NPORT-P false 0000941568 XXXXXXXX S000011252 C000218423 C000031307 CREDIT SUISSE TRUST 811-07261 0000941568 549300NNW5TC7U41BU59 ELEVEN MADISON AVENUE NEW YORK 10010 212-325-2000 Commodity Return Strategy Portfolio S000011252 549300P53JEFR8TMV554 2020-12-31 2020-06-30 N 404266257.68 427348.83 403838908.85 0.00000000 77721667.97000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 20718579.12000000 USD N Macquarie N/A 000000000 44877576.00000000 OU Notional Amount USD 888764.32370000 0.220078923606 N/A DCO US N 2 Macquarie N/A Macquarie Commodity Customized Product 112T Index MQCC112T.IDX LME Zinc DEC 20 Futures 31.01000000 USD 1593730.00000000 USD ICE Gas Oil SEP 20 Futures 21.90000000 USD 786119.00000000 USD NYBOT Sugar OCT 20 Futures 104.98000000 USD 1406218.00000000 USD COMEX Silver SEP 20 Futures 22.15000000 USD 2063655.00000000 USD CBOT Corn SEP 20 Futures 159.98000000 USD 2731577.00000000 USD COMEX High Grade Copper SEP 20 Futures 52.14000000 USD 3556670.00000000 USD CBOT Bean Oil DEC 20 Futures 73.26000000 USD 1266404.00000000 USD CME Lean Hogs AUG 20 Futures 33.94000000 USD 665621.00000000 USD KCBOT Kansas Wheat SEP 20 Futures 32.85000000 USD 722269.00000000 USD CBOT Soybeans NOV 20 Futures 62.66000000 USD 2763973.00000000 USD LME Nickel SEP 20 Futures 17.32000000 USD 1330483.00000000 USD NYMEX Nat Gas SEP 20 Futures 203.93000000 USD 3648384.00000000 USD CME Live Cattle AUG 20 Futures 42.31000000 USD 1629444.00000000 USD NYBOT Coffee SEP 20 Futures 31.33000000 USD 1186711.00000000 USD COMEX Gold AUG 20 Futures 45.62000000 USD 8213953.00000000 USD CBOT Soy Meal DEC 20 Futures 57.79000000 USD 1709927.00000000 USD ICE Brent Crude Oil NOV 20 Futures 53.07000000 USD 2205580.00000000 USD NYMEX WTI Crude Oil SEP 20 Futures 67.35000000 USD 2649652.00000000 USD NYMEX Heating Oil SEP 20 Futures 12.97000000 USD 655397.00000000 USD NYBOT Cotton DEC 20 Futures 22.67000000 USD 689941.00000000 USD CBOT Wheat SEP 20 Futures 58.03000000 USD 1426804.00000000 USD NYMEX Unleaded Gasoline SEP 20 Futures 16.33000000 USD 814630.00000000 USD LME Aluminium SEP 20 Futures 50.80000000 USD 2052290.00000000 USD Y equity-performance leg 2020-07-23 0.00000000 USD 0.00000000 USD 44877576.00000000 USD 888764.32370000 N N N FEDERAL FARM CREDIT BANK N/A 3133ELAG9 12700000.00000000 PA USD 12745825.41000000 3.156165770726 Long DBT USGSE US N 2 2025-11-25 Fixed 2.05000000 N N N N N N FEDERAL FARM CREDIT BANK N/A 3133ELXV1 6200000.00000000 PA USD 6200229.96000000 1.535322581386 Long DBT USGSE US N 2 2025-04-28 Fixed 1.01000000 N N N N N N FEDERAL FARM CREDIT BANK N/A 3133ELVV3 20510000.00000000 PA USD 20549447.70000000 5.088525956678 Long DBT USGSE US N 2 2022-04-08 Fixed 0.95000000 N N N N N N Bank of America N/A 000000000 6050183.99000000 OU Notional Amount USD 118371.62500000 0.029311594897 N/A DCO US N 2 Bank of America N/A Bloomberg Commodity Index BCOMF2T Index Y equity-performance leg 2020-07-23 0.00000000 USD 0.00000000 USD 6050183.99000000 USD 118371.62500000 N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134GVL48 12000000.00000000 PA USD 11998249.44000000 2.971048400008 Long DBT USGSE US N 2 2021-12-09 Floating 