Credit Suisse Managed Futures Strategy Fund
Consolidated Schedule of Investments
January 31, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | |
UNITED STATES TREASURY OBLIGATIONS (60.1%) | | | | | | | | | | | |
$ | 20,000 | | | United States Treasury Bills (1) | | (AA+, Aaa) | | 02/23/23 | | | 1.490 | | | $ | 19,945,744 | |
6,000 | | | United States Treasury Bills (1) | | (AA+, Aaa) | | 03/23/23 | | | 2.785 | | | 5,962,815 | |
16,200 | | | United States Treasury Bills (1) | | (AA+, Aaa) | | 04/20/23 | | | 2.221 | | | 16,041,150 | |
18,800 | | | United States Treasury Bills (1) | | (AA+, Aaa) | | 05/18/23 | | | 2.671 | | | 18,550,277 | |
13,400 | | | United States Treasury Bills (1) | | (AA+, Aaa) | | 06/15/23 | | | 2.993 | | | 13,175,259 | |
20,000 | | | United States Treasury Bills (1) | | (AA+, Aaa) | | 07/13/23 | | | 3.051 | | | 19,589,150 | |
57,500 | | | United States Treasury Bills (1) | | (AA+, Aaa) | | 08/10/23 | | | 3.387 | | | 56,104,534 | |
19,000 | | | United States Treasury Bills (1) | | (AA+, Aaa) | | 09/07/23 | | | 3.770 | | | 18,467,868 | |
19,000 | | | United States Treasury Bills (1) | | (NR, Aaa) | | 10/05/23 | | | 4.383 | | | 18,412,331 | |
19,000 | | | United States Treasury Bills (1) | | (AA+, Aaa) | | 11/02/23 | | | 4.470 | | | 18,351,383 | |
19,000 | | | United States Treasury Bills (1) | | (AA+, Aaa) | | 11/30/23 | | | 4.438 | | | 18,290,401 | |
21,000 | | | United States Treasury Bills (1) | | (AA+, Aaa) | | 12/28/23 | | | 4.440 | | | 20,142,733 | |
TOTAL UNITED STATES TREASURY OBLIGATIONS (Cost $243,970,044) | | | | | | | | | | 243,033,645 | |
Shares | | | | | |
| | | | | |
SHORT-TERM INVESTMENTS (22.3%) | | | | |
Short-Term Investment (22.3%) | | | | |
| 90,135,851 | | | State Street Institutional U.S. Government Money Market Fund - Premier Class, 4.18% (Cost $90,135,851) | | | 90,135,851 | |
TOTAL INVESTMENTS AT VALUE (82.4%) (Cost $334,105,895) | | | 333,169,496 | |
OTHER ASSETS IN EXCESS OF LIABILITIES (17.6%) | | | 71,222,757 | |
NET ASSETS(2) (100.0%) | | $ | 404,392,253 | |
| † | Credit ratings given by the S&P Global Ratings Division of S&P Global Inc. (“S&P”) and Moody’s Investors Service, Inc. ("Moody's") are unaudited. |
| (1) | Securities are zero coupon. Rate presented is cost yield as of January 31, 2023. |
| (2) | As of January 31, 2023, the Credit Suisse Managed Futures Strategy Fund held $69,453,741 in the wholly-owned subsidiary, Credit Suisse Cayman Managed Futures Strategy Fund, Ltd., representing 17.2% of the Fund’s consolidated net assets. |
Futures Contracts
Contract Description | | Currency | | Expiration Date | | Number of Contracts | | | Notional Value | | | Net Unrealized Appreciation (Depreciation) | |
| | | | | | | | | | | | | |
Contracts to Purchase |
Foreign Exchange Contracts | | | | | | | | | | | | | | | | |
AUD Currency Futures | | USD | | Mar 2023 | | | 616 | | | $ | 43,517,320 | | | $ | 197,262 | |
EUR Currency Futures | | USD | | Mar 2023 | | | 384 | | | | 52,284,000 | | | | 395,041 | |
GBP Currency Futures | | USD | | Mar 2023 | | | 236 | | | | 18,191,175 | | | | (14,166 | ) |
JPY Currency Futures | | USD | | Mar 2023 | | | 154 | | | | 14,867,738 | | | | (147,438 | ) |
| | | | | | | | | | | | | | $ | 430,699 | �� |
Index Contracts | | | | | | | | | | | | | | | | |
EURO Stoxx 50 Index Futures | | EUR | | Mar 2023 | | | 877 | | | | 39,727,347 | | | $ | 2,027,380 | |
FTSE 100 Index Futures | | GBP | | Mar 2023 | | | 582 | | | | 55,525,163 | | | | 1,816,148 | |
Hang Seng Index Futures | | HKD | | Feb 2023 | | | 136 | | | | 19,000,147 | | | | (188,733 | ) |
Nikkei 225 Index Futures OSE | | JPY | | Mar 2023 | | | 172 | | | | 36,107,501 | | | | (12,301 | ) |
S&P 500 E Mini Index Futures | | USD | | Mar 2023 | | | 60 | | | | 12,270,000 | | | | 292,979 | |
| | | | | | | | | | | | | | $ | 3,935,473 | |
Contracts to Sell | | | | | | | | | | | | | | | | |
Foreign Exchange Contracts | | | | | | | | | | | | | | | | |
CAD Currency Futures | | USD | | Mar 2023 | | | (312 | ) | | | (23,454,600 | ) | | $ | (483,856 | ) |
| | | | | | | | | | | | | | | | |
Interest Rate Contracts | | | | | | | | | | | | | | | | |
10YR Japanese Bond Futures | | JPY | | Mar 2023 | | | (183 | ) | | | (206,239,994 | ) | | $ | (525,789 | ) |
10YR U.S. Treasury Note Futures | | USD | | Mar 2023 | | | (196 | ) | | | (22,445,063 | ) | | | (184,474 | ) |
EURO Bund Futures | | EUR | | Mar 2023 | | | (235 | ) | | | (34,919,437 | ) | | | (10,917 | ) |
Long Gilt Futures | | GBP | | Mar 2023 | | | (58 | ) | | | (7,462,408 | ) | | | (298,715 | ) |
| | | | | | | | | | | | | | $ | (1,019,895 | ) |
| | | | | | | | | | | | | | $ | 2,862,421 | |
Credit Suisse Managed Futures Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2023 (unaudited)
Total Return Swap Contracts
Currency | | Notional Amount | | Expiration Date | | Counterparty | | Receive | | Pay | | Periodic Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Unrealized Appreciation | |
USD | | $ | 15,067,627 | | 04/24/23 | | Bank of America | | (0.03)% | | Bloomberg Energy Index | | At Maturity | | $ | — | | | $ | 1,123,018 | |
USD | | | 26,254,843 | | 04/24/23 | | Goldman Sachs | | Bloomberg Industrial Metals Index | | 0.10% | | At Maturity | | | — | | | | 277,489 | |
USD | | | 36,588,789 | | 04/24/23 | | Goldman Sachs | | Bloomberg Precious Metals Index | | 0.07% | | At Maturity | | | — | | | | 97,465 | |
| | | | | | | | | | | | | | | $ | — | | | $ | 1,497,972 | |
| | | | | | | | | | | | | | | | | | | | | |
Total Return Swap Contracts | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Currency | | Notional Amount | | Expiration Date | | Counterparty | | Receive | | Pay | | Periodic Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Unrealized Depreciation | |
USD | | $ | 1,865,123 | | 04/24/23 | | Bank of America | | (0.03)% | | Bloomberg Agriculture Index | | At Maturity | | $ | — | | | $ | (38,230 | ) |
| | | | | | | | | | | | | | | $ | — | | | $ | (38,230 | ) |
| | | | | | | | | | | | | | | $ | — | | | $ | 1,459,742 | |
Currency Abbreviations:
AUD = Australian Dollar
CAD = Canadian Dollar
EUR = Euro
GBP = British Pound
HKD = Hong Kong Dollar
JPY = Japanese Yen
USD = United States Dollar
SECURITY VALUATION — The Board of Trustees (the "Board") is responsible for the Fund's valuation process. The Board has delegated the supervision of the daily valuation process to Credit Suisse Asset Management, LLC, the Fund’s investment adviser (“Credit Suisse” or the “Adviser”), who has established a Pricing Committee and a Pricing Group, which, pursuant to the policies adopted by the Board, are 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. Investments in open-ended mutual funds are valued at the net asset value as reported on each business day and under normal circumstances. Securities for which market quotations are not readily available are valued at their fair value as determined in good faith by the Adviser, as the Board’s valuation designee (as defined in Rule 2a-5 under the 1940 Act), in accordance with the Adviser’s procedures. The Board oversees the Adviser in its role as valuation designee in accordance with the requirements of Rule 2a-5 under the 1940 Act. The 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 Group, in accordance with procedures established by the Adviser.
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, 2023 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 | | $ | — | | | $ | 243,033,645 | | | $ | — | | | $ | 243,033,645 | |
Short-term Investments | | | 90,135,851 | | | | — | | | | — | | | | 90,135,851 | |
| | $ | 90,135,851 | | | $ | 243,033,645 | | | $ | — | | | $ | 333,169,496 | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 4,728,810 | | | $ | — | | | $ | — | | | $ | 4,728,810 | |
Swap Contracts | | | — | | | | 1,497,972 | | | | — | | | | 1,497,972 | |
Liabilities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 1,866,389 | | | $ | — | | | $ | — | | | $ | 1,866,389 | |
Swap Contracts | | | — | | | | 38,230 | | | | — | | | | 38,230 | |
| * | Other financial instruments include unrealized appreciation (depreciation) on futures and swap contracts. |
During the period ended January 31, 2023, 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, 2023 (unaudited)
| | Shares | | | Value | |
COMMON STOCKS (25.7%) | | | | | | | | |
CANADA (3.4%) | | | | | | | | |
Capital Markets (0.1%) | | | | | | | | |
Onex Corp. | | | 5,402 | | | $ | 278,409 | |
| | | | | | | | |
Chemicals (0.1%) | | | | | | | | |
Nutrien Ltd. | | | 3,509 | | | | 289,640 | |
| | | | | | | | |
Insurance (0.1%) | | | | | | | | |
Fairfax Financial Holdings Ltd. | | | 451 | | | | 297,727 | |
| | | | | | | | |
IT Services (0.1%) | | | | | | | | |
Shopify, Inc., Class A(1) | | | 7,004 | | | | 344,177 | |
| | | | | | | | |
Leisure Equipment & Products (0.1%) | | | | | | | | |
BRP, Inc. | | | 3,425 | | | | 284,991 | |
| | | | | | | | |
Oil, Gas & Consumable Fuels (0.2%) | | | | | | | | |
ARC Resources Ltd. | | | 21,707 | | | | 251,501 | |
Imperial Oil Ltd. | | | 5,273 | | | | 287,371 | |
Suncor Energy, Inc. | | | 8,081 | | | | 279,672 | |
| | | | | | | 818,544 | |
Paper & Forest Products (0.1%) | | | | | | | | |
West Fraser Timber Co. Ltd. | | | 3,723 | | | | 322,789 | |
| | | | | | | | |
Real Estate Investment Trusts (1.0%) | | | | | | | | |
Summit Industrial Income REIT | | | 217,068 | | | | 3,722,049 | |
| | | | | | | | |
Road & Rail (0.1%) | | | | | | | | |
TFI International, Inc. | | | 2,527 | | | | 280,643 | |
| | | | | | | | |
Textiles, Apparel & Luxury Goods (0.1%) | | | | | | | | |
Gildan Activewear, Inc. | | | 8,698 | | | | 271,953 | |
| | | | | | | | |
Thrifts & Mortgage Finance (0.2%) | | | | | | | | |
Home Capital Group, Inc. | | | 27,775 | | | | 882,988 | |
| | | | | | | | |
Transportation Infrastructure/Services (1.2%) | | | | | | | | |
Atlas Corp.(2) | | | 284,671 | | | | 4,215,978 | |
| | | | | | | 12,009,888 | |
DENMARK (0.3%) | | | | | | | | |
Air Freight & Logistics (0.1%) | | | | | | | | |
DSV AS | | | 1,680 | | | | 277,634 | |
| | | | | | | | |
Healthcare Equipment & Supplies (0.1%) | | | | | | | | |
Demant AS(1) | | | 9,567 | | | | 270,530 | |
| | | | | | | | |
Marine (0.0%) | | | | | | | | |
AP Moller - Maersk AS, Class B | | | 118 | | | | 256,418 | |
| | | | | | | | |
Textiles, Apparel & Luxury Goods (0.1%) | | | | | | | | |
Pandora AS | | | 3,774 | | | | 313,939 | |
| | | | | | | 1,118,521 | |
FINLAND (0.2%) | | | | | | | | |
Banks (0.1%) | | | | | | | | |
Nordea Bank Abp | | | 24,796 | | | | 289,537 | |
| | | | | | | | |
Insurance (0.1%) | | | | | | | | |
Sampo Oyj, A Shares | | | 5,071 | | | | 265,955 | |
| | | | | | | 555,492 | |
GERMANY (0.2%) | | | | | | | | |
Media - Services (0.1%) | | | | | | | | |
Scout24 SE(3) | | | 4,952 | | | | 288,004 | |
| | | | | | | | |
Textiles, Apparel & Luxury Goods (0.1%) | | | | | | | | |
adidas AG | | | 1,717 | | | | 276,185 | |
| | | | | | | 564,189 | |
IRELAND (1.1%) | | | | | | | | |
Biotechnology (1.1%) | | | | | | | | |
Horizon Therapeutics PLC(1) | | | 33,276 | | | | 3,651,043 | |
| | | | | | | | |
ITALY (0.2%) | | | | | | | | |
Banks (0.1%) | | | | | | | | |
UniCredit SpA | | | 18,654 | | | | 363,965 | |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2023 (unaudited)
| | Shares | | | Value | |
COMMON STOCKS (continued) | | | | | | | | |
ITALY | | | | | | | | |
Healthcare Equipment & Supplies (0.1%) | | | | | | | | |
DiaSorin SpA | | | 1,899 | | | $ | 246,961 | |
| | | | | | | 610,926 | |
NETHERLANDS (0.3%) | | | | | | | | |
Banks (0.1%) | | | | | | | | |
ABN AMRO Bank NV(3) | | | 19,155 | | | | 317,604 | |
| | | | | | | | |
Chemicals (0.1%) | | | | | | | | |
Akzo Nobel NV | | | 3,957 | | | | 294,438 | |
| | | | | | | | |
Food & Staples Retailing (0.0%) | | | | | | | | |
Koninklijke Ahold Delhaize NV | | | 9,224 | | | | 275,030 | |
| | | | | | | | |
Insurance (0.1%) | | | | | | | | |
NN Group NV | | | 6,488 | | | | 281,606 | |
| | | | | | | 1,168,678 | |
SPAIN (0.2%) | | | | | | | | |
Banks (0.1%) | | | | | | | | |
Banco Bilbao Vizcaya Argentaria SA | | | 39,236 | | | | 276,874 | |
| | | | | | | | |
Construction & Engineering (0.0%) | | | | | | | | |
ACS Actividades de Construccion y Servicios SA | | | 8,826 | | | | 260,930 | |
| | | | | | | | |
Oil, Gas & Consumable Fuels (0.1%) | | | | | | | | |
Repsol SA | | | 16,353 | | | | 268,356 | |
| | | | | | | 806,160 | |
SWEDEN (0.1%) | | | | | | | | |
Household Durables (0.1%) | | | | | | | | |
Electrolux AB | | | 19,670 | | | | 278,278 | |
| | | | | | | | |
SWITZERLAND (0.2%) | | | | | | | | |
Capital Markets (0.1%) | | | | | | | | |
UBS Group AG | | | 12,791 | | | | 272,063 | |
| | | | | | | | |
Electrical Equipment (0.1%) | | | | | | | | |
ABB Ltd. | | | 7,984 | | | | 276,985 | |
| | | | | | | | |
Pharmaceuticals (0.0%) | | | | | | | | |
Roche Holding AG | | | 699 | | | | 254,957 | |
| | | | | | | 804,005 | |
UNITED KINGDOM (3.0%) | | | | | | | | |
Banks (0.3%) | | | | | | | | |
Barclays PLC | | | 136,343 | | | | 312,979 | |
Lloyds Banking Group PLC | | | 475,954 | | | | 309,309 | |
NatWest Group PLC | | | 81,497 | | | | 310,474 | |
Standard Chartered PLC | | | 34,725 | | | | 291,263 | |
| | | | | | | 1,224,025 | |
Biotechnology (1.3%) | | | | | | | | |
Myovant Sciences Ltd.(1) | | | 165,346 | | | | 4,444,501 | |
| | | | | | | | |
Capital Markets (0.1%) | | | | | | | | |
Abrdn PLC | | | 114,204 | | | | 300,367 | |
| | | | | | | | |
Chemicals (0.1%) | | | | | | | | |
Johnson Matthey PLC | | | 10,161 | | | | 283,422 | |
| | | | | | | | |
Diversified Consumer Services (0.1%) | | | | | | | | |
Pearson PLC | | | 23,012 | | | | 262,060 | |
| | | | | | | | |
Diversified Financials (0.1%) | | | | | | | | |
M&G PLC | | | 115,055 | | | | 286,921 | |
| | | | | | | | |
Food & Drug Retailing (0.1%) | | | | | | | | |
Tesco PLC | | | 96,401 | | | | 292,583 | |
| | | | | | | | |
Healthcare Technology (0.2%) | | | | | | | | |
EMIS Group PLC | | | 38,057 | | | | 879,880 | |
| | | | | | | | |
Hotels, Restaurants & Leisure (0.1%) | | | | | | | | |
InterContinental Hotels Group PLC | | | 4,556 | | | | 315,845 | |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2023 (unaudited)
| | Shares | | | Value | |
COMMON STOCKS (continued) | | | | | | | | |
UNITED KINGDOM | | | | | | | | |
Industrial Conglomerates (0.1%) | | | | | | | | |
Melrose Industries PLC | | | 160,692 | | | $ | 282,925 | |
Smiths Group PLC | | | 13,521 | | | | 288,223 | |
| | | | | | | 571,148 | |
Media (0.2%) | | | | | | | | |
Informa PLC | | | 34,882 | | | | 288,091 | |
WPP PLC | | | 26,351 | | | | 307,441 | |
| | | | | | | 595,532 | |
Oil, Gas & Consumable Fuels (0.1%) | | | | | | | | |
BP PLC | | | 45,511 | | | | 274,508 | |
| | | | | | | | |
Specialty Retail (0.1%) | | | | | | | | |
Kingfisher PLC | | | 91,542 | | | | 315,364 | |
| | | | | | | | |
Textiles, Apparel & Luxury Goods (0.1%) | | | | | | | | |
Burberry Group PLC | | | 10,647 | | | | 323,857 | |
| | | | | | | 10,370,013 | |
UNITED STATES (16.5%) | | | | | | | | |
Aerospace & Defense (2.0%) | | | | | | | | |
Aerojet Rocketdyne Holdings, Inc.(1) | | | 79,101 | | | | 4,423,328 | |
Maxar Technologies, Inc. | | | 51,339 | | | | 2,652,686 | |
| | | | | | | 7,076,014 | |
Air Freight & Logistics (1.3%) | | | | | | | | |
Atlas Air Worldwide Holdings, Inc.(1) | | | 44,840 | | | | 4,583,096 | |
| | | | | | | | |
Banks (0.2%) | | | | | | | | |
First Horizon Corp. | | | 25,446 | | | | 629,280 | |
| | | | | | | | |
Capital Markets (0.1%) | | | | | | | | |
Cowen, Inc., Class A | | | 5,289 | | | | 205,636 | |
| | | | | | | | |
Commercial Services & Supplies (1.1%) | | | | | | | | |
IAA, Inc.(1) | | | 97,194 | | | | 4,055,906 | |
| | | | | | | | |
Diversified Consumer Services (0.8%) | | | | | | | | |
Vivint Smart Home, Inc.(1) | | | 223,125 | | | | 2,673,037 | |
| | | | | | | | |
Entertainment (0.1%) | | | | | | | | |
Activision Blizzard, Inc. | | | 4,399 | | | | 336,831 | |
| | | | | | | | |
Food - Wholesale (0.0%) | | | | | | | | |
Fresh Market, Inc.(1),(4),(5) | | | 3,984 | | | | — | |
| | | | | | | | |
Gas Utilities (0.2%) | | | | | | | | |
South Jersey Industries, Inc. | | | 17,017 | | | | 614,144 | |
| | | | | | | | |
Healthcare Equipment & Supplies (0.8%) | | | | | | | | |
Meridian Bioscience, Inc.(1) | | | 79,221 | | | | 2,691,137 | |
| | | | | | | | |
Healthcare Providers & Services (2.9%) | | | | | | | | |
1Life Healthcare, Inc.(1) | | | 110,607 | | | | 1,768,606 | |
LHC Group, Inc.(1) | | | 26,103 | | | | 4,139,936 | |
Signify Health, Inc., Class A(1) | | | 154,368 | | | | 4,393,313 | |
| | | | | | | 10,301,855 | |
Household Durables (0.6%) | | | | | | | | |
iRobot Corp.(1) | | | 45,126 | | | | 2,030,670 | |
| | | | | | | | |
IT Services (1.1%) | | | | | | | | |
Evo Payments, Inc., Class A(1) | | | 29,901 | | | | 1,012,747 | |
MoneyGram International, Inc.(1) | | | 18,620 | | | | 200,537 | |
Paya Holdings, Inc.(1) | | | 273,320 | | | | 2,656,671 | |
| | | | | | | 3,869,955 | |
Machinery (1.1%) | | | | | | | | |
Altra Industrial Motion Corp. | | | 62,399 | | | | 3,810,707 | |
| | | | | | | | |
Media (1.0%) | | | | | | | | |
TEGNA, Inc. | | | 179,788 | | | | 3,583,175 | |
| | | | | | | | |
Real Estate (1.3%) | | | | | | | | |
STORE Capital Corp. | | | 139,683 | | | | 4,499,189 | |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2023 (unaudited)
| | Shares | | | Value | |
COMMON STOCKS (continued) | | | | | | | | |
UNITED STATES | | | | | | | | |
Software (1.9%) | | | | | | | | |
Coupa Software, Inc.(1) | | | 56,171 | | | $ | 4,489,187 | |
ForgeRock, Inc., Class A(1),(2) | | | 117,727 | | | | 2,338,058 | |
| | | | | | | 6,827,245 | |
| | | | | | | 57,787,877 | |
TOTAL COMMON STOCKS (Cost $89,835,413) | | | | | | | 89,725,070 | |
| | | | | | | | |
EXCHANGE-TRADED FUNDS (18.8%) | | | | | | | | |
UNITED STATES (18.8%) | | | | | | | | |
Diversified Financial Services (9.1%) | | | | | | | | |
Industrial Select Sector SPDR Fund | | | 57,569 | | | | 5,863,403 | |
SPDR S&P 500 ETF Trust | | | 64,398 | | | | 26,176,499 | |
| | | | | | | 32,039,902 | |
Energy - Integrated (8.9%) | | | | | | | | |
Alerian MLP ETF(2) | | | 556,204 | | | | 22,465,080 | |
Energy Select Sector SPDR Fund | | | 95,743 | | | | 8,610,168 | |
| | | | | | | 31,075,248 | |
Health Care (0.8%) | | | | | | | | |
Health Care Select Sector SPDR Fund | | | 21,068 | | | | 2,809,628 | |
TOTAL EXCHANGE-TRADED FUNDS (Cost $64,328,716) | | | | | | | 65,924,778 | |
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | |
CONVERTIBLE BOND (0.1%) | | | | | | | | | | | | | |
NETHERLANDS (0.1%) | | | | | | | | | | | | | |
$ | 21,886 | | | BNP Paribas Emissions- und Handelsgesellschaft mbH (Cost $297,929) | | (NR,NR) | | 06/22/23 | | | | 18.000 | | | | 316,594 | |
UNITED STATES TREASURY OBLIGATIONS (23.9%) | | | | | | | | | | | | | |
| 6,400 | | | United States Treasury Bills (6) | | (AA+, Aaa) | | 02/23/23 | | | | 2.497 | | | | 6,382,638 | |
| 9,700 | | | United States Treasury Bills (6) | | (AA+, Aaa) | | 03/23/23 | | | | 4.142 | | | | 9,639,884 | |
| 6,400 | | | United States Treasury Bills (6) | | (AA+, Aaa) | | 04/20/23 | | | | 2.579 | | | | 6,337,245 | |
| 6,400 | | | United States Treasury Bills (6) | | (AA+, Aaa) | | 05/18/23 | | | | 2.581 | | | | 6,314,988 | |
| 9,700 | | | United States Treasury Bills (6) | | (AA+, Aaa) | | 06/15/23 | | | | 4.337 | | | | 9,537,314 | |
| 6,400 | | | United States Treasury Bills (6) | | (AA+, Aaa) | | 07/13/23 | | | | 3.107 | | | | 6,268,528 | |
| 9,700 | | | United States Treasury Bills (2),(6) | | (AA+, Aaa) | | 08/10/23 | | | | 4.246 | | | | 9,464,591 | |
| 6,400 | | | United States Treasury Bills (6) | | (AA+, Aaa) | | 09/07/23 | | | | 3.770 | | | | 6,220,756 | |
| 6,400 | | | United States Treasury Bills (6) | | (AA+, Aaa) | | 10/05/23 | | | | 4.383 | | | | 6,202,048 | |
| 6,400 | | | United States Treasury Bills (6) | | (AA+, Aaa) | | 11/02/23 | | | | 4.471 | | | | 6,181,518 | |
| 6,400 | | | United States Treasury Bills (6) | | (AA+, Aaa) | | 11/30/23 | | | | 4.411 | | | | 6,160,977 | |
| 5,000 | | | United States Treasury Bills (6) | | (AA+, Aaa) | | 12/28/23 | | | | 4.428 | | | | 4,795,889 | |
TOTAL UNITED STATES TREASURY OBLIGATIONS (Cost $83,691,362) | | | | | | | | 83,506,376 | |
| | Shares | | | Value | |
SHORT-TERM INVESTMENTS (17.2%) | | | | | | | | |
State Street Institutional U.S. Government Money Market Fund - Premier Class, 4.18% | | | 34,815,962 | | | | 34,815,962 | |
State Street Navigator Securities Lending Government Money Market Portfolio, 4.35%(7) | | | 25,449,120 | | | | 25,449,120 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $60,265,082) | | | | | | | 60,265,082 | |
TOTAL INVESTMENTS AT VALUE (85.7%) (Cost $298,418,502) | | | | | | | 299,737,900 | |
OTHER ASSETS IN EXCESS OF LIABILITIES (14.3%) | | | | | | | 50,009,213 | |
NET ASSETS(8) (100.0%) | | | | | | $ | 349,747,113 | |
| † | Credit ratings given by the Standard & Poor’s Division of the McGraw-Hill Companies, Inc. (“S&P”) and Moody’s Investors Service, Inc. (Moody's) are unaudited. |
| (1) | Non-income producing security. |
| (2) | Security or portion thereof is out on loan. |
| (3) | Security exempt from registration pursuant to Regulation S under the Securities act of 1933, as amended. Regulation S applies to securities offering that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
| (4) | Security is valued using significant unobservable inputs. |
| (5) | Not readily marketable security; security is valued at fair value as determined in good faith by, or under the direction of, the Board of Trustees. |
| (6) | Securities are zero coupon. Rate presented is cost yield as of January 31, 2023. |
| (7) | Represents security purchased with cash collateral received for securities on loan. |
| (8) | As of January 31, 2023, the Credit Suisse Multialternative Strategy Fund held $44,719,480 in the wholly-owned subsidiary, Credit Suisse Cayman Multialternative Strategy Fund, Ltd., representing 12.8% of the Fund’s consolidated net assets. |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2023 (unaudited)
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 2023 | | | 63 | | | $ | 4,292,663 | | | $ | 263,395 | |
Corn Futures | | USD | | May 2023 | | | 221 | | | | 7,486,375 | | | | (22,536 | ) |
Cotton No. 2 Futures | | USD | | May 2023 | | | 47 | | | | 2,043,325 | | | | (3,766 | ) |
Soybean Futures | | USD | | May 2023 | | | 101 | | | | 7,727,762 | | | | 125,834 | |
Soybean Meal Futures | | USD | | May 2023 | | | 97 | | | | 4,544,450 | | | | 76,255 | |
Soybean Oil Futures | | USD | | May 2023 | | | 112 | | | | 4,199,328 | | | | 97,150 | |
Sugar No. 11 Futures | | USD | | May 2023 | | | 158 | | | | 3,617,062 | | | | 144,290 | |
Wheat Futures | | USD | | May 2023 | | | 161 | | | | 6,202,525 | | | | 124,926 | |
| | | | | | | | | | | | | | $ | 805,548 | |
Energy | | | | | | | | | | | | | | | | |
Gasoline RBOB Futures | | USD | | May 2023 | | | 29 | | | | 3,307,601 | | | $ | (9,516 | ) |
Low Sulphur Gasoil Futures | | USD | | May 2023 | | | 42 | | | | 3,562,650 | | | | (48,392 | ) |
Natural Gas Futures | | USD | | May 2023 | | | 294 | | | | 8,358,420 | | | | (235,724 | ) |
NY Harbor ULSD Futures | | USD | | Apr 2023 | | | 22 | | | | 2,725,061 | | | | (17,351 | ) |
WTI Crude Futures | | USD | | Apr 2023 | | | 137 | | | | 10,875,060 | | | | (87,557 | ) |
