (CCC, Caa2)      12/21/28        8.178        1,491,255  
             

 

 

 
 

Food - Wholesale (0.3%)

           
  773    

United Natural Foods, Inc., LIBOR 1M + 3.250%(10)

   (BB-, B1)      10/22/25        4.014        769,110  
             

 

 

 
 

Gas Distribution (1.2%)

           
  1,080    

BCP Renaissance Parent LLC, SOFR 1M + 3.500%(10)

   (B+, B2)      10/31/26        4.500        1,072,351  
  1,734    

Traverse Midstream Partners LLC, SOFR 3M + 4.250%(10)

   (B+, B3)      09/27/24        5.384 – 5.950        1,731,502  
             

 

 

 
                2,803,853  
             

 

 

 
 

Health Services (1.4%)

           
  823    

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

   (B-, B1)      05/08/23        7.756        819,441  
  2,395    

U.S. Radiology Specialists, Inc., LIBOR 3M + 5.250%(10)

   (B-, B3)      12/15/27        6.256        2,390,191  
             

 

 

 
                3,209,632  
             

 

 

 
 

Investments & Misc. Financial Services (1.5%)

           
  2,329    

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

   (CCC, Caa2)      08/02/29        7.500        2,310,024  
  1,298    

Deerfield Dakota Holding LLC, LIBOR 1M + 6.750%(6),(10)

   (CCC, Caa2)      04/07/28        7.514        1,314,303  
  143    

Ditech Holding Corp.(5),(7)

   (NR, Wr)      06/30/22        0.000        28,523  
             

 

 

 
                3,652,850  
             

 

 

 
 

Life Insurance (0.5%)

           
  1,337    

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

   (B-, B2)      10/01/26        6.764        1,237,719  
             

 

 

 
 

Machinery (0.8%)

           
  1,223    

LTI Holdings, Inc., LIBOR 1M + 6.750%(8),(10)

   (CCC+, Caa2)      09/06/26        7.514        1,201,516  
  585    

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

   (B-, B2)      09/06/25        4.264        574,005  
             

 

 

 
                1,775,521  
             

 

 

 
 

Media - Diversified (0.1%)

           
  178    

Diamond Sports Group, LLC, SOFR 1M + 8.000%(10)

   (B, B2)      05/26/26        9.000        181,039  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

16


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2022 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

BANK LOANS (continued)

           
 

Medical Products (0.8%)

           
$ 919    

Femur Buyer, Inc., LIBOR 3M + 5.500%(6),(10)

   (NR, NR)      03/05/24        6.506      $ 807,355  
  987    

Viant Medical Holdings, Inc., LIBOR 1M + 6.250%(6),(10)

   (CCC+, B3)      07/02/25        7.250        979,937  
             

 

 

 
                1,787,292  
             

 

 

 
 

Packaging (0.2%)

           
  800    

Strategic Materials, Inc., LIBOR 3M + 7.750%(6),(8),(10)

   (CC, C)      10/31/25        8.750        444,000  
             

 

 

 
 

Personal & Household Products (1.6%)

           
  1,200    

ABG Intermediate Holdings 2 LLC, SOFR 3M + 6.000%(10)

   (CCC+, Caa1)      12/20/29        6.801        1,192,500  
  1,739    

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

   (B, B2)      08/10/23        8.500        1,731,574  
  1,054    

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

   (B-, Caa2)      08/10/23        8.500        954,570  
             

 

 

 
                3,878,644  
             

 

 

 
 

Pharmaceuticals (1.9%)

           
  1,177    

Akorn Holding Company LLC, LIBOR 3M + 7.500%(10)

   (CCC+, Caa2)      10/01/25        8.500        1,180,629  
  1,413    

Bausch Health Companies, Inc.(12)

   (BB, Ba2)      06/02/25        0.000        1,407,843  
  1,980    

Bausch Health Companies, Inc., LIBOR 1M + 2.750%(10)

   (BB, Ba2)      11/27/25        3.514        1,972,080  
             

 

 

 
                4,560,552  
             

 

 

 
 

Recreation & Travel (1.9%)

           
  959    

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

   (CCC-, Caa3)      09/04/26        8.258        920,045  
  1,829    

Bulldog Purchaser, Inc., LIBOR 3M + 3.750%(10)

   (B-, B3)      09/05/25        4.258        1,758,910  
  795    

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

   (CCC-, Caa2)      04/27/25        5.500        720,299  
  1,082    

Hornblower Sub LLC (Term Loan), LIBOR 3M + 8.125%(10)

   (NR, NR)      11/10/25        9.125        1,120,361  
             

 

 

 
                4,519,615  
             

 

 

 
 

Restaurants (0.1%)

           
  23    

Golden Nugget, Inc., LIBOR 1M + 12.000%(6),(10)

   (NR, NR)      10/04/23        13.000        24,236  
  300    

Tacala LLC, LIBOR 1M + 7.500%(10)

   (CCC, Caa2)      02/04/28        8.264        295,312  
             

 

 

 
                319,548  
             

 

 

 
 

Software - Services (3.9%)

           
  1,722    

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

   (B-, B2)      10/09/26        5.014        1,708,196  
  900    

CommerceHub, Inc., LIBOR 3M + 7.000%(10)

   (CCC, Caa2)      12/29/28        8.006        839,250  
  1,810    

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

   (CCC, Caa2)      07/31/28        8.750        1,851,485  
  688    

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

   (B-, B2)      06/13/24        4.739        668,958  
  3,511    

Finastra U.S.A., Inc., LIBOR 3M + 7.250%(10)

   (CCC, Caa2)      06/13/25        8.489        3,386,180  
  715    

Project Leopard Holdings, Inc., LIBOR 3M + 4.750%(10)

   (B, B2)      07/07/24        5.750        714,918  
             

 

 

 
                9,168,987  
             

 

 

 
 

Support - Services (1.9%)

           
  3,371    

Change Healthcare Holdings LLC, LIBOR 1M + 2.500%(10)

   (B+, B1)      03/01/24        3.500        3,368,783  
  600    

LaserShip, Inc.(12)

   (CCC, Caa2)      05/07/29        0.000        597,750  
  600    

TruGreen Limited Partnership, LIBOR 3M + 8.500%(6),(10)

   (CCC+, Caa1)      11/02/28        9.264        604,500  
             

 

 

 
                4,571,033  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

17


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2022 (unaudited)

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

BANK LOANS (continued)

           
 

Telecom - Wireline Integrated & Services (0.5%)

           
$ 1,125    

TVC Albany, Inc., LIBOR 1M + 7.500%(6),(8),(10)

   (CCC, Caa2)      07/23/26        8.300      $ 1,085,625  
             

 

 

 
 

Theaters & Entertainment (1.7%)

           
  773    

Technicolor S.A., LIBOR 6M + 6.000% Cash, 6.000% PIK(10),(11)

   (B, Caa1)      06/30/24        12.446        801,151  
  997    

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

   (B, B3)      02/09/26        7.000        1,015,259  
  2,368    

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

   (B, B3)      05/18/25        3.520        2,326,122  
             

 

 

 
                4,142,532  
             

 

 

 
 

TOTAL BANK LOANS (Cost $79,464,640)

       75,757,907  
             

 

 

 
 

ASSET BACKED SECURITIES (6.4%)

           
 

Collateralized Debt Obligations (6.4%)

           
  1,000    

Anchorage Capital CLO 15 Ltd., 2020-15A, Rule 144A, LIBOR 3M + 7.400%(1),(10)

   (NR, Ba3)      07/20/34        8.463        972,953  
  1,500    

Anchorage Capital CLO 25 Ltd., 2022-25A, Rule 144A, TSFR3M + 7.170%(1),(10)

   (NR, Ba3)      04/20/35        7.411        1,471,783  
  1,250    

Anchorage Credit Funding Ltd., 2016-4A, Rule 144A(1)

   (NR, Ba3)      04/27/39        6.659        1,060,396  
  1,250    

Battalion CLO 18 Ltd., 2020-18A, Rule 144A, LIBOR 3M + 6.710%(1),(10)

   (BB-, NR)      10/15/36        7.754        1,205,933  
  1,250    

Benefit Street Partners CLO X Ltd., 2016-10A, Rule 144A, LIBOR 3M + 6.750%(1),(10)

   (BB-, NR)      04/20/34        7.813        1,208,158  
  1,500    

Cedar Funding VI CLO Ltd., 2016-6A, Rule 144A, LIBOR 3M + 6.720%(1),(10)

   (BB-, NR)      04/20/34        7.783        1,438,831  
  1,500    

KKR CLO Ltd., 14, Rule 144A, LIBOR 3M + 6.150%(1),(10)

   (NR, B1)      07/15/31        7.194        1,436,840  
  1,500    

KKR CLO Ltd., Rule 144A, LIBOR 3M + 7.110% (1),(10)

