Credit Suisse Managed Futures Strategy Fund
Consolidated Schedule of Investments
January 31, 2022 (unaudited)
Par (000) | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | |
UNITED STATES TREASURY OBLIGATIONS (53.5%) | | | | | | | | | | |
$ | 82,900 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 03/10/22 | | | 0.039 | | | $ | 82,897,636 | |
| 5,000 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 04/21/22 | | | 0.038 | | | | 4,998,217 | |
| 15,000 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 05/19/22 | | | 0.040 | | | | 14,988,520 | |
| 15,000 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 06/16/22 | | | 0.056 | | | | 14,981,662 | |
| 15,000 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 07/14/22 | | | 0.063 | | | | 14,971,520 | |
| 15,000 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 08/11/22 | | | 0.074 | | | | 14,963,989 | |
| 15,000 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 09/08/22 | | | 0.078 | | | | 14,956,634 | |
| 15,000 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 10/06/22 | | | 0.125 | | | | 14,946,303 | |
| 15,000 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 11/03/22 | | | 0.220 | | | | 14,934,764 | |
| 15,000 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 12/01/22 | | | 0.275 | | | | 14,921,567 | |
| 4,300 | | | United States Treasury Bills(1) | | (AA+, Aaa) | | 12/29/22 | | | 0.646 | | | | 4,271,791 | |
TOTAL UNITED STATES TREASURY OBLIGATIONS (Cost $212,075,782) | | | | | | | 211,832,603 | |
Number of Shares | | | | | | |
| | | | | | |
SHORT-TERM INVESTMENTS (32.9%) | |
| 129,975,074 | | | State Street Institutional U.S. Government Money Market Fund - Premier Class (Cost $129,975,074) | | | 129,975,074 | |
|
TOTAL INVESTMENTS AT VALUE (86.4%) (Cost $342,050,856) | | | 341,807,677 | |
OTHER ASSETS IN EXCESS OF LIABILITIES (13.6%) | | | 53,923,013 | |
NET ASSETS(2) (100.0%) | | $ | 395,730,690 | |
† | 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, 2022. |
(2) | As of January 31, 2022, the Credit Suisse Managed Futures Strategy Fund held $71,259,995 in the wholly-owned subsidiary, Credit Suisse Cayman Managed Futures Strategy Fund, Ltd., representing 18.0% 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 | | | | | | | | | | | | | | | | |
Index Contracts | | | | | | | | | | | | | | | | |
EURO Stoxx 50 Index Futures | | EUR | | Mar 2022 | | | 100 | | | $ | 4,644,301 | | | $ | (151,966 | ) |
FTSE 100 Index Futures | | GBP | | Mar 2022 | | | 394 | | | | 39,098,640 | | | | 1,194,356 | |
| | | | | | | | | | | | | | $ | 1,042,390 | |
Contracts to Sell | | | | | | | | | | | | | | | | |
Foreign Exchange Contracts | | | | | | | | | | | | | | | | |
AUD Currency Futures | | USD | | Mar 2022 | | | (1,053 | ) | | | (74,494,485 | ) | | $ | 1,186,991 | |
CAD Currency Futures | | USD | | Mar 2022 | | | (910 | ) | | | (71,657,950 | ) | | | (3,636 | ) |
EUR Currency Futures | | USD | | Mar 2022 | | | (770 | ) | | | (108,314,938 | ) | | | 1,071,507 | |
GBP Currency Futures | | USD | | Mar 2022 | | | (1,062 | ) | | | (89,307,562 | ) | | | 67,195 | |
JPY Currency Futures | | USD | | Mar 2022 | | | (1,130 | ) | | | (122,873,375 | ) | | | 1,188,660 | |
| | | | | | | | | | | | | | $ | 3,510,717 | |
Index Contracts | | | | | | | | | | | | | | | | |
Hang Seng Index Futures | | HKD | | Feb 2022 | | | (130 | ) | | | (19,891,248 | ) | | $ | 296,975 | |
Nikkei 225 Index Futures OSE | | JPY | | Mar 2022 | | | (132 | ) | | | (30,988,067 | ) | | | 732,401 | |
S&P 500 E Mini Index Futures | | USD | | Mar 2022 | | | (84 | ) | | | (18,917,850 | ) | | | (497,263 | ) |
| | | | | | | | | | | | | | $ | 532,113 | |
Interest Rate Contracts | | | | | | | | | | | | | | | | |
10YR Japanese Bond Futures | | JPY | | Mar 2022 | | | (286 | ) | | | (374,102,148 | ) | | $ | 47,783 | |
10YR U.S. Treasury Note Futures | | USD | | Mar 2022 | | | (1,323 | ) | | | (169,302,656 | ) | | | 2,263,132 | |
EURO Bund Futures | | EUR | | Mar 2022 | | | (688 | ) | | | (130,425,700 | ) | | | 1,267,913 | |
Long Gilt Futures | | GBP | | Mar 2022 | | | (654 | ) | | | (107,012,454 | ) | | | 2,222,870 | |
| | | | | | | | | | | | | | $ | 5,801,698 | |
| | | | | | | | | | | | | | $ | 10,886,918 | |
Credit Suisse Managed Futures Strategy Fund
Consolidated Schedule of Investments
January 31, 2022 (unaudited)
Total Return Swap Contracts
Currency | | Notional Amount | | | Expiration Date | | Counterparty | | Receive | | Pay | | | Periodic Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Net Unrealized Appreciation | |
USD | | $ | 23,315,744 | | | 03/07/22 | | Goldman Sachs | | Bloomberg Energy Index | | | 0.07 | % | | At Maturity | | $ | — | | | $ | 3,633,736 | |
USD | | | 51,304,043 | | | 03/07/22 | | Goldman Sachs | | Bloomberg Industrial Metals Index | | | 0.10 | % | | At Maturity | | | — | | | | 3,925,092 | |
USD | | | 64,694,923 | | | 03/07/22 | | Macquarie Bank Ltd. | | Bloomberg Agriculture Index | | | 0.10 | % | | At Maturity | | | — | | | | 3,944,324 | |
| | | | | | | | | | | | | | | | | | $ | — | | | $ | 11,503,152 | |
Total Return Swap Contracts
Currency | | Notional Amount | | | Expiration Date | | Counterparty | | Receive | | Pay | | | Periodic Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Net Unrealized Depreciation | |
USD | | $ | 16,448,969 | | | 03/07/22 | | Macquarie Bank Ltd. | | Bloomberg Precious Metals Index | | | 0.09 | % | | At Maturity | | $ | — | | | $ | (196,288 | ) |
| | | | | | | | | | | | | | | | | | $ | — | | | $ | (196,288 | ) |
| | | | | | | | | | | | | | | | | | $ | — | | | $ | 11,306,864 | |
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 $391,000 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, 2022 in valuing the Fund’s assets and liabilities carried at fair value:
Assets | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| | | | | | | | | | | | |
Investments in Securities |
United States Treasury Obligations | | $ | — | | | $ | 211,832,603 | | | $ | — | | | $ | 211,832,603 | |
Short-term Investments | | | 129,975,074 | | | | — | | | | — | | | | 129,975,074 | |
| | $ | 129,975,074 | | | $ | 211,832,603 | | | $ | — | | | $ | 341,807,677 | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 11,539,783 | | | $ | — | | | $ | — | | | $ | 11,539,783 | |
Swap Contracts | | | — | | | | 11,503,152 | | | | — | | | | 11,503,152 | |
Liabilities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 652,865 | | | $ | — | | | $ | — | | | $ | 652,865 | |
Swap Contracts | | | — | | | | 196,288 | | | | — | | | | 196,288 | |
* | Other financial instruments include unrealized appreciation (depreciation) on futures and swap contracts. |
During the period ended January 31, 2022, 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, 2022 (unaudited)
| | Number of Shares | | | Value | |
COMMON STOCKS (1.9%) | | | | | | | | |
BELGIUM (0.0%) | | | | | | | | |
Beverages (0.0%) | | | | | | | | |
Anheuser-Busch InBev SA | | | 57 | | | $ | 3,586 | |
| | | | | | | | |
Diversified Financials (0.0%) | | | | | | | | |
Groupe Bruxelles Lambert SA | | | 31 | | | | 3,319 | |
| | | | | | | 6,905 | |
CANADA (0.1%) | | | | | | | | |
Capital Markets (0.0%) | | | | | | | | |
Onex Corp. | | | 48 | | | | 3,446 | |
| | | | | | | | |
Food & Staples Retailing (0.0%) | | | | | | | | |
Loblaw Cos. Ltd. | | | 45 | | | | 3,470 | |
| | | | | | | | |
IT Services (0.0%) | | | | | | | | |
CGI, Inc.(1) | | | 42 | | | | 3,584 | |
| | | | | | | | |
Media (0.0%) | | | | | | | | |
Quebecor, Inc., Class B | | | 150 | | | | 3,545 | |
| | | | | | | | |
Metals/Mining (0.0%) | | | | | | | | |
Kirkland Lake Gold Ltd. | | | 89 | | | | 3,351 | |
| | | | | | | | |
Oil, Gas & Consumable Fuels (0.1%) | | | | | | | | |
Imperial Oil Ltd. | | | 83 | | | | 3,394 | |
Suncor Energy, Inc. | | | 121 | | | | 3,456 | |
| | | | | | | 6,850 | |
| | | | | | | 24,246 | |
DENMARK (0.0%) | | | | | | | | |
Healthcare Equipment & Supplies (0.0%) | | | | | | | | |
GN Store Nord AS | | | 55 | | | | 3,321 | |
| | | | | | | | |
Marine (0.0%) | | | | | | | | |
AP Moller - Maersk A/S, Class B | | | 1 | | | | 3,584 | |
| | | | | | | 6,905 | |
FRANCE (0.1%) | | | | | | | | |
Media (0.0%) | | | | | | | | |
Vivendi SE | | | 254 | | | | 3,322 | |
| | | | | | | | |
Real Estate Investment Trusts (0.1%) | | | | | | | | |
Klepierre S.A. | | | 145 | | | | 3,848 | |
| | | | | | | 7,170 | |
GERMANY (0.1%) | | | | | | | | |
Banks (0.1%) | | | | | | | | |
Fresenius Medical Care AG & Co. KGaA | | | 51 | | | | 3,460 | |
| | | | | | | | |
Media - Services (0.0%) | | | | | | | | |
Scout24 SE(2) | | | 57 | | | | 3,398 | |
| | | | | | | | |
Textiles, Apparel & Luxury Goods (0.0%) | | | | | | | | |
adidas AG | | | 12 | | | | 3,286 | |
| | | | | | | 10,144 | |
ITALY (0.0%) | | | | | | | | |
Automobiles (0.0%) | | | | | | | | |
Ferrari NV | | | 13 | | | | 2,989 | |
| | | | | | | | |
Healthcare Equipment & Supplies (0.0%) | | | | | | | | |
DiaSorin SpA | | | 18 | | | | 2,769 | |
| | | | | | | 5,758 | |
JERSEY (0.0%) | | | | | | | | |
Media (0.0%) | | | | | | | | |
WPP PLC | | | 225 | | | | 3,520 | |
| | | | | | | | |
NETHERLANDS (0.1%) | | | | | | | | |
Chemicals (0.1%) | | | | | | | | |
Akzo Nobel NV | | | 31 | | | | 3,202 | |
Koninklijke DSM NV | | | 15 | | | | 2,806 | |
| | | | | | | 6,008 | |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2022 (unaudited)
| | Number of Shares | | | Value | |
COMMON STOCKS (continued) |
NETHERLANDS |
Food & Staples Retailing (0.0%) | | | | | | | | |
Koninklijke Ahold Delhaize NV | | | 100 | | | $ | 3,235 | |
| | | | | | | | |
Healthcare Equipment & Supplies (0.0%) | | | | | | | | |
Koninklijke Philips NV | | | 92 | | | | 3,054 | |
| | | | | | | | |
Insurance (0.0%) | | | | | | | | |
NN Group NV | | | 63 | | | | 3,518 | |
| | | | | | | | |
Semiconductor Equipment & Products (0.0%) | | | | | | | | |
ASML Holding NV | | | 4 | | | | 2,703 | |
| | | | | | | 18,518 | |
NORWAY (0.0%) | | | | | | | | |
Chemicals (0.0%) | | | | | | | | |
Yara International ASA | | | 68 | | | | 3,483 | |
| | | | | | | | |
Media (0.0%) | | | | | | | | |
Schibsted ASA, Class A | | | 89 | | | | 2,630 | |
| | | | | | | 6,113 | |
SPAIN (0.0%) | | | | | | | | |
Construction & Engineering (0.0%) | | | | | | | | |
ACS Actividades de Construccion y Servicios SA | | | 132 | | | | 3,325 | |
| | | | | | | | |
SWITZERLAND (0.1%) | | | | | | | | |
Building Products (0.0%) | | | | | | | | |
Geberit AG, Reg S | | | 5 | | | | 3,381 | |
| | | | | | | | |
Capital Markets (0.0%) | | | | | | | | |
UBS Group AG, Reg S | | | 181 | | | | 3,342 | |
| | | | | | | | |
Electrical Equipment (0.0%) | | | | | | | | |
ABB Ltd., Reg S | | | 96 | | | | 3,313 | |
| | | | | | | | |
Food Products (0.0%) | | | | | | | | |
Nestle S.A., Reg S | | | 27 | | | | 3,470 | |
| | | | | | | | |
Insurance (0.1%) | | | | | | | | |
Baloise Holding AG, Reg S | | | 20 | | | | 3,487 | |
Swiss Life Holding AG | | | 5 | | | | 3,203 | |
Swiss Re AG | | | 31 | | | | 3,361 | |
| | | | | | | 10,051 | |
| | | | | | | 23,557 | |
UNITED KINGDOM (0.1%) | | | | | | | | |
Banks (0.1%) | | | | | | | | |
Barclays PLC | | | 1,350 | | | | 3,613 | |
Natwest Group PLC | | | 1,118 | | | | 3,666 | |
| | | | | | | 7,279 | |
Household Durables (0.0%) | | | | | | | | |
The Berkeley Group Holdings PLC | | | 53 | | | | 3,017 | |
| | | | | | | | |
Industrial Conglomerates (0.0%) | | | | | | | | |
Melrose Industries PLC | | | 1,578 | | | | 3,207 | |
| | | | | | | | |
Insurance (0.0%) | | | | | | | | |
Aviva PLC | | | 615 | | | | 3,622 | |
| | | | | | | | |
Oil & Gas (0.0%) | | | | | | | | |
Shell PLC | | | 11 | | | | 282 | |
| | | | | | | | |
Oil, Gas & Consumable Fuels (0.0%) | | | | | | | | |
BP PLC | | | 764 | | | | 3,951 | |
| | | | | | | | |
Software (0.0%) | | | | | | | | |
The Sage Group PLC | | | 300 | | | | 2,924 | |
| | | | | | | 24,282 | |
UNITED STATES (1.3%) | | | | | | | | |
Food Products (0.6%) | | | | | | | | |
Sanderson Farms, Inc. | | | 742 | | | | 136,528 | |
| | | | | | | | |
Healthcare Equipment & Supplies (0.1%) | | | | | | | | |
Intersect ENT, Inc.(1) | | | 1,044 | | | | 28,606 | |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2022 (unaudited)
| | Number of Shares | | | Value | |
COMMON STOCKS (continued) | | | | | | | | |
UNITED STATES | | | | | | | | |
Real Estate Investment Trusts (0.6%) | | | | | | | | |
CyrusOne, Inc. | | | 1,666 | | | $ | 149,690 | |
| | | | | | | 314,824 | |
TOTAL COMMON STOCKS (Cost $464,603) | | | | | | | 455,267 | |
EXCHANGE-TRADED FUNDS (6.8%) | | | | | | | | |
UNITED STATES (6.8%) | | | | | | | | |
Commingled Fund (5.1%) | | | | | | | | |
SPDR FTSE International Government Inflation-Protected Bond ETF | | | 22,877 | | | | 1,222,595 | |
| | | | | | | | |
Energy - Integrated (1.7%) | | | | | | | | |
Alerian MLP ETF(3) | | | 11,577 | | | | 421,519 | |
TOTAL EXCHANGE-TRADED FUNDS (Cost $1,404,412) | | | | | | | 1,644,114 | |
RIGHT (0.0%) | | | | | | | | |
SPAIN (0.0%) | | | | | | | | |
Construction & Engineering (0.0%) | | | | | | | | |
ACS Actividades de Construccion y Servicios SA, expires 02/20/2022(1) (Cost $149) | | | 277 | | | | 145 | |
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | | |
| | | | | | | | | | | | | |
UNITED STATES TREASURY OBLIGATIONS (46.8%) |
$ | 200 | | | United States Treasury Bills (4) | | (AA+, Aaa) | | 02/24/22 | | 0.048 | | | | 199,996 | |
| 2,800 | | | United States Treasury Bills (4) | | (AA+, Aaa) | | 03/10/22 | | 0.029 | | | | 2,799,920 | |
| 4,400 | | | United States Treasury Bills (4) | | (AA+, Aaa) | | 03/10/22 | | 0.039 | | | | 4,399,874 | |
| 200 | | | United States Treasury Bills (4) | | (AA+, Aaa) | | 03/24/22 | | 0.045 | | | | 199,979 | |
| 200 | | | United States Treasury Bills (4) | | (AA+, Aaa) | | 04/21/22 | | 0.065 | | | | 199,929 | |
| 200 | | | United States Treasury Bills (4) | | (AA+, Aaa) | | 05/19/22 | | 0.080 | | | | 199,847 | |
| 400 | | | United States Treasury Bills (4) | | (AA+, Aaa) | | 06/16/22 | | 0.056 | | | | 399,511 | |
| 400 | | | United States Treasury Bills (4) | | (AA+, Aaa) | | 07/14/22 | | 0.063 | | | | 399,241 | |
| 400 | | | United States Treasury Bills (4) | | (AA+, Aaa) | | 08/11/22 | | 0.285 | | | | 399,040 | |
| 400 | | | United States Treasury Bills (4) | | (AA+, Aaa) | | 09/08/22 | | 0.293 | | | | 398,844 | |
| 400 | | | United States Treasury Bills (4) | | (AA+, Aaa) | | 10/06/22 | | 0.343 | | | | 398,568 | |
| 400 | | | United States Treasury Bills (4) | | (AA+, Aaa) | | 11/03/22 | | 0.392 | | | | 398,260 | |
| 400 | | | United States Treasury Bills (4) | | (AA+, Aaa) | | 12/01/22 | | 0.436 | | | | 397,908 | |
| 400 | | | United States Treasury Bills (4) | | (AA+, Aaa) | | 12/29/22 | | 0.677 | | | | 397,376 | |
| TOTAL UNITED STATES TREASURY OBLIGATIONS (Cost $11,192,037) | | | | | | 11,188,293 | |
| SHORT-TERM INVESTMENTS (24.8%) | | | | | | | |
| | Number of Shares | | | | |
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.03% | | | 5,442,890 | | | | 5,442,890 | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.05%(5) | | | 482,668 | | | | 482,668 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $5,925,558) | | | | | | | 5,925,558 | |
TOTAL INVESTMENTS AT VALUE (80.3%) (Cost $18,986,759) | | | | | | | 19,213,377 | |
OTHER ASSETS IN EXCESS OF LIABILITIES (19.7%) | | | | | | | 4,701,898 | |
NET ASSETS(6) (100.0%) | | | | | | $ | 23,915,275 | |
† | Credit ratings given by the S&P Global Ratings Division of S&P Global Inc. (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”) are unaudited. |
(1) | Non-income producing security. |
(2) | Security exempt from registration pursuant to Regulation S under the Securities act of 1933, as amended. Regulation S applies to securities offering that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(3) | Security or portion thereof is out on loan. |
(4) | Securities are zero coupon. Rate presented is yield to maturity as of January 31, 2022. |
(5) | Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at January 31, 2022. |
(6) | As of January 31, 2022, the Credit Suisse Multialternative Strategy Fund held $5,519,205 in the wholly-owned subsidiary, Credit Suisse Cayman Multialternative Strategy Fund, Ltd., representing 23.1% of the Fund's consolidated net assets. |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2022 (unaudited)
Forward Foreign Currency Contracts |
|
Forward Currency to be Purchased (Local) | | Forward Currency to be Sold (Local) | | Expiration Date | | Counterparty | | Value on Settlement Date | | | Current Value/Notional | | | Net Unrealized Appreciation | |
CAD | | $ | 28,351 | | USD | | $ | 22,179 | | 03/16/22 | | JPMorgan Chase | | $ | 22,179 | | | $ | 22,291 | | | $ | 112 | |
NOK | | | 133,866 | | USD | | | 14,850 | | 03/16/22 | | JPMorgan Chase | | | 14,850 | | | | 15,003 | | | | 153 | |
USD | | | 51,863 | | CAD | | | 65,768 | | 03/16/22 | | JPMorgan Chase | | | (51,863 | ) | | | (51,710 | ) | | | 153 | |
USD | | | 56,655 | | CHF | | | 52,420 | | 03/16/22 | | Goldman Sachs | | | (56,655 | ) | | | (56,367 | ) | | | 288 | |
USD | | | 73,376 | | DKK | | | 481,472 | | 03/16/22 | | Societe Generale | | | (73,376 | ) | | | (72,609 | ) | | | 767 | |
USD | | | 25,927 | | EUR | | | 22,989 | | 03/16/22 | | JPMorgan Chase | | | (25,927 | ) | | | (25,795 | ) | | | 132 | |
USD | | | 119,401 | | EUR | | | 105,200 | | 03/16/22 | | Societe Generale | | | (119,401 | ) | | | (118,038 | ) | | | 1,363 | |
USD | | | 21,294 | | SEK | | | 194,226 | | 03/16/22 | | Societe Generale | | | (21,294 | ) | | | (20,817 | ) | | | 477 | |
| | | | | | | | | | | | | | | | | | | | | | $ | 3,445 | |
Forward Foreign Currency Contracts |
|
Forward Currency to be Purchased (Local) | | Forward Currency to be Sold (Local) | | Expiration Date | | Counterparty | | Value on Settlement Date | | | Current Value/Notional | | | Net Unrealized Depreciation | |
CAD | | | 7,195 | | USD | | | 5,755 | | 03/16/22 | | Goldman Sachs | | $ | 5,755 | | | $ | 5,657 | | | $ | (98 | ) |
CHF | | | 10,303 | | USD | | | 11,245 | | 03/16/22 | | Goldman Sachs | | | 11,245 | | | | 11,079 | | | | (166 | ) |
CHF | | | 20,056 | | USD | | | 21,568 | | 03/16/22 | | Morgan Stanley | | | 21,568 | | | | 21,566 | | | | (2 | ) |
DKK | | | 286,566 | | USD | | | 43,672 | | 03/16/22 | | Goldman Sachs | | | 43,672 | | | | 43,216 | | | | (456 | ) |
DKK | | | 149,079 | | USD | | | 22,534 | | 03/16/22 | | JPMorgan Chase | | | 22,534 | | | | 22,482 | | | | (52 | ) |
EUR | | | 74,084 | | USD | | | 83,250 | | 03/16/22 | | JPMorgan Chase | | | 83,250 | | | | 83,125 | | | | (125 | ) |
GBP | | | 95,620 | | USD | | | 128,343 | | 03/16/22 | | JPMorgan Chase | | | 128,343 | | | | 128,255 | | | | (88 | ) |
NOK | | | 17,298 | | USD | | | 1,958 | | 03/16/22 | | Goldman Sachs | | | 1,958 | | | | 1,939 | | | | (19 | ) |
SEK | | | 194,226 | | USD | | | 21,325 | | 03/16/22 | | Morgan Stanley | | | 21,325 | | | | 20,817 | | | | (508 | ) |
USD | | | 158,220 | | GBP | | | 119,359 | | 03/16/22 | | Societe Generale | | | (158,220 | ) | | | (160,097 | ) | | | (1,877 | ) |
USD | | | 22,701 | | NOK | | | 207,078 | | 03/16/22 | | Societe Generale | | | (22,701 | ) | | | (23,208 | ) | | | (507 | ) |
| | | | | | | | | | | | | | | | | | | | | | $ | (3,898 | ) |
| | | | | | | | | | | | | | | | | | | | | | $ | (453 | ) |
Futures Contracts | | |
| | |
Contract Description | | Currency | | Expiration Date | | Number of Contracts | | | Notional Value | | | Net Unrealized Appreciation (Depreciation) | |
| | | | | | | | | | | | | |
Contracts to Purchase | | |
Agriculture | | |
Coffee "C" Futures | | USD | | May 2022 | | | 2 | | | $ | 176,625 | | | $ | 142 | |
Corn Futures | | USD | | May 2022 | | | 14 | | | | 437,150 | | | | 535 | |
Cotton No. 2 Futures | | USD | | May 2022 | | | 2 | | | | 123,070 | | | | 2,732 | |
Soybean Futures | | USD | | May 2022 | | | 6 | | | | 448,575 | | | | 11,827 | |
Soybean Meal Futures | | USD | | May 2022 | | | 6 | | | | 250,200 | | | | 9,587 | |
Soybean Oil Futures | | USD | | May 2022 | | | 7 | | | | 272,202 | | | | 3,664 | |
Sugar No. 11 Futures | | USD | | May 2022 | | | 10 | | | | 199,360 | | | | (3,410 | ) |
Wheat Futures | | USD | | May 2022 | | | 9 | | | | 344,812 | | | | (11,921 | ) |
| | | | | | | | | | | | | | $ | 13,156 | |
Energy | | | | | | | | | | | | | | | | |
Gasoline RBOB Futures | | USD | | May 2022 | | | 2 | | | | 221,945 | | | $ | 1,069 | |
Light Sweet Crude Oil Futures | | USD | | May 2022 | | | 8 | | | | 680,880 | | | | 6,153 | |
Low Sulphur Gasoil Futures | | USD | | May 2022 | | | 3 | | | | 225,525 | | | | 2,067 | |
Natural Gas Future | | USD | | May 2022 | | | 16 | | | | 745,600 | | | | 73,017 | |
NY Harbor ULSD Futures | | USD | | May 2022 | | | 1 | | | | 108,645 | | | | 408 | |
| | | | | | | | | | | | | | $ | 82,714 | |
Index Contracts | | | | | | | | | | | | | | | | |
EURO Stoxx 50 Index Dividend Futures | | EUR | | Dec 2022 | | | 23 | | | | 308,880 | | | $ | 9,465 | |
EURO Stoxx 50 Index Dividend Futures | | EUR | | Dec 2023 | | | 2 | | | | 27,532 | | | | 868 | |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2022 (unaudited)
Futures Contracts (continued) |
|
Contract Description | | Currency | | Expiration Date | | Number of Contracts | | | Notional Value | | | Net Unrealized Appreciation (Depreciation) | |
Contracts to Purchase | | | | | | | | | | | | | | | | |
FTSE 100 Index Futures | | GBP | | Mar 2022 | | | 1 | | | $ | 99,235 | | | $ | 112 | |
| | | | | | | | | | | | | | $ | 10,445 | |
Industrial Metals | | | | | | | | | | | | | | | | |
LME Nickel Futures | | USD | | May 2022 | | | 2 | | | | 266,796 | | | $ | (2,437 | ) |
LME Primary Aluminum Futures | | USD | | Mar 2022 | | | 1 | | | | 75,725 | | | | 10,691 | |
LME Primary Aluminum Futures | | USD | | May 2022 | | | 4 | | | | 301,675 | | | | (5,716 | ) |
LME Zinc Futures | | USD | | Mar 2022 | | | 1 | | | | 90,163 | | | | 11,566 | |
LME Zinc Futures | | USD | | May 2022 | | | 3 | | | | 268,350 | | | | (766 | ) |
| | | | | | | | | | | | | | $ | 13,338 | |
Interest Rate Contracts | | | | | | | | | | | | | | | | |
10YR AUD Bond Futures | | AUD | | Mar 2022 | | | 22 | | | | 2,123,765 | | | $ | 15,085 | |
10YR CAD Bond Futures | | CAD | | Mar 2022 | | | 16 | | | | 1,749,961 | | | | 1,899 | |
10YR JGB Mini Futures | | JPY | | Mar 2022 | | | 20 | | | | 2,615,925 | | | | (323 | ) |
EURO Bund Futures | | EUR | | Mar 2022 | | | 16 | | | | 3,033,156 | | | | (13,231 | ) |
| | | | | | | | | | | | | | $ | 3,430 | |
Precious Metals | | | | | | | | | | | | | | | | |
Copper Futures | | USD | | May 2022 | | | 4 | | | | 432,650 | | | $ | (10,464 | ) |
Silver Futures | | USD | | May 2022 | | | 3 | | | | 336,480 | | | | (14,200 | ) |
| | | | | | | | | | | | | | $ | (24,664 | ) |
Contracts to Sell | | | | | | | | | | | | | | | | |
Agriculture | | | | | | | | | | | | | | | | |
Coffee “C” Futures | | USD | | Mar 2022 | | | (2 | ) | | | (176,325 | ) | | $ | (177 | ) |
Corn Futures | | USD | | Mar 2022 | | | (14 | ) | | | (438,200 | ) | | | (365 | ) |
Cotton No. 2 Futures | | USD | | Mar 2022 | | | (2 | ) | | | (127,570 | ) | | | (4,578 | ) |
Soybean Futures | | USD | | Mar 2022 | | | (6 | ) | | | (447,150 | ) | | | (12,373 | ) |
Soybean Meal Futures | | USD | | Mar 2022 | | | (6 | ) | | | (251,340 | ) | | | (10,083 | ) |
Soybean Oil Futures | | USD | | Mar 2022 | | | (7 | ) | | | (272,244 | ) | | | (3,908 | ) |
Sugar No. 11 Futures | | USD | | Mar 2022 | | | (10 | ) | | | (204,064 | ) | | | 2,526 | |
Wheat Futures | | USD | | Mar 2022 | | | (9 | ) | | | (342,562 | ) | | | 11,841 | |
| | | | | | | | | | | | | | $ | (17,117 | ) |
Energy | | | | | | | | | | | | | | | | |
Gasoline RBOB Futures | | USD | | Mar 2022 | | | (2 | ) | | | (214,570 | ) | | $ | (1,317 | ) |
Light Sweet Crude Oil Futures | | USD | | Mar 2022 | | | (8 | ) | | | (705,200 | ) | | | (9,597 | ) |
Low Sulphur Gasoil Futures | | USD | | Mar 2022 | | | (3 | ) | | | (234,825 | ) | | | (3,558 | ) |
Natural Gas Future | | USD | | Mar 2022 | | | (16 | ) | | | (779,840 | ) | | | (98,763 | ) |
NY Harbor ULSD Futures | | USD | | Mar 2022 | | | (1 | ) | | | (114,059 | ) | | | (952 | ) |
| | | | | | | | | | | | | | $ | (114,187 | ) |
Foreign Exchange Contracts | | | | | | | | | | | | | | | | |
AUD Currency Futures | | USD | | Mar 2022 | | | (3 | ) | | | (212,235 | ) | | $ | 3,029 | |
CAD Currency Futures | | USD | | Mar 2022 | | | (2 | ) | | | (157,490 | ) | | | (8 | ) |
EUR Currency Futures | | USD | | Mar 2022 | | | (2 | ) | | | (281,337 | ) | | | 2,130 | |
GBP Currency Futures | | USD | | Mar 2022 | | | (3 | ) | | | (252,281 | ) | | | 304 | |
JPY Currency Futures | | USD | | Mar 2022 | | | (3 | ) | | | (326,213 | ) | | | (437 | ) |
| | | | | | | | | | | | | | $ | 5,018 | |
Index Contracts | | | | | | | | | | | | | | | | |
Russell 2000 E-Mini Index Futues | | USD | | Mar 2022 | | | (18 | ) | | | (1,821,960 | ) | | $ | 121,106 | |
S&P 500 E Mini Index Futures | | USD | | Mar 2022 | | | (1 | ) | | | (225,213 | ) | | | (5,757 | ) |
EURO Stoxx 50 Index Futures | | EUR | | Mar 2022 | | | (3 | ) | | | (139,329 | ) | | | 2,033 | |
| | | | | | | | | | | | | | $ | 117,382 | |
Industrial Metals | | | | | | | | | | | | | | | | |
LME Nickel Futures | | USD | | Mar 2022 | | | (2 | ) | | | (271,056 | ) | | $ | 1,583 | |
LME Primary Aluminum Futures | | USD | | Mar 2022 | | | (5 | ) | | | (378,625 | ) | | | (4,643 | ) |
LME Zinc Futures | | USD | | Mar 2022 | | | (4 | ) | | | (360,650 | ) | | | (8,754 | ) |
| | | | | | | | | | | | | | $ | (11,814 | ) |
Interest Rate Contracts | | | | | | | | | | | | | | | | |
10YR U.S. Treasury Note Futures | | USD | | Mar 2022 | | | (31 | ) | | | (3,967,031 | ) | | $ | (4,705 | ) |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2022 (unaudited)
Futures Contracts (continued) |
|
Contract Description | | Currency | | Expiration Date | | Number of Contracts | | | Notional Value | | | Net Unrealized Appreciation (Depreciation) | |
Contracts to Sell | | | | | | | | | | | | | | | | |
Long Gilt Futures | | GBP | | Mar 2022 | | | (47 | ) | | $ | (7,690,498 | ) | | $ | 72,644 | |
| | | | | | | | | | | | | | $ | 67,939 | |
Precious Metals | | | | | | | | | | | | | | | | |
