Credit Suisse Managed Futures Strategy Fund
Consolidated Schedule of Investments
January 31, 2020 (unaudited)
| Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate%(1) | | | Value |
UNITED STATES TREASURY OBLIGATIONS (67.8%) | | | | | | | | | |
$ | 60,000 | | | United States Treasury Bills | | (AA+, Aaa) | | 04/23/20 | | | 2.238 | | $ | 59,797,089 |
| 40,000 | | | United States Treasury Bills | | (AA+, Aaa) | | 07/16/20 | | | 1.755 | | | 39,728,717 |
| 35,000 | | | United States Treasury Bills | | (AA+, Aaa) | | 08/13/20 | | | 1.556 | | | 34,719,766 |
| 85,000 | | | United States Treasury Bills | | (AA+, Aaa) | | 10/08/20 | | | 1.485 | | | 84,140,698 |
TOTAL UNITED STATES TREASURY OBLIGATIONS (Cost $218,200,373) | | | | | | | | 218,386,270 |
TOTAL INVESTMENTS AT VALUE (67.8%) (Cost $218,200,373) | | | | | | | | 218,386,270 |
OTHER ASSETS IN EXCESS OF LIABILITIES (32.2%) | | | | | | | | 103,758,419 |
NET ASSETS (100.0%) | | | | | | | $ | 322,144,689 |
† | | 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 January 31, 2020. |
Futures Contracts |
Contract Description | | Currency | | Expiration Date | | Number of Contracts | | | Notional Value | | | Net Unrealized Appreciation (Depreciation) | |
Contracts to Purchase | | | | | | | | | | | | | | | | |
Foreign Exchange Contracts | | | | | | | | | | | | | | | | |
CAD Currency Futures | | USD | | Mar 2020 | | | 1,215 | | | $ | 91,823,625 | | | $ | (700,668 | ) |
GBP Currency Futures | | USD | | Mar 2020 | | | 739 | | | | 61,046,019 | | | | (159,565 | ) |
| | | | | | | | | | | | | | $ | (860,233 | ) |
Index Contracts | | | | | | | | | | | | | | | | |
EURO Stoxx 50 Index Futures | | EUR | | Mar 2020 | | | 1,010 | | | | 40,730,681 | | | $ | (1,043,498 | ) |
FTSE 100 Index Futures | | GBP | | Mar 2020 | | | 484 | | | | 46,048,299 | | | | (1,651,900 | ) |
Hang Seng Index Futures | | HKD | | Feb 2020 | | | 199 | | | | 33,615,159 | | | | (2,048,509 | ) |
Nikkei 225 Index Futures OSE | | JPY | | Mar 2020 | | | 211 | | | | 45,028,648 | | | | (476,305 | ) |
S&P 500 E Mini Index Futures | | USD | | Mar 2020 | | | 243 | | | | 39,171,600 | | | | 317,564 | |
| | | | | | | | | | | | | | $ | (4,902,648 | ) |
| | | | | | | | | | | | | | | | |
Interest Rate Contracts | | | | | | | | | | | | | | | | |
10YR U.S. Treasury Note Futures | | USD | | Mar 2020 | | | 901 | | | | 118,622,281 | | | $ | 1,275,593 | |
EURO Bund Futures | | EUR | | Mar 2020 | | | 343 | | | | 66,534,924 | | | | 250,456 | |
Long Gilt Futures | | GBP | | Mar 2020 | | | 560 | | | | 99,611,658 | | | | 1,051,849 | |
| | | | | | | | | | | | | | $ | 2,577,898 | |
| | | | | | | | | | | | | | | | |
Contracts to Sell | | | | | | | | | | | | | | | | |
Foreign Exchange Contracts | | | | | | | | | | | | | | | | |
AUD Currency Futures | | USD | | Mar 2020 | | | (1,099 | ) | | | (73,665,970 | ) | | $ | 900,231 | |
EUR Currency Futures | | USD | | Mar 2020 | | | (457 | ) | | | (63,514,431 | ) | | | 29,754 | |
JPY Currency Futures | | USD | | Mar 2020 | | | (718 | ) | | | (83,014,263 | ) | | | 32,618 | |
| | | | | | | | | | | | | | $ | 962,603 | |
| | | | | | | | | | | | | | | | |
Interest Rate Contracts | | | | | | | | | | | | | | | | |
10YR Japanese Bond Futures | | JPY | | Mar 2020 | | | (148 | ) | | | (208,730,728 | ) | | $ | (747,620 | ) |
| | | | | | | | | | | | | | $ | 214,983 | |
| | | | | | | | | | | | | | $ | (2,970,000 | ) |
Credit Suisse Managed Futures Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2020 (unaudited)
Total Return Swap Contracts |
Currency | | Notional Amount | | | Expiration Date | | Counterparty | | Receive | | Pay | | Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Net Unrealized Appreciation (Depreciation) | |
USD | | $ | 26,365,434 | | | 12/04/20 | | Goldman Sachs | | Bloomberg Agriculture Index | | 0.17% | | At Maturity | | $ | — | | | $ | (1,223,609 | ) |
USD | | | 57,454,611 | | | 12/04/20 | | Goldman Sachs | | Bloomberg Precious Metals Index | | 0.11% | | At Maturity | | | — | | | | 3,514,648 | |
USD | | | 27,444,388 | | | 12/04/20 | | Goldman Sachs | | (0.06)% | | Bloomberg Energy Index | | At Maturity | | | — | | | | 3,029,538 | |
USD | | | 44,768,695 | | | 12/04/20 | | Goldman Sachs | | (0.07)% | | Bloomberg Industrial Metals Index | | At Maturity | | | — | | | | 640,892 | |
| | | | | | | | | | | | | | | | | | | | $ | 5,961,469 | |
Currency Abbreviations: | |
|
AUD = Australian Dollar |
CAD = Canadian Dollar |
EUR = Euro |
GBP = British Pound |
HKD = Hong Kong Dollar |
JPY = Japanese Yen |
USD = United States Dollar |
SECURITY VALUATION —The Board of Trustees (the "Board") is responsible for the Fund’s valuation process. The Board has delegated the supervision of the daily valuation process to Credit Suisse Asset Management, LLC, the Fund’s investment adviser (“Credit Suisse” or the “Adviser”), who has established a Pricing Committee which, pursuant to the policies adopted by the Board, is responsible for making fair valuation determinations and overseeing the Fund’s pricing policies.The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional “round lot” size, but some trades occur in smaller “odd lot” sizes which may be effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. 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 theFund 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.
TheFund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
Generally accepted accounting principles in the United States of America (“GAAP”) established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at each measurement date. These inputs are summarized in the three broad levels listed below:
| · | Level 1—quoted prices in active markets for identical investments |
| · | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| · | Level 3—significant unobservable inputs (including theFund’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 January 31, 2020 in valuing theFund’s assets and liabilities carried at fair value:
Assets | | Level 1 | | | Level 2 | | | Level 3 | | | Total |
Investments in Securities | | $ | — | | | $ | 218,386,270 | | | $ | — | | | $ | 218,386,270 |
United States Treasury Obligations | | $ | — | | | $ | 218,386,270 | | | $ | — | | | $ | 218,386,270 |
| | | | | | | | | | | | | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 3,858,065 | | | $ | — | | | $ | — | | | $ | 3,858,065 |
Swap Contracts** | | | — | | | | 7,185,078 | | | | — | | | | 7,185,078 |
Liabilities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 6,828,065 | | | $ | — | | | $ | — | | | $ | 6,828,065 | |
Swap Contracts** | | | — | | | | 1,223,609 | | | | — | | | | 1,223,609 | |
* | Other financial instruments include unrealized appreciation/(depreciation) on futures and swap contracts. |
** | Value includes any premium paid or received with respect to swap contracts, if applicable |
During the period ended January 31, 2020, there were no transfers between Level 2 and Level 3.All transfers, if any, are assumed to occur at the end of the reporting period.
Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Fund's website at www.credit-suisse.com/us/funds, as well as on the website of the Securities and Exchange Commission at www.sec.gov.
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments
January 31, 2020 (unaudited)
| | Number of Shares | | | Value | |
EXCHANGE-TRADED FUND (2.0%) | | | | | | | | |
UNITED STATES (2.0%) | | | | | | | | |
Energy (2.0%) | | | | | | | | |
Alerian MLP ETF(1) (Cost $777,419) | | | 90,767 | | | $ | 727,951 | |
Par (000) | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate%(2) | | | | |
UNITED STATES TREASURY OBLIGATIONS (37.3%) |
$ | | 5,000 | | United States Treasury Bills | | (AA+, Aaa) | | 10/08/20 | | | 1.523 | | | | 4,949,453 | |
9,000 | | United States Treasury Bills | | (AA+, Aaa) | | 12/31/20 | | | 1.487 | | | | 8,882,140 | |
TOTAL UNITED STATES TREASURY OBLIGATIONS (Cost $13,822,941) | | | | | | | | 13,831,593 | |
| | Number of Shares | | | | |
SHORT-TERM INVESTMENT (0.1%) |
State Street Navigator Securities Lending Government Money Market Portfolio, 1.62%(3) (Cost $54,400) | | | 54,400 | | | | 54,400 | |
TOTAL INVESTMENTS AT VALUE (39.4%) (Cost $14,654,760) | | | | | | | 14,613,944 | |
OTHER ASSETS IN EXCESS OF LIABILITIES(60.6%) | | | | | | | 22,474,441 | |
NET ASSETS (100.0%) | | | | | | $ | 37,088,385 | |
† | | 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 or portion thereof is out on loan. |
(2) | | Securities are zero coupon. Rate presented is yield to maturity as of January 31, 2020. |
(3) | | Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at January 31, 2020. |
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 (Depreciation) | |
HKD | 35,518,542 | | USD | 4,558,640 | | 06/17/20 | | Morgan Stanley | | $ | 4,558,640 | | | $ | 4,567,683 | | | $ | 9,043 | |
USD | 7,845,121 | | HKD | 61,333,156 | | 06/17/20 | | Morgan Stanley | | | (7,845,121 | ) | | | (7,887,441 | ) | | | (42,320 | ) |
| | | | | | | | | | | | | | | | $ | (33,277 | ) |
Futures Contracts |
Contract Description | | Currency | | Expiration Date | | Number of Contracts | | | Notional Value | | | Net Unrealized Appreciation (Depreciation) | |
Contracts to Purchase | | | | | | | | | | | | | | | | |
Agriculture | | | | | | | | | | | | | | | | |
Coffee "C" Futures | | USD | | May 2020 | | | 12 | | | $ | 472,050 | | | $ | (4,172 | ) |
Corn Futures | | USD | | May 2020 | | | 62 | | | | 1,198,150 | | | | (8,521 | ) |
Cotton No. 2 Futures | | USD | | May 2020 | | | 9 | | | | 307,395 | | | | (6,060 | ) |
Soyabean Oil Futures | | USD | | May 2020 | | | 28 | | | | 509,040 | | | | (25,696 | ) |
Soybean Futures | | USD | | May 2020 | | | 24 | | | | 1,064,100 | | | | (24,066 | ) |
Soybean Meal Futures | | USD | | May 2020 | | | 22 | | | | 651,860 | | | | (10,433 | ) |
Sugar No. 11 | | USD | | May 2020 | | | 41 | | | | 658,952 | | | | 1,598 | |
Wheat Futures | | USD | | May 2020 | | | 34 | | | | 939,250 | | | | (23,491 | ) |
| | | | | | | | | | | | | | $ | (100,841 | ) |
Energy | | | | | | | | | | | | | | | | |
Gasoline RBOB Futures | | USD | | May 2020 | | | 6 | | | | 420,563 | | | $ | (3,510 | ) |
Light Sweet Crude Oil Futures | | USD | | May 2020 | | | 26 | | | | 1,346,020 | | | | (23,076 | ) |
Low Sulphur Gasoil Futures | | USD | | May 2020 | | | 9 | | | | 451,575 | | | | (10,349 | ) |
Natural Gas Futures | | USD | | May 2020 | | | 72 | | | | 1,401,120 | | | | (18,379 | ) |
NY Harbor ULSD Futures | | USD | | May 2020 | | | 5 | | | | 343,518 | | | | (8,442 | ) |
| | | | | | | | | | | | | | $ | (63,756 | ) |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2020 (unaudited)
Futures Contracts (continued) |
Contract Description | | Currency | | Expiration Date | | Number of Contracts | | Notional Value | | | Net Unrealized Appreciation (Depreciation) | |
Contracts to Purchase |
|
Foreign Exchange Contracts |
CAD Currency Futures | | USD | | Mar 2020 | | 14 | | $ | 1,058,050 | | | $ | (7,831 | ) |
GBP Currency Futures | | USD | | Mar 2020 | | 7 | | | 578,244 | | | | (1,512 | ) |
| | | | | | | | | | | | $ | (9,343 | ) |
Index Contracts |
FTSE 100 Index Futures | | GBP | | Mar 2020 | | 6 | | | 570,846 | | | $ | (19,619 | ) |
Hang Seng Index Futures | | HKD | | Feb 2020 | | 2 | | | 337,841 | | | | (20,588 | ) |
Nikkei 225 Index Futures OSE | | JPY | | Mar 2020 | | 2 | | | 426,812 | | | | (4,515 | ) |
| | | | | | | | | | | | $ | (44,722 | ) |
Industrial Metals |
LME Nickel Futures | | USD | | Mar 2020 | | 15 | | | 1,153,125 | | | $ | (139,544 | ) |
LME Nickel Futures | | USD | | May 2020 | | 7 | | | 540,498 | | | | 8,059 | |
LME Primary Aluminum Futures | | USD | | Mar 2020 | | 34 | | | 1,454,350 | | | | (40,020 | ) |
LME Primary Aluminum Futures | | USD | | May 2020 | | 20 | | | 863,500 | | | | (10,249 | ) |
LME Zinc Futures | | USD | | Mar 2020 | | 19 | | | 1,047,375 | | | | (37,836 | ) |
LME Zinc Futures | | USD | | May 2020 | | 12 | | | 659,625 | | | | (3,955 | ) |
| | | | | | | | | | | | $ | (223,545 | ) |
Interest Rate Contracts |
10YR AUS Bond Futures | | AUD | | Mar 2020 | | 29 | | | 2,871,083 | | | $ | 42,949 | |
10YR U.S. Treasury Note Futures | | USD | | Mar 2020 | | 32 | | | 4,213,000 | | | | 11,387 | |
EURO Bund Futures | | EUR | | Mar 2020 | | 18 | | | 3,491,629 | | | | 41,325 | |
| | | | | | | | | | | | $ | 95,661 | |
Precious Metals |
Copper Futures | | USD | | May 2020 | | 21 | | | 1,324,575 | | | $ | (19,607 | ) |
Silver Futures | | USD | | May 2020 | | 8 | | | 723,640 | | | | 7,683 | |
| | | | | | | | | | | | $ | (11,924 | ) |
Contracts to Sell |
Agriculture |
Coffee "C" Futures | | USD | | Mar 2020 | | (12) | | | (461,925 | ) | | $ | 4,134 | |
Corn Futures | | USD | | Mar 2020 | | (62) | | | (1,181,875 | ) | | | 6,991 | |
Cotton No. 2 Futures | | USD | | Mar 2020 | | (9) | | | (303,750 | ) | | | 6,960 | |
Soyabean Oil Futures | | USD | | Mar 2020 | | (28) | | | (502,992 | ) | | | 25,352 | |
Soybean Futures | | USD | | Mar 2020 | | (24) | | | (1,047,000 | ) | | | 24,135 | |
Soybean Meal Futures | | USD | | Mar 2020 | | (22) | | | (640,200 | ) | | | 11,627 | |
Sugar No. 11 | | USD | | Mar 2020 | | (41) | | | (670,891 | ) | | | (4,977 | ) |
Wheat Futures | | USD | | Mar 2020 | | (34) | | | (941,375 | ) | | | 23,272 | |
| | | | | | | | | | | | $ | 97,494 | |
Energy |
Gasoline RBOB Futures | | USD | | Mar 2020 | | (6) | | | (379,033 | ) | | $ | 543 | |
Light Sweet Crude Oil Futures | | USD | | Mar 2020 | | (26) | | | (1,340,560 | ) | | | 26,124 | |
Low Sulphur Gasoil Futures | | USD | | Mar 2020 | | (9) | | | (452,250 | ) | | | 10,201 | |
Natural Gas Futures | | USD | | Mar 2020 | | (72) | | | (1,325,520 | ) | | | 19,491 | |
NY Harbor ULSD Futures | | USD | | Mar 2020 | | (5) | | | (341,964 | ) | | | 8,816 | |
| | | | | | | | | | | | $ | 65,175 | |
Foreign Exchange Contracts |
AUD Currency Futures | | USD | | Mar 2020 | | (9) | | | (603,270 | ) | | $ | 7,613 | |
EUR Currency Futures | | USD | | Mar 2020 | | (5) | | | (694,906 | ) | | | (689 | ) |
JPY Currency Futures | | USD | | Mar 2020 | | (6) | | | (693,713 | ) | | | 1,813 | |
| | | | | | | | | | | | $ | 8,737 | |
Index Contracts |
EURO Stoxx 50 Index Futures | | EUR | | Mar 2020 | | (53) | | | (2,137,353 | ) | | $ | 53,907 | |
S&P 500 E Mini Index Futures | | USD | | Mar 2020 | | (25) | | | (4,030,000 | ) | | | (33,175 | ) |
| | | | | | | | | | | | $ | 20,732 | |
Industrial Metals |
LME Nickel Futures | | USD | | Mar 2020 | | (22) | | | (1,691,250 | ) | | $ | 66,105 | |
| | | | | | | | | | | | | | |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2020 (unaudited)
Futures Contracts(continued) |
Contract Description | | Currency | | Expiration Date | | Number of Contracts | | | Notional Value | | | Net Unrealized Appreciation (Depreciation) | |
LME Primary Aluminum Futures | | USD | | Mar 2020 | | | (54 | ) | | $ | (2,309,850 | ) | | $ | 55,542 | |
LME Zinc Futures | | USD | | Mar 2020 | | | (31 | ) | | | (1,708,875 | ) | | | 18,596 | |
| | | | | | | | | | | | | | $ | 140,243 | |
Interest Rate Contracts |
10YR CAD Bond Futures | | CAD | | Mar 2020 | | | (27 | ) | | | (2,902,416 | ) | | $ | (51,054 | ) |
10YR JGB Mini Futures | | JPY | | Mar 2020 | | | (36 | ) | | | (5,078,563 | ) | | | (23,665 | ) |
Long Gilt Futures | | GBP | | Mar 2020 | | | (12 | ) | | | (2,134,535 | ) | | | (26,359 | ) |
| | | | | | | | | | | | | | $ | (101,078 | ) |
Precious Metals |
Copper Futures | | USD | | Mar 2020 | | | (21 | ) | | | (1,321,425 | ) | | $ | 18,768 | |
Silver Futures | | USD | | Mar 2020 | | | (8 | ) | | | (720,480 | ) | | | (7,807 | ) |
| | | | | | | | | | | | | | $ | 10,961 | |
| | | | | | | | | | | | | | $ | (116,206 | ) |
Total Return Swap Contracts | | | |
Currency | | Notional Amount | | | Expiration Date | | Counterparty | | Receive | | Pay | | | Periodic Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Net Unrealized Appreciation (Depreciation) | |
USD | | $ | 7,569,637 | | | 02/21/20 | | Barclays Bank PLC | | Barclays WSVC Strategy(a) | | | 0.60 | % | | At Maturity | | $ | — | | | $ | (31,689 | ) |
USD | | | 8,919,314 | | | 03/11/20 | | Barclays Bank PLC | | Barclays Commodity Hedging Insights 2 Index(b) | | | 0.15 | % | | At Maturity | | | — | | | | 332,002 | |
USD | | | 12,200,000 | | | 06/22/20 | | BNP Paribas | | iBoxx $ Liquid High Yield Index | | | 1.91 | % | | Quarterly | | | (72,261 | ) | | | (805 | ) |
CHF | | | 424,756 | | | 10/02/20 | | BNP Paribas | | CHF Custom Equity Basket(b) | | | 1.00 | % | | Monthly | | | — | | | | (23,006 | ) |
USD | | | 4,679,965 | | | 11/06/20 | | BNP Paribas | | BNP Paribas CPS 2x1 D15 US Index ER(a) | | | 0.35 | % | | At Maturity | | | — | | | | (19,492 | ) |
DKK | | | 121,350 | | | 01/05/21 | | BNP Paribas | | DKK Custom Equity Basket(b) | | | 1.00 | % | | Monthly | | | — | | | | 14,326 | |
EUR | | | 850,037 | | | 01/05/21 | | BNP Paribas | | EUR Custom Equity Basket(b) | | | 1.00 | % | | Monthly | | | — | | | | (40,488 | ) |
CAD | | | 485,754 | | | 01/05/21 | | BNP Paribas | | CAD Custom Equity Basket(b) | | | 2.17 | % | | Monthly | | | — | | | | 521 | |
GBP | | | 554,167 | | | 01/05/21 | | BNP Paribas | | GBP Custom Equity Basket(b) | | | 1.21 | % | | Monthly | | | — | | | | (51,361 | ) |
USD | | | 8,431,464 | | | 10/19/20 | | Citigroup | | Citi Commodities Term Structure Alpha II Light Energy Capped(c) | | | 0.40 | % | | At Maturity | | | — | | | | 232,240 | |
USD | | | 887,638 | | | 11/20/20 | | Citigroup | | Citi Commodities Term Structure Alpha II Light Energy Capped(c) | | | 0.40 | % | | At Maturity | | | — | | | | (27,630 | ) |
USD | | | 5,860,432 | | | 11/20/20 | | Citigroup | | Citi Pure Estimates Momentum US Long-Short TR Index(b) | | | 0.95 | % | | At Maturity | | | — | | | | (29,838 | ) |
Credit Suisse Multialternative Strategy Fund Consolidated Schedule of Investments (continued) January 31, 2020 (unaudited) |
Total Return Swap Contracts(continued) | | | | | | | | | | | | |
Currency | | Notional Amount | | | Expiration Date | | Counterparty | | Receive | | Pay | | Periodic Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Net Unrealized Appreciation (Depreciation) | |
USD | | $ | 190,748 | | | 04/17/2020 | | Goldman Sachs | | Advanced Disposal Services, Inc. | | 2.09% | | Monthly | | $ | — | | | $ | — | |
USD | | | 300,240 | | | 04/24/2020 | | Goldman Sachs | | Advanced Disposal Services, Inc. | | 2.09% | | Monthly | | | — | | | | — | |
GBP | | | 366,729 | | | 07/24/2020 | | Goldman Sachs | | EI Group PLC
| | 1.16% | | Monthly | | | — | | | | — | |
CAD | | | 559,472 | | | 11/27/20 | | Goldman Sachs | | Detour Gold Corp. | | 2.39% | | Monthly | | | — | | | | (33,077 | ) |
CAD | | | 556,186 | | | 11/27/20 | | Goldman Sachs | | 1.59% | | Kirkland Lake Gold Ltd. | | Monthly | | | — | | | | 32,699 | |
USD | | | 455,244 | | | 12/04/20 | | Goldman Sachs | | Bloomberg Precious Metals Index | | 0.11% | | At Maturity | | | — | | | | 36,899 | |
USD | | | 274,528 | | | 12/04/20 | | Goldman Sachs | | (0.06)% | | Bloomberg Energy Index | | At Maturity | | | — | | | | 29,122 | |
USD | | | 264,204 | | | 12/04/20 | | Goldman Sachs | | Bloomberg Agriculture Index | | 0.17% | | At Maturity | | | — | | | | (11,659 | ) |
USD | | | 452,834 | | | 12/04/20 | | Goldman Sachs | | (0.07)% | | Bloomberg Industrial Metals Index | | At Maturity | | | — | | | | 6,482 | |
USD | | | 500,000 | | | 12/21/20 | | Goldman Sachs | | iBoxx $ Liquid High Yield Index | | 1.91% | | Quarterly | | | (769 | ) | | | (6,627 | ) |
USD | | | 4,416,008 | | | 01/05/21 | | Goldman Sachs | | US Equity Buyback Basket(c) | | 2.06% | | Monthly | | | — | | | | (209,623 | ) |
EUR | | | 585,176 | | | 01/22/21 | | Goldman Sachs | | 1.00% | | Altran Technologies SA | | Monthly | | | — | | | | (9,710 | ) |
USD | | | 505,863 | | | 05/15/20 | | Goldman Sachs | | Zayo Group Holdings, Inc. | | 2.09% | | Monthly | | | — | | | | 1,314 | |
USD | | | 491,958 | | | 06/05/20 | | Goldman Sachs | | EL Paso Electric Co. | | 2.09% | | Monthly | | | — | | | | 1,014 | |
USD | | | 237,317 | | | 06/05/20 | | Goldman Sachs | | Cypress Semiconductor Corp. | | 2.09% | | Monthly | | | — | | | | (1,917 | ) |
USD | | | 589,824 | | | 06/12/20 | | Goldman Sachs | | 1.34% | | United Technologies Corp. | | Monthly | | | — | | | | 13,356 | |
USD | | | 374,059 | | | 06/12/20 | | Goldman Sachs | | Raytheon Co. | | 2.09% | | Monthly | | | — | | | | (10,834 | ) |
USD | | | 15,100,000 | | | 06/22/20 | | Goldman Sachs | | iBoxx $ Liquid High Yield Index | | 1.91% | | Quarterly | | | 334 | | | | 247,191 | |
USD | | | 229,735 | | | 07/17/20 | | Goldman Sachs | | Acacia Communications, Inc. | | 2.09% | | Monthly | | | — | | | | 1,484 | |
USD | | | 294,689 | | | 10/16/20 | | Goldman Sachs | | RA Pharmaceuticals, Inc. | | 2.03% | | Monthly | | | — | | | | (251 | ) |
GBP | | | 572,879 | | | 10/16/20 | | Goldman Sachs | | Sophos Group PLC | | 1.10% | | Monthly | | | — | | | | (617 | ) |
CAD | | | 323,525 | | | 10/23/20 | | Goldman Sachs | | Hudson's Bay Co. | | 2.41% | | Monthly | | | — | | | | 2,635 | |
USD | | | 511,860 | | | 10/30/20 | | Goldman Sachs | | Liberty Property Trust | | 2.03% | | Monthly | | | — | | | | 22,607 | |
USD | | | 512,692 | | | 10/30/20 | | Goldman Sachs | | 1.28% | | Prologis, Inc. | | Monthly | | | — | | | | (22,111 | ) |
USD | | | 473,776 | | | 11/06/20 | | Goldman Sachs | | 1.34% | | Digital Realty Trust, Inc. | | Monthly | | | — | | | | (16,462 | ) |
USD | | | 295,642 | | | 11/06/20 | | Goldman Sachs | | Wright Medical Group NV | | 2.07% | | Monthly | | | — | | | | (3,585 | ) |
USD | | | 475,847 | | | 11/06/20 | | Goldman Sachs | | Interxion Holding NV | | 2.07% | | Monthly | | | — | | | | 15,002 | |
USD | | | 99,460 | | | 11/20/20 | | Goldman Sachs | | Carolina Financial Corp. | | 2.03% | | Monthly | | | — | | | | (9,606 | ) |
Credit Suisse Multialternative Strategy Fund Consolidated Schedule of Investments (continued) January 31, 2020 (unaudited) |
Total Return Swap Contracts(continued) | | | | | | | | | | | | | | |
Currency | | | Notional Amount | | | Expiration Date | | Counterparty | | Receive | | Pay | | Periodic Payment Frequency | | | Upfront Premiums Paid/ (Received) | | | | Net Unrealized Appreciation (Depreciation) | |
USD | | $ | 302,625 | | | 11/20/20 | | Goldman Sachs | | KEMET Corp. | | 2.03% | | Monthly | | $ | — | | | $ | (9,675 | ) |
USD | | | 100,639 | | | 11/20/20 | | Goldman Sachs | | 1.28% | | United Bankshares, Inc. | | Monthly | | | — | | | | 9,847 | |
USD | | | 297,691 | | | 11/20/20 | | Goldman Sachs | | Continental Building Product, Inc. | | 2.03% | | Monthly | | | — | | | | 3,666 | |
USD | | | 4,375,956 | | | 11/20/20 | | Goldman Sachs | | Goldman Sachs RP 111 Long Short Series SR Excess Return Strategy(c) | | (0.60)% | | At Maturity | | | — | | | | (557,095 | ) |
USD | | | 1,234,422 | | | 11/20/20 | | Goldman Sachs | | Goldman Sachs RP 113 Long Short Series SR Excess Return Strategy(c) | | (0.60)% | | At Maturity | | | — | | | | (35,386 | ) |
USD | | | 2,327,109 | | | 11/20/20 | | Goldman Sachs | | Goldman Sachs RP 109 Long Short Series SR Excess Return Strategy(c) | | (0.60)% | | At Maturity | | | — | | | | 41,918 | |
USD | | | 5,016,295 | | | 11/20/20 | | Goldman Sachs | | Goldman Sachs RP 110 Long Short Series SR Excess Return Strategy(c) | | (0.60)% | | At Maturity | | | — | | | | 24,695 | |
EUR | | | 1,157,292 | | | 12/07/20 | | Goldman Sachs | | Osram Licht AG | | 1.00% | | Monthly | | | — | | | | 3,386 | |
USD | | | 15,000,000 | | | 03/20/20 | | JPMorgan Chase | | 1.91% | | iBoxx $ Liquid High Yield Index | | Quarterly | | | 9,540 | | | | 65,558 | |
USD | | | 204,597 | | | 04/13/20 | | JPMorgan Chase | | Mellanox Technologies Ltd. | | 2.06% | | Monthly | | | — | | | | 5,527 | |
USD | | | 4,000,000 | | | 04/22/20 | | JPMorgan Chase | | J.P. Morgan EMBI Global Core(c) | | 2.35% | | Quarterly | | | — | | | | 25,026 | |
USD | | | 242,150 | | | 05/26/20 | | JPMorgan Chase | | Mellanox Technologies Ltd. | | 2.11% | | Monthly | | | — | | | | 6,541 | |
USD | | | 1,800,000 | | | 06/22/20 | | JPMorgan Chase | | iBoxx $ Liquid High Yield Index | | 1.91% | | Quarterly | | | (6,791 | ) | | | 35,068 | |
USD | | | 3,830,706 | | | 10/30/20 | | JPMorgan Chase | | J.P. Morgan Divimont Bespoke(c) | | 0.10% | | Monthly | | | — | | | | (9,894 | ) |
USD | | | 982,361 | | | 10/30/20 | | JPMorgan Chase | | J.P. Morgan Helix 3 Index(c) | | 0.60% | | Monthly | | | — | | | | 9,205 | |
USD | | | 3,253,260 | | | 11/20/20 | | JPMorgan Chase | | J.P. Morgan Helix 3 Index(c) | | 0.60% | | Monthly | | | — | | | | 30,485 | |
USD | | | 699,420 | | | 11/20/20 | | JPMorgan Chase | | J.P. Morgan Divimont Bespoke(c) | | 0.10% | | Monthly | | | — | | | | (1,806 | ) |
USD | | | 1,397,621 | | | 11/20/20 | | JPMorgan Chase | | J.P. Morgan Helix 3 Index(c) | | 0.60% | | Monthly | | | — | | | | 13,108 | |
USD | | | 256,776 | | | 12/07/20 | | JPMorgan Chase | | Fitbit, Inc. | | 2.09% | | Monthly | | | — | | | | 790 | |
USD | | | 456,101 | | | 12/28/20 | | JPMorgan Chase | | TD Ameritrade Holding Corp. | | 2.06% | | Monthly | | | — | | | | (19,142 | ) |
EUR | | | 527,621 | | | 12/28/20 | | JPMorgan Chase | | TLG Immobilien AG | | 1.00% | | Monthly | | | — | | | | 43,088 | |
USD | | | 472,122 | | | 12/28/20 | | JPMorgan Chase | | 1.26% | | The Charles Schwab Corp. | | Monthly | | | — | | | | 17,852 | |
EUR | | | 529,454 | | | 12/28/20 | | JPMorgan Chase | | 1.00% | | Aroundtown SA | | Monthly | | | — | | | | (37,098 | ) |
Credit Suisse Multialternative Strategy Fund Consolidated Schedule of Investments (continued) January 31, 2020 (unaudited) |
Total Return Swap Contracts(continued) | | | | | | | | | | | | | | |
Currency | | | Notional Amount | | | Expiration Date | | Counterparty | | Receive | | Pay | | Periodic Payment Frequency | | | Upfront Premiums Paid/ (Received) | | | | Net Unrealized Appreciation (Depreciation) | |
CAD | | $ | 99,157 | | | 01/04/21 | | JPMorgan Chase | | Continental Gold, Inc. | | 2.53% | | Monthly | | $ | — | | | $ | 1,841 | |
USD | | | 492,501 | | | 01/04/21 | | JPMorgan Chase | | Tech Data Corp. | | 2.10% | | Monthly | | | — | | | | 205 | |
USD | | | 95,847 | | | 01/26/21 | | JPMorgan Chase | | 1.26% | | Xperi Corp. | | Monthly | | | — | | | | 10,313 | |
USD | | | 95,984 | | | 01/26/21 | | JPMorgan Chase | | Tivo Corp. | | 1.25% | | Monthly | | | — | | | | (10,925 | ) |
EUR | | | 445,660 | | | 01/27/21 | | JPMorgan Chase | | Peugeot SA | | 1.00% | | Monthly | | | — | | | | (49,860 | ) |
USD | | | 477,862 | | | 01/27/21 | | JPMorgan Chase | | 1.26% | | Fiat Chrysler Automobiles NV | | Monthly | | | — | | | | 47,290 | |
USD | | | 10,331,935 | | | 01/29/21 | | JPMorgan Chase | | J.P. Morgan Helix 3 Index(c) | | 0.60% | | Monthly | | | — | | | | 78,868 | |
USD | | | 14,920,737 | | | 01/29/21 | | JPMorgan Chase | | J.P. Morgan Seasonal Spreads Portfolio Commodity Index(c) | | 0.60% | | Monthly | | | — | | | | 10,850 | |
USD | | | 1,569,835 | | | 10/30/20 | | Macquarie Bank Ltd. | | Macquarie Commodity Volatility Basket 2(b) | | 0.10% | | At Maturity | | | — | | | | (2,546 | ) |
USD | | | 1,177,919 | | | 11/20/20 | | Macquarie Bank Ltd. | | Macquarie Commodity Volatility Basket 2(b) | | 0.10% | | At Maturity | | | — | | | | (18,204 | ) |
USD | | | 1,500,000 | | | 12/21/20 | | Morgan Stanley & Co. | | iBoxx $ Liquid High Yield Index | | 1.91% | | Quarterly | | | (1,193 | ) | | | (15,050 | ) |
USD | | | 19,819,217 | | | 11/20/20 | | Societe Generale | | SG US Trend Index(a) | | 0.30% | | At Maturity | | | — | | | | 83,476 | |
USD | | | 19,324,641 | | | 11/20/20 | | Societe Generale | | SGI Commodity Dynamic Alpha VT6 Index(c) | | 1.20% | | At Maturity | | | — | | | | 410,278 | |
| | | | | | | | | | | | | | | | | | | | $ | 640,706 | |
(a) The index intends to provide exposure to the S&P 500 index.
