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 31st

Date of reporting period: November 1, 2020 to October 31, 2021

 

 

 


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

Emidio Morizio

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

 

 

ANNUAL REPORT

October 31, 2021

 


Credit Suisse High Yield Bond Fund

Annual Investment Adviser’s Report

October 31, 2021 (unaudited)

 

 

December 2, 2021

Dear Shareholder:

We are pleased to present this Annual Report covering the activities of the Credit Suisse High Yield Bond Fund (the “Fund”) for the 12-month period ended October 31, 2021.

Performance Summary

11/1/20 – 10/31/21

 

Fund & Benchmark    Performance  

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

     15.33

Total Return (based on market value)1

     30.55

ICE BofA US High Yield Constrained Index2

     10.75

Market Review: A major recovery

The annual period ended October 31, 2021 was positive for the high yield asset class, as a broader economic reopening following the most difficult stages of the COVID-19 pandemic led to improved corporate fundamentals and stable market technicals. The ICE BofA US High Yield Constrained Index (the “Index”), the Fund’s benchmark, returned 10.75% for the period.

The high yield market ended the 2020 calendar year with significant momentum, as the Index returned 4.01% and 1.91% for November and December, respectively. During the first nine months of 2021, the asset class delivered impressive positive returns despite several pockets of weakness driven by higher longer-term U.S. treasury yields thanks to growing fears of inflationary pressure as the economy recovers. The 10-year U.S. treasury rate widened by 68 basis points over the period, contributing to outflows from the asset class for much of 2021. Overall, yields within the high yield asset class declined to end the period at 4.21%—147 basis points tighter than on October 31, 2020—while spreads tightened more meaningfully, to +328 basis points on October 31, 2021 versus +530 basis points on October 31, 2020.

For the period ended October 31, 2021, CCC-rated bonds strongly outperformed the Index, returning 20.61%. Conversely, B-rated and BB-rated bonds underperformed, though they still delivered firmly positive returns of 9.28% and 8.99%, respectively.

From an industry perspective, oil field equipment & services, theaters & entertainment, and department stores were the best performing sectors, returning 63.15%, 50.58% and 33.79%, respectively. In contrast, the worst performing sectors included managed care, pharmaceuticals, and cable & satellite TV, returning 2.48%, 2.78% and 3.14%, respectively.

Default rates have reached historical lows due to investor optimism and active primary issuance. According to JPMorgan, default activity, including distressed exchanges, ended the period at 0.44%—down 643 basis points over the prior annual period. We expect default activity to remain muted as business fundamentals improve and healthy conditions persist in the capital markets.

After a very strong period of inflows in 2020—with mutual funds bringing in $44.9 billion—flows turned negative in 2021. Year-to-date outflows totaled $11.0 billion as of October 31, 2021.

New high yield bond issuance has remained quite active in 2021. Year-to-date through October 31, 2021, high yield issuance totaled $440.0 billion, up approximately 14% compared to the same period in the prior year, and only approximately $10 billion short of the full-year volume in 2020.

 

1


Credit Suisse High Yield Bond Fund

Annual Investment Adviser’s Report (continued)

October 31, 2021 (unaudited)

 

 

Strategic Review and Outlook: Constructive, but focused on macro headwinds

For the annual period ended October 31, 2021, the Fund outperformed its benchmark on both an NAV and market capitalization basis. Allocations to high yield and bank loans both added to relative returns, as positions within both asset classes outperformed those of the Index. From a sector perspective, the greatest contributors to relative return included leisure, media and real estate.

Looking forward, we are constructive on the high yield asset class. Though fundamentals have continued to improve, we are mindful of potential impacts from labor shortages and supply chain disruption. We believe that meticulous credit analysis will be imperative as we navigate these headwinds. From a technical standpoint, we believe rate volatility driven by inflationary forces will likely provide attractive buying opportunities.

The Fund remains positioned with an underweight to the energy sector and short on duration versus the Index, putting us in a positive position in a sell-off driven by energy prices or rate increases.

 

  

Thomas J. Flannery

Chief Investment Officer*

  

John G. Popp

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 October 31, 2021; these views and Fund holdings may have changed subsequent to these dates. Nothing in this document is a recommendation to purchase or sell securities.

 

2


Credit Suisse High Yield Bond Fund

Annual Investment Adviser’s Report (continued)

October 31, 2021 (unaudited)

 

 

Comparison of Change in Value of $10,000 Investment in the Credit Suisse High Yield Bond Fund1 and the ICE BofA US High Yield Constrained Index2 For Ten Years

 

LOGO

 

1

Assuming reinvestment of dividends of $0.19 per share.

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.

 

3


Credit Suisse High Yield Bond Fund

Annual Investment Adviser’s Report (continued)

October 31, 2021 (unaudited)

 

 

Average Annual Returns

October 31, 2021 (unaudited)

 

 

       1 Year        5 Years        10 Years  

Net Asset Value (NAV)

       15.33%          8.97%          9.28%  

Market Value

       30.55%          10.10%          8.57%  

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 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 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 1.74% and 1.58%, respectively.

Credit Quality Breakdown*

(% of Total Investments as of October 31, 2021)

 

S&P Ratings**

 

BBB

     0.4

BB

     23.7  

B

     38.9  

CCC

     28.1  

CC

     0.3  

D

     0.1  

NR

     4.4  
  

 

 

 

Subtotal

     95.9  

Equity and Other

     4.1  
  

 

 

 

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.

 

4


Credit Suisse High Yield Bond Fund

Schedule of Investments

October 31, 2021

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (89.3%)

 
 

Advertising (0.1%)

 
$ 202    

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

   (BB-, B1)      07/15/25        7.000      $ 213,868  
             

 

 

 
 

Aerospace & Defense (0.6%)

 
  365    

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

   (BB-, Ba3)      09/30/28        4.750        373,426  
  1,250    

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

   (B-, B3)      03/15/27        7.500        1,312,500  
             

 

 

 
                1,685,926  
             

 

 

 
 

Auto Parts & Equipment (2.8%)

 
  3,430    

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

   (CCC+, Caa1)      05/15/27        8.500        3,647,873  
  2,450    

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

   (CCC, Caa1)      11/15/26        5.625        1,969,543  
  1,500    

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

   (CCC, Caa1)      10/15/29        6.625        1,481,250  
  350    

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

   (B+, Ba3)      01/15/29        7.875        383,250  
             

 

 

 
                7,481,916  
             

 

 

 
 

Automakers (0.8%)

 
  600    

Ford Motor Co., Global Senior Unsecured Notes

   (BB+, Ba2)      04/21/23        8.500        658,650  
  300    

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

   (BB-, B1)      10/15/29        4.000        297,465  
  990    

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

   (BB+, Ba3)      07/15/28        6.250        1,067,962  
             

 

 

 
                2,024,077  
             

 

 

 
 

Brokerage (0.6%)

 
  1,608    

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

   (BB-, Ba3)      06/15/25        8.625        1,710,510  
             

 

 

 
 

Building & Construction (1.1%)

 
  1,200    

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

   (B+, B3)      02/15/25        7.500        1,252,500  
  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        1,646,537  
             

 

 

 
                2,899,037  
             

 

 

 
 

Building Materials (3.6%)

 
  1,900    

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

   (CCC+, Caa1)      03/01/29        6.000        1,836,464  
  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        2,051,262  
  1,800    

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

   (CCC, Caa1)      02/01/29        5.625        1,681,767  
  700    

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

   (CCC, Caa1)      08/01/29        6.750        687,110  

 

See Accompanying Notes to Financial Statements.

 

5


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2021

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Building Materials

           
$ 1,200    

PGT Innovations, Inc., Rule 144A, Company Guaranteed Notes
(Callable 08/01/24 @ 102.19)(1)

   (B+, B2)      10/01/29        4.375      $ 1,195,500  
  300    

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

   (BB, B1)      01/15/29        5.250        314,625  
  750    

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

   (BB-, B1)      06/15/25        7.125        795,937  
  750    

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

   (BB-, B1)      06/15/28        7.250        828,120  
             

 

 

 
                9,390,785  
             

 

 

 
 

Cable & Satellite TV (4.5%)

 
  1,315    

CSC Holdings LLC, Global Senior Unsecured Notes

   (B+, B3)      06/01/24        5.250        1,385,681  
  525    

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

   (BB, Ba3)      04/15/27        5.500        542,719  
  750    

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

   (BB, Ba3)      02/01/28        5.375        773,438  
  900    

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

   (BB, Ba3)      11/15/31        4.500        873,203  
  1,555    

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

   (B+, B3)      08/15/27        5.375        1,615,256  
  1,600    

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

   (BB-, Ba3)      03/01/28        5.500        1,672,000  
  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        916,132  
  1,000    

Virgin Media Secured Finance PLC, Rule 144A, Senior Secured Notes
(Callable 04/15/22 @ 102.50)(1),(2)

   (BB-, Ba3)      04/15/27        5.000        1,415,984  
  2,596    

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

   (B+, B1)      01/15/27        5.500        2,664,145  
             

 

 

 
                11,858,558  
             

 

 

 
 

Chemicals (3.6%)

 
  300    

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

   (BB-, Ba3)      05/15/25        5.750        313,875  
  725    

GCP Applied Technologies, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/15/21 @ 102.75)(1)

   (BB, B1)      04/15/26        5.500        743,306  
  1,200    

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

   (B, B2)      05/15/28        4.750        1,191,960  
  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        1,299,212  
  1,031    

Ingevity Corp., Rule 144A, Company Guaranteed Notes
(Callable 11/29/21 @ 102.25)(1)

   (NR, Ba3)      02/01/26        4.500        1,042,599  
  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        1,202,652  
  525    

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

   (CCC+, Caa2)      10/01/29        6.250        524,430  
  272    

Reichhold Industries, Inc., Rule 144A, Senior Secured Notes(1),(4),(5),(6),(7),(8)

   (NR, NR)      05/01/18        0.000        3,667  
  1,500    

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

   (CCC+, Caa2)      05/15/26        6.750        1,496,093  

 

See Accompanying Notes to Financial Statements.

 

6


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2021

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Chemicals

           
$ 600    

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

   (B, B2)      04/01/29        5.125      $ 602,430  
  1,200    

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

   (B, B3)      03/15/29        4.625        1,177,896  
             

 

 

 
                9,598,120  
             

 

 

 
 

Consumer/Commercial/Lease Financing (1.1%)

 
  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        2,969,107  
             

 

 

 
 

Diversified Capital Goods (1.8%)

 
  1,425    

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

   (BB-, Ba3)      06/01/31        4.250        1,441,067  
  1,200    

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

   (BB, Ba3)      12/15/28        4.625        1,213,506  
  600    

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

   (B, B1)      06/30/28        4.125        597,642  
  600    

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

   (CCC+, Caa1)      06/30/29        5.875        596,250  
  900    

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

   (BB-, B1)      11/15/28        4.125        898,875  
             

 

 

 
                4,747,340  
             

 

 

 
 

Electronics (1.3%)

 
  1,628    

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

   (BB+, Ba3)      10/01/25        5.000        1,785,379  
  345    

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

   (BB+, Ba3)      04/15/29        4.000        350,834  
  1,200    

Synaptics, Inc., Rule 144A, Company Guaranteed Notes
(Callable 06/15/24 @ 102.00)(1),(9)

   (B+, Ba3)      06/15/29        4.000        1,213,614  
             

 

 

 
                3,349,827  
             

 

 

 
 

Energy - Exploration & Production (2.0%)

 
  850    

CNX Resources Corp., Rule 144A, Company Guaranteed Notes
(Callable 03/14/22 @ 105.44)(1)

   (BB-, B1)      03/14/27        7.250        904,825  
  800    

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

   (BB-, B1)      01/15/29        6.000        845,000  
  350    

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

   (B, B3)      07/31/29        7.750        345,373  
  595    

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

   (B, B3)      03/01/28        8.125        640,622  
  2,500    

W&T Offshore, Inc., Rule 144A, Secured Notes (Callable 11/29/21 @ 102.44)(1)

   (B, Caa2)      11/01/23        9.750        2,440,550  
             

 

 

 
                5,176,370  
             

 

 

 
 

Environmental (0.4%)

 
  625    

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

   (BB-, Ba3)      12/15/26        5.125        653,906  

 

See Accompanying Notes to Financial Statements.

 

7


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2021

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Environmental

 
$ 300    

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

   (BB-, NR)      01/15/29        3.875      $ 295,875  
             

 

 

 
                949,781  
             

 

 

 
 

Food - Wholesale (0.6%)

 
  210    

Lamb Weston Holdings, Inc., Rule 144A, Company Guaranteed Notes
(Callable 01/31/25 @ 102.06)(1)

   (BB+, Ba3)      01/31/30        4.125        210,462  
  600    

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

   (BB+, Ba3)      01/31/32        4.375        601,641  
  900    

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

   (B+, Caa1)      02/15/29        4.750        911,718  
             

 

 

 
                1,723,821  
             

 

 

 
 

Gaming (3.8%)

 
  500    

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

   (B, Caa1)      06/15/31        4.750        515,009  
  1,868    

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

   (B+, B1)      01/15/28        4.750        1,933,380  
  3,250    

Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes
(Callable 11/29/21 @ 100.00)(1)

   (CCC, Caa2)      10/15/24        6.750        3,262,187  
  2,200    

Jacobs Entertainment, Inc., Rule 144A, Secured Notes
(Callable 11/29/21 @ 103.94)(1)

   (B-, B3)      02/01/24        7.875        2,268,750  
  1,250    

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

   (BB-, B1)      02/01/27        5.750        1,426,563  
  480    

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

   (B, B3)      11/15/27        8.500        512,882  
             

 

 

 
                9,918,771  
             

 

 

 
 

Gas Distribution (3.8%)

 
  2,750    

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 11/29/21 @ 100.94)

   (B, B1)      06/15/24        5.625        2,743,125  
  1,125    

Genesis Energy Finance Corp., Company Guaranteed Notes
(Callable 11/29/21 @ 104.69)

   (B, B1)      05/15/26        6.250        1,090,339  
  1,500    

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

   (BB+, Ba3)      06/15/28        5.125        1,559,925  
  300    

Hess Midstream Operations LP, Rule 144A, Company Guaranteed Notes
(Callable 02/15/25 @ 102.13)(1)

   (BB+, Ba3)      02/15/30        4.250        300,375  
  1,450    

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

   (B+, B1)      09/30/26        6.500        1,411,459  
  750    

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

   (BB+, Ba2)      07/15/29        4.950        803,437  
  915    

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

   (BB+, Ba2)      05/15/30        4.800        975,619  
  300    

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

   (BB-, B1)      06/01/31        5.000        307,875  

 

See Accompanying Notes to Financial Statements.

 

8


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2021

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Gas Distribution

 
$ 750    

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

   (BB-, B1)      10/01/25        7.500      $ 811,875  
             

 

 

 
                10,004,029  
             

 

 

 
 

Health Facilities (1.6%)

 
  1,250    

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

   (BB-, Baa3)      09/01/28        5.625        1,466,537  
  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        1,196,364  
  600    

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

   (B-, Caa1)      10/01/29        5.250        609,750  
  775    

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

   (CCC, Caa2)      04/15/27        10.000        832,939  
             

 

 

 
                4,105,590  
             

 

 

 
 

Health Services (3.2%)

 
  660    

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

   (BB-, Ba3)      04/15/29        4.000        670,784  
  1,050    

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

   (B, B3)      10/01/29        4.500        1,063,125  
  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        189,189  
  2,619    

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

   (BB-, Ba2)      12/15/24        4.375        2,753,224  
  2,750    

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

   (CCC, Caa2)      02/01/28        9.250        2,919,592  
  335    

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

   (B-, B2)      12/15/25        5.250        335,419  
  589    

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

   (BB, Ba3)      05/15/31        4.000        602,332  
             

 

 

 
                8,533,665  
             

 

 

 
 

Insurance Brokerage (4.2%)

 
  3,178    

Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes
(Callable 11/29/21 @ 101.75)(1)

   (CCC+, Caa2)      11/15/25        7.000        3,213,752  
  1,000    

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

   (CCC+, Caa2)      08/01/26        10.125        1,106,920  
  860    

Alliant Holdings Co-Issuer, Rule 144A, Senior Secured Notes
(Callable 10/15/23 @ 102.13)(1)

   (B, B2)      10/15/27        4.250        858,925  
  419    

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

   (CCC+, Caa2)      10/15/27        6.750        433,141  
  750    

Alliant Holdings Co-Issuer, Rule 144A, Senior Unsecured Notes
(Callable 11/01/24 @ 102.94)(1)

   (CCC+, Caa2)      11/01/29        5.875        754,613  
  1,200    

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

   (CCC+, Caa2)      05/15/27        8.000        1,264,500  
  950    

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

   (B, B1)      08/15/28        4.875        965,438  
  2,400    

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

   (CCC+, Caa2)      08/15/28        6.875        2,441,948  
             

 

 

 
                11,039,237  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

9


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2021

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Investments & Misc. Financial Services (2.2%)

 
$ 1,790    

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

   (B-, B2)      03/01/28        6.250      $ 1,868,312  
  2,250    

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

   (CCC+, Caa1)      11/15/29        8.500        2,250,000  
  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        1,822,188  
             

 

 

 
                5,940,500  
             

 

 

 
 

Machinery (1.9%)

 
  1,550    

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

   (BB, Ba2)      04/15/29        4.375        1,575,188  
  1,475    

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

   (B+, B2)      12/15/28        4.125        1,489,750  
  450    

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

   (CCC+, Caa1)      10/01/27        11.000        493,472  
  690    

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

   (B+, B1)      07/31/27        5.750        718,335  
  600    

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

   (BB+, Ba1)      06/15/25        5.750        633,000  
             

 

 

 
                4,909,745  
             

 

 

 
 

Media - Diversified (0.4%)

 
  750    

National CineMedia LLC, Global Senior Unsecured Notes
(Callable 11/29/21 @ 102.88)

   (CCC-, Caa3)      08/15/26        5.750        603,281  
  375    

National CineMedia LLC, Rule 144A, Senior Secured Notes
(Callable 04/15/23 @ 102.94)(1),(9)

   (CCC+, B3)      04/15/28        5.875        346,656  
             

 

 

 
                949,937  
             

 

 

 
 

Media Content (0.5%)

 
  1,507    

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

   (CC, Ca)      08/15/27        6.625        452,100  
  925    

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

   (CCC, Caa1)      08/15/26        5.375        524,479  
  300    

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

   (BB, Ba3)      07/15/28        4.000        302,235  
             

 

 

 
                1,278,814  
             

 

 

 
 

Metals & Mining - Excluding Steel (1.9%)

 
  375    

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

   (BB, NR)      11/15/29        3.875        372,866  
  300    

First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes
(Callable 11/09/21 @ 101.81)(1)

   (B, NR)      04/01/23        7.250        305,175  
  2,150    

First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes
(Callable 11/09/21 @ 105.16)(1)

   (B, NR)      03/01/26        6.875        2,241,375  
  300    

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

   (BB, B1)      06/01/31        4.500        294,405  
  182    

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

   (BB, B1)      01/30/30        4.750        189,508  

 

See Accompanying Notes to Financial Statements.