   (BB-, NR)      10/20/34        8.173        1,464,081  
  1,500    

Marble Point CLO XXIII Ltd., 2021-4A, Rule 144A, LIBOR 3M + 5.750%(1),(10)

   (NR, Ba1)      01/22/35        6.886        1,426,761  
  1,000    

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

   (BB-, NR)      10/20/32        8.293        978,912  
  1,500    

Palmer Square Credit Funding Ltd., 2019-1A, Rule 144A(1)

   (NR, Baa2)      04/20/37        5.459        1,467,748  
  1,000    

Venture 41 CLO Ltd., 2021-41A, Rule 144A, LIBOR 3M + 7.710%(1),(10)

   (BB-, NR)      01/20/34        8.773        967,448  
             

 

 

 
 

TOTAL ASSET BACKED SECURITIES (Cost $15,503,756)

              15,099,844  
             

 

 

 
             

Number of
Shares

                               
 

COMMON STOCKS (0.8%)

           
 

Auto Parts & Equipment (0.1%)

           
  27,589    

Jason Group, Inc.(7)

              289,685  
             

 

 

 
 

Chemicals (0.5%)

           
  5,400    

Project Investor Holdings LLC(6),(7),(8),(9)

              54  
  89,998    

Proppants Holdings LLC(6),(7),(8),(9)

              900  
  15,074    

UTEX Industries, Inc.(6),(7)

              1,009,958  
             

 

 

 
                1,010,912  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

18


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2022 (unaudited)

 

 

Number of
Shares

                           

Value

 
 

COMMON STOCKS (continued)

           
 

Energy - Exploration & Production (0.0%)

           
$ 111,570    

PES Energy, Inc.(6),(7),(8),(9)

            $ 1,116  
             

 

 

 
 

Pharmaceuticals (0.2%)

           
  68,836    

Akorn Holding Company LLC(7)

              533,479  
             

 

 

 
 

Support - Services (0.0%)

           
  2,100    

LTR Holdings LLC(6),(7),(8),(9)

              21  
  865    

Sprint Industrial Holdings LLC, Class G(6),(7),(8),(9)

               
  78    

Sprint Industrial Holdings LLC, Class H(6),(7),(8),(9)

               
  192    

Sprint Industrial Holdings LLC, Class I(6),(7),(8),(9)

              1,000  
             

 

 

 
                1,021  
             

 

 

 
 

TOTAL COMMON STOCKS (Cost $3,938,850)

              1,836,213  
             

 

 

 
 

WARRANT (0.0%)

           
 

Chemicals (0.0%)

           
  22,499    

Project Investor Holdings LLC, expires 02/20/2022(6),(7),(8),(9) (Cost $11,699)

               
             

 

 

 
 

SHORT-TERM INVESTMENTS (5.1%)

           
  5,781,022    

State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.29%

              5,781,022  
  6,431,265    

State Street Navigator Securities Lending Government Money Market Portfolio, 0.31%(13)

              6,431,265  
             

 

 

 
 

TOTAL SHORT-TERM INVESTMENTS (Cost $12,212,287)

              12,212,287  
             

 

 

 
 

TOTAL INVESTMENTS AT VALUE (144.2%) (Cost $373,375,965)

              342,052,048  
 

LIABILITIES IN EXCESS OF OTHER ASSETS (-44.2%)

              (104,848,018
             

 

 

 
 

NET ASSETS (100.0%)

            $ 237,204,030  
             

 

 

 

 

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 April 30, 2022, these securities amounted to a value of $234,839,581 or 99.0% of net assets.

 

(2) 

This security is denominated in British Pound.

 

(3) 

This security is denominated in Euro.

 

(4) 

Security or portion thereof is out on loan (See note 2-K).

 

(5) 

Bond is currently in default.

 

(6) 

Security is valued using significant unobservable inputs.

 

(7) 

Non-income producing security.

 

(8) 

Illiquid security.

 

(9)

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

 

(10) 

Variable rate obligation - The interest rate shown is the rate in effect as of April 30, 2022.

 

(11) 

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

 

(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 April 30, 2022.

 

(13) 

Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at April 30, 2022.

 

See Accompanying Notes to Financial Statements.

 

19


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

April 30, 2022 (unaudited)

 

 

INVESTMENT ABBREVIATIONS

1M = 1 Month

3M = 3 Month

6M = 6 Month

12M = 12 Month

LIBOR = London Interbank Offered Rate

NR = Not Rated

Sarl - société à responsabilité limitée

SOFR = Secured Overnight Financing Rate

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
 

USD

     775,830      EUR      695,388        10/12/22      Barclays Bank PLC    $ (775,830   $ (740,759   $ 35,071  

USD

     3,403,990      EUR      2,981,863        10/12/22      Deutsche Bank AG      (3,403,990     (3,176,417     227,573  

USD

     1,458,326      GBP      1,072,843        10/12/22      Deutsche Bank AG      (1,458,326     (1,348,779     109,547  
                     

 

 

 
  $ 372,191  
                     

 

 

 

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
Depreciation
 

EUR

        151,027      USD         171,921        10/12/22      Deutsche Bank AG    $ 171,921      $ 160,881      $ (11,040

EUR

     31,612      USD      35,855        10/12/22      Morgan Stanley      35,855        33,675        (2,180

GBP

     50,000      USD      67,835        10/12/22      Deutsche Bank AG      67,835        62,860        (4,975
                       

 

 

 
   $ (18,195
                       

 

 

 
   $ 353,996  
                       

 

 

 

Currency Abbreviations:

EUR = Euro

GBP = British Pound

USD = United States Dollar

 

See Accompanying Notes to Financial Statements.

 

20


Credit Suisse High Yield Bond Fund

Statement of Assets and Liabilities

April 30, 2022 (unaudited)

 

 

Assets

Investments at value, including collateral for securities on loan of $6,431,265
(Cost $373,375,965) (Note 2)

   $         342,052,048 1 

Cash

     164,924  

Foreign currency at value (Cost $1,327,531)

     1,273,680  

Interest receivable

     4,685,308  

Receivable for investments sold

     427,225  

Unrealized appreciation on forward foreign currency contracts (Note 2)

     372,191  

Prepaid expenses and other assets

     18,470  
  

 

 

 

Total assets

     348,993,846  
  

 

 

 

Liabilities

  

Investment advisory fee payable (Note 3)

     228,190  

Administrative services fee payable (Note 3)

     30,304  

Loan payable (Note 4)

     100,500,000  

Payable upon return of securities loaned (Note 2)

     6,431,265  

Payable for investments purchased

     4,318,232  

Interest payable (Note 4)

     148,106  

Trustees’ fee payable

     28,020  

Unrealized depreciation on forward foreign currency contracts (Note 2)

     18,195  

Accrued expenses

     87,504  
  

 

 

 

Total liabilities

     111,789,816  
  

 

 

 

Net Assets

  

Applicable to 103,513,735 shares outstanding

   $ 237,204,030  
  

 

 

 

Net Assets

  

Capital stock, $.001 par value (Note 6)

     103,514  

Paid-in capital (Note 6)

     295,776,309  

Total distributable earnings (loss)

     (58,675,793
  

 

 

 

Net assets

   $ 237,204,030  
  

 

 

 

Net Asset Value Per Share ($237,204,030 / 103,513,735)

     $2.29  
  

 

 

 

Market Price Per Share

     $2.08  
  

 

 

 

 

 

1

Includes $6,255,243 of securities on loan.

 

See Accompanying Notes to Financial Statements.

 

21


Credit Suisse High Yield Bond Fund

Statement of Operations

For the Six Months Ended April 30, 2022 (unaudited)

 

 

Investment Income

  

Interest

   $         10,255,019  

Dividends

     1,279  

Securities lending (net of rebates)

     7,314  
  

 

 

 

Total investment income

     10,263,612  
  

 

 

 

Expenses

  

Investment advisory fees (Note 3)

     1,607,188  

Administrative services fees (Note 3)

     38,326  

Interest expense (Note 4)

     452,841  

Trustees’ fees

     63,105  

Commitment fees (Note 4)

     57,975  

Custodian fees

     36,310  

Printing fees

     35,732  

Audit and tax fees

     22,084  

Legal fees

     21,992  

Stock exchange listing fees

     16,470  

Transfer agent fees

     12,910  

Insurance expense

     603  

Miscellaneous expense

     5,028  
  

 

 

 

Total expenses

     2,370,564  

Less: fees waived and expenses reimbursed (Note 3)

     (210,753
  

 

 

 

Net expenses

     2,159,811  
  

 

 

 

Net investment income

     8,103,801  
  

 

 

 

Net Realized and Unrealized Gain (Loss) from Investments, Foreign Currency and Forward Foreign Currency Contracts

  

Net realized gain from investments

     167,940  

Net realized loss from foreign currency transactions

     (19,601

Net change in unrealized appreciation (depreciation) from investments

     (25,296,350

Net change in unrealized appreciation (depreciation) from foreign currency translations

     9,815  

Net change in unrealized appreciation (depreciation) from forward foreign currency contracts

     351,285  
  

 

 

 

Net realized and unrealized loss from investments, foreign currency transactions and forward foreign currency contracts

     (24,786,911
  

 

 

 

Net decrease in net assets resulting from operations

   $ (16,683,110
  

 

 

 

 

See Accompanying Notes to Financial Statements.

