NPORT-EX 1 NPORT_858643383026830.htm

 

Credit Suisse Trust - Commodity Return Strategy Portfolio

Consolidated Schedule of Investments

March 31, 2019 (unaudited)

 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

UNITED STATES AGENCY OBLIGATIONS (65.1%)

 

 

 

 

 

 

 

 

 

$

5,200

 

Federal Farm Credit Banks, LIBOR 1M + 0.180%(1)

 

(AA+, Aaa)

 

10/24/19

 

2.666

 

$

5,205,717

 

7,900

 

Federal Farm Credit Banks, LIBOR 3M - 0.060%(1)

 

(AA+, Aaa)

 

10/25/19

 

2.711

 

7,903,418

 

4,300

 

Federal Farm Credit Banks, FCPR DLY - 2.910%(1)

 

(AA+, Aaa)

 

12/11/19

 

2.590

 

4,303,253

 

3,100

 

Federal Farm Credit Banks, FCPR DLY - 2.930%(1)

 

(AA+, Aaa)

 

08/27/20

 

2.570

 

3,102,069

 

5,200

 

Federal Farm Credit Banks, FCPR DLY - 2.930%(1)

 

(AA+, Aaa)

 

09/24/20

 

2.570

 

5,203,282

 

4,000

 

Federal Farm Credit Banks, LIBOR 1M + 0.200%(1)

 

(AA+, Aaa)

 

10/26/20

 

2.699

 

4,010,006

 

5,700

 

Federal Farm Credit Banks, FCPR DLY - 2.980%(1)

 

(AA+, Aaa)

 

11/12/20

 

2.520

 

5,698,596

 

5,300

 

Federal Farm Credit Banks, USBMMY3M + 0.130%(1)

 

(AA+, Aaa)

 

11/12/20

 

2.555

 

5,302,504

 

3,000

 

Federal Farm Credit Banks, LIBOR 1M + 0.065%(1)

 

(AA+, Aaa)

 

12/28/20

 

2.561

 

3,000,950

 

10,600

 

Federal Farm Credit Banks, LIBOR 3M - 0.080%(1)

 

(AA+, Aaa)

 

01/15/21

 

2.707

 

10,594,442

 

4,000

 

Federal Farm Credit Banks, FCPR DLY - 2.910%(1)

 

(AA+, Aaa)

 

01/25/21

 

2.590

 

4,002,913

 

4,000

 

Federal Farm Credit Banks, LIBOR 1M + 0.350%(1)

 

(AA+, Aaa)

 

02/05/21

 

2.832

 

4,021,452

 

3,350

 

Federal Farm Credit Banks, LIBOR 1M + 0.010%(1)

 

(AA+, Aaa)

 

04/19/21

 

2.492

 

3,343,252

 

3,000

 

Federal Farm Credit Banks, FEDL01 + 0.200%(1)

 

(AA+, Aaa)

 

06/21/21

 

2.610

 

3,004,491

 

4,200

 

Federal Farm Credit Banks, LIBOR 1M + 0.010%(1)

 

(AA+, Aaa)

 

06/28/21

 

2.506

 

4,189,338

 

6,500

 

Federal Farm Credit Banks, LIBOR 1M + 0.000%(1)

 

(AA+, Aaa)

 

07/16/21

 

2.482

 

6,487,744

 

3,200

 

Federal Farm Credit Banks, LIBOR 1M + 0.000%(1)

 

(AA+, Aaa)

 

08/09/21

 

2.493

 

3,189,346

 

16,200

 

Federal Farm Credit Banks, USBMMY3M + 0.140%(1)

 

(AA+, Aaa)

 

09/17/21

 

2.565

 

16,197,088

 

11,200

 

Federal Farm Credit Banks, LIBOR 3M + 0.010%(1)

 

(AA+, Aaa)

 

09/20/21

 

2.643

 

11,207,707

 

5,700

 

Federal Farm Credit Banks, FEDL01 + 0.220%(1)

 

(AA+, Aaa)

 

10/12/21

 

2.630

 

5,704,867

 

9,900

 

Federal Farm Credit Banks, USBMMY3M + 0.140%(1)

 

(AA+, Aaa)

 

11/08/21

 

2.565

 

9,881,042

 

15,000

 

Federal Farm Credit Banks, FCPR DLY - 2.800%(1)

 

(AA+, Aaa)

 

11/23/21

 

2.700

 