(b) The index constituents are available on the Fund’s website.
(c) The index constituents are available on the counterparty’s website.
Currency Abbreviations: |
|
AUD = Australian Dollar |
CAD = Canadian Dollar |
CHF = Swiss Franc |
DKK = Danish Krone |
EUR = Euro |
GBP = British Pound |
HKD = Hong Kong Dollar |
JPY = Japanese Yen |
USD = United States Dollar |
|
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 affected 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. 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. 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 theFund 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.
TheFund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
Generally accepted accounting principles in the United States of America (“GAAP”) established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at each measurement date. These inputs are summarized in the three broad levels listed below:
| · | Level 1—quoted prices in active markets for identical investments |
| · | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| · | Level 3—significant unobservable inputs (including theFund’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 January 31, 2020 in valuing theFund’s assets and liabilities carried at fair value:
Assets | | Level 1 | | | | Level 2 | | | Level 3 | | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Exchange-Traded Fund | | $ | 727,951 | | | $ | — | | | $ | — | | | $ | 727,951 | |
United States Treasury Obligations | | | — | | | | 13,831,593 | | | | — | | | | 13,831,593 | |
Short-term Investment | | | — | | | | 54,400 | | | | — | | | | 54,400 | |
| | $ | 727,951 | | | $ | 13,885,993 | | | $ | — | | | $ | 14,613,944 | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 9,043 | | | $ | — | | | $ | 9,043 | |
Futures Contracts | | | 502,991 | | | | — | | | | — | | | | 502,991 | |
Swap Contracts** | | | — | | | | 1,967,775 | | | | — | | | | 1,967,775 | |
Liabilities | | Level 1 | | | | Level 2 | | | Level 3 | | | | Total | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 42,320 | | | $ | — | | | $ | 42,320 | |
Futures Contracts | | | 619,197 | | | | — | | | | — | | | | 619,197 | |
Swap Contracts** | | | — | | | | 1,327,069 | | | | — | | | | 1,327,069 | |
| * | Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts, futures and swap contracts. |
| ** | Value includes any premium paid or received with respect to swap contracts, if applicable. |
During the period ended January 31, 2020, there were no transfers between Level 2 and Level 3.All transfers, if any, are assumed to occur at the end of the reporting period.
Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Fund's website at www.credit-suisse.com/us/funds, as well as on the website of the Securities and Exchange Commission at www.sec.gov.
Credit Suisse Floating Rate High Income Fund
Schedule of Investments
January 31, 2020 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
BANK LOANS(81.1%) | | | | | | | | | | | | |
Advertising (1.0%) | | | | | | | | | | | | |
$ | 8,685 | | | Clear Channel Outdoor Holdings, Inc., LIBOR 1M + 3.500%(1) | | (B+, B1) | | 08/21/26 | | | 5.145 | | | $ | 8,732,321 | |
| 4,357 | | | MH Sub I LLC, LIBOR 1M + 3.750%(1) | | (B, B2) | | 09/13/24 | | | 5.395 | | | | 4,364,337 | |
| 5,980 | | | MH Sub I LLC, LIBOR 1M + 7.500%(1) | | (CCC+, Caa2) | | 09/15/25 | | | 9.145 | | | | 6,000,571 | |
| 4,000 | | | Southern Graphics, Inc., LIBOR 1M + 3.250%(1) | | (CCC+, B3) | | 12/31/22 | | | 4.895 | | | | 2,516,580 | |
| 6,000 | | | Southern Graphics, Inc., LIBOR 1M + 7.500%(1),(2) | | (CCC-, Caa3) | | 12/31/23 | | | 9.145 | | | | 1,656,000 | |
| | | | | | | | | | | | | | | 23,269,809 | |
Aerospace & Defense(0.7%) | | | | | | | | | | | | |
| 2,925 | | | Fly Funding II S.a.r.l., LIBOR 3M + 1.750%(1) | | (BBB-, Ba2) | | 08/09/25 | | | 3.650 | | | | 2,935,500 | |
| 8,058 | | | Sequa Mezzanine Holdings LLC, LIBOR 3M + 5.000%(1) | | (CCC+, B3) | | 11/28/21 | | | 6.904 | | | | 8,100,082 | |
| 5,223 | | | TransDigm, Inc., LIBOR 1M + 2.500%(1) | | (B+, Ba3) | | 08/22/24 | | | 4.145 | | | | 5,229,879 | |
| | | | | | | | | | | | | | | 16,265,461 | |
Air Transportation(0.6%) | | | | | | | | | | | | |
| 1,908 | | | American Airlines, Inc., LIBOR 1M + 2.000%(1) | | (BB+, Ba1) | | 01/29/27 | | | 3.329 | | | | 1,887,431 | |
| 12,603 | | | American Airlines, Inc., LIBOR 3M + 2.000%(1) | | (BB+, Ba1) | | 12/14/23 | | | 3.676 | | | | 12,611,537 | |
| | | | | | | | | | | | | | | 14,498,968 | |
Auto Parts & Equipment(2.7%) | | | | | | | | | | | | |
| 9,399 | | | American Axle & Manufacturing, Inc., LIBOR 1M + 2.250%(1) | | (BB, Ba2) | | 04/06/24 | | | 3.920 | | | | 9,393,279 | |
| 2,955 | | | Autokiniton U.S. Holdings, Inc., LIBOR 1M + 6.375%(1),(3) | | (BB-, B2) | | 05/22/25 | | | 8.020 | | | | 2,962,388 | |
| 20,975 | | | CS Intermediate Holdco 2 LLC, LIBOR 1M + 2.000%(1) | | (BB, Ba3) | | 11/02/23 | | | 3.650 | | | | 20,177,530 | |
| 9,672 | | | Jason, Inc., LIBOR 3M + 4.500%(1),(2) | | (CCC+, Caa1) | | 06/30/21 | | | 6.445 | | | | 7,822,124 | |
| 8,579 | | | Panther BF Aggregator 2 LP, LIBOR 1M + 3.500%(1) | | (B+, Ba3) | | 04/30/26 | | | 5.160 | | | | 8,644,983 | |
| 12,910 | | | U.S. Farathane LLC, LIBOR 1M + 3.500%(1),(3) | | (B+, B3) | | 12/23/21 | | | 5.145 | | | | 12,393,582 | |
| | | | | | | | | | | | | | | 61,393,886 | |
Automakers(0.8%) | | | | | | | | | | | | |
| 12,104 | | | TI Group Automotive Systems LLC, EURIBOR 3M + 2.750%(1),(5) | | (BB-, B1) | | 06/30/22 | | | 3.500 | | | | 13,552,162 | |
| 3,811 | | | TI Group Automotive Systems LLC, LIBOR 1M + 2.500%(1) | | (BB-, B1) | | 06/30/22 | | | 4.145 | | | | 3,828,984 | |
| | | | | | | | | | | | | | | 17,381,146 | |
Banking(0.3%) | | | | | | | | | | | | |
| 6,792 | | | Citco Funding LLC, LIBOR 1M + 2.500%(1) | | (NR, Ba3) | | 09/28/23 | | | 4.145 | | | | 6,800,415 | |
| | | | | | | | | | | | | | | | |
Building & Construction(0.2%) | | | | | | | | | | | | |
| 4,223 | | | SiteOne Landscape Supply, Inc., LIBOR 1M + 2.750%(1) | | (BB, B2) | | 10/29/24 | | | 4.400 | | | | 4,251,827 | |
| | | | | | | | | | | | | | | | |
Building Materials(3.7%) | | | | | | | | | | | | |
| 3,940 | | | Airxcel, Inc., LIBOR 1M + 4.500%(1) | | (B, B3) | | 04/28/25 | | | 6.145 | | | | 3,883,106 | |
| 1,775 | | | Airxcel, Inc., LIBOR 1M + 8.750%(1),(2) | | (CCC+, Caa2) | | 04/27/26 | | | 10.395 | | | | 1,600,464 | |
| 13,516 | | | American Builders & Contractors Supply Co., Inc., LIBOR 1M + 2.000%(1) | | (BB+, B1) | | 01/15/27 | | | 3.645 | | | | 13,552,686 | |
| 7,236 | | | Floor & Decor Outlets of America, Inc., LIBOR 1M + 2.500%(1),(3) | | (BB-, Ba2) | | 09/30/23 | | | 4.150 | | | | 7,254,156 | |
| 8,000 | | | Installed Building Products, Inc., LIBOR 3M + 2.250%(1) | | (BB+, Ba3) | | 04/15/25 | | | 3.919 | | | | 8,034,000 | |
| 1,953 | | | NCI Building Systems, Inc., LIBOR 1M + 3.750%(1) | | (B+, B2) | | 04/12/25 | | | 5.434 | | | | 1,953,896 | |
| 15,670 | | | Priso Acquisition Corp., LIBOR 3M + 3.000%(1) | | (B+, B2) | | 05/08/22 | | | 4.908 | | | | 15,513,181 | |
| 15,546 | | | Summit Materials Cos. I LLC, LIBOR 1M + 2.000%(1) | | (BBB-, Ba2) | | 11/21/24 | | | 3.645 | | | | 15,637,566 | |
| 14,660 | | | Wilsonart LLC, LIBOR 3M + 3.250%(1) | | (B+, B2) | | 12/19/23 | | | 5.200 | | | | 14,672,100 | |
| | | | | | | | | | | | | | | 82,101,155 | |
Cable & Satellite TV(1.4%) | | | | | | | | | | | | |
| | | | | | | | | | | | |
| 4,647 | | | Charter Communications Operating, LLC, LIBOR 1M +1.750%(1) | | (BBB-, Ba1) | | 04/30/25 | | | 3.400 | | | | 4,678,151 | |
| 3,752 | | | Charter Communications Operating, LLC, LIBOR 1M +1.750%(1) | | (BBB-, Ba1) | | 02/01/27 | | | 3.400 | | | | 3,772,660 | |
| 15,348 | | | CSC Holdings LLC, LIBOR 1M + 2.250%(1) | | (BB, Ba3) | | 07/17/25 | | | 3.926 | | | | 15,405,298 | |
| 7,000 | | | Ziggo B.V., EURIBOR 3M + 3.000%(1),(5) | | (B+, B1) | | 01/31/29 | | | 3.000 | | | | 7,777,144 | |
| | | | | | | | | | | | | | | 31,633,253 | |
Chemicals(7.9%) | | | | | | | | | | | | |
| | | | | | | | | | | | |
| 5,221 | | | Allnex (Luxembourg) & Cy S.C.A., EURIBOR 3M + 3.250%(1),(5) | | (B, B2) | | 09/13/23 | | | 3.250 | | | | 5,739,753 | |
| 1,834 | | | Allnex (Luxembourg) & Cy S.C.A., LIBOR 3M + 3.250%(1) | | (B, B2) | | 09/13/23 | | | 5.164 | | | | 1,822,417 | |
| 1,382 | | | Allnex U.S.A., Inc., LIBOR 3M + 3.250%(1) | | (B, B2) | | 09/13/23 | | | 5.164 | | | | 1,373,003 | |
| 18,432 | | | Alpha 3 B.V., LIBOR 3M + 3.000%(1) | | (B, B1) | | 01/31/24 | | | 4.945 | | | | 18,485,947 | |
| 9,214 | | | Ascend Performance Materials Operations LLC, LIBOR 3M + 5.250%(1) | | (BB-, B1) | | 08/27/26 | | | 7.195 | | | | 9,282,853 | |
| 2,571 | | | ASP Chromaflo Dutch I B.V., LIBOR 1M + 3.500%(1) | | (B, B2) | | 11/20/23 | | | 5.145 | | | | 2,486,288 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
BANK LOANS(continued) | | | | | | | | | | | | |
Chemicals | | | | | | | | | | | | |
$ | 1,523 | | | ASP Chromaflo Intermediate Holdings, Inc., LIBOR 1M + 8.000%(1),(2),(3) | | (CCC, Caa2) | | 11/18/24 | | | 9.645 | | | $ | 1,470,117 | |
| 1,978 | | | ASP Chromaflo Intermediate Holdings, Inc., LIBOR 1M + 3.500%(1) | | (B, B2) | | 11/20/23 | | | 5.145 | | | | 1,912,059 | |
| 11,583 | | | Axalta Coating Systems U.S. Holdings, Inc., LIBOR 3M + 1.750%(1) | | (BBB-, Ba1) | | 06/01/24 | | | 3.695 | | | | 11,597,693 | |
| 7,286 | | | CTC AcquiCo GmbH, EURIBOR 3M + 2.500%(1),(5) | | (B, B2) | | 03/07/25 | | | 2.500 | | | | 8,001,389 | |
| 2,640 | | | Ferro Corp., LIBOR 3M + 2.250%(1) | | (BB-, Ba3) | | 02/14/24 | | | 4.195 | | | | 2,648,440 | |
| 2,583 | | | Ferro Corp., LIBOR 3M + 2.250%(1) | | (BB-, Ba3) | | 02/14/24 | | | 4.195 | | | | 2,592,090 | |
| 1,920 | | | Flint Group GmbH, EURIBOR 3M + 3.000%(1),(5) | | (CCC+, Caa1) | | 09/07/21 | | | 3.750 | | | | 1,915,555 | |
| 555 | | | Flint Group GmbH, LIBOR 3M + 3.000%(1) | | (CCC+, Caa1) | | 09/07/21 | | | 4.801 | | | | 491,974 | |
| 3,360 | | | Flint Group U.S. LLC, LIBOR 3M + 3.000%(1) | | (CCC+, Caa1) | | 09/07/21 | | | 4.801 | | | | 2,976,041 | |
| 9,773 | | | Gemini HDPE LLC, LIBOR 3M + 2.500%(1) | | (BB, Ba2) | | 08/07/24 | | | 4.280 | | | | 9,846,573 | |
| 8,921 | | | PMHC II, Inc., LIBOR 3M + 3.500%(1) | | (CCC+, Caa1) | | 03/31/25 | | | 5.445 | | | | 8,168,520 | |
| 2,907 | | | PMHC II, Inc., LIBOR 3M + 7.750%(1) | | (CCC, Caa3) | | 03/30/26 | | | 9.933 | | | | 2,524,383 | |
| 10,737 | | | Polar U.S. Borrower LLC, LIBOR 3M + 4.750%(1),(3) | | (B, B2) | | 10/15/25 | | | 6.625 | | | | 10,696,663 | |
| 6,367 | | | PQ Corp., LIBOR 3M + 2.500%(1) | | (BB-, B1) | | 02/08/25 | | | 4.277 | | | | 6,385,923 | |
| 3,162 | | | Ravago Holdings America, Inc., LIBOR 1M + 2.750%(1) | | (BB-, B2) | | 07/13/23 | | | 4.400 | | | | 3,175,349 | |
| 5,546 | | | Solenis Holdings LLC, LIBOR 3M + 4.000%(1) | | (B-, B3) | | 06/26/25 | | | 5.909 | | | | 5,523,018 | |
| 16,330 | | | Starfruit Finco B.V, LIBOR 1M + 3.250%(1) | | (B+, B1) | | 10/01/25 | | | 4.699 | | | | 16,362,038 | |
| 8,389 | | | Tronox Finance LLC, LIBOR 1M + 3.000%(1) | | (BB-, Ba3) | | 09/23/24 | | | 4.519 | | | | 8,407,072 | |
| 3,160 | | | Univar, Inc., LIBOR 1M + 2.250%(1) | | (BB+, Ba3) | | 07/01/24 | | | 3.895 | | | | 3,174,289 | |
| 22,458 | | | UTEX Industries, Inc., LIBOR 1M + 4.000%(1) | | (CCC, Caa1) | | 05/22/21 | | | 5.645 | | | | 19,276,364 | |
| 3,978 | | | Vantage Specialty Chemicals, Inc., LIBOR 3M + 8.250%(1),(2),(3) | | (CCC, Caa2) | | 10/27/25 | | | 10.159 | | | | 3,476,012 | |
| 7,114 | | | Zep, Inc., LIBOR 3M + 4.000%(1) | | (CCC+, Caa1) | | 08/12/24 | | | 5.945 | | | | 5,648,556 | |
| 2,250 | | | Zep, Inc., LIBOR 3M + 8.250%(1),(2) | | (CCC-, Ca) | | 08/11/25 | | | 10.195 | | | | 1,113,750 | |
| | | | | | | | | | | | | | | 176,574,129 | |
Diversified Capital Goods(1.2%) | | | | | | | | | | | | |
| 3,177 | | | Callaway Golf Co., LIBOR 1M + 4.500%(1) | | (BB-, Ba3) | | 01/02/26 | | | 6.184 | | | | 3,197,109 | |
| 14,483 | | | Cortes NP Acquisition Corp., LIBOR 1M + 4.000%(1) | | (B+, B2) | | 11/30/23 | | | 5.645 | | | | 14,491,805 | |
| 3,410 | | | Dynacast International LLC, LIBOR 3M + 3.250%(1),(3) | | (B-, B2) | | 01/28/22 | | | 5.195 | | | | 3,325,224 | |
| 3,940 | | | Electrical Components International, Inc., LIBOR 3M + 4.250%(1) | | (B-, B2) | | 06/26/25 | | | 6.195 | | | | 3,733,150 | |
| 2,778 | | | Filtration Group Corp., LIBOR 1M + 3.000%(1) | | (B, B2) | | 03/29/25 | | | 4.645 | | | | 2,795,091 | |
| | | | | | | | | | | | | | | 27,542,379 | |
Electric - Generation (0.6%) | | | | | | | | | | | | |
| 12,468 | | | Brookfield WEC Holdings, Inc., LIBOR 1M + 3.000%(1) | | (B, B2) | | 08/01/25 | | | 4.645 | | | | 12,514,767 | |
| | | | | | | | | | | | | | | | |
Electronics (3.6%) | | | | | | | | | | | | |
| 4,205 | | | Brooks Automation, Inc., LIBOR 3M + 2.500%(1) | | (BB-, Ba3) | | 10/04/24 | | | 4.460 | | | | 4,217,905 | |
| 2,450 | | | EXC Holdings III Corp., LIBOR 3M + 3.500%(1) | | (B-, B2) | | 12/02/24 | | | 5.445 | | | | 2,453,834 | |
| 21,075 | | | MACOM Technology Solutions Holdings, Inc., LIBOR 1M + 2.250%(1) | | (B-, B3) | | 05/17/24 | | | 3.895 | | | | 20,495,024 | |
| 14,609 | | | Microchip Technology, Inc., LIBOR 1M + 2.000%(1) | | (BB+, Baa3) | | 05/29/25 | | | 3.650 | | | | 14,685,370 | |
| 13,745 | | | Oberthur Technologies S.A., LIBOR 3M + 3.750%(1) | | (B-, B3) | | 01/10/24 | | | 5.695 | | | | 13,583,727 | |
| 7,000 | | | Oberthur Technologies S.A., EURIBOR 3M + 3.750%(1),(5) | | (B-, B3) | | 01/10/24 | | | 3.750 | | | | 7,714,193 | |
| 17,215 | | | Tempo Acquisition LLC, LIBOR 1M + 3.000%(1) | | (B, B1) | | 05/01/24 | | | 4.395 | | | | 17,284,910 | |
| | | | | | | | | | | | | | | 80,434,963 | |
Energy - Exploration & Production (1.0%) | | | | | | | | | | | | |
| 2,734 | | | Lower Cadence Holdings LLC, LIBOR 1M + 4.000%(1) | | (B, B2) | | 05/22/26 | | | 5.645 | | | | 2,678,079 | |
| 5,474 | | | PES Holdings LLC, Prime + 7.250%(1),(6) | | (NR, NR) | | 12/31/22 | | | 12.000 | | | | 5,288,848 | |
| 14,806 | | | PES Holdings LLC, LIBOR 3M + 6.990%(1),(6) | | (NR, NR) | | 12/31/22 | | | 6.990 | | | | 6,150,537 | |
| 1,163 | | | PES Holdings LLC, LIBOR 3M + 3.000%(1),(7) | | (NR, NR) | | 04/30/20 | | | 3.000 | | | | 1,307,813 | |
| 2,438 | | | PES Holdings LLC, LIBOR 2M + 14.000%(1),(3) | | (NR, NR) | | 04/30/20 | | | 15.961 | | | | 2,742,187 | |
| 4,037 | | | PES Holdings LLC, Prime + 9.000%(1),(2),(3),(6),(12) | | (NR, NR) | | 12/31/22 | | | 13.750 | | | | 3,734,085 | |
| | | | | | | | | | | | | | | 21,901,549 | |
Environmental (0.6%) | | | | | | | | | | | | |
| 12,733 | | | GFL Environmental, Inc., LIBOR 1M + 3.000%(1) | | (B+, B1) | | 05/30/25 | | | 4.645 | | | | 12,721,762 | |
| | | | | | | | | | | | | | | | |
Food & Drug Retailers (0.2%) | | | | | | | | | | | | |
| 2,999 | | | L1R HB Finance Limited  , EURIBOR 3M + 4.250%(1),(5) | | (B-, B3) | | 09/02/24 | | | 4.250 | | | | 2,345,176 | |
| 2,999 | | | L1R HB Finance Limited  , LIBOR 3M + 5.250%(1),(8) | | (B-, B3) | | 09/02/24 | | | 6.050 | | | | 2,784,908 | |
| | | | | | | | | | | | | | | 5,130,084 | |
| | | | | | | | | | | | | | | | |
Food - Wholesale (1.1%) | | | | | | | | | | | | |
| 1,980 | | | AI Aqua Merger Sub, Inc., LIBOR 1M + 3.250%(1) | | (B-, B2) | | 12/13/23 | | | 4.895 | | | | 1,973,821 | |
| 2,970 | | | AI Aqua Merger Sub, Inc., LIBOR 1M + 3.250%(1) | | (B-, B2) | | 12/13/23 | | | 4.895 | | | | 2,958,484 | |
| 2,777 | | | AI Aqua Merger Sub, Inc., LIBOR 3M + 4.250%(1),(3) | | (B-, B2) | | 12/13/23 | | | 6.159 | | | | 2,784,325 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
BANK LOANS (continued) |
Food - Wholesale |
$ | 2,148 | | | U.S. Foods, Inc., LIBOR 1M + 2.000%(1) | | (BB+, Ba3) | | 09/13/26 | | | 3.645 | | | $ | 2,160,053 | |
| 11,952 | | | United Natural Foods, Inc., LIBOR 1M + 4.250%(1) | | (B, B3) | | 10/22/25 | | | 5.895 | | | | 10,751,311 | |
| 5,000 | | | Zara UK Midco Ltd., EURIBOR 6M + 5.750%(1),(2),(5) | | (B, B2) | | 01/31/25 | | | 5.750 | | | | 4,968,450 | |
| | | | | | | | | | | | | | | 25,596,444 | |
Gaming (3.1%) |
| 13,632 | | | Caesars Resort Collection LLC, LIBOR 1M + 2.750%(1) | | (BB, Ba3) | | 12/23/24 | | | 4.395 | | | | 13,643,292 | |
| 7,426 | | | CBAC Borrower LLC, LIBOR 1M + 4.000%(1) | | (B-, B3) | | 07/08/24 | | | 5.645 | | | | 7,221,557 | |
| 6,156 | | | Eldorado Resorts LLC, LIBOR 1M + 2.250%(1) | | (BB, Ba1) | | 04/17/24 | | | 3.938 | | | | 6,159,588 | |
| 5,887 | | | Gateway Casinos & Entertainment Ltd., LIBOR 3M + 3.000%(1) | | (BB-, Ba3) | | 03/13/25 | | | 4.945 | | | | 5,912,177 | |
| 14,677 | | | Golden Nugget, Inc., LIBOR 1M + 2.750%(1) | | (B+, Ba3) | | 10/04/23 | | | 4.401 | | | | 14,733,965 | |
| 15,000 | | | Jackpotjoy PLC, LIBOR 1WK + 5.000%(1),(8) | | (B+, B1) | | 12/06/24 | | | 5.622 | | | | 19,864,456 | |
| 2,741 | | | MGM Growth Properties Operating Partnership LP, LIBOR 1W + 2.000%(1) | | (BB+, Ba3) | | 03/21/25 | | | 3.566 | | | | 2,750,554 | |
| | | | | | | | | | | | | | | 70,285,589 | |
Gas Distribution (0.2%) |
| 4,466 | | | Traverse Midstream Partners LLC, LIBOR 1M + 4.000%(1) | | (B+, B2) | | 09/27/24 | | | 5.650 | | | | 3,979,479 | |
| | | | | | | | | | | | | | | | |
Health Facilities (2.0%) |
| 6,640 | | | DaVita, Inc., LIBOR 1M + 1.500%(1) | | (BBB-, Ba1) | | 08/12/24 | | | 3.145 | | | | 6,619,250 | |
| 11,222 | | | DaVita, Inc., LIBOR 1M + 2.250%(1) | | (BBB-, Ba1) | | 08/12/26 | | | 3.895 | | | | 11,261,657 | |
| 3,588 | | | Radiology Partners Holdings LLC, LIBOR 12M + 4.750%(1) | | (B, B2) | | 07/09/25 | | | 6.661 | | | | 3,602,467 | |
| 5,437 | | | Surgery Center Holdings, Inc., LIBOR 1M + 3.250%(1) | | (B-, B1) | | 09/02/24 | | | 4.900 | | | | 5,429,932 | |
| 2,728 | | | Western Dental Services, Inc., LIBOR 1M + 4.500%(1),(3) | | (B-, B3) | | 06/30/23 | | | 6.145 | | | | 2,735,077 | |
| 14,397 | | | Western Dental Services, Inc., LIBOR 1M + 5.250%(1),(3) | | (B-, B3) | | 06/30/23 | | | 6.895 | | | | 14,433,416 | |
| | | | | | | | | | | | | | | 44,081,799 | |
Health Services (2.0%) |
| 14,606 | | | Athenahealth, Inc., LIBOR 3M + 4.500%(1) | | (B, B2) | | 02/11/26 | | | 6.401 | | | | 14,694,508 | |
| 7,940 | | | Auris Luxembourg III Sarl, LIBOR 1M + 3.750%(1) | | (B+, B2) | | 02/27/26 | | | 5.395 | | | | 7,835,754 | |
| 5,359 | | | Carestream Health, Inc., LIBOR 1M + 6.000%(1) | | (B, B1) | | 02/28/21 | | | 7.645 | | | | 5,285,886 | |
| 14,360 | | | Sotera Health Holdings LLC, LIBOR 1M + 4.500%(1) | | (B, B2) | | 12/11/26 | | | 6.145 | | | | 14,432,123 | |
| 2,974 | | | Valitas Health Services, Inc., LIBOR 3M + 10.000%(1),(3),(4) | | (NR, NR) | | 06/30/20 | | | 11.945 | | | | 2,944,339 | |
| 5,303 | | | Valitas Health Services, Inc., LIBOR 3M + 12.000%(1),(3),(4) | | (NR, NR) | | 06/30/20 | | | 13.945 | | | | 206,804 | |
| | | | | | | | | | | | | | | 45,399,414 | |
Hotels (0.8%) |
| 5,000 | | | Compass III Ltd., EURIBOR 6M + 4.500%(1),(5) | | (B+, B2) | | 05/07/25 | | | 4.500 | | | | 5,554,050 | |
| 3,000 | | | Compass IV Ltd., EURIBOR 6M + 8.000%(1),(5) | | (CCC+, Caa2) | | 04/30/26 | | | 9.000 | | | | 3,294,131 | |
| 3,090 | | | Playa Resorts Holding B.V., LIBOR 1M + 2.750%(1) | | (B+, B2) | | 04/29/24 | | | 4.400 | | | | 3,066,557 | |
