Credit Suisse Trust – Commodity Return Strategy Portfolio
Consolidated Schedule of Investments
September 30, 2024 (unaudited)
| Par (000) | Ratings† (S&P/Moody’s) | Maturity | Rate% | Value | ||||||||||||||
| COMMODITY INDEXED STRUCTURED NOTES (7.5%) | ||||||||||||||||||
| $ | 22,000 | Bank of Montreal, Commodity Index Linked Senior Unsecured Notes, Rule 144A, SOFR(1),(2),(3) | (A+, Aa2) | 06/27/25 | 4.840 | $ | 24,896,792 | |||||||||||
| 22,900 | Royal Bank of Canada, Commodity Index Linked Senior Unsecured Notes, Rule 144A, FEDL01(1),(2),(3) | (AA-, Aa1) | 07/17/25 | 4.830 | 21,315,029 | |||||||||||||
| TOTAL COMMODITY INDEXED STRUCTURED NOTES (Cost $44,900,000) | 46,211,821 | |||||||||||||||||
| UNITED STATES AGENCY OBLIGATIONS (24.6%) | ||||||||||||||||||
| 9,600 | Federal Farm Credit Banks Funding Corp., 1 day USD SOFR + 0.130%(3) | (AA+, Aaa) | 01/28/25 | 4.970 | 9,604,240 | |||||||||||||
| 5,000 | Federal Farm Credit Banks Funding Corp., 1 day USD SOFR + 0.155%(3) | (AA+, Aaa) | 05/02/25 | 4.995 | 5,003,604 | |||||||||||||
| 5,000 | Federal Farm Credit Banks Funding Corp., 1 day USD SOFR + 0.040%(3) | (AA+, Aaa) | 05/13/25 | 4.880 | 5,001,130 | |||||||||||||
| 4,600 | Federal Farm Credit Banks Funding Corp., 1 day USD SOFR + 0.160%(3) | (AA+, Aaa) | 10/27/25 | 5.000 | 4,604,186 | |||||||||||||
| 7,000 | Federal Farm Credit Banks Funding Corp., 1 day USD SOFR + 0.105%(3) | (AA+, Aaa) | 03/18/26 | 4.945 | 7,001,438 | |||||||||||||
| 4,300 | Federal Farm Credit Banks Funding Corp., 1 day USD SOFR + 0.090%(3) | (AA+, Aaa) | 05/21/26 | 4.930 | 4,298,588 | |||||||||||||
| 2,200 | Federal Farm Credit Banks Funding Corp., Federal Reserve Bank Prime Loan Rate - 3.040%(3) | (AA+, Aaa) | 05/21/26 | 4.960 | 2,199,739 | |||||||||||||
| 2,100 | Federal Farm Credit Banks Funding Corp., Federal Reserve Bank Prime Loan Rate - 3.040%(3) | (AA+, Aaa) | 05/28/26 | 4.960 | 2,099,753 | |||||||||||||
| 6,200 | Federal Home Loan Banks, 1 day USD SOFR + 0.010%(3) | (AA+, Aaa) | 11/25/24 | 4.850 | 6,200,256 | |||||||||||||
| 14,600 | Federal Home Loan Banks, 1 day USD SOFR + 0.140%(3) | (AA+, Aaa) | 04/21/25 | 4.980 | 14,609,230 | |||||||||||||
| 6,700 | Federal Home Loan Banks, 1 day USD SOFR + 0.160%(3) | (AA+, Aaa) | 07/10/25 | 5.000 | 6,706,189 | |||||||||||||
| 17,000 | Federal Home Loan Banks, 1 day USD SOFR + 0.145%(3) | (AA+, Aaa) | 12/26/25 | 4.985 | 17,019,668 | |||||||||||||
| 6,700 | Federal Home Loan Banks, 1 day USD SOFR + 0.125%(3) | (AA+, Aaa) | 02/23/26 | 4.965 | 6,704,064 | |||||||||||||
| 2,000 | Federal Home Loan Banks | (AA+, Aaa) | 02/26/26 | 0.620 | 1,911,089 | |||||||||||||
| 6,200 | Federal Home Loan Mortgage Corp. | (AA+, Aaa) | 08/28/25 | 4.200 | 6,191,370 | |||||||||||||
| 8,700 | Federal Home Loan Mortgage Corp. | (AA+, Aaa) | 01/27/26 | 5.150 | 8,693,999 | |||||||||||||
| 10,000 | Federal Home Loan Mortgage Corp., 1 day USD SOFR + 0.100%(3) | (AA+, Aaa) | 02/09/26 | 4.940 | 10,001,219 | |||||||||||||
| 9,000 | Federal Home Loan Mortgage Corp., 1 day USD SOFR + 0.140%(3) | (AA+, Aaa) | 09/23/26 | 4.980 | 9,001,679 | |||||||||||||
| 5,000 | Federal National Mortgage Association | (AA+, Aaa) | 02/07/25 | 5.060 | 4,998,733 | |||||||||||||