 

10


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2021

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Metals & Mining - Excluding Steel

 
$ 1,500    

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

   (B-, Caa1)      02/15/26        7.000      $ 1,552,500  
             

 

 

 
                4,955,829  
             

 

 

 
 

Oil Field Equipment & Services (0.2%)

 
  600    

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

   (B+, B3)      10/15/29        5.500        616,350  
             

 

 

 
 

Oil Refining & Marketing (0.6%)

 
  1,460    

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

   (B, B2)      08/01/29        6.500        1,469,424  
             

 

 

 
 

Packaging (5.1%)

 
  600    

Ardagh Metal Packaging Finance PLC, Rule 144A, Senior Unsecured Notes
(Callable 05/15/24 @ 102.00)(1)

   (B+, B3)      09/01/29        4.000        597,390  
  650    

Crown Americas Capital Corp. VI, Global Company Guaranteed Notes
(Callable 11/29/21 @ 103.56)

   (BB-, Ba3)      02/01/26        4.750        670,508  
  2,500    

Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes
(Callable 11/29/21 @ 101.72)(1)

   (CCC+, Caa2)      01/15/25        6.875        2,528,125  
  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        618,000  
  1,695    

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

   (B+, Ba3)      06/15/29        4.375        1,701,509  
  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        783,800  
  3,435    

Plastipak Holdings, Inc., Rule 144A, Senior Unsecured Notes
(Callable 11/29/21 @ 101.56)(1)

   (B, B3)      10/15/25        6.250        3,501,570  
  2,970    

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

   (BB-, Ba3)      04/15/29        4.125        3,011,075  
             

 

 

 
                13,411,977  
             

 

 

 
 

Personal & Household Products (0.2%)

 
  2,000    

High Ridge Brands Co., Rule 144A, Senior Unsecured Notes
(Callable 12/06/21 @ 102.22)(1),(4),(5),(7),(8)

   (NR, NR)      03/15/25        0.000        17,500  
  600    

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

   (CCC+, Caa2)      06/01/29        6.375        578,100  
             

 

 

 
                595,600  
             

 

 

 
 

Pharmaceuticals (4.1%)

 
  600    

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

   (BB, Ba2)      06/01/28        4.875        616,500  
  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        1,624,480  
  325    

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

   (B, B3)      01/30/30        5.250        293,514  

 

See Accompanying Notes to Financial Statements.

 

11


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2021

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Pharmaceuticals

 
$ 600    

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

   (B, B3)      02/15/31        5.250      $ 540,390  
  1,064    

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

   (BB-, Ba3)      08/15/28        3.875        1,022,770  
  1,350    

Endo Finance LLC, Rule 144A, Senior Secured Notes
(Callable 11/29/21 @ 101.47)(1)

   (B-, B3)      10/15/24        5.875        1,313,206  
  600    

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

   (B-, B3)      04/01/29        6.125        591,048  
  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        1,422,750  
  1,250    

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

   (B+, Ba3)      08/01/27        5.500        1,318,750  
  2,100    

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

   (BB-, Ba2)      01/15/29        4.375        2,160,375  
             

 

 

 
                10,903,783  
             

 

 

 
 

Real Estate Development & Management (1.5%)

 
  1,100    

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

   (BB+, NR)      11/15/23        6.125        1,189,375  
  2,864    

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

   (CCC+, NR)      05/01/25        7.875        2,906,359  
             

 

 

 
                4,095,734  
             

 

 

 
 

Real Estate Investment Trusts (2.5%)

 
  1,606    

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        1,588,842  
  2,100    

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

   (BB, Ba3)      02/15/26        5.500        2,184,000  
  300    

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

   (BB, Ba3)      10/01/24        4.750        317,325  
  416    

Starwood Property Trust, Inc., Global Senior Unsecured Notes
(Callable 11/29/21 @ 100.00)

   (B+, NR)      12/15/21        5.000        416,780  
  1,880    

Starwood Property Trust, Inc., Rule 144A, Senior Unsecured Notes
(Callable 08/01/23 @ 100.00)(1)

   (B+, Ba3)      11/01/23        5.500        1,976,350  
             

 

 

 
                6,483,297  
             

 

 

 
 

Recreation & Travel (5.3%)

 
  600    

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

   (B, B1)      05/15/29        4.750        614,250  
  872    

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

   (CCC+, B3)      04/15/27        5.375        899,250  
  1,575    

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

   (CCC+, B3)      07/15/29        5.250        1,634,063  
  1,300    

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

   (CCC+, B2)      06/15/26        5.750        1,347,996  
  1,000    

Motion Bondco DAC, Rule 144A, Company Guaranteed Notes
(Callable 11/15/22 @ 103.31)(1),(9)

   (CCC-, Caa2)      11/15/27        6.625        1,004,265  
  848    

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

   (B-, B1)      08/01/25        6.000        888,492  
  700    

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

   (B-, Caa1)      08/15/29        5.250        714,000  

 

See Accompanying Notes to Financial Statements.

 

12


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2021

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Recreation & Travel

 
$ 600    

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

   (BB-, Ba3)      05/01/25        8.750      $ 640,500  
  2,150    

Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes
(Callable 11/29/21 @ 101.22)(1)

   (B-, B3)      07/31/24        4.875        2,168,813  
  477    

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

   (B-, B3)      04/15/27        5.500        494,291  
  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        425,500  
  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        3,207,669  
             

 

 

 
                14,039,089  
             

 

 

 
 

Software - Services (5.5%)

 
  3,160    

Austin BidCo, Inc., Rule 144A, Senior Unsecured Notes
(Callable 12/15/23 @ 103.56)(1)

   (CCC+, Caa2)      12/15/28        7.125        3,267,724  
  600    

Booz Allen Hamilton, Inc., Rule 144A, Company Guaranteed Notes
(Callable 07/01/24 @ 102.00)(1)

   (BB-, Ba2)      07/01/29        4.000        608,250  
  350    

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

   (NR, B1)      10/31/26        5.375        359,376  
  890    

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

   (BB+, Ba1)      06/01/27        4.875        927,563  
  1,950    

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

   (B+, B1)      07/15/29        4.125        1,942,464  
  2,075    

Endure Digital, Inc., Rule 144A, Senior Unsecured Notes
(Callable 02/15/24 @ 103.00)(1)

   (CCC+, Caa2)      02/15/29        6.000        1,912,548  
  388    

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

   (BB-, Ba3)      12/01/27        5.250        403,035  
  2,100    

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

   (CCC+, Caa1)      07/15/27        11.000        2,396,625  
  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        284,625  
  850    

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

   (CCC+, Caa1)      02/01/28        8.250        904,230  
  235    

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

   (B, B1)      02/01/27        4.875        239,406  
  1,150    

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

   (B+, B2)      09/30/27        5.500        1,211,813  
             

 

 

 
                14,457,659  
             

 

 

 
 

Specialty Retail (2.6%)

 
  61    

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

   (BB, B1)      03/01/28        4.500        62,144  
  733    

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

   (BB, B1)      03/01/30        4.750        748,576  
  1,425    

eG Global Finance PLC, Rule 144A, Senior Secured Notes
(Callable 11/29/21 @ 104.25)(1)

   (B-, B3)      10/30/25        8.500        1,477,176  
  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        616,842  

 

See Accompanying Notes to Financial Statements.

 

13


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2021

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Specialty Retail

 
$ 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      $ 295,500  
  2,500    

Ruyi U.S. Finance LLC, Rule 144A, Senior Secured Notes
(Callable 11/29/21 @ 105.63)(1)

   (NR, Caa1)      05/01/25        7.500        2,404,175  
  525    

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

   (NR, B1)      11/15/31        4.875        526,969  
  675    

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

   (BB-, Ba2)      08/15/29        4.000        667,278  
             

 

 

 
                6,798,660  
             

 

 

 
 

Steel Producers/Products (0.1%)

 
  199    

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

   (BB-, Ba2)      10/17/25        9.875        228,104  
             

 

 

 
 

Support - Services (6.7%)

 
  639    

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

   (B, B2)      06/01/28        4.625        634,016  
  1,011    

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

   (B, B2)      06/01/28        4.625        1,004,095  
  1,650    

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

   (CCC+, Caa1)      06/01/29        6.000        1,628,591  
  600    

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

   (B, B1)      10/15/29        4.750        616,392  
  710    

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

   (B, B1)      07/15/29        4.125        707,337  
  600    

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

   (CCC+, Caa1)      07/01/29        4.875        598,170  
  2,400    

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

   (B, B1)      05/01/28        4.500        2,374,368  
  300    

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

   (B-, B3)      03/15/26        8.625        324,375  
  2,765    

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

   (B-, B3)      07/31/26        7.125        2,865,231  
  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        2,966,250  
  575    

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

   (BB, Ba3)      12/15/27        4.625        593,688  
  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        2,371,668  
  865    

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

   (B+, B3)      08/15/28        4.625        895,275  
             

 

 

 
                17,579,456  
             

 

 

 
 

Tech Hardware & Equipment (2.0%)

 
  1,690    

CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes
(Callable 11/09/21 @ 102.00)(1)

   (CCC+, B3)      06/15/25        6.000        1,675,829  
  1,135    

CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes
(Callable 03/15/22 @ 102.50)(1),(9)

   (CCC+, B3)      03/15/27        5.000        1,055,385  

 

See Accompanying Notes to Financial Statements.

 

14


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2021

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

CORPORATE BONDS (continued)

           
 

Tech Hardware & Equipment

 
$ 150    

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

   (CCC+, B3)      03/01/27        8.250      $ 153,052  
  615    

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

   (B, Ba3)      09/01/29        4.750        604,207  
  1,800    

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

   (BB-, B1)      05/15/29        4.750        1,851,660  
             

 

 

 
                5,340,133  
             

 

 

 
 

Telecom - Wireline Integrated & Services (1.8%)

 
  1,285    

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

   (B, B2)      01/15/29        5.125        1,248,056  
  4,000    

GTT Communications, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/29/21 @ 103.94)(1),(4)

   (D, NR)      12/31/24        0.000        490,000  
  2,000    

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

   (B+, B1)      10/15/27        6.750        2,102,500  
  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        302,655  
  600    

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

   (CCC+, Caa1)      03/01/28        6.125        586,500  
             

 

 

 
                4,729,711  
             

 

 

 
 

Theaters & Entertainment (2.1%)

 
  2,374    

AMC Entertainment Holdings, Inc., 10.00% Cash, 12.00% PIK, Rule 144A, Secured Notes (Callable 06/15/23 @ 106.00)(1),(10)

   (CCC-, Ca)      06/15/26        12.000        2,366,012  
  2,200    

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/29/21 @ 101.22)(1)

   (B-, B3)      11/01/24        4.875        2,228,798  
  400    

Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes
(Callable 11/29/21 @ 104.22)(1)

   (B-, B3)      03/15/26        5.625        414,000  
  500    

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

   (B-, B3)      10/15/27        4.750        510,625  
             

 

 

 
                5,519,435  
             

 

 

 
 

Transport Infrastructure/Services (0.6%)

 
  1,600    

Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes
(Callable 11/09/21 @ 100.00)(1)

   (CCC-, Caa2)      08/15/22        11.250        1,595,216  
             

 

 

 
 

TOTAL CORPORATE BONDS (Cost $236,193,700)

       235,278,788  
  

 

 

 
 

BANK LOANS (34.5%)

 
 

Aerospace & Defense (1.3%)

 
  1,500    

Amentum Government Services Holdings LLC, LIBOR 1M + 8.750%(11)

   (NR, NR)      01/31/28        10.000        1,510,320  
  1,750    

Peraton Corp., LIBOR 1M + 7.750%(11)

   (NR, NR)      02/01/29        8.500        1,791,563  
             

 

 

 
                3,301,883  
             

 

 

 
 

Auto Parts & Equipment (0.7%)

 
  953    

Dayco Products LLC, LIBOR 3M + 4.250%(11)

   (CCC+, B3)      05/19/23        4.371        931,983  
  341    

Jason Group, Inc., LIBOR 3M + 1.000% Cash, 9.000% PIK(10),(11)

   (CCC-, Caa3)      03/02/26        11.000        337,841  

 

See Accompanying Notes to Financial Statements.

 

15


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2021

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

BANK LOANS (continued)

           
 

Auto Parts & Equipment

 
$ 495    

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

   (B-, Caa1)      08/28/25        7.000      $ 492,352  
             

 

 

 
                1,762,176  
             

 

 

 
 

Banking (0.5%)

 
  1,350    

Citco Funding LLC(12)

   (NR, Ba3)      09/28/23        0.000        1,347,962  
             

 

 

 
 

Building & Construction (0.4%)

           
  1,078    

TRC Companies, Inc., LIBOR 1M + 4.500%(7),(11)

   (B, B2)      06/21/24        5.250        1,076,160  
             

 

 

 
 

Chemicals (6.7%)

           
  2,205    

Ascend Performance Materials Operations LLC, LIBOR 3M + 4.750%(11)

   (BB-, B1)      08/27/26        5.500        2,229,821  
  2,993    

Atotech B.V.(12)

   (B+, B1)      03/18/28        0.000        2,993,128  
  1,966    

Ferro Corp. (Term Loan B1), LIBOR 3M + 2.250%(11)

   (BB-, Ba3)      02/14/24        2.382        1,965,383  
  517    

Ferro Corp. (Term Loan B2), LIBOR 3M + 2.250%(11)

   (BB-, Ba3)      02/14/24        2.382        516,509  
  506    

Ferro Corp. (Term Loan B3), LIBOR 3M + 2.250%(11)

   (BB-, Ba3)      02/14/24        2.382        505,520  
  2,650    

PMHC II, Inc., LIBOR 12M + 3.500%(11)

   (B-, Caa1)      03/31/25        4.500        2,637,198  
  2,268    

Polar U.S. Borrower LLC, LIBOR 1M + 4.750%, PRIME + 3.750%(11)

   (B-, B3)      10/15/25        4.874 - 7.000        2,269,891  
  115    

UTEX Industries, Inc., LIBOR 1M + 7.000%(11)

   (NR, NR)      12/03/25        8.500        115,552  
  101    

UTEX Industries, Inc., LIBOR 1M + 5.250%(11)

   (NR, NR)      12/03/25        11.000        99,203  
  2,000    

Vantage Specialty Chemicals, Inc., LIBOR 3M + 8.250%(6),(11)

   (CCC-, Caa3)      10/27/25        9.250        1,945,530  
  2,418    

Zep, Inc., LIBOR 3M + 4.000%(11)

   (CCC+, B3)      08/12/24        5.000        2,379,446  
             

 

 

 
                17,657,181  
             

 

 

 
 

Diversified Capital Goods (1.0%)

           
  772    

Callaway Golf Co., LIBOR 1M + 4.500%(11)

   (B, B1)      01/02/26        4.588        777,011  
  1,017    

Electrical Components International, Inc., PRIME + 7.500%(7),(11)

   (B-, B2)      06/26/25        10.750        1,019,994  
  837    

GrafTech Finance, Inc., LIBOR 1M + 3.000%(11)

   (BB, Ba3)      02/12/25        3.500        839,854  
             

 

 

 
                2,636,859  
             

 

 

 
 

Electronics (2.1%)

           
  999    

CPI International, Inc., LIBOR 1M + 7.250%(6),(7),(11)

   (CCC, Caa2)      07/26/25        8.250        934,417  
  2,250    

EXC Holdings III Corp., LIBOR 3M + 7.500%(11)

   (CCC+, Caa1)      12/01/25        8.500        2,256,469  
  2,416    

Idemia Group, LIBOR 3M + 4.500%(11)

   (B-, B3)      01/09/26        5.250        2,424,068  
             

 

 

 
                5,614,954  
             

 

 

 
 

Energy - Exploration & Production (0.0%)

           
  2,615    

PES Holdings LLC, 3.000% PIK(4),(7),(10),(11)

   (NR, NR)      12/31/22        3.000        49,025  
             

 

 

 
 

Food & Drug Retailers (0.5%)

           
  1,200    

WOOF Holdings, Inc., LIBOR 6M + 7.250%(11)

   (CCC, Caa2)      12/21/28        8.000        1,215,756  
             

 

 

 
 

Food - Wholesale (0.4%)

           
  960    

United Natural Foods, Inc., LIBOR 1M + 3.500%(11)

   (BB-, B1)      10/22/25        3.587        962,204  
             

 

 

 
 

Gas Distribution (1.5%)

           
  1,133    

BCP Renaissance Parent LLC, LIBOR 3M + 3.500%(11)

   (B, B2)      10/31/24        4.500        1,131,605  

 

See Accompanying Notes to Financial Statements.

