Credit Suisse High Yield Bond Fund
Statement of Assets and Liabilities
October 31, 2019
|
|
|
|
|
Assets
|
|
Investments at value, including collateral for securities on loan of $11,382,265
(Cost
$365,095,489) (Note 2)
|
|
$
|
353,308,353
|
1
|
Cash
|
|
|
11,835,050
|
|
Foreign currency at value (Cost $37,470)
|
|
|
37,823
|
|
Interest receivable
|
|
|
5,104,048
|
|
Receivable for investments sold
|
|
|
635,876
|
|
Prepaid expenses and other assets
|
|
|
7,287
|
|
|
|
|
|
|
Total assets
|
|
|
370,928,437
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Investment advisory fee payable (Note 3)
|
|
|
247,006
|
|
Administrative services fee payable (Note 3)
|
|
|
11,858
|
|
Loan payable (Note 4)
|
|
|
92,000,000
|
|
Payable upon return of securities loaned (Note 2)
|
|
|
11,382,265
|
|
Payable for investments purchased
|
|
|
4,442,203
|
|
Unrealized depreciation on forward foreign currency contracts (Note 2)
|
|
|
123,973
|
|
Trustees fee payable
|
|
|
47,323
|
|
Interest payable
|
|
|
24,903
|
|
Accrued expenses
|
|
|
81,179
|
|
|
|
|
|
|
Total liabilities
|
|
|
108,360,710
|
|
|
|
|
|
|
Net Assets
|
|
|
|
|
Applicable to 103,499,608 shares outstanding
|
|
$
|
262,567,727
|
|
|
|
|
|
|
Net Assets
|
|
|
|
|
Capital stock, $.001 par value (Note 6)
|
|
|
103,500
|
|
Paid-in capital (Note 6)
|
|
|
298,347,697
|
|
Total distributable earnings (loss)
|
|
|
(35,883,470
|
)
|
|
|
|
|
|
Net assets
|
|
$
|
262,567,727
|
|
|
|
|
|
|
Net Asset Value Per Share ($262,567,727 / 103,499,608)
|
|
|
$2.54
|
|
|
|
|
|
|
Market Price Per Share
|
|
|
$2.53
|
|
|
|
|
|
|
1
|
Includes $11,159,662 of securities on loan.
|
See Accompanying Notes to Financial Statements.
17
Credit Suisse High Yield Bond Fund
Statement of Operations
For the Year Ended
October 31, 2019
|
|
|
|
|
Investment Income
|
|
Interest
|
|
$
|
26,983,404
|
|
Dividends
|
|
|
83,296
|
|
Securities lending (net of rebates)
|
|
|
74,909
|
|
|
|
|
|
|
Total investment income
|
|
|
27,141,609
|
|
|
|
|
|
|
Expenses
|
|
|
|
|
Investment advisory fees (Note 3)
|
|
|
3,424,097
|
|
Administrative services fees (Note 3)
|
|
|
70,519
|
|
Interest expense (Note 4)
|
|
|
3,509,677
|
|
Trustees fees
|
|
|
124,870
|
|
Printing fees
|
|
|
111,243
|
|
Commitment fees (Note 4)
|
|
|
109,304
|
|
Audit and tax fees
|
|
|
51,905
|
|
Legal fees
|
|
|
39,652
|
|
Stock exchange listing fees
|
|
|
33,268
|
|
Custodian fees
|
|
|
25,411
|
|
Transfer agent fees (Note 3)
|
|
|
24,720
|
|
Insurance expense
|
|
|
6,081
|
|
Miscellaneous expense
|
|
|
10,556
|
|
|
|
|
|
|
Total expenses
|
|
|
7,541,303
|
|
Less: fees waived (Note 3)
|
|
|
(424,999
|
)
|
|
|
|
|
|
Net expenses
|
|
|
7,116,304
|
|
|
|
|
|
|
Net investment income
|
|
|
20,025,305
|
|
|
|
|
|
|
Net Realized and Unrealized Gain (Loss) from Investments, Foreign Currency and Forward Foreign
Currency Contracts
|
|
|
|
|
Net realized loss from investments
|
|
|
(1,326,659
|
)
|
Net realized loss from foreign currency transactions
|
|
|
(8,171
|
)
|
Net realized gain from forward foreign currency contracts
|
|
|
444,860
|
|
Net change in unrealized appreciation (depreciation) from investments
|
|
|
1,060,183
|
|
Net change in unrealized appreciation (depreciation) from foreign currency translations
|
|
|
90,364
|
|
Net change in unrealized appreciation (depreciation) from forward foreign currency contracts
|
|
|
(309,376
|
)
|
|
|
|
|
|
Net realized and unrealized loss from investments, foreign currency and Forward Foreign Currency
Contracts
|
|
|
(48,799
|
)
|
|
|
|
|
|
Net increase in net assets resulting from operations
|
|
$
|
19,976,506
|
|
|
|
|
|
|
See Accompanying Notes to Financial
Statements.