Copper Futures | | USD | | Mar 2022 | | | (4 | ) | | | (432,450 | ) | | $ | 10,361 | |
Silver Futures | | USD | | Mar 2022 | | | (3 | ) | | | (335,895 | ) | | | 14,185 | |
| | | | | | | | | | | | | | $ | 24,546 | |
| | | | | | | | | | | | | | $ | 170,186 | |
Total Return Swap Contracts |
|
Currency | | Notional Amount | | | Expiration Date | | Counterparty | | Receive | | | Pay | | | Periodic Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Net Unrealized Appreciation | |
USD | | $ | 222,797 | | | 03/07/22 | | Bank of America | | | BAML Buyback Activity in Equities(b) | | | | 0.59% | | | Monthly | | $ | — | | | $ | 4,241 | |
USD | | | 285,786 | | | 03/07/22 | | Bank of America | | | BAML USD Custom Equity Basket(b) | | | | 0.58% | | | Monthly | | | — | | | | 2,278 | |
USD | | | 4,374,724 | | | 03/07/22 | | Barclays Bank PLC | | | Barclays Commodity Hedging Insights 2 Index(b) | | | | 0.15% | | | At Maturity | | | — | | | | 188,331 | |
USD | | | 2,345,929 | | | 03/07/22 | | BNP Paribas | | | BNP Paribas Buy Write Call Gold Daily Index(b) | | | | 0.50% | | | At Maturity | | | — | | | | 27,266 | |
USD | | | 1,044,435 | | | 03/07/22 | | Goldman Sachs | | | Goldman Sachs RP 110 Long Short Series SR Excess Return Strategy(b) | | | | (0.60)% | | | At Maturity | | | — | | | | 15,530 | |
USD | | | 130,866 | | | 03/07/22 | | Goldman Sachs | | | Bloomberg Industrial Metals Index | | | | 0.10% | | | At Maturity | | | — | | | | 7,428 | |
USD | | | 62,113 | | | 03/07/22 | | Goldman Sachs | | | Bloomberg Energy Index | | | | 0.07% | | | At Maturity | | | — | | | | 5,791 | |
USD | | | 767,821 | | | 03/07/22 | | Goldman Sachs | | | Goldman Sachs Tactical Factor Suite Value World Top USD Excess Return Strategy(b) | | | | 0.40% | | | At Maturity | | | — | | | | 16,358 | |
USD | | | 91,470 | | | 04/29/22 | | Goldman Sachs | | | (0.22)% | | | | New York Community Bancorp. | | | Monthly | | | — | | | | 6,958 | |
USD | | | 83,261 | | | 06/10/22 | | Goldman Sachs | | | (0.22)% | | | | Old National Bancorp. | | | Monthly | | | — | | | | 2,554 | |
USD | | | 108,651 | | | 08/04/22 | | Goldman Sachs | | | Investors Bancorp, Inc. | | | | 0.54% | | | Monthly | | | — | | | | 940 | |
GBP | | | 27,904 | | | 08/04/22 | | Goldman Sachs | | | Meggitt PLC | | | | 0.68% | | | Monthly | | | — | | | | 52 | |
USD | | | 47 | | | 08/11/22 | | Goldman Sachs | | | (0.26)% | | | | Penn National Gaming, Inc. | | | Monthly | | | — | | | | 1 | |
GBP | | | 76,468 | | | 08/18/22 | | Goldman Sachs | | | Avast PLC | | | | 0.68% | | | Monthly | | | — | | | | 148 | |
USD | | | 7,284 | | | 08/18/22 | | Goldman Sachs | | | (0.22)% | | | | NortonLifeLock, Inc. | | | Monthly | | | — | | | | 53 | |
USD | | | 85,472 | | | 09/09/22 | | Goldman Sachs | | | American National Group, Inc. | | | | 0.54% | | | Monthly | | | — | | | | 82 | |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2022 (unaudited)
Total Return Swap Contracts (continued)
Currency | | Notional Amount | | | Expiration Date | | Counterparty | | Receive | | | Pay | | | Periodic Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Net Unrealized Appreciation | |
USD | | $ | 5,373 | | | 09/22/22 | | Goldman Sachs | | | (0.22)% | | | | First Interstate BancSystem, Inc. | | | Monthly | | $ | — | | | $ | 823 | |
USD | | | 76,695 | | | 10/20/22 | | Goldman Sachs | | | Umpqua Holdings Corp. | | | | 0.54% | | | Monthly | | | — | | | | 2,742 | |
USD | | | 7,495 | | | 10/25/22 | | Goldman Sachs | | | Achillion Pharmaceuticals CVR | | | | 0.54% | | | Monthly | | | — | | | | 0 | |
USD | | | 32,494 | | | 12/22/22 | | Goldman Sachs | | | (0.22)% | | | | Entegris, Inc. | | | Monthly | | | — | | | | 3,045 | |
CHF | | | 91,860 | | | 12/22/22 | | Goldman Sachs | | | Vifor Pharma AG | | | | (0.03)% | | | Monthly | | | — | | | | 443 | |
USD | | | 59,596 | | | 12/29/22 | | Goldman Sachs | | | (0.22)% | | | | Quidel Corp. | | | Monthly | | | — | | | | 11,040 | |
USD | | | 46,969 | | | 01/06/23 | | Goldman Sachs | | | Nuance Communications, Inc. | | | | 0.54% | | | Monthly | | | — | | | | 49 | |
USD | | | 68,452 | | | 01/06/23 | | Goldman Sachs | | | Bottomline Technologies | | | | 0.54% | | | Monthly | | | — | | | | 5 | |
USD | | | 46 | | | 01/06/23 | | Goldman Sachs | | | Kraton Corp. | | | | 0.54% | | | Monthly | | | — | | | | 0 | |
USD | | | 62,068 | | | 01/06/23 | | Goldman Sachs | | | (0.22)% | | | | Citizens Financial Group | | | Monthly | | | — | | | | 2,106 | |
USD | | | 63,891 | | | 01/06/23 | | Goldman Sachs | | | (0.22)% | | | | M & T Bank Corp. | | | Monthly | | | — | | | | 712 | |
USD | | | 15,348 | | | 01/06/23 | | Goldman Sachs | | | (0.22)% | | | | Entegris, Inc. | | | Monthly | | | — | | | | 1,686 | |
USD | | | 6,591 | | | 01/06/23 | | Goldman Sachs | | | (0.22)% | | | | NortonLifeLock, Inc. | | | Monthly | | | — | | | | 192 | |
USD | | | 57,384 | | | 01/06/23 | | Goldman Sachs | | | (0.22)% | | | | New York Community Bancorp. | | | Monthly | | | — | | | | 5,473 | |
USD | | | 755,341 | | | 01/06/23 | | Goldman Sachs | | | Investors Bancorp, Inc. | | | | 0.54% | | | Monthly | | | — | | | | 22,280 | |
USD | | | 68,799 | | | 01/06/23 | | Goldman Sachs | | | (0.22)% | | | | Old National Bancorp. | | | Monthly | | | — | | | | 3,929 | |
USD | | | 63,702 | | | 01/06/23 | | Goldman Sachs | | | (0.22)% | | | | Columbia Banking System, Inc. | | | Monthly | | | — | | | | 823 | |
USD | | | 37,391 | | | 01/06/23 | | Goldman Sachs | | | GCP Applied Technologies | | | | 0.54% | | | Monthly | | | — | | | | 28 | |
USD | | | 41,752 | | | 01/06/23 | | Goldman Sachs | | | (0.22)% | | | | Quidel Corp. | | | Monthly | | | — | | | | 7,866 | |
USD | | | 64,514 | | | 01/06/23 | | Goldman Sachs | | | (0.22)% | | | | Webster Financial Corp. | | | Monthly | | | — | | | | 5,091 | |
USD | | | 10,980 | | | 01/06/23 | | Goldman Sachs | | | (0.22)% | | | | CBTX, Inc. | | | Monthly | | | — | | | | 326 | |
USD | | | 4,201 | | | 01/06/23 | | Goldman Sachs | | | (0.22)% | | | | First Interstate BancSystem, Inc. | | | Monthly | | | — | | | | 650 | |
GBP | | | 67,263 | | | 01/06/23 | | Goldman Sachs | | | Avast PLC | | | | 0.68% | | | Monthly | | | — | | | | 267 | |
GBP | | | 19,597 | | | 01/06/23 | | Goldman Sachs | | | Meggitt PLC | | | | 0.68% | | | Monthly | | | — | | | | 5 | |
USD | | | 11,883 | | | 01/06/23 | | Goldman Sachs | | | Neophotonics Corp. | | | | 0.54% | | | Monthly | | | — | | | | 113 | |
CHF | | | 59,420 | | | 01/09/23 | | Goldman Sachs | | | Vifor Pharma AG | | | | (0.03)% | | | Monthly | | | — | | | | 196 | |
GBP | | | 91,310 | | | 01/26/23 | | Goldman Sachs | | | Clinigen Group PLC | | | | 0.68% | | | Monthly | | | — | | | | 536 | |
USD | | | 4,580,125 | | | 03/07/22 | | JPMorgan Chase | | | J.P. Morgan Seasonal Spreads Portfolio(a) | | | | 0.60% | | | At Maturity | | | — | | | | 10,819 | |
USD | | | 393,214 | | | 03/07/22 | | JPMorgan Chase | | | J.P. Morgan Rates U.S. Volatility Carry Index(b) | | | | 0.00% | | | At Maturity | | | — | | | | 10 | |
USD | | | 4,853,731 | | | 03/07/22 | | JPMorgan Chase | | | J.P. Morgan Helix 3 Index(a) | | | | 0.60% | | | At Maturity | | | — | | | | 26,260 | |
USD | | | 82,842 | | | 04/11/22 | | JPMorgan Chase | | | Peoples United Financial | | | | 0.50% | | | Monthly | | | — | | | | 1,170 | |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2022 (unaudited)
Total Return Swap Contracts (continued)
Currency | | Notional Amount | | | Expiration Date | | Counterparty | | Receive | | | Pay | | | Periodic Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Net Unrealized Appreciation | |
USD | | $ | 66,871 | | | 05/23/22 | | JPMorgan Chase | | | Nuance Communications, Inc. | | | | 0.50% | | | Monthly | | $ | — | | | $ | 36 | |
USD | | | 322,627 | | | 05/23/22 | | JPMorgan Chase | | | (0.30)% | | | | Webster Financial Corp. | | | Monthly | | | — | | | | 13,807 | |
USD | | | 55,410 | | | 10/24/22 | | JPMorgan Chase | | | (0.28)% | | | | Goldman Sachs Group, Inc. | | | Monthly | | | — | | | | 6,109 | |
USD | | | 18,697 | | | 12/12/22 | | JPMorgan Chase | | | Allegiance Bancshares, Inc. | | | | 0.50% | | | Monthly | | | — | | | | 207 | |
USD | | | 18,214 | | | 12/12/22 | | JPMorgan Chase | | | (0.30)% | | | | CBTX, Inc. | | | Monthly | | | — | | | | 202 | |
USD | | | 16,939 | | | 12/12/22 | | JPMorgan Chase | | | Neophotonics Corp. | | | | 0.50% | | | Monthly | | | — | | | | 83 | |
USD | | | 87,566 | | | 12/27/22 | | JPMorgan Chase | | | Vonage Holdings Corp. | | | | 0.50% | | | Monthly | | | — | | | | 295 | |
USD | | | 53,209 | | | 01/09/23 | | JPMorgan Chase | | | GCP Applied Technologies | | | | 0.50% | | | Monthly | | | — | | | | 0 | |
USD | | | 61,628 | | | 02/06/23 | | JPMorgan Chase | | | Vonage Holdings Corp. | | | | 0.50% | | | Monthly | | | — | | | | 133 | |
USD | | | 38,702 | | | 02/06/23 | | JPMorgan Chase | | | (0.30)% | | | | Goldman Sachs Group, Inc. | | | Monthly | | | — | | | | 3,944 | |
USD | | | 161,741 | | | 03/07/22 | | Macquarie Bank Ltd. | | | Bloomberg Agriculture Index | | | | 0.10% | | | At Maturity | | | — | | | | 10,246 | |
USD | | | 3,639,761 | | | 03/07/22 | | Morgan Stanley | | | GC Intraday Momentum Index(e) | | | | 0.15% | | | At Maturity | | | — | | | | 5,442 | |
USD | | | 3,089,205 | | | 03/07/22 | | Societe Generale | | | SGI VRR US Index(a) | | | | 0.25% | | | At Maturity | | | — | | | | 21,120 | |
| | | | | | | | | | | | | | | | | | | | $ | — | | | $ | 448,320 | |
Total Return Swap Contracts
Currency | | Notional Amount | | | Expiration Date | | Counterparty | | Receive | | | Pay | | | Periodic Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Net Unrealized Depreciation | |
USD | | $ | 63,902 | | | 03/04/22 | | Bank of America | | | Bank of America Equities US Volatility Carry Hourly Hedged Index(b) | | | | 0.00% | | | Monthly | | $ | — | | | $ | (1,416 | ) |
USD | | | 1,697,696 | | | 03/04/22 | | Bank of America | | | BofA Daily Listed Put Ratio and Call Ratio Index - US(b) | | | | 0.05% | | | At Maturity | | | — | | | | (6,642 | ) |
USD | | | 649,674 | | | 03/07/22 | | Bank of America | | | Bank of America Equities US Volatility Carry Hourly Hedged Index(b) | | | | 0.00% | | | Monthly | | | — | | | | (12,805 | ) |
USD | | | 2,482,344 | | | 05/25/22 | | Bank of America | | | BAML USD Custom Equity Basket(b) | | | | 0.59% | | | Monthly | | | — | | | | (337,028 | ) |
USD | | | 3,451,029 | | | 03/07/22 | | Barclays Bank PLC | | | Barclays Month End Rebalancing Currency Index(b) | | | | 0.20% | | | At Maturity | | | — | | | | (9,023 | ) |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2022 (unaudited)
Total Return Swap Contracts (continued)
Currency | | Notional Amount | | | Expiration Date | | Counterparty | | Receive | | | Pay | | | Periodic Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Net Unrealized Depreciation | |
USD | | $ | 664,015 | | | 03/07/22 | | Barclays Bank PLC | | | Shiller Barclays CAPE US Mid - Month Sector Market Hedged ER Index(b) | | | | 0.60% | | | At Maturity | | $ | — | | | $ | (3,018 | ) |
USD | | | 1,021,648 | | | 03/07/22 | | BNP Paribas | | | BNP Alpha Momentum ex-Agriculture and Livestock Net index(b) | | | | 0.30% | | | At Maturity | | | — | | | | (31,432 | ) |
EUR | | | 767,971 | | | 03/07/22 | | BNP Paribas | | | BNP Paribas Equity Low Vol Europe Index(b) | | | | 0.00% | | | At Maturity | | | — | | | | (9,616 | ) |
USD | | | 289,508 | | | 03/07/22 | | BNP Paribas | | | BNP Paribhas Dynamic Pre Roll Alpha ex Agriculture and Livestock Index(b) | | | | 0.08% | | | At Maturity | | | — | | | | (171 | ) |
USD | | | 1,587,307 | | | 03/07/22 | | Citigroup | | | Citi Equity US Tech Congestion Index Series 1(b) | | | | 0.00% | | | At Maturity | | | — | | | | (49,465 | ) |
USD | | | 1,817,666 | | | 03/07/22 | | Goldman Sachs | | | Goldman Sachs Commodity Strategy Index(b) | | | | 0.00% | | | At Maturity | | | — | | | | (1,190 | ) |
USD | | | 3,600,730 | | | 03/07/22 | | Goldman Sachs | | | Goldman Sachs Commodities Seasonality Index(b) | | | | 0.00% | | | At Maturity | | | — | | | | (44,559 | ) |
USD | | | 1,379,461 | | | 03/07/22 | | Goldman Sachs | | | Goldman Sachs DISP U.S. Index(b) | | | | 0.00% | | | At Maturity | | | — | | | | (49,717 | ) |
USD | | | 2,877,537 | | | 03/07/22 | | Goldman Sachs | | | Goldman Sachs VVOL Carry ER(b) | | | | 0.00% | | | At Maturity | | | — | | | | (39,490 | ) |
USD | | | 133,369 | | | 03/07/22 | | Goldman Sachs | | | Goldman Sachs RP 109 Long Short Series SR Excess Return Strategy(b) | | | | (0.60)% | | | At Maturity | | | — | | | | (12,810 | ) |
USD | | | 407,183 | | | 04/29/22 | | Goldman Sachs | | | Welbilt, Inc. | | | | 0.54% | | | Monthly | | | — | | | | (1,196 | ) |
USD | | | 89,384 | | | 04/29/22 | | Goldman Sachs | | | Flagstar Bancorp, Inc. | | | | 0.54% | | | Monthly | | | — | | | | (7,707 | ) |
USD | | | 82,807 | | | 06/10/22 | | Goldman Sachs | | | First Midwest Bancorp, Inc. | | | | 0.54% | | | Monthly | | | — | | | | (2,136 | ) |
USD | | | 101,603 | | | 08/04/22 | | Goldman Sachs | | | (0.22)% | | | | Citizens Financial Group | | | Monthly | | | — | | | | (977 | ) |
USD | | | 5,330 | | | 09/22/22 | | Goldman Sachs | | | Great Western Bancorp, Inc. | | | | 0.54% | | | Monthly | | | — | | | | (822 | ) |
USD | | | 78,679 | | | 10/20/22 | | Goldman Sachs | | | (0.22)% | | | | Columbia Banking System, Inc. | | | Monthly | | | — | | | | (2,493 | ) |
USD | | | 26,589 | | | 12/15/22 | | Goldman Sachs | | | Arena Pharmaceuticals, Inc. | | | | 0.54% | | | Monthly | | | — | | | | (283 | ) |
CAD | | | 19,195 | | | 12/20/22 | | Goldman Sachs | | | Shaw Communications, Inc. | | | | 0.85% | | | Monthly | | | — | | | | (40 | ) |
USD | | | 151,674 | | | 12/22/22 | | Goldman Sachs | | | CMC Materials, Inc. | | | | 0.54% | | | Monthly | | | — | | | | (7,263 | ) |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2022 (unaudited)
Total Return Swap Contracts (continued)
Currency | | Notional Amount | | | Expiration Date | | Counterparty | | Receive | | | Pay | | | Periodic Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Net Unrealized Depreciation | |
USD | | $ | 74,966 | | | 12/22/22 | | Goldman Sachs | | | Cerner Corp. | | | | 0.54% | | | Monthly | | $ | — | | | $ | (1,122 | ) |
USD | | | 82,288 | | | 12/29/22 | | Goldman Sachs | | | Bottomline Technologies | | | | 0.54% | | | Monthly | | | — | | | | (15 | ) |
USD | | | 89,546 | | | 12/29/22 | | Goldman Sachs | | | Ortho Clinical Diagnostics | | | | 0.54% | | | Monthly | | | — | | | | (12,251 | ) |
USD | | | 64,200 | | | 01/06/23 | | Goldman Sachs | | | Sterling Bancorp. | | | | 0.54% | | | Monthly | | | — | | | | (4,837 | ) |
USD | | | 56,187 | | | 01/06/23 | | Goldman Sachs | | | Flagstar Bancorp, Inc. | | | | 0.54% | | | Monthly | | | — | | | | (6,005 | ) |
USD | | | 61,576 | | | 01/06/23 | | Goldman Sachs | | | Umpqua Holdings Corp. | | | | 0.54% | | | Monthly | | | — | | | | (26 | ) |
USD | | | 62,841 | | | 01/06/23 | | Goldman Sachs | | | Peoples United Financial | | | | 0.54% | | | Monthly | | | — | | | | (1,503 | ) |
USD | | | 35,540 | | | 01/06/23 | | Goldman Sachs | | | Forterra, Inc. | | | | 0.54% | | | Monthly | | | — | | | | (663 | ) |
USD | | | 688,134 | | | 01/06/23 | | Goldman Sachs | | | (0.22)% | | | | Vanguard FTSE Emerging Market | | | Monthly | | | — | | | | (7,097 | ) |
USD | | | 52,070 | | | 01/06/23 | | Goldman Sachs | | | Cerner Corp. | | | | 0.54% | | | Monthly | | | — | | | | (745 | ) |
USD | | | 11,416 | | | 01/06/23 | | Goldman Sachs | | | Allegiance Bancshares, Inc. | | | | 0.54% | | | Monthly | | | — | | | | (188 | ) |
USD | | | 48,020 | | | 01/06/23 | | Goldman Sachs | | | CMC Materials, Inc. | | | | 0.54% | | | Monthly | | | — | | | | (2,293 | ) |
USD | | | 18,673 | | | 01/06/23 | | Goldman Sachs | | | Arena Pharmaceuticals, Inc. | | | | 0.54% | | | Monthly | | | — | | | | (185 | ) |
USD | | | 62,401 | | | 01/06/23 | | Goldman Sachs | | | Rogers Corp. | | | | 0.54% | | | Monthly | | | — | | | | (168 | ) |
USD | | | 68,522 | | | 01/06/23 | | Goldman Sachs | | | First Midwest Bancorp, Inc. | | | | 0.54% | | | Monthly | | | — | | | | (3,678 | ) |
EUR | | | 11,856 | | | 01/06/23 | | Goldman Sachs | | | Akka Technologies | | | | (0.07)% | | | Monthly | | | — | | | | (22 | ) |
USD | | | 60,509 | | | 01/06/23 | | Goldman Sachs | | | American National Group, Inc. | | | | 0.54% | | | Monthly | | | — | | | | (74 | ) |
USD | | | 62,246 | | | 01/06/23 | | Goldman Sachs | | | Mcafee Corp. | | | | 0.54% | | | Monthly | | | — | | | | (276 | ) |
USD | | | 63,036 | | | 01/06/23 | | Goldman Sachs | | | Ortho Clinical Diagnostics | | | | 0.54% | | | Monthly | | | — | | | | (9,095 | ) |
CAD | | | 13,477 | | | 01/06/23 | | Goldman Sachs | | | Shaw Communications, Inc. | | | | 0.88% | | | Monthly | | | — | | | | (76 | ) |
USD | | | 52,324 | | | 01/26/23 | | Goldman Sachs | | | Activison Blizzard, Inc. | | | | 0.54% | | | Monthly | | | — | | | | (19 | ) |
USD | | | 799,996 | | | 03/07/22 | | JPMorgan Chase | | | J.P. Morgan EMBI Global Core(a) | | | | 0.10% | | | At Maturity | | | (4 | ) | | | (24,083 | ) |
USD | | | 3,152,065 | | | 03/07/22 | | JPMorgan Chase | | | J.P. Morgan Equities Turn-of the Month Seasonality Index(b) | | | | 0.00% | | | At Maturity | | | — | | | | (186,413 | ) |
USD | | | 3,600,631 | | | 03/07/22 | | JPMorgan Chase | | | J.P. Morgan Commodities Fundamental Value Index(b) | | | | 0.80% | | | At Maturity | | | — | | | | (51,544 | ) |
USD | | | 84,628 | | | 04/11/22 | | JPMorgan Chase | | | (0.30)% | | | | M & T Bank Corp. | | | Monthly | | | — | | | | (2,094 | ) |
USD | | | 50,416 | | | 04/11/22 | | JPMorgan Chase | | | Forterra, Inc. | | | | 0.50% | | | Monthly | | | — | | | | (824 | ) |
USD | | | 321,731 | | | 05/23/22 | | JPMorgan Chase | | | Sterling Bancorp. | | | | 0.50% | | | Monthly | | | — | | | | (13,034 | ) |
USD | | | 51,034 | | | 06/20/22 | | JPMorgan Chase | | | Ferro Corp. | | | | 0.50% | | | Monthly | | | — | | | | (47 | ) |
EUR | | | 16,914 | | | 09/05/22 | | JPMorgan Chase | | | Akka Technologies | | | | (0.17)% | | | Monthly | | | — | | | | (34 | ) |
USD | | | 54,934 | | | 10/24/22 | | JPMorgan Chase | | | GreenSky, Inc. | | | | 0.52% | | | Monthly | | | — | | | | (6,109 | ) |
USD | | | 88,790 | | | 12/12/22 | | JPMorgan Chase | | | Rogers Corp. | | | | 0.50% | | | Monthly | | | — | | | | (81 | ) |
USD | | | 88,451 | | | 12/12/22 | | JPMorgan Chase | | | Mcafee Corp. | | | | 0.50% | | | Monthly | | | — | | | | (343 | ) |
EUR | | | 53,807 | | | 01/13/23 | | JPMorgan Chase | | | Intertrust NV | | | | (0.18)% | | | Monthly | | | — | | | | (1,131 | ) |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2022 (unaudited)
Total Return Swap Contracts (continued)
Currency | | Notional Amount | | | Expiration Date | | Counterparty | | Receive | | | Pay | | | Periodic Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Net Unrealized Depreciation | |
USD | | $ | 35,896 | | | 02/06/23 | | JPMorgan Chase | | | Ferro Corp. | | | | 0.50% | | | Monthly | | $ | — | | | $ | (67 | ) |
USD | | | 4,215 | | | 02/06/23 | | JPMorgan Chase | | | Great Western Bancorp, Inc. | | | | 0.50% | | | Monthly | | | — | | | | (695 | ) |
USD | | | 38,426 | | | 02/06/23 | | JPMorgan Chase | | | GreenSky, Inc. | | | | 0.50% | | | Monthly | | | — | | | | (3,923 | ) |
EUR | | | 37,659 | | | 02/06/23 | | JPMorgan Chase | | | Intertrust NV | | | | (0.22)% | | | Monthly | | | — | | | | (776 | ) |
USD | | | 663,650 | | | 03/07/22 | | Macquarie Bank Ltd. | | | Macquarie WTI Intraday Mean Reversion(d) | | | | 0.15% | | | At Maturity | | | — | | | | (18,213 | ) |
USD | | | 40,733 | | | 03/07/22 | | Macquarie Bank Ltd. | | | Bloomberg Precious Metals Index | | | | 0.09% | | | At Maturity | | | — | | | | (100 | ) |
USD | | | 4,232,287 | | | 03/07/22 | | Morgan Stanley | | | Morgan Stanley Commodities Curve Carry Index(b) | | | | 0.35% | | | At Maturity | | | — | | | | (36,934 | ) |
USD | | | 758,073 | | | 03/07/22 | | Morgan Stanley | | | Morgan Stanley Soy Dynamic Congestion Index(b) | | | | 0.25% | | | At Maturity | | | — | | | | (598 | ) |
USD | | | 1,174,529 | | | 02/17/22 | | Societe Generale | | | SGI Coda Index(b) | | | | 0.25% | | | At Maturity | | | — | | | | (14,676 | ) |
USD | | | 1,364,528 | | | 03/07/22 | | Societe Generale | | | SG US Trend Index(c) | | | | 0.30% | | | At Maturity | | | — | | | | (89,549 | ) |
| | | | | | | | | | | | | | | | | | | | $ | (4 | ) | | $ | (1,132,905 | ) |
| | | | | | | | | | | | | | | | | | | | $ | (4 | ) | | $ | (684,585 | ) |
(a) The index constituents are available on the counterparty’s website.
(b) The index constituents are available on the Fund’s website.
(c) The Index intends to track the performance of a strategy that trades the daily trend of the S&P 500 (the Underlying Index).
(d) The index intends to track the performance of a strategy that trades the daily trend of crude oil futures.
(e) The Index intends to track the performance of a strategy that trades the daily trend of the GC COMEX Gold Futures.
Currency Abbreviations: | |
| |
AUD = Australian Dollar | |
CAD = Canadian Dollar | |
CHF = Swiss Franc | |
DKK = Danish Krone | |
EUR = Euro | |
GBP = British Pound | |
JPY = Japanese Yen | |
NOK = Norwegian Krone | |
SEK = Swedish Krona | |
USD = United States Dollar | |
SECURITY VALUATION — The Board of Trustees (the "Board") is responsible for the Fund’s valuation process. The Board has delegated the supervision of the daily valuation process to Credit Suisse Asset Management, LLC, the Fund’s investment adviser (“Credit Suisse” or the “Adviser”), who has established a Pricing Committee which, pursuant to the policies adopted by the Board, is responsible for making fair valuation determinations and overseeing the Fund’s pricing policies. The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. For certain international equity securities, in order to adjust for events which may occur between the close of the foreign exchanges and the close of the Exchange, a fair valuation model may be used. This fair valuation model takes into account comparisons to the valuation of American Depository Receipts (ADRs), exchange-traded funds, futures contracts and certain indices and these securities are categorized as Level 2. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional “round lot” size, but some trades occur in smaller “odd lot” sizes which may be 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, 2022 in valuing the Fund’s assets and liabilities carried at fair value:
Assets | | | Level 1 | | | | Level 2 | | | | Level 3 | | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 335,719 | | | $ | 119,548 | | | $ | — | | | $ | 455,267 | |
Exchange-traded Funds | | | 1,644,114 | | | | — | | | | — | | | | 1,644,114 | |
Right | | | 145 | | | | — | | | | — | | | | 145 | |
United States Treasury Obligations | | | — | | | | 11,188,293 | | | | — | | | | 11,188,293 | |
Short-term Investments | | | 5,442,890 | | | | 482,668 | | | | — | | | | 5,925,558 | |
| | $ | 7,422,868 | | | $ | 11,790,509 | | | $ | — | | | $ | 19,213,377 | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 3,445 | | | $ | — | | | $ | 3,445 | |
Futures Contracts | | | 402,629 | | | | — | | | | — | | | | 402,629 | |
Swap Contracts | | | — | | | | 448,320 | | | | — | | | | 448,320 | |
Liabilities | | | Level 1 | | | | Level 2 | | | | Level 3 | | | | Total | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 3,898 | | | $ | — | | | $ | 3,898 | |
Futures Contracts | | | 232,443 | | | | — | | | | — | | | | 232,443 | |
Swap Contracts | | | — | | | | 1,132,905 | | | | — | | | | 1,132,905 | |
* Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts, futures and swap contracts.
During the period ended January 31, 2022, 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, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (84.1%) | |
Advertising (0.1%) | |
$ | 4,268 | | | MH Sub I LLC, LIBOR 1M + 3.500%(1) | | (B, B2) | | 09/13/24 | | | 3.605 | | | $ | 4,254,340 | |
| | | | | | | | | | | | | | | | |
Aerospace & Defense (1.8%) |
| 4,006 | | | Amentum Government Services Holdings LLC, LIBOR 1M + 3.500%(1) | | (B, B1) | | 01/29/27 | | | 3.605 | | | | 4,016,249 | |
| 4,750 | | | Amentum Government Services Holdings LLC, LIBOR 1M + 8.750%(1),(2) | | (NR, NR) | | 01/31/28 | | | 10.000 | | | | 4,785,625 | |
| 1,757 | | | Amentum Government Services Holdings LLC, LIBOR 3M + 4.750%(1) | | (B, B1) | | 01/29/27 | | | 5.500 | | | | 1,761,975 | |
| 6,000 | | | Amentum Government Services Holdings LLC(2),(3),(4) | | (NR, NR) | | 12/07/29 | | | 0.000 | | | | 5,820,000 | |
| 11,750 | | | Amentum Government Services Holdings LLC(2),(3),(4) | | (B, B1) | | 03/31/27 | | | 0.000 | | | | 11,691,250 | |
| 2,560 | | | Fly Funding II Sarl, LIBOR 3M + 1.750%(1) | | (BB+, Ba3) | | 08/11/25 | | | 2.750 | | | | 2,515,112 | |
| 9,025 | | | KKR Apple Bidco, LLC, LIBOR 1M + 3.000%(1) | | (B+, B1) | | 09/23/28 | | | 3.500 | | | | 9,017,164 | |
| 3,517 | | | Peraton Corp., LIBOR 1M + 7.750%(1) | | (NR, NR) | | 02/01/29 | | | 8.500 | | | | 3,602,929 | |
| 18,865 | | | Peraton Corp., LIBOR 1M + 3.750%(1) | | (B+, B1) | | 02/01/28 | | | 4.500 | | | | 18,887,223 | |
| | | | | | | | | | | | | | | 62,097,527 | |
Air Transportation (0.4%) |
| 9,319 | | | Brown Group Holding LLC, LIBOR 3M + 2.500%(1) | | (B+, B1) | | 06/07/28 | | | 3.000 | | | | 9,282,894 | |
| 4,963 | | | United Airlines, Inc., LIBOR 3M + 3.750%(1) | | (BB-, Ba1) | | 04/21/28 | | | 4.500 | | | | 4,976,271 | |
| | | | | | | | | | | | | | | 14,259,165 | |
Auto Parts & Equipment (3.9%) |
| 5,977 | | | Adient U.S. LLC, LIBOR 1M + 3.500%(1) | | (BB-, Ba3) | | 04/10/28 | | | 3.605 | | | | 5,985,195 | |
| 1,933 | | | American Axle & Manufacturing, Inc., LIBOR 1M + 2.250%(1) | | (BB+, Ba1) | | 04/06/24 | | | 3.000 | | | | 1,930,197 | |
| 13,942 | | | Autokiniton U.S. Holdings, Inc., LIBOR 3M + 4.500%(1) | | (B, B2) | | 04/06/28 | | | 5.000 | | | | 13,970,354 | |
| 11,083 | | | Clarios Global LP, LIBOR 1M + 3.250%(1) | | (B, B1) | | 04/30/26 | | | 3.355 | | | | 11,047,209 | |
| 15,667 | | | CS Intermediate Holdco 2 LLC, LIBOR 1M + 2.000%(1),(5) | | (B-, B2) | | 11/02/23 | | | 2.750 | | | | 14,669,076 | |