 

16


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2021

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

BANK LOANS (continued)

           
 

Gas Distribution

           
$ 966    

BCP Renaissance Parent LLC, LIBOR 3M + 3.500%(7),(11)

   (B, B2)      11/01/24        3.621      $ 962,553  
  1,790    

Traverse Midstream Partners LLC, LIBOR 3M + 4.250%(11)

   (B, B3)      09/27/24        5.250        1,792,660  
             

 

 

 
                3,886,818  
             

 

 

 
 

Health Services (2.4%)

           
  2,205    

Athenahealth, Inc., LIBOR 3M + 4.250%(11)

   (B, B2)      02/11/26        4.377        2,214,759  
  844    

Carestream Health, Inc., LIBOR 6M + 6.750%(11)

   (B-, B1)      05/08/23        7.750        848,869  
  1,995    

PPD, Inc., LIBOR 1M + 2.000%(11)

   (BB-, Ba2)      01/13/28        2.500        1,994,060  
  1,201    

U.S. Radiology Specialists, Inc., LIBOR 3M + 5.500%(11)

   (B-, B3)      12/10/27        6.250        1,207,116  
             

 

 

 
                6,264,804  
             

 

 

 
 

Investments & Misc. Financial Services (1.4%)

           
  2,329    

AqGen Ascensus, Inc., LIBOR 3M + 6.500%(11)

   (CCC, Caa2)      08/02/29        7.000        2,329,439  
  1,298    

Deerfield Dakota Holding LLC, LIBOR 1M + 6.750%(11)

   (CCC, Caa2)      04/07/28        7.500        1,339,460  
  143    

Ditech Holding Corp.(4),(8)

   (NR, NR)      06/30/22        0.000        28,613  
             

 

 

 
                3,697,512  
             

 

 

 
 

Life Insurance (0.5%)

           
  1,386    

Vida Capital, Inc., LIBOR 1M + 6.000%(7),(11)

   (B-, B2)      10/01/26        6.087        1,278,239  
             

 

 

 
 

Machinery (0.7%)

           
  1,223    

LTI Holdings, Inc., LIBOR 1M + 6.750%(6),(11)

   (CCC+, Caa2)      09/06/26        6.837        1,221,773  
  588    

LTI Holdings, Inc., LIBOR 1M + 3.500%(11)

   (B-, B2)      09/06/25        3.587        581,530  
             

 

 

 
                1,803,303  
             

 

 

 
 

Managed Care (1.0%)

           
  2,735    

Inovalon Holdings, Inc.(12)

   (B+, B2)      04/02/25        0.000        2,735,313  
             

 

 

 
 

Medical Products (0.9%)

           
  1,453    

ABB Concise Optical Group LLC, LIBOR 3M + 5.000%(11)

   (CCC+, B3)      06/15/23        6.000        1,410,182  
  992    

Viant Medical Holdings, Inc., LIBOR 1M + 6.250%(7),(11)

   (CCC+, B3)      07/02/25        7.250        994,886  
             

 

 

 
                2,405,068  
             

 

 

 
 

Packaging (0.2%)

           
  800    

Strategic Materials, Inc., LIBOR 3M + 7.750%(6),(7),(11)

   (CC, C)      10/31/25        8.750        460,000  
             

 

 

 
 

Personal & Household Products (1.1%)

           
  1,748    

Serta Simmons Bedding, LLC, LIBOR 1M + 7.500%(11)

   (B, B2)      08/10/23        8.500        1,771,249  
  1,059    

Serta Simmons Bedding, LLC, LIBOR 1M + 7.500%(11)

   (B-, Caa2)      08/10/23        8.500        1,001,580  
             

 

 

 
                2,772,829  
             

 

 

 
 

Pharmaceuticals (0.6%)

           
  1,609    

Akorn, Inc., LIBOR 3M + 7.500%(11)

   (CCC+, Caa2)      10/01/25        8.500        1,626,243  
             

 

 

 
                1,626,243  
             

 

 

 
 

Printing and Publishing (0.6%)

 
  1,697    

ProQuest LLC(12)

   (B, B2)      10/23/26        0.000        1,697,477  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

17


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2021

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

BANK LOANS (continued)

           
 

Real Estate Investment Trusts (0.3%)

           
$ 842    

Blackstone Mortgage Trust, Inc., LIBOR 1M + 2.750%(7),(11)

   (B+, Ba2)      04/23/26        3.250      $ 841,511  
             

 

 

 
 

Recreation & Travel (1.7%)

           
  959    

Bulldog Purchaser, Inc., LIBOR 3M + 7.750%(7),(11)

   (CCC-, Caa3)      09/04/26        7.871        911,050  
  1,839    

Bulldog Purchaser, Inc., LIBOR 3M + 3.750%(11)

   (B-, B3)      09/05/25        3.871        1,785,149  
  797    

Hornblower Sub LLC, LIBOR 3M + 4.750%(11)

   (CCC-, Caa2)      04/27/25        5.750        758,232  
  1,082    

Hornblower Sub LLC, LIBOR 6M + 8.125%(7),(11)

   (NR, NR)      11/10/25        9.125        1,139,304  
             

 

 

 
                4,593,735  
             

 

 

 
 

Restaurants (0.1%)

           
  23    

Golden Nugget, Inc., LIBOR 3M + 12.000%(7),(11)

   (NR, NR)      10/04/23        13.000        24,689  
  300    

Tacala LLC, LIBOR 1M + 7.500%(11)

   (CCC, Caa2)      02/04/28        8.250        300,499  
             

 

 

 
                325,188  
             

 

 

 
 

Software - Services (3.5%)

           
  1,731    

Aston FinCo Sarl, LIBOR 1M + 4.250%(11)

   (B-, B2)      10/09/26        4.339        1,723,438  
  2,560    

Epicor Software Corp., LIBOR 1M + 7.750%(11)

   (CCC, Caa2)      07/31/28        8.750        2,635,520  
  692    

Finastra U.S.A., Inc., LIBOR 6M + 3.500%(11)

   (B-, B2)      06/13/24        4.500        689,079  
  3,511    

Finastra U.S.A., Inc., LIBOR 3M + 7.250%(11)

   (CCC, Caa2)      06/13/25        8.250        3,519,948  
  718    

Project Leopard Holdings, Inc., LIBOR 3M + 4.750%(11)

   (B, B2)      07/07/24        5.750        722,184  
             

 

 

 
                9,290,169  
             

 

 

 
 

Support - Services (1.8%)

           
  3,391    

Change Healthcare Holdings LLC, LIBOR 1M + 2.500%(11)

   (B+, B1)      03/01/24        3.500        3,392,001  
  245    

Nuvei Technologies Corp., LIBOR 1M + 2.500%(7),(11)

   (B+, Ba3)      09/28/25        3.000        245,124  
  1,000    

USS Ultimate Holdings, Inc., LIBOR 1M + 7.750%(6),(11)

   (CCC, Caa1)      08/25/25        8.750        1,003,750  
             

 

 

 
                4,640,875  
             

 

 

 
 

Telecom - Wireline Integrated & Services (0.4%)

           
  1,125    

TVC Albany, Inc., LIBOR 1M + 7.500%(6),(7),(11)

   (CCC, Caa2)      07/23/26        7.590        1,094,063  
             

 

 

 
 

Theaters & Entertainment (2.2%)

           
  3,450    

Metro-Goldwyn-Mayer, Inc., LIBOR 1M + 4.500%(11)

   (CCC+, B3)      07/03/26        5.500        3,461,419  
  2,380    

William Morris Endeavor Entertainment LLC, LIBOR 1M + 2.750%(11)

   (B, B3)      05/18/25        2.840        2,340,056  
             

 

 

 
                5,801,475  
             

 

 

 
 

TOTAL BANK LOANS (Cost $93,302,519)

              90,838,782  
             

 

 

 
 

ASSET BACKED SECURITIES (5.8%)

           
 

Collateralized Debt Obligations (5.8%)

           
  1,000    

Anchorage Capital CLO 15 Ltd., 2020-15A, Rule 144A, LIBOR 3M + 7.400%(1),(11)

   (NR, Ba3)      07/20/34        7.532        1,000,791  
  1,250    

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

   (NR, Ba3)      04/27/39        6.659        1,192,749  
  1,500    

Anchorage Credit Opportunities CLO 1 Ltd., 2019-1A, Rule 144A, LIBOR 3M + 7.550%(1),(11)

   (BB-, NR)      01/20/32        7.682        1,495,270  
  1,250    

Battalion CLO 18 Ltd., 2020-18A, Rule 144A, LIBOR 3M + 6.710%(1),(11)

   (BB-, NR)      10/15/36        6.842        1,223,674  

 

See Accompanying Notes to Financial Statements.

 

18


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2021

 

 

Par
(000)

        

Ratings†
(S&P/Moody’s)

  

Maturity

    

Rate%

    

Value

 
 

ASSET BACKED SECURITIES (continued)

           
 

Collateralized Debt Obligations

           
$ 1,500    

Battalion CLO XIV Ltd., 2019-14A, Rule 144A, LIBOR 3M + 3.950%(1),(11)

   (NR, Baa3)      04/20/32        4.082      $ 1,502,301  
  1,250    

Benefit Street Partners CLO X Ltd., 2016-10A, Rule 144A, LIBOR 3M + 6.750%(1),(11)

   (BB-, NR)      04/20/34        6.882        1,238,458  
  1,500    

Cedar Funding VI CLO Ltd., 2016-6A, Rule 144A, LIBOR 3M + 6.720%(1),(11)

   (BB-, NR)      04/20/34        6.852        1,477,766  
  1,500    

KKR CLO Ltd., Rule 144A, LIBOR 3M + 7.110%(1),(11)

   (BB-, NR)      10/20/34        7.242        1,482,808  
  1,000    

Oaktree CLO Ltd., 2019-4A, Rule 144A, LIBOR 3M + 7.230%(1),(11)

   (BB-, NR)      10/20/32        7.362        1,000,423  
  1,050    

Octagon Investment Partners 48 Ltd., 2020-3A, Rule 144A, LIBOR 3M + 7.660%(1),(11)

   (BB-, NR)      10/20/31        7.792        1,050,005  
  1,500    

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

   (NR, Baa2)      04/20/37        5.459        1,490,131  
  1,000    

Venture 41 CLO Ltd., 2021-41A, Rule 144A, LIBOR 3M + 7.710%(1),(11)

   (BB-, NR)      01/20/34        7.842        999,813  
             

 

 

 
 

TOTAL ASSET BACKED SECURITIES (Cost $15,006,566)

              15,154,189  
             

 

 

 
             

Number of
Shares

                               
 

COMMON STOCKS (0.9%)

           
 

Auto Parts & Equipment (0.1%)

           
  27,589    

Jason Group, Inc.(8)

              289,685  
             

 

 

 
 

Building & Construction (0.0%)

           
  10    

White Forest Resources, Inc.(5),(7),(8)

 

      
    

 

 

 
 

Chemicals (0.3%)

           
  5,400    

Project Investor Holdings LLC(5),(6),(7),(8)

 

     54  
  89,998    

Proppants Holdings LLC(5),(6),(7),(8)

 

     900  
  15,074    

UTEX Industries, Inc.(8)

 

     723,552  
    

 

 

 
                724,506  
             

 

 

 
 

Energy - Exploration & Production (0.2%)

           
  63,960    

Patterson-UTI Energy, Inc.(8)

 

     547,497  
  111,570    

PES Energy, Inc.(5),(6),(7),(8)

 

     1,116  
    

 

 

 
                548,613  
             

 

 

 
 

Pharmaceuticals (0.2%)

           
  68,836    

Akorn Holding Company LLC(8)

 

     709,906  
    

 

 

 
 

Support - Services (0.1%)

           
  2,100    

LTR Holdings LLC(5),(6),(7),(8)

 

     186,165  
  865    

Sprint Industrial Holdings LLC, Class G(5),(6),(7),(8)

 

      
  78    

Sprint Industrial Holdings LLC, Class H(5),(6),(7),(8)

 

      
  192    

Sprint Industrial Holdings LLC, Class I(5),(6),(7),(8)

 

     1,000  
    

 

 

 
                187,165  
             

 

 

 
 

TOTAL COMMON STOCKS (Cost $5,244,716)

              2,459,875  
             

 

 

 

 

See Accompanying Notes to Financial Statements.

 

19


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2021

 

 

Number of
Shares

                           

Value

 
 

WARRANT (0.0%)

           
 

Chemicals (0.0%)

           
  22,499    

Project Investor Holdings LLC, expires 02/20/2022(5),(6),(7),(8) (Cost $11,700)

            $  
             

 

 

 
 

SHORT-TERM INVESTMENTS (5.5%)

 
  12,165,694    

State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.03%

              12,165,694  
  2,422,925    

State Street Navigator Securities Lending Government Money Market Portfolio, 0.03%(13)

              2,422,925  
           

 

 

 
 

TOTAL SHORT-TERM INVESTMENTS (Cost $14,588,619)

              14,588,619  
           

 

 

 
 

TOTAL INVESTMENTS AT VALUE (136.0%) (Cost $364,347,820)

              358,320,253  
 

LIABILITIES IN EXCESS OF OTHER ASSETS (-36.0%)

              (94,806,336
             

 

 

 
 

NET ASSETS (100.0%)

            $ 263,513,917  
             

 

 

 

 

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 October 31, 2021, these securities amounted to a value of $226,708,161 or 86.0% of net assets.

 

(2) 

This security is denominated in British Pound.

 

(3) 

This security is denominated in Euro.

 

(4) 

Bond is currently in default.

 

(5) 

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

 

(6) 

Illiquid security.

 

(7) 

Security is valued using significant unobservable inputs.

 

(8) 

Non-income producing security.

 

(9) 

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

 

(10) 

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

 

(11) 

Variable rate obligation - The interest rate shown is the rate in effect as of October 31, 2021. The rate may be subject to a cap and floor.

 

(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 October 31, 2021.

 

(13) 

Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at October 31, 2021.

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

 

See Accompanying Notes to Financial Statements.

 

20


Credit Suisse High Yield Bond Fund

Schedule of Investments (continued)

October 31, 2021

 

 

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

     1,386,800      EUR      1,180,363        10/12/22      Deutsche Bank AG    $ (1,386,800   $ (1,377,710   $ 9,090  
                     

 

 

 
  $ 9,090  
                     

 

 

 

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

     28,981      USD      34,034        10/12/22      Deutsche Bank AG    $ 34,034     $ 33,826     $ (208

USD

     1,458,326      GBP      1,072,843        10/12/22      Deutsche Bank AG      (1,458,326     (1,464,497     (6,171
                     

 

 

 
                      $ (6,379
                     

 

 

 
  $ 2,711  
                     

 

 

 

 

Currency Abbreviations:

EUR = Euro

GBP = British Pound

USD = United States Dollar

 

See Accompanying Notes to Financial Statements.

 

21


Credit Suisse High Yield Bond Fund

Statement of Assets and Liabilities

October 31, 2021

 

 

Assets

 

Investments at value, including collateral for securities on loan of $2,422,925
(Cost $364,347,820) (Note 2)

   $         358,320,253 1 

Foreign currency at value (Cost $68,972)

     69,225  

Interest receivable

     4,625,022  

Receivable for investments sold

     1,319,892  

Unrealized appreciation on forward foreign currency contracts (Note 2)

     9,090  

Prepaid expenses and other assets

     1,258  
  

 

 

 

Total assets

     364,344,740  
  

 

 

 

Liabilities

 

Investment advisory fee payable (Note 3)

     241,443  

Administrative services fee payable (Note 3)

     25,316  

Loan payable (Note 4)

     82,000,000  

Payable for investments purchased

     15,929,345  

Payable upon return of securities loaned (Note 2)

     2,422,925  

Trustees’ fee payable

     38,416  

Interest payable

     21,655  

Unrealized depreciation on forward foreign currency contracts (Note 2)

     6,379  

Accrued expenses

     145,344  
  

 

 

 

Total liabilities

     100,830,823  
  

 

 

 

Net Assets

 

Applicable to 103,513,735 shares outstanding

   $ 263,513,917  
  

 

 

 

Net Assets

 

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

     103,514  

Paid-in capital (Note 6)

     295,776,309  

Total distributable earnings (loss)

     (32,365,906
  

 

 

 

Net assets

   $ 263,513,917  
  

 

 

 

Net Asset Value Per Share ($263,513,917 / 103,513,735)

     $2.55  
  

 

 

 

Market Price Per Share

     $2.50  
  

 

 

 

 

 

1 

Includes $2,371,352 of securities on loan.

 

See Accompanying Notes to Financial Statements.

