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 No. 811-09054
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CREDIT SUISSE OPPORTUNITY FUNDS
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(Exact Name of Registrant as Specified in Charter)
Eleven Madison Avenue, New York, New York 10010
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(Address of Principal Executive Offices) (Zip Code)
John G. Popp
Credit Suisse Opportunity Funds
Eleven Madison Avenue
New York, New York 10010
Registrant’s telephone number, including area code: (212) 325-2000
Date of fiscal year end: October 31
Date of reporting period: November 1, 2021 to April 30, 2022
Item 1. Reports to Stockholders.
CREDIT SUISSE FUNDS
Semiannual Report
April 30, 2022
(unaudited)
◼ CREDIT SUISSE
FLOATING RATE HIGH INCOME FUND
The Fund's investment objectives, risks, charges and expenses (which should be considered carefully before investing), and more complete information about the Fund, are provided in the Prospectus, which should be read carefully before investing. You may obtain additional copies by calling 877-870-2874 or by visiting our website at www.credit-suisse.com/us/funds.
Credit Suisse Securities (USA) LLC, Distributor, is located at Eleven Madison Avenue, New York, NY 10010. Credit Suisse Funds are advised by Credit Suisse Asset Management, LLC.
Investors in the Credit Suisse Funds should be aware that they may be eligible to purchase Class I shares (where offered) directly or through certain intermediaries. Such shares are not subject to a sales charge. Investors in the Credit Suisse Funds should also be aware that they may be eligible for a reduction or waiver of the sales charge with respect to Class A or C shares (where offered). For more information, please review the relevant prospectuses or consult your financial representative.
Fund 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. Fund investments are subject to investment risks, including loss of your investment.
Credit Suisse Floating Rate High Income Fund
Semiannual Investment Adviser's Report
April 30, 2022 (unaudited)
June 9, 2022
We are pleased to present this Semiannual Report covering the activities of the Credit Suisse Floating Rate High Income Fund (the "Fund") for the six-month period ended April 30, 2022.
Performance Summary
11/1/21 – 4/30/22
Fund & Benchmark | | Performance | |
| Class I1 | | | 0.25 | % | |
| Class A1,2 | | | 0.13 | % | |
| Class C1,2 | | | (0.38 | )% | |
| Credit Suisse Leveraged Loan Index3 | | | 0.55 | % | |
Performance shown for the Fund's Class A and Class C Shares does not reflect sales charges, which are a maximum of 4.75% and 1.00%, respectively.2
Market Review: A mixed period
The six-month period ended April 30, 2022 (the "period"), was a mixed one for floating rate strategies, with the Credit Suisse Leveraged Loan Index (the "Index" and the Fund's "Benchmark") registering a return of 0.55%. The Index saw positive returns in four of the six months in the period. The senior loan discount margin — assuming a three-year average life — widened by 18 basis points during the period to 458 basis points, while the average price of the Index finished the period lower by 133 basis points, at 97.20.
From a quality standpoint, lower-rated assets underperformed the Benchmark for the period, with CCC/Split CCC and Split B returning -2.17% and 0.33% respectively. Higher quality outperformed with Single B and BB returning 0.74% and 0.76%, respectively.
The Index was led by metals/minerals and energy sectors, returning 2.05% and 1.92%, respectively for the period. Housing and consumer durables were the largest sector laggards with respective returns of -0.99% and -0.47%.
On the heels of a rising rate environment, floating rate mutual fund flows during the period were significant — with $31.7 billion of inflows — according to JPMorgan. The environment was also conducive for collateralized loan obligations ("CLO") issuance, with managers pricing in $130.8 billion of gross and $82 billion of net issuance.
Leveraged loan issuance has been muted year-to-date, with gross issuance down approximately 60% year-over-year through the end of April. For the six-month
1
Credit Suisse Floating Rate High Income Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
period we saw $249.8 billion of gross and $172.6 billion of net issuance — November was the most active month with $74.8 billion of gross and $48.8 billion of net issuance.
The par-weighted default rate in loans ended April 2022 at 0.86%, according to JPMorgan. This historically low rate of default is expected to increase over the next 12-18 months, as certain companies — and in some circumstances entire industries — struggle to manage through the current inflationary environment.
Strategic Review and Outlook: Cautiously optimistic going forward
For the period ended April 30, 2022, the Fund underperformed the Benchmark. From a sector perspective, positive security selection in energy and manufacturing added to relative returns. Conversely, negative security selection in Ba3 and Caa2 categories detracted from relative returns.
We have been impressed with the pricing power and earnings levels that leveraged finance companies have been able to maintain in the face of unprecedented inflation. However, looking forward, we are concerned about potential for demand erosion, particularly in the consumer and housing sectors. Additionally, given the uncertain earnings outlook, we expect to see increased volatility in all risk asset classes that could lead to opportunities. We believe default rates should remain below historical levels, although it is likely the current economic environment will eventually result in an increase in defaults.
The Credit Suisse Credit Investments Group Team
John G. Popp
Thomas J. Flannery
Louis I. Farano
Wing Chan
David Mechlin
Joshua Shedroff
Senior secured floating rate loans ("Senior Loans") typically hold the most senior position in the issuer's capital structure. Senior Loans are subject to the risk that a court could subordinate a Senior Loan to presently existing or future indebtedness or take other action detrimental to the holders of Senior Loans.
High yield bonds are bonds rated below BBB- by S&P or Baa3 by Moody's that are also known as "junk bonds." Such bonds entail greater risks than those found in higher- rated securities.
2
Credit Suisse Floating Rate High Income Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
CLOs are subject to the risk of substantial losses due to actual defaults, decrease of market value due to collateral defaults and disappearance of subordinate tranches, market anticipation of defaults, and investor aversion to CLO securities as a class. The risks of CLOs depend largely on the type of the underlying loans and the tranche of CLOs in which the Fund invests. In addition, CLOs carry risks including interest rate risk and credit risk.
Additional principal risk factors for the Fund include conflict of interest risk, credit risk, foreign securities risk, illiquidity risk, interest rate risk, LIBOR risk, market risk, prepayment risk and valuation risk. Before you invest, please make sure you understand the risks that apply to the Fund. As with any mutual fund, you could lose money over any period of time.
Investments in the Fund are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any government agency. For a detailed discussion of these and other risks, please refer to the Fund's Prospectus, which should be read carefully before investing.
In addition to historical information, this report contains forward-looking statements, which may concern, among other things, domestic and foreign markets, industry and economic trends and developments and government regulation, and their potential impact on the Fund's investments. These statements are subject to risks and uncertainties and actual trends, developments and regulations in the future, and their impact on the Fund, could be materially different from those projected, anticipated or implied. The Fund has no obligation to update or revise forward-looking statements.
The views of the Fund's management are as of the date of this letter and the Fund holdings described in this document are as of April 30, 2022; these views and Fund holdings may have changed subsequent to these dates. Nothing in this document is a recommendation to purchase or sell securities.
1 Fee waivers and/or expense reimbursements reduce expenses for the Fund, without which performance would be lower. Effective April 22, 2019, the Fund entered into a written contract to limit expenses to 0.70% of the Fund's average daily net assets for Class I shares, 0.95% of the Fund's average daily net assets for Class A shares and 1.70% of the Fund's average daily net assets for Class C shares through at least February 28, 2023. This limit excludes certain expenses, as set forth in the Fund's Prospectus.
2 Total return for the Fund's Class A shares for the reporting period, based on offering price (including maximum sales charge of 4.75%), was -4.60%. Total return for the Fund's Class C shares for the reporting period, based on redemption value (including maximum contingent deferred sales charge ("CDSC") of 1.00%), was -1.37%.
3 Credit Suisse Leveraged Loan Index is an unmanaged index that is designed to mirror the investable universe of the U.S. dollar denominated institutional leveraged loan market. The index does not have transaction costs and investors cannot invest directly in the index.
3
Credit Suisse Floating Rate High Income Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
Average Annual Returns as of April 30, 20221
| | | 1 Year | | 5 Years | | 10 Years | |
Class I | | | 2.22 | % | | | 3.39 | % | | | 4.04 | % | |
Class A Without Sales Charge | | | 1.97 | % | | | 3.14 | % | | | 3.78 | % | |
Class A With Maximum Sales Charge | | | (2.86 | )% | | | 2.15 | % | | | 3.28 | % | |
Class C Without CDSC | | | 1.22 | % | | | 2.37 | % | | | 3.02 | % | |
Class C With CDSC | | | 0.23 | % | | | 2.37 | % | | | 3.02 | % | |
Returns represent past performance and include change in share price and reinvestment of dividends, capital gains, and return of capital distributions, if any. Past performance cannot guarantee future results. The current performance of the Fund 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 Fund distributions or the redemption of Fund shares. Performance information current to the most recent month end is available at www.credit-suisse.com/us/funds.
The annualized gross expense ratios are 0.74% for Class I shares, 0.99% for Class A shares and 1.74% for Class C shares. The annualized net expense ratios after fee waivers and/or expense reimbursements are 0.70% for Class I shares, 0.95% for Class A shares and 1.70% for Class C shares.
1 Fee waivers and/or expense reimbursements reduce expenses for the Fund, without which performance would be lower. Effective April 22, 2019, the Fund entered into a written contract to limit expenses to 0.70% of the Fund's average daily net assets for Class I shares, 0.95% of the Fund's average daily net assets for Class A shares and 1.70% of the Fund's average daily net assets for Class C shares through at least February 28, 2023. This limit excludes certain expenses, as set forth in the Fund's Prospectus.
4
Credit Suisse Floating Rate High Income Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
Information About Your Fund's Expenses
As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees, distribution and service (12b-1) fees and other Fund 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 Fund 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 months ended April 30, 2022.
The table illustrates your Fund's expenses in two ways:
• Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses paid on a $1,000 investment in the Fund using the Fund'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.
• Hypothetical 5% Fund Return. This helps you to compare the Fund's ongoing expenses with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund 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 Floating Rate High Income Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
Expenses and Value for a $1,000 Investment
for the six-month period ended April 30, 2022
Actual Fund Return | | Class I | | Class A | | Class C | |
Beginning Account Value 11/01/21 | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | |
Ending Account Value 04/30/22 | | $ | 1,002.50 | | | $ | 1,001.30 | | | $ | 996.20 | | |
Expenses Paid per $1,000* | | $ | 3.48 | | | $ | 4.71 | | | $ | 8.41 | | |
Hypothetical 5% Fund Return | |
Beginning Account Value 11/01/21 | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | |
Ending Account Value 04/30/22 | | $ | 1,021.32 | | | $ | 1,020.08 | | | $ | 1,016.36 | | |
Expenses Paid per $1,000* | | $ | 3.51 | | | $ | 4.76 | | | $ | 8.50 | | |
| | | Class I | | Class A | | Class C | |
Annualized Expense Ratios* | | | 0.70 | % | | | 0.95 | % | | | 1.70 | % | |
* Expenses are equal to the Fund's annualized expense ratio for each share class, multiplied by the average account value over the period, multiplied by 181/365 to reflect the one-half year period.
The "Expenses Paid per $1,000" and the "Annualized Expense Ratios" in the tables are based on actual expenses paid by the Fund during the period, net of fee waivers and/or actual expense reimbursements, if applicable. If those fee waivers and/or expense reimbursements had not been in effect, the Fund'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 Fund'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 Fund's Prospectus.
6
Credit Suisse Floating Rate High Income Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
Credit Quality Breakdown*
(% of Total Investments as of April 30, 2022)
S&P Ratings** | |
A | | | 0.1 | % | |
BBB | | | 1.5 | | |
BB | | | 17.9 | | |
B | | | 60.7 | | |
CCC | | | 6.5 | | |
CC | | | 0.1 | | |
NR | | | 4.1 | | |
Subtotal | | | 90.9 | | |
Equity and Other | | | 9.1 | | |
Total | | | 100.0 | % | |
* Expressed as a percentage of total investments (excluding securities lending collateral if applicable) and may vary over time.
** Credit Quality is based on ratings provided by the S&P Global Ratings Division of S&P Global Inc. ("S&P"). S&P is a main provider of ratings for credit assets classes and is widely used amongst industry participants. The NR category consists of securities that have not been rated by S&P.
7
Credit Suisse Floating Rate High Income Fund
Schedule of Investments
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (85.8%) | | | |
| Advertising (0.6%) | | | |
$ | 18,121 | | | MH Sub I LLC, LIBOR 1M + 3.500%(1) | | (B, B2) | | 09/13/24 | | | 4.264 | | | $ | 18,031,645 | | |
| | 3,272 | | | MH Sub I LLC, LIBOR 1M + 3.750%(1) | | (B, B2) | | 09/13/24 | | | 4.750 | | | | 3,260,859 | | |
| | | | 21,292,504 | | |
| Aerospace & Defense (2.0%) | | | |
| | 3,996 | | | Amentum Government Services
Holdings LLC, LIBOR 1M + 3.500%(1) | | (B, B1) | | 01/29/27 | | | 4.264 | | | | 3,984,816 | | |
| | 4,750 | | | Amentum Government Services
Holdings LLC, LIBOR 3M + 8.750%(1),(2) | | (NR, NR) | | 01/31/28 | | | 10.000 | | | | 4,738,125 | | |
| | 6,000 | | | Amentum Government Services
Holdings LLC, LIBOR 6M + 7.500%(1),(2) | | (NR, NR) | | 12/07/29 | | | 8.277 | | | | 5,970,000 | | |
| | 13,507 | | | Amentum Government Services
Holdings LLC, SOFR 3M + 4.000%(1) | |
(B, B1) | |
02/15/29 | | | 4.500 -
4.777 | | | | 13,453,184 | | |
| | 2,519 | | | Fly Funding II Sarl, LIBOR 3M + 1.750%(1) | | (BB+, Ba3) | | 08/11/25 | | | 2.110 | | | | 2,461,054 | | |
| | 14,389 | | | KKR Apple Bidco, LLC,
LIBOR 1M + 3.000%(1) | | (B+, B1) | | 09/23/28 | | | 3.764 | | | | 14,258,205 | | |
| | 3,915 | | | Peraton Corp., LIBOR 1M + 7.750%(1) | | (NR, NR) | | 02/01/29 | | | 8.500 | | | | 3,888,102 | | |
| | 18,477 | | | Peraton Corp., LIBOR 1M + 3.750%(1) | | (B+, B1) | | 02/01/28 | | | 4.514 | | | | 18,377,853 | | |
| | | | 67,131,339 | | |
| Air Transportation (0.4%) | | | |
| | 9,294 | | | Brown Group Holding LLC,
LIBOR 3M + 2.500%(1) | | (B+, B1) | | 06/07/28 | | | 3.506 | | | | 9,174,160 | | |
| | 4,950 | | | United Airlines, Inc., LIBOR 3M + 3.750%(1) | | (BB-, Ba1) | | 04/21/28 | | | 4.500 | | | | 4,921,315 | | |
| | | | 14,095,475 | | |
| Auto Parts & Equipment (4.1%) | | | |
| | 5,962 | | | Adient U.S. LLC, LIBOR 1M + 3.250%(1) | | (BB+, Ba3) | | 04/10/28 | | | 4.014 | | | | 5,926,693 | | |
| | 1,876 | | | American Axle & Manufacturing, Inc.,
LIBOR 1M + 2.250%(1) | | (BB+, Ba1) | | 04/06/24 | | | 3.000 | | | | 1,873,604 | | |
| | 13,907 | | | Autokiniton U.S. Holdings, Inc.,
LIBOR 3M + 4.500%(1) | | (B, B2) | | 04/06/28 | | | 5.000 | | | | 13,719,687 | | |
| | 9,953 | | | Clarios Global LP, LIBOR 1M + 3.250%(1) | | (B, B1) | | 04/30/26 | | | 4.014 | | | | 9,813,681 | | |
| | 10,561 | | | CS Intermediate Holdco 2 LLC,
LIBOR 1M + 2.000%(1) | | (CCC+, B2) | | 11/02/23 | | | 2.764 | | | | 9,776,324 | | |
| | 3,062 | | | CWGS Group, LLC,
LIBOR 1M + 2.500%(1) | |
(BB-, Ba3) | |
06/03/28 | | | 3.250 -
3.264 | | | | 2,887,646 | | |
| | 13,687 | | | Dayco Products LLC, LIBOR 3M + 4.250%(1) | | (B-, B3) | | 05/19/23 | | | 4.758 | | | | 13,584,754 | | |
| | 9,844 | | | Dealer Tire LLC,
LIBOR 1M + 4.250%(1) | |
(B-, B1) | |
12/12/25 | | | 4.999 -
5.032 | | | | 9,856,539 | | |
| | 7,672 | | | Garrett LX I Sarl, LIBOR 3M + 3.250%(1) | | (B+, Ba2) | | 04/30/28 | | | 4.490 | | | | 7,482,937 | | |
| | 5,470 | | | Gates Global LLC, LIBOR 1M + 2.500%(1) | | (B+, Ba3) | | 03/31/27 | | | 3.264 | | | | 5,375,529 | | |
| | 1,940 | | | Jason Group, Inc., LIBOR 1M + 1.000%
Cash, 9.000% PIK(1),(3) | | (NR, Caa3) | | 03/02/26 | | | 11.000 | | | | 1,915,725 | | |
| | 2,705 | | | Jason Group, Inc., LIBOR 3M + 2.000%
Cash, 4.000% PIK(1),(2),(3) | | (NR, Caa1) | | 08/28/25 | | | 7.006 | | | | 2,651,092 | | |
See Accompanying Notes to Financial Statements.
8
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Auto Parts & Equipment | | | |
$ | 11,972 | | | Les Schwab Tire Centers,
LIBOR 3M + 3.250%(1) | | (B, B2) | | 11/02/27 | | | 4.000 | | | $ | 11,836,892 | | |
| | 7,360 | | | PAI Holdco, Inc., LIBOR 3M + 3.500%(1) | | (B, B1) | | 10/28/27 | | | 4.739 | | | | 7,284,953 | | |
| | 6,216 | | | RVR Dealership Holdings LLC,
SOFR 3M + 3.750%(1),(2) | | (BB-, B1) | | 02/08/28 | | | 4.500 | | | | 5,781,149 | | |
| | 6,199 | | | Superior Industries International, Inc.,
LIBOR 1M + 4.000%(1),(2),(4) | | (B, Ba3) | | 05/22/24 | | | 4.764 | | | | 6,113,583 | | |
| | 7,006 | | | TI Group Automotive Systems LLC,
EURIBOR 3M + 3.250%(1),(5) | | (BB+, Ba3) | | 12/16/26 | | | 3.250 | | | | 7,304,303 | | |
| | 5,757 | | | TI Group Automotive Systems LLC,
LIBOR 3M + 3.250%(1) | | (BB+, Ba3) | | 12/16/26 | | | 4.256 | | | | 5,711,826 | | |
| | 9,837 | | | U.S. Farathane LLC, LIBOR 3M + 4.250%(1) | | (CCC+, B2) | | 12/23/24 | | | 5.256 | | | | 9,220,195 | | |
| | | | 138,117,112 | | |
| Banking (0.5%) | | | |
| | 13,726 | | | Citco Funding LLC, LIBOR 3M + 2.500%(1) | | (NR, Ba3) | | 09/28/23 | | | 3.506 | | | | 13,709,033 | | |
| | 2,948 | | | Citco Funding LLC,
LIBOR 3M + 3.250%(1),(2) | | (NR, Ba3) | | 09/28/23 | | | 4.256 | | | | 2,940,131 | | |
| | | | 16,649,164 | | |
| Brokerage (0.1%) | | | |
| | 2,109 | | | RE/MAX International, Inc.,
LIBOR 1M + 2.500%(1) | | (BB, Ba3) | | 07/21/28 | | | 3.313 | | | | 2,076,245 | | |
| Building & Construction (1.0%) | | | |
| | 2,236 | | | BrightView Landscapes, LLC,
SOFR 3M + 3.250%(1) | | (BB-, B1) | | 04/20/29 | | | 3.750 | | | | 2,212,533 | | |
| | 5,220 | | | Latham Pool Products, Inc.,
SOFR 3M + 3.750%(1) | | (BB-, B1) | | 02/23/29 | | | 3.799 | | | | 5,174,325 | | |
| | 7,777 | | | MX Holdings U.S., Inc.,
LIBOR 1M + 2.500%(1) | | (B+, B1) | | 07/31/25 | | | 3.264 | | | | 7,753,474 | | |
| | 16,168 | | | Pike Corp., LIBOR 1M + 3.000%(1) | | (B, Ba3) | | 01/21/28 | | | 3.770 | | | | 16,109,560 | | |
| | 235 | | | Service Logic Acquisition, Inc.,
LIBOR 3M + 4.000%(1),(6) | | (B, B2) | | 10/29/27 | | | 4.000 | | | | 232,427 | | |
| | 2,823 | | | Service Logic Acquisition, Inc.,
LIBOR 1M + 4.000%,
LIBOR 3M + 4.000%(1) | |
(B, B2) | |
10/29/27 | | |
5.005 -
5.239 | | | | 2,794,462 | | |
| | | | 34,276,781 | | |
| Building Materials (3.0%) | | | |
| | 9,260 | | | Chamberlain Group, Inc.,
LIBOR 3M + 3.500%(1) | | (B, B2) | | 11/03/28 | | | 4.506 | | | | 9,099,575 | | |
| | 16,506 | | | Core & Main LP, LIBOR 1M + 2.500%(1) | | (B+, Ba3) | | 07/27/28 | | | 3.198 | | | | 16,289,781 | | |
| | 17,967 | | | Cornerstone Building Brands, Inc.,
LIBOR 3M + 3.250%(1) | | (B+, B1) | | 04/12/28 | | | 3.804 | | | | 16,928,393 | | |
| | 3,463 | | | CPG International Inc.(2),(7) | | (BB-, B1) | | 04/28/29 | | | 0.000 | | | | 3,424,109 | | |
See Accompanying Notes to Financial Statements.
9
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Building Materials | | | |
$ | 1,357 | | | DiversiTech Holdings, Inc.,
LIBOR 3M + 3.750%(1) | | (B-, B2) | | 12/22/28 | | | 4.756 | | | $ | 1,338,564 | | |
| | 281 | | | DiversiTech Holdings, Inc.,
LIBOR 3M + 3.750%(1),(6) | | (NR, B2) | | 12/22/28 | | | 3.750 | | | | 276,944 | | |
| | 7,073 | | | Floor & Decor Outlets of America, Inc.,
LIBOR 1M + 2.000%(1) | | (BB-, Ba2) | | 02/14/27 | | | 2.770 | | | | 7,001,036 | | |
| | 9,848 | | | Foundation Building Materials
Holding Co. LLC, LIBOR 3M + 3.250%(1) | | (B, B2) | | 02/03/28 | | | 4.489 | | | | 9,528,347 | | |
| | 1,086 | | | Hillman Group, Inc. (The)
(Delayed Draw Term Loan),
LIBOR 1M + 2.750%(1),(6) | | (B+, B1) | | 07/14/28 | | | 3.382 | | | | 1,061,272 | | |
| | 4,515 | | | Hillman Group, Inc. (The) (Term Loan B1),
LIBOR 1M + 2.750%(1) | | (B+, B1) | | 07/14/28 | | | 3.382 | | | | 4,410,420 | | |
| | 1,668 | | | LBM Acquisition LLC,
LIBOR 1M + 3.750%(1) | | (B-, B3) | | 12/17/27 | | | 4.500 | | | | 1,579,041 | | |
| | 1,995 | | | MI Windows & Doors, LLC,
SOFR 1M + 3.500%(1) | | (BB, Ba3) | | 12/18/27 | | | 4.300 | | | | 1,984,716 | | |
| | 2,552 | | | Oscar AcquisitionCo, LLC(7) | | (B, B1) | | 04/30/29 | | | 0.000 | | | | 2,451,345 | | |
| | 6,817 | | | Park River Holdings, Inc.,
LIBOR 3M + 3.250%(1) | | (B-, B1) | | 12/28/27 | | | 4.217 | | | | 6,489,856 | | |
| | 11,846 | | | SRS Distribution, Inc.,
LIBOR 3M + 3.500%(1) | | (B-, B2) | | 06/02/28 | | | 4.019 | | | | 11,455,923 | | |
| | 3,242 | | | SRS Distribution, Inc.,
SOFR 3M + 3.500%(1) | | (B-, B2) | | 06/02/28 | | | 4.000 | | | | 3,132,462 | | |
| | 5,211 | | | Wilsonart LLC, LIBOR 3M + 3.250%(1) | | (B+, B2) | | 12/31/26 | | | 4.250 | | | | 4,958,770 | | |
| | | | 101,410,554 | | |
| Cable & Satellite TV (0.7%) | | | |
| | 14,993 | | | CSC Holdings LLC, LIBOR 1M + 2.250%(1) | | (BB, Ba3) | | 07/17/25 | | | 2.804 | | | | 14,743,402 | | |
| | 7,000 | | | Ziggo B.V., EURIBOR 6M + 3.000%(1),(5) | | (B+, B1) | | 01/31/29 | | | 3.000 | | | | 7,112,342 | | |
| | | | 21,855,744 | | |
| Chemicals (5.3%) | | | |
| | 2,691 | | | Aruba Investments, Inc.,
LIBOR 3M + 3.750%(1) | | (B-, B2) | | 11/24/27 | | | 4.576 | | | | 2,667,461 | | |
| | 11,789 | | | Ascend Performance Materials
Operations LLC, LIBOR 3M + 4.750%(1) | | (BB-, Ba3) | | 08/27/26 | | | 5.500 | | | | 11,795,929 | | |
| | 28,805 | | | Atotech B.V., LIBOR 1M + 2.500%(1) | | (B+, B1) | | 03/18/28 | | | 3.264 | | | | 28,617,591 | | |
| | 4,000 | | | CeramTec AcquiCo GmbH,
EURIBOR 3M + 3.750%(1),(5) | | (B, B2) | | 03/16/29 | | | 3.750 | | | | 4,150,111 | | |
| | 2,149 | | | CPC Acquisition Corp.,
LIBOR 3M + 7.750%(1) | | (CCC, Caa2) | | 12/29/28 | | | 8.756 | | | | 2,076,782 | | |
| | 3,960 | | | CPC Acquisition Corp.,
LIBOR 3M + 3.750%(1),(2) | | (B, B3) | | 12/29/27 | | | 4.756 | | | | 3,762,000 | | |
| | 1,308 | | | Flint Group GmbH,
EURIBOR 3M + 4.250%(1),(5) | | (CCC+, Caa1) | | 09/21/23 | | | 5.000 | | | | 1,331,416 | | |
See Accompanying Notes to Financial Statements.
10
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Chemicals | | | |
$ | 1,092 | | | Flint Group GmbH, LIBOR 3M + 4.250%
Cash, 0.750% PIK(1),(3) | | (CCC+, Caa1) | | 09/21/23 | | | 6.000 | | | $ | 1,054,288 | | |
| | 6,599 | | | Flint Group U.S. LLC, LIBOR 3M + 4.250%
Cash, 0.750% PIK(1),(3) | | (CCC+, Caa1) | | 09/21/23 | | | 6.000 | | | | 6,371,978 | | |
| | 5,566 | | | Gemini HDPE LLC, LIBOR 3M + 3.000%(1) | | (BB, Ba2) | | 12/31/27 | | | 4.239 | | | | 5,549,634 | | |
| | 3,855 | | | GEON Performance Solutions, LLC,
LIBOR 1M + 4.750%(1) | | (B+, B2) | | 08/18/28 | | | 5.514 | | | | 3,851,190 | | |
| | 13,348 | | | Hexion Holdings Corp.,
SOFR 1M + 4.500%(1) | | (B, B2) | | 03/15/29 | | | 5.009 | | | | 12,925,687 | | |
| | 2,379 | | | Illuminate Buyer, LLC,
LIBOR 1M + 3.500%(1) | | (B+, B1) | | 06/30/27 | | | 4.264 | | | | 2,299,210 | | |
| | 2,484 | | | INEOS Styrolution U.S. Holding LLC,
LIBOR 1M + 2.750%(1) | | (BB, Ba3) | | 01/29/26 | | | 3.514 | | | | 2,461,241 | | |
| | 17,487 | | | Ineos U.S. Finance LLC,
LIBOR 1M + 2.000%(1) | | (BB, Ba2) | | 04/01/24 | | | 2.764 | | | | 17,428,629 | | |
| | 1,068 | | | Kraton Corp., LIBOR 3M + 3.250%(1) | | (BB, Ba3) | | 03/15/29 | | | 3.990 | | | | 1,063,817 | | |
| | 9,099 | | | Luxembourg Investment Co. 428 Sarl,
SOFR 3M + 5.000%(1) | | (B, B2) | | 01/03/29 | | | 5.651 | | | | 8,978,047 | | |
| | 6,648 | | | Messer Industries GmbH,
LIBOR 3M + 2.500%(1) | | (BB-, B1) | | 03/02/26 | | | 3.506 | | | | 6,598,685 | | |
| | 4,500 | | | PMHC II, Inc.(7) | | (B-, B3) | | 04/21/29 | | | 0.000 | | | | 4,246,875 | | |
| | 11,414 | | | Polar U.S. Borrower LLC,
LIBOR 3M + 4.750%,
LIBOR 1M + 4.750%(1),(2) | |
(B-, B3) | |
10/15/25 | | |
4.988 -
5.264 | | | | 11,171,320 | | |
| | 8,336 | | | Ravago Holdings America, Inc.,
LIBOR 3M + 2.500%(1) | | (NR, B1) | | 03/04/28 | | | 3.500 | | | | 8,231,603 | | |
| | 4,100 | | | RelaDyne, Inc., SOFR 1M + 4.250%(1) | | (B, B2) | | 12/22/28 | | | 4.750 | | | | 4,070,952 | | |
| | 9,745 | | | Starfruit Finco B.V, LIBOR 3M + 3.000%(1) | | (B+, B2) | | 10/01/25 | | | 4.006 | | | | 9,629,273 | | |
| | 2,855 | | | Tronox Finance LLC, LIBOR 1M + 2.250%,
LIBOR 3M + 2.250%(1) | |
(BB, Ba2) | |
03/10/28 | | | 3.014 -
3.256 | | | | 2,832,652 | | |
| | 3,978 | | | Vantage Specialty Chemicals, Inc.,
LIBOR 3M + 8.250%(1),(4) | | (CCC-, Caa3) | | 10/27/25 | | | 9.250 | | | | 3,881,298 | | |
| | 4,040 | | | Vantage Specialty Chemicals, Inc.,
SOFR 3M + 3.500%(1) | | (CCC+, Caa1) | | 10/28/24 | | | 4.526 | | | | 3,911,952 | | |
| | 8,205 | | | Zep, Inc., LIBOR 12M + 4.000%(1) | | (CCC+, B2) | | 08/12/24 | | | 5.000 | | | | 7,630,860 | | |
| | 2,198 | | | Zep, Inc., LIBOR 3M + 8.250%(1),(2),(4) | | (CCC-, Caa2) | | 08/11/25 | | | 9.256 | | | | 1,967,373 | | |
| | | | 180,557,854 | | |
| Diversified Capital Goods (1.7%) | | | |
| | 9,742 | | | Callaway Golf Co., LIBOR 1M + 4.500%(1) | | (B+, B1) | | 01/02/26 | | | 5.264 | | | | 9,763,051 | | |
| | 1,263 | | | DexKo Global, Inc.
(Delayed Draw Term Loan),
LIBOR 3M + 3.750%(1) | | (B-, B1) | | 10/04/28 | | | 4.717 | | | | 1,234,205 | | |
| | 6,062 | | | DexKo Global, Inc. (Term Loan B),
LIBOR 3M + 3.750%(1) | | (B-, B1) | | 10/04/28 | | | 4.717 | | | | 5,923,568 | | |
See Accompanying Notes to Financial Statements.
11
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Diversified Capital Goods | | | |
$ | 11,486 | | | Dynacast International LLC,
LIBOR 3M + 4.500%(1),(2) | | (B-, B2) | | 07/22/25 | | | 5.500 | | | $ | 11,199,227 | | |
| | 1,370 | | | Dynacast International LLC,
LIBOR 3M + 9.000%(1) | | (CCC, Caa2) | | 10/22/25 | | | 10.000 | | | | 1,361,277 | | |
| | 3,798 | | | Electrical Components International, Inc.,
LIBOR 1M + 4.250%(1) | | (B-, B2) | | 06/26/25 | | | 5.014 | | | | 3,691,061 | | |
| | 4,973 | | | Electrical Components International, Inc.,
PRIME + 7.500%(1),(2) | | (B-, B2) | | 06/26/25 | | | 11.000 | | | | 4,873,673 | | |
| | 7,901 | | | Filtration Group Corp.,
LIBOR 1M + 3.500%(1) | | (B, B3) | | 10/21/28 | | | 4.264 | | | | 7,811,734 | | |
| | 2,891 | | | GrafTech Finance, Inc.,
LIBOR 1M + 3.000%(1) | | (BB, Ba3) | | 02/12/25 | | | 3.764 | | | | 2,882,871 | | |
| | 9,919 | | | Hayward Industries, Inc.,
LIBOR 1M + 2.500%(1) | | (BB-, B2) | | 05/30/28 | | | 3.264 | | | | 9,824,963 | | |
| | | | 58,565,630 | | |
| Electric-Integrated (0.1%) | | | |
| | 3,926 | | | Pacific Gas & Electric Co.,
LIBOR 1M + 3.000%(1) | | (BB-, B1) | | 06/23/25 | | | 3.813 | | | | 3,883,951 | | |
| Electronics (1.8%) | | | |
| | 4,010 | | | AQA Acquisition Holding, Inc.,
LIBOR 3M + 4.250%(1),(2) | | (B, B3) | | 10/08/28 | | | 5.256 | | | | 3,944,930 | | |
| | 7,123 | | | Bright Bidco B.V., LIBOR 6M + 3.500%(1) | | (CCC, Caa3) | | 06/30/24 | | | 4.774 | | | | 3,379,551 | | |
| | 3,481 | | | EXC Holdings III Corp.,
LIBOR 3M + 3.500%(1) | | (B-, B1) | | 12/02/24 | | | 4.506 | | | | 3,463,606 | | |
| | 7,631 | | | EXC Holdings III Corp.,
LIBOR 3M + 7.500%(1) | | (CCC+, Caa1) | | 12/01/25 | | | 8.500 | | | | 7,654,602 | | |
| | 12,149 | | | Idemia Group, LIBOR 3M + 4.500%(1) | | (B-, B3) | | 01/09/26 | | | 5.506 | | | | 12,097,090 | | |
| | 7,000 | | | Idemia Identity & Security France SAS,
EURIBOR 3M + 4.500%(1),(5) | | (B-, B3) | | 01/10/26 | | | 4.500 | | | | 7,380,442 | | |
| | 3,126 | | | Infinite Bidco LLC, LIBOR 3M + 3.750%(1) | | (B-, B2) | | 03/02/28 | | | 4.250 | | | | 3,096,409 | | |
| | 1,548 | | | Infinite Bidco LLC, LIBOR 3M + 7.000%(1) | | (CCC, Caa2) | | 03/02/29 | | | 7.508 | | | | 1,530,851 | | |
| | 4,346 | | | MACOM Technology Solutions
Holdings, Inc., LIBOR 1M + 2.250%(1) | | (BB, Ba1) | | 05/17/24 | | | 3.014 | | | | 4,329,085 | | |
| | 13,933 | | | Mirion Technologies, Inc.,
LIBOR 2M + 2.750%(1) | | (B, B1) | | 10/20/28 | | | 3.250 | | | | 13,792,038 | | |
| | | | 60,668,604 | | |
| Energy - Exploration & Production (0.1%) | | | |
| | 768 | | | AL GCX Holdings, LLC(7) | | (B+, Ba3) | | 04/20/29 | | | 0.000 | | | | 767,142 | | |
| | 2,757 | | | CQP Holdco LP, LIBOR 3M + 3.750%(1) | | (B+, B2) | | 06/05/28 | | | 4.756 | | | | 2,752,703 | | |
| | 15,170 | | | PES Holdings LLC, 3.000% PIK(1),(3),(8) | | (NR, Wr) | | 12/31/22 | | | 3.000 | | | | 549,904 | | |
| | | | 4,069,749 | | |
See Accompanying Notes to Financial Statements.
12
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
| Environmental (0.3%) | | | |
$ | 5,102 | | | GFL Environmental, Inc.,
LIBOR 3M + 3.000%(1) | | (BB-, Ba3) | | 05/30/25 | | | 4.239 | | | $ | 5,098,424 | | |
| | 3,900 | | | Patriot Container Corp.,
LIBOR 1M + 3.750%(1) | | (B-, B2) | | 03/20/25 | | | 4.750 | | | | 3,732,543 | | |
| | | | 8,830,967 | | |
| Food & Drug Retailers (1.2%) | | | |
| | 2,999 | | | L1R HB Finance Ltd.,
EURIBOR 6M + 4.250%(1),(5) | | (B-, B3) | | 09/02/24 | | | 4.250 | | | | 2,072,318 | | |
| | 2,999 | | | L1R HB Finance Ltd., SONIA + 5.250%(1),(10) | | (B-, B3) | | 09/02/24 | | | 5.972 | | | | 2,454,974 | | |
| | 12,661 | | | Packaging Coordinators Midco, Inc.,
LIBOR 3M + 3.750%(1) | | (B-, B2) | | 11/30/27 | | | 4.756 | | | | 12,613,253 | | |
| | 5,750 | | | Sharp Midco LLC,
LIBOR 3M + 4.000%(1),(2) | | (B-, B2) | | 12/31/28 | | | 5.006 | | | | 5,699,688 | | |
| | 13,960 | | | WOOF Holdings, Inc., LIBOR 3M + 3.750%(1) | | (B-, B2) | | 12/21/27 | | | 4.678 | | | | 13,884,184 | | |
| | 2,923 | | | WOOF Holdings, Inc.,
LIBOR 3M + 7.250%(1) | | (CCC, Caa2) | | 12/21/28 | | | 8.178 | | | | 2,906,267 | | |
| | | | 39,630,684 | | |
| Food - Wholesale (0.8%) | | | |
| | 10,527 | | | AI Aqua Merger Sub, Inc.,
SOFR 1M + 3.750%(1) | | (B, B3) | | 07/31/28 | | | 4.250 | | | | 10,386,675 | | |
| | 2,272 | | | Sycamore Buyer LLC(7) | | (BB+, Ba3) | | 09/24/28 | | | 0.000 | | | | 2,245,443 | | |
| | 3,479 | | | United Natural Foods, Inc.,
LIBOR 1M + 3.250%(1) | | (BB-, B1) | | 10/22/25 | | | 4.014 | | | | 3,463,366 | | |
| | 6,762 | | | UTZ Quality Foods, LLC,
LIBOR 1M + 3.000%(1) | | (B, B1) | | 01/20/28 | | | 3.764 | | | | 6,714,411 | | |
| | 5,000 | | | Zara UK Midco Ltd.,
EURIBOR 6M + 5.250%(1),(2),(4),(5) | | (B, B2) | | 01/31/25 | | | 5.250 | | | | 5,268,158 | | |
| | | | 28,078,053 | | |
| Forestry & Paper (0.2%) | | | |
| | 6,298 | | | LEB Holdings (USA), Inc.,
LIBOR 3M + 3.750%(1) | | (B, B1) | | 11/02/27 | | | 4.756 | | | | 6,232,919 | | |
| Gaming (2.2%) | | | |
| | 18,937 | | | Caesars Resort Collection LLC,
LIBOR 1M + 2.750%(1) | | (B+, B1) | | 12/23/24 | | | 3.514 | | | | 18,871,383 | | |
| | 7,724 | | | CBAC Borrower LLC,
LIBOR 1M + 4.000%(1),(4) | | (B-, Caa1) | | 07/08/24 | | | 4.764 | | | | 7,611,254 | | |
| | 11,344 | | | Fertitta Entertainment, LLC,
SOFR 1M + 4.000%(1) | | (B, B2) | | 01/27/29 | | | 4.700 | | | | 11,305,965 | | |
| | 4,975 | | | GVC Holdings (Gibraltar) Ltd.,
LIBOR 3M + 2.250%(1) | | (BB, Ba1) | | 03/16/27 | | | 3.743 | | | | 4,944,466 | | |
| | 4,471 | | | Penn National Gaming, Inc.(7) | | (BB, Ba3) | | 04/20/29 | | | 0.000 | | | | 4,456,791 | | |
| | 10,500 | | | Scientific Games Holdings LP,
SOFR 3M + 3.500%(1) | | (B+, B2) | | 04/04/29 | | | 4.175 | | | | 10,404,397 | | |
See Accompanying Notes to Financial Statements.
13
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Gaming | | | |
$ | 6,421 | | | Scientific Games International, Inc.,
SOFR 3M + 3.000%(1) | | (BB, Ba3) | | 04/14/29 | | | 3.573 | | | $ | 6,399,992 | | |
| | 9,353 | | | Twin River Worldwide Holdings, Inc.,
LIBOR 6M + 3.250%(1) | | (BB-, Ba2) | | 10/02/28 | | | 3.750 | | | | 9,278,247 | | |
| | | | 73,272,495 | | |
| Gas Distribution (0.7%) | | | |
| | 2,500 | | | BCP Renaissance Parent LLC(7) | | (B+, B2) | | 10/31/26 | | | 0.000 | | | | 2,481,262 | | |
| | 11,927 | | | Lucid Energy Group II Borrower, LLC,
LIBOR 1M + 4.250%(1) | | (B, B2) | | 11/24/28 | | | 5.000 | | | �� | 11,839,700 | | |
| | 9,188 | | | Traverse Midstream Partners LLC,
SOFR 3M + 4.250%(1) | |
(B+, B3) | |
09/27/24 | | | 5.384 -
5.950 | | | | 9,176,506 | | |
| | | | 23,497,468 | | |
| Health Facilities (0.8%) | | | |
| | 800 | | | Bayou Intermediate II, LLC(2),(7) | | (B-, B2) | | 08/02/28 | | | 0.000 | | | | 795,000 | | |
| | 17,016 | | | Insulet Corp., LIBOR 1M + 3.250%(1) | | (B+, Ba3) | | 05/04/28 | | | 4.014 | | | | 17,026,631 | | |
| | 6,853 | | | Loire Finco Luxembourg Sarl,
LIBOR 1M + 3.750%(1) | | (B, B3) | | 04/21/27 | | | 4.514 | | | | 6,772,850 | | |
| | 2,468 | | | Option Care Health, Inc.,
LIBOR 1M + 2.750%(1) | | (BB-, Ba3) | | 10/27/28 | | | 3.514 | | | | 2,461,750 | | |
| | 765 | | | Resonetics, LLC, LIBOR 3M + 4.000%(1) | | (B-, B2) | | 04/28/28 | | | 5.239 | | | | 758,064 | | |
| | | | 27,814,295 | | |
| Health Services (5.7%) | | | |
| | 2,518 | | | ADMI Corp.(7) | | (B, B2) | | 04/30/25 | | | 0.000 | | | | 2,482,437 | | |
| | 10,911 | | | ADMI Corp., LIBOR 1M + 3.375%(1) | | (B, B2) | | 12/23/27 | | | 4.139 | | | | 10,756,762 | | |
| | 2,897 | | | Agiliti Health, Inc., LIBOR 1M + 2.750%(1),(2) | | (B+, B1) | | 01/04/26 | | | 3.500 | | | | 2,874,889 | | |
| | 5,941 | | | Agiliti Health, Inc., LIBOR 1M + 2.750%(1),(2) | | (B+, B1) | | 01/04/26 | | | 3.250 | | | | 5,896,779 | | |
| | 2,971 | | | Athenahealth, Inc.,
LIBOR 3M + 1.750%(1),(2),(6) | | (B-, B2) | | 02/15/29 | | | 1.750 | | | | 2,935,734 | | |
| | 17,529 | | | Athenahealth, Inc., SOFR 1M + 3.500%(1),(2) | | (B-, B2) | | 02/15/29 | | | 4.009 | | | | 17,320,829 | | |
| | 9,514 | | | Cambrex Corp., LIBOR 1M + 3.500%(1) | | (B, B2) | | 12/04/26 | | | 4.264 | | | | 9,479,587 | | |
| | 4,917 | | | Carestream Health, Inc.,
LIBOR 3M + 6.750%(1) | | (B-, B1) | | 05/08/23 | | | 7.756 | | | | 4,897,673 | | |
| | 4,097 | | | Confluent Health, LLC,
LIBOR 1M + 4.000%(1) | | (B-, B3) | | 11/30/28 | | | 4.764 | | | | 4,076,217 | | |
| | 881 | | | Confluent Health, LLC
(Delayed Draw Term Loan),
LIBOR 1M + 4.000%(1),(6) | | (B-, B3) | | 11/30/28 | | | 4.764 | | | | 876,606 | | |
| | 16,535 | | | KUEHG Corp., LIBOR 3M + 3.750%(1) | | (B-, B2) | | 02/21/25 | | | 4.756 | | | | 16,400,096 | | |
| | 6,698 | | | Learning Care Group, Inc.,
LIBOR 3M + 3.250%(1) | |
(B-, B2) | |
03/13/25 | | | 4.256 -
4.475 | | | | 6,618,691 | | |
| | 3,011 | | | MedAssets Software Intermediate
Holdings, Inc.(7) | | (CCC, Caa2) | | 12/17/29 | | | 0.000 | | | | 2,966,924 | | |
| | 3,000 | | | Pearl Intermediate Parent LLC,
LIBOR 1M + 6.250%(1) | | (CCC+, Caa2) | | 02/13/26 | | | 7.014 | | | | 2,993,445 | | |
See Accompanying Notes to Financial Statements.
14
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Health Services | | | |
$ | 6,964 | | | PetVet Care Centers LLC,
LIBOR 1M + 3.500%(1) | | (B, B2) | | 02/14/25 | | | 4.264 | | | $ | 6,929,464 | | |
| | 4,400 | | | PointClickCare Technologies, Inc.,
SOFR 3M + 4.000%(1),(2) | | (B, B2) | | 12/29/27 | | | 4.775 | | | | 4,394,500 | | |
| | 8,084 | | | PointClickCare Technologies, Inc.,
LIBOR 6M + 3.000%(1) | | (B, B2) | | 12/29/27 | | | 3.750 | | | | 8,013,174 | | |
| | 12,109 | | | Radiology Partners, Inc.,
LIBOR 1M + 4.250%(1) | |
(B-, B2) | |
07/09/25 | | | 4.804 -
4.882 | | | | 11,938,334 | | |
| | 1,284 | | | SCP Eye Care Services LLC,
LIBOR 3M + 4.500(1),(2),(6) | | (B-, B3) | | 03/16/28 | | | 4.500 | | | | 1,279,703 | | |
| | 7,350 | | | SCP Eye Care Services LLC,
LIBOR 6M + 4.500%(1),(2) | | (B-, B3) | | 03/16/28 | | | 6.000 | | | | 7,327,529 | | |
| | 14,650 | | | Select Medical Corp.,
LIBOR 1M + 2.250%(1) | | (BB-, Ba2) | | 03/06/25 | | | 3.020 | | | | 14,556,167 | | |
| | 3,047 | | | Signify Health LLC, LIBOR 3M + 3.250%(1) | | (B, B1) | | 06/22/28 | | | 4.256 | | | | 3,016,223 | | |
| | 2,200 | | | Southern Veterinary Partners LLC,
LIBOR 3M + 7.750%(1) | | (CCC, Caa2) | | 10/05/28 | | | 8.756 | | | | 2,193,840 | | |
| | 12,605 | | | Southern Veterinary Partners, LLC,
LIBOR 3M + 4.000%(1) | | (B-, B2) | | 10/05/27 | | | 5.000 | | | | 12,558,206 | | |
| | 1,769 | | | TTF Holdings LLC, LIBOR 1M + 4.250%(1),(2) | | (B+, B2) | | 03/31/28 | | | 5.063 | | | | 1,755,682 | | |
| | 19,305 | | | U.S. Radiology Specialists, Inc.,
LIBOR 3M + 5.250%(1) | | (B-, B3) | | 12/15/27 | | | 6.256 | | | | 19,263,998 | | |
| | 721 | | | Western Dental Services, Inc.
(Delayed Draw Term Loan),
LIBOR 3M + 4.500%(1),(6) | |
(B-, B3) | |
08/18/28 | | |
5.304 -
5.739 | | | | 719,038 | | |
| | 6,676 | | | Western Dental Services, Inc.
(Term Loan B), LIBOR 6M + 4.500%(1) | | (B-, B3) | | 08/18/28 | | | 5.281 | | | | 6,653,496 | | |
| | 1,978 | | | Women's Care Enterprises LLC,
LIBOR 3M + 4.500%(1) | | (B-, B2) | | 01/15/28 | | | 5.739 | | | | 1,963,952 | | |
| | | | 193,139,975 | | |
| Hotels (0.3%) | | | |
| | 5,000 | | | Compass III Ltd.,
EURIBOR 6M + 4.000%(1),(5) | | (B, B2) | | 05/09/25 | | | 4.000 | | | | 5,268,158 | | |
| | 3,000 | | | Compass IV Ltd.,
EURIBOR 6M + 8.000%(1),(2),(5) | | (CCC, Caa2) | | 05/08/26 | | | 9.000 | | | | 3,172,763 | | |
| | | | 8,440,921 | | |
| Insurance Brokerage (3.5%) | | | |
| | 12,222 | | | Acrisure LLC, LIBOR 1M + 3.500%(1) | | (B, B2) | | 02/15/27 | | | 4.264 | | | | 12,062,058 | | |
| | 1,887 | | | Acrisure, LLC, LIBOR 1M + 4.250%(1) | | (B, B2) | | 02/15/27 | | | 5.014 | | | | 1,876,943 | | |
| | 4,131 | | | Alliant Holdings Intermediate LLC,
LIBOR 1M + 3.250%(1) | | (B, B2) | | 05/09/25 | | | 4.014 | | | | 4,098,139 | | |
| | 10,231 | | | Alliant Holdings Intermediate, LLC,
LIBOR 1M + 3.500%(1) | | (B, B2) | | 11/06/27 | | | 4.051 | | | | 10,175,451 | | |
| | 11,778 | | | AmWINS Group, Inc.,
LIBOR 1M + 2.250%(1) | |
(B+, Ba3) | |
02/19/28 | | | 3.000 -
3.014 | | | | 11,583,702 | | |
See Accompanying Notes to Financial Statements.
15
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Insurance Brokerage | | | |
$ | 7,254 | | | AssuredPartners, Inc.,
LIBOR 1M + 3.500%(1) | | (B, B2) | | 02/12/27 | | | 4.264 | | | $ | 7,171,192 | | |
| | 496 | | | AssuredPartners, Inc.(7) | | (B, B2) | | 02/12/27 | | | 0.000 | | | | 490,053 | | |
| | 1,000 | | | AssuredPartners, Inc.(7) | | (B, B2) | | 02/12/27 | | | 0.000 | | | | 987,625 | | |
| | 12,323 | | | Hub International Ltd.,
LIBOR 3M + 3.000%(1) | | (B, B2) | | 04/25/25 | | | 4.214 | | | | 12,180,755 | | |
| | 16,032 | | | Hub International Ltd.,
LIBOR 3M + 3.250%(1) | | (B, B2) | | 04/25/25 | | | 4.348 | | | | 15,969,409 | | |
| | 7,186 | | | Hyperion Insurance Group Ltd.,
EURIBOR 1M + 3.500%(1),(5) | | (B, B2) | | 11/12/27 | | | 3.500 | | | | 7,390,911 | | |
| | 19,450 | | | NFP Corp., LIBOR 1M + 3.250%(1) | | (B, B1) | | 02/15/27 | | | 4.014 | | | | 19,161,247 | | |
| | 11,873 | | | Ryan Specialty Group LLC,
LIBOR 1M + 3.000%(1) | | (BB-, B1) | | 09/01/27 | | | 3.800 | | | | 11,861,609 | | |
| | 3,500 | | | USI, Inc.(7) | | (B, B2) | | 05/16/24 | | | 0.000 | | | | 3,473,313 | | |
| | | | 118,482,407 | | |
| Investments & Misc. Financial Services (5.0%) | | | |
| | 12,771 | | | AllSpring Buyer LLC,
LIBOR 3M + 3.250%(1) | | (BB-, Ba2) | | 11/01/28 | | | 4.313 | | | | 12,762,667 | | |
| | 8,136 | | | Altisource Solutions Sarl,
LIBOR 3M + 4.000%(1),(4) | | (CCC-, Caa1) | | 04/03/24 | | | 5.006 | | | | 7,224,586 | | |
| | 7,733 | | | Ankura Consulting Group, LLC,
LIBOR 1M + 4.500%(1) | | (B-, B2) | | 03/17/28 | | | 5.250 | | | | 7,697,787 | | |
| | 4,763 | | | AqGen Ascensus, Inc.,
LIBOR 3M + 6.500%(1) | | (CCC, Caa2) | | 08/02/29 | | | 7.500 | | | | 4,722,993 | | |
| | 13,535 | | | AqGen Island Holdings, Inc.,
LIBOR 3M + 3.500%(1) | | (B-, B2) | | 08/02/28 | | | 4.563 | | | | 13,366,224 | | |
| | 11,732 | | | Cowen, Inc., LIBOR 3M + 3.250%(1) | | (BB-, B1) | | 03/24/28 | | | 4.635 | | | | 11,453,572 | | |
| | 5,486 | | | CTC Holdings, LP, SOFR 3M + 5.000%(1),(2) | | (B+, B1) | | 02/20/29 | | | 5.527 | | | | 5,431,621 | | |
| | 14,531 | | | Deerfield Dakota Holding, LLC,
SOFR 3M + 3.750%(1) | | (B-, B2) | | 04/09/27 | | | 4.750 | | | | 14,505,024 | | |
| | 12,653 | | | Ditech Holding Corp.(8),(9) | | (NR, NR) | | 06/30/22 | | | 0.000 | | | | 2,530,572 | | |
| | 1,218 | | | EIG Management Company, LLC,
LIBOR 1M + 3.750%(1),(2) | | (BB, Ba2) | | 02/22/25 | | | 4.514 | | | | 1,212,183 | | |
| | 14,256 | | | Focus Financial Partners LLC,
LIBOR 1M + 2.000%(1) | | (BB-, Ba3) | | 07/03/24 | | | 2.764 | | | | 14,190,332 | | |
| | 2,825 | | | Focus Financial Partners LLC,
LIBOR 1M + 2.500%(1) | | (BB-, Ba3) | | 06/30/28 | | | 3.264 | | | | 2,810,102 | | |
| | 13,500 | | | Galaxy US Opco Inc.(2),(7) | | (B-, B3) | | 04/19/29 | | | 0.000 | | | | 13,179,375 | | |
| | 18,568 | | | Hudson River Trading LLC,
SOFR 1M + 3.000%(1) | | (BB-, Ba2) | | 03/20/28 | | | 3.815 | | | | 18,353,085 | | |
| | 14,157 | | | Jane Street Group LLC,
LIBOR 1M + 2.750%(1) | | (BB-, Ba2) | | 01/26/28 | | | 3.514 | | | | 14,015,055 | | |
| | 6,323 | | | Jump Financial, LLC,
LIBOR 1M + 4.500%(1),(2) | | (BB-, Ba2) | | 08/02/28 | | | 5.315 | | | | 6,227,716 | | |
See Accompanying Notes to Financial Statements.
16
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Investments & Misc. Financial Services | | | |
$ | 2,103 | | | Kestra Advisor Services Holdings A, Inc.,
LIBOR 3M + 4.250%(1) | | (B-, B2) | | 06/03/26 | | | 5.260 | | | $ | 2,089,715 | | |
| | 918 | | | Mariner Wealth Advisors LLC
(Delayed Draw Term Loan),
SOFR 3M + 3.250%(1),(2) | | (B-, Ba3) | | 08/18/28 | | | 4.496 | | | | 909,679 | | |
| | 6,414 | | | Mariner Wealth Advisors LLC
(Term Loan B), SOFR 3M + 3.250%(1),(2) | | (B-, Ba3) | | 08/18/28 | | | 4.496 | | | | 6,358,195 | | |
| | 2,339 | | | Resolute Investment Managers, Inc.,
LIBOR 3M + 4.250%(1) | | (B+, Ba3) | | 04/30/24 | | | 5.256 | | | | 2,316,889 | | |
| | 8,235 | | | VFH Parent LLC, SOFR 1M + 3.000%(1) | | (B+, Ba3) | | 01/13/29 | | | 3.573 | | | | 8,190,123 | | |
| | | | 169,547,495 | | |
| Life Insurance (0.0%) | | | |
| | 1,120 | | | Vida Capital, Inc., LIBOR 1M + 6.000%(1) | | (B-, B2) | | 10/01/26 | | | 6.764 | | | | 1,036,797 | | |
| Machinery (2.5%) | | | |
| | 5,730 | | | 19th Holdings Golf, LLC,
SOFR 3M + 3.250%(1),(2) | | (B, B1) | | 02/07/29 | | | 3.750 | | | | 5,651,213 | | |
| | 4,779 | | | Alliance Laundry Systems LLC,
LIBOR 1M + 3.500%,
LIBOR 3M + 3.500%(1) | |
(B, B2) | |
10/08/27 | | |
4.250 -
4.521 | | | |
4,761,175 | | |
| | 2,841 | | | Alloy Finco Ltd.,
LIBOR 3M + 6.750%(1),(2),(10) | | (NR, Caa2) | | 03/06/24 | | | 8.750 | | | | 3,478,000 | | |
| | 3,813 | | | Alloy Finco Ltd.
(GBP Holdco PIK Term Loan),
LIBOR 3M + 0.500% Cash,
13.500% PIK(1),(3),(10) | | (NR, NR) | | 03/06/25 | | | 15.210 | | | | 4,871,362 | | |
| | 4,133 | | | Alloy Finco Ltd.
(USD Holdco PIK Term Loan),
LIBOR 3M + 0.500% Cash,
13.500% PIK(1),(3),(4) | | (NR, NR) | | 03/06/25 | | | 14.000 | | | | 4,210,969 | | |
| | 6,515 | | | CMBF LLC (Term Loan),
LIBOR 1M + 6.000%(1),(2) | | (B, B3) | | 08/02/28 | | | 6.500 | | | | 6,336,081 | | |
| | 5,011 | | | Cohu, Inc., LIBOR 3M + 3.000%(1) | | (B+, Ba3) | | 10/01/25 | | | 3.519 | | | | 4,987,875 | | |
| | 8,124 | | | CPM Holdings, Inc., LIBOR 1M + 3.500%(1) | | (B-, B2) | | 11/17/25 | | | 3.955 | | | | 8,055,971 | | |
| | 1,578 | | | CPM Holdings, Inc.,
LIBOR 1M + 8.250%(1),(2),(4) | | (CCC+, Caa2) | | 11/16/26 | | | 8.705 | | | | 1,569,727 | | |
| | 5,937 | | | Engineered Machinery Holdings, Inc.,
LIBOR 3M + 3.750%(1) | | (B-, B1) | | 05/19/28 | | | 4.756 | | | | 5,920,837 | | |
| | 924 | | | Griffon Corp., SOFR 3M + 2.750%(1) | | (BB, Ba2) | | 01/24/29 | | | 3.267 | | | | 917,053 | | |
| | 3,696 | | | LTI Holdings, Inc.,
LIBOR 1M + 6.750%(1),(4) | | (CCC+, Caa2) | | 09/06/26 | | | 7.514 | | | | 3,631,156 | | |
| | 10,853 | | | LTI Holdings, Inc., LIBOR 1M + 3.500%(1) | | (B-, B2) | | 09/06/25 | | | 4.264 | | | | 10,652,016 | | |
| | 478 | | | LTI Holdings, Inc.,
LIBOR 1M + 4.750%(1),(2) | | (B-, B2) | | 07/24/26 | | | 5.514 | | | | 475,137 | | |
| | 2,375 | | | LTI Holdings, Inc.(6) | | (B-, B2) | | 07/24/26 | | | 4.750 | | | | 2,355,703 | | |
See Accompanying Notes to Financial Statements.
17
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Machinery | | | |
$ | 2,369 | | | LTI Holdings, Inc., LIBOR 1M + 4.750%(1) | | (B-, B2) | | 07/24/26 | | | 5.514 | | | $ | 2,349,814 | | |
| | 791 | | | LTI Holdings, Inc., LIBOR 1M + 4.750%(1),(2) | | (B-, B2) | | 07/24/26 | | | 5.514 | | | | 785,955 | | |
| | 296 | | | Pro Mach Group, Inc.,
LIBOR 3M + 4.000%(1),(6) | | (B-, B1) | | 08/31/28 | | | 4.000 | | | | 294,665 | | |
| | 4,299 | | | Pro Mach Group, Inc.,
LIBOR 1M + 4.000%(1) | | (B-, B1) | | 08/31/28 | | | 5.000 | | | | 4,281,133 | | |
| | 9,520 | | | Welbilt, Inc., LIBOR 1M + 2.500%(1) | | (B-, B2) | | 10/23/25 | | | 3.264 | | | | 9,496,326 | | |
| | | | 85,082,168 | | |
| Media - Diversified (0.4%) | | | |
| | 12,713 | | | Alchemy Copyrights, LLC,
LIBOR 1M + 3.000%(1),(2) | | (B+, B1) | | 03/10/28 | | | 3.500 | | | | 12,681,300 | | |
| | 1,877 | | | Diamond Sports Group, LLC,
SOFR 3M + 3.250%(1) | | (CCC+, Caa2) | | 08/24/26 | | | 3.656 | | | | 637,123 | | |
| | 1,177 | | | Diamond Sports Group, LLC,
SOFR 3M + 8.000%(1) | | (B, B2) | | 05/26/26 | | | 9.000 | | | | 1,200,151 | | |
| | | | 14,518,574 | | |
| Media Content (0.2%) | | | |
| | 8,250 | | | Recorded Books, Inc.,
LIBOR 1M + 4.000%(1) | | (B-, B3) | | 08/29/25 | | | 4.551 | | | | 8,227,890 | | |
| Medical Products (1.9%) | | | |
| | 7,354 | | | CryoLife, Inc., LIBOR 3M + 3.500%(1) | | (B, B1) | | 06/01/27 | | | 4.506 | | | | 7,259,275 | | |
| | 3,698 | | | Femur Buyer, Inc., LIBOR 3M + 4.500%(1) | | (CCC+, Caa1) | | 03/05/26 | | | 5.506 | | | | 3,365,557 | | |
| | 7,165 | | | Femur Buyer, Inc.,
LIBOR 3M + 5.500%(1),(2) | | (NR, NR) | | 03/05/24 | | | 6.506 | | | | 6,296,039 | | |
| | 7,201 | | | Maravai Intermediate Holdings, LLC,
SOFR 3M + 3.000%(1) | | (B+, B1) | | 10/19/27 | | | 3.851 | | | | 7,199,212 | | |
| | 19,500 | | | Medline Borrower LP,
LIBOR 1M + 3.250%(1) | | (B+, B1) | | 10/23/28 | | | 4.014 | | | | 19,194,240 | | |
| | 18,776 | | | Sotera Health Holdings LLC,
LIBOR 1M + 2.750%(1) | | (BB-, B1) | | 12/11/26 | | | 3.514 | | | | 18,623,717 | | |
| | 2,456 | | | Viant Medical Holdings, Inc.,
LIBOR 1M + 3.750%(1) | | (CCC+, B3) | | 07/02/25 | | | 4.514 | | | | 2,334,956 | | |
| | | | 64,272,996 | | |
| Metals & Mining - Excluding Steel (0.0%) | | | |
| | 6,745 | | | Noranda Aluminum Acquisition Corp.(2),(8),(9) | | (NR, NR) | | 02/28/19 | | | 0.000 | | | | 17,199 | | |
| Oil Refining & Marketing (0.4%) | | | |
| | 12,911 | | | EG Finco Ltd, EURIBOR 3M + 4.000%(1),(5) | | (B-, B3) | | 02/07/25 | | | 4.000 | | | | 13,413,499 | | |
| Packaging (1.5%) | | | |
| | 5,206 | | | Altium Packaging LLC,
LIBOR 1M + 2.750%(1) | | (B+, B2) | | 02/03/28 | | | 3.520 | | | | 5,028,495 | | |
| | 3,848 | | | Anchor Glass Container Corp.,
LIBOR 3M + 2.750%(1) | |
(CCC+, Caa1) | |
12/07/23 | | | 3.750 -
3.756 | | | | 3,325,322 | | |
See Accompanying Notes to Financial Statements.
18
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Packaging | | | |
$ | 2,058 | | | Anchor Glass Container Corp.,
LIBOR 3M + 7.750%(1),(4) | | (CCC-, Caa3) | | 12/07/24 | | | 8.750 | | | $ | 978,357 | | |
| | 2,927 | | | Anchor Glass Container Corp.,
LIBOR 3M + 5.000%(1),(2) | | (CCC+, Caa1) | | 12/07/23 | | | 6.006 | | | | 2,487,908 | | |
| | 294 | | | Graham Packaging Co., Inc.,
LIBOR 1M + 3.000%(1) | | (B, B1) | | 08/04/27 | | | 3.764 | | | | 288,551 | | |
| | 16,599 | | | Proampac PG Borrower LLC,
LIBOR 3M + 3.750%(1) | | (B-, B3) | | 11/03/25 | | | 4.500 | | | | 16,377,538 | | |
| | 3,300 | | | Reynolds Group Holdings, Inc.,
LIBOR 1M + 3.250%(1) | | (B+, B1) | | 02/05/26 | | | 4.014 | | | | 3,215,494 | | |
| | 2,300 | | | Strategic Materials, Inc.,
LIBOR 3M + 3.750%(1),(4) | | (CCC, Caa3) | | 11/01/24 | | | 4.750 | | | | 2,074,920 | | |
| | 4,375 | | | Strategic Materials, Inc.,
LIBOR 3M + 7.750%(1),(2),(4) | | (CC, C) | | 10/31/25 | | | 8.750 | | | | 2,428,125 | | |
| | 5,459 | | | Technimark Holdings LLC,
LIBOR 1M + 3.750%(1) | | (B-, B2) | | 07/09/29 | | | 4.301 | | | | 5,308,634 | | |
| | 10,569 | | | TricorBraun Holdings, Inc.,
LIBOR 1M + 3.250%(1) | | (B-, B2) | | 03/03/28 | | | 4.014 | | | | 10,363,771 | | |
| | | | 51,877,115 | | |
| Packaging & Containers (0.2%) | | | |
| | 4,993 | | | Hyperion Insurance Group Ltd.,
LIBOR 1M + 3.250%(1) | | (B, B2) | | 11/12/27 | | | 4.063 | | | | 4,952,359 | | |
| Personal & Household Products (2.0%) | | | |
| | 1,893 | | | ABG Intermediate Holdings 2 LLC,
SOFR 3M + 6.000%(1) | | (CCC+, Caa1) | | 12/20/29 | | | 6.801 | | | | 1,881,216 | | |
| | 17,184 | | | ABG Intermediate Holdings 2 LLC,
LIBOR 3M + 3.250%(1) | | (B, B1) | | 09/27/24 | | | 4.000 | | | | 17,160,764 | | |
| | 7,463 | | | ABG Intermediate Holdings 2 LLC,
SOFR 3M + 3.500%(1) | | (B, B1) | | 12/21/28 | | | 4.000 | | | | 7,416,590 | | |
| | 2,088 | | | Anticimex International AB,
LIBOR 3M + 4.000%(1),(2) | | (B, B2) | | 11/16/28 | | | 4.500 | | | | 2,080,559 | | |
| | 6,671 | | | Anticimex International AB,
LIBOR 3M + 3.500%(1) | | (B, B2) | | 11/16/28 | | | 4.008 | | | | 6,604,169 | | |
| | 3,201 | | | Fender Musical Instruments Corp.,
SOFR 1M + 4.000%(1) | | (B, B2) | | 12/01/28 | | | 4.500 | | | | 3,184,769 | | |
| | 1,176 | | | Fluidra, S.A., SOFR 1M + 2.000%(1) | | (BB+, Ba2) | | 01/29/29 | | | 2.800 | | | | 1,166,165 | | |
| | 5,000 | | | Keter Group B.V.,
EURIBOR 3M + 4.250%(1),(5) | | (B, B3) | | 10/31/23 | | | 5.250 | | | | 5,077,528 | | |
| | 3,400 | | | Keter Group B.V.,
EURIBOR 3M + 4.250%(1),(5) | | (B, B3) | | 10/31/23 | | | 5.250 | | | | 3,452,719 | | |
| | 8,381 | | | MajorDrive Holdings IV LLC,
LIBOR 3M + 4.000%(1) | | (B, B2) | | 06/01/28 | | | 4.563 | | | | 8,257,024 | | |
| | 1,672 | | | Olaplex, Inc., SOFR 3M + 3.850%(1),(2) | | (BB-, B1) | | 02/23/29 | | | 4.799 | | | | 1,671,827 | | |
See Accompanying Notes to Financial Statements.