 

22


Credit Suisse High Yield Bond Fund

Statements of Changes in Net Assets

 

 

       For the Six Months
   Ended

  April 30, 2022  
(unaudited)
     For the Year
Ended

  October 31, 2021  
 

From Operations

 

Net investment income

   $ 8,103,801      $ 17,139,378  

Net realized gain (loss) from investments, foreign currency transactions and forward foreign currency contracts

     148,339        (2,235,205

Net change in unrealized appreciation (depreciation) from investments, foreign currency translations and forward foreign currency contracts

     (24,935,250      21,242,697  
  

 

 

    

 

 

 

Net increase (decrease) in net assets resulting from operations

     (16,683,110      36,146,870  
  

 

 

    

 

 

 

From Distributions

 

From distributable earnings

     (9,626,777      (17,670,818

Return of Capital

            (1,995,687
  

 

 

    

 

 

 

Net decrease in net assets resulting from distributions

     (9,626,777      (19,666,505
  

 

 

    

 

 

 

From Capital Share Transactions (Note 6)

 

Reinvestment of distributions

            16,212  
  

 

 

    

 

 

 

Net increase in net assets from capital share transactions

            16,212  
  

 

 

    

 

 

 

Net increase (decrease) in net assets

     (26,309,887      16,496,577  

Net Assets

 

Beginning of period

     263,513,917        247,017,340  
  

 

 

    

 

 

 

End of period

   $         237,204,030      $         263,513,917  
  

 

 

    

 

 

 

 

See Accompanying Notes to Financial Statements.

 

23


Credit Suisse High Yield Bond Fund

Statement of Cash Flows

April 30, 2022 (unaudited)

 

 

Reconciliation of Net Decrease in Net Assets from Operations to Net Cash Used in Operating Activities

     

Net decrease in net assets resulting from operations

      $ (16,683,110
  

 

 

 

Adjustments to Reconcile Net Decrease in Net Assets from Operations to Net Cash Used in Operating Activities

     

Increase in interest receivable

   $ (60,286   

Decrease in accrued expenses

     (63,248   

Increase in payable upon return of securities loaned

     4,008,340     

Increase in interest payable

     126,451     

Increase in prepaid expenses and other assets

     (17,212   

Decrease in advisory fees payable

     (13,253   

Net amortization of a premium or accretion of a discount on investments

     (26,323   

Purchases of long-term securities, net of change in payable for investments purchased

     (109,737,158   

Sales of long-term securities, net of change in receivable for investments sold

     87,808,498     

Net proceeds from sales (purchases) of short-term securities

     2,376,332     

Net change in unrealized (appreciation) depreciation from investments and forward foreign currency contracts

     24,945,065     

Net realized gain from investments

     (167,940   

Total adjustments

        9,179,266  
  

 

 

 

Net cash used in operating activities1

      $ (7,503,844
  

 

 

 

Cash Flows From Financing Activities

 

Borrowings on revolving credit facility

     18,500,000     

Cash distributions paid

     (9,626,777   
  

 

 

    

Net cash provided by financing activities

        8,873,223  
  

 

 

 

Net increase in cash

        1,369,379  

Cash — beginning of period

        69,225  
  

 

 

 

Cash — end of period

      $         1,438,604  
  

 

 

 

 

 

1 

Included in operating expenses is cash of $326,390 paid for interest on borrowings.

 

See Accompanying Notes to Financial Statements.

 

24


Credit Suisse High Yield Bond Fund

Financial Highlights

 

 

    For the Six Months
Ended
April 30, 2022

(unaudited)
    For the Year Ended October 31,
    2021     2020     2019     2018     2017  

Per share operating performance

           

Net asset value, beginning of period

  $ 2.55     $ 2.39     $ 2.54     $ 2.57     $ 2.80     $ 2.62  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INVESTMENT OPERATIONS

           

Net investment income1

    0.08       0.17       0.19       0.20       0.21       0.23  

Net gain (loss) on investments, foreign currency transactions and forward foreign currency contracts (both realized and unrealized)

    (0.25     0.18       (0.14     (0.00 )2      (0.19     0.22  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from investment activities

    (0.17     0.35       0.05       0.20       0.02       0.45  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DIVIDENDS AND DISTRIBUTIONS

           

Dividends from net investment income

    (0.09     (0.17     (0.19     (0.19     (0.21     (0.22

Return of capital

          (0.02     (0.01     (0.04     (0.04     (0.05
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total dividends and distributions

    (0.09     (0.19     (0.20     (0.23     (0.25     (0.27
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

           

Increase to net asset value due to shares issued through at-the-market offerings

                                  0.002  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 2.29     $ 2.55     $ 2.39     $ 2.54     $ 2.57     $ 2.80  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Per share market value, end of period

  $ 2.08     $ 2.50     $ 2.07     $ 2.53     $ 2.35     $ 2.84  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENT RETURN3

           

Net asset value

    (6.47 )%      15.33     3.43     8.54     0.68     17.90

Market value

    (13.34 )%      30.55     (10.07 )%      18.23     (9.23 )%      28.40

RATIOS AND SUPPLEMENTAL DATA

           

Net assets, end of period (000s omitted)

  $ 237,204     $ 263,514     $ 247,017     $ 262,568     $ 266,232     $ 287,967  

Ratio of net expenses to average net assets

    1.71 %4      1.58     2.00     2.70     2.59     2.14

Ratio of net expenses to average net assets excluding interest expense

    1.35 %4      1.29     1.37     1.37     1.41     1.38

Ratio of net investment income to average net assets

    6.42 %4      6.49     8.10     7.60     7.81     8.19

Decrease reflected in above operating expense ratios due to waivers/reimbursements

    0.17 %4      0.16     0.18     0.16     0.15     0.15

Average debt per share

  $ 0.91     $ 0.80     $ 0.93     $ 1.06     $ 1.20     $ 1.13  

Asset Coverage per $1,000 of Indebtedness

  $ 3,360     $ 4,214     $ 3,847     $ 3,854     $ 3,147     $ 3,482  

Portfolio turnover rate5

    25     49     33     32     42     65

 

 

1 

Per share information is calculated using the average shares outstanding method.

2 

This amount represents less than $0.01 or $(0.01) per share.

 

See Accompanying Notes to Financial Statements.

 

25


Credit Suisse High Yield Bond Fund

Financial Highlights (continued)

 

 

3 

Total investment return at net asset value is based on the change in the net asset value of Fund shares and assumes reinvestment of dividends and distributions, if any, at actual prices pursuant to the Fund’s dividend reinvestment program. Total investment return at market value is based on the change in the market price at which the Fund’s shares traded on the stock exchange during the period and assumes reinvestment of dividends and distributions, if any, at actual prices pursuant to the Fund’s dividend reinvestment program. Because the Fund’s shares trade in the stock market based on investor demand, the Fund may trade at a price higher or lower than its NAV. Therefore, returns are calculated based on NAV and market price. Total returns for periods less than one year are not annualized.

4 

Annualized.

5 

Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

 

See Accompanying Notes to Financial Statements.

 

26


Credit Suisse High Yield Bond Fund

Notes to Financial Statements

April 30, 2022 (unaudited)

 

 

Note 1. Organization

Credit Suisse High Yield Bond Fund (the “Fund”) is a business trust organized under the laws of the State of Delaware on April 30, 1998. The Fund is registered as a non-diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund’s principal investment objective is to seek high current income. The Fund also will seek capital appreciation as a secondary objective, to the extent consistent with its objective of seeking high current income.

Note 2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies are in accordance with generally accepted accounting principles in the United States of America (“GAAP”). The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is considered an investment company for financial reporting purposes under GAAP and follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 — Financial Services — Investment Companies.

A) SECURITY VALUATION — The Board of Trustees (the “Board”) is responsible for the Fund’s valuation process. The Board has delegated the supervision of the daily valuation process to Credit Suisse Asset Management, LLC, the Fund’s investment adviser (“Credit Suisse” or the “Adviser”), who has established a Pricing Committee which, pursuant to the policies adopted by the Board, is responsible for making fair valuation determinations and overseeing the Fund’s pricing policies. The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional “round lot” size, but some trades occur in smaller “odd lot” sizes which may be effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board to fair value certain securities.

When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more brokers/dealers or at the transaction price if the security has recently been purchased and no value has yet

 

27


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

April 30, 2022 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

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.