18
Credit Suisse High Yield Bond Fund
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
For the Year
Ended
October 31, 2019
|
|
|
For the Year
Ended
October 31, 2018
|
|
From Operations
|
|
|
|
|
|
|
|
|
Net investment income
|
|
$
|
20,025,305
|
|
|
$
|
21,872,626
|
|
Net realized gain (loss) from investments, foreign currency transactions and forward foreign currency
contracts
|
|
|
(889,970
|
)
|
|
|
671,243
|
|
Net change in unrealized appreciation (depreciation) from investments, foreign currency translations
and forward foreign currency contracts
|
|
|
841,171
|
|
|
|
(20,011,135
|
)
|
|
|
|
|
|
|
|
|
|
Net increase in net assets resulting from operations
|
|
|
19,976,506
|
|
|
|
2,532,734
|
|
|
|
|
|
|
|
|
|
|
From Distributions
|
|
|
|
|
|
|
|
|
From distributable earnings
|
|
|
(19,793,295
|
)
|
|
|
(21,867,417
|
)
|
Return of Capital
|
|
|
(3,903,530
|
)
|
|
|
(3,775,810
|
)
|
|
|
|
|
|
|
|
|
|
Net decrease in net assets resulting from distributions
|
|
|
(23,696,825
|
)
|
|
|
(25,643,227
|
)
|
|
|
|
|
|
|
|
|
|
From Capital Share Transactions (Note 6)
|
|
|
|
|
|
|
|
|
Issuance of 0 and 8,121 shares through the trustees compensation plan (Note 3)
|
|
|
|
|
|
|
22,495
|
|
Net proceeds from at-the-market offering cost (Note 7)
|
|
|
|
|
|
|
1,218,333
|
|
Reinvestment of dividends
|
|
|
55,828
|
|
|
|
135,165
|
|
|
|
|
|
|
|
|
|
|
Net increase in net assets from capital share transactions
|
|
|
55,828
|
|
|
|
1,375,993
|
|
|
|
|
|
|
|
|
|
|
Net decrease in net assets
|
|
|
(3,664,491
|
)
|
|
|
(21,734,500
|
)
|
Net Assets
|
|
|
|
|
|
|
|
|
Beginning of year
|
|
|
266,232,218
|
|
|
|
287,966,718
|
|
|
|
|
|
|
|
|
|
|
End of year
|
|
$
|
262,567,727
|
|
|
$
|
266,232,218
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes to Financial
Statements.
19
Credit Suisse High Yield Bond Fund
Statement of Cash Flows
October 31, 2019
|
|
|
|
|
|
|
|
|
Reconciliation of Net Increase in Net Assets from Operations to Net Cash Provided by Operating
Activities
|
|
|
|
|
|
|
|
|
Net increase in net assets resulting from operations
|
|
|
|
|
|
$
|
19,976,506
|
|
|
|
|
|
|
|
|
|
|
Adjustments to Reconcile Net Increase in Net Assets from Operations to Net Cash Provided by
Operating Activities
|
|
|
|
|
|
|
|
|
Decrease in interest receivable
|
|
$
|
1,210,528
|
|
|
|
|
|
Decrease in accrued expenses
|
|
|
(11,711
|
)
|
|
|
|
|
Decrease in payable upon return of securities loaned
|
|
|
(9,786,303
|
)
|
|
|
|
|
Decrease in interest payable
|
|
|
(28,448
|
)
|
|
|
|
|
Decrease in prepaid expenses and other assets
|
|
|
12,167
|
|
|
|
|
|
Decrease in unfunded loan commitments
|
|
|
(135,474
|
)
|
|
|
|
|
Decrease in advisory fees payable
|
|
|
(20,702
|
)
|
|
|
|
|
Net amortization of discount on investments
|
|
|
(1,439,902
|
)
|
|
|
|
|
Purchases of long-term securities, net of change in payable for investments purchased
|
|
|
(114,439,000
|
)
|
|
|
|
|
Sales of long-term securities, net of change in receivable for investments sold
|
|
|
155,023,267
|
|
|
|
|
|
Net proceeds from sales (purchases) of short-term securities
|
|
|
9,786,303
|
|
|
|
|
|
Net change in unrealized (appreciation) depreciation from investments and forward foreign currency
contracts
|
|
|
(750,807
|
)
|
|
|
|
|
Net realized loss from investments
|
|
|
1,326,659
|
|
|
|
|
|
Total adjustments
|
|
|
|
|
|
|
40,746,577
|
|
|
|
|
|
|
|
|
|
|
Net cash provided by operating
activities1
|
|
|
|
|
|
$
|
60,723,083
|
|
|
|
|
|
|
|
|
|
|
Cash Flows From Financing Activities
|
|
|
|
|
|
|
|
|
Borrowings on revolving credit facility
|
|
|
31,500,000
|
|
|
|
|
|
Repayments of credit facility
|
|
|
(63,500,000
|
)
|
|
|
|
|
Cash dividends paid
|
|
|
(23,640,997
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net cash provided by financing activities
|
|
|
|
|
|
|
(55,640,997