| 11,894 | | | Dayco Products LLC, LIBOR 3M + 4.250%(1) | | (CCC+, B3) | | 05/19/23 | | | 4.425 | | | | 11,739,841 | |
| 6,454 | | | Dealer Tire LLC, LIBOR 1M + 4.250%(1) | | (B-, B1) | | 12/12/25 | | | 4.355 | | | | 6,471,903 | |
| 8,376 | | | Garrett LX I Sarl, LIBOR 3M + 3.250%(1),(2) | | (B+, Ba2) | | 04/30/28 | | | 3.750 | | | | 8,354,877 | |
| 7,284 | | | Gates Global LLC, LIBOR 1M + 2.500%(1) | | (B+, B1) | | 03/31/27 | | | 3.250 | | | | 7,273,094 | |
| 1,898 | | | Jason Group, Inc., LIBOR 3M + 1.000% Cash, 9.000% PIK"(1),(6) | | (CCC-, Caa3) | | 03/02/26 | | | 11.000 | | | | 1,875,774 | |
| 2,712 | | | Jason Group, Inc., LIBOR 3M + 2.000% Cash, 4.000% PIK"(1),(6) | | (B-, Caa1) | | 08/28/25 | | | 7.000 | | | | 2,698,124 | |
| 11,252 | | | Les Schwab Tire Centers, LIBOR 3M + 3.250%(1) | | (B, B2) | | 11/02/27 | | | 4.000 | | | | 11,248,336 | |
| 1,129 | | | PAI Holdco, Inc., LIBOR 3M + 3.750%(1) | | (B, B1) | | 10/28/27 | | | 4.250 | | | | 1,128,984 | |
| 5,732 | | | RVR Dealership Holdings LLC, LIBOR 3M + 4.000%(1) | | (BB-, B1) | | 02/08/28 | | | 4.750 | | | | 5,721,151 | |
| 6,199 | | | Superior Industries International, Inc., LIBOR 1M + 4.000%(1),(5) | | (B, Ba3) | | 05/22/24 | | | 4.105 | | | | 6,202,722 | |
| 7,023 | | | TI Group Automotive Systems LLC, EURIBOR 3M + 3.250%(1),(7) | | (BB+, Ba3) | | 12/16/26 | | | 3.250 | | | | 7,887,858 | |
| 5,230 | | | TI Group Automotive Systems LLC, LIBOR 3M + 3.250%(1) | | (BB+, Ba3) | | 12/16/26 | | | 3.750 | | | | 5,233,128 | |
| 9,967 | | | U.S. Farathane LLC, LIBOR 3M + 4.250%(1) | | (CCC+, B2) | | 12/23/24 | | | 5.250 | | | | 9,385,567 | |
| | | | | | | | | | | | | | | 132,823,390 | |
Banking (0.5%) |
| 13,762 | | | Citco Funding LLC, LIBOR 3M + 2.500%(1) | | (NR, Ba3) | | 09/28/23 | | | 2.658 | | | | 13,751,578 | |
| 2,955 | | | Citco Funding LLC, LIBOR 3M + 3.250%(1),(2) | | (NR, Ba3) | | 09/28/23 | | | 3.750 | | | | 2,955,000 | |
| | | | | | | | | | | | | | | 16,706,578 | |
Brokerage (0.1%) |
| 2,114 | | | RE/MAX International, Inc., LIBOR 3M + 2.500%(1) | | (BB, Ba3) | | 07/21/28 | | | 3.000 | | | | 2,109,666 | |
| | | | | | | | | | | | | | | | |
Building & Construction (0.3%) |
| 7,402 | | | MX Holdings U.S., Inc., LIBOR 1M + 2.500%(1) | | (B+, B1) | | 07/31/25 | | | 3.250 | | | | 7,383,301 | |
| 235 | | | Service Logic Acquisition, Inc., LIBOR 3M + 4.000%(1),(2),(8) | | (B, B2) | | 10/29/27 | | | 4.000 | | | | 234,774 | |
| 2,830 | | | Service Logic Acquisition, Inc., LIBOR 3M + 4.000%(1),(2) | | (B, B2) | | 10/29/27 | | | 4.750 | | | | 2,829,861 | |
| | | | | | | | | | | | | | | 10,447,936 | |
Building Materials (2.9%) |
| 9,283 | | | Chamberlain Group, Inc., LIBOR 1M + 3.500%(1) | | (B, B2) | | 11/03/28 | | | 4.000 | | | | 9,277,599 | |
| 16,548 | | | Core & Main LP, LIBOR 1M + 2.500%(1) | | (B+, Ba3) | | 07/27/28 | | | 2.608 | | | | 16,485,951 | |
| 18,012 | | | Cornerstone Building Brands, Inc., LIBOR 1M + 3.250%(1) | | (B+, B1) | | 04/12/28 | | | 3.750 | | | | 18,003,975 | |
| 1,689 | | | DiversiTech Holdings, Inc.(3) | | (B-, B2) | | 12/16/28 | | | 0.000 | | | | 1,689,703 | |
| 349 | | | DiversiTech Holdings, Inc.(3) | | (NR, B2) | | 12/16/28 | | | 0.000 | | | | 349,594 | |
| 7,091 | | | Floor & Decor Outlets of America, Inc., LIBOR 1M + 2.000%(1) | | (BB-, Ba2) | | 02/14/27 | | | 2.110 | | | | 7,033,762 | |
| 9,873 | | | Foundation Building Materials Holding Co. LLC, LIBOR 1M + 3.250%(1) | | (B, B2) | | 02/03/28 | | | 3.750 | | | | 9,837,092 | |
| 1,451 | | | Hillman Group, Inc. (The) (Delayed Draw Term Loan), LIBOR 1M + 2.750%(1),(8) | | (B+, B1) | | 07/14/28 | | | 3.250 | | | | 1,448,139 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | |
Building Materials (continued) | | | | | | | | | | | | |
$ | 6,046 | | | Hillman Group, Inc. (The) (Term Loan B1), LIBOR 1M + 2.750%(1) | | (B+, B1) | | 07/14/28 | | | 3.250 | | | $ | 6,032,073 | |
| 2,672 | | | LBM Acquisition LLC(3) | | (B-, B3) | | 12/17/27 | | | 0.000 | | | | 2,659,588 | |
| 11,109 | | | Park River Holdings, Inc., LIBOR 3M + 3.250%(1) | | (B-, B1) | | 12/28/27 | | | 4.000 | | | | 11,066,576 | |
| 7,481 | | | SRS Distribution, Inc., LIBOR 3M + 3.750%(1) | | (B-, B2) | | 06/02/28 | | | 4.250 - 4.269 | | | | 7,484,308 | |
| 5,225 | | | Wilsonart LLC, LIBOR 3M + 3.500%(1) | | (B+, B2) | | 12/19/26 | | | 4.500 | | | | 5,221,314 | |
| | | | | | | | | | | | | | | 96,589,674 | |
Cable & Satellite TV (0.7%) | | | | | | | | | | | |
| 15,032 | | | CSC Holdings LLC, LIBOR 1M + 2.250%(1) | | (BB, Ba3) | | 07/17/25 | | | 2.356 | | | | 14,844,207 | |
| 7,000 | | | Ziggo B.V., EURIBOR 6M + 3.000%(1),(7) | | (B+, B1) | | 01/31/29 | | | 3.000 | | | | 7,750,126 | |
| | | | | | | | | | | | | | | 22,594,333 | |
Chemicals (5.8%) | | | | | | | | | | | | |
| 2,698 | | | Aruba Investments, Inc., LIBOR 6M + 3.750%(1) | | (B-, B2) | | 11/24/27 | | | 4.500 | | | | 2,704,513 | |
| 10,315 | | | Ascend Performance Materials Operations LLC, LIBOR 3M + 4.750%(1) | | (BB-, B1) | | 08/27/26 | | | 5.500 | | | | 10,371,699 | |
| 3,538 | | | ASP Chromaflo Dutch I B.V., LIBOR 1M + 3.500%(1),(2) | | (B, B2) | | 11/20/23 | | | 4.500 | | | | 3,542,444 | |
| 2,475 | | | ASP Chromaflo Intermediate Holdings, Inc., LIBOR 1M + 3.500%(1),(2) | | (B, B2) | | 11/20/23 | | | 4.500 | | | | 2,478,461 | |
| 25,878 | | | Atotech B.V., LIBOR 1M + 2.500%(1) | | (B+, B1) | | 03/18/28 | | | 3.000 | | | | 25,861,786 | |
| 7,286 | | | CeramTec AcquiCo GmbH, EURIBOR 3M + 2.500%(1),(7) | | (B, B2) | | 03/07/25 | | | 2.500 | | | | 8,178,868 | |
| 2,149 | | | CPC Acquisition Corp., LIBOR 3M + 7.750%(1) | | (CCC, Caa2) | | 12/29/28 | | | 8.500 | | | | 2,117,081 | |
| 3,970 | | | CPC Acquisition Corp., LIBOR 3M + 3.750%(1) | | (B, B3) | | 12/29/27 | | | 4.500 | | | | 3,946,835 | |
| 1,900 | | | Flint Group GmbH, EURIBOR 3M + 4.250%(1),(7) | | (CCC+, Caa1) | | 09/21/23 | | | 5.000 | | | | 2,119,030 | |
| 550 | | | Flint Group GmbH, LIBOR 3M + 4.250% Cash, 0.750% PIK"(1),(6) | | (CCC+, Caa1) | | 09/21/23 | | | 6.000 | | | | 547,197 | |
| 3,325 | | | Flint Group U.S. LLC, LIBOR 3M + 4.250% Cash, 0.750% PIK(1),(6) | | (CCC+, Caa1) | | 09/21/23 | | | 6.000 | | | | 3,310,096 | |
| 6,626 | | | Gemini HDPE LLC, LIBOR 3M + 3.000%(1) | | (BB, Ba2) | | 12/31/27 | | | 3.500 | | | | 6,626,903 | |
| 1,641 | | | GEON Performance Solutions, LLC, LIBOR 3M + 4.750%(1) | | (B+, B2) | | 08/18/28 | | | 5.500 | | | | 1,656,051 | |
| 2,386 | | | Illuminate Buyer, LLC, LIBOR 1M + 3.500%(1) | | (B+, B1) | | 06/30/27 | | | 3.605 | | | | 2,380,013 | |
| 2,490 | | | INEOS Styrolution U.S. Holding LLC, LIBOR 1M + 2.750%(1) | | (BB, Ba3) | | 01/29/26 | | | 3.250 | | | | 2,488,058 | |
| 17,533 | | | Ineos U.S. Finance LLC, LIBOR 1M + 2.000%(1) | | (BB, Ba2) | | 04/01/24 | | | 2.105 | | | | 17,456,251 | |
| 1,068 | | | Kraton Polymers, LLC(2),(3) | | (BB, Ba3) | | 11/18/28 | | | 0.000 | | | | 1,073,155 | |
| 8,099 | | | Luxembourg Investment Co. 428 Sarl, SOFR 3M + 5.000%(1) | | (B, B2) | | 01/03/29 | | | 5.500 | | | | 8,119,590 | |
| 6,668 | | | Messer Industries GmbH, LIBOR 3M + 2.500%(1) | | (BB-, B1) | | 03/02/26 | | | 2.724 | | | | 6,632,268 | |
| 6,384 | | | Orion Engineered Carbons GmbH, LIBOR 3M + 2.250%(1),(2) | | (BB, Ba2) | | 09/24/28 | | | 2.750 | | | | 6,328,140 | |
| 13,086 | | | PMHC II, Inc., LIBOR 3M + 3.500%(1) | | (B-, B3) | | 03/31/25 | | | 4.500 | | | | 13,052,998 | |
| 2,907 | | | PMHC II, Inc., LIBOR 1M + 7.750%(1),(5) | | (CCC+, Caa2) | | 03/30/26 | | | 8.750 | | | | 2,885,350 | |
| 11,414 | | | Polar U.S. Borrower LLC, LIBOR 1M + 4.750%, LIBOR 3M + 4.750%(1) | | (B-, B3) | | 10/15/25 | | | 4.854 - 4.988 | | | | 11,428,132 | |
| 8,357 | | | Ravago Holdings America, Inc., LIBOR 3M + 2.500%(1) | | (NR, B1) | | 03/04/28 | | | 2.720 | | | | 8,302,029 | |
| 4,100 | | | RelaDyne, Inc.(3) | | (NR, NR) | | 12/22/28 | | | 0.000 | | | | 4,103,854 | |
| 4,100 | | | RelaDyne, Inc.(3) | | (B, B2) | | 12/22/28 | | | 0.000 | | | | 4,079,500 | |
| 14,322 | | | Starfruit Finco B.V, LIBOR 1M + 3.000%(1) | | (B+, B2) | | 10/01/25 | | | 3.105 | | | | 14,250,437 | |
| 2,855 | | | Tronox Finance LLC, LIBOR 1M + 2.250%, LIBOR 3M + 2.250%(1) | | (BB-, Ba3) | | 03/13/28 | | | 2.355 - 2.474 | | | | 2,842,744 | |
| 1,174 | | | UTEX Industries, Inc., LIBOR 1M + 5.250%(1) | | (NR, NR) | | 12/03/25 | | | 11.000 | | | | 1,167,650 | |
| 3,978 | | | Vantage Specialty Chemicals, Inc., LIBOR 3M + 8.250%(1),(5) | | (CCC-, Caa3) | | 10/27/25 | | | 9.250 | | | | 3,908,648 | |
| 4,050 | | | Vantage Specialty Chemicals, Inc.(3) | | (CCC+, Caa1) | | 10/28/24 | | | 0.000 | | | | 3,990,263 | |
| 6,469 | | | Zep, Inc., LIBOR 3M + 4.000%(1) | | (CCC+, B2) | | 08/12/24 | | | 5.000 | | | | 6,320,892 | |
| 2,198 | | | Zep, Inc., LIBOR 3M + 8.250%(1),(5) | | (CCC-, Caa2) | | 08/11/25 | | | 9.250 | | | | 2,110,255 | |
| | | | | | | | | | | | | | | 196,381,191 | |
Diversified Capital Goods (1.7%) | | | | | | | | | | | |
| 9,769 | | | Callaway Golf Co., LIBOR 1M + 4.500%(1) | | (B, B1) | | 01/02/26 | | | 4.605 | | | | 9,808,262 | |
| 885 | | | DexKo Global, Inc. (Delayed Draw Term Loan), LIBOR 3M + 3.750%(1),(8) | | (B-, B1) | | 10/04/28 | | | 4.250 | | | | 885,632 | |
| 4,080 | | | DexKo Global, Inc. (Term Loan B), LIBOR 3M + 3.750%(1) | | (B-, B1) | | 10/04/28 | | | 4.250 | | | | 4,080,450 | |
| 10,515 | | | Dynacast International LLC, LIBOR 3M + 4.750%(1),(2) | | (B-, B2) | | 07/22/25 | | | 5.750 | | | | 10,567,970 | |
| 1,373 | | | Dynacast International LLC, LIBOR 3M + 9.250%(1),(2) | | (CCC, Caa2) | | 10/22/25 | | | 10.250 | | | | 1,400,764 | |
| 3,808 | | | Electrical Components International, Inc., LIBOR 1M + 4.250%(1) | | (B-, B2) | | 06/26/25 | | | 4.355 | | | | 3,797,567 | |
| 4,986 | | | Electrical Components International, Inc., PRIME + 7.500%(1),(2) | | (B-, B2) | | 06/26/25 | | | 7.500 - 10.750 | | | | 4,973,199 | |
| 6,010 | | | Filtration Group Corp., LIBOR 1M + 3.500%(1) | | (B, B3) | | 10/21/28 | | | 4.000 | | | | 6,012,197 | |
| 3,318 | | | GrafTech Finance, Inc., LIBOR 1M + 3.000%(1) | | (BB, Ba3) | | 02/12/25 | | | 3.500 | | | | 3,321,648 | |
| 11,448 | | | Hayward Industries, Inc., LIBOR 1M + 2.500%(1) | | (BB-, B2) | | 05/30/28 | | | 3.000 | | | | 11,427,274 | |
| | | | | | | | | | | | | | | 56,274,963 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | |
Electric-Integrated (0.1%) | |
$ | 3,936 | | | Pacific Gas & Electric Co., LIBOR 3M + 3.000%(1) | | (BB-, B1) | | 06/23/25 | | | 3.500 | | | $ | 3,866,757 | |
| | | | | | | | | | | | | | | | |
Electronics (2.3%) | | | | | | | | | | | | |
| 4,205 | | | Brooks Automation, Inc., LIBOR 1M + 2.500%(1),(2) | | (BB-, Ba3) | | 10/04/24 | | | 2.610 | | | | 4,202,137 | |
| 3,490 | | | EXC Holdings III Corp., LIBOR 3M + 3.500%(1),(2) | | (B-, B1) | | 12/02/24 | | | 4.500 | | | | 3,494,462 | |
| 7,631 | | | EXC Holdings III Corp., LIBOR 3M + 7.500%(1) | | (CCC+, Caa1) | | 12/01/25 | | | 8.500 | | | | 7,673,717 | |
| 12,179 | | | Idemia Group, LIBOR 3M + 4.500%(1) | | (B-, B3) | | 01/09/26 | | | 5.250 | | | | 12,204,795 | |
| 7,000 | | | Idemia Identity & Security France SAS, EURIBOR 3M + 4.500%(1),(7) | | (B-, B3) | | 01/10/26 | | | 4.500 | | | | 7,882,662 | |
| 3,134 | | | Infinite Bidco LLC, LIBOR 1M + 3.750%(1) | | (B-, B2) | | 03/02/28 | | | 4.250 | | | | 3,136,225 | |
| 1,548 | | | Infinite Bidco LLC, LIBOR 1M + 7.000%(1) | | (CCC, Caa2) | | 03/02/29 | | | 7.500 | | | | 1,555,357 | |
| 4,346 | | | MACOM Technology Solutions Holdings, Inc., LIBOR 1M + 2.250%(1) | | (BB, Ba2) | | 05/17/24 | | | 2.355 | | | | 4,339,320 | |
| 13,940 | | | Mirion Technologies, Inc.(3) | | (B, B1) | | 10/20/28 | | | 0.000 | | | | 13,897,504 | |
| 9,466 | | | MKS Instruments, Inc.(3) | | (BB, Ba1) | | 10/21/28 | | | 0.000 | | | | 9,464,231 | |
| 8,263 | | | Synaptics, Inc., LIBOR 3M + 2.250%(1) | | (BB-, Ba1) | | 12/02/28 | | | 2.750 | | | | 8,269,168 | |
| | | | | | | | | | | | | | | 76,119,578 | |
Energy - Exploration & Production (0.4%) | | | | | | | | | | | | |
| 2,764 | | | CQP Holdco LP, LIBOR 3M + 3.750%(1) | | (B, B2) | | 06/05/28 | | | 4.250 | | | | 2,764,543 | |
| 3,806 | | | PES Holdings LLC(9),(10) | | (NR, NR) | | 12/31/22 | | | 0.000 | | | | 3,919,720 | |
| 15,386 | | | PES Holdings LLC, 3.000% PIK(1),(6),(9) | | (NR, NR) | | 12/31/22 | | | 3.000 | | | | 1,038,538 | |
| 4,614 | | | PES Holdings LLC, 7.000% PIK(1),(5),(6),(9) | | (NR, NR) | | 12/31/22 | | | 7.000 | | | | 4,129,734 | |
| | | | | | | | | | | | | | | 11,852,535 | |
Environmental (0.2%) | | | | | | | | | | | | |
| 1,426 | | | GFL Environmental, Inc., LIBOR 3M + 3.000%(1) | | (BB-, Ba3) | | 05/30/25 | | | 3.500 | | | | 1,429,049 | |
| 3,910 | | | Patriot Container Corp., LIBOR 1M + 3.750%(1) | | (B-, B2) | | 03/20/25 | | | 4.750 | | | | 3,827,195 | |
| | | | | | | | | | | | | | | 5,256,244 | |
Food & Drug Retailers (1.2%) | | | | | | | | | | | | |
| 2,999 | | | L1R HB Finance Ltd., EURIBOR 3M + 4.250%(1),(7) | | (B-, B3) | | 09/02/24 | | | 4.250 | | | | 3,129,872 | |
| 2,999 | | | L1R HB Finance Ltd., EURIBOR 3M + 4.250%(1),(11) | | (B-, B3) | | 09/02/24 | | | 4.250 | | | | 3,667,569 | |
| 12,693 | | | Packaging Coordinators Midco, Inc., LIBOR 3M + 3.750%(1) | | (B-, B2) | | 11/30/27 | | | 4.500 | | | | 12,709,901 | |
| 4,750 | | | Sharp Midco LLC(2),(3) | | (B-, B2) | | 12/31/28 | | | 0.000 | | | | 4,755,937 | |
| 13,494 | | | WOOF Holdings, Inc., LIBOR 3M + 3.750%(1),(2) | | (B-, B2) | | 12/21/27 | | | 4.500 | | | | 13,510,632 | |
| 2,012 | | | WOOF Holdings, Inc., LIBOR 6M + 7.250%(1),(2) | | (CCC, Caa2) | | 12/21/28 | | | 8.000 | | | | 2,029,918 | |
| | | | | | | | | | | | | | | 39,803,829 | |
Food - Wholesale (0.8%) | | | | | | | | | | | | |
| 959 | | | AI Aqua Merger Sub, Inc.(3) | | (B, B3) | | 07/31/28 | | | 0.000 | | | | 962,332 | |
| 7,668 | | | AI Aqua Merger Sub, Inc., LIBOR 1M + 4.000%(1) | | (B, B3) | | 07/31/28 | | | 4.500 | | | | 7,698,658 | |
| 2,272 | | | Sycamore Buyer LLC(3) | | (BB+, Ba3) | | 09/24/28 | | | 0.000 | | | | 2,269,203 | |
| 5,201 | | | United Natural Foods, Inc., LIBOR 1M + 3.250%(1) | | (BB-, B1) | | 10/22/25 | | | 3.355 | | | | 5,207,812 | |
| 3,660 | | | UTZ Quality Foods, LLC, LIBOR 1M + 3.000%(1) | | (B, B1) | | 01/20/28 | | | 3.105 | | | | 3,655,193 | |
| 5,000 | | | Zara UK Midco Ltd., EURIBOR 6M + 5.750%(1),(2),(5),(7) | | (B, B2) | | 01/31/25 | | | 5.750 | | | | 5,597,992 | |
| | | | | | | | | | | | | | | 25,391,190 | |
Gaming (1.4%) | | | | | | | | | | | | |
| 3,448 | | | Aristocrat Leisure Ltd., LIBOR 3M + 3.750%(1) | | (BB+, Ba1) | | 10/19/24 | | | 4.750 | | | | 3,465,462 | |
| 9,157 | | | Caesars Resort Collection LLC, LIBOR 1M + 2.750%(1) | | (B+, B1) | | 12/23/24 | | | 2.855 | | | | 9,118,954 | |
| 7,823 | | | CBAC Borrower LLC, LIBOR 1M + 4.000%(1),(5) | | (B-, Caa2) | | 07/08/24 | | | 4.105 | | | | 7,754,237 | |
| 318 | | | Fertitta Entertainment, LLC(3) | | (B, B2) | | 01/27/29 | | | 0.000 | | | | 315,517 | |
| 11,026 | | | Golden Nugget, Inc., LIBOR 3M + 2.500%(1) | | (CCC, Caa2) | | 10/04/23 | | | 3.250 | | | | 11,075,522 | |
| 4,987 | | | GVC Holdings (Gibraltar) Ltd., LIBOR 3M + 2.500%(1) | | (BB, Ba2) | | 03/16/27 | | | 3.000 | | | | 4,985,399 | |
| 9,376 | | | Twin River Worldwide Holdings, Inc., LIBOR 6M + 3.250%(1) | | (BB-, Ba2) | | 10/02/28 | | | 3.750 | | | | 9,380,777 | |
| | | | | | | | | | | | | | | 46,095,868 | |
Gas Distribution (0.5%) | | | | | | | | | | | | |
| 9,455 | | | Lucid Energy Group II Borrower, LLC, LIBOR 3M + 4.250%(1) | | (B, B2) | | 11/24/28 | | | 5.000 | | | | 9,456,985 | |
| 7,300 | | | Traverse Midstream Partners LLC, SOFR 1M + 4.250%(1) | | (B, B3) | | 09/27/24 | | | 5.250 | | | | 7,303,562 | |
| | | | | | | | | | | | | | | 16,760,547 | |
Health Facilities (1.0%) | | | | | | | | | | | | |
| 1,861 | | | Embecta Corp.(3) | | (B+, Ba3) | | 01/27/29 | | | 0.000 | | | | 1,864,281 | |
| 1,152 | | | ICU Medical, Inc.(3) | | (BB, Ba3) | | 01/08/29 | | | 0.000 | | | | 1,156,335 | |
| 22,138 | | | Insulet Corp., LIBOR 1M + 3.250%(1) | | (B+, Ba3) | | 05/04/28 | | | 3.750 | | | | 22,179,956 | |
| 6,871 | | | Loire Finco Luxembourg Sarl, LIBOR 1M + 3.750%(1) | | (B, B3) | | 04/21/27 | | | 4.500 | | | | 6,866,294 | |
| 2,474 | | | Option Care Health, Inc., LIBOR 1M + 2.750%(1) | | (BB-, Ba3) | | 10/27/28 | | | 3.250 | | | | 2,473,399 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | |
Health Facilities (continued) | | | | | | | | | | | | |
$ | 567 | | | Resonetics, LLC, LIBOR 3M + 4.000%(1) | | (B-, B2) | | 04/28/28 | | | 4.003 | | | $ | 569,391 | |
| | | | | | | | | | | | | | | 35,109,656 | |
Health Services (5.4%) | | | | | | | | | | | | |
| 3,712 | | | ADMI Corp., LIBOR 1M + 3.375%(1) | | (B, B2) | | 12/23/27 | | | 3.875 | | | | 3,691,944 | |
| 2,307 | | | Agiliti Health, Inc., LIBOR 3M + 2.750%(1),(2) | | (B+, B1) | | 01/04/26 | | | 3.500 | | | | 2,303,902 | |
| 5,957 | | | Agiliti Health, Inc., LIBOR 1M + 2.750%(1),(2) | | (B+, B1) | | 01/04/26 | | | 2.875 | | | | 5,941,760 | |
| 18,202 | | | Athenahealth, Inc., LIBOR 3M + 4.250%(1) | | (B, B2) | | 02/11/26 | | | 4.400 | | | | 18,224,259 | |
| 7,298 | | | ATI Holdings Acquisition, Inc., LIBOR 6M + 3.500%(1) | | (B-, B3) | | 05/10/23 | | | 4.500 | | | | 7,093,911 | |
| 8,683 | | | Cambrex Corp., LIBOR 1M + 3.500%(1) | | (B, B2) | | 12/04/26 | | | 4.250 | | | | 8,694,718 | |
| 4,983 | | | Carestream Health, Inc., LIBOR 3M + 6.750%(1) | | (B-, B1) | | 05/08/23 | | | 7.750 | | | | 5,001,593 | |
| 881 | | | Confluent Health, LLC(3) | | (B-, B3) | | 11/30/28 | | | 0.000 | | | | 880,090 | |
| 4,097 | | | Confluent Health, LLC(3) | | (B-, B3) | | 11/30/28 | | | 0.000 | | | | 4,092,419 | |
| 14,440 | | | KUEHG Corp., LIBOR 3M + 3.750%(1) | | (CCC+, B3) | | 02/21/25 | | | 4.750 | | | | 14,271,708 | |
| 8,966 | | | Learning Care Group, Inc., LIBOR 3M + 3.250%(1) | | (CCC+, B3) | | 03/13/25 | | | 4.250 | | | | 8,863,064 | |
| 3,011 | | | MedAssets Software Intermediate Holdings, Inc.(3) | | (CCC, Caa2) | | 11/18/29 | | | 0.000 | | | | 3,015,987 | |
| 3,000 | | | Pearl Intermediate Parent LLC, LIBOR 1M + 6.250%(1) | | (CCC+, Caa2) | | 02/13/26 | | | 6.355 | | | | 3,016,890 | |
| 6,982 | | | PetVet Care Centers LLC, LIBOR 1M + 3.500%(1) | | (B, B2) | | 02/14/25 | | | 4.250 | | | | 6,988,706 | |
| 8,104 | | | PointClickCare Technologies, Inc., LIBOR 6M + 3.000%(1) | | (B+, B1) | | 12/29/27 | | | 3.750 | | | | 8,114,453 | |
| 10,838 | | | Radiology Partners, Inc., LIBOR 1M + 4.250%(1) | | (B-, B2) | | 07/09/25 | | | 4.354 – 4.489 | | | | 10,729,222 | |
| 1,284 | | | SCP Eye Care Services LLC, LIBOR 3M + 4.500%(1),(8) | | (B-, B3) | | 03/16/28 | | | 4.500 | | | | 1,288,529 | |
| 7,369 | | | SCP Eye Care Services LLC, LIBOR 6M + 4.500%(1) | | (B-, B3) | | 03/16/28 | | | 5.250 | | | | 7,396,649 | |
| 14,650 | | | Select Medical Corp., LIBOR 1M + 2.250%(1),(2) | | (BB-, Ba2) | | 03/06/25 | | | 2.360 | | | | 14,595,136 | |
| 3,054 | | | Signify Health LLC, LIBOR 3M + 3.250%(1) | | (B, B1) | | 06/22/28 | | | 3.750 | | | | 3,054,986 | |
| 1,231 | | | Southern Veterinary Partners LLC(3) | | (B-, B2) | | 10/05/27 | | | 0.000 | | | | 1,235,579 | |
| 1,000 | | | Southern Veterinary Partners LLC, LIBOR 6M + 7.750%(1) | | (CCC, Caa2) | | 10/05/28 | | | 8.750 | | | | 1,004,380 | |
| 11,406 | | | Southern Veterinary Partners LLC, LIBOR 6M + 4.000%(1) | | (B-, B2) | | 10/05/27 | | | 5.000 | | | | 11,445,283 | |
| 1,812 | | | TTF Holdings LLC, LIBOR 1M + 4.250%(1),(2) | | (B+, B2) | | 03/31/28 | | | 5.000 | | | | 1,818,508 | |
| 18,852 | | | U.S. Radiology Specialists, Inc., LIBOR 3M + 5.250%(1) | | (B-, B3) | | 12/10/27 | | | 5.750 | | | | 18,871,627 | |
| 722 | | | Western Dental Services, Inc. (Delayed Draw Term Loan), LIBOR 1M + 4.500%(1),(8) | | (B-, B3) | | 08/18/28 | | | 5.250 | | | | 723,694 | |
| 6,692 | | | Western Dental Services, Inc. (Term Loan B), LIBOR 1M + 4.500%(1) | | (B-, B3) | | 08/18/28 | | | 5.250 | | | | 6,703,800 | |
| 1,983 | | | Women's Care Enterprises LLC, LIBOR 3M + 4.500%(1) | | (B-, B2) | | 01/15/28 | | | 5.250 | | | | 1,983,133 | |
| | | | | | | | | | | | | | | 181,045,930 | |
Hotels (0.3%) | | | | | | | | | | | | |
| 5,000 | | | Compass III Ltd., EURIBOR 6M + 4.000%(1),(7) | | (B, B2) | | 05/09/25 | | | 4.000 | | | | 5,606,764 | |
| 3,000 | | | Compass IV Ltd., EURIBOR 6M + 8.000%(1),(7) | | (CCC, Caa2) | | 04/30/26 | | | 9.000 | | | | 3,381,209 | |
| | | | | | | | | | | | | | | 8,987,973 | |
Insurance Brokerage (3.2%) | | | | | | | | | | | | |
| 12,254 | | | Acrisure LLC, LIBOR 3M + 3.500%(1) | | (B, B2) | | 02/15/27 | | | 3.724 | | | | 12,123,463 | |
| 1,892 | | | Acrisure, LLC, LIBOR 3M + 4.250%(1) | | (B, B2) | | 02/15/27 | | | 4.750 | | | | 1,895,439 | |
| 5,321 | | | Alliant Holdings Intermediate LLC, LIBOR 1M + 3.250%(1) | | (B, B2) | | 05/09/25 | | | 3.355 | | | | 5,282,308 | |
| 10,257 | | | Alliant Holdings Intermediate, LLC, LIBOR 1M + 3.500%(1) | | (B, B2) | | 11/06/27 | | | 4.000 | | | | 10,257,583 | |
| 12,736 | | | AmWINS Group, Inc., LIBOR 1M + 2.250%(1) | | (B+, Ba3) | | 02/19/28 | | | 3.000 | | | | 12,657,581 | |
| 7,273 | | | AssuredPartners, Inc., LIBOR 1M + 3.500%(1) | | (B, B2) | | 02/12/27 | | | 3.605 | | | | 7,234,843 | |
| 11,102 | | | Hub International Ltd., LIBOR 3M + 2.750%(1) | | (B, B2) | | 04/25/25 | | | 3.020 | | | | 10,993,284 | |
| 8,289 | | | Hub International Ltd., LIBOR 3M + 3.250%(1) | | (B, B2) | | 04/25/25 | | | 4.000 | | | | 8,287,020 | |
| 7,204 | | | Hyperion Insurance Group Ltd., EURIBOR 1M + 3.500%(1),(7) | | (B, B2) | | 11/12/27 | | | 3.500 | | | | 8,061,284 | |
| 18,998 | | | NFP Corp., LIBOR 1M + 3.250%(1) | | (B, B1) | | 02/15/27 | | | 3.355 | | | | 18,831,696 | |
| 11,903 | | | Ryan Specialty Group LLC, LIBOR 1M + 3.000%(1) | | (BB-, B1) | | 09/01/27 | | | 3.750 | | | | 11,905,284 | |
| | | | | | | | | | | | | | | 107,529,785 | |
Investments & Misc. Financial Services (4.2%) | | | | | | | | | | | | |
| 1,523 | | | AlixPartners, LLP, LIBOR 1M + 2.750%(1) | | (B+, B1) | | 02/04/28 | | | 3.250 | | | | 1,519,338 | |
| 9,271 | | | AllSpring Buyer LLC, LIBOR 3M + 3.250%(1) | | (BB-, Ba2) | | 11/01/28 | | | 3.750 | | | | 9,289,468 | |
| 8,136 | | | Altisource Solutions Sarl, LIBOR 3M + 4.000%(1),(5) | | (CCC-, Caa1) | | 04/03/24 | | | 4.224 | | | | 7,481,346 | |
| 4,763 | | | AqGen Ascensus, Inc., LIBOR 3M + 6.500%(1) | | (CCC, Caa2) | | 08/02/29 | | | 7.000 | | | | 4,788,004 | |
| 13,567 | | | AqGen Island Holdings, Inc., LIBOR 3M + 3.500%(1) | | (B-, B2) | | 08/02/28 | | | 4.000 | | | | 13,549,708 | |
| 5,972 | | | Citadel Securities LP, LIBOR 1M + 2.500%(1) | | (BBB-, Ba1) | | 02/02/28 | | | 2.605 | | | | 5,925,043 | |
| 4,948 | | | Cowen, Inc., LIBOR 3M + 3.250%(1),(2) | | (BB-, B1) | | 03/24/28 | | | 4.000 | | | | 4,948,348 | |
| 11,818 | | | Deerfield Dakota Holding, LLC, LIBOR 1M + 3.750%(1) | | (B-, B2) | | 04/09/27 | | | 4.750 | | | | 11,868,914 | |
| 12,653 | | | Ditech Holding Corp.(9),(10) | | (NR, NR) | | 06/30/22 | | | 0.000 | | | | 2,554,296 | |
| 1,221 | | | EIG Management Company, LLC, LIBOR 1M + 3.750%(1) | | (BB, Ba2) | | 02/22/25 | | | 4.500 | | | | 1,220,305 | |
| 13,039 | | | Focus Financial Partners LLC, LIBOR 1M + 2.000%(1) | | (BB-, Ba3) | | 07/03/24 | | | 2.105 | | | | 12,980,211 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | |
Investments & Misc. Financial Services (continued) | | | | | | | | | | | | |
$ | 532 | | | Focus Financial Partners LLC, PRIME + 1.500%(1) | | (BB-, Ba3) | | 06/24/28 | | | 3.000 | | | $ | 530,853 | |
| 2,300 | | | Focus Financial Partners LLC, LIBOR 1M + 2.500%(1) | | (BB-, Ba3) | | 07/01/28 | | | 3.000 | | | | 2,294,611 | |
| 17,615 | | | Hudson River Trading LLC, SOFR 3M + 3.000%(1) | | (BB-, Ba2) | | 03/20/28 | | | 3.171 | | | | 17,420,948 | |
| 14,192 | | | Jane Street Group LLC, LIBOR 1M + 2.750%(1) | | (BB-, Ba2) | | 01/26/28 | | | 2.855 | | | | 14,041,666 | |
| 3,146 | | | Jump Financial, LLC, LIBOR 3M + 3.500%(1),(2) | | (BB-, Ba2) | | 08/02/28 | | | 4.000 | | | | 3,126,009 | |
| 2,108 | | | Kestra Advisor Services Holdings A, Inc., LIBOR 1M + 4.250%(1) | | (B-, B2) | | 06/03/26 | | | 4.360 | | | | 2,102,979 | |
| 920 | | | Mariner Wealth Advisors LLC (Delayed Draw Term Loan), LIBOR 3M + 3.250%(1),(2),(8) | | (B-, Ba3) | | 08/18/28 | | | 3.750 | | | | 918,865 | |
| 6,430 | | | Mariner Wealth Advisors LLC (Term Loan B), LIBOR 3M + 3.250%(1),(2) | | (B-, Ba3) | | 08/18/28 | | | 3.750 | | | | 6,422,399 | |
| 2,348 | | | Resolute Investment Managers, Inc., LIBOR 3M + 4.250%(1) | | (B+, Ba3) | | 04/30/24 | | | 5.250 | | | | 2,348,323 | |
| 8,235 | | | VFH Parent LLC, SOFR 3M + 3.000%(1) | | (B+, Ba3) | | 01/13/29 | | | 3.500 | | | | 8,235,170 | |
| 3,453 | | | Virtus Investment Partners, Inc., LIBOR 1M + 2.250%(1) | | (BB+, Ba1) | | 09/28/28 | | | 2.351 | | | | 3,435,620 | |
| 3,009 | | | Walker & Dunlop, Inc., SOFR 3M + 2.250%(1) | | (BBB-, Ba1) | | 12/16/28 | | | 2.750 | | | | 3,009,373 | |
| | | | | | | | | | | | | | | 140,011,797 | |
Life Insurance (0.0%) | | | | | | | | | | | | |
| 1,143 | | | Vida Capital, Inc., LIBOR 1M + 6.000%(1) | | (B-, B2) | | 10/01/26 | | | 6.105 | | | | 1,060,519 | |
| | | | | | | | | | | | | | | | |
Machinery (2.5%) | | | | | | | | | | | | |
| 5,730 | | | 19th Holdings Golf, LLC(2),(3) | | (B, B1) | | 01/26/29 | | | 0.000 | | | | 5,715,675 | |
| 4,791 | | | Alliance Laundry Systems LLC, LIBOR 3M + 3.500%(1) | | (B, B2) | | 10/08/27 | | | 4.250 | | | | 4,801,821 | |
| 2,841 | | | Alloy Finco Ltd., LIBOR 3M + 6.750%(1),(11) | | (NR, Caa2) | | 03/06/24 | | | 8.750 | | | | 3,802,420 | |
| 3,693 | | | Alloy Finco Ltd. (GBP Holdco PIK Term Loan), LIBOR 3M + 0.500% Cash, 13.500% PIK"(1),(2),(6),(11) | | (NR, NR) | | 03/06/25 | | | 14.000 | | | | 4,975,458 | |
| 4,001 | | | Alloy Finco Ltd. (USD Holdco PIK Term Loan), LIBOR 3M + 0.500% Cash, 13.500% PIK"(1),(5),(6) | | (NR, NR) | | 03/06/25 | | | 14.000 | | | | 4,152,714 | |
| 1,383 | | | CMBF LLC (Delayed Draw Term Loan), LIBOR 3M + 6.500%(1),(2),(8) | | (B, B3) | | 08/02/28 | | | 6.500 | | | | 1,377,916 | |
| 4,647 | | | CMBF LLC (Term Loan), LIBOR 1M + 6.000%(1),(2) | | (B, B3) | | 08/02/28 | | | 6.500 | | | | 4,629,797 | |