| 6,000 | Federal National Mortgage Association | (AA+, Aaa) | 04/22/25 | 0.625 | 5,879,186 | |||||||||||||
| 9,729 | Federal National Mortgage Association(4) | (AA+, Aaa) | 06/17/25 | 0.500 | 9,480,233 | |||||||||||||
| 5,000 | Federal National Mortgage Association, 1 day USD SOFR + 0.100%(3) | (AA+, Aaa) | 06/18/26 | 4.940 | 4,998,299 | |||||||||||||
| TOTAL UNITED STATES AGENCY OBLIGATIONS (Cost $152,561,823) | 152,207,892 | |||||||||||||||||
| UNITED STATES TREASURY OBLIGATIONS (63.9%) | ||||||||||||||||||
| 9,000 | U.S. Treasury Bills(5) | (AA+, Aaa) | 10/29/24 | 4.822 | 8,966,249 | |||||||||||||
| 16,000 | U.S. Treasury Floating Rate Notes, 3 mo. Treasury money market yield + 0.140%(3) | (AA+, Aaa) | 10/31/24 | 4.692 | 15,996,156 | |||||||||||||
| 46,200 | U.S. Treasury Floating Rate Notes, 3 mo. Treasury money market yield + 0.200%(3) | (AA+, Aaa) | 01/31/25 | 4.752 | 46,189,749 | |||||||||||||
| 47,000 | U.S. Treasury Floating Rate Notes, 3 mo. Treasury money market yield + 0.169%(3) | (AA+, Aaa) | 04/30/25 | 4.721 | 46,971,715 | |||||||||||||
| 37,100 | U.S. Treasury Floating Rate Notes, 3 mo. Treasury money market yield + 0.125%(3) | (AA+, Aaa) | 07/31/25 | 4.677 | 37,073,250 | |||||||||||||
| 36,100 | U.S. Treasury Floating Rate Notes, 3 mo. Treasury money market yield + 0.170%(3),(6) | (AA+, Aaa) | 10/31/25 | 4.722 | 36,077,344 | |||||||||||||
| 73,600 | U.S. Treasury Floating Rate Notes, 3 mo. Treasury money market yield + 0.245%(3),(7) | (AA+, Aaa) | 01/31/26 | 4.797 | 73,597,630 | |||||||||||||
| 30,400 | U.S. Treasury Floating Rate Notes, 3 mo. Treasury money market yield + 0.150%(3),(6) | (AA+, Aaa) | 04/30/26 | 4.702 | 30,354,319 | |||||||||||||
| 24,200 | U.S. Treasury Floating Rate Notes, 3 mo. Treasury money market yield + 0.182%(3) | (AA+, Aaa) | 07/31/26 | 4.734 | 24,161,684 | |||||||||||||
| 21,500 | U.S. Treasury Notes | (AA+, Aaa) | 02/28/25 | 4.625 | 21,517,819 | |||||||||||||
| 6,700 | U.S. Treasury Notes | (AA+, Aaa) | 07/31/25 | 4.750 | 6,737,291 | |||||||||||||
| 600 | U.S. Treasury Notes | (AA+, Aaa) | 11/15/25 | 4.500 | 603,902 | |||||||||||||
| 7,100 | U.S. Treasury Notes | (AA+, Aaa) | 02/15/26 | 4.000 | 7,120,246 | |||||||||||||
| 5,500 | U.S. Treasury Notes | (AA+, Aaa) | 05/31/26 | 4.875 | 5,601,406 | |||||||||||||
| 12,500 | U.S. Treasury Notes | (AA+, Aaa) | 08/15/26 | 4.375 | 12,656,494 | |||||||||||||
| 2,900 | U.S. Treasury Notes | (AA+, Aaa) | 08/31/26 | 3.750 | 2,904,191 | |||||||||||||
| 7,000 | U.S. Treasury Notes | (AA+, Aaa) | 04/15/27 | 4.500 | 7,151,348 | |||||||||||||
| 5,800 | U.S. Treasury Notes | (AA+, Aaa) | 07/15/27 | 4.375 | 5,920,305 | |||||||||||||
| 6,100 | U.S. Treasury Notes | (AA+, Aaa) | 09/15/27 | 3.375 | 6,067,356 | |||||||||||||
| TOTAL UNITED STATES TREASURY OBLIGATIONS (Cost $395,079,763) | 395,668,454 | |||||||||||||||||
Credit Suisse Trust – Commodity Return Strategy Portfolio
Consolidated Schedule of Investments (continued)
September 30, 2024 (unaudited)
| Shares | |||||||
| SHORT-TERM INVESTMENTS (4.1%) | |||||||
| 21,219,969 | State Street Institutional U.S. Government Money Market Fund - Premier Class, 4.95% | 21,219,969 | |||||
| 4,483,125 | State Street Navigator Securities Lending Government Money Market Portfolio, 5.02%(8) | 4,483,125 | |||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $25,703,094) | 25,703,094 | ||||||