 

22


Credit Suisse High Yield Bond Fund

Statement of Operations

For the Year Ended October 31, 2021

 

 

Investment Income

 

Interest

   $         21,286,912  

Dividends

     795  

Securities lending (net of rebates)

     15,620  
  

 

 

 

Total investment income

     21,303,327  
  

 

 

 

Expenses

 

Investment advisory fees (Note 3)

     3,227,591  

Administrative services fees (Note 3)

     78,286  

Interest expense (Note 4)

     756,298  

Trustees’ fees

     126,776  

Commitment fees (Note 4)

     121,454  

Legal fees

     59,079  

Printing fees

     56,030  

Custodian fees

     47,280  

Audit and tax fees

     38,353  

Stock exchange listing fees

     33,209  

Transfer agent fees (Note 3)

     25,361  

Insurance expense

     8,849  

Miscellaneous expense

     10,382  
  

 

 

 

Total expenses

     4,588,948  

Less: fees waived and expenses reimbursed (Note 3)

     (424,999
  

 

 

 

Net expenses

     4,163,949  
  

 

 

 

Net investment income

     17,139,378  
  

 

 

 

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

  

Net realized loss from investments

     (2,156,755

Net realized loss from foreign currency transactions

     (5,974

Net realized loss from forward foreign currency contracts

     (72,476

Net change in unrealized appreciation (depreciation) from investments

     21,250,934  

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

     811  

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

     (9,048
  

 

 

 

Net realized and unrealized gain from investments, foreign currency and forward foreign currency contracts

     19,007,492  
  

 

 

 

Net increase in net assets resulting from operations

   $ 36,146,870  
  

 

 

 

 

See Accompanying Notes to Financial Statements.

 

23


Credit Suisse High Yield Bond Fund

Statements of Changes in Net Assets

 

 

     For the Year
Ended
  October 31, 2021  
     For the Year
Ended
  October 31, 2020  
 

From Operations

 

Net investment income

   $ 17,139,378      $ 19,879,612  

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

     (2,235,205      780,797  

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

     21,242,697        (15,477,429
  

 

 

    

 

 

 

Net increase in net assets resulting from operations

     36,146,870        5,182,980  
  

 

 

    

 

 

 

From Distributions

 

From distributable earnings

     (17,670,818      (20,010,630

Return of Capital

     (1,995,687      (742,456
  

 

 

    

 

 

 

Net decrease in net assets resulting from distributions

     (19,666,505      (20,753,086
  

 

 

    

 

 

 

From Capital Share Transactions (Note 6)

 

Reinvestment of dividends

     16,212        19,719  
  

 

 

    

 

 

 

Net increase in net assets from capital share transactions

     16,212        19,719  
  

 

 

    

 

 

 

Net increase (decrease) in net assets

     16,496,577        (15,550,387

Net Assets

 

Beginning of year

             247,017,340                262,567,727  
  

 

 

    

 

 

 

End of year

   $ 263,513,917      $ 247,017,340  
  

 

 

    

 

 

 

 

See Accompanying Notes to Financial Statements.

 

24


Credit Suisse High Yield Bond Fund

Statement of Cash Flows

October 31, 2021

 

 

Reconciliation of Net Increase in Net Assets from Operations to Net Cash Provided by Operating Activities

     

Net increase in net assets resulting from operations

      $ 36,146,870  
     

 

 

 

Adjustments to Reconcile Net Increase in Net Assets from Operations to Net Cash Provided by Operating Activities

     

Decrease in interest receivable

   $ 304,013     

Decrease in accrued expenses

     (33,288   

Decrease in payable upon return of securities loaned

     (598,360   

Decrease in interest payable

     (31,012   

Decrease in prepaid expenses and other assets

     8,255     

Increase in investment advisory fee payable

     8,929     

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

     (104,098   

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

     (165,976,069   

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

     170,942,436     

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

     (11,567,334   

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

     (21,241,886   

Net realized loss from investments

     2,156,755     

Total adjustments

        (26,131,659
     

 

 

 

Net cash provided by operating activities1

      $         10,015,211  
     

 

 

 

Cash Flows From Financing Activities

     

Borrowings on revolving credit facility

     20,250,000     

Repayments of credit facility

     (25,000,000   

Cash dividends paid

     (19,650,293   
  

 

 

    

Net cash used in financing activities

        (24,400,293
     

 

 

 

Net decrease in cash

        (14,385,082

Cash — beginning of year

        14,454,307  
     

 

 

 

Cash — end of year

      $ 69,225  
     

 

 

 

Non-Cash Activity:

     

Issuance of shares through dividend reinvestments

      $ 16,212  
     

 

 

 

 

 

1 

Included in operating expenses is cash of $787,310 paid for interest on borrowings.

 

See Accompanying Notes to Financial Statements.

 

25


Credit Suisse High Yield Bond Fund

Financial Highlights

 

 

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

Per share operating performance

            

Net asset value, beginning of year

   $ 2.39      $ 2.54     $ 2.57      $ 2.80     $ 2.62  
  

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

INVESTMENT OPERATIONS

            

Net investment income1

     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)

     0.18        (0.14     (0.00 )2       (0.19     0.22  
  

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

Total from investment activities

     0.35        0.05       0.20        0.02       0.45  
  

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

LESS DIVIDENDS AND DISTRIBUTIONS

            

Dividends from net investment income

     (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

     (0.19      (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

                               0.00 2 
  

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

Net asset value, end of year

   $ 2.55      $ 2.39     $ 2.54      $ 2.57     $ 2.80  
  

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

Per share market value, end of year

   $ 2.50      $ 2.07     $ 2.53      $ 2.35     $ 2.84  
  

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

TOTAL INVESTMENT RETURN3

            

Net asset value

     15.33      3.43     8.54      0.68     17.90

Market value

     30.55      (10.07 )%      18.23      (9.23 )%      28.40

RATIOS AND SUPPLEMENTAL DATA

            

Net assets, end of year (000s omitted)

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

Ratio of expenses to average net assets

     1.58      2.00     2.70      2.59     2.14

Ratio of expenses to average net assets excluding interest expense

     1.29      1.37     1.37      1.41     1.38

Ratio of net investment income to average net assets

     6.49      8.10     7.60      7.81     8.19

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

     0.16      0.18     0.16      0.15     0.15

Average debt per share

   $ 0.80      $ 0.93     $ 1.06      $ 1.20     $ 1.13  

Asset Coverage per $1,000 of Indebtedness

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

Portfolio turnover rate4

     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.

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.

4 

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

October 31, 2021

 

 

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 been obtained from

 

27


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

October 31, 2021

 

 

Note 2. Significant Accounting Policies (continued)

 

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 October 31, 2021 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

   $      $ 235,257,621      $ 21,167     $ 235,278,788  

Bank Loans

            79,807,767        11,031,015       90,838,782  

Asset Backed Securities

            15,154,189              15,154,189  

Common Stocks

     547,497        1,723,143        189,235       2,459,875  

Warrants

                   0 (1)      0 (1) 

Short-term Investments

     12,165,694        2,422,925              14,588,619  
  

 

 

    

 

 

    

 

 

   

 

 

 
   $ 12,713,191      $ 334,365,645      $ 11,241,417     $ 358,320,253  
  

 

 

    

 

 

    

 

 

   

 

 

 

Other Financial Instruments*

 

 

Forward Foreign Currency Contracts

   $      $ 9,090      $     $ 9,090  

Liabilities

   Level 1      Level 2      Level 3     Total  

Other Financial Instruments*

 

 

Forward Foreign Currency Contracts

   $      $ 6,379      $     $ 6,379  

 

  *

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

  (1)

Includes zero valued securities.

 

28


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

October 31, 2021

 

 

Note 2. Significant Accounting Policies (continued)

 

The following is a reconciliation of investments as of October 31, 2021 for which significant unobservable inputs were used in determining fair value.

 

     Corporate
Bonds
     Bank
Loans
     Common
Stocks
     Warrants     Total  

Balance as of October 31, 2020

   $ 124,711      $ 14,090,592      $ 1,605,750      $ 0 (1)    $ 15,821,053  

Accrued discounts (premiums)

            (24,070                   (24,070

Purchases

     18,529        6,742,201                     6,760,730  

Sales

     (296,529      (9,574,208      (2,155,552            (12,026,289

Realized gain (loss)

            66,062        1,030,074              1,096,136  

Change in unrealized appreciation (depreciation)

     174,456        511,954        (2,468            683,942  

Transfers into Level 3

            3,200,867        1,116              3,201,983  

Transfers out of Level 3

            (3,982,383      (289,685            (4,272,068
  

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Balance as of October 31, 2021

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

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) from investments still held as of October 31, 2021

   $ 17,500      $ 396,649      $ (199,309    $     $ 214,840  

 

  (1)

Includes zero valued securities.

Quantitative Disclosure About Significant Unobservable Inputs

 

Asset Class

   Fair Value
At 10/31/2021
     Valuation
Technique
     Unobservable
Input
    

Range

(Weighted Average)*

Bank Loans

   $ 11,031,015        Vendor pricing        Single Broker Quote      $0.02 - $1.09 ($0.96)

Common Stocks

   $ 3,070        Income Approach        Expected Remaining Distribution      $0.00 - $5.22 ($1.71)
   $ 186,165        Market Approach        EBITDA Multiples      7.4 (N/A)

Corporate Bonds

   $ 3,667        Income Approach        Expected Remaining Distribution      $0.01 (N/A)
   $ 17,500        Vendor pricing        Single Broker Quote      $0.01 (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 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.

 

29


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

October 31, 2021

 

 

Note 2. Significant Accounting Policies (continued)

 

For the year ended October 31, 2021, $3,201,983 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $4,272,068 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 October 31, 2021 and the effect of these derivatives on the Statement of Operations for the year ended October 31, 2021.

 

Primary Underlying Risk

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

Foreign currency exchange rate forward contracts

   $ 9,090      $ 6,379      $ (72,476    $ (9,048

For the year ended October 31, 2021, the Fund held an average monthly value on a net basis of $3,399,503 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 October 31, 2021:

 

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
 

Deutsche Bank

   $ 9,090      $ (6,379    $      $      $ 2,711  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

The following table presents by counterparty the Fund’s derivative liabilities, net of related collateral pledged by the Fund, at October 31, 2021:

 

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

   $ 6,379      $ (6,379    $      $      $  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Forward foreign currency contracts are included.

 

30


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

October 31, 2021

 

 

Note 2. Significant Accounting Policies (continued)

 

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.

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

 

31


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

October 31, 2021

 

 

Note 2. Significant Accounting Policies (continued)

 

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 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 October 31, 2021 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 October 31, 2021, 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.

 

32


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

October 31, 2021

 

 

Note 2. Significant Accounting Policies (continued)

 

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 October 31, 2021, 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  
$ 2,371,352      $ 2,422,925      $ 2,422,925  

The following table presents financial instruments that are subject to enforceable netting arrangements as of October 31, 2021.

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)
 
$ 2,371,352      $ (2,371,352    $  

 

  (a) 

Represents market value of loaned securities at year 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 year ended October 31, 2021, total earnings from the Fund’s investment in cash collateral received in connection with securities lending arrangements was $20,844. The Fund retained $15,620 in income from the cash collateral investment, and SSB, as lending agent, was paid $5,224.

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

 

33


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

October 31, 2021

 

 

Note 2. Significant Accounting Policies (continued)

 

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 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 year ended

 

34


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

October 31, 2021

 

 

Note 3. Transactions with Affiliates and Related Parties (continued)

 

October 31, 2021, investment advisory fees earned and voluntarily waived were $3,227,591 and $424,999, 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 year ended October 31, 2021, administrative services fees earned by SSB (including out-of-pocket expenses) with respect to the Fund were $78,286.

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 October 31, 2021, the Fund had loans outstanding under the Agreement of $82,000,000. The Agreement was renewed on November 19, 2021 with a new termination date of November 18, 2022. During the year ended October 31, 2021, 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
 
$ 83,006,849       0.90   $ 92,000,000     $ 756,298       365  

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 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

 

35


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

October 31, 2021

 

 

Note 4. Line of Credit (continued)

 

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 year ended October 31, 2021, 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  
$ 174,050,130     $ 164,285,002      $ 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.

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 Year Ended
October 31, 2021
     For the Year Ended
October 31, 2020
 

Shares issued through reinvestment of dividends

     6,333        7,794  
  

 

 

    

 

 

 

Net increase

     6,333        7,794  
  

 

 

    

 

 

 

Note 7. Shelf Offering

Prior to July 18, 2020, the Fund had an effective “shelf” registration statement. Effective July 18, 2020, the Fund no longer has an effective registration statement or current prospectus. The shelf registration statement enabled the Fund to issue up to $90,000,000 in proceeds through one or more public offerings. Shares were able to be offered at prices and terms to be set forth in one or more supplements to the Fund’s prospectus included in the shelf registration statement. For the fiscal years of ended October 31, 2021 and October 31, 2020, no common shares of beneficial interest were issued in the shelf offering.

 

36


Credit Suisse High Yield Bond Fund

Notes to Financial Statements (continued)

October 31, 2021

 

 

Note 8. Income Tax Information and Distributions to Shareholders

Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.

The tax character of dividends paid by the Fund during the fiscal years ended October 31, 2021 and 2020, respectively, was as follows:

 

Ordinary Income      Return of Capital  
2021     2020      2021     2020  
$ 17,670,818     $ 20,010,630      $ 1,995,687     $ 742,456  

The tax basis components of distributable earnings differ from book basis by temporary book/tax differences. These differences are primarily due to differing treatments of wash sales, premium amortization adjustments, defaulted bond accruals, grantor trust basis adjustments, and marked to market of forward contracts.

At October 31, 2021, the components of distributable earnings on a tax basis were as follows:

 

Accumulated net realized loss

   $ (25,776,555

Unrealized depreciation

     (6,589,353
  

 

 

 
   $ (32,365,908
  

 

 

 

At October 31, 2021, the Fund had $25,776,555 of unlimited long-term capital loss carryforwards available to offset possible future capital gains.

At October 31, 2021, the cost and net unrealized appreciation (depreciation) of investments and derivatives for income tax purposes were as follows:

 

Cost of Investments

   $ 364,912,336  
  

 

 

 

Unrealized appreciation

   $ 8,480,736  

Unrealized depreciation

     (15,070,109
  

 

 

 

Net unrealized appreciation (depreciation)

   $ (6,589,373
  

 

 

 

To adjust for current period permanent book/tax differences which arose principally from differing book/tax treatment of defaulted bond and premium amortization adjustments, return of capital distributions and foreign currency gain (loss), paid-in capital was charged $1,995,687 and distributable earnings/loss was credited $1,995,687. Net assets were not affected by this reclassification.

Note 9. 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 10. Subsequent Events

In preparing the financial statements as of October 31, 2021, 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

Report of Independent Registered Public Accounting Firm

 

 

To the Board of Trustees and Shareholders of Credit Suisse High Yield Bond Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Credit Suisse High Yield Bond Fund (the “Fund”) as of October 31, 2021, the related statements of operations and cash flows for the year ended October 31, 2021, the statement of changes in net assets for each of the two years in the period ended October 31, 2021, including the related notes, and the financial highlights for each of the two years in the period ended October 31, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of October 31, 2021, the results of its operations and its cash flows for the year then ended, and the changes in its net assets and the financial highlights for each of the two years in the period ended October 31, 2021 in conformity with accounting principles generally accepted in the United States of America.

The financial statements of the Fund as of and for the year ended October 31, 2019 and the financial highlights for the years ended October 31, 2019, 2018 and 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated December 20, 2019 expressed an unqualified opinion on those financial statements and financial highlights.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2021 by correspondence with the custodian, transfer agent, agent banks and brokers; when replies were not received from agent banks and brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

New York, New York

December 29, 2021

We have served as the auditor of one or more investment companies in Credit Suisse Asset Management, LLC investment companies since 2020.

 

38


Credit Suisse High Yield Bond Fund

Fund Investment Objectives, Policies and Risks (unaudited)

October 31, 2021

 

 

Recent Changes

The following information is a summary of certain changes since October 31, 2020. This information may not reflect all of the changes that have occurred since you purchased the Fund.

During the Fund’s most recent fiscal year, there were no material changes in the Fund’s investment objectives or policies that have not been approved by shareholders or in the principal risk factors associated with investment in the Fund.

Investment Objectives and Policies

The Fund’s primary 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. The Fund is designed for investors willing to assume additional risk in return for the potential for high current income and capital appreciation. The Fund is not intended to be a complete investment program and there can be no assurance that the Fund will achieve its objectives.

Under normal market conditions, the Fund will invest at least 80% of its total assets in fixed income securities of U.S. issuers rated below investment grade quality (lower than Baa by Moody’s Investors Service, Inc. (“Moody’s”) or lower than BBB by Standard & Poor’s, a subsidiary of The McGraw-Hill Companies, Inc. (“S&P”) or comparably rated by another nationally recognized rating agency), or in unrated fixed income securities that Credit Suisse Asset Management, LLC, the Fund’s investment adviser (“Credit Suisse” or the “Investment Adviser”), determines to be of comparable quality. Securities rated lower than Baa by Moody’s and lower than BBB by S&P are commonly known as “junk bonds.” The Fund will generally not invest in securities rated at the time of investment in the lowest rating categories (Ca or below for Moody’s and CC or below for S&P) but may continue to hold securities which are subsequently downgraded. However, it has authority to invest in securities rated as low as C and D by Moody’s and S&P, respectively.

As a component of the Fund’s investment in “junk bonds,” the Fund may also invest up to 20% of its total assets in securities of issuers that are the subject of bankruptcy proceedings or in securities otherwise in default or in significant risk of being in default (“Distressed Securities”). The Fund may invest up to 30% of its total assets in securities of issuers domiciled outside the United States or that are denominated in various foreign currencies or multinational currency units.

