Credit Suisse Multialternative Strategy Fund Consolidated...
Transcript of Credit Suisse Multialternative Strategy Fund Consolidated...
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Credit Suisse Multialternative Strategy Fund Consolidated Schedule of Investments December 31, 2020 (unaudited)
Number of
Shares Value ________________ ________________
LONG POSITIONS (27.6%)
COMMON STOCKS (8.6%) BELGIUM (0.1%) Insurance (0.1%) Ageas S.A. 287 $ 15,265 ____________ Media (0.0%) Telenet Group Holding NV 297 12,723 ____________
27,988 ____________ CANADA (0.2%) Capital Markets (0.0%) CI Financial Corp. 873 10,813 ____________ IT Services (0.1%) CGI, Inc. 163 12,921 ____________ Metals/Mining (0.1%) Teck Resources Ltd., Class B 797 14,451 ____________
38,185 ____________ DENMARK (0.4%) Air Freight & Logistics (0.1%) DSV Panalpina AS 68 11,445 ____________ Beverages (0.1%) Carlsberg AS, Class B 83 13,325 ____________ Chemicals (0.0%) Novozymes AS, Class B 177 10,097 ____________ Healthcare Equipment & Supplies (0.1%) Demant AS 356 14,092 ____________ Marine (0.0%) AP Moller - Maersk AS, Class A 8 16,550 AP Moller - Maersk AS, Class B 7 15,600 ____________
32,150 ____________ Pharmaceuticals (0.1%) Novo Nordisk AS, Class B 161 11,247 ____________
92,356 ____________ FRANCE (0.4%) Aerospace & Defense (0.1%) Safran S.A. 113 16,041 ____________ Electrical Equipment (0.0%) Schneider Electric SE 89 12,883 ____________ Entertainment (0.1%) Vivendi S.A. 400 12,922 ____________ Oil, Gas & Consumable Fuels (0.1%) Total SE 325 14,049 ____________ Real Estate Investment Trust (0.1%) Klepierre S.A. 793 17,913 ____________
73,808 ____________ GERMANY (0.2%) Diversified Telecommunication Services (0.1%) United Internet AG, Reg S 292 12,311 ____________ Insurance (0.1%) Allianz SE, Reg S 58 14,271 Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Reg S 44 13,094 ____________
27,365 ____________
39,676 ____________ IRELAND (0.3%) Building Products (0.1%) Johnson Controls International PLC 284 13,232 ____________ Chemicals (0.0%) Linde PLC 46 12,121 ____________
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Credit Suisse Multialternative Strategy Fund Consolidated Schedule of Investments (continued) December 31, 2020 (unaudited)
Number of
Shares Value ________________ ________________
LONG POSITIONS (continued)
COMMON STOCKS IRELAND Electrical Equipment (0.1%) Eaton Corp. PLC 114 $ 13,696 ____________ Insurance (0.0%) Aon PLC 56 11,831 ____________ Machinery (0.1%) Pentair PLC 254 13,485 ____________
64,365 ____________ ITALY (0.1%) Automobiles (0.1%) Ferrari NV 61 14,171 ____________ JERSEY (0.2%) Containers & Packaging (0.0%) Amcor PLC 1,004 11,817 ____________ Media (0.1%) WPP PLC 1,443 15,630 ____________ Trading Companies & Distributors (0.1%) Ferguson PLC 113 13,724 ____________
41,171 ____________ NETHERLANDS (0.4%) Chemicals (0.0%) Akzo Nobel NV 110 11,825 ____________ Diversified Telecommunication Services (0.1%) Altice Europe NV 2,326 15,088 ____________ Food & Staples Retailing (0.0%) Koninklijke Ahold Delhaize NV 376 10,624 ____________ Healthcare Equipment & Supplies (0.1%) Koninklijke Philips NV 224 12,085 ____________ Insurance (0.1%) NN Group NV 295 12,773 ____________ Trading Companies & Distributors (0.1%) AerCap Holdings NV 460 20,967 ____________
83,362 ____________ SPAIN (0.1%) Oil, Gas & Consumable Fuels (0.1%) Repsol S.A. 1,666 16,810 ____________ SWEDEN (0.1%) Diversified Telecommunication Services (0.1%) Telia Co AB 2,751 11,382 ____________ Tobacco (0.0%) Swedish Match AB 133 10,369 ____________
