NPORT-P
    false
    
      
      
        
          0001291446
          XXXXXXXX
        
      
      
      
      
        S000010422
        C000028810
        C000028811
        C000028812
      
      
      
    
  
  
    
      Credit Suisse Commodity Strategy Funds
      811-21589
      0001291446
      549300KFU6FOOSD82072
      ELEVEN MADISON AVENUE
      NEW YORK
      
      10010
      212-325-2000
      Credit Suisse Commodity Return Strategy Fund
      S000010422
      549300W7TSDOCAWFEM71
      2021-10-31
      2021-07-31
      N
    
    
      2159222267.50
      2141440.92
      2157080826.58
      0.00000000
      430361686.43000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      74650654.22000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        JP Morgan Chase
        N/A
        BCOMTR.IDX
        000000000
        
          
        
        13000000.00000000
        OU
        Notional Amount
        USD
        59758.52000000
        0.002770342180
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              JP Morgan Chase
              N/A
            
            
              
                Bloomberg Commodity Index Total Return
                BCOMTR Index
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2021-08-24
            0.00000000
            USD
            0.00000000
            USD
            13000000.00000000
            USD
            59758.52000000
          
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC
        S6XOOCT0IEG5ABCC6L87
        Federal Home Loan Mortgage Corp
        3134GXCF9
        
          
        
        16500000.00000000
        PA
        USD
        16500347.99000000
        0.764938790734
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2024-05-24
          Fixed
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBX8
        
          
        
        10500000.00000000
        PA
        USD
        10494873.06000000
        0.486531284812
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-04-30
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        3135GA5Y3
        
          
        
        7000000.00000000
        PA
        USD
        6998342.05000000
        0.324435782088
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2024-06-14
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America
        N/A
        MLCILP2T.IDX
        000000000
        
          
        
        16270606.99000000
        OU
        Notional Amount
        USD
        504667.76000000
        0.023395866941
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Bank of America
              N/A
            
            
              
                BofA Merrill Lynch Commodity MLCILP2 Total Return
                MLCILP2T.IDX
                
                  
                    CBOT Wheat DEC 21 Futures
                    
                      
                    
                    12.66000000
                    USD
                    451180.00000000
                    USD
                  
                  
                    LME Nickel JAN 22 Futures
                    
                      
                    
                    2.58000000
                    USD
                    302817.00000000
                    USD
                  
                  
                    NYBOT Coffee DEC 21 Futures
                    
                      
                    
                    8.49000000
                    USD
                    580808.00000000
                    USD
                  
                  
                    LME Nickel NOV 21 Futures
                    
                      
                    
                    0.94000000
                    USD
                    110124.00000000
                    USD
                  
                  
                    CBOT Soybeans NOV 21 Futures
                    
                      
                    
                    3.23000000
                    USD
                    217565.00000000
                    USD
                  
                  
                    NYMEX Unleaded Gasoline NOV 21 Futures
                    
                      
                    
                    1.31000000
                    USD
                    117970.00000000
                    USD
                  
                  
                    CBOT Soy Meal DEC 21 Futures
                    
                      
                    
                    3.13000000
                    USD
                    110697.00000000
                    USD
                  
                  
                    CBOT Bean Oil JAN 22 Futures
                    
                      
                    
                    12.56000000
                    USD
                    469660.00000000
                    USD
                  
                  
                    COMEX High Grade Copper DEC 21 Futures
                    
                      
                    
                    8.22000000
                    USD
                    915957.00000000
                    USD
                  
                  
                    LME Zinc JAN 22 Futures
                    
                      
                    
                    4.65000000
                    USD
                    352337.00000000
                    USD
                  
                  
                    CME Live Cattle DEC 21 Futures
                    
                      
                    
                    11.78000000
                    USD
                    625139.00000000
                    USD
                  
                  
                    ICE Gas Oil NOV 21 Futures
                    
                      
                    
                    2.24000000
                    USD
                    137295.00000000
                    USD
                  
                  
                    COMEX Gold DEC 21 Futures
                    
                      
                    
                    10.78000000
                    USD
                    1959240.00000000
                    USD
                  
                  
                    KCBOT Kansas Wheat DEC 21 Futures
                    
                      
                    
                    7.40000000
                    USD
                    253077.00000000
                    USD
                  
                  
                    LME Aluminium JAN 22 Futures
                    
                      
                    
                    8.55000000
                    USD
                    551720.00000000
                    USD
                  
                  
                    NYMEX Unleaded Gasoline JAN 22 Futures
                    
                      
                    
                    3.61000000
                    USD
                    315601.00000000
                    USD
                  
                  
                    NYMEX WTI Crude Oil JAN 22 Futures
                    
                      
                    
                    16.54000000
                    USD
                    1171044.00000000
                    USD
                  
                  
                    CBOT Bean Oil DEC 21 Futures
                    
                      
                    
                    4.57000000
                    USD
                    172814.00000000
                    USD
                  
                  
                    NYMEX Nat Gas JAN 22 Futures
                    
                      
                    
                    30.99000000
                    USD
                    1285674.00000000
                    USD
                  
                  
                    CBOT Corn DEC 21 Futures
                    
                      
                    
                    31.86000000
                    USD
                    868637.00000000
                    USD
                  
                  
                    NYBOT Sugar MAR 22 Futures
                    
                      
                    
                    24.08000000
                    USD
                    497126.00000000
                    USD
                  
                  
                    CME Lean Hogs DEC 21 Futures
                    
                      
                    
                    8.80000000
                    USD
                    287263.00000000
                    USD
                  
                  
                    NYMEX Heating Oil JAN 22 Futures
                    
                      
                    
                    3.33000000
                    USD
                    305527.00000000
                    USD
                  
                  
                    ICE Gas Oil JAN 22 Futures
                    
                      
                    
                    6.17000000
                    USD
                    373554.00000000
                    USD
                  
                  
                    NYMEX Heating Oil NOV 21 Futures
                    
                      
                    
                    1.21000000
                    USD
                    111517.00000000
                    USD
                  
                  
                    ICE Brent Crude Oil JAN 22 Futures
                    
                      
                    
                    17.76000000
                    USD
                    1297764.00000000
                    USD
                  
                  
                    CBOT Soybeans JAN 22 Futures
                    
                      
                    
                    8.87000000
                    USD
                    600522.00000000
                    USD
                  
                  
                    NYBOT Cotton DEC 21 Futures
                    
                      
                    
                    5.34000000
                    USD
                    238569.00000000
                    USD
                  
                  
                    LME Aluminium NOV 21 Futures
                    
                      
                    
                    3.11000000
                    USD
                    201248.00000000
                    USD
                  
                  
                    NYMEX Nat Gas NOV 21 Futures
                    
                      
                    
                    11.27000000
                    USD
                    448700.00000000
                    USD
                  
                  
                    COMEX Silver DEC 21 Futures
                    
                      
                    
                    4.50000000
                    USD
                    575965.00000000
                    USD
                  
                  
                    LME Zinc NOV 21 Futures
                    
                      
                    
                    1.69000000
                    USD
                    128059.00000000
                    USD
                  
                  
                    NYMEX WTI Crude Oil NOV 21 Futures
                    
                      
                    
                    6.01000000
                    USD
                    435638.00000000
                    USD
                  
                  
                    CBOT Soy Meal JAN 22 Futures
                    
                      
                    
                    8.60000000
                    USD
                    305449.00000000
                    USD
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2021-08-24
            0.00000000
            USD
            0.00000000
            USD
            16270606.99000000
            USD
            504667.76000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup
        N/A
        BCOMF2T.IDX
        000000000
        
          
        
        202919972.00000000
        OU
        Notional Amount
        USD
        6301860.38000000
        0.292147623878
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Citigroup
              N/A
            
            
              
                Bloomberg Commodity Index
                BCOMF2T Index
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2021-08-24
            0.00000000
            USD
            0.00000000
            USD
            202919972.00000000
            USD
            6301860.38000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        N/A
        BCOMF2T.IDX
        000000000
        
          
        
