N-CSRS 1 tm2413469d1_ncsrs.htm N-CSRS

 

 

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act File No. 811-09054

 

 

 

CREDIT SUISSE OPPORTUNITY FUNDS

 

 

(Exact Name of Registrant as Specified in Charter)

 

Eleven Madison Avenue, New York, New York 10010

 

(Address of Principal Executive Offices) (Zip Code)

 

Omar Tariq
Credit Suisse Opportunity Funds
Eleven Madison Avenue
New York, New York 10010

 

Registrant’s telephone number, including area code: (212) 325-2000

 

Date of fiscal year end: October 31

 

Date of reporting period: November 1, 2023 to April 30, 2024

 

 

 

 

 

 

Item 1. Reports to Stockholders.

 

 

 

CREDIT SUISSE FUNDS

Semiannual Report

April 30, 2024
  (unaudited)

  CREDIT SUISSE
MULTIALTERNATIVE STRATEGY FUND


The Fund's investment objectives, 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. You may obtain additional copies by calling 877-870-2874 or by visiting our website at www.credit-suisse.com/us/funds.

Credit Suisse Securities (USA) LLC, the Distributor for the six months ended April 30, 2024, is located at Eleven Madison Avenue, New York, NY 10010. UBS Asset Management (US) Inc. became the new distributor as of May 1, 2024. The Credit Suisse Funds were advised by Credit Suisse Asset Management, LLC for the six months ended April 30, 2024. UBS Asset Management (Americas) LLC became the investment manager on May 1, 2024 pursuant an internal merger between Credit Suisse Asset Management LLC and UBS Asset Management (Americas) LLC.

Investors in the Credit Suisse Funds should be aware that they may be eligible to purchase Class I shares (where offered) directly or through certain intermediaries. Such shares are not subject to a sales charge. Investors in the Credit Suisse Funds should also be aware that they may be eligible for a reduction or waiver of the sales charge with respect to Class A or C shares (where offered). For more information, please review the relevant prospectuses or consult your financial representative.

Fund shares are not deposits or other obligations of UBS Asset Management (Americas) LLC or any affiliate, are not FDIC-insured and are not guaranteed by UBS Asset Management (Americas) LLC or any affiliate. Fund investments are subject to investment risks, including loss of your investment.


Credit Suisse Multialternative Strategy Fund
Semiannual Investment Adviser's Report

April 30, 2024 (unaudited)

April 30, 2024

Dear Shareholder:

We are pleased to present this Semiannual Report covering the activities of the Credit Suisse Multialternative Strategy Fund (the "Fund") for the six-month period ended April 30, 2024 (the "Period").

Performance Summary
11/1/2023 – 4/30/2024

Fund & Benchmark

 

Performance

 
Class I1    

2.96

%

 
Class A1,2    

2.86

%

 
ICE BofA US 3-Month Treasury Bill Index3    

2.66

%

 

Performance shown for the Fund's Class A shares does not reflect sales charges, which are a maximum of 5.25%.2

1​  Fee waivers and/or expense reimbursements reduce expenses for the Fund, without which performance would be lower. The Fund has entered into a written contract limiting operating expenses to 1.10% of the fund's average daily net assets for Class A shares and 0.85% of the fund's average daily net assets for Class I shares at least through February 28, 2025. This limit excludes certain expenses, as set forth in the Fund's Prospectus.

2  ​Total return for the Fund's Class A shares for the reporting period, based on offering price (including maximum sales charge of 5.25%), was (2.53%).

3​  The ICE BofA US 3-Month Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond 3 months from the rebalancing date. The index does not have transaction costs and investors may not invest directly in the index.

Market Review: Late cycle data dependence

The conundrum of attempting to manage the lagged effects of restrictive monetary policy through forward guidance engrossed markets during the Period. Central bank data dependence amplified the significance of incoming economic data, whipsawing fixed income and currency markets, as suggestions of a soft landing buoyed investor confidence, buttressing uptrends in equity and commodity markets. The ICE BofA US 3-Month Treasury Bill Index (the "Index") returned 2.66% for the Period.

In the closing months of 2023, US continuing unemployment claims rose to their highest level in almost two years, underscoring the emergence of a more balanced labor market and dramatically reducing the perceived risk of a wage-price spiral taking hold. The Federal Reserve shifted toward a more dovish stance, reassuring investors reviewing their asset allocation targets ahead of year-end. Interest rate markets rallied. Commodity markets wobbled amidst


1


Credit Suisse Multialternative Strategy Fund
Semiannual Investment Adviser's Report (continued)

April 30, 2024 (unaudited)

burgeoning energy inventories, a dissipating Middle East war risk premium, and lethargic Chinese economic activity. The US Dollar lost some of its luster as investors celebrated moderating inflation and capital flowed out of safe havens into riskier assets. While Chinese equities faded on lackluster economic data and investor concerns regarding government measures designed to shore up domestic stocks, markets elsewhere rebounded sharply.

In the new year, global interest rates reversed and drifted higher. European Central Bank board member Isabel Schnabel's February comments to the Financial Times that "the last mile of disinflation may be the most difficult one" rung throughout the Period, with the real economy showing signs of reaccelerating in reaction to lower terminal policy rate expectations. Commodity markets found footing with energy prices soaring on the back of improving prospects for global growth, sustained military conflict proximate to key production zones, and logistical bottlenecks. The Japanese Yen continued to depreciate as the Bank of Japan struck a dovish tone in emphasizing gradualism. Commodity currencies appreciated, while the US Dollar fluctuated in reaction to US primary elections and incoming economic data. Global equity markets benefitted from positive fourth quarter 2023 corporate earnings results, upbeat economic data, and constructive investor sentiment before fading in April as the weight of deteriorating international relations and rising interest rates began to be felt.

Strategic Review and Outlook: Markets in transition

The Fund is designed to serve as a core portfolio diversifier. Our process-driven approach blends quantitative techniques with disciplined oversight and seeks to deliver attractive long-term performance. The Fund seeks to achieve its investment objective by utilizing an investment process that allocates across a range of investment strategies including those that are Fundamental (Carry and Valuation) and Tactical (Flow, Intermediation, and Positioning) in nature. The program trades all major asset groups on a global basis, including corporate, real asset, and sovereign.

For the Period, the Fund outperformed the Index.

The Fund's models saw the market in a primarily Transitory regime, with the market environment turning more Expansionary for a portion of the second half of the Period. The Fund sought to evolve its strategy exposures accordingly, emphasizing breadth and balance in seeking returns with a low correlation to traditional portfolios.

Carry strategies produced meaningful positive attribution during the Period with all three asset groups supporting gains. Broadly stable asset prices offered a constructive backdrop for Carry strategies. Carry in Commodity Infrastructure was the largest contributor to category performance as oil prices surged and


2


Credit Suisse Multialternative Strategy Fund
Semiannual Investment Adviser's Report (continued)

April 30, 2024 (unaudited)

economic data remained upbeat, while accommodative central bank forward guidance exacerbated the relative inversion of developed market yield curves, making Roll-Down in Fixed Income the category's largest detractor.

The Fund incurred losses across Valuation strategies, especially those taking Corporate exposures. Waxing investor exuberance resulted in abnormally poor category performance. The category's largest contributor, Value in Emerging Market Equities, registered a modest gain with investors regaining confidence in less favored market segments. Quality in Equities (Cross-Sectional) detracted more than any other strategy in the category as the emergence of a more dovish Federal Reserve reaction function and frothy investor sentiment worked to the benefit of less resilient companies relative to their safer, higher quality peers.

Flow strategies provided a considerable contribution to Fund performance over the Period, with gains from Corporate and Real Asset exposures more than offsetting losses from Sovereign exposures. Momentum in Structural Equity Themes profited, leading category attribution, as fourth quarter 2023 corporate earnings reports demonstrated the accelerating advancement of several emergent structural trends, especially in generative AI. Carry in Fixed Income (Change) detracted most. As the Period progressed, investors absorbed indications of declining inflation and improving growth in Europe, softness in Japan, and a confident consumer and sticky inflation in the US, raising the prospect of monetary policy desynchronization and, by extension, interest rate divergence, to the detriment of the strategy.

Intermediation strategies contributed modestly to Fund performance. Gains on Corporate and Sovereign exposures overcame losses on Real Asset exposures. Widespread portfolio re-risking during the Period amplified typical intramonth price patterns, supporting Seasonality in US Equities, the category's largest contributor. Seasonality in Gasoline struggled and detracted more than any other category strategy, as an episode of falling Energy prices overwhelmed typical short-term price patterns in gasoline.

Positioning strategies detracted, with positive returns from Sovereign exposures proving insufficient to overcome losses on Corporate and Real Asset exposures. Many markets experienced frequent reversals, but others, particularly in the Real Asset group, saw more protracted moves. The category's largest contributor, Positioning in Rates Volatility, gained on the back of strong US economic data which drove intermediate term interest rates higher. However, the category's largest detractor, Dispersion in US Equities, struggled in the face of improving market breadth during the Period, particularly in more cyclical equity sectors.


3


Credit Suisse Multialternative Strategy Fund
Semiannual Investment Adviser's Report (continued)

April 30, 2024 (unaudited)

The world order remains in flux with populism and nationalism resurgent in many countries and technological advances posing new threats to established modes of production and incumbent power structures, just as the impact of a sustained period of high developed market interest rates manifests itself. These challenging conditions underscore the value of the Fund's dynamic approach to promoting broad portfolio diversification.

The Quantitative Investment Strategies Group

Yung-Shin Kung

The Fund is non-diversified, which means it may invest a greater proportion of its assets in the securities of a smaller number of issuers than a diversified mutual fund and may therefore be subject to greater volatility. The Fund's investment in alternative instruments may subject the Fund to greater volatility than investments in traditional securities, particularly in investments involving leverage.

The use of alternative assets and strategies entails substantial risks, including risk of loss of principal, arbitrage or fundamental risk, below investment grade securities risk, commodity exposure risks, convertible securities risk, correlation risk, counterparty risk, credit risk, derivatives risk, equity exposure risk, fixed income risk, foreign securities risk, forwards risk, futures contracts risk, hedge exposure risk, interest rate risk, leveraging risk, manager/model risk, market risk, non-diversified status, options risk, portfolio turnover risk, risks of investing in other funds, short position risk, small- and mid-cap stock risk, speculative exposure risk, subsidiary risk, swap agreements risk and tax risk. For a detailed discussion of these and other risks, please refer to the Fund's Prospectus, which should be read carefully before investing.

In addition to historical information, this report contains forward-looking statements, which may concern, among other things, domestic and foreign markets, industry and economic trends and developments, and government regulation, and their potential impact on the Fund's investments. These statements are subject to risks and uncertainties and actual trends, developments and regulations in the future, and their impact on the Fund could be materially different from those projected, anticipated, or implied. The Fund has no obligation to update or revise forward-looking statements.


4


Credit Suisse Multialternative Strategy Fund
Semiannual Investment Adviser's Report (continued)

April 30, 2024 (unaudited)

The views of the Fund's management are as of the date of this letter and the Fund holdings described in this document are as of April 30, 2024; these views and Fund holdings may have changed subsequent to these dates. Nothing in this document is a recommendation to purchase or sell securities.


5


Credit Suisse Multialternative Strategy Fund
Semiannual Investment Adviser's Report (continued)

April 30, 2024 (unaudited)

Average Annual Returns as of April 30, 20241

   

6 Months

 

1 Year

 

5 Years

 

10 Years

 

Class I

   

2.96

%

   

7.15

%

   

4.56

%

   

3.26

%

 

Class A Without Sales Charge

   

2.86

%

   

6.88

%

   

4.29

%

   

2.99

%

 

Class A With Maximum Sales Charge

   

(2.53

)%

   

1.29

%

   

3.18

%

   

2.44

%

 

Returns represent past performance and include change in share price and reinvestment of dividends, capital gains, and return of capital distributions, if any. Past performance cannot guarantee future results. The current performance of the Fund may be lower or higher than the figures shown. Returns and share price will fluctuate, and redemption value may be more or less than original cost. The performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance information current to the most recent month end is available at www.credit-suisse.com/us/funds.

