Credit Suisse Managed Futures Strategy Fund
Consolidated Schedule of Investments
January 31, 2021 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | | Maturity | | | Rate%(1) | | | Value | |
| | | | | | | | | | | | | | | |
UNITED STATES TREASURY OBLIGATIONS (42.0%) | | | | | | | | | | | | | | | | | |
$ | 40,000 | | | United States Treasury Bills | | | | (AA+, Aaa) | | | | 04/22/21 | | | | 0.091 | | | $ | 39,995,556 | |
10,000 | | | United States Treasury Bills | | | | (AA+, Aaa) | | | | 06/17/21 | | | | 0.148 | | | | 9,997,544 | |
35,000 | | | United States Treasury Bills | | | | (AA+, Aaa) | | | | 07/15/21 | | | | 0.140 | | | | 34,989,238 | |
55,000 | | | United States Treasury Bills | | | | (AA+, Aaa) | | | | 08/12/21 | | | | 0.108 | | | | 54,982,400 | |
TOTAL UNITED STATES TREASURY OBLIGATIONS (Cost $139,932,318) | | | | | | | | | | | | 139,964,738 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS AT VALUE (42.0%) (Cost $139,932,318) | | | | | | | | | | | | 139,964,738 | |
| | | | | | | | | | | | | | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES (58.0%) | | | | | | | | | | | | | | | | 192,920,999 | |
| | | | | | | | | | | | | | | | | | | | |
NET ASSETS (100.0%)(2) | | | | | | | | | | | | | | | $ | 332,885,737 | |
|
† | | 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, 2021. |
(2) | | As of January 31, 2021, the Credit Suisse Managed Futures Strategy Fund held $42,888,703 in the wholly-owned subsidiary, Credit Suisse Cayman Managed Futures Strategy Fund, Ltd., representing 12.9% of the Fund's consolidated net assets. |
Futures Contracts | | | | | | | | | | | | | | | |
Contract Description | | Currency | | | Expiration Date | | | Number of Contracts | | | Notional Value | | | Net Unrealized Appreciation (Depreciation) | |
Contracts to Purchase | | | | | | | | | | | | | | | | | | | | |
Foreign Exchange Contracts | | | | | | | | | | | | | | | | | | | | |
AUD Currency Futures | | | USD | | | | Mar 2021 | | | | 472 | | | $ | 36,067,880 | | | $ | 884,782 | |
CAD Currency Futures | | | USD | | | | Mar 2021 | | | | 809 | | | | 63,199,080 | | | | (293,457 | ) |
EUR Currency Futures | | | USD | | | | Mar 2021 | | | | 405 | | | | 61,473,938 | | | | 163,085 | |
GBP Currency Futures | | | USD | | | | Mar 2021 | | | | 689 | | | | 59,017,156 | | | | 1,249,351 | |
JPY Currency Futures | | | USD | | | | Mar 2021 | | | | 661 | | | | 78,915,137 | | | | (520,303 | ) |
| | | | | | | | | | | | | | | | | | $ | 1,483,458 |
Index Contracts | | | | | | | | | | | | | | | | | | | | |
EURO Stoxx 50 Index Futures | | | EUR | | | | Mar 2021 | | | | 503 | | | | 21,253,874 | | | $ | (206,073 | ) |
FTSE 100 Index Futures | | | GBP | | | | Mar 2021 | | | | 281 | | | | 24,545,141 | | | | (419,295 | ) |
Hang Seng Index Futures | | | HKD | | | | Feb 2021 | | | | 188 | | | | 34,331,152 | | | | (2,150,157 | ) |
Nikkei 225 Index Futures OSE | | | JPY | | | | Mar 2021 | | | | 59 | | | | 15,536,845 | | | | 609,927 | |
S&P 500 E Mini Index Futures | | | USD | | | | Mar 2021 | | | | 69 | | | | 12,782,940 | | | | 227,662 | |
| | | | | | | | | | | | | | | | | | $ | (1,937,936 | ) |
Interest Rate Contracts | | | | | | | | | | | | | | | | | | | | |
EURO Bund Futures | | | EUR | | | | Mar 2021 | | | | 277 | | | | 59,649,465 | | | $ | (38,831 | ) |
| | | | | | | | | | | | | | | | | | | | |
Contracts to Sell | | | | | | | | | | | | | | | | | | | | |
Interest Rate Contracts | | | | | | | | | | | | | | | | | | | | |
10YR Japanese Bond Futures | | | JPY | | | | Mar 2021 | | | | (91 | ) | | | (131,960,648 | ) | | $ | 58,243 | |
10YR U.S. Treasury Note Futures | | | USD | | | | Mar 2021 | | | | (721 | ) | | | (98,799,531 | ) | | | 192,126 | |
Long Gilt Futures | | | GBP | | | | Mar 2021 | | | | (314 | ) | | | (57,808,949 | ) | | | 112,886 | |
| | | | | | | | | | | | | | | | | | $ | 363,255 | |
| | | | | | | | | | | | | | | | | | $ | (130,054 | ) |
Credit Suisse Managed Futures Strategy Fund
Consolidated Schedule of Investments
January 31, 2021 (unaudited)
Total Return Swap Contracts | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Currency | | Notional Amount | | | Expiration Date | | Counterparty | | Receive | | Pay | | | Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Net Unrealized Appreciation (Depreciation) | |
USD | | $ | 9,290,714 | | | 12/07/21 | | Goldman Sachs | | Bloomberg Energy Index | | | 0.11% | | | At Maturity | | $ | — | | | $ | (127,050 | ) |
USD | | | 4,297,654 | | | 12/07/21 | | Goldman Sachs | | Bloomberg Precious Metals Index | | | 0.11% | | | At Maturity | | | — | | | | 60,023 | |
USD | | | 40,648,544 | | | 12/07/21 | | Goldman Sachs | | Bloomberg industrial Metals Index | | | 0.12% | | | At Maturity | | | — | | | | (333,099 | ) |
USD | | | 47,854,558 | | | 12/07/21 | | Goldman Sachs | | Bloomberg Agriculture Index | | | 0.17% | | | At Maturity | | | — | | | | 7,833,872 | |
| | | | | | | | | | | | | | | | | | | | | | $ | 7,433,746 | |
|
Currency Abbreviations: |
____________________ | |
AUD = Australian Dollar |
CAD = Canadian Dollar |
EUR = Euro |
GBP = British Pound |
HKD = Hong Kong Dollar |
JPY = Japanese Yen |
USD = United States Dollar |
|
U.S. Treasury securities in the amount of $1,158,000 received at the custodian bank as collateral for OTC swaps. |
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. Over-the-counter derivative financial instruments, such as swap agreements, generally derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more brokers/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, these securities will be fair valued in good faith by the Pricing Committee, in accordance with procedures adopted by the Board.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
Generally accepted accounting principles in the United States of America (“GAAP”) established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at each measurement date. These inputs are summarized in the three broad levels listed below:
| · | Level 1—quoted prices in active markets for identical investments |
| · | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| · | Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of January 31, 2021 in valuing the Fund’s assets and liabilities carried at fair value:
Assets | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
United States Treasury Obligations | | $ | — | | | $ | 139,964,738 | | | $ | — | | | $ | 139,964,738 | |
| | $ | — | | | $ | 139,964,738 | | | $ | — | | | $ | 139,964,738 | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 3,498,062 | | | $ | — | | | $ | — | | | $ | 3,498,062 | |
Swap Contracts | | | — | | | | 7,893,895 | | | | — | | | | 7,893,895 | |
| | | | | | | | | | | | | | | | |
Liabilities | | | Level 1 | | | | Level 2 | | | | Level 3 | | | | Total | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 3,628,116 | | | $ | — | | | $ | — | | | $ | 3,628,116 | |
Swap Contracts | | | — | | | | 460,149 | | | | — | | | | 460,149 | |
| | | | | | | | | | |
* | Other financial instruments include unrealized appreciation (depreciation) on futures and swap contracts. | |
During the period ended January 31, 2021, 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, 2021 (unaudited)
| | Number of Shares | | | Value | |
COMMON STOCKS (9.2%) | | | | | | | | |
BELGIUM (0.1%) | | | | | | | | |
Insurance (0.1%) | | | | | | | | |
Ageas S.A. | | | 325 | | | $ | 16,657 | |
CANADA (0.2%) | | | | | | | | |
Capital Markets (0.0%) | | | | | | | | |
CI Financial Corp. | | | 1,387 | | | | 17,242 | |
IT Services (0.1%) | | | | | | | | |
CGI, Inc.(1) | | | 217 | | | | 17,412 | |
Metals/Mining (0.1%) | | | | | | | | |
Teck Resources Ltd., Class B | | | 947 | | | | 17,317 | |
| | | | | | | 51,971 | |
DENMARK (0.6%) | | | | | | | | |
Air Freight & Logistics (0.1%) | | | | | | | | |
DSV Panalpina AS | | | 103 | | | | 16,088 | |
Beverages (0.1%) | | | | | | | | |
Carlsberg AS, Class B | | | 108 | | | | 15,795 | |
Chemicals (0.1%) | | | | | | | | |
Novozymes AS, Class B | | | 301 | | | | 18,085 | |
Electrical Equipment (0.1%) | | | | | | | | |
Vestas Wind Systems AS | | | 73 | | | | 15,691 | |
Healthcare Equipment & Supplies (0.1%) | | | | | | | | |
Demant AS(1) | | | 438 | | | | 15,716 | |
Marine (0.0%) | | | | | | | | |
AP Moller - Maersk AS, Class A | | | 8 | | | | 15,106 | |
AP Moller - Maersk AS, Class B | | | 8 | | | | 16,451 | |
| | | | | | | 31,557 | |
Pharmaceuticals (0.1%) | | | | | | | | |
Novo Nordisk AS, Class B | | | 247 | | | | 17,227 | |
| | | | | | | 130,159 | |
FRANCE (0.2%) | | | | | | | | |
Electrical Equipment (0.1%) | | | | | | | | |
Schneider Electric SE | | | 120 | | | | 17,583 | |
Real Estate Investment Trust (0.1%) | | | | | | | | |
Klepierre S.A.(2) | | | 770 | | | | 18,475 | |
| | | | | | | 36,058 | |
GERMANY (0.1%) | | | | | | | | |
Diversified Telecommunication Services (0.1%) | | | | | | | | |
United Internet AG, Reg S | | | 410 | | | | 17,812 | |
Insurance (0.0%) | | | | | | | | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Reg S | | | 58 | | | | 15,396 | |
| | | | | | | 33,208 | |
IRELAND (0.6%) | | | | | | | | |
Building Products (0.1%) | | | | | | | | |
Johnson Controls International PLC | | | 368 | | | | 18,334 | |
Chemicals (0.1%) | | | | | | | | |
Linde PLC | | | 68 | | | | 16,687 | |
Construction Materials (0.1%) | | | | | | | | |
CRH PLC(1) | | | 416 | | | | 17,090 | |
Electrical Equipment (0.1%) | | | | | | | | |
Eaton Corp. PLC | | | 143 | | | | 16,831 | |
Insurance (0.0%) | | | | | | | | |
Aon PLC | | | 82 | | | | 16,654 | |
Machinery (0.1%) | | | | | | | | |
Pentair PLC | | | 324 | | | | 17,645 | |
Technology Hardware & Storage (0.1%) | | | | | | | | |
Seagate Technology PLC | | | 276 | | | | 18,249 | |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2021 (unaudited)
| | Number of Shares | | | Value | |
COMMON STOCKS (continued) | | | | | | | | |
IRELAND | | | | | | | | |
| | | | | | $ | 121,490 | |
ITALY (0.1%) | | | | | | | | |
Automobiles (0.1%) | | | | | | | | |
Ferrari NV | | | 75 | | | | 15,624 | |
JERSEY (0.2%) | | | | | | | | |
Containers & Packaging (0.1%) | | | | | | | | |
Amcor PLC | | | 1,565 | | | | 17,121 | |
Media (0.1%) | | | | | | | | |
WPP PLC | | | 1,570 | | | | 16,442 | |
Trading Companies & Distributors (0.0%) | | | | | | | | |
Ferguson PLC | | | 141 | | | | 16,408 | |
| | | | | | | 49,971 | |
NETHERLANDS (0.3%) | | | | | | | | |
Chemicals (0.0%) | | | | | | | | |
Akzo Nobel NV | | | 161 | | | | 16,408 | |
Healthcare Equipment & Supplies (0.1%) | | | | | | | | |
Koninklijke Philips NV | | | 323 | | | | 17,626 | |
Insurance (0.1%) | | | | | | | | |
NN Group NV | | | 398 | | | | 16,596 | |
Machinery (0.1%) | | | | | | | | |
CNH Industrial NV(1) | | | 1,371 | | | | 17,489 | |
| | | | | | | 68,119 | |
SWEDEN (0.2%) | | | | | | | | |
Diversified Telecommunication Services (0.1%) | | | | | | | | |
Telia Co AB | | | 4,197 | | | | 18,450 | |
Tobacco (0.1%) | | | | | | | | |
Swedish Match AB | | | 223 | | | | 17,249 | |
| | | | | | | 35,699 | |
SWITZERLAND (0.2%) | | | | | | | | |
Electronic Equipment, Instruments & Components (0.1%) | | | | | | | | |
TE Connectivity Ltd. | | | 142 | | | | 17,097 | |
Pharmaceuticals (0.1%) | | | | | | | | |
Novartis AG, Reg S | | | 182 | | | | 16,500 | |
| | | | | | | 33,597 | |
UNITED KINGDOM (1.1%) | | | | | | | | |
Banks (0.1%) | | | | | | | | |
Standard Chartered PLC(1) | | | 2,695 | | | | 16,343 | |
Beverages (0.1%) | | | | | | | | |
Coca-Cola European Partners PLC | | | 345 | | | | 16,032 | |
Capital Markets (0.1%) | | | | | | | | |
Standard Life Aberdeen PLC | | | 4,464 | | | | 18,418 | |
Insurance (0.1%) | | | | | | | | |
Direct Line Insurance Group PLC | | | 3,937 | | | | 16,195 | |
Media (0.1%) | | | | | | | | |
Pearson PLC | | | 1,846 | | | | 20,498 | |
Metals/Mining (0.1%) | | | | | | | | |
Anglo American PLC | | | 518 | | | | 17,077 | |
Rio Tinto PLC | | | 230 | | | | 17,488 | |
| | | | | | | 34,565 | |
Oil, Gas & Consumable Fuels (0.2%) | | | | | | | | |
BP PLC | | | 4,928 | | | | 18,353 | |
Royal Dutch Shell PLC B Shares | | | 997 | | | | 17,415 | |
Royal Dutch Shell PLC, Class A | | | 968 | | | | 17,952 | |
| | | | | | | 53,720 | |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2021 (unaudited)
| | Number of Shares | | | Value | |
COMMON STOCKS (continued) | | | | | | | | |
UNITED KINGDOM | | | | | | | | |
Professional Services (0.1%) | | | | | | | | |
RELX PLC | | | 701 | | | $ | 17,394 | |
Textiles, Apparel & Luxury Goods (0.1%) | | | | | | | | |
Burberry Group PLC(1) | | | 702 | | | | 16,489 | |
Trading Companies & Distributors (0.1%) | | | | | | | | |
Ashtead Group PLC | | | 366 | | | | 18,409 | |
| | | | | | | 228,063 | |
UNITED STATES (5.3%) | | | | | | | | �� |
Banks (0.6%) | | | | | | | | |
Bank of America Corp. | | | 566 | | | | 16,782 | |
Citigroup, Inc. | | | 278 | | | | 16,121 | |
JPMorgan Chase & Co. | | | 136 | | | | 17,499 | |
M&T Bank Corp. | | | 135 | | | | 17,884 | |
The PNC Financial Services Group, Inc. | | | 116 | | | | 16,648 | |
U.S. Bancorp | | | 368 | | | | 15,769 | |
Wells Fargo & Co. | | | 569 | | | | 17,002 | |
| | | | | | | 117,705 | |
Biotechnology (0.2%) | | | | | | | | |
Biogen, Inc.(1) | | | 70 | | | | 19,783 | |
Regeneron Pharmaceuticals, Inc.(1) | | | 36 | | | | 18,138 | |
| | | | | | | 37,921 | |
Building Products (0.1%) | | | | | | | | |
Masco Corp. | | | 313 | | | | 16,999 | |
Capital Markets (0.5%) | | | | | | | | |
Ameriprise Financial, Inc. | | | 88 | | | | 17,413 | |
Morgan Stanley | | | 251 | | | | 16,830 | |
State Street Corp. | | | 236 | | | | 16,520 | |
T. Rowe Price Group, Inc. | | | 113 | | | | 17,682 | |
The Bank of New York Mellon Corp. | | | 405 | | | | 16,131 | |
The Goldman Sachs Group, Inc. | | | 65 | | | | 17,626 | |
| | | | | | | 102,202 | |
Construction & Engineering (0.1%) | | | | | | | | |
Jacobs Engineering Group, Inc. | | | 158 | | | | 15,952 | |
Consumer Finance (0.1%) | | | | | | | | |
Synchrony Financial | | | 495 | | | | 16,657 | |
Diversified Financial Services (0.1%) | | | | | | | | |
Equitable Holdings, Inc. | | | 644 | | | | 15,958 | |
Voya Financial, Inc. | | | 292 | | | | 16,195 | |
| | | | | | | 32,153 | |
Diversified Telecommunication Services (0.2%) | | | | | | | | |
AT&T, Inc. | | | 608 | | | | 17,407 | |
Liberty Global PLC, Class C(1) | | | 726 | | | | 17,540 | |
| | | | | | | 34,947 | |
Electric Utilities (0.1%) | | | | | | | | |
NRG Energy, Inc. | | | 457 | | | | 18,924 | |
Electronic Equipment, Instruments & Components (0.1%) | | | | | | | | |
Arrow Electronics, Inc.(1) | | | 176 | | | | 17,183 | |
Food & Staples Retailing (0.1%) | | | | | | | | |
The Kroger Co. | | | 541 | | | | 18,665 | |
Healthcare Equipment & Supplies (0.1%) | | | | | | | | |
Hologic, Inc.(1) | | | 236 | | | | 18,816 | |
Healthcare Providers & Services (0.4%) | | | | | | | | |
DaVita, Inc.(1) | | | 146 | | | | 17,136 | |
Henry Schein, Inc.(1) | | | 257 | | | | 16,923 | |
McKesson Corp. | | | 99 | | | | 17,273 | |
Molina Healthcare, Inc.(1) | | | 76 | | | | 16,234 | |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2021 (unaudited)
| | Number of Shares | | | Value | |
COMMON STOCKS (continued) | | | | | | | | |
UNITED STATES | | | | | | | | |
Healthcare Providers & Services | | | | | | | | |
Universal Health Services, Inc. Class B | | | 125 | | | $ | 15,585 | |
| | | | | | | 83,151 | |
Healthcare Technology (0.1%) | | | | | | | | |
Cerner Corp. | | | 219 | | | | 17,544 | |
Hotels, Restaurants & Leisure (0.1%) | | | | | | | | |
Domino's Pizza, Inc. | | | 45 | | | | 16,684 | |
MGM Resorts International | | | 545 | | | | 15,565 | |
| | | | | | | 32,249 | |
Insurance (0.3%) | | | | | | | | |
Lincoln National Corp. | | | 344 | | | | 15,649 | |
Loews Corp. | | | 381 | | | | 17,255 | |
The Allstate Corp. | | | 156 | | | | 16,720 | |
W.R. Berkley Corp. | | | 258 | | | | 16,032 | |
| | | | | | | 65,656 | |
Internet Software & Services (0.2%) | | | | | | | | |
eBay, Inc. | | | 342 | | | | 19,326 | |
Expedia Group, Inc. | | | 130 | | | | 16,133 | |
| | | | | | | 35,459 | |
IT Services (0.1%) | | | | | | | | |
FleetCor Technologies, Inc.(1) | | | 63 | | | | 15,293 | |
GoDaddy, Inc., Class A(1) | | | 207 | | | | 16,266 | |
| | | | | | | 31,559 | |
Life Sciences Tools & Services (0.1%) | | | | | | | | |
Waters Corp.(1) | | | 69 | | | | 18,262 | |
Machinery (0.1%) | | | | | | | | |
Cummins, Inc. | | | 76 | | | | 17,816 | |
Media (0.3%) | | | | | | | | |
Altice U.S.A., Inc., Class A(1) | | | 481 | | | | 17,109 | |
Charter Communications, Inc., Class A(1) | | | 26 | | | | 15,797 | |
Discovery, Inc., Class C(1) | | | 655 | | | | 22,945 | |
Fox Corp. Class A | | | 535 | | | | 16,681 | |
| | | | | | | 72,532 | |
Metals/Mining (0.1%) | | | | | | | | |
Steel Dynamics, Inc. | | | 466 | | | | 15,970 | |
Oil, Gas & Consumable Fuels (0.1%) | | | | | | | | |
Cabot Oil & Gas Corp. | | | 1,060 | | | | 19,430 | |
Pharmaceuticals (0.1%) | | | | | | | | |
Bristol-Myers Squibb Co. | | | 277 | | | | 17,016 | |
Real Estate (0.1%) | | | | | | | | |
Mid-America Apartment Communities, Inc. | | | 137 | | | | 18,187 | |
Road & Rail (0.1%) | | | | | | | | |
Kansas City Southern | | | 84 | | | | 17,024 | |
Semiconductor Equipment & Products (0.1%) | | | | | | | | |
Intel Corp. | | | 345 | | | | 19,151 | |
Xilinx, Inc. | | | 121 | | | | 15,799 | |
| | | | | | | 34,950 | |
Software (0.3%) | | | | | | | | |
Citrix Systems, Inc. | | | 132 | | | | 17,597 | |
Fortinet, Inc.(1) | | | 116 | | | | 16,791 | |
NortonLifeLock, Inc. | | | 826 | | | | 17,404 | |
Oracle Corp. | | | 266 | | | | 16,074 | |
| | | | | | | 67,866 | |
Specialty Retail (0.1%) | | | | | | | | |
Tractor Supply Co. | | | 122 | | | | 17,292 | |
| | | | | | | | |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2021 (unaudited)
| | Number of Shares | | | Value | |
COMMON STOCKS (continued) | | | | | | | | |
UNITED STATES | | | | | | | | |
Technology Hardware & Storage (0.1%) | | | | | | | | |
NetApp, Inc. | | | 261 | | | $ | 17,341 | |
Textiles, Apparel & Luxury Goods (0.1%) | | | | | | | | |
VF Corp. | | | 201 | | | | 15,451 | |
Trading Companies & Distributors (0.1%) | | | | | | | | |
United Rentals, Inc.(1) | | | 74 | | | | 17,983 | |
| | | | | | | 1,080,862 | |
TOTAL COMMON STOCKS (Cost $1,866,718) | | | | | | | 1,901,478 | |
EXCHANGE-TRADED FUNDS (16.7%) | | | | | | | | |
UNITED STATES (16.7%) | | | | | | | | |
Commingled Funds (10.2%) | | | | | | | | |
Invesco QQQ Trust Series 1 | | | 306 | | | | 96,255 | |
iShares 3-7 Year Treasury Bond ETF | | | 5,344 | | | | 708,668 | |
iShares Russell 2000 Value ETF | | | 1,487 | | | | 205,801 | |
Vanguard Short-Term Inflation-Protected Securities ETF(2) | | | 20,853 | | | | 1,070,593 | |
| | | | | | | 2,081,317 | |
Diversified Financial Services (2.0%) | | | | | | | | |
Consumer Discretionary Select Sector SPDR Fund | | | 292 | | | | 47,307 | |
Industrial Select Sector SPDR Fund | | | 1,567 | | | | 132,835 | |
iShares MSCI EAFE ETF | | | 650 | | | | 47,054 | |
iShares MSCI Emerging Markets ETF(2) | | | 1,894 | | | | 100,969 | |
Materials Select Sector SPDR Fund | | | 1,282 | | | | 90,560 | |
| | | | | | | 418,725 | |
Energy - Integrated (4.5%) | | | | | | | | |
Alerian MLP ETF(2) | | | 34,251 | | | | 926,489 | |
TOTAL EXCHANGE-TRADED FUNDS (Cost $3,136,119) | | | | | | | 3,426,531 | |
SHORT-TERM INVESTMENTS (5.7%) | | | | | | | | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.06%(3) (Cost $1,163,486) | | | 1,163,486 | | | | 1,163,486 | |
TOTAL INVESTMENTS AT VALUE (31.6%) (Cost $6,166,323) | | | | | | | 6,491,495 | |
OTHER ASSETS IN EXCESS OF LIABILITIES (68.4%) | | | | | | | 14,022,109 | |
NET ASSETS(4) (100.0%) | | | | | | $ | 20,513,604 | |
| |
(1) | Non-income producing security. |
(2) | Security or portion thereof is out on loan. |
(3) | Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at January 31, 2021. |
(4) | As of January 31, 2021, the Credit Suisse Multialternative Strategy Fund held $4,982,272 in the wholly-owned subsidiary, Credit Suisse Cayman Multialternative Strategy Fund, Ltd., representing 24.3% of the Fund's consolidated net assets. |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2021 (unaudited)
Forward Foreign Currency Contracts
Forward Currency to be Purchased (Local) | | Forward Currency to be Sold (Local) | | Expiration Date | | Counterparty | | Value on Settlement Date | | | Current Value/Notional | | | Net Unrealized Appreciation (Depreciation) | |
CAD | | $ | 73,546 | | | USD | | $ | 57,831 | | | 03/17/21 | | JPMorgan Chase | | $ | 57,831 | | | $ | 57,580 | | | $ | (251 | ) |