19
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Personal & Household Products | | | |
$ | 3,631 | | | Serta Simmons Bedding, LLC,
LIBOR 1M + 7.500%(1) | | (B, B2) | | 08/10/23 | | | 8.500 | | | $ | 3,615,397 | | |
| | 6,452 | | | Serta Simmons Bedding, LLC,
LIBOR 1M + 7.500%(1) | | (B-, Caa2) | | 08/10/23 | | | 8.500 | | | | 5,845,173 | | |
| | | | 67,413,900 | | |
| Pharmaceuticals (2.7%) | | | |
| | 5,065 | | | Akorn, Inc., LIBOR 3M + 7.500%(1) | | (CCC+, Caa2) | | 10/01/25 | | | 8.500 | | | | 5,080,586 | | |
| | 8,583 | | | Alkermes, Inc., LIBOR 3M + 2.500%(1),(2) | | (BB, Ba3) | | 03/12/26 | | | 3.544 | | | | 8,432,813 | | |
| | 15,793 | | | Bausch Health Companies, Inc.,
LIBOR 1M + 3.000%(1) | | (BB, Ba2) | | 06/02/25 | | | 3.764 | | | | 15,739,929 | | |
| | 6,663 | | | Bausch Health Companies, Inc.,
LIBOR 1M + 2.750%(1) | | (BB, Ba2) | | 11/27/25 | | | 3.514 | | | | 6,636,814 | | |
| | 15,000 | | | Bausch Health Companies, Inc.(7) | | (BB, Ba3) | | 01/27/27 | | | 0.000 | | | | 14,543,775 | | |
| | 9,332 | | | Certara, LP, LIBOR 1M + 3.500%(1) | | (B+, B1) | | 08/15/26 | | | 4.264 | | | | 9,238,567 | | |
| | 7,543 | | | Endo Luxembourg Finance Co. I Sarl,
LIBOR 1M + 5.000%(1) | | (B-, B3) | | 03/27/28 | | | 5.813 | | | | 7,018,592 | | |
| | 2,000 | | | Horizon Therapeutics U.S.A., Inc.,
LIBOR 1M + 2.000%(1) | | (BB+, Ba1) | | 05/22/26 | | | 2.688 | | | | 1,977,250 | | |
| | 3,982 | | | ICON Luxembourg Sarl (LUX Term Loan),
LIBOR 3M + 2.250%(1) | | (BB+, Ba1) | | 07/03/28 | | | 3.313 | | | | 3,964,500 | | |
| | 992 | | | ICON Luxembourg Sarl (US Term Loan),
LIBOR 3M + 2.250%(1) | | (BB+, Ba1) | | 07/03/28 | | | 3.313 | | | | 987,758 | | |
| | 17,116 | | | Jazz Financing Lux Sarl,
LIBOR 1M + 3.500%(1) | | (BB-, Ba2) | | 05/05/28 | | | 4.264 | | | | 17,111,474 | | |
| | | | 90,732,058 | | |
| Real Estate Development & Management (0.2%) | | | |
| | 4,949 | | | BIFM CA Buyer, Inc.,
LIBOR 1M + 3.500%(1),(2) | | (B, B2) | | 06/01/26 | | | 4.264 | | | | 4,893,432 | | |
| Real Estate Investment Trusts (0.4%) | | | |
| | 2,456 | | | Blackstone Mortgage Trust, Inc.,
LIBOR 1M + 2.750%(1),(2) | | (BB-, Ba2) | | 04/23/26 | | | 3.514 | | | | 2,425,732 | | |
| | 9,006 | | | Claros Mortgage Trust, Inc.,
SOFR 1M + 4.500%(1),(2) | | (B+, Ba3) | | 08/09/26 | | | 5.000 | | | | 8,983,911 | | |
| | 3,566 | | | Starwood Property Trust, Inc.,
LIBOR 1M + 3.250%(1),(2) | | (BB, Ba2) | | 07/26/26 | | | 4.014 | | | | 3,561,583 | | |
| | | | 14,971,226 | | |
| Recreation & Travel (1.5%) | | | |
| | 12,873 | | | Alterra Mountain Co.,
LIBOR 1M + 3.500%(1) | | (B, B2) | | 08/17/28 | | | 4.264 | | | | 12,800,375 | | |
| | 2,154 | | | Bulldog Purchaser, Inc.,
LIBOR 3M + 7.750%(1) | | (CCC-, Caa3) | | 09/04/26 | | | 8.258 | | | | 2,066,357 | | |
| | 8,012 | | | Bulldog Purchaser, Inc.,
LIBOR 3M + 3.750%(1) | | (B-, B3) | | 09/05/25 | | | 4.258 | | | | 7,703,183 | | |
See Accompanying Notes to Financial Statements.
20
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Recreation & Travel | | | |
$ | 1,253 | | | Crown Finance U.S., Inc.,
LIBOR 3M + 2.500%(1) | | (CCC, Caa2) | | 02/28/25 | | | 3.500 | | | $ | 959,635 | | |
| | 4,741 | | | Crown Finance U.S., Inc.,
LIBOR 3M + 2.750%(1) | | (CCC, Caa2) | | 09/30/26 | | | 4.250 | | | | 3,530,714 | | |
| | 7,897 | | | Hornblower Sub LLC,
LIBOR 3M + 4.500%(1) | | (CCC-, Caa2) | | 04/27/25 | | | 5.500 | | | | 7,154,894 | | |
| | 2,000 | | | Hornblower Sub LLC
(Incremental Term Loan),
LIBOR 3M + 8.125%(1) | | (NR, NR) | | 11/10/25 | | | 9.125 | | | | 2,070,000 | | |
| | 5,773 | | | Hornblower Sub LLC (Term Loan),
LIBOR 3M + 8.125%(1) | | (NR, NR) | | 11/10/25 | | | 9.125 | | | | 5,975,258 | | |
| | 3,980 | | | Richmond UK Bidco Ltd.,
SONIA + 4.250%(1),(10) | | (B, B2) | | 03/03/24 | | | 4.973 | | | | 4,939,191 | | |
| | 1,995 | | | SeaWorld Parks & Entertainment, Inc.,
LIBOR 1M + 3.000%(1) | | (BB-, Ba3) | | 08/25/28 | | | 3.813 | | | | 1,969,631 | | |
| | | | 49,169,238 | | |
| Restaurants (2.8%) | | | |
| | 12,835 | | | 1011778 B.C. Unlimited Liability Co.,
LIBOR 1M + 1.750%(1) | | (BB+, Ba2) | | 11/19/26 | | | 2.514 | | | | 12,614,348 | | |
| | 17,946 | | | Flynn Restaurant Group LP,
LIBOR 1M + 4.250%(1) | | (B, B2) | | 12/01/28 | | | 5.137 | | | | 17,743,648 | | |
| | 1,555 | | | Fogo De Chao, Inc.,
LIBOR 1M + 4.250%(1),(4) | | (B-, Caa1) | | 04/07/25 | | | 5.250 | | | | 1,534,534 | | |
| | 13,254 | | | IRB Holding Corp., LIBOR 6M + 2.750%(1) | | (B+, B2) | | 02/05/25 | | | 3.756 | | | | 13,156,887 | | |
| | 7,406 | | | IRB Holding Corp., SOFR 1M + 3.000%(1) | | (B+, B2) | | 12/15/27 | | | 3.750 | | | | 7,316,005 | | |
| | 1,529 | | | K-Mac Holdings Corp.,
LIBOR 1M + 6.750%(1) | | (CCC, Caa2) | | 07/30/29 | | | 7.250 | | | | 1,510,843 | | |
| | 9,443 | | | K-Mac Holdings Corp.,
LIBOR 1M + 3.500%(1) | | (B-, B2) | | 07/21/28 | | | 4.000 | | | | 9,336,330 | | |
| | 3,483 | | | Miller's Ale House, Inc.,
LIBOR 1M + 4.750%,
PRIME + 3.750%(1),(4) | |
(CCC+, Caa1) | |
05/30/25 | | |
5.418 -
7.250 | | | | 3,398,975 | | |
| | 14,043 | | | Tacala LLC, LIBOR 1M + 3.500%(1) | | (B-, B2) | | 02/05/27 | | | 4.264 | | | | 13,842,833 | | |
| | 15,795 | | | Whatabrands LLC, LIBOR 1M + 3.250%(1) | | (B, B2) | | 08/03/28 | | | 4.014 | | | | 15,645,005 | | |
| | | | 96,099,408 | | |
| Software - Services (15.6%) | | | |
| | 14,771 | | | Applied Systems, Inc.,
LIBOR 3M + 3.000%(1) | | (B-, B2) | | 09/19/24 | | | 4.006 | | | | 14,746,517 | | |
| | 439 | | | Applied Systems, Inc.,
LIBOR 3M + 5.500%(1) | | (CCC, Caa2) | | 09/19/25 | | | 6.506 | | | | 439,930 | | |
| | 3,741 | | | AQA Acquisition Holding, Inc.,
LIBOR 3M + 4.250%(1) | | (B-, B2) | | 03/03/28 | | | 5.256 | | | | 3,724,325 | | |
| | 10,841 | | | Aston FinCo Sarl, LIBOR 1M + 4.250%(1) | | (B-, B2) | | 10/09/26 | | | 5.014 | | | | 10,751,382 | | |
See Accompanying Notes to Financial Statements.
21
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Software - Services | | | |
$ | 9,416 | | | Astra Acquisition Corp.,
LIBOR 1M + 5.250%(1),(2) | | (B-, B2) | | 10/25/28 | | | 6.014 | | | $ | 9,086,832 | | |
| | 10,234 | | | Camelot U.S. Acquisition 1 Co.,
LIBOR 1M + 3.000%(1) | | (B, B1) | | 10/30/26 | | | 4.000 | | | | 10,164,493 | | |
| | 5,265 | | | Cardinal Parent, Inc.,
LIBOR 3M + 4.500%(1) | | (B-, B2) | | 11/12/27 | | | 5.250 | | | | 5,236,752 | | |
| | 5,863 | | | CCC Intelligent Solutions, Inc.,
LIBOR 3M + 2.250%(1) | | (B, B1) | | 09/21/28 | | | 3.256 | | | | 5,796,112 | | |
| | 16,233 | | | Ceridian HCM Holding, Inc.,
LIBOR 1M + 2.500%(1) | | (B+, B1) | | 04/30/25 | | | 3.264 | | | | 16,065,795 | | |
| | 4,812 | | | Cloudera, Inc., LIBOR 1M + 3.750%(1) | | (B-, B2) | | 10/08/28 | | | 4.514 | | | | 4,745,372 | | |
| | 2,758 | | | CommerceHub, Inc.,
LIBOR 3M + 7.000%(1) | | (CCC, Caa2) | | 12/29/28 | | | 8.006 | | | | 2,571,468 | | |
| | 6,844 | | | CommerceHub, Inc.,
LIBOR 3M + 4.000%(1) | | (B, B2) | | 12/29/27 | | | 5.006 | | | | 6,693,548 | | |
| | 6,446 | | | ConnectWise, LLC, LIBOR 1M + 3.500%(1) | | (NR, B2) | | 09/29/28 | | | 4.264 | | | | 6,412,729 | | |
| | 9,211 | | | Corel Corp., LIBOR 3M + 5.000%(1) | | (B-, B2) | | 07/02/26 | | | 5.508 | | | | 9,185,192 | | |
| | 12,007 | | | DCert Buyer, Inc., LIBOR 1M + 4.000%(1) | | (B-, B2) | | 10/16/26 | | | 4.764 | | | | 11,971,629 | | |
| | 2,083 | | | DCert Buyer, Inc., LIBOR 1M + 7.000%(1) | | (CCC, Caa2) | | 02/19/29 | | | 7.764 | | | | 2,067,001 | | |
| | 10,514 | | | E2open, LLC, LIBOR 3M + 3.500%(1) | | (B, B2) | | 02/04/28 | | | 4.000 | | | | 10,481,237 | | |
| | 6,567 | | | EAB Global, Inc., LIBOR 1M + 3.500%,
LIBOR 3M + 3.500%(1) | |
(B-, B2) | |
08/16/28 | | | 4.264 -
4.739 | | | | 6,492,120 | | |
| | 5,460 | | | Endure Digital, Inc., LIBOR 3M + 3.500%(1) | | (B, B2) | | 02/10/28 | | | 4.250 | | | | 5,237,062 | | |
| | 2,000 | | | EP Purchaser, LLC, LIBOR 3M + 3.500%(1) | | (B+, B1) | | 11/06/28 | | | 4.506 | | | | 1,996,870 | | |
| | 3,580 | | | Epicor Software Corp.,
LIBOR 1M + 7.750%(1) | | (CCC, Caa2) | | 07/31/28 | | | 8.750 | | | | 3,662,054 | | |
| | 13,150 | | | Epicor Software Corp.,
LIBOR 1M + 3.250%(1) | | (B-, B2) | | 07/30/27 | | | 4.014 | | | | 13,083,921 | | |
| | 3,483 | | | EverCommerce, Inc.,
LIBOR 1M + 3.250%(1) | | (B+, B1) | | 07/06/28 | | | 4.014 | | | | 3,446,961 | | |
| | 29,473 | | | Finastra U.S.A., Inc.,
LIBOR 3M + 3.500%(1) | | (B-, B2) | | 06/13/24 | | | 4.739 | | | | 28,664,380 | | |
| | 13,732 | | | Finastra U.S.A., Inc.,
LIBOR 3M + 7.250%(1) | | (CCC, Caa2) | | 06/13/25 | | | 8.489 | | | | 13,245,689 | | |
| | 6,953 | | | First Advantage Holdings LLC,
LIBOR 1M + 2.750%(1) | | (BB-, B1) | | 01/31/27 | | | 3.514 | | | | 6,926,437 | | |
| | 3,151 | | | Fleetcor Technologies Operating
Company, LLC, LIBOR 1M + 1.750%(1) | | (BB+, Ba1) | | 04/28/28 | | | 2.514 | | | | 3,098,620 | | |
| | 23,299 | | | Flexera Software LLC,
LIBOR 3M + 3.750%(1) | | (B-, B1) | | 03/03/28 | | | 4.500 | | | | 23,185,132 | | |
| | 16,541 | | | GHX Ultimate Parent Corp.,
LIBOR 3M + 3.250%(1) | | (B, B2) | | 06/28/24 | | | 4.256 | | | | 16,410,423 | | |
| | 9,312 | | | Hyland Software, Inc.,
LIBOR 1M + 3.500%(1) | | (B-, B1) | | 07/01/24 | | | 4.264 | | | | 9,291,411 | | |
| | 4,950 | | | IGT Holding IV AB, LIBOR 3M + 3.500%(1) | | (B, B2) | | 03/31/28 | | | 4.506 | | | | 4,928,369 | | |
| | 8,048 | | | II-VI, Inc.(7) | | (BB-, Ba2) | | 12/01/28 | | | 0.000 | | | | 8,023,132 | | |
See Accompanying Notes to Financial Statements.
22
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Software - Services | | | |
$ | 7,505 | | | Instructure Holdings, Inc.,
LIBOR 3M + 2.750%(1) | | (NR, B1) | | 10/30/28 | | | 3.269 | | | $ | 7,457,892 | | |
| | 700 | | | Marcel LUX IV Sarl, LIBOR 1M + 4.000%(1) | | (BB-, B1) | | 12/31/27 | | | 4.764 | | | | 697,295 | | |
| | 1,976 | | | Marcel LUX IV Sarl, LIBOR 1M + 3.250%(1) | | (BB-, B1) | | 03/15/26 | | | 4.014 | | | | 1,970,062 | | |
| | 5,862 | | | Mitnick Corporate Purchaser, Inc.(7) | | (B-, B3) | | 05/02/29 | | | 0.000 | | | | 5,855,794 | | |
| | 7,384 | | | NAB Holdings LLC, SOFR 3M + 3.000%(1) | | (B+, B1) | | 11/23/28 | | | 3.801 | | | | 7,293,581 | | |
| | 699 | | | Navicure, Inc., LIBOR 1M + 4.000%(1) | | (B-, B2) | | 10/22/26 | | | 4.764 | | | | 699,443 | | |
| | 25,444 | | | Polaris Newco LLC, LIBOR 1M + 4.000%(1) | | (B-, B2) | | 06/02/28 | | | 4.764 | | | | 25,221,835 | | |
| | 19,759 | | | Project Alpha Intermediate Holding, Inc.,
LIBOR 1M + 4.000%(1) | | (B, B3) | | 04/26/24 | | | 4.770 | | | | 19,741,852 | | |
| | 4,947 | | | Project Boost Purchaser, LLC,
LIBOR 1M + 3.500%(1) | | (B-, B2) | | 06/01/26 | | | 4.264 | | | | 4,877,225 | | |
| | 496 | | | Project Boost Purchaser, LLC,
LIBOR 1M + 3.500%(1) | | (B-, B2) | | 05/30/26 | | | 4.264 | | | | 490,771 | | |
| | 1,357 | | | Project Leopard Holdings, Inc.,
LIBOR 3M + 4.750%(1) | | (B, B2) | | 07/05/24 | | | 5.750 | | | | 1,357,947 | | |
| | 2,438 | | | Project Leopard Holdings, Inc.(7) | | (B, B2) | | 07/07/24 | | | 0.000 | | | | 2,437,944 | | |
| | 8,444 | | | Project Ruby Ultimate Parent Corp.,
LIBOR 1M + 3.250%(1) | | (B, B2) | | 03/03/28 | | | 4.014 | | | | 8,370,538 | | |
| | 17,982 | | | Proofpoint, Inc., LIBOR 3M + 3.250%(1) | | (B-, B2) | | 08/31/28 | | | 3.758 | | | | 17,719,685 | | |
| | 9,130 | | | Quest Software U.S. Holdings, Inc.,
SOFR 3M + 4.250%(1) | | (B-, B2) | | 02/01/29 | | | 4.750 | | | | 8,978,442 | | |
| | 2,992 | | | RCP Vega, Inc.(7) | | (B, B2) | | 04/30/26 | | | 0.000 | | | | 2,976,992 | | |
| | 18,734 | | | RealPage, Inc., LIBOR 1M + 3.250%(1) | | (B, B2) | | 04/24/28 | | | 4.014 | | | | 18,468,139 | | |
| | 9,276 | | | Redstone Buyer LLC,
LIBOR 3M + 4.750%(1) | | (B-, B2) | | 04/27/28 | | | 5.934 | | | | 8,948,400 | | |
| | 8,753 | | | Seattle Spinco, Inc., SOFR 1M + 4.000%(1) | | (BB-, B1) | | 02/26/27 | | | 4.671 | | | | 8,680,416 | | |
| | 11,116 | | | Seattle Spinco, Inc., LIBOR 1M + 2.750%(1) | | (BB-, B1) | | 06/21/24 | | | 3.514 | | | | 11,012,084 | | |
| | 3,770 | | | SkillSoft Corp., SOFR 3M + 5.250%(1) | | (B-, B2) | | 07/14/28 | | | 6.187 | | | | 3,755,738 | | |
| | 2,458 | | | SS&C European Holdings Sarl,
LIBOR 1M + 1.750%(1) | | (BB+, Ba2) | | 04/16/25 | | | 2.514 | | | | 2,427,304 | | |
| | 2,875 | | | SS&C Technologies, Inc.,
LIBOR 1M + 1.750%(1) | | (BB+, Ba2) | | 04/16/25 | | | 2.514 | | | | 2,839,436 | | |
| | 12,217 | | | Storable, Inc., SOFR 1M + 3.500%,
SOFR 3M + 3.500%(1) | |
(B, B2) | |
04/17/28 | | | 4.151 -
4.200 | | | | 12,135,270 | | |
| | 5,130 | | | Symantec Corp.(7) | | (BB, Ba1) | | 01/28/29 | | | 0.000 | | | | 5,051,973 | | |
| | 6,343 | | | The Ultimate Software Group, Inc.,
LIBOR 3M + 3.250%(1) | | (B-, B1) | | 05/04/26 | | | 4.212 | | | | 6,285,884 | | |
| | 17,310 | | | The Ultimate Software Group, Inc.,
LIBOR 3M + 3.750%(1) | | (B-, B1) | | 05/04/26 | | | 4.756 | | | | 17,248,575 | | |
| | 11,887 | | | Turing Midco LLC, LIBOR 1M + 2.750%(1) | | (B+, B1) | | 03/23/28 | | | 3.514 | | | | 11,815,994 | | |
| | 1,843 | | | Vaco Holdings, LLC, SOFR 3M + 5.000%(1) | | (B, B2) | | 01/21/29 | | | 5.801 | | | | 1,844,373 | | |
| | 2,107 | | | Verint Systems, Inc.,
LIBOR 1M + 2.000%(1) | | (BBB-, Ba1) | | 06/28/24 | | | 2.455 | | | | 2,098,319 | | |
| | 1,973 | | | Virtusa Corp., SOFR 1M + 3.750%(1) | | (B, B2) | | 02/15/29 | | | 4.550 | | | | 1,951,420 | | |
| | 7,145 | | | Virtusa Corp., LIBOR 1M + 3.750%(1) | | (B, B2) | | 02/11/28 | | | 4.514 | | | | 7,080,093 | | |
See Accompanying Notes to Financial Statements.
23
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Software - Services | | | |
$ | 10,571 | | | VS Buyer LLC, LIBOR 1M + 3.000%(1) | | (B, B1) | | 02/28/27 | | | 3.764 | | | $ | 10,491,243 | | |
| | 2,719 | | | ZoomInfo LLC, LIBOR 1M + 3.000%(1) | | (BB+, Ba1) | | 02/02/26 | | | 3.764 | | | | 2,711,708 | | |
| | | | 528,826,562 | | |
| Specialty Retail (0.5%) | | | |
| | 14,088 | | | Mister Car Wash Holdings, Inc.,
LIBOR 1M + 3.000%(1) | | (B, B2) | | 05/14/26 | | | 3.764 | | | | 13,994,473 | | |
| | 4,244 | | | Restoration Hardware, Inc.,
LIBOR 1M + 2.500%(1) | | (BB, Ba3) | | 10/20/28 | | | 3.264 | | | | 4,091,033 | | |
| | | | 18,085,506 | | |
| Steel Producers/Products (0.4%) | | | |
| | 3,593 | | | Grinding Media, Inc.,
LIBOR 6M + 4.000%(1),(2) | | (B, B2) | | 10/12/28 | | | 4.796 | | | | 3,525,814 | | |
| | 11,594 | | | Zekelman Industries, Inc.,
LIBOR 1M + 2.000%(1) | | (BB+, Ba3) | | 01/24/27 | | | 2.632 | | | | 11,440,643 | | |
| | | | 14,966,457 | | |
| Support - Services (5.4%) | | | |
| | 16,189 | | | Allied Universal Holdco LLC,
LIBOR 1M + 3.750%(1) | | (B, B2) | | 05/12/28 | | | 4.514 | | | | 15,794,179 | | |
| | 2,730 | | | Beacon Roofing Supply, Inc.,
LIBOR 1M + 2.250%(1) | | (BB, Ba3) | | 05/19/28 | | | 3.014 | | | | 2,703,586 | | |
| | 3,477 | | | Belron Finance U.S. LLC,
LIBOR 3M + 2.250%(1) | | (BB+, Ba2) | | 10/30/26 | | | 3.500 | | | | 3,459,153 | | |
| | 4,908 | | | Belron Finance U.S. LLC,
LIBOR 3M + 2.750%(1) | | (BB+, Ba2) | | 04/13/28 | | | 3.250 | | | | 4,893,227 | | |
| | 4,065 | | | Centuri Group, Inc., LIBOR 3M + 2.500%(1) | | (B+, Ba2) | | 08/27/28 | | | 3.008 | | | | 4,024,981 | | |
| | 22,006 | | | Change Healthcare Holdings LLC,
LIBOR 1M + 2.500%(1) | | (B+, B1) | | 03/01/24 | | | 3.500 | | | | 21,990,972 | | |
| | 7,960 | | | CoreLogic, Inc., LIBOR 1M + 3.500%(1),(2) | | (B, B1) | | 06/02/28 | | | 4.313 | | | | 7,502,300 | | |
| | 3,009 | | | Global Education Management Systems
Establishment, LIBOR 3M + 5.000%(1) | | (B-, B3) | | 07/31/26 | | | 6.000 | | | | 3,012,980 | | |
| | 3,680 | | | LaserShip, Inc., LIBOR 3M + 7.500%(1) | | (CCC, Caa2) | | 05/07/29 | | | 8.250 | | | | 3,665,810 | | |
| | 8,960 | | | LaserShip, Inc., LIBOR 3M + 4.500%(1) | | (B-, B2) | | 05/07/28 | | | 5.250 | | | | 8,897,280 | | |
| | 13,100 | | | Nuvei Technologies Corp.,
LIBOR 1M + 2.500%(1) | | (B+, Ba3) | | 09/29/25 | | | 3.264 | | | | 13,042,216 | | |
| | 5,000 | | | Pacific (BC) TopCo 5 Ltd.,
EURIBOR 3M + 4.750%(1),(2),(5) | | (B-, B3) | | 01/06/26 | | | 4.750 | | | | 5,274,751 | | |
| | 3,491 | | | PODS, LLC, LIBOR 3M + 3.000%(1) | | (B, B2) | | 03/31/28 | | | 3.750 | | | | 3,454,465 | | |
| | 3,200 | | | Savage Enterprises LLC,
LIBOR 1M + 3.250%(1) | | (BB-, B1) | | 09/15/28 | | | 3.890 | | | | 3,181,367 | | |
| | 12,124 | | | Sedgwick Claims Management
Services, Inc., LIBOR 1M + 3.250%(1) | | (B, B2) | | 12/31/25 | | | 4.014 | | | | 12,024,073 | | |
| | 15,714 | | | SRAM, LLC, LIBOR 3M + 2.750%,
LIBOR 6M + 2.750%(1) | |
(BB-, B1) | |
05/18/28 | | | 3.250 -
3.514 | | | | 15,612,567 | | |
See Accompanying Notes to Financial Statements.
24
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Support - Services | | | |
$ | 491 | | | St. George's University Scholastic
Services, LIBOR 1M + 3.250%(1) | | (B+, B2) | | 02/10/29 | | | 4.014 | | | $ | 486,666 | | |
| | 13,004 | | | Tempo Acquisition LLC,
SOFR 1M + 3.000%(1) | | (BB-, Ba3) | | 08/31/28 | | | 3.700 | | | | 12,935,257 | | |
| | 1,234 | | | Tempo Acquisition LLC,
LIBOR 1M + 2.750%(1) | | (BB-, Ba3) | | 05/01/24 | | | 3.514 | | | | 1,230,981 | | |
| | 5,164 | | | Trans Union, LLC, LIBOR 1M + 2.250%(1) | | (BBB-, Ba2) | | 12/01/28 | | | 3.014 | | | | 5,117,393 | | |
| | 3,025 | | | TruGreen LP, LIBOR 3M + 8.500%(1),(2) | | (CCC+, Caa1) | | 11/02/28 | | | 9.264 | | | | 3,047,688 | | |
| | 2,858 | | | Waterlogic Holdings Ltd.,
LIBOR 3M + 4.750%(1) | | (B, B3) | | 08/04/28 | | | 5.756 | | | | 2,854,406 | | |
| | 15,807 | | | White Cap Buyer LLC,
SOFR 1M + 3.750%(1) | | (B, B2) | | 10/19/27 | | | 4.450 | | | | 15,474,760 | | |
| | 11,810 | | | Wrench Group LLC,
LIBOR 3M + 4.000%(1),(2) | | (B-, B2) | | 04/30/26 | | | 5.006 | | | | 11,735,994 | | |
| | | | 181,417,052 | | |
| Tech Hardware & Equipment (0.9%) | | | |
| | 8,893 | | | Atlas CC Acquisition Corp.,
LIBOR 3M + 4.250%(1) | | (B, B3) | | 05/25/28 | | | 5.000 | | | | 8,831,939 | | |
| | 1,809 | | | Atlas CC Acquisition Corp.,
LIBOR 3M + 4.250%(1) | | (B+, Ba3) | | 05/25/28 | | | 5.000 | | | | 1,796,326 | | |
| | 6,809 | | | CommScope, Inc., LIBOR 1M + 3.250%(1) | | (B, Ba3) | | 04/06/26 | | | 4.014 | | | | 6,569,628 | | |
| | 8,432 | | | Ingram Micro, Inc., LIBOR 3M + 3.500%(1) | | (BB-, B1) | | 06/30/28 | | | 4.506 | | | | 8,417,295 | | |
| | 5,674 | | | Vertiv Group Corp., LIBOR 1M + 2.750%(1) | | (BB-, B1) | | 03/02/27 | | | 3.202 | | | | 5,533,257 | | |
| | | | 31,148,445 | | |
| Telecom - Wireless (0.8%) | | | |
| | 3,957 | | | CCI Buyer, Inc., LIBOR 3M + 4.000%(1) | | (B-, B1) | | 12/17/27 | | | 4.750 | | | | 3,906,415 | | |
| | 6,442 | | | Eagle Broadband Investments LLC,
LIBOR 3M + 3.000%(1) | | (B+, B2) | | 11/12/27 | | | 4.063 | | | | 6,391,544 | | |
| | 10,072 | | | MetroNet Systems Holdings, LLC,
LIBOR 1M + 3.750%(1) | | (B, B2) | | 06/02/28 | | | 4.500 | | | | 10,004,130 | | |
| | 7,217 | | | Xplornet Communications, Inc.,
LIBOR 1M + 4.000%(1) | | (B-, B2) | | 10/02/28 | | | 4.764 | | | | 7,109,605 | | |
| | | | 27,411,694 | | |
| Telecom - Wireline Integrated & Services (1.1%) | | | |
| | 2,474 | | | Altice France S.A., LIBOR 3M + 4.000%(1) | | (B, B2) | | 08/14/26 | | | 4.506 | | | | 2,461,220 | | |
| | 6,245 | | | Altice France S.A., LIBOR 3M + 3.688%(1) | | (B, B2) | | 01/31/26 | | | 4.732 | | | | 6,195,098 | | |
| | 8,564 | | | CenturyLink, Inc., LIBOR 1M + 2.250%(1) | | (BBB-, Ba3) | | 03/15/27 | | | 3.014 | | | | 8,212,588 | | |
| | 1,783 | | | Cincinnati Bell, Inc., SOFR 3M + 3.250%(1) | | (B+, B1) | | 11/22/28 | | | 4.051 | | | | 1,776,345 | | |
| | 833 | | | GTT Communications, Inc.,
PRIME + 3.750%(1),(8) | | (NR, NR) | | 05/31/25 | | | 7.250 | | | | 683,381 | | |
| | 3,769 | | | Level 3 Financing, Inc.,
LIBOR 1M + 1.750%(1) | | (BBB-, Ba1) | | 03/01/27 | | | 2.514 | | | | 3,647,777 | | |
| | 5,628 | | | Numericable Group S.A.,
LIBOR 1M + 2.750%(1) | | (B, B2) | | 07/31/25 | | | 3.989 | | | | 5,537,564 | | |
See Accompanying Notes to Financial Statements.
25
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Telecom - Wireline Integrated & Services | | | |
$ | 2,250 | | | TVC Albany, Inc., LIBOR 1M + 3.500%(1),(2) | | (B-, B2) | | 07/23/25 | | | 4.264 | | | $ | 2,216,487 | | |
| | 5,672 | | | Voyage Australia Pty Ltd.,
LIBOR 3M + 3.500%(1) | | (BB-, B1) | | 07/20/28 | | | 4.563 | | | | 5,652,614 | | |
| | | | 36,383,074 | | |
| Theaters & Entertainment (2.0%) | | | |
| | 4,791 | | | NAI Entertainment Holdings LLC,
LIBOR 1M + 2.500%(1),(4) | | (BB-, B3) | | 05/08/25 | | | 3.500 | | | | 4,719,501 | | |
| | 8,798 | | | Technicolor S.A., EURIBOR 6M + 3.000%
Cash, 3.000% PIK(1),(3),(5) | | (CCC, Caa3) | | 12/31/24 | | | 6.000 | | | | 9,191,789 | | |
| | 1,276 | | | Technicolor S.A., LIBOR 6M + 6.000%
Cash, 6.000% PIK(1),(3) | | (B, Caa1) | | 06/30/24 | | | 12.446 | | | | 1,322,720 | | |
| | 1,947 | | | Technicolor S.A., LIBOR 3M + 2.750%
Cash, 3.000% PIK(1),(3) | | (CCC, Caa3) | | 12/31/24 | | | 7.040 | | | | 1,928,217 | | |
| | 8,000 | | | TopGolf International, Inc.,
LIBOR 1M + 6.250%(1) | | (B, B3) | | 02/09/26 | | | 7.000 | | | | 8,143,000 | | |
| | 20,116 | | | UFC Holdings LLC, LIBOR 6M + 2.750%(1) | | (B, B2) | | 04/29/26 | | | 3.500 | | | | 19,856,855 | | |
| | 23,563 | | | William Morris Endeavor
Entertainment LLC, LIBOR 1M + 2.750%(1) | | (B, B3) | | 05/18/25 | | | 3.520 | | | | 23,150,465 | | |
| | | | 68,312,547 | | |
| Transport Infrastructure/Services (0.1%) | | | |
| | 2,174 | | | AI Mistral Holdco Ltd.,
LIBOR 1M + 3.000%(1) | | (CCC+, Caa2) | | 03/11/24 | | | 4.000 | | | | 1,878,724 | | |
| Trucking & Delivery (0.2%) | | | |
| | 7,123 | | | American Trailer World Corp.,
SOFR 1M + 3.500%(1) | | (B, B3) | | 03/03/28 | | | 4.300 | | | | 6,663,629 | | |
| TOTAL BANK LOANS (Cost $2,973,615,211) | | | 2,903,389,934 | | |
| CORPORATE BONDS (7.7%) | | | |
| Auto Parts & Equipment (0.1%) | | | |
| | 1,345 | | | Clarios U.S. Finance Co., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/22 @ 104.25)(11) | | (CCC+, Caa1) | | 05/15/27 | | | 8.500 | | | | 1,345,861 | | |
| | 1,205 | | | Cooper-Standard Automotive, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 05/16/22 @ 102.81)(11) | | (CCC-, Caa2) | | 11/15/26 | | | 5.625 | | | | 568,739 | | |
| | 2,000 | | | TI Automotive Finance PLC, Rule 144A,
Senior Unsecured Notes
(Callable 04/15/24 @ 101.88)(5),(11) | | (B+, B3) | | 04/15/29 | | | 3.750 | | | | 1,790,261 | | |
| | | | 3,704,861 | | |
| Brokerage (0.1%) | | | |
| | 2,017 | | | StoneX Group, Inc., Rule 144A,
Senior Secured Notes
(Callable 06/15/22 @ 104.31)(11) | | (BB-, Ba3) | | 06/15/25 | | | 8.625 | | | | 2,112,233 | | |
See Accompanying Notes to Financial Statements.
26
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (continued) | | | |
| Building Materials (0.1%) | | | |
$ | 2,860 | | | Park River Holdings, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 08/01/24 @ 103.38)(11) | | (CCC, Caa1) | | 08/01/29 | | | 6.750 | | | $ | 2,293,755 | | |
| Cable & Satellite TV (0.4%) | | | |
| | 1,000 | | | CSC Holdings LLC, Rule 144A,
Company Guaranteed Notes
(Callable 11/15/26 @ 102.25)(11) | | (BB, Ba3) | | 11/15/31 | | | 4.500 | | | | 829,552 | | |
| | 12,000 | | | Telenet Finance Luxembourg Notes Sarl,
Rule 144A, Senior Secured Notes
(Callable 12/01/22 @ 102.75)(11) | | (BB-, Ba3) | | 03/01/28 | | | 5.500 | | | | 11,580,000 | | |
| | | | 12,409,552 | | |
| Chemicals (0.4%) | | | |
| | 4,000 | | | Herens Holdco Sarl, Rule 144A,
Senior Secured Notes
(Callable 05/15/24 @ 102.38)(11) | | (B, B2) | | 05/15/28 | | | 4.750 | | | | 3,515,000 | | |
| | 7,000 | | | PMHC II, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 02/15/25 @ 104.50)(11) | | (CCC+, Caa2) | | 02/15/30 | | | 9.000 | | | | 5,644,240 | | |
| | 4,750 | | | Schenectady International Group, Inc.,
Rule 144A, Senior Unsecured Notes
(Callable 05/15/23 @ 103.38)(11),(12) | | (CCC+, Caa2) | | 05/15/26 | | | 6.750 | | | | 3,879,966 | | |
| | | | 13,039,206 | | |
| Consumer/Commercial/Lease Financing (0.2%) | | | |
| | 6,815 | | | Cargo Aircraft Management, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 02/01/23 @ 102.38)(11) | | (BB, Ba3) | | 02/01/28 | | | 4.750 | | | | 6,414,994 | | |
| Diversified Capital Goods (0.2%) | | | |
| | 6,298 | | | Atkore, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 06/01/26 @ 102.13)(11) | | (BB-, Ba3) | | 06/01/31 | | | 4.250 | | | | 5,583,460 | | |
| Energy - Exploration & Production (0.2%) | | | |
| | 7,600 | | | W&T Offshore, Inc., Rule 144A,
Secured Notes
(Callable 05/31/22 @ 102.44)(11) | | (B, Caa2) | | 11/01/23 | | | 9.750 | | | | 7,559,302 | | |
| Gas Distribution (0.1%) | | | |
| | 3,000 | | | New Fortress Energy, Inc., Rule 144A,
Senior Secured Notes
(Callable 03/31/23 @ 103.25)(11) | | (BB-, B1) | | 09/30/26 | | | 6.500 | | | | 2,906,730 | | |
See Accompanying Notes to Financial Statements.
27
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (continued) | | | |
| Health Services (0.5%) | | | |
$ | 4,275 | | | Minerva Merger Sub, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 02/15/25 @ 103.25)(11) | | (CCC, Caa2) | | 02/15/30 | | | 6.500 | | | $ | 3,941,016 | | |
| | 10,204 | | | Owens & Minor, Inc.,
Global Senior Secured Notes
(Callable 09/15/24 @ 100.00) | | (BB-, Ba3) | | 12/15/24 | | | 4.375 | | | | 10,176,959 | | |
| | 2,040 | | | Radiology Partners, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 02/01/23 @ 104.63)(11) | | (CCC, Caa2) | | 02/01/28 | | | 9.250 | | | | 1,940,897 | | |
| | 2,000 | | | RP Escrow Issuer LLC, Rule 144A,
Senior Secured Notes
(Callable 12/15/22 @ 102.63)(11) | | (B-, B2) | | 12/15/25 | | | 5.250 | | | | 1,862,760 | | |
| | | | 17,921,632 | | |
| Insurance Brokerage (0.4%) | | | |
| | 1,801 | | | Acrisure Finance, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 05/31/22 @ 101.75)(11) | | (CCC+, Caa2) | | 11/15/25 | | | 7.000 | | | | 1,756,002 | | |
| | 3,500 | | | NFP Corp., Rule 144A,
Senior Secured Notes
(Callable 08/15/23 @ 102.44)(11) | | (B, B1) | | 08/15/28 | | | 4.875 | | | | 3,189,795 | | |
| | 9,474 | | | NFP Corp., Rule 144A,
Senior Unsecured Notes
(Callable 08/15/23 @ 103.44)(11) | | (CCC+, Caa2) | | 08/15/28 | | | 6.875 | | | | 8,372,411 | | |
| | | | 13,318,208 | | |
| Investments & Misc. Financial Services (0.3%) | | | |
| | 4,000 | | | Armor Holdco Inc., Rule 144A,
Company Guaranteed Notes
(Callable 11/15/24 @ 104.25)(11) | | (CCC+, Caa1) | | 11/15/29 | | | 8.500 | | | | 3,872,700 | | |
| | 3,000 | | | Compass Group Diversified Holdings LLC,
Rule 144A, Company Guaranteed Notes
(Callable 04/15/24 @ 102.63)(11) | | (B+, B1) | | 04/15/29 | | | 5.250 | | | | 2,696,250 | | |
| | 3,000 | | | Compass Group Diversified Holdings LLC,
Rule 144A, Senior Unsecured Notes
(Callable 01/15/27 @ 102.50)(11) | | (B+, B1) | | 01/15/32 | | | 5.000 | | | | 2,554,335 | | |
| | | | 9,123,285 | | |
| Machinery (0.2%) | | | |
| | 5,639 | | | Arcosa, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 04/15/24 @ 102.19)(11) | | (BB, Ba2) | | 04/15/29 | | | 4.375 | | | | 5,152,326 | | |
| Media Content (0.2%) | | | |
| | 4,250 | | | Diamond Sports Finance Co., Rule 144A,
Secured Notes
(Callable 08/15/22 @ 102.69)(11) | | (CCC+, Caa3) | | 08/15/26 | | | 5.375 | | | | 1,556,520 | | |
See Accompanying Notes to Financial Statements.
28
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (continued) | | | |
Media Content | | | |
$ | 4,000 | | | WMG Acquisition Corp., Rule 144A,
Senior Secured Notes
(Callable 07/15/25 @ 101.94)(11) | | (BB+, Ba3) | | 07/15/30 | | | 3.875 | | | $ | 3,585,660 | | |
| | | | 5,142,180 | | |
| Medical Products (0.3%) | | | |
| | 8,740 | | | Mozart Debt Merger Sub, Inc., Rule 144A,
Senior secured Notes
(Callable 10/01/24 @ 101.94)(11) | | (B+, B1) | | 04/01/29 | | | 3.875 | | | | 7,637,624 | | |
| | 2,000 | | | Mozart Debt Merger Sub, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 10/01/24 @ 102.63)(11),(12) | | (B-, Caa1) | | 10/01/29 | | | 5.250 | | | | 1,743,280 | | |
| | | | 9,380,904 | | |
| Metals & Mining - Excluding Steel (0.1%) | | | |
| | 4,000 | | | Taseko Mines Ltd., Rule 144A,
Senior Secured Notes
(Callable 02/15/23 @ 103.50)(11) | | (B-, B3) | | 02/15/26 | | | 7.000 | | | | 3,974,860 | | |
| Packaging (0.3%) | | | |
| | 10,850 | | | TriMas Corp., Rule 144A,
Company Guaranteed Notes
(Callable 04/15/24 @ 102.06)(11) | | (BB-, Ba3) | | 04/15/29 | | | 4.125 | | | | 9,725,180 | | |
| Personal & Household Products (0.0%) | | | |
| | 1,700 | | | MajorDrive Holdings IV LLC, Rule 144A,
Senior Unsecured Notes
(Callable 06/01/24 @ 103.19)(11) | | (CCC+, Caa2) | | 06/01/29 | | | 6.375 | | | | 1,349,460 | | |
| Pharmaceuticals (0.2%) | | | |
| | 355 | | | Bausch Health Americas, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/22 @ 104.63)(11) | | (B, B3) | | 04/01/26 | | | 9.250 | | | | 352,817 | | |
| | 2,000 | | | Bausch Health Cos., Inc., Rule 144A,
Company Guaranteed Notes
(Callable 02/15/24 @ 103.13)(11) | | (B, B3) | | 02/15/29 | | | 6.250 | | | | 1,457,760 | | |
| | 1,000 | | | Bausch Health Cos., Inc., Rule 144A,
Company Guaranteed Notes
(Callable 02/15/26 @ 102.63)(11) | | (B, B3) | | 02/15/31 | | | 5.250 | | | | 696,275 | | |
| | 5,325 | | | Jazz Securities DAC, Rule 144A,
Senior Secured Notes
(Callable 07/15/24 @ 102.19)(11) | | (BB-, Ba2) | | 01/15/29 | | | 4.375 | | | | 4,912,445 | | |
| | | | 7,419,297 | | |
| Real Estate Investment Trusts (0.4%) | | | |
| | 1,070 | | | iStar, Inc., Global Senior Unsecured Notes
(Callable 08/15/22 @ 102.75) | | (BB, Ba3) | | 02/15/26 | | | 5.500 | | | | 1,042,645 | | |
See Accompanying Notes to Financial Statements.
29
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (continued) | | | |
Real Estate Investment Trusts | | | |
$ | 12,808 | | | iStar, Inc., Senior Unsecured Notes
(Callable 05/01/25 @ 100.00) | | (BB, Ba3) | | 08/01/25 | | | 4.250 | | | $ | 12,307,848 | | |
| | 1,137 | | | Starwood Property Trust, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 01/15/26 @ 100.00)(11) | | (BB-, Ba3) | | 07/15/26 | | | 3.625 | | | | 1,038,763 | | |
| | | | 14,389,256 | | |
| Recreation & Travel (0.3%) | | | |
| | 1,296 | | | Six Flags Entertainment Corp., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/22 @ 101.22)(11) | | (B-, B3) | | 07/31/24 | | | 4.875 | | | | 1,292,514 | | |
| | 1,194 | | | Six Flags Entertainment Corp., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/22 @ 102.75)(11) | | (B-, B3) | | 04/15/27 | | | 5.500 | | | | 1,162,652 | | |
| | 2,500 | | | Six Flags Theme Parks, Inc., Rule 144A,
Senior Secured Notes
(Callable 07/01/22 @ 103.50)(11) | | (BB-, Ba2) | | 07/01/25 | | | 7.000 | | | | 2,600,162 | | |
| | 5,784 | | | Speedway Funding II, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 11/01/22 @ 102.44)(11) | | (BB-, B2) | | 11/01/27 | | | 4.875 | | | | 5,459,055 | | |
| | | | 10,514,383 | | |
| Software - Services (0.4%) | | | |
| | 4,950 | | | Elastic NV, Rule 144A,
Senior Unsecured Notes
(Callable 07/15/24 @ 102.06)(11) | | (B+, B1) | | 07/15/29 | | | 4.125 | | | | 4,437,254 | | |
| | 2,555 | | | Endurance International Group
Holdings, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 02/15/24 @ 103.00)(11) | | (CCC+, Caa2) | | 02/15/29 | | | 6.000 | | | | 2,071,262 | | |
| | 9,311 | | | Virtusa Corp., Rule 144A,
Senior Unsecured Notes
(Callable 12/15/23 @ 103.56)(11) | | (CCC+, Caa2) | | 12/15/28 | | | 7.125 | | | | 8,392,330 | | |
| | | | 14,900,846 | | |
| Specialty Retail (0.1%) | | | |
| | 3,745 | | | Ruyi U.S. Finance LLC, Rule 144A,
Senior Secured Notes
(Callable 05/30/22 @ 103.75)(11) | | (NR, Caa1) | | 05/01/25 | | | 7.500 | | | | 3,383,870 | | |
| Support - Services (1.3%) | | | |
| | 3,557 | | | Allied Universal Finance Corp., Rule 144A,
Senior Secured Notes
(Callable 06/01/24 @ 102.31)(11) | | (B, B2) | | 06/01/28 | | | 4.625 | | | | 3,125,998 | | |
| | 5,698 | | | Allied Universal Finance Corp., Rule 144A,
Senior Secured Notes
(Callable 06/01/24 @ 102.31)(11) | | (B, B2) | | 06/01/28 | | | 4.625 | | | | 5,049,340 | | |
See Accompanying Notes to Financial Statements.
30
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (continued) | | | |
Support - Services | | | |
$ | 9,455 | | | Allied Universal Finance Corp., Rule 144A,
Senior Unsecured Notes
(Callable 06/01/24 @ 103.00)(11) | | (CCC+, Caa1) | | 06/01/29 | | | 6.000 | | | $ | 7,765,061 | | |
| | 11,000 | | | CoreLogic, Inc., Rule 144A,
Senior Secured Notes
(Callable 05/01/24 @ 102.25)(11) | | (B, B1) | | 05/01/28 | | | 4.500 | | | | 9,761,730 | | |
| | 7,565 | | | GEMS Education Delaware LLC, Rule 144A,
Senior Secured Notes
(Callable 07/31/22 @ 103.56)(11) | | (B-, B3) | | 07/31/26 | | | 7.125 | | | | 7,556,338 | | |
| | 9,474 | | | GYP Holdings III Corp., Rule 144A,
Company Guaranteed Notes
(Callable 05/01/24 @ 102.31)(11) | | (B, B2) | | 05/01/29 | | | 4.625 | | | | 8,408,175 | | |
| | 3,000 | | | White Cap Buyer LLC, Rule 144A,
Senior Unsecured Notes
(Callable 10/15/23 @ 103.44)(11) | | (CCC+, Caa1) | | 10/15/28 | | | 6.875 | | | | 2,752,695 | | |
| | | | 44,419,337 | | |
| Tech Hardware & Equipment (0.4%) | | | |
| | 2,900 | | | CommScope, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/22 @ 104.13)(11) | | (CCC+, B3) | | 03/01/27 | | | 8.250 | | | | 2,497,538 | | |
| | 1,700 | | | CommScope, Inc., Rule 144A,
Senior Secured Notes
(Callable 09/01/24 @ 102.38)(11) | | (B, Ba3) | | 09/01/29 | | | 4.750 | | | | 1,424,167 | | |
| | 3,500 | | | Entegris Escrow Corp., Rule 144A,
Senior Secured Notes
(Callable 01/15/29 @ 100.00)(11) | | (BB+, Baa3) | | 04/15/29 | | | 4.750 | | | | 3,378,095 | | |
| | 7,700 | | | Imola Merger Corp., Rule 144A,
Senior Secured Notes
(Callable 05/15/24 @ 102.38)(11) | | (BB-, B1) | | 05/15/29 | | | 4.750 | | | | 7,170,817 | | |
| | | | 14,470,617 | | |
| Telecom - Wireline Integrated & Services (0.2%) | | | |
| | 3,775 | | | Altice France S.A., Rule 144A,
Senior Secured Notes
(Callable 10/15/24 @ 102.75)(11) | | (B, B2) | | 10/15/29 | | | 5.500 | | | | 3,222,472 | | |
| | 7,000 | | | GTT Communications, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/22 @ 101.97)(8),(11) | | (NR, Wr) | | 12/31/24 | | | 0.000 | | | | 612,500 | | |
| | 1,800 | | | LCPR Senior Secured Financing DAC,
Rule 144A, Senior Secured Notes
(Callable 10/15/22 @ 103.38)(11) | | (B+, B1) | | 10/15/27 | | | 6.750 | | | | 1,792,062 | | |
| | 3,000 | | | LCPR Senior Secured Financing DAC,
Rule 144A, Senior Secured Notes
(Callable 07/15/24 @ 102.56)(11) | | (B+, B1) | | 07/15/29 | | | 5.125 | | | | 2,736,000 | | |
| | | | 8,363,034 | | |
See Accompanying Notes to Financial Statements.
31
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (continued) | | | |
| Theaters & Entertainment (0.3%) | | | |
$ | 3,000 | | | Technicolor S.A., Rule 144A(2),(5),(11),(13) | | (NR, NR) | | 05/31/29 | | | 4.500 | | | $ | 3,085,729 | | |
| | 2,081 | | | Technicolor S.A., Tranche 1 Notes(5) | | (NR, NR) | | 06/30/24 | | | 6.000 | | | | 2,317,734 | | |
| | 4,834 | | | Technicolor S.A., Tranche 2 Notes(5) | | (NR, NR) | | 06/30/24 | | | 6.000 | | | | 5,384,448 | | |
| | | | 10,787,911 | | |
| TOTAL CORPORATE BONDS (Cost $291,289,715) | | | 259,760,679 | | |
| ASSET BACKED SECURITIES (2.7%) | | | |
| Collateralized Debt Obligations (2.7%) | | | |
| | 6,000 | | | ALM Ltd., 2020-1A, Rule 144A,
LIBOR 3M + 6.000%(1),(11) | | (BB-, NR) | | 10/15/29 | | | 7.044 | | | | 5,875,818 | | |
| | 3,500 | | | Anchorage Capital CLO 16 Ltd., 2020-16A,
Rule 144A, LIBOR 3M + 3.720%(1),(11) | | (NR, NR) | | 01/19/35 | | | 0.000 | | | | 3,459,029 | | |
| | 2,500 | | | Battalion CLO XXI Ltd., 2021-21A,
Rule 144A, LIBOR 3M + 3.300%(1),(11) | | (NR, Baa3) | | 07/15/34 | | | 4.344 | | | | 2,459,340 | | |
| | 1,750 | | | Benefit Street Partners CLO X Ltd.,
2016-10A, Rule 144A,
LIBOR 3M + 6.750%(1),(11) | | (BB-, NR) | | 04/20/34 | | | 7.813 | | | | 1,691,421 | | |
| | 2,100 | | | BlueMountain CLO Ltd., 2015-3A,
Rule 144A, LIBOR 3M + 5.400%(1),(11) | | (B, NR) | | 04/20/31 | | | 6.463 | | | | 1,924,448 | | |
| | 5,500 | | | BlueMountain CLO Ltd., 2016-2A,
Rule 144A, LIBOR 3M + 4.300%(1),(11) | | (BBB-, NR) | | 08/20/32 | | | 4.780 | | | | 5,365,492 | | |
| | 2,479 | | | Capital Automotive LLC, 2017-1A,
Rule 144A(11) | | (A+, NR) | | 04/15/47 | | | 4.180 | | | | 2,453,615 | | |
| | 750 | | | Carlyle Global Market Strategies CLO Ltd.,
2014-3RA, Rule 144A,
LIBOR 3M + 5.400%(1),(11) | | (B+, NR) | | 07/27/31 | | | 6.625 | | | | 686,850 | | |
| | 2,000 | | | Carlyle Global Market Strategies CLO Ltd.,
2014-5A, Rule 144A,
LIBOR 3M + 3.150%(1),(11) | | (BBB-, NR) | | 07/15/31 | | | 4.194 | | | | 1,918,088 | | |
| | 2,625 | | | CIFC Funding Ltd., 2014-1A, Rule 144A,
LIBOR 3M + 5.850%(1),(11) | | (B+, NR) | | 01/18/31 | | | 6.894 | | | | 2,469,117 | | |
| | 4,000 | | | Crown Point CLO IV Ltd., 2018-4A,
Rule 144A, LIBOR 3M + 2.750%(1),(11) | | (NR, Baa3) | | 04/20/31 | | | 3.813 | | | | 3,787,560 | | |
| | 1,750 | | | Dryden 86 CLO Ltd., 2020-86A,
Rule 144A, LIBOR 3M + 3.200%(1),(11) | | (BBB-, NR) | | 07/17/34 | | | 4.244 | | | | 1,708,866 | | |
| | 3,500 | | | Elevation CLO Ltd., 2014-2A, Rule 144A,
LIBOR 3M + 3.200%(1),(11) | | (NR, Baa3) | | 10/15/29 | | | 4.244 | | | | 3,349,584 | | |
| | 5,000 | | | Galaxy XVIII CLO Ltd., 2018-28A,
Rule 144A, LIBOR 3M + 3.000%(1),(11) | | (BBB-, NR) | | 07/15/31 | | | 4.044 | | | | 4,847,825 | | |
| | 3,500 | | | Greywolf CLO II Ltd., 2013-1A,
Rule 144A, LIBOR 3M + 4.200%(1),(11) | | (BBB-, NR) | | 04/15/34 | | | 5.244 | | | | 3,440,899 | | |
| | 2,000 | | | Greywolf CLO III Ltd., 2020-3RA,
Rule 144A, LIBOR 3M + 6.920%(1),(11) | | (BB-, NR) | | 04/15/33 | | | 8.056 | | | | 1,986,332 | | |
| | 2,000 | | | Greywolf CLO IV Ltd., 2019-1A,
Rule 144A, LIBOR 3M + 3.650%(1),(11) | | (BBB-, NR) | | 04/17/34 | | | 4.694 | | | | 1,988,646 | | |
See Accompanying Notes to Financial Statements.
32
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| ASSET BACKED SECURITIES (continued) | | | |
Collateralized Debt Obligations | | | |
$ | 3,950 | | | Greywolf CLO V Ltd., 2015-1A,
Rule 144A, LIBOR 3M + 3.000%(1),(11) | | (BBB-, NR) | | 01/27/31 | | | 4.184 | | | $ | 3,812,785 | | |
| | 2,500 | | | KKR CLO Ltd., 14, Rule 144A,
LIBOR 3M + 6.150%(1),(11) | | (NR, B1) | | 07/15/31 | | | 7.194 | | | | 2,394,733 | | |
| | 3,250 | | | KKR Financial CLO Ltd., 2013-1A,
Rule 144A, LIBOR 3M + 6.080%(1),(11) | | (NR, Ba3) | | 04/15/29 | | | 7.124 | | | | 3,099,635 | | |
| | 1,900 | | | Marble Point CLO XVII Ltd., 2020-1A,
Rule 144A, LIBOR 3M + 6.820%(1),(11) | | (NR, Ba3) | | 04/20/33 | | | 7.883 | | | | 1,815,534 | | |
| | 3,450 | | | Marble Point CLO XVIII Ltd., 2020-2A,
Rule 144A, LIBOR 3M + 7.700%(1),(11) | | (NR, Ba3) | | 10/15/34 | | | 8.744 | | | | 3,375,511 | | |
| | 1,750 | | | Marble Point CLO XXI Ltd., 2021-3A,
Rule 144A, LIBOR 3M + 2.300%(1),(11) | | (NR, A2) | | 10/17/34 | | | 3.344 | | | | 1,695,531 | | |
| | 5,275 | | | Marble Point CLO XXIII Ltd., 2021-4A,
Rule 144A, LIBOR 3M + 5.750%(1),(11) | | (NR, Ba1) | | 01/22/35 | | | 6.886 | | | | 5,017,443 | | |
| | 1,500 | | | Neuberger Berman Loan Advisers
CLO 43 Ltd., 2021-43A, Rule 144A,
LIBOR 3M + 3.100%(1),(11) | | (BBB-, NR) | | 07/17/35 | | | 4.144 | | | | 1,473,518 | | |
| | 2,250 | | | Octagon Investment Partners 26 Ltd.,
2016-1A, Rule 144A,
LIBOR 3M + 2.850%(1),(11) | | (BBB-, NR) | | 07/15/30 | | | 3.894 | | | | 2,182,592 | | |
| | 3,580 | | | Signal Peak CLO 5 Ltd., 2018-5A,
Rule 144A, LIBOR 3M + 2.650%(1),(11) | | (BBB-, NR) | | 04/25/31 | | | 3.834 | | | | 3,486,884 | | |
| | 3,000 | | | Venture 35 CLO Ltd., 2018-35A,
Rule 144A, LIBOR 3M + 3.500%(1),(11) | | (NR, Baa3) | | 10/22/31 | | | 4.636 | | | | 2,760,657 | | |
| | 3,000 | | | Venture XIII CLO Ltd., 2013-13A,
Rule 144A, LIBOR 3M + 3.300%(1),(11) | | (NR, A3) | | 09/10/29 | | | 4.003 | | | | 2,955,417 | | |
| | 3,278 | | | Venture XXIII CLO Ltd., 2016-23A,
Rule 144A, LIBOR 3M + 5.070%(1),(11) | | (NR, Ba1) | | 07/19/34 | | | 6.114 | | | | 3,084,585 | | |
| | 1,750 | | | Vibrant ClO 1X Ltd., 2018-9A,
Rule 144A, LIBOR 3M + 3.200%(1),(11) | | (NR, Baa3) | | 07/20/31 | | | 4.263 | | | | 1,601,938 | | |
| | 1,500 | | | Vibrant CLO VI Ltd., 2017-6A,
Rule 144A, LIBOR 3M + 5.750%(1),(11) | | (NR, Ba3) | | 06/20/29 | | | 6.678 | | | | 1,397,526 | | |
| | 3,000 | | | Voya CLO Ltd., 2014-4A, Rule 144A,
LIBOR 3M + 3.350%(1),(11) | | (BBB-, NR) | | 07/14/31 | | | 4.388 | | | | 2,876,079 | | |
| TOTAL ASSET BACKED SECURITIES (Cost $95,226,198) | | | 92,443,298 | | |
Number of
Shares | |
| |
| |
| |
| |
| |
| COMMON STOCKS (0.7%) | | | |
| Auto Parts & Equipment (0.0%) | | | |
| | 151,253 | | | Jason Group, Inc.(9) | | | | | | | | | | | | | | | 1,588,157 | | |
See Accompanying Notes to Financial Statements.
33
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Number of
Shares | |
| |
| |
| |
| |
Value | |
| COMMON STOCKS (continued) | | | |
| Chemicals (0.4%) | | | |
| | 31,756 | | | Project Investor Holdings LLC(2),(4),(9),(13) | | | | | | | | | | | | | | $ | 317 | | |
| | 529,264 | | | Proppants Holdings LLC(2),(4),(9),(13) | | | | | | | | | | | | | | | 5,293 | | |
| | 191,054 | | | UTEX Industries, Inc.(2),(9) | | | | | | | | | | | | | | | 12,800,618 | | |
| | | | 12,806,228 | | |
| Energy - Exploration & Production (0.0%) | | | |
| | 872,375 | | | PES Energy, Inc.(2),(4),(9),(13) | | | | | | | | | | | | | | | 8,724 | | |
| Machinery (0.0%) | | | |
| | 6,675,439 | | | Doncasters U.S. Finance LLC(2),(9),(10),(13) | | | | | | | | | | | | | | | — | | |
| Pharmaceuticals (0.0%) | | | |
| | 156,133 | | | Akorn Holding Company LLC(9) | | | | | | | | | | | | | | | 1,210,031 | | |
| Private Placement (0.3%) | | | |
| | 2,723,899 | | | Technicolor S.A. EUR 27.0(9),(14) | | | | | | | | | | | | | | | 9,169,585 | | |
| Software - Services (0.0%) | | | |
| | 78,712 | | | Skillsoft Corp.(9) | | | | | | | | | | | | | | | 421,109 | | |
| Support - Services (0.0%) | | | |
| | 779 | | | Sprint Industrial Holdings LLC, Class G(2),(4),(9),(13) | | | | | | | | | | | | | | | — | | |
| | 71 | | | Sprint Industrial Holdings LLC, Class H(2),(4),(9),(13) | | | | | | | | | | | | | | | — | | |
| | 172 | | | Sprint Industrial Holdings LLC, Class I(2),(4),(9),(13) | | | | | | | | | | | | | | | 900 | | |
| | | | 900 | | |
| TOTAL COMMON STOCKS (Cost $26,338,461) | | | 25,204,734 | | |
| WARRANTS (0.0%) | | | |
| Chemicals (0.0%) | | | |
| | 132,316 | | | Project Investor Holdings LLC, expires 02/20/2022(2),(4),(9),(13) | | | | | | | | | | | | | | | — | | |
| Recreation & Travel (0.0%) | | | |
| | 526,589 | | | Cineworld Group, expires 12/21/2025(9) | | | | | | | | | | | | | | | 57,925 | | |
| TOTAL WARRANTS (Cost $68,804) | | | 57,925 | | |
| SHORT-TERM INVESTMENTS (9.0%) | | | |
| | 300,755,288 | | | State Street Institutional U.S. Government
Money Market Fund — Premier Class, 0.29% | | | | | | | | | | | | | | | 300,755,288 | | |
| | 4,097,013 | | | State Street Navigator Securities Lending
Government Money Market Portfolio, 0.31%(15) | | | | | | | | | | | | | | | 4,097,013 | | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $304,852,301) | | | 304,852,301 | | |
| TOTAL INVESTMENTS AT VALUE (105.9%) (Cost $3,691,390,690) | | | 3,585,708,871 | | |
| LIABILITIES IN EXCESS OF OTHER ASSETS (-5.9%) | | | (200,771,542 | ) | |
| NET ASSETS (100.0%) | | $ | 3,384,937,329 | | |
See Accompanying Notes to Financial Statements.
34
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
† Credit ratings given by the S&P Global Ratings Division of S&P Global Inc. ("S&P") and Moody's Investors Service, Inc. ("Moody's") are unaudited.
(1) Variable rate obligation — The interest rate shown is the rate in effect as of April 30, 2022. The rate may be subject to a cap and floor.
(2) Security is valued using significant unobservable inputs.
(3) PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal.
(4) Illiquid security.
(5) This security is denominated in Euro.
(6) All or a portion is an unfunded loan commitment (See note 2-I).
(7) The rates on certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The interest rate shown is the rate in effect as of April 30, 2022.
(8) Bond is currently in default.
(9) Non-income producing security.
(10) This security is denominated in British Pound.
(11) 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 April 30, 2022, these securities amounted to a value of $320,974,343 or 9.5% of net assets.
(12) Security or portion thereof is out on loan (See note 2-J).
(13) 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.
(14) Security is held through holdings of 100 shares of the CIG Special Purpose SPC — Credit Suisse Floating Rate High Income Fund Segregated Portfolio, an affiliated entity.
(15) Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at April 30, 2022.
INVESTMENT ABBREVIATIONS
1M = 1 Month
1W = 1 Week
2M = 2 Month
3M = 3 Month
6M = 6 Month
12M = 12 Month
EURIBOR = Euro Interbank Offered Rate
LIBOR = London Interbank Offered Rate
NR = Not Rated
Sarl - société à responsabilité limitée
SOFR = Secured Overnight Financing Rate
SONIA = Sterling Overnight Interbank Average Rate
See Accompanying Notes to Financial Statements.
35
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Forward Foreign Currency Contracts
Forward
Currency to be
Purchased
(Local) | | Forward
Currency to be
Sold
(Local) | | Expiration
Date | | Counterparty | | Value on
Settlement
Date | | Current
Value/
Notional | | Net
Unrealized
Appreciation | |
USD | 14,331,185 | | | EUR | 12,767,935 | | | 10/12/22 | | Deutsche Bank AG | | $ | (14,331,185 | ) | | $ | (13,600,991 | ) | | $ | 730,194 | | |
USD | 109,124,717 | | | EUR | 93,522,619 | | | 10/12/22 | | Morgan Stanley | | | (109,124,717 | ) | | | (99,624,585 | ) | | | 9,500,132 | | |
USD | 18,249,462 | | | GBP | 13,425,539 | | | 10/12/22 | | Deutsche Bank AG | | | (18,249,462 | ) | | | (16,878,599 | ) | | | 1,370,863 | | |
| | | $ | 11,601,189 | | |
Forward Foreign Currency Contracts
Forward
Currency to be
Purchased
(Local) | | Forward
Currency to be
Sold
(Local) | | Expiration
Date | | Counterparty | | Value on
Settlement
Date | | Current
Value/
Notional | | Net
Unrealized
Depreciation | |
EUR | 4,100,000 | | | USD | 4,567,311 | | | 10/12/22 | | Barclays Bank PLC | | $ | 4,567,311 | | | $ | 4,367,508 | | | $ | (199,803 | ) | |
EUR | 890,000 | | | USD | 1,024,257 | | | 10/12/22 | | Deutsche Bank AG | | | 1,024,257 | | | | 948,069 | | | | (76,188 | ) | |
EUR | 5,000,000 | | | USD | 5,692,110 | | | 10/12/22 | | Morgan Stanley | | | 5,692,110 | | | | 5,326,230 | | | | (365,880 | ) | |
GBP | 626,407 | | | USD | 821,941 | | | 10/12/22 | | Deutsche Bank AG | | | 821,941 | | | | 787,520 | | | | (34,421 | ) | |
| | | $ | (676,292 | ) | |
| | | $ | 10,924,897 | | |
Currency Abbreviations:
EUR = Euro
GBP = British Pound
USD = United States Dollar
See Accompanying Notes to Financial Statements.
36
Credit Suisse Floating Rate High Income Fund
Statement of Assets and Liabilities
April 30, 2022 (unaudited)
Assets | |
Investments at value, including collateral for securities on loan of $4,097,013
(Cost $3,691,390,690) (Note 2) | | $ | 3,585,708,8711 | | |
Foreign currency at value (Cost $6,004,968) | | | 5,775,542 | | |
Receivable for investments sold | | | 56,445,651 | | |
Interest receivable | | | 15,557,026 | | |
Unrealized appreciation on forward foreign currency contracts (Note 2) | | | 11,601,189 | | |
Receivable for Fund shares sold | | | 8,762,157 | | |
Prepaid expenses and other assets | | | 213,392 | | |
Total assets | | | 3,684,063,828 | | |
Liabilities | |
Investment advisory fee payable (Note 3) | | | 1,435,073 | | |
Administrative services fee payable (Note 3) | | | 205,096 | | |
Shareholder servicing/Distribution fee payable (Note 3) | | | 78,199 | | |
Cash received from brokers for forward contracts | | | 1,050,000 | | |
Payable for investments purchased | | | 271,611,532 | | |
Payable for Fund shares redeemed | | | 9,803,220 | | |
Unfunded loan commitments (Note 2) | | | 7,145,523 | | |
Payable upon return of securities loaned (Note 2) | | | 4,097,013 | | |
Dividend payable | | | 1,962,170 | | |
Unrealized depreciation on forward foreign currency contracts (Note 2) | | | 676,292 | | |
Due to custodian | | | 143,156 | | |
Trustees' fee payable | | | 12,688 | | |
Accrued expenses | | | 906,537 | | |
Total liabilities | | | 299,126,499 | | |
Net Assets | |
Capital stock, $.001 par value (Note 6) | | | 519,025 | | |
Paid-in capital (Note 6) | | | 3,600,238,479 | | |
Total distributable earnings (loss) | | | (215,820,175 | ) | |
Net assets | | $ | 3,384,937,329 | | |
I Shares | |
Net assets | | $ | 3,189,041,086 | | |
Shares outstanding | | | 489,160,654 | | |
Net asset value, offering price and redemption price per share | | $ | 6.52 | | |
A Shares | |
Net assets | | $ | 134,517,520 | | |
Shares outstanding | | | 20,526,825 | | |
Net asset value and redemption price per share | | $ | 6.55 | | |
Maximum offering price per share (net asset value/(1-4.75%)) | | $ | 6.88 | | |
C Shares | |
Net assets | | $ | 61,378,723 | | |
Shares outstanding | | | 9,337,257 | | |
Net asset value and offering price per share | | $ | 6.57 | | |
1 Includes $3,992,128 of securities on loan.
See Accompanying Notes to Financial Statements.
37
Credit Suisse Floating Rate High Income Fund
Statement of Operations
For the Six Months Ended April 30, 2022 (unaudited)
Investment Income | |
Interest | | $ | 69,749,737 | | |
Dividends | | | 3,881 | | |
Securities lending (net of rebates) | | | 3,755 | | |
Total investment income | | | 69,757,373 | | |
Expenses | |
Investment advisory fees (Note 3) | | | 9,640,440 | | |
Administrative services fees (Note 3) | | | 244,756 | | |
Shareholder servicing/Distribution fees (Note 3) | |
Class A | | | 176,661 | | |
Class C | | | 301,931 | | |
Transfer agent fees | | | 1,233,826 | | |
Commitment fees (Note 4) | | | 327,102 | | |
Custodian fees | | | 265,410 | | |
Registration fees | | | 77,680 | | |
Insurance expense | | | 71,378 | | |
Printing fees | | | 46,904 | | |
Legal fees | | | 37,061 | | |
Trustees' fees | | | 33,792 | | |
Audit and tax fees | | | 25,150 | | |
Miscellaneous expense | | | 25,198 | | |
Total expenses | | | 12,507,289 | | |
Less: fees waived and expenses reimbursed (Note 3) | | | (708,556 | ) | |
Net expenses | | | 11,798,733 | | |
Net investment income | | | 57,958,640 | | |
Net Realized and Unrealized Gain (Loss) from Investments,
Foreign Currency and Forward Foreign Currency Contracts | |
Net realized loss from investments | | | (5,020,708 | ) | |
Net realized loss from foreign currency transactions | | | (59,709 | ) | |
Net change in unrealized appreciation (depreciation) from investments | | | (61,043,182 | ) | |
Net change in unrealized appreciation (depreciation) from foreign currency translations | | | (48,057 | ) | |
Net change in unrealized appreciation (depreciation) from forward foreign currency
contracts | | | 11,035,669 | | |
Net realized and unrealized loss from investments, foreign currency and forward
foreign currency contracts | | | (55,135,987 | ) | |
Net increase in net assets resulting from operations | | $ | 2,822,653 | | |
See Accompanying Notes to Financial Statements.