The annual gross expense ratios as in the February 28, 2024 Prospectus are 1.28% for Class I shares and 1.53% for Class A shares. The annual net expense ratios after fee waivers and/or expense reimbursements as in the February 28, 2024 Prospectus are 0.85% for Class I shares and 1.10% for Class A.

1​  Fee waivers and/or expense reimbursements reduce expenses for the Fund, without which performance would be lower. The Fund has entered into a written contract limiting operating expenses to 0.85% of the Fund's average daily net assets for Class I shares and 1.10% of the Fund's average daily net assets for Class A shares at least through February 28, 2025. This limit excludes certain expenses, as set forth in the Fund's Prospectus.


6


Credit Suisse Multialternative Strategy Fund
Semiannual Investment Adviser's Report (continued)

April 30, 2024 (unaudited)

Information About Your Fund's Expenses

As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees, distribution and service (12b-1) fees and other Fund expenses. Examples of transaction costs include sales charges (loads), redemption fees and account maintenance fees, which are not shown in this section and which would result in higher total expenses. The following table is intended to help you understand your ongoing expenses of investing in the Fund and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. The table is based on an investment of $1,000 made at the beginning of the six months ended April 30, 2024.

The table illustrates your Fund's expenses in two ways:

•  Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses paid on a $1,000 investment in the Fund using the Fund's actual return during the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the "Expenses Paid per $1,000" line.

•  Hypothetical 5% Fund Return. This helps you to compare the Fund's ongoing expenses with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.

Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. If these transaction costs had been included, your costs would have been higher. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expenses of owning different funds.


7


Credit Suisse Multialternative Strategy Fund
Semiannual Investment Adviser's Report (continued)

April 30, 2024 (unaudited)

Expenses and Value for a $1,000 Investment
for the six-month period ended April 30, 2024

Actual Fund Return

 

Class I

 

Class A

 

Beginning Account Value 11/01/23

 

$

1,000.00

   

$

1,000.00

   

Ending Account Value 04/30/24

 

$

1,029.60

   

$

1,028.60

   

Expenses Paid per $1,000*

 

$

4.29

   

$

5.55

   

Hypothetical 5% Fund Return

 

Beginning Account Value 11/01/23

 

$

1,000.00

   

$

1,000.00

   

Ending Account Value 04/30/24

 

$

1,020.64

   

$

1,019.39

   

Expenses Paid per $1,000*

 

$

4.27

   

$

5.52

   
   

Class I

 

Class A

 

Annualized Expense Ratios*

   

0.85

%

   

1.10

%

 

*  Expenses are equal to the Fund's annualized expense ratio for each share class, multiplied by the average account value over the period, multiplied by 182/366 to reflect the one-half year period.

  The "Expenses Paid per $1,000" and the "Annualized Expense Ratios" in the tables are based on actual expenses paid by the Fund during the period, net of fee waivers and/or actual expense reimbursements, if applicable. If those fee waivers and/or expense reimbursements had not been in effect, the Fund's actual expenses would have been higher. Expenses do not reflect additional charges and expenses that are, or may be, imposed under the variable contracts or plans. Such charges and expenses are described in the prospectus of the insurance company separate account or in the plan documents or other informational materials supplied by plan sponsors. The Fund's expenses should be considered with these charges and expenses in evaluating the overall cost of investing in the separate account.

For more information, please refer to the Fund's Prospectus.


8


Credit Suisse Multialternative Strategy Fund
Semiannual Investment Adviser's Report (continued)

April 30, 2024 (unaudited)

Investment Type Breakdown**

Common Stocks

   

13.71

%

 

United States Treasury Obligations

   

70.35

   

Short-Term Investment

   

15.94

   

Total

   

100.00

%

 

**  Expressed as a percentage of total investments (excluding securities lending collateral, if applicable) and may vary over time.

Derivatives are not reflected in amounts reported above.


9


Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments

April 30, 2024 (unaudited)

   

Shares

 

Value

 
COMMON STOCKS (10.4%)  
BELGIUM (0.1%)  
Financial Services (0.1%)  

Groupe Bruxelles Lambert NV

   

3,393

   

$

252,346

   
BERMUDA (0.1%)  
Insurance (0.1%)  

Aegon Ltd.

   

42,069

     

262,502

   
CANADA (1.1%)  
Consumer Staples Distribution & Retail (0.1%)  

Empire Co. Ltd., Class A

   

10,501

     

245,127

   
Insurance (0.1%)  

iA Financial Corp., Inc.

   

4,128

     

250,772

   
IT Services (0.1%)  

Shopify, Inc., Class A(1)

   

3,308

     

232,717

   
Leisure Equipment & Products (0.1%)  

BRP, Inc.(2)

   

3,819

     

257,463

   
Oil, Gas & Consumable Fuels (0.6%)  

Enerplus Corp.(2)

   

157,473

     

3,083,321

   

Imperial Oil Ltd.

   

3,718

     

256,148

   
     

3,339,469

   
Textiles, Apparel & Luxury Goods (0.1%)  

Gildan Activewear, Inc.

   

6,910

     

240,015

   
     

4,565,563

   
DENMARK (0.2%)  
Beverages (0.1%)  

Carlsberg AS, Class B

   

1,879

     

253,241

   
Commercial Services & Supplies (0.0%)  

Svitzer AS(1)

   

394

     

13,265

   
Marine Transportation (0.1%)  

AP Moller - Maersk AS, Class B

   

197

     

286,021

   
Textiles, Apparel & Luxury Goods (0.0%)  

Pandora AS

   

1,591

     

242,620

   
     

795,147

   
FRANCE (0.4%)  
Aerospace & Defense (0.0%)  

Dassault Aviation SA

   

1,165

     

249,846

   
Banks (0.1%)  

BNP Paribas

   

3,609

     

260,209

   
Consumer Staples Distribution & Retail (0.1%)  

Carrefour SA

   

14,864

     

250,541

   

See Accompanying Notes to Consolidated Financial Statements.
10


Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)

April 30, 2024 (unaudited)

   

Shares

 

Value

 
COMMON STOCKS (continued)  
FRANCE (continued)  
Financial Services (0.1%)  

Eurazeo SE(1)

   

2,925

   

$

263,983

   
Hotels, Restaurants & Leisure (0.0%)  

Accor SA

   

5,489

     

241,021

   
Media (0.0%)  

Vivendi SE

   

23,533

     

239,877

   
Oil, Gas & Consumable Fuels (0.1%)  

TotalEnergies SE

   

3,745

     

272,404

   
     

1,777,881

   
GERMANY (0.1%)  
Construction & Engineering (0.0%)  

Heidelberg Materials AG

   

2,333

     

235,234

   
Trading Companies & Distributors (0.1%)  

Brenntag SE

   

3,046

     

243,548

   
     

478,782

   
ITALY (0.1%)  
Banks (0.0%)  

UniCredit SpA

   

6,757

     

248,488

   
Oil, Gas & Consumable Fuels (0.1%)  

Eni SpA

   

16,314

     

262,533

   
     

511,021

   
NETHERLANDS (0.2%)  
Banks (0.0%)  

ING Groep NV

   

15,590

     

246,955

   
Consumer Staples Distribution & Retail (0.1%)  

Koninklijke Ahold Delhaize NV

   

8,575

     

260,787

   
Financial Services (0.1%)  

EXOR NV

   

2,307

     

252,352

   
     

760,094

   
NORWAY (0.1%)  
Food Products (0.0%)  

Salmar ASA

   

3,893

     

245,673

   
Oil, Gas & Consumable Fuels (0.1%)  

Equinor ASA

   

9,724

     

259,542

   
     

505,215

   
PORTUGAL (0.1%)  
Oil, Gas & Consumable Fuels (0.1%)  

Galp Energia SGPS SA B Shares

   

15,520

     

334,028

   

See Accompanying Notes to Consolidated Financial Statements.
11


Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)

April 30, 2024 (unaudited)

   

Shares

 

Value

 
COMMON STOCKS (continued)  
SPAIN (0.1%)  
Oil, Gas & Consumable Fuels (0.1%)  

Repsol SA

   

15,394

   

$

242,089

   
SWEDEN (0.1%)  
Financial Services (0.1%)  

Industrivarden AB, Class A

   

7,457

     

241,115

   
SWITZERLAND (0.1%)  
Electrical Equipment (0.1%)  

ABB Ltd.

   

5,519

     

268,774

   
Insurance (0.0%)  

Swiss Life Holding AG

   

366

     

247,526

   
     

516,300

   
UNITED KINGDOM (2.4%)  
Banks (0.3%)  

HSBC Holdings PLC

   

32,828

     

285,144

   

Lloyds Banking Group PLC

   

392,596

     

253,902

   

NatWest Group PLC

   

76,538

     

289,485

   

Standard Chartered PLC

   

30,266

     

260,572

   
     

1,089,103

   
Capital Markets (0.1%)  

Abrdn PLC

   

144,017

     

263,173

   
Diversified Consumer Services (0.1%)  

Pearson PLC

   

19,502

     

237,126

   
Financial Services (0.7%)  

Network International Holdings PLC(1),(3)

   

559,348

     

2,751,176

   
Hotels, Restaurants & Leisure (0.1%)  

InterContinental Hotels Group PLC

   

2,466

     

241,019

   

Whitbread PLC

   

6,132

     

242,182

   
     

483,201

   
Household Durables (0.6%)  

Redrow PLC

   

309,588

     

2,494,252

   
Multi-Utilities (0.1%)  

Centrica PLC

   

159,191

     

254,641

   
Oil, Gas & Consumable Fuels (0.1%)  
BP PLC    

40,994

     

264,782

   

Shell PLC

   

7,741

     

275,755

   
     

540,537

   
Textiles, Apparel & Luxury Goods (0.2%)  

Burberry Group PLC

   

16,752

     

240,197

   

Capri Holdings Ltd.(1)

   

20,543

     

728,866

   
     

969,063

   

See Accompanying Notes to Consolidated Financial Statements.
12


Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)

April 30, 2024 (unaudited)

   

Shares

 

Value

 
COMMON STOCKS (continued)  
UNITED KINGDOM (continued)  
Tobacco (0.1%)  

Imperial Brands PLC

   

11,481

   

$

262,889

   
     

9,345,161

   
UNITED STATES (5.2%)  
Biotechnology (0.2%)  

Cerevel Therapeutics Holdings, Inc.(1)

   

21,015

     

897,551

   
Commercial Services & Supplies (0.1%)  

SP Plus Corp.(1)

   

9,807

     

500,745

   
Consumer Finance (0.4%)  

Discover Financial Services

   

12,741

     

1,614,667

   
Energy Equipment & Services (0.6%)  

ChampionX Corp.

   

69,801

     

2,343,220

   
Healthcare Equipment & Supplies (0.7%)  

Axonics, Inc.(1)

   

39,809

     

2,650,085

   
Insurance (0.4%)  

National Western Life Group, Inc., Class A

   

3,403

     

1,663,455

   
Metals & Mining - Excluding Steel (0.2%)  

U.S. Steel Corp.

   

20,602

     

751,973

   
Oil, Gas & Consumable Fuels (2.2%)  

Equitrans Midstream Corp.

   

227,845

     

3,082,743

   

Hess Corp.

   

16,762

     

2,639,847

   

Pioneer Natural Resources Co.

