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) |
|
John G. Popp 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 31 | |
|
Date of reporting period: | January 1, 2010 to June 30, 2010 | |
| | | | | | | | | |
Item 1. Reports to Stockholders.
CREDIT SUISSE FUNDS
Semiannual Report
June 30, 2010
(unaudited)
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 June 30, 2010; 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
Semiannual Investment Adviser's Report
June 30, 2010 (unaudited)
August 18, 2010
Dear Shareholder:
For the six-month period ended June 30, 2010, the Credit Suisse Trust — Commodity Return Strategy Portfolio (the "Portfolio") had a loss of 9.79%.1 Its benchmark, the Dow Jones-UBS Commodity Index Total Return2 ("DJ-UBS Index") decreased 9.60%. Also, the S&P 500 Index3 had a decrease of 6.65%.
Market Review: A challenging period
The six-month period ended June 30, 2010 was a volatile one. Global markets fluctuated between signs of economic recovery and uncertainty as a result of the potential debt crisis in the Eurozone and slower economic growth in China. Commodities declined for the six-month period ended June 30, 2010, due in large part to investor fears of a double dip recession. The Dow Jones-UBS Commodity Index Total Return declined 9.60% for the period, with commodities underperforming most other asset classes. The S&P 500 Index dropped by 6.65% and the Dow Jones Industrial Average lost 5.00%, while the Barclays Capital U.S. Aggregate Bond Index Total Return gained 5.33%.
Investors continued to worry about the soundness of the global economy — especially with regard to China, Europe and the United States. The main fear in China was that recent tightening measures (designed to control robust economic growth) might eventually curb global growth. At the same time, Europe continued to be weighed down by concerns over the Euro and European sovereign debt. In the United States, there has been growing concern over the government debt burden. Thus far, however, U.S. government debt and the U.S. dollar have been benefiting from the sovereign debt-related concerns emanating from across the Atlantic. Increased fears of a double-dip recession in the United States have also kept demand for U.S. government bonds strong, while other "risky" assets continued to falter.
Economically sensitive commodities were not spared by the continued risk aversion and industrial metals were particularly vulnerable. However, broad commodity markets were slightly buoyed by the combination of strong pockets in otherwise soft commodities markets, continued precious metals strength and positive energy markets.
Strategic Review and Outlook: Diversification and Potential Upside
The Portfolio seeks total return and is designed to achieve positive return relative to the performance of the DJ-UBS Index. To do so, the Fund invests in commodity-linked derivative instruments and fixed-income securities. The DJ-UBS Index is a broadly diversified futures index composed of futures
1
Credit Suisse Trust — Commodity Return Strategy Portfolio
Semiannual Investment Adviser's Report (continued)
June 30, 2010 (unaudited)
contracts on 19 physical commodities. The index is weighted among commodity sectors using dollar-adjusted liquidity and production data and is rebalanced as of the beginning of each calendar year.
For the semiannual period, the Portfolio underperformed the benchmark. Precious metals continued its momentum from the previous year-end and was the top performing commodity group, returning 12.87% for the period. Gold and silver were up 13.29% and 10.52%, respectively. In contrast, industrial metals was the worst performing commodity group for the period, declining 14.11% due to concerns over slower economic growth and a pull-back in development. Zinc was the weakest performer of all industrial metals, losing 32.01%, while nickel, up 5.91%, was the only commodity within the sector to post a gain. The livestock sector was up 2.96% with fairly steady returns from live cattle and lean hogs, up 3.38% and 2.38%, respectively.
Energy continued its decline during the period, losing 13.93%. Natural gas, down 22.62%, remained the leading contributor to the sector's poor performance, continuing to suffer from unexpected surpluses and lower than expected industrial demand. Crude oil, heating oil, and gasoline all detracted from performance as well, declining 10.57%, 8.17%, and 7.59%, respectively. Agriculture was down 13.66% for the period. Sugar declined 40.45%, making it the weakest commodity year-to-date, after rising 86.26% in 2009. Additionally, the negative returns of corn, wheat, soybean oil and soybean all contributed to agriculture's poor performance year-to-date. Up 17.66%, not only was coffee the only positively performing commodity within agriculture, but it was also the strongest commodity year-to-date due to tight inventory and lower production than anticipated.
In the fixed income portion of the portfolio, we maintained a bias toward high-quality, short-term assets — specifically bonds issued by U.S. Government-Sponsored Enterprises (GSE's) and U.S. Treasury issued debt. In the current credit environment, we remain confident in our high-quality fixed income positions, which performed well during the past six months.
Despite increasing economic concerns, developed market demand for key commodities, such as crude oil and copper, continues to increase and emerging market demand remains robust. Further, although supply side growth is still modest, capacity for supply-constrained commodities continues to rise. This may generally be supportive of commodity prices over time. In addition, as risk aversion fades and investors sell government debt to fund riskier investments geared toward economic development and growth, commodity prices may rise.
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Credit Suisse Trust — Commodity Return Strategy Portfolio
Semiannual Investment Adviser's Report (continued)
June 30, 2010 (unaudited)
For now, investors appear squarely focused on safety, while markets are pricing in a seemingly benign inflation environment. We know that times of increased uncertainty often coincide with heightened volatility, which is likely to continue in the near-term. We believe investors will continue to benefit from the inflation protection and diversification potential of commodities going forward.
Effective August 17, 2010, Nelson Louie* joined the Credit Suisse Commodities Management Team as co-manager of the Portfolio.
The Credit Suisse Commodities Management Team
Nelson Louie
Christopher Burton
* Nelson Louie, Managing Director, is Global Head of the Commodities Group. Mr. Louie re-joined Credit Suisse Asset Management, LLC in August 2010. From May 2009 to August 2010 he was an Executive Director in the Commodity Index Products area at UBS Securities, LLC. From June 2007 to May 2009 he was a Managing Director at AIG Financial Products responsible for North American Marketing of commodities-based solutions. From April 1993 to June 2007 he held positions within Credit Suisse Asset Management, LLC. His responsibilities included portfolio management and overseeing a team that was responsible for enhanced commodity and equity index strategies, option based hedging solutions and option arbitrage products. He was a team member of the Portfolio from inception through May 2007. Mr. Louie holds a Bachelor of Arts degree in Economics from Union College.
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.
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Credit Suisse Trust — Commodity Return Strategy Portfolio
Semiannual Investment Adviser's Report (continued)
June 30, 2010 (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.
Average Annual Returns as of June 30, 20101
| 1 Year | | Since
Inception | | Inception
Date | |
| | 2.67 | % | | | (2.61 | )% | | | 2/28/06 | | |
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 1.08%. 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
Credit Suisse Trust — Commodity Return Strategy Portfolio
Semiannual Investment Adviser's Report (continued)
June 30, 2010 (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 June 30, 2010.
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.
5
Credit Suisse Trust — Commodity Return Strategy Portfolio
Semiannual Investment Adviser's Report (continued)
June 30, 2010 (unaudited)
Expenses and Value for a $1,000 Investment
for the six month period ended June 30, 2010
| Actual Portfolio Return | |
| Beginning Account Value 1/1/10 | | $ | 1,000.00 | | |
| Ending Account Value 6/30/10 | | $ | 902.10 | | |
| Expenses Paid per $1,000* | | $ | 4.48 | | |
| Hypothetical 5% Portfolio Return | |
| Beginning Account Value 1/1/10 | | $ | 1,000.00 | | |
| Ending Account Value 6/30/10 | | $ | 1,020.08 | | |
| Expenses Paid per $1,000* | | $ | 4.76 | | |
| 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.
6
Credit Suisse Trust — Commodity Return Strategy Portfolio
Semiannual Investment Adviser's Report (continued)
June 30, 2010 (unaudited)
| Sector Breakdown* | |
| United States Agency Obligations | | | 59.9 | % | |
| Wholly-Owned Subsidiary | | | 23.0 | % | |
| Commodity Indexed Structured Notes | | | 11.1 | % | |
| United States Treasury Obligations | | | 5.0 | % | |
| Short-Term Investment | | | 1.0 | % | |
| Total | | | 100.0 | % | |
* Expressed as a percentage of total investments (excluding securities lending collateral if applicable) and may vary over time.
7
Credit Suisse Trust — Commodity Return Strategy Portfolio
Schedule of Investments
June 30, 2010 (unaudited)
Par
(000) | | | | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| COMMODITY INDEXED STRUCTURED NOTES (11.2%) | |
| $ | 4,500 | | | BNP Paribas, Commodity Index Linked
Senior Unsecured Notes# | | (AA, Aa2) | | 11/26/10 | | | 0.205 | | | $ | 4,209,750 | | |
| | 1,500 | | | Deutsche Bank AG London, Commodity Index
Linked Senior Unsecured Notes# | | (A+, Aa3) | | 02/15/11 | | | 0.190 | | | | 965,700 | | |
| | 2,700 | | | Deutsche Bank AG London, Commodity Index
Linked Senior Unsecured Notes# | | (A+, Aa3) | | 04/21/11 | | | 0.188 | | | | 2,218,050 | | |
| | 6,000 | | | Svensk AB Exportkredit, Commodity Index
Linked Senior Unsecured Notes# | | (AA+, Aa1) | | 04/15/11 | | | 0.033 | | | | 3,741,996 | | |
| TOTAL COMMODITY INDEXED STRUCTURED NOTES (Cost $14,700,000) | | | 11,135,496 | | |
| UNITED STATES AGENCY OBLIGATIONS (60.0%) | |
| | 3,400 | | | Fannie Mae Discount Notes | | (AAA, Aaa) | | 08/09/10 | | | 0.213 | | | | 3,399,217 | | |
| | 2,000 | | | Fannie Mae Discount Notes | | (AAA, Aaa) | | 09/20/10 | | | 0.250 | | | | 1,999,596 | | |
| | 3,000 | | | Fannie Mae Discount Notes | | (AAA, Aaa) | | 10/01/10 | | | 0.240 | | | | 2,998,926 | | |
| | 2,500 | | | Fannie Mae Discount Notes | | (AAA, Aaa) | | 01/18/11 | | | 0.300 | | | | 2,496,510 | | |
| | 5,000 | | | Federal Farm Credit Bank# | | (AAA, Aaa) | | 11/02/11 | | | 0.331 | | | | 5,001,500 | | |
| | 3,000 | | | Federal Farm Credit Bank# | | (AAA, Aaa) | | 01/13/12 | | | 0.650 | | | | 3,014,859 | | |
| | 2,000 | | | Federal Home Loan Bank Discount Notes | | (AAA, Aaa) | | 08/06/10 | | | 0.180 | | | | 1,999,640 | | |
| | 1,500 | | | Federal Home Loan Bank Discount Notes | | (AAA, Aaa) | | 09/08/10 | | | 0.150 | | | | 1,499,742 | | |
| | 2,500 | | | Federal Home Loan Banks# | | (AAA, Aaa) | | 10/15/10 | | | 0.243 | | | | 2,500,450 | | |
| | 2,500 | | | Federal Home Loan Banks | | (AAA, Aaa) | | 10/25/10 | | | 0.500 | | | | 2,503,840 | | |
| | 2,000 | | | Federal Home Loan Banks | | (AAA, Aaa) | | 10/29/10 | | | 0.270 | | | | 2,000,490 | | |
| | 2,500 | | | Federal Home Loan Banks | | (AAA, Aaa) | | 02/25/11 | | | 0.450 | | | | 2,500,352 | | |
| | 2,000 | | | Federal Home Loan Banks | | (AAA, Aaa) | | 03/25/11 | | | 0.750 | | | | 2,006,248 | | |
| | 3,000 | | | Federal Home Loan Banks | | (AAA, Aaa) | | 04/13/11 | | | 0.570 | | | | 3,001,689 | | |
| | 2,000 | | | Federal Home Loan Banks | | (AAA, Aaa) | | 05/16/11 | | | 0.610 | | | | 2,000,418 | | |
| | 3,000 | | | Federal Home Loan Banks Series 1# | | (AAA, Aaa) | | 01/14/11 | | | 0.253 | | | | 3,001,371 | | |
| | 2,500 | | | Federal Home Loan Mortgage Corp.# | | (AAA, Aaa) | | 02/02/12 | | | 0.271 | | | | 2,497,818 | | |
| | 2,500 | | | Federal Home Loan Mortgage Corp.# | | (AAA, Aaa) | | 02/16/12 | | | 0.310 | | | | 2,499,192 | | |
| | 2,000 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 07/12/10 | | | 0.180 | | | | 1,999,890 | | |
| | 4,100 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 09/28/10 | | | 0.250 | | | | 4,099,090 | | |
| | 2,500 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 10/05/10 | | | 0.250 | | | | 2,499,067 | | |
| | 2,500 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 11/15/10 | | | 0.230 | | | | 2,498,193 | | |
| | 2,000 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 05/04/11 | | | 0.400 | | | | 1,993,518 | | |
| TOTAL UNITED STATES AGENCY OBLIGATIONS (Cost $59,991,067) | | | 60,011,616 | | |
| UNITED STATES TREASURY OBLIGATIONS (5.0%) | |
| | 2,000 | | | United States Treasury Bills | | (AAA, Aaa) | | 12/02/10 | | | 0.215 | | | | 1,998,528 | | |
| | 3,000 | | | United States Treasury Notes | | (AAA, Aaa) | | 02/28/11 | | | 0.875 | | | | 3,012,072 | | |
| TOTAL UNITED STATES TREASURY OBLIGATIONS (Cost $5,009,496) | | | 5,010,600 | | |
| SHORT-TERM INVESTMENT (1.0%) | |
| | 984 | | | State Street Bank and Trust Co. Euro Time Deposit
(Cost $984,000) | | | | 07/01/10 | | | 0.010 | | | | 984,000 | | |
See Accompanying Notes to Financial Statements.
8
Credit Suisse Trust — Commodity Return Strategy Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
Number of
Shares | | | | Value | |
| WHOLLY-OWNED SUBSIDIARY (23.0%) | |
| | 42,540,242 | | | Credit Suisse Cayman Commodity Fund II, Ltd.^
(Cost $23,260,501) | | $ | 23,002,635 | | |
| TOTAL INVESTMENTS AT VALUE (100.2%) (Cost $103,945,064) | | | 100,144,347 | | |
| LIABILITIES IN EXCESS OF OTHER ASSETS (-0.2%) | | | (161,430 | ) | |
| NET ASSETS (100.0%) | | $ | 99,982,917 | | |
† 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 June 30, 2010.
^ Affiliated issuer. See Note 3.
See Accompanying Notes to Financial Statements.
9
Credit Suisse Trust — Commodity Return Strategy Portfolio
Statement of Assets and Liabilities
June 30, 2010 (unaudited)
| Assets | |
| Investments at value (Cost $80,684,563) (Note 2) | | $ | 77,141,712 | | |
| Investment in wholly-owned subsidiary at value (Cost $23,260,501) (Note 2) | | | 23,002,635 | | |
| Cash | | | 67 | | |
| Receivable for portfolio shares sold | | | 48,566 | | |
| Interest receivable | | | 37,058 | | |
| Prepaid expenses and other assets | | | 1,010 | | |
| Total Assets | | | 100,231,048 | | |
| Liabilities | |
| Advisory fee payable (Note 3) | | | 30,369 | | |
| Administrative services fee payable (Note 3) | | | 15,618 | | |
| Shareholder servicing/Distribution fee payable (Note 3) | | | 20,685 | | |
| Payable for portfolio shares redeemed | | | 128,343 | | |
| Trustees' fee payable | | | 4,627 | | |
| Other accrued expenses payable | | | 48,489 | | |
| Total Liabilities | | | 248,131 | | |
| Net Assets | |
| Capital stock, $.001 par value (Note 6) | | | 14,469 | | |
| Paid-in capital (Note 6) | | | 147,026,017 | | |
| Accumulated net investment loss | | | (11,464,230 | ) | |
| Accumulated net realized loss on investments | | | (31,792,622 | ) | |
| Net unrealized depreciation from investments | | | (3,800,717 | ) | |
| Net Assets | | $ | 99,982,917 | | |
| Shares outstanding | | | 14,468,690 | | |
| Net asset value, offering price and redemption price per share | | $ | 6.91 | | |
See Accompanying Notes to Financial Statements.
10
Credit Suisse Trust — Commodity Return Strategy Portfolio
Statement of Operations
For the Six Months Ended June 30, 2010 (unaudited)
| Investment Income (Note 2) | |
| Interest | | $ | 85,224 | | |
| Securities lending | | | 2,545 | | |
| Total investment income | | | 87,769 | | |
| Expenses | |
| Investment advisory fees (Note 3) | | | 259,007 | | |
| Administrative services fees (Note 3) | | | 73,918 | | |
| Shareholder servicing/Distribution fees (Note 3) | | | 129,504 | | |
| Printing fees (Note 3) | | | 24,752 | | |
| Legal fees | | | 19,552 | | |
| Audit and tax fees | | | 17,701 | | |
| Trustees' fees | | | 12,901 | | |
| Transfer agent fees | | | 9,639 | | |
| Insurance expense | | | 5,450 | | |
| Custodian fees | | | 3,500 | | |
| Commitment fees (Note 4) | | | 1,160 | | |
| Miscellaneous expense | | | 3,263 | | |
| Total expenses | | | 560,347 | | |
| Less: fees waived (Note 3) | | | (68,233 | ) | |
| Net expenses | | | 492,114 | | |
| Net investment loss | | | (404,345 | ) | |
| Net Realized and Unrealized Gain (Loss) from Investments | |
| Net realized gain from investments | | | 7,339,487 | | |
| Net change in unrealized appreciation (depreciation) from investments | | | (11,798,517 | ) | |
| Net change in unrealized appreciation (depreciation) from investment in wholly-owned subsidiary1 | | | (5,975,393 | ) | |
| Net realized and unrealized loss from investments | | | (10,434,423 | ) | |
| Net decrease in net assets resulting from operations | | $ | (10,838,768 | ) | |
1 There was no income recognized from the investment in wholly-owned subsidiary.
See Accompanying Notes to Financial Statements.
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Credit Suisse Trust — Commodity Return Strategy Portfolio
Statements of Changes in Net Assets
| | | For the Six Months
Ended
June 30, 2010
(unaudited) | | For the Year
Ended
December 31, 2009 | |
| From Operations | |
| Net investment loss | | $ | (404,345 | ) | | $ | (439,869 | ) | |
| Net realized gain (loss) from investments | | | 7,339,487 | | | | (28,640,354 | ) | |
| Net change in unrealized appreciation (depreciation) from investments | | | (17,773,910 | ) | | | 45,901,879 | | |
| Net increase (decrease) in net assets resulting from operations | | | (10,838,768 | ) | | | 16,821,656 | | |
| From Dividends | |
| Dividends from net investment income | | | — | | | | (10,619,456 | ) | |
| Net decrease in net assets resulting from dividends | | | — | | | | (10,619,456 | ) | |
| From Capital Share Transactions (Note 6) | |
| Proceeds from sale of shares | | | 7,080,945 | | | | 25,522,866 | | |
| Reinvestment of dividends | | | — | | | | 10,619,456 | | |
| Net asset value of shares redeemed | | | (4,469,865 | ) | | | (4,053,406 | ) | |
| Net increase in net assets from capital share transactions | | | 2,611,080 | | | | 32,088,916 | | |
| Net increase (decrease) in net assets | | | (8,227,688 | ) | | | 38,291,116 | | |
| Net Assets | |
| Beginning of period | | | 108,210,605 | | | | 69,919,489 | | |
| End of period | | $ | 99,982,917 | | | $ | 108,210,605 | | |
| Accumulated net investment loss | | $ | (11,464,230 | ) | | $ | (11,059,885 | ) | |
See Accompanying Notes to Financial Statements.
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Credit Suisse Trust — Commodity Return Strategy Portfolio
Financial Highlights
(For a Share of the Portfolio Outstanding Throughout Each Period)
| | | For the Six
Months Ended
June 30, 2010 | | For the Year Ended
December 31, | | For the Period
Ended | |
| | | (unaudited) | | 2009 | | 2008 | | 2007 | | December 31, 20061 | |
| Per share data | |
| Net asset value, beginning of period | | $ | 7.66 | | | $ | 7.11 | | | $ | 11.58 | | | $ | 10.37 | | | $ | 10.00 | | |
| INVESTMENT OPERATIONS | |
| Net investment income (loss)2 | | | (0.03 | ) | | | (0.04 | ) | | | 0.15 | | | | 0.54 | | | | 0.38 | | |
Net gain (loss) on investments, futures
contracts and swap contracts (both
realized and unrealized) | | | (0.72 | ) | | | 1.43 | | | | (3.80 | ) | | | 1.22 | | | | 0.25 | | |
| Total from investment operations | | | (0.75 | ) | | | 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 | | $ | 6.91 | | | $ | 7.66 | | | $ | 7.11 | | | $ | 11.58 | | | $ | 10.37 | | |
| Total return3 | | | (9.79 | )% | | | 19.48 | % | | | (33.72 | )% | | | 17.33 | % | | | 6.36 | % | |
| RATIOS AND SUPPLEMENTAL DATA | |
| Net assets, end of period (000s omitted) | | $ | 99,983 | | | $ | 108,211 | | | $ | 69,919 | | | $ | 56,624 | | | $ | 145,907 | | |
| Ratio of expenses to average net assets | | | 0.95 | %4 | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % | | | 0.95 | %4 | |
Ratio of net investment income (loss) to
average net assets | | | (0.78 | )%4 | | | (0.52 | )% | | | 1.35 | % | | | 4.06 | % | | | 4.28 | %4 | |
Decrease reflected in above operating
expense ratios due to waivers/
reimbursements | | | 0.13 | %4 | | | 0.25 | % | | | 0.11 | % | | | 0.08 | % | | | 0.31 | %4 | |
| Portfolio turnover rate | | | 47 | % | | | 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.
13
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements
June 30, 2010 (unaudited)
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'
14
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 2. Significant Accounting Policies
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 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.
15
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 2. Significant Accounting Policies
The following is a summary of the inputs used as of June 30, 2010 in valuing the Portfolio's investments carried at value:
| | | Level 1 | | Level 2 | | Level 3 | | Total | |
| Investments in Securities | |
| Commodity Indexed Structured Notes | | $ | — | | | $ | 11,135,496 | | | $ | — | | | $ | 11,135,496 | | |
| United States Agency Obligations | | | — | | | | 60,011,616 | | | | — | | | | 60,011,616 | | |
| United States Treasury Obligations | | | — | | | | 5,010,600 | | | | — | | | | 5,010,600 | | |
| Short-Term Investment | | | — | | | | 984,000 | | | | — | | | | 984,000 | | |
| Wholly-Owned Subsidiary | | | — | | | | 23,002,635 | | | | — | | | | 23,002,635 | | |
| Other Financial Instruments* | | | — | | | | — | | | | — | | | | — | | |
| | | $ | — | | | $ | 100,144,347 | | | $ | — | | | $ | 100,144,347 | | |
*Other financial instruments include futures, forwards and swap contracts.
Effective January 1, 2010, the Portfolio adopted FASB amendments to authoritative guidance which requires the Portfolio to disclose details of significant transfers in and out of Level 1 and Level 2 measurements and the reasons for the transfers. For the six months ended June 30, 2010, there were no significant transfers in and out of Level 1 and Level 2.
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.
16
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 2. Significant Accounting Policies
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 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 Total Return ("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 confir ms that the Portfolio'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 fa il 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.
17
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 2. Significant Accounting Policies
The Portfolio adopted the authoritative guidance for uncertainty in income taxes and recognizes a tax benefit or liability from an uncertain position only if it is more likely than not that the position is sustainable based solely on its technical merits and consideration of the relevant taxing authority's widely understood administrative practices and procedures. The 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
18
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 2. Significant Accounting Policies
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 June 30, 2010, the Portfolio had no open futures contracts.
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 June 30, 2010, the Portfolio had no outstanding swap contracts.
19
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 2. Significant Accounting Policies
J) COMMODITY INDEX-LINKED STRUCTURED 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 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 t o 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 June 30, 2010, the value of these securities comprised 11.2% of the Portfolio's net assets and resulted in unrealized depreciation of $(3,564,504).
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. During the six months ended June 30, 2010, total earnings from the Fund's investment in cash collateral received in connection with securities lending arrangements was $10,396, of which $7,215 was rebated to borrowers (brokers). The Fund retained $2,545 in income from the cash collateral investment, and SSB, as lending agent, was paid $636. Securities lending income is accrued as earned.
L) OTHER — In the normal course of business the Portfolio trades financial instruments and enters into financial transactions where risk of potential loss
20
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 2. Significant Accounting Policies
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 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 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 six months ended June 30, 2010, investment advisory fees earned and voluntarily waived were $259,007 and $68,233, respectively. 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 six
21
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 3. Transactions with Affiliates and Related Parties
months ended June 30, 2010, co-administrative services fees earned by CSAMSI were $46,621.
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 six months ended June 30, 2010, co-administrative services fees earned by SSB (including out-of-pocket expenses) were $27,297.
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 six months ended June 30, 2010, Merrill was paid $8,107 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, swaps 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
22
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 3. Transactions with Affiliates and Related Parties
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 06/30/10 | |
Credit Suisse Cayman
Commodity Fund II, Ltd. | | | 34,673,968 | | | | 7,866,274 | | | | — | | | | 42,540,242 | | | $ | — | | | $ | 23,002,635 | | |
Note 4. Line of Credit
The Portfolio, together with other funds/portfolios advised by Credit Suisse (collectively, the "Participating Funds"), participates in a 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 June 30, 2010, and during the six months ended June 30, 2010, the Portfolio had no borrowings under the Credit Facility.
Note 5. Purchases and Sales of Securities
For the six months ended June 30, 2010, 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 | |
| $ | 14,200,000 | | | $ | 15,234,622 | | | $ | 19,513,276 | | | $ | 17,313,199 | | |
At June 30, 2010, 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 $103,945,064, $22,634, $(3,823,351) and $(3,800,717), respectively.
23
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
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 Six Months Ended
June 30, 2010 (unaudited) | | For the Year Ended
December 31, 2009 | |
| Shares sold | | | 974,201 | | | | 3,454,889 | | |
| Shares issued in reinvestment of dividends | | | — | | | | 1,387,148 | | |
| Shares redeemed | | | (627,215 | ) | | | (558,672 | ) | |
| Net increase | | | 346,986 | | | | 4,283,365 | | |
On June 30, 2010, 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 | | | | 92 | % | |
Some of the shareholders are omnibus accounts, which hold shares on behalf of individual shareholders.
Note 7. 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 8. Subsequent Events
Effective June 30, 2009, the Portfolio adopted the 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 August 25, 2010. Management has determined that there are no material events that would require disclosure in the Portfolio's financial statements through this date.
24
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notice of Privacy and Information Practices (unaudited)
At Credit Suisse, we know that you are concerned with how we protect and handle nonpublic personal information that identifies you. This notice is designed to help you understand what nonpublic personal information we collect from you and from other sources, and how we use that information in connection with your investments and investment choices that may be available to you. Except where otherwise noted, this notice is applicable only to consumers who are current or former investors, meaning individual persons whose investments are primarily for household, family or personal use ("individual investors"). Specified sections of this notice, however, also apply to other types of investors (called "institutional investors"). Where the notice applies to institutional investors, the notice expressly states so. This notice is being provided by Credit Suisse Funds and Credit Suisse Closed-End Funds. This notice applies solely to U.S. registered in vestment companies advised by Credit Suisse Asset Management, LLC.
Categories of information we may collect:
We may collect information about you, including nonpublic personal information, such as
• Information we receive from you on applications, forms, agreements, questionnaires, Credit Suisse websites and other websites that are part of our investment program, or in the course of establishing or maintaining a customer relationship, such as your name, address, e-mail address, Social Security number, assets, income, financial situation; and
• Information we obtain from your transactions and experiences with us, our affiliates, or others, such as your account balances or other investment information, assets purchased and sold, and other parties to a transaction, where applicable.
Categories of information we disclose and parties to whom we disclose it:
• We do not disclose nonpublic personal information about our individual investors, except as permitted or required by law or regulation. Whether you are an individual investor or institutional investor, we may share the information described above with our affiliates that perform services on our behalf, and with our asset management and private banking affiliates; as well as with unaffiliated third parties that perform services on our behalf, such as our accountants, auditors, attorneys, broker-dealers, fund administrators, and other service providers.
25
Credit Suisse Trust — Commodity Return Strategy Portfolio
Notice of Privacy and Information Practices (unaudited) (continued)
• We want our investors to be informed about additional products or services. Whether you are an individual investor or an institutional investor, we may disclose information, including nonpublic personal information, regarding our transactions and experiences with you to our affiliates.
• In addition, whether you are an individual investor or an institutional investor, we reserve the right to disclose information, including nonpublic personal information, about you to any person or entity, including without limitation any governmental agency, regulatory authority or self-regulatory organization having jurisdiction over us or our affiliates, if (i) we determine in our discretion that such disclosure is necessary or advisable pursuant to or in connection with any United States federal, state or local, or non-U.S., court order (or other legal process), law, rule, regulation, or executive order or policy, including without limitation any anti-money laundering law or the USA PATRIOT Act of 2001; and (ii) such disclosure is not otherwise prohibited by law, rule, regulation, or executive order or policy.
Confidentiality and security
• To protect nonpublic personal information about individual investors, we restrict access to those employees and agents who need to know that information to provide products or services to us and to our investors. We maintain physical, electronic, and procedural safeguards to protect nonpublic personal information.
Other Disclosures
This notice is not intended to be incorporated in any offering materials, but is a statement of our current Notice of Privacy and Information Practices and may be amended from time to time. This notice is current as of May 3, 2010.
26
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.
27
n CREDIT SUISSE
CAYMAN COMMODITY FUND II, LTD.
for the Six Months Ended June 30, 2010
(unaudited)
28
Credit Suisse Cayman Commodity Fund II, Ltd.
Schedule of Investments
June 30, 2010 (unaudited)
Par
(000) | | | | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| UNITED STATES AGENCY OBLIGATIONS (70.5%) | |
| $ | 1,000 | | | Fannie Mae Discount Notes^^ | | (AAA, Aaa) | | 08/09/10 | | | 0.210 | | | $ | 999,772 | | |
| | 500 | | | Fannie Mae Discount Notes | | (AAA, Aaa) | | 10/01/10 | | | 0.350 | | | | 499,821 | | |
| | 1,220 | | | Fannie Mae Discount Notes‡‡ | | (AAA, Aaa) | | 01/18/11 | | | 0.300 | | | | 1,218,297 | | |
| | 1,000 | | | Federal Farm Credit Bank# | | (AAA, Aaa) | | 11/02/11 | | | 0.331 | | | | 1,000,300 | | |
| | 1,000 | | | Federal Farm Credit Bank# | | (AAA, Aaa) | | 12/07/11 | | | 0.190 | | | | 998,227 | | |
| | 1,000 | | | Federal Farm Credit Bank# | | (AAA, Aaa) | | 01/13/12 | | | 0.650 | | | | 1,004,953 | | |
| | 1,000 | | | Federal Home Loan Bank Discount Notes | | (AAA, Aaa) | | 08/11/10 | | | 0.140 | | | | 999,841 | | |
| | 1,000 | | | Federal Home Loan Bank Discount Notes | | (AAA, Aaa) | | 09/03/10 | | | 0.200 | | | | 999,840 | | |
| | 1,000 | | | Federal Home Loan Banks | | (AAA, Aaa) | | 02/25/11 | | | 0.450 | | | | 1,000,141 | | |
| | 500 | | | Federal Home Loan Mortgage Corp.# | | (AAA, Aaa) | | 05/04/11 | | | 0.254 | | | | 500,498 | | |
| | 500 | | | Federal Home Loan Mortgage Corp.# | | (AAA, Aaa) | | 10/21/11 | | | 0.338 | | | | 500,213 | | |
| | 1,000 | | | Federal Home Loan Mortgage Corp.# | | (AAA, Aaa) | | 02/10/12 | | | 0.310 | | | | 999,715 | | |
| | 1,000 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 07/09/10 | | | 0.200 | | | | 999,956 | | |
| | 1,000 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 08/06/10 | | | 0.130 | | | | 999,870 | | |
| | 1,000 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 09/30/10 | | | 0.230 | | | | 999,772 | | |
| | 1,500 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 11/15/10 | | | 0.230 | | | | 1,498,915 | | |
| | 1,000 | | | Freddie Mac Discount Notes | | (AAA, Aaa) | | 05/04/11 | | | 0.400 | | | | 996,759 | | |
| TOTAL UNITED STATES AGENCY OBLIGATIONS (Cost $16,211,905) | | | 16,216,890 | | |
| UNITED STATES TREASURY OBLIGATION (4.4%) | |
| | 1,000 | | | United States Treasury Notes (Cost $1,003,778) | | (AAA, Aaa) | | 02/28/11 | | | 0.875 | | | | 1,004,024 | | |
| SHORT-TERM INVESTMENT (5.5%) | |
| | 1,268
| | | State Street Bank and Trust Co. Euro Time Deposit
(Cost $1,268,000) | |
| |
07/01/10 | | | 0.010 | | | | 1,268,000 | | |
| TOTAL INVESTMENTS AT VALUE (80.4%) (Cost $18,483,683) | | | 18,488,914 | | |
| OTHER ASSETS IN EXCESS OF LIABILITIES (19.6%) | | | 4,513,721 | | |
| NET ASSETS (100.0%) | | $ | 23,002,635 | | |
† Credit ratings given by the Standard & Poor's Division of the The McGraw-Hill Companies, Inc. ("S&P") and Moody's Investors Service, Inc. ("Moody's") are unaudited.
^^ Collateral segregated for swap contracts.
‡‡ Collateral segregated for futures contracts.
# Variable rate obligations — The interest rate is the rate as of June 30, 2010.
See Accompanying Notes to Financial Statements.
29
Credit Suisse Cayman Commodity Fund II, Ltd.
Statement of Assets and Liabilities
June 30, 2010 (unaudited)
| Assets | |
| Investments at value (Cost $18,483,683) (Note 2) | | $ | 18,488,914 | | |
| Cash | | | 514 | | |
| Cash segregated at brokers for futures contracts and swap contracts | | | 4,927,134 | | |
| Receivable from investment adviser (Note 3) | | | 6,382 | | |
| Interest receivable | | | 5,669 | | |
| Total Assets | | | 23,428,613 | | |
| Liabilities | |
| Unrealized depreciation on open swap contracts | | | 413,332 | | |
| Variation margin payable (Note 2) | | | 10,110 | | |
| Other accrued expenses payable | | | 2,536 | | |
| Total Liabilities | | | 425,978 | | |
| Net Assets | |
| Par value of participating shares (Note 4) | | | 42,540 | | |
| Paid-in capital (Note 4) | | | 50,357,460 | | |
| Undistributed net investment income | | | 324,260 | | |
| Accumulated net realized loss on investments, futures contracts and swap contracts | | | (27,284,503 | ) | |
| Net unrealized depreciation from investments, futures contracts and swap contracts | | | (437,122 | ) | |
| Net Assets | | $ | 23,002,635 | | |
| Shares outstanding | | | 42,540,242 | | |
| Net asset value, offering price and redemption price per share | | $ | 0.54 | | |
See Accompanying Notes to Financial Statements.
30
Credit Suisse Cayman Commodity Fund II, Ltd.
Statement of Operations
For the Six Months Ended June 30, 2010 (unaudited)
| Investment Income (Note 2) | |
| Interest | | $ | 26,057 | | |
| Expenses | |
| Administrative services fees (Note 3) | | | 7,251 | | |
| Audit fees | | | 8,720 | | |
| Custodian fees | | | 4,887 | | |
| Legal fees | | | 3,633 | | |
| Miscellaneous expense | | | 91 | | |
| Total expenses | | | 24,582 | | |
| Less: fees reimbursed (Note 3) | | | (24,582 | ) | |
| Net expenses | | | — | | |
| Net investment income | | | 26,057 | | |
| Net Realized and Unrealized Gain (Loss) from Investments, Futures Contracts and Swap Contracts | |
| Net realized gain from investments | | | 3,378 | | |
| Net realized loss from futures contracts | | | (215,024 | ) | |
| Net realized loss from swap contracts | | | (5,617,576 | ) | |
Net change in unrealized appreciation (depreciation) from investments,
futures contracts and swap contracts | | | (172,228 | ) | |
| Net realized and unrealized loss from investments, futures contracts and swap contracts | | | (6,001,450 | ) | |
| Net decrease in net assets resulting from operations | | $ | (5,975,393 | ) | |
See Accompanying Notes to Financial Statements.
31
Credit Suisse Cayman Commodity Fund II, Ltd.
Statements of Changes in Net Assets
| | | For the Six Months
Ended
June 30, 2010
(unaudited) | | For the Year
Ended
December 31, 2009 | |
| From Operations | |
| Net investment income | | $ | 26,057 | | | $ | 57,407 | | |
Net realized gain (loss) from investments,
futures contracts and swap contracts | | | (5,829,222 | ) | | | 13,446,712 | | |
Net change in unrealized appreciation (depreciation) from
investments, futures contracts and swap contracts | | | (172,228 | ) | | | (2,206,126 | ) | |
| Net increase (decrease) in net assets resulting from operations | | | (5,975,393 | ) | | | 11,297,993 | | |
| From Capital Share Transactions (Note 4) | |
| Proceeds from sale of shares | | | 4,000,000 | | | | 4,000,000 | | |
| Net asset value of shares redeemed | | | — | | | | (7,000,000 | ) | |
| Net increase (decrease) in net assets from capital share transactions | | | 4,000,000 | | | | (3,000,000 | ) | |
| Net increase (decrease) in net assets | | | (1,975,393 | ) | | | 8,297,993 | | |
| Net Assets | |
| Beginning of period | | | 24,978,028 | | | | 16,680,035 | | |
End of period (including undistributed net investment income
of $324,260, and $298,203, respectively) | | $ | 23,002,635 | | | $ | 24,978,028 | | |
See Accompanying Notes to Financial Statements.
32
Credit Suisse Cayman Commodity Fund II, Ltd.
Notes to Financial Statements
June 30, 2010 (unaudited)
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 June 30, 2010, 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.
33
Credit Suisse Cayman Commodity Fund II, Ltd.
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
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 June 30, 2010 in valuing the Fund's investments carried at value:
| | | Level 1 | | Level 2 | | Level 3 | | Total | |
| Investments in Securities | |
| United States Agency Obligations | | $ | — | | | $ | 16,216,890 | | | $ | — | | | $ | 16,216,890 | | |
| United States Treasury Obligation | | | — | | | | 1,004,024 | | | | — | | | | 1,004,024 | | |
| Short-Term Investment | | | — | | | | 1,268,000 | | | | — | | | | 1,268,000 | | |
| Other Financial Instruments* | |
| Futures | | | (29,021 | ) | | | — | | | | — | | | | (29,021 | ) | |
| Swaps | | | — | | | | (413,332 | ) | | | — | | | | (413,332 | ) | |
| | | $ | (29,021 | ) | | $ | 18,075,582 | | | $ | — | | | $ | 18,046,561 | | |
*Other financial instruments include futures, forwards and swap contracts.
34
Credit Suisse Cayman Commodity Fund II, Ltd.
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 2. Significant Accounting Policies
Effective January 1, 2010, the Fund adopted FASB amendments to authoritative guidance which requires the Fund to disclose details of significant transfers in and out of Level 1 and Level 2 measurements and the reasons for the transfers. For the six months ended June 30, 2010, there were no significant transfers in and out of Level 1 and Level 2.
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 June 30, 2010
| | | Asset Derivatives | | Liability Derivatives | |
| | | Balance Sheet
Location | | Fair Value | | Balance Sheet
Location | | Fair Value | |
Futures Contracts on
Commodities | | Variation margin
receivable, Net
Assets — Unrealized
Appreciation | �� | $ | 0 | | | Variation margin
payable,
Liabilities — Unrealized
Depreciation | | $ | 29,021 | * | |
Commodity Index
Swaps | | Net Assets —
Unrealized
Appreciation | | | 0 | | | Liabilities —
Unrealized
Depreciation | | | 413,332 | | |
| Total | | | | $ | 0 | | | | | $ | 442,353 | | |
*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 | | $ | (215,024 | ) | |
| Commodity Index Swaps | | | (5,617,576 | ) | |
| Total | | $ | (5,832,600 | ) | |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Futures Contracts on Commodities | | $ | 25,256 | | |
| Commodity Index Swaps | | | (204,059 | ) | |
| Total | | $ | (178,803 | ) | |
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
35
Credit Suisse Cayman Commodity Fund II, Ltd.
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 2. Significant Accounting Policies
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 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 or liability from an uncertain position only if it is more likely than not that the position is sustainable based solely on its technical merits and consideration of the relevant taxing authority's widely understood administrative practices and procedures. The Fund has reviewed its current tax positions and has determined that no provision for income tax is required in the Fund's financial statements.
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
36
Credit Suisse Cayman Commodity Fund II, Ltd.
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 2. Significant Accounting Policies
hedging purposes include the possibility that a change in the value 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 Fund 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 Fund could lose more than the original margin deposit and subsequent payments may be required for a futures transaction. At June 30, 2010, the Fund had the following open futures contracts:
| Contract Description | | Notional
Value | | Unrealized
Appreciation
(Depreciation) | |
| Contracts to Purchase | |
| Energy | | | 4,545,950 | | | $ | (112,549 | ) | |
| Agriculture | | | 347,280 | | | | 2,605 | | |
| | | | | | | $ | (109,944 | ) | |
| Contracts To Sell | |
| Energy | | | (4,482,310 | ) | | $ | 87,452 | | |
| Agriculture | | | (362,880 | ) | | | (6,529 | ) | |
| | | | | | | $ | 80,923 | | |
| Net unrealized appreciation (depreciation) | | | | | | $ | (29,021 | ) | |
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
37
Credit Suisse Cayman Commodity Fund II, Ltd.
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 2. Significant Accounting Policies
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 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 June 30, 2010, the Fund had the following outstanding swap contracts:
| Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive | | Pay | | Unrealized
Appreciation/
(Depreciation) | |
| USD | | | | $ | 16,410,942 | | | 7/27/2010 | | Barclays | | Commodity Index Return | | Fee plus
Treasury Bill Rate | | $ | (112,060 | ) | |
| USD | | | | $ | 578,361 | | | 7/27/2010 | | UBS | | Commodity Index Return | | Fee plus
Treasury Bill Rate | | | (3,943 | ) | |
| USD | | | | $ | 936,458 | | | 7/27/2010 | | Morgan Stanley
Capital Group | | Commodity Index Return | | Fee plus
Treasury Bill Rate | | | (6,382 | ) | |
| USD | | | | $ | 37,658,112 | | | 7/27/2010 | | Bank of America | | Commodity Index Return | | Fee plus
Treasury Bill Rate | | | (257,142 | ) | |
| USD | | | | $ | 4,956,213 | | | 7/27/2010 | | Societe Generale | | Commodity Index Return | | Fee plus
Treasury Bill Rate | | | (33,805 | ) | |
| | | | | $ | (413,332 | ) | |
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 period ended June 30, 2010, Credit Suisse voluntarily reimbursed the Fund $24,582 in Fund expenses. Fee waivers and expense reimbursements are voluntary and may be discontinued by Credit Suisse at any time.
38
Credit Suisse Cayman Commodity Fund II, Ltd.
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 3. Transactions with Affiliates and Related Parties
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 six months ended June 30, 2010, administrative services fees earned by SSB were $7,251.
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. Transactions in capital shares of the Fund were as follows:
| | | For the Six Months Ended
June 30, 2010 (unaudited) | | For the Year Ended
December 31, 2009 | |
| | | Shares | | Value | | Shares | | Value | |
| Shares sold | | | 7,866,274 | | | $ | 4,000,000 | | | | 11,899,312 | | | $ | 4,000,000 | | |
| Shares redeemed | | | — | | | | — | | | | (15,252,402 | ) | | | (7,000,000 | ) | |
| Net increase (decrease) | | | 7,866,274 | | | $ | 4,000,000 | | | | (3,353,090 | ) | | $ | (3,000,000 | ) | |
Note 5. Financial Highlights
The following represents the total return of the Fund for the six months ended June 30, 2010 and the year ended December 31, 2009, respectively. Total returns were calculated based upon the daily returns of the Fund during the periods represented. Total returns for periods less than one year are not annualized.
| | | For the Six Months Ended
June 30, 2010 (unaudited) | | For the Year Ended
December 31, 2009 | |
| Total Return | | | (25.00 | )% | | | 63.64 | % | |
The following represents certain financial ratios of the Fund for the periods noted. The computation of the net investment income and total expense ratios was based upon the daily net assets of the Fund during these periods. The calculations have been annualized for reporting purposes.
| Ratio to Average Net Assets: | | For the Six Months Ended
June 30, 2010 (unaudited) | | For the Year Ended
December 31, 2009 | |
| Net investment income | | | 0.23 | % | | | 0.31 | % | |
| Total expenses (before expense reimbursement) | | | 0.22 | % | | | 0.18 | % | |
| Total expenses (after expense reimbursement) | | | 0.00 | % | | | 0.00 | % | |
39
Credit Suisse Cayman Commodity Fund II, Ltd.
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
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.
Note 7. Subsequent Events
Effective June 30, 2009, the Fund adopted the 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 August 25, 2010. Management has determined that there are no material events that would require disclosure in the Fund's financial statements through this date.
40
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-SAR-0610
CREDIT SUISSE FUNDS
Semiannual Report
June 30, 2010
(unaudited)
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 June 30, 2010; 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
Semiannual Investment Adviser's Report
June 30, 2010 (unaudited)
July 21, 2010
Dear Shareholder:
For the six-month period ended June 30, 2010, the Credit Suisse Trust — U.S. Equity Flex I Portfolio (the "Portfolio") had a loss of 7.86%, versus a decrease of 6.05% for the Russell 3000® Index.1
Market Review: A challenging period
The six-month period ending June 30, 2010 was a challenging one. The markets overall declined during the period, with the Russell 3000 Index losing 6.05%, while the Dow Jones Industrial Average declined 5.00%. Despite what seemed to be a global recovery in 2009, developments in the Eurozone, beginning with the budget deficit in Greece, combined with signals from emerging markets, like China, to cause a global pullback.
Strategic Review and Outlook: A period of change
For the semiannual period ended June 30, 2010, the Portfolio underperformed its benchmark. Overall, the long sleeve of the portfolio contributed to performance while the short sleeve detracted from performance. Stock selection and sector weighting in consumer staples made the leading positive contributions to performance. Additionally, stock selection and sector weightings in financials and energy also helped relative performance. Conversely, stock selection and sector weighting in information technology and utilities were the leading detractors from performance. Stock selection in consumer discretionary also detracted from relative performance.
Although we expect the market to remain difficult in the near term, we are comfortable with our proactive long-term investment process going forward. Our investment process relies on a systematic quantitative approach that takes into account historical results as well as near- and long-term views. In further detail, the process can be broken into four steps: 1. Research supporting the five financial models and blended risk model; 2. Construction of Expected Returns and Optimization; 3. Implementation; 4. Risk/Return Monitoring and Attribution Analysis. Research is conducted to identify new sources of alpha, improve existing factors, and strengthen risk control. Research on prospective factors is sourced from academic papers, sell side research, and internal dialogue. Research ideas are always based on sound financial principles and economic intuition. In step two, the signals from the five financial models are blended to construct the expect ed returns. The expected returns, the blended risk model, transaction costs, investment objectives, as well as client-specific constraints are then fed into a proprietary optimizer to determine optimal portfolio weights.
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Credit Suisse Trust — U.S. Equity Flex I Portfolio
Semiannual Investment Adviser's Report (continued)
June 30, 2010 (unaudited)
Then the optimal weights from the optimizer are used for trading and rebalancing of the portfolio. The proprietary in-house risk monitoring system checks the optimal portfolio prior to trading. Once the optimal portfolio passes the appropriate checks, the trades are implemented. Lastly, all monitoring is done on an intraday basis and is relative to the portfolio's specific benchmark.
Effective May 3, 2010, Mika Toikka* joined the Credit Suisse Quantitative Equities Group and serves as the lead manager of the Portfolio.
Credit Suisse Quantitative Equities Group
Mika Toikka
Timothy Schwider
* Mika Toikka, Managing Director, is Global Head of the Quantitative Equities Group and Quantitative Strategies. Mr. Toikka joined Credit Suisse Asset Management, LLC in May 2010. From September 2000 to April 2010 he held positions within Credit Suisse Group AG's Investment Banking Division. Within the Arbitrage Trading area, his responsibilities have included running a variety of trading strategies and serving as the Head of Risk and Strategy for Global Arbitrage Trading. Prior to joining Arbitrage Trading in 2005, Mr. Toikka served as the Global Head of the Quantitative Equity Derivatives Strategy Group. Before joining Credit Suisse First Boston in September 2000, Mr. Toikka worked for Goldman Sachs & Co. in the Fixed Income and Currency and Commodity division where he played a leadership role in fixed income derivatives strategy. Prior to 1997, he worke d for Salomon Brothers in Equity Derivatives and Quantitative Research. Mr. Toikka holds a Master of Science degree in Applied Economics from the University of California Santa Cruz and a Bachelors degree in Economics from the University of California at Davis.
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.
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Credit Suisse Trust — U.S. Equity Flex I Portfolio
Semiannual Investment Adviser's Report (continued)
June 30, 2010 (unaudited)
The use of leverage subjects the Portfolio to the risk of magnified capital losses that can occur when losses affect an asset base that has been enlarged by borrowings or the creation of liabilities. 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.
Investments in small to medium-sized companies may be more volatile and less liquid than investments in larger companies.
Active and frequent trading may lead to the realization and distribution to shareholders of higher short-term capital gains, which would increase their tax liability. Frequent trading also increases transaction costs, which could detract from the Portfolio's performance.
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.
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Credit Suisse Trust — U.S. Equity Flex I Portfolio
Semiannual Investment Adviser's Report (continued)
June 30, 2010 (unaudited)
Average Annual Returns as of June 30, 2010
| 1 Year | | 5 Years | | 10 Years | | Since
Inception | | Inception
Date | |
| | 11.67 | % | | | (5.23 | )% | | | (5.68 | )% | | | 2.94 | % | | | 6/30/95 | | |
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 1.75%.
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. Investors cannot invest directly in an index.
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Credit Suisse Trust — U.S. Equity Flex I Portfolio
Semiannual Investment Adviser's Report (continued)
June 30, 2010 (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 June 30, 2010.
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.
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Credit Suisse Trust — U.S. Equity Flex I Portfolio
Semiannual Investment Adviser's Report (continued)
June 30, 2010 (unaudited)
Expenses and Value for a $1,000 Investment
for the six month period ended June 30, 2010
| Actual Portfolio Return | |
| Beginning Account Value 1/1/10 | | $ | 1,000.00 | | |
| Ending Account Value 6/30/10 | | $ | 921.40 | | |
| Expenses Paid per $1,000* | | $ | 8.34 | | |
| Hypothetical 5% Portfolio Return | |
| Beginning Account Value 1/1/10 | | $ | 1,000.00 | | |
| Ending Account Value 6/30/10 | | $ | 1,016.12 | | |
| Expenses Paid per $1,000* | | $ | 8.75 | | |
| Annualized Expense Ratio* | | | 1.75 | % | |
* 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.
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Credit Suisse Trust — U.S. Equity Flex I Portfolio
Semiannual Investment Adviser's Report (continued)
June 30, 2010 (unaudited)
SECTOR BREAKDOWN*
| | | Long | | Short | | Net | |
| Information Technology | | | 22.5 | % | | | (2.7 | )% | | | 19.8 | % | |
| Consumer Discretionary | | | 20.0 | % | | | (2.7 | )% | | | 17.3 | % | |
| Health Care | | | 17.9 | % | | | (1.9 | )% | | | 16.0 | % | |
| Financials | | | 17.0 | % | | | (3.4 | )% | | | 13.6 | % | |
| Energy | | | 10.3 | % | | | (1.4 | )% | | | 8.9 | % | |
| Consumer Staples | | | 8.6 | % | | | (0.9 | )% | | | 7.7 | % | |
| Materials | | | 7.7 | % | | | (1.4 | )% | | | 6.3 | % | |
| Industrials | | | 8.9 | % | | | (3.4 | )% | | | 5.5 | % | |
| Telecommunication Services | | | 2.5 | % | | | (0.2 | )% | | | 2.3 | % | |
| Utilities | | | 3.6 | % | | | (1.4 | )% | | | 2.2 | % | |
| Short-Term Investment | | | 0.4 | % | | | 0.0 | % | | | 0.4 | % | |
| Total | | | 119.4 | % | | | (19.4 | )% | | | 100.0 | % | |
* Expressed as a percentage of total long/short investments, respectively, (excluding securities lending collateral, if applicable) and may vary over time.