21,751 ____________ SWITZERLAND (0.1%) Electronic Equipment, Instruments & Components (0.1%) TE Connectivity Ltd. 119 14,407 ____________ Pharmaceuticals (0.0%)
Novartis AG, Reg S 128 12,071 ____________
26,478 ____________ UNITED KINGDOM (0.5%) Beverages (0.1%) Coca-Cola European Partners PLC 306 15,248 ____________ Capital Markets (0.1%) Standard Life Aberdeen PLC 3,825 14,655 ____________ Media (0.1%) Pearson PLC 1,574 14,441 ____________ Oil, Gas & Consumable Fuels (0.1%) Royal Dutch Shell PLC, Class A 906 15,882 ____________
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Credit Suisse Multialternative Strategy Fund Consolidated Schedule of Investments (continued) December 31, 2020 (unaudited)
Number of
Shares Value ________________ ________________
LONG POSITIONS (continued)
COMMON STOCKS UNITED KINGDOM Personal Products (0.0%) Unilever PLC 198 $ 12,008 ____________ Textiles, Apparel & Luxury Goods (0.0%) Burberry Group PLC 556 13,572 ____________ Trading Companies & Distributors (0.1%) Ashtead Group PLC 309 14,548 ____________
100,354 ____________ UNITED STATES (5.5%) Banks (0.8%) Bank of America Corp. 484 14,670 Citigroup, Inc. 272 16,772 Citizens Financial Group, Inc. 465 16,628 Comerica, Inc. 307 17,149 JPMorgan Chase & Co. 121 15,375 M&T Bank Corp. 127 16,167 Regions Financial Corp. 1,014 16,346 The PNC Financial Services Group, Inc. 106 15,794 U.S. Bancorp 323 15,049 Wells Fargo & Co. 495 14,939 Zions Bancorp NA 400 17,376 ____________
176,265 ____________ Biotechnology (0.1%) Biogen, Inc. 41 10,039 Regeneron Pharmaceuticals, Inc. 21 10,146 ____________
20,185 ____________ Building Products (0.1%) Masco Corp. 211 11,590 ____________ Capital Markets (0.3%) Ameriprise Financial, Inc. 76 14,769 Morgan Stanley 241 16,516 State Street Corp. 195 14,192 The Bank of New York Mellon Corp. 340 14,430 The Goldman Sachs Group, Inc. 58 15,295 ____________
75,202 ____________ Chemicals (0.1%) Celanese Corp., Series A 108 14,033 ____________ Commingled Fund (1.3%) iShares Russell 2000 Value Index Fund 2,052 270,351 ____________ Communications Equipment (0.1%) Juniper Networks, Inc. 544 12,245 ____________ Construction & Engineering (0.1%) Jacobs Engineering Group, Inc. 125 13,620 ____________ Consumer Finance (0.2%) Ally Financial, Inc. 465 16,582 Discover Financial Services 202 18,287 Synchrony Financial 446 15,481 ____________
50,350 ____________ Diversified Financial Services (0.1%) Equitable Holdings, Inc. 449 11,490 Voya Financial, Inc. 242 14,232 ____________
25,722 ____________ Diversified Telecommunication Services (0.1%) Liberty Global PLC, Class C 564 13,339 ____________ Electronic Equipment, Instruments & Components (0.1%) Arrow Electronics, Inc. 147 14,303 ____________ Healthcare Providers & Services (0.2%) DaVita, Inc. 135 15,849 McKesson Corp. 78 13,565
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Credit Suisse Multialternative Strategy Fund Consolidated Schedule of Investments (continued) December 31, 2020 (unaudited)
Number of
Shares Value ________________ ________________
LONG POSITIONS (continued)
COMMON STOCKS UNITED STATES Healthcare Providers & Services Molina Healthcare, Inc. 57 $ 12,123 Universal Health Services, Inc. Class B 108 14,850 ____________
56,387 ____________ Healthcare Technology (0.1%) Cerner Corp. 160 12,557 ____________ Hotels, Restaurants & Leisure (0.1%) Domino's Pizza, Inc. 27 10,353 MGM Resorts International 533 16,795 ____________
27,148 ____________ Insurance (0.1%) Loews Corp. 334 15,037 The Allstate Corp. 124 13,631 ____________