38
Credit Suisse Floating Rate High Income Fund
Statements of Changes in Net Assets
| | | For the Six Months
Ended
April 30, 2022
(unaudited) | | For the Year
Ended
October 31, 2021 | |
From Operations | |
Net investment income | | $ | 57,958,640 | | | $ | 86,972,815 | | |
Net realized loss from investments, foreign
currency transactions and forward foreign currency contracts | | | (5,080,417 | ) | | | (22,628,025 | ) | |
Net change in unrealized appreciation (depreciation)
from investments, foreign currency translations and
forward foreign currency contracts | | | (50,055,570 | ) | | | 120,755,929 | | |
Net increase in net assets resulting from operations | | | 2,822,653 | | | | 185,100,719 | | |
From Distributions | |
From distributable earnings | |
Class I | | | (54,048,299 | ) | | | (81,531,192 | ) | |
Class A | | | (2,332,721 | ) | | | (4,978,097 | ) | |
Class C | | | (774,711 | ) | | | (1,626,826 | ) | |
Net decrease in net assets resulting from distributions | | | (57,155,731 | ) | | | (88,136,115 | ) | |
| From Capital Share Transactions (Note 6) | |
Proceeds from sale of shares | | | 1,192,723,974 | | | | 1,590,427,767 | | |
Reinvestment of distributions | | | 46,977,759 | | | | 71,710,776 | | |
Net asset value of shares redeemed | | | (775,493,239 | ) | | | (689,176,103 | ) | |
Net increase in net assets from capital share transactions | | | 464,208,494 | | | | 972,962,440 | | |
Net increase in net assets | | | 409,875,416 | | | | 1,069,927,044 | | |
Net Assets | |
Beginning of period | | | 2,975,061,913 | | | | 1,905,134,869 | | |
End of period | | $ | 3,384,937,329 | | | $ | 2,975,061,913 | | |
See Accompanying Notes to Financial Statements.
39
Credit Suisse Floating Rate High Income Fund
Financial Highlights
(For a Class I Share of the Fund Outstanding Throughout Each Period)
| | | For the Six
Months Ended
April 30, 2022 | | For the Year Ended October 31, | |
| | | (unaudited) | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 | |
Per share data | |
Net asset value, beginning of period | | $ | 6.62 | | | $ | 6.31 | | | $ | 6.56 | | | $ | 6.811 | | | $ | 6.87 | | | $ | 6.77 | | |
INVESTMENT OPERATIONS | |
Net investment income2 | | | 0.12 | | | | 0.24 | | | | 0.30 | | | | 0.35 | | | | 0.29 | | | | 0.28 | | |
Net gain (loss) from investments,
foreign currency transactions and
forward foreign currency contracts
(both realized and unrealized) | | | (0.10 | ) | | | 0.31 | | | | (0.25 | ) | | | (0.25 | ) | | | (0.06 | ) | | | 0.10 | | |
Total from investment operations | | | 0.02 | | | | 0.55 | | | | 0.05 | | | | 0.10 | | | | 0.23 | | | | 0.38 | | |
LESS DIVIDENDS AND DISTRIBUTIONS | |
Dividends from net investment income | | | (0.12 | ) | | | (0.24 | ) | | | (0.30 | ) | | | (0.35 | ) | | | (0.29 | ) | | | (0.27 | ) | |
Return of capital | | | — | | | | — | | | | — | | | | — | | | | — | | | | (0.01 | ) | |
Total dividends and distributions | | | (0.12 | ) | | | (0.24 | ) | | | (0.30 | ) | | | (0.35 | ) | | | (0.29 | ) | | | (0.28 | ) | |
Net asset value, end of period | | $ | 6.52 | | | $ | 6.62 | | | $ | 6.31 | | | $ | 6.56 | | | $ | 6.811 | | | $ | 6.87 | | |
Total return3 | | | 0.25 | % | | | 8.86 | % | | | 0.92 | % | | | 1.47 | % | | | 3.45 | % | | | 5.75 | % | |
RATIOS AND SUPPLEMENTAL DATA | |
Net assets, end of period (000s omitted) | | $ | 3,189,041 | | | $ | 2,770,167 | | | $ | 1,699,373 | | | $ | 2,199,606 | | | $ | 3,704,519 | | | $ | 3,236,360 | | |
Ratio of net expenses to average
net assets | | | 0.70 | %4 | | | 0.70 | % | | | 0.70 | % | | | 0.70 | % | | | 0.70 | % | | | 0.70 | % | |
Ratio of net investment income to
average net assets | | | 3.61 | %4 | | | 3.62 | % | | | 4.80 | % | | | 5.18 | % | | | 4.29 | % | | | 4.12 | % | |
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements | | | 0.04 | %4 | | | 0.07 | % | | | 0.09 | % | | | 0.08 | % | | | 0.06 | % | | | 0.07 | % | |
Portfolio turnover rate5 | | | 21 | % | | | 54 | % | | | 30 | % | | | 23 | % | | | 45 | % | | | 64 | % | |
1 Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon net asset values may differ from the net asset values and returns for shareholder transactions.
2 Per share information is calculated using the average shares outstanding method.
3 Total returns are historical and include change in share price, reinvestment of all dividends and distributions and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.
4 Annualized.
5 Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
See Accompanying Notes to Financial Statements.
40
Credit Suisse Floating Rate High Income Fund
Financial Highlights
(For a Class A Share of the Fund Outstanding Throughout Each Period)
| | | For the Six
Months Ended
April 30, 2022 | | For the Year Ended October 31, | |
| | | (unaudited) | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 | |
Per share data | |
Net asset value, beginning of period | | $ | 6.65 | | | $ | 6.34 | | | $ | 6.59 | | | $ | 6.841 | | | $ | 6.90 | | | $ | 6.80 | | |
INVESTMENT OPERATIONS | |
Net investment income2 | | | 0.11 | | | | 0.23 | | | | 0.29 | | | | 0.33 | | | | 0.28 | | | | 0.27 | | |
Net gain (loss) from investments,
foreign currency transactions and
forward foreign currency contracts
(both realized and unrealized) | | | (0.10 | ) | | | 0.31 | | | | (0.25 | ) | | | (0.25 | ) | | | (0.06 | ) | | | 0.10 | | |
Total from investment operations | | | 0.01 | | | | 0.54 | | | | 0.04 | | | | 0.08 | | | | 0.22 | | | | 0.37 | | |
LESS DIVIDENDS AND DISTRIBUTIONS | |
Dividends from net investment income | | | (0.11 | ) | | | (0.23 | ) | | | (0.29 | ) | | | (0.33 | ) | | | (0.28 | ) | | | (0.26 | ) | |
Return of capital | | | — | | | | — | | | | — | | | | — | | | | — | | | | (0.01 | ) | |
Total dividends and distributions | | | (0.11 | ) | | | (0.23 | ) | | | (0.29 | ) | | | (0.33 | ) | | | (0.28 | ) | | | (0.27 | ) | |
Net asset value, end of period | | $ | 6.55 | | | $ | 6.65 | | | $ | 6.34 | | | $ | 6.59 | | | $ | 6.841 | | | $ | 6.90 | | |
Total return3 | | | 0.13 | % | | | 8.57 | % | | | 0.70 | % | | | 1.23 | % | | | 3.20 | % | | | 5.48 | % | |
RATIOS AND SUPPLEMENTAL DATA | |
Net assets, end of period (000s omitted) | | $ | 134,518 | | | $ | 144,713 | | | $ | 146,803 | | | $ | 199,328 | | | $ | 289,959 | | | $ | 284,456 | | |
Ratio of net expenses to average
net assets | | | 0.95 | %4 | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % | |
Ratio of net investment income to
average net assets | | | 3.35 | %4 | | | 3.41 | % | | | 4.54 | % | | | 4.93 | % | | | 4.03 | % | | | 3.87 | % | |
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements | | | 0.04 | %4 | | | 0.07 | % | | | 0.09 | % | | | 0.08 | % | | | 0.06 | % | | | 0.07 | % | |
Portfolio turnover rate5 | | | 21 | % | | | 54 | % | | | 30 | % | | | 23 | % | | | 45 | % | | | 64 | % | |
1 Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon net asset values may differ from the net asset values and returns for shareholder transactions.
2 Per share information is calculated using the average shares outstanding method.
3 Total returns are historical and include change in share price, reinvestment of all dividends and distributions and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.
4 Annualized.
5 Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
See Accompanying Notes to Financial Statements.
41
Credit Suisse Floating Rate High Income Fund
Financial Highlights
(For a Class C Share of the Fund Outstanding Throughout Each Period)
| | | For the Six
Months Ended
April 30, 2022 | | For the Year Ended October 31, | |
| | | (unaudited) | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 | |
Per share data | |
Net asset value, beginning of period | | $ | 6.68 | | | $ | 6.36 | | | $ | 6.61 | | | $ | 6.871 | | | $ | 6.92 | | | $ | 6.82 | | |
INVESTMENT OPERATIONS | |
Net investment income2 | | | 0.09 | | | | 0.18 | | | | 0.24 | | | | 0.28 | | | | 0.23 | | | | 0.22 | | |
Net gain (loss) from investments,
foreign currency transactions and
forward foreign currency contracts
(both realized and unrealized) | | | (0.12 | ) | | | 0.32 | | | | (0.25 | ) | | | (0.26 | ) | | | (0.05 | ) | | | 0.10 | | |
Total from investment operations | | | (0.03 | ) | | | 0.50 | | | | (0.01 | ) | | | 0.02 | | | | 0.18 | | | | 0.32 | | |
LESS DIVIDENDS AND DISTRIBUTIONS | |
Dividends from net investment income | | | (0.08 | ) | | | (0.18 | ) | | | (0.24 | ) | | | (0.28 | ) | | | (0.23 | ) | | | (0.21 | ) | |
Return of capital | | | — | | | | — | | | | — | | | | — | | | | — | | | | (0.01 | ) | |
Total dividends and distributions | | | (0.08 | ) | | | (0.18 | ) | | | (0.24 | ) | | | (0.28 | ) | | | (0.23 | ) | | | (0.22 | ) | |
Net asset value, end of period | | $ | 6.57 | | | $ | 6.68 | | | $ | 6.36 | | | $ | 6.61 | | | $ | 6.871 | | | $ | 6.92 | | |
Total return3 | | | (0.38 | )% | | | 7.90 | % | | | (0.05 | )% | | | 0.34 | % | | | 2.58 | % | | | 4.69 | % | |
RATIOS AND SUPPLEMENTAL DATA | |
Net assets, end of period (000s omitted) | | $ | 61,379 | | | $ | 60,182 | | | $ | 58,959 | | | $ | 87,380 | | | $ | 116,877 | | | $ | 118,654 | | |
Ratio of net expenses to average
net assets | | | 1.70 | %4 | | | 1.70 | % | | | 1.70 | % | | | 1.70 | % | | | 1.70 | % | | | 1.70 | % | |
Ratio of net investment income to
average net assets | | | 2.62 | %4 | | | 2.66 | % | | | 3.83 | % | | | 4.19 | % | | | 3.28 | % | | | 3.13 | % | |
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements | | | 0.04 | %4 | | | 0.07 | % | | | 0.09 | % | | | 0.08 | % | | | 0.06 | % | | | 0.07 | % | |
Portfolio turnover rate5 | | | 21 | % | | | 54 | % | | | 30 | % | | | 23 | % | | | 45 | % | | | 64 | % | |
1 Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon net asset values may differ from the net asset values and returns for shareholder transactions.
2 Per share information is calculated using the average shares outstanding method.
3 Total returns are historical and include change in share price, reinvestment of all dividends and distributions and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.
4 Annualized.
5 Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
See Accompanying Notes to Financial Statements.
42
Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements
April 30, 2022 (unaudited)
Credit Suisse Floating Rate High Income Fund (the "Fund"), a series of Credit Suisse Opportunity Funds (the "Trust"), a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a diversified open-end management investment company that seeks to provide a high level of current income and, secondarily, capital appreciation. The Trust was organized under the laws of the State of Delaware as a business trust on May 31, 1995.
The Fund offers three classes of shares: Class I shares, Class A shares and Class C shares. Each class of shares represents an equal pro rata interest in the Fund, except the share classes bear different expenses. Class A shares are sold subject to a front-end sales charge of up to 4.75%. Class C shares are sold subject to a CDSC of 1.00% if the shares are redeemed within the first year of purchase. Class I shares are sold without a sales charge. Effective June 30, 2021, Class C shares, upon the eight year anniversary of purchase, will convert to Class A shares.
Note 2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies are in accordance with generally accepted accounting principles in the United States of America ("GAAP"). The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is considered an investment company for financial reporting purposes under GAAP and follows the accounting and reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standard Codification ("ASC") Topic 946 — Financial Services — Investment Companies.
A) SECURITY VALUATION — The Board of Trustees (the "Board") is responsible for the Fund's valuation process. The Board has delegated the supervision of the daily valuation process to Credit Suisse Asset Management, LLC, the Fund's investment adviser ("Credit Suisse" or the "Adviser"), who has established a Pricing Committee which, pursuant to the policies adopted by the Board, is responsible for making fair valuation determinations and overseeing the Fund's pricing policies. The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the "Exchange") on each day the Exchange is open for business. The valuations for fixed income securities (which may include, but are not
43
Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional "round lot" size, but some trades occur in smaller "odd lot" sizes which may be effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more brokers/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, these securities will be fair valued in good faith by the Pricing Committee, in accordance with procedures adopted by the Board.
44
Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at each measurement date. These inputs are summarized in the three broad levels listed below:
• Level 1 – quoted prices in active markets for identical investments
• Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
• Level 3 – significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of April 30, 2022 in valuing the Fund's assets and liabilities carried at fair value:
Assets | | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities | |
Bank Loans | | $ | — | | | $ | 2,626,166,792 | | | $ | 277,223,142 | | | $ | 2,903,389,934 | | |
Corporate Bonds | | | — | | | | 256,674,950 | | | | 3,085,729 | | | | 259,760,679 | | |
Asset Backed Securities | | | — | | | | 92,443,298 | | | | — | | | | 92,443,298 | | |
Common Stocks | | | 421,109 | | | | 11,967,773 | | | | 12,815,852 | | | | 25,204,734 | | |
Warrants | | | — | | | | 57,925 | | | | 0 | (1) | | | 57,925 | | |
Short-term Investments | | | 300,755,288 | | | | 4,097,013 | | | | — | | | | 304,852,301 | | |
| | | $ | 301,176,397 | | | $ | 2,991,407,751 | | | $ | 293,124,723 | | | $ | 3,585,708,871 | | |
Other Financial Instruments* | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 11,601,189 | | | $ | — | | | $ | 11,601,189 | | |
Liabilities | | Level 1 | | Level 2 | | Level 3 | | Total | |
Other Financial Instruments* | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 676,292 | | | $ | — | | | $ | 676,292 | | |
* Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts.
(1) Includes zero valued securities.
45
Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
The following is a reconciliation of investments as of April 30, 2022 for which significant unobservable inputs were used in determining fair value.
| | | Bank
Loans | | Corporate
Bonds | | Common
Stocks | | Warrants | | Total | |
Balance as of October 31, 2021 | | $ | 161,045,739 | | | $ | — | | | $ | 15,234 | | | $ | 0 | (1) | | $ | 161,060,973 | | |
Accrued discounts (premiums) | | | 562,805 | | | | 792 | | | | — | | | | — | | | | 563,597 | | |
Purchases | | | 143,445,106 | | | | 3,250,845 | | | | — | | | | — | | | | 146,695,951 | | |
Sales | | | (28,001,294 | ) | | | — | | | | — | | | | — | | | | (28,001,294 | ) | |
Realized gain (loss) | | | (288,365 | ) | | | — | | | | (59,979 | ) | | | — | | | | (348,344 | ) | |
Change in unrealized appreciation
(depreciation) | | | (818,742 | ) | | | (165,908 | ) | | | 59,979 | | | | — | | | | (924,671 | ) | |
Transfers into Level 3 | | | 79,371,429 | | | | — | | | | 12,800,618 | | | | — | | | | 92,172,047 | | |
Transfers out of Level 3 | | | (78,093,536 | ) | | | — | | | | — | | | | — | | | | (78,093,536 | ) | |
Balance as of April 30, 2022 | | $ | 277,223,142 | | | $ | 3,085,729 | | | $ | 12,815,852 | | | $ | 0 | (1) | | $ | 293,124,723 | | |
Net change in unrealized
appreciation (depreciation)
from investments still
held as of April 30, 2022 | | $ | (1,975,732 | ) | | $ | (165,908 | ) | | $ | — | | | $ | — | | | $ | (2,141,640 | ) | |
(1) Includes zero valued securities.
| | | Quantitative Disclosure About Significant Unobservable Inputs | |
| Asset Class | | Fair Value
At 04/30/2022 | | Valuation
Technique | | Unobservable
Input | | Range
(Weighted Average)* | |
Bank Loans | | $ | 277,223,142 | | | Vendor pricing | | Single Broker Quote | | $ | 0.00 – $1.22 | ($0.98) | |
Corporate Bonds | | $ | 3,085,729 | | | Recent Transactions | | Trade Price | | | $1.03 (N/A) | | |
| Common Stocks | | $ | 15,234 | | | Income Approach | | Expected Remaining
Distribution | | $ | 0.00 – $5.22
| ($0.32) | |
| | $ | 12,800,618 | | | Vendor pricing | | Single Broker Quote | | $ | 0.00 – $67.00 | ($67.00) | |
| Warrants | | $ | 0 | | | Income Approach | | Expected Remaining
Distribution | | | $0.00 (N/A)
| | |
* Weighted by relative fair value
Each fair value determination is based on a consideration of relevant factors, including both observable and unobservable inputs. Observable and unobservable inputs that Credit Suisse considers may include (i) the existence of any contractual restrictions on the disposition of securities; (ii) information obtained from the company, which may include an analysis of the company's financial statements, the company's products or intended markets or the company's technologies; (iii) the price of the same or similar security negotiated at arm's length in an issuer's completed subsequent round of financing; (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies; or (v) a probability and time value adjusted analysis of contractual term. Where available and appropriate, multiple valuation methodologies are applied to confirm fair value. To the extent that valuation
46
Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
is based on models or inputs that are less observable or unobservable in the market, determining fair value requires more judgment. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the investments existed. Accordingly, the degree of judgment exercised by the Fund in determining fair value is greatest for investments categorized in Level 3. In some circumstances, the inputs used to measure fair value might be categorized within different levels of the fair value hierarchy. In those instances, the fair value measurement is categorized in its entirety in the fair value hierarchy based on the least observable input that is significant to the fair value measurement. Additionally, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different from the valuations used at the date of these financial statements.
For the six months ended April 30, 2022, $92,172,047 was transferred from Level 2 to Level 3 due to a lack of pricing source supported by observable inputs and $78,093,536 was transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs. All transfers, if any, are assumed to occur at the end of the reporting period.
B) DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES — The Fund adopted amendments to authoritative guidance on disclosures about derivative instruments and hedging activities which require that a fund disclose (a) how and why an entity uses derivative instruments, (b) how derivative instruments and hedging activities are accounted for and (c) how derivative instruments and related hedging activities affect a fund's financial position, financial performance and cash flows. For the six months ended April 30, 2022, the Fund's derivatives did not qualify for hedge accounting as they are held at fair value.
The following table presents the fair value and the location of derivatives within the Statement of Assets and Liabilities at April 30, 2022 and the effect of these derivatives on the Statement of Operations for the six months ended April 30, 2022.
Primary Underlying Risk | | Derivative
Assets | | Derivative
Liabilities | | Realized Gain
(Loss) | | Change in Unrealized
Appreciation (Depreciation) | |
Foreign currency exchange rate | |
Forward contracts | | $ | 11,601,189 | | | $ | 676,292 | | | $ | — | | | $ | 11,035,669 | | |
47
Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
For the six months ended April 30, 2022, the Fund held an average monthly value on a net basis of $138,160,390 in forward foreign currency contracts.
The Fund is a party to International Swap and Derivatives Association, Inc. ("ISDA") Master Agreements ("Master Agreements") with certain counterparties that govern over-the-counter derivative (including total return, credit default and interest rate swaps) and foreign exchange contracts entered into by the Fund. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. Termination events applicable to the Fund may occur upon a decline in the Fund's net assets below a specified threshold over a certain period of time.
The following table presents by counterparty the Fund's derivative assets, net of related collateral held by the Fund, at April 30, 2022:
Counterparty | | Gross Amount of
Derivative
Assets Presented in
the Consolidated
Statement of Assets
and Liabilities(a) | | Financial
Instruments
and Derivatives
Available for Offset | | Non-Cash
Collateral
Received | | Cash
Collateral
Received(b) | | Net Amount
of Derivative
Assets | |
Deutsche Bank AG | | $ | 2,101,057 | | | $ | (110,609 | ) | | $ | — | | | $ | (1,050,000 | ) | | $ | 940,448 | | |
Morgan Stanley | | | 9,500,132 | | | | (365,880 | ) | | | — | | | | — | | | | 9,134,252 | | |
| | | $ | 11,601,189 | | | $ | (476,489 | ) | | $ | — | | | $ | (1,050,000 | ) | | $ | 10,074,700 | | |
The following table presents by counterparty the Fund's derivative liabilities, net of related collateral pledged by the Fund, at April 30, 2022:
Counterparty | | Gross Amount of
Derivative
Liabilities Presented in
the Consolidated
Statement of Assets
and Liabilities(a) | | Financial
Instruments
and Derivatives
Available for Offset | | Non-Cash
Collateral
Pledged | | Cash
Collateral
Pledged(b) | | Net Amount
of Derivative
Liabilities | |
Barclays Bank PLC | | $ | 199,803 | | | $ | — | | | $ | — | | | $ | — | | | $ | 199,803 | | |
Deutsche Bank AG | | | 110,609 | | | | (110,609 | ) | | | — | | | | — | | | | — | | |
Morgan Stanley | | | 365,880 | | | | (365,880 | ) | | | — | | | | — | | | | — | | |
| | | $ | 676,292 | | | $ | (476,489 | ) | | $ | — | | | $ | — | | | $ | 199,803 | | |
(a) Forward foreign currency contracts are included.
(b) The actual collateral pledged may be more than the amounts shown.
C) FOREIGN CURRENCY TRANSACTIONS — The books and records of the Fund are maintained in U.S. dollars. Transactions denominated in foreign currencies are recorded at the current prevailing exchange rates. All assets and
48
Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
liabilities denominated in foreign currencies, including purchases and sales of investments, and income and expenses are translated into US dollar amounts on the date of those transactions.
Reported net realized gain (loss) from foreign currency transactions arises from sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on securities transactions; and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net change in unrealized gains and losses on translation of assets and liabilities denominated in foreign currencies arises from changes in the fair values of assets and liabilities, other than investments at the end of the period, resulting from changes in exchange rates.
The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held. Such fluctuations are included with net realized and unrealized gain or loss from investments in the Statement of Operations.
D) SECURITY TRANSACTIONS AND INVESTMENT INCOME/EXPENSE — Security transactions are accounted for on a trade date basis. Interest income/expense is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Dividend income/expense is recorded on the ex-dividend date. Certain expenses are class-specific expenses, vary by class and are charged only to that class. Income, expenses (excluding class-specific expenses) and realized/unrealized gains/losses are allocated proportionately to each class of shares based upon the relative net asset value of the outstanding shares of that class. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.
E) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income, if any, are declared daily and paid monthly. Distributions of net realized capital gains, if any, are declared and paid at least annually. However, to the extent that a net realized capital gain can be reduced by a capital loss carryforward, such gain will not be distributed. Dividends and distributions to shareholders of the Fund are recorded on the ex-dividend
49
Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
date and are determined in accordance with federal income tax regulations, which may differ from GAAP.
F) FEDERAL AND OTHER TAXES — No provision is made for federal taxes as it is the Fund's intention to continue to qualify as a regulated investment company ("RIC") under the Internal Revenue Code of 1986, as amended (the "Code"), and to make the requisite distributions to its shareholders, which will be sufficient to relieve it from federal income and excise taxes.
In order to qualify as a RIC under the Code, the Fund must meet certain requirements regarding the source of its income, the diversification of its assets and the distribution of its income. One of these requirements is that the Fund derive at least 90% of its gross income for each taxable year from dividends, interest, payments with respect to certain securities loans, gains from the sale or other disposition of stock, securities or foreign currencies, other income derived with respect to its business of investing in such stock, securities or currencies or net income derived from interests in certain publicly-traded partnerships ("Qualifying Income").
The Fund adopted the authoritative guidance for uncertainty in income taxes and recognizes a tax benefit or liability from an uncertain position only if it is more likely than not that the position is sustainable based solely on its technical merits and consideration of the relevant taxing 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. The Fund's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
G) CASH — The Fund's uninvested cash balance is held in an interest bearing variable rate demand deposit account at State Street Bank and Trust Company ("SSB"), the Fund's custodian.
H) FORWARD FOREIGN CURRENCY CONTRACTS — A forward foreign currency exchange contract ("forward currency contract") is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. The Fund will enter into forward currency contracts primarily for hedging foreign currency risk. Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and unrealized gain/loss is recorded daily. On the settlement date of the forward currency contract, the
50
Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was closed. Certain risks may arise upon entering into forward currency contracts from the potential inability of counterparties to meet the terms of their contracts. The maximum counterparty credit risk to the Fund is measured by the unrealized gain on appreciated contracts. Additionally, when utilizing forward currency contracts to hedge, the Fund forgoes the opportunity to profit from favorable exchange rate movements during the term of the contract. The Fund's open forward currency contracts at April 30, 2022 are disclosed in the Schedule of Investments. At April 30, 2022, the amount of restricted cash received from brokers related to forward foreign currency contracts was $1,050,000.
I) UNFUNDED LOAN COMMITMENTS — The Fund enters into certain agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these loan commitments at the borrowers' discretion. Funded and unfunded portions of credit agreements are presented in the Schedule of Investments. As of April 30, 2022, unfunded commitments were as follows:
Borrower | | Maturity | | Rate | | Unfunded
Commitment | |
Athenahealth, Inc. | | | 02/15/29 | | | | 1.750 | | | $ | 847,826 | | |
Confluent Health, LLC (Delayed Draw Term Loan) | | | 11/30/28 | | | | 4.000 | | | $ | 823,745 | | |
DiversiTech Holdings, Inc. | | | 12/22/28 | | | | 3.750 | | | $ | 280,804 | | |
Hillman Group, Inc. (The) (Delayed Draw Term Loan) | | | 07/14/28 | | | | 2.750 | | | $ | 1,193,098 | | |
LTI Holdings, Inc. | | | 07/24/26 | | | | 4.750 | | | $ | 1,875,000 | | |
Pro Mach Group, Inc. | | | 08/31/28 | | | | 4.000 | | | $ | 295,907 | | |
SCP Eye Care Services LLC | | | 03/16/28 | | | | 4.500 | | | $ | 1,283,715 | | |
Service Logic Acquisition, Inc. | | | 10/29/27 | | | | 4.000 | | | $ | 234,774 | | |
Western Dental Services, Inc. (Delayed Draw Term Loan) | | | 08/18/28 | | | | 4.500 | | | $ | 310,654 | | |
Unfunded loan commitments and funded portions of credit agreements are marked to market daily and any unrealized appreciation or depreciation is included in the Statement of Assets and Liabilities and the Statement of Operations.
J) SECURITIES LENDING — The initial collateral received by the Fund is required to have a value of at least 102% of the market value of domestic securities on loan (including any accrued interest thereon) and 105% of the market value of foreign securities on loan (including any accrued interest thereon). The collateral is maintained thereafter at a value equal to at least 102% of the current market value of the securities on loan. The market value of loaned securities is determined at the close of each business day of the Fund
51
Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day. Cash collateral received by the Fund in connection with securities lending activity may be pooled together with cash collateral for other funds/portfolios advised by Credit Suisse and may be invested in a variety of investments, including funds advised by SSB, the Fund'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. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Fund or the borrower at any time.
SSB has been engaged by the Fund to act as the Fund's securities lending agent. As of April 30, 2022, the Fund had outstanding loans of securities to certain approved brokers for which the Fund received collateral:
Market Value of
Loaned Securities | | Market Value of
Cash Collateral | | Total Collateral | |
| $ | 3,992,128 | | | $ | 4,097,013 | | | $ | 4,097,013 | | |
The following table presents financial instruments that are subject to enforceable netting arrangements as of April 30, 2022.
Gross Amounts Not Offset in the Statement of Assets and Liabilities | |
Gross Asset Amounts
Presented in
Statement of Assets
and Liabilities(a) | | Collateral Received(b) | | Net Amount
(not less than $0) | |
| $ | 3,992,128 | | | $ | (3,992,128 | ) | | $ | — | | |
(a) Represents market value of loaned securities at period end.
(b) The actual collateral received is greater than the amount shown here due to collateral requirements of the security lending agreement.
The Fund's securities lending arrangement provides that the Fund and SSB will share the net income earned from securities lending activities. Securities lending income is accrued as earned. During the six months ended April 30, 2022, total earnings from the Fund's investment in cash collateral received in connection with securities lending arrangements was $5,001, of which $0 was rebated to borrowers (brokers). The Fund retained $3,755 in income from the cash collateral investment, and SSB, as lending agent, was paid $1,246.
K) OTHER — The high yield, fixed income securities in which the Fund invests will primarily consist of senior secured floating rate loans ("Senior Loans") issued by non-investment grade companies. Senior Loans are typically
52
Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
secured by specific collateral of the issuer and hold the most senior position in the issuer's capital structure. The interest rate on Senior Loans is periodically adjusted to a recognized base rate. While these characteristics may reduce interest rate risk and mitigate losses in the event of borrower default, the Senior Loans in which the Fund invests have below investment grade credit ratings and thereby are considered speculative because of the significant credit risk of their issuers.
In July 2017, the Financial Conduct Authority, the United Kingdom's financial regulatory body, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and ICE Benchmark Administrator have since announced that most LIBOR settings will no longer be published after December 31, 2021 and a majority of U.S. dollar LIBOR settings will cease publication after June 30, 2023. It is possible that a subset of LIBOR settings will be published after these dates on a "synthetic" basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve's Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing the Secured Overnight Financing Rate ("SOFR") that is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new reference rates. Uncertainty related to the liquidity impact of the change in rates, and how to appropriately adjust these rates at the time of transition, poses risks for the Fund. The effect of any changes to, or discontinuation of, LIBOR on the Fund will depend on, among other things, (1) existing fallback or termination provisions in individual contracts and (2) whether, how, and when industry participants develop and adopt new reference rates and fallbacks for both legacy and new instruments and contracts. In addition, there are obstacles to converting certain longer-term securities and transactions to a new reference rate or rates and the effectiveness of one alternative reference rate versus multiple alternative reference rates in new or existing financial instruments and products has not been determined.
The transition away from LIBOR might lead to increased volatility and illiquidity in markets for instruments whose terms currently reference LIBOR, reduced values of LIBOR-related investments, reduced effectiveness of hedging strategies, increased costs for certain LIBOR-related instruments, increased difficulty in borrowing or refinancing, and prolonged adverse market conditions for the Fund. Furthermore, the risks associated with the expected
53
Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
discontinuation of LIBOR and related transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner.
Lower-rated debt securities (commonly known as "junk bonds") possess speculative characteristics and are subject to greater market fluctuations and risk of lost income and principal than higher-rated debt securities for a variety of reasons. Also, during an economic downturn or substantial period of rising interest rates, highly leveraged issuers may experience financial stress which would adversely affect their ability to service their principal and interest payment obligations, to meet projected business goals and to obtain additional financing.
In addition, periods of economic uncertainty and changes can be expected to result in increased volatility of market prices of lower-rated debt securities and the Fund's net asset value.
In the normal course of business, the Fund trades financial instruments and enters into financial transactions for which risk of potential loss exists due to changes in the market (market risk) or failure of the other party to a transaction to perform (credit risk). Similar to credit risk, the Fund may be exposed to counterparty risk, including with respect to securities lending, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. The potential loss could exceed the value of the financial assets recorded in the financial statements. Financial assets, which potentially expose the Fund to credit risk, consist principally of cash due from counterparties and investments. The extent of the Fund's exposure to credit and counterparty risks in respect to these financial assets approximates their carrying value as recorded in the Fund's Statement of Assets and Liabilities.
Note 3. Transactions with Affiliates and Related Parties
Credit Suisse serves as investment adviser and co-administrator for the Fund. For its investment advisory and administration services, Credit Suisse is entitled to receive a fee from the Fund at an annual rate of 0.79% of the Fund's average daily net assets less than or equal to $100 million and 0.59% of the Fund's average daily net assets greater than $100 million. For the six months ended April 30, 2022, investment advisory and administration fees earned and waived by Credit Suisse were $9,640,440 and $708,556, respectively. Effective April 22, 2019, Credit Suisse has contractually agreed to limit expenses so that the Fund's annual operating expenses do not exceed 0.70% of the Fund's average daily net
54
Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 3. Transactions with Affiliates and Related Parties (continued)
assets for Class I shares, 0.95% of the Fund's average daily net assets for Class A shares and 1.70% of the Fund's average daily net assets for Class C shares. The Fund is authorized to reimburse Credit Suisse for management fees previously limited and/or for expenses previously reimbursed by Credit Suisse, provided, however, that any reimbursements must be paid at a date not more than thirty-six months following the applicable month during which such fees were limited or expenses were reimbursed by Credit Suisse and the reimbursements do not cause the Fund to exceed the applicable expense limitation at the time the fees are recouped. This contract may not be terminated before February 28, 2023. Prior to April 22, 2019, these expense limitations were voluntary. For the six months ended April 30, 2022 there was no recoupment.
The amounts waived and reimbursed by Credit Suisse, which are available for potential future recoupment by Credit Suisse, and the expiration schedule at April 30, 2022 are as follows:
| | | Fee waivers/expense
reimbursements
subject to
recoupment | | Expires
October 31,
2022 | | Expires
October 31,
2023 | | Expires
October 31,
2024 | | Expires
October 31,
2025 | |
Class I | | $ | 4,789,097 | | | $ | 962,994 | | | $ | 1,592,401 | | | $ | 1,570,467 | | | $ | 663,235 | | |
Class A | | | 371,210 | | | | 85,810 | | | | 149,504 | | | | 104,171 | | | | 31,725 | | |
Class C | | | 161,306 | | | | 38,540 | | | | 65,845 | | | | 43,325 | | | | 13,596 | | |
Totals | | $ | 5,321,613 | | | $ | 1,087,344 | | | $ | 1,807,750 | | | $ | 1,717,963 | | | $ | 708,556 | | |
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 April 30, 2022, co-administrative services fees earned by SSB (including out-of-pocket expenses) with respect to the Fund were $244,756.
Credit Suisse Securities (USA) LLC ("CSSU"), an affiliate of Credit Suisse, serves as the distributor of the Fund's shares. Pursuant to a distribution plan adopted by the Fund pursuant to Rule 12b-1 under the 1940 Act, CSSU receives fees for its distribution services. These fees are calculated at an annual rate of 0.25% of the average daily net assets of the Class A shares. For the Class C shares, the fee is calculated at an annual rate of 1.00% of the average daily net assets. For the six months ended April 30, 2022, the Fund paid Rule 12b-1 distribution fees of $176,661 for Class A shares and $301,931 for Class C shares. Class I shares are not subject to Rule 12b-1 distribution fees.
For the six months ended April 30, 2022, CSSU and its affiliates advised the Fund that they retained $4,928 from commissions earned on the sale of the
55
Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 3. Transactions with Affiliates and Related Parties (continued)
Fund's Class A shares. There were no commissions earned on sale of Class C shares.
The Fund from time to time purchases or sells loan investments in the secondary market through Credit Suisse or its affiliates acting in the capacity as broker-dealer. Credit Suisse or its affiliates may have acted in some type of agent capacity to the initial loan offering prior to such loan trading in the secondary market.
Note 4. Line of Credit
The Fund, together with other funds/portfolios advised by Credit Suisse (collectively, the "Participating Funds"), participates in a committed, unsecured line of credit facility ("Credit Facility"), with SSB in an aggregated amount of $250 million for temporary or emergency purposes on a first-come, first-served basis. Of the aggregate $250 million amount, $125 million is specifically designated for the Fund. The remaining $125 million is available to all Participating Funds, including the Fund. 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 Federal Funds Effective rate or the Overnight Bank Funding rate plus a spread. At April 30, 2022 and during the six months ended April 30, 2022, the Fund had no borrowings outstanding under the Credit Facility. Additionally, the Fund and another Participating Fund are parties to a joint uncommitted line of credit facility with SSB in an aggregated amount of $200 million. For the six months ended April 30, 2022, the line was not drawn upon and no fees were incurred.
Note 5. Purchases and Sales of Securities
For the six months ended April 30, 2022, 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 | |
| $ | 1,110,039,552 | | | $ | 655,021,039 | | | $ | 0 | | | $ | 0 | | |
56
Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 6. Capital Share Transactions
The Fund is authorized to issue an unlimited number of full and fractional shares of beneficial interest, $.001 par value per share. The Fund offers Class I, Class A, and Class C shares. Transactions in capital shares for each class of the Fund were as follows:
| | | Class I | |
| | | For the Six Months Ended
April 30, 2022 (unaudited) | | For the Year Ended
October 31, 2021 | |
| | | Shares | | Value | | Shares | | Value | |
Shares sold | | | 174,483,272 | | | $ | 1,150,566,282 | | | | 233,381,020 | | | $ | 1,540,312,453 | | |
Shares issued in reinvestment
of distributions | | | 6,750,272 | | | | 44,373,293 | | | | 10,023,454 | | | | 66,090,692 | | |
Shares redeemed | | | (110,498,971 | ) | | | (725,076,296 | ) | | | (94,395,982 | ) | | | (622,551,167 | ) | |
Net increase | | | 70,734,573 | | | $ | 469,863,279 | | | | 149,008,492 | | | $ | 983,851,978 | | |
| | | Class A | |
| | | For the Six Months Ended
April 30, 2022 (unaudited) | | For the Year Ended
October 31, 2021 | |
| | | Shares | | Value | | Shares | | Value | |
Shares sold | | | 4,910,242 | | | $ | 32,527,924 | | | | 5,919,178 | | | $ | 39,117,850 | | |
Shares issued in reinvestment
of distributions | | | 294,851 | | | | 1,948,007 | | | | 639,553 | | | | 4,234,283 | | |
Shares redeemed | | | (6,424,933 | ) | | | (42,283,157 | ) | | | (7,965,320 | ) | | | (52,587,397 | ) | |
Net decrease | | | (1,219,840 | ) | | $ | (7,807,226 | ) | | | (1,406,589 | ) | | $ | (9,235,264 | ) | |
| | | Class C | |
| | | For the Six Months Ended
April 30, 2022 (unaudited) | | For the Year Ended
October 31, 2021 | |
| | | Shares | | Value | | Shares | | Value | |
Shares sold | | | 1,448,711 | | | $ | 9,629,768 | | | | 1,655,530 | | | $ | 10,997,464 | | |
Shares issued in reinvestment
of distributions | | | 99,075 | | | | 656,459 | | | | 208,626 | | | | 1,385,801 | | |
Shares redeemed | | | (1,226,010 | ) | | | (8,133,786 | ) | | | (2,118,451 | ) | | | (14,037,539 | ) | |
Net increase (decrease) | | | 321,776 | | | $ | 2,152,441 | | | | (254,295 | ) | | $ | (1,654,274 | ) | |
57
Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 6. Capital Share Transactions (continued)
On April 30, 2022, the number of shareholders that held 5% or more of the outstanding shares of each class of the Fund was as follows:
| | | Number of
Shareholders | | Approximate Percentage
of Outstanding Shares | |
Class I | | | 6 | | | | 59 | % | |
Class A | | | 5 | | | | 71 | % | |
Class C | | | 6 | | | | 77 | % | |
The Fund's performance may be negatively impacted in the event one or more of the Fund's greater than 5% shareholders were to redeem at a given time. 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 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 8. Subsequent Events
In preparing the financial statements as of April 30, 2022, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements through the date of release of this report. No such events requiring recognition or disclosure were identified through the date of the release of this report.
58
Credit Suisse Floating Rate High Income Fund
Board Approval of Investment Management Agreement (unaudited)
In approving the renewal of the amended and restated investment management agreement (the "Investment Management Agreement") for the Credit Suisse Floating Rate High Income Fund (the "Fund"), a series of Credit Suisse Opportunity Funds (the "Trust"), the Board of Trustees of the Trust (the "Board"), including all of the trustees who are not "interested persons" of the Trust as defined in the Investment Company Act of 1940 (the "Independent Trustees"), at a special telephonic meeting held on November 8, 2021 where the Board discussed information and materials previously provided to them in connection with the renewal of the Investment Management Agreement, and at a meeting held via Zoom on November 15 and 16, 2021, considered the following factors:
Investment Management Fee Rates and Expenses
The Board reviewed and considered the contractual management fee rate of 0.79% of the Fund's average daily net assets less than or equal to $100 million and 0.59% of the Fund's average daily net assets greater than $100 million (the "Contractual Management Fee") for the Fund in light of the extent and quality of the management services provided by Credit Suisse Asset Management, LLC ("Credit Suisse"), the Fund's investment manager. The Board also considered that Credit Suisse has entered into a contractual expense limitation agreement ("Expense Limitation Agreement") limiting the Fund's total net expenses to 0.95%, 1.70% and 0.70% of the average daily net assets of Class A, Class C and Class I, respectively, until February 28, 2023.
Additionally, the Board received and considered information comparing the Fund's Contractual Management Fee, the Fund's Contractual Management Fee less waivers and/or reimbursements ("Net Management Fee") and the Fund's overall expenses with those of funds in both the relevant expense group ("Expense Group") and universe of funds ("Expense Universe") provided by Broadridge, an independent provider of investment company data. The Board noted that the Fund's Contractual Management Fee, Net Management Fee and overall expenses were within the range of its peers as presented in the Broadridge report. The Board was provided with a description of the methodology used to arrive at the funds included in the Expense Group and the Expense Universe.
Nature, Extent and Quality of the Services under the Management Agreement
The Board received and considered information regarding the nature, extent and quality of services provided to the Fund by Credit Suisse under the
59
Credit Suisse Floating Rate High Income Fund
Board Approval of Investment Management Agreement (unaudited) (continued)
Investment Management Agreement. The Board also noted information received at regular meetings throughout the year related to the services rendered by Credit Suisse which, in addition to portfolio management and investment management services set forth in the Investment Management Agreement, included credit analysis and research, supervising the day-to-day operations of the Fund's non-advisory functions which include accounting, administration, custody, transfer agent and other applicable third party service providers, overseeing and facilitating audits, overseeing the Fund's credit facility and supervising and/or preparing applicable Fund filings, disclosures and shareholder reports. The Board noted that the extensive investment management services provided by Credit Suisse included broad supervisory responsibility and oversight over other service providers to the Fund. The Board also considered Credit Suisse's compliance program with respect to the Fund. The Board noted that Credit Suisse reports to the Board about portfolio management and compliance matters on a periodic basis. The Board reviewed background information about Credit Suisse including its Form ADV Part 2 — Disclosure Brochure and Brochure Supplement. The Board considered the background and experience of Credit Suisse's senior management and the expertise of, and the amount of attention given to the Fund by, senior personnel of Credit Suisse. In addition, the Board reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day portfolio management of the Fund and the extent of the resources devoted to research and analysis of actual and potential investments, as well as the resources provided to them. The Board evaluated the ability of Credit Suisse, based on its resources, reputation and other attributes, to attract and retain qualified investment professionals including research, advisory, and supervisory personnel. The Board also received and considered information about the nature, extent and quality of services and fee rates offered to other Credit Suisse clients for comparable services. The Board acknowledged Credit Suisse's representation that the services provided to the Fund are more extensive than the services provided in connection with other types of accounts, such as separate accounts, offered by Credit Suisse and the services are also more extensive from those offered and provided to a sub-advised fund. The Board also considered that the services provided by Credit Suisse have expanded over time as a result of regulatory and other developments.
Fund Performance
The Board received and considered performance results of the Fund over the previous year as well as over longer time periods, along with comparisons
60
Credit Suisse Floating Rate High Income Fund
Board Approval of Investment Management Agreement (unaudited) (continued)
both to the relevant performance group ("Performance Group") and universe of funds ("Performance Universe") for the Fund provided in the Broadridge materials. The Board was provided with a description of the methodology used to arrive at the funds included in the Performance Group and the Performance Universe. The Board noted that the Fund outperformed its Performance Universe for the one-year period reported, and also noted that the Fund generally outperformed its Performance Universe over various longer investment periods reported. The Board also considered the investment performance of the Fund over various investment periods relative to its stated objectives.
Credit Suisse Profitability
The Board received and considered a profitability analysis of Credit Suisse based on the fees payable under the Investment Management Agreement for the Fund, including any fee waivers, as well as other relationships between the Fund on the one hand and Credit Suisse affiliates on the other. The Board deliberations also reflected, in the context of Credit Suisse's profitability, Credit Suisse's methodology for allocating costs to the Fund, recognizing that cost allocation methodologies are inherently subjective. The Board also received net profitability information for the other funds in the Credit Suisse family of funds, which include both open-end and closed-end funds. The Board also reviewed Credit Suisse's profit margin as reflected in the profitability analysis, as well as reviewing profitability in light of appropriate court cases and the services rendered to the Fund.
Economies of Scale
The Board considered information regarding whether there have been economies of scale with respect to the management of the Fund, whether the Fund has appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Board noted that the Fund's Contractual Management Fee had breakpoints that would allow investors to benefit directly in the form of lower fees as Fund assets grow. The Board also noted the current contractual expense limitation currently in place between the Fund and Credit Suisse. The Board received information regarding Credit Suisse's profitability in providing investment management services to the Fund, including Credit Suisse's costs in providing the services.
61
Credit Suisse Floating Rate High Income Fund
Board Approval of Investment Management Agreement (unaudited) (continued)
Other Benefits to Credit Suisse
The Board considered other benefits received by Credit Suisse and its affiliates as a result of their relationship with the Fund. Such benefits include, among others, benefits potentially derived from an increase in Credit Suisse's businesses and its reputation as a result of its relationship with the Fund (such as the ability to market its advisory services to other clients and investors including separate account or third party sub-advised mandates or other financial products offered by Credit Suisse and its affiliates), as well as the fees paid to an affiliate of Credit Suisse for distribution services.
The Board considered the standards Credit Suisse applied in seeking best execution and Credit Suisse's policies and practices regarding soft dollars and reviewed Credit Suisse's method for allocating portfolio investment opportunities among its advisory clients.
Other Factors and Broader Review
As discussed above, the Board reviewed detailed materials received from Credit Suisse as part of the annual approval process. The Board also reviews and assesses the quality of the services that the Fund receives throughout the year. In this regard, the Board reviews reports of Credit Suisse at least quarterly, which include, among other things, detailed portfolio and market reviews, detailed fund performance reports, and Credit Suisse's compliance procedures.
Conclusions
In selecting Credit Suisse, and approving the renewal of the Investment Management Agreement and the investment management fee under such agreement, the Board concluded that:
• The Contractual Management Fee and Net Management Fee, reviewed along with information provided by Broadridge for the funds in the Fund's Expense Group and Expense Universe, were reasonable in relation to the services provided by Credit Suisse.
• The Board was satisfied with the nature, extent and quality of the investment management services provided to the Fund by Credit Suisse and that, based on dialogue with management and counsel, the services provided by Credit Suisse under the Investment Management Agreement are typical of, and consistent with, those provided to similar mutual funds by other investment managers.
62
Credit Suisse Floating Rate High Income Fund
Board Approval of Investment Management Agreement (unaudited) (continued)
• In light of the costs of providing investment management and other services to the Fund and Credit Suisse's ongoing commitment to the Fund and willingness to waive fees (by agreeing to a contractual expense limitation), Credit Suisse's net profitability based on fees payable under the Investment Management Agreement, as well as other ancillary benefits that Credit Suisse and its affiliates received, were considered reasonable.
• In light of the information received and considered by the Board, the Fund's current fee structure was considered reasonable.
No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the renewal of the Investment Management Agreement. The Independent Trustees were advised by separate independent legal counsel throughout the process.
63
Credit Suisse Floating Rate High Income Fund
Liquidity Risk Management Program (unaudited)
The Fund has adopted and implemented a written liquidity risk management program (the "Liquidity Program") in accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended. The Liquidity Program seeks to assess and manage the Fund's liquidity risk, i.e., the risk that the Fund is unable to satisfy redemption requests without significantly diluting remaining investors' interests in the Fund. The Board of Trustees of the Trust has designated Credit Suisse Asset Management, LLC, the Fund's investment adviser, to administer the Liquidity Program (the "Program Administrator"). Certain aspects of the Liquidity Program rely on third parties to perform certain functions, including the provision of market data and application of models.
Under the Liquidity Program, the Program Administrator assesses, manages and periodically reviews each Fund's liquidity risk and classifies each investment held by each Fund as a "highly liquid investment," "moderately liquid investment," "less liquid investment" or "illiquid investment." The liquidity of the Fund's portfolio investments is determined based on relevant market, trading and investment-specific considerations under the Liquidity Program.
During the six months ended April 30, 2022, the Trust's Board of Trustees received reports from the Program Administrator that included information to address the operations of the Liquidity Program and assess its adequacy and effectiveness of implementation during the period covered by the reports. The reports indicated that the Liquidity Program is reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the reporting period.
There can be no assurance that the Liquidity Program will achieve its objectives under all circumstances in the future. Please refer to the Fund's prospectus for more information regarding the Fund's exposure to illiquidity risk and other risks to which it may be subject.
64
Credit Suisse Floating Rate High Income Fund
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 investment 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.
65
Credit Suisse Floating Rate High Income Fund
Notice of Privacy and Information Practices (unaudited) (continued)
• We want our investors to be informed about additional products or services. We do not disclose nonpublic personal information relating to individual investors to our affiliates for marketing purposes, nor do we use such information received from our affiliates to solicit individual investors for such purposes. 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 24, 2022.
66
Credit Suisse Floating Rate High Income Fund
Proxy Voting and Portfolio Holdings Information (unaudited)
Information regarding how the Fund 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 Fund uses to determine how to vote proxies relating to its portfolio securities are available:
• By calling 1-877-870-2874
• On the Fund's website, www.credit-suisse.com/us/funds
• On the website of the Securities and Exchange Commission, www.sec.gov
The Fund files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund's Forms N-PORT and N-Q are available on the SEC's website at www.sec.gov.
67
P.O. BOX 219916, KANSAS CITY, MO 64121-9916
877-870-2874 ◼ www.credit-suisse.com/us
CREDIT SUISSE SECURITIES (USA) LLC, DISTRIBUTOR. FLHI-SAR-0422
CREDIT SUISSE FUNDS
Semiannual Report
April 30, 2022
(unaudited)
◼ CREDIT SUISSE
MANAGED FUTURES STRATEGY FUND
The Fund's investment objectives, risks, charges and expenses (which should be considered carefully before investing), and more complete information about the Fund, are provided in the Prospectus, which should be read carefully before investing. You may obtain additional copies by calling 877-870-2874 or by visiting our website at www.credit-suisse.com/us/funds.
Credit Suisse Securities (USA) LLC, Distributor, is located at Eleven Madison Avenue, New York, NY 10010. Credit Suisse Funds are advised by Credit Suisse Asset Management, LLC.
Investors in the Credit Suisse Funds should be aware that they may be eligible to purchase Class I shares (where offered) directly or through certain intermediaries. Such shares are not subject to a sales charge. Investors in the Credit Suisse Funds should also be aware that they may be eligible for a reduction or waiver of the sales charge with respect to Class A or C shares (where offered). For more information, please review the relevant prospectuses or consult your financial representative.
Fund 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. Fund investments are subject to investment risks, including loss of your investment.
Credit Suisse Managed Futures Strategy Fund
Semiannual Investment Adviser's Report
April 30, 2022 (unaudited)
June 12, 2022
Dear Shareholder:
We are pleased to present this Semiannual Report covering the activities of the Credit Suisse Managed Futures Strategy Fund (the "Fund") for the six-month period ended April 30, 2022.
Performance Summary
11/1/21 – 4/30/22
Fund & Benchmark | | Performance | |
| Class I1 | | | 15.78 | % | |
| Class A1,2 | | | 15.64 | % | |
| Class C1,2 | | | 15.20 | % | |
| Credit Suisse Managed Futures Liquid Index3 | | | 15.74 | % | |
Performance shown for the Fund's Class A and Class C Shares does not reflect sales charges, which are a maximum of 5.25% and 1.00%, respectively.2
Market Review: An interesting period
The six-month period ended April 30, 2022, was influenced by lower long-term growth expectations, higher inflation, and continuing pandemic concerns that resulted in waning market sentiment and investor skittishness for risk assets over the period. The Credit Suisse Managed Futures Liquid Index (the "Benchmark") was up 15.74% for the period. Markets also tracked the prospect of diplomacy in the Russia/Ukraine conflict, continuous supply shortages, and US/China rhetoric. Constructive consumer sentiment prompted G7 policymakers to begin dismantling pandemic-era programs and tightening monetary conditions.
Interest rates were volatile and sold off toward the end of 2021, as investors rotated into equities and central banks reacted to inflation and employment data. High inflation indicators and escalating urgency on the part of central banks to realign monetary policy with prevailing conditions caused market participants to price in multiple rate increases in the United States over the next 12 months. The slope of U.S. interest rates subsequently flattened, as front-end rates repriced aggressively to adjust to policymaker statements. On a global basis, the central banks of several commodity-producing countries started raising domestic interest rates followed by the U.S. Federal Reserve. In early Q2 2022, increasing rhetoric out of Europe suggested the European Central Bank could potentially be headed for rate increases in the future too.
1
Credit Suisse Managed Futures Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
Equity markets sold off as 2022 began, with non-profitable technology companies repricing significantly. Continuous negative risk asset headlines put pressure on equity markets globally, with the Russia/Ukraine conflict most significantly impacting European equity markets. Improving availability of key industrial inputs, resilient economic data, and sustained corporate pricing power supported by sanguine consumers helped abate concerns about a steeper sell-off. Additionally, investors became increasingly reactive to earnings and earnings outlooks, as they expressed skepticism that policymakers would be able to meaningfully manage economic growth and price stability.
Commodity markets generally traded higher, with energy and agriculture segments of the markets seeing the most direct investor attention starting in January 2022. The initial aggressive rhetoric followed by the open conflict between the Ukraine and Russia began to impact commodities from energy to agriculture and industrial metals. Increasing energy prices affected consumers and businesses around the globe, threatening to decrease purchasing power for other goods and services. Further, the supply picture across the commodity complex remained tight, policy across Asia grew accommodative, and the prospect of Russian sanctions rattled energy markets.
The U.S. Dollar (USD) strengthened during the period due to its perceived safe-haven status and the anticipated increase in interest rates. The currencies of commodity-exporting countries generally appreciated, as local budgets benefited from the increasing revenues of higher commodity prices.
Strategic Review and Outlook: Significant asset rotations
The Fund seeks to give investors diverse and cost-efficient access to managed futures by aiming to capture the most significant trends across major asset classes — fixed income, currencies, commodities, and equities.
For the semiannual period ended April 30, 2022, Class I outperformed the Benchmark. Fixed income positioning contributed to performance due to markets digesting the spread of the Omicron variant of COVID-19, high inflation prints, increasing central bank hawkishness, and upward pressure on global interest rates. Commodity positioning was the largest contributor to relative performance over the period given price reactions to the Russia/Ukraine conflict, tightness across the commodity complex, and deteriorating central bank credibility. Currency positioning also added to performance due to central bank reactions to inflation and employment data, global supply chain challenges, and the Russia/Ukraine conflict. For the period, the program was generally long USD vs. foreign currencies, but flipped in a few instances when the currencies of commodity-exporting countries gained versus the USD.
2
Credit Suisse Managed Futures Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
Equities positioning detracted from performance, as investors reacted to higher interest rates, rising commodity input costs, the economic toll of Omicron, stagflation fears, and Russian sanctions.
The markets, in our view, are currently indicating stagflationary tendencies for major developed economies, with global GDP expectations decreasing and interest rate forecasts increasing. Investors are reacting by adjusting fixed income, equity, and commodity holdings. This is catalyzing significant asset and style rotations across markets that are often marked by increased volatility and episodic reversals.
The Quantitative Investment Strategies Group
Yung-Shin Kung
The Fund 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. The Fund's investment in alternative instruments may subject the Fund to greater volatility than investments in traditional securities, particularly in investments involving leverage.
The use of alternative assets and strategies entails substantial risks, including risk of loss of principal, commodity exposure risks, correlation risk, counterparty risk, credit risk, currency risk, derivatives risk, equity exposure risk, fixed income risk, foreign securities risk, forwards risk, futures contracts risk, interest rate risk, leveraging risk, manager/model risk, market risk, model and style risk, options risk, portfolio turnover risk, repurchase agreements risk, short position risk, speculative exposure risk, subsidiary risk, swap agreements risk, tax risk and U.S. government securities risk. For a detailed discussion of these and other risks, please refer to the Fund's Prospectus, which should be read carefully before investing.
In addition to historical information, this report contains forward-looking statements, which may concern, among other things, domestic and foreign markets, industry and economic trends and developments and government regulation, and their potential impact on the Fund's investments. These statements are subject to risks and uncertainties and actual trends, developments and regulations in the future, and their impact on the Fund could be materially different from those projected, anticipated or implied. The Fund has no obligation to update or revise forward-looking statements.
3
Credit Suisse Managed Futures Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
The views of the Fund's management are as of the date of this letter and the Fund holdings described in this document are as of April 30, 2022; these views and Fund holdings may have changed subsequent to these dates. Nothing in this document is a recommendation to purchase or sell securities.
1 Fee waivers and/or expense reimbursements reduce expenses for the Fund, without which performance would be lower. The Fund has entered into a written contract to limit expenses to 1.30% of the Fund's average daily net assets for Class I shares, 1.55% of the Fund's average daily net assets for Class A shares and 2.30% of the Fund's average daily net assets for Class C shares through at least February 28, 2023. This limit excludes certain expenses, as set forth in the Fund's Prospectus.
2 Total return for the Fund's Class A shares for the reporting period, based on offering price (including maximum sales charge of 5.25%), was 9.59%. Total return for the Fund's Class C shares for the reporting period, based on redemption value including Contingent Deferred Sales Charge ("CDSC") of 1.00%, was 14.20%.
3 The Credit Suisse Managed Futures Liquid Index is a broadly diversified futures index currently composed of 14 futures contracts and 4 commodity indices which provide exposure to the asset classes. The index uses a proprietary quantitative methodology to seek to identify price trends in each of the asset classes over a variety of time horizons. Components of the index, which may change from time to time, are positioned either long or short based on the price trends within the asset classes determined using the index's quantitative methodology. The index does not have transaction costs and investors may not invest directly in the index.
4
Credit Suisse Managed Futures Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
Average Annual Returns as of April 30, 20221
| | | 1 Year | | 5 Years | | Since
Inception2 | |
Class I | | | 16.52 | % | | | 4.77 | % | | | 4.92 | % | |
Class A Without Sales Charge | | | 16.17 | % | | | 4.52 | % | | | 4.67 | % | |
Class A With Maximum Sales Charge | | | 10.07 | % | | | 3.39 | % | | | 4.08 | % | |
Class C Without CDSC | | | 15.31 | % | | | 3.72 | % | | | 3.88 | % | |
Class C With CDSC | | | 14.31 | % | | | 3.72 | % | | | 3.88 | % | |
Returns represent past performance and include change in share price and reinvestment of dividends, capital gains, and return of capital distributions, if any. Past performance cannot guarantee future results. The current performance of the Fund 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 Fund distributions or the redemption of Fund shares. Performance information current to the most recent month end is available at www.credit-suisse.com/us/funds.
The annualized gross expense ratios are 1.30% for Class I shares, 1.55% for Class A shares and 2.30% for Class C shares. The annualized net expense ratios after fee waivers and/or expense reimbursements are 1.30% for Class I shares, 1.55% for Class A shares and 2.30% for Class C shares.
1 Fee waivers and/or expense reimbursements reduce expenses for the Fund, without which performance would be lower. The Fund has entered into a written contract to limit operating expenses to 1.30% of the Fund's average daily net assets for Class I shares, 1.55% of the Fund's average daily net assets for Class A shares and 2.30% of the Fund's average daily net assets for Class C shares through at least February 28, 2023. This limit excludes certain expenses, as set forth in the Fund's Prospectus.
2 Inception Date: September 28, 2012.
5
Credit Suisse Managed Futures Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
Information About Your Fund's Expenses
As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees, distribution and service (12b-1) fees and other Fund 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 Fund 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 months ended April 30, 2022.
The table illustrates your Fund's expenses in two ways:
• Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses paid on a $1,000 investment in the Fund using the Fund'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.
• Hypothetical 5% Fund Return. This helps you to compare the Fund's ongoing expenses with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. If these transaction costs had been included, your costs would have been higher. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expenses of owning different funds.
6
Credit Suisse Managed Futures Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
Expenses and Value for a $1,000 Investment
for the six-month period ended April 30, 2022
Actual Fund Return | | Class I | | Class A | | Class C | |
Beginning Account Value 11/01/21 | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | |
Ending Account Value 04/30/22 | | $ | 1,157.80 | | | $ | 1,156.40 | | | $ | 1,152.00 | | |
Expenses Paid per $1,000* | | $ | 6.96 | | | $ | 8.29 | | | $ | 12.27 | | |
Hypothetical 5% Fund Return | |
Beginning Account Value 11/01/21 | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | |
Ending Account Value 04/30/22 | | $ | 1,018.35 | | | $ | 1,017.11 | | | $ | 1,013.39 | | |
Expenses Paid per $1,000* | | $ | 6.51 | | | $ | 7.75 | | | $ | 11.48 | | |
| | | Class I | | Class A | | Class C | |
Annualized Expense Ratios* | | | 1.30 | % | | | 1.55 | % | | | 2.30 | % | |
* Expenses are equal to the Fund's annualized expense ratio for each share class, multiplied by the average account value over the period, multiplied by 181/365 to reflect the one-half year period.
The "Expenses Paid per $1,000" and the "Annualized Expense Ratios" in the tables are based on actual expenses paid by the Fund during the period, net of fee waivers and/or actual expense reimbursements, if applicable. If those fee waivers and/or expense reimbursements had not been in effect, the Fund'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 Fund'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 Fund's Prospectus.
Portfolio Breakdown**
United States Treasury Obligations | | | 61.60 | % | |
Short-Term Investment | | | 38.40 | | |
Total | | | 100.00 | % | |
** Expressed as a percentage of total investments (excluding securities lending collateral, if applicable) and may vary over time.
7
Credit Suisse Managed Futures Strategy Fund
Consolidated Schedule of Investments
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| UNITED STATES TREASURY OBLIGATIONS (48.8%) | | | |
$ | 15,000 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 05/19/22 | | | 0.040 | | | $ | 14,998,512 | | |
| | 99,500 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 09/08/22 | | | 0.646 | | | | 99,122,066 | | |
| | 15,000 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 10/06/22 | | | 0.125 | | | | 14,924,607 | | |
| | 15,000 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 11/03/22 | | | 0.220 | | | | 14,893,001 | | |
| | 15,000 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 12/01/22 | | | 0.275 | | | | 14,876,416 | | |
| | 4,300 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 12/29/22 | | | 0.646 | | | | 4,257,670 | | |
| | 15,000 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 06/16/22 | | | 0.056 | | | | 14,991,745 | | |
| | 15,000 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 07/14/22 | | | 0.063 | | | | 14,976,458 | | |
| | 15,000 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 08/11/22 | | | 0.074 | | | | 14,959,642 | | |
| | 15,000 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 02/23/23 | | | 1.086 | | | | 14,786,191 | | |
| | 3,800 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 01/26/23 | | | 1.481 | | | | 3,754,029 | | |
| TOTAL UNITED STATES TREASURY OBLIGATIONS (Cost $227,115,832) | | | 226,540,337 | | |
Number of
Shares | |
| |
| |
| |
| |
| |
| SHORT-TERM INVESTMENTS (30.4%) | | | |
| | 141,194,574 | | | State Street Institutional U.S. Government Money Market Fund - Premier
Class, 0.29% (Cost $141,194,574) | | | | | | | | | | | | | | | 141,194,574 | | |
| TOTAL INVESTMENTS AT VALUE (79.2%) (Cost $368,310,406) | | | 367,734,911 | | |
| OTHER ASSETS IN EXCESS OF LIABILITIES (20.8%) | | | 96,377,342 | | |
| NET ASSETS (100.0%) | | $ | 464,112,253 | | |
† 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) Securities are zero coupon. Rate presented is yield to maturity as of April 30, 2022.
Futures Contracts
Contract Description | | Currency | | Expiration
Date | | Number of
Contracts | | Notional
Value | | Net Unrealized
Appreciation
(Depreciation) | |
Contracts to Purchase | |
Index Contracts | |
FTSE 100 Index Futures | | GBP | | | | Jun 2022 | | | 244 | | | $ | 23,015,487 | | | $ | 307,386 | | |
Contracts to Sell | |
Foreign Exchange Contracts | |
| AUD Currency Futures | | USD | | | | Jun 2022 | | | (667 | ) | | | (47,270,290 | ) | | $ | 65,456 | | |
| CAD Currency Futures | | USD | | | | Jun 2022 | | | (955 | ) | | | (74,399,275 | ) | | | 118,475 | | |
| EUR Currency Futures | | USD | | | | Jun 2022 | | | (495 | ) | | | (65,519,438 | ) | | | 3,237,755 | | |
| GBP Currency Futures | | USD | | | | Jun 2022 | | | (826 | ) | | | (65,042,337 | ) | | | 2,945,460 | | |
| JPY Currency Futures | | USD | | | | Jun 2022 | | | (730 | ) | | | (70,581,875 | ) | | | 8,309,720 | | |
| | | $ | 14,676,866 | | |
See Accompanying Notes to Consolidated Financial Statements.
8
Credit Suisse Managed Futures Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2022 (unaudited)
Futures Contracts (continued)
Contract Description | | Currency | | Expiration
Date | | Number of
Contracts | | Notional
Value | | Net Unrealized
Appreciation
(Depreciation) | |
Index Contracts | |
Hang Seng Index Futures | | HKD | | | | May 2022 | | | (139 | ) | | $ | (18,604,137 | ) | | $ | (1,118,813 | ) | |
EURO Stoxx 50 Index Futures | | EUR | | | | Jun 2022 | | | (474 | ) | | | (18,681,734 | ) | | | (224,720 | ) | |
Nikkei 225 Index Futures OSE | | JPY | | | | Jun 2022 | | | (102 | ) | | | (21,154,215 | ) | | | (86,513 | ) | |
S&P 500 E Mini Index Futures | | USD | | | | Jun 2022 | | | (100 | ) | | | (20,637,500 | ) | | | 549,828 | | |
| | | $ | (880,218 | ) | |
Interest Rate Contracts | |
10YR Japanese Bond Futures | | JPY | | | | Jun 2022 | | | (283 | ) | | | (326,817,382 | ) | | $ | 2,268,972 | | |
10YR U.S. Treasury Note Futures | | USD | | | | Jun 2022 | | | (853 | ) | | | (101,640,281 | ) | | | 6,134,576 | | |
| EURO Bund Futures | | EUR | | | | Jun 2022 | | | (446 | ) | | | (72,265,295 | ) | | | 5,634,378 | | |
Long Gilt Futures | | GBP | | | | Jun 2022 | | | (414 | ) | | | (61,562,420 | ) | | | 2,030,233 | | |
| | | $ | 16,068,159 | | |
| | | $ | 30,172,193 | | |
Total Return Swap Contracts
Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive | | Pay | | Periodic
Payment
Frequency | | Upfront
Premiums
Paid/
(Received) | | Net Unrealized
Appreciation | |
USD | | | | $ | 52,394,637 | | |
07/25/22 | |
Bank of America | | Bloomberg
Agriculture
Index | | | 0.10 | % | | At
Maturity | | $ | — | | | $ | 454,328 | | |
USD | | | | | 22,499,122 | | | 07/25/22 | | Bank of America | | Bloomberg
Energy
Index | | | 0.07 | % | | At
Maturity | | | — | | | | 1,476,013 | | |
| | | $ | — | | | $ | 1,930,341 | | |
Total Return Swap Contracts
Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive | | Pay | | Periodic
Payment
Frequency | | Upfront
Premiums
Paid/
(Received) | | Net Unrealized
Depreciation | |
USD | | | | $ | 26,391,396 | | |
07/25/22 | |
Bank of America | | Bloomberg
Precious
Metals | | | 0.06 | % | | At
Maturity | | $ | — | | | $ | (8,000 | ) | |
USD | | | | | 40,331,086 | | | 07/25/22 | | Goldman Sachs | | Bloomberg
Industrial
Metals Index | | | 0.10 | % | | At
Maturity | | | — | | | | (683,465 | ) | |
| | | $ | — | | | $ | (691,465 | ) | |
| | | $ | — | | | $ | 1,238,876 | | |
See Accompanying Notes to Consolidated Financial Statements.
9
Credit Suisse Managed Futures Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2022 (unaudited)
Currency Abbreviations:
AUD = Australian Dollar
CAD = Canadian Dollar
EUR = Euro
GBP = British Pound
HKD = Hong Kong Dollar
JPY = Japanese Yen
USD = United States Dollar
See Accompanying Notes to Consolidated Financial Statements.