CHF | | | 16,484 | | | USD | | | 18,693 | | | 03/17/21 | | JPMorgan Chase | | | 18,693 | | | | 18,552 | | | | (141 | ) |
DKK | | | 812,531 | | | USD | | | 134,329 | | | 03/17/21 | | JPMorgan Chase | | | 134,329 | | | | 132,830 | | | | (1,499 | ) |
EUR | | | 348,096 | | | USD | | | 427,529 | | | 03/17/21 | | JPMorgan Chase | | | 427,529 | | | | 423,308 | | | | (4,221 | ) |
GBP | | | 116,830 | | | USD | | | 159,090 | | | 03/17/21 | | JPMorgan Chase | | | 159,090 | | | | 160,468 | | | | 1,378 | |
SEK | | | 287,161 | | | USD | | | 34,810 | | | 03/17/21 | | JPMorgan Chase | | | 34,810 | | | | 34,488 | | | | (322 | ) |
USD | | | 614,783 | | | EUR | | | 504,317 | | | 03/17/21 | | JPMorgan Chase | | | (614,783 | ) | | | (613,282 | ) | | | 1,501 | |
USD | | | 269,642 | | | DKK | | | 1,647,296 | | | 03/17/21 | | JPMorgan Chase | | | (269,642 | ) | | | (269,297 | ) | | | 345 | |
USD | | | 111,396 | | | CAD | | | 141,977 | | | 03/17/21 | | JPMorgan Chase | | | (111,396 | ) | | | (111,154 | ) | | | 242 | |
USD | | | 36,017 | | | CHF | | | 31,832 | | | 03/17/21 | | JPMorgan Chase | | | (36,017 | ) | | | (35,826 | ) | | | 191 | |
USD | | | 69,613 | | | SEK | | | 583,680 | | | 03/17/21 | | JPMorgan Chase | | | (69,613 | ) | | | (70,097 | ) | | | (484 | ) |
USD | | | 405,635 | | | GBP | | | 300,057 | | | 03/17/21 | | JPMorgan Chase | | | (405,635 | ) | | | (412,133 | ) | | | (6,498 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (9,759 | ) |
Futures Contracts
Contract Description | | Currency | | | Expiration Date | | Number of Contracts | | | Notional Value | | | Net Unrealized Appreciation (Depreciation) | |
Contracts to Purchase | | | | | | | | | | | | | | | | | | |
Index Contracts | | | | | | | | | | | | | | | | | | |
EURO Stoxx 50 Index Dividend Futures | | | EUR | | | Dec 2021 | | | 118 | | | $ | 1,247,216 | | | $ | 32,722 | |
Industrial Metals | | | | | | | | | | | | | | | | | | |
LME Nickel Futures | | | USD | | | Mar 2021 | | | 9 | | | | 954,369 | | | $ | 61,124 | |
LME Nickel Futures | | | USD | | | May 2021 | | | 2 | | | | 212,382 | | | | (5,626 | ) |
LME Primary Aluminum Futures | | | USD | | | Mar 2021 | | | 26 | | | | 1,279,122 | | | | (16,505 | ) |
LME Primary Aluminum Futures | | | USD | | | May 2021 | | | 6 | | | | 297,150 | | | | (6,071 | ) |
LME Zinc Futures | | | USD | | | Mar 2021 | | | 16 | | | | 1,028,000 | | | | (60,956 | ) |
LME Zinc Futures | | | USD | | | May 2021 | | | 4 | | | | 258,375 | | | | (10,260 | ) |
| | | | | | | | | | | | | | | | $ | (38,294 | ) |
Interest Rate Contracts | | | | | | | | | | | | | | | | | | |
10YR AUD Bond Futures | | | AUD | | | Mar 2021 | | | 16 | | | | 1,790,675 | | | $ | (7,464 | ) |
10YR CAD Bond Futures | | | CAD | | | Mar 2021 | | | 16 | | | | 1,848,808 | | | | (4,567 | ) |
10YR U.S. Treasury Note Futures | | | USD | | | Mar 2021 | | | 13 | | | | 1,781,406 | | | | (2,877 | ) |
| | | | | | | | | | | | | | | | $ | (14,908 | ) |
Contracts to Sell | | | | | | | | | | | | | | | | | | |
Index Contracts | | | | | | | | | | | | | | | | | | |
EURO Stoxx 50 Index Futures | | | EUR | | | Mar 2021 | | | (17 | ) | | | (718,322 | ) | | $ | 9,040 | |
S&P 500 E Mini Index Futures | | | USD | | | Mar 2021 | | | (6 | ) | | | (1,111,560 | ) | | | (5,128 | ) |
| | | | | | | | | | | | | | | | $ | 3,912 | |
Industrial Metals | | | | | | | | | | | | | | | | | | |
LME Nickel Futures | | | USD | | | Mar 2021 | | | (9 | ) | | | (954,369 | ) | | $ | (64,625 | ) |
LME Nickel Futures | | | USD | | | May 2021 | | | (2 | ) | | | (212,382 | ) | | | 2,717 | |
LME Primary Aluminum Futures | | | USD | | | Mar 2021 | | | (26 | ) | | | (1,279,122 | ) | | | 50,407 | |
LME Primary Aluminum Futures | | | USD | | | May 2021 | | | (6 | ) | | | (297,150 | ) | | | 2,273 | |
LME Zinc Futures | | | USD | | | Mar 2021 | | | (16 | ) | | | (1,028,000 | ) | | | 64,373 | |
LME Zinc Futures | | | USD | | | May 2021 | | | (4 | ) | | | (258,375 | ) | | | 393 | |
| | | | | | | | | | | | | | | | $ | 55,538 | |
Interest Rate Contracts | | | | | | | | | | | | | | | | | | |
10YR JGB Mini Futures | | | JPY | | | Mar 2021 | | | (13 | ) | | | (1,884,407 | ) | | $ | 3,419 | |
EURO Bund Futures | | | EUR | | | Mar 2021 | | | (9 | ) | | | (1,938,069 | ) | | | 5,275 | |
Long Gilt Futures | | | GBP | | | Mar 2021 | | | (10 | ) | | | (1,841,049 | ) | | | 6,744 | |
| | | | | | | | | | | | | | | | $ | 15,438 | |
| | | | | | | | | | | | | | | | $ | 54,408 | |
Credit Suisse Multialternative Strategy FundConsolidated Schedule of Investments (continued)
January 31, 2021 (unaudited)
Total Return Swap Contracts |
Currency | | Notional Amount | | | Expiration Date | | Counterparty | | Receive | | Pay | | Periodic Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Net Unrealized Appreciation (Depreciation) | |
USD | | $ | 2,181,811 | | | 09/24/21 | | Bank of America | | Bank of America Equities US Volatility Carry Hourly Hedged Index(b) | | 1.00% | | Monthly | | $ | — | | | $ | 0 | |
USD | | | 4,304,785 | | | 06/04/21 | | Barclays Bank PLC | | Barclays Month End Rebalancing Currency Index ER(b) | | 0.20% | | At Maturity | | | — | | | | (13,780 | ) |
USD | | | 4,248,509 | | | 09/09/21 | | Barclays Bank PLC | | Barclays Commodity Hedging Insights 2 Index(b) | | 0.15% | | At Maturity | | | — | | | | (115,995 | ) |
USD | | | 2,543,131 | | | 09/09/21 | | Barclays Bank PLC | | Shiller Barclays CAPE US Mid - Month Sector Market Hedged ER Index(b) | | 0.60% | | At Maturity | | | — | | | | (39,153 | ) |
USD | | | 455,167 | | | 06/04/21 | | BNP Paribas | | BNP Paribas VOLA Index ER(b) | | 0.35% | | At Maturity | | | — | | | | (9,476 | ) |
USD | | | 4,000,000 | | | 06/21/21 | | BNP Paribas | | iBoxx $ Liquid High Yield Index | | 0.24% | | Quarterly | | | — | | | | 178,738 | |
USD | | | 1,074,840 | | | 06/30/21 | | BNP Paribas | | USD Custom Equity Basket Long 2(b) | | 0.32% | | Monthly | | | — | | | | (15,080 | ) |
USD | | | 47,346 | | | 08/03/21 | | BNP Paribas | | USD Custom Equity Basket Long(b) | | 0.32% | | Monthly | | | — | | | | (1,952 | ) |
USD | | | 289,409 | | | 08/03/21 | | BNP Paribas | | (0.26)% | | USD Custom Equity Basket Short(b) | | Monthly | | | — | | | | 7,358 | |
USD | | | 204,124 | | | 08/03/21 | | BNP Paribas | | USD Custom Equity Basket Long(b) | | 0.34% | | Monthly | | | — | | | | (2,426 | ) |
USD | | | 1,347,805 | | | 09/09/21 | | BNP Paribas | | BNP Alpha Momentum ex-Agriculture and Livestock Net index(b) | | 0.30% | | At Maturity | | | — | | | | 70,766 | |
USD | | | 4,299,207 | | | 09/09/21 | | BNP Paribas | | BNP Paribas Dynamic Pre Roll Alpha ex Agriculture and Livestock Index(b) | | 0.10% | | At Maturity | | | — | | | | 10,743 | |
EUR | | | 4,271,537 | | | 09/30/21 | | BNP Paribas | | BNP Paribas Equity Low Vol Europe Index(b) | | 0.00% | | At Maturity | | | — | | | | (35,420 | ) |
USD | | | 289,813 | | | 09/30/21 | | BNP Paribas | | BNP Paribas Equity Low Vol US Index(b) | | 0.35% | | At Maturity | | | — | | | | (5,054 | ) |
USD | | | 1,801,392 | | | 09/09/21 | | Citigroup | | Citi Pure Estimates Momentum US Long-Short TR Index(b) | | 0.95% | | At Maturity | | | — | | | | 21,808 | |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2021 (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 | | $ | 400,000 | | | 03/22/21 | | Goldman Sachs | | 0.24% | | iBoxx $ Liquid High Yield Index | | Quarterly | | $ | — | | | $ | (41,143 | ) |
USD | | | 3,391,556 | | | 07/16/21 | | Goldman Sachs | | Goldman Sachs VVOL Carry ER(b) | | 0.00% | | At Maturity | | | — | | | | 376,579 | |
USD | | | 4,301,822 | | | 07/16/21 | | Goldman Sachs | | Goldman Sachs Commodity Strategy Index(b) | | 0.00% | | At Maturity | | | — | | | | 26,596 | |
USD | | | 2,840,714 | | | 07/16/21 | | Goldman Sachs | | Goldman Sachs DISP U.S. Index(b) | | 0.00% | | At Maturity | | | — | | | | (7,886 | ) |
USD | | | 3,763,635 | | | 09/09/21 | | Goldman Sachs | | Goldman Sachs Commodities Seasonality Index(b) | | 0.00% | | At Maturity | | | — | | | | 57,503 | |
USD | | | 73,502 | | | 09/09/21 | | Goldman Sachs | | Goldman Sachs RP 112 Long Short Series SR Excess Return Strategy(b) | | (0.60)% | | At Maturity | | | — | | | | (3,642 | ) |
USD | | | 816,853 | | | 09/09/21 | | Goldman Sachs | | Goldman Sachs RP 109 Long Short Series SR Excess Return Strategy(b) | | (0.60)% | | At Maturity | | | — | | | | 15,826 | |
USD | | | 166,127 | | | 09/09/21 | | Goldman Sachs | | Goldman Sachs RP 110 Long Short Series SR Excess Return Strategy(b) | | (0.60)% | | At Maturity | | | — | | | | (7,015 | ) |
USD | | | 400,000 | | | 09/20/21 | | Goldman Sachs | | 0.22% | | iBoxx $ Liquid High Yield Index | | Quarterly | | | 85 | | | | 1,387 | |
USD | | | 7,415 | | | 10/25/21 | | Goldman Sachs | | Achillion Pharmaceuticals CVR | | 0.50% | | Monthly | | | — | | | | 81 | |
USD | | | 36 | | | 12/10/21 | | Goldman Sachs | | (0.23)% | | Builders Firstsource, Inc. | | Monthly | | | — | | | | (2 | ) |
USD | | | 2,988,561 | | | 02/09/21 | | JPMorgan Chase | | J.P. Morgan Helix 3 Index(a) | | 0.60% | | At Maturity | | | — | | | | 7,556 | |
USD | | | 4,229,806 | | | 02/09/21 | | JPMorgan Chase | | J.P. Morgan Seasonal Spreads Portfolio Commodity Index(a) | | 0.60% | | At Maturity | | | — | | | | 58,291 | |
USD | | | 4,325,678 | | | 02/09/21 | | JPMorgan Chase | | J.P. Morgan Equities Turn-of the Month Seasonality Index(b) | | 0.00% | | At Maturity | | | — | | | | 80,558 | |
USD | | | 4,366,831 | | | 02/09/21 | | JPMorgan Chase | | JPM Commodities Fundamental Value(b) | | 0.80% | | At Maturity | | | — | | | | 130,230 | |
USD | | | 275,028 | | | 02/09/21 | | JPMorgan Chase | | J.P. Morgan Rates U.S. Volatility Carry Index(b) | | 1.00% | | Monthly | | | — | | | | 167 | |
USD | | | 499,999 | | | 03/04/21 | | JPMorgan Chase | | J.P. Morgan EMBI Global Core | | 0.78% | | Quarterly | | | — | | | | (801 | ) |
USD | | | 1,000,000 | | | 03/11/21 | | JPMorgan Chase | | J.P. Morgan EMBI Global Core | | 0.72% | | Quarterly | | | — | | | | (5,426 | ) |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2021 (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 | | $ | 600,000 | | | 03/11/21 | | JPMorgan Chase | | J.P. Morgan EMBI Global Core | | 0.79% | | Quarterly | | $ | — | | | $ | (9,401 | ) |
EUR | | | 1,542 | | | 03/19/21 | | JPMorgan Chase | | Aroundtown SA | | (0.09)% | | Monthly | | | — | | | | (85 | ) |
USD | | | 300,000 | | | 03/22/21 | | JPMorgan Chase | | iBoxx $ Liquid High Yield Index | | 0.24% | | Quarterly | | | — | | | | 18,826 | |
USD | | | 4,200,000 | | | 06/21/21 | | JPMorgan Chase | | 0.24% | | iBoxx $ Liquid High Yield Index | | Quarterly | | | — | | | | (216,951 | ) |
USD | | | 109,789 | | | 01/03/22 | | JPMorgan Chase | | (0.26)% | | Marvell Technology Group Ltd. | | Monthly | | | — | | | | (8,878 | ) |
USD | | | 237,901 | | | 01/03/22 | | JPMorgan Chase | | Navistar International Corp. | | 0.53% | | Monthly | | | — | | | | 271 | |
USD | | | 265,672 | | | 01/03/22 | | JPMorgan Chase | | Xilinx, Inc. | | 0.53% | | Monthly | | | — | | | | (25,162 | ) |
USD | | | 47,568 | | | 01/03/22 | | JPMorgan Chase | | Endurance International Group | | 0.53% | | Monthly | | | — | | | | 202 | |
USD | | | 294,452 | | | 01/03/22 | | JPMorgan Chase | | (0.14)% | | Advanced Micro Devices, Inc. | | Monthly | | | — | | | | 22,631 | |
USD | | | 229,480 | | | 01/03/22 | | JPMorgan Chase | | PNM Resources, Inc. | | 0.53% | | Monthly | | | — | | | | 1,523 | |
USD | | | 253,414 | | | 01/03/22 | | JPMorgan Chase | | (0.14)% | | Analog Devices, Inc. | | Monthly | | | — | | | | 2,216 | |
USD | | | 236,669 | | | 01/03/22 | | JPMorgan Chase | | Varian Medical Systems, Inc. | | 0.53% | | Monthly | | | — | | | | 175 | |
USD | | | 241,638 | | | 01/03/22 | | JPMorgan Chase | | Maxim Integrated Products | | 0.53% | | Monthly | | | — | | | | (4,382 | ) |
USD | | | 163,630 | | | 01/03/22 | | JPMorgan Chase | | Inphi Corp. | | 0.53% | | Monthly | | | — | | | | 3,631 | |
| | | | | | | | | | China Biologic Products | | | | | | | | | | | | |
USD | | | 236,118 | | | 01/03/22 | | JPMorgan Chase | | Holdings, Inc. | | 0.53% | | Monthly | | | — | | | | (300 | ) |
USD | | | 142,555 | | | 01/03/22 | | JPMorgan Chase | | Virtusa Corp. | | 0.53% | | Monthly | | | — | | | | (279 | ) |
CAD | | | 199,471 | | | 01/04/22 | | JPMorgan Chase | | Great Canadian Gaming Corp. | | 0.88% | | Monthly | | | — | | | | (3,256 | ) |
GBP | | | 362,749 | | | 01/10/22 | | JPMorgan Chase | | KAZ Minerals PLC | | 0.38% | | Monthly | | | — | | | | 31,027 | |
GBP | | | 330,873 | | | 01/10/22 | | JPMorgan Chase | | RSA Insurance Group PLC | | 0.38% | | Monthly | | | — | | | | (1,577 | ) |
USD | | | 87,097 | | | 01/10/22 | | JPMorgan Chase | | Maxim Integrated Products | | 0.53% | | Monthly | | | — | | | | (1,580 | ) |
USD | | | 85,078 | | | 01/10/22 | | JPMorgan Chase | | China Biologic Products Holdings, Inc. | | 0.53% | | Monthly | | | — | | | | (108 | ) |
USD | | | 17,162 | | | 01/10/22 | | JPMorgan Chase | | Endurance International Group | | 0.53% | | Monthly | | | — | | | | 73 | |
USD | | | 106,222 | | | 01/10/22 | | JPMorgan Chase | | (0.27)% | | Advanced Micro Devices, Inc. | | Monthly | | | — | | | | 8,164 | |
USD | | | 42 | | | 01/10/22 | | JPMorgan Chase | | (0.27)% | | Conoco Philips | | Monthly | | | — | | | | 2 | |
USD | | | 82,711 | | | 01/10/22 | | JPMorgan Chase | | PNM Resources, Inc. | | 0.53% | | Monthly | | | — | | | | 549 | |
USD | | | 318,622 | | | 01/10/22 | | JPMorgan Chase | | Sina Corp. | | 0.53% | | Monthly | | | — | | | | (4,136 | ) |
USD | | | 95,769 | | | 01/10/22 | | JPMorgan Chase | | Xilinx, Inc. | | 0.53% | | Monthly | | | — | | | | (9,070 | ) |
USD | | | 85,746 | | | 01/10/22 | | JPMorgan Chase | | Navistar International Corp. | | 0.53% | | Monthly | | | — | | | | 98 | |
USD | | | 39,564 | | | 01/10/22 | | JPMorgan Chase | | (0.26)% | | Marvell Technology Group Ltd. | | Monthly | | | — | | | | (3,199 | ) |
USD | | | 51,457 | | | 01/10/22 | | JPMorgan Chase | | Virtusa Corp. | | 0.53% | | Monthly | | | — | | | | (101 | ) |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2021 (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 | | $ | 91,259 | | | 01/10/22 | | JPMorgan Chase | | (0.27)% | | Analog Devices, Inc. | | Monthly | | $ | — | | | $ | 798 | |
USD | | | 85,439 | | | 01/10/22 | | JPMorgan Chase | | Varian Medical Systems, Inc. | | 0.53% | | Monthly | | | — | | | | 63 | |
USD | | | 87,057 | | | 01/10/22 | | JPMorgan Chase | | (0.27)% | | Sales Force. Com., Inc. | | Monthly | | | — | | | | (1,588 | ) |
USD | | | 212,697 | | | 01/10/22 | | JPMorgan Chase | | Slack Technologies , Inc. | | 0.53% | | Monthly | | | — | | | | 810 | |
USD | | | 59,052 | | | 01/10/22 | | JPMorgan Chase | | Inphi Corp. | | 0.53% | | Monthly | | | — | | | | 1,310 | |
SEK | | | 333,136 | | | 01/17/22 | | JPMorgan Chase | | Recipharm AB | | 0.33% | | Monthly | | | — | | | | 16,172 | |
USD | | | 325,630 | | | 01/18/22 | | JPMorgan Chase | | TCF Financial Corp. | | 0.53% | | Monthly | | | — | | | | 8,954 | |
USD | | | 331,953 | | | 01/18/22 | | JPMorgan Chase | | (0.27)% | | Huntington Bancshares, Inc. | | Monthly | | | — | | | | (9,953 | ) |
USD | | | 208,741 | | | 01/24/22 | | JPMorgan Chase | | Aerojet Rocketdyne Holdings, Inc. | | 0.52% | | Monthly | | | — | | | | (1,987 | ) |
USD | | | 79,539 | | | 01/24/22 | | JPMorgan Chase | | (0.28)% | | Diamondback Energy, Inc. | | Monthly | | | — | | | | (4,476 | ) |
USD | | | 331,829 | | | 01/24/22 | | JPMorgan Chase | | HMS Holdings Corp. | | 0.52% | | Monthly | | | — | | | | 1,539 | |
USD | | | 78,543 | | | 01/24/22 | | JPMorgan Chase | | QEP Resources, Inc. | | 0.52% | | Monthly | | | — | | | | 5,928 | |
USD | | | 328,073 | | | 01/24/22 | | JPMorgan Chase | | Realpage, Inc. | | 0.52% | | Monthly | | | — | | | | (492 | ) |
USD | | | 88,742 | | | 02/07/22 | | JPMorgan Chase | | Boston Private Final Holdings, Inc. | | 0.53% | | Monthly | | | — | | | | 2,549 | |
USD | | | 315,469 | | | 02/07/22 | | JPMorgan Chase | | FLIR Systems, Inc. | | 0.53% | | Monthly | | | — | | | | (2,440 | ) |
USD | | | 318,492 | | | 02/07/22 | | JPMorgan Chase | | Magellan Health, Inc. | | 0.53% | | Monthly | | | — | | | | (3,189 | ) |
USD | | | 71,014 | | | 02/07/22 | | JPMorgan Chase | | (0.26)% | | SVB Financial Group | | Monthly | | | — | | | | (3,846 | ) |
USD | | | 158,722 | | | 02/07/22 | | JPMorgan Chase | | (0.26)% | | Teledyne Technologies , Inc. | | Monthly | | | — | | | | 4,493 | |
USD | | | 174,844 | | | 02/14/22 | | JPMorgan Chase | | Change Healthcare, Inc. | | 0.53% | | Monthly | | | — | | | | (165 | ) |
USD | | | 193,028 | | | 02/28/22 | | JPMorgan Chase | | Coherent, Inc. | | 0.52% | | Monthly | | | — | | | | (5,042 | ) |
USD | | | 110,591 | | | 02/28/22 | | JPMorgan Chase | | (0.27)% | | Lumentum Holdings, Inc. | | Monthly | | | — | | | | 6,567 | |
USD | | | 1,568,921 | | | 09/09/21 | | Macquarie Bank Ltd. | | Macquarie Commodity Volatility Basket 2(b) | | 0.15% | | At Maturity | | | — | | | | 45,677 | |
USD | | | 400,000 | | | 03/20/21 | | Morgan Stanley | | iBoxx $ Liquid High Yield Index | | 0.24% | | Quarterly | | | (152 | ) | | | 8,833 | |
USD | | | 1,000,000 | | | 03/20/21 | | Morgan Stanley | | iBoxx $ Liquid High Yield Index | | 0.22% | | Quarterly | | | (505 | ) | | | 8,509 | |
USD | | | 3,330,000 | | | 03/20/21 | | Morgan Stanley | | 1.00% | | iBoxx $ Liquid High Yield Index | | Quarterly | | | 1,851 | | | | (22,797 | ) |
USD | | | 1,100,000 | | | 03/22/21 | | Morgan Stanley | | iBoxx $ Liquid High Yield Index | | 0.24% | | Quarterly | | | — | | | | 123,291 | |
USD | | | 1,300,000 | | | 06/21/21 | | Morgan Stanley | | iBoxx $ Liquid High Yield Index | | 0.24% | | Quarterly | | | — | | | | 49,367 | |
USD | | | 687,819 | | | 09/09/21 | | Morgan Stanley | | GC Intraday Momentum Index(d) | | 0.15% | | At Maturity | | | — | | | | (2,179 | ) |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2021 (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 | | $ | 4,300,916 | | | 09/09/21 | | Morgan Stanley | | Morgan Stanley Soy Dynamic Congestion Index(b) | | 0.25% | | At Maturity | | $ | — | | | $ | 12,319 | |
USD | | | 400,000 | | | 09/20/21 | | Morgan Stanley | | 0.21% | | iBoxx $ Liquid High Yield Index | | Quarterly | | | 134 | | | | (11,470 | ) |
USD | | | 1,900,000 | | | 09/20/21 | | Morgan Stanley | | iBoxx $ Liquid High Yield Index | | 0.24% | | Quarterly | | | (560 | ) | | | 2,354 | |
USD | | | 4,298,917 | | | 09/30/21 | | Morgan Stanley | | Morgan Stanley Commodities Curve Carry Index(b) | | 0.35% | | At Maturity | | | — | | | | (49,126 | ) |
USD | | | 15,918 | | | 04/20/21 | | Societe Generale | | 0.12% | | S&P 500 Total Return Index | | Monthly | | | — | | | | 556 | |
USD | | | 534,626 | | | 06/04/21 | | Societe Generale | | SGI VRR US Index(b) | | 0.28% | | At Maturity | | | — | | | | 16,953 | |
USD | | | 4,332,047 | | | 06/09/21 | | Societe Generale | | SGI Commodity Dynamic Alpha VT6 Index(b) | | 1.20% | | At Maturity | | | — | | | | (117,945 | ) |
USD | | | 668,564 | | | 06/30/21 | | Societe Generale | | 0.25% | | S&P 500 Total Return Index | | Monthly | | | — | | | | 23,360 | |
USD | | | 405,914 | | | 08/20/21 | | Societe Generale | | 0.32% | | S&P 500 Total Return Index | | Monthly | | | — | | | | 14,183 | |
USD | | | 3,966,022 | | | 09/09/21 | | Societe Generale | | SG US Trend Index(c) | | 0.30% | | At Maturity | | | — | | | | (24,637 | ) |
| | | | | | | | | | | | | | | | $ | 853 | | | $ | 634,112 | |
WRITTEN OPTIONS
Number of Contracts | | Counterparty | | Put Written Options | | Expiration Date | | Notional Amount | | Premiums Received | | Current Value | | Net Unrealized Appreciation (Depreciation) |
1 | | Goldman Sachs | | S&P 500 Index, strike @ $3,795 | | 02/19/21 | | 100 | | $7,769 | | $(13,035) | | $ (5,266) |
(a) The index constituents are available on the counterparty’s website.
(b) The index constituents are available on the Fund’s website.
(c) The Index intends to track the performance of a strategy that trades the daily trend of the S&P 500 (the Underlying Index).
(d) The Index intends to track the performance of a strategy that trades the daily trend of the GC COMEX Gold Futures.
Investment Abbreviations:
CVR = Contingent Value Right
Currency Abbreviations:
AUD = Australian Dollar
CAD = Canadian Dollar
CHF = Swiss Franc
DKK = Danish Krone
EUR = Euro
GBP = British Pound
JPY = Japanese Yen
SEK = Swedish Krona
USD = United States Dollar
U.S. Treasury securities in the amount of $200,000 received at the custodian bank as collateral for OTC swaps.