28,668 ____________ Internet Software & Services (0.1%) eBay, Inc. 223 11,206 Expedia Group, Inc. 126 16,682 ____________
27,888 ____________ IT Services (0.1%) GoDaddy, Inc., Class A 152 12,608 ____________ Life Sciences Tools & Services (0.1%) Waters Corp. 59 14,598 ____________ Machinery (0.1%) Caterpillar, Inc. 78 14,198 Cummins, Inc. 55 12,490 ____________
26,688 ____________ Media (0.2%) Altice U.S.A., Inc., Class A 330 12,497 Charter Communications, Inc., Class A 19 12,570 Discovery, Inc., Class C 591 15,478 ____________
40,545 ____________ Metals/Mining (0.1%) Steel Dynamics, Inc. 405 14,932 ____________ Oil, Gas & Consumable Fuels (0.1%) Cabot Oil & Gas Corp. 671 10,924 ____________ Road & Rail (0.1%) CSX Corp. 150 13,613 Kansas City Southern 64 13,064 ____________
26,677 ____________ Semiconductor Equipment & Products (0.1%) Intel Corp. 225 11,209 QUALCOMM, Inc. 99 15,082 ____________
26,291 ____________ Software (0.2%) Citrix Systems, Inc. 84 10,928 Fortinet, Inc. 98 14,556 NortonLifeLock, Inc. 560 11,637 Oracle Corp. 195 12,615 ____________
49,736 ____________ Specialty Retail (0.1%) AutoZone, Inc. 10 11,855 Ulta Beauty, Inc. 52 14,932 ____________
26,787 ____________ Technology Hardware & Storage (0.1%) Apple, Inc. 100 13,269
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Credit Suisse Multialternative Strategy Fund Consolidated Schedule of Investments (continued) December 31, 2020 (unaudited)
Number of
Shares Value ________________ ________________
LONG POSITIONS (continued)
COMMON STOCKS UNITED STATES Technology Hardware & Storage NetApp, Inc. 267 $ 17,686 ____________
30,955 ____________ Textiles, Apparel & Luxury Goods (0.1%) Ralph Lauren Corp. 170 17,636 ____________ Trading Companies & Distributors (0.1%) United Rentals, Inc. 66 15,306 ____________
1,163,536 ____________
TOTAL COMMON STOCKS (Cost $1,695,380) 1,804,011 ____________
EXCHANGE-TRADED FUNDS (19.0%) UNITED STATES (19.0%) Commingled Funds (10.3%) Invesco QQQ Trust Series 1 424 133,026 iShares 3-7 Year Treasury Bond ETF 7,219 959,983 Vanguard Short-Term Inflation-Protected Securities ETF 20,853 1,065,588 ____________
2,158,597 ____________ Diversified Financial Services (2.8%) Consumer Discretionary Select Sector SPDR Fund 405 65,116 Industrial Select Sector SPDR Fund 2,193 194,190 iShares MSCI EAFE ETF 907 66,175 iShares MSCI Emerging Markets ETF 2,624 135,582 Materials Select Sector SPDR Fund 1,795 129,940 ____________
591,003 ____________ Energy - Integrated (5.9%) Alerian MLP ETF 48,322 1,239,942 ____________
TOTAL EXCHANGE-TRADED FUNDS (Cost $3,761,090) 3,989,542 ____________
Number of
Rights ________________
RIGHT (0.0%) UNITED STATES (0.0%) Oil, Gas & Consumable Fuels (0.0%)
Repsol S.A. (Cost $1,495) 4,260 1,463 ____________
SHORT-TERM INVESTMENTS (5.5%)
Number of
Shares ________________
State Street Navigator Securities Lending Government Money Market Portfolio(1) (Cost $1,154,252) 1,154,252 1,154,252 ____________
TOTAL INVESTMENTS AT VALUE (33.1%) (Cost $6,612,217) 6,949,268
OTHER ASSETS IN EXCESS OF LIABILITIES (66.9%) 14,046,487 ____________
NET ASSETS (100.0%)(2) $ 20,995,755 ____________ ____________ (1) Represents security purchased with cash collateral received for securities on loan.
(2) As of December 31, 2020, the Credit Suisse Multialternative Strategy Fund held $4,993,322 in the wholly-owned subsidiary, Credit Suisse Cayman Multialternative Strategy Fund, Ltd., representing 23.8% of the Fund's consolidated net assets.