10
Credit Suisse Managed Futures Strategy Fund
Consolidated Statement of Assets and Liabilities
April 30, 2022 (unaudited)
Assets | |
Investments at value (Cost $368,310,406) (Note 2) | | $ | 367,734,911 | | |
Cash segregated at brokers for futures contracts and swap contracts (Note 2) | | | 97,237,348 | | |
Unrealized appreciation on open swap contracts (Note 2) | | | 1,930,341 | | |
Net receivable for open swap contracts | | | 595,458 | | |
Receivable for Fund shares sold | | | 308,898 | | |
Interest receivable | | | 34,516 | | |
Prepaid expenses | | | 41,866 | | |
Total assets | | | 467,883,338 | | |
Liabilities | |
Investment advisory fee payable (Note 3) | | | 404,524 | | |
Administrative services fee payable (Note 3) | | | 26,781 | | |
Shareholder servicing/Distribution fee payable (Note 3) | | | 5,123 | | |
Variation margin payable on futures contracts (Note 2) | | | 1,798,983 | | |
Unrealized depreciation on open swap contracts (Note 2) | | | 691,465 | | |
Payable for Fund shares redeemed | | | 578,450 | | |
Trustees' fee payable | | | 12,688 | | |
Accrued expenses | | | 253,071 | | |
Total liabilities | | | 3,771,085 | | |
Net Assets | |
Capital stock, $.001 par value (Note 6) | | | 39,472 | | |
Paid-in capital (Note 6) | | | 406,841,280 | | |
Total distributable earnings (loss) | | | 57,231,501 | | |
Net assets | | $ | 464,112,253 | | |
I Shares | |
Net assets | | $ | 440,683,843 | | |
Shares outstanding | | | 37,446,703 | | |
Net asset value, offering price and redemption price per share | | $ | 11.77 | | |
A Shares | |
Net assets | | $ | 22,724,393 | | |
Shares outstanding | | | 1,961,058 | | |
Net asset value and redemption price per share | | $ | 11.59 | | |
Maximum offering price per share (net asset value/(1-5.25%)) | | $ | 12.23 | | |
C Shares | |
Net assets | | $ | 704,017 | | |
Shares outstanding | | | 64,314 | | |
Net asset value and offering price per share | | $ | 10.95 | | |
See Accompanying Notes to Consolidated Financial Statements.
11
Credit Suisse Managed Futures Strategy Fund
Consolidated Statement of Operations
For the Six Months Ended April 30, 2022 (unaudited)
Investment Income | |
Interest | | $ | 216,851 | | |
Total investment income | | | 216,851 | | |
Expenses | |
Investment advisory fees (Note 3) | | | 2,131,195 | | |
Administrative services fees (Note 3) | | | 31,885 | | |
Shareholder servicing/Distribution fees (Note 3) | |
Class A | | | 21,022 | | |
Class C | | | 3,885 | | |
Transfer agent fees | | | 282,529 | | |
Registration fees | | | 36,436 | | |
Printing fees | | | 34,490 | | |
Trustees' fees | | | 33,792 | | |
Audit and tax fees | | | 25,150 | | |
Custodian fees | | | 21,767 | | |
Legal fees | | | 12,893 | | |
Insurance expense | | | 9,903 | | |
Commitment fees (Note 4) | | | 7,136 | | |
Recoupment of previously waived fees (Note 3) | | | 31,582 | | |
Miscellaneous expense | | | 5,236 | | |
Total expenses | | | 2,688,901 | | |
Net investment loss | | | (2,472,050 | ) | |
Net Realized and Unrealized Gain (Loss) from Investments,
Futures Contracts, Swap Contracts and Foreign Currency Related Items | |
Net realized loss from investments | | | (12,185 | ) | |
Net realized gain from futures contracts | | | 22,313,809 | | |
Net realized gain from swap contracts | | | 37,161,591 | | |
Net realized loss from foreign currency transactions | | | (3 | ) | |
Net change in unrealized appreciation (depreciation) from investments | | | (558,937 | ) | |
Net change in unrealized appreciation (depreciation) from futures contracts | | | 14,837,437 | | |
Net change in unrealized appreciation (depreciation) from swap contracts | | | (7,129,588 | ) | |
Net change in unrealized appreciation (depreciation) from foreign currency translations | | | (115,680 | ) | |
Net realized and unrealized gain from investments, futures contracts, swap contracts
and foreign currency related items | | | 66,496,444 | | |
Net increase in net assets resulting from operations | | $ | 64,024,394 | | |
See Accompanying Notes to Consolidated Financial Statements.
12
Credit Suisse Managed Futures Strategy Fund
Consolidated Statements of Changes in Net Assets
| | | For the Six Months
Ended
April 30, 2022
(unaudited) | | For the Year
Ended
October 31, 2021 | |
From Operations | |
Net investment loss | | $ | (2,472,050 | ) | | $ | (4,673,272 | ) | |
Net realized gain from investments, futures contracts,
swap contracts and foreign currency transactions | | | 59,463,212 | | | | 47,819,590 | | |
Net change in unrealized appreciation (depreciation)
from investments, futures contracts, swap contracts
and foreign currency translations | | | 7,033,232 | | | | 17,259,958 | | |
Net increase in net assets resulting from operations | | | 64,024,394 | | | | 60,406,276 | | |
From Distributions | |
From distributable earnings | |
Class I | | | (30,898,287 | ) | | | — | | |
Class A | | | (1,197,838 | ) | | | — | | |
Class C | | | (59,319 | ) | | | — | | |
Net decrease in net assets resulting from distributions | | | (32,155,444 | ) | | | — | | |
| From Capital Share Transactions (Note 6) | |
Proceeds from sale of shares | | | 71,430,034 | | | | 115,449,710 | | |
Reinvestment of distributions | | | 30,992,733 | | | | — | | |
Net asset value of shares redeemed | | | (68,974,091 | ) | | | (72,812,475 | ) | |
Net increase in net assets from capital share transactions | | | 33,448,676 | | | | 42,637,235 | | |
Net increase in net assets | | | 65,317,626 | | | | 103,043,511 | | |
Net Assets | |
Beginning of period | | | 398,794,627 | | | | 295,751,116 | | |
End of period | | $ | 464,112,253 | | | $ | 398,794,627 | | |
See Accompanying Notes to Consolidated Financial Statements.
13
Credit Suisse Managed Futures Strategy Fund
Consolidated Financial Highlights
(For a Class I Share of the Fund Outstanding Throughout Each Period)
| | | For the Six
Months Ended
April 30, 2022 | | For the Year Ended October 31, | |
| | | (unaudited) | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 | |
Per share data | |
Net asset value, beginning of period | | $ | 11.05 | | | $ | 9.26 | | | $ | 9.94 | | | $ | 9.79 | | | $ | 10.49 | | | $ | 10.94 | | |
INVESTMENT OPERATIONS | |
Net investment income (loss)1 | | | (0.06 | ) | | | (0.13 | ) | | | (0.03 | ) | | | 0.04 | | | | (0.02 | ) | | | (0.10 | ) | |
Net gain (loss) from investments,
futures contracts, swap contracts
and foreign currency related items
(both realized and unrealized) | | | 1.64 | | | | 1.92 | | | | (0.48 | ) | | | 0.11 | | | | (0.68 | ) | | | (0.06 | ) | |
Total from investment operations | | | 1.58 | | | | 1.79 | | | | (0.51 | ) | | | 0.15 | | | | (0.70 | ) | | | (0.16 | ) | |
LESS DIVIDENDS AND DISTRIBUTIONS | |
Dividends from net investment income | | | (0.86 | ) | | | — | | | | (0.17 | ) | | | — | | | | — | | | | — | | |
Distributions from net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (0.29 | ) | |
Total dividends and distributions | | | (0.86 | ) | | | — | | | | (0.17 | ) | | | — | | | | — | | | | (0.29 | ) | |
Net asset value, end of period | | $ | 11.77 | | | $ | 11.05 | | | $ | 9.26 | | | $ | 9.94 | | | $ | 9.79 | | | $ | 10.49 | | |
Total return2 | | | 15.78 | % | | | 19.33 | % | | | (5.22 | )% | | | 1.53 | % | | | (6.67 | )% | | | (1.60 | )% | |
RATIOS AND SUPPLEMENTAL DATA | |
Net assets, end of period (000s omitted) | | $ | 440,684 | | | $ | 382,293 | | | $ | 282,365 | | | $ | 318,590 | | | $ | 227,703 | | | $ | 201,478 | | |
Ratio of net expenses to average
net assets | | | 1.30 | %3 | | | 1.30 | % | | | 1.30 | % | | | 1.30 | % | | | 1.30 | % | | | 1.30 | % | |
Ratio of net investment income
(loss) to average net assets | | | (1.19 | )%3 | | | (1.28 | )% | | | (0.34 | )% | | | 0.42 | % | | | (0.15 | )% | | | (0.99 | )% | |
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements | | | — | %3 | | | 0.02 | % | | | 0.05 | % | | | 0.02 | % | | | 0.03 | % | | | 0.09 | % | |
Portfolio turnover rate4 | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % | |
1 Per share information is calculated using the average shares outstanding method.
2 Total returns are historical and include change 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 for periods less than one year are not annualized.
3 Annualized.
4 Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
See Accompanying Notes to Consolidated Financial Statements.
14
Credit Suisse Managed Futures Strategy Fund
Consolidated Financial Highlights
(For a Class A Share of the Fund Outstanding Throughout Each Period)
| | | For the Six
Months Ended
April 30, 2022 | | For the Year Ended October 31, | |
| | | (unaudited) | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 | |
Per share data | |
Net asset value, beginning of period | | $ | 10.88 | | | $ | 9.14 | | | $ | 9.82 | | | $ | 9.69 | | | $ | 10.41 | | | $ | 10.88 | | |
INVESTMENT OPERATIONS | |
Net investment income (loss)1 | | | (0.08 | ) | | | (0.16 | ) | | | (0.05 | ) | | | 0.01 | | | | (0.05 | ) | | | (0.12 | ) | |
Net gain (loss) from investments,
futures contracts, swap contracts
and foreign currency related items
(both realized and unrealized) | | | 1.62 | | | | 1.90 | | | | (0.49 | ) | | | 0.12 | | | | (0.67 | ) | | | (0.06 | ) | |
Total from investment operations | | | 1.54 | | | | 1.74 | | | | (0.54 | ) | | | 0.13 | | | | (0.72 | ) | | | (0.18 | ) | |
LESS DIVIDENDS AND DISTRIBUTIONS | |
Dividends from net investment income | | | (0.83 | ) | | | — | | | | (0.14 | ) | | | — | | | | — | | | | — | | |
Distributions from net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (0.29 | ) | |
Total dividends and distributions | | | (0.83 | ) | | | — | | | | (0.14 | ) | | | — | | | | — | | | | (0.29 | ) | |
Net asset value, end of period | | $ | 11.59 | | | $ | 10.88 | | | $ | 9.14 | | | $ | 9.82 | | | $ | 9.69 | | | $ | 10.41 | | |
Total return2 | | | 15.64 | % | | | 19.04 | % | | | (5.53 | )% | | | 1.34 | % | | | (6.92 | )% | | | (1.79 | )% | |
RATIOS AND SUPPLEMENTAL DATA | |
Net assets, end of period (000s omitted) | | $ | 22,724 | | | $ | 15,682 | | | $ | 12,506 | | | $ | 24,234 | | | $ | 50,474 | | | $ | 98,756 | | |
Ratio of net expenses to average
net assets | | | 1.55 | %3 | | | 1.55 | % | | | 1.55 | % | | | 1.55 | % | | | 1.55 | % | | | 1.55 | % | |
Ratio of net investment income
(loss) to average net assets | | | (1.43 | )%3 | | | (1.53 | )% | | | (0.51 | )% | | | 0.14 | % | | | (0.50 | )% | | | (1.20 | )% | |
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements | | | — | %3 | | | 0.02 | % | | | 0.05 | % | | | 0.02 | % | | | 0.03 | % | | | 0.09 | % | |
Portfolio turnover rate4 | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % | |
1 Per share information is calculated using the average shares outstanding method.
2 Total returns are historical and include change in share price, reinvestment of all dividends and distributions and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.
3 Annualized.
4 Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
See Accompanying Notes to Consolidated Financial Statements.
15
Credit Suisse Managed Futures Strategy Fund
Consolidated Financial Highlights
(For a Class C Share of the Fund Outstanding Throughout Each Period)
| | | For the Six
Months Ended
April 30, 2022 | | For the Year Ended October 31, | |
| | | (unaudited) | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 | |
Per share data | |
Net asset value, beginning of period | | $ | 10.28 | | | $ | 8.70 | | | $ | 9.351 | | | $ | 9.29 | | | $ | 10.06 | | | $ | 10.60 | | |
INVESTMENT OPERATIONS | |
Net investment loss2 | | | (0.11 | ) | | | (0.22 | ) | | | (0.14 | ) | | | (0.06 | ) | | | (0.12 | ) | | | (0.20 | ) | |
Net gain (loss) from investments,
futures contracts, swap contracts
and foreign currency related items
(both realized and unrealized) | | | 1.53 | | | | 1.80 | | | | (0.44 | ) | | | 0.12 | | | | (0.65 | ) | | | (0.05 | ) | |
Total from investment operations | | | 1.42 | | | | 1.58 | | | | (0.58 | ) | | | 0.06 | | | | (0.77 | ) | | | (0.25 | ) | |
LESS DIVIDENDS AND DISTRIBUTIONS | |
Dividends from net investment income | | | (0.75 | ) | | | — | | | | (0.07 | ) | | | — | | | | — | | | | — | | |
Distributions from net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (0.29 | ) | |
Total dividends and distributions | | | (0.75 | ) | | | — | | | | (0.07 | ) | | | — | | | | — | | | | (0.29 | ) | |
Net asset value, end of period | | $ | 10.95 | | | $ | 10.28 | | | $ | 8.70 | | | $ | 9.351 | | | $ | 9.29 | | | $ | 10.06 | | |
Total return3 | | | 15.20 | % | | | 18.16 | % | | | (6.24 | )% | | | 0.65 | % | | | (7.65 | )% | | | (2.52 | )% | |
RATIOS AND SUPPLEMENTAL DATA | |
Net assets, end of period (000s omitted) | | $ | 704 | | | $ | 820 | | | $ | 880 | | | $ | 324 | | | $ | 1,658 | | | $ | 3,365 | | |
Ratio of net expenses to average
net assets | | | 2.30 | %4 | | | 2.30 | % | | | 2.30 | % | | | 2.30 | % | | | 2.30 | % | | | 2.30 | % | |
Ratio of net investment loss to
average net assets | | | (2.20 | )%4 | | | (2.28 | )% | | | (1.56 | )% | | | (0.64 | )% | | | (1.22 | )% | | | (2.01 | )% | |
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements | | | — | %4 | | | 0.02 | % | | | 0.05 | % | | | 0.02 | % | | | 0.04 | % | | | 0.09 | % | |
Portfolio turnover rate5 | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % | |
1 Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon net asset values may differ from the net asset values and returns for shareholder transactions.
2 Per share information is calculated using the average shares outstanding method.
3 Total returns are historical and include change in share price, reinvestment of all dividends and distributions and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.
4 Annualized.
5 Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
See Accompanying Notes to Consolidated Financial Statements.
16
Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements
April 30, 2022 (unaudited)
Credit Suisse Managed Futures Strategy Fund (the "Fund"), a series of Credit Suisse Opportunity Funds (the "Trust"), a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a non-diversified open-end management investment company that seeks to achieve investment results that correspond generally to the risk and return patterns of managed futures funds. The Trust was organized under the laws of the State of Delaware as a business trust on May 31, 1995.
Credit Suisse Asset Management, LLC ("Credit Suisse"), the investment adviser to the Fund, is registered as an investment adviser with the Securities and Exchange Commission and as a Commodity Pool Operator with the Commodity Futures Trading Commission. The Fund seeks to achieve its investment objective by investing directly and/or indirectly through the Credit Suisse Cayman Managed Futures Strategy Fund, Ltd. (the "Subsidiary"), a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands, in a combination of securities and derivative instruments. The Subsidiary invests in commodity-linked derivative instruments, such as swaps and futures, as well as other types of futures, swaps and options. The Subsidiary may also invest in debt securities, some of which are intended to serve as margin or collateral for the Subsidiary's derivatives positions.
The Subsidiary is managed by the same portfolio managers that manage the Fund and the accompanying financial statements reflect the financial position of the Fund and the Subsidiary and the results of operations on a consolidated basis. The consolidated financial statements include portfolio holdings of the Fund and the Subsidiary and all intercompany transactions and balances have been eliminated. The Fund may invest up to 25% of its total assets in the Subsidiary. As of April 30, 2022, the Fund held $78,147,827 in the Subsidiary, representing 16.8% of the Fund's consolidated net assets. For the six months ended April 30, 2022, the net realized gain on securities and other financial instruments held in the Subsidiary was $37,009,477.
Subsequent references to the Fund within the Notes to Consolidated Financial Statements collectively refer to the Fund and the Subsidiary, unless the context otherwise requires.
The Fund offers three classes of shares: Class I shares, Class A shares and Class C shares. Each class of shares represents an equal pro rata interest in the Fund, except the share classes bear different expenses. Class A shares are sold subject to a front-end sales charge of up to 5.25%. Class C shares are sold subject to a contingent deferred sales charge ("CDSC") of 1.00% if the shares are
17
Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 1. Organization (continued)
redeemed within the first year of purchase. Class I shares are sold without a sales charge. Effective June 30, 2021, Class C shares, upon the eight year anniversary of purchase, will convert to Class A shares.
Note 2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its consolidated financial statements. The policies are in accordance with generally accepted accounting principles in the United States of America ("GAAP"). The preparation of consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the consolidated financial statements. Actual results could differ from those estimates. The Fund is considered an investment company for financial reporting purposes under GAAP and follows the accounting and reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 — Financial Services — Investment Companies.
A) SECURITY VALUATION — The Board of Trustees (the "Board") is responsible for the Fund's valuation process. The Board has delegated the supervision of the daily valuation process to Credit Suisse Asset Management, LLC, the Fund's investment adviser ("Credit Suisse" or the "Adviser"), who has established a Pricing Committee which, pursuant to the policies adopted by the Board, is responsible for making fair valuation determinations and overseeing the Fund's pricing policies. The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the "Exchange") on each day the Exchange is open for business. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional "round lot" size, but some trades occur in smaller "odd lot" sizes which may be effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued
18
Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Over-the-counter derivative financial instruments, such as swap agreements, generally derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more brokers/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, these securities will be fair valued in good faith by the Pricing Committee, in accordance with procedures adopted by the Board.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
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.)
19
Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
• Level 3 – significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of April 30, 2022 in valuing the Fund's assets and liabilities carried at fair value:
Assets | | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities | |
United States Treasury Obligations | | $ | — | | | $ | 226,540,337 | | | $ | — | | | $ | 226,540,337 | | |
Short-term Investments | | | 141,194,574 | | | | — | | | | — | | | | 141,194,574 | | |
| | | $ | 141,194,574 | | | $ | 226,540,337 | | | $ | — | | | $ | 367,734,911 | | |
Other Financial Instruments* | |
Futures Contracts | | $ | 31,602,239 | | | $ | — | | | $ | — | | | $ | 31,602,239 | | |
Swap Contracts | | | — | | | | 1,930,341 | | | | — | | | | 1,930,341 | | |
Liabilities | | Level 1 | | Level 2 | | Level 3 | | Total | |
Other Financial Instruments* | |
Futures Contracts | | $ | 1,430,046 | | | $ | — | | | $ | — | | | $ | 1,430,046 | | |
Swap Contracts | | | — | | | | 691,465 | | | | — | | | | 691,465 | | |
* Other financial instruments include unrealized appreciation (depreciation) on futures and swap contracts.
For the six months ended April 30, 2022, there were no transfers among Level 2 and Level 3. All transfers, if any, are assumed to occur at the end of the reporting period.
B) DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES — The Fund adopted amendments to authoritative guidance on disclosures about derivative instruments and hedging activities which require that a fund disclose (a) how and why an entity uses derivative instruments, (b) how derivative instruments and hedging activities are accounted for and (c) how derivative instruments and related hedging activities affect a fund's financial position, financial performance and cash flows. For the six months ended April 30, 2022, the Fund's derivatives did not qualify for hedge accounting as they are held at fair value.
The following table presents the fair value and the location of derivatives within the Consolidated Statement of Assets and Liabilities at April 30, 2022 and the effect of these derivatives on the Consolidated Statement of Operations for the six months ended April 30, 2022.
20
Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
Primary Underlying Risk | | Derivative
Assets(1) | | Derivative
Liabilities(1) | | Realized Gain
(Loss) | | Change in Unrealized
Appreciation (Depreciation) | |
Foreign currency exchange rate | |
Futures contracts(2) | | $ | 14,676,866 | | | $ | — | | | $ | 13,959,013 | | | $ | 8,567,304 | | |
Index Contracts | |
Futures contracts(2) | | | 857,214 | | | | 1,430,046 | | | | (783,644 | ) | | | (3,369,516 | ) | |
Swap contracts | | | 1,930,341 | | | | 691,465 | | | | 37,161,591 | | | | (7,129,588 | ) | |
Interest rate | |
Futures contracts(2) | | | 16,068,159 | | | | — | | | | 9,138,440 | | | | 9,639,649 | | |
Total | | $ | 33,532,580 | | | $ | 2,121,511 | | | $ | 59,475,400 | | | $ | 7,707,849 | | |
(1) Generally, the balance sheet location for asset derivatives is receivables/net unrealized appreciation (depreciation) and for liability derivatives is payables/net unrealized appreciation (depreciation).
(2) Includes cumulative appreciation (depreciation) of futures contracts as reported in the Consolidated Schedule of Investments. Only variation margin is reported within the receivables and/or payables on the Consolidated Statement of Assets and Liabilities.
The notional amount of futures contracts and swap contracts open at April 30, 2022 is reflected in the Consolidated Schedule of Investments. For the six months ended April 30, 2022, the Fund held average monthly notional values of $192,946,436, $1,067,769,726 and $171,422,094 in long futures contracts, short futures contracts and swap contracts, respectively.
The Fund is a party to International Swap and Derivatives Association, Inc. ("ISDA") Master Agreements ("Master Agreements") with certain counterparties that govern over-the-counter derivative (including total return, credit default and interest rate swaps) and foreign exchange contracts entered into by the Fund. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. Termination events applicable to the Fund may occur upon a decline in the Fund's net assets below a specified threshold over a certain period of time.
The following table presents by counterparty the Fund's derivative assets, net of related collateral held by the Fund, at April 30, 2022:
Counterparty | | Gross Amount
of Derivative
Assets Presented in
the Consolidated
Statement of Assets
and Liabilities(a) | | Financial
Instruments
and Derivatives
Available for Offset | | Non-Cash
Collateral
Received | | Cash
Collateral
Received(b) | | Net Amount
of Derivative
Assets | |
Bank of America | | $ | 1,930,341 | | | $ | (8,000 | ) | | $ | — | | | $ | — | | | $ | 1,922,341 | | |
21
Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
The following table presents by counterparty the Fund's derivative liabilities, net of related collateral pledged by the Fund, April 30, 2022:
Counterparty | | Gross Amount
of Derivative
Liabilities Presented
in the Consolidated
Statement of Assets
and Liabilities(a) | | Financial
Instruments
and Derivatives
Available for Offset | | Non-Cash
Collateral
Pledged | | Cash
Collateral
Pledged(b) | | Net Amount
of Derivative
Liabilities | |
Bank of America | | $ | 8,000 | | | $ | (8,000 | ) | | $ | — | | | $ | — | | | $ | — | | |
Goldman Sachs | | | 683,465 | | | | — | | | | — | | | | (683,465 | ) | | | — | | |
| | | $ | 691,465 | | | $ | (8,000 | ) | | $ | — | | | $ | (683,465 | ) | | $ | — | | |
(a) Swap contracts are included.
(b) The actual collateral pledged may be more than the amounts shown.
C) SECURITY TRANSACTIONS AND INVESTMENT INCOME/EXPENSE — Security transactions are accounted for on a trade date basis. Interest income/expense is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Dividend income/expense is recorded on the ex-dividend date. Certain expenses are class-specific expenses, vary by class and are charged only to that class. Income, expenses (excluding class-specific expenses) and realized/unrealized gains/losses are allocated proportionately to each class of shares based upon the relative net asset value of the outstanding shares of that class. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.
D) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income, if any, 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. Dividends and distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations, which may differ from GAAP.
E) FEDERAL AND OTHER TAXES — No provision is made for federal taxes as it is the Fund's intention to continue to qualify as a regulated investment company ("RIC") under the Internal Revenue Code of 1986, as amended (the "Code"), and to make the requisite distributions to its shareholders, which will be sufficient to relieve it from federal income and excise taxes.
22
Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
In order to qualify as a RIC under the Code, the Fund must meet certain requirements regarding the source of its income, the diversification of its assets and the distribution of its income. One of these requirements is that the Fund derive at least 90% of its gross income for each taxable year from dividends, interest, payments with respect to certain securities loans, gains from the sale or other disposition of stock, securities or foreign currencies, other 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 Internal Revenue Service ("IRS") has issued a ruling that income realized from certain types of commodity-linked derivatives would not be Qualifying Income. As a result, the Fund's ability to realize income from investments in such commodity-linked derivatives as part of its investment strategy would be limited to a maximum of 10% of its gross income.
If the Fund is unable to ensure continued qualification as a RIC, the Fund may be required to change its investment objective, policies or techniques, or may be liquidated. If the Fund fails to qualify as a RIC, the Fund 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 Fund were to fail to qualify as a RIC and become subject to federal income tax, shareholders of the Fund would be subject to the risk of diminished returns.
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. The Fund's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
F) CASH — The Fund's uninvested cash balance is held in an interest bearing variable rate demand deposit account at State Street Bank and Trust Company ("SSB"), the Fund's custodian.
G) 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 interest rates, equity
23
Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
and market price movements and/or currency risks. Upon entering into a futures contract, the Fund is required to deposit cash and/or pledge U.S. Government securities as initial margin with a Futures Commission Merchant ("FCM"). 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 in the Consolidated Statement of Operations 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 transaction and the Fund's basis in the contract. Risks of entering into futures contracts for hedging purposes include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. Futures have minimal counterparty credit risk because 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. The Fund's open futures contracts are disclosed in the Consolidated Schedule of Investments. At April 30, 2022, the amount of restricted cash held at brokers related to open futures contracts was $87,157,348.
The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM's proprietary activities. A customer's cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM's segregation requirements. In the event of an FCM's insolvency, recovery may be limited to the Fund's pro-rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited.
H) SWAPS — The Fund may enter into swap contracts either for hedging purposes or to seek to increase total return. A swap contract 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 swap contracts 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 extent of the Fund's exposure
24
Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
to credit and counterparty risks is the discounted net value of the cash flows to be received from the counterparty over the contract's remaining life, to the extent that the amount is positive. These risks are 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 as well as the amounts posted by the counterparty pursuant to the master netting agreement to a swap contract in evaluating potential credit risk. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying reference asset or index.
The Fund may enter into total return swap contracts, involving commitments to pay interest in exchange for a market-linked return, both based on notional amounts. The Fund may invest in total return swap contracts for hedging purposes or to seek to increase total return. To the extent the total return of the security or index underlying the transaction 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 from swap contracts. Realized gains and losses from terminated swaps are included in net realized gains/losses from swap contracts. The Fund's open swap contracts are disclosed in the Consolidated Schedule of Investments. At April 30, 2022, the amount of restricted cash held at brokers related to open swap contracts was $10,080,000.
I) SECURITIES LENDING — The initial collateral received by the Fund is required to have a value of at least 102% of the market value of domestic securities on loan (including any accrued interest thereon) and 105% of the market value of foreign securities on loan (including any accrued interest thereon). The collateral is maintained thereafter at a value equal to at least 102% of the current market value of the securities on loan. The market value of loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day. Cash collateral received by the Fund in connection with securities lending activity may be
25
Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
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 Fund'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 Fund to act as the Fund's securities lending agent. The Fund's securities lending arrangement provides that the Fund and SSB will share the net income earned from securities lending activities. Securities lending income is accrued as earned. At April 30, 2022 and during the six months ended April 30, 2022, there were no securities out on loan.
J) OTHER — In the normal course of business, the Fund trades financial instruments and enters into financial transactions for which risk of potential loss exists due to changes in the market (market risk) or failure of the other party to a transaction to perform (credit risk). Similar to credit risk, the Fund may be exposed to counterparty risk, including with respect to securities lending, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. The potential loss could exceed the value of the financial assets recorded in the consolidated financial statements. Financial assets, which potentially expose the Fund to credit risk, consist principally of cash due from counterparties and investments. The extent of the Fund's exposure to credit and counterparty risks in respect to these financial assets approximates their carrying value as recorded in the Fund's Consolidated Statement of Assets and Liabilities.
Note 3. Transactions with Affiliates and Related Parties
Credit Suisse serves as investment adviser and co-administrator for the Fund. For its investment advisory and administration services, Credit Suisse is entitled to receive a fee from the Fund at an annualized rate of 1.04% of the Fund's average daily net assets. For the six months ended April 30, 2022, investment advisory and administration fees by Credit Suisse were $2,131,195. Credit Suisse has contractually agreed to limit expenses so that the Fund's annual operating expenses do not exceed 1.30% of the Fund's average daily net assets for Class I shares, 1.55% of the Fund's average daily net assets for Class A shares, and 2.30% of the Fund's average daily net assets for Class C shares. The Fund is authorized to reimburse Credit Suisse for management fees previously limited and/or for expenses previously reimbursed by Credit Suisse, provided, however, that any reimbursements must be paid at a date
26
Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 3. Transactions with Affiliates and Related Parties (continued)
not more than thirty-six months following the applicable month during which such fees were limited or expenses were reimbursed by Credit Suisse and the reimbursements do not cause the Fund to exceed the applicable expense limitation in the contract at the time the fees are recouped. This contract may not be terminated before February 28, 2023. For the six months ended April 30, 2022, Credit Suisse recouped $31,582 ($30,225 in Class I , $1,298 in Class A, and $59 in Class C) of previously waived fees and expense reimbursements.
The amounts waived and reimbursed by Credit Suisse, which are available for potential future recoupment by Credit Suisse, and the expiration schedule at April 30, 2022 are as follows:
| | | Fee waivers/expense
reimbursements
subject to
recoupment | | Expires
October 31,
2023 | | Expires
October 31,
2024 | |
Class I | | $ | 182,947 | | | $ | 115,967 | | | $ | 66,980 | | |
Class A | | | 10,235 | | | | 7,486 | | | | 2,749 | | |
Class C | | | 312 | | | | 145 | | | | 167 | | |
Totals | | $ | 193,494 | | | $ | 123,598 | | | $ | 69,896 | | |
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 April 30, 2022, co-administrative services fees earned by SSB (including out-of-pocket expenses) with respect to the Fund were $31,885.
Credit Suisse Securities (USA) LLC ("CSSU"), an affiliate of Credit Suisse, serves as the distributor of the Fund's shares. Pursuant to a distribution plan adopted by the Fund pursuant to Rule 12b-1 under the 1940 Act, CSSU receives fees for its distribution services. These fees are calculated at an annual rate of 0.25% of the average daily net assets of the Class A shares. For the Class C shares, the fee is calculated at an annual rate of 1.00% of the average daily net assets. For the six months ended April 30, 2022, the Fund paid Rule 12b-1 distribution fees of $21,022 for Class A shares and $3,885 for Class C shares. Class I shares are not subject to Rule 12b-1 distribution fees.
For the six months ended April 30, 2022, CSSU and its affiliates advised the Fund that they retained $167 from commissions earned on the sale of the Fund's Class A shares.
27
Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
The Fund, together with other funds/portfolios advised by Credit Suisse (collectively, the "Participating Funds"), participates in a committed, unsecured line of credit facility ("Credit Facility"), with SSB in an aggregated amount of $125 million for temporary or emergency purposes under a first-come, first-served basis. 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 Federal Funds Effective rate or the Overnight Bank Funding rate plus a spread. At April 30, 2022 and during the six months ended April 30, 2022, the Fund had no borrowings outstanding under the Credit Facility.
Note 5. Purchases and Sales of Securities
For the six months ended April 30, 2022, 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 | |
| $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | |
Note 6. Capital Share Transactions
The Fund is authorized to issue an unlimited number of full and fractional shares of beneficial interest, $.001 par value per share. The Fund offers Class I, Class A and Class C shares. Transactions in capital shares for each class of the Fund were as follows:
| | | Class I | |
| | For the Six Months Ended
April 30, 2022 (unaudited) | | For the Year Ended
October 31, 2021 | |
| | Shares | | Value | | Shares | | Value | |
Shares sold | | | 6,142,178 | | | $ | 64,031,189 | | | | 10,628,646 | | | $ | 109,149,311 | | |
Shares issued in reinvestment
of distributions | | | 3,008,390 | | | | 29,783,058 | | | | — | | | | — | | |
Shares redeemed | | | (6,303,327 | ) | | | (65,807,166 | ) | | | (6,519,723 | ) | | | (67,300,320 | ) | |
Net increase | | | 2,847,241 | | | $ | 28,007,081 | | | | 4,108,923 | | | $ | 41,848,991 | | |
28
Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 6. Capital Share Transactions (continued)
| | Class A | |
| | For the Six Months Ended
April 30, 2022 (unaudited) | | For the Year Ended
October 31, 2021 | |
| | Shares | | Value | | Shares | | Value | |
Shares sold | | | 676,541 | | | $ | 7,347,645 | | | | 594,107 | | | $ | 6,290,399 | | |
Shares issued in reinvestment
of distributions | | | 118,023 | | | | 1,150,720 | | | | — | | | | — | | |
Shares redeemed | | | (274,998 | ) | | | (2,888,356 | ) | | | (520,822 | ) | | | (5,300,627 | ) | |
Net increase | | | 519,566 | | | $ | 5,610,009 | | | | 73,285 | | | $ | 989,772 | | |
| | Class C | |
| | For the Six Months Ended
April 30, 2022 (unaudited) | | For the Year Ended
October 31, 2021 | |
| | Shares | | Value | | Shares | | Value | |
Shares sold | | | 4,659 | | | $ | 51,200 | | | | 1,013 | | | $ | 10,000 | | |
Shares issued in reinvestment
of distributions | | | 6,380 | | | | 58,955 | | | | — | | | | — | | |
Shares redeemed | | | (26,493 | ) | | | (278,569 | ) | | | (22,402 | ) | | | (211,528 | ) | |
Net decrease | | | (15,454 | ) | | $ | (168,414 | ) | | | (21,389 | ) | | $ | (201,528 | ) | |
On April 30, 2022, the number of shareholders that held 5% or more of the outstanding shares of each class of the Fund was as follows:
| | | Number of
Shareholders | | Approximate Percentage
of Outstanding Shares | |
Class I | | | 5 | | | | 86 | % | |
Class A | | | 1 | | | | 82 | % | |
Class C | | | 1 | | | | 87 | % | |
The Fund's performance may be negatively impacted in the event one or more of the Fund's greater than 5% shareholders were to redeem at a given time. Some of the shareholders may be omnibus accounts, which hold shares on behalf of individual shareholders.
Note 7. 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.
29
Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 8. Subsequent Events
In preparing the financial statements as of April 30, 2022, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements through the date of release of this report. No such events requiring recognition or disclosure were identified through the date of the release of this report.
30
Credit Suisse Managed Futures Strategy Fund
Board Approval of Investment Management Agreement (unaudited)
In approving the renewal of the amended and restated investment management agreement (the "Investment Management Agreement") for the Credit Suisse Managed Futures Strategy Fund (the "Fund"), a series of Credit Suisse Opportunity Funds (the "Trust"), the Board of Trustees of the Trust (the "Board"), including all of the trustees who are not "interested persons" of the Trust as defined in the Investment Company Act of 1940 (the "Independent Trustees"), at a special telephonic meeting held on November 8, 2021 where the Board discussed information and materials previously provided to them in connection with the renewal of the Investment Management Agreement, and at a meeting held via Zoom on November 15 and 16, 2021, considered the following factors:
Investment Management Fee Rates and Expenses
The Board reviewed and considered the contractual management fee rate of 1.04% of the Fund's average daily net assets (the "Contractual Management Fee") for the Fund in light of the extent and quality of the management services provided by Credit Suisse Asset Management, LLC ("Credit Suisse"), the Fund's investment manager. The Board also considered that Credit Suisse has entered into a contractual expense limitation agreement ("Expense Limitation Agreement") limiting the Fund's total net expenses to 1.55%, 2.30% and 1.30% of the average daily net assets of Class A, Class C and Class I, respectively, until February 28, 2023.
Additionally, the Board received and considered information comparing the Fund's Contractual Management Fee, the Fund's Contractual Management Fee less waivers and/or reimbursements ("Net Management Fee") and the Fund's overall expenses with those of funds in both the relevant expense group ("Expense Group") and universe of funds ("Expense Universe") provided by Broadridge, an independent provider of investment company data. The Board noted that the Fund's Contractual Management Fee, Net Management Fee and overall expenses were within the middle range of its peers as presented in the Broadridge report. The Board was provided with a description of the methodology used to arrive at the funds included in the Expense Group and the Expense Universe.
Nature, Extent and Quality of the Services under the Management Agreement
The Board received and considered information regarding the nature, extent and quality of services provided to the Fund by Credit Suisse under the Investment Management Agreement. The Board also noted information
31
Credit Suisse Managed Futures Strategy Fund
Board Approval of Investment Management Agreement (unaudited) (continued)
received at regular meetings throughout the year related to the services rendered by Credit Suisse which, in addition to portfolio management and investment management services set forth in the Investment Management Agreement, included credit analysis and research, supervising the day-to-day operations of the Fund's non-advisory functions which include accounting, administration, custody, transfer agent and other applicable third party service providers, overseeing and facilitating audits, overseeing the Fund's credit facility and supervising and/or preparing applicable Fund filings, disclosures and shareholder reports. The Board noted that the extensive investment management services provided by Credit Suisse included broad supervisory responsibility and oversight over other service providers to the Fund. The Board also considered Credit Suisse's compliance program with respect to the Fund. The Board noted that Credit Suisse reports to the Board about portfolio management and compliance matters on a periodic basis. The Board reviewed background information about Credit Suisse including its Form ADV Part 2 — Disclosure Brochure and Brochure Supplement. The Board considered the background and experience of Credit Suisse's senior management and the expertise of, and the amount of attention given to the Fund by, senior personnel of Credit Suisse. In addition, the Board reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day portfolio management of the Fund and the extent of the resources devoted to research and analysis of actual and potential investments, as well as the resources provided to them. The Board evaluated the ability of Credit Suisse, based on its resources, reputation and other attributes, to attract and retain qualified investment professionals including research, advisory, and supervisory personnel. The Board also received and considered information about the nature, extent and quality of services and fee rates offered to other Credit Suisse clients for comparable services. The Board acknowledged Credit Suisse's representation that the services provided to the Fund are more extensive than the services provided in connection with other types of accounts, such as separate accounts, offered by Credit Suisse and the services are also more extensive from those offered and provided to a sub-advised fund. The Board also considered that the services provided by Credit Suisse have expanded over time as a result of regulatory and other developments.
Fund Performance
The Board received and considered performance results of the Fund over the previous year as well as over longer time periods, along with comparisons both to the relevant performance group ("Performance Group") and universe
32
Credit Suisse Managed Futures Strategy Fund
Board Approval of Investment Management Agreement (unaudited) (continued)
of funds ("Performance Universe") for the Fund provided in the Broadridge materials. The Board was provided with a description of the methodology used to arrive at the funds included in the Performance Group and the Performance Universe. The Board noted that the Fund outperformed its Performance Universe for the one-year period reported, and had varying performance compared to its Performance Universe over various longer investment periods reported. The Board also considered the investment performance of the Fund relative to its stated objectives.
Credit Suisse Profitability
The Board received and considered a profitability analysis of Credit Suisse based on the fees payable under the Investment Management Agreement for the Fund, including any fee waivers, as well as other relationships between the Fund on the one hand and Credit Suisse affiliates on the other. The Board deliberations also reflected, in the context of Credit Suisse's profitability, Credit Suisse's methodology for allocating costs to the Fund, recognizing that cost allocation methodologies are inherently subjective. The Board also received net profitability information for the other funds in the Credit Suisse family of funds, which include both open-end and closed-end funds. The Board also reviewed Credit Suisse's profit margin as reflected in the profitability analysis, as well as reviewing profitability in light of appropriate court cases and the services rendered to the Fund.
Economies of Scale
The Board considered information regarding whether there have been economies of scale with respect to the management of the Fund, whether the Fund has appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Board noted that, if the Fund's asset levels grow, economies of scale potentially could be realized and also noted the expense limitations currently in place between the Fund and Credit Suisse. The Board received information regarding Credit Suisse's profitability in connection with providing investment management services to the Fund, including Credit Suisse's costs in providing the services.
Other Benefits to Credit Suisse
The Board considered other benefits received by Credit Suisse and its affiliates as a result of their relationship with the Fund. Such benefits include, among others, benefits potentially derived from an increase in Credit Suisse's
33
Credit Suisse Managed Futures Strategy Fund
Board Approval of Investment Management Agreement (unaudited) (continued)
businesses and its reputation as a result of its relationship with the Fund (such as the ability to market its advisory services to other clients and investors including separate account or third party sub-advised mandates or other financial products offered by Credit Suisse and its affiliates), as well as the fees paid to an affiliate of Credit Suisse for distribution services.
The Board considered the standards Credit Suisse applied in seeking best execution and Credit Suisse's policies and practices regarding soft dollars and reviewed Credit Suisse's method for allocating portfolio investment opportunities among its advisory clients.
Other Factors and Broader Review
As discussed above, the Board reviewed detailed materials received from Credit Suisse as part of the annual approval process. The Board also reviews and assesses the quality of the services that the Fund receives throughout the year. In this regard, the Board reviews reports of Credit Suisse at least quarterly, which include, among other things, detailed portfolio and market reviews, detailed fund performance reports, and Credit Suisse's compliance procedures.
Conclusions
In selecting Credit Suisse, and approving the renewal of the Investment Management Agreement and the investment management fee under such agreement, the Board concluded that:
• The Contractual Management Fee and Net Management Fee, reviewed along with information provided by Broadridge for the funds in the Fund's Expense Group and Expense Universe, were reasonable in relation to the services provided by Credit Suisse.
• The Board was satisfied with the nature, extent and quality of the investment management services provided to the Fund by Credit Suisse and that, based on dialogue with management and counsel, the services provided by Credit Suisse under the Investment Management Agreement are typical of, and consistent with, those provided to similar mutual funds by other investment managers.
• In light of the costs of providing investment management and other services to the Fund and Credit Suisse's ongoing commitment to the Fund and willingness to waive fees (by agreeing to an expense limitation), Credit Suisse's net profitability based on fees payable under the Investment
34
Credit Suisse Managed Futures Strategy Fund
Board Approval of Investment Management Agreement (unaudited) (continued)
Management Agreement, as well as other ancillary benefits that Credit Suisse and its affiliates received, were considered reasonable.
• In light of the information received and considered by the Board, the Fund's current fee structure was considered reasonable.
No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the renewal of the Investment Management Agreement. The Independent Trustees were advised by separate independent legal counsel throughout the process.
35
Credit Suisse Managed Futures Strategy Fund
Liquidity Risk Management Program (unaudited)
The Fund has adopted and implemented a written liquidity risk management program (the "Liquidity Program") in accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended. The Liquidity Program seeks to assess and manage the Fund's liquidity risk, i.e., the risk that the Fund is unable to satisfy redemption requests without significantly diluting remaining investors' interests in the Fund. The Board of Trustees of the Trust has designated Credit Suisse Asset Management, LLC, the Fund's investment adviser, to administer the Liquidity Program (the "Program Administrator"). Certain aspects of the Liquidity Program rely on third parties to perform certain functions, including the provision of market data and application of models.
Under the Liquidity Program, the Program Administrator assesses, manages and periodically reviews each Fund's liquidity risk and classifies each investment held by each Fund as a "highly liquid investment," "moderately liquid investment," "less liquid investment" or "illiquid investment." The liquidity of the Fund's portfolio investments is determined based on relevant market, trading and investment-specific considerations under the Liquidity Program.
During the six months ended April 30, 2022, the Trust's Board of Trustees received reports from the Program Administrator that included information to address the operations of the Liquidity Program and assess its adequacy and effectiveness of implementation during the period covered by the reports. The reports indicated that the Liquidity Program is reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the reporting period.
There can be no assurance that the Liquidity Program will achieve its objectives under all circumstances in the future. Please refer to the Fund's prospectus for more information regarding the Fund's exposure to illiquidity risk and other risks to which it may be subject.
36
Credit Suisse Managed Futures Strategy Fund
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 investment 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.
37
Credit Suisse Managed Futures Strategy Fund
Notice of Privacy and Information Practices (unaudited) (continued)
• We want our investors to be informed about additional products or services. We do not disclose nonpublic personal information relating to individual investors to our affiliates for marketing purposes, nor do we use such information received from our affiliates to solicit individual investors for such purposes. 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 24, 2022.
38
Credit Suisse Managed Futures Strategy Fund
Proxy Voting and Portfolio Holdings Information (unaudited)
Information regarding how the Fund 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 Fund uses to determine how to vote proxies relating to its portfolio securities are available:
• By calling 1-877-870-2874
• On the Fund's website, www.credit-suisse.com/us/funds
• On the website of the Securities and Exchange Commission, www.sec.gov
The Fund files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund's Forms N-PORT and N-Q are available on the SEC's website at www.sec.gov.
39
P.O. BOX 219916, KANSAS CITY, MO 64121-9916
877-870-2874 ◼ www.credit-suisse.com/us/funds
CREDIT SUISSE SECURITIES (USA) LLC, DISTRIBUTOR. MFS-SAR-0422
CREDIT SUISSE FUNDS
Semiannual Report
April 30, 2022
(unaudited)
◼ CREDIT SUISSE
MULTIALTERNATIVE STRATEGY FUND
The Fund's investment objectives, risks, charges and expenses (which should be considered carefully before investing), and more complete information about the Fund, are provided in the Prospectus, which should be read carefully before investing. You may obtain additional copies by calling 877-870-2874 or by visiting our website at www.credit-suisse.com/us/funds.
Credit Suisse Securities (USA) LLC, Distributor, is located at Eleven Madison Avenue, New York, NY 10010. Credit Suisse Funds are advised by Credit Suisse Asset Management, LLC.
Investors in the Credit Suisse Funds should be aware that they may be eligible to purchase Class I shares (where offered) directly or through certain intermediaries. Such shares are not subject to a sales charge. Investors in the Credit Suisse Funds should also be aware that they may be eligible for a reduction or waiver of the sales charge with respect to Class A or C shares (where offered). For more information, please review the relevant prospectuses or consult your financial representative.
Fund 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. Fund investments are subject to investment risks, including loss of your investment.
Credit Suisse Multialternative Strategy Fund
Semiannual Investment Adviser's Report
April 30, 2022 (unaudited)
June 12, 2022
Dear Shareholder:
We are pleased to present this Semiannual Report covering the activities of the Credit Suisse Multialternative Strategy Fund (the "Fund") for the six-month period ended April 30, 2022.
Performance Summary
11/1/21 – 4/30/22
Fund & Benchmark | | Performance | |
| Class I1 | | | 0.34 | % | |
| Class A1,2 | | | 0.29 | % | |
| ICE BofA US 3-Month Treasury Bill Index3 | | | 0.07 | % | |
Performance shown for the Fund's Class A shares does not reflect sales charges, which are a maximum of 5.25%.2
Market Review: A challenging period
The six-month period ended April 30, 2022, was marked by heterogeneous economic data, increased market turbulence, and risk aversion due to mixed corporate earnings, high inflation reads, the spread of the Omicron variant of COVID-19, and policymakers' lack of decisive action. The ICE BofA US 3-Month Treasury Bill Index, the Fund's benchmark, returned 0.07% for the period.
Interest rates pushed higher in late 2021, while implied equity volatility remained elevated and pressure from hot inflation reads boosted rates further in Q1 2022. Investors rotated out of large-capitalization technology and healthcare stocks and into relatively cheap sectors, turning defensive by favoring companies with near-term cash flows and minimal dependence on global supply chains and foreign markets. Market reactions to macro events, like the developments in Ukraine, dwarfed the impact of typical hedging and rebalancing activity on equity indices — resulting in unusually large intraday equity market reversals and market volatility.
Commodity markets remained tight. The Russia/Ukraine conflict, pro-cyclical policy across Asia, and chronic supply shortages were favorable for commodity markets. Crowded agriculture and energy trades proved profitable, thanks to the tight supply picture across the commodity complex — particularly due to Russian sanctions. Additionally, precious metals increased as sentiment toward them improved as investors fled to safety.
Through the beginning of 2022, there was a disconnect between economic fundamentals and developed market monetary policy, compounded by the
1
Credit Suisse Multialternative Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
escalating sanctions due to the Russia/Ukraine conflict and persistent inflation. This led investors to reassess growth expectations and expect a stagflationary period in the near- to medium-term. In March 2022, policymakers signaled intent to hasten policy movement in line with prevailing economic conditions, but investors were skeptical of their ability to manage economic growth and price stability in the stagflationary environment. Toward the end of the period, COVID-19 lockdowns in China impacted asset repricing, which, along with global growth concerns, weighed on commodity currencies. At the end of the period, the slope of US interest rates steepened despite upward revisions in expectations of the year-end fed funds target rate.
Strategic Review and Outlook: Significant asset rotations
The Fund is designed to serve as a core portfolio diversifier. Our process-driven approach blends quantitative techniques with disciplined oversight and seeks to deliver attractive long-term performance. The Fund seeks to achieve its investment objective by utilizing an investment process that allocates across a range of investment strategies including those that are fundamental (carry and valuation) and tactical (flow, intermediation, and positioning) in nature. The program trades all major asset groups on a global basis, including corporate, real asset, and sovereign.
For the six-month period ended April 30, 2022, the Fund's Class A and I shares outperformed the benchmark, managing to largely preserve investors' capital, while actively seeking return opportunities. The Fund also outperformed typical balanced fund returns (-11.49% for 50/50 stock/bond benchmark, defined as 50% MSCI World TR Index and 50% Bloomberg Global Bond Aggregate Index) by 11.83% (for the Fund's I shares). Flow strategies were the largest positive contributor to relative performance, thanks to strong seasonal dynamics in commodities and a recalibration of policy rate expectations due to disconcerting inflation prints. Valuation strategies also contributed to performance due to a reasonably high degree of dispersion across strategies, tight but better-balanced commodity markets, and the potential for stagflation to flatten longer-term interest rates. Positioning strategies also contributed to relative performance, given erratic intraday trading, commodity market volatility, and market reversals driven by macro events. Conversely, carry strategies detracted from relative performance due to escalating volatility in fixed income and equity markets, decreasing confidence in central bank policy, inconsistent monetary policy, the uneven impacts of the Omicron variant, and the Russia/Ukraine conflict. Intermediation strategies also detracted due to Omicron fears, broadly lower energy futures prices, large interest rate moves, and the Russia/Ukraine conflict.
2
Credit Suisse Multialternative Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
The markets are currently indicating stagflationary tendencies for major developed economies, with global GDP expectations decreasing and interest rate forecasts increasing. Investors are reacting by adjusting fixed income, equity, and commodity holdings. This is catalyzing significant asset and style rotations across markets that are often marked by increased volatility and episodic reversals. We actively seek to balance the portfolio's risk-taking in a manner consistent with the market backdrop — the portfolio continues to emphasize exposure breadth and balance in striving to generate attractive returns with a low correlation to traditional portfolios.
The Quantitative Investment Strategies Group
Yung-Shin Kung
The Fund 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. The Fund's investment in alternative instruments may subject the Fund to greater volatility than investments in traditional securities, particularly in investments involving leverage.
The use of alternative assets and strategies entails substantial risks, including risk of loss of principal, arbitrage or fundamental risk, below investment grade securities risk, commodity exposure risks, credit risk, derivatives risk, equity exposure risk, fixed income risk, foreign securities risk, forwards risk, futures contracts risk, hedged exposure risk, interest rate risk, leveraging risk, manager/model risk, market risk, options risk, portfolio turnover risk, risks of investing in other funds, short position risk, small- and mid-cap stock risk, speculative exposure risk, status risk, subsidiary risk, swap agreements risk and tax risk. For a detailed discussion of these and other risks, please refer to the Fund's Prospectus, which should be read carefully before investing.
In addition to historical information, this report contains forward-looking statements, which may concern, among other things, domestic and foreign markets, industry and economic trends and developments and government regulation, and their potential impact on the Fund's investments. These statements are subject to risks and uncertainties and actual trends, developments and regulations in the future, and their impact on the Fund, could be materially different from those projected, anticipated or implied. The Fund has no obligation to update or revise forward-looking statements.
3
Credit Suisse Multialternative Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
The views of the Fund's management are as of the date of this letter and the Fund holdings described in this document are as of April 30, 2022; these views and Fund holdings may have changed subsequent to these dates. Nothing in this document is a recommendation to purchase or sell securities.
1 Fee waivers and/or expense reimbursements reduce expenses for the Fund, without which performance would be lower. The Fund has entered into a written contract limiting operating expenses to 0.85% of the Fund's average daily net assets for Class I shares and 1.10% of the Fund's average daily net assets for Class A shares at least through February 28, 2023. This limit excludes certain expenses, as set forth in the Fund's Prospectus.
2 Total return for the Fund's Class A shares for the reporting period, based on offering price (including maximum sales charge of 5.25%), was (4.94)%.
3 The ICE BofA US 3-Month Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond 3 months from the rebalancing date. The index does not have transaction costs and investors may not invest directly in the index.
4
Credit Suisse Multialternative Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
Average Annual Returns as of April 30, 20221
| | | 1 Year | | 5 Years | | 10 Years | | Since
Inception2 | |
Class I | | | 2.91 | % | | | 3.40 | % | | | 2.97 | % | | | 2.93 | % | |
Class A Without Sales Charge | | | 2.68 | % | | | 3.14 | % | | | 2.72 | % | | | 2.67 | % | |
Class A With Maximum Sales Charge | | | (2.69 | )% | | | 2.03 | % | | | 2.17 | % | | | 2.13 | % | |
Returns represent past performance and include change in share price and reinvestment of dividends, capital gains, and return of capital distributions, if any. Past performance cannot guarantee future results. The current performance of the Fund 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 Fund distributions or the redemption of Fund shares. Performance information current to the most recent month end is available at www.credit-suisse.com/us/funds.
The annualized gross expense ratios are 2.66% for Class I shares and 2.91% for Class A shares. The annualized net expense ratios after fee waivers and/or expense reimbursements are 0.85% for Class I shares and 1.10% for Class A.
1 Fee waivers and/or expense reimbursements reduce expenses for the Fund, without which performance would be lower. The Fund has entered into a written contract limiting operating expenses to 0.85% of the Fund's average daily net assets for Class I shares and 1.10% of the Fund's average daily net assets for Class A shares at least through February 28, 2023. This limit excludes certain expenses, as set forth in the Fund's Prospectus.
2 Inception Date: March 30, 2012.
5
Credit Suisse Multialternative Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
Information About Your Fund's Expenses
As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees, distribution and service (12b-1) fees and other Fund 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 Fund 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 months ended April 30, 2022.
The table illustrates your Fund's expenses in two ways:
• Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses paid on a $1,000 investment in the Fund using the Fund'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.
• Hypothetical 5% Fund Return. This helps you to compare the Fund's ongoing expenses with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. If these transaction costs had been included, your costs would have been higher. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expenses of owning different funds.
6
Credit Suisse Multialternative Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
Expenses and Value for a $1,000 Investment
for the six-month period ended April 30, 2022
Actual Fund Return | | Class I | | Class A | |
Beginning Account Value 11/01/21 | | $ | 1,000.00 | | | $ | 1,000.00 | | |
Ending Account Value 04/30/22 | | $ | 1,003.40 | | | $ | 1,002.90 | | |
Expenses Paid per $1,000* | | $ | 4.22 | | | $ | 5.46 | | |
Hypothetical 5% Fund Return | | | | | |
Beginning Account Value 11/01/21 | | $ | 1,000.00 | | | $ | 1,000.00 | | |
Ending Account Value 04/30/22 | | $ | 1,020.58 | | | $ | 1,019.34 | | |
Expenses Paid per $1,000* | | $ | 4.26 | | | $ | 5.51 | | |
| | | Class I | | Class A | |
Annualized Expense Ratios* | | | 0.85 | % | | | 1.10 | % | |
* Expenses are equal to the Fund's annualized expense ratio for each share class, multiplied by the average account value over the period, multiplied by 181/365 to reflect the one-half year period.
The "Expenses Paid per $1,000" and the "Annualized Expense Ratios" in the tables are based on actual expenses paid by the Fund during the period, net of fee waivers and/or actual expense reimbursements, if applicable. If those fee waivers and/or expense reimbursements had not been in effect, the Fund'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 Fund'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 Fund's Prospectus.
7
Credit Suisse Multialternative Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
Investment Type Breakdown*
| | Long
Positions | | Short
Positions | | Net | |
Common Stocks | | | 17.71 | % | | | (0.45 | )% | | | 17.26 | % | |
Exchange-Traded Funds | | | 11.42 | | | | 0.00 | | | | 11.42 | | |
United States Treasury Obligations | | | 28.96 | | | | 0.00 | | | | 28.96 | | |
Short-Term Investments | | | 42.36 | | | | 0.00 | | | | 42.36 | | |
Total | | | 100.45 | % | | | (0.45 | )% | | | 100.00 | % | |
* Expressed as a percentage of total investments (excluding securities lending collateral, if applicable) and may vary over time.
8
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments
April 30, 2022 (unaudited)
| | | Number of
Shares | | Value | |
| LONG POSITIONS (38.8%) | |
| COMMON STOCKS (11.8%) | |
| BELGIUM (0.1%) | |
| Beverages (0.1%) | |
Anheuser-Busch InBev SA | | | 111 | | | $ | 6,387 | | |
| Diversified Financials (0.0%) | |
Groupe Bruxelles Lambert SA | | | 60 | | | | 5,662 | | |
| | | | 12,049 | | |
| CANADA (0.2%) | |
| Capital Markets (0.0%) | |
Onex Corp. | | | 98 | | | | 5,919 | | |
| Food & Staples Retailing (0.1%) | |
Loblaw Cos. Ltd. | | | 87 | | | | 7,999 | | |
| IT Services (0.0%) | |
CGI, Inc.(1) | | | 82 | | | | 6,573 | | |
| Media (0.0%) | |
Quebecor, Inc., Class B | | | 285 | | | | 6,741 | | |
| Oil, Gas & Consumable Fuels (0.1%) | |
Imperial Oil Ltd. | | | 154 | | | | 7,794 | | |
Suncor Energy, Inc. | | | 229 | | | | 8,274 | | |
| | | | 16,068 | | |
| | | | 43,300 | | |
| DENMARK (0.0%) | |
| Healthcare Equipment & Supplies (0.0%) | |
GN Store Nord AS | | | 107 | | | | 4,016 | | |
| Marine (0.0%) | |
AP Moller - Maersk A/S, Class B | | | 2 | | | | 5,788 | | |
| | | | 9,804 | | |
| FRANCE (0.1%) | |
| Media (0.0%) | |
Vivendi SE(2) | | | 495 | | | | 5,685 | | |
| Real Estate Investment Trusts (0.1%) | |
Klepierre S.A. | | | 283 | | | | 6,774 | | |
| | | | 12,459 | | |
| GERMANY (0.1%) | |
| Healthcare Providers & Services (0.0%) | |
Fresenius Medical Care AG & Co. KGaA | | | 99 | | | | 6,156 | | |
| Media - Services (0.1%) | |
Scout24 SE(3) | | | 120 | | | | 7,590 | | |
See Accompanying Notes to Consolidated Financial Statements.
9
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2022 (unaudited)
| | | Number of
Shares | | Value | |
| LONG POSITIONS (continued) | |
| COMMON STOCKS (continued) | |
GERMANY | |
| Textiles, Apparel & Luxury Goods (0.0%) | |
adidas AG | | | 27 | | | $ | 5,445 | | |
| | | | 19,191 | | |
| ITALY (1.2%) | |
| Automobiles (0.0%) | |
Ferrari NV | | | 26 | | | | 5,474 | | |
| Healthcare Equipment & Supplies (0.0%) | |
DiaSorin SpA | | | 35 | | | | 4,585 | | |
| Transportation Infrastructure/Services (1.2%) | |
Atlantia SpA(1) | | | 11,136 | | | | 265,655 | | |
| | | | 275,714 | | |
| NETHERLANDS (0.1%) | |
| Chemicals (0.1%) | |
Akzo Nobel NV | | | 61 | | | | 5,292 | | |
Koninklijke DSM NV | | | 30 | | | | 5,043 | | |
| | | | 10,335 | | |
| Food & Staples Retailing (0.0%) | |
Koninklijke Ahold Delhaize NV | | | 195 | | | | 5,752 | | |
| Healthcare Equipment & Supplies (0.0%) | |
Koninklijke Philips NV | | | 180 | | | | 4,703 | | |
| Insurance (0.0%) | |
NN Group NV | | | 124 | | | | 6,074 | | |
| Semiconductor Equipment & Products (0.0%) | |
| ASML Holding NV | | | 8 | | | | 4,540 | | |
| | | | 31,404 | | |
| NORWAY (0.0%) | |
| Chemicals (0.0%) | |
Yara International ASA | | | 133 | | | | 6,808 | | |
| Media (0.0%) | |
Schibsted ASA, Class A | | | 174 | | | | 3,651 | | |
| | | | 10,459 | | |
| SPAIN (0.0%) | |
| Construction & Engineering (0.0%) | |
ACS Actividades de Construccion y Servicios SA(2) | | | 271 | | | | 6,939 | | |
| SWITZERLAND (0.2%) | |
| Building Products (0.0%) | |
Geberit AG, Reg S | | | 10 | | | | 5,715 | | |
See Accompanying Notes to Consolidated Financial Statements.
10
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2022 (unaudited)
| | | Number of
Shares | | Value | |
| LONG POSITIONS (continued) | |
| COMMON STOCKS (continued) | |
SWITZERLAND | |
| Capital Markets (0.0%) | |
UBS Group AG, Reg S | | | 341 | | | $ | 5,802 | | |
| Electrical Equipment (0.0%) | |
ABB Ltd., Reg S | | | 197 | | | | 5,923 | | |
| Food Products (0.1%) | |
Nestle S.A., Reg S | | | 52 | | | | 6,727 | | |
| Insurance (0.1%) | |
Baloise Holding AG, Reg S | | | 39 | | | | 6,798 | | |
Swiss Life Holding AG, Reg S | | | 11 | | | | 6,446 | | |
Swiss Re AG | | | 64 | | | | 5,260 | | |
| | | | 18,504 | | |
| | | | 42,671 | | |
| UNITED KINGDOM (0.2%) | |
| Banks (0.1%) | |
Barclays PLC | | | 2,627 | | | | 4,821 | | |
Natwest Group PLC | | | 2,176 | | | | 5,829 | | |
| | | | 10,650 | | |
| Household Durables (0.0%) | |
The Berkeley Group Holdings PLC | | | 103 | | | | 5,216 | | |
| Industrial Conglomerates (0.0%) | |
Melrose Industries PLC | | | 3,072 | | | | 4,457 | | |
| Insurance (0.0%) | |
Aviva PLC | | | 1,197 | | | | 6,412 | | |
| Media (0.0%) | |
WPP PLC | | | 439 | | | | 5,464 | | |
| Oil, Gas & Consumable Fuels (0.1%) | |
| BP PLC | | | 1,501 | | | | 7,235 | | |
| Software (0.0%) | |
The Sage Group PLC | | | 584 | | | | 5,351 | | |
| | | | 44,785 | | |
| UNITED STATES (9.6%) | |
| Biotechnology (0.2%) | |
Sierra Oncology, Inc.(1) | | | 974 | | | | 53,093 | | |
| Food Products (0.6%) | |
Sanderson Farms, Inc. | | | 742 | | | | 140,513 | | |
| Healthcare Equipment & Supplies (0.1%) | |
Intersect ENT, Inc.(1) | | | 1,044 | | | | 28,574 | | |
| Healthcare Providers & Services (1.9%) | |
LHC Group, Inc.(1) | | | 1,566 | | | | 259,721 | | |
Tivity Health, Inc.(1) | | | 4,947 | | | | 158,947 | | |
| | | | 418,668 | | |
See Accompanying Notes to Consolidated Financial Statements.
11
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2022 (unaudited)
| | | Number of
Shares | | Value | |
| LONG POSITIONS (continued) | |
| COMMON STOCKS (continued) | |
UNITED STATES | |
| Pharmaceuticals (0.3%) | |
Antares Pharma, Inc.(1) | | | 9,557 | | | $ | 53,185 | | |
| Real Estate (1.2%) | |
American Campus Communities, Inc. | | | 4,193 | | | | 271,161 | | |
| Software (5.3%) | |
Anaplan, Inc.(1) | | | 4,057 | | | | 263,664 | | |
CDK Global, Inc. | | | 4,882 | | | | 265,630 | | |
Datto Holding Corp.(1) | | | 7,679 | | | | 266,461 | | |
Mandiant, Inc.(1) | | | 6,184 | | | | 135,924 | | |
Sailpoint Technologies Holdings, Inc.(1) | | | 4,154 | | | | 265,150 | | |
| | | | 1,196,829 | | |
| | | | 2,162,023 | | |
| TOTAL COMMON STOCKS (Cost $2,710,787) | | | 2,670,798 | | |
| EXCHANGE-TRADED FUNDS (7.6%) | |
| UNITED STATES (7.6%) | |
| Commingled Funds (4.9%) | |
iShares 3-7 Year Treasury Bond ETF | | | 534 | | | | 63,840 | | |
iShares Russell 1000 Value Index Fund | | | 262 | | | | 40,985 | | |
iShares Russell Mid-Cap Value ETF | | | 181 | | | | 20,346 | | |
SPDR FTSE International Government Inflation-Protected Bond ETF(2) | | | 19,859 | | | | 987,786 | | |
| | | | 1,112,957 | | |
| Energy - Integrated (2.7%) | |
Alerian MLP ETF(2) | | | 16,009 | | | | 609,463 | | |
| TOTAL EXCHANGE-TRADED FUNDS (Cost $1,514,864) | | | 1,722,420 | | |
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | |
| |
| UNITED STATES TREASURY OBLIGATIONS (19.4%) | | | |
$ | 200 | | | United States Treasury Bills(4) | | (AA+, Aaa) | | 05/19/22 | | | 0.080 | | | | 199,980 | | |
| | 400 | | | United States Treasury Bills(4) | | (AA+, Aaa) | | 06/16/22 | | | 0.056 | | | | 399,780 | | |
| | 400 | | | United States Treasury Bills(4) | | (AA+, Aaa) | | 07/14/22 | | | 0.063 | | | | 399,372 | | |
| | 400 | | | United States Treasury Bills(4) | | (AA+, Aaa) | | 08/11/22 | | | 0.285 | | | | 398,924 | | |
| | 200 | | | United States Treasury Bills(4) | | (AA+, Aaa) | | 09/08/22 | | | 0.835 | | | | 199,240 | | |
| | 400 | | | United States Treasury Bills(4) | | (AA+, Aaa) | | 10/06/22 | | | 0.343 | | | | 397,990 | | |
| | 400 | | | United States Treasury Bills(4) | | (AA+, Aaa) | | 12/01/22 | | | 0.436 | | | | 396,704 | | |
| | 400 | | | United States Treasury Bills(4) | | (AA+, Aaa) | | 12/29/22 | | | 0.677 | | | | 396,062 | | |
| | 400 | | | United States Treasury Bills(4) | | (AA+, Aaa) | | 01/26/23 | | | 1.117 | | | | 395,161 | | |
| | 400 | | | United States Treasury Bills(4) | | (AA+, Aaa) | | 02/23/23 | | | 1.215 | | | | 394,298 | | |
| | 400 | | | United States Treasury Bills(4) | | (AA+, Aaa) | | 03/23/23 | | | 1.482 | | | | 393,579 | | |
| | 400 | | | United States Treasury Bills(4) | | (AA+, Aaa) | | 11/03/22 | | | 0.392 | | | | 397,147 | | |
| TOTAL UNITED STATES TREASURY OBLIGATIONS (Cost $4,381,976) | | | 4,368,237 | | |
See Accompanying Notes to Consolidated Financial Statements.
12
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2022 (unaudited)
| | | Number of
Shares | | Value | |
| SHORT-TERM INVESTMENTS (34.1%) | |
State Street Institutional U.S. Government Money Market Fund - Premier
Class, 0.29% | | | 6,390,950 | | | $ | 6,390,950 | | |
State Street Navigator Securities Lending Government Money Market
Portfolio, 0.31%(5) | | | 1,299,101 | | | | 1,299,101 | | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $7,690,051) | | | 7,690,051 | | |
| TOTAL INVESTMENTS AT VALUE/LONG POSITIONS (72.9%) (Cost $16,297,678) | | | 16,451,506 | | |
| TOTAL SECURITIES SOLD SHORT (-0.3%) (Proceeds $75,516) | | | (67,657 | ) | |
| OTHER ASSETS IN EXCESS OF LIABILITIES (27.4%) | | | 6,179,870 | | |
| NET ASSETS (100.0%) | | $ | 22,563,719 | | |
| SHORT POSITION (-0.3%) | |
| COMMON STOCK (-0.3%) | |
| UNITED STATES (-0.3%) | |
| Oil, Gas & Consumable Fuels (-0.3%) | |
Oasis Petroleum, Inc. | | | (510 | ) | | | (67,657 | ) | |
† 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) Non-income producing security.
(2) Security or portion thereof is out on loan (See note 2-M).
(3) Security exempt from registration pursuant to Regulation S under the Securities act of 1933, as amended. Regulation S applies to securities offering that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale.
(4) Securities are zero coupon. Rate presented is yield to maturity as of April 30, 2022.
(5) Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at April 30, 2022.
Forward Foreign Currency Contracts
Forward
Currency to be
Purchased
(Local) | | Forward
Currency to be
Sold (Local) | | Expiration
Date | | Counterparty | | Value on
Settlement Date | | Current
Value/
Notional | | Net Unrealized
Appreciation | |
USD | 39,548 | | | CAD | 50,476 | | | 06/15/22 | | Societe Generale | | $ | (39,548 | ) | | $ | (39,490 | ) | | $ | 58 | | |
USD | 46,034 | | | CHF | 42,494 | | | 06/15/22 | | JPMorgan Chase | | | (46,034 | ) | | | (43,874 | ) | | | 2,160 | | |
USD | 11,586 | | | DKK | 79,132 | | | 06/15/22 | | Societe Generale | | | (11,586 | ) | | | (11,244 | ) | | | 342 | | |
USD | 111,426 | | | EUR | 102,186 | | | 06/15/22 | | Societe Generale | | | (111,426 | ) | | | (108,014 | ) | | | 3,412 | | |
USD | 50,834 | | | GBP | 38,789 | | | 06/15/22 | | Societe Generale | | | (50,834 | ) | | | (48,701 | ) | | | 2,133 | | |
USD | 10,644 | | | NOK | 96,409 | | | 06/15/22 | | Societe Generale | | | (10,644 | ) | | | (10,349 | ) | | | 295 | | |
| | | $ | 8,400 | | |
See Accompanying Notes to Consolidated Financial Statements.