| 4,742 | | | RHP Hotel Properties, LP, LIBOR 1M + 2.000%(1) | | (BB, Ba3) | | 05/11/24 | | | 3.650 | | | | 4,772,059 | |
| 2,188 | | | Wyndham Hotels & Resorts, Inc., LIBOR 1M + 1.750%(1) | | (BBB-, Baa3) | | 05/30/25 | | | 3.395 | | | | 2,204,623 | |
| | | | | | | | | | | | | | | 18,891,420 | |
Insurance Brokerage (3.2%) |
| 10,817 | | | Acrisure LLC, LIBOR 3M + 4.250%(1) | | (B, B2) | | 11/22/23 | | | 6.195 | | | | 10,860,258 | |
| 4,668 | | | Acrisure LLC, LIBOR 3M + 3.750%(1) | | (B, B2) | | 11/22/23 | | | 5.695 | | | | 4,685,088 | |
| 13,501 | | | Alliant Holdings Intermediate, LLC, LIBOR 1M + 3.000%(1) | | (B, B2) | | 05/09/25 | | | 4.645 | | | | 13,510,437 | |
| 7,516 | | | AssuredPartners, Inc., LIBOR 1M + 3.500%(1) | | (B, B2) | | 10/22/24 | | | 5.145 | | | | 7,527,213 | |
| 14,918 | | | Hub International Ltd., LIBOR 3M + 3.000%(1) | | (B, B2) | | 04/25/25 | | | 4.551 | | | | 14,901,696 | |
| 7,352 | | | Hyperion Insurance Group Ltd., EURIBOR 1M + 3.500%(1),(5) | | (B, B2) | | 12/20/24 | | | 3.500 | | | | 8,168,370 | |
| 13,379 | | | NFP Corp., LIBOR 1M + 3.000%(1) | | (B, B2) | | 01/08/24 | | | 4.645 | | | | 13,388,852 | |
| | | | | | | | | | | | | | | 73,041,914 | |
Investments & Misc. Financial Services (1.3%) |
| 10,178 | | | Altisource Solutions Sarl, LIBOR 3M + 4.000%(1) | | (B+, B3) | | 04/03/24 | | | 5.945 | | | | 9,650,049 | |
| 19,055 | | | Ditech Holding Corp., Prime + 7.000%(1),(6) | | (NR, NR) | | 06/30/22 | | | 12.000 | | | | 7,907,845 | |
| 1,247 | | | EIG Management Company, LLC, LIBOR 1M + 3.750%(1) | | (BB, Ba2) | | 02/22/25 | | | 5.395 | | | | 1,249,945 | |
| 2,358 | | | FinCo I LLC, LIBOR 1M + 2.000%(1) | | (BB, Baa3) | | 12/27/22 | | | 3.645 | | | | 2,369,814 | |
| 7,171 | | | VFH Parent LLC, LIBOR 1M + 3.500%(1) | | (B+, Ba3) | | 03/01/26 | | | 5.263 | | | | 7,206,606 | |
| | | | | | | | | | | | | | | 28,384,259 | |
Machinery (1.9%) |
| 6,913 | | | Cohu, Inc., LIBOR 1M + 3.000%(1) | | (B, B2) | | 10/01/25 | | | 4.645 | | | | 6,886,578 | |
| 2,325 | | | CPM Holdings, Inc., LIBOR 1M + 3.750%(1) | | (B-, B2) | | 11/17/25 | | | 5.395 | | | | 2,310,124 | |
| 1,977 | | | CPM Holdings, Inc., LIBOR 1M + 8.250%(1),(2) | | (CCC+, Caa2) | | 11/15/26 | | | 9.895 | | | | 1,949,521 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
Par (000) | | | Ratings†(S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
BANK LOANS (continued) | |
Machinery | |
$ | 6,355 | | | Doncasters Finance U.S. LLC, LIBOR 3M + 3.750%(1),(6),(8) | | (D, Caa3) | | | 04/09/20 | | | | 4.750 | | | $ | 7,045,215 | |
| 3,696 | | | LTI Holdings, Inc., LIBOR 1M + 6.750%(1) | | (CCC+, Caa3) | | | 09/06/26 | | | | 8.395 | | | | 3,007,485 | |
| 13,845 | | | LTI Holdings, Inc., LIBOR 1M + 3.500%(1) | | (B-, B3) | | | 09/06/25 | | | | 5.145 | | | | 12,763,198 | |
| 8,323 | | | Welbilt, Inc., LIBOR 1M + 2.500%(1) | | (BB-, B1) | | | 10/23/25 | | | | 4.145 | | | | 8,328,705 | |
| | | | | | | | | | | | | | | | | 42,290,826 | |
Managed Care (0.8%) | | | | |
| 8,676 | | | Inovalon Holdings, Inc., LIBOR 1M + 3.500%(1) | | (B+, B2) | | | 04/02/25 | | | | 5.188 | | | | 8,725,511 | |
| 9,000 | | | MPH Acquisition Holdings LLC, LIBOR 3M + 2.750%(1) | | (B+, B1) | | | 06/07/23 | | | | 4.695 | | | | 8,867,250 | |
| | | | | | | | | | | | | | | | | 17,592,761 | |
Media - Diversified (0.6%) | | | | | | | | | | | |
| 6,191 | | | Diamond Sports Group LLC, LIBOR 1M + 3.250%(1) | | (BB, Ba2) | | | 08/24/26 | | | | 4.910 | | | | 6,198,458 | |
| 2,651 | | | NEP/NCP Holdco, Inc., LIBOR 1M + 3.250%(1) | | (B+, B2) | | | 10/20/25 | | | | 4.895 | | | | 2,608,138 | |
| 5,000 | | | NEP/NCP Holdco, Inc., LIBOR 1M + 7.000%(1) | | (CCC+, Caa2) | | | 10/19/26 | | | | 8.645 | | | | 4,633,350 | |
| | | | | | | | | | | | | | | | | 13,439,946 | |
Media Content (0.6%) | | | | | | | | | | |
| 12,542 | | | WMG Acquisition Corp., LIBOR 1M + 2.125%(1) | | (BB-, Ba3) | | | 11/01/23 | | | | 3.770 | | | | 12,615,619 | |
Medical Products (0.7%) | | | | | | | | | | |
| 15,007 | | | ABB Concise Optical Group LLC, LIBOR 1M + 5.000%(1) | | (CCC+, B3) | | | 06/15/23 | | | | 6.703 | | | | 14,369,410 | |
| 1,871 | | | Avantor, Inc., LIBOR 1M + 3.000%(1) | | (B+, Ba2) | | | 11/21/24 | | | | 3.895 | | | | 1,885,373 | |
| 218 | | | Lifescan Global Corp., LIBOR 3M + 6.000%(1) | | (B, B2) | | | 10/01/24 | | | | 8.056 | | | | 209,488 | |
| | | | | | | | | | | | | | | | | 16,464,271 | |
Metals & Mining - Excluding Steel (0.5%) | | | | | | | | | | |
| 11,753 | | | GrafTech Finance, Inc., LIBOR 1M + 3.500%(1),(3) | | (BB-, B1) | | | 02/12/25 | | | | 5.145 | | | | 11,708,519 | |
| 7,529 | | | Noranda Aluminum Acquisition Corp., Prime + 3.500%(1),(3),(6) | | (NR, NR) | | | 02/28/20 | | | | 8.500 | | | | 451,730 | |
| | | | | | | | | | | | | | | | | 12,160,249 | |
Non - Electric Utilities (0.2%) | | | | | | | | | | |
| 4,747 | | | BCP Raptor LLC, LIBOR 1M + 4.250%(1) | | (B, B3) | | | 06/24/24 | | | | 5.895 | | | | 4,375,828 | |
| | | | | | | | | | | | | | | | | | |
Packaging (1.8%) | | | | | | | | | | | | |
| 3,939 | | | Anchor Glass Container Corp., LIBOR 1M + 2.750% (1) | | (CCC+, B3) | | | 12/07/23 | | | | 4.476 | | | | 2,916,806 | |
| 6,175 | | | Anchor Glass Container Corp., LIBOR 1M + 7.750%(1) | | (CCC-, Caa2) | | | 12/07/24 | | | | 9.464 | | | | 3,245,734 | |
| 13,135 | | | Flex Acquisition Co., Inc., LIBOR 3M + 3.000%(1) | | (B, B2) | | | 12/29/23 | | | | 4.905 | | | | 12,998,612 | |
| 10,000 | | | Klockner-Pentaplast of America, Inc., EURIBOR 3M + 4.750%(1),(5) | | (B-, B3) | | | 06/30/22 | | | | 4.750 | | | | 9,759,809 | |
| 3,749 | | | Proampac PG Borrower LLC, LIBOR 1M + 3.500%(1) | | (B-, B3) | | | 11/20/23 | | | | 5.295 | | | | 3,710,091 | |
| 5,500 | | | Reynolds Group Holdings, Inc., LIBOR 1M + 2.750%(1) | | (B+, B1) | | | 02/05/23 | | | | 4.395 | | | | 5,504,400 | |
| 4,375 | | | Strategic Materials, Inc., LIBOR 3M + 7.750%(1),(2),(3) | | (CCC-, Caa3) | | | 10/27/25 | | | | 9.677 | | | | 2,865,625 | |
| | | | | | | | | | | | | | | | | 41,001,077 | |
Personal & Household Products (1.6%) | | | | | | | | | | |
| 6,893 | | | Comfort Holding LLC, LIBOR 1M + 4.750%(1) | | (CCC+, Caa1) | | | 02/05/24 | | | | 6.395 | | | | 6,863,323 | |
| 3,400 | | | Keter Group B.V., EURIBOR 3M + 4.250%(1),(5) | | (CCC+, Caa1) | | | 10/31/23 | | | | 5.250 | | | | 3,381,673 | |
| 20,384 | | | Serta Simmons Bedding LLC, LIBOR 1M + 3.500%(1) | | (CCC, Caa1) | | | 11/08/23 | | | | 5.167 | | | | 13,427,821 | |
| 6,612 | | | Serta Simmons Bedding LLC, LIBOR 1M + 8.000%(1) | | (CC, Caa3) | | | 11/08/24 | | | | 9.660 | | | | 2,049,858 | |
| 10,192 | | | TricorBraun Holdings, Inc., LIBOR 3M + 3.750%(1) | | (B-, B2) | | | 11/30/23 | | | | 5.693 | | | | 10,177,055 | |
| | | | | | | | | | | | | | | | | 35,899,730 | |
Pharmaceuticals (1.8%) | | | | | | | | | | |
| 3,026 | | | Akorn, Inc., LIBOR 3M + 10.000%(1) | | (B-, Caa1) | | | 04/16/21 | | | | 11.812 | | | | 2,927,506 | |
| 2,166 | | | Alkermes, Inc., LIBOR 1M + 2.250%(1) | | (BB, Ba3) | | | 03/27/23 | | | | 3.920 | | | | 2,164,951 | |
| 2,684 | | | Bausch Health Companies, Inc., LIBOR 1M + 3.000%(1) | | (BB, Ba2) | | | 06/02/25 | | | | 4.670 | | | | 2,698,561 | |
| 6,795 | | | Bausch Health Companies, Inc., LIBOR 1M + 2.750%(1) | | (BB, Ba2) | | | 11/27/25 | | | | 4.420 | | | | 6,827,239 | |
| 14,545 | | | Endo Luxembourg Finance Co. I Sarl, LIBOR 1M + 4.250%(1) | | (B+, B1) | | | 04/29/24 | | | | 5.938 | | | | 14,069,953 | |
| 2,000 | | | Grifols Worldwide Operations U.S.A., Inc., LIBOR 1W + 2.000%(1),(9) | | (BB+, Ba2) | | | 11/15/27 | | | | 3.561 | | | | 2,013,750 | |
| 10,223 | | | Syneos Health, Inc., LIBOR 1M + 1.500%(1) | | (BB, Ba3) | | | 03/26/24 | | | | 3.145 | | | | 10,141,185 | |
| | | | | | | | | | | | | | | | | 40,843,145 | |
| | | | | | | | | | | | | | | | | | |
Real Estate Development & Management (1.3%) | | | | | | | | | | |
| 8,850 | | | Forest City Enterprises LP, LIBOR 1M + 3.500%(1),(9) | | (B+, B2) | | | 12/08/25 | | | | 5.145 | | | | 8,912,963 | |
| 20,000 | | | Hanjin International Corp., LIBOR 1M + 2.500%(1),(3) | | (B+, Ba3) | | | 10/18/20 | | | | 4.145 | | | | 20,000,000 | |
| | | | | | | | | | | | | | | | | 28,912,963 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
BANK LOANS(continued) | | | | | | | | |
Real Estate Investment Trusts (0.3%) | | | | | | | | | | |
$ | 7,096 | | | iStar, Inc., LIBOR 1M + 2.750%(1),(3) | | (BB, Ba2) | | 06/28/23 | | | 4.457 | | | $ | 7,122,461 | |
| | | | | | | | | | | | | | | | |
Recreation & Travel(3.0%) | | | | | | | | | | |
| 13,139 | | | Alterra Mountain Co., LIBOR 1M + 3.000%(1) | | (B, B1) | | 07/31/24 | | | 4.395 | | | | 13,217,863 | |
| 2,154 | | | Bulldog Purchaser, Inc., LIBOR 1M + 7.750%(1),(2) | | (CCC+, Caa2) | | 09/04/26 | | | 9.395 | | | | 2,135,904 | |
| 10,078 | | | Bulldog Purchaser, Inc., LIBOR 1M + 3.750%(1),(3) | | (B+, B2) | | 09/05/25 | | | 5.395 | | | | 9,990,216 | |
| 5,566 | | | Crown Finance U.S., Inc., LIBOR 1M + 2.250%(1) | | (BB-, B1) | | 02/28/25 | | | 3.895 | | | | 5,525,494 | |
| 9,420 | | | Hornblower Sub LLC, LIBOR 3M + 4.500%(1) | | (B, B2) | | 04/27/25 | | | 6.445 | | | | 9,498,267 | |
| 1,041 | | | Motion Finco Sarl, LIBOR 3M + 0.500%(1),(7) | | (B+, Ba3) | | 11/12/26 | | | 1.625 | | | | 1,052,218 | |
| 7,894 | | | Motion Finco Sarl, LIBOR 3M + 3.250%(1) | | (B+, Ba3) | | 11/13/26 | | | 5.151 | | | | 7,982,873 | |
| 3,980 | | | Richmond UK Bidco Ltd., LIBOR 1M + 4.250%(1),(8) | | (B, B2) | | 03/03/24 | | | 4.958 | | | | 5,171,742 | |
| 11,789 | | | SeaWorld Parks & Entertainment, Inc., LIBOR 1M + 3.000%(1) | | (B+, B2) | | 03/31/24 | | | 4.645 | | | | 11,835,863 | |
| | | | | | | | | | | | | | | 66,410,440 | |
Restaurants(1.3%) | | | | | | | | | | |
| 10,024 | | | 1011778 B.C. Unlimited Liability Co., LIBOR 1M + 1.750%(1) | | (BB+, Ba2) | | 11/19/26 | | | 3.395 | | | | 10,031,884 | |
| 9,874 | | | IRB Holding Corp., LIBOR 1M + 2.750%(1) | | (B+, B2) | | 02/05/25 | | | 4.384 | | | | 9,908,157 | |
| 8,470 | | | K-Mac Holdings Corp., LIBOR 1M + 3.000%(1) | | (B-, B2) | | 03/14/25 | | | 4.645 | | | | 8,429,789 | |
| | | | | | | | | | | | | | | 28,369,830 | |
Software - Services(9.1%) | | | | | | | | | | | | |
| 8,692 | | | Almonde, Inc., LIBOR 6M + 3.500%(1) | | (B-, B2) | | 06/13/24 | | | 5.277 | | | | 8,617,615 | |
| 4,078 | | | Almonde, Inc., LIBOR 3M + 7.250%(1) | | (CCC, Caa2) | | 06/13/25 | | | 9.027 | | | | 4,012,940 | |
| 2,507 | | | Applied Systems, Inc., LIBOR 3M + 3.000%(1) | | (B-, B2) | | 09/19/24 | | | 5.195 | | | | 2,518,592 | |
| 6,930 | | | Compuware Corp., LIBOR 1M + 4.000%(1) | | (B, B2) | | 08/22/25 | | | 5.645 | | | | 6,987,762 | |
| 14,782 | | | Epicor Software Corp., LIBOR 1M + 3.250%(1) | | (B-, B2) | | 06/01/22 | | | 4.900 | | | | 14,864,113 | |
| 16,727 | | | Flexera Software LLC, LIBOR 1M + 3.500%(1) | | (B-, B2) | | 02/26/25 | | | 5.150 | | | | 16,824,727 | |
| 2,846 | | | Flexera Software LLC, LIBOR 1M + 7.250%(1),(3) | | (CCC+, Caa1) | | 02/26/26 | | | 8.900 | | | | 2,849,712 | |
| 10,316 | | | GHX Ultimate Parent Corp., LIBOR 3M + 3.250%(1),(3) | | (B, B3) | | 06/28/24 | | | 5.211 | | | | 10,315,864 | |
| 13,326 | | | Go Daddy Operating Company LLC, LIBOR 1M + 1.750% (1) | | (BB, Ba1) | | 02/15/24 | | | 3.395 | | | | 13,366,834 | |
| 3,857 | | | Greeneden U.S. Holdings II LLC, EURIBOR 3M + 3.500%(1),(5) | | (B-, B2) | | 12/01/23 | | | 3.500 | | | | 4,282,123 | |
| 4,900 | | | Hyland Software, Inc., LIBOR 1M + 7.000%(1) | | (CCC, Caa1) | | 07/07/25 | | | 8.645 | | | | 4,969,433 | |
| 9,529 | | | Hyland Software, Inc., LIBOR 1M + 3.500%(1) | | (B-, B1) | | 07/01/24 | | | 5.145 | | | | 9,589,429 | |
| 5,762 | | | Infor (U.S.), Inc., EURIBOR 3M + 2.250%(1),(5) | | (B, Ba3) | | 02/01/22 | | | 3.250 | | | | 6,438,374 | |
| 3,250 | | | Kronos, Inc., LIBOR 3M + 3.000%(1) | | (B, B2) | | 11/01/23 | | | 4.909 | | | | 3,259,262 | |
| 13,905 | | | MA FinanceCo. LLC, LIBOR 1M + 2.250%(1) | | (BB-, B1) | | 11/19/21 | | | 3.895 | | | | 13,932,700 | |
| 1,958 | | | MA FinanceCo. LLC, LIBOR 1M + 2.500%(1) | | (BB-, B1) | | 06/21/24 | | | 4.145 | | | | 1,950,933 | |
| 12,657 | | | Project Alpha Intermediate Holding, Inc., LIBOR 6M + 3.500%(1) | | (B, B3) | | 04/26/24 | | | 5.380 | | | | 12,692,359 | |
| 1,508 | | | Project Alpha Intermediate Holding, Inc., LIBOR 6M + 4.250%(1) | | (B, B3) | | 04/26/24 | | | 6.130 | | | | 1,518,249 | |
| 13,110 | | | Seattle Spinco, Inc., LIBOR 1M + 2.500%(1) | | (BB-, B1) | | 06/21/24 | | | 4.145 | | | | 13,061,984 | |
| 4,488 | | | SkillSoft Corp., LIBOR 3M + 4.750%(1) | | (CCC-, Caa2) | | 04/28/21 | | | 6.527 | | | | 3,798,077 | |
| 14,459 | | | Solera LLC, LIBOR 1M + 2.750%(1) | | (B, Ba3) | | 03/03/23 | | | 4.395 | | | | 14,497,430 | |
| 5,962 | | | SS&C Technologies Holdings Europe Sarl, LIBOR 1M + 1.750%(1) | | (BB+, Ba2) | | 04/16/25 | | | 3.395 | | | | 5,974,489 | |
| 8,367 | | | SS&C Technologies, Inc., LIBOR 1M + 1.750%(1) | | (BB+, Ba2) | | 04/16/25 | | | 3.395 | | | | 8,384,820 | |
| 13,162 | | | The Ultimate Software Group, Inc., LIBOR 1M + 3.750%(1) | | (B, B2) | | 05/04/26 | | | 5.395 | | | | 13,234,996 | |
| 7,745 | | | Verint Systems, Inc., LIBOR 1M + 2.000%(1) | | (BBB-, Ba1) | | 06/28/24 | | | 3.843 | | | | 7,803,282 | |
| | | | | | | | | | | | | | | 205,746,099 | |
Specialty Retail(1.3%) | | | | | | | | | | | | |
| 2,881 | | | Boing U.S. Holdco, Inc., LIBOR 1M + 7.500%(1) | | (CCC+, Caa2) | | 10/03/25 | | | 9.184 | | | | 2,805,374 | |
| 2,349 | | | Champ Acquisition Corp., LIBOR 3M + 5.500%(1) | | (B, B1) | | 12/19/25 | | | 7.445 | | | | 2,351,796 | |
| 2,269 | | | EG America LLC, LIBOR 3M + 8.000%(1) | | (CCC+, Caa1) | | 04/20/26 | | | 9.961 | | | | 2,235,180 | |
| 13,214 | | | EG Finco Ltd., EURIBOR 3M + 4.000%(1),(5) | | (B, B2) | | 02/07/25 | | | 4.000 | | | | 14,561,390 | |
| 304 | | | Mister Car Wash Holdings, Inc.(1),(7),(9) | | (NR, B2) | | 05/14/26 | | | 3.500 | | | | 305,449 | |
| 6,054 | | | Mister Car Wash Holdings, Inc., LIBOR 3M + 3.500%(1) | | (B-, B2) | | 05/14/26 | | | 5.410 | | | | 6,078,423 | |
| | | | | | | | | | | | | | | 28,337,612 | |
Steel Producers/Products(1.7%) | | | | | | | | | | | |
| 19,224 | | | Atkore International, Inc., LIBOR 3M + 2.750%(1) | | (BB-, Ba3) | | 12/22/23 | | | 4.700 | | | | 19,335,277 | |
| 18,350 | | | Zekelman Industries, Inc., LIBOR 1M + 2.250%(1) | | (BB, Ba3) | | 01/17/27 | | | 3.909 | | | | 18,370,552 | |
| | | | | | | | | | | | | | | 37,705,829 | |
Support - Services(4.5%) | | | | | | | | | | |
| 13,390 | | | Allied Universal Holdco LLC, LIBOR 1M + 4.250%(1) | | (B-, B3) | | 07/10/26 | | | 5.895 | | | | 13,493,170 | |
| 9,581 | | | Brand Energy & Infrastructure Services, Inc., LIBOR 3M + 4.250%(1) | | (B-, B3) | | 06/21/24 | | | 6.088 | | | | 9,593,460 | |
| 11,720 | | | Change Healthcare Holdings LLC, LIBOR 1M + 2.500%(1) | | (B+, B1) | | 03/01/24 | | | 4.145 | | | | 11,745,304 | |
| 5,000 | | | MSX International, Inc., EURIBOR 3M + 4.500%(1),(2),(5) | | (B-, B2) | | 01/06/24 | | | 4.500 | | | | 5,230,456 | |
| 10,521 | | | PODS LLC, LIBOR 1M + 2.750%(1) | | (B+, B2) | | 12/06/24 | | | 4.420 | | | | 10,555,176 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
BANK LOANS(continued) | |
Support - Services | |
$ | 3,669 | | | Sabre GLBL, Inc., LIBOR 1M + 2.000%(1) | | (BB, Ba2) | | 02/22/24 | | | 3.645 | | | $ | 3,690,064 | |
| 14,165 | | | SAI Global Holdings II (Australia) Pty. Ltd., LIBOR 3M + 4.500%(1),(2) | | (CCC, Caa1) | | 12/20/23 | | | 6.270 | | | | 12,677,339 | |
| 8,687 | | | Sedgwick Claims Management Services, Inc., LIBOR 1M + 3.250%(1) | | (B, B2) | | 12/31/25 | | | 4.895 | | | | 8,705,184 | |
| 14,116 | | | The Geo Group, Inc., LIBOR 1M + 2.000%(1) | | (BB+, Ba3) | | 03/22/24 | | | 3.650 | | | | 13,385,942 | |
| 7,336 | | | Tribe Buyer LLC, LIBOR 1M + 4.500%(1) | | (B-, B3) | | 02/16/24 | | | 6.145 | | | | 6,199,155 | |
| 6,717 | | | USS Ultimate Holdings, Inc., LIBOR 6M + 7.750%(1) | | (CCC+, Caa2) | | 08/25/25 | | | 9.671 | | | | 6,569,394 | |
| | | | | | | | | | | | | | | 101,844,644 | |
Tech Hardware & Equipment (0.4%) | | | | | | | | | | | |
| 9,975 | | | CommScope, Inc., LIBOR 1M + 3.250%(1) | | (B+, Ba3) | | 04/06/26 | | | 4.895 | | | | 9,985,374 | |
Telecom - Wireless (1.5%) | | | | | | | | | | | |
| 13,942 | | | SBA Senior Finance II LLC, LIBOR 1M + 2.000%(1) | | (BB+, Ba3) | | 04/11/25 | | | 3.400 | | | | 13,976,624 | |
| 20,044 | | | Sprint Communications, Inc., LIBOR 1M + 2.500%(1) | | (BB-, Ba2) | | 02/02/24 | | | 4.188 | | | | 19,655,573 | |
| | | | | | | | | | | | | | | 33,632,197 | |
Telecom - Wireline Integrated & Services (2.1%) | | | | | | | | | | | |
| 7,691 | | | Altice France S.A., LIBOR 1M + 3.688%(1) | | (B, B2) | | 01/31/26 | | | 5.364 | | | | 7,677,531 | |
| 1,668 | | | GTT Communications, Inc., LIBOR 1M + 2.750%(1) | | (B-, B2) | | 05/31/25 | | | 4.400 | | | | 1,414,676 | |
| 16,633 | | | Level 3 Financing, Inc., LIBOR 1M + 1.750%(1) | | (BBB-, Ba1) | | 03/01/27 | | | 3.395 | | | | 16,620,231 | |
| 1,396 | | | Numericable Group S.A., LIBOR 1M + 2.750%(1) | | (B, B2) | | 07/31/25 | | | 4.395 | | | | 1,386,957 | |
| 2,481 | | | TVC Albany, Inc., LIBOR 1M + 3.500%(1) | | (B-, B2) | | 07/23/25 | | | 5.150 | | | | 2,473,911 | |
| 16,740 | | | Zayo Group LLC, LIBOR 1M + 2.250%(1) | | (BB, Ba2) | | 01/19/24 | | | 3.895 | | | | 16,771,849 | |
| | | | | | | | | | | | | | | 46,345,155 | |
Theaters & Entertainment (3.6%) | | | | | | | | | | | |
| 11,881 | | | AMC Entertainment Holdings, Inc., LIBOR 1M + 3.000%(1) | | (BB-, Ba2) | | 04/22/26 | | | 4.650 | | | | 11,910,323 | |
| 10,580 | | | Metro-Goldwyn-Mayer, Inc., LIBOR 1M + 4.500%(1),(3) | | (B-, B2) | | 07/03/26 | | | 6.150 | | | | 10,645,700 | |
| 9,325 | | | NAI Entertainment Holdings LLC, LIBOR 1M + 2.500%(1) | | (BB, B1) | | 05/08/25 | | | 4.150 | | | | 9,348,635 | |
| 9,470 | | | PUG LLC, LIBOR 3M + 3.500%(1),(3) | | (B, B2) | | 03/15/27 | | | 5.336 | | | | 9,464,081 | |
| 7,000 | | | Technicolor S.A., EURIBOR 3M + 3.000%(1),(5) | | (B, B3) | | 12/06/23 | | | 3.000 | | | | 6,857,000 | |
| 2,895 | | | Technicolor S.A., LIBOR 3M + 2.750%(1) | | (B, B3) | | 12/06/23 | | | 4.659 | | | | 2,489,946 | |
| 6,500 | | | Technicolor S.A., EURIBOR 3M + 3.500%(1),(5) | | (B, B3) | | 12/06/23 | | | 3.500 | | | | 6,418,142 | |
| 8,392 | | | UFC Holdings, LLC, LIBOR 1M + 3.250%(1) | | (B, B2) | | 04/29/26 | | | 4.900 | | | | 8,428,460 | |
| 16,404 | | | William Morris Endeavor Entertainment LLC, LIBOR 1M + 2.750%(1) | | (B, B2) | | 05/18/25 | | | 4.400 | | | | 16,358,520 | |
| | | | | | | | | | | | | | | 81,920,807 | |
Transport Infrastructure/Services (0.3%) | | | | | | | | | | | |
| 7,006 | | | AI Mistral Holdco Ltd., LIBOR 1M + 3.000%(1) | | (B-, B3) | | 03/11/24 | | | 4.645 | | | | 6,212,411 | |
TOTAL BANK LOANS (Cost $1,890,106,648) | | | | | | | | | | 1,823,305,145 | |
CORPORATE BONDS (8.0%) | | | | | | | | | | | |
Aerospace & Defense (0.3%) | | | | | | | | | | | |
| 7,365 | | | TransDigm, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/22 @ 103.13)(10) | | (B+, Ba3) | | 03/15/26 | | | 6.250 | | | | 7,956,955 | |
Auto Parts & Equipment (0.3%) | | | | | | | | | | | |
| 6,665 | | | Cooper-Standard Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/21 @ 102.81)(10) | | (B-, B3) | | 11/15/26 | | | 5.625 | | | | 6,197,434 | |
