Credit Suisse Commodity Return Strategy Fund
Consolidated Schedule of Investments
July 31, 2021 (unaudited)
Par
(000) | | Ratings†
(S&P/Moody’s) | | Maturity | | Rate% | | | Value | |
UNITED STATES AGENCY OBLIGATIONS (41.7%) | | | | | | | | | | |
$ | 5,800 | | Federal Farm Credit Banks, USBMMY3M + 0.115% (1) | | (AA+, Aaa) | | 02/24/22 | | 0.165 | | $ | 5,803,718 | |
| 28,000 | | Federal Farm Credit Banks, USBMMY3M + 0.270% (1) | | (AA+, Aaa) | | 05/16/22 | | 0.320 | | | 28,058,929 | |
| 40,000 | | Federal Farm Credit Banks, SOFR + 0.310% (1) | | (AA+, Aaa) | | 11/07/22 | | 0.360 | | | 40,156,458 | |
| 20,000 | | Federal Farm Credit Banks, USBMMY3M + 0.420% (1) | | (AA+, Aaa) | | 11/07/22 | | 0.470 | | | 20,103,480 | |
| 10,000 | | Federal Farm Credit Banks, FEDL01 + 0.030% (1) | | (AA+, Aaa) | | 03/09/23 | | 0.130 | | | 10,005,171 | |
| 61,000 | | Federal Farm Credit Banks, USBMMY3M + 0.035% (1) | | (AA+, Aaa) | | 05/03/23 | | 0.085 | | | 61,004,427 | |
| 110,600 | | Federal Farm Credit Banks, SOFR + 0.380% (1) | | (AA+, Aaa) | | 05/08/23 | | 0.430 | | | 111,292,581 | |
| 5,600 | | Federal Farm Credit Banks | | (AA+, Aaa) | | 09/01/23 | | 0.300 | | | 5,599,920 | |
| 8,000 | | Federal Farm Credit Banks, SOFR + 0.135% (1) | | (AA+, Aaa) | | 11/06/23 | | 0.185 | | | 8,016,414 | |
| 25,500 | | Federal Home Loan Banks, LIBOR 1M + 0.000% (1) | | (AA+, Aaa) | | 10/15/21 | | 0.093 | | | 25,503,043 | |
| 42,000 | | Federal Home Loan Banks, SOFR + 0.150% (1) | | (AA+, Aaa) | | 11/15/21 | | 0.200 | | | 42,018,085 | |
| 14,700 | | Federal Home Loan Banks | | (AA+, Aaa) | | 03/29/22 | | 0.060 | | | 14,701,801 | |
| 5,300 | | Federal Home Loan Banks | | (AA+, Aaa) | | 02/26/26 | | 0.620 | | | 5,278,090 | |
| 11,000 | | Federal Home Loan Bank Discount Notes (2) | | (AA+, Aaa) | | 09/17/21 | | 0.010 | | | 10,999,578 | |
| 36,900 | | Federal Home Loan Mortgage Corp., SOFR + 0.145% (1) | | (AA+, Aaa) | | 12/09/21 | | 0.195 | | | 36,917,886 | |
| 59,800 | | Federal Home Loan Mortgage Corp., SOFR + 0.130% (1) | | (AA+, Aaa) | | 08/05/22 | | 0.180 | | | 59,871,488 | |
| 19,000 | | Federal Home Loan Mortgage Corp. | | (AA+, Aaa) | | 05/05/23 | | 0.375 | | | 19,070,516 | |
| 16,500 | | Federal Home Loan Mortgage Corp. | | (AA+, Aaa) | | 05/24/24 | | 0.400 | | | 16,500,348 | |
| 23,000 | | Federal Home Loan Mortgage Corp. | | (AA+, Aaa) | | 06/18/24 | | 0.430 | | | 22,996,758 | |
| 24,500 | | Federal Home Loan Mortgage Corp. | | (AA+, Aaa) | | 07/21/25 | | 0.375 | | | 24,331,429 | |
| 6,300 | | Federal National Mortgage Association, SOFR + 0.320% (1) | | (AA+, Aaa) | | 10/22/21 | | 0.370 | | | 6,304,139 | |
| 34,000 | | Federal National Mortgage Association, SOFR + 0.360% (1) | | (AA+, Aaa) | | 01/20/22 | | 0.410 | | | 34,056,712 | |
| 25,000 | | Federal National Mortgage Association, SOFR + 0.300% (1) | | (AA+, Aaa) | | 01/27/22 | | 0.350 | | | 25,039,702 | |
| 97,500 | | Federal National Mortgage Association, SOFR + 0.350% (1) | | (AA+, Aaa) | | 04/07/22 | | 0.400 | | | 97,727,857 | |
| 33,100 | | Federal National Mortgage Association, SOFR + 0.390% (1) | | (AA+, Aaa) | | 04/15/22 | | 0.440 | | | 33,189,932 | |
| 24,000 | | Federal National Mortgage Association, SOFR + 0.180% (1) | | (AA+, Aaa) | | 05/13/22 | | 0.230 | | | 24,034,183 | |