13
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2022 (unaudited)
Futures Contracts
Contract Description | | Currency | | Expiration
Date | | Number of
Contracts | | Notional
Value | | Net Unrealized
Appreciation
(Depreciation) | |
Contracts to Purchase | |
Energy | |
Brent Crude Oil Futures | | USD | | | | Sep 2022 | | | 8 | | | $ | 827,840 | | | $ | 9,164 | | |
Index Contracts | |
EURO Stoxx 50 Index Dividend Futures | | EUR | | | | Dec 2022 | | | 35 | | | | 441,971 | | | $ | 257 | | |
EURO Stoxx 50 Index Dividend Futures | | EUR | | | | Dec 2023 | | | 18 | | | | 216,856 | | | | (5,944 | ) | |
FTSE 100 Index Futures | | GBP | | | | Jun 2022 | | | 1 | | | | 94,326 | | | | 1,305 | | |
| | | $ | (4,382 | ) | |
Industrial Metals | |
LME Nickel Futures | | USD | | | | May 2022 | | | 4 | | | | 761,928 | | | $ | 94,881 | | |
LME Nickel Futures | | USD | | | | Jul 2022 | | | 2 | | | | 381,204 | | | | (7,843 | ) | |
LME Primary Aluminum Futures | | USD | | | | May 2022 | | | 9 | | | | 682,988 | | | | (35,444 | ) | |
LME Primary Aluminum Futures | | USD | | | | Jul 2022 | | | 5 | | | | 381,281 | | | | (61,544 | ) | |
LME Zinc Futures | | USD | | | | Jul 2022 | | | 3 | | | | 308,456 | | | | (1,120 | ) | |
LME Zinc Futures | | USD | | | | May 2022 | | | 6 | | | | 621,188 | | | | 27,302 | | |
| | | $ | 16,232 | | |
Interest Rate Contracts | |
10YR AUD Bond Futures | | AUD | | | | Jun 2022 | | | 16 | | | | 1,411,519 | | | $ | (55,946 | ) | |
10YR U.S. Treasury Note Futures | | USD | | | | Jun 2022 | | | 10 | | | | 1,191,562 | | | | (2,213 | ) | |
| EURO Bund Futures | | EUR | | | | Jun 2022 | | | 32 | | | | 5,184,954 | | | | (323,863 | ) | |
| | | $ | (382,022 | ) | |
Livestock | |
Lean Hogs Futures | | USD | | | | Jul 2022 | | | 5 | | | | 220,050 | | | $ | (6,879 | ) | |
Live Cattle Futures | | USD | | | | Aug 2022 | | | 6 | | | | 324,660 | | | | (3,843 | ) | |
| | | $ | (10,722 | ) | |
Precious Metals | |
Gold 100 oz. Futures | | USD | | | | Aug 2022 | | | 8 | | | | 1,534,880 | | | $ | 10,473 | | |
Contracts to Sell | |
Energy | |
Brent Crude Oil Futures | | USD | | | | Jul 2022 | | | (8 | ) | | | (857,120 | ) | | $ | (16,521 | ) | |
Foreign Exchange Contracts | |
| AUD Currency Futures | | USD | | | | Jun 2022 | | | (2 | ) | | | (141,740 | ) | | $ | 196 | | |
| CAD Currency Futures | | USD | | | | Jun 2022 | | | (3 | ) | | | (233,715 | ) | | | 386 | | |
| EUR Currency Futures | | USD | | | | Jun 2022 | | | (1 | ) | | | (132,362 | ) | | | 6,574 | | |
| GBP Currency Futures | | USD | | | | Jun 2022 | | | (2 | ) | | | (157,488 | ) | | | 6,238 | | |
| JPY Currency Futures | | USD | | | | Jun 2022 | | | (2 | ) | | | (193,375 | ) | | | 22,903 | | |
| | | $ | 36,297 | | |
See Accompanying Notes to Consolidated Financial Statements.
14
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2022 (unaudited)
Futures Contracts (continued)
Contract Description | | Currency | | Expiration
Date | | Number of
Contracts | | Notional
Value | | Net Unrealized
Appreciation
(Depreciation) | |
Index Contracts | |
Russell 2000 E-Mini Index Futues | | USD | | | | Jun 2022 | | | (17 | ) | | $ | (1,582,105 | ) | | $ | 106,557 | | |
EURO Stoxx 50 Index Futures | | EUR | | | | Jun 2022 | | | (6 | ) | | | (236,478 | ) | | | 4,550 | | |
S&P 500 E Mini Index Futures | | USD | | | | Jun 2022 | | | (1 | ) | | | (206,375 | ) | | | 6,303 | | |
| | | $ | 117,410 | | |
Industrial Metals | |
LME Nickel Futures | | USD | | | | May 2022 | | | (4 | ) | | | (761,928 | ) | | $ | (92,379 | ) | |
LME Nickel Futures | | USD | | | | Jul 2022 | | | (2 | ) | | | (381,204 | ) | | | 16,823 | | |
LME Primary Aluminum Futures | | USD | | | | May 2022 | | | (9 | ) | | | (682,988 | ) | | | 78,574 | | |
LME Primary Aluminum Futures | | USD | | | | Jul 2022 | | | (5 | ) | | | (381,281 | ) | | | 31,416 | | |
LME Zinc Futures | | USD | | | | May 2022 | | | (6 | ) | | | (621,187 | ) | | | (38,184 | ) | |
LME Zinc Futures | | USD | | | | Jul 2022 | | | (3 | ) | | | (308,456 | ) | | | 14,886 | | |
| | | $ | 11,136 | | |
Interest Rate Contracts | |
10YR CAD Bond Futures | | CAD | | | | Jun 2022 | | | (55 | ) | | | (5,437,815 | ) | | $ | 167,504 | | |
10YR JGB Mini Futures | | JPY | | | | Jun 2022 | | | (20 | ) | | | (2,307,348 | ) | | | (5,621 | ) | |
Long Gilt Futures | | GBP | | | | Jun 2022 | | | (11 | ) | | | (1,635,717 | ) | | | 44,523 | | |
| | | $ | 206,406 | | |
Livestock | |
Lean Hogs Futures | | USD | | | | Jun 2022 | | | (5 | ) | | | (212,750 | ) | | $ | 8,401 | | |
Live Cattle Futures | | USD | | | | Jun 2022 | | | (6 | ) | | | (318,360 | ) | | | 4,937 | | |
| | | $ | 13,338 | | |
Precious Metals | |
Gold 100 oz. Futures | | USD | | | | Jun 2022 | | | (8 | ) | | | (1,529,360 | ) | | $ | (10,567 | ) | |
| | | $ | (3,758 | ) | |
See Accompanying Notes to Consolidated Financial Statements.
15
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2022 (unaudited)
Total Return Swap Contracts
Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive | | Pay | | Periodic
Payment
Frequency | | Upfront
Premiums
Paid/
(Received) | | Net Unrealized
Appreciation | |
USD | | | | $ | 1,603,278 | | |
07/22/22 | |
Bank of
America | | Bank of
America
Equities US
Volatility
Carry Hourly
Hedged
Index(b) | | | 0.00 | % | | Monthly | | $ | — | | | $ | 3,519 | | |
USD | | | | | 64,498 | | | 07/25/22 | | Bank of
America | | Bloomberg
Energy
Index | | | 0.07 | % | | At Maturity | | | — | | | | 4,231 | | |
USD | | | | | 150,196 | | | 07/25/22 | | Bank of
America | | Bloomberg
Agriculture
Index | | | 0.10 | % | | At Maturity | | | — | | | | 1,304 | | |
USD | | | | | 4,386,166 | | | 07/25/22 | | Barclays
Bank PLC | | Barclays
Commodity
Hedging
Insights 2
Index(b) | | | 0.15 | % | | At Maturity | | | — | | | | 38,333 | | |
EUR | | | | | 1,960,825 | | | 07/25/22 | | BNP Paribas | | BNP Paribas
Equity Low
Vol Europe
Index(b) | | | 0.00 | % | | At Maturity | | | — | | | | 8,884 | | |
USD | | | | | 2,180,671 | | | 07/25/22 | | BNP Paribas | | BNP Paribas
Buy Write
Call Gold
Daily Index(b) | | | 0.50 | % | | At Maturity | | | — | | | | 17,525 | | |
USD | | | | | 452,400 | | | 07/25/22 | | BNP Paribas | | BNP Paribas
VOLA Index
ER(b) | | | 0.35 | % | | At Maturity | | | — | | | | 4,813 | | |
USD | | | | | 1,311,780 | | | 07/25/22 | | BNP Paribas | | BNP Alpha
Momentum
ex-Agriculture
and Livestock
Net index(b) | | | 0.30 | % | | At Maturity | | | — | | | | 13,391 | | |
USD | | | | | 1,364,541 | | | 07/25/22 | | Citigroup | | Citi Equity US
Tech
Congestion
Index Series 1(f) | | | 0.00 | % | | At Maturity | | | — | | | | 26,979 | | |
USD | | | | | 739,571 | | | 07/25/22 | | Goldman
Sachs | | Goldman Sachs
RP 112 Long
Short Series
SR Excess
Return
Strategy(b) | | | (0.60 | )% | | At Maturity | | | — | | | | 14,260 | | |
See Accompanying Notes to Consolidated Financial Statements.
16
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2022 (unaudited)
Total Return Swap Contracts (continued)
Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive | | Pay | | Periodic
Payment
Frequency | | Upfront
Premiums
Paid/
(Received) | | Net Unrealized
Appreciation | |
USD | | | | $ | 3,822,839 | | | 07/25/22 | | Goldman
Sachs | | Goldman Sachs
Commodities
Seasonality
Index(b) | | 0.00% | | At Maturity | | $ | — | | | $ | 4,514 | | |
USD | | | | | 1,666,460 | | | 07/25/22 | | Goldman
Sachs | | Goldman Sachs
Commodity
Strategy
Index(b) | | 0.00% | | At Maturity | | | — | | | | 15,232 | | |
USD | | | | | 3,327,894 | | | 07/25/22 | | Goldman
Sachs | | Goldman Sachs
VVOL Carry
ER(b) | | 0.00% | | At Maturity | | | — | | | | 16,223 | | |
USD | | | | | 878,634 | | | 07/25/22 | | Goldman
Sachs | | Goldman Sachs
Tactical
Factor Suite
Value World
Bottom USD
Excess
Return
Strategy(b) | | 0.40% | | At Maturity | | | — | | | | 3,826 | | |
USD | | | | | 1,314,755 | | | 07/25/22 | | Goldman
Sachs | | Goldman Sachs
DISP U.S.
Index(b) | | 0.00% | | At Maturity | | | — | | | | 43,626 | | |
GBP | | | | | 27,813 | | | 08/04/22 | | Goldman
Sachs | | Meggitt PLC | | 1.17% | | Monthly | | | — | | | | 319 | | |
USD | | | | | 7,881 | | | 08/18/22 | | Goldman
Sachs | | (0.01)% | | NortonLifeLock,
Inc. | | Monthly | | | — | | | | 920 | | |
USD | | | | | 77,162 | | | 10/20/22 | | Goldman
Sachs | | (0.01)% | | Columbia
Banking
System, Inc. | | Monthly | | | — | | | | 11,623 | | |
USD | | | | | 7,495 | | | 10/25/22 | | Goldman
Sachs | | Achillion
Pharmaceuticals
CVR | | 0.76% | | Monthly | | | — | | | | 0 | | |
USD | | | | | 142,606 | | | 12/22/22 | | Goldman
Sachs | | CMC Materials,
Inc. | | 0.76% | | Monthly | | | — | | | | 344 | | |
USD | | | | | 75,395 | | | 12/22/22 | | Goldman
Sachs | | Cerner Corp. | | 0.76% | | Monthly | | | — | | | | 454 | | |
USD | | | | | 28,868 | | | 12/22/22 | | Goldman
Sachs | | (0.52)% | | Entegris, Inc. | | Monthly | | | — | | | | 1,466 | | |
USD | | | | | 54,285 | | | 12/29/22 | | Goldman
Sachs | | (0.52)% | | Quidel Corp. | | Monthly | | | — | | | | 6,994 | | |
USD | | | | | 13,378 | | | 01/06/23 | | Goldman
Sachs | | (0.01)% | | Entegris, Inc. | | Monthly | | | — | | | | 679 | | |
USD | | | | | 6,974 | | | 01/06/23 | | Goldman
Sachs | | (0.01)% | | NortonLife
Lock, Inc. | | Monthly | | | — | | | | 814 | | |
See Accompanying Notes to Consolidated Financial Statements.
17
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2022 (unaudited)
Total Return Swap Contracts (continued)
Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive | | Pay | | Periodic
Payment
Frequency | | Upfront
Premiums
Paid/
(Received) | | Net Unrealized
Appreciation | |
USD | | | | $ | 46,434 | | | 01/06/23 | | Goldman
Sachs | | (0.01)% | | New York
Community
Bancorp. | | Monthly | | $ | — | | | $ | 5,298 | | |
USD | | | | | 52,404 | | | 01/06/23 | | Goldman
Sachs | | Cerner Corp. | | 0.76% | | Monthly | | | — | | | | 315 | | |
USD | | | | | 59,772 | | | 01/06/23 | | Goldman
Sachs | | (0.01)% | | Columbia
Banking
System, Inc. | | Monthly | | | — | | | | 9,004 | | |
USD | | | | | 37,884 | | | 01/06/23 | | Goldman
Sachs | | (0.01)% | | Quidel Corp. | | Monthly | | | — | | | | 4,881 | | |
USD | | | | | 45,155 | | | 01/06/23 | | Goldman
Sachs | | CMC Materials,
Inc. | | 0.76% | | Monthly | | | — | | | | 109 | | |
USD | | | | | 10,889 | | | 01/06/23 | | Goldman
Sachs | | (0.01)% | | CBTX, Inc. | | Monthly | | | — | | | | 565 | | |
GBP | | | | | 19,558 | | | 01/06/23 | | Goldman
Sachs | | Meggitt PLC | | 1.17% | | Monthly | | | — | | | | 225 | | |
USD | | | | | 11,824 | | | 01/06/23 | | Goldman
Sachs | | Neophotonics
Corp. | | 0.76% | | Monthly | | | — | | | | 0 | | |
CHF | | | | | 59,945 | | | 01/09/23 | | Goldman
Sachs | | Vifor Pharma
AG | | (0.32)% | | Monthly | | | — | | | | 2,054 | | |
USD | | | | | 134,076 | | | 02/09/23 | | Goldman
Sachs | | (0.52)% | | Frontier Group
Holdings, Inc. | | Monthly | | | — | | | | 14,735 | | |
USD | | | | | 149,028 | | | 02/10/23 | | Goldman
Sachs | | Sanderson
Farms, Inc. | | 0.76% | | Monthly | | | — | | | | 2,847 | | |
USD | | | | | 623,933 | | | 02/10/23 | | Goldman
Sachs | | (0.52)% | | Vanguard FTSE
Emerging Market | | Monthly | | | — | | | | 47,137 | | |
USD | | | | | 46,588 | | | 02/10/23 | | Goldman
Sachs | | (0.52)% | | Entegris, Inc. | | Monthly | | | — | | | | 2,366 | | |
USD | | | | | 152,869 | | | 02/10/23 | | Goldman
Sachs | | (0.01)% | | Columbia
Banking
System, Inc. | | Monthly | | | — | | | | 23,028 | | |
USD | | | | | 138,317 | | | 02/10/23 | | Goldman
Sachs | | Cerner Corp. | | 0.76% | | Monthly | | | — | | | | 832 | | |
USD | | | | | 157,241 | | | 02/10/23 | | Goldman
Sachs | | CMC Materials,
Inc. | | 0.76% | | Monthly | | | — | | | | 379 | | |
USD | | | | | 94,826 | | | 02/10/23 | | Goldman
Sachs | | (0.52)% | | Quidel Corp. | | Monthly | | | — | | | | 12,216 | | |
USD | | | | | 145,293 | | | 02/10/23 | | Goldman
Sachs | | (0.01)% | | Frontier Group
Holdings, Inc. | | Monthly | | | — | | | | 15,968 | | |
GBP | | | | | 51,242 | | | 02/10/23 | | Goldman
Sachs | | Meggitt PLC | | 1.17% | | Monthly | | | — | | | | 589 | | |
USD | | | | | 63,340 | | | 02/16/23 | | Goldman
Sachs | | U.S. Ecology,
Inc. | | 0.76% | | Monthly | | | — | | | | 775 | | |
USD | | | | | 38,721 | | | 02/24/23 | | Goldman
Sachs | | Cerner Corp. | | 0.76% | | Monthly | | | — | | | | 233 | | |
See Accompanying Notes to Consolidated Financial Statements.
18
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2022 (unaudited)
Total Return Swap Contracts (continued)
Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive | | Pay | | Periodic
Payment
Frequency | | Upfront
Premiums
Paid/
(Received) | | Net Unrealized
Appreciation | |
USD | | | | $ | 12,672 | | | 02/24/23 | | Goldman
Sachs | | CMC Materials,
Inc. | | 0.76% | | Monthly | | $ | — | | | $ | 31 | | |
USD | | | | | 162,679 | | | 02/24/23 | | Goldman
Sachs | | (0.52)% | | Vanguard FTSE
Emerging Market | | Monthly | | | — | | | | 12,290 | | |
USD | | | | | 41,809 | | | 02/24/23 | | Goldman
Sachs | | Sanderson
Farms, Inc. | | 0.76% | | Monthly | | | — | | | | 799 | | |
USD | | | | | 59,111 | | | 02/24/23 | | Goldman
Sachs | | (0.01)% | | Columbia
Banking
System, Inc. | | Monthly | | | — | | | | 8,904 | | |
USD | | | | | 32,340 | | | 02/24/23 | | Goldman
Sachs | | (0.52)% | | Quidel Corp. | | Monthly | | | — | | | | 4,166 | | |
USD | | | | | 17,133 | | | 02/24/23 | | Goldman
Sachs | | (0.52)% | | Entegris, Inc. | | Monthly | | | — | | | | 870 | | |
GBP | | | | | 14,339 | | | 02/24/23 | | Goldman
Sachs | | Meggitt PLC | | 1.17% | | Monthly | | | — | | | | 165 | | |
USD | | | | | 31,302 | | | 02/24/23 | | Goldman
Sachs | | (0.52)% | | Frontier Group
Holdings, Inc. | | Monthly | | | — | | | | 3,440 | | |
USD | | | | | 207,617 | | | 03/02/23 | | Goldman
Sachs | | South Jersey
Industries | | 0.76% | | Monthly | | | — | | | | 258 | | |
USD | | | | | 215,328 | | | 03/02/23 | | Goldman
Sachs | | Meritor, Inc | | 0.76% | | Monthly | | | — | | | | 1,389 | | |
CHF | | | | | 303,067 | | | 03/03/23 | | Goldman
Sachs | | Vifor Pharma AG | | (0.32)% | | Monthly | | | (56 | ) | | | 10,441 | | |
USD | | | | | 28,570 | | | 03/07/23 | | Goldman
Sachs | | (0.01)% | | Vanguard FTSE
Emerging Market | | Monthly | | | — | | | | 2,158 | | |
USD | | | | | 155,194 | | | 03/20/23 | | Goldman
Sachs | | Cornerstone
Building Brands,
Inc. | | 0.76% | | Monthly | | | — | | | | 341 | | |
USD | | | | | 165,664 | | | 04/21/23 | | Goldman
Sachs | | (0.52)% | | Vanguard FTSE
Emerging Market | | Monthly | | | — | | | | 2,720 | | |
USD | | | | | 66,972 | | | 04/28/23 | | Goldman
Sachs | | (0.52)% | | New York
Community
Bancorp. | | Monthly | | | — | | | | 0 | | |
USD | | | | | 63,717 | | | 04/28/23 | | Goldman
Sachs | | Flagstar
Bancorp,
Inc. | | 1.27% | | Monthly | | | — | | | | 0 | | |
USD | | | | | 403,595 | | | 04/28/23 | | Goldman
Sachs | | Welbilt, Inc. | | 1.27% | | Monthly | | | — | | | | 0 | | |
USD | | | | | 67,789 | | | 05/01/23 | | Goldman
Sachs | | (0.52)% | | New York
Community
Bancorp. | | Monthly | | | — | | | | 818 | | |
USD | | | | | 3,638,959 | | | 07/25/22 | | JPMorgan
Chase | | J.P. Morgan
Helix 3 Index(b) | | 0.60% | | At Maturity | | | — | | | | 49,216 | | |
See Accompanying Notes to Consolidated Financial Statements.
19
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2022 (unaudited)
Total Return Swap Contracts (continued)
Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive | | Pay | | Periodic
Payment
Frequency | | Upfront
Premiums
Paid/
(Received) | | Net Unrealized
Appreciation | |
USD | | | | $ | 4,382,378 | | | 07/25/22 | |
JPMorgan
Chase | | J.P. Morgan
Seasonal
Spreads
Portfolio
Commodity
Index(b) | | 0.60% | | At Maturity | | $ | — | | | $ | 9,478 | | |
USD | | | | | 18,354 | | | 12/12/22 | | JPMorgan
Chase | | (0.08)% | | CBTX, Inc. | | Monthly | | | — | | | | 929 | | |
USD | | | | | 16,805 | | | 12/12/22 | | JPMorgan
Chase | | Neophotonics
Corp. | | 0.72% | | Monthly | | | — | | | | 0 | | |
USD | | | | | 15,845 | | | 03/10/23 | | JPMorgan
Chase | | (0.03)% | | NortonLifeLock,
Inc. | | Monthly | | | — | | | | 1,172 | | |
USD | | | | | 127,601 | | | 03/10/23 | | JPMorgan
Chase | | (0.03)% | | New York
Community
Bancorp. | | Monthly | | | — | | | | 14,558 | | |
USD | | | | | 32,383 | | | 03/10/23 | | JPMorgan
Chase | | (0.03)% | | CBTX, Inc. | | Monthly | | | — | | | | 1,639 | | |
USD | | | | | 30,976 | | | 03/10/23 | | JPMorgan
Chase | | Neophotonics
Corp. | | 0.77% | | Monthly | | | — | | | | 0 | | |
GBP | | | | | 141,249 | | | 03/10/23 | | JPMorgan
Chase | | Avast PLC | | 1.04% | | Monthly | | | — | | | | 2,342 | | |
USD | | | | | 33,251 | | | 03/24/23 | | JPMorgan
Chase | | (0.03)% | | New York
Community
Bancorp. | | Monthly | | | — | | | | 3,794 | | |
USD | | | | | 6,008 | | | 03/24/23 | | JPMorgan
Chase | | (0.03)% | | CBTX, Inc. | | Monthly | | | — | | | | 304 | | |
USD | | | | | 2,650 | | | 03/24/23 | | JPMorgan
Chase | | (0.03)% | | NortonLifeLock,
Inc. | | Monthly | | | — | | | | 196 | | |
GBP | | | | | 23,404 | | | 03/24/23 | | JPMorgan
Chase | | Avast PLC | | 1.04% | | Monthly | | | — | | | | 600 | | |
USD | | | | | 8,675 | | | 03/24/23 | | JPMorgan
Chase | | Neophotonics
Corp. | | 0.77% | | Monthly | | | — | | | | 0 | | |
USD | | | | | 4,483,383 | | | 07/25/22 | | Morgan
Stanley | | Morgan Stanley
Commodities
Curve Carry
Index(b) | | 0.35% | | At Maturity | | | — | | | | 5,062 | | |
USD | | | | | 1,732,468 | | | 07/25/22 | | Societe
Generale | | SG US Trend
Index(c) | | 0.30% | | At Maturity | | | — | | | | 36,211 | | |
USD | | | | | 2,835,815 | | | 07/25/22 | | Societe
Generale | | SGI VRR US
Index(b) | | 0.70% | | At Maturity | | | — | | | | 24,423 | | |
| | | | | | | | | | | | | | | | | $ | (56 | ) | | $ | 582,543 | | |
See Accompanying Notes to Consolidated Financial Statements.
20
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2022 (unaudited)
Total Return Swap Contracts
Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive | | Pay | | Periodic
Payment
Frequency | | Upfront
Premiums
Paid/
(Received) | | Net Unrealized
Depreciation | |
USD | | | | $ | 1,882,718 | | | 05/25/22 | | Bank of
America | | BAML USD
Custom Equity
Basket(b) | | 0.81% | | Monthly | | $ | — | | | $ | (160,909 | ) | |
USD | | | | | 584,875 | | | 07/22/22 | | Bank of
America | | BofA Daily Listed
Put Ratio and
Call Ratio
Index – US(b) | | 0.05% | | Quarterly | | | — | | | | (3,534 | ) | |
USD | | | | | 415,755 | | | 07/25/22 | | Bank of
America | | BAML USD
Custom Equity
Basket(b) | | 0.81% | | Monthly | | | — | | | | (21,502 | ) | |
USD | | | | | 75,711 | | | 07/25/22 | | Bank of
America | | Bloomberg
Precious Metals
Index | | 0.06% | | At Maturity | | | — | | | | (23 | ) | |
USD | | | | | 170,985 | | | 07/25/22 | | Bank of
America | | BAML Buyback
Activity in
Equities(b) | | 0.81% | | Monthly | | | — | | | | (7,306 | ) | |
USD | | | | | 3,623,481 | | | 07/25/22 | | Barclays
Bank PLC | | Barclays Month
End Rebalancing
Currency Index(b) | | 0.20% | | At Maturity | | | — | | | | (20,089 | ) | |
USD | | | | | 1,258,389 | | | 07/25/22 | | Barclays
Bank PLC | | Shiller Barclays
CAPE US
Mid-Month
Sector Market
Hedged ER
Index(b) | | 0.60% | | At Maturity | | | — | | | | (122 | ) | |
USD | | | | | 299,922 | | | 06/21/22 | | BNP Paribas | | iBoxx $ Liquid
High Yield Index | | 0.30% | | Quarterly | | | (78 | ) | | | (6,110 | ) | |
USD | | | | | 387,916 | | | 07/25/22 | | BNP Paribas | | BNP Paribas
Dynamic Pre Roll
Alpha ex
Agriculture and
Livestock
Index(b) | | 0.08% | | At Maturity | | | — | | | | (671 | ) | |
USD | | | | | 911,851 | | | 07/25/22 | | Goldman
Sachs | | Goldman
Sachs RP 110
Long Short
Series SR Excess
Return Strategy(b) | | (0.60)% | | At Maturity | | | — | | | | (16,721 | ) | |
USD | | | | | 115,713 | | | 07/25/22 | | Goldman
Sachs | | Bloomberg
Industrial
Metals Index | | 0.10% | | At Maturity | | | — | | | | (1,961 | ) | |
GBP | | | | | 68,399 | | | 08/18/22 | | Goldman
Sachs | | Avast PLC | | 1.17% | | Monthly | | | — | | | | (185 | ) | |
USD | | | | | 85,776 | | | 09/09/22 | | Goldman
Sachs | | American
National
Group, Inc. | | 0.76% | | Monthly | | | — | | | | (335 | ) | |
See Accompanying Notes to Consolidated Financial Statements.
21
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2022 (unaudited)
Total Return Swap Contracts (continued)
Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive | | Pay | | Periodic
Payment
Frequency | | Upfront
Premiums
Paid/
(Received) | | Net Unrealized
Depreciation | |
USD | | | | $ | 71,250 | | | 10/20/22 | | Goldman
Sachs | | Umpqua
Holdings Corp. | | 0.76% | | Monthly | | $ | — | | | $ | (6,463 | ) | |
CAD | | | | | 20,166 | | | 12/20/22 | | Goldman
Sachs | | Shaw
Communications,
Inc. | | 1.40% | | Monthly | | | — | | | | (407 | ) | |
USD | | | | | 82,842 | | | 12/29/22 | | Goldman
Sachs | | Bottomline
Technologies | | 0.76% | | Monthly | | | — | | | | (233 | ) | |
USD | | | | | 84,600 | | | 12/29/22 | | Goldman
Sachs | | Ortho Clinical
Diagnostics | | 0.76% | | Monthly | | | — | | | | (6,148 | ) | |
USD | | | | | 45,702 | | | 01/06/23 | | Goldman
Sachs | | Flagstar
Bancorp, Inc. | | 0.76% | | Monthly | | | — | | | | (6,554 | ) | |
USD | | | | | 55,207 | | | 01/06/23 | | Goldman
Sachs | | Umpqua
Holdings Corp. | | 0.76% | | Monthly | | | — | | | | (5,008 | ) | |
USD | | | | | 68,931 | | | 01/06/23 | | Goldman
Sachs | | Bottomline
Technologies | | 0.76% | | Monthly | | | — | | | | (194 | ) | |
USD | | | | | 11,054 | | | 01/06/23 | | Goldman
Sachs | | Allegiance
Bancshares, Inc. | | 0.76% | | Monthly | | | — | | | | (635 | ) | |
USD | | | | | 36,903 | | | 01/06/23 | | Goldman
Sachs | | GCP Applied
Technologies | | 0.76% | | Monthly | | | — | | | | (106 | ) | |
USD | | | | | 62,073 | | | 01/06/23 | | Goldman
Sachs | | Rogers Corp. | | 0.76% | | Monthly | | | — | | | | (349 | ) | |
GBP | | | | | 60,460 | | | 01/06/23 | | Goldman
Sachs | | Avast PLC | | 1.17% | | Monthly | | | — | | | | (164 | ) | |
USD | | | | | 60,592 | | | 01/06/23 | | Goldman
Sachs | | American
National
Group, Inc. | | 0.76% | | Monthly | | | — | | | | (237 | ) | |
USD | | | | | 59,040 | | | 01/06/23 | | Goldman
Sachs | | Ortho Clinical
Diagnostics | | 0.76% | | Monthly | | | — | | | | (4,290 | ) | |
CAD | | | | | 14,166 | | | 01/06/23 | | Goldman
Sachs | | Shaw
Communications,
Inc. | | 1.40% | | Monthly | | | — | | | | (286 | ) | |
USD | | | | | 53,212 | | | 01/26/23 | | Goldman
Sachs | | Activison
Blizzard, Inc. | | 0.76% | | Monthly | | | — | | | | (3,164 | ) | |
USD | | | | | 147,695 | | | 02/02/23 | | Goldman
Sachs | | Citrix
System, Inc. | | 0.76% | | Monthly | | | — | | | | (1,649 | ) | |
USD | | | | | 158,317 | | | 02/09/23 | | Goldman
Sachs | | Spirit
Airlines, Inc. | | 0.76% | | Monthly | | | — | | | | (19,466 | ) | |
USD | | | | | 141,173 | | | 02/10/23 | | Goldman
Sachs | | Umpqua
Holdings Corp. | | 0.76% | | Monthly | | | — | | | | (12,806 | ) | |
USD | | | | | 57,632 | | | 02/10/23 | | Goldman
Sachs | | Activison
Blizzard, Inc. | | 0.76% | | Monthly | | | — | | | | (3,427 | ) | |
USD | | | | | 164,265 | | | 02/10/23 | | Goldman
Sachs | | Bottomline
Technologies | | 0.76% | | Monthly | | | — | | | | (463 | ) | |
USD | | | | | 171,561 | | | 02/10/23 | | Goldman
Sachs | | Spirit
Airlines, Inc. | | 0.76% | | Monthly | | | — | | | | (21,095 | ) | |
USD | | | | | 551,719 | | | 02/10/23 | | Goldman
Sachs | | Invesco FTSE
RAFI Emerging
Market ETF | | 0.76% | | Monthly | | | — | | | | (42,520 | ) | |
See Accompanying Notes to Consolidated Financial Statements.
22
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2022 (unaudited)
Total Return Swap Contracts (continued)
Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive | | Pay | | Periodic
Payment
Frequency | | Upfront
Premiums
Paid/
(Received) | | Net Unrealized
Depreciation | |
USD | | | | $ | 158,297 | | | 02/10/23 | | Goldman
Sachs | | American
National
Group, Inc. | | 0.76% | | Monthly | | $ | — | | | $ | (619 | ) | |
USD | | | | | 147,780 | | | 02/10/23 | | Goldman
Sachs | | Ortho Clinical
Diagnostics | | 0.76% | | Monthly | | | — | | | | (10,739 | ) | |
CAD | | | | | 37,127 | | | 02/10/23 | | Goldman
Sachs | | Shaw
Communications,
Inc. | | 1.40% | | Monthly | | | — | | | | (749 | ) | |
USD | | | | | 62,015 | | | 02/23/23 | | Goldman
Sachs | | Moneygram
International, Inc. | | 0.76% | | Monthly | | | — | | | | (2,917 | ) | |
USD | | | | | 54,588 | | | 02/24/23 | | Goldman
Sachs | | Umpqua
Holdings Corp. | | 0.76% | | Monthly | | | — | | | | (4,952 | ) | |
USD | | | | | 45,935 | | | 02/24/23 | | Goldman
Sachs | | Bottomline
Technologies | | 0.76% | | Monthly | | | — | | | | (129 | ) | |
USD | | | | | 36,961 | | | 02/24/23 | | Goldman
Sachs | | Spirit
Airlines, Inc. | | 0.76% | | Monthly | | | — | | | | (4,545 | ) | |
USD | | | | | 16,076 | | | 02/24/23 | | Goldman
Sachs | | Activison
Blizzard, Inc. | | 0.76% | | Monthly | | | — | | | | (956 | ) | |
USD | | | | | 44,308 | | | 02/24/23 | | Goldman
Sachs | | American
National
Group, Inc. | | 0.76% | | Monthly | | | — | | | | (173 | ) | |
USD | | | | | 9,036 | | | 02/24/23 | | Goldman
Sachs | | Moneygram
International, Inc. | | 0.76% | | Monthly | | | — | | | | (425 | ) | |
USD | | | | | 50,399 | | | 02/24/23 | | Goldman
Sachs | | Ortho Clinical
Diagnostics | | 0.76% | | Monthly | | | — | | | | (3,663 | ) | |
USD | | | | | 149,044 | | | 02/24/23 | | Goldman
Sachs | | Invesco FTSE
RAFI Emerging
Market ETF | | 0.76% | | Monthly | | | — | | | | (11,487 | ) | |
CAD | | | | | 10,397 | | | 02/24/23 | | Goldman
Sachs | | Shaw
Communications,
Inc. | | 1.40% | | Monthly | | | — | | | | (210 | ) | |
USD | | | | | 216,013 | | | 03/02/23 | | Goldman
Sachs | | First
Horizon Corp. | | 0.76% | | Monthly | | | — | | | | (12,535 | ) | |
USD | | | | | 351,295 | | | 03/02/23 | | Goldman
Sachs | | TEGNA Inc. | | 0.76% | | Monthly | | | — | | | | (6,720 | ) | |
USD | | | | | 70,984 | | | 03/02/23 | | Goldman
Sachs | | Tenneco Inc. | | 0.76% | | Monthly | | | — | | | | (7,198 | ) | |
USD | | | | | 117,721 | | | 03/07/23 | | Goldman
Sachs | | Invesco FTSE
RAFI Emerging
Market ETF | | 0.76% | | Monthly | | | — | | | | (9,073 | ) | |
CAD | | | | | 96,008 | | | 03/20/23 | | Goldman
Sachs | | Intertape
Polymer
Group, Inc. | | 1.40% | | Monthly | | | — | | | | (24 | ) | |
USD | | | | | 156,432 | | | 04/21/23 | | Goldman
Sachs | | Invesco FTSE
RAFI Emerging
Market ETF | | 0.76% | | Monthly | | | — | | | | (4,059 | ) | |
See Accompanying Notes to Consolidated Financial Statements.
23
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2022 (unaudited)
Total Return Swap Contracts (continued)
Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive | | Pay | | Periodic
Payment
Frequency | | Upfront
Premiums
Paid/
(Received) | | Net Unrealized
Depreciation | |
USD | | | | $ | 404,372 | | | 05/01/23 | | Goldman
Sachs | | Welbilt, Inc. | | 1.27% | | Monthly | | $ | — | | | $ | (777 | ) | |
USD | | | | | 64,492 | | | 05/01/23 | | Goldman
Sachs | | Flagstar
Bancorp, Inc. | | 1.27% | | Monthly | | | — | | | | (776 | ) | |
USD | | | | | 600,000 | | | 07/25/22 | | JPMorgan
Chase | | J.P. Morgan
EMBI Global
Core | | 0.62% | | At Maturity | | | — | | | | (18,123 | ) | |
USD | | | | | 2,368,306 | | | 07/25/22 | | JPMorgan
Chase | | J.P. Morgan
Equities Turn-of
the Month
Seasonality
Index(b) | | 0.00% | | At Maturity | | | — | | | | (91,241 | ) | |
USD | | | | | 4,359,746 | | | 07/25/22 | | JPMorgan
Chase | | J.P. Morgan
Commodities
Fundamental
Value Index(b) | | 0.80% | | At Maturity | | | — | | | | (73,373 | ) | |
USD | | | | | 18,684 | | | 12/12/22 | | JPMorgan
Chase | | Allegiance
Bancshares, Inc. | | 0.72% | | Monthly | | | — | | | | (1,073 | ) | |
USD | | | | | 88,481 | | | 12/12/22 | | JPMorgan
Chase | | Rogers Corp. | | 0.72% | | Monthly | | | — | | | | (497 | ) | |
USD | | | | | 85,880 | | | 12/27/22 | | JPMorgan
Chase | | Vonage
Holdings Corp. | | 0.72% | | Monthly | | | — | | | | (1,729 | ) | |
USD | | | | | 52,475 | | | 01/09/23 | | JPMorgan
Chase | | GCP Applied
Technologies | | 0.72% | | Monthly | | | — | | | | (150 | ) | |
EUR | | | | | 51,603 | | | 01/13/23 | | JPMorgan
Chase | | Intertrust NV | | (0.23)% | | Monthly | | | — | | | | (101 | ) | |
USD | | | | | 60,397 | | | 02/06/23 | | JPMorgan
Chase | | Vonage
Holdings Corp. | | 0.72% | | Monthly | | | — | | | | (1,216 | ) | |
EUR | | | | | 36,264 | | | 02/06/23 | | JPMorgan
Chase | | Intertrust NV | | (0.23)% | | Monthly | | | — | | | | (71 | ) | |
USD | | | | | 96,677 | | | 03/10/23 | | JPMorgan
Chase | | GCP Applied
Technologies | | 0.72% | | Monthly | | | — | | | | (277 | ) | |
USD | | | | | 162,805 | | | 03/10/23 | | JPMorgan
Chase | | Rogers Corp. | | 0.72% | | Monthly | | | — | | | | (915 | ) | |
USD | | | | | 125,567 | | | 03/10/23 | | JPMorgan
Chase | | Flagstar
Bancorp, Inc. | | 0.72% | | Monthly | | | — | | | | (18,008 | ) | |
USD | | | | | 158,275 | | | 03/10/23 | | JPMorgan
Chase | | Vonage
Holdings Corp. | | 0.72% | | Monthly | | | — | | | | (3,186 | ) | |
USD | | | | | 31,448 | | | 03/10/23 | | JPMorgan
Chase | | Intersect
Ent, Inc. | | 0.72% | | Monthly | | | — | | | | (520 | ) | |
USD | | | | | 164,167 | | | 03/10/23 | | JPMorgan
Chase | | Citrix
System, Inc. | | 0.72% | | Monthly | | | — | | | | (2,105 | ) | |
USD | | | | | 32,946 | | | 03/10/23 | | JPMorgan
Chase | | Allegiance
Bancshares, Inc. | | 0.72% | | Monthly | | | — | | | | (1,892 | ) | |
EUR | | | | | 95,042 | | | 03/10/23 | | JPMorgan
Chase | | Intertrust NV | | (0.23)% | | Monthly | | | — | | | | (187 | ) | |
See Accompanying Notes to Consolidated Financial Statements.
24
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2022 (unaudited)
Total Return Swap Contracts (continued)
Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive | | Pay | | Periodic
Payment
Frequency | | Upfront
Premiums
Paid/
(Received) | | Net Unrealized
Depreciation | |
USD | | | | $ | 6,112 | | | 03/24/23 | | JPMorgan
Chase | | Allegiance
Bancshares, Inc. | | 0.77% | | Monthly | | $ | — | | | $ | (351 | ) | |
USD | | | | | 45,466 | | | 03/24/23 | | JPMorgan
Chase | | Rogers Corp. | | 0.77% | | Monthly | | | — | | | | (256 | ) | |
USD | | | | | 32,721 | | | 03/24/23 | | JPMorgan
Chase | | Flagstar
Bancorp, Inc. | | 0.77% | | Monthly | | | — | | | | (4,693 | ) | |
USD | | | | | 27,056 | | | 03/24/23 | | JPMorgan
Chase | | GCP Applied
Technologies | | 0.77% | | Monthly | | | — | | | | (77 | ) | |
USD | | | | | 8,794 | | | 03/24/23 | | JPMorgan
Chase | | Intersect
Ent, Inc. | | 0.77% | | Monthly | | | — | | | | (145 | ) | |
USD | | | | | 45,326 | | | 03/24/23 | | JPMorgan
Chase | | Citrix
System, Inc. | | 0.77% | | Monthly | | | — | | | | (581 | ) | |
USD | | | | | 44,284 | | | 03/24/23 | | JPMorgan
Chase | | Vonage
Holdings Corp. | | 0.77% | | Monthly | | | — | | | | (891 | ) | |
EUR | | | | | 26,618 | | | 03/24/23 | | JPMorgan
Chase | | Intertrust NV | | (0.23)% | | Monthly | | | — | | | | (52 | ) | |
USD | | | | | 69,227 | | | 04/18/23 | | JPMorgan
Chase | | Whiting
Petroleum Corp. | | 0.72% | | Monthly | | | — | | | | (4,724 | ) | |
USD | | | | | 631,230 | | | 07/25/22 | | Macquarie
Bank Ltd. | | Macquarie WTI
Intraday Mean
Reversion(d) | | 0.15% | | At Maturity | | | — | | | | (4,915 | ) | |
USD | | | | | 3,258,295 | | | 07/25/22 | | Morgan
Stanley | | GC Intraday
Momentum
Index(e) | | 0.15% | | At Maturity | | | — | | | | (633 | ) | |
USD | | | | | 660,638 | | | 07/25/22 | | Morgan
Stanley | | Morgan Stanley
Soy Dynamic
Congestion
Index(b) | | 0.25% | | At Maturity | | | — | | | | (15 | ) | |
USD | | | | | 2,003,870 | | | 07/25/22 | | Societe
Generale | | SGI Coda Index(b) | | 0.25% | | At Maturity | | | — | | | | (9,386 | ) | |
| | | | | | | | | | | | | | | | | $ | (78 | ) | | $ | (699,241 | ) | |
| | | | | | | | | | | | | | | | | $ | (134 | ) | | $ | (116,698 | ) | |
(a) The index constituents are available on the counterparty's website.
(b) The index constituents are available on the Fund's website.
(c) The Index intends to track the performance of a strategy that trades the daily trend of the S&P 500 (the Underlying Index).
(d) The index intends to track the performance of a strategy that trades the daily trend of crude oil futures.
(e) The Index intends to track the performance of a strategy that trades the daily trend of the GC COMEX Gold Futures.
(f) The index intends to track the performance of a strategy that trades the daily trend of the NASDAQ 100 (the Underlying Index).
See Accompanying Notes to Consolidated Financial Statements.
25
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2022 (unaudited)
Currency Abbreviations:
AUD = Australian Dollar
CAD = Canadian Dollar
CHF = Swiss Franc
DKK = Danish Krone
EUR = Euro
GBP = British Pound
JPY = Japanese Yen
NOK = Norwegian Krone
USD = United States Dollar
See Accompanying Notes to Consolidated Financial Statements.
26
Credit Suisse Multialternative Strategy Fund
Consolidated Statement of Assets and Liabilities
April 30, 2022 (unaudited)
Assets | |
Investments at value, including collateral for securities on loan of $1,299,101
(Cost $16,297,678) (Note 2) | | $ | 16,451,5061 | | |
Cash segregated at brokers for futures contracts, swap contracts and written
options (Note 2) | | | 8,034,122 | | |
Unrealized appreciation on open swap contracts (Note 2) | | | 582,543 | | |
Receivable for Fund shares sold | | | 36,975 | | |
Receivable from investment adviser (Note 3) | | | 19,637 | | |
Unrealized appreciation on forward foreign currency contracts (Note 2) | | | 8,400 | | |
Variation margin receivable on futures contracts (Note 2) | | | 7,469 | | |
Dividend and interest receivable | | | 5,395 | | |
Prepaid expenses and other assets | | | 30,857 | | |
Total assets | | | 25,176,904 | | |
Liabilities | |
Administrative services fee payable (Note 3) | | | 6,696 | | |
Shareholder servicing/Distribution fee payable (Note 3) | | | 1,129 | | |
Payable upon return of securities loaned (Note 2) | | | 1,299,101 | | |
Unrealized depreciation on open swap contracts (Note 2) | | | 699,241 | | |
Due to custodian for foreign currency at value (cost $317,163) | | | 317,480 | | |
Securities sold short, at value (Proceeds $75,516) (Note 2) | | | 67,657 | | |
Net payable for open swap contracts | | | 28,093 | | |
Due to custodian | | | 25,633 | | |
Trustees' fee payable | | | 12,378 | | |
Payable for Fund shares redeemed | | | 4,905 | | |
Upfront payments received on swap contracts (Note 2) | | | 134 | | |
Accrued expenses | | | 150,738 | | |
Total liabilities | | | 2,613,185 | | |
Net Assets | |
Capital stock, $.001 par value (Note 6) | | | 2,567 | | |
Paid-in capital (Note 6) | | | 28,629,226 | | |
Total distributable earnings (loss) | | | (6,068,074 | ) | |
Net assets | | $ | 22,563,719 | | |
I Shares | |
Net assets | | $ | 17,016,316 | | |
Shares outstanding | | | 1,928,911 | | |
Net asset value, offering price and redemption price per share | | $ | 8.82 | | |
A Shares | |
Net assets | | $ | 5,547,403 | | |
Shares outstanding | | | 638,564 | | |
Net asset value and redemption price per share | | $ | 8.69 | | |
Maximum offering price per share (net asset value/(1-5.25%)) | | $ | 9.17 | | |
1 Includes $1,260,196 of securities on loan.
See Accompanying Notes to Consolidated Financial Statements.
27
Credit Suisse Multialternative Strategy Fund
Consolidated Statement of Operations
For the Six Months Ended April 30, 2022 (unaudited)
Investment Income | | | |
Dividends (net of foreign taxes withheld of $52) | | $ | 78,117 | | |
Interest | | | 9,294 | | |
Securities lending (net of rebates) | | | 6,186 | | |
Total investment income | | | 93,597 | | |
Expenses | | | |
Investment advisory fees (Note 3) | | | 123,335 | | |
Administrative services fees (Note 3) | | | 11,577 | | |
Shareholder servicing/Distribution fees (Note 3) | |
Class A | | | 7,033 | | |
Custodian fees | | | 43,296 | | |
Trustees' fees | | | 33,843 | | |
Audit and tax fees | | | 25,150 | | |
Registration fees | | | 23,677 | | |
Transfer agent fees | | | 20,534 | | |
Printing fees | | | 13,431 | | |
Legal fees | | | 10,089 | | |
Commitment fees (Note 4) | | | 5,981 | | |
Insurance expense | | | 647 | | |
Miscellaneous expense | | | 3,497 | | |
Total expenses | | | 322,090 | | |
Less: fees waived and expenses reimbursed (Note 3) | | | (214,255 | ) | |
Net expenses | | | 107,835 | | |
Net investment loss | | | (14,238 | ) | |
Net Realized and Unrealized Gain (Loss) from Investments, Futures Contracts,
Swap Contracts, Written Options, Securities Sold Short, Foreign Currency and
Forward Foreign Currency Contracts | |
Net realized gain from investments | | | 61,313 | | |
Net realized loss from futures contracts | | | (247,824 | ) | |
Net realized gain from swap contracts | | | 91,222 | | |
Net realized loss from written options | | | (4,695 | ) | |
Net realized gain from foreign currency transactions | | | 23,053 | | |
Net realized gain from forward foreign currency contracts | | | 50,933 | | |
Net change in unrealized appreciation (depreciation) from investments | | | (163,183 | ) | |
Net change in unrealized appreciation (depreciation) from futures contracts | | | 326,918 | | |
Net change in unrealized appreciation (depreciation) from swap contracts | | | (3,318 | ) | |
Net change in unrealized appreciation (depreciation) from written options | | | (4,288 | ) | |
Net change in unrealized appreciation (depreciation) from securities sold short | | | 7,859 | | |
Net change in unrealized appreciation (depreciation) from foreign currency translations | | | (11,009 | ) | |
Net change in unrealized appreciation (depreciation) from forward foreign
currency contracts | | | (6,046 | ) | |
Net realized and unrealized gain from investments, futures contracts, swap
contracts, written options, securities sold short, foreign currency and
forward foreign currency contracts | | | 120,935 | | |
Net increase in net assets resulting from operations | | $ | 106,697 | | |
See Accompanying Notes to Consolidated Financial Statements.
28
Credit Suisse Multialternative Strategy Fund
Consolidated Statements of Changes in Net Assets
| | | For the Six Months
Ended
April 30, 2022
(unaudited) | | For the Year
Ended
October 31, 2021 | |
From Operations | |
Net investment loss | | $ | (14,238 | ) | | $ | (60,461 | ) | |
Net realized gain (loss) from investments, futures contracts,
swap contracts, written options, foreign currency transactions
and forward foreign currency contracts | | | (25,998 | ) | | | 4,673,701 | | |
Net change in unrealized appreciation (depreciation) from
investments, futures contracts, swap contracts, written options,
securities sold short, foreign currency translations and forward
foreign currency contracts | | | 146,933 | | | | 74,701 | | |
Net increase in net assets resulting from operations | | | 106,697 | | | | 4,687,941 | | |
From Distributions | |
From distributable earnings | |
Class I | | | (1,614,218 | ) | | | (2,050,351 | ) | |
Class A | | | (490,483 | ) | | | (505,029 | ) | |
Net decrease in net assets resulting from distributions | | | (2,104,701 | ) | | | (2,555,380 | ) | |
| From Capital Share Transactions (Note 6) | |
Proceeds from sale of shares | | | 4,396,520 | | | | 12,246,511 | | |
Reinvestment of distributions | | | 2,060,098 | | | | 2,540,608 | | |
Net asset value of shares redeemed | | | (6,406,341 | ) | | | (44,140,673 | ) | |
Net increase (decrease) in net assets from capital
share transactions | | | 50,277 | | | | (29,353,554 | ) | |
Net decrease in net assets | | | (1,947,727 | ) | | | (27,220,993 | ) | |
Net Assets | |
Beginning of period | | | 24,511,446 | | | | 51,732,439 | | |
End of period | | $ | 22,563,719 | | | $ | 24,511,446 | | |
See Accompanying Notes to Consolidated Financial Statements.
29
Credit Suisse Multialternative Strategy Fund
Consolidated Financial Highlights
(For a Class I Share of the Fund Outstanding Throughout Each Period)
| | | For the Six
Months Ended
April 30, 2022 | | For the Year Ended October 31, | |
| | | (unaudited) | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 | |
Per share data | |
Net asset value, beginning of period | | $ | 9.581 | | | $ | 9.531 | | | $ | 9.86 | | | $ | 10.031 | | | $ | 10.54 | | | $ | 10.391 | | |
INVESTMENT OPERATIONS | |
Net investment income (loss)2 | | | (0.00 | )3 | | | (0.02 | ) | | | 0.04 | | | | 0.06 | | | | 0.05 | | | | (0.04 | ) | |
Net gain (loss) from investments,
futures contracts, swap contracts,
written options, securities sold short,
foreign currency transactions and
forward foreign currency contracts
(both realized and unrealized) | | | 0.06 | | | | 1.25 | | | | 0.10 | | | | (0.06 | ) | | | (0.08 | ) | | | 0.41 | | |
Total from investment operations | | | 0.06 | | | | 1.23 | | | | 0.14 | | | | 0.003 | | | | (0.03 | ) | | | 0.37 | | |
LESS DIVIDENDS AND DISTRIBUTIONS | |
Dividends from net investment income | | | (0.82 | ) | | | (1.18 | ) | | | (0.47 | ) | | | — | | | | — | | | | (0.04 | ) | |
Distributions from net realized gains | | | — | | | | — | | | | — | | | | (0.17 | ) | | | (0.48 | ) | | | (0.18 | ) | |
Total dividends and distributions | | | (0.82 | ) | | | (1.18 | ) | | | (0.47 | ) | | | (0.17 | ) | | | (0.48 | ) | | | (0.22 | ) | |
Net asset value, end of period | | $ | 8.82 | | | $ | 9.581 | | | $ | 9.531 | | | $ | 9.86 | | | $ | 10.031 | | | $ | 10.54 | | |
Total return4 | | | 0.34 | % | | | 13.87 | % | | | 1.46 | % | | | 0.11 | % | | | (0.29 | )% | | | 3.68 | % | |
RATIOS AND SUPPLEMENTAL DATA | |
Net assets, end of period
(000s omitted) | | $ | 17,016 | | | $ | 18,749 | | | $ | 47,382 | | | $ | 74,486 | | | $ | 104,886 | | | $ | 102,227 | | |
Ratio of net expenses to average
net assets | | | 0.85 | %5 | | | 0.85 | % | | | 0.85 | % | | | 0.85 | % | | | 0.89 | % | | | 1.00 | % | |
Ratio of expenses to average
net assets excluding securities
sold short dividend expense | | | 0.85 | %5 | | | 0.85 | % | | | 0.85 | % | | | 0.85 | % | | | 0.85 | % | | | 0.85 | % | |
Ratio of net investment income
(loss) to average net assets | | | (0.06 | )%5 | | | (0.16 | )% | | | 0.38 | % | | | 0.60 | % | | | 0.44 | % | | | (0.40 | )% | |
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements | | | 1.81 | %5 | | | 1.41 | % | | | 1.09 | % | | | 1.13 | % | | | 0.95 | % | | | 0.68 | % | |
Portfolio turnover rate6 | | | 178 | % | | | 532 | % | | | 571 | % | | | 305 | % | | | 1,373 | % | | | 586 | % | |
1 Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon net asset values may differ from the net asset values and returns for shareholder transactions.
2 Per share information is calculated using the average shares outstanding method.
3 This amount represents less than $0.01 per share.
4 Total returns are historical and include change 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 for periods less than one year are not annualized.
5 Annualized.
6 Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
See Accompanying Notes to Consolidated Financial Statements.
30
Credit Suisse Multialternative Strategy Fund
Consolidated Financial Highlights
(For a Class A Share of the Fund Outstanding Throughout Each Period)
| | | For the Six
Months Ended
April 30, 2022 | | For the Year Ended October 31, | |
| | | (unaudited) | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 | |
Per share data | |
Net asset value, beginning of period | | $ | 9.431 | | | $ | 9.391 | | | $ | 9.73 | | | $ | 9.921 | | | $ | 10.47 | | | $ | 10.31 | | |
INVESTMENT OPERATIONS | |
Net investment income (loss)2 | | | (0.01 | ) | | | (0.04 | ) | | | (0.00 | )3 | | | 0.03 | | | | 0.02 | | | | (0.07 | ) | |
Net gain (loss) from investments,
futures contracts, swap contracts,
written options, securities sold short,
foreign currency transactions and
forward foreign currency contracts
(both realized and unrealized) | | | 0.07 | | | | 1.24 | | | | 0.10 | | | | (0.05 | ) | | | (0.09 | ) | | | 0.42 | | |
Total from investment operations | | | 0.06 | | | | 1.20 | | | | 0.10 | | | | (0.02 | ) | | | (0.07 | ) | | | 0.35 | | |
LESS DIVIDENDS AND DISTRIBUTIONS | |
Dividends from net investment income | | | (0.80 | ) | | | (1.16 | ) | | | (0.44 | ) | | | — | | | | — | | | | (0.01 | ) | |
Distributions from net realized gains | | | — | | | | — | | | | — | | | | (0.17 | ) | | | (0.48 | ) | | | (0.18 | ) | |
Total dividends and distributions | | | (0.80 | ) | | | (1.16 | ) | | | (0.44 | ) | | | (0.17 | ) | | | (0.48 | ) | | | (0.19 | ) | |
Net asset value, end of period | | $ | 8.69 | | | $ | 9.431 | | | $ | 9.391 | | | $ | 9.73 | | | $ | 9.921 | | | $ | 10.47 | | |
Total return4 | | | 0.29 | % | | | 13.64 | % | | | 1.10 | % | | | (0.10 | )% | | | (0.68 | )% | | | 3.45 | % | |
RATIOS AND SUPPLEMENTAL DATA | |
Net assets, end of period
(000s omitted) | | $ | 5,547 | | | $ | 5,763 | | | $ | 4,350 | | | $ | 994 | | | $ | 1,414 | | | $ | 1,267 | | |
Ratio of net expenses to average
net assets | | | 1.10 | %5 | | | 1.10 | % | | | 1.10 | % | | | 1.10 | % | | | 1.14 | % | | | 1.26 | % | |
Ratio of expenses to average
net assets excluding securities
sold short dividend expense | | | 1.10 | %5 | | | 1.10 | % | | | 1.10 | % | | | 1.10 | % | | | 1.10 | % | | | 1.10 | % | |
Ratio of net investment income
(loss) to average net assets | | | (0.31 | )%5 | | | (0.42 | )% | | | (0.04 | )% | | | 0.30 | % | | | 0.19 | % | | | (0.65 | )% | |
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements | | | 1.81 | %5 | | | 1.41 | % | | | 1.09 | % | | | 1.13 | % | | | 0.94 | % | | | 0.68 | % | |
Portfolio turnover rate6 | | | 178 | % | | | 532 | % | | | 571 | % | | | 305 | % | | | 1,373 | % | | | 586 | % | |
1 Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon net asset values may differ from the net asset values and returns for shareholder transactions.
2 Per share information is calculated using the average shares outstanding method.
3 This amount represents less than $0.01 per share.
4 Total returns are historical and include change in share price, reinvestment of all dividends and distributions and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.
5 Annualized.
6 Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
See Accompanying Notes to Consolidated Financial Statements.
31
Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements
April 30, 2022 (unaudited)
Credit Suisse Multialternative Strategy Fund (the "Fund"), a series of Credit Suisse Opportunity Funds (the "Trust"), a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a non-diversified open-end management investment company that seeks to achieve total return consistent with the risk and return patterns of a diversified universe of hedge funds. The Trust was organized under the laws of the State of Delaware as a business trust on May 31, 1995.
Credit Suisse Asset Management, LLC ("Credit Suisse"), the investment adviser to the Fund, is registered as an investment adviser with the Securities and Exchange Commission and as a Commodity Pool Operator with the Commodity Futures Trading Commission. The Fund intends to gain exposure to commodity derivatives through investing in a wholly-owned subsidiary, Credit Suisse Cayman Multialternative Strategy Fund, Ltd. (the "Subsidiary"), organized under the laws of the Cayman Islands. The Subsidiary invests in commodity-linked derivative instruments, such as swaps and futures. The Subsidiary may also invest in debt securities, some of which are intended to serve as margin or collateral for the Subsidiary's derivatives positions.
The Subsidiary is managed by the same portfolio managers that manage the Fund and the accompanying financial statements reflect the financial position of the Fund and the Subsidiary and the results of operations on a consolidated basis. The consolidated financial statements include portfolio holdings of the Fund and the Subsidiary and all intercompany transactions and balances have been eliminated. The Fund may invest up to 25% of its total assets in the Subsidiary. As of April 30, 2022, the Fund held $4,850,825 in the Subsidiary, representing 21.5% of the Fund's consolidated net assets. For the six months ended April 30, 2022, the net realized gain on securities and other financial instruments held in the Subsidiary was $694,491.
Subsequent references to the Fund within the Notes to Consolidated Financial Statements collectively refer to the Fund and the Subsidiary, unless the context otherwise requires.
The Fund offers two classes of shares: Class I shares and Class A shares. Each class of shares represents an equal pro rata interest in the Fund, except the share classes bear different expenses. Class A shares are sold subject to a front-end sales charge of up to 5.25%. Class I shares are sold without a sales charge.
32
Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its consolidated financial statements. The policies are in accordance with generally accepted accounting principles in the United States of America ("GAAP"). The preparation of consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the consolidated financial statements. Actual results could differ from those estimates. The Fund is considered an investment company for financial reporting purposes under GAAP and follows the accounting and reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 — Financial Services — Investment Companies.
A) SECURITY VALUATION — The Board of Trustees (the "Board") is responsible for the Fund's valuation process. The Board has delegated the supervision of the daily valuation process to Credit Suisse Asset Management, LLC, the Fund's investment adviser ("Credit Suisse" or the "Adviser"), who has established a Pricing Committee which, pursuant to the policies adopted by the Board, is responsible for making fair valuation determinations and overseeing the Fund's pricing policies. The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the "Exchange") on each day the Exchange is open for business. For certain international equity securities, in order to adjust for events which may occur between the close of the foreign exchanges and the close of the Exchange, a fair valuation model may be used. This fair valuation model takes into account comparisons to the valuation of American Depository Receipts (ADRs), exchange-traded funds, futures contracts and certain indices and these securities are categorized as Level 2. 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
33
Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
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. Option contracts on securities, currencies, indices, futures contracts, swaps and other instruments are valued at the mid-point between the last bid and ask quotations as of the close of trading on the exchange on which the option is traded. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Over-the-counter derivative financial instruments, such as swap agreements, generally derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more brokers/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, these securities will be fair valued in good faith by the Pricing Committee, in accordance with procedures adopted by the Board.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
34
Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
GAAP established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at each measurement date. These inputs are summarized in the three broad levels listed below:
• Level 1 – quoted prices in active markets for identical investments
• Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
• Level 3 – significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of April 30, 2022 in valuing the Fund's assets and liabilities carried at fair value:
Assets | | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities | |
Common Stocks | | $ | 2,205,323 | | | $ | 465,475 | | | $ | — | | | $ | 2,670,798 | | |
Exchange-Traded Funds | | | 1,722,420 | | | | — | | | | — | | | | 1,722,420 | | |
United States Treasury Obligations | | | — | | | | 4,368,237 | | | | — | | | | 4,368,237 | | |
Short-term Investments | | | 6,390,950 | | | | 1,299,101 | | | | — | | | | 7,690,051 | | |
| | | $ | 10,318,693 | | | $ | 6,132,813 | | | $ | — | | | $ | 16,451,506 | | |
Other Financial Instruments* | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 8,400 | | | $ | — | | | $ | 8,400 | | |
Futures Contracts | | | 664,153 | | | | — | | | | — | | | | 664,153 | | |
Swap Contracts | | | — | | | | 582,543 | | | | — | | | | 582,543 | | |
Liabilities | | Level 1 | | Level 2 | | Level 3 | | Total | |
Securities Sold Short | |
Common Stocks | | $ | 67,657 | | | $ | — | | | $ | — | | | $ | 67,657 | | |
Other Financial Instruments* | |
Futures Contracts | | $ | 667,911 | | | $ | — | | | $ | — | | | $ | 667,911 | | |
Swap Contracts | | | — | | | | 699,241 | | | | — | | | | 699,241 | | |
* Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts, futures and swap contracts.
For the six months ended April 30, 2022, there were no transfers among Level 2 and Level 3. All transfers, if any, are assumed to occur at the end of the reporting period.
B) DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES — The Fund adopted amendments to authoritative guidance on disclosures about derivative instruments and hedging activities which require that a fund disclose (a) how and why an entity uses derivative instruments, (b) how derivative instruments
35
Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
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. For the six months ended April 30, 2022, the Fund's derivatives did not qualify for hedge accounting as they are held at fair value.
The following table presents the fair value and the location of derivatives within the Consolidated Statement of Assets and Liabilities at April 30, 2022 and the effect of these derivatives on the Consolidated Statement of Operations for the six months ended April 30, 2022.
Primary Underlying Risk | | Derivative
Assets(1) | | Derivative
Liabilities(1) | | Realized
Gain (Loss) | | Change in
Unrealized
Appreciation
(Depreciation) | |
Foreign currency exchange rate | |
Forward contracts | | $ | 8,400 | | | $ | — | | | $ | 50,933 | | | $ | (6,046 | ) | |
Futures contracts(2) | | | 36,297 | | | | — | | | | 59,671 | | | | 18,229 | | |
Swap contracts | | | — | | | | 20,089 | | | | (77,538 | ) | | | 28,325 | | |
Interest rate | |
Futures contracts(2) | | | 212,027 | | | | 387,643 | | | | (194,992 | ) | | | 15,637 | | |
Swap contracts | | | 73,639 | | | | 18,123 | | | | 414,106 | | | | 29,619 | | |
Equity price | |
Futures contracts(2) | | | 118,972 | | | | 5,944 | | | | 89,002 | | | | 261,729 | | |
Swap contracts | | | 399,834 | | | | 563,942 | | | | (1,144,008 | ) | | | 38,446 | | |
Written options | | | — | | | | — | | | | (4,695 | ) | | | (4,288 | ) | |
Credit risk | |
Swap contracts | | | — | | | | 6,110 | | | | 2,670 | | | | (29,287 | ) | |
Commodity price | |
Futures contracts(2) | | | 296,857 | | | | 274,324 | | | | (201,505 | ) | | | 31,323 | | |
Swap contracts | | | 109,070 | | | | 90,977 | | | | 895,992 | | | | (70,421 | ) | |
Total | | $ | 1,255,096 | | | $ | 1,367,152 | | | $ | (110,364 | ) | | $ | 313,266 | | |
(1) Generally, the balance sheet location for asset derivatives is receivables/net unrealized appreciation (depreciation) and for liability derivatives is payables/net unrealized appreciation (depreciation).
(2) Includes cumulative appreciation (depreciation) of futures contracts as reported in the Consolidated Schedule of Investments. Only variation margin is reported within the receivables and/or payables on the Consolidated Statement of Assets and Liabilities.
For the six months ended April 30, 2022, the Fund held average monthly value on a net basis of $971,567 in forward foreign currency contracts and average monthly notional values of $15,235,896 and $21,092,960 in long futures contracts and short futures contracts and $86,110,656 in swap contracts, respectively. For the six months ended April 30, 2022, the Fund received average monthly premiums of $6,588 from put written options contracts.
The Fund is a party to International Swap and Derivatives Association, Inc. ("ISDA") Master Agreements ("Master Agreements") with certain
36
Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
counterparties that govern over-the-counter derivative (including total return, credit default and interest rate swaps) and foreign exchange contracts entered into by the Fund. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. Termination events applicable to the Fund may occur upon a decline in the Fund's net assets below a specified threshold over a certain period of time.
The following table presents by counterparty the Fund's derivative assets, net of related collateral held by the Fund, at April 30, 2022:
Counterparty | | Gross Amount of
Derivative Assets
Presented in the
Consolidated
Statement of Assets
and Liabilities(a) | | Financial
Instruments
and Derivatives
Available for Offset | | Non-Cash
Collateral
Received | | Cash
Collateral
Received(b) | | Net Amount
of Derivative
Assets | |
Bank of America | | $ | 9,054 | | | $ | (9,054 | ) | | $ | — | | | $ | — | | | $ | — | | |
Barclays Bank Ltd. | | | 38,333 | | | | (20,211 | ) | | | — | | | | — | | | | 18,122 | | |
BNP Paribas | | | 44,613 | | | | (6,781 | ) | | | — | | | | — | | | | 37,832 | | |
Citigroup | | | 26,979 | | | | — | | | | — | | | | — | | | | 26,979 | | |
Goldman Sachs | | | 313,640 | | | | (237,592 | ) | | | — | | | | — | | | | 76,048 | | |
JPMorgan Chase | | | 86,388 | | | | (86,388 | ) | | | — | | | | — | | | | — | | |
Morgan Stanley | | | 5,062 | | | | (648 | ) | | | — | | | | — | | | | 4,414 | | |
Societe Generale | | | 66,874 | | | | (9,386 | ) | | | — | | | | — | | | | 57,488 | | |
| | | $ | 590,943 | | | $ | (370,060 | ) | | $ | — | | | $ | — | | | $ | 220,883 | | |
The following table presents by counterparty the Fund's derivative liabilities, net of related collateral pledged by the Fund, at April 30, 2022:
Counterparty | | Gross Amount of
Derivative Liabilities
Presented in the
Consolidated
Statement of Assets
and Liabilities(a) | | Financial
Instruments
and Derivatives
Available for Offset | | Non-Cash
Collateral
Pledged | | Cash
Collateral
Pledged(b) | | Net Amount
of Derivative
Liabilities | |
Bank of America | | $ | 193,274 | | | $ | (9,054 | ) | | $ | — | | | $ | — | | | $ | 184,220 | | |
Barclays Bank PLC | | | 20,211 | | | | (20,211 | ) | | | — | | | | — | | | | — | | |
BNP Paribas | | | 6,781 | | | | (6,781 | ) | | | — | | | | — | | | | — | | |
Goldman Sachs | | | 237,592 | | | | (237,592 | ) | | | — | | | | — | | | | — | | |
JPMorgan Chase | | | 226,434 | | | | (86,388 | ) | | | — | | | | (140,046 | ) | | | — | | |
Macquarie Bank Ltd. | | | 4,915 | | | | — | | | | — | | | | — | | | | 4,915 | | |
Morgan Stanley | | | 648 | | | | (648 | ) | | | — | | | | — | | | | — | | |
Societe Generale | | | 9,386 | | | | (9,386 | ) | | | — | | | | — | | | | — | | |
| | | $ | 699,241 | | | $ | (370,060 | ) | | $ | — | | | $ | (140,046 | ) | | $ | 189,135 | | |
(a) Swap contracts and forward foreign currency exchange contracts are included.
(b) The actual collateral pledged may be more than the amounts shown.
37
Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
C) FOREIGN CURRENCY TRANSACTIONS — The books and records of the Fund are maintained in U.S. dollars. Transactions denominated in foreign currencies are recorded at the current prevailing exchange rates. All assets and liabilities denominated in foreign currencies, including purchases and sales of investments, and income and expenses, are translated into U.S. dollar amounts on the date of those transactions.
Reported net realized gain (loss) from foreign currency transactions arises from sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on securities transactions; and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net change in unrealized gains and losses on translation of assets and liabilities denominated in foreign currencies arises from changes in the fair values of assets and liabilities, other than investments, at the end of the period, resulting from changes in exchange rates.
The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held. Such fluctuations are included with net realized and unrealized gain or loss from investments in the Consolidated Statement of Operations.