0.23000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796TD1 1500000.00000000 PA USD 1499776.04000000 0.371379777216 Long STIV UST US N 2 2020-08-13 None 0.00000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G0Y80 7000000.00000000 PA USD 6992844.67000000 1.731592602088 Long DBT USGSE US N 2 2022-03-04 Floating 0.19000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828Z45 14000000.00000000 PA USD 14020549.34000000 3.471817359037 Long DBT UST US N 2 2022-01-31 Floating 0.30000000 N N N N N N RBC Capital N/A 000000000 5300227.00000000 OU Notional Amount USD 105374.15750000 0.026093116634 N/A DCO US N 2 RBC Capital N/A Bloomberg Commodity Index Total Return BCOMTR Index Y equity-performance leg 2020-07-23 0.00000000 USD 0.00000000 USD 5300227.00000000 USD 105374.15750000 N N N United States Treasury 254900HROIFWPRGM1V77 912828YN4 12000000.00000000 PA USD 12039696.48000000 2.981311660702 Long DBT UST US N 2 2021-10-31 Floating 0.45000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134GVJP4 3400000.00000000 PA USD 3400556.82000000 0.842057747650 Long DBT USGSE US N 2 2022-10-07 Fixed 1.13000000 N N N N N N Citigroup N/A 000000000 52504165.00000000 OU Notional Amount USD 1043925.05000000 0.258500364160 N/A DCO US N 2 Citigroup N/A Bloomberg Commodity Index Total Return BCOMTR Index Y equity-performance leg 2020-07-23 0.00000000 USD 0.00000000 USD 52504165.00000000 USD 1043925.05000000 N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G03B7 35000000.00000000 PA USD 35100086.00000000 8.691605793991 Long DBT USGSE US N 2 2022-04-07 Floating 0.43000000 N N N N N N FEDERAL FARM CREDIT BANK N/A 3133ELYS7 31000000.00000000 PA USD 30991091.53000000 7.674122243013 Long DBT USGSE US N 2 2023-05-08 Floating 0.46000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZK9 24000000.00000000 PA USD 24018413.76000000 5.947523439085 Long DBT UST US N 2 2022-04-30 Floating 0.26000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 223.00000000 NC USD -362100.71000000 -0.08966464153 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Soybean Meal SMH1 Comdty 2021-03-12 6947290.71000000 USD -362100.71000000 N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G04Z3 7500000.00000000 PA USD 7506534.83000000 1.858794352276 Long DBT USGSE US N 2 2025-06-17 Fixed 0.50000000 N N N N N N Societe Generale N/A 000000000 46264999.00000000 OU Notional Amount USD 890917.68310000 0.220612145975 N/A DCO US N 2 Societe Generale N/A Societe Generale P04 TR Index SGCOP04T.IDX LME Aluminium SEP 20 Futures 51.28000000 USD 2111784.00000000 USD LME Zinc SEP 20 Futures 31.34000000 USD 1634062.00000000 USD COMEX Gold DEC 20 Futures 45.09000000 USD 8366021.00000000 USD CBOT Bean Oil DEC 20 Futures 74.41000000 USD 1311023.00000000 USD CME Live Cattle OCT 20 Futures 41.90000000 USD 1703858.00000000 USD NYMEX Heating Oil NOV 20 Futures 12.67000000 USD 672017.00000000 USD CBOT Corn SEP 20 Futures 165.63000000 USD 2882835.00000000 USD CME Lean Hogs AUG 20 Futures 34.26000000 USD 684750.00000000 USD COMEX High Grade Copper DEC 20 Futures 52.41000000 USD 3662846.00000000 USD CBOT Soybeans NOV 20 Futures 64.41000000 USD 2896039.00000000 USD