        96877941.01000000
        OU
        Notional Amount
        USD
        3008365.29000000
        0.139464653013
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Morgan Stanley
              N/A
            
            
              
                Bloomberg Commodity Index
                BCOMF2T Index
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2021-08-24
            0.00000000
            USD
            0.00000000
            USD
            96877941.01000000
            USD
            3008365.29000000
          
        
        
          N
          N
          N
        
      
      
        FANNIE MAE
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        3135G04N0
        
          
        
        24000000.00000000
        PA
        USD
        24034183.44000000
        1.114199484036
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2022-05-13
          Floating
          0.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        3135G03U5
        
          
        
        21400000.00000000
        PA
        USD
        21503108.20000000
        0.996861496103
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2025-04-22
          Fixed
          0.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RBC Capital
        N/A
        BCOMTR.IDX
        000000000
        
          
        
        260083390.99000000
        OU
        Notional Amount
        USD
        8251503.24000000
        0.382531017768
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              RBC Capital
              N/A
            
            
              
                Bloomberg Commodity Index Total Return
                BCOMTR Index
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2021-08-24
            0.00000000
            USD
            0.00000000
            USD
            260083390.99000000
            USD
            8251503.24000000
          
        
        
          N
          N
          N
        
      
      
        Macquarie
        N/A
        MQCC112T.IDX
        000000000
        
          
        
        243240995.00000000
        OU
        Notional Amount
        USD
        7606242.79000000
        0.352617421483
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Macquarie
              N/A
            
            
              
                Macquarie Commodity Customized Product 112T Index
                MQCC112T.IDX
                
                  
                    NYMEX Heating Oil NOV 21 Futures
                    
                      
                    
                    68.55000000
                    USD
                    6319205.00000000
                    USD
                  
                  
                    COMEX High Grade Copper DEC 21 Futures
                    
                      
                    
                    121.79000000
                    USD
                    13565591.00000000
                    USD
                  
                  
                    CBOT Wheat SEP 21 Futures
                    
                      
                    
                    183.26000000
                    USD
                    6448436.00000000
                    USD
                  
                  
                    CBOT Bean Oil DEC 21 Futures
                    
                      
                    
                    251.90000000
                    USD
                    9527944.00000000
                    USD
                  
                  
                    COMEX Silver DEC 21 Futures
                    
                      
                    
                    66.48000000
                    USD
                    8509078.00000000
                    USD
                  
                  
                    NYMEX Nat Gas DEC 21 Futures
                    
                      
                    
                    613.00000000
                    USD
                    25040868.00000000
                    USD
                  
                  
                    NYBOT Sugar OCT 21 Futures
                    
                      
                    
                    349.93000000
                    USD
                    7019336.00000000
                    USD
                  
                  
                    CBOT Soybeans NOV 21 Futures
                    
                      
                    
                    180.29000000
                    USD
                    12163073.00000000
                    USD
                  
                  
                    CME Live Cattle OCT 21 Futures
                    
                      
                    
                    175.39000000
                    USD
                    8923978.00000000
                    USD
                  
                  
                    COMEX Gold DEC 21 Futures
                    
                      
                    
                    159.99000000
                    USD
                    29073658.00000000
                    USD
                  
                  
                    NYMEX Unleaded Gasoline NOV 21 Futures
                    
                      
                    
                    81.25000000
                    USD
                    7308595.00000000
                    USD
                  
                  
                    NYMEX WTI Crude Oil JUN 22 Futures
                    
                      
                    
                    371.76000000
                    USD
                    25183082.00000000
                    USD
                  
                  
                    CBOT Soy Meal DEC 21 Futures
                    
                      
                    
                    177.81000000
                    USD
                    6292820.00000000
                    USD
                  
                  
                    LME Nickel DEC 21 Futures
                    
                      
                    
                    51.81000000
                    USD
                    6077610.00000000
                    USD
                  
                  
                    CBOT Corn SEP 21 Futures
                    
                      
                    
                    477.25000000
                    USD
                    13052651.00000000
                    USD
                  
                  
                    LME Zinc DEC 21 Futures
                    
                      
                    
                    92.81000000
                    USD
                    7030099.00000000
                    USD
                  
                  
                    LME Aluminium DEC 21 Futures
                    
                      
                    
                    173.66000000
                    USD
                    11220548.00000000
                    USD
                  
                  
                    ICE Brent Crude Oil DEC 21 Futures
                    
                      
                    
                    270.89000000
                    USD
                    19991561.00000000
                    USD
                  
                  
                    ICE Gas Oil SEP 21 Futures
                    
                      
                    
                    127.46000000
                    USD
                    7829237.00000000
                    USD
                  
                  
                    NYBOT Cotton DEC 21 Futures
                    
                      
                    
                    80.07000000
                    USD
                    3578543.00000000
                    USD
                  
                  
                    KCBOT Kansas Wheat SEP 21 Futures
                    
                      
                    
                    107.87000000
                    USD
                    3631214.00000000
                    USD
                  
                  
                    NYBOT Coffee SEP 21 Futures
                    
                      
                    
                    125.90000000
                    USD
                    8476733.00000000
                    USD
                  
                  
                    CME Lean Hogs DEC 21 Futures
                    
                      
                    
                    140.97000000
                    USD
                    4604013.00000000
                    USD
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2021-08-24
            0.00000000
            USD
            0.00000000
            USD
            243240995.00000000
            USD
            7606242.79000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Floating Rate Note
        91282CBK6
        
          
        
        250000000.00000000
        PA
        USD
        250149932.50000000
        11.59668795983
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-01-31
          Floating
          0.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Floating Rate Note
        9128287G9
        
          
        
        8000000.00000000
        PA
        USD
        8000000.00000000
        0.370871591895
        Long
        DBT
        UST
        US
        N
        
        2
        
          2021-07-31
          Floating
          0.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York Mercantile Exchange
        5493008GFNDTXFPHWI47
        WTI CRUDE FUTURE DEC21
        000000000
        
          
        
        -333.00000000
        NC
        USD
        -120104.77000000
        -0.00556793090
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              New York Mercantile Exchange
              5493008GFNDTXFPHWI47
            
            Short
            
              
                NYMEX WTI Light Sweet Crude Oil
                CLZ1 Comdty
              
            
            2021-11-19
            -23712705.23000000
            USD
            -120104.77000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796H69
        
          
        
        30000000.00000000
        PA
        USD
        29995725.00000000
        1.390570285099
        Long
        STIV
        UST
        US
        N
        
        2
        
          2021-11-18
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796D63
        
          
        
        2500000.00000000
        PA
        USD
        2499919.28000000
        0.115893630372
        Long
        STIV
        UST
        US
        N
        
        2
        
          2021-09-02
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC
        S6XOOCT0IEG5ABCC6L87
        Federal Home Loan Mortgage Corp
        3134GXGS7
        
          
        
        23000000.00000000
        PA
        USD
        22996757.69000000
        1.066105516614
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2024-06-18
          Fixed
          0.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS
        N/A
        BCOMTR.IDX
        000000000
        
          
        
        90941334.99000000
        OU
        Notional Amount
        USD
        2885488.07000000
        0.133768194239
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              UBS
              N/A
            
            
              
                Bloomberg Commodity Index Total Return
                BCOMTR Index
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2021-08-24
            0.00000000
            USD
            0.00000000
            USD
            90941334.99000000
            USD
            2885488.07000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Floating Rate Note
        912828ZK9
        
          
        
        139900000.00000000
        PA
        USD
        140018590.43000000
        6.491114690959
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-04-30
          Floating
          0.16400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC
        S6XOOCT0IEG5ABCC6L87
        Federal Home Loan Mortgage Corp
        3137EAER6
        
          
        
        19000000.00000000
        PA
        USD
        19070515.84000000
        0.884089070980
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-05-05
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL FARM CREDIT BANK
        N/A
        Federal Farm Credit Banks Funding Corp
        3133ELNV2
        
          
        
        5800000.00000000
        PA
        USD
        5803718.15000000
        0.269054273650
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2022-02-24
          Floating
          0.16500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796G45
        
          
        