D) SECURITY TRANSACTIONS AND INVESTMENT INCOME/EXPENSE — Security transactions are accounted for on a trade date basis. Interest income/expense is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Dividend income/expense is recorded on the ex-dividend date. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Certain expenses are class-specific expenses, vary by class and are charged only to that class. Income, expenses (excluding class-specific expenses) and realized/unrealized gains/losses are allocated proportionately to each class of shares based upon the relative net asset value of the outstanding shares of that class. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.
38
Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
E) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income, if any, 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. Dividends and distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations, which may differ from GAAP.
F) FEDERAL AND OTHER TAXES — No provision is made for federal taxes as it is the Fund's intention to continue to qualify as a regulated investment company ("RIC") under the Internal Revenue Code of 1986, as amended (the "Code"), and to make the requisite distributions to its shareholders, which will be sufficient to relieve it from federal income and excise taxes.
In order to qualify as a RIC under the Code, the Fund must meet certain requirements regarding the source of its income, the diversification of its assets and the distribution of its income. One of these requirements is that the Fund derive at least 90% of its gross income for each taxable year from dividends, interest, payments with respect to certain securities loans, gains from the sale or other disposition of stock, securities or foreign currencies, other 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 Internal Revenue Service ("IRS") has issued a ruling that income realized from certain types of commodity-linked derivatives would not be Qualifying Income. As a result, the Fund's ability to realize income from investments in such commodity-linked derivatives as part of its investment strategy would be limited to a maximum of 10% of its gross income.
If the Fund is unable to ensure continued qualification as a RIC, the Fund may be required to change its investment objective, policies or techniques, or may be liquidated. If the Fund fails to qualify as a RIC, the Fund 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 Fund were to fail to qualify as a RIC and become subject to federal income tax, shareholders of the Fund would be subject to the risk of diminished returns. 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
39
Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
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. The Fund's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
G) CASH — The Fund's uninvested cash balance is held in an interest bearing variable rate demand deposit account at State Street Bank and Trust Company ("SSB"), the Fund's custodian.
H) SHORT SALES — When the Fund engages in a short sale, the collateral for the short position will be maintained by the Fund's custodian or qualified sub-custodian. While the short sale is open, the Fund will maintain in a segregated account an amount of liquid securities equal in value to its obligation to the securities sold short. The collateral amounts required are determined daily by reference to the market value of the short positions. Short sales expose the Fund 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 Fund. The Fund's loss on a short sale could theoretically be unlimited in a case where the Fund 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 Fund losses. The use by the Fund of short sales in combination with long positions in the Fund in an attempt to improve performance may not be successful and may result in greater losses or lower positive returns than if the Fund held only long positions. It is possible that the Fund'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 Fund. In addition, the Fund'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 Fund. Also, there is the risk that the counterparty to a short sale may fail to honor its contractual terms, causing a loss to the Fund. At April 30, 2022, the amount of restricted cash held at brokers related to open short positions was $0.
I) 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 interest rates, equity and market price movements and/or currency risks. Upon entering into a futures contract, the Fund is required to deposit cash and/or pledge
40
Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
U.S. Government securities as initial margin with a Futures Commission Merchant ("FCM"). 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 in the Consolidated Statement of Operations 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 transaction and the Fund's basis in the contract. Risks of entering into futures contracts for hedging purposes include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. Futures have minimal counterparty credit risk because 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. The Fund's open futures contracts are disclosed in the Consolidated Schedule of Investments. At April 30, 2022, the amount of restricted cash held at brokers related to open futures contracts was $2,587,650.
The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM's proprietary activities. A customer's cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM's segregation requirements. In the event of an FCM's insolvency, recovery may be limited to the Fund's pro-rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited.
J) FORWARD FOREIGN CURRENCY CONTRACTS — A forward foreign currency exchange contract ("forward currency contract") is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. The Fund will enter into forward currency contracts primarily for hedging foreign currency risk. Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and unrealized gain/loss is recorded daily. On the settlement date of the forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was closed. Certain risks may arise upon entering into forward currency contracts from the potential inability of counterparties to meet the terms of their contracts. The maximum counterparty credit risk to the Fund is measured
41
Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
by the unrealized gain on appreciated contracts. Additionally, when utilizing forward currency contracts to hedge, the Fund forgoes the opportunity to profit from favorable exchange rate movements during the term of the contract. The Fund's open forward currency contracts are disclosed in the Consolidated Schedule of Investments. At April 30, 2022 the amount of restricted cash held at brokers related to open forward foreign currency contracts was $0.
K) SWAPS — The Fund may enter into swaps either for hedging purposes or to seek to increase total return. A swap contract 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. A centrally cleared swap is a transaction executed between the Fund and a counterparty, then cleared by a clearing member through a central clearinghouse. The central clearinghouse serves as the counterparty, with whom the Fund exchanges cash flows. The Fund will enter into swap contracts 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 extent of the Fund's exposure to credit and counterparty risks is the discounted net value of the cash flows to be received from the counterparty over the contract's remaining life, to the extent that the amount is positive. These risks are 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 as well as the amounts posted by the counterparty pursuant to the master netting agreement to a swap contract in evaluating potential credit risk. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying reference asset or index.
The Fund may enter into total return swap contracts, involving commitments to pay interest in exchange for a market-linked return, both based on notional amounts. The Fund may invest in total return swap contracts for hedging purposes or to seek to increase total return. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty.
42
Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
The Fund may enter into credit default swap agreements either as a buyer or seller. The Fund may buy a credit default swap to attempt to mitigate the risk of default or credit quality deterioration in one or more individual holdings or in a segment of the fixed income securities market. The Fund may sell a credit default swap in an attempt to gain exposure to an underlying issuer's credit quality characteristics without investing directly in that issuer.
The Fund bears the risk of loss of the amount expected to be received under a credit default swap agreement in the event of the default or bankruptcy of the counterparty. The Fund will enter into swap agreements only with counterparties that meet certain standards of creditworthiness (generally, such counterparties would have to be eligible counterparties under the terms of the Fund's repurchase agreement guidelines). Credit default swap agreements are generally valued at a price at which the counterparty to such agreement would terminate the agreement.
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 from swap contracts. Realized gains and losses from terminated swaps are included in net realized gains/losses from swap contracts. Upon entering into a centrally cleared swap, the Fund is required to deposit with a financial intermediary cash or securities ("initial margin") in an amount equal to a certain percentage of the notional amount of the swap. Subsequent payments ("variation margin") are made or received by the Fund dependent upon the daily fluctuations in the value of the swap. In a cleared swap transaction, counterparty risk is minimized as the central clearinghouse acts as the counterparty. The Fund's open swap contracts are disclosed in the Consolidated Schedule of Investments. At April 30, 2022, the amounts of restricted cash held at brokers related to open swap contracts for the Fund was $4,207,462.
L) OPTION CONTRACTS — The Fund will enter into options contracts to gain exposure to risk volatility based assets. When the Fund purchases an option, it pays a premium and the option is subsequently marked to market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the cost or deducted from the proceeds on the
43
Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
underlying instrument to determine the realized gain or loss. The risk associated with purchasing options is limited to the premium paid.
When the Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised or closed are deducted from the cost or added to the proceeds on the underlying instrument or closing purchase transaction to determine the realized gain or loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument underlying the written option.
Exchange-traded options have standardized contracts and are settled through a clearing house with fulfillment guaranteed by the credit of the exchange. Therefore, counterparty credit risks to the Fund are limited. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option. As of April 30, 2022, the Fund held no open written option contracts. At April 30, 2022, the amount of restricted cash held at brokers related to option contracts was $1,239,010.
M) SECURITIES LENDING — The initial collateral received by the Fund is required to have a value of at least 102% of the market value of domestic securities on loan (including any accrued interest thereon) and 105% of the market value of foreign securities on loan (including any accrued interest thereon). The collateral is maintained thereafter at a value equal to at least 102% of the current market value of the securities on loan. The market value of loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day. Cash collateral received by the Fund in connection with securities lending activity may be pooled together with cash collateral for other funds/portfolios advised by Credit Suisse and may be invested in a variety of investments, including funds advised by SSB, the Fund'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. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Fund or the borrower at any time.
44
Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
SSB has been engaged by the Fund to act as the Fund's securities lending agent. As of April 30, 2022, the Fund had outstanding loans of securities to certain approved brokers for which the Fund received collateral:
Market Value of
Loaned Securities | | Market Value of
Cash Collateral | | Total Collateral | |
| $ | 1,260,196 | | | $ | 1,299,101 | | | $ | 1,299,101 | | |
The following table presents financial instruments that are subject to enforceable netting arrangements as of April 30, 2022.
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | |
Gross Asset Amounts
Presented in Consolidated
Statement of
Assets and Liabilities(a) | | Collateral Received(b) | | Net Amount
(not less than $0) | |
| $ | 1,260,196 | | | $ | (1,260,196 | ) | | $ | 0 | | |
(a) Represents market value of loaned securities at period end.
(b) The actual collateral received is greater than the amount shown here due to collateral requirements of the security lending agreement.
During the six months ended April 30, 2022, total earnings from the Fund's investment in cash collateral received in connection with securities lending arrangements was $8,190, of which $3 was rebated to borrowers (brokers). The Fund retained $6,186 in income from the cash collateral investment, and SSB, as lending agent, was paid $2,001. Securities lending income is accrued as earned.
N) OTHER — In the normal course of business, the Fund trades financial instruments and enters into financial transactions for which risk of potential loss exists due to changes in the market (market risk) or failure of the other party to a transaction to perform (credit risk). Similar to credit risk, the Fund may be exposed to counterparty risk, including with respect to securities lending, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. The potential loss could exceed the value of the financial assets recorded in the consolidated financial statements. Financial assets, which potentially expose the Fund to credit risk, consist principally of cash due from counterparties and investments. The extent of the Fund's exposure to credit and counterparty risks in respect to these financial assets approximates their carrying value as recorded in the Fund's Consolidated Statement of Assets and Liabilities.
O) FOREIGN INVESTMENTS RISK — The Fund may have elements of risk not typically associated with investments in the U.S. due to concentrated investments in a limited number of countries or regions, which may vary
45
Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
throughout the year. Such concentrations may subject the Fund to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.
Because the Fund may invest a significant portion of its assets in these markets, it is subject to greater risks of adverse events that occur in those markets and may experience greater volatility than a Fund that is more broadly diversified geographically.
Note 3. Transactions with Affiliates and Related Parties
Credit Suisse serves as investment adviser and co-administrator for the Fund. Credit Suisse is entitled to receive a fee from the Fund at an annual rate of 1.04% of the Fund's average daily net assets. For the six months ended April 30, 2022, investment advisory and administration fees earned and fees waived/expenses reimbursed by Credit Suisse were $123,335 and $214,255, respectively. Credit Suisse has contractually agreed to limit expenses so that the Fund's annual operating expenses do not exceed 0.85% of the Fund's average daily net assets for Class I shares and 1.10% of the Fund's average daily net assets for Class A shares. The Fund is authorized to reimburse Credit Suisse for management fees previously limited and/or for expenses previously reimbursed by Credit Suisse, provided, however, that any reimbursements must be paid at a date not more than thirty-six months following the applicable month during which such fees were limited or expenses were reimbursed by Credit Suisse and the reimbursements do not cause the Fund to exceed the applicable expense limitation in the contract at the time the fees are recouped. This contract may not be terminated before February 28, 2023. For the six months ended April 30, 2022 there was no recoupment.
The amounts waived and reimbursed by Credit Suisse, which are available for potential future recoupment by Credit Suisse, and the expiration schedule at April 30, 2022 are as follows:
| | | Fee waivers/expense
reimbursements
subject to
recoupment | | Expires
October 31,
2022* | | Expires
October 31,
2023 | | Expires
October 31,
2024 | | Expires
October 31,
2025 | |
Class I | | $ | 1,896,814 | | | $ | 853,318 | | | $ | 549,407 | | | $ | 330,661 | | | $ | 163,428 | | |
Class A | | | 159,550 | | | | 12,498 | | | | 22,178 | | | | 74,047 | | | | 50,827 | | |
Totals | | $ | 2,056,364 | | | $ | 865,816 | | | $ | 571,585 | | | $ | 404,708 | | | $ | 214,255 | | |
* The Subsidiary expenses are not eligible for recoupment.
46
Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 3. Transactions with Affiliates and Related Parties (continued)
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 April 30, 2022, co-administrative services fees earned by SSB (including out-of-pocket expenses) with respect to the Fund were $11,577.
Credit Suisse Securities (USA) LLC ("CSSU"), an affiliate of Credit Suisse, serves as the distributor of the Fund's shares. Pursuant to a distribution plan adopted by the Fund pursuant to Rule 12b-1 under the 1940 Act, CSSU receives fees for its distribution services. These fees are calculated at an annual rate of 0.25% of the average daily net assets of the Class A shares. For the six months ended April 30, 2022, the Fund paid Rule 12b-1 distribution fees of $7,033 for Class A shares. Class I shares are not subject to Rule 12b-1 distribution fees.
For the six months ended April 30, 2022, CSSU and its affiliates advised the Fund that they retained $151 from commissions earned on the sale of the Fund's Class A shares.
Note 4. Line of Credit
The Fund, together with other funds/portfolios advised by Credit Suisse (collectively, the "Participating Funds"), participates in a committed, unsecured line of credit facility ("Credit Facility"), with SSB in an aggregated amount of $125 million for temporary or emergency purposes under a first-come, first-served basis. 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 Federal Funds Effective rate or the Overnight Bank Funding rate plus a spread. At April 30, 2022 and during the six months ended April 30, 2022, the Fund had no borrowings outstanding under the Credit Facility.
Note 5. Purchases and Sales of Securities
For the six months ended April 30, 2022, 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 | |
| $ | 8,106,752 | | | $ | 13,106,729 | | | $ | 0 | | | $ | 0 | | |
47
Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 6. Capital Share Transactions
The Fund is authorized to issue an unlimited number of full and fractional shares of beneficial interest, $.001 par value per share. The Fund offers Class I and Class A shares. Transactions in capital shares for each class of the Fund were as follows:
| | | Class I | |
| | | For the Six Months Ended
April 30, 2022 (unaudited) | | For the Year Ended
October 31, 2021 | |
| | | Shares | | Value | | Shares | | Value | |
Shares sold | | | 396,947 | | | $ | 3,546,518 | | | | 1,024,349 | | | $ | 9,604,665 | | |
Shares issued in reinvestment
of distributions | | | 180,966 | | | | 1,614,218 | | | | 228,783 | | | | 2,036,171 | | |
Shares redeemed | | | (605,970 | ) | | | (5,360,891 | ) | | | (4,269,635 | ) | | | (42,302,380 | ) | |
Net decrease | | | (28,057 | ) | | $ | (200,155 | ) | | | (3,016,503 | ) | | $ | (30,661,544 | ) | |
| | | Class A | |
| | | For the Six Months Ended
April 30, 2022 (unaudited) | | For the Year Ended
October 31, 2021 | |
| | | Shares | | Value | | Shares | | Value | |
Shares sold | | | 96,018 | | | $ | 850,002 | | | | 285,740 | | | $ | 2,641,846 | | |
Shares issued in reinvestment
of distributions | | | 50,668 | | | | 445,880 | | | | 57,387 | | | | 504,437 | | |
Shares redeemed | | | (118,966 | ) | | | (1,045,450 | ) | | | (195,443 | ) | | | (1,838,293 | ) | |
Net increase | | | 27,720 | | | $ | 250,432 | | | | 147,684 | | | $ | 1,307,990 | | |
On April 30, 2022, the number of shareholders that held 5% or more of the outstanding shares of each class of the Fund was as follows:
| | | Number of
Shareholders | | Approximate Percentage
of Outstanding Shares | |
Class I | | | 4 | | | | 94 | % | |
Class A | | | 3 | | | | 88 | % | |
The Fund's performance may be negatively impacted in the event one or more of the Fund's greater than 5% shareholders were to redeem at a given time. Some of the shareholders may be omnibus accounts, which hold shares on behalf of individual shareholders.
Note 7. 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.
48
Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2022 (unaudited)
Note 8. Subsequent Events
In preparing the financial statements as of April 30, 2022, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements through the date of release of this report. No such events requiring recognition or disclosure were identified through the date of the release of this report.
49
Credit Suisse Multialternative Strategy Fund
Board Approval of Investment Management Agreement (unaudited)
In approving the renewal of the amended and restated investment management agreement (the "Investment Management Agreement") for the Credit Suisse Multialternative Strategy Fund (the "Fund"), a series of Credit Suisse Opportunity Funds (the "Trust"), the Board of Trustees of the Trust (the "Board"), including all of the trustees who are not "interested persons" of the Trust as defined in the Investment Company Act of 1940 (the "Independent Trustees"), at a special telephonic meeting held on November 8, 2021 where the Board discussed information and materials previously provided to them in connection with the renewal of the Investment Management Agreement, and at a meeting held via Zoom on November 15 and 16, 2021, considered the following factors:
Investment Management Fee Rates and Expenses
The Board reviewed and considered the contractual management fee rate of 1.04% of the Fund's average daily net assets (the "Contractual Management Fee") for the Fund in light of the extent and quality of the management services provided by Credit Suisse Asset Management, LLC ("Credit Suisse"), the Fund's investment manager. The Board also considered that Credit Suisse has entered into a contractual expense limitation agreement ("Expense Limitation Agreement") limiting the Fund's total net expenses to 1.10% and 0.85% of the average daily net assets of Class A and Class I, respectively, until February 28, 2023.
Additionally, the Board received and considered information comparing the Fund's Contractual Management Fee, the Fund's Contractual Management Fee less waivers and/or reimbursements ("Net Management Fee") and the Fund's overall expenses with those of funds in both the relevant expense group ("Expense Group") and universe of funds ("Expense Universe") provided by Broadridge, an independent provider of investment company data. The Board noted that the Fund's Contractual Management Fee, Net Management Fee and overall expenses were lower than most of its peers as presented in the Broadridge report. The Board was provided with a description of the methodology used to arrive at the funds included in the Expense Group and the Expense Universe.
Nature, Extent and Quality of the Services under the Management Agreement
The Board received and considered information regarding the nature, extent and quality of services provided to the Fund by Credit Suisse under the Investment Management Agreement. The Board also noted information received at regular meetings throughout the year related to the services
50
Credit Suisse Multialternative Strategy Fund
Board Approval of Investment Management Agreement (unaudited) (continued)
rendered by Credit Suisse which, in addition to portfolio management and investment management services set forth in the Investment Management Agreement, included credit analysis and research, supervising the day-to-day operations of the Fund's non-advisory functions which include accounting, administration, custody, transfer agent and other applicable third party service providers, overseeing and facilitating audits, overseeing the Fund's credit facility and supervising and/or preparing applicable Fund filings, disclosures and shareholder reports. The Board noted that the extensive investment management services provided by Credit Suisse included broad supervisory responsibility and oversight over other service providers to the Fund. The Board also considered Credit Suisse's compliance program with respect to the Fund. The Board noted that Credit Suisse reports to the Board about portfolio management and compliance matters on a periodic basis. The Board reviewed background information about Credit Suisse including its Form ADV Part 2 — Disclosure Brochure and Brochure Supplement. The Board considered the background and experience of Credit Suisse's senior management and the expertise of, and the amount of attention given to the Fund by, senior personnel of Credit Suisse. In addition, the Board reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day portfolio management of the Fund and the extent of the resources devoted to research and analysis of actual and potential investments, as well as the resources provided to them. The Board evaluated the ability of Credit Suisse, based on its resources, reputation and other attributes, to attract and retain qualified investment professionals including research, advisory, and supervisory personnel. The Board also received and considered information about the nature, extent and quality of services and fee rates offered to other Credit Suisse clients for comparable services. The Board acknowledged Credit Suisse's representation that the services provided to the Fund are more extensive than the services provided in connection with other types of accounts, such as separate accounts, offered by Credit Suisse and the services are also more extensive from those offered and provided to a sub-advised fund. The Board also considered that the services provided by Credit Suisse have expanded over time as a result of regulatory and other developments.
Fund Performance
The Board received and considered performance results of the Fund over the previous year as well as over longer time periods, along with comparisons both to the relevant performance group ("Performance Group") and universe of funds ("Performance Universe") for the Fund provided in the Broadridge
51
Credit Suisse Multialternative Strategy Fund
Board Approval of Investment Management Agreement (unaudited) (continued)
materials. The Board was provided with a description of the methodology used to arrive at the funds included in the Performance Group and the Performance Universe. The Board noted that the Fund performed in line with its Performance Universe for the one-year period reported, and that the Fund performed either in line with or slightly outperformed its Performance Universe over various longer investment periods reported. The Board also considered the investment performance of the Fund relative to its stated objectives.
Credit Suisse Profitability
The Board received and considered a profitability analysis of Credit Suisse based on the fees payable under the Investment Management Agreement for the Fund, including any fee waivers, as well as other relationships between the Fund on the one hand and Credit Suisse affiliates on the other. The Board deliberations also reflected, in the context of Credit Suisse's profitability, Credit Suisse's methodology for allocating costs to the Fund, recognizing that cost allocation methodologies are inherently subjective. The Board also received net profitability information for the other funds in the Credit Suisse family of funds, which include both open-end and closed-end funds. The Board also reviewed Credit Suisse's profit margin as reflected in the profitability analysis, as well as reviewing profitability in light of appropriate court cases and the services rendered to the Fund.
Economies of Scale
The Board considered information regarding whether there have been economies of scale with respect to the management of the Fund, whether the Fund has appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Board noted that if the Fund's asset levels grow, economies of scale potentially could be realized and also noted the expense limitations currently in place between the Fund and Credit Suisse. The Board received information regarding Credit Suisse's profitability in connection with providing investment management services to the Fund, including Credit Suisse's costs in providing the services.
Other Benefits to Credit Suisse
The Board considered other benefits received by Credit Suisse and its affiliates as a result of their relationship with the Fund. Such benefits include, among others, benefits potentially derived from an increase in Credit Suisse's
52
Credit Suisse Multialternative Strategy Fund
Board Approval of Investment Management Agreement (unaudited) (continued)
businesses and its reputation as a result of its relationship with the Fund (such as the ability to market its advisory services to other clients and investors including separate account or third party sub-advised mandates or other financial products offered by Credit Suisse and its affiliates), as well as the fees paid to an affiliate of Credit Suisse for distribution services.
The Board considered the standards Credit Suisse applied in seeking best execution and Credit Suisse's policies and practices regarding soft dollars and reviewed Credit Suisse's method for allocating portfolio investment opportunities among its advisory clients.
Other Factors and Broader Review
As discussed above, the Board reviewed detailed materials received from Credit Suisse as part of the annual approval process. The Board also reviews and assesses the quality of the services that the Fund receives throughout the year. In this regard, the Board reviews reports of Credit Suisse at least quarterly, which include, among other things, detailed portfolio and market reviews, detailed fund performance reports, and Credit Suisse's compliance procedures.
Conclusions
In selecting Credit Suisse, and approving the renewal of the Investment Management Agreement and the investment management fee under such agreement, the Board concluded that:
• The Contractual Management Fee and Net Management Fee, reviewed along with information provided by Broadridge for the funds in the Fund's Expense Group and Expense Universe, were reasonable in relation to the services provided by Credit Suisse.
• The Board was satisfied with the nature, extent and quality of the investment management services provided to the Fund by Credit Suisse and that, based on dialogue with management and counsel, the services provided by Credit Suisse under the Investment Management Agreement are typical of, and consistent with, those provided to similar mutual funds by other investment managers.
• In light of the costs of providing investment management and other services to the Fund and Credit Suisse's ongoing commitment to the Fund and willingness to waive fees (by agreeing to an expense limitation), Credit Suisse's net profitability based on fees payable under the Investment
53
Credit Suisse Multialternative Strategy Fund
Board Approval of Investment Management Agreement (unaudited) (continued)
Management Agreement, as well as other ancillary benefits that Credit Suisse and its affiliates received, were considered reasonable.
• In light of the information received and considered by the Board, the Fund's current fee structure was considered reasonable.
No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the renewal of the Investment Management Agreement. The Independent Trustees were advised by separate independent legal counsel throughout the process.
54
Credit Suisse Multialternative Strategy Fund
Liquidity Risk Management Program (unaudited)
The Fund has adopted and implemented a written liquidity risk management program (the "Liquidity Program") in accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended. The Liquidity Program seeks to assess and manage the Fund's liquidity risk, i.e., the risk that the Fund is unable to satisfy redemption requests without significantly diluting remaining investors' interests in the Fund. The Board of Trustees of the Trust has designated Credit Suisse Asset Management, LLC, the Fund's investment adviser, to administer the Liquidity Program (the "Program Administrator"). Certain aspects of the Liquidity Program rely on third parties to perform certain functions, including the provision of market data and application of models.
Under the Liquidity Program, the Program Administrator assesses, manages and periodically reviews each Fund's liquidity risk and classifies each investment held by each Fund as a "highly liquid investment," "moderately liquid investment," "less liquid investment" or "illiquid investment." The liquidity of the Fund's portfolio investments is determined based on relevant market, trading and investment-specific considerations under the Liquidity Program.
During the six months ended April 30, 2022, the Trust's Board of Trustees received reports from the Program Administrator that included information to address the operations of the Liquidity Program and assess its adequacy and effectiveness of implementation during the period covered by the reports. The reports indicated that the Liquidity Program is reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the reporting period.
There can be no assurance that the Liquidity Program will achieve its objectives under all circumstances in the future. Please refer to the Fund's prospectus for more information regarding the Fund's exposure to illiquidity risk and other risks to which it may be subject.
55
Credit Suisse Multialternative Strategy Fund
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 investment 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.
56
Credit Suisse Multialternative Strategy Fund
Notice of Privacy and Information Practices (unaudited) (continued)
• We want our investors to be informed about additional products or services. We do not disclose nonpublic personal information relating to individual investors to our affiliates for marketing purposes, nor do we use such information received from our affiliates to solicit individual investors for such purposes. 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 24, 2022.
57
Credit Suisse Multialternative Strategy Fund
Proxy Voting and Portfolio Holdings Information (unaudited)
Information regarding how the Fund 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 Fund uses to determine how to vote proxies relating to its portfolio securities are available:
• By calling 1-877-870-2874
• On the Fund's website, www.credit-suisse.com/us/funds
• On the website of the Securities and Exchange Commission, www.sec.gov
The Fund files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund's Forms N-PORT and N-Q are available on the SEC's website at www.sec.gov.
58
P.O. BOX 219916, KANSAS CITY, MO 64121-9916
877-870-2874 ◼ www.credit-suisse.com/us/funds
CREDIT SUISSE SECURITIES (USA) LLC, DISTRIBUTOR. MSF-SAR-0422
CREDIT SUISSE FUNDS
Semiannual Report
April 30, 2022
(unaudited)
◼ CREDIT SUISSE
STRATEGIC INCOME FUND
The Fund's investment objective, risks, charges and expenses (which should be considered carefully before investing), and more complete information about the Fund, are provided in the Prospectus, which should be read carefully before investing. You may obtain additional copies by calling 877-870-2874 or by visiting our website at www.credit-suisse.com/us/funds.
Credit Suisse Securities (USA) LLC, Distributor, is located at Eleven Madison Avenue, New York, NY 10010. Credit Suisse Funds are advised by Credit Suisse Asset Management, LLC.
Investors in the Credit Suisse Funds should be aware that they may be eligible to purchase Class I shares (where offered) directly or through certain intermediaries. Such shares are not subject to a sales charge. Investors in the Credit Suisse Funds should also be aware that they may be eligible for a reduction or waiver of the sales charge with respect to Class A or C shares (where offered). For more information, please review the relevant prospectuses or consult your financial representative.
Fund 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. Fund investments are subject to investment risks, including loss of your investment.
Credit Suisse Strategic Income Fund
Semiannual Investment Adviser's Report
April 30, 2022 (unaudited)
June 9, 2022
Dear Shareholder:
We are pleased to present this Semiannual Report covering the activities of the Credit Suisse Strategic Income Fund (the "Fund") for the six-month period ended April 30, 2022.
Performance Summary
11/1/21 – 4/30/22
Fund & Benchmark | | Performance | |
| Class I1 | | | (2.68 | %) | |
| Class A1,2 | | | (2.90 | %) | |
| Class C1,2 | | | (3.26 | %) | |
| ICE BofA 3-Month US Treasury Bill Index3 | | | 0.08 | % | |
Performance shown for the Fund's Class A and Class C Shares does not reflect sales charges, which are a maximum of 4.75% and 1.00%, respectively.2
Market Review: A volatile period
The semiannual period ended April 30, 2022 was volatile for below investment-grade asset classes. Risk assets came under pressure due to tightening global financial conditions, economic uncertainty driven by the crisis in Ukraine, and the lasting effects of the COVID-19 pandemic.
The ICE BofA US 3-Month Treasury Index (the "Index" and Fund's "benchmark"), returned 0.08% for the period while the ICE BofA US High Yield Constrained Index and the Credit Suisse Leveraged Loan Index, returned -7.18% and 0.55%, respectively, for the period.
Default activity has continued to be low in recent months for the high yield and loan asset classes. According to JP Morgan, the high yield default rate, including distressed exchanges, ended the period at 0.48%. The par-weighted default rate for loans ended April 2022 at 0.86%. In 2022, while we expect default rates to trend higher, we anticipate they will remain well below long-term averages.
Strategic Review and Outlook: Cautiously optimistic
For the period ending April 30, 2022, the Fund underperformed its benchmark due to allocations in the high yield asset class, which has underperformed the 3-month Treasury due to weakness in duration products.
We have been impressed with the pricing power and earnings levels that leveraged finance companies have been able to maintain in the face of unprecedented inflation. However, looking forward, we are concerned about
1
Credit Suisse Strategic Income Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
potential for demand erosion, particularly in the consumer and housing sectors. Additionally, given the uncertain earnings outlook, we expect to see increased volatility in all risk asset classes that could lead to opportunities. We expect default rates to remain below historical levels, although it is anticipated the current economic environment will eventually result in an increase in defaults.
The Credit Suisse Credit Investments Group
John G. Popp
Andrew H. Marshak
Thomas J. Flannery
Louis I. Farano
Wing Chan
David Mechlin
Senior secured floating rate loans ("Senior Loans") typically hold the most senior position in the issuer's capital structure. Senior Loans are subject to the risk that a court could subordinate a Senior Loan to presently existing or future indebtedness or take other action detrimental to the holders of Senior Loans.
High yield bonds are bonds rated below BBB- by S&P or Baa3 by Moody's that are also known as "junk bonds." Such bonds entail greater risks than those found in higher- rated securities.
Collateralized loan obligations ("CLOs") are subject to the risk of substantial losses due to actual defaults, decrease of market value due to collateral defaults and disappearance of subordinate tranches, market anticipation of defaults, and investor aversion to CLO securities as a class. The risks of CLOs depend largely on the type of the underlying loans and the tranche of CLOs in which the Fund invests. In addition, CLOs carry risks including interest rate risk and credit risk.
Additional principal risk factors for the Fund include conflict of interest risk, convertible securities risk, credit risk, derivatives risk, extension risk, foreign securities risk, futures contracts risk, hedged exposure risk, illiquidity risk, interest rate risk, market risk, mortgage- and asset-backed securities risk, prepayment risk, short position risk, U.S. government securities risk and valuation risk. Before you invest, please make sure you understand the risks that apply to the Fund. As with any mutual fund, you could lose money over any period of time. Investments in the Fund are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or
2
Credit Suisse Strategic Income Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
any government agency. For a detailed discussion of these and other risks, please refer to the Fund's Prospectus, which should be read carefully before investing.
In addition to historical information, this report contains forward-looking statements, which may concern, among other things, domestic and foreign markets, industry and economic trends and developments and government regulation, and their potential impact on the Fund's investments. These statements are subject to risks and uncertainties and actual trends, developments and regulations in the future, and their impact on the Fund, could be materially different from those projected, anticipated or implied. The Fund has no obligation to update or revise forward-looking statements.
The views of the Fund's management are as of the date of this letter and the Fund holdings described in this document are as of April 30, 2022; these views and Fund holdings may have changed subsequent to these dates. Nothing in this document is a recommendation to purchase or sell securities.
1 Fee waivers and/or expense reimbursements reduce expenses for the Fund, without which performance would be lower. Effective November 12, 2019, the Fund entered into a written contract to limit expenses to 0.79% of the Fund's average daily net assets for Class I shares, 1.04% of the Fund's average daily net assets for Class A shares and 1.79% of the Fund's average daily net assets for Class C shares through at least February 28, 2023. This limit excludes certain expenses, as set forth in the Fund's Prospectus.
2 Total return for the Fund's Class A shares for the reporting period, based on offering price (including maximum sales charge of 4.75%), was (7.55%). Total return for the Fund's Class C shares for the reporting period, based on redemption value including maximum contingent deferred sales charge ("CDSC") of 1.00%), was (4.21%).
3 The ICE BofA 3-Month US Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond 3 months from the rebalancing date. The index does not have transaction costs and investors may not invest directly in the index. The index was previously known as the BofA Merrill Lynch 3-Month US Treasury Bill Index.
3
Credit Suisse Strategic Income Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
Average Annual Returns as of April 30, 20221
| | | 1 Year | | 5 Years | | Since
Inception2 | |
Class I | | | (0.87 | )% | | | 3.94 | % | | | 5.72 | % | |
Class A Without Sales Charge | | | (1.11 | )% | | | 3.66 | % | | | 5.45 | % | |
Class A With Maximum Sales Charge | | | (5.85 | )% | | | 2.65 | % | | | 4.91 | % | |
Class C Without CDSC | | | (1.85 | )% | | | 2.88 | % | | | 4.67 | % | |
Class C With CDSC | | | (2.80 | )% | | | 2.88 | % | | | 4.67 | % | |
Returns represent past performance and include change in share price and reinvestment of dividends, capital gains, and return of capital distributions, if any. Past performance cannot guarantee future results. The current performance of the Fund 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 Fund distributions or the redemption of Fund shares. Performance information current to the most recent month end is available at www.credit-suisse.com/us/funds.
The annualized gross expense ratios are 1.04% for Class I shares, 1.29% for Class A shares and 2.04% for Class C shares. The annualized net expense ratios after fee waivers and/or expense reimbursements are 0.79% for Class I shares, 1.04% for Class A shares and 1.79% for Class C shares.
1 Fee waivers and/or expense reimbursements reduce expenses for the Fund, without which performance would be lower. Effective November 12, 2019, the Fund entered into a written contract to limit expenses to 0.79% of the Fund's average daily net assets for Class I shares, 1.04% of the Fund's average daily net assets for Class A shares and 1.79% of the Fund's average daily net assets for Class C shares through at least February 28, 2023. This limit excludes certain expenses, as set forth in the Fund's Prospectus.
2 Inception Date: September 28, 2012.
4
Credit Suisse Strategic Income Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
Information About Your Fund's Expenses
As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees, distribution and service (12b-1) fees and other Fund 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 Fund 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 months ended April 30, 2022.
The table illustrates your Fund's expenses in two ways:
• Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses paid on a $1,000 investment in the Fund using the Fund'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.
• Hypothetical 5% Fund Return. This helps you to compare the Fund's ongoing expenses with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund 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 Strategic Income Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
Expenses and Value for a $1,000 Investment
for the six-month period ended April 30, 2022
Actual Fund Return | | Class I | | Class A | | Class C | |
Beginning Account Value 11/01/21 | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | |
Ending Account Value 04/30/22 | | $ | 973.20 | | | $ | 971.00 | | | $ | 967.40 | | |
Expenses Paid per $1,000* | | $ | 3.87 | | | $ | 5.08 | | | $ | 8.73 | | |
Hypothetical 5% Fund Return | |
Beginning Account Value 11/01/21 | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | |
Ending Account Value 04/30/22 | | $ | 1,020.88 | | | $ | 1,019.64 | | | $ | 1,015.92 | | |
Expenses Paid per $1,000* | | $ | 3.96 | | | $ | 5.21 | | | $ | 8.95 | | |
| | | Class I | | Class A | | Class C | |
Annualized Expense Ratios* | | | 0.79 | % | | | 1.04 | % | | | 1.79 | % | |
* Expenses are equal to the Fund's annualized expense ratio for each share class, multiplied by the average account value over the period, multiplied by 181/365 to reflect the one-half year period.
The "Expenses Paid per $1,000" and the "Annualized Expense Ratios" in the tables are based on actual expenses paid by the Fund during the period, net of fee waivers and/or actual expense reimbursements, if applicable. If those fee waivers and/or expense reimbursements had not been in effect, the Fund'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 Fund'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 Fund's Prospectus.
6
Credit Suisse Strategic Income Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2022 (unaudited)
Credit Quality Breakdown*
(% of Total Investments as of April 30, 2022)
S&P Ratings** | |
BBB | | | 1.6 | % | |
BB | | | 23.2 | | |
B | | | 53.6 | | |
CCC | | | 13.8 | | |
CC | | | 0.1 | | |
NR | | | 3.8 | | |
Subtotal | | | 96.1 | | |
Equity and Other | | | 3.9 | | |
Total | | | 100.0 | % | |
* Expressed as a percentage of total investments (excluding securities lending collateral, if applicable) and may vary over time.
** Credit Quality is based on ratings provided by the S&P Global Ratings Division of S&P Global Inc. ("S&P"). S&P is a main provider of ratings for credit assets classes and is widely used amongst industry participants. The NR category consists of securities that have not been rated by S&P.
7
Credit Suisse Strategic Income Fund
Schedule of Investments
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (41.3%) | | | |
| Aerospace & Defense (0.2%) | | | |
$ | 250 | | | KBR, Inc., Rule 144A, Company
Guaranteed Notes
(Callable 09/30/23 @ 102.38)(1) | | (BB-, Ba3) | | 09/30/28 | | | 4.750 | | | $ | 236,343 | | |
| | 500 | | | Science Applications International Corp.,
Rule 144A, Company Guaranteed Notes
(Callable 04/01/23 @ 102.44)(1) | | (BB-, B1) | | 04/01/28 | | | 4.875 | | | | 478,787 | | |
| | 250 | | | TransDigm, Inc., Global Company
Guaranteed Notes
(Callable 05/31/22 @ 103.75) | | (B-, B3) | | 03/15/27 | | | 7.500 | | | | 252,215 | | |
| | | | 967,345 | | |
| Auto Parts & Equipment (0.5%) | | | |
| | 2,335 | | | Clarios U.S. Finance Co., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/22 @ 104.25)(1) | | (CCC+, Caa1) | | 05/15/27 | | | 8.500 | | | | 2,336,494 | | |
| | 120 | | | Cooper-Standard Automotive, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 05/16/22 @ 102.81)(1) | | (CCC-, Caa2) | | 11/15/26 | | | 5.625 | | | | 56,638 | | |
| | | | 2,393,132 | | |
| Automakers (0.1%) | | | |
| | 400 | | | Thor Industries, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 10/15/24 @ 102.00)(1) | | (BB-, B1) | | 10/15/29 | | | 4.000 | | | | 338,544 | | |
| | 250 | | | Winnebago Industries, Inc., Rule 144A,
Senior Secured Notes
(Callable 07/15/23 @ 103.13)(1) | | (BB+, Ba3) | | 07/15/28 | | | 6.250 | | | | 248,375 | | |
| | | | 586,919 | | |
| Building & Construction (1.2%) | | | |
| | 1,000 | | | Adams Homes, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/16/22 @ 103.75)(1) | | (B+, B2) | | 02/15/25 | | | 7.500 | | | | 977,295 | | |
| | 1,000 | | | Installed Building Products, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 02/01/23 @ 102.88)(1),(2) | | (B+, B1) | | 02/01/28 | | | 5.750 | | | | 948,717 | | |
| | 2,950 | | | PGT Innovations, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 10/01/24 @ 102.19)(1),(2) | | (B+, B1) | | 10/01/29 | | | 4.375 | | | | 2,592,209 | | |
| | 750 | | | TopBuild Corp., Rule 144A, Company
Guaranteed Notes
(Callable 03/15/24 @ 101.81)(1) | | (BB+, Ba2) | | 03/15/29 | | | 3.625 | | | | 654,472 | | |
| | 600 | | | TopBuild Corp., Rule 144A, Company
Guaranteed Notes
(Callable 10/15/26 @ 102.06)(1) | | (BB+, Ba2) | | 02/15/32 | | | 4.125 | | | | 517,843 | | |
| | | | 5,690,536 | | |
See Accompanying Notes to Financial Statements.
8
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (continued) | | | |
| Building Materials (2.2%) | | | |
$ | 700 | | | Advanced Drainage Systems, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 09/30/22 @ 102.50)(1) | | (B+, Ba2) | | 09/30/27 | | | 5.000 | | | $ | 677,267 | | |
| | 750 | | | Eco Material Technologies, Inc.,
Rule 144A, Senior Secured Notes
(Callable 01/31/24 @ 103.94)(1) | | (B, B2) | | 01/31/27 | | | 7.875 | | | | 727,069 | | |
| | 2,730 | | | Foundation Building Materials, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 03/01/24 @ 103.00)(1) | | (CCC+, Caa1) | | 03/01/29 | | | 6.000 | | | | 2,224,650 | | |
| | 1,400 | | | James Hardie International Finance DAC,
Rule 144A, Company Guaranteed Notes
(Callable 01/15/23 @ 102.50)(1) | | (BB+, Ba1) | | 01/15/28 | | | 5.000 | | | | 1,352,099 | | |
| | 750 | | | Masonite International Corp., Rule 144A,
Company Guaranteed Notes
(Callable 02/01/23 @ 102.69)(1) | | (BB+, Ba1) | | 02/01/28 | | | 5.375 | | | | 719,494 | | |
| | 2,458 | | | MIWD Finance Corp., Rule 144A,
Company Guaranteed Notes
(Callable 02/01/25 @ 102.75)(1) | | (B, B3) | | 02/01/30 | | | 5.500 | | | | 2,129,119 | | |
| | 500 | | | Oscar Finance, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 04/15/25 @ 104.75)(1) | | (CCC+, Caa1) | | 04/15/30 | | | 9.500 | | | | 456,105 | | |
| | 2,050 | | | Park River Holdings, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 08/01/24 @ 103.38)(1) | | (CCC, Caa1) | | 08/01/29 | | | 6.750 | | | | 1,644,125 | | |
| | 500 | | | Standard Industries, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 07/15/25 @ 102.19)(1) | | (BB, B1) | | 07/15/30 | | | 4.375 | | | | 417,500 | | |
| | | | 10,347,428 | | |
| Cable & Satellite TV (0.9%) | | | |
| | 300 | | | CSC Holdings LLC, Rule 144A,
Company Guaranteed Notes
(Callable 11/15/26 @ 102.25)(1) | | (BB, Ba3) | | 11/15/31 | | | 4.500 | | | | 248,866 | | |
| | 500 | | | CSC Holdings LLC, Rule 144A,
Senior Unsecured Notes
(Callable 01/15/25 @ 102.88)(1) | | (B+, B3) | | 01/15/30 | | | 5.750 | | | | 412,122 | | |
| | 2,800 | | | Telenet Finance Luxembourg Notes Sarl,
Rule 144A, Senior Secured Notes
(Callable 12/01/22 @ 102.75)(1) | | (BB-, Ba3) | | 03/01/28 | | | 5.500 | | | | 2,702,000 | | |
| | 1,030 | | | UPC Broadband Finco B.V., Rule 144A,
Senior Secured Notes
(Callable 07/15/26 @ 102.44)(1) | | (BB-, B1) | | 07/15/31 | | | 4.875 | | | | 906,982 | | |
| | | | 4,269,970 | | |
See Accompanying Notes to Financial Statements.
9
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (continued) | | | |
| Chemicals (1.3%) | | | |
$ | 250 | | | Avient Corp., Rule 144A,
Senior Unsecured Notes
(Callable 05/31/22 @ 102.88)(1) | | (BB-, Ba3) | | 05/15/25 | | | 5.750 | | | $ | 252,837 | | |
| | 500 | | | Herens Holdco Sarl, Rule 144A,
Senior Secured Notes
(Callable 05/15/24 @ 102.38)(1) | | (B, B2) | | 05/15/28 | | | 4.750 | | | | 439,375 | | |
| | 250 | | | Minerals Technologies, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 07/01/23 @ 102.50)(1) | | (BB-, Ba3) | | 07/01/28 | | | 5.000 | | | | 233,891 | | |
| | 450 | | | Olympus Water U.S. Holding Corp.,
Rule 144A, Senior Unsecured Notes
(Callable 10/01/24 @ 103.13)(1),(2) | | (CCC+, Caa2) | | 10/01/29 | | | 6.250 | | | | 374,056 | | |
| | 2,500 | | | PMHC II, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 02/15/25 @ 104.50)(1) | | (CCC+, Caa2) | | 02/15/30 | | | 9.000 | | | | 2,015,800 | | |
| | 52 | | | Reichhold Industries, Inc., Rule 144A,
Senior Secured Notes(1),(3),(4),(5),(6) | | (NR, NR) | | 05/01/18 | | | 0.000 | | | | 706 | | |
| | 2,550 | | | Schenectady International Group, Inc.,
Rule 144A, Senior Unsecured Notes
(Callable 05/15/23 @ 103.38)(1),(2) | | (CCC+, Caa2) | | 05/15/26 | | | 6.750 | | | | 2,082,929 | | |
| | 500 | | | Trinseo Materials Finance, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 04/01/24 @ 102.56)(1) | | (B, B2) | | 04/01/29 | | | 5.125 | | | | 440,640 | | |
| | | | 5,840,234 | | |
| Consumer/Commercial/Lease Financing (0.8%) | | | |
| | 4,020 | | | Cargo Aircraft Management, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 02/01/23 @ 102.38)(1) | | (BB, Ba3) | | 02/01/28 | | | 4.750 | | | | 3,784,046 | | |
| Diversified Capital Goods (0.5%) | | | |
| | 2,143 | | | Atkore, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 06/01/26 @ 102.13)(1) | | (BB-, Ba3) | | 06/01/31 | | | 4.250 | | | | 1,899,866 | | |
| | 100 | | | GrafTech Finance, Inc., Rule 144A,
Senior Secured Notes
(Callable 12/15/23 @ 102.31)(1) | | (BB, Ba3) | | 12/15/28 | | | 4.625 | | | | 91,407 | | |
| | 200 | | | Madison IAQ LLC, Rule 144A,
Senior Secured Notes
(Callable 06/30/24 @ 102.06)(1) | | (B, B1) | | 06/30/28 | | | 4.125 | | | | 176,501 | | |
| | | | 2,167,774 | | |
| Electronics (0.7%) | | | |
| | 221 | | | II-VI, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 12/14/24 @ 102.50)(1) | | (B+, B2) | | 12/15/29 | | | 5.000 | | | | 207,485 | | |
See Accompanying Notes to Financial Statements.
10
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (continued) | | | |
Electronics | | | |
$ | 1,000 | | | ON Semiconductor Corp., Rule 144A,
Company Guaranteed Notes
(Callable 09/01/23 @ 101.94)(1) | | (BB, Ba2) | | 09/01/28 | | | 3.875 | | | $ | 928,960 | | |
| | 750 | | | Sensata Technologies B.V., Rule 144A,
Company Guaranteed Notes
(Callable 04/15/24 @ 102.00)(1) | | (BB+, Ba3) | | 04/15/29 | | | 4.000 | | | | 669,525 | | |
| | 500 | | | Sensata Technologies Inc., Rule 144A,
Company Guaranteed Notes
(Callable 11/15/29 @ 100.00)(1) | | (BB+, Ba3) | | 02/15/30 | | | 4.375 | | | | 455,547 | | |
| | 1,000 | | | Synaptics, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 06/15/24 @ 102.00)(1) | | (B+, Ba3) | | 06/15/29 | | | 4.000 | | | | 882,955 | | |
| | | | 3,144,472 | | |
| Energy - Exploration & Production (0.8%) | | | |
| | 625 | | | CNX Resources Corp., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/22 @ 105.44)(1) | | (BB, B1) | | 03/14/27 | | | 7.250 | | | | 639,672 | | |
| | 375 | | | CNX Resources Corp., Rule 144A,
Company Guaranteed Notes
(Callable 01/15/24 @ 104.50)(1) | | (BB, B1) | | 01/15/29 | | | 6.000 | | | | 370,956 | | |
| | 250 | | | Laredo Petroleum, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 07/31/24 @ 103.88)(1),(2) | | (B, B3) | | 07/31/29 | | | 7.750 | | | | 245,303 | | |
| | 500 | | | Northern Oil & Gas, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 03/01/24 @ 104.06)(1) | | (B+, B3) | | 03/01/28 | | | 8.125 | | | | 498,122 | | |
| | 500 | | | Rockcliff Energy II LLC, Rule 144A,
Senior Unsecured Notes
(Callable 10/15/24 @ 102.75)(1) | | (B+, B3) | | 10/15/29 | | | 5.500 | | | | 485,687 | | |
| | 1,250 | | | W&T Offshore, Inc., Rule 144A,
Secured Notes
(Callable 05/31/22 @ 102.44)(1) | | (B, Caa2) | | 11/01/23 | | | 9.750 | | | | 1,243,306 | | |
| | | | 3,483,046 | | |
| Environmental (0.1%) | | | |
| | 250 | | | Stericycle, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 11/15/23 @ 101.94)(1) | | (BB-, NR) | | 01/15/29 | | | 3.875 | | | | 220,795 | | |
| Food - Wholesale (0.2%) | | | |
| | 225 | | | Lamb Weston Holdings, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 01/31/27 @ 102.19)(1) | | (BB+, Ba3) | | 01/31/32 | | | 4.375 | | | | 202,271 | | |
| | 250 | | | U.S. Foods, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 02/15/24 @ 102.38)(1) | | (B+, B3) | | 02/15/29 | | | 4.750 | | | | 231,285 | | |
See Accompanying Notes to Financial Statements.
11
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (continued) | | | |
Food - Wholesale | | | |
$ | 750 | | | U.S. Foods, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 06/01/25 @ 102.31)(1) | | (B+, B3) | | 06/01/30 | | | 4.625 | | | $ | 672,139 | | |
| | | | 1,105,695 | | |
| Gaming (0.5%) | | | |
| | 400 | | | Boyd Gaming Corp., Rule 144A,
Company Guaranteed Notes
(Callable 06/15/26 @ 102.38)(1) | | (BB-, B3) | | 06/15/31 | | | 4.750 | | | | 362,360 | | |
| | 410 | | | CDI Escrow Issuer, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 04/01/25 @ 102.88)(1) | | (B+, B1) | | 04/01/30 | | | 5.750 | | | | 395,767 | | |
| | 70 | | | Churchill Downs, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 01/15/23 @ 102.38)(1) | | (B+, B1) | | 01/15/28 | | | 4.750 | | | | 65,541 | | |
| | 1,500 | | | Fertitta Entertainment Finance Co., Inc,
Rule 144A, Senior Secured Notes
(Callable 01/15/25 @ 102.31)(1) | | (B, B2) | | 01/15/29 | | | 4.625 | | | | 1,363,012 | | |
| | | | 2,186,680 | | |
| Gas Distribution (1.8%) | | | |
| | 500 | | | CNX Midstream Partners LP, Rule 144A,
Company Guaranteed Notes
(Callable 04/15/25 @ 102.38)(1) | | (BB, B1) | | 04/15/30 | | | 4.750 | | | | 460,673 | | |
| | 750 | | | Genesis Energy Finance Corp.,
Company Guaranteed Notes
(Callable 05/31/22 @ 103.25) | | (B, B2) | | 10/01/25 | | | 6.500 | | | | 713,494 | | |
| | 950 | | | Genesis Energy Finance Corp.,
Company Guaranteed Notes
(Callable 05/31/22 @ 103.13) | | (B, B2) | | 05/15/26 | | | 6.250 | | | | 887,233 | | |
| | 1,530 | | | Hess Midstream Operations LP,
Rule 144A, Company Guaranteed Notes
(Callable 06/15/23 @ 102.56)(1),(2) | | (BB+, Ba2) | | 06/15/28 | | | 5.125 | | | | 1,482,516 | | |
| | 500 | | | Hess Midstream Operations LP,
Rule 144A, Company Guaranteed Notes
(Callable 10/15/25 @ 102.75)(1) | | (BB+, Ba2) | | 10/15/30 | | | 5.500 | | | | 493,365 | | |
| | 1,760 | | | ITT Holdings LLC, Rule 144A,
Senior Unsecured Notes
(Callable 08/01/24 @ 103.25)(1) | | (B, B2) | | 08/01/29 | | | 6.500 | | | | 1,567,632 | | |
| | 1,034 | | | New Fortress Energy, Inc., Rule 144A,
Senior Secured Notes
(Callable 03/31/23 @ 103.25)(1) | | (BB-, B1) | | 09/30/26 | | | 6.500 | | | | 1,001,853 | | |
| | 1,500 | | | Rockies Express Pipeline LLC,
Rule 144A, Senior Unsecured Notes
(Callable 04/15/29 @ 100.00)(1) | | (BB+, Ba2) | | 07/15/29 | | | 4.950 | | | | 1,406,085 | | |
See Accompanying Notes to Financial Statements.
12
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (continued) | | | |
Gas Distribution | | | |
$ | 500 | | | Rockies Express Pipeline LLC,
Rule 144A, Senior Unsecured Notes
(Callable 02/15/30 @ 100.00)(1) | | (BB+, Ba2) | | 05/15/30 | | | 4.800 | | | $ | 458,650 | | |
| | | | 8,471,501 | | |
| Health Facility (0.1%) | | | |
| | 275 | | | Surgery Center Holdings, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 05/31/22 @ 105.00)(1) | | (CCC, Caa2) | | 04/15/27 | | | 10.000 | | | | 287,760 | | |
| Health Services (1.6%) | | | |
| | 250 | | | AMN Healthcare, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 10/01/22 @ 102.31)(1) | | (BB-, Ba3) | | 10/01/27 | | | 4.625 | | | | 240,296 | | |
| | 860 | | | AMN Healthcare, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 04/15/24 @ 102.00)(1) | | (BB-, Ba3) | | 04/15/29 | | | 4.000 | | | | 779,495 | | |
| | 500 | | | DaVita, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 06/01/25 @ 102.31)(1) | | (B+, Ba3) | | 06/01/30 | | | 4.625 | | | | 435,883 | | |
| | 375 | | | MEDNAX, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 02/15/25 @ 102.69)(1) | | (B+, Ba3) | | 02/15/30 | | | 5.375 | | | | 350,034 | | |
| | 2,500 | | | Minerva Merger Sub, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 02/15/25 @ 103.25)(1) | | (CCC, Caa2) | | 02/15/30 | | | 6.500 | | | | 2,304,688 | | |
| | 150 | | | Ortho-Clinical Diagnostics S.A.,
Rule 144A, Senior Unsecured Notes
(Callable 06/01/22 @ 103.69)(1) | | (CCC+, B3) | | 06/01/25 | | | 7.375 | | | | 153,200 | | |
| | 1,163 | | | Owens & Minor, Inc.,
Global Senior Secured Notes
(Callable 09/15/24 @ 100.00) | | (BB-, Ba3) | | 12/15/24 | | | 4.375 | | | | 1,159,918 | | |
| | 1,250 | | | Radiology Partners, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 02/01/23 @ 104.63)(1) | | (CCC, Caa2) | | 02/01/28 | | | 9.250 | | | | 1,189,275 | | |
| | 250 | | | RP Escrow Issuer LLC, Rule 144A,
Senior Secured Notes
(Callable 12/15/22 @ 102.63)(1) | | (B-, B2) | | 12/15/25 | | | 5.250 | | | | 232,845 | | |
| | 393 | | | Service Corp., International,
Global Senior Unsecured Notes
(Callable 05/15/26 @ 102.00) | | (BB, Ba3) | | 05/15/31 | | | 4.000 | | | | 354,309 | | |
| | | | 7,199,943 | | |
| Insurance Brokerage (1.6%) | | | |
| | 630 | | | Acrisure Finance, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 05/31/22 @ 101.75)(1) | | (CCC+, Caa2) | | 11/15/25 | | | 7.000 | | | | 614,259 | | |
See Accompanying Notes to Financial Statements.
13
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (continued) | | | |
Insurance Brokerage | | | |
$ | 322 | | | Alliant Holdings Co-Issuer, Rule 144A,
Senior Unsecured Notes
(Callable 10/15/22 @ 103.38)(1) | | (CCC+, Caa2) | | 10/15/27 | | | 6.750 | | | $ | 304,860 | | |
| | 750 | | | GTCR AP Finance, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 05/31/22 @ 104.00)(1) | | (CCC+, Caa2) | | 05/15/27 | | | 8.000 | | | | 748,178 | | |
| | 725 | | | NFP Corp., Rule 144A,
Senior Secured Notes
(Callable 08/15/23 @ 102.44)(1) | | (B, B1) | | 08/15/28 | | | 4.875 | | | | 660,743 | | |
| | 4,303 | | | NFP Corp., Rule 144A,
Senior Unsecured Notes
(Callable 08/15/23 @ 103.44)(1) | | (CCC+, Caa2) | | 08/15/28 | | | 6.875 | | | | 3,802,669 | | |
| | 1,250 | | | Ryan Specialty Group LLC, Rule 144A,
Senior Secured Notes
(Callable 02/01/25 @ 102.19)(1) | | (BB-, B1) | | 02/01/30 | | | 4.375 | | | | 1,141,600 | | |
| | | | 7,272,309 | | |
| Investments & Misc. Financial Services (1.9%) | | | |
| | 1,250 | | | AG Issuer LLC, Rule 144A,
Senior Secured Notes
(Callable 03/01/23 @ 103.13)(1) | | (B-, B2) | | 03/01/28 | | | 6.250 | | | | 1,223,581 | | |
| | 1,500 | | | Armor Holdco, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 11/15/24 @ 104.25)(1) | | (CCC+, Caa1) | | 11/15/29 | | | 8.500 | | | | 1,452,263 | | |
| | 1,500 | | | Compass Group Diversified Holdings LLC,
Rule 144A, Company Guaranteed Notes
(Callable 04/15/24 @ 102.63)(1) | | (B+, B1) | | 04/15/29 | | | 5.250 | | | | 1,348,125 | | |
| | 3,275 | | | Compass Group Diversified Holdings LLC,
Rule 144A, Senior Unsecured Notes
(Callable 01/15/27 @ 102.50)(1) | | (B+, B1) | | 01/15/32 | | | 5.000 | | | | 2,788,482 | | |
| | 203 | | | CPI CG, Inc., Rule 144A,
Senior Secured Notes
(Callable 03/15/23 @ 104.31)(1) | | (B, B3) | | 03/15/26 | | | 8.625 | | | | 196,778 | | |
| | 1,900 | | | Paysafe Holdings U.S. Corp., Rule 144A,
Senior Secured Notes
(Callable 06/15/24 @ 102.00)(1),(2) | | (B, B1) | | 06/15/29 | | | 4.000 | | | | 1,551,027 | | |
| | | | 8,560,256 | | |
| Machinery (1.9%) | | | |
| | 2,250 | | | Arcosa., Inc., Rule 144A,
Company Guaranteed Notes
(Callable 04/15/24 @ 102.19)(1) | | (BB, Ba2) | | 04/15/29 | | | 4.375 | | | | 2,055,814 | | |
| | 2,350 | | | ATS Automation Tooling Systems, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 12/15/23 @ 102.06)(1) | | (B+, B2) | | 12/15/28 | | | 4.125 | | | | 2,129,793 | | |
See Accompanying Notes to Financial Statements.
14
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (continued) | | | |
Machinery | | | |
$ | 2,200 | | | Dornoch Debt Merger Sub, Inc.,
Rule 144A, Senior Unsecured Notes
(Callable 10/15/24 @ 103.31)(1),(2) | | (CCC, Caa1) | | 10/15/29 | | | 6.625 | | | $ | 1,806,750 | | |
| | 1,200 | | | Granite U.S. Holdings Corp., Rule 144A,
Company Guaranteed Notes
(Callable 10/01/22 @ 105.50)(1) | | (CCC+, Caa1) | | 10/01/27 | | | 11.000 | | | | 1,240,668 | | |
| | 1,600 | | | Harsco Corp., Rule 144A,
Company Guaranteed Notes
(Callable 07/31/22 @ 102.88)(1) | | (B+, B1) | | 07/31/27 | | | 5.750 | | | | 1,460,088 | | |
| | 250 | | | Hillenbrand, Inc.,
Global Company Guaranteed Notes
(Callable 06/15/22 @ 102.88) | | (BB+, Ba1) | | 06/15/25 | | | 5.750 | | | | 253,949 | | |
| | | | 8,947,062 | | |
| Managed Care (0.3%) | | | |
| | 540 | | | Centene Corp.,
Global Senior Unsecured Notes
(Callable 12/15/24 @ 102.31) | | (BBB-, Ba1) | | 12/15/29 | | | 4.625 | | | | 523,247 | | |
| | 950 | | | HealthEquity, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 10/01/24 @ 102.25)(1) | | (B, B3) | | 10/01/29 | | | 4.500 | | | | 869,250 | | |
| | | | 1,392,497 | | |
| Media - Diversified (0.1%) | | | |
| | 500 | | | News Corp., Rule 144A,
Company Guaranteed Notes
(Callable 02/15/27 @ 102.56)(1) | | (BB+, Ba1) | | 02/15/32 | | | 5.125 | | | | 478,270 | | |
| Media Content (0.5%) | | | |
| | 325 | | | Diamond Sports Finance Co., Rule 144A,
Company Guaranteed Notes
(Callable 08/15/22 @ 103.31)(1) | | (CCC-, Ca) | | 08/15/27 | | | 6.625 | | | | 68,250 | | |
| | 2,000 | | | Diamond Sports Finance Co., Rule 144A,
Secured Notes
(Callable 08/15/22 @ 102.69)(1) | | (CCC+, Caa3) | | 08/15/26 | | | 5.375 | | | | 732,480 | | |
| | 733 | | | Sirius XM Radio, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 07/01/24 @ 102.75)(1) | | (BB, Ba3) | | 07/01/29 | | | 5.500 | | | | 705,663 | | |
| | 250 | | | Sirius XM Radio, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 07/01/25 @ 102.06)(1) | | (BB, Ba3) | | 07/01/30 | | | 4.125 | | | | 219,844 | | |
| | 500 | | | WMG Acquisition Corp., Rule 144A,
Senior Secured Notes
(Callable 07/15/25 @ 101.94)(1) | | (BB+, Ba3) | | 07/15/30 | | | 3.875 | | | | 448,207 | | |
| | | | 2,174,444 | | |
See Accompanying Notes to Financial Statements.
15
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (continued) | | | |
| Medical Products (0.9%) | | | |
$ | 1,000 | | | 180 Medical Inc., Rule 144A,
Company Guaranteed Notes
(Callable 10/07/24 @ 101.94)(1) | | (BB+, Ba2) | | 10/15/29 | | | 3.875 | | | $ | 891,405 | | |
| | 500 | | | Avantor Funding, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 07/15/23 @ 102.31)(1) | | (BB-, B2) | | 07/15/28 | | | 4.625 | | | | 476,365 | | |
| | 375 | | | Embecta Corp., Rule 144A,
Senior Secured Notes
(Callable 02/15/27 @ 101.25)(1) | | (B+, Ba3) | | 02/15/30 | | | 5.000 | | | | 339,079 | | |
| | 2,000 | | | Mozart Debt Merger Sub, Inc.,
Rule 144A, Senior Secured Notes
(Callable 10/01/24 @ 101.94)(1) | | (B+, B1) | | 04/01/29 | | | 3.875 | | | | 1,747,740 | | |
| | 1,000 | | | Mozart Debt Merger Sub, Inc.,
Rule 144A, Senior Unsecured Notes
(Callable 10/01/24 @ 102.63)(1),(2) | | (B-, Caa1) | | 10/01/29 | | | 5.250 | | | | 871,640 | | |
| | | | 4,326,229 | | |
| Metals & Mining - Excluding Steel (1.4%) | | | |
| | 750 | | | Canpack U.S. LLC, Rule 144A,
Company Guaranteed Notes
(Callable 11/15/24 @ 101.94)(1) | | (BB, NR) | | 11/15/29 | | | 3.875 | | | | 645,079 | | |
| | 2,035 | | | ERO Copper Corp., Rule 144A,
Company Guaranteed Notes
(Callable 02/15/25 @ 103.25)(1) | | (B, B1) | | 02/15/30 | | | 6.500 | | | | 1,828,956 | | |
| | 359 | | | First Quantum Minerals Ltd., Rule 144A,
Company Guaranteed Notes
(Callable 05/10/22 @ 100.00)(1) | | (B+, Wr) | | 04/01/23 | | | 7.250 | | | | 359,318 | | |
| | 1,000 | | | First Quantum Minerals Ltd., Rule 144A,
Company Guaranteed Notes
(Callable 05/10/22 @ 101.63)(1) | | (B+, NR) | | 03/01/24 | | | 6.500 | | | | 1,002,585 | | |
| | 500 | | | First Quantum Minerals Ltd., Rule 144A,
Company Guaranteed Notes
(Callable 05/10/22 @ 103.44)(1) | | (B+, NR) | | 03/01/26 | | | 6.875 | | | | 503,217 | | |
| | 1,345 | | | Kaiser Aluminum Corp., Rule 144A,
Company Guaranteed Notes
(Callable 06/01/26 @ 102.25)(1) | | (BB, B1) | | 06/01/31 | | | 4.500 | | | | 1,162,006 | | |
| | 398 | | | Novelis Corp., Rule 144A,
Company Guaranteed Notes
(Callable 08/15/26 @ 101.94)(1) | | (BB, B1) | | 08/15/31 | | | 3.875 | | | | 341,926 | | |
| | 454 | | | Taseko Mines Ltd., Rule 144A,
Senior Secured Notes
(Callable 02/15/23 @ 103.50)(1) | | (B-, B3) | | 02/15/26 | | | 7.000 | | | | 451,147 | | |
| | | | 6,294,234 | | |
See Accompanying Notes to Financial Statements.
16
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (continued) | | | |
| Packaging (1.3%) | | | |
$ | 350 | | | Ardagh Metal Packaging Finance PLC,
Rule 144A, Senior Unsecured Notes
(Callable 05/15/24 @ 101.50)(1),(7) | | (B+, B3) | | 09/01/29 | | | 3.000 | | | $ | 302,722 | | |
| | 130 | | | Crown Americas Capital Corp. VI,
Global Company Guaranteed Notes
(Callable 05/31/22 @ 102.38) | | (BB-, Ba3) | | 02/01/26 | | | 4.750 | | | | 129,572 | | |
| | 705 | | | Intertape Polymer Group, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 06/15/24 @ 102.19)(1) | | (B+, Ba3) | | 06/15/29 | | | 4.375 | | | | 726,111 | | |
| | 475 | | | Pactiv Evergreen Group Issuer LLC,
Rule 144A, Senior Secured Notes
(Callable 10/15/23 @ 102.00)(1) | | (B+, B1) | | 10/15/27 | | | 4.000 | | | | 415,105 | | |
| | 4,950 | | | TriMas Corp., Rule 144A,
Company Guaranteed Notes
(Callable 04/15/24 @ 102.06)(1) | | (BB-, Ba3) | | 04/15/29 | | | 4.125 | | | | 4,436,834 | | |
| | | | 6,010,344 | | |
| Personal & Household Products (0.5%) | | | |
| | 750 | | | High Ridge Brands Co., Rule 144A,
Senior Unsecured Notes
(Callable 06/21/22 @ 100.00)(1),(3),(4),(5),(6) | | (NR, NR) | | 03/15/25 | | | 0.000 | | | | 8,438 | | |
| | 2,290 | | | MajorDrive Holdings IV LLC, Rule 144A,
Senior Unsecured Notes
(Callable 06/01/24 @ 103.19)(1) | | (CCC+, Caa2) | | 06/01/29 | | | 6.375 | | | | 1,817,802 | | |
| | 375 | | | Mattel, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 04/01/24 @ 101.88)(1) | | (BB+, Ba1) | | 04/01/29 | | | 3.750 | | | | 357,733 | | |
| | 350 | | | Prestige Brands, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 04/01/26 @ 101.88)(1) | | (BB-, B2) | | 04/01/31 | | | 3.750 | | | | 297,232 | | |
| | | | 2,481,205 | | |
| Pharmaceuticals (1.1%) | | | |
| | 500 | | | Bausch Health Cos., Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/30/22 @ 104.50)(1) | | (B, B3) | | 12/15/25 | | | 9.000 | | | | 502,500 | | |
| | 950 | | | Bausch Health Cos., Inc., Rule 144A,
Company Guaranteed Notes
(Callable 01/15/23 @ 103.50)(1) | | (B, B3) | | 01/15/28 | | | 7.000 | | | | 780,249 | | |
| | 500 | | | Bausch Health Cos., Inc., Rule 144A,
Company Guaranteed Notes
(Callable 02/15/24 @ 103.13)(1) | | (B, B3) | | 02/15/29 | | | 6.250 | | | | 364,440 | | |
| | 375 | | | Bausch Health Cos., Inc., Rule 144A,
Company Guaranteed Notes
(Callable 02/15/26 @ 102.63)(1) | | (B, B3) | | 02/15/31 | | | 5.250 | | | | 261,103 | | |
See Accompanying Notes to Financial Statements.