| 4,057 | | | Cohu, Inc., LIBOR 1M + 3.000%(1) | | (B+, Ba3) | | 10/01/25 | | | 3.519 | | | | 4,044,647 | |
| 8,145 | | | CPM Holdings, Inc., LIBOR 1M + 3.500%(1) | | (B-, B2) | | 11/17/25 | | | 3.602 | | | | 8,128,146 | |
| 1,578 | | | CPM Holdings, Inc., LIBOR 1M + 8.250%(1),(2),(5) | | (CCC+, Caa2) | | 11/16/26 | | | 8.352 | | | | 1,581,559 | |
| 5,952 | | | Engineered Machinery Holdings, Inc., LIBOR 3M + 3.750%(1) | | (B-, B2) | | 05/19/28 | | | 4.500 | | | | 5,971,150 | |
| 924 | | | Griffon Corp.(3) | | (BB, Ba2) | | 01/24/29 | | | 0.000 | | | | 923,901 | |
| 3,696 | | | LTI Holdings, Inc., LIBOR 1M + 6.750%(1),(5) | | (CCC+, Caa2) | | 09/06/26 | | | 6.855 | | | | 3,688,442 | |
| 10,881 | | | LTI Holdings, Inc., LIBOR 1M + 3.500%(1) | | (B-, B2) | | 09/06/25 | | | 3.605 | | | | 10,790,657 | |
| 478 | | | LTI Holdings, Inc., LIBOR 1M + 4.750%(1) | | (B-, B2) | | 07/24/26 | | | 4.860 | | | | 478,873 | |
| 1,875 | | | LTI Holdings, Inc.(8) | | (B-, B2) | | 07/24/26 | | | 0.000 | | | | 1,873,837 | |
| 1,875 | | | LTI Holdings, Inc., LIBOR 1M + 4.750%(1) | | (B-, B2) | | 07/24/26 | | | 4.855 | | | | 1,873,837 | |
| 793 | | | LTI Holdings, Inc., LIBOR 1M + 4.750%(1) | | (B-, B2) | | 07/24/26 | | | 4.855 | | | | 794,131 | |
| 515 | | | Pro Mach Group, Inc., LIBOR 3M + 4.000%(1),(8) | | (B-, B2) | | 08/31/28 | | | 4.000 | | | | 516,799 | |
| 4,091 | | | Pro Mach Group, Inc., LIBOR 3M + 4.000%(1) | | (B-, B2) | | 08/31/28 | | | 5.000 | | | | 4,108,556 | |
| 619 | | | Victory Buyer LLC, LIBOR 3M + 3.750%(1),(2) | | (B-, B2) | | 11/19/28 | | | 4.250 | | | | 618,456 | |
| 8,323 | | | Welbilt, Inc., LIBOR 1M + 2.500%(1) | | (B-, B2) | | 10/23/25 | | | 2.605 | | | | 8,318,259 | |
| | | | | | | | | | | | | | | 83,167,051 | |
Media - Diversified (0.4%) | | | | | | | | | | | | |
| 12,745 | | | Alchemy Copyrights, LLC, LIBOR 1M + 3.000%(1),(2) | | (B+, B1) | | 03/10/28 | | | 3.500 | | | | 12,761,200 | |
| 1,882 | | | Diamond Sports Group LLC, LIBOR 1M + 3.250%(1) | | (CC, Caa1) | | 08/24/26 | | | 3.360 | | | | 778,113 | |
| | | | | | | | | | | | | | | 13,539,313 | |
Media Content (0.2%) | | | | | | | | | | | | |
| 8,250 | | | Recorded Books, Inc., LIBOR 1M + 4.000%(1) | | (B-, B3) | | 08/29/25 | | | 4.105 | | | | 8,254,125 | |
| | | | | | | | | | | | | | | | |
Medical Products (2.3%) | | | | | | | | | | | | |
| 14,697 | | | ABB Concise Optical Group LLC, LIBOR 1M + 5.000%(1) | | (CCC, B3) | | 06/15/23 | | | 6.000 | | | | 14,225,510 | |
| 7,373 | | | CryoLife, Inc., LIBOR 3M + 3.500%(1) | | (B, B1) | | 06/01/27 | | | 4.500 | | | | 7,368,885 | |
| 3,708 | | | Femur Buyer, Inc., LIBOR 3M + 4.500%(1) | | (CCC+, Caa1) | | 03/05/26 | | | 4.724 | | | | 3,503,986 | |
| 7,165 | | | Femur Buyer, Inc., LIBOR 3M + 0.500%(1),(2) | | (NR, NR) | | 03/05/24 | | | 5.000 | | | | 6,448,437 | |
| 6,714 | | | Maravai Intermediate Holdings, LLC, SOFR 3M + 3.000%"(1) | | (B+, B1) | | 10/19/27 | | | 3.137 | | | | 6,720,484 | |
| 18,750 | | | Medline Borrower LP, LIBOR 1M + 3.250%(1) | | (B+, B1) | | 10/23/28 | | | 3.750 | | | | 18,692,906 | |
| 18,776 | | | Sotera Health Holdings LLC, LIBOR 3M + 2.750%(1) | | (BB-, B1) | | 12/11/26 | | | 3.250 | | | | 18,752,804 | |
| 2,462 | | | Viant Medical Holdings, Inc., LIBOR 1M + 3.750%(1) | | (CCC+, B3) | | 07/02/25 | | | 3.855 | | | | 2,350,645 | |
| | | | | | | | | | | | | | | 78,063,657 | |
Metals & Mining - Excluding Steel (0.0%) | | | | | | | | | | | | |
| 6,745 | | | Noranda Aluminum Acquisition Corp.(2),(9),(10) | | (NR, NR) | | 02/28/19 | | | 0.000 | | | | 17,199 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | |
Oil Refining & Marketing (0.4%) | | | | | | | | | | | | |
$ | 12,945 | | | EG Finco Ltd, EURIBOR 3M + 4.000%(1),(7) | | (B-, B3) | | 02/07/25 | | | 4.000 | | | $ | 14,471,741 | |
| | | | | | | | | | | | | | | | |
Packaging (2.5%) | | | | | | | | | | | | |
5,220 | | | Altium Packaging LLC, LIBOR 1M + 2.750%(1) | | (B+, B2) | | 02/03/28 | | | 3.250 | | | | 5,176,301 | |
3,859 | | | Anchor Glass Container Corp., LIBOR 3M + 2.750%(1) | | (CCC+, Caa1) | | 12/07/23 | | | 3.750 | | | | 3,359,381 | |
2,058 | | | Anchor Glass Container Corp., LIBOR 3M + 7.750%(1),(5) | | (CCC-, Caa3) | | 12/07/24 | | | 8.750 | | | | 968,703 | |
2,934 | | | Anchor Glass Container Corp., LIBOR 3M + 5.000%(1),(2) | | (CCC+, Caa1) | | 12/07/23 | | | 6.000 | | | | 2,547,406 | |
16,003 | | | Flex Acquisition Co., Inc., LIBOR 3M + 3.000%(1) | | (B, B2) | | 06/29/25 | | | 3.214 | | | | 15,940,431 | |
4,156 | | | Flex Acquisition Co., Inc., LIBOR 3M + 3.500%(1) | | (B, B2) | | 03/02/28 | | | 4.000 | | | | 4,155,395 | |
5,726 | | | Graham Packaging Co., Inc., LIBOR 1M + 3.000%(1) | | (B, B1) | | 08/04/27 | | | 3.750 | | | | 5,716,971 | |
15,141 | | | Proampac PG Borrower LLC, LIBOR 3M + 3.750%(1) | | (B-, B3) | | 11/03/25 | | | 4.500 | | | | 15,172,679 | |
6,059 | | | Reynolds Group Holdings, Inc., LIBOR 1M + 3.250%(1) | | (B+, B1) | | 02/05/26 | | | 3.355 | | | | 6,024,175 | |
3,461 | | | Ring Container Technologies Group, LLC, LIBOR 1M + 3.750%, LIBOR 6M + 3.750%(1) | | (B, B2) | | 08/12/28 | | | 4.250 - 4.269 | | | | 3,470,818 | |
2,306 | | | Strategic Materials, Inc., LIBOR 3M + 3.750%(1),(5) | | (CCC, Caa3) | | 11/01/24 | | | 4.750 | | | | 2,097,738 | |
4,375 | | | Strategic Materials, Inc., LIBOR 3M + 7.750%(1),(2),(5) | | (CC, C) | | 10/31/25 | | | 8.750 | | | | 2,515,625 | |
5,473 | | | Technimark Holdings LLC, LIBOR 1M + 3.750%(1) | | (B-, B2) | | 07/09/29 | | | 4.250 | | | | 5,448,585 | |
10,596 | | | TricorBraun Holdings, Inc., LIBOR 1M + 3.250%(1) | | (B-, B2) | | 03/03/28 | | | 3.750 | | | | 10,546,272 | |
| | | | | | | | | | | | | | 83,140,480 | |
Packaging & Containers (0.1%) | | | | | | | | | | | | |
1,914 | | | Howden Group Holdings Ltd.(3) | | (NR, B2) | | 11/12/27 | | | 0.000 | | | | 1,908,574 | |
3,087 | | | Hyperion Insurance Group Ltd., LIBOR 1M + 3.250%(1) | | (B, B2) | | 11/12/27 | | | 4.000 | | | | 3,080,780 | |
| | | | | | | | | | | | | | 4,989,354 | |
Personal & Household Products (1.9%) | | | | | | | | | | | | |
1,893 | | | ABG Intermediate Holdings 2 LLC, SOFR 3M + 6.000%(1),(2) | | (CCC+, Caa1) | | 12/20/29 | | | 6.500 | | | | 1,919,078 | |
5,681 | | | ABG Intermediate Holdings 2 LLC(3) | | (B, B1) | | 12/08/28 | | | 0.000 | | | | 5,675,659 | |
891 | | | ABG Intermediate Holdings 2 LLC(3) | | (B, B1) | | 12/21/28 | | | 0.000 | | | | 890,299 | |
16,084 | | | ABG Intermediate Holdings 2 LLC, LIBOR 3M + 3.250%(1) | | (B, B1) | | 09/27/24 | | | 4.000 | | | | 16,079,700 | |
891 | | | ABG Intermediate Holdings 2 LLC(3) | | (B, B1) | | 12/21/28 | | | 0.000 | | | | 890,299 | |
1,250 | | | Anticimex International AB(2),(3) | | (B, B2) | | 11/16/28 | | | 0.000 | | | | 1,253,125 | |
7,531 | | | Anticimex International AB, LIBOR 3M + 3.500%(1) | | (B, B2) | | 11/16/28 | | | 4.000 | | | | 7,541,768 | |
3,208 | | | Fender Musical Instruments Corp., SOFR 1M + 4.000%(1),(2) | | (B, B2) | | 12/01/28 | | | 4.500 | | | | 3,212,320 | |
2,733 | | | Fluidra S.A.(3) | | (NR, Ba2) | | 01/19/29 | | | 0.000 | | | | 2,732,753 | |
3,400 | | | Keter Group B.V., EURIBOR 3M + 4.250%(1),(7) | | (B, B3) | | 10/31/23 | | | 5.250 | | | | 3,784,605 | |
9,976 | | | MajorDrive Holdings IV LLC, LIBOR 3M + 4.000%(1) | | (B, B2) | | 05/12/28 | | | 4.500 | | | | 9,982,308 | |
3,640 | | | Serta Simmons Bedding, LLC, LIBOR 1M + 7.500%(1) | | (B, B2) | | 08/10/23 | | | 8.500 | | | | 3,673,460 | |
6,469 | | | Serta Simmons Bedding, LLC, LIBOR 1M + 7.500%(1) | | (B-, Caa2) | | 08/10/23 | | | 8.500 | | | | 6,200,111 | |
| | | | | | | | | | | | | | 63,835,485 | |
Pharmaceuticals (2.9%) | | | | | | | | | | | | |
3,172 | | | Akorn, Inc., LIBOR 3M + 7.500%(1) | | (CCC+, Caa2) | | 10/01/25 | | | 8.500 | | | | 3,212,093 | |
8,605 | | | Alkermes, Inc., LIBOR 3M + 2.500%(1),(2) | | (BB, Ba3) | | 03/12/26 | | | 3.000 | | | | 8,497,132 | |
15,010 | | | Bausch Health Companies, Inc., LIBOR 1M + 3.000%(1) | | (BB, Ba2) | | 06/02/25 | | | 3.105 | | | | 14,909,985 | |
6,016 | | | Bausch Health Companies, Inc., LIBOR 1M + 2.750%(1) | | (BB, Ba2) | | 11/27/25 | | | 2.855 | | | | 6,011,670 | |
15,000 | | | Bausch Health Companies, Inc.(3) | | (BB, Ba3) | | 01/27/27 | | | 0.000 | | | | 14,903,925 | |
9,355 | | | Certara, LP, LIBOR 1M + 3.500%(1) | | (B+, B1) | | 08/15/26 | | | 3.605 | | | | 9,349,591 | |
7,562 | | | Endo Luxembourg Finance Co. I Sarl, LIBOR 3M + 5.000%(1) | | (B-, B3) | | 03/27/28 | | | 5.750 | | | | 7,388,548 | |
3,632 | | | Grifols Worldwide Operations U.S.A., Inc., LIBOR 1M + 2.000%(1) | | (BB, Ba3) | | 11/15/27 | | | 2.105 | | | | 3,592,348 | |
11,308 | | | ICON Luxembourg Sarl (LUX Term Loan), LIBOR 3M + 2.250%(1) | | (BB+, Ba1) | | 07/03/28 | | | 2.750 | | | | 11,297,683 | |
2,817 | | | ICON Luxembourg Sarl (US Term Loan), LIBOR 3M + 2.250%(1) | | (BB+, Ba1) | | 07/03/28 | | | 2.750 | | | | 2,814,825 | |
17,159 | | | Jazz Financing Lux Sarl, LIBOR 1M + 3.500%(1) | | (BB-, Ba2) | | 05/05/28 | | | 4.000 | | | | 17,186,835 | |
| | | | | | | | | | | | | | 99,164,635 | |
Real Estate Development & Management (0.1%) | | | | | | | | | | | | |
4,962 | | | BIFM CA Buyer, Inc., LIBOR 1M + 3.500%(1) | | (B, B2) | | 06/01/26 | | | 3.605 | | | | 4,927,744 | |
| | | | | | | | | | | | | | | |
Real Estate Investment Trusts (0.4%) | | | | | | | | | | | | |
2,463 | | | Blackstone Mortgage Trust, Inc., LIBOR 1M + 2.750%(1) | | (B+, Ba2) | | 04/23/26 | | | 3.250 | | | | 2,453,418 | |
9,029 | | | Claros Mortgage Trust, Inc., SOFR 3M + 4.500%(1),(2) | | (B+, Ba3) | | 08/09/26 | | | 5.000 | | | | 9,062,859 | |
1,255 | | | iStar, Inc.(3) | | (BB, Ba2) | | 06/28/23 | | | 0.000 | | | | 1,255,482 | |
| | | | | | | | | | | | | | 12,771,759 | |
Recreation & Travel (1.5%) | | | | | | | | | | | | |
12,905 | | | Alterra Mountain Co., LIBOR 1M + 3.500%(1) | | (B, B2) | | 08/17/28 | | | 4.000 | | | | 12,907,773 | |
2,154 | | | Bulldog Purchaser, Inc., LIBOR 3M + 7.750%(1),(2) | | (CCC-, Caa3) | | 09/04/26 | | | 7.925 | | | | 2,067,692 | |
9,882 | | | Bulldog Purchaser, Inc., LIBOR 3M + 3.750%(1) | | (B-, B3) | | 09/05/25 | | | 3.925 | | | | 9,620,721 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | |
Recreation & Travel (continued) | | | | | | | | | | | | |
$ | 1,257 | | | Crown Finance U.S., Inc., LIBOR 6M + 2.500%(1) | | (CCC, Caa2) | | 02/28/25 | | | 3.500 | | | $ | 959,406 | |
| 4,753 | | | Crown Finance U.S., Inc., LIBOR 6M + 2.750%(1) | | (CCC, Caa2) | | 09/30/26 | | | 3.750 | | | | 3,555,588 | |
| 7,918 | | | Hornblower Sub LLC, LIBOR 3M + 4.500%(1) | | (CCC-, Caa2) | | 04/27/25 | | | 5.500 | | | | 7,492,258 | |
| 5,773 | | | Hornblower Sub LLC, LIBOR 3M + 8.125%(1) | | (NR, NR) | | 11/10/25 | | | 9.125 | | | | 6,008,944 | |
| 2,000 | | | Hornblower Sub LLC, LIBOR 3M + 8.125%(1) | | (NR, NR) | | 11/10/25 | | | 9.125 | | | | 2,081,670 | |
| 3,980 | | | Richmond UK Bidco Ltd., LIBOR 1M + 4.250%(1),(11) | | (B, B2) | | 03/03/24 | | | 4.482 | | | | 5,310,892 | |
| | | | | | | | | | | | | | | 50,004,944 | |
Restaurants (3.0%) | | | | | | | | | | | | |
| 14,743 | | | 1011778 B.C. Unlimited Liability Co., LIBOR 1M + 1.750%(1) | | (BB+, Ba2) | | 11/19/26 | | | 1.855 | | | | 14,559,701 | |
| 17,991 | | | Flynn Restaurant Group LP, LIBOR 1M + 4.250%(1) | | (B, B2) | | 12/01/28 | | | 4.750 | | | | 18,039,986 | |
| 7,425 | | | IRB Holding Corp., LIBOR 3M + 3.250%(1) | | (B+, B2) | | 12/15/27 | | | 4.250 | | | | 7,437,771 | |
| 13,289 | | | IRB Holding Corp., LIBOR 6M + 2.750%(1) | | (B+, B2) | | 02/05/25 | | | 3.750 | | | | 13,273,408 | |
| 1,529 | | | K-Mac Holdings Corp., LIBOR 3M + 6.750%(1) | | (CCC, Caa2) | | 07/30/29 | | | 7.250 | | | | 1,526,378 | |
| 9,466 | | | K-Mac Holdings Corp., LIBOR 3M + 3.500%(1) | | (B-, B2) | | 07/21/28 | | | 4.000 | | | | 9,462,012 | |
| 3,242 | | | Miller's Ale House, Inc., PRIME + 3.750%, LIBOR 1M + 4.750%(1),(5) | | (CCC+, Caa1) | | 05/30/25 | | | 4.859 - 7.000 | | | | 3,155,149 | |
| 16,079 | | | Tacala LLC, LIBOR 1M + 3.500%(1) | | (B-, B2) | | 02/05/27 | | | 4.250 | | | | 16,090,539 | |
| 17,334 | | | Whatabrands LLC, LIBOR 1M + 3.250%(1) | | (B, B2) | | 08/03/28 | | | 3.750 | | | | 17,316,457 | |
| | | | | | | | | | | | | | | 100,861,401 | |
Software - Services (14.5%) | | | | | | | | | | | | |
| 13,020 | | | Applied Systems, Inc., LIBOR 3M + 3.000%(1) | | (B-, B2) | | 09/19/24 | | | 3.500 | | | | 13,015,928 | |
| 442 | | | Applied Systems, Inc., LIBOR 3M + 5.500%(1) | | (CCC, Caa2) | | 09/19/25 | | | 6.250 | | | | 445,936 | |
| 10,868 | | | Aston FinCo Sarl, LIBOR 1M + 4.250%(1) | | (B-, B2) | | 10/09/26 | | | 4.355 | | | | 10,834,509 | |
| 6,938 | | | Astra Acquisition Corp., LIBOR 1M + 5.250%(1) | | (B-, B2) | | 10/25/28 | | | 5.750 | | | | 6,872,461 | |
| 10,797 | | | Camelot U.S. Acquisition 1 Co., LIBOR 1M + 3.000%(1) | | (B, B1) | | 10/30/26 | | | 4.000 | | | | 10,794,080 | |
| 2,572 | | | Camelot U.S. Acquisition 1 Co., LIBOR 1M + 3.000%(1) | | (B, B1) | | 10/30/26 | | | 3.105 | | | | 2,567,118 | |
| 2,494 | | | Cardinal Parent, Inc., LIBOR 3M + 4.500%(1) | | (B-, B2) | | 11/12/27 | | | 5.250 | | | | 2,495,040 | |
| 5,878 | | | CCC Intelligent Solutions, Inc., LIBOR 3M + 2.500%(1) | | (B, B1) | | 09/21/28 | | | 3.000 | | | | 5,862,394 | |
| 14,841 | | | Ceridian HCM Holding, Inc., LIBOR 1M + 2.500%(1) | | (B+, B1) | | 04/30/25 | | | 2.605 | | | | 14,684,865 | |
| 4,812 | | | Cloudera, Inc., LIBOR 1M + 3.750%(1) | | (B-, B2) | | 10/08/28 | | | 4.250 | | | | 4,810,784 | |
| 2,758 | | | CommerceHub, Inc., LIBOR 1M + 7.000%(1) | | (CCC, Caa2) | | 12/29/28 | | | 7.105 | | | | 2,705,902 | |
| 6,862 | | | CommerceHub, Inc., LIBOR 3M + 4.000%(1) | | (B, B2) | | 12/29/27 | | | 4.750 | | | | 6,841,655 | |
| 6,462 | | | ConnectWise, LLC, LIBOR 3M + 3.500%(1) | | (NR, B2) | | 09/29/28 | | | 4.000 | | | | 6,458,816 | |
| 9,333 | | | Corel Corp., LIBOR 3M + 5.000%(1) | | (B-, B2) | | 07/02/26 | | | 5.175 | | | | 9,327,495 | |
| 13,304 | | | DCert Buyer, Inc., LIBOR 1M + 4.000%(1) | | (B-, B2) | | 10/16/26 | | | 4.105 | | | | 13,324,104 | |
| 2,083 | | | DCert Buyer, Inc., LIBOR 1M + 7.000%(1) | | (CCC, Caa2) | | 02/19/29 | | | 7.105 | | | | 2,100,160 | |
| 4,535 | | | E2open, LLC, LIBOR 3M + 3.500%(1) | | (B, B2) | | 02/04/28 | | | 4.000 | | | | 4,550,390 | |
| 2,000 | | | E2open, LLC(3) | | (B, B2) | | 02/04/28 | | | 0.000 | | | | 2,006,570 | |
| 5,583 | | | EAB Global, Inc., LIBOR 3M + 3.500%(1) | | (B-, B2) | | 08/16/28 | | | 4.000 | | | | 5,574,566 | |
| 5,474 | | | Endure Digital, Inc., LIBOR 3M + 3.500%(1) | | (B, B2) | | 02/10/28 | | | 4.250 | | | | 5,436,690 | |
| 2,000 | | | EP Purchaser, LLC, LIBOR 3M + 3.500%(1) | | (B+, B1) | | 11/06/28 | | | 4.000 | | | | 2,005,000 | |
| 4,080 | | | Epicor Software Corp., LIBOR 1M + 7.750%(1) | | (CCC, Caa2) | | 07/31/28 | | | 8.750 | | | | 4,176,920 | |
| 14,687 | | | Epicor Software Corp., LIBOR 1M + 3.250%(1) | | (B-, B2) | | 07/30/27 | | | 4.000 | | | | 14,670,997 | |
| 3,491 | | | EverCommerce, Inc., LIBOR 1M + 3.000%(1) | | (B+, B1) | | 07/06/28 | | | 3.500 | | | | 3,488,335 | |
| 28,302 | | | Finastra U.S.A., Inc., LIBOR 3M + 3.500%(1) | | (B-, B2) | | 06/13/24 | | | 4.500 | | | | 28,245,571 | |
| 9,532 | | | Finastra U.S.A., Inc., LIBOR 3M + 7.250%(1) | | (CCC, Caa2) | | 06/13/25 | | | 8.250 | | | | 9,553,503 | |
| 7,703 | | | First Advantage Holdings LLC, LIBOR 1M + 2.750%(1) | | (BB-, B1) | | 01/31/27 | | | 2.855 | | | | 7,679,978 | |
| 3,159 | | | Fleetcor Technologies Operating Company, LLC, LIBOR 1M + 1.750%(1) | | (BB+, Ba1) | | 04/28/28 | | | 1.855 | | | | 3,135,940 | |
| 23,358 | | | Flexera Software LLC, LIBOR 3M + 3.750%(1) | | (B-, B1) | | 03/03/28 | | | 4.500 | | | | 23,398,223 | |
| 16,585 | | | GHX Ultimate Parent Corp., LIBOR 3M + 3.250%(1) | | (B, B2) | | 06/28/24 | | | 4.250 | | | | 16,569,267 | |
| 9,336 | | | Hyland Software, Inc., LIBOR 1M + 3.500%(1) | | (B-, B1) | | 07/01/24 | | | 4.250 | | | | 9,350,772 | |
| 4,963 | | | IGT Holding IV AB, LIBOR 3M + 3.500%(1) | | (B, B2) | | 03/31/28 | | | 4.000 | | | | 4,962,500 | |
| 7,048 | | | II-VI, Inc.(3) | | (BB-, Ba2) | | 12/01/28 | | | 0.000 | | | | 7,050,503 | |
| 7,505 | | | Instructure Holdings, Inc., LIBOR 3M + 2.750%(1),(2) | | (NR, B1) | | 10/30/28 | | | 3.269 | | | | 7,514,178 | |
| 700 | | | Marcel LUX IV Sarl, LIBOR 1M + 4.000%(1),(2) | | (BB-, B1) | | 12/31/27 | | | 4.750 | | | | 700,791 | |
| 2,981 | | | Marcel LUX IV Sarl, LIBOR 1M + 3.250%(1) | | (BB-, B1) | | 03/15/26 | | | 3.355 | | | | 2,983,806 | |
| 6,689 | | | Navicure, Inc., LIBOR 1M + 4.000%(1) | | (B-, B2) | | 10/22/26 | | | 4.105 | | | | 6,689,523 | |
| 8,977 | | | Newport Group, Inc., LIBOR 3M + 3.500%(1) | | (B, B2) | | 09/13/25 | | | 3.724 | | | | 8,974,021 | |
| 26,937 | | | Polaris Newco LLC, LIBOR 3M + 4.000%(1) | | (B-, B2) | | 06/02/28 | | | 4.500 | | | | 26,970,923 | |
| 17,818 | | | Project Alpha Intermediate Holding, Inc., LIBOR 1M + 4.000%(1) | | (B, B3) | | 04/26/24 | | | 4.110 | | | | 17,838,184 | |
| 4,959 | | | Project Boost Purchaser, LLC, LIBOR 1M + 3.500%(1) | | (B-, B2) | | 06/01/26 | | | 3.605 | | | | 4,948,997 | |
| 498 | | | Project Boost Purchaser, LLC, LIBOR 1M + 3.500%(1) | | (B-, B2) | | 05/30/26 | | | 4.000 | | | | 498,590 | |
| 1,361 | | | Project Leopard Holdings, Inc., LIBOR 3M + 4.750%(1) | | (B, B2) | | 07/05/24 | | | 5.750 | | | | 1,366,400 | |
| 2,444 | | | Project Leopard Holdings, Inc.(3) | | (B, B2) | | 07/07/24 | | | 0.000 | | | | 2,453,452 | |
| 8,466 | | | Project Ruby Ultimate Parent Corp., LIBOR 1M + 3.250%(1) | | (B, B2) | | 03/03/28 | | | 4.000 | | | | 8,454,534 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | |
Software - Services (continued) | | | | | | | | | | | | |
$ | 16,043 | | | Proofpoint, Inc., LIBOR 3M + 3.250%(1) | | (B-, B2) | | 08/31/28 | | | 3.750 | | | $ | 15,982,839 | |
| 18,782 | | | RealPage, Inc., LIBOR 1M + 3.250%(1) | | (B, B2) | | 04/24/28 | | | 3.750 | | | | 18,718,884 | |
| 5,292 | | | Redstone Buyer LLC, LIBOR 3M + 4.750%(1) | | (B, B2) | | 04/27/28 | | | 5.500 | | | | 4,934,557 | |
| 8,775 | | | Seattle Spinco, Inc., SOFR 3M + 4.000%(1),(2) | | (BB-, B1) | | 02/26/27 | | | 4.500 | | | | 8,753,376 | |
| 9,449 | | | Seattle Spinco, Inc., LIBOR 1M + 2.750%(1) | | (BB-, B1) | | 06/21/24 | | | 2.855 | | | | 9,354,445 | |
| 3,780 | | | SkillSoft Corp., LIBOR 3M + 4.750%(1) | | (B-, B2) | | 06/30/28 | | | 5.500 | | | | 3,812,818 | |
| 3,137 | | | SS&C European Holdings Sarl, LIBOR 1M + 1.750%(1) | | (BB+, Ba2) | | 04/16/25 | | | 1.855 | | | | 3,105,372 | |
| 3,711 | | | SS&C Technologies, Inc., LIBOR 1M + 1.750%(1) | | (BB+, Ba2) | | 04/16/25 | | | 1.856 | | | | 3,673,973 | |
| 12,247 | | | Storable, Inc., LIBOR 3M + 3.250%(1) | | (B, B2) | | 04/17/28 | | | 3.750 | | | | 12,267,704 | |
| 5,130 | | | Symantec Corp.(2),(3) | | (BB, Ba1) | | 01/28/29 | | | 0.000 | | | | 5,110,763 | |
| 1,600 | | | The Ultimate Software Group, Inc., LIBOR 3M + 3.250%(1) | | (B-, B1) | | 05/04/26 | | | 3.750 | | | | 1,598,176 | |
| 16,104 | | | The Ultimate Software Group, Inc., LIBOR 1M + 3.750%(1) | | (B-, B1) | | 05/04/26 | | | 3.855 | | | | 16,102,867 | |
| 8,929 | | | Turing Midco LLC, LIBOR 1M + 3.000%(1) | | (B+, B1) | | 03/23/28 | | | 3.500 | | | | 8,940,320 | |
| 1,848 | | | Vaco Holdings, LLC, SOFR 1M + 5.000%(1) | | (B, B2) | | 01/20/29 | | | 5.750 | | | | 1,852,470 | |
| 2,107 | | | Verint Systems, Inc., LIBOR 1M + 2.000%(1) | | (BBB-, Ba1) | | 06/28/24 | | | 2.102 | | | | 2,101,827 | |
| 7,163 | | | Virtusa Corp., LIBOR 1M + 3.750%(1) | | (B, B2) | | 02/11/28 | | | 4.500 | | | | 7,189,728 | |
| 10,597 | | | VS Buyer LLC, LIBOR 1M + 3.000%(1) | | (B, B1) | | 02/28/27 | | | 3.105 | | | | 10,571,047 | |
| | | | | | | | | | | | | | | 488,461,537 | |
Specialty Retail (0.7%) | | | | | | | | | | | | |
| 14,120 | | | Mister Car Wash Holdings, Inc., LIBOR 1M + 3.000%(1) | | (B, B2) | | 05/14/26 | | | 3.105 | | | | 14,099,379 | |
| 9,975 | | | Restoration Hardware, Inc., LIBOR 3M + 2.500%(1) | | (BB, Ba2) | | 10/20/28 | | | 3.000 | | | | 9,955,399 | |
| | | | | | | | | | | | | | | 24,054,778 | |
Steel Producers/Products (0.3%) | | | | | | | | | | | | |
| 2,102 | | | Grinding Media, Inc., LIBOR 3M + 4.000%(1) | | (B, B2) | | 10/12/28 | | | 4.750 | | | | 2,107,480 | |
| 9,512 | | | Zekelman Industries, Inc., LIBOR 1M + 2.000%(1) | | (BB+, Ba3) | | 01/24/27 | | | 2.109 | | | | 9,438,704 | |
| | | | | | | | | | | | | | | 11,546,184 | |
Support - Services (5.6%) | | | | | | | | | | | | |
| 16,229 | | | Allied Universal Holdco LLC, LIBOR 3M + 3.750%(1) | | (B, B2) | | 05/12/28 | | | 4.250 | | | | 16,207,627 | |
| 2,737 | | | Beacon Roofing Supply, Inc., LIBOR 1M + 2.250%(1) | | (BB-, Ba3) | | 05/19/28 | | | 2.355 | | | | 2,727,681 | |
| 1,750 | | | Belron Finance U.S. LLC, LIBOR 3M + 2.250%(1) | | (BB+, Ba3) | | 10/30/26 | | | 2.563 | | | | 1,750,000 | |
| 4,920 | | | Belron Finance U.S. LLC, LIBOR 3M + 2.750%(1) | | (BB+, Ba3) | | 04/13/28 | | | 3.250 | | | | 4,925,708 | |
| 4,477 | | | Centuri Group, Inc., LIBOR 3M + 2.500%(1) | | (BB-, Ba2) | | 08/27/28 | | | 3.000 | | | | 4,480,680 | |
| 25,756 | | | Change Healthcare Holdings LLC, LIBOR 1M + 2.500%(1) | | (B+, B1) | | 03/01/24 | | | 3.500 | | | | 25,757,352 | |
| 7,980 | | | CoreLogic, Inc., LIBOR 1M + 3.500%(1) | | (B, B1) | | 06/02/28 | | | 4.000 | | | | 7,947,601 | |
| 3,017 | | | Global Education Management Systems Establishment, LIBOR 3M + 5.000%(1) | | (B-, B3) | | 07/31/26 | | | 6.000 | | | | 3,032,645 | |
| 3,280 | | | LaserShip, Inc., LIBOR 6M + 7.500%(1) | | (CCC, Caa2) | | 05/07/29 | | | 8.250 | | | | 3,310,355 | |
| 7,980 | | | LaserShip, Inc., LIBOR 3M + 4.500%(1) | | (B-, B2) | | 05/07/28 | | | 5.250 | | | | 8,009,925 | |
| 5,000 | | | MSX International, Inc., EURIBOR 3M + 4.500%(1),(5),(7) | | (B-, B3) | | 01/08/24 | | | 4.500 | | | | 5,589,444 | |
| 13,133 | | | Nuvei Technologies Corp., LIBOR 1M + 2.500%(1) | | (B+, Ba3) | | 09/29/25 | | | 3.000 | | | | 13,050,444 | |
| 16,168 | | | Pike Corp., LIBOR 1M + 3.000%(1) | | (B, Ba3) | | 01/21/28 | | | 3.110 | | | | 16,151,920 | |
| 3,500 | | | PODS, LLC(3) | | (B, B2) | | 03/31/28 | | | 0.000 | | | | 3,495,625 | |
| 4,458 | | | Savage Enterprises LLC, LIBOR 1M + 3.250%(1) | | (BB-, B1) | | 09/15/28 | | | 3.750 | | | | 4,460,518 | |
| 12,155 | | | Sedgwick Claims Management Services, Inc., LIBOR 1M + 3.250%(1) | | (B, B2) | | 12/31/25 | | | 3.355 | | | | 12,091,000 | |
| 16,451 | | | SRAM, LLC, LIBOR 3M + 2.750%(1) | | (BB-, B1) | | 05/18/28 | | | 3.250 | | | | 16,450,677 | |
| 493 | | | St. George's University Scholastic Services(3) | | (B+, B2) | | 07/17/25 | | | 0.000 | | | | 491,918 | |
| 6,347 | | | Trans Union, LLC, LIBOR 1M + 2.250%(1) | | (BBB-, Ba2) | | 12/01/28 | | | 2.750 | | | | 6,330,423 | |
| 3,025 | | | TruGreen LP, LIBOR 3M + 8.500%(1),(2) | | (CCC+, Caa1) | | 11/02/28 | | | 9.250 | | | | 3,049,578 | |
| 2,865 | | | Waterlogic Holdings Ltd., LIBOR 3M + 4.750%(1) | | (B, B3) | | 08/04/28 | | | 4.974 | | | | 2,873,512 | |
| 16,597 | | | White Cap Buyer LLC, PRIME + 3.000%(1) | | (B, B2) | | 10/19/27 | | | 6.250 | | | | 16,615,396 | |
| 9,835 | | | Wrench Group LLC, LIBOR 3M + 4.000%(1) | | (B-, B2) | | 04/30/26 | | | 4.224 | | | | 9,822,729 | |
| | | | | | | | | | | | | | | 188,622,758 | |
Tech Hardware & Equipment (0.8%) | | | | | | | | | | | | |
| 4,042 | | | Atlas CC Acquisition Corp., LIBOR 3M + 4.250%(1) | | (B, B3) | | 05/25/28 | | | 5.000 | | | | 4,065,885 | |
| 822 | | | Atlas CC Acquisition Corp., LIBOR 3M + 4.250%(1) | | (B+, Ba3) | | 05/25/28 | | | 5.000 | | | | 826,959 | |
| 6,826 | | | CommScope, Inc., LIBOR 1M + 3.250%(1) | | (B, Ba3) | | 04/06/26 | | | 3.355 | | | | 6,716,752 | |
| 8,453 | | | Ingram Micro, Inc., LIBOR 3M + 3.500%(1) | | (BB-, B1) | | 06/30/28 | | | 4.000 | | | | 8,455,066 | |
| 8,647 | | | Vertiv Group Corp., LIBOR 1M + 2.750%(1) | | (BB-, B1) | | 03/02/27 | | | 2.852 | | | | 8,618,404 | |
| | | | | | | | | | | | | | | 28,683,066 | |
Telecom - Wireless (0.3%) | | | | | | | | | | | | |
| 3,932 | | | Eagle Broadband Investments LLC, LIBOR 3M + 3.000%(1) | | (B+, B2) | | 11/12/27 | | | 3.750 | | | | 3,927,083 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | |
Telecom - Wireless (continued) | | | | | | | | | | | | |
$ | 5,475 | | | MetroNet Systems Holdings, LLC, LIBOR 1M + 3.750%(1) | | (B, B2) | | 05/26/28 | | | 4.500 | | | $ | 5,466,414 | |
| | | | | | | | | | | | | | | 9,393,497 | |
Telecom - Wireline Integrated & Services (1.9%) | | | | | | | | | | | | |
| 2,481 | | | Altice France S.A.(3) | | (B, B2) | | 08/14/26 | | | 0.000 | | | | 2,476,118 | |
| 9,766 | | | Altice France S.A., LIBOR 3M + 3.687%(1) | | (B, B2) | | 01/31/26 | | | 3.927 | | | | 9,733,212 | |
| 17,273 | | | CenturyLink, Inc., LIBOR 1M + 2.250%(1) | | (BBB-, Ba3) | | 03/15/27 | | | 2.355 | | | | 17,016,857 | |
| 2,838 | | | Cincinnati Bell, Inc., SOFR 3M + 3.250%(1) | | (B+, B1) | | 11/22/28 | | | 3.750 | | | | 2,842,466 | |
| 833 | | | GTT Communications, Inc., PRIME + 3.750%(1),(9) | | (NR, NR) | | 05/31/25 | | | 7.000 | | | | 722,749 | |
| 7,269 | | | Level 3 Financing, Inc., LIBOR 1M + 1.750%(1) | | (BBB-, Ba1) | | 03/01/27 | | | 1.855 | | | | 7,158,146 | |
| 5,643 | | | Numericable Group S.A., LIBOR 3M + 2.750%(1) | | (B, B2) | | 07/31/25 | | | 2.750 | | | | 5,587,520 | |
| 2,256 | | | TVC Albany, Inc., LIBOR 1M + 3.500%(1) | | (B-, B2) | | 07/23/25 | | | 3.610 | | | | 2,232,810 | |
| 5,686 | | | Voyage Australia Pty Ltd., LIBOR 3M + 3.500%(1) | | (BB-, B1) | | 07/20/28 | | | 4.000 | | | | 5,688,422 | |
| 10,325 | | | Zayo Group Holdings, Inc., LIBOR 1M + 3.000%(1) | | (B, B1) | | 03/09/27 | | | 3.105 | | | | 10,195,148 | |
| | | | | | | | | | | | | | | 63,653,448 | |
Theaters & Entertainment (2.3%) | | | | | | | | | | | | |
| 2,236 | | | Metro-Goldwyn-Mayer, Inc., LIBOR 1M + 2.500%(1) | | (BB-, Ba3) | | 07/03/25 | | | 2.610 | | | | 2,236,820 | |
| 16,830 | | | Metro-Goldwyn-Mayer, Inc., LIBOR 1M + 4.500%(1) | | (CCC+, B3) | | 07/03/26 | | | 5.500 | | | | 16,861,133 | |
| 4,791 | | | NAI Entertainment Holdings LLC, LIBOR 1M + 2.500%(1),(5) | | (BB-, B3) | | 05/08/25 | | | 3.500 | | | | 4,719,501 | |