SECURITY VALUATION — The Board of Trustees (the "Board") is responsible for the Fund’s valuation process. The Board has delegated the supervision of the daily valuation process to Credit Suisse Asset Management, LLC, the Fund’s investment adviser (“Credit Suisse” or the “Adviser”), who has established a Pricing Committee which, pursuant to the policies adopted by the Board, is responsible for making fair valuation determinations and overseeing the Fund’s pricing policies. The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. For certain international equity securities, in order to adjust for events which may occur between the close of the foreign exchanges and the close of the Exchange, a fair valuation model may be used. This fair valuation model takes into account comparisons to the valuation of American Depository Receipts (ADRs), exchange-traded funds, futures contracts and certain indices and these securities are categorized as Level 2. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional “round lot” size, but some trades occur in smaller “odd lot” sizes which may be effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Option contracts on securities, currencies, indices, futures contracts, swaps and other instruments are valued at the mid-point between the last bid and ask quotations as of the close of trading on the exchange on which the option is traded. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Over-the-counter derivative financial instruments, such as swap agreements, generally derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more brokers/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, these securities will be fair valued in good faith by the Pricing Committee, in accordance with procedures adopted by the Board.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
Generally accepted accounting principles in the United States of America (“GAAP”) established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at each measurement date. These inputs are summarized in the three broad levels listed below:
| · | Level 1—quoted prices in active markets for identical investments |
| · | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| · | Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of January 31, 2021 in valuing the Fund’s assets and liabilities carried at fair value:
Assets | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 1,287,483 | | | $ | 613,995 | | | $ | — | | | $ | 1,901,478 | |
Exchange-traded Funds | | | 3,426,531 | | | | — | | | | — | | | | 3,426,531 | |
Short-term Investments | | | — | | | | 1,163,486 | | | | — | | | | 1,163,486 | |
| | $ | 4,714,014 | | | $ | 1,777,481 | | | $ | — | | | $ | 6,491,495 | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 3,657 | | | $ | — | | | $ | 3,657 | |
Futures Contracts | | | 238,487 | | | | — | | | | — | | | | 238,487 | |
Swap Contracts | | | — | | | | 1,488,160 | | | | — | | | | 1,488,160 | |
| | | | | | | | | | | | | | | | |
Liabilities | | | Level 1 | | | | Level 2 | | | | Level 3 | | | | Total | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 13,416 | | | $ | — | | | $ | 13,416 | |
Futures Contracts | | | 184,079 | | | | — | | | | — | | | | 184,079 | |
Swap Contracts | | | — | | | | 854,048 | | | | — | | | | 854,048 | |
Written Options | | | 13,035 | | | | — | | | | — | | | | 13,035 | |
| * | Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts, futures and swap contracts. Written options are reported at value. |
During the period ended January 31, 2021, 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, 2021 (unaudited)
Par (000) | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (82.7%) | | | | | | | | | | | | | | |
Advertising (1.1%) | | | | | | | | | | | | | | |
$ | 8,099 | | Clear Channel Outdoor Holdings, Inc., LIBOR 3M + 3.500%(1) | | (B, B1) | | | 08/21/26 | | | | 3.659 - 3.712 | | | $ | 7,919,295 | |
4,313 | | MH Sub I LLC, LIBOR 1M + 3.500%(1) | | (B, B2) | | | 09/13/24 | | | | 3.621 | | | | 4,294,912 | |
5,980 | | MH Sub I LLC, LIBOR 1M + 7.500%(1) | | (CCC+, Caa2) | | | 09/15/25 | | | | 7.621 | | | | 6,012,411 | |
3,959 | | Southern Graphics, Inc., LIBOR 1M + 3.250%(1) | | (CCC+, B3) | | | 12/31/22 | | | | 3.371 | | | | 2,966,160 | |
6,000 | | Southern Graphics, Inc., LIBOR 1M + 7.500%(1),(2) | | (CCC-, Caa3) | | | 12/31/23 | | | | 7.621 | | | | 2,400,000 | |
| | | | | | | | | | | | | | | 23,592,778 | |
Aerospace & Defense (0.6%) | | | | | | | | | | | | | | |
7,770 | | Amentum Government Services Holdings LLC, LIBOR 3M + 4.750%(1) | | (B, B1) | | | 01/29/27 | | | | 5.500 | | | | 7,828,771 | |
2,070 | | Avolon TLB Borrower 1 (US) LLC, LIBOR 1M + 1.500%(1) | | (BBB-, Baa2) | | | 02/12/27 | | | | 2.250 | | | | 2,061,732 | |
2,755 | | Fly Funding II Sarl, LIBOR 3M + 1.750%(1) | | (BB+, Ba3) | | | 08/11/25 | | | | 2.000 | | | | 2,652,116 | |
| | | | | | | | | | | | | | | 12,542,619 | |
Air Transportation (0.1%) | | | | | | | | | | | | | | |
1,414 | | Mileage Plus Holdings LLC, LIBOR 3M + 5.250%(1) | | (NR, Baa3) | | | 06/25/27 | | | | 6.250 | | | | 1,510,403 | |
Auto Parts & Equipment (4.4%) | | | | | | | | | | | | | | |
5,760 | | Adient U.S. LLC, LIBOR 1M + 4.250%(1) | | (B+, Ba3) | | | 05/06/24 | | | | 4.371 - 4.463 | | | | 5,777,557 | |
8,062 | | American Axle & Manufacturing, Inc., LIBOR 1M + 2.250%(1) | | (BB-, Ba2) | | | 04/06/24 | | | | 3.000 | | | | 8,029,656 | |
2,925 | | Autokiniton U.S. Holdings, Inc., LIBOR 1M + 6.375%(1),(3) | | (B, B2) | | | 05/22/25 | | | | 6.496 | | | | 2,939,625 | |
8,339 | | Clarios Global LP, LIBOR 1M + 3.500%(1) | | (B, B1) | | | 04/30/26 | | | | 3.621 | | | | 8,354,564 | |
16,282 | | CS Intermediate Holdco 2 LLC, LIBOR 1M + 2.000%(1),(2) | | (B-, B1) | | | 11/02/23 | | | | 2.750 | | | | 15,531,551 | |
3,920 | | Garrett Motion, Inc., LIBOR 1M + 4.500%(1),(3) | | (BBB-, NR) | | | 03/31/21 | | | | 5.500 | | | | 3,939,600 | |
1,760 | | Jason Group, Inc., LIBOR 1M + 1.000% Cash, 9.000% PIK(1),(3),(4) | | (CCC-, Caa3) | | | 02/28/26 | | | | 11.000 | | | | 1,645,580 | |
2,640 | | Jason Group, Inc., LIBOR 1M + 2.000% Cash, 4.000% PIK(1),(3),(4) | | (B-, Caa1) | | | 08/28/25 | | | | 7.000 | | | | 2,626,344 | |
3,716 | | Les Schwab Tire Centers, LIBOR 3M + 3.500%(1) | | (B, B2) | | | 11/02/27 | | | | 4.250 | | | | 3,737,315 | |
4,172 | | Midas Intermediate Holdco II LLC, LIBOR 3M + 6.750%(1) | | (CCC+, B2) | | | 12/22/25 | | | | 7.500 | | | | 4,282,921 | |
3,000 | | Superior Industries International, Inc., LIBOR 1M + 4.000%(1),(2) | | (B, B1) | | | 05/22/24 | | | | 4.121 | | | | 2,983,125 | |
12,011 | | TI Group Automotive Systems, L.L.C., EURIBOR 3M + 3.750%(1),(5) | | (BB-, B1) | | | 12/16/24 | | | | 4.500 | | | | 14,719,625 | |
5,251 | | TI Group Automotive Systems, L.L.C., LIBOR 3M + 3.750%(1) | | (BB-, B1) | | | 12/16/24 | | | | 4.500 | | | | 5,270,944 | |
12,183 | | U.S. Farathane LLC, LIBOR 3M + 3.500%(1) | | (CCC, Caa3) | | | 12/23/21 | | | | 4.500 | | | | 11,794,336 | |
| | | | | | | | | | | | | | | 91,632,743 | |
Banking (0.8%) | | | | | | | | | | | | | | |
8,222 | | Citco Funding LLC, LIBOR 3M + 2.500%(1),(3) | | (NR, Ba3) | | | 09/28/23 | | | | 2.769 | | | | 8,247,780 | |
2,985 | | Citco Funding LLC, LIBOR 3M + 3.250%(1),(3) | | (NR, Ba3) | | | 09/28/23 | | | | 3.750 | | | | 3,007,387 | |
170 | | NEXUS Buyer LLC, LIBOR 1M + 3.750%(1) | | (B-, B2) | | | 11/09/26 | | | | 3.880 | | | | 169,859 | |
4,987 | | PI U.S. MergerCo, Inc., LIBOR 1M + 3.500%(1) | | (B-, B3) | | | 01/03/25 | | | | 4.500 | | | | 4,998,750 | |
| | | | | | | | | | | | | | | 16,423,776 | |
Building & Construction (0.4%) | | | | | | | | | | | | | | |
1,927 | | ACProducts, Inc., LIBOR 3M + 6.500%(1) | | (B, B2) | | | 08/18/25 | | | | 7.500 | | | | 1,982,272 | |
691 | | Service Logic Acquisition, Inc., LIBOR 2M + 2.000%(1),(6) | | (B, B2) | | | 10/29/27 | | | | 2.000 - 4.750 | | | | 695,692 | |
2,394 | | Service Logic Acquisition, Inc., LIBOR 3M + 4.000%(1) | | (B, B2) | | | 10/29/27 | | | | 4.750 | | | | 2,411,731 | |
2,904 | | SiteOne Landscape Supply, Inc., LIBOR 1M + 2.750%(1) | | (BB, B1) | | | 10/29/24 | | | | 3.750 | | | | 2,919,508 | |
| | | | | | | | | | | | | | | 8,009,203 | |
Building Materials (3.2%) | | | | | | | | | | | | | | |
6,741 | | Airxcel, Inc., LIBOR 1M + 4.500%(1) | | (B-, B3) | | | 04/28/25 | | | | 4.621 | | | | 6,715,854 | |
1,775 | | Airxcel, Inc., LIBOR 1M + 8.750%(1) | | (CCC, Caa2) | | | 04/27/26 | | | | 8.871 | | | | 1,695,125 | |
11,696 | | American Builders & Contractors Supply Co., Inc., LIBOR 1M + 2.000%(1) | | (BB+, B1) | | | 01/15/27 | | | | 2.121 | | | | 11,674,252 | |
7,421 | | Cornerstone Building Brands, Inc., LIBOR 1M + 3.750%(1) | | (B+, B2) | | | 04/12/25 | | | | 3.876 | | | | 7,455,657 | |
7,164 | | Floor & Decor Outlets of America, Inc., LIBOR 1M + 2.000%(1),(3) | | (BB-, Ba2) | | | 02/14/27 | | | | 2.130 | | | | 7,145,796 | |
8,000 | | Installed Building Products, Inc., LIBOR 1M + 2.250%(1) | | (BB+, Ba3) | | | 04/15/25 | | | | 2.371 | | | | 7,960,000 | |
8,911 | | Summit Materials Cos. I LLC, LIBOR 1M + 2.000%(1) | | (BBB-, Ba1) | | | 11/21/24 | | | | 2.121 | | | | 8,911,623 | |
7,890 | | White Cap Buyer LLC, LIBOR 3M + 4.000%(1) | | (B, B2) | | | 10/19/27 | | | | 4.500 | | | | 7,946,530 | |
8,372 | | Wilsonart LLC, LIBOR 3M + 3.250%(1) | | (B+, B2) | | | 12/19/23 | | | | 4.250 | | | | 8,392,677 | |
| | | | | | | | | | | | | | | 67,897,514 | |
Cable & Satellite TV (1.1%) | | | | | | | | | | | | | | |
15,190 | | CSC Holdings LLC, LIBOR 1M + 2.250%(1) | | (BB, Ba3) | | | 07/17/25 | | | | 2.377 | | | | 15,129,471 | |
7,000 | | Ziggo B.V., EURIBOR 6M + 3.000%(1),(5) | | (B+, B1) | | | 01/31/29 | | | | 3.000 | | | | 8,495,328 | |
| | | | | | | | | | | | | | | 23,624,799 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Par (000) | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | | | | | | | | | | | | | | |
Chemicals (7.3%) | | | | | | | | | | | | | | |
$ | 5,167 | | Allnex (Luxembourg) & Cy S.C.A., EURIBOR 3M + 3.250%(1),(5) | | (B, B2) | | | 09/13/23 | | | | 3.250 | | | $ | 6,245,803 | |
1,738 | | Allnex (Luxembourg) & Cy S.C.A., LIBOR 3M + 3.250%(1) | | (B, B2) | | | 09/13/23 | | | | 4.000 | | | | 1,733,960 | |
1,310 | | Allnex U.S.A., Inc., LIBOR 3M + 3.250%(1) | | (B, B2) | | | 09/13/23 | | | | 4.000 | | | | 1,306,359 | |
15,238 | | Alpha 3 B.V., LIBOR 3M + 3.000%(1) | | (B, B1) | | | 01/31/24 | | | | 4.000 | | | | 15,307,565 | |
1,718 | | Aruba Investments, Inc., LIBOR 3M + 4.000%(1) | | (B-, B1) | | | 11/24/27 | | | | 4.750 | | | | 1,729,941 | |
9,121 | | Ascend Performance Materials Operations LLC, LIBOR 3M + 5.250%(1) | | (BB-, B1) | | | 08/27/26 | | | | 6.250 | | | | 9,200,053 | |
2,545 | | ASP Chromaflo Dutch I B.V., LIBOR 1M + 3.500%(1),(3) | | (B, B2) | | | 11/20/23 | | | | 4.500 | | | | 2,557,682 | |
1,957 | | ASP Chromaflo Intermediate Holdings, Inc., LIBOR 1M + 3.500%(1),(3) | | (B, B2) | | | 11/20/23 | | | | 4.500 | | | | 1,966,964 | |
8,478 | | Axalta Coating Systems U.S. Holdings, Inc., LIBOR 3M + 1.750%(1) | | (BBB-, Ba1) | | | 06/01/24 | | | | 2.004 | | | | 8,462,210 | |
7,286 | | CeramTec AcquiCo GmbH, EURIBOR 1M + 2.500%(1),(5) | | (B, B2) | | | 03/07/25 | | | | 2.500 | | | | 8,639,002 | |
794 | | Ferro Corp. (Term Loan B1), LIBOR 3M + 2.250%(1) | | (B+, Ba3) | | | 02/14/24 | | | | 2.504 | | | | 793,095 | |
4,624 | | Ferro Corp. (Term Loan B2), LIBOR 3M + 2.250%(1) | | (B+, Ba3) | | | 02/14/24 | | | | 2.504 | | | | 4,617,439 | |
4,526 | | Ferro Corp. (Term Loan B3), LIBOR 3M + 2.250%(1) | | (B+, Ba3) | | | 02/14/24 | | | | 2.504 | | | | 4,519,196 | |
1,902 | | Flint Group GmbH, EURIBOR 3M + 4.250%(1),(5) | | (CCC+, Caa1) | | | 09/21/23 | | | | 5.000 | | | | 2,242,171 | |
551 | | Flint Group GmbH, LIBOR 3M + 4.250% Cash, 0.750% PIK(1),(4) | | (CCC+, Caa1) | | | 09/21/23 | | | | 5.250 | | | | 530,949 | |
3,335 | | Flint Group U.S. LLC, LIBOR 3M + 4.250% Cash, 0.750% PIK(1),(4) | | (CCC+, Caa1) | | | 09/21/23 | | | | 5.250 | | | | 3,211,805 | |
6,854 | | Gemini HDPE LLC, LIBOR 3M + 2.500%(1) | | (BB, Ba3) | | | 08/07/24 | | | | 2.712 | | | | 6,830,709 | |
2,100 | | Messer Industries GmbH, LIBOR 3M + 2.500%(1) | | (BB-, B1) | | | 03/01/26 | | | | 2.754 | | | | 2,099,118 | |
2,149 | | NIC Acquisition Corp., LIBOR 3M + 7.750%(1) | | (CCC, Caa2) | | | 01/14/29 | | | | 8.500 | | | | 2,181,561 | |
3,000 | | NIC Acquisition Corp., LIBOR 3M + 3.750%(1) | | (B, B3) | | | 01/14/28 | | | | 4.500 | | | | 3,015,015 | |
8,830 | | PMHC II, Inc., LIBOR 12M + 3.500%(1) | | (CCC+, Caa1) | | | 03/31/25 | | | | 4.500 | | | | 8,355,813 | |
2,907 | | PMHC II, Inc., LIBOR 12M + 7.750%(1),(2) | | (CCC, Caa3) | | | 03/30/26 | | | | 8.750 | | | | 2,741,446 | |
10,266 | | Polar U.S. Borrower LLC, LIBOR 1M + 4.750%(1),(3) | | (B-, B2) | | | 10/15/25 | | | | 4.883 - 5.004 | | | | 10,240,701 | |
3,092 | | Ravago Holdings America, Inc., LIBOR 1M + 2.750%(1) | | (BB+, B2) | | | 07/13/23 | | | | 2.880 | | | | 3,094,209 | |
5,457 | | Solenis Holdings LLC, LIBOR 3M + 4.000%(1) | | (B-, B3) | | | 06/26/25 | | | | 4.233 | | | | 5,451,594 | |
13,522 | | Starfruit Finco B.V, LIBOR 1M + 3.000%(1) | | (B+, B1) | | | 10/01/25 | | | | 3.129 | | | | 13,487,720 | |
4,114 | | Tronox Finance LLC, LIBOR 1M + 3.000%(1) | | (B+, Ba3) | | | 09/23/24 | | | | 3.121 - 3.254 | | | | 4,119,504 | |
1,436 | | UTEX Industries, Inc., LIBOR 1M + 7.000%(1) | | (NR, NR) | | | 12/03/24 | | | | 8.500 | | | | 1,448,155 | |
1,295 | | UTEX Industries, Inc., LIBOR 1M + 7.000%(1) | | (NR, NR) | | | 02/08/21 | | | | 8.500 | | | | 1,306,477 | |
1,209 | | UTEX Industries, Inc., LIBOR 1M + 9.500%(1) | | (NR, NR) | | | 12/03/25 | | | | 11.000 | | | | 1,200,958 | |
3,978 | | Vantage Specialty Chemicals, Inc., LIBOR 3M + 8.250%(1),(2) | | (CCC-, Caa3) | | | 10/27/25 | | | | 9.250 | | | | 3,707,746 | |
8,016 | | Zep, Inc., LIBOR 3M + 4.000%(1) | | (CCC+, B3) | | | 08/12/24 | | | | 5.000 | | | | 7,952,929 | |
2,250 | | Zep, Inc., LIBOR 3M + 8.250%(1),(2),(3) | | (CCC-, Caa3) | | | 08/11/25 | | | | 9.250 | | | | 2,250,000 | |
| | | | | | | | | | | | | | | 152,547,849 | |
Diversified Capital Goods (1.7%) | | | | | | | | | | | | | | |
3,640 | | Callaway Golf Co., LIBOR 1M + 4.500%(1) | | (B+, B1) | | | 01/02/26 | | | | 4.630 | | | | 3,657,440 | |
3,375 | | Dynacast International LLC, LIBOR 3M + 3.250%(1) | | (CCC, Caa1) | | | 01/28/22 | | | | 4.250 | | | | 3,412,645 | |
3,900 | | Electrical Components International, Inc., LIBOR 1M + 4.250%(1) | | (B-, B2) | | | 06/26/25 | | | | 4.371 | | | | 3,820,362 | |
2,748 | | Filtration Group Corp., LIBOR 1M + 3.000%(1) | | (B, B3) | | | 03/29/25 | | | | 3.121 | | | | 2,726,015 | |
3,253 | | Filtration Group Corp., LIBOR 1M + 3.750%(1) | | (B, B3) | | | 03/29/25 | | | | 4.500 | | | | 3,277,493 | |
4,869 | | Ingersoll-Rand Services Co., LIBOR 1M + 1.750%(1) | | (BB+, Ba2) | | | 03/01/27 | | | | 1.871 | | | | 4,851,786 | |
13,558 | | Vertiv Group Corp., LIBOR 1M + 3.000%(1) | | (B+, B1) | | | 03/02/27 | | | | 3.144 | | | | 13,598,182 | |
| | | | | | | | | | | | | | | 35,343,923 | |
Electric-Integrated (0.3%) | | | | | | | | | | | | | | |
6,216 | | Pacific Gas & Electric Co., PRIME + 3.500%(1) | | (BB-, B1) | | | 06/23/25 | | | | 6.750 | | | | 6,287,890 | |
Electronics (3.4%) | | | | | | | | | | | | | | |
7,476 | | AI Ladder (Luxembourg) Subco Sarl, LIBOR 1M + 4.500%(1) | | (B, B2) | | | 07/09/25 | | | | 4.621 | | | | 7,475,669 | |
4,205 | | Brooks Automation, Inc., LIBOR 3M + 2.500%(1) | | (BB-, Ba3) | | | 10/04/24 | | | | 2.740 | | | | 4,173,229 | |
2,425 | | EXC Holdings III Corp., LIBOR 3M + 3.500%(1) | | (B-, B2) | | | 12/02/24 | | | | 4.500 | | | | 2,432,081 | |
1,026 | | EXC Holdings III Corp., LIBOR 3M + 7.500%(1) | | (CCC+, Caa2) | | | 12/01/25 | | | | 8.500 | | | | 1,025,756 | |
18,375 | | MACOM Technology Solutions Holdings, Inc., LIBOR 1M + 2.250%(1) | | (B, B3) | | | 05/17/24 | | | | 2.371 | | | | 18,191,397 | |
7,000 | | Oberthur Technologies S.A., EURIBOR 3M + 3.750%(1),(5) | | (B-, B3) | | | 01/10/24 | | | | 3.750 | | | | 8,436,989 | |
12,303 | | Oberthur Technologies SA, LIBOR 3M + 3.750%(1) | | (B-, B3) | | | 01/10/24 | | | | 4.004 | | | | 12,161,166 | |
15,001 | | Tempo Acquisition LLC, LIBOR 1M + 3.250%(1) | | (B, B1) | | | 11/02/26 | | | | 3.750 | | | | 15,013,059 | |
1,500 | | Tempo Acquisition LLC(7) | | (B, B1) | | | 05/01/24 | | | | 2.871 | | | | 1,498,830 | |
| | | | | | | | | | | | | | | 70,408,176 | |
Energy - Exploration & Production (0.4%) | | | | | | | | | | | | | | |
852 | | Lower Cadence Holdings LLC, LIBOR 1M + 4.000%(1) | | (B-, B2) | | | 05/22/26 | | | | 4.121 | | | | 834,501 | |
4,683 | | PES Holdings LLC, PRIME + 7.250%(1),(3),(8) | | (NR, NR) | | | 12/31/22 | | | | 10.500 | | | | 4,027,447 | |
14,932 | | PES Holdings LLC, PRIME + 1.500% Cash, 3.000% PIK(1),(4),(8) | | (NR, NR) | | | 12/31/22 | | | | 3.000 | | | | 671,921 | |
4,327 | | PES Holdings LLC, PRIME + 2.000% Cash, 7.000% PIK(1),(2),(4),(8) | | (NR, NR) | | | 12/31/22 | | | | 5.250 | | | | 2,758,519 | |
| | | | | | | | | | | | | | | 8,292,388 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Par (000) | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | | | | | | | | | | | | | | |
Food & Drug Retailers (0.7%) | | | | | | | | | | | | | | |
$ | 1,987 | | GOBP Holdings, Inc., LIBOR 1M + 2.750%(1) | | (BB-, B1) | | | 10/22/25 | | | | 2.871 | | | $ | 1,992,625 | |
2,999 | | L1R HB Finance Limited  , EURIBOR 3M + 4.250%(1),(5) | | (CCC+, Caa1) | | | 09/02/24 | | | | 4.250 | | | | 3,468,451 | |
2,999 | | L1R HB Finance Limited  , LIBOR - GBP 3M + 5.250%(1),(9) | | (CCC+, Caa1) | | | 09/02/24 | | | | 5.273 | | | | 3,843,244 | |
3,779 | | Packaging Coordinators Midco, Inc., LIBOR 3M + 3.750%(1) | | (B-, B2) | | | 11/30/27 | | | | 4.500 | | | | 3,795,123 | |
841 | | WOOF Holdings, Inc., LIBOR 3M + 3.750%(1) | | (B-, B2) | | | 12/21/27 | | | | 4.500 | | | | 845,613 | |
625 | | WOOF Holdings, Inc., LIBOR 3M + 7.250%(1) | | (CCC, Caa2) | | | 12/21/28 | | | | 8.000 | | | | 636,253 | |
| | | | | | | | | | | | | | | 14,581,309 | |
Food - Wholesale (1.1%) | | | | | | | | | | | | | | |
2,750 | | AI Aqua Merger Sub, Inc., LIBOR 3M + 4.250%(1),(3) | | (B, B2) | | | 12/13/23 | | | | 5.250 | | | | 2,759,849 | |
2,344 | | AI Aqua Merger Sub, Inc., LIBOR 1M + 5.250%(1) | | (B, B2) | | | 12/13/23 | | | | 6.250 | | | | 2,363,141 | |
1,959 | | AI Aqua Merger Sub, Inc. (1st Lien Term Loan B), LIBOR 1M + 3.250%(1),(3) | | (B, B2) | | | 12/13/23 | | | | 4.250 | | | | 1,966,530 | |
2,939 | | AI Aqua Merger Sub, Inc. (Incremental Term Loan), LIBOR 1M + 3.250%(1),(3) | | (B, B2) | | | 12/13/23 | | | | 4.250 | | | | 2,950,263 | |
6,237 | | United Natural Foods, Inc., LIBOR 1M + 4.250%(1) | | (B, B2) | | | 10/22/25 | | | | 4.371 | | | | 6,259,257 | |
5,000 | | Zara UK Midco Ltd., EURIBOR 6M+ 5.750%(1),(2),(5) | | (B, B2) | | | 01/31/25 | | | | 5.750 | | | | 5,811,292 | |
| | | | | | | | | | | | | | | 22,110,332 | |
Forestry & Paper (0.3%) | | | | | | | | | | | | | | |
5,434 | | Asplundh Tree Expert LLC, LIBOR 1M + 2.500%(1) | | (BBB-, Ba1) | | | 09/07/27 | | | | 2.621 | | | | 5,456,775 | |
Gaming (2.5%) | | | | | | | | | | | | | | |
3,483 | | Aristocrat Leisure Ltd., LIBOR 3M + 3.750%(1) | | (BB+, Ba1) | | | 10/19/24 | | | | 4.750 | | | | 3,505,902 | |
4,069 | | Caesars Resort Collection LLC, LIBOR 1M + 2.750%(1) | | (B+, B1) | | | 12/23/24 | | | | 2.871 | | | | 4,006,940 | |
7,226 | | CBAC Borrower LLC, LIBOR 1M + 4.000%(1),(2) | | (CCC+, Caa2) | | | 07/08/24 | | | | 4.121 | | | | 7,081,714 | |
6,625 | | Gateway Casinos & Entertainment Ltd., LIBOR 3M + 3.500% Cash, 3.000% PIK(1),(4) | | (B-, B2) | | | 03/13/25 | | | | 7.500 | | | | 6,491,745 | |
5,816 | | Golden Nugget, Inc., LIBOR 2M + 2.500%(1) | | (B, B2) | | | 10/04/23 | | | | 3.250 | | | | 5,715,385 | |
12,600 | | Jackpotjoy PLC, LIBOR - GBP 1M + 4.250%(1),(9) | | (B+, Ba3) | | | 12/05/24 | | | | 4.276 | | | | 17,286,143 | |
9,258 | | Stars Group Holdings B.V. (The), LIBOR 3M + 3.500%(1) | | (BBB-, Ba1) | | | 07/10/25 | | | | 3.754 | | | | 9,297,861 | |
| | | | | | | | | | | | | | | 53,385,690 | |
Gas Distribution (0.2%) | | | | | | | | | | | | | | |
4,252 | | Traverse Midstream Partners LLC, LIBOR 1M + 5.500%(1) | | (B, B3) | | | 09/27/24 | | | | 6.500 | | | | 4,196,382 | |
Health Facilities (1.3%) | | | | | | | | | | | | | | |
5,450 | | DaVita, Inc., LIBOR 1M + 1.500%(1) | | (BBB-, Ba1) | | | 08/12/24 | | | | 1.621 | | | | 5,421,362 | |
5,977 | | DaVita, Inc., LIBOR 1M + 1.750%(1) | | (BBB-, Ba1) | | | 08/12/26 | | | | 1.871 | | | | 5,975,114 | |
2,701 | | Western Dental Services, Inc., LIBOR 1M + 4.500%(1),(3) | | (CCC+, Caa1) | | | 06/30/23 | | | | 5.500 | | | | 2,653,435 | |
14,250 | | Western Dental Services, Inc., LIBOR 1M + 5.250%(1),(3) | | (CCC+, Caa1) | | | 06/30/23 | | | | 6.250 | | | | 14,071,635 | |
| | | | | | | | | | | | | | | 28,121,546 | |
Health Services (3.5%) | | | | | | | | | | | | | | |
3,000 | | Agiliti Health, Inc., LIBOR 1M + 2.750%(1),(3) | | (B+, B1) | | | 01/04/26 | | | | 3.500 | | | | 2,996,250 | |
14,459 | | Athenahealth, Inc., LIBOR 1M + 4.500%(1) | | (B, B2) | | | 02/11/26 | | | | 4.633 | | | | 14,529,175 | |
1,877 | | Athenahealth, Inc., LIBOR 3M + 4.250%(1) | | (B, B2) | | | 02/11/26 | | | | 4.455 | | | | 1,886,519 | |
7,860 | | Auris Luxembourg III Sarl, LIBOR 1M + 3.750%(1) | | (B-, B3) | | | 02/27/26 | | | | 3.871 | | | | 7,715,944 | |
5,350 | | Carestream Health, Inc., LIBOR 3M + 6.750%(1) | | (B-, B1) | | | 05/08/23 | | | | 7.750 | | | | 5,343,664 | |
10,428 | | KUEHG Corp., LIBOR 3M + 3.750%(1) | | (CCC+, B3) | | | 02/21/25 | | | | 4.750 | | | | 10,128,633 | |
2,000 | | Learning Care Group, Inc., LIBOR 3M + 3.250%(1) | | (CCC, B3) | | | 03/13/25 | | | | 4.250 | | | | 1,931,250 | |
9,000 | | nThrive, Inc., LIBOR 3M + 3.750%(1) | | (B-, B2) | | | 01/15/28 | | | | 4.500 | | | | 9,030,960 | |
3,588 | | Radiology Partners, Inc., LIBOR 1M + 4.250%(1) | | (B-, B3) | | | 07/09/25 | | | | 4.383 - 5.295 | | | | 3,575,357 | |
1,000 | | Southern Veterinary Partners LLC, LIBOR 3M + 7.750%(1),(3) | | (CCC, Caa2) | | | 10/05/28 | | | | 8.750 | | | | 1,010,000 | |
1,014 | | Southern Veterinary Partners LLC(3),(6),(7) | | (B-, B2) | | | 10/05/27 | | | | 4.000 | | | | 1,015,516 | |
7,353 | | Southern Veterinary Partners LLC, LIBOR 6M + 4.000%(1),(3) | | (B-, B2) | | | 10/05/27 | | | | 5.000 | | | | 7,362,491 | |
6,019 | | U.S. Radiology Specialists, Inc., LIBOR 3M + 5.500%(1) | | (B-, B3) | | | 12/10/27 | | | | 6.250 | | | | 6,072,066 | |
| | | | | | | | | | | | | | | 72,597,825 | |
Hotels (0.5%) | | | | | | | | | | | | | | |
5,000 | | Compass III Ltd., EURIBOR 6M + 4.250%(1),(5) | | (B, B2) | | | 05/09/25 | | | | 4.250 | | | | 5,981,864 | |
3,000 | | Compass IV Ltd., EURIBOR 6M + 8.000%(1),(3),(5) | | (CCC, Caa2) | | | 04/30/26 | | | | 9.000 | | | | 3,585,474 | |
| | | | | | | | | | | | | | | 9,567,338 | |