        11000000.00000000
        PA
        USD
        10996597.59000000
        0.509790706704
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-04-21
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase
        N/A
        BCOMTR.IDX
        000000000
        
          
        
        84350381.99000000
        OU
        Notional Amount
        USD
        2676594.06000000
        0.124084087486
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              JP Morgan Chase
              N/A
            
            
              
                Bloomberg Commodity Index Total Return
                BCOMTR Index
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2021-08-24
            0.00000000
            USD
            0.00000000
            USD
            84350381.99000000
            USD
            2676594.06000000
          
        
        
          N
          N
          N
        
      
      
        New York Mercantile Exchange
        5493008GFNDTXFPHWI47
        WTI CRUDE FUTURE JUN22
        000000000
        
          
        
        333.00000000
        NC
        USD
        97305.93000000
        0.004511000644
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              New York Mercantile Exchange
              5493008GFNDTXFPHWI47
            
            Long
            
              
                NYMEX WTI Light Sweet Crude Oil
                CLM2 Comdty
              
            
            2022-05-20
            22460114.07000000
            USD
            97305.93000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Floating Rate Note
        91282CAA9
        
          
        
        177500000.00000000
        PA
        USD
        177595001.55000000
        8.233117617181
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-07-31
          Floating
          0.10500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC
        S6XOOCT0IEG5ABCC6L87
        Federal Home Loan Mortgage Corp
        3134GTS87
        
          
        
        59800000.00000000
        PA
        USD
        59871487.91000000
        2.775579253788
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2022-08-05
          Floating
          0.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796D48
        
          
        
        25000000.00000000
        PA
        USD
        24999586.75000000
        1.158954566836
        Long
        STIV
        UST
        US
        N
        
        2
        
          2021-08-19
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3130AN2U3
        
          
        
        14700000.00000000
        PA
        USD
        14701800.60000000
        0.681560024030
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2022-03-29
          Fixed
          0.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        3135G03B7
        
          
        
        97500000.00000000
        PA
        USD
        97727857.50000000
        4.530560760439
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2022-04-07
          Floating
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL FARM CREDIT BANK
        N/A
        Federal Farm Credit Banks Funding Corp
        3133EMGG1
        
          
        
        8000000.00000000
        PA
        USD
        8016413.84000000
        0.371632520266
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-11-06
          Floating
          0.18500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        3135G04Q3
        
          
        
        28800000.00000000
        PA
        USD
        28867915.87000000
        1.338286239174
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-05-22
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Floating Rate Note
        91282CAS0
        
          
        
        76000000.00000000
        PA
        USD
        76046176.08000000
        3.525420797540
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-10-31
          Floating
          0.10500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America
        N/A
        MLBXCS2T.IDX
        000000000
        
          
        
        244686211.00000000
        OU
        Notional Amount
        USD
        7785510.86000000
        0.360928100795
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Bank of America
              N/A
            
            
              
                Merrill Lynch Commodity Index Extra CS2T Total Return
                MLBXCS2T.IDX
                
                  
                    COMEX High Grade Copper DEC 21 Futures
                    
                      
                    
                    122.18000000
                    USD
                    13609300.00000000
                    USD
                  
                  
                    NYMEX Heating Oil DEC 21 Futures
                    
                      
                    
                    69.09000000
                    USD
                    6359446.00000000
                    USD
                  
                  
                    LME Aluminium DEC 21 Futures
                    
                      
                    
                    174.79000000
                    USD
                    11293796.00000000
                    USD
                  
                  
                    ICE Brent Crude Oil DEC 21 Futures
                    
                      
                    
                    273.70000000
                    USD
                    20199415.00000000
                    USD
                  
                  
                    CBOT Corn SEP 21 Futures
                    
                      
                    
                    480.36000000
                    USD
                    13137859.00000000
                    USD
                  
                  
                    CME Live Cattle DEC 21 Futures
                    
                      
                    
                    169.94000000
                    USD
                    9017132.00000000
                    USD
                  
                  
                    CME Lean Hogs DEC 21 Futures
                    
                      
                    
                    141.89000000
                    USD
                    4634067.00000000
                    USD
                  
                  
                    NYBOT Cotton DEC 21 Futures
                    
                      
                    
                    80.59000000
                    USD
                    3601906.00000000
                    USD
                  
                  
                    COMEX Gold DEC 21 Futures
                    
                      
                    
                    160.99000000
                    USD
                    29255177.00000000
                    USD
                  
                  
                    LME Nickel DEC 21 Futures
                    
                      
                    
                    52.15000000
                    USD
                    6117286.00000000
                    USD
                  
                  
                    COMEX Silver DEC 21 Futures
                    
                      
                    
                    66.91000000
                    USD
                    8564019.00000000
                    USD
                  
                  
                    KCBOT Kansas Wheat SEP 21 Futures
                    
                      
                    
                    108.58000000
                    USD
                    3654918.00000000
                    USD
                  
                  
                    ICE Gas Oil DEC 21 Futures
                    
                      
                    
                    129.49000000
                    USD
                    7876479.00000000
                    USD
                  
                  
                    NYBOT Coffee SEP 21 Futures
                    
                      
                    
                    126.72000000
                    USD
                    8532070.00000000
                    USD
                  
                  
                    NYBOT Sugar OCT 21 Futures
                    
                      
                    
                    352.22000000
                    USD
                    7065159.00000000
                    USD
                  
                  
                    CBOT Wheat SEP 21 Futures
                    
                      
                    
                    184.46000000
                    USD
                    6490533.00000000
                    USD
                  
                  
                    CBOT Soybeans NOV 21 Futures
                    
                      
                    
                    181.47000000
                    USD
                    12242473.00000000
                    USD
                  
                  
                    NYMEX Unleaded Gasoline DEC 21 Futures
                    
                      
                    
                    83.10000000
                    USD
                    7338936.00000000
                    USD
                  
                  
                    NYMEX WTI Crude Oil JUN 22 Futures
                    
                      
                    
                    373.96000000
                    USD
                    25332062.00000000
                    USD
                  
                  
                    NYMEX Nat Gas DEC 21 Futures
                    
                      
                    
                    616.17000000
                    USD
                    25170479.00000000
                    USD
                  
                  
                    CBOT Soy Meal DEC 21 Futures
                    
                      
                    
                    178.97000000
                    USD
                    6333899.00000000
                    USD
                  
                  
                    CBOT Bean Oil DEC 21 Futures
                    
                      
                    
                    253.55000000
                    USD
                    9590144.00000000
                    USD
                  
                  
                    LME Zinc DEC 21 Futures
                    
                      
                    
                    93.41000000
                    USD
                    7075993.00000000
                    USD
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2021-08-24
            0.00000000
            USD
            0.00000000
            USD
            244686211.00000000
            USD
            7785510.86000000
          
        
        
          N
          N
          N
        
      
      
        FANNIE MAE
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        3135G03J0
        
          
        
        33100000.00000000
        PA
        USD
        33189932.04000000
        1.538650366320
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2022-04-15
          Floating
          0.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        3135G04Z3
        
          
        
        23500000.00000000
        PA
        USD
        23471420.24000000
        1.088110373555
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2025-06-17
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        N/A
        BCOMTR.IDX
        000000000
        
          
        
        73742874.00000000
        OU
        Notional Amount
        USD
        2339998.16000000
        0.108479855328
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Goldman Sachs
              N/A
            
            
              
                Bloomberg Commodity Index Total Return
                BCOMTR Index
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2021-08-24
            0.00000000
            USD
            0.00000000
            USD
            73742874.00000000
            USD
            2339998.16000000
          
        
        
          N
          N
          N
        
      
      
        FEDERAL FARM CREDIT BANK
        N/A
        Federal Farm Credit Banks Funding Corp
        3133EK6W1
        
          
        
        20000000.00000000
        PA
        USD
        20103479.80000000
        0.931976194506
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2022-11-07
          Floating
          0.47000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL FARM CREDIT BANK
        N/A
        Federal Farm Credit Banks Funding Corp
        3133EKLN4
        
          
        