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Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS (119.2%) | |
| COMMON STOCKS (119.2%) | |
| Aerospace & Defense (0.1%) | |
| HEICO Corp. | | | 250 | | | $ | 8,980 | | |
| L-3 Communications Holdings, Inc. | | | 1,200 | | | | 85,008 | | |
| The Boeing Co.§ | | | 100 | | | | 6,275 | | |
| | | | 100,263 | | |
| Air Freight & Logistics (0.8%) | |
| United Parcel Service, Inc. Class B | | | 19,700 | | | | 1,120,733 | | |
| Airlines (2.7%) | |
| Alaska Air Group, Inc.* | | | 70,032 | | | | 3,147,938 | | |
| Delta Air Lines, Inc.*§ | | | 25,000 | | | | 293,750 | | |
| JetBlue Airways Corp.*§ | | | 3,900 | | | | 21,411 | | |
| UAL Corp.*§ | | | 9,500 | | | | 195,320 | | |
| | | | 3,658,419 | | |
| Auto Components (1.6%) | |
| Autoliv, Inc.*§ | | | 42,811 | | | | 2,048,506 | | |
| Johnson Controls, Inc. | | | 3,600 | | | | 96,732 | | |
| TRW Automotive Holdings Corp.* | | | 1,600 | | | | 44,112 | | |
| | | | 2,189,350 | | |
| Automobiles (0.2%) | |
| Ford Motor Co.*§ | | | 27,700 | | | | 279,216 | | |
| Thor Industries, Inc.§ | | | 400 | | | | 9,500 | | |
| | | | 288,716 | | |
| Beverages (0.3%) | |
| Brown-Forman Corp. Class B§ | | | 1,300 | | | | 74,399 | | |
| PepsiCo, Inc. | | | 800 | | | | 48,760 | | |
| The Boston Beer Co., Inc. Class A*§ | | | 200 | | | | 13,490 | | |
| The Coca-Cola Co. | | | 6,500 | | | | 325,780 | | |
| | | | 462,429 | | |
| Biotechnology (6.5%) | |
| Amgen, Inc.* | | | 42,800 | | | | 2,251,280 | | |
| Cephalon, Inc.*§ | | | 75,097 | | | | 4,261,755 | | |
| Cubist Pharmaceuticals, Inc.*§ | | | 6,250 | | | | 128,750 | | |
| Gilead Sciences, Inc.* | | | 58,600 | | | | 2,008,808 | | |
| InterMune, Inc.* | | | 300 | | | | 2,805 | | |
| Martek Biosciences Corp.*§ | | | 7,300 | | | | 173,083 | | |
| Regeneron Pharmaceuticals, Inc.*§ | | | 233 | | | | 5,200 | | |
| Talecris Biotherapeutics Holdings Corp.* | | | 700 | | | | 14,770 | | |
| | | | 8,846,451 | | |
| Building Products (0.4%) | |
| Armstrong World Industries, Inc.*§ | | | 2,200 | | | | 66,396 | | |
| Griffon Corp.*§ | | | 6,652 | | | | 73,571 | | |
| Lennox International, Inc.§ | | | 1,100 | | | | 45,727 | | |
| Owens Corning* | | | 9,900 | | | | 296,109 | | |
| Universal Forest Products, Inc.§ | | | 2,500 | | | | 75,775 | | |
| | | | 557,578 | | |
See Accompanying Notes to Financial Statements.
8
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Capital Markets (3.9%) | |
| Affiliated Managers Group, Inc.* | | | 11,300 | | | $ | 686,701 | | |
| American Capital, Ltd.* | | | 2,800 | | | | 13,496 | | |
| Apollo Investment Corp. | | | 2,512 | | | | 23,437 | | |
| Ares Capital Corp.§ | | | 1,300 | | | | 16,289 | | |
| BlackRock Kelso Capital Corp.§ | | | 100 | | | | 987 | | |
| Eaton Vance Corp.§ | | | 29,300 | | | | 808,973 | | |
| Federated Investors, Inc. Class B | | | 2,085 | | | | 43,180 | | |
| Franklin Resources, Inc. | | | 19,900 | | | | 1,715,181 | | |
| Greenhill & Co., Inc.§ | | | 100 | | | | 6,113 | | |
| Northern Trust Corp.§ | | | 11,700 | | | | 546,390 | | |
| T. Rowe Price Group, Inc.§ | | | 2,200 | | | | 97,658 | | |
| The Goldman Sachs Group, Inc. | | | 2,000 | | | | 262,540 | | |
| Waddell & Reed Financial, Inc. Class A | | | 48,800 | | | | 1,067,744 | | |
| | | | 5,288,689 | | |
| Chemicals (4.0%) | |
| Ashland, Inc. | | | 3,000 | | | | 139,260 | | |
| Celanese Corp. Series A | | | 1,500 | | | | 37,365 | | |
| CF Industries Holdings, Inc.§ | | | 3,842 | | | | 243,775 | | |
| Huntsman Corp. | | | 57,300 | | | | 496,791 | | |
| International Flavors & Fragrances, Inc. | | | 1,000 | | | | 42,420 | | |
| Lubrizol Corp.§ | | | 51,000 | | | | 4,095,810 | | |
| Minerals Technologies, Inc. | | | 1,100 | | | | 52,294 | | |
| NewMarket Corp.§ | | | 4,600 | | | | 401,672 | | |
| | | | 5,509,387 | | |
| Commercial Banks (3.3%) | |
| Bancorpsouth, Inc.§ | | | 9,378 | | | | 167,679 | | |
| CapitalSource, Inc.§ | | | 3,700 | | | | 17,612 | | |
| City Holding Co.§ | | | 1,500 | | | | 41,820 | | |
| Cullen/Frost Bankers, Inc. | | | 2,100 | | | | 107,940 | | |
| Fifth Third Bancorp§ | | | 2,800 | | | | 34,412 | | |
| First Financial Bankshares, Inc.§ | | | 3,641 | | | | 175,096 | | |
| First Midwest Bancorp, Inc.§ | | | 10,850 | | | | 131,936 | | |
| FNB Corp.§ | | | 4,700 | | | | 37,741 | | |
| Glacier Bancorp, Inc.§ | | | 910 | | | | 13,350 | | |
| Hancock Holding Co. | | | 1,000 | | | | 33,360 | | |
| Home Bancshares, Inc.§ | | | 1,650 | | | | 37,636 | | |
| Huntington Bancshares, Inc.§ | | | 732 | | | | 4,055 | | |
| International Bancshares Corp.§ | | | 800 | | | | 13,352 | | |
| M&T Bank Corp.§ | | | 1,400 | | | | 118,930 | | |
| MB Financial, Inc.§ | | | 1,200 | | | | 22,068 | | |
| NBT Bancorp, Inc.§ | | | 5,500 | | | | 112,310 | | |
| S&T Bancorp, Inc.§ | | | 6,400 | | | | 126,464 | | |
| Signature Bank*§ | | | 100 | | | | 3,801 | | |
| Synovus Financial Corp.§ | | | 4,700 | | | | 11,938 | | |
| Tompkins Financial Corp.§ | | | 770 | | | | 29,067 | | |
| U.S. Bancorp | | | 520 | | | | 11,622 | | |
See Accompanying Notes to Financial Statements.
9
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Commercial Banks | |
| UMB Financial Corp.§ | | | 400 | | | $ | 14,224 | | |
| Umpqua Holdings Corp.§ | | | 34,000 | | | | 390,320 | | |
| Wells Fargo & Co. | | | 107,800 | | | | 2,759,680 | | |
| Westamerica Bancorp.§ | | | 1,800 | | | | 94,536 | | |
| | | | 4,510,949 | | |
| Commercial Services & Supplies (0.4%) | |
| ATC Technology Corp.*§ | | | 12,800 | | | | 206,336 | | |
| Consolidated Graphics, Inc.*§ | | | 3,065 | | | | 132,531 | | |
| Healthcare Services Group, Inc.§ | | | 4,200 | | | | 79,590 | | |
| Mine Safety Appliances Co.§ | | | 3,000 | | | | 74,340 | | |
| | | | 492,797 | | |
| Communications Equipment (1.4%) | |
| Acme Packet, Inc.*§ | | | 1,100 | | | | 29,568 | | |
| QUALCOMM, Inc. | | | 56,500 | | | | 1,855,460 | | |
| | | | 1,885,028 | | |
| Computers & Peripherals (5.1%) | |
| Apple, Inc.* | | | 2,891 | | | | 727,173 | | |
| Hewlett-Packard Co. | | | 800 | | | | 34,624 | | |
| Lexmark International, Inc. Class A*§ | | | 52,200 | | | | 1,724,166 | | |
| SanDisk Corp.*§ | | | 19,000 | | | | 799,330 | | |
| Seagate Technology*§ | | | 6,200 | | | | 80,848 | | |
| Teradata Corp.* | | | 3,900 | | | | 118,872 | | |
| Western Digital Corp.* | | | 115,498 | | | | 3,483,420 | | |
| | | | 6,968,433 | | |
| Construction & Engineering (0.1%) | |
| Aecom Technology Corp.*§ | | | 500 | | | | 11,530 | | |
| URS Corp.* | | | 3,400 | | | | 133,790 | | |
| | | | 145,320 | | |
| Consumer Finance (1.0%) | |
| American Express Co.§ | | | 17,900 | | | | 710,630 | | |
| AmeriCredit Corp.* | | | 4,100 | | | | 74,702 | | |
| Capital One Financial Corp.§ | | | 14,800 | | | | 596,440 | | |
| First Cash Financial Services, Inc.*§ | | | 1,100 | | | | 23,980 | | |
| | | | 1,405,752 | | |
| Diversified Consumer Services (3.6%) | |
| Apollo Group, Inc. Class A* | | | 10,200 | | | | 433,194 | | |
| Career Education Corp.*§ | | | 16,900 | | | | 389,038 | | |
| Corinthian Colleges, Inc.*§ | | | 92,570 | | | | 911,815 | | |
| DeVry, Inc. | | | 18,800 | | | | 986,812 | | |
| H&R Block, Inc.§ | | | 117,600 | | | | 1,845,144 | | |
| ITT Educational Services, Inc.*§ | | | 1,100 | | | | 91,322 | | |
| Sotheby's§ | | | 8,700 | | | | 198,969 | | |
| | | | 4,856,294 | | |
See Accompanying Notes to Financial Statements.
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Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Diversified Financial Services (2.2%) | |
| Citigroup, Inc.* | | | 240,000 | | | $ | 902,400 | | |
| CME Group, Inc. | | | 1,200 | | | | 337,860 | | |
| Compass Diversified Holdings§ | | | 300 | | | | 4,023 | | |
| JPMorgan Chase & Co. | | | 31,600 | | | | 1,156,876 | | |
| Moody's Corp.§ | | | 22,100 | | | | 440,232 | | |
| MSCI, Inc. Class A* | | | 4,300 | | | | 117,820 | | |
| NYSE Euronext§ | | | 200 | | | | 5,526 | | |
| PHH Corp.*§ | | | 1,900 | | | | 36,176 | | |
| | | | 3,000,913 | | |
| Diversified Telecommunication Services (1.9%) | |
| Alaska Communications Systems Group, Inc.§ | | | 5,800 | | | | 49,242 | | |
| AT&T, Inc. | | | 100,007 | | | | 2,419,169 | | |
| Cbeyond, Inc.*§ | | | 2,000 | | | | 25,000 | | |
| General Communication, Inc. Class A*§ | | | 5,800 | | | | 44,022 | | |
| Qwest Communications International, Inc.§ | | | 20,300 | | | | 106,575 | | |
| | | | 2,644,008 | | |
| Electric Utilities (0.0%) | |
| FirstEnergy Corp.§ | | | 800 | | | | 28,184 | | |
| Electrical Equipment (1.0%) | |
| Belden, Inc.§ | | | 600 | | | | 13,200 | | |
| General Cable Corp.*§ | | | 44,256 | | | | 1,179,422 | | |
| Regal-Beloit Corp. | | | 1,400 | | | | 78,092 | | |
| Rockwell Automation, Inc. | | | 900 | | | | 44,181 | | |
| | | | 1,314,895 | | |
| Electronic Equipment, Instruments & Components (1.0%) | |
| Avnet, Inc.*§ | | | 1,000 | | | | 24,110 | | |
| Brightpoint, Inc.*§ | | | 5,900 | | | | 41,300 | | |
| Jabil Circuit, Inc.§ | | | 43,200 | | | | 574,560 | | |
| Tech Data Corp.*§ | | | 19,000 | | | | 676,780 | | |
| | | | 1,316,750 | | |
| Energy Equipment & Services (1.5%) | |
| Atwood Oceanics, Inc.* | | | 13,600 | | | | 347,072 | | |
| Diamond Offshore Drilling, Inc.§ | | | 4,900 | | | | 304,731 | | |
| Dresser-Rand Group, Inc.* | | | 1,429 | | | | 45,085 | | |
| Global Industries, Ltd.*§ | | | 19,344 | | | | 86,855 | | |
| National-Oilwell Varco, Inc.§ | | | 32,700 | | | | 1,081,389 | | |
| Rowan Cos., Inc.*§ | | | 5,800 | | | | 127,252 | | |
| | | | 1,992,384 | | |
| Food & Staples Retailing (0.1%) | |
| Spartan Stores, Inc.§ | | | 2,900 | | | | 39,788 | | |
| SUPERVALU, Inc.§ | | | 1,400 | | | | 15,176 | | |
| The Pantry, Inc.*§ | | | 3,000 | | | | 42,330 | | |
| | | | 97,294 | | |
See Accompanying Notes to Financial Statements.
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Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Food Products (3.2%) | |
| Bunge, Ltd.§ | | | 1,600 | | | $ | 78,704 | | |
| Fresh Del Monte Produce, Inc.*§ | | | 400 | | | | 8,096 | | |
| J & J Snack Foods Corp.§ | | | 2,500 | | | | 105,250 | | |
| Lancaster Colony Corp.§ | | | 7,727 | | | | 412,313 | | |
| Lance, Inc.§ | | | 3,200 | | | | 52,768 | | |
| Mead Johnson Nutrition Co. | | | 2,650 | | | | 132,818 | | |
| Sanderson Farms, Inc.§ | | | 1,900 | | | | 96,406 | | |
| The Hershey Co.§ | | | 59,750 | | | | 2,863,817 | | |
| Tyson Foods, Inc. Class A | | | 39,200 | | | | 642,488 | | |
| | | | 4,392,660 | | |
| Gas Utilities (0.0%) | |
| Energen Corp. | | | 800 | | | | 35,464 | | |
| Health Care Equipment & Supplies (2.8%) | |
| ABIOMED, Inc.*§ | | | 2,100 | | | | 20,328 | | |
| American Medical Systems Holdings, Inc.*§ | | | 2,500 | | | | 55,300 | | |
| Becton, Dickinson and Co.§ | | | 1,200 | | | | 81,144 | | |
| CareFusion Corp.*§ | | | 2,500 | | | | 56,750 | | |
| Edwards Lifesciences Corp.*§ | | | 2,200 | | | | 123,244 | | |
| Greatbatch, Inc.*§ | | | 1,300 | | | | 29,003 | | |
| Hologic, Inc.*§ | | | 106,300 | | | | 1,480,759 | | |
| Integra LifeSciences Holdings*§ | | | 1,700 | | | | 62,900 | | |
| Medtronic, Inc. | | | 43,700 | | | | 1,584,999 | | |
| Stryker Corp. | | | 900 | | | | 45,054 | | |
| Varian Medical Systems, Inc.*§ | | | 5,100 | | | | 266,628 | | |
| Volcano Corp.*§ | | | 600 | | | | 13,092 | | |
| | | | 3,819,201 | | |
| Health Care Providers & Services (2.8%) | |
| AMERIGROUP Corp.* | | | 1,200 | | | | 38,976 | | |
| Amsurg Corp.*§ | | | 300 | | | | 5,346 | | |
| Catalyst Health Solutions, Inc.*§ | | | 104 | | | | 3,588 | | |
| Emergency Medical Services Corp. Class A* | | | 1,300 | | | | 63,739 | | |
| Genoptix, Inc.*§ | | | 600 | | | | 10,320 | | |
| Gentiva Health Services, Inc.*§ | | | 1,895 | | | | 51,184 | | |
| Humana, Inc.* | | | 59,600 | | | | 2,721,932 | | |
| McKesson Corp.§ | | | 3,200 | | | | 214,912 | | |
| Medco Health Solutions, Inc.*§ | | | 600 | | | | 33,048 | | |
| Tenet Healthcare Corp.* | | | 5,300 | | | | 23,002 | | |
| UnitedHealth Group, Inc. | | | 1,500 | | | | 42,600 | | |
| WellPoint, Inc.* | | | 12,100 | | | | 592,053 | | |
| | | | 3,800,700 | | |
| Health Care Technology (0.0%) | |
| Phase Forward, Inc.* | | | 3,000 | | | | 50,040 | | |
| Quality Systems, Inc.§ | | | 100 | | | | 5,799 | | |
| | | | 55,839 | | |
See Accompanying Notes to Financial Statements.
12
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Hotels, Restaurants & Leisure (0.1%) | |
| Brinker International, Inc. | | | 1,400 | | | $ | 20,244 | | |
| DineEquity, Inc.* | | | 1,300 | | | | 36,296 | | |
| Hyatt Hotels Corp. Class A*§ | | | 500 | | | | 18,545 | | |
| Starbucks Corp.§ | | | 700 | | | | 17,010 | | |
| Wendy's/Arby's Group, Inc. Class A§ | | | 4,600 | | | | 18,400 | | |
| WMS Industries, Inc.*§ | | | 900 | | | | 35,325 | | |
| Wyndham Worldwide Corp.§ | | | 200 | | | | 4,028 | | |
| | | | 149,848 | | |
| Household Durables (2.1%) | |
| American Greetings Corp. Class A§ | | | 200 | | | | 3,752 | | |
| Helen of Troy, Ltd.*§ | | | 300 | | | | 6,618 | | |
| National Presto Industries, Inc.§ | | | 100 | | | | 9,286 | | |
| Newell Rubbermaid, Inc.§ | | | 21,900 | | | | 320,616 | | |
| NVR, Inc.*§ | | | 100 | | | | 65,503 | | |
| Tupperware Brands Corp. | | | 12,500 | | | | 498,125 | | |
| Whirlpool Corp.§ | | | 21,800 | | | | 1,914,476 | | |
| | | | 2,818,376 | | |
| Household Products (0.3%) | |
| Colgate-Palmolive Co.§ | | | 3,900 | | | | 307,164 | | |
| Kimberly-Clark Corp. | | | 100 | | | | 6,063 | | |
| The Procter & Gamble Co. | | | 680 | | | | 40,786 | | |
| | | | 354,013 | | |
| Independent Power Producers & Energy Traders (3.0%) | |
| Constellation Energy Group, Inc.§ | | | 125,600 | | | | 4,050,600 | | |
| NRG Energy, Inc.*§ | | | 200 | | | | 4,242 | | |
| RRI Energy, Inc.*§ | | | 3,700 | | | | 14,023 | | |
| | | | 4,068,865 | | |
| Industrial Conglomerates (1.9%) | |
| 3M Co. | | | 31,800 | | | | 2,511,882 | | |
| General Electric Co. | | | 1,600 | | | | 23,072 | | |
| Tredegar Corp.§ | | | 3,900 | | | | 63,648 | | |
| | | | 2,598,602 | | |
| Insurance (2.8%) | |
| Aflac, Inc.§ | | | 25,200 | | | | 1,075,284 | | |
| Alterra Capital Holdings Ltd.§ | | | 500 | | | | 9,390 | | |
| American International Group, Inc.*§ | | | 4,900 | | | | 168,756 | | |
| Argo Group International Holdings, Ltd.§ | | | 300 | | | | 9,177 | | |
| Assurant, Inc. | | | 27,900 | | | | 968,130 | | |
| Assured Guaranty, Ltd.§ | | | 1,100 | | | | 14,597 | | |
| eHealth, Inc.*§ | | | 1,400 | | | | 15,918 | | |
| Genworth Financial, Inc. Class A* | | | 11,400 | | | | 148,998 | | |
| Infinity Property & Casualty Corp.§ | | | 800 | | | | 36,944 | | |
| MBIA, Inc.*§ | | | 1,800 | | | | 10,098 | | |
See Accompanying Notes to Financial Statements.
13
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Insurance | |
| Navigators Group, Inc.*§ | | | 5,500 | | | $ | 226,215 | | |
| Prudential Financial, Inc. | | | 2,100 | | | | 112,686 | | |
| The Travelers Cos., Inc. | | | 15,800 | | | | 778,150 | | |
| Unitrin, Inc. | | | 800 | | | | 20,480 | | |
| Unum Group | | | 400 | | | | 8,680 | | |
| Validus Holdings, Ltd. | | | 1,200 | | | | 29,304 | | |
| Wesco Financial Corp. | | | 100 | | | | 32,320 | | |
| XL Group PLC | | | 4,900 | | | | 78,449 | | |
| | | | 3,743,576 | | |
| Internet & Catalog Retail (0.7%) | |
| Amazon.com, Inc.*§ | | | 400 | | | | 43,704 | | |
| Expedia, Inc.§ | | | 45,900 | | | | 862,002 | | |
| priceline.com, Inc.*§ | | | 100 | | | | 17,654 | | |
| | | | 923,360 | | |
| Internet Software & Services (0.9%) | |
| AOL, Inc.*§ | | | 1,581 | | | | 32,869 | | |
| DealerTrack Holdings, Inc.*§ | | | 1,800 | | | | 29,610 | | |
| eBay, Inc.*§ | | | 30,300 | | | | 594,183 | | |
| Google, Inc. Class A*§ | | | 400 | | | | 177,980 | | |
| Sohu.com, Inc.* | | | 200 | | | | 8,218 | | |
| United Online, Inc.§ | | | 7,200 | | | | 41,472 | | |
| VeriSign, Inc.*§ | | | 10,900 | | | | 289,395 | | |
| | | | 1,173,727 | | |
| IT Services (2.6%) | |
| Automatic Data Processing, Inc.§ | | | 400 | | | | 16,104 | | |
| CSG Systems International, Inc.*§ | | | 3,500 | | | | 64,155 | | |
| Fidelity National Information Services, Inc. | | | 2,600 | | | | 69,732 | | |
| Gartner, Inc.* | | | 2,332 | | | | 54,219 | | |
| Global Cash Access Holdings, Inc.*§ | | | 1,804 | | | | 13,007 | | |
| International Business Machines Corp. | | | 10,100 | | | | 1,247,148 | | |
| Lender Processing Services, Inc. | | | 21,060 | | | | 659,388 | | |
| Mastercard, Inc. Class A | | | 100 | | | | 19,953 | | |
| The Western Union Co.§ | | | 68,700 | | | | 1,024,317 | | |
| VeriFone Holdings, Inc.*§ | | | 10,000 | | | | 189,300 | | |
| Visa, Inc. Class A | | | 2,800 | | | | 198,100 | | |
| | | | 3,555,423 | | |
| Leisure Equipment & Products (0.3%) | |
| Callaway Golf Co.§ | | | 3,000 | | | | 18,120 | | |
| Eastman Kodak Co.*§ | | | 3,700 | | | | 16,058 | | |
| Mattel, Inc.§ | | | 18,700 | | | | 395,692 | | |
| Polaris Industries, Inc. | | | 800 | | | | 43,696 | | |
| | | | 473,566 | | |
See Accompanying Notes to Financial Statements.
14
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Life Sciences Tools & Services (0.1%) | |
| Bio-Rad Laboratories, Inc. Class A* | | | 1,100 | | | $ | 95,139 | | |
| Dionex Corp.*§ | | | 400 | | | | 29,784 | | |
| | | | 124,923 | | |
| Machinery (1.3%) | |
| Caterpillar, Inc.§ | | | 4,500 | | | | 270,315 | | |
| Donaldson Co., Inc.§ | | | 7,100 | | | | 302,815 | | |
| Graco, Inc.§ | | | 23,500 | | | | 662,465 | | |
| Illinois Tool Works, Inc.§ | | | 700 | | | | 28,896 | | |
| Mueller Water Products, Inc. Class A§ | | | 1,900 | | | | 7,049 | | |
| Oshkosh Corp.*§ | | | 3,100 | | | | 96,596 | | |
| Parker Hannifin Corp.§ | | | 1,000 | | | | 55,460 | | |
| Sauer-Danfoss, Inc.*§ | | | 200 | | | | 2,444 | | |
| The Manitowoc Co., Inc.§ | | | 400 | | | | 3,656 | | |
| Timken Co. | | | 12,300 | | | | 319,677 | | |
| Toro Co.§ | | | 1,000 | | | | 49,120 | | |
| | | | 1,798,493 | | |
| Media (2.8%) | |
| Central European Media Enterprises, Ltd. Class A*§ | | | 400 | | | | 7,960 | | |
| Comcast Corp. Class A | | | 14,000 | | | | 243,180 | | |
| DIRECTV Class A*§ | | | 7,100 | | | | 240,832 | | |
| DISH Network Corp. Class A | | | 5,800 | | | | 105,270 | | |
| Gannett Co., Inc.§ | | | 108,600 | | | | 1,461,756 | | |
| Harte-Hanks, Inc.§ | | | 6,614 | | | | 69,116 | | |
| John Wiley & Sons, Inc. Class A§ | | | 4,500 | | | | 174,015 | | |
| Liberty Media Corp. - Capital Series A*§ | | | 6,000 | | | | 251,460 | | |
| Liberty Media Corp. - Starz Series A* | | | 500 | | | | 25,920 | | |
| National CineMedia, Inc.§ | | | 11,800 | | | | 196,588 | | |
| Scholastic Corp.§ | | | 3,300 | | | | 79,596 | | |
| The McGraw-Hill Cos., Inc.§ | | | 12,000 | | | | 337,680 | | |
| The Washington Post Co. Class B§ | | | 1,300 | | | | 533,624 | | |
| Virgin Media, Inc.§ | | | 3,955 | | | | 66,009 | | |
| | | | 3,793,006 | | |
| Metals & Mining (3.4%) | |
| Freeport-McMoRan Copper & Gold, Inc. | | | 72,300 | | | | 4,275,099 | | |
| Hecla Mining Co.*§ | | | 13,500 | | | | 70,470 | | |
| Newmont Mining Corp. | | | 4,800 | | | | 296,352 | | |
| | | | 4,641,921 | | |
| Multi-Utilities (0.6%) | |
| CH Energy Group, Inc.§ | | | 1,457 | | | | 57,173 | | |
| DTE Energy Co. | | | 13,700 | | | | 624,857 | | |
| Integrys Energy Group, Inc. | | | 1,300 | | | | 56,862 | | |
| Public Service Enterprise Group, Inc.§ | | | 348 | | | | 10,903 | | |
| | | | 749,795 | | |
See Accompanying Notes to Financial Statements.
15
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Multiline Retail (2.8%) | |
| 99 Cents Only Stores*§ | | | 14,400 | | | $ | 213,120 | | |
| Big Lots, Inc.*§ | | | 21,900 | | | | 702,771 | | |
| Dollar General Corp.*§ | | | 400 | | | | 11,020 | | |
| Dollar Tree, Inc.*§ | | | 14,850 | | | | 618,206 | | |
| Fred's, Inc. Class A | | | 18,400 | | | | 203,504 | | |
| Kohl's Corp.*§ | | | 5,300 | | | | 251,750 | | |
| Macy's, Inc.§ | | | 93,600 | | | | 1,675,440 | | |
| Nordstrom, Inc.§ | | | 200 | | | | 6,438 | | |
| Target Corp. | | | 3,800 | | | | 186,846 | | |
| | | | 3,869,095 | | |
| Oil, Gas & Consumable Fuels (8.9%) | |
| Apache Corp.§ | | | 9,200 | | | | 774,548 | | |
| ATP Oil & Gas Corp.*§ | | | 1,300 | | | | 13,767 | | |
| Brigham Exploration Co.*§ | | | 22,900 | | | | 352,202 | | |
| Chevron Corp. | | | 46,400 | | | | 3,148,704 | | |
| Cimarex Energy Co. | | | 49,200 | | | | 3,521,736 | | |
| Cobalt International Energy, Inc.*§ | | | 900 | | | | 6,705 | | |
| Consol Energy, Inc. | | | 200 | | | | 6,752 | | |
| Continental Resources, Inc.* | | | 7,600 | | | | 339,112 | | |
| Enterprise Products Partners LP | | | 28,915 | | | | 1,022,724 | | |
| Exxon Mobil Corp. | | | 24,649 | | | | 1,406,718 | | |
| GMX Resources, Inc.*§ | | | 6,600 | | | | 42,834 | | |
| Gran Tierra Energy, Inc.*§ | | | 2,800 | | | | 13,888 | | |
| Hess Corp. | | | 21,000 | | | | 1,057,140 | | |
| Marathon Oil Corp.§ | | | 1,500 | | | | 46,635 | | |
| McMoRan Exploration Co.*§ | | | 22,000 | | | | 244,420 | | |
| Newfield Exploration Co.*§ | | | 100 | | | | 4,886 | | |
| Occidental Petroleum Corp. | | | 400 | | | | 30,860 | | |
| Ship Finance International, Ltd.§ | | | 500 | | | | 8,940 | | |
| Stone Energy Corp.*§ | | | 2,300 | | | | 25,668 | | |
| Swift Energy Co.*§ | | | 200 | | | | 5,382 | | |
| Tesoro Corp.§ | | | 2,000 | | | | 23,340 | | |
| | | | 12,096,961 | | |
| Paper & Forest Products (0.3%) | |
| Domtar Corp.§ | | | 6,200 | | | | 304,730 | | |
| International Paper Co. | | | 2,900 | | | | 65,627 | | |
| | | | 370,357 | | |
| Personal Products (4.3%) | |
| NBTY, Inc.* | | | 9,862 | | | | 335,407 | | |
| The Estee Lauder Cos., Inc. Class A§ | | | 98,400 | | | | 5,483,832 | | |
| | | | 5,819,239 | | |
See Accompanying Notes to Financial Statements.
16
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Pharmaceuticals (5.7%) | |
| Abbott Laboratories | | | 2,300 | | | $ | 107,594 | | |
| Allergan, Inc. | | | 21,100 | | | | 1,229,286 | | |
| Bristol-Myers Squibb Co.§ | | | 2,200 | | | | 54,868 | | |
| Eli Lilly & Co.§ | | | 9,500 | | | | 318,250 | | |
| Endo Pharmaceuticals Holdings, Inc.*§ | | | 138,200 | | | | 3,015,524 | | |
| Forest Laboratories, Inc.*§ | | | 1,000 | | | | 27,430 | | |
| Indevus Pharmaceuticals, Inc. (Escrow shares)^ | | | 2,200 | | | | 0 | | |
| King Pharmaceuticals, Inc.*§ | | | 15,900 | | | | 120,681 | | |
| Medicis Pharmaceutical Corp. Class A§ | | | 104,261 | | | | 2,281,231 | | |
| Mylan, Inc.*§ | | | 33,700 | | | | 574,248 | | |
| Nektar Therapeutics*§ | | | 2,100 | | | | 25,410 | | |
| | | | 7,754,522 | | |
| Professional Services (0.2%) | |
| Towers Watson & Co. Class A§ | | | 6,600 | | | | 256,410 | | |
| Verisk Analytics, Inc. Class A*§ | | | 1,300 | | | | 38,870 | | |
| | | | 295,280 | | |
| Real Estate Investment Trusts (3.2%) | |
| Annaly Capital Management, Inc.§ | | | 214,995 | | | | 3,687,164 | | |
| Chimera Investment Corp.§ | | | 10,471 | | | | 37,800 | | |
| DCT Industrial Trust, Inc. | | | 3,400 | | | | 15,368 | | |
| Developers Diversified Realty Corp. | | | 5,900 | | | | 58,410 | | |
| Public Storage§ | | | 121 | | | | 10,637 | | |
| Rayonier, Inc. | | | 10,592 | | | | 466,260 | | |
| Starwood Property Trust, Inc.§ | | | 600 | | | | 10,170 | | |
| Vornado Realty Trust | | | 413 | | | | 30,129 | | |
| | | | 4,315,938 | | |
| Real Estate Management & Development (0.4%) | |
| Jones Lang LaSalle, Inc.§ | | | 9,100 | | | | 597,324 | | |
| Semiconductors & Semiconductor Equipment (5.8%) | |
| Altera Corp.§ | | | 72,900 | | | | 1,808,649 | | |
| Atmel Corp.*§ | | | 5,000 | | | | 24,000 | | |
| Broadcom Corp. Class A§ | | | 8,500 | | | | 280,245 | | |
| Cirrus Logic, Inc.*§ | | | 800 | | | | 12,648 | | |
| FEI Co.*§ | | | 100 | | | | 1,971 | | |
| Intel Corp.§ | | | 168,600 | | | | 3,279,270 | | |
| Linear Technology Corp.§ | | | 4,400 | | | | 122,364 | | |
| LSI Corp.*§ | | | 8,400 | | | | 38,640 | | |
| MKS Instruments, Inc.*§ | | | 7,300 | | | | 136,656 | | |
| National Semiconductor Corp.§ | | | 12,700 | | | | 170,942 | | |
| NVIDIA Corp.*§ | | | 7,100 | | | | 72,491 | | |
| Power Integrations, Inc.§ | | | 100 | | | | 3,219 | | |
| RF Micro Devices, Inc.*§ | | | 4,700 | | | | 18,377 | | |
| Veeco Instruments, Inc.*§ | | | 100 | | | | 3,428 | | |
| Xilinx, Inc.§ | | | 74,800 | | | | 1,889,448 | | |
| | | | 7,862,348 | | |
See Accompanying Notes to Financial Statements.
17
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Software (5.8%) | |
| Activision Blizzard, Inc.§ | | | 99,100 | | | $ | 1,039,559 | | |
| ANSYS, Inc.*§ | | | 1,066 | | | | 43,248 | | |
| Blackbaud, Inc.§ | | | 932 | | | | 20,290 | | |
| BMC Software, Inc.* | | | 2,000 | | | | 69,260 | | |
| FactSet Research Systems, Inc.§ | | | 5,800 | | | | 388,542 | | |
| Fair Isaac Corp.§ | | | 6,200 | | | | 135,098 | | |
| Microsoft Corp. | | | 246,000 | | | | 5,660,460 | | |
| Novell, Inc.*§ | | | 5,462 | | | | 31,024 | | |
| Oracle Corp. | | | 100 | | | | 2,146 | | |
| Red Hat, Inc.* | | | 1,470 | | | | 42,542 | | |
| Take-Two Interactive Software, Inc.* | | | 49,100 | | | | 441,900 | | |
| TIBCO Software, Inc.* | | | 2,956 | | | | 35,649 | | |
| Websense, Inc.*§ | | | 300 | | | | 5,670 | | |
| | | | 7,915,388 | | |
| Specialty Retail (4.5%) | |
| Advance Auto Parts, Inc. | | | 2,600 | | | | 130,468 | | |
| Aeropostale, Inc.*§ | | | 54,886 | | | | 1,571,935 | | |
| Best Buy Co., Inc. | | | 37,300 | | | | 1,262,978 | | |
| Dick's Sporting Goods, Inc.*§ | | | 24,300 | | | | 604,827 | | |
| Group 1 Automotive, Inc.*§ | | | 1,200 | | | | 28,236 | | |
| Monro Muffler, Inc.§ | | | 2,200 | | | | 86,966 | | |
| Office Depot, Inc.* | | | 4,200 | | | | 16,968 | | |
| Penske Auto Group, Inc.*§ | | | 8,800 | | | | 99,968 | | |
| Pier 1 Imports, Inc.*§ | | | 1,200 | | | | 7,692 | | |
| Rent-A-Center, Inc.*§ | | | 21,300 | | | | 431,538 | | |
| Ross Stores, Inc.§ | | | 6,200 | | | | 330,398 | | |
| The Dress Barn, Inc.*§ | | | 29,100 | | | | 692,871 | | |
| Tiffany & Co.§ | | | 1,800 | | | | 68,238 | | |
| TJX Cos., Inc. | | | 1,700 | | | | 71,315 | | |
| Williams-Sonoma, Inc.§ | | | 30,000 | | | | 744,600 | | |
| | | | 6,148,998 | | |
| Textiles, Apparel & Luxury Goods (1.3%) | |
| American Apparel, Inc.*§ | | | 300 | | | | 549 | | |
| Fossil, Inc.*§ | | | 1,200 | | | | 41,640 | | |
| NIKE, Inc. Class B | | | 12,727 | | | | 859,709 | | |
| Phillips-Van Heusen Corp. | | | 500 | | | | 23,135 | | |
| Polo Ralph Lauren Corp.§ | | | 2,400 | | | | 175,104 | | |
| Skechers U.S.A., Inc. Class A* | | | 1,900 | | | | 69,388 | | |
| The Timberland Co. Class A*§ | | | 15,500 | | | | 250,325 | | |
| The Warnaco Group, Inc.* | | | 3,900 | | | | 140,946 | | |
| VF Corp.§ | | | 2,800 | | | | 199,304 | | |
| | | | 1,760,100 | | |
See Accompanying Notes to Financial Statements.
18
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Thrifts & Mortgage Finance (0.3%) | |
| Dime Community Bancshares§ | | | 7,100 | | | $ | 87,543 | | |
| MGIC Investment Corp.* | | | 19,900 | | | | 137,111 | | |
| NewAlliance Bancshares, Inc.§ | | | 5,787 | | | | 64,872 | | |
| Trustco Bank Corp. NY§ | | | 15,110 | | | | 84,616 | | |
| | | | 374,142 | | |
| Tobacco (0.4%) | |
| Philip Morris International, Inc. | | | 7,100 | | | | 325,464 | | |
| Universal Corp.§ | | | 5,169 | | | | 205,106 | | |
| | | | 530,570 | | |
| Trading Companies & Distributors (0.0%) | |
| MSC Industrial Direct Co., Inc. Class A§ | | | 892 | | | | 45,189 | | |
| Water Utilities (0.0%) | |
| SJW Corp.§ | | | 900 | | | | 21,096 | | |
| Wireless Telecommunication Services (0.5%) | |
| Leap Wireless International, Inc.*§ | | | 600 | | | | 7,788 | | |
| NII Holdings, Inc.*§ | | | 200 | | | | 6,504 | | |
| Sprint Nextel Corp.*§ | | | 41,900 | | | | 177,656 | | |
| Telephone & Data Systems, Inc.§ | | | 6,000 | | | | 182,340 | | |
| United States Cellular Corp.*§ | | | 5,245 | | | | 215,832 | | |
| USA Mobility, Inc.§ | | | 2,500 | | | | 32,300 | | |
| | | | 622,420 | | |
| TOTAL COMMON STOCKS (Cost $173,890,012) | | | 162,151,341 | | |
| TOTAL LONG STOCK POSITIONS (Cost $173,890,012) | | | 162,151,341 | | |
| SHORT-TERM INVESTMENTS (24.4%) | |
| State Street Navigator Prime Portfolio§§ | | | 32,673,986 | | | | 32,673,986 | | |
| | | Par
(000) | | | |
| State Street Bank and Trust Co. Euro Time Deposit, 0.010%, 07/01/10 | | $ | 509 | | | | 509,000 | | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $33,182,986) | | | 33,182,986 | | |
| TOTAL INVESTMENTS AT VALUE (143.6%) (Cost $207,072,998) | | | 195,334,327 | | |
| TOTAL SECURITIES SOLD SHORT (-19.5%) (Proceeds $26,055,534) | | | (26,586,222 | ) | |
| LIABILITIES IN EXCESS OF OTHER ASSETS (-24.1%) | | | (32,741,372 | ) | |
| NET ASSETS (100.0%) | | $ | 136,006,733 | | |
See Accompanying Notes to Financial Statements.
19
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS (-19.5%) | |
| COMMON STOCKS (-19.5%) | |
| Aerospace & Defense (-0.4%) | |
| AAR Corp.* | | | (1,500 | ) | | $ | (25,110 | ) | |
| American Science and Engineering, Inc. | | | (200 | ) | | | (15,242 | ) | |
| BE Aerospace, Inc.* | | | (1,200 | ) | | | (30,516 | ) | |
| Ceradyne, Inc.* | | | (1,000 | ) | | | (21,370 | ) | |
| Curtiss-Wright Corp. | | | (1,000 | ) | | | (29,040 | ) | |
| Esterline Technologies Corp.* | | | (700 | ) | | | (33,215 | ) | |
| General Dynamics Corp. | | | (500 | ) | | | (29,280 | ) | |
| Goodrich Corp. | | | (500 | ) | | | (33,125 | ) | |
| Hexcel Corp.* | | | (2,000 | ) | | | (31,020 | ) | |
| Honeywell International, Inc. | | | (700 | ) | | | (27,321 | ) | |
| Lockheed Martin Corp. | | | (200 | ) | | | (14,900 | ) | |
| Moog, Inc. Class A* | | | (1,000 | ) | | | (32,230 | ) | |
| Northrop Grumman Corp. | | | (600 | ) | | | (32,664 | ) | |
| Orbital Sciences Corp.* | | | (1,800 | ) | | | (28,386 | ) | |
| Precision Castparts Corp. | | | (300 | ) | | | (30,876 | ) | |
| Rockwell Collins, Inc. | | | (600 | ) | | | (31,878 | ) | |
| Spirit Aerosystems Holdings, Inc. Class A* | | | (1,600 | ) | | | (30,496 | ) | |
| Teledyne Technologies, Inc.* | | | (900 | ) | | | (34,722 | ) | |
| TransDigm Group, Inc. | | | (700 | ) | | | (35,721 | ) | |
| Triumph Group, Inc. | | | (500 | ) | | | (33,315 | ) | |
| | | | (580,427 | ) | |
| Air Freight & Logistics (-0.1%) | |
| Atlas Air Worldwide Holdings, Inc.* | | | (700 | ) | | | (33,250 | ) | |
| CH Robinson Worldwide, Inc. | | | (500 | ) | | | (27,830 | ) | |
| Expeditors International of Washington, Inc. | | | (900 | ) | | | (31,059 | ) | |
| FedEx Corp. | | | (400 | ) | | | (28,044 | ) | |
| Forward Air Corp. | | | (500 | ) | | | (13,625 | ) | |
| HUB Group, Inc. Class A* | | | (1,000 | ) | | | (30,010 | ) | |
| | | | (163,818 | ) | |
| Airlines (-0.0%) | |
| AMR Corp.* | | | (3,200 | ) | | | (21,696 | ) | |
| Hawaiian Holdings, Inc.* | | | (3,000 | ) | | | (15,510 | ) | |
| Southwest Airlines Co. | | | (2,400 | ) | | | (26,664 | ) | |
| | | | (63,870 | ) | |
| Auto Components (-0.1%) | |
| American Axle & Manufacturing Holdings, Inc.* | | | (3,000 | ) | | | (21,990 | ) | |
| BorgWarner, Inc.* | | | (800 | ) | | | (29,872 | ) | |
| Cooper Tire & Rubber Co. | | | (1,500 | ) | | | (29,250 | ) | |
| Dana Holding Corp.* | | | (1,600 | ) | | | (16,000 | ) | |
| Drew Industries, Inc.* | | | (1,100 | ) | | | (22,220 | ) | |
| Gentex Corp. | | | (1,400 | ) | | | (25,172 | ) | |
| Superior Industries International, Inc. | | | (1,500 | ) | | | (20,160 | ) | |
| Tenneco, Inc.* | | | (1,400 | ) | | | (29,484 | ) | |
| The Goodyear Tire & Rubber Co.* | | | (1,100 | ) | | | (10,934 | ) | |
| | | | (205,082 | ) | |
See Accompanying Notes to Financial Statements.
20
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Automobiles (-0.0%) | |
| Harley-Davidson, Inc. | | | (1,000 | ) | | $ | (22,230 | ) | |
| Winnebago Industries, Inc.* | | | (800 | ) | | | (7,952 | ) | |
| | | | (30,182 | ) | |
| Beverages (-0.1%) | |
| Central European Distribution Corp.* | | | (900 | ) | | | (19,242 | ) | |
| Constellation Brands, Inc. Class A* | | | (1,900 | ) | | | (29,678 | ) | |
| Dr. Pepper Snapple Group, Inc. | | | (900 | ) | | | (33,651 | ) | |
| Hansen Natural Corp.* | | | (800 | ) | | | (31,288 | ) | |
| Molson Coors Brewing Co. Class B | | | (700 | ) | | | (29,652 | ) | |
| | | | (143,511 | ) | |
| Biotechnology (-0.3%) | |
| Acorda Therapeutics, Inc.* | | | (1,000 | ) | | | (31,110 | ) | |
| Allos Therapeutics, Inc.* | | | (3,000 | ) | | | (18,390 | ) | |
| AMAG Pharmaceuticals, Inc.* | | | (600 | ) | | | (20,610 | ) | |
| Amylin Pharmaceuticals, Inc.* | | | (1,600 | ) | | | (30,080 | ) | |
| Biogen Idec, Inc.* | | | (600 | ) | | | (28,470 | ) | |
| BioMarin Pharmaceutical, Inc.* | | | (1,600 | ) | | | (30,336 | ) | |
| Celgene Corp.* | | | (200 | ) | | | (10,164 | ) | |
| Cepheid, Inc.* | | | (1,700 | ) | | | (27,234 | ) | |
| Dendreon Corp.* | | | (800 | ) | | | (25,864 | ) | |
| Emergent Biosolutions, Inc.* | | | (1,900 | ) | | | (31,046 | ) | |
| Genzyme Corp.* | | | (500 | ) | | | (25,385 | ) | |
| Human Genome Sciences, Inc.* | | | (1,000 | ) | | | (22,660 | ) | |
| Incyte Corp., Ltd.* | | | (2,200 | ) | | | (24,354 | ) | |
| Myriad Genetics, Inc.* | | | (900 | ) | | | (13,455 | ) | |
| Onyx Pharmaceuticals, Inc.* | | | (800 | ) | | | (17,272 | ) | |
| Pharmasset, Inc.* | | | (500 | ) | | | (13,670 | ) | |
| Savient Pharmaceuticals, Inc.* | | | (2,000 | ) | | | (25,200 | ) | |
| Seattle Genetics, Inc.* | | | (1,600 | ) | | | (19,184 | ) | |
| United Therapeutics Corp.* | | | (600 | ) | | | (29,286 | ) | |
| Vertex Pharmaceuticals, Inc.* | | | (800 | ) | | | (26,320 | ) | |
| | | | (470,090 | ) | |
| Building Products (-0.1%) | |
| A.O. Smith Corp. | | | (500 | ) | | | (24,095 | ) | |
| Ameron International Corp. | | | (400 | ) | | | (24,132 | ) | |
| Masco Corp. | | | (2,000 | ) | | | (21,520 | ) | |
| Simpson Manufacturing Co., Inc. | | | (1,100 | ) | | | (27,005 | ) | |
| | | | (96,752 | ) | |
| Capital Markets (-0.4%) | |
| AllianceBernstein Holding LP | | | (800 | ) | | | (20,672 | ) | |
| Ameriprise Financial, Inc. | | | (800 | ) | | | (28,904 | ) | |
| Cohen & Steers, Inc. | | | (1,200 | ) | | | (24,888 | ) | |
| Invesco, Ltd. | | | (1,500 | ) | | | (25,245 | ) | |
| Investment Technology Group, Inc.* | | | (1,600 | ) | | | (25,696 | ) | |
| Janus Capital Group, Inc. | | | (2,200 | ) | | | (19,536 | ) | |
See Accompanying Notes to Financial Statements.
21
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Capital Markets | |
| Jefferies Group, Inc. | | | (1,200 | ) | | $ | (25,296 | ) | |
| KBW, Inc.* | | | (1,100 | ) | | | (23,584 | ) | |
| Knight Capital Group, Inc. Class A* | | | (2,200 | ) | | | (30,338 | ) | |
| Legg Mason, Inc. | | | (1,100 | ) | | | (30,833 | ) | |
| Morgan Stanley | | | (1,500 | ) | | | (34,815 | ) | |
| optionsXpress Holdings, Inc.* | | | (1,900 | ) | | | (29,906 | ) | |
| Piper Jaffray Cos.* | | | (500 | ) | | | (16,110 | ) | |
| Raymond James Financial, Inc. | | | (1,200 | ) | | | (29,628 | ) | |
| SEI Investments Co. | | | (1,600 | ) | | | (32,576 | ) | |
| State Street Corp. | | | (800 | ) | | | (27,056 | ) | |
| Stifel Financial Corp.* | | | (600 | ) | | | (26,034 | ) | |
| TD Ameritrade Holding Corp.* | | | (1,700 | ) | | | (26,010 | ) | |
| The Bank of New York Mellon Corp. | | | (1,100 | ) | | | (27,159 | ) | |
| The Charles Schwab Corp. | | | (1,600 | ) | | | (22,688 | ) | |
| | | | (526,974 | ) | |
| Chemicals (-0.6%) | |
| Air Products & Chemicals, Inc. | | | (500 | ) | | | (32,405 | ) | |
| Albemarle Corp. | | | (900 | ) | | | (35,739 | ) | |
| Arch Chemicals, Inc. | | | (800 | ) | | | (24,592 | ) | |
| Cabot Corp. | | | (1,100 | ) | | | (26,521 | ) | |
| Calgon Carbon Corp.* | | | (1,600 | ) | | | (21,184 | ) | |
| Cytec Industries, Inc. | | | (800 | ) | | | (31,992 | ) | |
| E.I. Du Pont de Nemours & Co. | | | (800 | ) | | | (27,672 | ) | |
| Eastman Chemical Co. | | | (400 | ) | | | (21,344 | ) | |
| Ecolab, Inc. | | | (800 | ) | | | (35,928 | ) | |
| Ferro Corp.* | | | (2,900 | ) | | | (21,373 | ) | |
| FMC Corp. | | | (600 | ) | | | (34,458 | ) | |
| H.B. Fuller Co. | | | (1,200 | ) | | | (22,788 | ) | |
| Intrepid Potash, Inc.* | | | (1,100 | ) | | | (21,527 | ) | |
| Monsanto Co. | | | (600 | ) | | | (27,732 | ) | |
| Nalco Holding Co. | | | (1,300 | ) | | | (26,598 | ) | |
| Olin Corp. | | | (1,700 | ) | | | (30,753 | ) | |
| OM Group, Inc.* | | | (900 | ) | | | (21,474 | ) | |
| PolyOne Corp.* | | | (400 | ) | | | (3,368 | ) | |
| Praxair, Inc. | | | (500 | ) | | | (37,995 | ) | |
| Rockwood Holdings, Inc.* | | | (1,200 | ) | | | (27,228 | ) | |
| RPM International, Inc. | | | (1,200 | ) | | | (21,408 | ) | |
| Sensient Technologies Corp. | | | (1,200 | ) | | | (31,116 | ) | |
| Sigma-Aldrich Corp. | | | (400 | ) | | | (19,932 | ) | |
| Solutia, Inc.* | | | (1,900 | ) | | | (24,890 | ) | |
| The Dow Chemical Co. | | | (800 | ) | | | (18,976 | ) | |
| The Mosaic Co. | | | (600 | ) | | | (23,388 | ) | |
| The Scotts Miracle-Gro Co. Class A | | | (300 | ) | | | (13,323 | ) | |
| The Sherwin-Williams Co. | | | (500 | ) | | | (34,595 | ) | |
| Valspar Corp. | | | (1,100 | ) | | | (33,132 | ) | |
| W.R. Grace & Co.* | | | (1,200 | ) | | | (25,248 | ) | |
| | | | (778,679 | ) | |
See Accompanying Notes to Financial Statements.