In selecting investments for the Fund’s portfolio, the Fund’s portfolio managers:

 

   

analyze individual companies, including their financial condition, cash flow and borrowing requirements, value of assets in relation to cost, strength of management, responsiveness to business conditions, credit standing and anticipated results of operations;

 

   

analyze business conditions affecting investments, including:

 

  ¡   

changes in economic activity and interest rates;

 

  ¡   

availability of new investment opportunities;

 

  ¡   

economic outlook for specific industries;

 

   

seek to moderate risk by investing among a variety of industry sectors and issuers.

The portfolio managers may sell securities for a variety of reasons, such as to realize profits, limit losses or take advantage of better investment opportunities.

 

39


Credit Suisse High Yield Bond Fund

Fund Investment Objectives, Policies and Risks (unaudited) (continued)

October 31, 2021

 

 

The Fund currently utilizes and in the future expects to continue to utilize leverage through borrowings, including the issuance of debt securities, or through other transactions, such as reverse repurchase agreements, which have the effect of leverage. The Fund currently is leveraged through borrowings from a credit facility with State Street Bank and Trust Company. The Fund may use leverage up to 33 1/3% of its total assets (including the amount obtained through leverage). There can be no guarantee that the Fund will be able to accurately predict when the use of leverage will be beneficial. Use of leverage creates an opportunity for increased income and capital appreciation for shareholders 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 will seek its secondary objective of capital appreciation by investing in securities that Credit Suisse expects may appreciate in value as a result of favorable developments affecting the business or prospects of the issuer which may improve the issuer’s financial condition and credit rating or as a result of declines in long-term interest rates.

There can be no assurance the Fund’s strategies will be successful.

The Fund invests primarily in bonds, debentures, notes, senior loans (sometimes referred to as bank loans), convertible bonds and preferred stocks. The Fund’s portfolio securities may have fixed or variable rates of interest and may include zero coupon securities, payment-in-kind securities, preferred stock, convertible debt obligations and convertible preferred stock, units consisting of debt or preferred stock with warrants or other equity features, secured floating rate loans and loan participations, government securities, stripped securities, commercial paper and other short-term debt obligations. The issuers of the Fund’s portfolio securities may include domestic and foreign corporations, partnerships, trusts or similar entities, and governmental entities or their political subdivisions, agencies or instrumentalities. The Fund may invest in companies in, or governments of, developing countries. In connection with its investments in corporate debt securities, or restructuring of investments owned by the Fund, the Fund may receive warrants or other non-income producing equity securities. The Fund may retain such securities, including equity shares received upon conversion of convertible securities, until Credit Suisse determines it is appropriate in light of current market conditions to dispose of such securities.

Risk Factors

This section contains a discussion of the general risks of investing in the Fund. The net asset value and market price of, and dividends paid on, the Fund’s common shares of beneficial interest (the “Shares”) will fluctuate with and be affected by, among other things, the risks more fully described below. As with any fund, there can be no guarantee that the Fund will meet its investment objectives or that the Fund’s performance will be positive for any period of time.

Investment and Market Risk. An investment in the Shares is subject to investment risk, including the possible loss of the entire principal amount that you invest. Your investment in Shares represents an indirect investment in the securities owned by the Fund.

The value of these securities, like other market investments, may move up or down, sometimes rapidly and unpredictably, and these fluctuations are likely to have a greater impact on the value of the Shares during periods in which the Fund utilizes a leveraged capital structure. The value of the securities in which the Fund invests will affect the value of the Shares. Your Shares at any point in time may be worth less than your original investment, even after taking into account the reinvestment of Fund dividends and distributions.

 

40


Credit Suisse High Yield Bond Fund

Fund Investment Objectives, Policies and Risks (unaudited) (continued)

October 31, 2021

 

 

Lower Grade Securities Risk. Lower grade securities are regarded as being predominantly speculative as to the issuer’s ability to make payments of principal and interest. Investment in such securities involves substantial risk. Issuers of lower grade securities may be highly leveraged and may not have available to them more traditional methods of financing. Therefore, the risks associated with acquiring the securities of such issuers generally are greater than is the case with higher-rated securities. For example, during an economic downturn or a sustained period of rising interest rates, issuers of lower grade securities may be more likely to experience financial stress, especially if such issuers are highly leveraged. During periods of economic downturn, such issuers may not have sufficient revenues to meet their interest payment obligations. The issuer’s ability to service its debt obligations also may be adversely affected by specific issuer developments, the issuer’s inability to meet specific projected business forecasts or the unavailability of additional financing. The risk of loss due to default by the issuer is significantly greater for the holders of lower grade securities because such securities may be unsecured and may be subordinate to other creditors of the issuer. Other than with respect to Distressed Securities, discussed below, the lower grade securities in which the Fund may invest do not include instruments which, at the time of investment, are in default or the issuers of which are in bankruptcy. However, there can be no assurance that such events will not occur after the Fund purchases a particular security, in which case the Fund may experience losses and incur costs.

Distressed Securities Risk. As a component of the Fund’s investment in “junk bonds,” the Fund may invest up to 20% of its total assets in Distressed Securities. Such securities are the subject of bankruptcy proceedings or otherwise in default as to the repayment of principal and/or payment of interest at the time of acquisition by the Fund or are rated in the lower rating categories (Ca or lower by Moody’s and CC or lower by S&P) or which, if unrated, are in the judgment of Credit Suisse of equivalent quality. Investment in Distressed Securities is speculative and involves significant risk. Distressed Securities frequently do not produce income while they are outstanding and may require the Fund to bear certain extraordinary expenses in order to protect and recover its investment. Therefore, to the extent the Fund pursues its secondary objective of capital appreciation through investment in Distressed Securities, the Fund’s ability to achieve current income for shareholders may be diminished.

Credit Risk. Credit risk is the risk that one or more of the Fund’s investments in debt securities or other instruments will decline in price, or fail to pay interest, liquidation value or principal when due, because the issuer of the obligation or the issuer of a reference security experiences an actual or perceived decline in its financial status. In addition to the credit risks associated with high yield securities, the Fund could also lose money if the issuer of other debt obligations, or the counterparty to a derivatives contract, repurchase agreement, loan of portfolio securities or other obligation, is, or is perceived to be, unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. The downgrade of a security may further decrease its value.

Interest Rate Risk. Generally, when market interest rates rise, the prices of debt obligations fall, and vice versa. Interest rate risk is the risk that debt obligations and other instruments in the Fund’s portfolio will decline in value because of increases in market interest rates. The Fund may be subject to a greater risk of rising interest rates due to the recent period of historically low rates and the effect of potential government fiscal policy initiatives and resulting market reaction to those initiatives. The prices of long-term debt obligations generally fluctuate more than prices of short-term debt obligations as interest rates change. During periods of rising interest rates, the average life of certain types of securities may be extended due to slower than expected payments. This may lock in a below market yield, increase the security’s duration and reduce the security’s value. The Fund’s use of leverage will tend to increase interest rate risk.

 

41


Credit Suisse High Yield Bond Fund

Fund Investment Objectives, Policies and Risks (unaudited) (continued)

October 31, 2021

 

 

Investments in floating rate debt instruments, although generally less sensitive to interest rate changes than longer duration fixed rate instruments, may nevertheless decline in value in response to rising interest rates if, for example, the rates at which they pay interest do not rise as much, or as quickly, as market interest rates in general. Conversely, floating rate instruments will not generally increase in value if interest rates decline. Inverse floating rate debt securities also may exhibit greater price volatility than a fixed rate debt obligation with similar credit quality. To the extent the Fund holds floating rate instruments, a decrease (or, in the case of inverse floating rate securities, an increase) in market interest rates will adversely affect the income received from such securities and the net asset value of the Fund’s common shares.

Leverage Risk. The Fund currently leverages through borrowings from a credit facility. The use of leverage, which can be described as exposure to changes in price at a ratio greater than the amount of equity invested, through borrowings or other forms of market exposure, magnifies both the favorable and unfavorable effects of price movements in the investments made by the Fund. Insofar as the Fund continues to employ leverage in its investment operations, the Fund will be subject to greater risk of loss than if it had not employed leverage.

Therefore, if the market value of the Fund’s investment portfolio declines, any leverage will result in a greater decrease in net asset value to common shareholders than if the Fund were not leveraged. Such greater net asset value decrease will also tend to cause a greater decline in the market price for the common shares. Further, if at any time while the Fund has leverage outstanding it does not meet applicable asset coverage requirements (as discussed below), it may be required to suspend distributions to common shareholders until the requisite asset coverage is restored. Any such suspension might impair the ability of the Fund to meet the regulated investment company distribution requirements and to avoid Fund-level U.S. federal income and/or excise taxes.

Foreign Securities Risk. Investing in securities of foreign entities and securities denominated in foreign currencies involves certain risks not involved in domestic investments, including, but not limited to, fluctuations in foreign exchange rates, future foreign political and economic developments, different legal and accounting systems and the possible imposition of exchange controls or other foreign governmental laws or restrictions. Securities prices in different countries are subject to different economic, financial, political and social factors. Since the Fund may invest in securities denominated or quoted in currencies other than the U.S. dollar, changes in foreign currency exchange rates may affect the value of securities in the Fund and the unrealized appreciation or depreciation of investments. Currencies of certain countries may be volatile and therefore may affect the value of securities denominated in such currencies. The Fund may, but is not obligated to, engage in certain transactions to hedge the currency-related risks of investing in non-U.S. dollar denominated securities. In addition, with respect to certain foreign countries, there is the possibility of expropriation of assets, confiscatory taxation, difficulty in obtaining or enforcing a court judgment, economic, political or social instability or diplomatic developments that could affect investments in those countries. Moreover, individual foreign economies may differ favorably or unfavorably from the U.S. economy in such respects as growth of gross domestic product, rates of inflation, capital reinvestment, resources, self-sufficiency and balance of payments position. Certain foreign investments also may be subject to foreign withholding taxes. These risks often are heightened for investments in smaller, emerging capital markets.

Counterparty Risk. The Fund will be subject to credit risk with respect to the counterparties to the derivative contracts purchased or sold by the Fund. Recently, several broker-dealers and other financial institutions have experienced extreme financial difficulty, sometimes resulting in bankruptcy of the institution. Although the Investment Adviser monitors the creditworthiness of the Fund’s counterparties, there can be no assurance that the Fund’s counterparties will not experience similar difficulties, possibly resulting in losses to the Fund. If a

 

42


Credit Suisse High Yield Bond Fund

Fund Investment Objectives, Policies and Risks (unaudited) (continued)

October 31, 2021

 

 

counterparty becomes bankrupt, or otherwise fails to perform its obligations under a derivative contract due to financial difficulties, the Fund may experience significant delays in obtaining any recovery under the derivative contract in a bankruptcy or other reorganization proceeding. The Fund may obtain only a limited recovery or may obtain no recovery in such circumstances.

Illiquid Securities Risk. The Fund may invest in securities for which no readily available market exists or are otherwise considered illiquid. The Fund may not be able readily to dispose of such securities at prices that approximate those at which the Fund could sell such securities if they were more widely traded and, as result of such illiquidity, the Fund may have to sell other investments or engage in borrowing transactions if necessary to raise cash to meet its obligations. Over recent years, regulatory changes have led to reduced liquidity in the marketplace, and the capacity of dealers to make markets in fixed income securities has been outpaced by the growth in the size of the fixed income markets. Liquidity risk may be magnified in a rising interest rate environment or when investor redemptions from fixed income funds may be higher than normal, due to the increased supply in the market that would result from selling activity. Illiquid securities generally trade at a discount.

Prepayment Risk. If interest rates fall, the principal on bonds and loans held by the Fund may be paid earlier than expected. If this happens, the proceeds from a prepaid security may be reinvested by the Fund in securities bearing lower interest rates, resulting in a possible decline in the Fund’s income and distributions to shareholders.

Preferred Stock Risk. Preferred stocks are unique securities that combine some of the characteristics of both common stocks and bonds. Preferred stocks generally pay a fixed rate of return and are sold on the basis of current yield, like bonds. However, because they are equity securities, preferred stocks provide equity ownership of a company, and the income is paid in the form of dividends. Preferred stocks typically have a yield advantage over common stocks as well as comparably-rated fixed income investments. Preferred stocks are typically subordinated to bonds and other debt instruments in a company’s capital structure, in terms of priority to corporate income, and therefore will be subject to greater credit risk than those debt instruments. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Senior Loans Risk. The Fund’s investments in senior loans are expected to typically be below investment grade. These investments are considered speculative because of the credit risk of their issuers. Such companies are more likely to default on their payments of interest and principal owed to the Fund, and such defaults could reduce the Fund’s net asset value and income distributions. An economic downturn generally leads to a higher non-payment rate, and a debt obligation may lose significant value before a default occurs. Moreover, any specific collateral used to secure a loan may decline in value or become illiquid, which would adversely affect the loan’s value.

Like other debt instruments, senior loans are subject to the risk of non-payment of scheduled interest or principal. Such non-payment would result in a reduction of income to the Fund, a reduction in the value of the investment and a potential decrease in the net asset value per share of the Fund. There can be no assurance that the liquidation of any collateral securing a loan would satisfy the borrower’s obligation in the event of non-payment of scheduled interest or principal payments, or that such collateral could be readily liquidated. This is particularly the case where a senior loan is not backed by collateral or sufficient collateral at the time such senior loan is issued. In the event of bankruptcy of a borrower, the Fund could experience delays or limitations with respect to its ability to realize the benefits of the collateral securing a senior loan. The collateral securing a senior loan may lose all or substantially all of its value in the event of bankruptcy of a borrower. Some senior loans are subject to the risk that a court, pursuant to fraudulent conveyance or other similar laws, could

 

43


Credit Suisse High Yield Bond Fund

Fund Investment Objectives, Policies and Risks (unaudited) (continued)

October 31, 2021

 

 

subordinate such senior loans to presently existing or future indebtedness of the borrower or take other action detrimental to the holders of senior loans including, in certain circumstances, invalidating such senior loans or causing interest previously paid to be refunded to the borrower. If interest were required to be refunded, it could negatively affect the Fund’s performance.

Transactions in senior loans may settle on a delayed basis, resulting in the proceeds from the sale of senior loans not being readily available to make additional investments or to meet the Fund’s redemption obligations. To the extent the extended settlement process gives rise to short-term liquidity needs, the Fund may hold cash, sell investments or temporarily borrow from banks or other lenders.

Second Lien and Other Secured Loans Risk. Second lien loans and other secured loans are subject to the same risks associated with investment in senior loans and bonds rated below investment grade. However, because second lien loans are second in right of payment to one or more senior loans of the related borrower, and other secured loans rank lower in right of payment to second lien loans, they are subject to the additional risk that the cash flow of the borrower and any property securing the loan may be insufficient to meet scheduled payments after giving effect to the more senior secured obligations of the borrower. This risk is generally higher for subordinated unsecured loans or debt, which are not backed by a security interest in any specific collateral. Second lien loans and other secured loans are also expected to have greater price volatility than senior loans and may be less liquid. There is also a possibility that originators will not be able to sell participations in second lien loans and other secured loans, which would create greater credit risk exposure.

Zero Coupon Bond and Payment-In-Kind Securities Risk. Investments in zero-coupon and payment-in-kind securities are subject to certain risks, including that market prices of zero-coupon and payment-in-kind securities generally are more volatile than the prices of securities that pay interest periodically and in cash, and are likely to respond to changes in interest rates to a greater degree than other types of debt securities with similar maturities and credit quality. Because zero-coupon securities bear no interest, their prices are especially volatile. And because zero-coupon bondholders do not receive interest payments, the prices of zero-coupon securities generally fall more dramatically than those of bonds that pay interest on a current basis when interest rates rise. However, when interest rates fall, the prices of zero-coupon securities generally rise more rapidly in value than those of similar interest paying bonds. Under many market and other conditions, the market for zero-coupon and payment-in-kind securities may suffer decreased liquidity making it difficult for the Fund to dispose of them or to determine their current value. In addition, as these securities may not pay cash interest, the Fund’s investment exposure to these securities and their risks, including credit risk, will increase during the time these securities are held in the Fund’s portfolio. Further, to maintain its qualification for treatment as a registered investment company and to avoid Fund-level U.S. federal income and/or excise taxes, the Fund is required to distribute to its shareholders any income it is deemed to have received in respect of such investments, notwithstanding that cash has not been received currently, and the value of paid-in-kind interest. Consequently, the Fund may have to dispose of portfolio securities under disadvantageous circumstances to generate the cash, or may have to leverage itself by borrowing the cash to satisfy this distribution requirement. The required distributions, if any, would result in an increase in the Fund’s exposure to these securities.

Valuation Risk. Unlike publicly traded common stock which trades on national exchanges, there is no central place or exchange for bond trading. Bonds generally trade on an “over-the-counter” market which may be anywhere in the world where buyer and seller can settle on a price. Due to the lack of centralized information and trading, the valuation of bonds may carry more risk than that of common stock. Uncertainties in the conditions of the financial market, unreliable reference data, lack of transparency and inconsistency of valuation models and

 

44


Credit Suisse High Yield Bond Fund

Fund Investment Objectives, Policies and Risks (unaudited) (continued)

October 31, 2021

 

 

processes may lead to inaccurate asset pricing. As a result, the Fund may be subject to the risk that when a security is sold in the market, the amount received by the Fund is less than the value of such security carried on the Fund’s books.