|
)
|
|
|
|
|
|
|
|
|
|
Net increase in cash
|
|
|
|
|
|
|
5,082,086
|
|
Cash beginning of year
|
|
|
|
|
|
|
6,790,787
|
|
|
|
|
|
|
|
|
|
|
Cash end of year
|
|
|
|
|
|
$
|
11,872,873
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Cash Activity:
|
|
|
|
|
|
|
|
|
Issuance of shares through dividend reinvestments
|
|
|
|
|
|
$
|
55,828
|
|
|
|
|
|
|
|
|
|
|
1
|
Included in net cash provided by operating activities is cash of $3,538,125 paid for interest on borrowings.
|
See Accompanying Notes to Financial Statements.
20
Credit Suisse High Yield Bond Fund
Financial Highlights
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Year Ended October 31,
|
|
|
|
2019
|
|
|
2018
|
|
|
2017
|
|
|
2016
|
|
|
2015
|
|
Per share operating performance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year
|
|
$
|
2.57
|
|
|
$
|
2.80
|
|
|
$
|
2.62
|
|
|
$
|
2.62
|
|
|
$
|
3.04
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INVESTMENT OPERATIONS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income1
|
|
|
0.20
|
|
|
|
0.21
|
|
|
|
0.23
|
|
|
|
0.25
|
|
|
|
0.26
|
|
Net gain (loss) on investments, foreign currency transactions and forward foreign currency contracts
(both realized and unrealized)
|
|
|
(0.00
|
)2
|
|
|
(0.19
|
)
|
|
|
0.22
|
|
|
|
0.03
|
|
|
|
(0.39
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total from investment activities
|
|
|
0.20
|
|
|
|
0.02
|
|
|
|
0.45
|
|
|
|
0.28
|
|
|
|
(0.13
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LESS DIVIDENDS AND DISTRIBUTIONS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from net investment income
|
|
|
(0.19
|
)
|
|
|
(0.21
|
)
|
|
|
(0.22
|
)
|
|
|
(0.24
|
)
|
|
|
(0.29
|
)
|
Return of capital
|
|
|
(0.04
|
)
|
|
|
(0.04
|
)
|
|
|
(0.05
|
)
|
|
|
(0.04
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total dividends and distributions
|
|
|
(0.23
|
)
|
|
|
(0.25
|
)
|
|
|
(0.27
|
)
|
|
|
(0.28
|
)
|
|
|
(0.29
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CAPITAL SHARE TRANSACTIONS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase to net asset value due to shares issued through at-the-market offerings
|
|
|
|
|
|
|
|
|
|
|
0.002
|
|
|
|
|
|
|
|
0.002
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, end of year
|
|
$
|
2.54
|
|
|
$
|
2.57
|
|
|
$
|
2.80
|
|
|
$
|
2.62
|
|
|
$
|
2.62
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Per share market value, end of year
|
|
$
|
2.53
|
|
|
$
|
2.35
|
|
|
$
|
2.84
|
|
|
$
|
2.44
|
|
|
$
|
2.40
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT RETURN3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value
|
|
|
8.54
|
%
|
|
|
0.68
|
%
|
|
|
17.90
|
%
|
|
|
12.75
|
%
|
|
|
(3.96
|
)%
|
Market value
|
|
|
18.23
|
%
|
|
|
(9.23
|
)%
|
|
|
28.40
|
%
|
|
|
14.63
|
%
|
|
|
(14.28
|
)%
|
|
|
|
|
|
|
RATIOS AND SUPPLEMENTAL DATA
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of year (000s omitted)
|
|
$
|
262,568
|
|
|
$
|
266,232
|
|
|
$
|
287,967
|
|
|
$
|
261,610
|
|
|
$
|
262,119
|
|
Ratio of expenses to average net assets
|
|
|
2.70
|
%
|
|
|
2.59
|
%
|
|
|
2.14
|
%
|
|
|
2.04
|
%
|
|
|
1.87
|
%
|
Ratio of expenses to average net assets excluding interest expense
|
|
|
1.37
|
%
|
|
|
1.41
|
%
|
|
|
1.38
|
%
|
|
|
1.45
|
%
|
|
|
1.37
|
%
|
Ratio of net investment income to average net assets
|
|
|
7.60
|
%
|
|
|
7.81
|
%
|
|
|
8.19
|
%
|
|
|
10.07
|
%
|
|
|
9.28
|
%
|
Decrease reflected in above operating expense ratios due to waivers/reimbursements
|
|
|
0.16
|
%
|
|
|
0.15
|
%
|
|
|
0.15
|
%
|
|
|
0.17
|
%
|
|
|
0.15
|
%
|
Average debt per share
|
|
$
|
1.06
|
|
|
$
|
1.20
|
|
|
$
|
1.13
|
|
|
$
|
1.11
|
|
|
$
|
1.37
|
|
Asset Coverage per $1,000 of Indebtedness
|
|
$
|
3,854
|
|
|
$
|
3,147
|
|
|
$
|
3,482
|
|
|
$
|
3,567
|
|
|
$
|
3,070
|
|
Portfolio turnover rate