        28000000.00000000
        PA
        USD
        28058929.08000000
        1.300782461846
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2022-05-16
          Floating
          0.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3130AJM55
        
          
        
        42000000.00000000
        PA
        USD
        42018085.20000000
        1.947914268313
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2021-11-15
          Floating
          0.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796D48
        
          
        
        23000000.00000000
        PA
        USD
        22999483.75000000
        1.066231893890
        Long
        STIV
        UST
        US
        N
        
        2
        
          2021-08-19
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3130AJJ42
        
          
        
        25500000.00000000
        PA
        USD
        25503042.92000000
        1.182294265738
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2021-10-15
          Floating
          0.09300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Macquarie
        N/A
        BCOMTR.IDX
        000000000
        
          
        
        103111507.00000000
        OU
        Notional Amount
        USD
        3272201.85000000
        0.151695838638
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Macquarie
              N/A
            
            
              
                Bloomberg Commodity Index Total Return
                BCOMTR Index
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2021-08-24
            0.00000000
            USD
            0.00000000
            USD
            103111507.00000000
            USD
            3272201.85000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Floating Rate Note
        912828Z45
        
          
        
        50000000.00000000
        PA
        USD
        50039733.00000000
        2.319789429464
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-01-31
          Floating
          0.20400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        N/A
        BCOMF2T.IDX
        000000000
        
          
        
        224298708.98000000
        OU
        Notional Amount
        USD
        6966410.61000000
        0.322955474090
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Goldman Sachs
              N/A
            
            
              
                Bloomberg Commodity Index
                BCOMF2T Index
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2021-08-24
            0.00000000
            USD
            0.00000000
            USD
            224298708.98000000
            USD
            6966410.61000000
          
        
        
          N
          N
          N
        
      
      
        FANNIE MAE
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        3135G03M3
        
          
        
        34000000.00000000
        PA
        USD
        34056712.34000000
        1.578833390030
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2022-01-20
          Floating
          0.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Floating Rate Note
        91282CBY6
        
          
        
        259800000.00000000
        PA
        USD
        259876092.82000000
        12.04758252995
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-04-30
          Floating
          0.08400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America
        N/A
        BCOMF2T.IDX
        000000000
        
          
        
        103075558.98000000
        OU
        Notional Amount
        USD
        3201385.65000000
        0.148412874035
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Bank of America
              N/A
            
            
              
                Bloomberg Commodity Index
                BCOMF2T Index
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2021-08-24
            0.00000000
            USD
            0.00000000
            USD
            103075558.98000000
            USD
            3201385.65000000
          
        
        
          N
          N
          N
        
      
      
        FEDERAL FARM CREDIT BANK
        N/A
        Federal Farm Credit Banks Funding Corp
        3133ELYS7
        
          
        
        110600000.00000000
        PA
        USD
        111292580.52000000
        5.159407062944
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-05-08
          Floating
          0.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3130AKXZ4
        
          
        
        5300000.00000000
        PA
        USD
        5278090.17000000
        0.244686712939
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2026-02-26
          Fixed
          0.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC
        S6XOOCT0IEG5ABCC6L87
        Federal Home Loan Mortgage Corp
        3137EAEU9
        
          
        
        24500000.00000000
        PA
        USD
        24331428.98000000
        1.127979474861
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2025-07-21
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale
        N/A
        SGCOP04T.IDX
        000000000
        
          
        
        243424355.00000000
        OU
        Notional Amount
        USD
        7549052.04000000
        0.349966118421
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Societe Generale
              N/A
            
            
              
                Societe Generale P04 TR Index
                SGCOP04T.IDX
                
                  
                    NYMEX Unleaded Gasoline DEC 21 Futures
                    
                      
                    
                    82.44000000
                    USD
                    7281340.00000000
                    USD
                  
                  
                    COMEX Gold DEC 21 Futures
                    
                      
                    
                    160.22000000
                    USD
                    29115319.00000000
                    USD
                  
                  
                    CME Live Cattle OCT 21 Futures
                    
                      
                    
                    176.16000000
                    USD
                    8963000.00000000
                    USD
                  
                  
                    NYMEX Heating Oil DEC 21 Futures
                    
                      
                    
                    68.74000000
                    USD
                    6327562.00000000
                    USD
                  
                  
                    CBOT Soy Meal DEC 21 Futures
                    
                      
                    
                    178.09000000
                    USD
                    6302463.00000000
                    USD
                  
                  
                    CBOT Soybeans NOV 21 Futures
                    
                      
                    
                    180.59000000
                    USD
                    12183255.00000000
                    USD
                  
                  
                    NYMEX WTI Crude Oil DEC 21 Futures
                    
                      
                    
                    352.80000000
                    USD
                    25250009.00000000
                    USD
                  
                  
                    COMEX High Grade Copper DEC 21 Futures
                    
                      
                    
                    121.05000000
                    USD
                    13483405.00000000
                    USD
                  
                  
                    CBOT Wheat DEC 21 Futures
                    
                      
                    
                    181.50000000
                    USD
                    6470629.00000000
                    USD
                  
                  
                    KCBOT Kansas Wheat DEC 21 Futures
                    
                      
                    
                    106.30000000
                    USD
                    3636905.00000000
                    USD
                  
                  
                    CME Lean Hogs DEC 21 Futures
                    
                      
                    
                    141.17000000
                    USD
                    4610762.00000000
                    USD
                  
                  
                    NYMEX Nat Gas DEC 21 Futures
                    
                      
                    
                    609.14000000
                    USD
                    24883558.00000000
                    USD
                  
                  
                    LME Zinc DEC 21 Futures
                    
                      
                    
                    92.94000000
                    USD
                    7040385.00000000
                    USD
                  
                  
                    NYBOT Cotton DEC 21 Futures
                    
                      
                    
                    80.19000000
                    USD
                    3584196.00000000
                    USD
                  
                  
                    NYBOT Coffee DEC 21 Futures
                    
                      
                    
                    123.89000000
                    USD
                    8476072.00000000
                    USD
                  
                  
                    LME Aluminium DEC 21 Futures
                    
                      
                    
                    173.95000000
                    USD
                    11239517.00000000
                    USD
                  
                  
                    ICE Gas Oil DEC 21 Futures
                    
                      
                    
                    128.50000000
                    USD
                    7815957.00000000
                    USD
                  
                  
                    CBOT Corn SEP 21 Futures
                    
                      
                    
                    478.04000000
                    USD
                    13074284.00000000
                    USD
                  
                  
                    LME Nickel DEC 21 Futures
                    
                      
                    
                    51.89000000
                    USD
                    6086608.00000000
                    USD
                  
                  
                    COMEX Silver DEC 21 Futures
                    
                      
                    
                    66.61000000
                    USD
                    8526271.00000000
                    USD
                  
                  
                    ICE Brent Crude Oil DEC 21 Futures
                    
                      
                    
                    271.33000000
                    USD
                    20024312.00000000
                    USD
                  
                  
                    NYBOT Sugar OCT 21 Futures
                    
                      
                    
                    350.48000000
                    USD
                    7030346.00000000
                    USD
                  
                  
                    CBOT Bean Oil DEC 21 Futures
                    
                      
                    
                    252.29000000
                    USD
                    9542797.00000000
                    USD
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2021-08-24
            0.00000000
            USD
            0.00000000
            USD
            243424355.00000000
            USD
            7549052.04000000
          
        
        
          N
          N
          N
        
      
      
        FED HOME LN DISCOUNT NT
        2549001DPIFGXC1TOL40
        Federal Home Loan Bank Discount Notes
        313385LV6
        
          
        
        11000000.00000000
        PA
        USD
        10999578.37000000
        0.509928892532
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2021-09-17
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL FARM CREDIT BANK
        N/A
        Federal Farm Credit Banks Funding Corp
        3133EL5J9
        
          
        
        5600000.00000000
        PA
        USD
        5599919.98000000
        0.259606404683
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-09-01
          Fixed
          0.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL FARM CREDIT BANK
        N/A
        Federal Farm Credit Banks Funding Corp
        3133EK6V3
        