Non-Diversified Status. The Fund is classified as a “non-diversified” management investment company under the Investment Company Act of 1940, as amended, which means that the Fund may invest a greater portion of its assets in a limited number of issuers than would be the case if the Fund were classified as a “diversified” management investment company. Accordingly, the Fund may be subject to greater risk with respect to its portfolio securities than a management investment company that is “diversified” because changes in the financial condition or market assessment of a single issuer may cause greater fluctuations in the net asset value of the Shares.

Market Price, Discount and Net Asset Value of Shares. As with any stock, the price of the Fund’s Shares fluctuates with market conditions and other factors. Shares of the Fund, a closed-end investment company, may trade in the market at a discount from their net asset value.

Potential Yield Reduction. An offering of Shares is expected to present the opportunity to invest in high yielding securities. This expectation is based on the current market environment for high yield debt securities, which could change in response to interest rate levels, general economic conditions, specific industry conditions and other factors. If the market environment for high yield debt securities changes in a manner that adversely affects the yield of such securities, the offering of Shares could cause the Fund to invest in securities that are lower yielding than those in which it is currently invested. In addition, even if the market for high yield debt securities continues to present attractive investment opportunities, there is no assurance that the Fund will be able to invest the proceeds of an offering of Shares in high yielding securities or that other potential benefits of the offering will be realized. An offering of Shares could reduce the Fund’s current dividend yield if the Fund is unable to invest the proceeds of the offering in securities that provide a yield at least equal to the current dividend yield.

Market Risk. The market value of an instrument may fluctuate, sometimes rapidly and unpredictably. These fluctuations, which are often referred to as “volatility,” may cause an instrument to be worth less than it was worth at an earlier time. Market risk may affect a single issuer, industry, commodity, sector of the economy, or the market as a whole. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on a fund and its investments. Market risk is common to most investments — including stocks, bonds and commodities — and the mutual funds that invest in them. The performance of “value” stocks and “growth” stocks may rise or decline under varying market conditions — for example, value stocks may perform well under circumstances in which growth stocks in general have fallen.

Bonds and other fixed income securities generally involve less market risk than stocks and commodities. However, the risk of bonds can vary significantly depending upon factors such as the issuer’s creditworthiness and a bond’s maturity. The bonds of some companies may be riskier than the stocks of others.

An outbreak of respiratory disease caused by a novel coronavirus (sometimes referred to as “COVID-19”) was first detected in China in December 2019 and has developed into a global pandemic. This pandemic has resulted in closed borders, enhanced health screenings, disruption of, and delays in, the provision of healthcare services, quarantines, cancellations of events and product orders, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The pandemic, and other pandemics and epidemics that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that

 

45


Credit Suisse High Yield Bond Fund

Fund Investment Objectives, Policies and Risks (unaudited) (continued)

October 31, 2021

 

 

cannot necessarily be foreseen at the present time. In addition, the effect of infectious diseases in developing or emerging market countries may be greater due to less established health care systems. Health crises caused by the novel coronavirus pandemic may exacerbate other pre-existing political, social and economic risks in certain countries. As a result, the extent to which the pandemic may negatively affect a fund’s performance or the duration of any potential business disruption is uncertain.

Anti-Takeover Provisions. The Fund’s Agreement and Declaration of Trust (the “Declaration of Trust”) contains provisions limiting (i) the ability of other entities or persons to acquire control of the Fund, (ii) the Fund’s freedom to engage in certain transactions, and (iii) the ability of the Board or shareholders to amend the Declaration of Trust. These provisions of the Declaration of Trust may be regarded as “anti-takeover” provisions. These provisions could have the effect of depriving the shareholders of opportunities to sell their Shares at a premium over prevailing market prices by discouraging a third party from seeking to obtain control of the Fund in a tender offer or similar transaction.

 

46


Credit Suisse High Yield Bond Fund

Information Concerning Trustees and Officers (unaudited)

 

 

Name, Address
(Year of Birth)

  

Position(s)
Held with Fund

  

Term
of Office1
and
Length
of Time
Served

  

Principal
Occupation(s)
During
Past Five Years

  

Number of
Portfolios in
Fund
Complex
Overseen  by
Trustee

  

Other
Trusteeships
Held by Trustee
During Past Five Years

Independent Trustees         

Laura A. DeFelice

c/o Credit Suisse Asset

Management, LLC

Attn: General Counsel

Eleven Madison Avenue

New York, New York

10010

 

(1959)

   Trustee, Nominating and Audit Committee member    Since 2019; current term ends at the 2024 annual meeting    Partner of Acacia Properties LLC (multi- family and commercial real estate ownership and operation) from 2008 to present; Stonegate Advisors LLC (renewable energy and energy efficiency) from 2007 to present.    9    None

Jeffrey E. Garten

c/o Credit Suisse Asset

Management, LLC

Attn: General Counsel

Eleven Madison Avenue

New York, New York

10010

 

(1946)

   Trustee, Nominating and Audit Committee member    Since 2019; current term ends at the 2023 annual meeting    Dean Emeritus of Yale School of Management from July 2015 to present; Partner and Chairman of Garten Rothkopf (consulting firm) from October 2005 to June 2017.    9    Director of Aetna, Inc. (insurance company) from January 1999 to 2019; Director of CarMax Group (used car dealers) from January 2002 to 2019; Director of Miller Buckfire & Co., LLC (financial restructuring) from January 2008 to 2019.

 

1 

Subject to the Fund’s retirement policy, no Trustee shall be presented to shareholders of the Fund for election at any meeting that is scheduled to occur after he/she has reached the age of 74 and a Trustee shall automatically be deemed to retire from the Board at the next annual shareholders’ meeting following the date that he/she reaches the age of 75 years even if his/her term of office has not expired on that date. The requirements of the retirement policy may be waived with respect to an individual Trustee. Each Officer serves until his or her respective successor has been duly elected and qualified.

 

47


Credit Suisse High Yield Bond Fund

Information Concerning Trustees and Officers (unaudited) (continued)

 

 

Name, Address
(Year of Birth)

  

Position(s)
Held with Fund

  

Term
of Office1
and
Length
of Time
Served

  

Principal
Occupation(s)
During
Past Five Years

  

Number of
Portfolios in
Fund
Complex
Overseen  by
Trustee

  

Other
Trusteeships
Held by Trustee
During Past Five Years

Mahendra R. Gupta

c/o Credit Suisse Asset

Management, LLC

Attn: General Counsel

Eleven Madison Avenue

New York, New York

10010

 

(1956)

   Trustee, Nominating Committee member and Audit Committee Chairman    Trustee and Audit Committee Chairman since 2019; current term ends at the 2022 annual meeting    Professor, Washington University in St. Louis from July 1990 to present; Partner, R.J. Mithaiwala (food manufacturing and retail, India) from March 1977 to present; Partner, F.F.B. Corporation (agriculture, India) from March 1977 to present; Partner, RPMG Research Corporation (benchmark research) from July 2001 to present.    9    Director of Caleres Inc. (footwear) from May 2012 to present; Director of Koch Development Corporation (real estate development) from November 2017 to present; Director of Supernova (fin-tech) from June 2014 to September 2018.

 

1 

Subject to the Fund’s retirement policy, no Trustee shall be presented to shareholders of the Fund for election at any meeting that is scheduled to occur after he/she has reached the age of 74 and a Trustee shall automatically be deemed to retire from the Board at the next annual shareholders’ meeting following the date that he/she reaches the age of 75 years even if his/her term of office has not expired on that date. The requirements of the retirement policy may be waived with respect to an individual Trustee. Each Officer serves until his or her respective successor has been duly elected and qualified.

 

48


Credit Suisse High Yield Bond Fund

Information Concerning Trustees and Officers (unaudited) (continued)

 

 

Name, Address
(Year of Birth)

  

Position(s)
Held with Fund

  

Term
of Office1
and
Length
of Time
Served

  

Principal
Occupation(s)
During
Past Five Years

  

Number of
Portfolios in
Fund
Complex
Overseen  by
Trustee

    

Other
Trusteeships
Held by Trustee
During Past Five Years

Steven N. Rappaport

c/o Credit Suisse Asset

Management, LLC

Attn: General Counsel

Eleven Madison Avenue

New York, New York

10010

 

(1948)

   Chairman of the Board, Nominating Committee Chairman and Audit Committee member    Chairman since 2012 and Trustee since 2005; current term ends at the 2024 annual meeting    Partner of Lehigh Court, LLC and RZ Capital (private investment firms) from July 2002 to present; Partner of Backstage Acquisition Holdings, LLC (publication job postings) from November 2013 to 2018.      9      Director of Aberdeen Emerging Markets Equity Income Fund, Inc., (a closed-end investment company); Director of Aberdeen Funds (18 open-end portfolios); Director of iCAD, Inc. (surgical & medical instruments & apparatus company) from 2006 to 2018.

Interested Trustee

           

John G. Popp2

Credit Suisse Asset

Management, LLC

Eleven Madison Avenue

New York, New York

10010

 

(1956)

   Trustee, Chief Executive Officer and President   

Trustee since 2012

 

Chief Executive Officer and President since 2010; current term ends at the 2022 annual meeting

   Managing Director of Credit Suisse; Global Head and Chief Investment Officer of the Credit Investments Group; Associated with Credit Suisse or its predecessor since 1997; Officer of other Credit Suisse Funds.      9      None.

 

1 

Subject to the Fund’s retirement policy, no Trustee shall be presented to shareholders of the Fund for election at any meeting that is scheduled to occur after he/she has reached the age of 74 and a Trustee shall automatically be deemed to retire from the Board at the next annual shareholders’ meeting following the date that he/she reaches the age of 75 years even if his/her term of office has not expired on that date. The requirements of the retirement policy may be waived with respect to an individual Trustee. Each Officer serves until his or her respective successor has been duly elected and qualified.

2 

Mr. Popp is an “interested person” of the Fund as defined in the 1940 Act, by virtue of his current position as an officer of Credit Suisse.

 

49


Credit Suisse High Yield Bond Fund

Information Concerning Trustees and Officers (unaudited) (continued)

 

 

Name, Address
(Year of Birth)

    

Position(s)
Held with Fund

    

Term
of Office
and Length
of Time
Served

    

Principal Occupation(s) During Past Five Years

Officers*

              

Thomas J. Flannery

Credit Suisse Asset Management, LLC

Eleven Madison Avenue

New York, New York

10010

 

(1974)

     Chief Investment Officer      Since 2010      Managing Director of Credit Suisse and Head of the Credit Suisse U.S. High Yield Management Team; Associated with Credit Suisse Group AG since 2000; Officer of other Credit Suisse Funds.

Emidio Morizio**

Credit Suisse Asset

Management, LLC

Eleven Madison Avenue

New York, New York 10010

 

(1966)

     Chief Compliance Officer      Since 2004      Managing Director and Global Head of Compliance of Credit Suisse since 2010; Associated with Credit Suisse since July 2000; Officer of other Credit Suisse Funds.

Lou Anne McInnis

Credit Suisse Asset

Management, LLC

Eleven Madison Avenue

New York, New York

10010

 

(1959)

     Chief Legal Officer      Since 2015      Director of Credit Suisse; Associated with Credit Suisse since April 2015; Counsel at DLA Piper US LLP from 2011 to April 2015; Associated with Morgan Stanley Investment Management from 1997 to 2010; Officer of other Credit Suisse Funds.

Omar Tariq

Credit Suisse Asset

Management, LLC

Eleven Madison Avenue

New York, New York

10010

 

(1983)

     Chief Financial Officer and Treasurer      Since 2019      Director of Credit Suisse since March 2019; Senior Manager of PriceWaterhouseCoopers, LLP from September 2010 to March 2019; Officer of other Credit Suisse Funds.

Karen Regan

Credit Suisse Asset

Management, LLC

Eleven Madison Avenue

New York, New York

10010

 

(1963)

     Senior Vice President and Secretary      Since 2010      Vice President of Credit Suisse; Associated with Credit Suisse since December 2004; Officer of other Credit Suisse Funds.

The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling 877-870-2874.

 

*

The officers of the Fund shown are officers that make policy decisions.

**

Effective December 16, 2021, Jason Gossett replaced Emidio Morizio as Interim Chief Compliance Officer. Mr. Gossett has been a Vice President of Credit Suisse since 2018 and has been associated with Credit Suisse since June 2015. Mr. Gossett also serves as an officer of other Credit Suisse funds.

 

50


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 October 31 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.

 

51


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 2006). 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 2006).

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.

 

52


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.

 

53


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-AR-1021


Item 2. Code of Ethics.

The registrant has adopted a code of ethics applicable to its Chief Executive Officer, President, Chief Financial Officer and Chief Accounting Officer, or persons performing similar functions. A copy of the code is filed as Exhibit 12(a)(1) to this Form. There were no amendments to the code during the fiscal year ended October 31, 2021. There were no waivers or implicit waivers from the code granted by the registrant during the fiscal year ended October 31, 2021.


Item 3. Audit Committee Financial Expert.

The registrant’s governing board has determined that it has two audit committee financial experts serving on its audit committee: Mahendra R. Gupta and Steven N. Rappaport. Each audit committee financial expert is “independent” for purposes of this item.

Item 4. Principal Accountant Fees and Services.

(a) through (d). The information in the table below is provided for services rendered to the registrant showing the amount of fees billed to the registrant during the registrant’s last two fiscal years by PricewaterhouseCoopers LLP (“PwC”), the registrant’s current independent registered public accounting firm, and the registrant’s former independent registered public accounting firm. The tax fees billed to the registrant for the fiscal year 2020 are the only fees that have been billed to the registrant by its former independent registered public accounting firm. For engagements with PwC and the registrant’s former independent registered public accounting firm the Audit Committee approved in advance all audit services and non-audit services that PwC and the registrant’s former independent registered public accounting firm provided to the registrant for its fiscal years ended October 31, 2020 and October 31, 2021.

 

     2020      2021  

Audit Fees

   $ 37,700      $ 37,700  

Audit-Related Fees1

   $ 0      $ 0  

Tax Fees2

   $ 4,996      $ 4,000  

All Other Fees1

   $ —        $ —    

Total

   $ 42,696      $ 41,700  

 

1 

Services include agreed-upon procedures in connection with the registrant’s semi-annual financial statements $0 in 2020 and $0 in 2021.

2 

Tax services in connection with the registrant’s excise tax calculations and review of the registrant’s applicable tax returns.

The information in the table below is provided with respect to non-audit services that directly relate to the registrant’s operations and financial reporting and that were rendered by PwC to the registrant’s investment adviser, Credit Suisse Asset Management, LLC (“Credit Suisse”), and any service provider to the registrant controlling, controlled by or under common control with Credit Suisse that

 

2


provided ongoing services to the registrant (“Covered Services Provider”), for the registrant’s fiscal years ended October 31, 2020 and October 31, 2021.

 

    

2020

  

2021

Audit-Related Fees

   N/A    N/A

Tax Fees

   N/A    N/A

All Other Fees

   N/A    N/A

Total

   N/A    N/A

(e)(1) Pre-Approval Policies and Procedures. The Audit Committee (“Committee”) of the registrant is responsible for pre-approving (i) all audit and permissible non-audit services to be provided by the independent registered public accounting firm to the registrant and (ii) all permissible non-audit services to be provided by the independent registered public accounting firm to Credit Suisse and any Covered Services Provider if the engagement relates directly to the operations and financial reporting of the registrant. The Committee may delegate its responsibility to pre-approve any such audit and permissible non-audit services to the Chairperson of the Committee, and the Chairperson shall report to the Committee, at its next regularly scheduled meeting after the Chairperson’s pre-approval of such services, his or her decision(s). The Committee may also establish detailed pre-approval policies and procedures for pre-approval of such services in accordance with applicable laws, including the delegation of some or all of the Committee’s pre-approval responsibilities to other persons (other than Credit Suisse or the registrant’s officers). Pre-approval by the Committee of any permissible non-audit services shall not be required so long as: (i) the aggregate amount of all such permissible non-audit services provided to the registrant, Credit Suisse and any Covered Services Provider constitutes not more than 5% of the total amount of revenues paid by the registrant to its independent registered public accounting firm during the fiscal year in which the permissible non-audit services are provided; (ii) the permissible non-audit services were not recognized by the registrant at the time of the engagement to be non-audit services; and (iii) such services are promptly brought to the attention of the Committee and approved by the Committee (or its delegate(s)) prior to the completion of the audit.

(e)(2) The information in the table below sets forth the percentages of fees for services (other than audit, review or attest services) rendered by PwC to the registrant for which the pre-approval requirement was waived pursuant to Rule 2-01(c)(7)(i)(C) of Regulation S-X:

 

3


    

2020

  

2021

Audit-Related Fees

  

N/A

  

N/A

Tax Fees

  

N/A

  

N/A

All Other Fees

  

N/A

  

N/A

Total

  

N/A

  

N/A

The information in the table below sets forth the percentages of fees for services (other than audit, review or attest services) rendered by PwC to Credit Suisse and any Covered Services Provider required to be approved pursuant to Rule 2-01(c)(7)(ii)of Regulation S-X, for the registrant’s fiscal years ended October 31, 2020 and October 31, 2021:

 

    

2020

  

2021

Audit-Related Fees

  

N/A

  

N/A

Tax Fees

  

N/A

  

N/A

All Other Fees

  

N/A

  

N/A

Total

  

N/A

  

N/A

(f) Not Applicable.

(g) The aggregate fees billed by the registrant’s former independent registered public accounting firm for the fiscal year ended October 31, 2020 were $4,996 and by PwC for the fiscal year ended October 31, 2021 were $4,000 for non-audit services rendered to the registrant, Credit Suisse and Covered Service Providers.