Insurance (0.2%) | | | | | | | | | | | | | | |
4,439 | | Alera Group Holdings, Inc., LIBOR 1M + 4.000%(1),(3) | | (B, B2) | | | 08/01/25 | | | | 4.500 | | | | 4,444,603 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Par (000) | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | | | | | | | | | | | |
Insurance Brokerage (3.4%) | | | | | | | | | | | | | | |
$ | 13,383 | | Acrisure LLC, LIBOR 1M + 3.500%(1) | | (B, B2) | | | 02/15/27 | | | | 3.621 | | | $ | 13,351,186 | |
5,376 | | Alliant Holdings Intermediate, LLC, LIBOR 1M + 3.250%(1) | | (B, B2) | | | 05/09/25 | | | | 3.371 | | | | 5,358,981 | |
6,345 | | AssuredPartners, Inc., LIBOR 1M + 3.500%(1) | | (B, B1) | | | 02/12/27 | | | | 3.647 | | | | 6,320,135 | |
9,889 | | Hub International Ltd., LIBOR 3M + 2.750%(1) | | (B, B2) | | | 04/25/25 | | | | 2.910 - 2.965 | | | | 9,819,457 | |
1,997 | | Hub International Ltd., LIBOR 3M + 3.250%(1) | | (B, B2) | | | 04/25/25 | | | | 4.000 | | | | 2,005,511 | |
7,277 | | Hyperion Insurance Group Ltd., EURIBOR 1M + 3.500%(1),(5) | | (B, B2) | | | 12/20/24 | | | | 3.500 | | | | 8,865,141 | |
16,575 | | NFP Corp., LIBOR 1M + 3.250%(1) | | (B, B1) | | | 02/15/27 | | | | 3.371 | | | | 16,483,773 | |
8,245 | | Ryan Specialty Group LLC, LIBOR 1M + 3.250%(1) | | (B, B1) | | | 09/01/27 | | | | 4.000 | | | | 8,275,929 | |
| | | | | | | | | | | | | | | 70,480,113 | |
Investments & Misc. Financial Services (3.7%) | | | | | | | | | | | | | | |
8,563 | | Altisource Solutions Sarl, LIBOR 3M + 4.000%(1),(2) | | (B-, Caa1) | | | 04/03/24 | | | | 5.000 | | | | 7,364,250 | |
9,436 | | AqGen Ascensus, Inc., LIBOR 3M + 4.000%(1) | | (B-, B2) | | | 12/03/26 | | | | 5.000 | | | | 9,492,269 | |
7,500 | | Citadel Securities LP(7) | | (NR, Ba1) | | | 02/27/28 | | | | 2.712 | | | | 7,474,988 | |
6,408 | | Deerfield Dakota Holding, LLC, LIBOR 1M + 3.750%(1) | | (B-, B2) | | | 04/09/27 | | | | 4.750 | | | | 6,451,272 | |
15,329 | | Ditech Holding Corp., PRIME + 7.000%(1),(8) | | (NR, NR) | | | 06/30/22 | | | | 11.250 | | | | 4,962,665 | |
1,234 | | EIG Management Company, LLC, LIBOR 1M + 3.750%(1) | | (BB, Ba2) | | | 02/22/25 | | | | 4.500 | | | | 1,235,939 | |
4,205 | | FinCo I LLC, LIBOR 1M + 2.500%(1) | | (BB, Baa3) | | | 06/27/25 | | | | 2.621 | | | | 4,205,682 | |
11,250 | | Focus Financial Partners LLC, LIBOR 1M + 2.000%(1) | | (BB-, Ba3) | | | 07/03/24 | | | | 2.121 | | | | 11,235,263 | |
10,006 | | Hudson River Trading LLC, LIBOR 1M + 3.000%(1) | | (BB-, Ba2) | | | 02/18/27 | | | | 3.121 | | | | 10,029,079 | |
3,113 | | Jane Street Group LLC, LIBOR 1M + 2.750%(1) | | (BB-, Ba3) | | | 01/21/27 | | | | 2.875 | | | | 3,108,211 | |
2,130 | | Kestra Advisor Services Holdings A, Inc., LIBOR 1M + 4.250%(1),(3) | | (B, B3) | | | 06/03/26 | | | | 4.380 | | | | 2,132,480 | |
2,140 | | KREF Holdings X LLC, LIBOR 3M + 4.750%(1),(3) | | (BB-, Ba2) | | | 09/01/27 | | | | 5.750 | | | | 2,166,854 | |
7,554 | | VFH Parent LLC, LIBOR 1M + 3.000%(1) | | (B+, Ba3) | | | 03/01/26 | | | | 3.129 | | | | 7,552,808 | |
| | | | | | | | | | | | | | | 77,411,760 | |
Life Insurance (0.1%) | | | | | | | | | | | | | | |
1,213 | | Vida Capital, Inc., LIBOR 1M + 6.000%(1),(3) | | (B, B2) | | | 10/01/26 | | | | 6.121 | | | | 1,170,086 | |
Machinery (1.9%) | | | | | | | | | | | | | | |
3,407 | | Alliance Laundry Systems LLC, LIBOR 3M + 3.500%(1) | | (B, B2) | | | 10/08/27 | | | | 4.250 | | | | 3,423,510 | |
2,841 | | Alloy Finco Ltd., LIBOR - GBP 1M + 6.750%(1),(3),(9) | | (NR, Caa3) | | | 03/06/24 | | | | 8.750 | | | | 3,687,004 | |
3,232 | | Alloy Finco Ltd., LIBOR - GBP 3M + 0.500% Cash, 13.500% PIK(1),(3),(4),(9) | | (NR, NR) | | | 03/06/25 | | | | 14.000 | | | | 1,996,929 | |
3,597 | | Alloy Finco Ltd., 0.500% Cash, 13.500% PIK(2),(4) | | (NR, NR) | | | 03/06/25 | | | | 14.000 | | | | 1,882,413 | |
7,325 | | Cohu, Inc., LIBOR 1M + 3.000%(1) | | (B-, B2) | | | 10/01/25 | | | | 3.121 | | | | 7,285,720 | |
2,301 | | CPM Holdings, Inc., LIBOR 3M + 3.750%(1) | | (CCC+, B3) | | | 11/17/25 | | | | 3.894 | | | | 2,284,190 | |
1,977 | | CPM Holdings, Inc., LIBOR 3M + 8.250%(1),(2),(3) | | (CCC, Caa3) | | | 11/15/26 | | | | 8.394 | | | | 1,957,241 | |
3,696 | | LTI Holdings, Inc., LIBOR 1M + 6.750%(1),(2) | | (CCC+, Caa3) | | | 09/06/26 | | | | 6.871 | | | | 3,605,747 | |
7,849 | | LTI Holdings, Inc., LIBOR 1M + 3.500%(1) | | (B-, B3) | | | 09/06/25 | | | | 3.621 | | | | 7,681,063 | |
6,323 | | Welbilt, Inc., LIBOR 1M + 2.500%(1) | | (CCC+, B3) | | | 10/23/25 | | | | 2.621 | | | | 6,055,505 | |
| | | | | | | | | | | | | | | 39,859,322 | |
Managed Care (0.9%) | | | | | | | | | | | | | |
8,583 | | Inovalon Holdings, Inc., LIBOR 1M + 3.000%(1) | | (B+, B2) | | | 04/02/25 | | | | 3.188 | | | | 8,610,759 | |
9,502 | | MPH Acquisition Holdings LLC, LIBOR 3M + 2.750%(1) | | (B+, Ba3) | | | 06/07/23 | | | | 3.750 | | | | 9,504,827 | |
| | | | | | | | | | | | | | | 18,115,586 | |
Media - Broadcast (0.5%) | | | | | | | | | | | | | | |
3,134 | | Marcel LUX IV Sarl, LIBOR 3M + 4.000%(1),(3) | | (B, B2) | | | 12/31/27 | | | | 4.750 | | | | 3,138,246 | |
3,250 | | Recorded Books, Inc., LIBOR 1M + 4.250%(1) | | (B-, B3) | | | 08/29/25 | | | | 4.380 | | | | 3,256,760 | |
4,000 | | Recorded Books, Inc., LIBOR 1M + 4.250%(1) | | (B-, B3) | | | 08/29/25 | | | | 4.750 | | | | 4,011,260 | |
| | | | | | | | | | | | | | | 10,406,266 | |
Media - Diversified (0.8%) | | | | | | | | | | | | | | |
11,621 | | Alchemy Copyrights, LLC, LIBOR 1M + 3.250%(1),(3) | | (B+, B1) | | | 08/16/27 | | | | 4.000 | | | | 11,678,980 | |
1,901 | | Diamond Sports Group LLC, LIBOR 1M + 3.250%(1) | | (CCC+, Ba3) | | | 08/24/26 | | | | 3.380 | | | | 1,633,540 | |
2,624 | | NEP/NCP Holdco, Inc., LIBOR 1M + 3.250%(1) | | (B, Caa1) | | | 10/20/25 | | | | 3.371 | | | | 2,512,167 | |
1,500 | | NEP/NCP Holdco, Inc., LIBOR 1M + 7.000%(1),(2) | | (CCC, Caa3) | | | 10/19/26 | | | | 7.121 | | | | 1,362,000 | |
| | | | | | | | | | | | | | | 17,186,687 | |
Media Content (0.0%) | | | | | | | | | | | | | | |
856 | | NASCAR Holdings, Inc., LIBOR 1M + 2.750%(1) | | (BB, Ba3) | | | 10/19/26 | | | | 2.871 | | | | 857,299 | |
Medical Products (2.1%) | | | | | | | | | | | | | | |
14,852 | | ABB Concise Optical Group LLC, LIBOR 3M + 5.000%(1) | | (CCC+, B3) | | | 06/15/23 | | | | 6.000 | | | | 14,137,346 | |
6,439 | | Avantor Funding, Inc., LIBOR 1M + 2.500%(1) | | (BB-, Ba2) | | | 11/08/27 | | | | 3.500 | | | | 6,478,313 | |
4,921 | | CPI Holdco LLC, LIBOR 1M + 4.000%(1) | | (NR, B2) | | | 11/04/26 | | | | 4.121 | | | | 4,936,568 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Par (000) | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | | | | | | | | | | | | | | |
Medical Products | | | | | | | | | | | | | | |
$ | 2,743 | | Femur Buyer, Inc., LIBOR 3M + 4.500%(1) | | (CCC+, Caa1) | | | 03/05/26 | | | | 4.754 | | | $ | 2,640,530 | |
3,438 | | Maravai Intermediate Holdings, LLC, LIBOR 3M + 4.250%(1) | | (B-, B2) | | | 10/19/27 | | | | 5.250 | | | | 3,465,447 | |
13,300 | | Sotera Health Holdings LLC, LIBOR 3M + 2.750%(1) | | (NR, B1) | | | 12/11/26 | | | | 3.250 | | | | 13,291,687 | |
| | | | | | | | | | | | | | | 44,949,891 | |
Metals & Mining - Excluding Steel (0.3%) | | | | | | | | | | | | | | |
5,759 | | GrafTech Finance, Inc., LIBOR 1M + 3.500%(1),(3) | | (BB-, B1) | | | 02/12/25 | | | | 4.500 | | | | 5,773,180 | |
6,814 | | Noranda Aluminum Acquisition Corp., PRIME + 3.500%(1),(8) | | (NR, NR) | | | 02/28/19 | | | | 7.750 | | | | 37,479 | |
| | | | | | | | | | | | | | | 5,810,659 | |
Non - Electric Utilities (0.0%) | | | | | | | | | | | | | | |
443 | | BCP Raptor LLC, LIBOR 1M + 4.250%(1) | | (B-, B3) | | | 06/24/24 | | | | 5.250 | | | | 409,743 | |
Packaging (2.8%) | | | | | | | | | | | | | | |
3,899 | | Anchor Glass Container Corp., LIBOR 3M + 2.750%(1) | | (CCC+, Caa1) | | | 12/07/23 | | | | 3.750 | | | | 3,224,855 | |
2,058 | | Anchor Glass Container Corp., LIBOR 3M + 7.750%(1),(2) | | (CCC-, Caa3) | | | 12/07/24 | | | | 8.750 | | | | 969,557 | |
2,964 | | Anchor Glass Container Corp., LIBOR 3M + 5.000%(1) | | (CCC+, Caa1) | | | 12/07/23 | | | | 6.000 | | | | 2,430,480 | |
12,031 | | Flex Acquisition Co., Inc., LIBOR 3M + 3.000%(1) | | (B, B2) | | | 12/29/23 | | | | 4.000 | | | | 12,055,961 | |
10,000 | | Klockner-Pentaplast of America, Inc., EURIBOR 3M + 4.750%(1),(5) | | (B-, B3) | | | 06/30/22 | | | | 4.750 | | | | 12,155,865 | |
5,915 | | Proampac PG Borrower LLC, LIBOR 3M + 4.000%(1) | | (B-, B2) | | | 11/03/25 | | | | 5.000 | | | | 5,948,558 | |
12,061 | | Reynolds Group Holdings, Inc., LIBOR 1M + 2.750%(1) | | (B+, B1) | | | 02/05/23 | | | | 2.871 | | | | 12,080,792 | |
4,375 | | Strategic Materials, Inc., LIBOR 3M + 7.750%(1),(2),(3) | | (CC, C) | | | 10/31/25 | | | | 8.750 | | | | 2,143,750 | |
6,948 | | TricorBraun Holdings, Inc., LIBOR 1M + 3.750%(1) | | (B-, B2) | | | 11/30/23 | | | | 4.750 | | | | 6,950,949 | |
| | | | | | | | | | | | | | | 57,960,767 | |
Personal & Household Products (1.7%) | | | | | | | | | | | | | | |
5,499 | | ABG Intermediate Holdings 2 LLC, LIBOR 6M + 3.250%(1) | | (B, B2) | | | 09/27/24 | | | | 4.500 | | | | 5,513,338 | |
3,325 | | ABG Intermediate Holdings 2 LLC, LIBOR 3M + 5.250%(1),(3) | | (B, B2) | | | 09/27/24 | | | | 6.250 | | | | 3,358,250 | |
2,404 | | Energizer Holdings, Inc., LIBOR 1M + 2.250%(1) | | (BB+, Ba1) | | | 12/22/27 | | | | 2.750 | | | | 2,409,868 | |
3,400 | | Keter Group B.V., EURIBOR 3M + 4.250%(1),(5) | | (B-, Caa1) | | | 10/31/23 | | | | 5.250 | | | | 4,082,145 | |
3,677 | | Serta Simmons Bedding LLC (First Out Term Loan), LIBOR 1M + 7.500%(1) | | (B+, B2) | | | 08/10/23 | | | | 8.500 | | | | 3,732,502 | |
12,336 | | Serta Simmons Bedding LLC (Second Out Term Loan), LIBOR 1M + 7.500%(1) | | (B, Caa2) | | | 08/10/23 | | | | 8.500 | | | | 11,437,395 | |
4,562 | | Weber-Stephen Products LLC, LIBOR 1M + 3.250%(1) | | (B, B1) | | | 10/30/27 | | | | 4.000 | | | | 4,583,401 | |
| | | | | | | | | | | | | | | 35,116,899 | |
Pharmaceuticals (1.8%) | | | | | | | | | | | | | | |
1,834 | | Akorn, Inc., LIBOR 3M + 7.500%(1) | | (CCC+, Caa2) | | | 10/01/25 | | | | 8.500 | | | | 1,843,116 | |
7,131 | | Alkermes, Inc., LIBOR 1M + 2.250%(1) | | (BB, Ba3) | | | 03/27/23 | | | | 2.380 | | | | 7,130,985 | |
5,421 | | Bausch Health Companies, Inc., LIBOR 1M + 3.000%(1) | | (BB, Ba2) | | | 06/02/25 | | | | 3.121 | | | | 5,432,670 | |
9,958 | | Endo Luxembourg Finance Co. I Sarl, LIBOR 3M + 4.250%(1) | | (B+, B2) | | | 04/29/24 | | | | 5.000 | | | | 9,908,480 | |
2,985 | | Grifols Worldwide Operations U.S.A., Inc., LIBOR 1W + 2.000%(1) | | (BB+, Ba2) | | | 11/15/27 | | | | 2.092 | | | | 2,983,268 | |
2,391 | | RPI Intermediate Finance Trust, LIBOR 1M + 1.750%(1) | | (BBB-, Ba1) | | | 02/11/27 | | | | 1.871 | | | | 2,404,621 | |
9,037 | | Syneos Health, Inc., LIBOR 1M + 1.500%(1) | | (BB, Ba2) | | | 08/01/24 | | | | 1.621 | | | | 8,997,487 | |
| | | | | | | | | | | | | | | 38,700,627 | |
Real Estate Development & Management (0.4%) | | | | | | | | | | | | | | |
8,761 | | Forest City Enterprises LP, LIBOR 1M + 3.500%(1) | | (B+, B2) | | | 12/08/25 | | | | 3.621 | | | | 8,598,436 | |
Real Estate Investment Trusts (0.1%) | | | | | | | | | | | | | | |
2,487 | | Blackstone Mortgage Trust, Inc., LIBOR 1M + 4.750%(1) | | (B+, Ba2) | | | 04/23/26 | | | | 5.750 | | | | 2,524,812 | |
Recreation & Travel (3.3%) | | | | | | | | | | | | | | |
13,004 | | Alterra Mountain Co., LIBOR 1M + 2.750%(1) | | (B, B2) | | | 07/31/24 | | | | 2.871 | | | | 12,957,754 | |
2,154 | | Bulldog Purchaser, Inc., LIBOR 1M + 7.750%(1) | | (CCC-, Caa3) | | | 09/04/26 | | | | 7.871 | | | | 1,944,740 | |
9,980 | | Bulldog Purchaser, Inc., LIBOR 1M + 3.750%(1) | | (B-, B3) | | | 09/05/25 | | | | 3.871 | | | | 9,265,041 | |
5,038 | | Crown Finance U.S., Inc., LIBOR 6M + 2.500%(1) | | (CCC, Caa2) | | | 02/28/25 | | | | 3.500 | | | | 4,001,864 | |
7,350 | | Crown Finance U.S., Inc., LIBOR 6M + 2.750%(1) | | (CCC, Caa2) | | | 09/30/26 | | | | 3.750 | | | | 5,789,138 | |
1,560 | | Crown Finance U.S., Inc., LIBOR 3M +7.000%(1) | | (B-, B3) | | | 05/23/24 | | | | 15.250 | | | | 1,944,218 | |
8,920 | | Hornblower Sub LLC, LIBOR 3M + 4.500%(1) | | (CCC-, Caa2) | | | 04/27/25 | | | | 5.750 | | | | 7,831,543 | |
5,773 | | Hornblower Sub LLC, LIBOR 3M + 8.125%(1) | | (NR, NR) | | | 11/10/25 | | | | 9.125 | | | | 6,213,402 | |
3,759 | | Motion Finco Sarl (Term Loan B1), LIBOR 3M + 3.250%(1) | | (CCC+, B2) | | | 11/12/26 | | | | 3.504 | | | | 3,588,806 | |
452 | | Motion Finco Sarl (Term Loan B2), LIBOR 3M + 3.250%(1) | | (CCC+, B2) | | | 11/12/26 | | | | 3.504 | | | | 431,386 | |
3,980 | | Richmond UK Bidco Ltd., LIBOR - GBP 6M + 4.250%(1),(9) | | (B-, B3) | | | 03/03/24 | | | | 4.338 | | | | 5,180,768 | |
10,421 | | SeaWorld Parks & Entertainment, Inc., LIBOR 1M + 3.000%(1) | | (B-, B2) | | | 03/31/24 | | | | 3.750 | | | | 10,229,088 | |
| | | | | | | | | | | | | | | 69,377,748 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Par (000) | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | | | | | | | | | | | | | | |
Restaurants (2.2%) | | | | | | | | | | | | | | |
$ | 9,924 | | 1011778 B.C. Unlimited Liability Co., LIBOR 1M + 1.750%(1) | | (BB+, Ba2) | | | 11/19/26 | | | | 1.871 | | | $ | 9,872,417 | |
4,556 | | Flynn Restaurant Group LP, LIBOR 1M + 3.500%(1) | | (B-, B2) | | | 06/27/25 | | | | 3.621 | | | | 4,528,673 | |
2,500 | | IRB Holding Corp., LIBOR 3M + 3.250%(1) | | (B, B2) | | | 12/15/27 | | | | 4.250 | | | | 2,512,275 | |
10,769 | | IRB Holding Corp., LIBOR 6M + 2.750%(1) | | (B, B2) | | | 02/05/25 | | | | 3.750 | | | | 10,768,574 | |
8,380 | | K-Mac Holdings Corp., LIBOR 1M + 3.000%(1) | | (B-, B2) | | | 03/14/25 | | | | 3.147 | | | | 8,382,202 | |
10,473 | | Tacala LLC, LIBOR 1M + 3.750%(1) | | (B-, B2) | | | 02/05/27 | | | | 4.500 | | | | 10,505,805 | |
| | | | | | | | | | | | | | | 46,569,946 | |
Software - Services (10.1%) | | | | | | | | | | | | | | |
1,750 | | Applied Systems, Inc., LIBOR 3M + 3.000%(1) | | (B-, B2) | | | 09/19/24 | | | | 4.000 | | | | 1,755,075 | |
6,364 | | Camelot U.S. Acquisition 1 Co., LIBOR 1M + 3.000%(1) | | (B, B2) | | | 10/30/26 | | | | 4.000 | | | | 6,395,455 | |
7,142 | | Camelot U.S. Acquisition 1 Co., LIBOR 1M + 3.000%(1) | | (B, B2) | | | 10/30/26 | | | | 3.121 | | | | 7,166,814 | |
8,843 | | Ceridian HCM Holding, Inc., LIBOR 1W + 2.500%(1) | | (B+, B2) | | | 04/30/25 | | | | 2.592 | | | | 8,840,930 | |
7,091 | | DCert Buyer, Inc., LIBOR 1M + 4.000%(1) | | (B-, B2) | | | 10/16/26 | | | | 4.121 | | | | 7,117,195 | |
1,429 | | Dynatrace LLC, LIBOR 1M + 2.250%(1) | | (BB-, B1) | | | 08/22/25 | | | | 2.371 | | | | 1,433,774 | |
4,080 | | Epicor Software Corp., LIBOR 1M + 7.750%(1) | | (CCC, Caa2) | | | 07/31/28 | | | | 8.750 | | | | 4,271,760 | |
13,077 | | Epicor Software Corp., LIBOR 1M + 3.250%(1) | | (B-, B2) | | | 07/30/27 | | | | 5.250 | | | | 13,161,442 | |
16,818 | | Finastra U.S.A., Inc., LIBOR 6M + 3.500%(1) | | (CCC+, B2) | | | 06/13/24 | | | | 4.500 | | | | 16,554,745 | |
1,500 | | Finastra U.S.A., Inc., LIBOR 3M + 7.250%(1) | | (CCC-, Caa2) | | | 06/13/25 | | | | 8.250 | | | | 1,505,940 | |
11,608 | | Flexera Software LLC, LIBOR 2M + 3.250%(1) | | (B-, B1) | | | 02/26/25 | | | | 4.250 | | | | 11,664,758 | |
2,670 | | Flexera Software LLC(7) | | (B-, B1) | | | 01/26/28 | | | | 4.500 | | | | 2,688,370 | |
10,208 | | GHX Ultimate Parent Corp., LIBOR 3M + 3.250%(1) | | (B, B2) | | | 06/28/24 | | | | 4.250 | | | | 10,220,313 | |
7,622 | | Go Daddy Operating Company LLC, LIBOR 1M + 1.750%(1) | | (BB, Ba1) | | | 02/15/24 | | | | 1.871 | | | | 7,618,317 | |
7,264 | | Huskies Parent, Inc., LIBOR 1M + 4.000%(1) | | (B-, B2) | | | 07/31/26 | | | | 4.121 | | | | 7,299,870 | |
3,740 | | Hyland Software, Inc., LIBOR 1M + 7.000%(1) | | (CCC, Caa1) | | | 07/07/25 | | | | 7.750 | | | | 3,796,100 | |
9,433 | | Hyland Software, Inc., LIBOR 1M + 3.500%(1) | | (B-, B1) | | | 07/01/24 | | | | 4.250 | | | | 9,484,586 | |
1,958 | | MA FinanceCo. LLC, LIBOR 1M + 2.750%(1) | | (BB-, B1) | | | 06/21/24 | | | | 2.871 | | | | 1,948,241 | |
12,527 | | Project Alpha Intermediate Holding, Inc., LIBOR 3M + 3.500%(1) | | (B, B3) | | | 04/26/24 | | | | 4.500 | | | | 12,569,947 | |
1,496 | | Project Boost Purchaser LLC, LIBOR 1M + 3.500%(1) | | (B-, B2) | | | 06/01/26 | | | | 3.621 | | | | 1,495,591 | |
13,110 | | Seattle Spinco, Inc., LIBOR 1M + 2.750%(1) | | (BB-, B1) | | | 06/21/24 | | | | 2.871 | | | | 13,043,958 | |
164 | | SkillSoft Corp., LIBOR 1M + 7.500%(1) | | (B+, B1) | | | 12/27/24 | | | | 8.500 | | | | 168,375 | |
1,697 | | SkillSoft Corp., LIBOR 3M + 7.500%(1) | | (B+, B1) | | | 12/27/24 | | | | 8.500 | | | | 1,743,300 | |
1,345 | | SkillSoft Corp., LIBOR 1M + 7.500%(1) | | (B-, Caa1) | | | 04/27/25 | | | | 8.500 | | | | 1,344,653 | |
14,308 | | Solera LLC, LIBOR 1M + 2.750%(1) | | (B, Ba3) | | | 03/03/23 | | | | 2.871 | | | | 14,269,042 | |
3,487 | | SS&C European Holdings Sarl, LIBOR 1M + 1.750%(1) | | (BB+, Ba2) | | | 04/16/25 | | | | 1.871 | | | | 3,475,498 | |
4,589 | | SS&C Technologies, Inc., LIBOR 1M + 1.750%(1) | | (BB+, Ba2) | | | 04/16/25 | | | | 1.871 | | | | 4,574,260 | |
3,442 | | STG-Fairway Holdings LLC, LIBOR 1M + 3.000%(1) | | (B, B2) | | | 01/31/27 | | | | 3.371 | | | | 3,442,346 | |
1,496 | | The Ultimate Software Group, Inc., LIBOR 3M + 4.000%(1) | | (B-, B1) | | | 05/04/26 | | | | 4.750 | | | | 1,504,801 | |
13,030 | | The Ultimate Software Group, Inc., LIBOR 1M + 3.750%(1) | | (B-, B1) | | | 05/04/26 | | | | 3.871 | | | | 13,087,134 | |
7,666 | | Verint Systems, Inc., LIBOR 1M + 2.000%(1) | | (BBB-, Ba1) | | | 06/28/24 | | | | 2.144 | | | | 7,694,502 | |
4,215 | | Virtusa Corp.(7) | | (B+, B2) | | | 12/09/27 | | | | 5.000 | | | | 4,253,657 | |
7,202 | | VS Buyer LLC, LIBOR 1M + 3.250%(1) | | (B-, B1) | | | 02/28/27 | | | | 3.371 | | | | 7,215,101 | |
| | | | | | | | | | | | | | | 212,805,850 | |
Specialty Retail (1.3%) | | | | �� | | | | | | | | | | |
2,269 | | EG America LLC, LIBOR 3M + 8.000%(1),(2) | | (CCC, Caa2) | | | 04/20/26 | | | | 9.000 | | | | 2,243,690 | |
13,080 | | EG Finco Ltd, EURIBOR 3M + 4.000%(1),(5) | | (B-, B3) | | | 02/07/25 | | | | 4.000 | | | | 15,659,569 | |
9,640 | | Mister Car Wash Holdings, Inc., LIBOR 1M + 3.250%(1) | | (CCC+, B2) | | | 05/14/26 | | | | 3.380 | | | | 9,489,248 | |
| | | | | | | | | | | | | | | 27,392,507 | |
Steel Producers/Products (1.2%) | | | | | | | | | | | | | | |
11,983 | | Atkore International, Inc., LIBOR 3M + 2.750%(1) | | (BB-, Ba3) | | | 12/22/23 | | | | 3.750 | | | | 12,035,056 | |
14,200 | | Zekelman Industries, Inc., LIBOR 1M + 2.000%(1) | | (BB, Ba3) | | | 01/24/27 | | | | 2.129 | | | | 14,205,253 | |
| | | | | | | | | | | | | | | 26,240,309 | |
Support - Services (3.3%) | | | | | | | | | | | | | | |
10,171 | | Allied Universal Holdco LLC, LIBOR 1M + 4.250%(1) | | (B-, B3) | | | 07/10/26 | | | | 4.371 | | | | 10,188,848 | |
2,250 | | Belron Finance U.S. LLC, LIBOR 3M +2.250%(1) | | (BB, Ba3) | | | 11/07/24 | | | | 2.463 | | | | 2,250,011 | |
1,472 | | Brand Energy & Infrastructure Services, Inc., LIBOR 3M + 4.250%(1) | | (B-, B3) | | | 06/21/24 | | | | 5.250 | | | | 1,457,592 | |
3,752 | | Change Healthcare Holdings LLC, LIBOR 1M + 2.500%(1) | | (B+, B1) | | | 03/01/24 | | | | 3.500 | | | | 3,758,758 | |
2,040 | | Global Education Management Systems Establishment, LIBOR 3M + 5.000%(1) | | (B, B3) | | | 07/31/26 | | | | 6.000 | | | | 2,034,663 | |
5,000 | | MSX International, Inc., EURIBOR 3M + 4.500%(1),(2),(5) | | (B-, Caa1) | | | 01/06/24 | | | | 4.500 | | | | 5,631,942 | |
1,510 | | Pike Corp., LIBOR 1M + 3.000%(1),(10) | | (B, Ba3) | | | 01/15/28 | | | | 0.000 | | | | 1,514,677 | |
1,990 | | Pike Corp., LIBOR 1M + 3.000%(1) | | (B, Ba3) | | | 01/21/28 | | | | 3.130 | | | | 1,995,526 | |
8,935 | | Pods LLC, LIBOR 1M + 2.750%(1) | | (B+, B2) | | | 12/06/24 | | | | 3.750 | | | | 8,985,620 | |
7,535 | | SAI Global Holdings II (Australia) Pty. Ltd., LIBOR 1M + 4.500%(1),(2) | | (CCC, Caa1) | | | 12/20/23 | | | | 5.500 | | | | 6,995,451 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Par (000) | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | | | | | | | | | | | | | | |
Support - Services | | | | | | | | | | | | | | |
$ | 11,577 | | Sedgwick Claims Management Services, Inc., LIBOR 1M + 3.250%(1) | | (B, B2) | | | 12/31/25 | | | | 3.371 | | | $ | 11,525,380 | |
7,311 | | Tribe Buyer LLC, LIBOR 1M + 4.500%(1) | | (CCC+, Caa1) | | | 02/16/24 | | | | 5.500 | | | | 6,503,490 | |
6,717 | | USS Ultimate Holdings, Inc., LIBOR 1M + 7.750%(1),(2) | | (CCC, Caa1) | | | 08/25/25 | | | | 8.750 | | | | 6,736,786 | |
| | | | | | | | | | | | | | | 69,578,744 | |
Tech Hardware & Equipment (0.5%) | | | | | | | | | | | | | | |
11,125 | | CommScope, Inc., LIBOR 1M + 3.250%(1) | | (B, Ba3) | | | 04/06/26 | | | | 3.371 | | | | 11,129,339 | |
Telecom - Wireline Integrated & Services (2.0%) | | | | | | | | | | | | | | |
7,612 | | Altice France S.A., LIBOR 1M + 3.688%(1) | | (B, B2) | | | 01/31/26 | | | | 3.814 | | | | 7,598,988 | |
12,425 | | CenturyLink, Inc., LIBOR 1M + 2.250%(1) | | (BBB-, Ba3) | | | 03/15/27 | | | | 2.371 | | | | 12,407,634 | |
1,651 | | GTT Communications, Inc., LIBOR 3M + 2.750%(1) | | (CCC, NR) | | | 05/31/25 | | | | 3.000 | | | | 1,322,934 | |
1,019 | | GTT Communications, Inc.(6),(7),(10) | | (B-, NR) | | | 12/31/21 | | | | 0.000 | | | | 1,012,170 | |
582 | | GTT Communications, Inc., LIBOR 1M + 6.000%(1) | | (B-, NR) | | | 12/31/21 | | | | 8.500 | | | | 578,383 | |
10,269 | | Level 3 Financing, Inc., LIBOR 1M + 1.750%(1) | | (BBB-, Ba1) | | | 03/01/27 | | | | 1.871 | | | | 10,227,160 | |
9,676 | | Zayo Group Holdings, Inc., LIBOR 1M + 3.000%(1) | | (B, B1) | | | 03/09/27 | | | | 3.121 | | | | 9,633,867 | |
| | | | | | | | | | | | | | | 42,781,136 | |
Theaters & Entertainment (2.9%) | | | | | | | | | | | | | | |
9 | | AMC Entertainment Holdings, Inc., PRIME + 2.000%(1) | | (C, Ca) | | | 04/22/26 | | | | 5.250 | | | | 7,143 | |
10,580 | | Metro-Goldwyn-Mayer, Inc., LIBOR 1M + 4.500%(1) | | (CCC+, B3) | | | 07/03/26 | | | | 5.500 | | | | 10,619,304 | |
4,805 | | NAI Entertainment Holdings LLC, LIBOR 1M + 2.500%(1),(2),(3) | | (B+, B3) | | | 05/08/25 | | | | 3.500 | | | | 4,673,180 | |
8,629 | | PUG LLC, LIBOR 1M + 3.500%(1) | | (B-, B3) | | | 02/12/27 | | | | 3.621 | | | | 8,305,479 | |
6,280 | | Technicolor S.A., EURIBOR 3M + 3.000%(1),(5) | | (CCC, Ca) | | | 12/31/24 | | | | 6.000 | | | | 6,743,135 | |
1,204 | | Technicolor S.A., LIBOR 6M + 6.000% Cash, 6.000% PIK(1),(4) | | (B, Caa1) | | | 06/30/24 | | | | 12.235 | | | | 1,326,017 | |
1,890 | | Technicolor S.A., LIBOR 3M + 2.750% Cash, 3.000% PIK(1),(4) | | (CCC, Ca) | | | 12/31/24 | | | | 6.025 | | | | 1,669,942 | |
9,298 | | UFC Holdings, LLC, LIBOR 6M + 3.250%(1) | | (B, B2) | | | 04/29/26 | | | | 3.750 | | | | 9,301,386 | |