          
        
        40000000.00000000
        PA
        USD
        40156458.00000000
        1.861611187915
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2022-11-07
          Floating
          0.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796G60
        
          
        
        21000000.00000000
        PA
        USD
        20997900.00000000
        0.973440574931
        Long
        STIV
        UST
        US
        N
        
        2
        
          2021-10-21
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        3135G03R2
        
          
        
        6300000.00000000
        PA
        USD
        6304139.48000000
        0.292253280559
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2021-10-22
          Floating
          0.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL FARM CREDIT BANK
        N/A
        Federal Farm Credit Banks Funding Corp
        3133EMXZ0
        
          
        
        61000000.00000000
        PA
        USD
        61004427.38000000
        2.828101136883
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-05-03
          Floating
          0.08500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        3135G06H1
        
          
        
        3000000.00000000
        PA
        USD
        3001401.72000000
        0.139141829226
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-11-27
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL FARM CREDIT BANK
        N/A
        Federal Farm Credit Banks Funding Corp
        3133EMSV5
        
          
        
        10000000.00000000
        PA
        USD
        10005170.50000000
        0.463829188814
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-03-09
          Floating
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Floating Rate Note
        912828YN4
        
          
        
        32500000.00000000
        PA
        USD
        32525107.23000000
        1.507829786868
        Long
        DBT
        UST
        US
        N
        
        2
        
          2021-10-31
          Floating
          0.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        3135G03Y7
        
          
        
        25000000.00000000
        PA
        USD
        25039701.75000000
        1.160814256074
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2022-01-27
          Floating
          0.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC
        S6XOOCT0IEG5ABCC6L87
        Federal Home Loan Mortgage Corp
        3134GVL48
        
          
        
        36900000.00000000
        PA
        USD
        36917885.80000000
        1.711474384505
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2021-12-09
          Floating
          0.19500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        N/A
        BCOMF2T.IDX
        000000000
        
          
        
        91045443.99000000
        OU
        Notional Amount
        USD
        2827199.38000000
        0.131065991833
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              N/A
            
            
              
                Bloomberg Commodity Index
                BCOMF2T Index
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2021-08-24
            0.00000000
            USD
            0.00000000
            USD
            91045443.99000000
            USD
            2827199.38000000
          
        
        
          N
          N
          N
        
      
      
        FANNIE MAE
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        3135G05G4
        
          
        
        27000000.00000000
        PA
        USD
        27036028.80000000
        1.253361879947
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-07-10
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
      
    
    
      2021-08-24
      Credit Suisse Commodity Strategy Funds
      Shuang Wu
      Shuang Wu
      Assistant Treasurer
    
  
  XXXX

 

Credit Suisse Commodity Return Strategy Fund

Consolidated Schedule of Investments

July 31, 2021 (unaudited)

 

Par
(000)

 

Ratings† 
(S&P/Moody’s)

 

Maturity

 

Rate%

 

 

Value

 

UNITED STATES AGENCY OBLIGATIONS (41.7%)

 

 

 

 

 

 

 

 

 

 

$

5,800

 

Federal Farm Credit Banks, USBMMY3M + 0.115% (1)

 

(AA+, Aaa)

 

02/24/22

 

0.165

 

$

5,803,718

 

 

28,000

 

Federal Farm Credit Banks, USBMMY3M + 0.270% (1)

 

(AA+, Aaa)

 

05/16/22

 

0.320

 

 

28,058,929

 

 

40,000

 

Federal Farm Credit Banks, SOFR + 0.310% (1)

 

(AA+, Aaa)

 

11/07/22

 

0.360

 

 

40,156,458

 

 

20,000

 

Federal Farm Credit Banks, USBMMY3M + 0.420% (1)

 

(AA+, Aaa)

 

11/07/22

 

0.470

 

 

20,103,480

 

 

10,000

 

Federal Farm Credit Banks, FEDL01 + 0.030% (1)

 

(AA+, Aaa)

 

03/09/23

 

0.130

 

 

10,005,171

 

 

61,000

 

Federal Farm Credit Banks, USBMMY3M + 0.035% (1)

 

(AA+, Aaa)

 

05/03/23

 

0.085

 

 

61,004,427

 

 

110,600

 

Federal Farm Credit Banks, SOFR + 0.380% (1)

 

(AA+, Aaa)

 

05/08/23

 

0.430

 

 

111,292,581

 

 

5,600

 

Federal Farm Credit Banks

 

(AA+, Aaa)

 

09/01/23

 

0.300

 

 

5,599,920

 

 

8,000

 

Federal Farm Credit Banks, SOFR + 0.135% (1)

 

(AA+, Aaa)

 

11/06/23

 

0.185

 

 

8,016,414

 

 

25,500

 

Federal Home Loan Banks, LIBOR 1M + 0.000% (1)

 

(AA+, Aaa)

 

10/15/21

 

0.093

 

 

25,503,043

 

 

42,000

 

Federal Home Loan Banks, SOFR + 0.150% (1)

 

(AA+, Aaa)

 

11/15/21

 

0.200

 

 

42,018,085

 

 

14,700

 

Federal Home Loan Banks

 

(AA+, Aaa)

 

03/29/22

 

0.060

 

 

14,701,801

 

 

5,300

 

Federal Home Loan Banks

 

(AA+, Aaa)

 

02/26/26

 

0.620

 

 

5,278,090

 

 

11,000

 

Federal Home Loan Bank Discount Notes (2)

 

(AA+, Aaa)

 

09/17/21

 

0.010

 

 

10,999,578

 

 

36,900

 

Federal Home Loan Mortgage Corp., SOFR + 0.145% (1)

 

(AA+, Aaa)

 

12/09/21

 

0.195

 

 

36,917,886

 

 

59,800

 

Federal Home Loan Mortgage Corp., SOFR + 0.130% (1)

 

(AA+, Aaa)

 

08/05/22

 

0.180

 

 

59,871,488

 

 

19,000

 

Federal Home Loan Mortgage Corp.

 

(AA+, Aaa)

 

05/05/23

 

0.375

 

 

19,070,516

 

 

16,500

 

Federal Home Loan Mortgage Corp.

 

(AA+, Aaa)

 

05/24/24

 

0.400

 

 

16,500,348

 

 

23,000

 

Federal Home Loan Mortgage Corp.

 

(AA+, Aaa)

 

06/18/24

 

0.430

 

 

22,996,758

 

 

24,500

 

Federal Home Loan Mortgage Corp.

 

(AA+, Aaa)

 

07/21/25

 

0.375

 

 

24,331,429

 

 

6,300

 

Federal National Mortgage Association, SOFR + 0.320% (1)

 

(AA+, Aaa)

 

10/22/21

 

0.370

 

 

6,304,139

 

 

34,000

 

Federal National Mortgage Association, SOFR + 0.360% (1)

 

(AA+, Aaa)

 

01/20/22

 

0.410

 

 

34,056,712

 

 

25,000

 

Federal National Mortgage Association, SOFR + 0.300% (1)

 

(AA+, Aaa)

 

01/27/22

 

0.350

 

 

25,039,702

 

 

97,500

 

Federal National Mortgage Association, SOFR + 0.350% (1)

 

(AA+, Aaa)

 

04/07/22

 

0.400

 

 

97,727,857

 

 

33,100

 

Federal National Mortgage Association, SOFR + 0.390% (1)

 

(AA+, Aaa)

 

04/15/22

 

0.440

 

 

33,189,932

 

 

24,000

 

Federal National Mortgage Association, SOFR + 0.180% (1)

 

(AA+, Aaa)

 

05/13/22

 

0.230

 

 

24,034,183

 

 

28,800

 

Federal National Mortgage Association

 

(AA+, Aaa)

 

05/22/23

 

0.250

 

 

28,867,916

 

 

27,000

 

Federal National Mortgage Association

 

(AA+, Aaa)

 

07/10/23

 

0.250

 

 

27,036,029

 

 

3,000

 

Federal National Mortgage Association

 

(AA+, Aaa)

 

11/27/23

 

0.250

 

 

3,001,402

 

 