NYMEX Unleaded Gasoline JAN 21 Futures 18.29000000 USD 843204.00000000 USD COMEX Silver DEC 20 Futures 21.63000000 USD 2072642.00000000 USD NYBOT Sugar OCT 20 Futures 107.38000000 USD 1466176.00000000 USD ICE Gas Oil NOV 20 Futures 21.74000000 USD 810665.00000000 USD CBOT Soy Meal DEC 20 Futures 60.01000000 USD 1809966.00000000 USD NYBOT Coffee DEC 20 Futures 31.81000000 USD 1257733.00000000 USD NYBOT Cotton DEC 20 Futures 23.56000000 USD 730966.00000000 USD NYMEX WTI Crude Oil JAN 21 Futures 67.53000000 USD 2738056.00000000 USD LME Nickel SEP 20 Futures 17.53000000 USD 1372329.00000000 USD ICE Brent Crude Oil JAN 21 Futures 53.49000000 USD 2287216.00000000 USD KCBOT Kansas Wheat DEC 20 Futures 32.47000000 USD 747943.00000000 USD CBOT Wheat DEC 20 Futures 58.28000000 USD 1482210.00000000 USD NYMEX Nat Gas SEP 20 Futures 197.89000000 USD 3608613.00000000 USD Y equity-performance leg 2020-07-23 0.00000000 USD 0.00000000 USD 46264999.00000000 USD 890917.68310000 N N N Societe Generale N/A 000000000 5507527.99000000 OU Notional Amount USD 107736.47030000 0.026678080774 N/A DCO US N 2 Societe Generale N/A Bloomberg Commodity Index BCOMF2T Index Y equity-performance leg 2020-07-23 0.00000000 USD 0.00000000 USD 5507527.99000000 USD 107736.47030000 N N N Bank of America N/A 000000000 42871614.00000000 OU Notional Amount USD 841422.92530000 0.208356081313 N/A DCO US N 2 Bank of America N/A BofA Merrill Lynch Commodity MLBXCS2 Total Return MLBXCS2T Index Y equity-performance leg 2020-07-23 0.00000000 USD 0.00000000 USD 42871614.00000000 USD 841422.92530000 N N N Bank of America N/A 000000000 19609807.00000000 OU Notional Amount USD 389896.08980000 0.096547430486 N/A DCO US N 2 Bank of America N/A Bloomberg Commodity Index Total Return BCOMTR Index Y equity-performance leg 2020-07-23 0.00000000 USD 0.00000000 USD 19609807.00000000 USD 389896.08980000 N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 3130AJ2N8 10400000.00000000 PA USD 10396543.66000000 2.574428424840 Long DBT USGSE US N 2 2021-05-03 Floating 0.17000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G03U5 6000000.00000000 PA USD 6051466.20000000 1.498485179952 Long DBT USGSE US N 2 2025-04-22 Fixed 0.63000000 N N N N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 3130AGWU5 7500000.00000000 PA USD 7512810.15000000 1.860348268915 Long DBT USGSE US N 2 2024-08-21 Fixed 2.00000000 N N N N N N JP Morgan Chase N/A 000000000 27542137.00000000 OU Notional Amount USD 547657.58500000 0.135612882512 N/A DCO US N 2 JP Morgan Chase N/A Bloomberg Commodity Index Total Return BCOMTR Index Y equity-performance leg 2020-07-23 0.00000000 USD 0.00000000 USD 27542137.00000000 USD 547657.58500000 N N N Morgan Stanley N/A 000000000 36646464.00000000 OU Notional Amount USD 716866.19450000 0.177512908932 N/A DCO US N 2 Morgan Stanley N/A Bloomberg Commodity Index BCOMF2T Index Y equity-performance leg 2020-07-23 0.00000000 USD 0.00000000 USD 36646464.00000000 USD 716866.19450000 N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 3130AJJ42 6000000.00000000 PA USD 5996097.42000000 1.484774569413 Long DBT USGSE US N 2 2021-10-15 Floating 