15,011,672

 

4,400

 

Federal Farm Credit Banks, LIBOR 1M + 0.260%(1)

 

(AA+, Aaa)

 

11/23/21

 

2.746

 

4,420,211

 

10,000

 

Federal Farm Credit Banks, FCPR DLY - 2.800%(1)

 

(AA+, Aaa)

 

03/14/22

 

2.700

 

9,995,717

 

1,500

 

Federal Farm Credit Banks

 

(AA+, Aaa)

 

05/20/24

 

3.050

 

1,500,333

 

1,000

 

Federal Farm Credit Banks

 

(AA+, Aaa)

 

10/16/24

 

3.640

 

1,003,833

 

7,800

 

Federal Home Loan Banks

 

(AA+, Aaa)

 

08/05/19

 

0.875

 

7,757,591

 

12,800

 

Federal Home Loan Banks, TBILL 3M + 0.070%(1)

 

(AA+, Aaa)

 

01/30/20

 

2.535

 

12,803,624

 

7,000

 

Federal Home Loan Banks, LIBOR 3M + 0.125%(1)

 

(AA+, Aaa)

 

07/01/20

 

2.922

 

7,019,529

 

6,200

 

Federal Home Loan Banks, LIBOR 1M + 0.150%(1)

 

(AA+, Aaa)

 

09/28/20

 

2.646

 

6,216,962

 

1,700

 

Federal Home Loan Banks, TBILL 3M + 0.090%(1)

 

(AA+, Aaa)

 

02/01/21

 

2.555

 

1,701,817

 

10,000

 

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

 

(AA+, Aaa)

 

07/13/21

 

2.499

 

9,987,908

 

10,800

 

Federal Home Loan Mortgage Corp., LIBOR 1M - 0.100%(1)

 

(AA+, Aaa)

 

08/12/19

 

2.392

 

10,800,222

 

7,500

 

Federal Home Loan Mortgage Corp.

 

(AA+, Aaa)

 

01/18/22

 

3.000

 

7,500,787

 

5,000

 

Federal Home Loan Mortgage Corp. Discount Notes(4)

 

(AA+, Aaa)

 

04/17/19

 

2.410

 

4,994,645

 

23,860

 

Federal National Mortgage Association, SOFR + 0.160%(1)

(AA+, Aaa)

 

01/30/20

 

2.560

 

23,881,590

 

8,000

 

Federal National Mortgage Association, LIBOR 3M - 0.150%(1)

 

(AA+, Aaa)

 

03/13/20

 

2.458

 

7,996,450

 

6,700

 

Federal National Mortgage Association, LIBOR 3M - 0.160%(1)

 

(AA+, Aaa)

 

03/25/20

 

2.442

 

6,695,434

 

10,400

 

Federal National Mortgage Association, SOFR + 0.100%(1)

(AA+, Aaa)

 

04/30/20

 

2.500

 

10,406,608

 

TOTAL UNITED STATES AGENCY OBLIGATIONS (Cost $275,185,340)

 

 

 

 

 

275,248,410

 

 

 

 

 

 

 

 

 

 

 

 

 

UNITED STATES TREASURY OBLIGATIONS (29.0%)

 

 

 

 

 

 

 

 

 

12,200

 

United States Treasury Bills(4)

 

(AA+, Aaa)

 

08/01/19

 

2.411

 

12,102,262

 

4,000

 

United States Treasury Bills(4)

 

(AA+, Aaa)

 

04/30/19

 

2.392

 

3,992,292

 

500

 

United States Treasury Floating Rate Notes, USBMMY3M + 0.048%(1)

 

(AA+, Aaa)

 

10/31/19

 

2.473

 

500,027

 

1,000

 

United States Treasury Floating Rate Notes, USBMMY3M + 0.000%(1)

 

(AA+, Aaa)

 

01/31/20

 

2.425

 

999,574

 

6,700

 

United States Treasury Floating Rate Notes, USBMMY3M + 0.033%(1)

 

(AA+, Aaa)

 

04/30/20

 

2.458

 

6,696,530

 

3,600

 

United States Treasury Floating Rate Notes, USBMMY3M + 0.043%(1),(2)

 

(AA+, Aaa)

 

07/31/20

 

2.468

 

3,597,143

 

52,835

 

United States Treasury Floating Rate Notes, USBMMY3M + 0.045%(1),(2),(3)

 

(AA+, Aaa)