   

10,768

     

2,900,038

   
     

8,622,628

   
Software (0.4%)  

ANSYS, Inc.(1)

   

4,489

     

1,458,386

   
     

20,502,710

   
TOTAL COMMON STOCKS (Cost $40,773,000)    

41,089,954

   
Par
(000)
      Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

     
UNITED STATES TREASURY OBLIGATIONS (53.2%)      

$

13,000

   

U.S. Treasury Bills(4)

 

(AA+, Aaa)

 

05/16/24

   

4.997

     

12,971,508

   
 

28,000

   

U.S. Treasury Bills(4)

 

(AA+, Aaa)

 

06/13/24

   

5.128

     

27,823,675

   
 

13,000

   

U.S. Treasury Bills(4)

 

(AA+, Aaa)

 

07/11/24

   

5.044

     

12,865,268

   
 

13,000

   

U.S. Treasury Bills(4)

 

(AA+, Aaa)

 

08/08/24

   

5.129

     

12,812,938

   
 

28,000

   

U.S. Treasury Bills(4)

 

(AA+, Aaa)

 

09/05/24

   

5.122

     

27,485,047

   
 

13,000

   

U.S. Treasury Bills(4)

 

(AA+, Aaa)

 

10/03/24

   

5.128

     

12,710,344

   
 

13,000

   

U.S. Treasury Bills(4)

 

(AA+, Aaa)

 

10/31/24

   

4.853

     

12,659,010

   
 

28,000

   

U.S. Treasury Bills(4)

 

(AA+, Aaa)

 

11/29/24

   

4.666

     

27,159,891

   
 

13,000

   

U.S. Treasury Bills(4)

 

(AA+, Aaa)

 

12/26/24

   

4.615

     

12,566,314

   
 

13,000

   

U.S. Treasury Bills(4)

 

(AA+, Aaa)

 

01/23/25

   

4.710

     

12,519,869

   
 

28,000

   

U.S. Treasury Bills(4)

 

(AA+, Aaa)

 

02/20/25

   

4.824

     

26,851,631

   
 

13,000

   

U.S. Treasury Bills(4)

 

(AA+, Aaa)

 

03/20/25

   

4.909

     

12,416,769

   
TOTAL UNITED STATES TREASURY OBLIGATIONS (Cost $211,073,845)    

210,842,264

   

See Accompanying Notes to Consolidated Financial Statements.
13


Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)

April 30, 2024 (unaudited)

   

Shares

 

Value

 
SHORT-TERM INVESTMENTS (12.1%)  
State Street Institutional U.S. Government Money Market Fund — Premier
Class, 5.26%
   

47,755,770

   

$

47,755,770

   
State Street Navigator Securities Lending Government Money
Market Portfolio, 5.34%(5)
   

155,430

     

155,430

   
TOTAL SHORT-TERM INVESTMENTS (Cost $47,911,200)    

47,911,200

   
TOTAL INVESTMENTS AT VALUE (75.7%) (Cost $299,758,045)    

299,843,418

   
OTHER ASSETS IN EXCESS OF LIABILITIES (24.3%)    

96,392,178

   
NET ASSETS (100.0%)  

$

396,235,596

   

†  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)​  Non-income producing security.

(2)​  Security or portion thereof is out on loan (See Note 2-M).

(3)​  Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offering that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale.

(4)​  Securities are zero coupon. Rate presented is cost yield as of April 30, 2024.

(5)​  Represents security purchased with cash collateral received for securities on loan.

Futures Contracts

Contract Description

 

Currency

  Expiration
Date
  Number of
Contracts
  Notional
Value
  Net Unrealized
Appreciation
(Depreciation)
 

Contracts to Purchase

 

Index Contracts

 

E-Mini Financial Select Sector

 

USD

     

Jun 2024

   

19

   

$

2,377,375

   

$

(84,744

)

 

E-Mini Industrial Select Sector

 

USD

     

Jun 2024

   

10

     

1,232,000

     

(42,344

)

 
E-Mini Russell 1000 Value Index
Futures
 

USD

     

Jun 2024

   

28

     

2,374,120

     

(107,421

)

 

E-Mini Technology Select Sector

 

USD

     

Jun 2024

   

18

     

3,584,160

     

(263,961

)

 
EURO Stoxx 50 Index Dividend
Futures
 

EUR

     

Dec 2024

   

883

     

15,134,688

     

1,074,226

   
EURO Stoxx 50 Index Dividend
Futures
 

EUR

     

Dec 2025

   

631

     

10,869,364

     

292,655

   

FTSE 100 Index Futures

 

GBP

     

Jun 2024

   

35

     

3,575,485

     

165,757

   

NASDAQ 100 E-Mini Futures

 

USD

     

Jun 2024

   

7

     

2,459,975

     

(132,582

)

 

Nikkei 225 Index Futures OSE

 

JPY

     

Jun 2024

   

9

     

2,200,171

     

(77,820

)

 
   

$

823,766

   

See Accompanying Notes to Consolidated Financial Statements.
14


Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)

April 30, 2024 (unaudited)

Futures Contracts (continued)

Contract Description

 

Currency

  Expiration
Date
  Number of
Contracts
  Notional
Value
  Net Unrealized
Appreciation
(Depreciation)
 

Industrial Metals

 

LME Lead Futures

 

USD

     

May 2024

   

25

   

$

1,368,381

   

$

47,300

   

LME Lead Futures

 

USD

     

Jul 2024

   

18

     

998,217

     

79,998

   

LME Nickel Futures

 

USD

     

May 2024

   

39

     

4,469,868

     

446,017

   

LME Nickel Futures

 

USD

     

Jul 2024

   

28

     

3,230,808

     

399,906

   

LME Primary Aluminum Futures

 

USD

     

May 2024

   

108

     

6,927,363

     

557,841

   

LME Primary Aluminum Futures

 

USD

     

Jul 2024

   

78

     

5,049,232

     

507,239

   

LME Zinc Futures

 

USD

     

May 2024

   

58

     

4,240,989

     

477,613

   

LME Zinc Futures

 

USD

     

Jul 2024

   

42

     

3,073,823

     

477,239

   
   

$

2,993,153

   

Interest Rate Contracts

 

10YR AUD Bond Futures

 

AUD

     

Jun 2024

   

821

     

59,991,810

   

$

(1,348,082

)

 

10YR CAD Bond Futures

 

CAD

     

Jun 2024

   

699

     

59,523,245

     

(562,885

)

 

Long Gilt Futures

 

GBP

     

Jun 2024

   

155

     

18,589,302

     

(345,567

)

 

U.S. Treasury 5 Year Note Futures

 

USD

     

Jun 2024

   

61

     

6,389,274

     

(21,280

)

 
   

$

(2,277,814

)

 

Contracts to Sell

 

Foreign Exchange Contracts

 
AUD Currency Futures  

USD

     

Jun 2024

   

(57

)

   

(3,700,440

)

 

$

(31,389

)

 
CAD Currency Futures  

USD

     

Jun 2024

   

(87

)

   

(6,327,075

)

   

98,681

   
EUR Currency Futures  

USD

     

Jun 2024

   

(47

)

   

(6,285,369

)

   

32,184

   
GBP Currency Futures  

USD

     

Jun 2024

   

(74

)

   

(5,784,488

)

   

(33,384

)

 
JPY Currency Futures  

USD

     

Jun 2024

   

(29

)

   

(2,315,831

)

   

174,027

   
   

$

240,119

   

Index Contracts

 

EURO Stoxx 50 Index Futures

 

EUR

     

Jun 2024

   

(142

)

   

(7,435,286

)

 

$

61,243

   

S&P 500 E Mini Index Futures

 

USD

     

Jun 2024

   

(95

)

   

(24,068,250

)

   

710,428

   

Russell 2000 E-Mini Index Futures

 

USD

     

Jun 2024

   

(161

)

   

(15,984,080

)

   

420,954

   

Hang Seng Index Futures

 

HKD

     

May 2024

   

(2

)

   

(226,551

)

   

(7,467

)

 
   

$

1,185,158

   

Industrial Metals

 

LME Lead Futures

 

USD

     

May 2024

   

(25

)

   

(1,368,381

)

 

$

(102,837

)

 

LME Lead Futures

 

USD

     

Jul 2024

   

(18

)

   

(998,217

)

   

(45,960

)

 

LME Nickel Futures

 

USD

     

May 2024

   

(39

)

   

(4,469,868

)

   

(606,859

)

 

LME Nickel Futures

 

USD

     

Jul 2024

   

(28

)

   

(3,230,808

)

   

(260,396

)

 

LME Primary Aluminum Futures

 

USD

     

May 2024

   

(108

)

   

(6,927,363

)

   

(774,531

)

 

LME Primary Aluminum Futures

 

USD

     

Jul 2024

   

(78

)

   

(5,049,233

)

   

(338,441

)

 

LME Zinc Futures

 

USD

     

May 2024

   

(58

)

   

(4,240,989

)

   

(738,406

)

 

LME Zinc Futures

 

USD

     

Jul 2024

   

(42

)

   

(3,073,822

)

   

(303,564

)

 
   

$

(3,170,994

)

 

See Accompanying Notes to Consolidated Financial Statements.
15


Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)

April 30, 2024 (unaudited)

Futures Contracts (continued)

Contract Description

 

Currency

  Expiration
Date
  Number of
Contracts
  Notional
Value
  Net Unrealized
Appreciation
(Depreciation)
 

Interest Rate Contracts

 

10YR JGB Mini Futures

 

JPY

     

Jun 2024

   

(376

)

 

$

(34,521,323

)

 

$

(67,198

)

 

10YR U.S. Treasury Note Futures

 

USD

     

Jun 2024

   

(594

)

   

(63,817,875

)

   

190,989

   
EURO Bund Futures  

EUR

     

Jun 2024

   

(466

)

   

(64,815,025

)

   

1,217,012

   
   

$

1,340,803

   

Total Net Unrealized Appreciation (Depreciation)

 

$

1,134,191

   

Total Return Swap Contracts

Currency

  Notional
Amount
  Expiration
Date
 

Counterparty

 

Receive

 

Pay

  Periodic
Payment
Frequency
  Upfront
Premiums
Paid/
(Received)
  Unrealized
Appreciation
 





USD
 

$

39,029,208

   

07/19/24

  Bank of
America
  Bank of
America Equities
US Volatility
Carry Hourly
Hedged
Index(a)
  0.00%  




Monthly
 

$

   

$

244,004

   
USD    

31,669,832

   

07/22/24

  Bank of
America
  BAML USD
Custom
Equity Basket(a)
  5.77%  

Monthly

   

     

31,135

   
USD    

281,532

   

07/22/24

  Bank of
America
  (0.06)%   Bloomberg
Agriculture
Index
 

At Maturity

   

     

3,155

   
USD    

457,981

   

07/22/24

  Bank of
America
  (0.06)%   Bloomberg
Energy
Index
 

At Maturity

   

     

4,073

   
USD    

31,585,566

   

07/22/24

  Bank of
America
  (5.02)%   ML Most
Shorted
REIT
CS Custom
Basket
 

Monthly

   

     

28,962

   
USD    

49,644,910

   

07/19/24

  Barclays
Bank PLC
  Barclays EFS
Custom
Commodity
Basket 18(a)
  0.00%  

At Maturity

   

     

222,908

   
USD    

49,299,325

   

07/19/24

  Barclays
Bank PLC
  Barclays
Commodity
Hedging
Insights 2
Index(a)
  0.15%  

At Maturity

   

     

388,692

   

See Accompanying Notes to Consolidated Financial Statements.
16


Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)

April 30, 2024 (unaudited)

Total Return Swap Contracts (continued)

Currency

  Notional
Amount
  Expiration
Date
 

Counterparty

 

Receive

 

Pay

  Periodic
Payment
Frequency
  Upfront
Premiums
Paid/
(Received)
  Unrealized
Appreciation
 
USD  

$

49,289,815

   
07/19/24
 
Barclays
Bank PLC
  Barclays
Month End
Rebalancing
Currency
Index
  0.20%  
At Maturity
 

$

   

$

284,866

   
USD    

49,294,347

   

07/19/24

  BNP
Paribas
  BNP Paribas
Dynamic Pre
Roll Alpha
ex Agriculture
and Livestock
Index(a)
  0.08%  

At Maturity

   

     

60,666

   
USD    

77,755

   

08/19/24

 

Citigroup

  Invesco
FTSE RAFI
Emerging
Market ETF
  5.67%  

Monthly

   

     

475

   
USD    

764,084

   

08/19/24

 

Citigroup

  (5.22)%   Vanguard
FTSE
Emerging
Market
 

Monthly

   

     

1,988

   
USD    

916,402

   

11/13/24

 

Citigroup

  Invesco FTSE
RAFI Emerging
Market ETF
  5.67%  

Monthly

   

     

5,599

   
USD    

809,155

   

11/13/24

 

Citigroup

  (5.22)%   Vanguard
FTSE
Emerging
Market
 

Monthly

   

     

2,105

   
USD    

2,657,728

   

11/18/24

 

Citigroup

  (5.22)%   Exxon
Mobil Corp.
 

