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 number | 811-07261 |
|
CREDIT SUISSE TRUST |
(Exact name of registrant as specified in charter) |
|
Eleven Madison Avenue, New York, New York | | 10010 |
(Address of principal executive offices) | | (Zip code) |
|
J. Kevin Gao, Esq. Credit Suisse Trust Eleven Madison Avenue New York, New York 10010 |
(Name and address of agent for service) |
|
Registrant’s telephone number, including area code: | (212) 325-2000 | |
|
Date of fiscal year end: | December 31st | |
|
Date of reporting period: | January 1, 2009 to December 31, 2009 | |
| | | | | | | | | |
Item 1. Reports to Stockholders.
2
CREDIT SUISSE FUNDS
Annual Report
December 31, 2009
CREDIT SUISSE TRUST
n COMMODITY RETURN STRATEGY
PORTFOLIO
Credit Suisse Trust (the "Trust") shares are not available directly to individual investors, but may be offered only through certain insurance products and pension and retirement plans.
The Trust's investment objectives, risks, charges and expenses (which should be considered carefully before investing), and more complete information about the Trust, are provided in the Prospectus, which should be read carefully before investing. You may obtain additional copies by calling 800-222-8977 or by writing to Credit Suisse Trust, P.O. Box 55030, Boston, MA 02205-5030.
Credit Suisse Asset Management Securities, Inc., Distributor, is located at Eleven Madison Avenue, New York, NY 10010. The Trust is advised by Credit Suisse Asset Management, LLC.
The views of the Portfolio's management are as of the date of the letter and the Portfolio holdings described in this document are as of December 31, 2009; these views and Portfolio holdings may have changed subsequent to these dates. Nothing in this document is a recommendation to purchase or sell securities.
Portfolio shares are not deposits or other obligations of Credit Suisse Asset Management, LLC ("Credit Suisse") or any affiliate, are not FDIC-insured and are not guaranteed by Credit Suisse or any affiliate. Portfolio investments are subject to investment risks, including loss of your investment.
Credit Suisse Trust — Commodity Return Strategy Portfolio
Annual Investment Adviser's Report
December 31, 2009 (unaudited)
January 22, 2010
Dear Shareholder:
For the twelve-month period ended December 31, 2009, Credit Suisse Trust — Commodity Return Strategy Portfolio (the "Portfolio") had a gain of 19.48%.1 Its benchmark, the Dow Jones-UBS Commodity Index Total Return2,4 ("DJ-UBS Index") had an increase of 18.91%. Also, the S&P 500 Index3 had an increase of 26.47%.
Market Review: Signs of economic stabilization
Following a market sell-off in the second half of 2008, commodities delivered solid positive performance for the year ended December 31, 2009. The Portfolio's benchmark, the DJ-UBS Index, returning 18.91%, was slightly behind the gains of equity indexes. For example, the S&P 500 Index total return gained 26.47%, and the Dow Jones Industrial Average increased by 22.68%. The fixed income market, on the other hand, generally gained less than commodities markets. The Barclays Capital U.S. Aggregate Bond Index, for example, rose 5.93%.
There were signs that economic stabilization started in the spring and turned into positive growth as the year progressed. This was generally supportive of commodity demand and prices, with particularly favorable returns for base metals and energy.
There is still much debate over the shape of the economic recovery and what the future holds for capital markets. One trend that has become clear is the economic strength and resiliency of emerging markets, with China being the best example. Growth in less developed countries was generally affected less and recovered faster than for developed countries. This was a key driver for the rebound in commodity prices this past year and will likely be a key factor moving forward. Another important driver will be the recovery of demand in much of the developed world. As demand in developed countries recovers, supply constraints exacerbated by the lack of infrastructure investment during the credit crisis, have the potential to create shortages in many sectors, resulting in higher prices. History shows that deficiencies in supply can take a long time to correct due to scarcity of resources, technology constraints, environmental and regulatory concerns , as well as the longer-term nature of capital expenditures required to obtain the resources.
Government stimulus measures were a key factor driving the beginning of the economic recovery in 2009. The impacts of such efforts are not instantaneous, nor do they merely create one-time gains. We expect the benefits will filter through the economy over time and, in the near-to-immediate term, economic strength may take investors by surprise. Though those future benefits may be underestimated by the markets, prices in the commodity markets began to reflect at least some anticipation of them in the spring of 2009.
1
Credit Suisse Trust — Commodity Return Strategy Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
Outlook and Strategy: Diversification and Potential Upside
The Portfolio seeks total return and is designed to achieve positive return relative to the performance of its benchmark, the DJ-UBS Index. To do so, the Portfolio invests in commodity-linked derivative instruments and fixed-income securities. The Portfolio gains exposure to commodities markets by investing in structured notes whose principal and/or coupon payments are linked to the DJ-UBS Index and entering into swap agreements on the DJ-UBS Index. The Portfolio may invest up to 25% of its' total assets in the Credit Suisse Cayman Commodity Fund II, Ltd. (the "Subsidiary"), a wholly owned subsidiary of the Portfolio formed in the Cayman Islands, which has the same investment objective as the portfolio and has a strategy of investing in commodity-linked swap agreements and other commodity-linked derivative instruments, futures contacts on individual commodities, or a subset of commodities and options on them. The Portfolio has obtained a pri vate letter ruling from the Internal Revenue Service (IRS) confirming that the income produced by certain types of structured notes constitutes "qualifying income" under the Internal Revenue Code of 1986, as amended. The Portfolio has received another private letter ruling from the IRS concluding that income derived from the Portfolio's investment in the Subsidiary will also constitute qualifying income to the Portfolio, even if the Subsidiary itself owns commodity swaps, commodity futures, or other similar positions.
For the twelve-month period ended December 31, 2009, the Portfolio outperformed its benchmark by approximately 0.57% due to investment selection by the team across commodity sectors.
For the year, industrial metals was the top performing commodity sector, gaining 79.98% due to a surge in performance in recent months. This momentum in industrial metals resulted from the combination of: a relatively weaker dollar, low interest rates, and increased infrastructure investment in emerging markets by countries such as China. In fact, copper was the strongest commodity for the 12-month period, returning 129.98% on a total return basis. Zinc, nickel, and aluminum also produced positive results — up 98.31%, 54.88%, and 33.83%, respectively. Precious metals maintained its positive performance from last year and was the second strongest sector for the period, gaining 29.20% as gold and silver continued to lure risk-averse investors. Agriculture was also up (though not as high as the metals), gaining 13.72% for the period. This increase was mostly a result of sugar's strong performance relative to other commodities within the se ctor. Sugar was up 86.26% as supplies from Brazil were lower than expected and imports to India increased. Conversely, wheat was down 26.02% as a result of increased planting and better-than-expected weather conditions.
2
Credit Suisse Trust — Commodity Return Strategy Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
Energy and livestock were the worst performing commodity groups for the year. Energy fell 5.30% due to poor returns of natural gas (down 51.56%). All other commodities within the sector posted positive results: crude oil was up 4.36%, heating oil was up 20.54%, and gasoline was up 74.66%. The losses in natural gas were due to unexpected surpluses relating to shale gas supplies and lower-than-expected industrial demand. Conversely, gasoline rebounded as prices increased due to larger-than-expected reductions in stored gasoline. Livestock fell 15.07%, with declines by both lean hogs and live cattle. The price decline in lean hogs was likely due to investor fears of the swine flu beginning in the second quarter of 2009. Additionally, recent increases in feed prices such as wheat and corn, also affected prices of hogs and cattle.
In the fixed income portion of the Portfolio, we maintain holdings in high quality, short-term securities — specifically debt issued by the U.S. Treasury and U.S. Government-Sponsored Enterprises (GSE's).
Going forward, regardless of the shape of the recovery, we expect commodities to be a valuable piece of an investor's diversified fund portfolio. Correlations between equities, commodities, and other investments have exceeded historical levels lately, but this is common during market dislocations. We would expect this to dissipate over time, as commodities have traditionally offered long-term positive returns with low correlations to other asset classes.
Official inflation expectations continue to be low and, despite a modest increase in longer-term yields of late, we believe the bond market does not currently reflect expectations of large increases in inflation. It is difficult to predict when inflation will increase, but history suggests that this could happen much more quickly than expected. Unprecedented government stimulus and swelling government debt loads in the United States and elsewhere may eventually lead to inflation. The push for real returns and inflation protection should be supportive of commodity prices.
We continue to believe now is an excellent time to hold or increase allocations to commodities. Many commodity prices are below previous cycle highs and below inflation-adjusted highs. Amidst the prolonged uncertainty, we expect investors to maintain their focus on exposure to hard assets. Additionally, we continue to believe in the role of commodities as a strategic component of investor portfolios, potentially reducing risk and enhancing returns.
The Credit Suisse Commodities Management Team
Andrew Karsh
Christopher Burton
3
Credit Suisse Trust — Commodity Return Strategy Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
This Portfolio is non-diversified, which means it may invest a greater proportion of its assets in the securities of a smaller number of issuers than a diversified mutual fund and may therefore be subject to greater volatility. Exposure to commodity markets should only form a small part of a diversified portfolio. Investment in commodity markets may not be suitable for all investors. The Portfolio's investment in commodity-linked derivative instruments may subject the Portfolio to greater volatility than investment in traditional securities, particularly in investments involving leverage.
The use of derivatives such as commodity-linked structured notes, swaps and futures entails substantial risks, including risk of loss of a significant portion of their principal value, lack of a secondary market, increased volatility, correlation risk, liquidity risk, interest-rate risk, market risk, credit risk, valuation risk and tax risk. Gains and losses from speculative positions in derivatives may be much greater than the derivative's cost.
At any time, the risk of loss of any individual security held by the Portfolio could be significantly higher than 50% of the security's value. For a detailed discussion of these and other risks, please refer to the Portfolio's Prospectus, which should be read carefully before investing.
In addition to historical information, this report contains forward-looking statements, which may concern, among other things, domestic and foreign market, industry and economic trends and developments and government regulation and their potential impact on the Portfolio's investments. These statements are subject to risks and uncertainties and actual trends, developments and regulations in the future, and their impact on the Portfolio could be materially different from those projected, anticipated or implied. The Portfolio has no obligation to update or revise forward-looking statements.
4
Credit Suisse Trust — Commodity Return Strategy Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
Comparison of Change in Value of $10,000 Investment in the
Credit Suisse Trust — Commodity Return Strategy Portfolio1 and the
Dow Jones-UBS Commodity Index Total Return2,4 from Inception (2/28/06).
Average Annual Returns as of December 31, 20091
| | 1 Year | | Since
Inception | |
| | | 19.48 | % | | | (0.31 | )% | |
Returns represent past performance and include change in share price and reinvestment of dividends and capital gains. Past performance cannot guarantee future results. The current performance of the Portfolio may be lower or higher than the figures shown. Returns and share price will fluctuate, and redemption value may be more or less than original cost. The performance results do not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares. Performance includes the effect of deducting expenses, but does not include charges and expenses attributable to any particular variable contract or plan. Accordingly, the Prospectus of the sponsoring Participating Insurance Company separate account or plan documents or ot her informational materials supplied by plan sponsors should be carefully reviewed for information on relevant charges and expenses. Excluding these charges and expenses from quotations of performance has the effect of increasing the performance quoted, and the effect of these charges should be considered when comparing performance to that of other mutual funds. Performance information current to the most recent month-end is available at www.credit-suisse.com/us.
The annualized gross expense ratio is 1.20%. The annualized net expense ratio after fee waivers and/or expense reimbursements is 0.95%.
1 Fee waivers and/or expense reimbursements may reduce expenses for the Portfolio, without which performance would be lower. Waivers and/or reimbursements may be discontinued at any time.
2 The Dow Jones-UBS Commodity Index Total Return is composed of futures contracts on 19 physical commodities. Investors cannot invest directly in an index.
3 The Standard & Poor's 500 Index is an unmanaged index (with no defined investment objective) of common stocks, includes reinvestment of dividends, and is a registered trademark of The McGraw-Hill Companies, Inc. Investors cannot invest directly in an index.
4 Performance for the benchmark is not available for the period beginning February 28, 2006. For that reason, performance for the benchmark is shown for the period beginning March 1, 2006.
5
Credit Suisse Trust — Commodity Return Strategy Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
Information About Your Portfolio's Expenses
As an investor of the Portfolio, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees, distribution and service (12b-1) fees and other Portfolio expenses. Examples of transaction costs include sales charges (loads), redemption fees and account maintenance fees, which are not shown in this section and which would result in higher total expenses. The following table is intended to help you understand your ongoing expenses of investing in the Portfolio and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. The table is based on an investment of $1,000 made at the beginning of the six month period ended December 31, 2009.
The table illustrates your Portfolio's expenses in two ways:
• Actual Portfolio Return. This helps you estimate the actual dollar amount of ongoing expenses paid on a $1,000 investment in the Portfolio using the Portfolio's actual return during the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the "Expenses Paid per $1,000" line under the share class you hold.
• Hypothetical 5% Portfolio Return. This helps you to compare your Portfolio's ongoing expenses with those of other mutual funds using the Portfolio's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical portfolio return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. If these transaction costs had been included, your costs would have been higher. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expenses of owning different funds.
6
Credit Suisse Trust — Commodity Return Strategy Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
Expenses and Value for a $1,000 Investment
for the six month period ended December 31, 2009
| Actual Portfolio Return | |
| Beginning Account Value 7/1/09 | | $ | 1,000.00 | | |
| Ending Account Value 12/31/09 | | $ | 1,138.10 | | |
| Expenses Paid per $1,000* | | $ | 5.12 | | |
| Hypothetical 5% Portfolio Return | |
| Beginning Account Value 7/1/09 | | $ | 1,000.00 | | |
| Ending Account Value 12/31/09 | | $ | 1,020.42 | | |
| Expenses Paid per $1,000* | | $ | 4.84 | | |
| Annualized Expense Ratio* | | | 0.95 | % | |
* Expenses are equal to the Portfolio's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year period, then divided by 365.
The "Expenses Paid per $1,000" and the "Annualized Expense Ratio" in the tables are based on actual expenses paid by the Portfolio during the period, net of fee waivers and/or expense reimbursements. If those fee waivers and/or expense reimbursements had not been in effect, the Portfolio's actual expenses would have been higher. Expenses do not reflect additional charges and expenses that are, or may be, imposed under the variable contracts or plans. Such charges and expenses are described in the prospectus of the insurance company separate account or in the plan documents or other informational materials supplied by plan sponsors. The Portfolio's expenses should be considered with these charges and expenses in evaluating the overall cost of investing in the separate account.
For more information, please refer to the Portfolio's prospectus.
7
Credit Suisse Trust — Commodity Return Strategy Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
| Sector Breakdown* | |
| United States Agency Obligations | | | 54.9 | % | |
| Wholly-Owned Subsidiary | | | 23.1 | % | |
| Commodity Indexed Structured Notes | | | 19.1 | % | |
| United States Treasury Obligation | | | 2.3 | % | |
| Short-Term Investment | | | 0.6 | % | |
| Total | | | 100.0 | % | |
* Expressed as a percentage of total investments (excluding securities lending collateral if applicable) and may vary over time.
8
Credit Suisse Trust — Commodity Return Strategy Portfolio
Schedule of Investments
December 31, 2009
Par
(000) | | | | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| COMMODITY INDEXED STRUCTURED NOTES (19.1%) | |
| $ | 4,500 | | | BNP Paribas, Commodity Index
Linked Senior Unsecured Notes# | | (AA, Aa1) | | 11/26/10 | | | 0.002 | | | $ | 5,933,250 | | |
| | 1,200 | | | Deutsche Bank AG London, Commodity Index
Linked Senior Unsecured Notes# | | (A+, Aa1) | | 01/13/10 | | | 0.074 | | | | 2,154,144 | | |
| | 2,000 | | | Deutsche Bank AG London, Commodity Index
Linked Senior Unsecured Notes# | | (A+, Aa1) | | 03/23/10 | | | 0.072 | | | | 4,128,200 | | |
| | 4,700 | | | Svensk AB Exportkredit, Commodity Index
Linked Senior Unsecured Notes# | | (AA+, Aa1) | | 01/13/10 | | | 0.014 | | | | 8,429,586 | | |
| TOTAL COMMODITY INDEXED STRUCTURED NOTES (Cost $12,400,000) | | | 20,645,180 | | |
| UNITED STATES AGENCY OBLIGATIONS (55.0%) | |
| | 2,500 | | | Fannie Mae Discount Notes | | (AAA, Aaa) | | 01/11/10 | | | 0.220 | | | | 2,499,847 | | |
| | 5,000 | | | Fannie Mae Discount Notes | | (AAA, Aaa) | | 05/25/10 | | | 0.180 | | | | 4,997,845 | | |
| | 5,000 | | | Federal Farm Credit Bank# | | (AAA, Aaa) | | 11/02/11 | | | 0.215 | | | | 4,999,685 | | |
| | 3,000 | | | Federal Farm Credit Bank# | | (AAA, Aaa) | | 01/13/12 | | | 0.534 | | | | 3,018,729 | | |
| | 2,000 | | | Federal Home Loan Bank Discount Notes | | (AAA, Aaa) | | 01/05/10 | | | 0.250 | | | | 1,999,944 | | |
| | 1,000 | | | Federal Home Loan Bank Discount Notes | | (AAA, Aaa) | | 01/07/10 | | | 0.340 | | | | 999,943 | | |
| | 2,500 | | | Federal Home Loan Banks | | (AAA, Aaa) | | 06/01/10 | | | 0.520 | | | | 2,504,133 | | |
| | 2,000 | | | Federal Home Loan Banks | | (AAA, Aaa) | | 06/25/10 | | | 0.600 | | | | 2,003,488 | | |
| | 1,000 | | | Federal Home Loan Banks# | | (AAA, Aaa) | | 07/13/10 | | | 0.184 | | | | 1,000,102 | | |
| | 2,500 | | | Federal Home Loan Banks | | (AAA, Aaa) | | 10/25/10 | | | 0.500 | | | | 2,502,923 | | |
| | 600 | | | Federal Home Loan Banks | | (AAA, Aaa) | | 02/07/11 | | | 1.000 | | | | 601,617 | | |
| | 1,200 | | | Federal Home Loan Banks | | (AAA, Aaa) | | 02/28/11 | | | 1.000 | | | | 1,204,478 | | |
| | 2,000 | | | Federal Home Loan Banks | | (AAA, Aaa) | | 03/25/11 | | | 0.750 | | | | 1,999,394 | | |
| | 3,000 | | | Federal Home Loan Banks Series 1# | | (AAA, Aaa) | | 01/14/11 | | | 0.234 | | | | 3,001,425 | | |
| | 3,000 | | | Federal Home Loan Mortgage Corp.# | | (AAA, Aaa) | | 07/12/10 | | | 0.184 | | | | 3,001,224 | | |
| | 1,000 | | | Federal Home Loan Mortgage Corp.# | | (AAA, Aaa) | | 01/14/11 | | | 0.264 | | | | 1,000,789 | | |
| | 1,000 | | | Federal Home Loan Mortgage Corp. | | (AAA, Aaa) | | 02/11/11 | | | 1.930 | | | | 1,001,451 | | |
| | 1,000 | | | Federal Home Loan Mortgage Corp.# | | (AAA, Aaa) | | 04/01/11 | | | 0.350 | | | | 1,001,795 | | |
| | 500 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 01/05/10 | | | 0.310 | | | | 499,983 | | |
| | 3,500 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 01/11/10 | | | 0.210 | | | | 3,499,796 | | |
| | 1,500 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 01/25/10 | | | 0.240 | | | | 1,499,760 | | |
| | 2,000 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 01/28/10 | | | 0.210 | | | | 1,999,685 | | |
| | 1,800 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 02/01/10 | | | 0.125 | | | | 1,799,806 | | |
| | 1,000 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 02/04/10 | | | 0.125 | | | | 999,882 | | |
| | 1,000 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 02/16/10 | | | 0.255 | | | | 999,674 | | |
| | 3,500 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 02/23/10 | | | 0.125 | | | | 3,499,356 | | |
| | 1,700 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 04/27/10 | | | 0.260 | | | | 1,699,519 | | |
| | 3,700 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 05/17/10 | | | 0.254 | | | | 3,698,498 | | |
| TOTAL UNITED STATES AGENCY OBLIGATIONS (Cost $59,524,993) | | | 59,534,771 | | |
| UNITED STATES TREASURY OBLIGATION (2.3%) | |
| | 2,500 | | | United States Treasury Bills
(Cost $2,498,767) | | (AAA, Aaa) | | 04/22/10 | | | 0.160 | | | | 2,499,475 | | |
| SHORT-TERM INVESTMENT (0.6%) | |
| | 703 | | | State Street Bank and Trust Co. Euro Time Deposit
(Cost $703,000) | | | | 01/04/10 | | | 0.010 | | | | 703,000 | | |
See Accompanying Notes to Financial Statements.
9
Credit Suisse Trust — Commodity Return Strategy Portfolio
Schedule of Investments (continued)
December 31, 2009
Number of
Shares | | | | Value | |
| WHOLLY-OWNED SUBSIDIARY (23.1%) | |
| | 34,673,968 | | | Credit Suisse Cayman Commodity Fund II, Ltd.^
(Cost $19,260,501) | | $ | 24,978,028 | | |
| TOTAL INVESTMENTS AT VALUE (100.1%) (Cost $94,387,261) | | | 108,360,454 | | |
| LIABILITIES IN EXCESS OF OTHER ASSETS (-0.1%) | | | (149,849 | ) | |
| NET ASSETS (100.0%) | | $ | 108,210,605 | | |
† Credit ratings given by the Standard & Poor's Division of The McGraw-Hill Companies, Inc. ("S&P") and Moody's Investors Service, Inc. ("Moody's") are unaudited.
# Variable rate obligations — The interest rate is the rate as of December 31, 2009.
^ Affiliated issuer. See Note 3.
See Accompanying Notes to Financial Statements.
10
Credit Suisse Trust — Commodity Return Strategy Portfolio
Statement of Assets and Liabilities
December 31, 2009
| Assets | |
| Investments at value (Cost $75,126,760) (Note 2) | | $ | 83,382,426 | | |
| Investment in wholly-owned subsidiary at value (Cost $19,260,501) (Note 2) | | | 24,978,028 | | |
| Cash | | | 202 | | |
| Interest receivable | | | 75,319 | | |
| Receivable for portfolio shares sold | | | 21,376 | | |
| Prepaid expenses and other assets | | | 6,345 | | |
| Total Assets | | | 108,463,696 | | |
| Liabilities | |
| Advisory fee payable (Note 3) | | | 28,648 | | |
| Administrative services fee payable (Note 3) | | | 16,469 | | |
| Shareholder servicing/Distribution fee payable (Note 3) | | | 22,352 | | |
| Payable for portfolio shares redeemed | | | 95,874 | | |
| Trustees' fee payable | | | 2,729 | | |
| Other accrued expenses payable | | | 87,019 | | |
| Total Liabilities | | | 253,091 | | |
| Net Assets | |
| Capital stock, $.001 par value (Note 6) | | | 14,122 | | |
| Paid-in capital (Note 6) | | | 144,415,284 | | |
| Accumulated net investment loss | | | (11,059,885 | ) | |
| Accumulated net realized loss on investments | | | (39,132,109 | ) | |
| Net unrealized appreciation from investments | | | 13,973,193 | | |
| Net Assets | | $ | 108,210,605 | | |
| Shares outstanding | | | 14,121,704 | | |
| Net asset value, offering price and redemption price per share | | $ | 7.66 | | |
See Accompanying Notes to Financial Statements.
11
Credit Suisse Trust — Commodity Return Strategy Portfolio
Statement of Operations
For the Year Ended December 31, 2009
| Investment Income (Note 2) | |
| Interest | | $ | 370,109 | | |
| Expenses | |
| Investment advisory fees (Note 3) | | | 426,304 | | |
| Administrative services fees (Note 3) | | | 122,589 | | |
| Shareholder servicing/Distribution fees (Note 3) | | | 213,152 | | |
| Audit and tax fees | | | 88,563 | | |
| Printing fees (Note 3) | | | 88,124 | | |
| Legal fees | | | 30,010 | | |
| Trustees' fees | | | 16,278 | | |
| Transfer agent fees | | | 12,042 | | |
| Insurance expense | | | 6,982 | | |
| Custodian fees | | | 6,167 | | |
| Commitment fees (Note 4) | | | 2,624 | | |
| Miscellaneous expense | | | 6,196 | | |
| Total expenses | | | 1,019,031 | | |
| Less: fees waived (Note 3) | | | (209,053 | ) | |
| Net expenses | | | 809,978 | | |
| Net investment loss | | | (439,869 | ) | |
| Net Realized and Unrealized Gain (Loss) from Investments | |
| Net realized loss from investments | | | (1,500,855 | ) | |
| Net realized loss from investment in wholly-owned subsidiary | | | (27,139,499 | ) | |
| Net change in unrealized appreciation (depreciation) from investments | | | 7,464,387 | | |
| Net change in unrealized appreciation (depreciation) from investment in wholly-owned subsidiary1 | | | 38,437,492 | | |
| Net realized and unrealized gain from investments | | | 17,261,525 | | |
| Net increase in net assets resulting from operations | | $ | 16,821,656 | | |
1 There was no income recognized from the investment in wholly-owned subsidiary.
See Accompanying Notes to Financial Statements.
12
Credit Suisse Trust — Commodity Return Strategy Portfolio
Statements of Changes in Net Assets
| | | For the Year Ended December 31, | |
| | | 2009 | | 2008 | |
| From Operations | |
| Net investment income (loss) | | $ | (439,869 | ) | | $ | 1,330,759 | | |
| Net realized loss from investments and futures contracts | | | (28,640,354 | ) | | | (10,499,491 | ) | |
Net change in unrealized appreciation (depreciation)
from investments and futures contracts | | | 45,901,879 | | | | (35,727,448 | ) | |
| Net increase (decrease) in net assets resulting from operations | | | 16,821,656 | | | | (44,896,180 | ) | |
| From Dividends and Distributions | |
| Dividends from net investment income | | | (10,619,456 | ) | | | (1,320,641 | ) | |
| Distributions from net realized gains | | | — | | | | (6,620,491 | ) | |
| Net decrease in net assets resulting from dividends and distributions | | | (10,619,456 | ) | | | (7,941,132 | ) | |
| From Capital Share Transactions (Note 6) | |
| Proceeds from sale of shares | | | 25,522,866 | | | | 72,262,206 | | |
| Reinvestment of dividends and distributions | | | 10,619,456 | | | | 7,941,132 | | |
| Net asset value of shares redeemed | | | (4,053,406 | ) | | | (14,070,998 | ) | |
| Net increase in net assets from capital share transactions | | | 32,088,916 | | | | 66,132,340 | | |
| Net increase in net assets | | | 38,291,116 | | | | 13,295,028 | | |
| Net Assets | |
| Beginning of year | | | 69,919,489 | | | | 56,624,461 | | |
| End of year | | $ | 108,210,605 | | | $ | 69,919,489 | | |
| Accumulated net investment loss | | $ | (11,059,885 | ) | | $ | (560 | ) | |
See Accompanying Notes to Financial Statements.
13
Credit Suisse Trust — Commodity Return Strategy Portfolio
Financial Highlights
(For a Share of the Portfolio Outstanding Throughout Each Period)
| | | For the Year Ended December 31, | | For the Period
Ended | |
| | | 2009 | | 2008 | | 2007 | | December 31, 20061 | |
| Per share data | |
| Net asset value, beginning of period | | $ | 7.11 | | | $ | 11.58 | | | $ | 10.37 | | | $ | 10.00 | | |
| INVESTMENT OPERATIONS | |
| Net investment income (loss)2 | | | (0.04 | ) | | | 0.15 | | | | 0.54 | | | | 0.38 | | |
Net gain (loss) on investments, futures contracts and
swap contracts (both realized and unrealized) | | | 1.43 | | | | (3.80 | ) | | | 1.22 | | | | 0.25 | | |
| Total from investment operations | | | 1.39 | | | | (3.65 | ) | | | 1.76 | | | | 0.63 | | |
| LESS DIVIDENDS AND DISTRIBUTIONS | |
| Dividends from net investment income | | | (0.84 | ) | | | (0.15 | ) | | | (0.55 | ) | | | (0.26 | ) | |
| Distributions from net realized gains | | | — | | | | (0.67 | ) | | | — | | | | — | | |
| Total dividends and distributions | | | (0.84 | ) | | | (0.82 | ) | | | (0.55 | ) | | | (0.26 | ) | |
| Net asset value, end of period | | $ | 7.66 | | | $ | 7.11 | | | $ | 11.58 | | | $ | 10.37 | | |
| Total return3 | | | 19.48 | % | | | (33.72 | )% | | | 17.33 | % | | | 6.36 | % | |
| RATIOS AND SUPPLEMENTAL DATA | |
| Net assets, end of period (000s omitted) | | $ | 108,211 | | | $ | 69,919 | | | $ | 56,624 | | | $ | 145,907 | | |
| Ratio of expenses to average net assets | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % | | | 0.95 | %4 | |
Ratio of net investment income (loss) to
average net assets | | | (0.52 | )% | | | 1.35 | % | | | 4.06 | % | | | 4.28 | %4 | |
Decrease reflected in above operating expense
ratios due to waivers/reimbursements | | | 0.25 | % | | | 0.11 | % | | | 0.08 | % | | | 0.31 | %4 | |
| Portfolio turnover rate | | | 53 | % | | | 140 | % | | | 93 | % | | | 27 | % | |
1 For the period February 28, 2006 (commencement of operations) through December 31, 2006.
2 Per share information is calculated using the average shares outstanding method.
3 Total returns are historical and assume changes in share price and reinvestment of all dividends and distributions. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns do not reflect charges and expenses attributable to any particular variable contract or plan. Total returns for periods less than one year are not annualized.
4 Annualized.
See Accompanying Notes to Financial Statements.
14
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements
December 31, 2009
Note 1. Organization
Credit Suisse Trust (the "Trust") is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the "1940 Act"), and currently offers three managed investment portfolios of which one, the Commodity Return Strategy Portfolio (the "Portfolio"), is included in this report. The Portfolio is a non-diversified open-end management investment company that seeks total return. Shares of the Portfolio are not available directly to individual investors but may be offered only through (a) variable annuity contracts and variable life insurance contracts offered by separate accounts of certain insurance companies and (b) tax-qualified pension and retirement plans. The Portfolio may not be available in connection with a particular contract or plan. The Trust was organized under the laws of the Commonwealth of Massachusetts as a business trust on March 15, 1995.
Note 2. Significant Accounting Policies
A) SECURITY VALUATION — The net asset value of the Portfolio 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. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (the "Valuation Time"). If no sales are reported , equity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities. Investments in mutual funds are valued at the mutual fund's closing net asset value per share on the day of valuation. Swap contracts are generally valued at a price at which the counterparty to such contract would repurchase the instrument or terminate the contract. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Securities, options, futures contracts and other assets (including swaps and structured note agreements), for which market quotations are not readily available, or whose values have been materially affected by events occurring before the Portfolio's Valuation Time but after the close of the securities' primary markets, are valued at fair value as determined in good faith by, or
15
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
under the direction of, the Board of Trustees under procedures established by the Board of Trustees. The Portfolio may utilize a service provided by an independent third party which has been approved by the Board of Trustees to fair value certain securities. When fair-value pricing is employed, the prices of securities used by a portfolio to calculate its net asset value may differ from quoted or published prices for the same securities.
In accordance with the authoritative guidance on fair value measurements and disclosures under accounting principles generally accepted in the United States of America ("GAAP"), the Portfolio discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. GAAP established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is 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 Portfolio's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
16
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
The following is a summary of the inputs used as of December 31, 2009 in valuing the Portfolio's investments carried at value:
| | | Level 1 | | Level 2 | | Level 3 | | Total | |
| Investments in Securities | |
| Commodity Indexed Structured Notes | | $ | — | | | $ | 20,645,180 | | | $ | — | | | $ | 20,645,180 | | |
| United States Agency Obligations | | | — | | | | 59,534,771 | | | | — | | | | 59,534,771 | | |
| United States Treasury Obligation | | | — | | | | 2,499,475 | | | | — | | | | 2,499,475 | | |
| Short-Term Investment | | | — | | | | 703,000 | | | | — | | | | 703,000 | | |
| Wholly-Owned Subsidiary | | | — | | | | 24,978,028 | | | | — | | | | 24,978,028 | | |
| Other Financial Instruments* | | | — | | | | — | | | | — | | | | — | | |
| | | $ | — | | | $ | 108,360,454 | | | $ | — | | | $ | 108,360,454 | | |
*Other financial instruments include futures, forwards and swap contracts.
B) DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES — Effective January 1, 2009, the Portfolio adopted amendments to authoritative guidance on disclosures about derivative instruments and hedging activities which require that the Portfolio 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 portfolio's financial position, financial performance, and cash flows. The Portfolio has not entered into any derivative or hedging activities during the period covered by this report.
C) SECURITY TRANSACTIONS AND INVESTMENT INCOME — Security transactions are accounted for on a trade date basis. Interest income is recorded on the accrual basis. The Portfolio amortizes premiums and accretes discounts using the effective interest method. Dividends are 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.
D) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income are declared and paid quarterly. 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. Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
E) FEDERAL INCOME TAXES — No provision is made for federal taxes as it is the Portfolio's intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies ("RIC") under the
17
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
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 Portfolio 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 Portfolio 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 Portfolio may seek to track the performance of the Dow Jones-UBS Commodity Index ("DJ-UBS Index") through investing in structured notes designed to track the performance of the DJ-UBS Index. The Portfolio has received a private letter ruling from the IRS which confirms that the P ortfolio's use of certain types of structured notes designed to track the performance of the DJ-UBS Index produce Qualifying Income. In addition, the Portfolio may, through its investment in the Credit Suisse Cayman Commodity Fund II, Ltd., a wholly owned and controlled Cayman Islands subsidiary, ("the Subsidiary"), seek to track the performance of the DJ-UBS Index by the Subsidiary's investments in commodity-linked swaps and/or futures contracts. The Portfolio has obtained a private letter ruling from the IRS that its investment in the Subsidiary will produce Qualifying Income. If the Portfolio is unable to ensure continued qualification as a RIC, the Portfolio may be required to change its investment objective, policies or techniques, or may be liquidated. If the Portfolio fails to qualify as a RIC, the Portfolio will be subject to federal income tax on its net income and capital gains at regular corporate rates (without reduction for distributions to shareholders). If the Portfolio were to fail to qualify as a RIC and become subject to federal income tax, shareholders of the Portfolio would be subject to the risk of diminished returns. If the Portfolio should fail to qualify as a RIC, it would be considered as a single investment, which may result in variable contracts invested in the Portfolio not being treated as annuity, endowment or life insurance contracts under the Code. All income and gain inside the variable contracts would be taxed currently to the holders, and the contracts would remain subject to taxation as ordinary income thereafter, even if they become adequately diversified.
The Portfolio adopted the authoritative guidance for uncertainty in income taxes and recognizes a tax benefit from an uncertain position only if it is more likely than not that the position is sustainable based solely on its technical merits
18
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
and consideration of the relevant taxing authority's widely understood administrative practices and procedures. The Portfolio has reviewed its current tax positions and has determined that no provision for income tax is required in the Portfolio's financial statements. The Portfolio's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
F) USE OF ESTIMATES — The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
G) SHORT-TERM INVESTMENTS — The Portfolio, together with other funds/portfolios advised by Credit Suisse Asset Management, LLC ("Credit Suisse"), an indirect, wholly-owned subsidiary of Credit Suisse Group AG, pools available cash into a short-term variable rate time deposit issued by State Street Bank and Trust Company ("SSB"), the Portfolio's custodian. The short-term time deposit issued by SSB is a variable rate account classified as a short-term investment.
H) FUTURES — The Portfolio may enter into futures contracts to the extent permitted by its investment policies and objectives. The Portfolio may use futures contracts to gain exposure to, or hedge against changes in commodities. Upon entering into a futures contract, the Portfolio is required to deposit cash and/or pledge U.S. Government securities as initial margin. Subsequent payments, which are dependent on the daily fluctuations in the value of the underlying instrument, are made or received by the Portfolio each day (daily variation margin) and are recorded as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolio records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Portfolio's basis in the contract. Risks of entering into futures contracts for hedging purposes include the possibility that a change in the valu e of the contract may not correlate with the changes in the value of the underlying instruments. With futures, there is minimal counterparty credit risk to the Portfolio since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. In addition, the purchase of a futures contract involves the risk that the Portfolio could lose more than the original margin deposit and subsequent payments may be required for a futures transaction. At December 31, 2009, the Portfolio had no open futures contracts.
19
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
I) SWAPS — The Portfolio may enter into commodity index swaps for hedging purposes or to seek to increase total return. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset or notional principal amount. The Portfolio will enter into commodity index swaps only on a net basis, which means that the two payment streams are netted out, with the Portfolio receiving or paying, as the case may be, only the net amount of the two payments. Risks may arise as a result of the failure of the counterparty to the swap contract to comply with the terms of the swap contract. The Portfolio's maximum risk of loss from the counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the contract's remaining life, to the e xtent that the amount is positive. This risk is mitigated by having a master netting arrangement between the Portfolio and the counterparty and by the posting of collateral by the counterparty to the Portfolio to cover the Portfolio's exposure to the counterparty. Therefore, the Portfolio considers the creditworthiness of each counterparty to a swap contract in evaluating potential credit risk. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying reference asset or index.
The Portfolio may enter into total return swap contracts, involving commitments to pay interest in exchange for a market-linked return, both based on notional amounts. To the extent the total return of the security or index underlying the transactions exceeds or falls short of the offsetting interest rate obligation, the Portfolio will receive a payment from or make a payment to the counterparty.
The Portfolio records unrealized gains or losses on a daily basis representing the value and the current net receivable or payable relating to open swap contracts. Net amounts received or paid on the swap contract are recorded as realized gains or losses. Fluctuations in the value of swap contracts are recorded for financial statement purposes as unrealized appreciation or depreciation on swap contracts. Realized gains and losses from terminated swaps are included in net realized gains/losses on swap contracts transactions. At December 31, 2009, the Portfolio had no outstanding swap contracts.
J) COMMODITY INDEXED-LINKED NOTES — The Portfolio may invest in structured notes whose value is based on the price movements of a commodity index. The structured notes are often leveraged, increasing the volatility of each note's value relative to the change in the underlying linked financial
20
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
element. The value of these notes will rise and fall in response to changes in the underlying commodity index. Structured notes may entail a greater degree of market risk than other types of debt securities because the investor bears the risk of the underlying commodity index. Structured notes may also be more volatile, less liquid, and more difficult to accurately price than less complex securities or more traditional debt securities. Fluctuations in the value of the structured notes are recorded as unrealized gains and losses in the accompanying financial statements. Net payments are recorded as interest income. These notes are subject to prepayment, credit and interest risks. The Portfolio has the option to request prepayment from the issuer. At maturity, or when a note is sold, the Portfolio records a realized gain or loss. At December 31, 2009, the value of these securities comprised 19.1% of the Portfolio's net assets and resulted in u nrealized appreciation of $8,245,180.
K) SECURITIES LENDING — Loans of securities are required at all times to be secured by collateral at least equal to 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). Cash collateral received by the Portfolio 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 Portfolio'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.
SSB has been engaged by the Portfolio to act as the Portfolio's securities lending agent. The Portfolio's securities lending arrangement provides that the Portfolio and SSB will share the net income earned from securities lending activities. The Portfolio had no securities out on loan during the year ended December 31, 2009. Securities lending income is accrued as earned.
L) OTHER — The Portfolio may invest in securities of foreign countries and governments which involve certain risks in addition to those inherent in domestic investments. Such risks generally include, among others, currency risk (fluctuations in currency exchange rates), information risk (key information may be inaccurate or unavailable) and political risk (expropriation, nationalization or the imposition of capital or currency controls or punitive taxes). Other risks of investing in foreign securities include liquidity and valuation risks.
21
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
In the normal course of business the Portfolio trades financial instruments and enters into financial transactions where 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 Portfolio may be exposed to counterparty risk, or the risk that an institution or other entity with which the Portfolio 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 Portfolio to credit risk, consist principally of cash due from counterparties and investments. The extent of the Portfolio's exposure to credit and counterparty risks in respect to these financial assets approximates their carrying value as recorded in the Portfolio's Statement of Assets and Liabilities.
The Portfolio may be subject to taxes imposed by countries in which it invests with respect to its investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Portfolio accrues such taxes when the related income is earned or gains are realized.
Note 3. Transactions with Affiliates and Related Parties
Credit Suisse serves as investment adviser for the Portfolio. For its investment advisory services, Credit Suisse is entitled to receive a fee from the Portfolio at an annual rate of 0.50% of the Portfolio's average daily net assets. For the year ended December 31, 2009, investment advisory fees earned and voluntarily waived were $426,304 and $209,053, respectively. Credit Suisse will not recapture from the Portfolio any fees it waived during the year ended December 31, 2009. Fee waivers and expense reimbursements are voluntary and may be discontinued by Credit Suisse at any time.
Credit Suisse Asset Management Securities, Inc. ("CSAMSI"), an affiliate of Credit Suisse, and SSB serve as co-administrators to the Portfolio. For its co-administrative services, CSAMSI currently receives a fee calculated at an annual rate of 0.09% of the Portfolio's average daily net assets. For the year ended December 31, 2009, co-administrative services fees earned by CSAMSI were $76,735.
For its co-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
22
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 3. Transactions with Affiliates and Related Parties
December 31, 2009, co-administrative services fees earned by SSB (including out-of-pocket expenses) were $45,854.
In addition to serving as the Portfolio's co-administrator, CSAMSI currently serves as distributor of the Portfolio's shares. Pursuant to distribution plans adopted by the Portfolio pursuant to Rule 12b-1 under the 1940 Act, CSAMSI receives fees for its distribution services. These fees are calculated at an annual rate of 0.25% of the average daily net assets.
Merrill Corporation ("Merrill"), an affiliate of Credit Suisse, has been engaged by the Portfolio to provide certain financial printing services. For the year ended December 31, 2009, Merrill was paid $14,773 for its services by the Portfolio.
Investment in Cayman Commodity Fund II, Ltd. The Portfolio may invest up to 25% of its total assets in the Subsidiary, which invests primarily in commodity and financial futures and options contracts, as well as fixed income securities and other investments intended to serve as margin or collateral for the Subsidiary's derivatives positions. The Portfolio wholly owns and controls the Subsidiary, and the Portfolio and Subsidiary are both managed by Credit Suisse.
The Portfolio does not consolidate the assets, liabilities, capital or operations of the Subsidiary into its financial statements. Rather, the Subsidiary is separately presented as an investment in the Portfolio's Schedule of Investments. Unrealized appreciation or depreciation on the Portfolio's investment in the Subsidiary is recorded in the Portfolio's Statement of Assets and Liabilities and Portfolio's Statement of Operations.
For tax purposes, the Subsidiary is an exempted Cayman investment company. The Subsidiary has received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits and capital gains taxes through June of 2027. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, the Subsidiary is a Controlled Foreign Corporation and as such is not subject to U.S. income tax. However, as a wholly-owned Controlled Foreign Corporation, the Subsidiary's net income and capital gain, to the extent of its earnings and profits, will be included each year in the Portfolio's investment company taxable income.
| | | Beginning
Shares | | Subscriptions | | Redemptions | | Ending
Shares | | Dividend
Income | | Value
of affiliates
at 12/31/09 | |
Credit Suisse Cayman
Commodity Fund II, Ltd. | | | 38,027,058 | | | | 11,899,312 | | | | (15,252,402 | ) | | | 34,673,968 | | | $ | — | | | $ | 24,978,028 | | |
23
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 4. Line of Credit
The Portfolio, together with other funds/portfolios advised by Credit Suisse (collectively, the "Participating Funds"), participates in a $50 million committed, unsecured line of credit facility ("Credit Facility") for temporary or emergency purposes with SSB. Under the terms of the Credit Facility, the Participating Funds pay an aggregate commitment fee on the average unused amount of the Credit Facility, which is allocated among the Participating Funds in such manner as is determined by the governing Boards of the Participating Funds. In addition, the Participating Funds pay interest on borrowings at either the Overnight Federal Funds rate or the Overnight LIBOR rate plus a spread. At December 31, 2009, and during the year ended December 31, 2009, the Portfolio had no borrowings under the Credit Facility.
Note 5. Purchases and Sales of Securities
For the year ended December 31, 2009, 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 | |
| $ | 11,000,000 | | | $ | 12,995,518 | | | $ | 33,163,274 | | | $ | 16,618,743 | | |
Note 6. Capital Share Transactions
The Trust is authorized to issue an unlimited number of full and fractional shares of beneficial interest, $.001 par value per share. Transactions in capital shares of the Portfolio were as follows:
| | | For the Year Ended
December 31, 2009 | | For the Year Ended
December 31, 2008 | |
| Shares sold | | | 3,454,889 | | | | 5,618,528 | | |
Shares issued in reinvestment of
dividends and distributions | | | 1,387,148 | | | | 759,506 | | |
| Shares redeemed | | | (558,672 | ) | | | (1,430,308 | ) | |
| Net increase | | | 4,283,365 | | | | 4,947,726 | | |
24
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 6. Capital Share Transactions
On December 31, 2009, the number of shareholders that held 5% or more of the outstanding shares of the Portfolio was as follows:
Number of
Shareholders | | Approximate Percentage
of Outstanding Shares | |
| | 1 | | | | 93 | % | |
Some of the shareholders are omnibus accounts, which hold shares on behalf of individual shareholders.
Note 7. Federal Income Taxes
Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
The tax characteristics of dividends and distributions paid during the years ended December 31, 2009 and 2008, respectively, by the Portfolio were as follows:
| Ordinary Income | | Long-Term Capital Gain | |
| 2009 | | 2008 | | 2009 | | 2008 | |
| $ | 10,619,456 | | | $ | 5,602,337 | | | $ | 0 | | | $ | 2,338,795 | | |
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 earnings and redemptions from the investment in the wholly-owned, affiliated subsidiary.
At December 31, 2009, the components of distributable earnings on a tax basis were as follows:
| Undistributed net investment income | | $ | 343,514 | | |
| Accumulated realized loss | | | (11,992,610 | ) | |
| Unrealized depreciation | | | (24,569,705 | ) | |
| | | $ | (36,218,801 | ) | |
At December 31, 2009, the Portfolio had capital loss carryforwards available to offset possible future capital gains as follows:
| Expires December 31, | |
| 2016 | | 2017 | |
| $ | 6,043,468 | | | $ | 5,949,142 | | |
25
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 7. Federal Income Taxes
During the tax year ended December 31, 2009, the Portfolio did not utilize any of the capital loss carryforwards.
It is uncertain whether the Portfolio will be able to realize the benefits of the capital loss carryforwards before they expire.
At December 31, 2009, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized depreciation from investments were $132,930,159, $13,980,896, $(38,550,601) and $(24,569,705), respectively.
At December 31, 2009, the Portfolio had no reclassifications to adjust for current period permanent book/tax differences.
Note 8. Contingencies
In the normal course of business, the Portfolio may provide general indemnifications pursuant to certain contracts and organizational documents. The Portfolio's maximum exposure under these arrangements is dependent on future claims that may be made against the Portfolio and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote.
Note 9. Subsequent Events
Effective June 30, 2009, the Portfolio adopted the Financial Accounting Standards Board ("FASB") amendments to general standards on accounting for and disclosures of subsequent events. Management has evaluated the possibility of subsequent events existing in the Portfolio's financial statements through February 18, 2010. Management has determined that there are no material events that would require disclosure in the Portfolio's financial statements through this date.
26
Credit Suisse Trust — Commodity Return Strategy Portfolio
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
Credit Suisse Trust — Commodity Return Strategy Portfolio:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Credit Suisse Trust — Commodity Return Strategy Portfolio (the "Portfolio") at December 31, 2009, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the four years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolio's management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted ou r audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at December 31, 2009 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 18, 2010
27
Credit Suisse Trust — Commodity Return Strategy Portfolio
Board Approval of Advisory Agreement (unaudited)
In approving the renewal of the current Advisory Agreement, the Board of Trustees, including the Independent Trustees, at a meeting held on November 16 and 17, 2009, considered the following factors with respect to the Commodity Return Strategy Portfolio (the "Portfolio"):
Investment Advisory Fee Rates
The Board reviewed and considered the contractual advisory fee rate of 0.50% for the Portfolio ("Contractual Advisory Fee") in light of the extent and quality of the advisory services provided by Credit Suisse Asset Management, LLC ("Credit Suisse"). The Board also reviewed and considered the fee waivers currently in place for the Portfolio and considered the actual fee rate of 0.25% paid by the Portfolio after taking waivers into account ("Net Advisory Fee"). The Board acknowledged that voluntary fee waivers could be discontinued at any time.
Additionally, the Board received and considered information comparing the Portfolio's Contractual Advisory Fee, Net Advisory Fee and the Portfolio's overall expenses with those of funds in both the relevant expense group ("Expense Group") and universe of funds ("Expense Universe") provided by Lipper Inc., an independent provider of investment company data.
Nature, Extent and Quality of the Services under the Advisory Agreement
The Board received and considered information regarding the nature, extent and quality of services provided to the Portfolio by Credit Suisse under the Advisory Agreement. The Board also noted information received at regular meetings throughout the year related to the services rendered by Credit Suisse. The Board reviewed background information about Credit Suisse, including its Form ADV. The Board considered the background and experience of Credit Suisse's senior management and the expertise of, and the amount of attention given to the Portfolio by, senior personnel of Credit Suisse. In addition, the Board reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day portfolio management of the Portfolio and the extent of the resources devoted to research and analysis of actual and potential investments. The Board also received and considered information about the na ture, extent and quality of services and fee rates offered to other Credit Suisse clients for comparable services.
28
Credit Suisse Trust — Commodity Return Strategy Portfolio
Board Approval of Advisory Agreement (unaudited) (continued)
Portfolio Performance
The Board received and considered performance results of the Portfolio over time, along with comparisons both to the relevant performance group ("Performance Group") and universe of funds ("Performance Universe") for the Portfolio. The Board was provided with a description of the methodology used to arrive at the funds included in the Performance Group and the Performance Universe.
Credit Suisse Profitability
The Board received and considered a profitability analysis of Credit Suisse based on the fees payable under the Advisory Agreement for the Portfolio, including any fee waivers, as well as other relationships between the Portfolio on the one hand and Credit Suisse affiliates on the other. The Board received profitability information for the other funds in the Credit Suisse family of funds.
Economies of Scale
The Board considered whether economies of scale in the provision of services to the Portfolio were being passed along to the shareholders. Accordingly, the Board considered whether alternative fee structures (such as breakpoint fee structures) would be more appropriate or reasonable taking into consideration economies of scale or other efficiencies that might accrue from increases in the Portfolio's asset levels.
Other Benefits to Credit Suisse
The Board considered other benefits received by Credit Suisse and its affiliates as a result of their relationship with the Portfolio. Such benefits include, among others, benefits potentially derived from an increase in Credit Suisse's businesses as a result of its relationship with the Portfolio (such as the ability to market to shareholders other financial products offered by Credit Suisse and its affiliates).
The Board considered the standards applied in seeking best execution and reviewed Credit Suisse's method for allocating portfolio investment opportunities among its advisory clients.
29
Credit Suisse Trust — Commodity Return Strategy Portfolio
Board Approval of Advisory Agreement (unaudited) (continued)
Conclusions
In selecting Credit Suisse, and approving the Advisory Agreement and the investment advisory fee under such agreement, the Board concluded that:
• The combined Contractual Advisory Fee and co-administration fee, as well as the Net Advisory Fee, were among the lowest in the Expense Group, and the Board considered the fee to be reasonable.
• The Portfolio commenced operations on February 28, 2006 and therefore performance information was shown only for the one, two and three year periods. The Portfolio's performance was below the median of both its Performance Group and Performance Universe for all of those periods except for the two year period of its Performance Universe. The Board determined that it would continue to monitor steps undertaken by Credit Suisse to improve performance.
• The Board was satisfied with the nature and extent of the investment advisory services provided to the Portfolio by Credit Suisse and that, based on dialogue with management and counsel, the services provided by Credit Suisse under the Advisory Agreement are typical of, and consistent with, those provided to similar mutual funds by other investment advisers.
• In light of the costs of providing investment management and other services to the Portfolio and Credit Suisse's ongoing commitment to the Portfolio and willingness to waive fees, the profits and other ancillary benefits that Credit Suisse and its affiliates received were considered reasonable.
• Credit Suisse's profitability based on fees payable under the Advisory Agreement was reasonable in light of the nature, extent and quality of the services provided to the Portfolio thereunder.
• In light of the combined Contractual Advisory Fee and co-administration fee, as well as the fee waivers and the Net Advisory Fee, the Portfolio's current fee structure (without breakpoints) was considered reasonable.
No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the Advisory Agreement. The Independent Trustees were advised by separate independent legal counsel throughout the process.
30
Credit Suisse Trust — Commodity Return Strategy Portfolio
Information Concerning Trustees and Officers (unaudited)
Name, Address
(Year of Birth) | | Position(s)
Held with
Trust | | 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
Directorships
Held by Trustee | |
| Independent Trustees | | | | | | | | | | | |
|
Enrique Arzac
c/o Credit Suisse Asset Management, LLC
Attn: General Counsel Eleven Madison Avenue New York, New York
10010
(1941) | | Trustee,
Audit Committee Chairman and Nominating Committee Member | | Since Portfolio Inception | | Professor of Finance and Economics, Graduate School of Business, Columbia University since 1971. | | | 13 | | | Director of Epoch Holding Corporation (an investment management and investment advisory services company); Director of Starcomms PLC. (telecommunications company); Director of The Adams Express Company, Petroleum and Resources Corporation, The Chile Fund, Inc., The Indonesia Fund, Inc., The First Israel Fund, Inc., The Latin America Equity Fund, Inc. and The Emerging Markets Telecommunications Fund, Inc. (each a closed-end investment company). | |
|
Jeffrey E. Garten
Box 208200
New Haven, Connecticut 06520-8200
(1946) | | Trustee,
Audit and Nominating Committee Member | | Since Portfolio Inception | | The Juan Trippe Professor in the Practice of International Trade, Finance and Business from July 2005 to present; Partner and Chairman of Garten Rothkopf (consulting firm) from October 2005 to present; Dean of Yale School of Management from November 1995 to June 2005. | | | 11 | | | Director of Aetna, Inc. (insurance company); Director of CarMax Group (used car dealers). | |
|
1 Each Trustee and Officer serves until his or her respective successor has been duly elected and qualified.
31
Credit Suisse Trust — Commodity Return Strategy Portfolio
Information Concerning Trustees and Officers (unaudited) (continued)
Name, Address
(Year of Birth) | | Position(s)
Held with
Trust | | 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
Directorships
Held by Trustee | |
| Independent Trustees | | | | | | | | | | | |
|
Peter F. Krogh
c/o Credit Suisse Asset Management, LLC
Attn: General Counsel Eleven Madison Avenue New York, New York
10010
(1937) | | Trustee,
Audit and Nominating Committee Member | | Since Portfolio Inception | | Dean Emeritus and Distinguished Professor of International Affairs at the Edmund A. Walsh School of Foreign Service, Georgetown University from June 1995 to present. | | | 11 | | | None | |
|
Steven N. Rappaport
Lehigh Court, LLC
555 Madison Avenue
29th Floor
New York, New York
10022
(1948) | | Chairman of the Board of Trustees, Audit Committee Member and Nominating Committee Chairman | | Since Portfolio Inception | | Partner of Lehigh Court, LLC and RZ Capital (private investment firms) from July 2002 to present. | | | 13 | | | Director of iCAD, Inc. (surgical and medical instruments and apparatus company); Director of Presstek, Inc. (digital imaging technologies company); Director of Wood Resources, LLC. (plywood manufacturing company); Director of The Chile Fund, Inc., The Indonesia Fund, Inc., The First Israel Fund, Inc., The Latin America Equity Fund, Inc. and The Emerging Markets Telecommunications Fund, Inc. (each a closed-end investment company). | |
|
32
Credit Suisse Trust — Commodity Return Strategy Portfolio
Information Concerning Trustees and Officers (unaudited) (continued)
Name, Address
(Year of Birth) | | Position(s)
Held with
Trust | | Term
of Office1
and
Length
of Time
Served | | Principal Occupation(s) During Past Five Years | |
| Officers** | | | | | | | |
|
George R. Hornig
Credit Suisse Asset Management, LLC
Eleven Madison Avenue New York, New York
10010
(1954) | | Chief Executive Officer and President | | Since
2008 | | Managing Director of Credit Suisse; Co-Chief Operating Officer of Asset Management and Head of Asset Management Americas; Associated with Credit Suisse since 1999; Officer of other Credit Suisse Funds. | |
|
Michael A. Pignataro
Credit Suisse Asset Management, LLC
Eleven Madison Avenue New York, New York
10010
(1959) | | Chief Financial Officer | | Since Portfolio Inception | | Director and Director of Fund Administration of Credit Suisse; Associated with Credit Suisse or its predecessor since 1984; 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 Portfolio Inception | | Director and Global Head of Compliance of Credit Suisse; Associated with Credit Suisse since July 2000; Officer of other Credit Suisse Funds. | |
|
J. Kevin Gao
Credit Suisse Asset Management, LLC
Eleven Madison Avenue New York, New York
10010
(1967) | | Chief Legal Officer since 2006, Vice President and Secretary since Portfolio Inception | | Since Portfolio Inception | | Director and Legal Counsel of Credit Suisse; Associated with Credit Suisse since July 2003; Officer of other Credit Suisse Funds. | |
|
Cecilia Chau
Credit Suisse Asset Management, LLC
Eleven Madison Avenue New York, New York
10010
(1973) | | Treasurer | | Since
2008 | | Vice President of Credit Suisse since 2009; Assistant Vice President of Credit Suisse from June 2007 to December 2008; Associated with Alliance Bernstein L.P. from January 2007 to May 2007; Associated with Credit Suisse from August 2000 to December 2006; Officer of other Credit Suisse Funds. | |
|
** The officers of the Portfolio shown are officers that make policy decisions.
The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling 800-222-8977.
33
Credit Suisse Trust — Commodity Return Strategy Portfolio
Proxy Voting and Portfolio Holdings Information (unaudited)
Information regarding how the Portfolio voted proxies related to its portfolio securities during the 12 month period ended June 30 of each year, as well as the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities are available:
• By calling 1-800-222-8977
• On the Portfolio's website, www.credit-suisse.com/us
• On the website of the Securities and Exchange Commission, www.sec.gov.
The Portfolio files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Portfolio's Forms N-Q are available on the SEC's website at www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the SEC's Public Reference Room may be obtained by calling 1-202-551-8090.
34
n CREDIT SUISSE
CAYMAN COMMODITY FUND II, LTD.
for the Year Ended December 31, 2009
35
Credit Suisse Cayman Commodity Fund II, Ltd.