| 6,471 | | | Technicolor S.A., EURIBOR 12M + 3.000% Cash, 3.000% PIK(1),(6),(7) | | (CCC, Caa3) | | 12/31/24 | | | 6.000 | | | | 7,073,182 | |
| 1,276 | | | Technicolor S.A., LIBOR 6M + 6.000% Cash, 6.000% PIK(1),(6) | | (B, Caa1) | | 06/30/24 | | | 12.450 | | | | 1,345,058 | |
| 1,947 | | | Technicolor S.A., LIBOR 3M + 2.750% Cash, 3.000% PIK(1),(6) | | (CCC, Caa3) | | 12/31/24 | | | 5.900 | | | | 1,898,407 | |
| 20,171 | | | UFC Holdings LLC, LIBOR 6M + 2.750%(1) | | (B, B2) | | 04/29/26 | | | 3.500 | | | | 20,038,053 | |
| 23,627 | | | William Morris Endeavor Entertainment LLC, LIBOR 1M + 2.750%(1) | | (B, B3) | | 05/18/25 | | | 2.860 | | | | 23,268,988 | |
| | | | | | | | | | | | | | | 77,441,142 | |
Transport Infrastructure/Services (0.1%) | | | | | | | | | | | | |
| 3,092 | | | AI Mistral Holdco Ltd., LIBOR 1M + 3.000%(1) | | (CCC+, Caa2) | | 03/11/24 | | | 4.000 | | | | 2,708,960 | |
| | | | | | | | | | | | | | | | |
Trucking & Delivery (0.2%) | | | | | | | | | | | | |
| 7,546 | | | American Trailer World Corp., LIBOR 1M + 3.750%(1) | | (B, B3) | | 03/03/28 | | | 4.500 | | | | 7,520,159 | |
TOTAL BANK LOANS (Cost $2,868,606,052)
| | | | | | | | | | | 2,832,725,388 | |
| | | | | | | | | | | | |
CORPORATE BONDS (7.3%) | | | | | | | | | | | | |
Auto Parts & Equipment (0.2%) | | | | | | | | | | | | |
| 1,345 | | | Clarios U.S. Finance Co., Rule 144A, Company Guaranteed Notes (Callable 05/15/22 @ 104.25)(12) | | (CCC+, Caa1) | | 05/15/27 | | | 8.500 | | | | 1,408,141 | |
| 6,665 | | | Cooper-Standard Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/16/22 @ 102.81)(12),(13) | | (CCC, Caa2) | | 11/15/26 | | | 5.625 | | | | 4,988,952 | |
| 2,000 | | | TI Automotive Finance PLC, Rule 144A, Senior Unsecured Notes (Callable 04/15/24 @ 101.88)(7),(12) | | (B+, B3) | | 04/15/29 | | | 3.750 | | | | 2,209,932 | |
| | | | | | | | | | | | | | | 8,607,025 | |
Brokerage (0.1%) | | | | | | | | | | | | |
| 2,017 | | | StoneX Group, Inc., Rule 144A, Senior Secured Notes (Callable 06/15/22 @ 104.31)(12) | | (BB-, Ba3) | | 06/15/25 | | | 8.625 | | | | 2,141,661 | |
| | | | | | | | | | | | | | | | |
Building Materials (0.1%) | | | | | | | | | | | | |
| 2,860 | | | Park River Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/24 @ 103.38)(12) | | (CCC, Caa1) | | 08/01/29 | | | 6.750 | | | | 2,753,923 | |
| | | | | | | | | | | | | | | | |
Cable & Satellite TV (0.4%) | | | | | | | | | | | | |
| 1,000 | | | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 11/15/26 @ 102.25)(12) | | (BB, Ba3) | | 11/15/31 | | | 4.500 | | | | 933,370 | |
| 12,000 | | | Telenet Finance Luxembourg Notes Sarl, Rule 144A, Senior Secured Notes (Callable 12/01/22 @ 102.75)(12) | | (BB-, Ba3) | | 03/01/28 | | | 5.500 | | | | 12,300,000 | |
| | | | | | | | | | | | | | | 13,233,370 | |
Chemicals (0.2%) | | | | | | | | | | | | |
| 4,000 | | | Herens Holdco Sarl, Rule 144A, Senior Secured Notes (Callable 05/15/24 @ 102.38)(12) | | (B, B2) | | 05/15/28 | | | 4.750 | | | | 3,828,220 | |
| 3,250 | | | Schenectady International Group, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/15/23 @ 103.38)(12) | | (CCC+, Caa2) | | 05/15/26 | | | 6.750 | | | | 3,107,991 | |
| | | | | | | | | | | | | | | 6,936,211 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
CORPORATE BONDS (continued) |
Consumer/Commercial/Lease Financing (0.2%) | | | | | | | | | | | | |
$ | 6,815 | | | Cargo Aircraft Management, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 102.38)(12) | | (BB, Ba3) | | 02/01/28 | | | 4.750 | | | $ | 6,868,873 | |
| | | | | | | | | | | | | | | | |
Diversified Capital Goods (0.1%) | | | | | | | | | | | | |
| 2,000 | | | Atkore, Inc., Rule 144A, Senior Unsecured Notes (Callable 06/01/26 @ 102.13)(12) | | (BB-, Ba3) | | 06/01/31 | | | 4.250 | | | | 1,971,750 | |
| | | | | | | | | | | | | | | | |
Energy - Exploration & Production (0.2%) | | | | | | | | | | | | |
| 7,600 | | | W&T Offshore, Inc., Rule 144A, Secured Notes (Callable 03/03/22 @ 102.44)(12) | | (B, Caa2) | | 11/01/23 | | | 9.750 | | | | 7,419,158 | |
| | | | | | | | | | | | | | | | |
Gaming (0.1%) | | | | | | | | | | | | |
| 1,862 | | | Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/04/22 @ 100.00)(12) | | (CCC, Caa2) | | 10/15/24 | | | 6.750 | | | | 1,864,569 | |
| | | | | | | | | | | | | | | | |
Gas Distribution (0.1%) | | | | | | | | | | | | |
| 3,000 | | | New Fortress Energy, Inc., Rule 144A, Senior Secured Notes (Callable 03/31/23 @ 103.25)(12) | | (BB-, B1) | | 09/30/26 | | | 6.500 | | | | 2,810,325 | |
| | | | | | | | | | | | | | | | |
Health Services (0.5%) | | | | | | | | | | | | |
| 10,204 | | | Owens & Minor, Inc., Global Senior Secured Notes (Callable 09/15/24 @ 100.00) | | (BB-, Ba2) | | 12/15/24 | | | 4.375 | | | | 10,717,720 | |
| 1,500 | | | Owens & Minor, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/31/24 @ 102.25)(12) | | (B, B1) | | 03/31/29 | | | 4.500 | | | | 1,459,451 | |
| 2,040 | | | Radiology Partners, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 104.63)(12) | | (CCC, Caa2) | | 02/01/28 | | | 9.250 | | | | 2,034,329 | |
| 2,000 | | | RP Escrow Issuer LLC, Rule 144A, Senior Secured Notes (Callable 12/15/22 @ 102.63)(12) | | (B-, B2) | | 12/15/25 | | | 5.250 | | | | 1,950,650 | |
| | | | | | | | | | | | | | | 16,162,150 | |
Insurance Brokerage (0.4%) | | | | | | | | | | | | |
| 1,801 | | | Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/03/22 @ 101.75)(12) | | (CCC+, Caa2) | | 11/15/25 | | | 7.000 | | | | 1,801,261 | |
| 1,260 | | | Alliant Holdings Co-Issuer, Rule 144A, Senior Secured Notes (Callable 10/15/23 @ 102.13)(12) | | (B, B2) | | 10/15/27 | | | 4.250 | | | | 1,227,933 | |
| 3,500 | | | NFP Corp., Rule 144A, Senior Secured Notes (Callable 08/15/23 @ 102.44)(12) | | (B, B1) | | 08/15/28 | | | 4.875 | | | | 3,409,088 | |
| 7,674 | | | NFP Corp., Rule 144A, Senior Unsecured Notes (Callable 08/15/23 @ 103.44)(12) | | (CCC+, Caa2) | | 08/15/28 | | | 6.875 | | | | 7,311,979 | |
| | | | | | | | | | | | | | | 13,750,261 | |
Investments & Misc. Financial Services (0.2%) | | | | | | | | | | | | |
| 4,000 | | | Armor Holdco, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 104.25)(12) | | (CCC+, Caa1) | | 11/15/29 | | | 8.500 | | | | 4,081,300 | |
| 3,000 | | | Compass Group Diversified Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.63)(12) | | (B+, B1) | | 04/15/29 | | | 5.250 | | | | 2,966,670 | |
| | | | | | | | | | | | | | | 7,047,970 | |
Machinery (0.1%) | | | | | | | | | | | | |
| 5,639 | | | Arcosa, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.19)(12) | | (BB, Ba2) | | 04/15/29 | | | 4.375 | | | | 5,492,555 | |
| | | | | | | | | | | | | | | | |
Media Content (0.2%) | | | | | | | | | | | | |
| 4,250 | | | Diamond Sports Finance Co., Rule 144A, Senior Secured Notes (Callable 08/15/22 @ 102.69)(12) | | (CC, Caa1) | | 08/15/26 | | | 5.375 | | | | 1,962,119 | |
| 4,000 | | | WMG Acquisition Corp., Rule 144A, Senior Secured Notes (Callable 07/15/25 @ 101.94)(12) | | (BB+, Ba3) | | 07/15/30 | | | 3.875 | | | | 3,813,380 | |
| | | | | | | | | | | | | | | 5,775,499 | |
Medical Products (0.4%) | | | | | | | | | | | | |
| 11,740 | | | Mozart Debt Merger Sub, Inc., Rule 144A, Senior secured Notes (Callable 10/01/24 @ 101.94)(12) | | (B+, B1) | | 04/01/29 | | | 3.875 | | | | 11,311,901 | |
| 2,000 | | | Mozart Debt Merger Sub, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/01/24 @ 102.63)(12) | | (B-, Caa1) | | 10/01/29 | | | 5.250 | | | | 1,948,630 | |
| | | | | | | | | | | | | | | 13,260,531 | |
Metals & Mining - Excluding Steel (0.1%) | | | | | | | | | | | | |
| 4,000 | | | Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 02/15/23 @ 103.50)(12) | | (B-, B3) | | 02/15/26 | | | 7.000 | | | | 4,061,400 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
CORPORATE BONDS (continued) | |
Packaging (0.3%) | |
$ | 10,350 | | | TriMas Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.06)(12) | | (BB-, Ba3) | | 04/15/29 | | | 4.125 | | | $ | 10,158,732 | |
| | | | | | | | | | | | | | | | |
Pharmaceuticals (0.2%) | | | | | | | | | | | | |
| 355 | | | Bausch Health Americas, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/22 @ 104.63)(12) | | (B, B3) | | 04/01/26 | | | 9.250 | | | | 367,869 | |
| 2,000 | | | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/24 @ 103.13)(12) | | (B, B3) | | 02/15/29 | | | 6.250 | | | | 1,695,400 | |
| 1,000 | | | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/26 @ 102.63)(12) | | (B, B3) | | 02/15/31 | | | 5.250 | | | | 798,995 | |
| 5,325 | | | Jazz Securities DAC, Rule 144A, Senior Secured Notes (Callable 07/15/24 @ 102.19)(12) | | (BB-, Ba2) | | 01/15/29 | | | 4.375 | | | | 5,296,511 | |
| | | | | | | | | | | | | | | 8,158,775 | |
Real Estate Investment Trusts (0.4%) | | | | | | | | | | | | |
| 1,070 | | | iStar, Inc., Global Senior Unsecured Notes (Callable 08/15/22 @ 102.75) | | (BB, Ba3) | | 02/15/26 | | | 5.500 | | | | 1,089,977 | |
| 6,308 | | | iStar, Inc., Senior Unsecured Notes (Callable 05/01/25 @ 100.00) | | (BB, Ba3) | | 08/01/25 | | | 4.250 | | | | 6,273,341 | |
| 4,634 | | | Starwood Property Trust, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/23 @ 100.00)(12) | | (B+, Ba3) | | 11/01/23 | | | 5.500 | | | | 4,772,788 | |
| 1,137 | | | Starwood Property Trust, Inc., Rule 144A, Senior Unsecured Notes (Callable 01/15/26 @ 100.00)(12) | | (B+, Ba3) | | 07/15/26 | | | 3.625 | | | | 1,108,109 | |
| | | | | | | | | | | | | | | 13,244,215 | |
Recreation & Travel (0.3%) | | | | | | | | | | | | |
| 1,296 | | | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 03/03/22 @ 101.22)(12) | | (B-, B3) | | 07/31/24 | | | 4.875 | | | | 1,297,575 | |
| 1,194 | | | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/22 @ 102.75)(12) | | (B-, B3) | | 04/15/27 | | | 5.500 | | | | 1,205,588 | |
| 2,500 | | | Six Flags Theme Parks, Inc., Rule 144A, Senior Secured Notes (Callable 07/01/22 @ 103.50)(12) | | (BB-, Ba2) | | 07/01/25 | | | 7.000 | | | | 2,609,225 | |
| 5,784 | | | Speedway Funding II, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/22 @ 102.44)(12) | | (BB-, B2) | | 11/01/27 | | | 4.875 | | | | 5,819,976 | |
| | | | | | | | | | | | | | | 10,932,364 | |
Software - Services (0.4%) | | | | | | | | | | | | |
| 6,311 | | | Austin BidCo, Inc., Rule 144A, Senior Unsecured Notes (Callable 12/15/23 @ 103.56)(12) | | (CCC+, Caa2) | | 12/15/28 | | | 7.125 | | | | 6,418,192 | |
| 4,350 | | | Elastic NV, Rule 144A, Senior Unsecured Notes (Callable 07/15/24 @ 102.06)(12) | | (B+, B1) | | 07/15/29 | | | 4.125 | | | | 4,068,925 | |
| 2,555 | | | Endure Digital, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/24 @ 103.00)(12) | | (CCC+, Caa2) | | 02/15/29 | | | 6.000 | | | | 2,276,901 | |
| | | | | | | | | | | | | | | 12,764,018 | |
Specialty Retail (0.1%) | | | | | | | | | | | | |
| 3,745 | | | Ruyi U.S. Finance LLC, Rule 144A, Senior Secured Notes (Callable 03/03/22 @ 105.63)(12) | | (NR, Caa1) | | 05/01/25 | | | 7.500 | | | | 3,376,380 | |
| | | | | | | | | | | | | | | | |
Support - Services (1.3%) | | | | | | | | | | | | |
| 5,698 | | | Allied Universal Finance Corp., Rule 144A, Senior Secured Notes (Callable 06/01/24 @ 102.31)(12) | | (B, B2) | | 06/01/28 | | | 4.625 | | | | 5,469,539 | |
| 3,557 | | | Allied Universal Finance Corp., Rule 144A, Senior Secured Notes (Callable 06/01/24 @ 102.31)(12) | | (B, B2) | | 06/01/28 | | | 4.625 | | | | 3,370,666 | |
| 9,455 | | | Allied Universal Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 06/01/24 @ 103.00)(12) | | (CCC+, Caa1) | | 06/01/29 | | | 6.000 | | | | 8,976,388 | |
| 11,000 | | | CoreLogic, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/24 @ 102.25)(12) | | (B, B1) | | 05/01/28 | | | 4.500 | | | | 10,556,700 | |
| 7,565 | | | Gems Education Delaware LLC, Rule 144A, Senior Secured Notes (Callable 07/31/22 @ 103.56)(12) | | (B-, B3) | | 07/31/26 | | | 7.125 | | | | 7,783,780 | |
| 9,474 | | | GYP Holdings III Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/24 @ 102.31)(12) | | (B, B2) | | 05/01/29 | | | 4.625 | | | | 9,216,023 | |
| | | | | | | | | | | | | | | 45,373,096 | |
Tech Hardware & Equipment (0.3%) | | | | | | | | | | | | |
| 1,400 | | | CommScope, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/03/22 @ 104.13)(12) | | (CCC+, B3) | | 03/01/27 | | | 8.250 | | | | 1,372,000 | |
| 1,700 | | | CommScope, Inc., Rule 144A, Senior Secured Notes (Callable 09/01/24 @ 102.38)(12) | | (B, Ba3) | | 09/01/29 | | | 4.750 | | | | 1,630,988 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
CORPORATE BONDS (continued) | |
Tech Hardware & Equipment (continued) | | | | | | | | | | | | |
$ | 7,700 | | | Imola Merger Corp., Rule 144A, Senior Secured Notes (Callable 05/15/24 @ 102.38)(12) | | (BB-, B1) | | 05/15/29 | | | 4.750 | | | $ | 7,503,573 | |
| | | | | | | | | | | | | | | 10,506,561 | |
Telecom - Wireline Integrated & Services (0.2%) | | | | | | | | | | | | |
| 7,000 | | | GTT Communications, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/03/22 @ 101.97)(9),(12) | | (NR, Wr) | | 12/31/24 | | | 0.000 | | | | 910,000 | |
| 1,800 | | | LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes (Callable 10/15/22 @ 103.38)(12) | | (B+, B1) | | 10/15/27 | | | 6.750 | | | | 1,873,498 | |
| 3,000 | | | LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes (Callable 07/15/24 @ 102.56)(12) | | (B+, B1) | | 07/15/29 | | | 5.125 | | | | 2,947,215 | |
| | | | | | | | | | | | | | | 5,730,713 | |
Theaters & Entertainment (0.2%) | | | | | | | | | | | | |
| 2,081 | | | Technicolor S.A., Tranche 1 Notes (7) | | (NR, NR) | | 06/30/24 | | | 6.000 | | | | 2,477,422 | |
| 2,590 | | | Technicolor S.A., Tranche 2 Notes (7) | | (NR, NR) | | 06/30/24 | | | 6.000 | | | | 3,084,499 | |
| | | | | | | | | | | | | | | 5,561,921 | |
TOTAL CORPORATE BONDS (Cost $258,251,552) | | | | | | | | | | | 245,964,006 | |
| | | | | | | | | | | | |
ASSET BACKED SECURITIES (3.3%) | | | | | | | | | | | | |
Collateralized Debt Obligations (3.3%) | | | | | | | | | | | | |
| 6,000 | | | ALM Ltd., 2020-1A, Rule 144A, LIBOR 3M + 6.000%(1),(12) | | (BB-, NR) | | 10/15/29 | | | 6.241 | | | | 5,988,690 | |
| 3,500 | | | Anchorage Capital CLO 16 Ltd., 2020-16A, Rule 144A, LIBOR 3M + 3.720%(1),(12) | | (NR, NR) | | 01/19/35 | | | 0.000 | | | | 3,504,361 | |
| 2,500 | | | Battalion CLO Ltd., 2021-21A, Rule 144A, LIBOR 3M + 3.300%(1),(12) | | (NR, Baa3) | | 07/15/34 | | | 3.541 | | | | 2,503,723 | |
| 1,750 | | | Benefit Street Partners CLO X Ltd., 2016-10A, Rule 144A, LIBOR 3M + 6.750%(1),(12) | | (BB-, NR) | | 04/20/34 | | | 7.004 | | | | 1,722,572 | |
| 2,100 | | | BlueMountain CLO Ltd., 2015-3A, Rule 144A, LIBOR 3M + 5.400%(1),(12) | | (B, NR) | | 04/20/31 | | | 5.654 | | | | 1,950,306 | |
| 5,500 | | | BlueMountain CLO Ltd., 2016-2A, Rule 144A, LIBOR 3M + 4.300%(1),(12) | | (BBB-, NR) | | 08/20/32 | | | 4.460 | | | | 5,541,470 | |
| 4,116 | | | Capital Automotive LLC, 2017-1A, Rule 144A(12) | | (A+, NR) | | 04/15/47 | | | 3.870 | | | | 4,119,709 | |
| 2,485 | | | Capital Automotive LLC, 2017-1A, Rule 144A(12) | | (A+, NR) | | 04/15/47 | | | 4.180 | | | | 2,555,939 | |
| 750 | | | Carlyle Global Market Strategies CLO Ltd., 2014-3RA, Rule 144A, LIBOR 3M + 5.400%(1),(12) | | (B+, NR) | | 07/27/31 | | | 5.668 | | | | 709,450 | |
| 2,000 | | | Carlyle Global Market Strategies CLO Ltd., 2014-5A, Rule 144A, LIBOR 3M + 3.150%(1),(12) | | (BBB-, NR) | | 07/15/31 | | | 3.391 | | | | 1,967,798 | |
| 2,625 | | | CIFC Funding Ltd., 2014-1A, Rule 144A, LIBOR 3M + 5.850%(1),(12) | | (B+, NR) | | 01/18/31 | | | 6.091 | | | | 2,505,843 | |
| 4,000 | | | Crown Point CLO IV Ltd., 2018-4A, Rule 144A, LIBOR 3M + 2.750%(1),(12) | | (NR, Baa3) | | 04/20/31 | | | 3.004 | | | | 3,859,912 | |
| 1,750 | | | Dryden 86 CLO Ltd., 2020-86A, Rule 144A, LIBOR 3M + 3.200%(1),(12) | | (BBB-, NR) | | 07/17/34 | | | 3.441 | | | | 1,741,996 | |
| 3,500 | | | Elevation CLO Ltd., 2014-2A, Rule 144A, LIBOR 3M + 3.200%(1),(12) | | (NR, Baa3) | | 10/15/29 | | | 3.441 | | | | 3,463,029 | |
| 5,000 | | | Galaxy XVIII CLO Ltd., 2018-28A, Rule 144A, LIBOR 3M + 3.000%(1),(12) | | (BBB-, NR) | | 07/15/31 | | | 3.241 | | | | 4,940,850 | |
| 3,500 | | | Greywolf CLO II Ltd., 2013-1A, Rule 144A, LIBOR 3M + 4.200%(1),(12) | | (BBB-, NR) | | 04/15/34 | | | 4.441 | | | | 3,527,874 | |
| 2,000 | | | Greywolf CLO III Ltd., 2020-3RA, Rule 144A, LIBOR 3M + 6.920%(1),(12) | | (BB-, NR) | | 04/15/33 | | | 7.179 | | | | 1,992,690 | |
| 2,000 | | | Greywolf CLO IV Ltd., 2019-1A, Rule 144A, LIBOR 3M + 3.650%(1),(12) | | (BBB-, NR) | | 04/17/34 | | | 3.891 | | | | 2,009,064 | |
| 6,000 | | | Greywolf CLO V Ltd., 2015-1A, Rule 144A, LIBOR 3M + 2.000%(1),(12) | | (A, NR) | | 01/27/31 | | | 2.258 | | | | 6,012,792 | |
| 3,950 | | | Greywolf CLO V Ltd., 2015-1A, Rule 144A, LIBOR 3M + 3.000%(1),(12) | | (BBB-, NR) | | 01/27/31 | | | 3.258 | | | | 3,924,262 | |
| 2,500 | | | KKR CLO Ltd., Rule 144A, LIBOR 3M + 6.150%(1),(12) | | (NR, B1) | | 07/15/31 | | | 6.391 | | | | 2,419,430 | |
| 3,250 | | | KKR Financial CLO Ltd., 2013-1A, Rule 144A, LIBOR 3M + 6.080%(1),(12) | | (NR, Ba3) | | 04/15/29 | | | 6.321 | | | | 3,176,397 | |
| 1,900 | | | Marble Point CLO XVII Ltd., 2020-1A, Rule 144A, LIBOR 3M + 6.820%(1),(12) | | (NR, Ba3) | | 04/20/33 | | | 7.074 | | | | 1,852,399 | |
| 3,450 | | | Marble Point CLO XVIII Ltd., 2020-2A, Rule 144A, LIBOR 3M + 7.700%(1),(12) | | (NR, Ba3) | | 10/15/34 | | | 7.817 | | | | 3,402,939 | |
| 1,750 | | | Marble Point CLO XXI Ltd., 2021-3A, Rule 144A, LIBOR 3M + 2.300%(1),(12) | | (NR, A2) | | 10/17/34 | | | 2.541 | | | | 1,750,866 | |
| 5,275 | | | Marble Point CLO XXIII Ltd., 2021-4A, Rule 144A, LIBOR 3M + 5.750%(1),(12) | | (NR, Ba1) | | 01/22/35 | | | 5.843 | | | | 5,260,452 | |
| 1,500 | | | Neuberger Berman Loan Advisers CLO 43 Ltd., 2021-43A, Rule 144A, LIBOR 3M + 3.100%(1),(12) | | (BBB-, NR) | | 07/17/35 | | | 3.341 | | | | 1,501,809 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
ASSET BACKED SECURITIES (continued) | |
Collateralized Debt Obligations(continued) | | | | | | | | | | | | |
$ | 2,250 | | | Octagon Investment Partners 26 Ltd., 2016-1A, Rule 144A, LIBOR 3M + 2.850%(1),(12) | | (BBB-, NR) | | 07/15/30 | | | 3.091 | | | $ | 2,241,324 | |
| 3,500 | | | Shackleton CLO Ltd., 2014-6RA, Rule 144A, LIBOR 3M + 2.970%(1),(12) | | (NR, Baa2) | | 07/17/28 | | | 3.211 | | | | 3,501,218 | |
| 3,580 | | | Signal Peak CLO 5 Ltd., 2018-5A, Rule 144A, LIBOR 3M + 2.650%(1),(12) | | (BBB-, NR) | | 04/25/31 | | | 2.908 | | | | 3,538,114 | |
| 4,125 | | | Silver Creek CLO Ltd., 2014-1A, Rule 144A, LIBOR 3M + 3.350%(1),(12) | | (NR, Baa3) | | 07/20/30 | | | 3.604 | | | | 4,127,702 | |
| 3,000 | | | Venture CLO Ltd., 2018-35A, Rule 144A, LIBOR 3M + 3.500%(1),(12) | | (NR, Baa3) | | 10/22/31 | | | 3.759 | | | | 2,951,223 | |
| 3,000 | | | Venture XIII CLO Ltd., 2013-13A, Rule 144A, LIBOR 3M + 3.300%(1),(12) | | (NR, A3) | | 09/10/29 | | | 3.501 | | | | 3,000,819 | |
| 3,278 | | | Venture XXIII CLO Ltd., 2016-23A, Rule 144A, LIBOR 3M + 5.070%(1),(12) | | (NR, Ba1) | | 07/19/34 | | | 5.318 | | | | 3,162,762 | |
| 1,750 | | | Vibrant ClO 1X Ltd., 2018-9A, Rule 144A, LIBOR 3M + 3.200%(1),(12) | | (NR, Baa3) | | 07/20/31 | | | 3.454 | | | | 1,698,200 | |
| 1,500 | | | Vibrant CLO VI Ltd., 2017-6A, Rule 144A, LIBOR 3M + 5.750%(1),(12) | | (NR, B1) | | 06/20/29 | | | 5.964 | | | | 1,427,907 | |
| 3,000 | | | Voya CLO Ltd., 2014-4A, Rule 144A, LIBOR 3M + 3.350%(1),(12) | | (BBB-, NR) | | 07/14/31 | | | 3.588 | | | | 2,917,689 | |
TOTAL ASSET BACKED SECURITIES (Cost $112,942,398) | | | | | | | | | | | 112,473,580 | |
Number of Shares | | | | | | |
COMMON STOCKS (0.7%) | | | | |
Auto Parts & Equipment (0.1%) | | | | |
| 151,253 | | | Jason Group, Inc.(10) | | | 1,588,156 | |
| | | | | | | | |
Chemicals (0.3%) | | | | |
| 31,756 | | | Project Investor Holdings LLC(2),(4),(5),(10) | | | 317 | |
| 529,264 | | | Proppants Holdings LLC(2),(4),(5),(10) | | | 5,293 | |
| 191,054 | | | UTEX Industries, Inc.(10) | | | 10,125,862 | |
| | | | | | | 10,131,472 | |
Energy - Exploration & Production (0.0%) | | | | |
| 872,375 | | | PES Energy, Inc.(2),(4),(5),(10) | | | 8,724 | |
| | | | | | | | |
Machinery (0.0%) | | | | |
| 6,675,439 | | | Doncasters U.S. Finance LLC(2),(4),(10),(11) | | | — | |
| | | | | | | | |
Pharmaceuticals (0.0%) | | | | |
| 156,133 | | | Akorn Holding Company LLC(10) | | | 1,411,755 | |
| | | | | | | | |
Private Placement (0.3%) | | | | |
| 2,723,899 | | | Technicolor S.A. EUR 27.0(10),(14) | | | 8,415,421 | |
| | | | | | | | |
Software - Services (0.0%) | | | | |
| 78,712 | | | Skillsoft Corp.(10) | | | 584,043 | |
| | | | | | | | |
Support - Services (0.0%) | | | | |
| 779 | | | Sprint Industrial Holdings LLC, Class G(2),(4),(5),(10) | | | — | |
| 71 | | | Sprint Industrial Holdings LLC, Class H(2),(4),(5),(10) | | | — | |
| 172 | | | Sprint Industrial Holdings LLC, Class I(2),(4),(5),(10) | | | 900 | |
| | | | | | | 900 | |
TOTAL COMMON STOCKS (Cost $26,338,461) | | | 22,140,471 | |
| | | | |
WARRANTS (0.0%) | | | | |
Chemicals (0.0%) | | | | |
| 132,316 | | | Project Investor Holdings LLC, expires 02/20/2022(2),(4),(5),(10) | | | — | |
| | | | | | | | |
Recreation & Travel (0.0%) | | | | |
| 526,589 | | | Cineworld Group, expires 12/21/2025(10) | | | 80,568 | |
TOTAL WARRANTS (Cost $68,804) | | | 80,568 | |
| | | | |
SHORT-TERM INVESTMENTS (12.9%) | | | | |
| 428,933,365 | | | State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.03% | | | 428,933,365 | |
| 5,248,688 | | | State Street Navigator Securities Lending Government Money Market Portfolio, 0.05%(15) | | | 5,248,688 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $434,182,053) | | | 434,182,053 | |
TOTAL INVESTMENTS AT VALUE (108.3%) (Cost $3,700,389,320) | | | 3,647,566,066 | |
LIABILITIES IN EXCESS OF OTHER ASSETS (-8.3%) | | | (281,061,415 | ) |
NET ASSETS (100.0%) | | $ | 3,366,504,651 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
| † | Credit ratings given by the S&P Global Ratings Division of S&P Global Inc. (“S&P”) and Moody’s Investors Service, Inc. ("Moody's") are unaudited. |
| (1) | Variable rate obligation - The interest rate shown is the rate in effect as of January 31, 2022. |
| (2) | Security is valued using significant unobservable inputs. |
| (3) | 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, 2022. |
| (4) | Not readily marketable security; security is valued at fair value as determined in good faith by, or under the direction of, the Board of Trustees. |
| (5) | Illiquid security (unaudited). |
| (6) | PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal. |
| (7) | This security is denominated in Euro. |
| (8) | All or a portion is an unfunded loan commitment. |
| (9) | Bond is currently in default. |
| (10) | Non-income producing security. |
| (11) | This security is denominated in British Pound. |
| (12) | 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, 2022, these securities amounted to a value of $334,794,627 or 9.9% of net assets. |
| (13) | Security or portion thereof is out on loan. |
| (14) | Security is held through holdings of 100 shares of the CIG Special Purpose SPC— Credit Suisse Floating Rate High Income Fund Segregated Portfolio, an affiliated entity. |
| (15) | Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at January 31, 2022. |
INVESTMENT ABBREVIATIONS
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
SOFR = Secured Overnight Financing Rate
Forward Foreign Currency Contracts
Forward Currency to be Purchased (Local) | | Forward Currency to be Sold (Local) | | Expiration Date | | Counterparty | | Value on Settlement Date | | | Current Value/Notional | | | Net Unrealized Appreciation | |
USD | $ | 771,006 | | | EUR | $ | 675,540 | | | 10/12/22 | | Deutsche Bank AG | | $ | (771,006 | ) | | $ | (763,941 | ) | | $ | 7,065 | |
USD | | 109,124,717 | | | EUR | | 93,522,619 | | | 10/12/22 | | Morgan Stanley | | | (109,124,717 | ) | | | (105,761,020 | ) | | | 3,363,697 | |
USD | | 18,249,462 | | | GBP | | 13,425,539 | | | 10/12/22 | | Deutsche Bank AG | | | (18,249,462 | ) | | | (17,990,578 | ) | | | 258,884 | |
| | | | | | | | | | | | | | | | | | | | | | $ | 3,629,646 | |
Forward Foreign Currency Contracts
Forward Currency to be Purchased (Local) | | Forward Currency to be Sold (Local) | | Expiration Date | | Counterparty | | Value on Settlement Date | | | Current Value/Notional | | | Net Unrealized Depreciation | |
EUR | | 650,000 | | | USD | | 758,071 | | | 10/12/22 | | Deutsche Bank AG | | $ | 758,071 | | | $ | 735,059 | | | $ | (23,012 | ) |
EUR | | 5,000,000 | | | USD | | 5,692,110 | | | 10/12/22 | | Morgan Stanley | | | 5,692,110 | | | | 5,654,302 | | | | (37,808 | ) |
| | | | | | | | | | | | | | | | | | | | | | $ | (60,820 | ) |
| | | | | | | | | | | | | | | | | | | | | | $ | 3,568,826 | |
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, 2022 in valuing the Fund’s assets and liabilities carried at fair value:
Assets | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Bank Loans | | $ | — | | | $ | 2,597,694,243 | | | $ | 235,031,145 | | | $ | 2,832,725,388 | |
Corporate Bonds | | | — | | | | 245,964,006 | | | | — | | | | 245,964,006 | |
Asset Backed Securities | | | — | | | | 112,473,580 | | | | — | | | | 112,473,580 | |
Common Stocks | | | 584,043 | | | | 21,541,194 | | | | 15,234 | | | | 22,140,471 | |
Warrants | | | — | | | | 80,568 | | | | 0 | (1) | | | 80,568 | |
Short-term Investments | | | 428,933,365 | | | | 5,248,688 | | | | — | | | | 434,182,053 | |
| | $ | 429,517,408 | | | $ | 2,983,002,279 | | | $ | 235,046,379 | | | $ | 3,647,566,066 | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 3,629,646 | | | $ | — | | | $ | 3,629,646 | |
Liabilities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 60,820 | | | $ | — | | | $ | 60,820 | |
| (1) | Included a zero valued security. |
| * | Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts. |
The following is a reconciliation of investments as of January 31, 2022 for which significant unobservable inputs were used in determining fair value.