|
|
|
32
|
%
|
|
|
42
|
%
|
|
|
65
|
%
|
|
|
49
|
%
|
|
|
41
|
%
|
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 Funds dividend reinvestment program. Total investment return at market value is based on the change in the market price at which the Funds shares
traded on the stock exchange during the period and assumes reinvestment of dividends and distributions, if any, at actual prices pursuant to the Funds dividend reinvestment program. Because the Funds 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.
|
See Accompanying Notes to Financial Statements.
21
Credit Suisse High Yield Bond Fund
Notes to Financial Statements
October 31, 2019
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 Funds 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 Funds valuation process. The Board has
delegated the supervision of the daily valuation process to Credit Suisse Asset Management, LLC, the Funds investment adviser (Credit Suisse or the Adviser), who has established a Pricing Committee which, pursuant to
the policies adopted by the Board, is responsible for making fair valuation determinations and overseeing the Funds pricing policies. The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock
Exchange, Inc. (the Exchange) on each day the Exchange is open for business. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized
mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation
techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar
securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional round lot size, but some trades occur in smaller odd lot sizes which may be effected at lower prices
than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established
by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the
differential in point rates to the expiration date of the forward and calculates its present value. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary
market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board to fair value certain securities. When fair value pricing is employed, the prices of securities used
by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed
by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more brokers/dealers or at the transaction price if the security has recently been purchased and no value has yet
been obtained from a pricing service or pricing broker. When reliable prices are
22
Credit Suisse High Yield Bond Fund
Notes to Financial Statements (continued)
October 31,
2019
Note 2. Significant Accounting Policies (continued)
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 Funds own assumptions in determining the fair
value of investments)
|
The inputs or methodologies used to value securities are not necessarily an indication of the risk
associated with investing in those securities.
The following is a summary of the inputs used as of October 31, 2019 in valuing the
Funds assets and liabilities carried at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
|
$
|
|
|
|
$
|
254,757,845
|
|
|
$
|
3,667
|
|
|
$
|
254,761,512
|
|
Bank Loans
|
|
|
|
|
|
|
63,326,651
|
|
|
|
16,330,150
|
|
|
|
79,656,801
|
|
Asset Backed Security
|
|
|
|
|
|
|
1,446,769
|
|
|
|
|
|
|
|
1,446,769
|
|
Common Stocks
|
|
|
2,347,950
|
|
|
|
13,946
|
|
|
|
3,699,110
|
|
|
|
6,061,006
|
|
Warrants
|
|
|
|
|
|
|
|
|
|
|
0
|
(1)
|
|
|
0
|
(1)
|
Short-term Investment
|
|
|
|
|
|
|
11,382,265
|
|
|
|
|
|
|
|
11,382,265
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,347,950
|
|
|
$
|
330,927,476
|
|
|
$
|
20,032,927
|
|
|
$
|
353,308,353
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Other Financial Instruments*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Contracts
|
|
$
|
|
|
|
$
|
123,973
|
|
|
$
|
|
|
|
$
|
123,973
|
|
|
(1)
|
Includes zero valued securities.