22
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Commercial Banks (-0.5%) | |
| Associated Banc-Corp. | | | (2,100 | ) | | $ | (25,746 | ) | |
| Bank of Hawaii Corp. | | | (700 | ) | | | (33,845 | ) | |
| BB&T Corp. | | | (1,000 | ) | | | (26,310 | ) | |
| BOK Financial Corp. | | | (300 | ) | | | (14,241 | ) | |
| Cathay General Bancorp | | | (2,600 | ) | | | (26,858 | ) | |
| City National Corp. | | | (700 | ) | | | (35,861 | ) | |
| Comerica, Inc. | | | (900 | ) | | | (33,147 | ) | |
| Commerce Bancshares, Inc. | | | (740 | ) | | | (26,632 | ) | |
| East West Bancorp, Inc. | | | (1,900 | ) | | | (28,975 | ) | |
| First Horizon National Corp.* | | | (2,280 | ) | | | (26,102 | ) | |
| FirstMerit Corp. | | | (1,505 | ) | | | (25,781 | ) | |
| Iberiabank Corp. | | | (300 | ) | | | (15,444 | ) | |
| Keycorp | | | (3,700 | ) | | | (28,453 | ) | |
| Marshall & Ilsley Corp. | | | (3,500 | ) | | | (25,130 | ) | |
| Old National Bancorp | | | (2,200 | ) | | | (22,792 | ) | |
| PNC Financial Services Group, Inc. | | | (300 | ) | | | (16,950 | ) | |
| PrivateBancorp, Inc. | | | (2,200 | ) | | | (24,376 | ) | |
| Regions Financial Corp. | | | (3,900 | ) | | | (25,662 | ) | |
| SunTrust Banks, Inc. | | | (1,100 | ) | | | (25,630 | ) | |
| SVB Financial Group* | | | (800 | ) | | | (32,984 | ) | |
| TCF Financial Corp. | | | (1,900 | ) | | | (31,559 | ) | |
| Valley National Bancorp | | | (2,315 | ) | | | (31,530 | ) | |
| Webster Financial Corp. | | | (1,700 | ) | | | (30,498 | ) | |
| Whitney Holding Corp. | | | (2,200 | ) | | | (20,350 | ) | |
| Wilmington Trust Corp. | | | (2,000 | ) | | | (22,180 | ) | |
| Zions Bancorporation | | | (700 | ) | | | (15,099 | ) | |
| | | | (672,135 | ) | |
| Commercial Services & Supplies (-0.6%) | |
| ABM Industries, Inc. | | | (1,500 | ) | | | (31,425 | ) | |
| American Reprographics Co.* | | | (3,200 | ) | | | (27,936 | ) | |
| Avery Dennison Corp. | | | (900 | ) | | | (28,917 | ) | |
| Cenveo, Inc.* | | | (2,200 | ) | | | (12,056 | ) | |
| Cintas Corp. | | | (1,300 | ) | | | (31,161 | ) | |
| Clean Harbors, Inc.* | | | (500 | ) | | | (33,205 | ) | |
| Copart, Inc.* | | | (900 | ) | | | (32,229 | ) | |
| Corrections Corp. of America* | | | (1,600 | ) | | | (30,528 | ) | |
| Covanta Holding Corp.* | | | (1,900 | ) | | | (31,521 | ) | |
| Deluxe Corp. | | | (1,500 | ) | | | (28,125 | ) | |
| EnergySolutions, Inc. | | | (3,800 | ) | | | (19,342 | ) | |
| Herman Miller, Inc. | | | (1,200 | ) | | | (22,644 | ) | |
| HNI Corp. | | | (1,000 | ) | | | (27,590 | ) | |
| Iron Mountain, Inc. | | | (1,300 | ) | | | (29,198 | ) | |
| Knoll, Inc. | | | (2,200 | ) | | | (29,238 | ) | |
| M&F Worldwide Corp.* | | | (500 | ) | | | (13,550 | ) | |
| Pitney Bowes, Inc. | | | (1,300 | ) | | | (28,548 | ) | |
| R. R. Donnelley & Sons Co. | | | (1,600 | ) | | | (26,192 | ) | |
See Accompanying Notes to Financial Statements.
23
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Commercial Services & Supplies | |
| Republic Services, Inc. | | | (1,100 | ) | | $ | (32,703 | ) | |
| Rollins, Inc. | | | (1,300 | ) | | | (26,897 | ) | |
| Steelcase, Inc. Class A | | | (2,900 | ) | | | (22,475 | ) | |
| Stericycle, Inc.* | | | (700 | ) | | | (45,906 | ) | |
| Team, Inc.* | | | (1,000 | ) | | | (13,050 | ) | |
| Tetra Tech., Inc.* | | | (1,400 | ) | | | (27,454 | ) | |
| The Brink's Co. | | | (1,100 | ) | | | (20,933 | ) | |
| The Geo Group, Inc.* | | | (1,400 | ) | | | (29,050 | ) | |
| United Stationers, Inc.* | | | (600 | ) | | | (32,682 | ) | |
| Waste Connections, Inc.* | | | (1,000 | ) | | | (34,890 | ) | |
| Waste Management, Inc. | | | (1,000 | ) | | | (31,290 | ) | |
| | | | (800,735 | ) | |
| Communications Equipment (-0.4%) | |
| ADC Telecommunications, Inc.* | | | (4,000 | ) | | | (29,640 | ) | |
| ADTRAN, Inc. | | | (1,200 | ) | | | (32,724 | ) | |
| Arris Group, Inc.* | | | (2,600 | ) | | | (26,494 | ) | |
| Aruba Networks, Inc.* | | | (2,300 | ) | | | (32,752 | ) | |
| Blue Coat Systems, Inc.* | | | (800 | ) | | | (16,344 | ) | |
| Brocade Communications Systems, Inc.* | | | (4,300 | ) | | | (22,188 | ) | |
| Ciena Corp.* | | | (1,800 | ) | | | (22,824 | ) | |
| CommScope, Inc.* | | | (1,100 | ) | | | (26,147 | ) | |
| Comtech Telecommunications Corp.* | | | (700 | ) | | | (20,951 | ) | |
| DG FastChannel, Inc.* | | | (400 | ) | | | (13,032 | ) | |
| Emulex Corp.* | | | (2,500 | ) | | | (22,950 | ) | |
| F5 Networks, Inc.* | | | (600 | ) | | | (41,142 | ) | |
| Hughes Communications, Inc.* | | | (400 | ) | | | (9,732 | ) | |
| InterDigital, Inc.* | | | (1,300 | ) | | | (32,097 | ) | |
| JDS Uniphase Corp.* | | | (2,600 | ) | | | (25,584 | ) | |
| Juniper Networks, Inc.* | | | (1,100 | ) | | | (25,102 | ) | |
| Motorola, Inc.* | | | (4,200 | ) | | | (27,384 | ) | |
| Plantronics, Inc. | | | (500 | ) | | | (14,300 | ) | |
| Polycom, Inc.* | | | (900 | ) | | | (26,811 | ) | |
| Riverbed Technology, Inc.* | | | (1,100 | ) | | | (30,382 | ) | |
| Tellabs, Inc. | | | (3,500 | ) | | | (22,365 | ) | |
| | | | (520,945 | ) | |
| Computers & Peripherals (-0.2%) | |
| 3PAR, Inc.* | | | (2,900 | ) | | | (26,999 | ) | |
| Dell, Inc.* | | | (1,900 | ) | | | (22,914 | ) | |
| Diebold, Inc. | | | (1,100 | ) | | | (29,975 | ) | |
| EMC Corp.* | | | (1,400 | ) | | | (25,620 | ) | |
| Intermec, Inc.* | | | (2,100 | ) | | | (21,525 | ) | |
| NCR Corp.* | | | (2,500 | ) | | | (30,300 | ) | |
| NetApp, Inc.* | | | (800 | ) | | | (29,848 | ) | |
| QLogic Corp.* | | | (1,700 | ) | | | (28,254 | ) | |
| | | | (215,435 | ) | |
See Accompanying Notes to Financial Statements.
24
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Construction & Engineering (-0.2%) | |
| EMCOR Group, Inc.* | | | (1,300 | ) | | $ | (30,121 | ) | |
| Granite Construction, Inc. | | | (1,000 | ) | | | (23,580 | ) | |
| Insituform Technologies, Inc. Class A* | | | (600 | ) | | | (12,288 | ) | |
| Jacobs Engineering Group, Inc.* | | | (400 | ) | | | (14,576 | ) | |
| KBR, Inc. | | | (1,400 | ) | | | (28,476 | ) | |
| MasTec, Inc.* | | | (2,500 | ) | | | (23,500 | ) | |
| Quanta Services, Inc.* | | | (1,500 | ) | | | (30,975 | ) | |
| The Shaw Group, Inc.* | | | (800 | ) | | | (27,376 | ) | |
| Tutor Perini Corp.* | | | (1,500 | ) | | | (24,720 | ) | |
| | | | (215,612 | ) | |
| Construction Materials (-0.1%) | |
| Eagle Materials, Inc. | | | (1,100 | ) | | | (28,523 | ) | |
| Martin Marietta Materials, Inc. | | | (400 | ) | | | (33,924 | ) | |
| Vulcan Materials Co. | | | (700 | ) | | | (30,681 | ) | |
| | | | (93,128 | ) | |
| Consumer Finance (-0.1%) | |
| Cash America International, Inc. | | | (900 | ) | | | (30,843 | ) | |
| Discover Financial Services | | | (2,100 | ) | | | (29,358 | ) | |
| EZCORP, Inc. Class A* | | | (1,600 | ) | | | (29,680 | ) | |
| Nelnet, Inc. Class A | | | (1,000 | ) | | | (19,280 | ) | |
| SLM Corp.* | | | (2,600 | ) | | | (27,014 | ) | |
| | | | (136,175 | ) | |
| Containers & Packaging (-0.3%) | |
| Aptargroup, Inc. | | | (900 | ) | | | (34,038 | ) | |
| Ball Corp. | | | (700 | ) | | | (36,981 | ) | |
| Bemis Co., Inc. | | | (1,100 | ) | | | (29,700 | ) | |
| Crown Holdings, Inc.* | | | (1,400 | ) | | | (35,056 | ) | |
| Greif, Inc. Class A | | | (700 | ) | | | (38,878 | ) | |
| Owens-Illinois, Inc.* | | | (1,000 | ) | | | (26,450 | ) | |
| Packaging Corp. of America | | | (1,500 | ) | | | (33,030 | ) | |
| Pactiv Corp.* | | | (1,100 | ) | | | (30,635 | ) | |
| Rock-Tenn Co. Class A | | | (700 | ) | | | (34,769 | ) | |
| Sealed Air Corp. | | | (1,600 | ) | | | (31,552 | ) | |
| Silgan Holdings, Inc. | | | (1,000 | ) | | | (28,380 | ) | |
| Sonoco Products Co. | | | (1,100 | ) | | | (33,528 | ) | |
| | | | (392,997 | ) | |
| Distributors (-0.0%) | |
| Genuine Parts Co. | | | (800 | ) | | | (31,560 | ) | |
| LKQ Corp.* | | | (1,600 | ) | | | (30,848 | ) | |
| | | | (62,408 | ) | |
See Accompanying Notes to Financial Statements.
25
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Diversified Consumer Services (-0.2%) | |
| American Public Education, Inc.* | | | (500 | ) | | $ | (21,850 | ) | |
| Capella Education Co.* | | | (200 | ) | | | (16,270 | ) | |
| Coinstar, Inc.* | | | (700 | ) | | | (30,079 | ) | |
| Grand Canyon Education, Inc.* | | | (900 | ) | | | (21,087 | ) | |
| Hillenbrand, Inc. | | | (500 | ) | | | (10,695 | ) | |
| K12, Inc.* | | | (800 | ) | | | (17,744 | ) | |
| Lincoln Educational Services Corp.* | | | (1,400 | ) | | | (28,826 | ) | |
| Regis Corp. | | | (1,500 | ) | | | (23,355 | ) | |
| Service Corp. International | | | (4,000 | ) | | | (29,600 | ) | |
| Weight Watchers International, Inc. | | | (1,000 | ) | | | (25,690 | ) | |
| | | | (225,196 | ) | |
| Diversified Financial Services (-0.1%) | |
| Interactive Brokers Group, Inc. Class A* | | | (1,200 | ) | | | (19,920 | ) | |
| IntercontinentalExchange, Inc.* | | | (300 | ) | | | (33,909 | ) | |
| Leucadia National Corp.* | | | (1,300 | ) | | | (25,363 | ) | |
| The NASDAQ OMX Group, Inc.* | | | (1,500 | ) | | | (26,670 | ) | |
| | | | (105,862 | ) | |
| Diversified Telecommunication Services (-0.1%) | |
| Atlantic Tele-Network, Inc. | | | (300 | ) | | | (12,390 | ) | |
| CenturyTel, Inc. | | | (900 | ) | | | (29,979 | ) | |
| Frontier Communications Corp. | | | (3,800 | ) | | | (27,018 | ) | |
| Premiere Global Services, Inc.* | | | (3,500 | ) | | | (22,190 | ) | |
| tw telecom, Inc.* | | | (1,500 | ) | | | (25,020 | ) | |
| | | | (116,597 | ) | |
| Electric Utilities (-0.5%) | |
| Allete, Inc. | | | (1,000 | ) | | | (34,240 | ) | |
| American Electric Power Co., Inc. | | | (900 | ) | | | (29,070 | ) | |
| Cleco Corp. | | | (1,300 | ) | | | (34,333 | ) | |
| DPL, Inc. | | | (1,100 | ) | | | (26,290 | ) | |
| Duke Energy Corp. | | | (2,000 | ) | | | (32,000 | ) | |
| Edison International | | | (800 | ) | | | (25,376 | ) | |
| El Paso Electric Co.* | | | (1,700 | ) | | | (32,895 | ) | |
| Great Plains Energy, Inc. | | | (1,800 | ) | | | (30,636 | ) | |
| Hawaiian Electric Industries, Inc. | | | (1,500 | ) | | | (34,170 | ) | |
| IDACORP, Inc. | | | (1,000 | ) | | | (33,270 | ) | |
| ITC Holdings Corp. | | | (600 | ) | | | (31,746 | ) | |
| Northeast Utilities | | | (1,300 | ) | | | (33,124 | ) | |
| NV Energy, Inc. | | | (2,700 | ) | | | (31,887 | ) | |
| Pepco Holdings, Inc. | | | (1,900 | ) | | | (29,792 | ) | |
| Pinnacle West Capital Corp. | | | (800 | ) | | | (29,088 | ) | |
| PNM Resources, Inc. | | | (2,300 | ) | | | (25,714 | ) | |
| Portland General Electric Co. | | | (1,700 | ) | | | (31,161 | ) | |
| PPL Corp. | | | (1,100 | ) | | | (27,445 | ) | |
| Progress Energy, Inc. | | | (900 | ) | | | (35,298 | ) | |
| Southern Co. | | | (1,000 | ) | | | (33,280 | ) | |
See Accompanying Notes to Financial Statements.
26
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Electric Utilities | |
| The Empire District Electric Co. | | | (1,800 | ) | | $ | (33,786 | ) | |
| UIL Holdings Corp. | | | (1,100 | ) | | | (27,533 | ) | |
| Unisource Energy Corp. | | | (1,100 | ) | | | (33,198 | ) | |
| Westar Energy, Inc. | | | (1,400 | ) | | | (30,254 | ) | |
| | | | (745,586 | ) | |
| Electrical Equipment (-0.3%) | |
| Acuity Brands, Inc. | | | (800 | ) | | | (29,104 | ) | |
| AMETEK, Inc. | | | (800 | ) | | | (32,120 | ) | |
| AZZ, Inc. | | | (600 | ) | | | (22,062 | ) | |
| Baldor Electric Co. | | | (1,000 | ) | | | (36,080 | ) | |
| Brady Corp. Class A | | | (900 | ) | | | (22,428 | ) | |
| Emerson Electric Co. | | | (100 | ) | | | (4,369 | ) | |
| EnerSys* | | | (1,200 | ) | | | (25,644 | ) | |
| Franklin Electric Co., Inc. | | | (500 | ) | | | (14,410 | ) | |
| GrafTech International, Ltd.* | | | (2,000 | ) | | | (29,240 | ) | |
| Hubbell, Inc. Class B | | | (500 | ) | | | (19,845 | ) | |
| Polypore International, Inc.* | | | (1,700 | ) | | | (38,658 | ) | |
| Powell Industries, Inc.* | | | (500 | ) | | | (13,670 | ) | |
| Roper Industries, Inc. | | | (600 | ) | | | (33,576 | ) | |
| Thomas & Betts Corp.* | | | (800 | ) | | | (27,760 | ) | |
| Woodward Governor Co. | | | (1,000 | ) | | | (25,530 | ) | |
| | | | (374,496 | ) | |
| Electronic Equipment, Instruments & Components (-0.4%) | |
| Agilent Technologies, Inc.* | | | (1,000 | ) | | | (28,430 | ) | |
| Amphenol Corp. Class A | | | (800 | ) | | | (31,424 | ) | |
| Anixter International, Inc.* | | | (700 | ) | | | (29,820 | ) | |
| Arrow Electronics, Inc.* | | | (1,100 | ) | | | (24,585 | ) | |
| AVX Corp. | | | (2,300 | ) | | | (29,486 | ) | |
| Benchmark Electronics, Inc.* | | | (1,600 | ) | | | (25,360 | ) | |
| Checkpoint Systems, Inc.* | | | (1,400 | ) | | | (24,304 | ) | |
| Cogent, Inc.* | | | (1,600 | ) | | | (14,416 | ) | |
| Corning, Inc. | | | (1,500 | ) | | | (24,225 | ) | |
| Dolby Laboratories, Inc. Class A* | | | (600 | ) | | | (37,614 | ) | |
| FLIR Systems, Inc.* | | | (1,100 | ) | | | (31,999 | ) | |
| Ingram Micro, Inc. Class A* | | | (1,800 | ) | | | (27,342 | ) | |
| Itron, Inc.* | | | (500 | ) | | | (30,910 | ) | |
| L-1 Identity Solutions, Inc.* | | | (3,000 | ) | | | (24,570 | ) | |
| Littelfuse, Inc.* | | | (400 | ) | | | (12,644 | ) | |
| Molex, Inc. | | | (1,300 | ) | | | (23,712 | ) | |
| Multi-Fineline Electronix, Inc.* | | | (600 | ) | | | (14,976 | ) | |
| National Instruments Corp. | | | (1,100 | ) | | | (34,958 | ) | |
| Plexus Corp.* | | | (700 | ) | | | (18,718 | ) | |
| Rofin-Sinar Technologies, Inc.* | | | (700 | ) | | | (14,574 | ) | |
| SYNNEX Corp.* | | | (900 | ) | | | (23,058 | ) | |
| Trimble Navigation, Ltd.* | | | (1,100 | ) | | | (30,800 | ) | |
| Vishay Intertechnology, Inc.* | | | (2,900 | ) | | | (22,446 | ) | |
| | | | (580,371 | ) | |
See Accompanying Notes to Financial Statements.
27
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Energy Equipment & Services (-0.4%) | |
| Baker Hughes, Inc. | | | (600 | ) | | $ | (24,942 | ) | |
| Bristow Group, Inc.* | | | (900 | ) | | | (26,460 | ) | |
| Cal Dive International, Inc.* | | | (3,800 | ) | | | (22,230 | ) | |
| Cameron International Corp.* | | | (811 | ) | | | (26,374 | ) | |
| CARBO Ceramics, Inc. | | | (500 | ) | | | (36,095 | ) | |
| Complete Production Services, Inc.* | | | (2,100 | ) | | | (30,030 | ) | |
| Dril-Quip, Inc.* | | | (600 | ) | | | (26,412 | ) | |
| Exterran Holdings, Inc.* | | | (1,300 | ) | | | (33,553 | ) | |
| Halliburton Co. | | | (900 | ) | | | (22,095 | ) | |
| Helmerich & Payne, Inc. | | | (700 | ) | | | (25,564 | ) | |
| Hornbeck Offshore Services, Inc.* | | | (1,400 | ) | | | (20,440 | ) | |
| Lufkin Industries, Inc. | | | (1,000 | ) | | | (38,990 | ) | |
| Nabors Industries, Ltd.* | | | (1,400 | ) | | | (24,668 | ) | |
| Oceaneering International, Inc.* | | | (600 | ) | | | (26,940 | ) | |
| Oil States International, Inc.* | | | (800 | ) | | | (31,664 | ) | |
| Patterson-UTI Energy, Inc. | | | (2,000 | ) | | | (25,740 | ) | |
| Pride International, Inc.* | | | (1,100 | ) | | | (24,574 | ) | |
| RPC, Inc. | | | (2,300 | ) | | | (31,395 | ) | |
| SEACOR Holdings, Inc.* | | | (400 | ) | | | (28,264 | ) | |
| Superior Energy Services, Inc.* | | | (1,300 | ) | | | (24,271 | ) | |
| Tetra Technologies, Inc.* | | | (2,800 | ) | | | (25,424 | ) | |
| Tidewater, Inc. | | | (600 | ) | | | (23,232 | ) | |
| Willbros Group, Inc.* | | | (2,100 | ) | | | (15,540 | ) | |
| | | | (614,897 | ) | |
| Food & Staples Retailing (-0.2%) | |
| BJ's Wholesale Club, Inc.* | | | (800 | ) | | | (29,608 | ) | |
| Costco Wholesale Corp. | | | (500 | ) | | | (27,415 | ) | |
| CVS Caremark Corp. | | | (900 | ) | | | (26,388 | ) | |
| Pricesmart, Inc. | | | (462 | ) | | | (10,732 | ) | |
| Ruddick Corp. | | | (1,100 | ) | | | (34,089 | ) | |
| Safeway, Inc. | | | (1,400 | ) | | | (27,524 | ) | |
| Sysco Corp. | | | (1,100 | ) | | | (31,427 | ) | |
| The Kroger Co. | | | (1,400 | ) | | | (27,566 | ) | |
| Walgreen Co. | | | (1,000 | ) | | | (26,700 | ) | |
| Whole Foods Market, Inc.* | | | (900 | ) | | | (32,418 | ) | |
| | | | (273,867 | ) | |
| Food Products (-0.4%) | |
| Archer-Daniels-Midland Co. | | | (1,200 | ) | | | (30,984 | ) | |
| Campbell Soup Co. | | | (900 | ) | | | (32,247 | ) | |
| Chiquita Brands International, Inc.* | | | (1,800 | ) | | | (21,870 | ) | |
| ConAgra Foods, Inc. | | | (1,400 | ) | | | (32,648 | ) | |
| Corn Products International, Inc. | | | (1,000 | ) | | | (30,300 | ) | |
| Darling International, Inc.* | | | (3,700 | ) | | | (27,787 | ) | |
| Dean Foods Co.* | | | (1,700 | ) | | | (17,119 | ) | |
| Del Monte Foods Co. | | | (2,000 | ) | | | (28,780 | ) | |
See Accompanying Notes to Financial Statements.
28
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Food Products | |
| Flowers Foods, Inc. | | | (1,300 | ) | | $ | (31,759 | ) | |
| Green Mountain Coffee Roasters, Inc.* | | | (600 | ) | | | (15,420 | ) | |
| H.J. Heinz Co. | | | (400 | ) | | | (17,288 | ) | |
| Hormel Foods Corp. | | | (700 | ) | | | (28,336 | ) | |
| Kraft Foods, Inc. Class A | | | (1,200 | ) | | | (33,600 | ) | |
| McCormick & Co., Inc. | | | (800 | ) | | | (30,368 | ) | |
| Ralcorp Holdings, Inc.* | | | (500 | ) | | | (27,400 | ) | |
| Smithfield Foods, Inc.* | | | (1,800 | ) | | | (26,820 | ) | |
| The J.M. Smucker Co. | | | (600 | ) | | | (36,132 | ) | |
| Tootsie Roll Industries, Inc. | | | (1,236 | ) | | | (29,231 | ) | |
| TreeHouse Foods, Inc.* | | | (800 | ) | | | (36,528 | ) | |
| | | | (534,617 | ) | |
| Gas Utilities (-0.3%) | |
| AGL Resources, Inc. | | | (900 | ) | | | (32,238 | ) | |
| Atmos Energy Corp. | | | (1,100 | ) | | | (29,744 | ) | |
| EQT Corp. | | | (800 | ) | | | (28,912 | ) | |
| National Fuel Gas Co. | | | (500 | ) | | | (22,940 | ) | |
| New Jersey Resources Corp. | | | (1,000 | ) | | | (35,200 | ) | |
| Northwest Natural Gas Co. | | | (500 | ) | | | (21,785 | ) | |
| ONEOK, Inc. | | | (800 | ) | | | (34,600 | ) | |
| Piedmont Natural Gas Co., Inc. | | | (1,300 | ) | | | (32,890 | ) | |
| Questar Corp. | | | (800 | ) | | | (36,392 | ) | |
| South Jersey Industries, Inc. | | | (800 | ) | | | (34,368 | ) | |
| Southwest Gas Corp. | | | (900 | ) | | | (26,550 | ) | |
| The Laclede Group, Inc. | | | (900 | ) | | | (29,817 | ) | |
| UGI Corp. | | | (1,100 | ) | | | (27,984 | ) | |
| WGL Holdings, Inc. | | | (800 | ) | | | (27,224 | ) | |
| | | | (420,644 | ) | |
| Health Care Equipment & Supplies (-0.5%) | |
| Analogic Corp. | | | (400 | ) | | | (18,204 | ) | |
| Baxter International, Inc. | | | (600 | ) | | | (24,384 | ) | |
| Beckman Coulter, Inc. | | | (500 | ) | | | (30,145 | ) | |
| Boston Scientific Corp.* | | | (4,200 | ) | | | (24,360 | ) | |
| Conmed Corp.* | | | (800 | ) | | | (14,904 | ) | |
| CR Bard, Inc. | | | (400 | ) | | | (31,012 | ) | |
| DENTSPLY International, Inc. | | | (1,000 | ) | | | (29,910 | ) | |
| Gen-Probe, Inc.* | | | (800 | ) | | | (36,336 | ) | |
| Haemonetics Corp.* | | | (400 | ) | | | (21,408 | ) | |
| Hill-Rom Holdings, Inc. | | | (1,100 | ) | | | (33,473 | ) | |
| ICU Medical, Inc.* | | | (400 | ) | | | (12,868 | ) | |
| Idexx Laboratories, Inc.* | | | (500 | ) | | | (30,450 | ) | |
| Intuitive Surgical, Inc.* | | | (200 | ) | | | (63,124 | ) | |
| Inverness Medical Innovations, Inc.* | | | (800 | ) | | | (21,328 | ) | |
| Meridian Bioscience, Inc. | | | (700 | ) | | | (11,900 | ) | |
| ResMed, Inc.* | | | (600 | ) | | | (36,486 | ) | |
See Accompanying Notes to Financial Statements.
29
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Health Care Equipment & Supplies | |
| Sirona Dental Systems, Inc.* | | | (400 | ) | | $ | (13,936 | ) | |
| St. Jude Medical, Inc.* | | | (900 | ) | | | (32,481 | ) | |
| STERIS Corp. | | | (800 | ) | | | (24,864 | ) | |
| Teleflex, Inc. | | | (600 | ) | | | (32,568 | ) | |
| The Cooper Cos., Inc. | | | (900 | ) | | | (35,811 | ) | |
| Thoratec Corp.* | | | (300 | ) | | | (12,819 | ) | |
| West Pharmaceutical Services, Inc. | | | (800 | ) | | | (29,192 | ) | |
| Wright Medical Group, Inc.* | | | (900 | ) | | | (14,949 | ) | |
| Zimmer Holdings, Inc.* | | | (600 | ) | | | (32,430 | ) | |
| | | | (669,342 | ) | |
| Health Care Providers & Services (-0.6%) | |
| Aetna, Inc. | | | (1,100 | ) | | | (29,018 | ) | |
| AmerisourceBergen Corp. | | | (1,100 | ) | | | (34,925 | ) | |
| Brookdale Senior Living, Inc.* | | | (1,600 | ) | | | (24,000 | ) | |
| Cardinal Health, Inc. | | | (500 | ) | | | (16,805 | ) | |
| Centene Corp.* | | | (1,400 | ) | | | (30,100 | ) | |
| Chemed Corp. | | | (600 | ) | | | (32,784 | ) | |
| CIGNA Corp. | | | (900 | ) | | | (27,954 | ) | |
| Community Health Systems, Inc.* | | | (400 | ) | | | (13,524 | ) | |
| Coventry Health Care, Inc.* | | | (1,300 | ) | | | (22,984 | ) | |
| DaVita, Inc.* | | | (600 | ) | | | (37,464 | ) | |
| Health Management Associates, Inc. Class A* | | | (3,400 | ) | | | (26,418 | ) | |
| Health Net, Inc.* | | | (1,400 | ) | | | (34,118 | ) | |
| Healthspring, Inc.* | | | (1,700 | ) | | | (26,367 | ) | |
| Henry Schein, Inc.* | | | (400 | ) | | | (21,960 | ) | |
| HMS Holdings Corp.* | | | (300 | ) | | | (16,266 | ) | |
| Kindred Healthcare, Inc.* | | | (1,400 | ) | | | (17,976 | ) | |
| Laboratory Corp. of America Holdings* | | | (500 | ) | | | (37,675 | ) | |
| Landauer, Inc. | | | (200 | ) | | | (12,176 | ) | |
| LifePoint Hospitals, Inc.* | | | (1,000 | ) | | | (31,400 | ) | |
| Lincare Holdings, Inc.* | | | (1,200 | ) | | | (39,012 | ) | |
| Magellan Health Services, Inc.* | | | (500 | ) | | | (18,160 | ) | |
| Mednax, Inc.* | | | (600 | ) | | | (33,366 | ) | |
| Molina Healthcare, Inc.* | | | (1,200 | ) | | | (34,560 | ) | |
| Omnicare, Inc. | | | (1,200 | ) | | | (28,440 | ) | |
| Owens & Minor, Inc. | | | (500 | ) | | | (14,190 | ) | |
| Patterson Cos., Inc. | | | (1,000 | ) | | | (28,530 | ) | |
| PharMerica Corp.* | | | (1,400 | ) | | | (20,524 | ) | |
| Quest Diagnostics, Inc. | | | (600 | ) | | | (29,862 | ) | |
| Universal American Corp.* | | | (2,200 | ) | | | (31,680 | ) | |
| Universal Health Services, Inc. Class B | | | (400 | ) | | | (15,260 | ) | |
| VCA Antech, Inc.* | | | (1,300 | ) | | | (32,188 | ) | |
| WellCare Health Plans, Inc.* | | | (500 | ) | | | (11,870 | ) | |
| | | | (831,556 | ) | |
See Accompanying Notes to Financial Statements.
30
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Health Care Technology (-0.1%) | |
| Allscripts-Misys Heathcare Solutions, Inc.* | | | (1,700 | ) | | $ | (27,370 | ) | |
| athenahealth, Inc.* | | | (700 | ) | | | (18,291 | ) | |
| Cerner Corp.* | | | (400 | ) | | | (30,356 | ) | |
| MedAssets, Inc.* | | | (1,000 | ) | | | (23,080 | ) | |
| | | | (99,097 | ) | |
| Hotels, Restaurants & Leisure (-0.6%) | |
| Ameristar Casinos, Inc. | | | (1,800 | ) | | | (27,108 | ) | |
| Bally Technologies, Inc.* | | | (800 | ) | | | (25,912 | ) | |
| Bob Evans Farms, Inc. | | | (700 | ) | | | (17,234 | ) | |
| Boyd Gaming Corp.* | | | (2,400 | ) | | | (20,376 | ) | |
| Buffalo Wild Wings, Inc.* | | | (400 | ) | | | (14,632 | ) | |
| Burger King Holdings, Inc. | | | (1,700 | ) | | | (28,628 | ) | |
| Carnival Corp. | | | (800 | ) | | | (24,192 | ) | |
| CEC Entertainment, Inc.* | | | (900 | ) | | | (31,734 | ) | |
| Chipotle Mexican Grill, Inc.* | | | (200 | ) | | | (27,362 | ) | |
| Choice Hotels International, Inc. | | | (1,000 | ) | | | (30,210 | ) | |
| Churchill Downs, Inc. | | | (400 | ) | | | (13,120 | ) | |
| Cracker Barrel Old Country Store, Inc. | | | (500 | ) | | | (23,280 | ) | |
| Darden Restaurants, Inc. | | | (900 | ) | | | (34,965 | ) | |
| Domino's Pizza, Inc.* | | | (2,400 | ) | | | (27,120 | ) | |
| Gaylord Entertainment Co.* | | | (1,100 | ) | | | (24,299 | ) | |
| International Game Technology | | | (1,600 | ) | | | (25,120 | ) | |
| International Speedway Corp. Class A | | | (1,100 | ) | | | (28,336 | ) | |
| Jack in the Box, Inc.* | | | (700 | ) | | | (13,615 | ) | |
| Life Time Fitness, Inc.* | | | (1,000 | ) | | | (31,790 | ) | |
| Marriott International, Inc. Class A | | | (1,119 | ) | | | (33,503 | ) | |
| McDonald's Corp. | | | (600 | ) | | | (39,522 | ) | |
| P.F. Chang's China Bistro, Inc. | | | (500 | ) | | | (19,825 | ) | |
| Penn National Gaming, Inc.* | | | (1,200 | ) | | | (27,720 | ) | |
| Pinnacle Entertainment, Inc.* | | | (2,600 | ) | | | (24,596 | ) | |
| Scientific Games Corp. Class A* | | | (2,000 | ) | | | (18,400 | ) | |
| Sonic Corp.* | | | (2,800 | ) | | | (21,700 | ) | |
| Speedway Motorsports, Inc. | | | (900 | ) | | | (12,204 | ) | |
| Starwood Hotels & Resorts Worldwide, Inc. | | | (700 | ) | | | (29,001 | ) | |
| Texas Roadhouse, Inc. Class A* | | | (2,400 | ) | | | (30,288 | ) | |
| The Cheesecake Factory, Inc.* | | | (1,300 | ) | | | (28,938 | ) | |
| Tim Hortons, Inc. | | | (1,000 | ) | | | (32,000 | ) | |
| Vail Resorts, Inc.* | | | (800 | ) | | | (27,928 | ) | |
| Wynn Resorts, Ltd. | | | (500 | ) | | | (38,135 | ) | |
| Yum! Brands, Inc. | | | (500 | ) | | | (19,520 | ) | |
| | | | (872,313 | ) | |
| Household Durables (-0.3%) | |
| D.R. Horton, Inc. | | | (2,500 | ) | | | (24,575 | ) | |
| Ethan Allen Interiors, Inc. | | | (1,500 | ) | | | (20,985 | ) | |
| Fortune Brands, Inc. | | | (800 | ) | | | (31,344 | ) | |
| Jarden Corp. | | | (1,100 | ) | | | (29,557 | ) | |
See Accompanying Notes to Financial Statements.
31
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Household Durables | |
| KB Home | | | (1,900 | ) | | $ | (20,900 | ) | |
| La-Z-Boy, Inc.* | | | (1,600 | ) | | | (11,888 | ) | |
| Leggett & Platt, Inc. | | | (1,000 | ) | | | (20,060 | ) | |
| Lennar Corp. Class A | | | (1,700 | ) | | | (23,647 | ) | |
| M.D.C. Holdings, Inc. | | | (1,000 | ) | | | (26,950 | ) | |
| Meritage Homes Corp.* | | | (1,500 | ) | | | (24,420 | ) | |
| Mohawk Industries, Inc.* | | | (700 | ) | | | (32,032 | ) | |
| Pulte Group, Inc.* | | | (2,555 | ) | | | (21,155 | ) | |
| Stanley Black & Decker, Inc. | | | (300 | ) | | | (15,156 | ) | |
| Tempur-Pedic International, Inc.* | | | (500 | ) | | | (15,375 | ) | |
| The Ryland Group, Inc. | | | (1,300 | ) | | | (20,566 | ) | |
| Toll Brothers, Inc.* | | | (1,400 | ) | | | (22,904 | ) | |
| | | | (361,514 | ) | |
| Household Products (-0.1%) | |
| Church & Dwight Co., Inc. | | | (500 | ) | | | (31,355 | ) | |
| Clorox Co. | | | (600 | ) | | | (37,296 | ) | |
| Energizer Holdings, Inc.* | | | (500 | ) | | | (25,140 | ) | |
| | | | (93,791 | ) | |
| Independent Power Producers & Energy Traders (-0.1%) | |
| Calpine Corp.* | | | (2,300 | ) | | | (29,256 | ) | |
| Ormat Technologies, Inc. | | | (700 | ) | | | (19,803 | ) | |
| The AES Corp.* | | | (2,400 | ) | | | (22,176 | ) | |
| | | | (71,235 | ) | |
| Industrial Conglomerates (-0.1%) | |
| Carlisle Cos., Inc. | | | (900 | ) | | | (32,517 | ) | |
| Otter Tail Corp. | | | (900 | ) | | | (17,397 | ) | |
| Textron, Inc. | | | (1,400 | ) | | | (23,758 | ) | |
| Tyco International, Ltd. | | | (230 | ) | | | (8,103 | ) | |
| | | | (81,775 | ) | |
| Insurance (-0.7%) | |
| American Equity Investment Life Holding Co. | | | (1,900 | ) | | | (19,608 | ) | |
| American Financial Group, Inc. | | | (700 | ) | | | (19,124 | ) | |
| Amtrust Financial Services, Inc. | | | (1,300 | ) | | | (15,652 | ) | |
| AON Corp. | | | (800 | ) | | | (29,696 | ) | |
| Arthur J. Gallagher & Co. | | | (1,400 | ) | | | (34,132 | ) | |
| Brown & Brown, Inc. | | | (1,700 | ) | | | (32,538 | ) | |
| Cincinnati Financial Corp. | | | (1,200 | ) | | | (31,044 | ) | |
| CNA Financial Corp.* | | | (1,000 | ) | | | (25,560 | ) | |
| Delphi Financial Group, Inc. Class A | | | (1,300 | ) | | | (31,733 | ) | |
| Employers Holdings, Inc. | | | (1,800 | ) | | | (26,514 | ) | |
| FBL Financial Group, Inc. Class A | | | (1,000 | ) | | | (21,000 | ) | |
| Fidelity National Financial, Inc. Class A | | | (2,300 | ) | | | (29,877 | ) | |
| First American Financial Corp. | | | (342 | ) | | | (4,337 | ) | |
| Hanover Insurance Group, Inc. | | | (800 | ) | | | (34,800 | ) | |
See Accompanying Notes to Financial Statements.
32
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Insurance | |
| HCC Insurance Holdings, Inc. | | | (1,100 | ) | | $ | (27,236 | ) | |
| Hilltop Holdings, Inc.* | | | (2,300 | ) | | | (23,023 | ) | |
| Lincoln National Corp. | | | (1,100 | ) | | | (26,719 | ) | |
| Loews Corp. | | | (900 | ) | | | (29,979 | ) | |
| Marsh & McLennan Cos., Inc. | | | (1,500 | ) | | | (33,825 | ) | |
| Mercury General Corp. | | | (800 | ) | | | (33,152 | ) | |
| MetLife, Inc. | | | (600 | ) | | | (22,656 | ) | |
| Old Republic International Corp. | | | (2,300 | ) | | | (27,899 | ) | |
| Principal Financial Group, Inc. | | | (1,100 | ) | | | (25,784 | ) | |
| ProAssurance Corp.* | | | (700 | ) | | | (39,732 | ) | |
| Protective Life Corp. | | | (1,500 | ) | | | (32,085 | ) | |
| Reinsurance Group of America, Inc. | | | (700 | ) | | | (31,997 | ) | |
| RLI Corp. | | | (500 | ) | | | (26,255 | ) | |
| StanCorp Financial Group, Inc. | | | (600 | ) | | | (24,324 | ) | |
| The Allstate Corp. | | | (1,000 | ) | | | (28,730 | ) | |
| The Progressive Corp. | | | (1,700 | ) | | | (31,824 | ) | |
| Torchmark Corp. | | | (700 | ) | | | (34,657 | ) | |
| Tower Group, Inc. | | | (700 | ) | | | (15,071 | ) | |
| United Fire & Casualty Co. | | | (700 | ) | | | (13,874 | ) | |
| W.R. Berkley Corp. | | | (1,200 | ) | | | (31,752 | ) | |
| | | | (916,189 | ) | |
| Internet & Catalog Retail (-0.0%) | |
| HSN, Inc.* | | | (1,100 | ) | | | (26,400 | ) | |
| Liberty Media Corp. - Interactive Class A* | | | (2,300 | ) | | | (24,150 | ) | |
| | | | (50,550 | ) | |
| Internet Software & Services (-0.2%) | |
| Akamai Technologies, Inc.* | | | (900 | ) | | | (36,513 | ) | |
| Equinix, Inc.* | | | (300 | ) | | | (24,366 | ) | |
| GSI Commerce, Inc.* | | | (1,200 | ) | | | (34,560 | ) | |
| IAC/InterActiveCorp* | | | (1,400 | ) | | | (30,758 | ) | |
| Monster Worldwide, Inc.* | | | (1,900 | ) | | | (22,135 | ) | |
| Rackspace Hosting, Inc.* | | | (1,700 | ) | | | (31,178 | ) | |
| ValueClick, Inc.* | | | (2,300 | ) | | | (24,587 | ) | |
| Yahoo!, Inc.* | | | (1,900 | ) | | | (26,277 | ) | |
| | | | (230,374 | ) | |
| IT Services (-0.4%) | |
| Acxiom Corp.* | | | (1,700 | ) | | | (24,973 | ) | |
| Alliance Data Systems Corp.* | | | (400 | ) | | | (23,808 | ) | |
| Broadridge Financial Solutions, Inc. | | | (1,300 | ) | | | (24,765 | ) | |
| CACI International, Inc. Class A* | | | (500 | ) | | | (21,240 | ) | |
| Cognizant Technology Solutions Corp. Class A* | | | (400 | ) | | | (20,024 | ) | |
| Computer Sciences Corp. | | | (300 | ) | | | (13,575 | ) | |
| Convergys Corp.* | | | (2,600 | ) | | | (25,506 | ) | |
| CoreLogic, Inc. | | | (342 | ) | | | (6,040 | ) | |
| DST Systems, Inc. | | | (600 | ) | | | (21,684 | ) | |
See Accompanying Notes to Financial Statements.
33
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| IT Services | |
| Fiserv, Inc.* | | | (800 | ) | | $ | (36,528 | ) | |
| Global Payments, Inc. | | | (600 | ) | | | (21,924 | ) | |
| Heartland Payment Systems, Inc. | | | (1,900 | ) | | | (28,196 | ) | |
| Hewitt Associates, Inc. Class A* | | | (800 | ) | | | (27,568 | ) | |
| MAXIMUS, Inc. | | | (500 | ) | | | (28,935 | ) | |
| Paychex, Inc. | | | (1,100 | ) | | | (28,567 | ) | |
| SAIC, Inc.* | | | (1,700 | ) | | | (28,458 | ) | |
| SRA International, Inc. Class A* | | | (1,600 | ) | | | (31,472 | ) | |
| Syntel, Inc. | | | (400 | ) | | | (13,580 | ) | |
| TNS, Inc.* | | | (1,300 | ) | | | (22,672 | ) | |
| Total System Services, Inc. | | | (1,900 | ) | | | (25,840 | ) | |
| Unisys Corp.* | | | (900 | ) | | | (16,641 | ) | |
| Wright Express Corp.* | | | (800 | ) | | | (23,760 | ) | |
| | | | (515,756 | ) | |
| Leisure Equipment & Products (-0.0%) | |
| Brunswick Corp. | | | (1,600 | ) | | | (19,888 | ) | |
| Hasbro, Inc. | | | (400 | ) | | | (16,440 | ) | |
| Pool Corp. | | | (1,400 | ) | | | (30,688 | ) | |
| | | | (67,016 | ) | |
| Life Sciences Tools & Services (-0.2%) | |
| Charles River Laboratories International, Inc.* | | | (800 | ) | | | (27,368 | ) | |
| Covance, Inc.* | | | (600 | ) | | | (30,792 | ) | |
| Furiex Pharmaceuticals, Inc.* | | | (108 | ) | | | (1,101 | ) | |
| Illumina, Inc.* | | | (800 | ) | | | (34,824 | ) | |
| Life Technologies Corp.* | | | (700 | ) | | | (33,075 | ) | |
| Mettler-Toledo International, Inc.* | | | (300 | ) | | | (33,489 | ) | |
| Paraxel International Corp.* | | | (1,100 | ) | | | (23,848 | ) | |
| PerkinElmer, Inc. | | | (1,300 | ) | | | (26,871 | ) | |
| Pharmaceutical Product Development, Inc. | | | (1,300 | ) | | | (33,033 | ) | |
| Techne Corp. | | | (400 | ) | | | (22,980 | ) | |
| Thermo Fisher Scientific, Inc.* | | | (600 | ) | | | (29,430 | ) | |
| | | | (296,811 | ) | |
| Machinery (-0.8%) | |
| Actuant Corp. Class A | | | (1,600 | ) | | | (30,128 | ) | |
| AGCO Corp.* | | | (1,000 | ) | | | (26,970 | ) | |
| Albany International Corp. Class A | | | (1,300 | ) | | | (21,047 | ) | |
| American Railcar Industries, Inc.* | | | (1,100 | ) | | | (13,288 | ) | |
| ArvinMeritor, Inc.* | | | (2,000 | ) | | | (26,200 | ) | |
| Astec Industries, Inc.* | | | (1,100 | ) | | | (30,503 | ) | |
| Barnes Group, Inc. | | | (1,700 | ) | | | (27,863 | ) | |
| Briggs & Stratton Corp. | | | (1,400 | ) | | | (23,828 | ) | |
| Bucyrus International, Inc. | | | (300 | ) | | | (14,235 | ) | |
| Cascade Corp. | | | (400 | ) | | | (14,244 | ) | |
| Chart Industries, Inc.* | | | (900 | ) | | | (14,022 | ) | |
| CLARCOR, Inc. | | | (1,000 | ) | | | (35,520 | ) | |
See Accompanying Notes to Financial Statements.
34
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Machinery | |
| Columbus McKinnon Corp.* | | | (1,000 | ) | | $ | (13,970 | ) | |
| Crane Co. | | | (900 | ) | | | (27,189 | ) | |
| Cummins, Inc. | | | (500 | ) | | | (32,565 | ) | |
| Danaher Corp. | | | (1,000 | ) | | | (37,120 | ) | |
| Deere & Co. | | | (400 | ) | | | (22,272 | ) | |
| Dover Corp. | | | (700 | ) | | | (29,253 | ) | |
| ESCO Technologies, Inc. | | | (500 | ) | | | (12,875 | ) | |
| Federal Signal Corp. | | | (1,900 | ) | | | (11,476 | ) | |
| Flowserve Corp. | | | (300 | ) | | | (25,440 | ) | |
| FreightCar America, Inc. | | | (600 | ) | | | (13,572 | ) | |
| Gardner Denver, Inc. | | | (800 | ) | | | (35,672 | ) | |
| Harsco Corp. | | | (1,100 | ) | | | (25,850 | ) | |
| IDEX Corp. | | | (1,000 | ) | | | (28,570 | ) | |
| Joy Global, Inc. | | | (600 | ) | | | (30,054 | ) | |
| Kaydon Corp. | | | (900 | ) | | | (29,574 | ) | |
| Kennametal, Inc. | | | (1,100 | ) | | | (27,973 | ) | |
| Lincoln Electric Holdings, Inc. | | | (700 | ) | | | (35,693 | ) | |
| Mueller Industries, Inc. | | | (1,200 | ) | | | (29,520 | ) | |
| Navistar International Corp.* | | | (400 | ) | | | (19,680 | ) | |
| Nordson Corp. | | | (500 | ) | | | (28,040 | ) | |
| PACCAR, Inc. | | | (700 | ) | | | (27,909 | ) | |
| Pentair, Inc. | | | (1,000 | ) | | | (32,200 | ) | |
| Robbins & Myers, Inc. | | | (1,200 | ) | | | (26,088 | ) | |
| Snap-on, Inc. | | | (800 | ) | | | (32,728 | ) | |
| SPX Corp. | | | (600 | ) | | | (31,686 | ) | |
| Tennant Co. | | | (800 | ) | | | (27,056 | ) | |
| Terex Corp.* | | | (1,300 | ) | | | (24,362 | ) | |
| Titan International, Inc. | | | (2,500 | ) | | | (24,925 | ) | |
| Trinity Industries, Inc. | | | (1,400 | ) | | | (24,808 | ) | |
| Valmont Industries, Inc. | | | (400 | ) | | | (29,064 | ) | |
| WABCO Holdings, Inc.* | | | (800 | ) | | | (25,184 | ) | |
| Wabtec Corp. | | | (800 | ) | | | (31,912 | ) | |
| Watts Water Technologies, Inc. Class A | | | (1,000 | ) | | | (28,660 | ) | |
| | | | (1,160,788 | ) | |
| Marine (-0.0%) | |
| Alexander & Baldwin, Inc. | | | (900 | ) | | | (26,802 | ) | |
| Kirby Corp.* | | | (900 | ) | | | (34,425 | ) | |
| | | | (61,227 | ) | |
| Media (-0.4%) | |
| Arbitron, Inc. | | | (1,100 | ) | | | (28,193 | ) | |
| Cablevision Systems Corp. Group A | | | (1,300 | ) | | | (31,213 | ) | |
| CBS Corp. Class B | | | (2,000 | ) | | | (25,860 | ) | |
| Cinemark Holdings, Inc. | | | (1,900 | ) | | | (24,985 | ) | |
| CTC Media, Inc. | | | (1,800 | ) | | | (25,992 | ) | |
| DreamWorks Animation SKG, Inc. Class A* | | | (800 | ) | | | (22,840 | ) | |
| E.W. Scripps Co. Class A* | | | (3,100 | ) | | | (23,033 | ) | |
See Accompanying Notes to Financial Statements.
35
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Media | |
| Interpublic Group of Cos., Inc.* | | | (3,300 | ) | | $ | (23,529 | ) | |
| Lamar Advertising Co. Class A* | | | (200 | ) | | | (4,904 | ) | |
| Liberty Global, Inc. Class A* | | | (1,200 | ) | | | (31,188 | ) | |
| Meredith Corp. | | | (1,000 | ) | | | (31,130 | ) | |
| News Corp. Class A | | | (1,400 | ) | | | (16,744 | ) | |
| Omnicom Group, Inc. | | | (800 | ) | | | (27,440 | ) | |
| Regal Entertainment Group Class A | | | (2,100 | ) | | | (27,384 | ) | |
| Scripps Networks Interactive, Inc. Class A | | | (700 | ) | | | (28,238 | ) | |
| The New York Times Co. Class A* | | | (2,400 | ) | | | (20,760 | ) | |
| The Walt Disney Co. | | | (800 | ) | | | (25,200 | ) | |
| Time Warner Cable, Inc. | | | (724 | ) | | | (37,706 | ) | |
| Time Warner, Inc. | | | (800 | ) | | | (23,128 | ) | |
| Valassis Communications, Inc.* | | | (1,000 | ) | | | (31,720 | ) | |
| Viacom, Inc. Class B | | | (800 | ) | | | (25,096 | ) | |
| World Wrestling Entertainment, Inc. Class A | | | (1,600 | ) | | | (24,896 | ) | |
| | | | (561,179 | ) | |
| Metals & Mining (-0.4%) | |
| AK Steel Holding Corp. | | | (1,400 | ) | | | (16,688 | ) | |
| Alcoa, Inc. | | | (2,300 | ) | | | (23,138 | ) | |
| Allegheny Technologies, Inc. | | | (700 | ) | | | (30,933 | ) | |
| Carpenter Technology Corp. | | | (900 | ) | | | (29,547 | ) | |
| Century Aluminum Co.* | | | (2,000 | ) | | | (17,660 | ) | |
| Cliffs Natural Resources, Inc. | | | (600 | ) | | | (28,296 | ) | |
| Commercial Metals Co. | | | (2,000 | ) | | | (26,440 | ) | |
| Compass Minerals International, Inc. | | | (300 | ) | | | (21,084 | ) | |
| Kaiser Aluminum Corp. | | | (500 | ) | | | (17,335 | ) | |
| Nucor Corp. | | | (800 | ) | | | (30,624 | ) | |
| Reliance Steel & Aluminum Co. | | | (500 | ) | | | (18,075 | ) | |
| Royal Gold, Inc. | | | (700 | ) | | | (33,600 | ) | |
| RTI International Metals, Inc.* | | | (1,200 | ) | | | (28,932 | ) | |
| Schnitzer Steel Industries, Inc. Class A | | | (700 | ) | | | (27,440 | ) | |
| Southern Copper Corp. | | | (1,100 | ) | | | (29,194 | ) | |
| Steel Dynamics, Inc. | | | (1,800 | ) | | | (23,742 | ) | |
| Stillwater Mining Co.* | | | (2,200 | ) | | | (25,564 | ) | |
| Titanium Metals Corp.* | | | (1,900 | ) | | | (33,421 | ) | |
| United States Steel Corp. | | | (600 | ) | | | (23,130 | ) | |
| Walter Energy, Inc. | | | (400 | ) | | | (24,340 | ) | |
| Worthington Industries, Inc. | | | (1,100 | ) | | | (14,146 | ) | |
| | | | (523,329 | ) | |
| Multi-Utilities (-0.4%) | |
| Alliant Energy Corp. | | | (1,000 | ) | | | (31,740 | ) | |
| Ameren Corp. | | | (1,300 | ) | | | (30,901 | ) | |
| Avista Corp. | | | (1,500 | ) | | | (29,295 | ) | |
| Black Hills Corp. | | | (1,100 | ) | | | (31,317 | ) | |
| CenterPoint Energy, Inc. | | | (2,400 | ) | | | (31,584 | ) | |
| CMS Energy Corp. | | | (1,700 | ) | | | (24,905 | ) | |
See Accompanying Notes to Financial Statements.