| | | | | | | | | | | | | | $ | (398,540 | ) |
Foreign Exchange Contracts | | | | | | | | | | | | | | | | |
AUD Currency Futures | | USD | | Mar 2023 | | | 55 | | | | 3,885,475 | | | $ | 4,577 | |
EUR Currency Futures | | USD | | Mar 2023 | | | 34 | | | | 4,629,312 | | | | 3,102 | |
GBP Currency Futures | | USD | | Mar 2023 | | | 21 | | | | 1,618,706 | | | | (5,879 | ) |
JPY Currency Futures | | USD | | Mar 2023 | | | 14 | | | | 1,351,613 | | | | 3,070 | |
| | | | | | | | | | | | | | $ | 4,870 | |
Index Contracts | | | | | | | | | | | | | | | | |
EURO Stoxx 50 Index Dividend Futures | | EUR | | Dec 2023 | | | 1,225 | | | | 18,200,024 | | | $ | 221,957 | |
EURO Stoxx 50 Index Dividend Futures | | EUR | | Dec 2024 | | | 110 | | | | 1,516,017 | | | | 2,028 | |
FTSE 100 Index Futures | | GBP | | Mar 2023 | | | 52 | | | | 4,961,011 | | | | 11,236 | |
Hang Seng Index Futures | | HKD | | Feb 2023 | | | 12 | | | | 1,676,484 | | | | (49,734 | ) |
Nikkei 225 Index Futures OSE | | JPY | | Mar 2023 | | | 15 | | | | 3,148,910 | | | | (1,073 | ) |
| | | | | | | | | | | | | | $ | 184,414 | |
Industrial Metals | | | | | | | | | | | | | | | | |
LME Lead Future | | USD | | May 2023 | | | 22 | | | | 1,176,587 | | | $ | (19,060 | ) |
LME Nickel Futures | | USD | | Mar 2023 | | | 28 | | | | 5,081,328 | | | | 661,479 | |
LME Nickel Futures | | USD | | May 2023 | | | 21 | | | | 3,830,148 | | | | 115,269 | |
LME Primary Aluminum Futures | | USD | | Mar 2023 | | | 72 | | | | 4,731,300 | | | | 410,189 | |
LME Primary Aluminum Futures | | USD | | May 2023 | | | 93 | | | | 6,167,063 | | | | 26,190 | |
LME Zinc Futures | | USD | | Mar 2023 | | | 44 | | | | 3,738,636 | | | | 494,215 | |
LME Zinc Futures | | USD | | May 2023 | | | 50 | | | | 4,233,750 | | | | (59,061 | ) |
| | | | | | | | | | | | | | $ | 1,629,221 | |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2023 (unaudited)
Futures Contracts
Contract Description | | Currency | | Expiration Date | | Number of Contracts | | | Notional Value | | | Net Unrealized Appreciation (Depreciation) | |
Contracts to Purchase | | | | | | | | | | | | | | | | |
Interest Rate Contracts | | | | | | | | | | | | | | | | |
10YR AUD Bond Futures | | AUD | | Mar 2023 | | | 612 | | | $ | 51,933,031 | | | $ | 922,261 | |
10YR JGB Mini Futures | | JPY | | Mar 2023 | | | 300 | | | | 33,819,063 | | | | (103,307 | ) |
Long Gilt Futures | | GBP | | Mar 2023 | | | 399 | | | | 51,336,223 | | | | (463,759 | ) |
| | | | | | | | | | | | | | $ | 355,195 | |
Precious Metals | | | | | | | | | | | | | | | | |
Copper Futures | | USD | | May 2023 | | | 70 | | | | 7,410,375 | | | $ | (13,698 | ) |
Silver Futures | | USD | | May 2023 | | | 50 | | | | 6,010,250 | | | | 307 | |
| | | | | | | | | | | | | | $ | (13,391 | ) |
Contracts to Sell | | | | | | | | | | | | | | | | |
Agriculture | | | | | | | | | | | | | | | | |
Coffee "C" Futures | | USD | | Mar 2023 | | | (63 | ) | | | (4,293,844 | ) | | $ | (269,360 | ) |
Corn Futures | | USD | | Mar 2023 | | | (221 | ) | | | (7,511,238 | ) | | | 21,270 | |
Cotton No. 2 Futures | | USD | | Mar 2023 | | | (47 | ) | | | (2,026,170 | ) | | | 6,289 | |
Soybean Futures | | USD | | Mar 2023 | | | (101 | ) | | | (7,766,900 | ) | | | (132,216 | ) |
Soybean Meal Futures | | USD | | Mar 2023 | | | (97 | ) | | | (4,696,740 | ) | | | (85,395 | ) |
Soybean Oil Futures | | USD | | Mar 2023 | | | (112 | ) | | | (4,188,576 | ) | | | (99,745 | ) |
Sugar No. 11 Futures | | USD | | Mar 2023 | | | (158 | ) | | | (3,850,649 | ) | | | (145,618 | ) |
Wheat Futures | | USD | | Mar 2023 | | | (161 | ) | | | (6,128,063 | ) | | | (121,611 | ) |
| | | | | | | | | | | | | | $ | (826,386 | ) |
Energy | | | | | | | | | | | | | | | | |
Gasoline RBOB Futures | | USD | | Mar 2023 | | | (29 | ) | | | (3,126,362 | ) | | $ | 13,998 | |
Low Sulphur Gasoil Futures | | USD | | Mar 2023 | | | (42 | ) | | | (3,778,950 | ) | | | 79,451 | |
Natural Gas Futures | | USD | | Mar 2023 | | | (294 | ) | | | (7,890,960 | ) | | | 330,489 | |
NY Harbor ULSD Futures | | USD | | Mar 2023 | | | (22 | ) | | | (2,905,795 | ) | | | 43,345 | |
WTI Crude Futures | | USD | | Mar 2023 | | | (137 | ) | | | (10,805,190 | ) | | | 92,092 | |
| | | | | | | | | | | | | | $ | 559,375 | |
Foreign Exchange Contracts | | | | | | | | | | | | | | | | |
CAD Currency Futures | | USD | | Mar 2023 | | | (28 | ) | | | (2,104,900 | ) | | $ | (13,133 | ) |
| | | | | | | | | | | | | | | | |
Index Contracts | | | | | | | | | | | | | | | | |
EURO Stoxx 50 Index Futures | | EUR | | Mar 2023 | | | (202 | ) | | | (9,150,427 | ) | | $ | (24,342 | ) |
S&P 500 E Mini Index Futures | | USD | | Mar 2023 | | | (91 | ) | | | (18,609,500 | ) | | | (244,234 | ) |
Russell 2000 E-Mini Index Futures | | USD | | Mar 2023 | | | (241 | ) | | | (23,369,770 | ) | | | (1,187,610 | ) |
| | | | | | | | | | | | | | $ | (1,456,186 | ) |
Industrial Metals | | | | | | | | | | | | | | | | |
LME Lead Future | | USD | | Mar 2023 | | | (22 | ) | | | (1,173,012 | ) | | $ | 19,950 | |
LME Nickel Futures | | USD | | Mar 2023 | | | (49 | ) | | | (8,892,324 | ) | | | (220,496 | ) |
LME Primary Aluminum Futures | | USD | | Mar 2023 | | | (165 | ) | | | (10,842,563 | ) | | | (319,043 | ) |
LME Zinc Futures | | USD | | Mar 2023 | | | (94 | ) | | | (7,987,086 | ) | | | (103,584 | ) |
| | | | | | | | | | | | | | $ | (623,173 | ) |
Interest Rate Contracts | | | | | | | | | | | | | | | | |
10YR CAD Bond Futures | | CAD | | Mar 2023 | | | (550 | ) | | | (52,042,568 | ) | | $ | 423,987 | |
10YR U.S. Treasury Note Futures | | USD | | Mar 2023 | | | (473 | ) | | | (54,165,891 | ) | | | 33,159 | |
EURO Bund Futures | | EUR | | Mar 2023 | | | (372 | ) | | | (55,276,725 | ) | | | (1,183,409 | ) |
| | | | | | | | | | | | | | $ | (726,263 | ) |
Precious Metals | | | | | | | | | | | | | | | | |
Copper Futures | | USD | | Mar 2023 | | | (70 | ) | | | (7,395,500 | ) | | $ | 11,831 | |
Silver Futures | | USD | | Mar 2023 | | | (50 | ) | | | (5,959,000 | ) | | | 315 | |
| | | | | | | | | | | | | | $ | 12,146 | |
| | | | | | | | | | | | | | $ | (506,303 | ) |
Total Return Swap Contracts
Currency | | Notional Amount | | Expiration Date | | Counterparty | | Receive | | Pay | | Periodic Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Unrealized Appreciation | |
USD | | $ | 1,353,270 | | 04/24/23 | | Bank of America | | (0.03)% | | Bloomberg Energy Index | | At Maturity | | $ | — | | | $ | 100,862 | |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2023 (unaudited)
Total Return Swap Contracts (continued)
Currency | | Notional Amount | | Expiration Date | | Counterparty | | Receive | | Pay | | Periodic Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Unrealized Appreciation | |
USD | | $ | 43,314,412 | | 04/21/23 | | Barclays Bank PLC | | Shiller Barclays CAPE US Mid - Month Sector Market Hedged ER Index(b) | | 0.60% | | At Maturity | | | — | | | $ | 65,837 | |
USD | | | 17,000,000 | | 03/20/23 | | BNP Paribas | | iBoxx $ Liquid High Yield Index | | 4.30% | | At Maturity | | | — | | | | 43,415 | |
USD | | | 27,208,934 | | 04/21/23 | | BNP Paribas | | BNP Paribas Buy Write Call Gold Daily Index(b) | | 0.50% | | At Maturity | | | — | | | | 15,119 | |
USD | | | 18,126,145 | | 04/21/23 | | BNP Paribas | | BNP Paribas Equity Low VOL U.S. Index(b) | | 0.35% | | At Maturity | | | — | | | | 18,371 | |
USD | | | 44,099,520 | | 04/21/23 | | BNP Paribas | | BNP Paribas Dynamic Pre Roll Alpha ex Agriculture and Livestock Index(b) | | 0.08% | | At Maturity | | | — | | | | 37,884 | |
USD | | | 31,302,769 | | 04/21/23 | | BNP Paribas | | BNP Alpha Momentum ex-Agriculture and Livestock Net Index(b) | | 0.30% | | At Maturity | | | — | | | | 185,738 | |
USD | | | 17,510,846 | | 04/24/23 | | BNP Paribas | | BNP Equity Buyback USD Basket(b) | | 4.75% | | Monthly | | | — | | | | 415,056 | |
USD | | | 27,596,697 | | 04/24/23 | | BNP Paribas | | BNP Equity Momentum Thematic Basket(b) | | 4.75% | | At Maturity | | | — | | | | 829,662 | |
USD | | | 12,247,543 | | 04/24/23 | | BNP Paribas | | BNP CS Custom Long Basket(b) | | 4.75% | | Monthly | | | — | | | | 190,105 | |
USD | | | 1,119,247 | | 02/23/24 | | Citigroup | | Activison Blizzard, Inc. | | 4.65% | | Monthly | | | — | | | | 22,871 | |
USD | | | 2,125,822 | | 02/23/24 | | Citigroup | | First Horizon Corp. | | 4.65% | | Monthly | | | — | | | | 7,982 | |
USD | | | 1,261,618 | | 02/23/24 | | Citigroup | | (4.20)% | | Vanguard FTSE Emerging Market | | Monthly | | | — | | | | 15,833 | |
USD | | | 2,026,857 | | 02/26/24 | | Citigroup | | (4.20)% | | Vanguard FTSE Emerging Market | | Monthly | | | — | | | | 29,378 | |
USD | | | 815,529 | | 02/27/24 | | Citigroup | | (4.20)% | | Vanguard FTSE Emerging Market | | Monthly | | | — | | | | 13,159 | |
USD | | | 113,974 | | 02/09/23 | | Goldman Sachs | | Spirit Airlines, Inc. | | 4.79% | | Monthly | | | — | | | | 2,705 | |
USD | | | 123,509 | | 02/10/23 | | Goldman Sachs | | Spirit Airlines, Inc. | | 4.79% | | Monthly | | | — | | | | 2,932 | |
USD | | | 26,609 | | 02/24/23 | | Goldman Sachs | | Spirit Airlines, Inc. | | 4.79% | | Monthly | | | — | | | | 632 | |
USD | | | 20,940,308 | | 04/24/23 | | Goldman Sachs | | Goldman Sachs RP 112 Long Short Series SR Excess Return Strategy(b) | | (0.06)% | | At Maturity | | | — | | | | 529,592 | |
USD | | | 2,356,904 | | 04/24/23 | | Goldman Sachs | | Bloomberg Industrial Metals Index | | 0.10% | | At Maturity | | | — | | | | 26,074 | |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2023 (unaudited)
Total Return Swap Contracts (continued)
Currency | | Notional Amount | | Expiration Date | | Counterparty | | Receive | | Pay | | Periodic Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Unrealized Appreciation | |
USD | | $ | 3,286,210 | | 04/24/23 | | Goldman Sachs | | Bloomberg Precious Metals Index | | 0.07% | | At Maturity | | | — | | | $ | 8,754 | |
USD | | | 43,894,561 | | 04/24/23 | | Goldman Sachs | | Goldman Sachs Commodities Seasonality Index(b) | | 0.00% | | At Maturity | | | — | | | | 454,132 | |
USD | | | 41,521,804 | | 04/24/23 | | Goldman Sachs | | Goldman Sachs Tactical Factor Suite Value World Top USD Excess Return Strategy(b) | | 0.40% | | At Maturity | | | — | | | | 459,858 | |
USD | | | 43,942,422 | | 04/24/23 | | Goldman Sachs | | Goldman Sachs Commodity COT Strategy COT3(b) | | 0.00% | | At Maturity | | | — | | | | 224,789 | |
USD | | | 498,811 | | 07/26/23 | | Goldman Sachs | | Invesco FTSE RAFI Emerging Market ETF | | 4.79% | | Monthly | | | — | | | | 28,063 | |
USD | | | 1,404,042 | | 07/27/23 | | Goldman Sachs | | Invesco FTSE RAFI Emerging Market ETF | | 4.79% | | Monthly | | | — | | | | 78,992 | |
USD | | | 7,415 | | 10/25/23 | | Goldman Sachs | | Achillion Pharmaceuticals CVR | | 4.79% | | Monthly | | | — | | | | 0 | |
CAD | | | 3,119,631 | | 01/23/24 | | Goldman Sachs | | (4.47)% | | Ritchie Bros. Auctioneers (TOR) | | Monthly | | | — | | | | 72,342 | |
USD | | | 44,381,405 | | 04/19/23 | | JPMorgan Chase | | J.P. Morgan Helix 3 Index(a) | | 0.60% | | At Maturity | | | — | | | | 5,026 | |
USD | | | 44,137,076 | | 04/19/23 | | JPMorgan Chase | | J.P. Morgan Seasonal Spreads Portfolio Commodity Index(a) | | 0.60% | | At Maturity | | | — | | | | 357 | |
USD | | | 23,213,784 | | 04/24/23 | | Macquarie Bank Ltd. | | Macquarie WTI Intraday Mean Reversion(d) | | 0.15% | | At Maturity | | | — | | | | 251,756 | |
USD | | | 43,955,854 | | 04/19/23 | | Morgan Stanley | | Morgan Stanley LTC0 4% volatility target(b) | | 0.00% | | At Maturity | | | — | | | | 460,265 | |
USD | | | 44,054,182 | | 04/24/23 | | Societe Generale | | SGI Coda Index(b) | | 0.25% | | At Maturity | | | — | | | | 218,078 | |
| | | | | | | | | | | | | | | $ | — | | | $ | 4,815,619 | |
Total Return Swap Contracts
Currency | | Notional Amount | | Expiration Date | | Counterparty | | Receive | | Pay | | Periodic Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Unrealized Depreciation | |
USD | | $ | 35,201,105 | | 04/21/23 | | Bank of America | | Bank of America Equities US Volatility Carry Hourly Hedged Index(b) | | 0.00% | | At Maturity | | $ | — | | | $ | (109,337 | ) |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2023 (unaudited)
Total Return Swap Contracts (continued)
Currency | | Notional Amount | | Expiration Date | | Counterparty | | Receive | | Pay | | Periodic Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Unrealized Depreciation | |
USD | | $ | 165,790 | | 04/24/23 | | Bank of America | | (0.03)% | | Bloomberg Agriculture Index | | At Maturity | | | — | | | $ | (3,398 | ) |
USD | | | 44,095,528 | | 04/21/23 | | Barclays Bank PLC | | Barclays Month End Rebalancing Currency Index ER(b) | | 0.20% | | At Maturity | | | — | | | | (117,266 | ) |
EUR | | | 44,310,154 | | 04/21/23 | | BNP Paribas | | BNP Paribas Equity Low VOL Europe Index(b) | | 0.00% | | At Maturity | | | — | | | | (271,347 | ) |
USD | | | 16,705,334 | | 04/21/23 | | BNP Paribas | | BNP Paribas VOLA Index ER(b) | | 0.35% | | At Maturity | | | — | | | | (21,992 | ) |
USD | | | 12,944,916 | | 04/24/23 | | BNP Paribas | | (3.70)% | | BNP CS Custom Short Basket(b) | | Monthly | | | — | | | | (370,872 | ) |
USD | | | 687,075 | | 02/23/24 | | Citigroup | | Moneygram International, Inc. | | 4.65% | | Monthly | | | — | | | | (7,068 | ) |
USD | | | 38,233,766 | | 04/24/23 | | Citigroup | | Citi Equity US Tech Congestion Index Series 1(e) | | 0.00% | | At Maturity | | | — | | | | (52,200 | ) |
USD | | | 880,941 | | 02/23/24 | | Citigroup | | Invesco FTSE RAFI Emerging Market ETF | | 4.65% | | Monthly | | | — | | | | (12,527 | ) |
USD | | | 2,414,661 | | 02/26/24 | | Citigroup | | Invesco FTSE RAFI Emerging Market ETF | | 4.65% | | Monthly | | | — | | | | (40,061 | ) |
USD | | | 818,285 | | 02/27/24 | | Citigroup | | Invesco FTSE RAFI Emerging Market ETF | | 4.65% | | Monthly | | | — | | | | (13,985 | ) |
USD | | | 1,609,600 | | 02/29/24 | | Citigroup | | Invesco FTSE RAFI Emerging Market ETF | | 4.65% | | Monthly | | | — | | | | (1,001 | ) |
USD | | | 1,602,289 | | 02/29/24 | | Citigroup | | (4.20)% | | Vanguard FTSE Emerging Market | | Monthly | | | — | | | | (2,451 | ) |
USD | | | 255,866 | | 03/02/23 | | Goldman Sachs | | Tegna, Inc. | | 4.79% | | Monthly | | | — | | | | (11,524 | ) |
USD | | | 2,330,664 | | 04/24/23 | | Goldman Sachs | | Goldman Sachs RP 110 Long Short Series SR Excess Return Strategy(b) | | (0.06)% | | At Maturity | | | — | | | | (24,846 | ) |
USD | | | 43,255,072 | | 04/24/23 | | Goldman Sachs | | Goldman Sachs DISP U.S. Index(b) | | 0.00% | | At Maturity | | | — | | | | (223,047 | ) |
USD | | | 44,237,359 | | 04/24/23 | | Goldman Sachs | | Goldman Sachs VVOL Carry ER(b) | | 0.00% | | At Maturity | | | — | | | | (358,604 | ) |
USD | | | 44,078,826 | | 04/24/23 | | Goldman Sachs | | Goldman Sachs Commodity Strategy Index(b) | | 0.00% | | At Maturity | | | — | | | | (2,161 | ) |
USD | | | 1,843,725 | | 07/26/23 | | Goldman Sachs | | (4.04)% | | Vanguard FTSE Emerging Market | | Monthly | | | — | | | | (88,298 | ) |
USD | | | 57,065 | | 08/04/23 | | Goldman Sachs | | (4.04)% | | Vanguard FTSE Emerging Market | | Monthly | | | — | | | | (2,733 | ) |
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)
January 31, 2023 (unaudited)
Total Return Swap Contracts (continued)
Currency | | Notional Amount | | Expiration Date | | Counterparty | | Receive | | Pay | | Periodic Payment Frequency | | Upfront Premiums Paid/ (Received) | | | Unrealized Depreciation | |
CAD | | | 21,358 | | 11/09/23 | | Goldman Sachs | | (4.78)% | | Ritchie Bros. Auctioneers (TOR) | | Monthly | | | — | | | $ | (802 | ) |
USD | | $ | 17,962,406 | | 04/19/23 | | JPMorgan Chase | | J.P. Morgan Equities Turn-of the Month Seasonality Index(b) | | 0.00% | | At Maturity | | | — | | | | (266,700 | ) |
USD | | | 44,085,480 | | 04/19/23 | | JPMorgan Chase | | J.P. Morgan Commodities Fundamental Value Index(b) | | 0.80% | | At Maturity | | | — | | | | (936,298 | ) |
USD | | | 24,060,000 | | 04/24/23 | | JPMorgan Chase | | J.P. Morgan EMBI Global Core(a) | | 5.00% | | At Maturity | | | — | | | | (427,886 | ) |
USD | | | 44,068,183 | | 04/19/23 | | Morgan Stanley | | Morgan Stanley Soy Dynamic Congestion Index(b) | | 0.25% | | At Maturity | | | — | | | | (7,678 | ) |
USD | | | 44,066,241 | | 04/19/23 | | Morgan Stanley | | Morgan Stanley Commodities Curve Carry Index(b) | | 0.35% | | At Maturity | | | — | | | | (54,025 | ) |
USD | | | 38,480,539 | | 04/24/23 | | Societe Generale | | SGI VRR US Index - Vol Roll on Rates (USD - Excess Return)(b) | | 0.25% | | At Maturity | | | — | | | | (50,213 | ) |
USD | | | 44,121,105 | | 04/24/23 | | Societe Generale | | SG US Trend Index(c) | | 0.30% | | At Maturity | | | — | | | | (35,602 | ) |
| | | | | | | | | | | | | | | $ | — | | | $ | (3,513,922 | ) |
| | | | | | | | | | | | | | | $ | — | | | $ | 1,301,697 | |
(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 Nasdaq Global Index.
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 $537,000 was 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 and a Pricing Group, which, pursuant to the policies adopted by the Board, are 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. Investments in open-ended mutual funds are valued at the net asset value as reported on each business day and under normal circumstances. Securities for which market quotations are not readily available are valued at their fair value as determined in good faith by the Adviser, as the Board’s valuation designee (as defined in Rule 2a-5 under the 1940 Act), in accordance with the Adviser’s procedures. The Board oversees the Adviser in its role as valuation designee in accordance with the requirements of Rule 2a-5 under the 1940 Act. The 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 Group, in accordance with procedures established by the Adviser.
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, 2023 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 | | $ | 78,773,189 | | | $ | 10,951,881 | | | $ | 0 | 1 | | $ | 89,725,070 | |
Exchange-traded Funds | | | 65,924,778 | | | | — | | | | — | | | | 65,924,778 | |
Convertible Bond | | | — | | | | 316,594 | | | | — | | | | 316,594 | |
United States Treasury Obligations | | | — | | | | 83,506,376 | | | | — | | | | 83,506,376 | |
Short-term Investments | | | 60,265,082 | | | | — | | | | — | | | | 60,265,082 | |
| | $ | 204,963,049 | | | $ | 94,774,851 | | | $ | 0 | | | $ | 299,737,900 | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 4,783,906 | | | $ | — | | | $ | — | | | $ | 4,783,906 | |
Swap Contracts | | | — | | | | 4,815,619 | | | | 0 | 1 | | | 4,815,619 | |
Liabilities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 5,290,209 | | | $ | — | | | $ | — | | | $ | 5,290,209 | |
Swap Contracts | | | — | | | | 3,513,922 | | | | — | | | | 3,513,922 | |
| 1 | Included a zero valued security. |
| * | Other financial instruments include unrealized appreciation (depreciation) on futures and swap contracts. |
During the period ended January 31, 2023, 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, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (81.3%) | |
Advertising (1.0%) | |
$ | 21,097 | | | MH Sub I, LLC (1st Lien Term Loan), LIBOR 1M + 3.750%(1) | | (B, B2) | | 09/13/24 | | | 8.320 | | | $ | 20,900,619 | |
| 4,775 | | | MH Sub I, LLC (Incremental Term Loan), LIBOR 1M + 3.750%(1) | | (B, B2) | | 09/13/24 | | | 8.320 | | | | 4,732,819 | |
| | | | | | | | | | | | | | | 25,633,438 | |
Aerospace & Defense (1.7%) | | | | | | | | | | | | |
| 4,750 | | | Amentum Government Services Holdings LLC, LIBOR 3M + 8.750%, LIBOR 6M + 8.750%(1) | | (NR, NR) | | 01/31/28 | | | 13.901 | | | | 4,417,500 | |
| 6,000 | | | Amentum Government Services Holdings LLC, SOFR 3M + 7.500%(1) | | (NR, NR) | | 02/15/30 | | | 12.178 | | | | 5,580,000 | |
| 2,731 | | | Amentum Government Services Holdings LLC, SOFR 3M + 4.000%(1),(2) | | (B, B1) | | 02/15/29 | | | 7.558 - 8.764 | | | | 2,698,528 | |
| 4,349 | | | Brown Group Holding, LLC, SOFR 1M + 3.750%, SOFR 3M + 3.750%(1) | | (B+, B1) | | 07/02/29 | | | 8.311 - 8.426 | | | | 4,356,775 | |
| 6,227 | | | Brown Group Holding, LLC, LIBOR 1M + 2.500%(1) | | (B+, B1) | | 06/07/28 | | | 7.047 | | | | 6,207,006 | |
| 2,310 | | | Fly Funding II Sarl, LIBOR 3M + 1.750%(1) | | (CCC+, B3) | | 08/11/25 | | | 6.310 | | | | 2,006,276 | |
| 7,836 | | | KKR Apple Bidco, LLC, LIBOR 1M + 2.750%(1) | | (B+, B1) | | 09/23/28 | | | 7.320 | | | | 7,819,620 | |
| 7,862 | | | Peraton Corp., LIBOR 1M + 3.750%(1) | | (B+, B1) | | 02/01/28 | | | 8.320 | | | | 7,834,515 | |
| | | | | | | | | | | | | | | 40,920,220 | |
Air Transportation (0.1%) | | | | | | | | | | | | |
| 2,618 | | | United Airlines, Inc., LIBOR 3M + 3.750%(1) | | (BB-, Ba1) | | 04/21/28 | | | 8.568 | | | | 2,623,221 | |
| | | | | | | | | | | | | | | | |
Auto Parts & Equipment (2.5%) | | | | | | | | | | | | |
| 1,503 | | | American Axle & Manufacturing, Inc., SOFR 1M + 3.600%(1) | | (BB+, Ba1) | | 12/13/29 | | | 8.033 | | | | 1,505,475 | |
| 13,802 | | | Autokiniton U.S. Holdings, Inc., LIBOR 1M + 4.500%(1) | | (B, B2) | | 04/06/28 | | | 8.959 | | | | 13,750,585 | |
| 3,039 | | | CWGS Group, LLC, LIBOR 1M + 2.500%(1) | | (BB-, Ba3) | | 06/03/28 | | | 6.923 - 7.070 | | | | 2,840,611 | |
| 7,296 | | | Dealer Tire Financial LLC, SOFR 1M + 4.500%(1) | | (B-, B1) | | 12/14/27 | | | 9.061 | | | | 7,316,983 | |
| 2,079 | | | Jason Group, Inc., LIBOR 1M + 1.000% Cash, 9.000% PIK(1),(3) | | (NR, WR) | | 03/02/26 | | | 14.570 | | | | 2,047,349 | |
| 2,722 | | | Jason Group, Inc., LIBOR 1M + 2.000% Cash, 4.000% PIK(1),(3) | | (NR, WR) | | 08/28/25 | | | 10.570 | | | | 2,290,231 | |
| 8,871 | | | Les Schwab Tire Centers, LIBOR 3M + 3.250%(1),(2) | | (B, B2) | | 11/02/27 | | | 6.580 | | | | 8,859,660 | |
| 2,694 | | | PAI Holdco, Inc., LIBOR 3M + 3.750%(1) | | (B-, B3) | | 10/28/27 | | | 8.575 | | | | 2,485,190 | |
| 6,170 | | | RVR Dealership Holdings LLC, SOFR 1M + 3.750%(1) | | (BB-, B1) | | 02/08/28 | | | 8.553 | | | | 5,593,715 | |
| 6,952 | | | TI Group Automotive Systems LLC, EURIBOR 1M + 3.250%(1),(2),(4) | | (BB+, Ba3) | | 12/16/26 | | | 5.452 | | | | 7,494,114 | |
| 9,449 | | | U.S. Farathane LLC, LIBOR 3M + 4.250%(1) | | (CCC+, B2) | | 12/23/24 | | | 8.980 | | | | 8,787,734 | |
| | | | | | | | | | | | | | | 62,971,647 | |
Banking (0.1%) | | | | | | | | | | | | |
| 2,686 | | | Citco Group Ltd. (The), SOFR 3M + 3.500%(1),(2) | | (BB-, Ba2) | | 04/19/28 | | | 8.169 | | | | 2,691,195 | |
| | | | | | | | | | | | | | | | |
Building & Construction (0.7%) | | | | | | | | | | | | |
| 6,616 | | | Latham Pool Products, Inc., SOFR 3M + 3.750%(1),(2) | | (BB-, B1) | | 02/23/29 | | | 8.220 | | | | 6,318,137 | |
| 4,658 | | | MX Holdings U.S., Inc., LIBOR 1M + 2.500%(1) | | (BB-, Ba3) | | 07/31/25 | | | 7.047 | | | | 4,670,129 | |
| 2,187 | | | Pike Corp., LIBOR 1M + 3.000%(1) | | (B, Ba3) | | 01/21/28 | | | 7.570 | | | | 2,182,650 | |
| 3,035 | | | Service Logic Acquisition, Inc., LIBOR 1M + 4.000%, LIBOR 3M + 4.000%(1) | | (B, B2) | | 10/29/27 | | | 7.688 - 8.735 | | | | 2,970,305 | |
| | | | | | | | | | | | | | | 16,141,221 | |
Building Materials (2.2%) | | | | | | | | | | | | |
| 5,768 | | | Core & Main LP, LIBOR 1M + 2.500%, LIBOR 6M + 2.500%(1) | | (B+, B1) | | 07/27/28 | | | 7.017 - 7.608 | | | | 5,765,455 | |