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 April 30, 2022 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

   $      $ 235,885,338      $ 1,260,459     $ 237,145,797  

Bank Loans

            63,868,040        11,889,867       75,757,907  

Asset Backed Securities

            15,099,844              15,099,844  

Common Stocks

            823,164        1,013,049       1,836,213  

Warrants

                   0 (1)      0  

Short-term Investments

     5,781,022        6,431,265              12,212,287  
  

 

 

    

 

 

    

 

 

   

 

 

 
   $ 5,781,022      $ 322,107,651      $ 14,163,375     $ 342,052,048  
  

 

 

    

 

 

    

 

 

   

 

 

 

Other Financial Instruments*

 

 

Forward Foreign Currency Contracts

   $      $ 372,191      $     $ 372,191  

Liabilities

   Level 1      Level 2      Level 3     Total  

Other Financial Instruments*

 

 

Forward Foreign Currency Contracts

   $      $ 18,195      $     $ 18,195  

 

  *

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

  (1)

Includes a zero valued security.

 

28


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

April 30, 2022 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

The following is a reconciliation of investments as of April 30, 2022 for which significant unobservable inputs were used in determining fair value.

 

     Corporate
Bonds
     Bank
Loans
     Common
Stocks
     Warrants     Total  

Balance as of October 31, 2021

   $ 21,167      $ 11,031,015      $ 189,235      $ 0 (1)    $ 11,241,417  

Accrued discounts (premiums)

     317        68,610                     68,927  

Purchases

     1,300,338        2,002,496                     3,302,834  

Sales

            (3,234,498                   (3,234,498

Realized gain (loss)

            6,595        (92,969            (86,374

Change in unrealized appreciation (depreciation)

     (61,363      (125,531      (93,175            (280,069

Transfers into Level 3

            5,513,934        1,009,958              6,523,892  

Transfers out of Level 3

            (3,372,754                   (3,372,754
  

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Balance as of April 30, 2022

   $ 1,260,459      $ 11,889,867      $ 1,013,049      $ 0 (1)    $ 14,163,375  
  

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) from investments still held as of April 30, 2022

   $ (61,363    $ (132,383    $ (186,144    $     $ (379,890

 

  (1)

Includes zero valued securities.

Quantitative Disclosure About Significant Unobservable Inputs

 

Asset Class

   Fair Value
At 04/30/2022
     Valuation
Technique
     Unobservable
Input
     Range
(Weighted Average)*
 

Corporate Bonds

   $ 3,667        Income Approach       
Expected Remaining
Distribution
 
 
     $0.01 (N/A)  
     22,500        Vendor pricing        Single Broker Quote        $0.01 (N/A)  
     1,234,292        Recent Transactions        Trade Price        $1.03 (N/A)  

Bank Loans

   $ 11,889,867        Vendor pricing        Single Broker Quote        $0.56 - $1.07 ($0.96)  

Common Stocks

   $ 3,091        Income Approach       
Expected Remaining
Distribution
 
 
     $0.00 - $5.22 ($1.70)  
     1,009,958        Vendor pricing        Single Broker Quote        $67.00 (N/A)  

Warrants

   $ 0        Income Approach       
Expected Remaining
Distribution
 
 
     $0.00 (N/A)  

 

*

Weighted by relative fair value

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

 

29


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

April 30, 2022 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

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.

For the six months ended April 30, 2022, $6,523,892 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $3,372,754 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.

B) DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES — The Fund adopted amendments to authoritative guidance on disclosures about derivative instruments and hedging activities which require that a fund disclose (a) how and why an entity uses derivative instruments, (b) how derivative instruments and hedging activities are accounted for and (c) how derivative instruments and related hedging activities affect a fund’s financial position, financial performance and cash flows.

The following table presents the fair value and the location of derivatives within the Statement of Assets and Liabilities at April 30, 2022 and the effect of these derivatives on the Statement of Operations for the six months ended April 30, 2022.

 

Primary Underlying Risk

   Derivative
Assets
     Derivative
Liabilities
     Realized
Gain (Loss)
     Change in Unrealized
Appreciation(Depreciation)
 

Foreign currency exchange rate forward contracts

   $ 372,191      $ 18,195      $      $ 351,285  

For the six months ended April 30, 2022, the Fund held an average monthly value on a net basis of $3,973,100 in forward foreign currency contracts.

The Fund is a party to International Swap and Derivatives Association, Inc. (“ISDA”) Master Agreements (“Master Agreements”) with certain counterparties that govern over-the-counter derivative (including total return, credit default and interest rate swaps) and foreign exchange contracts entered into by the Fund. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Termination events applicable to the Fund may occur upon a decline in the Fund’s net assets below a specified threshold over a certain period of time.

The following table presents by counterparty the Fund’s derivative assets, net of related collateral held by the Fund, at April 30, 2022:

 

Counterparty

   Gross Amount of
Derivative
Assets Presented in
the Consolidated
Statement of Assets
and Liabilities(a)
     Financial
Instruments
and Derivatives
Available for Offset
     Non-Cash
Collateral
Received
     Cash
Collateral
Received
     Net Amount
of Derivative
Assets
 

Barclays Bank PLC

   $ 35,071      $      $      $      $ 35,071  

Deutsche Bank

     337,120        (16,015                    321,105  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $ 372,191      $ (16,015    $      $      $ 356,176  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

30


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

April 30, 2022 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

The following table presents by counterparty the Fund’s derivative liabilities, net of related collateral pledged by the Fund, at April 30, 2022:

 

Counterparty

   Gross Amount of
Derivative
Liabilities Presented in
the Consolidated
Statement of Assets
and  Liabilities(a)
     Financial
Instruments
and Derivatives
Available for Offset
     Non-Cash
Collateral
Pledged
     Cash
Collateral
Pledged
     Net Amount
of Derivative
Liabilities
 

Deutsche Bank

   $ 16,015      $ (16,015    $      $      $  

Morgan Stanley

     2,180                             2,180  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $ 18,195      $ (16,015    $      $      $ 2,180  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)

Forward foreign currency contracts are included.

C) FOREIGN CURRENCY TRANSACTIONS — The books and records of the Fund are maintained in U.S. dollars. Transactions denominated in foreign currencies are recorded at the current prevailing exchange rates. All assets and liabilities denominated in foreign currencies, including purchases and sales of investments, and income and expenses, are translated into U.S. dollar amounts on the date of those transactions.

Reported net realized gain (loss) from foreign currency transactions arises from sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on securities transactions; and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net change in unrealized gains and losses on translation of assets and liabilities denominated in foreign currencies arises from changes in the fair values of assets and liabilities, other than investments, at the end of the period, resulting from changes in exchange rates.

The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held. Such fluctuations are included with net realized and unrealized gain or loss from investments in the Statement of Operations.

D) SECURITY TRANSACTIONS AND INVESTMENT INCOME/EXPENSE — Security transactions are accounted for on a trade date basis. Interest income/expense is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Dividend income/expense is recorded on the ex-dividend date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.

E) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — The Fund declares and pays dividends on a monthly basis and records them on ex-dividend date. Distributions of net realized capital gains, if any, are declared and paid at least annually. However, to the extent that a net realized capital gain can be reduced by a capital loss carryforward, such gain will not be distributed. Dividends and distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations, which may differ from GAAP.

 

31


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

April 30, 2022 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

The Fund’s dividend policy is to distribute substantially all of its net investment income to its shareholders on a monthly basis. However, in order to provide shareholders with a more consistent yield to the current trading price of shares of common stock of the Fund, the Fund may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the dividends paid by the Fund for any particular month may be more or less than the amount of net investment income earned by the Fund during such month.

F) FEDERAL AND OTHER TAXES — No provision is made for federal taxes as it is the Fund’s intention to continue to qualify as a regulated investment company (“RIC”) under the Internal Revenue Code of 1986, as amended (the “Code”), and to make the requisite distributions to its shareholders, which will be sufficient to relieve it from federal income and excise taxes.

In order to qualify as a RIC under the Code, the Fund must meet certain requirements regarding the source of its income, the diversification of its assets and the distribution of its income. One of these requirements is that the Fund derive at least 90% of its gross income for each taxable year from dividends, interest, payments with respect to certain securities loans, gains from the sale or other disposition of stock, securities or foreign currencies, other income derived with respect to its business of investing in such stock, securities or currencies or net income derived from interests in certain publicly-traded partnerships (“Qualifying Income”).

The Fund adopted the authoritative guidance for uncertainty in income taxes and recognizes a tax benefit or liability from an uncertain position only if it is more likely than not that the position is sustainable based solely on its technical merits and consideration of the relevant taxing authority’s widely understood administrative practices and procedures. The Fund has reviewed its current tax positions and has determined that no provision for income tax is required in the Fund’s financial statements. The Fund’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

G) CASH — The Fund’s uninvested cash balance is held in an interest bearing variable rate demand deposit account at State Street Bank and Trust Company (“SSB”), the Fund’s custodian.