Schedule of Investments
December 31, 2009
Par
(000) | | | | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| UNITED STATES AGENCY OBLIGATIONS (63.4%) | |
| $ | 500 | | | Fannie Mae Discount Notes | | (AAA, Aaa) | | 01/06/10 | | | 0.300 | | | $ | 499,979 | | |
| | 500 | | | Fannie Mae Discount Notes | | (AAA, Aaa) | | 05/19/10 | | | 0.160 | | | | 499,794 | | |
| | 220 | | | Fannie Mae Discount Notes‡‡ | | (AAA, Aaa) | | 07/01/10 | | | 0.230 | | | | 219,793 | | |
| | 500 | | | Fannie Mae Discount Notes | | (AAA, Aaa) | | 10/01/10 | | | 0.350 | | | | 498,950 | | |
| | 1,000 | | | Federal Farm Credit Bank# | | (AAA, Aaa) | | 11/02/11 | | | 0.215 | | | | 999,937 | | |
| | 1,000 | | | Federal Farm Credit Bank# | | (AAA, Aaa) | | 01/13/12 | | | 0.534 | | | | 1,006,243 | | |
| | 1,500 | | | Federal Home Loan Bank Discount Notes | | (AAA, Aaa) | | 02/10/10 | | | 0.120 | | | | 1,499,800 | | |
| | 500 | | | Federal Home Loan Banks# | | (AAA, Aaa) | | 07/13/10 | | | 0.184 | | | | 500,051 | | |
| | 1,000 | | | Federal Home Loan Banks | | (AAA, Aaa) | | 01/20/11 | | | 0.850 | | | | 1,002,650 | | |
| | 400 | | | Federal Home Loan Banks | | (AAA, Aaa) | | 02/07/11 | | | 1.000 | | | | 401,078 | | |
| | 400 | | | Federal Home Loan Banks | | (AAA, Aaa) | | 02/28/11 | | | 1.000 | | | | 401,493 | | |
| | 1,000 | | | Federal Home Loan Banks | | (AAA, Aaa) | | 03/25/11 | | | 0.750 | | | | 999,697 | | |
| | 500 | | | Federal Home Loan Mortgage Corp.# | | (AAA, Aaa) | | 04/01/11 | | | 0.350 | | | | 500,897 | | |
| | 1,000 | | | Federal Home Loan Mortgage Corp.# | | (AAA, Aaa) | | 04/07/11 | | | 0.334 | | | | 1,001,691 | | |
| | 500 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 01/11/10 | | | 0.210 | | | | 499,971 | | |
| | 800 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 01/26/10 | | | 0.220 | | | | 799,878 | | |
| | 1,000 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 02/02/10 | | | 0.120 | | | | 999,893 | | |
| | 1,500 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 02/23/10 | | | 0.125 | | | | 1,499,724 | | |
| | 1,000 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 04/01/10 | | | 0.110 | | | | 999,782 | | |
| | 1,000 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 04/19/10 | | | 0.140 | | | | 999,737 | | |
| TOTAL UNITED STATES AGENCY OBLIGATIONS (Cost $15,832,634) | | | 15,831,038 | | |
| UNITED STATES TREASURY OBLIGATION (4.0%) | | | |
| | 1,000 | | | United States Treasury Bills (Cost $999,545) | | (AAA, Aaa) | | 04/15/10 | | | 0.158 | | | | 999,798 | | |
| SHORT-TERM INVESTMENT (17.5%) | | | |
| | 4,371 | | | State Street Bank and Trust Co. Euro
Time Deposit (Cost $4,371,000) | | | | 01/04/10 | | | 0.010 | | | | 4,371,000 | | |
| TOTAL INVESTMENTS AT VALUE (84.9%) (Cost $21,203,179) | | | 21,201,836 | | |
| OTHER ASSETS IN EXCESS OF LIABILITIES (15.1%) | | | 3,776,192 | | |
| NET ASSETS (100.0%) | | $ | 24,978,028 | | |
† Credit ratings given by the Standard & Poor's Division of The McGraw-Hill Companies, Inc. ("S&P") and Moody's Investors Service, Inc. ("Moody's") are unaudited.
‡‡ Collateral segregated for futures contracts.
# Variable rate obligations — The interest rate is the rate as of December 31, 2009.
See Accompanying Notes to Financial Statements.
36
Credit Suisse Cayman Commodity Fund II, Ltd.
Statement of Assets and Liabilities
December 31, 2009
| Assets | |
| Investments at value (Cost $21,203,179) (Note 2) | | $ | 21,201,836 | | |
| Cash | | | 864 | | |
| Cash segregated at brokers for futures contracts and swap contracts | | | 3,950,197 | | |
| Receivable from investment adviser (Note 3) | | | 40,383 | | |
| Interest receivable | | | 10,992 | | |
| Total Assets | | | 25,204,272 | | |
| Liabilities | |
| Unrealized depreciation on open swap contracts | | | 209,273 | | |
| Variation margin payable (Note 2) | | | 5,320 | | |
| Other accrued expenses payable | | | 11,651 | | |
| Total Liabilities | | | 226,244 | | |
| Net Assets | |
| Par value of participating shares (Note 4) | | | 34,674 | | |
| Paid-in capital (Note 4) | | | 46,365,326 | | |
| Undistributed net investment income | | | 298,203 | | |
| Accumulated net realized loss on investments, futures contracts and swap contracts | | | (21,455,281 | ) | |
| Net unrealized depreciation from investments, futures contracts and swap contracts | | | (264,894 | ) | |
| Net Assets | | $ | 24,978,028 | | |
| Shares outstanding | | | 34,673,968 | | |
| Net asset value, offering price and redemption price per share | | $ | 0.72 | | |
See Accompanying Notes to Financial Statements.
37
Credit Suisse Cayman Commodity Fund II, Ltd.
Statement of Operations
For the Year Ended December 31, 2009
| Investment Income (Note 2) | |
| Interest | | $ | 57,407 | | |
| Expenses | |
| Administrative services fees (Note 3) | | | 9,760 | | |
| Audit fees | | | 24,000 | | |
| Total expenses | | | 33,760 | | |
| Less: fees reimbursed (Note 3) | | | (33,760 | ) | |
| Net expenses | | | — | | |
| Net investment income | | | 57,407 | | |
| Net Realized and Unrealized Gain (Loss) from Investments, Futures Contracts and Swap Contracts | |
| Net realized gain from investments | | | 1,828 | | |
| Net realized gain from futures contracts | | | 41,150 | | |
| Net realized gain from swap contracts | | | 13,403,734 | | |
Net change in unrealized appreciation (depreciation) from investments, futures contracts and
swap contracts | | | (2,206,126 | ) | |
| Net realized and unrealized gain from investments, futures contracts and swap contracts | | | 11,240,586 | | |
| Net increase in net assets resulting from operations | | $ | 11,297,993 | | |
See Accompanying Notes to Financial Statements.
38
Credit Suisse Cayman Commodity Fund II, Ltd.
Statements of Changes in Net Assets
| | | For the Year
Ended
December 31, 2009 | | For the Year
Ended
December 31, 2008 | |
| From Operations | |
| Net investment income | | $ | 57,407 | | | $ | 220,652 | | |
Net realized gain (loss) from investments, futures contracts and
swap contracts | | | 13,446,712 | | | | (34,978,220 | ) | |
Net change in unrealized appreciation (depreciation) from investments,
futures contracts and swap contracts | | | (2,206,126 | ) | | | 1,952,023 | | |
| Net increase (decrease) in net assets resulting from operations | | | 11,297,993 | | | | (32,805,545 | ) | |
| From Capital Share Transactions (Note 4) | |
| Proceeds from sale of shares | | | 4,000,000 | | | | 48,400,000 | | |
| Net asset value of shares redeemed | | | (7,000,000 | ) | | | — | | |
| Net increase (decrease) in net assets from capital share transactions | | | (3,000,000 | ) | | | 48,400,000 | | |
| Net increase in net assets | | | 8,297,993 | | | | 15,594,455 | | |
| Net Assets | |
| Beginning of year | | | 16,680,035 | | | | 1,085,580 | | |
End of year (including undistributed net investment income
of $298,203, and $240,796, respectively) | | $ | 24,978,028 | | | $ | 16,680,035 | | |
See Accompanying Notes to Financial Statements.
39
Credit Suisse Cayman Commodity Fund II, Ltd.
Notes to Financial Statements
December 31, 2009
Note 1. Organization
Credit Suisse Cayman Commodity Fund II, Ltd. (the "Fund") is organized as a Cayman Islands Company. The Fund intends to carry on the business of an investment company. The Fund's investment manager is Credit Suisse Asset Management, LLC ("Credit Suisse"). As of December 31, 2009, 100% of the Fund's participating shares were owned by Credit Suisse Trust — Commodity Return Strategy Portfolio (the "Portfolio").
Note 2. Significant Accounting Policies
A) SECURITY VALUATION — 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. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (the "Valuation Time"). If no sales are reported, equ ity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities. Investments in mutual funds are valued at the mutual fund's closing net asset value per share on the day of valuation. Swap contracts are generally valued at a price at which the counterparty to such contract would repurchase the instrument or terminate the contract. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Securities, options, futures contracts and other assets (including swaps and structured note agreements), for which market quotations are not readily available, or whose values have been materially affected by events occurring before the Fund's Valuation Time but after the close of the securities' primary markets, are valued at fair value as determined in good faith by, or under the direction of, the Board of Directors under procedures esta blished by the Board of Directors. The Fund may utilize a service provided by an independent third party which has been approved by the Board of Directors to fair value certain securities. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.
40
Credit Suisse Cayman Commodity Fund II, Ltd.
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
In accordance with the authoritative guidance on fair value measurements and disclosures under accounting principles generally accepted in the United States of America ("GAAP"), the Fund discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. GAAP established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a part icular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is 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 methodology used for valuing 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 December 31, 2009 in valuing the Fund's investments carried at value:
| | | Level 1 | | Level 2 | | Level 3 | | Total | |
| Investments in Securities | |
| United States Agency Obligations | | $ | — | | | $ | 15,831,038 | | | $ | — | | | $ | 15,831,038 | | |
| United States Treasury Obligations | | | — | | | | 999,798 | | | | — | | | | 999,798 | | |
| Short-Term Investment | | | — | | | | 4,371,000 | | | | — | | | | 4,371,000 | | |
| Other Financial Instruments* | |
| Futures | | | (54,277 | ) | | | — | | | | — | | | | (54,277 | ) | |
| Swaps | | | — | | | | (209,273 | ) | | | — | | | | (209,273 | ) | |
| | | $ | (54,277 | ) | | $ | 20,992,563 | | | $ | — | | | $ | 20,938,286 | | |
*Other financial instruments include futures, forwards and swap contracts.
41
Credit Suisse Cayman Commodity Fund II, Ltd.
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
B) DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES — Effective January 1, 2009, the Fund adopted amendments to authoritative guidance on disclosures about derivative instruments and hedging activities which require that the 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.
Fair Values of Derivative Instruments as of December 31, 2009
| | | Asset Derivatives | | Liability Derivatives | |
| | | Balance Sheet
Location | | Fair Value | | Balance Sheet
Location | | Fair Value | |
| | | Variation margin | | | | | | Variation margin | | |
| | |
| | | receivable, Net | | | | | | payable, Liabilities — | | |
| | |
| Futures Contracts on | | Assets — Unrealized | | | | | | Unrealized | | |
| | |
| Commodities | | Appreciation | | $ | 0 | | | Depreciation | | $ | 54,277 | * | |
Commodity Index
Swaps | | Net Assets —
Unrealized
Appreciation | | | 0 | | | Liabilities —
Unrealized
Depreciation | | | 209,273 | | |
| Total | | | | $ | 0 | | | | | $ | 263,550 | | |
*Includes cumulative appreciation/depreciation of futures contracts as reported in the Statement of Assets and Liabilities and Notes to Financial Statements. Only the current day's variation margin is reported within the Statement of Assets and Liabilities.
Effect of Derivative Instruments on the Statement of Operations
Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Futures Contracts on Commodities | | $ | 41,150 | | |
| Commodity Index Swaps | | | 13,403,734 | | |
| Total | | $ | 13,444,884 | | |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Futures Contracts on Commodities | | $ | 68,586 | | |
| Commodity Index Swaps | | | (2,254,887 | ) | |
| Total | | $ | (2,186,301 | ) | |
The notional amount of futures contracts and commodity index swaps at period end are reflected in the Notes to Financial Statements and the volume of these open positions relative to the net assets of the Portfolio is generally representative of open positions throughout the reporting period for the Portfolio.
C) SECURITY TRANSACTIONS AND INVESTMENT INCOME — Security transactions are accounted for on a trade date basis. Interest income is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts
42
Credit Suisse Cayman Commodity Fund II, Ltd.
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
using the effective interest method. Dividends are 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.
D) INCOME TAXES — The Fund has received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits and capital gains taxes through June of 2027. No such taxes are levied in the Cayman Islands at the present time. The Fund is a Controlled Foreign Corporation under U.S. tax laws and as such is not subject to U.S. income tax. Therefore, the Fund is not required to record a tax provision.
The Fund adopted the authoritative guidance for uncertainty in income taxes and recognizes a tax benefit 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.
E) USE OF ESTIMATES — The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclose of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
F) FUTURES — The Fund may enter into futures contracts to the extent permitted by its investment policies and objectives. The Fund may use futures contracts to gain exposure to, or hedge against changes in commodities. Upon entering into a futures contract, the Fund is required to deposit cash and/or pledge U.S. Government securities as initial margin. Subsequent payments, which are dependent on the daily fluctuations in the value of the underlying instrument, are made or received by the Fund each day (daily variation margin) and are recorded as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund's basis in the contract. Risks of entering into futures contracts for hedging purposes include the possibility that a change in the value of the contract may not corr elate with the changes in the value of the underlying instruments. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange's clearinghouse, as
43
Credit Suisse Cayman Commodity Fund II, Ltd.
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
counterparty to all exchange traded futures, guarantees the futures against default. In addition, the purchase of a futures contract involves the risk that the Fund could lose more than the original margin deposit and subsequent payments may be required for a futures transaction. At December 31, 2009, the Fund had the following open futures contracts:
| Contract Description | | Notional
Value | | Unrealized
Appreciation (Depreciation) | |
| Contracts to Purchase | | | | | | | |
| Energy | | | 271,000 | | | $ | 33,486 | | |
| | | $ | 33,486 | | |
| Contracts to Sell | | | | | | | |
| Energy | | | (271,000 | ) | | $ | (87,763 | ) | |
| | | $ | (87,763 | ) | |
Net unrealized appreciation
(depreciation) | | | | $ | (54,277 | ) | |
G) SWAPS — The Fund may enter into commodity index swaps for hedging purposes or to seek to increase total return. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset or notional principal amount. The Fund will enter into commodity index swaps only on a net basis, which means that the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments. Risks may arise as a result of the failure of the counterparty to the swap contract to comply with the terms of the swap contract. The Fund's maximum risk of loss from the counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the contract's remaining life, to the extent that the amoun t is positive. This risk is mitigated by having a master netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund's exposure to the counterparty. Therefore, the Fund considers the creditworthiness of each counterparty to a swap contract in evaluating potential credit risk. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying reference asset or index.
The Fund may enter into total return swap contracts, involving commitments to pay interest in exchange for a market-linked return, both based on notional
44
Credit Suisse Cayman Commodity Fund II, Ltd.
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
amounts. To the extent the total return of the security or index underlying the transactions exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty.
The Fund records unrealized gains or losses on a daily basis representing the value and the current net receivable or payable relating to open swap contracts. Net amounts received or paid on the swap contract are recorded as realized gains or losses. Fluctuations in the value of swap contracts are recorded for financial statement purposes as unrealized appreciation or depreciation on swap contracts. Realized gains and losses from terminated swaps are included in net realized gains/losses on swap contracts transactions. At December 31, 2009, the Fund had the following outstanding swap contracts:
| Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive | | Pay | | Unrealized
Appreciation/
(Depreciation) | |
| USD | | | | $ | 17,902,130 | | | 1/27/2010 | | Barclays | | Commodity Index Return | | Fee plus
Treasury Bill Rate | | $ | (58,195 | ) | |
| USD | | | | $ | 41,079,935 | | | 1/27/2010 | | Bank of America | | Commodity Index Return | | Fee plus
Treasury Bill Rate | | | (133,539 | ) | |
| USD | | | | $ | 5,406,562 | | | 1/29/2010 | | Societe Generale | | Commodity Index Return | | Fee plus
Treasury Bill Rate | | | (17,539 | ) | |
| | | $ | (209,273 | ) | |
Note 3. Transactions with Affiliates and Related Parties
Credit Suisse recognizes that it receives compensation for performing investment advisory services for the Credit Suisse Trust — Commodity Return Strategy Portfolio pursuant to a separate investment advisory agreement and agrees to receive no additional compensation for rendering its services to the Fund. During the year ended December 31, 2009, Credit Suisse voluntarily reimbursed the Fund $33,760 in Fund expenses. Credit Suisse will not recapture from the Fund any fees it waived or expenses it reimbursed during the year ended December 31, 2009. Fee waivers and expense reimbursements are voluntary and may be discontinued by Credit Suisse at any time.
State Street Bank and Trust Company ("SSB") serves as administrator to 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 for each fund/portfolio, subject to annual minimum fee. For the year ended December 31, 2009, administrative services fees earned by SSB were $9,760.
45
Credit Suisse Cayman Commodity Fund II, Ltd.
Notes to Financial Statements (continued)
December 31, 2009
Note 4. Capital Share Transactions
The Fund issued 100,000 participating shares for $1,000,000 on July 27, 2007 in conjunction with the initial capitalization of the Fund. Capital transactions were as follows:
| | | For the Year Ended
December 31, 2009 | | For the Year Ended
December 31, 2008 | |
| | | Shares | | Value | | Shares | | Value | |
| Shares sold | | | 11,899,312 | | | $ | 4,000,000 | | | | 37,927,058 | | | $ | 48,400,000 | | |
| Shares redeemed | | | (15,252,402 | ) | | | (7,000,000 | ) | | | — | | | | — | | |
| Net increase (decrease) | | | (3,353,090 | ) | | $ | (3,000,000 | ) | | | 37,927,058 | | | $ | 48,400,000 | | |
Note 5. Financial Highlights
The following represents the total return of the Fund for the year ended December 31, 2009 and the year ended December 31, 2008, respectively. Total returns were calculated based upon the daily returns of the Fund during the years represented.
| | | For the Year Ended
December 31, 2009 | | For the Year Ended
December 31, 2008 | |
| Total Return | | | 63.64 | % | | | (95.95 | )% | |
The following represents certain financial ratios of the Fund for the years noted. The computation of the net investment income and total expense ratios was based upon the daily net assets of the Fund during these years.
| Ratio to Average Net Assets: | | For the Year Ended
December 31, 2009 | | For the Year Ended
December 31, 2008 | |
| Net investment income | | | 0.31 | % | | | 2.08 | % | |
| Total expenses (before expense reimbursement) | | | 0.18 | % | | | 0.29 | % | |
| Total expenses (after expense reimbursement) | | | 0.00 | % | | | 0.00 | % | |
Note 6. 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.
46
Credit Suisse Cayman Commodity Fund II, Ltd.
Notes to Financial Statements (continued)
December 31, 2009
Note 7. Subsequent Events
Effective June 30, 2009, the Fund adopted the Financial Accounting Standards Board ("FASB") amendments to general standards on accounting for and disclosures of subsequent events. Management has evaluated the possibility of subsequent events existing in the Fund's financial statements through February 18, 2010. Management has determined that there are no material events that would require disclosure in the Fund's financial statements through this date.
47
Credit Suisse Cayman Commodity Fund II, Ltd.
Report of Independent Registered Public Accounting Firm
To the Board of Directors and Shareholders of
Credit Suisse Cayman Commodity Fund II, Ltd.:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets, present fairly, in all material respects, the financial position of Credit Suisse Cayman Commodity Fund II, Ltd. (the "Fund") at December 31, 2009, the results of its operations for the year then ended and the changes in its net assets for each of the two years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain rea sonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at December 31, 2009 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 18, 2010
48
P.O. BOX 55030, BOSTON, MA 02205-5030
800-222-8977 n www.credit-suisse.com/us
CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., DISTRIBUTOR. TRCOM-AR-1209
CREDIT SUISSE FUNDS
Annual Report
December 31, 2009
CREDIT SUISSE TRUST
n U.S. EQUITY FLEX I PORTFOLIO
Credit Suisse Trust (the "Trust") shares are not available directly to individual investors, but may be offered only through certain insurance products and pension and retirement plans.
The Trust's investment objectives, risks, charges and expenses (which should be considered carefully before investing), and more complete information about the Trust, are provided in the Prospectus, which should be read carefully before investing. You may obtain additional copies by calling 800-222-8977 or by writing to Credit Suisse Trust, P.O. Box 55030, Boston, MA 02205-5030.
Credit Suisse Asset Management Securities, Inc., Distributor, is located at Eleven Madison Avenue, New York, NY 10010. The Trust is advised by Credit Suisse Asset Management, LLC.
The views of the Portfolio's management are as of the date of the letter and the Portfolio holdings described in this document are as of December 31, 2009; these views and Portfolio holdings may have changed subsequent to these dates. Nothing in this document is a recommendation to purchase or sell securities.
Portfolio shares are not deposits or other obligations of Credit Suisse Asset Management, LLC ("Credit Suisse") or any affiliate, are not FDIC-insured and are not guaranteed by Credit Suisse or any affiliate. Portfolio investments are subject to investment risks, including loss of your investment.
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Annual Investment Adviser's Report
December 31, 2009 (unaudited)
January 20, 2010
Dear Shareholder:
On May 1, 2009, the Credit Suisse Trust — Small Cap Core Portfolio became the Credit Suisse Trust — U.S. Equity Flex I Portfolio (the "Portfolio"). Concurrently, the investment strategy changed to a "flexible 130/30" strategy whereby the Portfolio generally will hold (i) long positions, either directly or through derivatives, in an amount up to approximately 130% of its net assets and (ii) short positions, either directly or through derivatives, in an amount up to approximately 30% of its net assets. The Portfolio will continue to invest in equity securities of U.S. companies.
Under the new investment strategy, the Portfolio will seek to outperform the Russell 3000® Index (the "Benchmark"). The Benchmark is designed to measure the performance of the largest 3000 U.S. companies, representing approximately 98% of the publicly-traded U.S. equity market.
The Portfolio will continue to follow quantitative portfolio management techniques rather than a traditional fundamental equity research approach, and the Portfolio's portfolio manager will continue to select securities for the Portfolio using the same proprietary quantitative models that it previously employed. For more information regarding the new "flex" investment strategy, please see the Portfolio's prospectus.
For the 12 months ended December 31, 2009, the Credit Suisse Trust — U.S. Equity Flex I Portfolio (the "Portfolio") had a gain of 24.79%, versus an increase of 28.34% for the Benchmark.1
Market Review: A positive end to a challenging year
At the end of 2009, the markets rebounded with the S&P 500 Index total return gaining 26.47% for the year, the Dow Jones Industrial Average increasing 22.68% for the year, and the Benchmark gaining 28.34% for the year.
However, despite what seems to be a global recovery in the markets, there are still signs that a full recovery is a ways off. For example, the U.S. unemployment rate remains at 10.0% (as of November 2009), and the Federal Funds rate continues to be 0.0% - 0.25%. Additionally, the Conference Board Consumer Confidence Index reported 52.9 on December 29, up only slightly from 50.6 in November.
1
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
Strategic Review and Outlook: Look for balance sheet and earnings quality in 2010
On May 1, 2009, the Portfolio's investment strategy changed from a long-only strategy to a flex strategy, which allows long and short positions while maintaining an approximate 100% net long exposure. The term "flex" in the Portfolio's name refers to the ability of the Portfolio to vary from 100% to 130% in its long positions and from 0% to 30% in its short positions, based on market conditions. While the Portfolio intends to utilize short exposure, it may refrain completely from doing so under certain conditions.
The Portfolio continues to be managed by the Quantitative Equities Group within Credit Suisse Asset Management, LLC, which has managed funds with a flex-style strategy since January of 2007. The Quantitative Equities Group believes that utilizing a flex strategy should offer increased return potential for a given level of risk compared to a long-only strategy.
For the year ended December 31, 2009, the Portfolio underperformed its benchmark. Stock selection in the energy, information technology, and consumer discretionary sectors contributed positively to performance, while stock selection in financials detracted from performance. Healthcare and industrials also detracted from performance, due to both stock selection and sector weighting.
Overall, the Portfolio's performance was fairly steady until the latter half of 2009, when the performance lagged as compared to the rally of stocks with higher volatility. It was a difficult environment for individual stock picks, but a good environment for taking directional or thematic bets due to the rapid shift from a bear market to a bull market. Additionally, low summer volume made it harder to trade effectively as increasing retail trading volume and decreasing institutional trading resulted in more erratic stock moves. Against the backdrop of these conditions, the Fund underperformed its benchmark. Despite this trend, we do not believe short-term trading based on trends is sustainable or profitable over the long term. Although we may experience temporary losses, we believe the better strategy is to continue to enter positions at attractive prices and increase the potential for strong longer-term returns going forward.
During the period, Constantin Filitti and Timothy Schwider joined Jordan Low, the lead manager, as portfolio managers of the Credit Suisse Quantitative Equities Group responsible for the day-to-day portfolio management of the Fund.
Going forward, we believe that macro economic factors will have less impact, as the majority of stimulus packages and large bankruptcies have been
2
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
incorporated into market valuations. As the world continues to adjust to the new regime of government support and increased transparency, we expect that stock selection will be more important in the coming months than macro bets. In our opinion, the first stage of the recovery is coming to an end. Market volatility should gradually become less important as investors begin to focus more on underlying fundamentals of companies. We also believe that balance sheet and earnings quality will be positively rewarded in 2010. And, although we expect the market to remain difficult in the near term, we are comfortable with our proactive long-term investment process going forward.
Credit Suisse Quantitative Equities Group
Jordan Low
Constantin Filitti
Timothy Schwider
Short sales expose the portfolio to the risk that it will be required to cover its short position at a time when the securities have appreciated in value, thus resulting in a loss to the portfolio. The portfolio's loss on a short sale could theoretically be unlimited in a case where the portfolio is unable to close out its short position.
Derivatives are subject to a number of risks such as correlation risk, liquidity risk, interest-rate risk, market risk and credit risk. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the portfolio will engage in these transactions to reduce exposure to other risks when that would be beneficial.
The use of leverage subjects the portfolio to the risk of magnified capital losses that can occur when losses affect an asset base — enlarged by borrowings or the creation of liabilities — that exceeds the net assets of the portfolio. The net asset value of the portfolio when employing leverage will be more volatile and sensitive to market movements. Leverage may involve the creation of a liability that requires the portfolio to pay interest.
Investing in small to medium-sized companies may be more volatile and less liquid than investments in larger companies.
3
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
Special situations are unusual developments that affect a company's market value. Examples include mergers, acquisitions and reorganizations. Securities of special-situation companies may decline in value if the anticipated benefits of the special situation do not materialize.
In addition to historical information, this report contains forward-looking statements, which may concern, among other things, domestic and foreign market, industry and economic trends and developments and government regulation and their potential impact on the Portfolio's investments. These statements are subject to risks and uncertainties and actual trends, developments and regulations in the future, and their impact on the Portfolio could be materially different from those projected, anticipated or implied. The Portfolio has no obligation to update or revise forward-looking statements.
4
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
Comparison of Change in Value of $10,000 Investment in the
Credit Suisse Trust — U.S. Equity Flex I Portfolio, the Russell 3000® Index1
and the S&P SmallCap 600 Index1 for Ten Years.
5
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
Average Annual Returns as of December 31, 2009
| 1 Year | | 5 Years | | 10 Years | | Since
Inception2 | |
| | 24.79 | % | | | (3.79 | )% | | | (4.68 | )% | | | 3.62 | % | |
Returns represent past performance and include change in share price and reinvestment of dividends and capital gains. Past performance cannot guarantee future results. The current performance of the Portfolio may be lower or higher than the figures shown. Returns and share price will fluctuate, and redemption value may be more or less than original cost. The performance results do not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares. Performance includes the effect of deducting expenses, but does not include charges and expenses attributable to any particular variable contract or plan. Accordingly, the Prospectus of the sponsoring Participating Insurance Company separate account or plan documents or ot her informational materials supplied by plan sponsors should be carefully reviewed for information on relevant charges and expenses. Excluding these charges and expenses from quotations of performance has the effect of increasing the performance quoted, and the effect of these charges should be considered when comparing performance to that of other mutual funds. Performance information current to the most recent month-end is available at www.credit-suisse.com/us.
The annualized gross and net expense ratios are 1.81%.
1 The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represent approximately 98% of the investable U.S. equity market. It is an unmanaged index of common stocks that includes reinvestment of dividends and is compiled by Frank Russell Company. Effective May 1, 2009, the Russell 3000® Index replaced the Standard & Poor's SmallCap 600 Index as the benchmark-index for the Portfolio. The Standard & Poor's SmallCap 600 Index is an unmanaged market-weighted index of 600 U.S. stocks selected on the basis of market capitalization, liquidity and industry group representation. It is a registered trademark of The McGraw-Hill Co., Inc. Investors cannot invest directly in an index.
2 Inception date 06/30/95.
6
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
Information About Your Portfolio's Expenses
As an investor of the Portfolio, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees, distribution and service (12b-1) fees and other Portfolio expenses. Examples of transaction costs include sales charges (loads), redemption fees and account maintenance fees, which are not shown in this section and which would result in higher total expenses. The following table is intended to help you understand your ongoing expenses of investing in the Portfolio and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. The table is based on an investment of $1,000 made at the beginning of the six month period ended December 31, 2009.
The table illustrates your Portfolio's expenses in two ways:
• Actual Portfolio Return. This helps you estimate the actual dollar amount of ongoing expenses paid on a $1,000 investment in the Portfolio using the Portfolio's actual return during the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the "Expenses Paid per $1,000" line under the share class you hold.
• Hypothetical 5% Portfolio Return. This helps you to compare your Portfolio's ongoing expenses with those of other mutual funds using the Portfolio's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical portfolio return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. If these transaction costs had been included, your costs would have been higher. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expenses of owning different funds.
7
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
Expenses and Value for a $1,000 Investment
for the six month period ended December 31, 2009
| Actual Portfolio Return | |
| Beginning Account Value 7/1/09 | | $ | 1,000.00 | | |
| Ending Account Value 12/31/09 | | $ | 1,211.90 | | |
| Expenses Paid per $1,000* | | $ | 12.04 | | |
| Hypothetical 5% Portfolio Return | |
| Beginning Account Value 7/1/09 | | $ | 1,000.00 | | |
| Ending Account Value 12/31/09 | | $ | 1,014.32 | | |
| Expenses Paid per $1,000* | | $ | 10.97 | | |
| Annualized Expense Ratio* | | | 2.16 | % | |
* Expenses are equal to the Portfolio's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year period, then divided by 365.
The "Expenses Paid per $1,000" and the "Annualized Expense Ratio" in the tables are based on actual expenses paid by the Portfolio during the period, net of fee waivers and/or expense reimbursements. If those fee waivers and/or expense reimbursements had not been in effect, the Portfolio's actual expenses would have been higher. Expenses do not reflect additional charges and expenses that are, or may be, imposed under the variable contracts or plans. Such charges and expenses are described in the prospectus of the insurance company separate account or in the plan documents or other informational materials supplied by plan sponsors. The Portfolio's expenses should be considered with these charges and expenses in evaluating the overall cost of investing in the separate account.
For more information, please refer to the Portfolio's prospectus.
8
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
SECTOR BREAKDOWN*
| | | Long | | Short | | Net | |
| Information Technology | | | 28.4 | % | | | (3.0 | )% | | | 25.4 | % | |
| Consumer Discretionary | | | 21.5 | % | | | (3.1 | )% | | | 18.4 | % | |
| Financials | | | 16.9 | % | | | (3.7 | )% | | | 13.2 | % | |
| Health Care | | | 13.6 | % | | | (2.0 | )% | | | 11.6 | % | |
| Consumer Staples | | | 9.7 | % | | | (1.2 | )% | | | 8.5 | % | |
| Energy | | | 9.8 | % | | | (2.2 | )% | | | 7.6 | % | |
| Industrials | | | 9.9 | % | | | (3.5 | )% | | | 6.4 | % | |
| Materials | | | 3.4 | % | | | (1.5 | )% | | | 1.9 | % | |
| Utilities | | | 3.3 | % | | | (1.5 | )% | | | 1.8 | % | |
| Telecommunication Services | | | 1.0 | % | | | (0.2 | )% | | | 0.8 | % | |
| Short-Term Investments | | | 4.4 | % | | | (0.0 | )% | | | 4.4 | % | |
| Total | | | 121.9 | % | | | (21.9 | )% | | | 100.0 | % | |
* Expressed as a percentage of total long/short investments, respectively, (excluding securities lending collateral, if applicable) and may vary over time.
9
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS (118.1%) | |
| COMMON STOCKS (118.1%) | |
| Aerospace & Defense (4.6%) | |
| Alliant Techsystems, Inc.*§ | | | 5,513 | | | $ | 486,633 | | |
| American Science and Engineering, Inc.§ | | | 200 | | | | 15,168 | | |
| Cubic Corp.§ | | | 531 | | | | 19,806 | | |
| HEICO Corp. | | | 200 | | | | 8,866 | | |
| ITT Corp.§ | | | 43,300 | | | | 2,153,742 | | |
| Lockheed Martin Corp. | | | 45,100 | | | | 3,398,285 | | |
| Raytheon Co.§ | | | 29,169 | | | | 1,502,787 | | |
| | | | 7,585,287 | | |
| Air Freight & Logistics (0.8%) | |
| United Parcel Service, Inc. Class B§ | | | 23,900 | | | | 1,371,143 | | |
| Uti Worldwide, Inc. | | | 1,200 | | | | 17,184 | | |
| | | | 1,388,327 | | |
| Airlines (0.6%) | |
| Alaska Air Group, Inc.*§ | | | 12,600 | | | | 435,456 | | |
| Copa Holdings SA Class A | | | 300 | | | | 16,341 | | |
| UAL Corp.*§ | | | 34,700 | | | | 447,977 | | |
| | | | 899,774 | | |
| Auto Components (0.3%) | |
| Gentex Corp.§ | | | 4,300 | | | | 76,755 | | |
| Superior Industries International, Inc.§ | | | 2,400 | | | | 36,720 | | |
| TRW Automotive Holdings Corp.*§ | | | 700 | | | | 16,716 | | |
| WABCO Holdings, Inc. | | | 14,800 | | | | 381,692 | | |
| | | | 511,883 | | |
| Automobiles (0.0%) | |
| Winnebago Industries, Inc.*§ | | | 3,300 | | | | 40,260 | | |
| Beverages (2.9%) | |
| Brown-Forman Corp. Class B§ | | | 3,400 | | | | 182,138 | | |
| PepsiCo, Inc. | | | 73,000 | | | | 4,438,400 | | |
| The Boston Beer Co., Inc. Class A*§ | | | 2,000 | | | | 93,200 | | |
| | | | 4,713,738 | | |
| Biotechnology (3.1%) | |
| Alexion Pharmaceuticals, Inc.*§ | | | 9,000 | | | | 439,380 | | |
| Amgen, Inc.* | | | 67,500 | | | | 3,818,475 | | |
| Cubist Pharmaceuticals, Inc.*§ | | | 21,450 | | | | 406,906 | | |
| Exelixis, Inc.*§ | | | 1,700 | | | | 12,529 | | |
| Martek Biosciences Corp.*§ | | | 7,300 | | | | 138,262 | | |
| Medivation, Inc.*§ | | | 400 | | | | 15,060 | | |
| Myriad Genetics, Inc.* | | | 7,500 | | | | 195,750 | | |
| Regeneron Pharmaceuticals, Inc.*§ | | | 733 | | | | 17,724 | | |
| | | | 5,044,086 | | |
See Accompanying Notes to Financial Statements.
10
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Building Products (0.2%) | |
| Armstrong World Industries, Inc.*§ | | | 2,200 | | | $ | 85,646 | | |
| Griffon Corp.*§ | | | 6,652 | | | | 81,287 | | |
| Universal Forest Products, Inc.§ | | | 3,800 | | | | 139,878 | | |
| | | | 306,811 | | |
| Capital Markets (3.4%) | |
| American Capital, Ltd.* | | | 3,361 | | | | 8,201 | | |
| Apollo Investment Corp.§ | | | 2,512 | | | | 23,939 | | |
| Ares Capital Corp.§ | | | 1,300 | | | | 16,185 | | |
| BlackRock Kelso Capital Corp. | | | 100 | | | | 852 | | |
| Lazard, Ltd. Class A | | | 1,100 | | | | 41,767 | | |
| NGP Capital Resources Co.§ | | | 5 | | | | 41 | | |
| State Street Corp. | | | 21,400 | | | | 931,756 | | |
| The Bank of New York Mellon Corp.§ | | | 2,275 | | | | 63,632 | | |
| The Goldman Sachs Group, Inc. | | | 26,600 | | | | 4,491,144 | | |
| | | | 5,577,517 | | |
| Chemicals (2.6%) | |
| CF Industries Holdings, Inc. | | | 3,700 | | | | 335,886 | | |
| E.I. Du Pont de Nemours & Co. | | | 400 | | | | 13,468 | | |
| Eastman Chemical Co.§ | | | 47,217 | | | | 2,844,352 | | |
| Ecolab, Inc.§ | | | 18,100 | | | | 806,898 | | |
| Terra Industries, Inc.§ | | | 1,500 | | | | 48,285 | | |
| Westlake Chemical Corp.§ | | | 4,800 | | | | 119,664 | | |
| | | | 4,168,553 | | |
| Commercial Banks (2.5%) | |
| Bank of the Ozarks, Inc.§ | | | 400 | | | | 11,708 | | |
| CapitalSource, Inc.§ | | | 4,200 | | | | 16,674 | | |
| Chemical Financial Corp.§ | | | 500 | | | | 11,790 | | |
| City Holding Co.§ | | | 1,500 | | | | 48,495 | | |
| Cullen/Frost Bankers, Inc.§ | | | 6,062 | | | | 303,100 | | |
| First Financial Bankshares, Inc.§ | | | 3,641 | | | | 197,451 | | |
| First Midwest Bancorp, Inc.§ | | | 10,850 | | | | 118,157 | | |
| FNB Corp.§ | | | 9,200 | | | | 62,468 | | |
| Glacier Bancorp, Inc.§ | | | 11,110 | | | | 152,429 | | |
| Hancock Holding Co.§ | | | 9,500 | | | | 416,005 | | |
| Home Bancshares, Inc.§ | | | 1,500 | | | | 36,105 | | |
| Huntington Bancshares, Inc.§ | | | 8,732 | | | | 31,872 | | |
| International Bancshares Corp.§ | | | 800 | | | | 15,144 | | |
| MB Financial, Inc.§ | | | 1,200 | | | | 23,664 | | |
| NBT Bancorp, Inc.§ | | | 5,500 | | | | 112,035 | | |
| PacWest Bancorp§ | | | 985 | | | | 19,848 | | |
| S&T Bancorp, Inc.§ | | | 6,400 | | | | 108,864 | | |
| Signature Bank*§ | | | 4,600 | | | | 146,740 | | |
| Sterling Bancshares, Inc.§ | | | 4,080 | | | | 20,930 | | |
| Tompkins Financial Corp.§ | | | 700 | | | | 28,350 | | |
| U.S. Bancorp§ | | | 50,920 | | | | 1,146,209 | | |
See Accompanying Notes to Financial Statements.
11
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Commercial Banks | |
| UMB Financial Corp.§ | | | 9,400 | | | $ | 369,890 | | |
| Umpqua Holdings Corp.§ | | | 34,000 | | | | 455,940 | | |
| Westamerica BanCorporation§ | | | 700 | | | | 38,759 | | |
| Wintrust Financial Corp.§ | | | 6,900 | | | | 212,451 | | |
| | | | 4,105,078 | | |
| Commercial Services & Supplies (0.3%) | |
| ATC Technology Corp.*§ | | | 12,800 | | | | 305,280 | | |
| Healthcare Services Group, Inc.§ | | | 4,200 | | | | 90,132 | | |
| McGrath Rentcorp§ | | | 600 | | | | 13,416 | | |
| Mine Safety Appliances Co.§ | | | 2,000 | | | | 53,060 | | |
| SYKES Enterprises, Inc.*§ | | | 500 | | | | 12,735 | | |
| | | | 474,623 | | |
| Communications Equipment (1.9%) | |
| Juniper Networks, Inc.*§ | | | 7,300 | | | | 194,691 | | |
| Netgear, Inc.*§ | | | 500 | | | | 10,845 | | |
| Oplink Communications, Inc.* | | | 1,300 | | | | 21,307 | | |
| QUALCOMM, Inc. | | | 60,400 | | | | 2,794,104 | | |
| Viasat, Inc.*§ | | | 4,000 | | | | 127,120 | | |
| | | | 3,148,067 | | |
| Computers & Peripherals (6.5%) | |
| Apple, Inc.* | | | 6,691 | | | | 1,410,864 | | |
| Avid Technology, Inc.*§ | | | 5,300 | | | | 67,628 | | |
| Electronics for Imaging, Inc.*§ | | | 1,200 | | | | 15,612 | | |
| EMC Corp.*§ | | | 194,079 | | | | 3,390,560 | | |
| International Business Machines Corp. | | | 600 | | | | 78,540 | | |
| NetApp, Inc.*§ | | | 28,000 | | | | 962,920 | | |
| Seagate Technology | | | 5,900 | | | | 107,321 | | |
| Sun Microsystems, Inc.* | | | 39,400 | | | | 369,178 | | |
| Western Digital Corp.*§ | | | 95,698 | | | | 4,225,067 | | |
| | | | 10,627,690 | | |
| Construction & Engineering (1.4%) | |
| Fluor Corp.§ | | | 50,492 | | | | 2,274,160 | | |
| Consumer Finance (0.7%) | |
| Capital One Financial Corp.§ | | | 27,100 | | | | 1,039,014 | | |
| First Cash Financial Services, Inc.*§ | | | 4,900 | | | | 108,731 | | |
| | | | 1,147,745 | | |
| Diversified Consumer Services (1.0%) | |
| Capella Education Co.*§ | | | 1,400 | | | | 105,420 | | |
| Corinthian Colleges, Inc.*§ | | | 88,470 | | | | 1,218,232 | | |
| DeVry, Inc.§ | | | 2,700 | | | | 153,171 | | |
| Hillenbrand, Inc.§ | | | 1,432 | | | | 26,979 | | |
| Lincoln Educational Services Corp.*§ | | | 700 | | | | 15,169 | | |
| Strayer Education, Inc.§ | | | 200 | | | | 42,498 | | |
| | | | 1,561,469 | | |
See Accompanying Notes to Financial Statements.
12
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Diversified Financial Services (4.9%) | |
| Citigroup, Inc. | | | 250,000 | | | $ | 827,500 | | |
| Compass Diversified Holdings§ | | | 300 | | | | 3,828 | | |
| JPMorgan Chase & Co. | | | 172,700 | | | | 7,196,409 | | |
| MSCI, Inc. Class A* | | | 600 | | | | 19,080 | | |
| | | | 8,046,817 | | |
| Diversified Telecommunication Services (0.7%) | |
| Alaska Communications Systems Group, Inc.§ | | | 5,800 | | | | 46,284 | | |
| AT&T, Inc. | | | 33,707 | | | | 944,807 | | |
| Cbeyond, Inc.*§ | | | 2,000 | | | | 31,500 | | |
| Consolidated Communications Holdings, Inc.§ | | | 800 | | | | 14,000 | | |
| General Communication, Inc. Class A*§ | | | 5,800 | | | | 37,004 | | |
| Qwest Communications International, Inc.§ | | | 17,800 | | | | 74,938 | | |
| | | | 1,148,533 | | |
| Electric Utilities (0.0%) | |
| Exelon Corp.§ | | | 900 | | | | 43,983 | | |
| Electrical Equipment (1.3%) | |
| Belden, Inc. | | | 600 | | | | 13,152 | | |
| Emerson Electric Co.§ | | | 44,100 | | | | 1,878,660 | | |
| EnerSys* | | | 7,200 | | | | 157,464 | | |
| General Cable Corp.*§ | | | 900 | | | | 26,478 | | |
| | | | 2,075,754 | | |
| Electronic Equipment, Instruments & Components (1.3%) | |
| Brightpoint, Inc.*§ | | | 5,900 | | | | 43,365 | | |
| IPG Photonics Corp.*§ | | | 900 | | | | 15,066 | | |
| Jabil Circuit, Inc.§ | | | 2,400 | | | | 41,688 | | |
| Scansource, Inc.*§ | | | 600 | | | | 16,020 | | |
| Tech Data Corp.*§ | | | 42,900 | | | | 2,001,714 | | |
| | | | 2,117,853 | | |
| Energy Equipment & Services (1.0%) | |
| Global Industries, Ltd.*§ | | | 53,944 | | | | 384,621 | | |
| Key Energy Services, Inc.* | | | 1,400 | | | | 12,306 | | |
| Schlumberger, Ltd. | | | 14,500 | | | | 943,805 | | |
| T-3 Energy Services, Inc.* | | | 1,600 | | | | 40,800 | | |
| Tidewater, Inc.§ | | | 4,900 | | | | 234,955 | | |
| | | | 1,616,487 | | |
| Food & Staples Retailing (0.9%) | |
| Costco Wholesale Corp.§ | | | 3,600 | | | | 213,012 | | |
| Nash Finch Co.§ | | | 2,800 | | | | 103,852 | | |
| Spartan Stores, Inc.§ | | | 6,000 | | | | 85,740 | | |
| The Pantry, Inc.* | | | 3,000 | | | | 40,770 | | |
| Whole Foods Market, Inc.*§ | | | 35,800 | | | | 982,710 | | |
| Winn-Dixie Stores, Inc.*§ | | | 1,200 | | | | 12,048 | | |
| | | | 1,438,132 | | |
See Accompanying Notes to Financial Statements.
13
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Food Products (1.7%) | |
| Archer-Daniels-Midland Co. | | | 36,088 | | | $ | 1,129,915 | | |
| Bunge, Ltd. | | | 1,800 | | | | 114,894 | | |
| Fresh Del Monte Produce, Inc.* | | | 500 | | | | 11,050 | | |
| Hormel Foods Corp.§ | | | 3,900 | | | | 149,955 | | |
| J & J Snack Foods Corp.§ | | | 3,200 | | | | 127,872 | | |
| Lancaster Colony Corp.§ | | | 8,927 | | | | 443,672 | | |
| Lance, Inc.§ | | | 5,000 | | | | 131,500 | | |
| The Hershey Co.§ | | | 16,495 | | | | 590,356 | | |
| | | | 2,699,214 | | |
| Health Care Equipment & Supplies (0.8%) | |
| ABIOMED, Inc.*§ | | | 2,100 | | | | 18,354 | | |
| American Medical Systems Holdings, Inc.*§ | | | 2,500 | | | | 48,225 | | |
| Becton, Dickinson and Co.§ | | | 500 | | | | 39,430 | | |
| CR Bard, Inc.§ | | | 1,700 | | | | 132,430 | | |
| Greatbatch, Inc.*§ | | | 4,300 | | | | 82,689 | | |
| Integra LifeSciences Holdings* | | | 3,000 | | | | 110,340 | | |
| Invacare Corp.§ | | | 1,450 | | | | 36,163 | | |
| STERIS Corp.§ | | | 28,000 | | | | 783,160 | | |
| Stryker Corp. | | | 1,300 | | | | 65,481 | | |
| Thoratec Corp.*§ | | | 1,600 | | | | 43,072 | | |
| | | | 1,359,344 | | |
| Health Care Providers & Services (5.0%) | |
| Aetna, Inc.§ | | | 51,100 | | | | 1,619,870 | | |
| Alliance HealthCare Services, Inc.*§ | | | 5,600 | | | | 31,976 | | |
| AmerisourceBergen Corp.§ | | | 3,100 | | | | 80,817 | | |
| Amsurg Corp.*§ | | | 9,300 | | | | 204,786 | | |
| Catalyst Health Solutions, Inc.*§ | | | 5,604 | | | | 204,378 | | |
| CIGNA Corp.§ | | | 10,100 | | | | 356,227 | | |
| Genoptix, Inc.*§ | | | 600 | | | | 21,318 | | |
| Gentiva Health Services, Inc.*§ | | | 1,895 | | | | 51,184 | | |
| Healthsouth Corp.* | | | 1,100 | | | | 20,647 | | |
| Henry Schein, Inc.*§ | | | 4,200 | | | | 220,920 | | |
| Humana, Inc.*§ | | | 109,800 | | | | 4,819,122 | | |
| Universal Health Services, Inc. Class B | | | 600 | | | | 18,300 | | |
| WellPoint, Inc.* | | | 10,100 | | | | 588,729 | | |
| | | | 8,238,274 | | |
| Health Care Technology (0.1%) | |
| Phase Forward, Inc.*§ | | | 8,200 | | | | 125,870 | | |
| Hotels, Restaurants & Leisure (4.6%) | |
| Carnival Corp.*§ | | | 59,300 | | | | 1,879,217 | | |
| Darden Restaurants, Inc.§ | | | 58,485 | | | | 2,051,069 | | |
| Isle of Capri Casinos, Inc.*§ | | | 6,900 | | | | 51,612 | | |
| Jack in the Box, Inc.*§ | | | 4,400 | | | | 86,548 | | |
| Royal Caribbean Cruises, Ltd.* | | | 1,700 | | | | 42,976 | | |
See Accompanying Notes to Financial Statements.
14
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Hotels, Restaurants & Leisure | |
| Sonic Corp.*§ | | | 600 | | | $ | 6,042 | | |
| Starbucks Corp.*§ | | | 145,100 | | | | 3,346,006 | | |
| Wendy's/Arby's Group, Inc. Class A§ | | | 4,600 | | | | 21,574 | | |
| | | | 7,485,044 | | |
| Household Durables (1.2%) | |
| Garmin, Ltd. | | | 1,500 | | | | 46,050 | | |
| La-Z-Boy, Inc.*§ | | | 4,900 | | | | 46,697 | | |
| Leggett & Platt, Inc.§ | | | 79,903 | | | | 1,630,021 | | |
| National Presto Industries, Inc.§ | | | 800 | | | | 87,384 | | |
| NVR, Inc.*§ | | | 200 | | | | 142,142 | | |
| | | | 1,952,294 | | |
| Household Products (1.4%) | |
| Colgate-Palmolive Co.§ | | | 7,500 | | | | 616,125 | | |
| Energizer Holdings, Inc.*§ | | | 100 | | | | 6,128 | | |
| Kimberly-Clark Corp. | | | 17,200 | | | | 1,095,812 | | |
| The Procter & Gamble Co. | | | 9,480 | | | | 574,772 | | |
| | | | 2,292,837 | | |
| Independent Power Producers & Energy Traders (0.0%) | |
| NRG Energy, Inc.* | | | 200 | | | | 4,722 | | |
| Industrial Conglomerates (0.1%) | |
| McDermott International, Inc.* | | | 2,700 | | | | 64,827 | | |
| Tredegar Corp. | | | 3,900 | | | | 61,698 | | |
| | | | 126,525 | | |
| Insurance (2.7%) | |
| Allied World Assurance Co. Holdings, Ltd. | | | 700 | | | | 32,249 | | |
| American Equity Investment Life Holding Co. | | | 1,500 | | | | 11,160 | | |
| AON Corp. | | | 3,900 | | | | 149,526 | | |
| Arch Capital Group, Ltd.* | | | 700 | | | | 50,085 | | |
| Argo Group International Holdings, Ltd.* | | | 400 | | | | 11,656 | | |
| Aspen Insurance Holdings, Ltd. | | | 1,100 | | | | 27,995 | | |
| Assured Guaranty, Ltd.§ | | | 1,100 | | | | 23,936 | | |
| Axis Capital Holdings, Ltd. | | | 1,900 | | | | 53,979 | | |
| eHealth, Inc.*§ | | | 4,300 | | | | 70,649 | | |
| Everest Re Group, Ltd. | | | 800 | | | | 68,544 | | |
| First American Corp. | | | 58 | | | | 1,920 | | |
| Infinity Property & Casualty Corp. | | | 1,500 | | | | 60,960 | | |
| Loews Corp. | | | 14,480 | | | | 526,348 | | |
| Max Capital Group, Ltd. | | | 600 | | | | 13,380 | | |
| MBIA, Inc.*§ | | | 3,600 | | | | 14,328 | | |
| Montpelier Re Holdings, Ltd. | | | 1,100 | | | | 19,052 | | |
| Navigators Group, Inc.*§ | | | 5,500 | | | | 259,105 | | |
| PartnerRe, Ltd. | | | 800 | | | | 59,728 | | |
| Platinum Underwriters Holdings, Ltd. | | | 600 | | | | 22,974 | | |
| RenaissanceRe Holdings, Ltd. | | | 800 | | | | 42,520 | | |
See Accompanying Notes to Financial Statements.
15
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Insurance | |
| Selective Insurance Group, Inc. | | | 800 | | | $ | 13,160 | | |
| The Hanover Insurance Group, Inc.§ | | | 800 | | | | 35,544 | | |
| The Travelers Cos., Inc. | | | 55,700 | | | | 2,777,202 | | |
| Validus Holdings, Ltd. | | | 1,300 | | | | 35,022 | | |
| Wesco Financial Corp.§ | | | 100 | | | | 34,300 | | |
| White Mountains Insurance Group, Ltd. | | | 100 | | | | 33,266 | | |
| | | | 4,448,588 | | |
| Internet & Catalog Retail (0.0%) | |
| Blue Nile, Inc.* | | | 200 | | | | 12,666 | | |
| Internet Software & Services (3.6%) | |
| AOL, Inc.*§ | | | 9,481 | | | | 220,718 | | |
| DealerTrack Holdings, Inc.*§ | | | 1,800 | | | | 33,822 | | |
| Google, Inc. Class A* | | | 2,100 | | | | 1,301,958 | | |
| j2 Global Communications, Inc.*§ | | | 15,700 | | | | 319,495 | | |
| Sohu.com, Inc.*§ | | | 27,700 | | | | 1,586,656 | | |
| The Knot, Inc.*§ | | | 1,600 | | | | 16,112 | | |
| United Online, Inc.§ | | | 14,000 | | | | 100,660 | | |
| VeriSign, Inc.*§ | | | 93,300 | | | | 2,261,592 | | |
| | | | 5,841,013 | | |
| IT Services (1.7%) | |
| Acxiom Corp.* | | | 1,616 | | | | 21,687 | | |
| Affiliated Computer Services, Inc. Class A*§ | | | 800 | | | | 47,752 | | |
| Amdocs, Ltd.* | | | 2,500 | | | | 71,325 | | |
| Broadridge Financial Solutions, Inc. | | | 2,048 | | | | 46,203 | | |
| CSG Systems International, Inc.*§ | | | 18,700 | | | | 356,983 | | |
| Fidelity National Information Services, Inc. | | | 2,600 | | | | 60,944 | | |
| Genpact, Ltd.* | | | 700 | | | | 10,430 | | |
| Global Cash Access Holdings, Inc.*§ | | | 13,104 | | | | 98,149 | | |
| Global Payments, Inc.§ | | | 28,462 | | | | 1,532,963 | | |
| Mastercard, Inc. Class A | | | 2,100 | | | | 537,558 | | |
| NeuStar, Inc. Class A*§ | | | 2,800 | | | | 64,512 | | |
| | | | 2,848,506 | | |
| Leisure Equipment & Products (0.1%) | |
| Eastman Kodak Co.*§ | | | 5,100 | | | | 21,522 | | |
| Jakks Pacific, Inc.*§ | | | 1,400 | | | | 16,968 | | |
| Mattel, Inc. | | | 5,500 | | | | 109,890 | | |
| | | | 148,380 | | |
| Life Sciences Tools & Services (2.7%) | |
| Dionex Corp.*§ | | | 4,000 | | | | 295,480 | | |
| eResearchTechnology, Inc.*§ | | | 5,800 | | | | 34,858 | | |
| Waters Corp.*§ | | | 64,833 | | | | 4,017,053 | | |
| | | | 4,347,391 | | |
See Accompanying Notes to Financial Statements.
16
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Machinery (0.6%) | |
| Badger Meter, Inc.§ | | | 900 | | | $ | 35,838 | | |
| Colfax Corp.*§ | | | 1,800 | | | | 21,672 | | |
| Donaldson Co., Inc. | | | 3,800 | | | | 161,652 | | |
| Federal Signal Corp.§ | | | 5,612 | | | | 33,784 | | |
| FreightCar America, Inc.§ | | | 6,100 | | | | 120,963 | | |
| Illinois Tool Works, Inc.§ | | | 800 | | | | 38,392 | | |
| Lindsay Corp.§ | | | 7,000 | | | | 278,950 | | |
| Navistar International Corp.*§ | | | 3,800 | | | | 146,870 | | |
| Nordson Corp.§ | | | 1,200 | | | | 73,416 | | |
| The Manitowoc Co., Inc.§ | | | 400 | | | | 3,988 | | |
| | | | 915,525 | | |
| Media (3.8%) | |
| Cablevision Systems Corp. Group A | | | 2,900 | | | | 74,878 | | |
| Central European Media Enterprises, Ltd. Class A* | | | 500 | | | | 11,805 | | |
| Comcast Corp. Class A§ | | | 66,000 | | | | 1,112,760 | | |
| DIRECTV Class A* | | | 7,100 | | | | 236,785 | | |
| DISH Network Corp. Class A | | | 17,600 | | | | 365,552 | | |
| Harte-Hanks, Inc.§ | | | 7,014 | | | | 75,611 | | |
| National CineMedia, Inc. | | | 11,800 | | | | 195,526 | | |
| Time Warner, Inc.§ | | | 141,400 | | | | 4,120,396 | | |
| Virgin Media, Inc.§ | | | 3,955 | | | | 66,563 | | |
| | | | 6,259,876 | | |
| Metals & Mining (0.9%) | |
| Hecla Mining Co.*§ | | | 73,500 | | | | 454,230 | | |
| Reliance Steel & Aluminum Co.§ | | | 17,744 | | | | 766,896 | | |
| Stillwater Mining Co.* | | | 5,700 | | | | 54,036 | | |
| Worthington Industries, Inc.§ | | | 13,014 | | | | 170,093 | | |
| | | | 1,445,255 | | |
| Multi-Utilities (3.3%) | |
| CH Energy Group, Inc.§ | | | 1,857 | | | | 78,959 | | |
| NSTAR§ | | | 6,771 | | | | 249,173 | | |
| Public Service Enterprise Group, Inc.§ | | | 150,300 | | | | 4,997,475 | | |
| | | | 5,325,607 | | |
| Multiline Retail (4.4%) | |
| Big Lots, Inc.*§ | | | 31,959 | | | | 926,172 | | |
| Dollar Tree, Inc.*§ | | | 28,000 | | | | 1,352,400 | | |
| Family Dollar Stores, Inc.§ | | | 8,400 | | | | 233,772 | | |
| Fred's, Inc. Class A§ | | | 18,400 | | | | 187,680 | | |
| J.C. Penney Co., Inc.§ | | | 42,500 | | | | 1,130,925 | | |
| Kohl's Corp.*§ | | | 49,100 | | | | 2,647,963 | | |
| Macy's, Inc.§ | | | 18,100 | | | | 303,356 | | |
| Retail Ventures, Inc.*§ | | | 2,200 | | | | 19,558 | | |
| Target Corp. | | | 6,200 | | | | 299,894 | | |
| | | | 7,101,720 | | |
See Accompanying Notes to Financial Statements.