0.19000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G04Q3 9000000.00000000 PA USD 8993137.41000000 2.226912071352 Long DBT USGSE US N 2 2023-05-22 Fixed 0.25000000 N N N N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 3130AJ2X6 11085000.00000000 PA USD 11088630.34000000 2.745805343912 Long DBT USGSE US N 2 2021-04-05 Floating 0.16000000 N N N N N N UBS N/A 000000000 31471637.00000000 OU Notional Amount USD 625741.41280000 0.154948272463 N/A DCO US N 2 UBS N/A Bloomberg Commodity Index Total Return BCOMTR Index Y equity-performance leg 2020-07-23 0.00000000 USD 0.00000000 USD 31471637.00000000 USD 625741.41280000 N N N Bank of America N/A 000000000 -6960945.00000000 OU Notional Amount USD 375755.00000000 0.093045764478 N/A DCO US N 2 Bank of America N/A Soybean Meal SMH1 Comdty Y equity-performance leg 2021-02-19 0.00000000 USD 0.00000000 USD -6960945.00000000 USD 375755.00000000 N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G03M3 14200000.00000000 PA USD 14248081.91000000 3.528159768105 Long DBT USGSE US N 2 2022-01-20 Floating 0.44000000 N N N N N N Bank of America N/A 000000000 9828603.01000000 OU Notional Amount USD 192262.79420000 0.047608784093 N/A DCO US N 2 Bank of America N/A Bloomberg Commodity Index 3 Month Forward Total Return BCOMF3T Index Y equity-performance leg 2020-07-23 0.00000000 USD 0.00000000 USD 9828603.01000000 USD 192262.79420000 N N N FEDERAL FARM CREDIT BANK N/A 3133ELWC4 4400000.00000000 PA USD 4404712.09000000 1.090710180092 Long DBT USGSE US N 2 2025-04-09 Fixed 1.15000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134GTS87 16000000.00000000 PA USD 15972774.40000000 3.955234141624 Long DBT USGSE US N 2 2022-08-05 Floating 0.21000000 N N N N N N Societe Generale N/A 000000000 29680638.99000000 OU Notional Amount USD 590131.51640000 0.146130425639 N/A DCO US N 2 Societe Generale N/A Bloomberg Commodity Index Total Return BCOMTR Index Y equity-performance leg 2020-07-23 0.00000000 USD 0.00000000 USD 29680638.99000000 USD 590131.51640000 N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 3130AJM55 6000000.00000000 PA USD 5997924.84000000 1.485227081531 Long DBT USGSE US N 2 2021-11-15 Floating 0.23000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3137EAER6 5600000.00000000 PA USD 5616134.66000000 1.390686864718 Long DBT USGSE US N 2 2023-05-05 Fixed 0.38000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134GVJR0 7800000.00000000 PA USD 7802288.05000000 1.932029796786 Long DBT USGSE US N 2 2022-04-13 Fixed 1.05000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -58.00000000 NC USD -213790.56000000 -0.05293956459 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Light Sweet Crude Oil CLU0 Comdty 2020-08-20 -2067929.44000000 USD -213790.56000000 N N N United States Treasury 254900HROIFWPRGM1V77 9127963D9 2000000.00000000 PA USD 1999927.78000000 0.495229096595 Long STIV UST US N 2 2020-07-14 None 0.00000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G03R2 10000000.00000000 PA USD 10019236.70000000 2.480998358610 Long DBT USGSE US N 2 2021-10-22 Floating 0.40000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 58.00000000 NC USD 270985.55000000 0.067102387625 