|
|
*
|
Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency
contracts.
|
23
Credit Suisse High Yield Bond Fund
Notes to Financial Statements (continued)
October 31,
2019
Note 2. Significant Accounting Policies (continued)
The following is a reconciliation of investments as of October 31, 2019 for which
significant unobservable inputs were used in determining fair value. All transfers, if any, are assumed to occur at the end of the reporting period.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate
Bonds
|
|
|
Bank
Loans
|
|
|
Common
Stocks
|
|
|
Preferred
Stock
|
|
|
Warrants
|
|
|
Total
|
|
Balance as of October 31, 2018
|
|
$
|
1,554,070
|
|
|
$
|
15,532,190
|
|
|
$
|
3,450,657
|
|
|
$
|
0
|
(1)
|
|
$
|
|
|
|
$
|
20,536,917
|
|
Accrued discounts (premiums)
|
|
|
3,400
|
|
|
|
714,610
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
718,010
|
|
Purchases
|
|
|
254,291
|
|
|
|
8,842,510
|
|
|
|
646,636
|
|
|
|
|
|
|
|
11,699
|
|
|
|
9,755,136
|
|
Sales
|
|
|
(266,817
|
)
|
|
|
(8,774,756
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(9,041,573
|
)
|
Realized gain (loss)
|
|
|
8,192
|
|
|
|
(2,153,500
|
)
|
|
|
(231,540
|
)
|
|
|
(250,835
|
)
|
|
|
|
|
|
|
(2,627,683
|
)
|
Change in unrealized appreciation (depreciation)
|
|
|
(26,597
|
)
|
|
|
653,390
|
|
|
|
(152,697
|
)
|
|
|
250,835
|
|
|
|
(11,699
|
)
|
|
|
713,232
|
|
Transfers into Level 3
|
|
|
|
|
|
|
7,564,983
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,564,983
|
|
Transfers out of Level 3
|
|
|
(1,522,872
|
)
|
|
|
(6,049,277
|
)
|
|
|
(13,946
|
)
|
|
|
|
|
|
|
|
|
|
|
(7,586,095
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance as of October 31, 2019
|
|
$
|
3,667
|
|
|
$
|
16,330,150
|
|
|
$
|
3,699,110
|
|
|
$
|
|
|
|
$
|
0
|
(1)
|
|
$
|
20,032,927
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net change in unrealized appreciation (depreciation) from investments still held as of
October 31, 2019
|
|
$
|
(6,112
|
)
|
|
$
|
(273,883
|
)
|
|
$
|
382,816
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
102,821
|
|
|
(1)
|
Includes zero valued securities.
|
Quantitative Disclosure About Significant Unobservable Inputs
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Class
|
|
Fair Value
at 10/31/2019
|
|
|
Valuation
Techniques
|
|
|
Unobservable
Input
|
|
|
Range
(Weighted Average)*
|
Corporate Bonds
|
|
$
|
3,667
|
|
|
|
Income Approach
|
|
|
|
Expected Remaining Distribution
|
|
|
$0.01 (N/A)
|
Bank Loans
|
|
$
|
16,330,150
|
|
|
|
Vendor Pricing
|
|
|
|
Single Broker Quote
|
|
|
$0.87-$1.00 ($0.95)
|
Common Stocks
|
|
$
|
42
|
|
|
|
Income Approach
|
|
|
|
Expected Remaining Distribution
|
|
|
$0.00-$1.00 ($0.95)
|
|
|
$
|
1,230,975
|
|
|
|
Market Approach
|
|
|
|
EBITDA Multiples
|
|
|
3.0-5.9(5.8)
|
|
|
$
|
2,468,092
|
|
|
|
Vendor Pricing
|
|
|
|
Single Broker Quote
|
|
|
$22.50 (N/A)
|
Warrants
|
|
$
|
0
|
|
|
|
Market Approach
|
|
|
|
EBITDA Multiples
|
|
|
4.9 (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
companys financial statements, the companys products or intended markets or the companys technologies; (iii) the price of the same or similar security negotiated at arms length in an issuers completed subsequent
round of financing; (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies; or (v) a probability and time value adjusted analysis of contractual term. Where available and appropriate,
multiple valuation methodologies are applied to confirm fair value. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, determining fair value requires more judgment. Because of the
inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the investments existed. Accordingly, the degree of judgment exercised by the Fund in
determining fair value is greatest for investments categorized in Level 3. In some circumstances, the inputs used to measure fair value might be categorized within different levels of the fair value hierarchy. In those instances, the fair value
measurement is categorized in its entirety in the fair value hierarchy based on the least observable input that is
24
Credit Suisse High Yield Bond Fund
Notes to Financial Statements (continued)
October 31,
2019
Note 2. Significant Accounting Policies (continued)
significant to the fair value measurement. Additionally, changes in the market environment and other events
that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different from the valuations used at the date of these financial statements.