H) CASH FLOW INFORMATION — Cash, as used in the Statement of Cash Flows, is the amount reported in the Statement of Assets and Liabilities, including domestic and foreign currencies. The Fund invests in securities and distributes dividends from net investment income and net realized gains, if any (which are either paid in cash or reinvested at the discretion of shareholders). These activities are reported in the Statement of Changes in Net Assets. Information on cash payments is presented in the Statement of Cash Flows. Accounting practices that do not affect reporting activities on a cash basis include unrealized gain or loss on investment securities and accretion or amortization income/expense recognized on investment securities.

I) FORWARD FOREIGN CURRENCY CONTRACTS — A forward foreign currency exchange contract (“forward currency contract”) is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. The Fund will enter into forward currency contracts primarily for hedging foreign currency risk. Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and unrealized gain/loss is recorded daily. On the settlement date of the forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was closed. Certain risks may arise upon entering into forward currency

 

32


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

April 30, 2022 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

contracts from the potential inability of counterparties to meet the terms of their contracts. The maximum counterparty credit risk to the Fund is measured by the unrealized gain on appreciated contracts. Additionally, when utilizing forward currency contracts to hedge, the Fund forgoes the opportunity to profit from favorable exchange rate movements during the term of the contract. The Fund’s open forward currency contracts at April 30, 2022 are disclosed in the Schedule of Investments.

J) UNFUNDED LOAN COMMITMENTS — The Fund enters into certain agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these loan commitments at the borrowers’ discretion. Funded and unfunded portions of credit agreements are presented in the Schedule of Investments. As of April 30, 2022, the fund has no unfunded loan commitments

Unfunded loan commitments and funded portions of credit agreements are marked to market daily and any unrealized appreciation or depreciation is included in the Statement of Assets and Liabilities and the Statement of Operations.

K) SECURITIES LENDING — The initial collateral received by the Fund is required to have a value of at least 102% of the market value of domestic securities on loan (including any accrued interest thereon) and 105% of the market value of foreign securities on loan (including any accrued interest thereon). The collateral is maintained thereafter at a value equal to at least 102% of the current market value of the securities on loan. The market value of loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day. Cash collateral received by the Fund in connection with securities lending activity may be pooled together with cash collateral for other funds/portfolios advised by Credit Suisse and may be invested in a variety of investments, including funds advised by SSB, the Fund’s securities lending agent, or money market instruments. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Fund or the borrower at any time.

SSB has been engaged by the Fund to act as the Fund’s securities lending agent. As of April 30, 2022, the Fund had outstanding loans of securities to certain approved brokers for which the Fund received collateral:

 

Market Value of
Loaned Securities
    Market Value of
Cash Collateral
     Total Collateral  
$ 6,255,243     $ 6,431,265      $ 6,431,265  

The following table presents financial instruments that are subject to enforceable netting arrangements as of April 30, 2022.

Gross Amounts Not Offset in the Statement of Assets and Liabilities

 

Gross Asset Amounts
Presented in Statement of
Assets and Liabilities(a)
    Collateral
Received(b)
     Net Amount
(not less than $0)
 
$ 6,255,243     $ (6,255,243    $  

 

  (a) 

Represents market value of loaned securities at period end.

  (b) 

The actual collateral received is greater than the amount shown here due to collateral requirements of the security lending agreement.

The Fund’s securities lending arrangement provides that the Fund and SSB will share the net income earned from securities lending activities. Securities lending income is accrued as earned. During the six months ended

 

33


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

April 30, 2022 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

April 30, 2022, total earnings from the Fund’s investment in cash collateral received in connection with securities lending arrangements was $9,717. The Fund retained $7,314 in income from the cash collateral investment, and SSB, as lending agent, was paid $2,403.

L) OTHER — Lower-rated debt securities (commonly known as “junk bonds”) possess speculative characteristics and are subject to greater market fluctuations and risk of lost income and principal than higher-rated debt securities for a variety of reasons. Also, during an economic downturn or substantial period of rising interest rates, highly leveraged issuers may experience financial stress which would adversely affect their ability to service their principal and interest payment obligations, to meet projected business goals and to obtain additional financing.

In July 2017, the Financial Conduct Authority, the United Kingdom’s financial regulatory body, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and ICE Benchmark Administrator have since announced that most LIBOR settings will no longer be published after December 31, 2021 and a majority of U.S. dollar LIBOR settings will cease publication after June 30, 2023. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing the Secured Overnight Financing Rate (“SOFR”) that is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new reference rates. Uncertainty related to the liquidity impact of the change in rates, and how to appropriately adjust these rates at the time of transition, poses risks for the Fund. The effect of any changes to, or discontinuation of, LIBOR on the Fund will depend on, among other things, (1) existing fallback or termination provisions in individual contracts and (2) whether, how, and when industry participants develop and adopt new reference rates and fallbacks for both legacy and new instruments and contracts. In addition, there are obstacles to converting certain longer-term securities and transactions to a new reference rate or rates and the effectiveness of one alternative reference rate versus multiple alternative reference rates in new or existing financial instruments and products has not been determined.

The transition away from LIBOR might lead to increased volatility and illiquidity in markets for instruments whose terms currently reference LIBOR, reduced values of LIBOR-related investments, reduced effectiveness of hedging strategies, increased costs for certain LIBOR-related instruments, increased difficulty in borrowing or refinancing, and prolonged adverse market conditions for the Fund. Furthermore, the risks associated with the expected discontinuation of LIBOR and related transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner.

In the normal course of business, the Fund trades financial instruments and enters into financial transactions for which risk of potential loss exists due to changes in the market (market risk) or failure of the other party to a transaction to perform (credit risk). Similar to credit risk, the Fund may be exposed to counterparty risk, including securities lending, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. The potential loss could exceed the value of the financial assets recorded in the financial statements. Financial assets, which potentially expose the Fund to credit risk, consist principally of cash due from counterparties and investments. The extent of the Fund’s exposure to credit and counterparty risks in

 

34


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

April 30, 2022 (unaudited)

 

 

Note 2. Significant Accounting Policies (continued)

 

respect to these financial assets approximates their carrying value as recorded in the Fund’s Statement of Assets and Liabilities.

In addition, periods of economic uncertainty and changes can be expected to result in increased volatility of market prices of lower-rated debt securities and the Fund’s net asset value.

Note 3. Transactions with Affiliates and Related Parties

Credit Suisse serves as investment adviser for the Fund. For its investment advisory services, Credit Suisse is entitled to receive a fee from the Fund at an annualized rate of 1.00% of the first $250 million of the average weekly value of the Fund’s total assets minus the sum of liabilities (other than aggregate indebtedness constituting leverage) and 0.75% of the average weekly value of the Fund’s total assets minus the sum of liabilities (other than aggregate indebtedness constituting leverage) greater than $250 million. Effective January 1, 2011, Credit Suisse has agreed to waive 0.15% of the fees payable under the Advisory Agreement up to $200 million and 0.25% of the fees payable under the Advisory Agreement on the next $50 million. For the six months ended April 30, 2022, investment advisory fees earned and voluntarily waived were $1,607,188 and $210,753, respectively. These fee waivers and expense reimbursements are voluntary and may be discontinued by Credit Suisse at any time.

SSB serves as Accounting and Administrative Agent for the Fund. For its administrative services, SSB receives a fee, exclusive of out-of-pocket expenses, calculated in total for all the Credit Suisse funds/portfolios co-administered by SSB and allocated based upon the relative average net assets of each fund/portfolio, subject to an annual minimum fee. For the six months ended April 30, 2022, administrative services fees earned by SSB (including out-of-pocket expenses) with respect to the Fund were $38,326.

The Fund from time to time purchases or sells loan investments in the secondary market through Credit Suisse or its affiliates acting in the capacity as broker-dealer. Credit Suisse or its affiliates may have acted in some type of agent capacity to the initial loan offering prior to such loan trading in the secondary market.