36
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Multi-Utilities | |
| Consolidated Edison, Inc. | | | (800 | ) | | $ | (34,480 | ) | |
| Dominion Resources, Inc. | | | (800 | ) | | | (30,992 | ) | |
| MDU Resources Group, Inc. | | | (1,400 | ) | | | (25,242 | ) | |
| NiSource, Inc. | | | (2,100 | ) | | | (30,450 | ) | |
| NorthWestern Corp. | | | (1,000 | ) | | | (26,200 | ) | |
| OGE Energy Corp. | | | (900 | ) | | | (32,904 | ) | |
| PG&E Corp. | | | (800 | ) | | | (32,880 | ) | |
| SCANA Corp. | | | (1,000 | ) | | | (35,760 | ) | |
| Sempra Energy | | | (700 | ) | | | (32,753 | ) | |
| Vectren Corp. | | | (1,400 | ) | | | (33,124 | ) | |
| Wisconsin Energy Corp. | | | (700 | ) | | | (35,518 | ) | |
| Xcel Energy, Inc. | | | (1,500 | ) | | | (30,915 | ) | |
| | | | (560,960 | ) | |
| Multiline Retail (-0.1%) | |
| Dillard's, Inc. Class A | | | (1,200 | ) | | | (25,800 | ) | |
| J.C. Penney Co., Inc. | | | (900 | ) | | | (19,332 | ) | |
| Saks, Inc.* | | | (3,200 | ) | | | (24,288 | ) | |
| | | | (69,420 | ) | |
| Office Electronics (-0.0%) | |
| Xerox Corp. | | | (2,933 | ) | | | (23,581 | ) | |
| Zebra Technologies Corp. Class A* | | | (1,100 | ) | | | (27,907 | ) | |
| | | | (51,488 | ) | |
| Oil, Gas & Consumable Fuels (-1.0%) | |
| Alon USA Energy, Inc. | | | (3,900 | ) | | | (24,804 | ) | |
| Alpha Natural Resources, Inc.* | | | (700 | ) | | | (23,709 | ) | |
| Anadarko Petroleum Corp. | | | (500 | ) | | | (18,045 | ) | |
| Arch Coal, Inc. | | | (1,300 | ) | | | (25,753 | ) | |
| Arena Resources, Inc.* | | | (900 | ) | | | (28,710 | ) | |
| Atlas Energy, Inc.* | | | (400 | ) | | | (10,828 | ) | |
| Berry Petroleum Co. Class A | | | (1,100 | ) | | | (28,292 | ) | |
| Bill Barrett Corp.* | | | (1,000 | ) | | | (30,770 | ) | |
| Cabot Oil & Gas Corp. | | | (800 | ) | | | (25,056 | ) | |
| Carrizo Oil & Gas, Inc.* | | | (1,200 | ) | | | (18,636 | ) | |
| Chesapeake Energy Corp. | | | (1,300 | ) | | | (27,235 | ) | |
| Clayton Williams Energy, Inc.* | | | (300 | ) | | | (12,636 | ) | |
| Clean Energy Fuels Corp.* | | | (1,700 | ) | | | (25,398 | ) | |
| Comstock Resources, Inc.* | | | (800 | ) | | | (22,176 | ) | |
| Concho Resources, Inc.* | | | (700 | ) | | | (38,731 | ) | |
| CVR Energy, Inc.* | | | (3,500 | ) | | | (26,320 | ) | |
| Delek US Holdings, Inc. | | | (3,800 | ) | | | (27,740 | ) | |
| Denbury Resources, Inc.* | | | (1,700 | ) | | | (24,888 | ) | |
| Devon Energy Corp. | | | (500 | ) | | | (30,460 | ) | |
| El Paso Corp. | | | (2,400 | ) | | | (26,664 | ) | |
| El Paso Pipeline Partners LP | | | (1,000 | ) | | | (28,670 | ) | |
| Enbridge Energy Partners LP | | | (400 | ) | | | (20,968 | ) | |
See Accompanying Notes to Financial Statements.
37
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Oil, Gas & Consumable Fuels | |
| Energy Transfer Partners LP | | | (500 | ) | | $ | (23,200 | ) | |
| EXCO Resources, Inc. | | | (1,500 | ) | | | (21,915 | ) | |
| Forest Oil Corp.* | | | (1,100 | ) | | | (30,096 | ) | |
| Frontier Oil Corp. | | | (2,300 | ) | | | (30,935 | ) | |
| Holly Corp. | | | (1,300 | ) | | | (34,554 | ) | |
| Inergy LP | | | (800 | ) | | | (31,656 | ) | |
| Kinder Morgan Management LLC* | | | (638 | ) | | | (36,100 | ) | |
| Massey Energy Co. | | | (500 | ) | | | (13,675 | ) | |
| Murphy Oil Corp. | | | (700 | ) | | | (34,685 | ) | |
| Noble Energy, Inc. | | | (400 | ) | | | (24,132 | ) | |
| NuStar Energy LP | | | (300 | ) | | | (17,217 | ) | |
| Peabody Energy Corp. | | | (400 | ) | | | (15,652 | ) | |
| Penn Virginia Corp. | | | (1,200 | ) | | | (24,132 | ) | |
| Petrohawk Energy Corp.* | | | (1,500 | ) | | | (25,455 | ) | |
| Pioneer Natural Resources Co. | | | (600 | ) | | | (35,670 | ) | |
| Plains Exploration & Production Co.* | | | (1,000 | ) | | | (20,610 | ) | |
| Quicksilver Resources, Inc.* | | | (2,000 | ) | | | (22,000 | ) | |
| Range Resources Corp. | | | (500 | ) | | | (20,075 | ) | |
| Rosetta Resources, Inc.* | | | (600 | ) | | | (11,886 | ) | |
| SandRidge Energy, Inc.* | | | (3,300 | ) | | | (19,239 | ) | |
| Southern Union Co. | | | (1,500 | ) | | | (32,790 | ) | |
| Southwestern Energy Co.* | | | (800 | ) | | | (30,912 | ) | |
| Spectra Energy Corp. | | | (1,500 | ) | | | (30,105 | ) | |
| Sunoco, Inc. | | | (1,100 | ) | | | (38,247 | ) | |
| The Williams Cos., Inc. | | | (1,400 | ) | | | (25,592 | ) | |
| Valero Energy Corp. | | | (1,500 | ) | | | (26,970 | ) | |
| Venoco, Inc.* | | | (2,000 | ) | | | (32,940 | ) | |
| Whiting Petroleum Corp.* | | | (500 | ) | | | (39,210 | ) | |
| World Fuel Services Corp. | | | (1,300 | ) | | | (33,722 | ) | |
| | | | (1,329,861 | ) | |
| Paper & Forest Products (-0.1%) | |
| Buckeye Technologies, Inc.* | | | (2,300 | ) | | | (22,885 | ) | |
| Clearwater Paper Corp.* | | | (200 | ) | | | (10,952 | ) | |
| Glatfelter | | | (1,300 | ) | | | (14,105 | ) | |
| Louisiana-Pacific Corp.* | | | (2,800 | ) | | | (18,732 | ) | |
| MeadWestvaco Corp. | | | (1,200 | ) | | | (26,640 | ) | |
| Schweitzer-Mauduit International, Inc. | | | (400 | ) | | | (20,180 | ) | |
| Wausau Paper Corp.* | | | (2,900 | ) | | | (19,633 | ) | |
| Weyerhaeuser Co. | | | (800 | ) | | | (28,160 | ) | |
| | | | (161,287 | ) | |
| Personal Products (-0.1%) | |
| Alberto-Culver Co. | | | (1,200 | ) | | | (32,508 | ) | |
| Avon Products, Inc. | | | (1,000 | ) | | | (26,500 | ) | |
| Nu Skin Enterprises, Inc. Class A | | | (900 | ) | | | (22,437 | ) | |
| | | | (81,445 | ) | |
See Accompanying Notes to Financial Statements.
38
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Pharmaceuticals (-0.2%) | |
| Auxilium Pharmaceuticals, Inc.* | | | (600 | ) | | $ | (14,100 | ) | |
| Impax Laboratories, Inc.* | | | (700 | ) | | | (13,342 | ) | |
| Par Pharmaceutical Cos., Inc.* | | | (1,200 | ) | | | (31,152 | ) | |
| Perrigo Co. | | | (300 | ) | | | (17,721 | ) | |
| Pfizer, Inc. | | | (1,500 | ) | | | (21,390 | ) | |
| Salix Pharmaceuticals, Ltd.* | | | (900 | ) | | | (35,127 | ) | |
| Valeant Pharmaceuticals International* | | | (800 | ) | | | (41,832 | ) | |
| Viropharma, Inc.* | | | (2,300 | ) | | | (25,783 | ) | |
| Watson Pharmaceuticals, Inc.* | | | (900 | ) | | | (36,513 | ) | |
| | | | (236,960 | ) | |
| Professional Services (-0.3%) | |
| Administaff, Inc. | | | (1,300 | ) | | | (31,408 | ) | |
| CBIZ, Inc.* | | | (4,000 | ) | | | (25,440 | ) | |
| CoStar Group, Inc.* | | | (500 | ) | | | (19,400 | ) | |
| Dolan Media Co.* | | | (2,500 | ) | | | (27,800 | ) | |
| Dun & Bradstreet Corp. | | | (400 | ) | | | (26,848 | ) | |
| Equifax, Inc. | | | (1,100 | ) | | | (30,866 | ) | |
| Huron Consulting Group, Inc.* | | | (1,200 | ) | | | (23,292 | ) | |
| IHS, Inc. Class A* | | | (700 | ) | | | (40,894 | ) | |
| Korn/Ferry International* | | | (1,700 | ) | | | (23,630 | ) | |
| Manpower, Inc. | | | (600 | ) | | | (25,908 | ) | |
| Navigant Consulting, Inc.* | | | (2,000 | ) | | | (20,760 | ) | |
| Resources Global Professionals, Inc.* | | | (1,100 | ) | | | (14,960 | ) | |
| Robert Half International, Inc. | | | (1,000 | ) | | | (23,550 | ) | |
| The Corporate Executive Board Co. | | | (800 | ) | | | (21,016 | ) | |
| | | | (355,772 | ) | |
| Real Estate Investment Trusts (-1.4%) | |
| Acadia Realty Trust | | | (1,300 | ) | | | (21,866 | ) | |
| Alexandria Real Estate Equities, Inc. | | | (400 | ) | | | (25,348 | ) | |
| AMB Property Corp. | | | (1,200 | ) | | | (28,452 | ) | |
| Anworth Mortgage Asset Corp. | | | (3,200 | ) | | | (22,784 | ) | |
| Apartment Investment & Management Co. Class A | | | (1,400 | ) | | | (27,118 | ) | |
| AvalonBay Communities, Inc. | | | (400 | ) | | | (37,348 | ) | |
| BioMed Realty Trust, Inc. | | | (1,800 | ) | | | (28,962 | ) | |
| Boston Properties, Inc. | | | (500 | ) | | | (35,670 | ) | |
| Brandywine Realty Trust | | | (2,700 | ) | | | (29,025 | ) | |
| BRE Properties, Inc. | | | (900 | ) | | | (33,237 | ) | |
| Camden Property Trust | | | (800 | ) | | | (32,680 | ) | |
| Capstead Mortgage Corp. | | | (2,100 | ) | | | (23,226 | ) | |
| CBL & Associates Properties, Inc. | | | (2,200 | ) | | | (27,368 | ) | |
| Colonial Properties Trust | | | (1,700 | ) | | | (24,701 | ) | |
| Corporate Office Properties Trust | | | (900 | ) | | | (33,984 | ) | |
| Cousins Properties, Inc. | | | (3,755 | ) | | | (25,309 | ) | |
| DiamondRock Hospitality Co.* | | | (3,405 | ) | | | (27,986 | ) | |
| Digital Realty Trust, Inc. | | | (700 | ) | | | (40,376 | ) | |
| Douglas Emmett, Inc. | | | (1,900 | ) | | | (27,018 | ) | |
See Accompanying Notes to Financial Statements.
39
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Real Estate Investment Trusts | |
| Duke Realty Corp. | | | (2,300 | ) | | $ | (26,105 | ) | |
| DuPont Fabros Technology, Inc. | | | (1,300 | ) | | | (31,928 | ) | |
| EastGroup Properties, Inc. | | | (500 | ) | | | (17,790 | ) | |
| Entertainment Properties Trust | | | (600 | ) | | | (22,842 | ) | |
| Equity Lifestyle Properties, Inc. | | | (500 | ) | | | (24,115 | ) | |
| Equity Residential | | | (700 | ) | | | (29,148 | ) | |
| Essex Property Trust, Inc. | | | (400 | ) | | | (39,016 | ) | |
| Extra Space Storage, Inc. | | | (2,300 | ) | | | (31,970 | ) | |
| Federal Realty Investment Trust | | | (500 | ) | | | (35,135 | ) | |
| Hatteras Financial Corp. | | | (1,200 | ) | | | (33,384 | ) | |
| HCP, Inc. | | | (1,000 | ) | | | (32,250 | ) | |
| Healthcare Realty Trust, Inc. | | | (1,100 | ) | | | (24,167 | ) | |
| Highwoods Properties, Inc. | | | (1,100 | ) | | | (30,536 | ) | |
| Home Properties, Inc. | | | (600 | ) | | | (27,042 | ) | |
| Hospitality Properties Trust | | | (1,300 | ) | | | (27,430 | ) | |
| Host Hotels & Resorts, Inc. | | | (2,085 | ) | | | (28,106 | ) | |
| HRPT Properties Trust | | | (2,200 | ) | | | (13,662 | ) | |
| Inland Real Estate Corp. | | | (3,600 | ) | | | (28,512 | ) | |
| Kilroy Realty Corp. | | | (1,000 | ) | | | (29,730 | ) | |
| Kimco Realty Corp. | | | (2,100 | ) | | | (28,224 | ) | |
| LaSalle Hotel Properties | | | (1,400 | ) | | | (28,798 | ) | |
| Liberty Property Trust | | | (1,100 | ) | | | (31,735 | ) | |
| Mack-Cali Realty Corp. | | | (1,000 | ) | | | (29,730 | ) | |
| Medical Properties Trust, Inc. | | | (3,000 | ) | | | (28,320 | ) | |
| MFA Financial, Inc. | | | (4,700 | ) | | | (34,780 | ) | |
| Mid-America Apartment Communities, Inc. | | | (300 | ) | | | (15,441 | ) | |
| National Health Investors, Inc. | | | (400 | ) | | | (15,424 | ) | |
| Nationwide Health Properties, Inc. | | | (800 | ) | | | (28,616 | ) | |
| OMEGA Healthcare Investors, Inc. | | | (1,700 | ) | | | (33,881 | ) | |
| Plum Creek Timber Co., Inc. | | | (800 | ) | | | (27,624 | ) | |
| Post Properties, Inc. | | | (1,300 | ) | | | (29,549 | ) | |
| ProLogis | | | (2,200 | ) | | | (22,286 | ) | |
| PS Business Parks, Inc. | | | (300 | ) | | | (16,734 | ) | |
| Redwood Trust, Inc. | | | (1,700 | ) | | | (24,888 | ) | |
| Regency Centers Corp. | | | (900 | ) | | | (30,960 | ) | |
| Senior Housing Properties Trust | | | (1,600 | ) | | | (32,176 | ) | |
| Simon Property Group, Inc. | | | (497 | ) | | | (40,133 | ) | |
| SL Green Realty Corp. | | | (600 | ) | | | (33,024 | ) | |
| Sovran Self Storage, Inc. | | | (900 | ) | | | (30,987 | ) | |
| Sunstone Hotel Investors, Inc.* | | | (2,700 | ) | | | (26,811 | ) | |
| Tanger Factory Outlet Centers, Inc. | | | (800 | ) | | | (33,104 | ) | |
| Taubman Centers, Inc. | | | (800 | ) | | | (30,104 | ) | |
| The Macerich Co. | | | (837 | ) | | | (31,237 | ) | |
| UDR, Inc. | | | (1,500 | ) | | | (28,695 | ) | |
| Ventas, Inc. | | | (700 | ) | | | (32,865 | ) | |
| Washington Real Estate Investment Trust | | | (1,100 | ) | | | (30,349 | ) | |
| Weingarten Realty Investors | | | (1,600 | ) | | | (30,480 | ) | |
| | | | (1,892,281 | ) | |
See Accompanying Notes to Financial Statements.
40
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Real Estate Management & Development (-0.0%) | |
| CB Richard Ellis Group, Inc. Class A* | | | (1,700 | ) | | $ | (23,137 | ) | |
| Forestar Group, Inc.* | | | (1,200 | ) | | | (21,552 | ) | |
| The St. Joe Co.* | | | (1,000 | ) | | | (23,160 | ) | |
| | | | (67,849 | ) | |
| Road & Rail (-0.4%) | |
| Amerco Inc.* | | | (300 | ) | | | (16,515 | ) | |
| Arkansas Best Corp. | | | (1,000 | ) | | | (20,750 | ) | |
| Avis Budget Group, Inc.* | | | (2,300 | ) | | | (22,586 | ) | |
| Con-way, Inc. | | | (900 | ) | | | (27,018 | ) | |
| CSX Corp. | | | (700 | ) | | | (34,741 | ) | |
| Genesee & Wyoming, Inc. Class A* | | | (1,000 | ) | | | (37,310 | ) | |
| Heartland Express, Inc. | | | (1,700 | ) | | | (24,684 | ) | |
| Hertz Global Holdings, Inc.* | | | (2,600 | ) | | | (24,596 | ) | |
| J.B. Hunt Transport Services, Inc. | | | (1,000 | ) | | | (32,670 | ) | |
| Kansas City Southern* | | | (900 | ) | | | (32,715 | ) | |
| Knight Transportation, Inc. | | | (1,700 | ) | | | (34,408 | ) | |
| Landstar System, Inc. | | | (400 | ) | | | (15,596 | ) | |
| Norfolk Southern Corp. | | | (600 | ) | | | (31,830 | ) | |
| Old Dominion Freight Line, Inc.* | | | (900 | ) | | | (31,626 | ) | |
| Ryder System, Inc. | | | (800 | ) | | | (32,184 | ) | |
| Union Pacific Corp. | | | (500 | ) | | | (34,755 | ) | |
| Werner Enterprises, Inc. | | | (1,500 | ) | | | (32,835 | ) | |
| | | | (486,819 | ) | |
| Semiconductors & Semiconductor Equipment (-0.6%) | |
| Advanced Micro Devices, Inc.* | | | (3,100 | ) | | | (22,692 | ) | |
| Analog Devices, Inc. | | | (1,000 | ) | | | (27,860 | ) | |
| Applied Materials, Inc. | | | (2,400 | ) | | | (28,848 | ) | |
| ATMI, Inc.* | | | (1,300 | ) | | | (19,032 | ) | |
| Cabot Microelectronics Corp.* | | | (300 | ) | | | (10,377 | ) | |
| Cavium Networks, Inc.* | | | (1,200 | ) | | | (31,428 | ) | |
| Cree, Inc.* | | | (500 | ) | | | (30,015 | ) | |
| Cymer, Inc.* | | | (500 | ) | | | (15,020 | ) | |
| Cypress Semiconductor Corp.* | | | (2,300 | ) | | | (23,092 | ) | |
| Fairchild Semiconductor International, Inc.* | | | (2,700 | ) | | | (22,707 | ) | |
| FormFactor, Inc.* | | | (1,400 | ) | | | (15,120 | ) | |
| Hittite Microwave Corp.* | | | (500 | ) | | | (22,370 | ) | |
| Integrated Device Technology, Inc.* | | | (3,100 | ) | | | (15,345 | ) | |
| International Rectifier Corp.* | | | (1,600 | ) | | | (29,776 | ) | |
| Intersil Corp. Class A | | | (2,100 | ) | | | (25,431 | ) | |
| KLA-Tencor Corp. | | | (1,000 | ) | | | (27,880 | ) | |
| Lam Research Corp.* | | | (900 | ) | | | (34,254 | ) | |
| Maxim Integrated Products, Inc. | | | (1,600 | ) | | | (26,768 | ) | |
| MEMC Electronic Materials, Inc.* | | | (2,200 | ) | | | (21,736 | ) | |
| Microchip Technology, Inc. | | | (1,200 | ) | | | (33,288 | ) | |
| Micron Technology, Inc.* | | | (2,800 | ) | | | (23,772 | ) | |
| Microsemi Corp.* | | | (1,800 | ) | | | (26,334 | ) | |
| Monolithic Power Systems, Inc.* | | | (1,200 | ) | | | (21,432 | ) | |
See Accompanying Notes to Financial Statements.
41
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Semiconductors & Semiconductor Equipment | |
| Netlogic Microsystems, Inc.* | | | (800 | ) | | $ | (21,760 | ) | |
| Novellus Systems, Inc.* | | | (1,300 | ) | | | (32,968 | ) | |
| OmniVision Technologies, Inc.* | | | (1,700 | ) | | | (36,448 | ) | |
| ON Semiconductor Corp.* | | | (3,700 | ) | | | (23,606 | ) | |
| PMC-Sierra, Inc.* | | | (3,700 | ) | | | (27,824 | ) | |
| Rambus, Inc.* | | | (500 | ) | | | (8,760 | ) | |
| Silicon Laboratories, Inc.* | | | (500 | ) | | | (20,280 | ) | |
| Skyworks Solutions, Inc.* | | | (2,000 | ) | | | (33,580 | ) | |
| Teradyne, Inc.* | | | (2,500 | ) | | | (24,375 | ) | |
| Tessera Technologies, Inc.* | | | (1,400 | ) | | | (22,470 | ) | |
| Texas Instruments, Inc. | | | (1,000 | ) | | | (23,280 | ) | |
| TriQuint Semiconductor, Inc.* | | | (4,300 | ) | | | (26,273 | ) | |
| Varian Semiconductor Equipment Associates, Inc.* | | | (900 | ) | | | (25,794 | ) | |
| | | | (881,995 | ) | |
| Software (-0.6%) | |
| Adobe Systems, Inc.* | | | (900 | ) | | | (23,787 | ) | |
| ArcSight, Inc.* | | | (1,000 | ) | | | (22,390 | ) | |
| Ariba, Inc.* | | | (2,000 | ) | | | (31,860 | ) | |
| AsiaInfo Holdings, Inc.* | | | (1,100 | ) | | | (24,046 | ) | |
| Autodesk, Inc.* | | | (900 | ) | | | (21,924 | ) | |
| Blackboard, Inc.* | | | (600 | ) | | | (22,398 | ) | |
| CA, Inc. | | | (1,300 | ) | | | (23,920 | ) | |
| Cadence Design Systems, Inc.* | | | (4,200 | ) | | | (24,318 | ) | |
| Citrix Systems, Inc.* | | | (800 | ) | | | (33,784 | ) | |
| Compuware Corp.* | | | (3,900 | ) | | | (31,122 | ) | |
| Concur Technologies, Inc.* | | | (500 | ) | | | (21,340 | ) | |
| Electronic Arts, Inc.* | | | (1,700 | ) | | | (24,480 | ) | |
| Informatica Corp.* | | | (1,300 | ) | | | (31,044 | ) | |
| Intuit, Inc.* | | | (900 | ) | | | (31,293 | ) | |
| Jack Henry & Associates, Inc. | | | (700 | ) | | | (16,716 | ) | |
| JDA Software Group, Inc.* | | | (1,200 | ) | | | (26,376 | ) | |
| MICROS Systems, Inc.* | | | (800 | ) | | | (25,496 | ) | |
| MicroStrategy, Inc. Class A* | | | (200 | ) | | | (15,018 | ) | |
| Netscout Systems, Inc.* | | | (1,100 | ) | | | (15,642 | ) | |
| Nuance Communications, Inc.* | | | (1,700 | ) | | | (25,415 | ) | |
| Parametric Technology Corp.* | | | (1,800 | ) | | | (28,206 | ) | |
| Pegasystems, Inc. | | | (500 | ) | | | (16,055 | ) | |
| Progress Software Corp.* | | | (800 | ) | | | (24,024 | ) | |
| Quest Software, Inc.* | | | (1,700 | ) | | | (30,668 | ) | |
| Rovi Corp.* | | | (400 | ) | | | (15,164 | ) | |
| Salesforce.com, Inc.* | | | (500 | ) | | | (42,910 | ) | |
| Solera Holdings, Inc. | | | (1,000 | ) | | | (36,200 | ) | |
| Symantec Corp.* | | | (1,800 | ) | | | (24,984 | ) | |
| Synopsys, Inc.* | | | (1,500 | ) | | | (31,305 | ) | |
| Taleo Corp. Class A* | | | (600 | ) | | | (14,574 | ) | |
| TiVo, Inc.* | | | (2,000 | ) | | | (14,760 | ) | |
| VMware, Inc. Class A* | | | (600 | ) | | | (37,554 | ) | |
| | | | (808,773 | ) | |
See Accompanying Notes to Financial Statements.
42
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Specialty Retail (-0.6%) | |
| Aaron's, Inc. | | | (1,050 | ) | | $ | (17,924 | ) | |
| Abercrombie & Fitch Co. Class A | | | (800 | ) | | | (24,552 | ) | |
| American Eagle Outfitters, Inc. | | | (1,900 | ) | | | (22,325 | ) | |
| AnnTaylor Stores Corp.* | | | (1,400 | ) | | | (22,778 | ) | |
| Asbury Automotive Group, Inc.* | | | (1,700 | ) | | | (17,918 | ) | |
| AutoNation, Inc.* | | | (1,100 | ) | | | (21,450 | ) | |
| AutoZone, Inc.* | | | (200 | ) | | | (38,644 | ) | |
| Bebe Stores, Inc. | | | (3,400 | ) | | | (21,760 | ) | |
| Bed Bath & Beyond, Inc.* | | | (800 | ) | | | (29,664 | ) | |
| CarMax, Inc.* | | | (1,400 | ) | | | (27,860 | ) | |
| Chico's FAS, Inc. | | | (2,200 | ) | | | (21,736 | ) | |
| Collective Brands, Inc.* | | | (1,300 | ) | | | (20,540 | ) | |
| Foot Locker, Inc. | | | (2,200 | ) | | | (27,764 | ) | |
| Guess?, Inc. | | | (800 | ) | | | (24,992 | ) | |
| hhgregg, Inc.* | | | (1,100 | ) | | | (25,652 | ) | |
| Hibbett Sports, Inc.* | | | (1,300 | ) | | | (31,148 | ) | |
| Home Depot, Inc. | | | (900 | ) | | | (25,263 | ) | |
| J. Crew Group, Inc.* | | | (400 | ) | | | (14,724 | ) | |
| Jo-Ann Stores, Inc.* | | | (800 | ) | | | (30,008 | ) | |
| JOS. A. Bank Clothiers, Inc.* | | | (600 | ) | | | (32,394 | ) | |
| Lowe's Cos., Inc. | | | (1,100 | ) | | | (22,462 | ) | |
| Ltd Brands, Inc. | | | (1,200 | ) | | | (26,484 | ) | |
| O'Reilly Automotive, Inc.* | | | (800 | ) | | | (38,048 | ) | |
| PetSmart, Inc. | | | (1,000 | ) | | | (30,170 | ) | |
| RadioShack Corp. | | | (1,500 | ) | | | (29,265 | ) | |
| Sally Beauty Holdings, Inc.* | | | (3,200 | ) | | | (26,240 | ) | |
| Staples, Inc. | | | (1,400 | ) | | | (26,670 | ) | |
| The Children's Place Retail Stores, Inc.* | | | (800 | ) | | | (35,216 | ) | |
| The Finish Line, Inc. Class A | | | (900 | ) | | | (12,537 | ) | |
| The Gap, Inc. | | | (900 | ) | | | (17,514 | ) | |
| The Gymboree Corp.* | | | (500 | ) | | | (21,355 | ) | |
| The Men's Wearhouse, Inc. | | | (1,400 | ) | | | (25,704 | ) | |
| Tractor Supply Co. | | | (500 | ) | | | (30,485 | ) | |
| Urban Outfitters, Inc.* | | | (900 | ) | | | (30,951 | ) | |
| | | | (872,197 | ) | |
| Textiles, Apparel & Luxury Goods (-0.2%) | |
| Carter's, Inc.* | | | (1,100 | ) | | | (28,875 | ) | |
| Columbia Sportswear Co. | | | (700 | ) | | | (32,669 | ) | |
| CROCS, Inc.* | | | (2,900 | ) | | | (30,682 | ) | |
| Deckers Outdoor Corp.* | | | (300 | ) | | | (42,861 | ) | |
| Hanesbrands, Inc.* | | | (1,200 | ) | | | (28,872 | ) | |
| Iconix Brand Group, Inc.* | | | (2,000 | ) | | | (28,740 | ) | |
| Steven Madden, Ltd.* | | | (450 | ) | | | (14,184 | ) | |
| True Religion Apparel, Inc.* | | | (900 | ) | | | (19,863 | ) | |
| Unifirst Corp. | | | (400 | ) | | | (17,608 | ) | |
| Wolverine World Wide, Inc. | | | (1,200 | ) | | | (30,264 | ) | |
| | | | (274,618 | ) | |
See Accompanying Notes to Financial Statements.
43
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Thrifts & Mortgage Finance (-0.2%) | |
| Astoria Financial Corp. | | | (2,100 | ) | | $ | (28,896 | ) | |
| Capitol Federal Financial | | | (700 | ) | | | (23,212 | ) | |
| First Niagara Financial Group, Inc. | | | (2,500 | ) | | | (31,325 | ) | |
| Hudson City Bancorp, Inc. | | | (2,300 | ) | | | (28,152 | ) | |
| New York Community Bancorp, Inc. | | | (2,100 | ) | | | (32,067 | ) | |
| Ocwen Financial Corp.* | | | (2,800 | ) | | | (28,532 | ) | |
| People's United Financial, Inc. | | | (2,000 | ) | | | (27,000 | ) | |
| Provident Financial Services, Inc. | | | (2,300 | ) | | | (26,887 | ) | |
| TFS Financial Corp. | | | (1,900 | ) | | | (23,579 | ) | |
| Washington Federal, Inc. | | | (1,700 | ) | | | (27,506 | ) | |
| | | | (277,156 | ) | |
| Tobacco (-0.1%) | |
| Altria Group, Inc. | | | (1,600 | ) | | | (32,064 | ) | |
| Lorillard, Inc. | | | (400 | ) | | | (28,792 | ) | |
| Reynolds American, Inc. | | | (600 | ) | | | (31,272 | ) | |
| Vector Group, Ltd. | | | (2,165 | ) | | | (36,415 | ) | |
| | | | (128,543 | ) | |
| Trading Companies & Distributors (-0.1%) | |
| Applied Industrial Technologies, Inc. | | | (1,200 | ) | | | (30,384 | ) | |
| Beacon Roofing Supply, Inc.* | | | (1,000 | ) | | | (18,020 | ) | |
| GATX Corp. | | | (1,100 | ) | | | (29,348 | ) | |
| Kaman Corp. | | | (800 | ) | | | (17,696 | ) | |
| RSC Holdings, Inc.* | | | (3,900 | ) | | | (24,063 | ) | |
| Titan Machinery, Inc.* | | | (2,200 | ) | | | (28,886 | ) | |
| United Rentals, Inc.* | | | (2,300 | ) | | | (21,436 | ) | |
| WESCO International, Inc.* | | | (400 | ) | | | (13,468 | ) | |
| WW Grainger, Inc. | | | (100 | ) | | | (9,945 | ) | |
| | | | (193,246 | ) | |
| Water Utilities (-0.1%) | |
| American States Water Co. | | | (600 | ) | | | (19,884 | ) | |
| American Water Works Co., Inc. | | | (1,600 | ) | | | (32,960 | ) | |
| Aqua America, Inc. | | | (1,900 | ) | | | (33,592 | ) | |
| California Water Service Group | | | (500 | ) | | | (17,850 | ) | |
| | | | (104,286 | ) | |
| Wireless Telecommunication Services (-0.1%) | |
| American Tower Corp. Class A* | | | (400 | ) | | | (17,800 | ) | |
| Crown Castle International Corp.* | | | (400 | ) | | | (14,904 | ) | |
| MetroPCS Communications, Inc.* | | | (3,700 | ) | | | (30,303 | ) | |
| SBA Communications Corp. Class A* | | | (900 | ) | | | (30,609 | ) | |
| Syniverse Holdings, Inc.* | | | (1,600 | ) | | | (32,720 | ) | |
| | | | (126,336 | ) | |
| TOTAL COMMON STOCKS (Proceeds $26,055,534) | | | (26,586,222 | ) | |
| TOTAL SECURITIES SOLD SHORT (Proceeds $26,055,534) | | $ | (26,586,222 | ) | |
See Accompanying Notes to Financial Statements.
44
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
* 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.
45
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Statement of Assets and Liabilities
June 30, 2010 (unaudited)
| Assets | |
Investments at value, including collateral for securities on loan of $32,673,986
(Cost $207,072,998) (Note 2) | | $ | 195,334,3271 | | |
| Cash | | | 164 | | |
| Cash segregated at brokers for short sales | | | 27,772,444 | | |
| Receivable for investments sold | | | 6,427,270 | | |
| Dividend and interest receivable | | | 282,480 | | |
| Receivable for portfolio shares sold | | | 24,451 | | |
| Prepaid expenses and other assets | | | 5,409 | | |
| Total Assets | | | 229,846,545 | | |
| Liabilities | |
| Advisory fee payable (Note 3) | | | 83,778 | | |
| Administrative services fee payable (Note 3) | | | 53,515 | | |
| Payable upon return of securities loaned (Note 2) | | | 60,446,430 | | |
| Securities sold short, at value (Proceeds $26,055,534) | | | 26,586,222 | | |
| Payable for investments purchased | | | 6,132,930 | | |
| Payable for portfolio shares redeemed | | | 247,846 | | |
| Dividend expense payable on securities sold short | | | 38,970 | | |
| Trustees' fee payable | | | 4,627 | | |
| Other accrued expenses payable | | | 245,494 | | |
| Total Liabilities | | | 93,839,812 | | |
| Net Assets | |
| Capital stock, $.001 par value (Note 6) | | | 11,836 | | |
| Paid-in capital (Note 6) | | | 281,576,005 | | |
| Undistributed net investment income | | | 502,896 | | |
| Accumulated net realized loss on investments, short sales and foreign currency transactions | | | (133,814,645 | ) | |
| Net unrealized depreciation from investments and short sales | | | (12,269,359 | ) | |
| Net Assets | | $ | 136,006,733 | | |
| Shares outstanding | | | 11,835,654 | | |
| Net asset value, offering price and redemption price per share | | $ | 11.49 | | |
1 Including $58,542,441 of securities on loan.
See Accompanying Notes to Financial Statements.
46
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Statement of Operations
For the Six Months Ended June 30, 2010 (unaudited)
| Investment Income (Note 2) | |
| Dividends | | $ | 1,554,136 | | |
| Interest | | | 224 | | |
| Securities lending | | | 24,930 | | |
| Total investment income | | | 1,579,290 | | |
| Expenses | |
| Investment advisory fees (Note 3) | | | 544,261 | | |
| Administrative services fees (Note 3) | | | 166,654 | | |
| Dividend expense for securities sold short | | | 246,199 | | |
| Custodian fees | | | 147,786 | | |
| Short sales expense | | | 108,266 | | |
| Printing fees (Note 3) | | | 66,964 | | |
| Audit and tax fees | | | 21,511 | | |
| Legal fees | | | 18,837 | | |
| Transfer agent fees | | | 13,497 | | |
| Trustees' fees | | | 12,901 | | |
| Insurance expense | | | 7,720 | | |
| Commitment fees (Note 4) | | | 1,802 | | |
| Miscellaneous expense | | | 3,875 | | |
| Total expenses | | | 1,360,273 | | |
| Net investment income | | | 219,017 | | |
Net Realized and Unrealized Gain (Loss) from Investments, Short Sales and Foreign Currency
Related Items | |
| Net realized gain from investments | | | 10,267,646 | | |
| Net realized loss from short sales | | | (2,699,761 | ) | |
| Net realized loss from foreign currency transactions | | | (6 | ) | |
| Net change in unrealized appreciation (depreciation) from investments | | | (21,649,053 | ) | |
| Net change in unrealized appreciation (depreciation) from short sales | | | 2,530,676 | | |
| Net realized and unrealized loss from investments, short sales and foreign currency related items | | | (11,550,498 | ) | |
| Net decrease in net assets resulting from operations | | $ | (11,331,481 | ) | |
See Accompanying Notes to Financial Statements.
47
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Statements of Changes in Net Assets
| | | For the Six Months
Ended
June 30, 2010
(unaudited) | | For the Year
Ended
December 31, 2009 | |
| From Operations | |
| Net investment income | | $ | 219,017 | | | $ | 454,374 | | |
Net realized gain from investments, short sales and foreign currency
transactions | | | 7,567,879 | | | | 5,010,866 | | |
Net change in unrealized appreciation (depreciation) from investments,
short sales and foreign currency translations | | | (19,118,377 | ) | | | 24,524,443 | | |
| Net increase (decrease) in net assets resulting from operations | | | (11,331,481 | ) | | | 29,989,683 | | |
| From Dividends | |
| Dividends from net investment income | | | — | | | | (1,448,705 | ) | |
| From Capital Share Transactions (Note 6) | |
| Proceeds from sale of shares | | | 1,797,990 | | | | 3,732,464 | | |
| Exchange value of shares due to merger | | | — | | | | 34,189,262 | | |
| Reinvestment of dividends | | | — | | | | 1,448,705 | | |
| Net asset value of shares redeemed | | | (17,575,824 | ) | | | (40,154,222 | ) | |
| Net decrease in net assets from capital share transactions | | | (15,777,834 | ) | | | (783,791 | ) | |
| Net increase (decrease) in net assets | | | (27,109,315 | ) | | | 27,757,187 | | |
| Net Assets | |
| Beginning of period | | | 163,116,048 | | | | 135,358,861 | | |
| End of period | | $ | 136,006,733 | | | $ | 163,116,048 | | |
| Undistributed net investment income | | $ | 502,896 | | | $ | 283,879 | | |
See Accompanying Notes to Financial Statements.
48
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Statement of Cash Flows
For the Six Months Ended June 30, 2010 (unaudited)
| Cash Flows from Operating Activities | |
| Dividends, interest and securities lending income received | | $ | 1,469,114 | | | | | | |
| Gain received from litigation | | | 552,616 | | | | | | |
| Operating expenses paid | | | (1,106,362 | ) | | | | | |
| Dividend expense paid on securities sold short | | | (256,967 | ) | | | | | |
| Purchases of long-term securities | | | (464,519,438 | ) | | | | | |
| Proceeds from sales of long-term securities | | | 481,974,059 | | | | | | |
| Purchases to cover securities sold short | | | (23,182,186 | ) | | | | | |
| Proceeds from securities sold short | | | 14,059,968 | | | | | | |
| Proceeds from short-term securities, net | | | 6,702,000 | | | | | | |
| Net cash provided by operating activities | | | | | | $ | 15,692,804 | | |
| Cash Flows from Financing Activities | |
| Proceeds from sale of shares | | | 1,790,612 | | | | | | |
| Cost of shares redeemed | | | (17,484,033 | ) | | | | | |
| Net cash used by financing activities | | | | | | | (15,693,421 | ) | |
| Effect of exchange rate on cash | | | | | | | (5 | ) | |
| Net decrease in cash | | | | | | | (622 | ) | |
| Cash — beginning of period | | | | | | | 786 | | |
| Cash — end of period | | | | | | $ | 164 | | |
RECONCILIATION OF NET DECREASE IN NET ASSETS FROM OPERATIONS TO
NET CASH PROVIDED BY OPERATING ACTIVITIES | |
| Net decrease in net assets resulting from operations | | | | | | $ | (11,331,481 | ) | |
Adjustments to Reconcile Net Decrease in Net Assets from Operations to
Net Cash Provided by Operating Activities | |
| Change in dividends and interest receivable | | $ | (110,176 | ) | | | | | |
| Change in accrued expenses | | | 9,262 | | | | | | |
| Change in prepaid expenses and other assets | | | 10,889 | | | | | | |
| Change in advisory fee payable | | | (12,439 | ) | | | | | |
| Change in dividend expense payable on securities sold short | | | (10,768 | ) | | | | | |
| Purchases of long-term securities | | | (464,519,438 | ) | | | | | |
| Proceeds from sales of long-term securities | | | 481,974,059 | | | | | | |
| Purchases to cover securities sold short | | | (23,182,186 | ) | | | | | |
| Proceeds from securities sold short | | | 14,059,968 | | | | | | |
| Proceeds from short-term securities, net | | | 6,702,000 | | | | | | |
| Net change in unrealized depreciation from investments and short sales | | | 19,118,377 | | | | | | |
| Net realized gain from investments, short sales and foreign currency transactions | | | (7,015,263 | ) | | | | | |
| Total adjustments | | | | | | | 27,024,285 | | |
| Net cash provided by operating activities | | | | | | $ | 15,692,804 | | |
| Non-Cash Activity: | |
| Dividend reinvestments | | | | | | $ | — | | |
See Accompanying Notes to Financial Statements.
49
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Financial Highlights
(For a Share of the Portfolio Outstanding Throughout Each Period)
| | | For the Six
Months Ended
June 30, 2010 | | For the Year Ended December 31, | |
| | | (unaudited) | | 2009 | | 2008 | | 2007 | | 2006 | | 2005 | |
| Per share data | |
| Net asset value, beginning of period | | $ | 12.47 | | | $ | 10.10 | | | $ | 15.47 | | | $ | 15.60 | | | $ | 14.89 | | | $ | 15.30 | | |
| INVESTMENT OPERATIONS | |
| Net investment income (loss) | | | 0.02 | | | | 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) | | | (1.00 | ) | | | 2.44 | | | | (5.46 | ) | | | (0.15 | ) | | | 0.85 | | | | (0.27 | ) | |
| Total from investment operations | | | (0.98 | ) | | | 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 period | | $ | 11.49 | | | $ | 12.47 | | | $ | 10.10 | | | $ | 15.47 | | | $ | 15.60 | | | $ | 14.89 | | |
| Total return1 | | | (7.86 | )% | | | 24.79 | % | | | (34.66 | )% | | | (0.83 | )% | | | 4.77 | % | | | (2.68 | )% | |
| RATIOS AND SUPPLEMENTAL DATA | |
| Net assets, end of period (000s omitted) | | $ | 136,007 | | | $ | 163,116 | | | $ | 135,359 | | | $ | 286,855 | | | $ | 413,335 | | | $ | 557,377 | | |
| Ratio of expenses to average net assets | | | 1.75 | %2 | | | 1.81 | % | | | 0.93 | % | | | 0.92 | % | | | 1.11 | % | | | 1.14 | % | |
Ratio of expenses to average net assets
excluding short sales dividend expense | | | 1.43 | %2 | | | 1.56 | % | | | — | | | | — | | | | — | | | | — | | |
Ratio of net investment income (loss)
to average net assets | | | 0.28 | %2 | | | 0.34 | % | | | 0.65 | % | | | 0.08 | % | | | (0.75 | )% | | | (0.84 | )% | |
| Portfolio turnover rate | | | 310 | % | | | 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. Total returns for periods less than one year are not annualized.
2 Annualized.
See Accompanying Notes to Financial Statements.
50
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notes to Financial Statements
June 30, 2010 (unaudited)
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
51
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
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.
52
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 2. Significant Accounting Policies
The following is a summary of the inputs used as of June 30, 2010 in valuing the Portfolio's investments carried at value:
| | | Level 1 | | Level 2 | | Level 3 | | Total | |
| Investments in Securities | |
| Common Stocks | | $ | 162,151,341 | | | $ | — | | | $ | — | | | $ | 162,151,341 | | |
| Short-Term Investments | | | 32,673,986 | | | | 509,000 | | | | — | | | | 33,182,986 | | |
| Securities Sold Short | |
| Common Stocks | | | (26,586,222 | ) | | | — | | | | — | | | | (26,586,222 | ) | |
| Other Financial Instruments* | | | — | | | | — | | | | — | | | | — | | |
| | | $ | 168,239,105 | | | $ | 509,000 | | | $ | — | | | $ | 168,748,105 | | |
*Other financial instruments include futures, forwards and swap contracts.
Effective January 1, 2010, the Portfolio adopted FASB amendments to authoritative guidance which requires the Portfolio to disclose details of significant transfers in and out of Level 1 and Level 2 measurements and the reasons for the transfers. For the six months ended June 30, 2010, there were no significant transfers in and out of Level 1 and Level 2.
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.
53
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 2. Significant Accounting Policies
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.
The Portfolio adopted the authoritative guidance for uncertainty in income taxes and recognizes a tax benefit or liability from an uncertain position only if it is more likely than not that the position is sustainable based solely on its technical merits and consideration of the relevant taxing authority's widely understood administrative practices and procedures. The 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
54
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 2. Significant Accounting Policies
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 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 Portolio could lose more than the original margin deposit and subsequent payments may be required for a futures transaction. At June 30, 2010, 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
55
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 2. Significant Accounting Policies
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.
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 six months ended June 30, 2010, total earnings from the Portfolio's investment in cash collateral received in connection with securities lending arrangements was $66,408, of which $35,747 was rebated to borrowers (brokers). The Portfolio retained $24,930 in income from the cash collateral investment, and SSB, as lending agent, was paid $5,731. 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 six months ended June 30, 2010, investment advisory fees earned were $544,261.
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 six months ended June 30, 2010, co-administrative services fees earned by CSAMSI were $69,977.
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 six months ended June 30, 2010, co-administrative services fees earned by SSB (including out-of-pocket expenses) were $96,677.
56
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 3. Transactions with Affiliates and Related Parties
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 six months ended June 30, 2010, Merrill was paid $12,222 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 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 June 30, 2010, and during the six months ended June 30, 2010, the Portfolio had no borrowings under the Credit Facility.
Note 5. Purchases and Sales of Securities
For the six months ended June 30, 2010, purchases and sales of investment securities (excluding short sales and short-term investments) were $466,947,479 and $485,012,149, respectively. Securities sold short and purchases to cover securities sold short were $13,465,595 and $22,933,582, respectively.
At June 30, 2010, 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 $207,072,998, $4,262,432, $(16,001,103) and $(11,738,671), respectively.
At June 30, 2010, 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 $(26,055,534), $1,813,490, $(2,344,178) and $(530,688), respectively.
57
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
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 Six Months Ended
June 30, 2010 (unaudited) | | For the Year Ended
December 31, 2009 | |
| Shares sold | | | 141,853 | | | | 360,363 | | |
| Shares exchanged due to merger | | | — | | | | 2,981,912 | | |
| Shares issued in reinvestment of dividends | | | — | | | | 123,854 | | |
| Shares redeemed | | | (1,391,802 | ) | | | (3,776,088 | ) | |
| Net decrease | | | (1,249,949 | ) | | | (309,959 | ) | |
On June 30, 2010, 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 | | | | 81 | % | |
Some of the shareholders are omnibus accounts, which hold shares on behalf of individual shareholders.
Note 7. 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 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 III Portfolio 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 Sui sse 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 Flex IV Portfolio had a fair
58
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 7. 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
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.
59
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
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 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 August 25, 2010. Management has determined that there are no material events that would require disclosure in the Portfolio's financial statements through this date.
60
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notice of Privacy and Information Practices (unaudited)
At Credit Suisse, we know that you are concerned with how we protect and handle nonpublic personal information that identifies you. This notice is designed to help you understand what nonpublic personal information we collect from you and from other sources, and how we use that information in connection with your investments and investment choices that may be available to you. Except where otherwise noted, this notice is applicable only to consumers who are current or former investors, meaning individual persons whose investments are primarily for household, family or personal use ("individual investors"). Specified sections of this notice, however, also apply to other types of investors (called "institutional investors"). Where the notice applies to institutional investors, the notice expressly states so. This notice is being provided by Credit Suisse Funds and Credit Suisse Closed-End Funds. This notice applies solely to U.S. registered in vestment companies advised by Credit Suisse Asset Management, LLC.
Categories of information we may collect:
We may collect information about you, including nonpublic personal information, such as
• Information we receive from you on applications, forms, agreements, questionnaires, Credit Suisse websites and other websites that are part of our investment program, or in the course of establishing or maintaining a customer relationship, such as your name, address, e-mail address, Social Security number, assets, income, financial situation; and
• Information we obtain from your transactions and experiences with us, our affiliates, or others, such as your account balances or other investment information, assets purchased and sold, and other parties to a transaction, where applicable.
Categories of information we disclose and parties to whom we disclose it:
• We do not disclose nonpublic personal information about our individual investors, except as permitted or required by law or regulation. Whether you are an individual investor or institutional investor, we may share the information described above with our affiliates that perform services on our behalf, and with our asset management and private banking affiliates; as well as with unaffiliated third parties that perform services on our behalf, such as our accountants, auditors, attorneys, broker-dealers, fund administrators, and other service providers.
61
Credit Suisse Trust — U.S. Equity Flex I Portfolio
Notice of Privacy and Information Practices (unaudited) (continued)
• We want our investors to be informed about additional products or services. Whether you are an individual investor or an institutional investor, we may disclose information, including nonpublic personal information, regarding our transactions and experiences with you to our affiliates.
• In addition, whether you are an individual investor or an institutional investor, we reserve the right to disclose information, including nonpublic personal information, about you to any person or entity, including without limitation any governmental agency, regulatory authority or self-regulatory organization having jurisdiction over us or our affiliates, if (i) we determine in our discretion that such disclosure is necessary or advisable pursuant to or in connection with any United States federal, state or local, or non-U.S., court order (or other legal process), law, rule, regulation, or executive order or policy, including without limitation any anti-money laundering law or the USA PATRIOT Act of 2001; and (ii) such disclosure is not otherwise prohibited by law, rule, regulation, or executive order or policy.
Confidentiality and security
• To protect nonpublic personal information about individual investors, we restrict access to those employees and agents who need to know that information to provide products or services to us and to our investors. We maintain physical, electronic, and procedural safeguards to protect nonpublic personal information.
Other Disclosures
This notice is not intended to be incorporated in any offering materials, but is a statement of our current Notice of Privacy and Information Practices and may be amended from time to time. This notice is current as of May 3, 2010.
62
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.
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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-SAR-0610
CREDIT SUISSE FUNDS
Semiannual Report
June 30, 2010
(unaudited)
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 June 30, 2010; 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
Semiannual Investment Adviser's Report
June 30, 2010 (unaudited)
July 21, 2010
Dear Shareholder:
For the six-month period ended June 30, 2010, the Credit Suisse Trust — International Equity Flex III Portfolio (the "Portfolio") had a loss of 12.80%1, versus a decrease of 13.23% for the MSCI EAFE Index Net Dividends.2
Market Review: A challenging period
The six-month period ending June 30, 2010 was a challenging one. The markets overall declined during the period, with the MSCI EAFE Index Net Dividends declining by 13.23%. Additionally, the Dow Jones Euro STOXX Index, which represents large, mid, and small capitalization companies of 12 Eurozone countries (Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain), lost 8.38%, while Japan's Topix Index, a capitalization weighted index of all companies listed on the First Section of the Tokyo Stock Exchange, decreased by 6.36%. Despite what seemed to be a global recovery in 2009, developments in the Eurozone, beginning with the budget deficit in Greece, combined with signals from emerging markets, like China, to cause a global pullback.
Strategic Review and Outlook: A period of change
For the semiannual period ended June 30, 2010, the Portfolio outperformed its benchmark. Overall, the long sleeve of the portfolio hurt performance while the short sleeve contributed to performance. On a net basis, stock selection and sector weighting in financials made the leading positive contributions to performance. Additionally, stock selection and sector weightings in utilities and materials also helped relative performance. Conversely, stock selection and sector weighting in consumer discretionary was the leading detractor from performance. Stock selection and sector weighting in telecommunication services also detracted from relative performance.
Although we expect the market to remain difficult in the near term, we are comfortable with our proactive long-term investment process going forward. Our investment process relies on a systematic quantitative approach that takes into account historical results as well as near- and long-term views. In further detail, the process can be broken into four steps: 1. Research supporting the five financial models and blended risk model; 2. Construction of Expected Returns and Optimization; 3. Implementation; 4. Risk/Return Monitoring and Attribution Analysis. Research is conducted to identify new sources of alpha, improve existing factors, and strengthen risk control. Research on prospective factors is sourced from academic papers, sell side research, and internal dialogue.
1
Credit Suisse Trust — International Equity Flex III Portfolio
Semiannual Investment Adviser's Report (continued)
June 30, 2010 (unaudited)
Research ideas are always based on sound financial principles and economic intuition. In step two, the signals from the five financial models are blended to construct the expected returns. The expected returns, the blended risk model, transaction costs, investment objectives, as well as client-specific constraints are then fed into a proprietary optimizer to determine optimal portfolio weights. Then the optimal weights from the optimizer are used for trading and rebalancing of the portfolio. The proprietary in-house risk monitoring system checks the optimal portfolio prior to trading. Once the optimal portfolio passes the appropriate checks, the trades are implemented. Lastly, all monitoring is done on an intraday basis and is relative to the portfolio's specific benchmark.