17
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (continued) | | | |
Pharmaceuticals | | | |
$ | 922 | | | Emergent BioSolutions, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 08/15/23 @ 101.94)(1) | | (BB-, Ba3) | | 08/15/28 | | | 3.875 | | | $ | 784,166 | | |
| | 250 | | | Endo U.S., Inc., Rule 144A,
Senior Secured Notes
(Callable 04/01/24 @ 104.59)(1) | | (B-, B3) | | 04/01/29 | | | 6.125 | | | | 219,014 | | |
| | 450 | | | Grifols Escrow Issuer S.A., Rule 144A,
Senior Unsecured Notes
(Callable 10/15/24 @ 102.38)(1),(2) | | (B, B3) | | 10/15/28 | | | 4.750 | | | | 411,228 | | |
| | 1,700 | | | Jazz Securities DAC, Rule 144A,
Senior Secured Notes
(Callable 07/15/24 @ 102.19)(1) | | (BB-, Ba2) | | 01/15/29 | | | 4.375 | | | | 1,568,292 | | |
| | | | 4,890,992 | | |
| Real Estate Development & Management (0.5%) | | | |
| | 1,055 | | | Newmark Group, Inc.,
Global Senior Unsecured Notes
(Callable 10/15/23 @ 100.00) | | (BB+, NR) | | 11/15/23 | | | 6.125 | | | | 1,076,659 | | |
| | 1,511 | | | WeWork Cos., Inc., Rule 144A,
Company Guaranteed Notes(1) | | (CCC+, Wr) | | 05/01/25 | | | 7.875 | | | | 1,275,314 | | |
| | | | 2,351,973 | | |
| Real Estate Investment Trusts (1.4%) | | | |
| | 1,000 | | | Blackstone Mortgage Trust, Inc.,
Rule 144A, Senior Secured Notes
(Callable 10/15/26 @ 100.00)(1) | | (BB-, Ba2) | | 01/15/27 | | | 3.750 | | | | 913,770 | | |
| | 1,500 | | | Global Net Lease Operating Partnership LP,
Rule 144A, Company Guaranteed Notes
(Callable 09/15/27 @ 100.00)(1) | | (BBB-, Ba3) | | 12/15/27 | | | 3.750 | | | | 1,350,318 | | |
| | 500 | | | iStar, Inc., Global Senior Unsecured Notes
(Callable 08/15/22 @ 102.75) | | (BB, Ba3) | | 02/15/26 | | | 5.500 | | | | 487,217 | | |
| | 500 | | | iStar, Inc., Senior Unsecured Notes
(Callable 07/01/24 @ 100.00) | | (BB, Ba3) | | 10/01/24 | | | 4.750 | | | | 486,860 | | |
| | 2,225 | | | iStar, Inc., Senior Unsecured Notes
(Callable 05/01/25 @ 100.00)(2) | | (BB, Ba3) | | 08/01/25 | | | 4.250 | | | | 2,138,114 | | |
| | 250 | | | MPT Finance Corp.,
Global Company Guaranteed Notes
(Callable 05/31/22 @ 102.63) | | (BBB-, Ba1) | | 08/01/26 | | | 5.250 | | | | 250,658 | | |
| | 700 | | | VICI Note Co., Inc., Rule 144A,
Company Guaranteed Notes
(Callable 11/01/26 @ 100.00)(1) | | (BBB-, Ba1) | | 02/01/27 | | | 5.750 | | | | 723,978 | | |
| | | | 6,350,915 | | |
| Recreation & Travel (2.0%) | | | |
| | 1,050 | | | Boyne U.S.A., Inc., Rule 144A,
Senior Unsecured Notes
(Callable 05/15/24 @ 102.38)(1) | | (B, B1) | | 05/15/29 | | | 4.750 | | | | 975,319 | | |
See Accompanying Notes to Financial Statements.
18
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (continued) | | | |
Recreation & Travel | | | |
$ | 185 | | | Powdr Corp., Rule 144A,
Senior Secured Notes
(Callable 08/01/22 @ 103.00)(1) | | (B-, B1) | | 08/01/25 | | | 6.000 | | | $ | 188,217 | | |
| | 1,625 | | | SeaWorld Parks & Entertainment, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 08/15/24 @ 102.63)(1),(2) | | (B-, Caa1) | | 08/15/29 | | | 5.250 | | | | 1,480,716 | | |
| | 250 | | | SeaWorld Parks & Entertainment, Inc.,
Rule 144A, Senior Secured Notes
(Callable 05/31/22 @ 104.38)(1) | | (BB-, Ba3) | | 05/01/25 | | | 8.750 | | | | 262,093 | | |
| | 2,250 | | | Six Flags Entertainment Corp.,
Rule 144A, Company Guaranteed Notes
(Callable 05/31/22 @ 101.22)(1) | | (B-, B3) | | 07/31/24 | | | 4.875 | | | | 2,243,947 | | |
| | 200 | | | Six Flags Theme Parks, Inc., Rule 144A,
Senior Secured Notes
(Callable 07/01/22 @ 103.50)(1) | | (BB-, Ba2) | | 07/01/25 | | | 7.000 | | | | 208,013 | | |
| | 4,108 | | | Speedway Funding II, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 11/01/22 @ 102.44)(1) | | (BB-, B2) | | 11/01/27 | | | 4.875 | | | | 3,877,213 | | |
| | | | 9,235,518 | | |
| Restaurants (0.4%) | | | |
| | 865 | | | Papa John's International, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 09/15/24 @ 101.94)(1),(2) | | (BB-, B1) | | 09/15/29 | | | 3.875 | | | | 757,818 | | |
| | 1,250 | | | Yum Brands, Inc.,
Senior Unsecured Notes
(Callable 04/01/27 @ 102.69) | | (BB, Ba3) | | 04/01/32 | | | 5.375 | | | | 1,196,494 | | |
| | | | 1,954,312 | | |
| Software - Services (2.9%) | | | |
| | 600 | | | Black Knight InfoServ LLC, Rule 144A,
Company Guaranteed Notes
(Callable 09/01/23 @ 101.81)(1) | | (BB-, Ba3) | | 09/01/28 | | | 3.625 | | | | 557,235 | | |
| | 250 | | | CA Magnum Holdings, Rule 144A,
Senior Secured Notes
(Callable 10/31/23 @ 102.69)(1) | | (NR, B1) | | 10/31/26 | | | 5.375 | | | | 240,000 | | |
| | 1,000 | | | CDK Global, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 05/15/24 @ 102.63)(1) | | (BB+, Ba1) | | 05/15/29 | | | 5.250 | | | | 1,008,950 | | |
| | 3,000 | | | Elastic NV, Rule 144A,
Senior Unsecured Notes
(Callable 07/15/24 @ 102.06)(1) | | (B+, B1) | | 07/15/29 | | | 4.125 | | | | 2,689,245 | | |
| | 3,175 | | | Endurance International Group
Holdings, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 02/15/24 @ 103.00)(1) | | (CCC+, Caa2) | | 02/15/29 | | | 6.000 | | | | 2,573,878 | | |
See Accompanying Notes to Financial Statements.
19
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (continued) | | | |
Software - Services | | | |
$ | 790 | | | GD Finance Co., Inc., Rule 144A,
Company Guaranteed Notes
(Callable 06/01/22 @ 102.63)(1) | | (BB-, Ba3) | | 12/01/27 | | | 5.250 | | | $ | 782,472 | | |
| | 475 | | | Open Text Corp., Rule 144A,
Company Guaranteed Notes
(Callable 12/01/24 @ 101.94)(1) | | (BB, Ba2) | | 12/01/29 | | | 3.875 | | | | 422,750 | | |
| | 1,400 | | | Twilio, Inc.,
Global Company Guaranteed Notes
(Callable 03/15/26 @ 101.94)(2) | | (BB, Ba3) | | 03/15/31 | | | 3.875 | | | | 1,205,400 | | |
| | 4,200 | | | Virtusa Corp., Rule 144A,
Senior Unsecured Notes
(Callable 12/15/23 @ 103.56)(1) | | (CCC+, Caa2) | | 12/15/28 | | | 7.125 | | | | 3,785,607 | | |
| | | | 13,265,537 | | |
| Specialty Retail (1.4%) | | | |
| | 370 | | | Asbury Automotive Group, Inc.,
Global Company Guaranteed Notes
(Callable 03/01/23 @ 102.25)(2) | | (BB, B1) | | 03/01/28 | | | 4.500 | | | | 345,586 | | |
| | 67 | | | Asbury Automotive Group, Inc.,
Global Company Guaranteed Notes
(Callable 03/01/25 @ 102.38) | | (BB, B1) | | 03/01/30 | | | 4.750 | | | | 59,883 | | |
| | 500 | | | Asbury Automotive Group, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 11/15/24 @ 102.31)(1) | | (BB, B1) | | 11/15/29 | | | 4.625 | | | | 450,835 | | |
| | 500 | | | eG Global Finance PLC, Rule 144A,
Senior Secured Notes
(Callable 05/30/22 @ 104.25)(1) | | (B-, B3) | | 10/30/25 | | | 8.500 | | | | 500,648 | | |
| | 325 | | | Group 1 Automotive, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 08/15/23 @ 102.00)(1) | | (BB+, Ba2) | | 08/15/28 | | | 4.000 | | | | 292,862 | | |
| | 750 | | | Lithia Motors, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 12/15/22 @ 103.47)(1) | | (BB+, Ba2) | | 12/15/27 | | | 4.625 | | | | 715,264 | | |
| | 375 | | | Lithia Motors, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 06/01/24 @ 101.94)(1) | | (BB+, Ba2) | | 06/01/29 | | | 3.875 | | | | 339,114 | | |
| | 375 | | | Murphy Oil U.S.A., Inc., Rule 144A,
Company Guaranteed Notes
(Callable 02/15/26 @ 101.88)(1) | | (BB+, Ba2) | | 02/15/31 | | | 3.750 | | | | 329,948 | | |
| | 500 | | | Penske Automotive Group, Inc.,
Company Guaranteed Notes
(Callable 06/15/24 @ 101.88) | | (BB-, Ba3) | | 06/15/29 | | | 3.750 | | | | 427,265 | | |
| | 1,750 | | | Ruyi U.S. Finance LLC, Rule 144A,
Senior Secured Notes
(Callable 05/30/22 @ 103.75)(1) | | (NR, Caa1) | | 05/01/25 | | | 7.500 | | | | 1,581,247 | | |
See Accompanying Notes to Financial Statements.
20
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (continued) | | | |
Specialty Retail | | | |
$ | 725 | | | Sonic Automotive, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 11/15/24 @ 102.31)(1) | | (BB-, B1) | | 11/15/29 | | | 4.625 | | | $ | 624,788 | | |
| | 1,000 | | | Wolverine World Wide, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 08/15/24 @ 102.00)(1),(2) | | (BB-, Ba2) | | 08/15/29 | | | 4.000 | | | | 851,170 | | |
| | | | 6,518,610 | | |
| Support - Services (3.6%) | | | |
| | 756 | | | Allied Universal Finance Corp.,
Rule 144A, Senior Secured Notes
(Callable 06/01/24 @ 102.31)(1) | | (B, B2) | | 06/01/28 | | | 4.625 | | | | 664,395 | | |
| | 1,194 | | | Allied Universal Finance Corp.,
Rule 144A, Senior Secured Notes
(Callable 06/01/24 @ 102.31)(1) | | (B, B2) | | 06/01/28 | | | 4.625 | | | | 1,058,075 | | |
| | 2,200 | | | Allied Universal Finance Corp.,
Rule 144A, Senior Unsecured Notes
(Callable 06/01/24 @ 103.00)(1) | | (CCC+, Caa1) | | 06/01/29 | | | 6.000 | | | | 1,806,783 | | |
| | 355 | | | APi Group DE, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 07/15/24 @ 102.06)(1) | | (B, B1) | | 07/15/29 | | | 4.125 | | | | 317,358 | | |
| | 1,613 | | | ASGN, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/15/23 @ 102.31)(1) | | (BB-, Ba3) | | 05/15/28 | | | 4.625 | | | | 1,500,663 | | |
| | 2,500 | | | CoreLogic, Inc., Rule 144A,
Senior Secured Notes
(Callable 05/01/24 @ 102.25)(1) | | (B, B1) | | 05/01/28 | | | 4.500 | | | | 2,218,575 | | |
| | 250 | | | Gartner, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 07/01/23 @ 102.25)(1) | | (BB+, Ba3) | | 07/01/28 | | | 4.500 | | | | 239,950 | | |
| | 250 | | | Gartner, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 06/15/24 @ 101.81)(1) | | (BB+, Ba3) | | 06/15/29 | | | 3.625 | | | | 224,086 | | |
| | 3,185 | | | GEMS Education Delaware LLC,
Rule 144A, Senior Secured Notes
(Callable 07/31/22 @ 103.56)(1) | | (B-, B3) | | 07/31/26 | | | 7.125 | | | | 3,181,353 | | |
| | 2,750 | | | GYP Holdings III Corp., Rule 144A,
Company Guaranteed Notes
(Callable 05/01/24 @ 102.31)(1) | | (B, B2) | | 05/01/29 | | | 4.625 | | | | 2,440,625 | | |
| | 500 | | | WESCO Distribution, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 06/15/22 @ 103.56)(1) | | (BB, B1) | | 06/15/25 | | | 7.125 | | | | 520,005 | | |
| | 500 | | | WESCO Distribution, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 06/15/23 @ 103.63)(1) | | (BB, B1) | | 06/15/28 | | | 7.250 | | | | 520,350 | | |
See Accompanying Notes to Financial Statements.
21
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (continued) | | | |
Support - Services | | | |
$ | 1,500 | | | White Cap Buyer LLC, Rule 144A,
Senior Unsecured Notes
(Callable 10/15/23 @ 103.44)(1) | | (CCC+, Caa1) | | 10/15/28 | | | 6.875 | | | $ | 1,376,348 | | |
| | 500 | | | ZipRecruiter, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 01/15/25 @ 102.50)(1) | | (BB-, B2) | | 01/15/30 | | | 5.000 | | | | 468,165 | | |
| | | | 16,536,731 | | |
| Tech Hardware & Equipment (1.9%) | | | |
| | 2,050 | | | Ciena Corp., Rule 144A,
Company Guaranteed Notes
(Callable 01/31/25 @ 102.00)(1) | | (BB, Ba1) | | 01/31/30 | | | 4.000 | | | | 1,872,204 | | |
| | 486 | | | CommScope Technologies LLC,
Rule 144A, Company Guaranteed Notes
(Callable 05/10/22 @ 102.50)(1) | | (CCC+, B3) | | 03/15/27 | | | 5.000 | | | | 382,195 | | |
| | 1,786 | | | CommScope, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/22 @ 104.13)(1) | | (CCC+, B3) | | 03/01/27 | | | 8.250 | | | | 1,538,139 | | |
| | 1,014 | | | CommScope, Inc., Rule 144A,
Senior Secured Notes
(Callable 09/01/24 @ 102.38)(1) | | (B, Ba3) | | 09/01/29 | | | 4.750 | | | | 849,473 | | |
| | 1,000 | | | Entegris Escrow Corp., Rule 144A,
Senior Secured Notes
(Callable 01/15/29 @ 100.00)(1) | | (BB+, Baa3) | | 04/15/29 | | | 4.750 | | | | 965,170 | | |
| | 1,000 | | | Imola Merger Corp., Rule 144A,
Senior Secured Notes
(Callable 05/15/24 @ 102.38)(1) | | (BB-, B1) | | 05/15/29 | | | 4.750 | | | | 931,275 | | |
| | 2,305 | | | Vertiv Group Corp., Rule 144A,
Senior Secured Notes
(Callable 11/15/24 @ 102.06)(1) | | (BB-, B1) | | 11/15/28 | | | 4.125 | | | | 2,011,147 | | |
| | | | 8,549,603 | | |
| Telecom - Wireline Integrated & Services (1.7%) | | | |
| | 1,000 | | | Altice France S.A., Rule 144A,
Senior Secured Notes
(Callable 04/15/24 @ 102.56)(1) | | (B, B2) | | 07/15/29 | | | 5.125 | | | | 848,210 | | |
| | 770 | | | Altice France S.A., Rule 144A,
Senior Secured Notes
(Callable 10/15/24 @ 102.75)(1) | | (B, B2) | | 10/15/29 | | | 5.500 | | | | 657,299 | | |
| | 1,125 | | | GTT Communications, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/22 @ 101.97)(1),(3) | | (NR, Wr) | | 12/31/24 | | | 0.000 | | | | 98,438 | | |
| | 1,255 | | | LCPR Senior Secured Financing DAC,
Rule 144A, Senior Secured Notes
(Callable 10/15/22 @ 103.38)(1) | | (B+, B1) | | 10/15/27 | | | 6.750 | | | | 1,249,465 | | |
See Accompanying Notes to Financial Statements.
22
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| CORPORATE BONDS (continued) | | | |
Telecom - Wireline Integrated & Services | | | |
$ | 500 | | | LCPR Senior Secured Financing DAC,
Rule 144A, Senior Secured Notes
(Callable 07/15/24 @ 102.56)(1) | | (B+, B1) | | 07/15/29 | | | 5.125 | | | $ | 456,000 | | |
| | 1,500 | | | Level 3 Financing, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 01/15/24 @ 101.81)(1) | | (BB, Ba3) | | 01/15/29 | | | 3.625 | | | | 1,220,895 | | |
| | 1,250 | | | Lumen Technologies, Inc., Rule 144A,
Senior Secured Notes
(Callable 02/15/23 @ 102.00)(1) | | (BBB-, Ba3) | | 02/15/27 | | | 4.000 | | | | 1,113,619 | | |
| | 2,500 | | | Vmed O2 UK Financing I PLC,
Rule 144A, Senior Secured Notes
(Callable 01/31/26 @ 102.13)(1) | | (BB-, Ba3) | | 01/31/31 | | | 4.250 | | | | 2,116,900 | | |
| | | | 7,760,826 | | |
| Theaters & Entertainment (0.4%) | | | |
| | 500 | | | Live Nation Entertainment, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 05/31/22 @ 101.22)(1) | | (B-, B3) | | 11/01/24 | | | 4.875 | | | | 494,433 | | |
| | 650 | | | Live Nation Entertainment, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 10/15/22 @ 103.56)(1) | | (B-, B3) | | 10/15/27 | | | 4.750 | | | | 611,487 | | |
| | 350 | | | Technicolor S.A., Rule 144A(1),(4),(6),(7) | | (NR, NR) | | 05/31/29 | | | 4.500 | | | | 360,002 | | |
| | 500 | | | Technicolor S.A., Tranche 2 Notes(7) | | (CCC, Caa3) | | 06/30/24 | | | 6.000 | | | | 556,982 | | |
| | | | 2,022,904 | | |
| Transport Infrastructure/Services (0.1%) | | | |
| | 554 | | | Navios Maritime Finance II U.S., Inc.,
Rule 144A, Senior Secured Notes
(Callable 05/10/22 @ 100.00)(1) | | (B, Caa1) | | 08/15/22 | | | 11.250 | | | | 555,022 | | |
| TOTAL CORPORATE BONDS (Cost $209,881,176) | | | 190,077,069 | | |
| BANK LOANS (48.8%) | | | |
| Advertising (0.2%) | | | |
| | 725 | | | MH Sub I LLC, LIBOR 1M + 3.500%(8) | | (B, B2) | | 09/13/24 | | | 4.264 | | | | 721,117 | | |
| | 250 | | | MH Sub I, LLC(9) | | (B, B2) | | 09/13/24 | | | 0.000 | | | | 249,149 | | |
| | | | 970,266 | | |
| Aerospace & Defense (1.6%) | | | |
| | 987 | | | Amentum Government Services
Holdings LLC, LIBOR 1M + 3.500%(8) | | (B, B1) | | 01/29/27 | | | 4.264 | | | | 984,658 | | |
| | 1,600 | | | Amentum Government Services
Holdings LLC, LIBOR 6M + 7.500%(4),(8) | | (NR, NR) | | 12/07/29 | | | 8.277 | | | | 1,592,000 | | |
| | 2,000 | | | Amentum Government Services
Holdings LLC, SOFR 3M + 4.000%(8) | |
(B, B1) | |
02/15/29 | | | 4.500 -
4.777 | | | | 1,992,000 | | |
| | 2,777 | | | Peraton Corp., LIBOR 1M + 3.750%(8) | | (B+, B1) | | 02/01/28 | | | 4.514 | | | | 2,762,195 | | |
| | | | 7,330,853 | | |
See Accompanying Notes to Financial Statements.
23
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
| Auto Parts & Equipment (2.4%) | | | |
$ | 1,189 | | | Adient U.S. LLC, LIBOR 1M + 3.250%(8) | | (BB+, Ba3) | | 04/10/28 | | | 4.014 | | | $ | 1,181,695 | | |
| | 1,064 | | | Autokiniton U.S. Holdings, Inc.,
LIBOR 3M + 4.500%(8) | | (B, B2) | | 04/06/28 | | | 5.000 | | | | 1,049,514 | | |
| | 1,031 | | | Clarios Global LP, LIBOR 1M + 3.250%(8) | | (B, B1) | | 04/30/26 | | | 4.014 | | | | 1,016,654 | | |
| | 1,945 | | | Dayco Products LLC,
LIBOR 3M + 4.250%(8) | | (B-, B3) | | 05/19/23 | | | 4.758 | | | | 1,930,109 | | |
| | 378 | | | Dealer Tire LLC,
LIBOR 1M + 4.250%(8) | |
(B-, B1) | |
12/12/25 | | | 4.999 -
5.032 | | | | 378,143 | | |
| | 97 | | | Holley Purchaser, Inc. (Delayed Draw
Term Loan), LIBOR 3M + 3.750%(8),(10) | | (B, B2) | | 11/17/28 | | | 4.576 | | | | 95,662 | | |
| | 581 | | | Holley Purchaser, Inc. (Term Loan),
LIBOR 3M + 3.750%(8) | | (B, B2) | | 11/17/28 | | | 4.500 | | | | 571,959 | | |
| | 146 | | | Jason Group, Inc., LIBOR 1M + 1.000%
Cash, 9.000% PIK(8),(11) | | (NR, Caa3) | | 03/02/26 | | | 11.000 | | | | 144,568 | | |
| | 204 | | | Jason Group, Inc., LIBOR 3M + 2.000%
Cash, 4.000% PIK(4),(8),(11) | | (NR, Caa1) | | 08/28/25 | | | 7.006 | | | | 200,062 | | |
| | 1,372 | | | Les Schwab Tire Centers,
LIBOR 3M + 3.250%(8) | | (B, B2) | | 11/02/27 | | | 4.000 | | | | 1,356,354 | | |
| | 1,036 | | | RVR Dealership Holdings LLC,
SOFR 3M + 3.750%(4),(8) | | (BB-, B1) | | 02/08/28 | | | 4.500 | | | | 963,332 | | |
| | 990 | | | Tenneco, Inc., LIBOR 1M + 3.000%(8) | | (B+, Ba3) | | 10/01/25 | | | 3.764 | | | | 979,734 | | |
| | 1,443 | | | U.S. Farathane LLC,
LIBOR 3M + 4.250%(8) | | (CCC+, B2) | | 12/23/24 | | | 5.256 | | | | 1,352,704 | | |
| | | | 11,220,490 | | |
| Brokerage (0.2%) | | | |
| | 1,104 | | | DRW Holdings LLC,
LIBOR 1M + 3.750%(8) | | (BB-, Ba3) | | 03/01/28 | | | 4.514 | | | | 1,094,881 | | |
| Building Materials (0.8%) | | | |
| | 1,206 | | | Chamberlain Group, Inc.,
LIBOR 3M + 3.500%(8) | | (B, B2) | | 11/03/28 | | | 4.506 | | | | 1,185,462 | | |
| | 2,698 | | | Cornerstone Building Brands, Inc.,
LIBOR 3M + 3.250%(8) | | (B+, B1) | | 04/12/28 | | | 3.804 | | | | 2,541,590 | | |
| | | | 3,727,052 | | |
| Chemicals (1.6%) | | | |
| | 942 | | | Ascend Performance Materials
Operations LLC, LIBOR 3M + 4.750%(8) | | (BB-, Ba3) | | 08/27/26 | | | 5.500 | | | | 942,384 | | |
| | 1,827 | | | Atotech B.V., LIBOR 1M + 2.500%(8) | | (B+, B1) | | 03/18/28 | | | 3.264 | | | | 1,815,077 | | |
| | 430 | | | CPC Acquisition Corp.,
LIBOR 3M + 7.750%(8) | | (CCC, Caa2) | | 12/29/28 | | | 8.756 | | | | 415,356 | | |
| | 380 | | | GEON Performance Solutions, LLC,
LIBOR 1M + 4.750%(8) | | (B+, B2) | | 08/18/28 | | | 5.514 | | | | 380,049 | | |
| | 1,362 | | | Luxembourg Investment Co. 428 S.a r.l.,
SOFR 3M + 5.000%(8) | | (B, B2) | | 01/03/29 | | | 5.651 | | | | 1,343,482 | | |
See Accompanying Notes to Financial Statements.
24
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Chemicals | | | |
$ | 790 | | | Vantage Specialty Chemicals, Inc.,
LIBOR 3M + 3.500%(8) | |
(CCC+, Caa1) | |
10/28/24 | | | 4.506 -
4.739 | | | $ | 764,685 | | |
| | 455 | | | Vantage Specialty Chemicals, Inc.,
LIBOR 3M + 8.250%(8),(12) | | (CCC-, Caa3) | | 10/27/25 | | | 9.250 | | | | 443,973 | | |
| | 449 | | | Vantage Specialty Chemicals, Inc.,
SOFR 3M + 3.500%(8) | | (CCC+, Caa1) | | 10/28/24 | | | 4.526 | | | | 434,661 | | |
| | 795 | | | Zep, Inc., LIBOR 12M + 4.000%(8) | | (CCC+, B2) | | 08/12/24 | | | 5.000 | | | | 739,193 | | |
| | | | 7,278,860 | | |
| Diversified Capital Goods (1.2%) | | | |
| | 1,940 | | | Callaway Golf Co., LIBOR 1M + 4.500%(8) | | (B+, B1) | | 01/02/26 | | | 5.264 | | | | 1,943,934 | | |
| | 1,572 | | | Dynacast International LLC,
LIBOR 3M + 4.500%(4),(8) | | (B-, B2) | | 07/22/25 | | | 5.500 | | | | 1,533,062 | | |
| | 590 | | | Dynacast International LLC,
LIBOR 3M + 9.000%(8) | | (CCC, Caa2) | | 10/22/25 | | | 10.000 | | | | 585,939 | | |
| | 1,377 | | | Electrical Components International, Inc.,
LIBOR 1M + 4.250%(8) | | (B-, B2) | | 06/26/25 | | | 5.014 | | | | 1,338,372 | | |
| | 236 | | | Filtration Group Corp.,
LIBOR 1M + 3.500%(8) | | (B, B3) | | 10/21/28 | | | 4.264 | | | | 232,915 | | |
| | 76 | | | GrafTech Finance, Inc.,
LIBOR 1M + 3.000%(8) | | (BB, Ba3) | | 02/12/25 | | | 3.764 | | | | 76,271 | | |
| | | | 5,710,493 | | |
| Electronics (1.5%) | | | |
| | 500 | | | CPI International, Inc.,
LIBOR 3M + 7.250%(4),(8),(12) | | (CCC, Caa2) | | 07/26/25 | | | 8.489 | | | | 474,704 | | |
| | 1,245 | | | Entegris, Inc.(9) | | (BB+, Baa3) | | 03/02/29 | | | 0.000 | | | | 1,246,815 | | |
| | 3,840 | | | Idemia Group, LIBOR 3M + 4.500%(8) | | (B-, B3) | | 01/09/26 | | | 5.506 | | | | 3,823,691 | | |
| | 691 | | | Infinite Bidco LLC, LIBOR 3M + 3.750%(8) | | (B-, B2) | | 03/02/28 | | | 4.250 | | | | 684,239 | | |
| | 500 | | | Infinite Bidco LLC, LIBOR 3M + 7.000%(8) | | (CCC, Caa2) | | 03/02/29 | | | 7.508 | | | | 494,582 | | |
| | | | 6,724,031 | | |
| Energy - Exploration & Production (0.1%) | | | |
| | 424 | | | Oryx Midstream Services Permian
Basin LLC, LIBOR 3M + 3.250%(8) | | (BB-, Ba3) | | 10/05/28 | | | 3.750 | | | | 422,138 | | |
| | 866 | | | PES Holdings LLC, 3.000% PIK(3),(8),(11) | | (NR, Wr) | | 12/31/22 | | | 3.000 | | | | 31,387 | | |
| | | | 453,525 | | |
| Food & Drug Retailers (1.4%) | | | |
| | 1,980 | | | Packaging Coordinators Midco, Inc.,
LIBOR 3M + 3.750%(8) | | (B-, B2) | | 11/30/27 | | | 4.756 | | | | 1,972,575 | | |
| | 1,250 | | | Sharp Midco LLC, LIBOR 3M + 4.000%(4),(8) | | (B-, B2) | | 12/31/28 | | | 5.006 | | | | 1,239,063 | | |
| | 2,480 | | | WOOF Holdings, Inc.,
LIBOR 3M + 3.750%(8) | | (B-, B2) | | 12/21/27 | | | 4.678 | | | | 2,466,546 | | |
See Accompanying Notes to Financial Statements.
25
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Food & Drug Retailers | | | |
$ | 866 | | | WOOF Holdings, Inc.,
LIBOR 3M + 7.250%(8) | | (CCC, Caa2) | | 12/21/28 | | | 8.178 | | | $ | 861,112 | | |
| | | | 6,539,296 | | |
| Food - Wholesale (0.4%) | | | |
| | 1,634 | | | AI Aqua Merger Sub, Inc.,
SOFR 1M + 3.750%(8) | | (B, B3) | | 07/31/28 | | | 4.250 | | | | 1,612,219 | | |
| Gaming (0.3%) | | | |
| | 929 | | | CBAC Borrower LLC,
LIBOR 1M + 4.000%(8),(12) | | (B-, Caa1) | | 07/08/24 | | | 4.764 | | | | 915,795 | | |
| | 328 | | | Fertitta Entertainment, LLC,
SOFR 1M + 4.000%(8) | | (B, B2) | | 01/27/29 | | | 4.700 | | | | 327,016 | | |
| | | | 1,242,811 | | |
| Gas Distribution (0.5%) | | | |
| | 998 | | | Lucid Energy Group II Borrower, LLC,
LIBOR 1M + 4.250%(8) | | (B, B2) | | 11/24/28 | | | 5.000 | | | | 990,228 | | |
| | 1,266 | | | Traverse Midstream Partners LLC,
SOFR 3M + 4.250%(8) | |
(B+, B3) | |
09/27/24 | | | 5.384 -
5.950 | | | | 1,264,739 | | |
| | | | 2,254,967 | | |
| Health Facilities (0.6%) | | | |
| | 993 | | | Insulet Corp., LIBOR 1M + 3.250%(8) | | (B+, Ba3) | | 05/04/28 | | | 4.014 | | | | 993,120 | | |
| | 1,980 | | | Loire Finco Luxembourg S.a.r.l.,
LIBOR 1M + 3.750%(8) | | (B, B3) | | 04/21/27 | | | 4.514 | | | | 1,956,809 | | |
| | | | 2,949,929 | | |
| Health Services (3.8%) | | | |
| | 1,783 | | | ADMI Corp., LIBOR 1M + 3.375%(8) | | (B, B2) | | 12/23/27 | | | 4.139 | | | | 1,757,811 | | |
| | 571 | | | Agiliti Health, Inc., LIBOR 1M + 2.750%(4),(8) | | (B+, B1) | | 01/04/26 | | | 3.500 | | | | 567,143 | | |
| | 13 | | | Agiliti Health, Inc., LIBOR 1M + 2.750%(4),(8) | | (B+, B1) | | 01/04/26 | | | 3.250 | | | | 13,349 | | |
| | 309 | | | Carestream Health, Inc.,
LIBOR 3M + 6.750%(8) | | (B-, B1) | | 05/08/23 | | | 7.756 | | | | 307,707 | | |
| | 2,439 | | | KUEHG Corp., LIBOR 3M + 3.750%(8) | | (B-, B2) | | 02/21/25 | | | 4.756 | | | | 2,419,516 | | |
| | 993 | | | Pacific Dental Services LLC,
LIBOR 1M + 3.250%(8) | | (B, B1) | | 05/05/28 | | | 4.000 | | | | 985,989 | | |
| | 1,481 | | | PetVet Care Centers LLC,
LIBOR 1M + 3.500%(8) | | (B, B2) | | 02/14/25 | | | 4.264 | | | | 1,473,608 | | |
| | 1,000 | | | Radiology Partners, Inc.,
LIBOR 1M + 4.250%(8) | |
(B-, B2) | |
07/09/25 | | | 4.804 -
4.882 | | | | 985,940 | | |
| | 295 | | | SCP Eye Care Services LLC,
LIBOR 3M + 4.500%(4),(8),(10) | | (B-, B3) | | 03/16/28 | | | 4.500 | | | | 294,531 | | |
| | 1,692 | | | SCP Eye Care Services LLC,
LIBOR 6M + 4.500%(4),(8) | | (B-, B3) | | 03/16/28 | | | 6.000 | | | | 1,686,475 | | |
| | 351 | | | Southern Veterinary Partners, LLC,
LIBOR 3M + 4.000%(8) | | (B-, B2) | | 10/05/27 | | | 5.000 | | | | 349,608 | | |
See Accompanying Notes to Financial Statements.
26
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Health Services | | | |
$ | 254 | | | Therapy Brands Holdings LLC,
LIBOR 3M + 4.000%(4),(8),(10) | | (B-, B2) | | 05/18/28 | | | 4.000 | | | $ | 252,648 | | |
| | 991 | | | Therapy Brands Holdings LLC,
LIBOR 6M + 4.000%(4),(8) | | (B-, B2) | | 05/18/28 | | | 4.787 | | | | 984,591 | | |
| | 423 | | | TTF Holdings LLC, LIBOR 1M + 4.250%(4),(8) | | (B+, B2) | | 03/31/28 | | | 5.063 | | | | 419,556 | | |
| | 3,154 | | | U.S. Radiology Specialists, Inc.,
LIBOR 3M + 5.250%(8) | | (B-, B3) | | 12/15/27 | | | 6.256 | | | | 3,146,868 | | |
| | 158 | | | Western Dental Services, Inc.,
LIBOR 3M + 4.500%(8),(10) | |
(B-, B3) | |
08/18/28 | | | 5.304 -
5.739 | | | | 157,643 | | |
| | 1,447 | | | Western Dental Services, Inc.,
LIBOR 6M + 4.500%(8) | | (B-, B3) | | 08/18/28 | | | 5.281 | | | | 1,441,798 | | |
| | | | 17,244,781 | | |
| Insurance Brokerage (1.7%) | | | |
| | 396 | | | Acrisure LLC, LIBOR 1M + 3.500%(8) | | (B, B2) | | 02/15/27 | | | 4.264 | | | | 390,848 | | |
| | 377 | | | Acrisure, LLC, LIBOR 1M + 4.250%(8) | | (B, B2) | | 02/15/27 | | | 5.014 | | | | 375,389 | | |
| | 1,285 | | | Alliant Holdings Intermediate, LLC,
LIBOR 1M + 3.500%(8) | | (B, B2) | | 11/06/27 | | | 4.051 | | | | 1,277,971 | | |
| | 495 | | | AssuredPartners, Inc.,
LIBOR 1M + 3.500%(8) | | (B, B2) | | 02/12/27 | | | 4.264 | | | | 489,265 | | |
| | 1,764 | | | Hub International Ltd.(9) | | (B, B2) | | 04/25/25 | | | 0.000 | | | | 1,756,739 | | |
| | 862 | | | NFP Corp., LIBOR 1M + 3.250%(8) | | (B, B1) | | 02/15/27 | | | 4.014 | | | | 849,111 | | |
| | 2,556 | | | Ryan Specialty Group LLC,
LIBOR 1M + 3.000%(8) | | (BB-, B1) | | 09/01/27 | | | 3.800 | | | | 2,553,965 | | |
| | | | 7,693,288 | | |
| Investments & Misc. Financial Services (3.0%) | | | |
| | 436 | | | Altisource Solutions Sarl,
LIBOR 3M + 4.000%(8),(12) | | (CCC-, Caa1) | | 04/03/24 | | | 5.006 | | | | 387,031 | | |
| | 1,000 | | | AqGen Ascensus, Inc.,
LIBOR 3M + 6.500%(8) | | (CCC, Caa2) | | 08/02/29 | | | 7.500 | | | | 991,665 | | |
| | 1,416 | | | AqGen Island Holdings, Inc.,
LIBOR 3M + 3.500%(8) | | (B-, B2) | | 08/02/28 | | | 4.563 | | | | 1,398,417 | | |
| | 374 | | | Ditech Holding Corp.(3),(5) | | (NR, Wr) | | 06/30/22 | | | 0.000 | | | | 74,722 | | |
| | 913 | | | Focus Financial Partners LLC,
LIBOR 1M + 2.000%(8) | | (BB-, Ba3) | | 07/03/24 | | | 2.764 | | | | 908,605 | | |
| | 1,500 | | | Galaxy US Opco, Inc.(4),(9) | | (B-, B3) | | 04/19/29 | | | 0.000 | | | | 1,464,375 | | |
| | 1,741 | | | HighTower Holdings LLC,
LIBOR 3M + 4.000%(8) | | (B-, B2) | | 04/21/28 | | | 5.098 | | | | 1,722,384 | | |
| | 1,347 | | | Hudson River Trading LLC,
SOFR 1M + 3.000%(8) | | (BB-, Ba2) | | 03/20/28 | | | 3.815 | | | | 1,331,647 | | |
| | 1,110 | | | Jane Street Group LLC,
LIBOR 1M + 2.750%(8) | | (BB-, Ba2) | | 01/26/28 | | | 3.514 | | | | 1,098,747 | | |
| | 637 | | | Jump Financial, LLC,
LIBOR 1M + 4.500%(4),(8) | | (BB-, Ba2) | | 08/02/28 | | | 5.315 | | | | 627,399 | | |
See Accompanying Notes to Financial Statements.
27
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Investments & Misc. Financial Services | | | |
$ | 401 | | | Kestra Advisor Services Holdings A, Inc.,
LIBOR 3M + 4.250%(8) | | (B-, B2) | | 06/03/26 | | | 5.260 | | | $ | 398,041 | | |
| | 125 | | | Mariner Wealth Advisors LLC
(Delayed Draw Term Loan),
SOFR 3M + 3.250%(4),(8) | | (B-, Ba3) | | 08/18/28 | | | 4.496 | | | | 123,472 | | |
| | 871 | | | Mariner Wealth Advisors LLC (Term
Loan B), SOFR 3M + 3.250%(4),(8) | | (B-, Ba3) | | 08/18/28 | | | 4.496 | | | | 863,007 | | |
| | 851 | | | Oscar AcquisitionCo, LLC(9) | | (B, B1) | | 04/30/29 | | | 0.000 | | | | 817,115 | | |
| | 347 | | | Resolute Investment Managers, Inc.,
LIBOR 3M + 4.250%(8) | | (B+, Ba3) | | 04/30/24 | | | 5.256 | | | | 343,697 | | |
| | 1,462 | | | VFH Parent LLC, SOFR 1M + 3.000%(8) | | (B+, Ba3) | | 01/13/29 | | | 3.573 | | | | 1,453,868 | | |
| | | | 14,004,192 | | |
| Machinery (1.9%) | | | |
| | 498 | | | 19th Holdings Golf, LLC,
SOFR 3M + 3.250%(4),(8) | | (B, B1) | | 02/07/29 | | | 3.750 | | | | 491,304 | | |
| | 345 | | | ASP Blade Holdings, Inc.,
LIBOR 1M + 4.000%(8) | | (B-, B1) | | 10/13/28 | | | 4.764 | | | | 339,568 | | |
| | 998 | | | CMBF LLC, LIBOR 1M + 6.000%(4),(8) | | (B, B3) | | 08/02/28 | | | 6.500 | | | | 970,069 | | |
| | 284 | | | CPM Holdings, Inc., LIBOR 1M + 3.500%(8) | | (B-, B2) | | 11/17/25 | | | 3.955 | | | | 281,608 | | |
| | 197 | | | CPM Holdings, Inc.,
LIBOR 1M + 8.250%(4),(8),(12) | | (CCC+, Caa2) | | 11/16/26 | | | 8.705 | | | | 196,216 | | |
| | 411 | | | LTI Holdings, Inc.,
LIBOR 1M + 6.750%(8),(12) | | (CCC+, Caa2) | | 09/06/26 | | | 7.514 | | | | 404,258 | | |
| | 2,448 | | | LTI Holdings, Inc.,
LIBOR 1M + 3.500%(8) | | (B-, B2) | | 09/06/25 | | | 4.264 | | | | 2,402,399 | | |
| | 469 | | | LTI Holdings, Inc.(9),(10) | | (B-, B2) | | 07/24/26 | | | 4.750 | | | | 464,941 | | |
| | 468 | | | LTI Holdings, Inc., LIBOR 1M + 4.750%(8) | | (B-, B2) | | 07/24/26 | | | 5.514 | | | | 463,779 | | |
| | 991 | | | Penn Engineering & Manufacturing Corp.,
LIBOR 3M + 2.500%(8) | | (BB-, B1) | | 06/27/24 | | | 3.506 | | | | 985,344 | | |
| | 59 | | | Pro Mach Group, Inc.,
LIBOR 3M + 4.000%(8),(10) | | (B-, B1) | | 08/31/28 | | | 4.000 | | | | 58,933 | | |
| | 860 | | | Pro Mach Group, Inc.,
LIBOR 3M + 4.000%(8) | |
(B-, B1) | |
08/31/28 | | | 5.000 -
5.239 | | | | 856,227 | | |
| | 1,000 | | | Welbilt, Inc., LIBOR 1M + 2.500%(8) | | (B-, B2) | | 10/23/25 | | | 3.264 | | | | 997,505 | | |
| | | | 8,912,151 | | |
| Media - Diversified (0.2%) | | | |
| | 964 | | | Diamond Sports Group, LLC,
SOFR 3M + 3.250%(8) | | (CCC+, Caa2) | | 08/24/26 | | | 3.656 | | | | 327,270 | | |
| | 569 | | | Diamond Sports Group, LLC,
SOFR 1M + 8.000%(8) | | (B, B2) | | 05/26/26 | | | 9.000 | | | | 580,645 | | |
| | | | 907,915 | | |
| Medical Products (1.7%) | | | |
| | 1,463 | | | CryoLife, Inc., LIBOR 3M + 3.500%(8) | | (B, B1) | | 06/01/27 | | | 4.506 | | | | 1,444,280 | | |
| | 1,356 | | | Femur Buyer, Inc., LIBOR 3M + 4.500%(8) | | (CCC+, Caa1) | | 03/05/26 | | | 5.506 | | | | 1,234,023 | | |
See Accompanying Notes to Financial Statements.
28
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Medical Products | | | |
$ | 686 | | | Femur Buyer, Inc., LIBOR 3M + 5.500%(4),(8) | | (NR, NR) | | 03/05/24 | | | 6.506 | | | $ | 602,830 | | |
| | 2,000 | | | Medline Industries, Inc.,
LIBOR 1M + 3.250%(8) | | (B+, B1) | | 10/23/28 | | | 4.014 | | | | 1,968,640 | | |
| | 2,400 | | | Sotera Health Holdings LLC,
LIBOR 1M + 2.750%(8) | | (BB-, B1) | | 12/11/26 | | | 3.514 | | | | 2,380,500 | | |
| | | | 7,630,273 | | |
| Metals & Mining - Excluding Steel (0.0%) | | | |
| | 198 | | | Noranda Aluminum Acquisition
Corp.(3),(4),(5) | | (NR, Wr) | | 02/28/19 | | | 0.000 | | | | 505 | | |
| Packaging (0.9%) | | | |
| | 549 | | | Plastipak Packaging, Inc.,
LIBOR 1M + 2.500%(8) | | (B+, Ba3) | | 12/01/28 | | | 3.264 | | | | 540,568 | | |
| | 2,112 | | | Proampac PG Borrower LLC,
LIBOR 3M + 3.750%, PRIME + 2.750%(8) | |
(B-, B3) | |
11/03/25 | | | 4.500 -
6.250 | | | | 2,083,542 | | |
| | 722 | | | Strategic Materials, Inc.,
LIBOR 3M + 3.750%(8),(12) | | (CCC, Caa3) | | 11/01/24 | | | 4.750 | | | | 651,061 | | |
| | 645 | | | Strategic Materials, Inc.,
LIBOR 3M + 7.750%(4),(8),(12) | | (CC, C) | | 10/31/25 | | | 8.750 | | | | 357,975 | | |
| | 342 | | | Technimark Holdings LLC,
LIBOR 1M + 3.750%(8) | | (B-, B2) | | 07/09/29 | | | 4.301 | | | | 332,284 | | |
| | | | 3,965,430 | | |
| Packaging & Containers (0.3%) | | | |
| | 1,513 | | | Hyperion Insurance Group Ltd.,
LIBOR 1M + 3.250%(8) | | (B, B2) | | 11/12/27 | | | 4.063 | | | | 1,500,412 | | |
| Personal & Household Products (0.9%) | | | |
| | 787 | | | ABG Intermediate Holdings 2 LLC,
LIBOR 3M + 3.250%(8) | | (B, B1) | | 09/27/24 | | | 4.000 | | | | 786,219 | | |
| | 167 | | | Anticimex International AB,
LIBOR 3M + 4.000%(4),(8) | | (B, B2) | | 11/16/28 | | | 4.500 | | | | 166,655 | | |
| | 582 | | | Fender Musical Instruments Corp.,
SOFR 1M + 4.000%(8) | | (B, B2) | | 12/01/28 | | | 4.500 | | | | 579,049 | | |
| | 250 | | | Lakeshore Intermediate LLC,
LIBOR 3M + 3.500%(8) | | (B, B2) | | 09/29/28 | | | 4.000 | | | | 247,296 | | |
| | 1,355 | | | MND Holdings III Corp.,
LIBOR 3M + 3.500%(8),(12) | | (B-, Caa1) | | 06/19/24 | | | 4.506 | | | | 1,341,138 | | |
| | 967 | | | Serta Simmons Bedding, LLC,
LIBOR 1M + 7.500%(8) | | (B-, Caa2) | | 08/10/23 | | | 8.500 | | | | 876,070 | | |
| | | | 3,996,427 | | |
| Pharmaceuticals (0.8%) | | | |
| | 320 | | | Akorn Holding Company LLC,
LIBOR 3M + 7.500%(8) | | (CCC+, Caa2) | | 10/01/25 | | | 8.500 | | | | 320,701 | | |
| | 1,191 | | | Bausch Health Companies, Inc.,
LIBOR 1M + 2.750%(8) | | (BB, Ba2) | | 11/27/25 | | | 3.514 | | | | 1,186,163 | | |
See Accompanying Notes to Financial Statements.
29
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Pharmaceuticals | | | |
$ | 882 | | | Bausch Health Companies., Inc.(9) | | (BB, Ba3) | | 01/27/27 | | | 0.000 | | | $ | 855,272 | | |
| | 1,264 | | | Endo Luxembourg Finance Co. I Sarl,
LIBOR 1M + 5.000%(8) | | (B-, B3) | | 03/27/28 | | | 5.813 | | | | 1,176,064 | | |
| | | | 3,538,200 | | |
| Real Estate Investment Trusts (0.3%) | | | |
| | 709 | | | Blackstone Mortgage Trust, Inc.,
LIBOR 1M + 2.750%(4),(8) | | (BB-, Ba2) | | 04/23/26 | | | 3.514 | | | | 699,861 | | |
| | 741 | | | Claros Mortgage Trust, Inc.,
SOFR 1M + 4.500%(4),(8) | | (B+, Ba3) | | 08/09/26 | | | 5.000 | | | | 738,717 | | |
| | | | 1,438,578 | | |
| Recreation & Travel (1.1%) | | | |
| | 1,939 | | | Bulldog Purchaser, Inc.,
LIBOR 3M + 3.750%(8) | | (B-, B3) | | 09/05/25 | | | 4.258 | | | | 1,864,223 | | |
| | 61 | | | Crown Finance U.S., Inc.,
LIBOR 3M + 2.500%(8) | | (CCC, Caa2) | | 02/28/25 | | | 4.000 | | | | 47,087 | | |
| | 317 | | | Crown Finance U.S., Inc.,
LIBOR 3M + 2.750%(8) | | (CCC, Caa2) | | 09/30/26 | | | 4.250 | | | | 236,100 | | |
| | 872 | | | Hornblower Sub LLC,
LIBOR 3M + 4.500%(8) | | (CCC-, Caa2) | | 04/27/25 | | | 5.500 | | | | 789,789 | | |
| | 350 | | | Hornblower Sub LLC (Incremental Term
Loan), LIBOR 3M + 8.125%(8) | | (NR, NR) | | 11/10/25 | | | 9.125 | | | | 362,250 | | |
| | 1,134 | | | Hornblower Sub LLC (Term Loan),
LIBOR 3M + 8.125%(8) | | (NR, NR) | | 11/10/25 | | | 9.125 | | | | 1,173,711 | | |
| | 748 | | | SeaWorld Parks & Entertainment, Inc.,
LIBOR 1M + 3.000%(8) | | (BB-, Ba3) | | 08/25/28 | | | 3.813 | | | | 738,612 | | |
| | | | 5,211,772 | | |
| Restaurants (2.7%) | | | |
| | 2,481 | | | Flynn Restaurant Group LP,
LIBOR 1M + 4.250%(8) | | (B, B2) | | 12/01/28 | | | 5.137 | | | | 2,452,924 | | |
| | 2,451 | | | IRB Holding Corp., LIBOR 6M + 2.750%(8) | | (B+, B2) | | 02/05/25 | | | 3.756 | | | | 2,433,153 | | |
| | 988 | | | IRB Holding Corp., SOFR 1M + 3.000%(8) | | (B+, B2) | | 12/15/27 | | | 3.750 | | | | 975,467 | | |
| | 688 | | | K-Mac Holdings Corp.,
LIBOR 1M + 6.750%(8) | | (CCC, Caa2) | | 07/30/29 | | | 7.250 | | | | 679,830 | | |
| | 974 | | | Miller's Ale House, Inc.,
LIBOR 1M + 4.750%,
PRIME + 3.750%(8),(12) | |
(CCC+, Caa1) | |
05/30/25 | | | 5.418 -
7.250 | | | | 950,922 | | |
| | 1,964 | | | Tacala LLC, LIBOR 1M + 3.500%(8) | | (B-, B2) | | 02/05/27 | | | 4.264 | | | | 1,935,776 | | |
| | 375 | | | Tacala LLC, LIBOR 1M + 7.500%(8) | | (CCC, Caa2) | | 02/04/28 | | | 8.264 | | | | 369,141 | | |
| | 2,504 | | | Whatabrands LLC, LIBOR 1M + 3.250%(8) | | (B, B2) | | 08/03/28 | | | 4.014 | | | | 2,479,965 | | |
| | | | 12,277,178 | | |
See Accompanying Notes to Financial Statements.
30
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
| Software - Services (10.2%) | | | |
$ | 1,727 | | | Applied Systems, Inc.,
LIBOR 3M + 3.000%(8) | | (B-, B2) | | 09/19/24 | | | 4.006 | | | $ | 1,723,717 | | |
| | 983 | | | Applied Systems, Inc.,
LIBOR 3M + 5.500%(8) | | (CCC, Caa2) | | 09/19/25 | | | 6.506 | | | | 984,567 | | |
| | 1,724 | | | Aston FinCo Sarl, LIBOR 1M + 4.250%(8) | | (B-, B2) | | 10/09/26 | | | 5.014 | | | | 1,709,432 | | |
| | 1,173 | | | Astra Acquisition Corp.,
LIBOR 1M + 5.250%(4),(8) | | (B-, B2) | | 10/25/28 | | | 6.014 | | | | 1,131,644 | | |
| | 1,237 | | | Ceridian HCM Holding, Inc.,
LIBOR 1M + 2.500%(8) | | (B+, B1) | | 04/30/25 | | | 3.264 | | | | 1,224,424 | | |
| | 1,000 | | | CommerceHub, Inc., LIBOR 3M + 7.000%(8) | | (CCC, Caa2) | | 12/29/28 | | | 8.006 | | | | 932,500 | | |
| | 1,484 | | | CommerceHub, Inc., LIBOR 3M + 4.000%(8) | | (B, B2) | | 12/29/27 | | | 5.006 | | | | 1,451,650 | | |
| | 1,000 | | | Cornerstone OnDemand, Inc.,
LIBOR 1M + 3.750%(8) | | (B-, B2) | | 10/16/28 | | | 4.514 | | | | 987,915 | | |
| | 1,250 | | | DCert Buyer, Inc., LIBOR 1M + 7.000%(8) | | (CCC, Caa2) | | 02/19/29 | | | 7.764 | | | | 1,240,106 | | |
| | 600 | | | Epicor Software Corp.,
LIBOR 1M + 7.750%(8) | | (CCC, Caa2) | | 07/31/28 | | | 8.750 | | | | 613,752 | | |
| | 3,743 | | | Finastra U.S.A., Inc., LIBOR 3M + 3.500%(8) | | (B-, B2) | | 06/13/24 | | | 4.739 | | | | 3,640,702 | | |
| | 2,140 | | | Finastra U.S.A., Inc., LIBOR 3M + 7.250%(8) | | (CCC, Caa2) | | 06/13/25 | | | 8.489 | | | | 2,063,895 | | |
| | 995 | | | Fleetcor Technologies Operating
Company, LLC, LIBOR 1M + 1.750%(8) | | (BB+, Ba1) | | 04/28/28 | | | 2.514 | | | | 978,356 | | |
| | 2,967 | | | Flexera Software LLC,
LIBOR 3M + 3.750%(8) | | (B-, B1) | | 03/03/28 | | | 4.500 | | | | 2,952,909 | | |
| | 1,741 | | | GHX Ultimate Parent Corp.,
LIBOR 3M + 3.250%(8) | | (B, B2) | | 06/28/24 | | | 4.256 | | | | 1,727,081 | | |
| | 427 | | | IGT Holding IV AB, LIBOR 3M + 3.500%(8) | | (B, B2) | | 03/31/28 | | | 4.506 | | | | 425,431 | | |
| | 246 | | | MA FinanceCo. LLC, LIBOR 3M + 4.250%(8) | | (BB-, B1) | | 06/05/25 | | | 5.250 | | | | 245,380 | | |
| | 966 | | | Navicure, Inc., LIBOR 1M + 4.000%(8) | | (B-, B2) | | 10/22/26 | | | 4.764 | | | | 966,178 | | |
| | 1,270 | | | Ping Identity Corp.,
SOFR 1M + 3.750%(4),(8) | | (B-, B1) | | 11/22/28 | | | 4.550 | | | | 1,258,476 | | |
| | 2,919 | | | Polaris Newco LLC, LIBOR 1M + 4.000%(8) | | (B-, B2) | | 06/02/28 | | | 4.764 | | | | 2,893,670 | | |
| | 2,709 | | | Project Alpha Intermediate Holding, Inc.,
LIBOR 1M + 4.000%(8) | | (B, B3) | | 04/26/24 | | | 4.770 | | | | 2,706,238 | | |
| | 1,091 | | | Project Boost Purchaser, LLC,
LIBOR 1M + 3.500%(8) | | (B-, B2) | | 06/01/26 | | | 4.264 | | | | 1,076,055 | | |
| | 2,373 | | | Proofpoint, Inc., LIBOR 3M + 3.250%(8) | | (B-, B2) | | 08/31/28 | | | 3.758 | | | | 2,338,453 | | |
| | 1,990 | | | RealPage, Inc., LIBOR 1M + 3.250%(8) | | (B, B2) | | 04/24/28 | | | 4.014 | | | | 1,961,712 | | |
| | 2,073 | | | Redstone Holdco 2 LP,
LIBOR 3M + 4.750%(8) | | (B-, B2) | | 04/27/28 | | | 5.934 | | | | 1,999,392 | | |
| | 1,138 | | | Seattle Spinco, Inc., SOFR 1M + 4.000%(8) | | (BB-, B1) | | 02/26/27 | | | 4.671 | | | | 1,128,199 | | |
| | 1,239 | | | Seattle Spinco, Inc., LIBOR 1M + 2.750%(8) | | (BB-, B1) | | 06/21/24 | | | 3.514 | | | | 1,227,283 | | |
| | 2,089 | | | Transact Holdings, Inc.,
LIBOR 1M + 4.750%(8) | | (B, B2) | | 04/30/26 | | | 5.514 | | | | 2,078,578 | | |
| | 261 | | | Vaco Holdings, LLC, SOFR 3M + 5.000%(8) | | (B, B2) | | 01/21/29 | | | 5.801 | | | | 260,873 | | |
See Accompanying Notes to Financial Statements.
31
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Software - Services | | | |
$ | 1,676 | | | Virtusa Corp., LIBOR 1M + 3.750%(8) | | (B, B2) | | 02/11/28 | | | 4.514 | | | $ | 1,660,890 | | |
| | 1,410 | | | VS Buyer LLC, LIBOR 1M + 3.000%(8) | | (B, B1) | | 02/28/27 | | | 3.764 | | | | 1,399,197 | | |
| | | | 46,988,655 | | |
| Specialty Retail (0.7%) | | | |
| | 432 | | | EG America LLC,
LIBOR 3M + 4.000%(8) | |
(B-, B3) | |
02/07/25 | | | 4.996 -
4.999 | | | | 423,135 | | |
| | 2,291 | | | Mister Car Wash Holdings, Inc.,
LIBOR 1M + 3.000%(8) | | (B, B2) | | 05/14/26 | | | 3.764 | | | | 2,276,315 | | |
| | 737 | | | Restoration Hardware, Inc.,
LIBOR 1M + 2.500%(8) | | (BB, Ba3) | | 10/20/28 | | | 3.264 | | | | 710,956 | | |
| | | | 3,410,406 | | |
| Steel Producers/Products (0.1%) | | | |
| | 616 | | | Grinding Media, Inc.,
LIBOR 6M + 4.000%(4),(8) | | (B, B2) | | 10/12/28 | | | 4.796 | | | | 604,423 | | |
| Support - Services (2.0%) | | | |
| | 990 | | | Belfor Holdings, Inc.,
LIBOR 1M + 3.750%(8) | | (B, B1) | | 04/06/26 | | | 4.514 | | | | 989,203 | | |
| | 2,371 | | | Change Healthcare Holdings LLC,
LIBOR 1M + 2.500%(8) | | (B+, B1) | | 03/01/24 | | | 3.500 | | | | 2,369,568 | | |
| | 990 | | | Gloves Buyer, Inc., LIBOR 1M + 4.000%(4),(8) | | (B-, B2) | | 12/29/27 | | | 4.671 | | | | 977,624 | | |
| | 499 | | | LaserShip, Inc., LIBOR 3M + 7.500%(8) | | (CCC, Caa2) | | 05/07/29 | | | 8.250 | | | | 497,012 | | |
| | 1,493 | | | LaserShip, Inc., LIBOR 3M + 4.500%(8) | | (B-, B2) | | 05/07/28 | | | 5.250 | | | | 1,482,052 | | |
| | 828 | | | White Cap Buyer LLC,
SOFR 1M + 3.750%(8) | | (B, B2) | | 10/19/27 | | | 6.250 | | | | 810,945 | | |
| | 1,954 | | | Wrench Group LLC,
LIBOR 3M + 4.000%(4),(8) | | (B-, B2) | | 04/30/26 | | | 5.006 | | | | 1,941,490 | | |
| | | | 9,067,894 | | |
| Tech Hardware & Equipment (0.3%) | | | |
| | 585 | | | CommScope, Inc., LIBOR 1M + 3.250%(8) | | (B, Ba3) | | 04/06/26 | | | 4.014 | | | | 564,858 | | |
| | 993 | | | Ingram Micro, Inc., LIBOR 3M + 3.500%(8) | | (BB-, B1) | | 06/30/28 | | | 4.506 | | | | 990,763 | | |
| | | | 1,555,621 | | |
| Telecom - Wireless (0.5%) | | | |
| | 499 | | | CCI Buyer, Inc., LIBOR 3M + 4.000%(8) | | (B-, B1) | | 12/17/27 | | | 4.750 | | | | 492,352 | | |
| | 1,978 | | | Eagle Broadband Investments LLC,
LIBOR 3M + 3.000%(8) | | (B+, B2) | | 11/12/27 | | | 4.063 | | | | 1,962,182 | | |
| | | | 2,454,534 | | |
| Telecom - Wireline Integrated & Services (0.7%) | | | |
| | 478 | | | Altice Financing S.A.,
LIBOR 3M + 2.750%(8) | | (B, B2) | | 01/31/26 | | | 3.794 | | | | 469,043 | | |
| | 497 | | | Altice France S.A., LIBOR 3M + 4.000%(8) | | (B, B2) | | 08/14/26 | | | 4.506 | | | | 494,781 | | |
| | 293 | | | Altice France S.A., LIBOR 3M + 3.688%(8) | | (B, B2) | | 01/31/26 | | | 4.732 | | | | 290,693 | | |
See Accompanying Notes to Financial Statements.
32
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| BANK LOANS (continued) | | | |
Telecom - Wireline Integrated & Services | | | |
$ | 323 | | | GTT Communications, Inc.,
PRIME + 3.750%(3),(8) | | (NR, Wr) | | 05/31/25 | | | 7.250 | | | $ | 265,395 | | |
| | 495 | | | Numericable Group S.A.,
LIBOR 1M + 2.750%(8) | | (B, B2) | | 07/31/25 | | | 3.514 | | | | 486,803 | | |
| | 944 | | | TVC Albany, Inc., LIBOR 1M + 3.500%(4),(8) | | (B-, B2) | | 07/23/25 | | | 4.264 | | | | 929,805 | | |
| | 438 | | | TVC Albany, Inc.,
LIBOR 1M + 7.500%(4),(8),(12) | | (CCC, Caa2) | | 07/23/26 | | | 8.300 | | | | 422,188 | | |
| | | | 3,358,708 | | |
| Theaters & Entertainment (2.0%) | | | |
| | 900 | | | Technicolor S.A., LIBOR 3M + 2.750%
Cash, 3.000% PIK(8),(11) | | (CCC, Caa3) | | 12/31/24 | | | 7.038 | | | | 891,507 | | |
| | 323 | | | Technicolor S.A. (Incremental New Money
Term Loan), LIBOR 6M + 6.000%
Cash, 6.000% PIK(8),(11) | | (B, Caa1) | | 06/30/24 | | | 12.446 | | | | 334,282 | | |
| | 1,774 | | | Technicolor S.A. (New Money Term Loan),
LIBOR 6M + 6.000%
Cash, 6.000% PIK(8),(11) | | (B, Caa1) | | 06/30/24 | | | 12.446 | | | | 1,838,551 | | |
| | 167 | | | TopGolf International, Inc.,
LIBOR 1M + 6.250%(8) | | (B, B3) | | 02/09/26 | | | 7.000 | | | | 169,952 | | |
| | 2,670 | | | UFC Holdings LLC, LIBOR 6M + 2.750%(8) | | (B, B2) | | 04/29/26 | | | 3.500 | | | | 2,636,008 | | |
| | 3,418 | | | William Morris Endeavor Entertainment
LLC, LIBOR 1M + 2.750%(8) | | (B, B3) | | 05/18/25 | | | 3.520 | | | | 3,358,386 | | |
| | | | 9,228,686 | | |
| Trucking & Delivery (0.2%) | | | |
| | 991 | | | American Trailer World Corp.,
SOFR 1M + 3.500%(8) | | (B, B3) | | 03/03/28 | | | 4.300 | | | | 927,352 | | |
| TOTAL BANK LOANS (Cost $228,834,629) | | | 225,027,054 | | |
| ASSET BACKED SECURITIES (5.0%) | | | |
| Collateralized Debt Obligations (5.0%) | | | |
| | 1,000 | | | ALM Ltd., 2020 1A D, Rule 144A,
LIBOR 3M + 6.000%(1),(8) | | (BB-, NR) | | 10/15/29 | | | 7.044 | | | | 979,303 | | |
| | 1,350 | | | Anchorage Capital CLO 15 Ltd., 2020-15A,
Rule 144A, LIBOR 3M + 7.400%(1),(8) | | (NR, Ba3) | | 07/20/34 | | | 8.463 | | | | 1,313,487 | | |
| | 1,250 | | | Anchorage Capital CLO 2013-1 Ltd.,
2013-1A, Rule 144A,
LIBOR 3M + 6.800%(1),(8) | | (NR, Ba3) | | 10/13/30 | | | 7.821 | | | | 1,230,389 | | |
| | 1,000 | | | Anchorage Capital CLO 21 Ltd., 2021-21A,
Rule 144A, LIBOR 3M + 7.350%(1),(8) | | (NR, Ba3) | | 10/20/34 | | | 8.413 | | | | 976,835 | | |
| | 1,000 | | | Anchorage Capital CLO 4-R Ltd.,
2014-4RA, Rule 144A,
LIBOR 3M + 2.600%(1),(8) | | (BBB-, NR) | | 01/28/31 | | | 3.838 | | | | 969,572 | | |
| | 1,000 | | | Battalion CLO XIV Ltd., 2019-14A,
Rule 144A, LIBOR 3M + 3.440%(1),(8) | | (NR, Baa3) | | 01/20/35 | | | 4.503 | | | | 990,609 | | |
See Accompanying Notes to Financial Statements.
33
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| ASSET BACKED SECURITIES (continued) | | | |
Collateralized Debt Obligations | | | |
$ | 1,000 | | | Battalion CLO XV Ltd., 2020-15A,
Rule 144A, LIBOR 3M + 6.350%(1),(8) | | (BB-, NR) | | 01/17/33 | | | 7.394 | | | $ | 972,433 | | |
| | 1,000 | | | BlueMountain CLO Ltd., 2016-2A,
Rule 144A, LIBOR 3M + 4.300%(1),(8) | | (BBB-, NR) | | 08/20/32 | | | 4.780 | | | | 975,544 | | |
| | 1,000 | | | BlueMountain Fuji U.S. CLO I Ltd.,
2017-1AE, Rule 144A,
LIBOR 3M + 6.000%(1),(8) | | (BB-, NR) | | 07/20/29 | | | 7.063 | | | | 956,774 | | |
| | 750 | | | BlueMountain Fuji U.S. CLO III Ltd.,
2017-3A, Rule 144A,
LIBOR 3M + 5.200%(1),(8) | | (BB-, NR) | | 01/15/30 | | | 6.244 | | | | 699,393 | | |
| | 750 | | | Carlyle Global Market Strategies CLO Ltd.,
2014-3RA, Rule 144A,
LIBOR 3M + 5.400%(1),(8) | | (B+, NR) | | 07/27/31 | | | 6.625 | | | | 686,850 | | |
| | 1,250 | | | CIFC Funding Ltd., 2013-2A, Rule 144A,
LIBOR 3M + 6.520%(1),(8) | | (B+, NR) | | 10/18/30 | | | 7.564 | | | | 1,205,915 | | |
| | 750 | | | CIFC Funding Ltd., 2014-1A, Rule 144A,
LIBOR 3M + 5.850%(1),(8) | | (B+, NR) | | 01/18/31 | | | 6.894 | | | | 705,462 | | |
| | 750 | | | Goldentree Loan Opportunities XI Ltd.,
2015-11A, Rule 144A,
LIBOR 3M + 5.400%(1),(8) | | (NR, Ba3) | | 01/18/31 | | | 6.444 | | | | 725,181 | | |
| | 1,225 | | | Greywolf CLO V Ltd., 2015-1A, Rule 144A,
LIBOR 3M + 5.850%(1),(8) | | (B+, NR) | | 01/27/31 | | | 7.034 | | | | 1,125,988 | | |
| | 500 | | | Halcyon Loan Advisors Funding Ltd.,
2015-2A, Rule 144A(1),(9) | | (NR, NR) | | 07/25/27 | | | 0.000 | | | | 10,050 | | |
| | 1,000 | | | KKR CLO Ltd., 16, Rule 144A,
LIBOR 3M + 7.110%(1),(8) | | (BB-, NR) | | 10/20/34 | | | 8.173 | | | | 976,054 | | |
| | 500 | | | KKR CLO Ltd., 20, Rule 144A,
LIBOR 3M + 5.500%(1),(8) | | (NR, Ba3) | | 10/16/30 | | | 6.544 | | | | 471,057 | | |
| | 750 | | | KKR Financial CLO Ltd., 2013-1A,
Rule 144A, LIBOR 3M + 6.080%(1),(8) | | (NR, Ba3) | | 04/15/29 | | | 7.124 | | | | 715,300 | | |
| | 1,000 | | | Marble Point CLO XXIII Ltd., 2021-4A,
Rule 144A, LIBOR 3M + 5.750%(1),(8) | | (NR, Ba1) | | 01/22/35 | | | 6.886 | | | | 951,174 | | |
| | 1,000 | | | Neuberger Berman Loan Advisers
CLO 43 Ltd., 2021-43A, Rule 144A,
LIBOR 3M + 3.100%(1),(8) | | (BBB-, NR) | | 07/17/35 | | | 4.144 | | | | 982,345 | | |
| | 1,000 | | | Oaktree CLO Ltd., 2019-4A, Rule 144A,
LIBOR 3M + 7.230%(1),(8) | | (BB-, NR) | | 10/20/32 | | | 8.293 | | | | 978,912 | | |
| | 1,000 | | | Octagon Investment Partners 31 LLC,
2017-1A, Rule 144A,
LIBOR 3M + 6.300%(1),(8) | | (NR, Ba3) | | 07/20/30 | | | 7.363 | | | | 964,374 | | |
| | 500 | | | Venture XXVIII CLO Ltd., 2017-28A,
Rule 144A, LIBOR 3M + 6.150%(1),(8) | | (NR, Ba3) | | 07/20/30 | | | 7.213 | | | | 452,253 | | |
| | 1,000 | | | Vibrant CLO III Ltd., 2015-3A, Rule 144A,
LIBOR 3M + 3.500%(1),(8) | | (NR, Ba1) | | 10/20/31 | | | 4.563 | | | | 921,739 | | |
| | 750 | | | Vibrant CLO VI Ltd., 2017-6A, Rule 144A,
LIBOR 3M + 5.750%(1),(8) | | (NR, Ba3) | | 06/20/29 | | | 6.678 | | | | 698,763 | | |
See Accompanying Notes to Financial Statements.