Note 4. Line of Credit

The Fund has a line of credit provided by SSB primarily to leverage its investment portfolio (the “Agreement”). The Fund may borrow the lesser of: a) $130,000,000; b) an amount that is no greater than 33 1/3% of the Fund’s total assets minus the sum of liabilities (other than aggregate indebtedness constituting leverage); and c) the Borrowing Base as defined in the Agreement. Under the terms of the Agreement, the Fund pays a commitment fee on the unused amount. In addition, the Fund pays interest on borrowings at LIBOR plus a spread. At April 30, 2022, the Fund had loans outstanding under the Agreement of $100,500,000. The Agreement was renewed on November 19, 2021 with a new termination date of November 18, 2022. During the six months ended April 30, 2022, the Fund had borrowings under the Agreement as follows:

 

Average Daily
Loan Balance
    Weighted Average
Interest Rate %
    Maximum Daily
Loan Outstanding
    Interest
Expense
    Number of Days
Outstanding
 
$ 93,947,514       0.96   $ 100,500,000     $ 452,841       181  

The use of leverage by the Fund creates an opportunity for increased net income and capital appreciation for the Fund, but, at the same time, creates special risks, and there can be no assurance that a leveraging strategy will be successful during any period in which it is employed. The Fund intends to utilize leverage to provide the shareholders with a potentially higher return. Leverage creates risks for shareholders including the likelihood of greater volatility of net asset value and market price of the Fund’s shares and the risk that fluctuations in interest

 

35


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

April 30, 2022 (unaudited)

 

 

Note 4. Line of Credit (continued)

 

rates on borrowings and short-term debt may affect the return to shareholders. To the extent the income or capital appreciation derived from securities purchased with funds received from leverage exceeds the cost of leverage, the Fund’s return will be greater than if leverage had not been used. Conversely, if the income or capital appreciation from the securities purchased with such funds is not sufficient to cover the cost of leverage, the return to the Fund will be less than if leverage had not been used, and therefore the amount available for distribution to shareholders as dividends and other distributions will be reduced. In the latter case, Credit Suisse in its best judgment nevertheless may determine to maintain the Fund’s leveraged position if it deems such action to be appropriate under the circumstances. During periods in which the Fund is utilizing leverage, the management fee will be higher than if the Fund did not utilize a leveraged capital structure because the fee is calculated as a percentage of the managed assets including those purchased with leverage.

Certain types of borrowings by the Fund may result in the Fund being subject to covenants in credit agreements, including those relating to asset coverage and portfolio composition requirements. The securities held by the Fund are subject to a lien granted to the lender, to the extent of the borrowing outstanding and any additional expenses. The Fund’s lenders may establish guidelines for borrowing which may impose asset coverage or portfolio composition requirements that are more stringent than those imposed by the 1940 Act. There is no guarantee that the Fund’s borrowing arrangements or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Fund. Expiration or termination of available financing for leveraged positions can result in adverse effects to the Fund’s access to liquidity and its ability to maintain leverage positions, and may cause the Fund to incur losses. Unfavorable economic conditions also could increase funding costs, limit access to the capital markets or result in a decision by lenders not to extend credit to the Fund. In addition, a decline in market value of the Fund’s assets may have particular adverse consequences in instances where the Fund has borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender requiring the Fund to sell assets at a time when it may not be in the Fund’s best interest to do so.

Note 5. Purchases and Sales of Securities

For the six months ended April 30, 2022, purchases and sales of investment securities (excluding short-term investments) and U.S. Government and Agency Obligations were as follows:

 

Investment Securities      U.S. Government/
Agency Obligations
 
Purchases     Sales      Purchases     Sales  
$ 98,093,639     $ 85,819,042      $ 0     $ 0  

Note 6. Fund Shares

The Fund offers a Dividend Reinvestment Plan (the “Plan”) to its common stockholders. By participating in the Plan, dividends and distributions will be promptly paid to stockholders in additional shares of common stock of the Fund. The number of shares to be issued will be determined by dividing the total amount of the distribution payable by the greater of (i) the net asset value per share (“NAV”) of the Fund’s common stock on the payment date, or (ii) 95% of the market price per share of the Fund’s common stock on the payment date. If the NAV of the Fund’s common stock is greater than the market price (plus estimated brokerage commissions) on the payment date, Computershare (or a broker-dealer selected by Computershare) shall endeavor to apply the amount of such distribution to purchase shares of Fund common stock in the open market.

 

36


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

April 30, 2022 (unaudited)

 

 

Note 6. Fund Shares (continued)

 

The Fund has one class of shares of beneficial interest, par value $.001 per share; an unlimited number of shares are authorized. Transactions in shares of beneficial interest of the Fund were as follows:

 

     For the Six Months
Ended

April 30, 2022
(unaudited)
     For the Year Ended
October 31, 2021
 

Shares issued through reinvestment of distributions

            6,333  
  

 

 

    

 

 

 

Net increase

            6,333  
  

 

 

    

 

 

 

Note 7. Contingencies

In the normal course of business, the Fund may provide general indemnifications pursuant to certain contracts and organizational documents. The Fund’s maximum exposure under these arrangements is dependent on future claims that may be made against the Fund and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote.

Note 8. Subsequent Events

In preparing the financial statements as of April 30, 2022, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements through the date of release of this report. No such events requiring recognition or disclosure were identified through the date of the release of this report.

 

37


Credit Suisse High Yield Bond Fund

Shareholder Meeting Results (unaudited)

 

 

On February 22, 2022, the Annual Meeting of Shareholders of the Credit Suisse High Yield Bond Fund (the “Fund”) was held and the following matter was voted upon:

(1) To elect two Trustees to the Board of Trustees of the Fund:

 

NAME OF TRUSTEE

 

“FOR”

 

WITHHELD

Mahendra R. Gupta   65,424,021   3,710,978
John G. Popp   65,424,021   3,710,978

In addition to the Trustees elected at the meeting, Laura A. DeFelice, Jeffrey E. Garten, and Steven N. Rappaport continue to serve as Trustees of the Fund.

 

38


Credit Suisse High Yield Bond Fund

Board Approval of Advisory Agreement (unaudited)

 

 

In approving the renewal of the current advisory agreement (the “Advisory Agreement”) for the Credit Suisse High Yield Bond Fund (the “Fund”), the Board of Trustees of the Fund (the “Board”), including all of the trustees who are not “interested persons” of the Fund as defined in the Investment Company Act of 1940 (the “Independent Trustees”), at a special telephonic meeting held on November 8, 2021 where the Board discussed information and materials previously provided to them in connection with the renewal of the Advisory Agreement and at a meeting held via Zoom on November 15 and 16, 2021 considered the following factors:

Investment Advisory Fee Rates and Expenses

The Board reviewed and considered the contractual investment advisory fee rate of 1.00% of the average weekly value of the Fund’s total assets minus the sum of accrued liabilities (other than aggregate indebtedness constituting leverage) (the “Managed Assets”) less than or equal to $250 million and 0.75% of the Managed Assets greater than $250 million (the “Contractual Advisory Fee”) in light of the extent and quality of the advisory services provided by Credit Suisse Asset Management, LLC (“Credit Suisse”), the Fund’s investment adviser. The Board also reviewed and considered the voluntary fee waivers currently in place for the Fund and considered the actual fee rate of 0.83% for the fiscal year ended October 31, 2021, paid by the Fund after taking waivers and breakpoints into account (the “Net Advisory Fee”). The Board noted that Credit Suisse, at the Board’s request, had revised the voluntary waiver as of January 1, 2011 so that it was voluntarily waiving 0.15% of the fees payable under the Advisory Agreement up to $200 million and 0.25% of the fees payable under the Advisory Agreement on the next $50 million. The Board acknowledged that voluntary fee waivers could be discontinued at any time but had received assurances that such waivers would remain in place over the next year.

Additionally, the Board considered information comparing the Fund’s Contractual Advisory Fee, the Fund’s Net Advisory Fee and the Fund’s overall expenses with those of funds in both the relevant expense group (“Expense Group”) and universe of funds (“Expense Universe”) provided by Broadridge, an independent provider of investment company data. The Board noted that the Fund’s advisory fees and overall expenses were generally above the range of its peers, as presented in the Broadridge report. The Board was provided with a description of the methodology used to arrive at the funds included in the Expense Group and the Expense Universe.

Nature, Extent and Quality of the Services under the Advisory Agreement

The Board received and considered information regarding the nature, extent and quality of services provided to the Fund by Credit Suisse under the Advisory Agreement. The Board also noted information received at regular meetings throughout the year related to the services rendered by Credit Suisse which, in addition to portfolio management and investment advisory services set forth in the Advisory Agreement, included credit analysis and research, supervising the day-to-day operations of the Fund’s non-advisory functions which include accounting, administration, custody, transfer agent and other applicable third party service providers, overseeing and facilitating audits, overseeing the Fund’s credit facility and supervising and/or preparing applicable Fund filings, disclosures and shareholder reports. The Board also considered Credit Suisse’s compliance program with respect to the Fund. The Board noted that Credit Suisse reports to the Board about portfolio management and compliance matters on a periodic basis. The Board reviewed background information about Credit Suisse including its Form ADV Part 2 – Disclosure Brochure and Brochure Supplement. The Board considered the background and experience of Credit Suisse’s senior management and the expertise of, and the amount of attention given to the Fund by, senior personnel of Credit Suisse. In addition, the Board reviewed the qualifications, backgrounds and

 

39


Credit Suisse High Yield Bond Fund

Board Approval of Advisory Agreement (unaudited) (continued)

 

 

responsibilities of the portfolio management team primarily responsible for the day-to-day portfolio management of the Fund and the extent of the resources devoted to research and analysis of actual and potential investments, as well as the resources provided to them. The Board evaluated the ability of Credit Suisse, based on its resources, reputation and other attributes, to attract and retain qualified investment professionals, including research, advisory, and supervisory personnel. The Board also received and considered information about the nature, extent and quality of services and fee rates offered to other Credit Suisse clients for comparable services. The Board acknowledged Credit Suisse’s representation that the services provided to the Fund are more extensive than the services provided in connection with other types of accounts, such as separate accounts, offered by Credit Suisse and the services are also more extensive from those offered and provided to a sub-advised fund. The Board also considered that the services provided by Credit Suisse have expanded over time as a result of regulatory and other developments.