| 17,831 | | | Cornerstone Building Brands, Inc., LIBOR 1M + 3.250%(1) | | (B, B2) | | 04/12/28 | | | 7.709 | | | | 16,741,127 | |
| 3,652 | | | Cornerstone Building Brands, Inc., SOFR 1M + 5.625%(1) | | (B, B2) | | 08/01/28 | | | 10.103 | | | | 3,533,599 | |
| 586 | | | CPG International, Inc., SOFR 1M + 2.500%(1) | | (BB-, B1) | | 04/28/29 | | | 7.161 | | | | 585,372 | |
| 1,655 | | | LBM Acquisition LLC, LIBOR 6M + 3.750%(1) | | (B-, B3) | | 12/17/27 | | | 8.852 | | | | 1,501,072 | |
| 7,526 | | | Oscar AcquisitionCo, LLC, SOFR 3M + 4.500%(1) | | (B, B1) | | 04/29/29 | | | 9.180 | | | | 7,308,397 | |
| 5,826 | | | Park River Holdings, Inc., LIBOR 3M + 3.250%(1) | | (B-, B2) | | 12/28/27 | | | 8.004 | | | | 5,313,809 | |
| 13,058 | | | SRS Distribution, Inc., LIBOR 1M + 3.500%(1) | | (B-, B3) | | 06/02/28 | | | 8.070 | | | | 12,621,607 | |
| 2,004 | | | SRS Distribution, Inc., SOFR 1M + 3.500%(1) | | (B-, B3) | | 06/02/28 | | | 8.161 | | | | 1,936,505 | |
| | | | | | | | | | | | | | | 55,306,943 | |
Cable & Satellite TV (0.6%) | | | | | | | | | | | | |
| 8,970 | | | CSC Holdings LLC, LIBOR 1M + 2.250%(1) | | (B+, B1) | | 07/17/25 | | | 6.709 | | | | 8,678,573 | |
| 7,000 | | | Ziggo B.V., EURIBOR 6M + 3.000%(1),(4) | | (B+, B1) | | 01/31/29 | | | 3.764 | | | | 7,214,744 | |
| | | | | | | | | | | | | | | 15,893,317 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | |
Chemicals (4.1%) | |
$ | 11,699 | | | Ascend Performance Materials Operations LLC, SOFR 6M + 4.750%(1) | | (BB-, Ba3) | | 08/27/26 | | | 8.831 | | | $ | 11,561,096 | |
| 4,000 | | | CeramTec AcquiCo GmbH, EURIBOR 3M + 3.750%(1),(4) | | (B, B2) | | 03/16/29 | | | 5.704 | | | | 4,192,153 | |
| 2,149 | | | CPC Acquisition Corp., LIBOR 3M + 7.750%(1) | | (CCC, Caa3) | | 12/29/28 | | | 12.480 | | | | 1,332,579 | |
| 3,930 | | | CPC Acquisition Corp., LIBOR 3M + 3.750%(1),(2) | | (B-, Caa1) | | 12/29/27 | | | 8.480 | | | | 3,252,075 | |
| 2,385 | | | Eastman Chemical Co., LIBOR 1M + 5.250%(1) | | (B, B2) | | 11/01/28 | | | 9.926 | | | | 2,096,243 | |
| 1,305 | | | Flint Group GmbH, EURIBOR 3M + 4.250%(1),(4) | | (CCC, Caa1) | | 09/21/23 | | | 6.667 | | | | 950,274 | |
| 1,089 | | | Flint Group GmbH, LIBOR 3M + 4.250% Cash, 0.750% PIK(1),(3) | | (CCC, Caa1) | | 09/21/23 | | | 9.816 | | | | 738,292 | |
| 6,589 | | | Flint Group U.S. LLC, LIBOR 3M + 4.250% Cash, 0.750% PIK(1),(3) | | (CCC, Caa1) | | 09/21/23 | | | 9.816 | | | | 4,466,057 | |
| 13,282 | | | Hexion Holdings Corp., SOFR 3M + 4.500%(1) | | (B, B2) | | 03/15/29 | | | 8.934 | | | | 12,036,531 | |
| 995 | | | Lonza Group AG, LIBOR 3M + 4.000%(1) | | (B-, B2) | | 07/03/28 | | | 8.730 | | | | 959,470 | |
| 8,681 | | | Luxembourg Investment Co. 428 Sarl, SOFR 3M + 5.000%(1) | | (B-, B2) | | 01/03/29 | | | 9.730 | | | | 6,959,190 | |
| 327 | | | New Arclin U.S. Holding Corp.(5) | | (B, B2) | | 09/30/28 | | | 1.000 | | | | 293,484 | |
| 2,215 | | | New Arclin U.S. Holding Corp., LIBOR 1M + 3.750%(1) | | (B, B2) | | 09/30/28 | | | 8.320 | | | | 1,990,264 | |
| 10,212 | | | PMHC II, Inc., SOFR 3M + 4.250%(1) | | (B-, B3) | | 04/23/29 | | | 9.076 | | | | 8,988,646 | |
| 7,218 | | | Polar U.S. Borrower LLC, LIBOR 6M + 4.750%(1) | | (B-, B3) | | 10/15/25 | | | 9.021 | | | | 5,982,193 | |
| 8,273 | | | Ravago Holdings America, Inc., LIBOR 3M + 2.500%(1) | | (NR, B1) | | 03/04/28 | | | 7.230 | | | | 8,189,924 | |
| 4,069 | | | RelaDyne, Inc., SOFR 1M + 4.250%(1),(2) | | (B, B2) | | 12/22/28 | | | 8.811 | | | | 4,053,990 | |
| 3,993 | | | RelaDyne, Inc.(2),(6) | | (B, B2) | | 12/22/28 | | | 0.000 | | | | 3,980,890 | |
| 2,977 | | | Vantage Specialty Chemicals, Inc., LIBOR 3M + 3.500%(1) | | (B-, B3) | | 10/28/24 | | | 8.230 - 8.325 | | | | 2,948,909 | |
| 3,978 | | | Vantage Specialty Chemicals, Inc., LIBOR 3M + 8.250%(1),(7) | | (CCC, Caa2) | | 10/27/25 | | | 12.985 | | | | 3,745,161 | |
| 4,010 | | | Vantage Specialty Chemicals, Inc., SOFR 3M + 3.500%(1) | | (B-, B3) | | 10/28/24 | | | 8.326 | | | | 3,972,332 | |
| 9,291 | | | Zep, Inc., LIBOR 3M + 4.000%(1) | | (CCC+, B3) | | 08/12/24 | | | 8.580 | | | | 7,804,668 | |
| 2,198 | | | Zep, Inc., LIBOR 3M + 8.250%(1),(7) | | (CCC-, Caa3) | | 08/11/25 | | | 12.980 | | | | 1,428,818 | |
| | | | | | | | | | | | | | | 101,923,239 | |
Diversified Capital Goods (1.7%) | | | | | | | | | | | | |
| 9,661 | | | Callaway Golf Co., LIBOR 1M + 4.500%(1) | | (B+, B1) | | 01/02/26 | | | 9.070 | | | | 9,685,408 | |
| 7,270 | | | DexKo Global, Inc., LIBOR 3M + 3.750%(1) | | (B-, B2) | | 10/04/28 | | | 8.480 | | | | 6,742,147 | |
| 11,399 | | | Dynacast International LLC, LIBOR 3M + 4.500%(1) | | (B-, B2) | | 07/22/25 | | | 9.199 | | | | 10,330,678 | |
| 1,359 | | | Dynacast International LLC, LIBOR 3M + 9.000%(1),(2) | | (CCC, Caa2) | | 10/22/25 | | | 13.699 | | | | 1,101,163 | |
| 3,777 | | | Electrical Components International, Inc., LIBOR 1M + 4.250%(1) | | (B-, B2) | | 06/26/25 | | | 8.820 | | | | 3,419,787 | |
| 4,936 | | | Electrical Components International, Inc., PRIME + 7.500%(1),(2) | | (B-, B2) | | 06/26/25 | | | 15.000 | | | | 4,472,848 | |
| 6,613 | | | Filtration Group Corp., LIBOR 1M + 3.500%(1) | | (B, B3) | | 10/21/28 | | | 8.070 | | | | 6,591,148 | |
| | | | | | | | | | | | | | | 42,343,179 | |
Electronics (1.7%) | | | | | | | | | | | | |
| 21 | | | Bright Bidco B.V., SOFR 3M + 8.000%(1) | | (NR, NR) | | 10/31/27 | | | 13.676 | | | | 19,175 | |
| 3,980 | | | Escape Velocity Holdings, Inc., LIBOR 3M + 4.250%(1) | | (B, B3) | | 10/08/28 | | | 8.980 | | | | 3,825,793 | |
| 12,057 | | | Idemia Group, LIBOR 3M + 4.500%(1),(2) | | (B, B3) | | 01/09/26 | | | 9.230 | | | | 12,026,545 | |
| 7,000 | | | Idemia Identity & Security France SAS, EURIBOR 3M + 4.250%(1),(4) | | (B, B3) | | 01/10/26 | | | 6.452 | | | | 7,482,878 | |
| 6,602 | | | II-VI, Inc., LIBOR 1M + 2.750%(1) | | (BB-, Ba2) | | 07/02/29 | | | 7.320 | | | | 6,600,325 | |
| 3,103 | | | Infinite Bidco LLC, LIBOR 3M + 3.250%(1) | | (B-, B2) | | 03/02/28 | | | 7.980 | | | | 3,012,584 | |
| 1,548 | | | Infinite Bidco LLC, LIBOR 3M + 7.000%(1) | | (CCC, Caa2) | | 03/02/29 | | | 11.730 | | | | 1,400,595 | |
| 4,346 | | | MACOM Technology Solutions Holdings, Inc., LIBOR 1M + 2.250%(1) | | (BB, Ba1) | | 05/17/24 | | | 6.820 | | | | 4,341,189 | |
| 1,000 | | | MaxLinear, Inc.(2),(6) | | (BB, Ba3) | | 06/23/28 | | | 0.000 | | | | 998,750 | |
| 2,191 | | | Mirion Technologies, Inc., LIBOR 6M + 2.750%(1) | | (B, B1) | | 10/20/28 | | | 7.480 | | | | 2,186,387 | |
| 997 | | | Synaptics, Inc., LIBOR 6M + 2.250%(1) | | (BB-, Ba1) | | 12/02/28 | | | 7.399 | | | | 990,243 | |
| | | | | | | | | | | | | | | 42,884,464 | |
Energy - Exploration & Production (0.2%) | | | | | | | | | | | | |
| 3,996 | | | CQP Holdco LP, LIBOR 3M + 3.750%(1) | | (BB, B1) | | 06/05/28 | | | 8.480 | | | | 4,007,949 | |
| 662 | | | Oryx Midstream Services Permian Basin LLC(6) | | (BB-, Ba3) | | 10/05/28 | | | 0.000 | | | | 660,546 | |
| 15,555 | | | PES Holdings, LLC, 3.000% PIK(1),(3),(8) | | (NR, WR) | | 12/31/24 | | | 3.000 | | | | 456,926 | |
| | | | | | | | | | | | | | | 5,125,421 | |
Environmental (0.2%) | | | | | | | | | | | | |
| 2,208 | | | LRS Holdings, LLC, LIBOR 1M + 4.250%(1),(2) | | (B, B3) | | 08/31/28 | | | 8.820 | | | | 2,175,147 | |
| 3,870 | | | Patriot Container Corp., SOFR 1M + 3.750%(1) | | (CCC+, B2) | | 03/20/25 | | | 8.284 | | | | 3,599,753 | |
| | | | | | | | | | | | | | | 5,774,900 | |
Food & Drug Retailers (1.2%) | | | | | | | | | | | | |
| 10,019 | | | Packaging Coordinators Midco, Inc., LIBOR 3M + 3.500%(1) | | (B-, B2) | | 11/30/27 | | | 8.230 | | | | 9,852,035 | |
| 3,955 | | | Sharp Midco LLC, LIBOR 3M + 4.000%(1),(2) | | (B-, B2) | | 12/31/28 | | | 8.730 | | | | 3,890,768 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | |
Food & Drug Retailers(continued) | | | | | | | | | | | | |
$ | 14,846 | | | WOOF Holdings, Inc., LIBOR 1M + 3.750%(1),(2) | | (B-, B2) | | 12/21/27 | | | 8.258 | | | $ | 14,178,354 | |
| 2,923 | | | WOOF Holdings, Inc., LIBOR 1M + 7.250%(1) | | (CCC, Caa2) | | 12/21/28 | | | 11.758 | | | | 2,618,789 | |
| | | | | | | | | | | | | | | 30,539,946 | |
Food - Wholesale (1.0%) | | | | | | | | | | | | |
| 12,464 | | | AI Aqua Merger Sub, Inc., SOFR 1M + 3.750%(1) | | (B, B3) | | 07/31/28 | | | 8.147 | | | | 12,196,880 | |
| 3,791 | | | AI Aqua Merger Sub, Inc. (Term Loan B)(6) | | (B, B3) | | 07/31/28 | | | 0.000 | | | | 3,719,322 | |
| 746 | | | Chef's Warehouse Leasing Co., LLC (The), SOFR 1M + 4.750%(1) | | (B+, B2) | | 08/23/29 | | | 9.403 | | | | 744,316 | |
| 2,000 | | | Froneri International Ltd., EURIBOR 6M + 2.125%(1),(4) | | (B+, B1) | | 01/29/27 | | | 5.067 | | | | 2,076,734 | |
| 5,000 | | | Zara UK Midco Ltd., EURIBOR 6M + 5.500%(1),(2),(4),(7) | | (B, B2) | | 01/31/25 | | | 6.154 | | | | 4,982,254 | |
| | | | | | | | | | | | | | | 23,719,506 | |
Gaming (1.2%) | | | | | | | | | | | | |
| 4,954 | | | Caesars Resort Collection LLC, LIBOR 1M + 2.750%(1) | | (BB-, Ba3) | | 12/23/24 | | | 7.320 | | | | 4,955,854 | |
| 7,661 | | | CBAC Borrower LLC, LIBOR 1M + 4.000%(1),(7) | | (B-, Caa1) | | 07/08/24 | | | 8.570 | | | | 7,539,912 | |
| 11,259 | | | Fertitta Entertainment, LLC, SOFR 1M + 4.000%(1) | | (B, B2) | | 01/27/29 | | | 8.561 | | | | 11,146,751 | |
| 6,389 | | | Scientific Games International, Inc., SOFR 1M + 3.000%(1) | | (BB, Ba3) | | 04/14/29 | | | 7.578 | | | | 6,391,215 | |
| 655 | | | Stars Group Holdings B.V. (The), LIBOR 3M + 2.250%(1) | | (BBB-, Ba1) | | 07/21/26 | | | 6.980 | | | | 654,622 | |
| | | | | | | | | | | | | | | 30,688,354 | |
Gas Distribution (0.5%) | | | | | | | | | | | | |
| 3,973 | | | BCP Renaissance Parent LLC, SOFR 1M + 3.500%(1) | | (B+, B2) | | 10/31/26 | | | 8.061 | | | | 3,972,778 | |
| 7,529 | | | Traverse Midstream Partners LLC, SOFR 3M + 4.250%(1) | | (B+, B3) | | 09/27/24 | | | 8.800 | | | | 7,542,072 | |
| | | | | | | | | | | | | | | 11,514,850 | |
Health Facilities (1.1%) | | | | | | | | | | | | |
| 4,847 | | | Carestream Health, Inc., SOFR 3M + 7.500%(1) | | (B-, B3) | | 09/30/27 | | | 12.180 | | | | 3,546,681 | |
| 3,766 | | | EyeCare Partners, LLC, LIBOR 3M + 3.750%(1) | | (B-, B2) | | 02/18/27 | | | 8.480 | | | | 3,164,891 | |
| 10,955 | | | Insulet Corp., SOFR 3M + 3.250%(1) | | (B+, Ba3) | | 05/04/28 | | | 7.926 | | | | 10,960,565 | |
| 7,276 | | | Loire Finco Luxembourg Sarl, LIBOR 1M + 3.500%(1) | | (B, B3) | | 04/21/27 | | | 8.070 | | | | 6,899,765 | |
| 759 | | | Resonetics, LLC, LIBOR 6M + 4.000%(1),(2) | | (B-, B2) | | 04/28/28 | | | 9.102 | | | | 731,784 | |
| 901 | | | Surgery Center Holdings, Inc., LIBOR 3M + 3.750%(1) | | (B-, B1) | | 08/31/26 | | | 8.210 | | | | 900,949 | |
| | | | | | | | | | | | | | | 26,204,635 | |
Health Services (5.3%) | | | | | | | | | | | | |
| 13,906 | | | ADMI Corp., LIBOR 1M + 3.375%(1) | | (B, B3) | | 12/23/27 | | | 7.945 | | | | 12,853,041 | |
| 1,738 | | | Athenahealth, Inc.(5) | | (B-, B2) | | 02/15/29 | | | 3.500 | | | | 1,651,568 | |
| 14,181 | | | Athenahealth, Inc., SOFR 1M + 3.500%(1) | | (B-, B2) | | 02/15/29 | | | 7.810 - 8.012 | | | | 13,477,894 | |
| 395 | | | Confluent Health, LLC (Delayed Draw Term Loan), LIBOR 1M + 4.000%(1),(5) | | (B-, B3) | | 11/30/28 | | | 8.570 | | | | 342,770 | |
| 1,822 | | | Confluent Health, LLC (Term Loan B), LIBOR 1M + 4.000%(1) | | (B-, B3) | | 11/30/28 | | | 8.570 | | | | 1,581,786 | |
| 7,840 | | | KUEHG Corp., LIBOR 3M + 3.750%(1) | | (B-, B2) | | 02/21/25 | | | 8.480 | | | | 7,643,796 | |
| 6,798 | | | Learning Care Group, Inc., LIBOR 3M + 3.250%(1) | | (B-, B2) | | 03/13/25 | | | 7.980 - 8.075 | | | | 6,262,310 | |
| 4,236 | | | Learning Care Group, Inc., LIBOR 3M + 7.500%(1),(2) | | (CCC, Caa2) | | 03/13/26 | | | 12.192 | | | | 3,674,896 | |
| 4,741 | | | MedAssets Software Intermediate Holdings, Inc., LIBOR 1M + 6.750%(1) | | (CCC, Caa2) | | 12/17/29 | | | 11.320 | | | | 3,358,463 | |
| 3,000 | | | Pearl Intermediate Parent LLC, LIBOR 1M + 6.250%(1) | | (CCC, Caa2) | | 02/13/26 | | | 10.820 | | | | 2,721,255 | |
| 6,911 | | | PetVet Care Centers, LLC, LIBOR 1M + 3.500%(1) | | (B-, B2) | | 02/14/25 | | | 8.070 | | | | 6,577,272 | |
| 1,415 | | | PetVet Care Centers, LLC, SOFR 1M + 5.000%(1) | | (B-, B2) | | 02/14/25 | | | 9.500 | | | | 1,365,664 | |
| 4,367 | | | PointClickCare Technologies, Inc., SOFR 3M + 4.000%(1),(2) | | (B, B2) | | 12/29/27 | | | 8.580 | | | | 4,361,541 | |
| 5,828 | | | PointClickCare Technologies, Inc., LIBOR 6M + 3.000%(1) | | (B, B2) | | 12/29/27 | | | 7.750 | | | | 5,806,394 | |
| 15,517 | | | Radiology Partners, Inc., LIBOR 1M + 4.250%(1) | | (B-, B3) | | 07/09/25 | | | 8.797 | | | | 13,483,396 | |
| 704 | | | Signify Health LLC, LIBOR 3M + 3.000%(1),(2) | | (B+, B1) | | 06/22/28 | | | 7.730 | | | | 703,786 | |
| 2,200 | | | Southern Veterinary Partners LLC, LIBOR 1M + 7.750%(1),(2) | | (CCC, Caa2) | | 10/05/28 | | | 12.320 | | | | 2,024,000 | |
| 12,510 | | | Southern Veterinary Partners, LLC, LIBOR 1M + 4.000%(1) | | (B-, B2) | | 10/05/27 | | | 8.570 | | | | 12,103,235 | |
| 1,644 | | | TTF Holdings LLC, LIBOR 1M + 4.000%(1) | | (B+, B1) | | 03/31/28 | | | 8.625 | | | | 1,641,796 | |
| 21,166 | | | U.S. Radiology Specialists, Inc., LIBOR 1M + 5.250%(1) | | (B-, B3) | | 12/15/27 | | | 9.875 | | | | 20,266,829 | |
| 854 | | | Western Dental Services, Inc. (Delayed Draw Term Loan), LIBOR 3M + 4.500%(1) | | (B-, B3) | | 08/18/28 | | | 9.235 | | | | 806,335 | |
| 7,979 | | | Western Dental Services, Inc. (Term Loan B), LIBOR 3M + 4.500%(1) | | (B-, B3) | | 08/18/28 | | | 9.235 | | | | 7,530,647 | |
| 1,963 | | | Women's Care Enterprises LLC, LIBOR 3M + 4.500%(1) | | (B-, B2) | | 01/15/28 | | | 9.325 | | | | 1,844,838 | |
| | | | | | | | | | | | | | | 132,083,512 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | |
Hotels (0.3%) | |
$ | 5,000 | | | Compass III Ltd., EURIBOR 3M + 4.000%(1),(4) | | (B, B2) | | 05/09/25 | | | 6.005 | | | $ | 5,332,966 | |
| 3,000 | | | Compass IV Ltd., EURIBOR 3M + 8.000%(1),(4) | | (CCC, Caa2) | | 05/08/26 | | | 10.005 | | | | 3,038,225 | |
| | | | | | | | | | | | | | | 8,371,191 | |
Insurance Brokerage (3.8%) | | | | | | | | | | | | |
| 10,088 | | | Acrisure, LLC, LIBOR 1M + 3.500%(1) | | (B, B2) | | 02/15/27 | | | 8.070 | | | | 9,751,188 | |
| 1,873 | | | Acrisure, LLC, LIBOR 1M + 4.250%(1) | | (B, B2) | | 02/15/27 | | | 8.820 | | | | 1,828,490 | |
| 14,149 | | | Alliant Holdings Intermediate, LLC, LIBOR 1M + 3.500%(1) | | (B, B2) | | 11/06/27 | | | 8.008 | | | | 14,148,888 | |
| 3,252 | | | AssuredPartners, Inc., SOFR 1M + 3.500%(1) | | (B, B2) | | 02/12/27 | | | 8.061 | | | | 3,221,007 | |
| 4,893 | | | AssuredPartners, Inc. (2020 Term Loan B), LIBOR 1M + 3.500%(1) | | (B, B2) | | 02/12/27 | | | 8.070 | | | | 4,848,735 | |
| 2,799 | | | AssuredPartners, Inc. (2021 Term Loan B), LIBOR 1M + 3.500%(1) | | (B, B2) | | 02/12/27 | | | 8.070 | | | | 2,771,477 | |
| 21,150 | | | Hub International Ltd., LIBOR 3M + 3.000%(1) | | (B, B2) | | 04/25/25 | | | 7.689 - 7.818 | | | | 21,155,553 | |
| 8,429 | | | Hub International Ltd., LIBOR 3M + 3.250%(1) | | (B, B2) | | 04/25/25 | | | 7.949 - 8.058 | | | | 8,433,526 | |
| 5,305 | | | Hyperion Insurance Group Ltd., LIBOR 1M + 3.250%(1) | | (B, B2) | | 11/12/27 | | | 7.875 | | | | 5,302,345 | |
| 7,131 | | | Hyperion Insurance Group Ltd., EURIBOR 1M + 3.500%(1),(4) | | (B, B2) | | 11/12/27 | | | 5.688 | | | | 7,570,366 | |
| 8,896 | | | NFP Corp., LIBOR 1M + 3.250%(1) | | (B, B1) | | 02/15/27 | | | 7.820 | | | | 8,743,268 | |
| 2,687 | | | Ryan Specialty Group LLC, SOFR 1M + 3.000%(1) | | (BB-, B1) | | 09/01/27 | | | 7.661 | | | | 2,687,463 | |
| 3,274 | | | USI, Inc., SOFR 3M + 3.750%(1) | | (B, B1) | | 11/22/29 | | | 8.330 | | | | 3,278,749 | |
| | | | | | | | | | | | | | | 93,741,055 | |
Investments & Misc. Financial Services (5.2%) | | | | | | | | | | | | |
| 6,726 | | | AllSpring Buyer LLC, LIBOR 3M + 3.000%(1) | | (BB-, Ba2) | | 11/01/28 | | | 7.750 | | | | 6,719,050 | |
| 8,136 | | | Altisource Solutions Sarl, LIBOR 3M + 4.000%(1),(7) | | (CCC-, Caa2) | | 04/03/24 | | | 8.730 | | | | 6,622,388 | |
| 7,675 | | | Ankura Consulting Group, LLC, SOFR 1M + 4.500%(1) | | (B-, B2) | | 03/17/28 | | | 9.168 | | | | 7,489,365 | |
| 4,763 | | | AqGen Ascensus, Inc., LIBOR 3M + 6.500%(1) | | (CCC, Caa2) | | 08/02/29 | | | 11.313 | | | | 4,274,514 | |
| 13,434 | | | AqGen Island Holdings, Inc., LIBOR 3M + 3.500%(1) | | (B-, B2) | | 08/02/28 | | | 8.250 | | | | 13,047,676 | |
| 3,401 | | | Citadel Securities LP, SOFR 1M + 3.000%(1) | | (BBB-, Baa3) | | 02/02/28 | | | 7.676 | | | | 3,413,337 | |
| 11,643 | | | Cowen, Inc., LIBOR 6M + 3.250%(1) | | (BB-, B1) | | 03/24/28 | | | 7.433 | | | | 11,650,324 | |
| 5,445 | | | CTC Holdings, LP, SOFR 3M + 5.000%(1),(2) | | (B+, B1) | | 02/20/29 | | | 8.356 | | | | 5,309,204 | |
| 18,902 | | | Deerfield Dakota Holding LLC, SOFR 1M + 3.750% | | (B-, B2) | | 04/09/27 | | | 8.311 | | | | 18,331,924 | |
| 11,543 | | | Ditech Holding Corp.(2),(8),(9) | | (NR, WR) | | 06/30/22 | | | 0.000 | | | | 1,269,717 | |
| 1,209 | | | EIG Management Company, LLC, LIBOR 1M + 3.750%(1) | | (BB, Ba2) | | 02/22/25 | | | 8.320 | | | | 1,199,691 | |
| 13,466 | | | Galaxy US Opco, Inc., SOFR 1M + 4.750%(1) | | (B-, B3) | | 04/29/29 | | | 9.311 | | | | 12,304,786 | |
| 15,051 | | | Hudson River Trading LLC, SOFR 1M + 3.000%(1) | | (BB-, Ba3) | | 03/20/28 | | | 7.676 | | | | 14,656,160 | |
| 4,075 | | | Jane Street Group LLC, LIBOR 1M + 2.750%(1) | | (BB-, Ba2) | | 01/26/28 | | | 7.320 | | | | 4,067,235 | |
| 5,743 | | | Jump Financial, LLC, SOFR 3M + 4.500%(1),(2) | | (BB-, Ba2) | | 08/07/28 | | | 9.342 | | | | 5,599,361 | |
| 2,087 | | | Kestra Advisor Services Holdings A, Inc., LIBOR 3M + 4.250%(1) | | (B-, B2) | | 06/03/26 | | | 8.980 | | | | 2,049,643 | |
| 496 | | | KREF Holdings X LLC, LIBOR 1M + 3.500%(1),(2) | | (BB-, Ba2) | | 09/01/27 | | | 7.938 | | | | 487,556 | |
| 7,277 | | | Mariner Wealth Advisors LLC, SOFR 3M + 3.250%(1),(2) | | (B-, Ba3) | | 08/18/28 | | | 7.830 | | | | 7,203,996 | |
| 2,313 | | | Resolute Investment Managers, Inc., LIBOR 3M + 4.250%(1) | | (B, Ba3) | | 04/30/24 | | | 8.980 | | | | 1,850,008 | |
| | | | | | | | | | | | | | | 127,545,935 | |
Investments & Misc. Financial Services (0.3%) | | | | | | | | | | | | |
| 8,153 | | | VFH Parent LLC, SOFR 1M + 3.000%(1) | | (B+, Ba3) | | 01/13/29 | | | 7.612 | | | | 8,127,340 | |
| | | | | | | | | | | | | | | | |
Life Insurance (0.0%) | | | | | | | | | | | | |
| 1,049 | | | Vida Capital, Inc., LIBOR 1M + 6.000%(1) | | (CCC+, B2) | | 10/01/26 | | | 10.570 | | | | 818,359 | |
| | | | | | | | | | | | | | | | |
Machinery (2.7%) | | | | | | | | | | | | |
| 5,701 | | | 19th Holdings Golf, LLC, SOFR 1M + 3.000%(1),(2) | | (B, B1) | | 02/07/29 | | | 7.460 | | | | 5,402,029 | |
| 2,841 | | | Alloy Finco Ltd., SONIA + 6.750%(1),(10) | | (NR, Caa1) | | 03/06/24 | | | 10.178 | | | | 3,218,022 | |
| 3,347 | | | Alloy Finco Ltd., LIBOR 3M + 6.500%(1) | | (NR, Caa1) | | 03/06/24 | | | 11.325 | | | | 3,104,492 | |
| 4,238 | | | Alloy Finco Ltd. (GBP Holdco PIK Term Loan), 0.500% Cash, 13.500% PIK(1),(3),(10) | | (NR, NR) | | 03/06/25 | | | 14.000 | | | | 4,395,593 | |
| 4,600 | | | Alloy Finco Ltd. (USD Holdco PIK Term Loan), 0.500% Cash, 13.500% PIK(1),(3),(7) | | (NR, NR) | | 03/06/25 | | | 14.000 | | | | 3,760,766 | |
| 4,055 | | | AZZ, Inc., SOFR 1M + 4.250%(1) | | (B, Ba3) | | 05/13/29 | | | 8.911 | | | | 4,062,728 | |
| 6,466 | | | CMBF LLC, LIBOR 1M + 6.000%(1),(2) | | (B, B3) | | 08/02/28 | | | 10.459 | | | | 5,916,631 | |
| 10,367 | | | CPM Holdings, Inc., LIBOR 1M + 3.500%(1),(2) | | (B, B2) | | 11/17/25 | | | 7.869 | | | | 10,353,934 | |
| 1,578 | | | CPM Holdings, Inc., LIBOR 1M + 8.250%(1),(7) | | (B-, Caa2) | | 11/16/26 | | | 12.619 | | | | 1,557,895 | |
| 354 | | | Griffon Corp., SOFR 3M + 2.500%(1) | | (BB, Ba2) | | 01/24/29 | | | 7.009 | | | | 352,596 | |
| 3,696 | | | LTI Holdings, Inc., LIBOR 1M + 6.750%(1),(7) | | (CCC+, Caa2) | | 09/06/26 | | | 11.320 | | | | 3,079,091 | |
| 10,769 | | | LTI Holdings, Inc., LIBOR 1M + 3.500%(1) | | (B-, B2) | | 09/06/25 | | | 8.070 | | | | 10,450,879 | |
| 5,981 | | | LTI Holdings, Inc., LIBOR 1M + 4.750%(1) | | (B-, B2) | | 07/24/26 | | | 9.320 | | | | 5,835,989 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | |
Machinery (continued) | |
$ | 4,561 | | | Pro Mach Group, Inc., LIBOR 1M + 4.000%(1) | | (B-, B1) | | 08/31/28 | | | 8.570 | | | $ | 4,555,673 | |
| | | | | | | | | | | | | | | 66,046,318 | |
Media Content (0.4%) | | | | | | | | | | | | |
| 8,646 | | | Recorded Books, Inc., SOFR 1M + 4.000%(1) | | (B-, B3) | | 08/29/25 | | | 8.323 | | | | 8,622,601 | |
| | | | | | | | | | | | | | | | |
Medical Products (2.7%) | | | | | | | | | | | | |
| 7,297 | | | Artivion, Inc., SOFR 3M + 3.500%(1) | | (B, B2) | | 06/01/27 | | | 8.342 | | | | 6,947,797 | |
| 11,211 | | | Covetrus, Inc., SOFR 3M + 5.000%(1) | | (B-, B1) | | 10/13/29 | | | 9.580 | | | | 10,739,649 | |
| 3,670 | | | Femur Buyer, Inc., LIBOR 3M + 4.500%(1) | | (CCC+, Caa1) | | 03/05/26 | | | 9.230 | | | | 3,257,048 | |
| 7,165 | | | Femur Buyer, Inc., LIBOR 3M + 5.500%(1),(2) | | (CCC+, NR) | | 03/05/24 | | | 10.342 | | | | 6,066,080 | |
| 5,161 | | | Maravai Intermediate Holdings, LLC, SOFR 3M + 3.000%(1) | | (B+, B1) | | 10/19/27 | | | 7.633 | | | | 5,154,491 | |
| 15,113 | | | Medline Borrower LP, LIBOR 1M + 3.250%(1) | | (B+, B1) | | 10/23/28 | | | 7.820 | | | | 14,702,801 | |
| 16,276 | | | Sotera Health Holdings LLC, LIBOR 3M + 2.750%(1) | | (BB-, B1) | | 12/11/26 | | | 7.575 | | | | 15,716,859 | |
| 5,594 | | | Viant Medical Holdings, Inc., LIBOR 1M + 3.750%(1) | | (CCC+, B3) | | 07/02/25 | | | 8.320 | | | | 5,091,607 | |
| | | | | | | | | | | | | | | 67,676,332 | |
Metals & Mining - Excluding Steel (0.0%) | | | | | | | | | | | | |
| 6,745 | | | Noranda Aluminum Acquisition Corp.(2),(8),(9) | | (NR, WR) | | 02/28/19 | | | 0.000 | | | | 17,199 | |
| | | | | | | | | | | | | | | | |
Oil Refining & Marketing (0.5%) | | | | | | | | | | | | |
| 12,811 | | | EG Finco Ltd., EURIBOR 3M + 4.000%(1),(4) | | (B-, WR) | | 02/07/25 | | | 6.202 | | | | 12,973,748 | |
| | | | | | | | | | | | | | | | |
Packaging (2.1%) | | | | | | | | | | | | |
| 4,274 | | | Altium Packaging LLC, LIBOR 1M + 2.750%(1) | | (B+, B2) | | 02/03/28 | | | 7.320 | | | | 4,228,338 | |
| 3,818 | | | Anchor Glass Container Corp., LIBOR 3M + 2.750%(1) | | (CCC, Caa1) | | 12/07/23 | | | 7.480 - 7.562 | | | | 2,776,734 | |
| 2,058 | | | Anchor Glass Container Corp., LIBOR 3M + 7.750%(1),(7) | | (CC, Ca) | | 12/07/24 | | | 12.562 | | | | 597,833 | |
| 2,905 | | | Anchor Glass Container Corp., LIBOR 3M + 5.000%(1),(2) | | (CCC, Caa1) | | 12/07/23 | | | 9.730 | | | | 2,156,755 | |
| 3,033 | | | Chart Industries, Inc.(6) | | (B+, Ba3) | | 12/07/29 | | | 0.000 | | | | 3,044,043 | |
| 5,000 | | | Mauser Packaging Solutions Holding Co.(2),(6) | | (B, B2) | | 08/31/26 | | | 0.000 | | | | 4,966,400 | |
| 16,474 | | | Proampac PG Borrower LLC, LIBOR 3M + 3.750%(1) | | (B-, B3) | | 11/03/25 | | | 8.480 - 8.580 | | | | 16,152,446 | |
| 2,282 | | | Strategic Materials, Inc., LIBOR 3M + 3.750%(1),(7) | | (CCC, Caa3) | | 11/01/24 | | | 8.190 | | | | 1,783,625 | |
| 4,375 | | | Strategic Materials, Inc., LIBOR 3M + 7.750%(1),(7) | | (CC, C) | | 10/31/25 | | | 12.190 | | | | 1,159,375 | |