Monthly

   

     

85,474

   
USD    

2,428,988

   

11/25/24

 

Citigroup

  (5.22)%   Chevron
Corp.
 

Monthly

   

     

20,905

   
USD    

1,724,052

   

12/02/24

 

Citigroup

  (5.22)%   Vanguard
FTSE
Emerging
Market
 

Monthly

   

     

4,485

   
USD    

365,845

   

12/02/24

 

Citigroup

  (5.22)%   Chevron
Corp.
 

Monthly

   

     

3,149

   
USD    

1,697,957

   

12/02/24

 

Citigroup

  Invesco FTSE
RAFI Emerging
Market ETF
  5.67%  

Monthly

   

     

10,375

   
USD    

399,350

   

12/02/24

 

Citigroup

  (5.22)%   Exxon
Mobil Corp.
 

Monthly

   

     

12,843

   
USD    

2,999,250

   

02/14/25

 

Citigroup

  (5.22)%   Chesapeake
Energy
Corp.
 

Monthly

   

     

3,999

   
USD    

869,345

   

02/24/25

 

Citigroup

  (5.22)%   Synopsys,
Inc.
 

Monthly

   

     

47,461

   

See Accompanying Notes to Consolidated Financial Statements.
17


Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)

April 30, 2024 (unaudited)

Total Return Swap Contracts (continued)

Currency

  Notional
Amount
  Expiration
Date
 

Counterparty

 

Receive

 

Pay

  Periodic
Payment
Frequency
  Upfront
Premiums
Paid/
(Received)
  Unrealized
Appreciation
 
USD  

$

2,799,953

   
02/24/25
 
Citigroup
  Tricon
Residential, Inc.
  5.67%  
Monthly
 

$

   

$

12,522

   
USD    

2,764,750

   

03/14/25

 

Citigroup

  Masonite
International
Corp.
  5.67%  

Monthly

   

     

36,562

   
USD    

8,209,520

   

03/24/25

 

Citigroup

  Invesco FTSE
RAFI Emerging
Market ETF
  5.67%  

Monthly

   

     

50,160

   
USD    

7,623,084

   

03/24/25

 

Citigroup

  (5.22)%   Vanguard
FTSE
Emerging
Market
 

Monthly

   

     

19,833

   
USD    

172,812

   

03/28/25

 

Citigroup

  Invesco FTSE
RAFI Emerging
Market ETF
  5.67%  

Monthly

   

     

1,056

   
USD    

127,897

   

03/28/25

 

Citigroup

  (5.22)%   Vanguard
FTSE
Emerging
Market
 

Monthly

   

     

333

   
USD    

2,981,110

   

03/28/25

 

Citigroup

  (5.22)%   Chord
Energy
Corp.
 

Monthly

   

     

157,925

   
USD    

10,697

   

04/23/25

 

Citigroup

  (5.22)%   Vanguard
FTSE
Emerging
Market
 

Monthly

   

     

28

   
USD    

2,796,327

   

05/12/25

 

Citigroup

  Shockwave
Medical, Inc.
  5.67%  

Monthly

   

     

15,241

   
USD    

2,765,939

   

05/12/25

 

Citigroup

  (5.22)%   Schlumberger,
Ltd.
 

Monthly

   

     

330,025

   
USD    

2,750,984

   

05/19/25

 

Citigroup

  Alpine
Immune
Sciences, Inc.
  5.67%  

Monthly

   

     

5,266

   
USD    

2,593,196

   

07/22/24

  Goldman
Sachs
  Bloomberg
Industrial
Metals Index
  0.10%  

At Maturity

   

     

161,637

   
USD    

85,569,685

   

07/22/24

  Goldman
Sachs
  Goldman Sachs
Tactical Factor
Suite Value
World Top USD
Excess Return
Strategy(a)
  0.40%  

At Maturity

   

     

1,558,310

   
USD    

507,620

   

07/22/24

  Goldman
Sachs
  (0.04)%   Bloomberg
Agriculture
Index
 

At Maturity

   

     

2,310

   

See Accompanying Notes to Consolidated Financial Statements.
18


Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)

April 30, 2024 (unaudited)

Total Return Swap Contracts (continued)

Currency

  Notional
Amount
  Expiration
Date
 

Counterparty

 

Receive

 

Pay

  Periodic
Payment
Frequency
  Upfront
Premiums
Paid/
(Received)
  Unrealized
Appreciation
 
USD  

$

50,348,305

   
07/22/24
 
Goldman
Sachs
  Goldman Sachs
DISP U.S.
Index(a)
  0.00%  
At Maturity
 

$

   

$

178,570

   
USD    

49,972,734

   

07/22/24

  Goldman
Sachs
  Goldman Sachs
Commodities
Seasonality
Index(a)
  0.00%  

At Maturity

   

     

718,693

   
GBP    

2,617,589

   

02/14/25

  Goldman
Sachs
  (4.78)%   Barratt
Developments
PLC
 

Monthly

   

     

60,287

   
USD    

19,635,241

   

07/17/24

  JPMorgan
Chase
  J.P. Morgan
Equities
Turn-of the
Month
Seasonality
Index(a)
  0.00%  

At Maturity

   

     

59,377

   
USD    

28,516,424

   

07/17/24

  JPMorgan
Chase
  J.P. Morgan
Helix 3 Index(a)
  0.60%  

At Maturity

   

     

309,335

   
USD    

48,403,553

   

07/17/24

  JPMorgan
Chase
  J.P. Morgan
Commodities
Fundamental
Value Index(a)
  0.80%  

At Maturity

   

     

692,075

   
USD    

49,672,592

   

07/17/24

  Morgan
Stanley
  Morgan Stanley
Commodities
Curve Carry
Index(a)
  0.35%  

At Maturity

   

     

82,275

   
USD    

49,240,556

   

07/17/24

  Morgan
Stanley
  Morgan Stanley
LTC0 4%
volatility
target(a)
  0.00%  

At Maturity

   

     

98,524

   
USD    

49,369,647

   

07/17/24

  Morgan
Stanley
  Morgan Stanley
Soy Dynamic
Congestion
Index(a)
  0.25%  

At Maturity

   

     

1,683

   
USD    

50,933,518

   

07/22/24

  Societe
Generale
  SGI VRR US
Index – Vol
Roll on Rates
(USD – Excess
Return)(a)
  0.25%  

At Maturity

   

     

428,160

   
USD    

49,615,383

   

07/22/24

  Societe
Generale
  SGI Coda
Index(a)
  0.25%  

At Maturity

   

     

156,006

   
                           

$

   

$

6,603,512

   

See Accompanying Notes to Consolidated Financial Statements.
19


Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)

April 30, 2024 (unaudited)

Total Return Swap Contracts

Currency

  Notional
Amount
  Expiration
Date
 

Counterparty

 

Receive

 

Pay

  Periodic
Payment
Frequency
  Upfront
Premiums
Paid/
(Received)
  Unrealized
Depreciation
 
USD  

$

31,621,362

   

07/22/24

  Bank of
America
  ML Least
Shorted REIT
CS Custom
Basket
  5.62%  
Monthly
 

$

   

$

(212,465

)

 
USD    

7,883,250

   

07/22/24

  Bank of
America
  BAML CS
Custom Long
Basket(a)
  5.77%  

Monthly

   

     

(74,865

)

 
USD    

15,763,319

   

07/22/24

  Bank of
America
  BAML Equity
Buyback USD
Basket(a)
  5.77%  

Monthly

   

     

(163,251

)

 
USD    

7,821,072

   

07/22/24

  Bank of
America
  (5.32)%   BAML CS
Custom
Short
Basket(a)
 

Monthly

   

     

(15,101

)

 
USD    

49,440,545

   

07/19/24

  Barclays
Bank PLC
  Shiller Barclays
CAPE US Mid –
Month Sector
Market Hedged
ER Index(a)
  0.60%  

At Maturity

   

     

(488,936

)

 
USD    

27,400,001

   

06/20/24

  BNP
Paribas
  iBoxx $ Liquid
High Yield
Index
  5.32%  

Quarterly

   

     

(92,539

)

 
USD    

21,624,789

   

07/19/24

  BNP
Paribas
  BNP Alpha
Momentum
ex-Agriculture
and Livestock
Net Index(a)
  0.30%  

At Maturity

   

     

(297,055

)

 
USD    

38,945,434

   

07/19/24

  BNP
Paribas
  BNP Paribas
PPP Long Term
Value G10
USD Index(a)
  0.00%  

At Maturity

   

     

(353,788

)

 
USD    

17,468,386

   

07/19/24

  BNP
Paribas
  BNP Paribas
Buy Write
Call Gold
Daily Index(a)
  0.50%  

At Maturity

   

     

(282,361

)

 
EUR    

45,296,315

   

07/19/24

  BNP
Paribas
  BNP Paribas
Equity Low
Vol Europe
Index(a)
  0.00%  

At Maturity

   

     

(88,101

)

 
USD    

42,495,480

   

07/22/24

  BNP
Paribas
  Alerian MLP
Infrastructure
Total Return
Index
  5.95%  

Monthly

   

     

(530,637

)

 
USD    

19,623,193

   

07/22/24

 

Citigroup

  Citi Equity
US Tech
Congestion
Index Series 1(c)
  0.00%  

At Maturity

   

     

(121,418

)

 

See Accompanying Notes to Consolidated Financial Statements.
20


Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)

April 30, 2024 (unaudited)

Total Return Swap Contracts (continued)

Currency

  Notional
Amount
  Expiration
Date
 

Counterparty

 

Receive

 

Pay

  Periodic
Payment
Frequency
  Upfront
Premiums
Paid/
(Received)
  Unrealized
Depreciation
 
USD  

$

2,890,477

   
02/14/25
 
Citigroup
  Southwestern
Energy Co.
  5.67%  
Monthly
 

$

   

$

(11,531

)

 
USD    

1,684,982

   

02/14/25

 

Citigroup

  Juniper
Networks, Inc.
  5.67%  

Monthly

   

     

(97,991

)

 
USD    

1,930,925

   

03/07/25

 

Citigroup

 

Catalent, Inc.

  5.67%  

Monthly

   

     

(39,621

)

 
USD    

568,941

   

03/07/25

 

Citigroup

  Haynes
International,
Inc.
  5.67%  

Monthly

   

     

(2,449

)

 
USD    

1,817,261

   

03/28/25

 

Citigroup

  (5.22)%   Capital One
Financial
Corp.
 

Monthly

   

     

(45,321

)

 
USD    

1,439,559

   

03/28/25

 

Citigroup

  Vizio Holding
Corp.
  5.67%  

Monthly

   

     

(25,349

)

 
USD    

3,010,653

   

04/14/25

 

Citigroup

  (5.22)%  

EQT Corp.

 

Monthly

   

     

(190,012

)

 
USD    

2,276,299

   

05/05/25

 

Citigroup

  Nuvei Corp.
Subordinate
VTG
  5.67%  

Monthly

   

     

(15,475

)

 
USD    

2,765,084

   

05/12/25

 

Citigroup

  Endeavor Group
Holding-Class A
  5.67%  

Monthly

   

     

(7,246

)

 
USD    

2,774,242

   

05/12/25

 

Citigroup

  Apartment
Income
REIT Co.
  5.67%  

Monthly

   

     

(1,786

)

 
USD    

1,655,337

   

05/12/25

 

Citigroup

 

Model N, Inc.