17
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Oil, Gas & Consumable Fuels (8.9%) | |
| Apache Corp. | | | 51,400 | | | $ | 5,302,938 | | |
| ConocoPhillips | | | 118,100 | | | | 6,031,367 | | |
| Exxon Mobil Corp. | | | 36,449 | | | | 2,485,457 | | |
| Frontline, Ltd. | | | 700 | | | | 19,124 | | |
| GMX Resources, Inc.*§ | | | 400 | | | | 5,496 | | |
| Gran Tierra Energy, Inc.* | | | 2,156 | | | | 12,354 | | |
| James River Coal Co.* | | | 3,600 | | | | 66,708 | | |
| Nordic American Tanker Shipping | | | 600 | | | | 18,000 | | |
| Petroleum Development Corp.* | | | 1,100 | | | | 20,031 | | |
| Petroquest Energy, Inc.*§ | | | 7,200 | | | | 44,136 | | |
| Rex Energy Corp.*§ | | | 7,700 | | | | 92,400 | | |
| Rosetta Resources, Inc.*§ | | | 1,600 | | | | 31,888 | | |
| Ship Finance International, Ltd.§ | | | 609 | | | | 8,301 | | |
| Stone Energy Corp.*§ | | | 19,300 | | | | 348,365 | | |
| Teekay Corp. | | | 600 | | | | 13,926 | | |
| W&T Offshore, Inc.§ | | | 1,400 | | | | 16,380 | | |
| | | | 14,516,871 | | |
| Paper & Forest Products (0.0%) | |
| Neenah Paper, Inc. | | | 800 | | | | 11,160 | | |
| Personal Products (3.0%) | |
| Elizabeth Arden, Inc.*§ | | | 700 | | | | 10,108 | | |
| Herbalife, Ltd. | | | 900 | | | | 36,513 | | |
| Mead Johnson Nutrition Co. Class A | | | 500 | | | | 21,850 | | |
| The Estee Lauder Cos., Inc. Class A§ | | | 98,400 | | | | 4,758,624 | | |
| | | | 4,827,095 | | |
| Pharmaceuticals (1.9%) | |
| Bristol-Myers Squibb Co.§ | | | 2,200 | | | | 55,550 | | |
| Endo Pharmaceuticals Holdings, Inc.*§ | | | 18,600 | | | | 381,486 | | |
| Impax Laboratories, Inc.*§ | | | 800 | | | | 10,880 | | |
| Indevus Pharmaceuticals, Inc. - (Escrow shares)*^§ | | | 2,200 | | | | 0 | | |
| Johnson & Johnson§ | | | 300 | | | | 19,323 | | |
| Merck & Co., Inc. | | | 7,030 | | | | 256,876 | | |
| Mylan, Inc.*§ | | | 125,300 | | | | 2,309,279 | | |
| Nektar Therapeutics*§ | | | 2,100 | | | | 19,572 | | |
| Valeant Pharmaceuticals International*§ | | | 4,100 | | | | 130,339 | | |
| | | | 3,183,305 | | |
| Real Estate Investment Trusts (2.5%) | |
| American Campus Communities, Inc.§ | | | 3,000 | | | | 84,300 | | |
| Annaly Capital Management, Inc.§ | | | 53,795 | | | | 933,343 | | |
| Chimera Investment Corp.§ | | | 10,471 | | | | 40,628 | | |
| Cousins Properties, Inc.§ | | | 1,918 | | | | 14,634 | | |
| DCT Industrial Trust, Inc.§ | | | 3,400 | | | | 17,068 | | |
| Nationwide Health Properties, Inc. | | | 6,200 | | | | 218,116 | | |
| Public Storage§ | | | 26,321 | | | | 2,143,846 | | |
| Rayonier, Inc.§ | | | 14,400 | | | | 607,104 | | |
| Simon Property Group, Inc.§ | | | 3 | | | | 160 | | |
| Vornado Realty Trust | | | 413 | | | | 28,885 | | |
| | | | 4,088,084 | | |
See Accompanying Notes to Financial Statements.
18
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Road & Rail (0.1%) | |
| Landstar System, Inc.§ | | | 4,800 | | | $ | 186,096 | | |
| Semiconductors & Semiconductor Equipment (7.1%) | |
| Atmel Corp.*§ | | | 5,458 | | | | 25,161 | | |
| Cypress Semiconductor Corp.* | | | 2,900 | | | | 30,624 | | |
| FEI Co.*§ | | | 1,600 | | | | 37,376 | | |
| Integrated Device Technology, Inc.* | | | 3,400 | | | | 21,998 | | |
| Intel Corp. | | | 62,100 | | | | 1,266,840 | | |
| Linear Technology Corp.§ | | | 26,000 | | | | 794,040 | | |
| LSI Corp.*§ | | | 9,700 | | | | 58,297 | | |
| Marvell Technology Group, Ltd.* | | | 5,500 | | | | 114,125 | | |
| Micron Technology, Inc.*§ | | | 155,200 | | | | 1,638,912 | | |
| MKS Instruments, Inc.*§ | | | 12,400 | | | | 215,884 | | |
| RF Micro Devices, Inc.*§ | | | 4,700 | | | | 22,419 | | |
| Semtech Corp.*§ | | | 22,148 | | | | 376,738 | | |
| Texas Instruments, Inc.§ | | | 212,867 | | | | 5,547,314 | | |
| Veeco Instruments, Inc.*§ | | | 600 | | | | 19,824 | | |
| Xilinx, Inc.§ | | | 54,300 | | | | 1,360,758 | | |
| | | | 11,530,310 | | |
| Software (6.3%) | |
| Advent Software, Inc.*§ | | | 5,300 | | | | 215,869 | | |
| ANSYS, Inc.* | | | 1,066 | | | | 46,329 | | |
| Blackbaud, Inc.§ | | | 932 | | | | 22,023 | | |
| BMC Software, Inc.*§ | | | 2,700 | | | | 108,270 | | |
| Fair Isaac Corp.§ | | | 6,200 | | | | 132,122 | | |
| Microsoft Corp. | | | 80,000 | | | | 2,439,200 | | |
| Novell, Inc.* | | | 5,462 | | | | 22,667 | | |
| Oracle Corp. | | | 27,800 | | | | 682,212 | | |
| Red Hat, Inc.*§ | | | 161,570 | | | | 4,992,513 | | |
| Symantec Corp.*§ | | | 62,700 | | | | 1,121,703 | | |
| Take-Two Interactive Software, Inc.* | | | 49,100 | | | | 493,455 | | |
| TIBCO Software, Inc.* | | | 2,956 | | | | 28,466 | | |
| Ultimate Software Group, Inc.*§ | | | 900 | | | | 26,433 | | |
| Websense, Inc.*§ | | | 1,600 | | | | 27,936 | | |
| | | | 10,359,198 | | |
| Specialty Retail (4.5%) | |
| Aaron's, Inc.§ | | | 500 | | | | 13,865 | | |
| Advance Auto Parts, Inc.§ | | | 64,800 | | | | 2,623,104 | | |
| Asbury Automotive Group, Inc.*§ | | | 5,000 | | | | 57,650 | | |
| AutoNation, Inc.*§ | | | 100 | | | | 1,915 | | |
| GameStop Corp. Class A*§ | | | 11,400 | | | | 250,116 | | |
| Group 1 Automotive, Inc.*§ | | | 600 | | | | 17,010 | | |
| J. Crew Group, Inc.*§ | | | 3,300 | | | | 147,642 | | |
| Ltd Brands, Inc.§ | | | 28,500 | | | | 548,340 | | |
| Monro Muffler, Inc.§ | | | 4,200 | | | | 140,448 | | |
| Rent-A-Center, Inc.* | | | 30,100 | | | | 533,372 | | |
See Accompanying Notes to Financial Statements.
19
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Specialty Retail | |
| Ross Stores, Inc.§ | | | 48,100 | | | $ | 2,054,351 | | |
| The Gap, Inc.§ | | | 13,100 | | | | 274,445 | | |
| TJX Cos., Inc. | | | 4,500 | | | | 164,475 | | |
| Williams-Sonoma, Inc.§ | | | 25,200 | | | | 523,656 | | |
| | | | 7,350,389 | | |
| Textiles, Apparel & Luxury Goods (1.7%) | |
| K-Swiss, Inc. Class A*§ | | | 1,400 | | | | 13,916 | | |
| NIKE, Inc. Class B§ | | | 39,527 | | | | 2,611,549 | | |
| The Warnaco Group, Inc.* | | | 3,900 | | | | 164,541 | | |
| | | | 2,790,006 | | |
| Thrifts & Mortgage Finance (0.2%) | |
| Dime Community Bancshares§ | | | 7,100 | | | | 83,212 | | |
| NewAlliance Bancshares, Inc.§ | | | 13,000 | | | | 156,130 | | |
| Trustco Bank Corp. NY§ | | | 15,110 | | | | 95,193 | | |
| | | | 334,535 | | |
| Water Utilities (0.0%) | |
| SJW Corp.§ | | | 900 | | | | 20,313 | | |
| Wireless Telecommunication Services (0.3%) | |
| Leap Wireless International, Inc.* | | | 600 | | | | 10,530 | | |
| NII Holdings, Inc.* | | | 700 | | | | 23,506 | | |
| Sprint Nextel Corp.*§ | | | 39,400 | | | | 144,204 | | |
| Telephone & Data Systems, Inc.§ | | | 1,000 | | | | 33,920 | | |
| United States Cellular Corp.* | | | 4,245 | | | | 180,030 | | |
| USA Mobility, Inc.§ | | | 2,500 | | | | 27,525 | | |
| | | | 419,715 | | |
| TOTAL COMMON STOCKS (Cost $182,748,128) | | | 192,658,355 | | |
| TOTAL LONG STOCK POSITIONS (Cost $182,748,128) | | | 192,658,355 | | |
| SHORT-TERM INVESTMENTS (23.4%) | |
| State Street Navigator Prime Portfolio§§ | | | 30,969,059 | | | | 30,969,059 | | |
| | | Par
(000) | | | |
| State Street Bank and Trust Co. Euro Time Deposit, 0.010%, 01/04/10 | | $ | 7,211 | | | | 7,211,000 | | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $38,180,059) | | | 38,180,059 | | |
| TOTAL INVESTMENTS AT VALUE (141.5%) (Cost $220,928,187) | | | 230,838,414 | | |
| TOTAL SECURITIES SOLD SHORT (-22.0%) (Proceeds $32,867,332) | | | (35,928,696 | ) | |
| LIABILITIES IN EXCESS OF OTHER ASSETS (-19.5%) | | | (31,793,670 | ) | |
| NET ASSETS (100.0%) | | $ | 163,116,048 | | |
See Accompanying Notes to Financial Statements.
20
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS (-22.0%) | |
| COMMON STOCKS (-22.0%) | |
| Aerospace & Defense (-0.5%) | |
| AAR Corp.* | | | (1,700 | ) | | $ | (39,066 | ) | |
| BE Aerospace, Inc.* | | | (1,400 | ) | | | (32,900 | ) | |
| Ceradyne, Inc.* | | | (1,000 | ) | | | (19,210 | ) | |
| Curtiss-Wright Corp. | | | (1,100 | ) | | | (34,452 | ) | |
| DynCorp International, Inc. Class A* | | | (900 | ) | | | (12,915 | ) | |
| Esterline Technologies Corp.* | | | (800 | ) | | | (32,616 | ) | |
| General Dynamics Corp. | | | (700 | ) | | | (47,719 | ) | |
| Goodrich Corp. | | | (600 | ) | | | (38,550 | ) | |
| Hexcel Corp.* | | | (2,400 | ) | | | (31,152 | ) | |
| Honeywell International, Inc. | | | (1,000 | ) | | | (39,200 | ) | |
| L-3 Communications Holdings, Inc. | | | (500 | ) | | | (43,475 | ) | |
| Moog, Inc. Class A* | | | (1,000 | ) | | | (29,230 | ) | |
| Northrop Grumman Corp. | | | (600 | ) | | | (33,510 | ) | |
| Orbital Sciences Corp.* | | | (2,200 | ) | | | (33,572 | ) | |
| Precision Castparts Corp. | | | (400 | ) | | | (44,140 | ) | |
| Rockwell Collins, Inc. | | | (700 | ) | | | (38,752 | ) | |
| Spirit Aerosystems Holdings, Inc. Class A* | | | (1,900 | ) | | | (37,734 | ) | |
| Stanley, Inc.* | | | (500 | ) | | | (13,705 | ) | |
| Teledyne Technologies, Inc.* | | | (900 | ) | | | (34,524 | ) | |
| The Boeing Co. | | | (800 | ) | | | (43,304 | ) | |
| TransDigm Group, Inc. | | | (800 | ) | | | (37,992 | ) | |
| Triumph Group, Inc. | | | (500 | ) | | | (24,125 | ) | |
| United Technologies Corp. | | | (800 | ) | | | (55,528 | ) | |
| | | | (797,371 | ) | |
| Air Freight & Logistics (-0.1%) | |
| Atlas Air Worldwide Holdings, Inc.* | | | (800 | ) | | | (29,800 | ) | |
| CH Robinson Worldwide, Inc. | | | (200 | ) | | | (11,746 | ) | |
| Expeditors International of Washington, Inc. | | | (1,000 | ) | | | (34,730 | ) | |
| Forward Air Corp. | | | (500 | ) | | | (12,525 | ) | |
| HUB Group, Inc. Class A* | | | (1,000 | ) | | | (26,830 | ) | |
| | | | (115,631 | ) | |
| Airlines (-0.1%) | |
| AMR Corp.* | | | (4,000 | ) | | | (30,920 | ) | |
| Continental Airlines, Inc. Class B* | | | (2,100 | ) | | | (37,632 | ) | |
| Delta Air Lines, Inc.* | | | (3,000 | ) | | | (34,140 | ) | |
| Hawaiian Holdings, Inc.* | | | (3,000 | ) | | | (21,000 | ) | |
| JetBlue Airways Corp.* | | | (3,600 | ) | | | (19,620 | ) | |
| Southwest Airlines Co. | | | (3,600 | ) | | | (41,148 | ) | |
| | | | (184,460 | ) | |
| Auto Components (-0.2%) | |
| ArvinMeritor, Inc.* | | | (2,800 | ) | | | (31,304 | ) | |
| Autoliv, Inc. | | | (500 | ) | | | (21,680 | ) | |
| BorgWarner, Inc. | | | (900 | ) | | | (29,898 | ) | |
| Cooper Tire & Rubber Co. | | | (1,500 | ) | | | (30,075 | ) | |
See Accompanying Notes to Financial Statements.
21
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Auto Components | |
| Dana Holding Corp.* | | | (2,800 | ) | | $ | (30,352 | ) | |
| Drew Industries, Inc.* | | | (1,100 | ) | | | (22,715 | ) | |
| Johnson Controls, Inc. | | | (800 | ) | | | (21,792 | ) | |
| Tenneco, Inc.* | | | (1,500 | ) | | | (26,595 | ) | |
| The Goodyear Tire & Rubber Co.* | | | (2,000 | ) | | | (28,200 | ) | |
| | | | (242,611 | ) | |
| Automobiles (-0.1%) | |
| Ford Motor Co.* | | | (2,500 | ) | | | (25,000 | ) | |
| Harley-Davidson, Inc. | | | (1,400 | ) | | | (35,280 | ) | |
| Thor Industries, Inc. | | | (1,000 | ) | | | (31,400 | ) | |
| | | | (91,680 | ) | |
| Beverages (-0.1%) | |
| Central European Distribution Corp.* | | | (1,100 | ) | | | (31,251 | ) | |
| Coca-Cola Enterprises, Inc. | | | (1,400 | ) | | | (29,680 | ) | |
| Dr. Pepper Snapple Group, Inc. | | | (1,300 | ) | | | (36,790 | ) | |
| Hansen Natural Corp.* | | | (900 | ) | | | (34,560 | ) | |
| Molson Coors Brewing Co. Class B | | | (600 | ) | | | (27,096 | ) | |
| PepsiAmericas, Inc. | | | (200 | ) | | | (5,852 | ) | |
| The Coca-Cola Co. | | | (1,300 | ) | | | (74,100 | ) | |
| | | | (239,329 | ) | |
| Biotechnology (-0.3%) | |
| Allos Therapeutics, Inc.* | | | (1,100 | ) | | | (7,227 | ) | |
| AMAG Pharmaceuticals, Inc.* | | | (600 | ) | | | (22,818 | ) | |
| Amylin Pharmaceuticals, Inc.* | | | (2,200 | ) | | | (31,218 | ) | |
| Biogen Idec, Inc.* | | | (600 | ) | | | (32,100 | ) | |
| BioMarin Pharmaceutical, Inc.* | | | (1,800 | ) | | | (33,858 | ) | |
| Celgene Corp.* | | | (700 | ) | | | (38,976 | ) | |
| Cephalon, Inc.* | | | (500 | ) | | | (31,205 | ) | |
| Cepheid, Inc.* | | | (1,800 | ) | | | (22,464 | ) | |
| Dendreon Corp.* | | | (1,400 | ) | | | (36,792 | ) | |
| Emergent Biosolutions, Inc.* | | | (2,400 | ) | | | (32,616 | ) | |
| Genzyme Corp.* | | | (200 | ) | | | (9,802 | ) | |
| Gilead Sciences, Inc.* | | | (1,100 | ) | | | (47,608 | ) | |
| Human Genome Sciences, Inc.* | | | (1,000 | ) | | | (30,600 | ) | |
| Onyx Pharmaceuticals, Inc.* | | | (800 | ) | | | (23,472 | ) | |
| OSI Pharmaceuticals, Inc.* | | | (1,100 | ) | | | (34,133 | ) | |
| Rigel Pharmaceuticals, Inc.* | | | (700 | ) | | | (6,657 | ) | |
| Savient Pharmaceuticals, Inc.* | | | (2,000 | ) | | | (27,220 | ) | |
| Seattle Genetics, Inc.* | | | (1,600 | ) | | | (16,256 | ) | |
| Vertex Pharmaceuticals, Inc.* | | | (1,000 | ) | | | (42,850 | ) | |
| | | | (527,872 | ) | |
See Accompanying Notes to Financial Statements.
22
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Building Products (-0.1%) | |
| Lennox International, Inc. | | | (700 | ) | | $ | (27,328 | ) | |
| Masco Corp. | | | (2,100 | ) | | | (29,001 | ) | |
| Owens Corning* | | | (1,300 | ) | | | (33,332 | ) | |
| Simpson Manufacturing Co., Inc. | | | (1,100 | ) | | | (29,579 | ) | |
| | | | (119,240 | ) | |
| Capital Markets (-0.6%) | |
| Affiliated Managers Group, Inc.* | | | (400 | ) | | | (26,940 | ) | |
| AllianceBernstein Holding LP | | | (800 | ) | | | (22,480 | ) | |
| Ameriprise Financial, Inc. | | | (1,100 | ) | | | (42,702 | ) | |
| BlackRock, Inc. | | | (100 | ) | | | (23,220 | ) | |
| Cohen & Steers, Inc. | | | (1,200 | ) | | | (27,408 | ) | |
| Eaton Vance Corp. | | | (1,100 | ) | | | (33,451 | ) | |
| Federated Investors, Inc. Class B | | | (1,500 | ) | | | (41,250 | ) | |
| Franklin Resources, Inc. | | | (400 | ) | | | (42,140 | ) | |
| Greenhill & Co., Inc. | | | (300 | ) | | | (24,072 | ) | |
| Invesco, Ltd. | | | (1,600 | ) | | | (37,584 | ) | |
| Investment Technology Group, Inc.* | | | (1,400 | ) | | | (27,580 | ) | |
| Janus Capital Group, Inc. | | | (3,100 | ) | | | (41,695 | ) | |
| Jefferies Group, Inc.* | | | (1,700 | ) | | | (40,341 | ) | |
| KBW, Inc.* | | | (1,100 | ) | | | (30,096 | ) | |
| Knight Capital Group, Inc. Class A* | | | (2,600 | ) | | | (40,040 | ) | |
| Legg Mason, Inc. | | | (1,200 | ) | | | (36,192 | ) | |
| Morgan Stanley | | | (1,900 | ) | | | (56,240 | ) | |
| Northern Trust Corp. | | | (700 | ) | | | (36,680 | ) | |
| optionsXpress Holdings, Inc. | | | (1,900 | ) | | | (29,355 | ) | |
| Piper Jaffray Cos.* | | | (500 | ) | | | (25,305 | ) | |
| Raymond James Financial, Inc. | | | (1,400 | ) | | | (33,278 | ) | |
| Riskmetrics Group, Inc.* | | | (800 | ) | | | (12,728 | ) | |
| SEI Investments Co. | | | (1,800 | ) | | | (31,536 | ) | |
| Stifel Financial Corp.* | | | (700 | ) | | | (41,468 | ) | |
| T. Rowe Price Group, Inc. | | | (800 | ) | | | (42,600 | ) | |
| TD Ameritrade Holding Corp.* | | | (2,200 | ) | | | (42,636 | ) | |
| The Charles Schwab Corp. | | | (2,000 | ) | | | (37,640 | ) | |
| Waddell & Reed Financial, Inc. Class A | | | (1,000 | ) | | | (30,540 | ) | |
| | | | (957,197 | ) | |
| Chemicals (-0.6%) | |
| Air Products & Chemicals, Inc. | | | (500 | ) | | | (40,530 | ) | |
| Airgas, Inc. | | | (700 | ) | | | (33,320 | ) | |
| Albemarle Corp. | | | (1,100 | ) | | | (40,007 | ) | |
| Arch Chemicals, Inc. | | | (800 | ) | | | (24,704 | ) | |
| Ashland, Inc. | | | (800 | ) | | | (31,696 | ) | |
| Cabot Corp. | | | (600 | ) | | | (15,738 | ) | |
| Celanese Corp. Series A | | | (500 | ) | | | (16,050 | ) | |
| Cytec Industries, Inc. | | | (900 | ) | | | (32,778 | ) | |
| Ferro Corp. | | | (2,100 | ) | | | (17,304 | ) | |
| FMC Corp. | | | (600 | ) | | | (33,456 | ) | |
See Accompanying Notes to Financial Statements.
23
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Chemicals | |
| H.B. Fuller Co. | | | (1,200 | ) | | $ | (27,300 | ) | |
| Huntsman Corp. | | | (3,300 | ) | | | (37,257 | ) | |
| International Flavors & Fragrances, Inc. | | | (76 | ) | | | (3,127 | ) | |
| Intrepid Potash, Inc.* | | | (1,100 | ) | | | (32,087 | ) | |
| Koppers Holdings, Inc. | | | (800 | ) | | | (24,352 | ) | |
| Minerals Technologies, Inc. | | | (100 | ) | | | (5,447 | ) | |
| Monsanto Co. | | | (500 | ) | | | (40,875 | ) | |
| Nalco Holding Co. | | | (1,400 | ) | | | (35,714 | ) | |
| NewMarket Corp. | | | (200 | ) | | | (22,954 | ) | |
| Olin Corp. | | | (1,900 | ) | | | (33,288 | ) | |
| OM Group, Inc.* | | | (900 | ) | | | (28,251 | ) | |
| PPG Industries, Inc. | | | (700 | ) | | | (40,978 | ) | |
| Praxair, Inc. | | | (600 | ) | | | (48,186 | ) | |
| Rockwood Holdings, Inc.* | | | (1,600 | ) | | | (37,696 | ) | |
| RPM International, Inc. | | | (1,800 | ) | | | (36,594 | ) | |
| Sensient Technologies Corp. | | | (1,300 | ) | | | (34,190 | ) | |
| Sigma-Aldrich Corp. | | | (400 | ) | | | (20,212 | ) | |
| Solutia, Inc.* | | | (2,200 | ) | | | (27,940 | ) | |
| The Dow Chemical Co. | | | (1,400 | ) | | | (38,682 | ) | |
| The Mosaic Co. | | | (700 | ) | | | (41,811 | ) | |
| Valspar Corp. | | | (1,200 | ) | | | (32,568 | ) | |
| W.R. Grace & Co.* | | | (1,400 | ) | | | (35,490 | ) | |
| | | | (970,582 | ) | |
| Commercial Banks (-0.6%) | |
| Associated Banc-Corp. | | | (3,100 | ) | | | (34,131 | ) | |
| Bancorpsouth, Inc. | | | (1,100 | ) | | | (25,806 | ) | |
| Bank of Hawaii Corp. | | | (800 | ) | | | (37,648 | ) | |
| BB&T Corp. | | | (1,700 | ) | | | (43,129 | ) | |
| Cathay General Bancorp | | | (4,300 | ) | | | (32,465 | ) | |
| City National Corp. | | | (700 | ) | | | (31,920 | ) | |
| Comerica, Inc. | | | (1,200 | ) | | | (35,484 | ) | |
| Commerce Bancshares, Inc. | | | (840 | ) | | | (32,525 | ) | |
| Community Bank System, Inc. | | | (100 | ) | | | (1,931 | ) | |
| East West Bancorp, Inc. | | | (2,000 | ) | | | (31,600 | ) | |
| Fifth Third Bancorp | | | (3,700 | ) | | | (36,075 | ) | |
| First Horizon National Corp.* | | | (2,918 | ) | | | (39,105 | ) | |
| FirstMerit Corp. | | | (1,805 | ) | | | (36,353 | ) | |
| Iberiabank Corp. | | | (300 | ) | | | (16,143 | ) | |
| Keycorp | | | (6,300 | ) | | | (34,965 | ) | |
| Marshall & Ilsley Corp. | | | (6,700 | ) | | | (36,515 | ) | |
| Old National Bancorp | | | (2,200 | ) | | | (27,346 | ) | |
| PNC Financial Services Group, Inc. | | | (700 | ) | | | (36,953 | ) | |
| Prosperity Bancshares, Inc. | | | (300 | ) | | | (12,141 | ) | |
| Regions Financial Corp. | | | (6,400 | ) | | | (33,856 | ) | |
| SunTrust Banks, Inc. | | | (2,000 | ) | | | (40,580 | ) | |
| SVB Financial Group* | | | (800 | ) | | | (33,352 | ) | |
See Accompanying Notes to Financial Statements.
24
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Commercial Banks | |
| TCF Financial Corp. | | | (2,700 | ) | | $ | (36,774 | ) | |
| Trustmark Corp. | | | (400 | ) | | | (9,016 | ) | |
| Valley National Bancorp | | | (2,900 | ) | | | (40,977 | ) | |
| Webster Financial Corp. | | | (2,300 | ) | | | (27,301 | ) | |
| Wells Fargo & Co. | | | (3,200 | ) | | | (86,368 | ) | |
| Wilmington Trust Corp. | | | (2,600 | ) | | | (32,084 | ) | |
| | | | (922,543 | ) | |
| Commercial Services & Supplies (-0.5%) | |
| ABM Industries, Inc. | | | (1,100 | ) | | | (22,726 | ) | |
| American Ecology Corp. | | | (900 | ) | | | (15,336 | ) | |
| American Reprographics Co.* | | | (4,500 | ) | | | (31,545 | ) | |
| Avery Dennison Corp. | | | (1,100 | ) | | | (40,139 | ) | |
| Cenveo, Inc.* | | | (400 | ) | | | (3,500 | ) | |
| Cintas Corp. | | | (500 | ) | | | (13,025 | ) | |
| Clean Harbors, Inc.* | | | (600 | ) | | | (35,766 | ) | |
| Consolidated Graphics, Inc.* | | | (200 | ) | | | (7,004 | ) | |
| Copart, Inc.* | | | (1,000 | ) | | | (36,630 | ) | |
| Corrections Corp. of America* | | | (1,700 | ) | | | (41,735 | ) | |
| Covanta Holding Corp.* | | | (1,900 | ) | | | (34,371 | ) | |
| Deluxe Corp. | | | (1,700 | ) | | | (25,143 | ) | |
| EnergySolutions, Inc. | | | (3,800 | ) | | | (32,262 | ) | |
| Ennis, Inc. | | | (1,300 | ) | | | (21,827 | ) | |
| Herman Miller, Inc. | | | (1,100 | ) | | | (17,578 | ) | |
| HNI Corp. | | | (1,000 | ) | | | (27,630 | ) | |
| Iron Mountain, Inc.* | | | (1,300 | ) | | | (29,588 | ) | |
| Knoll, Inc. | | | (3,000 | ) | | | (30,990 | ) | |
| Pitney Bowes, Inc. | | | (1,800 | ) | | | (40,968 | ) | |
| R. R. Donnelley & Sons Co. | | | (500 | ) | | | (11,135 | ) | |
| Republic Services, Inc. | | | (1,300 | ) | | | (36,803 | ) | |
| Rollins, Inc. | | | (1,200 | ) | | | (23,136 | ) | |
| Steelcase, Inc. Class A | | | (2,900 | ) | | | (18,444 | ) | |
| Stericycle, Inc.* | | | (700 | ) | | | (38,619 | ) | |
| Team, Inc.* | | | (1,000 | ) | | | (18,810 | ) | |
| Tetra Tech., Inc.* | | | (1,500 | ) | | | (40,755 | ) | |
| The Brink's Co. | | | (1,100 | ) | | | (26,774 | ) | |
| The Geo Group, Inc.* | | | (1,400 | ) | | | (30,632 | ) | |
| United Stationers, Inc.* | | | (600 | ) | | | (34,110 | ) | |
| Viad Corp. | | | (300 | ) | | | (6,189 | ) | |
| Waste Connections, Inc.* | | | (1,200 | ) | | | (40,008 | ) | |
| Waste Management, Inc. | | | (1,200 | ) | | | (40,572 | ) | |
| | | | (873,750 | ) | |
See Accompanying Notes to Financial Statements.
25
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Communications Equipment (-0.4%) | |
| ADC Telecommunications, Inc.* | | | (4,700 | ) | | $ | (29,187 | ) | |
| ADTRAN, Inc. | | | (1,300 | ) | | | (29,315 | ) | |
| Arris Group, Inc.* | | | (3,000 | ) | | | (34,290 | ) | |
| Aruba Networks, Inc.* | | | (2,800 | ) | | | (29,848 | ) | |
| Black Box Corp. | | | (200 | ) | | | (5,668 | ) | |
| Blue Coat Systems, Inc.* | | | (700 | ) | | | (19,978 | ) | |
| Brocade Communications Systems, Inc.* | | | (4,400 | ) | | | (33,572 | ) | |
| Ciena Corp.* | | | (2,600 | ) | | | (28,184 | ) | |
| Cisco Systems, Inc.* | | | (3,500 | ) | | | (83,790 | ) | |
| CommScope, Inc.* | | | (1,300 | ) | | | (34,489 | ) | |
| Comtech Telecommunications Corp.* | | | (700 | ) | | | (24,535 | ) | |
| EchoStar Corp. Class A* | | | (600 | ) | | | (12,084 | ) | |
| Emulex Corp.* | | | (2,500 | ) | | | (27,250 | ) | |
| F5 Networks, Inc.* | | | (800 | ) | | | (42,384 | ) | |
| Harris Corp. | | | (900 | ) | | | (42,795 | ) | |
| Hughes Communications, Inc.* | | | (100 | ) | | | (2,603 | ) | |
| InterDigital, Inc.* | | | (1,400 | ) | | | (37,156 | ) | |
| Motorola, Inc.* | | | (4,500 | ) | | | (34,920 | ) | |
| Plantronics, Inc. | | | (1,100 | ) | | | (28,578 | ) | |
| Polycom, Inc.* | | | (600 | ) | | | (14,982 | ) | |
| Riverbed Technology, Inc.* | | | (1,500 | ) | | | (34,455 | ) | |
| Tellabs, Inc.* | | | (3,800 | ) | | | (21,584 | ) | |
| | | | (651,647 | ) | |
| Computers & Peripherals (-0.2%) | |
| 3PAR, Inc.* | | | (3,100 | ) | | | (36,735 | ) | |
| Dell, Inc.* | | | (3,000 | ) | | | (43,080 | ) | |
| Diebold, Inc. | | | (1,300 | ) | | | (36,985 | ) | |
| Hewlett-Packard Co. | | | (1,600 | ) | | | (82,416 | ) | |
| Imation Corp.* | | | (1,700 | ) | | | (14,824 | ) | |
| Intermec, Inc.* | | | (2,100 | ) | | | (27,006 | ) | |
| Lexmark International, Inc. Class A* | | | (1,600 | ) | | | (41,568 | ) | |
| NCR Corp.* | | | (3,300 | ) | | | (36,729 | ) | |
| QLogic Corp.* | | | (1,700 | ) | | | (32,079 | ) | |
| SanDisk Corp.* | | | (1,200 | ) | | | (34,788 | ) | |
| | | | (386,210 | ) | |
| Construction & Engineering (-0.2%) | |
| Aecom Technology Corp.* | | | (1,300 | ) | | | (35,750 | ) | |
| EMCOR Group, Inc.* | | | (1,500 | ) | | | (40,350 | ) | |
| Granite Construction, Inc. | | | (1,000 | ) | | | (33,660 | ) | |
| Insituform Technologies, Inc. Class A* | | | (1,200 | ) | | | (27,264 | ) | |
| Jacobs Engineering Group, Inc.* | | | (900 | ) | | | (33,849 | ) | |
| KBR, Inc. | | | (1,400 | ) | | | (26,600 | ) | |
| Layne Christensen Co.* | | | (600 | ) | | | (17,226 | ) | |
| MasTec, Inc.* | | | (2,600 | ) | | | (32,500 | ) | |
| Orion Marine Group, Inc.* | | | (200 | ) | | | (4,212 | ) | |
See Accompanying Notes to Financial Statements.
26
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Construction & Engineering | |
| Quanta Services, Inc.* | | | (1,600 | ) | | $ | (33,344 | ) | |
| The Shaw Group, Inc.* | | | (800 | ) | | | (23,000 | ) | |
| Tutor Perini Corp.* | | | (1,700 | ) | | | (30,736 | ) | |
| URS Corp.* | | | (500 | ) | | | (22,260 | ) | |
| | | | (360,751 | ) | |
| Construction Materials (-0.1%) | |
| Eagle Materials, Inc. | | | (1,400 | ) | | | (36,470 | ) | |
| Martin Marietta Materials, Inc. | | | (400 | ) | | | (35,764 | ) | |
| Vulcan Materials Co. | | | (700 | ) | | | (36,869 | ) | |
| | | | (109,103 | ) | |
| Consumer Finance (-0.1%) | |
| American Express Co. | | | (1,200 | ) | | | (48,624 | ) | |
| AmeriCredit Corp.* | | | (1,300 | ) | | | (24,752 | ) | |
| Cash America International, Inc. | | | (1,000 | ) | | | (34,960 | ) | |
| Discover Financial Services | | | (2,300 | ) | | | (33,833 | ) | |
| EZCORP, Inc. Class A* | | | (1,900 | ) | | | (32,699 | ) | |
| Nelnet, Inc. Class A | | | (1,000 | ) | | | (17,230 | ) | |
| SLM Corp.* | | | (3,000 | ) | | | (33,810 | ) | |
| | | | (225,908 | ) | |
| Containers & Packaging (-0.3%) | |
| Aptargroup, Inc. | | | (900 | ) | | | (32,166 | ) | |
| Ball Corp. | | | (800 | ) | | | (41,360 | ) | |
| Bemis Co., Inc. | | | (1,400 | ) | | | (41,510 | ) | |
| Crown Holdings, Inc.* | | | (1,400 | ) | | | (35,812 | ) | |
| Greif, Inc. Class A | | | (700 | ) | | | (37,786 | ) | |
| Owens-Illinois, Inc.* | | | (1,100 | ) | | | (36,157 | ) | |
| Packaging Corp. of America | | | (1,500 | ) | | | (34,515 | ) | |
| Pactiv Corp.* | | | (1,100 | ) | | | (26,554 | ) | |
| Rock-Tenn Co. Class A | | | (800 | ) | | | (40,328 | ) | |
| Sealed Air Corp. | | | (1,600 | ) | | | (34,976 | ) | |
| Silgan Holdings, Inc. | | | (500 | ) | | | (28,940 | ) | |
| Sonoco Products Co. | | | (1,100 | ) | | | (32,175 | ) | |
| Temple-Inland, Inc. | | | (1,500 | ) | | | (31,665 | ) | |
| | | | (453,944 | ) | |
| Distributors (-0.1%) | |
| Genuine Parts Co. | | | (1,100 | ) | | | (41,756 | ) | |
| LKQ Corp.* | | | (2,000 | ) | | | (39,180 | ) | |
| | | | (80,936 | ) | |
| Diversified Consumer Services (-0.2%) | |
| Apollo Group, Inc. Class A* | | | (300 | ) | | | (18,174 | ) | |
| Brink's Home Security Holdings, Inc.* | | | (600 | ) | | | (19,584 | ) | |
| Coinstar, Inc.* | | | (700 | ) | | | (19,446 | ) | |
| H&R Block, Inc. | | | (1,700 | ) | | | (38,454 | ) | |
See Accompanying Notes to Financial Statements.
27
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Diversified Consumer Services | |
| ITT Educational Services, Inc.* | | | (200 | ) | | $ | (19,192 | ) | |
| K12, Inc.* | | | (800 | ) | | | (16,216 | ) | |
| Matthews International Corp. Class A | | | (300 | ) | | | (10,629 | ) | |
| Regis Corp. | | | (1,100 | ) | | | (17,127 | ) | |
| Service Corp. International | | | (5,000 | ) | | | (40,950 | ) | |
| Sotheby's | | | (1,400 | ) | | | (31,472 | ) | |
| Weight Watchers International, Inc. | | | (800 | ) | | | (23,328 | ) | |
| | | | (254,572 | ) | |
| Diversified Financial Services (-0.2%) | |
| Bank of America Corp. | | | (5,700 | ) | | | (85,842 | ) | |
| CME Group, Inc. | | | (100 | ) | | | (33,595 | ) | |
| Interactive Brokers Group, Inc. Class A* | | | (1,200 | ) | | | (21,264 | ) | |
| IntercontinentalExchange, Inc.* | | | (400 | ) | | | (44,920 | ) | |
| Leucadia National Corp.* | | | (1,500 | ) | | | (35,685 | ) | |
| NYSE Euronext | | | (1,700 | ) | | | (43,010 | ) | |
| PHH Corp.* | | | (2,000 | ) | | | (32,220 | ) | |
| The NASDAQ OMX Group, Inc.* | | | (1,500 | ) | | | (29,730 | ) | |
| | | | (326,266 | ) | |
| Diversified Telecommunication Services (-0.1%) | |
| CenturyTel, Inc. | | | (1,100 | ) | | | (39,831 | ) | |
| Frontier Communications Corp. | | | (4,900 | ) | | | (38,269 | ) | |
| Premiere Global Services, Inc.* | | | (3,700 | ) | | | (30,525 | ) | |
| tw telecom, Inc.* | | | (1,300 | ) | | | (22,282 | ) | |
| Verizon Communications, Inc. | | | (2,000 | ) | | | (66,260 | ) | |
| | | | (197,167 | ) | |
| Electric Utilities (-0.6%) | |
| Allegheny Energy, Inc. | | | (1,200 | ) | | | (28,176 | ) | |
| Allete, Inc. | | | (1,000 | ) | | | (32,680 | ) | |
| American Electric Power Co., Inc. | | | (1,200 | ) | | | (41,748 | ) | |
| Cleco Corp. | | | (1,400 | ) | | | (38,262 | ) | |
| DPL, Inc. | | | (1,300 | ) | | | (35,880 | ) | |
| Duke Energy Corp. | | | (2,100 | ) | | | (36,141 | ) | |
| Edison International | | | (700 | ) | | | (24,346 | ) | |
| El Paso Electric Co.* | | | (1,700 | ) | | | (34,476 | ) | |
| Entergy Corp. | | | (500 | ) | | | (40,920 | ) | |
| FirstEnergy Corp. | | | (500 | ) | | | (23,225 | ) | |
| FPL Group, Inc. | | | (600 | ) | | | (31,692 | ) | |
| Great Plains Energy, Inc. | | | (2,000 | ) | | | (38,780 | ) | |
| Hawaiian Electric Industries, Inc. | | | (1,900 | ) | | | (39,710 | ) | |
| IDACORP, Inc. | | | (1,200 | ) | | | (38,340 | ) | |
| ITC Holdings Corp. | | | (700 | ) | | | (36,463 | ) | |
| Northeast Utilities | | | (1,600 | ) | | | (41,264 | ) | |
| NV Energy, Inc. | | | (2,700 | ) | | | (33,426 | ) | |
| Pepco Holdings, Inc. | | | (2,000 | ) | | | (33,700 | ) | |
| Pinnacle West Capital Corp. | | | (800 | ) | | | (29,264 | ) | |
See Accompanying Notes to Financial Statements.
28
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Electric Utilities | |
| PNM Resources, Inc. | | | (2,300 | ) | | $ | (29,095 | ) | |
| Portland General Electric Co. | | | (1,800 | ) | | | (36,738 | ) | |
| PPL Corp. | | | (1,000 | ) | | | (32,310 | ) | |
| Progress Energy, Inc. | | | (900 | ) | | | (36,909 | ) | |
| Southern Co. | | | (1,100 | ) | | | (36,652 | ) | |
| The Empire District Electric Co. | | | (1,800 | ) | | | (33,714 | ) | |
| UIL Holdings Corp. | | | (1,100 | ) | | | (30,888 | ) | |
| Unisource Energy Corp. | | | (1,100 | ) | | | (35,409 | ) | |
| Westar Energy, Inc. | | | (1,700 | ) | | | (36,924 | ) | |
| | | | (967,132 | ) | |
| Electrical Equipment (-0.2%) | |
| A.O. Smith Corp. | | | (500 | ) | | | (21,695 | ) | |
| Acuity Brands, Inc. | | | (1,000 | ) | | | (35,640 | ) | |
| AMETEK, Inc. | | | (900 | ) | | | (34,416 | ) | |
| AZZ, Inc.* | | | (600 | ) | | | (19,620 | ) | |
| Baldor Electric Co. | | | (1,100 | ) | | | (30,899 | ) | |
| Brady Corp. Class A | | | (500 | ) | | | (15,005 | ) | |
| GrafTech International, Ltd.* | | | (2,000 | ) | | | (31,100 | ) | |
| Hubbell, Inc. Class B | | | (500 | ) | | | (23,650 | ) | |
| Polypore International, Inc.* | | | (1,700 | ) | | | (20,230 | ) | |
| Regal-Beloit Corp. | | | (600 | ) | | | (31,164 | ) | |
| Rockwell Automation, Inc. | | | (800 | ) | | | (37,584 | ) | |
| Roper Industries, Inc. | | | (500 | ) | | | (26,185 | ) | |
| Thomas & Betts Corp.* | | | (800 | ) | | | (28,632 | ) | |
| Woodward Governor Co. | | | (1,000 | ) | | | (25,770 | ) | |
| | | | (381,590 | ) | |
| Electronic Equipment, Instruments & Components (-0.4%) | |
| Agilent Technologies, Inc.* | | | (1,300 | ) | | | (40,391 | ) | |
| Amphenol Corp. Class A | | | (800 | ) | | | (36,944 | ) | |
| Anixter International, Inc.* | | | (800 | ) | | | (37,680 | ) | |
| Arrow Electronics, Inc.* | | | (1,200 | ) | | | (35,532 | ) | |
| Avnet, Inc.* | | | (1,200 | ) | | | (36,192 | ) | |
| AVX Corp. | | | (2,800 | ) | | | (35,476 | ) | |
| Benchmark Electronics, Inc.* | | | (1,700 | ) | | | (32,147 | ) | |
| Checkpoint Systems, Inc.* | | | (1,800 | ) | | | (27,450 | ) | |
| Cogent, Inc.* | | | (1,600 | ) | | | (16,624 | ) | |
| Corning, Inc. | | | (2,200 | ) | | | (42,482 | ) | |
| Dolby Laboratories, Inc. Class A* | | | (800 | ) | | | (38,184 | ) | |
| FLIR Systems, Inc.* | | | (1,100 | ) | | | (35,992 | ) | |
| Ingram Micro, Inc. Class A* | | | (2,300 | ) | | | (40,135 | ) | |
| Itron, Inc.* | | | (500 | ) | | | (33,785 | ) | |
| Molex, Inc. | | | (900 | ) | | | (19,395 | ) | |
| National Instruments Corp. | | | (1,100 | ) | | | (32,395 | ) | |
| Plexus Corp.* | | | (700 | ) | | | (19,950 | ) | |
| SYNNEX Corp.* | | | (800 | ) | | | (24,528 | ) | |
| Trimble Navigation, Ltd.* | | | (1,400 | ) | | | (35,280 | ) | |
| Vishay Intertechnology, Inc.* | | | (3,300 | ) | | | (27,555 | ) | |
| | | | (648,117 | ) | |
See Accompanying Notes to Financial Statements.
29
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Energy Equipment & Services (-0.7%) | |
| Atwood Oceanics, Inc.* | | | (1,000 | ) | | $ | (35,850 | ) | |
| Baker Hughes, Inc. | | | (1,100 | ) | | | (44,528 | ) | |
| Bristow Group, Inc.* | | | (600 | ) | | | (23,070 | ) | |
| Cal Dive International, Inc.* | | | (4,200 | ) | | | (31,752 | ) | |
| Cameron International Corp.* | | | (911 | ) | | | (38,080 | ) | |
| CARBO Ceramics, Inc. | | | (500 | ) | | | (34,085 | ) | |
| Complete Production Services, Inc.* | | | (2,500 | ) | | | (32,500 | ) | |
| Diamond Offshore Drilling, Inc. | | | (300 | ) | | | (29,526 | ) | |
| Dresser-Rand Group, Inc.* | | | (1,200 | ) | | | (37,932 | ) | |
| Dril-Quip, Inc.* | | | (700 | ) | | | (39,536 | ) | |
| ENSCO International PLC | | | (300 | ) | | | (11,982 | ) | |
| Exterran Holdings, Inc.* | | | (1,900 | ) | | | (40,755 | ) | |
| FMC Technologies, Inc.* | | | (700 | ) | | | (40,488 | ) | |
| GulfMark Offshore, Inc.* | | | (1,000 | ) | | | (28,310 | ) | |
| Halliburton Co. | | | (1,600 | ) | | | (48,144 | ) | |
| Helix Energy Solutions Group, Inc.* | | | (2,600 | ) | | | (30,550 | ) | |
| Helmerich & Payne, Inc. | | | (1,000 | ) | | | (39,880 | ) | |
| Hornbeck Offshore Services, Inc.* | | | (1,400 | ) | | | (32,592 | ) | |
| ION Geophysical Corp.* | | | (5,200 | ) | | | (30,784 | ) | |
| Lufkin Industries, Inc. | | | (500 | ) | | | (36,600 | ) | |
| Nabors Industries, Ltd.* | | | (1,600 | ) | | | (35,024 | ) | |
| National-Oilwell Varco, Inc. | | | (1,000 | ) | | | (44,090 | ) | |
| Oceaneering International, Inc.* | | | (600 | ) | | | (35,112 | ) | |
| Oil States International, Inc.* | | | (900 | ) | | | (35,361 | ) | |
| Patterson-UTI Energy, Inc. | | | (2,000 | ) | | | (30,700 | ) | |
| Pride International, Inc.* | | | (1,100 | ) | | | (35,101 | ) | |
| Rowan Cos., Inc.* | | | (1,700 | ) | | | (38,488 | ) | |
| SEACOR Holdings, Inc.* | | | (400 | ) | | | (30,500 | ) | |
| Smith International, Inc. | | | (1,600 | ) | | | (43,472 | ) | |
| Superior Energy Services, Inc.* | | | (1,600 | ) | | | (38,864 | ) | |
| Tetra Technologies, Inc.* | | | (3,300 | ) | | | (36,564 | ) | |
| Unit Corp.* | | | (800 | ) | | | (34,000 | ) | |
| Willbros Group, Inc.* | | | (2,300 | ) | | | (38,801 | ) | |
| | | | (1,163,021 | ) | |
| Food & Staples Retailing (-0.2%) | |
| BJ's Wholesale Club, Inc.* | | | (800 | ) | | | (26,168 | ) | |
| Casey's General Stores, Inc. | | | (900 | ) | | | (28,728 | ) | |
| CVS Caremark Corp. | | | (1,800 | ) | | | (57,978 | ) | |
| Great Atlantic & Pacific Tea Co.* | | | (2,800 | ) | | | (33,012 | ) | |
| Ruddick Corp. | | | (1,300 | ) | | | (33,449 | ) | |
| SUPERVALU, Inc. | | | (2,000 | ) | | | (25,420 | ) | |
| Sysco Corp. | | | (1,300 | ) | | | (36,322 | ) | |
| The Kroger Co. | | | (1,400 | ) | | | (28,742 | ) | |
| Wal-Mart Stores, Inc. | | | (1,500 | ) | | | (80,175 | ) | |
| Walgreen Co. | | | (1,300 | ) | | | (47,736 | ) | |
| | | | (397,730 | ) | |
See Accompanying Notes to Financial Statements.
30
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Food Products (-0.4%) | |
| Campbell Soup Co. | | | (1,200 | ) | | $ | (40,560 | ) | |
| Chiquita Brands International, Inc.* | | | (1,700 | ) | | | (30,668 | ) | |
| ConAgra Foods, Inc. | | | (1,600 | ) | | | (36,880 | ) | |
| Corn Products International, Inc. | | | (1,100 | ) | | | (32,153 | ) | |
| Darling International, Inc.* | | | (4,000 | ) | | | (33,520 | ) | |
| Dean Foods Co.* | | | (1,300 | ) | | | (23,452 | ) | |
| Del Monte Foods Co. | | | (1,900 | ) | | | (21,546 | ) | |
| Flowers Foods, Inc. | | | (1,500 | ) | | | (35,640 | ) | |
| General Mills, Inc. | | | (600 | ) | | | (42,486 | ) | |
| H.J. Heinz Co. | | | (500 | ) | | | (21,380 | ) | |
| Kellogg Co. | | | (800 | ) | | | (42,560 | ) | |
| Kraft Foods, Inc. Class A | | | (2,000 | ) | | | (54,360 | ) | |
| McCormick & Co., Inc. | | | (1,000 | ) | | | (36,130 | ) | |
| Ralcorp Holdings, Inc.* | | | (700 | ) | | | (41,797 | ) | |
| Sanderson Farms, Inc. | | | (500 | ) | | | (21,080 | ) | |
| Sara Lee Corp. | | | (2,000 | ) | | | (24,360 | ) | |
| Smithfield Foods, Inc.* | | | (1,800 | ) | | | (27,342 | ) | |
| The Hain Celestial Group, Inc.* | | | (400 | ) | | | (6,804 | ) | |
| The J.M. Smucker Co. | | | (700 | ) | | | (43,225 | ) | |
| Tootsie Roll Industries, Inc. | | | (1,300 | ) | | | (35,594 | ) | |
| TreeHouse Foods, Inc.* | | | (1,000 | ) | | | (38,860 | ) | |
| Tyson Foods, Inc. Class A | | | (2,600 | ) | | | (31,902 | ) | |
| | | | (722,299 | ) | |
| Gas Utilities (-0.3%) | |
| AGL Resources, Inc. | | | (1,100 | ) | | | (40,117 | ) | |
| Atmos Energy Corp. | | | (1,100 | ) | | | (32,340 | ) | |
| Energen Corp. | | | (800 | ) | | | (37,440 | ) | |
| EQT Corp. | | | (800 | ) | | | (35,136 | ) | |
| National Fuel Gas Co. | | | (400 | ) | | | (20,000 | ) | |
| New Jersey Resources Corp. | | | (1,000 | ) | | | (37,400 | ) | |
| Northwest Natural Gas Co. | | | (500 | ) | | | (22,520 | ) | |
| ONEOK, Inc. | | | (800 | ) | | | (35,656 | ) | |
| Piedmont Natural Gas Co., Inc. | | | (1,500 | ) | | | (40,125 | ) | |
| Questar Corp. | | | (900 | ) | | | (37,413 | ) | |
| South Jersey Industries, Inc. | | | (800 | ) | | | (30,544 | ) | |
| Southwest Gas Corp. | | | (900 | ) | | | (25,677 | ) | |
| Suburban Propane Partners LP | | | (200 | ) | | | (9,416 | ) | |
| The Laclede Group, Inc. | | | (900 | ) | | | (30,393 | ) | |
| UGI Corp. | | | (1,100 | ) | | | (26,609 | ) | |
| WGL Holdings, Inc. | | | (700 | ) | | | (23,478 | ) | |
| | | | (484,264 | ) | |
| Health Care Equipment & Supplies (-0.5%) | |
| Align Technology, Inc.* | | | (800 | ) | | | (14,256 | ) | |
| Analogic Corp. | | | (400 | ) | | | (15,404 | ) | |
| Baxter International, Inc. | | | (400 | ) | | | (23,472 | ) | |
| Beckman Coulter, Inc. | | | (600 | ) | | | (39,264 | ) | |
See Accompanying Notes to Financial Statements.
31
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Health Care Equipment & Supplies | |
| Boston Scientific Corp.* | | | (3,800 | ) | | $ | (34,200 | ) | |
| CareFusion Corp.* | | | (750 | ) | | | (18,757 | ) | |
| Conmed Corp.* | | | (800 | ) | | | (18,240 | ) | |
| DENTSPLY International, Inc. | | | (1,200 | ) | | | (42,204 | ) | |
| Edwards Lifesciences Corp.* | | | (400 | ) | | | (34,740 | ) | |
| ev3, Inc.* | | | (1,100 | ) | | | (14,674 | ) | |
| Gen-Probe, Inc.* | | | (800 | ) | | | (34,320 | ) | |
| Haemonetics Corp.* | | | (400 | ) | | | (22,060 | ) | |
| Hologic, Inc.* | | | (2,100 | ) | | | (30,450 | ) | |
| Hospira, Inc.* | | | (800 | ) | | | (40,800 | ) | |
| Idexx Laboratories, Inc.* | | | (500 | ) | | | (26,720 | ) | |
| Immucor, Inc.* | | | (600 | ) | | | (12,144 | ) | |
| Intuitive Surgical, Inc.* | | | (200 | ) | | | (60,664 | ) | |
| Inverness Medical Innovations, Inc.* | | | (800 | ) | | | (33,208 | ) | |
| Kinetic Concepts, Inc.* | | | (100 | ) | | | (3,765 | ) | |
| Masimo Corp.* | | | (200 | ) | | | (6,084 | ) | |
| Medtronic, Inc. | | | (200 | ) | | | (8,796 | ) | |
| Meridian Bioscience, Inc. | | | (700 | ) | | | (15,085 | ) | |
| NuVasive, Inc.* | | | (200 | ) | | | (6,396 | ) | |
| ResMed, Inc.* | | | (500 | ) | | | (26,135 | ) | |
| St. Jude Medical, Inc.* | | | (1,200 | ) | | | (44,136 | ) | |
| Teleflex, Inc. | | | (700 | ) | | | (37,723 | ) | |
| The Cooper Cos., Inc. | | | (900 | ) | | | (34,308 | ) | |
| Varian Medical Systems, Inc.* | | | (400 | ) | | | (18,740 | ) | |
| Volcano Corp.* | | | (600 | ) | | | (10,428 | ) | |
| West Pharmaceutical Services, Inc. | | | (800 | ) | | | (31,360 | ) | |
| Wright Medical Group, Inc.* | | | (900 | ) | | | (17,055 | ) | |
| Zimmer Holdings, Inc.* | | | (700 | ) | | | (41,377 | ) | |
| | | | (816,965 | ) | |
| Health Care Providers & Services (-0.7%) | |
| AMERIGROUP Corp.* | | | (900 | ) | | | (24,264 | ) | |
| Brookdale Senior Living, Inc.* | | | (1,900 | ) | | | (34,561 | ) | |
| Cardinal Health, Inc. | | | (1,300 | ) | | | (41,912 | ) | |
| Centene Corp.* | | | (1,700 | ) | | | (35,989 | ) | |
| Chemed Corp. | | | (600 | ) | | | (28,782 | ) | |
| Community Health Systems, Inc.* | | | (1,100 | ) | | | (39,160 | ) | |
| Coventry Health Care, Inc.* | | | (1,600 | ) | | | (38,864 | ) | |
| DaVita, Inc.* | | | (700 | ) | | | (41,118 | ) | |
| Emergency Medical Services Corp. Class A* | | | (400 | ) | | | (21,660 | ) | |
| Express Scripts, Inc.* | | | (500 | ) | | | (43,225 | ) | |
| Health Management Associates, Inc. Class A* | | | (4,000 | ) | | | (29,080 | ) | |
| Health Net, Inc.* | | | (1,400 | ) | | | (32,606 | ) | |
| Healthspring, Inc.* | | | (2,100 | ) | | | (36,981 | ) | |
| Kindred Healthcare, Inc.* | | | (900 | ) | | | (16,614 | ) | |
| Laboratory Corp. of America Holdings* | | | (500 | ) | | | (37,420 | ) | |
| LHC Group, Inc.* | | | (300 | ) | | | (10,083 | ) | |
See Accompanying Notes to Financial Statements.
32
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Health Care Providers & Services | |
| LifePoint Hospitals, Inc.* | | | (1,100 | ) | | $ | (35,761 | ) | |
| Lincare Holdings, Inc.* | | | (800 | ) | | | (29,696 | ) | |
| Magellan Health Services, Inc.* | | | (500 | ) | | | (20,365 | ) | |
| McKesson Corp. | | | (700 | ) | | | (43,750 | ) | |
| Medco Health Solutions, Inc.* | | | (700 | ) | | | (44,737 | ) | |
| Mednax, Inc.* | | | (600 | ) | | | (36,066 | ) | |
| Molina Healthcare, Inc.* | | | (1,400 | ) | | | (32,018 | ) | |
| Omnicare, Inc. | | | (1,200 | ) | | | (29,016 | ) | |
| Owens & Minor, Inc. | | | (700 | ) | | | (30,051 | ) | |
| Patterson Cos., Inc.* | | | (1,400 | ) | | | (39,172 | ) | |
| PharMerica Corp.* | | | (1,100 | ) | | | (17,468 | ) | |
| PSS World Medical, Inc.* | | | (100 | ) | | | (2,257 | ) | |
| Psychiatric Solutions, Inc.* | | | (1,300 | ) | | | (27,482 | ) | |
| Quest Diagnostics, Inc. | | | (600 | ) | | | (36,228 | ) | |
| Tenet Healthcare Corp.* | | | (4,700 | ) | | | (25,333 | ) | |
| UnitedHealth Group, Inc. | | | (1,400 | ) | | | (42,672 | ) | |
| Universal American Corp.* | | | (3,200 | ) | | | (37,440 | ) | |
| VCA Antech, Inc.* | | | (1,400 | ) | | | (34,888 | ) | |
| | | | (1,076,719 | ) | |
| Health Care Technology (-0.1%) | |
| Allscripts-Misys Heathcare Solutions, Inc.* | | | (1,700 | ) | | | (34,391 | ) | |
| athenahealth, Inc.* | | | (200 | ) | | | (9,048 | ) | |
| Cerner Corp.* | | | (200 | ) | | | (16,488 | ) | |
| Eclipsys Corp.* | | | (500 | ) | | | (9,260 | ) | |
| MedAssets, Inc.* | | | (1,000 | ) | | | (21,210 | ) | |
| | | | (90,397 | ) | |
| Hotels, Restaurants & Leisure (-0.6%) | |
| Ameristar Casinos, Inc. | | | (2,000 | ) | | | (30,460 | ) | |
| Bally Technologies, Inc.* | | | (900 | ) | | | (37,161 | ) | |
| Bob Evans Farms, Inc. | | | (700 | ) | | | (20,265 | ) | |
| Boyd Gaming Corp.* | | | (3,700 | ) | | | (30,969 | ) | |
| Brinker International, Inc. | | | (1,400 | ) | | | (20,888 | ) | |
| Burger King Holdings, Inc. | | | (2,200 | ) | | | (41,404 | ) | |
| CEC Entertainment, Inc.* | | | (1,100 | ) | | | (35,112 | ) | |
| Choice Hotels International, Inc. | | | (1,100 | ) | | | (34,826 | ) | |
| CKE Restaurants, Inc. | | | (3,600 | ) | | | (30,456 | ) | |
| Cracker Barrel Old Country Store, Inc. | | | (500 | ) | | | (18,995 | ) | |
| DineEquity, Inc.* | | | (1,000 | ) | | | (24,290 | ) | |
| Domino's Pizza, Inc.* | | | (3,300 | ) | | | (27,654 | ) | |
| Gaylord Entertainment Co.* | | | (1,900 | ) | | | (37,525 | ) | |
| International Game Technology | | | (1,900 | ) | | | (35,663 | ) | |
| International Speedway Corp. Class A | | | (1,100 | ) | | | (31,295 | ) | |
| Life Time Fitness, Inc.* | | | (1,100 | ) | | | (27,423 | ) | |
| Marriott International, Inc. Class A | | | (1,919 | ) | | | (52,293 | ) | |
| McDonald's Corp. | | | (1,000 | ) | | | (62,440 | ) | |
| Monarch Casino & Resort, Inc.* | | | (1,600 | ) | | | (12,960 | ) | |
| Panera Bread Co. Class A* | | | (200 | ) | | | (13,394 | ) | |
See Accompanying Notes to Financial Statements.