| 28,800 | | Federal National Mortgage Association | | (AA+, Aaa) | | 05/22/23 | | 0.250 | | | 28,867,916 | |
| 27,000 | | Federal National Mortgage Association | | (AA+, Aaa) | | 07/10/23 | | 0.250 | | | 27,036,029 | |
| 3,000 | | Federal National Mortgage Association | | (AA+, Aaa) | | 11/27/23 | | 0.250 | | | 3,001,402 | |
| 7,000 | | Federal National Mortgage Association | | (AA+, Aaa) | | 06/14/24 | | 0.375 | | | 6,998,342 | |
| 21,400 | | Federal National Mortgage Association | | (AA+, Aaa) | | 04/22/25 | | 0.625 | | | 21,503,108 | |
| 23,500 | | Federal National Mortgage Association | | (AA+, Aaa) | | 06/17/25 | | 0.500 | | | 23,471,420 | |
| | | | | | | | | | | | | |
TOTAL UNITED STATES AGENCY OBLIGATIONS
(Cost $897,604,795) | | | | | | | | | 899,460,862 | |
| | | | | | | | | | | | | |
UNITED STATES TREASURY OBLIGATIONS (51.5%) | | | | | | | | | | |
| 25,000 | | United States Treasury Bills (2) | | (AA+, Aaa) | | 08/19/21 | | 0.015 | | | 24,999,587 | |
| 4,000 | | United States Treasury Bills (2) | | (AA+, Aaa) | | 08/19/21 | | 0.033 | | | 3,999,935 | |
| 19,000 | | United States Treasury Bills (2) | | (AA+, Aaa) | | 08/19/21 | | 0.048 | | | 18,999,549 | |
| 2,500 | | United States Treasury Bills (2) | | (AA+, Aaa) | | 09/02/21 | | 0.060 | | | 2,499,919 | |
| 21,000 | | United States Treasury Bills (2) | | (AA+, Aaa) | | 10/21/21 | | 0.043 | | | 20,997,900 | |
| 30,000 | | United States Treasury Bills (2) | | (AA+, Aaa) | | 11/18/21 | | 0.030 | | | 29,995,725 | |
| 11,000 | | United States Treasury Bills (2) | | (AA+, Aaa) | | 04/21/22 | | 0.065 | | | 10,996,598 | |
| 32,500 | | United States Treasury Floating Rate Notes, USBMMY3M + 0.300% (1) | | (AA+, Aaa) | | 10/31/21 | | 0.350 | | | 32,525,107 | |
| 50,000 | | United States Treasury Floating Rate Notes, USBMMY3M + 0.154% (1),(3) | | (AA+, Aaa) | | 01/31/22 | | 0.204 | | | 50,039,733 | |
| 139,900 | | United States Treasury Floating Rate Notes, USBMMY3M + 0.114% (1),(3),(4) | | (AA+, Aaa) | | 04/30/22 | | 0.164 | | | 140,018,590 | |
| 177,500 | | United States Treasury Floating Rate Notes, USBMMY3M + 0.055% (1),(3) | | (AA+, Aaa) | | 07/31/22 | | 0.105 | | | 177,595,002 | |
| 76,000 | | United States Treasury Floating Rate Notes, USBMMY3M + 0.055% (1),(3) | | (AA+, Aaa) | | 10/31/22 | | 0.105 | | | 76,046,176 | |
| 250,000 | | United States Treasury Floating Rate Notes, USBMMY3M + 0.049% (1) | | (AA+, Aaa) | | 01/31/23 | | 0.099 | | | 250,149,932 | |
| 259,800 | | United States Treasury Floating Rate Notes, USBMMY3M + 0.034% (1) | | (AA+, Aaa) | | 04/30/23 | | 0.084 | | | 259,876,093 | |
| 10,500 | | United States Treasury Notes | | (AA+, Aaa) | | 04/30/23 | | 0.125 | | | 10,494,873 | |
| | | | | | | | | | |
TOTAL UNITED STATES TREASURY OBLIGATIONS
(Cost $1,108,843,129) | | | | | | | | | 1,109,234,719 | |
| | | | | | | | | | | | | |
TOTAL INVESTMENTS AT VALUE (93.2%) (Cost $2,006,447,924) | | | | | | | | $ | 2,008,695,581 | |
| | | | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES (6.8%) | | | | | | | | | 146,616,584 | |
| | | | | | | | | | |
NET ASSETS (100.0%)(5) | | | | | | | | $ | 2,155,312,165 | |
† 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) Variable rate obligation - The interest rate shown is the rate in effect as of July 31, 2021.