7,000

 

Federal National Mortgage Association

 

(AA+, Aaa)

 

06/14/24

 

0.375

 

 

6,998,342

 

 

21,400

 

Federal National Mortgage Association

 

(AA+, Aaa)

 

04/22/25

 

0.625

 

 

21,503,108

 

 

23,500

 

Federal National Mortgage Association

 

(AA+, Aaa)

 

06/17/25

 

0.500

 

 

23,471,420

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL UNITED STATES AGENCY OBLIGATIONS
(Cost $897,604,795)

 

 

 

 

 

 

 

 

899,460,862

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

UNITED STATES TREASURY OBLIGATIONS (51.5%)

 

 

 

 

 

 

 

 

 

 

 

25,000

 

United States Treasury Bills (2)

 

(AA+, Aaa)

 

08/19/21

 

0.015

 

 

24,999,587

 

 

4,000

 

United States Treasury Bills (2)

 

(AA+, Aaa)

 

08/19/21

 

0.033

 

 

3,999,935

 

 

19,000

 

United States Treasury Bills (2)

 

(AA+, Aaa)

 

08/19/21

 

0.048

 

 

18,999,549

 

 

2,500

 

United States Treasury Bills (2)

 

(AA+, Aaa)

 

09/02/21

 

0.060

 

 

2,499,919

 

 

21,000

 

United States Treasury Bills (2)

 

(AA+, Aaa)

 

10/21/21

 

0.043

 

 

20,997,900

 

 

30,000

 

United States Treasury Bills (2)

 

(AA+, Aaa)

 

11/18/21

 

0.030

 

 

29,995,725

 

 

11,000

 

United States Treasury Bills (2)

 

(AA+, Aaa)

 

04/21/22

 

0.065

 

 

10,996,598

 

 

32,500

 

United States Treasury Floating Rate Notes, USBMMY3M + 0.300% (1)

 

(AA+, Aaa)

 

10/31/21

 

0.350

 

 

32,525,107

 

 

50,000

 

United States Treasury Floating Rate Notes, USBMMY3M + 0.154% (1),(3)

 

(AA+, Aaa)

 

01/31/22

 

0.204

 

 

50,039,733

 

 

139,900

 

United States Treasury Floating Rate Notes, USBMMY3M + 0.114% (1),(3),(4)

 

(AA+, Aaa)

 

04/30/22

 

0.164

 

 

140,018,590

 

 

177,500

 

United States Treasury Floating Rate Notes, USBMMY3M + 0.055% (1),(3)

 

(AA+, Aaa)

 

07/31/22

 

0.105

 

 

177,595,002

 

 

76,000

 

United States Treasury Floating Rate Notes, USBMMY3M + 0.055% (1),(3)

 

(AA+, Aaa)

 

10/31/22

 

0.105

 

 

76,046,176

 

 

250,000

 

United States Treasury Floating Rate Notes, USBMMY3M + 0.049% (1)

 

(AA+, Aaa)

 

01/31/23

 

0.099

 

 

250,149,932

 

 

259,800

 

United States Treasury Floating Rate Notes, USBMMY3M + 0.034% (1)

 

(AA+, Aaa)

 

04/30/23

 

0.084

 

 

259,876,093

 

 

10,500

 

United States Treasury Notes

 

(AA+, Aaa)

 

04/30/23

 

0.125

 

 

10,494,873

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL UNITED STATES TREASURY OBLIGATIONS
(Cost $1,108,843,129)

 

 

 

 

 

 

 

 

1,109,234,719

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS AT VALUE (93.2%) (Cost $2,006,447,924)

 

 

 

 

 

 

 

$

2,008,695,581

 

 

 

 

 

 

 

 

 

 

 

 

OTHER ASSETS IN EXCESS OF LIABILITIES (6.8%)

 

 

 

 

 

 

 

 

146,616,584

 

 

 

 

 

 

 

 

 

 

 

 

NET ASSETS (100.0%)(5)

 

 

 

 

 

 

 

$

2,155,312,165

 

 

 

†                               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 July 31, 2021.

(2)                           Securities are zero coupon. Rate presented is yield to maturity as of July 31, 2021.

(3)                           At July 31, 2021, $23,285,058 in the value of these securities has been pledged as collateral for open swap contracts.

(4)                           At July 31, 2021, $2,001,680 in the value of this security has been pledged to cover initial margin requirements for open futures contracts.

(5)                           As of July 31, 2021, the Credit Suisse Commodity Return Strategy Fund held $430,362,439 in the wholly-owned subsidiary, Credit Suisse Cayman Commodity Return Strategy Fund, Ltd., representing 20.0% of the Fund’s consolidated net assets.

 

INVESTMENT ABBREVIATIONS

 

1M = 1 Month

FEDL01 = Federal Funds Rate

LIBOR = London Interbank Offered Rate

SOFR = Secured Overnight Financing Rate

USBMMY3M = U.S. Treasury 3 Month Bill Money Market Yield

 

Futures Contracts

 

Contract Description

 

Currency

 

Expiration
Date

 

Number of
Contracts

 

Notional Value

 

Net Unrealized
Appreciation
(Depreciation)

 

Contracts to Purchase

 

 

 

 

 

 

 

 

 

 

 

Energy

 

 

 

 

 

 

 

 

 

 

 

Light Sweet Crude Oil Futures

 

USD

 

Jun 2022

 

333

 

$

22,557,420

 

$

97,306

 

Contracts to Sell

 

 

 

 

 

 

 

 

 

 

 

Energy

 

 

 

 

 

 

 

 

 

 

 

Light Sweet Crude Oil Futures

 

USD

 

Dec 2021

 

(333

)

(23,832,810

)

$

(120,105

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(22,799

)

 

Commodity Index Swap Contracts

 

Currency

 

Notional
Amount

 

Expiration
Date

 

Counterparty

 

Receive
Return of the 
Reference 
Index

 

Pay

 

Payment 
Frequency

 

Upfront 
Premiums 
Paid/ 
(Received)

 

Net Unrealized
Appreciation
(Depreciation)

 

USD

 

$

16,270,607

 

08/24/21

 

Bank of America

 

BofA Merrill Lynch Commodity MLCILP2

Total Return Strategy(a)

 

0.21

%

At Maturity

 

$

—

 

$

504,668

 

USD

 

244,686,211

 

08/24/21

 

Bank of America

 

Merrill Lynch Commodity Index Extra CS2T

Total Return(b)

 

0.31

%

At Maturity

 

—

 

7,785,511

 

USD

 

103,075,559

 

08/24/21

 

Bank of America

 

Bloomberg Commodity Index 2 Month Forward

Total Return

 

0.17

%

At Maturity

 

—

 

3,201,386

 

USD

 

91,045,444

 

08/24/21

 

BNP Paribas

 

Bloomberg Commodity Index 2 Month Forward

Total Return

 

0.19

%

At Maturity

 

—

 

2,827,199

 

 

 

Currency

 

Notional
Amount

 

Expiration
Date

 

Counterparty

 

Receive
Return of the
Reference
Index

 

Pay

 

Payment
Frequency

 

Upfront
Premiums
Paid/
(Received)

 

Net Unrealized
Appreciation
(Depreciation)

 

USD

 

$

202,919,972

 

08/24/21

 

Citigroup

 

Bloomberg Commodity Index 2 Month Forward Total Return

 

0.18

%

At Maturity

 

—

 

$

6,301,860

 

USD

 

224,298,709

 

08/24/21

 

Goldman Sachs

 

Bloomberg Commodity Index 2 Month Forward Total Return

 

0.17

%

At Maturity

 

—

 

6,966,411

 

USD

 

73,742,874

 

08/24/21

 

Goldman Sachs

 

Bloomberg Commodity Index Total Return

 

0.15

%

At Maturity

 

—

 

2,339,998

 

USD

 

97,350,382

 

08/24/21

 

JPMorgan Chase

 

Bloomberg Commodity Index Total Return

 

0.15

%

At Maturity

 

—

 

2,736,353

 

USD

 

103,111,507

 

08/24/21

 

Macquarie Bank Ltd.