| 5,418 | | | Technimark Holdings LLC, LIBOR 1M + 3.750%(1) | | (B-, B2) | | 07/09/28 | | | 8.258 | | | | 5,207,572 | |
| 9,795 | | | TricorBraun Holdings, Inc., LIBOR 1M + 3.250%(1) | | (B-, B2) | | 03/03/28 | | | 7.820 | | | | 9,544,310 | |
| | | | | | | | | | | | | | | 51,617,431 | |
Personal & Household Products (2.5%) | | | | | | | | | | | | |
| 1,893 | | | ABG Intermediate Holdings 2 LLC, SOFR 1M + 6.000%(1) | | (CCC+, Caa1) | | 12/20/29 | | | 10.661 | | | | 1,752,262 | |
| 22,903 | | | ABG Intermediate Holdings 2 LLC, LIBOR 1M + 3.250%(1) | | (B, B1) | | 09/27/24 | | | 7.820 | | | | 22,905,186 | |
| 4,433 | | | ABG Intermediate Holdings 2 LLC, SOFR 1M + 3.500%(1) | | (B, B1) | | 12/21/28 | | | 8.161 | | | | 4,407,392 | |
| 2,073 | | | Anticimex International AB, LIBOR 3M + 4.000%(1) | | (B, B2) | | 11/16/28 | | | 8.735 | | | | 2,063,630 | |
| 1,633 | | | Anticimex International AB, LIBOR 3M + 3.500%(1) | | (B, B2) | | 11/16/28 | | | 8.235 | | | | 1,621,032 | |
| 2,929 | | | Fender Musical Instruments Corp., SOFR 1M + 4.000%(1),(2) | | (B-, B3) | | 12/01/28 | | | 8.578 | | | | 2,555,850 | |
| 8,000 | | | Keter Group B.V., EURIBOR 3M + 4.250%(1),(4) | | (B-, Caa1) | | 10/31/23 | | | 6.742 | | | | 6,594,582 | |
| 6,180 | | | Keter Group B.V., EURIBOR 3M + 4.250%(1),(4) | | (B-, Caa1) | | 10/31/23 | | | 6.204 | | | | 5,094,315 | |
| 4,352 | | | MajorDrive Holdings IV LLC, LIBOR 3M + 4.000%(1) | | (B, B2) | | 06/01/28 | | | 8.813 | | | | 4,223,367 | |
| 3,603 | | | Serta Simmons Bedding, LLC (First Out Term Loan)(8),(9) | | (D, WR) | | 08/10/23 | | | 0.000 | | | | 3,567,317 | |
| 6,403 | | | Serta Simmons Bedding, LLC (Second Out Term Loan)(8),(9) | | (D, WR) | | 08/10/23 | | | 0.000 | | | | 3,733,019 | |
| 2,729 | | | Spectrum Brands, Inc., LIBOR 1M + 2.000%, LIBOR 3M + 2.000%(1) | | (BB-, Ba1) | | 03/03/28 | | | 6.570 - 6.740 | | | | 2,727,461 | |
| | | | | | | | | | | | | | | 61,245,413 | |
Pharmaceuticals (1.5%) | | | | | | | | | | | | |
| 2,509 | | | Akorn, Inc., LIBOR 3M + 7.500%(1) | | (CCC+, Caa3) | | 10/01/25 | | | 12.254 | | | | 2,063,351 | |
| 6,523 | | | Alkermes, Inc., LIBOR 1M + 2.500%(1),(2) | | (BB, Ba3) | | 03/12/26 | | | 6.960 | | | | 6,359,993 | |
| 10,319 | | | Bausch Health Companies, Inc., SOFR 1M + 5.250%(1) | | (B-, Caa1) | | 02/01/27 | | | 9.828 | | | | 7,986,489 | |
| 9,261 | | | Certara, LP, LIBOR 1M + 3.500%(1) | | (B+, B1) | | 08/15/26 | | | 8.070 | | | | 9,215,061 | |
| 5,798 | | | Endo Luxembourg Finance Co. I Sarl(8),(9) | | (NR, WR) | | 03/27/28 | | | 0.000 | | | | 4,718,844 | |
| 6,917 | | | Jazz Financing Lux Sarl, LIBOR 1M + 3.500%(1) | | (BB-, Ba2) | | 05/05/28 | | | 8.070 | | | | 6,918,087 | |
| | | | | | | | | | | | | | | 37,261,825 | |
Real Estate Development & Management (0.3%) | | | | | | | | | | | | |
| 6,411 | | | BIFM CA Buyer, Inc., LIBOR 1M + 3.500%(1) | | (B, B2) | | 06/01/26 | | | 8.047 | | | | 6,314,777 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | |
Real Estate Investment Trusts (0.5%) | | | | | | | | | | | | |
$ | 8,939 | | | Claros Mortgage Trust, Inc., SOFR 1M + 4.500%(1) | | (B+, Ba3) | | 08/09/26 | | | 9.078 | | | $ | 8,882,842 | |
| 3,539 | | | Starwood Property Trust, Inc., LIBOR 1M + 3.250%(1),(2) | | (BB, Ba2) | | 07/26/26 | | | 7.820 | | | | 3,530,313 | |
| | | | | | | | | | | | | | | 12,413,155 | |
Recreation & Travel (1.8%) | | | | | | | | | | | | |
| 7,028 | | | Alterra Mountain Co., LIBOR 1M + 3.500%(1) | | (B+, B1) | | 08/17/28 | | | 8.070 | | | | 7,023,708 | |
| 2,154 | | | Bulldog Purchaser, Inc., LIBOR 1M + 7.750%(1) | | (CCC-, Caa3) | | 09/04/26 | | | 12.411 | | | | 1,882,828 | |
| 6,960 | | | Bulldog Purchaser, Inc., SOFR 1M + 3.750%(1) | | (B-, B3) | | 09/05/25 | | | 8.411 | | | | 6,398,725 | |
| 1,249 | | | Crown Finance U.S., Inc.(8),(9) | | (D, WR) | | 02/28/25 | | | 0.000 | | | | 218,883 | |
| 4,728 | | | Crown Finance U.S., Inc.(8),(9) | | (D, WR) | | 09/30/26 | | | 0.000 | | | | 777,827 | |
| 5,435 | | | Crown Finance U.S., Inc., SOFR 3M + 10.000%(1) | | (NR, WR) | | 09/07/23 | | | 14.593 - 14.635 | | | | 5,498,456 | |
| 7,836 | | | Hornblower Sub LLC, LIBOR 3M + 4.500%(1) | | (CCC-, Caa2) | | 04/27/25 | | | 8.670 | | | | 5,313,512 | |
| 5,773 | | | Hornblower Sub LLC, LIBOR 3M + 8.125%(1) | | (NR, NR) | | 11/10/25 | | | 12.755 | | | | 5,820,132 | |
| 2,000 | | | Hornblower Sub LLC, LIBOR 3M + 8.125%(1) | | (NR, NR) | | 11/10/25 | | | 12.769 | | | | 2,016,260 | |
| 2,000 | | | Hornblower Sub, LLC, LIBOR 3M + 8.125%(1) | | (NR, NR) | | 11/20/25 | | | 12.755 - 12.800 | | | | 2,016,260 | |
| 3,980 | | | Richmond UK Bidco Ltd., SONIA + 4.250%(1),(10) | | (B-, B3) | | 03/03/24 | | | 7.797 | | | | 4,446,604 | |
| 1,980 | | | SeaWorld Parks & Entertainment, Inc., LIBOR 1M + 3.000%(1) | | (BB, Ba3) | | 08/25/28 | | | 7.625 | | | | 1,978,217 | |
| | | | | | | | | | | | | | | 43,391,412 | |
Restaurants (1.9%) | | | | | | | | | | | | |
| 4,893 | | | Flynn Restaurant Group LP, LIBOR 1M + 4.250%(1) | | (B, B2) | | 12/01/28 | | | 8.820 | | | | 4,779,523 | |
| 6,544 | | | Fogo De Chao, Inc., LIBOR 1M + 4.250%(1),(7) | | (B-, Caa1) | | 04/07/25 | | | 8.820 | | | | 6,296,654 | |
| 9,587 | | | IRB Holding Corp., LIBOR 1M + 2.750%(1) | | (B+, B2) | | 02/05/25 | | | 7.320 | | | | 9,585,601 | |
| 5,869 | | | IRB Holding Corp., SOFR 3M + 3.000%(1) | | (B+, B2) | | 12/15/27 | | | 7.687 | | | | 5,820,538 | |
| 1,529 | | | K-Mac Holdings Corp., LIBOR 1M + 6.750%(1) | | (CCC, Caa2) | | 07/30/29 | | | 11.320 | | | | 1,391,390 | |
| 1,028 | | | K-Mac Holdings Corp., LIBOR 1M + 3.500%(1) | | (B-, B2) | | 07/21/28 | | | 8.070 | | | | 1,000,318 | |
| 6,883 | | | Miller's Ale House, Inc., LIBOR 3M + 4.750%, PRIME + 3.750%(1),(7) | | (B-, B3) | | 05/30/25 | | | 9.480 - 11.250 | | | | 6,734,911 | |
| 6,811 | | | Tacala LLC, LIBOR 1M + 3.500%(1) | | (B-, B2) | | 02/05/27 | | | 8.070 | | | | 6,629,313 | |
| 4,931 | | | Whatabrands LLC, LIBOR 1M + 3.250%(1) | | (B, B2) | | 08/03/28 | | | 7.820 | | | | 4,888,714 | |
| | | | | | | | | | | | | | | 47,126,962 | |
Software - Services (17.6%) | | | | | | | | | | | | |
| 14,767 | | | Applied Systems, Inc., SOFR 3M + 4.500%(1) | | (B-, B2) | | 09/18/26 | | | 9.080 | | | | 14,826,968 | |
| 3,712 | | | AQA Acquisition Holding, Inc., LIBOR 3M + 4.250%(1) | | (B-, B2) | | 03/03/28 | | | 8.985 | | | | 3,591,661 | |
| 10,758 | | | Aston FinCo Sarl, LIBOR 1M + 4.250%(1),(2) | | (B-, B3) | | 10/09/26 | | | 8.820 | | | | 9,278,648 | |
| 8,837 | | | Astra Acquisition Corp., LIBOR 1M + 5.250%(1) | | (B, B1) | | 10/25/28 | | | 9.820 | | | | 7,835,107 | |
| 1,628 | | | Camelot U.S. Acquisition LLC, LIBOR 1M + 3.000%(1) | | (B, B1) | | 10/30/26 | | | 7.517 | | | | 1,628,515 | |
| 5,668 | | | Cardinal Parent, Inc., LIBOR 3M + 4.500%(1) | | (B-, B2) | | 11/12/27 | | | 9.230 | | | | 5,048,919 | |
| 16,585 | | | Ceridian HCM Holding, Inc., LIBOR 1M + 2.500%(1) | | (B+, B1) | | 04/30/25 | | | 7.070 | | | | 16,535,419 | |
| 2,758 | | | CommerceHub, Inc., SOFR 3M + 7.000%(1) | | (CCC, Caa2) | | 12/29/28 | | | 11.777 | | | | 2,230,214 | |
| 6,792 | | | CommerceHub, Inc., SOFR 3M + 4.000%(1) | | (B, B2) | | 12/29/27 | | | 8.777 | | | | 6,493,483 | |
| 8,897 | | | ConnectWise, LLC, LIBOR 1M + 3.500%(1) | | (NR, B2) | | 09/29/28 | | | 8.070 | | | | 8,596,798 | |
| 9,562 | | | Corel Corp., LIBOR 3M + 5.000%(1) | | (B-, B2) | | 07/02/26 | | | 9.735 | | | | 9,030,256 | |
| 4,775 | | | Cornerstone On Demand, Inc., LIBOR 1M + 3.750%(1) | | (B-, B2) | | 10/16/28 | | | 8.320 | | | | 4,411,316 | |
| 5,829 | | | DCert Buyer, Inc., SOFR 6M + 4.000%(1) | | (B-, B2) | | 10/16/26 | | | 8.696 | | | | 5,770,313 | |
| 2,083 | | | DCert Buyer, Inc., LIBOR 6M + 7.000%(1) | | (CCC, Caa2) | | 02/19/29 | | | 11.696 | | | | 1,918,980 | |
| 9,136 | | | E2open, LLC, LIBOR 1M + 3.500%(1) | | (B, B2) | | 02/04/28 | | | 7.884 | | | | 9,144,374 | |
| 5,025 | | | EAB Global, Inc., LIBOR 1M + 3.500%(1) | | (B-, B2) | | 08/16/28 | | | 8.070 | | | | 4,865,588 | |
| 5,419 | | | Endure Digital, Inc., LIBOR 1M + 3.500%(1) | | (B, B2) | | 02/10/28 | | | 7.884 | | | | 5,128,615 | |
| 2,580 | | | Epicor Software Corp., LIBOR 1M + 7.750%(1) | | (CCC, Caa2) | | 07/31/28 | | | 12.320 | | | | 2,581,071 | |
| 5,639 | | | Epicor Software Corp., LIBOR 1M + 3.250%(1) | | (B-, B2) | | 07/30/27 | | | 7.820 | | | | 5,547,884 | |
| 3,456 | | | EverCommerce, Inc., LIBOR 1M + 3.250%(1) | | (B+, B1) | | 07/06/28 | | | 7.820 | | | | 3,450,323 | |
| 18,022 | | | Finastra U.S.A., Inc., LIBOR 3M + 3.500%(1) | | (CCC+, B2) | | 06/13/24 | | | 8.325 | | | | 16,980,609 | |
| 14,232 | | | Finastra U.S.A., Inc., LIBOR 3M + 7.250%(1) | | (CCC-, Caa2) | | 06/13/25 | | | 12.075 | | | | 11,322,345 | |
| 506 | | | First Advantage Holdings LLC, LIBOR 1M + 2.750%(1) | | (BB-, B1) | | 01/31/27 | | | 7.320 | | | | 506,336 | |
| 20,047 | | | Flexera Software LLC, LIBOR 1M + 3.750%(1) | | (B-, B1) | | 03/03/28 | | | 8.320 | | | | 19,862,699 | |
| 16,411 | | | GHX Ultimate Parent Corp., LIBOR 3M + 3.250%(2) | | (B, B2) | | 06/28/24 | | | 7.980 | | | | 16,370,040 | |
| 17,857 | | | Hyland Software, Inc., LIBOR 1M + 3.500%(1) | | (B-, B1) | | 07/01/24 | | | 8.070 | | | | 17,839,706 | |
| 2,980 | | | Hyland Software, Inc., LIBOR 1M + 6.250%(1) | | (CCC, Caa1) | | 07/07/25 | | | 10.820 | | | | 2,846,958 | |
| 4,913 | | | IGT Holding IV AB, LIBOR 3M + 3.400%(1) | | (B, B2) | | 03/31/28 | | | 8.130 | | | | 4,912,500 | |
| 2,947 | | | Instructure Holdings, Inc., LIBOR 3M + 2.750%(1) | | (NR, B1) | | 10/30/28 | | | 7.852 | | | | 2,947,364 | |
| 700 | | | Marcel LUX IV Sarl, SOFR 1M + 4.000%(1),(2) | | (BB-, B1) | | 12/31/27 | | | 8.485 | | | | 698,167 | |
| 776 | | | Marcel LUX IV Sarl, SOFR 1M + 3.250%(1),(2) | | (BB-, B1) | | 03/15/26 | | | 7.664 | | | | 774,402 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | |
Software - Services (continued) | | | | | | | | | | | | |
$ | 5,847 | | | Mitnick Corporate Purchaser, Inc., SOFR 1M + 4.750%(1) | | (B-, B3) | | 05/02/29 | | | 9.526 | | | $ | 5,677,439 | |
| 6,744 | | | NAB Holdings LLC, SOFR 3M + 3.000%(1) | | (B+, B1) | | 11/23/28 | | | 7.730 | | | | 6,700,115 | |
| 20,000 | | | Open Text Corp.(6) | | (BBB-, Ba1) | | 11/16/29 | | | 0.000 | | | | 20,000,000 | |
| 25,658 | | | Polaris Newco LLC, LIBOR 3M + 4.000%(1) | | (B-, B2) | | 06/02/28 | | | 8.730 | | | | 24,419,296 | |
| 20,160 | | | Project Alpha Intermediate Holding, Inc., LIBOR 1M + 4.000%(1) | | (B, B3) | | 04/26/24 | | | 8.570 | | | | 20,165,042 | |
| 5,406 | | | Project Boost Purchaser, LLC, LIBOR 1M + 3.500%(1) | | (B-, B2) | | 06/01/26 | | | 8.070 | | | | 5,316,196 | |
| 2,886 | | | Project Boost Purchaser, LLC, LIBOR 1M + 3.500%(1),(2) | | (B-, B2) | | 05/30/26 | | | 8.070 | | | | 2,842,413 | |
| 6,386 | | | Project Ruby Ultimate Parent Corp., LIBOR 1M + 3.250%(1) | | (B, B2) | | 03/10/28 | | | 7.820 | | | | 6,185,983 | |
| 11,862 | | | Proofpoint, Inc., LIBOR 3M + 3.250%(1) | | (B-, B2) | | 08/31/28 | | | 7.985 | | | | 11,651,403 | |
| 15,287 | | | Quest Software U.S. Holdings, Inc., SOFR 3M + 4.250%(1) | | (B-, B2) | | 02/01/29 | | | 9.076 | | | | 13,174,236 | |
| 10,940 | | | RealPage, Inc., LIBOR 1M + 3.000%(1) | | (B, B2) | | 04/24/28 | | | 7.570 | | | | 10,692,027 | |
| 13,037 | | | Redstone Holdco 2 LP, LIBOR 3M + 4.750%(1) | | (B-, B3) | | 04/27/28 | | | 9.568 | | | | 10,631,401 | |
| 1,592 | | | Rinchem Company, Inc., SOFR 3M + 4.500%(1),(2) | | (B-, B3) | | 03/02/29 | | | 9.180 | | | | 1,528,320 | |
| 3,556 | | | SkillSoft Corp., SOFR 1M + 5.250%(1) | | (B-, B2) | | 07/14/28 | | | 9.761 | | | | 3,082,385 | |
| 3,750 | | | Sovos Compliance LLC, LIBOR 1M + 4.500%(1) | | (B-, B3) | | 08/11/28 | | | 9.070 | | | | 3,627,450 | |
| 2,566 | | | SS&C European Holdings Sarl, LIBOR 1M + 1.750%(1) | | (BB+, Ba2) | | 04/16/25 | | | 6.320 | | | | 2,564,385 | |
| 2,624 | | | SS&C Technologies, Inc., LIBOR 1M + 1.750%(1) | | (BB+, Ba2) | | 04/16/25 | | | 6.320 | | | | 2,622,376 | |
| 12,125 | | | Storable, Inc., SOFR 1M + 3.500%, SOFR 3M + 3.500%(1) | | (B, B2) | | 04/17/28 | | | 8.061 - 8.291 | | | | 11,879,311 | |
| 6,000 | | | Symplr Software, Inc., SOFR 3M + 4.500%(1) | | (B-, B2) | | 12/22/27 | | | 9.276 | | | | 5,233,740 | |
| 4,163 | | | Transact Holdings, Inc., LIBOR 1M + 4.750%(1) | | (B, B2) | | 04/30/26 | | | 8.820 | | | | 4,027,687 | |
| 5,439 | | | Turing Midco LLC, LIBOR 1M + 2.500%(1) | | (BB-, Ba3) | | 03/24/28 | | | 7.070 | | | | 5,424,193 | |
| 975 | | | Ultimate Software Group, Inc. (The), LIBOR 3M + 5.250%(1) | | (CCC, Caa1) | | 05/03/27 | | | 10.032 | | | | 937,389 | |
| 5,795 | | | Ultimate Software Group, Inc. (The), LIBOR 3M + 3.250%(1) | | (B-, B1) | | 05/04/26 | | | 8.032 | | | | 5,710,459 | |
| 13,497 | | | Ultimate Software Group, Inc. (The), LIBOR 3M + 3.750%(1) | | (B-, B1) | | 05/04/26 | | | 8.575 | | | | 13,386,562 | |
| 971 | | | Virtusa Corp., SOFR 1M + 3.750%(1) | | (B, B1) | | 02/15/29 | | | 8.411 | | | | 965,494 | |
| 10,342 | | | Virtusa Corp., LIBOR 1M + 3.750%(1) | | (B, B1) | | 02/11/28 | | | 8.320 | | | | 10,270,861 | |
| 4,255 | | | VS Buyer LLC, LIBOR 1M + 3.000%(1) | | (B, B1) | | 02/28/27 | | | 9.500 | | | | 4,237,981 | |
| | | | | | | | | | | | | | | 435,929,722 | |
Specialty Retail (0.3%) | | | | | | | | | | | | |
| 7,313 | | | Mister Car Wash Holdings, Inc., LIBOR 1M + 3.000%(1) | | (B, B2) | | 05/14/26 | | | 7.661 | | | | 7,301,662 | |
| | | | | | | | | | | | | | | | |
Steel Producers/Products (0.1%) | | | | | | | | | | | | |
| 3,566 | | | Grinding Media, Inc., LIBOR 3M + 4.000%(1),(2) | | (B, B2) | | 10/12/28 | | | 7.702 - 8.765 | | | | 3,503,695 | |
| | | | | | | | | | | | | | | | |
Support - Services (4.6%) | | | | | | | | | | | | |
| 12,574 | | | Allied Universal Holdco LLC, SOFR 1M + 3.750%(1) | | (B, B2) | | 05/12/28 | | | 8.411 | | | | 12,136,474 | |
| 3,527 | | | Centuri Group, Inc., LIBOR 1M + 2.500%, LIBOR 3M + 2.500%(1) | | (B+, Ba2) | | 08/27/28 | | | 7.070 - 7.235 | | | | 3,514,491 | |
| 11,285 | | | CoreLogic, Inc., LIBOR 1M + 3.500%(1) | | (B-, B2) | | 06/02/28 | | | 8.125 | | | | 9,616,107 | |
| 1,177 | | | Corporation Service Co., SOFR 1M + 3.250%(1) | | (BB-, B1) | | 11/02/29 | | | 7.911 | | | | 1,179,728 | |
| 10,000 | | | Fugue Finance B.V.(4),(6) | | (B, B1) | | 01/25/28 | | | 0.000 | | | | 10,811,898 | |
| 997 | | | Fugue Finance B.V.(6) | | (B, B1) | | 01/25/28 | | | 0.000 | | | | 997,193 | |
| 10,435 | | | Global Education Management Systems Establishment, LIBOR 6M + 5.000%(1) | | (B-, B3) | | 07/31/26 | | | 8.566 | | | | 10,450,309 | |
| 4,430 | | | LaserShip, Inc., LIBOR 3M + 7.500%(1),(2) | | (CCC, Caa2) | | 05/07/29 | | | 12.230 | | | | 2,812,802 | |
| 10,885 | | | LaserShip, Inc., LIBOR 3M + 4.500%(1) | | (B-, B2) | | 05/07/28 | | | 9.230 | | | | 8,172,238 | |
| 13,001 | | | Nuvei Technologies Corp., LIBOR 1M + 2.500%(1),(2) | | (BB-, Ba3) | | 09/29/25 | | | 7.070 | | | | 13,000,537 | |
| 1,897 | | | Savage Enterprises LLC, LIBOR 1M + 3.250%(1) | | (BB-, B1) | | 09/15/28 | | | 7.800 | | | | 1,897,918 | |
| 12,688 | | | Sedgwick Claims Management Services, Inc., LIBOR 1M + 3.250%(1) | | (B, B2) | | 12/31/25 | | | 7.820 | | | | 12,648,799 | |
| 1,785 | | | Sedgwick Claims Management Services, Inc., LIBOR 1M + 3.750%(1) | | (B, B2) | | 09/03/26 | | | 8.320 | | | | 1,785,797 | |
| 8,206 | | | SRAM, LLC, LIBOR 1M + 2.750%(1) | | (BB-, B1) | | 05/18/28 | | | 7.320 | | | | 8,139,402 | |
| 2,453 | | | Tempo Acquisition LLC, SOFR 1M + 3.000%(1) | | (BB-, Ba3) | | 08/31/28 | | | 7.561 | | | | 2,459,409 | |
| 3,025 | | | TruGreen LP, LIBOR 3M + 8.500%(1),(2) | | (CCC+, Caa2) | | 11/02/28 | | | 13.325 | | | | 2,178,000 | |
| 11,719 | | | Wrench Group LLC, LIBOR 3M + 4.000%(1) | | (B-, B2) | | 04/30/26 | | | 8.730 | | | | 11,596,619 | |
| | | | | | | | | | | | | | | 113,397,721 | |
Tech Hardware & Equipment (1.0%) | | | | | | | | | | | | |
| 13,289 | | | Atlas CC Acquisition Corp., LIBOR 3M + 4.250%(1) | | (B, Caa1) | | 05/25/28 | | | 8.985 | | | | 11,710,634 | |
| 2,703 | | | Atlas CC Acquisition Corp., LIBOR 3M + 4.250%(1) | | (B+, B1) | | 05/25/28 | | | 8.985 | | | | 2,381,824 | |
| 10,544 | | | Ingram Micro, Inc., LIBOR 3M + 3.500%(1) | | (BB-, B1) | | 06/30/28 | | | 8.230 | | | | 10,535,545 | |
| | | | | | | | | | | | | | | 24,628,003 | |
Telecom - Wireless (0.6%) | | | | | | | | | | | | |
| 3,927 | | | CCI Buyer, Inc., SOFR 3M + 4.000%(1) | | (B-, B1) | | 12/17/27 | | | 8.580 | | | | 3,863,311 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
BANK LOANS (continued) | |
Telecom - Wireless(continued) | | | | | | | | | | | | |
$ | 5,083 | | | Eagle Broadband Investments LLC, LIBOR 3M + 3.000%(1) | | (B+, B2) | | 11/12/27 | | | 7.750 | | | $ | 5,043,589 | |
| 7,163 | | | Xplornet Communications, Inc., LIBOR 1M + 4.000%(1) | | (B-, B2) | | 10/02/28 | | | 8.570 | | | | 5,749,358 | |
| | | | | | | | | | | | | | | 14,656,258 | |
Telecom - Wireline Integrated & Services (1.4%) | | | | | | | | | | | | |
| 1,954 | | | Altice France S.A., LIBOR 3M + 4.000%(1),(2) | | (B, B2) | | 08/14/26 | | | 8.650 | | | | 1,890,398 | |
| 6,196 | | | Altice France S.A., LIBOR 3M + 3.688%(1),(2) | | (B, B2) | | 01/31/26 | | | 8.517 | | | | 5,978,935 | |
| 4,400 | | | Numericable Group S.A., LIBOR 3M + 2.750%(1) | | (B, B2) | | 07/31/25 | | | 7.575 | | | | 4,366,176 | |
| 21,346 | | | Patagonia Holdco LLC, SOFR 3M + 5.750%(1),(2) | | (NR, B1) | | 08/01/29 | | | 9.960 | | | | 18,037,681 | |
| 2,233 | | | TVC Albany, Inc., LIBOR 1M + 3.500%(1) | | (B-, B2) | | 07/23/25 | | | 8.070 | | | | 2,097,045 | |
| 953 | | | Voyage Australia Pty Ltd., LIBOR 3M + 3.500%(1) | | (BB-, B1) | | 07/20/28 | | | 8.401 | | | | 944,299 | |
| | | | | | | | | | | | | | | 33,314,534 | |
Theaters & Entertainment (1.8%) | | | | | | | | | | | | |
| 1,995 | | | Cinemark U.S.A., Inc., LIBOR 1M + 1.750%, LIBOR 3M + 1.750%(1) | | (BB-, Ba3) | | 03/31/25 | | | 6.320 - 6.580 | | | | 1,941,770 | |
| 4,791 | | | NAI Entertainment Holdings LLC, LIBOR 1M + 2.500%(1),(2),(7) | | (BB-, B3) | | 05/08/25 | | | 7.070 | | | | 4,599,717 | |
| 11,210 | | | Technicolor Creative Studios, EURIBOR 3M + 6.000%(1),(4) | | (CCC+, Caa1) | | 09/07/26 | | | 8.046 | | | | 7,251,508 | |
| 9,938 | | | TopGolf International, Inc., LIBOR 3M + 6.250%(1) | | (B, B3) | | 02/09/26 | | | 11.065 | | | | 9,979,537 | |
| 2,876 | | | UFC Holdings, LLC, LIBOR 3M + 2.750%(1) | | (B, B2) | | 04/29/26 | | | 7.570 | | | | 2,865,176 | |
| 17,765 | | | William Morris Endeavor Entertainment LLC, LIBOR 1M + 2.750%(1) | | (B, B3) | | 05/18/25 | | | 7.320 | | | | 17,695,182 | |
| | | | | | | | | | | | | | | 44,332,890 | |
Trucking & Delivery (0.3%) | | | | | | | | | | | | |
| 4,871 | | | American Trailer World Corp., SOFR 1M + 3.750%(1) | | (B, B3) | | 03/03/28 | | | 8.411 | | | | 4,297,243 | |
| 1,836 | | | Odyssey Logistics & Technology Corp., LIBOR 1M + 4.000%(1) | | (B, B1) | | 10/12/24 | | | 8.570 | | | | 1,830,380 | |
| | | | | | | | | | | | | | | 6,127,623 | |
TOTAL BANK LOANS (Cost $2,137,760,796) | | | | | | | | | | | 2,011,486,369 | |
| | | | | | | | | | | | |
CORPORATE BONDS (9.6%) | | | | | | | | | | | | |
Auto Parts & Equipment (0.1%) | | | | | | | | | | | | |
| 3,000 | | | TI Automotive Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 101.88)(4),(11) | | (B+, B3) | | 04/15/29 | | | 3.750 | | | | 2,533,211 | |
| | | | | | | | | | | | | | | | |
Brokerage (0.1%) | | | | | | | | | | | | |
| 2,017 | | | StoneX Group, Inc., Rule 144A, Senior Secured Notes (Callable 03/03/23 @ 104.31)(11) | | (BB-, Ba3) | | 06/15/25 | | | 8.625 | | | | 2,029,848 | |
| | | | | | | | | | | | | | | | |
Building & Construction (0.1%) | | | | | | | | | | | | |
| 4,200 | | | Pike Corp., Rule 144A, Company Guaranteed Notes (Callable 09/01/23 @ 102.75)(11) | | (CCC+, B3) | | 09/01/28 | | | 5.500 | | | | 3,717,042 | |
| | | | | | | | | | | | | | | | |
Building Materials (0.2%) | | | | | | | | | | | | |
| 700 | | | Foundation Building Materials, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/24 @ 103.00)(11) | | (CCC+, Caa1) | | 03/01/29 | | | 6.000 | | | | 563,892 | |
| 4,300 | | | MIWD Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/25 @ 102.75)(11) | | (B, B3) | | 02/01/30 | | | 5.500 | | | | 3,584,695 | |
| 2,160 | | | Park River Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/24 @ 103.38)(11) | | (CCC, Caa1) | | 08/01/29 | | | 6.750 | | | | 1,536,365 | |
| | | | | | | | | | | | | | | 5,684,952 | |
Cable & Satellite TV (0.4%) | | | | | | | | | | | | |
| 1,000 | | | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 11/15/26 @ 102.25)(11) | | (B+, B1) | | 11/15/31 | | | 4.500 | | | | 735,920 | |
| 10,200 | | | Telenet Finance Luxembourg Notes Sarl, Rule 144A, Senior Secured Notes (Callable 02/13/23 @ 102.75)(11) | | (BB-, Ba3) | | 03/01/28 | | | 5.500 | | | | 9,531,900 | |
| | | | | | | | | | | | | | | 10,267,820 | |
Chemicals (0.5%) | | | | | | | | | | | | |
| 4,000 | | | Herens Holdco Sarl, Rule 144A, Senior Secured Notes (Callable 05/15/24 @ 102.38)(11) | | (B-, B2) | | 05/15/28 | | | 4.750 | | | | 3,285,040 | |
| 4,750 | | | Schenectady International Group, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/15/23 @ 103.38)(11) | | (CCC+, Caa2) | | 05/15/26 | | | 6.750 | | | | 2,148,282 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
CORPORATE BONDS (continued) | |
Chemicals(continued) | |
$ | 8,000 | | | Vibrantz Technologies, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/25 @ 104.50)(11),(12) | | (CCC+, Caa2) | | 02/15/30 | | | 9.000 | | | $ | 6,177,194 | |
| | | | | | | | | | | | | | | 11,610,516 | |
Consumer/Commercial/Lease Financing (0.1%) | | | | | | | | | | | | |
| 2,315 | | | Cargo Aircraft Management, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/16/23 @ 102.38)(11) | | (BB, Ba2) | | 02/01/28 | | | 4.750 | | | | 2,097,772 | |
| | | | | | | | | | | | | | | | |
Diversified Capital Goods (0.3%) | | | | | | | | | | | | |
| 7,277 | | | Atkore, Inc., Rule 144A, Senior Unsecured Notes (Callable 06/01/26 @ 102.13)(11) | | (BB, Ba2) | | 06/01/31 | | | 4.250 | | | | 6,401,977 | |
| | | | | | | | | | | | | | | | |
Electronics (0.1%) | | | | | | | | | | | | |
| 1,637 | | | Synaptics, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/24 @ 102.00)(11),(12) | | (B+, Ba3) | | 06/15/29 | | | 4.000 | | | | 1,420,269 | |
| | | | | | | | | | | | | | | | |
Energy - Exploration & Production (0.2%) | | | | | | | | | | | | |
| 4,100 | | | W&T Offshore, Inc., Rule 144A, Secured Notes (Callable 02/08/23 @ 100.00)(11) | | (B, Caa2) | | 11/01/23 | | | 9.750 | | | | 4,104,259 | |
| | | | | | | | | | | | | | | | |
Gas Distribution (0.1%) | | | | | | | | | | | | |
| 3,000 | | | New Fortress Energy, Inc., Rule 144A, Senior Secured Notes (Callable 03/31/23 @ 103.25)(11) | | (BB, B1) | | 09/30/26 | | | 6.500 | | | | 2,764,533 | |
| | | | | | | | | | | | | | | | |
Health Services (0.6%) | | | | | | | | | | | | |
| 4,275 | | | AthenaHealth Group, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/25 @ 103.25)(11),(12) | | (CCC, Caa2) | | 02/15/30 | | | 6.500 | | | | 3,548,296 | |
| 9,875 | | | Owens & Minor, Inc., Global Senior Secured Notes (Callable 09/15/24 @ 100.00) | | (BB-, Ba3) | | 12/15/24 | | | 4.375 | | | | 9,648,961 | |
| 2,040 | | | Radiology Partners, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/03/23 @ 104.63)(11) | | (CCC, Caa3) | | 02/01/28 | | | 9.250 | | | | 1,237,291 | |