33
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Hotels, Restaurants & Leisure | |
| Penn National Gaming, Inc.* | | | (1,400 | ) | | $ | (38,052 | ) | |
| Pinnacle Entertainment, Inc.* | | | (2,900 | ) | | | (26,042 | ) | |
| Scientific Games Corp. Class A* | | | (2,300 | ) | | | (33,465 | ) | |
| Speedway Motorsports, Inc. | | | (900 | ) | | | (15,858 | ) | |
| Starwood Hotels & Resorts Worldwide, Inc. | | | (1,100 | ) | | | (40,227 | ) | |
| Texas Roadhouse, Inc. Class A* | | | (2,400 | ) | | | (26,952 | ) | |
| The Cheesecake Factory, Inc.* | | | (1,800 | ) | | | (38,862 | ) | |
| Tim Hortons, Inc. | | | (1,200 | ) | | | (36,612 | ) | |
| Vail Resorts, Inc.* | | | (1,000 | ) | | | (37,800 | ) | |
| WMS Industries, Inc.* | | | (300 | ) | | | (12,000 | ) | |
| Wyndham Worldwide Corp. | | | (1,400 | ) | | | (28,238 | ) | |
| Yum! Brands, Inc. | | | (1,100 | ) | | | (38,467 | ) | |
| | | | (998,048 | ) | |
| Household Durables (-0.4%) | |
| American Greetings Corp. Class A | | | (1,200 | ) | | | (26,148 | ) | |
| Blyth, Inc. | | | (100 | ) | | | (3,372 | ) | |
| D.R. Horton, Inc. | | | (3,400 | ) | | | (36,958 | ) | |
| Ethan Allen Interiors, Inc. | | | (2,300 | ) | | | (30,866 | ) | |
| Fortune Brands, Inc. | | | (900 | ) | | | (38,880 | ) | |
| Harman International Industries, Inc. | | | (1,100 | ) | | | (38,808 | ) | |
| Jarden Corp. | | | (1,100 | ) | | | (34,001 | ) | |
| KB Home | | | (2,800 | ) | | | (38,304 | ) | |
| Lennar Corp. Class A | | | (2,700 | ) | | | (34,479 | ) | |
| M.D.C. Holdings, Inc. | | | (1,000 | ) | | | (31,040 | ) | |
| Meritage Homes Corp.* | | | (1,900 | ) | | | (36,727 | ) | |
| Mohawk Industries, Inc.* | | | (700 | ) | | | (33,320 | ) | |
| Newell Rubbermaid, Inc. | | | (2,500 | ) | | | (37,525 | ) | |
| Pulte Homes, Inc.* | | | (3,355 | ) | | | (33,550 | ) | |
| Tempur-Pedic International, Inc.* | | | (1,300 | ) | | | (30,719 | ) | |
| The Ryland Group, Inc. | | | (1,600 | ) | | | (31,520 | ) | |
| Toll Brothers, Inc.* | | | (2,100 | ) | | | (39,501 | ) | |
| Tupperware Brands Corp. | | | (600 | ) | | | (27,942 | ) | |
| Whirlpool Corp. | | | (300 | ) | | | (24,198 | ) | |
| | | | (607,858 | ) | |
| Household Products (-0.0%) | |
| Church & Dwight Co., Inc. | | | (600 | ) | | | (36,270 | ) | |
| Clorox Co. | | | (600 | ) | | | (36,600 | ) | |
| | | | (72,870 | ) | |
| Independent Power Producers & Energy Traders (-0.1%) | |
| Calpine Corp.* | | | (3,300 | ) | | | (36,300 | ) | |
| Constellation Energy Group, Inc. | | | (1,200 | ) | | | (42,204 | ) | |
| Mirant Corp.* | | | (1,800 | ) | | | (27,486 | ) | |
| Ormat Technologies, Inc. | | | (700 | ) | | | (26,488 | ) | |
| RRI Energy, Inc.* | | | (5,500 | ) | | | (31,460 | ) | |
| The AES Corp.* | | | (3,000 | ) | | | (39,930 | ) | |
| | | | (203,868 | ) | |
See Accompanying Notes to Financial Statements.
34
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Industrial Conglomerates (-0.1%) | |
| 3M Co. | | | (600 | ) | | $ | (49,602 | ) | |
| Carlisle Cos., Inc. | | | (1,000 | ) | | | (34,260 | ) | |
| Otter Tail Corp. | | | (900 | ) | | | (22,320 | ) | |
| Textron, Inc. | | | (2,000 | ) | | | (37,620 | ) | |
| | | | (143,802 | ) | |
| Insurance (-0.8%) | |
| Aflac, Inc. | | | (700 | ) | | | (32,375 | ) | |
| American Financial Group, Inc. | | | (1,600 | ) | | | (39,920 | ) | |
| Amtrust Financial Services, Inc. | | | (1,300 | ) | | | (15,366 | ) | |
| Arthur J. Gallagher & Co. | | | (700 | ) | | | (15,757 | ) | |
| Assurant, Inc. | | | (1,400 | ) | | | (41,272 | ) | |
| Brown & Brown, Inc. | | | (1,900 | ) | | | (34,143 | ) | |
| Cincinnati Financial Corp. | | | (1,400 | ) | | | (36,736 | ) | |
| CNA Financial Corp.* | | | (1,000 | ) | | | (24,000 | ) | |
| CNA Surety Corp.* | | | (600 | ) | | | (8,934 | ) | |
| Conseco, Inc.* | | | (6,300 | ) | | | (31,500 | ) | |
| Delphi Financial Group, Inc. Class A | | | (1,300 | ) | | | (29,081 | ) | |
| Employers Holdings, Inc. | | | (1,800 | ) | | | (27,612 | ) | |
| FBL Financial Group, Inc. Class A | | | (1,000 | ) | | | (18,520 | ) | |
| Fidelity National Financial, Inc. Class A | | | (3,100 | ) | | | (41,726 | ) | |
| First American Corp. | | | (400 | ) | | | (13,244 | ) | |
| Genworth Financial, Inc. Class A* | | | (2,600 | ) | | | (29,510 | ) | |
| Hartford Financial Services Group, Inc. | | | (1,100 | ) | | | (25,586 | ) | |
| HCC Insurance Holdings, Inc. | | | (1,100 | ) | | | (30,767 | ) | |
| Hilltop Holdings, Inc.* | | | (2,300 | ) | | | (26,772 | ) | |
| Lincoln National Corp. | | | (900 | ) | | | (22,392 | ) | |
| Marsh & McLennan Cos., Inc. | | | (1,800 | ) | | | (39,744 | ) | |
| Mercury General Corp. | | | (900 | ) | | | (35,334 | ) | |
| MetLife, Inc. | | | (1,300 | ) | | | (45,955 | ) | |
| National Financial Partners Corp.* | | | (1,700 | ) | | | (13,753 | ) | |
| Old Republic International Corp. | | | (3,400 | ) | | | (34,136 | ) | |
| Principal Financial Group, Inc. | | | (1,500 | ) | | | (36,060 | ) | |
| ProAssurance Corp.* | | | (700 | ) | | | (37,597 | ) | |
| Protective Life Corp. | | | (1,700 | ) | | | (28,135 | ) | |
| Prudential Financial, Inc. | | | (700 | ) | | | (34,832 | ) | |
| Reinsurance Group of America, Inc. | | | (800 | ) | | | (38,120 | ) | |
| RLI Corp. | | | (500 | ) | | | (26,625 | ) | |
| StanCorp Financial Group, Inc. | | | (600 | ) | | | (24,012 | ) | |
| The Allstate Corp. | | | (1,400 | ) | | | (42,056 | ) | |
| The Chubb Corp. | | | (900 | ) | | | (44,262 | ) | |
| The Progressive Corp.* | | | (2,100 | ) | | | (37,779 | ) | |
| Torchmark Corp. | | | (800 | ) | | | (35,160 | ) | |
| Transatlantic Holdings, Inc. | | | (500 | ) | | | (26,055 | ) | |
| Unitrin, Inc. | | | (900 | ) | | | (19,845 | ) | |
| Unum Group | | | (1,700 | ) | | | (33,184 | ) | |
| W.R. Berkley Corp. | | | (1,700 | ) | | | (41,888 | ) | |
| XL Capital, Ltd. Class A | | | (1,800 | ) | | | (32,994 | ) | |
| Zenith National Insurance Corp. | | | (1,300 | ) | | | (38,688 | ) | |
| | | | (1,291,427 | ) | |
See Accompanying Notes to Financial Statements.
35
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Internet & Catalog Retail (-0.1%) | |
| Amazon.com, Inc.* | | | (300 | ) | | $ | (40,356 | ) | |
| Expedia, Inc.* | | | (900 | ) | | | (23,139 | ) | |
| Liberty Media Corp. - Interactive Class A* | | | (1,800 | ) | | | (19,512 | ) | |
| priceline.com, Inc.* | | | (100 | ) | | | (21,850 | ) | |
| | | | (104,857 | ) | |
| Internet Software & Services (-0.2%) | |
| Akamai Technologies, Inc.* | | | (1,400 | ) | | | (35,462 | ) | |
| Digital River, Inc.* | | | (300 | ) | | | (8,097 | ) | |
| eBay, Inc.* | | | (1,800 | ) | | | (42,372 | ) | |
| Equinix, Inc.* | | | (300 | ) | | | (31,845 | ) | |
| GSI Commerce, Inc.* | | | (1,400 | ) | | | (35,546 | ) | |
| IAC/InterActiveCorp* | | | (1,400 | ) | | | (28,672 | ) | |
| Rackspace Hosting, Inc.* | | | (1,800 | ) | | | (37,530 | ) | |
| Yahoo!, Inc.* | | | (1,600 | ) | | | (26,848 | ) | |
| | | | (246,372 | ) | |
| IT Services (-0.5%) | |
| Alliance Data Systems Corp.* | | | (400 | ) | | | (25,836 | ) | |
| Automatic Data Processing, Inc. | | | (1,100 | ) | | | (47,102 | ) | |
| CACI International, Inc. Class A* | | | (500 | ) | | | (24,425 | ) | |
| Cognizant Technology Solutions Corp. Class A* | | | (900 | ) | | | (40,770 | ) | |
| Computer Sciences Corp.* | | | (700 | ) | | | (40,271 | ) | |
| Convergys Corp.* | | | (3,200 | ) | | | (34,400 | ) | |
| Cybersource Corp.* | | | (1,600 | ) | | | (32,176 | ) | |
| DST Systems, Inc.* | | | (800 | ) | | | (34,840 | ) | |
| Fiserv, Inc.* | | | (800 | ) | | | (38,784 | ) | |
| Gartner, Inc.* | | | (1,200 | ) | | | (21,648 | ) | |
| Heartland Payment Systems, Inc. | | | (2,200 | ) | | | (28,886 | ) | |
| Hewitt Associates, Inc. Class A* | | | (800 | ) | | | (33,808 | ) | |
| Lender Processing Services, Inc. | | | (900 | ) | | | (36,594 | ) | |
| ManTech International Corp. Class A* | | | (200 | ) | | | (9,656 | ) | |
| MAXIMUS, Inc. | | | (500 | ) | | | (25,000 | ) | |
| Paychex, Inc. | | | (1,200 | ) | | | (36,768 | ) | |
| SAIC, Inc.* | | | (1,700 | ) | | | (32,198 | ) | |
| SRA International, Inc. Class A* | | | (1,900 | ) | | | (36,290 | ) | |
| TeleTech Holdings, Inc.* | | | (600 | ) | | | (12,018 | ) | |
| The Western Union Co. | | | (1,900 | ) | | | (35,815 | ) | |
| TNS, Inc.* | | | (1,300 | ) | | | (33,397 | ) | |
| Total System Services, Inc. | | | (2,000 | ) | | | (34,540 | ) | |
| Unisys Corp.* | | | (900 | ) | | | (34,704 | ) | |
| VeriFone Holdings, Inc.* | | | (2,000 | ) | | | (32,760 | ) | |
| Wright Express Corp.* | | | (800 | ) | | | (25,488 | ) | |
| | | | (788,174 | ) | |
See Accompanying Notes to Financial Statements.
36
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Leisure Equipment & Products (-0.1%) | |
| Brunswick Corp. | | | (2,700 | ) | | $ | (34,317 | ) | |
| Callaway Golf Co. | | | (4,100 | ) | | | (30,914 | ) | |
| Hasbro, Inc. | | | (1,200 | ) | | | (38,472 | ) | |
| Polaris Industries, Inc. | | | (800 | ) | | | (34,904 | ) | |
| Pool Corp. | | | (1,600 | ) | | | (30,528 | ) | |
| | | | (169,135 | ) | |
| Life Sciences Tools & Services (-0.2%) | |
| Bruker Corp.* | | | (500 | ) | | | (6,030 | ) | |
| Charles River Laboratories International, Inc.* | | | (1,000 | ) | | | (33,690 | ) | |
| Covance, Inc.* | | | (700 | ) | | | (38,199 | ) | |
| Illumina, Inc.* | | | (900 | ) | | | (27,585 | ) | |
| Life Technologies Corp.* | | | (800 | ) | | | (41,784 | ) | |
| Mettler-Toledo International, Inc.* | | | (300 | ) | | | (31,497 | ) | |
| Millipore Corp.* | | | (500 | ) | | | (36,175 | ) | |
| Paraxel International Corp.* | | | (1,100 | ) | | | (15,510 | ) | |
| PerkinElmer, Inc. | | | (2,000 | ) | | | (41,180 | ) | |
| Pharmaceutical Product Development, Inc. | | | (1,700 | ) | | | (39,848 | ) | |
| Techne Corp. | | | (400 | ) | | | (27,424 | ) | |
| Thermo Fisher Scientific, Inc.* | | | (1,000 | ) | | | (47,690 | ) | |
| | | | (386,612 | ) | |
| Machinery (-0.9%) | |
| Actuant Corp. Class A | | | (1,900 | ) | | | (35,207 | ) | |
| AGCO Corp.* | | | (1,100 | ) | | | (35,574 | ) | |
| Albany International Corp. Class A | | | (1,300 | ) | | | (29,198 | ) | |
| Astec Industries, Inc.* | | | (1,200 | ) | | | (32,328 | ) | |
| Barnes Group, Inc. | | | (1,900 | ) | | | (32,110 | ) | |
| Briggs & Stratton Corp. | | | (1,700 | ) | | | (31,807 | ) | |
| Bucyrus International, Inc. | | | (600 | ) | | | (33,822 | ) | |
| Caterpillar, Inc. | | | (900 | ) | | | (51,291 | ) | |
| CLARCOR, Inc. | | | (1,100 | ) | | | (35,684 | ) | |
| Columbus McKinnon Corp.* | | | (400 | ) | | | (5,464 | ) | |
| Crane Co. | | | (900 | ) | | | (27,558 | ) | |
| Cummins, Inc. | | | (700 | ) | | | (32,102 | ) | |
| Danaher Corp. | | | (600 | ) | | | (45,120 | ) | |
| Deere & Co. | | | (800 | ) | | | (43,272 | ) | |
| Dover Corp. | | | (900 | ) | | | (37,449 | ) | |
| Eaton Corp. | | | (600 | ) | | | (38,172 | ) | |
| ESCO Technologies, Inc. | | | (400 | ) | | | (14,340 | ) | |
| Flowserve Corp. | | | (300 | ) | | | (28,359 | ) | |
| Gardner Denver, Inc. | | | (800 | ) | | | (34,040 | ) | |
| Graco, Inc. | | | (1,300 | ) | | | (37,141 | ) | |
| Harsco Corp. | | | (1,100 | ) | | | (35,453 | ) | |
| IDEX Corp. | | | (1,300 | ) | | | (40,495 | ) | |
| Joy Global, Inc. | | | (800 | ) | | | (41,272 | ) | |
| Kaydon Corp. | | | (900 | ) | | | (32,184 | ) | |
| Kennametal, Inc. | | | (1,100 | ) | | | (28,512 | ) | |
See Accompanying Notes to Financial Statements.
37
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Machinery | |
| Lincoln Electric Holdings, Inc. | | | (700 | ) | | $ | (37,422 | ) | |
| Mueller Industries, Inc. | | | (1,300 | ) | | | (32,292 | ) | |
| Oshkosh Corp. | | | (400 | ) | | | (14,812 | ) | |
| PACCAR, Inc. | | | (1,100 | ) | | | (39,897 | ) | |
| Parker Hannifin Corp. | | | (800 | ) | | | (43,104 | ) | |
| Pentair, Inc. | | | (1,100 | ) | | | (35,530 | ) | |
| Robbins & Myers, Inc. | | | (1,200 | ) | | | (28,224 | ) | |
| Snap-on, Inc. | | | (800 | ) | | | (33,808 | ) | |
| SPX Corp. | | | (600 | ) | | | (32,820 | ) | |
| Tennant Co. | | | (800 | ) | | | (20,952 | ) | |
| Terex Corp.* | | | (1,600 | ) | | | (31,696 | ) | |
| The Stanley Works | | | (800 | ) | | | (41,208 | ) | |
| The Timken Co. | | | (1,400 | ) | | | (33,194 | ) | |
| Titan International, Inc. | | | (4,000 | ) | | | (32,440 | ) | |
| Toro Co. | | | (600 | ) | | | (25,086 | ) | |
| Trinity Industries, Inc. | | | (2,000 | ) | | | (34,880 | ) | |
| Valmont Industries, Inc. | | | (400 | ) | | | (31,380 | ) | |
| Wabtec Corp. | | | (800 | ) | | | (32,672 | ) | |
| Watts Water Technologies, Inc. Class A | | | (1,000 | ) | | | (30,920 | ) | |
| | | | (1,450,291 | ) | |
| Marine (-0.0%) | |
| Alexander & Baldwin, Inc. | | | (400 | ) | | | (13,692 | ) | |
| Kirby Corp.* | | | (900 | ) | | | (31,347 | ) | |
| | | | (45,039 | ) | |
| Media (-0.5%) | |
| Arbitron, Inc. | | | (1,400 | ) | | | (32,788 | ) | |
| CBS Corp. Class B | | | (2,800 | ) | | | (39,340 | ) | |
| Cinemark Holdings, Inc. | | | (2,100 | ) | | | (30,177 | ) | |
| CTC Media, Inc.* | | | (2,000 | ) | | | (29,800 | ) | |
| Discovery Communications, Inc. Class A* | | | (800 | ) | | | (24,536 | ) | |
| Dolan Media Co.* | | | (3,200 | ) | | | (32,672 | ) | |
| DreamWorks Animation SKG, Inc. Class A* | | | (1,000 | ) | | | (39,950 | ) | |
| E.W. Scripps Co. Class A* | | | (4,600 | ) | | | (32,016 | ) | |
| Gannett Co., Inc. | | | (2,200 | ) | | | (32,670 | ) | |
| Interactive Data Corp. | | | (1,200 | ) | | | (30,360 | ) | |
| Interpublic Group of Cos., Inc.* | | | (3,000 | ) | | | (22,140 | ) | |
| John Wiley & Sons, Inc. Class A | | | (800 | ) | | | (33,504 | ) | |
| Lamar Advertising Co. Class A* | | | (500 | ) | | | (15,545 | ) | |
| Liberty Global, Inc. Class A* | | | (1,600 | ) | | | (35,056 | ) | |
| Liberty Media Corp. - Capital Series A* | | | (1,600 | ) | | | (38,208 | ) | |
| Liberty Media Corp. - Starz Series A* | | | (200 | ) | | | (9,230 | ) | |
| Live Nation, Inc.* | | | (1,800 | ) | | | (15,318 | ) | |
| Meredith Corp. | | | (1,300 | ) | | | (40,105 | ) | |
| News Corp. Class A | | | (2,800 | ) | | | (38,332 | ) | |
| Omnicom Group, Inc. | | | (1,000 | ) | | | (39,150 | ) | |
| Regal Entertainment Group Class A | | | (2,700 | ) | | | (38,988 | ) | |
See Accompanying Notes to Financial Statements.
38
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Media | |
| Scholastic Corp. | | | (200 | ) | | $ | (5,966 | ) | |
| Scripps Networks Interactive, Inc. Class A | | | (700 | ) | | | (29,050 | ) | |
| The McGraw-Hill Cos., Inc. | | | (1,300 | ) | | | (43,563 | ) | |
| The New York Times Co. Class A* | | | (2,600 | ) | | | (32,136 | ) | |
| The Walt Disney Co. | | | (1,400 | ) | | | (45,150 | ) | |
| Time Warner Cable, Inc. | | | (1,024 | ) | | | (42,383 | ) | |
| Viacom, Inc. Class B* | | | (1,100 | ) | | | (32,703 | ) | |
| | | | (880,836 | ) | |
| Metals & Mining (-0.4%) | |
| AK Steel Holding Corp. | | | (1,600 | ) | | | (34,160 | ) | |
| Alcoa, Inc. | | | (2,200 | ) | | | (35,464 | ) | |
| Allegheny Technologies, Inc. | | | (800 | ) | | | (35,816 | ) | |
| AMCOL International Corp. | | | (100 | ) | | | (2,842 | ) | |
| Carpenter Technology Corp. | | | (1,200 | ) | | | (32,340 | ) | |
| Century Aluminum Co.* | | | (2,000 | ) | | | (32,380 | ) | |
| Cliffs Natural Resources, Inc. | | | (800 | ) | | | (36,872 | ) | |
| Coeur d'Alene Mines Corp.* | | | (1,600 | ) | | | (28,896 | ) | |
| Commercial Metals Co. | | | (2,000 | ) | | | (31,300 | ) | |
| Compass Minerals International, Inc. | | | (600 | ) | | | (40,314 | ) | |
| Freeport-McMoRan Copper & Gold, Inc.* | | | (500 | ) | | | (40,145 | ) | |
| Kaiser Aluminum Corp. | | | (500 | ) | | | (20,810 | ) | |
| Newmont Mining Corp. | | | (800 | ) | | | (37,848 | ) | |
| Nucor Corp. | | | (900 | ) | | | (41,985 | ) | |
| Royal Gold, Inc. | | | (700 | ) | | | (32,970 | ) | |
| RTI International Metals, Inc.* | | | (1,600 | ) | | | (40,272 | ) | |
| Schnitzer Steel Industries, Inc. Class A | | | (500 | ) | | | (23,850 | ) | |
| Southern Copper Corp. | | | (900 | ) | | | (29,619 | ) | |
| Steel Dynamics, Inc. | | | (2,200 | ) | | | (38,984 | ) | |
| Titanium Metals Corp.* | | | (2,600 | ) | | | (32,552 | ) | |
| United States Steel Corp. | | | (600 | ) | | | (33,072 | ) | |
| Walter Energy, Inc. | | | (500 | ) | | | (37,655 | ) | |
| | | | (720,146 | ) | |
| Multi-Utilities (-0.4%) | |
| Alliant Energy Corp. | | | (1,100 | ) | | | (33,286 | ) | |
| Ameren Corp. | | | (1,300 | ) | | | (36,335 | ) | |
| Avista Corp. | | | (1,500 | ) | | | (32,385 | ) | |
| Black Hills Corp. | | | (1,100 | ) | | | (29,293 | ) | |
| CenterPoint Energy, Inc. | | | (2,900 | ) | | | (42,079 | ) | |
| CMS Energy Corp. | | | (1,400 | ) | | | (21,924 | ) | |
| Consolidated Edison, Inc. | | | (900 | ) | | | (40,887 | ) | |
| Dominion Resources, Inc. | | | (1,000 | ) | | | (38,920 | ) | |
| DTE Energy Co. | | | (700 | ) | | | (30,513 | ) | |
| Integrys Energy Group, Inc. | | | (800 | ) | | | (33,592 | ) | |
| MDU Resources Group, Inc. | | | (1,400 | ) | | | (33,040 | ) | |
| NiSource, Inc. | | | (2,300 | ) | | | (35,374 | ) | |
| NorthWestern Corp. | | | (900 | ) | | | (23,418 | ) | |
See Accompanying Notes to Financial Statements.
39
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Multi-Utilities | |
| OGE Energy Corp. | | | (1,000 | ) | | $ | (36,890 | ) | |
| PG&E Corp. | | | (700 | ) | | | (31,255 | ) | |
| SCANA Corp. | | | (1,100 | ) | | | (41,448 | ) | |
| Sempra Energy | | | (500 | ) | | | (27,990 | ) | |
| Vectren Corp. | | | (1,400 | ) | | | (34,552 | ) | |
| Wisconsin Energy Corp. | | | (800 | ) | | | (39,864 | ) | |
| Xcel Energy, Inc. | | | (1,400 | ) | | | (29,708 | ) | |
| | | | (672,753 | ) | |
| Multiline Retail (-0.1%) | |
| Dillard's, Inc. Class A | | | (1,700 | ) | | | (31,365 | ) | |
| Nordstrom, Inc. | | | (1,100 | ) | | | (41,338 | ) | |
| Saks, Inc.* | | | (3,400 | ) | | | (22,304 | ) | |
| | | | (95,007 | ) | |
| Office Electronics (-0.0%) | |
| Xerox Corp. | | | (4,400 | ) | | | (37,224 | ) | |
| Zebra Technologies Corp. Class A* | | | (1,100 | ) | | | (31,196 | ) | |
| | | | (68,420 | ) | |
| Oil, Gas & Consumable Fuels (-1.4%) | |
| Alon USA Energy, Inc. | | | (4,200 | ) | | | (28,728 | ) | |
| Alpha Natural Resources, Inc.* | | | (900 | ) | | | (39,042 | ) | |
| Anadarko Petroleum Corp. | | | (500 | ) | | | (31,210 | ) | |
| Arch Coal, Inc. | | | (1,500 | ) | | | (33,375 | ) | |
| Arena Resources, Inc.* | | | (900 | ) | | | (38,808 | ) | |
| Atlas Energy, Inc. | | | (928 | ) | | | (27,998 | ) | |
| Berry Petroleum Co. Class A | | | (1,100 | ) | | | (32,065 | ) | |
| Bill Barrett Corp.* | | | (1,000 | ) | | | (31,110 | ) | |
| Brigham Exploration Co.* | | | (1,100 | ) | | | (14,905 | ) | |
| Cabot Oil & Gas Corp. | | | (900 | ) | | | (39,231 | ) | |
| Carrizo Oil & Gas, Inc.* | | | (1,200 | ) | | | (31,788 | ) | |
| Chesapeake Energy Corp. | | | (1,200 | ) | | | (31,056 | ) | |
| Chevron Corp. | | | (1,200 | ) | | | (92,388 | ) | |
| Cimarex Energy Co. | | | (700 | ) | | | (37,079 | ) | |
| Clean Energy Fuels Corp.* | | | (2,300 | ) | | | (35,443 | ) | |
| CNX Gas Corp.* | | | (1,000 | ) | | | (29,520 | ) | |
| Comstock Resources, Inc.* | | | (700 | ) | | | (28,399 | ) | |
| Concho Resources, Inc.* | | | (900 | ) | | | (40,410 | ) | |
| Consol Energy, Inc. | | | (600 | ) | | | (29,880 | ) | |
| Continental Resources, Inc.* | | | (900 | ) | | | (38,601 | ) | |
| CVR Energy, Inc.* | | | (4,600 | ) | | | (31,556 | ) | |
| Delek US Holdings, Inc. | | | (4,600 | ) | | | (31,326 | ) | |
| Denbury Resources, Inc.* | | | (2,200 | ) | | | (32,560 | ) | |
| Devon Energy Corp. | | | (500 | ) | | | (36,750 | ) | |
| El Paso Corp. | | | (4,200 | ) | | | (41,286 | ) | |
| El Paso Pipeline Partners LP | | | (1,000 | ) | | | (25,960 | ) | |
See Accompanying Notes to Financial Statements.
40
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Oil, Gas & Consumable Fuels | |
| Enbridge Energy Partners LP | | | (400 | ) | | $ | (21,476 | ) | |
| Encore Acquisition Co.* | | | (800 | ) | | | (38,416 | ) | |
| Energy Transfer Partners LP | | | (500 | ) | | | (22,485 | ) | |
| EOG Resources, Inc. | | | (300 | ) | | | (29,190 | ) | |
| EXCO Resources, Inc. | | | (1,600 | ) | | | (33,968 | ) | |
| Forest Oil Corp.* | | | (1,400 | ) | | | (31,150 | ) | |
| Frontier Oil Corp. | | | (3,500 | ) | | | (42,140 | ) | |
| Goodrich Petroleum Corp.* | | | (900 | ) | | | (21,915 | ) | |
| Hess Corp. | | | (700 | ) | | | (42,350 | ) | |
| Holly Corp. | | | (1,600 | ) | | | (41,008 | ) | |
| Inergy LP | | | (800 | ) | | | (28,544 | ) | |
| Kinder Morgan Management LLC* | | | (626 | ) | | | (34,204 | ) | |
| Marathon Oil Corp. | | | (1,500 | ) | | | (46,830 | ) | |
| Mariner Energy, Inc.* | | | (2,600 | ) | | | (30,186 | ) | |
| Massey Energy Co. | | | (800 | ) | | | (33,608 | ) | |
| McMoRan Exploration Co.* | | | (4,100 | ) | | | (32,882 | ) | |
| Murphy Oil Corp. | | | (800 | ) | | | (43,360 | ) | |
| Newfield Exploration Co.* | | | (700 | ) | | | (33,761 | ) | |
| Noble Energy, Inc. | | | (600 | ) | | | (42,732 | ) | |
| NuStar Energy LP | | | (300 | ) | | | (16,827 | ) | |
| NuStar GP Holdings LLC | | | (500 | ) | | | (13,460 | ) | |
| Occidental Petroleum Corp. | | | (600 | ) | | | (48,810 | ) | |
| Overseas Shipholding Group, Inc. | | | (800 | ) | | | (35,160 | ) | |
| Peabody Energy Corp. | | | (800 | ) | | | (36,168 | ) | |
| Penn Virginia Corp. | | | (1,200 | ) | | | (25,548 | ) | |
| Petrohawk Energy Corp.* | | | (1,400 | ) | | | (33,586 | ) | |
| Pioneer Natural Resources Co. | | | (800 | ) | | | (38,536 | ) | |
| Plains All American Pipeline LP | | | (100 | ) | | | (5,285 | ) | |
| Plains Exploration & Production Co.* | | | (1,200 | ) | | | (33,192 | ) | |
| Quicksilver Resources, Inc.* | | | (1,800 | ) | | | (27,018 | ) | |
| Range Resources Corp. | | | (500 | ) | | | (24,925 | ) | |
| SandRidge Energy, Inc.* | | | (2,500 | ) | | | (23,575 | ) | |
| Southern Union Co. | | | (1,500 | ) | | | (34,050 | ) | |
| Southwestern Energy Co.* | | | (800 | ) | | | (38,560 | ) | |
| Spectra Energy Corp. | | | (2,200 | ) | | | (45,122 | ) | |
| St. Mary Land & Exploration Co. | | | (1,000 | ) | | | (34,240 | ) | |
| Sunoco, Inc. | | | (1,300 | ) | | | (33,930 | ) | |
| Swift Energy Co.* | | | (1,100 | ) | | | (26,356 | ) | |
| Tesoro Corp. | | | (3,100 | ) | | | (42,005 | ) | |
| The Williams Cos., Inc. | | | (1,700 | ) | | | (35,836 | ) | |
| Valero Energy Corp. | | | (2,400 | ) | | | (40,200 | ) | |
| Venoco, Inc.* | | | (1,200 | ) | | | (15,648 | ) | |
| Whiting Petroleum Corp.* | | | (500 | ) | | | (35,725 | ) | |
| World Fuel Services Corp. | | | (1,400 | ) | | | (37,506 | ) | |
| | | | (2,341,947 | ) | |
See Accompanying Notes to Financial Statements.
41
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Paper & Forest Products (-0.2%) | |
| Buckeye Technologies, Inc.* | | | (1,500 | ) | | $ | (14,640 | ) | |
| Domtar Corp.* | | | (700 | ) | | | (38,787 | ) | |
| International Paper Co. | | | (1,600 | ) | | | (42,848 | ) | |
| Louisiana-Pacific Corp.* | | | (4,800 | ) | | | (33,504 | ) | |
| MeadWestvaco Corp. | | | (1,200 | ) | | | (34,356 | ) | |
| Schweitzer-Mauduit International, Inc. | | | (500 | ) | | | (35,175 | ) | |
| Wausau Paper Corp. | | | (2,900 | ) | | | (33,640 | ) | |
| Weyerhaeuser Co. | | | (900 | ) | | | (38,826 | ) | |
| | | | (271,776 | ) | |
| Personal Products (-0.1%) | |
| Alberto-Culver Co. | | | (1,300 | ) | | | (38,077 | ) | |
| Avon Products, Inc. | | | (1,400 | ) | | | (44,100 | ) | |
| Bare Escentuals, Inc.* | | | (2,500 | ) | | | (30,575 | ) | |
| Chattem, Inc.* | | | (200 | ) | | | (18,660 | ) | |
| NBTY, Inc.* | | | (900 | ) | | | (39,186 | ) | |
| Nu Skin Enterprises, Inc. Class A | | | (700 | ) | | | (18,809 | ) | |
| | | | (189,407 | ) | |
| Pharmaceuticals (-0.2%) | |
| Abbott Laboratories | | | (1,200 | ) | | | (64,788 | ) | |
| Allergan, Inc. | | | (700 | ) | | | (44,107 | ) | |
| Auxilium Pharmaceuticals, Inc.* | | | (200 | ) | | | (5,996 | ) | |
| Eli Lilly & Co. | | | (1,500 | ) | | | (53,565 | ) | |
| Forest Laboratories, Inc.* | | | (1,100 | ) | | | (35,321 | ) | |
| King Pharmaceuticals, Inc.* | | | (3,000 | ) | | | (36,810 | ) | |
| Par Pharmaceutical Cos., Inc.* | | | (1,400 | ) | | | (37,884 | ) | |
| Perrigo Co. | | | (1,000 | ) | | | (39,840 | ) | |
| Salix Pharmaceuticals, Ltd.* | | | (1,000 | ) | | | (25,400 | ) | |
| Viropharma, Inc.* | | | (3,800 | ) | | | (31,882 | ) | |
| Watson Pharmaceuticals, Inc.* | | | (200 | ) | | | (7,922 | ) | |
| XenoPort, Inc.* | | | (800 | ) | | | (14,848 | ) | |
| | | | (398,363 | ) | |
| Professional Services (-0.3%) | |
| Administaff, Inc. | | | (900 | ) | | | (21,231 | ) | |
| CBIZ, Inc.* | | | (4,000 | ) | | | (30,800 | ) | |
| CoStar Group, Inc.* | | | (500 | ) | | | (20,885 | ) | |
| Dun & Bradstreet Corp. | | | (500 | ) | | | (42,185 | ) | |
| Equifax, Inc. | | | (1,100 | ) | | | (33,979 | ) | |
| FTI Consulting, Inc.* | | | (700 | ) | | | (33,012 | ) | |
| Huron Consulting Group, Inc.* | | | (1,300 | ) | | | (29,952 | ) | |
| IHS, Inc. Class A* | | | (700 | ) | | | (38,367 | ) | |
| Korn/Ferry International* | | | (2,000 | ) | | | (33,000 | ) | |
| Manpower, Inc. | | | (600 | ) | | | (32,748 | ) | |
| Monster Worldwide, Inc.* | | | (1,900 | ) | | | (33,060 | ) | |
| Navigant Consulting, Inc.* | | | (2,000 | ) | | | (29,720 | ) | |
| Resources Global Professionals, Inc.* | | | (1,100 | ) | | | (23,342 | ) | |
See Accompanying Notes to Financial Statements.
42
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Professional Services | |
| Robert Half International, Inc. | | | (1,000 | ) | | $ | (26,730 | ) | |
| The Corporate Executive Board Co. | | | (800 | ) | | | (18,256 | ) | |
| Watson Wyatt Worldwide, Inc. Class A | | | (700 | ) | | | (33,264 | ) | |
| | | | (480,531 | ) | |
| Real Estate Investment Trusts (-1.3%) | |
| Acadia Realty Trust | | | (1,300 | ) | | | (21,931 | ) | |
| Alexandria Real Estate Equities, Inc. | | | (300 | ) | | | (19,287 | ) | |
| AMB Property Corp. | | | (1,300 | ) | | | (33,215 | ) | |
| Anworth Mortgage Asset Corp. | | | (3,200 | ) | | | (22,400 | ) | |
| Apartment Investment & Management Co. Class A | | | (2,000 | ) | | | (31,840 | ) | |
| AvalonBay Communities, Inc. | | | (500 | ) | | | (41,055 | ) | |
| BioMed Realty Trust, Inc. | | | (1,800 | ) | | | (28,404 | ) | |
| Boston Properties, Inc. | | | (600 | ) | | | (40,242 | ) | |
| Brandywine Realty Trust | | | (2,700 | ) | | | (30,780 | ) | |
| BRE Properties, Inc. | | | (1,200 | ) | | | (39,696 | ) | |
| Camden Property Trust | | | (800 | ) | | | (33,896 | ) | |
| Capstead Mortgage Corp. | | | (2,100 | ) | | | (28,665 | ) | |
| CBL & Associates Properties, Inc. | | | (2,500 | ) | | | (24,175 | ) | |
| Colonial Properties Trust | | | (1,700 | ) | | | (19,941 | ) | |
| Corporate Office Properties Trust | | | (1,100 | ) | | | (40,293 | ) | |
| Developers Diversified Realty Corp. | | | (3,900 | ) | | | (36,114 | ) | |
| DiamondRock Hospitality Co. | | | (3,300 | ) | | | (27,951 | ) | |
| Digital Realty Trust, Inc. | | | (700 | ) | | | (35,196 | ) | |
| Douglas Emmett, Inc. | | | (2,800 | ) | | | (39,900 | ) | |
| Duke Realty Corp. | | | (2,700 | ) | | | (32,859 | ) | |
| DuPont Fabros Technology, Inc. | | | (1,700 | ) | | | (30,583 | ) | |
| EastGroup Properties, Inc. | | | (500 | ) | | | (19,140 | ) | |
| Entertainment Properties Trust | | | (600 | ) | | | (21,162 | ) | |
| Equity Lifestyle Properties, Inc. | | | (500 | ) | | | (25,235 | ) | |
| Equity Residential | | | (1,100 | ) | | | (37,158 | ) | |
| Essex Property Trust, Inc. | | | (400 | ) | | | (33,460 | ) | |
| Extra Space Storage, Inc. | | | (3,000 | ) | | | (34,650 | ) | |
| Federal Realty Investment Trust | | | (600 | ) | | | (40,632 | ) | |
| Hatteras Financial Corp. | | | (1,200 | ) | | | (33,552 | ) | |
| HCP, Inc. | | | (1,200 | ) | | | (36,648 | ) | |
| Healthcare Realty Trust, Inc. | | | (300 | ) | | | (6,438 | ) | |
| Highwoods Properties, Inc. | | | (1,200 | ) | | | (40,020 | ) | |
| Home Properties, Inc. | | | (600 | ) | | | (28,626 | ) | |
| Hospitality Properties Trust | | | (1,300 | ) | | | (30,823 | ) | |
| Host Hotels & Resorts, Inc.* | | | (4,385 | ) | | | (51,173 | ) | |
| HRPT Properties Trust | | | (2,200 | ) | | | (14,234 | ) | |
| Inland Real Estate Corp. | | | (3,700 | ) | | | (30,155 | ) | |
| Kilroy Realty Corp. | | | (1,100 | ) | | | (33,737 | ) | |
| Kimco Realty Corp. | | | (2,400 | ) | | | (32,472 | ) | |
| LaSalle Hotel Properties | | | (1,400 | ) | | | (29,722 | ) | |
| Liberty Property Trust | | | (1,200 | ) | | | (38,412 | ) | |
See Accompanying Notes to Financial Statements.
43
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Real Estate Investment Trusts | |
| Mack-Cali Realty Corp. | | | (1,000 | ) | | $ | (34,570 | ) | |
| Medical Properties Trust, Inc. | | | (3,000 | ) | | | (30,000 | ) | |
| MFA Financial, Inc. | | | (4,700 | ) | | | (34,545 | ) | |
| Mid-America Apartment Communities, Inc. | | | (600 | ) | | | (28,968 | ) | |
| OMEGA Healthcare Investors, Inc. | | | (1,700 | ) | | | (33,065 | ) | |
| Plum Creek Timber Co., Inc. | | | (800 | ) | | | (30,208 | ) | |
| Post Properties, Inc. | | | (1,500 | ) | | | (29,400 | ) | |
| Potlatch Corp. | | | (1,100 | ) | | | (35,068 | ) | |
| ProLogis | | | (2,300 | ) | | | (31,487 | ) | |
| Redwood Trust, Inc. | | | (1,400 | ) | | | (20,244 | ) | |
| Regency Centers Corp. | | | (1,000 | ) | | | (35,060 | ) | |
| Senior Housing Properties Trust | | | (1,800 | ) | | | (39,366 | ) | |
| Simon Property Group, Inc. | | | (500 | ) | | | (39,820 | ) | |
| SL Green Realty Corp. | | | (800 | ) | | | (40,192 | ) | |
| Sovran Self Storage, Inc. | | | (900 | ) | | | (32,157 | ) | |
| Sunstone Hotel Investors, Inc.* | | | (3,600 | ) | | | (31,968 | ) | |
| Tanger Factory Outlet Centers, Inc. | | | (900 | ) | | | (35,091 | ) | |
| Taubman Centers, Inc. | | | (1,000 | ) | | | (35,910 | ) | |
| The Macerich Co. | | | (1,000 | ) | | | (35,950 | ) | |
| UDR, Inc. | | | (2,000 | ) | | | (32,880 | ) | |
| Ventas, Inc. | | | (800 | ) | | | (34,992 | ) | |
| Washington Real Estate Investment Trust | | | (1,200 | ) | | | (33,060 | ) | |
| Weingarten Realty Investors | | | (2,000 | ) | | | (39,580 | ) | |
| | | | (2,049,453 | ) | |
| Real Estate Management & Development (-0.0%) | |
| Jones Lang LaSalle, Inc. | | | (600 | ) | | | (36,240 | ) | |
| The St. Joe Co.* | | | (700 | ) | | | (20,223 | ) | |
| | | | (56,463 | ) | |
| Road & Rail (-0.3%) | |
| Arkansas Best Corp. | | | (900 | ) | | | (26,487 | ) | |
| Avis Budget Group, Inc.* | | | (2,500 | ) | | | (32,800 | ) | |
| Burlington Northern Santa Fe Corp. | | | (100 | ) | | | (9,862 | ) | |
| Con-way, Inc. | | | (900 | ) | | | (31,419 | ) | |
| CSX Corp. | | | (900 | ) | | | (43,641 | ) | |
| Genesee & Wyoming, Inc. Class A* | | | (1,000 | ) | | | (32,640 | ) | |
| Heartland Express, Inc. | | | (1,700 | ) | | | (25,959 | ) | |
| Hertz Global Holdings, Inc.* | | | (2,800 | ) | | | (33,376 | ) | |
| J.B. Hunt Transport Services, Inc. | | | (1,200 | ) | | | (38,724 | ) | |
| Kansas City Southern* | | | (1,100 | ) | | | (36,619 | ) | |
| Knight Transportation, Inc. | | | (1,900 | ) | | | (36,651 | ) | |
| Norfolk Southern Corp. | | | (800 | ) | | | (41,936 | ) | |
| Old Dominion Freight Line, Inc.* | | | (900 | ) | | | (27,630 | ) | |
| Ryder System, Inc. | | | (900 | ) | | | (37,053 | ) | |
| Union Pacific Corp. | | | (600 | ) | | | (38,340 | ) | |
| Werner Enterprises, Inc. | | | (1,700 | ) | | | (33,643 | ) | |
| | | | (526,780 | ) | |
See Accompanying Notes to Financial Statements.
44
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Semiconductors & Semiconductor Equipment (-0.7%) | |
| Advanced Micro Devices, Inc.* | | | (3,400 | ) | | $ | (32,912 | ) | |
| Altera Corp. | | | (1,600 | ) | | | (36,208 | ) | |
| Analog Devices, Inc. | | | (1,200 | ) | | | (37,896 | ) | |
| Applied Materials, Inc. | | | (2,700 | ) | | | (37,638 | ) | |
| Atheros Communications* | | | (1,000 | ) | | | (34,240 | ) | |
| ATMI, Inc.* | | | (1,100 | ) | | | (20,482 | ) | |
| Broadcom Corp. Class A* | | | (1,300 | ) | | | (40,885 | ) | |
| Cabot Microelectronics Corp.* | | | (400 | ) | | | (13,184 | ) | |
| Cavium Networks, Inc.* | | | (1,300 | ) | | | (30,979 | ) | |
| Cree, Inc.* | | | (700 | ) | | | (39,459 | ) | |
| Cymer, Inc.* | | | (500 | ) | | | (19,190 | ) | |
| Diodes, Inc.* | | | (400 | ) | | | (8,180 | ) | |
| Fairchild Semiconductor International, Inc.* | | | (3,300 | ) | | | (32,967 | ) | |
| FormFactor, Inc.* | | | (1,400 | ) | | | (30,464 | ) | |
| Hittite Microwave Corp.* | | | (500 | ) | | | (20,375 | ) | |
| International Rectifier Corp.* | | | (1,900 | ) | | | (42,028 | ) | |
| Intersil Corp. Class A | | | (2,300 | ) | | | (35,282 | ) | |
| KLA-Tencor Corp. | | | (1,000 | ) | | | (36,160 | ) | |
| Lam Research Corp.* | | | (900 | ) | | | (35,289 | ) | |
| Maxim Integrated Products, Inc. | | | (1,500 | ) | | | (30,450 | ) | |
| MEMC Electronic Materials, Inc.* | | | (2,500 | ) | | | (34,050 | ) | |
| Microchip Technology, Inc. | | | (1,200 | ) | | | (34,872 | ) | |
| Microsemi Corp.* | | | (1,800 | ) | | | (31,950 | ) | |
| Monolithic Power Systems, Inc.* | | | (900 | ) | | | (21,573 | ) | |
| National Semiconductor Corp. | | | (2,200 | ) | | | (33,792 | ) | |
| Netlogic Microsystems, Inc.* | | | (800 | ) | | | (37,008 | ) | |
| Novellus Systems, Inc.* | | | (1,700 | ) | | | (39,678 | ) | |
| Nvidia Corp.* | | | (1,900 | ) | | | (35,492 | ) | |
| OmniVision Technologies, Inc.* | | | (1,800 | ) | | | (26,154 | ) | |
| ON Semiconductor Corp.* | | | (4,400 | ) | | | (38,764 | ) | |
| PMC-Sierra, Inc.* | | | (4,400 | ) | | | (38,104 | ) | |
| Power Integrations, Inc. | | | (800 | ) | | | (29,088 | ) | |
| Silicon Laboratories, Inc.* | | | (500 | ) | | | (24,170 | ) | |
| Skyworks Solutions, Inc.* | | | (2,300 | ) | | | (32,637 | ) | |
| Teradyne, Inc.* | | | (3,100 | ) | | | (33,263 | ) | |
| Tessera Technologies, Inc.* | | | (1,300 | ) | | | (30,251 | ) | |
| TriQuint Semiconductor, Inc.* | | | (5,200 | ) | | | (31,200 | ) | |
| Varian Semiconductor Equipment Associates, Inc.* | | | (1,000 | ) | | | (35,880 | ) | |
| | | | (1,202,194 | ) | |
| Software (-0.5%) | |
| ACI Worldwide, Inc.* | | | (400 | ) | | | (6,860 | ) | |
| Activision Blizzard, Inc.* | | | (1,500 | ) | | | (16,665 | ) | |
| Adobe Systems, Inc.* | | | (1,200 | ) | | | (44,136 | ) | |
| ArcSight, Inc.* | | | (700 | ) | | | (17,906 | ) | |
| Autodesk, Inc.* | | | (1,400 | ) | | | (35,574 | ) | |
| Blackboard, Inc.* | | | (600 | ) | | | (27,234 | ) | |
See Accompanying Notes to Financial Statements.
45
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Software | |
| CA, Inc. | | | (1,600 | ) | | $ | (35,936 | ) | |
| Cadence Design Systems, Inc.* | | | (6,200 | ) | | | (37,138 | ) | |
| Citrix Systems, Inc.* | | | (900 | ) | | | (37,449 | ) | |
| CommVault Systems, Inc.* | | | (100 | ) | | | (2,369 | ) | |
| Compuware Corp.* | | | (4,200 | ) | | | (30,366 | ) | |
| Concur Technologies, Inc.* | | | (500 | ) | | | (21,375 | ) | |
| Electronic Arts, Inc.* | | | (2,000 | ) | | | (35,500 | ) | |
| EPIQ Systems, Inc.* | | | (1,100 | ) | | | (15,389 | ) | |
| FactSet Research Systems, Inc. | | | (200 | ) | | | (13,174 | ) | |
| Informatica Corp.* | | | (1,300 | ) | | | (33,618 | ) | |
| Intuit, Inc.* | | | (1,200 | ) | | | (36,852 | ) | |
| Jack Henry & Associates, Inc. | | | (700 | ) | | | (16,184 | ) | |
| JDA Software Group, Inc.* | | | (1,200 | ) | | | (30,564 | ) | |
| McAfee, Inc.* | | | (900 | ) | | | (36,513 | ) | |
| MICROS Systems, Inc.* | | | (800 | ) | | | (24,824 | ) | |
| Nuance Communications, Inc.* | | | (1,800 | ) | | | (27,972 | ) | |
| Parametric Technology Corp.* | | | (2,500 | ) | | | (40,850 | ) | |
| Progress Software Corp.* | | | (800 | ) | | | (23,368 | ) | |
| Quest Software, Inc.* | | | (1,700 | ) | | | (31,280 | ) | |
| Salesforce.com, Inc.* | | | (500 | ) | | | (36,885 | ) | |
| Solera Holdings, Inc. | | | (1,100 | ) | | | (39,611 | ) | |
| Sybase, Inc.* | | | (700 | ) | | | (30,380 | ) | |
| Synopsys, Inc.* | | | (1,900 | ) | | | (42,332 | ) | |
| Taleo Corp. Class A* | | | (300 | ) | | | (7,056 | ) | |
| Tyler Technologies, Inc.* | | | (1,100 | ) | | | (21,901 | ) | |
| VMware, Inc. Class A* | | | (700 | ) | | | (29,666 | ) | |
| | | | (886,927 | ) | |
| Specialty Retail (-0.7%) | |
| Abercrombie & Fitch Co. Class A | | | (1,000 | ) | | | (34,850 | ) | |
| Aeropostale, Inc.* | | | (900 | ) | | | (30,645 | ) | |
| American Eagle Outfitters, Inc. | | | (2,400 | ) | | | (40,752 | ) | |
| AnnTaylor Stores Corp.* | | | (2,200 | ) | | | (30,008 | ) | |
| AutoZone, Inc.* | | | (300 | ) | | | (47,421 | ) | |
| Bebe Stores, Inc. | | | (3,400 | ) | | | (21,318 | ) | |
| Bed Bath & Beyond, Inc.* | | | (900 | ) | | | (34,767 | ) | |
| Best Buy Co., Inc. | | | (1,000 | ) | | | (39,460 | ) | |
| CarMax, Inc.* | | | (1,500 | ) | | | (36,375 | ) | |
| Chico's FAS, Inc.* | | | (2,700 | ) | | | (37,935 | ) | |
| Collective Brands, Inc.* | | | (1,400 | ) | | | (31,878 | ) | |
| Dick's Sporting Goods, Inc.* | | | (1,300 | ) | | | (32,331 | ) | |
| Foot Locker, Inc. | | | (3,100 | ) | | | (34,534 | ) | |
| Guess?, Inc. | | | (900 | ) | | | (38,070 | ) | |
| hhgregg, Inc.* | | | (1,500 | ) | | | (33,045 | ) | |
| Hibbett Sports, Inc.* | | | (1,400 | ) | | | (30,786 | ) | |
| HOT Topic, Inc.* | | | (5,000 | ) | | | (31,800 | ) | |
| Jo-Ann Stores, Inc.* | | | (900 | ) | | | (32,616 | ) | |
| JOS. A. Bank Clothiers, Inc.* | | | (700 | ) | | | (29,533 | ) | |
See Accompanying Notes to Financial Statements.
46
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Specialty Retail | |
| Lowe's Cos., Inc. | | | (1,600 | ) | | $ | (37,424 | ) | |
| O'Reilly Automotive, Inc.* | | | (1,100 | ) | | | (41,932 | ) | |
| Office Depot, Inc.* | | | (4,900 | ) | | | (31,605 | ) | |
| OfficeMax, Inc.* | | | (2,900 | ) | | | (36,801 | ) | |
| Penske Auto Group, Inc.* | | | (1,300 | ) | | | (19,734 | ) | |
| PetSmart, Inc. | | | (800 | ) | | | (21,352 | ) | |
| RadioShack Corp. | | | (1,500 | ) | | | (29,250 | ) | |
| Sally Beauty Holdings, Inc.* | | | (900 | ) | | | (6,885 | ) | |
| Staples, Inc. | | | (1,600 | ) | | | (39,344 | ) | |
| Systemax, Inc. | | | (600 | ) | | | (9,426 | ) | |
| The Children's Place Retail Stores, Inc.* | | | (1,200 | ) | | | (39,612 | ) | |
| The Gymboree Corp.* | | | (200 | ) | | | (8,698 | ) | |
| The Men's Wearhouse, Inc. | | | (1,700 | ) | | | (35,802 | ) | |
| The Sherwin-Williams Co. | | | (600 | ) | | | (36,990 | ) | |
| Tiffany & Co. | | | (800 | ) | | | (34,400 | ) | |
| Tractor Supply Co.* | | | (500 | ) | | | (26,480 | ) | |
| Urban Outfitters, Inc.* | | | (1,200 | ) | | | (41,988 | ) | |
| | | | (1,145,847 | ) | |
| Textiles, Apparel & Luxury Goods (-0.3%) | |
| Carter's, Inc.* | | | (1,600 | ) | | | (42,000 | ) | |
| Coach, Inc. | | | (1,200 | ) | | | (43,836 | ) | |
| Columbia Sportswear Co. | | | (700 | ) | | | (27,328 | ) | |
| Deckers Outdoor Corp.* | | | (400 | ) | | | (40,688 | ) | |
| Hanesbrands, Inc.* | | | (1,500 | ) | | | (36,165 | ) | |
| Iconix Brand Group, Inc.* | | | (2,600 | ) | | | (32,890 | ) | |
| Jones Apparel Group, Inc. | | | (1,100 | ) | | | (17,666 | ) | |
| Phillips-Van Heusen Corp. | | | (700 | ) | | | (28,476 | ) | |
| Polo Ralph Lauren Corp. | | | (300 | ) | | | (24,294 | ) | |
| Skechers U.S.A., Inc. Class A* | | | (1,200 | ) | | | (35,292 | ) | |
| The Timberland Co. Class A* | | | (1,300 | ) | | | (23,309 | ) | |
| True Religion Apparel, Inc.* | | | (600 | ) | | | (11,094 | ) | |
| Unifirst Corp. | | | (400 | ) | | | (19,244 | ) | |
| VF Corp. | | | (500 | ) | | | (36,620 | ) | |
| Wolverine World Wide, Inc. | | | (1,500 | ) | | | (40,830 | ) | |
| | | | (459,732 | ) | |
| Thrifts & Mortgage Finance (-0.2%) | |
| Astoria Financial Corp. | | | (3,000 | ) | | | (37,290 | ) | |
| Capitol Federal Financial | | | (700 | ) | | | (22,022 | ) | |
| First Niagara Financial Group, Inc. | | | (2,700 | ) | | | (37,557 | ) | |
| Hudson City Bancorp, Inc. | | | (2,700 | ) | | | (37,071 | ) | |
| New York Community Bancorp, Inc. | | | (900 | ) | | | (13,059 | ) | |
| Ocwen Financial Corp.* | | | (3,400 | ) | | | (32,538 | ) | |
| People's United Financial, Inc. | | | (2,100 | ) | | | (35,070 | ) | |
| Provident Financial Services, Inc. | | | (1,900 | ) | | | (20,235 | ) | |
| TFS Financial Corp. | | | (1,900 | ) | | | (23,066 | ) | |
| Washington Federal, Inc. | | | (1,800 | ) | | | (34,812 | ) | |
| | | | (292,720 | ) | |
See Accompanying Notes to Financial Statements.
47
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Tobacco (-0.2%) | |
| Altria Group, Inc. | | | (2,400 | ) | | $ | (47,112 | ) | |
| Lorillard, Inc. | | | (400 | ) | | | (32,092 | ) | |
| Philip Morris International, Inc. | | | (1,600 | ) | | | (77,104 | ) | |
| Reynolds American, Inc. | | | (600 | ) | | | (31,782 | ) | |
| Universal Corp. | | | (500 | ) | | | (22,805 | ) | |
| Vector Group, Ltd. | | | (2,265 | ) | | | (31,710 | ) | |
| | | | (242,605 | ) | |
| Trading Companies & Distributors (-0.2%) | |
| Applied Industrial Technologies, Inc. | | | (1,200 | ) | | | (26,484 | ) | |
| Beacon Roofing Supply, Inc.* | | | (1,000 | ) | | | (16,000 | ) | |
| GATX Corp. | | | (1,400 | ) | | | (40,250 | ) | |
| Kaman Corp. | | | (800 | ) | | | (18,472 | ) | |
| MSC Industrial Direct Co., Inc. Class A | | | (800 | ) | | | (37,600 | ) | |
| RSC Holdings, Inc.* | | | (4,100 | ) | | | (28,864 | ) | |
| Titan Machinery, Inc.* | | | (2,600 | ) | | | (30,004 | ) | |
| United Rentals, Inc.* | | | (3,100 | ) | | | (30,411 | ) | |
| Watsco, Inc. | | | (600 | ) | | | (29,388 | ) | |
| WESCO International, Inc.* | | | (500 | ) | | | (13,505 | ) | |
| WW Grainger, Inc. | | | (400 | ) | | | (38,732 | ) | |
| | | | (309,710 | ) | |
| Water Utilities (-0.1%) | |
| American States Water Co. | | | (600 | ) | | | (21,246 | ) | |
| American Water Works Co., Inc. | | | (1,800 | ) | | | (40,338 | ) | |
| Aqua America, Inc. | | | (2,300 | ) | | | (40,273 | ) | |
| California Water Service Group | | | (500 | ) | | | (18,410 | ) | |
| | | | (120,267 | ) | |
| Wireless Telecommunication Services (-0.1%) | |
| American Tower Corp. Class A* | | | (700 | ) | | | (30,247 | ) | |
| Crown Castle International Corp.* | | | (1,000 | ) | | | (39,040 | ) | |
| MetroPCS Communications, Inc.* | | | (4,800 | ) | | | (36,624 | ) | |
| SBA Communications Corp. Class A* | | | (1,100 | ) | | | (37,576 | ) | |
| Syniverse Holdings, Inc.* | | | (1,600 | ) | | | (27,968 | ) | |
| | | | (171,455 | ) | |
| TOTAL COMMON STOCKS (Proceeds $32,867,332) | | | (35,928,696 | ) | |
| TOTAL SECURITIES SOLD SHORT (Proceeds $32,867,332) | | $ | (35,928,696 | ) | |
* Non-income producing security.
§ Security or portion thereof is out on loan.
§§ Represents security purchased with cash collateral received for securities on loan.
^ 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.
See Accompanying Notes to Financial Statements.
48
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Statement of Assets and Liabilities
December 31, 2009
| Assets | |
Investments at value, including collateral for securities on loan of $30,969,059
(Cost $220,928,187) (Note 2) | | $ | 230,838,4141 | | |
| Cash | | | 786 | | |
| Cash segregated at brokers for short sales | | | 36,763,459 | | |
| Receivable for investments sold | | | 3,318,358 | | |
| Dividend and interest receivable | | | 172,304 | | |
| Receivable for portfolio shares sold | | | 17,073 | | |
| Prepaid expenses and other assets | | | 16,298 | | |
| Total Assets | | | 271,126,692 | | |
| Liabilities | |
| Advisory fee payable (Note 3) | | | 96,217 | | |
| Administrative services fee payable (Note 3) | | | 51,451 | | |
| Payable upon return of securities loaned (Note 2) | | | 67,732,518 | | |
| Securities sold short, at value (Proceeds $32,867,332) | | | 35,928,696 | | |
| Payable for investments purchased | | | 3,753,046 | | |
| Payable for portfolio shares redeemed | | | 156,055 | | |
| Dividend expense payable on securities sold short | | | 49,738 | | |
| Trustees' fee payable | | | 2,729 | | |
| Other accrued expenses payable | | | 240,194 | | |
| Total Liabilities | | | 108,010,644 | | |
| Net Assets | |
| Capital stock, $.001 par value (Note 6) | | | 13,086 | | |
| Paid-in capital (Note 6) | | | 297,352,589 | | |
| Undistributed net investment income | | | 283,879 | | |
| Accumulated net realized loss on investments, short sales and foreign currency transactions | | | (141,382,524 | ) | |
| Net unrealized appreciation from investments, short sales and foreign currency translations | | | 6,849,018 | | |
| Net Assets | | $ | 163,116,048 | | |
| Shares outstanding | | | 13,085,603 | | |
| Net asset value, offering price and redemption price per share | | $ | 12.47 | | |
1 Including $66,038,508 of securities on loan.
See Accompanying Notes to Financial Statements.