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Light Sweet Crude Oil CLZ0 Comdty 2020-11-20 2030454.45000000 USD 270985.55000000 N N N FEDERAL FARM CREDIT BANK N/A 3133EK6W1 5300000.00000000 PA USD 5318931.60000000 1.317092405768 Long DBT USGSE US N 2 2022-11-07 Floating 0.57000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134GUZ86 5000000.00000000 PA USD 5002802.90000000 1.238811513790 Long DBT USGSE US N 2 2023-01-13 Fixed 1.80000000 N N N N N N DUMMY CUSIP COMMON STOCK N/A 000000000 1.00000000 NS USD 0.00000000 0.000000 Long EC CORP US N N/A N N N FEDERAL FARM CREDIT BANK N/A 3133ELUS1 1740000.00000000 PA USD 1742386.71000000 0.431455878028 Long DBT USGSE US N 2 2022-06-30 Fixed 1.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128287G9 5000000.00000000 PA USD 5010138.70000000 1.240628030188 Long DBT UST US N 2 2021-07-31 Floating 0.37000000 N N N N N N FEDERAL FARM CREDIT BANK N/A 3133EKLN4 5500000.00000000 PA USD 5511469.43000000 1.364769295186 Long DBT USGSE US N 2 2022-05-16 Floating 0.42000000 N N N N N N Macquarie N/A 000000000 26201923.99000000 OU Notional Amount USD 521051.38200000 0.129024561670 N/A DCO US N 2 Macquarie N/A Bloomberg Commodity Index Total Return BCOMTR Index Y equity-performance leg 2020-07-23 0.00000000 USD 0.00000000 USD 26201923.99000000 USD 521051.38200000 N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G03J0 10100000.00000000 PA USD 10141105.69000000 2.511175983235 Long DBT USGSE US N 2 2022-04-15 Floating 0.47000000 N N N N N N FEDERAL FARM CREDIT BANK N/A 3133EK6V3 11900000.00000000 PA USD 11892873.33000000 2.944954799889 Long DBT USGSE US N 2 2022-11-07 Floating 0.39000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G03Y7 10000000.00000000 PA USD 10024449.20000000 2.482289096052 Long DBT USGSE US N 2 2022-01-27 Floating 0.38000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9127963D9 2700000.00000000 PA USD 2699880.09000000 0.668553730418 Long STIV UST US N 2 2020-07-14 None 0.00000000 N N N N N N FEDERAL FARM CREDIT BANK N/A 3133EK2H8 1600000.00000000 PA USD 1606480.35000000 0.397802270854 Long DBT USGSE US N 2 2026-10-15 Fixed 2.23000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G04N0 5100000.00000000 PA USD 5100800.04000000 1.263077907605 Long DBT USGSE US N 2 2022-05-13 Floating 0.26000000 N N N N N N FEDERAL FARM CREDIT BANK N/A 3133EKS98 2500000.00000000 PA USD 2506382.00000000 0.620639058068 Long DBT USGSE US N 2 2029-09-25 Fixed 2.62000000 N N N N N N RBC Capital N/A 000000000 10770496.99000000 OU Notional Amount USD 210618.13400000 0.052153997394 N/A DCO US N 2 RBC Capital N/A Bloomberg Commodity Index BCOMF2T Index Y equity-performance leg 2020-07-23 0.00000000 USD 0.00000000 USD 10770496.99000000 USD 210618.13400000 N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134GVJB5 1000000.00000000 PA USD 1000159.30000000 0.247662936404 Long DBT USGSE US N 2 2022-04-06 Fixed 1.20000000 N N N N N N FEDERAL FARM CREDIT BANK N/A 3133ELXF6 4500000.00000000 PA USD 4500304.70000000 1.114381155796 Long DBT USGSE US N 2 2024-04-24 Fixed 0.98000000 N N N N N N 2020-07-29 CREDIT SUISSE TRUST Kristen Li Kristen Li Assistant Treasurer