| 1,345 | | | Panther Finance Co., Inc., Rule 144A, Company Guaranteed Notes (Callable 05/15/22 @ 104.25)(10) | | (B, B3) | | 05/15/27 | | | 8.500 | | | | 1,448,363 | |
| | | | | | | | | | | | | | | 7,645,797 | |
Building Materials (1.3%) | | | | | | | | | | | |
| 23,600 | | | Omnimax International, Inc., Rule 144A, Senior Secured Notes (Callable 02/18/20 @ 100.00)(10) | | (CCC, Caa1) | | 08/15/20 | | | 12.000 | | | | 23,432,145 | |
| 5,135 | | | PriSo Acquisition Corp., Rule 144A, Senior Unsecured Notes (Callable 03/02/20 @ 102.25)(10),(11) | | (CCC+, Caa1) | | 05/15/23 | | | 9.000 | | | | 5,032,300 | |
| | | | | | | | | | | | | | | 28,464,445 | |
Cable & Satellite TV (0.8%) | | | | | | | | | | | |
| 755 | | | Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 02/18/20 @ 101.66)(10) | | (B, B2) | | 02/15/23 | | | 6.625 | | | | 769,787 | |
| 4,000 | | | Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 05/15/21 @ 103.75)(10) | | (B, B2) | | 05/15/26 | | | 7.500 | | | | 4,282,200 | |
| 2,500 | | | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 102.69)(10) | | (BB, Ba3) | | 02/01/28 | | | 5.375 | | | | 2,655,806 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
CORPORATE BONDS(continued) | | | | | | | | | | |
Cable & Satellite TV | | | | | | | | | | |
$ | 3,200 | | | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 05/15/21 @ 102.75)(10) | | (BB, Ba3) | | 05/15/26 | | | 5.500 | | | $ | 3,360,088 | |
| 3,400 | | | Telenet Finance Luxembourg Notes Sarl, Rule 144A, Senior Secured Notes (Callable 12/01/22 @ 102.75)(10) | | (BB-, Ba3) | | 03/01/28 | | | 5.500 | | | | 3,638,000 | |
| 2,730 | | | Ziggo B.V., Rule 144A, Senior Secured Notes (Callable 01/15/22 @ 102.75)(10) | | (B+, B1) | | 01/15/27 | | | 5.500 | | | | 2,898,850 | |
| | | | | | | | | | | | | | | 17,604,731 | |
Chemicals (0.3%) | |
| 4,500 | | | Atotech Alpha 2 B.V., 8.75% Cash, 9.50% PIK, Rule 144A, Senior Unsecured Notes (Callable 03/02/20 @ 102.00)(10),(12) | | (CCC+, Caa1) | | 06/01/23 | | | 8.750 | | | | 4,592,318 | |
| 1,390 | | | Nufarm Americas, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/30/21 @ 102.88)(10) | | (BB-, B1) | | 04/30/26 | | | 5.750 | | | | 1,352,258 | |
| | | | | | | | | | | | | | | 5,944,576 | |
Electronics (0.3%) | |
| 6,300 | | | Entegris, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/10/20 @ 103.47)(10) | | (BB, Ba2) | | 02/10/26 | | | 4.625 | | | | 6,516,405 | |
| | | | | | | | | | | | | | | | |
Energy - Exploration & Production (0.3%) | |
| 7,600 | | | W&T Offshore, Inc., Rule 144A, Secured Notes (Callable 11/01/20 @ 104.88)(10) | | (B+, B3) | | 11/01/23 | | | 9.750 | | | | 7,214,604 | |
| | | | | | | | | | | | | | | | |
Gaming (0.2%) | |
| 3,462 | | | Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/02/20 @ 103.38)(10) | | (CCC+, B3) | | 10/15/24 | | | 6.750 | | | | 3,566,518 | |
| | | | | | | | | | | | | | | | |
Health Facility (0.1%) | |
| 2,450 | | | Radiology Partners, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 104.63)(10) | | (CCC+, Caa2) | | 02/01/28 | | | 9.250 | | | | 2,554,125 | |
| | | | | | | | | | | | | | | | |
Insurance Brokerage (0.1%) | |
| 3,000 | | | Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/20 @ 103.50)(10) | | (CCC+, Caa2) | | 11/15/25 | | | 7.000 | | | | 2,947,470 | |
| | | | | | | | | | | | | | | | |
Investments & Misc. Financial Services (0.2%) | |
| 3,175 | | | Compass Group Diversified Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 05/01/21 @ 104.00)(10) | | (B, B2) | | 05/01/26 | | | 8.000 | | | | 3,465,822 | |
| | | | | | | | | | | | | | | | |
Media - Diversified (0.0%) | |
| 1,000 | | | National CineMedia LLC, Global Senior Unsecured Notes (Callable 08/15/21 @ 102.88) | | (B-, B3) | | 08/15/26 | | | 5.750 | | | | 990,348 | |
| | | | | | | | | | | | | | | | |
Metals & Mining - Excluding Steel (0.6%) | |
| 1,750 | | | Cleveland-Cliffs, Inc., Rule 144A, Senior Secured Notes (Callable 01/15/21 @ 102.44)(10) | | (BB, Ba2) | | 01/15/24 | | | 4.875 | | | | 1,762,399 | |
| 13,320 | | | Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 03/02/20 @ 104.38)(2),(10) | | (B-, B3) | | 06/15/22 | | | 8.750 | | | | 11,759,056 | |
| | | | | | | | | | | | | | | 13,521,455 | |
Oil Field Equipment & Services (0.4%) | | | | | | | | | | | |
| 7,525 | | | Pioneer Energy Services Corp., Global Company Guaranteed Notes (Callable 03/02/20 @ 101.53) | | (CC, Caa2) | | 03/15/22 | | | 6.125 | | | | 1,749,562 | |
| 7,000 | | | Shelf Drilling Holdings Ltd., Rule 144A, Company Guaranteed Notes (Callable 02/15/21 @ 106.19)(10) | | (B-, Caa1) | | 02/15/25 | | | 8.250 | | | | 6,527,430 | |
| | | | | | | | | | | | | | | 8,276,992 | |
Packaging (0.4%) | | | | | | | | | | | |
| 1,900 | | | Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes (Callable 03/02/20 @ 103.44)(10) | | (CCC+, Caa2) | | 01/15/25 | | | 6.875 | | | | 1,911,856 | |
| 7,275 | | | TriMas Corp., Rule 144A, Company Guaranteed Notes (Callable 10/15/20 @ 102.44)(10) | | (BB-, Ba3) | | 10/15/25 | | | 4.875 | | | | 7,470,516 | |
| | | | | | | | | | | | | | | 9,382,372 | |
Pharmaceuticals (0.5%) | | | | | | | | | | | |
| 355 | | | Bausch Health Americas, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/22 @ 104.63)(10) | | (B, B3) | | 04/01/26 | | | 9.250 | | | | 405,800 | |
| 65 | | | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 03/02/20 @ 101.47)(10) | | (B, B3) | | 05/15/23 | | | 5.875 | | | | 65,609 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
CORPORATE BONDS (continued) | | | | | | | | |
Pharmaceuticals | | | | | | | | |
$ | 1,685 | | | Bausch Health Cos., Inc., Rule 144A, Senior Secured Notes (Callable 11/01/20 @ 102.75)(10) | | (BB, Ba2) | | 11/01/25 | | | 5.500 | | | $ | 1,748,887 | |
| 11,204 | | | Owens & Minor, Inc., Global Senior Secured Notes (Callable 09/15/24 @ 100.00) | | (B, B3) | | 12/15/24 | | | 4.375 | | | | 8,659,740 | |
| | | | | | | | | | | | | | | 10,880,036 | |
| | | | | | | | | | | | | | | | |
Real Estate Investment Trusts (0.2%) | | | | | | | | | | | |
| 5,000 | | | iStar, Inc., Senior Unsecured Notes (Callable 03/02/20 @ 102.63) | | (BB, Ba3) | | 09/15/22 | | | 5.250 | | | | 5,117,190 | |
| | | | | | | | | | | | | | | | |
Recreation & Travel (0.2%) | | | | | | | | | | | |
| 4,000 | | | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/22 @ 102.75)(10) | | (BB-, B2) | | 04/15/27 | | | 5.500 | | | | 4,148,000 | |
| | | | | | | | | | | | | | | | |
Software - Services (0.3%) | | | | | | | | | | | |
| 2,295 | | | Epicor Software Corp., Rule 144A, Secured Notes (Callable 03/02/20 @ 100.00), LIBOR 3M + 7.250%(1),(10) | | (CCC, Caa2) | | 06/30/23 | | | 9.190 | | | | 2,295,028 | |
| 5,002 | | | Solera Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/02/20 @ 105.25)(10) | | (CCC+, Caa1) | | 03/01/24 | | | 10.500 | | | | 5,306,297 | |
| | | | | | | | | | | | | | | 7,601,325 | |
| | | | | | | | | | | | | | | | |
Specialty Retail (0.2%) | | | | | | | | | | | |
| 1,000 | | | Penske Automotive Group, Inc., Company Guaranteed Notes (Callable 03/02/20 @ 102.69) | | (B+, Ba3) | | 12/01/24 | | | 5.375 | | | | 1,029,165 | |
| 3,500 | | | Penske Automotive Group, Inc., Company Guaranteed Notes (Callable 05/15/21 @ 102.75) | | (B+, Ba3) | | 05/15/26 | | | 5.500 | | | | 3,629,150 | |
| | | | | | | | | | | | | | | 4,658,315 | |
| | | | | | | | | | | | | | | | |
Support - Services (0.1%) | | | | | | | | | | | |
| 1,782 | | | WeWork Cos., Inc., Rule 144A, Company Guaranteed Notes(10),(11) | | (B, Wr) | | 05/01/25 | | | 7.875 | | | | 1,385,487 | |
| | | | | | | | | | | | | | | | |
Tech Hardware & Equipment (0.2%) | | | | | | | | | | | |
| 3,000 | | | CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 03/15/22 @ 102.50)(10) | | (B-, B3) | | 03/15/27 | | | 5.000 | | | | 2,730,075 | |
| 2,750 | | | CommScope, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/22 @ 104.13)(10) | | (B-, B3) | | 03/01/27 | | | 8.250 | | | | 2,830,712 | |
| | | | | | | | | | | | | | | 5,560,787 | |
| | | | | | | | | | | | | | | | |
Telecom - Wireline Integrated & Services (0.5%) | | | | | | | | | | | |
| 5,000 | | | Altice France S.A., Rule 144A, Senior Secured Notes (Callable 05/01/21 @ 103.69)(10) | | (B, B2) | | 05/01/26 | | | 7.375 | | | | 5,334,650 | |
| 7,000 | | | GTT Communications, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/02/20 @ 105.91)(10),(11) | | (CCC, Caa1) | | 12/31/24 | | | 7.875 | | | | 5,477,500 | |
| | | | | | | | | | | | | | | 10,812,150 | |
| | | | | | | | | | | | | | | | |
Theaters & Entertainment (0.2%) | | | | | | | | | | | |
| 775 | | | AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes (Callable 05/15/22 @ 103.06)(11) | | (CCC+, B3) | | 05/15/27 | | | 6.125 | | | | 660,707 | |
| 3,800 | | | AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes (Callable 11/15/21 @ 102.94)(11) | | (CCC+, B3) | | 11/15/26 | | | 5.875 | | | | 3,295,825 | |
| | | | | | | | | | | | | | | 3,956,532 | |
TOTAL CORPORATE BONDS (Cost $186,412,800) | | | | | | | | | | | 180,172,437 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
ASSET BACKED SECURITIES (5.2%) | | | | | | | | | | | |
Collateralized Debt Obligations (5.2%) | | | | | | | | | | | |
| 3,500 | | | ALM V Ltd., 2012-5A, Rule 144A, LIBOR 3M + 5.250%(1),(10) | | (NR, Ba2) | | 10/18/27 | | | 7.077 | | | | 3,388,120 | |
| 5,000 | | | Ares XXXVIII CLO Ltd., 2015-38A, Rule 144A, LIBOR 3M + 5.050%(1),(10) | | (NR, Ba3) | | 04/20/30 | | | 6.869 | | | | 4,713,169 | |
| 2,150 | | | Barings CLO Ltd., 2018-3A, Rule 144A, LIBOR 3M + 2.900%(1),(10) | | (BBB-, NR) | | 07/20/29 | | | 4.719 | | | | 2,118,944 | |
| 2,100 | | | BlueMountain CLO Ltd., 2015-3A, Rule 144A, LIBOR 3M + 5.400%(1),(10) | | (BB-, NR) | | 04/20/31 | | | 7.219 | | | | 1,973,598 | |
| 2,900 | | | Bowman Park CLO Ltd., 2014-1A, Rule 144A, LIBOR 3M + 5.400%(1),(10) | | (BB-, NR) | | 11/23/25 | | | 7.310 | | | | 2,900,346 | |
| 4,305 | | | Capital Automotive LLC, 2017-1A, Rule 144A(10) | | (A+, NR) | | 04/15/47 | | | 3.870 | | | | 4,346,317 | |
| 2,599 | | | Capital Automotive LLC, 2017-1A, Rule 144A(10) | | (A+, NR) | | 04/15/47 | | | 4.180 | | | | 2,677,846 | |
| 750 | | | Carlyle Global Market Strategies CLO Ltd., 2014-3RA, Rule 144A, LIBOR 3M + 5.400%(1),(10) | | (BB-, NR) | | 07/27/31 | | | 7.194 | | | | 669,341 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
ASSET BACKED SECURITIES (continued) | | | | | | | | |
Collateralized Debt Obligations | | | | | | | | |
$ | 2,000 | | | Carlyle Global Market Strategies CLO Ltd., 2014-5A, Rule 144A, LIBOR 3M + 3.150%(1),(10) | | (BBB-, NR) | | 07/15/31 | | | 4.981 | | | $ | 1,955,750 | |
| 1,850 | | | Carlyle Global Market Strategies CLO Ltd., 2015-2A, Rule 144A, LIBOR 3M + 6.150%(1),(10) | | (NR, B1) | | 04/27/27 | | | 7.944 | | | | 1,787,542 | |
| 2,000 | | | Carlyle U.S. CLO Ltd., 2017-2A, Rule 144A(1),(2),(9),(10),(13) | | (NR, NR) | | 07/20/31 | | | 0.000 | | | | 1,339,522 | |
| 2,625 | | | CIFC Funding Ltd., 2014-1A, Rule 144A, LIBOR 3M + 5.850%(1),(10) | | (BB-, NR) | | 01/18/31 | | | 7.669 | | | | 2,500,419 | |
| 4,000 | | | Crown Point CLO Ltd., 2018-4A, Rule 144A, LIBOR 3M + 2.750%(1),(10) | | (NR, Baa3) | | 04/20/31 | | | 4.569 | | | | 3,789,432 | |
| 3,500 | | | Elevation CLO Ltd., 2014-2A, Rule 144A, LIBOR 3M + 3.200%(1),(10) | | (NR, Baa3) | | 10/15/29 | | | 5.031 | | | | 3,450,609 | |
| 5,000 | | | Galaxy CLO XVIII Ltd., 2018-28A, Rule 144A, LIBOR 3M + 3.000%(1),(10) | | (BBB-, NR) | | 07/15/31 | | | 4.831 | | | | 4,870,900 | |
| 3,250 | | | Goldentree Loan Opportunities XI Ltd., 2015-11A, Rule 144A, LIBOR 3M + 5.400%(1),(10) | | (NR, Ba3) | | 01/18/31 | | | 7.219 | | | | 3,174,254 | |
| 2,250 | | | Greywolf CLO II Ltd., 2013-1A, Rule 144A, LIBOR 3M + 6.350%(1),(10) | | (BB-, NR) | | 10/15/29 | | | 8.181 | | | | 2,259,285 | |
| 1,250 | | | Greywolf CLO III Ltd., 2018-3RA, Rule 144A, LIBOR 3M + 2.250%(1),(10) | | (A, NR) | | 10/22/28 | | | 4.052 | | | | 1,250,834 | |
| 2,125 | | | Greywolf CLO III Ltd., 2018-3RA, Rule 144A, LIBOR 3M + 3.150%(1),(10) | | (BBB-, NR) | | 10/22/28 | | | 4.952 | | | | 2,126,886 | |
| 3,000 | | | Greywolf CLO III Ltd., 2018-3RA, Rule 144A, LIBOR 3M + 5.500%(1),(10) | | (BB-, NR) | | 10/22/28 | | | 7.302 | | | | 3,001,040 | |
| 7,000 | | | Greywolf CLO IV Ltd., 2019-1A, Rule 144A, LIBOR 3M + 2.950%(1),(10) | | (A, NR) | | 04/17/30 | | | 4.786 | | | | 7,011,010 | |
| 1,000 | | | Greywolf CLO IV Ltd., 2019-1A, Rule 144A, LIBOR 3M + 3.950%(1),(10) | | (BBB-, NR) | | 04/17/30 | | | 5.786 | | | | 1,001,730 | |
| 6,000 | | | Greywolf CLO V Ltd., 2015-1A, Rule 144A, LIBOR 3M + 2.000%(1),(10) | | (A, NR) | | 01/27/31 | | | 3.794 | | | | 5,940,438 | |
| 3,950 | | | Greywolf CLO V Ltd., 2015-1A, Rule 144A, LIBOR 3M + 3.000%(1),(10) | | (BBB-, NR) | | 01/27/31 | | | 4.794 | | | | 3,933,726 | |
| 5,150 | | | Greywolf CLO V Ltd., 2015-1A, Rule 144A, LIBOR 3M + 5.850%(1),(10) | | (BB-, NR) | | 01/27/31 | | | 7.644 | | | | 5,032,563 | |
| 2,250 | | | Greywolf CLO VI Ltd., 2018-1A, Rule 144A, LIBOR 3M + 5.750%(1),(10) | | (BB-, NR) | | 04/26/31 | | | 7.544 | | | | 2,241,124 | |
| 3,000 | | | Highbridge Loan Management Ltd., 12A-2018, Rule 144A, LIBOR 3M + 1.850%(1),(10) | | (A, NR) | | 07/18/31 | | | 3.669 | | | | 2,939,484 | |
| 4,500 | | | Highbridge Loan Management Ltd., 7A-2015, Rule 144A, LIBOR 3M + 1.700%(1),(10) | | (A, NR) | | 03/15/27 | | | 3.610 | | | | 4,447,005 | |
| 2,500 | | | KKR CLO Ltd., 20, Rule 144A, LIBOR 3M + 5.500%(1),(10) | | (NR, Ba3) | | 10/16/30 | | | 7.343 | | | | 2,391,939 | |
| 3,250 | | | KKR Financial CLO Ltd., 2013-1A, Rule 144A, LIBOR 3M + 6.080%(1),(10) | | (NR, Ba3) | | 04/15/29 | | | 7.911 | | | | 3,147,496 | |
| 2,250 | | | Octagon Investment Partners 26 Ltd., 2016-1A, Rule 144A, LIBOR 3M + 2.850%(1),(10) | | (BBB-, NR) | | 07/15/30 | | | 4.681 | | | | 2,182,378 | |
| 3,500 | | | Shackleton CLO Ltd., 2014-6RA, Rule 144A, LIBOR 3M + 2.970%(1),(10) | | (NR, Baa3) | | 07/17/28 | | | 4.806 | | | | 3,456,462 | |
| 3,000 | | | Venture 35 CLO Ltd., 2018-35A, Rule 144A, LIBOR 3M + 3.500%(1),(10) | | (NR, Baa3) | | 10/22/31 | | | 5.302 | | | | 2,998,566 | |
| 3,000 | | | Venture CLO Ltd., 2017-28AA, Rule 144A, LIBOR 3M + 2.400%(1),(10) | | (NR, A2) | | 10/20/29 | | | 4.219 | | | | 3,000,623 | |
| 1,250 | | | Venture CLO Ltd., 2018-31A, Rule 144A, LIBOR 3M + 2.820%(1),(10) | | (NR, Baa3) | | 04/20/31 | | | 4.639 | | | | 1,208,795 | |
| 3,000 | | | Venture XIII CLO Ltd., 2013-13A, Rule 144A, LIBOR 3M + 3.300%(1),(10) | | (NR, Baa2) | | 09/10/29 | | | 5.191 | | | | 2,994,685 | |
| 2,150 | | | Vibrant CLO V Ltd., 2016-5A, Rule 144A, LIBOR 3M + 7.000%(1),(10) | | (NR, Ba3) | | 01/20/29 | | | 8.819 | | | | 2,078,618 | |
| 1,500 | | | Vibrant CLO VI Ltd., 2017-6A, Rule 144A, LIBOR 3M + 5.750%(1),(10) | | (NR, Ba3) | | 06/20/29 | | | 7.658 | | | | 1,401,644 | |
| 3,000 | | | Voya CLO Ltd., 2014-4A, Rule 144A, LIBOR 3M + 3.350%(1),(10) | | (BBB-, NR) | | 07/14/31 | | | 5.188 | | | | 2,957,820 | |
| 3,000 | | | Voya CLO Ltd., 2017-1A, Rule 144A(1),(2),(9),(10),(13) | | (NR, NR) | | 04/17/30 | | | 0.000 | | | | 1,695,342 | |
| 1,470 | | | Wendy's Funding LLC, 2018-1A, Rule 144A(10) | | (BBB, NR) | | 03/15/48 | | | 3.573 | | | | 1,503,587 | |
TOTAL ASSET BACKED SECURITIES (Cost $121,015,790) | | | | | | | | | | 117,859,189 | |
| | | | | | | | | | | | | | | | |
| Number of Shares | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
COMMON STOCKS (0.3%) | | | | | | | | | | | |
Auto Parts & Equipment (0.1%) | | | | | | | | | | | |
| 134,659 | | | UCI International, Inc.(2),(3),(4),(14) | | | | | | | | | | | 3,063,492 | |
| | | | | | | | | | | | | | | | |
Building & Construction (0.0%) | | | | | | | | | | | |
| 6 | | | White Forest Resources, Inc.(2),(3),(4),(14) | | | | | | | | | | | — | |
| | | | | | | | | | | | | | | | |
Chemicals (0.2%) | | | | | | | | | | | |
| 9,785 | | | Huntsman Corp.(2) | | | | | | | | | | | 201,180 | |
| 31,756 | | | Project Investor Holdings LLC(2),(3),(4),(14) | | | | | | | | | | | 317 | |
| 529,264 | | | Proppants Holdings LLC(2),(3),(4),(14) | | | | | | | | | | | 4,398,184 | |
| | | | | | | | | | | | | | | 4,599,681 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
Number of Shares | | | Value | |
COMMON STOCKS (continued) |
Energy - Exploration & Production (0.0%) |
872,375 | | | PES Energy, Inc.(2),(14) | | $ | 109,047 | |
| | | | | | | |
Health Services (0.0%) |
161,122 | | | Valitas Health Services, Inc.(3),(4),(14) | | | 1,611 | |
| | | | | | | |
Support - Services (0.0%) |
779 | | | Sprint Industrial Holdings LLC, Class G(2),(3),(4),(14) | | | — | |
71 | | | Sprint Industrial Holdings LLC, Class H(2),(3),(4),(14) | | | — | |
172 | | | Sprint Industrial Holdings LLC, Class I(2),(3),(4),(14) | | | 2 | |
| | | | | | 2 | |
Theaters & Entertainment (0.0%) |
45 | | | NEG Holdings LLC, Litigation Trust Units(2),(3),(4),(14) | | | — | |
TOTAL COMMON STOCKS (Cost $16,875,566) | | 7,773,833 | |
| | | | | | | |
WARRANTS(0.0%) |
Chemicals(0.0%) |
132,316 | | | Project Investor Holdings LLC, expires 02/20/2022(2),(3),(4),(13),(14) | | | — | |
Diversified Capital Goods (0.0%) |
17,726 | | | Horizon Global Corp. expires 06/30/2021(14) | | | 33,148 | |
TOTAL WARRANTS (Cost $68,804) | | 33,148 | |
| | | | | | | |
SHORT-TERM INVESTMENTS(1.3%) | | | |
Securities Lending Collateral(0.7%) | | | |
15,105,793 | | | State Street Navigator Securities Lending Government Money Market Portfolio, 1.77%(15) | | | 15,105,793 | |
| | | | | | | |
Par (000) | | | | | | Ratings (S&P/Moody's) | | | | Maturity | | | Rate% | | | | |
Short-term Trade Receivables (0.6%) | | | | | | | | | | | | | | | |
$ | 2,139 | | | Sprint Communications, Inc.(2),(3),(13) | | | | (BB-, Ba2) | | | | 03/17/20 | | | 3.996 | | | 2,127,823 | |
3 | | | Sprint Communications, Inc.(2),(3),(13) | | | | (BB-, Ba2) | | | | 03/17/20 | | | 3.998 | | | 3,258 | |
1 | | | Sprint Communications, Inc.(2),(3),(13) | | | | (BB-, Ba2) | | | | 03/18/20 | | | 3.994 | | | 772 | |
1,508 | | | Sprint Communications, Inc.(2),(3),(13) | | | | (BB-, Ba2) | | | | 03/18/20 | | | 3.999 | | | 1,500,574 | |
2 | | | Sprint Communications, Inc.(2),(3),(13) | | | | (BB-, Ba2) | | | | 03/23/20 | | | 3.995 | | | 1,492 | |
2,749 | | | Sprint Communications, Inc.(2),(3),(13) | | | | (BB-, Ba2) | | | | 03/23/20 | | | 3.998 | | | 2,732,941 | |
1 | | | Sprint Communications, Inc.(2),(3),(13) | | | | (BB-, Ba2) | | | | 03/23/20 | | | 3.999 | | | 916 | |
0 | | | Sprint Communications, Inc.(2),(3),(13) | | | | (BB-, Ba2) | | | | 03/23/20 | | | 4.002 | | | 386 | |
1 | | | Sprint Communications, Inc.(2),(3),(13) | | | | (BB-, Ba2) | | | | 03/25/20 | | | 3.992 | | | 612 | |
5 | | | Sprint Communications, Inc.(2),(3),(13) | | | | (BB-, Ba2) | | | | 03/25/20 | | | 3.997 | | | 5,368 | |
1,092 | | | Sprint Communications, Inc.(2),(3),(13) | | | | (BB-, Ba2) | | | | 03/25/20 | | | 3.998 | | | 1,085,497 | |
1,946 | | | Sprint Communications, Inc.(2),(3),(13) | | | | (BB-, Ba2) | | | | 04/01/20 | | | 3.907 | | | 1,933,296 | |
621 | | | Sprint Communications, Inc.(2),(3),(13) | | | | (BB-, Ba2) | | | | 04/07/20 | | | 3.913 | | | 616,598 | |
1,165 | | | Sprint Communications, Inc.(2),(3),(13) | | | | (BB-, Ba2) | | | | 04/09/20 | | | 3.915 | | | 1,156,186 | |