49
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Statement of Operations
For the Year Ended December 31, 2009
| Investment Income (Note 2) | |
| Dividends | | $ | 2,783,410 | | |
| Interest | | | 747 | | |
| Securities lending | | | 83,328 | | |
| Foreign taxes withheld | | | (1,363 | ) | |
| Total investment income | | | 2,866,122 | | |
| Expenses | |
| Investment advisory fees (Note 3) | | | 932,361 | | |
| Administrative services fees (Note 3) | | | 309,757 | | |
| Custodian fees | | | 407,161 | | |
| Dividend expense for securities sold short | | | 327,852 | | |
| Printing fees (Note 3) | | | 191,334 | | |
| Short sales expense | | | 76,386 | | |
| Audit and tax fees | | | 43,053 | | |
| Legal fees | | | 42,334 | | |
| Trustees' fees | | | 17,078 | | |
| Transfer agent fees | | | 14,050 | | |
| Insurance expense | | | 11,157 | | |
| Commitment fees (Note 4) | | | 4,188 | | |
| Interest expense (Note 4) | | | 2,667 | | |
| Miscellaneous expense | | | 32,370 | | |
| Total expenses | | | 2,411,748 | | |
| Net investment income | | | 454,374 | | |
Net Realized and Unrealized Gain (Loss) from Investments, Short Sales and Foreign Currency
Related Items | |
| Net realized gain from investments | | | 8,555,704 | | |
| Net realized loss from short sales | | | (3,544,704 | ) | |
| Net realized loss from foreign currency transactions | | | (134 | ) | |
| Net change in unrealized appreciation (depreciation) from investments | | | 27,585,671 | | |
| Net change in unrealized appreciation (depreciation) from short sales | | | (3,061,228 | ) | |
| Net realized and unrealized gain from investments, short sales and foreign currency related items | | | 29,535,309 | | |
| Net increase in net assets resulting from operations | | $ | 29,989,683 | | |
See Accompanying Notes to Financial Statements.
50
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Statements of Changes in Net Assets
| | | For the Year
Ended
December 31, 2009 | | For the Year
Ended
December 31, 2008 | |
| From Operations | |
| Net investment income | | $ | 454,374 | | | $ | 1,409,424 | | |
Net realized gain (loss) from investments, short sales and foreign currency
transactions | | | 5,010,866 | | | | (54,412,902 | ) | |
Net change in unrealized appreciation (depreciation) from investments,
short sales and foreign currency translations | | | 24,524,443 | | | | (31,582,633 | ) | |
| Net increase (decrease) in net assets resulting from operations | | | 29,989,683 | | | | (84,586,111 | ) | |
| From Dividends | |
| Dividends from net investment income | | | (1,448,705 | ) | | | (171,245 | ) | |
| From Capital Share Transactions (Note 6) | |
| Proceeds from sale of shares | | | 3,732,464 | | | | 3,551,338 | | |
| Exchange value of shares due to merger | | | 34,189,262 | | | | — | | |
| Reinvestment of dividends | | | 1,448,705 | | | | 171,245 | | |
| Net asset value of shares redeemed | | | (40,154,222 | ) | | | (70,461,294 | ) | |
| Net decrease in net assets from capital share transactions | | | (783,791 | ) | | | (66,738,711 | ) | |
| Net increase (decrease) in net assets | | | 27,757,187 | | | | (151,496,067 | ) | |
| Net Assets | |
| Beginning of year | | | 135,358,861 | | | | 286,854,928 | | |
| End of year | | $ | 163,116,048 | | | $ | 135,358,861 | | |
| Undistributed net investment income | | $ | 283,879 | | | $ | 1,272,039 | | |
See Accompanying Notes to Financial Statements.
51
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Statement of Cash Flows
For the Year Ended December 31, 2009
| Cash Flows from Operating Activities | |
| Dividends, interest and securities lending income received | | $ | 2,912,895 | | | | | | |
| Operating expenses paid | | | (1,959,178 | ) | | | | | |
| Dividend expense paid on securities sold short | | | (278,114 | ) | | | | | |
| Purchases of long-term securities | | | (848,064,611 | ) | | | | | |
| Proceeds from sales of long-term securities | | | 870,449,466 | | | | | | |
| Purchases to cover securities sold short | | | (45,261,377 | ) | | | | | |
| Proceeds from securities sold short | | | 73,507,396 | | | | | | |
| Purchases of short-term securities, net | | | (5,686,000 | ) | | | | | |
| Net cash provided by operating activities | | | | | | $ | 45,620,477 | | |
| Cash Flows from Financing Activities | |
| Proceeds from sale of shares | | | 3,723,571 | | | | | | |
| Cost of shares redeemed | | | (49,345,403 | ) | | | | | |
| Net cash used by financing activities | | | | | | | (45,621,832 | ) | |
| Effect of exchange rate on cash | | | | | | | 1,216 | | |
| Net decrease in cash | | | | | | | (139 | ) | |
| Cash — beginning of year | | | | | | | 925 | | |
| Cash — end of year | | | | | | $ | 786 | | |
RECONCILIATION OF NET INCREASE IN NET ASSETS FROM OPERATIONS TO
NET CASH PROVIDED BY OPERATING ACTIVITIES | |
| Net increase in net assets resulting from operations | | | | | | $ | 29,989,683 | | |
Adjustments to Reconcile Net Increase in Net Assets from Operations to
Net Cash Provided by Operating Activities | |
| Change in dividends and interest receivable | | $ | 46,773 | | | | | | |
| Change in accrued expenses | | | 121,973 | | | | | | |
| Change in prepaid expenses and other assets | | | (12,709 | ) | | | | | |
| Change in advisory fee payable | | | 15,454 | | | | | | |
| Change in dividend expense payable on securities sold short | | | 49,738 | | | | | | |
| Purchases of long-term securities | | | (848,064,611 | ) | | | | | |
| Proceeds from sales of long-term securities | | | 870,449,466 | | | | | | |
| Purchases to cover securities sold short | | | (45,261,377 | ) | | | | | |
| Proceeds from securities sold short | | | 73,507,396 | | | | | | |
| Purchases of short-term securities, net | | | (5,686,000 | ) | | | | | |
Net change in unrealized appreciation from investments, short sales and
foreign currency translations | | | (24,524,443 | ) | | | | | |
| Net realized gain from investments, short sales and foreign currency transactions | | | (5,010,866 | ) | | | | | |
| Total adjustments | | | | | | | 15,630,794 | | |
| Net cash provided by operating activities | | | | | | $ | 45,620,477 | | |
| Non-Cash Activity: | |
| Dividend reinvestments | | | | | | $ | 1,448,705 | | |
| Exchange value of shares due to merger | | | | | | | 34,189,262 | | |
| Net non-cash activity | | | | | | $ | 35,637,967 | | |
See Accompanying Notes to Financial Statements.
52
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Financial Highlights
(For a Share of the Portfolio Outstanding Throughout Each Year)
| | | For the Year Ended December 31, | |
| | | 2009 | | 2008 | | 2007 | | 2006 | | 2005 | |
| Per share data | |
| Net asset value, beginning of year | | $ | 10.10 | | | $ | 15.47 | | | $ | 15.60 | | | $ | 14.89 | | | $ | 15.30 | | |
| INVESTMENT OPERATIONS | |
| Net investment income (loss) | | | 0.06 | | | | 0.10 | | | | 0.02 | | | | (0.14 | ) | | | (0.14 | ) | |
Net gain (loss) on investments, short sales, foreign
currency related items and futures contracts
(both realized and unrealized) | | | 2.44 | | | | (5.46 | ) | | | (0.15 | ) | | | 0.85 | | | | (0.27 | ) | |
| Total from investment operations | | | 2.50 | | | | (5.36 | ) | | | (0.13 | ) | | | 0.71 | | | | (0.41 | ) | |
| LESS DIVIDENDS | |
| Dividends from net investment income | | | (0.13 | ) | | | (0.01 | ) | | | — | | | | — | | | | — | | |
| Net asset value, end of year | | $ | 12.47 | | | $ | 10.10 | | | $ | 15.47 | | | $ | 15.60 | | | $ | 14.89 | | |
| Total return1 | | | 24.79 | % | | | (34.66 | )% | | | (0.83 | )% | | | 4.77 | % | | | (2.68 | )% | |
| RATIOS AND SUPPLEMENTAL DATA | |
| Net assets, end of year (000s omitted) | | $ | 163,116 | | | $ | 135,359 | | | $ | 286,855 | | | $ | 413,335 | | | $ | 557,377 | | |
| Ratio of expenses to average net assets | | | 1.81 | % | | | 0.93 | % | | | 0.92 | % | | | 1.11 | % | | | 1.14 | % | |
Ratio of expenses to average net assets
excluding short sales dividend expense | | | 1.56 | % | | | — | | | | — | | | | — | | | | — | | |
Ratio of net investment income (loss)
to average net assets | | | 0.34 | % | | | 0.65 | % | | | 0.08 | % | | | (0.75 | )% | | | (0.84 | )% | |
| Portfolio turnover rate | | | 643 | % | | | 204 | % | | | 203 | % | | | 208 | % | | | 82 | % | |
1 Total returns are historical and assume changes in share price and reinvestment of all dividends and distributions. Total returns do not reflect charges and expenses attributable to any particular variable contract or plan.
See Accompanying Notes to Financial Statements.
53
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notes to Financial Statements
December 31, 2009
Note 1. Organization
Credit Suisse Trust (the "Trust") is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the "1940 Act"), and currently offers three managed investment portfolios of which one, the U.S. Equity Flex I Portfolio (the "Portfolio"), is included in this report. The Portfolio is a diversified investment fund that seeks capital growth. Shares of the Portfolio are not available directly to individual investors but may be offered only through (a) variable annuity contracts and variable life insurance contracts offered by separate accounts of certain insurance companies and (b) tax-qualified pension and retirement plans. The Portfolio may not be available in connection with a particular contract or plan. The Trust was organized under the laws of the Commonwealth of Massachusetts as a business trust on March 15, 1995. Effective May 1, 2009, the name of the Portfolio was changed from Small Cap Core I Portfolio.
Note 2. Significant Accounting Policies
A) SECURITY VALUATION — The net asset value of the Portfolio 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. Equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (the "Valuation Time"). If no sales are reported, equity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will matur e in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Investments in mutual funds are valued at the mutual fund's closing net asset value per share on the day of valuation. Securities and other assets for which market quotations are not readily available, or whose values have been materially affected by events occurring before the Portfolio's Valuation Time but after the close of the securities' primary markets, are valued at fair value as determined in good faith by, or under the direction of, the Board of Trustees under procedures established by the Board of Trustees. The Portfolio may utilize a service provided by an independent third party which has been approved by the Board
54
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
of Trustees to fair value certain securities. When fair-value pricing is employed, the prices of securities used by a portfolio to calculate its net asset value may differ from quoted or published prices for the same securities.
In accordance with the authoritative guidance on fair value measurements and disclosures under accounting principles generally accepted in the United States of America ("GAAP"), the Portfolio discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. GAAP established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is 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 Portfolio's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
55
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
The following is a summary of the inputs used as of December 31, 2009 in valuing the Portfolio's investments carried at value:
| | | Level 1 | | Level 2 | | Level 3 | | Total | |
| Investments in Securities | |
| Common Stocks | | $ | 192,658,355 | | | $ | — | | | $ | — | | | $ | 192,658,355 | | |
| Short-Term Investments | | | 30,969,059 | | | | 7,211,000 | | | | — | | | | 38,180,059 | | |
| Securities Sold Short | |
| Common Stocks | | | (35,928,696 | ) | | | — | | | | — | | | | (35,928,696 | ) | |
| Other Financial Instruments* | | | — | | | | — | | | | — | | | | — | | |
| | | $ | 187,698,718 | | | $ | 7,211,000 | | | $ | — | | | $ | 194,909,718 | | |
*Other financial instruments include futures, forwards and swap contracts.
B) DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES — Effective January 1, 2009, the Portfolio adopted amendments to authoritative guidance on disclosures about derivative instruments and hedging activities which require that the Portfolio 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 portfolio's financial position, financial performance, and cash flows. The Portfolio has not entered into any derivative or hedging activities during the period covered by this report.
C) SECURITY TRANSACTIONS AND INVESTMENT INCOME — Security transactions are accounted for on a trade date basis. Interest income is recorded on the accrual basis. Dividends and dividend expense on short sales are 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.
D) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and 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. Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
E) FEDERAL INCOME TAXES — No provision is made for federal taxes as it is the Portfolio's intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under the Internal Revenue Code of 1986, as amended, and to make the requisite distributions to its shareholders, which will be sufficient to relieve it from federal income and excise taxes.
56
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
The Portfolio adopted the authoritative guidance for uncertainty in income taxes and recognizes a tax benefit 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 Portfolio has reviewed its current tax positions and has determined that no provision for income tax is required in the Portfolio's financial statements. The Portfolio's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
F) USE OF ESTIMATES — The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
G) SHORT-TERM INVESTMENTS — The Portfolio, together with other funds/portfolios advised by Credit Suisse Asset Management, LLC ("Credit Suisse"), an indirect, wholly-owned subsidiary of Credit Suisse Group AG, pools available cash into a short-term variable rate time deposit issued by State Street Bank and Trust Company ("SSB"), the Portfolio's custodian. The short-term time deposit issued by SSB is a variable rate account classified as a short-term investment.
H) FUTURES — The Portfolio may enter into futures contracts to the extent permitted by its investment policies and objectives. The Portfolio may use futures contracts to gain exposure to, or hedge against changes in equities. Upon entering into a futures contract, the Portfolio is required to deposit cash and/or pledge U.S. Government securities as initial margin. Subsequent payments, which are dependent on the daily fluctuations in the value of the underlying instrument, are made or received by the Portfolio each day (daily variation margin) and are recorded as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolio records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Portfolio's basis in the contract. Risks of entering into futures contracts for hedging purposes include the possibility that a change in the value o f the contract may not correlate with the changes in the value of the underlying instruments. With futures, there is minimal counterparty credit risk to the Portfolio since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures,
57
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
guarantees the futures against default. In addition, the purchase of a futures contract involves the risk that the Portfolio could lose more than the original margin deposit and subsequent payments may be required for a futures transaction. At December 31, 2009, the Portfolio had no open futures contracts.
I) SHORT SALES — The Portfolio enters into short sales transactions collateralized by cash deposits received from brokers in connection with securities lending activities (see note J) and securities. Cash deposits are shown as cash segregated at brokers on the Statement of Assets and Liabilities. The collateral amounts required are determined daily by reference to the market value of the short positions. Short sales expose the Portfolio to the risk that it will be required to cover its short position at a time when the securities have appreciated in value, thus resulting in a loss to the Portfolio. The Portfolio's loss on a short sale could theoretically be unlimited in a case where the Portfolio is unable, for whatever reason, to close out its short position. Short sales also involve transaction and other costs that will reduce potential gains and increase potential portfolio losses. The use by the Portfolio of short sales in combinati on with long positions in its portfolio in an attempt to improve performance may not be successful and may result in greater losses or lower positive returns than if the Portfolio held only long positions. It is possible that the Portfolio's long equity positions will decline in value at the same time that the value of the securities it has sold short increases, thereby increasing potential losses to the Portfolio. In addition, the Portfolio's short selling strategies may limit its ability to fully benefit from increases in the equity markets. Short selling also involves a form of financial leverage that may exaggerate any losses realized by the Portfolio. Also, there is the risk that the counterparty to a short sale may fail to honor its contractual terms, causing a loss to the Portfolio.
J) SECURITIES LENDING — Loans of securities are required at all times to be secured by collateral at least equal to 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). Cash collateral received by the Portfolio in connection with securities lending activity is either in the form of cash segregated at brokers or pooled together with cash collateral for other funds/portfolios advised by Credit Suisse and invested in a variety of investments, including funds advised by SSB, the Portfolio'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.
58
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
SSB has been engaged by the Portfolio to act as the Portfolio's securities lending agent. The Portfolio's securities lending arrangement provides that the Portfolio and SSB will share the net income earned from securities lending activities. During the year ended December 31, 2009, total earnings from the Portfolio's investment in cash collateral received in connection with securities lending arrangements was $129,288, of which $24,666 was rebated to borrowers (brokers). The Portfolio retained $83,328 in income from the cash collateral investment, and SSB, as lending agent, was paid $21,294. Securities lending income is accrued as earned.
Note 3. Transactions with Affiliates and Related Parties
Credit Suisse serves as investment adviser for the Portfolio. For its investment advisory services, Credit Suisse is entitled to receive a fee from the Portfolio at an annual rate of 0.70% of the Portfolio's average daily net assets. For the year ended December 31, 2009, investment advisory fees earned were $932,361.
Credit Suisse Asset Management Securities, Inc. ("CSAMSI"), an affiliate of Credit Suisse, and SSB serve as co-administrators to the Portfolio. For its co-administrative services, CSAMSI currently receives a fee calculated at an annual rate of 0.09% of the Portfolio's average daily net assets. For the year ended December 31, 2009, co-administrative services fees earned by CSAMSI were $119,875.
For its co-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 December 31, 2009, co-administrative services fees earned by SSB (including out-of-pocket expenses) were $189,882.
In addition to serving as the Portfolio's co-administrator, CSAMSI currently serves as distributor of the Portfolio's shares without compensation.
Merrill Corporation ("Merrill"), an affiliate of Credit Suisse, has been engaged by the Portfolio to provide certain financial printing services. For the year ended December 31, 2009, Merrill was paid $30,352 for its services by the Portfolio.
Note 4. Line of Credit
The Portfolio, together with other funds/portfolios advised by Credit Suisse (collectively, the "Participating Funds"), participates in a $50 million committed,
59
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 4. Line of Credit
unsecured line of credit facility ("Credit Facility") for temporary or emergency purposes with SSB. Under the terms of the Credit Facility, the Participating Funds pay an aggregate commitment fee on the average unused amount of the Credit Facility, which is allocated among the Participating Funds in such manner as is determined by the governing Boards of the Participating Funds. In addition, the Participating Funds pay interest on borrowings at either the Overnight Federal Funds rate or the Overnight LIBOR rate plus a spread. At December 31, 2009, the Portfolio had no loans outstanding under the Credit Facility. During the year ended December 31, 2009, the Portfolio had borrowings under the Credit Facility as follows:
Average Daily
Loan Balance | | Weighted Average
Interest Rate % | | Maximum Daily
Loan Outstanding | |
| $ | 7,549,538 | | | | 0.978 | % | | $ | 8,971,000 | | |
Note 5. Purchases and Sales of Securities
For the year ended December 31, 2009, purchases and sales of investment securities (excluding short sales and short-term investments) were $847,690,253 and $867,532,830, respectively. Securities sold short and purchases to cover securities sold short were $73,744,161 and $45,565,187, respectively.
Note 6. Capital Share Transactions
The Trust is authorized to issue an unlimited number of full and fractional shares of beneficial interest, $.001 par value per share. Transactions in capital shares of the Portfolio were as follows:
| | | For the Year Ended
December 31, 2009 | | For the Year Ended
December 31, 2008 | |
| Shares sold | | | 360,363 | | | | 280,324 | | |
| Shares exchanged due to merger | | | 2,981,912 | | | | — | | |
| Shares issued in reinvestment of dividends | | | 123,854 | | | | 11,794 | | |
| Shares redeemed | | | (3,776,088 | ) | | | (5,438,133 | ) | |
| Net decrease | | | (309,959 | ) | | | (5,146,015 | ) | |
On December 31, 2009, the number of shareholders that held 5% or more of the outstanding shares of the Portfolio was as follows:
Number of
Shareholders | | Approximate Percentage
of Outstanding Shares | |
| | 4 | | | | 80 | % | |
60
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 6. Capital Share Transactions
Some of the shareholders are omnibus accounts, which hold shares on behalf of individual shareholders.
Note 7. Federal Income Taxes
Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
The tax characteristics of dividends and distributions paid during the years ended December 31, 2009 and 2008, respectively, by the Portfolio were as follows:
| Ordinary Income | |
| 2009 | | 2008 | |
| $ | 1,448,705 | | | $ | 171,245 | | |
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 losses deferred on wash sales, real estate investment trusts and cumulative basis adjustments on partnerships.
At December 31, 2009, the components of distributable earnings on a tax basis were as follows:
| Undistributed net investment income | | $ | 273,598 | | |
| Accumulated realized loss | | | (138,432,467 | ) | |
| Unrealized appreciation | | | 4,070,170 | | |
| Deferral of post-October capital losses | | | (160,928 | ) | |
| | | $ | (134,249,627 | ) | |
At December 31, 2009, the Portfolio had capital loss carryforwards available to offset possible future capital gains as follows:
| Expires December 31, | |
| 2010 | | 2011 | | 2015 | | 2016 | | 2017 | |
| $ | 71,022,093 | | | $ | 5,258,187 | | | $ | 541,104 | | | $ | 26,558,519 | | | $ | 35,052,564 | | |
During the tax year ended December 31, 2009, the Portfolio did not utilize any of the capital loss carryforwards.
It is uncertain whether the Portfolio will be able to realize the benefits of the capital loss carryforwards before they expire.
Included in the Portfolio's capital loss carryforwards which expire in 2016 is $3,621,034, acquired in the Credit Suisse Trust — U.S. Equity Flex II Portfolio merger, which is subject to IRS limitations.
61
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 7. Federal Income Taxes
Included in the Portfolio's capital loss carryforwards which expire in 2015 and 2016 is $198,849 and $4,065,050 respectively, acquired in the Credit Suisse Trust — U.S. Equity Flex III Portfolio merger, which is subject to IRS limitations.
Included in the Portfolio's capital loss carryforwards which expire in 2010, 2015 and 2016 is $552,966, $342,255 and $964,600 respectively, acquired in the Credit Suisse Trust — U.S. Equity Flex IV Portfolio merger, which is subject to IRS limitations.
At December 31, 2009, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized appreciation from investments were $223,707,034, $8,959,214, $(1,827,834) and $7,131,380, respectively.
At December 31, 2009, the identified proceeds for federal income tax purposes, as well as the gross unrealized appreciation from securities sold short for those securities having an excess of proceeds over value, gross unrealized depreciation from investments for those securities having an excess of value over proceeds and the net unrealized depreciation from securities sold short were $(32,867,332), $485,757, $(3,547,121) and $(3,061,364), respectively.
At December 31, 2009, the Portfolio reclassified $(10,192,986) to accumulated net realized loss and $6,171 to undistributed net investment income from paid in capital to adjust for current period permanent book/tax differences which arose principally from differing book/tax treatments of foreign currency gain/(loss) and other temporary book/tax differences from acquired funds. Net assets were not affected by these reclassifications.
Note 8. Acquisition of Credit Suisse Trust — U.S. Equity Flex II Portfolio, Credit Suisse Trust — U.S. Equity Flex III Portfolio and Credit Suisse Trust — U.S. Equity Flex IV Portfolio
On October 2, 2009, Credit Suisse Trust — U.S. Equity Flex I Portfolio acquired all of the net assets of Credit Suisse Trust — U.S. Equity Flex II Portfolio, Credit Suisse Trust — U.S. Equity Flex III Portfolio and Credit Suisse Trust — U.S. Equity Flex IV Portfolio, all of which are open-end investment companies, pursuant to a plan of reorganization approved by the Board of Trustees on May 12, 2009. The purpose of the transaction was to combine four funds managed by Credit Suisse with comparable investment objectives and strategies. The acquisition was accomplished by a tax-free exchange of 1,284,769 shares of
62
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 8. Acquisition of Credit Suisse Trust — U.S. Equity Flex II Portfolio, Credit Suisse Trust — U.S. Equity Flex III Portfolio and Credit Suisse Trust — U.S. Equity Flex IV Portfolio
Credit Suisse Trust — U.S. Equity Flex II Portfolio valued at $11,153,778, 1,203,118 shares of Credit Suisse Trust — U.S. Equity Flex Portfolio III valued at $13,133,970 and 1,026,788 shares of Credit Suisse Trust — U.S. Equity Flex IV Portfolio valued at $9,901,514 for 2,981,912 shares of Credit Suisse Trust — U.S. Equity Flex I Portfolio. The investment portfolios of Credit Suisse Trust — U.S. Equity Flex II Portfolio, Credit Suisse Trust — U.S. Equity Flex III Portfolio and Credit Suisse Trust — U.S. Equity IV Portfolio had a fair value at October 2, 2009 of $11,132,420, $13,104,370 and $9,878,210 and identified costs of $10,483,399, $12,252,732 and $9,160,031, respectively, which were the principal assets acquired by Credit Suisse Trust — U.S. Equity Flex I Portfolio. For financial reporting purposes, assets received and shares issued by Credit Suisse Trust — U.S. Equity Flex I Portfolio were recorded at fair value; however the cost basis of the investments received from Credit Suisse Trust — U.S. Equity Flex II Portfolio , Credit Suisse Trust — U.S. Equity Flex III Portfolio and Credit Suisse Trust — U.S. Equity Flex IV Portfolio were carried forward to align ongoing reporting of Credit Suisse Trust — U.S. Equity Flex I Portfolio's realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. Immediately prior to the merger, the net assets of Credit Suisse Trust — U.S. Equity Flex I Portfolio were $132,557,155.
Credit Suisse Trust — U.S. Equity Flex I Portfolio pro forma results of operations for the year ended December 31, 2009 are as follows:
| Net investment income | | $ | 815,5731 | | |
| Net gain from investments, short sales and foreign currency related items | | | 35,210,7702 | | |
| Net increase in net assets resulting from operations | | $ | 36,026,343 | | |
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of net investment income and net gain on investments of Credit Suisse Trust — U.S. Equity Flex II Portfolio, Credit Suisse Trust — U.S. Equity Flex III Portfolio and Credit Suisse Trust — U.S. Equity Flex IV Portfolio that have been included in Credit Suisse Trust — U.S. Equity Flex I Portfolio's statement of operations since October 2, 2009.
1 $454,374 as reported, plus $152,979, $78,352 and $86,228 for Credit Suisse Trust — U.S. Equity Flex II Portfolio, Credit Suisse Trust — U.S. Equity Flex III Portfolio and Credit Suisse Trust — U.S. Equity Flex IV Portfolio, respectively, premerger, plus $43,640 of pro-forma gross expenses eliminated.
2 $29,535,309 as reported, plus $1,785,307, $2,097,371 and $1,792,783 for Credit Suisse Trust — U.S. Equity Flex II Portfolio, Credit Suisse Trust — U.S. Equity Flex III Portfolio and Credit Suisse Trust — U.S. Equity Flex IV Portfolio respectively, premerger.
63
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 9. Contingencies
In the normal course of business, the Portfolio may provide general indemnifications pursuant to certain contracts and organizational documents. The Portfolio's maximum exposure under these arrangements is dependent on future claims that may be made against the Portfolio and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote.
Note 10. Subsequent Events
Effective June 30, 2009, the Portfolio adopted the Financial Accounting Standards Board ("FASB") amendments to general standards on accounting for and disclosures of subsequent events. Management has evaluated the possibility of subsequent events existing in the Portfolio's financial statements through February 18, 2010. Management has determined that there are no material events that would require disclosure in the Portfolio's financial statements through this date.
64
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
Credit Suisse Trust — US Equity Flex I Portfolio:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations, of changes in net assets and of cash flows and the financial highlights present fairly, in all material respects, the financial position of Credit Suisse Trust — US Equity Flex I Portfolio (formerly Credit Suisse Trust — Small Cap Core I Portfolio) (the "Portfolio") at December 31, 2009, the results of its operations and its cash flows for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolio's management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at December 31, 2009 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 18, 2010
65
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Board Approval of Advisory Agreement (unaudited)
In approving the renewal of the current Advisory Agreement, the Board of Trustees, including the Independent Trustees, at a meeting held on November 16 and 17, 2009, considered the following factors with respect to the U.S. Equity Flex I Portfolio (the "Portfolio"):
Investment Advisory Fee Rates
The Board reviewed and considered the contractual advisory fee rate of 0.70% for the Portfolio ("Contractual Advisory Fee") in light of the extent and quality of the advisory services provided by Credit Suisse Asset Management, LLC ("Credit Suisse"). The Board also reviewed and considered the fee waivers currently in place for the Portfolio and considered the actual fee rate of 0.30% paid by the Portfolio after taking waivers into account ("Net Advisory Fee"). The Board also considered the merger of the other Credit Suisse portfolios into the Portfolio. The Board acknowledged that voluntary fee waivers could be discontinued at any time.
Additionally, the Board received and considered information comparing the Portfolio's Contractual Advisory Fee, Net Advisory Fee and the Portfolio's overall expenses with those of funds in both the relevant expense group ("Expense Group") and universe of funds ("Expense Universe") provided by Lipper Inc., an independent provider of investment company data.
Nature, Extent and Quality of the Services under the Advisory Agreement
The Board received and considered information regarding the nature, extent and quality of services provided to the Portfolio by Credit Suisse under the Advisory Agreement. The Board also noted information received at regular meetings throughout the year related to the services rendered by Credit Suisse. The Board reviewed background information about Credit Suisse, including its Form ADV. The Board considered the background and experience of Credit Suisse's senior management and the expertise of, and the amount of attention given to the Portfolio by, senior personnel of Credit Suisse. In addition, the Board reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day portfolio management of the Portfolio and the extent of the resources devoted to research and analysis of actual and potential investments. The Board also received and considered information about the nat ure, extent and quality of services and fee rates offered to other Credit Suisse clients for comparable services.
66
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Board Approval of Advisory Agreement (unaudited) (continued)
Portfolio Performance
The Board received and considered performance results of the Portfolio over time, along with comparisons both to the relevant performance group ("Performance Group") and universe of funds ("Performance Universe") for the Portfolio. The Board was provided with a description of the methodology used to arrive at the funds included in the Performance Group and the Performance Universe.
Credit Suisse Profitability
The Board received and considered a profitability analysis of Credit Suisse based on the fees payable under the Advisory Agreement for the Portfolio, including any fee waivers, as well as other relationships between the Portfolio on the one hand and Credit Suisse affiliates on the other. The Board received profitability information for the other funds in the Credit Suisse family of funds.
Economies of Scale
The Board considered whether economies of scale in the provision of services to the Portfolio were being passed along to the shareholders. Accordingly, the Board considered whether alternative fee structures (such as breakpoint fee structures) would be more appropriate or reasonable taking into consideration economies of scale or other efficiencies that might accrue from increases in the Portfolio's asset levels.
Other Benefits to Credit Suisse
The Board considered other benefits received by Credit Suisse and its affiliates as a result of their relationship with the Portfolio. Such benefits include, among others, benefits potentially derived from an increase in Credit Suisse's businesses as a result of its relationship with the Portfolio (such as the ability to market to shareholders other financial products offered by Credit Suisse and its affiliates).
The Board considered the standards applied in seeking best execution, any benefits that may be achieved by using an affiliated broker and the existence of quality controls applicable to brokerage allocation procedures. The Board also reviewed Credit Suisse's method for allocating portfolio investment opportunities among its advisory clients.
67
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Board Approval of Advisory Agreement (unaudited) (continued)
Conclusions
In selecting Credit Suisse, and approving the Advisory Agreement and the investment advisory fee under such agreement, the Board concluded that:
• Although the combined Contractual Advisory Fee and co-administration fees were above the median of the Expense Group, the fee was considered reasonable, recognizing that the Net Advisory Fee was lower than the median and Credit Suisse was currently voluntarily waiving a portion of its advisory fee.
• The Portfolio's performance was below the median for all periods in the Performance Group and Performance Universe. The Board noted the changes to the Portfolio during the past year, including the reorganization in which the assets of the U.S. Equity Flex II, III and IV Portfolios were transferred to the Portfolio. They also noted the change in the Portfolio's investment strategy. The Board determined that it would monitor steps undertaken by Credit Suisse to improve performance.
• Aside from performance (as discussed above), the Board was satisfied with the nature and extent of the investment advisory services provided to the Portfolio by Credit Suisse and that, based on dialogue with management and counsel, the services provided by Credit Suisse under the Advisory Agreement are typical of, and consistent with, those provided to similar mutual funds by other investment advisers.
• In light of the costs of providing investment management and other services to the Portfolio and Credit Suisse's ongoing commitment to the Portfolio and willingness to waive fees, the profits and other ancillary benefits that Credit Suisse and its affiliates received were considered reasonable.
• Credit Suisse's profitability based on fees payable under the Advisory Agreement was reasonable in light of the nature, extent and quality of the services provided to the Portfolio thereunder.
• In light of the fee waivers and the Net Advisory Fee, the Portfolio's current fee structure (without breakpoints) was considered reasonable.
No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the Advisory Agreement. The Independent Trustees were advised by separate independent legal counsel throughout the process.
68
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Information Concerning Trustees and Officers (unaudited)
Name, Address
(Year of Birth) | | Position(s)
Held with
Trust | | 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
Directorships
Held by Trustee | |
| Independent Trustees | | | | | | | | | | | |
|
Enrique Arzac
c/o Credit Suisse Asset
Management, LLC
Attn: General Counsel
Eleven Madison Avenue
New York, New York
10010
(1941) | | Trustee,
Audit Committee Chairman and Nominating Committee Member | | Since 2005 | | Professor of Finance and Economics, Graduate School of Business, Columbia University since 1971. | | | 13 | | | Director of Epoch Holding Corporation (an investment
management and investment advisory services company); Director of Starcomms PLC. (telecommunications company); Director of The Adams Express Company, Petroleum and Resources Corporation, The Chile Fund, Inc., The Indonesia Fund, Inc., The First Israel Fund, Inc., The Latin America Equity Fund, Inc. and The Emerging Markets
Telecommunications Fund, Inc. (each a
closed-end investment company). | |
|
Jeffrey E. Garten2
Box 208200
New Haven, Connecticut
06520-8200
(1946) | | Trustee,
Audit and Nominating Committee Member | | Since 1998 | | The Juan Trippe Professor in the Practice of International Trade, Finance and Business from July 2005 to present; Partner and Chairman of Garten Rothkopf (consulting firm) from October 2005 to present; Dean of Yale School of Management from November 1995 to June 2005. | | | 11 | | | Director of Aetna, Inc. (insurance company); Director of CarMax Group (used car dealers). | |
|
1 Each Trustee and Officer serves until his or her respective successor has been duly elected and qualified.
2 Mr. Garten was initially appointed as a Trustee of the Portfolio on February 6, 1998. He resigned as Trustee on February 3, 2000 and was subsequently reappointed on December 21, 2000.
69
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Information Concerning Trustees and Officers (unaudited) (continued)
Name, Address
(Year of Birth) | | Position(s)
Held with
Trust | | 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
Directorships
Held by Trustee | |
| Independent Trustees | | | | | | | | | | | |
|
Peter F. Krogh
c/o Credit Suisse Asset
Management, LLC
Attn: General Counsel
Eleven Madison Avenue
New York, New York
10010
(1937) | | Trustee,
Audit and Nominating Committee Member | | Since
2001 | | Dean Emeritus and
Distinguished Professor
of International Affairs at
the Edmund A. Walsh
School of Foreign
Service, Georgetown
University from
June 1995 to present. | | | 11 | | | None | |
|
Steven N. Rappaport
Lehigh Court, LLC
555 Madison Avenue
29th Floor
New York, New York
10022
(1948) | | Chairman of
the Board of
Trustees,
Audit
Committee
Member and
Nominating
Committee
Chairman | | Trustee since 1999 and Chairman since
2005 | | Partner of Lehigh Court, LLC and RZ Capital (private investment firms) from July 2002 to present. | | | 13 | | | Director of iCAD, Inc. (surgical and
medical instruments and apparatus company); Director of Presstek, Inc. (digital imaging technologies company); Director of Wood Resources, LLC. (plywood manufacturing company); Director of The Chile Fund, Inc., The Indonesia Fund, Inc., The First Israel Fund, Inc., The Latin America Equity Fund, Inc. and The Emerging Markets Telecommunications Fund, Inc. (each a closed-end investment company). | |
|
70
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Information Concerning Trustees and Officers (unaudited) (continued)
Name, Address
(Year of Birth) | | Position(s)
Held with
Trust | | Term
of Office1
and
Length
of Time
Served | | Principal Occupation(s) During Past Five Years | |
| Officers** | | | | | | | |
|
George R. Hornig
Credit Suisse Asset
Management, LLC
Eleven Madison Avenue
New York, New York
10010
(1954) | | Chief Executive Officer and President | | Since 2008 | | Managing Director of Credit Suisse; Co-Chief Operating Officer of Asset Management and Head of Asset Management Americas; Associated with Credit Suisse since 1999; Officer of other Credit Suisse Funds. | |
|
Michael A. Pignataro
Credit Suisse Asset Management, LLC
Eleven Madison Avenue New York, New York
10010
(1959) | | Chief Financial Officer | | Since 1999 | | Director and Director of Fund Administration of Credit Suisse; Associated with Credit Suisse or its predecessor since 1984; 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 | | Director and Global Head of Compliance of Credit Suisse; Associated with Credit Suisse since July 2000; Officer of other Credit Suisse Funds. | |
|
J. Kevin Gao
Credit Suisse Asset
Management, LLC
Eleven Madison Avenue
New York, New York
10010
(1967) | | Chief Legal Officer since 2006, Vice President and Secretary since 2004 | | Since 2004 | | Director and Legal Counsel of Credit Suisse; Associated with Credit Suisse since July 2003; Officer of other Credit Suisse Funds. | |
|
Cecilia Chau
Credit Suisse Asset
Management, LLC
Eleven Madison Avenue
New York, New York
10010
(1973) | | Treasurer | | Since 2008 | | Vice President of Credit Suisse since 2009; Assistant Vice President of Credit Suisse from June 2007 to December 2008; Associated with Alliance Bernstein L.P. from January 2007 to May 2007; Associated with Credit Suisse from August 2000 to December 2006; Officer of other Credit Suisse Funds. | |
|
** The officers of the Portfolio shown are officers that make policy decisions.
The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling 800-222-8977.
71
Credit Suisse Trust ��� U.S. Equity Flex I Portfolio
Tax Information Letter
December 31, 2009 (unaudited)
Important Tax Information for Corporate Shareholders
Corporate shareholders should note for the year ended December 31, 2009, the percentage of the Portfolio's investment income (i.e., net investment income plus short-term capital gains) that qualified for the intercorporate dividends received deduction is 100%.
72
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Proxy Voting and Portfolio Holdings Information (unaudited)
Information regarding how the Portfolio voted proxies related to its portfolio securities during the 12 month period ended June 30 of each year, as well as the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities are available:
• By calling 1-800-222-8977
• On the Portfolio's website, www.credit-suisse.com/us
• On the website of the Securities and Exchange Commission, www.sec.gov.
The Portfolio files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Portfolio's Forms N-Q are available on the SEC's website at www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the SEC's Public Reference Room may be obtained by calling 1-202-551-8090.
73
P.O. BOX 55030, BOSTON, MA 02205-5030
800-222-8977 n WWW.credit-suisse.com/us
CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., DISTRIBUTOR. TRSCC I-AR-1209
CREDIT SUISSE FUNDS
Annual Report
December 31, 2009
CREDIT SUISSE TRUST
n INTERNATIONAL EQUITY FLEX III PORTFOLIO
Credit Suisse Trust (the "Trust") shares are not available directly to individual investors, but may be offered only through certain insurance products and pension and retirement plans.
The Trust's investment objectives, risks, charges and expenses (which should be considered carefully before investing), and more complete information about the Trust, are provided in the Prospectus, which should be read carefully before investing. You may obtain additional copies by calling 800-222-8977 or by writing to Credit Suisse Trust, P.O. Box 55030, Boston, MA 02205-5030.
Credit Suisse Asset Management Securities, Inc., Distributor, is located at Eleven Madison Avenue, New York, NY 10010. The Trust is advised by Credit Suisse Asset Management, LLC.
The views of the Portfolio's management are as of the date of the letter and the Portfolio holdings described in this document are as of December 31, 2009; these views and Portfolio holdings may have changed subsequent to these dates. Nothing in this document is a recommendation to purchase or sell securities.
Portfolio shares are not deposits or other obligations of Credit Suisse Asset Management, LLC ("Credit Suisse") or any affiliate, are not FDIC-insured and are not guaranteed by Credit Suisse or any affiliate. Portfolio investments are subject to investment risks, including loss of your investment.
Credit Suisse Trust — International Equity Flex III Portfolio
Annual Investment Adviser's Report
December 31, 2009 (unaudited)
January 20, 2010
Dear Shareholder:
On May 1, 2009, the Credit Suisse Trust — Emerging Markets Portfolio became the Credit Suisse Trust — International Equity Flex III Portfolio (the "Portfolio"). Concurrently, the investment strategy changed to a "flexible 130/30" strategy whereby the Portfolio generally will hold (i) long positions, either directly or through derivatives, in an amount up to approximately 130% of its net assets and (ii) short positions, either directly or through derivatives, in an amount up to approximately 30% of its net assets. The Portfolio will continue to invest in equity securities of non-U.S. companies.
Under the new investment strategy, the Portfolio seeks to outperform the MSCI EAFE Index Net Dividends (the "Benchmark"). The Benchmark is designed to measure the performance of equities in developed markets outside of North America, which include Europe, Australasia (Australia and New Zealand), and the Far East.
The Portfolio's investment approach has changed from a fundamental equity approach to one that uses quantitative portfolio management techniques. The portfolio manager will select securities for the Portfolio using proprietary quantitative models, which are designed to:
• forecast the expected relative return of stocks by analyzing a number of fundamental factors, including a company's relative valuation, use of capital, balance sheet quality, profitability, realized and expected growth potential and earnings and price momentum.
• identify stocks that are likely to suffer declines in price if market conditions deteriorate and either limit the Portfolio's overall long exposure or increase the Portfolio's overall short exposure to such low quality stocks.
• help determine the Portfolio's relative exposure to different industry sectors by analyzing sector performance under different market scenarios.
For the 12 months ended December 31, 2009, the Credit Suisse Trust — International Equity Flex III Portfolio (the "Portfolio") had a gain of 51.62%1, versus an increase of 31.78% for the Benchmark.2
Market Review: A positive end to a challenging year
At the end of 2009, markets around the world rebounded, with the MSCI World Index Net Dividends increasing by 29.99% for the year, and the portfolio's benchmark, the MSCI EAFE Index Net Dividends, up 31.78% for the year. Additionally, the Dow Jones Euro STOXX Index Net was up 27.62% and the
1
Credit Suisse Trust — International Equity Flex III Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
FTSE All Share Index up 30.12%. In Japan, the Topix Index Total Return had more modest gains of 7.62%.
However, despite what seems to be a global recovery in the markets, there are still signs that a full recovery is a ways off. For example, the U.S. unemployment rate remains at 10.0% (as of November 2009), and the Federal Funds rate continues to be 0.0% - 0.25%.
Strategic Review and Outlook: Look for balance sheet and earnings quality in 2010
On May 1, 2009, the Portfolio's investment strategy changed from an active, long-only strategy to a quantitative flex strategy, which allows long and short positions while maintaining an approximate 100% net long exposure. The term "flex" in the portfolio's name refers to the ability of the portfolio to vary from 100% to 130% in its long positions and from 0% to 30% in its short positions, based on market conditions. While the Portfolio intends to utilize short exposure, it may refrain completely from doing so under certain conditions.
The Portfolio is managed by the Quantitative Equities Group within Credit Suisse Asset Management, LLC, which has managed funds with a flex-style strategy since January of 2007. The Quantitative Equities Group believes that utilizing a flex strategy should offer increased return potential for a given level of risk compared to a long-only strategy. The Quantitative Equities Group is made up of lead manager Jordan Low and portfolio managers Constantin Filitti and Timothy Schwider.
For the year ended December 31, 2009, the Portfolio outperformed its benchmark. In Europe, our Value and Capital Deployment factors contributed to alpha, while Momentum and Profitability detracted from performance. In Japan, the performance of our factors was also mixed. Overall, Value remained the strongest performing factor of the year, while Capital Deployment also added positively to performance. Conversely, Growth and Momentum both detracted from Portfolio performance.
Going forward, we believe that macro economic factors will have less impact, as the majority of stimulus packages and large bankruptcies have been incorporated into market valuations. As the world continues to adjust to the new regime of government support and increased transparency, we expect that stock selection will be more important in the coming months than macro bets. In our opinion, the first stage of the recovery is coming to an end. Market volatility should gradually become less important as investors begin to focus more on underlying fundamentals of companies. We also believe that balance sheet and earnings quality will be positively rewarded in 2010. And, although we expect
2
Credit Suisse Trust — International Equity Flex III Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
the market to remain difficult in the near term, we are comfortable with our proactive long-term investment process going forward.
Credit Suisse Quantitative Equities Group
Jordan Low
Constantin Filitti
Timothy Schwider
Short sales expose the portfolio to the risk that it will be required to cover its short position at a time when the securities have appreciated in value, thus resulting in a loss to the portfolio. The portfolio's loss on a short sale could theoretically be unlimited in a case where the portfolio is unable to close out its short position.
Derivatives are subject to a number of risks such as correlation risk, liquidity risk, interest-rate risk, market risk and credit risk. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the portfolio will engage in these transactions to reduce exposure to other risks when that would be beneficial.
The use of leverage subjects the portfolio to the risk of magnified capital losses that can occur when losses affect an asset base — enlarged by borrowings or the creation of liabilities — that exceeds the net assets of the portfolio. The net asset value of the portfolio when employing leverage will be more volatile and sensitive to market movements. Leverage may involve the creation of a liability that requires the portfolio to pay interest.
Investing in small to medium-sized companies may be more volatile and less liquid than investments in larger companies.
Special situations are unusual developments that affect a company's market value. Examples include mergers, acquisitions and reorganizations. Securities of special-situation companies may decline in value if the anticipated benefits of the special situation do not materialize.
International investing entails special risk considerations, including currency fluctuations, lower liquidity, economic and political risks, and differences in accounting methods.
3
Credit Suisse Trust — International Equity Flex III Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
In addition to historical information, this report contains forward-looking statements, which may concern, among other things, domestic and foreign market, industry and economic trends and developments and government regulation and their potential impact on the Portfolio's investments. These statements are subject to risks and uncertainties and actual trends, developments and regulations in the future, and their impact on the Portfolio could be materially different from those projected, anticipated or implied. The Portfolio has no obligation to update or revise forward-looking statements.
4
Credit Suisse Trust — International Equity Flex III Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
Comparison of Change in Value of $10,000 Investment in the
Credit Suisse Trust — International Equity Flex III Portfolio1, the
MSCI EAFE Index Net Dividends2 and the MSCI Emerging
Markets Free Index2 for Ten Years.
5
Credit Suisse Trust — International Equity Flex III Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
Average Annual Returns as of December 31, 20091
| 1 Year | | 5 Years | | 10 Years | | Since
Inception3 | |
| | 51.62 | % | | | 8.50 | % | | | 3.91 | % | | | 6.80 | % | |
Returns represent past performance and include change in share price and reinvestment of dividends and capital gains. Past performance cannot guarantee future results. The current performance of the Portfolio may be lower or higher than the figures shown. Returns and share price will fluctuate, and redemption value may be more or less than original cost. The performance results do not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares. Performance includes the effect of deducting expenses, but does not include charges and expenses attributable to any particular variable contract or plan. Accordingly, the Prospectus of the sponsoring Participating Insurance Company separate account or plan documents or ot her informational materials supplied by plan sponsors should be carefully reviewed for information on relevant charges and expenses. Excluding these charges and expenses from quotations of performance has the effect of increasing the performance quoted, and the effect of these charges should be considered when comparing performance to that of other mutual funds. Performance information current to the most recent month-end is available at www.credit-suisse.com/us.
The annualized gross expense ratio is 1.54%. The annualized net expense ratio after fee waivers and/or expense reimbursements is 1.14%.
1 Fee waivers and/or expense reimbursements may reduce expenses for the Portfolio, without which performance would be lower. Waivers and/or reimbursements may be discontinued at any time.
2 The Morgan Stanley Capital International EAFE (Europe, Australasia, Far East) Index Net Dividends is a free float-adjusted market capitalization index that is designed to measure developed-market equity performance, excluding the U.S. and Canada. It is the exclusive property of Morgan Stanley Capital International Inc. Effective May 1, 2009, the Morgan Stanley Capital International EAFE Index Net Dividends replaced the MSCI Emerging Markets Free Index as the benchmark-index for the Portfolio. The Morgan Stanley Capital International Emerging Markets Free Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. It is the exclusive property of Morgan Stanley Capital International Inc. Investors cannot invest directly in an index.
3 Inception date 12/31/97.
6
Credit Suisse Trust — International Equity Flex III Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
Information About Your Portfolio's Expenses
As an investor of the Portfolio, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees, distribution and service (12b-1) fees and other Portfolio expenses. Examples of transaction costs include sales charges (loads), redemption fees and account maintenance fees, which are not shown in this section and which would result in higher total expenses. The following table is intended to help you understand your ongoing expenses of investing in the Portfolio and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. The table is based on an investment of $1,000 made at the beginning of the six month period ended December 31, 2009.
The table illustrates your Portfolio's expenses in two ways:
• Actual Portfolio Return. This helps you estimate the actual dollar amount of ongoing expenses paid on a $1,000 investment in the Portfolio using the Portfolio's actual return during the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the "Expenses Paid per $1,000" line under the share class you hold.
• Hypothetical 5% Portfolio Return. This helps you to compare your Portfolio's ongoing expenses with those of other mutual funds using the Portfolio's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical portfolio return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. If these transaction costs had been included, your costs would have been higher. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expenses of owning different funds.
7
Credit Suisse Trust — International Equity Flex III Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
Expenses and Value for a $1,000 Investment
for the six month period ended December 31, 2009
| Actual Portfolio Return | |
| Beginning Account Value 7/1/09 | | $ | 1,000.00 | | |
| Ending Account Value 12/31/09 | | $ | 1,205.80 | | |
| Expenses Paid per $1,000* | | $ | 7.78 | | |
| Hypothetical 5% Portfolio Return | |
| Beginning Account Value 7/1/09 | | $ | 1,000.00 | | |
| Ending Account Value 12/31/09 | | $ | 1,018.15 | | |
| Expenses Paid per $1,000* | | $ | 7.12 | | |
| Annualized Expense Ratio* | | | 1.40 | % | |
* Expenses are equal to the Portfolio's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year period, then divided by 365.
The "Expenses Paid per $1,000" and the "Annualized Expense Ratio" in the tables are based on actual expenses paid by the Portfolio during the period, net of fee waivers and/or expense reimbursements. If those fee waivers and/or expense reimbursements had not been in effect, the Portfolio's actual expenses would have been higher. Expenses do not reflect additional charges and expenses that are, or may be, imposed under the variable contracts or plans. Such charges and expenses are described in the prospectus of the insurance company separate account or in the plan documents or other informational materials supplied by plan sponsors. The Portfolio's expenses should be considered with these charges and expenses in evaluating the overall cost of investing in the separate account.
For more information, please refer to the Portfolio's prospectus.
8
Credit Suisse Trust — International Equity Flex III Portfolio
Annual Investment Adviser's Report (continued)
December 31, 2009 (unaudited)
SECTOR BREAKDOWN*
| | | Long | | Short | | Net | |
| Financials | | | 30.9 | % | | | (3.3 | )% | | | 27.6 | % | |
| Industrials | | | 15.7 | % | | | (3.0 | )% | | | 12.7 | % | |
| Consumer Discretionary | | | 12.8 | % | | | (2.5 | )% | | | 10.3 | % | |
| Health Care | | | 11.5 | % | | | (1.4 | )% | | | 10.1 | % | |
| Materials | | | 11.0 | % | | | (3.0 | )% | | | 8.0 | % | |
| Energy | | | 10.2 | % | | | (2.5 | )% | | | 7.7 | % | |
| Consumer Staples | | | 8.8 | % | | | (1.9 | )% | | | 6.9 | % | |
| Information Technology | | | 6.2 | % | | | (0.3 | )% | | | 5.9 | % | |
| Telecommunication Services | | | 5.4 | % | | | (0.7 | )% | | | 4.7 | % | |
| Utilities | | | 5.7 | % | | | (1.0 | )% | | | 4.7 | % | |
| Short-Term Investments | | | 1.4 | % | | | (0.0 | )% | | | 1.4 | % | |
| Total | | | 119.6 | % | | | (19.6 | )% | | | 100.0 | % | |
* Expressed as a percentage of total long/short investments, respectively, (excluding security lending collateral) and may vary over time.
9
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS (118.4%) | |
| COMMON STOCKS (117.9%) | |
| Asia (3.6%) | |
| Diversified Financial Services (3.6%) | |
| iShares MSCI Pacific ex-Japan Index Fund§ | | | 114,803 | | | $ | 4,749,400 | | |
| TOTAL ASIA | | | 4,749,400 | | |
| Australia (5.9%) | |
| Air Freight & Logistics (0.1%) | |
| Toll Holdings, Ltd. | | | 5,497 | | | | 42,979 | | |
| Airlines (0.0%) | |
| Qantas Airways, Ltd. | | | 8,709 | | | | 23,265 | | |
| Beverages (0.1%) | |
| Coca-Cola Amatil, Ltd. | | | 4,876 | | | | 50,336 | | |
| Foster's Group, Ltd. | | | 17,421 | | | | 85,802 | | |
| | | | 136,138 | | |
| Biotechnology (0.1%) | |
| CSL, Ltd. | | | 5,205 | | | | 151,544 | | |
| Capital Markets (0.1%) | |
| Macquarie Group, Ltd.§ | | | 2,609 | | | | 111,923 | | |
| Perpetual, Ltd. | | | 315 | | | | 10,450 | | |
| | | | 122,373 | | |
| Chemicals (0.1%) | |
| Incitec Pivot, Ltd. | | | 12,816 | | | | 40,588 | | |
| Nufarm, Ltd. | | | 1,466 | | | | 14,248 | | |
| Orica, Ltd. | | | 3,185 | | | | 74,142 | | |
| | | | 128,978 | | |
| Commercial Banks (1.5%) | |
| Australia & New Zealand Banking Group, Ltd. | | | 19,876 | | | | 405,538 | | |
| Bendigo and Adelaide Bank, Ltd. | | | 2,658 | | | | 23,360 | | |
| Commonwealth Bank of Australia | | | 12,861 | | | | 628,668 | | |
| National Australia Bank, Ltd. | | | 15,931 | | | | 389,258 | | |
| Westpac Banking Corp. | | | 24,237 | | | | 548,155 | | |
| | | | 1,994,979 | | |
| Commercial Services & Supplies (0.1%) | |
| Brambles, Ltd. | | | 10,199 | | | | 61,932 | | |
| Construction & Engineering (0.0%) | |
| Leighton Holdings, Ltd.§ | | | 1,069 | | | | 36,282 | | |
| Construction Materials (0.0%) | |
| Boral, Ltd. | | | 4,762 | | | | 25,307 | | |
| Containers & Packaging (0.0%) | |
| Amcor, Ltd. | | | 6,916 | | | | 38,551 | | |
See Accompanying Notes to Financial Statements.
10
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Australia | |
| Diversified Financial Services (0.4%) | |
| ASX, Ltd. | | | 1,730 | | | $ | 54,002 | | |
| iShares MSCI Australia Index Fund§ | | | 20,268 | | | | 462,921 | | |
| | | | 516,923 | | |
| Diversified Telecommunication Services (0.1%) | |
| Telstra Corp., Ltd. | | | 42,119 | | | | 129,648 | | |
| Electric Utilities (0.0%) | |
| SP AusNet | | | 12,558 | | | | 10,318 | | |
| Energy Equipment & Services (0.0%) | |
| WorleyParsons, Ltd. | | | 1,485 | | | | 38,606 | | |
| Food & Staples Retailing (0.5%) | |
| Metcash, Ltd. | | | 7,152 | | | | 28,713 | | |
| Wesfarmers, Ltd. | | | 9,064 | | | | 253,694 | | |
| Wesfarmers, Ltd. | | | 1,355 | | | | 37,881 | | |
| Woolworths, Ltd. | | | 11,072 | | | | 278,035 | | |
| | | | 598,323 | | |
| Food Products (0.0%) | |
| Goodman Fielder, Ltd. | | | 11,069 | | | | 16,138 | | |
| Health Care Equipment & Supplies (0.0%) | |
| Cochlear, Ltd. | | | 489 | | | | 30,235 | | |
| Health Care Providers & Services (0.0%) | |
| Sonic Healthcare, Ltd.§ | | | 3,067 | | | | 42,292 | | |
| Hotels, Restaurants & Leisure (0.1%) | |
| Aristocrat Leisure, Ltd.§ | | | 3,327 | | | | 11,933 | | |
| Crown, Ltd.§ | | | 4,336 | | | | 31,064 | | |
| TABCORP Holdings, Ltd. | | | 5,781 | | | | 35,911 | | |
| Tatts Group, Ltd. | | | 10,895 | | | | 23,797 | | |
| | | | 102,705 | | |
| Industrial Conglomerates (0.0%) | |
| CSR, Ltd. | | | 10,751 | | | | 17,333 | | |
| Insurance (0.4%) | |
| AMP, Ltd. | | | 16,568 | | | | 100,199 | | |
| AXA Asia Pacific Holdings, Ltd. | | | 9,057 | | | | 53,021 | | |
| Insurance Australia Group, Ltd. | | | 19,030 | | | | 68,433 | | |
| QBE Insurance Group, Ltd. | | | 7,787 | | | | 177,920 | | |
| Suncorp-Metway, Ltd. | | | 10,805 | | | | 83,754 | | |
| | | | 483,327 | | |
| IT Services (0.0%) | |
| Computershare, Ltd. | | | 3,923 | | | | 40,188 | | |
See Accompanying Notes to Financial Statements.
11
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Australia | |
| Media (0.0%) | |
| Fairfax Media, Ltd.§ | | | 20,139 | | | $ | 31,341 | | |
| Metals & Mining (1.4%) | |
| Alumina, Ltd.*§ | | | 22,352 | | | | 36,586 | | |
| BHP Billiton, Ltd. | | | 30,319 | | | | 1,161,630 | | |
| BlueScope Steel, Ltd. | | | 18,132 | | | | 50,022 | | |
| Fortescue Metals Group, Ltd.* | | | 10,341 | | | | 40,953 | | |
| Newcrest Mining, Ltd. | | | 4,504 | | | | 142,838 | | |
| OneSteel, Ltd. | | | 11,126 | | | | 33,459 | | |
| OZ Minerals, Ltd.* | | | 28,070 | | | | 29,956 | | |
| Rio Tinto, Ltd. | | | 4,064 | | | | 271,624 | | |
| Sims Metal Management, Ltd. | | | 1,530 | | | | 30,015 | | |
| | | | 1,797,083 | | |
| Multi-Utilities (0.1%) | |
| AGL Energy, Ltd.§ | | | 4,489 | | | | 56,492 | | |
| Multiline Retail (0.0%) | |
| Harvey Norman Holdings, Ltd. | | | 4,898 | | | | 18,488 | | |
| Oil, Gas & Consumable Fuels (0.4%) | |
| Arrow Energy, Ltd.* | | | 4,714 | | | | 17,553 | | |
| Caltex Australia, Ltd.* | | | 1,240 | | | | 10,327 | | |
| Energy Resources of Australia, Ltd. | | | 608 | | | | 12,991 | | |
| Origin Energy, Ltd. | | | 7,597 | | | | 114,439 | | |
| Paladin Energy, Ltd.* | | | 4,991 | | | | 18,654 | | |
| Santos, Ltd. | | | 7,016 | | | | 88,472 | | |
| Woodside Petroleum, Ltd. | | | 4,145 | | | | 175,018 | | |
| | | | 437,454 | | |
| Real Estate Investment Trusts (0.3%) | |
| CFS Retail Property Trust | | | 14,734 | | | | 25,119 | | |
| Dexus Property Group | | | 43,620 | | | | 33,134 | | |
| GPT Group | | | 79,920 | | | | 42,999 | | |
| Mirvac Group | | | 23,190 | | | | 32,395 | | |
| Stockland | | | 18,099 | | | | 63,845 | | |
| Westfield Group | | | 16,942 | | | | 189,846 | | |
| | | | 387,338 | | |
| Real Estate Management & Development (0.0%) | |
| Lend Lease Corp., Ltd. | | | 3,291 | | | | 30,416 | | |
| Road & Rail (0.0%) | |
| Asciano Group* | | | 26,262 | | | | 42,568 | | |
| Textiles, Apparel & Luxury Goods (0.0%) | |
| Billabong International, Ltd.§ | | | 1,595 | | | | 15,625 | | |
See Accompanying Notes to Financial Statements.