16,230 | | William Morris Endeavor Entertainment LLC, LIBOR 1M + 2.750%(1) | | (CCC+, B3) | | | 05/18/25 | | | | 2.880 | | | | 15,197,831 | |
2,233 | | William Morris Endeavor Entertainment LLC, LIBOR 1M + 8.500%(1) | | (CCC+, B3) | | | 05/18/25 | | | | 9.500 | | | | 2,374,560 | |
| | | | | | | | | | | | | | | 60,217,977 | |
Transport Infrastructure/Services (0.3%) | | | | | | | | | | | | | | |
7,926 | | AI Mistral Holdco Ltd., LIBOR 1M + 3.000%(1) | | (CCC+, Caa1) | | | 03/11/24 | | | | 4.000 | | | | 6,957,605 | |
TOTAL BANK LOANS (Cost $1,774,088,461) | | | | | | | | | | | | | 1,735,185,975 | |
| | | | | | | | | | | | | | |
CORPORATE BONDS (5.9%) | | | | | | | | | | | | | | |
Auto Parts & Equipment (0.4%) | | | | | | | | | | | | | | |
1,345 | | Clarios U.S. Finance Co., Rule 144A, Company Guaranteed Notes (Callable 05/15/22 @ 104.25)(11) | | (CCC+, Caa1) | | | 05/15/27 | | | | 8.500 | | | | 1,426,574 | |
6,665 | | Cooper-Standard Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/21 @ 102.81)(11) | | (CCC, Caa1) | | | 11/15/26 | | | | 5.625 | | | | 6,083,812 | |
| | | | | | | | | | | | | | | 7,510,386 | |
Brokerage (0.1%) | | | | | | | | | | | | | | |
2,017 | | StoneX Group, Inc., Rule 144A, Senior Secured Notes (Callable 06/15/22 @ 104.31)(11) | | (BB-, Ba3) | | | 06/15/25 | | | | 8.625 | | | | 2,189,706 | |
Cable & Satellite TV (0.4%) | | | | | | | | | | | | | | |
1,100 | | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 05/15/21 @ 102.75)(11) | | (BB, Ba3) | | | 05/15/26 | | | | 5.500 | | | | 1,142,306 | |
3,400 | | Telenet Finance Luxembourg Notes Sarl, Rule 144A, Senior Secured Notes (Callable 12/01/22 @ 102.75)(11) | | (BB-, Ba3) | | | 03/01/28 | | | | 5.500 | | | | 3,609,950 | |
2,455 | | Ziggo B.V., Rule 144A, Senior Secured Notes (Callable 01/15/22 @ 102.75)(11) | | (B+, B1) | | | 01/15/27 | | | | 5.500 | | | | 2,579,358 | |
| | | | | | | | | | | | | | | 7,331,614 | |
Chemicals (0.2%) | | | | | | | | | | | | | | |
1,439 | | Aruba Investments, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/21 @ 100.00)(11) | | (CCC+, Caa1) | | | 02/15/23 | | | | 8.750 | | | | 1,447,843 | |
3,255 | | Atotech Alpha 2 B.V., 8.75% Cash, 9.50% PIK, Rule 144A, Senior Unsecured Notes (Callable 03/01/21 @ 101.00)(4),(11) | | (CCC+, Caa1) | | | 06/01/23 | | | | 8.750 | | | | 3,299,333 | |
| | | | | | | | | | | | | | | 4,747,176 | |
Electronics (0.1%) | | | | | | | | | | | | | | |
1,724 | | Entegris, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/08/21 @ 103.47)(11) | | (BB, Ba2) | | | 02/10/26 | | | | 4.625 | | | | 1,787,573 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Par (000) | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | |
CORPORATE BONDS (continued) | | | | | | | | | | | | | | |
Energy - Exploration & Production (0.3%) | | | | | | | | | | | | | | |
$ | 7,600 | | W&T Offshore, Inc., Rule 144A, Secured Notes (Callable 03/01/21 @ 104.88)(11) | | (B, Caa3) | | | 11/01/23 | | | | 9.750 | | | $ | 6,033,298 | |
Gaming (0.1%) | | | | | | | | | | | | | | |
1,862 | | Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/01/21 @ 101.69)(11) | | (CCC, Caa2) | | | 10/15/24 | | | | 6.750 | | | | 1,868,610 | |
Health Services (0.2%) | | | | | | | | | | | | | | |
2,040 | | Radiology Partners, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 104.63)(11) | | (CCC, Caa3) | | | 02/01/28 | | | | 9.250 | | | | 2,236,329 | |
2,000 | | RP Escrow Issuer LLC, Rule 144A, Senior Secured Notes (Callable 12/15/22 @ 102.63)(11) | | (B-, B3) | | | 12/15/25 | | | | 5.250 | | | | 2,077,500 | |
723 | | Valitas Health Services, Inc. (3),(10),(12) | | (NR, NR) | | | 02/26/22 | | | | 0.000 | | | | 629,952 | |
| | | | | | | | | | | | | | | 4,943,781 | |
Insurance (0.1%) | | | | | | | | | | | | | | |
1,575 | | Alliant Holdings Co-Issuer, Rule 144A, Senior Secured Notes (Callable 10/15/23 @ 102.13)(11) | | (B, B2) | | | 10/15/27 | | | | 4.250 | | | | 1,604,728 | |
Insurance Brokerage (0.1%) | | | | | | | | | | | | | | |
2,000 | | Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/01/21 @ 103.50)(11) | | (CCC+, Caa2) | | | 11/15/25 | | | | 7.000 | | | | 2,061,250 | |
Investments & Misc. Financial Services (0.2%) | | | | | | | | | | | | | | |
4,675 | | Compass Group Diversified Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 05/01/21 @ 104.00)(11) | | (B, B1) | | | 05/01/26 | | | | 8.000 | | | | 4,929,834 | |
Media Content (0.2%) | | | | | | | | | | | | | | |
4,250 | | Diamond Sports Finance Co., Rule 144A, Senior Secured Notes (Callable 08/15/22 @ 102.69)(11) | | (CCC+, Ba3) | | | 08/15/26 | | | | 5.375 | | | | 3,437,188 | |
Metals & Mining - Excluding Steel (0.8%) | | | | | | | | | | | | | | |
13,320 | | Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 03/01/21 @ 102.19)(11) | | (B-, Caa1) | | | 06/15/22 | | | | 8.750 | | | | 13,706,480 | |
4,000 | | Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 02/15/23 @ 103.50)(11) | | (B-, Caa1) | | | 02/15/26 | | | | 7.000 | | | | 3,990,000 | |
| | | | | | | | | | | | | | | 17,696,480 | |
Oil Field Equipment & Services (0.2%) | | | | | | | | | | | | | | |
148 | | Pioneer Energy Services Corp., PIK, Rule 144A, Senior Secured Notes (Callable 06/01/21 @ 104.00)(3),(4),(11),(12) | | (NR, NR) | | | 05/15/25 | | | | 11.000 | | | | 136,593 | |
1,139 | | Pioneer Energy Services Corp., PIK, Rule 144A, Senior Unsecured Notes (3),(4),(11),(12) | | (NR, NR) | | | 08/28/25 | | | | 5.000 | | | | 498,619 | |
7,000 | | Shelf Drilling Holdings Ltd., Rule 144A, Company Guaranteed Notes (Callable 03/01/21 @ 106.19)(11) | | (CCC+, Caa2) | | | 02/15/25 | | | | 8.250 | | | | 3,828,125 | |
| | | | | | | | | | | | | | | 4,463,337 | |
Packaging (0.4%) | | | | | | | | | | | | | | |
7,275 | | TriMas Corp., Rule 144A, Company Guaranteed Notes (Callable 03/01/21 @ 102.44)(11) | | (BB-, Ba3) | | | 10/15/25 | | | | 4.875 | | | | 7,428,466 | |
Pharmaceuticals (0.6%) | | | | | | | | | | | | | | |
355 | | Bausch Health Americas, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/22 @ 104.63)(11) | | (B, B3) | | | 04/01/26 | | | | 9.250 | | | | 394,476 | |
2,000 | | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/24 @ 103.13)(11) | | (B, B3) | | | 02/15/29 | | | | 6.250 | | | | 2,155,380 | |
10,204 | | Owens & Minor, Inc., Global Senior Secured Notes (Callable 09/15/24 @ 100.00) | | (B+, B2) | | | 12/15/24 | | | | 4.375 | | | | 10,465,477 | |
| | | | | | | | | | | | | | | 13,015,333 | |
Real Estate Investment Trusts (0.2%) | | | | | | | | | | | | | | |
4,634 | | Starwood Property Trust, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/23 @ 100.00)(11) | | (B+, Ba3) | | | 11/01/23 | | | | 5.500 | | | | 4,825,153 | |
Recreation & Travel (0.3%) | | | | | | | | | | | | | | |
1,296 | | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 03/01/21 @ 102.44)(11) | | (CCC, B3) | | | 07/31/24 | | | | 4.875 | | | | 1,288,392 | |
1,500 | | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/22 @ 102.75)(11),(13) | | (CCC, B3) | | | 04/15/27 | | | | 5.500 | | | | 1,517,325 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Par (000) | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
CORPORATE BONDS (continued) | | | | | | | | | | | | | | |
Recreation & Travel | | | | | | | | | | | | | | |
$ | 2,500 | | Six Flags Theme Parks, Inc., Rule 144A, Senior Secured Notes (Callable 07/01/22 @ 103.50)(11) | | (B, Ba2) | | | 07/01/25 | | | | 7.000 | | | $ | 2,698,438 | |
| | | | | | | | | | | | | | | 5,504,155 | |
Software - Services (0.2%) | | | | | | | | | | | | | | |
5,002 | | Solera Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/01/21 @ 102.63)(11) | | (CCC+, Caa1) | | | 03/01/24 | | | | 10.500 | | | | 5,163,314 | |
Specialty Retail (0.0%) | | | | | | | | | | | | | | |
750 | | Penske Automotive Group, Inc., Company Guaranteed Notes (Callable 05/15/21 @ 102.75) | | (B+, Ba3) | | | 05/15/26 | | | | 5.500 | | | | 779,194 | |
Support - Services (0.1%) | | | | | | | | | | | | | | |
2,565 | | Gems Education Delaware LLC, Rule 144A, Senior Secured Notes (Callable 07/31/22 @ 103.56)(11) | | (B, B3) | | | 07/31/26 | | | | 7.125 | | | | 2,692,570 | |
Tech Hardware & Equipment (0.1%) | | | | | | | | | | | | | | |
1,765 | | CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 03/15/22 @ 102.50)(11) | | (CCC+, B3) | | | 03/15/27 | | | | 5.000 | | | | 1,752,866 | |
Telecom - Wireline Integrated & Services (0.3%) | | | | | | | | | | | | | | |
4,000 | | Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 05/15/21 @ 103.75)(11) | | (B, B2) | | | 05/15/26 | | | | 7.500 | | | | 4,200,000 | |
7,000 | | GTT Communications, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/21 @ 103.94)(11) | | (CC, NR) | | | 12/31/24 | | | | 7.875 | | | | 2,546,250 | |
| | | | | | | | | | | | | | | 6,746,250 | |
Theaters & Entertainment (0.3%) | | | | | | | | | | | | | | |
1,961 | | Technicolor S.A., Tranche 1 Notes (5) | | (NR, NR) | | | 06/30/24 | | | | 12.000 | | | | 2,624,798 | |
2,442 | | Technicolor S.A., Tranche 2 Notes (5) | | (NR, NR) | | | 06/30/24 | | | | 12.000 | | | | 3,267,988 | |
| | | | | | | | | | | | | | | 5,892,786 | |
TOTAL CORPORATE BONDS (Cost $127,896,199) | | | | | | | | | | | | | 124,405,048 | |
| | | | | | | | | | | | | | |
ASSET BACKED SECURITIES (4.1%) | | | | | | | | | | | | | | |
Collateralized Debt Obligations (4.1%) | | | | | | | | | | | | | | |
3,500 | | Anchorage Capital Clo 16 Ltd., 2020-16A, Rule 144A, LIBOR 3M + 4.180%(1),(11) | | (BBB-, NR) | | | 10/20/31 | | | | 4.381 | | | | 3,532,309 | |
1,500 | | Battalion CLO XIV Ltd., 2019-14A, Rule 144A, LIBOR 3M + 3.950%(1),(11) | | (NR, Baa3) | | | 04/20/32 | | | | 4.174 | | | | 1,504,176 | |
2,100 | | BlueMountain CLO Ltd., 2015-3A, Rule 144A, LIBOR 3M + 5.400%(1),(11) | | (B, NR) | | | 04/20/31 | | | | 5.624 | | | | 1,975,747 | |
4,184 | | Capital Automotive LLC, 2017-1A, Rule 144A(11) | | (A+, NR) | | | 04/15/47 | | | | 3.870 | | | | 4,200,089 | |
2,526 | | Capital Automotive LLC, 2017-1A, Rule 144A(11) | | (A+, NR) | | | 04/15/47 | | | | 4.180 | | | | 2,536,438 | |
750 | | Carlyle Global Market Strategies CLO Ltd., 2014-3RA, Rule 144A, LIBOR 3M + 5.400%(1),(11) | | (B+, NR) | | | 07/27/31 | | | | 5.613 | | | | 701,436 | |
2,000 | | Carlyle Global Market Strategies CLO Ltd., 2014-5A, Rule 144A, LIBOR 3M + 3.150%(1),(11) | | (BBB-, NR) | | | 07/15/31 | | | | 3.391 | | | | 1,922,337 | |
1,850 | | Carlyle Global Market Strategies CLO Ltd., 2015-2A, Rule 144A, LIBOR 3M + 6.150%(1),(2),(11) | | (NR, B3) | | | 04/27/27 | | | | 6.363 | | | | 1,783,283 | |
2,000 | | Carlyle U.S. CLO Ltd., 2017-2A, Rule 144A(2),(7),(10),(11) | | (NR, NR) | | | 07/20/31 | | | | 0.000 | | | | 995,990 | |
2,625 | | CIFC Funding Ltd., 2014-1A, Rule 144A, LIBOR 3M + 5.850%(1),(11) | | (B+, NR) | | | 01/18/31 | | | | 6.073 | | | | 2,577,913 | |
4,000 | | Crown Point CLO IV Ltd., 2018-4A, Rule 144A, LIBOR 3M + 2.750%(1),(11) | | (NR, Baa3) | | | 04/20/31 | | | | 2.974 | | | | 3,813,174 | |
3,500 | | Elevation CLO Ltd., 2014-2A, Rule 144A, LIBOR 3M + 3.200%(1),(11) | | (NR, Baa3) | | | 10/15/29 | | | | 3.441 | | | | 3,369,040 | |
5,000 | | Galaxy XVIII CLO Ltd., 2018-28A, Rule 144A, LIBOR 3M + 3.000%(1),(11) | | (BBB-, NR) | | | 07/15/31 | | | | 3.241 | | | | 4,925,851 | |
2,250 | | Greywolf CLO II Ltd., 2013-1A, Rule 144A, LIBOR 3M + 6.350%(1),(11) | | (B+, NR) | | | 10/15/29 | | | | 6.591 | | | | 2,212,889 | |
2,000 | | Greywolf CLO III Ltd., 2020-3RA, Rule 144A, LIBOR 3M + 6.920%(1),(11) | | (BB-, NR) | | | 04/15/33 | | | | 7.142 | | | | 2,007,820 | |
6,500 | | Greywolf CLO IV Ltd., 2019-1A, Rule 144A, LIBOR 3M + 2.950%(1),(11) | | (A, NR) | | | 04/17/30 | | | | 3.173 | | | | 6,507,849 | |
1,000 | | Greywolf CLO IV Ltd., 2019-1A, Rule 144A, LIBOR 3M + 3.950%(1),(11) | | (BBB-, NR) | | | 04/17/30 | | | | 4.173 | | | | 1,001,908 | |
6,000 | | Greywolf CLO V Ltd., 2015-1A, Rule 144A, LIBOR 3M + 2.000%(1),(11) | | (A, NR) | | | 01/27/31 | | | | 2.218 | | | | 6,015,654 | |
3,950 | | Greywolf CLO V Ltd., 2015-1A, Rule 144A, LIBOR 3M + 3.000%(1),(11) | | (BBB-, NR) | | | 01/27/31 | | | | 3.218 | | | | 3,909,938 | |
3,250 | | KKR Financial CLO Ltd., 2013-1A, Rule 144A, LIBOR 3M + 6.080%(1),(11) | | (NR, Ba3) | | | 04/15/29 | | | | 6.321 | | | | 3,079,797 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Par (000) | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
|
ASSET BACKED SECURITIES (continued) | | | | | | | | | | | | | |
Collateralized Debt Obligations | | | | | | | | | | | | | | |
$ | 1,900 | | Marble Point CLO XVII Ltd., 2020-1A, Rule 144A, LIBOR 3M + 6.820%(1),(11) | | (NR, Ba3) | | | 04/20/33 | | | | 7.038 | | | $ | 1,871,686 | |
2,250 | | Octagon Investment Partners 26 Ltd., 2016-1A, Rule 144A, LIBOR 3M + 2.850%(1),(11) | | (BBB-, NR) | | | 07/15/30 | | | | 3.091 | | | | 2,182,291 | |
3,500 | | Shackleton CLO Ltd., 2014-6RA, Rule 144A, LIBOR 3M + 2.970%(1),(11) | | (NR, Baa3) | | | 07/17/28 | | | | 3.193 | | | | 3,450,911 | |
3,000 | | Venture CLO Ltd., 2017-28AA, Rule 144A, LIBOR 3M + 2.400%(1),(11) | | (NR, A2) | | | 10/20/29 | | | | 2.624 | | | | 3,000,653 | |
1,250 | | Venture CLO Ltd., 2018-31A, Rule 144A, LIBOR 3M + 2.820%(1),(11) | | (NR, Baa3) | | | 04/20/31 | | | | 3.044 | | | | 1,182,197 | |
3,000 | | Venture CLO Ltd., 2018-35A, Rule 144A, LIBOR 3M + 3.500%(1),(11) | | (NR, Ba1) | | | 10/22/31 | | | | 3.722 | | | | 2,966,761 | |
3,000 | | Venture XIII CLO Ltd., 2013-13A, Rule 144A, LIBOR 3M + 3.300%(1),(11) | | (NR, Baa2) | | | 09/10/29 | | | | 3.530 | | | | 2,974,818 | |
2,150 | | Vibrant CLO V Ltd., 2016-5A, Rule 144A, LIBOR 3M + 7.000%(1),(11) | | (NR, B1) | | | 01/20/29 | | | | 7.224 | | | | 2,055,131 | |
1,500 | | Vibrant CLO VI Ltd., 2017-6A, Rule 144A, LIBOR 3M + 5.750%(1),(11) | | (NR, B1) | | | 06/20/29 | | | | 5.989 | | | | 1,392,506 | |
3,000 | | Voya CLO Ltd., 2014-4A, Rule 144A, LIBOR 3M + 3.350%(1),(11) | | (BBB-, NR) | | | 07/14/31 | | | | 3.584 | | | | 2,908,074 | |
3,000 | | Voya CLO Ltd., 2017-1A, Rule 144A(2),(7),(10),(11) | | (NR, NR) | | | 04/17/30 | | | | 0.000 | | | | 1,483,269 | |
1,455 | | Wendy's Funding LLC, 2018-1A, Rule 144A(11) | | (BBB, NR) | | | 03/15/48 | | | | 3.573 | | | | 1,496,154 | |
TOTAL ASSET BACKED SECURITIES (Cost $88,675,947) | | | | | | | | | | | | | 85,538,089 | |
Number of Shares | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
COMMON STOCKS (0.9%) | | | | | | | | | | | | | | |
Auto Parts & Equipment (0.1%) | | | | | | | | | | | | | | |
151,253 | | Jason Group, Inc.(14) | | | | | | | | | | | | | 907,518 | |
134,659 | | Remainco LLC(3),(12),(14) | | | | | | | | | | | | | 1,019,369 | |
| | | | | | | | | | | | | | | 1,926,887 | |
Building & Construction (0.0%) | | | | | | | | | | | | | | |
6 | | White Forest Resources, Inc.(3),(12),(14) | | | | | | | | | | | | | — | |
Chemicals (0.3%) | | | | | | | | | | | | | | |
9,785 | | Huntsman Corp.(2),(14) | | | | | | | | | | | | | 258,520 | |
31,756 | | Project Investor Holdings LLC(2),(3),(12),(14) | | | | | | | | | | | | | 317 | |
529,264 | | Proppants Holdings LLC(2),(3),(12),(14) | | | | | | | | | | | | | 26,463 | |
191,054 | | UTEX Industries, Inc.(14) | | | | | | | | | | | | | 5,986,295 | |
| | | | | | | | | | | | | | | 6,271,595 | |
Energy - Exploration & Production (0.0%) | | | | | | | | | | | | | | |
872,375 | | PES Energy, Inc.(2),(3),(12),(14) | | | | | | | | | | | | | 8,724 | |
Machinery (0.0%) | | | | | | | | | | | | | | |
3,585,446 | | Doncasters U.S. Finance LLC(3),(9),(12),(14) | | | | | | | | | | | | | — | |
Oil Field Equipment & Services (0.0%) | | | | | | | | | | | | | | |
12,409 | | Pioneer Energy Services Corp.(3),(12),(14) | | | | | | | | | | | | | 12,781 | |
Pharmaceuticals (0.1%) | | | | | | | | | | | | | | |
156,133 | | Akorn Holding Company LLC(14) | | | | | | | | | | | | | 2,042,688 | |
Private Placement (0.3%) | | | | | | | | | | | | | | |
2,723,899 | | Technicolor S.A. EUR 27.0(15) | | | | | | | | | | | | | 5,865,010 | |
Recreation & Travel (0.0%) | | | | | | | | | | | | | | |
526,589 | | Cineworld Group | | | | | | | | | | | | | 187,992 | |
Software - Services (0.1%) | | | | | | | | | | | | | | |
12,594 | | SkillSoft Corp.(14) | | | | | | | | | | | | | 2,140,980 | |
Support - Services (0.0%) | | | | | | | | | | | | | | |
779 | | Sprint Industrial Holdings LLC, Class G(2),(3),(12),(14) | | | | | | | | | | | | | — | |
71 | | Sprint Industrial Holdings LLC, Class H(2),(3),(12),(14) | | | | | | | | | | | | | — | |
172 | | Sprint Industrial Holdings LLC, Class I(2),(3),(12),(14) | | | | | | | | | | | | | 2 | |
| | | | | | | | | | | | | | | 2 | |
TOTAL COMMON STOCKS (Cost $30,630,318) | | | | | | | | | | | | | 18,456,659 | |
| | | | | | | | | | | | | | |
WARRANT (0.0%) | | | | | | | | | | | | | | |
Chemicals (0.0%) | | | | | | | | | | | | | | |
132,316 | | Project Investor Holdings LLC, expires 02/20/2022(2),(3),(12),(14) (Cost $68,804) | | | | | | | | | | | | | — | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Number of Shares | | | | Value | |
| | | | | |
SHORT-TERM INVESTMENTS (0.1%) | | | | |
1,537,730 | | State Street Navigator Securities Lending Government Money Market Portfolio 0.06%(16) (Cost $1,537,730) | | $ | 1,537,730 | |
| | | | | | |
TOTAL INVESTMENTS AT VALUE (93.7%) (Cost $2,022,897,459) | | | 1,965,123,501 | |
| | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES (6.3%) | | | 132,937,908 | |
NET ASSETS (100.0%) | | $ | 2,098,061,409 | |
| † | 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, 2021. |
(2) | Illiquid security (unaudited). |
(3) | Security is valued using significant unobservable inputs. |
(4) | PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal. |
(5) | This security is denominated in Euro. |
(6) | All or a portion is an unfunded loan commitment. |
(7) | The rates on certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The interest rate shown is the rate in effect as of January 31, 2021. |
(8) | Bond is currently in default. |
(9) | This security is denominated in British Pound. |
(10) | Zero coupon security. |
(11) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2021, these securities amounted to a value of $192,175,728 or 9.2% of net assets. |
(12) | 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. |
(13) | Security or portion thereof is out on loan. |
(14) | Non-income producing security. |
(15) | Security is held through holdings of 100 shares of the CIG Special Purpose SPC — Credit Suisse Floating Rate High Income Fund Segregated Portfolio, an affiliated entity. |
(16) | Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at January 31, 2021. |
INVESTMENT ABBREVIATIONS
1W = 1 Week
1M = 1 Month
2M = 2 Month
3M = 3 Month
6M = 6 Month
12M = 12 Month
EURIBOR = Euro Interbank Offered Rate
LIBOR = London Interbank Offered Rate
NR = Not Rated
Sarl - société à responsabilité limitée
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 | | | 5,013,000 | | | USD | | | 6,157,046 | | | 10/13/21 | | Deutsche Bank AG | | $ | 6,157,046 | | | $ | 6,124,450 | | | $ | (32,596 | ) |
USD | | | 6,022,714 | | | EUR | | | 4,997,031 | | | 10/13/21 | | Deutsche Bank AG | | | (6,022,714 | ) | | | (6,104,939 | ) | | | (82,225 | ) |
USD | | | 123,658,204 | | | EUR | | | 104,363,924 | | | 10/13/21 | | Morgan Stanley | | | (123,658,204 | ) | | | (127,502,813 | ) | | | (3,844,609 | ) |
USD | | | 29,799,892 | | | GBP | | | 22,993,202 | | | 10/13/21 | | Deutsche Bank AG | | | (29,799,892 | ) | | | (31,616,163 | ) | | | (1,816,271 | ) |
USD | | | 668,841 | | | GBP | | | 497,261 | | | 10/13/21 | | Barclays Bank PLC | | | (668,841 | ) | | | (683,745 | ) | | | (14,904 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (5,790,605 | ) |
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 the Fund calculates its net asset value, these securities will be fair valued in good faith by the Pricing Committee, in accordance with procedures adopted by the Board.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
Generally accepted accounting principles in the United States of America (“GAAP”) established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at each measurement date. These inputs are summarized in the three broad levels listed below:
| · | Level 1—quoted prices in active markets for identical investments |
| · | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| · | Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of January 31, 2021 in valuing the Fund’s assets and liabilities carried at fair value:
Assets | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Bank Loans | | $ | — | | | $ | 1,595,898,843 | | | $ | 139,287,132 | | | $ | 1,735,185,975 | |
Corporate Bonds | | | — | | | | 123,139,884 | | | | 1,265,164 | | | | 124,405,048 | |
Asset Backed Securities | | | — | | | | 85,538,089 | | | | — | | | | 85,538,089 | |
Common Stocks | | | 258,520 | | | | 17,130,483 | | | | 1,067,656 | | | | 18,456,659 | |
Warrants | | | — | | | | — | | | | 0 | (1) | | | 0 | (1) |
Short-term Investments | | | — | | | | 1,537,730 | | | | — | | | | 1,537,730 | |
| | $ | 258,520 | | | $ | 1,823,245,029 | | | $ | 141,619,952 | | | $ | 1,965,123,501 | |
| | | | | | | | | | | | | | | | |
Liabilities | | | Level 1 | | | | Level 2 | | | | Level 3 | | | | Total | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 5,790,605 | | | $ | — | | | $ | 5,790,605 | |
* | Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts. |
(1) | Includes zero valued securities. |
The following is a reconciliation of investments as of January 31, 2021 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 | | | Corporate Bonds | | | Common Stocks | | | Warrants | | | Total | |
Balance as of October 31, 2020 | | $ | 183,482,529 | | | $ | 1,229,671 | | | $ | 2,665,140 | | | $ | 0 | (1) | | $ | 187,377,340 | |
Accrued discounts (premiums) | | | 175,608 | | | | 12,089 | | | | — | | | | — | | | | 187,697 | |
Purchases | | | 10,805,802 | | | | 27,674 | | | | — | | | | — | | | | 10,833,476 | |
Sales | | | (3,198,790 | ) | | | (112,622 | ) | | | (302,882 | ) | | | — | | | | (3,614,294 | ) |
Realized gain (loss) | | | 37,936 | | | | 7,117 | | | | 244,157 | | | | — | | | | 289,210 | |
Change in unrealized appreciation (depreciation) | | | 4,423,159 | | | | 101,235 | | | | (639,965 | ) | | | — | | | | 3,884,429 | |
Transfers into Level 3 | | | 50,067,589 | | | | — | | | | 8,724 | | | | — | | | | 50,076,313 | |
Transfers out of Level 3 | | | (106,506,701 | ) | | | — | | | | (907,518 | ) | | | — | | | | (107,414,219 | ) |
Balance as of January 31, 2021 | | $ | 139,287,132 | | | $ | 1,265,164 | | | $ | 1,067,656 | | | $ | 0 | (1) | | $ | 141,619,952 | |
| | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) from investments still held as of January 31, 2021 | | $ | 2,195,568 | | | $ | 101,235 | | | $ | (791,218 | ) | | $ | — | | | $ | 1,505,585 | |
| | | | | | | | | | | | | | | | | | | | |
(1) Includes zero valued securities.