| | Bank Loans | | | Corporate Bonds | | | Common Stocks | | | Warrants | | | Total | |
Balance as of October 31, 2021 | | $ | 161,045,739 | | | $ | - | | | $ | 15,234 | | | $ | 0 | 1 | | $ | 161,060,973 | |
Accrued discounts (premiums) | | | 268,407 | | | | - | | | | - | | | | - | | | | 268,407 | |
Purchases | | | 102,991,949 | | | | - | | | | - | | | | - | | | | 102,991,949 | |
Sales | | | (6,845,209 | ) | | | - | | | | - | | | | - | | | | (6,845,209 | ) |
Realized gain (loss) | | | (76,938 | ) | | | - | | | | (59,979 | ) | | | - | | | | (136,917 | ) |
Change in unrealized appreciation (depreciation) | | | 1,651,132 | | | | - | | | | 59,979 | | | | - | | | | 1,711,111 | |
Transfers into Level 3 | | | 64,050,651 | | | | - | | | | - | | | | - | | | | 64,050,651 | |
Transfers out of Level 3 | | | (88,054,586 | ) | | | - | | | | - | | | | - | | | | (88,054,586 | ) |
Balance as of January 31, 2022 | | $ | 235,031,145 | | | $ | - | | | $ | 15,234 | | | $ | 0 | 1 | | $ | 235,046,379 | |
| | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) from investments still held as of January 31, 2022 | | $ | (406,868 | ) | | $ | - | | | $ | - | | | $ | - | | | $ | (406,868 | ) |
| (1) | Includes zero valued securities. |
Quantitative Disclosure About Significant Unobservable Inputs
| | Fair Value | | | Valuation | | Unobservable | | Range |
Asset Class | | At 01/31/2022 | | | Technique | | Input | | (Weighted Average)* |
Bank Loans | | $ | 217,519,895 | | | Vendor pricing | | Single Broker Quote | | $0.00 - $1.35 ($1.00) |
| | | 17,511,250 | | | Recent Transactions | | Trade Price | | $0.97 - $1.00 ($0.99) |
Common Stocks | | $ | 14,334 | | | Income Approach | | Expected Remaining Distribution | | $0.00 - $0.01 ($0.01) |
| | | 900 | | | Recent Transactions | | Trade Price | | $5.22 (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, 2022, $64,050,651 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $88,054,586 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, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
CORPORATE BONDS (33.7%) | | | | | | | | | | | | |
Aerospace & Defense (0.2%) | | | | | | | | | | | | |
$ | 250 | | | KBR, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/30/23 @ 102.38)(1) | | (BB-, Ba3) | | 09/30/28 | | | 4.750 | | | $ | 249,763 | |
| 500 | | | Science Applications International Corp., Rule 144A, Company Guaranteed Notes (Callable 04/01/23 @ 102.44)(1) | | (BB-, B1) | | 04/01/28 | | | 4.875 | | | | 503,180 | |
| 250 | | | TransDigm, Inc., Global Company Guaranteed Notes (Callable 03/15/22 @ 103.75) | | (B-, B3) | | 03/15/27 | | | 7.500 | | | | 259,711 | |
| | | | | | | | | | | | | | | 1,012,654 | |
Auto Parts & Equipment (0.8%) | | | | | | | | | | | | |
| 2,335 | | | Clarios U.S. Finance Co., Rule 144A, Company Guaranteed Notes (Callable 05/15/22 @ 104.25)(1) | | (CCC+, Caa1) | | 05/15/27 | | | 8.500 | | | | 2,444,617 | |
| 650 | | | Cooper-Standard Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/16/22 @ 102.81)(1),(2) | | (CCC, Caa2) | | 11/15/26 | | | 5.625 | | | | 486,545 | |
| 950 | | | Dornoch Debt Merger Sub, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/15/24 @ 103.31)(1),(2) | | (CCC, Caa1) | | 10/15/29 | | | 6.625 | | | | 917,937 | |
| | | | | | | | | | | | | | | 3,849,099 | |
Automakers (0.1%) | | | | | | | | | | | | |
| 400 | | | Thor Industries, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/24 @ 102.00)(1) | | (BB-, B1) | | 10/15/29 | | | 4.000 | | | | 381,500 | |
| 250 | | | Winnebago Industries, Inc., Rule 144A, Senior Secured Notes (Callable 07/15/23 @ 103.13)(1) | | (BB+, Ba3) | | 07/15/28 | | | 6.250 | | | | 266,219 | |
| | | | | | | | | | | | | | | 647,719 | |
Brokerage (0.3%) | | | | | | | | | | | | |
| 1,298 | | | StoneX Group, Inc., Rule 144A, Senior Secured Notes (Callable 06/15/22 @ 104.31)(1) | | (BB-, Ba3) | | 06/15/25 | | | 8.625 | | | | 1,378,223 | |
| | | | | | | | | | | | | | | | |
Building & Construction (0.7%) | | | | | | | | | | | | |
| 500 | | | Adams Homes, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/16/22 @ 103.75)(1) | | (B+, B3) | | 02/15/25 | | | 7.500 | | | | 515,540 | |
| 355 | | | APi Group DE, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/24 @ 102.06)(1) | | (B, B1) | | 07/15/29 | | | 4.125 | | | | 342,213 | |
| 750 | | | Eco Material Technologies, Inc. Rule 144A, Senior Secured Notes (Callable 01/31/24 @ 103.94)(1) | | (B, B2) | | 01/31/27 | | | 7.875 | | | | 761,280 | |
| 1,000 | | | Installed Building Products, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 102.88)(1) | | (B+, B1) | | 02/01/28 | | | 5.750 | | | | 1,027,935 | |
| 750 | | | TopBuild Corp., Rule 144A, Company Guaranteed Notes (Callable 03/15/24 @ 101.81)(1) | | (BB+, Ba2) | | 03/15/29 | | | 3.625 | | | | 724,882 | |
| | | | | | | | | | | | | | | 3,371,850 | |
Building Materials (1.8%) | | | | | | | | | | | | |
| 700 | | | Advanced Drainage Systems, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/30/22 @ 102.50)(1) | | (B+, Ba2) | | 09/30/27 | | | 5.000 | | | | 705,180 | |
| 1,230 | | | Foundation Building Materials, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/24 @ 103.00)(1) | | (CCC+, Caa1) | | 03/01/29 | | | 6.000 | | | | 1,188,629 | |
| 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 | | | | 1,436,316 | |
| 750 | | | Masonite International Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 102.69)(1) | | (BB+, Ba1) | | 02/01/28 | | | 5.375 | | | | 769,658 | |
| 1,250 | | | MIWD Finance Corp., Rule144A, Company Guaranteed Notes (Callable 02/01/25 @ 102.75)(1) | | (B, B3) | | 02/01/30 | | | 5.500 | | | | 1,242,612 | |
| 2,050 | | | Park River Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/24 @ 103.38)(1) | | (CCC, Caa1) | | 08/01/29 | | | 6.750 | | | | 1,973,965 | |
| 1,200 | | | PGT Innovations, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/24 @ 102.19)(1) | | (B+, B2) | | 10/01/29 | | | 4.375 | | | | 1,156,854 | |
| 500 | | | Standard Industries, Inc., Rule 144A, Senior Unsecured Notes (Callable 07/15/25 @ 102.19)(1) | | (BB, B1) | | 07/15/30 | | | 4.375 | | | | 479,568 | |
| | | | | | | | | | | | | | | 8,952,782 | |
Cable & Satellite TV (0.8%) | | | | | | | | | | | | |
| 300 | | | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 11/15/26 @ 102.25)(1) | | (BB, Ba3) | | 11/15/31 | | | 4.500 | | | | 280,011 | |
| 500 | | | CSC Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 01/15/25 @ 102.88)(1) | | (B+, B3) | | 01/15/30 | | | 5.750 | | | | 470,830 | |
| 2,800 | | | Telenet Finance Luxembourg Notes Sarl, Rule 144A, Senior Secured Notes (Callable 12/01/22 @ 102.75)(1) | | (BB-, Ba3) | | 03/01/28 | | | 5.500 | | | | 2,870,000 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
CORPORATE BONDS (continued) | | | | | | | | | | | | |
Cable & Satellite TV (continued) | | | | | | | | | | | | |
$ | 500 | | | UPC Broadband Finco B.V., Rule 144A, Senior Secured Notes (Callable 07/15/26 @ 102.44)(1) | | (BB-, B1) | | 07/15/31 | | | 4.875 | | | $ | 495,203 | |
| | | | | | | | | | | | | | | 4,116,044 | |
Chemicals (0.8%) | | | | | | | | | | | | |
| 250 | | | Avient Corp., Rule 144A, Senior Unsecured Notes (Callable 05/15/22 @ 102.88)(1) | | (BB-, Ba3) | | 05/15/25 | | | 5.750 | | | | 256,951 | |
| 250 | | | GCP Applied Technologies, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/16/22 @ 102.75)(1) | | (BB, B1) | | 04/15/26 | | | 5.500 | | | | 255,586 | |
| 500 | | | Herens Holdco Sarl, Rule 144A, Senior Secured Notes (Callable 05/15/24 @ 102.38)(1) | | (B, B2) | | 05/15/28 | | | 4.750 | | | | 478,528 | |
| 1,040 | | | Ingevity Corp., Rule 144A, Company Guaranteed Notes (Callable 03/03/22 @ 101.13)(1) | | (NR, Ba3) | | 02/01/26 | | | 4.500 | | | | 1,039,501 | |
| 250 | | | Minerals Technologies, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/01/23 @ 102.50)(1) | | (BB-, Ba3) | | 07/01/28 | | | 5.000 | | | | 254,176 | |
| 450 | | | Olympus Water U.S. Holding Corp., Rule 144A, Senior Unsecured Notes (Callable 10/01/24 @ 103.13)(1) | | (CCC+, Caa2) | | 10/01/29 | | | 6.250 | | | | 428,083 | |
| 52 | | | Reichhold Industries, Inc., Rule 144A, Senior Secured Notes (1),(3),(4),(5),(6),(7) | | (NR, NR) | | 05/01/18 | | | 0.000 | | | | 706 | |
| 1,050 | | | Schenectady International Group, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/15/23 @ 103.38)(1) | | (CCC+, Caa2) | | 05/15/26 | | | 6.750 | | | | 1,004,120 | |
| 500 | | | Trinseo Materials Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/24 @ 102.56)(1) | | (B, B2) | | 04/01/29 | | | 5.125 | | | | 503,300 | |
| | | | | | | | | | | | | | | 4,220,951 | |
Consumer/Commercial/Lease Financing (0.7%) | | | | | | | | | | | | |
| 3,520 | | | Cargo Aircraft Management, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 102.38)(1) | | (BB, Ba3) | | 02/01/28 | | | 4.750 | | | | 3,547,826 | |
| | | | | | | | | | | | | | | | |
Diversified Capital Goods (0.2%) | | | | | | | | | | | | |
| 625 | | | Atkore, Inc., Rule 144A, Senior Unsecured Notes (Callable 06/01/26 @ 102.13)(1) | | (BB-, Ba3) | | 06/01/31 | | | 4.250 | | | | 616,172 | |
| 200 | | | Madison IAQ LLC, Rule 144A, Senior Secured Notes (Callable 06/30/24 @ 102.06)(1) | | (B, B1) | | 06/30/28 | | | 4.125 | | | | 190,799 | |
| | | | | | | | | | | | | | | 806,971 | |
Electronics (0.4%) | | | | | | | | | | | | |
| 750 | | | Sensata Technologies B.V., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.00)(1) | | (BB+, Ba3) | | 04/15/29 | | | 4.000 | | | | 738,341 | |
| 500 | | | Sensata Technologies Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/29 @ 100.00)(1) | | (BB+, Ba3) | | 02/15/30 | | | 4.375 | | | | 500,543 | |
| 1,000 | | | Synaptics, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/24 @ 102.00)(1),(2) | | (B+, Ba3) | | 06/15/29 | | | 4.000 | | | | 982,725 | |
| | | | | | | | | | | | | | | 2,221,609 | |
Energy - Exploration & Production (0.6%) | | | | | | | | | | | | |
| 625 | | | CNX Resources Corp., Rule 144A, Company Guaranteed Notes (Callable 03/14/22 @ 105.44)(1) | | (BB-, B1) | | 03/14/27 | | | 7.250 | | | | 656,910 | |
| 375 | | | CNX Resources Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/24 @ 104.50)(1) | | (BB-, B1) | | 01/15/29 | | | 6.000 | | | | 386,861 | |
| 250 | | | Laredo Petroleum, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/31/24 @ 103.88)(1),(2) | | (B, B3) | | 07/31/29 | | | 7.750 | | | | 241,964 | |
| 500 | | | Northern Oil & Gas, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/01/24 @ 104.06)(1) | | (B, B3) | | 03/01/28 | | | 8.125 | | | | 522,030 | |
| 1,250 | | | W&T Offshore, Inc., Rule 144A, Secured Notes (Callable 03/03/22 @ 102.44)(1) | | (B, Caa2) | | 11/01/23 | | | 9.750 | | | | 1,220,256 | |
| | | | | | | | | | | | | | | 3,028,021 | |
Environmental (0.0%) | | | | | | | | | | | | |
| 250 | | | Stericycle, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/23 @ 101.94)(1) | | (BB-, NR) | | 01/15/29 | | | 3.875 | | | | 237,890 | |
| | | | | | | | | | | | | | | | |
Food - Wholesale (0.3%) | | | | | | | | | | | | |
| 497 | | | Lamb Weston Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/31/25 @ 102.06)(1) | | (BB+, Ba3) | | 01/31/30 | | | 4.125 | | | | 491,695 | |
| 225 | | | Lamb Weston Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/31/27 @ 102.19)(1) | | (BB+, Ba3) | | 01/31/32 | | | 4.375 | | | | 222,269 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
CORPORATE BONDS (continued) | | | | | | | | | | | | |
Food - Wholesale (continued) | | | | | | | | | | | | |
$ | 250 | | | U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/24 @ 102.38)(1) | | (B+, B3) | | 02/15/29 | | | 4.750 | | | $ | 246,069 | |
| 750 | | | U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/25 @ 102.31)(1) | | (B+, B3) | | 06/01/30 | | | 4.625 | | | | 732,427 | |
| | | | | | | | | | | | | | | 1,692,460 | |
Gaming (1.1%) | | | | | | | | | | | | |
| 400 | | | Boyd Gaming Corp., Rule 144A, Company Guaranteed Notes (Callable 06/15/26 @ 102.38)(1) | | (B, Caa1) | | 06/15/31 | | | 4.750 | | | | 393,228 | |
| 391 | | | Churchill Downs, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/23 @ 102.38)(1) | | (B+, B1) | | 01/15/28 | | | 4.750 | | | | 393,815 | |
| 1,500 | | | Fertitta Entertainment Finance Co., Inc, Rule 144A, Senor Secured Notes (Callable 01/15/25 @ 102.31)(1) | | (B, B2) | | 01/15/29 | | | 4.625 | | | | 1,465,410 | |
| 1,320 | | | Golden Nugget, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/04/22 @ 100.00)(1) | | (CCC, Caa2) | | 10/15/24 | | | 6.750 | | | | 1,321,822 | |
| 1,950 | | | Jacobs Entertainment, Inc., Rule 144A, Secured Notes (Callable 02/24/22 @ 101.97)(1) | | (B-, B2) | | 02/01/24 | | | 7.875 | | | | 1,997,151 | |
| | | | | | | | | | | | | | | 5,571,426 | |
Gas Distribution (1.4%) | | | | | | | | | | | | |
| 500 | | | CNX Midstream Partners LP, Rule 144A, Company Guaranteed Notes (Callable 04/15/25 @ 102.38)(1) | | (BB-, B1) | | 04/15/30 | | | 4.750 | | | | 489,032 | |
| 750 | | | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 03/03/22 @ 103.25) | | (B, B2) | | 10/01/25 | | | 6.500 | | | | 735,011 | |
| 950 | | | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 03/03/22 @ 103.13) | | (B, B2) | | 05/15/26 | | | 6.250 | | | | 918,180 | |
| 1,530 | | | Hess Midstream Operations LP, Rule 144A, Company Guaranteed Notes (Callable 06/15/23 @ 102.56)(1) | | (BB+, Ba3) | | 06/15/28 | | | 5.125 | | | | 1,560,952 | |
| 1,760 | | | ITT Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 08/01/24 @ 103.25)(1) | | (B, B2) | | 08/01/29 | | | 6.500 | | | | 1,687,630 | |
| 1,034 | | | New Fortress Energy, Inc., Rule 144A, Senior Secured Notes (Callable 03/31/23 @ 103.25)(1) | | (BB-, B1) | | 09/30/26 | | | 6.500 | | | | 968,625 | |
| 500 | | | Rockies Express Pipeline LLC, Rule 144A, Senior Unsecured Notes (Callable 02/15/30 @ 100.00)(1) | | (BB+, Ba2) | | 05/15/30 | | | 4.800 | | | | 499,480 | |
| 250 | | | Targa Resources Partners Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 07/15/26 @ 102.00)(1) | | (BB+, Ba1) | | 01/15/32 | | | 4.000 | | | | 249,313 | |
| | | | | | | | | | | | | | | 7,108,223 | |
Health Facilities (0.1%) | | | | | | | | | | | | |
| 375 | | | Embecta Corp., Rule 144A, Senior Secured Notes Notes (Callable 02/15/27 @ 101.25)(1) | | (B+, Ba3) | | 02/15/30 | | | 5.000 | | | | 375,652 | |
| 275 | | | Surgery Center Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/22 @ 105.00)(1) | | (CCC, Caa2) | | 04/15/27 | | | 10.000 | | | | 289,416 | |
| | | | | | | | | | | | | | | 665,068 | |
Health Services (1.0%) | | | | | | | | | | | | |
| 250 | | | AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/22 @ 102.31)(1) | | (BB-, Ba3) | | 10/01/27 | | | 4.625 | | | | 252,007 | |
| 360 | | | AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.00)(1) | | (BB-, Ba3) | | 04/15/29 | | | 4.000 | | | | 357,752 | |
| 500 | | | DaVita, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/25 @ 102.31)(1) | | (B+, Ba3) | | 06/01/30 | | | 4.625 | | | | 487,210 | |
| 150 | | | Ortho-Clinical Diagnostics S.A., Rule 144A, Senior Unsecured Notes (Callable 06/01/22 @ 103.69)(1) | | (CCC+, B3) | | 06/01/25 | | | 7.375 | | | | 157,195 | |
| 1,538 | | | Owens & Minor, Inc., Global Senior Secured Notes (Callable 09/15/24 @ 100.00) | | (BB-, Ba2) | | 12/15/24 | | | 4.375 | | | | 1,615,431 | |
| 500 | | | Owens & Minor, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/31/24 @ 102.25)(1) | | (B, B1) | | 03/31/29 | | | 4.500 | | | | 486,484 | |
| 1,250 | | | Radiology Partners, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 104.63)(1) | | (CCC, Caa2) | | 02/01/28 | | | 9.250 | | | | 1,246,525 | |
| 250 | | | RP Escrow Issuer LLC, Rule 144A, Senior Secured Notes (Callable 12/15/22 @ 102.63)(1) | | (B-, B2) | | 12/15/25 | | | 5.250 | | | | 243,831 | |
| 393 | | | Service Corp., International, Global Senior Unsecured Notes (Callable 05/15/26 @ 102.00) | | (BB, Ba3) | | 05/15/31 | | | 4.000 | | | | 381,394 | |
| | | | | | | | | | | | | | | 5,227,829 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
CORPORATE BONDS (continued) | | | | | | | | | | | | |
Insurance Brokerage (1.7%) | | | | | | | | | | | | |
$ | 630 | | | Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/03/22 @ 101.75)(1) | | (CCC+, Caa2) | | 11/15/25 | | | 7.000 | | | $ | 630,091 | |
| 500 | | | Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/22 @ 107.59)(1) | | (CCC+, Caa2) | | 08/01/26 | | | 10.125 | | | | 539,980 | |
| 550 | | | Alliant Holdings Co-Issuer, Rule 144A, Senior Secured Notes (Callable 10/15/23 @ 102.13)(1) | | (B, B2) | | 10/15/27 | | | 4.250 | | | | 536,003 | |
| 875 | | | Alliant Holdings Co-Issuer, Rule 144A, Senior Unsecured Notes (Callable 10/15/22 @ 103.38)(1) | | (CCC+, Caa2) | | 10/15/27 | | | 6.750 | | | | 867,059 | |
| 750 | | | GTCR AP Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/15/22 @ 104.00)(1) | | (CCC+, Caa2) | | 05/15/27 | | | 8.000 | | | | 765,893 | |
| 725 | | | NFP Corp., Rule 144A, Senior Secured Notes (Callable 08/15/23 @ 102.44)(1) | | (B, B1) | | 08/15/28 | | | 4.875 | | | | 706,168 | |
| 3,250 | | | NFP Corp., Rule 144A, Senior Unsecured Notes (Callable 08/15/23 @ 103.44)(1) | | (CCC+, Caa2) | | 08/15/28 | | | 6.875 | | | | 3,096,681 | |
| 1,250 | | | Ryan Specility Group, Rule 144A, Senior Secured Notes (Callable 01/31/27 @ 103.94)(1) | | (BB-, B1) | | 01/09/27 | | | 4.375 | | | | 1,250,000 | |
| | | | | | | | | | | | | | | 8,391,875 | |
Investments & Misc. Financial Services (1.2%) | | | | | | | | | | | | |
| 1,500 | | | Armor Holdco, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 104.25)(1) | | (CCC+, Caa1) | | 11/15/29 | | | 8.500 | | | | 1,530,488 | |
| 1,500 | | | Compass Group Diversified Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.63)(1) | | (B+, B1) | | 04/15/29 | | | 5.250 | | | | 1,483,335 | |
| 1,150 | | | Compass Group Diversified Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 01/15/27 @ 102.50)(1) | | (B+, B1) | | 01/15/32 | | | 5.000 | | | | 1,137,367 | |
| 217 | | | CPI CG, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/23 @ 104.31)(1) | | (B-, B3) | | 03/15/26 | | | 8.625 | | | | 222,654 | |
| 1,900 | | | Paysafe Holdings U.S. Corp., Rule 144A, Senior Secured Notes (Callable 06/15/24 @ 102.00)(1) | | (B, B1) | | 06/15/29 | | | 4.000 | | | | 1,703,426 | |
| | | | | | | | | | | | | | | 6,077,270 | |
Machinery (1.1%) | | | | | | | | | | | | |
| 2,250 | | | Arcosa., Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.19)(1) | | (BB, Ba2) | | 04/15/29 | | | 4.375 | | | | 2,191,567 | |
| 1,600 | | | ATS Automation Tooling Systems, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/23 @ 102.06)(1) | | (B+, B2) | | 12/15/28 | | | 4.125 | | | | 1,578,416 | |
| 1,200 | | | Granite U.S. Holdings Corp., Rule 144A, Company Guaranteed Notes (Callable 10/01/22 @ 105.50)(1) | | (CCC+, Caa1) | | 10/01/27 | | | 11.000 | | | | 1,288,638 | |
| 350 | | | Harsco Corp., Rule 144A, Company Guaranteed Notes (Callable 07/31/22 @ 102.88)(1) | | (B+, B1) | | 07/31/27 | | | 5.750 | | | | 356,141 | |
| 250 | | | Hillenbrand, Inc., Global Company Guaranteed Notes (Callable 06/15/22 @ 102.88) | | (BB+, Ba1) | | 06/15/25 | | | 5.750 | | | | 257,789 | |
| | | | | | | | | | | | | | | 5,672,551 | |
Managed Care (0.3%) | | | | | | | | | | | | |
| 540 | | | Centene Corp., Global Senior Unsecured Notes (Callable 12/15/24 @ 102.31) | | (BBB-, Ba1) | | 12/15/29 | | | 4.625 | | | | 562,378 | |
| 950 | | | HealthEquity, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/24 @ 102.25)(1) | | (B, B3) | | 10/01/29 | | | 4.500 | | | | 929,812 | |
| | | | | | | | | | | | | | | 1,492,190 | |
Media - Diversified (0.1%) | | | | | | | | | | | | |
| 250 | | | National CineMedia LLC, Global Senior Unsecured Notes (Callable 03/03/22 @ 102.88) | | (CCC, Caa3) | | 08/15/26 | | | 5.750 | | | | 175,380 | |
| 200 | | | National CineMedia LLC, Rule 144A, Senior Secured Notes (Callable 04/15/23 @ 102.94)(1),(2) | | (B-, B3) | | 04/15/28 | | | 5.875 | | | | 170,189 | |
| | | | | | | | | | | | | | | 345,569 | |
Media Content (0.6%) | | | | | | | | | | | | |
| 325 | | | Diamond Sports Finance Co., Rule 144A, Company Guaranteed Notes (Callable 08/15/22 @ 103.31)(1) | | (CC, Ca) | | 08/15/27 | | | 6.625 | | | | 84,500 | |
| 2,000 | | | Diamond Sports Finance Co., Rule 144A, Senior Secured Notes (Callable 08/15/22 @ 102.69)(1) | | (CC, Caa1) | | 08/15/26 | | | 5.375 | | | | 923,350 | |
| 733 | | | Sirius XM Radio, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/01/24 @ 102.75)(1) | | (BB, Ba3) | | 07/01/29 | | | 5.500 | | | | 758,945 | |
| 250 | | | Sirius XM Radio, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/01/25 @ 102.06)(1) | | (BB, Ba3) | | 07/01/30 | | | 4.125 | | | | 238,561 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
CORPORATE BONDS (continued) | | | | | | | | | | | | |
Media Content (continued) | | | | | | | | | | | | |
$ | 500 | | | WMG Acquisition Corp., Rule 144A, Senior Secured Notes (Callable 07/15/25 @ 101.94)(1) | | (BB+, Ba3) | | 07/15/30 | | | 3.875 | | | $ | 476,672 | |
| 500 | | | ZipRecruiter, Inc. Rule 144A, Senior Unsecured Notes (Callable 01/15/25 @ 102.50)(1) | | (BB-, B2) | | 01/15/30 | | | 5.000 | | | | 496,175 | |
| | | | | | | | | | | | | | | 2,978,203 | |
Medical Products (0.9%) | | | | | | | | | | | | |
| 1,000 | | | 180 Medical Inc., Rule 144A, Company Guaranteed Notes (Callable 10/07/24 @ 101.94)(1) | | (BB+, Ba2) | | 10/15/29 | | | 3.875 | | | | 974,135 | |
| 500 | | | Avantor Funding, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/23 @ 102.31)(1) | | (BB-, B2) | | 07/15/28 | | | 4.625 | | | | 499,685 | |
| 2,000 | | | Mozart Debt Merger Sub, Inc., Rule 144A, Senior Secured Notes (Callable 10/01/24 @ 101.94)(1) | | (B+, B1) | | 04/01/29 | | | 3.875 | | | | 1,927,070 | |
| 1,000 | | | Mozart Debt Merger Sub, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/01/24 @ 102.63)(1) | | (B-, Caa1) | | 10/01/29 | | | 5.250 | | | | 974,315 | |
| | | | | | | | | | | | | | | 4,375,205 | |
Metals & Mining - Excluding Steel (0.9%) | | | | | | | | | | | | |
| 750 | | | Canpack U.S. LLC, Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 101.94)(1) | | (BB, NR) | | 11/15/29 | | | 3.875 | | | | 719,570 | |
| 535 | | | ERO Copper Corp., Rule 144A, Company Guaranteed Notes (Callable 02/15/25 @ 103.25)(1) | | (B, B1) | | 02/15/30 | | | 6.500 | | | | 529,492 | |
| 773 | | | First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes (Callable 02/11/22 @ 101.81)(1) | | (B, Wr) | | 04/01/23 | | | 7.250 | | | | 776,875 | |
| 1,000 | | | First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes (Callable 02/11/22 @ 101.63)(1) | | (B, NR) | | 03/01/24 | | | 6.500 | | | | 1,012,530 | |
| 500 | | | First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes (Callable 02/11/22 @ 105.16)(1) | | (B, NR) | | 03/01/26 | | | 6.875 | | | | 516,962 | |
| 954 | | | Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 02/15/23 @ 103.50)(1) | | (B-, B3) | | 02/15/26 | | | 7.000 | | | | 968,644 | |
| | | | | | | | | | | | | | | 4,524,073 | |
Packaging (1.4%) | | | | | | | | | | | | |
| 375 | | | Ardagh Metal Packaging Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/15/24 @ 101.63)(1) | | (BB, Ba2) | | 09/01/28 | | | 3.250 | | | | 355,881 | |
| 300 | | | Ardagh Metal Packaging Finance PLC, Rule 144A, Senior Unsecured Notes (Callable 05/15/24 @ 102.00)(1) | | (B+, B3) | | 09/01/29 | | | 4.000 | | | | 286,273 | |
| 130 | | | Crown Americas Capital Corp. VI, Global Company Guaranteed Notes (Callable 03/03/22 @ 102.38) | | (BB-, Ba3) | | 02/01/26 | | | 4.750 | | | | 132,784 | |
| 2,500 | | | Flex Acquisition Co., Inc., Rule 144A, Senior Unsecured Notes (Callable 03/03/22 @ 100.00)(1) | | (CCC+, Caa2) | | 01/15/25 | | | 6.875 | | | | 2,502,725 | |
| 705 | | | Intertape Polymer Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/24 @ 102.19)(1) | | (B+, Ba3) | | 06/15/29 | | | 4.375 | | | | 697,259 | |
| 475 | | | Pactiv Evergreen Group Issuer LLC, Rule 144A, Senior Secured Notes (Callable 10/15/23 @ 102.00)(1) | | (B+, B1) | | 10/15/27 | | | 4.000 | | | | 451,181 | |
| 2,950 | | | TriMas Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.06)(1) | | (BB-, Ba3) | | 04/15/29 | | | 4.125 | | | | 2,895,484 | |
| | | | | | | | | | | | | | | 7,321,587 | |
Personal & Household Products (0.4%) | | | | | | | | | | | | |
| 750 | | | High Ridge Brands Co., Rule 144A, Senior Unsecured Notes (Callable 03/11/22 @ 102.22)(1),(3),(4),(6),(7) | | (NR, NR) | | 03/15/25 | | | 0.000 | | | | 7,500 | |
| 1,290 | | | MajorDrive Holdings IV LLC, Rule 144A, Senior Unsecured Notes (Callable 06/01/24 @ 103.19)(1) | | (CCC+, Caa2) | | 06/01/29 | | | 6.375 | | | | 1,227,151 | |
| 375 | | | Mattel, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/24 @ 101.88)(1) | | (BB, Ba2) | | 04/01/29 | | | 3.750 | | | | 370,886 | |
| 350 | | | Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/26 @ 101.88)(1) | | (BB-, B2) | | 04/01/31 | | | 3.750 | | | | 318,185 | |
| | | | | | | | | | | | | | | 1,923,722 | |
Pharmaceuticals (1.2%) | | | | | | | | | | | | |
| 500 | | | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 03/03/22 @ 104.50)(1) | | (B, B3) | | 12/15/25 | | | 9.000 | | | | 520,755 | |
| 950 | | | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/23 @ 103.50)(1) | | (B, B3) | | 01/15/28 | | | 7.000 | | | | 853,608 | |
| 500 | | | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/24 @ 103.13)(1) | | (B, B3) | | 02/15/29 | | | 6.250 | | | | 423,850 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
CORPORATE BONDS (continued) | | | | | | | | | | | | |
Pharmaceuticals (continued) | | | | | | | | | | | | |
$ | 375 | | | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/26 @ 102.63)(1) | | (B, B3) | | 02/15/31 | | | 5.250 | | | $ | 299,623 | |
| 922 | | | Emergent BioSolutions, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/23 @ 101.94)(1),(2) | | (BB-, Ba3) | | 08/15/28 | | | 3.875 | | | | 849,664 | |
| 250 | | | Endo U.S., Inc., Rule 144A, Senior Secured Notes (Callable 04/01/24 @ 104.59)(1) | | (B-, B3) | | 04/01/29 | | | 6.125 | | | | 237,749 | |
| 450 | | | Grifols Escrow Issuer S.A., Rule 144A, Senior Unsecured Notes (Callable 10/15/24 @ 102.38)(1) | | (B, B3) | | 10/15/28 | | | 4.750 | | | | 448,416 | |
| 750 | | | Horizon Therapeutics U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 08/01/22 @ 104.13)(1) | | (B+, Ba3) | | 08/01/27 | | | 5.500 | | | | 778,069 | |
| 1,700 | | | Jazz Securities DAC, Rule 144A, Senior Secured Notes (Callable 07/15/24 @ 102.19)(1) | | (BB-, Ba2) | | 01/15/29 | | | 4.375 | | | | 1,690,905 | |
| | | | | | | | | | | | | | | 6,102,639 | |
Real Estate Development & Management (0.8%) | | | | | | | | | | | | |
| 2,125 | | | Newmark Group, Inc., Global Senior Unsecured Notes (Callable 10/15/23 @ 100.00) | | (BB+, NR) | | 11/15/23 | | | 6.125 | | | | 2,244,000 | |
| 1,754 | | | WeWork Cos., Inc., Rule 144A, Company Guaranteed Notes (1) | | (CCC+, Wr) | | 05/01/25 | | | 7.875 | | | | 1,625,204 | |
| | | | | | | | | | | | | | | 3,869,204 | |
Real Estate Investment Trusts (1.2%) | | | | | | | | | | | | |
| 1,000 | | | Blackstone Mortgage Trust, Inc. Rule 144A, Senior Secured Notes (Callable 10/15/26 @ 100.00)(1) | | (B+, Ba2) | | 01/15/27 | | | 3.750 | | | | 959,520 | |
| 1,000 | | | 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 | | | | 963,124 | |
| 500 | | | iStar, Inc., Global Senior Unsecured Notes (Callable 08/15/22 @ 102.75) | | (BB, Ba3) | | 02/15/26 | | | 5.500 | | | | 509,335 | |
| 500 | | | iStar, Inc., Senior Unsecured Notes (Callable 07/01/24 @ 100.00) | | (BB, Ba3) | | 10/01/24 | | | 4.750 | | | | 506,782 | |
| 1,500 | | | iStar, Inc., Senior Unsecured Notes (Callable 05/01/25 @ 100.00) | | (BB, Ba3) | | 08/01/25 | | | 4.250 | | | | 1,491,758 | |
| 700 | | | MGP Finance Co-Issuer, Inc., Global Company Guaranteed Notes (Callable 11/01/26 @ 100.00) | | (BB-, B1) | | 02/01/27 | | | 5.750 | | | | 774,837 | |
| 250 | | | MPT Finance Corp., Global Company Guaranteed Notes (Callable 03/03/22 @ 102.63) | | (BBB-, Ba1) | | 08/01/26 | | | 5.250 | | | | 255,875 | |
| 450 | | | RLJ Lodging Trust LP ,Rule 144A, Senior Secured Notes (Callable 09/15/24 @ 102.00)(1) | | (BB-, Ba3) | | 09/15/29 | | | 4.000 | | | | 424,861 | |
| 250 | | | Starwood Property Trust, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/23 @ 100.00)(1) | | (B+, Ba3) | | 11/01/23 | | | 5.500 | | | | 257,488 | |
| | | | | | | | | | | | | | | 6,143,580 | |
Recreation & Travel (1.8%) | | | | | | | | | | | | |
| 550 | | | Boyne U.S.A., Inc., Rule 144A, Senior Unsecured Notes (Callable 05/15/24 @ 102.38)(1) | | (B, B1) | | 05/15/29 | | | 4.750 | | | | 553,245 | |
| 642 | | | Canada's Wonderland Co., Global Company Guaranteed Notes (Callable 04/15/22 @ 102.69) | | (CCC+, B3) | | 04/15/27 | | | 5.375 | | | | 650,875 | |
| 175 | | | Cedar Fair LP, Global Company Guaranteed Notes (Callable 07/15/24 @ 102.63)(2) | | (CCC+, B3) | | 07/15/29 | | | 5.250 | | | | 175,456 | |
| 185 | | | Powdr Corp., Rule 144A, Senior Secured Notes (Callable 08/01/22 @ 103.00)(1) | | (B-, B1) | | 08/01/25 | | | 6.000 | | | | 192,277 | |
| 1,450 | | | SeaWorld Parks & Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/24 @ 102.63)(1),(2) | | (B-, Caa1) | | 08/15/29 | | | 5.250 | | | | 1,411,278 | |
| 250 | | | SeaWorld Parks & Entertainment, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/22 @ 104.38)(1) | | (BB-, Ba3) | | 05/01/25 | | | 8.750 | | | | 261,532 | |