  5.67%  

Monthly

   

     

(1,341

)

 
USD    

2,664,571

   

07/22/24

  Goldman
Sachs
  Bloomberg
Precious
Metals Index
  0.07%  

At Maturity

   

     

(57,808

)

 
USD    

49,411,587

   

07/22/24

  Goldman
Sachs
  Goldman Sachs
Commodity COT
Strategy COT3(a)
  0.00%  

At Maturity

   

     

(253,614

)

 
USD    

49,563,147

   

07/22/24

  Goldman
Sachs
  Goldman Sachs
Commodity
Strategy Index(a)
  0.00%  

At Maturity

   

     

(778

)

 
USD    

27,489,677

   

07/22/24

  Goldman
Sachs
  Goldman Sachs
VVOL
Carry ER(a)
  0.00%  

At Maturity

   

     

(49,410

)

 
USD    

4,548,519

   

07/22/24

 
Goldman
Sachs
  Goldman Sachs
RP Equity World
Long Short
SR 111 Excess
Return Strategy
  (0.60)%  

At Maturity

   

     

(55,914

)

 
USD    

40,806,084

   

07/22/24

  Goldman
Sachs
  Goldman Sachs
RP 112 Long
Short Series SR
Excess Return
Strategy(a)
  (0.60)%  

At Maturity

   

     

(619,639

)

 
GBP    

2,351,816

   

03/27/25

  Goldman
Sachs
  Virgin Money
U.K. PLC
  5.68%  

Monthly

   

     

(19,492

)

 

See Accompanying Notes to Consolidated Financial Statements.
21


Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)

April 30, 2024 (unaudited)

Total Return Swap Contracts (continued)

Currency

  Notional
Amount
  Expiration
Date
 

Counterparty

 

Receive

 

Pay

  Periodic
Payment
Frequency
  Upfront
Premiums
Paid/
(Received)
  Unrealized
Depreciation
 
GBP  

$

446,257

   
03/28/25
  Goldman
Sachs
  Virgin Money
U.K. PLC
  5.68%  
Monthly
 

$

   

$

(3,699

)

 
GBP    

700,985

   

04/10/25

  Goldman
Sachs
  Spirent
Communications
PLC
  5.68%  

Monthly

   

     

(3,799

)

 
GBP    

280,597

   

04/11/25

  Goldman
Sachs
  Spirent
Communications
PLC
  5.68%  

Monthly

   

     

(2,208

)

 
GBP    

383,267

   

04/14/25

  Goldman
Sachs
  Spirent
Communications
PLC
  5.68%  

Monthly

   

     

(3,593

)

 
GBP    

269,896

   

04/15/25

  Goldman
Sachs
  Spirent
Communications
PLC
  5.68%  

Monthly

   

     

(1,661

)

 
USD    

50,901,449

   

07/17/24

 
JPMorgan
Chase
  J.P. Morgan
Seasonal
Spreads
Portfolio
Commodity
Index(a)
  0.60%  

At Maturity

   

     

(181,798

)

 
USD    

25,900,000

   

07/22/24

  JPMorgan
Chase
  J.P. Morgan
EMBI
Global Core
  6.12%  

At Maturity

   

     

(263,223

)

 
USD    

48,663,340

   

07/22/24

  Societe
Generale
  SG U.S.
Trend Index(b)
  0.30%  

At Maturity

   

     

(216,680

)

 
                           

$

   

$

(4,891,955

)

 

Total

                         

$

   

$

1,711,557

   

(a)​  The index constituents are available on the Fund's website.

(b)​  The Index intends to track the performance of a strategy that trades the daily trend of the S&P 500 (the Underlying Index).

(c)​  The index intends to track the performance of a strategy that trades the daily trend of the Nasdaq Global Index.

See Accompanying Notes to Consolidated Financial Statements.
22


Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments (continued)

April 30, 2024 (unaudited)

Written Options

Number
of
Contracts
 

Counterparty

 

Put Written Options

  Expiration
Date
  Notional
Amount
  Premiums
Received
  Current
Value
  Net Unrealized
Appreciation
(Depreciation)
 
 

40

    Goldman
Sachs
  S&P 500 Index,
strike @ $5,010
 
05/17/24
 

$

(4,000

)

 

$

(321,405

)

 

$

(193,000

)

 

$

128,405

   

Currency Abbreviations:

AUD = Australian Dollar

EUR = Euro

CAD = Canadian Dollar

GBP = British Pound

HKD = Hong Kong Dollar

JPY = Japanese Yen

USD = United States Dollar

U.S. Treasury securities in the amount of $ 1,380,000 was received at the custodian bank as collateral for OTC swaps.

See Accompanying Notes to Consolidated Financial Statements.
23


Credit Suisse Multialternative Strategy Fund
Consolidated Statement of Assets and Liabilities

April 30, 2024 (unaudited)

Assets

 
Investments at value, including collateral for securities on loan of $155,430
(Cost $299,758,045) (Note 2)
 

$

299,843,4181

   

Foreign currency at value (Cost $26,739)

   

25,281

   
Cash segregated at brokers for futures contracts, swap contracts and written
options (Note 2)
   

95,843,644

   

Unrealized appreciation on open swap contracts (Note 2)

   

6,603,512

   

Variation margin receivable on futures contracts (Note 2)

   

794,645

   

Dividend and interest receivable

   

299,763

   

Receivable for Fund shares sold

   

257,960

   

Receivable for investments sold

   

461

   

Prepaid expenses and other assets

   

39,998

   

Total assets

   

403,708,682

   

Liabilities

 

Investment advisory fee payable (Note 3)

   

435,187

   

Administrative services fee payable (Note 3)

   

37,011

   

Shareholder servicing/Distribution fee payable (Note 3)

   

25,840

   

Unrealized depreciation on open swap contracts (Note 2)

   

4,891,955

   

Due to custodian

   

1,177,037

   

Net payable for open swap contracts

   

421,332

   

Outstanding written options, at value (Proceeds $321,405) (Note 2)

   

193,000

   

Payable upon return of securities loaned (Note 2)

   

155,430

   

Payable for Fund shares redeemed

   

25,950

   

Trustees' fee payable

   

7,691

   

Accrued expenses

   

102,653

   

Total liabilities

   

7,473,086

   

Net Assets

 

Capital stock, $.001 par value (Note 6)

   

43,135

   

Paid-in capital (Note 6)

   

393,127,736

   

Total distributable earnings (loss)

   

3,064,725

   

Net assets

 

$

396,235,596

   

I Shares

 

Net assets

 

$

344,545,741

   

Shares outstanding

   

37,426,361

   

Net asset value, offering price and redemption price per share

 

$

9.21

   

A Shares

 

Net assets

 

$

51,689,855

   

Shares outstanding

   

5,708,896

   

Net asset value and redemption price per share

 

$

9.05

   

Maximum offering price per share (net asset value/(1-5.25%))

 

$

9.55

   

1​  Includes $143,778 of securities on loan.

See Accompanying Notes to Consolidated Financial Statements.
24


Credit Suisse Multialternative Strategy Fund
Consolidated Statement of Operations

For the Six Months Ended April 30, 2024 (unaudited)

Investment Income

 

Interest

 

$

7,395,818

   

Dividends (net of foreign taxes withheld of $32,287)

   

640,155

   

Securities lending (net of rebates)

   

54,735

   

Total investment income

   

8,090,708

   

Expenses

 

Investment advisory fees (Note 3)

   

2,088,690

   

Administrative services fees (Note 3)

   

43,326

   

Shareholder servicing/Distribution fees (Note 3)

 

Class A

   

84,522

   

Transfer agent fees

   

115,978

   

Custodian fees

   

54,861

   

Trustees' fees

   

42,576

   

Registration fees

   

30,189

   

Audit and tax fees

   

24,962

   

Legal fees

   

22,568

   

Printing fees

   

15,771

   

Commitment fees (Note 4)

   

10,635

   

Insurance expense

   

6,441

   

Miscellaneous expense

   

5,127

   

Total expenses

   

2,545,646

   

Less: fees waived and expenses reimbursed (Note 3)

   

(754,023

)

 

Net expenses

   

1,791,623

   

Net investment income

   

6,299,085

   
Net Realized and Unrealized Gain (Loss) from Investments, Futures Contracts,
Swap Contracts, Written Options and Foreign Currency
 

Net realized gain from investments

   

4,547,951

   

Net realized loss from futures contracts

   

(15,301,916

)

 

Net realized gain from swap contracts

   

15,205,618

   

Net realized gain from written options

   

1,935,909

   

Net realized loss from foreign currency transactions

   

(21,985

)

 

Net change in unrealized appreciation (depreciation) from investments

   

1,140,345

   

Net change in unrealized appreciation (depreciation) from futures contracts

   

(3,011,262

)

 

Net change in unrealized appreciation (depreciation) from swap contracts

   

1,478,026

   

Net change in unrealized appreciation (depreciation) from written options

   

341,378

   
Net change in unrealized appreciation (depreciation) from foreign currency
translations
   

260,287

   
Net realized and unrealized gain from investments, futures contracts, swap
contracts, written options and foreign currency transactions
   

6,574,351

   

Net increase in net assets resulting from operations

 

$

12,873,436

   

See Accompanying Notes to Consolidated Financial Statements.
25



Credit Suisse Multialternative Strategy Fund
Consolidated Statements of Changes in Net Assets

    For the Six Months
Ended
April 30, 2024
(unaudited)
  For the Year
Ended
October 31, 2023
 

From Operations

 

Net investment income

 

$

6,299,085

   

$

10,240,807

   
Net realized gain (loss) from investments, futures contracts,
swap contracts, written options, foreign currency transactions
and forward foreign currency contracts
   

6,365,577

     

(8,463,762

)

 
Net change in unrealized appreciation (depreciation) from
investments, futures contracts, swap contracts, written options,
foreign currency translations and forward foreign currency
contracts
   

208,774

     

879,050

   

Net increase in net assets resulting from operations

   

12,873,436

     

2,656,095

   

From Distributions

 

From distributable earnings

 

Class I

   

(9,486,775

)

   

(7,402,872

)

 

Class A

   

(1,903,266

)

   

(237,778

)

 

Net decrease in net assets resulting from distributions

   

(11,390,041

)

   

(7,640,650

)

 
From Capital Share Transactions (Note 6)  

Proceeds from sale of shares

   

20,390,992

     

190,835,112

   

Reinvestment of distributions

   

11,378,505

     

7,532,720

   

Net asset value of shares redeemed

   

(33,677,593

)

   

(67,177,534

)

 

Net increase (decrease) in net assets from capital share transactions

   

(1,908,096

)

   

131,190,298

   

Net increase (decrease) in net assets

   

(424,701

)

   

126,205,743

   

Net Assets

 

Beginning of period

   

396,660,297

     

270,454,554

   

End of period

 

$

396,235,596

   

$

396,660,297

   

See Accompanying Notes to Consolidated Financial Statements.
26


Credit Suisse Multialternative Strategy Fund
Consolidated Financial Highlights

(For a Class I Share of the Fund Outstanding Throughout Each Period)

    For the Six
Months Ended
April 30, 2024
 

For the Year Ended October 31,

 
   

(unaudited)

 

2023

 

2022

 

2021

 

2020

 

2019

 

Per share data

 

Net asset value, beginning of period

 

$

9.191

   

$

9.32

   

$

9.581

   

$

9.531

   

$

9.86

   

$

10.031

   

INVESTMENT OPERATIONS

 

Net investment income (loss)2

   

0.15

     

0.28

     

0.10

     

(0.02

)

   

0.04

     

0.06

   
Net gain (loss) from investments,
futures contracts, swap contracts,
written options, foreign currency
transactions and forward foregin
currency contracts (both realized
and unrealized)
   

0.13

     

(0.15

)