 

10/31/20

 

2.470

 

52,767,134

 

42,000

 

United States Treasury Floating Rate Notes, USBMMY3M + 0.115%(1),(2)

 

(AA+, Aaa)

 

01/31/21

 

2.540

 

41,966,315

 

TOTAL UNITED STATES TREASURY OBLIGATIONS (Cost $122,622,218)

 

 

 

 

 

122,621,277

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS AT VALUE (94.1%) (Cost $397,807,558)

 

 

 

 

 

397,869,687

 

 

 

 

 

 

 

 

 

OTHER ASSETS IN EXCESS OF LIABILITIES (5.9%)

 

 

 

 

 

 

 

25,089,690

 

 

 

 

 

 

 

 

 

 

 

NET ASSETS (100.0%)

 

 

 

 

 

 

 

$

422,959,377

 

 

 

†                   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 March 31, 2019.

(2)             At March 31, 2019, $15,405,238 in the value of these securities has been pledged as collateral for open swap contracts.

(3)             At March 31, 2019, $2,596,660 in the value of this security has been pledged to cover initial margin requirements for open futures contracts.

(4)             Securities are zero coupon. Rate presented is yield to maturity as of March 31, 2019.

 

INVESTMENT ABBREVIATIONS

1M = 1 Month

3M = 3 Month

DLY = Daily

FCPR = Federal Reserve Bank Prime Loan Rate U.S.

FEDL01 = Federal Funds Rate

LIBOR = London Interbank Offered Rate

SOFR = Secured Overnight Financing Rate

TBILL = Treasury Bill 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 2019

 

65

 

$

3,918,200

 

$

178,079

 

Contracts to Sell

 

 

 

 

 

 

 

 

 

 

 

Energy

 

 

 

 

 

 

 

 

 

 

 

Light Sweet Crude Oil Futures

 

USD

 

Dec 2019

 

(65

)

(3,914,300

)

$

483,813

 

 

 

 

 

 

 

 

 

 

 

$

661,892

 

 

Commodity Index Swap Contracts

 

Currency

 

Notional
Amount

 

Expiration
Date

 

Counterparty

 

Receive Return of the
Reference Index

 

Pay

 

Upfront
Premiums
Paid

 

Upfront
Premiums
Received

 

Net Unrealized
Appreciation
(Depreciation)

 

USD

 

$

48,992,700

 

04/23/19

 

Bank of America

 

Merrill Lynch Commodity Index Extra CS2T Total Return

 

2.67

%

$

—

 

$

—

 

$

(763,301

)

USD

 

3,000,000

 

04/23/19

 

Bank of America

 

Merrill Lynch Commodity Index Extra CS2T Total Return

 

2.67

%

—

 

—

 

2,370

 

USD

 

7,863,441

 

04/23/19

 

Bank of America

 

Bloomberg Commodity Index Total Return

 

2.51

%

—

 

—

 

(123,640

)

USD

 

30,625,079

 

04/23/19

 

CIBC

 

Bloomberg Commodity Index Total Return

 

2.53

%

—

 

—

 

(481,682

)

USD

 

59,921,924

 

04/23/19

 

Citigroup

 

Bloomberg Commodity Index Total Return

 

2.52

%

—

 

—

 

(942,326

)

USD

 

31,130,712

 

04/23/19

 

JPMorgan Chase

 

Bloomberg Commodity Index Total Return

 

2.51

%

—

 

—

 

(489,482

)

USD

 

5,021,472

 

04/23/19

 

Macquarie

 

Bloomberg Commodity Index Total Return

 

2.50

%

—

 

—

 

(78,942

)

USD

 

55,092,377

 

04/23/19

 

Macquarie

 

Macquarie Commodity Customized Product 112T Index(a)

 

2.67

%

—

 

—

 

(873,592

)

USD

 

42,451,968

 

04/23/19

 

Morgan Stanley

 

Bloomberg Commodity Index 2 Month Forward Total Return

 

2.59

%

—

 

—

 

(664,708

)

USD

 

8,038,957

 

04/23/19

 

RBC Capital

 

Bloomberg Commodity Index Total Return

 

2.53

%

—

 

—

 

(126,440

)

 

 

Currency

 

Notional
Amount

 

Expiration
Date

 

Counterparty

 

Receive Return of the
Reference Index

 

Pay

 

Upfront
Premiums
Paid

 

Upfront
Premiums
Received

 