Quantitative Disclosure About Significant Unobservable Inputs
| | Fair Value | | | Valuation | | Unobservable | | Range | |
Asset Class | | At 01/31/2021 | | | Technique | | Input | | (Weighted Average)* | |
Bank Loans | | $ | 139,287,132 | | | Vendor pricing | | Single Broker Quote | | | $0.49 - $1.30 ($0.99) | |
Common Stocks | | $ | 1,054,875 | | | Income Approach | | Expected Remaining Distribution | | | $0.00 - $7.57 ($7.32) | |
| | $ | 12,781 | | | Market Approach | | EBITDA Multiples | | | 6.2 (N/A) | |
Corporate Bonds | | $ | 635,212 | | | Market Approach | | EBITDA Multiples | | | 6.2 (N/A) | |
| | $ | 629,952 | | | Income Approach | | Expected Remaining Distribution | | | $0.87 (N/A) | |
Warrants | | $ | 0 | | | Income Approach | | Expected Remaining Distribution | | | $0.00 (N/A) | |
* Weighted by relative fair value
Each fair value determination is based on a consideration of relevant factors, including both observable and unobservable inputs. Observable and unobservable inputs that Credit Suisse considers may include (i) the existence of any contractual restrictions on the disposition of securities; (ii) information obtained from the company, which may include an analysis of the company's financial statements, the company's products or intended markets or the company's technologies; (iii) the price of the same or similar security negotiated at arm's length in an issuer's completed subsequent round of financing; (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies; or (v) a probability and time value adjusted analysis of contractual term. Where available and appropriate, multiple valuation 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, 2021, $50,076,313 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $107,414,219 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, 2021 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | Value | |
| | | | | | | | | | | | |
CORPORATE BONDS (38.0%) | | | | | | | | | | |
Advertising (0.2%) | | | | | | | | | | |
$ | 500 | | | TripAdvisor, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/22 @ 103.50)(1) | | (BB-, B1) | | 07/15/25 | | 7.000 | | $ | 541,003 | |
Aerospace & Defense (0.3%) | | | | | | | | | | |
| 250 | | | KBR, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/30/23 @ 102.38)(1) | | (B+, B1) | | 09/30/28 | | 4.750 | | | 259,063 | |
| 500 | | | Science Applications International Corp., Rule 144A, Company Guaranteed Notes (Callable 04/01/23 @ 102.44)(1) | | (BB-, B1) | | 04/01/28 | | 4.875 | | | 527,110 | |
| 250 | | | TransDigm, Inc., Global Company Guaranteed Notes (Callable 03/15/22 @ 103.75) | | (B-, B3) | | 03/15/27 | | 7.500 | | | 267,922 | |
| | | | | | | | | | | | | 1,054,095 | |
Air Transportation (0.1%) | | | | | | | | | | |
| 250 | | | Hawaiianmiles Loyalty, Ltd. Rule 144A, Senior Secured Notes (Callable 01/20/24 @ 100.00)(1) | | (NR, Ba3) | | 01/20/26 | | 5.750 | | | 259,844 | |
Auto Parts & Equipment (0.8%) | | | | | | | | | | |
| 1,835 | | | Clarios U.S. Finance Co., Rule 144A, Company Guaranteed Notes (Callable 05/15/22 @ 104.25)(1) | | (CCC+, Caa1) | | 05/15/27 | | 8.500 | | | 1,946,293 | |
| 650 | | | Cooper-Standard Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/21 @ 102.81)(1) | | (CCC, Caa1) | | 11/15/26 | | 5.625 | | | 593,320 | |
| | | | | | | | | | | | | 2,539,613 | |
Automakers (0.1%) | | | | | | | | | | |
| 250 | | | Winnebago Industries, Inc., Rule 144A, Senior Secured Notes (Callable 07/15/23 @ 103.13)(1) | | (BB, B1) | | 07/15/28 | | 6.250 | | | 269,844 | |
Brokerage (0.5%) | | | | | | | | | | |
| 1,298 | | | StoneX Group, Inc., Rule 144A, Senior Secured Notes (Callable 06/15/22 @ 104.31)(1) | | (BB-, Ba3) | | 06/15/25 | | 8.625 | | | 1,409,141 | |
Building & Construction (0.2%) | | | | | | | | | | |
| 658 | | | TopBuild Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/21 @ 102.81)(1) | | (BB, Ba3) | | 05/01/26 | | 5.625 | | | 679,796 | |
Building Materials (2.3%) | | | | | | | | | | |
| 700 | | | Advanced Drainage Systems, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/30/22 @ 102.50)(1) | | (B, B1) | | 09/30/27 | | 5.000 | | | 739,242 | |
| 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 | | | 1,068,560 | |
| 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 | | | 1,491,000 | |
| 750 | | | Masonite International Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 102.69)(1) | | (BB+, Ba3) | | 02/01/28 | | 5.375 | | | 804,225 | |
| 1,000 | | | Summit Materials Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 02/16/21 @ 102.56)(1) | | (BB, B2) | | 06/01/25 | | 5.125 | | | 1,022,395 | |
| 500 | | | WESCO Distribution, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/22 @ 103.56)(1) | | (BB-, B2) | | 06/15/25 | | 7.125 | | | 545,662 | |
| 500 | | | WESCO Distribution, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/23 @ 103.63)(1),(2) | | (BB-, B2) | | 06/15/28 | | 7.250 | | | 562,385 | |
| 500 | | | White Cap Buyer LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/23 @ 103.44)(1) | | (CCC+, Caa1) | | 10/15/28 | | 6.875 | | | 518,638 | |
| | | | | | | | | | | | | 6,752,107 | |
Building Products (0.1%) | | | | | | | | | | |
| 375 | | | Park River Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/24 @ 102.81)(1) | | (CCC+, Caa1) | | 02/01/29 | | 5.625 | | | 373,359 | |
Cable & Satellite TV (1.0%) | | | | | | | | | | |
| 614 | | | Midcontinent Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/15/22 @ 102.69)(1) | | (B, B3) | | 08/15/27 | | 5.375 | | | 643,816 | |
| 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 | | | 1,274,100 | |
| 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 | | | 481,457 | |
| 450 | | | Ziggo B.V., Rule 144A, Senior Secured Notes (Callable 01/15/22 @ 102.75)(1) | | (B+, B1) | | 01/15/27 | | 5.500 | | | 472,794 | |
| | | | | | | | | | | | | 2,872,167 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | Value | |
| | | | | | | | | | | | |
CORPORATE BONDS (continued) | | | | | | | | | | |
Chemicals (2.5%) | | | | | | | | | | |
$ | 675 | | | Alpha U.S. Bidco, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/21 @ 101.56)(1) | | (CCC+, Caa1) | | 02/01/25 | | 6.250 | | $ | 688,500 | |
| 500 | | | Aruba Investments, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/21 @ 100.00)(1) | | (CCC+, Caa1) | | 02/15/23 | | 8.750 | | | 503,072 | |
| 1,144 | | | Atotech Alpha 2 B.V., 8.75% Cash, 9.50% PIK, Rule 144A, Senior Unsecured Notes (Callable 03/01/21 @ 101.00)(1),(3) | | (CCC+, Caa1) | | 06/01/23 | | 8.750 | | | 1,159,756 | |
| 250 | | | Avient Corp., Rule 144A, Senior Unsecured Notes (Callable 05/15/22 @ 102.88)(1) | | (BB-, Ba3) | | 05/15/25 | | 5.750 | | | 265,625 | |
| 250 | | | GCP Applied Technologies, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/21 @ 102.75)(1) | | (BB, B1) | | 04/15/26 | | 5.500 | | | 255,890 | |
| 1,540 | | | Ingevity Corp., Rule 144A, Company Guaranteed Notes (Callable 03/01/21 @ 102.25)(1) | | (NR, Ba3) | | 02/01/26 | | 4.500 | | | 1,563,392 | |
| 250 | | | Minerals Technologies, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/01/23 @ 102.50)(1) | | (BB-, Ba3) | | 07/01/28 | | 5.000 | | | 263,125 | |
| 52 | | | Reichhold Industries, Inc., Rule 144A, Senior Secured Notes (1),(4),(5),(6),(7) | | (NR, NR) | | 05/01/18 | | 9.000 | | | 706 | |
| 750 | | | Tronox, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/21 @ 103.25)(1) | | (B, B3) | | 04/15/26 | | 6.500 | | | 774,375 | |
| 1,695 | | | Venator Materials LLC, Rule 144A, Company Guaranteed Notes (Callable 03/01/21 @ 104.31)(1) | | (CCC+, Caa1) | | 07/15/25 | | 5.750 | | | 1,676,991 | |
| 400 | | | Venator Materials LLC, Rule 144A, Senior Secured Notes (Callable 07/01/22 @ 107.13)(1) | | (B, B1) | | 07/01/25 | | 9.500 | | | 440,000 | |
| | | | | | | | | | | | | 7,591,432 | |
Consumer/Commercial/Lease Financing (0.8%) | | | | | | | | | | |
| 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 | | | 2,260,869 | |
Diversified Capital Goods (0.4%) | | | | | | | | | | |
| 350 | | | EnerSys, Rule 144A, Company Guaranteed Notes (Callable 01/30/23 @ 100.00)(1) | | (BB+, Ba3) | | 04/30/23 | | 5.000 | | | 369,031 | |
| 750 | | | Stevens Holding Co., Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/23 @ 101.53)(1) | | (B+, B2) | | 10/01/26 | | 6.125 | | | 819,870 | |
| | | | | | | | | | | | | 1,188,901 | |
Electric-Integrated (0.0%) | | | | | | | | | | |
| 125 | | | PG&E Corp., Global Senior Secured Notes (Callable 07/01/25 @ 102.63) | | (BB-, B1) | | 07/01/30 | | 5.250 | | | 137,938 | |
Electronics (0.5%) | | | | | | | | | | |
| 1,000 | | | ON Semiconductor Corp., Rule 144A, Company Guaranteed Notes (Callable 09/01/23 @ 101.94)(1) | | (BB, Ba2) | | 09/01/28 | | 3.875 | | | 1,037,500 | |
| 500 | | | Sensata Technologies Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/29 @ 100.00)(1) | | (BB+, Ba3) | | 02/15/30 | | 4.375 | | | 539,062 | |
| | | | | | | | | | | | | 1,576,562 | |
Energy - Exploration & Production (0.8%) | | | | | | | | | | |
| 750 | | | Aker BP ASA, Rule 144A, Senior Unsecured Notes (Callable 06/15/21 @ 102.38)(1) | | (BBB-, Ba1) | | 06/15/24 | | 4.750 | | | 773,002 | |
| 375 | | | CNX Resources Corp., Rule 144A, Company Guaranteed Notes (Callable 03/14/22 @ 105.44)(1) | | (BB-, B3) | | 03/14/27 | | 7.250 | | | 403,706 | |
| 125 | | | CNX Resources Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/24 @ 104.50)(1) | | (BB-, B3) | | 01/15/29 | | 6.000 | | | 129,416 | |
| 1,250 | | | W&T Offshore, Inc., Rule 144A, Secured Notes (Callable 03/01/21 @ 104.88)(1) | | (B, Caa3) | | 11/01/23 | | 9.750 | | | 992,319 | |
| | | | | | | | | | | | | 2,298,443 | |
Environmental (0.1%) | | | | | | | | | | |
| 250 | | | Stericycle, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/23 @ 101.94)(1) | | (BB-, NR) | | 01/15/29 | | 3.875 | | | 257,438 | |
Food - Wholesale (0.1%) | | | | | | | | | | |
| 250 | | | U.S. Foods, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/24 @ 102.38)(1) | | (B+, Caa1) | | 02/15/29 | | 4.750 | | | 251,250 | |
Forestry & Paper (0.3%) | | | | | | | | | | |
| 250 | | | Boise Cascade Co., Rule 144A, Company Guaranteed Notes (Callable 07/01/25 @ 102.44)(1) | | (BB-, Ba2) | | 07/01/30 | | 4.875 | | | 272,031 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | Value | |
| | | | | | | | | | | | |
CORPORATE BONDS (continued) | | | | | | | | | | |
Forestry & Paper | | | | | | | | | | |
$ | 575 | | | Norbord, Inc., Rule 144A, Senior Secured Notes (Callable 07/15/22 @ 102.88)(1) | | (BB+, Ba1) | | 07/15/27 | | 5.750 | | $ | 619,922 | |
| | | | | | | | | | | | | 891,953 | |
Gaming (1.5%) | | | | | | | | | | |
| 500 | | | Churchill Downs, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/23 @ 102.38)(1) | | (B+, B1) | | 01/15/28 | | 4.750 | | | 521,158 | |
| 1,320 | | | Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/01/21 @ 101.69)(1) | | (CCC, Caa2) | | 10/15/24 | | 6.750 | | | 1,324,686 | |
| 450 | | | Jacobs Entertainment, Inc., Rule 144A, Secured Notes (Callable 03/01/21 @ 103.94)(1) | | (B-, B3) | | 02/01/24 | | 7.875 | | | 466,265 | |
| 700 | | | MGP Finance Co-Issuer, Inc., Global Company Guaranteed Notes (Callable 11/01/26 @ 100.00) | | (BB-, B1) | | 02/01/27 | | 5.750 | | | 788,203 | |
| 1,200 | | | Stars Group U.S. Co-Borrower LLC, Rule 144A, Company Guaranteed Notes (Callable 07/15/21 @ 103.50)(1) | | (BB-, Ba2) | | 07/15/26 | | 7.000 | | | 1,260,750 | |
| | | | | | | | | | | | | 4,361,062 | |
Gas Distribution (0.4%) | | | | | | | | | | |
| 750 | | | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 03/01/21 @ 104.88) | | (B+, B1) | | 10/01/25 | | 6.500 | | | 695,381 | |
| 450 | | | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 03/01/21 @ 104.69) | | (B+, B1) | | 05/15/26 | | 6.250 | | | 404,197 | |
| 250 | | | Hess Midstream Operations LP, Rule 144A, Company Guaranteed Notes (Callable 06/15/23 @ 102.56)(1) | | (BB+, Ba3) | | 06/15/28 | | 5.125 | | | 260,075 | |
| | | | | | | | | | | | | 1,359,653 | |
Health Facilities (0.3%) | | | | | | | | | | |
| 500 | | | HCA, Inc., Company Guaranteed Notes (Callable 03/01/26 @ 100.00) | | (BB-, Ba2) | | 09/01/26 | | 5.375 | | | 568,318 | |
| 275 | | | Surgery Center Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/22 @ 105.00)(1) | | (CCC, Caa2) | | 04/15/27 | | 10.000 | | | 304,390 | |
| | | | | | | | | | | | | 872,708 | |
Health Services (0.9%) | | | | | | | | | | |
| 250 | | | AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/22 @ 102.31)(1) | | (BB-, Ba3) | | 10/01/27 | | 4.625 | | | 260,156 | |
| 360 | | | AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.00)(1) | | (BB-, Ba3) | | 04/15/29 | | 4.000 | | | 368,550 | |
| 250 | | | Ortho-Clinical Diagnostics S.A., Rule 144A, Senior Unsecured Notes (Callable 06/01/22 @ 103.69)(1) | | (CCC, Caa2) | | 06/01/25 | | 7.375 | | | 267,969 | |
| 1,250 | | | Radiology Partners, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 104.63)(1) | | (CCC, Caa3) | | 02/01/28 | | 9.250 | | | 1,370,300 | |
| 250 | | | RP Escrow Issuer LLC, Rule 144A, Senior Secured Notes (Callable 12/15/22 @ 102.63)(1) | | (B-, B3) | | 12/15/25 | | 5.250 | | | 259,688 | |
| 43 | | | Valitas Health Services, Inc. (5),(7),(8) | | (NR, NR) | | 02/26/22 | | 0.000 | | | 37,553 | |
| | | | | | | | | | | | | 2,564,216 | |
Insurance (0.4%) | | | | | | | | | | |
| 800 | | | Alliant Holdings Co-Issuer, Rule 144A, Senior Secured Notes (Callable 10/15/23 @ 102.13)(1) | | (B, B2) | | 10/15/27 | | 4.250 | | | 815,100 | |
| 500 | | | Alliant Holdings Co-Issuer, Rule 144A, Senior Unsecured Notes (Callable 10/15/22 @ 103.38)(1) | | (CCC+, Caa2) | | 10/15/27 | | 6.750 | | | 529,595 | |
| | | | | | | | | | | | | 1,344,695 | |
Insurance Brokerage (1.2%) | | | | | | | | | | |
| 700 | | | Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/01/21 @ 103.50)(1) | | (CCC+, Caa2) | | 11/15/25 | | 7.000 | | | 721,437 | |
| 500 | | | Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/22 @ 107.59)(1) | | (CCC+, Caa2) | | 08/01/26 | | 10.125 | | | 574,920 | |
| 750 | | | GTCR AP Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/15/22 @ 104.00)(1) | | (CCC+, Caa2) | | 05/15/27 | | 8.000 | | | 810,000 | |
| 1,500 | | | NFP Corp., Rule 144A, Senior Unsecured Notes (Callable 08/15/23 @ 103.44)(1) | | (CCC+, Caa2) | | 08/15/28 | | 6.875 | | | 1,578,600 | |
| | | | | | | | | | | | | 3,684,957 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | Value | |
| | | | | | | | | | | | |
CORPORATE BONDS (continued) | | | | | | | | | | |
lnvestments & Misc. Financial Services (0.8%) | | | | | | | | | | |
$ | 2,200 | | | Compass Group Diversified Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 05/01/21 @ 104.00)(1) | | (B, B1) | | 05/01/26 | | 8.000 | | $ | 2,319,922 | |
Machinery (0.4%) | | | | | | | | | | |
| 600 | | | ATS Automation Tooling Systems, Inc. Rule 144A, Senior Unsecured Notes (Callable 12/15/23 @ 102.06)(1) | | (B+, B2) | | 12/15/28 | | 4.125 | | | 608,625 | |
| 350 | | | Harsco Corp., Rule 144A, Company Guaranteed Notes (Callable 07/31/22 @ 102.88)(1) | | (B+, B1) | | 07/31/27 | | 5.750 | | | 363,343 | |
| 250 | | | Hillenbrand, Inc., Global Company Guaranteed Notes (Callable 06/15/22 @ 102.88) | | (BB+, Ba1) | | 06/15/25 | | 5.750 | | | 269,219 | |
| | | | | | | | | | | | | 1,241,187 | |
Managed Care (0.3%) | | | | | | | | | | |
| 540 | | | Centene Corp., Global Senior Unsecured Notes (Callable 12/15/24 @ 102.31) | | (BBB-, Ba1) | | 12/15/29 | | 4.625 | | | 599,400 | |
| 370 | | | Centene Corp., Rule 144A, Senior Unsecured Notes (Callable 08/15/21 @ 104.03)(1) | | (BBB-, Ba1) | | 08/15/26 | | 5.375 | | | 388,962 | |
| | | | | | | | | | | | | 988,362 | |
Media - Diversified (0.1%) | | | | | | | | | | |
| 250 | | | National CineMedia LLC, Global Senior Unsecured Notes (Callable 08/15/21 @ 102.88) | | (CCC-, Caa3) | | 08/15/26 | | 5.750 | | | 195,265 | |
| 200 | | | National CineMedia LLC, Rule 144A, Senior Secured Notes (Callable 04/15/23 @ 102.94)(1) | | (CCC+, B3) | | 04/15/28 | | 5.875 | | | 181,000 | |
| | | | | | | | | | | | | 376,265 | |
Media Content (1.0%) | | | | | | | | | | |
| 325 | | | Diamond Sports Finance Co., Rule 144A, Company Guaranteed Notes (Callable 08/15/22 @ 103.31)(1),(2) | | (CCC-, B3) | | 08/15/27 | | 6.625 | | | 206,781 | |
| 2,000 | | | Diamond Sports Finance Co., Rule 144A, Senior Secured Notes (Callable 08/15/22 @ 102.69)(1) | | (CCC+, Ba3) | | 08/15/26 | | 5.375 | | | 1,617,500 | |
| 733 | | | Sirius XM Radio, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/01/24 @ 102.75)(1) | | (BB, Ba3) | | 07/01/29 | | 5.500 | | | 800,579 | |
| 250 | | | Sirius XM Radio, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/01/25 @ 102.06)(1) | | (BB, Ba3) | | 07/01/30 | | 4.125 | | | 258,110 | |
| | | | | | | | | | | | | 2,882,970 | |
Medical Products (0.2%) | | | | | | | | | | |
| 500 | | | Avantor Funding, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/23 @ 102.31)(1) | | (B, B3) | | 07/15/28 | | 4.625 | | | 526,975 | |
Metals & Mining - Excluding Steel (1.3%) | | | | | | | | | | |
| 250 | | | First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes (Callable 03/01/21 @ 103.63)(1) | | (CCC+, Caa2) | | 04/01/23 | | 7.250 | | | 255,726 | |
| 1,000 | | | First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes (Callable 03/01/21 @ 103.25)(1) | | (CCC+, NR) | | 03/01/24 | | 6.500 | | | 1,022,915 | |
| 500 | | | First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes (Callable 03/01/21 @ 105.16)(1) | | (CCC+, NR) | | 03/01/26 | | 6.875 | | | 521,563 | |
| 1,950 | | | Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 03/01/21 @ 102.19)(1) | | (B-, Caa1) | | 06/15/22 | | 8.750 | | | 2,006,579 | |
| | | | | | | | | | | | | 3,806,783 | |
Mining (0.3%) | | | | | | | | | | |
| 850 | | | Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 02/15/23 @ 103.50)(1) | | (B-, Caa1) | | 02/15/26 | | 7.000 | | | 847,875 | |
Oil & Gas (0.1%) | | | | | | | | | | |
| 250 | | | Targa Resources Partners Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 07/15/26 @ 102.00)(1) | | (BB, Ba3) | | 01/15/32 | | 4.000 | | | 248,125 | |
Oil Field Equipment & Services (0.4%) | | | | | | | | | | |
| 324 | | | Pioneer Energy Services Corp., PIK, Rule 144A, Senior Unsecured Notes (1),(3),(5),(7) | | (NR, NR) | | 08/28/25 | | 5.000 | | | 142,014 | |
| 2,000 | | | Shelf Drilling Holdings Ltd., Rule 144A, Company Guaranteed Notes (Callable 03/01/21 @ 106.19)(1) | | (CCC+, Caa2) | | 02/15/25 | | 8.250 | | | 1,093,750 | |
| | | | | | | | | | | | | 1,235,764 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | Value | |
| | | | | | | | | | | | |
CORPORATE BONDS (continued) | | | | | | | | | | |
Packaging (2.0%) | | | | | | | | | | |
$ | 130 | | | Crown Americas Capital Corp. VI, Global Company Guaranteed Notes (Callable 03/01/21 @ 103.56) | | (BB-, Ba3) | | 02/01/26 | | 4.750 | | $ | 135,116 | |
| 1,500 | | | Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes (Callable 03/01/21 @ 101.72)(1) | | (CCC+, Caa2) | | 01/15/25 | | 6.875 | | | 1,528,125 | |
| 1,790 | | | Plastipak Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/01/21 @ 103.13)(1) | | (B, B3) | | 10/15/25 | | 6.250 | | | 1,833,631 | |
| 475 | | | Silgan Holdings, Inc., Global Senior Unsecured Notes (Callable 03/01/21 @ 102.38) | | (BB, Ba3) | | 03/15/25 | | 4.750 | | | 484,203 | |
| 2,010 | | | TriMas Corp., Rule 144A, Company Guaranteed Notes (Callable 03/01/21 @ 102.44)(1) | | (BB-, Ba3) | | 10/15/25 | | 4.875 | | | 2,052,401 | |
| | | | | | | | | | | | | 6,033,476 | |
Personal & Household Products (0.8%) | | | | | | | | | | |
| 750 | | | High Ridge Brands Co., Rule 144A, Senior Unsecured Notes (1),(5),(7) | | (NR, NR) | | 03/15/25 | | 8.875 | | | 8,437 | |
| 1,430 | | | Mattel, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/08/21 @ 105.06)(1) | | (B+, B1) | | 12/31/25 | | 6.750 | | | 1,503,359 | |
| 935 | | | Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/21 @ 101.59)(1) | | (B+, B3) | | 03/01/24 | | 6.375 | | | 954,869 | |
| | | | | | | | | | | | | 2,466,665 | |
Pharmaceuticals (1.5%) | | | | | | | | | | |
| 500 | | | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/21 @ 104.50)(1) | | (B, B3) | | 12/15/25 | | 9.000 | | | 549,788 | |
| 950 | | | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/23 @ 103.50)(1) | | (B, B3) | | 01/15/28 | | 7.000 | | | 1,029,695 | |
| 500 | | | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/24 @ 103.13)(1) | | (B, B3) | | 02/15/29 | | 6.250 | | | 538,845 | |
| 750 | | | Horizon Therapeutics U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 08/01/22 @ 104.13)(1) | | (BB-, Ba3) | | 08/01/27 | | 5.500 | | | 800,018 | |
| 1,538 | | | Owens & Minor, Inc., Global Senior Secured Notes (Callable 09/15/24 @ 100.00) | | (B+, B2) | | 12/15/24 | | 4.375 | | | 1,577,411 | |
| | | | | | | | | | | | | 4,495,757 | |
Real Estate Development & Management (1.3%) | | | | | | | | | | |
| 2,125 | | | Newmark Group, Inc., Global Senior Unsecured Notes (Callable 10/15/23 @ 100.00) | | (BB+, NR) | | 11/15/23 | | 6.125 | | | 2,311,859 | |
| 1,754 | | | WeWork Cos., Inc., Rule 144A, Company Guaranteed Notes (1),(2) | | (CCC+, Wr) | | 05/01/25 | | 7.875 | | | 1,566,524 | |
| | | | | | | | | | | | | 3,878,383 | |
Real Estate Investment Trusts (0.8%) | | | | | | | | | | |
| 250 | | | Global Net Lease Operating Partnership LP, Rule 144A, Company Guaranteed Notes (Callable 09/15/27 @ 100.00)(1) | | (BBB-, Ba3) | | 12/15/27 | | 3.750 | | | 254,586 | |
| 250 | | | iStar, Inc., Senior Unsecured Notes (Callable 07/01/24 @ 100.00) | | (BB, Ba3) | | 10/01/24 | | 4.750 | | | 256,873 | |
| 750 | | | iStar, Inc., Senior Unsecured Notes (Callable 05/01/25 @ 100.00) | | (BB, Ba3) | | 08/01/25 | | 4.250 | | | 738,750 | |
| 250 | | | MPT Finance Corp., Global Company Guaranteed Notes (Callable 08/01/21 @ 102.63) | | (BBB-, Ba1) | | 08/01/26 | | 5.250 | | | 259,063 | |
| 500 | | | Starwood Property Trust, Inc., Global Senior Unsecured Notes (Callable 09/15/21 @ 100.00) | | (B+, Ba3) | | 12/15/21 | | 5.000 | | | 507,812 | |
| 250 | | | Starwood Property Trust, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/23 @ 100.00)(1) | | (B+, Ba3) | | 11/01/23 | | 5.500 | | | 260,312 | |
| | | | | | | | | | | | | 2,277,396 | |
Recreation & Travel (2.5%) | | | | | | | | | | |
| 930 | | | Boyne U.S.A., Inc., Rule 144A, Secured Notes (Callable 05/01/21 @ 103.63)(1) | | (B, B1) | | 05/01/25 | | 7.250 | | | 972,431 | |
| 642 | | | Canada's Wonderland Co., Global Company Guaranteed Notes (Callable 04/15/22 @ 102.69) | | (CCC, B3) | | 04/15/27 | | 5.375 | | | 644,809 | |
| 750 | | | Cedar Fair LP, Global Company Guaranteed Notes (Callable 07/15/24 @ 102.63) | | (CCC, NR) | | 07/15/29 | | 5.250 | | | 758,768 | |
| 250 | | | Powdr Corp., Rule 144A, Senior Secured Notes (Callable 08/01/22 @ 103.00)(1) | | (B-, B1) | | 08/01/25 | | 6.000 | | | 264,063 | |
| 250 | | | SeaWorld Parks & Entertainment, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/22 @ 104.38)(1),(2) | | (B-, B2) | | 05/01/25 | | 8.750 | | | 269,844 | |
| 2,250 | | | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 03/01/21 @ 102.44)(1) | | (CCC, B3) | | 07/31/24 | | 4.875 | | | 2,236,792 | |
| 200 | | | Six Flags Theme Parks, Inc., Rule 144A, Senior Secured Notes (Callable 07/01/22 @ 103.50)(1) | | (B, Ba2) | | 07/01/25 | | 7.000 | | | 215,875 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | Value | |
| | | | | | | | | | | | |
CORPORATE BONDS (continued) | | | | | | | | | | |
Recreation & Travel | | | | | | | | | | |
$ | 1,635 | | | Speedway Funding II, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/22 @ 102.44)(1) | | (BB-, B2) | | 11/01/27 | | 4.875 | | $ | 1,622,737 | |