   

0.46

     

1.25

     

0.10

     

(0.06

)

 

Total from investment operations

   

0.28

     

0.13

     

0.56

     

1.23

     

0.14

     

0.003

   

LESS DIVIDENDS AND DISTRIBUTIONS

 

Dividends from net investment income

   

(0.14

)

   

(0.15

)

   

(0.82

)

   

(1.18

)

   

(0.47

)

   

   

Distributions from net realized gains

   

(0.12

)

   

(0.11

)

   

     

     

     

(0.17

)

 

Total dividends and distributions

   

(0.26

)

   

(0.26

)

   

(0.82

)

   

(1.18

)

   

(0.47

)

   

(0.17

)

 

Net asset value, end of period

 

$

9.211

   

$

9.191

   

$

9.32

   

$

9.581

   

$

9.531

   

$

9.86

   

Total return4

   

3.18

%

   

1.39

%

   

6.25

%

   

13.87

%

   

1.46

%

   

0.11

%

 

RATIOS AND SUPPLEMENTAL DATA

 
Net assets, end of period
(000s omitted)
 

$

344,546

   

$

326,370

   

$

262,187

   

$

18,749

   

$

47,382

   

$

74,486

   
Ratio of net expenses to average
net assets
   

0.85

%5

   

0.85

%

   

0.85

%

   

0.85

%

   

0.85

%

   

0.85

%

 
Ratio of expenses to average
net assets excluding securities
sold short dividend expense
   

0.85

%5

   

0.85

%

   

0.85

%

   

0.85

%

   

0.85

%

   

0.85

%

 
Ratio of net investment income
(loss) to average net assets
   

3.18

%5

   

3.06

%

   

1.13

%

   

(0.16

)%

   

0.38

%

   

0.60

%

 
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements
   

0.38

%5

   

0.38

%

   

0.58

%

   

1.41

%

   

1.09

%

   

1.13

%

 

Portfolio turnover rate6

   

112

%

   

375

%

   

482

%

   

532

%

   

571

%

   

305

%

 

1​  Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon net asset values may differ from the net asset values and returns for shareholder transactions.

2​  Per share information is calculated using the average shares outstanding method.

3​  This amount represents less than $0.01 per share.

4​  Total returns are historical and include change in share price and reinvestment of all distributions. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.

5​  Annualized.

6​  Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

See Accompanying Notes to Consolidated Financial Statements.
27


Credit Suisse Multialternative Strategy Fund
Consolidated Financial Highlights

(For a Class A Share of the Fund Outstanding Throughout Each Period)

    For the Six
Months Ended
April 30, 2024
 

For the Year Ended October 31,

 
   

(unaudited)

 

2023

 

2022

 

2021

 

2020

 

2019

 

Per share data

 

Net asset value, beginning of period

 

$

9.031

   

$

9.161

   

$

9.431

   

$

9.391

   

$

9.73

   

$

9.921

   

INVESTMENT OPERATIONS

 

Net investment income (loss)2

   

0.13

     

0.25

     

0.04

     

(0.04

)

   

(0.00

)3

   

0.03

   
Net gain (loss) from investments,
futures contracts, swap contracts,
written options, foreign currency
transactions and forward foreign
currency contracts (both realized
and unrealized)
   

0.13

     

(0.15

)

   

0.49

     

1.24

     

0.10

     

(0.05

)

 

Total from investment operations

   

0.26

     

0.10

     

0.53

     

1.20

     

0.10

     

(0.02

)

 

LESS DIVIDENDS AND DISTRIBUTIONS

 

Dividends from net investment income

   

(0.12

)

   

(0.12

)

   

(0.80

)

   

(1.16

)

   

(0.44

)

   

   

Distributions from net realized gains

   

(0.12

)

   

(0.11

)

   

     

     

     

(0.17

)

 

Total dividends and distributions

   

(0.24

)

   

(0.23

)

   

(0.80

)

   

(1.16

)

   

(0.44

)

   

(0.17

)

 

Net asset value, end of period

 

$

9.05

   

$

9.031

   

$

9.161

   

$

9.431

   

$

9.391

   

$

9.73

   

Total return4

   

2.97

%

   

1.15

%

   

5.94

%

   

13.64

%

   

1.10

%

   

(0.10

)%

 

RATIOS AND SUPPLEMENTAL DATA

 
Net assets, end of period
(000s omitted)
 

$

51,690

   

$

70,290

   

$

8,267

   

$

5,763

   

$

4,350

   

$

994

   
Ratio of net expenses to average
net assets
   

1.10

%5

   

1.10

%

   

1.10

%

   

1.10

%

   

1.10

%

   

1.10

%

 
Ratio of expenses to average
net assets excluding securities
sold short dividend expense
   

1.10

%5

   

1.10

%

   

1.10

%

   

1.10

%

   

1.10

%

   

1.10

%

 
Ratio of net investment income
(loss) to average net assets
   

2.91

%5

   

2.79

%

   

0.47

%

   

(0.42

)%

   

(0.04

)%

   

0.30

%

 
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements
   

0.38

%5

   

0.38

%

   

0.58

%

   

1.41

%

   

1.09

%

   

1.13

%

 

Portfolio turnover rate6

   

112

%

   

375

%

   

482

%

   

532

%

   

571

%

   

305

%

 

1​  Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon net asset values may differ from the net asset values and returns for shareholder transactions.

2​  Per share information is calculated using the average shares outstanding method.

3​  This amount represents less than $0.01 per share.

4​  Total returns are historical and include change in share price, reinvestment of all distributions and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.

5​  Annualized.

6​  Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

See Accompanying Notes to Consolidated Financial Statements.
28


Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements

April 30, 2024 (unaudited)

Note 1. Organization

Credit Suisse Multialternative Strategy Fund (the "Fund"), a series of Credit Suisse Opportunity Funds (the "Trust"), a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a non-diversified open-end management investment company that seeks positive absolute returns. The Trust was organized under the laws of the State of Delaware as a business trust on May 31, 1995.

Credit Suisse Asset Management, LLC ("Credit Suisse" or the "Adviser"), an investment adviser registered with the Securities and Exchange Commission ("SEC") and as a Commodity Pool Operator with the Commodity Futures Trading Commission, was the investment adviser to the Fund during the six months ended April 30, 2024. The Fund intends to gain exposure to commodity derivatives through investing in a wholly-owned subsidiary, Credit Suisse Cayman Multialternative Strategy Fund, Ltd. (the "Subsidiary"), organized under the laws of the Cayman Islands. The Subsidiary invests in commodity-linked derivative instruments, such as swaps and futures. The Subsidiary may also invest in debt securities, some of which are intended to serve as margin or collateral for the Subsidiary's derivatives positions.

The Subsidiary is managed by the same portfolio managers that manage the Fund and the accompanying financial statements reflect the financial position of the Fund and the Subsidiary and the results of operations on a consolidated basis. The consolidated financial statements include portfolio holdings of the Fund and the Subsidiary and all intercompany transactions and balances have been eliminated. The Fund may invest up to 25% of its total assets in the Subsidiary. As of April 30, 2024, the Fund held $62,741,750 in the Subsidiary, representing 15.8% of the Fund's consolidated net assets. For the six months ended April 30, 2024, the net realized gain on securities and other financial instruments held in the Subsidiary was $2,029,508.

Subsequent references to the Fund within the Notes to Consolidated Financial Statements collectively refer to the Fund and the Subsidiary, unless the context otherwise requires.

The Fund offers two classes of shares: Class I shares and Class A shares. Each class of shares represents an equal pro rata interest in the Fund, except the share classes bear different expenses. Class A shares are sold subject to a front-end sales charge of up to 5.25%. Class I shares are sold without a sales charge.


29


Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its consolidated financial statements. The policies are in accordance with generally accepted accounting principles in the United States of America ("GAAP"). The preparation of consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the consolidated financial statements. Actual results could differ from those estimates. The Fund is considered an investment company for financial reporting purposes under GAAP and follows the accounting and reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 — Financial Services — Investment Companies.

A) 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 the Adviser, who has established a Pricing Committee and a Pricing Group, which, pursuant to the policies adopted by the Board, are responsible for making fair valuation determinations and overseeing the Fund's pricing policies. The net asset value ("NAV") of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the "Exchange") on each day the Exchange is open for business. For certain international equity securities, in order to adjust for events which may occur between the close of the foreign exchanges and the close of the Exchange, a fair valuation model may be used. This fair valuation model takes into account comparisons to the valuation of American Depository Receipts (ADRs), exchange-traded funds, futures contracts and certain indices and these securities are categorized as Level 2. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional "round lot" size, but some trades occur in smaller "odd lot" sizes which may be effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Option contracts on securities, currencies, indices, futures


30


Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

contracts, swaps and other instruments are valued at the mid-point between the last bid and ask quotations as of the close of trading on the exchange on which the option is traded. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Over the counter derivative financial instruments, such as swap agreements, generally derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. Investments in open-ended mutual funds are valued at the NAV as reported on each business day and under normal circumstances. Securities for which market quotations are not readily available are valued at their fair value as determined in good faith by the Adviser, as the Board's valuation designee (as defined in Rule 2a-5 under the 1940 Act), in accordance with the Adviser's procedures. The Board oversees the Adviser in its role as valuation designee in accordance with the requirements of Rule 2a-5 under the 1940 Act. The Fund may utilize a service provided by an independent third party to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its NAV 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 Adviser to be unreliable, the market price may be determined by the 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 NAV, these securities will be fair valued in good faith by the Pricing Group, in accordance with procedures established by the Adviser.

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


31


Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

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 April 30, 2024 in valuing the Fund's assets and liabilities carried at fair value:

Assets

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Investments in Securities

 

Common Stocks

 

$

25,810,404

   

$

15,279,550

   

$

   

$

41,089,954

   

United States Treasury Obligations

   

     

210,842,264

     

     

210,842,264

   

Short-term Investments

   

47,911,200

     

     

     

47,911,200

   
   

$

73,721,604

   

$

226,121,814

   

$

   

$

299,843,418

   

Other Financial Instruments*

 

Futures Contracts

 

$

7,431,309

   

$

   

$

   

$

7,431,309

   

Swap Contracts

   

     

6,603,512

     

     

6,603,512

   
   

$

7,431,309

   

$

6,603,512

   

$

   

$

14,034,821

   

Liabilities

                 

Other Financial Instruments*

 

Futures Contracts

 

$

6,297,118

   

$

   

$

   

$

6,297,118

   

Swap Contracts

   

     

4,891,955

     

     

4,891,955

   

Written Options

   

193,000

     

     

     

193,000

   
   

$

6,490,118

   

$

4,891,955

   

$

   

$

11,382,073

   

*  Other financial instruments include unrealized appreciation (depreciation) on futures and swaps. Written options are reported at value.

For the six months ended April 30, 2024, 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.


32


Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

B) DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES — The Fund has adopted a derivatives risk management program pursuant to Rule 18f-4 under the 1940 Act in order to assess and manage the Fund's derivatives risk, taking into account the Fund's derivatives transactions and how these transactions interact with the Fund's other investments. Because the Fund engages in derivatives transactions beyond a certain amount in order to pursue its investment objectives and policies, the Fund is required to comply with value at risk ("VaR") based limits on its leverage risk. The Fund adopted amendments to authoritative guidance on disclosures about derivative instruments and hedging activities which require that a fund disclose (a) how and why an entity uses derivative instruments, (b) how derivative instruments and hedging activities are accounted for and (c) how derivative instruments and related hedging activities affect a fund's financial position, financial performance and cash flows. For the six months ended April 30, 2024, the Fund's derivatives did not qualify for hedge accounting as they are held at fair value.

The following table presents the fair value and the location of derivatives within the Consolidated Statement of Assets and Liabilities at April 30, 2024 and the effect of these derivatives on the Consolidated Statement of Operations for the six months ended April 30, 2024.