(2) Securities are zero coupon. Rate presented is yield to maturity as of July 31, 2021.
(3) At July 31, 2021, $23,285,058 in the value of these securities has been pledged as collateral for open swap contracts.
(4) At July 31, 2021, $2,001,680 in the value of this security has been pledged to cover initial margin requirements for open futures contracts.
(5) As of July 31, 2021, the Credit Suisse Commodity Return Strategy Fund held $430,362,439 in the wholly-owned subsidiary, Credit Suisse Cayman Commodity Return Strategy Fund, Ltd., representing 20.0% of the Fund’s consolidated net assets.
INVESTMENT ABBREVIATIONS
1M = 1 Month
FEDL01 = Federal Funds Rate
LIBOR = London Interbank Offered Rate
SOFR = Secured Overnight Financing Rate
USBMMY3M = U.S. Treasury 3 Month Bill Money Market Yield
Futures Contracts
Contract Description | | Currency | | Expiration
Date | | Number of
Contracts | | Notional Value | | Net Unrealized
Appreciation
(Depreciation) | |
Contracts to Purchase | | | | | | | | | | | |
Energy | | | | | | | | | | | |
Light Sweet Crude Oil Futures | | USD | | Jun 2022 | | 333 | | $ | 22,557,420 | | $ | 97,306 | |
Contracts to Sell | | | | | | | | | | | |
Energy | | | | | | | | | | | |
Light Sweet Crude Oil Futures | | USD | | Dec 2021 | | (333 | ) | (23,832,810 | ) | $ | (120,105 | ) |
| | | | | | | | | | | |
| | | | | | | | | | $ | (22,799 | ) |
| | | | | | | | | | | | | |
Commodity Index Swap Contracts
Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive
Return of the
Reference
Index | | Pay | | Payment
Frequency | | Upfront
Premiums
Paid/
(Received) | | Net Unrealized
Appreciation
(Depreciation) | |
USD | | $ | 16,270,607 | | 08/24/21 | | Bank of America | | BofA Merrill Lynch Commodity MLCILP2 Total Return Strategy(a) | | 0.21 | % | At Maturity | | $ | — | | $ | 504,668 | |
USD | | 244,686,211 | | 08/24/21 | | Bank of America | | Merrill Lynch Commodity Index Extra CS2T Total Return(b) | | 0.31 | % | At Maturity | | — | | 7,785,511 | |
USD | | 103,075,559 | | 08/24/21 | | Bank of America | | Bloomberg Commodity Index 2 Month Forward Total Return | | 0.17 | % | At Maturity | | — | | 3,201,386 | |
USD | | 91,045,444 | | 08/24/21 | | BNP Paribas | | Bloomberg Commodity Index 2 Month Forward Total Return | | 0.19 | % | At Maturity | | — | | 2,827,199 | |
| | | | | | | | | | | | | | | | | | | | |
Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive
Return of the
Reference
Index | | Pay | | Payment
Frequency | | Upfront
Premiums
Paid/
(Received) | | Net Unrealized
Appreciation
(Depreciation) | |
USD | | $ | 202,919,972 | | 08/24/21 | | Citigroup | | Bloomberg Commodity Index 2 Month Forward Total Return | | 0.18 | % | At Maturity | | — | | $ | 6,301,860 | |
USD | | 224,298,709 | | 08/24/21 | | Goldman Sachs | | Bloomberg Commodity Index 2 Month Forward Total Return | | 0.17 | % | At Maturity | | — | | 6,966,411 | |
USD | | 73,742,874 | | 08/24/21 | | Goldman Sachs | | Bloomberg Commodity Index Total Return | | 0.15 | % | At Maturity | | — | | 2,339,998 | |
USD | | 97,350,382 | | 08/24/21 | | JPMorgan Chase | | Bloomberg Commodity Index Total Return | | 0.15 | % | At Maturity | | — | | 2,736,353 | |