| TOTAL INVESTMENTS AT VALUE (100.1%) (Cost $618,244,680) | 619,791,261 | ||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS (-0.1%) | (802,643 | ) | |||||
| NET ASSETS(9) (100.0%) | $ | 618,988,618 | |||||
| † | Credit ratings given by the S&P Global Ratings Division of S&P Global Inc. (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”) are unaudited. |
| (1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2024, these securities amounted to a value of $46,211,821 or 7.5% of net assets. |
| (2) | Return on security is linked to the Bloomberg Commodity Index Total Return 2 Month ForwardSM. |
| (3) | Variable rate obligation - The interest rate shown is the rate in effect as of September 30, 2024. The rate may be subject to a cap and floor. |
| (4) | Security or portion thereof is out on loan. |
| (5) | Securities are zero coupon. Rate presented is cost yield as of September 30, 2024. |
| (6) | At September 30, 2024, $25,966,619 in the value of these securities has been pledged to cover initial margin requirements for open futures contracts. |
| (7) | At September 30, 2024, $4,558,053 in the value of this security has been pledged as collateral for open swap contracts. |
| (8) | Represents security purchased with cash collateral received for securities on loan. |
| (9) | As of September 30, 2024, the Credit Suisse Trust - Commodity Return Strategy Portfolio held $ 94,308,841 in the wholly-owned subsidiary, Credit Suisse Cayman Commodity Fund II, Ltd., representing 15.2% of the Portfolio’s consolidated net assets. |
INVESTMENT ABBREVIATIONS
| 3 mo. = 3 month |
| FEDL01 = Federal Funds Rate |
| SOFR = Secured Overnight Financing Rate |
Futures Contracts
| Contract Description | Currency | Expiration Date | Number of Contracts | Notional Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||
| Contracts to Purchase | ||||||||||||||||||
| Agriculture | ||||||||||||||||||
| Coffee “C” Futures | USD | Dec 2024 | 30 | $ | 3,040,312 | $ | 334,642 | |||||||||||
| Coffee “C” Futures | USD | May 2025 | 64 | 6,366,000 | 64,438 | |||||||||||||
| Corn Futures | USD | Dec 2024 | 527 | 11,192,162 | 806,514 | |||||||||||||
| Cotton No. 2 Futures | USD | Dec 2024 | 7 | 257,635 | 7,540 | |||||||||||||
| Cotton No. 2 Futures | USD | Mar 2025 | 79 | 2,976,720 | 217,927 | |||||||||||||
| Soybean Futures | USD | Nov 2024 | 190 | 10,041,500 | (1,063,863 | ) | ||||||||||||
| Soybean Futures | USD | Jan 2025 | 11 | 591,388 | 35,746 | |||||||||||||
| Soybean Meal Futures | USD | Dec 2024 | 202 | 6,900,320 | (363,221 | ) | ||||||||||||
| Soybean Oil Futures | USD | Dec 2024 | 256 | 6,652,416 | (90,547 | ) | ||||||||||||
| Sugar No. 11 Futures | USD | Feb 2025 | 74 | 1,862,314 | 239,876 | |||||||||||||
| Sugar No. 11 Futures | USD | Apr 2025 | 178 | 4,196,528 | (23,073 | ) | ||||||||||||
| Wheat (KC HRW) Futures | USD | Dec 2024 | 57 | 1,663,688 | 40,343 | |||||||||||||
| Wheat (KC HRW) Futures | USD | Mar 2025 | 68 | 2,034,050 | 12,776 | |||||||||||||
| Wheat Futures | USD | Dec 2024 | 192 | 5,606,400 | 169,307 | |||||||||||||
| $ | 388,405 | |||||||||||||||||
| Energy | ||||||||||||||||||