| 2,000 | | | RP Escrow Issuer LLC, Rule 144A, Senior Secured Notes (Callable 03/03/23 @ 102.63)(11) | | (B-, B3) | | 12/15/25 | | | 5.250 | | | | 1,635,000 | |
| | | | | | | | | | | | | | | 16,069,548 | |
Insurance Brokerage (0.6%) | | | | | | | | | | | | |
| 4,000 | | | Jones Deslauriers Insurance Management, Inc., Rule 144A, Senior Unsecured Notes (Callable 12/15/25 @ 105.25)(11) | | (CCC, Caa2) | | 12/15/30 | | | 10.500 | | | | 4,073,460 | |
| 3,000 | | | NFP Corp., Rule 144A, Senior Secured Notes (Callable 10/01/25 @ 103.75)(11) | | (B, B1) | | 10/01/30 | | | 7.500 | | | | 2,863,740 | |
| 7,474 | | | NFP Corp., Rule 144A, Senior Unsecured Notes (Callable 08/15/23 @ 103.44)(11) | | (CCC+, Caa2) | | 08/15/28 | | | 6.875 | | | | 6,481,789 | |
| 1,000 | | | Ryan Specialty Group LLC, Rule 144A, Senior Secured Notes (Callable 02/01/25 @ 102.19)(11) | | (BB-, B1) | | 02/01/30 | | | 4.375 | | | | 902,260 | |
| | | | | | | | | | | | | | | 14,321,249 | |
Investments & Misc. Financial Services (0.3%) | | | | | | | | | | | | |
| 4,000 | | | Armor Holdco, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 104.25)(11) | | (CCC+, Caa1) | | 11/15/29 | | | 8.500 | | | | 3,416,840 | |
| 1,946 | | | Compass Group Diversified Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.63)(11) | | (B+, B1) | | 04/15/29 | | | 5.250 | | | | 1,753,619 | |
| 3,000 | | | Compass Group Diversified Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 01/15/27 @ 102.50)(11) | | (B+, B1) | | 01/15/32 | | | 5.000 | | | | 2,472,994 | |
| | | | | | | | | | | | | | | 7,643,453 | |
Machinery (0.4%) | | | | | | | | | | | | |
| 7,639 | | | Arcosa, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.19)(11) | | (BB, Ba2) | | 04/15/29 | | | 4.375 | | | | 6,841,267 | |
| 600 | | | ATS Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/23 @ 102.06)(11) | | (BB-, B2) | | 12/15/28 | | | 4.125 | | | | 538,257 | |
| 2,000 | | | Granite U.S. Holdings Corp., Rule 144A, Company Guaranteed Notes (Callable 03/03/23 @ 105.50)(11),(12) | | (CCC+, Caa1) | | 10/01/27 | | | 11.000 | | | | 2,115,760 | |
| | | | | | | | | | | | | | | 9,495,284 | |
Media Content (0.1%) | | | | | | | | | | | | |
| 4,000 | | | WMG Acquisition Corp., Rule 144A, Senior Secured Notes (Callable 07/15/25 @ 101.94)(11) | | (BB+, Ba3) | | 07/15/30 | | | 3.875 | | | | 3,531,080 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | Rate% | | | Value | |
| | | | | | | | | | | | | |
CORPORATE BONDS (continued) | |
Medical Products (0.2%) | | | | | | | | | | | | |
$ | 4,837 | | | Medline Borrower LP, Rule 144A, Senior Secured Notes (Callable 10/01/24 @ 101.94)(11) | | (B+, B1) | | 04/01/29 | | | 3.875 | | | $ | 4,132,128 | |
| 2,000 | | | Medline Borrower LP, Rule 144A, Senior Unsecured Notes (Callable 10/01/24 @ 102.63)(11),(12) | | (B-, Caa1) | | 10/01/29 | | | 5.250 | | | | 1,698,760 | |
| | | | | | | | | | | | | | | 5,830,888 | |
Metals & Mining - Excluding Steel (0.1%) | | | | | | | | | | | | |
| 4,000 | | | Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 03/03/23 @ 103.50)(11) | | (B-, B3) | | 02/15/26 | | | 7.000 | | | | 3,795,780 | |
| | | | | | | | | | | | | | | | |
Packaging (0.4%) | | | | | | | | | | | | |
| 2,000 | | | Chart Industries, Inc., Rule 144A, Senior Secured Notes (Callable 01/01/26 @ 103.75)(11) | | (B+, Ba3) | | 01/01/30 | | | 7.500 | | | | 2,045,000 | |
| 2,800 | | | Trident TPI Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/13/23 @ 102.31)(11) | | (CCC+, Caa2) | | 08/01/24 | | | 9.250 | | | | 2,735,733 | |
| 5,350 | | | TriMas Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.06)(11) | | (BB-, Ba3) | | 04/15/29 | | | 4.125 | | | | 4,768,749 | |
| | | | | | | | | | | | | | | 9,549,482 | |
Personal & Household Products (0.1%) | | | | | | | | | | | | |
| 1,700 | | | MajorDrive Holdings IV LLC, Rule 144A, Senior Unsecured Notes (Callable 06/01/24 @ 103.19)(11) | | (CCC+, Caa2) | | 06/01/29 | | | 6.375 | | | | 1,344,998 | |
| | | | | | | | | | | | | | | | |
Pharmaceuticals (0.1%) | | | | | | | | | | | | |
| 259 | | | Bausch Health Americas, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/03/23 @ 104.63)(11) | | (CCC, Ca) | | 04/01/26 | | | 9.250 | | | | 190,932 | |
| 2,000 | | | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/24 @ 103.13)(11) | | (CCC, Ca) | | 02/15/29 | | | 6.250 | | | | 922,841 | |
| 1,000 | | | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/26 @ 102.63)(11) | | (CCC, Ca) | | 02/15/31 | | | 5.250 | | | | 453,725 | |
| | | | | | | | | | | | | | | 1,567,498 | |
Real Estate Investment Trusts (0.1%) | | | | | | | | | | | | |
| 1,070 | | | iStar, Inc., Global Senior Unsecured Notes (Callable 03/03/23 @ 102.75) | | (BB, Ba2) | | 02/15/26 | | | 5.500 | | | | 1,079,122 | |
| 1,137 | | | Starwood Property Trust, Inc., Rule 144A, Senior Unsecured Notes (Callable 01/15/26 @ 100.00)(11) | | (BB-, Ba3) | | 07/15/26 | | | 3.625 | | | | 1,021,873 | |
| | | | | | | | | | | | | | | 2,100,995 | |
Recreation & Travel (0.6%) | | | | | | | | | | | | |
| 4,000 | | | SeaWorld Parks & Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/24 @ 102.63)(11) | | (B, B3) | | 08/15/29 | | | 5.250 | | | | 3,619,660 | |
| 1,296 | | | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 03/03/23 @ 100.00)(11) | | (B, B3) | | 07/31/24 | | | 4.875 | | | | 1,269,976 | |
| 1,194 | | | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 03/03/23 @ 102.75)(11),(12) | | (B, B3) | | 04/15/27 | | | 5.500 | | | | 1,126,873 | |
| 8,729 | | | Speedway Funding II, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/03/23 @ 102.44)(11) | | (BB, B2) | | 11/01/27 | | | 4.875 | | | | 8,162,106 | |
| | | | | | | | | | | | | | | 14,178,615 | |
Software - Services (1.2%) | | | | | | | | | | | | |
| 1,750 | | | Central Parent, Inc., Rule 144A, Senior Secured Notes (Callable 06/15/25 @ 103.63)(11),(12) | | (B+, B1) | | 06/15/29 | | | 7.250 | | | | 1,747,889 | |
| 6,225 | | | Elastic NV, Rule 144A, Senior Unsecured Notes (Callable 07/15/24 @ 102.06)(11) | | (B+, B1) | | 07/15/29 | | | 4.125 | | | | 5,335,432 | |
| 4,962 | | | Endurance International Group Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/24 @ 103.00)(11) | | (CCC+, Caa2) | | 02/15/29 | | | 6.000 | | | | 3,532,682 | |
| 4,100 | | | Open Text Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/24 @ 101.94)(11) | | (BB-, Ba3) | | 12/01/29 | | | 3.875 | | | | 3,415,322 | |
| 2,955 | | | Presidio Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/03/23 @ 104.13)(11) | | (CCC+, Caa1) | | 02/01/28 | | | 8.250 | | | | 2,845,429 | |
| 11,561 | | | Virtusa Corp., Rule 144A, Senior Unsecured Notes (Callable 12/15/23 @ 103.56)(11) | | (CCC+, Caa1) | | 12/15/28 | | | 7.125 | | | | 9,729,448 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
| Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | | Value | |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS (continued) | | | | | | | | | | | | |
Software - Services(continued) | | | | | | | | | | | | |
$ | 4,000 | | | ZoomInfo Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/24 @ 101.94)(11),(12) | | (B+, B1) | | 02/01/29 | | | 3.875 | | | $ | 3,454,660 | |
| | | | | | | | | | | | | | | 30,060,862 | |
Specialty Retail (0.1%) | | | | | | | | | | | | |
| 137 | | | Eagle Intermediate Global Holdings B.V. (2),(13) | | (NR, NR) | | 05/01/25 | | | 0.000 | | | | 63,779 | |
| 3,745 | | | Eagle Intermediate Global Holdings B.V., Rule 144A, Senior Secured Notes (Callable 02/13/23 @ 103.75)(11) | | (NR, Caa1) | | 05/01/25 | | | 7.500 | | | | 2,364,031 | |
| 102 | | | Eagle Intermediate Global Holdings B.V., Rule 144A, Senior Secured Notes (Callable 02/13/23 @ 103.75)(2),(11),(13) | | (NR, NR) | | 05/01/25 | | | 7.500 | | | | 62,134 | |
| | | | | | | | | | | | | | | 2,489,944 | |
Steel Producers/Products (0.0%) | | | | | | | | | | | | |
| 1,540 | | | TMS International Corp., Rule 144A, Senior Unsecured Notes (Callable 04/15/24 @ 103.13)(11) | | (B, Caa1) | | 04/15/29 | | | 6.250 | | | | 1,168,107 | |
| | | | | | | | | | | | | | | | |
Support - Services (1.9%) | | | | | | | | | | | | |
| 1,471 | | | Allied Universal Finance Corp., Rule 144A, Senior Secured Notes (Callable 06/01/24 @ 101.81)(4),(11) | | (B, B2) | | 06/01/28 | | | 3.625 | | | | 1,337,573 | |
| 3,321 | | | Allied Universal Finance Corp., Rule 144A, Senior Secured Notes (Callable 06/01/24 @ 102.31)(11) | | (B, B2) | | 06/01/28 | | | 4.625 | | | | 2,868,763 | |
| 3,557 | | | Allied Universal Finance Corp., Rule 144A, Senior Secured Notes (Callable 06/01/24 @ 102.31)(11) | | (B, B2) | | 06/01/28 | | | 4.625 | | | | 3,045,699 | |
| 5,251 | | | Allied Universal Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 03/03/23 @ 104.88)(11) | | (CCC+, Caa1) | | 07/15/27 | | | 9.750 | | | | 5,021,663 | |
| 9,455 | | | Allied Universal Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 06/01/24 @ 103.00)(11) | | (CCC+, Caa1) | | 06/01/29 | | | 6.000 | | | | 7,619,359 | |
| 11,000 | | | CoreLogic, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/24 @ 102.25)(11) | | (B-, B2) | | 05/01/28 | | | 4.500 | | | | 8,760,895 | |
| 7,565 | | | GEMS Education Delaware LLC, Rule 144A, Senior Secured Notes (Callable 03/03/23 @ 103.56)(11) | | (B-, B3) | | 07/31/26 | | | 7.125 | | | | 7,476,599 | |
| 9,474 | | | GYP Holdings III Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/24 @ 102.31)(11) | | (B, B1) | | 05/01/29 | | | 4.625 | | | | 8,027,010 | |
| 3,000 | | | White Cap Buyer LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/23 @ 103.44)(11) | | (CCC+, Caa1) | | 10/15/28 | | | 6.875 | | | | 2,735,635 | |
| | | | | | | | | | | | | | | 46,893,196 | |
Tech Hardware & Equipment (0.3%) | | | | | | | | | | | | |
| 3,500 | | | Entegris Escrow Corp., Rule 144A, Senior Secured Notes (Callable 01/15/29 @ 100.00)(11) | | (BB+, Baa3) | | 04/15/29 | | | 4.750 | | | | 3,281,467 | |
| 4,550 | | | Imola Merger Corp., Rule 144A, Senior Secured Notes (Callable 05/15/24 @ 102.38)(11) | | (BB-, B1) | | 05/15/29 | | | 4.750 | | | | 3,961,867 | |
| | | | | | | | | | | | | | | 7,243,334 | |
Telecom - Wireline Integrated & Services (0.3%) | | | | | | | | | | | | |
| 3,775 | | | Altice France S.A., Rule 144A, Senior Secured Notes (Callable 10/15/24 @ 102.75)(11) | | (B, B2) | | 10/15/29 | | | 5.500 | | | | 2,976,594 | |
| 2,600 | | | LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes (Callable 03/03/23 @ 103.38)(11) | | (B+, B1) | | 10/15/27 | | | 6.750 | | | | 2,521,187 | |
| 3,000 | | | LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes (Callable 07/15/24 @ 102.56)(11) | | (B+, B1) | | 07/15/29 | | | 5.125 | | | | 2,615,640 | |
| | | | | | | | | | | | | | | 8,113,421 | |
TOTAL CORPORATE BONDS (Cost $265,643,979) | | | | | | | | | | | 238,029,933 | |
| | | | | | | | | | | | |
ASSET BACKED SECURITIES (4.1%) | | | | | | | | | | | | |
Collateralized Debt Obligations (4.1%) | | | | | | | | | | | | |
| 3,000 | | | ALM Ltd., 2020-1A, Rule 144A, LIBOR 3M + 6.000%(1),(11) | | (BB-, NR) | | 10/15/29 | | | 10.792 | | | | 2,725,943 | |
| 3,500 | | | Anchorage Capital CLO 16 Ltd., 2020-16A, Rule 144A, LIBOR 3M + 3.720%(1),(11) | | (NR, NR) | | 01/19/35 | | | 8.518 | | | | 3,331,025 | |
| 1,740 | | | Anchorage Capital CLO 2018-10A Ltd., Rule 144A, LIBOR 3M + 1.200%(1),(11) | | (AAA, NR) | | 10/15/31 | | | 5.992 | | | | 1,727,549 | |
| 2,500 | | | Battalion CLO XXI Ltd., 2021-21A, Rule 144A, LIBOR 3M + 3.300%(1),(11) | | (NR, Baa3) | | 07/15/34 | | | 8.092 | | | | 2,228,154 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | | Value | |
| | | | | | | | | | | | | | | |
ASSET BACKED SECURITIES (continued) | | | | | | | | | | | | |
Collateralized Debt Obligations(continued) | | | | | | | | | | | | |
$ | 1,750 | | | Benefit Street Partners CLO X Ltd., 2016-10A, Rule 144A, LIBOR 3M + 6.750%(1),(11) | | (BB-, NR) | | 04/20/34 | | | 11.558 | | | $ | 1,589,451 | |
| 2,100 | | | BlueMountain CLO Ltd., 2015-3A, Rule 144A, LIBOR 3M + 5.400%(1),(11) | | (B+, NR) | | 04/20/31 | | | 10.208 | | | | 1,661,493 | |
| 5,500 | | | BlueMountain CLO Ltd., 2016-2A, Rule 144A, LIBOR 3M + 4.300%(1),(11) | | (BBB-, NR) | | 08/20/32 | | | 8.975 | | | | 5,218,293 | |
| 691 | | | Brookside Mill CLO Ltd., 2013-1A, Rule 144A, LIBOR 3M + 1.350%(1),(11) | | (NR, Aaa) | | 01/17/28 | | | 6.142 | | | | 691,288 | |
| 2,459 | | | Capital Automotive LLC, 2017-1A, Rule 144A(11) | | (A+, NR) | | 04/15/47 | | | 4.180 | | | | 2,366,285 | |
| 750 | | | Carlyle Global Market Strategies CLO Ltd., 2014-3RA, Rule 144A, LIBOR 3M + 5.400%(1),(11) | | (BB-, NR) | | 07/27/31 | | | 10.215 | | | | 615,637 | |
| 2,000 | | | Carlyle Global Market Strategies CLO Ltd., 2014-5A, Rule 144A, LIBOR 3M + 3.150%(1),(11) | | (BBB-, NR) | | 07/15/31 | | | 7.942 | | | | 1,826,691 | |
| 2,625 | | | CIFC Funding Ltd., 2014-1A, Rule 144A, LIBOR 3M + 5.850%(1),(11) | | (B+, NR) | | 01/18/31 | | | 10.645 | | | | 2,280,452 | |
| 4,000 | | | Crown Point CLO IV Ltd., 2018-4A, Rule 144A, LIBOR 3M + 2.750%(1),(11) | | (NR, Baa3) | | 04/20/31 | | | 7.558 | | | | 3,499,603 | |
| 4,000 | | | Dewolf Park CLO Ltd., 2017-1A, Rule 144A, LIBOR 3M + 0.920%(1),(11) | | (NR, Aaa) | | 10/15/30 | | | 5.712 | | | | 3,963,000 | |
| 1,750 | | | Dryden 86 CLO Ltd., 2020-86A, Rule 144A, LIBOR 3M + 3.200%(1),(11) | | (BBB-, NR) | | 07/17/34 | | | 7.992 | | | | 1,628,899 | |
| 3,500 | | | Elevation CLO Ltd., 2014-2A, Rule 144A, SOFR 3M + 3.462%(1),(11) | | (NR, Baa3) | | 10/15/29 | | | 8.094 | | | | 3,204,827 | |
| 7,000 | | | Galaxy XXII CLO Ltd., 2016-22A, Rule 144A, LIBOR 3M + 1.200%(1),(11) | | (AAA, NR) | | 04/16/34 | | | 5.992 | | | | 6,902,420 | |
| 5,000 | | | Galaxy XXVIII CLO Ltd., 2018-28A, Rule 144A, LIBOR 3M + 3.000%(1),(11) | | (BBB-, NR) | | 07/15/31 | | | 7.792 | | | | 4,685,895 | |
| 3,500 | | | Greywolf CLO II Ltd., 2013-1A, Rule 144A, LIBOR 3M + 4.200%(1),(11) | | (BBB-, NR) | | 04/15/34 | | | 8.992 | | | | 3,231,228 | |
| 1,000 | | | Greywolf CLO III Ltd., 2020-3RA, Rule 144A, SOFR 3M + 3.610%(1),(11) | | (BBB-, NR) | | 04/15/33 | | | 8.263 | | | | 905,982 | |
| 2,000 | | | Greywolf CLO III Ltd., 2020-3RA, Rule 144A, SOFR 3M + 7.180%(1),(11) | | (BB-, NR) | | 04/15/33 | | | 11.833 | | | | 1,775,522 | |
| 3,390 | | | Greywolf CLO IV Ltd., 2019-1A, Rule 144A, SOFR 3M + 3.910%(1),(11) | | (BBB-, NR) | | 04/17/34 | | | 8.542 | | | | 3,141,768 | |
| 3,950 | | | Greywolf CLO V Ltd., 2015-1A, Rule 144A, LIBOR 3M + 3.000%(1),(11) | | (BBB-, NR) | | 01/27/31 | | | 7.818 | | | | 3,523,018 | |
| 2,500 | | | KKR CLO Ltd., 14, Rule 144A, LIBOR 3M + 6.150%(1),(11) | | (NR, B1) | | 07/15/31 | | | 10.942 | | | | 2,224,319 | |
| 3,250 | | | KKR Financial CLO Ltd., 2013-1A, Rule 144A, LIBOR 3M + 6.080%(1),(11) | | (NR, Ba3) | | 04/15/29 | | | 10.872 | | | | 2,863,385 | |
| 1,900 | | | Marble Point CLO XVII Ltd., 2020-1A, Rule 144A, LIBOR 3M + 6.820%(1),(11) | | (NR, Ba3) | | 04/20/33 | | | 11.628 | | | | 1,759,799 | |
| 3,450 | | | Marble Point CLO XVIII Ltd., 2020-2A, Rule 144A, LIBOR 3M + 7.700%(1),(11) | | (NR, Ba3) | | 10/15/34 | | | 12.492 | | | | 3,220,633 | |
| 5,275 | | | Marble Point CLO XXIII Ltd., 2021-4A, Rule 144A, LIBOR 3M + 5.750%(1),(11) | | (NR, Ba1) | | 01/22/35 | | | 10.565 | | | | 4,826,025 | |
| 2,250 | | | Octagon Investment Partners 26 Ltd., 2016-1A, Rule 144A, LIBOR 3M + 2.850%(1),(11) | | (BBB-, NR) | | 07/15/30 | | | 7.642 | | | | 1,993,032 | |
| 3,580 | | | Signal Peak CLO 5 Ltd., 2018-5A, Rule 144A, LIBOR 3M + 2.650%(1),(11) | | (BBB-, NR) | | 04/25/31 | | | 7.468 | | | | 3,208,721 | |
| 5,993 | | | Stratus CLO Ltd., 2021-1A, Rule 144A, LIBOR 3M + 0.800%(1),(11) | | (NR, Aaa) | | 12/29/29 | | | 5.608 | | | | 5,901,555 | |
| 3,000 | | | Venture 35 CLO Ltd., 2018-35A, Rule 144A, LIBOR 3M + 3.500%(1),(11) | | (NR, Baa3) | | 10/22/31 | | | 8.315 | | | | 2,517,337 | |
| 3,000 | | | Venture XIII CLO Ltd., 2013-13A, Rule 144A, LIBOR 3M + 3.300%(1),(11) | | (NR, A3) | | 09/10/29 | | | 8.035 | | | | 2,663,291 | |
| 3,278 | | | Venture XXIII CLO Ltd., 2016-23A, Rule 144A, LIBOR 3M + 5.070%(1),(11) | | (NR, Ba1) | | 07/19/34 | | | 9.868 | | | | 2,961,141 | |
| 1,750 | | | Vibrant ClO 1X Ltd., 2018-9A, Rule 144A, LIBOR 3M + 3.200%(1),(11) | | (NR, Baa3) | | 07/20/31 | | | 8.008 | | | | 1,531,338 | |
| 1,500 | | | Vibrant CLO VI Ltd., 2017-6A, Rule 144A, LIBOR 3M + 5.750%(1),(11) | | (NR, Ba3) | | 06/20/29 | | | 10.496 | | | | 1,306,012 | |
| 3,000 | | | Voya CLO Ltd., 2014-4A, Rule 144A, LIBOR 3M + 3.350%(1),(11) | | (BBB-, NR) | | 07/14/31 | | | 8.142 | | | | 2,619,248 | |
TOTAL ASSET BACKED SECURITIES (Cost $110,402,764) | | | | | | | | | | | 102,320,259 | |
COMMON STOCKS (0.7%) | | | | | | | | | | | | |
Auto Parts & Equipment (0.1%) | | | | | | | | | | | | |
| 151,253 | | | Jason Group, Inc.(9) | | | | | | | | | | | 1,399,090 | |
Chemicals (0.5%) | | | | | | | | | | | | |
| 31,756 | | | Project Investor Holdings LLC(2),(7),(9),(13) | | | | | | | | | | | 318 | |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Shares | | | | | Value | |
| | | | | | |
COMMON STOCKS (continued) | | | | |
Chemicals(continued) | | | | |
| 529,264 | | | Proppants Holdings LLC(2),(7),(9),(13) | | $ | 10,585 | |
| 191,054 | | | UTEX Industries, Inc.(9) | | | 12,227,456 | |
| | | | | | | 12,238,359 | |
Energy - Exploration & Production (0.0%) |
| 872,375 | | | PES Energy, Inc.(2),(7),(9),(13) | | | 8,724 | |
| | | | | | | | |
Machinery (0.0%) |
| 6,708,021 | | | Alloy Topco Ltd.(2),(9),(10),(13) | | | — | |
| | | | | | | | |
Pharmaceuticals (0.0%) |
| 156,133 | | | Akorn Holding Company LLC(9) | | | 975,831 | |
| | | | | | | | |
Private Placement (0.1%) |
| 2,437,234 | | | Technicolor Creative Studios SA(9),(13),(14) | | | 1,596,488 | |
| | | | | | | | |
Software - Services (0.0%) |
| 78,712 | | | Skillsoft Corp.(9),(12) | | | 151,127 | |
| | | | | | | | |
Specialty Retail (0.0%) |
| 141 | | | Eagle Intermediate Global Holdings B.V., Class B(2),(9),(13) | | | 2 | |
| | | | | | | | |
Theaters & Entertainment (0.0%) |
| 1,153,846 | | | Vantiva SA(4),(9) | | | 331,845 | |
TOTAL COMMON STOCKS (Cost $28,341,236) | | | 16,701,466 | |
| | | | |
WARRANTS (0.0%) |
Chemicals (0.0%) |
| 132,316 | | | Project Investor Holdings LLC, expires 02/20/2022(2),(7),(9),(13) | | | — | |
| | | | | | | | |
Recreation & Travel (0.0%) |
| 526,589 | | | Cineworld Group, expires 12/21/2025(9),(10) | | | — | |
TOTAL WARRANTS (Cost $68,804) | | | 0 | |
| | | | |
SHORT-TERM INVESTMENTS (6.0%) |
| 132,034,198 | | | State Street Institutional U.S. Government Money Market Fund - Premier Class, 4.18% | | | 132,034,198 | |
| 15,910,611 | | | State Street Navigator Securities Lending Government Money Market Portfolio, 4.35%(15) | | | 15,910,611 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $147,944,809) | | | 147,944,809 | |
TOTAL INVESTMENTS AT VALUE (101.7%) (Cost $2,690,162,388) | | | 2,516,482,836 | |
LIABILITIES IN EXCESS OF OTHER ASSETS (-1.7%) | | | (42,529,220 | ) |
NET ASSETS (100.0%) | | $ | 2,473,953,616 | |
† | 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, 2023. The rate may be subject to a cap and floor. |
(2) | Security is valued using significant unobservable inputs. |
(3) | PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal. |
(4) | This security is denominated in Euro. |
(5) | All or a portion is an unfunded loan commitment. |
(6) | 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, 2023. |
(7) | Illiquid security. |
(8) | Bond is currently in default. |
(9) | Non-income producing security. |
(10) | This security is denominated in British Pound. |
(11) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2023, these securities amounted to a value of $329,558,330 or 13.3% of net assets. |
(12) | Security or portion thereof is out on loan. |
(13) | Not readily marketable security; security is valued at fair value as determined in good faith by, or under the direction of, the Board of Trustees. |
(14) | Security is held through holdings of 100 shares of the CIG Special Purpose SPC - Credit Suisse Floating Rate High Income Fund Segregated Portfolio, an affiliated entity. |
(15) | Represents security purchased with cash collateral received for securities on loan. |
Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
INVESTMENT ABBREVIATIONS |
|
1M = 1 Month |
2M = 2 Month |
3M = 3 Month |
6M = 6 Month |
EURIBOR = Euro Interbank Offered Rate |
LIBOR = London Interbank Offered Rate |
NR = Not Rated |
Sarl = société à responsabilité limitée |
SOFR = Secured Overnight Financing Rate |
SONIA = Sterling Overnight Interbank Average Rate |
WR = Withdrawn Rating |
Forward Foreign Currency Contracts
Forward Currency to be Purchased | | Forward Currency to be Sold | | Expiration Date | | Counterparty | | Value on Settlement Date | | | Current Value/Notional | | | Unrealized Appreciation | |
EUR | | | 5,275,000 | | USD | | | 5,290,767 | | 09/27/23 | | Deutsche Bank AG | | $ | 5,290,767 | | | $ | 5,801,771 | | | $ | 511,004 | |
EUR | | | 18,448,195 | | USD | | | 18,791,157 | | 09/27/23 | | Morgan Stanley | | | 18,791,157 | | | | 20,290,469 | | | | 1,499,312 | |
GBP | | | 2,823,949 | | USD | | | 3,402,527 | | 10/11/23 | | Deutsche Bank AG | | | 3,402,527 | | | | 3,493,183 | | | | 90,656 | |
USD | | | 10,765,215 | | EUR | | | 9,749,500 | | 10/11/23 | | Deutsche Bank AG | | | (10,765,215 | ) | | | (10,729,782 | ) | | | 35,433 | |
Total Unrealized Appreciation | | | | | | | | | | | | | | | $ | 2,136,405 | |
Forward Foreign Currency Contracts | |
Forward Currency to be Purchased | | Forward Currency to be Sold | | Expiration Date | | Counterparty | | Value on Settlement Date | | | Current Value/Notional | | | Unrealized Depreciation | |
USD | | | 4,466,310 | | EUR | | | 4,174,803 | | 09/27/23 | | Barclays Bank PLC | | $ | (4,466,310 | ) | | $ | (4,591,707 | ) | | $ | (125,397 | ) |
USD | | | 639,373 | | EUR | | | 595,000 | | 09/27/23 | | Deutsche Bank AG | | | (639,373 | ) | | | (654,418 | ) | | | (15,045 | ) |
USD | | | 98,859,127 | | EUR | | | 99,165,329 | | 09/27/23 | | Morgan Stanley | | | (98,859,127 | ) | | | (109,068,178 | ) | | | (10,209,051 | ) |
USD | | | 14,227,714 | | GBP | | | 12,764,549 | | 10/11/23 | | Deutsche Bank AG | | | (14,227,714 | ) | | | (15,789,556 | ) | | | (1,561,842 | ) |
Total Unrealized Depreciation | | | | | | | | | | | | | | $ | (11,911,335 | ) |
Total Net Unrealized Appreciation/(Depreciation) | | | | | | | | | | | | $ | (9,774,930 | ) |
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 and a Pricing Group, which, pursuant to the policies adopted by the Board, are 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. Investments in open-ended mutual funds are valued at the net asset value as reported on each business day and under normal circumstances. Securities for which market quotations are not readily available are valued at their fair value as determined in good faith by the Adviser, as the Board’s valuation designee (as defined in Rule 2a-5 under the 1940 Act), in accordance with the Adviser’s procedures. The Board oversees the Adviser in its role as valuation designee in accordance with the requirements of Rule 2a-5 under the 1940 Act. The 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 Group, in accordance with procedures established by the Adviser.