USD | | 103,111,507 | | 08/24/21 | | Macquarie Bank Ltd. | | Bloomberg Commodity Index Total Return | | 0.14 | % | At Maturity | | — | | 3,272,202 | |
USD | | 243,240,995 | | 08/24/21 | | Macquarie Bank Ltd. | | Macquarie Commodity Customized Product 112T Index(c) | | 0.31 | % | At Maturity | | — | | 7,606,243 | |
USD | | 96,877,941 | | 08/24/21 | | Morgan Stanley | | Bloomberg Commodity Index 2 Month Forward Total Return | | 0.19 | % | At Maturity | | — | | 3,008,365 | |
USD | | 260,083,391 | | 08/24/21 | | RBC Capital | | Bloomberg Commodity Index Total Return | | 0.17 | % | At Maturity | | — | | 8,251,503 | |
USD | | 243,424,355 | | 08/24/21 | | Societe Generale | | Societe Generale P04 TR Index(d) | | 0.31 | % | At Maturity | | — | | 7,549,052 | |
USD | | 90,941,335 | | 08/24/21 | | UBS | | Bloomberg Commodity Index Total Return | | 0.16 | % | At Maturity | | — | | 2,885,488 | |
| | | | | | | | | | | | | | | | $ | 65,236,239 | |
| | | | | | | | | | | | | | | | | | | |
(a) The index seeks to provide exposure to a diversified group of commodities, inclusive of energy, grains, meats, metals, precious, softs, and textiles. The Fund has indirect exposure to all of the below underlying positions that make up the custom index. When applicable, the table is limited to the largest 50 positions (based on absolute market value) and any other position where the notional value for the position exceeds 1% of the notional value of the index.
Commodity Name | | Weight | | Quantity(1) | | 7/31/21 Value(1) | |
COMEX Gold DEC 21 Futures | | 11.68 | % | 10.78 | | 1,959,240 | |
ICE Brent Crude Oil JAN 22 Futures | | 7.74 | % | 17.76 | | 1,297,764 | |
NYMEX Nat Gas JAN 22 Futures | | 7.66 | % | 30.99 | | 1,285,674 | |
NYMEX WTI Crude Oil JAN 22 Futures | | 6.98 | % | 16.54 | | 1,171,044 | |
COMEX High Grade Copper DEC 21 Futures | | 5.46 | % | 8.22 | | 915,957 | |
CBOT Corn DEC 21 Futures | | 5.18 | % | 31.86 | | 868,637 | |
CME Live Cattle DEC 21 Futures | | 3.73 | % | 11.78 | | 625,139 | |
CBOT Soybeans JAN 22 Futures | | 3.58 | % | 8.87 | | 600,522 | |
NYBOT Coffee DEC 21 Futures | | 3.46 | % | 8.49 | | 580,808 | |
COMEX Silver DEC 21 Futures | | 3.43 | % | 4.50 | | 575,965 | |
LME Aluminium JAN 22 Futures | | 3.29 | % | 8.55 | | 551,720 | |
NYBOT Sugar MAR 22 Futures | | 2.96 | % | 24.08 | | 497,126 | |
CBOT Bean Oil JAN 22 Futures | | 2.80 | % | 12.56 | | 469,660 | |
CBOT Wheat DEC 21 Futures | | 2.69 | % | 12.66 | | 451,180 | |
NYMEX Nat Gas NOV 21 Futures | | 2.67 | % | 11.27 | | 448,700 | |
NYMEX WTI Crude Oil NOV 21 Futures | | 2.60 | % | 6.01 | | 435,638 | |
ICE Gas Oil JAN 22 Futures | | 2.23 | % | 6.17 | | 373,554 | |
LME Zinc JAN 22 Futures | | 2.10 | % | 4.65 | | 352,337 | |
NYMEX Unleaded Gasoline JAN 22 Futures | | 1.88 | % | 3.61 | | 315,601 | |
NYMEX Heating Oil JAN 22 Futures | | 1.82 | % | 3.33 | | 305,527 | |
CBOT Soy Meal JAN 22 Futures | | 1.82 | % | 8.60 | | 305,449 | |
LME Nickel JAN 22 Futures | | 1.81 | % | 2.58 | | 302,817 | |
CME Lean Hogs DEC 21 Futures | | 1.71 | % | 8.80 | | 287,263 | |