2,690 | | | Sprint Communications, Inc.(2),(3),(13) | | | | (BB-, Ba2) | | | | 04/21/20 | | | 3.927 | | | 2,666,918 | |
| | | | | | | | | | | | | | 13,832,637 | |
TOTAL SHORT-TERM INVESTMENTS(Cost $28,938,430) | | | | | | | | | | | | | | 28,938,430 | |
TOTAL INVESTMENTS AT VALUE(95.9%) (Cost $2,243,418,038) | | | | | | | | | | | | | | 2,158,082,182 | |
OTHER ASSETS IN EXCESS OF LIABILITIES(4.1%) | | | | | | | | | | | | | | 91,577,471 | |
NET ASSETS(100.0%) | | | | | | | | | | | | | $ | 2,249,659,653 | |
† | | 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 January 31, 2020. |
(2) | | Illiquid security (unaudited). |
(3) | | Security is valued using significant unobservable inputs. |
(4) | | 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. |
(5) | | This security is denominated in Euro. |
(6) | | Bond is currently in default. |
(7) | | All or a portion is an unfunded loan commitment. |
(8) | | This security is denominated in British Pound. |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
(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 January 31, 2020. |
(10) | | 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 January 31, 2020, these securities amounted to a value of $272,899,939 or 12.1% of net assets. |
(11) | | Security or portion thereof is out on loan. |
(12) | | PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal. |
(13) | | Zero coupon security. |
(14) | | Non-income producing security. |
(15) | | Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at January 31, 2020. |
INVESTMENT ABBREVIATIONS | |
12M = 12 Month |
1M = 1 Month |
1W = 1 Week |
2M = 2 Month |
3M = 3 Month |
6M = 6 Month |
EURIBOR = Euro Interbank Offered Rate |
LIBOR = London Interbank Offered Rate |
NR = Not Rated |
Sarl - société à responsabilité limitée |
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 (Depreciation) | |
EUR | | | 6,350,371 | | USD | | | 7,200,125 | | 10/13/20 | | Morgan Stanley | | $ | 7,200,125 | | | $ | 7,142,340 | | | $ | (57,785 | ) |
EUR | | | 3,115,861 | | USD | | | 3,539,186 | | 10/13/20 | | Barclays Bank PLC | | | 3,539,186 | | | | 3,504,447 | | | | (34,739 | ) |
GBP | | | 450,399 | | USD | | | 583,104 | | 10/13/20 | | Barclays Bank PLC | | | 583,104 | | | | 597,593 | | | | 14,489 | |
USD | | | 136,668,359 | | EUR | | | 121,628,058 | | 10/13/20 | | Morgan Stanley | | | (136,668,359 | ) | | | (136,796,571 | ) | | | (128,212 | ) |
USD | | | 879,749 | | EUR | | | 778,455 | | 10/13/20 | | Barclays Bank PLC | | | (879,749 | ) | | | (875,538 | ) | | | 4,211 | |
USD | | | 31,885,371 | | GBP | | | 25,811,217 | | 10/13/20 | | Morgan Stanley | | | (31,885,371 | ) | | | (34,246,544 | ) | | | (2,361,173 | ) |
USD | | | 83,205 | | GBP | | | 62,602 | | 10/13/20 | | Barclays Bank PLC | | | (83,205 | ) | | | (83,061 | ) | | | 144 | |
USD | | | 1,482,627 | | GBP | | | 1,127,171 | | 10/13/20 | | Deutsche Bank AG | | | (1,482,626 | ) | | | (1,495,540 | ) | | | (12,914 | ) |
| | | | | | | | | | | | | | | | | | | | | | $ | (2,575,979 | ) |
|
Currency Abbreviations: | |
EUR = Euro |
GBP = British Pound |
USD = United States Dollar |
SECURITY VALUATION — The Board of Trustees (the "Board") is responsible for the Fund’s valuation process. The Board has delegated the supervision of the daily valuation process to Credit Suisse Asset Management, LLC, the Fund’s investment adviser (“Credit Suisse” or the “Adviser”), who has established a Pricing Committee which, pursuant to the policies adopted by the Board, is responsible for making fair valuation determinations and overseeing the Fund’s pricing policies.The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional “round lot” size, but some trades occur in smaller “odd lot” sizes which may be effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. 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 theFund 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.
TheFunduses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
Generally accepted accounting principles in the United States of America (“GAAP”) established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at each measurement date. These inputs are summarized in the three broad levels listed below:
| · | Level 1—quoted prices in active markets for identical investments |
| · | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| · | Level 3—significant unobservable inputs (including theFund’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 January 31, 2020 in valuing theFund’s assets and liabilities carried at fair value:
Credit Suisse Floating Rate High Income Fund
Schedule of Investments
January 31, 2020 (unaudited)
Assets | | Level 1 | | | Level 2 | | | Level 3 | | | Total |
Investments in Securities |
Bank Loans | | $ | — | | | $ | 1,680,524,738 | | | $ | 142,780,407 | | | $ | 1,823,305,145 |
Corporate Bonds | | | — | | | | 180,172,437 | | | | — | | | | 180,172,437 |
Asset Backed Securities | | | — | | | | 117,859,189 | | | | — | | | | 117,859,189 |
Common Stocks | | | 201,180 | | | | 109,047 | | | | 7,463,606 | | | | 7,773,833 |
Warrants | | | — | | | | 33,148 | | | | 01 | | | | 33,148 |
Short-term Investments | | | — | | | | 15,105,793 | | | | 13,832,637 | | | | 28,938,430 |
| | $ | 201,180 | | | $ | 1,993,804,352 | | | $ | 164,076,650 | | | $ | 2,158,082,182 |
| | | | | | | | | | | | | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 18,844 | | | $ | — | | | $ | 18,844 |
| | | | | | | | | | | | | | | |
Liabilities | | | Level 1 | | | | Level 2 | | | | Level 3 | | | | Total |
| | | | | | | | | | | | | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 2,594,823 | | | $ | — | | | $ | 2,594,823 |
|
1 | Included a zero valued security. |
* | Other financial instruments include unrealized appreciation/(depreciation) on forward foreign currency contracts. |
The following is a reconciliation of investments as of January 31, 2020 for which significant unobservable inputs were used in determining fair value. All transfers, if any, are assumed to occur at the end of the reporting period.
| | Bank Loans | | | Common Stocks | | | Short Term Investments | | | Warrants | | | Total | |
Balance as of October 31, 2019 | | $ | 207,914,608 | | | $ | 7,879,856 | | | $ | - | | | $ | - | (1) | | $ | 215,794,464 | |
Accrued discounts (premiums) | | | 146,516 | | | | - | | | | 45,166 | | | | - | | | | 191,682 | |
Purchases | | | 11,249,679 | | | | - | | | | 13,787,471 | | | | - | | | | 25,037,150 | |
Sales | | | (27,455,723 | ) | | | - | | | | - | | | | - | | | | (27,455,723 | ) |
Realized gain (loss) | | | 142,873 | | | | - | | | | - | | | | - | | | | 142,873 | |
Change in unrealized appreciation (depreciation) | | | 3,852,912 | | | | (416,250 | ) | | | - | | | | - | | | | 3,436,662 | |
Transfers into Level 3 | | | 5,591,899 | | | | - | | | | - | | | | - | | | | 5,591,899 | |
Transfers out of Level 3 | | | (58,662,357 | ) | | | - | | | | - | | | | - | | | | (58,662,357 | ) |
Balance as of January 31, 2020 | | $ | 142,780,407 | | | $ | 7,463,606 | | | $ | 13,832,637 | | | $ | - | (1) | | $ | 164,076,650 | |
| | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) | | | | | | | | | | | | | | | | | | | | |
from investments still held as of January 31, 2020 | | $ | 2,203,888 | | | $ | (416,250 | ) | | $ | - | | | $ | - | | | $ | 1,787,638 | |
| | | | | | | | | | | | | | | | | | | | |
(1)Includes zero valued securities | | | | | | | | | | | | | | | | | | | | |
Quantitative Disclosure About Significant Unobservable Inputs
| | Fair Value | | Valuation | | Unobservable | | Range | |
Asset Class | | At 01/31/2020 | | Technique | | Input | | (Weighted Average)* | |
| | | | | | | | | |
Bank Loans | | $ | 3,151,143 | | Market Approach | | EBITDA Multiples | | 7.0 (N/A) | |
| | $ | 139,629,264 | | Vendor pricing | | Single Broker Quote | | $0.06 - $1.13 ($0.99) | |
Common Stocks | | $ | 2 | | Income Approach | | Expected Remaining Distribution | | $0.00 - $0.01 ($0.01) | |
| | $ | 4,400,112 | | Market Approach | | EBITDA Multiples | | 2.4 - 7.7 (7.7) | |
| | $ | 3,063,492 | | Vendor pricing | | Single Broker Quote | | 22.75 (N/A) | |
Short Term Investments | | $ | 13,832,637 | | Discounted Cash Flow | | Discount Rate | | 3.91% - 4.00% (3.96%) | |
Warrants | | $ | 0 | | Market Approach | | EBITDA Multiples | | 7.7 (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 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.
During the period ended January 31, 2020, $5,591,899 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $58,662,357 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.
Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Fund's website at www.credit-suisse.com/us/funds, as well as on the website of the Securities and Exchange Commission at www.sec.gov.
Credit Suisse Strategic Income Fund
Schedule of Investments
January 31, 2020 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
CORPORATE BONDS (42.7%) | | | | | | | | | |
Aerospace & Defense (1.3%) | | | | | | | | | |
$ | 2,150 | | | Signature Aviation U.S. Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/23 @ 102.00)(1) | | (BB, Ba2) | | 03/01/28 | | | 4.000 | | | $ | 2,130,473 | |
| 750 | | | TransDigm, Inc., Global Company Guaranteed Notes (Callable 03/15/22 @ 103.75) | | (B-, B3) | | 03/15/27 | | | 7.500 | | | | 822,637 | |
| 1,350 | | | TransDigm, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/22 @ 103.13)(1) | | (B+, Ba3) | | 03/15/26 | | | 6.250 | | | | 1,458,505 | |
| | | | | | | | | | | | | | | 4,411,615 | |
| | | | | | | | | | | | | | | | |
Auto Parts & Equipment (1.5%) | | | | | | | | | |
| 1,350 | | | Cooper-Standard Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/21 @ 102.81)(1) | | (B-, B3) | | 11/15/26 | | | 5.625 | | | | 1,255,294 | |
| 1,400 | | | Delphi Technologies PLC, Rule 144A, Company Guaranteed Notes(1) | | (BB-, B2) | | 10/01/25 | | | 5.000 | | | | 1,554,000 | |
| 1,835 | | | Panther Finance Co., Inc., Rule 144A, Company Guaranteed Notes (Callable 05/15/22 @ 104.25)(1) | | (B, B3) | | 05/15/27 | | | 8.500 | | | | 1,976,020 | |
| 500 | | | Panther Finance Co., Inc., Rule 144A, Senior Secured Notes (Callable 05/15/22 @ 103.13)(1) | | (B+, Ba3) | | 05/15/26 | | | 6.250 | | | | 537,238 | |
| | | | | | | | | | | | | | | 5,322,552 | |
| | | | | | | | | | | | | | | | |
Brokerage (0.5%) | | | | | | | | | |
| 1,500 | | | LPL Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/15/20 @ 104.31)(1) | | (BB, B1) | | 09/15/25 | | | 5.750 | | | | 1,567,485 | |
| | | | | | | | | | | | | | | | |
Building & Construction (0.2%) | | | | | | | | | |
| 658 | | | TopBuild Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/21 @ 102.81)(1) | | (BB, B1) | | 05/01/26 | | | 5.625 | | | | 687,839 | |
| | | | | | | | | | | | | | | | |
Building Materials (3.2%) | | | | | | | | | |
| 700 | | | Advanced Drainage Systems, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/30/22 @ 102.50)(1) | | (B, B1) | | 09/30/27 | | | 5.000 | | | | 724,743 | |
| 1,000 | | | Installed Building Products, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 102.88)(1) | | (B+, B3) | | 02/01/28 | | | 5.750 | | | | 1,065,348 | |
| 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 | | | | 1,463,066 | |
| 500 | | | Jeld-Wen, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/22 @ 102.44)(1) | | (BB-, B1) | | 12/15/27 | | | 4.875 | | | | 518,924 | |
| 750 | | | Masonite International Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 102.69)(1) | | (BB+, Ba3) | | 02/01/28 | | | 5.375 | | | | 790,997 | |
| 3,050 | | | Omnimax International, Inc., Rule 144A, Senior Secured Notes (Callable 02/18/20 @ 100.00)(1) | | (CCC, Caa1) | | 08/15/20 | | | 12.000 | | | | 3,028,307 | |
| 2,310 | | | PriSo Acquisition Corp., Rule 144A, Senior Unsecured Notes (Callable 03/02/20 @ 102.25)(1) | | (CCC+, Caa1) | | 05/15/23 | | | 9.000 | | | | 2,263,800 | |
| 1,000 | | | Summit Materials Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 06/01/20 @ 102.56)(1) | | (BB, B3) | | 06/01/25 | | | 5.125 | | | | 1,025,415 | |
| | | | | | | | | | | | | | | 10,880,600 | |
| | | | | | | | | | | | | | | | |
Cable & Satellite TV (1.7%) | | | | | | | | | |
| 800 | | | Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 05/15/21 @ 103.75)(1) | | (B, B2) | | 05/15/26 | | | 7.500 | | | | 856,440 | |
| 550 | | | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 102.69)(1) | | (BB, Ba3) | | 02/01/28 | | | 5.375 | | | | 584,277 | |
| 900 | | | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 05/15/21 @ 102.75)(1) | | (BB, Ba3) | | 05/15/26 | | | 5.500 | | | | 945,025 | |
| 300 | | | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 10/15/20 @ 103.31)(1) | | (BB, Ba3) | | 10/15/25 | | | 6.625 | | | | 317,472 | |
| 251 | | | CSC Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/20 @ 105.44)(1) | | (B, B3) | | 10/15/25 | | | 10.875 | | | | 278,503 | |
| 614 | | | Midcontinent Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/15/22 @ 102.69)(1) | | (B, B3) | | 08/15/27 | | | 5.375 | | | | 651,053 | |
| 1,200 | | | Telenet Finance Luxembourg Notes Sarl, Rule 144A, Senior Secured Notes (Callable 12/01/22 @ 102.75)(1) | | (BB-, Ba3) | | 03/01/28 | | | 5.500 | | | | 1,284,000 | |
| 461 | | | Virgin Media Secured Finance PLC, Rule 144A, Senior Secured Notes (Callable 08/15/21 @ 102.75)(1) | | (BB-, Ba3) | | 08/15/26 | | | 5.500 | | | | 484,554 | |
| 500 | | | Ziggo B.V., Rule 144A, Senior Secured Notes (Callable 01/15/22 @ 102.75)(1) | | (B+, B1) | | 01/15/27 | | | 5.500 | | | | 530,925 | |
| | | | | | | | | | | | | | | 5,932,249 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
CORPORATE BONDS(continued) | | | | | | | | | | | | |
Chemicals(2.9%) | | | | | | | | | | | | |
$ | 1,025 | | | Alpha U.S. Bidco, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/02/20 @ 103.13)(1) | | (CCC+, Caa1) | | 02/01/25 | | | 6.250 | | | $ | 1,051,906 | |
| 1,250 | | | Atotech Alpha 2 B.V., 8.75% Cash, 9.50% PIK, Rule 144A, Senior Unsecured Notes (Callable 03/02/20 @ 102.00)(1),(2) | | (CCC+, Caa1) | | 06/01/23 | | | 8.750 | | | | 1,275,644 | |
| 1,540 | | | Ingevity Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/21 @ 102.25)(1) | | (NR, Ba3) | | 02/01/26 | | | 4.500 | | | | 1,559,785 | |
| 1,000 | | | Nufarm Americas, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/30/21 @ 102.88)(1) | | (BB-, B1) | | 04/30/26 | | | 5.750 | | | | 972,848 | |
| 1,250 | | | PQ Corp., Rule 144A, Senior Secured Notes (Callable 03/02/20 @ 103.38)(1) | | (BB-, B1) | | 11/15/22 | | | 6.750 | | | | 1,284,366 | |
| 52 | | | Reichhold Industries, Inc., Rule 144A, Senior Secured Notes(1),(3),(4),(5),(6) | | (NR, NR) | | 05/01/18 | | | 9.000 | | | | 706 | |
| 1,500 | | | Starfruit U.S. Holdco LLC, Rule 144A, Senior Unsecured Notes (Callable 10/01/21 @ 104.00)(1) | | (B-, Caa1) | | 10/01/26 | | | 8.000 | | | | 1,560,037 | |
| 750 | | | Tronox, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/21 @ 103.25)(1) | | (B, B3) | | 04/15/26 | | | 6.500 | | | | 748,144 | |
| 1,695 | | | Venator Materials LLC, Rule 144A, Company Guaranteed Notes (Callable 07/15/20 @ 104.31)(1) | | (BB-, B2) | | 07/15/25 | | | 5.750 | | | | 1,555,162 | |
| | | | | | | | | | | | | | | 10,008,598 | |
| | | | | | | | | | | | | | | | |
Consumer/Commercial/Lease Financing (0.6%) | | | | | | | | | |
| 2,170 | | | Cargo Aircraft Management, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 102.38)(1) | | (B+, Ba3) | | 02/01/28 | | | 4.750 | | | | 2,208,062 | |
| | | | | | | | | | | | | | | | |
Diversified Capital Goods (0.7%) | | | | | | | | | |
| 1,100 | | | Anixter, Inc., Global Company Guaranteed Notes (Callable 09/01/25 @ 100.00) | | (BB, Ba3) | | 12/01/25 | | | 6.000 | | | | 1,169,206 | |
| 350 | | | EnerSys, Rule 144A, Company Guaranteed Notes (Callable 01/30/23 @ 100.00)(1) | | (BB+, Ba3) | | 04/30/23 | | | 5.000 | | | | 369,395 | |
| 750 | | | Stevens Holding Co., Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/23 @ 101.53)(1) | | (B+, B2) | | 10/01/26 | | | 6.125 | | | | 823,386 | |
| | | | | | | | | | | | | | | 2,361,987 | |
Electronics (0.8%) | | | | | | | | | |
| 1,500 | | | Entegris, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/10/20 @ 103.47)(1) | | (BB, Ba2) | | 02/10/26 | | | 4.625 | | | | 1,551,525 | |
| 639 | | | Sensata Technologies B.V., Rule 144A, Company Guaranteed Notes(1) | | (BB+, Ba3) | | 10/01/25 | | | 5.000 | | | | 693,050 | |
| 500 | | | Sensata Technologies Inc., Rule 144A, Company Guaranteed Notes(1) | | (BB+, Ba3) | | 02/15/30 | | | 4.375 | | | | 508,037 | |
| | | | | | | | | | | | | | | 2,752,612 | |
Energy - Exploration & Production (0.5%) | | | | | | | | | |
| 500 | | | Aker BP ASA, Rule 144A, Senior Unsecured Notes (Callable 06/15/21 @ 102.38)(1) | | (BBB-, Ba1) | | 06/15/24 | | | 4.750 | | | | 521,160 | |
| 1,250 | | | W&T Offshore, Inc., Rule 144A, Secured Notes (Callable 11/01/20 @ 104.88)(1) | | (B+, B3) | | 11/01/23 | | | 9.750 | | | | 1,186,613 | |
| | | | | | | | | | | | | | | 1,707,773 | |
Forestry & Paper (0.2%) | | | | | | | | | |
| 575 | | | Norbord, Inc., Rule 144A, Senior Secured Notes (Callable 07/15/22 @ 102.88)(1) | | (BB+, Ba1) | | 07/15/27 | | | 5.750 | | | | 605,387 | |
| | | | | | | | | | | | | | | | |
Gaming (1.7%) | | | | | | | | | |
| 1,500 | | | Churchill Downs, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/23 @ 102.38)(1) | | (B+, Ba3) | | 01/15/28 | | | 4.750 | | | | 1,547,775 | |
| 1,700 | | | Gateway Casinos & Entertainment Ltd., Rule 144A, Secured Notes (Callable 03/02/20 @ 104.13)(1) | | (CCC+, Caa1) | | 03/01/24 | | | 8.250 | | | | 1,775,794 | |
| 1,320 | | | Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/02/20 @ 103.38)(1) | | (CCC+, B3) | | 10/15/24 | | | 6.750 | | | | 1,359,851 | |
| 450 | | | Jacobs Entertainment, Inc., Rule 144A, Secured Notes (Callable 03/02/20 @ 105.91)(1) | | (B, B2) | | 02/01/24 | | | 7.875 | | | | 478,220 | |
| 700 | | | MGP Finance Co-Issuer, Inc., Global Company Guaranteed Notes (Callable 11/01/26 @ 100.00) | | (BB-, B1) | | 02/01/27 | | | 5.750 | | | | 779,625 | |
| | | | | | | | | | | | | | | 5,941,265 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
CORPORATE BONDS(continued) | | | | | | | | | | | | |
Gas Distribution (0.5%) | | | | | | | | | | | | |
$ | 450 | | | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 02/15/21 @ 104.69) | | (B+, B1) | | 05/15/26 | | | 6.250 | | | $ | 430,977 | |
| 750 | | | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 10/01/20 @ 104.88) | | (B+, B1) | | 10/01/25 | | | 6.500 | | | | 733,117 | |
| 650 | | | Holly Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 02/05/20 @ 104.50)(1) | | (BB, B1) | | 08/01/24 | | | 6.000 | | | | 680,999 | |
| | | | | | | | | | | | | | | 1,845,093 | |
| | | | | | | | | | | | | | | | |
Health Facilities (0.3%) | | | | | | | | | | | | |
| 500 | | | HCA, Inc., Company Guaranteed Notes (Callable 03/01/26 @ 100.00) | | (BB-, Ba2) | | 09/01/26 | | | 5.375 | | | | 563,787 | |
| 250 | | | Sabra Health Care LP, Global Company Guaranteed Notes (Callable 05/15/26 @ 100.00) | | (BBB-, Ba1) | | 08/15/26 | | | 5.125 | | | | 273,616 | |