| Brent Crude Oil Futures | USD | Nov 2024 | 210 | 15,006,600 | $ | (1,480,958 | ) | |||||||||||
| Gasoline RBOB Futures | USD | Oct 2024 | 54 | 4,388,807 | (448,557 | ) | ||||||||||||
| Light Sweet Crude Oil Futures | USD | Oct 2024 | 322 | 21,950,740 | (2,608,410 | ) | ||||||||||||
| Low Sulphur Gasoil Futures | USD | Nov 2024 | 79 | 5,215,975 | (522,316 | ) | ||||||||||||
| Natural Gas Futures | USD | Oct 2024 | 519 | 15,170,370 | 926,402 | |||||||||||||
| Natural Gas Futures | USD | Dec 2024 | 185 | 6,663,700 | 502,337 | |||||||||||||
Credit Suisse Trust – Commodity Return Strategy Portfolio
Consolidated Schedule of Investments (continued)
September 30, 2024 (unaudited)
Futures Contracts (continued)
| Contract Description | Currency | Expiration Date | Number of Contracts | Notional Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||
| Contracts to Purchase (continued) | ||||||||||||||||||
| NY Harbor ULSD Futures | USD | Oct 2024 | 42 | $ | 3,800,361 | $ | (354,309 | ) | ||||||||||
| $ | (3,985,811 | ) | ||||||||||||||||
| Industrial Metals | ||||||||||||||||||
| LME Lead Futures | USD | Dec 2024 | 34 | $ | 1,778,115 | $ | 85,389 | |||||||||||
| LME Nickel Futures | USD | Dec 2024 | 57 | 5,982,726 | 415,524 | |||||||||||||
| LME Primary Aluminum Futures | USD | Dec 2024 | 157 | 10,256,535 | 384,887 | |||||||||||||
| LME Zinc Futures | USD | Dec 2024 | 82 | 6,340,014 | 712,925 | |||||||||||||
| LME Zinc Futures | USD | Mar 2025 | 82 | 6,378,165 | 316,741 | |||||||||||||
| $ | 1,915,466 | |||||||||||||||||
| Livestock | ||||||||||||||||||
| Lean Hogs Futures | USD | Dec 2024 | 140 | 4,103,400 | $ | 82,476 | ||||||||||||
| Live Cattle Futures | USD | Dec 2024 | 51 | 3,769,920 | 114,052 | |||||||||||||
| Live Cattle Futures | USD | Feb 2025 | 59 | 4,386,060 | 150,994 | |||||||||||||
| $ | 347,522 | |||||||||||||||||
| Precious Metals | ||||||||||||||||||
| Copper Futures | USD | Dec 2024 | 119 | 13,545,175 | $ | 1,118,817 | ||||||||||||
| Gold 100 oz. Futures | USD | Dec 2024 | 93 | 24,732,420 | 1,607,807 | |||||||||||||
| Gold 100 oz. Futures | USD | Feb 2025 | 58 | 15,551,540 | 995,139 | |||||||||||||
| Silver Futures | USD | Dec 2024 | 83 | 13,055,070 | 1,393,920 | |||||||||||||
| $ | 5,115,683 | |||||||||||||||||
| Contracts to Sell | ||||||||||||||||||
| Energy | ||||||||||||||||||
| Light Sweet Crude Oil Futures | USD | Dec 2024 | (106 | ) | (7,155,000 | ) | $ | 686,734 | ||||||||||
| Industrial Metals | ||||||||||||||||||
| LME Zinc Futures | USD | Dec 2024 | (82 | ) | (6,340,014 | ) | $ | (300,063 | ) | |||||||||
| Total Net Unrealized Appreciation (Depreciation) | $ | 4,167,936 | ||||||||||||||||
| Commodity Index Swap Contracts | ||||||||||||||||||||||||||
| Currency | Notional Amount | Expiration Date | Counterparty | Receive | Pay | Payment Frequency | Upfront Premiums Paid/ (Received) | Unrealized Appreciation | ||||||||||||||||||
| USD | $ | 21,555,953 | 11/04/24 | Bank of America | Bloomberg Commodity Index Total Return | 4.61 | % | At Maturity | $ | — | $ | 33,670 | ||||||||||||||
| USD | 59,055,523 | 11/04/24 | Macquarie Bank Ltd. | Bloomberg Commodity Index Total Return | 4.59 | % | At Maturity | — | 92,405 | |||||||||||||||||
| USD | 40,068,555 | 11/04/24 | Macquarie Bank Ltd. | Macquarie Commodity Customized Product 112T Index(a) | 4.76 | % | At Maturity | — | 41,072 | |||||||||||||||||