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Credit Suisse Multialternative Strategy Fund Consolidated Schedule of Investments (continued) December 31, 2020 (unaudited)
Forward Foreign Currency Contracts Forward Currency to be Purchased (Local)
Forward Currency to be
Sold (Local) Expiration
Date Counterparty Value on
Settlement Date Current
Value/Notional
Net Unrealized Appreciation
(Depreciation) ____________ ___________ _______ __________ __________ ________ _________
CAD $ 73,546 USD $ 57,831 03/17/21 JPMorgan Chase $ 57,831 $ 57,740 $ (91) CHF 16,484 USD 18,693 03/17/21 JPMorgan Chase 18,693 18,687 (6) DKK 812,531 USD 134,329 03/17/21 JPMorgan Chase 134,329 133,775 (554) EUR 303,393 USD 373,219 03/17/21 JPMorgan Chase 373,219 371,814 (1,405) GBP 116,830 USD 159,090 03/17/21 JPMorgan Chase 159,090 159,772 682 SEK 287,161 USD 34,810 03/17/21 JPMorgan Chase 34,810 34,994 184 USD 97,581 CAD 124,306 03/17/21 JPMorgan Chase (97,581) (97,591) (10) USD 30,378 CHF 26,833 03/17/21 JPMorgan Chase (30,378) (30,420) (42) USD 225,278 DKK 1,375,651 03/17/21 JPMorgan Chase (225,278) (226,488) (1,210) USD 55,727 SEK 468,124 03/17/21 JPMorgan Chase (55,727) (57,045) (1,318) USD 614,783 EUR 504,317 03/17/21 JPMorgan Chase (614,783) (618,049) (3,266) USD 258,686 GBP 193,123 03/17/21 JPMorgan Chase (258,686) (264,107) (5,421) ___________
$ (12,457) ___________ ___________ Futures Contracts
Contract Description Currency Expiration
Date Number of Contracts Notional Value
Net Unrealized Appreciation
(Depreciation) _____________________________ ________ ___________ _________ _______ _________
Contracts to Purchase Energy Brent Crude Oil Futures USD May 2021 20 $ 1,035,600 $ 5,938 ____________ Index Contracts EURO Stoxx 50 Index Dividend Futures EUR Dec 2021 122 1,265,836 $ 1,832 ____________ Industrial Metals LME Nickel Futures USD Jan 2021 10 993,990 $ 61,448 LME Nickel Futures USD Mar 2021 7 697,536 19,087 LME Primary Aluminum Futures USD Jan 2021 29 1,434,775 8,385 LME Primary Aluminum Futures USD Mar 2021 20 988,750 (9,299) LME Zinc Futures USD Jan 2021 17 1,161,665 36,123 LME Zinc Futures USD Mar 2021 12 824,799 (6,622) ____________
$ 109,122 ____________ Interest Rate Contracts 10YR AUD Bond Futures AUD Mar 2021 13 1,476,931 $ 7,231 10YR CAD Bond Futures CAD Mar 2021 13 1,521,429 11,523 10YR U.S. Treasury Note Futures USD Mar 2021 11 1,518,859 1,175 ____________
$ 19,929 ____________ Livestock Lean Hogs Futures USD Apr 2021 12 346,800 $ 4,554 Live Cattle Futures USD Apr 2021 15 715,500 3,292 ____________
$ 7,846 ____________ Precious Metals Gold100 OZ Futures USD Apr 2021 17 3,229,320 $ 2,263 ____________
Contracts to Sell Energy Brent Crude Oil Futures USD Mar 2021 (20) (1,036,000) $ (7,242) ____________ Index Contracts EURO Stoxx 50 Index Futures EUR Mar 2021 (13) (564,668) $ (6,215) S&P 500 E Mini Index Futures USD Mar 2021 (5) (937,200) (22,590) ____________
$ (28,805) ____________ Industrial Metals LME Nickel Futures USD Jan 2021 (10) (993,990) $ (53,808) LME Nickel Futures USD Mar 2021 (7) (697,536) (25,394) LME Primary Aluminum Futures USD Jan 2021 (29) (1,434,775) (37,450) LME Primary Aluminum Futures USD Mar 2021 (20) (988,750) 39,326 LME Zinc Futures USD Jan 2021 (17) (1,161,665) (38,585)
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Credit Suisse Multialternative Strategy Fund Consolidated Schedule of Investments (continued) December 31, 2020 (unaudited)