| 375 | | | Vail Resorts, Inc., 144A, Company Guaranteed Notes (Callable 05/15/22 @ 103.13)(1) | | (BB, B1) | | 05/15/25 | | 6.250 | | | 398,906 | |
| | | | | | | | | | | | | 7,384,225 | |
Software - Services (1.7%) | | | | | | | | | | |
| 600 | | | Black Knight InfoServ LLC, Rule 144A, Company Guaranteed Notes (Callable 09/01/23 @ 101.81)(1) | | (B+, Ba3) | | 09/01/28 | | 3.625 | | | 607,920 | |
| 790 | | | GD Finance Co., Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/22 @ 102.63)(1) | | (BB-, B1) | | 12/01/27 | | 5.250 | | | 833,774 | |
| 3,400 | | | Solera Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/01/21 @ 102.63)(1) | | (CCC+, Caa1) | | 03/01/24 | | 10.500 | | | 3,509,650 | |
| | | | | | | | | | | | | 4,951,344 | |
Specialty Retail (1.6%) | | | | | | | | | | |
| 120 | | | Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 03/01/23 @ 102.25) | | (BB, B1) | | 03/01/28 | | 4.500 | | | 123,600 | |
| 67 | | | Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 03/01/25 @ 102.38) | | (BB, B1) | | 03/01/30 | | 4.750 | | | 70,548 | |
| 500 | | | eG Global Finance PLC, Rule 144A, Senior Secured Notes (Callable 10/30/21 @ 104.25)(1) | | (B-, B3) | | 10/30/25 | | 8.500 | | | 532,000 | |
| 325 | | | Group 1 Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/23 @ 102.00)(1) | | (BB+, Ba2) | | 08/15/28 | | 4.000 | | | 333,125 | |
| 1,020 | | | Lithia Motors, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/21 @ 103.94)(1) | | (BB, Ba2) | | 08/01/25 | | 5.250 | | | 1,061,968 | |
| 750 | | | Lithia Motors, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/22 @ 103.47)(1) | | (BB, Ba2) | | 12/15/27 | | 4.625 | | | 792,656 | |
| 375 | | | Murphy Oil U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/26 @ 101.88)(1) | | (BB+, Ba2) | | 02/15/31 | | 3.750 | | | 375,938 | |
| 1,750 | | | Ruyi U.S. Finance LLC, Rule 144A, Senior Secured Notes (Callable 05/01/21 @ 105.63)(1) | | (NR, Caa2) | | 05/01/25 | | 7.500 | | | 1,507,187 | |
| | | | | | | | | | | | | 4,797,022 | |
Support - Services (2.0%) | | | | | | | | | | |
| 1,113 | | | ASGN, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/15/23 @ 102.31)(1) | | (BB-, Ba3) | | 05/15/28 | | 4.625 | | | 1,152,634 | |
| 650 | | | Ashtead Capital, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/01/21 @ 103.94)(1) | | (BBB-, Baa3) | | 08/01/26 | | 5.250 | | | 687,915 | |
| 250 | | | Austin BidCo, Inc., Rule 144A, Senior Unsecured Notes (Callable 12/15/23 @ 103.56)(1) | | (CCC+, NR) | | 12/15/28 | | 7.125 | | | 259,531 | |
| 250 | | | Gartner, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/01/23 @ 102.25)(1) | | (BB, Ba3) | | 07/01/28 | | 4.500 | | | 263,988 | |
| 1,285 | | | Gems Education Delaware LLC, Rule 144A, Senior Secured Notes (Callable 07/31/22 @ 103.56)(1) | | (B, B3) | | 07/31/26 | | 7.125 | | | 1,348,909 | |
| 540 | | | KAR Auction Services, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/21 @ 103.84)(1) | | (B-, Caa1) | | 06/01/25 | | 5.125 | | | 554,850 | |
| 735 | | | Korn Ferry, Rule 144A, Company Guaranteed Notes (Callable 12/15/22 @ 102.31)(1) | | (BB, Ba3) | | 12/15/27 | | 4.625 | | | 775,609 | |
| 500 | | | United Rentals North America, Inc., Secured Notes (Callable 11/15/22 @ 101.94) | | (BBB-, Ba1) | | 11/15/27 | | 3.875 | | | 526,295 | |
| 390 | | | Williams Scotsman International, Inc., Rule 144A, Senior Secured Notes (Callable 08/15/23 @ 102.31)(1) | | (B+, B3) | | 08/15/28 | | 4.625 | | | 402,431 | |
| | | | | | | | | | | | | 5,972,162 | |
Tech Hardware & Equipment (0.3%) | | | | | | | | | | |
| 750 | | | CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 03/15/22 @ 102.50)(1) | | (CCC+, B3) | | 03/15/27 | | 5.000 | | | 744,844 | |
| 115 | | | EMC Corp., Rule 144A, Senior Secured Notes (Callable 08/01/26 @ 100.00)(1) | | (BBB-, Baa3) | | 10/01/26 | | 4.900 | | | 134,293 | |
| | | | | | | | | | | | | 879,137 | |
Telecom - Wireless (0.1%) | | | | | | | | | | |
| 250 | | | T-Mobile U.S.A., Inc., Company Guaranteed Notes (Callable 02/08/21 @ 102.25) | | (BB, Ba3) | | 02/01/26 | | 4.500 | | | 256,219 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | Value | |
| | | | | | | | | | | | |
CORPORATE BONDS (continued) | | | | | | | | | | |
Telecom - Wireline Integrated & Services (0.8%) | | | | | | | | | | |
$ | 800 | | | Altice Financing S.A., Rule 144A, Senior Secured Notes (Callable 05/15/21 @ 103.75)(1) | | (B, B2) | | 05/15/26 | | 7.500 | | $ | 840,000 | |
| 200 | | | Equinix, Inc., Senior Unsecured Notes (Callable 05/15/22 @ 102.69) | | (BBB-, Baa3) | | 05/15/27 | | 5.375 | | | 217,126 | |
| 1,125 | | | GTT Communications, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/21 @ 103.94)(1) | | (CC, Wr) | | 12/31/24 | | 7.875 | | | 409,219 | |
| 1,000 | | | LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes (Callable 10/15/22 @ 103.38)(1) | | (B+, B1) | | 10/15/27 | | 6.750 | | | 1,079,030 | |
| | | | | | | | | | | | | 2,545,375 | |
Theaters & Entertainment (1.2%) | | | | | | | | | | |
| 1,679 | | | Cinemark U.S.A., Inc., Global Company Guaranteed Notes (Callable 03/01/21 @ 100.81) | | (B, Caa1) | | 06/01/23 | | 4.875 | | | 1,617,087 | |
| 275 | | | Cinemark U.S.A., Inc., Rule 144A, Senior Secured Notes (Callable 05/01/22 @ 104.38)(1) | | (BB-, Ba3) | | 05/01/25 | | 8.750 | | | 296,567 | |
| 500 | | | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/03/21 @ 102.44)(1) | | (B-, B3) | | 11/01/24 | | 4.875 | | | 503,250 | |
| 650 | | | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/22 @ 103.56)(1) | | (B-, B3) | | 10/15/27 | | 4.750 | | | 652,642 | |
| 500 | | | Live Nation Entertainment, Inc., Rule 144A, Senior Secured Notes (Callable 05/15/23 @ 104.88)(1) | | (B+, B1) | | 05/15/27 | | 6.500 | | | 556,095 | |
| | | | | | | | | | | | | 3,625,641 | |
Transport Infrastructure/Services (0.7%) | | | | | | | | | | |
| 1,300 | | | Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes (Callable 03/02/21 @ 100.00)(1) | | (CCC, Caa2) | | 08/15/22 | | 11.250 | | | 1,131,572 | |
| 880 | | | Signature Aviation U.S. Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/23 @ 102.00)(1) | | (BB, Ba3) | | 03/01/28 | | 4.000 | | | 898,542 | |
| | | | | | | | | | | | | 2,030,114 | |
TOTAL CORPORATE BONDS (Cost $112,163,877) | | | | | | | | | 113,460,190 | |
| | | | | | | | | | | | | | |
BANK LOANS (50.8%) | | | | | | | | | | |
Advertising (0.2%) | | | | | | | | | | |
| 734 | | | MH Sub I LLC, LIBOR 1M + 3.500%(9) | | (B, B2) | | 09/13/24 | | 3.621 | | | 731,139 | |
Aerospace & Defense (0.3%) | | | | | | | | | | |
| 980 | | | TransDigm, Inc., LIBOR 1M + 2.250%(9) | | (B+, Ba3) | | 12/09/25 | | 2.371 | | | 965,325 | |
Air Transportation (0.1%) | | | | | | | | | | |
| 214 | | | Mileage Plus Holdings LLC, LIBOR 3M + 5.250%(9) | | (NR, Baa3) | | 06/25/27 | | 6.250 | | | 228,957 | |
Auto Parts & Equipment (1.9%) | | | | | | | | | | |
| 1,056 | | | Autokiniton U.S. Holdings, Inc., LIBOR 1M + 6.375%(7),(9) | | (B, B2) | | 05/22/25 | | 6.496 | | | 1,061,531 | |
| 970 | | | Clarios Global LP, LIBOR 1M + 3.500%(9) | | (B, B1) | | 04/30/26 | | 3.621 | | | 971,461 | |
| 965 | | | Dayco Products LLC, LIBOR 3M + 4.250%(9) | | (CCC+, Caa2) | | 05/19/23 | | 4.483 | | | 829,297 | |
| 383 | | | Dealer Tire LLC, LIBOR 1M + 4.250%(9) | | (B-, B1) | | 12/12/25 | | 4.371 | | | 382,820 | |
| 560 | | | Garrett Motion, Inc., LIBOR 1M + 4.500%(7),(9) | | (BBB-, NR) | | 03/31/21 | | 5.500 | | | 562,800 | |
| 133 | | | Jason Group, Inc., LIBOR 1M + 1.000% Cash, 9.000% PIK(3),(7),(9) | | (CCC-, Caa3) | | 02/28/26 | | 11.000 | | | 124,182 | |
| 199 | | | Jason Group, Inc., LIBOR 1M + 2.000% Cash, 4.000% PIK(3),(7),(9) | | (B-, Caa1) | | 08/28/25 | | 7.000 | | | 198,195 | |
| 389 | | | Les Schwab Tire Centers, LIBOR 3M + 3.500%(9) | | (B, B2) | | 11/02/27 | | 4.250 | | | 391,342 | |
| 1,000 | | | Midas Intermediate Holdco II LLC, LIBOR 3M + 6.750%(9) | | (CCC+, B2) | | 12/22/25 | | 7.500 | | | 1,026,565 | |
| | | | | | | | | | | | | 5,548,193 | |
Banking (0.3%) | | | | | | | | | | |
| 14 | | | NEXUS Buyer LLC, LIBOR 1M + 3.750%(9) | | (B-, B2) | | 11/09/26 | | 3.880 | | | 13,918 | |
| 997 | | | PI U.S. MergerCo, Inc., LIBOR 1M + 3.500%(9) | | (B-, B3) | | 01/03/25 | | 4.500 | | | 999,750 | |
| | | | | | | | | | | | | 1,013,668 | |
Building & Construction (0.5%) | | | | | | | | | | |
| 441 | | | ACProducts, Inc., LIBOR 3M + 6.500%(9) | | (B, NR) | | 08/18/25 | | 7.500 | | | 453,091 | |
| 258 | | | SiteOne Landscape Supply, Inc., LIBOR 1M + 2.750%(9) | | (BB, B1) | | 10/29/24 | | 3.750 | | | 259,175 | |
| 540 | | | TRC Companies, Inc., LIBOR 1M + 5.000%(9) | | (B, B2) | | 06/21/24 | | 6.000 | | | 542,741 | |
| 245 | | | TRC Companies, Inc., LIBOR 1M + 3.500%(9) | | (B, B2) | | 06/21/24 | | 4.500 | | | 246,456 | |
| | | | | | | | | | | | | 1,501,463 | |
Building Materials (0.6%) | | | | | | | | | | |
| 585 | | | Airxcel, Inc., LIBOR 1M + 4.500%(9) | | (B-, B3) | | 04/28/25 | | 4.621 | | | 582,806 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | Value | |
| | | | | | | | | | | | |
BANK LOANS (continued) | | | | | | | | | | |
Building Materials | | | | | | | | | | |
$ | 1,228 | | | Cornerstone Building Brands, Inc., LIBOR 1M + 3.750%(9) | | (B+, B2) | | 04/12/25 | | 3.876 | | $ | 1,233,639 | |
| | | | | | | | | | | | | 1,816,445 | |
Chemicals (2.7%) | | | | | | | | | | |
| 410 | | | Allnex (Luxembourg) & Cy S.C.A., LIBOR 3M + 3.250%(9) | | (B, NR) | | 09/13/23 | | 4.000 | | | 408,488 | |
| 309 | | | Allnex U.S.A., Inc., LIBOR 3M + 3.250%(9) | | (B, NR) | | 09/13/23 | | 4.000 | | | 307,751 | |
| 954 | | | Ascend Performance Materials Operations LLC, LIBOR 3M + 5.250%(9) | | (BB-, B1) | | 08/27/26 | | 6.250 | | | 961,943 | |
| 430 | | | NIC Acquisition Corp., LIBOR 3M + 7.750%(9) | | (CCC, Caa2) | | 01/14/29 | | 8.500 | | | 436,312 | |
| 750 | | | NIC Acquisition Corp., LIBOR 3M + 3.750%(9) | | (B, B3) | | 01/14/28 | | 4.500 | | | 753,754 | |
| 1,725 | | | PMHC II, Inc., LIBOR 12M + 3.500%(9) | | (CCC+, Caa1) | | 03/31/25 | | 4.500 | | | 1,632,503 | |
| 974 | | | Polar U.S. Borrower LLC, LIBOR 1M + 4.750%(7),(9) | | (B-, B2) | | 10/15/25 | | 4.883 – 5.004 | | | 971,975 | |
| 493 | | | Solenis Holdings LLC, LIBOR 3M + 4.000%(9) | | (B-, B3) | | 06/26/25 | | 4.233 | | | 492,704 | |
| 61 | | | UTEX Industries, Inc., LIBOR 1M + 9.000%(9) | | (NR, NR) | | 02/10/21 | | 10.500 | | | 61,948 | |
| 43 | | | UTEX Industries, Inc., LIBOR 1M + 7.000%(9) | | (NR, NR) | | 02/08/21 | | 8.500 | | | 43,364 | |
| 40 | | | UTEX Industries, Inc., LIBOR 1M + 9.500%(9) | | (NR, NR) | | 12/03/25 | | 11.000 | | | 39,861 | |
| 455 | | | Vantage Specialty Chemicals, Inc., LIBOR 3M + 8.250%(6),(9) | | (CCC-, Caa3) | | 10/27/25 | | 9.250 | | | 424,121 | |
| 1,455 | | | Zep, Inc., LIBOR 3M + 4.000%(9) | | (CCC+, B3) | | 08/12/24 | | 5.000 | | | 1,443,390 | |
| | | | | | | | | | | | | 7,978,114 | |
Diversified Capital Goods (3.1%) | | | | | | | | | | |
| 1,604 | | | Callaway Golf Co., LIBOR 1M + 4.500%(9) | | (B+, B1) | | 01/02/26 | | 4.630 | | | 1,611,579 | |
| 916 | | | Douglas Dynamics Holdings, Inc., LIBOR 1M + 3.750%(9) | | (BB-, B2) | | 06/08/26 | | 4.750 | | | 923,940 | |
| 1,453 | | | Dynacast International LLC, LIBOR 3M + 3.250%(9) | | (CCC, Caa1) | | 01/28/22 | | 4.250 | | | 1,468,916 | |
| 485 | | | Element Materials Technology Group U.S. Holdings, Inc., LIBOR 3M + 3.500%(9) | | (B, B2) | | 06/28/24 | | 4.500 | | | 481,714 | |
| 945 | | | Filtration Group Corp., LIBOR 1M + 3.000%(9) | | (B, B3) | | 03/29/25 | | 3.121 | | | 937,069 | |
| 494 | | | Filtration Group Corp., LIBOR 1M + 3.750%(9) | | (B, B3) | | 03/29/25 | | 4.500 | | | 497,516 | |
| 902 | | | GrafTech Finance, Inc., LIBOR 1M + 3.500%(7),(9) | | (BB-, B1) | | 02/12/25 | | 4.500 | | | 904,220 | |
| 506 | | | Thermon Industries, Inc., LIBOR 1M + 3.750%(9) | | (B, B2) | | 10/30/24 | | 4.750 | | | 505,500 | |
| 1,859 | | | Vertiv Group Corp., LIBOR 1M + 3.000%(9) | | (B+, B1) | | 03/02/27 | | 3.144 | | | 1,864,694 | |
| | | | | | | | | | | | | 9,195,148 | |
Electronics (0.7%) | | | | | | | | | | |
| 500 | | | CPI International, Inc., LIBOR 1M + 7.250%(6),(7),(9) | | (CCC, Caa2) | | 07/26/25 | | 8.250 | | | 459,713 | |
| 1,211 | | | Oberthur Technologies SA, LIBOR 3M + 3.750%(9) | | (B-, B3) | | 01/10/24 | | 4.004 | | | 1,196,539 | |
| 394 | | | Triton Solar U.S. Acquisition Co., LIBOR 3M + 6.000%(6),(9) | | (B, B3) | | 10/29/24 | | 6.254 | | | 361,441 | |
| | | | | | | | | | | | | 2,017,693 | |
Energy - Exploration & Production (0.1%) | | | | | | | | | | |
| 371 | | | Lower Cadence Holdings LLC, LIBOR 1M + 4.000%(9) | | (B-, B2) | | 05/22/26 | | 4.121 | | | 363,469 | |
| 852 | | | PES Holdings LLC, PRIME + 1.500%(4),(9) | | (NR, NR) | | 12/31/22 | | 3.000 | | | 38,351 | |
| | | | | | | | | | | | | 401,820 | |
Food & Drug Retailers (0.0%) | | | | | | | | | | |
| 104 | | | WOOF Holdings, Inc., LIBOR 12M + 7.250%(9) | | (CCC, Caa2) | | 12/11/28 | | 8.000 | | | 106,042 | |
Food - Wholesale (0.8%) | | | | | | | | | | |
| 981 | | | AI Aqua Merger Sub, Inc., LIBOR 1M + 3.250%(7),(9) | | (B, B2) | | 12/13/23 | | 4.250 | | | 984,843 | |
| 522 | | | AI Aqua Merger Sub, Inc., LIBOR 3M + 4.250%(7),(9) | | (B, B2) | | 12/13/23 | | 5.250 | | | 523,786 | |
| 213 | | | U.S. Foods, Inc., LIBOR 1M + 2.000%(9) | | (BB-, B3) | | 09/13/26 | | 2.121 | | | 210,166 | |
| 702 | | | United Natural Foods, Inc., LIBOR 1M + 4.250%(9) | | (B, B2) | | 10/22/25 | | 4.371 | | | 704,907 | |
| | | | | | | | | | | | | 2,423,702 | |
Forestry & Paper (0.2%) | | | | | | | | | | |
| 652 | | | Asplundh Tree Expert LLC, LIBOR 1M + 2.500%(9) | | (BBB-, Ba1) | | 09/07/27 | | 2.621 | | | 654,813 | |
Gaming (1.3%) | | | | | | | | | | |
| 951 | | | CBAC Borrower LLC, LIBOR 1M + 4.000%(6),(9) | | (CCC+, Caa2) | | 07/08/24 | | 4.121 | | | 932,210 | |
| 1,937 | | | Gateway Casinos & Entertainment Ltd., LIBOR 3M + 3.500% Cash, 3.000% PIK(3),(9) | | (NR, NR) | | 12/01/23 | | 3.000 | | | 1,898,234 | |
| 332 | | | Golden Nugget, Inc., LIBOR 2M + 2.500%(9) | | (B, B2) | | 10/04/23 | | 3.250 | | | 326,096 | |
| 696 | | | Stars Group Holdings B.V. (The), LIBOR 3M + 3.500%(9) | | (BBB-, Ba1) | | 07/10/25 | | 3.754 | | | 699,088 | |
| | | | | | | | | | | | | 3,855,628 | |
Gas Distribution (0.5%) | | | | | | | | | | |
| 1,346 | | | Traverse Midstream Partners LLC, LIBOR 1M + 5.500%(9) | | (B, B3) | | 09/27/24 | | 6.500 | | | 1,328,235 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | Value | |
| | | | | | | | | | | | |
BANK LOANS (continued) | | | | | | | | | | |
Health Facilities (0.4%) | | | | | | | | | | |
$ | 160 | | | Western Dental Services, Inc., LIBOR 1M + 4.500%(7),(9) | | (CCC+, Caa1) | | 06/30/23 | | 5.500 | | $ | 156,743 | |
| 1,088 | | | Western Dental Services, Inc., LIBOR 1M + 5.250%(7),(9) | | (CCC+, Caa1) | | 06/30/23 | | 6.250 | | | 1,074,470 | |
| | | | | | | | | | | | | 1,231,213 | |
Health Services (4.7%) | | | | | | | | | | |
| 1,000 | | | Agiliti Health, Inc., LIBOR 1M + 2.750%(7),(9) | | (B+, B1) | | 01/04/26 | | 3.500 | | | 998,750 | |
| 2,006 | | | Athenahealth, Inc., LIBOR 1M + 4.500%(9) | | (B, B2) | | 02/11/26 | | 4.633 | | | 2,015,894 | |
| 250 | | | Athenahealth, Inc., LIBOR 3M + 4.250%(9) | | (B, B2) | | 02/11/26 | | 4.455 | | | 251,536 | |
| 1,475 | | | Auris Luxembourg III Sarl, LIBOR 1M + 3.750%(9) | | (B-, NR) | | 02/27/26 | | 3.871 | | | 1,447,948 | |
| 860 | | | Cambrex Corp., LIBOR 1M + 5.000%(9) | | (B, NR) | | 12/04/26 | | 4.250 | | | 865,896 | |
| 267 | | | Cano Health LLC(8),(10) | | (B-, B3) | | 11/19/27 | | 0.000 | | | 266,508 | |
| 733 | | | Cano Health LLC, LIBOR 3M + 4.750%(9) | | (B-, B3) | | 11/19/27 | | 5.500 | | | 730,992 | |
| 336 | | | Carestream Health, Inc., LIBOR 3M + 6.750%(9) | | (B-, B1) | | 05/08/23 | | 7.750 | | | 335,728 | |
| 1,717 | | | KUEHG Corp., LIBOR 3M + 3.750%(9) | | (CCC+, B3) | | 02/21/25 | | 4.750 | | | 1,667,926 | |
| 1,473 | | | Learning Care Group, Inc., LIBOR 3M + 3.250%(9) | | (CCC, B3) | | 03/13/25 | | 4.250 | | | 1,422,834 | |
| 1,500 | | | nThrive, Inc., LIBOR 3M + 3.750%(9) | | (B-, B2) | | 01/15/28 | | 4.500 | | | 1,505,160 | |
| 1,000 | | | PetVet Care Centers, LLC, LIBOR 1M + 4.250%(9) | | (B, B2) | | 02/14/25 | | 5.250 | | | 1,005,625 | |
| 1,426 | | | U.S. Radiology Specialists, Inc., LIBOR 3M + 5.500%(9) | | (B-, B3) | | 12/10/27 | | 6.250 | | | 1,438,251 | |
| | | | | | | | | | | | | 13,953,048 | |
Insurance Brokerage (0.8%) | | | | | | | | | | |
| 652 | | | Acrisure LLC, LIBOR 1M + 3.500%(9) | | (B, B2) | | 02/15/27 | | 3.621 | | | 650,158 | |
| 1,281 | | | NFP Corp., LIBOR 1M + 3.250%(9) | | (B, B1) | | 02/15/27 | | 3.371 | | | 1,274,244 | |
| 589 | | | Ryan Specialty Group LLC, LIBOR 1M + 3.250%(9) | | (B, B1) | | 09/01/27 | | 4.000 | | | 591,007 | |
| | | | | | | | | | | | | 2,515,409 | |
Investments & Misc. Financial Services (2.5%) | | | | | | | | | | |
| 1,238 | | | Advisor Group, Inc., LIBOR 1M + 5.000%(9) | | (B-, B2) | | 07/31/26 | | 5.121 | | | 1,240,161 | |
| 457 | | | Altisource Solutions Sarl, LIBOR 3M + 4.000%(6),(9) | | (B-, Caa1) | | 04/03/24 | | 5.000 | | | 393,268 | |
| 499 | | | AqGen Ascensus, Inc., LIBOR 3M + 4.000%(9) | | (B-, B2) | | 12/13/26 | | 5.000 | | | 501,709 | |
| 453 | | | Ditech Holding Corp., PRIME + 7.000%(4),(9) | | (NR, NR) | | 06/30/22 | | 11.250 | | | 146,536 | |
| 925 | | | Focus Financial Partners LLC, LIBOR 1M + 2.000%(9) | | (BB-, Ba3) | | 07/03/24 | | 2.121 | | | 923,433 | |
| 1,213 | | | Hudson River Trading LLC, LIBOR 1M + 3.000%(9) | | (BB-, Ba2) | | 02/18/27 | | 3.121 | | | 1,216,292 | |
| 623 | | | Jane Street Group LLC, LIBOR 1M + 2.750%(9) | | (BB-, Ba3) | | 01/21/27 | | 2.875 | | | 621,642 | |
| 406 | | | Kestra Advisor Services Holdings A, Inc., LIBOR 1M + 4.250%(7),(9) | | (B, B3) | | 06/03/26 | | 4.380 | | | 406,187 | |
| 611 | | | Liquidnet Holdings, Inc., LIBOR 3M + 3.250%(9) | | (BB-, Ba3) | | 07/15/24 | | 4.250 | | | 610,189 | |
| 1,402 | | | VFH Parent LLC, LIBOR 1M + 3.000%(9) | | (B+, Ba3) | | 03/01/26 | | 3.129 | | | 1,401,428 | |
| | | | | | | | | | | | | 7,460,845 | |
Machinery (1.1%) | | | | | | | | | | |
| 912 | | | Cohu, Inc., LIBOR 1M + 3.000%(9) | | (B-, B2) | | 10/01/25 | | 3.121 | | | 907,098 | |
| 288 | | | CPM Holdings, Inc., LIBOR 3M + 3.750%(9) | | (CCC+, B3) | | 11/17/25 | | 3.894 | | | 285,523 | |
| 247 | | | CPM Holdings, Inc., LIBOR 3M + 8.250%(6),(7),(9) | | (CCC, Caa3) | | 11/15/26 | | 8.394 | | | 244,655 | |
| 411 | | | LTI Holdings, Inc., LIBOR 1M + 6.750%(6),(9) | | (CCC+, Caa3) | | 09/06/26 | | 6.871 | | | 401,429 | |
| 968 | | | LTI Holdings, Inc., LIBOR 1M + 3.500%(9) | | (B-, B3) | | 09/06/25 | | 3.621 | | | 947,124 | |
| 501 | | | Penn Engineering & Manufacturing Corp., LIBOR 1M + 2.750%(7),(9) | | (B+, B1) | | 06/27/24 | | 3.750 | | | 501,316 | |
| | | | | | | | | | | | | 3,287,145 | |
Managed Care (1.0%) | | | | | | | | | | |
| 1,387 | | | Inovalon Holdings, Inc., LIBOR 1M + 3.000%(9) | | (B+, B2) | | 04/02/25 | | 3.188 | | | 1,391,881 | |
| 1,512 | | | MPH Acquisition Holdings LLC, LIBOR 3M + 2.750%(9) | | (B+, Ba3) | | 06/07/23 | | 3.750 | | | 1,512,132 | |
| | | | | | | | | | | | | 2,904,013 | |
Media - Diversified (0.5%) | | | | | | | | | | |
| 619 | | | Cast and Crew Payroll LLC, LIBOR 1M + 3.750%(9) | | (B, B3) | | 02/09/26 | | 3.871 | | | 612,484 | |
| 977 | | | Diamond Sports Group LLC, LIBOR 1M + 3.250%(9) | | (CCC+, Ba3) | | 08/24/26 | | 3.380 | | | 839,098 | |
| | | | | | | | | | | | | 1,451,582 | |
Media Content (0.2%) | | | | | | | | | | |
| 444 | | | RV Retailer, LLC, LIBOR 3M + 3.000%(7),(9) | | (B+, B2) | | 01/28/28 | | 4.750 | | | 443,333 | |
Medical Products (1.8%) | | | | | | | | | | |
| 1,048 | | | ABB Concise Optical Group LLC, LIBOR 3M + 5.000%(9) | | (CCC+, B3) | | 06/15/23 | | 6.000 | | | 997,617 | |
| 1,500 | | | CPI Holdco LLC, LIBOR 1M + 4.000%(9) | | (B, B2) | | 11/04/26 | | 4.121 | | | 1,504,688 | |
| 982 | | | CryoLife, Inc., LIBOR 3M + 3.250%(9) | | (B, B1) | | 12/01/24 | | 4.250 | | | 987,190 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | Value | |
| | | | | | | | | | | | |
BANK LOANS (continued) | | | | | | | | | | |
Medical Products | | | | | | | | | | |
$ | 1,900 | | | Sotera Health Holdings LLC, LIBOR 3M + 2.750%(9) | | (NR, B1) | | 12/11/26 | | 3.250 | | $ | 1,898,812 | |
| | | | | | | | | | | | | 5,388,307 | |
Metals & Mining - Excluding Steel (0.0%) | | | | | | | | | | |
| 200 | | | Noranda Aluminum Acquisition Corp., PRIME + 3.500%(4),(9) | | (NR, NR) | | 02/28/21 | | 7.750 | | | 1,101 | |
Non - Electric Utilities (0.0%) | | | | | | | | | | |
| 93 | | | BCP Raptor LLC, LIBOR 1M + 4.250%(9) | | (B-, B3) | | 06/24/24 | | 5.250 | | | 85,865 | |
Packaging (1.3%) | | | | | | | | | | |
| 978 | | | Charter NEX U.S., Inc., LIBOR 1M + 4.250%(9) | | (B, NR) | | 12/01/27 | | 5.000 | | | 985,932 | |
| 616 | | | Flex Acquisition Co., Inc., LIBOR 3M + 3.000%(9) | | (B, B2) | | 12/29/23 | | 4.000 | | | 617,196 | |
| 815 | | | Proampac PG Borrower LLC, LIBOR 3M + 4.000%(9) | | (B-, B2) | | 11/03/25 | | 5.000 | | | 819,433 | |
| 731 | | | Strategic Materials, Inc., LIBOR 3M + 3.750%(6),(9) | | (CCC, Caa3) | | 11/01/24 | | 4.750 | | | 654,384 | |
| 645 | | | Strategic Materials, Inc., LIBOR 3M + 7.750%(6),(7),(9) | | (CC, C) | | 10/31/25 | | 8.750 | | | 316,050 | |
| 445 | | | TricorBraun Holdings, Inc., LIBOR 1M + 3.750%(9) | | (B-, B2) | | 11/30/23 | | 4.750 | | | 444,799 | |
| | | | | | | | | | | | | 3,837,794 | |
Personal & Household Products (1.0%) | | | | | | | | | | |
| 1,000 | | | ABG Intermediate Holdings 2 LLC, LIBOR 1M + 3.250%(9) | | (B, B2) | | 09/27/24 | | 4.500 | | | 1,002,660 | |
| 979 | | | Serta Simmons Bedding LLC, LIBOR 1M + 7.500%(9) | | (B, Caa2) | | 08/10/23 | | 8.500 | | | 908,028 | |
| 922 | | | Weber-Stephen Products LLC, LIBOR 1M + 3.250%(9) | | (B, B1) | | 10/30/27 | | 4.000 | | | 926,764 | |
| | | | | | | | | | | | | 2,837,452 | |
Pharmaceuticals (0.9%) | | | | | | | | | | |
| 438 | | | Akorn, Inc., LIBOR 3M + 7.500%(9) | | (CCC+, Caa2) | | 10/01/25 | | 8.500 | | | 440,301 | |
| 500 | | | Bausch Health Companies, Inc.(10) | | (BB, Ba2) | | 11/27/25 | | 2.871 | | | 500,040 | |
| 862 | | | Endo Luxembourg Finance Co. I Sarl, LIBOR 3M + 4.250%(9) | | (B+, B2) | | 04/29/24 | | 5.000 | | | 857,299 | |
| 884 | | | Syneos Health, Inc., LIBOR 1M + 1.500%(9) | | (BB, Ba2) | | 08/01/24 | | 1.621 | | | 880,156 | |
| | | | | | | | | | | | | 2,677,796 | |
Real Estate Development & Management (0.7%) | | | | | | | | | | |
| 1,224 | | | Cushman & Wakefield U.S. Borrower LLC, LIBOR 1M + 2.750%(9) | | (BB-, Ba3) | | 08/21/25 | | 2.871 | | | 1,221,998 | |
| 1,008 | | | Forest City Enterprises LP, LIBOR 1M + 3.500%(9) | | (B+, B2) | | 12/08/25 | | 3.621 | | | 989,122 | |
| | | | | | | | | | | | | 2,211,120 | |
Real Estate Investment Trusts (0.5%) | | | | | | | | | | |
| 718 | | | Blackstone Mortgage Trust, Inc., LIBOR 1M + 4.750%(9) | | (B+, Ba2) | | 04/23/26 | | 5.750 | | | 728,447 | |
| 748 | | | Claros Mortgage Trust, Inc., LIBOR 1M + 5.000%(7),(9) | | (B+, Ba3) | | 08/09/26 | | 6.000 | | | 748,106 | |
| | | | | | | | | | | | | 1,476,553 | |
Recreation & Travel (1.6%) | | | | | | | | | | |
| 250 | | | Bulldog Purchaser, Inc., LIBOR 1M + 7.750%(9) | | (CCC-, Caa3) | | 09/04/26 | | 7.871 | | | 225,729 | |
| 1,963 | | | Bulldog Purchaser, Inc., LIBOR 1M + 3.750%(9) | | (B-, B3) | | 09/05/25 | | 3.871 | | | 1,822,448 | |
| 198 | | | Crown Finance U.S., Inc., LIBOR 6M + 2.500%(8),(9) | | (CCC, Caa2) | | 02/28/25 | | 0.000 | | | 156,917 | |
| 491 | | | Crown Finance U.S., Inc., LIBOR 6M + 2.750%(9) | | (CCC, Caa2) | | 09/30/26 | | 3.750 | | | 386,958 | |
| 87 | | | Crown Finance U.S., Inc., LIBOR 3M +7.000%(9) | | (B-, B3) | | 05/23/24 | | 15.250 | | | 108,093 | |