| 2,250 | | | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 03/03/22 @ 101.22)(1) | | (B-, B3) | | 07/31/24 | | | 4.875 | | | | 2,252,734 | |
| 200 | | | Six Flags Theme Parks, Inc., Rule 144A, Senior Secured Notes (Callable 07/01/22 @ 103.50)(1) | | (BB-, Ba2) | | 07/01/25 | | | 7.000 | | | | 208,738 | |
| 3,585 | | | Speedway Funding II, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/22 @ 102.44)(1) | | (BB-, B2) | | 11/01/27 | | | 4.875 | | | | 3,607,299 | |
| | | | | | | | | | | | | | | 9,313,434 | |
Restaurants (0.2%) | | | | | | | | | | | | |
| 865 | | | Papa John's International, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/15/24 @ 101.94)(1) | | (BB-, B1) | | 09/15/29 | | | 3.875 | | | | 828,268 | |
| | | | | | | | | | | | | | | | |
Software - Services (2.0%) | | | | | | | | | | | | |
| 3,200 | | | Austin BidCo, Inc., Rule 144A, Senior Unsecured Notes (Callable 12/15/23 @ 103.56)(1) | | (CCC+, Caa2) | | 12/15/28 | | | 7.125 | | | | 3,254,352 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
CORPORATE BONDS (continued) | | | | | | | | | | | | |
Software - Services (continued) | | | | | | | | | | | | |
$ | 600 | | | Black Knight InfoServ LLC, Rule 144A, Company Guaranteed Notes (Callable 09/01/23 @ 101.81)(1) | | (BB-, Ba3) | | 09/01/28 | | | 3.625 | | | $ | 576,594 | |
| 250 | | | CA Magnum Holdings, Rule 144A, Senior Secured Notes (Callable 10/31/23 @ 102.69)(1) | | (NR, B1) | | 10/31/26 | | | 5.375 | | | | 255,238 | |
| 2,000 | | | Elastic NV, Rule 144A, Senior Unsecured Notes (Callable 07/15/24 @ 102.06)(1) | | (B+, B1) | | 07/15/29 | | | 4.125 | | | | 1,870,770 | |
| 2,825 | | | Endure Digital, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/24 @ 103.00)(1) | | (CCC+, Caa2) | | 02/15/29 | | | 6.000 | | | | 2,517,513 | |
| 790 | | | GD Finance Co., Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/22 @ 102.63)(1) | | (BB-, Ba3) | | 12/01/27 | | | 5.250 | | | | 810,540 | |
| 500 | | | II-VI, Inc. Rule 144A, Company Guaranteed Notes (Callable 12/14/24 @ 102.50)(1) | | (B+, B2) | | 12/15/29 | | | 5.000 | | | | 499,857 | |
| 475 | | | Open Text Corp. Rule 144A, Company Guaranteed Notes (Callable 12/01/24 @ 101.94)(1) | | (BB, Ba2) | | 12/01/29 | | | 3.875 | | | | 457,009 | |
| | | | | | | | | | | | | | | 10,241,873 | |
Specialty Retail (1.3%) | | | | | | | | | | | | |
| 370 | | | Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 03/01/23 @ 102.25) | | (BB, B1) | | 03/01/28 | | | 4.500 | | | | 368,004 | |
| 67 | | | Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 03/01/25 @ 102.38) | | (BB, B1) | | 03/01/30 | | | 4.750 | | | | 66,136 | |
| 500 | | | Asbury Automotive Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 102.31)(1) | | (BB, B1) | | 11/15/29 | | | 4.625 | | | | 493,530 | |
| 500 | | | eG Global Finance PLC, Rule 144A, Senior Secured Notes (Callable 03/03/22 @ 104.25)(1) | | (B-, B3) | | 10/30/25 | | | 8.500 | | | | 507,500 | |
| 325 | | | Group 1 Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/23 @ 102.00)(1) | | (BB+, Ba2) | | 08/15/28 | | | 4.000 | | | | 312,497 | |
| 750 | | | Lithia Motors, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/22 @ 103.47)(1) | | (BB+, Ba2) | | 12/15/27 | | | 4.625 | | | | 769,695 | |
| 375 | | | Lithia Motors, Inc., Rule 144A, Senior Unsecured Notes (Callable 06/01/24 @ 101.94)(1) | | (BB+, Ba2) | | 06/01/29 | | | 3.875 | | | | 368,998 | |
| 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 | | | | 354,002 | |
| 500 | | | Penske Automotive Group, Inc., Company Guaranteed Notes (Callable 06/15/24 @ 101.88) | | (BB-, Ba3) | | 06/15/29 | | | 3.750 | | | | 471,595 | |
| 1,750 | | | Ruyi U.S. Finance LLC, Rule 144A, Senior Secured Notes (Callable 03/03/22 @ 105.63)(1) | | (NR, Caa1) | | 05/01/25 | | | 7.500 | | | | 1,577,747 | |
| 225 | | | Sonic Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 102.31)(1) | | (BB-, B1) | | 11/15/29 | | | 4.625 | | | | 220,013 | |
| 1,000 | | | Wolverine World Wide, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/24 @ 102.00)(1) | | (BB-, Ba2) | | 08/15/29 | | | 4.000 | | | | 962,180 | |
| | | | | | | | | | | | | | | 6,471,897 | |
Support - Services (3.0%) | | | | | | | | | | | | |
| 1,194 | | | Allied Universal Finance Corp., Rule 144A, Senior Secured Notes (Callable 06/01/24 @ 102.31)(1) | | (B, B2) | | 06/01/28 | | | 4.625 | | | | 1,146,127 | |
| 756 | | | Allied Universal Finance Corp., Rule 144A, Senior Secured Notes (Callable 06/01/24 @ 102.31)(1) | | (B, B2) | | 06/01/28 | | | 4.625 | | | | 716,397 | |
| 2,200 | | | Allied Universal Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 06/01/24 @ 103.00)(1) | | (CCC+, Caa1) | | 06/01/29 | | | 6.000 | | | | 2,088,636 | |
| 1,613 | | | ASGN, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/15/23 @ 102.31)(1) | | (BB-, Ba3) | | 05/15/28 | | | 4.625 | | | | 1,613,306 | |
| 2,500 | | | CoreLogic, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/24 @ 102.25)(1) | | (B, B1) | | 05/01/28 | | | 4.500 | | | | 2,399,250 | |
| 250 | | | Gartner, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/01/23 @ 102.25)(1) | | (BB+, Ba3) | | 07/01/28 | | | 4.500 | | | | 255,294 | |
| 250 | | | Gartner, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/24 @ 101.81)(1) | | (BB+, Ba3) | | 06/15/29 | | | 3.625 | | | | 243,205 | |
| 2,285 | | | Gems Education Delaware LLC, Rule 144A, Senior Secured Notes (Callable 07/31/22 @ 103.56)(1) | | (B-, B3) | | 07/31/26 | | | 7.125 | | | | 2,351,082 | |
| 2,750 | | | GYP Holdings III Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/24 @ 102.31)(1) | | (B, B2) | | 05/01/29 | | | 4.625 | | | | 2,675,117 | |
| 500 | | | WESCO Distribution, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/22 @ 103.56)(1) | | (BB-, B1) | | 06/15/25 | | | 7.125 | | | | 524,320 | |
| 500 | | | WESCO Distribution, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/23 @ 103.63)(1) | | (BB-, B1) | | 06/15/28 | | | 7.250 | | | | 536,285 | |
| 500 | | | White Cap Buyer LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/23 @ 103.44)(1) | | (CCC+, Caa1) | | 10/15/28 | | | 6.875 | | | | 513,645 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
CORPORATE BONDS (continued) | | | | | | | | | | | | |
Support - Services (continued) | | | | | | | | | | | | |
$ | 390 | | | Williams Scotsman International, Inc., Rule 144A, Senior Secured Notes (Callable 08/15/23 @ 102.31)(1) | | (B+, B2) | | 08/15/28 | | | 4.625 | | | $ | 394,023 | |
| | | | | | | | | | | | | | | 15,456,687 | |
Tech Hardware & Equipment (0.8%) | | | | | | | | | | | | |
| 486 | | | CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 03/15/22 @ 102.50)(1),(2) | | (CCC+, B3) | | 03/15/27 | | | 5.000 | | | | 433,864 | |
| 786 | | | CommScope, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/03/22 @ 104.13)(1) | | (CCC+, B3) | | 03/01/27 | | | 8.250 | | | | 770,280 | |
| 1,014 | | | CommScope, Inc., Rule 144A, Senior Secured Notes (Callable 09/01/24 @ 102.38)(1) | | (B, Ba3) | | 09/01/29 | | | 4.750 | | | | 972,837 | |
| 1,000 | | | Imola Merger Corp., Rule 144A, Senior Secured Notes (Callable 05/15/24 @ 102.38)(1) | | (BB-, B1) | | 05/15/29 | | | 4.750 | | | | 974,490 | |
| 1,000 | | | Vertiv Group Corp., Rule 144A, Senior Secured Notes (Callable 11/15/24 @ 102.06)(1) | | (BB-, B1) | | 11/15/28 | | | 4.125 | | | | 976,255 | |
| | | | | | | | | | | | | | | 4,127,726 | |
Telecom - Wireline Integrated & Services (1.2%) | | | | | | | | | | | | |
| 1,000 | | | Altice France S.A., Rule 144A, Senior Secured Notes (Callable 04/15/24 @ 102.56)(1) | | (B, B2) | | 07/15/29 | | | 5.125 | | | | 927,255 | |
| 2,050 | | | Ciena Corp., Rule 144A, Company Guaranteed Notes (Callable 01/31/25 @ 102.00)(1) | | (BB, Ba1) | | 01/31/30 | | | 4.000 | | | | 2,032,739 | |
| 1,125 | | | GTT Communications, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/03/22 @ 101.97)(1),(3) | | (NR, Wr) | | 12/31/24 | | | 0.000 | | | | 146,250 | |
| 1,255 | | | LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes (Callable 10/15/22 @ 103.38)(1) | | (B+, B1) | | 10/15/27 | | | 6.750 | | | | 1,306,245 | |
| 500 | | | LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes (Callable 07/15/24 @ 102.56)(1) | | (B+, B1) | | 07/15/29 | | | 5.125 | | | | 491,202 | |
| 1,000 | | | Lumen Technologies, Inc. Rule 144A, Senior Secured Notes (Callable 02/15/23 @ 102.00)(1) | | (BBB-, Ba3) | | 02/15/27 | | | 4.000 | | | | 963,750 | |
| | | | | | | | | | | | | | | 5,867,441 | |
Theaters & Entertainment (0.2%) | | | | | | | | | | | | |
| 500 | | | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/03/22 @ 101.22)(1) | | (B-, B3) | | 11/01/24 | | | 4.875 | | | | 501,910 | |
| 650 | | | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/22 @ 103.56)(1) | | (B-, B3) | | 10/15/27 | | | 4.750 | | | | 641,875 | |
| | | | | | | | | | | | | | | 1,143,785 | |
Transport Infrastructure/Services (0.1%) | | | | | | | | | | | | |
| 661 | | | Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes (Callable 02/11/22 @ 100.00)(1) | | (B, Caa1) | | 08/15/22 | | | 11.250 | | | | 659,612 | |
TOTAL CORPORATE BONDS (Cost $175,706,530) | | | | | | | | | | | 170,985,036 | |
| | | | | | | | | | | | |
BANK LOANS (54.9%) | | | | | | | | | | | | |
Advertising (0.1%) | | | | | | | | | | | | |
| 727 | | | MH Sub I LLC, LIBOR 1M + 3.500%(8) | | (B, B2) | | 09/13/24 | | | 3.605 | | | | 724,233 | |
| | | | | | | | | | | | | | | | |
Aerospace & Defense (1.6%) | | | | | | | | | | | | |
| 990 | | | Amentum Government Services Holdings LLC, LIBOR 1M + 3.500%(8) | | (B, B1) | | 01/29/27 | | | 3.605 | | | | 992,425 | |
| 1,600 | | | Amentum Government Services Holdings LLC(4),(6),(9) | | (NR, NR) | | 12/07/29 | | | 0.000 | | | | 1,552,000 | |
| 2,000 | | | Amentum Government Services Holdings LLC(4),(6),(9) | | (B, B1) | | 03/31/27 | | | 0.000 | | | | 1,990,000 | |
| 3,346 | | | Peraton Corp., LIBOR 1M + 3.750%(8) | | (B+, B1) | | 02/01/28 | | | 4.500 | | | | 3,349,842 | |
| | | | | | | | | | | | | | | 7,884,267 | |
Air Transportation (0.3%) | | | | | | | | | | | | |
| 1,398 | | | Brown Group Holding LLC, LIBOR 3M + 2.500%(8) | | (B+, B1) | | 06/07/28 | | | 3.000 | | | | 1,392,434 | |
| | | | | | | | | | | | | | | | |
Auto Parts & Equipment (2.4%) | | | | | | | | | | | | |
| 1,493 | | | Adient U.S. LLC, LIBOR 1M + 3.500%(8) | | (BB-, Ba3) | | 04/10/28 | | | 3.605 | | | | 1,494,522 | |
| 1,393 | | | Autokiniton U.S. Holdings, Inc., LIBOR 3M + 4.500%(8) | | (B, B2) | | 04/06/28 | | | 5.000 | | | | 1,395,786 | |
| 1,031 | | | Clarios Global LP, LIBOR 1M + 3.250%(8) | | (B, B1) | | 04/30/26 | | | 3.355 | | | | 1,027,692 | |
| 1,950 | | | Dayco Products LLC, LIBOR 3M + 4.250%(8) | | (CCC+, B3) | | 05/19/23 | | | 4.425 | | | | 1,924,607 | |
| 379 | | | Dealer Tire LLC, LIBOR 1M + 4.250%(8) | | (B-, B1) | | 12/12/25 | | | 4.355 | | | | 379,662 | |
| 97 | | | Holley Purchaser, Inc. (Delayed Draw Term Loan), LIBOR 3M + 3.750%(8),(10) | | (B, B2) | | 11/17/28 | | | 4.500 | | | | 97,141 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
BANK LOANS (continued) | | | | | | | | | | | | |
Auto Parts & Equipment (continued) | | | | | | | | | | | | |
$ | 582 | | | Holley Purchaser, Inc. (Term Loan), LIBOR 3M + 3.750%(8) | | (B, B2) | | 11/17/28 | | | 4.500 | | | $ | 581,825 | |
| 143 | | | Jason Group, Inc., LIBOR 3M + 1.000% Cash, 9.000% PIK(8),(11) | | (CCC-, Caa3) | | 03/02/26 | | | 11.000 | | | | 141,554 | |
| 205 | | | Jason Group, Inc., LIBOR 3M + 2.000% Cash, 4.000% PIK(8),(11) | | (B-, Caa1) | | 08/28/25 | | | 7.000 | | | | 203,612 | |
| 1,375 | | | Les Schwab Tire Centers, LIBOR 3M + 3.250%(8) | | (B, B2) | | 11/02/27 | | | 4.000 | | | | 1,374,826 | |
| 1,038 | | | RVR Dealership Holdings LLC, LIBOR 3M + 4.000%(8) | | (BB-, B1) | | 02/08/28 | | | 4.750 | | | | 1,036,495 | |
| 992 | | | Tenneco, Inc., LIBOR 1M + 3.000%(8) | | (B+, Ba3) | | 10/01/25 | | | 3.105 | | | | 983,337 | |
| 1,462 | | | U.S. Farathane LLC, LIBOR 3M + 4.250%(8) | | (CCC+, B2) | | 12/23/24 | | | 5.250 | | | | 1,376,966 | |
| | | | | | | | | | | | | | | 12,018,025 | |
Brokerage (0.2%) | | | | | | | | | | | | |
| 1,115 | | | DRW Holdings LLC, LIBOR 1M + 3.750%(8) | | (BB-, Ba3) | | 03/01/28 | | | 3.855 | | | | 1,115,234 | |
| | | | | | | | | | | | | | | | |
Building Materials (1.3%) | | | | | | | | | | | | |
| 1,209 | | | Chamberlain Group, Inc., LIBOR 1M + 3.500%(8) | | (B, B2) | | 11/03/28 | | | 4.000 | | | | 1,208,654 | |
| 1,219 | | | CHI Overhead Doors, Inc., LIBOR 1M + 3.500%(8) | | (B, B2) | | 07/31/25 | | | 3.605 | | | | 1,221,636 | |
| 2,704 | | | Cornerstone Building Brands, Inc., LIBOR 1M + 3.250%(8) | | (B+, B1) | | 04/12/28 | | | 3.750 | | | | 2,703,075 | |
| 1,654 | | | Park River Holdings, Inc., LIBOR 3M + 3.250%(8) | | (B-, B1) | | 12/28/27 | | | 4.000 | | | | 1,647,291 | |
| | | | | | | | | | | | | | | 6,780,656 | |
Chemicals (2.7%) | | | | | | | | | | | | |
| 944 | | | Ascend Performance Materials Operations LLC, LIBOR 3M + 4.750%(8) | | (BB-, B1) | | 08/27/26 | | | 5.500 | | | | 949,406 | |
| 869 | | | ASP Chromaflo Dutch I B.V., LIBOR 1M + 3.500%(6),(8) | | (B, B2) | | 11/20/23 | | | 4.500 | | | | 869,615 | |
| 617 | | | ASP Chromaflo Intermediate Holdings, Inc., LIBOR 1M + 3.500%(6),(8) | | (B, B2) | | 11/20/23 | | | 4.500 | | | | 617,737 | |
| 3,335 | | | Atotech B.V., LIBOR 1M + 2.500%(8) | | (B+, B1) | | 03/18/28 | | | 3.000 | | | | 3,333,285 | |
| 430 | | | CPC Acquisition Corp., LIBOR 3M + 7.750%(8) | | (CCC, Caa2) | | 12/29/28 | | | 8.500 | | | | 423,416 | |
| 381 | | | GEON Performance Solutions, LLC, LIBOR 3M + 4.750%(8) | | (B+, B2) | | 08/18/28 | | | 5.500 | | | | 384,857 | |
| 1,362 | | | Luxembourg Investment Co. 428 S.a r.l., SOFR 3M + 5.000%(8) | | (B, B2) | | 01/03/29 | | | 5.500 | | | | 1,365,036 | |
| 3,190 | | | PMHC II, Inc., LIBOR 3M + 3.500%(8) | | (B-, B3) | | 03/31/25 | | | 4.500 | | | | 3,182,066 | |
| 39 | | | UTEX Industries, Inc., LIBOR 1M + 5.250%(8) | | (NR, NR) | | 12/03/25 | | | 11.000 | | | | 38,756 | |
| 792 | | | Vantage Specialty Chemicals, Inc., LIBOR 3M + 3.500%(8) | | (CCC+, Caa1) | | 10/28/24 | | | 4.500 | | | | 780,074 | |
| 455 | | | Vantage Specialty Chemicals, Inc., LIBOR 3M + 8.250%(5),(8) | | (CCC-, Caa3) | | 10/27/25 | | | 9.250 | | | | 447,102 | |
| 450 | | | Vantage Specialty Chemicals, Inc.(9) | | (CCC+, Caa1) | | 10/28/24 | | | 0.000 | | | | 443,363 | |
| 795 | | | Zep, Inc., LIBOR 3M + 4.000%(8) | | (CCC+, B2) | | 08/12/24 | | | 5.000 | | | | 776,613 | |
| | | | | | | | | | | | | | | 13,611,326 | |
Diversified Capital Goods (1.3%) | | | | | | | | | | | | |
| 2,445 | | | Callaway Golf Co., LIBOR 1M + 4.500%(8) | | (B, B1) | | 01/02/26 | | | 4.605 | | | | 2,454,969 | |
| 1,576 | | | Dynacast International LLC, LIBOR 3M + 4.750%(6),(8) | | (B-, B2) | | 07/22/25 | | | 5.750 | | | | 1,584,223 | |
| 591 | | | Dynacast International LLC, LIBOR 3M + 9.250%(6),(8) | | (CCC, Caa2) | | 10/22/25 | | | 10.250 | | | | 602,935 | |
| 1,381 | | | Electrical Components International, Inc., LIBOR 1M + 4.250%(8) | | (B-, B2) | | 06/26/25 | | | 4.355 | | | | 1,376,991 | |
| 236 | | | Filtration Group Corp., LIBOR 1M + 3.500%(8) | | (B, B3) | | 10/21/28 | | | 4.000 | | | | 236,257 | |
| 520 | | | GrafTech Finance, Inc., LIBOR 1M + 3.000%(8) | | (BB, Ba3) | | 02/12/25 | | | 3.500 | | | | 520,251 | |
| | | | | | | | | | | | | | | 6,775,626 | |
Electronics (1.5%) | | | | | | | | | | | | |
| 500 | | | CPI International, Inc., LIBOR 1M + 7.250%(5),(6),(8) | | (CCC, Caa2) | | 07/26/25 | | | 7.355 | | | | 477,202 | |
| 3,850 | | | Idemia Group, LIBOR 3M + 4.500%(8) | | (B-, B3) | | 01/09/26 | | | 5.250 | | | | 3,857,734 | |
| 995 | | | Infinite Bidco LLC, LIBOR 1M + 3.750%(8) | | (B-, B2) | | 03/02/28 | | | 4.250 | | | | 995,627 | |
| 500 | | | Infinite Bidco LLC, LIBOR 1M + 7.000%(8) | | (CCC, Caa2) | | 03/02/29 | | | 7.500 | | | | 502,500 | |
| 1,271 | | | MKS Instruments, Inc.(9) | | (BB, Ba1) | | 10/21/28 | | | 0.000 | | | | 1,270,945 | |
| 546 | | | Synaptics, Inc.(9) | | (BB-, Ba1) | | 12/02/28 | | | 0.000 | | | | 546,042 | |
| | | | | | | | | | | | | | | 7,650,050 | |
Energy - Exploration & Production (0.2%) | | | | | | | | | | | | |
| 730 | | | Oryx Midstream Services Permian Basin LLC, LIBOR 3M + 3.250%(8) | | (BB-, Ba3) | | 10/05/28 | | | 3.750 | | | | 728,916 | |
| 880 | | | PES Holdings LLC, 3.000% PIK(3),(8),(11) | | (NR, NR) | | 12/31/22 | | | 3.000 | | | | 59,427 | |
| | | | | | | | | | | | | | | 788,343 | |
Food & Drug Retailers (1.3%) | | | | | | | | | | | | |
| 1,985 | | | Packaging Coordinators Midco, Inc., LIBOR 3M + 3.750%(8) | | (B-, B2) | | 11/30/27 | | | 4.500 | | | | 1,987,690 | |
| 1,250 | | | Sharp Midco LLC(6),(9) | | (B-, B2) | | 12/31/28 | | | 0.000 | | | | 1,251,562 | |
| 2,486 | | | WOOF Holdings, Inc., LIBOR 3M + 3.750%(6),(8) | | (B-, B2) | | 12/21/27 | | | 4.500 | | | | 2,489,345 | |
| 866 | | | WOOF Holdings, Inc., LIBOR 6M + 7.250%(6),(8) | | (CCC, Caa2) | | 12/21/28 | | | 8.000 | | | | 873,741 | |
| | | | | | | | | | | | | | | 6,602,338 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
BANK LOANS (continued) | | | | | | | | | | | | |
Food - Wholesale (0.4%) | | | | | | | | | | | | |
$ | 182 | | | AI Aqua Merger Sub, Inc.(9) | | (B, B3) | | 07/31/28 | | | 0.000 | | | $ | 182,271 | |
| 1,452 | | | AI Aqua Merger Sub, Inc., LIBOR 1M + 4.000%(8) | | (B, B3) | | 07/31/28 | | | 4.500 | | | | 1,458,167 | |
| 586 | | | United Natural Foods, Inc., LIBOR 1M + 3.250%(8) | | (BB-, B1) | | 10/22/25 | | | 3.355 | | | | 586,495 | |
| | | | | | | | | | | | | | | 2,226,933 | |
Gaming (0.2%) | | | | | | | | | | | | |
| 941 | | | CBAC Borrower LLC, LIBOR 1M + 4.000%(5),(8) | | (B-, Caa2) | | 07/08/24 | | | 4.105 | | | | 932,999 | |
| | | | | | | | | | | | | | | | |
Gas Distribution (0.6%) | | | | | | | | | | | | |
| 955 | | | AL NGPL Holdings LLC, LIBOR 3M + 3.750%(8) | | (B+, Ba3) | | 04/14/28 | | | 4.750 | | | | 955,877 | |
| 1,000 | | | Lucid Energy Group II Borrower, LLC, LIBOR 3M + 4.250%(8) | | (B, B2) | | 11/24/28 | | | 5.000 | | | | 1,000,180 | |
| 1,304 | | | Traverse Midstream Partners LLC, SOFR 3M + 4.250%(8) | | (B, B3) | | 09/27/24 | | | 5.250 | | | | 1,304,472 | |
| | | | | | | | | | | | | | | 3,260,529 | |
Health Facilities (1.1%) | | | | | | | | | | | | |
| 995 | | | Insulet Corp., LIBOR 1M + 3.250%(8) | | (B+, Ba3) | | 05/04/28 | | | 3.750 | | | | 996,866 | |
| 1,985 | | | Loire Finco Luxembourg S.a.r.l., LIBOR 1M + 3.750%(8) | | (B, B3) | | 04/21/27 | | | 4.500 | | | | 1,983,807 | |
| 251 | | | Western Dental Services, Inc. (2021 Delayed Draw Term Loan), LIBOR 3M + 4.500%(8),(10) | | (B-, B3) | | 08/18/28 | | | 5.250 | | | | 251,416 | |
| 2,358 | | | Western Dental Services, Inc. (2021 Term Loan B), LIBOR 1M + 4.500%(8) | | (B-, B3) | | 08/18/28 | | | 5.250 | | | | 2,361,667 | |
| | | | | | | | | | | | | | | 5,593,756 | |
Health Services (4.3%) | | | | | | | | | | | | |
| 1,787 | | | ADMI Corp., LIBOR 1M + 3.375%(8) | | (B, B2) | | 12/23/27 | | | 3.875 | | | | 1,777,836 | |
| 769 | | | Agiliti Health, Inc., LIBOR 3M + 2.750%(6),(8) | | (B+, B1) | | 01/04/26 | | | 3.500 | | | | 767,967 | |
| 1,021 | | | Agiliti Health, Inc., LIBOR 1M + 2.750%(6),(8) | | (B+, B1) | | 01/04/26 | | | 2.875 | | | | 1,018,308 | |
| 2,240 | | | Athenahealth, Inc., LIBOR 3M + 4.250%(8) | | (B, B2) | | 02/11/26 | | | 4.400 | | | | 2,242,373 | |
| 1,134 | | | ATI Holdings Acquisition, Inc., LIBOR 6M + 3.500%(8) | | (B-, B3) | | 05/10/23 | | | 4.500 | | | | 1,102,679 | |
| 313 | | | Carestream Health, Inc., LIBOR 3M + 6.750%(8) | | (B-, B1) | | 05/08/23 | | | 7.750 | | | | 314,236 | |
| 2,446 | | | KUEHG Corp., LIBOR 3M + 3.750%(8) | | (CCC+, B3) | | 02/21/25 | | | 4.750 | | | | 2,417,289 | |
| 1,707 | | | Learning Care Group, Inc., LIBOR 3M + 3.250%(8) | | (CCC+, B3) | | 03/13/25 | | | 4.250 | | | | 1,687,376 | |
| 995 | | | Pacific Dental Services LLC, LIBOR 1M + 3.250%(8) | | (B, B1) | | 05/05/28 | | | 4.000 | | | | 996,557 | |
| 1,485 | | | PetVet Care Centers LLC, LIBOR 1M + 3.500%(8) | | (B, B2) | | 02/14/25 | | | 4.250 | | | | 1,486,206 | |
| 1,000 | | | Radiology Partners, Inc., LIBOR 1M + 4.250%(8) | | (B-, B2) | | 07/09/25 | | | 4.354 - 4.489 | | | | 989,930 | |
| 295 | | | SCP Eye Care Services LLC, LIBOR 3M + 4.500%(8),(10) | | (B-, B3) | | 03/16/28 | | | 4.500 | | | | 296,563 | |
| 1,696 | | | SCP Eye Care Services LLC, LIBOR 6M + 4.500%(8) | | (B-, B3) | | 03/16/28 | | | 5.250 | | | | 1,702,383 | |
| 352 | | | Southern Veterinary Partners, LLC(9) | | (B-, B2) | | 10/05/27 | | | 0.000 | | | | 353,023 | |
| 254 | | | Therapy Brands Holdings LLC, LIBOR 3M + 4.000%(6),(8),(10) | | (B-, B2) | | 05/18/28 | | | 4.000 | | | | 253,602 | |
| 993 | | | Therapy Brands Holdings LLC, LIBOR 3M + 4.000%(6),(8) | | (B-, B2) | | 05/18/28 | | | 4.750 | | | | 990,790 | |
| 433 | | | TTF Holdings LLC, LIBOR 1M + 4.250%(6),(8) | | (B+, B2) | | 03/31/28 | | | 5.000 | | | | 434,570 | |
| 3,161 | | | U.S. Radiology Specialists, Inc., LIBOR 3M + 5.250%(8) | | (B-, B3) | | 12/10/27 | | | 5.750 | | | | 3,164,611 | |
| | | | | | | | | | | | | | | 21,996,299 | |
Insurance Brokerage (1.5%) | | | | | | | | | | | | |
| 397 | | | Acrisure LLC, LIBOR 3M + 3.500%(8) | | (B, B2) | | 02/15/27 | | | 3.724 | | | | 392,838 | |
| 378 | | | Acrisure, LLC, LIBOR 3M + 4.250%(8) | | (B, B2) | | 02/15/27 | | | 4.750 | | | | 379,088 | |
| 1,288 | | | Alliant Holdings Intermediate, LLC, LIBOR 1M + 3.500%(8) | | (B, B2) | | 11/06/27 | | | 4.000 | | | | 1,288,287 | |
| 496 | | | AssuredPartners, Inc., LIBOR 1M + 3.500%(8) | | (B, B2) | | 02/12/27 | | | 3.605 | | | | 493,607 | |
| 1,768 | | | Hub International Ltd.(9) | | (B, B2) | | 04/25/25 | | | 0.000 | | | | 1,767,693 | |
| 864 | | | NFP Corp., LIBOR 1M + 3.250%(8) | | (B, B1) | | 02/15/27 | | | 3.355 | | | | 856,526 | |
| 2,563 | | | Ryan Specialty Group LLC, LIBOR 1M + 3.000%(8) | | (BB-, B1) | | 09/01/27 | | | 3.750 | | | | 2,563,369 | |
| | | | | | | | | | | | | | | 7,741,408 | |
Investments & Misc. Financial Services (2.4%) | | | | | | | | | | | | |
| 436 | | | Altisource Solutions Sarl, LIBOR 3M + 4.000%(5),(8) | | (CCC-, Caa1) | | 04/03/24 | | | 4.224 | | | | 400,787 | |
| 1,000 | | | AqGen Ascensus, Inc., LIBOR 3M + 6.500%(8) | | (CCC, Caa2) | | 08/02/29 | | | 7.000 | | | | 1,005,315 | |
| 1,419 | | | AqGen Island Holdings, Inc., LIBOR 3M + 3.500%(8) | | (B-, B2) | | 08/02/28 | | | 4.000 | | | | 1,417,559 | |
| 374 | | | Ditech Holding Corp.(3),(7) | | (NR, NR) | | 06/30/22 | | | 0.000 | | | | 75,422 | |
| 915 | | | Focus Financial Partners LLC, LIBOR 1M + 2.000%(8) | | (BB-, Ba3) | | 07/03/24 | | | 2.105 | | | | 911,002 | |
| 1,746 | | | HighTower Holdings LLC, LIBOR 3M + 4.000%(8) | | (B-, B2) | | 04/21/28 | | | 4.750 | | | | 1,746,716 | |
| 2,851 | | | Hudson River Trading LLC, SOFR 3M + 3.000%(8) | | (BB-, Ba2) | | 03/20/28 | | | 3.171 | | | | 2,819,273 | |
| 1,113 | | | Jane Street Group LLC, LIBOR 1M + 2.750%(8) | | (BB-, Ba2) | | 01/26/28 | | | 2.855 | | | | 1,100,834 | |
| 402 | | | Kestra Advisor Services Holdings A, Inc., LIBOR 1M + 4.250%(8) | | (B-, B2) | | 06/03/26 | | | 4.360 | | | | 400,567 | |
| 125 | | | Mariner Wealth Advisors LLC (Delayed Draw Term Loan), LIBOR 3M + 3.250%(6),(8),(10) | | (B-, Ba3) | | 08/18/28 | | | 3.750 | | | | 124,719 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | | | | | | | | | | | | |
Investments & Misc. Financial Services (continued) | | | | | | | | | | | | |
$ | 873 | | | Mariner Wealth Advisors LLC (Term Loan B), LIBOR 3M + 3.250%(6),(8) | | (B-, Ba3) | | 08/18/28 | | | 3.750 | | | $ | 871,722 | |
| 1,462 | | | VFH Parent LLC, SOFR 3M + 3.000%(8) | | (B+, Ba3) | | 01/13/29 | | | 3.500 | | | | 1,461,864 | |
| | | | | | | | | | | | | | | 12,335,780 | |
Machinery (2.0%) | | | | | | | | | | | | |
| 498 | | | 19th Holdings Golf, LLC(6),(9) | | (B, B1) | | 01/26/29 | | | 0.000 | | | | 496,909 | |
| 957 | | | Alliance Laundry Systems LLC, LIBOR 3M + 3.500%(8) | | (B, B2) | | 10/08/27 | | | 4.250 | | | | 959,293 | |
| 346 | | | ASP Blade Holdings, Inc., LIBOR 1M + 4.000%(8) | | (B-, B1) | | 10/13/28 | | | 4.500 | | | | 347,073 | |
| 229 | | | CMBF LLC, LIBOR 3M + 6.500%(6),(8),(10) | | (B, B3) | | 08/02/28 | | | 6.500 | | | | 228,498 | |
| 771 | | | CMBF LLC, LIBOR 1M + 6.000%(6),(8) | | (B, B3) | | 08/02/28 | | | 6.500 | | | | 767,752 | |
| 285 | | | CPM Holdings, Inc., LIBOR 1M + 3.500%(8) | | (B-, B2) | | 11/17/25 | | | 3.606 | | | | 284,131 | |
| 197 | | | CPM Holdings, Inc., LIBOR 1M + 8.250%(5),(6),(8) | | (CCC+, Caa2) | | 11/16/26 | | | 8.352 | | | | 197,695 | |
| 411 | | | LTI Holdings, Inc., LIBOR 1M + 6.750%(5),(8) | | (CCC+, Caa2) | | 09/06/26 | | | 6.855 | | | | 410,635 | |
| 2,454 | | | LTI Holdings, Inc., LIBOR 1M + 3.500%(8) | | (B-, B2) | | 09/06/25 | | | 3.605 | | | | 2,433,667 | |
| 469 | | | LTI Holdings, Inc.(10) | | (B-, B2) | | 07/24/26 | | | 0.000 | | | | 468,459 | |
| 469 | | | LTI Holdings, Inc., LIBOR 1M + 4.750%(8) | | (B-, B2) | | 07/24/26 | | | 4.855 | | | | 468,459 | |
| 994 | | | Penn Engineering & Manufacturing Corp., LIBOR 3M + 2.500%(6),(8) | | (BB-, B1) | | 06/27/24 | | | 3.500 | | | | 992,433 | |
| 103 | | | Pro Mach Group, Inc., LIBOR 3M + 4.000%(8),(10) | | (B-, B2) | | 08/31/28 | | | 4.000 | | | | 103,360 | |
| 818 | | | Pro Mach Group, Inc., LIBOR 3M + 4.000%(8) | | (B-, B2) | | 08/31/28 | | | 5.000 | | | | 821,711 | |
| 1,000 | | | Welbilt, Inc., LIBOR 1M + 2.500%(8) | | (B-, B2) | | 10/23/25 | | | 2.605 | | | | 999,375 | |
| | | | | | | | | | | | | | | 9,979,450 | |
Media - Diversified (0.1%) | | | | | | | | | | | | |
| 967 | | | Diamond Sports Group LLC, LIBOR 1M + 3.250%(8) | | (CC, Caa1) | | 08/24/26 | | | 3.360 | | | | 399,692 | |
| | | | | | | | | | | | | | | | |
Medical Products (1.8%) | | | | | | | | | | | | |
| 1,522 | | | ABB Concise Optical Group LLC, LIBOR 1M + 5.000%(8) | | (CCC, B3) | | 06/15/23 | | | 6.000 | | | | 1,473,194 | |
| 1,467 | | | CryoLife, Inc., LIBOR 3M + 3.500%(8) | | (B, B1) | | 06/01/27 | | | 4.500 | | | | 1,466,088 | |
| 1,360 | | | Femur Buyer, Inc., LIBOR 3M + 4.500%(8) | | (CCC+, Caa1) | | 03/05/26 | | | 4.724 | | | | 1,284,780 | |
| 686 | | | Femur Buyer, Inc., LIBOR 3M + 0.500%(6),(8) | | (NR, NR) | | 03/05/24 | | | 0.500 | | | | 617,421 | |
| 2,000 | | | Medline Industries, Inc.(9) | | (B+, B1) | | 10/23/28 | | | 0.000 | | | | 1,993,910 | |
| 2,400 | | | Sotera Health Holdings LLC, LIBOR 3M + 2.750%(8) | | (BB-, B1) | | 12/11/26 | | | 3.250 | | | | 2,397,000 | |
| | | | | | | | | | | | | | | 9,232,393 | |
Metals & Mining - Excluding Steel (0.0%) | | | | | | | | | | | | |
| 198 | | | Noranda Aluminum Acquisition Corp.(3),(6),(7) | | (NR, NR) | | 02/28/19 | | | 0.000 | | | | 505 | |
| | | | | | | | | | | | | | | | |
Packaging (1.1%) | | | | | | | | | | | | |
| 724 | | | Charter NEX U.S., Inc., LIBOR 1M + 3.750%(8) | | (B, B2) | | 12/01/27 | | | 4.500 | | | | 725,581 | |
| 99 | | | Flex Acquisition Co., Inc., LIBOR 3M + 3.000%(8) | | (B, B2) | | 06/29/25 | | | 3.214 | | | | 98,735 | |
| 494 | | | Flex Acquisition Co., Inc., LIBOR 3M + 3.500%(8) | | (B, B2) | | 03/02/28 | | | 4.000 | | | | 493,718 | |
| 551 | | | Plastipak Packaging, Inc., LIBOR 1M + 2.500%(8) | | (B+, Ba3) | | 12/01/28 | | | 3.000 | | | | 550,293 | |
| 2,112 | | | Proampac PG Borrower LLC, LIBOR 3M + 3.750%, PRIME + 2.750%(8) | | (B-, B3) | | 11/03/25 | | | 4.500 - 6.000 | | | | 2,116,179 | |
| 724 | | | Strategic Materials, Inc., LIBOR 3M + 3.750%(5),(8) | | (CCC, Caa3) | | 11/01/24 | | | 4.750 | | | | 658,221 | |
| 645 | | | Strategic Materials, Inc., LIBOR 3M + 7.750%(5),(6),(8) | | (CC, C) | | 10/31/25 | | | 8.750 | | | | 370,875 | |
| 343 | | | Technimark Holdings LLC, LIBOR 3M + 3.750%(8) | | (B-, B2) | | 07/09/29 | | | 4.250 | | | | 341,044 | |
| | | | | | | | | | | | | | | 5,354,646 | |
Packaging & Containers (0.3%) | | | | | | | | | | | | |
| 638 | | | Howden Group Holdings Ltd.(9) | | (NR, B2) | | 11/12/27 | | | 0.000 | | | | 636,191 | |
| 877 | | | Hyperion Insurance Group Ltd., LIBOR 1M + 3.250%(8) | | (B, B2) | | 11/12/27 | | | 4.000 | | | | 875,222 | |
| | | | | | | | | | | | | | | 1,511,413 | |
Personal & Household Products (1.5%) | | | | | | | | | | | | |
| 1,287 | | | ABG Intermediate Holdings 2 LLC, LIBOR 3M + 3.250%(8) | | (B, B1) | | 09/27/24 | | | 4.000 | | | | 1,286,941 | |
| 168 | | | Anticimex International AB(6),(9) | | (B, B2) | | 11/16/28 | | | 0.000 | | | | 168,121 | |
| 1,011 | | | Anticimex International AB, LIBOR 3M + 3.500%(8) | | (B, B2) | | 11/16/28 | | | 4.000 | | | | 1,012,758 | |
| 583 | | | Fender Musical Instruments Corp., SOFR 1M + 4.000%(6),(8) | | (B, B2) | | 12/01/28 | | | 4.500 | | | | 584,058 | |
| 250 | | | Lakeshore Intermediate LLC, LIBOR 3M + 3.500%(8) | | (B, B2) | | 09/29/28 | | | 4.000 | | | | 250,213 | |
| 348 | | | MajorDrive Holdings IV LLC, LIBOR 3M + 4.000%(8) | | (B, B2) | | 05/12/28 | | | 4.500 | | | | 348,470 | |
| 1,358 | | | MND Holdings III Corp., LIBOR 3M + 3.500%(5),(8) | | (B-, Caa1) | | 06/19/24 | | | 4.500 | | | | 1,347,374 | |
| 970 | | | Serta Simmons Bedding, LLC, LIBOR 1M + 7.500%(8) | | (B-, Caa2) | | 08/10/23 | | | 8.500 | | | | 929,268 | |
| 1,840 | | | Weber-Stephen Products LLC, LIBOR 6M + 3.250%(8) | | (BB, B1) | | 10/30/27 | | | 4.000 | | | | 1,843,633 | |
| | | | | | | | | | | | | | | 7,770,836 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | | | | | | | | | | | | |
Pharmaceuticals (0.9%) | | | | | | | | | | | | |
$ | 320 | | | Akorn, Inc., LIBOR 3M + 7.500%(8) | | (CCC+, Caa2) | | 10/01/25 | | | 8.500 | | | $ | 323,698 | |