KCBOT Kansas Wheat DEC 21 Futures | | 1.51 | % | 7.40 | | 253,077 | |
NYBOT Cotton DEC 21 Futures | | 1.42 | % | 5.34 | | 238,569 | |
CBOT Soybeans NOV 21 Futures | | 1.30 | % | 3.22 | | 217,565 | |
LME Aluminium NOV 21 Futures | | 1.20 | % | 3.11 | | 201,248 | |
CBOT Bean Oil DEC 21 Futures | | 1.03 | % | 4.57 | | 172,814 | |
ICE Gas Oil NOV 21 Futures | | 0.82 | % | 2.24 | | 137,295 | |
LME Zinc NOV 21 Futures | | 0.76 | % | 1.69 | | 128,059 | |
NYMEX Unleaded Gasoline NOV 21 Futures | | 0.70 | % | 1.31 | | 117,970 | |
NYMEX Heating Oil NOV 21 Futures | | 0.66 | % | 1.21 | | 111,517 | |
CBOT Soy Meal DEC 21 Futures | | 0.66 | % | 3.13 | | 110,697 | |
LME Nickel NOV 21 Futures | | 0.66 | % | 0.94 | | 110,124 | |
(1) Amounts represent quantity and value of index components as they relate specifically to the Fund’s swap position as of July 31, 2021.
(b) The index seeks to provide exposure to a diversified group of commodities, inclusive of energy, grains, meats, metals, precious, softs, and textiles. The Fund has indirect exposure to all of the below underlying positions that make up the custom index. When applicable, the table is limited to the largest 50 positions (based on absolute market value) and any other position where the notional value for the position exceeds 1% of the notional value of the index.
Commodity Name | | Weight | | Quantity(1) | | 7/31/21 Value(1) | |
COMEX Gold DEC 21 Futures | | 11.59 | % | 160.99 | | 29,255,177 | |
NYMEX WTI Crude Oil JUN 22 Futures | | 10.03 | % | 373.96 | | 25,332,062 | |
NYMEX Nat Gas DEC 21 Futures | | 9.97 | % | 616.17 | | 25,170,479 | |
ICE Brent Crude Oil DEC 21 Futures | | 8.00 | % | 273.70 | | 20,199,415 | |
COMEX High Grade Copper DEC 21 Futures | | 5.39 | % | 122.18 | | 13,609,300 | |
CBOT Corn SEP 21 Futures | | 5.20 | % | 480.36 | | 13,137,859 | |
CBOT Soybeans NOV 21 Futures | | 4.85 | % | 181.47 | | 12,242,473 | |
LME Aluminium DEC 21 Futures | | 4.47 | % | 174.79 | | 11,293,796 | |
CBOT Bean Oil DEC 21 Futures | | 3.80 | % | 253.55 | | 9,590,144 | |
CME Live Cattle DEC 21 Futures | | 3.57 | % | 169.94 | | 9,017,132 | |
COMEX Silver DEC 21 Futures | | 3.39 | % | 66.91 | | 8,564,019 | |
NYBOT Coffee SEP 21 Futures | | 3.38 | % | 126.72 | | 8,532,070 | |
ICE Gas Oil DEC 21 Futures | | 3.12 | % | 129.49 | | 7,876,479 | |
NYMEX Unleaded Gasoline DEC 21 Futures | | 2.91 | % | 83.10 | | 7,338,936 | |
LME Zinc DEC 21 Futures | | 2.80 | % | 93.41 | | 7,075,993 | |
NYBOT Sugar OCT 21 Futures | | 2.80 | % | 352.22 | | 7,065,159 | |
CBOT Wheat SEP 21 Futures | | 2.57 | % | 184.46 | | 6,490,533 | |
NYMEX Heating Oil DEC 21 Futures | | 2.52 | % | 69.09 | | 6,359,446 | |
CBOT Soy Meal DEC 21 Futures | | 2.51 | % | 178.97 | | 6,333,899 | |
LME Nickel DEC 21 Futures | | 2.42 | % | 52.15 | | 6,117,286 | |
CME Lean Hogs DEC 21 Futures | | 1.84 | % | 141.89 | | 4,634,067 | |
KCBOT Kansas Wheat SEP 21 Futures | | 1.45 | % | 108.58 | | 3,654,918 | |
NYBOT Cotton DEC 21 Futures | | 1.43 | % | 80.59 | | 3,601,906 | |
(1) Amounts represent quantity and value of index components as they relate specifically to the Fund’s swap position as of July 31, 2021.