12
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Australia | |
| Transportation Infrastructure (0.1%) | |
| Macquarie Airports | | | 6,581 | | | $ | 17,834 | | |
| Macquarie Infrastructure Group§ | | | 23,184 | | | | 27,647 | | |
| Transurban Group§ | | | 10,870 | | | | 53,863 | | |
| | | | 99,344 | | |
| TOTAL AUSTRALIA | | | 7,704,513 | | |
| Austria (0.4%) | |
| Building Products (0.0%) | |
| Wienerberger AG* | | | 16 | | | | 291 | | |
| Commercial Banks (0.4%) | |
| Erste Group Bank AG | | | 12,197 | | | | 453,607 | | |
| Raiffeisen International Bank Holding AG | | | 1,245 | | | | 69,611 | | |
| | | | 523,218 | | |
| Construction & Engineering (0.0%) | |
| Strabag SE BR | | | 17 | | | | 501 | | |
| Real Estate Management & Development (0.0%) | |
| IMMOFINANZ AG*§ | | | 2,201 | | | | 7,824 | | |
| TOTAL AUSTRIA | | | 531,834 | | |
| Belgium (1.2%) | |
| Chemicals (0.5%) | |
| Solvay SA | | | 5,719 | | | | 616,425 | | |
| Commercial Banks (0.0%) | |
| KBC Groep NV* | | | 1,311 | | | | 56,375 | | |
| Diversified Financial Services (0.4%) | |
| Nationale A Portefeuille | | | 9,638 | | | | 513,294 | | |
| Diversified Telecommunication Services (0.1%) | |
| Belgacom SA | | | 3,864 | | | | 140,392 | | |
| Electrical Equipment (0.0%) | |
| Bekaert SA | | | 46 | | | | 7,105 | | |
| Insurance (0.0%) | |
| Fortis* | | | 432 | | | | 1,600 | | |
| Pharmaceuticals (0.1%) | |
| UCB SA | | | 2,155 | | | | 90,024 | | |
| Wireless Telecommunication Services (0.1%) | |
| Mobistar SA | | | 1,831 | | | | 125,630 | | |
| TOTAL BELGIUM | | | 1,550,845 | | |
See Accompanying Notes to Financial Statements.
13
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Bermuda (0.0%) | |
| Insurance (0.0%) | |
| Catlin Group, Ltd. | | | 5,045 | | | $ | 27,618 | | |
| Metals & Mining (0.0%) | |
| Aquarius Platinum, Ltd.*§ | | | 645 | | | | 4,203 | | |
| TOTAL BERMUDA | | | 31,821 | | |
| Cyprus (0.0%) | |
| Energy Equipment & Services (0.0%) | |
| ProSafe SE | | | 341 | | | | 2,168 | | |
| TOTAL CYPRUS | | | 2,168 | | |
| Denmark (1.8%) | |
| Beverages (0.1%) | |
| Carlsberg AS Class B | | | 710 | | | | 52,313 | | |
| Construction & Engineering (0.0%) | |
| FLSmidth & Co. AS§ | | | 8 | | | | 561 | | |
| Health Care Equipment & Supplies (0.6%) | |
| Coloplast AS Class B§ | | | 6,975 | | | | 631,324 | | |
| William Demant Holding* | | | 1,473 | | | | 110,811 | | |
| | | | 742,135 | | |
| Marine (0.3%) | |
| A P Moller - Maersk AS Class A | | | 60 | | | | 405,656 | | |
| Pharmaceuticals (0.8%) | |
| H Lundbeck AS§ | | | 29,060 | | | | 525,498 | | |
| Novo Nordisk AS Class B | | | 8,896 | | | | 568,439 | | |
| | | | 1,093,937 | | |
| TOTAL DENMARK | | | 2,294,602 | | |
| Finland (1.7%) | |
| Communications Equipment (0.9%) | |
| Nokia Oyj§ | | | 95,873 | | | | 1,240,675 | | |
| Electric Utilities (0.1%) | |
| Fortum Oyj | | | 3,543 | | | | 96,200 | | |
| Food & Staples Retailing (0.1%) | |
| Kesko Oyj B Shares | | | 2,450 | | | | 80,974 | | |
| Insurance (0.2%) | |
| Sampo Oyj A Shares | | | 10,062 | | | | 245,315 | | |
| Machinery (0.1%) | |
| Kone Oyj Class B | | | 2,018 | | | | 86,551 | | |
| Metso Oyj | | | 2,972 | | | | 104,629 | | |
| Wartsila Oyj | | | 242 | | | | 9,708 | | |
| | | | 200,888 | | |
See Accompanying Notes to Financial Statements.
14
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Finland | |
| Metals & Mining (0.2%) | |
| Rautaruukki Oyj | | | 8,674 | | | $ | 200,811 | | |
| Pharmaceuticals (0.1%) | |
| Orion Oyj Class B | | | 4,858 | | | | 104,857 | | |
| TOTAL FINLAND | | | 2,169,720 | | |
| France (14.1%) | |
| Aerospace & Defense (0.4%) | |
| Safran SA | | | 17,658 | | | | 345,314 | | |
| Thales SA | | | 1,027 | | | | 52,827 | | |
| Zodiac Aerospace§ | | | 2,586 | | | | 107,644 | | |
| | | | 505,785 | | |
| Auto Components (0.7%) | |
| Compagnie Generale des Etablissements Michelin Class B | | | 2,922 | | | | 223,980 | | |
| Valeo SA* | | | 18,688 | | | | 654,625 | | |
| | | | 878,605 | | |
| Automobiles (0.5%) | |
| PSA Peugeot Citroen* | | | 19,276 | | | | 648,553 | | |
| Building Products (0.2%) | |
| Cie de Saint-Gobain§ | | | 4,099 | | | | 222,542 | | |
| Chemicals (0.1%) | |
| Arkema SA | | | 3,597 | | | | 133,466 | | |
| Commercial Banks (1.1%) | |
| BNP Paribas§ | | | 12,826 | | | | 1,018,184 | | |
| Credit Agricole SA | | | 4,338 | | | | 76,195 | | |
| Societe Generale | | | 5,285 | | | | 367,509 | | |
| | | | 1,461,888 | | |
| Commercial Services & Supplies (0.1%) | |
| Societe BIC SA | | | 2,092 | | | | 144,647 | | |
| Communications Equipment (0.2%) | |
| Alcatel-Lucent*§ | | | 81,802 | | | | 275,676 | | |
| Construction & Engineering (1.4%) | |
| Bouygues SA§ | | | 14,831 | | | | 768,863 | | |
| Eiffage SA | | | 2,657 | | | | 149,880 | | |
| Vinci SA | | | 15,562 | | | | 876,423 | | |
| | | | 1,795,166 | | |
| Diversified Financial Services (0.2%) | |
| Eurazeo | | | 3,478 | | | | 241,452 | | |
| Diversified Telecommunication Services (0.5%) | |
| France Telecom SA | | | 27,795 | | | | 695,130 | | |
See Accompanying Notes to Financial Statements.
15
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| France | |
| Electrical Equipment (0.8%) | |
| Alstom SA | | | 384 | | | $ | 26,878 | | |
| Nexans SA | | | 8,196 | | | | 651,584 | | |
| Schneider Electric SA | | | 3,155 | | | | 367,147 | | |
| | | | 1,045,609 | | |
| Food & Staples Retailing (0.3%) | |
| Carrefour SA | | | 6,064 | | | | 291,114 | | |
| Casino Guichard Perrachon SA§ | | | 1,585 | | | | 141,334 | | |
| | | | 432,448 | | |
| Hotels, Restaurants & Leisure (0.2%) | |
| Accor SA | | | 4,057 | | | | 222,193 | | |
| Household Durables (0.0%) | |
| Thomson SA*§ | | | 1,888 | | | | 2,433 | | |
| Insurance (1.2%) | |
| AXA SA | | | 20,845 | | | | 489,829 | | |
| CNP Assurances | | | 3,968 | | | | 384,564 | | |
| SCOR SE | | | 25,655 | | | | 645,045 | | |
| | | | 1,519,438 | | |
| IT Services (0.9%) | |
| Atos Origin SA* | | | 11,170 | | | | 512,165 | | |
| Cap Gemini SA§ | | | 14,887 | | | | 679,716 | | |
| | | | 1,191,881 | | |
| Machinery (0.5%) | |
| Vallourec SA | | | 3,879 | | | | 702,370 | | |
| Media (0.9%) | |
| Lagardere SCA | | | 5,103 | | | | 206,771 | | |
| M6-Metropole Television | | | 2,407 | | | | 61,657 | | |
| PagesJaunes Groupe§ | | | 19,833 | | | | 221,250 | | |
| Publicis Groupe§ | | | 2,775 | | | | 112,926 | | |
| Vivendi | | | 19,837 | | | | 589,249 | | |
| | | | 1,191,853 | | |
| Metals & Mining (0.2%) | |
| Eramet§ | | | 935 | | | | 293,060 | | |
| Multi-Utilities (0.1%) | |
| GDF Suez§ | | | 2,280 | | | | 98,855 | | |
| Suez Environnement SA | | | 108 | | | | 2,492 | | |
| Veolia Environnement | | | 400 | | | | 13,196 | | |
| | | | 114,543 | | |
| Multiline Retail (0.2%) | |
| PPR§ | | | 2,237 | | | | 268,743 | | |
See Accompanying Notes to Financial Statements.
16
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| France | |
| Oil, Gas & Consumable Fuels (1.7%) | |
| Total SA§ | | | 34,172 | | | $ | 2,196,702 | | |
| Pharmaceuticals (1.3%) | |
| Ipsen SA | | | 5 | | | | 278 | | |
| Sanofi-Aventis SA§ | | | 20,968 | | | | 1,650,362 | | |
| | | | 1,650,640 | | |
| Real Estate Investment Trusts (0.1%) | |
| Fonciere Des Regions§ | | | 1,166 | | | | 119,327 | | |
| Software (0.1%) | |
| UbiSoft Entertainment SA* | | | 14,453 | | | | 204,813 | | |
| Textiles, Apparel & Luxury Goods (0.2%) | |
| Christian Dior SA | | | 2,436 | | | | 249,850 | | |
| Transportation Infrastructure (0.0%) | |
| Societe Des Autoroutes Paris-Rhin-Rhone* | | | 3 | | | | 231 | | |
| TOTAL FRANCE | | | 18,409,044 | | |
| Germany (10.2%) | |
| Aerospace & Defense (0.1%) | |
| MTU Aero Engines Holding AG | | | 3,328 | | | | 181,276 | | |
| Air Freight & Logistics (0.0%) | |
| Deutsche Post AG | | | 2,374 | | | | 45,920 | | |
| Airlines (0.3%) | |
| Deutsche Lufthansa AG | | | 22,411 | | | | 378,742 | | |
| Automobiles (1.3%) | |
| Bayerische Motoren Werke AG | | | 8,344 | | | | 380,156 | | |
| Daimler AG§ | | | 21,777 | | | | 1,160,892 | | |
| Volkswagen AG§ | | | 1,881 | | | | 208,585 | | |
| | | | 1,749,633 | | |
| Capital Markets (0.0%) | |
| Deutsche Bank AG | | | 659 | | | | 46,637 | | |
| Chemicals (0.9%) | |
| BASF SE | | | 17,776 | | | | 1,101,089 | | |
| Lanxess AG | | | 2,045 | | | | 77,374 | | |
| | | | 1,178,463 | | |
| Computers & Peripherals (0.2%) | |
| Wincor Nixdorf AG | | | 3,280 | | | | 224,832 | | |
| Construction & Engineering (0.8%) | |
| Bilfinger Berger AG | | | 8,142 | | | | 624,076 | | |
| Hochtief AG | | | 5,302 | | | | 404,705 | | |
| | | | 1,028,781 | | |
See Accompanying Notes to Financial Statements.
17
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Germany | |
| Construction Materials (0.2%) | |
| HeidelbergCement AG | | | 3,037 | | | $ | 210,281 | | |
| Diversified Telecommunication Services (0.4%) | |
| Deutsche Telekom AG§ | | | 36,031 | | | | 529,010 | | |
| Electric Utilities (0.9%) | |
| E.ON AG§ | | | 26,605 | | | | 1,117,654 | | |
| Electrical Equipment (0.0%) | |
| Q-Cells SE*§ | | | 30 | | | | 490 | | |
| Tognum AG | | | 2,157 | | | | 35,736 | | |
| | | | 36,226 | | |
| Food & Staples Retailing (0.2%) | |
| Metro AG | | | 3,261 | | | | 199,325 | | |
| Food Products (0.1%) | |
| Suedzucker AG | | | 3,752 | | | | 78,240 | | |
| Health Care Providers & Services (0.3%) | |
| Celesio AG | | | 10,263 | | | | 260,080 | | |
| Rhoen-Klinikum AG | | | 3,451 | | | | 84,060 | | |
| | | | 344,140 | | |
| Industrial Conglomerates (0.8%) | |
| Rheinmetall AG | | | 9,530 | | | | 605,555 | | |
| Siemens AG | | | 5,422 | | | | 497,998 | | |
| | | | 1,103,553 | | |
| Insurance (1.5%) | |
| Allianz SE§ | | | 7,409 | | | | 919,188 | | |
| Hannover Rueckversicherung AG* | | | 1,683 | | | | 78,696 | | |
| Muenchener Rueckversicherungs AG§ | | | 6,570 | | | | 1,024,198 | | |
| | | | 2,022,082 | | |
| Machinery (0.0%) | |
| GEA Group AG | | | 20 | | | | 446 | | |
| Metals & Mining (0.1%) | |
| Salzgitter AG | | | 1,819 | | | | 178,390 | | |
| ThyssenKrupp AG§ | | | 139 | | | | 5,230 | | |
| | | | 183,620 | | |
| Multi-Utilities (0.9%) | |
| RWE AG§ | | | 11,631 | | | | 1,129,644 | | |
| Pharmaceuticals (1.1%) | |
| Bayer AG | | | 17,112 | | | | 1,370,508 | | |
| Merck KGAA | | | 482 | | | | 45,234 | | |
| | | | 1,415,742 | | |
See Accompanying Notes to Financial Statements.
18
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Germany | |
| Software (0.0%) | |
| Software AG | | | 26 | | | $ | 2,836 | | |
| Textiles, Apparel & Luxury Goods (0.1%) | |
| Adidas AG | | | 271 | | | | 14,691 | | |
| Puma AG Rudolf Dassler Sport | | | 275 | | | | 91,622 | | |
| | | | 106,313 | | |
| TOTAL GERMANY | | | 13,313,396 | | |
| Greece (0.8%) | |
| Capital Markets (0.0%) | |
| Marfin Investment Group SA* | | | 285 | | | | 809 | | |
| Commercial Banks (0.6%) | |
| Alpha Bank AE* | | | 34,369 | | | | 401,396 | | |
| EFG Eurobank Ergasias SA* | | | 18,596 | | | | 207,998 | | |
| National Bank of Greece SA* | | | 6,239 | | | | 160,426 | | |
| Piraeus Bank SA* | | | 5,182 | | | | 59,515 | | |
| | | | 829,335 | | |
| Construction Materials (0.0%) | |
| Titan Cement Co. SA | | | 114 | | | | 3,309 | | |
| Hotels, Restaurants & Leisure (0.1%) | |
| OPAP SA | | | 7,805 | | | | 171,621 | | |
| Oil, Gas & Consumable Fuels (0.1%) | |
| Hellenic Petroleum SA | | | 5,076 | | | | 56,877 | | |
| TOTAL GREECE | | | 1,061,951 | | |
| Hong Kong (1.7%) | |
| Diversified Financial Services (1.7%) | |
| iShares MSCI Hong Kong Index Fund§ | | | 143,378 | | | | 2,245,300 | | |
| TOTAL HONG KONG | | | 2,245,300 | | |
| Ireland (0.2%) | |
| Airlines (0.0%) | |
| Ryanair Holdings PLC* | | | 911 | | | | 4,305 | | |
| Construction Materials (0.2%) | |
| CRH PLC | | | 6,476 | | | | 177,159 | | |
| Food Products (0.0%) | |
| Kerry Group PLC Class A | | | 579 | | | | 18,220 | | |
| TOTAL IRELAND | | | 199,684 | | |
| Israel (0.0%) | |
| IT Services (0.0%) | |
| Emblaze Ltd.* | | | 13,069 | | | | 8,272 | | |
| TOTAL ISRAEL | | | 8,272 | | |
See Accompanying Notes to Financial Statements.
19
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Italy (4.0%) | |
| Automobiles (0.1%) | |
| Fiat SpA* | | | 10,186 | | | $ | 149,186 | | |
| Commercial Banks (0.9%) | |
| Banca Carige SpA§ | | | 4,667 | | | | 12,469 | | |
| Banca Monte dei Paschi di Siena SpA§ | | | 25,913 | | | | 45,338 | | |
| Banca Popolare dell'Etruria e del Lazio | | | 721 | | | | 4,079 | | |
| Banco di Desio e della Brianza SpA | | | 2,647 | | | | 15,875 | | |
| Banco Popolare SC* | | | 326 | | | | 2,444 | | |
| Intesa Sanpaolo SpA* | | | 86,040 | | | | 387,506 | | |
| Piccolo Credito Valtellinese Scarl | | | 2,992 | | | | 24,071 | | |
| UniCredit SpA* | | | 202,655 | | | | 678,196 | | |
| | | | 1,169,978 | | |
| Construction & Engineering (0.0%) | |
| Impregilo SpA | | | 48 | | | | 170 | | |
| Construction Materials (0.0%) | |
| Buzzi Unicem SpA | | | 278 | | | | 4,477 | | |
| Cementir Holding SpA | | | 2,428 | | | | 11,684 | | |
| | | | 16,161 | | |
| Diversified Telecommunication Services (0.2%) | |
| Telecom Italia SpA | | | 183,378 | | | | 286,299 | | |
| Electric Utilities (0.9%) | |
| Enel SpA§ | | | 185,657 | | | | 1,075,740 | | |
| Iride SpA§ | | | 5,128 | | | | 9,776 | | |
| | | | 1,085,516 | | |
| Electrical Equipment (0.5%) | |
| Prysmian SpA | | | 36,911 | | | | 644,829 | | |
| Food Products (0.5%) | |
| Parmalat SpA | | | 234,541 | | | | 656,259 | | |
| Gas Utilities (0.0%) | |
| Snam Rete Gas SpA | | | 5,967 | | | | 29,658 | | |
| Insurance (0.2%) | |
| Assicurazioni Generali SpA | | | 9,992 | | | | 269,413 | | |
| Fondiaria-Sai SpA | | | 561 | | | | 8,926 | | |
| Premafin Finanziaria SpA* | | | 4,768 | | | | 7,231 | | |
| Societa Cattolica di Assicurazioni S.c.r.l* | | | 158 | | | | 5,365 | | |
| | | | 290,935 | | |
| Media (0.0%) | |
| Gruppo Editoriale L'Espresso SpA* | | | 1,833 | | | | 5,888 | | |
| Multi-Utilities (0.0%) | |
| ACEA SpA | | | 815 | | | | 8,743 | | |
See Accompanying Notes to Financial Statements.
20
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Italy | |
| Oil, Gas & Consumable Fuels (0.7%) | |
| ENI SpA | | | 33,422 | | | $ | 851,830 | | |
| Saras SpA§ | | | 226 | | | | 710 | | |
| | | | 852,540 | | |
| TOTAL ITALY | | | 5,196,162 | | |
| Japan (22.4%) | |
| Air Freight & Logistics (0.0%) | |
| Yamato Holdings Co., Ltd. | | | 4,000 | | | | 55,704 | | |
| Airlines (0.0%) | |
| Japan Airlines Corp.* | | | 384 | | | | 276 | | |
| Auto Components (0.5%) | |
| Aisin Seiki Co., Ltd.§ | | | 1,789 | | | | 51,708 | | |
| Bridgestone Corp.§ | | | 7,630 | | | | 134,650 | | |
| Calsonic Kansei Corp.* | | | 3,000 | | | | 8,383 | | |
| Denso Corp. | | | 6,522 | | | | 197,160 | | |
| Imasen Electric Industrial | | | 19 | | | | 243 | | |
| Kasai Kogyo Co., Ltd. | | | 3,000 | | | | 8,306 | | |
| Keihin Corp. | | | 200 | | | | 2,991 | | |
| Koito Manufacturing Co., Ltd. | | | 1,000 | | | | 16,057 | | |
| Musashi Seimitsu Industry Co., Ltd. | | | 300 | | | | 6,994 | | |
| NHK Spring Co., Ltd. | | | 1,000 | | | | 9,315 | | |
| Pacific Industrial Co., Ltd. | | | 200 | | | | 1,056 | | |
| Press Kogyo Co., Ltd. | | | 2,000 | | | | 3,763 | | |
| Showa Corp.§ | | | 900 | | | | 5,438 | | |
| SNT Corp. | | | 200 | | | | 488 | | |
| Stanley Electric Co., Ltd. | | | 1,600 | | | | 32,467 | | |
| Sumitomo Rubber Industries, Ltd.§ | | | 9,200 | | | | 80,014 | | |
| Tachi-S Co., Ltd. | | | 700 | | | | 6,937 | | |
| TBK Co., Ltd.* | | | 7,000 | | | | 12,524 | | |
| The Yokohama Rubber Co., Ltd | | | 676 | | | | 2,990 | | |
| Tigers Polymer Corp. | | | 500 | | | | 1,670 | | |
| Toyota Boshoku Corp. | | | 300 | | | | 6,701 | | |
| Toyota Industries Corp.§ | | | 800 | | | | 23,903 | | |
| Unipres Corp.§ | | | 1,600 | | | | 25,422 | | |
| Yorozu Corp. | | | 131 | | | | 1,762 | | |
| | | | 640,942 | | |
| Automobiles (2.2%) | |
| Daihatsu Motor Co., Ltd.§ | | | 2,965 | | | | 29,651 | | |
| Fuji Heavy Industries, Ltd.* | | | 7,103 | | | | 34,723 | | |
| Honda Motor Co., Ltd.§ | | | 23,092 | | | | 783,817 | | |
| Isuzu Motors, Ltd.*§ | | | 12,921 | | | | 24,282 | | |
| Mazda Motor Corp.* | | | 13,508 | | | | 31,074 | | |
| Mitsubishi Motors Corp.*§ | | | 2,000 | | | | 2,781 | | |
| Nissan Motor Co., Ltd.*§ | | | 35,300 | | | | 310,347 | | |
See Accompanying Notes to Financial Statements.
21
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Automobiles | |
| Suzuki Motor Corp.§ | | | 4,731 | | | $ | 116,560 | | |
| Toyota Motor Corp. | | | 36,645 | | | | 1,545,652 | | |
| Yamaha Motor Co., Ltd.*§ | | | 561 | | | | 7,098 | | |
| | | | 2,885,985 | | |
| Beverages (0.2%) | |
| Asahi Breweries, Ltd.§ | | | 2,098 | | | | 38,656 | | |
| Kirin Holdings Co., Ltd.§ | | | 10,823 | | | | 173,643 | | |
| Mercian Corp. | | | 10,000 | | | | 21,023 | | |
| Oenon Holdings, Inc.§ | | | 4,000 | | | | 7,417 | | |
| | | | 240,739 | | |
| Building Products (0.2%) | |
| Asahi Glass Co., Ltd.§ | | | 16,000 | | | | 152,258 | | |
| Central Glass Co., Ltd. | | | 1,000 | | | | 3,829 | | |
| Daikin Industries, Ltd. | | | 2,154 | | | | 85,114 | | |
| | | | 241,201 | | |
| Capital Markets (0.4%) | |
| Daiwa Securities Group, Inc. | | | 32,981 | | | | 166,053 | | |
| Mizuho Securities Co., Ltd. | | | 35,000 | | | | 105,954 | | |
| Nomura Holdings, Inc.§ | | | 33,057 | | | | 245,939 | | |
| SBI Holdings, Inc.§ | | | 201 | | | | 36,001 | | |
| | | | 553,947 | | |
| Chemicals (1.0%) | |
| Air Water, Inc. | | | 5,000 | | | | 58,920 | | |
| Asahi Kasei Corp. | | | 14,996 | | | | 75,170 | | |
| Chugoku Marine Paints, Ltd. | | | 4,000 | | | | 28,033 | | |
| Daicel Chemical Industries, Ltd. | | | 12,000 | | | | 70,518 | | |
| DIC Corp. | | | 1,000 | | | | 1,704 | | |
| Hitachi Chemical Co., Ltd. | | | 1,000 | | | | 20,389 | | |
| JSP Corp. | | | 25 | | | | 263 | | |
| JSR Corp. | | | 400 | | | | 8,144 | | |
| Kaneka Corp. | | | 15,000 | | | | 95,612 | | |
| Kansai Paint Co., Ltd. | | | 1,000 | | | | 8,384 | | |
| Katakura Chikkarin Co., Ltd. | | | 4,000 | | | | 12,030 | | |
| Mitsubishi Chemical Holdings Corp.§ | | | 22,547 | | | | 96,054 | | |
| Mitsubishi Gas Chemical Co., Inc.§ | | | 7,124 | | | | 35,915 | | |
| Mitsubishi Rayon Co., Ltd. | | | 77 | | | | 310 | | |
| Mitsui Chemicals, Inc. | | | 18,000 | | | | 46,627 | | |
| Nippon Shokubai Co., Ltd. | | | 4,105 | | | | 35,303 | | |
| Nippon Soda Co., Ltd. | | | 554 | | | | 1,997 | | |
| Nitto Denko Corp. | | | 3,200 | | | | 115,006 | | |
| Shin-Etsu Chemical Co., Ltd.§ | | | 5,200 | | | | 293,709 | | |
| Shin-Etsu Polymer Co., Ltd. | | | 2,000 | | | | 11,879 | | |
| Showa Denko KK | | | 36,000 | | | | 71,726 | | |
See Accompanying Notes to Financial Statements.
22
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Chemicals | |
| Sumitomo Bakelite Co., Ltd.§ | | | 4,466 | | | $ | 22,066 | | |
| Sumitomo Chemical Co., Ltd. | | | 24,184 | | | | 106,152 | | |
| Toagosei Co., Ltd. | | | 2,000 | | | | 7,531 | | |
| Tokuyama Corp. | | | 4,809 | | | | 26,901 | | |
| Tokyo Ohka Kogyo Co., Ltd.§ | | | 994 | | | | 18,497 | | |
| Toray Industries, Inc.§ | | | 2,684 | | | | 14,609 | | |
| Tosoh Corp.§ | | | 2,364 | | | | 6,532 | | |
| Ube Industries, Ltd. | | | 3,891 | | | | 10,650 | | |
| | | | 1,300,631 | | |
| Commercial Banks (2.0%) | |
| Aozora Bank, Ltd.* | | | 3,000 | | | | 3,190 | | |
| Chuo Mitsui Trust Holdings, Inc.§ | | | 12,000 | | | | 40,441 | | |
| Fukuoka Financial Group, Inc.§ | | | 21,000 | | | | 73,216 | | |
| Hokuhoku Financial Group, Inc.§ | | | 32,705 | | | | 66,898 | | |
| Mitsubishi UFJ Financial Group, Inc. | | | 155,031 | | | | 763,977 | | |
| Mizuho Financial Group, Inc.§ | | | 167,254 | | | | 300,903 | | |
| Resona Holdings, Inc. | | | 5,103 | | | | 51,868 | | |
| Sumitomo Mitsui Financial Group, Inc.§ | | | 16,996 | | | | 487,916 | | |
| Suruga Bank, Ltd. | | | 2,000 | | | | 17,436 | | |
| The Bank of Kyoto, Ltd. | | | 3,000 | | | | 24,258 | | |
| The Bank of Yokohama, Ltd. | | | 24,000 | | | | 109,474 | | |
| The Chiba Bank, Ltd. | | | 17,992 | | | | 107,659 | | |
| The Daishi Bank, Ltd. | | | 5,000 | | | | 16,713 | | |
| The Gunma Bank, Ltd. | | | 992 | | | | 5,076 | | |
| The Hiroshima Bank, Ltd§ | | | 25,885 | | | | 99,783 | | |
| The Iyo Bank, Ltd. | | | 2,000 | | | | 16,278 | | |
| The Keiyo Bank, Ltd. | | | 8,000 | | | | 35,607 | | |
| The Nishi-Nippon City Bank, Ltd. | | | 21,997 | | | | 53,887 | | |
| The San-In Godo Bank, Ltd. | | | 7,000 | | | | 54,556 | | |
| The Shizuoka Bank, Ltd | | | 4,000 | | | | 34,833 | | |
| The Sumitomo Trust & Banking Co., Ltd.§ | | | 23,720 | | | | 116,516 | | |
| The Tohoku Bank, Ltd. | | | 4,000 | | | | 6,044 | | |
| The Yamanashi Chuo Bank Ltd | | | 6,000 | | | | 23,974 | | |
| Yamaguchi Financial Group, Inc. | | | 4,973 | | | | 46,182 | | |
| | | | 2,556,685 | | |
| Commercial Services & Supplies (0.4%) | |
| Dai Nippon Printing Co., Ltd. | | | 12,000 | | | | 153,067 | | |
| Itoki Corp. | | | 11,604 | | | | 22,835 | | |
| Kokuyo Co., Ltd. | | | 4,400 | | | | 35,132 | | |
| Nichiban Co., Ltd. | | | 5,000 | | | | 15,334 | | |
| Nippon Kucho Service Co., Ltd. | | | 1,000 | | | | 7,643 | | |
| Oyo Corp. | | | 400 | | | | 3,573 | | |
| Secom Co., Ltd. | | | 3,153 | | | | 149,824 | | |
| Sohgo Security Services Co., Ltd. | | | 1,200 | | | | 13,458 | | |
| Takano Co., Ltd. | | | 346 | | | | 1,692 | | |
| Toppan Printing Co., Ltd. | | | 16,603 | | | | 135,243 | | |
See Accompanying Notes to Financial Statements.
23
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Commercial Services & Supplies | |
| Tosho Printing Co., Ltd. | | | 17,499 | | | $ | 29,984 | | |
| Uchida Yoko Co., Ltd. | | | 6,000 | | | | 15,789 | | |
| | | | 583,574 | | |
| Communications Equipment (0.0%) | |
| Denki Kogyo Co., Ltd. | | | 9 | | | | 39 | | |
| Computers & Peripherals (0.5%) | |
| Fujitsu, Ltd.§ | | | 42,000 | | | | 272,631 | | |
| NEC Corp.* | | | 33,260 | | | | 86,011 | | |
| Toshiba Corp.*§ | | | 49,871 | | | | 276,848 | | |
| | | | 635,490 | | |
| Construction & Engineering (0.3%) | |
| Ando Corp. | | | 3,000 | | | | 3,282 | | |
| Chugai Ro Co., Ltd. | | | 12,000 | | | | 31,487 | | |
| Kajima Corp. | | | 16,000 | | | | 32,387 | | |
| Kokusai Kogyo Holdings Co., Ltd.* | | | 1,000 | | | | 2,509 | | |
| Kyudenko Corp. | | | 1,000 | | | | 5,978 | | |
| Maeda Corp.§ | | | 5,697 | | | | 15,563 | | |
| Nippo Corp. | | | 1,944 | | | | 13,892 | | |
| Nippon Koei Co., Ltd. | | | 7,000 | | | | 21,164 | | |
| Nishimatsu Construction Co., Ltd. | | | 12,750 | | | | 13,890 | | |
| Obayashi Corp.§ | | | 9,992 | | | | 34,026 | | |
| Obayashi Road Corp. | | | 7,000 | | | | 10,601 | | |
| Raito Kogyo Co., Ltd. | | | 2,100 | | | | 4,506 | | |
| Shinnihon Corp. | | | 4,808 | | | | 7,199 | | |
| Taihei Kogyo Co., Ltd. | | | 129 | | | | 541 | | |
| Taisei Corp. | | | 38,000 | | | | 65,228 | | |
| Tekken Corp.* | | | 4,000 | | | | 3,460 | | |
| The Nippon Road Co., Ltd. | | | 14,000 | | | | 28,066 | | |
| Toa Corp. | | | 26,000 | | | | 25,632 | | |
| Totetsu Kogyo Co., Ltd. | | | 57 | | | | 314 | | |
| Toyo Engineering Corp. | | | 11,000 | | | | 32,399 | | |
| | | | 352,124 | | |
| Construction Materials (0.0%) | |
| Okabe Co., Ltd. | | | 20 | | | | 65 | | |
| Shinagawa Refractories Co., Ltd. | | | 2,308 | | | | 5,390 | | |
| Sumitomo Osaka Cement Co., Ltd. | | | 18,515 | | | | 28,483 | | |
| Taiheiyo Cement Corp.*§ | | | 20,987 | | | | 23,951 | | |
| | | | 57,889 | | |
| Consumer Finance (0.1%) | |
| Acom Co., Ltd.§ | | | 460 | | | | 7,006 | | |
| Credit Saison Co., Ltd.§ | | | 845 | | | | 9,468 | | |
| ORIX Corp.§ | | | 1,675 | | | | 114,090 | | |
| Takefuji Corp. | | | 6 | | | | 25 | | |
| | | | 130,589 | | |
See Accompanying Notes to Financial Statements.
24
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Containers & Packaging (0.1%) | |
| FP Corp.§ | | | 900 | | | $ | 40,638 | | |
| Hokkan Holdings, Ltd. | | | 12,000 | | | | 28,057 | | |
| Rengo Co., Ltd. | | | 3,000 | | | | 17,839 | | |
| Tomoku Co., Ltd. | | | 5,000 | | | | 10,915 | | |
| Toyo Seikan Kaisha, Ltd. | | | 1,860 | | | | 28,347 | | |
| | | | 125,796 | | |
| Distributors (0.0%) | |
| Canon Marketing Japan, Inc.§ | | | 1,600 | | | | 23,588 | | |
| Naigai Co., Ltd.* | | | 20,000 | | | | 10,602 | | |
| Sankyo Seiko Co., Ltd. | | | 890 | | | | 2,248 | | |
| | | | 36,438 | | |
| Diversified Consumer Services (0.0%) | |
| Benesse Corp. | | | 1,200 | | | | 50,195 | | |
| Watabe Wedding Corp. | | | 440 | | | | 4,822 | | |
| | | | 55,017 | | |
| Diversified Financial Services (0.0%) | |
| Daiko Clearing Services Corp. | | | 100 | | | | 405 | | |
| Diversified Telecommunication Services (0.3%) | |
| Nippon Telegraph & Telephone Corp. | | | 9,200 | | | | 363,584 | | |
| Electric Utilities (0.9%) | |
| Chubu Electric Power Co., Inc.§ | | | 12,597 | | | | 300,638 | | |
| Hokuriku Electric Power Co.§ | | | 3,001 | | | | 65,552 | | |
| Kyushu Electric Power Co., Inc. | | | 300 | | | | 6,182 | | |
| The Kansai Electric Power Co., Inc.§ | | | 11,296 | | | | 255,021 | | |
| The Tokyo Electric Power Co., Inc. | | | 17,800 | | | | 446,944 | | |
| Tohoku Electric Power Co., Inc. | | | 4,200 | | | | 83,269 | | |
| | | | 1,157,606 | | |
| Electrical Equipment (0.3%) | |
| Fuji Electric Holdings Co., Ltd.*§ | | | 11,000 | | | | 19,032 | | |
| Fujikura Ltd. | | | 2,000 | | | | 10,422 | | |
| Furukawa Electric Co., Ltd.§ | | | 4,000 | | | | 16,712 | | |
| Mitsubishi Electric Corp.* | | | 30,654 | | | | 227,816 | | |
| Sumitomo Electric Industries, Ltd. | | | 13,100 | | | | 163,242 | | |
| Toko Electric Corp. | | | 594 | | | | 3,010 | | |
| | | | 440,234 | | |
| Electronic Equipment, Instruments & Components (1.2%) | |
| CMK Corp.*§ | | | 540 | | | | 3,910 | | |
| FUJIFILM Holdings Corp. | | | 8,792 | | | | 265,638 | | |
| Hirose Electric Co., Ltd.§ | | | 359 | | | | 37,657 | | |
| Hitachi, Ltd.* | | | 45,874 | | | | 141,083 | | |
| Hosiden Corp.§ | | | 386 | | | | 4,135 | | |
See Accompanying Notes to Financial Statements.
25
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Electronic Equipment, Instruments & Components | |
| HOYA Corp.§ | | | 6,000 | | | $ | 160,164 | | |
| Ibiden Co., Ltd.§ | | | 1,397 | | | | 50,124 | | |
| JBCC Holdings, Inc. | | | 4,700 | | | | 29,236 | | |
| Keyence Corp. | | | 382 | | | | 79,316 | | |
| Kyocera Corp. | | | 2,086 | | | | 183,794 | | |
| Mitsumi Electric Co., Ltd. | | | 488 | | | | 8,623 | | |
| Murata Manufacturing Co., Ltd. | | | 3,018 | | | | 150,685 | | |
| Nidec Corp.§ | | | 1,166 | | | | 107,811 | | |
| Nippon Electric Glass Co., Ltd.§ | | | 2,000 | | | | 27,540 | | |
| Oki Electric Industry Co., Ltd.* | | | 7,152 | | | | 5,936 | | |
| Ryosan Co., Ltd. | | | 4,684 | | | | 110,251 | | |
| Ryoyo Electro Corp. | | | 3,100 | | | | 24,631 | | |
| Sanshin Electronics Co., Ltd. | | | 3,000 | | | | 20,605 | | |
| Shimadzu Corp.§ | | | 1,825 | | | | 12,161 | | |
| Shinko Shoji Co., Ltd. | | | 1,000 | | | | 7,945 | | |
| SMK Corp.§ | | | 5,516 | | | | 31,876 | | |
| Sun-Wa Technos Corp. | | | 500 | | | | 2,165 | | |
| TDK Corp.§ | | | 982 | | | | 60,038 | | |
| Yokogawa Electric Corp.§ | | | 1,281 | | | | 11,318 | | |
| | | | 1,536,642 | | |
| Food & Staples Retailing (0.4%) | |
| Aeon Co., Ltd.§ | | | 8,098 | | | | 65,757 | | |
| Cawachi, Ltd. | | | 500 | | | | 8,969 | | |
| CVS Bay Area, Inc. | | | 1,000 | | | | 1,241 | | |
| Echo Trading Co., Ltd. | | | 1,257 | | | | 12,651 | | |
| Itochu-Shokuhin Co., Ltd. | | | 1,025 | | | | 34,335 | | |
| Izumiya Co., Ltd. | | | 14,782 | | | | 63,458 | | |
| Kato Sangyo Co., Ltd. | | | 800 | | | | 14,648 | | |
| Kirindo Co., Ltd. | | | 600 | | | | 2,564 | | |
| Matsumotokiyoshi Holdings Co., Ltd. | | | 200 | | | | 4,405 | | |
| Seven & I Holdings Co., Ltd. | | | 15,600 | | | | 318,664 | | |
| Tohto Suisan Co., Ltd. | | | 10,305 | | | | 15,823 | | |
| | | | 542,515 | | |
| Food Products (0.3%) | |
| Ajinomoto Co., Inc. | | | 5,089 | | | | 47,918 | | |
| Chubu Shiryo Co., Ltd | | | 333 | | | | 3,212 | | |
| Kyokuyo Co., Ltd. | | | 6,231 | | | | 12,359 | | |
| Maruha Nichiro Holdings, Inc.§ | | | 27,000 | | | | 36,869 | | |
| Morinaga & Co., Ltd. | | | 8,000 | | | | 16,793 | | |
| Nippon Meat Packers, Inc. | | | 2,000 | | | | 23,165 | | |
| Nippon Suisan Kaisha, Ltd.§ | | | 4,000 | | | | 11,301 | | |
| Prima Meat Packers, Ltd. | | | 1,000 | | | | 1,022 | | |
| QP Corp.§ | | | 8,900 | | | | 94,785 | | |
| Showa Sangyo Co., Ltd. | | | 18,000 | | | | 58,320 | | |
| Starzen Co., Ltd. | | | 3,000 | | | | 7,580 | | |
See Accompanying Notes to Financial Statements.
26
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Food Products | |
| Warabeya Nichiyo Co., Ltd. | | | 2,278 | | | $ | 25,460 | | |
| Yaizu Suisankagaku Industry Co., Ltd. | | | 21 | | | | 244 | | |
| Yonekyu Corp. | | | 1,000 | | | | 8,525 | | |
| | | | 347,553 | | |
| Gas Utilities (0.2%) | |
| Osaka Gas Co., Ltd. | | | 26,000 | | | | 87,665 | | |
| Tokyo Gas Co., Ltd. | | | 38,000 | | | | 151,747 | | |
| | | | 239,412 | | |
| Health Care Equipment & Supplies (0.1%) | |
| Aloka Co., Ltd.§ | | | 1,200 | | | | 8,468 | | |
| Hitachi Medical Corp. | | | 1,000 | | | | 8,354 | | |
| Nipro Corp. | | | 2,000 | | | | 41,388 | | |
| Olympus Corp.§ | | | 1,622 | | | | 52,318 | | |
| Terumo Corp.§ | | | 1,255 | | | | 75,671 | | |
| | | | 186,199 | | |
| Health Care Providers & Services (0.1%) | |
| Alfresa Holdings Corp. | | | 900 | | | | 35,799 | | |
| Mediceo Paltac Holdings Co., Ltd. | | | 424 | | | | 5,258 | | |
| Nichii Gakkan Co. | | | 1,200 | | | | 10,704 | | |
| Ship Healthcare Holdings, Inc. | | | 19 | | | | 10,437 | | |
| Suzuken Co., Ltd. | | | 611 | | | | 20,103 | | |
| | | | 82,301 | | |
| Hotels, Restaurants & Leisure (0.1%) | |
| Doutor Nichires Holdings Co., Ltd. | | | 688 | | | | 8,866 | | |
| Kappa Create Co., Ltd. | | | 100 | | | | 2,174 | | |
| Kyoritsu Maintenance Co., Ltd. | | | 1,249 | | | | 17,256 | | |
| McDonald's Holdings Co. Japan, Ltd.§ | | | 828 | | | | 15,843 | | |
| Oriental Land Co. Japan, Ltd. | | | 400 | | | | 26,331 | | |
| Resorttrust, Inc. | | | 3,702 | | | | 43,779 | | |
| Round One Corp. | | | 4,415 | | | | 26,197 | | |
| | | | 140,446 | | |
| Household Durables (0.9%) | |
| Casio Computer Co., Ltd.§ | | | 1,942 | | | | 15,553 | | |
| Foster Electric Co., Ltd. | | | 11 | | | | 327 | | |
| Fuji Corp. | | | 1,300 | | | | 4,578 | | |
| Funai Electric Co., Ltd. | | | 100 | | | | 5,024 | | |
| Haseko Corp.*§ | | | 1,000 | | | | 714 | | |
| Makita Corp. | | | 1,289 | | | | 44,294 | | |
| Meiwa Estate Co., Ltd.* | | | 4,377 | | | | 20,314 | | |
| Panasonic Corp.§ | | | 25,880 | | | | 372,739 | | |
| Sanyo Electric Co., Ltd.*§ | | | 17,715 | | | | 32,736 | | |
| Sekisui Chemical Co., Ltd. | | | 9,000 | | | | 56,012 | | |
See Accompanying Notes to Financial Statements.
27
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Household Durables | |
| Sekisui House, Ltd.§ | | | 8,000 | | | $ | 72,658 | | |
| Sharp Corp.§ | | | 12,983 | | | | 164,023 | | |
| Sony Corp. | | | 12,138 | | | | 353,025 | | |
| Token Corp.§ | | | 120 | | | | 2,694 | | |
| Touei Housing Corp.*§ | | | 1,100 | | | | 9,217 | | |
| | | | 1,153,908 | | |
| Household Products (0.2%) | |
| Kao Corp. | | | 7,000 | | | | 164,128 | | |
| Lion Corp. | | | 5,000 | | | | 24,401 | | |
| Unicharm Corp. | | | 300 | | | | 28,136 | | |
| | | | 216,665 | | |
| Independent Power Producers & Energy Traders (0.1%) | |
| Electric Power Development Co., Ltd. | | | 2,700 | | | | 76,802 | | |
| Industrial Conglomerates (0.0%) | |
| Hankyu Hanshin Holdings, Inc. | | | 1,000 | | | | 4,462 | | |
| Insurance (0.7%) | |
| Aioi Insurance Co., Ltd. | | | 14,564 | | | | 69,842 | | |
| Mitsui Sumitomo Insurance Group Holdings, Inc. | | | 7,100 | | | | 181,420 | | |
| Sompo Japan Insurance, Inc. | | | 32,902 | | | | 212,225 | | |
| Sony Financial Holdings, Inc. | | | 38 | | | | 98,935 | | |
| T&D Holdings, Inc. | | | 2,489 | | | | 51,209 | | |
| The Fuji Fire & Marine Insurance Co., Ltd.* | | | 9,226 | | | | 8,959 | | |
| Tokio Marine Holdings, Inc. | | | 12,648 | | | | 345,302 | | |
| | | | 967,892 | | |
| Internet & Catalog Retail (0.1%) | |
| ASKUL Corp. | | | 12 | | | | 218 | | |
| Belluna Co., Ltd. | | | 10,800 | | | | 43,732 | | |
| Nissen Holdings Co., Ltd. | | | 300 | | | | 889 | | |
| Rakuten, Inc.*§ | | | 106 | | | | 80,736 | | |
| Senshukai Co., Ltd. | | | 2,700 | | | | 13,733 | | |
| | | | 139,308 | | |
| Internet Software & Services (0.1%) | |
| eAccess, Ltd.§ | | | 106 | | | | 62,329 | | |
| Yahoo! Japan Corp.§ | | | 88 | | | | 26,470 | | |
| | | | 88,799 | | |
| IT Services (0.1%) | |
| IT Holdings Corp. | | | 3,201 | | | | 36,654 | | |
| JBIS Holdings, Inc. | | | 3,168 | | | | 10,742 | | |
| Nihon Unisys, Ltd. | | | 2,800 | | | | 20,046 | | |
| Nomura Research Institute, Ltd. | | | 400 | | | | 7,870 | | |
| NTT Data Corp. | | | 5 | | | | 15,511 | | |
| | | | 90,823 | | |
See Accompanying Notes to Financial Statements.
28
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Leisure Equipment & Products (0.1%) | |
| Heiwa Corp. | | | 3,800 | | | $ | 38,872 | | |
| Namco Bandai Holdings, Inc. | | | 1,000 | | | | 9,557 | | |
| Nikon Corp. | | | 885 | | | | 17,483 | | |
| Noritsu Koki Co., Ltd. | | | 1,544 | | | | 10,498 | | |
| Sankyo Co., Ltd. | | | 1,254 | | | | 62,819 | | |
| Tamron Co., Ltd. | | | 323 | | | | 3,296 | | |
| Yamaha Corp. | | | 100 | | | | 1,205 | | |
| | | | 143,730 | | |
| Machinery (0.9%) | |
| Aida Engineering, Ltd. | | | 4,700 | | | | 13,748 | | |
| Amada Co., Ltd. | | | 10,279 | | | | 64,411 | | |
| Amano Corp. | | | 300 | | | | 2,576 | | |
| Asahi Diamond Industrial Co., Ltd. | | | 833 | | | | 5,980 | | |
| Daiwa Industries, Ltd. | | | 87 | | | | 402 | | |
| Fanuc, Ltd.§ | | | 1,958 | | | | 182,568 | | |
| Hitachi Zosen Corp.* | | | 19,500 | | | | 26,570 | | |
| Hosokawa Micron Corp. | | | 1,000 | | | | 3,688 | | |
| IHI Corp.*§ | | | 25,000 | | | | 39,886 | | |
| JTEKT Corp. | | | 892 | | | | 11,478 | | |
| Juki Corp.*§ | | | 4,000 | | | | 4,116 | | |
| Kinki Sharyo Co., Ltd.§ | | | 3,000 | | | | 23,528 | | |
| Kitakawa Iron Works Co., Ltd. | | | 3,000 | | | | 2,679 | | |
| Komatsu, Ltd. | | | 9,748 | | | | 204,154 | | |
| Kubota Corp.§ | | | 10,000 | | | | 91,798 | | |
| Kyokuto Kaihatsu Kogyo Co., Ltd. | | | 3,200 | | | | 11,784 | | |
| Maezawa Industries, Inc.* | | | 200 | | | | 354 | | |
| Minebea Co., Ltd. | | | 12,878 | | | | 69,912 | | |
| Mitsubishi Heavy Industries, Ltd.§ | | | 41,000 | | | | 144,668 | | |
| Mitsuboshi Belting Co., Ltd. | | | 1,000 | | | | 3,998 | | |
| Mitsui Engineering & Shipbuilding Co., Ltd.§ | | | 40,072 | | | | 96,552 | | |
| Nachi-Fujikoshi Corp. | | | 707 | | | | 1,532 | | |
| NGK Insulators, Ltd. | | | 1,009 | | | | 22,076 | | |
| NTN Corp. | | | 3,796 | | | | 17,158 | | |
| OKK Corp.* | | | 17,000 | | | | 13,209 | | |
| Ryobi, Ltd.* | | | 1,000 | | | | 2,621 | | |
| Shinmaywa Industries, Ltd. | | | 2,000 | | | | 6,120 | | |
| Sintokogio, Ltd. | | | 6,300 | | | | 44,884 | | |
| SMC Corp.§ | | | 493 | | | | 56,316 | | |
| Sumitomo Heavy Industries, Ltd.* | | | 7,908 | | | | 40,053 | | |
| Tsudakoma Corp.* | | | 7,345 | | | | 8,899 | | |
| | | | 1,217,718 | | |
| Marine (0.2%) | |
| Kawasaki Kisen Kaisha, Ltd.*§ | | | 13,000 | | | | 37,161 | | |
| Mitsui OSK Lines, Ltd.§ | | | 22,000 | | | | 116,269 | | |
| Nippon Yusen KK | | | 19,706 | | | | 60,717 | | |
| | | | 214,147 | | |
See Accompanying Notes to Financial Statements.
29
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Media (0.2%) | |
| Amuse, Inc. | | | 700 | | | $ | 7,379 | | |
| Avex Group Holdings, Inc.§ | | | 4,300 | | | | 34,242 | | |
| Dentsu, Inc.§ | | | 2,200 | | | | 50,673 | | |
| Gakken Co., Ltd.§ | | | 4,414 | | | | 11,214 | | |
| Jupiter Telecommunications Co., Ltd.§ | | | 31 | | | | 30,688 | | |
| Kadokawa Group Holdings, Inc.§ | | | 500 | | | | 11,707 | | |
| Nippon Television Network Corp. | | | 110 | | | | 14,304 | | |
| SKY Perfect JSAT Holdings, Inc. | | | 166 | | | | 66,140 | | |
| Toei Co., Ltd. | | | 5,000 | | | | 26,658 | | |
| TV Asahi Corp. | | | 7 | | | | 9,982 | | |
| | | | 262,987 | | |
| Metals & Mining (0.6%) | |
| Dowa Holdings Co., Ltd. | | | 5,000 | | | | 27,677 | | |
| JFE Holdings, Inc.§ | | | 5,900 | | | | 233,320 | | |
| Kobe Steel, Ltd.* | | | 12,621 | | | | 22,882 | | |
| Mitsubishi Materials Corp.*§ | | | 8,262 | | | | 20,216 | | |
| Nakayama Steel Works, Ltd. | | | 11,429 | | | | 15,677 | | |
| Nippon Metal Industry Co., Ltd.§ | | | 4,000 | | | | 6,031 | | |
| Nippon Steel Corp.§ | | | 65,977 | | | | 267,453 | | |
| Nisshin Steel Co., Ltd.§ | | | 17,000 | | | | 30,068 | | |
| Sanyo Special Steel Co., Ltd.§ | | | 1,733 | | | | 7,581 | | |
| Sumitomo Metal Industries, Ltd. | | | 27,263 | | | | 73,316 | | |
| Sumitomo Metal Mining Co., Ltd. | | | 9,000 | | | | 132,875 | | |
| Tokyo Tekko Co., Ltd. | | | 39 | | | | 113 | | |
| Topy Industries, Ltd. | | | 11,000 | | | | 19,937 | | |
| | | | 857,146 | | |
| Multiline Retail (0.1%) | |
| Isetan Mitsukoshi Holdings, Ltd.§ | | | 4,758 | | | | 42,980 | | |
| Marui Group Co., Ltd. | | | 6,296 | | | | 38,783 | | |
| | | | 81,763 | | |
| Office Electronics (0.7%) | |
| Brother Industries, Ltd.§ | | | 2,400 | | | | 27,613 | | |
| Canon, Inc. | | | 14,514 | | | | 617,669 | | |
| Konica Minolta Holdings, Inc. | | | 6,673 | | | | 68,796 | | |
| Ricoh Co., Ltd.§ | | | 7,985 | | | | 114,464 | | |
| Riso Kagaku Corp. | | | 2,842 | | | | 22,756 | | |
| Toshiba TEC Corp.* | | | 2,000 | | | | 7,584 | | |
| | | | 858,882 | | |
| Oil, Gas & Consumable Fuels (0.5%) | |
| AOC Holdings, Inc. | | | 2,851 | | | | 15,279 | | |
| Cosmo Oil Co., Ltd.§ | | | 29,802 | | | | 62,648 | | |
| Idemitsu Kosan Co., Ltd.§ | | | 675 | | | | 39,423 | | |
| INPEX Corp.§ | | | 15 | | | | 113,465 | | |
See Accompanying Notes to Financial Statements.
30
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Oil, Gas & Consumable Fuels | |
| Itochu Enex Co., Ltd. | | | 10,133 | | | $ | 41,754 | | |
| Nippon Mining Holdings, Inc. | | | 24,824 | | | | 106,586 | | |
| Nippon Oil Corp.§ | | | 45,000 | | | | 208,714 | | |
| Showa Shell Sekiyu KK§ | | | 2,400 | | | | 19,569 | | |
| | | | 607,438 | | |
| Paper & Forest Products (0.1%) | |
| Mitsubishi Paper Mills, Ltd. | | | 10,627 | | | | 12,500 | | |
| Nakabayashi Co., Ltd. | | | 12,857 | | | | 26,794 | | |
| Nippon Paper Group, Inc. | | | 1,100 | | | | 28,084 | | |
| OJI Paper Co., Ltd. | | | 34 | | | | 143 | | |
| Tokushu Tokai Holdings Co., Ltd. | | | 1,000 | | | | 2,457 | | |
| | | | 69,978 | | |
| Personal Products (0.0%) | |
| Shiseido Company, Ltd.§ | | | 3,000 | | | | 57,682 | | |
| Pharmaceuticals (1.1%) | |
| Astellas Pharma, Inc. | | | 9,700 | | | | 362,051 | | |
| Daiichi Sankyo Co., Ltd. | | | 10,191 | | | | 213,812 | | |
| Eisai Co., Ltd.§ | | | 2,100 | | | | 77,242 | | |
| Hisamitsu Pharmaceutical Co., Inc. | | | 400 | | | | 12,924 | | |
| Kyorin Co., Ltd. | | | 1,000 | | | | 14,657 | | |
| Mitsubishi Tanabe Pharma Corp.§ | | | 5,000 | | | | 62,416 | | |
| Ono Pharmaceutical Co., Ltd. | | | 1,300 | | | | 55,831 | | |
| Shionogi & Co., Ltd. | | | 34 | | | | 738 | | |
| SSP Co., Ltd.§ | | | 6,000 | | | | 31,945 | | |
| Taisho Pharmaceutical Co., Ltd. | | | 4,661 | | | | 80,229 | | |
| Takeda Pharmaceutical Co., Ltd. | | | 12,900 | | | | 531,724 | | |
| | | | 1,443,569 | | |
| Professional Services (0.0%) | |
| Arrk Corp.* | | | 214 | | | | 141 | | |
| Real Estate Investment Trusts (0.1%) | |
| Japan Prime Realty Investment Corp. | | | 1 | | | | 2,079 | | |
| Japan Real Estate Investment Corp.§ | | | 3 | | | | 22,125 | | |
| Japan Retail Fund Investment Corp. | | | 1 | | | | 4,499 | | |
| Nippon Building Fund, Inc.§ | | | 4 | | | | 30,413 | | |
| Nomura Real Estate Office Fund, Inc. | | | 3 | | | | 16,323 | | |
| | | | 75,439 | | |
| Real Estate Management & Development (0.4%) | |
| Daikyo, Inc.* | | | 3,000 | | | | 6,466 | | |
| Daito Trust Construction Co., Ltd. | | | 993 | | | | 47,037 | | |
| Daiwa House Industry Co., Ltd. | | | 2,814 | | | | 30,271 | | |
| Heiwa Real Estate Co., Ltd. | | | 4,000 | | | | 12,874 | | |
| Iida Home Max | | | 100 | | | | 1,594 | | |
See Accompanying Notes to Financial Statements.
31
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Real Estate Management & Development | |
| Kenedix, Inc.*§ | | | 19 | | | $ | 6,151 | | |
| Leopalace21 Corp.* | | | 4,050 | | | | 16,788 | | |
| Mitsubishi Estate Co., Ltd. | | | 9,559 | | | | 152,683 | | |
| Mitsui Fudosan Co., Ltd. | | | 8,910 | | | | 150,717 | | |
| Nisshin Fudosan Co., Ltd | | | 700 | | | | 2,970 | | |
| Sumitomo Realty & Development Co., Ltd.§ | | | 4,863 | | | | 91,841 | | |
| Suncity Co. Ltd.* | | | 81 | | | | 1,970 | | |
| Tokyo Tatemono Co., Ltd. | | | 10,000 | | | | 38,484 | | |
| Tokyu Land Corp.§ | | | 6,811 | | | | 25,311 | | |
| Yuraku Real Estate Co., Ltd. | | | 1,000 | | | | 3,173 | | |
| | | | 588,330 | | |
| Road & Rail (0.7%) | |
| Central Japan Railway Co.§ | | | 28 | | | | 187,493 | | |
| East Japan Railway Co. | | | 6,400 | | | | 405,171 | | |
| Keihin Electric Express Railway Co., Ltd. | | | 17 | | | | 125 | | |
| Keisei Electric Railway Co., Ltd.§ | | | 6,761 | | | | 37,002 | | |
| Kintetsu Corp.§ | | | 3,055 | | | | 10,130 | | |
| Maruwn Corp. | | | 1,000 | | | | 2,385 | | |
| Maruzen Showa Unyu Co., Ltd. | | | 1,000 | | | | 3,223 | | |
| Nagoya Railroad Co., Ltd. | | | 6,000 | | | | 17,447 | | |
| Nippon Express Co., Ltd. | | | 16,000 | | | | 66,105 | | |
| Seino Holdings Corp. | | | 1,000 | | | | 6,350 | | |
| Tobu Railway Co., Ltd.§ | | | 4,000 | | | | 20,890 | | |
| Tokyu Corp. | | | 19,000 | | | | 75,693 | | |
| West Japan Railway Co. | | | 33 | | | | 110,685 | | |
| | | | 942,699 | | |
| Semiconductors & Semiconductor Equipment (0.2%) | |
| Advantest Corp.§ | | | 684 | | | | 17,827 | | |
| Elpida Memory, Inc.* | | | 400 | | | | 6,522 | | |
| Mimasu Semiconductor Industry Co., Ltd. | | | 200 | | | | 2,404 | | |
| NEC Electronics Corp.* | | | 42 | | | | 349 | | |
| Rohm Co., Ltd. | | | 1,098 | | | | 71,689 | | |
| Shinko Electric Industries Co., Ltd.§ | | | 2,100 | | | | 30,582 | | |
| Sumco Corp.§ | | | 500 | | | | 8,839 | | |
| Tokyo Electron, Ltd.§ | | | 1,766 | | | | 113,405 | | |
| | | | 251,617 | | |
| Software (0.3%) | |
| DTS Corp. | | | 100 | | | | 947 | | |
| Konami Corp.§ | | | 2,199 | | | | 39,279 | | |
| Nintendo Co., Ltd.§ | | | 1,600 | | | | 382,303 | | |
| Nippon Systemware Co., Ltd. | | | 300 | | | | 956 | | |
| SRA Holdings | | | 4,378 | | | | 38,644 | | |
| | | | 462,129 | | |
See Accompanying Notes to Financial Statements.