Futures Contracts (continued)
Contract Description Currency Expiration
Date Number of Contracts Notional Value
Net Unrealized Appreciation
(Depreciation)
LME Zinc Futures USD Mar 2021 (12) (824,799) 247 ____________
$ (115,664) ____________ Interest Rate Contracts 10YR JGB Mini Futures JPY Mar 2021 (10) (1,470,677) $ 2,238 EURO Bund Futures EUR Mar 2021 (7) (1,521,460) 1,950 Long Gilt Futures GBP Mar 2021 (8) (1,482,210) (10,491) ____________
$ (6,303) ____________ Livestock Lean Hogs Futures USD Feb 2021 (12) $ (337,320) $ (10,646) Live Cattle Futures USD Feb 2021 (15) (690,150) (3,108) ____________
$ (13,754) ____________ Precious Metals Gold100 OZ Futures USD Feb 2021 (17) (3,221,670) $ (2,237) ____________
$ (27,075) ___________ ___________ Total Return Swap Contracts
Currency Notional Amount
Expiration Date Counterparty Receive Pay
Periodic Payment
Frequency
Upfront Premiums
Paid/ (Received)
Net Unrealized Appreciation
(Depreciation)
USD $ 2,128,872 09/24/21 Bank of America
Bank of America
Equities US Volatility
Carry Hourly Hedged Index 0.00% Monthly $ — $ 43,536
USD 4,304,785 06/04/21 Barclays Bank
PLC
Barclays Month End
Rebalancing Currency
Index 0.20% At Maturity — (5,927)
USD 4,248,509 09/09/21 Barclays Bank
PLC
Barclays Commodity
Hedging Insights 2
Index 0.15% At Maturity — (15,360)
USD 2,543,131 09/09/21 Barclays Bank
PLC
Shiller Barclays CAPE US
Mid - Month Sector Market
Hedged ER Index 0.60% At Maturity — (2,203)
USD 201,494 03/31/21 BNP Paribas
USD Custom Equity Basket
Long 2 0.34% Monthly — 6,200
USD 455,167 06/04/21 BNP Paribas
BNP Paribas VOLA Index
ER 0.35% At Maturity — (13,518)
USD 4,000,000 06/21/21 BNP Paribas
iBoxx $ Liquid High Yield
Index 0.24% Quarterly — 169,303
USD 1,254,925 06/30/21 BNP Paribas
USD Custom Equity Basket
Long 2 0.35% Monthly — (53,229)
USD 751,165 06/30/21 BNP Paribas
USD Custom Equity Basket
Long 2 0.15% Monthly — (7,941)
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Credit Suisse Multialternative Strategy Fund Consolidated Schedule of Investments (continued) December 31, 2020 (unaudited)
Total Return Swap Contracts (continued)
Currency Notional Amount
Expiration Date Counterparty Receive Pay
Periodic Payment
Frequency
Upfront Premiums
Paid/ (Received)
Net Unrealized Appreciation
(Depreciation)
USD $ 184,747 08/03/21 BNP Paribas (0.25)%
USD Custom Equity Basket
Short Monthly $ — $ (1,712)
USD 175,417 08/03/21 BNP Paribas (0.25)%
USD Custom Equity Basket
Short Monthly — (620)
USD 363,633 08/03/21 BNP Paribas
USD Custom Equity Basket
Long 0.34% Monthly — (3,173)
USD 4,299,207 09/09/21 BNP Paribas
BNP Paribhas Dynamic Pre Roll Alpha ex
Agriculture and Livestock
Index 0.10% At Maturity — 16,790
USD 1,347,805 09/09/21 BNP Paribas
BNP Alpha Momentum
ex-Agriculture and Livestock
Net index 0.30% At Maturity — 40,044
USD 289,813 09/30/21 BNP Paribas
BNP Paribhas Equity Low
Vol U.S. Index 0.35% At Maturity — 1,973
EUR 4,271,537 09/30/21 BNP Paribas
BNP Paribas Equity Low Vol Europe
Index 1.00% At Maturity — 145
USD 1,801,392 09/09/21 Citigroup
Citi Pure Estimates
Momentum US Long-Short TR
Index 0.95% At Maturity — (7,417)
USD 375,318 09/09/21 Goldman Sachs
Goldman Sachs RP 109 Long Short Series SR Excess
Return Strategy (0.60)% At Maturity — 11,350
USD 400,000 03/22/21 Goldman Sachs 0.24%
iBoxx $ Liquid High Yield
Index At Maturity — (40,147)
USD 2,841,359 07/16/21 Goldman Sachs
Goldman Sachs DISP U.S.