 

Bloomberg Commodity Index Total Return

 

0.14

%

At Maturity

 

—

 

3,272,202

 

USD

 

243,240,995

 

08/24/21

 

Macquarie Bank Ltd.

 

Macquarie Commodity Customized Product 112T Index(c)

 

0.31

%

At Maturity

 

—

 

7,606,243

 

USD

 

96,877,941

 

08/24/21

 

Morgan Stanley

 

Bloomberg Commodity Index 2 Month Forward Total Return

 

0.19

%

At Maturity

 

—

 

3,008,365

 

USD

 

260,083,391

 

08/24/21

 

RBC Capital

 

Bloomberg Commodity Index Total Return

 

0.17

%

At Maturity

 

—

 

8,251,503

 

USD

 

243,424,355

 

08/24/21

 

Societe Generale

 

Societe Generale P04 TR Index(d)

 

0.31

%

At Maturity

 

—

 

7,549,052

 

USD

 

90,941,335

 

08/24/21

 

UBS

 

Bloomberg Commodity Index Total Return

 

0.16

%

At Maturity

 

—

 

2,885,488

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

65,236,239

 

 

 

(a)                                      The index seeks to provide exposure to a diversified group of commodities, inclusive of energy, grains, meats, metals, precious, softs, and textiles. The Fund has indirect exposure to all of the below underlying positions that make up the custom index. When applicable, the table is limited to the largest 50 positions (based on absolute market value) and any other position where the notional value for the position exceeds 1% of the notional value of the index.

 

Commodity Name

 

Weight

 

Quantity(1)

 

7/31/21 Value(1)

 

COMEX Gold DEC 21 Futures

 

11.68

%

10.78

 

1,959,240

 

ICE Brent Crude Oil JAN 22 Futures

 

7.74

%

17.76

 

1,297,764

 

NYMEX Nat Gas JAN 22 Futures

 

7.66

%

30.99

 

1,285,674

 

NYMEX WTI Crude Oil JAN 22 Futures

 

6.98

%

16.54

 

1,171,044

 

COMEX High Grade Copper DEC 21 Futures

 

5.46

%

8.22

 

915,957

 

CBOT Corn DEC 21 Futures

 

5.18

%

31.86

 

868,637

 

CME Live Cattle DEC 21 Futures

 

3.73

%

11.78

 

625,139

 

CBOT Soybeans JAN 22 Futures

 

3.58

%

8.87

 

600,522

 

NYBOT Coffee DEC 21 Futures

 

3.46

%

8.49

 

580,808

 

COMEX Silver DEC 21 Futures

 

3.43

%

4.50

 

575,965

 

LME Aluminium JAN 22 Futures

 

3.29

%

8.55

 

551,720

 

NYBOT Sugar MAR 22 Futures

 

2.96

%

24.08

 

497,126

 

CBOT Bean Oil JAN 22 Futures

 

2.80

%

12.56

 

469,660

 

CBOT Wheat DEC 21 Futures

 

2.69

%

12.66

 

451,180

 

NYMEX Nat Gas NOV 21 Futures

 

2.67

%

11.27

 

448,700

 

NYMEX WTI Crude Oil NOV 21 Futures

 

2.60

%

6.01

 

435,638

 

ICE Gas Oil JAN 22 Futures

 

2.23

%

6.17

 

373,554

 

LME Zinc JAN 22 Futures

 

2.10

%

4.65

 

352,337

 

NYMEX Unleaded Gasoline JAN 22 Futures

 

1.88

%

3.61

 

315,601

 

NYMEX Heating Oil JAN 22 Futures

 

1.82

%

3.33

 

305,527

 

CBOT Soy Meal JAN 22 Futures

 

1.82

%

8.60

 

305,449

 

LME Nickel JAN 22 Futures

 

1.81

%

2.58

 

302,817

 

CME Lean Hogs DEC 21 Futures

 

1.71

%

8.80

 

287,263

 

KCBOT Kansas Wheat DEC 21 Futures

 

1.51

%

7.40

 

253,077

 

NYBOT Cotton DEC 21 Futures

 

1.42

%

5.34

 

238,569

 

CBOT Soybeans NOV 21 Futures

 

1.30

%

3.22

 

217,565

 

LME Aluminium NOV 21 Futures

 

1.20

%

3.11

 

201,248

 

CBOT Bean Oil DEC 21 Futures

 

1.03

%

4.57

 

172,814

 

ICE Gas Oil NOV 21 Futures

 

0.82

%

2.24

 

137,295

 

LME Zinc NOV 21 Futures

 

0.76

%

1.69

 

128,059

 

NYMEX Unleaded Gasoline NOV 21 Futures

 

0.70

%

1.31

 

117,970

 

NYMEX Heating Oil NOV 21 Futures

 

0.66

%

1.21

 

111,517

 

CBOT Soy Meal DEC 21 Futures

 

0.66

%

3.13

 

110,697

 

LME Nickel NOV 21 Futures

 

0.66

%

0.94

 

110,124

 

 

(1) Amounts represent quantity and value of index components as they relate specifically to the Fund’s swap position as of July 31, 2021.

 

 

(b)                                     The index seeks to provide exposure to a diversified group of commodities, inclusive of energy, grains, meats, metals, precious, softs, and textiles. The Fund has indirect exposure to all of the below underlying positions that make up the custom index. When applicable, the table is limited to the largest 50 positions (based on absolute market value) and any other position where the notional value for the position exceeds 1% of the notional value of the index.

 

Commodity Name

 

Weight

 

Quantity(1)

 

7/31/21 Value(1)

 

COMEX Gold DEC 21 Futures

 

11.59

%

160.99

 

29,255,177

 

NYMEX WTI Crude Oil JUN 22 Futures

 

10.03

%

373.96

 

25,332,062

 

NYMEX Nat Gas DEC 21 Futures

 

9.97

%

616.17

 

25,170,479

 

ICE Brent Crude Oil DEC 21 Futures

 

8.00

%

273.70

 

20,199,415

 

COMEX High Grade Copper DEC 21 Futures

 

5.39

%

122.18

 

13,609,300

 

CBOT Corn SEP 21 Futures

 

5.20

%

480.36

 

13,137,859

 

CBOT Soybeans NOV 21 Futures

 

4.85

%

181.47

 

12,242,473

 

LME Aluminium DEC 21 Futures

 

4.47

%

174.79

 

11,293,796

 

CBOT Bean Oil DEC 21 Futures

 

3.80

%

253.55

 

9,590,144

 

CME Live Cattle DEC 21 Futures

 

3.57

%

169.94

 

9,017,132

 

COMEX Silver DEC 21 Futures

 

3.39

%

66.91

 

8,564,019

 

NYBOT Coffee SEP 21 Futures

 

3.38

%

126.72

 

8,532,070

 

ICE Gas Oil DEC 21 Futures

 

3.12

%

129.49

 

7,876,479

 

NYMEX Unleaded Gasoline DEC 21 Futures

 

2.91

%

83.10

 

7,338,936

 

LME Zinc DEC 21 Futures

 

2.80

%

93.41

 

7,075,993

 

NYBOT Sugar OCT 21 Futures

 

2.80

%

352.22

 

7,065,159

 

CBOT Wheat SEP 21 Futures

 

2.57

%

184.46

 

6,490,533

 

NYMEX Heating Oil DEC 21 Futures

 

2.52

%

69.09

 

6,359,446

 

CBOT Soy Meal DEC 21 Futures

 

2.51

%

178.97

 

6,333,899

 

LME Nickel DEC 21 Futures

 

2.42

%

52.15

 

6,117,286

 

CME Lean Hogs DEC 21 Futures

 

1.84

%

141.89

 

4,634,067

 

KCBOT Kansas Wheat SEP 21 Futures

 

1.45

%

108.58

 

3,654,918

 

NYBOT Cotton DEC 21 Futures

 

1.43

%

80.59

 

3,601,906

 

 

(1) Amounts represent quantity and value of index components as they relate specifically to the Fund’s swap position as of July 31, 2021.