32
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Specialty Retail (0.4%) | |
| AOKI Holdings, Inc. | | | 5,300 | | | $ | 52,760 | | |
| Aoyama Trading Co., Ltd. | | | 3,118 | | | | 39,816 | | |
| Autobacs Seven Co., Ltd. | | | 1,053 | | | | 31,345 | | |
| Best Denki Co., Ltd. | | | 6,725 | | | | 23,437 | | |
| BIC CAMERA, Inc. | | | 54 | | | | 19,225 | | |
| Chiyoda Co., Ltd.§ | | | 4,404 | | | | 56,979 | | |
| DCM Japan Holdings Co., Ltd.§ | | | 6,000 | | | | 34,905 | | |
| EDION Corp.§ | | | 500 | | | | 5,405 | | |
| Fast Retailing Co., Ltd. | | | 472 | | | | 88,746 | | |
| Geo Corp.§ | | | 21 | | | | 21,182 | | |
| Hard Off Corp. Co., Ltd. | | | 15 | | | | 71 | | |
| Hikari Tsushin, Inc. | | | 800 | | | | 14,581 | | |
| Joshin Denki Co., Ltd. | | | 1,000 | | | | 7,810 | | |
| K+S AG | | | 900 | | | | 27,029 | | |
| Keiyo Co. Ltd.§ | | | 4,000 | | | | 17,119 | | |
| Kohnan Shoji Co., Ltd.§ | | | 800 | | | | 8,610 | | |
| Kojima Co., Ltd.§ | | | 2,000 | | | | 11,735 | | |
| PARIS MIKI HOLDING, Inc.§ | | | 2,836 | | | | 23,819 | | |
| Point, Inc. | | | 2 | | | | 112 | | |
| Right On Co., Ltd. | | | 957 | | | | 7,389 | | |
| USS Co., Ltd. | | | 41 | | | | 2,504 | | |
| Xebio Co., Ltd. | | | 100 | | | | 1,764 | | |
| Yamada Denki Co., Ltd.§ | | | 978 | | | | 66,006 | | |
| Yellow Hat, Ltd. | | | 1,500 | | | | 11,044 | | |
| | | | 573,393 | | |
| Textiles, Apparel & Luxury Goods (0.1%) | |
| Atsugi Co., Ltd. | | | 250 | | | | 302 | | |
| Kurabo Industries, Ltd. | | | 11,652 | | | | 17,764 | | |
| Nisshinbo Holdings, Inc.§ | | | 7,969 | | | | 73,868 | | |
| Renown, Inc.* | | | 5,759 | | | | 9,434 | | |
| Sanei-International Co., Ltd. | | | 200 | | | | 1,853 | | |
| Tasaki Shinju Co., Ltd.* | | | 2,000 | | | | 2,189 | | |
| | | | 105,410 | | |
| Tobacco (0.2%) | |
| Japan Tobacco, Inc.§ | | | 63 | | | | 212,810 | | |
| Trading Companies & Distributors (1.0%) | |
| Daiichi Jitsugyo Co., Ltd. | | | 2,000 | | | | 5,201 | | |
| Hanwa Co., Ltd. | | | 12,000 | | | | 43,643 | | |
| Inaba Denki Sangyo Co., Ltd | | | 500 | | | | 11,457 | | |
| ITOCHU Corp. | | | 22,621 | | | | 167,168 | | |
| Kamei Corp. | | | 3,000 | | | | 14,181 | | |
| Kanamoto Co., Ltd. | | | 2,125 | | | | 9,039 | | |
| Kanematsu Corp.*§ | | | 11,745 | | | | 8,749 | | |
| Kuroda Electric Co., Ltd.§ | | | 1,214 | | | | 17,687 | | |
See Accompanying Notes to Financial Statements.
33
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Trading Companies & Distributors | |
| Kyokuto Boeki Kaisha, Ltd. | | | 7,666 | | | $ | 9,569 | | |
| Marubeni Corp.§ | | | 25,827 | | | | 142,729 | | |
| Mitsubishi Corp.§ | | | 12,515 | | | | 311,865 | | |
| Mitsui & Co., Ltd. | | | 17,683 | | | | 250,961 | | |
| Seika Corp. | | | 21,577 | | | | 46,099 | | |
| Sojitz Corp. | | | 51,876 | | | | 98,196 | | |
| Sumitomo Corp.§ | | | 20,079 | | | | 204,547 | | |
| Tokyo Sangyo Co. Ltd. | | | 1,000 | | | | 2,640 | | |
| Tomoe Engineering Co., Ltd. | | | 300 | | | | 4,030 | | |
| Toyota Tsusho Corp. | | | 500 | | | | 7,402 | | |
| Yuasa Trading Co., Ltd. | | | 24,000 | | | | 19,439 | | |
| | | | 1,374,602 | | |
| Wireless Telecommunication Services (0.5%) | |
| KDDI Corp. | | | 31 | | | | 164,269 | | |
| NTT DoCoMo, Inc.§ | | | 178 | | | | 248,503 | | |
| Softbank Corp.§ | | | 8,500 | | | | 199,349 | | |
| | | | 612,121 | | |
| TOTAL JAPAN | | | 29,242,353 | | |
| Luxembourg (1.5%) | |
| Energy Equipment & Services (0.6%) | |
| Acergy SA§ | | | 2,262 | | | | 35,712 | | |
| Tenaris SA | | | 30,412 | | | | 655,955 | | |
| Tenaris SA | | | 4,790 | | | | 101,068 | | |
| | | | 792,735 | | |
| Media (0.0%) | |
| SES SA | | | 2,217 | | | | 49,985 | | |
| Metals & Mining (0.9%) | |
| ArcelorMittal§ | | | 24,727 | | | | 1,131,124 | | |
| TOTAL LUXEMBOURG | | | 1,973,844 | | |
| Netherlands (5.5%) | |
| Aerospace & Defense (0.5%) | |
| European Aeronautic Defence & Space Co. NV§ | | | 35,168 | | | | 707,508 | | |
| Air Freight & Logistics (0.5%) | |
| TNT NV | | | 21,981 | | | | 675,898 | | |
| Chemicals (0.3%) | |
| Akzo Nobel NV§ | | | 2,941 | | | | 195,195 | | |
| Koninklijke DSM NV | | | 3,870 | | | | 190,306 | | |
| | | | 385,501 | | |
| Computers & Peripherals (0.4%) | |
| Gemalto NV*§ | | | 13,150 | | | | 572,560 | | |
See Accompanying Notes to Financial Statements.
34
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Netherlands | |
| Construction & Engineering (0.1%) | |
| Koninklijke BAM Groep NV§ | | | 7,927 | | | $ | 82,041 | | |
| Construction Materials (0.0%) | |
| James Hardie Industries NV* | | | 2,865 | | | | 21,819 | | |
| Diversified Financial Services (0.9%) | |
| ING Groep NV* | | | 80,182 | | | | 772,829 | | |
| SNS Reaal* | | | 59,737 | | | | 357,348 | | |
| | | | 1,130,177 | | |
| Diversified Telecommunication Services (0.3%) | |
| Koninklijke KPN NV | | | 20,359 | | | | 346,341 | | |
| Food & Staples Retailing (0.4%) | |
| Koninklijke Ahold NV | | | 37,798 | | | | 501,193 | | |
| Food Products (1.1%) | |
| CSM | | | 871 | | | | 22,898 | | |
| Nutreco Holding NV | | | 2,208 | | | | 124,216 | | |
| Unilever NV§ | | | 39,250 | | | | 1,278,530 | | |
| | | | 1,425,644 | | |
| Industrial Conglomerates (0.6%) | |
| Koninklijke Philips Electronics NV§ | | | 25,097 | | | | 742,471 | | |
| Insurance (0.0%) | |
| Brit Insurance Holdings NV | | | 3,382 | | | | 10,678 | | |
| Life Sciences Tools & Services (0.0%) | |
| QIAGEN NV*§ | | | 31 | | | | 699 | | |
| Media (0.2%) | |
| Reed Elsevier NV | | | 17,101 | | | | 209,994 | | |
| Real Estate Investment Trusts (0.2%) | |
| Wereldhave NV | | | 2,907 | | | | 277,896 | | |
| Semiconductors & Semiconductor Equipment (0.0%) | |
| ASML Holding NV | | | 1,636 | | | | 55,903 | | |
| TOTAL NETHERLANDS | | | 7,146,323 | | |
| Norway (0.5%) | |
| Diversified Telecommunication Services (0.1%) | |
| Telenor ASA* | | | 11,876 | | | | 166,277 | | |
| Electrical Equipment (0.0%) | |
| Renewable Energy Corp. AS*§ | | | 7 | | | | 54 | | |
| Energy Equipment & Services (0.0%) | |
| Aker Solutions ASA§ | | | 359 | | | | 4,676 | | |
| Oil, Gas & Consumable Fuels (0.4%) | |
| StatoilHydro ASA | | | 19,986 | | | | 499,565 | | |
| TOTAL NORWAY | | | 670,572 | | |
See Accompanying Notes to Financial Statements.
35
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Portugal (0.2%) | |
| Commercial Banks (0.1%) | |
| Banco BPI SA§ | | | 2,123 | | | $ | 6,420 | | |
| Banco Comercial Portugues SA R Shares§ | | | 129,752 | | | | 156,502 | | |
| Banco Espirito Santo SA | | | 2,681 | | | | 17,476 | | |
| | | | 180,398 | | |
| Electric Utilities (0.1%) | |
| EDP - Energias de Portugal SA | | | 12,742 | | | | 56,776 | | |
| Food & Staples Retailing (0.0%) | |
| Jeronimo Martins SGPS SA | | | 793 | | | | 7,937 | | |
| Multi-Utilities (0.0%) | |
| REN - Redes Energeticas Nacionais SA | | | 488 | | | | 2,100 | | |
| Oil, Gas & Consumable Fuels (0.0%) | |
| Galp Energia SGPS SA B Shares§ | | | 2,143 | | | | 37,047 | | |
| TOTAL PORTUGAL | | | 284,258 | | |
| Singapore (1.0%) | |
| Diversified Financial Services (1.0%) | |
| iShares MSCI Singapore Index Fund§ | | | 116,681 | | | | 1,339,498 | | |
| TOTAL SINGAPORE | | | 1,339,498 | | |
| Spain (6.1%) | |
| Commercial Banks (2.3%) | |
| Banco Bilbao Vizcaya Argentaria SA | | | 62,822 | | | | 1,145,890 | | |
| Banco de Sabadell SA§ | | | 33,275 | | | | 184,987 | | |
| Banco Popular Espanol SA§ | | | 14,378 | | | | 105,701 | | |
| Banco Santander SA | | | 96,463 | | | | 1,595,352 | | |
| | | | 3,031,930 | | |
| Construction & Engineering (0.6%) | |
| ACS Actividades de Construccion y Servicios SA§ | | | 1,464 | | | | 73,243 | | |
| Ferrovial SA | | | 176 | | | | 2,080 | | |
| Fomento de Construcciones y Contratas SA§ | | | 15,197 | | | | 644,928 | | |
| Sacyr Vallehermoso SA*§ | | | 64 | | | | 735 | | |
| | | | 720,986 | | |
| Diversified Financial Services (0.1%) | |
| Corp. Financiera Alba | | | 2,489 | | | | 130,079 | | |
| Criteria Caixacorp SA | | | 4,425 | | | | 20,977 | | |
| | | | 151,056 | | |
| Diversified Telecommunication Services (1.6%) | |
| Telefonica SA§ | | | 73,721 | | | | 2,065,107 | | |
See Accompanying Notes to Financial Statements.
36
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Spain | |
| Electric Utilities (0.6%) | |
| Acciona SA | | | 183 | | | $ | 23,940 | | |
| Endesa SA | | | 18,492 | | | | 638,252 | | |
| Iberdrola SA§ | | | 13,204 | | | | 126,636 | | |
| | | | 788,828 | | |
| Gas Utilities (0.1%) | |
| Gas Natural SDG SA§ | | | 4,036 | | | | 87,070 | | |
| IT Services (0.0%) | |
| Indra Sistemas SA§ | | | 23 | | | | 545 | | |
| Machinery (0.0%) | |
| Zardoya Otis SA | | | 94 | | | | 1,831 | | |
| Media (0.1%) | |
| Gestevision Telecinco SA§ | | | 10,489 | | | | 152,692 | | |
| Oil, Gas & Consumable Fuels (0.6%) | |
| Repsol YPF SA | | | 31,559 | | | | 847,582 | | |
| Real Estate Management & Development (0.0%) | |
| Inmobiliaria Colonial SA* | | | 13,571 | | | | 3,064 | | |
| Specialty Retail (0.1%) | |
| Inditex SA | | | 1,156 | | | | 72,255 | | |
| TOTAL SPAIN | | | 7,922,946 | | |
| Sweden (2.6%) | |
| Capital Markets (0.4%) | |
| Ratos AB B Shares | | | 17,810 | | | | 459,813 | | |
| Commercial Banks (0.4%) | |
| Nordea Bank AB | | | 29,693 | | | | 301,463 | | |
| Skandinaviska Enskilda Banken AB A Shares* | | | 117 | | | | 725 | | |
| Svenska Handelsbanken AB A Shares | | | 1,450 | | | | 41,394 | | |
| Swedbank AB A Shares* | | | 24,511 | | | | 241,814 | | |
| | | | 585,396 | | |
| Diversified Financial Services (0.1%) | |
| Industrivarden AB A Shares | | | 8,820 | | | | 108,701 | | |
| Diversified Telecommunication Services (0.1%) | |
| Tele2 AB B Shares | | | 10,187 | | | | 156,804 | | |
| Health Care Equipment & Supplies (0.1%) | |
| Elekta AB B Shares | | | 5,959 | | | | 141,929 | | |
| Household Durables (0.2%) | |
| Electrolux AB Series B* | | | 9,012 | | | | 212,206 | | |
See Accompanying Notes to Financial Statements.
37
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Sweden | |
| Machinery (0.1%) | |
| Alfa Laval AB§ | | | 95 | | | $ | 1,317 | | |
| Atlas Copco AB A Shares§ | | | 777 | | | | 11,445 | | |
| Scania AB B Shares | | | 2,503 | | | | 32,390 | | |
| SKF AB B Shares | | | 8,252 | | | | 142,584 | | |
| | | | 187,736 | | |
| Media (0.1%) | |
| Modern Times Group AB B Shares | | | 2,245 | | | | 111,734 | | |
| Metals & Mining (0.5%) | |
| Boliden AB | | | 27,702 | | | | 355,704 | | |
| SSAB AB A Shares§ | | | 15,846 | | | | 269,675 | | |
| | | | 625,379 | | |
| Paper & Forest Products (0.3%) | |
| Holmen AB B Shares | | | 1,404 | | | | 35,843 | | |
| Svenska Cellulosa AB B Shares | | | 22,677 | | | | 302,962 | | |
| | | | 338,805 | | |
| Specialty Retail (0.2%) | |
| Hennes & Mauritz AB B Shares | | | 5,293 | | | | 294,024 | | |
| Tobacco (0.1%) | |
| Swedish Match AB | | | 5,816 | | | | 127,416 | | |
| TOTAL SWEDEN | | | 3,349,943 | | |
| Switzerland (9.9%) | |
| Biotechnology (0.0%) | |
| Actelion, Ltd.* | | | 327 | | | | 17,477 | | |
| Building Products (0.2%) | |
| Geberit AG | | | 1,249 | | | | 221,571 | | |
| Capital Markets (0.5%) | |
| EFG International AG | | | 24 | | | | 330 | | |
| Julius Baer Holding AG | | | 40,533 | | | | 491,149 | | |
| UBS AG* | | | 5,375 | | | | 83,452 | | |
| UBS AG* | | | 5,045 | | | | 78,615 | | |
| | | | 653,546 | | |
| Chemicals (0.1%) | |
| Clariant AG* | | | 5,175 | | | | 61,236 | | |
| Construction Materials (0.4%) | |
| Holcim, Ltd.* | | | 6,599 | | | | 513,204 | | |
| Diversified Financial Services (0.0%) | |
| Pargesa Holding SA BR | | | 267 | | | | 23,247 | | |
See Accompanying Notes to Financial Statements.
38
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Switzerland | |
| Diversified Telecommunication Services (0.2%) | |
| Swisscom AG | | | 809 | | | $ | 309,176 | | |
| Electrical Equipment (0.3%) | |
| ABB, Ltd.* | | | 22,718 | | | | 438,057 | | |
| Food Products (2.0%) | |
| Nestle SA§ | | | 53,949 | | | | 2,620,112 | | |
| Health Care Equipment & Supplies (0.2%) | |
| Nobel Biocare Holding AG | | | 3,050 | | | | 102,290 | | |
| Sonova Holding AG | | | 877 | | | | 106,321 | | |
| | | | 208,611 | | |
| Insurance (1.5%) | |
| Baloise Holding AG | | | 3,168 | | | | 263,209 | | |
| Swiss Life Holding AG* | | | 5,082 | | | | 647,054 | | |
| Swiss Reinsurance Co., Ltd. | | | 10,039 | | | | 481,240 | | |
| Zurich Financial Services AG§ | | | 2,446 | | | | 535,489 | | |
| | | | 1,926,992 | | |
| Life Sciences Tools & Services (0.0%) | |
| Lonza Group AG | | | 123 | | | | 8,672 | | |
| Machinery (0.5%) | |
| Schindler Holding AG | | | 8,397 | | | | 643,395 | | |
| Sulzer AG | | | 370 | | | | 29,046 | | |
| | | | 672,441 | | |
| Marine (0.0%) | |
| Kuehne + Nagel International AG | | | 536 | | | | 52,150 | | |
| Pharmaceuticals (2.8%) | |
| Novartis AG | | | 30,229 | | | | 1,651,900 | | |
| Roche Holding AG§ | | | 11,898 | | | | 2,036,088 | | |
| | | | 3,687,988 | | |
| Professional Services (0.2%) | |
| SGS SA | | | 148 | | | | 193,342 | | |
| Textiles, Apparel & Luxury Goods (1.0%) | |
| Compagnie Financiere Richemont SA Class A | | | 25,425 | | | | 855,541 | | |
| The Swatch Group AG BR | | | 1,899 | | | | 481,001 | | |
| | | | 1,336,542 | | |
| TOTAL SWITZERLAND | | | 12,944,364 | | |
| United Kingdom (22.6%) | |
| Aerospace & Defense (0.3%) | |
| BAE Systems PLC | | | 58,540 | | | | 338,738 | | |
| Meggitt PLC | | | 1,220 | | | | 5,106 | | |
| | | | 343,844 | | |
See Accompanying Notes to Financial Statements.
39
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| United Kingdom | |
| Airlines (0.0%) | |
| British Airways PLC*§ | | | 415 | | | $ | 1,248 | | |
| Auto Components (0.0%) | |
| GKN PLC* | | | 17,851 | | | | 33,427 | | |
| Beverages (0.3%) | |
| Diageo PLC | | | 1,277 | | | | 22,274 | | |
| SABMiller PLC | | | 11,171 | | | | 328,290 | | |
| | | | 350,564 | | |
| Biotechnology (0.0%) | |
| Antisoma PLC* | | | 17,484 | | | | 9,281 | | |
| Capital Markets (0.4%) | |
| 3i Group PLC | | | 15,244 | | | | 69,005 | | |
| Aberdeen Asset Management PLC | | | 709 | | | | 1,523 | | |
| BlueBay Asset Management PLC | | | 2,717 | | | | 13,221 | | |
| Close Brothers Group PLC | | | 13,493 | | | | 149,914 | | |
| Evolution Group PLC | | | 264 | | | | 572 | | |
| F&C Asset Management PLC | | | 3,033 | | | | 3,713 | | |
| ICAP PLC | | | 6,552 | | | | 45,180 | | |
| Investec PLC | | | 6,099 | | | | 41,664 | | |
| Man Group PLC | | | 27,921 | | | | 137,770 | | |
| Schroders PLC | | | 1,350 | | | | 28,845 | | |
| Tullett Prebon PLC | | | 5,442 | | | | 24,360 | | |
| | | | 515,767 | | |
| Chemicals (0.1%) | |
| Croda International PLC | | | 108 | | | | 1,392 | | |
| Johnson Matthey PLC | | | 2,242 | | | | 55,295 | | |
| Victrex PLC | | | 100 | | | | 1,302 | | |
| Yule Catto & Co. PLC* | | | 6,729 | | | | 16,459 | | |
| | | | 74,448 | | |
| Commercial Banks (3.1%) | |
| Barclays PLC | | | 159,146 | | | | 701,118 | | |
| HSBC Holdings PLC | | | 220,116 | | | | 2,510,613 | | |
| Lloyds Banking Group PLC* | | | 230,547 | | | | 185,453 | | |
| Standard Chartered PLC§ | | | 28,404 | | | | 716,929 | | |
| | | | 4,114,113 | | |
| Commercial Services & Supplies (0.1%) | |
| Babcock International Group PLC | | | 14,468 | | | | 138,764 | | |
| Regus PLC | | | 19,944 | | | | 29,449 | | |
| | | | 168,213 | | |
| Communications Equipment (0.0%) | |
| Spirent Communications PLC | | | 8,503 | | | | 13,923 | | |
See Accompanying Notes to Financial Statements.
40
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| United Kingdom | |
| Construction & Engineering (0.3%) | |
| Balfour Beatty PLC | | | 8,031 | | | $ | 33,413 | | |
| Carillion PLC | | | 3,939 | | | | 19,230 | | |
| Costain Group PLC | | | 41,975 | | | | 16,351 | | |
| Galliford Try PLC | | | 1,180 | | | | 5,904 | | |
| Hyder Consulting PLC | | | 6,221 | | | | 18,991 | | |
| Interserve PLC | | | 9,354 | | | | 29,041 | | |
| Keller Group PLC | | | 6,225 | | | | 64,718 | | |
| Kier Group PLC | | | 2,975 | | | | 49,127 | | |
| Morgan Sindall PLC | | | 7,670 | | | | 74,358 | | |
| Severfield-Rowen PLC | | | 27,793 | | | | 79,535 | | |
| T Clarke PLC | | | 1,674 | | | | 3,717 | | |
| WSP Group PLC | | | 3,854 | | | | 17,162 | | |
| | | | 411,547 | | |
| Construction Materials (0.0%) | |
| Marshalls PLC | | | 461 | | | | 637 | | |
| Consumer Finance (0.0%) | |
| Provident Financial PLC§ | | | 242 | | | | 3,607 | | |
| Containers & Packaging (0.1%) | |
| British Polythene Industries PLC | | | 2,601 | | | | 11,485 | | |
| DS Smith PLC | | | 60,517 | | | | 123,750 | | |
| Rexam PLC | | | 261 | | | | 1,220 | | |
| RPC Group PLC | | | 10,985 | | | | 42,485 | | |
| | | | 178,940 | | |
| Diversified Telecommunication Services (0.2%) | |
| BT Group PLC | | | 97,443 | | | | 212,168 | | |
| Kcom Group PLC | | | 33,058 | | | | 23,504 | | |
| | | | 235,672 | | |
| Electric Utilities (0.0%) | |
| Scottish & Southern Energy PLC | | | 91 | | | | 1,703 | | |
| Electronic Equipment, Instruments & Components (0.1%) | |
| Diploma PLC | | | 7,765 | | | | 22,122 | | |
| Domino Printing Sciences | | | 1,163 | | | | 6,156 | | |
| Electrocomponents PLC | | | 3,588 | | | | 9,333 | | |
| Rotork PLC | | | 2,578 | | | | 49,250 | | |
| | | | 86,861 | | |
| Food & Staples Retailing (0.5%) | |
| J Sainsbury PLC | | | 15,434 | | | | 80,458 | | |
| Majestic Wine PLC | | | 935 | | | | 3,258 | | |
| Tesco PLC | | | 73,616 | | | | 507,751 | | |
| WM Morrison Supermarkets PLC | | | 28,340 | | | | 126,415 | | |
| | | | 717,882 | | |
See Accompanying Notes to Financial Statements.
41
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| United Kingdom | |
| Food Products (0.5%) | |
| Cranswick PLC | | | 5,313 | | | $ | 67,221 | | |
| Dairy Crest Group PLC | | | 1,115 | | | | 6,500 | | |
| Greggs PLC | | | 4,517 | | | | 31,654 | | |
| Hilton Food Group, Ltd. | | | 2,993 | | | | 9,822 | | |
| Northern Foods PLC | | | 9,584 | | | | 10,278 | | |
| Robert Wiseman Dairies PLC | | | 2,515 | | | | 20,638 | | |
| Thorntons PLC | | | 4,931 | | | | 8,678 | | |
| Unilever PLC | | | 14,762 | | | | 473,098 | | |
| | | | 627,889 | | |
| Health Care Providers & Services (0.1%) | |
| Southern Cross Healthcare Ltd.* | | | 36,147 | | | | 80,838 | | |
| Hotels, Restaurants & Leisure (0.8%) | |
| Carnival PLC* | | | 19,395 | | | | 660,609 | | |
| Compass Group PLC | | | 23,111 | | | | 165,358 | | |
| Enterprise Inns PLC* | | | 1,669 | | | | 2,500 | | |
| Fuller Smith & Turner Class A | | | 760 | | | | 6,207 | | |
| Greene King PLC | | | 1,512 | | | | 9,949 | | |
| Holidaybreak PLC Class A | | | 2,879 | | | | 10,424 | | |
| Intercontinental Hotels Group PLC | | | 2,915 | | | | 41,873 | | |
| J.D. Wetherspoon PLC* | | | 3,042 | | | | 20,789 | | |
| Ladbrokes PLC | | | 7,016 | | | | 15,520 | | |
| Marston's PLC | | | 8,021 | | | | 11,351 | | |
| Restaurant Group PLC | | | 4,484 | | | | 13,464 | | |
| Thomas Cook Group PLC | | | 9,598 | | | | 35,449 | | |
| TUI Travel PLC§ | | | 411 | | | | 1,684 | | |
| William Hill PLC | | | 1,215 | | | | 3,637 | | |
| | | | 998,814 | | |
| Household Durables (0.0%) | |
| Aga Rangemaster Group PLC* | | | 2,730 | | | | 5,272 | | |
| Barratt Developments PLC* | | | 2,674 | | | | 5,318 | | |
| Taylor Wimpey PLC* | | | 17,399 | | | | 10,893 | | |
| | | | 21,483 | | |
| Household Products (0.1%) | |
| McBride PLC | | | 5,862 | | | | 19,959 | | |
| Reckitt Benckiser Group PLC | | | 1,072 | | | | 58,015 | | |
| | | | 77,974 | | |
| Independent Power Producers & Energy Traders (0.1%) | |
| Drax Group PLC | | | 8,570 | | | | 57,122 | | |
| International Power PLC | | | 18,843 | | | | 93,873 | | |
| | | | 150,995 | | |
See Accompanying Notes to Financial Statements.
42
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| United Kingdom | |
| Industrial Conglomerates (0.1%) | |
| Tomkins PLC | | | 31,352 | | | $ | 97,406 | | |
| Insurance (0.9%) | |
| Amlin PLC | | | 4,808 | | | | 27,756 | | |
| Aviva PLC | | | 32,138 | | | | 204,390 | | |
| Charles Taylor Consulting PLC | | | 982 | | | | 3,330 | | |
| Chesnara PLC | | | 4,226 | | | | 13,305 | | |
| Hardy Underwriting Bermuda Ltd. | | | 5,132 | | | | 23,209 | | |
| Legal & General Group PLC | | | 85,018 | | | | 109,350 | | |
| Novae Group PLC | | | 1,886 | | | | 9,041 | | |
| Old Mutual PLC* | | | 204,473 | | | | 357,995 | | |
| Prudential PLC | | | 18,453 | | | | 188,849 | | |
| RSA Insurance Group PLC | | | 66,965 | | | | 130,070 | | |
| Standard Life PLC | | | 28,204 | | | | 97,942 | | |
| | | | 1,165,237 | | |
| Internet & Catalog Retail (0.0%) | |
| Findel PLC*§ | | | 13,899 | | | | 7,771 | | |
| N Brown Group PLC | | | 1,460 | | | | 5,823 | | |
| | | | 13,594 | | |
| IT Services (0.1%) | |
| Anite PLC | | | 9,567 | | | | 4,944 | | |
| Computacenter PLC | | | 12,970 | | | | 52,223 | | |
| Dimension Data Holdings PLC | | | 17,145 | | | | 20,631 | | |
| Phoenix IT Group, Ltd. | | | 2,574 | | | | 11,038 | | |
| | | | 88,836 | | |
| Machinery (0.1%) | |
| IMI PLC | | | 628 | | | | 5,237 | | |
| Invensys PLC | | | 17,390 | | | | 83,642 | | |
| | | | 88,879 | | |
| Marine (0.0%) | |
| Clarkson PLC | | | 2,541 | | | | 30,254 | | |
| Media (0.2%) | |
| British Sky Broadcasting Group PLC | | | 9,890 | | | | 89,315 | | |
| Cineworld Group PLC | | | 4,602 | | | | 11,133 | | |
| Daily Mail & General Trust PLC Class A§ | | | 3,113 | | | | 20,918 | | |
| Euromoney Institutional Investor PLC | | | 364 | | | | 2,556 | | |
| ITV PLC* | | | 5,131 | | | | 4,323 | | |
| Reed Elsevier PLC | | | 20,822 | | | | 170,902 | | |
| WPP PLC | | | 937 | | | | 9,162 | | |
| Yell Group PLC* | | | 296 | | | | 186 | | |
| | | | 308,495 | | |
See Accompanying Notes to Financial Statements.
43
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| United Kingdom | |
| Metals & Mining (2.7%) | |
| Anglo American PLC* | | | 13,580 | | | $ | 587,989 | | |
| BHP Billiton PLC | | | 35,787 | | | | 1,140,642 | | |
| Delta PLC | | | 12,880 | | | | 28,963 | | |
| Eurasian Natural Resources Corp. | | | 5,502 | | | | 80,573 | | |
| Ferrexpo PLC | | | 499 | | | | 1,589 | | |
| Rio Tinto PLC | | | 22,693 | | | | 1,225,083 | | |
| Vedanta Resources PLC§ | | | 213 | | | | 8,907 | | |
| Xstrata PLC* | | | 25,287 | | | | 450,923 | | |
| | | | 3,524,669 | | |
| Multi-Utilities (1.0%) | |
| Centrica PLC | | | 53,588 | | | | 242,677 | | |
| National Grid PLC | | | 85,330 | | | | 931,167 | | |
| United Utilities Group PLC | | | 10,327 | | | | 82,528 | | |
| | | | 1,256,372 | | |
| Multiline Retail (0.2%) | |
| Debenhams PLC* | | | 6,179 | | | | 7,731 | | |
| Next PLC | | | 8,925 | | | | 298,352 | | |
| | | | 306,083 | | |
| Oil, Gas & Consumable Fuels (5.3%) | |
| Anglo Pacific Group PLC | | | 2,726 | | | | 9,886 | | |
| BG Group PLC | | | 13,919 | | | | 251,271 | | |
| BP PLC | | | 307,365 | | | | 2,967,325 | | |
| Hunting PLC | | | 3,941 | | | | 36,911 | | |
| JKX Oil & Gas PLC | | | 811 | | | | 3,696 | | |
| Melrose Resources PLC | | | 998 | | | | 4,349 | | |
| Royal Dutch Shell PLC A Shares | | | 66,041 | | | | 1,996,815 | | |
| Royal Dutch Shell PLC B Shares | | | 56,216 | | | | 1,636,836 | | |
| | | | 6,907,089 | | |
| Paper & Forest Products (0.1%) | |
| Mondi PLC | | | 12,666 | | | | 67,939 | | |
| Pharmaceuticals (2.7%) | |
| AstraZeneca PLC | | | 31,623 | | | | 1,485,870 | | |
| GlaxoSmithKline PLC | | | 75,373 | | | | 1,598,005 | | |
| Shire PLC | | | 21,814 | | | | 426,151 | | |
| | | | 3,510,026 | | |
| Professional Services (0.2%) | |
| Experian PLC | | | 20,947 | | | | 206,863 | | |
| Hays PLC | | | 548 | | | | 916 | | |
| Hogg Robinson Group PLC | | | 2,158 | | | | 1,011 | | |
| ITE Group PLC | | | 2,172 | | | | 4,476 | | |
| Robert Walters PLC | | | 478 | | | | 1,645 | | |
| Sthree PLC | | | 5,212 | | | | 24,739 | | |
| Tribal Group PLC | | | 7,351 | | | | 9,183 | | |
| | | | 248,833 | | |
See Accompanying Notes to Financial Statements.
44
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| United Kingdom | |
| Real Estate Investment Trusts (0.0%) | |
| Liberty International PLC§ | | | 987 | | | $ | 8,158 | | |
| Segro PLC | | | 1,787 | | | | 9,910 | | |
| Workspace Group PLC | | | 38,255 | | | | 14,296 | | |
| | | | 32,364 | | |
| Real Estate Management & Development (0.0%) | |
| CLS Holdings PLC* | | | 3,822 | | | | 30,714 | | |
| MWB Group Holdings PLC* | | | 5,000 | | | | 3,170 | | |
| Quintain Estates & Development PLC*§ | | | 3,358 | | | | 3,236 | | |
| | | | 37,120 | | |
| Road & Rail (0.1%) | |
| Firstgroup PLC | | | 5,156 | | | | 35,263 | | |
| Go-Ahead Group PLC | | | 1,829 | | | | 39,122 | | |
| Stagecoach Group PLC | | | 2,983 | | | | 8,113 | | |
| | | | 82,498 | | |
| Software (0.1%) | |
| Autonomy Corp. PLC* | | | 163 | | | | 3,957 | | |
| Fidessa Group PLC | | | 3,748 | | | | 70,728 | | |
| The Sage Group PLC | | | 14,270 | | | | 50,523 | | |
| | | | 125,208 | | |
| Specialty Retail (0.3%) | |
| Carphone Warehouse Group PLC§ | | | 5,884 | | | | 17,734 | | |
| Dunelm Group PLC | | | 4,129 | | | | 25,245 | | |
| Galiform PLC* | | | 7,403 | | | | 8,859 | | |
| Game Group PLC | | | 22,380 | | | | 38,197 | | |
| JD Sports Fashion PLC | | | 1,561 | | | | 12,672 | | |
| Kingfisher PLC | | | 47,605 | | | | 175,206 | | |
| Sports Direct International PLC | | | 8,425 | | | | 13,266 | | |
| Topps Tiles PLC* | | | 7,444 | | | | 9,962 | | |
| WH Smith PLC | | | 16,454 | | | | 130,869 | | |
| | | | 432,010 | | |
| Thrifts & Mortgage Finance (0.1%) | |
| Paragon Group of Cos. PLC | | | 63,516 | | | | 133,769 | | |
| Tobacco (0.5%) | |
| British American Tobacco PLC | | | 20,447 | | | | 663,634 | | |
| Trading Companies & Distributors (0.1%) | |
| Ashtead Group PLC | | | 3,875 | | | | 5,077 | | |
| BSS Group PLC | | | 520 | | | | 2,002 | | |
| Lavendon Group PLC | | | 14,762 | | | | 16,563 | | |
| SIG PLC* | | | 24,657 | | | | 44,494 | | |
| Speedy Hire PLC | | | 3,803 | | | | 1,663 | | |
| Travis Perkins PLC* | | | 2,575 | | | | 35,257 | | |
| | | | 105,056 | | |
See Accompanying Notes to Financial Statements.
45
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| United Kingdom | |
| Transportation Infrastructure (0.0%) | |
| Braemar Shipping Services PLC | | | 1,433 | | | $ | 9,805 | | |
| Water Utilities (0.0%) | |
| Northumbrian Water Group PLC | | | 8,509 | | | | 37,027 | | |
| Pennon Group PLC | | | 526 | | | | 4,553 | | |
| | | | 41,580 | | |
| Wireless Telecommunication Services (0.7%) | |
| Vodafone Group PLC | | | 427,418 | | | | 989,562 | | |
| TOTAL UNITED KINGDOM | | | 29,485,988 | | |
| TOTAL COMMON STOCKS (Cost $134,170,998) | | | 153,828,801 | | |
| PREFERRED STOCKS (0.5%) | |
| Germany (0.5%) | |
| Automobiles (0.1%) | |
| Porsche Automobil Holding SE | | | 2,009 | | | | 125,736 | | |
| Household Products (0.4%) | |
| Henkel AG & Co. KGaA | | | 10,740 | | | | 564,462 | | |
| TOTAL GERMANY | | | 690,198 | | |
| TOTAL PREFERRED STOCKS (Cost $654,253) | | | 690,198 | | |
| TOTAL LONG STOCK POSITIONS (Cost $134,825,251) | | | 154,518,999 | | |
| RIGHTS (0.0%) | |
| Australia (0.0%) | |
| Oil, Gas & Consumable Fuels (0.0%) | |
| Woodside Petroleum, Ltd., strike price 42.10 AUD, expires 01/29/10* (Cost $0) | | | 345 | | | | 132 | | |
| TOTAL AUSTRALIA | | | 132 | | |
| WARRANTS (0.0%) | |
| France (0.0%) | |
| Real Estate Investment Trusts (0.0%) | |
| Fonciere Des Regions, strike price 65.00 EUR, expires 12/31/10*§ | | | 1,166 | | | | 985 | | |
| TOTAL FRANCE | | | 985 | | |
| Italy (0.0%) | |
| Capital Markets (0.0%) | |
| Mediobanca SpA, strike price 9.00 EUR, expires 03/18/11* | | | 4,093 | | | | 636 | | |
| Commercial Banks (0.0%) | |
| Unione di Banche Italiane SCPA, strike price 12.30 EUR, expires 06/30/11* | | | 1,496 | | | | 106 | | |
| TOTAL ITALY | | | 742 | | |
| TOTAL WARRANTS (Cost $0) | | | 1,727 | | |
See Accompanying Notes to Financial Statements.
46
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT-TERM INVESTMENTS (11.7%) | |
| State Street Navigator Prime Portfolio§§ | | | 13,422,242 | | | $ | 13,422,242 | | |
| | | Par
(000) | | | |
| State Street Bank and Trust Co. Euro Time Deposit, 0.010%, 01/04/10 | | $ | 1,893 | | | | 1,893,000 | | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $15,315,242) | | | 15,315,242 | | |
| TOTAL INVESTMENTS AT VALUE (130.1%) (Cost $150,140,493) | | | 169,836,100 | | |
| TOTAL SECURITIES SOLD SHORT (-19.6%) (Proceeds $25,264,517) | | | (25,622,908 | ) | |
| LIABILITIES IN EXCESS OF OTHER ASSETS (-10.5%) | | | (13,693,324 | ) | |
| NET ASSETS (100.0%) | | $ | 130,519,868 | | |
| | | Number of
Shares | | | |
| SHORT STOCK POSITIONS (-19.6%) | |
| COMMON STOCKS (-19.5%) | |
| Austria (-0.7%) | |
| Diversified Telecommunication Services (-0.1%) | |
| Telekom Austria AG | | | (9,998 | ) | | | (142,838 | ) | |
| Electric Utilities (-0.0%) | |
| Verbund - Oesterreichische Elektrizitaetswirtschafts AG Class A | | | (285 | ) | | | (12,095 | ) | |
| Insurance (-0.2%) | |
| Vienna Insurance Group | | | (4,319 | ) | | | (221,875 | ) | |
| Metals & Mining (-0.2%) | |
| Voestalpine AG | | | (7,164 | ) | | | (261,945 | ) | |
| Oil, Gas & Consumable Fuels (-0.2%) | |
| OMV AG | | | (6,647 | ) | | | (291,889 | ) | |
| TOTAL AUSTRIA | | | (930,642 | ) | |
| Belgium (-0.8%) | |
| Beverages (-0.1%) | |
| Anheuser-Busch InBev NV | | | (1,596 | ) | | | (82,690 | ) | |
| Chemicals (-0.1%) | |
| Umicore | | | (3,329 | ) | | | (111,144 | ) | |
| Commercial Banks (-0.0%) | |
| Dexia SA* | | | (10,000 | ) | | | (63,000 | ) | |
| Diversified Financial Services (-0.3%) | |
| Groupe Bruxelles Lambert SA | | | (4,277 | ) | | | (404,196 | ) | |
| Food & Staples Retailing (-0.3%) | |
| Colruyt SA | | | (1,408 | ) | | | (339,969 | ) | |
| Delhaize Group | | | (285 | ) | | | (21,820 | ) | |
| | | | (361,789 | ) | |
| TOTAL BELGIUM | | | (1,022,819 | ) | |
See Accompanying Notes to Financial Statements.
47
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Bermuda (-0.2%) | |
| Energy Equipment & Services (-0.2%) | |
| Seadrill, Ltd. | | | (9,999 | ) | | $ | (254,976 | ) | |
| TOTAL BERMUDA | | | (254,976 | ) | |
| Denmark (-1.1%) | |
| Chemicals (-0.3%) | |
| Novozymes AS B Shares | | | (3,385 | ) | | | (352,480 | ) | |
| Electrical Equipment (-0.3%) | |
| Vestas Wind Systems AS* | | | (5,771 | ) | | | (351,666 | ) | |
| Insurance (-0.4%) | |
| Topdanmark AS* | | | (1,402 | ) | | | (188,980 | ) | |
| TrygVesta AS | | | (4,744 | ) | | | (312,121 | ) | |
| | | | (501,101 | ) | |
| Road & Rail (-0.1%) | |
| DSV AS* | | | (9,855 | ) | | | (178,759 | ) | |
| TOTAL DENMARK | | | (1,384,006 | ) | |
| Finland (-0.8%) | |
| Auto Components (-0.2%) | |
| Nokian Renkaat Oyj | | | (9,997 | ) | | | (242,620 | ) | |
| Diversified Financial Services (-0.1%) | |
| Pohjola Bank PLC | | | (9,998 | ) | | | (107,921 | ) | |
| Diversified Telecommunication Services (-0.2%) | |
| Elisa Oyj | | | (9,999 | ) | | | (228,412 | ) | |
| Metals & Mining (-0.1%) | |
| Outokumpu Oyj | | | (5,241 | ) | | | (99,296 | ) | |
| Oil, Gas & Consumable Fuels (-0.1%) | |
| Neste Oil Oyj | | | (9,999 | ) | | | (177,832 | ) | |
| Paper & Forest Products (-0.1%) | |
| Stora Enso Oyj R Shares* | | | (10,000 | ) | | | (70,197 | ) | |
| UPM-Kymmene Oyj | | | (7,738 | ) | | | (92,072 | ) | |
| | | | (162,269 | ) | |
| TOTAL FINLAND | | | (1,018,350 | ) | |
| France (-4.3%) | |
| Airlines (-0.1%) | |
| Air France-KLM* | | | (9,998 | ) | | | (157,033 | ) | |
| Automobiles (-0.3%) | |
| Renault SA* | | | (8,199 | ) | | | (420,959 | ) | |
| Beverages (-0.2%) | |
| Pernod-Ricard SA | | | (3,610 | ) | | | (308,948 | ) | |
See Accompanying Notes to Financial Statements.
48
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| France | |
| Construction Materials (-0.3%) | |
| Imerys SA | | | (5,448 | ) | | $ | (326,421 | ) | |
| Lafarge SA | | | (547 | ) | | | (45,085 | ) | |
| | | | (371,506 | ) | |
| Electric Utilities (-0.3%) | |
| EDF SA | | | (6,285 | ) | | | (373,851 | ) | |
| Energy Equipment & Services (-0.5%) | |
| Cie Generale de Geophysique-Veritas* | | | (9,998 | ) | | | (212,702 | ) | |
| Technip SA | | | (5,660 | ) | | | (398,551 | ) | |
| | | | (611,253 | ) | |
| Food Products (-0.1%) | |
| Danone | | | (1,071 | ) | | | (65,709 | ) | |
| Health Care Equipment & Supplies (-0.1%) | |
| Cie Generale d'Optique Essilor International SA | | | (1,966 | ) | | | (117,688 | ) | |
| Hotels, Restaurants & Leisure (-0.3%) | |
| Sodexo | | | (6,475 | ) | | | (368,735 | ) | |
| Media (-0.2%) | |
| Eutelsat Communications | | | (9,998 | ) | | | (321,045 | ) | |
| Personal Products (-0.2%) | |
| L'Oreal SA | | | (1,888 | ) | | | (211,039 | ) | |
| Professional Services (-0.2%) | |
| Bureau Veritas SA | | | (6,323 | ) | | | (329,880 | ) | |
| Real Estate Investment Trusts (-0.8%) | |
| Gecina SA | | | (3,121 | ) | | | (339,645 | ) | |
| Klepierre | | | (8,290 | ) | | | (336,152 | ) | |
| Unibail-Rodamco SE | | | (1,427 | ) | | | (313,746 | ) | |
| | | | (989,543 | ) | |
| Software (-0.0%) | |
| Dassault Systemes SA | | | (810 | ) | | | (46,164 | ) | |
| Textiles, Apparel & Luxury Goods (-0.4%) | |
| Hermes International | | | (2,889 | ) | | | (384,913 | ) | |
| LVMH Moet Hennessy Louis Vuitton SA | | | (1,856 | ) | | | (208,283 | ) | |
| | | | (593,196 | ) | |
| Transportation Infrastructure (-0.3%) | |
| Aeroports de Paris | | | (4,310 | ) | | | (346,720 | ) | |
| TOTAL FRANCE | | | (5,633,269 | ) | |
See Accompanying Notes to Financial Statements.
49
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Germany (-2.6%) | |
| Chemicals (-0.7%) | |
| K's Holdings Corp. | | | (6,633 | ) | | $ | (378,619 | ) | |
| Linde AG | | | (2,275 | ) | | | (274,326 | ) | |
| Wacker Chemie AG | | | (1,748 | ) | | | (304,312 | ) | |
| | | | (957,257 | ) | |
| Commercial Banks (-0.1%) | |
| Deutsche Postbank AG* | | | (4,090 | ) | | | (133,725 | ) | |
| Diversified Financial Services (-0.3%) | |
| Deutsche Boerse AG | | | (4,286 | ) | | | (355,219 | ) | |
| Health Care Equipment & Supplies (-0.2%) | |
| Fresenius SE | | | (4,351 | ) | | | (271,646 | ) | |
| Health Care Providers & Services (-0.3%) | |
| Fresenius Medical Care AG & Co. KGaA | | | (7,642 | ) | | | (405,724 | ) | |
| Household Products (-0.2%) | |
| Henkel AG & Co. KGaA | | | (6,041 | ) | | | (270,870 | ) | |
| Internet Software & Services (-0.1%) | |
| United Internet AG* | | | (4,774 | ) | | | (62,965 | ) | |
| Machinery (-0.1%) | |
| MAN SE | | | (2,291 | ) | | | (177,912 | ) | |
| Personal Products (-0.3%) | |
| Beiersdorf AG | | | (5,703 | ) | | | (376,196 | ) | |
| Software (-0.0%) | |
| SAP AG | | | (444 | ) | | | (21,185 | ) | |
| Transportation Infrastructure (-0.3%) | |
| Fraport AG Frankfurt Airport Services Worldwide | | | (6,203 | ) | | | (320,524 | ) | |
| TOTAL GERMANY | | | (3,353,223 | ) | |
| Italy (-0.9%) | |
| Aerospace & Defense (-0.1%) | |
| Finmeccanica SpA | | | (9,998 | ) | | | (160,211 | ) | |
| Capital Markets (-0.1%) | |
| Mediobanca SpA* | | | (9,997 | ) | | | (118,860 | ) | |
| Commercial Banks (-0.1%) | |
| Unione di Banche Italiane SCPA | | | (9,773 | ) | | | (140,203 | ) | |
| Electric Utilities (-0.0%) | |
| Terna Rete Elettrica Nazionale SpA | | | (10,000 | ) | | | (43,042 | ) | |
| Energy Equipment & Services (-0.3%) | |
| Saipem SpA | | | (9,999 | ) | | | (345,358 | ) | |
| Hotels, Restaurants & Leisure (-0.1%) | |
| Autogrill SpA* | | | (10,000 | ) | | | (126,152 | ) | |
See Accompanying Notes to Financial Statements.
50
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Italy | |
| Insurance (-0.0%) | |
| Unipol Gruppo Finanziario SpA* | | | (1,788 | ) | | $ | (2,448 | ) | |
| Media (-0.0%) | |
| Mediaset SpA | | | (4,999 | ) | | | (41,136 | ) | |
| Textiles, Apparel & Luxury Goods (-0.2%) | |
| Luxottica Group SpA | | | (9,999 | ) | | | (258,748 | ) | |
| TOTAL ITALY | | | (1,236,158 | ) | |
| Japan (-1.3%) | |
| Auto Components (-0.0%) | |
| NGK Spark Plug Co., Ltd. | | | (1,000 | ) | | | (11,349 | ) | |
| Toyoda Gosei Co., Ltd. | | | (100 | ) | | | (3,031 | ) | |
| | | | (14,380 | ) | |
| Beverages (-0.0%) | |
| Coca-Cola West Co., Ltd. | | | (3,200 | ) | | | (56,483 | ) | |
| Building Products (-0.0%) | |
| Nippon Sheet Glass Co., Ltd. | | | (5,374 | ) | | | (15,407 | ) | |
| TOTO, Ltd. | | | (5,000 | ) | | | (31,807 | ) | |
| | | | (47,214 | ) | |
| Chemicals (-0.1%) | |
| Denki Kagaku Kogyo K K | | | (1,000 | ) | | | (4,472 | ) | |
| Nissan Chemical Industries Ltd. | | | (1,000 | ) | | | (14,260 | ) | |
| Taiyo Nippon Sanso Corp. | | | (2,000 | ) | | | (21,295 | ) | |
| Teijin, Ltd. | | | (10,000 | ) | | | (32,323 | ) | |
| | | | (72,350 | ) | |
| Commercial Banks (-0.1%) | |
| Mizuho Trust & Banking Co., Ltd.* | | | (9,700 | ) | | | (9,054 | ) | |
| Sapporo Hokuyo Holdings, Inc. | | | (9,900 | ) | | | (35,948 | ) | |
| Seven Bank, Ltd. | | | (5 | ) | | | (9,986 | ) | |
| The Hachijuni Bank, Ltd. | | | (1,193 | ) | | | (6,965 | ) | |
| | | | (61,953 | ) | |
| Computers & Peripherals (-0.0%) | |
| Seiko Epson Corp. | | | (500 | ) | | | (8,084 | ) | |
| Construction & Engineering (-0.0%) | |
| Kinden Corp. | | | (4,166 | ) | | | (35,316 | ) | |
| Consumer Finance (-0.0%) | |
| Aeon Credit Service Co., Ltd. | | | (1,500 | ) | | | (14,487 | ) | |
| Diversified Financial Services (-0.0%) | |
| Mitsubishi UFJ Lease & Finance Co., Ltd. | | | (941 | ) | | | (28,361 | ) | |
See Accompanying Notes to Financial Statements.
51
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Electric Utilities (-0.2%) | |
| Hokkaido Electric Power Co., Inc. | | | (4,200 | ) | | $ | (76,224 | ) | |
| Shikoku Electric Power Co., Inc. | | | (2,300 | ) | | | (59,453 | ) | |
| The Chugoku Electric Power Co., Inc | | | (3,200 | ) | | | (61,140 | ) | |
| | | | (196,817 | ) | |
| Electrical Equipment (-0.0%) | |
| Panasonic Electric Works Co., Ltd. | | | (2 | ) | | | (24 | ) | |
| Ushio, Inc. | | | (315 | ) | | | (5,255 | ) | |
| | | | (5,279 | ) | |
| Electronic Equipment, Instruments & Components (-0.0%) | |
| Citizen Holdings Co., Ltd. | | | (1,437 | ) | | | (8,308 | ) | |
| Hitachi High-Technologies Corp. | | | (900 | ) | | | (17,864 | ) | |
| Omron Corp. | | | (600 | ) | | | (10,795 | ) | |
| | | | (36,967 | ) | |
| Food & Staples Retailing (-0.1%) | |
| FamilyMart Co., Ltd. | | | (1,900 | ) | | | (56,115 | ) | |
| Lawson, Inc. | | | (1,700 | ) | | | (75,113 | ) | |
| UNY Co., Ltd. | | | (1,000 | ) | | | (7,055 | ) | |
| | | | (138,283 | ) | |
| Food Products (-0.0%) | |
| Nisshin Seifun Group, Inc. | | | (1,500 | ) | | | (20,280 | ) | |
| Nissin Foods Holdings Co., Ltd. | | | (96 | ) | | | (3,137 | ) | |
| Yakult Honsha Co., Ltd. | | | (90 | ) | | | (2,726 | ) | |
| Yamazaki Baking Co., Ltd. | | | (1,224 | ) | | | (14,565 | ) | |
| | | | (40,708 | ) | |
| Gas Utilities (-0.0%) | |
| Toho Gas Co., Ltd. | | | (4,000 | ) | | | (21,263 | ) | |
| Household Durables (-0.0%) | |
| Rinnai Corp. | | | (700 | ) | | | (33,842 | ) | |
| Insurance (-0.1%) | |
| Nipponkoa Insurance Co., Ltd. | | | (10,142 | ) | | | (57,769 | ) | |
| Nissay Dowa General Insurance Co., Ltd. | | | (9,761 | ) | | | (46,857 | ) | |
| | | | (104,626 | ) | |
| IT Services (-0.0%) | |
| Itochu Techno-Science Corp. | | | (100 | ) | | | (2,686 | ) | |
| Obic Co., Ltd. | | | (20 | ) | | | (3,267 | ) | |
| | | | (5,953 | ) | |
| Leisure Equipment & Products (-0.1%) | |
| Sega Sammy Holdings, Inc. | | | (100 | ) | | | (1,197 | ) | |
| Shimano, Inc. | | | (1,454 | ) | | | (58,726 | ) | |
| | | | (59,923 | ) | |
See Accompanying Notes to Financial Statements.
52
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Machinery (-0.1%) | |
| Hitachi Construction Machinery Co., Ltd. | | | (200 | ) | | $ | (5,245 | ) | |
| Kawasaki Heavy Industries, Ltd. | | | (4,000 | ) | | | (10,157 | ) | |
| Kurita Water Industries, Ltd. | | | (500 | ) | | | (15,715 | ) | |
| NSK, Ltd. | | | (3,420 | ) | | | (25,107 | ) | |
| The Japan Steel Works, Ltd. | | | (1,000 | ) | | | (12,757 | ) | |
| THK Co., Ltd. | | | (1,011 | ) | | | (17,986 | ) | |
| | | | (86,967 | ) | |
| Media (-0.0%) | |
| Hakuhodo DY Holdings, Inc. | | | (79 | ) | | | (3,850 | ) | |
| Metals & Mining (-0.1%) | |
| Daido Steel Co., Ltd. | | | (10,000 | ) | | | (37,140 | ) | |
| Hitachi Metals Ltd. | | | (1,000 | ) | | | (9,625 | ) | |
| Mitsui Mining & Smelting Co., Ltd.* | | | (968 | ) | | | (2,517 | ) | |
| Tokyo Steel Manufacturing Co., Ltd. | | | (1,300 | ) | | | (14,641 | ) | |
| Yamato Kogyo Co., Ltd. | | | (900 | ) | | | (29,438 | ) | |
| | | | (93,361 | ) | |
| Multiline Retail (-0.0%) | |
| Takashimaya Co., Ltd. | | | (4,000 | ) | | | (25,498 | ) | |
| Oil, Gas & Consumable Fuels (-0.1%) | |
| Japan Petroleum Exploration Co. | | | (1,500 | ) | | | (66,168 | ) | |
| TonenGeneral Sekiyu KK | | | (9,386 | ) | | | (78,458 | ) | |
| | | | (144,626 | ) | |
| Pharmaceuticals (-0.1%) | |
| Dainippon Sumitomo Pharma Co., Ltd. | | | (1,000 | ) | | | (10,500 | ) | |
| Santen Pharmaceutical Co., Ltd. | | | (19 | ) | | | (611 | ) | |
| Tsumura & Co. | | | (2,600 | ) | | | (84,090 | ) | |
| | | | (95,201 | ) | |
| Real Estate Management & Development (-0.1%) | |
| Aeon Mall Co., Ltd. | | | (1,668 | ) | | | (32,329 | ) | |
| Nomura Real Estate Holdings, Inc. | | | (1,800 | ) | | | (26,713 | ) | |
| NTT Urban Development Corp. | | | (88 | ) | | | (58,769 | ) | |
| | | | (117,811 | ) | |
| Software (-0.0%) | |
| Square Enix Co., Ltd. | | | (600 | ) | | | (12,664 | ) | |
| Trend Micro, Inc.* | | | (500 | ) | | | (19,000 | ) | |
| | | | (31,664 | ) | |
| Specialty Retail (-0.1%) | |
| ABC-Mart, Inc. | | | (1,800 | ) | | | (49,954 | ) | |
| Nitori Co., Ltd. | | | (144 | ) | | | (10,723 | ) | |
| | | | (60,677 | ) | |
See Accompanying Notes to Financial Statements.
53
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Textiles, Apparel & Luxury Goods (-0.0%) | |
| Asics Corp. | | | (3,051 | ) | | $ | (27,394 | ) | |
| Transportation Infrastructure (-0.0%) | |
| Kamigumi Co., Ltd. | | | (1,964 | ) | | | (14,337 | ) | |
| Mitsubishi Logistics Corp. | | | (3,000 | ) | | | (35,408 | ) | |
| | | | (49,745 | ) | |
| TOTAL JAPAN | | | (1,719,083 | ) | |
| Luxembourg (-0.3%) | |
| Wireless Telecommunication Services (-0.3%) | |
| Millicom International Cellular SA | | | (5,016 | ) | | | (373,003 | ) | |
| TOTAL LUXEMBOURG | | | (373,003 | ) | |
| Netherlands (-1.4%) | |
| Beverages (-0.3%) | |
| Heineken NV | | | (8,108 | ) | | | (385,237 | ) | |
| Energy Equipment & Services (-0.4%) | |
| Fugro NV | | | (6,000 | ) | | | (344,924 | ) | |
| SBM Offshore NV | | | (10,000 | ) | | | (196,365 | ) | |
| | | | (541,289 | ) | |
| Insurance (-0.0%) | |
| Aegon NV* | | | (10,000 | ) | | | (64,090 | ) | |
| Media (-0.2%) | |
| Wolters Kluwer NV | | | (9,898 | ) | | | (216,647 | ) | |
| Professional Services (-0.2%) | |
| Randstad Holding NV* | | | (6,851 | ) | | | (341,173 | ) | |
| Real Estate Investment Trusts (-0.3%) | |
| Corio NV | | | (5,162 | ) | | | (351,981 | ) | |
| TOTAL NETHERLANDS | | | (1,900,417 | ) | |
| Norway (-0.3%) | |
| Chemicals (-0.2%) | |
| Yara International ASA | | | (7,166 | ) | | | (325,316 | ) | |
| Industrial Conglomerates (-0.1%) | |
| Orkla ASA | | | (9,999 | ) | | | (98,319 | ) | |
| TOTAL NORWAY | | | (423,635 | ) | |
| Portugal (-0.2%) | |
| Construction Materials (-0.0%) | |
| Cimpor Cimentos de Portugal SGPS SA | | | (9,999 | ) | | | (91,983 | ) | |
| Diversified Telecommunication Services (-0.1%) | |
| Portugal Telecom SGPS SA | | | (10,000 | ) | | | (122,123 | ) | |
See Accompanying Notes to Financial Statements.