| USD | 43,887,962 | 11/04/24 | Societe Generale | Bloomberg Commodity Index 2 Month Forward Total Return | 4.64 | % | At Maturity | — | 27,235 | |||||||||||||||||
| USD | 35,946,167 | 11/04/24 | Societe Generale | Societe Generale P04 TR Index(b) | 4.76 | % | At Maturity | — | 29,226 | |||||||||||||||||
| USD | 53,939,351 | 11/04/24 | Societe Generale | Bloomberg Commodity Index Total Return | 4.61 | % | At Maturity | — | 84,251 | |||||||||||||||||
| Total | $ | — | $ | 307,859 | ||||||||||||||||||||||
Credit Suisse Trust – Commodity Return Strategy Portfolio
Consolidated Schedule of Investments (continued)
September 30, 2024 (unaudited)
| (a) | The index seeks to provide exposure to a diversified group of commodities, inclusive of energy, livestock and meat, agricultural and metals. The Portfolio has indirect exposure to all of the below underlying positions that make up the custom index. When applicable, the table is limited to the largest 50 positions (based on absolute market value) and any other position where the notional value for the position exceeds 1% of the notional value of the index. |
| Commodity Name | Weight | Quantity(1) | 9/30/24 Value(1) | |||||||||
| CBOT Bean Oil MAR 25 Futures | 2.82 | % | 43.35 | $ | 1,130,115 | |||||||
| CBOT Corn DEC 24 Futures | 4.97 | % | 93.89 | 1,993,956 | ||||||||
| NYMEX WTI Crude Oil NOV 24 Futures | 6.25 | % | 36.81 | 2,509,005 | ||||||||
| NYBOT Cotton MAR 25 Futures | 1.33 | % | 14.13 | 532,384 | ||||||||
| COMEX Gold DEC 24 Futures | 17.81 | % | 26.88 | 7,147,334 | ||||||||
| COMEX High Grade Copper DEC 24 Futures | 5.97 | % | 21.05 | 2,395,583 | ||||||||
| NYMEX Heating Oil NOV 24 Futures | 1.68 | % | 7.44 | 673,325 | ||||||||
| NYBOT Coffee MAR 25 Futures | 4.10 | % | 16.36 | 1,643,914 | ||||||||
| KCBOT Kansas Wheat MAR 25 Futures | 1.67 | % | 22.34 | 668,328 | ||||||||
| CME Live Cattle FEB 25 Futures | 3.54 | % | 19.09 | 1,419,362 | ||||||||
| ICE Brent Crude Oil JAN 25 Futures | 6.41 | % | 36.01 | 2,573,577 | ||||||||
| ICE Gas Oil NOV 24 Futures | 2.32 | % | 14.09 | 930,205 | ||||||||
| CME Lean Hogs FEB 25 Futures | 1.74 | % | 22.54 | 697,519 | ||||||||
| LME Aluminium DEC 24 Futures | 4.39 | % | 26.95 | 1,760,411 | ||||||||
| LME Nickel DEC 24 Futures | 2.58 | % | 9.87 | 1,035,580 | ||||||||
| LME Lead DEC 24 Futures | 0.84 | % | 6.42 | 335,734 | ||||||||
| LME Zinc MAR 25 Futures | 2.84 | % | 14.64 | 1,138,415 | ||||||||
| NYMEX Nat Gas JAN 25 Futures | 8.07 | % | 89.87 | 3,237,063 | ||||||||
| NYMEX Unleaded Gasoline NOV 24 Futures | 1.84 | % | 9.07 | 737,287 | ||||||||
| CBOT Soybeans NOV 24 Futures | 4.72 | % | 35.87 | 1,895,503 | ||||||||
| NYBOT Sugar MAY 25 Futures | 2.65 | % | 45.16 | 1,064,754 | ||||||||
| COMEX Silver DEC 24 Futures | 5.76 | % | 14.69 | 2,310,372 | ||||||||
| CBOT Soy Meal DEC 24 Futures | 3.12 | % | 36.70 | 1,253,708 | ||||||||
| CBOT Wheat MAR 25 Futures | 2.62 | % | 34.85 | 1,053,039 | ||||||||
| (1) | Amounts represent quantity and value of index components as they relate specifically to the Portfolio’s swap position as of September 30, 2024. |