| 275 | | | Surgery Center Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/22 @ 105.00)(1) | | (CCC, Caa2) | | 04/15/27 | | | 10.000 | | | | 306,721 | |
| | | | | | | | | | | | | | | 1,144,124 | |
| | | | | | | | | | | | | | | | |
Health Services (1.1%) | | | | | | | | | | | | |
| 1,500 | | | AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/17/20 @ 103.84)(1) | | (BB-, Ba2) | | 10/01/24 | | | 5.125 | | | | 1,551,247 | |
| 900 | | | CareTrust Capital Corp., Company Guaranteed Notes (Callable 06/01/20 @ 103.94) | | (BB, Ba2) | | 06/01/25 | | | 5.250 | | | | 936,374 | |
| 1,250 | | | Radiology Partners, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 104.63)(1) | | (CCC+, Caa2) | | 02/01/28 | | | 9.250 | | | | 1,303,125 | |
| | | | | | | | | | | | | | | 3,790,746 | |
| | | | | | | | | | | | | | | | |
Insurance Brokerage (1.2%) | | | | | | | | | | | | |
| 500 | | | Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/22 @ 107.59)(1) | | (CCC+, Caa2) | | 08/01/26 | | | 10.125 | | | | 547,436 | |
| 700 | | | Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/20 @ 103.50)(1) | | (CCC+, Caa2) | | 11/15/25 | | | 7.000 | | | | 687,743 | |
| 750 | | | GTCR AP Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/15/22 @ 104.00)(1) | | (CCC+, Caa2) | | 05/15/27 | | | 8.000 | | | | 797,136 | |
| 1,375 | | | NFP Corp., Rule 144A, Senior Unsecured Notes (Callable 07/15/20 @ 103.44)(1) | | (CCC+, Caa2) | | 07/15/25 | | | 6.875 | | | | 1,401,812 | |
| 500 | | | NFP Corp., Rule 144A, Senior Unsecured Notes (Callable 07/15/20 @ 104.00)(1) | | (CCC+, Caa2) | | 07/15/25 | | | 8.000 | | | | 520,058 | |
| | | | | | | | | | | | | | | 3,954,185 | |
| | | | | | | | | | | | | | | | |
lnvestments & Misc. Financial Services (0.7%) | | | | | | | | | | | | |
| 2,200 | | | Compass Group Diversified Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 05/01/21 @ 104.00)(1) | | (B, B2) | | 05/01/26 | | | 8.000 | | | | 2,401,514 | |
| | | | | | | | | | | | | | | | |
Machinery (0.4%) | | | | | | | | | | | | |
| 1,450 | | | Rexnord LLC, Rule 144A, Company Guaranteed Notes (Callable 12/15/20 @ 102.44)(1) | | (BB-, B1) | | 12/15/25 | | | 4.875 | | | | 1,486,018 | |
| | | | | | | | | | | | | | | | |
Managed Care (0.3%) | | | | | | | | | | | | |
| 370 | | | Centene Corp., Rule 144A, Senior Unsecured Notes (Callable 08/15/21 @ 104.03)(1) | | (BBB-, Ba2) | | 08/15/26 | | | 5.375 | | | | 394,513 | |
| 540 | | | Centene Corp., Rule 144A, Senior Unsecured Notes (Callable 12/15/24 @ 102.31)(1) | | (BBB-, Ba1) | | 12/15/29 | | | 4.625 | | | | 581,445 | |
| | | | | | | | | | | | | | | 975,958 | |
| | | | | | | | | | | | | | | | |
Media - Diversified (0.1%) | | | | | | | | | | | | |
| 250 | | | National CineMedia LLC, Global Senior Unsecured Notes (Callable 08/15/21 @ 102.88) | | (B-, B3) | | 08/15/26 | | | 5.750 | | | | 247,587 | |
| 200 | | | National CineMedia LLC, Rule 144A, Senior Secured Notes (Callable 04/15/23 @ 102.94)(1) | | (B+, Ba3) | | 04/15/28 | | | 5.875 | | | | 209,430 | |
| | | | | | | | | | | | | | | 457,017 | |
| | | | | | | | | | | | | | | | |
Media Content (1.4%) | | | | | | | | | | | | |
| 325 | | | Diamond Sports Finance Co., Rule 144A, Company Guaranteed Notes (Callable 08/15/22 @ 103.31)(1) | | (B, B2) | | 08/15/27 | | | 6.625 | | | | 304,476 | |
| 2,000 | | | Diamond Sports Finance Co., Rule 144A, Senior Secured Notes (Callable 08/15/22 @ 102.69)(1) | | (BB, Ba2) | | 08/15/26 | | | 5.375 | | | | 1,995,952 | |
| 733 | | | Sirius XM Radio, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/01/24 @ 102.75)(1) | | (BB, Ba3) | | 07/01/29 | | | 5.500 | | | | 790,174 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
CORPORATE BONDS(continued) | | | | | | | | | | | | |
Media Content | | | | | | | | | | | | |
$ | 1,500 | | | WMG Acquisition Corp., Rule 144A, Senior Secured Notes (Callable 02/11/20 @ 103.66)(1) | | (BB-, Ba3) | | 11/01/24 | | | 4.875 | | | $ | 1,549,373 | |
| | | | | | | | | | | | | | | 4,639,975 | |
| | | | | | | | | | | | | | | | |
Metals & Mining - Excluding Steel (1.8%) | | | | | | | | | | | | |
| 1,600 | | | Cleveland-Cliffs, Inc., Rule 144A, Senior Secured Notes (Callable 01/15/21 @ 102.44)(1) | | (BB, Ba2) | | 01/15/24 | | | 4.875 | | | | 1,611,336 | |
| 500 | | | First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes (Callable 03/01/21 @ 105.16)(1) | | (B-, NR) | | 03/01/26 | | | 6.875 | | | | 483,425 | |
| 1,000 | | | First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes (Callable 09/01/20 @ 103.25)(1) | | (B-, NR) | | 03/01/24 | | | 6.500 | | | | 967,085 | |
| 1,310 | | | Kaiser Aluminum Corp., Rule 144A, Company Guaranteed Notes (Callable 03/01/23 @ 102.31)(1) | | (BB+, Ba3) | | 03/01/28 | | | 4.625 | | | | 1,338,624 | |
| 1,950 | | | Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 03/02/20 @ 104.38)(1),(6) | | (B-, B3) | | 06/15/22 | | | 8.750 | | | | 1,721,483 | |
| | | | | | | | | | | | | | | 6,121,953 | |
| | | | | | | | | | | | | | | | |
Oil Field Equipment & Services (0.7%) | | | | | | | | | | | | |
| 300 | | | KCA Deutag UK Finance PLC, Rule 144A, Senior Secured Notes (Callable 03/02/20 @ 100.00)(1) | | (CCC+, Caa1) | | 05/15/21 | | | 7.250 | | | | 209,370 | |
| 2,140 | | | Pioneer Energy Services Corp., Global Company Guaranteed Notes (Callable 03/02/20 @ 101.53) | | (CC, Caa2) | | 03/15/22 | | | 6.125 | | | | 497,550 | |
| 2,000 | | | Shelf Drilling Holdings Ltd., Rule 144A, Company Guaranteed Notes (Callable 02/15/21 @ 106.19)(1) | | (B-, Caa1) | | 02/15/25 | | | 8.250 | | | | 1,864,980 | |
| | | | | | | | | | | | | | | 2,571,900 | |
| | | | | | | | | | | | | | | | |
Packaging (2.1%) | | | | | | | | | | | | |
| 1,300 | | | Ardagh Holdings U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/20 @ 104.50)(1) | | (B, B3) | | 02/15/25 | | | 6.000 | | | | 1,361,750 | |
| 130 | | | Crown Americas Capital Corp. VI, Global Company Guaranteed Notes (Callable 02/01/21 @ 103.56) | | (BB-, Ba3) | | 02/01/26 | | | 4.750 | | | | 135,096 | |
| 1,500 | | | Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes (Callable 03/02/20 @ 103.44)(1) | | (CCC+, Caa2) | | 01/15/25 | | | 6.875 | | | | 1,509,360 | |
| 630 | | | Reynolds Group Issuer LLC, Global Senior Secured Notes (Callable 03/02/20 @ 100.00) | | (B+, B1) | | 10/15/20 | | | 5.750 | | | | 632,156 | |
| 500 | | | Reynolds Group Issuer LLC, Rule 144A, Senior Secured Notes (Callable 03/02/20 @ 102.56)(1) | | (B+, B1) | | 07/15/23 | | | 5.125 | | | | 511,297 | |
| 475 | | | Silgan Holdings, Inc., Global Senior Unsecured Notes (Callable 03/15/20 @ 102.38) | | (BB-, Ba3) | | 03/15/25 | | | 4.750 | | | | 485,885 | |
| 2,010 | | | TriMas Corp., Rule 144A, Company Guaranteed Notes (Callable 10/15/20 @ 102.44)(1) | | (BB-, Ba3) | | 10/15/25 | | | 4.875 | | | | 2,064,019 | |
| 500 | | | Trivium Packaging Finance B.V., Rule 144A, Senior Secured Notes (Callable 08/15/22 @ 102.75)(1) | | (B+, B2) | | 08/15/26 | | | 5.500 | | | | 527,812 | |
| | | | | | | | | | | | | | | 7,227,375 | |
| | | | | | | | | | | | | | | | |
Personal & Household Products (0.9%) | | | | | | | | | | | | |
| 750 | | | High Ridge Brands Co., Rule 144A, Company Guaranteed Notes (Callable 03/15/20 @ 104.44)(1),(5) | | (NR, Wr) | | 03/15/25 | | | 8.875 | | | | 9,375 | |
| 675 | | | Mattel, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/22 @ 104.41)(1) | | (BB-, B1) | | 12/15/27 | | | 5.875 | | | | 710,775 | |
| 1,430 | | | Mattel, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/31/20 @ 105.06)(1) | | (BB-, B1) | | 12/31/25 | | | 6.750 | | | | 1,536,656 | |
| 960 | | | Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/02/20 @ 103.19)(1) | | (B+, B3) | | 03/01/24 | | | 6.375 | | | | 992,002 | |
| | | | | | | | | | | | | | | 3,248,808 | |
| | | | | | | | | | | | | | | | |
Pharmaceuticals (1.3%) | | | | | | | | | | | | |
| 950 | | | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/23 @ 103.50)(1) | | (B, B3) | | 01/15/28 | | | 7.000 | | | | 1,030,741 | |
| 24 | | | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 03/02/20 @ 101.47)(1) | | (B, B3) | | 05/15/23 | | | 5.875 | | | | 24,225 | |
| 500 | | | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/21 @ 104.50)(1) | | (B, B3) | | 12/15/25 | | | 9.000 | | | | 565,625 | |
| 750 | | | Bausch Health Cos., Inc., Rule 144A, Senior Secured Notes (Callable 11/01/20 @ 102.75)(1) | | (BB, Ba2) | | 11/01/25 | | | 5.500 | | | | 778,436 | |
| 200 | | | Endo Finance LLC, Rule 144A, Company Guaranteed Notes (Callable 03/02/20 @ 103.00)(1) | | (CCC+, Caa2) | | 02/01/25 | | | 6.000 | | | | 139,062 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
CORPORATE BONDS(continued) | | | | | | | | | | | | |
Pharmaceuticals | | | | | | | | | | | | |
$ | 750 | | | Horizon Therapeutics U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 08/01/22 @ 104.13)(1) | | (BB-, B1) | | 08/01/27 | | | 5.500 | | | $ | 801,113 | |
| 1,538 | | | Owens & Minor, Inc., Global Senior Secured Notes (Callable 09/15/24 @ 100.00) | | (B, B3) | | 12/15/24 | | | 4.375 | | | | 1,188,743 | |
| | | | | | | | | | | | | | | 4,527,945 | |
| | | | | | | | | | | | | | | | |
Real Estate Development & Management (0.7%) | | | | | | | | | | | | |
| 2,125 | | | Newmark Group, Inc., Global Senior Unsecured Notes (Callable 10/15/23 @ 100.00) | | (BB+, NR) | | 11/15/23 | | | 6.125 | | | | 2,331,883 | |
| | | | | | | | | | | | | | | | |
Real Estate Investment Trusts (0.8%) | | | | | | | | | | | | |
| 2,000 | | | ESH Hospitality, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/01/20 @ 102.63)(1) | | (BB-, Ba3) | | 05/01/25 | | | 5.250 | | | | 2,054,170 | |
| 250 | | | iStar, Inc., Senior Unsecured Notes (Callable 03/02/20 @ 102.63) | | (BB, Ba3) | | 09/15/22 | | | 5.250 | | | | 255,859 | |
| 500 | | | Starwood Property Trust, Inc., Global Senior Unsecured Notes (Callable 09/15/21 @ 100.00) | | (BB-, Ba3) | | 12/15/21 | | | 5.000 | | | | 513,625 | |
| | | | | | | | | | | | | | | 2,823,654 | |
| | | | | | | | | | | | | | | | |
Recreation & Travel (2.0%) | | | | | | | | | | | | |
| 1,430 | | | Boyne U.S.A., Inc., Rule 144A, Secured Notes (Callable 05/01/21 @ 103.63)(1) | | (B, B1) | | 05/01/25 | | | 7.250 | | | | 1,555,718 | |
| 1,500 | | | Canada's Wonderland Co., Global Company Guaranteed Notes (Callable 04/15/22 @ 102.69) | | (BB-, B1) | | 04/15/27 | | | 5.375 | | | | 1,592,141 | |
| 750 | | | Cedar Fair LP, Rule 144A, Company Guaranteed Notes (Callable 07/15/24 @ 102.63)(1) | | (BB-, B1) | | 07/15/29 | | | 5.250 | | | | 792,638 | |
| 600 | | | Merlin Entertainments PLC, Rule 144A, Company Guaranteed Notes (Callable 03/17/26 @ 100.00)(1) | | (B+, Ba3) | | 06/15/26 | | | 5.750 | | | | 657,209 | |
| 750 | | | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 03/02/20 @ 103.66)(1) | | (BB-, B2) | | 07/31/24 | | | 4.875 | | | | 767,501 | |
| 1,635 | | | Speedway Funding II, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/22 @ 102.44)(1) | | (BB+, B1) | | 11/01/27 | | | 4.875 | | | | 1,651,350 | |
| | | | | | | | | | | | | | | 7,016,557 | |
| | | | | | | | | | | | | | | | |
Restaurants (0.6%) | | | | | | | | | | | | |
| 1,100 | | | New Red Finance, Inc., Rule 144A, Secured Notes (Callable 10/15/20 @ 102.50)(1) | | (B+, B2) | | 10/15/25 | | | 5.000 | | | | 1,137,164 | |
| 750 | | | Yum! Brands, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/15/29 @ 100.00)(1) | | (B+, B1) | | 01/15/30 | | | 4.750 | | | | 802,950 | |
| | | | | | | | | | | | | | | 1,940,114 | |
| | | | | | | | | | | | | | | | |
Software - Services (2.2%) | | | | | | | | | | | | |
| 1,125 | | | CDK Global, Inc., Global Senior Unsecured Notes (Callable 06/01/22 @ 102.44) | | (BB+, Ba1) | | 06/01/27 | | | 4.875 | | | | 1,182,687 | |
| 383 | | | Epicor Software Corp., Rule 144A, Secured Notes (Callable 03/02/20 @ 100.00), LIBOR 3M + 7.250%(1),(7) | | (CCC, Caa2) | | 06/30/23 | | | 9.190 | | | | 383,005 | |
| 2,250 | | | GD Finance Co., Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/22 @ 102.63)(1) | | (BB-, B1) | | 12/01/27 | | | 5.250 | | | | 2,363,850 | |
| 3,400 | | | Solera Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/02/20 @ 105.25)(1) | | (CCC+, Caa1) | | 03/01/24 | | | 10.500 | | | | 3,606,839 | |
| | | | | | | | | | | | | | | 7,536,381 | |
| | | | | | | | | | | | | | | | |
Specialty Retail (1.2%) | | | | | | | | | | | | |
| 500 | | | eG Global Finance PLC, Rule 144A, Senior Secured Notes (Callable 10/30/21 @ 104.25)(1) | | (B, B2) | | 10/30/25 | | | 8.500 | | | | 531,042 | |
| 770 | | | Lithia Motors, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/01/20 @ 103.94)(1) | | (BB, Ba2) | | 08/01/25 | | | 5.250 | | | | 797,270 | |
| 750 | | | Lithia Motors, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/22 @ 103.47)(1) | | (BB, Ba2) | | 12/15/27 | | | 4.625 | | | | 768,750 | |
| 500 | | | Penske Automotive Group, Inc., Company Guaranteed Notes (Callable 05/15/21 @ 102.75) | | (B+, Ba3) | | 05/15/26 | | | 5.500 | | | | 518,450 | |
| 1,750 | | | Ruyi U.S. Finance LLC, Rule 144A, Senior Secured Notes (Callable 05/01/21 @ 105.63)(1) | | (NR, B3) | | 05/01/25 | | | 7.500 | | | | 1,422,601 | |
| | | | | | | | | | | | | | | 4,038,113 | |
| | | | | | | | | | | | | | | | |
Steel Producers/Products (0.0%) | | | | | | | | | | | | |
| 120 | | | Zekelman Industries, Inc., Rule 144A, Senior Secured Notes (Callable 03/02/20 @ 104.94)(1) | | (B+, B2) | | 06/15/23 | | | 9.875 | | | | 126,525 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
CORPORATE BONDS(continued) | | | | | | | | | | | | |
Support - Services(2.3%) | | | | | | | | | | | | |
$ | 863 | | | ASGN, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/15/23 @ 102.31)(1) | | (BB-, Ba3) | | 05/15/28 | | | 4.625 | | | $ | 881,857 | |
| 650 | | | Ashtead Capital, Inc., Rule 144A, Secured Notes (Callable 08/01/21 @ 103.94)(1) | | (BBB-, Baa3) | | 08/01/26 | | | 5.250 | | | | 694,101 | |
| 500 | | | CoreCivic, Inc., Company Guaranteed Notes (Callable 07/15/27 @ 100.00) | | (BB, Ba1) | | 10/15/27 | | | 4.750 | | | | 461,262 | |
| 275 | | | Gartner, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/20 @ 103.84)(1) | | (BB-, B1) | | 04/01/25 | | | 5.125 | | | | 286,458 | |
| 1,000 | | | Gems Education Delaware LLC, Rule 144A, Senior Secured Notes (Callable 07/31/22 @ 103.56)(1) | | (B, B2) | | 07/31/26 | | | 7.125 | | | | 1,045,765 | |
| 540 | | | KAR Auction Services, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/20 @ 103.84)(1) | | (B+, B3) | | 06/01/25 | | | 5.125 | | | | 555,074 | |
| 1,185 | | | Korn Ferry, Rule 144A, Company Guaranteed Notes (Callable 12/15/22 @ 102.31)(1) | | (BB, Ba3) | | 12/15/27 | | | 4.625 | | | | 1,192,525 | |
| 200 | | | United Rentals North America, Inc., Company Guaranteed Notes (Callable 10/15/20 @ 102.31) | | (BB-, Ba3) | | 10/15/25 | | | 4.625 | | | | 204,792 | |
| 250 | | | United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 12/15/21 @ 103.25) | | (BB-, Ba3) | | 12/15/26 | | | 6.500 | | | | 272,025 | |
| 500 | | | United Rentals North America, Inc., Secured Notes (Callable 11/15/22 @ 101.94) | | (BBB-, Ba1) | | 11/15/27 | | | 3.875 | | | | 505,925 | |
| 1,754 | | | WeWork Cos., Inc., Rule 144A, Company Guaranteed Notes(1) | | (B, Wr) | | 05/01/25 | | | 7.875 | | | | 1,363,717 | |
| 450 | | | Williams Scotsman International, Inc., Rule 144A, Senior Secured Notes (Callable 08/15/20 @ 103.44)(1) | | (B, B3) | | 08/15/23 | | | 6.875 | | | | 473,960 | |
| | | | | | | | | | | | | | | 7,937,461 | |
Tech Hardware & Equipment(1.1%) | | | | | | | | | | | | |
| 750 | | | CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 03/15/22 @ 102.50)(1) | | (B-, B3) | | 03/15/27 | | | 5.000 | | | | 682,519 | |
| 1,150 | | | CommScope, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/22 @ 104.13)(1) | | (B-, B3) | | 03/01/27 | | | 8.250 | | | | 1,183,753 | |
| 500 | | | CommScope, Inc., Rule 144A, Senior Secured Notes (Callable 03/01/22 @ 103.00)(1) | | (B+, Ba3) | | 03/01/26 | | | 6.000 | | | | 525,313 | |
| 1,115 | | | EMC Corp., Rule 144A, Senior Secured Notes (Callable 08/01/26 @ 100.00)(1) | | (BBB-, Baa3) | | 10/01/26 | | | 4.900 | | | | 1,242,187 | |
| | | | | | | | | | | | | | | 3,633,772 | |
Telecom - Wireless(0.5%) | | | | | | | | | | | | |
| 250 | | | T-Mobile U.S.A., Inc., Company Guaranteed Notes (Callable 02/01/21 @ 102.25) | | (BB+, Ba2) | | 02/01/26 | | | 4.500 | | | | 257,570 | |
| 1,300 | | | T-Mobile U.S.A., Inc., Company Guaranteed Notes (Callable 02/01/23 @ 102.38) | | (BB+, Ba2) | | 02/01/28 | | | 4.750 | | | | 1,385,280 | |
| | | | | | | | | | | | | | | 1,642,850 | |
Telecom - Wireline Integrated & Services(1.1%) | | | | | | | | | | | | |
| 475 | | | Altice France S.A., Rule 144A, Senior Secured Notes (Callable 05/01/21 @ 103.69)(1) | | (B, B2) | | 05/01/26 | | | 7.375 | | | | 506,792 | |
| 200 | | | Equinix, Inc., Senior Unsecured Notes (Callable 05/15/22 @ 102.69) | | (BBB-, Ba1) | | 05/15/27 | | | 5.375 | | | | 217,130 | |
| 1,125 | | | GTT Communications, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/02/20 @ 105.91)(1) | | (CCC, Caa1) | | 12/31/24 | | | 7.875 | | | | 880,313 | |
| 1,000 | | | LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes (Callable 10/15/22 @ 103.38)(1) | | ((P)B+, B1) | | 10/15/27 | | | 6.750 | | | | 1,059,390 | |
| 1,100 | | | QTS Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 11/15/20 @ 103.56)(1) | | (BB, B1) | | 11/15/25 | | | 4.750 | | | | 1,140,331 | |
| | | | | | | | | | | | | | | 3,803,956 | |
Theaters & Entertainment(1.3%) | | | | | | | | | | | | |
| 1,725 | | | AMC Entertainment Holdings, Inc., Global Company Guaranteed Notes (Callable 05/15/22 @ 103.06) | | (CCC+, B3) | | 05/15/27 | | | 6.125 | | | | 1,470,606 | |
| 1,679 | | | Cinemark U.S.A., Inc., Global Company Guaranteed Notes (Callable 03/02/20 @ 101.63) | | (BB, B2) | | 06/01/23 | | | 4.875 | | | | 1,704,168 | |
| 500 | | | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/06/20 @ 103.66)(1) | | (B+, Ba3) | | 11/01/24 | | | 4.875 | | | | 518,045 | |
| 650 | | | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/22 @ 103.56)(1) | | (B+, Ba3) | | 10/15/27 | | | 4.750 | | | | 669,922 | |
| | | | | | | | | | | | | | | 4,362,741 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
CORPORATE BONDS(continued) | | | | | | | | | | | | |
Transport Infrastructure/Services(0.3%) | | | | | | | | | | | | |
$ | 1,300 | | | Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes (Callable 03/03/20 @ 100.00)(1) | | (B, Caa2) | | 08/15/22 | | | 11.250 | | | $ | 874,656 | |
TOTAL CORPORATE BONDS(Cost $145,839,803) | | | | | | | | | | | 146,849,298 | |
| | | | | | | | | | | | | | | | |
BANK LOANS(45.7%) | | | | | | | | | | | | |
Advertising (0.9%) | | | | | | | | | | | | |
| 2,155 | | | Clear Channel Outdoor Holdings, Inc., LIBOR 1M + 3.500%(7) | | (B+, B1) | | 08/21/26 | | | 5.145 | | | | 2,167,266 | |
| 742 | | | MH Sub I LLC, LIBOR 1M + 3.750%(7) | | (B, B2) | | 09/13/24 | | | 5.395 | | | | 742,958 | |
| | | | | | | | | | | | | | | 2,910,224 | |
Aerospace & Defense(0.6%) | | | | | | | | | | | | |
| 992 | | | Sequa Mezzanine Holdings LLC, LIBOR 3M + 5.000%(7) | | (CCC+, B3) | | 11/28/21 | | | 6.904 | | | | 997,576 | |
| 990 | | | TransDigm, Inc., LIBOR 1M + 2.500%(7) | | (B+, Ba3) | | 06/09/23 | | | 4.145 | | | | 990,543 | |