Fund Performance

The Board received and considered performance results of the Fund over the previous year as well as over longer time periods, along with comparisons both to the relevant performance group (“Performance Group”) and universe of funds (“Performance Universe”) for the Fund provided in the Broadridge materials. The Board was provided with a description of the methodology used to arrive at the funds included in the Performance Group and the Performance Universe. The Board considered that the Fund has continued to trade relatively well, either at a premium or a small discount to net asset value. The Board also considered the positive investment performance of the Fund over various investment periods relative its stated objectives as well as the performance of the Fund relative to its peers.

Credit Suisse Profitability

The Board received and considered a profitability analysis of Credit Suisse based on the fees payable under the Advisory Agreement for the Fund, including any fee waivers, as well as other relationships between the Fund on the one hand and Credit Suisse affiliates on the other. The Board deliberations also reflected, in the context of Credit Suisse’s profitability, Credit Suisse’s methodology for allocating costs to the Fund, recognizing that cost allocation methodologies are inherently subjective. The Board also received net profitability information for the other funds in the Credit Suisse family of funds, which include both open-end and closed-end funds. The Board also reviewed Credit Suisse’s profit margin as reflected in the profitability analysis, as well as reviewing profitability in light of appropriate court cases and the services rendered to the Fund.

Economies of Scale

The Board considered information regarding whether there have been economies of scale with respect to the management of the Fund, whether the Fund has appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Board noted that the Fund’s Contractual Advisory Fee had breakpoints that would allow investors to benefit directly in the form of lower fees as Fund assets grow, as well as the current voluntary expense waiver. Additionally, at times when the Fund’s shares have traded at a premium to its net asset value, the Fund has endeavored to conduct at-the-market offerings to raise additional assets, most recently in 2017. The Board also noted that further economies of scale potentially could be realized once the Fund’s shares again traded at a premium to net asset value whereby an

 

40


Credit Suisse High Yield Bond Fund

Board Approval of Advisory Agreement (unaudited) (continued)

 

 

additional at-the-market offering could be conducted to increase the Fund’s assets. The Board received information regarding Credit Suisse’s profitability in connection with providing advisory services to the Fund, including Credit Suisse’s costs in providing the services.

Other Benefits to Credit Suisse

The Board considered other benefits received by Credit Suisse and its affiliates as a result of their relationship with the Fund. Such benefits include, among others, benefits potentially derived from an increase in Credit Suisse’s businesses and its reputation as a result of its relationship with the Fund (such as the ability to market its advisory services to other clients and investors including separate account or third party sub-advised mandates or other financial products offered by Credit Suisse and its affiliates).

The Board considered the standards Credit Suisse applied in seeking best execution and Credit Suisse’s policies and practices regarding soft dollars and reviewed Credit Suisse’s method for allocating portfolio investment opportunities among its advisory clients.

Other Factors and Broader Review

As discussed above, the Board reviewed detailed materials received from Credit Suisse as part of the annual approval process. The Board also reviews and assesses the quality of the services that the Fund receives throughout the year. In this regard, the Board reviews reports of Credit Suisse at least quarterly, which include, among other things, detailed portfolio and market reviews, detailed fund performance reports, and Credit Suisse’s compliance procedures.

Conclusions

In selecting Credit Suisse, and approving the renewal of the Advisory Agreement and the investment advisory fee under such agreement, the Board concluded that:

 

   

The Contractual Advisory Fee and Net Advisory Fee, reviewed along with information provided by Broadridge for funds in the Fund’s Expense Group and Expense Universe, were reasonable in relation to the services provided by Credit Suisse.

 

   

The Board was satisfied with the nature, extent and quality of the investment advisory services provided to the Fund by Credit Suisse and that, based on dialogue with management and counsel, the services provided by Credit Suisse under the Advisory Agreement are typical of, and consistent with, those provided to similar mutual funds by other investment advisers.

 

   

In light of the costs of providing investment management and other services to the Fund and Credit Suisse’s ongoing commitment to the Fund and willingness to waive fees, Credit Suisse’s net profitability based on fees payable under the Advisory Agreement, as well as other ancillary benefits that Credit Suisse and its affiliates received, were considered reasonable.

 

   

In light of the information received and considered by the Board, the Fund’s current fee structure was considered reasonable.

 

41


Credit Suisse High Yield Bond Fund

Board Approval of Advisory Agreement (unaudited) (continued)

 

 

No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the renewal of the Advisory Agreement. The Independent Trustees were advised by separate independent legal counsel throughout the process.

 

42


Credit Suisse High Yield Bond Fund

Notice of Privacy and Information Practices (unaudited)

 

 

At Credit Suisse, we know that you are concerned with how we protect and handle nonpublic personal information that identifies you. This notice is designed to help you understand what nonpublic personal information we collect from you and from other sources, and how we use that information in connection with your investments and investment choices that may be available to you. Except where otherwise noted, this notice is applicable only to consumers who are current or former investors, meaning individual persons whose investments are primarily for household, family or personal use (“individual investors”). Specified sections of this notice, however, also apply to other types of investors (called “institutional investors”). Where the notice applies to institutional investors, the notice expressly states so. This notice is being provided by Credit Suisse Funds and Credit Suisse Closed-End Funds. This notice applies solely to U.S. registered investment companies advised by Credit Suisse Asset Management, LLC.

Categories of information we may collect:

We may collect information about you, including nonpublic personal information, such as

 

   

Information we receive from you on applications, forms, agreements, questionnaires, Credit Suisse websites and other websites that are part of our investment program, or in the course of establishing or maintaining a customer relationship, such as your name, address, e-mail address, Social Security number, assets, income, financial situation; and

 

   

Information we obtain from your transactions and experiences with us, our affiliates, or others, such as your account balances or other investment information, assets purchased and sold, and other parties to a transaction, where applicable.

Categories of information we disclose and parties to whom we disclose it:

 

   

We do not disclose nonpublic personal information about our individual investors, except as permitted or required by law or regulation. Whether you are an individual investor or institutional investor, we may share the information described above with our affiliates that perform services on our behalf, and with our asset management and private banking affiliates; as well as with unaffiliated third parties that perform services on our behalf, such as our accountants, auditors, attorneys, broker-dealers, fund administrators, and other service providers.

 

   

We want our investors to be informed about additional products or services. We do not disclose nonpublic personal information relating to individual investors to our affiliates for marketing purposes, nor do we use such information received from our affiliates to solicit individual investors for such purposes. Whether you are an individual investor or an institutional investor, we may disclose information, including nonpublic personal information, regarding our transactions and experiences with you to our affiliates.

 

   

In addition, whether you are an individual investor or an institutional investor, we reserve the right to disclose information, including nonpublic personal information, about you to any person or entity, including without limitation any governmental agency, regulatory authority or self-regulatory organization having jurisdiction over us or our affiliates, if (i) we determine in our discretion that such disclosure is necessary or advisable pursuant to or in connection with any United States federal, state or local, or non-U.S., court order (or other legal process), law, rule, regulation, or executive order or policy, including without limitation any anti-money laundering law or the USA PATRIOT Act of 2001; and (ii) such disclosure is not otherwise prohibited by law, rule, regulation, or executive order or policy.

 

43


Credit Suisse High Yield Bond Fund

Notice of Privacy and Information Practices (unaudited) (continued)

 

 

Confidentiality and security

 

   

To protect nonpublic personal information about individual investors, we restrict access to those employees and agents who need to know that information to provide products or services to us and to our investors. We maintain physical, electronic, and procedural safeguards to protect nonpublic personal information.

Other Disclosures

This notice is not intended to be incorporated in any offering materials, but is a statement of our current Notice of Privacy and Information Practices and may be amended from time to time. This notice is current as of May 24, 2022.

 

44


Credit Suisse High Yield Bond Fund

Proxy Voting and Portfolio Holdings Information (unaudited)

 

 

Information regarding how the Fund voted proxies related to its portfolio securities during the 12-month period ended June 30 of each year, as well as the policies and procedures that the Fund uses to determine how to vote proxies relating to its portfolio securities are available:

 

   

By calling 1-800-293-1232

 

   

On the Fund’s website, www.credit-suisse.com/us/funds

 

   

On the website of the Securities and Exchange Commission, www.sec.gov

The Fund files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at www.sec.gov.