54
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Portugal | |
| Transportation Infrastructure (-0.1%) | |
| Brisa Auto-Estradas de Portugal SA | | | (9,958 | ) | | $ | (102,409 | ) | |
| TOTAL PORTUGAL | | | (316,515 | ) | |
| Spain (-0.8%) | |
| Biotechnology (-0.1%) | |
| Grifols SA | | | (9,997 | ) | | | (175,687 | ) | |
| Commercial Banks (-0.1%) | |
| Bankinter SA | | | (10,000 | ) | | | (103,111 | ) | |
| Electric Utilities (-0.3%) | |
| Red Electrica Corp. SA | | | (6,970 | ) | | | (389,268 | ) | |
| Independent Power Producers & Energy Traders (-0.1%) | |
| EDP Renovaveis SA* | | | (9,999 | ) | | | (94,884 | ) | |
| Iberdrola Renovables SA | | | (10,000 | ) | | | (47,660 | ) | |
| | | | (142,544 | ) | |
| Transportation Infrastructure (-0.2%) | |
| Abertis Infraestructuras SA | | | (10,000 | ) | | | (226,281 | ) | |
| TOTAL SPAIN | | | (1,036,891 | ) | |
| Sweden (-0.8%) | |
| Building Products (-0.2%) | |
| Assa Abloy AB Class B | | | (9,970 | ) | | | (192,463 | ) | |
| Commercial Services & Supplies (-0.1%) | |
| Securitas AB B Shares | | | (8,511 | ) | | | (83,524 | ) | |
| Communications Equipment (-0.1%) | |
| Telefonaktiebolaget LM Ericsson B Shares | | | (9,410 | ) | | | (86,806 | ) | |
| Construction & Engineering (-0.0%) | |
| Skanska AB B Shares | | | (1,739 | ) | | | (29,568 | ) | |
| Diversified Financial Services (-0.1%) | |
| Investor AB B Shares | | | (9,999 | ) | | | (185,582 | ) | |
| Diversified Telecommunication Services (-0.0%) | |
| TeliaSonera AB | | | (5,000 | ) | | | (36,212 | ) | |
| Health Care Equipment & Supplies (-0.1%) | |
| Getinge AB B Shares | | | (9,999 | ) | | | (191,490 | ) | |
| Machinery (-0.1%) | |
| Sandvik AB | | | (3,637 | ) | | | (43,886 | ) | |
| Volvo AB B Shares | | | (9,999 | ) | | | (85,936 | ) | |
| | | | (129,822 | ) | |
| Oil, Gas & Consumable Fuels (-0.1%) | |
| Lundin Petroleum AB* | | | (10,000 | ) | | | (79,056 | ) | |
| TOTAL SWEDEN | | | (1,014,523 | ) | |
See Accompanying Notes to Financial Statements.
55
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Switzerland (-1.1%) | |
| Chemicals (-0.5%) | |
| Givaudan SA | | | (464 | ) | | $ | (371,528 | ) | |
| Syngenta AG | | | (774 | ) | | | (218,731 | ) | |
| | | | (590,259 | ) | |
| Computers & Peripherals (-0.1%) | |
| Logitech International SA* | | | (7,833 | ) | | | (135,954 | ) | |
| Electric Utilities (-0.1%) | |
| BKW FMB Energie AG | | | (1,736 | ) | | | (135,387 | ) | |
| Food Products (-0.1%) | |
| Aryzta AG | | | (4,297 | ) | | | (160,145 | ) | |
| Health Care Equipment & Supplies (-0.3%) | |
| Straumann Holding AG | | | (1,182 | ) | | | (332,208 | ) | |
| Synthes, Inc. | | | (205 | ) | | | (26,891 | ) | |
| | | | (359,099 | ) | |
| Textiles, Apparel & Luxury Goods (-0.0%) | |
| The Swatch Group AG | | | (330 | ) | | | (15,719 | ) | |
| TOTAL SWITZERLAND | | | (1,396,563 | ) | |
| United Kingdom (-1.9%) | |
| Aerospace & Defense (-0.1%) | |
| Cobham PLC | | | (4,999 | ) | | | (20,188 | ) | |
| Rolls-Royce Group PLC* | | | (9,999 | ) | | | (77,850 | ) | |
| | | | (98,038 | ) | |
| Commercial Services & Supplies (-0.1%) | |
| G4S PLC | | | (9,999 | ) | | | (41,902 | ) | |
| Serco Group PLC | | | (9,999 | ) | | | (85,256 | ) | |
| | | | (127,158 | ) | |
| Diversified Telecommunication Services (-0.0%) | |
| Cable & Wireless PLC | | | (10,000 | ) | | | (22,744 | ) | |
| Energy Equipment & Services (-0.1%) | |
| AMEC PLC | | | (10,000 | ) | | | (127,377 | ) | |
| Food Products (-0.0%) | |
| Associated British Foods PLC | | | (182 | ) | | | (2,412 | ) | |
| Health Care Equipment & Supplies (-0.1%) | |
| Smith & Nephew PLC | | | (8,903 | ) | | | (91,560 | ) | |
| Household Durables (-0.1%) | |
| Berkeley Group Holdings PLC* | | | (10,000 | ) | | | (131,866 | ) | |
| Industrial Conglomerates (-0.1%) | |
| Smiths Group PLC | | | (9,629 | ) | | | (156,937 | ) | |
See Accompanying Notes to Financial Statements.
56
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
December 31, 2009
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| United Kingdom | |
| Insurance (-0.1%) | |
| Admiral Group PLC | | | (9,999 | ) | | $ | (191,147 | ) | |
| Internet & Catalog Retail (-0.0%) | |
| Home Retail Group PLC | | | (9,999 | ) | | | (45,340 | ) | |
| Metals & Mining (-0.3%) | |
| Antofagasta PLC | | | (1,440 | ) | | | (22,902 | ) | |
| Fresnillo PLC | | | (3,001 | ) | | | (38,110 | ) | |
| Kazakhmys PLC* | | | (5,664 | ) | | | (119,901 | ) | |
| Lonmin PLC* | | | (7,850 | ) | | | (246,653 | ) | |
| | | | (427,566 | ) | |
| Multiline Retail (-0.1%) | |
| Marks & Spencer Group PLC | | | (10,000 | ) | | | (64,595 | ) | |
| Oil, Gas & Consumable Fuels (-0.5%) | |
| Cairn Energy PLC* | | | (78,590 | ) | | | (420,624 | ) | |
| Tullow Oil PLC | | | (10,000 | ) | | | (209,759 | ) | |
| | | | (630,383 | ) | |
| Professional Services (-0.1%) | |
| The Capita Group PLC | | | (9,325 | ) | | | (112,729 | ) | |
| Real Estate Investment Trusts (-0.1%) | |
| Hammerson PLC | | | (9,992 | ) | | | (67,995 | ) | |
| Textiles, Apparel & Luxury Goods (-0.1%) | |
| Burberry Group PLC | | | (9,999 | ) | | | (96,016 | ) | |
| Tobacco (-0.0%) | |
| Imperial Tobacco Group PLC | | | (1,722 | ) | | | (54,313 | ) | |
| Water Utilities (-0.0%) | |
| Severn Trent PLC | | | (161 | ) | | | (2,813 | ) | |
| TOTAL UNITED KINGDOM | | | (2,450,989 | ) | |
| TOTAL COMMON STOCKS (Proceeds $25,152,154) | | | (25,465,062 | ) | |
| PREFERRED STOCKS (-0.1%) | |
| Germany (-0.1%) | |
| Fresenius SE (Proceeds $112,363) | | | (2,197 | ) | | | (157,846 | ) | |
| TOTAL GERMANY | | | (157,846 | ) | |
| TOTAL SECURITIES SOLD SHORT (Proceeds $25,264,517) | | | | | | $ | (25,622,908 | ) | |
* Non-income producing security.
§ Security or portion thereof is out on loan.
§§ Represents security purchased with cash collateral received for securities on loan.
See Accompanying Notes to Financial Statements.
57
Credit Suisse Trust — International Equity Flex III Portfolio
Statement of Assets and Liabilities
December 31, 2009
| Assets | |
Investments at value, including collateral for securities on loan of $13,422,242
(Cost $150,140,493) (Note 2) | | $ | 169,836,1001 | | |
| Cash | | | 793 | | |
| Foreign currency at value (cost $153,960) | | | 154,075 | | |
| Cash segregated at brokers for short sales | | | 26,917,323 | | |
| Receivable for portfolio shares sold | | | 212,021 | | |
| Dividend and interest receivable | | | 158,938 | | |
| Receivable for investments sold | | | 1,578 | | |
| Prepaid expenses and other assets | | | 11,168 | | |
| Total Assets | | | 197,291,996 | | |
| Liabilities | |
| Advisory fee payable (Note 3) | | | 42,272 | | |
| Administrative services fee payable (Note 3) | | | 29,593 | | |
| Payable upon return of securities loaned (Note 2) | | | 40,339,565 | | |
| Securities sold short, at value (Proceeds $25,264,517) | | | 25,622,908 | | |
| Payable for investments purchased | | | 344,251 | | |
| Payable for portfolio shares redeemed | | | 186,917 | | |
| Dividend expense payable on securities sold short | | | 12,733 | | |
| Trustees' fee payable | | | 3,705 | | |
| Other accrued expenses payable | | | 190,184 | | |
| Total Liabilities | | | 66,772,128 | | |
| Net Assets | |
| Capital stock, $.001 par value (Note 6) | | | 22,286 | | |
| Paid-in capital (Note 6) | | | 133,433,878 | | |
| Undistributed net investment income | | | 118,830 | | |
| Accumulated net realized loss on investments, short sales and foreign currency transactions | | | (22,391,865 | ) | |
| Net unrealized appreciation from investments, short sales and foreign currency translations | | | 19,336,739 | | |
| Net Assets | | $ | 130,519,868 | | |
| Shares outstanding | | | 22,285,618 | | |
| Net asset value, offering price and redemption price per share | | $ | 5.86 | | |
1 Including $38,601,332 of securities on loan.
See Accompanying Notes to Financial Statements.
58
Credit Suisse Trust — International Equity Flex III Portfolio
Statement of Operations
For the Year Ended December 31, 2009
| Investment Income (Note 2) | |
| Dividends | | $ | 1,815,572 | | |
| Interest | | | 260 | | |
| Securities lending | | | 60,323 | | |
| Foreign taxes withheld | | | (151,428 | ) | |
| Total investment income | | | 1,724,727 | | |
| Expenses | |
| Investment advisory fees (Note 3) | | | 527,019 | | |
| Administrative services fees (Note 3) | | | 142,018 | | |
| Custodian fees | | | 83,318 | | |
| Legal fees | | | 62,350 | | |
| Audit and tax fees | | | 43,764 | | |
| Dividend expense for securities sold short | | | 37,465 | | |
| Printing fees (Note 3) | | | 21,382 | | |
| Trustees' fees | | | 18,054 | | |
| Short sales expense | | | 10,251 | | |
| Insurance expense | | | 5,593 | | |
| Transfer agent fees | | | 4,435 | | |
| Commitment fees (Note 4) | | | 1,866 | | |
| Interest expense (Note 4) | | | 16 | | |
| Miscellaneous expense | | | 21,923 | | |
| Total expenses | | | 979,454 | | |
| Less: fees waived (Note 3) | | | (254,032 | ) | |
| Net expenses | | | 725,422 | | |
| Net investment income | | | 999,305 | | |
Net Realized and Unrealized Gain (Loss) from Investments, Short Sales and Foreign Currency
Related Items | |
| Net realized gain from investments (net of India Capital Gain Tax $2,697) | | | 3,272,661 | | |
| Net realized loss from short sales | | | (667,646 | ) | |
| Net realized loss from foreign currency transactions | | | (196,912 | ) | |
| Net change in unrealized appreciation (depreciation) from investments | | | 22,003,868 | | |
| Net change in unrealized appreciation (depreciation) from short sales | | | (358,391 | ) | |
| Net change in unrealized appreciation (depreciation) from foreign currency translations | | | 15,481 | | |
| Net realized and unrealized gain from investments, short sales and foreign currency related items | | | 24,069,061 | | |
| Net increase in net assets resulting from operations | | $ | 25,068,366 | | |
See Accompanying Notes to Financial Statements.
59
Credit Suisse Trust — International Equity Flex III Portfolio
Statements of Changes in Net Assets
| | | For the Year
Ended
December 31, 2009 | | For the Year
Ended
December 31, 2008 | |
| From Operations | |
| Net investment income | | $ | 999,305 | | | $ | 1,626,209 | | |
Net realized gain (loss) from investments, short sales and
foreign currency transactions | | | 2,408,103 | | | | (3,742,764 | ) | |
Net increase from payments by affiliates on the disposal of investments
in violation of restrictions (Note 3) | | | — | | | | 116,350 | | |
Net change in unrealized appreciation (depreciation) from investments,
short sales and foreign currency translations | | | 21,660,958 | | | | (82,391,650 | ) | |
| Net increase (decrease) in net assets resulting from operations | | | 25,068,366 | | | | (84,391,855 | ) | |
| From Dividends and Distributions | |
| Dividends from net investment income | | | (1,577,832 | ) | | | (2,085,510 | ) | |
| Distributions from net realized gains | | | (2,147,844 | ) | | | (57,210,032 | ) | |
| Net decrease in net assets resulting from dividends and distributions | | | (3,725,676 | ) | | | (59,295,542 | ) | |
| From Capital Share Transactions (Note 6) | |
| Proceeds from sale of shares | | | 17,093,006 | | | | 17,676,067 | | |
| Exchange value of shares due to merger | | | 59,791,876 | | | | — | | |
| Reinvestment of dividends and distributions | | | 3,725,676 | | | | 59,295,542 | | |
| Net asset value of shares redeemed | | | (24,678,017 | ) | | | (59,856,229 | ) | |
| Net increase in net assets from capital share transactions | | | 55,932,541 | | | | 17,115,380 | | |
| Net increase (decrease) in net assets | | | 77,275,231 | | | | (126,572,017 | ) | |
| Net Assets | |
| Beginning of year | | | 53,244,637 | | | | 179,816,654 | | |
| End of year | | $ | 130,519,868 | | | $ | 53,244,637 | | |
| Undistributed net investment income | | $ | 118,830 | | | $ | 864,263 | | |
See Accompanying Notes to Financial Statements.
60
Credit Suisse Trust — International Equity Flex III Portfolio
Statement of Cash Flows
For the Year Ended December 31, 2009
| Cash Flows from Operating Activities | |
| Dividends, interest and securities lending income received | | $ | 1,806,591 | | | | | | |
| Operating expenses paid | | | (558,223 | ) | | | | | |
| Dividend expense paid on securities sold short | | | (24,732 | ) | | | | | |
| Purchases of long-term securities | | | (134,029,968 | ) | | | | | |
| Proceeds from sales of long-term securities | | | 125,527,638 | | | | | | |
| Purchases to cover securities sold short | | | (10,926,399 | ) | | | | | |
| Proceeds from securities sold short | | | 27,002,293 | | | | | | |
| Purchases of short-term securities, net | | | (1,044,000 | ) | | | | | |
| Net cash provided by operating activities | | | | | | $ | 7,753,200 | | |
| Cash Flows from Financing Activities | |
| Proceeds from sale of shares | | | 16,960,884 | | | | | | |
| Cost of shares redeemed | | | (24,492,762 | ) | | | | | |
| Net cash used by financing activities | | | | | | | (7,531,878 | ) | |
| Effect of exchange rate on cash | | | | | | | (183,881 | ) | |
| Net increase in cash | | | | | | | 37,441 | | |
| Cash — beginning of year | | | | | | | 117,427 | | |
| Cash — end of year | | | | | | $ | 154,868 | | |
RECONCILIATION OF NET INCREASE IN NET ASSETS FROM OPERATIONS TO
NET CASH PROVIDED BY OPERATING ACTIVITIES | |
| Net increase in net assets resulting from operations | | | | | | $ | 25,068,366 | | |
Adjustments to Reconcile Net Increase in Net Assets from Operations to
Net Cash Provided by Operating Activities | |
| Change in dividends and interest receivable | | $ | 81,864 | | | | | | |
| Change in accrued expenses | | | 27,074 | | | | | | |
| Change in prepaid expenses and other assets | | | (9,052 | ) | | | | | |
| Change in advisory fee payable/receivable from investment adviser | | | 111,712 | | | | | | |
| Change in dividend expense payable on securities sold short | | | 12,733 | | | | | | |
| Purchases of long-term securities | | | (134,029,968 | ) | | | | | |
| Proceeds from sales of long-term securities | | | 125,527,638 | | | | | | |
| Purchases to cover for securities sold short | | | (10,926,399 | ) | | | | | |
| Proceeds from securities sold short | | | 27,002,293 | | | | | | |
Net change in unrealized appreciation from investments, short sales and
foreign currency translations | | | (21,660,958 | ) | | | | | |
| Net realized gain from investments, short sales and foreign currency transactions | | | (2,408,103 | ) | | | | | |
| Purchases of short-term securities, net | | | (1,044,000 | ) | | | | | |
| Total adjustments | | | | | | | (17,315,166 | ) | |
| Net cash provided by operating activities | | | | | | $ | 7,753,200 | | |
| Non-Cash Activity: | |
| Dividend reinvestments | | | | | | $ | 3,725,676 | | |
| Exchange value of shares due to merger | | | | | | | 59,791,876 | | |
| Net non-cash activity | | | | | | $ | 63,517,552 | | |
See Accompanying Notes to Financial Statements.
61
Credit Suisse Trust — International Equity Flex III Portfolio
Financial Highlights
(For a Share of the Portfolio Outstanding Throughout Each Year)
| | | For the Year Ended December 31, | |
| | | 2009 | | 2008 | | 2007 | | 2006 | | 2005 | |
| Per share data | |
| Net asset value, beginning of year | | $ | 4.08 | | | $ | 23.58 | | | $ | 21.85 | | | $ | 16.82 | | | $ | 13.25 | | |
| INVESTMENT OPERATIONS | |
| Net investment income | | | 0.08 | | | | 0.25 | | | | 0.37 | | | | 0.21 | | | | 0.14 | | |
Net gain (loss) on investments, short sales
and foreign currency related items
(both realized and unrealized) | | | 2.01 | | | | (10.11 | )1 | | | 5.58 | | | | 5.19 | | | | 3.53 | | |
| Total from investment operations | | | 2.09 | | | | (9.86 | ) | | | 5.95 | | | | 5.40 | | | | 3.67 | | |
| LESS DIVIDENDS AND DISTRIBUTIONS | |
| Dividends from net investment income | | | (0.13 | ) | | | (0.34 | ) | | | (0.37 | ) | | | (0.11 | ) | | | (0.10 | ) | |
| Distributions from net realized gains | | | (0.18 | ) | | | (9.30 | ) | | | (3.85 | ) | | | (0.26 | ) | | | — | | |
| Total dividends and distributions | | | (0.31 | ) | | | (9.64 | ) | | | (4.22 | ) | | | (0.37 | ) | | | (0.10 | ) | |
| Net asset value, end of year | | $ | 5.86 | | | $ | 4.08 | | | $ | 23.58 | | | $ | 21.85 | | | $ | 16.82 | | |
| Total return2 | | | 51.62 | % | | | (54.80 | )% | | | 29.44 | % | | | 32.51 | % | | | 27.84 | % | |
| RATIOS AND SUPPLEMENTAL DATA | |
| Net assets, end of year (000s omitted) | | $ | 130,520 | | | $ | 53,245 | | | $ | 179,817 | | | $ | 242,319 | | | $ | 186,190 | | |
| Ratio of expenses to average net assets | | | 1.14 | % | | | 1.04 | % | | | 1.30 | % | | | 1.36 | % | | | 1.40 | % | |
Ratio of expenses to average net assets
excluding short sales dividend expense | | | 1.08 | % | | | — | | | | — | | | | — | | | | — | | |
Ratio of net investment income to
average net assets | | | 1.57 | % | | | 1.40 | % | | | 0.94 | % | | | 1.11 | % | | | 1.11 | % | |
Decrease reflected in above operating expense
ratios due to waivers/reimbursements | | | 0.40 | % | | | 0.25 | % | | | 0.15 | % | | | 0.23 | % | | | 0.25 | % | |
| Portfolio turnover rate | | | 196 | % | | | 61 | % | | | 62 | % | | | 80 | % | | | 77 | % | |
1 The investment adviser fully reimbursed the Portfolio for a loss on a transaction not meeting the Portfolio's investment guidelines, which otherwise would have reduced the amount by $0.01 (Note 3).
2 Total returns are historical and assume changes in share price and reinvestment of all dividends and distributions. Had certain expenses not been reduced during the years shown, total returns would have been lower. Total returns do not reflect charges and expenses attributable to any particular variable contract or plan.
See Accompanying Notes to Financial Statements.
62
Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements
December 31, 2009
Note 1. Organization
Credit Suisse Trust (the "Trust") is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the "1940 Act"), and currently offers three managed investment portfolios of which one, the International Equity Flex III Portfolio (the "Portfolio"), is included in this report. The Portfolio is a diversified investment fund that seeks capital appreciation. Shares of the Portfolio are not available directly to individual investors but may be offered only through (a) variable annuity contracts and variable life insurance contracts offered by separate accounts of certain insurance companies and (b) tax-qualified pension and retirement plans. The Portfolio may not be available in connection with a particular contract or plan. The Trust was organized under the laws of the Commonwealth of Massachusetts as a business trust on March 15, 1995. Effective May 1, 2009, the name of the Portfolio was changed fro m Emerging Markets Portfolio.
Note 2. Significant Accounting Policies
A) SECURITY VALUATION — The net asset value of the Portfolio 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. Equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (the "Valuation Time"). If no sales are reported, equity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will matur e in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Investments in mutual funds are valued at the mutual fund's closing net asset value per share on the day of valuation. Securities and other assets for which market quotations are not readily available, or whose values have been materially affected by events occurring before the Portfolio's Valuation Time but after the close of the securities' primary markets, are valued at fair value as determined in good faith by, or under the direction of, the Board of Trustees under procedures established by the Board of Trustees. The Portfolio may utilize a service
63
Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
provided by an independent third party which has been approved by the Board of Trustees to fair value certain securities. When fair-value pricing is employed, the prices of securities used by a portfolio to calculate its net asset value may differ from quoted or published prices for the same securities.
In accordance with the authoritative guidance on fair value measurements and disclosures under accounting principles generally accepted in the United States of America ("GAAP"), the Portfolio discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. GAAP established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is 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 Portfolio's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
64
Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
The following is a summary of the inputs used as of December 31, 2009 in valuing the Portfolio's investments carried at value:
| | | Level 1 | | Level 2 | | Level 3 | | Total | |
| Investments in Securities | |
| Common Stocks | |
| Asia | | $ | 4,749,400 | | | $ | — | | | $ | — | | | $ | 4,749,400 | | |
| Australia | | | 462,921 | | | | 7,241,592 | | | | — | | | | 7,704,513 | | |
| Austria | | | — | | | | 531,834 | | | | — | | | | 531,834 | | |
| Belgium | | | — | | | | 1,550,845 | | | | — | | | | 1,550,845 | | |
| Bermuda | | | — | | | | 31,821 | | | | — | | | | 31,821 | | |
| Cyprus | | | — | | | | 2,168 | | | | — | | | | 2,168 | | |
| Denmark | | | — | | | | 2,294,602 | | | | — | | | | 2,294,602 | | |
| Finland | | | — | | | | 2,169,720 | | | | — | | | | 2,169,720 | | |
| France | | | — | | | | 18,409,044 | | | | — | | | | 18,409,044 | | |
| Germany | | | — | | | | 13,313,396 | | | | — | | | | 13,313,396 | | |
| Greece | | | — | | | | 1,061,951 | | | | — | | | | 1,061,951 | | |
| Hong Kong | | | 2,245,300 | | | | — | | | | — | | | | 2,245,300 | | |
| Ireland | | | — | | | | 199,684 | | | | — | | | | 199,684 | | |
| Israel | | | — | | | | 8,272 | | | | — | | | | 8,272 | | |
| Italy | | | — | | | | 5,196,162 | | | | — | | | | 5,196,162 | | |
| Japan | | | — | | | | 29,242,353 | | | | — | | | | 29,242,353 | | |
| Luxembourg | | | 101,068 | | | | 1,872,776 | | | | — | | | | 1,973,844 | | |
| Netherlands | | | — | | | | 7,146,323 | | | | — | | | | 7,146,323 | | |
| Norway | | | — | | | | 670,572 | | | | — | | | | 670,572 | | |
| Portugal | | | — | | | | 284,258 | | | | — | | | | 284,258 | | |
| Singapore | | | 1,339,498 | | | | — | | | | — | | | | 1,339,498 | | |
| Spain | | | — | | | | 7,922,946 | | | | — | | | | 7,922,946 | | |
| Sweden | | | — | | | | 3,349,943 | | | | — | | | | 3,349,943 | | |
| Switzerland | | | 328,630 | | | | 12,615,734 | | | | — | | | | 12,944,364 | | |
| United Kingdom | | | 51,146 | | | | 29,434,842 | | | | — | | | | 29,485,988 | | |
| Preferred Stocks | |
| Germany | | | — | | | | 690,198 | | | | — | | | | 690,198 | | |
| Rights | |
| Australia | | | 132 | | | | — | | | | — | | | | 132 | | |
| Warrants | |
| France | | | 985 | | | | — | | | | — | | | | 985 | | |
| Italy | | | 742 | | | | — | | | | — | | | | 742 | | |
| Short-Term Investments | | | 13,422,242 | | | | 1,893,000 | | | | — | | | | 15,315,242 | | |
| Securities Sold Short | |
| Common Stocks | |
| Austria | | | — | | | | (930,642 | ) | | | — | | | | (930,642 | ) | |
| Belgium | | | — | | | | (1,022,819 | ) | | | — | | | | (1,022,819 | ) | |
| Bermuda | | | — | | | | (254,976 | ) | | | — | | | | (254,976 | ) | |
| Denmark | | | — | | | | (1,384,006 | ) | | | — | | | | (1,384,006 | ) | |
| Finland | | | — | | | | (1,018,350 | ) | | | — | | | | (1,018,350 | ) | |
| France | | | — | | | | (5,633,269 | ) | | | — | | | | (5,633,269 | ) | |
| Germany | | | — | | | | (3,353,223 | ) | | | — | | | | (3,353,223 | ) | |
| Italy | | | — | | | | (1,236,158 | ) | | | — | | | | (1,236,158 | ) | |
| Japan | | | — | | | | (1,719,083 | ) | | | — | | | | (1,719,083 | ) | |
65
Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
| | | Level 1 | | Level 2 | | Level 3 | | Total | |
| Luxembourg | | $ | — | | | $ | (373,003 | ) | | $ | — | | | $ | (373,003 | ) | |
| Netherlands | | | — | | | | (1,900,417 | ) | | | — | | | | (1,900,417 | ) | |
| Norway | | | — | | | | (423,635 | ) | | | — | | | | (423,635 | ) | |
| Portugal | | | — | | | | (316,515 | ) | | | — | | | | (316,515 | ) | |
| Spain | | | — | | | | (1,036,891 | ) | | | — | | | | (1,036,891 | ) | |
| Sweden | | | — | | | | (1,014,523 | ) | | | — | | | | (1,014,523 | ) | |
| Switzerland | | | — | | | | (1,396,563 | ) | | | — | | | | (1,396,563 | ) | |
| United Kingdom | | | — | | | | (2,450,989 | ) | | | — | | | | (2,450,989 | ) | |
| Preferred Stocks | |
| Germany | | | — | | | | (157,846 | ) | | | — | | | | (157,846 | ) | |
| Other Financial Instruments* | | | — | | | | — | | | | — | | | | — | | |
| | | $ | 22,702,064 | | | $ | 121,511,128 | | | $ | — | | | $ | 144,213,192 | | |
*Other financial instruments include futures, forwards and swap contracts.
B) DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES — Effective January 1, 2009, the Portfolio adopted amendments to authoritative guidance on disclosures about derivative instruments and hedging activities which require that the Portfolio 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 portfolio's financial position, financial performance, and cash flows. The Portfolio has not entered into any derivative or hedging activities during the period covered by this report.
C) FOREIGN CURRENCY TRANSACTIONS — The books and records of the Portfolio 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 are translated into U.S. dollar amounts at the current exchange rate at the end of the period. Translation gains or losses resulting from changes in the exchange rate during the reporting period and realized gains and losses on the settlement of foreign currency transactions are reported in the results of operations for the current period. The Portfolio does not isolate that portion of realized gains and losses on investments in equity securities which is due to changes in the foreign exchange rate from that which is due to changes in market prices of equity securities. The Portfolio isolates that portion of realized gains and losses on investments in debt securities which is due to changes in the foreign exchange rate from that which is due to changes in market prices of debt securities.
D) SECURITY TRANSACTIONS AND INVESTMENT INCOME — Security transactions are accounted for on a trade date basis. Interest income is recorded
66
Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
on the accrual basis. Dividends are 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.
E) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and 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. Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
F) FEDERAL INCOME TAXES — No provision is made for federal taxes as it is the Portfolio's intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under the Internal Revenue Code of 1986, as amended, and to make the requisite distributions to its shareholders, which will be sufficient to relieve it from federal income and excise taxes.
The Portfolio adopted the authoritative guidance for uncertainty in income taxes and recognizes a tax benefit 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 Portfolio has reviewed its current tax positions and has determined that no provision for income tax is required in the Portfolio's financial statements. The Portfolio's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
G) USE OF ESTIMATES — The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
H) SHORT-TERM INVESTMENTS — The Portfolio, together with other funds/portfolios advised by Credit Suisse Asset Management, LLC ("Credit Suisse"), an indirect, wholly-owned subsidiary of Credit Suisse Group AG, pools available cash into a short-term variable rate time deposit issued by State Street Bank and Trust Company ("SSB"), the Portfolio's custodian. The short-term time deposit issued by SSB is a variable rate account classified as a short-term investment.
67
Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
I) FORWARD FOREIGN CURRENCY CONTRACTS — The Portfolio may enter into forward foreign currency contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency. The Portfolio will enter into forward foreign currency contracts primarily for hedging purposes. Forward foreign currency contracts are adjusted by the daily forward exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized until the contract settlement date or an offsetting position is entered into. At December 31, 2009, the Portfolio had no open forward foreign currency contracts.
J) SHORT SALES — The Portfolio enters into short sales transactions collateralized by cash deposits received from brokers in connection with securities lending activities (see note K) and securities. Cash deposits are shown as cash segregated at brokers on the Statement of Assets and Liabilities. The collateral amounts required are determined daily by reference to the market value of the short positions. Short sales expose the Portfolio to the risk that it will be required to cover its short position at a time when the securities have appreciated in value, thus resulting in a loss to the Portfolio. The Portfolio's loss on a short sale could theoretically be unlimited in a case where the Portfolio is unable, for whatever reason, to close out its short position. Short sales also involve transaction and other costs that will reduce potential gains and increase potential portfolio losses. The use by the Portfolio of short sales in combinati on with long positions in its portfolio in an attempt to improve performance may not be successful and may result in greater losses or lower positive returns than if the Portfolio held only long positions. It is possible that the Portfolio's long equity positions will decline in value at the same time that the value of the securities it has sold short increases, thereby increasing potential losses to the Portfolio. In addition, the Portfolio's short selling strategies may limit its ability to fully benefit from increases in the equity markets. Short selling also involves a form of financial leverage that may exaggerate any losses realized by the Portfolio. Also, there is the risk that the counterparty to a short sale may fail to honor its contractual terms, causing a loss to the Portfolio.
K) SECURITIES LENDING — Loans of securities are required at all times to be secured by collateral at least equal to 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). Cash collateral received by the Portfolio in connection with securities lending activity is either in the form of cash segregated at brokers or pooled
68
Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 2. Significant Accounting Policies
together with cash collateral for other funds/portfolios advised by Credit Suisse and invested in a variety of investments, including funds advised by SSB, the Portfolio'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.
SSB has been engaged by the Portfolio to act as the Portfolio's securities lending agent. The Portfolio's securities lending arrangement provides that the Portfolio and SSB will share the net income earned from securities lending activities. During the year ended December 31, 2009, total earnings from the Portfolio's investment in cash collateral received in connection with securities lending arrangements was $81,227, of which $5,599 was rebated to borrowers (brokers). The Portfolio retained $60,323 in income from the cash collateral investment, and SSB, as lending agent, was paid $15,305. Securities lending income is accrued as earned.
L) OTHER — The Portfolio may invest in securities of foreign countries and governments which involve certain risks in addition to those inherent in domestic investments. Such risks generally include, among others, currency risk (fluctuations in currency exchange rates), information risk (key information may be inaccurate or unavailable) and political risk (expropriation, nationalization or the imposition of capital or currency controls or punitive taxes). Other risks of investing in foreign securities include liquidity and valuation risks.
The Portfolio's investments in securities of issuers located in less developed countries considered to be "emerging markets" involve risks in addition to those generally applicable to foreign securities. Focusing on emerging (less developed) markets involves higher levels of risk, including increased currency, information, liquidity, market, political and valuation risks. Deficiencies in regulatory oversight, market infrastructure, shareholder protections and company laws could expose the Portfolio to operational and other risks as well. Some countries may have restrictions that could limit the Portfolio's access to attractive investment opportunities. Additionally, emerging markets often face serious economic problems (such as high external debt, inflation and unemployment) that could subject the Portfolio to increased volatility or substantial declines in value.
The Portfolio may be subject to taxes imposed by countries in which it invests with respect to its investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Portfolio accrues such taxes when the related income is earned or gains are realized.
69
Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 3. Transactions with Affiliates and Related Parties
Credit Suisse serves as investment adviser for the Portfolio. Effective October 1, 2006, and through July 26, 2009, the Portfolio paid Credit Suisse for its advisory services a fee that consists of two components: (1) a monthly base management fee calculated by applying a fixed rate of 1.20% ("Base Fee"), plus or minus (2) a performance-fee adjustment ("Performance Adjustment") calculated by applying a variable rate of up to 0.20% (positive or negative) to the Portfolio's average daily net assets during the applicable performance measurement period. The performance measurement period will generally be 36 months. During the period from October 1, 2006 through September 30, 2007, only the Base Fee applied to the Portfolio. The fee adjustment went into effect on October 1, 2007. After 12 months have passed, the measurement period will be equal to the number of months that have elapsed since October 1, 2006 until 36 months has passed, after whic h the measurement period will become 36 months. The Base Fee and Performance Adjustment are calculated and accrued daily. The investment advisory fee is paid monthly in arrears. No Performance Adjustment will be applied unless the difference between the Portfolio's investment performance and the investment record of the MSCI Emerging Markets Free Index, the Portfolio's benchmark index (the "Index"), is 1.00% or greater (plus or minus) during the applicable performance measurement period. For purposes of computing the Base Fee and the Performance Adjustment, net assets will be averaged over different periods (average daily net assets during the relevant month for the Base Fee, versus average daily net assets during the performance measurement period for the Performance Adjustment). The investment performance of the Portfolio for the performance measurement period is used to calculate the Portfolio's Performance Adjustment. After Credit Suisse determines whether the Portfolio's performance was above or below t he Index by comparing the investment performance of the Portfolio against the investment record of the Index, Credit Suisse will apply the Performance Adjustment (positive or negative) across the Portfolio.
The following table shows the structure of the Performance Adjustment. No Performance Adjustment will be applied unless the difference between the Portfolio's investment performance and the investment record of the Index is
70
Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 3. Transactions with Affiliates and Related Parties
1.00% or greater (plus or minus) during the applicable performance measurement period.
| | | Annualized Return
(Net of Expenses)
Relative to Index | | Performance
Adjustment | |
| | | Over 2.00% | | | +0.20 | % | |
| | | 1.00% to 2.00% | | | +0.10 | % | |
| Base Fee plus/minus | | 0.00% to 1.00% | | | None | | |
| | | 0.00% to -1.00% | | | None | | |
| | | -1.00% to -2.00% | | | -0.10 | % | |
| | | Over -2.00% | | | -0.20 | % | |
For the year ended December 31, 2009, investment advisory fees earned and voluntarily waived were $695,959 and $254,032, respectively, less a performance fee adjustment of $168,940. Credit Suisse will not recapture from the Portfolio any fees it waived during the year ended December 31, 2009. Fee waivers and expense reimbursements are voluntary and may be discontinued by Credit Suisse at any time.
At a special meeting of shareholders held on July 24, 2009, shareholders approved a new advisory agreement with Credit Suisse whereby Credit Suisse will be paid an annualized fee of 1.00% without any performance adjustment effective July 27, 2009.
Credit Suisse Asset Management Limited ("Credit Suisse U.K."), an affiliate of Credit Suisse, served as sub-investment adviser to the Portfolio. Credit Suisse U.K.'s sub-investment advisory fees were paid by Credit Suisse out of Credit Suisse's net investment advisory fee and were not paid by the Portfolio. Effective May 1, 2009, Credit Suisse U.K. no longer serves as sub-investment adviser to the Portfolio.
Credit Suisse reimbursed the Portfolio for a $116,350 loss incurred on a transaction in September 2008 not meeting the Portfolio's investment guidelines. The reimbursement was recorded as a receivable as of December 31, 2008 and Credit Suisse subsequently made the payment in January 2009.
Credit Suisse Asset Management Securities, Inc. ("CSAMSI"), an affiliate of Credit Suisse, and SSB serve as co-administrators to the Portfolio. For its co-administrative services, CSAMSI currently receives a fee calculated at an annual rate of 0.09% of the Portfolio's average daily net assets. For the year ended December 31, 2009, co-administrative services fees earned by CSAMSI were $57,127.
71
Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 3. Transactions with Affiliates and Related Parties
For its co-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 December 31, 2009, co-administrative services fees earned by SSB (including out-of-pocket expenses) were $84,891.
In addition to serving as the Portfolio's co-administrator, CSAMSI currently serves as distributor of the Portfolio's shares without compensation.
Merrill Corporation ("Merrill"), an affiliate of Credit Suisse, has been engaged by the Portfolio to provide certain financial printing services. For the year ended December 31, 2009, Merrill was paid $21,134 for its services by the Portfolio.
Note 4. Line of Credit
The Portfolio, together with other funds/portfolios advised by Credit Suisse (collectively, the "Participating Funds"), participates in a $50 million committed, unsecured line of credit facility ("Credit Facility") for temporary or emergency purposes with SSB. Under the terms of the Credit Facility, the Participating Funds pay an aggregate commitment fee on the average unused amount of the Credit Facility, which is allocated among the Participating Funds in such manner as is determined by the governing Boards of the Participating Funds. In addition, the Participating Funds pay interest on borrowings at either the Overnight Federal Funds rate or the Overnight LIBOR rate plus a spread. At December 31, 2009, the Portfolio had no loans outstanding under the Credit Facility. During the year ended December 31, 2009, the Portfolio had borrowings under the Credit Facility as follows:
Average Daily
Loan Balance | | Weighted Average
Interest Rate % | | Maximum Daily
Loan Outstanding | |
| $ | 356,000 | | | | 0.580 | % | | $ | 641,000 | | |
Note 5. Purchases and Sales of Securities
For the year ended December 31, 2009, purchases and sales of investment securities (excluding short sales and short-term investments) were $134,371,133 and $124,883,815, respectively. Securities sold short and purchases to cover securities sold short were $35,523,269 and $10,926,399, respectively.
72
Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 6. Capital Share Transactions
The Trust is authorized to issue an unlimited number of full and fractional shares of beneficial interest, $.001 par value per share. Transactions in capital shares of the Portfolio were as follows:
| | | For the Year Ended
December 31, 2009 | | For the Year Ended
December 31, 2008 | |
| Shares sold | | | 3,357,893 | | | | 1,008,819 | | |
| Shares issued due to merger | | | 10,314,385 | | | | — | | |
| Shares issued in reinvestment of dividends and distributions | | | 643,468 | | | | 9,915,642 | | |
| Shares redeemed | | | (5,091,113 | ) | | | (5,490,383 | ) | |
| Net increase | | | 9,224,633 | | | | 5,434,078 | | |
On December 31, 2009, the number of shareholders that held 5% or more of the outstanding shares of the Portfolio was as follows:
Number of
Shareholders | | Approximate Percentage
of Outstanding Shares | |
| | 5 | | | | 82 | % | |
Some of the shareholders are omnibus accounts, which hold shares on behalf of individual shareholders.
Note 7. Federal Income Taxes
Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
The tax characteristics of dividends and distributions paid during the years ended December 31, 2009 and 2008, respectively, by the Portfolio were as follows:
| Ordinary Income | | Long-Term Capital Gain | |
| 2009 | | 2008 | | 2009 | | 2008 | |
| $ | 1,577,884 | | | $ | 18,662,110 | | | $ | 2,147,792 | | | $ | 40,633,432 | | |
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 losses deferred on wash sales and mark-to-market of forward contracts.
73
Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 7. Federal Income Taxes
At December 31, 2009, the components of distributable earnings on a tax basis were as follows:
| Undistributed net investment income | | $ | 118,830 | | |
| Accumulated realized loss | | | (21,048,589 | ) | |
| Unrealized appreciation | | | 18,029,706 | | |
| Deferral of post—October capital losses | | | (36,243 | ) | |
| | | $ | (2,936,296 | ) | |
At December 31, 2009, the Portfolio had capital loss carryforwards available to offset possible future capital gains as follows:
| Expires December 31, | |
| 2016 | | 2017 | |
| $ | 17,709,095 | | | $ | 3,339,494 | | |
Included in the Portfolio's capital loss carryforwards which expire in 2016 is $6,534,646, acquired in the Credit Suisse Trust — International Equity Flex I Portfolio merger, which is subject to IRS limitations.
Included in the Portfolio's capital loss carryforwards which expire in 2016 is $11,174,449, acquired in the Credit Suisse Trust — International Equity Flex II Portfolio merger, which is subject to IRS limitations.
It is uncertain whether the Portfolio will be able to realize the benefits of the capital loss carryforwards before they expire.
At December 31, 2009, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized appreciation from investments were $151,447,539, $20,807,916, $(2,419,355) and $18,388,561, respectively.
At December 31, 2009, the identified proceeds for federal income tax purposes, as well as the gross unrealized appreciation from securities sold short for those securities having an excess of proceeds over value, gross unrealized depreciation from investments for those securities having an excess of value over proceeds and the net unrealized depreciation from securities sold short were $(25,264,517), $559,617, $(918,008) and $(358,391), respectively.
At December 31, 2009, the Portfolio reclassified $18,510,190 from accumulated realized loss and $166,906 from undistributed net investment income to paid in capital, to adjust for current period permanent book/tax differences which arose
74
Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 7. Federal Income Taxes
principally from differing book/tax treatments of foreign currency gain/(loss), realized capital gains tax, Passive Foreign Investment Companies, other temporary book/tax differences from acquired funds and distribution redesignations. Net assets were not affected by these reclassifications.
Note 8. Acquisition of Credit Suisse Trust — International Equity Flex I Portfolio and Credit Suisse Trust — International Equity Flex II Portfolio
On December 11, 2009, Credit Suisse Trust — International Equity Flex III Portfolio acquired all of the net assets of Credit Suisse Trust — International Equity Flex I Portfolio and Credit Suisse Trust — International Equity Flex II Portfolio, both open-end investment companies, pursuant to a plan of reorganization approved by the Board of Trustees on August 18, 2009. The purpose of the transaction was to combine three funds managed by Credit Suisse with comparable investment objectives and strategies. The acquisition was accomplished by a tax-free exchange of 2,140,708 shares of Credit Suisse Trust — International Equity Flex I Portfolio valued at $21,716,138 and 4,055,155 shares of Credit Suisse Trust — International Equity Flex II Portfolio valued at $38,075,738 for 10,314,385 shares of Credit Suisse Trust — International Equity Flex III Portfolio. The investment portfolios of Credit Suisse Trust — Inter national Equity Flex I Portfolio and Credit Suisse Trust — International Equity Flex II Portfolio had a fair value at December 11, 2009 of $21,695,471 and $38,080,582 and identified costs of $18,350,197 and $32,684,366, respectively, which were the principal assets acquired by Credit Suisse Trust — International Equity Flex III Portfolio. For financial reporting purposes, assets received and shares issued by Credit Suisse Trust — International Equity Flex III Portfolio were recorded at fair value; however the cost basis of the investments received from Credit Suisse Trust — International Equity Flex I Portfolio and Credit Suisse Trust — International Equity Flex II Portfolio were carried forward to align ongoing reporting of Credit Suisse Trust — International Equity Flex III Portfolio's realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. Immediately prior to the merger, the net assets of Credit Suisse Trust — International Equity Flex III Portfolio were $69,332,521.
75
Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
December 31, 2009
Note 8. Acquisition of Credit Suisse Trust — International Equity Flex I Portfolio and Credit Suisse Trust — International Equity Flex II Portfolio
Credit Suisse Trust — International Equity Flex III Portfolio pro forma results of operations for the year ended December 31, 2009 are as follows:
| Net investment income | | $ | 2,421,2591 | | |
Net gain from investments, short sales and foreign currency
related items | | | 38,720,0892 | | |
| Net increase in net assets resulting from operations | | $ | 41,141,348 | | |
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of net investment income and net gain on investments of Credit Suisse Trust — International Equity Flex I Portfolio and Credit Suisse Trust — International Equity Flex II Portfolio that have been included in Credit Suisse Trust — International Equity Flex III Portfolio's statement of operations since December 11, 2009.
1 $999,305 as reported, plus $784,313 and $475,788 for Credit Suisse Trust — International Equity Flex I Portfolio and Credit Suisse Trust — International Equity Flex II Portfolio, respectively, premerger, plus $161,853 of pro-forma gross expenses eliminated.
2 $24,069,061 as reported, plus $6,002,603 and $8,648,425 for Credit Suisse Trust — International Equity Flex I Portfolio and Credit Suisse Trust — International Equity Flex II Portfolio, respectively, premerger.
Note 9. Contingencies
In the normal course of business, the Portfolio may provide general indemnifications pursuant to certain contracts and organizational documents. The Portfolio's maximum exposure under these arrangements is dependent on future claims that may be made against the Portfolio and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote.
Note 10. Subsequent Events
Effective June 30, 2009, the Portfolio adopted the Financial Accounting Standards Board ("FASB") amendments to general standards on accounting for and disclosures of subsequent events. Management has evaluated the possibility of subsequent events existing in the Portfolio's financial statements through February 18, 2010. Management has determined that there are no material events that would require disclosure in the Portfolio's financial statements through this date.
76
Credit Suisse Trust — International Equity Flex III Portfolio
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
Credit Suisse Trust — International Equity Flex III Portfolio:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations, of changes in net assets and of cash flows and the financial highlights present fairly, in all material respects, the financial position of Credit Suisse Trust — International Equity Flex III Portfolio (formerly Credit Suisse Trust — Emerging Markets Portfolio) (the "Portfolio") at December 31, 2009, the results of its operations and its cash flows for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolio's management. Our re sponsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at December 31, 2009 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 18, 2010
77
Credit Suisse Trust — International Equity Flex III Portfolio
Board Approval of Advisory Agreement (unaudited)
In approving the renewal of the current Advisory Agreement, the Board of Trustees, including the Independent Trustees, at a meeting held on November 16 and 17, 2009, considered the following factors with respect to the International Equity Flex III Portfolio (the "Portfolio"):
Investment Advisory Fee Rates
The Board reviewed and considered the contractual advisory fee rate of 1.00% for the Portfolio ("Contractual Advisory Fee") in light of the extent and quality of the advisory services provided by Credit Suisse Asset Management, LLC ("Credit Suisse"). The Board also reviewed and considered the fee waivers currently in place for the Portfolio and considered the actual fee rate of 0.44% paid by the Portfolio after taking waivers into account ("Net Advisory Fee"). The Board also considered the merger of the other Credit Suisse portfolios into the Portfolio. The Board acknowledged that voluntary fee waivers could be discontinued at any time.
Additionally, the Board received and considered information comparing the Portfolio's Contractual Advisory Fee, Net Advisory Fee and the Portfolio's overall expenses with those of funds in both the relevant expense group ("Expense Group") and universe of funds ("Expense Universe") provided by Lipper Inc., an independent provider of investment company data.
Nature, Extent and Quality of the Services under the Advisory Agreement
The Board received and considered information regarding the nature, extent and quality of services provided to the Portfolio by Credit Suisse under the Advisory Agreement. The Board also noted information received at regular meetings throughout the year related to the services rendered by Credit Suisse. The Board reviewed background information about Credit Suisse, including its Form ADV. The Board considered the background and experience of Credit Suisse's senior management and the expertise of, and the amount of attention given to the Portfolio by, senior personnel of Credit Suisse. In addition, the Board reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day portfolio management of the Portfolio and the extent of the resources devoted to research and analysis of actual and potential investments. The Board also received and considered information about the nat ure, extent and quality of services and fee rates offered to other Credit Suisse clients for comparable services.
78
Credit Suisse Trust — International Equity Flex III Portfolio
Board Approval of Advisory Agreement (unaudited) (continued)
Portfolio Performance
The Board received and considered performance results of the Portfolio over time, along with comparisons both to the relevant performance group ("Performance Group") and universe of funds ("Performance Universe") for the Portfolio. The Board was provided with a description of the methodology used to arrive at the funds included in the Performance Group and the Performance Universe.
Credit Suisse Profitability
The Board received and considered a profitability analysis of Credit Suisse based on the fees payable under the Advisory Agreement for the Portfolio, including any fee waivers, as well as other relationships between the Portfolio on the one hand and Credit Suisse affiliates on the other. The Board received profitability information for the other funds in the Credit Suisse family of funds.
Economies of Scale
The Board considered whether economies of scale in the provision of services to the Portfolio were being passed along to the shareholders. Accordingly, the Board considered whether alternative fee structures (such as breakpoint fee structures) would be more appropriate or reasonable taking into consideration economies of scale or other efficiencies that might accrue from increases in the Portfolio's asset levels.
Other Benefits to Credit Suisse
The Board considered other benefits received by Credit Suisse and its affiliates as a result of their relationship with the Portfolio. Such benefits include, among others, benefits potentially derived from an increase in Credit Suisse's businesses as a result of its relationship with the Portfolio (such as the ability to market to shareholders other financial products offered by Credit Suisse and its affiliates).
The Board considered the standards applied in seeking best execution, any benefits that may be achieved by using an affiliated broker and the existence of quality controls applicable to brokerage allocation procedures. The Board also reviewed Credit Suisse's method for allocating portfolio investment opportunities among its advisory clients.
79
Credit Suisse Trust — International Equity Flex III Portfolio
Board Approval of Advisory Agreement (unaudited) (continued)
Conclusions
In selecting Credit Suisse and approving the Advisory Agreement and the investment advisory fee under such agreement, the Board concluded that:
• Although the combined Contractual Advisory Fee and co-administration fees were the highest in the Expense Group, the fee was considered reasonable, recognizing that the Net Advisory Fee and the actual total expenses were among the lowest in the Expense Group.
• The Portfolio's performance was above the median for all periods in the Performance Group and Performance Universe. The Board noted the changes to the Portfolio during the past year, including the reorganization in which the assets of the International Equity Flex I and II Portfolios would be transferred to the Portfolio. They also noted the change to the Portfolio's investment strategy.
• The Board was satisfied with the nature and extent of the investment advisory services provided to the Portfolio by Credit Suisse and that, based on dialogue with management and counsel, the services provided by Credit Suisse under the Advisory Agreement are typical of, and consistent with, those provided to similar mutual funds by other investment advisers.
• In light of the costs of providing investment management and other services to the Portfolio and Credit Suisse's ongoing commitment to the Portfolio and willingness to waive fees, the profits and other ancillary benefits that Credit Suisse and its affiliates received were considered reasonable.
• Credit Suisse's profitability based on fees payable under the Advisory Agreement was reasonable in light of the nature, extent and quality of the services provided to the Portfolio thereunder.
• In light of the fee waivers and the Net Advisory Fee, the Portfolio's current fee structure (without breakpoints) was considered reasonable.
No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the Advisory Agreement. The Independent Trustees were advised by separate independent legal counsel throughout the process.
80
Credit Suisse Trust — International Equity Flex III Portfolio
Information Concerning Trustees and Officers (unaudited)
Name, Address
(Year of Birth) | | Position(s)
Held with
Trust | | 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
Directorships
Held by Trustee | |
| Independent Trustees | | | | | | | | | | | |
|
Enrique Arzac
c/o Credit Suisse Asset
Management, LLC
Attn: General Counsel
Eleven Madison Avenue
New York, New York
10010
(1941) | | Trustee,
Audit Committee Chairman and Nominating Committee Member | | Since 2005 | | Professor of Finance and Economics, Graduate School of Business, Columbia University since 1971. | | | 13 | | | Director of Epoch Holding Corporation (an investment management and investment advisory services company); Director of Starcomms PLC. (telecommunications company); Director of The Adams Express Company, Petroleum and Resources Corporation, The Chile Fund, Inc., The Indonesia Fund, Inc., The First Israel Fund, Inc., The Latin America Equity Fund, Inc. and The Emerging Markets Telecommunications Fund, Inc. (each a closed-end investment company). | |
|
Jeffrey E. Garten2
Box 208200
New Haven, Connecticut
06520-8200
(1946) | | Trustee,
Audit and Nominating Committee Member | | Since 1998 | | The Juan Trippe Professor in the Practice of International Trade, Finance and Business from July 2005 to present; Partner and Chairman of Garten Rothkopf (consulting firm) from October 2005 to present; Dean of Yale School of Management from November 1995 to June 2005. | | | 11 | | | Director of Aetna, Inc. (insurance company); Director of CarMax Group (used car dealers). | |
|
1 Each Trustee and Officer serves until his or her respective successor has been duly elected and qualified.
2 Mr. Garten was initially appointed as a Trustee of the Portfolio on February 6, 1998. He resigned as Trustee on February 3, 2000 and was subsequently reappointed on December 21, 2000.
81
Credit Suisse Trust — International Equity Flex III Portfolio
Information Concerning Trustees and Officers (unaudited) (continued)
Name, Address
(Year of Birth) | | Position(s)
Held with
Trust | | 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
Directorships
Held by Trustee | |
| Independent Trustees | | | | | | | | | | | |
|
Peter F. Krogh
c/o Credit Suisse Asset Management, LLC
Attn: General Counsel Eleven Madison Avenue New York, New York
10010
(1937) | | Trustee,
Audit and Nominating Committee Member | | Since 2001 | | Dean Emeritus and Distinguished Professor of International Affairs at the Edmund A. Walsh School of Foreign Service, Georgetown University from June 1995 to present. | | | 11 | | | None | |
|
Steven N. Rappaport
Lehigh Court, LLC
555 Madison Avenue
29th Floor
New York, New York
10022
(1948) | | Chairman of the Board of Trustees, Audit Committee Member and Nominating Committee Chairman | | Trustee since 1999 and Chairman since 2005 | | Partner of Lehigh Court, LLC and RZ Capital (private investment firms) from July 2002 to present. | | | 13 | | | Director of iCAD, Inc. (surgical and medical instruments and apparatus company); Director of Presstek, Inc. (digital imaging technologies company); Director of Wood Resources, LLC. (plywood manufacturing company); Director of The Chile Fund, Inc., The Indonesia Fund, Inc., The First Israel Fund, Inc., The Latin America Equity Fund, Inc. and The Emerging Markets Telecommunications Fund, Inc. (each a closed-end investment company). | |
|
82
Credit Suisse Trust — International Equity Flex III Portfolio
Information Concerning Trustees and Officers (unaudited) (continued)
Name, Address
(Year of Birth) | | Position(s)
Held with
Trust | | Term
of Office1
and
Length
of Time
Served | | Principal Occupation(s) During Past Five Years | |
| Officers** | | | | | | | |
|
George R. Hornig
Credit Suisse Asset Management, LLC
Eleven Madison Avenue New York, New York
10010
(1954) | | Chief Executive Officer and President | | Since 2008 | | Managing Director of Credit Suisse; Co-Chief Operating Officer of Asset Management and Head of Asset Management Americas; Associated with Credit Suisse since 1999; Officer of other Credit Suisse Funds. | |
|
Michael A. Pignataro
Credit Suisse Asset Management, LLC
Eleven Madison Avenue New York, New York
10010
(1959) | | Chief Financial Officer | | Since 1999 | | Director and Director of Fund Administration of Credit Suisse; Associated with Credit Suisse or its predecessor since 1984; 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 | | Director and Global Head of Compliance of Credit Suisse; Associated with Credit Suisse since July 2000; Officer of other Credit Suisse Funds. | |
|
J. Kevin Gao
Credit Suisse Asset Management, LLC
Eleven Madison Avenue New York, New York
10010
(1967) | | Chief Legal Officer since 2006, Vice President and Secretary since 2004 | | Since 2004 | | Director and Legal Counsel of Credit Suisse; Associated with Credit Suisse since July 2003; Officer of other Credit Suisse Funds. | |
|
Cecilia Chau
Credit Suisse Asset Management, LLC
Eleven Madison Avenue New York, New York
10010
(1973) | | Treasurer | | Since 2008 | | Vice President of Credit Suisse since 2009; Assistant Vice President of Credit Suisse from June 2007 to December 2008; Associated with Alliance Bernstein L.P. from January 2007 to May 2007; Associated with Credit Suisse from August 2000 to December 2006; Officer of other Credit Suisse Funds. | |
|
** The officers of the Portfolio shown are officers that make policy decisions.
The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling 800-222-8977.
83
Credit Suisse Trust — International Equity Flex III Portfolio
Tax Information Letter
December 31, 2009 (unaudited)
Important Tax Information for Corporate Shareholders
During the year ended December 31, 2009, the Portfolio declared $2,147,792 in dividends that were designated as long-term capital gains dividends.
84
Credit Suisse Trust — International Equity Flex III Portfolio
Proxy Voting and Portfolio Holdings Information (unaudited)
Information regarding how the Portfolio voted proxies related to its portfolio securities during the 12 month period ended June 30 of each year, as well as the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities are available:
• By calling 1-800-222-8977
• On the Portfolio's website, www.credit-suisse.com/us
• On the website of the Securities and Exchange Commission, www.sec.gov.
The Portfolio files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Portfolio's Forms N-Q are available on the SEC's website at www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the SEC's Public Reference Room may be obtained by calling 1-202-551-8090.
85
This page intentionally left blank
This page intentionally left blank
This page intentionally left blank
P.O. BOX 55030, BOSTON, MA 02205-5030
800-222-8977 n www.credit-suisse.com/us
CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., DISTRIBUTOR. TREMK-AR-1209
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 December 31, 2009. There were no waivers or implicit waivers from the code granted by the registrant during the fiscal year ended December 31, 2009.
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: Enrique R. Arzac 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 by its independent registered public accounting firm, PricewaterhouseCoopers LLP (“PwC”), for its fiscal years ended December 31, 2008 and December 31, 2009.
| | 2008 | | 2009 | |
Audit Fees | | $ | 219,000 | | $ | 134,000 | |
Audit-Related Fees(1) | | $ | 27,200 | | $ | 27,200 | |
Tax Fees(2) | | $ | 12,800 | | $ | 8,400 | |
All Other Fees | | — | | — | |
Total | | $ | 259,000 | | $ | 169,600 | |
(1) Services include agreed-upon procedures in connection with the registrant’s semi-annual financial statements ($27,200 for 2008 and $27,200 for 2009).
(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
3
provider to the registrant controlling, controlled by or under common control with Credit Suisse that provided ongoing services to the registrant (“Covered Services Provider”), for the registrant’s fiscal years ended December 31, 2008 and December 31, 2009.
| | 2008 | | 2009 | |
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:
4
| | 2008 | | 2009 | |
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 December 31, 2008 and December 31, 2009:
| | 2008 | | 2009 | |
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 PwC for non-audit services rendered to the registrant, Credit Suisse and Covered Service Providers for the fiscal years ended December 31, 2008 and December 31, 2009 were $40,000 and $35,600, respectively.
(h) Not Applicable.
Item 5. Audit Committee of Listed Registrants.
Form N-CSR disclosure requirement is not applicable to the registrant.
Item 6. Schedule of Investments.
Included as part of the report to shareholders filed under Item 1 of this Form.
5
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
6
Form N-CSR disclosure requirement is not applicable to the registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Form N-CSR disclosure requirement is not applicable to the registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Form N-CSR disclosure requirement is not applicable to the registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
None
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 second fiscal quarter of the period 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. 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.
7
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 TRUST |
|
/s/ George R. Hornig | |
Name: George R. Hornig |
Title: Chief Executive Officer |
Date: February 25, 2010 |
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/ George R. Hornig | |
Name: George R. Hornig |
Title: Chief Executive Officer |
Date: February 25, 2010 |
|
/s/ Michael A. Pignataro | |
Name: Michael A. Pignataro |
Title: Chief Financial Officer |
Date: February 25, 2010 |
8