(h) Not Applicable.

Item 5. Audit Committee of Listed Registrants.

The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The members of the committee are Laura A. DeFelice, Jeffrey E. Garten, Mahendra R. Gupta and Steven N. Rappaport.

Item 6. Schedule of Investments.

Included as part of the report to shareholders filed under Item 1 of this Form.

 

4


Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

 

5


CREDIT SUISSE ASSET MANAGEMENT, LLC

CREDIT SUISSE FUNDS

PROXY VOTING PROCEDURES

Introduction

Credit Suisse Asset Management, LLC (“Credit Suisse”) is a fiduciary that owes each of its client’s duties of care and loyalty with respect to proxy voting. The duty of care requires Credit Suisse to monitor corporate events and to vote proxies. To satisfy its duty of loyalty, Credit Suisse must cast proxy votes in the best interests of each of its clients.

The Credit Suisse Funds (the “Funds”), which have engaged Credit Suisse Asset Management, LLC as their investment adviser, are of the belief that the proxy voting process is a means of addressing corporate governance issues and encouraging corporate actions both of which can enhance shareholder value.

Procedures

The Proxy Voting Procedures (the “Procedures”) set forth below are designed to ensure that proxies are voted in the best interests of Credit Suisse’s clients. The Procedures addresses particular issues and gives a general indication of how Credit Suisse will vote proxies. The Procedures are not exhaustive and does not include all potential issues.

Proxy Voting Committee

The Proxy Voting Committee will consist of a disinterested member of the Portfolio Management Department, a member of the General Counsel Department, a member of the Compliance and Regulatory Affairs Department, a member of the Operations Department (or their designees), and a member of Fund Administration. The purpose of the Proxy Voting Committee is to administer the voting of all clients’ proxies in accordance with the Procedures. The Proxy Voting Committee will review the Procedures as necessary to ensure that it is designed to promote the best interests of Credit Suisse’s clients.

For the reasons disclosed below under “Conflicts,” the Proxy Voting Committee has engaged the services of an independent third party (initially, Risk Metrics Group’s ISS Governance Services Unit (“ISS”)) to assist in issue analysis and vote recommendation for proxy proposals for all of the Funds except Credit Suisse Commodity Return Strategy Fund and Credit Suisse Trust – Commodity Return Strategy Portfolio. Proxy proposals addressed by the Procedures will be voted in accordance with the Procedures. Proxy proposals addressed by the Procedures that require a case-by-case analysis will be voted in accordance with the vote recommendation of ISS. Proxy proposals not addressed by the Procedures will also be voted in accordance with the vote recommendation of ISS. To the extent that the Proxy Voting Committee proposes to deviate from the Procedures or the ISS vote recommendation, the Committee shall obtain client consent as described below.

 

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Credit Suisse investment professionals may submit a written recommendation to the Proxy Voting Committee to vote in a manner inconsistent with the Procedures and/or the recommendation of ISS. Such recommendation will set forth its basis and rationale. In addition, the investment professional must confirm in writing that he/she is not aware of any conflicts of interest concerning the proxy matter or provide a full and complete description of the conflict.

In the event a Portfolio Manager (“PM”) desires to deviate from the stated voting parameters outlined in the Procedures, the PM is required to submit a memo detailing the request and rationale for the deviation to the Chair of the Proxy Voting Committee. The Chair of the Proxy Voting Committee (“Committee”) will convene a meeting where the PM will present their recommendation. In the event an in person or telephonic meeting cannot be organized, the Chair of the Committee will circulate the PM’s request for an exception to the Proxy Voting Committee for consideration.

Should such Procedures exception be approved by the Proxy Voting Committee, the Committee will forward the instructions to ISS for processing and will minute the meeting.

Conflicts

Credit Suisse is the part of the asset management business of Credit Suisse, one of the world’s leading banks. As part of a global, full service investment-bank, broker-dealer, and wealth-management organization, Credit Suisse and its affiliates and personnel may have multiple advisory, transactional, financial, and other interests in securities, instruments, and companies that may be purchased or sold by Credit Suisse for its clients’ accounts. The interests of Credit Suisse and/or its affiliates and personnel may conflict with the interests of Credit Suisse’s clients in connection with any proxy issue. In addition, Credit Suisse may not be able to identify all of the conflicts of interest relating to any proxy matter.

Consent

In each and every instance in which the Proxy Voting Committee favors voting in a manner that is inconsistent with the Procedures or the vote recommendation of ISS (including proxy proposals addressed and not addressed by the Procedures), it shall disclose to the client conflicts of interest information and obtain client consent to vote. Where the client is a Fund, disclosure shall be made to any one director who is not an “interested person,” as that term is defined under the Investment Company Act of 1940, as amended, of the Fund.

 

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Recordkeeping

Credit Suisse is required to maintain in an easily accessible place for six years all records relating to proxy voting.

These records include the following:

 

   

a copy of the Procedures;

 

   

a copy of each proxy statement received on behalf of Credit Suisse clients;

 

   

a record of each vote cast on behalf of Credit Suisse clients;

 

   

a copy of all documents created by Credit Suisse personnel that were material to making a decision on a vote or that memorializes the basis for the decision; and

 

   

a copy of each written request by a client for information on how Credit Suisse voted proxies, as well as a copy of any written response.

Credit Suisse reserves the right to maintain certain required proxy records with ISS in accordance with all applicable regulations.

Disclosure

Credit Suisse will describe the Procedures to each client. Upon request, Credit Suisse will provide any client with a copy of the Procedures. Credit Suisse will also disclose to its clients how they can obtain information on their proxy votes.

ISS will capture data necessary for Funds to file Form N-PX on an annual basis concerning their proxy voting record in accordance with applicable law.

A description of the Procedures is contained in each Fund’s Statement of Additional Information the telephone number for more information must be disclosed in each Fund’s Form N-CSR.

Procedures

The Proxy Voting Committee will administer the voting of all client proxies. Credit Suisse has engaged ISS as an independent third party proxy voting service to assist in the voting of client proxies. ISS will coordinate with each client’s custodian to ensure that proxy materials reviewed by the custodians are processed in a timely fashion. ISS will provide Credit Suisse with an analysis of proxy issues and a vote recommendation for proxy proposals. ISS will refer proxies to the Proxy Voting Committee for instructions when the application of the Procedures is not clear. The Proxy Voting Committee will notify ISS of any changes to the Procedures or deviating thereof.

 

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PROXY VOTING PROCEDURES

Operational Items

Adjourn Meeting

Proposals to provide management with the authority to adjourn an annual or special meeting will be determined on a case-by-case basis.

Amend Quorum Requirements

Proposals to reduce quorum requirements for shareholder meetings below a majority of the shares outstanding will be determined on a case-by-case basis.

Amend Minor Bylaws

Generally vote for bylaw or charter changes that are of a housekeeping nature.

Change Date, Time, or Location of Annual Meeting

Generally vote for management proposals to change the date/time/location of the annual meeting unless the proposed change is unreasonable. Generally vote against shareholder proposals to change the date/time/location of the annual meeting unless the current scheduling or location is unreasonable.

Ratify Auditors

Generally vote for proposals to ratify auditors unless: (1) an auditor has a financial interest in or association with the company, and is therefore not independent; (2) fees for non-audit services are excessive, or (3) there is reason to believe that the independent auditor has rendered an opinion, which is neither accurate nor indicative of the company’s financial position. Generally vote on a case-by-case basis on shareholder proposals asking companies to prohibit their auditors from engaging in non-audit services (or capping the level of non-audit services). Generally vote on a case-by-case basis on auditor rotation proposals taking into consideration: (1) tenure of audit firm; (2) establishment and disclosure of a renewal process whereby the auditor is regularly evaluated for both audit quality and competitive price; (3) length of the rotation period advocated in the proposal, and (4) significant audit related issues.

 

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Board of Directors

Voting on Director Nominees in Uncontested Elections

Generally votes on director nominees on a case-by-case basis. Votes may be withheld: from directors who (1) attended less than 75% of the board and committee meetings without a valid reason for the absences; (2) implemented or renewed a dead-hand poison pill; (3) ignored a shareholder proposal that was approved by a majority of the votes cast for two consecutive years; (4) ignored a shareholder proposal approved by a majority of the shares outstanding; (5) have failed to act on takeover offers where the majority of the shareholders have tendered their shares; (6) are inside directors or affiliated outside directors and sit on the audit, compensation, or nominating committee; (7) are inside directors or affiliated outside directors and the full board serves as the audit, compensation, or nominating committee or the company does not have one of these committees; or (8) are audit committee members and the non-audit fees paid to the auditor are excessive.

Cumulative Voting

Proposals to eliminate cumulative voting will be determined on a case-by-case basis. Proposals to restore or provide for cumulative voting in the absence of sufficient good governance provisions and/or poor relative shareholder returns will be determined on a case-by-case basis.

Director and Officer Indemnification and Liability Protection

Proposals on director and officer indemnification and liability protection generally evaluated on a case-by-case basis. Generally vote against proposals that would: (1) eliminate entirely directors’ and officers’ liability for monetary damages for violating the duty of care; or (2) expand coverage beyond just legal expenses to acts, such as negligence, that are more serious violations of fiduciary obligation than mere carelessness. Generally vote for only those proposals providing such expanded coverage in cases when a director’s or officer’s legal defense was unsuccessful if: (1) the director was found to have acted in good faith and in a manner that he reasonably believed was in the best interests of the company, and (2) only if the director’s legal expenses would be covered.

Filling Vacancies/Removal of Directors

Generally vote against proposals that provide that directors may be removed only for cause. Generally vote for proposals to restore shareholder ability to remove directors with or without cause. Proposals that provide that only continuing directors may elect replacements to fill board vacancies will be determined on a case-by-case basis. Generally vote for proposals that permit shareholders to elect directors to fill board vacancies.

Independent Chairman (Separate Chairman/CEO)

Generally vote for shareholder proposals requiring the position of chairman be filled by an independent director unless there are compelling reasons to recommend against the proposal, including: (1) designated lead director, elected by and from the independent board members with clearly delineated duties; (2) 2/3 independent board; (3) all independent key committees; or (4) established governance guidelines.

 

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Majority of Independent Directors

Generally vote for shareholder proposals requiring that the board consist of a majority or substantial majority (two-thirds) of independent directors unless the board composition already meets the adequate threshold. Generally vote for shareholder proposals requiring the board audit, compensation, and/or nominating committees be composed exclusively of independent directors if they currently do not meet that standard. Generally withhold votes from insiders and affiliated outsiders sitting on the audit, compensation, or nominating committees. Generally withhold votes from insiders and affiliated outsiders on boards that are lacking any of these three panels. Generally withhold votes from insiders and affiliated outsiders on boards that are not at least majority independent.

Term Limits

Generally vote against shareholder proposals to limit the tenure of outside directors.

Proxy Contests

Voting on Director Nominees in Contested Elections

Votes in a contested election of directors should be decided on a case-by-case basis, with shareholders determining which directors are best suited to add value for shareholders. The major decision factors are: (1) company performance relative to its peers; (2) strategy of the incumbents versus the dissidents; (3) independence of directors/nominees; (4) experience and skills of board candidates; (5) governance profile of the company; (6) evidence of management entrenchment; (7) responsiveness to shareholders; or (8) whether takeover offer has been rebuffed.

Amend Bylaws without Shareholder Consent

Proposals giving the board exclusive authority to amend the bylaws will be determined on a case-by-case basis. Proposals giving the board the ability to amend the bylaws in addition to shareholders will be determined on a case-by-case basis.

Confidential Voting

Generally vote for shareholder proposals requesting that corporations adopt confidential voting, use independent vote tabulators and use independent inspectors of election, as long as the proposal includes a provision for proxy contests as follows: In the case of a contested election, management should be permitted to request that the dissident group honor its confidential voting policy. If the dissidents agree, the policy may remain in place. If the dissidents will not agree, the confidential voting policy may be waived. Generally vote for management proposals to adopt confidential voting.

 

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Cumulative Voting

Proposals to eliminate cumulative voting will be determined on a case-by-case basis. Proposals to restore or provide for cumulative voting in the absence of sufficient good governance provisions and/or poor relative shareholder returns will be determined on a case-by-case basis.

Antitakeover Defenses and Voting Related Issues

Advance Notice Requirements for Shareholder Proposals/Nominations

Votes on advance notice proposals are determined on a case-by-case basis.

Amend Bylaws without Shareholder Consent

Proposals giving the board exclusive authority to amend the bylaws will be determined on a case-by-case basis. Generally vote for proposals giving the board the ability to amend the bylaws in addition to shareholders.

Poison Pills (Shareholder Rights Plans)

Generally vote for shareholder proposals requesting that the company submit its poison pill to a shareholder vote or redeem it. Votes regarding management proposals to ratify a poison pill should be determined on a case-by-case basis. Plans should embody the following attributes: (1) 20% or higher flip-in or flip-over; (2) two to three year sunset provision; (3) no dead-hand or no-hand features; or (4) shareholder redemption feature.

Shareholders’ Ability to Act by Written Consent

Generally vote against proposals to restrict or prohibit shareholders’ ability to take action by written consent. Generally vote for proposals to allow or make easier shareholder action by written consent.

Shareholders’ Ability to Call Special Meetings

Proposals to restrict or prohibit shareholders’ ability to call special meetings or that remove restrictions on the right of shareholders to act independently of management will be determined on a case-by-case basis.

 

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Supermajority Vote Requirements

Proposals to require a supermajority shareholder vote will be determined on a case-by-case basis. Proposals to lower supermajority vote requirements will be determined on a case-by-case basis.

Merger and Corporate Restructuring

Appraisal Rights

Generally vote for proposals to restore, or provide shareholders with, rights of appraisal.

Asset Purchases

Generally vote case-by-case on asset purchase proposals, taking into account: (1) purchase price, including earn out and contingent payments; (2) fairness opinion; (3) financial and strategic benefits; (4) how the deal was negotiated; (5) conflicts of interest; (6) other alternatives for the business; or (7) noncompletion risk (company’s going concern prospects, possible bankruptcy).

Asset Sales

Votes on asset sales should be determined on a case-by-case basis after considering: (1) impact on the balance sheet/working capital; (2) potential elimination of diseconomies; (3) anticipated financial and operating benefits; (4) anticipated use of funds; (5) value received for the asset; fairness opinion (if any); (6) how the deal was negotiated; or (6) conflicts of interest

Conversion of Securities

Votes on proposals regarding conversion of securities are determined on a case-by-case basis. When evaluating these proposals, should review (1) dilution to existing shareholders’ position; (2) conversion price relative to market value; (3) financial issues: company’s financial situation and degree of need for capital; effect of the transaction on the company’s cost of capital; (4) control issues: change in management; change in control; standstill provisions and voting agreements; guaranteed contractual board and committee seats for investor; veto power over certain corporate actions; (5) termination penalties; (6) conflict of interest: arm’s length transactions, managerial incentives. Generally vote for the conversion if it is expected that the company will be subject to onerous penalties or will be forced to file for bankruptcy if the transaction is not approved.

 

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Corporate Reorganization

Votes on proposals to increase common and/or preferred shares and to issue shares as part of a debt restructuring plan are determined on a case-by-case basis, after evaluating: (1) dilution to existing shareholders’ position; (2) terms of the offer; (3) financial issues; (4) management’s efforts to pursue other alternatives; (5) control issues; (6) conflict of interest. Generally vote for the debt restructuring if it is expected that the company will file for bankruptcy if the transaction is not approved.

Reverse Leveraged Buyouts

Votes on proposals to increase common and/or preferred shares and to issue shares as part of a debt restructuring plan are determined on a case-by-case basis, after evaluating: (1) dilution to existing shareholders’ position; (2) terms of the offer; (3) financial issues; (4) management’s efforts to pursue other alternatives; (5) control issues; (6) conflict of interest. Generally vote for the debt restructuring if it is expected that the company will file for bankruptcy if the transaction is not approved.

Formation of Holding Company

Votes on proposals regarding the formation of a holding company should be determined on a case-by-case basis taking into consideration: (1) the reasons for the change; (2) any financial or tax benefits; (3) regulatory benefits; (4) increases in capital structure; (5) changes to the articles of incorporation or bylaws of the company. Absent compelling financial reasons to recommend the transaction, generally vote against the formation of a holding company if the transaction would include either of the following: (1) increases in common or preferred stock in excess of the allowable maximum as calculated a model capital structure; (2) adverse changes in shareholder rights; (3) going private transactions; (4) votes going private transactions on a case-by-case basis, taking into account: (a) offer price/premium; (b) fairness opinion; (c) how the deal was negotiated; (d) conflicts of interest; (e) other alternatives/offers considered; (f) noncompletion risk.

Joint Ventures

Vote on a case-by-case basis on proposals to form joint ventures, taking into account: (1) percentage of assets/business contributed; (2) percentage ownership; (3) financial and strategic benefits; (4) governance structure; (5) conflicts of interest; (6) other alternatives; (7) noncompletion risk; (8) liquidations. Votes on liquidations should be determined on a case-by-case basis after reviewing: (1) management’s efforts to pursue other alternatives such as mergers; (2) appraisal value of the assets (including any fairness opinions); (3) compensation plan for executives managing the liquidation. Generally vote for the liquidation if the company will file for bankruptcy if the proposal is not approved.