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, 2023 in valuing the Fund’s assets and liabilities carried at fair value:
Assets | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| | | | | | | | | | | | |
Investments in Securities |
Bank Loans | | $ | — | | | $ | 1,766,127,170 | | | $ | 245,359,199 | | | $ | 2,011,486,369 | |
Corporate Bonds | | | — | | | | 237,904,020 | | | | 125,913 | | | | 238,029,933 | |
Asset Backed Securities | | | — | | | | 102,320,259 | | | | — | | | | 102,320,259 | |
Common Stocks | | | 151,127 | | | | 16,530,711 | | | | 19,628 | | | | 16,701,466 | |
Warrants | | | — | | | | — | | | | 0 | (1) | | | — | |
Short-term Investments | | | 147,944,809 | | | | — | | | | — | | | | 147,944,809 | |
| | $ | 148,095,936 | | | $ | 2,122,882,160 | | | $ | 245,504,740 | | | $ | 2,516,482,836 | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 2,136,405 | | | $ | — | | | $ | 2,136,405 | |
| | | | | | | | | | | | | | | | |
Liabilities | | | Level 1 | | | | Level 2 | | | | Level 3 | | | | Total | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 11,911,335 | | | $ | — | | | $ | 11,911,335 | |
(1) | Includes a zero valued security. | |
* | Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts. | |
See Accompanying Notes to Financial Statements.
The following is a reconciliation of investments as of January 31, 2023 for which significant unobservable inputs were used in determining fair value.
| | Bank Loans | | | Corporate Bonds | | | Common Stocks | | | Warrants | | | Total | |
Balance as of October 31, 2022 | | $ | 237,117,588 | | | $ | 152,391 | | | $ | 15,563,673 | | | $ | 0 | (1) | | $ | 252,833,652 | |
Accrued discounts (premiums) | | | 36,495 | | | | - | | | | - | | | | - | | | | 36,495 | |
Purchases | | | 11,471,452 | | | | - | | | | - | | | | - | | | | 11,471,452 | |
Sales | | | (23,895,374 | ) | | | - | | | | (705,346 | ) | | | - | | | | (24,600,720 | ) |
Realized gain (loss) | | | (298,238 | ) | | | - | | | | (449,025 | ) | | | - | | | | (747,263 | ) |
Change in unrealized appreciation (depreciation) | | | 2,935,566 | | | | (26,478 | ) | | | (763,128 | ) | | | - | | | | 2,145,960 | |
Transfers into Level 3 | | | 134,001,325 | | | | - | | | | - | | | | - | | | | 134,001,325 | |
Transfers out of Level 3 | | | (116,009,615 | ) | | | - | | | | (13,626,546 | ) | | | - | | | | (129,636,161 | ) |
Balance as of January 31, 2023 | | $ | 245,359,199 | | | $ | 125,913 | | | $ | 19,628 | | | $ | 0 | (1) | | $ | 245,504,740 | |
| | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) from investments still held as of January 31, 2023 | | $ | 920,202 | | | $ | (26,478 | ) | | $ | - | | | $ | - | | | $ | 893,724 | |
| (1) | Includes zero valued securities. |
Quantitative Disclosure About Significant Unobservable Inputs
| | Fair Value | | | Valuation | | Unobservable | | Price Range |
Asset Class | | At 01/31/2023 | | | Technique | | Input | | (Weighted Average)* |
Bank Loans | | $ | 245,359,199 | | | Vendor pricing | | Single Broker Quote | | $0.00 - $1.08 ($0.95) |
Corporate Bonds | | | 125,913 | | | Income Approach | | Expected Remaining Distribution | | 0.47 - 0.61 (0.54) |
Common Stocks | | | 19,628 | | | Income Approach | | Expected Remaining Distribution | | 0.00 - 0.02 (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, 2023, $134,001,325 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $129,636,161 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, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | |
CORPORATE BONDS (45.7%) | | | | | | | | | | | |
Aerospace & Defense (0.2%) | | | | | | | | | | | |
$ | 250 | | | Bombardier, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/01/26 @ 103.75)(1) | | (B-, B3) | | 02/01/29 | | | 7.500 | | | $ | 250,277 | |
500 | | | Science Applications International Corp., Rule 144A, Company Guaranteed Notes (Callable 04/01/23 @ 102.44)(1) | | (BB-, B1) | | 04/01/28 | | | 4.875 | | | 469,350 | |
| | | | | | | | | | | | | 719,627 | |
Auto Parts & Equipment (0.5%) | | | | | | | | | | | |
1,000 | | | IHO Verwaltungs GmbH, Rule 144A, Senior Secured Notes, 4.500% Cash, 5.500% PIK (Callable 02/13/23 @ 101.58)(1),(2) | | (BB-, Ba2) | | 09/15/26 | | | 4.750 | | | 917,275 | |
1,000 | | | TI Automotive Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 101.88)(1),(3) | | (B+, B3) | | 04/15/29 | | | 3.750 | | | 844,404 | |
| | | | | | | | | | | | | 1,761,679 | |
Automakers (0.2%) | | | | | | | | | | | |
400 | | | Thor Industries, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/24 @ 102.00)(1) | | (BB-, B1) | | 10/15/29 | | | 4.000 | | | 333,108 | |
250 | | | Winnebago Industries, Inc., Rule 144A, Senior Secured Notes (Callable 07/15/23 @ 103.13)(1) | | (BB+, Ba3) | | 07/15/28 | | | 6.250 | | | 240,723 | |
| | | | | | | | | | | | | 573,831 | |
Brokerage (0.1%) | | | | | | | | | | | |
474 | | | StoneX Group, Inc., Rule 144A, Senior Secured Notes (Callable 03/03/23 @ 104.31)(1) | | (BB-, Ba3) | | 06/15/25 | | | 8.625 | | | 477,019 | |
| | | | | | | | | | | | | | |
Building & Construction (1.0%) | | | | | | | | | | | |
1,000 | | | Adams Homes, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/16/23 @ 101.88)(1) | | (B+, B2) | | 02/15/25 | | | 7.500 | | | 863,268 | |
1,000 | | | Pike Corp., Rule 144A, Company Guaranteed Notes (Callable 09/01/23 @ 102.75)(1) | | (CCC+, B3) | | 09/01/28 | | | 5.500 | | | 885,010 | |
1,250 | | | TopBuild Corp., Rule 144A, Company Guaranteed Notes (Callable 03/15/24 @ 101.81)(1) | | (BB+, Ba2) | | 03/15/29 | | | 3.625 | | | 1,069,275 | |
600 | | | TopBuild Corp., Rule 144A, Company Guaranteed Notes (Callable 10/15/26 @ 102.06)(1) | | (BB+, Ba2) | | 02/15/32 | | | 4.125 | | | 504,811 | |
| | | | | | | | | | | | | 3,322,364 | |
Building Materials (3.3%) | | | | | | | | | | | |
700 | | | Advanced Drainage Systems, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/16/23 @ 102.50)(1) | | (BB-, Ba2) | | 09/30/27 | | | 5.000 | | | 667,648 | |
2,000 | | | Advanced Drainage Systems, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/25 @ 103.19)(1) | | (BB-, Ba2) | | 06/15/30 | | | 6.375 | | | 1,989,174 | |
1,000 | | | Builders FirstSource, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/27 @ 103.19)(1) | | (BB-, Ba2) | | 06/15/32 | | | 6.375 | | | 980,303 | |
1,805 | | | Foundation Building Materials, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/24 @ 103.00)(1) | | (CCC+, Caa1) | | 03/01/29 | | | 6.000 | | | 1,454,036 | |
284 | | | LBM Acquisition LLC, Rule 144A, Company Guaranteed Notes (Callable 01/15/24 @ 103.13)(1) | | (CCC, Caa2) | | 01/15/29 | | | 6.250 | | | 213,983 | |
1,447 | | | Masonite International Corp., Rule 144A, Company Guaranteed Notes (Callable 03/03/23 @ 102.69)(1) | | (BB+, Ba2) | | 02/01/28 | | | 5.375 | | | 1,360,375 | |
1,000 | | | Masonite International Corp., Rule 144A, Company Guaranteed Notes (Callable 08/15/29 @ 100.00)(1) | | (BB+, Ba2) | | 02/15/30 | | | 3.500 | | | 826,555 | |
2,008 | | | MIWD Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/25 @ 102.75)(1) | | (B, B3) | | 02/01/30 | | | 5.500 | | | 1,673,969 | |
500 | | | Oscar Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 04/15/25 @ 104.75)(1),(4) | | (CCC+, Caa1) | | 04/15/30 | | | 9.500 | | | 448,128 | |
1,125 | | | Park River Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/24 @ 103.38)(1) | | (CCC, Caa1) | | 08/01/29 | | | 6.750 | | | 800,190 | |
950 | | | PGT Innovations, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/24 @ 102.19)(1) | | (B+, B1) | | 10/01/29 | | | 4.375 | | | 820,966 | |
| | | | | | | | | | | | | 11,235,327 | |
Cable & Satellite TV (0.7%) | | | | | | | | | | | |
1,000 | | | CSC Holdings LLC / CCO Holdings Capital Corp., Rule 144A, Senior Unsecured Notes (Callable 03/01/26 @ 103.69)(1) | | (BB-, B1) | | 03/01/31 | | | 7.375 | | | 1,003,120 | |
300 | | | CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 11/15/26 @ 102.25)(1) | | (B+, B1) | | 11/15/31 | | | 4.500 | | | 220,776 | |
500 | | | CSC Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 01/15/25 @ 102.88)(1) | | (B-, Caa1) | | 01/15/30 | | | 5.750 | | | 316,887 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | |
CORPORATE BONDS (continued) | | | | | | | | | | | |
Cable & Satellite TV(continued) | | | | | | | | | | | |
$ | 1,030 | | | UPC Broadband Finco B.V., Rule 144A, Senior Secured Notes (Callable 07/15/26 @ 102.44)(1) | | (BB-, B1) | | 07/15/31 | | | 4.875 | | | $ | 907,590 | |
| | | | | | | | | | | | | 2,448,373 | |
Chemicals (1.7%) | | | | | | | | | | | |
250 | | | Avient Corp., Rule 144A, Senior Unsecured Notes (Callable 03/03/23 @ 102.88)(1) | | (BB-, Ba3) | | 05/15/25 | | | 5.750 | | | 247,729 | |
750 | | | Avient Corp., Rule 144A, Senior Unsecured Notes (Callable 08/01/25 @ 103.56)(1) | | (BB-, Ba3) | | 08/01/30 | | | 7.125 | | | 756,508 | |
500 | | | Herens Holdco Sarl, Rule 144A, Senior Secured Notes (Callable 05/15/24 @ 102.38)(1) | | (B-, B2) | | 05/15/28 | | | 4.750 | | | 410,630 | |
450 | | | Olympus Water U.S. Holding Corp., Rule 144A, Senior Unsecured Notes (Callable 10/01/24 @ 103.13)(1),(4) | | (CCC+, Caa2) | | 10/01/29 | | | 6.250 | | | 374,036 | |
52 | | | Reichhold Industries, Inc., PIK Rule 144A, Senior Secured Notes (1),(2),(5),(6),(7),(8),(9) | | (NR, WR) | | 05/01/18 | | | 0.000 | | | 706 | |
2,550 | | | Schenectady International Group, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/15/23 @ 103.38)(1) | | (CCC+, Caa2) | | 05/15/26 | | | 6.750 | | | 1,153,288 | |
500 | | | Trinseo Materials Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/24 @ 102.56)(1) | | (B-, B2) | | 04/01/29 | | | 5.125 | | | 360,947 | |
3,000 | | | Vibrantz Technologies, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/25 @ 104.50)(1),(4) | | (CCC+, Caa2) | | 02/15/30 | | | 9.000 | | | 2,316,448 | |
| | | | | | | | | | | | | 5,620,292 | |
Consumer/Commercial/Lease Financing (0.1%) | | | | | | | | | | | |
520 | | | Cargo Aircraft Management, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/16/23 @ 102.38)(1) | | (BB, Ba2) | | 02/01/28 | | | 4.750 | | | 471,206 | |
| | | | | | | | | | | | | | |
Diversified Capital Goods (1.0%) | | | | | | | | | | | |
2,458 | | | Atkore, Inc., Rule 144A, Senior Unsecured Notes (Callable 06/01/26 @ 102.13)(1) | | (BB, Ba2) | | 06/01/31 | | | 4.250 | | | 2,162,438 | |
1,350 | | | GrafTech Finance, Inc., Rule 144A, Senior Secured Notes (Callable 12/15/23 @ 102.31)(1) | | (BB, Ba3) | | 12/15/28 | | | 4.625 | | | 1,155,139 | |
| | | | | | | | | | | | | 3,317,577 | |
Electronics (0.4%) | | | | | | | | | | | |
1,000 | | | ON Semiconductor Corp., Rule 144A, Company Guaranteed Notes (Callable 09/01/23 @ 101.94)(1) | | (BB, Ba2) | | 09/01/28 | | | 3.875 | | | 913,770 | |
500 | | | Sensata Technologies, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/29 @ 100.00)(1) | | (BB+, Ba3) | | 02/15/30 | | | 4.375 | | | 453,260 | |
| | | | | | | | | | | | | 1,367,030 | |
Energy - Exploration & Production (0.8%) | | | | | | | | | | | |
58 | | | CNX Resources Corp., Rule 144A, Company Guaranteed Notes (Callable 03/03/23 @ 105.44)(1) | | (BB, B1) | | 03/14/27 | | | 7.250 | | | 57,793 | |
1,000 | | | Northern Oil & Gas, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/01/24 @ 104.06)(1) | | (B+, B3) | | 03/01/28 | | | 8.125 | | | 997,668 | |
1,000 | | | Rockcliff Energy II LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/24 @ 102.75)(1) | | (B+, B3) | | 10/15/29 | | | 5.500 | | | 952,796 | |
750 | | | W&T Offshore, Inc., Rule 144A, Secured Notes (Callable 02/08/23 @ 100.00)(1) | | (B, Caa2) | | 11/01/23 | | | 9.750 | | | 750,779 | |
| | | | | | | | | | | | | 2,759,036 | |
Environmental (0.2%) | | | | | | | | | | | |
250 | | | Clean Harbors, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/26 @ 103.19)(1) | | (BB+, Ba3) | | 02/01/31 | | | 6.375 | | | 254,962 | |
250 | | | Darling Ingredients, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/25 @ 103.00)(1) | | (BB+, Ba2) | | 06/15/30 | | | 6.000 | | | 249,059 | |
| | | | | | | | | | | | | 504,021 | |
Gaming (0.3%) | | | | | | | | | | | |
400 | | | Boyd Gaming Corp., Rule 144A, Company Guaranteed Notes (Callable 06/15/26 @ 102.38)(1) | | (BB, B3) | | 06/15/31 | | | 4.750 | | | 360,462 | |
410 | | | CDI Escrow Issuer, Inc., Rule 144A, Senior Unsecured Notes (Callable 04/01/25 @ 102.88)(1) | | (B+, B1) | | 04/01/30 | | | 5.750 | | | 389,461 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | |
CORPORATE BONDS (continued) | | | | | | | | | | | |
Gaming(continued) | | | | | | | | | | | |
$ | 237 | | | Jacobs Entertainment, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/25 @ 103.38)(1) | | (B, B2) | | 02/15/29 | | | 6.750 | | | $ | 218,554 | |
| | | | | | | | | | | | | 968,477 | |
Gas Distribution (1.5%) | | | | | | | | | | | |
500 | | | CNX Midstream Partners LP, Rule 144A, Company Guaranteed Notes (Callable 04/15/25 @ 102.38)(1) | | (BB, B1) | | 04/15/30 | | | 4.750 | | | 423,820 | |
750 | | | Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 03/03/23 @ 101.63) | | (B, B2) | | 10/01/25 | | | 6.500 | | | 737,812 | |
625 | | | Genesis Energy Finance Corp., Global Senior Unsecured Notes (Callable 04/15/26 @ 104.44) | | (B, B2) | | 04/15/30 | | | 8.875 | | | 636,713 | |
500 | | | Hess Midstream Operations LP, Rule 144A, Company Guaranteed Notes (Callable 10/15/25 @ 102.75)(1) | | (BB+, Ba2) | | 10/15/30 | | | 5.500 | | | 466,903 | |
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 | | | 952,842 | |
1,500 | | | Rockies Express Pipeline LLC, Rule 144A, Senior Unsecured Notes (Callable 04/15/29 @ 100.00)(1) | | (BB+, Ba2) | | 07/15/29 | | | 4.950 | | | 1,357,571 | |
500 | | | Rockies Express Pipeline LLC, Rule 144A, Senior Unsecured Notes (Callable 02/15/30 @ 100.00)(1) | | (BB+, Ba2) | | 05/15/30 | | | 4.800 | | | 446,078 | |
| | | | | | | | | | | | | 5,021,739 | |
Health Facility (0.3%) | | | | | | | | | | | |
1,000 | | | Option Care Health, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/31/24 @ 102.19)(1) | | (B-, B3) | | 10/31/29 | | | 4.375 | | | 865,172 | |
| | | | | | | | | | | |
Health Services (1.1%) | | | | | | | | | | | |
250 | | | AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/03/23 @ 102.31)(1) | | (BB-, Ba3) | | 10/01/27 | | | 4.625 | | | 232,198 | |
1,360 | | | AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.00)(1) | | (BB-, Ba3) | | 04/15/29 | | | 4.000 | | | 1,177,948 | |
1,000 | | | AthenaHealth Group, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/25 @ 103.25)(1),(4) | | (CCC, Caa2) | | 02/15/30 | | | 6.500 | | | 830,011 | |
2,500 | | | Radiology Partners, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/03/23 @ 104.63)(1) | | (CCC, Caa3) | | 02/01/28 | | | 9.250 | | | 1,516,287 | |
| | | | | | | | | | | | | 3,756,444 | |
Insurance Brokerage (2.3%) | | | | | | | | | | | |
750 | | | GTCR AP Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/03/23 @ 104.00)(1) | | (CCC+, Caa2) | | 05/15/27 | | | 8.000 | | | 737,591 | |
1,200 | | | Jones Deslauriers Insurance Management, Inc., Rule 144A, Senior Unsecured Notes (Callable 12/15/25 @ 105.25)(1) | | (CCC, Caa2) | | 12/15/30 | | | 10.500 | | | 1,222,038 | |
725 | | | NFP Corp., Rule 144A, Senior Secured Notes (Callable 08/15/23 @ 102.44)(1) | | (B, B1) | | 08/15/28 | | | 4.875 | | | 634,052 | |
4,578 | | | NFP Corp., Rule 144A, Senior Unsecured Notes (Callable 08/15/23 @ 103.44)(1) | | (CCC+, Caa2) | | 08/15/28 | | | 6.875 | | | 3,970,248 | |
1,250 | | | Ryan Specialty Group LLC, Rule 144A, Senior Secured Notes (Callable 02/01/25 @ 102.19)(1) | | (BB-, B1) | | 02/01/30 | | | 4.375 | | | 1,127,825 | |
| | | | | | | | | | | | | 7,691,754 | |
Investments & Misc. Financial Services (2.6%) | | | | | | | | | | | |
2,000 | | | Armor Holdco, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 104.25)(1) | | (CCC+, Caa1) | | 11/15/29 | | | 8.500 | | | 1,708,420 | |
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 | | | 1,351,710 | |
3,275 | | | Compass Group Diversified Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 01/15/27 @ 102.50)(1) | | (B+, B1) | | 01/15/32 | | | 5.000 | | | 2,699,685 | |
2,000 | | | Home Point Capital, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/03/23 @ 102.50)(1) | | (NR, Caa1) | | 02/01/26 | | | 5.000 | | | 1,443,819 | |
1,900 | | | Paysafe Holdings U.S. Corp., Rule 144A, Senior Secured Notes (Callable 06/15/24 @ 102.00)(1),(4) | | (B, B2) | | 06/15/29 | | | 4.000 | | | 1,512,959 | |
| | | | | | | | | | | | | 8,716,593 | |
Machinery (3.5%) | | | | | | | | | | | |
2,448 | | | Arcosa, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.19)(1) | | (BB, Ba2) | | 04/15/29 | | | 4.375 | | | 2,192,358 | |
2,700 | | | ATS Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/23 @ 102.06)(1) | | (BB-, B2) | | 12/15/28 | | | 4.125 | | | 2,422,156 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | |
CORPORATE BONDS (continued) | | | | | | | | | | | |
Machinery(continued) | | | | | | | | | | | |
$ | 2,200 | | | Dornoch Debt Merger Sub, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/15/24 @ 103.31)(1) | | (CCC, Caa2) | | 10/15/29 | | | 6.625 | | | $ | 1,654,596 | |
3,200 | | | Granite U.S. Holdings Corp., Rule 144A, Company Guaranteed Notes (Callable 03/03/23 @ 105.50)(1),(4) | | (CCC+, Caa1) | | 10/01/27 | | | 11.000 | | | 3,385,216 | |
1,685 | | | Harsco Corp., Rule 144A, Company Guaranteed Notes (Callable 03/03/23 @ 102.88)(1) | | (B, B3) | | 07/31/27 | | | 5.750 | | | 1,427,700 | |
250 | | | Hillenbrand, Inc., Global Company Guaranteed Notes (Callable 03/03/23 @ 102.88) | | (BB+, Ba1) | | 06/15/25 | | | 5.750 | | | 251,659 | |
300 | | | Regal Rexnord Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/29 @ 100.00)(1) | | (BB+, Baa3) | | 02/15/30 | | | 6.300 | | | 305,489 | |
300 | | | Regal Rexnord Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/33 @ 100.00)(1) | | (BB+, Baa3) | | 04/15/33 | | | 6.400 | | | 307,414 | |
| | | | | | | | | | | | | 11,946,588 | |
Managed Care (0.1%) | | | | | | | | | | | |
475 | | | HealthEquity, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/24 @ 102.25)(1) | | (B, B3) | | 10/01/29 | | | 4.500 | | | 425,861 | |
| | | | | | | | | | | | | | |
Media - Diversified (0.1%) | | | | | | | | | | | |
500 | | | News Corp., Rule 144A, Company Guaranteed Notes (Callable 02/15/27 @ 102.56)(1) | | (BB+, Ba1) | | 02/15/32 | | | 5.125 | | | 471,397 | |
| | | | | | | | | | | | | | |
Media Content (0.1%) | | | | | | | | | | | |
500 | | | WMG Acquisition Corp., Rule 144A, Senior Secured Notes (Callable 07/15/25 @ 101.94)(1) | | (BB+, Ba3) | | 07/15/30 | | | 3.875 | | | 441,385 | |
| | | | | | | | | | | | | | |
Medical Products (0.2%) | | | | | | | | | | | |
500 | | | Avantor Funding, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/23 @ 102.31)(1) | | (BB-, B2) | | 07/15/28 | | | 4.625 | | | 471,202 | |
375 | | | Embecta Corp., Rule 144A, Senior Secured Notes (Callable 02/15/27 @ 101.25)(1) | | (B+, Ba3) | | 02/15/30 | | | 5.000 | | | 309,896 | |
| | | | | | | | | | | | | 781,098 | |
Metals & Mining - Excluding Steel (1.4%) | | | | | | | | | | | |
750 | | | Canpack U.S. LLC, Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 101.94)(1) | | (BB-, NR) | | 11/15/29 | | | 3.875 | | | 623,685 | |
2,385 | | | ERO Copper Corp., Rule 144A, Company Guaranteed Notes (Callable 02/15/25 @ 103.25)(1) | | (B, B1) | | 02/15/30 | | | 6.500 | | | 2,038,614 | |
1,345 | | | Kaiser Aluminum Corp., Rule 144A, Company Guaranteed Notes (Callable 06/01/26 @ 102.25)(1) | | (BB-, B1) | | 06/01/31 | | | 4.500 | | | 1,139,087 | |
398 | | | Novelis Corp., Rule 144A, Company Guaranteed Notes (Callable 08/15/26 @ 101.94)(1) | | (BB, Ba3) | | 08/15/31 | | | 3.875 | | | 336,515 | |
654 | | | Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 03/03/23 @ 103.50)(1),(4) | | (B-, B3) | | 02/15/26 | | | 7.000 | | | 620,610 | |
| | | | | | | | | | | | | 4,758,511 | �� |
Packaging (2.0%) | | | | | | | | | | | |
350 | | | Ardagh Metal Packaging Finance PLC, Rule 144A, Senior Unsecured Notes (Callable 05/15/24 @ 101.50)(1),(3) | | (B+, B3) | | 09/01/29 | | | 3.000 | | | 296,971 | |
520 | | | Mauser Packaging Solutions Holding Co., Rule 144A, Senior Secured Notes (Callable 08/15/24 @ 103.94)(1) | | (B, B2) | | 08/15/26 | | | 7.875 | | | 525,200 | |
250 | | | Sealed Air Corp., Rule 144A, Senior Unsecured Notes (Callable 02/01/25 @ 103.06)(1) | | (BB+, Ba2) | | 02/01/28 | | | 6.125 | | | 252,437 | |
1,250 | | | Trident TPI Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/13/23 @ 102.31)(1) | | (CCC+, Caa2) | | 08/01/24 | | | 9.250 | | | 1,221,309 | |
4,950 | | | TriMas Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.06)(1) | | (BB-, Ba3) | | 04/15/29 | | | 4.125 | | | 4,412,207 | |
| | | | | | | | | | | | | 6,708,124 | |
Personal & Household Products (0.7%) | | | | | | | | | | | |
750 | | | High Ridge Brands Co., Rule 144A, Company Guaranteed Notes (Callable 02/09/23 @ 100.00)(1),(5),(7),(8) | | (NR, NR) | | 03/15/25 | | | 0.000 | | | 15,000 | |
2,290 | | | MajorDrive Holdings IV LLC, Rule 144A, Senior Unsecured Notes (Callable 06/01/24 @ 103.19)(1) | | (CCC+, Caa2) | | 06/01/29 | | | 6.375 | | | 1,811,791 | |
375 | | | Mattel, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/24 @ 101.88)(1) | | (BB+, Baa3) | | 04/01/29 | | | 3.750 | | | 336,574 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | |
CORPORATE BONDS (continued) | | | | | | | | | | | |
Personal & Household Products(continued) | | | | | | | | | | | |
$ | 350 | | | Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/26 @ 101.88)(1) | | (BB-, B2) | | 04/01/31 | | | 3.750 | | | $ | 297,664 | |
| | | | | | | | | | | | | 2,461,029 | |
Pharmaceuticals (0.6%) | | | | | | | | | | | |
950 | | | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/16/23 @ 103.50)(1) | | (CCC, Ca) | | 01/15/28 | | | 7.000 | | | 436,539 | |
500 | | | Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/24 @ 103.13)(1) | | (CCC, Ca) | | 02/15/29 | | | 6.250 | | | 230,710 | |
922 | | | Emergent BioSolutions, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/23 @ 101.94)(1) | | (B, Caa1) | | 08/15/28 | | | 3.875 | | | 402,241 | |
250 | | | Endo U.S., Inc., Rule 144A, Senior Secured Notes (Callable 04/01/24 @ 104.59)(1),(5),(7) | | (NR, NR) | | 04/01/29 | | | 6.125 | | | 195,062 | |
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 | | | 391,955 | |
500 | | | Syneos Health, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/24 @ 101.81)(1) | | (BB-, B1) | | 01/15/29 | | | 3.625 | | | 405,107 | |
| | | | | | | | | | | | | 2,061,614 | |