34
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| ASSET BACKED SECURITIES (continued) | | | |
Collateralized Debt Obligations | | | |
$ | 500 | | | Voya CLO Ltd., 2014-4A, Rule 144A,
LIBOR 3M + 3.350%(1),(8) | | (BBB-, NR) | | 07/14/31 | | | 4.388 | | | $ | 479,346 | | |
| TOTAL ASSET BACKED SECURITIES (Cost $24,383,438) | | | 23,115,102 | | |
Number of
Shares | |
| |
| |
| |
| |
| |
| COMMON STOCKS (2.5%) | | | |
| Auto Parts & Equipment (0.0%) | | | |
| | 11,414 | | | Jason Group, Inc.(5) | | | | | | | | | | | | | | | 119,849 | | |
| Cable & Satellite TV (0.1%) | | | |
| | 54,000 | | | Altice U.S.A., Inc., Class A(5) | | | | | | | | | | | | | | | 501,120 | | |
| Chemicals (0.1%) | | | |
| | 1,512 | | | Project Investor Holdings LLC(4),(5),(6),(12) | | | | | | | | | | | | | | | 15 | | |
| | 25,202 | | | Proppants Holdings LLC(4),(5),(6),(12) | | | | | | | | | | | | | | | 252 | | |
| | 6,341 | | | UTEX Industries, Inc.(4),(5) | | | | | | | | | | | | | | | 424,847 | | |
| | | | 425,114 | | |
| Energy - Exploration & Production (0.0%) | | | |
| | 37,190 | | | PES Energy, Inc.(4),(5),(6),(12) | | | | | | | | | | | | | | | 372 | | |
| Investments & Misc. Financial Services (1.4%) | | | |
| | 7,000 | | | Accelerate Acquisition Corp.(5) | | | | | | | | | | | | | | | 68,460 | | |
| | 48,000 | | | Ares Acquisition Corp.(5) | | | | | | | | | | | | | | | 471,360 | | |
| | 49,770 | | | CC Neuberger Principal Holdings III(5) | | | | | | | | | | | | | | | 489,239 | | |
| | 80,000 | | | DHC Acquisition Corp.(5) | | | | | | | | | | | | | | | 783,200 | | |
| | 90,953 | | | FTAC Hera Acquisition Corp.(5) | | | | | | | | | | | | | | | 892,249 | | |
| | 40,000 | | | Gores Holdings VII, Inc.(5) | | | | | | | | | | | | | | | 392,000 | | |
| | 19,603 | | | Gores Technology Partners, Inc.(5) | | | | | | | | | | | | | | | 192,110 | | |
| | 50,000 | | | Hudson Executive Investment Corp. III(5) | | | | | | | | | | | | | | | 491,000 | | |
| | 155,000 | | | KKR Acquisition Holdings I Corp.(5) | | | | | | | | | | | | | | | 1,519,000 | | |
| | 42,000 | | | Mason Industrial Technology, Inc.(5) | | | | | | | | | | | | | | | 412,020 | | |
| | 15,000 | | | Northern Star Investment Corp. IV(5) | | | | | | | | | | | | | | | 146,850 | | |
| | 30,000 | | | Pathfinder Acquisition Corp.(5) | | | | | | | | | | | | | | | 294,600 | | |
| | 10,000 | | | Pivotal Investment Corp. III(5) | | | | | | | | | | | | | | | 98,000 | | |
| | 15,000 | | | Warburg Pincus Capital l Corp.(5) | | | | | | | | | | | | | | | 147,450 | | |
| | | | 6,397,538 | | |
| Metals & Mining - Excluding Steel (0.5%) | | | |
| | 1,100,000 | | | Taseko Mines Ltd.(5) | | | | | | | | | | | | | | | 2,143,109 | | |
| Pharmaceuticals (0.1%) | | | |
| | 37,299 | | | Akorn Holding Company LLC(5) | | | | | | | | | | | | | | | 289,067 | | |
| Private Placement (0.2%) | | | |
| | 279,199 | | | Technicolor S.A. EUR 27.0(5),(13) | | | | | | | | | | | | | | | 939,880 | | |
| Real Estate Investment Trusts (0.0%) | | | |
| | 6,400 | | | Global Net Lease, Inc. | | | | | | | | | | | | | | | 89,792 | | |
See Accompanying Notes to Financial Statements.
35
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Number of
Shares | |
| |
| |
| |
| |
Value | |
| COMMON STOCKS (continued) | | | |
| Support - Services (0.0%) | | | |
| | 87 | | | Sprint Industrial Holdings LLC, Class G(4),(5),(6),(12) | | | | | | | | | | | | | | $ | — | | |
| | 8 | | | Sprint Industrial Holdings LLC, Class H(4),(5),(6),(12) | | | | | | | | | | | | | | | — | | |
| | 19 | | | Sprint Industrial Holdings LLC, Class I(4),(5),(6),(12) | | | | | | | | | | | | | | | 100 | | |
| | | | 100 | | |
| Theaters & Entertainment (0.1%) | | | |
| | 5,000 | | | Technicolor S.A(5),(7) | | | | | | | | | | | | | | | 556,982 | | |
| TOTAL COMMON STOCKS (Cost $10,618,998) | | | 11,462,923 | | |
| WARRANTS (0.0%) | | | |
| Chemicals (0.0%) | | | |
| | 6,300 | | | Project Investor Holdings LLC,
expires 02/20/2022(4),(5),(6),(12) | | | | | | | | | | | | | | | — | | |
| Investments & Misc. Financial Services (0.0%) | | | |
| | 2,333 | | | Accelerate Acquisition Corp. expires 12/31/2027(5) | | | | | | | | | | | | | | | 698 | | |
| | 1 | | | ArcLight Clean Transition Corp. II expires 02/04/2023(5) | | | | | | | | | | | | | | | 2 | | |
| | 8,200 | | | Ares Acquisition Corp. expires 12/31/2027(5) | | | | | | | | | | | | | | | 3,247 | | |
| | 1,863 | | | Cartesian Growth Corp. expires 12/31/2027(5) | | | | | | | | | | | | | | | 1,025 | | |
| | 9,954 | | | CC Neuberger Principal Holdings III expires 12/31/2027(5) | | | | | | | | | | | | | | | 5,674 | | |
| | 26,666 | | | DHC Acquisition Corp. expires 12/31/2027(5) | | | | | | | | | | | | | | | 5,864 | | |
| | 22,738 | | | FTAC Hera Acquisition Corp. expires 12/31/2027(5) | | | | | | | | | | | | | | | 7,967 | | |
| | 5,000 | | | Gores Holdings VII, Inc. expires 12/31/2027(5) | | | | | | | | | | | | | | | 4,028 | | |
| | 10,000 | | | Hudson Executive Investment Corp. III expires 12/31/2028(5) | | | | | | | | | | | | | | | 3,500 | | |
| | 38,750 | | | KKR Acquisition Holdings I Corp. expires 12/31/2027(5) | | | | | | | | | | | | | | | 26,954 | | |
| | 14,000 | | | Mason Industrial Technology, Inc. expires 12/31/2027(5) | | | | | | | | | | | | | | | 3,862 | | |
| | 2,500 | | | Northern Star Investment Corp. IV expires 12/31/2027(5) | | | | | | | | | | | | | | | 1,025 | | |
| | 6,000 | | | Pathfinder Acquisition Corp. expires 12/31/2027(5) | | | | | | | | | | | | | | | 2,100 | | |
| | 2,000 | | | Pivotal Investment Corp. III expires 12/31/2027(5) | | | | | | | | | | | | | | | 860 | | |
| | 3,000 | | | Warburg Pincus Capital expires 02/17/2022(5) | | | | | | | | | | | | | | | 1,570 | | |
| | | | 68,376 | | |
| Recreation & Travel (0.0%) | | | |
| | 29,277 | | | Cineworld Group, expires 12/21/2025(5) | | | | | | | | | | | | | | | 3,221 | | |
| TOTAL WARRANTS (Cost $141,818) | | | 71,597 | | |
| SHORT-TERM INVESTMENTS (4.1%) | | | |
| | 6,806,334 | | | State Street Institutional U.S. Government
Money Market Fund — Premier Class, 0.29% | | | | | | | | | | | | | | | 6,806,334 | | |
| | 12,203,985 | | | State Street Navigator Securities Lending
Government Money Market Portfolio, 0.31%(14) | | | | | | | | | | | | | | | 12,203,985 | | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $19,010,319) | | | 19,010,319 | | |
| TOTAL INVESTMENTS AT VALUE (101.7%) (Cost $492,870,378) | | | 468,764,064 | | |
| LIABILITIES IN EXCESS OF OTHER ASSETS (-1.7%) | | | (7,818,550 | ) | |
| NET ASSETS (100.0%) | | $ | 460,945,514 | | |
See Accompanying Notes to Financial Statements.
36
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
† 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 April 30, 2022, these securities amounted to a value of $200,687,116 or 43.5% of net assets.
(2) Security or portion thereof is out on loan (See note 2-K).
(3) Bond is currently in default.
(4) Security is valued using significant unobservable inputs.
(5) Non-income producing security.
(6) 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.
(7) This security is denominated in Euro.
(8) Variable rate obligation — The interest rate shown is the rate in effect as of April 30, 2022. The rate may be subject to a cap and floor.
(9) The rates on certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The interest rate shown is the rate in effect as of April 30, 2022.
(10) All or a portion is an unfunded loan commitment (See note 2-J).
(11) PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal.
(12) Illiquid security.
(13) Security is held through holdings of 100 shares of the CIG Special Purpose SPC — Credit Suisse Strategic Income Fund Segregated Portfolio, an affiliated entity.
(14) Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at April 30, 2022.
INVESTMENT ABBREVIATIONS
1M = 1 Month
3M = 3 Month
6M = 6 Month
12M = 12 Month
LIBOR = London Interbank Offered Rate
NR = Not Rated
Sarl - société à responsabilité limitée
SOFR = Secured Overnight Financing Rate
Forward Foreign Currency Contracts
Forward
Currency to be
Purchased
(Local) | | Forward
Currency to be
Sold
(Local) | | Expiration
Date | | Counterparty | | Value on
Settlement
Date | | Current
Value/
Notional | | Net
Unrealized
Appreciation | |
USD | 122,101 | | | CAD | 154,000 | | | 10/12/22 | | Barclays Bank PLC | | $ | (122,101 | ) | | $ | (120,424 | ) | | $ | 1,677 | | |
USD | 2,161,892 | | | CAD | 2,728,000 | | | 10/12/22 | | Deutsche Bank AG | | | (2,161,892 | ) | | | (2,133,243 | ) | | | 28,649 | | |
USD | 268,131 | | | CAD | 341,000 | | | 10/12/22 | | JPMorgan Chase | | | (268,131 | ) | | | (266,655 | ) | | | 1,476 | | |
USD | 3,006,242 | | | CAD | 3,784,000 | | | 10/12/22 | | Morgan Stanley | | | (3,006,242 | ) | | | (2,959,012 | ) | | | 47,230 | | |
See Accompanying Notes to Financial Statements.
37
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
April 30, 2022 (unaudited)
Forward Foreign Currency Contracts (continued)
Forward
Currency to be
Purchased
(Local) | | Forward
Currency to be
Sold
(Local) | | Expiration
Date | | Counterparty | | Value on
Settlement
Date | | Current
Value/
Notional | | Net
Unrealized
Appreciation | |
USD | 352,946 | | | EUR | 316,520 | | | 10/12/22 | | Barclays Bank PLC | | $ | (352,946 | ) | | $ | (337,172 | ) | | $ | 15,774 | | |
USD | 968,048 | | | EUR | 867,500 | | | 10/12/22 | | Deutsche Bank AG | | | (968,048 | ) | | | (924,101 | ) | | | 43,947 | | |
USD | 2,549 | | | GBP | 1,903 | | | 10/12/22 | | Barclays Bank PLC | | | (2,549 | ) | | | (2,392 | ) | | | 157 | | |
USD | 21,013 | | | GBP | 15,605 | | | 10/12/22 | | Deutsche Bank AG | | | (21,013 | ) | | | (19,619 | ) | | | 1,394 | | |
USD | 2,561 | | | GBP | 1,874 | | | 10/12/22 | | Morgan Stanley | | | (2,561 | ) | | | (2,355 | ) | | | 206 | | |
| | | $ | 140,510 | | |
Forward Foreign Currency Contracts
Forward
Currency to be
Purchased
(Local) | | Forward
Currency to be
Sold
(Local) | | Expiration
Date | | Counterparty | | Value on
Settlement
Date | | Current
Value/
Notional | | Net
Unrealized
Depreciation | |
CAD | 99,000 | | | USD | 79,256 | | | 10/12/22 | | Barclays Bank PLC | | $ | 79,256 | | | $ | 77,416 | | | $ | (1,840 | ) | |
CAD | 3,135,000 | | | USD | 2,470,317 | | | 10/12/22 | | Deutsche Bank AG | | | 2,470,317 | | | | 2,451,508 | | | | (18,809 | ) | |
CAD | 330,000 | | | USD | 260,413 | | | 10/12/22 | | JPMorgan Chase | | | 260,413 | | | | 258,053 | | | | (2,360 | ) | |
CAD | 671,000 | | | USD | 529,169 | | | 10/12/22 | | Morgan Stanley | | | 529,169 | | | | 524,708 | | | | (4,461 | ) | |
GBP | 12,326 | | | USD | 16,592 | | | 10/12/22 | | Barclays Bank PLC | | | 16,592 | | | | 15,496 | | | | (1,096 | ) | |
GBP | 3,191 | | | USD | 4,237 | | | 10/12/22 | | Deutsche Bank AG | | | 4,237 | | | | 4,012 | | | | (225 | ) | |
GBP | 644 | | | USD | 819 | | | 10/12/22 | | JPMorgan Chase | | | 819 | | | | 810 | | | | (9 | ) | |
| | | $ | (28,800 | ) | |
| | | $ | 111,710 | | |
Currency Abbreviations:
CAD = Canadian Dollar
EUR = Euro
GBP = British Pound
USD = United States Dollar
See Accompanying Notes to Financial Statements.
38
Credit Suisse Strategic Income Fund
Statement of Assets and Liabilities
April 30, 2022 (unaudited)
Assets | |
Investments at value, including collateral for securities on loan of $12,203,985
(Cost $492,870,378) (Note 2) | | $ | 468,764,0641 | | |
Cash | | | 26,814 | | |
Foreign currency at value (Cost $378,872) | | | 360,006 | | |
Receivable for investments sold | | | 11,565,057 | | |
Interest receivable | | | 4,185,618 | | |
Receivable for Fund shares sold | | | 575,438 | | |
Unrealized appreciation on forward foreign currency contracts (Note 2) | | | 140,510 | | |
Prepaid expenses and other assets | | | 56,648 | | |
Total assets | | | 485,674,155 | | |
Liabilities | |
Investment advisory fee payable (Note 3) | | | 202,870 | | |
Administrative services fee payable (Note 3) | | | 55,992 | | |
Shareholder servicing/Distribution fee payable (Note 3) | | | 34,765 | | |
Payable upon return of securities loaned (Note 2) | | | 12,203,985 | | |
Payable for investments purchased | | | 9,742,966 | | |
Unfunded loan commitments (Note 2) | | | 1,213,817 | | |
Payable for Fund shares redeemed | | | 1,008,390 | | |
Dividend payable | | | 46,537 | | |
Unrealized depreciation on forward foreign currency contracts (Note 2) | | | 28,800 | | |
Trustees' fee payable | | | 12,688 | | |
Accrued expenses | | | 177,831 | | |
Total liabilities | | | 24,728,641 | | |
Net Assets | |
Capital stock, $.001 par value (Note 6) | | | 47,777 | | |
Paid-in capital (Note 6) | | | 500,440,326 | | |
Total distributable earnings (loss) | | | (39,542,589 | ) | |
Net assets | | $ | 460,945,514 | | |
I Shares | |
Net assets | | $ | 399,277,636 | | |
Shares outstanding | | | 41,387,371 | | |
Net asset value, offering price and redemption price per share | | $ | 9.65 | | |
A Shares | |
Net assets | | $ | 26,832,069 | | |
Shares outstanding | | | 2,780,907 | | |
Net asset value and redemption price per share | | $ | 9.65 | | |
Maximum offering price per share (net asset value/(1-4.75%)) | | $ | 10.13 | | |
C Shares | |
Net assets | | $ | 34,835,809 | | |
Shares outstanding | | | 3,608,468 | | |
Net asset value, offering price and redemption price per share | | $ | 9.65 | | |
1 Includes $11,854,024 of securities on loan.
See Accompanying Notes to Financial Statements.
39
Credit Suisse Strategic Income Fund
Statement of Operations
For the Six Months Ended April 30, 2022 (unaudited)
Investment Income | |
Interest | | $ | 11,823,204 | | |
Dividends | | | 6,184 | | |
Securities lending (net of rebates) | | | 9,101 | | |
Total investment income | | | 11,838,489 | | |
Expenses | | | |
Investment advisory fees (Note 3) | | | 2,055,382 | | |
Administrative services fees (Note 3) | | | 68,504 | | |
Shareholder servicing/Distribution fees (Note 3) | |
Class A | | | 36,322 | | |
Class C | | | 189,252 | | |
Transfer agent fees | | | 186,973 | | |
Registration fees | | | 45,952 | | |
Custodian fees | | | 44,904 | | |
Trustees' fees | | | 33,792 | | |
Commitment fees (Note 4) | | | 29,861 | | |
Audit and tax fees | | | 25,150 | | |
Printing fees | | | 22,434 | | |
Insurance expense | | | 11,573 | | |
Legal fees | | | 10,750 | | |
Miscellaneous expense | | | 9,316 | | |
Total expenses | | | 2,770,165 | | |
Less: fees waived and expenses reimbursed (Note 3) | | | (611,554 | ) | |
Net expenses | | | 2,158,611 | | |
Net investment income | | | 9,679,878 | | |
Net Realized and Unrealized Gain (Loss) from Investments, Foreign Currency and
Forward Foreign Currency Contracts | | | |
Net realized gain from investments | | | 81,774 | | |
Net realized loss from foreign currency transactions | | | (1,260 | ) | |
Net change in unrealized appreciation (depreciation) from investments | | | (23,726,047 | ) | |
Net change in unrealized appreciation (depreciation) from foreign currency translations | | | 23,057 | | |
Net change in unrealized appreciation (depreciation) from forward foreign
currency contracts | | | 130,967 | | |
Net realized and unrealized loss from investments, foreign currency and forward
foreign currency contracts | | | (23,491,509 | ) | |
Net decrease in net assets resulting from operations | | $ | (13,811,631 | ) | |
See Accompanying Notes to Financial Statements.
40
Credit Suisse Strategic Income Fund
Statements of Changes in Net Assets
| | | For the Six Months
Ended
April 30, 2022
(unaudited) | | For the Year
Ended
October 31, 2021 | |
From Operations | |
Net investment income | | $ | 9,679,878 | | | $ | 14,601,617 | | |
Net realized gain (loss) from investments, foreign
currency transactions and forward foreign currency contracts | | | 80,514 | | | | (626,430 | ) | |
Net change in unrealized appreciation (depreciation)
from investments, foreign currency translations and
forward foreign currency contracts | | | (23,572,023 | ) | | | 17,008,304 | | |
Net increase (decrease) in net assets resulting from operations | | | (13,811,631 | ) | | | 30,983,491 | | |
From Distributions | |
From distributable earnings | |
Class I | | | (8,620,855 | ) | | | (12,170,148 | ) | |
Class A | | | (557,394 | ) | | | (1,290,771 | ) | |
Class C | | | (585,078 | ) | | | (1,279,536 | ) | |
Net decrease in net assets resulting from distributions | | | (9,763,327 | ) | | | (14,740,455 | ) | |
| From Capital Share Transactions (Note 6) | |
Proceeds from sale of shares | | | 127,355,293 | | | | 291,942,975 | | |
Reinvestment of distributions | | | 9,344,016 | | | | 14,084,105 | | |
Net asset value of shares redeemed | | | (143,582,858 | ) | | | (98,223,482 | ) | |
Net increase (decrease) in net assets from capital
share transactions | | | (6,883,549 | ) | | | 207,803,598 | | |
Net increase (decrease) in net assets | | | (30,458,507 | ) | | | 224,046,634 | | |
Net Assets | |
Beginning of period | | | 491,404,021 | | | | 267,357,387 | | |
End of period | | $ | 460,945,514 | | | $ | 491,404,021 | | |
See Accompanying Notes to Financial Statements.
41
Credit Suisse Strategic Income Fund
Financial Highlights
(For a Class I Share of the Fund Outstanding Throughout Each Period)
| | | For the Six
Months Ended
April 30, 2022 | | For the Year Ended October 31, | |
| | | (unaudited) | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 | |
Per share data | |
Net asset value, beginning of period | | $ | 10.12 | | | $ | 9.57 | | | $ | 9.88 | | | $ | 9.96 | | | $ | 10.24 | | | $ | 9.73 | | |
INVESTMENT OPERATIONS | |
Net investment income1 | | | 0.20 | | | | 0.40 | | | | 0.51 | | | | 0.53 | | | | 0.51 | | | | 0.54 | | |
Net gain (loss) from investments,
foreign currency transactions and
forward foreign currency related
items (both realized and unrealized) | | | (0.47 | ) | | | 0.56 | | | | (0.31 | ) | | | (0.08 | ) | | | (0.27 | ) | | | 0.52 | | |
Total from investment operations | | | (0.27 | ) | | | 0.96 | | | | 0.20 | | | | 0.45 | | | | 0.24 | | | | 1.06 | | |
LESS DIVIDENDS AND DISTRIBUTIONS | |
Dividends from net investment income | | | (0.20 | ) | | | (0.41 | ) | | | (0.51 | ) | | | (0.52 | ) | | | (0.52 | ) | | | (0.53 | ) | |
Return of capital | | | — | | | | — | | | | — | | | | (0.01 | ) | | | (0.00 | )2 | | | (0.02 | ) | |
Total dividends and distributions | | | (0.20 | ) | | | (0.41 | ) | | | (0.51 | ) | | | (0.53 | ) | | | (0.52 | ) | | | (0.55 | ) | |
Net asset value, end of period | | $ | 9.65 | | | $ | 10.12 | | | $ | 9.57 | | | $ | 9.88 | | | $ | 9.96 | | | $ | 10.24 | | |
Total return3 | | | (2.68 | )% | | | 10.11 | % | | | 2.21 | % | | | 4.68 | % | | | 2.34 | % | | | 11.11 | % | |
RATIOS AND SUPPLEMENTAL DATA | |
Net assets, end of period (000s omitted) | | $ | 399,278 | | | $ | 420,435 | | | $ | 190,537 | | | $ | 230,330 | | | $ | 175,189 | | | $ | 114,605 | | |
Ratio of net expenses to average
net assets | | | 0.79 | %4 | | | 0.79 | % | | | 0.80 | % | | | 0.99 | % | | | 0.99 | % | | | 0.99 | % | |
Ratio of expenses to average net
assets excluding interest expense | | | 0.79 | %4 | | | 0.79 | % | | | 0.80 | % | | | 0.99 | % | | | 0.99 | % | | | 0.99 | % | |
Ratio of net investment income to
average net assets | | | 4.05 | %4 | | | 3.93 | % | | | 5.33 | % | | | 5.36 | % | | | 5.08 | % | | | 5.34 | % | |
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements | | | 0.25 | %4 | | | 0.26 | % | | | 0.31 | % | | | 0.10 | % | | | 0.17 | % | | | 0.26 | % | |
Portfolio turnover rate5 | | | 31 | % | | | 46 | % | | | 34 | % | | | 37 | % | | | 45 | % | | | 79 | % | |
1 Per share information is calculated using the average shares outstanding method.
2 This amount represents less than $0.01 or $(0.01) per share.
3 Total returns are historical and include change 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 for periods less than one year are not annualized.
4 Annualized.
5 Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
See Accompanying Notes to Financial Statements.
42
Credit Suisse Strategic Income Fund
Financial Highlights
(For a Class A Share of the Fund Outstanding Throughout Each Period)
| | | For the Six
Months Ended
April 30, 2022 | | For the Year Ended October 31, | |
| | | (unaudited) | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 | |
Per share data | |
Net asset value, beginning of period | | $ | 10.13 | | | $ | 9.57 | | | $ | 9.88 | | | $ | 9.96 | | | $ | 10.24 | | | $ | 9.74 | | |
INVESTMENT OPERATIONS | |
Net investment income1 | | | 0.19 | | | | 0.38 | | | | 0.49 | | | | 0.51 | | | | 0.49 | | | | 0.51 | | |
Net gain (loss) from investments,
foreign currency transactions and
forward foreign currency related
items (both realized and unrealized) | | | (0.48 | ) | | | 0.56 | | | | (0.31 | ) | | | (0.08 | ) | | | (0.28 | ) | | | 0.51 | | |
Total from investment operations | | | (0.29 | ) | | | 0.94 | | | | 0.18 | | | | 0.43 | | | | 0.21 | | | | 1.02 | | |
LESS DIVIDENDS AND DISTRIBUTIONS | |
Dividends from net investment income | | | (0.19 | ) | | | (0.38 | ) | | | (0.49 | ) | | | (0.50 | ) | | | (0.49 | ) | | | (0.50 | ) | |
Return of capital | | | — | | | | — | | | | — | | | | (0.01 | ) | | | (0.00 | )2 | | | (0.02 | ) | |
Total dividends and distributions | | | (0.19 | ) | | | (0.38 | ) | | | (0.49 | ) | | | (0.51 | ) | | | (0.49 | ) | | | (0.52 | ) | |
Net asset value, end of period | | $ | 9.65 | | | $ | 10.13 | | | $ | 9.57 | | | $ | 9.88 | | | $ | 9.96 | | | $ | 10.24 | | |
Total return3 | | | (2.90 | )% | | | 9.95 | % | | | 1.96 | % | | | 4.42 | % | | | 2.09 | % | | | 10.71 | % | |
RATIOS AND SUPPLEMENTAL DATA | |
Net assets, end of period (000s omitted) | | $ | 26,832 | | | $ | 31,102 | | | $ | 34,254 | | | $ | 50,343 | | | $ | 44,930 | | | $ | 36,961 | | |
Ratio of net expenses to average
net assets | | | 1.04 | %4 | | | 1.04 | % | | | 1.05 | % | | | 1.24 | % | | | 1.24 | % | | | 1.24 | % | |
Ratio of expenses to average net
assets excluding interest expense | | | 1.04 | %4 | | | 1.04 | % | | | 1.05 | % | | | 1.24 | % | | | 1.24 | % | | | 1.24 | % | |
Ratio of net investment income to
average net assets | | | 3.80 | %4 | | | 3.78 | % | | | 5.10 | % | | | 5.13 | % | | | 4.84 | % | | | 4.99 | % | |
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements | | | 0.25 | %4 | | | 0.26 | % | | | 0.31 | % | | | 0.10 | % | | | 0.17 | % | | | 0.26 | % | |
Portfolio turnover rate5 | | | 31 | % | | | 46 | % | | | 34 | % | | | 37 | % | | | 45 | % | | | 79 | % | |
1 Per share information is calculated using the average shares outstanding method.
2 This amount represents less than $0.01 or $(0.01) per share.
3 Total returns are historical and include change in share price, reinvestment of all dividends and distributions and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.
4 Annualized.
5 Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
See Accompanying Notes to Financial Statements.
43
Credit Suisse Strategic Income Fund
Financial Highlights
(For a Class C Share of the Fund Outstanding Throughout Each Period)
| | | For the Six
Months Ended
April 30, 2022 | | For the Year Ended October 31, | |
| | | (unaudited) | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 | |
Per share data | |
Net asset value, beginning of period | | $ | 10.13 | | | $ | 9.57 | | | $ | 9.88 | | | $ | 9.961 | | | $ | 10.24 | | | $ | 9.74 | | |
INVESTMENT OPERATIONS | |
Net investment income2 | | | 0.15 | | | | 0.31 | | | | 0.41 | | | | 0.43 | | | | 0.41 | | | | 0.43 | | |
Net gain (loss) from investments,
foreign currency transactions and
forward foreign currency related
items (both realized and unrealized) | | | (0.48 | ) | | | 0.56 | | | | (0.31 | ) | | | (0.08 | ) | | | (0.28 | ) | | | 0.52 | | |
Total from investment operations | | | (0.33 | ) | | | 0.87 | | | | 0.10 | | | | 0.35 | | | | 0.13 | | | | 0.95 | | |
LESS DIVIDENDS AND DISTRIBUTIONS | |
Dividends from net investment income | | | (0.15 | ) | | | (0.31 | ) | | | (0.41 | ) | | | (0.42 | ) | | | (0.41 | ) | | | (0.43 | ) | |
Return of capital | | | — | | | | — | | | | — | | | | (0.01 | ) | | | (0.00 | )3 | | | (0.02 | ) | |
Total dividends and distributions | | | (0.15 | ) | | | (0.31 | ) | | | (0.41 | ) | | | (0.43 | ) | | | (0.41 | ) | | | (0.45 | ) | |
Net asset value, end of period | | $ | 9.65 | | | $ | 10.13 | | | $ | 9.57 | | | $ | 9.88 | | | $ | 9.961 | | | $ | 10.24 | | |
Total return4 | | | (3.26 | )% | | | 9.13 | % | | | 1.19 | % | | | 3.64 | % | | | 1.33 | % | | | 9.88 | % | |
RATIOS AND SUPPLEMENTAL DATA | |
Net assets, end of period (000s omitted) | | $ | 34,836 | | | $ | 39,867 | | | $ | 42,566 | | | $ | 53,410 | | | $ | 46,586 | | | $ | 31,411 | | |
Ratio of net expenses to average
net assets | | | 1.79 | %5 | | | 1.79 | % | | | 1.80 | % | | | 1.99 | % | | | 1.99 | % | | | 1.99 | % | |
Ratio of expenses to average net
assets excluding interest expense | | | 1.79 | %5 | | | 1.79 | % | | | 1.80 | % | | | 1.99 | % | | | 1.99 | % | | | 1.99 | % | |
Ratio of net investment income to
average net assets | | | 3.06 | %5 | | | 3.03 | % | | | 4.35 | % | | | 4.38 | % | | | 4.09 | % | | | 4.25 | % | |
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements | | | 0.25 | %5 | | | 0.26 | % | | | 0.31 | % | | | 0.10 | % | | | 0.17 | % | | | 0.26 | % | |
Portfolio turnover rate6 | | | 31 | % | | | 46 | % | | | 34 | % | | | 37 | % | | | 45 | % | | | 79 | % | |
1 Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon net asset values may differ from the net asset values and returns for shareholder transactions.
2 Per share information is calculated using the average shares outstanding method.
3 This amount represents less than $0.01 or $(0.01) per share.
4 Total returns are historical and include change in share price, reinvestment of all dividends and distributions and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.
5 Annualized.
6 Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
See Accompanying Notes to Financial Statements.
44
Credit Suisse Strategic Income Fund
Notes to Financial Statements
April 30, 2022 (unaudited)
Credit Suisse Strategic Income Fund (the "Fund"), a series of Credit Suisse Opportunity Funds (the "Trust"), a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a non-diversified open-end management investment company that seeks total return. The Trust was organized under the laws of the State of Delaware as a business trust on May 31, 1995.
The Fund offers three classes of shares: Class I shares, Class A shares and Class C shares. Each class of shares represents an equal pro rata interest in the Fund, except the share classes bear different expenses. Class A shares are sold subject to a front-end sales charge of up to 4.75%. Class C shares are sold subject to a contingent deferred sales charge ("CDSC") of 1.00% if the shares are redeemed within the first year of purchase. Class I shares are sold without a sales charge. Effective June 30, 2021, Class C shares, upon the eight year anniversary of purchase, will convert to Class A shares.
Note 2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies are in accordance with generally accepted accounting principles in the United States of America ("GAAP"). The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is considered an investment company for financial reporting purposes under GAAP and follows the accounting and reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 — Financial Services — Investment Companies.
A) SECURITY VALUATION — The Board of Trustees (the "Board") is responsible for the Fund's valuation process. The Board has delegated the supervision of the daily valuation process to Credit Suisse Asset Management, LLC, the Fund's investment adviser ("Credit Suisse" or the "Adviser"), who has established a Pricing Committee which, pursuant to the policies adopted by the Board, is responsible for making fair valuation determinations and overseeing the Fund's pricing policies. The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the "Exchange") on each day the Exchange is open for business.
45
Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional "round lot" size, but some trades occur in smaller "odd lot" sizes which may be effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more brokers/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, these securities will be fair valued in good faith by the Pricing Committee, in accordance with procedures adopted by the Board.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of
46
Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at each measurement date. These inputs are summarized in the three broad levels listed below:
• Level 1 – quoted prices in active markets for identical investments
• Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
• Level 3 – significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of April 30, 2022 in valuing the Fund's assets and liabilities carried at fair value:
Assets | | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities | |
Corporate Bonds | | $ | — | | | $ | 189,707,923 | | | $ | 369,146 | | | $ | 190,077,069 | | |
Bank Loans | | | — | | | | 200,238,503 | | | | 24,788,551 | | | | 225,027,054 | | |
Asset Backed Securities | | | — | | | | 23,115,102 | | | | — | | | | 23,115,102 | | |
Common Stocks | | | 9,688,541 | | | | 1,348,796 | | | | 425,586 | | | | 11,462,923 | | |
Warrants | | | 68,376 | | | | 3,221 | | | | 0 | (1) | | | 71,597 | | |
Short-term Investments | | | 6,806,334 | | | | 12,203,985 | | | | — | | | | 19,010,319 | | |
| | | $ | 16,563,251 | | | $ | 426,617,530 | | | $ | 25,583,283 | | | $ | 468,764,064 | | |
Other Financial Instruments* | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 140,510 | | | $ | — | | | $ | 140,510 | | |
Liabilities | | Level 1 | | Level 2 | | Level 3 | | Total | |
Other Financial Instruments* | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 28,800 | | | $ | — | | | $ | 28,800 | | |
* Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts.
(1) Includes zero valued securities.
47
Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
The following is a reconciliation of investments as of April 30, 2022 for which significant unobservable inputs were used in determining fair value.
| | �� | Corporate
Bonds | | Bank
Loans | | Common
Stocks | | Warrants | | Total | |
Balance as of October 31, 2021 | | $ | 7,269 | | | $ | 24,133,804 | | | $ | 739 | | | $ | 0 | (1) | | $ | 24,141,812 | | |
Accrued discounts (premiums) | | | 92 | | | | 51,837 | | | | — | | | | — | | | | 51,929 | | |
Purchases | | | 379,265 | | | | 11,189,916 | | | | — | | | | — | | | | 11,569,181 | | |
Sales | | | — | | | | (5,361,968 | ) | | | — | | | | — | | | | (5,361,968 | ) | |
Realized gain (loss) | | | — | | | | 7,796 | | | | (14,993 | ) | | | — | | | | (7,197 | ) | |
Change in unrealized appreciation
(depreciation) | | | (17,480 | ) | | | (327,256 | ) | | | 14,993 | | | | — | | | | (329,743 | ) | |
Transfers into Level 3 | | | — | | | | 5,003,105 | | | | 424,847 | | | | — | | | | 5,427,952 | | |
Transfers out of Level 3 | | | — | | | | (9,908,683 | ) | | | — | | | | — | | | | (9,908,683 | ) | |
Balance as of April 30, 2022 | | $ | 369,146 | | | $ | 24,788,551 | | | $ | 425,586 | | | $ | 0 | (1) | | $ | 25,583,283 | | |
Net change in unrealized appreciation
(depreciation) from investments
still held as of April 30, 2022 | | $ | (17,480 | ) | | $ | (149,727 | ) | | $ | — | | | $ | — | | | $ | (167,207 | ) | |
(1) Includes zero valued securities.
| | Quantitative Disclosure About Significant Unobservable Inputs | |
| Asset Class | | Fair Value
At 04/30/2022 | | Valuation
Technique | | Unobservable
Input | | Range
(Weighted Average)* | |
| Corporate Bonds | | $ | 706 | | | Income Approach | | Expected Remaining
Distribution | | | $0.01 (N/A)
| | |
| | $ | 8,438 | | | Vendor Pricing | | Single Broker Quote | | | $0.01 (N/A) | | |
| | $ | 360,002 | | | Recent Transactions | | Trade Price | | | $1.03 (N/A) | | |
Bank Loans | | $ | 24,788,551 | | | Vendor Pricing | | Single Broker Quote | | $ | 0.00 – $1.00 | ($0.97) | |
| Common Stocks | | $ | 739 | | | Income Approach | | Expected Remaining
Distribution | | $ | 0.00 – $5.22
| ($0.72) | |
| | $ | 424,847 | | | Vendor Pricing | | Single Broker Quote | | | $67.00 (N/A) | | |
| Warrants | | $ | 0 | | | Income Approach | | Expected Remaining
Distribution | | | $0.00 (N/A)
| | |
* Weighted by relative fair value
Each fair value determination is based on a consideration of relevant factors, including both observable and unobservable inputs. Observable and unobservable inputs that Credit Suisse considers may include (i) the existence of any contractual restrictions on the disposition of securities; (ii) information obtained from the company, which may include an analysis of the company's financial statements, the company's products or intended markets or the company's technologies; (iii) the price of the same or similar security negotiated at arm's length in an issuer's completed subsequent round of financing; (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies; or (v) a probability and time value adjusted analysis of contractual term. Where available and appropriate, multiple valuation
48
Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
methodologies are applied to confirm fair value. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, determining fair value requires more judgment. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the investments existed. Accordingly, the degree of judgment exercised by the Fund in determining fair value is greatest for investments categorized in Level 3. In some circumstances, the inputs used to measure fair value might be categorized within different levels of the fair value hierarchy. In those instances, the fair value measurement is categorized in its entirety in the fair value hierarchy based on the least observable input that is significant to the fair value measurement. Additionally, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different from the valuations used at the date of these financial statements.
For the six months ended April 30, 2022, $5,427,952 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $9,908,683 was transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs. All transfers, if any, are assumed to occur at the end of the reporting period.
B) DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES — The Fund adopted amendments to authoritative guidance on disclosures about derivative instruments and hedging activities which require that a fund disclose (a) how and why an entity uses derivative instruments, (b) how derivative instruments and hedging activities are accounted for and (c) how derivative instruments and related hedging activities affect a fund's financial position, financial performance and cash flows. For the six months ended April 30, 2022, the Fund's derivatives did not qualify for hedge accounting as they are held at fair value.
The following table presents the fair value and the location of derivatives within the Statement of Assets and Liabilities at April 30, 2022 and the effect of these derivatives on the Statement of Operations for the six months ended April 30, 2022.
Primary Underlying Risk | | Derivative
Assets | | Derivative
Liabilities | | Realized
Gain (Loss) | | Change in Unrealized
Appreciation (Depreciation) | |
Foreign currency exchange rate | |
Forward contracts | | $ | 140,510 | | | $ | 28,800 | | | $ | — | | | $ | 130,967 | | |
49
Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
For the six months ended April 30, 2022, the Fund held an average monthly value on a net basis of $6,334,797 in forward foreign currency contracts.
The Fund is a party to International Swap and Derivatives Association, Inc. ("ISDA") Master Agreements ("Master Agreements") with certain counterparties that govern over-the-counter derivative (including total return, credit default and interest rate swaps) and foreign exchange contracts entered into by the Fund. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. Termination events applicable to the Fund may occur upon a decline in the Fund's net assets below a specified threshold over a certain period of time.
The following table presents by counterparty the Fund's derivative assets, net of related collateral held by the Fund, at April 30, 2022:
Counterparty | | Gross Amount of
Derivative Assets
Presented in
the Consolidated
Statement of Assets
and Liabilities(a) | | Financial
Instruments
and Derivatives
Available for Offset | | Non-Cash
Collateral
Received | | Cash
Collateral
Received | | Net Amount
of Derivative
Assets | |
Barclays Bank PLC | | $ | 17,608 | | | $ | (2,936 | ) | | $ | — | | | $ | — | | | $ | 14,672 | | |
Deutsche Bank AG | | | 73,990 | | | | (19,034 | ) | | | — | | | | — | | | | 54,956 | | |
JPMorgan Chase | | | 1,476 | | | | (1,476 | ) | | | — | | | | — | | | | — | | |
Morgan Stanley | | | 47,436 | | | | (4,461 | ) | | | — | | | | — | | | | 42,975 | | |
| | | $ | 140,510 | | | $ | (27,907 | ) | | $ | — | | | $ | — | | | $ | 112,603 | | |
The following table presents by counterparty the Fund's derivative liabilities, net of related collateral pledged by the Fund, at April 30, 2022:
Counterparty | | Gross Amount of
Derivative Liabilities
Presented in
the Consolidated
Statement of Assets
and Liabilities(a) | | Financial
Instruments
and Derivatives
Available for Offset | | Non-Cash
Collateral
Pledged | | Cash
Collateral
Pledged | | Net Amount
of Derivative
Liabilities | |
Barclays Bank PLC | | $ | 2,936 | | | $ | (2,936 | ) | | $ | — | | | $ | — | | | $ | — | | |
Deutsche Bank AG | | | 19,034 | | | | (19,034 | ) | | | — | | | | — | | | | — | | |
JPMorgan Chase | | | 2,369 | | | | (1,476 | ) | | | — | | | | — | | | | 893 | | |
Morgan Stanley | | | 4,461 | | | | (4,461 | ) | | | — | | | | — | | | | — | | |
| | | $ | 28,800 | | | $ | (27,907 | ) | | $ | — | | | $ | — | | | $ | 893 | | |
(a) Forward foreign currency contracts are included.
C) FOREIGN CURRENCY TRANSACTIONS — The books and records of the Fund are maintained in U.S. dollars. Transactions denominated in foreign currencies are recorded at the current prevailing exchange rates. All assets and
50
Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
liabilities denominated in foreign currencies, including purchases and sales of investments, and income and expenses, are translated into U.S. dollar amounts on the date of those transactions.
Reported net realized gain (loss) from foreign currency transactions arises from sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on securities transactions; and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net change in unrealized gains and losses on translation of assets and liabilities denominated in foreign currencies arises from changes in the fair values of assets and liabilities, other than investments, at the end of the period, resulting from changes in exchange rates.
The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held. Such fluctuations are included with net realized and unrealized gain or loss from investments in the Statement of Operations.
D) SECURITY TRANSACTIONS AND INVESTMENT INCOME/EXPENSE — Security transactions are accounted for on a trade date basis. Interest income/expense is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Dividend income/expense is recorded on the ex-dividend date. Certain expenses are class-specific expenses, vary by class and are charged only to that class. Income, expenses (excluding class-specific expenses) and realized/unrealized gains/losses are allocated proportionately to each class of shares based upon the relative net asset value of the outstanding shares of that class. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.
E) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income, if any, are declared daily and paid monthly. Distributions of net realized capital gains, if any, are declared and paid at least annually. However, to the extent that a net realized capital gain can be reduced by a capital loss carryforward, such gain will not be distributed. Dividends and distributions to shareholders of the Fund are recorded on the ex-dividend
51
Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
date and are determined in accordance with federal income tax regulations, which may differ from GAAP.
F) FEDERAL AND OTHER TAXES — No provision is made for federal taxes as it is the Fund's intention to continue to qualify as a regulated investment company ("RIC") under the Internal Revenue Code of 1986, as amended (the "Code"), and to make the requisite distributions to its shareholders, which will be sufficient to relieve it from federal income and excise taxes.
In order to qualify as a RIC under the Code, the Fund must meet certain requirements regarding the source of its income, the diversification of its assets and the distribution of its income. One of these requirements is that the Fund derive at least 90% of its gross income for each taxable year from dividends, interest, payments with respect to certain securities loans, gains from the sale or other disposition of stock, securities or foreign currencies, other income derived with respect to its business of investing in such stock, securities or currencies or net income derived from interests in certain publicly-traded partnerships ("Qualifying Income"). The Fund adopted the authoritative guidance for uncertainty in income taxes and recognizes a tax benefit or liability from an uncertain position only if it is more likely than not that the position is sustainable based solely on its technical merits and consideration of the relevant taxing 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. The Fund's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
G) CASH — The Fund's uninvested cash balance is held in an interest bearing variable rate demand deposit account at State Street Bank and Trust Company ("SSB"), the Fund's custodian.
H) 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 interest rates, equity and market price movements and/or currency risks. Upon entering into a futures contract, the Fund is required to deposit cash and/or pledge U.S. Government securities as initial margin with a Futures Commission Merchant ("FCM"). Subsequent payments, which are dependent on the daily fluctuations in the value of the underlying instrument, are made or received by the Fund
52
Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
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 transaction and the Fund's basis in the contract. Risks of entering into futures contracts for hedging purposes include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. Futures have minimal counterparty credit risk because 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. The Fund's open futures contracts are disclosed in the Schedule of Investments. At April 30, 2022, the Fund had no open futures contracts.
The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM's proprietary activities. A customer's cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM's segregation requirements. In the event of an FCM's insolvency, recovery may be limited to the Fund's pro-rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited.
I) FORWARD FOREIGN CURRENCY CONTRACTS — A forward foreign currency exchange contract ("forward currency contract") is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. The Fund will enter into forward currency contracts primarily for hedging foreign currency risk. Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and unrealized gain/loss is recorded daily. On the settlement date of the forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was closed. Certain risks may arise upon entering into forward currency contracts from the potential inability of counterparties to meet the terms of their contracts. The maximum counterparty credit risk to the Fund is measured by the unrealized gain on appreciated contracts. Additionally, when utilizing forward currency contracts to hedge, the Fund forgoes the opportunity to profit from favorable exchange rate movements during the term of the contract. The Fund's open forward currency contracts at April 30, 2022 are disclosed in the Schedule of Investments.
53
Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
J) UNFUNDED LOAN COMMITMENTS — The Fund enters into certain agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these loan commitments at the borrowers' discretion. Funded and unfunded portions of credit agreements are presented on the Schedule of Investments. As of April 30, 2022, unfunded commitments were as follows:
Borrower | | Maturity | | Rate | | Unfunded
Commitment | |
Holley Purchaser, Inc. (Delayed Draw Term Loan) | | | 11/17/2028 | | | | 3.750 | | | $ | 68,085 | | |
LTI Holdings, Inc. | | | 07/24/2026 | | | | 4.750 | | | $ | 468,750 | | |
Pro Mach Group, Inc. | | | 08/31/2028 | | | | 4.000 | | | $ | 59,181 | | |
SCP Eye Care Services LLC | | | 03/16/2028 | | | | 4.500 | | | $ | 295,455 | | |
Therapy Brands Holdings LLC | | | 05/18/2028 | | | | 4.000 | | | $ | 254,237 | | |
Western Dental Services, Inc. | | | 08/18/2028 | | | | 4.500 | | | $ | 68,109 | | |
Unfunded loan commitments and funded portions of credit agreements are marked to market daily and any unrealized appreciation or depreciation is included in the Statement of Assets and Liabilities and the Statement of Operations.
K) SECURITIES LENDING — The initial collateral received by the Fund is required to have a value of at least 102% of the market value of domestic securities on loan (including any accrued interest thereon) and 105% of the market value of foreign securities on loan (including any accrued interest thereon). The collateral is maintained thereafter at a value equal to at least 102% of the current market value of the securities on loan. The market value of loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day. Cash collateral received by the Fund in connection with securities lending activity may be pooled together with cash collateral for other funds/portfolios advised by Credit Suisse and may be invested in a variety of investments, including funds advised by SSB, the Fund'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. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Fund or the borrower at any time.
54
Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
SSB has been engaged by the Fund to act as the Fund's securities lending agent. As of April 30, 2022 the Fund had outstanding loans of securities to certain approved brokers for which the Fund received collateral:
Market Value of
Loaned Securities | | Market Value of
Cash Collateral | | Total Collateral | |
| $ | 11,854,024 | | | $ | 12,203,985 | | | $ | 12,203,985 | | |
The following table presents financial instruments that are subject to enforceable netting arrangements as of April 30, 2022.
Gross Amounts Not Offset in the Statement of Assets and Liabilities | |
Gross Asset Amounts
Presented in
Statement of Assets
and Liabilities(a) | | Collateral Received(b) | | Net Amount
(not less than $0) | |
| $ | 11,854,024 | | | $ | (11,854,024 | ) | | $ | — | | |
(a) Represents market value of loaned securities at period end.
(b) The actual collateral received is greater than the amount shown here due to collateral requirements of the security lending agreement.
The Fund's securities lending arrangement provides that the Fund and SSB will share the net income earned from securities lending activities. Securities lending income is accrued as earned. During the six months ended April 30, 2022, total earnings from the Fund's investment in cash collateral received in connection with securities lending arrangements was $12,124. The Fund retained $9,101 in income from the cash collateral investment, and SSB, as lending agent, was paid $3,023.
L) OTHER — The high yield, fixed income securities in which the Fund invests will primarily consist of senior secured floating rate loans ("Senior Loans") issued by non-investment grade companies. Senior Loans are typically secured by specific collateral of the issuer and hold the most senior position in the issuer's capital structure. The interest rate on Senior Loans is periodically adjusted to a recognized base rate. While these characteristics may reduce interest rate risk and mitigate losses in the event of borrower default, the Senior Loans in which the Fund invests have below investment grade credit ratings and thereby are considered speculative because of the significant credit risk of their issuers.
In July 2017, the Financial Conduct Authority, the United Kingdom's financial regulatory body, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and ICE Benchmark Administrator have since announced that most LIBOR settings will no longer be published after December 31, 2021 and a majority of U.S. dollar LIBOR settings will cease
55
Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
publication after June 30, 2023. It is possible that a subset of LIBOR settings will be published after these dates on a "synthetic" basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve's Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing the Secured Overnight Financing Rate ("SOFR") that is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new reference rates. Uncertainty related to the liquidity impact of the change in rates, and how to appropriately adjust these rates at the time of transition, poses risks for the Fund. The effect of any changes to, or discontinuation of, LIBOR on the Fund will depend on, among other things, (1) existing fallback or termination provisions in individual contracts and (2) whether, how, and when industry participants develop and adopt new reference rates and fallbacks for both legacy and new instruments and contracts. In addition, there are obstacles to converting certain longer-term securities and transactions to a new reference rate or rates and the effectiveness of one alternative reference rate versus multiple alternative reference rates in new or existing financial instruments and products has not been determined.
The transition away from LIBOR might lead to increased volatility and illiquidity in markets for instruments whose terms currently reference LIBOR, reduced values of LIBOR-related investments, reduced effectiveness of hedging strategies, increased costs for certain LIBOR-related instruments, increased difficulty in borrowing or refinancing, and prolonged adverse market conditions for the Fund. Furthermore, the risks associated with the expected discontinuation of LIBOR and related transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner.
Lower-rated debt securities (commonly known as "junk bonds") possess speculative characteristics and are subject to greater market fluctuations and risk of lost income and principal than higher-rated debt securities for a variety of reasons. Also, during an economic downturn or substantial period of rising interest rates, highly leveraged issuers may experience financial stress which would adversely affect their ability to service their principal and interest payment obligations, to meet projected business goals and to obtain additional financing.
56
Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 2. Significant Accounting Policies (continued)
In addition, periods of economic uncertainty and changes can be expected to result in increased volatility of market prices of lower-rated debt securities and the Fund's net asset value.
In the normal course of business, the Fund trades financial instruments and enters into financial transactions for which risk of potential loss exists due to changes in the market (market risk) or failure of the other party to a transaction to perform (credit risk). Similar to credit risk, the Fund may be exposed to counterparty risk, including with respect to securities lending, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. The potential loss could exceed the value of the financial assets recorded in the financial statements. Financial assets, which potentially expose the Fund to credit risk, consist principally of cash due from counterparties and investments. The extent of the Fund's exposure to credit and counterparty risks in respect to these financial assets approximates their carrying value as recorded in the Fund's Statement of Assets and Liabilities.
Note 3. Transactions with Affiliates and Related Parties
Credit Suisse serves as investment adviser and co-administrator for the Fund. For its investment advisory and administration services, Credit Suisse is entitled to receive a fee from the Fund at an annualized rate of 0.84% of the Fund's average daily net assets. For the six months ended April 30, 2022, investment advisory and administration fees earned and fees waived/expenses reimbursed by Credit Suisse were $2,055,382 and $611,554, respectively. Effective November 12, 2019, Credit Suisse has contractually agreed to limit expenses so that the Fund's annual operating expenses do not exceed 0.79% of the Fund's average daily net assets for Class I shares, 1.04% of the Fund's average daily net assets for Class A shares, and 1.79% of the Fund's average daily net assets for Class C shares. The Fund is authorized to reimburse Credit Suisse for management fees previously limited and/or for expenses previously reimbursed by Credit Suisse under the contractual expense limitation arrangement, provided, however, that any reimbursements must be paid at a date not more than thirty-six months following the applicable month during which such fees were limited or expenses were reimbursed by Credit Suisse and the reimbursements do not cause the Fund to exceed the applicable expense limitation at the time the fees are recouped. This contract may not be terminated before February 28, 2023. For the six months ended April 30, 2022, there was no recoupment.
57
Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 3. Transactions with Affiliates and Related Parties (continued)
The amounts waived and reimbursed by Credit Suisse, which are available for potential future recoupment by Credit Suisse, and the expiration schedule at April 30, 2022 are as follows:
| | | Fee waivers/expense
reimbursements
subject to
recoupment | | Expires
October 31,
2022 | | Expires
October 31,
2023 | | Expires
October 31,
2024 | | Expires
October 31,
2025 | |
Class I | | $ | 2,072,799 | | | $ | 101,003 | | | $ | 633,623 | | | $ | 810,885 | | | $ | 527,288 | | |
Class A | | | 278,880 | | | | 23,286 | | | | 129,648 | | | | 89,377 | | | | 36,569 | | |
Class C | | | 332,043 | | | | 24,206 | | | | 149,752 | | | | 110,388 | | | | 47,697 | | |
Totals | | $ | 2,683,722 | | | $ | 148,495 | | | $ | 913,023 | | | $ | 1,010,650 | | | $ | 611,554 | | |
Credit Suisse Asset Management Limited ("Credit Suisse U.K."), an affiliate of Credit Suisse, serves as sub-investment advisor to the Fund directly. Credit Suisse U.K.'s sub-investment advisor fees are paid by Credit Suisse.
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 April 30, 2022, co-administrative services fees earned by SSB (including out-of-pocket expenses) with respect to the Fund were $68,504.
Credit Suisse Securities (USA) LLC ("CSSU"), an affiliate of Credit Suisse, serves as the distributor of the Fund's shares. Pursuant to a distribution plan adopted by the Fund pursuant to Rule 12b-1 under the 1940 Act, CSSU receives fees for its distribution services. These fees are calculated at an annual rate of 0.25% of the average daily net assets of the Class A shares. For the Class C shares, the fee is calculated at an annual rate of 1.00% of the average daily net assets. For the six months ended April 30, 2022, the Fund paid Rule 12b-1 distribution fees of $36,322 for Class A shares and $189,252 for Class C shares. Class I shares are not subject to Rule 12b-1 distribution fees.
For the six months ended April 30, 2022, CSSU and its affiliates advised the Fund that they retained $876 from commissions earned on the sale of the Fund's Class A shares. There were no commissions earned on the sale of Class C shares.
The Fund from time to time purchases or sells loan investments in the secondary market through Credit Suisse or its affiliates acting in the capacity as broker-dealer. Credit Suisse or its affiliates may have acted in some type of agent capacity to the initial loan offering prior to such loan trading in the secondary market.
58
Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
The Fund, together with other funds/portfolios advised by Credit Suisse (collectively, the "Participating Funds"), participates in a committed, unsecured line of credit facility ("Credit Facility"), with SSB in an aggregated amount of $125 million for temporary or emergency purposes under a first-come, first-served basis. 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 Federal Funds Effective rate or the Overnight Bank Funding rate plus a spread. At April 30, 2022 and during the six months ended April 30, 2022, the Fund had no borrowings outstanding under the Credit Facility. Additionally, the Fund and another Participating Fund are parties to a joint uncommitted line of credit facility with SSB in an aggregated amount of $200 million. For the six months ended April 30, 2022, the line was not drawn upon and no fees were incurred.
Note 5. Purchases and Sales of Securities
For the six months ended April 30, 2022, 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 | |
| $ | 145,795,849 | | | $ | 144,770,536 | | | $ | 0 | | | $ | 0 | | |
Note 6. Capital Share Transactions
The Fund is authorized to issue an unlimited number of full and fractional shares of beneficial interest, $.001 par value per share. The Fund offers Class I, Class A and Class C shares. Transactions in capital shares for each class of the Fund were as follows:
| | | Class I | |
| | | For the Six Months Ended
April 30, 2022 (unaudited) | | For the Year Ended
October 31, 2021 | |
| | | Shares | | Value | | Shares | | Value | |
Shares sold | | | 12,357,084 | | | $ | 123,360,077 | | | | 27,727,218 | | | $ | 279,750,393 | | |
Shares issued in reinvestment
of distributions | | | 830,673 | | | | 8,240,931 | | | | 1,151,173 | | | | 11,626,749 | | |
Shares redeemed | | | (13,326,374 | ) | | | (132,360,963 | ) | | | (7,267,430 | ) | | | (73,254,477 | ) | |
Net increase (decrease) | | | (138,617 | ) | | $ | (759,955 | ) | | | 21,610,961 | | | $ | 218,122,665 | | |
59
Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 6. Capital Share Transactions (continued)
| | | Class A | |
| | | For the Six Months Ended
April 30, 2022 (unaudited) | | For the Year Ended
October 31, 2021 | |
| | | Shares | | Value | | Shares | | Value | |
Shares sold | | | 298,605 | | | $ | 2,982,391 | | | | 863,110 | | | $ | 8,668,674 | | |
Shares issued in reinvestment
of distributions | | | 53,377 | | | | 529,684 | | | | 120,331 | | | | 1,212,609 | | |
Shares redeemed | | | (642,346 | ) | | | (6,405,840 | ) | | | (1,491,869 | ) | | | (15,058,786 | ) | |
Net decrease | | | (290,364 | ) | | $ | (2,893,765 | ) | | | (508,428 | ) | | $ | (5,177,503 | ) | |
| | | Class C | |
| | | For the Six Months Ended
April 30, 2022 (unaudited) | | For the Year Ended
October 31, 2021 | |
| | | Shares | | Value | | Shares | | Value | |
Shares sold | | | 100,673 | | | $ | 1,012,825 | | | | 349,829 | | | $ | 3,523,908 | | |
Shares issued in reinvestment
of distributions | | | 57,775 | | | | 573,401 | | | | 123,495 | | | | 1,244,747 | | |
Shares redeemed | | | (484,800 | ) | | | (4,816,055 | ) | | | (984,529 | ) | | | (9,910,219 | ) | |
Net decrease | | | (326,352 | ) | | $ | (3,229,829 | ) | | | (511,205 | ) | | $ | (5,141,564 | ) | |
On April 30, 2022, the number of shareholders that held 5% or more of the outstanding shares of each class of the Fund was as follows:
| | | Number of
Shareholders | | Approximate Percentage
of Outstanding Shares | |
Class I | | | 4 | | | | 66 | % | |
Class A | | | 5 | | | | 71 | % | |
Class C | | | 4 | | | | 87 | % | |
The Fund's performance may be negatively impacted in the event one or more of the Fund's greater than 5% shareholders were to redeem at a given time. Some of the shareholders may be omnibus accounts, which hold shares on behalf of individual shareholders.
Note 7. 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.
60
Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)
April 30, 2022 (unaudited)
Note 8. Subsequent Events
In preparing the financial statements as of April 30, 2022, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements through the date of release of this report. No such events requiring recognition or disclosure were identified through the date of the release of this report.
61
Credit Suisse Strategic Income Fund
Board Approval of Investment Management Agreement and
Sub-Advisory Agreement (unaudited)
In approving the renewal of the amended and restated investment management agreement (the "Investment Management Agreement") and the sub-advisory agreement (the "Sub-Advisory Agreement") for the Credit Suisse Strategic Income Fund (the "Fund"), a series of Credit Suisse Opportunity Funds (the "Trust"), the Board of Trustees of the Trust (the "Board"), including all of the trustees who are not "interested persons" of the Trust as defined in the Investment Company Act of 1940 (the "Independent Trustees"), at a special telephonic meeting held on November 8, 2021 where the Board discussed information and materials previously provided to them in connection with the renewal of the Investment Management Agreement and the Sub-Advisory Agreement, and at a meeting held via Zoom on November 15 and 16, 2021, considered the following factors:
Investment Management Fee Rates and Expenses
The Board reviewed and considered the contractual management fee rate of 0.84% of the Fund's average daily net assets (the "Contractual Management Fee") for the Fund in light of the extent and quality of the management services provided by Credit Suisse Asset Management, LLC ("Credit Suisse"), as investment manager, and Credit Suisse Asset Management Limited (the "Sub-Adviser"), as sub-adviser. The Board noted that the compensation paid to the Sub-Adviser does not increase the fees or expenses otherwise incurred by the Fund. The Board also considered that Credit Suisse has entered into a contractual expense limitation agreement ("Expense Limitation Agreement") limiting the Fund's total net expenses to 1.04%, 1.79% and 0.79% of the average daily net assets of Class A, Class C and Class I, respectively, until February 28, 2023.
Additionally, the Board received and considered information comparing the Fund's Contractual Management Fee, the Fund's Contractual Management Fee less waivers and/or reimbursements ("Net Management Fee") and the Fund's overall expenses with those of funds in both the relevant expense group ("Expense Group") and universe of funds ("Expense Universe") provided by Broadridge, an independent provider of investment company data. The Board noted that the Fund's Contractual Management Fee, Net Management Fee and overall expenses were in line with or above the range of its peers as presented in the Broadridge report. The Board was provided with a description of the methodology used to arrive at the funds included in the Expense Group and the Expense Universe.
62
Credit Suisse Strategic Income Fund
Board Approval of Investment Management Agreement and
Sub-Advisory Agreement (unaudited) (continued)
Nature, Extent and Quality of the Services under the Management Agreement
The Board received and considered information regarding the nature, extent and quality of services provided to the Fund by Credit Suisse under the Investment Management Agreement and by the Sub-Adviser under the Sub-Advisory Agreement. The Board also noted information received at regular meetings throughout the year related to the services rendered by Credit Suisse and the Sub-Adviser which, in addition to portfolio management and investment management services set forth in the Investment Management Agreement and the Sub-Advisory Agreement, included credit analysis and research, supervising the day-to-day operations of the Fund's non-advisory functions which include accounting, administration, custody, transfer agent and other applicable third party service providers, overseeing and facilitating audits, overseeing the Fund's credit facility and supervising and/or preparing applicable Fund filings, disclosures and shareholder reports. The Board noted that the extensive investment management services provided by Credit Suisse included broad supervisory responsibility and oversight over other service providers to the Fund. The Board also considered Credit Suisse's compliance program with respect to the Fund. The Board noted that Credit Suisse reports to the Board about portfolio management and compliance matters on a periodic basis. The Board reviewed background information about Credit Suisse and the Sub-Adviser, including their respective Form ADV Part 2 — Disclosure Brochure and Brochure Supplement. The Board considered the background and experience of Credit Suisse's senior management and the expertise of, and the amount of attention given to the Fund by, senior personnel of Credit Suisse. In addition, the Board reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day portfolio management of the Fund and the extent of the resources devoted to research and analysis of actual and potential investments, as well as the resources provided to them. The Board evaluated the ability of Credit Suisse and the Sub-Adviser, based on their resources, reputation and other attributes, to attract and retain qualified investment professionals including research, advisory, and supervisory personnel. The Board also received and considered information about the nature, extent and quality of services and fee rates offered to other Credit Suisse clients for comparable services. The Board acknowledged Credit Suisse's representation that the services provided to the Fund are more extensive than the services provided in connection with other types of accounts, such as separate accounts, offered by Credit Suisse and the services are also more extensive from those offered and provided to a sub-advised fund. The Board also considered that the
63
Credit Suisse Strategic Income Fund
Board Approval of Investment Management Agreement and
Sub-Advisory Agreement (unaudited) (continued)
services provided by Credit Suisse have expanded over time as a result of regulatory and other developments.
In approving the renewal of the Sub-Advisory Agreement, the Board considered the benefits of retaining Credit Suisse's affiliate as the Fund's Sub-Adviser and the Sub-Adviser's investment style.
Fund Performance
The Board received and considered performance results of the Fund over the previous year as well as over longer time periods, along with comparisons both to the relevant performance group ("Performance Group") and universe of funds ("Performance Universe") for the Fund provided in the Broadridge materials. The Board was provided with a description of the methodology used to arrive at the funds included in the Performance Group and the Performance Universe. The Board noted that the Fund outperformed its Performance Universe for the one-year period reported, and generally outperformed over various longer investment periods reported. The Board also considered the investment performance of the Fund relative to its stated objectives.
Credit Suisse Profitability
The Board received and considered a profitability analysis of Credit Suisse based on the fees payable under the Investment Management Agreement for the Fund, including any fee waivers, as well as other relationships between the Fund on the one hand and Credit Suisse affiliates on the other. The Board deliberations also reflected, in the context of Credit Suisse's profitability, Credit Suisse's methodology for allocating costs to the Fund, recognizing that cost allocation methodologies are inherently subjective. The Board also received net profitability information for the other funds in the Credit Suisse family of funds, which include both open-end and closed-end funds. The Board also reviewed Credit Suisse's profit margin as reflected in the profitability analysis, as well as reviewing profitability in light of appropriate court cases and the services rendered to the Fund.
Economies of Scale
The Board considered information regarding whether there have been economies of scale with respect to the management of the Fund, whether the
64
Credit Suisse Strategic Income Fund
Board Approval of Investment Management Agreement and
Sub-Advisory Agreement (unaudited) (continued)
Fund has appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Board noted that if the Fund grows, additional efficiencies and economies of scale potentially could be realized. The Board also noted the current contractual expense limitations currently in place between the Fund and Credit Suisse. The Board received information regarding Credit Suisse's profitability in connection with providing investment management services to the Fund, including Credit Suisse's costs in providing the services.
Other Benefits to Credit Suisse
The Board considered other benefits received by Credit Suisse, the Sub-Adviser and their affiliates as a result of their relationship with the Fund. Such benefits include, among others, benefits potentially derived from an increase in Credit Suisse's and the Sub-Adviser's businesses and their respective reputations as a result of their relationship with the Fund and the Fund's performance (such as the ability to market its advisory services to other clients and investors including separate account or third party sub-advised mandates or other financial products offered by Credit Suisse and its affiliates), as well as the fees paid to an affiliate of Credit Suisse for distribution services.
The Board considered the standards Credit Suisse and the Sub-Adviser applied in seeking best execution and their policies and practices regarding soft dollars for the Fund and reviewed Credit Suisse's method for allocating portfolio investment opportunities among its advisory clients.
Other Factors and Broader Review
As discussed above, the Board reviewed detailed materials received from Credit Suisse as part of the annual approval process. The Board also reviews and assesses the quality of the services that the Fund receives throughout the year. In this regard, the Board reviews reports of Credit Suisse at least quarterly, which include, among other things, detailed portfolio and market reviews, detailed fund performance reports, and Credit Suisse's compliance procedures.
Conclusions
In selecting Credit Suisse and the Sub-Adviser, and approving the renewal of the Investment Management Agreement and the investment management
65
Credit Suisse Strategic Income Fund
Board Approval of Investment Management Agreement and
Sub-Advisory Agreement (unaudited) (continued)
fee under such agreement and the Sub-Advisory Agreement, the Board concluded that:
• The Contractual Management Fee and Net Management Fee, reviewed along with information provided by Broadridge for the funds in the Fund's Expense Group and Expense Universe, were reasonable in relation to the services provided by Credit Suisse.
• The Board was satisfied with the nature, extent and quality of the investment management services provided to the Fund by Credit Suisse and the Sub-Adviser and that, based on dialogue with management and counsel, the services provided by Credit Suisse under the Investment Management Agreement and the Sub-Adviser under the Sub-Advisory Agreement are typical of, and consistent with, those provided to similar mutual funds by other investment managers.
• In light of the costs of providing investment management and other services to the Fund and Credit Suisse's ongoing commitment to the Fund and willingness to waive fees (by agreeing to a contractual expense limitation and further lowering total Fund operating expenses pursuant to such expense limitation), Credit Suisse's net profitability based on fees payable under the Investment Management Agreement, as well as other ancillary benefits that Credit Suisse and its affiliates received, were considered reasonable.
• In light of the information received and considered by the Board, the Fund's current fee structure was considered reasonable.
No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the renewal of the Investment Management Agreement and Sub-Advisory Agreement. The Independent Trustees were advised by separate independent legal counsel throughout the process.
66
Credit Suisse Strategic Income Fund
Liquidity Risk Management Program (unaudited)
The Fund has adopted and implemented a written liquidity risk management program (the "Liquidity Program") in accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended. The Liquidity Program seeks to assess and manage the Fund's liquidity risk, i.e., the risk that the Fund is unable to satisfy redemption requests without significantly diluting remaining investors' interests in the Fund. The Board of Trustees of the Trust has designated Credit Suisse Asset Management, LLC, the Fund's investment adviser, to administer the Liquidity Program (the "Program Administrator"). Certain aspects of the Liquidity Program rely on third parties to perform certain functions, including the provision of market data and application of models.
Under the Liquidity Program, the Program Administrator assesses, manages and periodically reviews each Fund's liquidity risk and classifies each investment held by each Fund as a "highly liquid investment," "moderately liquid investment," "less liquid investment" or "illiquid investment." The liquidity of the Fund's portfolio investments is determined based on relevant market, trading and investment-specific considerations under the Liquidity Program.
During the six months ended April 30, 2022, the Trust's Board of Trustees received reports from the Program Administrator that included information to address the operations of the Liquidity Program and assess its adequacy and effectiveness of implementation during the period covered by the reports. The reports indicated that the Liquidity Program is reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the reporting period.
There can be no assurance that the Liquidity Program will achieve its objectives under all circumstances in the future. Please refer to the Fund's prospectus for more information regarding the Fund's exposure to illiquidity risk and other risks to which it may be subject.
67
Credit Suisse Strategic Income Fund
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 investment 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.
68
Credit Suisse Strategic Income Fund
Notice of Privacy and Information Practices (unaudited) (continued)
• We want our investors to be informed about additional products or services. We do not disclose nonpublic personal information relating to individual investors to our affiliates for marketing purposes, nor do we use such information received from our affiliates to solicit individual investors for such purposes. 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 24, 2022.
69
Credit Suisse Strategic Income Fund
Proxy Voting and Portfolio Holdings Information (unaudited)
Information regarding how the Fund 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 Fund uses to determine how to vote proxies relating to its portfolio securities are available:
• By calling 1-877-870-2874
• On the Fund's website, www.credit-suisse.com/us/funds
• On the website of the Securities and Exchange Commission, www.sec.gov
The Fund files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund's Forms N-PORT and N-Q are available on the SEC's website at www.sec.gov.
70
P.O. BOX 219916, KANSAS CITY, MO 64121-9916
877-870-2874 ◼ www.credit-suisse.com/us/funds
CREDIT SUISSE SECURITIES (USA) LLC, DISTRIBUTOR. SIF-SAR-0422
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 most recent fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
This item is not applicable to the registrant.
Item 13. 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 OPPORTUNITY FUNDS | |
| | | |
| | /s/ John G. Popp | |
| | Name: John G. Popp | |
| | Title: Chief Executive Officer and President | |
| | Date: June 30, 2022 | |
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 and President | |
| | Date: June 30, 2022 | |
| | /s/ Omar Tariq | |
| | Name: Omar Tariq | |
| | Title: Chief Financial Officer and Treasurer | |
| | Date: June 30, 2022 | |