Net Unrealized
Appreciation
(Depreciation)

 

USD

 

$

13,076,226

 

04/23/19

 

RBC Capital

 

Bloomberg Commodity Index 2 Month Forward Total Return

 

2.61

%

$

—

 

$

—

 

$

(204,810

)

USD

 

3,583,616

 

04/23/19

 

Societe Generale

 

Bloomberg Commodity Index 2 Month Forward Total Return

 

2.55

%

—

 

—

 

(56,077

)

USD

 

51,193,856

 

04/23/19

 

Societe Generale

 

Societe Generale P04 TR Index (b)

 

2.67

%

—

 

—

 

(803,680

)

USD

 

30,549,801

 

04/23/19

 

Societe Generale

 

Bloomberg Commodity Index Total Return

 

2.52

%

—

 

—

 

(480,423

)

USD

 

39,920,982

 

04/23/19

 

UBS

 

Bloomberg Commodity Index Total Return

 

2.52

%

—

 

—

 

(627,793

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(6,714,526

)

 

(a) 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

 

Contract

 

Weight

 

3/31/19 Price

 

Quantity(1)

 

3/31/19 Value (1)(2)

 

COMEX Gold

 

GCM9

 

11.86

%

1,298.50

 

49.55

 

$

6,433,474

 

NYMEX WTI Crude Oil

 

CLM9

 

8.90

%

60.28

 

80.14

 

4,830,830

 

ICE Brent Crude Oil

 

CON9

 

8.23

%

67.21

 

66.47

 

4,467,341

 

COMEX High Grade Copper

 

HGN9

 

7.87

%

2.94

 

58.08

 

4,271,718

 

NYMEX Nat Gas

 

NGK19

 

7.28

%

2.66

 

148.44

 

3,951,410

 

CBOT Soybeans

 

S K9

 

5.50

%

8.84

 

67.50

 

2,984,419

 

CBOT Corn

 

C K9

 

5.18

%

3.57

 

157.56

 

2,808,515

 

LME Aluminium

 

LAM19

 

4.24

%

1,911.00

 

48.15

 

2,300,292

 

CME Live Cattle

 

LCQ9

 

3.74

%

1.16

 

43.92

 

2,032,047

 

COMEX Silver

 

SIN9

 

3.62

%

15.20

 

25.80

 

1,961,496

 

LME Zinc

 

LXZ9

 

3.61

%

2,845.00

 

27.52

 

1,957,099

 

CBOT Soy Meal

 

SMK9

 

3.10

%

306.50

 

54.96

 

1,684,413

 

LME Nickel

 

LNM9

 

3.07

%

12,985.00

 

21.40

 

1,667,429

 

NYMEX Unleaded Gasoline

 

XBN9

 

3.03

%

1.85

 

21.13

 

1,643,825

 

CBOT Bean Oil

 

BOK9

 

2.97

%

0.28

 

94.82

 

1,613,490

 

NYBOT Sugar

 

SBK9

 

2.96

%

0.13

 

114.26

 

1,603,470

 

ICE Gas Oil

 

QSK9

 

2.79

%

607.25

 

24.89

 

1,511,680

 

CBOT Wheat

 

W N9

 

2.61

%

4.64

 

61.05

 

1,414,793

 

CME Lean Hogs

 

LHM9

 

2.44

%

0.89

 

37.31

 

1,321,629

 

NYMEX Heating Oil

 

HOK9

 

2.30

%

1.97

 

15.04

 

1,245,324

 

NYBOT Coffee

 

KCK9

 

2.18

%

0.95

 

33.38

 

1,182,772

 

NYBOT Cotton

 

CTK9

 

1.47

%

0.78

 

20.53

 

796,760

 

KCBOT Kansas Wheat

 

KWK9

 

1.05

%

4.30

 

26.58

 

571,375

 

 

(1)             Amounts represent quantity and value of index components as they relate specifically to the Fund’s swap position as of March 31, 2019.

(2)             Value represents product of price, quantity and contract multiplier.