Effective May 3, 2010, Mika Toikka* joined the Credit Suisse Quantitative Equities Group and serves as the lead manager of the Portfolio.
Credit Suisse Quantitative Equities Group
Mika Toikka
Timothy Schwider
* Mika Toikka, Managing Director, is Global Head of the Quantitative Equities Group and Quantitative Strategies. Mr. Toikka joined Credit Suisse Asset Management, LLC in May 2010. From September 2000 to April 2010 he held positions within Credit Suisse Group AG's Investment Banking Division. Within the Arbitrage Trading area, his responsibilities have included running a variety of trading strategies and serving as the Head of Risk and Strategy for Global Arbitrage Trading. Prior to joining Arbitrage Trading in 2005, Mr. Toikka served as the Global Head of the Quantitative Equity Derivatives Strategy Group. Before joining Credit Suisse First Boston in September 2000, Mr. Toikka worked for Goldman Sachs & Co. in the Fixed Income and Currency and Commodity division where he played a leadership role in fixed income derivatives strategy. Prior to 1997, he worked for Salomon Brothers in Equity Derivatives and Quantitative Research. Mr. Toikka holds a Master of Science degree in Applied Economics from the University of California Santa Cruz and a Bachelors degree in Economics from the University of California at Davis.
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.
2
Credit Suisse Trust — International Equity Flex III Portfolio
Semiannual Investment Adviser's Report (continued)
June 30, 2010 (unaudited)
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 that has been enlarged by borrowings or the creation of liabilities. 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.
International investing entails special risk considerations, including currency fluctuations, lower liquidity, economic and political risks, and differences in accounting methods.
Active and frequent trading may lead to the realization and distribution to shareholders of higher short-term capital gains, which would increase their tax liability. Frequent trading also increases transaction costs, which could detract from the Portfolio's performance.
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.
3
Credit Suisse Trust — International Equity Flex III Portfolio
Semiannual Investment Adviser's Report (continued)
June 30, 2010 (unaudited)
Average Annual Returns as of June 30, 20101
| 1 Year | | 5 Years | | 10 Years | | Since
Inception | | Inception
Date | |
| | 5.15 | % | | | 5.17 | % | | | 3.39 | % | | | 5.36 | % | | | 12/31/97 | | |
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 2.68%. The annualized net expense ratio after fee waivers and/or expense reimbursements is 2.32%.
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. Investors cannot invest directly in an index.
4
Credit Suisse Trust — International Equity Flex III Portfolio
Semiannual Investment Adviser's Report (continued)
June 30, 2010 (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 June 30, 2010.
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.
5
Credit Suisse Trust — International Equity Flex III Portfolio
Semiannual Investment Adviser's Report (continued)
June 30, 2010 (unaudited)
Expenses and Value for a $1,000 Investment
for the six month period ended June 30, 2010
| Actual Portfolio Return | |
| Beginning Account Value 1/1/10 | | $ | 1,000.00 | | |
| Ending Account Value 6/30/10 | | $ | 872.00 | | |
| Expenses Paid per $1,000* | | $ | 10.77 | | |
| Hypothetical 5% Portfolio Return | |
| Beginning Account Value 1/1/10 | | $ | 1,000.00 | | |
| Ending Account Value 6/30/10 | | $ | 1,013.29 | | |
| Expenses Paid per $1,000* | | $ | 11.58 | | |
| Annualized Expense Ratio* | | | 2.32 | % | |
* 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.
6
Credit Suisse Trust — International Equity Flex III Portfolio
Semiannual Investment Adviser's Report (continued)
June 30, 2010 (unaudited)
SECTOR BREAKDOWN*
| | | Long | | Short | | Net | |
| Financials | | | 29.0 | % | | | (3.3 | )% | | | 25.7 | % | |
| Industrials | | | 20.4 | % | | | (4.2 | )% | | | 16.2 | % | |
| Consumer Staples | | | 12.5 | % | | | (1.8 | )% | | | 10.7 | % | |
| Health Care | | | 11.4 | % | | | (1.5 | )% | | | 9.9 | % | |
| Materials | | | 10.4 | % | | | (2.0 | )% | | | 8.4 | % | |
| Energy | | | 8.5 | % | | | (0.6 | )% | | | 7.9 | % | |
| Consumer Discretionary | | | 10.4 | % | | | (3.3 | )% | | | 7.1 | % | |
| Information Technology | | | 6.9 | % | | | (0.7 | )% | | | 6.2 | % | |
| Telecommunication Services | | | 4.7 | % | | | (0.5 | )% | | | 4.2 | % | |
| Utilities | | | 4.7 | % | | | (1.0 | )% | | | 3.7 | % | |
| Total | | | 118.9 | % | | | (18.9 | )% | | | 100.0 | % | |
* Expressed as a percentage of total long/short investments, respectively, (excluding security lending collateral, if applicable) and may vary over time.
7
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS (118.6%) | |
| COMMON STOCKS (117.8%) | |
| Asia (3.2%) | |
| Diversified Financial Services (3.2%) | |
| iShares MSCI Pacific ex-Japan Index Fund§ | | | 96,803 | | | $ | 3,459,739 | | |
| TOTAL ASIA | | | 3,459,739 | | |
| Australia (5.9%) | |
| Air Freight & Logistics (0.0%) | |
| Toll Holdings, Ltd.§ | | | 5,727 | | | | 26,171 | | |
| Airlines (0.0%) | |
| Qantas Airways, Ltd.* | | | 9,568 | | | | 17,600 | | |
| Beverages (0.1%) | |
| Coca-Cola Amatil, Ltd.§ | | | 4,837 | | | | 48,599 | | |
| Foster's Group, Ltd. | | | 16,635 | | | | 79,063 | | |
| | | | 127,662 | | |
| Biotechnology (0.1%) | |
| CSL, Ltd. | | | 4,854 | | | | 132,987 | | |
| Capital Markets (0.1%) | |
| Macquarie Group, Ltd.§ | | | 2,868 | | | | 88,456 | | |
| Chemicals (0.1%) | |
| Incitec Pivot, Ltd. | | | 13,901 | | | | 31,546 | | |
| Nufarm, Ltd. | | | 1,630 | | | | 7,370 | | |
| Orica, Ltd. | | | 3,103 | | | | 65,498 | | |
| | | | 104,414 | | |
| Commercial Banks (1.7%) | |
| Australia & New Zealand Banking Group, Ltd.§ | | | 21,593 | | | | 389,177 | | |
| Bendigo and Adelaide Bank, Ltd. | | | 3,018 | | | | 20,641 | | |
| Commonwealth Bank of Australia§ | | | 13,226 | | | | 536,536 | | |
| National Australia Bank, Ltd. | | | 18,065 | | | | 350,476 | | |
| Westpac Banking Corp.§ | | | 25,365 | | | | 448,636 | | |
| | | | 1,745,466 | | |
| Commercial Services & Supplies (0.1%) | |
| Brambles, Ltd. | | | 12,173 | | | | 55,628 | | |
| Construction & Engineering (0.0%) | |
| Leighton Holdings, Ltd.§ | | | 1,285 | | | | 31,012 | | |
| Construction Materials (0.0%) | |
| Boral, Ltd.§ | | | 5,132 | | | | 20,628 | | |
| Containers & Packaging (0.1%) | |
| Amcor, Ltd. | | | 10,524 | | | | 56,282 | | |
| Diversified Financial Services (0.2%) | |
| ASX, Ltd. | | | 1,484 | | | | 36,326 | | |
| iShares MSCI Australia Index Fund§ | | | 9,968 | | | | 189,192 | | |
| | | | 225,518 | | |
See Accompanying Notes to Financial Statements.
8
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Australia | |
| Diversified Telecommunication Services (0.1%) | |
| Telstra Corp., Ltd.§ | | | 37,543 | | | $ | 102,685 | | |
| Electric Utilities (0.0%) | |
| SP AusNet | | | 11,478 | | | | 7,395 | | |
| Energy Equipment & Services (0.0%) | |
| WorleyParsons, Ltd. | | | 1,426 | | | | 26,327 | | |
| Food & Staples Retailing (0.5%) | |
| Metcash, Ltd.§ | | | 6,596 | | | | 23,263 | | |
| Wesfarmers, Ltd. | | | 1,309 | | | | 31,497 | | |
| Wesfarmers, Ltd. | | | 8,665 | | | | 207,819 | | |
| Woolworths, Ltd. | | | 10,684 | | | | 242,665 | | |
| | | | 505,244 | | |
| Food Products (0.0%) | |
| Goodman Fielder, Ltd. | | | 11,304 | | | | 12,788 | | |
| Health Care Equipment & Supplies (0.0%) | |
| Cochlear, Ltd.§ | | | 485 | | | | 30,314 | | |
| Health Care Providers & Services (0.0%) | |
| Sonic Healthcare, Ltd. | | | 3,181 | | | | 27,776 | | |
| Hotels, Restaurants & Leisure (0.1%) | |
| Aristocrat Leisure, Ltd.§ | | | 3,448 | | | | 10,544 | | |
| Crown, Ltd.§ | | | 4,340 | | | | 28,233 | | |
| TABCORP Holdings, Ltd. | | | 5,239 | | | | 27,861 | | |
| Tatts Group, Ltd. | | | 10,447 | | | | 19,656 | | |
| | | | 86,294 | | |
| Industrial Conglomerates (0.0%) | |
| CSR, Ltd.§ | | | 12,406 | | | | 17,434 | | |
| Insurance (0.4%) | |
| AMP, Ltd.§ | | | 17,660 | | | | 76,909 | | |
| AXA Asia Pacific Holdings, Ltd. | | | 8,909 | | | | 40,899 | | |
| Insurance Australia Group, Ltd. | | | 17,922 | | | | 51,156 | | |
| QBE Insurance Group, Ltd. | | | 8,831 | | | | 134,464 | | |
| Suncorp-Metway, Ltd. | | | 10,956 | | | | 73,550 | | |
| | | | 376,978 | | |
| IT Services (0.0%) | |
| Computershare, Ltd. | | | 3,832 | | | | 34,006 | | |
| Media (0.0%) | |
| Fairfax Media, Ltd.§ | | | 18,247 | | | | 20,006 | | |
See Accompanying Notes to Financial Statements.
9
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Australia | |
| Metals & Mining (1.3%) | |
| Alumina, Ltd. | | | 21,036 | | | $ | 26,714 | | |
| BHP Billiton, Ltd.§ | | | 28,931 | | | | 903,132 | | |
| BlueScope Steel, Ltd.* | | | 15,718 | | | | 27,419 | | |
| Fortescue Metals Group, Ltd.* | | | 10,669 | | | | 36,308 | | |
| Newcrest Mining, Ltd. | | | 4,169 | | | | 122,056 | | |
| OneSteel, Ltd. | | | 11,451 | | | | 28,429 | | |
| OZ Minerals, Ltd.* | | | 26,908 | | | | 21,384 | | |
| Rio Tinto, Ltd.§ | | | 3,756 | | | | 207,271 | | |
| Sims Metal Management, Ltd.§ | | | 1,389 | | | | 19,804 | | |
| | | | 1,392,517 | | |
| Multi-Utilities (0.1%) | |
| AGL Energy, Ltd.§ | | | 3,869 | | | | 47,750 | | |
| Multiline Retail (0.0%) | |
| Harvey Norman Holdings, Ltd.§ | | | 4,704 | | | | 13,038 | | |
| Oil, Gas & Consumable Fuels (0.4%) | |
| Arrow Energy, Ltd.* | | | 5,050 | | | | 20,510 | | |
| Caltex Australia, Ltd.§ | | | 1,163 | | | | 9,157 | | |
| Energy Resources of Australia, Ltd.§ | | | 575 | | | | 6,372 | | |
| Origin Energy, Ltd. | | | 7,570 | | | | 94,766 | | |
| Paladin Energy, Ltd.*§ | | | 5,564 | | | | 16,625 | | |
| Santos, Ltd. | | | 7,170 | | | | 75,188 | | |
| Woodside Petroleum, Ltd. | | | 4,689 | | | | 163,548 | | |
| | | | 386,166 | | |
| Real Estate Investment Trusts (0.4%) | |
| CFS Retail Property Trust§ | | | 14,987 | | | | 23,771 | | |
| Dexus Property Group§ | | | 41,087 | | | | 26,455 | | |
| Goodman Group | | | 52,342 | | | | 27,780 | | |
| GPT Group | | | 15,995 | | | | 37,475 | | |
| Mirvac Group§ | | | 23,177 | | | | 25,399 | | |
| Stockland§ | | | 20,543 | | | | 63,977 | | |
| Westfield Group | | | 17,905 | | | | 182,573 | | |
| | | | 387,430 | | |
| Real Estate Management & Development (0.0%) | |
| Lend Lease Corp., Ltd. | | | 5,378 | | | | 32,863 | | |
| Road & Rail (0.0%) | |
| Asciano Group* | | | 23,963 | | | | 32,291 | | |
| Textiles, Apparel & Luxury Goods (0.0%) | |
| Billabong International, Ltd.§ | | | 1,743 | | | | 12,701 | | |
See Accompanying Notes to Financial Statements.
10
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Australia | |
| Transportation Infrastructure (0.1%) | |
| Macquarie Airports | | | 6,208 | | | $ | 13,961 | | |
| Macquarie Atlas Roads Group*§ | | | 4,636 | | | | 3,717 | | |
| Macquarie Infrastructure Group§ | | | 19,497 | | | | 17,047 | | |
| Transurban Group§ | | | 10,009 | | | | 35,651 | | |
| | | | 70,376 | | |
| TOTAL AUSTRALIA | | | 6,254,203 | | |
| Austria (0.5%) | |
| Building Products (0.0%) | |
| Wienerberger AG* | | | 16 | | | | 195 | | |
| Construction & Engineering (0.3%) | |
| Strabag SE BR§ | | | 12,913 | | | | 278,433 | | |
| Metals & Mining (0.2%) | |
| Voestalpine AG§ | | | 8,494 | | | | 231,719 | | |
| Real Estate Management & Development (0.0%) | |
| Immofinanz AG* | | | 2,201 | | | | 5,661 | | |
| Immofinanz Anspr Nachb*§^ | | | 2,201 | | | | 0 | | |
| | | | 5,661 | | |
| TOTAL AUSTRIA | | | 516,008 | | |
| Belgium (2.4%) | |
| Beverages (0.2%) | |
| Anheuser-Busch InBev NV | | | 4,501 | | | | 216,776 | | |
| Chemicals (0.5%) | |
| Umicore | | | 18,269 | | | | 527,966 | | |
| Diversified Telecommunication Services (0.5%) | |
| Belgacom SA§ | | | 18,213 | | | | 573,609 | | |
| Electrical Equipment (0.5%) | |
| Bekaert SA | | | 2,985 | | | | 498,481 | | |
| Food & Staples Retailing (0.3%) | |
| Delhaize Group SA | | | 5,085 | | | | 369,614 | | |
| Insurance (0.4%) | |
| Fortis§ | | | 187,867 | | | | 418,765 | | |
| TOTAL BELGIUM | | | 2,605,211 | | |
| Bermuda (0.2%) | |
| Insurance (0.2%) | |
| Catlin Group, Ltd. | | | 42,468 | | | | 222,609 | | |
| Metals & Mining (0.0%) | |
| Aquarius Platinum, Ltd. | | | 645 | | | | 3,126 | | |
| TOTAL BERMUDA | | | 225,735 | | |
See Accompanying Notes to Financial Statements.
11
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Denmark (2.2%) | |
| Beverages (0.6%) | |
| Carlsberg AS Class B§ | | | 7,859 | | | $ | 599,931 | | |
| Construction & Engineering (0.3%) | |
| FLSmidth & Co. AS§ | | | 4,409 | | | | 285,013 | | |
| Food Products (0.2%) | |
| Danisco AS | | | 3,386 | | | | 228,233 | | |
| Health Care Equipment & Supplies (0.4%) | |
| Coloplast AS Class B | | | 4,306 | | | | 428,127 | | |
| Marine (0.1%) | |
| A P Moller - Maersk AS Class B | | | 9 | | | | 71,001 | | |
| Pharmaceuticals (0.6%) | |
| Novo Nordisk AS Class B | | | 8,513 | | | | 688,942 | | |
| TOTAL DENMARK | | | 2,301,247 | | |
| Finland (3.1%) | |
| Auto Components (0.0%) | |
| Nokian Renkaat Oyj | | | 10 | | | | 245 | | |
| Communications Equipment (0.4%) | |
| Nokia Oyj | | | 53,463 | | | | 436,497 | | |
| Diversified Financial Services (0.0%) | |
| Pohjola Bank PLC | | | 4,202 | | | | 42,739 | | |
| Electric Utilities (0.6%) | |
| Fortum Oyj§ | | | 27,332 | | | | 600,962 | | |
| Food & Staples Retailing (0.4%) | |
| Kesko Oyj B Shares | | | 13,750 | | | | 445,507 | | |
| Insurance (0.4%) | |
| Sampo Oyj A Shares | | | 19,649 | | | | 414,967 | | |
| Machinery (0.5%) | |
| Kone Oyj Class B | | | 1,544 | | | | 61,578 | | |
| Wartsila Oyj§ | | | 11,121 | | | | 506,539 | | |
| | | | 568,117 | | |
| Paper & Forest Products (0.4%) | |
| Stora Enso Oyj R Shares | | | 23,266 | | | | 168,396 | | |
| UPM-Kymmene Oyj | | | 17,984 | | | | 238,495 | | |
| | | | 406,891 | | |
| Pharmaceuticals (0.4%) | |
| Orion Oyj Class B | | | 19,612 | | | | 367,413 | | |
| TOTAL FINLAND | | | 3,283,338 | | |
See Accompanying Notes to Financial Statements.
12
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| France (9.4%) | |
| Aerospace & Defense (0.1%) | |
| Zodiac Aerospace | | | 1,395 | | | $ | 67,665 | | |
| Auto Components (0.3%) | |
| Valeo SA*§ | | | 11,593 | | | | 315,817 | | |
| Automobiles (0.0%) | |
| PSA Peugeot Citroen* | | | 505 | | | | 12,857 | | |
| Building Products (0.5%) | |
| Cie de Saint-Gobain§ | | | 16,085 | | | | 600,405 | | |
| Chemicals (0.1%) | |
| Arkema SA | | | 4,409 | | | | 153,707 | | |
| Commercial Banks (1.7%) | |
| BNP Paribas§ | | | 21,764 | | | | 1,172,883 | | |
| Credit Agricole SA | | | 41,670 | | | | 433,057 | | |
| Natixis* | | | 16,959 | | | | 73,767 | | |
| Societe Generale | | | 3,281 | | | | 135,236 | | |
| | | | 1,814,943 | | |
| Construction & Engineering (1.2%) | |
| Bouygues SA | | | 14,876 | | | | 575,198 | | |
| Vinci SA§ | | | 16,370 | | | | 680,849 | | |
| | | | 1,256,047 | | |
| Diversified Telecommunication Services (0.7%) | |
| France Telecom SA | | | 44,049 | | | �� | 765,307 | | |
| Electrical Equipment (0.3%) | |
| Nexans SA | | | 22 | | | | 1,284 | | |
| Schneider Electric SA§ | | | 2,823 | | | | 285,601 | | |
| | | | 286,885 | | |
| Household Durables (0.0%) | |
| Thomson SA* | | | 1,888 | | | | 1,047 | | |
| Industrial Conglomerates (0.1%) | |
| Wendel§ | | | 2,505 | | | | 126,341 | | |
| Insurance (1.0%) | |
| AXA SA§ | | | 35,224 | | | | 539,022 | | |
| CNP Assurances | | | 7,728 | | | | 526,642 | | |
| | | | 1,065,664 | | |
| IT Services (0.1%) | |
| Atos Origin SA* | | | 1,629 | | | | 65,519 | | |
| Machinery (0.3%) | |
| Vallourec SA§ | | | 1,820 | | | | 314,316 | | |
See Accompanying Notes to Financial Statements.
13
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| France | |
| Media (0.2%) | |
| Vivendi SA | | | 9,001 | | | $ | 183,226 | | |
| Oil, Gas & Consumable Fuels (1.5%) | |
| Total SA | | | 35,723 | | | | 1,597,305 | | |
| Pharmaceuticals (1.2%) | |
| Sanofi-Aventis SA | | | 21,405 | | | | 1,291,326 | | |
| Real Estate Investment Trusts (0.1%) | |
| Fonciere Des Regions§ | | | 936 | | | | 77,288 | | |
| Mercialys SA | | | 1 | | | | 29 | | |
| | | | 77,317 | | |
| TOTAL FRANCE | | | 9,995,694 | | |
| Germany (10.5%) | |
| Automobiles (0.9%) | |
| Bayerische Motoren Werke AG | | | 14,538 | | | | 707,390 | | |
| Daimler AG* | | | 2,327 | | | | 117,910 | | |
| Volkswagen AG§ | | | 1,519 | | | | 129,082 | | |
| | | | 954,382 | | |
| Capital Markets (0.3%) | |
| Deutsche Bank AG | | | 5,889 | | | | 331,335 | | |
| Chemicals (0.7%) | |
| BASF SE | | | 9,130 | | | | 499,703 | | |
| Lanxess AG | | | 5,700 | | | | 240,323 | | |
| | | | 740,026 | | |
| Commercial Banks (0.0%) | |
| Commerzbank AG*§ | | | 7,412 | | | | 51,828 | | |
| Computers & Peripherals (0.4%) | |
| Wincor Nixdorf AG | | | 8,137 | | | | 455,604 | | |
| Construction & Engineering (0.7%) | |
| Bilfinger Berger AG | | | 4,097 | | | | 227,429 | | |
| Hochtief AG | | | 8,604 | | | | 514,567 | | |
| | | | 741,996 | | |
| Electric Utilities (1.0%) | |
| E.ON AG | | | 37,819 | | | | 1,018,590 | | |
| Food Products (0.2%) | |
| Suedzucker AG | | | 9,989 | | | | 180,778 | | |
| Health Care Equipment & Supplies (0.3%) | |
| Fresenius SE | | | 4,845 | | | | 321,722 | | |
| Hotels, Restaurants & Leisure (0.3%) | |
| TUI AG* | | | 35,097 | | | | 308,931 | | |
See Accompanying Notes to Financial Statements.
14
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Germany | |
| Industrial Conglomerates (1.3%) | |
| Siemens AG | | | 15,869 | | | $ | 1,421,698 | | |
| Insurance (2.3%) | |
| Allianz SE | | | 10,694 | | | | 1,060,196 | | |
| Hannover Rueckversicherung AG | | | 12,464 | | | | 535,046 | | |
| Muenchener Rueckversicherungs AG | | | 6,441 | | | | 810,106 | | |
| | | | 2,405,348 | | |
| Machinery (0.4%) | |
| GEA Group AG | | | 23,458 | | | | 467,666 | | |
| Metals & Mining (0.5%) | |
| Aurubis AG§ | | | 11,414 | | | | 496,723 | | |
| Pharmaceuticals (0.9%) | |
| Bayer AG | | | 16,336 | | | | 914,409 | | |
| Stada Arzneimittel AG | | | 922 | | | | 30,694 | | |
| | | | 945,103 | | |
| Semiconductors & Semiconductor Equipment (0.3%) | |
| Infineon Technologies AG* | | | 52,595 | | | | 305,426 | | |
| Q-Cells SE*§ | | | 479 | | | | 3,057 | | |
| | | | 308,483 | | |
| TOTAL GERMANY | | | 11,150,213 | | |
| Greece (0.1%) | |
| Commercial Banks (0.0%) | |
| Alpha Bank AE* | | | 3 | | | | 15 | | |
| Bank of Greece | | | 788 | | | | 29,272 | | |
| | | | 29,287 | | |
| Construction Materials (0.0%) | |
| Titan Cement Co. SA | | | 114 | | | | 2,147 | | |
| Diversified Financial Services (0.0%) | |
| Marfin Investment Group SA* | | | 285 | | | | 350 | | |
| Electric Utilities (0.1%) | |
| Public Power Corp. SA* | | | 7,529 | | | | 108,134 | | |
| Hotels, Restaurants & Leisure (0.0%) | |
| OPAP SA | | | 1,665 | | | | 20,751 | | |
| TOTAL GREECE | | | 160,669 | | |
| Hong Kong (1.8%) | |
| Diversified Financial Services (1.8%) | |
| iShares MSCI Hong Kong Index Fund§ | | | 127,378 | | | | 1,881,373 | | |
| TOTAL HONG KONG | | | 1,881,373 | | |
See Accompanying Notes to Financial Statements.
15
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Ireland (0.0%) | |
| Commercial Banks (0.0%) | |
| Allied Irish Banks PLC* | | | 5,853 | | | $ | 6,186 | | |
| The Governor & Co. of the Bank of Ireland* | | | 16,790 | | | | 13,473 | | |
| | | | 19,659 | | |
| Food Products (0.0%) | |
| Kerry Group PLC Class A | | | 3 | | | | 83 | | |
| TOTAL IRELAND | | | 19,742 | | |
| Israel (0.7%) | |
| Chemicals (0.0%) | |
| Israel Chemicals, Ltd. | | | 1,555 | | | | 16,225 | | |
| Commercial Banks (0.1%) | |
| Bank Hapoalim BM* | | | 12,051 | | | | 43,474 | | |
| Bank Leumi Le-Israel BM* | | | 7,305 | | | | 26,071 | | |
| | | | 69,545 | | |
| Diversified Telecommunication Services (0.0%) | |
| Bezeq Israeli Telecommunication Corp., Ltd. | | | 21,142 | | | | 46,287 | | |
| IT Services (0.0%) | |
| Emblaze Ltd.* | | | 13,069 | | | | 6,110 | | |
| Pharmaceuticals (0.6%) | |
| Teva Pharmaceutical Industries, Ltd. ADR | | | 11,700 | | | | 608,283 | | |
| TOTAL ISRAEL | | | 746,450 | | |
| Italy (3.7%) | |
| Auto Components (0.3%) | |
| Pirelli & C. SpA | | | 473,960 | | | | 261,444 | | |
| Commercial Banks (0.1%) | |
| Banca Popolare dell'Etruria e del Lazio* | | | 721 | | | | 2,880 | | |
| Banco di Desio e della Brianza SpA | | | 2,647 | | | | 11,891 | | |
| UniCredit SpA | | | 19,094 | | | | 42,308 | | |
| | | | 57,079 | | |
| Construction & Engineering (0.0%) | |
| Impregilo SpA* | | | 48 | | | | 110 | | |
| Construction Materials (0.1%) | |
| Cementir Holding SpA | | | 2,428 | | | | 6,397 | | |
| Italcementi SpA§ | | | 16,656 | | | | 126,755 | | |
| | | | 133,152 | | |
| Diversified Telecommunication Services (0.6%) | |
| Telecom Italia SpA | | | 564,240 | | | | 624,164 | | |
| Electric Utilities (0.5%) | |
| Enel SpA | | | 110,919 | | | | 470,437 | | |
See Accompanying Notes to Financial Statements.
16
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Italy | |
| Energy Equipment & Services (0.1%) | |
| Saipem SpA | | | 4,682 | | | $ | 142,844 | | |
| Food Products (0.5%) | |
| Parmalat SpA§ | | | 230,963 | | | | 537,733 | | |
| Insurance (0.2%) | |
| Premafin Finanziaria SpA* | | | 4,768 | | | | 5,145 | | |
| Societa Cattolica di Assicurazioni S.c.r.l | | | 8,986 | | | | 224,336 | | |
| | | | 229,481 | | |
| Media (0.3%) | |
| Gruppo Editoriale L'Espresso SpA* | | | 1,833 | | | | 3,536 | | |
| Mediaset SpA | | | 62,903 | | | | 358,306 | | |
| | | | 361,842 | | |
| Multi-Utilities (0.0%) | |
| Iride SpA | | | 5,128 | | | | 7,672 | | |
| Oil, Gas & Consumable Fuels (1.0%) | |
| ENI SpA | | | 58,664 | | | | 1,078,645 | | |
| Real Estate Management & Development (0.0%) | |
| Beni Stabili SpA* | | | 5,616 | | | | 4,265 | | |
| TOTAL ITALY | | | 3,908,868 | | |
| Japan (28.6%) | |
| Air Freight & Logistics (0.0%) | |
| VANTEC Corp. | | | 18 | | | | 23,037 | | |
| Airlines (0.0%) | |
| All Nippon Airways Co., Ltd.* | | | 3,000 | | | | 9,501 | | |
| Auto Components (0.7%) | |
| Aisan Industry Co., Ltd. | | | 657 | | | | 4,765 | | |
| Aisin Seiki Co., Ltd.§ | | | 2,489 | | | | 66,953 | | |
| Alpha Corp. | | | 1,500 | | | | 13,915 | | |
| Asahi TEC Corp.* | | | 306 | | | | 119 | | |
| Ashimori Industry Co., Ltd.* | | | 667 | | | | 980 | | |
| Bridgestone Corp.§ | | | 6,400 | | | | 101,112 | | |
| Daido Metal Co., Ltd.* | | | 1,000 | | | | 3,598 | | |
| Denso Corp.§ | | | 4,722 | | | | 130,400 | | |
| Fujikura Rubber Ltd. | | | 1,000 | | | | 3,658 | | |
| FuKoKu Co., Ltd. | | | 500 | | | | 3,800 | | |
| Imasen Electric Industrial | | | 19 | | | | 230 | | |
| Kanto Auto Works Ltd. | | | 4,989 | | | | 36,647 | | |
| Kasai Kogyo Co., Ltd. | | | 2,000 | | | | 6,419 | | |
| Koito Manufacturing Co., Ltd. | | | 1,000 | | | | 14,713 | | |
| NHK Spring Co., Ltd.§ | | | 5,000 | | | | 45,696 | | |
| Nihon Tokushu Toryo Co., Ltd. | | | 2,100 | | | | 7,401 | | |
| NOK Corp. | | | 900 | | | | 14,280 | | |
See Accompanying Notes to Financial Statements.
17
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Auto Components | |
| Pacific Industrial Co., Ltd. | | | 200 | | | $ | 890 | | |
| Sanden Corp. | | | 6,000 | | | | 16,233 | | |
| Sanoh Industrial Co., Ltd. | | | 50 | | | | 358 | | |
| Shiroki Corp. | | | 3,000 | | | | 7,187 | | |
| SNT Corp. | | | 1,239 | | | | 3,185 | | |
| Stanley Electric Co., Ltd.§ | | | 1,800 | | | | 29,783 | | |
| Sumitomo Rubber Industries, Ltd.§ | | | 2,100 | | | | 18,506 | | |
| The Yokohama Rubber Co., Ltd | | | 10,809 | | | | 48,670 | | |
| Tigers Polymer Corp. | | | 33 | | | | 119 | | |
| Tokai Rika Co., Ltd. | | | 500 | | | | 8,642 | | |
| Tokai Rubber Industries, Inc. | | | 500 | | | | 5,911 | | |
| Topre Corp. | | | 700 | | | | 5,019 | | |
| Toyo Tire & Rubber Co., Ltd.§ | | | 4,725 | | | | 9,989 | | |
| Toyota Auto Body Co., Ltd. | | | 2,200 | | | | 27,482 | | |
| Toyota Boshoku Corp.§ | | | 800 | | | | 11,671 | | |
| Toyota Industries Corp. | | | 1,200 | | | | 30,426 | | |
| Unipres Corp.§ | | | 3,224 | | | | 50,356 | | |
| Yorozu Corp. | | | 456 | | | | 6,623 | | |
| | | | 735,736 | | |
| Automobiles (2.0%) | |
| Fuji Heavy Industries, Ltd.* | | | 3,103 | | | | 16,609 | | |
| Honda Motor Co., Ltd.§ | | | 20,092 | | | | 589,659 | | |
| Isuzu Motors, Ltd. | | | 12,921 | | | | 38,795 | | |
| Mazda Motor Corp.§ | | | 12,508 | | | | 29,204 | | |
| Mitsubishi Motors Corp.*§ | | | 18,000 | | | | 22,750 | | |
| Nissan Motor Co., Ltd.* | | | 32,600 | | | | 226,980 | | |
| Suzuki Motor Corp. | | | 4,731 | | | | 92,769 | | |
| Toyota Motor Corp. | | | 33,545 | | | | 1,151,584 | | |
| Yamaha Motor Co., Ltd.* | | | 1,061 | | | | 14,015 | | |
| | | | 2,182,365 | | |
| Beverages (0.3%) | |
| Asahi Breweries, Ltd.§ | | | 2,598 | | | | 43,976 | | |
| Coca-Cola Central Japan Co., Ltd. | | | 23 | | | | 294 | | |
| Coca-Cola West Co., Ltd. | | | 400 | | | | 6,604 | | |
| Japan Foods Co., Ltd. | | | 200 | | | | 1,809 | | |
| Kirin Holdings Co., Ltd.§ | | | 10,823 | | | | 136,142 | | |
| Mercian Corp.§ | | | 16,222 | | | | 27,262 | | |
| Mikuni Coca-Cola Bottling Co., Ltd. | | | 8,089 | | | | 64,511 | | |
| Oenon Holdings, Inc.§ | | | 8,000 | | | | 16,077 | | |
| Sapporo Holdings, Ltd.§ | | | 2,000 | | | | 8,590 | | |
| Takara Holdings, Inc. | | | 10,000 | | | | 50,375 | | |
| | | | 355,640 | | |
See Accompanying Notes to Financial Statements.
18
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Building Products (0.3%) | |
| Aica Kogyo Co., Ltd. | | | 1,168 | | | $ | 12,357 | | |
| Asahi Glass Co., Ltd.§ | | | 13,000 | | | | 121,964 | | |
| Bunka Shutter Co., Ltd. | | | 5,174 | | | | 14,866 | | |
| Daikin Industries, Ltd. | | | 2,854 | | | | 86,946 | | |
| JS Group Corp.§ | | | 2,000 | | | | 38,143 | | |
| Komatsu Wall Industry Co., Ltd. | | | 1,200 | | | | 12,131 | | |
| Nichias Corp. | | | 273 | | | | 1,091 | | |
| Nippon Sheet Glass Co., Ltd. | | | 10,626 | | | | 25,974 | | |
| Nitto Boseki Co., Ltd. | | | 2,272 | | | | 4,993 | | |
| Shin Nippon Air Technologies Co., Ltd. | | | 66 | | | | 431 | | |
| Toli Corp. | | | 7,000 | | | | 11,960 | | |
| Toyo Shutter Co., Ltd.* | | | 600 | | | | 3,074 | | |
| | | | 333,930 | | |
| Capital Markets (0.4%) | |
| Daiwa Securities Group, Inc.§ | | | 26,981 | | | | 113,816 | | |
| Ichiyoshi Securities Co., Ltd. | | | 2 | | | | 13 | | |
| Iwai Securities Co., Ltd. | | | 66 | | | | 494 | | |
| Jafco Co., Ltd. | | | 12 | | | | 265 | | |
| Mizuho Securities Co., Ltd. | | | 23,000 | | | | 51,236 | | |
| Nomura Holdings, Inc.§ | | | 34,757 | | | | 189,733 | | |
| Risa Partners, Inc.§ | | | 50 | | | | 20,869 | | |
| SBI Holdings, Inc. | | | 7 | | | | 869 | | |
| Tokai Tokyo Financial Holdings, Inc. | | | 8,573 | | | | 33,662 | | |
| | | | 410,957 | | |
| Chemicals (1.3%) | |
| Achilles Corp. | | | 3,912 | | | | 5,377 | | |
| Air Water, Inc.§ | | | 2,000 | | | | 21,818 | | |
| Arakawa Chemical Industries Ltd. | | | 2,300 | | | | 24,092 | | |
| Asahi Kasei Corp. | | | 16,996 | | | | 88,718 | | |
| Chugoku Marine Paints, Ltd. | | | 5,759 | | | | 39,571 | | |
| Daicel Chemical Industries, Ltd.§ | | | 6,000 | | | | 40,445 | | |
| Daiso Co., Ltd. | | | 5,000 | | | | 12,486 | | |
| Denki Kagaku Kogyo Kabushiki Kaisha§ | | | 5,000 | | | | 23,253 | | |
| DIC Corp. | | | 9,000 | | | | 13,857 | | |
| Ebara-Udylite Co., Ltd. | | | 800 | | | | 14,165 | | |
| Fujikura Kasei Co., Ltd. | | | 300 | | | | 1,725 | | |
| Hitachi Chemical Co., Ltd.§ | | | 1,500 | | | | 27,844 | | |
| Ihara Chemical Industry Co., Ltd. | | | 3,000 | | | | 8,055 | | |
| JSP Corp. | | | 2,725 | | | | 25,632 | | |
| JSR Corp. | | | 600 | | | | 10,070 | | |
| Kaneka Corp. | | | 2,000 | | | | 11,593 | | |
| Kansai Paint Co., Ltd.§ | | | 2,000 | | | | 17,153 | | |
| Katakura Chikkarin Co., Ltd. | | | 1,000 | | | | 3,040 | | |
| Konishi Co., Ltd. | | | 1,700 | | | | 18,483 | | |
See Accompanying Notes to Financial Statements.
19
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Chemicals | |
| Kuraray Co., Ltd. | | | 3,500 | | | $ | 41,026 | | |
| KUREHA Corp. | | | 1,000 | | | | 4,814 | | |
| Mitsubishi Chemical Holdings Corp.§ | | | 19,047 | | | | 86,865 | | |
| Mitsubishi Gas Chemical Co., Inc. | | | 5,124 | | | | 24,824 | | |
| Mitsui Chemicals, Inc.§ | | | 13,000 | | | | 36,301 | | |
| Nihon Parkerizing Co., Ltd. | | | 2,000 | | | | 26,081 | | |
| Nippon Shokubai Co., Ltd. | | | 105 | | | | 995 | | |
| Nippon Soda Co., Ltd. | | | 9,554 | | | | 31,378 | | |
| Nippon Valqua Industries Ltd. | | | 10,000 | | | | 22,342 | | |
| Nissan Chemical Industries Ltd. | | | 1,000 | | | | 11,166 | | |
| Nitto Denko Corp. | | | 2,000 | | | | 65,551 | | |
| Okura Industrial Co., Ltd.* | | | 3,666 | | | | 10,649 | | |
| Sakata INX Corp. | | | 4,000 | | | | 17,273 | | |
| Sanyo Chemical Industries, Ltd. | | | 5,643 | | | | 36,282 | | |
| Shikoku Chemicals Corp. | | | 3,393 | | | | 17,697 | | |
| Shin-Etsu Chemical Co., Ltd. | | | 5,100 | | | | 236,925 | | |
| Showa Denko KK | | | 10,000 | | | | 18,045 | | |
| Sumitomo Bakelite Co., Ltd. | | | 6,466 | | | | 31,619 | | |
| Sumitomo Chemical Co., Ltd. | | | 23,184 | | | | 89,650 | | |
| Sumitomo Seika Chemicals Co., Ltd. | | | 14,000 | | | | 50,816 | | |
| Taiyo Nippon Sanso Corp. | | | 4,000 | | | | 31,737 | | |
| Takasago International Corp. | | | 2,000 | | | | 8,636 | | |
| Toagosei Co., Ltd. | | | 343 | | | | 1,518 | | |
| Tokai Carbon Co., Ltd.§ | | | 4,000 | | | | 18,707 | | |
| Toray Industries, Inc.§ | | | 9,000 | | | | 43,101 | | |
| Tosoh Corp. | | | 5,261 | | | | 13,607 | | |
| Toyo Ink Manufacturing Co., Ltd. | | | 3,000 | | | | 11,486 | | |
| Ube Industries, Ltd. | | | 11,000 | | | | 25,987 | | |
| Zeon Corp. | | | 3,000 | | | | 17,563 | | |
| | | | 1,440,018 | | |
| Commercial Banks (3.1%) | |
| Aozora Bank, Ltd.§ | | | 15,000 | | | | 19,409 | | |
| Fukuoka Financial Group, Inc. | | | 15,000 | | | | 62,387 | | |
| Hokuhoku Financial Group, Inc. | | | 59,193 | | | | 108,646 | | |
| Kiyo Holdings, Inc. | | | 11,649 | | | | 15,828 | | |
| Mitsubishi UFJ Financial Group, Inc. | | | 177,131 | | | | 803,618 | | |
| Mizuho Financial Group, Inc.§ | | | 259,754 | | | | 425,846 | | |
| Resona Holdings, Inc.§ | | | 6,803 | | | | 82,953 | | |
| Sapporo Hokuyo Holdings, Inc. | | | 3,600 | | | | 15,866 | | |
| Senshu Ikeda Holdings, Inc.§ | | | 5,000 | | | | 7,275 | | |
| Shinsei Bank, Ltd.*§ | | | 19,000 | | | | 16,049 | | |
| Sumitomo Mitsui Financial Group, Inc. | | | 16,996 | | | | 480,619 | | |
| Suruga Bank, Ltd. | | | 1,000 | | | | 9,068 | | |
| The Bank of Kyoto, Ltd. | | | 1,000 | | | | 8,225 | | |
| The Bank of Saga, Ltd. | | | 3,000 | | | | 9,203 | | |
See Accompanying Notes to Financial Statements.
20
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Commercial Banks | |
| The Bank of Yokohama, Ltd. | | | 19,000 | | | $ | 86,841 | | |
| The Chiba Bank, Ltd. | | | 9,992 | | | | 60,272 | | |
| The Chiba Kogyo Bank, Ltd.* | | | 1,063 | | | | 7,545 | | |
| The Daishi Bank, Ltd. | | | 40,039 | | | | 131,259 | | |
| The Ehime Bank, Ltd. | | | 7,000 | | | | 20,182 | | |
| The Eighteenth Bank, Ltd. | | | 2,000 | | | | 5,546 | | |
| The Gunma Bank, Ltd. | | | 17,992 | | | | 95,329 | | |
| The Hachijuni Bank, Ltd. | | | 3,807 | | | | 21,353 | | |
| The Higashi-Nippon Bank, Ltd. | | | 4,000 | | | | 7,697 | | |
| The Higo Bank, Ltd. | | | 2,319 | | | | 12,809 | | |
| The Hiroshima Bank, Ltd§ | | | 38,885 | | | | 155,285 | | |
| The Hokuetsu Bank, Ltd. | | | 19,000 | | | | 31,752 | | |
| The Hyakugo Bank, Ltd. | | | 10,000 | | | | 42,977 | | |
| The Hyakujushi Bank, Ltd. | | | 18,000 | | | | 66,343 | | |
| The Joyo Bank, Ltd. | | | 21,000 | | | | 83,191 | | |
| The Keiyo Bank, Ltd. | | | 17,968 | | | | 93,686 | | |
| The Mie Bank, Ltd. | | | 13,211 | | | | 37,615 | | |
| The Nishi-Nippon City Bank, Ltd. | | | 12,997 | | | | 37,190 | | |
| The Shikoku Bank, Ltd | | | 417 | | | | 1,348 | | |
| The Shizuoka Bank, Ltd§ | | | 13,000 | | | | 113,200 | | |
| The Sumitomo Trust & Banking Co., Ltd. | | | 12,720 | | | | 64,705 | | |
| The Tohoku Bank, Ltd. | | | 6,418 | | | | 10,025 | | |
| The Tokyo Tomin Bank, Ltd. | | | 1,454 | | | | 16,504 | | |
| The Yachiyo Bank, Ltd. | | | 1,400 | | | | 28,345 | | |
| Yamaguchi Financial Group, Inc. | | | 1,000 | | | | 9,549 | | |
| | | | 3,305,540 | | |
| Commercial Services & Supplies (0.7%) | |
| Central Security Patrols Co., Ltd. | | | 600 | | | | 5,410 | | |
| Dai Nippon Printing Co., Ltd.§ | | | 14,000 | | | | 161,441 | | |
| Itoki Corp. | | | 3,037 | | | | 9,440 | | |
| Kosaido Co., Ltd.* | | | 2,600 | | | | 4,279 | | |
| Kyodo Printing Co., Ltd. | | | 9,000 | | | | 21,752 | | |
| Kyoritsu Printing Co., Ltd.§ | | | 3,600 | | | | 5,348 | | |
| NAC Co., Ltd. | | | 300 | | | | 3,100 | | |
| Nichiban Co., Ltd. | | | 3,000 | | | | 10,003 | | |
| Nippon Kanzai Co., Ltd. | | | 550 | | | | 9,009 | | |
| Nippon Kucho Service Co., Ltd. | | | 800 | | | | 6,387 | | |
| Nissha Printing Co., Ltd.§ | | | 500 | | | | 13,348 | | |
| Okamura Corp. | | | 3,139 | | | | 18,074 | | |
| Oyo Corp. | | | 2,156 | | | | 17,735 | | |
| Pronexus, Inc. | | | 1,800 | | | | 9,396 | | |
| Secom Co., Ltd. | | | 3,153 | | | | 139,894 | | |
| Sohgo Security Services Co., Ltd. | | | 3,976 | | | | 40,241 | | |
| Takano Co., Ltd. | | | 146 | | | | 795 | | |
| Tokyu Community Corp.§ | | | 1,200 | | | | 31,891 | | |
See Accompanying Notes to Financial Statements.
21
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Commercial Services & Supplies | |
| Toppan Forms Co., Ltd. | | | 6,100 | | | $ | 58,429 | | |
| Toppan Printing Co., Ltd.§ | | | 19,746 | | | | 156,010 | | |
| Tosho Printing Co., Ltd.* | | | 5,499 | | | | 9,811 | | |
| Uchida Yoko Co., Ltd.§ | | | 1,383 | | | | 4,344 | | |
| | | | 736,137 | | |
| Communications Equipment (0.1%) | |
| Denki Kogyo Co., Ltd. | | | 10,009 | | | | 42,924 | | |
| Iwatsu Electric Co., Ltd.* | | | 666 | | | | 557 | | |
| Nakayo Telecommunications, Inc. | | | 2,000 | | | | 3,890 | | |
| NEC Mobiling Ltd. | | | 700 | | | | 18,566 | | |
| Saxa Holdings, Inc.* | | | 3,333 | | | | 5,582 | | |
| | | | 71,519 | | |
| Computers & Peripherals (0.4%) | |
| Eizo Nanao Corp. | | | 745 | | | | 16,188 | | |
| Fujitsu, Ltd.§ | | | 28,000 | | | | 174,874 | | |
| Mutoh Holdings Co., Ltd.* | | | 5,000 | | | | 7,343 | | |
| NEC Corp.§ | | | 30,260 | | | | 78,484 | | |
| Roland DG Corp. | | | 342 | | | | 4,690 | | |
| Toshiba Corp.*§ | | | 40,871 | | | | 202,286 | | |
| | | | 483,865 | | |
| Construction & Engineering (0.6%) | |
| Ando Corp. | | | 13,500 | | | | 16,306 | | |
| Asahi Kogyosha Co., Ltd. | | | 1,000 | | | | 3,898 | | |
| Asunaro Aoki Construction Co., Ltd. | | | 2,500 | | | | 10,701 | | |
| Chugai Ro Co., Ltd. | | | 18,000 | | | | 46,258 | | |
| Commuture Corp. | | | 3,000 | | | | 18,075 | | |
| CTI Engineering Co., Ltd. | | | 2,071 | | | | 9,283 | | |
| Dai-Dan Co., Ltd. | | | 1,000 | | | | 5,088 | | |
| Daimei Telecom Engineering Corp. | | | 3,000 | | | | 23,704 | | |
| Fukuda Corp. | | | 3,000 | | | | 4,878 | | |
| Hazama Corp.* | | | 11,866 | | | | 9,821 | | |
| Ichiken Co., Ltd. | | | 5,800 | | | | 7,026 | | |
| JGC Corp. | | | 3,000 | | | | 45,484 | | |
| Kajima Corp.§ | | | 25,000 | | | | 56,629 | | |
| Kokusai Kogyo Holdings Co., Ltd.* | | | 3,000 | | | | 6,556 | | |
| Kyudenko Corp. | | | 286 | | | | 1,578 | | |
| Nakano Corp. | | | 3,500 | | | | 8,167 | | |
| Nichireki Co., Ltd. | | | 334 | | | | 1,507 | | |
| Nippo Corp. | | | 3,312 | | | | 24,616 | | |
| Nippon Koei Co., Ltd. | | | 8,000 | | | | 23,289 | | |
| Nishimatsu Construction Co., Ltd. | | | 12,000 | | | | 14,131 | | |
| Obayashi Corp.§ | | | 14,992 | | | | 59,385 | | |
| Obayashi Road Corp. | | | 10,000 | | | | 20,619 | | |
See Accompanying Notes to Financial Statements.
22
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Construction & Engineering | |
| Okumura Corp. | | | 4,000 | | | $ | 14,621 | | |
| Raito Kogyo Co., Ltd. | | | 2,050 | | | | 4,287 | | |
| Seibu Electric Industry Co., Ltd. | | | 1,998 | | | | 7,267 | | |
| Shimizu Corp. | | | 4,000 | | | | 13,659 | | |
| Shinnihon Corp. | | | 2,308 | | | | 5,830 | | |
| Sumitomo Densetsu Co., Ltd. | | | 7,258 | | | | 31,075 | | |
| Taihei Kogyo Co., Ltd. | | | 10,129 | | | | 32,526 | | |
| Taisei Corp. | | | 18,379 | | | | 36,727 | | |
| Tekken Corp.* | | | 30,000 | | | | 24,791 | | |
| The Nippon Road Co., Ltd. | | | 11,000 | | | | 23,148 | | |
| Toa Corp. | | | 19,000 | | | | 18,426 | | |
| TOA ROAD Corp.§ | | | 2,333 | | | | 3,413 | | |
| Tokyu Construction Co., Ltd. | | | 2,516 | | | | 6,571 | | |
| Totetsu Kogyo Co., Ltd. | | | 57 | | | | 351 | | |
| Toyo Engineering Corp. | | | 4,922 | | | | 14,205 | | |
| Yahagi Construction Co., Ltd. | | | 2,000 | | | | 12,047 | | |
| Yondenko Corp. | | | 3,000 | | | | 13,003 | | |
| | | | 678,946 | | |
| Construction Materials (0.0%) | |
| Okabe Co., Ltd. | | | 20 | | | | 79 | | |
| Shinagawa Refractories Co., Ltd. | | | 641 | | | | 1,684 | | |
| Sumitomo Osaka Cement Co., Ltd.§ | | | 3,515 | | | | 6,675 | | |
| Taiheiyo Cement Corp.* | | | 13,000 | | | | 16,401 | | |
| | | | 24,839 | | |
| Consumer Finance (0.1%) | |
| Credit Saison Co., Ltd.§ | | | 700 | | | | 7,320 | | |
| Jaccs Co., Ltd. | | | 6,000 | | | | 9,877 | | |
| ORIX Corp.§ | | | 1,135 | | | | 82,155 | | |
| Pocket Card Co., Ltd. | | | 5,600 | | | | 15,196 | | |
| Takefuji Corp.§ | | | 3,066 | | | | 8,964 | | |
| | | | 123,512 | | |
| Containers & Packaging (0.1%) | |
| Hokkan Holdings, Ltd. | | | 6,333 | | | | 16,951 | | |
| Tomoku Co., Ltd. | | | 7,000 | �� | | | 18,270 | | |
| Toyo Seikan Kaisha, Ltd. | | | 2,760 | | | | 40,241 | | |
| | | | 75,462 | | |
| Distributors (0.1%) | |
| Happinet Corp. | | | 800 | | | | 9,236 | | |
| Naigai Co., Ltd.* | | | 579 | | | | 296 | | |
| Nice Holdings, Inc. | | | 7,000 | | | | 13,625 | | |
| Ohashi Technica, Inc. | | | 666 | | | | 4,585 | | |
| Rasa Corp. | | | 1,100 | | | | 3,816 | | |
| Sankyo Seiko Co., Ltd. | | | 7,412 | | | | 20,313 | | |
| Yokohama Reito Co., Ltd. | | | 2,000 | | | | 14,159 | | |
| | | | 66,030 | | |
See Accompanying Notes to Financial Statements.