 

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Mergers and Acquisitions

Votes on mergers and acquisitions should be considered on a case-by-case basis, determining whether the transaction enhances shareholder value by giving consideration to: (1) prospects of the combined companies; (2) anticipated financial and operating benefits; (3) offer price; (4) fairness opinion; (5) how the deal was negotiated; (6) changes in corporate governance and their impact on shareholder rights; (7) change in the capital structure; (8) conflicts of interest.

Private Placements

Votes on proposals regarding private placements should be determined on a case-by-case basis. When evaluating these proposals, should review: (1) dilution to existing shareholders’ position; (2) terms of the offer; (3) financial issues; (4) management’s efforts to pursue alternatives such as mergers; (5) control issues; (6) conflict of interest. Generally vote for the private placement if it is expected that the company will file for bankruptcy if the transaction is not approved.

Prepackaged Bankruptcy Plans

Votes on proposals to increase common and/or preferred shares and to issue shares as part of a debt restructuring plan are determined on a case-by-case basis, after evaluating: (1) dilution to existing shareholders’ position; (2) terms of the offer; (3) financial issues; (4) management’s efforts to pursue other alternatives; (5) control issues; (6) conflict of interest. Generally vote for the debt restructuring if it is expected that the company will file for bankruptcy if the transaction is not approved.

Recapitalization

Votes case-by-case on recapitalizations (reclassifications of securities), taking into account: (1) more simplified capital structure; (2) enhanced liquidity; (3) fairness of conversion terms, including fairness opinion; (4) impact on voting power and dividends; (5) reasons for the reclassification; (6) conflicts of interest; (7) other alternatives considered.

Reverse Stock Splits

Generally vote for management proposals to implement a reverse stock split when the number of authorized shares will be proportionately reduced. Generally vote for management proposals to implement a reverse stock split to avoid delisting. Votes on proposals to implement a reverse stock split that do not proportionately reduce the number of shares authorized for issue should be determined on a case-by-case basis.

 

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Spinoffs

Votes on spinoffs should be considered on a case-by-case basis depending on: (1) tax and regulatory advantages; (2) planned use of the sale proceeds; (3) valuation of spinoff; fairness opinion; (3) benefits that the spinoff may have on the parent company including improved market focus; (4) conflicts of interest; managerial incentives; (5) any changes in corporate governance and their impact on shareholder rights; (6) change in the capital structure.

Value Maximization Proposals

Vote case-by-case on shareholder proposals seeking to maximize shareholder value.

Capital Structure

Adjustments to Par Value of Common Stock

Generally vote for management proposals to reduce the par value of common stock unless the action is being taken to facilitate an antitakeover device or some other negative corporate governance action. Generally vote for management proposals to eliminate par value.

Common Stock Authorization

Votes on proposals to increase the number of shares of common stock authorized for issuance are determined on a case-by-case basis. Generally vote against proposals at companies with dual-class capital structures to increase the number of authorized shares of the class of stock that has superior voting rights. Generally vote for proposals to approve increases beyond the allowable increase when a company’s shares are in danger of being delisted or if a company’s ability to continue to operate as a going concern is uncertain.

Dual-class Stock

Generally vote against proposals to create a new class of common stock with superior voting rights. Generally vote for proposals to create a new class of nonvoting or subvoting common stock if: (1) it is intended for financing purposes with minimal or no dilution to current shareholders; (2) it is not designed to preserve the voting power of an insider or significant shareholder.

Issue Stock for Use with Rights Plan

Generally vote against proposals that increase authorized common stock for the explicit purpose of implementing a shareholder rights plan.

Preemptive Rights

Votes regarding shareholder proposals seeking preemptive rights should be determined on a case-by-case basis after evaluating: (1) the size of the company; (2) the shareholder base; (3) the liquidity of the stock.

 

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Preferred Stock

Generally vote against proposals authorizing the creation of new classes of preferred stock with unspecified voting, conversion, dividend distribution, and other rights (“blank check” preferred stock). Generally vote for proposals to create “declawed” blank check preferred stock (stock that cannot be used as a takeover defense). Generally vote for proposals to authorize preferred stock in cases where the company specifies the voting, dividend, conversion, and other rights of such stock and the terms of the preferred stock appear reasonable. Generally vote against proposals to increase the number of blank check preferred stock authorized for issuance when no shares have been issued or reserved for a specific purpose. Generally vote case-by-case on proposals to increase the number of blank check preferred shares after analyzing the number of preferred shares available for issue given a company’s industry and performance in terms of shareholder returns.

Recapitalization

Vote case-by-case on recapitalizations (reclassifications of securities), taking into account: (1) more simplified capital structure; (2) enhanced liquidity; (3) fairness of conversion terms, including fairness opinion; (4) impact on voting power and dividends; (5) reasons for the reclassification; (6) conflicts of interest; (7) other alternatives considered.

Reverse Stock Splits

Generally vote for management proposals to implement a reverse stock split when the number of authorized shares will be proportionately reduced. Generally vote for management proposals to implement a reverse stock split to avoid delisting. Votes on proposals to implement a reverse stock split that do not proportionately reduce the number of shares authorized for issue should be determined on a case-by-case basis.

Share Repurchase Programs

Generally vote for management proposals to institute open-market share repurchase plans in which all shareholders may participate on equal terms.

Stock Distributions: Splits and Dividends

Generally vote for management proposals to increase the common share authorization for a stock split or share dividend, provided that the increase in authorized shares would not result in an excessive number of shares available for issuance.

 

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Tracking Stock

Votes on the creation of tracking stock are determined on a case-by-case basis, weighing the strategic value of the transaction against such factors as: (1) adverse governance changes; (2) excessive increases in authorized capital stock; (3) unfair method of distribution; (4) diminution of voting rights; (5) adverse conversion features; (6) negative impact on stock option plans; (7) other alternatives such as a spinoff.

Executive and Director Compensation

Executive and Director Compensation

Votes on compensation plans for directors are determined on a case-by-case basis.

Stock Plans in Lieu of Cash

Votes for plans which provide participants with the option of taking all or a portion of their cash compensation in the form of stock are determined on a case-by-case basis. Generally vote for plans which provide a dollar-for-dollar cash for stock exchange. Votes for plans which do not provide a dollar-for-dollar cash for stock exchange should be determined on a case-by-case basis.

Director Retirement Plans

Generally vote against retirement plans for nonemployee directors. Generally vote for shareholder proposals to eliminate retirement plans for nonemployee directors.

Management Proposals Seeking Approval to Reprice Options

Votes on management proposals seeking approval to reprice options are evaluated on a case-by-case basis giving consideration to the following: (1) historic trading patterns; (2) rationale for the repricing; (3) value-for-value exchange; (4) option vesting; (5) term of the option; (6) exercise price; (7) participants; (8) employee stock purchase plans. Votes on employee stock purchase plans should be determined on a case-by-case basis. Generally vote for employee stock purchase plans where: (1) purchase price is at least 85 percent of fair market value; (2) offering period is 27 months or less, and (3) potential voting power dilution (VPD) is ten percent or less. Generally vote against employee stock purchase plans where either: (1) purchase price is less than 85 percent of fair market value; (2) Offering period is greater than 27 months, or (3) VPD is greater than ten percent.

Incentive Bonus Plans and Tax Deductibility Proposals

Generally vote for proposals that simply amend shareholder-approved compensation plans to include administrative features or place a cap on the annual grants any one participant may receive. Generally vote for proposals to add performance goals to existing compensation


plans. Votes to amend existing plans to increase shares reserved and to qualify for favorable tax treatment considered on a case-by-case basis. Generally vote for cash or cash and stock bonus plans that are submitted to shareholders for the purpose of exempting compensation from taxes if no increase in shares is requested.

Employee Stock Ownership Plans (ESOPs)

Generally vote for proposals to implement an ESOP or increase authorized shares for existing ESOPs, unless the number of shares allocated to the ESOP is excessive (more than five percent of outstanding shares.)

401(k) Employee Benefit Plans

Generally vote for proposals to implement a 401(k) savings plan for employees.

Shareholder Proposals Regarding Executive and Director Pay

Generally vote for shareholder proposals seeking additional disclosure of executive and director pay information, provided the information requested is relevant to shareholders’ needs, would not put the company at a competitive disadvantage relative to its industry, and is not unduly burdensome to the company. Generally vote against shareholder proposals seeking to set absolute levels on compensation or otherwise dictate the amount or form of compensation. Generally vote against shareholder proposals requiring director fees be paid in stock only. Generally vote for shareholder proposals to put option repricings to a shareholder vote. Vote for shareholders proposals to exclude pension fund income in the calculation of earnings used in determining executive bonuses/compensation. Vote on a case-by-case basis for all other shareholder proposals regarding executive and director pay, taking into account company performance, pay level versus peers, pay level versus industry, and long term corporate outlook.

Performance-Based Option Proposals

Generally vote for shareholder proposals advocating the use of performance-based equity awards (indexed, premium-priced, and performance-vested options), unless: (1) the proposal is overly restrictive; or (2) the company demonstrates that it is using a substantial portion of performance-based awards for its top executives.

Stock Option Expensing

Generally vote for shareholder proposals asking the company to expense stock options unless the company has already publicly committed to start expensing by a specific date.


Golden and Tin Parachutes

Generally vote for shareholder proposals to require golden and tin parachutes to be submitted for shareholder ratification, unless the proposal requires shareholder approval prior to entering into employment contracts. Vote on a case-by-case basis on proposals to ratify or cancel golden or tin parachutes.

May 25, 2021

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Information pertaining to the Chief Investment Officer of the Credit Suisse High Yield Bond Fund, as of October 31, 2021, is set forth below.

 

Thomas J. Flannery

Chief Investment

Officer Since 2010

Year of Birth: 1974

   Managing Director of Credit Suisse and Head of the Credit Suisse US High Yield Management Team; Associated with Credit Suisse Group A.G. since 1998; Officer of other Credit Suisse Funds

Wing Chan

Portfolio Manager

Year of Birth: 1976

   Managing Director of Credit Suisse and a member of the US High Yield Management Team; Associated with Credit Suisse since 2005

David Mechlin

Portfolio Manager

Year of Birth: 1984

   Managing Director is a Portfolio Manager and a member of the US High Yield Management Team. Associated with Credit Suisse since 2006.

Joshua Shedroff

Portfolio Manager

Year of Birth: 1978

   Director is a Portfolio Manager and a member of the US High Yield Management Team. Associated with Credit Suisse since 2008.


Registered Investment Companies, Pooled Investment Vehicles and Other Accounts Managed

As reported to the Registrant, the information in the following table reflects the number of registered investment companies, pooled investment vehicles and other accounts managed by Mr. Flannery and Ms. Chan and the total assets managed within each category as of October 31, 2021.

 

     Registered Investment
Companies
     Other Pooled Investment
Vehicles
     Other Accounts  

Thomas J. Flannery*

     4      $ 3,991 million        54      $ 38,329 million        31      $ 16,162 million  

Wing Chan*

     4      $ 3,991 million        12      $ 10,960 million        31      $ 16,162 million  

David Mechlin*

     4      $ 3,991 million        54      $ 38,329 million        31      $ 16,162 million  

Joshua Shedroff*

     4      $ 3,991 million        54      $ 38,329 million        31      $ 16,162 million  

 

*

As of October 31, 2021, Messrs. Flannery, Mechlin and Shedroff managed 43 accounts which have total assets under management of $27,406 million, and Ms. Chan managed 1 account which has total assets under management of $37 million, of which have additional fees based on the performance of the accounts.

Potential Conflicts of Interest

It is possible that conflicts of interest may arise in connection with the portfolio managers’ management of the Funds’ investments on the one hand and the investments of other accounts on the other. For example, the portfolio managers may have conflicts of interest in allocating management time, resources and investment opportunities among the Funds and other accounts they advise. In addition due to differences in the investment strategies or restrictions between the Funds and the other accounts, the portfolio managers may take action with respect to another account that differs from the action taken with respect to the Funds. Credit Suisse has adopted policies and procedures that are designed to minimize the effects of these conflicts.

If Credit Suisse believes that the purchase or sale of a security is in the best interest of more than one client, it may (but is not obligated to) aggregate the orders to be sold or purchased to seek favorable execution or lower brokerage commissions, to the extent permitted by applicable laws and regulations. Credit Suisse may aggregate orders if all participating client accounts benefit equally (i.e., all receive an average price of the aggregated orders). In the event Credit Suisse aggregates an order for participating accounts, the method of allocation will generally be determined prior to the trade execution. Although no specific method of allocation of transactions (as well as expenses incurred in the transactions) is expected to be used, allocations will be designed to ensure that over time all clients receive fair treatment consistent with Credit Suisse’s fiduciary duty to its clients (including its duty to seek to obtain best execution of client trades). The accounts aggregated may include registered and unregistered investment companies managed by Credit Suisse’s affiliates and accounts in which Credit Suisse’s officers, directors, agents, employees or affiliates own interests. Credit Suisse may not be able to aggregate securities transactions for clients who direct the use of a particular broker-dealer, and the client also may not benefit from any improved execution or lower commissions that may be available for such transactions.

 

21


Compensation

Thomas J. Flannery, Wing Chan, David Mechlin and Joshua Shedroff are compensated for their services by Credit Suisse. Their compensation consists of a fixed base salary and a discretionary bonus that is not tied by formula to the performance of any fund or account. The factors taken into account in determining each of their bonuses includes the Fund’s performance, assets held in the Fund and other accounts managed by each of them, business growth, team work, management, corporate citizenship, etc.

A portion of the bonus may be paid in phantom shares of Credit Suisse Group AG stock as deferred compensation. Phantom shares are shares representing an unsecured right to receive on a particular date a specified number of registered shares subject to certain terms and conditions. A portion of the bonus will receive the notional return of the fund(s) the portfolio manager manages and a portion of the bonus will receive the notional return of a basket of other Credit Suisse funds along the product line of the portfolio manager.

Like all employees of Credit Suisse, portfolio managers participate in Credit Suisse Group AG’s profit sharing and 401 (k) plans.

Securities Ownership. The following table indicates the dollar range of equity securities in the Fund beneficially owned by the portfolio managers and the value of those shares as of October 31, 2021.

 

Name of Portfolio Manager(s)

  

Dollar Range of Equity Securities in
the Fund managed by the named
Portfolio  Manager*

    
Thomas J. Flannery    A   
Wing Chan    A   
David Mechlin    A   
Joshua Shedroff    A   

Ranges:

A. None

B. $1 - $10,000

C. $10,001 - $50,000

D. $50,001 - $100,000

E. Over $100,000

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

None.

 

22


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 most recent fiscal half-year covered by this report 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

During Credit Suisse High Yield Bond Fund’s (the “Fund”) most recent fiscal year ending October 31, 2021, State Street Bank and Trust Company (“State Street”) served as the fund’s securities lending agent.

As a securities lending agent, State Street is responsible for the implementation and administration of a Fund’s securities lending program. Pursuant to its respective Securities Lending Authorization Agreement (“Securities Lending Agreement”) with the Fund, State Street, as a general matter, performs various services, including the following:

 

   

lend available securities to institutions that are approved borrowers

 

   

determine whether a loan shall be made and negotiate and establish the terms and conditions of the loan with the borrower

 

   

ensure that all dividends and other distributions paid with respect to loaned securities are credited to the fund’s relevant account

 

23


   

receive and hold, on the fund’s behalf, or transfer to a fund account, upon instruction by the fund, collateral from borrowers to secure obligations of borrowers with respect to any loan of available securities

 

   

mark-to-market the market value of loaned securities relative to the market value of the collateral each business day

 

   

obtain additional collateral, as needed, in order to maintain the value of the collateral relative to the market value of the loaned securities at the levels required by the Securities Lending Agreement

 

   

at the termination of a loan, return the collateral to the borrower upon the return of the loaned securities

 

   

in accordance with the terms of the Securities Lending Agreement, invest cash collateral in permitted investments, including investments managed by the fund’s investment adviser

 

   

maintain records relating to the fund’s securities lending activity and provide to the fund a monthly statement describing, among other things, the loans made during the period, the income derived from the loans (or losses incurred) and the amounts of any fees or payments paid with respect to each loan

State Street is compensated for the above-described services from its securities lending revenue split. The tables below show the Fund earned and the fees and compensation it paid to service providers in connections with its securities lending activities during its most recent fiscal year.

 

24


Credit Suisse High Yield Bond Fund

Securities Lending Activities Income and Fees for Fiscal Year 2021

 

Gross income from securities lending activities

(including income from cash collateral reinvestment)

   $ 21,646  
  

 

 

 

Fees and/or compensation for securities lending activities and related services

  

Fees paid to securities lending agent from a revenue split

   $ 5,224  
  

 

 

 

Fees paid for any cash collateral management service (including fees deducted from a pooled cash collateral reinvestment vehicle) that are not included in the revenue split

     802  
  

 

 

 

Administrative fees not included in revenue split

     —    
  

 

 

 

Indemnification fee not included in revenue split

     —    
  

 

 

 

Rebate (paid to borrower)

   $ 0  
  

 

 

 

Other fees not included in revenue split

     —    
  

 

 

 

Aggregate fees/compensation for securities lending activities and related services

   $ 6,026  
  

 

 

 

Net income from securities lending activities

   $ 15,620  
  

 

 

 

Item  13. Exhibits.

(a)(1) Registrant’s Code of Ethics is an exhibit to this report.

(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.

(other) Iran related activities disclosure requirement.

 

25


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:  January 6, 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:  January 6, 2022

/s/ Omar Tariq

Name:  Omar Tariq

Title:  Chief Financial Officer and Treasurer

Date:  January 6, 2022

 

 

26

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