 

 

(b) 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

 

Contract

 

Weight

 

3/31/19 Price

 

Quantity(1)

 

3/31/19 Value (1)(2)

 

COMEX Gold

 

GCM9

 

11.84

%

1,298.50

 

45.99

 

$

5,972,267

 

NYMEX WTI Crude Oil

 

CLK9

 

8.92

%

60.28

 

74.60

 

4,496,849

 

ICE Brent Crude Oil

 

CON9

 

8.23

%

67.21

 

61.72

 

4,147,912

 

COMEX High Grade Copper

 

HGK9

 

7.86

%

2.94

 

53.91

 

3,964,871

 

NYMEX Nat Gas

 

NGK19

 

7.27

%

2.66

 

137.79

 

3,667,871

 

CBOT Soybeans

 

S K9

 

5.49

%

8.84

 

62.66

 

2,770,317

 

CBOT Corn

 

C K9

 

5.17

%

3.57

 

146.25

 

2,606,942

 

LME Aluminium

 

LAM19

 

4.24

%

1,911.00

 

44.70

 

2,135,474

 

CME Live Cattle

 

LCM9

 

3.72

%

1.16

 

40.58

 

1,877,805

 

LME Zinc

 

LXM9

 

3.62

%

2,845.00

 

25.63

 

1,822,842

 

COMEX Silver

 

SIN9

 

3.61

%

15.20

 

23.95

 

1,820,825

 

CBOT Soy Meal

 

SMK9

 

3.10

%

306.50

 

51.02

 

1,563,661

 

LME Nickel

 

LNM9

 

3.07

%

12,985.00

 

19.87

 

1,548,029

 

NYMEX Unleaded Gasoline

 

XBN9

 

3.04

%

1.85

 

19.72

 

1,533,910

 

CBOT Bean Oil

 

BOK9

 

2.97

%

0.28

 

88.01

 

1,497,605

 

NYBOT Sugar

 

SBK9

 

2.95

%

0.13

 

106.07

 

1,488,528

 

ICE Gas Oil

 

QSK9

 

2.78

%

607.25

 

23.11

 

1,403,311

 

CBOT Wheat

 

W K9

 

2.61

%

4.64

 

56.83

 

1,317,085

 

CME Lean Hogs

 

LHM9

 

2.46

%

0.89

 

35.05

 

1,241,449

 

NYMEX Heating Oil

 

HOK9

 

2.32

%

1.97

 

14.10

 

1,167,829

 

NYBOT Coffee

 

KCK9

 

2.18

%

0.95

 

30.98

 

1,097,739

 

NYBOT Cotton

 

CTK9

 

1.47

%

0.78

 

19.06

 

739,726

 

KCBOT Kansas Wheat

 

KWK9

 

1.05

%

4.30

 

24.67

 

530,465

 

Cash

 

 

 

 

 

 

 

 

 

11,093

 

 

(1)             Amounts represent quantity and value of index components as they relate specifically to the Fund’s swap position as of March 31, 2019.

(2)             Value represents product of price, quantity and contract multiplier.

 

 

 

SECURITY VALUATION — The Board of Trustees (the “Board”) is responsible for the Portfolio’s valuation process. The Board has delegated the supervision of the daily valuation process to Credit Suisse Asset Management, LLC, the Portfolio’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 Portfolio’s pricing policies. The net asset value of the Portfolio is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional “round lot” size, but some trades occur in smaller “odd lot” sizes which may be effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis.  The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Portfolio 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 Trust 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 Portfolio 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 Portfolio 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 Portfolio’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 March 31, 2019 in valuing the Portfolio’s assets and liabilities carried at fair value:

 

Assets

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Investments in Securities

 

 

 

 

 

 

 

 

 

United States Agency Obligations

 

$

—

 

$

275,248,410

 

$

—

 

$

275,248,410

 

United States Treasury Obligations

 

—

 

122,621,277

 

—

 

122,621,277

 

 

 

$

—

 

$

397,869,687

 

$

—

 

$

397,869,687

 

Other Financial Instruments*

 

 

 

 

 

 

 

 

 

Futures Contracts

 

$

661,892

 

$

—

 

$

—

 

$

661,892

 

Swap Contracts**

 

—

 

2,370

 

—

 

2,370

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Other Financial Instruments*

 

 

 

 

 

 

 

 

 

Swap Contracts**

 

$

—

 

$

6,716,896

 

$

—

 

$

6,716,896

 

 

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

**          Value includes any premium paid or received with respect to swap contracts, if applicable.

 

During the period ended March 31, 2019, there were no transfers between Level 2 and Level 3. All transfers, if any, are assumed to occur at the end of the reporting period.

 

Other information regarding the Portfolio is available in the most recent Report to Shareholders. This information is also available on the Portfolio’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.