For the year ended October 31, 2019, $7,564,983 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by
observable inputs and $7,586,095 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 funds 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, 2019 and the effect of these derivatives on the Statement of Operations for the year ended October 31, 2019.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Primary Underlying Risk
|
|
Derivative
Assets
|
|
|
Derivative
Liabilities
|
|
|
Realized
Gain (Loss)
|
|
|
Change in Unrealized
Appreciation(Depreciation)
|
|
Foreign currency exchange rate forward contracts
|
|
$
|
|
|
|
$
|
123,973
|
|
|
$
|
444,860
|
|
|
$
|
(309,376
|
)
|
For the year ended October 31, 2019, the Fund held an average monthly value on a net basis of $11,481,022
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 Funds net assets below a specified threshold over a certain period of time.
The following table
presents by counterparty the Funds derivative liabilities, net of related collateral pledged by the Fund, at October 31, 2019:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty
|
|
Gross Amount of
Derivative Liabilities
Presented in
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
|
|
Morgan Stanley
|
|
$
|
123,973
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
123,973
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
Forward foreign currency contracts are included.
|
C) FOREIGN CURRENCY TRANSACTIONS The books and records of the Fund are maintained in U.S. dollars. Transactions denominated in foreign
currencies are recorded at the current prevailing exchange rates. All assets and liabilities denominated in foreign currencies, including purchases and sales of investments, and income and expenses, are translated into US dollar amounts on the date
of those transactions.
25
Credit Suisse High Yield Bond Fund
Notes to Financial Statements (continued)
October 31,
2019
Note 2. Significant Accounting Policies (continued)
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 Funds 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-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 Funds 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 Funds intention to continue to qualify as a regulated investment company (RIC) under the Internal Revenue Code of 1986, as amended (the Code), and to make the requisite distributions to its shareholders, which
will be sufficient to relieve it from federal income and excise taxes.
In order to qualify as a RIC under the Code, the Fund must meet
certain requirements regarding the source of its income, the diversification of its assets and the distribution of its income. One of these requirements is that the Fund derive at least 90% of its gross income for each taxable year from dividends,
interest, payments with respect to certain securities loans, gains from the sale or other disposition of stock, securities or foreign currencies, other
26
Credit Suisse High Yield Bond Fund
Notes to Financial Statements (continued)
October 31,
2019
Note 2. Significant Accounting Policies (continued)
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 authoritys 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 Funds financial statements. The
Funds 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 Funds uninvested cash balance is held in an interest bearing variable rate demand deposit account at State Street Bank
and Trust Company (SSB), the Funds 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 Funds open forward currency contracts at October 31, 2019 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, 2019, the fund has no unfunded loan commitments.
Unfunded loan commitments and funded portions of credit agreements are marked to market daily and any unrealized appreciation or depreciation
is included in the Statement of Assets and Liabilities and the Statement of Operations.
K) SECURITIES LENDING The initial
collateral received by the Fund is required to have a value of at least 102% of the market value of domestic securities on loan (including any accrued interest thereon) and 105% of the
27
Credit Suisse High Yield Bond Fund
Notes to Financial Statements (continued)
October 31,
2019
Note 2. Significant Accounting Policies (continued)
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 Funds 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.
SSB has been engaged by the Fund to act as
the Funds securities lending agent. As of October 31, 2019, the Fund had investment securities on loan with a fair value of $11,159,662. Collateral received for securities loaned and a related liability of $11,382,265 are presented gross
in the Statement of Assets and Liabilities. The collateral for securities loaned is valued consistently with the other investments held by the Fund and is included in Level 2 of the fair value hierarchy. As of October 31, 2019, the value of the
related collateral exceeded the value of the securities loaned.