(c) The index seeks to provide exposure to a diversified group of commodities, inclusive of energy, livestock and meat, agricultural and metals. The Fund has indirect exposure to all of the below underlying positions that make up the custom index. When applicable, the table is limited to the largest 50 positions (based on absolute market value) and any other position where the notional value for the position exceeds 1% of the notional value of the index.
Commodity Name | | Weight | | Quantity(1) | | 7/31/21 Value(1) | |
COMEX Gold DEC 21 Futures | | 11.59 | % | 159.99 | | 29,073,658 | |
NYMEX WTI Crude Oil JUN 22 Futures | | 10.04 | % | 371.76 | | 25,183,082 | |
NYMEX Nat Gas DEC 21 Futures | | 9.98 | % | 613.00 | | 25,040,868 | |
ICE Brent Crude Oil DEC 21 Futures | | 7.97 | % | 270.89 | | 19,991,561 | |
COMEX High Grade Copper DEC 21 Futures | | 5.41 | % | 121.79 | | 13,565,591 | |
CBOT Corn SEP 21 Futures | | 5.20 | % | 477.25 | | 13,052,651 | |
CBOT Soybeans NOV 21 Futures | | 4.85 | % | 180.29 | | 12,163,073 | |
LME Aluminium DEC 21 Futures | | 4.47 | % | 173.66 | | 11,220,548 | |
CBOT Bean Oil DEC 21 Futures | | 3.80 | % | 251.90 | | 9,527,944 | |
CME Live Cattle OCT 21 Futures | | 3.56 | % | 175.39 | | 8,923,978 | |
COMEX Silver DEC 21 Futures | | 3.39 | % | 66.48 | | 8,509,078 | |
NYBOT Coffee SEP 21 Futures | | 3.38 | % | 125.90 | | 8,476,733 | |
ICE Gas Oil SEP 21 Futures | | 3.12 | % | 127.46 | | 7,829,237 | |
NYMEX Unleaded Gasoline NOV 21 Futures | | 2.91 | % | 81.25 | | 7,308,595 | |
LME Zinc DEC 21 Futures | | 2.80 | % | 92.81 | | 7,030,099 | |
NYBOT Sugar OCT 21 Futures | | 2.80 | % | 349.93 | | 7,019,336 | |
CBOT Wheat SEP 21 Futures | | 2.57 | % | 183.26 | | 6,448,436 | |
NYMEX Heating Oil NOV 21 Futures | | 2.52 | % | 68.55 | | 6,319,205 | |
CBOT Soy Meal DEC 21 Futures | | 2.51 | % | 177.81 | | 6,292,820 | |
LME Nickel DEC 21 Futures | | 2.42 | % | 51.81 | | 6,077,610 | |
CME Lean Hogs DEC 21 Futures | | 1.84 | % | 140.97 | | 4,604,013 | |
KCBOT Kansas Wheat SEP 21 Futures | | 1.45 | % | 107.87 | | 3,631,214 | |
NYBOT Cotton DEC 21 Futures | | 1.43 | % | 80.07 | | 3,578,543 | |
(1) Amounts represent quantity and value of index components as they relate specifically to the Fund’s swap position as of July 31, 2021.
(d) The index seeks to provide exposure to a diversified group of commodities, inclusive of energy, livestock and meat, agricultural and metals. The Fund has indirect exposure to all of the below underlying positions that make up the custom index. When applicable, the table is limited to the largest 50 positions (based on absolute market value) and any other position where the notional value for the position exceeds 1% of the notional value of the index.