 

 

(c)                                      The index seeks to provide exposure to a diversified group of commodities, inclusive of energy, livestock and meat, agricultural and metals. The Fund has indirect exposure to all of the below underlying positions that make up the custom index. When applicable, the table is limited to the largest 50 positions (based on absolute market value) and any other position where the notional value for the position exceeds 1% of the notional value of the index.

 

Commodity Name

 

Weight

 

Quantity(1)

 

7/31/21 Value(1)

 

COMEX Gold DEC 21 Futures

 

11.59

%

159.99

 

29,073,658

 

NYMEX WTI Crude Oil JUN 22 Futures

 

10.04

%

371.76

 

25,183,082

 

NYMEX Nat Gas DEC 21 Futures

 

9.98

%

613.00

 

25,040,868

 

ICE Brent Crude Oil DEC 21 Futures

 

7.97

%

270.89

 

19,991,561

 

COMEX High Grade Copper DEC 21 Futures

 

5.41

%

121.79

 

13,565,591

 

CBOT Corn SEP 21 Futures

 

5.20

%

477.25

 

13,052,651

 

CBOT Soybeans NOV 21 Futures

 

4.85

%

180.29

 

12,163,073

 

LME Aluminium DEC 21 Futures

 

4.47

%

173.66

 

11,220,548

 

CBOT Bean Oil DEC 21 Futures

 

3.80

%

251.90

 

9,527,944

 

CME Live Cattle OCT 21 Futures

 

3.56

%

175.39

 

8,923,978

 

COMEX Silver DEC 21 Futures

 

3.39

%

66.48

 

8,509,078

 

NYBOT Coffee SEP 21 Futures

 

3.38

%

125.90

 

8,476,733

 

ICE Gas Oil SEP 21 Futures

 

3.12

%

127.46

 

7,829,237

 

NYMEX Unleaded Gasoline NOV 21 Futures

 

2.91

%

81.25

 

7,308,595

 

LME Zinc DEC 21 Futures

 

2.80

%

92.81

 

7,030,099

 

NYBOT Sugar OCT 21 Futures

 

2.80

%

349.93

 

7,019,336

 

CBOT Wheat SEP 21 Futures

 

2.57

%

183.26

 

6,448,436

 

NYMEX Heating Oil NOV 21 Futures

 

2.52

%

68.55

 

6,319,205

 

CBOT Soy Meal DEC 21 Futures

 

2.51

%

177.81

 

6,292,820

 

LME Nickel DEC 21 Futures

 

2.42

%

51.81

 

6,077,610

 

CME Lean Hogs DEC 21 Futures

 

1.84

%

140.97

 

4,604,013

 

KCBOT Kansas Wheat SEP 21 Futures

 

1.45

%

107.87

 

3,631,214

 

NYBOT Cotton DEC 21 Futures

 

1.43

%

80.07

 

3,578,543

 

 

(1) Amounts represent quantity and value of index components as they relate specifically to the Fund’s swap position as of July 31, 2021.

 

 

(d)                                     The index seeks to provide exposure to a diversified group of commodities, inclusive of energy, livestock and meat, agricultural and metals. The Fund has indirect exposure to all of the below underlying positions that make up the custom index. When applicable, the table is limited to the largest 50 positions (based on absolute market value) and any other position where the notional value for the position exceeds 1% of the notional value of the index.

 

Commodity Name

 

Weight

 

Quantity(1)

 

7/31/21 Value(1)

 

COMEX Gold DEC 21 Futures

 

11.60

%

160.22

 

29,115,319

 

NYMEX WTI Crude Oil DEC 21 Futures

 

10.06

%

352.80

 

25,250,009

 

NYMEX Nat Gas DEC 21 Futures

 

9.91

%

609.14

 

24,883,558

 

ICE Brent Crude Oil DEC 21 Futures

 

7.98

%

271.33

 

20,024,312

 

COMEX High Grade Copper DEC 21 Futures

 

5.37

%

121.05

 

13,483,405

 

CBOT Corn SEP 21 Futures

 

5.21

%

478.04

 

13,074,284

 

CBOT Soybeans NOV 21 Futures

 

4.85

%

180.59

 

12,183,255

 

LME Aluminium DEC 21 Futures

 

4.48

%

173.95

 

11,239,517

 

CBOT Bean Oil DEC 21 Futures

 

3.80

%

252.29

 

9,542,797

 

CME Live Cattle OCT 21 Futures

 

3.57

%

176.16

 

8,963,000

 

COMEX Silver DEC 21 Futures

 

3.40

%

66.61

 

8,526,271

 

NYBOT Coffee DEC 21 Futures

 

3.38

%

123.89

 

8,476,072

 

ICE Gas Oil DEC 21 Futures

 

3.11

%

128.50

 

7,815,957

 

NYMEX Unleaded Gasoline DEC 21 Futures

 

2.90

%

82.44

 

7,281,340

 

LME Zinc DEC 21 Futures

 

2.81

%

92.94

 

7,040,385

 

NYBOT Sugar OCT 21 Futures

 

2.80

%

350.48

 

7,030,346

 

CBOT Wheat DEC 21 Futures

 

2.58

%

181.50

 

6,470,629

 

NYMEX Heating Oil DEC 21 Futures

 

2.52

%

68.74

 

6,327,562

 

CBOT Soy Meal DEC 21 Futures

 

2.51

%

178.09

 

6,302,463

 

LME Nickel DEC 21 Futures

 

2.43

%

51.89

 

6,086,608

 

CME Lean Hogs DEC 21 Futures

 

1.84

%

141.17

 

4,610,762

 

KCBOT Kansas Wheat DEC 21 Futures

 

1.45

%

106.30

 

3,636,905

 

NYBOT Cotton DEC 21 Futures

 

1.43

%

80.19

 

3,584,196

 

 

(1) Amounts represent quantity and value of index components as they relate specifically to the Fund’s swap position as of July 31, 2021.

 

 

SECURITY VALUATION —  The Board of Trustees (the “Board”) is responsible for the Fund’s valuation process. The Board has delegated the supervision of the daily valuation process to Credit Suisse Asset Management, LLC, the Fund’s investment adviser (“Credit Suisse” or the “Adviser”), who has established a Pricing Committee which, pursuant to the policies adopted by the Board, is responsible for making fair valuation determinations and overseeing the Fund’s pricing policies. The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional “round lot” size, but some trades occur in smaller “odd lot” sizes which may be effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis.  The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Over-the-counter derivative financial instruments, such as swap agreements, generally derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more brokers/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, these securities will be fair valued in good faith by the Pricing Committee, in accordance with procedures adopted by the Board.

 

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

 

Generally accepted accounting principles in the United States of America (“GAAP”) established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at each measurement date. These inputs are summarized in the three broad levels listed below:

 

·                  Level 1—quoted prices in active markets for identical investments

 

 

·                  Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

·                  Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used as of July 31, 2021 in valuing the Fund’s assets and liabilities carried at fair value:

 

Assets

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Investments in Securities

 

 

 

 

 

 

 

 

 

United States Agency Obligations

 

$

—

 

$

899,460,862

 

$

—

 

$

899,460,862

 

United States Treasury Obligations

 

—

 

1,109,234,719

 

—

 

1,109,234,719

 

 

 

$

—

 

$

2,008,695,581

 

$

—

 

$

2,008,695,581

 

 

 

 

 

 

 

 

 

 

 

Other Financial Instruments*

 

 

 

 

 

 

 

 

 

Futures Contracts

 

$

97,306

 

$

—

 

$

—

 

$

97,306

 

Swap Contracts

 

—

 

65,236,239

 

—

 

65,236,239

 

 

Liabilities

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Other Financial Instruments*

 

 

 

 

 

 

 

 

 

Futures Contracts

 

$

120,105

 

$

 

 

$

—

 

$

120,105

 

 

*            Other financial instruments include unrealized appreciation (depreciation) on futures and swap contracts.

 

During the period ended July 31, 2021, there were no transfers among Level 2 and Level 3. All transfers, if any, are assumed to occur at the end of the reporting period.

 

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.