Funds Managed by Credit Suisse Asset Management, LLC

 

CLOSED-END FUNDS

Fixed Income

Credit Suisse Asset Management Income Fund, Inc. (NYSE American: CIK)

Credit Suisse High Yield Bond Fund (NYSE American: DHY)

Literature Request — Call today for free descriptive information on the closed-ended funds listed above at 1-800-293-1232 or visit our website at www.credit-suisse.com/us/funds

 

 

OPEN-END FUNDS

 

Credit Suisse Commodity Return Strategy Fund    Credit Suisse Strategic Income Fund
Credit Suisse Floating Rate High Income Fund    Credit Suisse Managed Futures Strategy Fund
Credit Suisse Multialternative Strategy Fund   

Fund shares are not deposits or other obligation of Credit Suisse Asset Management, LLC or any affiliate, are not FDIC-insured and are not guaranteed by Credit Suisse Asset Management, LLC or any affiliate. Fund investments are subject to investment risks, including loss of your investment. There are special risk considerations associated with international, global, emerging-markets, small-company, private equity, high-yield debt, single-industry, single-country and other special, aggressive or concentrated investment strategies. Past performance cannot guarantee future results.

More complete information about a fund, including charges and expenses, is provided in the Prospectus, which should be read carefully before investing. You may obtain copies by calling Credit Suisse Funds at 1-877-870-2874. Performance information current to the most recent month-end is available at www.credit-suisse.com/us/funds.

Credit Suisse Securities (USA) LLC, Distributor.

 

45


Credit Suisse High Yield Bond Fund

Dividend Reinvestment and Cash Purchase Plan (unaudited)

 

 

Credit Suisse High Yield Bond Fund (the “Fund”) offers a Dividend Reinvestment and Cash Purchase Plan (the “Plan”) to its common stockholders. The Plan offers common stockholders a prompt and simple way to reinvest net investment income dividends and capital gains and other periodic distributions in shares of the Fund’s common stock. Computershare Trust Company, N.A. (“Computershare”) acts as Plan Agent for stockholders in administering the Plan.

If your shares of common stock of the Fund are registered in your own name, you will automatically participate in the Plan, unless you have indicated that you do not wish to participate and instead wish to receive dividends and capital gains distributions in cash. If you are a beneficial owner of the Fund having your shares registered in the name of a bank, broker or other nominee, you must first make arrangements with the organization in whose name your shares are registered to have the shares transferred into your own name. Registered shareholders can join the Plan via the Internet by going to www.computershare.com, authenticating your online account, agreeing to the Terms and Conditions of online “Account Access” and completing an online Plan Enrollment Form. Alternatively, you can complete the Plan Enrollment Form and return it to Computershare at the address below.

By participating in the Plan, your dividends and distributions will be promptly paid to you in additional shares of common stock of the Fund. The number of shares to be issued to you will be determined by dividing the total amount of the distribution payable to you by the greater of (i) the net asset value per share (“NAV”) of the Fund’s common stock on the payment date, or (ii) 95% of the market price per share of the Fund’s common stock on the payment date. If the NAV of the Fund’s common stock is greater than the market price (plus estimated brokerage commissions) on the payment date, then Computershare (or a broker-dealer selected by Computershare) shall endeavor to apply the amount of such distribution on your shares to purchase shares of Fund common stock in the open market.

You should be aware that all net investment income dividends and capital gain distributions are taxable to you as ordinary income and capital gain, respectively, whether received in cash or reinvested in additional shares of the Fund’s common stock.

The Plan also permits participants to purchase shares of the Fund through Computershare. You may invest $100 or more monthly, with a maximum of $100,000 in any annual period. Computershare will purchase shares for you on the open market on the 25th of each month or the next trading day if the 25th is not a trading day.

There is no service fee payable by Plan participants for dividend reinvestment. For voluntary cash payments, Plan participants must pay a service fee of $5.00 per transaction. Plan participants will also be charged a pro rata share of the brokerage commissions for all open market purchases ($0.03 per share as of October 2021). Participants will also be charged a service fee of $5.00 for each sale and brokerage commissions of $0.03 per share (as of October 2021).

You may terminate your participation in the Plan at any time by notifying Computershare or requesting a sale of your shares held in the Plan. Your withdrawal will be effective immediately if your notice is received by Computershare prior to any dividend or distribution record date; otherwise, such termination will be effective only with respect to any subsequent dividend or distribution. Your dividend participation option will remain the same unless you withdraw all of your whole and fractional Plan shares, in which case your participation in the Plan will be terminated and you will receive subsequent dividends and capital gains distributions in cash instead of shares.

 

46


Credit Suisse High Yield Bond Fund

Dividend Reinvestment and Cash Purchase Plan (unaudited) (continued)

 

 

If you want further information about the Plan, including a brochure describing the Plan in greater detail, please contact Computershare as follows:

 

  By Internet:

www.computershare.com

 

  By phone:

(800) 730-6001 (U.S. and Canada)

   

(781) 575-3100 (Outside U.S. and Canada)

Customer service associates are available from 9:00 a.m. to 5:00 p.m. Eastern time, Monday through Friday

 

  By 

mail: Credit Suisse High Yield Bond Fund

   

c/o Computershare

   

P.O. Box 30170

   

College Station, TX 77842-3170

Overnight correspondence should be sent to:

 

   

Computershare

   

211 Quality Circle, Suite 210

   

College Station, TX 77845

All notices, correspondence, questions or other communications sent by mail should be sent by registered or certified mail, return receipt requested.

The Plan may be terminated by the Fund or Computershare upon notice in writing mailed to each participant at least 30 days prior to any record date for the payment of any dividend or distribution.

 

47


This report, including the financial statements herein, is sent to the shareholders of the Fund for their information. It is not a prospectus, circular or representation intended for use in the purchase or sale of shares of the Fund or of any securities mentioned in this report.

 

 

DHY-SAR-0422


Item 2. Code of Ethics.

This item is inapplicable to a semi-annual report on Form N-CSR.

Item 3. Audit Committee Financial Expert.

This item is inapplicable to a semi-annual report on Form N-CSR.


Item 4. Principal Accountant Fees and Services.

This item is inapplicable to a semi-annual report on Form N-CSR.

Item 5. Audit Committee of Listed Registrants.

This item is inapplicable to a semi-annual report on Form N-CSR.

Item 6. Schedule of Investments.

Included as part of the report to shareholders filed under Item 1 of this Form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

This item is inapplicable to a semi-annual report on Form N-CSR.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

This item is inapplicable to a semi-annual report on Form N-CSR.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

None.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors since the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(g) of Schedule 14A in its definitive proxy statement dated December 27, 2021.

Item 11. Controls and Procedures.

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

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


Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

This item is inapplicable to a semi-annual report on Form N-CSR.

Item 13. Exhibits.

 

(a)(1)   Not applicable.
(a)(2)   The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report.
(a)(3)   Not applicable.
(b)   The certifications of the registrant as required by Rule 30a-2(b) under the Act are an exhibit to this report.


SIGNATURES

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

 

CREDIT SUISSE HIGH YIELD BOND FUND
/s/John G. Popp
Name: John G. Popp
Title: Chief Executive Officer and President
Date: June 30, 2022

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

/s/John G. Popp
Name: John G. Popp
Title: Chief Executive Officer and President
Date: June 30, 2022

/s/Omar Tariq

Name: Omar Tariq
Title: Chief Financial Officer and Treasurer
Date: June 30, 2022

EX-99.CERT

EXHIBIT 13(a)(2)

CERTIFICATIONS

I, Omar Tariq, certify that:

1. I have reviewed this report on Form N-CSR of Credit Suisse High Yield Bond Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and


(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: June 30, 2022

/s/Omar Tariq
Omar Tariq
Chief Financial Officer and Treasurer


I, John G. Popp, certify that:

1. I have reviewed this report on Form N-CSR of Credit Suisse High Yield Bond Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and


5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: June 30, 2022

/s/John G. Popp

John G. Popp

Chief Executive Officer and President

EX-99.906CERT

EXHIBIT 13(b)

SECTION 906 CERTIFICATIONS

SECTION 906 CERTIFICATION

John G. Popp, Chief Executive Officer and President, and Omar Tariq, Chief Financial Officer and Treasurer, of Credit Suisse High Yield Bond Fund (the “Fund”), each certify to his knowledge that:

(1) The Fund’s periodic report on Form N-CSR for the period ended April 30, 2022 (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund.

/s/John G. Popp     /s/ Omar Tariq
John G. Popp     Omar Tariq
Chief Executive Officer and President     Chief Financial Officer and Treasurer
June 30, 2022     June 30, 2022

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Fund and will be retained by the Fund and furnished to the Securities and Exchange Commission or its staff upon request.



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