Index 0.00% At Maturity — (39,235)
USD 3,391,556 07/16/21 Goldman Sachs
Goldman Sach VVOL Carry
ER 0.00% At Maturity — 220,630
USD 4,301,822 07/16/21 Goldman Sachs
Goldman Sachs Commodity
Strategy Index 0.00% At Maturity — 953
USD 3,763,635 09/09/21 Goldman Sachs
Goldman Sachs Commodities Seasonality
Index 0.00% At Maturity — 13,423
USD 779,768 09/09/21 Goldman Sachs
Goldman Sachs RP 112 Long Short Series SR Excess
Return Strategy (0.60)% At Maturity — (5,531)
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Credit Suisse Multialternative Strategy Fund Consolidated Schedule of Investments (continued) December 31, 2020 (unaudited)
Total Return Swap Contracts (continued)
Currency Notional Amount
Expiration Date Counterparty Receive Pay
Periodic Payment
Frequency
Upfront Premiums
Paid/ (Received)
Net Unrealized Appreciation
(Depreciation)
USD $ 441,535 09/09/21 Goldman Sachs
Goldman Sachs RP 109 Long Short Series SR Excess
Return Strategy (0.60)% At Maturity $ — $ 13,298
USD 166,127 09/09/21 Goldman Sachs
Goldman Sachs RP 110 Long Short Series SR Excess
Return Strategy (0.60)% At Maturity — (547)
USD 7,495 10/25/21 Goldman Sachs
Achillion Pharmaceutic
als CVR 0.52% Monthly — 0
USD 284,103 12/03/21 Goldman Sachs BMC Stock Holdings, Inc. 0.53% Monthly — 30,408
USD 284,493 12/03/21 Goldman Sachs (0.15)%
Builders Firstsource,
Inc. Monthly — (29,295)
USD 99,718 12/10/21 Goldman Sachs BMC Stock Holdings, Inc. 0.53% Monthly — 13,654
USD 99,897 12/10/21 Goldman Sachs (0.23)%
Builders Firstsource,
Inc. Monthly — (13,269)
USD 3,791,820 02/09/21 JPMorgan Chase J.P. Morgan Helix 3 Index 0.60% At Maturity — 5,756
USD 4,310,156 02/09/21 JPMorgan Chase
J.P. Morgan Seasonal Spreads Portfolio 0.60% At Maturity — 18,489
USD 4,325,634 02/09/21 JPMorgan Chase JPM Kronos
Series 2 0.00% At Maturity — 17,625
USD 4,366,831 02/09/21 JPMorgan Chase
JPM Commodities Fundamental
Value 0.80% At Maturity — 46,730
USD 499,999 03/04/21 JPMorgan Chase
J.P. Morgan EMBI Global
Core 0.78% Quarterly — 6,166
USD 1,000,000 03/11/21 JPMorgan Chase
J.P. Morgan EMBI Global
Core 0.72% Quarterly — 8,455
USD 600,000 03/11/21 JPMorgan Chase
J.P. Morgan EMBI Global
Core 0.79% Quarterly — (1,158) EUR 1,733 03/19/21 JPMorgan Chase Aroundtown SA (0.20)% Monthly — —
USD 300,000 03/22/21 JPMorgan Chase
iBoxx $ Liquid High Yield
Index 0.24% Quarterly — 18,106
USD 4,200,000 06/21/21 JPMorgan Chase 0.24%
iBoxx $ Liquid High Yield
Index At Maturity — (206,979)
USD 90,036 08/20/21 JPMorgan Chase Wright Medical
Group NV 0.54% At Maturity — 0
USD 131,303 09/03/21 JPMorgan Chase Wright Medical
Group NV 0.54% At Maturity — 0
CHF 389,153 09/20/21 JPMorgan Chase
Sunrise Communicati
ons Group (1.00)% Monthly — 0
CHF 281,544 11/09/21 JPMorgan Chase
Sunrise Communicati
ons Group (1.00)% Monthly — 0
USD 237,067 01/03/22 JPMorgan Chase
National General Holdings 0.55% Monthly — 347
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Credit Suisse Multialternative Strategy Fund Consolidated Schedule of Investments (continued) December 31, 2020 (unaudited)
Total Return Swap Contracts (continued)
Currency Notional Amount
Expiration Date Counterparty Receive Pay
Periodic Payment
Frequency
Upfront Premiums
Paid/ (Received)
Net Unrealized Appreciation
(Depreciation)
USD $ 239,850 01/03/22 JPMorgan Chase
Navistar International
Corp. 0.55% Monthly $ — $ (1,895)
USD 313,018 01/03/22 JPMorgan Chase Parsley Energy,
Inc. 0.55% Monthly — 11,424 USD 273,113 01/03/22 JPMorgan Chase Xilinx, Inc. 0.55% Monthly — (11,973)
USD 47,619 01/03/22 JPMorgan Chase
Endurance International
Group 0.55% Monthly — 0
USD 298,578 01/03/22 JPMorgan Chase (0.15)% Advanced Micro
Devices, Inc. Monthly — 7,491
USD 234,051 01/03/22 JPMorgan Chase
PNM Resources,
Inc. 0.55% Monthly — (2,999)