Commodity Name | | Weight | | Quantity(1) | | 7/31/21 Value(1) | |
COMEX Gold DEC 21 Futures | | 11.60 | % | 160.22 | | 29,115,319 | |
NYMEX WTI Crude Oil DEC 21 Futures | | 10.06 | % | 352.80 | | 25,250,009 | |
NYMEX Nat Gas DEC 21 Futures | | 9.91 | % | 609.14 | | 24,883,558 | |
ICE Brent Crude Oil DEC 21 Futures | | 7.98 | % | 271.33 | | 20,024,312 | |
COMEX High Grade Copper DEC 21 Futures | | 5.37 | % | 121.05 | | 13,483,405 | |
CBOT Corn SEP 21 Futures | | 5.21 | % | 478.04 | | 13,074,284 | |
CBOT Soybeans NOV 21 Futures | | 4.85 | % | 180.59 | | 12,183,255 | |
LME Aluminium DEC 21 Futures | | 4.48 | % | 173.95 | | 11,239,517 | |
CBOT Bean Oil DEC 21 Futures | | 3.80 | % | 252.29 | | 9,542,797 | |
CME Live Cattle OCT 21 Futures | | 3.57 | % | 176.16 | | 8,963,000 | |
COMEX Silver DEC 21 Futures | | 3.40 | % | 66.61 | | 8,526,271 | |
NYBOT Coffee DEC 21 Futures | | 3.38 | % | 123.89 | | 8,476,072 | |
ICE Gas Oil DEC 21 Futures | | 3.11 | % | 128.50 | | 7,815,957 | |
NYMEX Unleaded Gasoline DEC 21 Futures | | 2.90 | % | 82.44 | | 7,281,340 | |
LME Zinc DEC 21 Futures | | 2.81 | % | 92.94 | | 7,040,385 | |
NYBOT Sugar OCT 21 Futures | | 2.80 | % | 350.48 | | 7,030,346 | |
CBOT Wheat DEC 21 Futures | | 2.58 | % | 181.50 | | 6,470,629 | |
NYMEX Heating Oil DEC 21 Futures | | 2.52 | % | 68.74 | | 6,327,562 | |
CBOT Soy Meal DEC 21 Futures | | 2.51 | % | 178.09 | | 6,302,463 | |
LME Nickel DEC 21 Futures | | 2.43 | % | 51.89 | | 6,086,608 | |
CME Lean Hogs DEC 21 Futures | | 1.84 | % | 141.17 | | 4,610,762 | |
KCBOT Kansas Wheat DEC 21 Futures | | 1.45 | % | 106.30 | | 3,636,905 | |
NYBOT Cotton DEC 21 Futures | | 1.43 | % | 80.19 | | 3,584,196 | |
(1) Amounts represent quantity and value of index components as they relate specifically to the Fund’s swap position as of July 31, 2021.
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. Over-the-counter derivative financial instruments, such as swap agreements, generally derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more brokers/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, these securities will be fair valued in good faith by the Pricing Committee, in accordance with procedures adopted by the Board.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
Generally accepted accounting principles in the United States of America (“GAAP”) established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at each measurement date. These inputs are summarized in the three broad levels listed below:
· Level 1—quoted prices in active markets for identical investments
· Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
· Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of July 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 | | | | | | | | | |
United States Agency Obligations | | $ | — | | $ | 899,460,862 | | $ | — | | $ | 899,460,862 | |
United States Treasury Obligations | | — | | 1,109,234,719 | | — | | 1,109,234,719 | |
| | $ | — | | $ | 2,008,695,581 | | $ | — | | $ | 2,008,695,581 | |
| | | | | | | | | |
Other Financial Instruments* | | | | | | | | | |
Futures Contracts | | $ | 97,306 | | $ | — | | $ | — | | $ | 97,306 | |
Swap Contracts | | — | | 65,236,239 | | — | | 65,236,239 | |
Liabilities | | Level 1 | | Level 2 | | Level 3 | | Total | |
Other Financial Instruments* | | | | | | | | | |
Futures Contracts | | $ | 120,105 | | $ | | | $ | — | | $ | 120,105 | |
| | | | | | | | | | | | | |
* Other financial instruments include unrealized appreciation (depreciation) on futures and swap contracts.
During the period ended July 31, 2021, there were no transfers among Level 2 and Level 3. All transfers, if any, are assumed to occur at the end of the reporting period.
Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Fund’s website at www.credit-suisse.com/us/funds, as well as on the website of the Securities and Exchange Commission at www.sec.gov.