Real Estate Development & Management (0.2%) | | | | | | | | | | | |
1,511 | | | WeWork Cos., Inc., Rule 144A, Company Guaranteed Notes (1) | | (CCC+, WR) | | 05/01/25 | | | 7.875 | | | 818,093 | |
| | | | | | | | | | | | | | |
Real Estate Investment Trusts (0.7%) | | | | | | | | | | | |
2,190 | | | Global Net Lease Operating Partnership LP, Rule 144A, Company Guaranteed Notes (Callable 09/15/27 @ 100.00)(1) | | (BBB-, Ba3) | | 12/15/27 | | | 3.750 | | | 1,849,854 | |
700 | | | Starwood Property Trust, Inc., Rule 144A, Senior Unsecured Notes (Callable 01/15/26 @ 100.00)(1) | | (BB-, Ba3) | | 07/15/26 | | | 3.625 | | | 629,122 | |
| | | | | | | | | | | | | 2,478,976 | |
Recreation & Travel (2.0%) | | | | | | | | | | | |
1,550 | | | Boyne U.S.A., Inc., Rule 144A, Senior Unsecured Notes (Callable 05/15/24 @ 102.38)(1) | | (B, B1) | | 05/15/29 | | | 4.750 | | | 1,406,251 | |
3,375 | | | SeaWorld Parks & Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/24 @ 102.63)(1),(4) | | (B, B3) | | 08/15/29 | | | 5.250 | | | 3,054,088 | |
250 | | | SeaWorld Parks & Entertainment, Inc., Rule 144A, Senior Secured Notes (Callable 03/03/23 @ 104.38)(1) | | (BB, Ba3) | | 05/01/25 | | | 8.750 | | | 257,472 | |
2,250 | | | Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 03/03/23 @ 100.00)(1) | | (B, B3) | | 07/31/24 | | | 4.875 | | | 2,204,820 | |
| | | | | | | | | | | | | 6,922,631 | |
Restaurants (0.4%) | | | | | | | | | | | |
1,250 | | | Yum! Brands, Inc., Global Senior Unsecured Notes (Callable 04/01/27 @ 102.69) | | (BB, Ba3) | | 04/01/32 | | | 5.375 | | | 1,184,021 | |
| | | | | | | | | | | | | | |
Software - Services (5.6%) | | | | | | | | | | | |
600 | | | Black Knight InfoServ LLC, Rule 144A, Company Guaranteed Notes (Callable 09/01/23 @ 101.81)(1) | | (BB-, Ba3) | | 09/01/28 | | | 3.625 | | | 534,000 | |
450 | | | Central Parent, Inc., Rule 144A, Senior Secured Notes (Callable 06/15/25 @ 103.63)(1) | | (B+, B1) | | 06/15/29 | | | 7.250 | | | 449,457 | |
3,000 | | | Elastic NV, Rule 144A, Senior Unsecured Notes (Callable 07/15/24 @ 102.06)(1) | | (B+, B1) | | 07/15/29 | | | 4.125 | | | 2,571,292 | |
4,095 | | | Endurance International Group Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/24 @ 103.00)(1) | | (CCC+, Caa2) | | 02/15/29 | | | 6.000 | | | 2,915,424 | |
972 | | | Open Text Corp., Rule 144A, Company Guaranteed Notes (Callable 03/03/23 @ 101.94)(1) | | (BB-, Ba3) | | 02/15/28 | | | 3.875 | | | 843,506 | |
2,225 | | | Open Text Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/24 @ 101.94)(1) | | (BB-, Ba3) | | 12/01/29 | | | 3.875 | | | 1,853,437 | |
450 | | | Open Text Corp., Rule 144A, Senior Secured Notes (Callable 11/01/27 @ 100.00)(1) | | (BBB-, Ba1) | | 12/01/27 | | | 6.900 | | | 461,734 | |
475 | | | Open Text Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/01/26 @ 102.06)(1) | | (BB-, Ba3) | | 12/01/31 | | | 4.125 | | | 386,797 | |
2,787 | | | Presidio Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/03/23 @ 104.13)(1) | | (CCC+, Caa1) | | 02/01/28 | | | 8.250 | | | 2,683,658 | |
4,575 | | | Virtusa Corp., Rule 144A, Senior Unsecured Notes (Callable 12/15/23 @ 103.56)(1) | | (CCC+, Caa1) | | 12/15/28 | | | 7.125 | | | 3,850,206 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | |
CORPORATE BONDS (continued) | | | | | | | | | | | |
Software - Services(continued) | | | | | | | | | | | |
$ | 3,000 | | | ZoomInfo Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/24 @ 101.94)(1),(4) | | (B+, B1) | | 02/01/29 | | | 3.875 | | | $ | 2,590,995 | |
| | | | | | | | | | | | | 19,140,506 | |
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 | | | 335,501 | |
67 | | | Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 03/01/25 @ 102.38) | | (BB, B1) | | 03/01/30 | | | 4.750 | | | 58,675 | |
64 | | | Eagle Intermediate Global Holdings B.V. (8),(9) | | (NR, NR) | | 05/01/25 | | | 0.000 | | | 29,795 | |
48 | | | Eagle Intermediate Global Holdings B.V., Rule 144A, Senior Secured Notes (Callable 02/13/23 @ 103.75)(1),(8),(9) | | (NR, NR) | | 05/01/25 | | | 7.500 | | | 29,239 | |
1,750 | | | Eagle Intermediate Global Holdings B.V., Rule 144A, Senior Secured Notes (Callable 02/13/23 @ 103.75)(1) | | (NR, Caa1) | | 05/01/25 | | | 7.500 | | | 1,104,687 | |
500 | | | eG Global Finance PLC, Rule 144A, Senior Secured Notes (Callable 03/03/23 @ 102.13)(1) | | (B-, B3) | | 10/30/25 | | | 8.500 | | | 472,057 | |
325 | | | Group 1 Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/23 @ 102.00)(1) | | (BB+, Ba2) | | 08/15/28 | | | 4.000 | | | 286,252 | |
750 | | | Lithia Motors, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/03/23 @ 103.47)(1) | | (BB+, Ba2) | | 12/15/27 | | | 4.625 | | | 698,374 | |
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 | | | 313,952 | |
1,225 | | | Sonic Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 102.31)(1) | | (BB-, B1) | | 11/15/29 | | | 4.625 | | | 1,015,029 | |
289 | | | Wolverine World Wide, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/24 @ 102.00)(1) | | (B+, Ba3) | | 08/15/29 | | | 4.000 | | | 232,898 | |
| | | | | | | | | | | | | 4,576,459 | |
Steel Producers/Products (0.4%) | | | | | | | | | | | |
1,650 | | | TMS International Corp., Rule 144A, Senior Unsecured Notes (Callable 04/15/24 @ 103.13)(1) | | (B, Caa1) | | 04/15/29 | | | 6.250 | | | 1,251,543 | |
| | | | | | | | | | | |
Support - Services (4.7%) | | | | | | | | | | | |
944 | | | Allied Universal Finance Corp., Rule 144A, Senior Secured Notes (Callable 06/01/24 @ 101.81)(1),(3) | | (B, B2) | | 06/01/28 | | | 3.625 | | | 858,375 | |
842 | | | Allied Universal Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 03/03/23 @ 104.88)(1) | | (CCC+, Caa1) | | 07/15/27 | | | 9.750 | | | 805,226 | |
2,200 | | | Allied Universal Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 06/01/24 @ 103.00)(1),(4) | | (CCC+, Caa1) | | 06/01/29 | | | 6.000 | | | 1,772,881 | |
1,613 | | | ASGN, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/15/23 @ 102.31)(1) | | (BB-, Ba3) | | 05/15/28 | | | 4.625 | | | 1,473,532 | |
3,250 | | | CoreLogic, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/24 @ 102.25)(1) | | (B-, B2) | | 05/01/28 | | | 4.500 | | | 2,588,446 | |
250 | | | Gartner, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/01/23 @ 102.25)(1) | | (BB+, Ba1) | | 07/01/28 | | | 4.500 | | | 237,811 | |
250 | | | Gartner, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/24 @ 101.81)(1) | | (BB+, Ba1) | | 06/15/29 | | | 3.625 | | | 224,898 | |
3,685 | | | GEMS Education Delaware LLC, Rule 144A, Senior Secured Notes (Callable 03/03/23 @ 103.56)(1) | | (B-, B3) | | 07/31/26 | | | 7.125 | | | 3,641,939 | |
2,750 | | | GYP Holdings III Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/24 @ 102.31)(1) | | (B, B1) | | 05/01/29 | | | 4.625 | | | 2,329,985 | |
500 | | | WESCO Distribution, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/23 @ 103.63)(1) | | (BB, Ba3) | | 06/15/28 | | | 7.250 | | | 512,836 | |
1,025 | | | White Cap Buyer LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/23 @ 103.44)(1) | | (CCC+, Caa1) | | 10/15/28 | | | 6.875 | | | 934,675 | |
800 | | | ZipRecruiter, Inc., Rule 144A, Senior Unsecured Notes (Callable 01/15/25 @ 102.50)(1) | | (BB-, B2) | | 01/15/30 | | | 5.000 | | | 697,036 | |
| | | | | | | | | | | | | 16,077,640 | |
Tech Hardware & Equipment (0.9%) | | | | | | | | | | | |
1,000 | | | Entegris Escrow Corp., Rule 144A, Senior Secured Notes (Callable 01/15/29 @ 100.00)(1) | | (BB+, Baa3) | | 04/15/29 | | | 4.750 | | | 937,562 | |
2,305 | | | Vertiv Group Corp., Rule 144A, Senior Secured Notes (Callable 11/15/24 @ 102.06)(1) | | (BB-, B1) | | 11/15/28 | | | 4.125 | | | 1,999,707 | |
| | | | | | | | | | | | | 2,937,269 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | |
CORPORATE BONDS (continued) | | | | | | | | | | | |
Telecom - Wireline Integrated & Services (1.8%) | | | | | | | | | | | |
$ | 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 | | | $ | 783,090 | |
770 | | | Altice France S.A., Rule 144A, Senior Secured Notes (Callable 10/15/24 @ 102.75)(1) | | (B, B2) | | 10/15/29 | | | 5.500 | | | 607,146 | |
755 | | | LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes (Callable 03/03/23 @ 103.38)(1) | | (B+, B1) | | 10/15/27 | | | 6.750 | | | 732,114 | |
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 | | | 435,940 | |
1,500 | | | Level 3 Financing, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/24 @ 101.81)(1) | | (BB-, Ba3) | | 01/15/29 | | | 3.625 | | | 1,118,250 | |
500 | | | Level 3 Financing, Inc., Rule 144A, Senior Secured Notes (Callable 08/15/29 @ 100.00)(1) | | (BB+, Ba1) | | 11/15/29 | | | 3.875 | | | 403,238 | |
2,500 | | | Vmed O2 UK Financing I PLC, Rule 144A, Senior Secured Notes (Callable 01/31/26 @ 102.13)(1) | | (BB-, Ba3) | | 01/31/31 | | | 4.250 | | | 2,093,475 | |
| | | | | | | | | | | | | 6,173,253 | |
Theaters & Entertainment (0.1%) | | | | | | | | | | | |
500 | | | Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/03/23 @ 100.00)(1) | | (B, B3) | | 11/01/24 | | | 4.875 | | | 486,333 | |
| | | | | | | | | | | | | | |
Transport Infrastructure/Services (0.6%) | | | | | | | | | | | |
2,000 | | | XPO Escrow Sub LLC, Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 103.75)(1),(4) | | (BB+, Baa3) | | 11/15/27 | | | 7.500 | | | 2,057,710 | |
TOTAL CORPORATE BONDS (Cost $172,601,513) | | | | | | | | | | 155,757,602 | |
| | | | | | | | | | | |
BANK LOANS (42.2%) | | | | | | | | | | | |
Advertising (0.7%) | | | | | | | | | | | |
719 | | | MH Sub I, LLC (1st Lien Term Loan), LIBOR 1M + 3.750%(10) | | (B, B2) | | 09/13/24 | | | 8.320 | | | 712,319 | |
1,546 | | | MH Sub I, LLC (Incremental Term Loan), LIBOR 1M + 3.750%(10) | | (B, B2) | | 09/13/24 | | | 8.320 | | | 1,532,645 | |
| | | | | | | | | | | | | 2,244,964 | |
Aerospace & Defense (0.7%) | | | | | | | | | | | |
1,600 | | | Amentum Government Services Holdings LLC, SOFR 3M + 7.500%(10) | | (NR, NR) | | 02/15/30 | | | 12.178 | | | 1,488,000 | |
761 | | | Peraton Corp., LIBOR 1M + 3.750%(10) | | (B+, B1) | | 02/01/28 | | | 8.320 | | | 758,245 | |
| | | | | | | | | | | | | 2,246,245 | |
Auto Parts & Equipment (1.4%) | | | | | | | | | | | |
301 | | | American Axle & Manufacturing, Inc., SOFR 1M + 3.600%(10) | | (BB+, Ba1) | | 12/13/29 | | | 8.033 | | | 301,095 | |
1,056 | | | Autokiniton U.S. Holdings, Inc., LIBOR 1M + 4.500%(10) | | (B, B2) | | 04/06/28 | | | 8.959 | | | 1,051,878 | |
376 | | | Dealer Tire Financial LLC, SOFR 1M + 4.500%(10) | | (B-, B1) | | 12/14/27 | | | 9.061 | | | 376,796 | |
632 | | | Holley Purchaser, Inc., LIBOR 3M + 3.750%(10) | | (B-, B2) | | 11/17/28 | | | 8.424 - 8.480 | | | 551,849 | |
157 | | | Jason Group, Inc., LIBOR 1M + 1.000% Cash, 9.000% PIK(2),(10) | | (NR, WR) | | 03/02/26 | | | 14.570 | | | 154,502 | |
205 | | | Jason Group, Inc., LIBOR 1M + 2.000% Cash, 4.000% PIK(2),(10) | | (NR, WR) | | 08/28/25 | | | 10.570 | | | 172,830 | |
1,028 | | | RVR Dealership Holdings LLC, SOFR 1M + 3.750%(10) | | (BB-, B1) | | 02/08/28 | | | 8.554 | | | 932,099 | |
1,386 | | | U.S. Farathane LLC, LIBOR 3M + 4.250%(10) | | (CCC+, B2) | | 12/23/24 | | | 8.980 | | | 1,289,257 | |
| | | | | | | | | | | | | 4,830,306 | |
Brokerage (0.2%) | | | | | | | | | | | |
604 | | | DRW Holdings LLC, LIBOR 1M + 3.750%(10) | | (BB-, Ba3) | | 03/01/28 | | | 8.320 | | | 592,153 | |
| | | | | | | | | | | | | | |
Building Materials (1.0%) | | | | | | | | | | | |
1,181 | | | Cornerstone Building Brands, Inc., LIBOR 1M + 3.250%(10) | | (B, B2) | | 04/12/28 | | | 7.709 | | | 1,108,729 | |
178 | | | Cornerstone Building Brands, Inc., SOFR 1M + 5.625%(10) | | (B, B2) | | 08/01/28 | | | 10.103 | | | 172,371 | |
2,096 | | | Oscar AcquisitionCo, LLC, SOFR 3M + 4.500%(10) | | (B, B1) | | 04/29/29 | | | 9.180 | | | 2,035,001 | |
| | | | | | | | | | | | | 3,316,101 | |
Cable & Satellite TV (0.1%) | | | | | | | | | | | |
475 | | | Altice Financing S.A., SOFR 3M + 5.000%(10) | | (B, B2) | | 10/31/27 | | | 9.566 | | | 469,853 | |
| | | | | | | | | | | | | | |
Chemicals (1.2%) | | | | | | | | | | | |
430 | | | CPC Acquisition Corp., LIBOR 3M + 7.750%(10) | | (CCC, Caa3) | | 12/29/28 | | | 12.480 | | | 266,516 | |
249 | | | Lonza Group AG, LIBOR 3M + 4.000%(10) | | (B-, B2) | | 07/03/28 | | | 8.730 | | | 239,868 | |
1,299 | | | Luxembourg Investment Co. 428 S.a r.l., SOFR 3M + 5.000%(10) | | (B-, B2) | | 01/03/29 | | | 9.730 | | | 1,041,378 | |
784 | | | Vantage Specialty Chemicals, Inc., LIBOR 3M + 3.500%(10) | | (B-, B3) | | 10/28/24 | | | 8.230 - 8.325 | | | 776,242 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | |
BANK LOANS (continued) | | | | | | | | | | | |
Chemicals(continued) | | | | | | | | | | | |
$ | 455 | | | Vantage Specialty Chemicals, Inc., LIBOR 3M + 8.250%(6),(10) | | (CCC, Caa2) | | 10/27/25 | | | 12.985 | | | $ | 428,401 | |
446 | | | Vantage Specialty Chemicals, Inc., SOFR 3M + 3.500%(10) | | (B-, B3) | | 10/28/24 | | | 8.326 | | | 441,370 | |
1,295 | | | Zep, Inc., LIBOR 3M + 4.000%(10) | | (CCC+, B3) | | 08/12/24 | | | 8.580 | | | 1,087,658 | |
| | | | | | | | | | | | | 4,281,433 | |
Diversified Capital Goods (1.5%) | | | | | | | | | | | |
1,924 | | | Callaway Golf Co., LIBOR 1M + 4.500%(10) | | (B+, B1) | | 01/02/26 | | | 9.070 | | | 1,928,475 | |
1,560 | | | Dynacast International LLC, LIBOR 3M + 4.500%(10) | | (B-, B2) | | 07/22/25 | | | 9.199 | | | 1,414,166 | |
585 | | | Dynacast International LLC, LIBOR 3M + 9.000%(8),(10) | | (CCC, Caa2) | | 10/22/25 | | | 13.699 | | | 473,977 | |
1,369 | | | Electrical Components International, Inc., LIBOR 1M + 4.250%(10) | | (B-, B2) | | 06/26/25 | | | 8.820 | | | 1,240,009 | |
| | | | | | | | | | | | | 5,056,627 | |
Electronics (1.0%) | | | | | | | | | | | |
3,065 | | | Idemia Group, LIBOR 3M + 4.500%(8),(10) | | (B, B3) | | 01/09/26 | | | 9.230 | | | 3,057,055 | |
500 | | | Infinite Bidco LLC, LIBOR 3M + 7.000%(10) | | (CCC, Caa2) | | 03/02/29 | | | 11.730 | | | 452,500 | |
| | | | | | | | | | | | | 3,509,555 | |
Energy - Exploration & Production (0.1%) | | | | | | | | | | | |
241 | | | Oryx Midstream Services Permian Basin LLC(11) | | (BB-, Ba3) | | 10/05/28 | | | 0.000 | | | 240,199 | |
888 | | | PES Holdings, LLC, 3.000% PIK(2),(5),(10) | | (NR, WR) | | 12/31/24 | | | 3.000 | | | 26,080 | |
| | | | | | | | | | | | | 266,279 | |
Food & Drug Retailers (0.8%) | | | | | | | | | | | |
1,965 | | | Packaging Coordinators Midco, Inc., LIBOR 3M + 3.500%(10) | | (B-, B2) | | 11/30/27 | | | 8.230 | | | 1,932,194 | |
866 | | | WOOF Holdings, Inc., LIBOR 1M + 7.250%(10) | | (CCC, Caa2) | | 12/21/28 | | | 11.758 | | | 775,934 | |
| | | | | | | | | | | | | 2,708,128 | |
Food - Wholesale (0.6%) | | | | | | | | | | | |
2,024 | | | AI Aqua Merger Sub, Inc., SOFR 1M + 3.750%(10) | | (B, B3) | | 07/31/28 | | | 8.147 | | | | 1,980,399 | |
| | | | | | | | | | | | | | |
Gaming (0.4%) | | | | | | | | | | | |
922 | | | CBAC Borrower LLC, LIBOR 1M + 4.000%(6),(10) | | (B-, Caa1) | | 07/08/24 | | | 8.570 | | | 907,211 | |
326 | | | Fertitta Entertainment, LLC, SOFR 1M + 4.000%(10) | | (B, B2) | | 01/27/29 | | | 8.561 | | | 322,411 | |
| | | | | | | | | | | | | 1,229,622 | |
Gas Distribution (0.2%) | | | | | | | | | | | |
695 | | | BCP Renaissance Parent LLC, SOFR 1M + 3.500%(10) | | (B+, B2) | | 10/31/26 | | | 8.061 | | | 694,805 | |
| | | | | | | | | | | | | | |
Health Facilities (0.9%) | | | | | | | | | | | |
305 | | | Carestream Health, Inc., SOFR 3M + 7.500%(10) | | (B-, B3) | | 09/30/27 | | | 12.180 | | | 222,828 | |
997 | | | EyeCare Partners, LLC, LIBOR 3M + 3.750%(10) | | (B-, B2) | | 02/18/27 | | | 8.480 | | | 838,177 | |
1,965 | | | Loire Finco Luxembourg Sarl, LIBOR 1M + 3.500%(10) | | (B, B3) | | 04/21/27 | | | 8.070 | | | 1,863,726 | |
| | | | | | | | | | | | | 2,924,731 | |
Health Services (3.6%) | | | | | | | | | | | |
1,769 | | | ADMI Corp., LIBOR 1M + 3.375%(10) | | (B, B3) | | 12/23/27 | | | 7.945 | | | 1,635,425 | |
1,562 | | | KUEHG Corp., LIBOR 3M + 3.750%(10) | | (B-, B2) | | 02/21/25 | | | 8.480 | | | 1,522,972 | |
22 | | | Learning Care Group, Inc., LIBOR 3M + 3.250%(10) | | (B-, B2) | | 03/13/25 | | | 7.980 - 8.075 | | | 19,946 | |
1,250 | | | Learning Care Group, Inc., LIBOR 3M + 7.500%(8),(10) | | (CCC, Caa2) | | 03/13/26 | | | 0.000 | | | 1,084,375 | |
1,470 | | | PetVet Care Centers LLC, LIBOR 1M + 3.500%(10) | | (B-, B2) | | 02/14/25 | | | 8.070 | | | 1,398,711 | |
1,500 | | | Radiology Partners, Inc., LIBOR 1M + 4.250%(10) | | (B-, B3) | | 07/09/25 | | | 8.797 | | | 1,303,440 | |
348 | | | Southern Veterinary Partners, LLC, LIBOR 1M + 4.000%(10) | | (B-, B2) | | 10/05/27 | | | 8.570 | | | 336,942 | |
1,237 | | | Therapy Brands Holdings LLC, LIBOR 1M + 4.000%(8),(10) | | (B-, B2) | | 05/18/28 | | | 8.508 | | | 1,162,696 | |
393 | | | TTF Holdings LLC, LIBOR 1M + 4.000%(10) | | (B+, B1) | | 03/31/28 | | | 8.625 | | | 392,341 | |
2,632 | | | U.S. Radiology Specialists, Inc., LIBOR 1M + 5.250%(10) | | (B-, B3) | | 12/15/27 | | | 9.875 | | | 2,520,366 | |
111 | | | Western Dental Services, Inc., LIBOR 3M + 4.500%(10) | | (B-, B3) | | 08/18/28 | | | 9.235 | | | 104,476 | |
983 | | | Western Dental Services, Inc., LIBOR 3M + 4.500%(10) | | (B-, B3) | | 08/18/28 | | | 9.235 | | | 927,347 | |
| | | | | | | | | | | | | 12,409,037 | |
Health Services (0.4%) | | | | | | | | | | | |
161 | | | Athenahealth, Inc.(11) | | (B-, B2) | | 02/15/29 | | | 0.000 | | | 153,031 | |
1,314 | | | Athenahealth, Inc.(11) | | (B-, B2) | | 02/15/29 | | | 0.000 | | | 1,248,831 | |
| | | | | | | | | | | | | 1,401,862 | |
Insurance Brokerage (1.0%) | | | | | | | | | | | |
1,500 | | | Alliant Holdings Intermediate LLC(11) | | (B, B2) | | 05/09/25 | | | 0.000 | | | 1,500,623 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | |
BANK LOANS (continued) | | | | | | | | | | | |
Insurance Brokerage(continued) | | | | | | | | | | | |
$ | 1,844 | | | Hub International Ltd.(11) | | (B, B2) | | 04/25/25 | | | 0.000 | | | $ | 1,844,117 | |
| | | | | | | | | | | | | 3,344,740 | |
Investments & Misc. Financial Services (2.1%) | | | | | | | | | | | |
436 | | | Altisource Solutions Sarl, LIBOR 3M + 4.000%(6),(10) | | (CCC-, Caa2) | | 04/03/24 | | | 8.730 | | | 354,771 | |
1,000 | | | AqGen Ascensus, Inc., LIBOR 3M + 6.500%(10) | | (CCC, Caa2) | | 08/02/29 | | | 11.313 | | | 897,500 | |
680 | | | Citadel Securities LP, SOFR 1M + 3.000%(10) | | (BBB-, Baa3) | | 02/02/28 | | | 7.676 | | | 682,667 | |
341 | | | Ditech Holding Corp.(5),(7),(8) | | (NR, WR) | | 06/30/22 | | | 0.000 | | | 37,492 | |
1,995 | | | Galaxy US Opco, Inc., SOFR 1M + 4.750%(10) | | (B-, B3) | | 04/29/29 | | | 9.311 | | | 1,822,931 | |
1,728 | | | HighTower Holdings LLC, LIBOR 3M + 4.000%(10) | | (B-, B2) | | 04/21/28 | | | 8.815 | | | 1,687,082 | |
614 | | | Jump Financial, LLC, SOFR 3M + 4.500%(8),(10) | | (BB-, Ba2) | | 08/07/28 | | | 9.342 | | | 598,168 | |
166 | | | Kestra Advisor Services Holdings A, Inc., LIBOR 3M + 4.250%(10) | | (B-, B2) | | 06/03/26 | | | 8.980 | | | 162,955 | |
988 | | | Mariner Wealth Advisors LLC, SOFR 3M + 3.250%(8),(10) | | (B-, Ba3) | | 08/18/28 | | | 7.830 | | | 977,809 | |
| | | | | | | | | | | | | 7,221,375 | |
Investments & Misc. Financial Services (0.1%) | | | | | | | | | | | |
500 | | | Deerfield Dakota Holding LLC, SOFR 1M + 3.750%(11) | | (B-, B2) | | 04/09/27 | | | 0.000 | | | 484,910 | |
| | | | | | | | | | | | | | |
Machinery (2.0%) | | | | | | | | | | | |
746 | | | 19th Holdings Golf, LLC, SOFR 1M + 3.000%(8),(10) | | (B, B1) | | 02/07/29 | | | 7.460 | | | 706,516 | |
990 | | | CMBF LLC, LIBOR 1M + 6.000%(8),(10) | | (B, B3) | | 08/02/28 | | | 10.459 | | | 905,850 | |
282 | | | CPM Holdings, Inc., LIBOR 1M + 3.500%(8),(10) | | (B, B2) | | 11/17/25 | | | 7.869 | | | 281,420 | |
197 | | | CPM Holdings, Inc., LIBOR 1M + 8.250%(6),(10) | | (B-, Caa2) | | 11/16/26 | | | 12.619 | | | 194,737 | |
411 | | | LTI Holdings, Inc., LIBOR 1M + 6.750%(6),(10) | | (CCC+, Caa2) | | 09/06/26 | | | 11.320 | | | 342,796 | |
2,429 | | | LTI Holdings, Inc., LIBOR 1M + 3.500%(10) | | (B-, B2) | | 09/06/25 | | | 8.070 | | | 2,357,036 | |
932 | | | LTI Holdings, Inc., LIBOR 1M + 4.750%(10) | | (B-, B2) | | 07/24/26 | | | 9.320 | | | 909,066 | |
983 | | | Penn Engineering & Manufacturing Corp., LIBOR 3M + 2.500%(8),(10) | | (BB-, B1) | | 06/27/24 | | | 7.230 | | | 985,944 | |
| | | | | | | | | | | | | 6,683,365 | |
Media Content (0.0%) | | | | | | | | | | | |
87 | | | Recorded Books, Inc., SOFR 1M + 4.000%(10) | | (B-, B3) | | 08/29/25 | | | 8.323 | | | 87,037 | |
| | | | | | | | | | | | | | |
Medical Products (1.2%) | | | | | | | | | | | |
1,452 | | | Artivion, Inc., SOFR 3M + 3.500%(10) | | (B, B2) | | 06/01/27 | | | 8.342 | | | 1,382,309 | |
1,346 | | | Femur Buyer, Inc., LIBOR 3M + 4.500%(10) | | (CCC+, Caa1) | | 03/05/26 | | | 9.230 | | | 1,194,237 | |
686 | | | Femur Buyer, Inc., LIBOR 3M + 5.500%(8),(10) | | (CCC+, NR) | | 03/05/24 | | | 10.342 | | | 580,812 | |
900 | | | Sotera Health Holdings LLC, LIBOR 3M + 2.750%(10) | | (BB-, B1) | | 12/11/26 | | | 7.575 | | | 869,067 | |
| | | | | | | | | | | | | 4,026,425 | |
Metals & Mining - Excluding Steel (0.0%) | | | | | | | | | | | |
198 | | | Noranda Aluminum Acquisition Corp.(5),(7),(8) | | (NR, WR) | | 02/28/19 | | | 0.000 | | | 505 | |
| | | | | | | | | | | | | | |
Packaging (0.9%) | | | | | | | | | | | |
2,091 | | | Proampac PG Borrower LLC, LIBOR 1M + 3.750%, LIBOR 3M + 3.750%(10) | | (B-, B3) | | 11/03/25 | | | 8.209 - 8.580 | | | 2,049,756 | |
716 | | | Strategic Materials, Inc., LIBOR 3M + 3.750%(6),(10) | | (CCC, Caa3) | | 11/01/24 | | | 8.190 | | | 559,660 | |
645 | | | Strategic Materials, Inc., LIBOR 3M + 7.750%(6),(10) | | (CC, C) | | 10/31/25 | | | 12.190 | | | 170,925 | |
339 | | | Technimark Holdings LLC, LIBOR 1M + 3.750%(10) | | (B-, B2) | | 07/09/28 | | | 8.258 | | | 325,958 | |
| | | | | | | | | | | | | 3,106,299 | |
Personal & Household Products (1.5%) | | | | | | | | | | | |
2,787 | | | ABG Intermediate Holdings 2 LLC, LIBOR 1M + 3.250%(10) | | (B, B1) | | 09/27/24 | | | 7.820 | | | 2,787,505 | |
166 | | | Anticimex International AB, LIBOR 3M + 4.000%(10) | | (B, B2) | | 11/16/28 | | | 8.735 | | | 165,299 | |
578 | | | Fender Musical Instruments Corp., SOFR 1M + 4.000%(8),(10) | | (B-, B3) | | 12/01/28 | | | 8.578 | | | 504,172 | |
1,344 | | | MND Holdings III Corp., LIBOR 1M + 3.500%(6),(10) | | (B-, B2) | | 06/19/24 | | | 8.230 | | | 1,287,905 | |
960 | | | Serta Simmons Bedding, LLC(5),(7) | | (D, WR) | | 08/10/23 | | | 0.000 | | | 559,502 | |
| | | | | | | | | | | | | 5,304,383 | |