23
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Diversified Consumer Services (0.1%) | |
| Benesse Corp. | | | 300 | | | $ | 13,645 | | |
| San Holdings, Inc. | | | 300 | | | | 4,879 | | |
| Studio Alice Co., Ltd.§ | | | 3,200 | | | | 28,017 | | |
| Tac Co., Ltd. | | | 3,400 | | | | 13,495 | | |
| Take and Give Needs Co., Ltd.* | | | 18 | | | | 1,283 | | |
| Watabe Wedding Corp. | | | 1,040 | | | | 12,348 | | |
| | | | 73,667 | | |
| Diversified Financial Services (0.0%) | |
| Century Tokyo Leasing Corp. | | | 1,100 | | | | 13,288 | | |
| Daiko Clearing Services Corp.§ | | | 2,066 | | | | 7,722 | | |
| Fuyo General Lease Co., Ltd. | | | 700 | | | | 16,033 | | |
| | | | 37,043 | | |
| Diversified Telecommunication Services (0.3%) | |
| Nippon Telegraph & Telephone Corp. | | | 7,900 | | | | 321,541 | | |
| Electric Utilities (0.5%) | |
| Chubu Electric Power Co., Inc. | | | 5,097 | | | | 126,382 | | |
| The Kansai Electric Power Co., Inc.§ | | | 4,200 | | | | 102,344 | | |
| The Tokyo Electric Power Co., Inc. | | | 9,700 | | | | 263,649 | | |
| | | | 492,375 | | |
| Electrical Equipment (0.4%) | |
| Denyo Co., Ltd. | | | 2,600 | | | | 17,674 | | |
| Fuji Electric Holdings Co., Ltd.§ | | | 10,000 | | | | 28,769 | | |
| Helios Techno Holdings Co., Ltd. | | | 2,743 | | | | 8,190 | | |
| Hirakawa Hewtech Corp. | | | 400 | | | | 3,283 | | |
| Idec Corp. | | | 1,100 | | | | 9,216 | | |
| Mitsubishi Electric Corp. | | | 13,654 | | | | 106,478 | | |
| Nidec Corp.§ | | | 866 | | | | 72,438 | | |
| Panasonic Electric Works Co., Ltd. | | | 3,998 | | | | 39,265 | | |
| Sumitomo Electric Industries, Ltd. | | | 11,800 | | | | 137,400 | | |
| Toko Electric Corp. | | | 594 | | | | 3,140 | | |
| Ushio, Inc.§ | | | 1,485 | | | | 22,858 | | |
| | | | 448,711 | | |
| Electronic Equipment, Instruments & Components (1.6%) | |
| Ai Holdings Corp. | | | 17,200 | | | | 57,156 | | |
| Alps Electric Co., Ltd.*§ | | | 1,000 | | | | 8,555 | | |
| CMK Corp. | | | 40 | | | | 186 | | |
| Elematec Corp.§ | | | 1,100 | | | | 13,099 | | |
| Excel Co., Ltd. | | | 1,300 | | | | 14,846 | | |
| Fuji Electronics Co., Ltd. | | | 1,200 | | | | 12,656 | | |
| FUJIFILM Holdings Corp. | | | 5,892 | | | | 170,131 | | |
| Hakuto Co., Ltd. | | | 2,000 | | | | 17,781 | | |
| Hitachi, Ltd.*§ | | | 56,874 | | | | 206,409 | | |
See Accompanying Notes to Financial Statements.
24
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Electronic Equipment, Instruments & Components | |
| Hochiki Corp. | | | 3,000 | | | $ | 15,594 | | |
| Hosiden Corp.§ | | | 3,980 | | | | 42,052 | | |
| HOYA Corp.§ | | | 9,500 | | | | 201,966 | | |
| Ibiden Co., Ltd.§ | | | 897 | | | | 24,143 | | |
| Ikegami Tsushinki Co., Ltd.* | | | 8,166 | | | | 6,283 | | |
| ITC Networks Corp. | | | 5,937 | | | | 32,173 | | |
| JBCC Holdings, Inc. | | | 3,234 | | | | 18,548 | | |
| Kaga Electronics Co., Ltd. | | | 4,200 | | | | 42,036 | | |
| Kanematsu Electronics Ltd. | | | 2,700 | | | | 24,524 | | |
| Keyence Corp.§ | | | 182 | | | | 42,050 | | |
| Kyocera Corp. | | | 2,186 | | | | 176,821 | | |
| Mitachi Co., Ltd. | | | 500 | | | | 2,462 | | |
| Mitsumi Electric Co., Ltd. | | | 100 | | | | 1,695 | | |
| Murata Manufacturing Co., Ltd.§ | | | 2,218 | | | | 105,682 | | |
| Nippon Chemi-Con Corp.* | | | 2,000 | | | | 8,696 | | |
| Nippon Electric Glass Co., Ltd.§ | | | 6,000 | | | | 68,669 | | |
| Nohmi Bosai Ltd. | | | 4,000 | | | | 22,818 | | |
| Oki Electric Industry Co., Ltd.* | | | 23,152 | | | | 19,897 | | |
| Omron Corp.§ | | | 1,400 | | | | 30,493 | | |
| ONO Sokki Co., Ltd. | | | 6,000 | | | | 20,899 | | |
| Optex Co., Ltd. | | | 1,100 | | | | 11,462 | | |
| Osaki Electric Co., Ltd. | | | 1,000 | | | | 8,011 | | |
| Ryoyo Electro Corp. | | | 4,000 | | | | 40,920 | | |
| Sanshin Electronics Co., Ltd. | | | 3,000 | | | | 25,188 | | |
| Shimadzu Corp.§ | | | 1,825 | | | | 13,745 | | |
| Shinko Shoji Co., Ltd. | | | 2,296 | | | | 19,540 | | |
| Siix Corp.§ | | | 1,100 | | | | 12,183 | | |
| SMK Corp. | | | 516 | | | | 2,251 | | |
| Sumida Corp. | | | 725 | | | | 7,191 | | |
| Sun-Wa Technos Corp. | | | 800 | | | | 4,174 | | |
| Tachibana Eletech Co., Ltd. | | | 1,965 | | | | 14,174 | | |
| TDK Corp. | | | 1,882 | | | | 102,900 | | |
| Tomen Devices Corp. | | | 600 | | | | 10,472 | | |
| Tomen Electronics Corp. | | | 1,500 | | | | 16,193 | | |
| Yaskawa Electric Corp. | | | 1,000 | | | | 7,412 | | |
| | | | 1,704,136 | | |
| Energy Equipment & Services (0.0%) | |
| Modec, Inc. | | | 300 | | | | 4,122 | | |
| Shinko Plantech Co., Ltd. | | | 1,600 | | | | 14,155 | | |
| Toyo Kanetsu KK | | | 14,000 | | | | 21,221 | | |
| | | | 39,498 | | |
See Accompanying Notes to Financial Statements.
25
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Food & Staples Retailing (0.7%) | |
| Aeon Co., Ltd.§ | | | 9,798 | | | $ | 103,588 | | |
| Aeon Hokkaido Corp.* | | | 1,500 | | | | 4,580 | | |
| Belc Co., Ltd. | | | 2,200 | | | | 21,110 | | |
| Cawachi, Ltd. | | | 900 | | | | 16,858 | | |
| Cocokara fine Holdings, Inc. | | | 314 | | | | 5,646 | | |
| CVS Bay Area, Inc. | | | 1,000 | | | | 1,325 | | |
| Echo Trading Co., Ltd. | | | 1,234 | | | | 12,955 | | |
| Heiwado Co., Ltd. | | | 713 | | | | 8,652 | | |
| Itochu-Shokuhin Co., Ltd. | | | 1,154 | | | | 38,632 | | |
| Kasumi Co., Ltd. | | | 7,033 | | | | 35,746 | | |
| Kato Sangyo Co., Ltd. | | | 3,400 | | | | 52,832 | | |
| Kirindo Co., Ltd. | | | 3,154 | | | | 13,671 | | |
| Ministop Co., Ltd. | | | 800 | | | | 11,042 | | |
| Okuwa Co., Ltd. | | | 5,000 | | | | 50,710 | | |
| S Foods, Inc. | | | 1,000 | | | | 8,145 | | |
| Seven & I Holdings Co., Ltd. | | | 8,700 | | | | 199,159 | | |
| Sogo Medical Co., Ltd. | | | 500 | | | | 13,643 | | |
| Tohto Suisan Co., Ltd. | | | 305 | | | | 487 | | |
| Universe Co., Ltd. | | | 1,000 | | | | 13,833 | | |
| UNY Co., Ltd. | | | 6,000 | | | | 45,553 | | |
| Valor Co., Ltd. | | | 9,500 | | | | 73,296 | | |
| | | | 731,463 | | |
| Food Products (0.7%) | |
| Ajinomoto Co., Inc. | | | 10,089 | | | | 91,200 | | |
| Chubu Shiryo Co., Ltd | | | 2,333 | | | | 16,507 | | |
| J-Oil Mills, Inc. | | | 13,457 | | | | 39,839 | | |
| Kyodo Shiryo Co., Ltd. | | | 23,000 | | | | 25,282 | | |
| Kyokuyo Co., Ltd. | | | 13,000 | | | | 26,476 | | |
| Maruha Nichiro Holdings, Inc.§ | | | 28,000 | | | | 42,767 | | |
| MEIJI Holdings Co., Ltd. | | | 2,600 | | | | 106,283 | | |
| Mitsui Sugar Co., Ltd. | | | 468 | | | | 1,601 | | |
| Morinaga & Co., Ltd. | | | 13,428 | | | | 30,516 | | |
| Morinaga Milk Industry Co., Ltd. | | | 3,532 | | | | 13,653 | | |
| Nichimo Co., Ltd. | | | 5,000 | | | | 7,721 | | |
| Nichirei Corp. | | | 13,000 | | | | 54,581 | | |
| Nippon Flour Mills Co. Ltd. | | | 8,261 | | | | 41,149 | | |
| Nippon Meat Packers, Inc.§ | | | 2,000 | | | | 24,667 | | |
| Nippon Suisan Kaisha, Ltd. | | | 13,359 | | | | 42,944 | | |
| Nisshin Seifun Group, Inc.§ | | | 3,000 | | | | 33,845 | | |
| Prima Meat Packers, Ltd. | | | 27,882 | | | | 30,625 | | |
| Showa Sangyo Co., Ltd. | | | 13,000 | | | | 39,156 | | |
| Starzen Co., Ltd. | | | 8,000 | | | | 21,029 | | |
| The Nisshin Oillio Group, Ltd. | | | 1,000 | | | | 4,885 | | |
| Warabeya Nichiyo Co., Ltd. | | | 4,425 | | | | 54,236 | | |
| Yaizu Suisankagaku Industry Co., Ltd. | | | 21 | | | | 240 | | |
| Yonekyu Corp. | | | 6,136 | | | | 53,851 | | |
| | | | 803,053 | | |
See Accompanying Notes to Financial Statements.
26
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Gas Utilities (0.2%) | |
| Osaka Gas Co., Ltd. | | | 21,000 | | | $ | 75,682 | | |
| Toho Gas Co., Ltd. | | | 3,000 | | | | 15,989 | | |
| Tokai Corp. | | | 334 | | | | 1,506 | | |
| Tokyo Gas Co., Ltd.§ | | | 25,000 | | | | 114,032 | | |
| | | | 207,209 | | |
| Health Care Equipment & Supplies (0.2%) | |
| Aloka Co., Ltd. | | | 1,210 | | | | 9,291 | | |
| Nihon Kohden Corp. | | | 100 | | | | 1,856 | | |
| Nikkiso Co., Ltd. | | | 2,000 | | | | 15,899 | | |
| Nipro Corp.§ | | | 4,000 | | | | 76,164 | | |
| Olympus Corp.§ | | | 2,822 | | | | 66,794 | | |
| Terumo Corp. | | | 1,100 | | | | 52,634 | | |
| | | | 222,638 | | |
| Health Care Providers & Services (0.1%) | |
| Alfresa Holdings Corp.§ | | | 798 | | | | 38,536 | | |
| As One Corp. | | | 733 | | | | 12,544 | | |
| Iwaki & Co., Ltd. | | | 500 | | | | 1,161 | | |
| Mediceo Paltac Holdings Co., Ltd. | | | 5,224 | | | | 61,994 | | |
| Ship Healthcare Holdings, Inc. | | | 27 | | | | 19,180 | | |
| Suzuken Co., Ltd. | | | 100 | | | | 3,344 | | |
| Toho Holdings Co., Ltd. | | | 129 | | | | 2,043 | | |
| Yamashita Medical Instruments Co., Ltd. | | | 100 | | | | 1,313 | | |
| | | | 140,115 | | |
| Hotels, Restaurants & Leisure (0.2%) | |
| Central Sports Co., Ltd. | | | 400 | | | | 3,906 | | |
| HIS Co., Ltd.§ | | | 600 | | | | 12,014 | | |
| Hurxley Corp. | | | 1,850 | | | | 12,345 | | |
| Kyoritsu Maintenance Co., Ltd. | | | 2,193 | | | | 29,526 | | |
| McDonald's Holdings Co. Japan, Ltd.§ | | | 760 | | | | 17,004 | | |
| Pacific Golf Group International Holdings KK | | | 54 | | | | 32,937 | | |
| Resort Solution Co., Ltd. | | | 4,000 | | | | 7,331 | | |
| Resorttrust, Inc. | | | 591 | | | | 8,319 | | |
| Round One Corp.§ | | | 1,315 | | | | 7,224 | | |
| Tokyo Dome Corp. | | | 13,796 | | | | 35,658 | | |
| | | | 166,264 | | |
| Household Durables (1.0%) | |
| Casio Computer Co., Ltd.§ | | | 8,242 | | | | 49,461 | | |
| Corona Corp. | | | 720 | | | | 6,628 | | |
| Foster Electric Co., Ltd. | | | 11 | | | | 284 | | |
| Fuji Corp. | | | 3,600 | | | | 12,199 | | |
| Hitachi Koki Co., Ltd.§ | | | 10,090 | | | | 85,853 | | |
| Hoosiers Corp.* | | | 64 | | | | 11,048 | | |
| Mitsui Home Co., Ltd. | | | 3,000 | | | | 14,349 | | |
See Accompanying Notes to Financial Statements.
27
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Household Durables | |
| Nihon Eslead Corp. | | | 500 | | | $ | 3,676 | | |
| Panasonic Corp. | | | 24,480 | | | | 305,419 | | |
| Pioneer Corp.*§ | | | 1,700 | | | | 5,645 | | |
| Sanyo Housing Nagoya Co., Ltd. | | | 22 | | | | 20,033 | | |
| Sekisui Chemical Co., Ltd. | | | 1,000 | | | | 6,233 | | |
| Sekisui House, Ltd. | | | 5,000 | | | | 42,726 | | |
| Sharp Corp. | | | 12,983 | | | | 136,837 | | |
| Sony Corp.§ | | | 12,638 | | | | 336,808 | | |
| Sumitomo Forestry Co., Ltd. | | | 2,500 | | | | 19,944 | | |
| Tact Home Co., Ltd. | | | 9 | | | | 7,625 | | |
| Toa Corp. | | | 1,000 | | | | 5,274 | | |
| Token Corp. | | | 690 | | | | 18,815 | | |
| | | | 1,088,857 | | |
| Independent Power Producers & Energy Traders (0.1%) | |
| Electric Power Development Co., Ltd. | | | 2,000 | | | | 63,383 | | |
| Insurance (0.6%) | |
| Mitsui Sumitomo Insurance Group Holdings, Inc. | | | 5,981 | | | | 127,905 | | |
| NKSJ Holdings, Inc.*§ | | | 15,273 | | | | 91,303 | | |
| Sony Financial Holdings, Inc. | | | 3 | | | | 9,999 | | |
| T&D Holdings, Inc. | | | 2,839 | | | | 60,653 | | |
| The Dai-ichi Life Insurance Co., Ltd | | | 82 | | | | 113,608 | | |
| Tokio Marine Holdings, Inc. | | | 8,648 | | | | 227,162 | | |
| | | | 630,630 | | |
| Internet & Catalog Retail (0.1%) | |
| ASKUL Corp.§ | | | 112 | | | | 1,894 | | |
| Belluna Co., Ltd. | | | 396 | | | | 1,867 | | |
| Dena Co., Ltd. | | | 900 | | | | 23,744 | | |
| Felissimo Corp. | | | 200 | | | | 2,894 | | |
| Image Holdings Co., Ltd.*§ | | | 2,818 | | | | 8,796 | | |
| Nissen Holdings Co., Ltd. | | | 3,397 | | | | 11,465 | | |
| Rakuten, Inc. | | | 56 | | | | 40,427 | | |
| Scroll Corp.§ | | | 2,883 | | | | 10,561 | | |
| Senshukai Co., Ltd. | | | 1,825 | | | | 9,950 | | |
| | | | 111,598 | | |
| Internet Software & Services (0.1%) | |
| Asahi Net, Inc. | | | 2,000 | | | | 6,242 | | |
| eAccess, Ltd.§ | | | 12 | | | | 8,167 | | |
| Faith, Inc. | | | 41 | | | | 3,524 | | |
| So-net Entertainment Corp. | | | 4 | | | | 9,554 | | |
| Yahoo! Japan Corp.§ | | | 160 | | | | 63,718 | | |
| | | | 91,205 | | |
See Accompanying Notes to Financial Statements.
28
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| IT Services (0.1%) | |
| Argo Graphics, Inc. | | | 800 | | | $ | 8,680 | | |
| CAC Corp. | | | 5,700 | | | | 40,874 | | |
| Future Architect, Inc. | | | 9 | | | | 3,074 | | |
| I-Net Corp. | | | 1,000 | | | | 5,265 | | |
| IT Holdings Corp. | | | 1 | | | | 12 | | |
| JBIS Holdings, Inc. | | | 2,368 | | | | 9,713 | | |
| NTT Data Corp. | | | 12 | | | | 44,257 | | |
| Obic Co., Ltd. | | | 40 | | | | 7,715 | | |
| Panasonic Electric Works Information systems Co., Ltd. | | | 400 | | | | 9,070 | | |
| TDC Software Engineering, Inc. | | | 200 | | | | 1,674 | | |
| TKC | | | 1,564 | | | | 27,471 | | |
| | | | 157,805 | | |
| Leisure Equipment & Products (0.5%) | |
| Daikoku Denki Co., Ltd. | | | 1,100 | | | | 14,746 | | |
| GLOBERIDE, Inc. | | | 16,666 | | | | 17,945 | | |
| Heiwa Corp.§ | | | 5,681 | | | | 61,143 | | |
| Kimoto Co., Ltd. | | | 1,500 | | | | 7,858 | | |
| Mizuno Corp. | | | 8,607 | | | | 38,152 | | |
| Namco Bandai Holdings, Inc. | | | 1,200 | | | | 10,543 | | |
| Nikon Corp. | | | 2,885 | | | | 49,677 | | |
| Noritsu Koki Co., Ltd. | | | 444 | | | | 3,350 | | |
| Roland Corp. | | | 600 | | | | 7,137 | | |
| Sankyo Co., Ltd. | | | 1,154 | | | | 52,118 | | |
| Sega Sammy Holdings, Inc.§ | | | 300 | | | | 4,306 | | |
| Shimano, Inc.§ | | | 546 | | | | 23,407 | | |
| SK Japan Co., Ltd. | | | 2,860 | | | | 8,744 | | |
| SRI Sports Ltd. | | | 45 | | | | 45,138 | | |
| Tamron Co., Ltd. | | | 23 | | | | 327 | | |
| Tomy Co., Ltd.§ | | | 7,712 | | | | 58,608 | | |
| Yamaha Corp. | | | 7,976 | | | | 81,374 | | |
| | | | 484,573 | | |
| Life Sciences Tools & Services (0.0%) | |
| CMIC Co., Ltd. | | | 3 | | | | 798 | | |
| Machinery (1.4%) | |
| Amada Co., Ltd. | | | 8,279 | | | | 54,374 | | |
| Amano Corp.§ | | | 1,700 | | | | 13,636 | | |
| Bando Chemical Industries Ltd. | | | 8,857 | | | | 28,024 | | |
| CKD Corp.§ | | | 600 | | | | 4,469 | | |
| Daido Kogyo Co., Ltd. | | | 4,000 | | | | 6,832 | | |
| Daifuku Co., Ltd. | | | 6,500 | | | | 39,861 | | |
| Ebara Corp.*§ | | | 8,000 | | | | 33,973 | | |
| Fanuc, Ltd. | | | 2,058 | | | | 232,198 | | |
| Fukushima Industries Corp. | | | 300 | | | | 2,358 | | |
| Hitachi Construction Machinery Co., Ltd.§ | | | 300 | | | | 5,519 | | |
See Accompanying Notes to Financial Statements.
29
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Machinery | |
| Hitachi Zosen Corp.§ | | | 8,658 | | | $ | 11,621 | | |
| Hosokawa Micron Corp. | | | 2,250 | | | | 8,109 | | |
| IHI Corp. | | | 17,000 | | | | 27,030 | | |
| JTEKT Corp. | | | 3,692 | | | | 34,115 | | |
| Kato Works Co., Ltd. | | | 12,067 | | | | 23,345 | | |
| Kawasaki Heavy Industries, Ltd.§ | | | 7,000 | | | | 16,958 | | |
| Kito Corp.§ | | | 6 | | | | 6,361 | | |
| Komatsu, Ltd.§ | | | 8,248 | | | | 148,389 | | |
| Kubota Corp. | | | 8,000 | | | | 61,310 | | |
| Kyokuto Kaihatsu Kogyo Co., Ltd. | | | 4,914 | | | | 16,274 | | |
| Maezawa Kyuso Industries Co., Ltd. | | | 632 | | | | 7,609 | | |
| Makita Corp.§ | | | 3,189 | | | | 85,265 | | |
| Max Co., Ltd. | | | 2,000 | | | | 22,451 | | |
| Minebea Co., Ltd. | | | 6,878 | | | | 38,069 | | |
| Mitsubishi Heavy Industries, Ltd.§ | | | 26,000 | | | | 89,617 | | |
| Mitsubishi Kakoki Kaisha Ltd. | | | 2,538 | | | | 5,212 | | |
| Mitsuboshi Belting Co., Ltd. | | | 4,000 | | | | 17,427 | | |
| Mitsui Engineering & Shipbuilding Co., Ltd.§ | | | 26,072 | | | | 52,615 | | |
| Mori Seiki Co., Ltd.§ | | | 1,500 | | | | 15,078 | | |
| NGK Insulators, Ltd. | | | 1,009 | | | | 15,702 | | |
| Nippon Yusoki Co., Ltd. | | | 3,666 | | | | 8,695 | | |
| NSK, Ltd.§ | | | 2,580 | | | | 17,903 | | |
| NTN Corp. | | | 10,796 | | | | 44,158 | | |
| O-M Ltd. | | | 8,000 | | | | 23,237 | | |
| Obara Corp. | | | 539 | | | | 6,172 | | |
| Oiles Corp. | | | 1,300 | | | | 19,194 | | |
| Pegasus Sewing Machine Manufacturing Co., Ltd.* | | | 870 | | | | 2,568 | | |
| Ryobi, Ltd.* | | | 1,000 | | | | 3,366 | | |
| Sasebo Heavy Industries Co., Ltd. | | | 35,857 | | | | 66,566 | | |
| Shinmaywa Industries, Ltd. | | | 1,000 | | | | 3,650 | | |
| SMC Corp.§ | | | 293 | | | | 39,162 | | |
| Sumitomo Heavy Industries, Ltd. | | | 8,908 | | | | 52,224 | | |
| Tadano Ltd. | | | 1,286 | | | | 6,293 | | |
| The Japan Steel Works, Ltd. | | | 1,000 | | | | 8,782 | | |
| THK Co., Ltd.§ | | | 389 | | | | 8,041 | | |
| TOKYO KEIKI, Inc. | | | 8,058 | | | | 10,720 | | |
| Tokyo Kikai Seisakusho, Ltd. | | | 6,000 | | | | 7,119 | | |
| Tsudakoma Corp.* | | | 345 | | | | 555 | | |
| Tsurumi Manufacturing Co., Ltd. | | | 1,000 | | | | 6,667 | | |
| | | | 1,458,873 | | |
| Marine (0.3%) | |
| Azuma Shipping Co., Ltd. | | | 1,300 | | | | 2,883 | | |
| Iino Kaiun Kaisha Ltd.§ | | | 2,400 | | | | 12,043 | | |
| Inui Steamship Co., Ltd. | | | 800 | | | | 4,967 | | |
| Japan Transcity Corp. | | | 5,500 | | | | 16,556 | | |
See Accompanying Notes to Financial Statements.
30
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Marine | |
| Kawasaki Kisen Kaisha, Ltd.*§ | | | 10,000 | | | $ | 40,629 | | |
| Mitsui OSK Lines, Ltd. | | | 17,000 | | | | 112,303 | | |
| Nippon Yusen KK | | | 27,706 | | | | 100,883 | | |
| Shinwa Kaiun Kaisha Ltd.§ | | | 3,840 | | | | 9,943 | | |
| | | | 300,207 | | |
| Media (0.2%) | |
| Amuse, Inc. | | | 800 | | | | 8,343 | | |
| Avex Group Holdings, Inc. | | | 2,459 | | | | 30,702 | | |
| Dentsu, Inc.§ | | | 1,800 | | | | 47,499 | | |
| Fuji Media Holdings, Inc. | | | 4 | | | | 5,738 | | |
| Horipro, Inc. | | | 1,635 | | | | 12,427 | | |
| Jupiter Telecommunications Co., Ltd. | | | 29 | | | | 27,741 | | |
| SKY Perfect JSAT Holdings, Inc.§ | | | 120 | | | | 42,856 | | |
| Toei Co., Ltd. | | | 250 | | | | 1,093 | | |
| Tow Co., Ltd. | | | 2,666 | | | | 14,571 | | |
| TV Asahi Corp. | | | 5 | | | | 7,222 | | |
| Zenrin Co., Ltd.§ | | | 2,100 | | | | 22,739 | | |
| | | | 220,931 | | |
| Metals & Mining (0.7%) | |
| Araya Industrial Co., Ltd. | | | 6,000 | | | | 8,317 | | |
| Dowa Holdings Co., Ltd.§ | | | 4,000 | | | | 19,148 | | |
| JFE Holdings, Inc. | | | 6,000 | | | | 185,465 | | |
| Kobe Steel, Ltd. | | | 16,621 | | | | 31,634 | | |
| Maruichi Steel Tube, Ltd. | | | 500 | | | | 9,556 | | |
| Mitsubishi Materials Corp.*§ | | | 10,262 | | | | 27,254 | | |
| Mitsubishi Steel Manufacturing Co., Ltd. | | | 500 | | | | 978 | | |
| Mitsui Mining & Smelting Co., Ltd.§ | | | 8,000 | | | | 21,094 | | |
| Mory Industries, Inc. | | | 500 | | | | 1,801 | | |
| Nakayama Steel Works, Ltd.* | | | 849 | | | | 1,403 | | |
| Nichia Steel Works Ltd. | | | 9,000 | | | | 20,520 | | |
| Nippon Steel Corp. | | | 60,977 | | | | 201,385 | | |
| Nittetsu Mining Co., Ltd. | | | 799 | | | | 2,711 | | |
| Pacific Metals Co., Ltd.§ | | | 4,000 | | | | 26,792 | | |
| Sumitomo Metal Industries, Ltd.§ | | | 37,263 | | | | 84,182 | | |
| Sumitomo Metal Mining Co., Ltd. | | | 8,000 | | | | 99,716 | | |
| Toho Zinc Co., Ltd.§ | | | 8,000 | | | | 27,970 | | |
| Tokyo Tekko Co., Ltd. | | | 9,039 | | | | 20,726 | | |
| Topy Industries, Ltd. | | | 1,905 | | | | 3,905 | | |
| Yamato Kogyo Co., Ltd. | | | 300 | | | | 7,471 | | |
| | | | 802,028 | | |
| Multiline Retail (0.0%) | |
| Isetan Mitsukoshi Holdings, Ltd. | | | 58 | | | | 565 | | |
| J Front Retailing Co., Ltd. | | | 5,000 | | | | 24,044 | | |
| Mr Max Corp. | | | 33 | | | | 144 | | |
| | | | 24,753 | | |
See Accompanying Notes to Financial Statements.
31
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Office Electronics (0.8%) | |
| Brother Industries, Ltd.§ | | | 5,700 | | | $ | 59,123 | | |
| Canon, Inc.§ | | | 15,114 | | | | 562,813 | | |
| Konica Minolta Holdings, Inc. | | | 6,673 | | | | 64,142 | | |
| Ricoh Co., Ltd.§ | | | 12,985 | | | | 165,438 | | |
| Riso Kagaku Corp. | | | 1,106 | | | | 11,239 | | |
| Toshiba TEC Corp. | | | 5,000 | | | | 16,134 | | |
| | | | 878,889 | | |
| Oil, Gas & Consumable Fuels (0.3%) | |
| AOC Holdings, Inc.* | | | 1,751 | | | | 8,807 | | |
| Cosmo Oil Co., Ltd.§ | | | 11,802 | | | | 28,157 | | |
| INPEX Corp.§ | | | 10 | | | | 55,418 | | |
| Itochu Enex Co., Ltd. | | | 10,583 | | | | 54,380 | | |
| JX Holdings, Inc.* | | | 23,700 | | | | 117,040 | | |
| Sala Corp. | | | 333 | | | | 2,080 | | |
| San-Ai Oil Co., Ltd. | | | 3,600 | | | | 13,541 | | |
| Showa Shell Sekiyu KK§ | | | 6,200 | | | | 42,713 | | |
| | | | 322,136 | | |
| Paper & Forest Products (0.0%) | |
| Chuetsu Pulp & Paper Co., Ltd. | | | 7,000 | | | | 13,233 | | |
| Mitsubishi Paper Mills, Ltd.* | | | 839 | | | | 968 | | |
| Nakabayashi Co., Ltd. | | | 3,428 | | | | 7,009 | | |
| Nippon Paper Group, Inc. | | | 200 | | | | 5,531 | | |
| OJI Paper Co., Ltd.§ | | | 5,034 | | | | 24,660 | | |
| | | | 51,401 | | |
| Personal Products (0.2%) | |
| Kao Corp. | | | 6,000 | | | | 141,053 | | |
| Shiseido Co., Ltd.§ | | | 2,000 | | | | 44,045 | | |
| | | | 185,098 | | |
| Pharmaceuticals (1.4%) | |
| ASKA Pharmaceutical Co., Ltd. | | | 3,500 | | | | 24,425 | | |
| Astellas Pharma, Inc. | | | 9,100 | | | | 304,643 | | |
| Daiichi Sankyo Co., Ltd. | | | 7,591 | | | | 135,505 | | |
| Dainippon Sumitomo Pharma Co., Ltd.§ | | | 200 | | | | 1,530 | | |
| Eisai Co., Ltd.§ | | | 5,900 | | | | 195,601 | | |
| Kaken Pharmaceutical Co., Ltd. | | | 11,000 | | | | 109,190 | | |
| Kyorin Co., Ltd. | | | 2,000 | | | | 28,867 | | |
| Mitsubishi Tanabe Pharma Corp. | | | 1,000 | | | | 15,223 | | |
| Mochida Pharmaceutical Co., Ltd. | | | 2,000 | | | | 19,049 | | |
| Ono Pharmaceutical Co., Ltd.§ | | | 3,100 | | | | 125,561 | | |
| Shionogi & Co., Ltd. | | | 100 | | | | 2,071 | | |
| Takeda Pharmaceutical Co., Ltd. | | | 11,800 | | | | 506,412 | | |
| | | | 1,468,077 | | |
See Accompanying Notes to Financial Statements.
32
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Professional Services (0.0%) | |
| Arrk Corp.* | | | 5 | | | $ | 5 | | |
| Gakujo Co., Ltd. | | | 300 | | | | 1,039 | | |
| J-COM Holdings Co., Ltd. | | | 2 | | | | 1,932 | | |
| Link & Motivation, Inc. | | | 10 | | | | 4,732 | | |
| Nomura Co., Ltd. | | | 1,000 | | | | 3,395 | | |
| Pasona Group, Inc.* | | | 23 | | | | 14,841 | | |
| | | | 25,944 | | |
| Real Estate Investment Trusts (0.3%) | |
| Japan Prime Realty Investment Corp.§ | | | 16 | | | | 33,675 | | |
| Japan Real Estate Investment Corp.§ | | | 9 | | | | 73,248 | | |
| Japan Retail Fund Investment Corp. | | | 34 | | | | 41,375 | | |
| Nippon Building Fund, Inc.§ | | | 3 | | | | 23,783 | | |
| Nomura Real Estate Office Fund, Inc. | | | 21 | | | | 104,456 | | |
| | | | 276,537 | | |
| Real Estate Management & Development (0.6%) | |
| Airport Facilities Co., Ltd. | | | 7,200 | | | | 25,146 | | |
| Daito Trust Construction Co., Ltd. | | | 1,393 | | | | 78,817 | | |
| Daiwa House Industry Co., Ltd. | | | 2,814 | | | | 25,294 | | |
| Daiwasystem Co., Ltd.* | | | 2,400 | | | | 2,570 | | |
| Heiwa Real Estate Co., Ltd. | | | 13,000 | | | | 29,336 | | |
| Kenedix, Inc.* | | | 43 | | | | 7,076 | | |
| Leopalace21 Corp.*§ | | | 2,350 | | | | 7,306 | | |
| Mitsubishi Estate Co., Ltd. | | | 12,559 | | | | 174,694 | | |
| Mitsui Fudosan Co., Ltd. | | | 7,910 | | | | 110,002 | | |
| Sumitomo Realty & Development Co., Ltd.§ | | | 2,863 | | | | 48,606 | | |
| Suncity Co., Ltd.* | | | 123 | | | | 4,633 | | |
| TOC Co., Ltd. | | | 2,972 | | | | 11,829 | | |
| Tokyo Tatemono Co., Ltd.§ | | | 6,000 | | | | 18,474 | | |
| Tokyu Land Corp.§ | | | 18,811 | | | | 65,701 | | |
| | | | 609,484 | | |
| Road & Rail (0.7%) | |
| Central Japan Railway Co. | | | 16 | | | | 131,998 | | |
| East Japan Railway Co. | | | 3,500 | | | | 232,852 | | |
| ICHINEN HOLDINGS Co., Ltd. | | | 6,050 | | | | 25,455 | | |
| Kintetsu Corp.§ | | | 5,000 | | | | 15,244 | | |
| KRS Corp. | | | 960 | | | | 9,151 | | |
| Maruwn Corp. | | | 2,300 | | | | 5,616 | | |
| Nippon Express Co., Ltd. | | | 16,000 | | | | 72,036 | | |
| Senko Co., Ltd.§ | | | 2,800 | | | | 8,572 | | |
| Tokyu Corp. | | | 13,000 | | | | 52,868 | | |
| Tonami Holdings Co., Ltd. | | | 6,332 | | | | 12,585 | | |
| Utoc Corp. | | | 1,900 | | | | 4,965 | | |
| West Japan Railway Co. | | | 39 | | | | 142,497 | | |
| | | | 713,839 | | |
See Accompanying Notes to Financial Statements.
33
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Semiconductors & Semiconductor Equipment (0.3%) | |
| Dainippon Screen Manufacturing Co., Ltd.*§ | | | 2,000 | | | $ | 9,088 | | |
| Elpida Memory, Inc.*§ | | | 1,900 | | | | 29,166 | | |
| Japan Electronic Materials Corp. | | | 666 | | | | 4,359 | | |
| Mimasu Semiconductor Industry Co., Ltd. | | | 2,900 | | | | 33,793 | | |
| NEC Electronics Corp.* | | | 42 | | | | 360 | | |
| Rohm Co., Ltd. | | | 900 | | | | 53,999 | | |
| Shinko Electric Industries Co., Ltd.§ | | | 1,000 | | | | 12,984 | | |
| Sumco Corp.*§ | | | 700 | | | | 11,592 | | |
| Tokyo Electron, Ltd. | | | 2,166 | | | | 116,577 | | |
| | | | 271,918 | | |
| Software (0.5%) | |
| Computer Engineering & Consulting Ltd. | | | 1,900 | | | | 9,499 | | |
| Computer Institute of Japan, Ltd. | | | 2,504 | | | | 8,043 | | |
| DTS Corp. | | | 900 | | | | 10,964 | | |
| Jastec Co., Ltd. | | | 1,088 | | | | 6,345 | | |
| Konami Corp. | | | 2,523 | | | | 38,879 | | |
| Nintendo Co., Ltd. | | | 1,200 | | | | 352,032 | | |
| SRA Holdings | | | 2,884 | | | | 25,933 | | |
| Tose Co., Ltd. | | | 400 | | | | 2,697 | | |
| Trend Micro, Inc. | | | 1,500 | | | | 40,503 | | |
| | | | 494,895 | | |
| Specialty Retail (0.5%) | |
| Alpen Co., Ltd. | | | 941 | | | | 14,803 | | |
| AOKI Holdings, Inc. | | | 800 | | | | 12,360 | | |
| Aoyama Trading Co., Ltd. | | | 1,118 | | | | 19,961 | | |
| Arc Land Sakamoto Co., Ltd. | | | 752 | | | | 10,928 | | |
| Best Denki Co., Ltd.* | | | 225 | | | | 612 | | |
| BIC CAMERA, Inc. | | | 176 | | | | 67,503 | | |
| Chiyoda Co., Ltd. | | | 1,504 | | | | 17,948 | | |
| DCM Holdings Co., Ltd.§ | | | 9,300 | | | | 50,872 | | |
| EDION Corp. | | | 1,900 | | | | 14,436 | | |
| Fast Retailing Co., Ltd. | | | 472 | | | | 71,360 | | |
| G-7 Holdings, Inc. | | | 300 | | | | 1,749 | | |
| Geo Corp. | | | 12 | | | | 14,546 | | |
| Hard Off Corp. Co., Ltd. | | | 5,315 | | | | 23,167 | | |
| Hikari Tsushin, Inc.§ | | | 1,287 | | | | 23,005 | | |
| Jeans Mate Corp. | | | 1,600 | | | | 5,083 | | |
| Keiyo Co., Ltd.§ | | | 6,073 | | | | 29,700 | | |
| Kohnan Shoji Co., Ltd.§ | | | 2,993 | | | | 30,549 | | |
| Konaka Co., Ltd. | | | 1,215 | | | | 3,723 | | |
| Right On Co., Ltd.§ | | | 3,307 | | | | 21,801 | | |
| Sagami Co., Ltd.* | | | 2,000 | | | | 3,040 | | |
| Shimachu Co., Ltd. | | | 300 | | | | 5,455 | | |
| T-Gaia Corp. | | | 17 | | | | 27,510 | | |
See Accompanying Notes to Financial Statements.
34
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Specialty Retail | |
| Taka-Q Ltd. | | | 4,000 | | | $ | 6,368 | | |
| Top Culture Co., Ltd. | | | 1,433 | | | | 5,652 | | |
| Warehouse Co., Ltd.§ | | | 1,733 | | | | 7,177 | | |
| Yamada Denki Co., Ltd.§ | | | 878 | | | | 57,320 | | |
| | | | 546,628 | | |
| Textiles, Apparel & Luxury Goods (0.3%) | |
| Atsugi Co., Ltd.§ | | | 40,926 | | | | 48,591 | | |
| Daidoh Ltd. | | | 1,036 | | | | 8,329 | | |
| Gunze, Ltd. | | | 4,000 | | | | 12,527 | | |
| Komatsu Seiren Co., Ltd. | | | 1,000 | | | | 3,727 | | |
| Kurabo Industries, Ltd. | | | 9,418 | | | | 14,438 | | |
| Kyowa Leather Cloth Co., Ltd. | | | 166 | | | | 616 | | |
| Nisshinbo Holdings, Inc. | | | 6,969 | | | | 66,745 | | |
| Renown, Inc.* | | | 34 | | | | 107 | | |
| Sanei-International Co., Ltd. | | | 29 | | | | 335 | | |
| Sanyo Shokai Ltd.§ | | | 8,485 | | | | 31,127 | | |
| Seiko Holdings Corp.* | | | 807 | | | | 2,856 | | |
| Seiren Co., Ltd. | | | 5,867 | | | | 30,839 | | |
| Tasaki Shinju Co., Ltd.* | | | 7,679 | | | | 7,665 | | |
| The Japan Wool Textile Co., Ltd. | | | 3,000 | | | | 20,274 | | |
| Toyobo Co., Ltd. | | | 10,000 | | | | 16,675 | | |
| Unitika, Ltd.* | | | 656 | | | | 550 | | |
| Yamato International, Inc. | | | 1,600 | | | | 6,013 | | |
| | | | 271,414 | | |
| Thrifts & Mortgage Finance (0.0%) | |
| Asax Co., Ltd. | | | 7 | | | | 7,665 | | |
| Tobacco (0.2%) | |
| Japan Tobacco, Inc. | | | 57 | | | | 177,182 | | |
| Trading Companies & Distributors (1.5%) | |
| Daiichi Jitsugyo Co., Ltd.§ | | | 3,334 | | | | 10,336 | | |
| Emori & Co., Ltd. | | | 400 | | | | 3,372 | | |
| Furusato Industries Ltd. | | | 1,416 | | | | 8,063 | | |
| Gecoss Corp. | | | 1,200 | | | | 4,427 | | |
| Hanwa Co., Ltd.§ | | | 9,000 | | | | 35,698 | | |
| Inaba Denki Sangyo Co., Ltd | | | 3,713 | | | | 86,770 | | |
| Inabata & Co., Ltd. | | | 566 | | | | 2,554 | | |
| ITOCHU Corp. | | | 20,621 | | | | 161,067 | | |
| Iwatani Corp. | | | 6,000 | | | | 16,530 | | |
| Jalux, Inc.* | | | 1,900 | | | | 13,279 | | |
| Japan Pulp & Paper Co., Ltd.§ | | | 6,273 | | | | 21,490 | | |
| JFE Shoji Holdings, Inc. | | | 3,000 | | | | 11,692 | | |
| JK Holdings Co., Ltd. | | | 1,400 | | | | 4,722 | | |
| Kamei Corp. | | | 5,000 | | | | 22,540 | | |
See Accompanying Notes to Financial Statements.
35
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Trading Companies & Distributors | |
| Kanaden Corp. | | | 1,000 | | | $ | 5,012 | | |
| Kanamoto Co., Ltd. | | | 125 | | | | 583 | | |
| Kanematsu Corp.* | | | 9,000 | | | | 7,124 | | |
| Kuroda Electric Co., Ltd. | | | 1,337 | | | | 17,356 | | |
| Kyokuto Boeki Kaisha, Ltd. | | | 4,666 | | | | 6,877 | | |
| Marubeni Corp.§ | | | 32,827 | | | | 168,142 | | |
| Maruka Machinery Co., Ltd. | | | 700 | | | | 4,844 | | |
| Mitsubishi Corp. | | | 14,315 | | | | 295,904 | | |
| Mitsui & Co., Ltd.§ | | | 23,183 | | | | 270,218 | | |
| NEC Capital Solutions Ltd. | | | 3,655 | | | | 43,078 | | |
| Onoken Co., Ltd. | | | 3,200 | | | | 27,938 | | |
| Sato Shoji Corp. | | | 1,500 | | | | 8,633 | | |
| Seika Corp. | | | 10,759 | | | | 22,317 | | |
| Shinwa Co., Ltd. | | | 800 | | | | 9,068 | | |
| Sojitz Corp.§ | | | 13,581 | | | | 21,207 | | |
| Sumikin Bussan Corp. | | | 18,000 | | | | 38,552 | | |
| Sumitomo Corp.§ | | | 16,579 | | | | 165,434 | | |
| Tanaka Co., Ltd | | | 800 | | | | 3,085 | | |
| Tokyo Sangyo Co., Ltd. | | | 2,500 | | | | 6,834 | | |
| Toyota Tsusho Corp.§ | | | 6,600 | | | | 93,994 | | |
| Tsubakimoto Kogyo Co., Ltd. | | | 4,000 | | | | 9,596 | | |
| Yuasa Trading Co., Ltd.* | | | 17,255 | | | | 15,964 | | |
| | | | 1,644,300 | | |
| Transportation Infrastructure (0.1%) | |
| Nissin Corp. | | | 14,500 | | | | 32,796 | | |
| The Sumitomo Warehouse Co., Ltd. | | | 2,400 | | | | 11,151 | | |
| The Yasuda Warehouse Co., Ltd. | | | 3,000 | | | | 17,693 | | |
| | | | 61,640 | | |
| Wireless Telecommunication Services (0.6%) | |
| KDDI Corp. | | | 45 | | | | 214,319 | | |
| NTT DoCoMo, Inc. | | | 150 | | | | 226,951 | | |
| Softbank Corp. | | | 7,700 | | | | 204,056 | | |
| | | | 645,326 | | |
| TOTAL JAPAN | | | 30,532,761 | | |
| Luxembourg (0.0%) | |
| Energy Equipment & Services (0.0%) | |
| Tenaris SA | | | 1,928 | | | | 33,310 | | |
| TOTAL LUXEMBOURG | | | 33,310 | | |
| Netherlands (4.8%) | |
| Beverages (0.5%) | |
| Heineken Holding NV | | | 14,493 | | | | 530,349 | | |
| Heineken NV§ | | | 922 | | | | 39,146 | | |
| | | | 569,495 | | |
See Accompanying Notes to Financial Statements.
36
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Netherlands | |
| Chemicals (0.2%) | |
| Koninklijke DSM NV | | | 4,558 | | | $ | 181,493 | | |
| Construction & Engineering (0.4%) | |
| Imtech NV | | | 18,376 | | | | 473,763 | | |
| Construction Materials (0.0%) | |
| James Hardie Industries NV* | | | 3,734 | | | | 19,403 | | |
| Diversified Financial Services (0.0%) | |
| ING Groep NV* | | | 3,572 | | | | 26,479 | | |
| SNS Reaal* | | | 1,973 | | | | 8,518 | | |
| | | | 34,997 | | |
| Diversified Telecommunication Services (0.1%) | |
| Koninklijke KPN NV | | | 4,042 | | | | 51,608 | | |
| Food & Staples Retailing (0.6%) | |
| Koninklijke Ahold NV | | | 49,253 | | | | 610,275 | | |
| Food Products (1.5%) | |
| CSM | | | 3,361 | | | | 99,984 | | |
| Nutreco Holding NV | | | 9,775 | | | | 525,774 | | |
| Unilever NV§ | | | 36,926 | | | | 1,010,111 | | |
| | | | 1,635,869 | | |
| Industrial Conglomerates (0.8%) | |
| Koninklijke Philips Electronics NV§ | | | 28,713 | | | | 858,867 | | |
| Insurance (0.2%) | |
| Aegon NV* | | | 38,582 | | | | 205,284 | | |
| Semiconductors & Semiconductor Equipment (0.5%) | |
| ASML Holding NV | | | 19,093 | | | | 526,318 | | |
| TOTAL NETHERLANDS | | | 5,167,372 | | |
| Norway (0.5%) | |
| Energy Equipment & Services (0.4%) | |
| Aker Solutions ASA§ | | | 36,963 | | | | 422,926 | | |
| Metals & Mining (0.1%) | |
| Norsk Hydro ASA§ | | | 32,219 | | | | 145,599 | | |
| Oil, Gas & Consumable Fuels (0.0%) | |
| StatoilHydro ASA | | | 25 | | | | 482 | | |
| Semiconductors & Semiconductor Equipment (0.0%) | |
| Renewable Energy Corp. AS*§ | | | 7 | | | | 16 | | |
| TOTAL NORWAY | | | 569,023 | | |
| Portugal (0.6%) | |
| Commercial Banks (0.0%) | |
| Banco BPI SA | | | 2,123 | | | | 3,958 | | |
See Accompanying Notes to Financial Statements.
37
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Portugal | |
| Electric Utilities (0.5%) | |
| EDP - Energias de Portugal SA | | | 184,445 | | | $ | 549,836 | | |
| Food & Staples Retailing (0.1%) | |
| Jeronimo Martins SGPS SA | | | 13,495 | | | | 123,851 | | |
| Multi-Utilities (0.0%) | |
| REN - Redes Energeticas Nacionais SA | | | 488 | | | | 1,585 | | |
| TOTAL PORTUGAL | | | 679,230 | | |
| Singapore (1.2%) | |
| Diversified Financial Services (1.2%) | |
| iShares MSCI Singapore Index Fund§ | | | 113,181 | | | | 1,272,154 | | |
| TOTAL SINGAPORE | | | 1,272,154 | | |
| Spain (2.8%) | |
| Commercial Banks (0.7%) | |
| Banco Santander SA | | | 69,158 | | | | 726,419 | | |
| Construction & Engineering (0.6%) | |
| ACS Actividades de Construccion y Servicios SA§ | | | 15,656 | | | | 576,309 | | |
| Fomento de Construcciones y Contratas SA§ | | | 3,179 | | | | 68,168 | | |
| | | | 644,477 | | |
| Diversified Financial Services (0.2%) | |
| Corp. Financiera Alba | | | 5,904 | | | | 217,865 | | |
| Criteria Caixacorp SA | | | 2,694 | | | | 11,035 | | |
| | | | 228,900 | | |
| Diversified Telecommunication Services (0.4%) | |
| Telefonica SA | | | 23,288 | | | | 432,126 | | |
| Electric Utilities (0.2%) | |
| Endesa SA | | | 10,711 | | | | 228,064 | | |
| Insurance (0.2%) | |
| Mapfre SA§ | | | 87,612 | | | | 238,637 | | |
| Media (0.1%) | |
| Gestevision Telecinco SA§ | | | 3,485 | | | | 31,022 | | |
| Oil, Gas & Consumable Fuels (0.4%) | |
| Repsol YPF SA | | | 22,093 | | | | 446,586 | | |
| Real Estate Management & Development (0.0%) | |
| Inmobiliaria Colonial SA*§ | | | 13,571 | | | | 2,068 | | |
| TOTAL SPAIN | | | 2,978,299 | | |
| Sweden (5.5%) | |
| Commercial Services & Supplies (0.5%) | |
| Securitas AB B Shares§ | | | 61,824 | | | | 561,508 | | |
See Accompanying Notes to Financial Statements.
38
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Sweden | |
| Communications Equipment (0.5%) | |
| Telefonaktiebolaget LM Ericsson B Shares§ | | | 43,517 | | | $ | 483,652 | | |
| Construction & Engineering (0.6%) | |
| Skanska AB B Shares§ | | | 40,143 | | | | 581,918 | | |
| Diversified Financial Services (0.7%) | |
| Industrivarden AB A Shares | | | 15,025 | | | | 167,639 | | |
| Investor AB B Shares§ | | | 36,776 | | | | 596,072 | | |
| | | | 763,711 | | |
| Machinery (1.7%) | |
| Atlas Copco AB A Shares§ | | | 43,759 | | | | 641,048 | | |
| Scania AB B Shares§ | | | 38,702 | | | | 591,906 | | |
| SKF AB B Shares§ | | | 30,375 | | | | 546,221 | | |
| | | | 1,779,175 | | |
| Metals & Mining (0.1%) | |
| Boliden AB | | | 6,949 | | | | 76,956 | | |
| Paper & Forest Products (0.5%) | |
| Holmen AB B Shares§ | | | 22,592 | | | | 537,388 | | |
| Specialty Retail (0.6%) | |
| Hennes & Mauritz AB B Shares§ | | | 24,950 | | | | 687,037 | | |
| Tobacco (0.3%) | |
| Swedish Match AB§ | | | 15,883 | | | | 347,765 | | |
| TOTAL SWEDEN | | | 5,819,110 | | |
| Switzerland (5.6%) | |
| Biotechnology (0.1%) | |
| BB Biotech AG | | | 1,860 | | | | 100,639 | | |
| Capital Markets (0.1%) | |
| UBS AG* | | | 10,687 | | | | 141,514 | | |
| Chemicals (0.0%) | |
| Sika AG | | | 16 | | | | 28,349 | | |
| Electrical Equipment (0.1%) | |
| ABB, Ltd.* | | | 5,586 | | | | 97,210 | | |
| Food Products (2.4%) | |
| Nestle SA | | | 52,057 | | | | 2,508,964 | | |
| Insurance (0.1%) | |
| Helvetia Holding AG | | | 366 | | | | 96,014 | | |
| Machinery (0.7%) | |
| Schindler Holding AG | | | 7,144 | | | | 601,862 | | |
| Sulzer AG | | | 1,219 | | | | 113,649 | | |
| | | | 715,511 | | |
See Accompanying Notes to Financial Statements.