| (b) | The index seeks to provide exposure to a diversified group of commodities, inclusive of energy, livestock and meat, agricultural and metals. The Portfolio has indirect exposure to all of the below underlying positions that make up the custom index. When applicable, the table is limited to the largest 50 positions (based on absolute market value) and any other position where the notional value for the position exceeds 1% of the notional value of the index. |
| Commodity Name | Weight | Quantity(1) | 9/30/24 Value(1) | |||||||||
| CBOT Bean Oil MAR 25 Futures | 2.86 | % | 39.49 | $ | 1,029,585 | |||||||
| CBOT Corn DEC 24 Futures | 4.97 | % | 84.25 | 1,789,174 | ||||||||
| NYMEX WTI Crude Oil NOV 24 Futures | 6.31 | % | 33.32 | 2,271,567 | ||||||||
| ICE Brent Crude Oil JAN 25 Futures | 6.47 | % | 32.59 | 2,329,166 | ||||||||
| NYBOT Cotton MAR 25 Futures | 1.37 | % | 13.09 | 493,193 | ||||||||
| COMEX Gold DEC 24 Futures | 17.59 | % | 23.81 | 6,332,308 | ||||||||
| COMEX High Grade Copper DEC 24 Futures | 5.95 | % | 18.82 | 2,141,969 | ||||||||
| NYMEX Heating Oil NOV 24 Futures | 1.70 | % | 6.76 | 611,991 | ||||||||
| NYBOT Coffee MAR 25 Futures | 4.18 | % | 14.98 | 1,504,778 | ||||||||
| KCBOT Kansas Wheat MAY 25 Futures | 1.66 | % | 19.67 | 597,591 | ||||||||
| LME Aluminium DEC 24 Futures | 4.36 | % | 24.03 | 1,569,577 | ||||||||
| CME Live Cattle FEB 25 Futures | 3.55 | % | 17.19 | 1,277,981 | ||||||||
| CME Lean Hogs FEB 25 Futures | 1.77 | % | 20.59 | 637,191 | ||||||||
| LME Lead DEC 24 Futures | 0.82 | % | 5.64 | 295,196 | ||||||||
| LME Nickel DEC 24 Futures | 2.56 | % | 8.78 | 921,587 | ||||||||
| LME Zinc MAR 25 Futures | 2.81 | % | 13.01 | 1,011,585 | ||||||||
| NYMEX Nat Gas JAN 25 Futures | 7.96 | % | 79.55 | 2,865,558 | ||||||||
| ICE Gas Oil NOV 24 Futures | 2.34 | % | 12.76 | 842,388 | ||||||||
| CBOT Soybeans NOV 24 Futures | 4.71 | % | 32.08 | 1,695,575 | ||||||||
| NYBOT Sugar MAR 25 Futures | 2.80 | % | 40.05 | 1,007,985 | ||||||||
| COMEX Silver DEC 24 Futures | 5.71 | % | 13.07 | 2,055,570 | ||||||||
| CBOT Soy Meal DEC 24 Futures | 3.09 | % | 32.56 | 1,112,384 | ||||||||
| CBOT Wheat MAY 25 Futures | 2.60 | % | 30.40 | 935,986 | ||||||||
| NYMEX Unleaded Gasoline NOV 24 Futures | 1.86 | % | 8.24 | 669,590 | ||||||||
| (1) | Amounts represent quantity and value of index components as they relate specifically to the Portfolio’s swap position as of September 30, 2024. |
SECURITY VALUATION — The Board of Trustees (the “Board”) is responsible for the Portfolio’s valuation process. The Board has delegated the supervision of the daily valuation process to UBS Asset Management (Americas) LLC, the Portfolio’s investment adviser (“UBS AM” or the “Adviser”), who has established a Pricing Committee and a Pricing Group, which, pursuant to the policies adopted by the Board, are responsible for making fair valuation determinations and overseeing the Portfolio’s pricing policies. The net asset value (“NAV”) 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. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional “round lot” size, but some trades occur in smaller “odd lot” sizes which may be effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Over the counter derivative financial instruments, such as swap agreements, generally derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. Investments in open-ended mutual funds are valued at the NAV as reported on each business day and under normal circumstances. Securities for which market quotations are not readily available are valued at their fair value as determined in good faith by the Adviser, as the Board’s valuation designee (as defined in Rule 2a-5 under the 1940 Act), in accordance with the Adviser’s procedures. The Board oversees the Adviser in its role as valuation designee in accordance with the requirements of Rule 2a-5 under the 1940 Act. The Portfolio may utilize a service provided by an independent third party to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Trust to calculate its NAV may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the Adviser to be unreliable, the market price may be determined by the Adviser using quotations from one or more brokers/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Portfolio calculates its NAV, these securities will be fair valued in good faith by the Pricing Group, in accordance with procedures established by the Adviser.
The Portfolio uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
Generally accepted accounting principles in the United States of America (“GAAP”) established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at each measurement date. These inputs are summarized in the three broad levels listed below:
| · | Level 1—quoted prices in active markets for identical investments | |
| · | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) | |
| · | Level 3—significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of September 30, 2024 in valuing the Portfolio’s assets and liabilities carried at fair value:
| Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Investments in Securities | |||||||||||||||||
| Commodity Indexed Structured Notes | $ | — | $ | 46,211,821 | $ | — | $ | 46,211,821 | |||||||||
| United States Agency Obligations | — | 152,207,892 | — | 152,207,892 | |||||||||||||
| United States Treasury Obligations | — | 395,668,454 | — | 395,668,454 | |||||||||||||
| Short-term Investments | 25,703,094 | — | — | 25,703,094 | |||||||||||||
| $ | 25,703,094 | $ | 594,088,167 | $ | — | $ | 619,791,261 | ||||||||||
| Other Financial Instruments* | |||||||||||||||||
| Futures Contracts | $ | 11,423,253 | $ | — | $ | — | $ | 11,423,253 | |||||||||
| Swap Contracts | — | 307,859 | — | 307,859 | |||||||||||||
| $ | 11,423,253 | $ | 307,859 | $ | — | $ | 11,731,112 | ||||||||||
| Liabilities | |||||||||||||||||
| Other Financial Instruments* | |||||||||||||||||
| Futures Contracts | $ | 7,255,317 | $ | — | $ | — | $ | 7,255,317 | |||||||||
* Other financial instruments include unrealized appreciation (depreciation) on futures and swap contracts.
During the period ended September 30, 2024, there were no transfers between Level 2 and Level 3. All transfers, if any, are assumed to occur at the end of the reporting period.
Other information regarding the Portfolio is available in the most recent Report to Shareholders. This information is also available on the Portfolio’s website at www.credit-suisse.com/us/funds, as well as on the website of the Securities and Exchange Commission at www.sec.gov.