Pharmaceuticals (0.5%) | | | | | | | | | | | |
158 | | | Akorn, Inc., LIBOR 3M + 7.500%(10) | | (CCC+, Caa3) | | 10/01/25 | | | 12.254 | | | 130,244 | |
860 | | | Bausch Health Companies., Inc., SOFR 1M + 5.250%(10) | | (B-, Caa1) | | 02/01/27 | | | 9.828 | | | 665,613 | |
972 | | | Endo Luxembourg Finance Co. I Sarl(5),(7) | | (NR, WR) | | 03/27/28 | | | 0.000 | | | 790,709 | |
| | | | | | | | | | | | | 1,586,566 | |
Real Estate Investment Trusts (0.2%) | | | | | | | | | | | |
735 | | | Claros Mortgage Trust, Inc., SOFR 1M + 4.500%(10) | | (B+, Ba3) | | 08/09/26 | | | 9.078 | | | 730,406 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
| | | �� | | | | | | | | | | | |
BANK LOANS (continued) | | | | | | | | | | | |
Recreation & Travel (1.5%) | | | | | | | | | | | |
$ | 1,428 | | | Bulldog Purchaser, Inc., SOFR 1M + 3.750%(10) | | (B-, B3) | | 09/05/25 | | | 8.411 | | | $ | 1,313,113 | |
61 | | | Crown Finance U.S., Inc.(5),(7) | | (D, WR) | | 02/28/25 | | | 0.000 | | | 10,740 | |
316 | | | Crown Finance U.S., Inc.(5),(7) | | (D, WR) | | 09/30/26 | | | 0.000 | | | 52,014 | |
343 | | | Crown Finance U.S., Inc., SOFR 3M + 10.000%(10) | | (NR, WR) | | 09/07/23 | | | 14.635 | | | 347,231 | |
865 | | | Hornblower Sub LLC, LIBOR 3M + 4.500%(10) | | (CCC-, Caa2) | | 04/27/25 | | | 8.670 | | | 586,529 | |
1,134 | | | Hornblower Sub LLC, LIBOR 3M + 8.125%(10) | | (NR, NR) | | 11/10/25 | | | 12.755 | | | 1,143,240 | |
350 | | | Hornblower Sub LLC, LIBOR 3M + 8.125%(10) | | (NR, NR) | | 11/10/25 | | | 12.769 | | | 352,845 | |
500 | | | Hornblower Sub, LLC, LIBOR 3M + 8.125%(10) | | (NR, NR) | | 11/20/25 | | | 12.755 - 12.800 | | | 504,065 | |
742 | | | SeaWorld Parks & Entertainment, Inc., LIBOR 1M + 3.000%(10) | | (BB, Ba3) | | 08/25/28 | | | 7.625 | | | 741,832 | |
| | | | | | | | | | | | | 5,051,609 | |
Restaurants (0.9%) | | | | | | | | | | | |
688 | | | K-Mac Holdings Corp., LIBOR 1M + 6.750%(10) | | (CCC, Caa2) | | 07/30/29 | | | 11.320 | | | 626,080 | |
1,959 | | | Miller's Ale House, Inc., LIBOR 3M + 4.750%, PRIME + 3.750%(6),(10) | | (B-, B3) | | 05/30/25 | | | 9.330 - 11.250 | | | 1,916,804 | |
77 | | | Tacala LLC, LIBOR 1M + 3.500%(10) | | (B-, B2) | | 02/05/27 | | | 8.070 | | | 75,354 | |
375 | | | Tacala LLC, LIBOR 1M + 7.500%(10) | | (CCC, Caa2) | | 02/04/28 | | | 12.070 | | | 343,204 | |
| | | | | | | | | | | | | 2,961,442 | |
Software - Services (10.6%) | | | | | | | | | | | |
1,727 | | | Applied Systems, Inc., SOFR 3M + 4.500%(10) | | (B-, B2) | | 09/18/26 | | | 9.080 | | | 1,733,645 | |
1,710 | | | Aston FinCo Sarl, LIBOR 1M + 4.250%(8),(10) | | (B-, B3) | | 10/09/26 | | | 8.820 | | | 1,475,273 | |
1,126 | | | Astra Acquisition Corp., LIBOR 1M + 5.250%(10) | | (B, B1) | | 10/25/28 | | | 9.820 | | | 998,460 | |
249 | | | Cardinal Parent, Inc., LIBOR 3M + 4.500%(10) | | (B-, B2) | | 11/12/27 | | | 9.230 | | | 222,142 | |
1,228 | | | Ceridian HCM Holding, Inc., LIBOR 1M + 2.500%(10) | | (B+, B1) | | 04/30/25 | | | 7.070 | | | 1,223,881 | |
1,000 | | | CommerceHub, Inc., SOFR 3M + 7.000%(10) | | (CCC, Caa2) | | 12/29/28 | | | 11.777 | | | 808,750 | |
1,000 | | | ConnectWise LLC(11) | | (NR, B2) | | 09/29/28 | | | 0.000 | | | 966,250 | |
1,241 | | | Cornerstone On Demand, Inc., LIBOR 1M + 3.750%(10) | | (B-, B2) | | 10/16/28 | | | 8.320 | | | 1,146,602 | |
1,250 | | | DCert Buyer, Inc., LIBOR 6M + 7.000%(10) | | (CCC, Caa2) | | 02/19/29 | | | 11.696 | | | 1,151,300 | |
2,721 | | | Finastra U.S.A., Inc., LIBOR 3M + 3.500%(10) | | (CCC+, B2) | | 06/13/24 | | | 8.325 | | | 2,563,356 | |
2,140 | | | Finastra U.S.A., Inc., LIBOR 3M + 7.250%(10) | | (CCC-, Caa2) | | 06/13/25 | | | 12.075 | | | 1,702,226 | |
1,939 | | | Flexera Software LLC, LIBOR 1M + 3.750%(10) | | (B-, B1) | | 03/03/28 | | | 8.320 | | | 1,921,606 | |
1,727 | | | GHX Ultimate Parent Corp., LIBOR 3M + 3.250%(8),(10) | | (B, B2) | | 06/28/24 | | | 7.980 | | | 1,722,830 | |
898 | | | Hyland Software, Inc., LIBOR 1M + 3.500%(10) | | (B-, B1) | | 07/01/24 | | | 8.070 | | | 896,790 | |
1,215 | | | Hyland Software, Inc., LIBOR 1M + 6.250%(11) | | (CCC, Caa1) | | 07/07/25 | | | 0.000 | | | 1,160,749 | |
424 | | | IGT Holding IV AB, LIBOR 3M + 3.400%(10) | | (B, B2) | | 03/31/28 | | | 8.130 | | | 424,061 | |
932 | | | Navicure, Inc., LIBOR 1M + 4.000%(10) | | (B-, B2) | | 10/22/26 | | | 8.570 | | | 928,179 | |
2,500 | | | Open Text Corp.(11) | | (BBB-, Ba1) | | 11/16/29 | | | 0.000 | | | 2,500,000 | |
1,648 | | | Polaris Newco LLC, LIBOR 3M + 4.000%(10) | | (B-, B2) | | 06/02/28 | | | 8.730 | | | 1,568,893 | |
1,995 | | | Project Alpha Intermediate Holding, Inc., LIBOR 1M + 4.000%(10) | | (B, B3) | | 04/26/24 | | | 8.570 | | | 1,995,390 | |
1,836 | | | Proofpoint, Inc., LIBOR 3M + 3.250%(10) | | (B-, B2) | | 08/31/28 | | | 7.985 | | | 1,803,013 | |
1,991 | | | Quest Software U.S. Holdings, Inc., SOFR 3M + 4.250%(10) | | (B-, B2) | | 02/01/29 | | | 9.076 | | | 1,716,027 | |
2,554 | | | Redstone Holdco 2 LP, LIBOR 3M + 4.750%(10) | | (B-, B3) | | 04/27/28 | | | 9.568 | | | 2,083,149 | |
2,050 | | | Transact Holdings, Inc., LIBOR 1M + 4.750%(10) | | (B, B2) | | 04/30/26 | | | 8.820 | | | 1,983,578 | |
497 | | | Virtusa Corp., SOFR 1M + 3.750%(10) | | (B, B1) | | 02/15/29 | | | 8.411 | | | 494,541 | |
1,166 | | | Virtusa Corp., LIBOR 1M + 3.750%(10) | | (B, B1) | | 02/11/28 | | | 8.320 | | | 1,157,894 | |
| | | | | | | | | | | | | 36,348,585 | |
Support - Services (1.6%) | | | | | | | | | | | |
597 | | | CoreLogic, Inc., LIBOR 1M + 3.500%(10) | | (B-, B2) | | 06/02/28 | | | 8.125 | | | 508,675 | |
498 | | | Global Education Management Systems Establishment, LIBOR 6M + 5.000%(10) | | (B-, B3) | | 07/31/26 | | | 8.566 | | | 498,257 | |
982 | | | Gloves Buyer, Inc., LIBOR 1M + 4.000%(10) | | (B-, B2) | | 12/29/27 | | | 8.570 | | | 903,078 | |
830 | | | LaserShip, Inc., LIBOR 3M + 7.500%(8),(10) | | (CCC, Caa2) | | 05/07/29 | | | 12.230 | | | 526,750 | |
1,481 | | | LaserShip, Inc., LIBOR 3M + 4.500%(10) | | (B-, B2) | | 05/07/28 | | | 9.230 | | | 1,112,100 | |
1,939 | | | Wrench Group LLC, LIBOR 3M + 4.000%(10) | | (B-, B2) | | 04/30/26 | | | 8.730 | | | 1,918,433 | |
| | | | | | | | | | | | | 5,467,293 | |
Tech Hardware & Equipment (1.1%) | | | | | | | | | | | |
1,240 | | | Atlas CC Acquisition Corp., LIBOR 3M + 4.250%(10) | | (B, Caa1) | | 05/25/28 | | | 8.985 | | | 1,092,912 | |
252 | | | Atlas CC Acquisition Corp., LIBOR 3M + 4.250%(10) | | (B+, B1) | | 05/25/28 | | | 8.985 | | | 222,287 | |
332 | | | CommScope, Inc., LIBOR 1M + 3.250%(10) | | (B, B1) | | 04/06/26 | | | 7.820 | | | 326,182 | |
1,982 | | | Ingram Micro, Inc., LIBOR 3M + 3.500%(10) | | (BB-, B1) | | 06/30/28 | | | 8.230 | | | 1,980,823 | |
| | | | | | | | | | | | | 3,622,204 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Par (000) | | | | | Ratings† (S&P/Moody's) | | Maturity | | | Rate% | | | Value | |
| | | | | | | | | | | | | | |
BANK LOANS (continued) | | | | | | | | | | | |
Telecom - Wireless (0.6%) | | | | | | | | | | | |
$ | 992 | | | CCI Buyer, Inc., SOFR 3M + 4.000%(10) | | (B-, B1) | | 12/17/27 | | | 8.580 | | | $ | 976,304 | |
965 | | | Eagle Broadband Investments LLC, LIBOR 3M + 3.000%(10) | | (B+, B2) | | 11/12/27 | | | 7.750 | | | 957,598 | |
| | | | | | | | | | | | | 1,933,902 | |
Telecom - Wireline Integrated & Services (1.2%) | | | | | | | | | | | |
494 | | | Altice France S.A., LIBOR 3M + 4.000%(8),(10) | | (B, B2) | | 08/14/26 | | | 8.650 | | | 477,516 | |
2,990 | | | Patagonia Holdco LLC, SOFR 3M + 5.750%(8),(10) | | (NR, B1) | | 08/01/29 | | | 9.960 | | | 2,526,393 | |
937 | | | TVC Albany, Inc., LIBOR 1M + 3.500%(10) | | (B-, B2) | | 07/23/25 | | | 8.070 | | | 879,699 | |
438 | | | TVC Albany, Inc., LIBOR 1M + 7.500%(6),(10) | | (CCC, Caa2) | | 07/23/26 | | | 12.070 | | | 400,678 | |
| | | | | | | | | | | | | 4,284,286 | |
Theaters & Entertainment (0.3%) | | | | | | | | | | | |
1,430 | | | Technicolor Creative Studios, EURIBOR 3M + 6.000%(3),(10) | | (CCC+, Caa1) | | 09/07/26 | | | 8.046 | | | 925,036 | |
166 | | | TopGolf International, Inc., LIBOR 3M + 6.250%(10) | | (B, B3) | | 02/09/26 | | | 11.065 | | | 166,367 | |
| | | | | | | | | | | | | 1,091,403 | |
Trucking & Delivery (0.1%) | | | | | | | | | | | |
506 | | | American Trailer World Corp., SOFR 1M + 3.750%(10) | | (B, B3) | | 03/03/28 | | | 8.411 | | | 446,823 | |
TOTAL BANK LOANS (Cost $152,837,324) | | | | | | | | | | 143,945,658 | |
| | | | | | | | | | | |
ASSET BACKED SECURITIES (6.1%) | | | | | | | | | | | |
Collateralized Debt Obligations (6.1%) | | | | | | | | | | | |
1,350 | | | Anchorage Capital CLO 15 Ltd., 2020-15A, Rule 144A, LIBOR 3M + 7.400% (1),(10) | | (NR, Ba3) | | 07/20/34 | | | 12.208 | | | 1,232,392 | |
1,250 | | | Anchorage Capital CLO 2013-1 Ltd., 2013-1A, Rule 144A, LIBOR 3M + 6.800% (1),(10) | | (NR, Ba3) | | 10/13/30 | | | 11.615 | | | 1,128,287 | |
1,000 | | | Anchorage Capital CLO 21 Ltd., 2021-21A, Rule 144A, LIBOR 3M + 7.350% (1),(10) | | (NR, Ba3) | | 10/20/34 | | | 12.158 | | | 903,212 | |
1,000 | | | Anchorage Capital CLO 4-R Ltd., 2014-4RA, Rule 144A, LIBOR 3M + 2.600% (1),(10) | | (BBB-, NR) | | 01/28/31 | | | 7.402 | | | 865,511 | |
1,000 | | | Battalion CLO XIV Ltd., 2019-14A, Rule 144A, LIBOR 3M + 3.440% (1),(10) | | (NR, Baa3) | | 01/20/35 | | | 8.248 | | | 898,248 | |
1,000 | | | BlueMountain CLO Ltd., 2016-2A, Rule 144A, LIBOR 3M + 4.300% (1),(10) | | (BBB-, NR) | | 08/20/32 | | | 8.975 | | | 948,781 | |
1,000 | | | BlueMountain Fuji U.S. CLO I Ltd., 2017-1A, Rule 144A, LIBOR 3M + 6.000% (1),(10) | | (BB-, NR) | | 07/20/29 | | | 10.808 | | | 820,585 | |
1,000 | | | BlueMountain Fuji U.S. CLO III Ltd., 2017-3A, Rule 144A, LIBOR 3M + 5.200% (1),(10) | | (BB-, NR) | | 01/15/30 | | | 9.992 | | | 831,276 | |
750 | | | Carlyle Global Market Strategies CLO Ltd., 2014-3RA, Rule 144A, LIBOR 3M + 5.400% (1),(10) | | (BB-, NR) | | 07/27/31 | | | 10.215 | | | 615,637 | |
1,250 | | | CIFC Funding Ltd., 2013-2A, Rule 144A, LIBOR 3M + 6.520% (1),(10) | | (B+, NR) | | 10/18/30 | | | 11.312 | | | 1,109,349 | |
750 | | | CIFC Funding Ltd., 2014-1A, Rule 144A, LIBOR 3M + 5.850% (1),(10) | | (B+, NR) | | 01/18/31 | | | 10.645 | | | 651,558 | |
1,000 | | | CIFC Funding Ltd., 2017-1A, Rule 144A, LIBOR 3M + 3.500% (1),(10) | | (NR, Baa3) | | 04/23/29 | | | 8.315 | | | 970,353 | |
1,000 | | | Galaxy XXII CLO Ltd., 2016-22A, Rule 144A, LIBOR 3M + 1.200% (1),(10) | | (AAA, NR) | | 04/16/34 | | | 5.992 | | | 986,060 | |
750 | | | Goldentree Loan Opportunities XI Ltd., 2015-11A, Rule 144A, LIBOR 3M + 5.400% (1),(10) | | (NR, Ba3) | | 01/18/31 | | | 10.195 | | | 675,043 | |
1,225 | | | Greywolf CLO V Ltd., 2015-1A, Rule 144A, LIBOR 3M + 5.850% (1),(10) | | (BB-, NR) | | 01/27/31 | | | 10.668 | | | 1,061,390 | |
500 | | | Halcyon Loan Advisors Funding Ltd., 2015-2A, Rule 144A (1),(6),(11) | | (NR, NR) | | 07/25/27 | | | 0.000 | | | 75 | |
1,000 | | | KKR CLO Ltd., 16, Rule 144A, LIBOR 3M + 7.110% (1),(10) | | (BB-, NR) | | 10/20/34 | | | 11.918 | | | 918,739 | |
500 | | | KKR CLO Ltd., 20, Rule 144A, LIBOR 3M + 5.500% (1),(10) | | (NR, Ba3) | | 10/16/30 | | | 10.292 | | | 435,939 | |
750 | | | KKR Financial CLO Ltd., 2013-1A, Rule 144A, LIBOR 3M + 6.080% (1),(10) | | (NR, Ba3) | | 04/15/29 | | | 10.872 | | | 660,781 | |
1,000 | | | Marble Point CLO XXIII Ltd., 2021-4A, Rule 144A, LIBOR 3M + 5.750% (1),(10) | | (NR, Ba1) | | 01/22/35 | | | 10.565 | | | 914,886 | |
1,000 | | | Oaktree CLO Ltd., 2019-4A, Rule 144A, LIBOR 3M + 7.230% (1),(10) | | (BB-, NR) | | 10/20/32 | | | 12.038 | | | 915,476 | |
856 | | | Stratus CLO Ltd., 2021-1A, Rule 144A, LIBOR 3M + 0.800% (1),(10) | | (NR, Aaa) | | 12/29/29 | | | 5.608 | | | 843,079 | |
500 | | | Venture XXVIII CLO Ltd., 2017-28A, Rule 144A, LIBOR 3M + 6.150% (1),(10) | | (NR, Ba3) | | 07/20/30 | | | 10.958 | | | 364,138 | |
1,000 | | | Vibrant CLO III Ltd., 2015-3A, Rule 144A, LIBOR 3M + 3.500% (1),(10) | | (NR, Ba1) | | 10/20/31 | | | 8.308 | | | 887,795 | |
750 | | | Vibrant CLO VI Ltd., 2017-6A, Rule 144A, LIBOR 3M + 5.750% (1),(10) | | (NR, Ba3) | | 06/20/29 | | | 10.496 | | | 653,006 | |
500 | | | Voya CLO Ltd., 2014-4A, Rule 144A, LIBOR 3M + 3.350% (1),(10) | | (BBB-, NR) | | 07/14/31 | | | 8.142 | | | 436,541 | |
TOTAL ASSET BACKED SECURITIES (Cost $23,443,630) | | | | | | | | | | 20,728,137 | |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2023 (unaudited)
Shares | | | | | Value | |
| | | | | | |
COMMON STOCKS (0.9%) | | | |
Auto Parts & Equipment (0.0%) | | | |
| 11,414 | | | Jason Group, Inc.(7) | | $ | 105,581 | |
| | | |
Cable & Satellite TV (0.1%) | | | |
54,000 | | | Altice U.S.A., Inc., Class A(7) | | 264,600 | |
| | | |
Chemicals (0.1%) | | | |
1,512 | | | Project Investor Holdings LLC(6),(7),(8),(9) | | 15 | |
25,202 | | | Proppants Holdings LLC(6),(7),(8),(9) | | 504 | |
6,341 | | | UTEX Industries, Inc.(7) | | 405,824 | |
| | | | | 406,343 | |
Energy - Exploration & Production (0.0%) | | | |
37,190 | | | PES Energy, Inc.(6),(7),(8),(9) | | 372 | |
| | | |
Metals & Mining - Excluding Steel (0.6%) | | | |
1,100,000 | | | Taseko Mines Ltd.(4),(7) | | 1,953,760 | |
| | | |
Pharmaceuticals (0.1%) | | | |
37,299 | | | Akorn Holding Company LLC(7) | | 233,119 | |
| | | |
Private Placement (0.0%) | | | |
249,816 | | | Technicolor Creative Studios SA(7),(9),(12) | | 167,688 | |
| | | |
Real Estate Investment Trusts (0.0%) | | | |
6,400 | | | Global Net Lease, Inc. | | 95,680 | |
| | | |
Specialty Retail (0.0%) | | | |
66 | | | Eagle Intermediate Global Holdings B.V., Class B(7),(8),(9) | | 1 | |
| | | |
Theaters & Entertainment (0.0%) | | | |
134,615 | | | Vantiva SA(3),(7) | | 38,715 | |
TOTAL COMMON STOCKS (Cost $3,896,998) | | 3,265,859 | |
| | | |
WARRANTS (0.0%) | | | |
Chemicals (0.0%) | | | |
6,300 | | | Project Investor Holdings LLC, expires 02/20/2022(6),(7),(8),(9) | | — | |
| | | |
Investments & Misc. Financial Services (0.0%) | | | |
9,954 | | | CC Neuberger Principal Holdings III expires 12/31/2027(7) | | 1,693 | |
26,666 | | | DHC Acquisition Corp. expires 12/31/2027(7) | | 488 | |
22,738 | | | FTAC Hera Acquisition Corp. expires 12/31/2027(7) | | 910 | |
14,000 | | | Mason Industrial Technology, Inc. expires 12/31/2027(7) | | 280 | |
2,500 | | | Northern Star Investment Corp. IV expires 12/31/2027(7) | | 87 | |
6,000 | | | Pathfinder Acquisition Corp. expires 12/31/2027(7) | | 900 | |
2,000 | | | Pivotal Investment Corp. III expires 12/31/2027(7) | | 100 | |
3,000 | | | Warburg Pincus Capital. expires 03/09/2026(7) | | 17 | |
| | | | | 4,475 | |
Recreation & Travel (0.0%) | | | |
29,277 | | | Cineworld Group, expires 12/21/2025(7) | | — | |
TOTAL WARRANTS (Cost $66,803) | | 4,475 | |
| | | |
SHORT-TERM INVESTMENTS (9.2%) | | | |
21,578,976 | | | State Street Institutional U.S. Government Money Market Fund - Premier Class, 4.18% | | 21,578,976 | |
9,794,992 | | | State Street Navigator Securities Lending Government Money Market Portfolio, 4.35%(13) | | 9,794,992 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $31,373,968) | | 31,373,968 | |
TOTAL INVESTMENTS AT VALUE (104.1%) (Cost $384,220,236) | | 355,075,699 | |
LIABILITIES IN EXCESS OF OTHER ASSETS (-4.1%) | | (13,937,618 | ) |
NET ASSETS (100.0%) | | $ | 341,138,081 | |
| † | 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. |
Credit Suisse Strategic Income Fund
Schedule of Investments (continued)
January 31, 2023 (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, 2023, these securities amounted to a value of $173,251,563 or 50.8% of net assets. |
| (2) | PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal. |
| (3) | This security is denominated in Euro. |
| (4) | Security or portion thereof is out on loan. |
| (5) | Bond is currently in default. |
| (7) | Non-income producing security. |
| (8) | Security is valued using significant unobservable inputs. |
| (9) | 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. |
| (10) | Variable rate obligation - The interest rate shown is the rate in effect as of January 31, 2023. The rate may be subject to a cap and floor. |
| (11) | 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, 2023. |
| (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. |
INVESTMENT ABBREVIATIONS
1M = 1 Month
3M = 3 Month
6M = 6 Month
EURIBOR = Euro Interbank Offered Rate
LIBOR = London Interbank Offered Rate
NR = Not Rated
Sarl = société à responsabilité limitée
SOFR = Secured Overnight Financing Rate
WR = Withdrawn Rating
Forward Foreign Currency Contracts
Forward Currency to be Purchased | | Forward Currency to be Sold | | Expiration Date | | Counterparty | | Value on Settlement Date | | Current Value/Notional | | Unrealized Appreciation | |
CAD | 1,309,000 | | USD | 966,513 | | 10/11/23 | | Deutsche Bank AG | | $ | 966,513 | | $ | 983,623 | | $ | 17,110 | |
EUR | 158,384 | | USD | 167,356 | | 10/11/23 | | Barclays Bank PLC | | | 167,356 | | | 174,309 | | | 6,953 | |
EUR | 89,849 | | USD | 92,719 | | 10/11/23 | | Deutsche Bank AG | | | 92,719 | | | 98,884 | | | 6,165 | |
EUR | 567,191 | | USD | 596,645 | | 10/11/23 | | Morgan Stanley | | | 596,645 | | | 624,220 | | | 27,575 | |
GBP | 1,962 | | USD | 2,162 | | 10/11/23 | | Deutsche Bank AG | | | 2,162 | | | 2,426 | | | 264 | |
Total Unrealized Appreciation | | | | | | | | | | | | $ | 58,067 | |
| | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Forward Currency to be Purchased | | Forward Currency to be Sold | | Expiration Date | | Counterparty | | Value on Settlement Date | | Current Value/Notional | | Unrealized Depreciation | |
CAD | 110,000 | | USD | 82,862 | | 10/11/23 | | Morgan Stanley | | $ | 82,862 | | $ | 82,657 | | $ | (205 | ) |
USD | 2,736,746 | | CAD | 3,707,000 | | 10/11/23 | | Deutsche Bank AG | | | (2,736,746 | ) | | (2,785,554 | ) | | (48,808 | ) |
USD | 255,441 | | CAD | 341,000 | | 10/11/23 | | Morgan Stanley | | | (255,441 | ) | | (256,238 | ) | | (797 | ) |
USD | 2,833,627 | | EUR | 2,765,171 | | 10/11/23 | | Deutsche Bank AG | | | (2,833,627 | ) | | (3,043,200 | ) | | (209,573 | ) |
USD | 922,999 | | EUR | 840,187 | | 10/11/23 | | Morgan Stanley | | | (922,999 | ) | | (924,666 | ) | | (1,667 | ) |
USD | 2,186 | | GBP | 1,962 | | 10/11/23 | | Deutsche Bank AG | | | (2,186 | ) | | (2,426 | ) | | (240 | ) |
Total Unrealized Depreciation | | | | | | | | | | | | $ | (261,290 | ) |
Total Net Unrealized Appreciation/(Depreciation) | | | | | | | | | | $ | (203,223 | ) |
Currency Abbreviations:
CAD = Canadian Dollar
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 and a Pricing Group, which, pursuant to the policies adopted by the Board, are 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. Investments in open-ended mutual funds are valued at the net asset value as reported on each business day and under normal circumstances. Securities for which market quotations are not readily available are valued at their fair value as determined in good faith by the Adviser, as the Board’s valuation designee (as defined in Rule 2a-5 under the 1940 Act), in accordance with the Adviser’s procedures. The Board oversees the Adviser in its role as valuation designee in accordance with the requirements of Rule 2a-5 under the 1940 Act. The 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 Group, in accordance with procedures established by the Adviser.
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, 2023 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 | | $ | — | | | $ | 155,682,862 | | | $ | 74,740 | | | $ | 155,757,602 | |
Bank Loans | | | — | | | | 125,860,104 | | | | 18,085,554 | | | | 143,945,658 | |
Asset Backed Securities | | | — | | | | 20,728,137 | | | | — | | | | 20,728,137 | |
Common Stocks | | | 2,314,040 | | | | 950,927 | | | | 892 | | | | 3,265,859 | |
Warrants | | | 4,475 | | | | — | | | | 0 | (1) | | | 4,475 | |
Short-term Investments | | | 31,373,968 | | | | — | | | | — | | | | 31,373,968 | |
| | $ | 33,692,483 | | | $ | 303,222,030 | | | $ | 18,161,186 | | | $ | 355,075,699 | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 58,067 | | | $ | — | | | $ | 58,067 | |
Liabilities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 261,290 | | | $ | — | | | $ | 261,290 | |
| (1) | Included a zero valued security. |
| * | Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts. |
See Accompanying Notes to Financial Statements
The following is a reconciliation of investments as of January 31, 2023 for which significant unobservable inputs were used in determining fair value.
| | Corporate Bonds | | | Bank Loans | | | Common Stocks | | | Warrants | | | Total | |
Balance as of October 31, 2022 | | $ | 83,406 | | | $ | 22,979,439 | | | $ | 545,688 | | | $ | 0 | (1) | | $ | 23,608,533 | |
Accrued discounts (premiums) | | | - | | | | 11,682 | | | | - | | | | - | | | | 11,682 | |
Purchases | | | - | | | | 617,148 | | | | - | | | | - | | | | 617,148 | |
Sales | | | (8,911 | ) | | | (7,299,220 | ) | | | (2,648 | ) | | | - | | | | (7,310,779 | ) |
Realized gain (loss) | | | 8,911 | | | | (243,660 | ) | | | 2,648 | | | | - | | | | (232,101 | ) |
Change in unrealized appreciation (depreciation) | | | (8,666 | ) | | | 436,908 | | | | (33,391 | ) | | | - | | | | 394,851 | |
Transfers into Level 3 | | | - | | | | 10,624,863 | | | | - | | | | - | | | | 10,624,863 | |
Transfers out of Level 3 | | | - | | | | (9,041,606 | ) | | | (511,405 | ) | | | - | | | | (9,553,011 | ) |
Balance as of January 31, 2023 | | $ | 74,740 | | | $ | 18,085,554 | | | $ | 892 | | | $ | 0 | (1) | | $ | 18,161,186 | |
| | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) from investments still held as of January 31, 2023 | | $ | (8,666 | ) | | $ | 61,818 | | | $ | - | | | $ | - | | | $ | 53,152 | |
| (1) | Includes zero valued securities. |
Quantitative Disclosure About Significant Unobservable Inputs
| | | | | | | | | | |
| | Fair Value | | | Valuation | | Unobservable | | Price Range | |
Asset Class | | At 01/31/2023 | | | Technique | | Input | | (Weighted Average)* | |
Corporate Bonds | | $ | 59,740 | | | Income Approach | | Expected Remaining Distribution | | | $0.01 - $0.61 ($0.53) | |
| | | 15,000 | | | Vendor Pricing | | Single Broker Quote | | | 0.02 (N/A) | |
Bank Loans | | | 18,085,554 | | | Vendor Pricing | | Single Broker Quote | | | 0.00 - 1.00 (0.92) | |
Common Stocks | | | 892 | | | Income Approach | | Expected Remaining Distribution | | | 0.01 - 0.02 (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, 2023, $10,624,863 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $9,553,011 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.