| 441 | | | Bausch Health Companies, Inc., LIBOR 1M + 2.750%(8) | | (BB, Ba2) | | 11/27/25 | | | 2.855 | | | | 440,614 | |
| 882 | | | Bausch Health Companies, Inc.(9) | | (BB, Ba3) | | 01/27/27 | | | 0.000 | | | | 876,451 | |
| 380 | | | Curia Global, Inc., LIBOR 3M + 3.750%(8) | | (B, B2) | | 08/30/26 | | | 4.500 | | | | 380,709 | |
| 1,267 | | | Endo Luxembourg Finance Co. I Sarl, LIBOR 3M + 5.000%(8) | | (B-, B3) | | 03/27/28 | | | 5.750 | | | | 1,238,055 | |
| 1,089 | | | ICON Luxembourg Sarl (LUX Term Loan), LIBOR 3M + 2.250%(8) | | (BB+, Ba1) | | 07/03/28 | | | 2.750 | | | | 1,087,993 | |
| 271 | | | ICON Luxembourg Sarl (US Term Loan), LIBOR 3M + 2.250%(8) | | (BB+, Ba1) | | 07/03/28 | | | 2.750 | | | | 271,074 | |
| | | | | | | | | | | | | | | 4,618,594 | |
Real Estate Development & Management (0.2%) | | | | | | | | | | | | |
| 1,212 | | | Cushman & Wakefield U.S. Borrower LLC, LIBOR 1M + 2.750%(8) | | (BB-, Ba3) | | 08/21/25 | | | 2.855 | | | | 1,210,243 | |
| | | | | | | | | | | | | | | | |
Real Estate Investment Trusts (0.3%) | | | | | | | | | | | | |
| 711 | | | Blackstone Mortgage Trust, Inc., LIBOR 1M + 2.750%(8) | | (B+, Ba2) | | 04/23/26 | | | 3.250 | | | | 707,849 | |
| 742 | | | Claros Mortgage Trust, Inc., SOFR 3M + 4.500%(6),(8) | | (B+, Ba3) | | 08/09/26 | | | 5.000 | | | | 745,208 | |
| | | | | | | | | | | | | | | 1,453,057 | |
Recreation & Travel (0.9%) | | | | | | | | | | | | |
| 1,944 | | | Bulldog Purchaser, Inc., LIBOR 3M + 3.750%(8) | | (B-, B3) | | 09/05/25 | | | 3.925 | | | | 1,892,411 | |
| 62 | | | Crown Finance U.S., Inc., LIBOR 6M + 2.500%(8) | | (CCC, Caa2) | | 02/28/25 | | | 3.500 | | | | 47,076 | |
| 318 | | | Crown Finance U.S., Inc., LIBOR 6M + 2.750%(8) | | (CCC, Caa2) | | 09/30/26 | | | 3.750 | | | | 237,764 | |
| 874 | | | Hornblower Sub LLC, LIBOR 3M + 4.500%(8) | | (CCC-, Caa2) | | 04/27/25 | | | 5.500 | | | | 827,029 | |
| 1,134 | | | Hornblower Sub LLC, LIBOR 3M + 8.125%(8) | | (NR, NR) | | 11/10/25 | | | 9.125 | | | | 1,180,328 | |
| 350 | | | Hornblower Sub LLC, LIBOR 3M + 8.125%(8) | | (NR, NR) | | 11/10/25 | | | 9.125 | | | | 364,292 | |
| | | | | | | | | | | | | | | 4,548,900 | |
Restaurants (2.7%) | | | | | | | | | | | | |
| 2,987 | | | Flynn Restaurant Group LP, LIBOR 1M + 4.250%(8) | | (B, B2) | | 12/01/28 | | | 4.750 | | | | 2,995,265 | |
| 990 | | | IRB Holding Corp., LIBOR 3M + 3.250%(8) | | (B+, B2) | | 12/15/27 | | | 4.250 | | | | 991,703 | |
| 2,458 | | | IRB Holding Corp., LIBOR 6M + 2.750%(8) | | (B+, B2) | | 02/05/25 | | | 3.750 | | | | 2,454,702 | |
| 688 | | | K-Mac Holdings Corp., LIBOR 3M + 6.750%(8) | | (CCC, Caa2) | | 07/30/29 | | | 7.250 | | | | 686,820 | |
| 850 | | | K-Mac Holdings Corp., LIBOR 3M + 3.500%(8) | | (B-, B2) | | 07/21/28 | | | 4.000 | | | | 849,622 | |
| 977 | | | Miller's Ale House, Inc., LIBOR 1M + 4.750%, PRIME + 3.750%(5),(8) | | (CCC+, Caa1) | | 05/30/25 | | | 4.859 - 7.000 | | | | 950,784 | |
| 1,969 | | | Tacala LLC, LIBOR 1M + 3.500%(8) | | (B-, B2) | | 02/05/27 | | | 4.250 | | | | 1,970,222 | |
| 375 | | | Tacala LLC, LIBOR 1M + 7.500%(8) | | (CCC, Caa2) | | 02/04/28 | | | 8.250 | | | | 375,587 | |
| 2,510 | | | Whatabrands LLC, LIBOR 1M + 3.250%(8) | | (B, B2) | | 08/03/28 | | | 3.750 | | | | 2,507,389 | |
| | | | | | | | | | | | | | | 13,782,094 | |
Software - Services (11.8%) | | | | | | | | | | | | |
| 1,727 | | | Applied Systems, Inc., LIBOR 3M + 3.000%(8) | | (B-, B2) | | 09/19/24 | | | 3.500 | | | | 1,726,134 | |
| 989 | | | Applied Systems, Inc., LIBOR 3M + 5.500%(8) | | (CCC, Caa2) | | 09/19/25 | | | 6.250 | | | | 998,009 | |
| 1,728 | | | Aston FinCo Sarl, LIBOR 1M + 4.250%(8) | | (B-, B2) | | 10/09/26 | | | 4.355 | | | | 1,722,649 | |
| 925 | | | Astra Acquisition Corp., LIBOR 1M + 5.250%(8) | | (B-, B2) | | 10/25/28 | | | 5.750 | | | | 916,328 | |
| 1,240 | | | Ceridian HCM Holding, Inc., LIBOR 1M + 2.500%(8) | | (B+, B1) | | 04/30/25 | | | 2.605 | | | | 1,227,336 | |
| 1,000 | | | CommerceHub, Inc.(9) | | (CCC, Caa2) | | 12/29/28 | | | 0.000 | | | | 981,250 | |
| 1,488 | | | CommerceHub, Inc., LIBOR 3M + 4.000%(8) | | (B, B2) | | 12/29/27 | | | 4.750 | | | | 1,483,770 | |
| 1,000 | | | Cornerstone OnDemand, Inc., LIBOR 3M + 3.750%(8) | | (B-, B2) | | 10/16/28 | | | 4.250 | | | | 998,750 | |
| 861 | | | DCert Buyer, Inc., LIBOR 1M + 4.000%(8) | | (B-, B2) | | 10/16/26 | | | 4.105 | | | | 862,514 | |
| 1,250 | | | DCert Buyer, Inc., LIBOR 1M + 7.000%(8) | | (CCC, Caa2) | | 02/19/29 | | | 7.105 | | | | 1,260,000 | |
| 600 | | | Epicor Software Corp., LIBOR 1M + 7.750%(8) | | (CCC, Caa2) | | 07/31/28 | | | 8.750 | | | | 614,253 | |
| 2,175 | | | Epicor Software Corp., LIBOR 1M + 3.250%(8) | | (B-, B2) | | 07/30/27 | | | 4.000 | | | | 2,172,659 | |
| 3,754 | | | Finastra U.S.A., Inc., LIBOR 3M + 3.500%(8) | | (B-, B2) | | 06/13/24 | | | 4.500 | | | | 3,746,128 | |
| 2,140 | | | Finastra U.S.A., Inc., LIBOR 3M + 7.250%(8) | | (CCC, Caa2) | | 06/13/25 | | | 8.250 | | | | 2,144,496 | |
| 738 | | | First Advantage Holdings LLC, LIBOR 1M + 2.750%(8) | | (BB-, B1) | | 01/31/27 | | | 2.855 | | | | 736,237 | |
| 997 | | | Fleetcor Technologies Operating Company, LLC, LIBOR 1M + 1.750%(8) | | (BB+, Ba1) | | 04/28/28 | | | 1.855 | | | | 990,140 | |
| 2,975 | | | Flexera Software LLC, LIBOR 3M + 3.750%(8) | | (B-, B1) | | 03/03/28 | | | 4.500 | | | | 2,980,049 | |
| 1,745 | | | GHX Ultimate Parent Corp., LIBOR 3M + 3.250%(8) | | (B, B2) | | 06/28/24 | | | 4.250 | | | | 1,743,798 | |
| 970 | | | Hyland Software, Inc., LIBOR 1M + 3.500%(8) | | (B-, B1) | | 07/01/24 | | | 4.250 | | | | 971,402 | |
| 428 | | | IGT Holding IV AB, LIBOR 3M + 3.500%(8) | | (B, B2) | | 03/31/28 | | | 4.000 | | | | 428,377 | |
| 246 | | | MA FinanceCo. LLC, LIBOR 3M + 4.250%(6),(8) | | (BB-, B1) | | 06/05/25 | | | 5.250 | | | | 246,793 | |
| 968 | | | Navicure, Inc., LIBOR 1M + 4.000%(8) | | (B-, B2) | | 10/22/26 | | | 4.105 | | | | 968,343 | |
| 3,446 | | | Newport Group, Inc., LIBOR 3M + 3.500%(8) | | (B, B2) | | 09/13/25 | | | 3.724 | | | | 3,444,830 | |
| 1,270 | | | Ping Identity Corp., SOFR 1M + 3.750%(6),(8) | | (B-, B1) | | 11/22/28 | | | 4.250 | | | | 1,271,966 | |
| 3,927 | | | Polaris Newco LLC, LIBOR 3M + 4.000%(8) | | (B-, B2) | | 06/02/28 | | | 4.500 | | | | 3,931,456 | |
| 2,715 | | | Project Alpha Intermediate Holding, Inc., LIBOR 3M + 4.000%(8) | | (B, B3) | | 04/26/24 | | | 4.300 | | | | 2,718,521 | |
| 1,094 | | | Project Boost Purchaser, LLC, LIBOR 1M + 3.500%(8) | | (B-, B2) | | 06/01/26 | | | 3.605 | | | | 1,091,890 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | | | | | | | | | | | | |
Software - Services (continued) | | | | | | | | | | | | |
$ | 2,379 | | | Proofpoint, Inc., LIBOR 3M + 3.250%(8) | | (B-, B2) | | 08/31/28 | | | 3.750 | | | $ | 2,370,079 | |
| 2,095 | | | RCP Vega, Inc.(9) | | (B-, B2) | | 04/30/26 | | | 0.000 | | | | 2,090,275 | |
| 1,995 | | | RealPage, Inc., LIBOR 1M + 3.250%(8) | | (B, B2) | | 04/24/28 | | | 3.750 | | | | 1,988,347 | |
| 2,078 | | | Redstone Buyer LLC, LIBOR 3M + 4.750%(8) | | (B, B2) | | 04/27/28 | | | 5.500 | | | | 1,937,541 | |
| 1,138 | | | Seattle Spinco, Inc., SOFR 3M + 4.000%(6),(8) | | (BB-, B1) | | 02/26/27 | | | 4.500 | | | | 1,134,837 | |
| 1,509 | | | Seattle Spinco, Inc., LIBOR 1M + 2.750%(8) | | (BB-, B1) | | 06/21/24 | | | 2.855 | | | | 1,494,042 | |
| 630 | | | SkillSoft Corp., LIBOR 3M + 4.750%(8) | | (B-, B2) | | 06/30/28 | | | 5.500 | | | | 635,470 | |
| 2,403 | | | The Ultimate Software Group, Inc., LIBOR 1M + 3.750%(8) | | (B-, B1) | | 05/04/26 | | | 3.855 | | | | 2,402,726 | |
| 261 | | | Vaco Holdings, LLC, SOFR 1M + 5.000%(8) | | (B, B2) | | 01/20/29 | | | 5.750 | | | | 262,018 | |
| 1,680 | | | Virtusa Corp., LIBOR 1M + 3.750%(8) | | (B, B2) | | 02/11/28 | | | 4.500 | | | | 1,686,609 | |
| 1,413 | | | VS Buyer LLC, LIBOR 1M + 3.000%(8) | | (B, B1) | | 02/28/27 | | | 3.105 | | | | 1,409,840 | |
| | | | | | | | | | | | | | | 59,789,862 | |
Specialty Retail (0.7%) | | | | | | | | | | | | |
| 433 | | | EG America LLC, LIBOR 3M + 4.000%(8) | | (B-, B3) | | 02/07/25 | | | 4.224 | | | | 432,370 | |
| 2,297 | | | Mister Car Wash Holdings, Inc., LIBOR 1M + 3.000%(8) | | (B, B2) | | 05/14/26 | | | 3.105 | | | | 2,293,379 | |
| 739 | | | Restoration Hardware, Inc., LIBOR 3M + 2.500%(8) | | (BB, Ba2) | | 10/20/28 | | | 3.000 | | | | 737,895 | |
| | | | | | | | | | | | | | | 3,463,644 | |
Steel Producers/Products (0.1%) | | | | | | | | | | | | |
| 368 | | | Grinding Media, Inc., LIBOR 3M + 4.000%(8) | | (B, B2) | | 10/12/28 | | | 4.750 | | | | 368,441 | |
| | | | | | | | | | | | | | | | |
Support - Services (2.4%) | | | | | | | | | | | | |
| 992 | | | Belfor Holdings, Inc., LIBOR 1M + 3.750%(6),(8) | | (B, B1) | | 04/06/26 | | | 3.855 | | | | 993,607 | |
| 2,371 | | | Change Healthcare Holdings LLC, LIBOR 1M + 2.500%(8) | | (B+, B1) | | 03/01/24 | | | 3.500 | | | | 2,371,310 | |
| 299 | | | LaserShip, Inc., LIBOR 6M + 7.500%(8) | | (CCC, Caa2) | | 05/07/29 | | | 8.250 | | | | 301,685 | |
| 1,496 | | | LaserShip, Inc., LIBOR 3M + 4.500%(8) | | (B-, B2) | | 05/07/28 | | | 5.250 | | | | 1,501,861 | |
| 437 | | | Osmose Utilities Services, Inc., LIBOR 1M + 3.250%(8) | | (B, B2) | | 06/23/28 | | | 3.750 | | | | 435,199 | |
| 959 | | | Pike Corp., LIBOR 1M + 3.000%(8) | | (B, Ba3) | | 01/21/28 | | | 3.110 | | | | 957,955 | |
| 992 | | | Protective Industrial Products, Inc., LIBOR 1M + 3.750%(8) | | (B-, B2) | | 12/29/27 | | | 4.750 | | | | 991,259 | |
| 2,380 | | | White Cap Buyer LLC, PRIME + 3.000%(8) | | (B, B2) | | 10/19/27 | | | 6.250 | | | | 2,383,130 | |
| 1,959 | | | Wrench Group LLC, LIBOR 3M + 4.000%(8) | | (B-, B2) | | 04/30/26 | | | 4.224 | | | | 1,956,274 | |
| | | | | | | | | | | | | | | 11,892,280 | |
Tech Hardware & Equipment (0.8%) | | | | | | | | | | | | |
| 587 | | | CommScope, Inc., LIBOR 1M + 3.250%(8) | | (B, Ba3) | | 04/06/26 | | | 3.355 | | | | 577,508 | |
| 995 | | | Ingram Micro, Inc., LIBOR 3M + 3.500%(8) | | (BB-, B1) | | 06/30/28 | | | 4.000 | | | | 995,209 | |
| 1,112 | | | Ultra Clean Holdings, Inc., LIBOR 1M + 3.750%(8) | | (B+, B1) | | 08/27/25 | | | 3.855 | | | | 1,115,338 | |
| 1,346 | | | Vertiv Group Corp., LIBOR 1M + 2.750%(8) | | (BB-, B1) | | 03/02/27 | | | 2.852 | | | | 1,341,139 | |
| | | | | | | | | | | | | | | 4,029,194 | |
Telecom - Wireless (0.4%) | | | | | | | | | | | | |
| 1,983 | | | Eagle Broadband Investments LLC, LIBOR 3M + 3.000%(8) | | (B+, B2) | | 11/12/27 | | | 3.750 | | | | 1,979,787 | |
| | | | | | | | | | | | | | | | |
Telecom - Wireline Integrated & Services (0.9%) | | | | | | | | | | | | |
| 479 | | | Altice Financing S.A., LIBOR 3M + 2.750%(8) | | (B, B2) | | 01/31/26 | | | 2.989 | | | | 473,783 | |
| 499 | | | Altice France S.A., LIBOR 2M + 4.000%(8) | | (B, B2) | | 08/14/26 | | | 4.106 | | | | 497,776 | |
| 794 | | | Altice France S.A., LIBOR 3M + 3.688%(8) | | (B, B2) | | 01/31/26 | | | 3.927 | | | | 791,115 | |
| 400 | | | CenturyLink, Inc., LIBOR 1M + 2.250%(8) | | (BBB-, Ba3) | | 03/15/27 | | | 2.355 | | | | 394,426 | |
| 323 | | | GTT Communications, Inc., PRIME + 3.750%(3),(8) | | (NR, NR) | | 05/31/25 | | | 7.000 | | | | 280,683 | |
| 496 | | | Numericable Group S.A., LIBOR 3M + 2.750%(8) | | (B, B2) | | 07/31/25 | | | 2.750 | | | | 491,195 | |
| 946 | | | TVC Albany, Inc., LIBOR 1M + 3.500%(8) | | (B-, B2) | | 07/23/25 | | | 3.610 | | | | 936,652 | |
| 438 | | | TVC Albany, Inc., LIBOR 1M + 7.500%(5),(6),(8) | | (CCC, Caa2) | | 07/23/26 | | | 7.610 | | | | 425,469 | |
| | | | | | | | | | | | | | | 4,291,099 | |
Theaters & Entertainment (2.4%) | | | | | | | | | | | | |
| 2,704 | | | Metro-Goldwyn-Mayer, Inc., LIBOR 1M + 4.500%(8) | | (CCC+, B3) | | 07/03/26 | | | 5.500 | | | | 2,709,296 | |
| 900 | | | Technicolor S.A., LIBOR 3M + 2.750% Cash, 3.000% PIK(8),(11) | | (CCC, Caa3) | | 12/31/24 | | | 5.900 | | | | 877,725 | |
| 323 | | | Technicolor S.A. (Incremental New Money Term Loan), LIBOR 6M + 6.000% Cash, 6.000% PIK(8),(11) | | (B, Caa1) | | 06/30/24 | | | 12.446 | | | | 339,927 | |
| 1,728 | | | Technicolor S.A. (New Money Term Loan), LIBOR 6M + 6.000% Cash, 6.000% PIK(8),(11) | | (B, Caa1) | | 06/30/24 | | | 12.446 | | | | 1,820,864 | |
| 167 | | | TopGolf International, Inc., LIBOR 3M + 6.250%(8) | | (B-, B3) | | 02/09/26 | | | 7.000 | | | | 170,327 | |
| 2,678 | | | UFC Holdings LLC, LIBOR 6M + 2.750%(8) | | (B, B2) | | 04/29/26 | | | 3.500 | | | | 2,660,062 | |
| 3,427 | | | William Morris Endeavor Entertainment LLC, LIBOR 1M + 2.750%(8) | | (B, B3) | | 05/18/25 | | | 2.860 | | | | 3,375,580 | |
| | | | | | | | | | | | | | | 11,953,781 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | | | | | | | | | | | | |
Trucking & Delivery (0.2%) | | | | | | | | | | | | |
$ | 1,244 | | | American Trailer World Corp., LIBOR 1M + 3.750%(8) | | (B, B3) | | 03/03/28 | | | 4.500 | | | $ | 1,239,478 | |
TOTAL BANK LOANS (Cost $279,588,991) | | | | | | | | | | $ | 278,299,625 | |
| | | | | | | | | | | | |
ASSET BACKED SECURITIES (5.0%) | | | | | | | | | | | | |
Collateralized Debt Obligations (5.0%) | | | | | | | | | | | | |
| 1,000 | | | ALM Ltd., 2020 1A D, Rule 144A, LIBOR 3M + 6.000% (1),(8) | | (BB-, NR) | | 10/15/29 | | | 6.241 | | | | 998,115 | |
| 1,350 | | | Anchorage Capital CLO 15 Ltd., 2020-15A, Rule 144A, LIBOR 3M + 7.400% (1),(8) | | (NR, Ba3) | | 07/20/34 | | | 7.654 | | | | 1,346,634 | |
| 1,250 | | | Anchorage Capital CLO 2013-1 Ltd., 2013-1A, Rule 144A, LIBOR 3M + 6.800% (1),(8) | | (NR, Ba3) | | 10/13/30 | | | 7.044 | | | | 1,250,300 | |
| 1,000 | | | Anchorage Capital CLO 21 Ltd., 2021-21A, Rule 144A, LIBOR 3M + 7.350% (1),(8) | | (NR, Ba3) | | 10/20/34 | | | 7.487 | | | | 990,469 | |
| 1,000 | | | Anchorage Capital CLO 4-R Ltd., 2014-4RA, Rule 144A, LIBOR 3M + 2.600% (1),(8) | | (BBB-, NR) | | 01/28/31 | | | 2.878 | | | | 990,042 | |
| 1,000 | | | Battalion Clo XIV Ltd., 2019-14A, Rule 144A, LIBOR 3M + 3.440% (1),(8) | | (NR, Baa3) | | 01/20/35 | | | 3.615 | | | | 997,086 | |
| 1,000 | | | Battalion CLO XV Ltd., 2020-15A, Rule 144A, LIBOR 3M + 6.350% (1),(8) | | (BB-, NR) | | 01/17/33 | | | 6.591 | | | | 990,137 | |
| 1,000 | | | BlueMountain CLO Ltd., 2016-2, Rule 144A, LIBOR 3M + 6.000% (1),(8) | | (BB-, NR) | | 07/20/29 | | | 6.254 | | | | 982,450 | |
| 1,000 | | | BlueMountain CLO Ltd., 2016-2, Rule 144A, LIBOR 3M + 4.300% (1),(8) | | (BBB-, NR) | | 08/20/32 | | | 4.460 | | | | 1,007,540 | |
| 750 | | | BlueMountain Fuji U.S. CLO III Ltd., 2017-3A, Rule 144A, LIBOR 3M + 5.200% (1),(8) | | (BB-, NR) | | 01/15/30 | | | 5.441 | | | | 712,669 | |
| 750 | | | Carlyle Global Market Strategies CLO Ltd., 2014-3RA, Rule 144A, LIBOR 3M + 5.400% (1),(8) | | (B+, NR) | | 07/27/31 | | | 5.668 | | | | 709,450 | |
| 1,250 | | | CIFC Funding Ltd., 2014-1A, Rule 144A, LIBOR 3M + 6.520% (1),(8) | | (B+, NR) | | 10/18/30 | | | 6.759 | | | | 1,222,230 | |
| 750 | | | CIFC Funding Ltd., 2014-1A, Rule 144A, LIBOR 3M + 5.850% (1),(8) | | (B+, NR) | | 01/18/31 | | | 6.091 | | | | 715,955 | |
| 750 | | | Goldentree Loan Opportunities XI Ltd., 2015-11A, Rule 144A, LIBOR 3M + 5.400% (1),(8) | | (NR, Ba3) | | 01/18/31 | | | 5.641 | | | | 728,031 | |
| 1,225 | | | Greywolf CLO V Ltd., 2015-1A, Rule 144A, LIBOR 3M + 5.850% (1),(8) | | (B+, NR) | | 01/27/31 | | | 6.108 | | | | 1,193,416 | |
| 500 | | | Halcyon Loan Advisors Funding Ltd., 2015-2A, Rule 144A (1),(5),(9) | | (NR, NR) | | 07/25/27 | | | 0.000 | | | | 12,500 | |
| 1,000 | | | KKR CLO Ltd., 16, Rule 144A, LIBOR 3M + 7.110% (1),(8) | | (BB-, NR) | | 10/20/34 | | | 7.364 | | | | 992,963 | |
| 500 | | | KKR CLO Ltd., 20, Rule 144A, LIBOR 3M + 5.500% (1),(8) | | (NR, Ba3) | | 10/16/30 | | | 5.741 | | | | 480,571 | |
| 750 | | | KKR Financial CLO Ltd., 2013-1A, Rule 144A, LIBOR 3M + 6.080% (1),(8) | | (NR, Ba3) | | 04/15/29 | | | 6.321 | | | | 733,015 | |
| 1,000 | | | Marble Point CLO XXIII Ltd., 2021-4A, Rule 144A, LIBOR 3M + 5.750% (1),(8) | | (NR, Ba1) | | 01/22/35 | | | 5.843 | | | | 997,242 | |
| 1,000 | | | Neuberger Berman Loan Advisers CLO 43 Ltd., 2021-43A, Rule 144A, LIBOR 3M + 3.100% (1),(8) | | (BBB-, NR) | | 07/17/35 | | | 3.341 | | | | 1,001,206 | |
| 1,000 | | | Oaktree CLO Ltd., 2019-4A, Rule 144A, LIBOR 3M + 7.230% (1),(8) | | (BB-, NR) | | 10/20/32 | | | 7.484 | | | | 999,113 | |
| 1,000 | | | Octagon Investment Partners 31 LLC, 2017-1A, Rule 144A, LIBOR 3M + 6.300% (1),(8) | | (NR, Ba3) | | 07/20/30 | | | 6.554 | | | | 987,065 | |
| 500 | | | Shackleton CLO Ltd., 2014-6RA, Rule 144A, LIBOR 3M + 2.970% (1),(8) | | (NR, Baa2) | | 07/17/28 | | | 3.211 | | | | 500,174 | |
| 1,000 | | | Silver Creek CLO Ltd., 2014-1A, Rule 144A, LIBOR 3M + 3.350% (1),(8) | | (NR, Baa3) | | 07/20/30 | | | 3.604 | | | | 1,000,655 | |
| 500 | | | Venture XXVIII CLO Ltd., 2017-28A, Rule 144A, LIBOR 3M + 6.150% (1),(8) | | (NR, Ba3) | | 07/20/30 | | | 6.404 | | | | 461,861 | |
| 1,000 | | | Vibrant CLO VI Ltd., 2017-6A, Rule 144A, LIBOR 3M + 3.500% (1),(8) | | (NR, Ba1) | | 10/20/31 | | | 3.754 | | | | 967,790 | |
| 750 | | | Vibrant CLO VI Ltd., 2017-6A, Rule 144A, LIBOR 3M + 5.750% (1),(8) | | (NR, B1) | | 06/20/29 | | | 5.964 | | | | 713,953 | |
| 500 | | | Voya CLO Ltd., 2014-4A, Rule 144A, LIBOR 3M + 3.350% (1),(8) | | (BBB-, NR) | | 07/14/31 | | | 3.588 | | | | 486,282 | |
TOTAL ASSET BACKED SECURITIES (Cost $25,874,919) | | | | | | | | | | | 25,168,914 | |
Number of Shares | | | | | | | |
| | | | | | | |
COMMON STOCKS (2.3%) | | | | |
Auto Parts & Equipment (0.0%) | | | | |
| 11,414 | | | Jason Group, Inc.(7) | | | 119,849 | |
Cable & Satellite TV (0.1%) | | | | |
| 54,000 | | | Altice U.S.A., Inc., Class A(7) | | | 778,680 | |
Chemicals (0.1%) | | | | |
| 1,512 | | | Project Investor Holdings LLC(4),(5),(6),(7) | | | 15 | |
| 25,202 | | | Proppants Holdings LLC(4),(5),(6),(7) | | | 252 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Number of Shares | | | | | Value | |
| | | | | | |
COMMON STOCKS (continued) | | | | |
Chemicals (continued) | | | | |
| 6,341 | | | UTEX Industries, Inc.(7) | | $ | 336,073 | |
| | | | | | | 336,340 | |
Energy - Exploration & Production (0.0%) | | | | |
| 37,190 | | | PES Energy, Inc.(4),(5),(6),(7) | | | 372 | |
| | | | | | | | |
Investments & Misc. Financial Services (1.4%) | | | | |
| 7,000 | | | Accelerate Acquisition Corp.(7) | | | 67,830 | |
| 43,189 | | | ArcLight Clean Transition Corp. II(7) | | | 425,412 | |
| 48,000 | | | Ares Acquisition Corp.(7) | | | 466,560 | |
| 10,000 | | | Cartesian Growth Corp.(7) | | | 99,000 | |
| 49,770 | | | CC Neuberger Principal Holdings III(7) | | | 485,258 | |
| 80,000 | | | DHC Acquisition Corp.(7) | | | 774,800 | |
| 10,000 | | | EJF Acquisition Corp.(7) | | | 99,000 | |
| 90,953 | | | FTAC Hera Acquisition Corp.(7) | | | 884,063 | |
| 40,000 | | | Gores Holdings VII, Inc.(7) | | | 389,200 | |
| 19,603 | | | Gores Technology Partners, Inc.(7) | | | 192,109 | |
| 50,000 | | | Hudson Executive Investment Corp. III(7) | | | 485,500 | |
| 155,000 | | | KKR Acquisition Holdings I Corp.(7) | | | 1,505,050 | |
| 42,000 | | | Mason Industrial Technology, Inc.(7) | | | 408,240 | |
| 15,000 | | | Northern Star Investment Corp. IV(7) | | | 145,650 | |
| 30,000 | | | Pathfinder Acquisition Corp.(7) | | | 290,700 | |
| 10,000 | | | Pivotal Investment Corp. III(7) | | | 97,200 | |
| 12,000 | | | Target Global Acquisition I Corp.(7) | | | 119,880 | |
| 15,000 | | | Warburg Pincus Capital l Corp.(7) | | | 145,800 | |
| | | | | | | 7,081,252 | |
Metals & Mining - Excluding Steel (0.4%) | | | | |
| 1,100,000 | | | Taseko Mines Ltd.(7) | | | 2,101,745 | |
| | | | | | | | |
Pharmaceuticals (0.1%) | | | | |
| 37,299 | | | Akorn Holding Company LLC(7) | | | 337,257 | |
| | | | | | | | |
Private Placement (0.2%) | | | | |
| 279,199 | | | Technicolor S.A. EUR 27.0(7),(12) | | | 862,579 | |
| | | | | | | | |
Real Estate Investment Trusts (0.0%) | | | | |
| 6,400 | | | Global Net Lease, Inc.(7) | | | 91,776 | |
| | | | | | | | |
Support - Services (0.0%) | | | | |
| 87 | | | Sprint Industrial Holdings LLC, Class G(4),(5),(6),(7) | | | — | |
| 8 | | | Sprint Industrial Holdings LLC, Class H(4),(5),(6),(7) | | | — | |
| 19 | | | Sprint Industrial Holdings LLC, Class I(4),(5),(6),(7) | | | 100 | |
| | | | | | | 100 | |
TOTAL COMMON STOCKS (Cost $10,770,288) | | | 11,709,950 | |
| | | | |
WARRANTS (0.0%) | | | | |
Chemicals (0.0%) | | | | |
| 6,300 | | | Project Investor Holdings LLC, expires 02/20/2022(4),(5),(6),(7) | | | — | |
| | | | | | | | |
Investments & Misc. Financial Services (0.0%) | | | | |
| 2,333 | | | Accelerate Acquisition Corp. expires 12/31/2027(7) | | | 1,167 | |
| 8,537 | | | ArcLight Clean Transition Corp. II expires 02/04/2023(7) | | | 11,098 | |
| 8,200 | | | Ares Acquisition Corp. expires 12/31/2027(7) | | | 4,133 | |
| 3,333 | | | Cartesian Growth Corp. expires 12/31/2027(7) | | | 2,269 | |
| 9,954 | | | CC Neuberger Principal Holdings III expires 12/31/2027(7) | | | 7,495 | |
| 26,666 | | | DHC Acquisition Corp. expires 12/31/2027(7) | | | 11,202 | |
| 3,333 | | | EJF Acquisition Corp. expires 02/28/2027(7) | | | 3,700 | |
| 22,738 | | | FTAC Hera Acquisition Corp. expires 12/31/2027(7) | | | 12,504 | |
| 5,000 | | | Gores Holdings VII, Inc. expires 12/31/2027(7) | | | 4,500 | |
| 10,000 | | | Hudson Executive Investment Corp. III expires 12/31/2028(7) | | | 4,110 | |
| 38,750 | | | KKR Acquisition Holdings I Corp. expires 12/31/2027(7) | | | 32,542 | |
| 14,000 | | | Mason Industrial Technology, Inc. expires 12/31/2027(7) | | | 6,580 | |
| 2,500 | | | Northern Star Investment Corp. IV expires 12/31/2027(7) | | | 1,300 | |
| 6,000 | | | Pathfinder Acquisition Corp. expires 12/31/2027(7) | | | 2,940 | |
| 2,000 | | | Pivotal Investment Corp. III expires 12/31/2027(7) | | | 1,220 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Number of Shares | | | | | Value | |
| | | | | | |
WARRANTS (continued) | | | | |
Investments & Misc. Financial Services (continued) | | | | |
| 3,000 | | | Warburg Pincus Capital expires 02/17/2022(7) | | $ | 2,421 | |
| | | | | | | 109,181 | |
Recreation & Travel (0.0%) | | | | |
| 29,277 | | | Cineworld Group, expires 12/21/2025(7) | | | 4,480 | |
TOTAL WARRANTS (Cost $162,436) | | | 113,661 | |
| | | | |
SHORT-TERM INVESTMENTS (7.2%) | | | | |
| 31,885,637 | | | State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.03% | | | 31,885,637 | |
| 4,282,288 | | | State Street Navigator Securities Lending Government Money Market Portfolio, 0.05%(13) | | | 4,282,288 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $36,167,925) | | | 36,167,925 | |
TOTAL INVESTMENTS AT VALUE (103.1%) (Cost $528,271,089) | | | 522,445,111 | |
LIABILITIES IN EXCESS OF OTHER ASSETS (-3.1%) | | | (15,570,041 | ) |
NET ASSETS (100.0%) | | $ | 506,875,070 | |
† | | 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, 2022, these securities amounted to a value of $183,601,239 or 36.2% of net assets. |
(2) | | Security or portion thereof is out on loan. |
(3) | | Bond is currently in default. |
(4) | | Not readily marketable security; security is valued at fair value as determined in good faith by, or under the direction of, the Board of Trustees. |
(5) | | Illiquid security (unaudited). |
(6) | | Security is valued using significant unobservable inputs. |
(7) | | Non-income producing security. |
(8) | | Variable rate obligation - The interest rate shown is the rate in effect as of January 31, 2022. |
(9) | | The rates on certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The interest rate shown is the rate in effect as of January 31, 2022. |
(10) | | All or a portion is an unfunded loan commitment. |
(11) | | PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal. |
(12) | | Security is held through holdings of 100 shares of the CIG Special Purpose SPC— Credit Suisse Strategic Income Fund Segregated Portfolio, an affiliated entity. |
(13) | | Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at January 31, 2022. |
INVESTMENT ABBREVIATIONS |
|
| |
1M = 1 Month |
2M = 2 Month |
3M = 3 Month |
6M = 6 Month |
LIBOR = London Interbank Offered Rate |
NR = Not Rated |
Sarl - société à responsabilité limitée |
SOFR = Secured Overnight Financing Rate |
Forward Foreign Currency Contracts |
|
Forward Currency to be Purchased (Local) | | Forward Currency to be Sold (Local) | | Expiration Date | | Counterparty | | Value on Settlement Date | | | Current Value/Notional | | | Net Unrealized Appreciation | |
| | | | | | | | | | | | | | | |
GBP | | $ | 1,083 | | USD | | $ | 1,440 | | 10/12/22 | | Deutsche Bank AG | | $ | 1,440 | | | $ | 1,451 | | | $ | 11 | |
USD | | | 1,303,017 | | CAD | | | 1,639,000 | | 10/12/22 | | Deutsche Bank AG | | | (1,303,017 | ) | | | (1,287,087 | ) | | | 15,930 | |
USD | | | 2,699,447 | | CAD | | | 3,399,000 | | 10/12/22 | | Morgan Stanley | | | (2,699,447 | ) | | | (2,669,192 | ) | | | 30,255 | |
USD | | | 16,660 | | GBP | | | 12,267 | | 10/12/22 | | Deutsche Bank AG | | | (16,660 | ) | | | (16,438 | ) | | | 222 | |
USD | | | 2,401 | | GBP | | | 1,757 | | 10/12/22 | | Morgan Stanley | | | (2,401 | ) | | | (2,354 | ) | | | 47 | |
| | | | | | | | | | | | | | | | | | | | | | $ | 46,465 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2022 (unaudited)
Forward Foreign Currency Contracts |
Forward Currency to be Purchased (Local) | | Forward Currency to be Sold (Local) | | Expiration Date | | Counterparty | | Value on Settlement Date | | | Current Value/Notional | | | Net Unrealized Depreciation | |
CAD | | | 1,991,000 | | USD | | | 1,571,698 | | 10/12/22 | | Deutsche Bank AG | | $ | 1,571,698 | | | $ | 1,563,508 | | | $ | (8,190 | ) |
CAD | | | 440,000 | | USD | | | 347,244 | | 10/12/22 | | Morgan Stanley | | | 347,244 | | | | 345,527 | | | | (1,717 | ) |
GBP | | | 10,364 | | USD | | | 14,000 | | 10/12/22 | | Barclays Bank PLC | | | 14,000 | | | | 13,888 | | | | (112 | ) |
USD | | | 2,351 | | GBP | | | 1,757 | | 10/12/22 | | Barclays Bank PLC | | | (2,351 | ) | | | (2,354 | ) | | | (3 | ) |
| | | | | | | | | | | | | | | | | | | | | | $ | (10,022 | ) |
| | | | | | | | | | | | | | | | | | | | | | $ | 36,443 | |
Currency Abbreviations: |
|
| |
CAD = Canadian Dollar |
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, 2022 in valuing the Fund’s assets and liabilities carried at fair value:
Assets | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Corporate Bonds | | $ | — | | | $ | 170,976,830 | | | $ | 8,206 | | | $ | 170,985,036 | |
Bank Loans | | | — | | | | 252,287,440 | | | | 26,012,185 | | | | 278,299,625 | |
Asset Backed Securities | | | — | | | | 25,168,914 | | | | — | | | | 25,168,914 | |
Common Stocks | | | 10,053,453 | | | | 1,655,758 | | | | 739 | | | | 11,709,950 | |
Warrants | | | 109,181 | | | | 4,480 | | | | 0 | (1) | | | 113,661 | |
Short-term Investments | | | 31,885,637 | | | | 4,282,288 | | | | — | | | | 36,167,925 | |
| | $ | 42,048,271 | | | $ | 454,375,710 | | | $ | 26,021,130 | | | $ | 522,445,111 | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 46,465 | | | $ | — | | | $ | 46,465 | |
Liabilities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 10,022 | | | $ | — | | | $ | 10,022 | |
(1) | Included a zero valued security. |
* | Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts. |
The following is a reconciliation of investments as of January 31, 2022 for which significant unobservable inputs were used in determining fair value.
| | Corporate Bonds | | | Bank Loans | | | Common Stocks | | | Warrants | | | Total | |
Balance as of October 31, 2021 | | $ | 7,269 | | | $ | 24,133,804 | | | $ | 739 | | | $ | 0 | (1) | | $ | 24,141,812 | |
Accrued discounts (premiums) | | | - | | | | 26,153 | | | | - | | | | - | | | | 26,153 | |
Purchases | | | - | | | | 12,547,004 | | | | - | | | | - | | | | 12,547,004 | |
Sales | | | - | | | | (2,366,239 | ) | | | - | | | | - | | | | (2,366,239 | ) |
Realized gain (loss) | | | - | | | | 2,169 | | | | (14,993 | ) | | | - | | | | (12,824 | ) |
Change in unrealized appreciation (depreciation) | | | 937 | | | | (45,330 | ) | | | 14,993 | | | | - | | | | (29,400 | ) |
Transfers into Level 3 | | | - | | | | 3,807,574 | | | | - | | | | - | | | | 3,807,574 | |
Transfers out of Level 3 | | | - | | | | (12,092,950 | ) | | | - | | | | - | | | | (12,092,950 | ) |
Balance as of January 31, 2022 | | $ | 8,206 | | | $ | 26,012,185 | | | $ | 739 | | | $ | 0 | (1) | | $ | 26,021,130 | |
| | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) from investments still held as of January 31, 2022 | | $ | 937 | | | $ | 10,022 | | | $ | - | | | $ | - | | | $ | 10,959 | |
(1) Includes zero valued securities.
Quantitative Disclosure About Significant Unobservable Inputs
| | Fair Value | | | Valuation | | Unobservable | | Range |
Asset Class | | At 01/31/2022 | | | Technique | | Input | | (Weighted Average)* |
Corporate Bonds | | $ | 7,500 | | | Vendor Pricing | | Single Broker Quote | | $0.01 (N/A) |
| | | 706 | | | Income Approach | | Expected Remaining Distribution | | $0.01 (N/A) |
Bank Loans | | $ | 22,470,185 | | | Vendor Pricing | | Single Broker Quote | | $0.00 - $1.02 ($0.99) |
| | | 3,542,000 | | | Recent Transactions | | Trade Price | | $0.97 - $1.00 ($0.98) |
Common Stocks | | $ | 100 | | | Recent Transactions | | Trade Price | | $5.22 (N/A) |
| | | 639 | | | Income Approach | | Expected Remaining Distribution | | $0.00 - $0.01 ($0.01) |
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, 2022, $3,807,574 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $12,092,950 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.