39
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| Switzerland | |
| Pharmaceuticals (2.1%) | |
| Novartis AG | | | 17,621 | | | $ | 853,573 | | |
| Roche Holding AG | | | 10,201 | | | | 1,403,431 | | |
| | | | 2,257,004 | | |
| TOTAL SWITZERLAND | | | 5,945,205 | | |
| United Kingdom (24.5%) | |
| Aerospace & Defense (0.3%) | |
| BAE Systems PLC | | | 51,584 | | | | 240,404 | | |
| Meggitt PLC | | | 1,220 | | | | 5,693 | | |
| Rolls-Royce Group PLC* | | | 5,323 | | | | 44,489 | | |
| | | | 290,586 | | |
| Airlines (0.0%) | |
| British Airways PLC*§ | | | 415 | | | | 1,207 | | |
| Auto Components (0.1%) | |
| GKN PLC* | | | 86,747 | | | | 149,453 | | |
| Biotechnology (0.1%) | |
| Antisoma PLC* | | | 315,732 | | | | 27,397 | | |
| Genus PLC | | | 5,812 | | | | 64,198 | | |
| | | | 91,595 | | |
| Capital Markets (1.3%) | |
| 3i Group PLC | | | 133,437 | | | | 526,995 | | |
| Aberdeen Asset Management PLC | | | 709 | | | | 1,359 | | |
| Brewin Dolphin Holdings PLC | | | 2,580 | | | | 4,966 | | |
| Collins Stewart PLC | | | 22,253 | | | | 25,148 | | |
| Evolution Group PLC | | | 17,468 | | | | 22,802 | | |
| F&C Asset Management PLC§ | | | 73,231 | | | | 56,758 | | |
| Man Group PLC | | | 79,206 | | | | 262,912 | | |
| Schroders PLC | | | 23,753 | | | | 428,076 | | |
| Tullett Prebon PLC | | | 3,423 | | | | 16,083 | | |
| | | | 1,345,099 | | |
| Chemicals (0.4%) | |
| Croda International PLC§ | | | 15,111 | | | | 226,755 | | |
| Elementis PLC | | | 17,360 | | | | 16,166 | | |
| Filtrona PLC | | | 23,480 | | | | 75,668 | | |
| Yule Catto & Co. PLC* | | | 34,576 | | | | 92,299 | | |
| | | | 410,888 | | |
| Commercial Banks (3.5%) | |
| Barclays PLC | | | 268,371 | | | | 1,072,637 | | |
| HSBC Holdings PLC | | | 172,331 | | | | 1,576,470 | | |
| Lloyds Banking Group PLC* | | | 24,569 | | | | 19,422 | | |
| Royal Bank of Scotland Group PLC* | | | 191,475 | | | | 116,768 | | |
| Standard Chartered PLC§ | | | 37,817 | | | | 922,091 | | |
| | | | 3,707,388 | | |
See Accompanying Notes to Financial Statements.
40
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| United Kingdom | |
| Commercial Services & Supplies (0.0%) | |
| Babcock International Group PLC§ | | | 78 | | | $ | 694 | | |
| Communications Equipment (0.1%) | |
| Spirent Communications PLC | | | 49,379 | | | | 80,558 | | |
| Construction & Engineering (0.5%) | |
| Carillion PLC | | | 87,555 | | | | 402,618 | | |
| Costain Group PLC | | | 5,988 | | | | 17,930 | | |
| Galliford Try PLC | | | 1,355 | | | | 6,318 | | |
| Interserve PLC | | | 49,053 | | | | 145,326 | | |
| Morgan Sindall Group PLC | | | 803 | | | | 6,132 | | |
| T Clarke PLC | | | 1,674 | | | | 3,220 | | |
| | | | 581,544 | | |
| Construction Materials (0.0%) | |
| Marshalls PLC | | | 461 | | | | 555 | | |
| Consumer Finance (0.0%) | |
| International Personal Finance PLC | | | 12,131 | | | | 34,359 | | |
| Provident Financial PLC§ | | | 242 | | | | 3,023 | | |
| | | | 37,382 | | |
| Containers & Packaging (0.1%) | |
| British Polythene Industries PLC | | | 2,601 | | | | 7,777 | | |
| DS Smith PLC | | | 50,627 | | | | 91,201 | | |
| RPC Group PLC | | | 4,228 | | | | 16,181 | | |
| | | | 115,159 | | |
| Distributors (0.1%) | |
| Inchcape PLC* | | | 11,753 | | | | 43,003 | | |
| John Menzies PLC | | | 9,689 | | | | 55,712 | | |
| | | | 98,715 | | |
| Diversified Financial Services (0.0%) | |
| Blackrock Latin American Investment Trust PLC | | | 481 | | | | 4,406 | | |
| The Eastern European Trust PLC* | | | 1,871 | | | | 7,051 | | |
| The Throgmorton Trust PLC | | | 7,095 | | | | 14,008 | | |
| | | | 25,465 | | |
| Diversified Telecommunication Services (0.6%) | |
| BT Group PLC | | | 336,640 | | | | 650,684 | | |
| Kcom Group PLC | | | 3,931 | | | | 2,648 | | |
| | | | 653,332 | | |
| Electric Utilities (0.0%) | |
| Scottish & Southern Energy PLC | | | 91 | | | | 1,518 | | |
See Accompanying Notes to Financial Statements.
41
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| United Kingdom | |
| Electronic Equipment, Instruments & Components (0.4%) | |
| Diploma PLC | | | 25,363 | | | $ | 86,128 | | |
| Domino Printing Sciences | | | 4,080 | | | | 27,768 | | |
| Electrocomponents PLC | | | 16,786 | | | | 54,125 | | |
| Premier Farnell PLC | | | 79,149 | | | | 258,839 | | |
| TT electronics PLC* | | | 23,115 | | | | 33,110 | | |
| | | | 459,970 | | |
| Food & Staples Retailing (0.5%) | |
| J Sainsbury PLC | | | 94,814 | | | | 452,988 | | |
| Majestic Wine PLC | | | 935 | | | | 4,124 | | |
| Tesco PLC | | | 14,405 | | | | 81,373 | | |
| | | | 538,485 | | |
| Food Products (0.4%) | |
| Anglo-Eastern Plantations | | | 1,335 | | | | 10,456 | | |
| Cranswick PLC | | | 626 | | | | 8,013 | | |
| Dairy Crest Group PLC | | | 1,115 | | | | 6,142 | | |
| Hilton Food Group, Ltd. | | | 2,993 | | | | 10,456 | | |
| Thorntons PLC | | | 4,931 | | | | 6,003 | | |
| Unilever PLC | | | 12,690 | | | | 339,683 | | |
| | | | 380,753 | | |
| Health Care Providers & Services (0.0%) | |
| Synergy Health PLC | | | 2,704 | | | | 26,298 | | |
| Hotels, Restaurants & Leisure (0.2%) | |
| Compass Group PLC | | | 4,761 | | | | 36,268 | | |
| Enterprise Inns PLC* | | | 1,669 | | | | 2,170 | | |
| Holidaybreak PLC Class A | | | 1,232 | | | | 5,408 | | |
| J.D. Wetherspoon PLC | | | 322 | | | | 1,870 | | |
| Luminar Group Holdings PLC* | | | 5,332 | | | | 997 | | |
| Millennium & Copthorne Hotels PLC | | | 9,956 | | | | 60,149 | | |
| Mitchells & Butlers PLC* | | | 669 | | | | 2,723 | | |
| Rank Group PLC | | | 60,261 | | | | 89,258 | | |
| TUI Travel PLC | | | 411 | | | | 1,280 | | |
| William Hill PLC | | | 1,215 | | | | 3,095 | | |
| | | | 203,218 | | |
| Household Durables (0.0%) | |
| Aga Rangemaster Group PLC* | | | 2,730 | | | | 3,584 | | |
| Barratt Developments PLC* | | | 2,674 | | | | 3,759 | | |
| Persimmon PLC* | | | 7,958 | | | | 41,360 | | |
| | | | 48,703 | | |
| Household Products (0.0%) | |
| McBride PLC | | | 12,202 | | | | 23,732 | | |
See Accompanying Notes to Financial Statements.
42
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| United Kingdom | |
| Independent Power Producers & Energy Traders (0.5%) | |
| International Power PLC§ | | | 108,070 | | | $ | 483,392 | | |
| Industrial Conglomerates (0.2%) | |
| Cookson Group PLC* | | | 14,567 | | | | 83,847 | | |
| Smiths Group PLC | | | 5,492 | | | | 87,554 | | |
| | | | 171,401 | | |
| Insurance (1.0%) | |
| Aviva PLC | | | 10,414 | | | | 48,461 | | |
| Charles Taylor Consulting PLC | | | 982 | | | | 3,254 | | |
| Chaucer Holdings PLC | | | 6,658 | | | | 4,127 | | |
| Hardy Underwriting Bermuda Ltd. | | | 1,786 | | | | 6,433 | | |
| Legal & General Group PLC | | | 221,562 | | | | 258,585 | | |
| Novae Group PLC | | | 1,050 | | | | 4,862 | | |
| Old Mutual PLC | | | 382,902 | | | | 587,025 | | |
| RSA Insurance Group PLC | | | 66,965 | | | | 118,955 | | |
| | | | 1,031,702 | | |
| Internet & Catalog Retail (0.0%) | |
| Findel PLC* | | | 13,899 | | | | 3,621 | | |
| N Brown Group PLC | | | 1,460 | | | | 5,438 | | |
| | | | 9,059 | | |
| IT Services (0.3%) | |
| Anite PLC | | | 9,567 | | | | 5,043 | | |
| Computacenter PLC | | | 12,316 | | | | 52,096 | | |
| Dimension Data Holdings PLC | | | 199,956 | | | | 280,869 | | |
| Phoenix IT Group, Ltd. | | | 2,574 | | | | 9,541 | | |
| | | | 347,549 | | |
| Machinery (1.0%) | |
| Fenner PLC | | | 28,820 | | | | 85,237 | | |
| IMI PLC | | | 14,043 | | | | 143,272 | | |
| Melrose PLC | | | 40,514 | | | | 126,507 | | |
| Senior PLC | | | 97,578 | | | | 179,167 | | |
| The Weir Group PLC§ | | | 35,485 | | | | 545,875 | | |
| | | | 1,080,058 | | |
| Marine (0.0%) | |
| Clarkson PLC | | | 549 | | | | 7,310 | | |
| Media (0.3%) | |
| Chime Communications PLC | | | 5,281 | | | | 13,906 | | |
| Cineworld Group PLC | | | 2,426 | | | | 7,186 | | |
| Euromoney Institutional Investor PLC§ | | | 5,536 | | | | 49,459 | | |
| ITV PLC* | | | 5,131 | | | | 3,840 | | |
| Johnston Press PLC* | | | 40,163 | | | | 8,800 | | |
| Pearson PLC | | | 13,527 | | | | 178,142 | | |
See Accompanying Notes to Financial Statements.
43
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| United Kingdom | |
| Media | |
| Trinity Mirror PLC* | | | 89,766 | | | $ | 86,226 | | |
| UTV Media PLC | | | 3,025 | | | | 5,386 | | |
| Yell Group PLC* | | | 296 | | | | 107 | | |
| | | | 353,052 | | |
| Metals & Mining (2.2%) | |
| Anglo American PLC* | | | 3,460 | | | | 120,726 | | |
| BHP Billiton PLC | | | 48,463 | | | | 1,258,256 | | |
| Ferrexpo PLC | | | 499 | | | | 1,836 | | |
| Hill & Smith Holdings PLC | | | 8,340 | | | | 37,120 | | |
| Rio Tinto PLC | | | 17,392 | | | | 764,781 | | |
| Vedanta Resources PLC§ | | | 213 | | | | 6,701 | | |
| Xstrata PLC | | | 12,091 | | | | 158,539 | | |
| | | | 2,347,959 | | |
| Multi-Utilities (0.6%) | |
| Centrica PLC | | | 142,459 | | | | 629,515 | | |
| Multiline Retail (0.5%) | |
| Debenhams PLC* | | | 6,179 | | | | 4,864 | | |
| Next PLC | | | 18,957 | | | | 565,949 | | |
| | | | 570,813 | | |
| Oil, Gas & Consumable Fuels (4.3%) | |
| BG Group PLC | | | 9,050 | | | | 134,779 | | |
| BP PLC | | | 200,691 | | | | 962,026 | | |
| JKX Oil & Gas PLC | | | 811 | | | | 2,941 | | |
| Melrose Resources PLC | | | 998 | | | | 4,178 | | |
| Royal Dutch Shell PLC A Shares | | | 85,577 | | | | 2,160,832 | | |
| Royal Dutch Shell PLC B Shares | | | 53,464 | | | | 1,293,991 | | |
| | | | 4,558,747 | | |
| Paper & Forest Products (0.5%) | |
| Mondi PLC | | | 87,701 | | | | 499,758 | | |
| Pharmaceuticals (2.7%) | |
| AstraZeneca PLC§ | | | 23,355 | | | | 1,102,563 | | |
| GlaxoSmithKline PLC§ | | | 92,271 | | | | 1,568,936 | | |
| Shire PLC | | | 9,599 | | | | 197,180 | | |
| | | | 2,868,679 | | |
| Professional Services (0.0%) | |
| Hays PLC | | | 548 | | | | 748 | | |
| Hogg Robinson Group PLC | | | 2,158 | | | | 931 | | |
| Hyder Consulting PLC | | | 2,080 | | | | 9,284 | | |
| ITE Group PLC | | �� | 2,172 | | | | 4,666 | | |
| Robert Walters PLC | | | 478 | | | | 1,357 | | |
| Tribal Group PLC | | | 5,102 | | | | 4,526 | | |
| | | | 21,512 | | |
See Accompanying Notes to Financial Statements.
44
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| United Kingdom | |
| Real Estate Investment Trusts (0.0%) | |
| Liberty International PLC | | | 987 | | | $ | 4,566 | | |
| Real Estate Management & Development (0.0%) | |
| CLS Holdings PLC* | | | 1,528 | | | | 10,399 | | |
| MWB Group Holdings PLC* | | | 5,000 | | | | 2,973 | | |
| Quintain Estates & Development PLC* | | | 3,358 | | | | 2,138 | | |
| | | | 15,510 | | |
| Road & Rail (0.1%) | |
| Arriva PLC | | | 7,283 | | | | 83,181 | | |
| Avis Europe PLC* | | | 17,339 | | | | 7,652 | | |
| | | | 90,833 | | |
| Semiconductors & Semiconductor Equipment (0.0%) | |
| CSR PLC* | | | 718 | | | | 4,025 | | |
| Wolfson Microelectronics PLC* | | | 2,841 | | | | 7,438 | | |
| | | | 11,463 | | |
| Specialty Retail (0.3%) | |
| HMV Group PLC§ | | | 11,138 | | | | 10,498 | | |
| JD Sports Fashion PLC | | | 723 | | | | 8,318 | | |
| Kingfisher PLC | | | 41,374 | | | | 129,780 | | |
| WH Smith PLC | | | 26,079 | | | | 159,218 | | |
| | | | 307,814 | | |
| Textiles, Apparel & Luxury Goods (0.0%) | |
| Ted Baker PLC | | | 1,305 | | | | 10,588 | | |
| Thrifts & Mortgage Finance (0.1%) | |
| Paragon Group of Cos. PLC | | | 45,025 | | | | 80,596 | | |
| Tobacco (0.4%) | |
| British American Tobacco PLC | | | 14,789 | | | | 469,969 | | |
| Trading Companies & Distributors (0.1%) | |
| Ashtead Group PLC | | | 3,875 | | | | 5,176 | | |
| BSS Group PLC | | | 520 | | | | 3,245 | | |
| Bunzl PLC | | | 4,102 | | | | 41,132 | | |
| Speedy Hire PLC | | | 3,803 | | | | 1,368 | | |
| | | | 50,921 | | |
| Transportation Infrastructure (0.0%) | |
| Braemar Shipping Services PLC | | | 973 | | | | 7,253 | | |
| Water Utilities (0.0%) | |
| Pennon Group PLC | | | 526 | | | | 4,338 | | |
See Accompanying Notes to Financial Statements.
45
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| LONG STOCK POSITIONS | |
| COMMON STOCKS | |
| United Kingdom | |
| Wireless Telecommunication Services (0.8%) | |
| Vodafone Group PLC | | | 395,688 | | | $ | 816,402 | | |
| TOTAL UNITED KINGDOM | | | 26,123,056 | | |
| TOTAL COMMON STOCKS (Cost $132,310,205) | | | 125,628,010 | | |
| PREFERRED STOCKS (0.8%) | |
| Germany (0.8%) | |
| Automobiles (0.1%) | |
| Porsche Automobil Holding SE | | | 2,009 | | | | 86,034 | | |
| Health Care Equipment & Supplies (0.1%) | |
| Fresenius SE | | | 1,893 | | | | 125,247 | | |
| Household Products (0.6%) | |
| Henkel AG & Co. KGaA | | | 12,227 | | | | 598,054 | | |
| TOTAL GERMANY | | | 809,335 | | |
| TOTAL PREFERRED STOCKS (Cost $868,249) | | | 809,335 | | |
| TOTAL LONG STOCK POSITIONS (Cost $133,178,454) | | | 126,437,345 | | |
| RIGHTS (0.0%) | |
| Norway (0.0%) | |
| Metals & Mining (0.0%) | |
| Norsk Hydro ASA, strike price 26.30 NOK, expires 07/09/10*§ (Cost $0) | | | 9,805 | | | | 5,066 | | |
| TOTAL NORWAY | | | 5,066 | | |
| WARRANTS (0.0%) | |
| Italy (0.0%) | |
| Capital Markets (0.0%) | |
| Mediobanca SpA, strike price 0.04 EUR, expires 03/18/11* | | | 4,093 | | | | 166 | | |
| Commercial Banks (0.0%) | |
| Unione di Banche Italiane ScpA, strike price 12.30 EUR, expires 06/30/11* | | | 1,496 | | | | 30 | | |
| TOTAL ITALY | | | 196 | | |
| TOTAL WARRANTS (Cost $0) | | | 196 | | |
| SHORT-TERM INVESTMENT (7.4%) | |
| State Street Navigator Prime Portfolio§§ (Cost $7,940,455) | | | 7,940,455 | | | | 7,940,455 | | |
| TOTAL INVESTMENTS AT VALUE (126.0%) (Cost $141,118,909) | | | 134,383,062 | | |
| TOTAL SECURITIES SOLD SHORT (-19.0%) (Proceeds $22,604,195) | | | (20,283,526 | ) | |
| LIABILITIES IN EXCESS OF OTHER ASSETS (-7.0%) | | | (7,465,108 | ) | |
| NET ASSETS (100.0%) | | $ | 106,634,428 | | |
See Accompanying Notes to Financial Statements.
46
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS (-19.0%) | |
| COMMON STOCKS (-18.9%) | |
| Austria (-0.3%) | |
| Air Freight & Logistics (-0.0%) | |
| Oesterreichische Post AG | | | (1,788 | ) | | $ | (43,942 | ) | |
| Diversified Telecommunication Services (-0.1%) | |
| Telekom Austria AG | | | (5,107 | ) | | | (56,884 | ) | |
| Insurance (-0.0%) | |
| Vienna Insurance Group | | | (1,216 | ) | | | (50,560 | ) | |
| Metals & Mining (-0.1%) | |
| Randgold Resources Ltd. | | | (851 | ) | | | (81,011 | ) | |
| Oil, Gas & Consumable Fuels (-0.1%) | |
| OMV AG | | | (1,944 | ) | | | (58,477 | ) | |
| TOTAL AUSTRIA | | | (290,874 | ) | |
| Belgium (-0.5%) | |
| Chemicals (-0.1%) | |
| Solvay SA | | | (714 | ) | | | (61,072 | ) | |
| Commercial Banks (-0.1%) | |
| Dexia SA* | | | (1,149 | ) | | | (4,016 | ) | |
| KBC Groep NV* | | | (1,854 | ) | | | (71,184 | ) | |
| | | | (75,200 | ) | |
| Diversified Financial Services (-0.1%) | |
| Ackermans & van Haaren NV | | | (682 | ) | | | (42,210 | ) | |
| Groupe Bruxelles Lambert SA | | | (909 | ) | | | (63,138 | ) | |
| Nationale A Portefeuille | | | (1,046 | ) | | | (44,573 | ) | |
| | | | (149,921 | ) | |
| Food & Staples Retailing (-0.1%) | |
| Colruyt SA | | | (239 | ) | | | (56,317 | ) | |
| Pharmaceuticals (-0.1%) | |
| UCB SA | | | (1,639 | ) | | | (51,557 | ) | |
| Real Estate Investment Trusts (-0.0%) | |
| Cofinimmo | | | (355 | ) | | | (40,070 | ) | |
| Wireless Telecommunication Services (-0.0%) | |
| Mobistar SA | | | (914 | ) | | | (48,644 | ) | |
| TOTAL BELGIUM | | | (482,781 | ) | |
| Bermuda (-0.1%) | |
| Energy Equipment & Services (-0.1%) | |
| Seadrill, Ltd. | | | (3,135 | ) | | | (56,589 | ) | |
| TOTAL BERMUDA | | | (56,589 | ) | |
See Accompanying Notes to Financial Statements.
47
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Cyprus (0.0%) | |
| Energy Equipment & Services (-0.0%) | |
| ProSafe SE | | | (9,594 | ) | | $ | (38,245 | ) | |
| TOTAL CYPRUS | | | (38,245 | ) | |
| Denmark (-0.4%) | |
| Chemicals (-0.1%) | |
| Novozymes AS B Shares | | | (574 | ) | | | (61,351 | ) | |
| Commercial Banks (-0.1%) | |
| Danske Bank AS* | | | (3,846 | ) | | | (74,131 | ) | |
| Electrical Equipment (-0.1%) | |
| Vestas Wind Systems AS* | | | (1,804 | ) | | | (75,201 | ) | |
| Health Care Equipment & Supplies (-0.0%) | |
| William Demant Holding* | | | (657 | ) | | | (48,135 | ) | |
| Insurance (-0.0%) | |
| Tryg AS | | | (879 | ) | | | (46,388 | ) | |
| Marine (-0.1%) | |
| A P Moller - Maersk AS Class A | | | (8 | ) | | | (60,945 | ) | |
| Pharmaceuticals (-0.0%) | |
| H Lundbeck AS | | | (2,823 | ) | | | (38,572 | ) | |
| Road & Rail (-0.0%) | |
| DSV AS | | | (3,688 | ) | | | (53,187 | ) | |
| TOTAL DENMARK | | | (457,910 | ) | |
| Finland (-0.2%) | |
| Construction & Engineering (-0.0%) | |
| YIT Oyj | | | (2,238 | ) | | | (40,141 | ) | |
| Diversified Telecommunication Services (-0.0%) | |
| Elisa Oyj* | | | (2,889 | ) | | | (50,052 | ) | |
| Machinery (-0.1%) | |
| Metso Oyj | | | (1,807 | ) | | | (58,005 | ) | |
| Metals & Mining (-0.1%) | |
| Outokumpu Oyj | | | (3,228 | ) | | | (48,584 | ) | |
| Rautaruukki Oyj | | | (3,026 | ) | | | (44,177 | ) | |
| | | | (92,761 | ) | |
| TOTAL FINLAND | | | (240,959 | ) | |
| France (-2.8%) | |
| Aerospace & Defense (-0.1%) | |
| Safran SA | | | (2,188 | ) | | | (61,137 | ) | |
| Thales SA | | | (1,564 | ) | | | (50,577 | ) | |
| | | | (111,714 | ) | |
See Accompanying Notes to Financial Statements.
48
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| France | |
| Auto Components (-0.1%) | |
| Compagnie Generale des Etablissements Michelin Class B | | | (1,214 | ) | | $ | (84,724 | ) | |
| Automobiles (-0.1%) | |
| Renault SA* | | | (1,950 | ) | | | (72,403 | ) | |
| Beverages (-0.1%) | |
| Pernod-Ricard SA | | | (1,377 | ) | | | (106,986 | ) | |
| Commercial Services & Supplies (-0.0%) | |
| Societe BIC SA | | | (670 | ) | | | (47,665 | ) | |
| Communications Equipment (-0.1%) | |
| Alcatel-Lucent* | | | (25,700 | ) | | | (65,558 | ) | |
| Construction & Engineering (-0.0%) | |
| Eiffage SA | | | (1,158 | ) | | | (50,355 | ) | |
| Construction Materials (-0.1%) | |
| Imerys SA | | | (976 | ) | | | (49,747 | ) | |
| Lafarge SA | | | (1,574 | ) | | | (85,970 | ) | |
| | | | (135,717 | ) | |
| Diversified Financial Services (-0.0%) | |
| Eurazeo | | | (793 | ) | | | (45,585 | ) | |
| Electric Utilities (-0.1%) | |
| Electricite de France | | | (2,056 | ) | | | (78,355 | ) | |
| Electrical Equipment (-0.1%) | |
| Alstom SA | | | (1,794 | ) | | | (81,364 | ) | |
| Legrand SA | | | (1,952 | ) | | | (57,956 | ) | |
| | | | (139,320 | ) | |
| Energy Equipment & Services (-0.1%) | |
| Cie Generale de Geophysique-Veritas* | | | (2,660 | ) | | | (47,400 | ) | |
| Technip SA | | | (1,110 | ) | | | (63,772 | ) | |
| | | | (111,172 | ) | |
| Food & Staples Retailing (-0.2%) | |
| Carrefour SA | | | (3,496 | ) | | | (138,910 | ) | |
| Casino Guichard Perrachon SA | | | (749 | ) | | | (56,933 | ) | |
| | | | (195,843 | ) | |
| Food Products (-0.1%) | |
| Danone | | | (2,717 | ) | | | (145,903 | ) | |
| Health Care Equipment & Supplies (-0.1%) | |
| BioMerieux | | | (441 | ) | | | (45,353 | ) | |
| Cie Generale d'Optique Essilor International SA | | | (1,542 | ) | | | (91,787 | ) | |
| | | | (137,140 | ) | |
See Accompanying Notes to Financial Statements.
49
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| France | |
| Hotels, Restaurants & Leisure (-0.1%) | |
| Sodexo | | | (1,095 | ) | | $ | (60,871 | ) | |
| IT Services (-0.1%) | |
| Cap Gemini SA | | | (1,188 | ) | | | (52,300 | ) | |
| Media (-0.3%) | |
| Eutelsat Communications | | | (1,604 | ) | | | (53,788 | ) | |
| JC Decaux SA* | | | (1,983 | ) | | | (46,281 | ) | |
| Lagardere SCA | | | (1,776 | ) | | | (55,485 | ) | |
| M6-Metropole Television | | | (2,279 | ) | | | (46,161 | ) | |
| Publicis Groupe | | | (1,539 | ) | | | (61,493 | ) | |
| Societe Television Francaise 1 | | | (3,002 | ) | | | (39,178 | ) | |
| | | | (302,386 | ) | |
| Multi-Utilities (-0.1%) | |
| Suez Environnement SA | | | (3,503 | ) | | | (57,904 | ) | |
| Veolia Environnement | | | (3,078 | ) | | | (72,433 | ) | |
| | | | (130,337 | ) | |
| Multiline Retail (-0.1%) | |
| PPR | | | (656 | ) | | | (81,627 | ) | |
| Personal Products (-0.1%) | |
| L'Oreal SA | | | (1,447 | ) | | | (141,913 | ) | |
| Pharmaceuticals (-0.0%) | |
| Ipsen SA | | | (1,107 | ) | | | (33,760 | ) | |
| Professional Services (-0.1%) | |
| Bureau Veritas SA | | | (950 | ) | | | (51,539 | ) | |
| Teleperformance | | | (1,528 | ) | | | (38,232 | ) | |
| | | | (89,771 | ) | |
| Real Estate Investment Trusts (-0.2%) | |
| ICADE | | | (605 | ) | | | (51,147 | ) | |
| Klepierre | | | (1,689 | ) | | | (46,744 | ) | |
| Unibail-Rodamco SE | | | (649 | ) | | | (105,953 | ) | |
| | | | (203,844 | ) | |
| Textiles, Apparel & Luxury Goods (-0.3%) | |
| Christian Dior SA | | | (682 | ) | | | (65,570 | ) | |
| Hermes International | | | (525 | ) | | | (69,714 | ) | |
| LVMH Moet Hennessy Louis Vuitton SA | | | (1,395 | ) | | | (152,090 | ) | |
| | | | (287,374 | ) | |
| Transportation Infrastructure (-0.1%) | |
| Aeroports de Paris | | | (762 | ) | | | (48,967 | ) | |
| Groupe Eurotunnel SA | | | (7,601 | ) | | | (51,455 | ) | |
| | | | (100,422 | ) | |
| TOTAL FRANCE | | | (3,013,045 | ) | |
See Accompanying Notes to Financial Statements.
50
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Germany (-1.2%) | |
| Aerospace & Defense (-0.0%) | |
| MTU Aero Engines Holding AG | | | (713 | ) | | $ | (39,649 | ) | |
| Air Freight & Logistics (-0.1%) | |
| Deutsche Post AG | | | (6,434 | ) | | | (93,966 | ) | |
| Chemicals (-0.2%) | |
| K+S AG | | | (1,484 | ) | | | (68,313 | ) | |
| Linde AG | | | (1,083 | ) | | | (114,068 | ) | |
| Symrise AG | | | (1,987 | ) | | | (41,096 | ) | |
| | | | (223,477 | ) | |
| Diversified Telecommunication Services (-0.0%) | |
| Deutsche Telekom AG | | | (3,319 | ) | | | (39,248 | ) | |
| Electrical Equipment (-0.1%) | |
| SGL Carbon SE* | | | (1,414 | ) | | | (40,649 | ) | |
| Tognum AG | | | (2,203 | ) | | | (41,157 | ) | |
| | | | (81,806 | ) | |
| Food & Staples Retailing (-0.0%) | |
| Metro AG | | | (770 | ) | | | (39,352 | ) | |
| Health Care Providers & Services (-0.1%) | |
| Celesio AG | | | (2,060 | ) | | | (44,995 | ) | |
| Fresenius Medical Care AG & Co., KGaA | | | (1,368 | ) | | | (73,933 | ) | |
| | | | (118,928 | ) | |
| Household Products (-0.1%) | |
| Henkel AG & Co. KGaA | | | (1,543 | ) | | | (63,258 | ) | |
| Industrial Conglomerates (-0.0%) | |
| Rheinmetall AG | | | (753 | ) | | | (43,081 | ) | |
| Internet Software & Services (-0.0%) | |
| United Internet AG | | | (3,938 | ) | | | (43,194 | ) | |
| Machinery (-0.1%) | |
| MAN SE | | | (935 | ) | | | (77,212 | ) | |
| Metals & Mining (-0.1%) | |
| ThyssenKrupp AG | | | (3,069 | ) | | | (75,757 | ) | |
| Multi-Utilities (-0.1%) | |
| RWE AG | | | (1,984 | ) | | | (130,043 | ) | |
| Personal Products (-0.1%) | |
| Beiersdorf AG | | | (1,146 | ) | | | (63,400 | ) | |
| Textiles, Apparel & Luxury Goods (-0.1%) | |
| Adidas AG | | | (1,643 | ) | | | (79,679 | ) | |
| Puma AG Rudolf Dassler Sport | | | (160 | ) | | | (42,596 | ) | |
| | | | (122,275 | ) | |
See Accompanying Notes to Financial Statements.
51
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Germany | |
| Transportation Infrastructure (-0.1%) | |
| Fraport AG Frankfurt Airport Services Worldwide | | | (1,107 | ) | | $ | (47,158 | ) | |
| TOTAL GERMANY | | | (1,301,804 | ) | |
| Italy (-1.2%) | |
| Aerospace & Defense (-0.1%) | |
| Finmeccanica SpA | | | (6,266 | ) | | | (65,065 | ) | |
| Automobiles (-0.1%) | |
| Fiat SpA | | | (7,166 | ) | | | (73,730 | ) | |
| Capital Markets (-0.1%) | |
| Mediobanca SpA* | | | (7,776 | ) | | | (58,020 | ) | |
| Commercial Banks (-0.3%) | |
| Banca Monte dei Paschi di Siena SpA* | | | (49,999 | ) | | | (56,668 | ) | |
| Banca Popolare di Milano Scarl | | | (11,957 | ) | | | (49,307 | ) | |
| Banco Popolare SC | | | (10,844 | ) | | | (59,552 | ) | |
| Intesa Sanpaolo SpA | | | (50,000 | ) | | | (131,906 | ) | |
| Unione di Banche Italiane SCPA | | | (7,682 | ) | | | (66,254 | ) | |
| | | | (363,687 | ) | |
| Construction Materials (-0.0%) | |
| Buzzi Unicem SpA | | | (4,024 | ) | | | (40,422 | ) | |
| Diversified Financial Services (-0.0%) | |
| Exor SpA | | | (2,870 | ) | | | (48,332 | ) | |
| Diversified Telecommunication Services (-0.0%) | |
| Telecom Italia SpA | | | (49,999 | ) | | | (45,749 | ) | |
| Electric Utilities (-0.1%) | |
| Terna Rete Elettrica Nazionale SpA | | | (16,252 | ) | | | (58,593 | ) | |
| Electrical Equipment (-0.1%) | |
| Prysmian SpA | | | (3,549 | ) | | | (51,021 | ) | |
| Gas Utilities (-0.1%) | |
| Snam Rete Gas SpA | | | (15,929 | ) | | | (63,676 | ) | |
| Hotels, Restaurants & Leisure (-0.0%) | |
| Autogrill SpA* | | | (4,028 | ) | | | (48,241 | ) | |
| Insurance (-0.1%) | |
| Assicurazioni Generali SpA | | | (7,473 | ) | | | (130,527 | ) | |
| Oil, Gas & Consumable Fuels (-0.0%) | |
| Saras SpA* | | | (19,734 | ) | | | (41,060 | ) | |
| Textiles, Apparel & Luxury Goods (-0.1%) | |
| Luxottica Group SpA | | | (2,068 | ) | | | (50,154 | ) | |
| Transportation Infrastructure (-0.1%) | |
| Atlantia SpA | | | (7,023 | ) | | | (124,676 | ) | |
| TOTAL ITALY | | | (1,262,953 | ) | |
See Accompanying Notes to Financial Statements.
52
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan (-5.2%) | |
| Air Freight & Logistics (-0.1%) | |
| Kintetsu World Express, Inc. | | | (1,200 | ) | | $ | (30,020 | ) | |
| Yusen Air & Sea Service Co., Ltd. | | | (1,400 | ) | | | (21,686 | ) | |
| | | | (51,706 | ) | |
| Auto Components (-0.2%) | |
| Exedy Corp. | | | (500 | ) | | | (12,808 | ) | |
| Furukawa Battery Co., Ltd. | | | (3,000 | ) | | | (19,693 | ) | |
| Futaba Industrial Co., Ltd.* | | | (600 | ) | | | (4,505 | ) | |
| Kayaba Industry Co., Ltd. | | | (2,000 | ) | | | (7,170 | ) | |
| Keihin Corp. | | | (700 | ) | | | (12,077 | ) | |
| Mitsuba Corp.* | | | (3,000 | ) | | | (15,419 | ) | |
| Musashi Seimitsu Industry Co., Ltd. | | | (300 | ) | | | (6,296 | ) | |
| NGK Spark Plug Co., Ltd. | | | (2,000 | ) | | | (24,808 | ) | |
| Nifco Inc. | | | (500 | ) | | | (10,301 | ) | |
| Nissan Shatai Co., Ltd. | | | (1,000 | ) | | | (6,546 | ) | |
| Nissin Kogyo Co., Ltd. | | | (1,800 | ) | | | (26,292 | ) | |
| T RAD Co. Ltd. | | | (3,000 | ) | | | (8,548 | ) | |
| Takata Corp. | | | (800 | ) | | | (16,183 | ) | |
| Toyoda Gosei Co., Ltd. | | | (900 | ) | | | (22,302 | ) | |
| | | | (192,948 | ) | |
| Beverages (-0.0%) | |
| Ito En Ltd. | | | (1,900 | ) | | | (29,037 | ) | |
| Building Products (-0.1%) | |
| Central Glass Co., Ltd. | | | (5,000 | ) | | | (19,685 | ) | |
| Sankyo-Tateyama Holdings, Inc.* | | | (1,000 | ) | | | (1,137 | ) | |
| Sanwa Holdings Corp. | | | (5,000 | ) | | | (15,064 | ) | |
| Sekisui Jushi Corp. | | | (2,000 | ) | | | (17,964 | ) | |
| Takasago Thermal Engineering Co. Ltd. | | | (2,000 | ) | | | (16,866 | ) | |
| TOTO, Ltd. | | | (5,000 | ) | | | (33,184 | ) | |
| | | | (103,900 | ) | |
| Capital Markets (-0.1%) | |
| kabu.com Securities Co. Ltd. | | | (5,800 | ) | | | (27,184 | ) | |
| Marusan Securities Co., Ltd. | | | (5,000 | ) | | | (28,576 | ) | |
| Matsui Securities Co., Ltd. | | | (5,000 | ) | | | (30,503 | ) | |
| Mito Securities Co., Ltd. | | | (2,000 | ) | | | (4,218 | ) | |
| Mizuho Investors Securities Co., Ltd.* | | | (25,000 | ) | | | (23,655 | ) | |
| | | | (114,136 | ) | |
| Chemicals (-0.1%) | |
| Lintec Corp. | | | (700 | ) | | | (12,635 | ) | |
| Mitsubishi Rayon Co., Ltd.* | | | (6,923 | ) | | | (24,979 | ) | |
| Shin-Etsu Polymer Co., Ltd. | | | (1,300 | ) | | | (7,680 | ) | |
| T Hasegawa Co., Ltd. | | | (1,500 | ) | | | (23,010 | ) | |
| Takiron Co., Ltd. | | | (2,000 | ) | | | (5,890 | ) | |
See Accompanying Notes to Financial Statements.
53
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Chemicals | |
| Teijin, Ltd. | | | (12,000 | ) | | $ | (35,597 | ) | |
| Tenma Corp. | | | (2,100 | ) | | | (22,829 | ) | |
| Tokyo Ohka Kogyo Co., Ltd. | | | (1,100 | ) | | | (18,522 | ) | |
| | | | (151,142 | ) | |
| Commercial Banks (-0.5%) | |
| Bank of the Ryukyus, Ltd. | | | (2,100 | ) | | | (24,423 | ) | |
| Chuo Mitsui Trust Holdings, Inc. | | | (7,000 | ) | | | (24,664 | ) | |
| Mizuho Trust & Banking Co., Ltd.* | | | (8,700 | ) | | | (7,475 | ) | |
| The 77 Bank, Ltd. | | | (5,000 | ) | | | (26,835 | ) | |
| The Aichi Bank, Ltd. | | | (400 | ) | | | (27,184 | ) | |
| The Akita Bank, Ltd. | | | (5,000 | ) | | | (17,315 | ) | |
| The Awa Bank, Ltd. | | | (5,000 | ) | | | (30,835 | ) | |
| The Bank of Iwate, Ltd. | | | (500 | ) | | | (28,133 | ) | |
| The Bank of Okinawa, Ltd. | | | (700 | ) | | | (24,606 | ) | |
| The Chugoku Bank, Ltd. | | | (3,000 | ) | | | (35,320 | ) | |
| The Chukyo Bank, Ltd. | | | (5,000 | ) | | | (15,259 | ) | |
| The Fukui Bank, Ltd. | | | (7,000 | ) | | | (23,387 | ) | |
| The Fukushima Bank, Ltd. | | | (33,000 | ) | | | (18,820 | ) | |
| The Hokkoku Bank, Ltd. | | | (7,000 | ) | | | (25,981 | ) | |
| The Iyo Bank, Ltd. | | | (1,000 | ) | | | (9,292 | ) | |
| The Juroku Bank, Ltd | | | (6,000 | ) | | | (21,253 | ) | |
| The Michinoku Bank, Ltd. | | | (2,000 | ) | | | (4,352 | ) | |
| The Musashino Bank, Ltd. | | | (200 | ) | | | (5,738 | ) | |
| The Nanto Bank, Ltd. | | | (6,000 | ) | | | (30,846 | ) | |
| The Oita Bank, Ltd. | | | (7,000 | ) | | | (23,686 | ) | |
| The San-In Godo Bank, Ltd. | | | (3,000 | ) | | | (23,049 | ) | |
| The Shiga Bank, Ltd. | | | (5,000 | ) | | | (29,017 | ) | |
| The Tochigi Bank, Ltd. | | | (5,000 | ) | | | (21,627 | ) | |
| The Toho Bank, Ltd. | | | (6,000 | ) | | | (19,583 | ) | |
| The Tsukuba Bank, Ltd.* | | | (7,600 | ) | | | (20,594 | ) | |
| The Yamagata Bank, Ltd. | | | (5,000 | ) | | | (23,579 | ) | |
| | | | (562,853 | ) | |
| Commercial Services & Supplies (-0.1%) | |
| Kokuyo Co., Ltd. | | | (3,200 | ) | | | (26,331 | ) | |
| Moshi Moshi Hotline, Inc. | | | (1,100 | ) | | | (24,121 | ) | |
| Park24 Co., Ltd. | | | (2,700 | ) | | | (28,937 | ) | |
| Pilot Corp. | | | (15 | ) | | | (24,059 | ) | |
| Sato Corp. | | | (100 | ) | | | (1,199 | ) | |
| | | | (104,647 | ) | |
| Communications Equipment (-0.0%) | |
| Hitachi Kokusai Electric, Inc. | | | (1,000 | ) | | | (7,962 | ) | |
| Icom, Inc. | | | (800 | ) | | | (18,190 | ) | |
| Japan Radio Co., Ltd. | | | (5,000 | ) | | | (11,255 | ) | |
| | | | (37,407 | ) | |
See Accompanying Notes to Financial Statements.
54
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Computers & Peripherals (-0.0%) | |
| Japan Digital Laboratory Co., Ltd. | | | (2,200 | ) | | $ | (24,290 | ) | |
| Melco Holdings, Inc. | | | (300 | ) | | | (9,483 | ) | |
| Seiko Epson Corp. | | | (200 | ) | | | (2,583 | ) | |
| | | | (36,356 | ) | |
| Construction & Engineering (-0.2%) | |
| Chiyoda Corp. | | | (2,000 | ) | | | (14,512 | ) | |
| Chudenko Corp. | | | (2,100 | ) | | | (24,366 | ) | |
| Kandenko Co., Ltd. | | | (5,000 | ) | | | (29,563 | ) | |
| Kinden Corp. | | | (4,166 | ) | | | (35,445 | ) | |
| Maeda Corp. | | | (3,000 | ) | | | (7,801 | ) | |
| Maeda Road Construction Co. Ltd. | | | (1,000 | ) | | | (8,150 | ) | |
| Nippon Densetsu Kogyo Co., Ltd. | | | (3,000 | ) | | | (28,728 | ) | |
| SHO-BOND Holdings Co., Ltd. | | | (1,500 | ) | | | (30,089 | ) | |
| Taihei Dengyo Kaisha Ltd. | | | (3,000 | ) | | | (21,567 | ) | |
| Taikisha Ltd. | | | (1,700 | ) | | | (26,659 | ) | |
| Toshiba Plant Systems & Services Corp. | | | (2,000 | ) | | | (24,945 | ) | |
| | | | (251,825 | ) | |
| Consumer Finance (-0.0%) | |
| Hitachi Capital Corp. | | | (2,000 | ) | | | (26,574 | ) | |
| Containers & Packaging (-0.1%) | |
| FP Corp. | | | (100 | ) | | | (5,201 | ) | |
| Fuji Seal International, Inc. | | | (400 | ) | | | (8,724 | ) | |
| Nihon Yamamura Glass Co., Ltd. | | | (7,000 | ) | | | (18,715 | ) | |
| Rengo Co., Ltd. | | | (4,000 | ) | | | (25,220 | ) | |
| | | | (57,860 | ) | |
| Distributors (-0.1%) | |
| Canon Marketing Japan, Inc. | | | (1,300 | ) | | | (18,281 | ) | |
| Doshisha Co., Ltd. | | | (1,200 | ) | | | (27,810 | ) | |
| Shimojima Co., Ltd. | | | (300 | ) | | | (4,183 | ) | |
| | | | (50,274 | ) | |
| Diversified Financial Services (-0.0%) | |
| IBJ Leasing Co., Ltd. | | | (300 | ) | | | (5,296 | ) | |
| Japan Securities Finance Co., Ltd. | | | (4,200 | ) | | | (23,578 | ) | |
| Mitsubishi UFJ Lease & Finance Co., Ltd. | | | (251 | ) | | | (8,460 | ) | |
| | | | (37,334 | ) | |
| Electric Utilities (-0.2%) | |
| Hokkaido Electric Power Co., Inc. | | | (2,000 | ) | | | (43,047 | ) | |
| Hokuriku Electric Power Co. | | | (2,099 | ) | | | (45,991 | ) | |
| Kyushu Electric Power Co., Inc. | | | (500 | ) | | | (11,204 | ) | |
| The Chugoku Electric Power Co., Inc | | | (2,900 | ) | | | (59,679 | ) | |
| The Okinawa Electric Power Co., Inc. | | | (200 | ) | | | (10,127 | ) | |
| Tohoku Electric Power Co., Inc. | | | (200 | ) | | | (4,290 | ) | |
| | | | (174,338 | ) | |
See Accompanying Notes to Financial Statements.
55
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Electrical Equipment (-0.1%) | |
| Cosel Co., Ltd. | | | (400 | ) | | $ | (6,105 | ) | |
| Daihen Corp. | | | (2,000 | ) | | | (8,123 | ) | |
| Fujikura Ltd. | | | (6,000 | ) | | | (26,114 | ) | |
| Furukawa Electric Co., Ltd. | | | (3,000 | ) | | | (13,078 | ) | |
| Futaba Corp. | | | (1,600 | ) | | | (26,686 | ) | |
| Hitachi Cable, Ltd. | | | (8,000 | ) | | | (21,108 | ) | |
| Mabuchi Motor Co., Ltd. | | | (600 | ) | | | (27,372 | ) | |
| Nippon Signal Co., Ltd. | | | (200 | ) | | | (1,379 | ) | |
| Nitto Kogyo Corp. | | | (1,700 | ) | | | (15,754 | ) | |
| | | | (145,719 | ) | |
| Electronic Equipment, Instruments & Components (-0.1%) | |
| Anritsu Corp.* | | | (5,000 | ) | | | (22,109 | ) | |
| Citizen Holdings Co., Ltd. | | | (700 | ) | | | (4,273 | ) | |
| Hirose Electric Co., Ltd. | | | (141 | ) | | | (12,902 | ) | |
| Hitachi High-Technologies Corp. | | | (600 | ) | | | (11,013 | ) | |
| Horiba Ltd. | | | (100 | ) | | | (2,673 | ) | |
| Koa Corp. | | | (700 | ) | | | (6,234 | ) | |
| Nippon Ceramic Co., Ltd. | | | (700 | ) | | | (9,792 | ) | |
| Tamura Corp. | | | (6,000 | ) | | | (17,129 | ) | |
| Yokogawa Electric Corp. | | | (4,000 | ) | | | (24,739 | ) | |
| | | | (110,864 | ) | |
| Food & Staples Retailing (-0.2%) | |
| Circle K Sunkus Co. Ltd. | | | (1,300 | ) | | | (16,655 | ) | |
| Cosmos Pharmaceutical Corp. | | | (800 | ) | | | (17,199 | ) | |
| FamilyMart Co., Ltd. | | | (600 | ) | | | (19,797 | ) | |
| Lawson, Inc. | | | (600 | ) | | | (26,220 | ) | |
| Matsumotokiyoshi Holdings Co., Ltd. | | | (800 | ) | | | (17,102 | ) | |
| Sugi Holdings Co. Ltd. | | | (1,300 | ) | | | (26,391 | ) | |
| Sundrug Co., Ltd. | | | (500 | ) | | | (12,120 | ) | |
| Tsuruha Holdings, Inc. | | | (800 | ) | | | (28,332 | ) | |
| Yaoko Co., Ltd. | | | (800 | ) | | | (22,446 | ) | |
| | | | (186,262 | ) | |
| Food Products (-0.2%) | |
| Dydo Drinco, Inc. | | | (600 | ) | | | (21,818 | ) | |
| Hokuto Corp. | | | (1,400 | ) | | | (27,598 | ) | |
| Itoham Foods, Inc. | | | (8,000 | ) | | | (30,119 | ) | |
| Marudai Food Co., Ltd. | | | (9,000 | ) | | | (26,472 | ) | |
| Nissin Foods Holdings Co., Ltd. | | | (296 | ) | | | (10,856 | ) | |
| QP Corp. | | | (2,600 | ) | | | (29,903 | ) | |
| Sakata Seed Corp. | | | (2,000 | ) | | | (25,922 | ) | |
| Yamazaki Baking Co., Ltd. | | | (1,224 | ) | | | (16,493 | ) | |
| | | | (189,181 | ) | |
See Accompanying Notes to Financial Statements.
56
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Gas Utilities (-0.0%) | |
| Shizuoka Gas Co., Ltd. | | | (3,500 | ) | | $ | (23,774 | ) | |
| Health Care Equipment & Supplies (-0.1%) | |
| Hitachi Medical Corp. | | | (2,000 | ) | | | (15,633 | ) | |
| Hogy Medical Co., Ltd. | | | (600 | ) | | | (29,110 | ) | |
| Jeol Ltd. | | | (3,000 | ) | | | (10,330 | ) | |
| Paramount Bed Co., Ltd. | | | (1,100 | ) | | | (25,089 | ) | |
| | | | (80,162 | ) | |
| Health Care Providers & Services (-0.0%) | |
| BML, Inc. | | | (500 | ) | | | (11,297 | ) | |
| Miraca Holdings, Inc. | | | (500 | ) | | | (14,953 | ) | |
| Nichii Gakkan Co. | | | (1,600 | ) | | | (14,367 | ) | |
| | | | (40,617 | ) | |
| Hotels, Restaurants & Leisure (-0.1%) | |
| Kisoji Co., Ltd. | | | (1,200 | ) | | | (25,306 | ) | |
| Kura Corp. | | | (1,400 | ) | | | (22,792 | ) | |
| Oriental Land Co. Japan, Ltd. | | | (600 | ) | | | (50,101 | ) | |
| Saizeriya Co., Ltd. | | | (1,500 | ) | | | (29,788 | ) | |
| | | | (127,987 | ) | |
| Household Durables (-0.0%) | |
| Alpine Electronics, Inc.* | | | (1,600 | ) | | | (19,502 | ) | |
| Cleanup Corp. | | | (1,100 | ) | | | (6,047 | ) | |
| PanaHome Corp. | | | (2,000 | ) | | | (11,794 | ) | |
| Sanyo Electric Co., Ltd.* | | | (9,000 | ) | | | (11,570 | ) | |
| | | | (48,913 | ) | |
| Household Products (-0.1%) | |
| Lion Corp. | | | (6,000 | ) | | | (30,929 | ) | |
| Pigeon Corp. | | | (800 | ) | | | (29,489 | ) | |
| Unicharm Corp. | | | (200 | ) | | | (22,534 | ) | |
| | | | (82,952 | ) | |
| Industrial Conglomerates (-0.1%) | |
| Hankyu Hanshin Holdings, Inc. | | | (14,000 | ) | | | (61,728 | ) | |
| Insurance (-0.0%) | |
| The Fuji Fire & Marine Insurance Co., Ltd.* | | | (3,000 | ) | | | (3,780 | ) | |
| Internet Software & Services (-0.0%) | |
| Kakaku.com, Inc. | | | (5 | ) | | | (20,638 | ) | |
| IT Services (-0.1%) | |
| Ines Corp. | | | (2,200 | ) | | | (14,752 | ) | |
| Information Services International-Dentsu, Ltd. | | | (3,500 | ) | | | (22,394 | ) | |
| Itochu Techno-Science Corp. | | | (300 | ) | | | (10,954 | ) | |
| NET One Systems Co., Ltd. | | | (14 | ) | | | (18,052 | ) | |
| | | | (66,152 | ) | |
See Accompanying Notes to Financial Statements.
57
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Life Sciences Tools & Services (-0.0%) | |
| EPS Co., Ltd. | | | (8 | ) | | $ | (20,210 | ) | |
| Machinery (-0.2%) | |
| Aichi Corp. | | | (6,700 | ) | | | (26,980 | ) | |
| Daiwa Industries, Ltd. | | | (3,000 | ) | | | (14,267 | ) | |
| Fujitec Co., Ltd. | | | (2,000 | ) | | | (10,252 | ) | |
| Furukawa Co., Ltd.* | | | (14,000 | ) | | | (14,333 | ) | |
| Glory Ltd. | | | (1,200 | ) | | | (26,165 | ) | |
| Hino Motors, Ltd. | | | (2,000 | ) | | | (9,853 | ) | |
| Kurita Water Industries, Ltd. | | | (1,300 | ) | | | (35,494 | ) | |
| Makino Milling Machine Co., Ltd.* | | | (3,000 | ) | | | (19,001 | ) | |
| Nabtesco Corp. | | | (1,000 | ) | | | (15,402 | ) | |
| Nippon Thompson Co., Ltd. | | | (3,000 | ) | | | (20,310 | ) | |
| Noritake Co., Ltd. | | | (7,000 | ) | | | (23,537 | ) | |
| Tsubakimoto Chain Co. | | | (5,000 | ) | | | (20,099 | ) | |
| Tsukishima Kikai Co. Ltd. | | | (2,000 | ) | | | (13,985 | ) | |
| | | | (249,678 | ) | |
| Media (-0.1%) | |
| Asatsu-DK, Inc. | | | (1,000 | ) | | | (25,439 | ) | |
| Gakken Co., Ltd. | | | (10,000 | ) | | | (20,539 | ) | |
| Hakuhodo DY Holdings, Inc. | | | (679 | ) | | | (33,989 | ) | |
| Toho Co., Ltd. | | | (2,100 | ) | | | (34,786 | ) | |
| | | | (114,753 | ) | |
| Metals & Mining (-0.2%) | |
| Aichi Steel Corp. | | | (2,000 | ) | | | (7,800 | ) | |
| Godo Steel, Ltd. | | | (5,000 | ) | | | (12,043 | ) | |
| Neturen Co. Ltd. | | | (1,400 | ) | | | (10,495 | ) | |
| Nippon Denko Co., Ltd. | | | (3,000 | ) | | | (18,143 | ) | |
| Nippon Yakin Kogyo Co., Ltd.* | | | (2,500 | ) | | | (7,994 | ) | |
| Nisshin Steel Co., Ltd. | | | (10,000 | ) | | | (15,886 | ) | |
| Osaka Steel Co. Ltd. | | | (1,800 | ) | | | (24,730 | ) | |
| Sanyo Special Steel Co., Ltd.* | | | (3,000 | ) | | | (13,512 | ) | |
| Tokyo Rope Manufacturing Co., Ltd. | | | (8,000 | ) | | | (18,172 | ) | |
| Tokyo Steel Manufacturing Co., Ltd. | | | (1,900 | ) | | | (21,946 | ) | |
| Toyo Kohan Co., Ltd. | | | (4,000 | ) | | | (18,962 | ) | |
| | | | (169,683 | ) | |
| Multiline Retail (-0.1%) | |
| Fuji Co., Ltd. | | | (1,600 | ) | | | (28,943 | ) | |
| Izumi Co., Ltd. | | | (2,100 | ) | | | (28,140 | ) | |
| Marui Group Co., Ltd. | | | (5,104 | ) | | | (34,351 | ) | |
| | | | (91,434 | ) | |
See Accompanying Notes to Financial Statements.