| | | | | | | | | | | | | | | 1,988,119 | |
Auto Parts & Equipment(1.1%) | | | | | | | | | | | | |
| 1,067 | | | Autokiniton U.S. Holdings, Inc., LIBOR 1M + 6.375%(3),(7) | | (BB-, B2) | | 05/22/25 | | | 8.020 | | | | 1,069,751 | |
| 975 | | | Dayco Products LLC, LIBOR 3M + 4.250%(3),(7) | | (B-, B3) | | 05/19/23 | | | 6.159 | | | | 882,375 | |
| 386 | | | Dealer Tire LLC, LIBOR 3M + 4.250%(7) | | (B-, B1) | | 12/12/25 | | | 6.027 | | | | 388,295 | |
| 730 | | | Jason, Inc., LIBOR 3M + 4.500%(6),(7) | | (CCC+, Caa1) | | 06/30/21 | | | 6.445 | | | | 590,290 | |
| 998 | | | Panther BF Aggregator 2 LP, LIBOR 1M + 3.500%(7) | | (B+, Ba3) | | 04/30/26 | | | 5.160 | | | | 1,005,231 | |
| | | | | | | | | | | | | | | 3,935,942 | |
Building & Construction(0.3%) | | | | | | | | | | | | |
| 422 | | | SiteOne Landscape Supply, Inc., LIBOR 1M + 2.750%(7) | | (BB, B2) | | 10/29/24 | | | 4.400 | | | | 425,183 | |
| 550 | | | TRC Co., Inc., LIBOR 1M + 5.000%(7) | | (B, B2) | | 06/21/24 | | | 6.645 | | | | 551,490 | |
| | | | | | | | | | | | | | | 976,673 | |
Building Materials(1.0%) | | | | | | | | | | | | |
| 591 | | | Airxcel, Inc., LIBOR 1M + 4.500%(7) | | (B, B3) | | 04/28/25 | | | 6.145 | | | | 582,466 | |
| 751 | | | Foundation Building Materials Holding, Co. LLC, LIBOR 1M + 3.000%(7) | | (BB-, B2) | | 08/13/25 | | | 4.645 | | | | 755,673 | |
| 1,241 | | | NCI Building Systems, Inc., LIBOR 1M + 3.750%(7) | | (B+, B2) | | 04/12/25 | | | 5.434 | | | | 1,241,336 | |
| 1,006 | | | Priso Acquisition Corp., LIBOR 3M + 3.000%(7) | | (B+, B2) | | 05/08/22 | | | 4.908 | | | | 996,083 | |
| | | | | | | | | | | | | | | 3,575,558 | |
Cable & Satellite TV(0.4%) | | | | | | | | | | | | |
| 489 | | | Altice Financing S.A., LIBOR 1M + 2.750%(7) | | (B, B2) | | 01/31/26 | | | 4.408 | | | | 485,287 | |
| 771 | | | Midcontinent Communications, LIBOR 1M + 2.250%(7) | | (BB, Ba3) | | 08/15/26 | | | 3.908 | | | | 775,937 | |
| | | | | | | | | | | | | | | 1,261,224 | |
Chemicals(2.3%) | | | | | | | | | | | | |
| 414 | | | Allnex (Luxembourg) & Cy S.C.A., LIBOR 3M + 3.250%(7) | | (B, B2) | | 09/13/23 | | | 5.164 | | | | 411,224 | |
| 312 | | | Allnex U.S.A., Inc., LIBOR 3M + 3.250%(7) | | (B, B2) | | 09/13/23 | | | 5.164 | | | | 309,812 | |
| 963 | | | Ascend Performance Materials Operations LLC, LIBOR 3M + 5.250%(7) | | (BB-, B1) | | 08/27/26 | | | 7.195 | | | | 970,600 | |
| 593 | | | Minerals Technologies, Inc.(3),(8) | | (BB+, Ba2) | | 05/09/21 | | | 4.750 | | | | 594,817 | |
| 1,235 | | | PMHC II, Inc., LIBOR 3M + 3.500%(7) | | (CCC+, Caa1) | | 03/31/25 | | | 5.445 | | | | 1,130,736 | |
| 1,486 | | | Polar U.S. Borrower LLC, LIBOR 3M + 4.750%(3),(7) | | (B, B2) | | 10/15/25 | | | 6.625 | | | | 1,480,049 | |
| 745 | | | UTEX Industries, Inc., LIBOR 1M + 4.000%(7) | | (CCC, Caa1) | | 05/22/21 | | | 5.645 | | | | 639,806 | |
| 735 | | | Vantage Specialty Chemicals, Inc., LIBOR 1M + 3.500%(7) | | (B-, B3) | | 10/28/24 | | | 5.209 | | | | 706,335 | |
| 455 | | | Vantage Specialty Chemicals, Inc., LIBOR 3M + 8.250%(6),(7) | | (CCC, Caa2) | | 10/27/25 | | | 10.159 | | | | 397,613 | |
| 1,470 | | | Zep, Inc., LIBOR 3M + 4.000%(7) | | (CCC+, Caa1) | | 08/12/24 | | | 5.945 | | | | 1,167,135 | |
| | | | | | | | | | | | | | | 7,808,127 | |
Diversified Capital Goods(2.0%) | | | | | | | | | | | | |
| 1,119 | | | Callaway Golf Co., LIBOR 1M + 4.500%(7) | | (BB-, Ba3) | | 01/02/26 | | | 6.184 | | | | 1,125,789 | |
| 1,977 | | | Cortes NP Acquisition Corp., LIBOR 1M + 4.000%(7) | | (B+, B2) | | 11/30/23 | | | 5.645 | | | | 1,978,519 | |
| 482 | | | Douglas Dynamics Holdings, Inc., LIBOR 1M + 3.000%(7) | | (BB-, B2) | | 12/31/21 | | | 4.650 | | | | 483,118 | |
| 1,468 | | | Dynacast International LLC, LIBOR 3M + 3.250%(3),(7) | | (B-, B2) | | 01/28/22 | | | 5.195 | | | | 1,431,287 | |
| 490 | | | Element Materials Technology Group U.S. Holdings, Inc., LIBOR 3M + 3.500%(7) | | (B, B1) | | 06/28/24 | | | 5.445 | | | | 489,694 | |
| 955 | | | Filtration Group Corp., LIBOR 1M + 3.000%(7) | | (B, B2) | | 03/29/25 | | | 4.645 | | | | 960,814 | |
| 534 | | | Thermon Industries, Inc., LIBOR 1M + 3.750%(3),(7) | | (B+, B2) | | 10/30/24 | | | 5.531 | | | | 536,002 | |
| | | | | | | | | | | | | | | 7,005,223 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
BANK LOANS (continued) | |
Electronics (1.0%) | |
$ | 489 | | | CPI International, Inc., LIBOR 1M + 3.500%(7) | | (B, B3) | | 07/26/24 | | | 5.145 | | | $ | 486,917 | |
| 500 | | | CPI International, Inc., LIBOR 1M + 7.250%(7) | | (CCC+, Caa2) | | 07/26/25 | | | 8.895 | | | | 481,875 | |
| 1,004 | | | Microchip Technology, Inc., LIBOR 1M + 2.000%(7) | | (BB+, Baa3) | | 05/29/25 | | | 3.650 | | | | 1,008,900 | |
| 1,223 | | | Oberthur Technologies S.A., LIBOR 3M + 3.750%(7) | | (B-, B3) | | 01/10/24 | | | 5.695 | | | | 1,208,781 | |
| 410 | | | Triton Solar U.S. Acquisition Co., LIBOR 1M + 6.000%(7) | | (B, B3) | | 10/29/24 | | | 7.645 | | | | 356,441 | |
| | | | | | | | | | | | | | | 3,542,914 | |
Energy - Exploration & Production (0.5%) | | | | | | | | | | | | |
| 1,493 | | | Lower Cadence Holdings LLC, LIBOR 1M + 4.000%(7) | | (B, B2) | | 05/22/26 | | | 5.645 | | | | 1,461,725 | |
| 845 | | | PES Holdings LLC, LIBOR 3M + 6.990%(5),(7) | | (NR, NR) | | 12/31/22 | | | 6.990 | | | | 351,053 | |
| | | | | | | | | | | | | | | 1,812,778 | |
Environmental (0.1%) | | | | | | | | | | | | |
| 495 | | | GFL Environmental, Inc., LIBOR 1M + 3.000%(7) | | (B+, B1) | | 05/30/25 | | | 4.645 | | | | 494,542 | |
| | | | | | | | | | | | | | | | |
Food - Wholesale (1.1%) | | | | | | | | | | | | |
| 489 | | | AI Aqua Merger Sub, Inc., LIBOR 1M + 3.250%(7) | | (B-, B2) | | 12/13/23 | | | 4.895 | | | | 486,917 | |
| 527 | | | AI Aqua Merger Sub, Inc., LIBOR 3M + 4.250%(3),(7) | | (B-, B2) | | 12/13/23 | | | 6.159 | | | | 528,431 | |
| 990 | | | U.S. Foods, Inc., LIBOR 1M + 1.750%(7) | | (BB+, Ba3) | | 06/27/23 | | | 3.395 | | | | 993,515 | |
| 215 | | | U.S. Foods, Inc., LIBOR 1M + 2.000%(7) | | (BB+, Ba3) | | 09/13/26 | | | 3.645 | | | | 216,005 | |
| 1,734 | | | United Natural Foods, Inc., LIBOR 1M + 4.250%(7) | | (B, B3) | | 10/22/25 | | | 5.895 | | | | 1,560,144 | |
| | | | | | | | | | | | | | | 3,785,012 | |
Gaming (1.2%) | | | | | | | | | | | | |
| 978 | | | CBAC Borrower LLC, LIBOR 1M + 4.000%(7) | | (B-, B3) | | 07/08/24 | | | 5.645 | | | | 950,619 | |
| 1,842 | | | Golden Nugget, Inc., LIBOR 1M + 2.750%(7) | | (B+, Ba3) | | 10/04/23 | | | 4.401 | | | | 1,848,993 | |
| 1,468 | | | Stars Group Holdings B.V. (The), LIBOR 3M + 3.500%(7) | | (B+, B1) | | 07/10/25 | | | 5.445 | | | | 1,478,729 | |
| | | | | | | | | | | | | | | 4,278,341 | |
Gas Distribution (0.7%) | | | | | | | | | | | | |
| 1,128 | | | BCP Renaissance Parent LLC, LIBOR 2M + 3.500%(7) | | (B+, B1) | | 10/31/24 | | | 5.445 | | | | 1,027,646 | |
| 1,414 | | | Traverse Midstream Partners LLC, LIBOR 1M + 4.000%(7) | | (B+, B2) | | 09/27/24 | | | 5.650 | | | | 1,259,581 | |
| | | | | | | | | | | | | | | 2,287,227 | |
Health Facilities (1.2%) | | | | | | | | | | | | |
| 1,000 | | | Cambrex Corp., LIBOR 1M + 5.000%(7) | | (B, B2) | | 12/04/26 | | | 6.645 | | | | 1,011,255 | |
| 998 | | | DaVita, Inc., LIBOR 1M + 2.250%(7) | | (BBB-, Ba1) | | 08/12/26 | | | 3.895 | | | | 1,001,036 | |
| 990 | | | Surgery Center Holdings, Inc., LIBOR 1M + 3.250%(7) | | (B-, B1) | | 09/02/24 | | | 4.900 | | | | 988,636 | |
| 161 | | | Western Dental Services, Inc., LIBOR 1M + 4.500%(3),(7) | | (B-, B3) | | 06/30/23 | | | 6.145 | | | | 161,566 | |
| 1,099 | | | Western Dental Services, Inc., LIBOR 1M + 5.250%(3),(7) | | (B-, B3) | | 06/30/23 | | | 6.895 | | | | 1,102,095 | |
| | | | | | | | | | | | | | | 4,264,588 | |
Health Services (2.7%) | | | | | | | | | | | | |
| 2,027 | | | Athenahealth, Inc., LIBOR 3M + 4.500%(7) | | (B, B2) | | 02/11/26 | | | 6.401 | | | | 2,038,834 | |
| 1,490 | | | Auris Luxembourg III Sarl, LIBOR 1M + 3.750%(7) | | (B+, B2) | | 02/27/26 | | | 5.395 | | | | 1,470,431 | |
| 337 | | | Carestream Health, Inc., LIBOR 1M + 6.000%(7) | | (B, B1) | | 02/28/21 | | | 7.645 | | | | 332,098 | |
| 1,735 | | | KUEHG Corp., LIBOR 3M + 3.750%(7) | | (B-, B2) | | 02/21/25 | | | 5.695 | | | | 1,745,538 | |
| 1,489 | | | Learning Care Group, Inc., LIBOR 3M + 3.250%(7) | | (B-, B2) | | 03/13/25 | | | 5.052 | | �� | | 1,492,127 | |
| 163 | | | Navicure, Inc., LIBOR 1M + 4.000%(7) | | (B-, B2) | | 10/22/26 | | | 5.645 | | | | 164,136 | |
| 1,994 | | | Sotera Health Holdings LLC, LIBOR 1M + 4.500%(7) | | (B, B2) | | 12/11/26 | | | 6.145 | | | | 2,003,652 | |
| 177 | | | Valitas Health Services, Inc., LIBOR 3M + 10.000%(3),(4),(7) | | (NR, NR) | | 06/30/20 | | | 11.945 | | | | 175,531 | |
| 316 | | | Valitas Health Services, Inc., LIBOR 3M + 12.000%(3),(4),(7) | | (NR, NR) | | 06/30/20 | | | 13.945 | | | | 12,322 | |
| | | | | | | | | | | | | | | 9,434,669 | |
Insurance Brokerage (1.3%) | | | | | | | | | | | | |
| 1,057 | | | Acrisure LLC, LIBOR 3M + 4.250%(7) | | (B, B2) | | 11/22/23 | | | 6.195 | | | | 1,060,881 | |
| 1,425 | | | Alliant Holdings Intermediate, LLC, LIBOR 1M + 3.000%(7) | | (B, B2) | | 05/09/25 | | | 4.645 | | | | 1,426,030 | |
| 671 | | | AssuredPartners, Inc., LIBOR 1M + 3.500%(7) | | (B, B2) | | 10/22/24 | | | 5.145 | | | | 671,692 | |
| 1,290 | | | NFP Corp., LIBOR 1M + 3.000%(7) | | (B, B2) | | 01/08/24 | | | 4.645 | | | | 1,290,630 | |
| | | | | | | | | | | | | | | 4,449,233 | |
Investments & Misc. Financial Services (1.0%) | | | | | | | | | | | | |
| 545 | | | Altisource Solutions Sarl, LIBOR 3M + 4.000%(7) | | (B+, B3) | | 04/03/24 | | | 5.945 | | | | 516,967 | |
| 563 | | | Ditech Holding Corp., Prime + 7.000%(5),(7) | | (NR, NR) | | 06/30/22 | | | 12.000 | | | | 233,499 | |
| 569 | | | FinCo I LLC, LIBOR 1M + 2.000%(7) | | (BB, Baa3) | | 12/27/22 | | | 3.645 | | | | 571,930 | |
| 429 | | | Focus Financial Partners LLC, LIBOR 1M + 2.000%(7) | | (BB-, Ba3) | | 07/03/24 | | | 3.645 | | | | 431,190 | |
| 664 | | | Liquidnet Holdings, Inc., LIBOR 1M + 3.250%(7) | | (BB-, Ba3) | | 07/15/24 | | | 4.895 | | | | 655,347 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
BANK LOANS (continued) | |
Investments & Misc. Financial Services | | | | | | | | | | | | |
$ | 1,068 | | | VFH Parent LLC, LIBOR 1M + 3.500%(7) | | (B+, Ba3) | | 03/01/26 | | | 5.263 | | | $ | 1,073,330 | |
| | | | | | | | | | | | | | | 3,482,263 | |
Machinery (1.1%) | | | | | | | | | | | | |
| 922 | | | Cohu, Inc., LIBOR 1M + 3.000%(7) | | (B, B2) | | 10/01/25 | | | 4.645 | | | | 918,211 | |
| 291 | | | CPM Holdings, Inc., LIBOR 1M + 3.750%(7) | | (B-, B2) | | 11/17/25 | | | 5.395 | | | | 288,765 | |
| 247 | | | CPM Holdings, Inc., LIBOR 1M + 8.250%(6),(7) | | (CCC+, Caa2) | | 11/15/26 | | | 9.895 | | | | 243,690 | |
| 411 | | | LTI Holdings, Inc., LIBOR 1M + 6.750%(7) | | (CCC+, Caa3) | | 09/06/26 | | | 8.395 | | | | 334,824 | |
| 725 | | | LTI Holdings, Inc., LIBOR 1M + 3.500%(7) | | (B-, B3) | | 09/06/25 | | | 5.145 | | | | 668,579 | |
| 623 | | | Penn Engineering & Manufacturing Corp., LIBOR 1M + 2.750%(3),(7) | | (B+, B1) | | 06/27/24 | | | 4.395 | | | | 624,425 | |
| 792 | | | Pro Mach Group, Inc., LIBOR 1M + 2.750%(7) | | (B-, B2) | | 03/07/25 | | | 4.410 | | | | 782,238 | |
| | | | | | | | | | | | | | | 3,860,732 | |
Managed Care (0.8%) | | | | | | | | | | | | |
| 1,402 | | | Inovalon Holdings, Inc., LIBOR 1M + 3.500%(7) | | (B+, B2) | | 04/02/25 | | | 5.188 | | | | 1,410,430 | |
| 1,250 | | | MPH Acquisition Holdings LLC, LIBOR 3M + 2.750%(7) | | (B+, B1) | | 06/07/23 | | | 4.695 | | | | 1,231,563 | |
| | | | | | | | | | | | | | | 2,641,993 | |
Media - Broadcast (0.9%) | | | | | | | | | | | | |
| 496 | | | Berry Global, Inc., LIBOR 1M + 2.000%(7) | | (BBB-, Ba2) | | 07/01/26 | | | 3.781 | | | | 499,044 | |
| 2,234 | | | Cushman & Wakefield U.S. Borrower LLC, LIBOR 1M + 2.750%(7) | | (BB-, Ba3) | | 08/21/25 | | | 4.400 | | | | 2,247,356 | |
| 209 | | | Flexera Software LLC(3),(8) | | (B-, B2) | | 02/26/25 | | | 5.338 | | | | 209,503 | |
| | | | | | | | | | | | | | | 2,955,903 | |
Media - Diversified (0.4%) | | | | | | | | | | | | |
| 987 | | | Diamond Sports Group LLC, LIBOR 1M + 3.250%(7) | | (BB, Ba2) | | 08/24/26 | | | 4.910 | | | | 987,756 | |
| 250 | | | NEP/NCP Holdco, Inc., LIBOR 1M + 7.000%(7) | | (CCC+, Caa2) | | 10/19/26 | | | 8.645 | | | | 231,667 | |
| | | | | | | | | | | | | | | 1,219,423 | |
Media Content (0.3%) | | | | | | | | | | | | |
| 944 | | | NASCAR Holdings, Inc., LIBOR 1M + 2.750%(7) | | (BB, Ba2) | | 10/19/26 | | | 4.408 | | | | 951,874 | |
| | | | | | | | | | | | | | | | |
Medical Products (0.6%) | | | | | | | | | | | | |
| 1,059 | | | ABB Concise Optical Group LLC, LIBOR 1M + 5.000%(7) | | (CCC+, B3) | | 06/15/23 | | | 6.703 | | | | 1,013,993 | |
| 992 | | | CryoLife, Inc., LIBOR 3M + 3.250%(7) | | (B, B2) | | 12/02/24 | | | 5.195 | | | | 997,992 | |
| | | | | | | | | | | | | | | 2,011,985 | |
Metals & Mining - Excluding Steel (0.6%) | | | | | | | | | | | | |
| 2,193 | | | GrafTech Finance, Inc., LIBOR 1M + 3.500%(3),(7) | | (BB-, B1) | | 02/12/25 | | | 5.145 | | | | 2,184,512 | |
| 221 | | | Noranda Aluminum Acquisition Corp., Prime + 3.500%(3),(5),(7) | | (NR, NR) | | 02/28/19 | | | 8.500 | | | | 13,274 | |
| | | | | | | | | | | | | | | 2,197,786 | |
Non - Electric Utilities (0.2%) | | | | | | | | | | | | |
| 731 | | | BCP Raptor LLC, LIBOR 1M + 4.250%(7) | | (B, B3) | | 06/24/24 | | | 5.895 | | | | 674,030 | |
| | | | | | | | | | | | | | | | |
Packaging (0.7%) | | | | | | | | | | | | |
| 647 | | | Flex Acquisition Co., Inc., LIBOR 3M + 3.000%(7) | | (B, B2) | | 12/29/23 | | | 4.905 | | | | 640,124 | |
| 821 | | | Proampac PG Borrower LLC, LIBOR 1M + 3.500%(7) | | (B-, B3) | | 11/20/23 | | | 5.295 | | | | 812,631 | |
| 739 | | | Strategic Materials, Inc., LIBOR 3M + 3.750%(6),(7) | | (CCC+, B3) | | 11/01/24 | | | 5.677 | | | | 601,574 | |
| 645 | | | Strategic Materials, Inc., LIBOR 3M + 7.750%(3),(6),(7) | | (CCC-, Caa3) | | 10/27/25 | | | 9.677 | | | | 422,475 | |
| | | | | | | | | | | | | | | 2,476,804 | |
Personal & Household Products (0.9%) | | | | | | | | | | | | |
| 1,724 | | | Comfort Holding LLC, LIBOR 1M + 4.750%(7) | | (CCC+, Caa1) | | 02/05/24 | | | 6.395 | | | | 1,716,872 | |
| 1,226 | | | Serta Simmons Bedding LLC, LIBOR 1M + 3.500%(7) | | (CCC, Caa1) | | 11/08/23 | | | 5.167 | | | | 807,690 | |
| 250 | | | Serta Simmons Bedding LLC, LIBOR 1M + 8.000%(7) | | (CC, Caa3) | | 11/08/24 | | | 9.660 | | | | 77,500 | |
| 456 | | | TricorBraun Holdings, Inc., LIBOR 3M + 3.750%(7) | | (B-, B2) | | 11/30/23 | | | 5.693 | | | | 455,520 | |
| | | | | | | | | | | | | | | 3,057,582 | |
Pharmaceuticals (1.2%) | | | | | | | | | | | | |
| 1,009 | | | Akorn, Inc., LIBOR 3M + 10.000%(7) | | (B-, Caa1) | | 04/16/21 | | | 11.812 | | | | 976,445 | |
| 224 | | | Bausch Health Companies, Inc., LIBOR 1M + 2.750%(7) | | (BB, Ba2) | | 11/27/25 | | | 4.420 | | | | 224,741 | |
| 871 | | | Endo Luxembourg Finance Co. I Sarl, LIBOR 1M + 4.250%(7) | | (B+, B1) | | 04/29/24 | | | 5.938 | | | | 842,087 | |
| 967 | | | Explorer Holdings, Inc., LIBOR 3M + 3.750%(7) | | (B, B2) | | 05/02/23 | | | 5.599 | | | | 978,320 | |
| 1,000 | | | Syneos Health, Inc., LIBOR 1M + 1.500%(7) | | (BB, Ba3) | | 03/26/24 | | | 3.145 | | | | 992,035 | |
| | | | | | | | | | | | | | | 4,013,628 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
BANK LOANS (continued) | | | | | | | | | | | | |
Real Estate Development & Management (0.6%) | | | | | | | | | | | | |
$ | 1,018 | | | Forest City Enterprises LP, LIBOR 1M + 3.500%(7) | | (B+, B2) | | 12/08/25 | | | 5.145 | | | $ | 1,025,304 | |
| 1,000 | | | Hanjin International Corp., LIBOR 1M + 2.500%(3),(7) | | (B+, Ba3) | | 10/18/20 | | | 4.145 | | | | 1,000,000 | |
| | | | | | | | | | | | | | | 2,025,304 | |
Recreation & Travel (1.2%) | | | | | | | | | | | | |
| 250 | | | Bulldog Purchaser, Inc., LIBOR 1M + 7.750%(6),(7) | | (CCC+, Caa2) | | 09/04/26 | | | 9.395 | | | | 247,918 | |
| 1,731 | | | Bulldog Purchaser, Inc., LIBOR 1M + 3.750%(3),(7) | | (B+, B2) | | 09/05/25 | | | 5.395 | | | | 1,716,067 | |
| 1,968 | | | Hornblower Sub LLC, LIBOR 3M + 4.500%(7) | | (B, B2) | | 04/27/25 | | | 6.445 | | | | 1,984,646 | |
| | | | | | | | | | | | | | | 3,948,631 | |
Restaurants (1.5%) | | | | | | | | | | | | |
| 1,768 | | | Flynn Restaurant Group LP, LIBOR 1M + 3.500%(7) | | (B, B2) | | 06/27/25 | | | 5.145 | | | | 1,720,161 | |
| 1,240 | | | IRB Holding Corp., LIBOR 1M + 2.750%(7) | | (B+, B2) | | 02/05/25 | | | 4.384 | | | | 1,244,177 | |
| 495 | | | K-Mac Holdings Corp., LIBOR 1M + 3.000%(7) | | (B-, B2) | | 03/14/25 | | | 4.645 | | | | 492,354 | |
| 291 | | | K-Mac Holdings Corp., LIBOR 1M + 6.750%(7) | | (CCC, Caa2) | | 03/16/26 | | | 8.395 | | | | 284,730 | |
| 741 | | | Miller's Ale House, Inc., LIBOR 1M + 4.750%(7) | | (B-, B3) | | 05/26/25 | | | 6.443 | | | | 706,037 | |
| 744 | | | Tacala LLC, LIBOR 1M + 4.000%(7) | | (B-, B2) | | 01/31/25 | | | 5.645 | | | | 747,705 | |
| | | | | | | | | | | | | | | 5,195,164 | |
Software - Services (6.5%) | | | | | | | | | | | | |
| 1,497 | | | Almonde, Inc., LIBOR 6M + 3.500%(7) | | (B-, B2) | | 06/13/24 | | | 5.277 | | | | 1,484,468 | |
| 750 | | | Aston FinCo Sarl, LIBOR 3M + 4.250%(3),(7) | | (B-, B2) | | 10/09/26 | | | 6.128 | | | | 747,656 | |
| 1,239 | | | Compuware Corp., LIBOR 1M + 4.000%(7) | | (B, B2) | | 08/22/25 | | | 5.645 | | | | 1,249,065 | |
| 300 | | | Cypress Intermediate Holdings III, Inc., LIBOR 1M + 2.750%(7) | | (B, B2) | | 04/29/24 | | | 4.400 | | | | 300,936 | |
| 899 | | | Emerald TopCo, Inc., LIBOR 1M + 3.500%(7) | | (B, B2) | | 07/24/26 | | | 5.145 | | | | 904,476 | |
| 1,709 | | | Epicor Software Corp., LIBOR 1M + 3.250%(7) | | (B-, B2) | | 06/01/22 | | | 4.900 | | | | 1,718,557 | |
| 446 | | | Flexera Software LLC, LIBOR 1M + 3.500%(7) | | (B-, B2) | | 02/26/25 | | | 5.150 | | | | 448,708 | |
| 1,535 | | | Flexera Software LLC, LIBOR 1M + 7.250%(3),(7) | | (CCC+, Caa1) | | 02/26/26 | | | 8.900 | | | | 1,537,130 | |
| 497 | | | Go Daddy Operating Company LLC, LIBOR 1M + 1.750% (7) | | (BB, Ba1) | | 02/15/24 | | | 3.395 | | | | 498,128 | |
| 750 | | | Huskies Parent, Inc., LIBOR 3M + 4.000%(7) | | (B-, B2) | | 07/31/26 | | | 5.777 | | | | 753,750 | |
| 1,244 | | | Hyland Software, Inc., LIBOR 1M + 7.000%(7) | | (CCC, Caa1) | | 07/07/25 | | | 8.645 | | | | 1,261,627 | |
| 1,241 | | | Hyland Software, Inc., LIBOR 1M + 3.500%(7) | | (B-, B1) | | 07/01/24 | | | 5.145 | | | | 1,249,057 | |
| 1,185 | | | MA FinanceCo. LLC, LIBOR 1M + 2.250%(7) | | (BB-, B1) | | 11/19/21 | | | 3.895 | | | | 1,187,534 | |
| 199 | | | MA FinanceCo. LLC, LIBOR 1M + 2.500%(7) | | (BB-, B1) | | 06/21/24 | | | 4.145 | | | | 198,330 | |
| 383 | | | Newport Group, Inc., LIBOR 3M + 3.750%(3),(7) | | (B, B2) | | 09/13/25 | | | 5.649 | | | | 385,125 | |
| 1,131 | | | Project Alpha Intermediate Holding, Inc., LIBOR 6M + 4.250%(7) | | (B, B3) | | 04/26/24 | | | 6.130 | | | | 1,138,687 | |
| 1,117 | | | Project Boost Purchaser, LLC, LIBOR 1M + 3.500%(7) | | (B-, B2) | | 06/01/26 | | | 5.145 | | | | 1,122,694 | |
| 249 | | | Project Leopard Holdings, Inc., LIBOR 1M + 4.500%(7) | | (B, B2) | | 07/07/23 | | | 6.145 | | | | 250,752 | |