The Funds 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, 2019, total earnings from the Funds investment in cash collateral received in
connection with securities lending arrangements was $305,405, of which $205,506 was rebated to borrowers (brokers). The Fund retained $74,909 in income from the cash collateral investment, and SSB, as lending agent, was paid $24,990.
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 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 Funds exposure to credit and counterparty risks in respect to these financial assets approximates their carrying value as recorded in
the Funds 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 Funds net asset value.
M) RECENT ACCOUNTING
PRONOUNCEMENTS In March 2017, the FASB issued Accounting Standards Update 2017-08, Receivables Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization On Purchased Callable Debt Securities
(ASU 2017-08). The update shortens the amortization period for the premium on
28
Credit Suisse High Yield Bond Fund
Notes to Financial Statements (continued)
October 31,
2019
Note 2. Significant Accounting Policies (continued)
certain purchased callable debt securities to the earliest call date. ASU 2017-08 will be effective for
annual periods beginning after December 15, 2018. Management is currently assessing the potential impact of these changes to future financial statements.
Also, in August 2018, the FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework
Changes to the Disclosure Requirements for Fair Value Measurement (ASU 2018-13). The update provides guidance that eliminates, adds and modifies certain disclosure requirements for fair value measurements. ASU 2018-13 will be
effective for annual periods beginning after December 15, 2019. Management is currently assessing the potential impact of these changes to future financial statements.
N) SUBSEQUENT EVENTS In preparing the financial statements as of October 31, 2019, 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.
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 Funds total assets minus the sum of liabilities (other than aggregate indebtedness constituting leverage) and 0.75% of the average weekly
value of the Funds 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 October 31, 2019, investment advisory fees earned and voluntarily waived were $3,424,097 and
$424,999, respectively. 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, 2019, administrative services fees earned by SSB (including out-of-pocket expenses) with respect to the Fund
were $70,519.
Prior to March 12, 2018, the Independent Trustees received a minimum of fifty percent (50%) of their annual
retainer in the form of shares. During the year ended October 31, 2019 and 2018, 0 shares and 8,121 shares, respectively, were issued through the Trustees compensation plan. Trustees as a group own less than 1% of the Funds
outstanding shares.
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) $140,000,000; b) an amount that is no greater than 331⁄3% of the Funds
29
Credit Suisse High Yield Bond Fund
Notes to Financial Statements (continued)
October 31,
2019
Note 4. Line of Credit (continued)
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 of 0.25% on the unused amount. In addition, the Fund pays interest on borrowings at LIBOR plus a spread. At October 31, 2019, the
Fund had loans outstanding under the Agreement of $92,000,000. The Agreement was renewed on November 22, 2019 with a new termination date of November 20, 2020. During the year ended October 31, 2019, the Fund had borrowings under the Agreement
as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Daily
Loan Balance
|
|
|
Weighted Average
Interest Rate %
|
|
|
Maximum Daily
Loan Outstanding
|
|
|
Interest Expense
|
|
$
|
109,609,589
|
|
|
|
3.16
|
%
|
|
$
|
124,000,000
|
|
|
$
|
3,509,677
|
|
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 Funds 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 Funds 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 Funds leveraged position if
it deems such action to be appropriate under the circumstances. During periods in which the Fund is utilizing leverage, the management fee will be higher than if the Fund did not utilize a leveraged capital structure because the fee is calculated as
a percentage of the managed assets including those purchased with leverage.
Certain types of borrowings by the Fund may result in the Fund
being subject to covenants in credit agreements, including those relating to asset coverage and portfolio composition requirements. The securities held by the Fund are subject to a lien granted to the lender, to the extent of the borrowing
outstanding and any additional expenses. The Funds 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 Funds 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 Funds 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 Funds 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 Funds best interest to do
so.
Note 5. Purchases and Sales of Securities
For the year ended October 31, 2019, purchases and sales of investment securities (excluding short-term investments) were $115,415,614 and
$155,260,968, respectively.