| 874 | | | Hornblower Sub LLC, LIBOR 3M + 4.500%(9) | | (CCC-, Caa2) | | 04/27/25 | | 5.750 | | | 767,563 | |
| 1,134 | | | Hornblower Sub LLC, LIBOR 3M + 8.125%(9) | | (NR, NR) | | 11/10/25 | | 9.125 | | | 1,220,490 | |
| | | | | | | | | | | | | 4,688,198 | |
Restaurants (1.8%) | | | | | | | | | | |
| 1,754 | | | Flynn Restaurant Group LP, LIBOR 1M + 3.500%(9) | | (B-, B2) | | 06/27/25 | | 3.621 | | | 1,743,170 | |
| 500 | | | IRB Holding Corp., LIBOR 3M + 3.250%(9) | | (B, B2) | | 12/15/27 | | 4.250 | | | 502,455 | |
| 1,227 | | | IRB Holding Corp., LIBOR 6M + 2.750%(9) | | (B, B2) | | 02/05/25 | | 3.750 | | | 1,227,292 | |
| 489 | | | K-Mac Holdings Corp., LIBOR 1M + 3.000%(9) | | (B-, B2) | | 03/14/25 | | 3.147 | | | 489,575 | |
| 291 | | | K-Mac Holdings Corp., LIBOR 1M + 6.750%(6),(9) | | (CCC, Caa2) | | 03/16/26 | | 6.897 | | | 290,017 | |
| 483 | | | Miller's Ale House, Inc., LIBOR 1M + 4.750%(6),(9) | | (CCC, Caa1) | | 05/30/25 | | 4.877 – 7.000 | | | 461,102 | |
| 737 | | | Tacala LLC, LIBOR 1M + 3.750%(9) | | (B-, B2) | | 02/05/27 | | 4.500 | | | 739,045 | |
| | | | | | | | | | | | | 5,452,656 | |
Software - Services (7.8%) | | | | | | | | | | |
| 1,247 | | | Applied Systems, Inc., LIBOR 3M + 3.000%(9) | | (B-, B2) | | 09/19/24 | | 4.000 | | | 1,250,395 | |
| 744 | | | Aston FinCo Sarl, LIBOR 3M + 4.250%(9) | | (B-, B2) | | 10/09/26 | | 4.403 | | | 741,003 | |
| 997 | | | DCert Buyer, Inc., LIBOR 1M + 4.000%(9) | | (B-, B2) | | 10/16/26 | | 4.121 | | | 1,001,228 | |
| 890 | | | Emerald TopCo, Inc., LIBOR 1M + 3.500%(9) | | (B, B2) | | 07/24/26 | | 3.628 – 3.711 | | | 891,290 | |
| 600 | | | Epicor Software Corp., LIBOR 1M + 7.750%(9) | | (CCC, Caa2) | | 07/31/28 | | 8.750 | | | 628,200 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | Value | |
| | | | | | | | | | | | |
BANK LOANS (continued) | | | | | | | | | | |
Software - Services | | | | | | | | | | |
$ | 1,696 | | | Epicor Software Corp., LIBOR 1M + 3.250%(9) | | (B-, B2) | | 07/30/27 | | 5.250 | | $ | 1,706,786 | |
| 1,977 | | | Finastra U.S.A., Inc., LIBOR 6M + 3.500%(9) | | (CCC+, B2) | | 06/13/24 | | 4.500 | | | 1,946,247 | |
| 500 | | | Finastra U.S.A., Inc., LIBOR 3M + 7.250%(9) | | (CCC-, Caa2) | | 06/13/25 | | 8.250 | | | 501,980 | |
| 648 | | | Flexera Software LLC, LIBOR 2M + 3.250%(9) | | (B-, B1) | | 02/26/25 | | 4.250 | | | 651,342 | |
| 1,000 | | | Flexera Software LLC(10) | | (B-, B1) | | 01/26/28 | | 4.500 | | | 1,006,880 | |
| 1,243 | | | Huskies Parent, Inc., LIBOR 1M + 4.000%(9) | | (B-, B2) | | 07/31/26 | | 4.121 | | | 1,248,713 | |
| 1,095 | | | Hyland Software, Inc., LIBOR 1M + 7.000%(9) | | (CCC, Caa1) | | 07/07/25 | | 7.750 | | | 1,111,141 | |
| 980 | | | Hyland Software, Inc., LIBOR 1M + 3.500%(9) | | (B-, B1) | | 07/01/24 | | 4.250 | | | 985,304 | |
| 199 | | | MA FinanceCo. LLC, LIBOR 1M + 2.750%(9) | | (BB-, B1) | | 06/21/24 | | 2.871 | | | 198,056 | |
| 508 | | | MA FinanceCo., LLC, LIBOR 3M + 4.250%(9) | | (BB-, B1) | | 06/05/25 | | 5.250 | | | 515,922 | |
| 161 | | | Navicure, Inc., LIBOR 1M + 4.000%(9) | | (B-, B2) | | 10/22/26 | | 4.121 | | | 161,693 | |
| 379 | | | Newport Group, Inc., LIBOR 3M + 3.500%(9) | | (B, B2) | | 09/13/25 | | 3.754 | | | 379,328 | |
| 2,492 | | | Project Alpha Intermediate Holding, Inc., LIBOR 3M + 3.500%(9) | | (B, B3) | | 04/26/24 | | 4.500 | | | 2,500,829 | |
| 1,105 | | | Project Boost Purchaser LLC, LIBOR 1M + 3.500%(9) | | (B-, B2) | | 06/01/26 | | 3.621 | | | 1,104,934 | |
| 684 | | | Project Ruby Ultimate Parent Corp., LIBOR 1M + 3.500%(9) | | (B, B2) | | 02/09/24 | | 4.500 | | | 682,680 | |
| 307 | | | S2P Acquisition Borrower, Inc., LIBOR 1M + 4.000%(9) | | (B-, B2) | | 08/14/26 | | 4.121 | | | 307,406 | |
| 1,344 | | | Seattle Spinco, Inc., LIBOR 1M + 2.750%(9) | | (BB-, B1) | | 06/21/24 | | 2.871 | | | 1,337,544 | |
| 1,926 | | | The Ultimate Software Group, Inc., LIBOR 1M + 3.750%(9) | | (B-, B1) | | 05/04/26 | | 3.871 | | | 1,934,681 | |
| 420 | | | VS Buyer LLC, LIBOR 1M + 3.250%(9) | | (B-, B1) | | 02/28/27 | | 3.371 | | | 420,928 | |
| | | | | | | | | | | | | 23,214,510 | |
Specialty Retail (0.7%) | | | | | | | | | | |
| 1,357 | | | EG America LLC, LIBOR 3M + 4.000%(9) | | (B-, B3) | | 02/07/25 | | 4.254 | | | 1,357,117 | |
| 792 | | | Mister Car Wash Holdings, Inc., LIBOR 1M + 3.250%(9) | | (CCC+, B2) | | 05/14/26 | | 3.380 | | | 780,051 | |
| | | | | | | | | | | | | 2,137,168 | |
Steel Producers/Products (0.8%) | | | | | | | | | | |
| 1,090 | | | Atkore International, Inc., LIBOR 3M + 2.750%(9) | | (BB-, Ba3) | | 12/22/23 | | 3.750 | | | 1,094,963 | |
| 1,213 | | | Zekelman Industries, Inc., LIBOR 1M + 2.000%(9) | | (BB, Ba3) | | 01/24/27 | | 2.129 | | | 1,213,923 | |
| | | | | | | | | | | | | 2,308,886 | |
Support - Services (2.3%) | | | | | | | | | | |
| 990 | | | Allied Universal Holdco LLC, LIBOR 1M + 4.250%(9) | | (B-, B3) | | 07/10/26 | | 4.371 | | | 991,777 | |
| 661 | | | Long Term Care Group, Inc., LIBOR 1M + 5.250%(7),(9) | | (B, B3) | | 12/06/22 | | 6.250 | | | 660,923 | |
| 703 | | | Pike Corp., LIBOR 1M + 3.970%(9) | | (B, Ba3) | | 07/24/26 | | 4.091 | | | 705,568 | |
| 432 | | | Pike Corp.(8),(10) | | (B, Ba3) | | 01/15/28 | | 0.000 | | | 432,765 | |
| 568 | | | Pike Corp., LIBOR 1M + 3.000%(9) | | (B, Ba3) | | 01/21/28 | | 3.130 | | | 570,150 | |
| 1,000 | | | Pods LLC, LIBOR 1M + 2.750%(9) | | (B+, B2) | | 12/06/24 | | 3.750 | | | 1,005,630 | |
| 967 | | | SAI Global Holdings II (Australia) Pty. Ltd., LIBOR 1M + 4.500%(6),(9) | | (CCC, Caa1) | | 12/20/23 | | 5.500 | | | 897,988 | |
| 662 | | | St. George's University Scholastic Services, LIBOR 1M + 3.250%(9) | | (B+, B2) | | 07/17/25 | | 3.380 | | | 661,123 | |
| 327 | | | USS Ultimate Holdings, Inc., LIBOR 1M + 7.750%(6),(9) | | (CCC, Caa1) | | 08/25/25 | | 8.750 | | | 328,228 | |
| 443 | | | Virtusa Corp.(10) | | (B+, NR) | | 12/09/27 | | 5.000 | | | 447,065 | |
| | | | | | | | | | | | | 6,701,217 | |
Tech Hardware & Equipment (0.2%) | | | | | | | | | | |
| 593 | | | CommScope, Inc., LIBOR 1M + 3.250%(9) | | (B, Ba3) | | 04/06/26 | | 3.371 | | | 593,158 | |
Telecom - Wireline Integrated & Services (2.5%) | | | | | | | | | | |
| 484 | | | Altice Financing S.A., LIBOR 1M + 2.750%(9) | | (B, B2) | | 01/31/26 | | 2.871 | | | 479,670 | |
| 492 | | | Altice France S.A., LIBOR 1M + 4.000%(9) | | (B, B2) | | 08/14/26 | | 4.127 | | | 493,401 | |
| 1,477 | | | Altice France S.A., LIBOR 1M + 3.688%(9) | | (B, B2) | | 01/31/26 | | 3.814 | | | 1,474,533 | |
| 1,163 | | | CenturyLink, Inc., LIBOR 1M + 2.250%(9) | | (BBB-, Ba3) | | 03/15/27 | | 2.371 | | | 1,161,776 | |
| 1,000 | | | Eagle Broadband Investments LLC, LIBOR 3M + 3.000%(9) | | (B+, NR) | | 11/12/27 | | 3.750 | | | 1,006,670 | |
| 641 | | | GTT Communications, Inc., LIBOR 3M + 2.750%(9) | | (CCC, NR) | | 05/31/25 | | 3.000 | | | 513,769 | |
| 217 | | | GTT Communications, Inc.(8),(10),(11) | | (B-, NR) | | 12/31/21 | | 0.000 | | | 215,890 | |
| 124 | | | GTT Communications, Inc., LIBOR 1M + 6.000%(9) | | (B-, NR) | | 12/31/21 | | 8.500 | | | 123,365 | |
| 1,114 | | | MTN Infrastructure TopCo, Inc., LIBOR 1M + 3.000%(9) | | (B, B2) | | 11/15/24 | | 4.000 | | | 1,115,952 | |
| 455 | | | TVC Albany, Inc., LIBOR 1M + 3.500%(9) | | (B-, B2) | | 07/23/25 | | 3.620 | | | 454,150 | |
| 438 | | | TVC Albany, Inc., LIBOR 1M + 7.500%(6),(9) | | (CCC, Caa2) | | 07/23/26 | | 7.620 | | | 399,219 | |
| | | | | | | | | | | | | 7,438,395 | |
Theaters & Entertainment (2.1%) | | | | | | | | | | |
| 1 | | | AMC Entertainment Holdings, Inc., PRIME + 2.000%(9) | | (NR, NR) | | 04/22/26 | | 5.250 | | | 1,047 | |
| 1,704 | | | Metro-Goldwyn-Mayer, Inc., LIBOR 1M + 4.500%(9) | | (CCC+, B3) | | 07/03/26 | | 5.500 | | | 1,710,625 | |
| 295 | | | Technicolor S.A., LIBOR 3M + 6.000% Cash, 6.000% PIK(3),(9) | | (B, Caa1) | | 06/30/24 | | 12.235 | | | 324,672 | |
| 944 | | | Technicolor S.A., LIBOR 6M + 6.000% Cash, 6.000% PIK(3),(9) | | (B, Caa1) | | 06/30/24 | | 12.235 | | | 1,039,986 | |
| 874 | | | Technicolor S.A., LIBOR 3M + 2.750% Cash, 3.000% PIK(3),(9) | | (CCC, Ca) | | 12/31/24 | | 6.025 | | | 772,094 | |
| 169 | | | TopGolf International, Inc., LIBOR 3M + 6.250%(7),(9) | | (CCC+, Caa1) | | 02/08/26 | | 7.000 | | | 173,347 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | Value | |
| | | | | | | | | | | | |
BANK LOANS (continued) | | | | | | | | | | |
Theaters & Entertainment | | | | | | | | | | |
$ | 2,461 | | | William Morris Endeavor Entertainment LLC, LIBOR 1M + 2.750%(9) | | (CCC+, B3) | | 05/18/25 | | 2.880 | | $ | 2,304,034 | |
| | | | | | | | | | | | | 6,325,805 | |
Trucking & Delivery (0.3%) | | | | | | | | | | |
| 974 | | | Transplace Holdings, Inc., LIBOR 3M + 3.750%(6),(9) | | (B-, B1) | | 10/07/24 | | 4.750 | | | 979,694 | |
TOTAL BANK LOANS (Cost $152,938,893) | | | | | | | | | 151,368,648 | |
| | | | | | | | | | | | | | |
ASSET BACKED SECURITIES (5.4%) | | | | | | | | | | |
Collateralized Debt Obligations (5.4%) | | | | | | | | | | |
| 1,000 | | | Battalion CLO XV Ltd., 2020-15A, Rule 144A, LIBOR 3M + 6.350% (1),(9) | | (BB-, NR) | | 01/17/33 | | 6.573 | | | 1,001,893 | |
| 750 | | | BlueMountain Fuji U.S. CLO III Ltd., 2017-3A, Rule 144A, LIBOR 3M + 5.200% (1),(9) | | (BB-, NR) | | 01/15/30 | | 5.441 | | | 713,991 | |
| 750 | | | Carlyle Global Market Strategies CLO Ltd., 2014-3RA, Rule 144A, LIBOR 3M + 5.400% (1),(9) | | (B+, NR) | | 07/27/31 | | 5.613 | | | 701,436 | |
| 500 | | | Carlyle Global Market Strategies CLO Ltd., 2015-2A, Rule 144A, LIBOR 3M + 6.150% (1),(6),(9) | | (NR, B3) | | 04/27/27 | | 6.363 | | | 481,969 | |
| 500 | | | Carlyle U.S. CLO Ltd., 2017-2A, Rule 144A (1),(6),(8),(10) | | (NR, NR) | | 07/20/31 | | 0.000 | | | 248,998 | |
| 750 | | | CIFC Funding Ltd., 2014-1A, Rule 144A, LIBOR 3M + 5.850% (1),(9) | | (B+, NR) | | 01/18/31 | | 6.073 | | | 736,547 | |
| 750 | | | Goldentree Loan Opportunities XI Ltd., 2015-11A, Rule 144A, LIBOR 3M + 5.400% (1),(9) | | (NR, Ba3) | | 01/18/31 | | 5.623 | | | 732,666 | |
| 750 | | | Greywolf CLO II Ltd., 2013-1A, Rule 144A, LIBOR 3M + 6.350% (1),(9) | | (B+, NR) | | 10/15/29 | | 6.591 | | | 737,630 | |
| 750 | | | Greywolf CLO V Ltd., 2015-1A, Rule 144A, LIBOR 3M + 5.850% (1),(9) | | (B+, NR) | | 01/27/31 | | 6.068 | | | 725,517 | |
| 500 | | | Halcyon Loan Advisors Funding Ltd., 2015-2A, Rule 144A (1),(6),(8),(10) | | (NR, NR) | | 07/25/27 | | 0.000 | | | 15,000 | |
| 750 | | | KKR CLO Ltd., 16, Rule 144A, LIBOR 3M + 6.750% (1),(9) | | (NR, Ba3) | | 01/20/29 | | 6.974 | | | 741,771 | |
| 500 | | | KKR CLO Ltd., 20, Rule 144A, LIBOR 3M + 5.500% (1),(9) | | (NR, Ba3) | | 10/16/30 | | 5.723 | | | 478,467 | |
| 750 | | | KKR Financial CLO Ltd., 2013-1A, Rule 144A, LIBOR 3M + 6.080% (1),(9) | | (NR, Ba3) | | 04/15/29 | | 6.321 | | | 710,722 | |
| 1,000 | | | Oaktree CLO Ltd., 2019-4A, Rule 144A, LIBOR 3M + 7.230% (1),(9) | | (BB-, NR) | | 10/20/32 | | 7.454 | | | 984,498 | |
| 750 | | | Octagon Investment Partners 31 LLC, 2017-1A, Rule 144A, LIBOR 3M + 6.300% (1),(9) | | (NR, Ba3) | | 07/20/30 | | 6.524 | | | 736,672 | |
| 500 | | | Shackleton CLO Ltd., 2014-6RA, Rule 144A, LIBOR 3M + 2.970% (1),(9) | | (NR, Baa3) | | 07/17/28 | | 3.193 | | | 492,987 | |
| 750 | | | Symphony Credit Opportunities Fund Ltd., 2015-2A, Rule 144A, LIBOR 3M + 3.060% (1),(9) | | (NR, Baa3) | | 07/15/28 | | 3.301 | | | 750,919 | |
| 1,000 | | | TICP CLO XIII Ltd., 2019-13A, Rule 144A, LIBOR 3M + 6.750% (1),(9) | | (NR, Ba3) | | 07/15/32 | | 6.991 | | | 1,000,815 | |
| 500 | | | Venture CLO Ltd., 2018-35A, Rule 144A, LIBOR 3M + 3.500% (1),(9) | | (NR, Ba1) | | 10/22/31 | | 3.722 | | | 494,460 | |
| 750 | | | Venture XXIV CLO Ltd., 2016 24A, Rule 144A, LIBOR 3M + 3.900% (1),(9) | | (NR, A3) | | 10/20/28 | | 4.124 | | | 751,826 | |
| 500 | | | Venture XXVIII CLO Ltd., 2017-28A, Rule 144A, LIBOR 3M + 6.150% (1),(9) | | (NR, Ba3) | | 07/20/30 | | 6.374 | | | 462,272 | |
| 500 | | | Vibrant CLO V Ltd., 2016-5A, Rule 144A, LIBOR 3M + 7.000% (1),(9) | | (NR, B1) | | 01/20/29 | | 7.224 | | | 477,937 | |
| 750 | | | Vibrant CLO VI Ltd., 2017-6A, Rule 144A, LIBOR 3M + 5.750% (1),(9) | | (NR, B1) | | 06/20/29 | | 5.989 | | | 696,253 | |
| 500 | | | Voya CLO Ltd., 2014-4A, Rule 144A, LIBOR 3M + 3.350% (1),(9) | | (BBB-, NR) | | 07/14/31 | | 3.584 | | | 484,679 | |
| 750 | | | Wind River CLO Ltd., 2015-2A, Rule 144A, LIBOR 3M + 5.550% (1),(9) | | (NR, Ba3) | | 10/15/27 | | 5.791 | | | 707,597 | |
TOTAL ASSET BACKED SECURITIES (Cost $17,120,940) | | | | | | | | | 16,067,522 | |
| Number of Shares | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
COMMON STOCKS (1.8%) | | | | | | | | | | |
Auto Parts & Equipment (0.1%) | | | | | | | | | | |
| 11,414 | | | Jason Group, Inc.(12) | | | | | | | | | 68,485 | |
| 23,014 | | | Remainco LLC(5),(7),(12) | | | | | | | | | 174,216 | |
| | | | | | | | | | | | | 242,701 | |
Building & Construction (0.0%) | | | | | | | | | | |
| 2 | | | White Forest Resources, Inc.(5),(7),(12) | | | | | | | | | — | |
Building Materials (0.2%) | | | | | | | | | | |
| 60,000 | | | Cornerstone Building Brands, Inc.(12) | | | | | | | | | 682,800 | |
Chemicals (0.1%) | | | | | | | | | | |
| 1,512 | | | Project Investor Holdings LLC(5),(6),(7),(12) | | | | | | | | | 15 | |
| 25,202 | | | Proppants Holdings LLC(5),(6),(7),(12) | | | | | | | | | 1,260 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
Number of Shares | | | | | Value | |
| | | | | | |
COMMON STOCKS (continued) | | | | |
Chemicals | | | | |
| 6,341 | | | UTEX Industries, Inc.(12) | | $ | 198,683 | |
| | | | | | | 199,958 | |
Energy - Exploration & Production (0.0%) | | | | |
| 37,190 | | | PES Energy, Inc.(5),(6),(7),(12) | | | 372 | |
Investments & Misc. Financial Services (0.6%) | | | | |
| 30,000 | | | Gores Metropoulos II, Inc.(12) | | | 325,500 | |
| 100,000 | | | Mason Industrial Technology, Inc(12) | | | 1,007,000 | |
| 40,000 | | | Northern Star Investment Corp. II(12) | | | 427,200 | |
| | | | | | | 1,759,700 | |
Metals & Mining - Excluding Steel (0.4%) | | | | |
| 1,100,000 | | | Taseko Mines Ltd.(12) | | | 1,334,690 | |
Oil Field Equipment & Services (0.0%) | | | | |
| 3,529 | | | Pioneer Energy Services Corp.(5),(7),(12) | | | 3,635 | |
Pharmaceuticals (0.1%) | | | | |
| 37,299 | | | Akorn Holding Company LLC(12) | | | 487,983 | |
Private Placement (0.2%) | | | | |
| 279,199 | | | Technicolor S.A. EUR 27.0(13) | | | 601,162 | |
Recreation & Travel (0.1%) | | | | |
| 29,277 | | | Cineworld Group(12) | | | 10,452 | |
| 5,000 | | | Six Flags Entertainment Corp.(12) | | | 171,000 | |
| | | | | | | 181,452 | |
Support - Services (0.0%) | | | | |
| 87 | | | Sprint Industrial Holdings LLC, Class G(5),(6),(7),(12) | | | — | |
| 8 | | | Sprint Industrial Holdings LLC, Class H(5),(6),(7),(12) | | | — | |
| 19 | | | Sprint Industrial Holdings LLC, Class I(5),(6),(7),(12) | | | — | |
| | | | | | | 0 | |
TOTAL COMMON STOCKS (Cost $5,593,023) | | | 5,494,453 | |
| | | | | | | | |
WARRANT (0.0%) | | | | |
Chemicals (0.0%) | | | | |
| 6,300 | | | Project Investor Holdings LLC, expires 02/20/2022(5),(6),(7),(12) (Cost $3,276) | | | — | |
| | | | | | | | |
SHORT-TERM INVESTMENTS (0.2%) | | | | |
| 523,930 | | | State Street Navigator Securities Lending Government Money Market Portfolio 0.06%(14) (Cost $523,930) | | | 523,930 | |
| | | | | | | | |
TOTAL INVESTMENTS AT VALUE (96.2%) (Cost $288,343,939) | | | 286,914,743 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES (3.8%) | | | 11,305,549 | |
NET ASSETS (100.0%) | | $ | 298,220,292 | |
† | 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, 2021, these securities amounted to a value of $115,078,777 or 38.6% of net assets. |
(2) | Security or portion thereof is out on loan. |
(3) | PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal. |
(4) | Bond is currently in default. |
(5) | 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. |
(6) | Illiquid security (unaudited). |
(7) | Security is valued using significant unobservable inputs. |
(8) | Zero coupon security. |
(9) | Variable rate obligation - The interest rate shown is the rate in effect as of January 31, 2021. |
(10) | 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, 2021. |
(11) | Unfunded loan commitment. |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2021 (unaudited)
(12) | Non-income producing security. |
(13) | Security is held through holdings of 100 shares of the CIG Special Purpose SPC — Credit Suisse Strategic Income Fund Segregated Portfolio, an affiliated entity. |
(14) | Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at January 31, 2021. |
INVESTMENT ABBREVIATIONS
1M = 1 Month
2M = 2 Month
3M = 3 Month
6M = 6 Month
12M = 12 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 | | 1,831,500 | | USD | | 1,411,602 | | 10/13/21 | | Deutsche Bank AG | | $ | 1,411,602 | | | $ | 1,433,916 | | | $ | 22,314 | |
USD | | 2,698,933 | | CAD | | 3,509,000 | | 10/13/21 | | Deutsche Bank AG | | | (2,698,933 | ) | | | (2,747,261 | ) | | | (48,328 | ) |
USD | | 56,241 | | CAD | | 71,500 | | 10/13/21 | | Morgan Stanley | | | (56,241 | ) | | | (55,978 | ) | | | 263 | |
USD | | 14,504 | | GBP | | 10,745 | | 10/13/21 | | Deutsche Bank AG | | | (14,504 | ) | | | (14,775 | ) | | | (271 | ) |
USD | | 1,663 | | GBP | | 1,215 | | 10/13/21 | | Barclays Bank PLC | | | (1,663 | ) | | | (1,670 | ) | | | (7 | ) |
| | | | | | | | | | | | | | | | | | | | $ | (26,029 | ) |
Currency Abbreviations:
CAD = Canadian Dollar
USD = United States Dollar
SECURITY VALUATION — The Board of Trustees (the "Board") is responsible for the Portfolio’s valuation process. The Board has delegated the supervision of the daily valuation process to Credit Suisse, 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 Portfolio’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 the Fund calculates its net asset value, these securities will be fair valued in good faith by the Pricing Committee, in accordance with procedures adopted by the Board.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
Generally accepted accounting principles in the United States of America (“GAAP”) established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at each measurement date. These inputs are summarized in the three broad levels listed below:
| · | Level 1—quoted prices in active markets for identical investments |
| · | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| · | Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of January 31, 2021 in valuing the Fund’s assets and liabilities carried at fair value:
Assets | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Corporate Bonds | | $ | — | | | $ | 113,271,480 | | | $ | 188,710 | | | $ | 113,460,190 | |
Bank Loans | | | — | | | | 139,853,523 | | | | 11,515,125 | | | | 151,368,648 | |
Asset Backed Securities | | | — | | | | 16,067,522 | | | | — | | | | 16,067,522 | |
Common Stocks | | | 2,941,190 | | | | 2,373,765 | | | | 179,498 | | | | 5,494,453 | |
Warrants | | | — | | | | — | | | | 0 | (1) | | | 0 | (1) |
Short-term Investment | | | — | | | | 523,930 | | | | — | | | | 523,930 | |
| | $ | 2,941,190 | | | $ | 272,090,220 | | | $ | 11,883,333 | | | $ | 286,914,743 | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 22,577 | | | $ | — | | | $ | 22,577 | |
| | | | | | | | | | | | | | | | |
Liabilities | | | Level 1 | | | | Level 2 | | | | Level 3 | | | | Total | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 48,606 | | | $ | — | | | $ | 48,606 | |
* | Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts. |
(1) | Includes zero valued securities. |
The following is a reconciliation of investments as of January 31, 2021 for which significant unobservable inputs were used in determining fair value.
| | Corporate Bonds | | | Bank Loans | | | Common Stocks | | | Warrants | | | Total | |
Balance as of October 31, 2020 | | $ | 146,871 | | | $ | 12,986,029 | | | $ | 313,201 | | | $ | 0 | (1) | | $ | 13,446,101 | |
Accrued discounts (premiums) | | | 706 | | | | 6,945 | | | | — | | | | — | | | | 7,651 | |
Purchases | | | 7,309 | | | | 2,841,638 | | | | — | | | | — | | | | 2,848,947 | |
Sales | | | (6,662 | ) | | | (225,452 | ) | | | (51,682 | ) | | | — | | | | (283,796 | ) |
Realized gain (loss) | | | 424 | | | | 317 | | | | 41,662 | | | | — | | | | 42,403 | |
Change in unrealized appreciation (depreciation) | | | 40,062 | | | | 444,770 | | | | (55,570 | ) | | | — | | | | 429,262 | |
Transfers into Level 3 | | | — | | | | 2,418,379 | | | | 372 | | | | — | | | | 2,418,751 | |
Transfers out of Level 3 | | | — | | | | (6,957,501 | ) | | | (68,485 | ) | | | — | | | | (7,025,986 | ) |
Balance as of January 31, 2021 | | $ | 188,710 | | | $ | 11,515,125 | | | $ | 179,498 | | | $ | 0 | (1) | | $ | 11,883,333 | |
| | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) from investments still held as of January 31, 2021 | | $ | 40,062 | | | $ | 284,426 | | | $ | (66,983 | ) | | $ | — | | | $ | 257,505 | |
(1) Includes zero valued securities.
Quantitative Disclosure About Significant Unobservable Inputs
| | Fair Value | | | Valuation | | Unobservable | | Range | |
Asset Class | | At 01/31/2021 | | | Technique | | Input | | (Weighted Average)* | |
Corporate Bonds | | $ | 38,259 | | | Income Approach | | Expected Remaining Distribution | | | $0.01 - $0.87 ($0.86) | |
| | $ | 142,014 | | | Market Approach | | EBITDA Multiples | | | 6.2 (N/A) | |
| | $ | 8,437 | | | Vendor Pricing | | Single Broker Quote | | | $0.01 (N/A) | |
Bank Loans | | $ | 11,515,125 | | | Vendor Pricing | | Single Broker Quote | | | $0.49 - $1.02 ($0.98) | |
Common Stocks | | $ | 175,863 | | | Income Approach | | Expected Remaining Distribution | | | $0.00 - $7.57 ($7.50) | |
| | $ | 3,635 | | | Market Approach | | EBITDA Multiples | | | 6.2 (N/A) | |
Warrants | | $ | 0 | | | Income Approach | | Expected Remaining Distribution | | | $0.00 (N/A) | |
* Weighted by relative fair value
Each fair value determination is based on a consideration of relevant factors, including both observable and unobservable inputs. Observable and unobservable inputs that Credit Suisse considers may include (i) the existence of any contractual restrictions on the disposition of securities; (ii) information obtained from the company, which may include an analysis of the company's financial statements, the company's products or intended markets or the company's technologies; (iii) the price of the same or similar security negotiated at arm's length in an issuer's completed subsequent round of financing; (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies; or (v) a probability and time value adjusted analysis of contractual term. Where available and appropriate, multiple valuation methodologies are applied to confirm fair value. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, determining fair value requires more judgment. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the investments existed. Accordingly, the degree of judgment exercised by the Fund in determining fair value is greatest for investments categorized in Level 3. In some circumstances, the inputs used to measure fair value might be categorized within different levels of the fair value hierarchy. In those instances, the fair value measurement is categorized in its entirety in the fair value hierarchy based on the least observable input that is significant to the fair value measurement. Additionally, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different from the valuations used at the date of these financial statements.
For the During the period ended January 31, 2021, $2,418,751 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $7,025,986 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.