USD 245,026 01/03/22 JPMorgan Chase (0.15)% Analog
Devices, Inc. Monthly — (6,854)
USD 315,401 01/03/22 JPMorgan Chase (0.25)%
Pioneer Natural Resources
Co. Monthly — (10,325) USD 309,888 01/03/22 JPMorgan Chase (0.15)% Conoco Philips Monthly — 20,481
USD 235,643 01/03/22 JPMorgan Chase Varian Medical
Systems, Inc. 0.55% Monthly — 445
USD 309,069 01/03/22 JPMorgan Chase
Concho Resources,
Inc. 0.55% Monthly — (19,828)
USD 233,387 01/03/22 JPMorgan Chase
Maxim Integrated Products 0.55% Monthly — 6,411
USD 150,705 01/03/22 JPMorgan Chase Inphi Corp. 0.55% Monthly — 8,482
USD 237,559 01/03/22 JPMorgan Chase
China Biologic Products
Holdings, Inc. 0.55% Monthly — (1,221) USD 139,796 01/03/22 JPMorgan Chase Virtusa Corp. 0.55% Monthly — 2,703
USD 101,787 01/03/22 JPMorgan Chase (0.25)%
Marvell Technology Group Ltd. Monthly — (7,840)
CAD 172,633 01/04/22 JPMorgan Chase
Great Canadian Gaming Corp. 0.92% Monthly — 26,352
USD 85,546 01/10/22 JPMorgan Chase
National General Holdings 0.56% Monthly — 75
GBP 348,449 01/10/22 JPMorgan Chase Kaz Minerals
PLC 0.37% Monthly — 3,672
GBP 324,201 01/10/22 JPMorgan Chase RSA Insurance
Group PLC 0.37% Monthly — 620
USD 113,982 01/10/22 JPMorgan Chase
Concho Resources,
Inc. 0.56% Monthly — (9,710)
USD 82,493 01/10/22 JPMorgan Chase
Maxim Integrated Products 0.56% Monthly — 3,941
USD 85,434 01/10/22 JPMorgan Chase
China Biologic Products Holdings 0.56% Monthly — (276)
USD 17,198 01/10/22 JPMorgan Chase
Endurance International
Group 0.56% Monthly — (18)
USD 105,033 01/10/22 JPMorgan Chase (0.25)% Advanced Micro
Devices, Inc. Monthly — 25 USD 114,269 01/10/22 JPMorgan Chase (0.25)% Conoco Philips Monthly — 9,895
USD 121,682 01/10/22 JPMorgan Chase Parsley Energy,
Inc. 0.56% Monthly — (4,701)
USD 84,312 01/10/22 JPMorgan Chase
PNM Resources,
Inc. 0.56% Monthly — (1,034) USD 337,703 01/10/22 JPMorgan Chase Sina Corp. 0.56% Monthly — (19,005) USD 95,699 01/10/22 JPMorgan Chase Xilinx, Inc. 0.56% Monthly — (1,564)
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Credit Suisse Multialternative Strategy Fund Consolidated Schedule of Investments (continued) December 31, 2020 (unaudited)
Total Return Swap Contracts (continued)
Currency Notional Amount
Expiration Date Counterparty Receive Pay
Periodic Payment
Frequency
Upfront Premiums
Paid/ (Received)
Net Unrealized Appreciation
(Depreciation)
USD $ 35,647 01/10/22 JPMorgan Chase (0.25)%
Marvell Technology Group Ltd. Monthly $ — $ (3,859)
USD 86,243 01/10/22 JPMorgan Chase
Navistar International
Corp. 0.56% Monthly — (477) USD 50,655 01/10/22 JPMorgan Chase Virtusa Corp. 0.56% Monthly — 782
USD 86,808 01/10/22 JPMorgan Chase (0.25)% Analog
Devices, Inc. Monthly — (3,898)
USD 122,622 01/10/22 JPMorgan Chase (0.25)%
Pioneer Natural Resources
Co. Monthly — 5,088
USD 85,167 01/10/22 JPMorgan Chase Varian Medical
Systems, Inc. 0.56% Monthly — 62
USD 87,535 01/10/22 JPMorgan Chase (0.25)% Sales Force.
Com., Inc. Monthly — 81
USD 214,289 01/10/22 JPMorgan Chase
Slack Technologies
, Inc. 0.56% Monthly — (428) USD 53,425 01/10/22 JPMorgan Chase Inphi Corp. 0.56% Monthly — 4,024 SEK 328,341 01/17/22 JPMorgan Chase Recipharm AB 0.27% Monthly — 2,668
USD 314,464 01/18/22 JPMorgan Chase TCF Financial
Corp. 0.54% Monthly — 4,279
USD 319,039 01/18/22 JPMorgan Chase (0.25)%
Huntington Bancshares,
Inc. Monthly — (7,484)
USD 209,765 01/24/22 JPMorgan Chase
Aerojet Rocketdyne
Holdings, Inc. 0.55% Monthly — 208
USD 70,925 01/24/22 JPMorgan Chase (0.25)% Diamondback
Energy, Inc. Monthly — (804)
USD 331,363 01/24/22 JPMorgan Chase HMS Holdings
Corp. 0.55% Monthly — 1,371
USD 70,571 01/24/22 JPMorgan Chase
QEP Resources,
Inc. 0.55% Monthly — 267 USD 331,805 01/24/22 JPMorgan Chase Realpage, Inc. 0.55% Monthly — (1,688)
USD 1,568,921 09/09/21 Macquarie Bank
Ltd.