| 496 | | | Project Leopard Holdings, Inc., LIBOR 1M + 4.250%(7) | | (B, B2) | | 07/07/23 | | | 5.895 | | | | 500,273 | |
| 691 | | | Project Ruby Ultimate Parent Corp., LIBOR 1M + 3.500%(7) | | (B-, B2) | | 02/09/24 | | | 5.145 | | | | 691,323 | |
| 310 | | | S2P Acquisition Borrower, Inc., LIBOR 1M + 4.000%(7) | | (B-, B2) | | 08/14/26 | | | 5.645 | | | | 311,487 | |
| 1,344 | | | Seattle Spinco, Inc., LIBOR 1M + 2.500%(7) | | (BB-, B1) | | 06/21/24 | | | 4.145 | | | | 1,339,393 | |
| 496 | | | SolarWinds Holdings, Inc., LIBOR 1M + 2.750%(7) | | (B+, B1) | | 02/05/24 | | | 4.395 | | | | 498,917 | |
| 215 | | | SS&C Technologies Holdings Europe Sarl, LIBOR 1M + 1.750%(7) | | (BB+, Ba2) | | 04/16/25 | | | 3.395 | | | | 215,213 | |
| 301 | | | SS&C Technologies, Inc., LIBOR 1M + 1.750%(7) | | (BB+, Ba2) | | 04/16/25 | | | 3.395 | | | | 301,601 | |
| 1,946 | | | The Ultimate Software Group, Inc., LIBOR 1M + 3.750%(7) | | (B, B2) | | 05/04/26 | | | 5.395 | | | | 1,956,539 | |
| | | | | | | | | | | | | | | 22,251,426 | |
Specialty Retail (0.8%) | | | | | | | | | | | | |
| 426 | | | Champ Acquisition Corp., LIBOR 3M + 5.500%(7) | | (B, B1) | | 12/19/25 | | | 7.445 | | | | 426,103 | |
| 1,371 | | | EG America LLC, LIBOR 3M + 4.000%(7) | | (B, B2) | | 02/07/25 | | | 5.961 | | | | 1,370,728 | |
| 38 | | | Mister Car Wash Holdings, Inc.(8),(9) | | (NR, B2) | | 05/14/26 | | | 3.500 | | | | 38,452 | |
| 762 | | | Mister Car Wash Holdings, Inc., LIBOR 3M + 3.500%(7) | | (B-, B2) | | 05/14/26 | | | 5.410 | | | | 765,193 | |
| | | | | | | | | | | | | | | 2,600,476 | |
Steel Producers/Products (0.9%) | | | | | | | | | | | | |
| 1,203 | | | Atkore International, Inc., LIBOR 3M + 2.750%(7) | | (BB-, Ba3) | | 12/22/23 | | | 4.700 | | | | 1,210,103 | |
| 2,000 | | | Zekelman Industries, Inc., LIBOR 1M + 2.250%(7) | | (BB, Ba3) | | 01/17/27 | | | 3.909 | | | | 2,002,240 | |
| | | | | | | | | | | | | | | 3,212,343 | |
Support - Services (2.0%) | | | | | | | | | | | | |
| 1,000 | | | Allied Universal Holdco LLC, LIBOR 1M + 4.250%(7) | | (B-, B3) | | 07/10/26 | | | 5.895 | | | | 1,007,705 | |
| 1,466 | | | Brand Energy & Infrastructure Services, Inc., LIBOR 3M + 4.250%(7) | | (B-, B3) | | 06/21/24 | | | 6.088 | | | | 1,467,399 | |
| 1,905 | | | Change Healthcare Holdings LLC, LIBOR 1M + 2.500%(7) | | (B+, B1) | | 03/01/24 | | | 4.145 | | | | 1,908,864 | |
| 692 | | | Long Term Care Group, Inc., LIBOR 1M + 5.250%(3),(7) | | (B, B3) | | 12/06/22 | | | 6.895 | | | | 688,467 | |
| 202 | | | Pike Corp., LIBOR 1M + 3.250%(7) | | (B, B2) | | 07/24/26 | | | 4.900 | | | | 203,665 | |
| 977 | | | SAI Global Holdings II (Australia) Pty. Ltd., LIBOR 3M + 4.500%(6),(7) | | (CCC, Caa1) | | 12/20/23 | | | 6.270 | | | | 874,760 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
BANK LOANS(continued) |
Support - Services |
$ | 447 | | | St. George's University Scholastic Services, LIBOR 1M + 3.500%(7) | | (B+, B2) | | 07/17/25 | | | 5.150 | | | $ | 452,148 | |
| 327 | | | USS Ultimate Holdings, Inc., LIBOR 6M + 7.750%(7) | | (CCC+, Caa2) | | 08/25/25 | | | 9.671 | | | | 320,073 | |
| | | | | | | | | | | | | | | 6,923,081 | |
| | | | | | | | | | | | | | | | |
Tech Hardware & Equipment(0.2%) |
| 599 | | | CommScope, Inc., LIBOR 1M + 3.250%(7) | | (B+, Ba3) | | 04/06/26 | | | 4.895 | | | | 599,554 | |
| | | | | | | | | | | | | | | | |
Telecom - Wireless(0.5%) |
| 994 | | | Sprint Communications, Inc., LIBOR 1M + 2.500%(7) | | (BB-, Ba2) | | 02/02/24 | | | 4.188 | | | | 974,365 | |
| 744 | | | Sprint Communications, Inc., LIBOR 1M + 3.000%(7) | | (BB-, Ba2) | | 02/02/24 | | | 4.688 | | | | 735,990 | |
| | | | | | | | | | | | | | | 1,710,355 | |
| | | | | | | | | | | | | | | | |
Telecom - Wireline Integrated & Services(2.2%) |
| 497 | | | Altice France S.A., LIBOR 1M + 4.000%(7) | | (B, B2) | | 08/14/26 | | | 5.676 | | | | 498,416 | |
| 1,492 | | | Altice France S.A., LIBOR 1M + 3.688%(7) | | (B, B2) | | 01/31/26 | | | 5.364 | | | | 1,489,774 | |
| 1,568 | | | CenturyLink Inc., LIBOR 1M + 2.750%(7) | | (BBB-, Ba3) | | 01/31/25 | | | 4.395 | | | | 1,567,958 | |
| 648 | | | GTT Communications, Inc., LIBOR 1M + 2.750%(7) | | (B-, B2) | | 05/31/25 | | | 4.400 | | | | 549,397 | |
| 1,512 | | | Level 3 Financing, Inc., LIBOR 1M + 1.750%(7) | | (BBB-, Ba1) | | 03/01/27 | | | 3.395 | | | | 1,510,849 | |
| 1,126 | | | MTN Infrastructure TopCo, Inc., LIBOR 1M + 3.000%(7) | | (B, B2) | | 11/15/24 | | | 4.645 | | | | 1,129,026 | |
| 460 | | | TVC Albany, Inc., LIBOR 1M + 3.500%(7) | | (B-, B2) | | 07/23/25 | | | 5.150 | | | | 458,222 | |
| 438 | | | TVC Albany, Inc., LIBOR 1M + 7.500%(7) | | (CCC, Caa2) | | 07/23/26 | | | 9.150 | | | | 434,219 | |
| | | | | | | | | | | | | | | 7,637,861 | |
| | | | | | | | | | | | | | | | |
Theaters & Entertainment(1.9%) |
| 496 | | | AMC Entertainment Holdings, Inc., LIBOR 1M + 3.000%(7) | | (BB-, Ba2) | | 04/22/26 | | | 4.650 | | | | 497,490 | |
| 1,704 | | | Metro-Goldwyn-Mayer, Inc., LIBOR 1M + 4.500%(3),(7) | | (B-, B2) | | 07/03/26 | | | 6.150 | | | | 1,714,877 | |
| 1,801 | | | Technicolor S.A., LIBOR 3M + 2.750%(7) | | (B, B3) | | 12/06/23 | | | 4.659 | | | | 1,548,841 | |
| 171 | | | TopGolf International, Inc., LIBOR 1M + 5.500%(7) | | (B-, B3) | | 02/08/26 | | | 7.170 | | | | 171,837 | |
| 2,487 | | | William Morris Endeavor Entertainment LLC, LIBOR 1M + 2.750%(7) | | (B, B2) | | 05/18/25 | | | 4.400 | | | | 2,479,998 | |
| | | | | | | | | | | | | | | 6,413,043 | |
| | | | | | | | | | | | | | | | |
Trucking & Delivery(0.3%) |
| 984 | | | Transplace Holdings, Inc., LIBOR 1M + 3.750%(7) | | (B-, B1) | | 10/07/24 | | | 5.395 | | | | 986,077 | |
TOTAL BANK LOANS(Cost $159,382,126) | | | 156,857,712 | |
| | | | |
ASSET BACKED SECURITIES(5.2%) |
Collateralized Debt Obligations(4.5%) |
| 500 | | | BlueMountain CLO 2016-2 Ltd., 2016-2A, Rule 144A, LIBOR 3M + 7.790%(1),(7) | | (BB-, NR) | | 08/20/32 | | | 9.689 | | | | 501,879 | |
| 500 | | | BlueMountain CLO 2018-1 Ltd., 2018-1A, Rule 144A, LIBOR 3M + 2.050%(1),(7) | | (A, NR) | | 07/30/30 | | | 3.820 | | | | 499,559 | |
| 750 | | | BlueMountain Fuji U.S. CLO III Ltd., 2017-3A, Rule 144A, LIBOR 3M + 5.200%(1),(7) | | (BB-, NR) | | 01/15/30 | | | 7.031 | | | | 727,372 | |
| 750 | | | Carlyle Global Market Strategies CLO Ltd., 2014-3RA, Rule 144A, LIBOR 3M + 5.400%(1),(7) | | (BB-, NR) | | 07/27/31 | | | 7.194 | | | | 669,341 | |
| 500 | | | Carlyle Global Market Strategies CLO Ltd., 2015-2A, Rule 144A, LIBOR 3M + 6.150%(1),(7) | | (NR, B1) | | 04/27/27 | | | 7.944 | | | | 483,119 | |
| 500 | | | Carlyle U.S. CLO Ltd., 2017-2A, Rule 144A(1),(6),(8),(10) | | (NR, NR) | | 07/20/31 | | | 0.000 | | | | 334,881 | |
| 750 | | | CIFC Funding Ltd., 2014-1A, Rule 144A, LIBOR 3M + 5.850%(1),(7) | | (BB-, NR) | | 01/18/31 | | | 7.669 | | | | 714,405 | |
| 750 | | | Goldentree Loan Opportunities XI Ltd., 2015-11A, Rule 144A, LIBOR 3M + 5.400%(1),(7) | | (NR, Ba3) | | 01/18/31 | | | 7.219 | | | | 732,520 | |
| 750 | | | Greywolf CLO II Ltd., 2013-1A, Rule 144A, LIBOR 3M + 6.350%(1),(7) | | (BB-, NR) | | 10/15/29 | | | 8.181 | | | | 753,095 | |
| 750 | | | Greywolf CLO V Ltd., 2015-1A, Rule 144A, LIBOR 3M + 5.850%(1),(7) | | (BB-, NR) | | 01/27/31 | | | 7.644 | | | | 732,898 | |
| 750 | | | Greywolf CLO VI Ltd., 2018-1A, Rule 144A, LIBOR 3M + 5.750%(1),(7) | | (BB-, NR) | | 04/26/31 | | | 7.544 | | | | 747,041 | |
| 500 | | | Halcyon Loan Advisors Funding Ltd., 2015-2A, Rule 144A(1),(6),(8),(10) | | (NR, NR) | | 07/25/27 | | | 0.000 | | | | 59,856 | |
| 500 | | | KKR CLO Ltd., 20, Rule 144A, LIBOR 3M + 5.500%(1),(7) | | (NR, Ba3) | | 10/16/30 | | | 7.343 | | | | 478,388 | |
| 750 | | | KKR Financial CLO Ltd., 2013-1A, Rule 144A, LIBOR 3M + 6.080%(1),(7) | | (NR, Ba3) | | 04/15/29 | | | 7.911 | | | | 726,345 | |
| 750 | | | Octagon Investment Partners 31 LLC, 2017-1A, Rule 144A, LIBOR 3M + 6.30%(1),(7) | | (NR, Ba3) | | 07/20/30 | | | 8.119 | | | | 750,462 | |
| 500 | | | Shackleton CLO Ltd., 2014-6RA, Rule 144A, LIBOR 3M + 2.970%(1),(7) | | (NR, Baa3) | | 07/17/28 | | | 4.806 | | | | 493,780 | |
| 750 | | | Symphony Credit Opportunities Fund Ltd., 2015-2A, Rule 144A, LIBOR 3M + 3.060%(1),(7) | | (NR, Baa3) | | 07/15/28 | | | 4.891 | | | | 750,618 | |
| 750 | | | THL Credit Wind River CLO Ltd., 2015-2A, Rule 144A, LIBOR 3M + 5.550%(1),(7) | | (NR, Ba3) | | 10/15/27 | | | 7.381 | | | | 721,353 | |
| 1,000 | | | TICP CLO XIII Ltd., 2019-13A, Rule 144A, LIBOR 3M + 6.750%(1),(7) | | (NR, Ba3) | | 07/15/32 | | | 8.581 | | | | 1,003,340 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
ASSET BACKED SECURITIES(continued) |
Collateralized Debt Obligations |
$ | 500 | | | Venture 35 CLO Ltd., 2018-35A, Rule 144A, LIBOR 3M + 3.500%(1),(7) | | (NR, Baa3) | | 10/22/31 | | | 5.302 | | | $ | 499,761 | |
| 750 | | | Venture CDO Ltd., 2016 24A, Rule 144A, LIBOR 3M + 3.900%(1),(7) | | (NR, Baa2) | | 10/20/28 | | | 5.719 | | | | 751,354 | |
| 500 | | | Venture XXVIII CLO Ltd., 2017-28A, Rule 144A, LIBOR 3M + 6.150%(1),(7) | | (NR, Ba3) | | 07/20/30 | | | 7.969 | | | | 469,239 | |
| 500 | | | Vibrant CLO V Ltd., 2016-5A, Rule 144A, LIBOR 3M + 7.000%(1),(7) | | (NR, Ba3) | | 01/20/29 | | | 8.819 | | | | 483,400 | |
| 750 | | | Vibrant CLO VI Ltd., 2017-6A, Rule 144A, LIBOR 3M + 5.750%(1),(7) | | (NR, Ba3) | | 06/20/29 | | | 7.658 | | | | 700,822 | |
| 500 | | | Voya CLO Ltd., 2014-4A, Rule 144A, LIBOR 3M + 3.350%(1),(7) | | (BBB-, NR) | | 07/14/31 | | | 5.188 | | | | 492,970 | |
| | | | | | | | | | | | | | | 15,277,798 | |
| | | | | | | | | | | | | | | | |
Other Asset Backed(0.7%) |
| 750 | | | Battalion CLO XV Ltd., 2019-16A, Rule 144A, LIBOR 3M + 4.360%(1),(7) | | (BBB-, NR) | | 12/19/32 | | | 4.360 | | | | 757,026 | |
| 1,000 | | | Battalion CLO XV Ltd., 2020-15A, Rule 144A, LIBOR 3M + 6.350%(1),(7),(10) | | (NR, NR) | | 01/17/33 | | | 0.000 | | | | 1,001,000 | |
| 750 | | | Oaktree CLO Ltd., 2019-4A, Rule 144A, LIBOR 3M + 7.230%(1),(7) | | (BB-, NR) | | 10/20/32 | | | 9.148 | | | | 759,634 | |
| | | | | | | | | | | | | | | 2,517,660 | |
TOTAL ASSET BACKED SECURITIES(Cost $18,574,434) | | | 17,795,458 | |
Number of Shares | | | | | | |
COMMON STOCKS(0.7%) |
Auto Parts & Equipment(0.1%) |
| 23,014 | | | UCI International, Inc.(3),(4),(6),(11) | | | 523,568 | |
| | | | | | | | |
Building & Construction(0.0%) |
| 2 | | | White Forest Resources, Inc.(3),(4),(6),(11) | | | — | |
| | | | | | | | |
Building Materials(0.2%) |
| 60,000 | | | Cornerstone Building Brands, Inc.(11) | | | 514,800 | |
| 2,935 | | | Euramax International, Inc.(3),(4),(11) | | | 11,740 | |
| | | | | | | 526,540 | |
| | | | | | | | |
Chemicals(0.1%) |
| 1,512 | | | Project Investor Holdings LLC(3),(4),(6),(11) | | | 15 | |
| 25,202 | | | Proppants Holdings LLC(3),(4),(6),(11) | | | 209,429 | |
| | | | | | | 209,444 | |
| | | | | | | | |
Energy - Exploration & Production(0.0%) |
| 54,344 | | | Independence Contract Drilling, Inc.(11) | | | 38,171 | |
| 37,190 | | | PES Energy, Inc.(6),(11) | | | 4,649 | |
| | | | | | | 42,820 | |
| | | | | | | | |
Health Services(0.0%) |
| 19,765 | | | Valitas Health Services, Inc.(3),(4),(11) | | | 198 | |
| | | | | | | | |
Metals & Mining - Excluding Steel(0.1%) |
| 1,100,000 | | | Taseko Mines Ltd.(11) | | | 507,353 | |
| | | | | | | | |
Recreation & Travel(0.1%) |
| 5,000 | | | Six Flags Entertainment Corp. | | | 190,650 | |
| | | | | | | | |
Support - Services(0.0%) |
| 87 | | | Sprint Industrial Holdings LLC, Class G(3),(4),(6),(11) | | | — | |
| 8 | | | Sprint Industrial Holdings LLC, Class H(3),(4),(6),(11) | | | — | |
| 19 | | | Sprint Industrial Holdings LLC, Class I(3),(4),(6),(11) | | | — | |
| | | | | | | 0 | |
| | | | | | | | |
Theaters & Entertainment(0.1%) |
| 65,000 | | | AMC Entertainment Holdings, Inc. | | | 423,800 | |
| | | | | | | | |
TOTAL COMMON STOCKS(Cost $3,607,173) | | | 2,424,373 | |
| | | | |
WARRANTS(0.0%) |
Chemicals(0.0%) |
| 6,300 | | | Project Investor Holdings LLC, expires 02/20/2022(3),(4),(6),(11) | | | — | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2020 (unaudited)
Number of Shares | | | | | Value | |
WARRANTS(continued) |
Diversified Capital Goods(0.0%) |
| 5,506 | | | Horizon Global Corp. expires 06/30/2021(11) | | $ | 10,296 | |
| | | | | | | | |
TOTAL WARRANTS(Cost $3,276) | | | 10,296 | |
| | | | |
TOTAL INVESTMENTS AT VALUE(94.3%) (Cost $327,406,812) | | | 323,937,137 | |
| | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES(5.7%) | | | 19,526,569 | |
| | | | |
NET ASSETS(100.0%) | | $ | 343,463,706 | |
† | | 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 January 31, 2020, these securities amounted to a value of $142,874,997 or 41.6% of net assets. |
(2) | | PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal. |
(3) | | Security is valued using significant unobservable inputs. |
(4) | | 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. |
(5) | | Bond is currently in default. |
(6) | | Illiquid security (unaudited). |
(7) | | Variable rate obligation - The interest rate shown is the rate in effect as of January 31, 2020. |
(8) | | 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 January 31, 2020. |
(9) | | All or a portion is an unfunded loan commitment. |
(10) | | Securities are zero coupon. |
(11) | | Non-income producing security. |
| | |
INVESTMENT ABBREVIATIONS |
|
1M = 1 Month |
2M = 2 Month |
3M = 3 Month |
6M = 6 Month |
LIBOR = London Interbank Offered Rate |
NR = Not Rated |
Sarl - société à responsabilité limitée |
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 (Depreciation) | |
CAD | 506,000 | | | USD | 384,269 | | | 10/13/20 | | Deutsche Bank AG | | $ | 384,269 | | | $ | 382,552 | | | $ | (1,717 | ) |
USD | 572,589 | | | CAD | 759,000 | | | 10/13/20 | | Morgan Stanley | | | (572,589 | ) | | | (573,826 | ) | | | (1,237 | ) |
USD | 310,073 | | | CAD | 407,000 | | | 10/13/20 | | Deutsche Bank AG | | | (310,073 | ) | | | (307,705 | ) | | | 2,368 | |
| | | | | | | | | | | | | | | | | | | | $ | (586 | ) |
Currency Abbreviations:
CAD = Canadian Dollar
USD = United States Dollar
SECURITY VALUATION — The Board of Trustees (the "Board") is responsible for the Fund’s valuation process. The Board has delegated the supervision of the daily valuation process to Credit Suisse Asset Management, LLC, the Fund’s investment adviser (“Credit Suisse” or the “Adviser”), who has established a Pricing Committee which, pursuant to the policies adopted by the Board, is responsible for making fair valuation determinations and overseeing the Fund’s pricing policies.The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional “round lot” size, but some trades occur in smaller “odd lot” sizes which may be effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. 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 theFund 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.
TheFund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
Generally accepted accounting principles in the United States of America (“GAAP”) established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at each measurement date. These inputs are summarized in the three broad levels listed below:
| · | Level 1—quoted prices in active markets for identical investments |
| · | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| · | Level 3—significant unobservable inputs (including theFund’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 January 31, 2020 in valuing theFund’s assets and liabilities carried at fair value:
Assets | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Corporate Bonds | | $ | — | | | $ | 146,848,592 | | | $ | 706 | | | $ | 146,849,298 | |
Bank Loans | | | — | | | | 137,251,680 | | | | 19,606,032 | | | | 156,857,712 | |
Asset Backed Securities | | | — | | | | 17,795,458 | | | | — | | | | 17,795,458 | |
Common Stocks | | | 1,674,774 | | | | 4,649 | | | | 744,950 | | | | 2,424,373 | |
Warrants | | | — | | | | 10,296 | | | | 0 | (1) | | | 10,296 | |
| | $ | 1,674,774 | | | $ | 301,910,675 | | | $ | 20,351,688 | | | $ | 323,937,137 | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 2,368 | | | $ | — | | | $ | 2,368 | |
Liabilities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Other Financial Instruments* |
Forward Foreign Currency Contracts | | $ | — | | | $ | 2,954 | | | $ | — | | | $ | 2,954 | |
* | Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts. |
(1) | Includes a zero valued security. |
The following is a reconciliation of investments as of January 31, 2020 for which significant unobservable inputs were used in determining fair value. All transfers, if any, are assumed to occur at the end of the reporting period.
| | Corporate Bonds | | | Bank Loans | | | Common Stocks | | | Warrants | | | Total | |
Balance as of October 31, 2019 | | $ | 706 | | | $ | 19,515,637 | | | $ | 833,990 | | | $ | 0 | (1) | | $ | 20,350,333 | |
Accrued discounts (premiums) | | | — | | | | 12,732 | | | | — | | | | — | | | | 12,732 | |
Purchases | | | — | | | | 1,812,224 | | | | — | | | | — | | | | 1,812,224 | |
Sales | | | — | | | | (1,754,354 | ) | | | — | | | | — | | | | (1,754,354 | ) |
Realized gain (loss) | | | — | | | | 14,633 | | | | — | | | | — | | | | 14,633 | |
Change in unrealized appreciation (depreciation) | | | — | | | | 396,934 | | | | (89,040 | ) | | | — | | | | 307,894 | |
Transfers into Level 3 | | | — | | | | 3,897,551 | | | | — | | | | — | | | | 3,897,551 | |
Transfers out of Level 3 | | | — | | | | (4,289,325 | ) | | | — | | | | — | | | | (4,289,325 | ) |
Balance as of January 31, 2020 | | $ | 706 | | | $ | 19,606,032 | | | | 744,950 | | | $ | 0 | (1) | | $ | 20,351,688 | |
| | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) from investments still held as of January 31, 2020 | | $ | — | | | $ | 337,707 | | | $ | (89,041 | ) | | | — | | | $ | 248,666 | |
| (1) | Includes zero valued securities. |
Quantitative Disclosure About Significant Unobservable Inputs
| | Fair Value | | | Valuation | | Unobservable | | Range | |
Asset Class | | At 01/31/2020 | | | Technique | | Input | | (Weighted Average)* | |
Corporate Bonds | | $ | 706 | | | Income Approach | | Expected Remaining Distribution | | | $0.01 (N/A) | |
Bank Loans | | $ | 187,853 | | | Market Approach | | EBITDA Multiples | | | 7.0 (N/A) | |
| | $ | 19,418,179 | | | Vendor Pricing | | Single Broker Quote | | | $0.06 - $1.01 ($0.99) | |
Common Stocks | | $ | 0 | | | Income Approach | | Expected Remaining Distribution | | | $0.00 - $0.01 ($0.01) | |
| | $ | 221,381 | | | Market Approach | | EBITDA Multiples | | | 2.4 – 9.7 (7.8) | |
| | $ | 523,569 | | | Vendor Pricing | | Single Broker Quote | | | $22.75 (N/A) | |
Warrants | | $ | 0 | | | Market Approach | | EBITDA Multiples | | | 7.7 (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 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.
During the period ended January 31, 2020, $3,897,551 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $4,289,325 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.
Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Fund's website at www.credit-suisse.com/us/funds, as well as on the website of the Securities and Exchange Commission at www.sec.gov.