Primary Underlying Risk

  Derivative
Assets(1)
  Derivative
Liabilities(1)
  Realized Gain
(Loss)
  Net Change in Unrealized
Appreciation (Depreciation)
 

Foreign currency exchange rate

 

Futures contracts(2)

 

$

304,892

   

$

64,773

   

$

(1,157,957

)

 

$

(131,257

)

 

Swap contracts

   

284,866

     

     

141,715

     

42,296

   

Interest rate

 

Futures contracts(2)

   

1,408,001

     

2,345,012

     

(6,607,885

)

   

58,053

   

Swap contracts

   

737,495

     

263,223

     

1,535,909

     

1,732,134

   

Equity price

 

Futures contracts(2)

   

2,725,263

     

716,339

     

(7,715,492

)

   

(2,947,606

)

 

Swap contracts

   

2,959,492

     

3,250,314

     

10,423,765

     

(426,823

)

 

Written options

   

     

193,000

     

1,935,909

     

341,378

   

Credit risk

 

Swap contracts

   

     

92,539

     

1,396,484

     

326,836

   

Commodity price

 

Futures contracts(2)

   

2,993,153

     

3,170,994

     

179,418

     

9,548

   

Swap contracts

   

2,621,659

     

1,285,879

     

1,707,745

     

(196,417

)

 

Total

 

$

14,034,821

   

$

11,382,073

   

$

1,839,611

   

$

(1,191,858

)

 

(1)​  Generally, the balance sheet location for asset derivatives is receivables/net unrealized appreciation (depreciation) and for liability derivatives is payables/net unrealized appreciation (depreciation).

(2)​  Includes cumulative appreciation (depreciation) of futures contracts as reported in the Consolidated Schedule of Investments. Only variation margin is reported within the receivables and/or payables on the Consolidated Statement of Assets and Liabilities.


33


Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

For the six months ended April 30, 2024, the Fund held average monthly notional values of $249,125,883 and $288,169,908 in long futures contracts and short futures contracts, respectively, and $1,425,563,195 in swap contracts. For the six months ended April 30, 2024, the Fund received average monthly premiums of $390,233 from put written options contracts.

The Fund is a party to International Swap and Derivatives Association, Inc. ("ISDA") Master Agreements ("Master Agreements") with certain counterparties that govern over-the-counter derivative (including total return, credit default and interest rate swaps) and foreign exchange contracts entered into by the Fund. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. Termination events applicable to the Fund may occur upon a decline in the Fund's net assets below a specified threshold over a certain period of time.

The following table presents by counterparty the Fund's derivative assets, net of related collateral held by the Fund, at April 30, 2024:

Counterparty

  Gross Amount of
Derivative
Assets Presented in
the Consolidated
Statement of Assets
and Liabilities(a)
  Financial
Instruments
and Derivatives
Available for Offset
  Non-Cash
Collateral
Received
  Cash
Collateral
Received(b)
  Net Amount
of Derivative
Assets
 

Bank of America

 

$

311,329

   

$

(311,329

)

 

$

   

$

   

$

   

Barclays Bank PLC

   

896,466

     

(488,936

)

   

     

     

407,530

   

BNP Paribas

   

60,666

     

(60,666

)

   

     

     

   

Citigroup

   

827,809

     

(559,540

)

   

     

     

268,269

   

Goldman Sachs

   

2,679,807

     

(1,264,615

)

   

(1,380,000

)

   

     

35,192

   

JPMorgan Chase

   

1,060,787

     

(445,021

)

   

     

     

615,766

   

Morgan Stanley

   

182,482

     

     

     

     

182,482

   

Societe Generale

   

584,166

     

(216,680

)

   

     

     

367,486

   
   

$

6,603,512

   

$

(3,346,787

)

 

$

(1,380,000

)

 

$

   

$

1,876,725

   


34


Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

The following table presents by counterparty the Fund's derivative liabilities, net of related collateral pledged by the Fund, at April 30, 2024:

Counterparty

  Gross Amount of
Derivative
Liabilities Presented in
the Consolidated
Statement of Assets
and Liabilities(a)
  Financial
Instruments
and Derivatives
Available for Offset
  Non-Cash
Collateral
Pledged
  Cash
Collateral
Pledged(b)
  Net Amount
of Derivative
Liabilities
 

Bank of America

 

$

465,682

   

$

(311,329

)

 

$

   

$

(154,353

)

 

$

   

Barclays Bank PLC

   

488,936

     

(488,936

)

   

     

     

   

BNP Paribas

   

1,644,481

     

(60,666

)

   

     

(1,583,815

)

   

   

Citigroup

   

559,540

     

(559,540

)

   

     

     

   

Goldman Sachs

   

1,264,615

     

(1,264,615

)

   

     

     

   

JPMorgan Chase

   

445,021

     

(445,021

)

   

     

     

   

Societe Generale

   

216,680

     

(216,680

)

   

     

     

   
   

$

5,084,955

   

$

(3,346,787

)

 

$

   

$

(1,738,168

)

 

$

   

(a)​  Swap contracts and written options are included. Written options are reported at market value.

(b)​  The actual collateral pledged may be more than the amounts shown.

C) FOREIGN CURRENCY TRANSACTIONS — The books and records of the Fund are maintained in U.S. dollars. Transactions denominated in foreign currencies are recorded at the current prevailing exchange rates. All assets and liabilities denominated in foreign currencies, including purchases and sales of investments, and income and expenses, are translated into U.S. dollar amounts on the date of those transactions.

Reported net realized gain (loss) from foreign currency transactions arises from sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on securities transactions; and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net change in unrealized gains and losses on translation of assets and liabilities denominated in foreign currencies arises from changes in the fair values of assets and liabilities, other than investments, at the end of the period, resulting from changes in exchange rates.

The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held. Such fluctuations are included with net realized and unrealized gain or loss from investments in the Consolidated Statement of Operations.


35


Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

D) SECURITY TRANSACTIONS AND INVESTMENT INCOME/EXPENSE — Security transactions are accounted for on a trade date basis. Interest income/expense is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Dividend income/expense is recorded on the ex-dividend date. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Certain expenses are class-specific expenses, vary by class and are charged only to that class. Income, expenses (excluding class-specific expenses) and realized/unrealized gains/losses are allocated proportionately to each class of shares based upon the relative NAV of the outstanding shares of that class. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.

E) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income, if any, are declared and paid quarterly. Distributions of net realized capital gains, if any, are declared and paid at least annually. However, to the extent that a net realized capital gain can be reduced by a capital loss carryforward, such gain will not be distributed. Dividends and distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations, which may differ from GAAP.

F) FEDERAL AND OTHER TAXES — No provision is made for federal taxes as it is the Fund's intention to continue to qualify as a regulated investment company ("RIC") under the Internal Revenue Code of 1986, as amended (the "Code"), and to make the requisite distributions to its shareholders, which will be sufficient to relieve it from federal income and excise taxes.

In order to qualify as a RIC under the Code, the Fund must meet certain requirements regarding the source of its income, the diversification of its assets and the distribution of its income. One of these requirements is that the Fund derive at least 90% of its gross income for each taxable year from dividends, interest, payments with respect to certain securities loans, gains from the sale or other disposition of stock, securities or foreign currencies, other income derived with respect to its business of investing in such stock, securities or currencies or net income derived from interests in certain publicly-traded


36


Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

partnerships ("Qualifying Income"). The Internal Revenue Service ("IRS") has issued a ruling that income realized from certain types of commodity-linked derivatives would not be Qualifying Income. As a result, the Fund's ability to realize income from investments in such commodity-linked derivatives as part of its investment strategy would be limited to a maximum of 10% of its gross income.

If the Fund is unable to ensure continued qualification as a RIC, the Fund may be required to change its investment objective, policies or techniques, or may be liquidated. If the Fund fails to qualify as a RIC, the Fund will be subject to federal income tax on its net income and capital gains at regular corporate rates (without reduction for distributions to shareholders). If the Fund were to fail to qualify as a RIC and become subject to federal income tax, shareholders of the Fund would be subject to the risk of diminished returns. The Fund adopted the authoritative guidance for uncertainty in income taxes and recognizes a tax benefit or liability from an uncertain position only if it is more likely than not that the position is sustainable based solely on its technical merits and consideration of the relevant taxing authority's widely understood administrative practices and procedures. The Fund has reviewed its current tax positions and has determined that no provision for income tax is required in the Fund's financial statements. The Fund's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the IRS and state departments of revenue.

G) CASH — The Fund's uninvested cash balance is held in an interest bearing variable rate demand deposit account at State Street Bank and Trust Company ("SSB"), the Fund's custodian.

H) SHORT SALES — When the Fund engages in a short sale, the collateral for the short position will be maintained by the Fund's custodian or qualified sub-custodian. While the short sale is open, the Fund will maintain in a segregated account an amount of liquid securities equal in value to its obligation to the securities sold short. The collateral amounts required are determined daily by reference to the market value of the short positions. Short sales expose the Fund to the risk that it will be required to cover its short position at a time when the securities have appreciated in value, thus resulting in a loss to the Fund. The Fund's loss on a short sale could theoretically be unlimited in a case where the Fund is unable, for whatever reason, to close out its short position. Short sales also involve transaction and other costs that will reduce potential gains and increase potential Fund losses. The use by the Fund


37


Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

of short sales in combination with long positions in the Fund in an attempt to improve performance may not be successful and may result in greater losses or lower positive returns than if the Fund held only long positions. It is possible that the Fund's long equity positions will decline in value at the same time that the value of the securities it has sold short increases, thereby increasing potential losses to the Fund. In addition, the Fund's short selling strategies may limit its ability to fully benefit from increases in the equity markets. Short selling also involves a form of financial leverage that may exaggerate any losses realized by the Fund. Also, there is the risk that the counterparty to a short sale may fail to honor its contractual terms, causing a loss to the Fund. At April 30, 2024, the Fund had no open short positions.

I) FUTURES — The Fund may enter into futures contracts to the extent permitted by its investment policies and objectives. The Fund may use futures contracts to gain exposure to or hedge against changes in interest rates, equity and market price movements and/or currency risks. Upon entering into a futures contract, the Fund is required to deposit cash and/or pledge U.S. Government securities as initial margin with a Futures Commission Merchant ("FCM"). Subsequent payments, which are dependent on the daily fluctuations in the value of the underlying instrument, are made or received by the Fund each day (daily variation margin) and are recorded as unrealized gains or losses in the Consolidated Statement of Operations until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund's basis in the contract. Risks of entering into futures contracts for hedging purposes include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. Futures have minimal counterparty credit risk because futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. In addition, the purchase of a futures contract involves the risk that the Fund could lose more than the original margin deposit and subsequent payments may be required for a futures transaction. The Fund's open futures contracts are disclosed in the Consolidated Schedule of Investments. At April 30, 2024, the amount of restricted cash held at brokers related to open futures contracts was $26,980,947.

The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM's proprietary activities. A customer's cash and other equity deposited with an FCM are considered commingled with


38


Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

all other customer funds subject to the FCM's segregation requirements. In the event of an FCM's insolvency, recovery may be limited to the Fund's pro-rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited.

J) FORWARD FOREIGN CURRENCY CONTRACTS — A forward foreign currency exchange contract ("forward currency contract") is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. The Fund will enter into forward currency contracts primarily for hedging foreign currency risk. Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and unrealized gain/loss is recorded daily. On the settlement date of the forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was closed. Certain risks may arise upon entering into forward currency contracts from the potential inability of counterparties to meet the terms of their contracts. The maximum counterparty credit risk to the Fund is measured by the unrealized gain on appreciated contracts. Additionally, when utilizing forward currency contracts to hedge, the Fund forgoes the opportunity to profit from favorable exchange rate movements during the term of the contract. At April 30, 2024, the Fund held no open forward currency contracts.