30
Credit Suisse High Yield Bond Fund
Notes to Financial Statements (continued)
October 31,
2019
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 Funds common stock on the payment date, or (ii) 95% of the market
price per share of the Funds common stock on the payment date. If the NAV of the Funds 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, 2019
|
|
|
For the Year Ended
October 31, 2018
|
|
Shares issued through the Trustees compensation plan
|
|
|
|
|
|
|
8,121
|
|
Shares issued through at-the-market offerings
|
|
|
|
|
|
|
435,920
|
|
Shares issued through reinvestment of dividends
|
|
|
21,837
|
|
|
|
49,429
|
|
|
|
|
|
|
|
|
|
|
Net increase
|
|
|
21,837
|
|
|
|
493,470
|
|
|
|
|
|
|
|
|
|
|
Note 7. Shelf Offering
The Fund has an effective shelf registration statement. The shelf registration statement enables the Fund to issue up to
$90,000,000 in proceeds through one or more public offerings. Shares may be offered at prices and terms to be set forth in one or more supplements to the Funds prospectus included in the shelf registration statement. Transactions in shares of
common stock in at-the-market offerings, resulting in proceeds (net of commissions) to the Fund were as follows:
|
|
|
|
|
|
|
|
|
|
|
For the Year Ended
October 31, 2019
|
|
|
For the Year Ended
October 31, 2018
|
|
Shares issued through at-the-market offerings
|
|
|
|
|
|
|
435,920
|
|
Proceeds (net of commissions)
|
|
$
|
|
|
|
$
|
1,218,333
|
|
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 and distributions paid by the Fund during the fiscal years ended October 31, 2019 and 2018, respectively,
was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ordinary Income
|
|
|
Return of Capital
|
|
2019
|
|
|
2018
|
|
|
2019
|
|
|
2018
|
|
$
|
19,793,295
|
|
|
$
|
21,867,417
|
|
|
$
|
3,903,530
|
|
|
$
|
3,775,810
|
|
The tax basis components of distributable earnings differ from the amounts reflected in the Statement of Assets
and Liabilities by temporary book/tax differences. These differences are primarily due to differing treatments of
31
Credit Suisse High Yield Bond Fund
Notes to Financial Statements (continued)
October 31,
2019
Note 8. Income Tax Information and Distributions to Shareholders (continued)
wash sales and marked to market of forward contracts. At October 31, 2019, the components of distributable
earnings on a tax basis were as follows:
|
|
|
|
|
Accumulated realized loss
|
|
$
|
(24,053,939
|
)
|
Unrealized depreciation
|
|
|
(11,829,531
|
)
|
|
|
|
|
|
|
|
$
|
(35,883,470
|
)
|
|
|
|
|
|
At October 31, 2019, the Fund had unlimited long-term capital loss carryforward available to offset possible
future capital gains as follows:
|
|
|
Unlimited Long-Term
Loss Carryforwards
|
|
$
|
24,053,939
|
|
At October 31, 2019, the cost and net unrealized appreciation (depreciation) of investments and
derivatives for income tax purposes were as follows:
|
|
|
|
|
Cost of Investments
|
|
$
|
365,014,423
|
|
|
|
|
|
|
Unrealized appreciation
|
|
$
|
11,108,949
|
|
Unrealized depreciation
|
|
|
(22,938,992
|
)
|
|
|
|
|
|
Net unrealized appreciation (depreciation)
|
|
$
|
(11,830,043
|
)
|
|
|
|
|
|
To adjust for current period permanent book/tax differences which arose principally from differing book/tax
treatment of foreign currency gain (loss), net investment income was debited $232,010 and accumulated net realized gain was credited $232,010. Net assets were not affected by these reclassifications.
Note 9. Contingencies
In the normal
course of business, the Fund may provide general indemnifications pursuant to certain contracts and organizational documents. The Funds 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.
32
Credit Suisse High Yield Bond Fund
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees
Credit Suisse High
Yield Bond Fund.:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Credit Suisse High Yield Bond Fund (the Fund), including the schedule of investments,
as of October 31, 2019, the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and
the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial
highlights present fairly, in all material respects, the financial position of the Fund as of October 31, 2019, the results of its operations and cash flows for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting
principles.
Basis for Opinion
These financial
statements and financial highlights are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements and financial highlights 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 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 and financial highlights 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 and financial highlights, 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 and financial highlights. Such procedures also included confirmation of securities owned as of October 31, 2019, by correspondence with custodians and brokers or by other appropriate auditing
procedures when replies were not received. 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 and financial
highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Credit Suisse Asset Management, LLC investment companies since 2015.
New York, New York
December 20, 2019
33
Credit Suisse High Yield Bond Fund