Commodities WTI Mean Reversion 0.15% At Maturity — 70,840
USD 400,000 03/20/21 Morgan Stanley
iBoxx $ Liquid High Yield
Index 0.24% Quarterly (152) 7,910
USD 1,000,000 03/20/21 Morgan Stanley
iBoxx $ Liquid High Yield
Index 0.22% Quarterly (505) 6,232
USD 3,330,000 03/20/21 Morgan Stanley 1.00%
iBoxx $ Liquid High Yield
Index At Maturity 889 (15,227)
USD 1,100,000 03/22/21 Morgan Stanley
iBoxx $ Liquid High Yield
Index 0.24% Quarterly — 120,529
USD 1,300,000 06/21/21 Morgan Stanley
iBoxx $ Liquid High Yield
Index 0.23% Quarterly — 46,321
USD 837,447 09/09/21 Morgan Stanley
GC Intraday Momentum
Index 0.15% At Maturity — (1,795)
USD 4,300,916 09/09/21 Morgan Stanley
Morgan Stanley Soy Dynamic Congestion
Index 0.25% At Maturity — 10,042
USD 400,000 09/20/21 Morgan Stanley 0.21%
iBoxx $ Liquid High Yield
Index At Maturity 134 (10,541)
USD 1,900,000 09/20/21 Morgan Stanley
iBoxx $ Liquid High Yield
Index 0.24% Quarterly (53) (1,941)
-
Credit Suisse Multialternative Strategy Fund Consolidated Schedule of Investments (continued) December 31, 2020 (unaudited)
Total Return Swap Contracts (continued)
Currency Notional Amount
Expiration Date Counterparty Receive Pay
Periodic Payment
Frequency
Upfront Premiums
Paid/ (Received)
Net Unrealized Appreciation
(Depreciation)
USD $ 4,296,886 09/30/21 Morgan Stanley
Morgan Stanley Commodities Curve Carry
Index 0.35% At Maturity $ — $ (22,099)
USD 810,086 04/20/21 Societe Generale 0.15% S&P 500 Total
Return Index Monthly — (4,646)
USD 534,626 06/04/21 Societe Generale SGI VRR US
Index 0.29% At Maturity — 5,157
USD 4,332,047 06/09/21 Societe Generale
SGI Commodity Dynamic
Alpha VT6 Index 1.20% At Maturity — (55,216)
USD 648,068 06/30/21 Societe Generale 0.25% S&P 500 Total
Return Index Monthly — (3,717)
USD 393,470 08/20/21 Societe Generale 0.33% S&P 500 Total
Return Index Monthly — (2,257)
USD 2,722,535 09/09/21 Societe Generale SG US Trend
Index 0.30% At Maturity — (3,354)
$ 313 $ 405,324
WRITTEN OPTIONS
Number of Contracts Counterparty Put Written Options
Expiration Date
Notional Amount
Premiums Received
Current Value
Net Unrealized Appreciation
(Depreciation) ______ _____________ ________________ _______ _____ _____ ______ _________ 1 Goldman Sachs S&P 500 Index, strike @ $3,720 01/15/21 100 $ 8,634 $ (3,835) $ 4,799 ___________ = Currency Abbreviations: __________________
AUD = Australian Dollar CAD = Canadian Dollar CHF = Swiss Franc DKK = Danish Krone EUR = Euro GBP = British Pound JPY = Japanese Yen SEK = Swedish Krona USD = United States Dollar Shares of Credit Suisse Funds are currently offered only in the U.S. and are not registered for sale in any other jurisdiction. Fund shares are not deposits or other obligations of Credit Suisse or any affiliate, are not FDIC-insured and are not guaranteed by Credit Suisse or any affiliate. Current and future fund investments are subject to investment risks, including possible loss of your investment. There are also special risk considerations associated with international, global, emerging-market, small-company, high-yield debt, single-industry, single-country and regional funds and other special, aggressive or concentrated investment strategies. Past performance cannot guarantee future results. Holdings are unaudited and may have changed subsequently.
This is not a recommendation to purchase or to sell securities. The fund's investment objective, risks, charges and expenses (which should be considered carefully before investing), and more complete information about the fund, are provided in the Prospectus, which should be read carefully before investing. Additional copies are available at www.credit-suisse.com/us/funds or by calling Credit Suisse Funds at 1-877-870-2874. Copyright © 2020. Credit Suisse (USA) LLC, distributor.