58
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Oil, Gas & Consumable Fuels (-0.1%) | |
| Idemitsu Kosan Co., Ltd. | | | (100 | ) | | $ | (7,523 | ) | |
| Japan Petroleum Exploration Co. | | | (800 | ) | | | (32,611 | ) | |
| Kanto Natural Gas Development, Ltd. | | | (5,000 | ) | | | (25,372 | ) | |
| Nippon Gas Co., Ltd. | | | (1,500 | ) | | | (23,284 | ) | |
| TonenGeneral Sekiyu KK | | | (386 | ) | | | (3,337 | ) | |
| | | | (92,127 | ) | |
| Paper & Forest Products (-0.1%) | |
| Daio Paper Corp. | | | (3,000 | ) | | | (22,981 | ) | |
| Hokuetsu Kishu Paper Co., Ltd. | | | (4,500 | ) | | | (22,467 | ) | |
| Tokushu Tokai Holdings Co., Ltd. | | | (2,000 | ) | | | (5,121 | ) | |
| | | | (50,569 | ) | |
| Personal Products (-0.1%) | |
| Aderans Holdings Co., Ltd.* | | | (2,000 | ) | | | (24,098 | ) | |
| Fancl Corp. | | | (900 | ) | | | (12,717 | ) | |
| Kobayashi Pharmaceutical Co., Ltd. | | | (600 | ) | | | (25,482 | ) | |
| Mandom Corp. | | | (1,100 | ) | | | (29,870 | ) | |
| Milbon Co., Ltd. | | | (1,200 | ) | | | (28,678 | ) | |
| | | | (120,845 | ) | |
| Pharmaceuticals (-0.3%) | |
| Chugai Pharmaceutical Co., Ltd. | | | (2,700 | ) | | | (48,018 | ) | |
| Hisamitsu Pharmaceutical Co., Inc. | | | (900 | ) | | | (35,669 | ) | |
| Kissei Pharmaceutical Co., Ltd. | | | (1,000 | ) | | | (21,022 | ) | |
| Kyowa Hakko Kirin Co., Ltd. | | | (4,000 | ) | | | (37,903 | ) | |
| Nippon Shinyaku Co. Ltd. | | | (1,000 | ) | | | (11,363 | ) | |
| Rohto Pharmaceutical Co., Ltd. | | | (2,000 | ) | | | (24,445 | ) | |
| Santen Pharmaceutical Co., Ltd. | | | (1,019 | ) | | | (36,685 | ) | |
| Sawai Pharmaceutical Co., Ltd. | | | (200 | ) | | | (19,121 | ) | |
| Taisho Pharmaceutical Co., Ltd. | | | (2,339 | ) | | | (46,102 | ) | |
| Towa Pharmaceutical Co., Ltd. | | | (400 | ) | | | (25,993 | ) | |
| Tsumura & Co. | | | (1,100 | ) | | | (33,651 | ) | |
| | | | (339,972 | ) | |
| Professional Services (-0.0%) | |
| Meitec Corp. | | | (1,300 | ) | | | (23,406 | ) | |
| Real Estate Management & Development (-0.1%) | |
| Aeon Mall Co., Ltd. | | | (668 | ) | | | (13,222 | ) | |
| Daibiru Corp. | | | (2,700 | ) | | | (20,324 | ) | |
| Daikyo, Inc.* | | | (11,000 | ) | | | (17,977 | ) | |
| Goldcrest Co., Ltd. | | | (1,140 | ) | | | (19,686 | ) | |
| Iida Home Max | | | (1,200 | ) | | | (9,455 | ) | |
| Nomura Real Estate Holdings, Inc. | | | (1,700 | ) | | | (21,258 | ) | |
| NTT Urban Development Corp. | | | (7 | ) | | | (5,556 | ) | |
| Shoei Co., Ltd/Chiyoda-ku | | | (3,500 | ) | | | (23,424 | ) | |
| | | | (130,902 | ) | |
See Accompanying Notes to Financial Statements.
59
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Road & Rail (-0.4%) | |
| Fukuyama Transporting Co., Ltd. | | | (6,000 | ) | | $ | (27,710 | ) | |
| Hitachi Transport System Ltd. | | | (2,000 | ) | | | (29,159 | ) | |
| Keihin Electric Express Railway Co., Ltd. | | | (5,983 | ) | | | (52,833 | ) | |
| Keio Corp. | | | (7,000 | ) | | | (45,157 | ) | |
| Keisei Electric Railway Co., Ltd. | | | (7,000 | ) | | | (39,103 | ) | |
| Nippon Konpo Unyu Soko Co., Ltd. | | | (2,000 | ) | | | (23,208 | ) | |
| Nishi-Nippon Railroad Co., Ltd. | | | (7,000 | ) | | | (28,246 | ) | |
| Odakyu Electric Railway Co., Ltd. | | | (7,000 | ) | | | (60,039 | ) | |
| Sankyu, Inc. | | | (2,000 | ) | | | (7,975 | ) | |
| Seino Holdings Corp. | | | (1,000 | ) | | | (6,876 | ) | |
| Sotetsu Holdings, Inc. | | | (6,000 | ) | | | (26,613 | ) | |
| Tobu Railway Co., Ltd. | | | (9,000 | ) | | | (48,435 | ) | |
| | | | (395,354 | ) | |
| Semiconductors & Semiconductor Equipment (-0.1%) | |
| Advantest Corp. | | | (400 | ) | | | (8,352 | ) | |
| Disco Corp. | | | (400 | ) | | | (25,284 | ) | |
| Mitsui High-Tec, Inc.* | | | (1,900 | ) | | | (12,866 | ) | |
| Shinkawa Ltd. | | | (1,800 | ) | | | (25,333 | ) | |
| | | | (71,835 | ) | |
| Software (-0.1%) | |
| Fuji Soft, Inc. | | | (800 | ) | | | (13,204 | ) | |
| NSD Co., Ltd. | | | (1,600 | ) | | | (18,132 | ) | |
| Oracle Corp. | | | (700 | ) | | | (34,369 | ) | |
| Square Enix Co., Ltd. | | | (1,200 | ) | | | (22,085 | ) | |
| | | | (87,790 | ) | |
| Specialty Retail (-0.2%) | |
| ABC-Mart, Inc. | | | (800 | ) | | | (31,356 | ) | |
| Autobacs Seven Co., Ltd. | | | (800 | ) | | | (28,989 | ) | |
| Komeri Co., Ltd. | | | (1,000 | ) | | | (22,385 | ) | |
| Nitori Co., Ltd. | | | (494 | ) | | | (42,546 | ) | |
| Point, Inc. | | | (460 | ) | | | (25,209 | ) | |
| Shimamura Co., Ltd. | | | (400 | ) | | | (36,136 | ) | |
| Tsutsumi Jewelry Co., Ltd. | | | (1,000 | ) | | | (21,255 | ) | |
| USS Co., Ltd. | | | (29 | ) | | | (2,070 | ) | |
| | | | (209,946 | ) | |
| Textiles, Apparel & Luxury Goods (-0.0%) | |
| Asics Corp. | | | (51 | ) | | | (467 | ) | |
| Japan Vilene Co. Ltd. | | | (1,000 | ) | | | (4,225 | ) | |
| Wacoal Holdings Corp. | | | (2,000 | ) | | | (24,262 | ) | |
| | | | (28,954 | ) | |
See Accompanying Notes to Financial Statements.
60
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Japan | |
| Trading Companies & Distributors (-0.1%) | |
| MISUMI Corp. | | | (1,500 | ) | | $ | (27,676 | ) | |
| Nagase & Co., Ltd. | | | (1,000 | ) | | | (10,390 | ) | |
| Shinsho Corp. | | | (4,000 | ) | | | (7,846 | ) | |
| Trusco Nakayama Corp. | | | (1,400 | ) | | | (21,640 | ) | |
| Yamazen Corp. | | | (1,900 | ) | | | (8,504 | ) | |
| | | | (76,056 | ) | |
| Transportation Infrastructure (-0.1%) | |
| Japan Airport Terminal Co., Ltd. | | | (1,600 | ) | | | (23,569 | ) | |
| Kamigumi Co., Ltd. | | | (4,964 | ) | | | (38,058 | ) | |
| Mitsubishi Logistics Corp. | | | (2,000 | ) | | | (22,270 | ) | |
| | | | (83,897 | ) | |
| TOTAL JAPAN | | | (5,528,477 | ) | |
| Luxembourg (-0.2%) | |
| Energy Equipment & Services (-0.0%) | |
| Acergy SA | | | (2,905 | ) | | | (43,042 | ) | |
| Media (-0.1%) | |
| SES SA | | | (3,098 | ) | | | (64,536 | ) | |
| Metals & Mining (-0.0%) | |
| ArcelorMittal | | | (1,429 | ) | | | (38,392 | ) | |
| Wireless Telecommunication Services (-0.1%) | |
| Millicom International Cellular SA | | | (816 | ) | | | (66,342 | ) | |
| TOTAL LUXEMBOURG | | | (212,312 | ) | |
| Netherlands (-0.8%) | |
| Aerospace & Defense (-0.1%) | |
| European Aeronautic Defence & Space Co. NV* | | | (3,756 | ) | | | (76,780 | ) | |
| Air Freight & Logistics (-0.1%) | |
| TNT NV | | | (3,171 | ) | | | (80,002 | ) | |
| Chemicals (-0.1%) | |
| Akzo Nobel NV | | | (1,740 | ) | | | (90,588 | ) | |
| Computers & Peripherals (-0.0%) | |
| Gemalto NV | | | (1,091 | ) | | | (41,127 | ) | |
| Construction & Engineering (-0.0%) | |
| Koninklijke Boskalis Westminster NV | | | (166 | ) | | | (6,461 | ) | |
| Energy Equipment & Services (-0.1%) | |
| Fugro NV | | | (1,144 | ) | | | (52,939 | ) | |
| SBM Offshore NV | | | (3,325 | ) | | | (47,648 | ) | |
| | | | (100,587 | ) | |
| Life Sciences Tools & Services (-0.0%) | |
| QIAGEN NV* | | | (2,835 | ) | | | (55,247 | ) | |
See Accompanying Notes to Financial Statements.
61
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Netherlands | |
| Media (-0.1%) | |
| Reed Elsevier NV | | | (6,582 | ) | | $ | (72,986 | ) | |
| Wolters Kluwer NV | | | (3,393 | ) | | | (65,177 | ) | |
| | | | (138,163 | ) | |
| Professional Services (-0.1%) | |
| Randstad Holding NV* | | | (1,526 | ) | | | (60,065 | ) | |
| Real Estate Investment Trusts (-0.0%) | |
| Corio NV | | | (1,107 | ) | | | (53,847 | ) | |
| Semiconductors & Semiconductor Equipment (-0.1%) | |
| STMicroelectronics NV | | | (12,663 | ) | | | (100,791 | ) | |
| | | | (100,791 | ) | |
| Transportation Infrastructure (-0.1%) | |
| Koninklijke Vopak NV | | | (2,611 | ) | | | (95,843 | ) | |
| TOTAL NETHERLANDS | | | (899,501 | ) | |
| Norway (-0.3%) | |
| Commercial Banks (-0.1%) | |
| DnB NOR ASA | | | (8,398 | ) | | | (80,831 | ) | |
| Diversified Telecommunication Services (-0.1%) | |
| Telenor ASA | | | (6,937 | ) | | | (87,449 | ) | |
| Energy Equipment & Services (-0.0%) | |
| Petroleum Geo-Services ASA* | | | (4,301 | ) | | | (35,876 | ) | |
| Industrial Conglomerates (-0.1%) | |
| Orkla ASA | | | (9,252 | ) | | | (59,210 | ) | |
| Insurance (-0.0%) | |
| Storebrand ASA* | | | (7,695 | ) | | | (39,591 | ) | |
| TOTAL NORWAY | | | (302,957 | ) | |
| Portugal (0.0%) | |
| Construction Materials (-0.0%) | |
| Cimpor Cimentos de Portugal SGPS SA | | | (9,086 | ) | | | (51,141 | ) | |
| TOTAL PORTUGAL | | | (51,141 | ) | |
| Spain (-0.5%) | |
| Commercial Banks (-0.0%) | |
| Banco Bilbao Vizcaya Argentaria SA | | | (670 | ) | | | (6,915 | ) | |
| Construction & Engineering (-0.1%) | |
| Ferrovial SA | | | (8,439 | ) | | | (54,674 | ) | |
| Electric Utilities (-0.1%) | |
| Red Electrica Corp. SA | | | (1,494 | ) | | | (53,582 | ) | |
| Electrical Equipment (-0.0%) | |
| Gamesa Corp. Tecnologica SA* | | | (5,453 | ) | | | (46,903 | ) | |
See Accompanying Notes to Financial Statements.
62
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Spain | |
| Gas Utilities (-0.0%) | |
| Enagas | | | (3,242 | ) | | $ | (48,917 | ) | |
| Independent Power Producers & Energy Traders (-0.1%) | |
| Iberdrola Renovables SA | | | (16,949 | ) | | | (53,281 | ) | |
| Machinery (-0.0%) | |
| Zardoya Otis SA | | | (3,764 | ) | | | (48,438 | ) | |
| Pharmaceuticals (-0.0%) | |
| Faes Farma SA | | | (14,398 | ) | | | (49,463 | ) | |
| Specialty Retail (-0.1%) | |
| Inditex SA | | | (1,650 | ) | | | (94,243 | ) | |
| Transportation Infrastructure (-0.1%) | |
| Abertis Infraestructuras SA | | | (4,206 | ) | | | (60,558 | ) | |
| TOTAL SPAIN | | | (516,974 | ) | |
| Sweden (-1.0%) | |
| Building Products (-0.1%) | |
| Assa Abloy AB Class B | | | (3,373 | ) | | | (67,552 | ) | |
| Capital Markets (-0.0%) | |
| Ratos AB B Shares | | | (2,122 | ) | | | (53,269 | ) | |
| Commercial Banks (-0.3%) | |
| Nordea Bank AB | | | (19,080 | ) | | | (157,647 | ) | |
| Svenska Handelsbanken AB A Shares | | | (3,875 | ) | | | (94,984 | ) | |
| Swedbank AB A Shares* | | | (8,027 | ) | | | (73,807 | ) | |
| | | | (326,438 | ) | |
| Diversified Financial Services (-0.1%) | |
| Kinnevik Investment AB | | | (3,549 | ) | | | (56,932 | ) | |
| Diversified Telecommunication Services (-0.1%) | |
| TeliaSonera AB | | | (16,202 | ) | | | (104,314 | ) | |
| Health Care Equipment & Supplies (-0.1%) | |
| Elekta AB B Shares | | | (1,680 | ) | | | (42,597 | ) | |
| Getinge AB B Shares | | | (2,963 | ) | | | (57,456 | ) | |
| | | | (100,053 | ) | |
| Household Durables (-0.1%) | |
| Electrolux AB Series B | | | (2,879 | ) | | | (65,946 | ) | |
| Husqvarna AB B Shares | | | (8,495 | ) | | | (51,185 | ) | |
| | | | (117,131 | ) | |
| Machinery (-0.1%) | |
| Alfa Laval AB | | | (4,709 | ) | | | (61,273 | ) | |
| Sandvik AB | | | (1,799 | ) | | | (21,988 | ) | |
| Volvo AB* | | | (4,078 | ) | | | (43,047 | ) | |
| | | | (126,308 | ) | |
See Accompanying Notes to Financial Statements.
63
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Sweden | |
| Media (-0.1%) | |
| Modern Times Group AB B Shares | | | (1,023 | ) | | $ | (56,113 | ) | |
| Metals & Mining (-0.0%) | |
| SSAB AB A Shares | | | (3,772 | ) | | | (50,743 | ) | |
| Pharmaceuticals (-0.0%) | |
| Meda AB | | | (909 | ) | | | (6,602 | ) | |
| Real Estate Management & Development (-0.0%) | |
| Castellum AB | | | (4,786 | ) | | | (43,453 | ) | |
| TOTAL SWEDEN | | | (1,108,908 | ) | |
| Switzerland (-1.9%) | |
| Biotechnology (-0.1%) | |
| Actelion, Ltd.* | | | (1,569 | ) | | | (58,719 | ) | |
| Basilea Pharmaceutica AG* | | | (663 | ) | | | (36,797 | ) | |
| | | | (95,516 | ) | |
| Building Products (-0.1%) | |
| Geberit AG | | | (436 | ) | | | (67,808 | ) | |
| Capital Markets (-0.1%) | |
| EFG International AG | | | (3,094 | ) | | | (36,914 | ) | |
| Julius Baer Group Ltd. | | | (2,340 | ) | | | (66,689 | ) | |
| | | | (103,603 | ) | |
| Chemicals (-0.2%) | |
| Clariant AG* | | | (3,555 | ) | | | (44,994 | ) | |
| Givaudan SA | | | (82 | ) | | | (69,613 | ) | |
| Syngenta AG | | | (581 | ) | | | (134,158 | ) | |
| | | | (248,765 | ) | |
| Construction Materials (-0.1%) | |
| Holcim, Ltd. | | | (1,699 | ) | | | (113,681 | ) | |
| Diversified Telecommunication Services (-0.1%) | |
| Swisscom AG | | | (226 | ) | | | (76,583 | ) | |
| Electric Utilities (-0.0%) | |
| BKW FMB Energie AG | | | (659 | ) | | | (41,460 | ) | |
| Food Products (-0.1%) | |
| Aryzta AG | | | (1,600 | ) | | | (61,531 | ) | |
| Health Care Equipment & Supplies (-0.2%) | |
| Nobel Biocare Holding AG | | | (2,818 | ) | | | (48,487 | ) | |
| Sonova Holding AG | | | (565 | ) | | | (69,303 | ) | |
| Straumann Holding AG | | | (231 | ) | | | (49,936 | ) | |
| Synthes, Inc. | | | (650 | ) | | | (74,703 | ) | |
| | | | (242,429 | ) | |
See Accompanying Notes to Financial Statements.
64
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| Switzerland | |
| Insurance (-0.3%) | |
| Baloise Holding AG | | | (794 | ) | | $ | (55,242 | ) | |
| Swiss Life Holding AG* | | | (540 | ) | | | (51,585 | ) | |
| Swiss Reinsurance Co., Ltd. | | | (2,530 | ) | | | (103,905 | ) | |
| Zurich Financial Services AG | | | (636 | ) | | | (140,118 | ) | |
| | | | (350,850 | ) | |
| Life Sciences Tools & Services (-0.0%) | |
| Lonza Group AG | | | (548 | ) | | | (36,469 | ) | |
| Machinery (-0.0%) | |
| Georg Fischer AG* | | | (133 | ) | | | (43,314 | ) | |
| Marine (-0.1%) | |
| Kuehne + Nagel International AG | | | (665 | ) | | | (68,422 | ) | |
| Oil, Gas & Consumable Fuels (-0.0%) | |
| Petroplus Holdings AG* | | | (2,803 | ) | | | (41,191 | ) | |
| Professional Services (-0.1%) | |
| Adecco SA | | | (1,433 | ) | | | (68,332 | ) | |
| Real Estate Management & Development (-0.1%) | |
| PSP Swiss Property AG* | | | (727 | ) | | | (43,466 | ) | |
| Swiss Prime Site AG* | | | (722 | ) | | | (43,693 | ) | |
| | | | (87,159 | ) | |
| Textiles, Apparel & Luxury Goods (-0.3%) | |
| Compagnie Financiere Richemont SA Class A | | | (3,391 | ) | | | (118,333 | ) | |
| The Swatch Group AG | | | (1,278 | ) | | | (65,280 | ) | |
| The Swatch Group AG BR | | | (281 | ) | | | (79,212 | ) | |
| | | | (262,825 | ) | |
| TOTAL SWITZERLAND | | | (2,009,938 | ) | |
| United Kingdom (-2.3%) | |
| Aerospace & Defense (-0.1%) | |
| Cobham PLC | | | (16,984 | ) | | | (53,876 | ) | |
| Beverages (-0.2%) | |
| Diageo PLC | | | (1,878 | ) | | | (29,539 | ) | |
| SABMiller PLC | | | (5,641 | ) | | | (158,388 | ) | |
| | | | (187,927 | ) | |
| Chemicals (-0.1%) | |
| Johnson Matthey PLC | | | (2,756 | ) | | | (61,312 | ) | |
| Commercial Services & Supplies (-0.1%) | |
| G4S PLC | | | (16,317 | ) | | | (64,779 | ) | |
| Serco Group PLC | | | (6,678 | ) | | | (58,397 | ) | |
| | | | (123,176 | ) | |
See Accompanying Notes to Financial Statements.
65
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| United Kingdom | |
| Construction & Engineering (-0.0%) | |
| Balfour Beatty PLC | | | (13,826 | ) | | $ | (49,240 | ) | |
| Containers & Packaging (-0.0%) | |
| Rexam PLC | | | (8,272 | ) | | | (37,262 | ) | |
| Energy Equipment & Services (-0.1%) | |
| AMEC PLC | | | (4,817 | ) | | | (59,094 | ) | |
| Food & Staples Retailing (-0.1%) | |
| WM Morrison Supermarkets PLC | | | (19,683 | ) | | | (77,882 | ) | |
| Food Products (-0.1%) | |
| Associated British Foods PLC | | | (4,367 | ) | | | (63,326 | ) | |
| Health Care Equipment & Supplies (-0.1%) | |
| Smith & Nephew PLC | | | (9,314 | ) | | | (88,112 | ) | |
| Hotels, Restaurants & Leisure (-0.2%) | |
| Carnival PLC | | | (1,808 | ) | | | (58,642 | ) | |
| Intercontinental Hotels Group PLC | | | (3,656 | ) | | | (57,696 | ) | |
| Ladbrokes PLC | | | (20,238 | ) | | | (38,295 | ) | |
| Thomas Cook Group PLC | | | (17,959 | ) | | | (47,599 | ) | |
| Whitbread PLC | | | (2,782 | ) | | | (58,174 | ) | |
| | | | (260,406 | ) | |
| Household Durables (-0.0%) | |
| Berkeley Group Holdings PLC* | | | (3,590 | ) | | | (40,787 | ) | |
| Independent Power Producers & Energy Traders (-0.0%) | |
| Drax Group PLC | | | (8,303 | ) | | | (46,526 | ) | |
| Industrial Conglomerates (-0.0%) | |
| Tomkins PLC | | | (15,308 | ) | | | (51,483 | ) | |
| Insurance (-0.1%) | |
| Admiral Group PLC | | | (2,922 | ) | | | (61,275 | ) | |
| Prudential PLC | | | (4,835 | ) | | | (36,517 | ) | |
| | | | (97,792 | ) | |
| Internet & Catalog Retail (-0.0%) | |
| Home Retail Group PLC | | | (15,455 | ) | | | (49,143 | ) | |
| Machinery (-0.0%) | |
| Invensys PLC | | | (13,872 | ) | | | (49,728 | ) | |
| Media (-0.2%) | |
| British Sky Broadcasting Group PLC | | | (9,774 | ) | | | (102,194 | ) | |
| Reed Elsevier PLC | | | (11,155 | ) | | | (82,823 | ) | |
| | | | (185,017 | ) | |
See Accompanying Notes to Financial Statements.
66
Credit Suisse Trust — International Equity Flex III Portfolio
Schedule of Investments (continued)
June 30, 2010 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT STOCK POSITIONS | |
| COMMON STOCKS | |
| United Kingdom | |
| Metals & Mining (-0.2%) | |
| Antofagasta PLC | | | (5,116 | ) | | $ | (59,602 | ) | |
| Eurasian Natural Resources Corp. | | | (2,961 | ) | | | (37,729 | ) | |
| Fresnillo PLC | | | (1,892 | ) | | | (27,505 | ) | |
| Kazakhmys PLC | | | (3,583 | ) | | | (52,665 | ) | |
| Lonmin PLC* | | | (2,512 | ) | | | (52,522 | ) | |
| | | | (230,023 | ) | |
| Multi-Utilities (-0.1%) | |
| United Utilities Group PLC | | | (7,847 | ) | | | (61,488 | ) | |
| Multiline Retail (-0.1%) | |
| Marks & Spencer Group PLC | | | (15,274 | ) | | | (75,347 | ) | |
| Professional Services (-0.1%) | |
| The Capita Group PLC | | | (6,290 | ) | | | (69,391 | ) | |
| Real Estate Management & Development (-0.0%) | |
| Atrium European Real Estate Ltd. | | | (8,880 | ) | | | (38,266 | ) | |
| Road & Rail (-0.0%) | |
| Firstgroup PLC | | | (9,292 | ) | | | (50,506 | ) | |
| Software (-0.1%) | |
| The Sage Group PLC | | | (16,996 | ) | | | (58,555 | ) | |
| Textiles, Apparel & Luxury Goods (-0.1%) | |
| Burberry Group PLC | | | (5,585 | ) | | | (63,159 | ) | |
| Tobacco (-0.1%) | |
| Imperial Tobacco Group PLC | | | (5,562 | ) | | | (155,614 | ) | |
| Water Utilities (-0.1%) | |
| Severn Trent PLC | | | (3,231 | ) | | | (59,379 | ) | |
| TOTAL UNITED KINGDOM | | | (2,443,817 | ) | |
| TOTAL COMMON STOCKS (Proceeds $22,539,367) | | | (20,219,185 | ) | |
| PREFERRED STOCKS (-0.1%) | |
| Germany (-0.1%) | |
| Automobiles (-0.1%) | |
| Volkswagen AG (Proceeds $64,828) | | | (732 | ) | | | (64,341 | ) | |
| TOTAL GERMANY | | | (64,341 | ) | |
| TOTAL SECURITIES SOLD SHORT (Proceeds $22,604,195) | | | | | | $ | (20,283,526 | ) | |
* 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.
67
Credit Suisse Trust — International Equity Flex III Portfolio
Statement of Assets and Liabilities
June 30, 2010 (unaudited)
| Assets | |
Investments at value, including collateral for securities on loan of $7,940,455
(Cost $141,118,909) (Note 2) | | $ | 134,383,0621 | | |
| Foreign currency at value (cost $427,493) | | | 429,996 | | |
| Cash segregated at brokers for short sales | | | 21,273,284 | | |
| Receivable for investments sold | | | 1,806,871 | | |
| Dividend receivable | | | 318,951 | | |
| Receivable for portfolio shares sold | | | 58,328 | | |
| Prepaid expenses and other assets | | | 13,367 | | |
| Total Assets | | | 158,283,859 | | |
| Liabilities | |
| Advisory fee payable (Note 3) | | | 45,690 | | |
| Administrative services fee payable (Note 3) | | | 30,317 | | |
| Payable upon return of securities loaned (Note 2) | | | 29,213,739 | | |
| Securities sold short, at value (Proceeds $22,604,195) | | | 20,283,526 | | |
| Payable for investments purchased | | | 1,769,557 | | |
| Payable for portfolio shares redeemed | | | 145,958 | | |
| Dividend expense payable on securities sold short | | | 84,754 | | |
| Due to custodian | | | 8,878 | | |
| Trustees' fee payable | | | 5,249 | | |
| Other accrued expenses payable | | | 61,763 | | |
| Total Liabilities | | | 51,649,431 | | |
| Net Assets | |
| Capital stock, $.001 par value (Note 6) | | | 20,852 | | |
| Paid-in capital (Note 6) | | | 125,408,082 | | |
| Undistributed net investment income | | | 1,991,580 | | |
| Accumulated net realized loss on investments, short sales and foreign currency transactions | | | (16,375,626 | ) | |
| Net unrealized depreciation from investments, short sales and foreign currency translations | | | (4,410,460 | ) | |
| Net Assets | | $ | 106,634,428 | | |
| Shares outstanding | | | 20,852,368 | | |
| Net asset value, offering price and redemption price per share | | $ | 5.11 | | |
1 Including $28,406,500 of securities on loan.
See Accompanying Notes to Financial Statements.
68
Credit Suisse Trust — International Equity Flex III Portfolio
Statement of Operations
For the Six Months Ended June 30, 2010 (unaudited)
| Investment Income (Note 2) | |
| Dividends | | $ | 3,512,331 | | |
| Securities lending | | | 139,829 | | |
| Foreign taxes withheld | | | (363,282 | ) | |
| Total investment income | | | 3,288,878 | | |
| Expenses | |
| Investment advisory fees (Note 3) | | | 610,549 | | |
| Administrative services fees (Note 3) | | | 130,487 | | |
| Dividend expense for securities sold short | | | 590,358 | | |
| Custodian fees | | | 90,689 | | |
| Short sales expense | | | 88,317 | | |
| Printing fees (Note 3) | | | 35,908 | | |
| Legal fees | | | 29,127 | | |
| Audit and tax fees | | | 21,612 | | |
| Trustees' fees | | | 12,547 | | |
| Transfer agent fees | | | 12,402 | | |
| Insurance expense | | | 3,846 | | |
| Commitment fees (Note 4) | | | 1,599 | | |
| Miscellaneous expense | | | 6,549 | | |
| Total expenses | | | 1,633,990 | | |
| Less: fees waived (Note 3) | | | (217,862 | ) | |
| Net expenses | | | 1,416,128 | | |
| Net investment income | | | 1,872,750 | | |
Net Realized and Unrealized Gain (Loss) from Investments, Short Sales and Foreign Currency
Related Items | |
| Net realized gain from investments | | | 4,248,127 | | |
| Net realized gain from short sales | | | 1,816,139 | | |
| Net realized loss from foreign currency transactions | | | (48,027 | ) | |
| Net change in unrealized appreciation (depreciation) from investments | | | (26,431,454 | ) | |
| Net change in unrealized appreciation (depreciation) from short sales | | | 2,679,060 | | |
| Net change in unrealized appreciation (depreciation) from foreign currency translations | | | 5,195 | | |
| Net realized and unrealized loss from investments, short sales and foreign currency related items | | | (17,730,960 | ) | |
| Net decrease in net assets resulting from operations | | $ | (15,858,210 | ) | |
See Accompanying Notes to Financial Statements.
69
Credit Suisse Trust — International Equity Flex III Portfolio
Statements of Changes in Net Assets
| | | For the Six Months
Ended
June 30, 2010
(unaudited) | | For the Year
Ended
December 31, 2009 | |
| From Operations | |
| Net investment income | | $ | 1,872,750 | | | $ | 999,305 | | |
Net realized gain from investments, short sales and
foreign currency transactions | | | 6,016,239 | | | | 2,408,103 | | |
Net change in unrealized appreciation (depreciation) from investments,
short sales and foreign currency translations | | | (23,747,199 | ) | | | 21,660,958 | | |
| Net increase (decrease) in net assets resulting from operations | | | (15,858,210 | ) | | | 25,068,366 | | |
| From Dividends and Distributions | |
| Dividends from net investment income | | | — | | | | (1,577,832 | ) | |
| Distributions from net realized gains | | | — | | | | (2,147,844 | ) | |
| Net decrease in net assets resulting from dividends and distributions | | | — | | | | (3,725,676 | ) | |
| From Capital Share Transactions (Note 6) | |
| Proceeds from sale of shares | | | 8,546,729 | | | | 17,093,006 | | |
| Exchange value of shares due to merger | | | — | | | | 59,791,876 | | |
| Reinvestment of dividends and distributions | | | — | | | | 3,725,676 | | |
| Net asset value of shares redeemed | | | (16,573,959 | ) | | | (24,678,017 | ) | |
| Net increase (decrease) in net assets from capital share transactions | | | (8,027,230 | ) | | | 55,932,541 | | |
| Net increase (decrease) in net assets | | | (23,885,440 | ) | | | 77,275,231 | | |
| Net Assets | |
| Beginning of period | | | 130,519,868 | | | | 53,244,637 | | |
| End of period | | $ | 106,634,428 | | | $ | 130,519,868 | | |
| Undistributed net investment income | | $ | 1,991,580 | | | $ | 118,830 | | |
See Accompanying Notes to Financial Statements.
70
Credit Suisse Trust — International Equity Flex III Portfolio
Statement of Cash Flows
For the Six Months Ended June 30, 2010 (unaudited)
| Cash Flows from Operating Activities | |
| Dividends, interest and securities lending income received | | $ | 3,128,865 | | | | | | |
| Gain received from litigation | | | 68,084 | | | | | | |
| Operating expenses paid | | | (950,704 | ) | | | | | |
| Dividend expense paid on securities sold short | | | (518,337 | ) | | | | | |
| Purchases of long-term securities | | | (195,385,113 | ) | | | | | |
| Proceeds from sales of long-term securities | | | 201,074,408 | | | | | | |
| Purchases to cover securities sold short | | | (106,540,981 | ) | | | | | |
| Proceeds from securities sold short | | | 105,454,357 | | | | | | |
| Proceeds from short-term securities, net | | | 1,893,000 | | | | | | |
| Net cash provided by operating activities | | | | | | $ | 8,223,579 | | |
| Cash Flows from Financing Activities | |
| Proceeds from sale of shares | | | 8,700,422 | | | | | | |
| Cost of shares redeemed | | | (16,614,918 | ) | | | | | |
| Net cash used by financing activities | | | | | | | (7,914,496 | ) | |
| Effect of exchange rate on cash | | | | | | | (42,833 | ) | |
| Net increase in cash | | | | | | | 266,250 | | |
| Cash — beginning of period | | | | | | | 154,868 | | |
| Cash — end of period | | | | | | $ | 421,118 | | |
RECONCILIATION OF NET DECREASE IN NET ASSETS FROM OPERATIONS TO
NET CASH PROVIDED BY OPERATING ACTIVITIES | |
| Net decrease in net assets resulting from operations | | | | | | $ | (15,858,210 | ) | |
Adjustments to Reconcile Net Decrease in Net Assets from Operations to
Net Cash Provided by Operating Activities | |
| Change in dividends and interest receivable | | $ | (160,013 | ) | | | | | |
| Change in accrued expenses | | | (126,153 | ) | | | | | |
| Change in prepaid expenses and other assets | | | (2,199 | ) | | | | | |
| Change in advisory fee payable | | | 3,418 | | | | | | |
| Change in dividend expense payable on securities sold short | | | 72,021 | | | | | | |
| Purchases of long-term securities | | | (195,385,113 | ) | | | | | |
| Proceeds from sales of long-term securities | | | 201,074,408 | | | | | | |
| Purchases to cover securities sold short | | | (106,540,981 | ) | | | | | |
| Proceeds from securities sold short | | | 105,454,357 | | | | | | |
| Proceeds from short-term securities, net | | | 1,893,000 | | | | | | |
Net change in unrealized depreciation from investments, short sales and
foreign currency translations | | | 23,747,199 | | | | | | |
| Net realized gain from investments, short sales and foreign currency transactions | | | (5,948,155 | ) | | | | | |
| Total adjustments | | | | | | | 24,081,789 | | |
| Net cash provided by operating activities | | | | | | $ | 8,223,579 | | |
| Non-Cash Activity: | |
| Dividend reinvestments | | | | | | $ | — | | |
See Accompanying Notes to Financial Statements.
71
Credit Suisse Trust — International Equity Flex III Portfolio
Financial Highlights
(For a Share of the Portfolio Outstanding Throughout Each Period)
| | | For the Six
Months Ended
June 30, 2010 | | For the Year Ended December 31, | |
| | | (unaudited) | | 2009 | | 2008 | | 2007 | | 2006 | | 2005 | |
| Per share data | |
| Net asset value, beginning of period | | $ | 5.86 | | | $ | 4.08 | | | $ | 23.58 | | | $ | 21.85 | | | $ | 16.82 | | | $ | 13.25 | | |
| INVESTMENT OPERATIONS | |
| Net investment income | | | 0.09 | | | | 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) | | | (0.84 | ) | | | 2.01 | | | | (10.11 | )1 | | | 5.58 | | | | 5.19 | | | | 3.53 | | |
| Total from investment operations | | | (0.75 | ) | | | 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 period | | $ | 5.11 | | | $ | 5.86 | | | $ | 4.08 | | | $ | 23.58 | | | $ | 21.85 | | | $ | 16.82 | | |
| Total return2 | | | (12.80 | )% | | | 51.62 | % | | | (54.80 | )% | | | 29.44 | % | | | 32.51 | % | | | 27.84 | % | |
| RATIOS AND SUPPLEMENTAL DATA | |
| Net assets, end of period (000s omitted) | | $ | 106,634 | | | $ | 130,520 | | | $ | 53,245 | | | $ | 179,817 | | | $ | 242,319 | | | $ | 186,190 | | |
| Ratio of expenses to average net assets | | | 2.32 | %3 | | | 1.14 | % | | | 1.04 | % | | | 1.30 | % | | | 1.36 | % | | | 1.40 | % | |
Ratio of expenses to average net assets
excluding short sales dividend expense | | | 1.35 | %3 | | | 1.08 | % | | | — | | | | — | | | | — | | | | — | | |
Ratio of net investment income
to average net assets | | | 3.07 | %3 | | | 1.57 | % | | | 1.40 | % | | | 0.94 | % | | | 1.11 | % | | | 1.11 | % | |
Decrease reflected in above
operating expense ratios
due to waivers/reimbursements | | | 0.36 | %3 | | | 0.40 | % | | | 0.25 | % | | | 0.15 | % | | | 0.23 | % | | | 0.25 | % | |
| Portfolio turnover rate | | | 163 | % | | | 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.
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 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.
3 Annualized.
See Accompanying Notes to Financial Statements.
72
Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements
June 30, 2010 (unaudited)
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
73
Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
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.
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Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 2. Significant Accounting Policies
The following is a summary of the inputs used as of June 30, 2010 in valuing the Portfolio's investments carried at value:
| | | Level 1 | | Level 2 | | Level 3 | | Total | |
| Investments in Securities | |
| Common Stocks | |
| Asia | | $ | 3,459,739 | | | $ | — | | | $ | — | | | $ | 3,459,739 | | |
| Australia | | | 189,192 | | | | 6,065,011 | | | | — | | | | 6,254,203 | | |
| Austria | | | — | | | | 516,008 | | | | — | | | | 516,008 | | |
| Belgium | | | — | | | | 2,605,211 | | | | — | | | | 2,605,211 | | |
| Bermuda | | | — | | | | 225,735 | | | | — | | | | 225,735 | | |
| Denmark | | | — | | | | 2,301,247 | | | | — | | | | 2,301,247 | | |
| Finland | | | — | | | | 3,283,338 | | | | — | | | | 3,283,338 | | |
| France | | | — | | | | 9,995,694 | | | | — | | | | 9,995,694 | | |
| Germany | | | — | | | | 11,150,213 | | | | — | | | | 11,150,213 | | |
| Greece | | | — | | | | 160,669 | | | | — | | | | 160,669 | | |
| Hong Kong | | | 1,881,373 | | | | — | | | | — | | | | 1,881,373 | | |
| Ireland | | | 83 | | | | 19,659 | | | | — | | | | 19,742 | | |
| Israel | | | 614,393 | | | | 132,057 | | | | — | | | | 746,450 | | |
| Italy | | | 4,265 | | | | 3,904,603 | | | | — | | | | 3,908,868 | | |
| Japan | | | 939,112 | | | | 29,593,649 | | | | — | | | | 30,532,761 | | |
| Luxembourg | | | — | | | | 33,310 | | | | — | | | | 33,310 | | |
| Netherlands | | | — | | | | 5,167,372 | | | | — | | | | 5,167,372 | | |
| Norway | | | — | | | | 569,023 | | | | — | | | | 569,023 | | |
| Portugal | | | — | | | | 679,230 | | | | — | | | | 679,230 | | |
| Singapore | | | 1,272,154 | | | | — | | | | — | | | | 1,272,154 | | |
| Spain | | | — | | | | 2,978,299 | | | | — | | | | 2,978,299 | | |
| Sweden | | | — | | | | 5,819,110 | | | | — | | | | 5,819,110 | | |
| Switzerland | | | — | | | | 5,945,205 | | | | — | | | | 5,945,205 | | |
| United Kingdom | | | 200,452 | | | | 25,922,604 | | | | — | | | | 26,123,056 | | |
| Preferred Stocks | |
| Germany | | | — | | | | 809,335 | | | | — | | | | 809,335 | | |
| Rights | |
| Norway | | | 5,066 | | | | — | | | | — | | | | 5,066 | | |
| Warrants | |
| Italy | | | 196 | | | | — | | | | — | | | | 196 | | |
| Short-Term Investment | | | 7,940,455 | | | | — | | | | — | | | | 7,940,455 | | |
| Securities Sold Short | |
| Common Stocks | |
| Austria | | | — | | | | (290,874 | ) | | | — | | | | (290,874 | ) | |
| Belgium | | | — | | | | (482,781 | ) | | | — | | | | (482,781 | ) | |
| Bermuda | | | — | | | | (56,589 | ) | | | — | | | | (56,589 | ) | |
| Cyprus | | | — | | | | (38,245 | ) | | | — | | | | (38,245 | ) | |
| Denmark | | | — | | | | (457,910 | ) | | | — | | | | (457,910 | ) | |
| Finland | | | — | | | | (240,959 | ) | | | — | | | | (240,959 | ) | |
| France | | | — | | | | (3,013,045 | ) | | | — | | | | (3,013,045 | ) | |
| Germany | | | (63,400 | ) | | | (1,238,404 | ) | | | — | | | | (1,301,804 | ) | |
| Italy | | | — | | | | (1,262,953 | ) | | | — | | | | (1,262,953 | ) | |
| Japan | | | — | | | | (5,528,477 | ) | | | — | | | | (5,528,477 | ) | |
| Luxembourg | | | — | | | | (212,312 | ) | | | — | | | | (212,312 | ) | |
| Netherlands | | | — | | | | (899,501 | ) | | | — | | | | (899,501 | ) | |
| Norway | | | — | | | | (302,957 | ) | | | — | | | | (302,957 | ) | |
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Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 2. Significant Accounting Policies
| | | Level 1 | | Level 2 | | Level 3 | | Total | |
| Portugal | | $ | — | | | $ | (51,141 | ) | | $ | — | | | $ | (51,141 | ) | |
| Spain | | | — | | | | (516,974 | ) | | | — | | | | (516,974 | ) | |
| Sweden | | | — | | | | (1,108,908 | ) | | | — | | | | (1,108,908 | ) | |
| Switzerland | | | — | | | | (2,009,938 | ) | | | — | | | | (2,009,938 | ) | |
| United Kingdom | | | — | | | | (2,443,817 | ) | | | — | | | | (2,443,817 | ) | |
| Preferred Stocks | |
| Germany | | | — | | | | (64,341 | ) | | | — | | | | (64,341 | ) | |
| Other Financial Instruments* | | | — | | | | — | | | | — | | | | — | | |
| | | $ | 16,443,080 | | | $ | 97,656,456 | | | $ | — | | | $ | 114,099,536 | | |
*Other financial instruments include futures, forwards and swap contracts.
Effective January 1, 2010, the Portfolio adopted FASB amendments to authoritative guidance which requires the Portfolio to disclose details of significant transfers in and out of Level 1 and Level 2 measurements and the reasons for the transfers. For the six months ended June 30, 2010, as a result of the fair value pricing procedures for international investments utilized by the Portfolio, certain securities may have transferred in and out of Level 1 and Level 2 measurements during the period.
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.
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Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 2. Significant Accounting Policies
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.
The Portfolio adopted the authoritative guidance for uncertainty in income taxes and recognizes a tax benefit or liability from an uncertain position only if it is more likely than not that the position is sustainable based solely on its technical merits and consideration of the relevant taxing authority's widely understood administrative practices and procedures. The 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
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Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 2. Significant Accounting Policies
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 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 June 30, 2010, 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
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Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 2. Significant Accounting Policies
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.
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 six months ended June 30, 2010, total earnings from the Portfolio's investment in cash collateral received in connection with securities lending arrangements was $187,161, of which $9,160 was rebated to borrowers (brokers). The Portfolio retained $139,829 in income from the cash collateral investment, and SSB, as lending agent, was paid $38,172. Securities lending income is accrued as earned.
K) 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.
L) 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
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Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 2. Significant Accounting Policies
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 June 30, 2010, the Portfolio had no open forward foreign currency contracts.
M) 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.
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 1.00% of the Portfolio's average daily net assets. For the six months ended June 30, 2010, investment advisory fees earned and voluntarily waived were $610,549 and $217,862, respectively. Fee waivers and
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Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 3. Transactions with Affiliates and Related Parties
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 six months ended June 30, 2010, co-administrative services fees earned by CSAMSI were $54,950.
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 six months ended June 30, 2010, co-administrative services fees earned by SSB (including out-of-pocket expenses) were $75,537.
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 six months ended June 30, 2010, Merrill was paid $15,165 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 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 June 30, 2010, and during the six months ended June 30, 2010, the Portfolio had no borrowings under the Credit Facility.
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Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 5. Purchases and Sales of Securities
For the six months ended June 30, 2010, purchases and sales of investment securities (excluding short sales and short-term investments) were $196,235,844 and $202,062,684, respectively. Securities sold short and purchases to cover securities sold short were $105,994,999 and $106,839,181, respectively.
At June 30, 2010, 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 $141,118,909, $4,811,724, $(11,547,571) and $(6,735,847), respectively.
At June 30, 2010, 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 appreciation from securities sold short were $(22,604,195), $2,580,796, $(260,127) and $2,320,669, 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 Six Months Ended
June 30, 2010 (unaudited) | | For the Year Ended
December 31, 2009 | |
| Shares sold | | | 1,486,743 | | | | 3,357,893 | | |
| Shares exchanged due to merger | | | — | | | | 10,314,385 | | |
| Shares issued in reinvestment of dividends and distributions | | | — | | | | 643,468 | | |
| Shares redeemed | | | (2,919,993 | ) | | | (5,091,113 | ) | |
| Net increase (decrease) | | | (1,433,250 | ) | | | 9,224,633 | | |
On June 30, 2010, 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.
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Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 7. 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.
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Credit Suisse Trust — International Equity Flex III Portfolio
Notes to Financial Statements (continued)
June 30, 2010 (unaudited)
Note 7. 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 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 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 August 25, 2010. Management has determined that there are no material events that would require disclosure in the Portfolio's financial statements through this date.
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Credit Suisse Trust — International Equity Flex III Portfolio
Notice of Privacy and Information Practices (unaudited)
At Credit Suisse, we know that you are concerned with how we protect and handle nonpublic personal information that identifies you. This notice is designed to help you understand what nonpublic personal information we collect from you and from other sources, and how we use that information in connection with your investments and investment choices that may be available to you. Except where otherwise noted, this notice is applicable only to consumers who are current or former investors, meaning individual persons whose investments are primarily for household, family or personal use ("individual investors"). Specified sections of this notice, however, also apply to other types of investors (called "institutional investors"). Where the notice applies to institutional investors, the notice expressly states so. This notice is being provided by Credit Suisse Funds and Credit Suisse Closed-End Funds. This notice applies solely to U.S. registered in vestment companies advised by Credit Suisse Asset Management, LLC.
Categories of information we may collect:
We may collect information about you, including nonpublic personal information, such as
• Information we receive from you on applications, forms, agreements, questionnaires, Credit Suisse websites and other websites that are part of our investment program, or in the course of establishing or maintaining a customer relationship, such as your name, address, e-mail address, Social Security number, assets, income, financial situation; and
• Information we obtain from your transactions and experiences with us, our affiliates, or others, such as your account balances or other investment information, assets purchased and sold, and other parties to a transaction, where applicable.
Categories of information we disclose and parties to whom we disclose it:
• We do not disclose nonpublic personal information about our individual investors, except as permitted or required by law or regulation. Whether you are an individual investor or institutional investor, we may share the information described above with our affiliates that perform services on our behalf, and with our asset management and private banking affiliates; as well as with unaffiliated third parties that perform services on our behalf, such as our accountants, auditors, attorneys, broker-dealers, fund administrators, and other service providers.
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Credit Suisse Trust — International Equity Flex III Portfolio
Notice of Privacy and Information Practices (unaudited) (continued)
• We want our investors to be informed about additional products or services. Whether you are an individual investor or an institutional investor, we may disclose information, including nonpublic personal information, regarding our transactions and experiences with you to our affiliates.
• In addition, whether you are an individual investor or an institutional investor, we reserve the right to disclose information, including nonpublic personal information, about you to any person or entity, including without limitation any governmental agency, regulatory authority or self-regulatory organization having jurisdiction over us or our affiliates, if (i) we determine in our discretion that such disclosure is necessary or advisable pursuant to or in connection with any United States federal, state or local, or non-U.S., court order (or other legal process), law, rule, regulation, or executive order or policy, including without limitation any anti-money laundering law or the USA PATRIOT Act of 2001; and (ii) such disclosure is not otherwise prohibited by law, rule, regulation, or executive order or policy.
Confidentiality and security
• To protect nonpublic personal information about individual investors, we restrict access to those employees and agents who need to know that information to provide products or services to us and to our investors. We maintain physical, electronic, and procedural safeguards to protect nonpublic personal information.
Other Disclosures
This notice is not intended to be incorporated in any offering materials, but is a statement of our current Notice of Privacy and Information Practices and may be amended from time to time. This notice is current as of May 3, 2010.
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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.
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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-SAR-0610
Item 2. Code of Ethics.
This item is inapplicable to a semi-annual report on Form N-CSR.
Item 3. Audit Committee Financial Expert.
This item is inapplicable to a semi-annual report on Form N-CSR.
Item 4. Principal Accountant Fees and Services.
This item is inapplicable to a semi-annual report on Form N-CSR.
Item 5. Audit Committee of Listed Registrants.
This item is 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.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
This item is not applicable to the registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
This item is not applicable to the registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
This item is not applicable to the registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
The Nominating Committee recommends Board member candidates. Shareholders of the registrant may also submit nominees that will be considered by the Committee. Recommendations should be mailed to the registrant’s Secretary, c/o Credit Suisse Asset Management, LLC, Eleven Madison Avenue, New York, NY 10010. Any submission should include at a minimum the following information: the name, age, business address, residence address and principal occupation or employment of such individual; the class, series and number of shares of the registrant that are beneficially owned by such individual; the date such shares were acquired and the investment intent of such acquisition; whether such shareholder believes such individual is, or is not, an “interested person” of the registrant (as defined in the Investment Company Act of 1940) and information regarding such individual that is sufficient, in the Committee’s discretion, to make such determination; and all other information relating to such individual that is required to be disclosed in solicitation of proxies for election of directors in an election contest (even if an election contest is not involved) or is otherwise required pursuant to the rules for proxy materials under the Securities Exchange Act of 1934.
Item 11. Controls and Procedures.
(a) As of a date within 90 days from the filing date of this report, the principal executive officer and principal financial officer concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) were effective based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934.
(b) There were no changes in registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Not applicable.
(a)(2) The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report.
(a)(3) Not applicable.
(b) The certifications of the registrant as required by Rule 30a-2(b) under the Act are an exhibit to this report.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CREDIT SUISSE TRUST | |
| | |
/s/John G. Popp | |
Name: | John G. Popp | |
Title: | Chief Executive Officer | |
Date: | September 1, 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/John G. Popp | |
Name: | John G. Popp | |
Title: | Chief Executive Officer | |
Date: | September 1, 2010 | |
| | |
| | |
/s/Michael A. Pignataro | |
Name: | Michael A. Pignataro | |
Title: | Chief Financial Officer | |
Date: | September 1, 2010 | |