K) SWAPS — The Fund may enter into swaps either for hedging purposes or to seek to increase total return. A swap contract is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset or notional principal amount. A centrally cleared swap is a transaction executed between the Fund and a counterparty, then cleared by a clearing member through a central clearinghouse. The central clearinghouse serves as the counterparty, with whom the Fund exchanges cash flows. The Fund will enter into swap contracts only on a net basis, which means that the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments. Risks may arise as a result of the failure of the counterparty to the swap contract to comply with the terms of the swap contract. The extent of the Fund's exposure to credit and counterparty risks is the discounted net value of the cash flows to be received from the counterparty over the contract's remaining life, to the extent that the amount is positive. These risks are mitigated by having a master netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund


39


Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

to cover the Fund's exposure to the counterparty. Therefore, the Fund considers the creditworthiness of each counterparty as well as the amounts posted by the counterparty pursuant to the master netting agreement to a swap contract in evaluating potential credit risk. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying reference asset or index.

The Fund may enter into total return swap contracts, involving commitments to pay interest in exchange for a market-linked return, both based on notional amounts. The Fund may invest in total return swap contracts for hedging purposes or to seek to increase total return. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty.

The Fund may enter into credit default swap agreements either as a buyer or seller. The Fund may buy a credit default swap to attempt to mitigate the risk of default or credit quality deterioration in one or more individual holdings or in a segment of the fixed income securities market. The Fund may sell a credit default swap in an attempt to gain exposure to an underlying issuer's credit quality characteristics without investing directly in that issuer.

The Fund bears the risk of loss of the amount expected to be received under a credit default swap agreement in the event of the default or bankruptcy of the counterparty. The Fund will enter into swap agreements only with counterparties that meet certain standards of creditworthiness (generally, such counterparties would have to be eligible counterparties under the terms of the Fund's repurchase agreement guidelines). Credit default swap agreements are generally valued at a price at which the counterparty to such agreement would terminate the agreement.

The Fund records unrealized gains or losses on a daily basis representing the value and the current net receivable or payable relating to open swap contracts. Net amounts received or paid on the swap contract are recorded as realized gains or losses. Fluctuations in the value of swap contracts are recorded for financial statement purposes as unrealized appreciation or depreciation from swap contracts. Realized gains and losses from terminated swaps are included in net realized gains/losses from swap contracts. Upon entering into a centrally cleared swap, the Fund is required to deposit with a financial intermediary cash or securities ("initial margin") in an amount equal to a certain percentage of the notional amount of the swap. Subsequent


40


Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

payments ("variation margin") are made or received by the Fund dependent upon the daily fluctuations in the value of the swap. In a cleared swap transaction, counterparty risk is minimized as the central clearinghouse acts as the counterparty. The Fund's open swap contracts are disclosed in the Consolidated Schedule of Investments. At April 30, 2024, the amounts of restricted cash held at brokers related to open swap contracts for the Fund was $55,473,481.

L) OPTION CONTRACTS — The Fund will enter into options contracts to gain exposure to risk volatility based assets. When the Fund purchases an option, it pays a premium and the option is subsequently marked to market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. The risk associated with purchasing options is limited to the premium paid.

When the Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised or closed are deducted from the cost or added to the proceeds on the underlying instrument or closing purchase transaction to determine the realized gain or loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument underlying the written option.

Exchange-traded options have standardized contracts and are settled through a clearinghouse with fulfillment guaranteed by the credit of the exchange. Therefore, counterparty credit risks to the Fund are limited. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option. At April 30, 2024, the Fund's open written option contracts are disclosed in the Consolidated Schedule of Investments. At April 30, 2024, the amount of restricted cash held at brokers related to option contracts was $13,389,216.

M) SECURITIES LENDING — The initial collateral received by the Fund is required to have a value of at least 102% of the market value of domestic securities on loan (including any accrued interest thereon) and 105% of the market value of foreign securities on loan (including any accrued interest thereon). The collateral is maintained thereafter at a value equal to at least


41


Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

102% of the current market value of the securities on loan. The market value of loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day. Cash collateral received by the Fund in connection with securities lending activity may be pooled together with cash collateral for other funds/portfolios advised by Credit Suisse and may be invested in a variety of investments, including funds advised by SSB, the Fund's securities lending agent, or money market instruments. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Fund or the borrower at any time.

SSB has been engaged by the Fund to act as the Fund's securities lending agent. As of April 30, 2024, the Fund had outstanding loans of securities to certain approved brokers for which the Fund received collateral:

Market Value of
Loaned Securities
  Market Value of
Cash Collateral
 

Total Collateral

 
$

143,778

   

$

155,430

   

$

155,430

   

The following table presents financial instruments that are subject to enforceable netting arrangements as of April 30, 2024.

Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities

 
Gross Asset
Amounts Presented in
the Consolidated
Statement of Assets
and Liabilities(a)
  Collateral
Received(b)
 

Net Amount

 
$

143,778

   

$

(143,778

)

 

$

   

(a)​  Represents market value of loaned securities at period end.

(b)​  The actual collateral received is greater than the amount shown here due to collateral requirements of the security lending agreement.

The Fund's securities lending arrangement provides that the Fund and SSB will share the net income earned from securities lending activities. Securities lending income is accrued as earned. For the six months ended April 30, 2024, total earnings received in connection with securities lending arrangements was $323,116, of which $249,982 was rebated to borrowers (brokers). The Fund retained $54,735 in income, and SSB, as lending agent, was paid $18,399.


42


Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

N) OTHER — In the normal course of business, the Fund trades financial instruments and enters into financial transactions for which risk of potential loss exists due to changes in the market (market risk) or failure of the other party to a transaction to perform (credit risk). Similar to credit risk, the Fund may be exposed to counterparty risk, including with respect to securities lending, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. The potential loss could exceed the value of the financial assets recorded in the consolidated financial statements. Financial assets, which potentially expose the Fund to credit risk, consist principally of cash due from counterparties and investments. The extent of the Fund's exposure to credit and counterparty risks in respect to these financial assets approximates their carrying value as recorded in the Fund's Consolidated Statement of Assets and Liabilities.

O) FOREIGN INVESTMENTS RISK — The Fund may have elements of risk not typically associated with investments in the U.S. due to concentrated investments in a limited number of countries or regions, which may vary throughout the year. Such concentrations may subject the Fund to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.

Because the Fund may invest a significant portion of its assets in these markets, it is subject to greater risks of adverse events that occur in those markets and may experience greater volatility than a Fund that is more broadly diversified geographically.

Note 3. Transactions with Affiliates and Related Parties

Credit Suisse served as investment adviser and co-administrator for the Fund during the six months ended April 30, 2024. For its investment advisory and administration services, Credit Suisse is entitled to receive a fee from the Fund at an annual rate of 1.04% of the Fund's average daily net assets. For the six months ended April 30, 2024, investment advisory and administration fees earned and fees waived/expenses reimbursed by Credit Suisse were $2,088,690 and $754,023, respectively. Credit Suisse has contractually agreed to limit expenses so that the Fund's annual operating expenses do not exceed 0.85% of the Fund's average daily net assets for Class I shares and 1.10% of the Fund's average daily net assets for Class A shares. The Fund is authorized to reimburse


43


Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 3. Transactions with Affiliates and Related Parties (continued)

Credit Suisse for management fees previously waived and/or for expenses previously paid by Credit Suisse, provided, however, that any reimbursement must be paid at a date not more than thirty-six months following the applicable month during which such fees were waived or expenses were paid by Credit Suisse and the reimbursement does not cause the applicable class's aggregate expenses, on an annualized basis, to exceed either (i) the applicable expense limitation in effect at the time such fees were waived or such expenses were paid by Credit Suisse or (ii) the applicable expense limitation in effect at the time of such reimbursement. This contract may not be terminated before February 28, 2025. For the six months ended April 30, 2024, there was no recoupment.

The amounts waived and reimbursed by Credit Suisse, which are available for potential future recoupment by Credit Suisse, and the expiration schedule at April 30, 2024 are as follows:

    Fee waivers/expense
reimbursements
subject to
recoupment
  Expires
October 31,
2024
  Expires
October 31,
2025
  Expires
October 31,
2026
  Expires
October 31,
2027
 

Class I

 

$

2,553,287

   

$

330,661

   

$

542,432

   

$

1,053,076

   

$

627,118

   

Class A

   

510,116

     

67,926

     

77,569

     

237,716

     

126,905

   

Totals

 

$

3,063,403

   

$

398,587

   

$

620,001

   

$

1,290,792

   

$

754,023

   

Credit Suisse Securities (USA) LLC ("CSSU"), an affiliate of Credit Suisse, served as the distributor of the Fund's shares during the six months ended April 30, 2024. Pursuant to a distribution plan adopted by the Fund pursuant to Rule 12b-1 under the 1940 Act, CSSU receives fees for its distribution services. These fees are calculated at an annual rate of 0.25% of the average daily net assets of the Class A shares. For the six months ended April 30, 2024, the Fund paid Rule 12b-1 distribution fees of $84,522 for Class A shares. Class I shares are not subject to Rule 12b-1 distribution fees.

Note 4. Line of Credit

The Fund, together with other funds/portfolios advised by Credit Suisse (collectively, the "Participating Funds"), participates in a committed, unsecured line of credit facility ("Credit Facility"), with SSB in an aggregated amount of $125 million for temporary or emergency purposes under a first-come, first-served basis. Under the terms of the Credit Facility, the Participating Funds pay an aggregate commitment fee on the average unused amount of the Credit Facility, which is allocated among the Participating Funds in such manner as is determined by the governing boards of the Participating Funds. In addition,


44


Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 4. Line of Credit (continued)

the Participating Funds pay interest on borrowings at either the Federal Funds Effective rate or the Overnight Bank Funding rate plus a spread. At April 30, 2024 and for the six months ended April 30, 2024, the Fund had no borrowings outstanding under the Credit Facility.

Note 5. Purchases and Sales of Securities

For the six months ended April 30, 2024, purchases and sales of investment securities (excluding short-term investments) and U.S. Government and Agency Obligations were as follows:

Investment Securities

  U.S. Government/
Agency Obligations
 
Purchases  

Sales

 

Purchases

 

Sales

 
$

67,280,673

   

$

91,714,109

   

$

0

   

$

0

   

Note 6. Capital Share Transactions

The Fund is authorized to issue an unlimited number of full and fractional shares of beneficial interest, $0.001 par value per share. The Fund offers Class I and Class A shares. Transactions in capital shares for each class of the Fund were as follows:

   

Class I

 
    For the Six Months Ended
April 30, 2024 (unaudited)
  For the Year Ended
October 31, 2023
 
   

Shares

 

Value

 

Shares

 

Value

 

Shares sold

   

2,182,673

   

$

20,036,180

     

12,852,027

   

$

117,455,361

   
Shares issued in reinvestment of
distributions
   

1,045,951

     

9,486,775

     

799,167

     

7,304,387

   

Shares redeemed

   

(1,335,106

)

   

(12,347,601

)

   

(6,256,423

)

   

(56,312,623

)

 

Net increase

   

1,893,518

   

$

17,175,354

     

7,394,771

   

$

68,447,125

   
   

Class A

 
    For the Six Months Ended
April 30, 2024 (unaudited)
  For the Year Ended
October 31, 2023
 
   

Shares

 

Value

 

Shares

 

Value

 

Shares sold

   

39,569

   

$

354,812

     

8,098,012

   

$

73,379,751

   
Shares issued in reinvestment of
distributions
   

211,840

     

1,891,730

     

25,370

     

228,333

   

Shares redeemed

   

(2,328,900

)

   

(21,329,992

)

   

(1,239,129

)

   

(10,864,911

)

 

Net increase (decrease)

   

(2,077,491

)

 

$

(19,083,450

)

   

6,884,253

   

$

62,743,173

   


45


Credit Suisse Multialternative Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 6. Capital Share Transactions (continued)

On April 30, 2024, the number of shareholders that held 5% or more of the outstanding shares of each class of the Fund was as follows:

    Number of
Shareholders
  Approximate Percentage
of Outstanding Shares
 

Class I

   

3

     

97

%

 

Class A

   

1

     

95

%

 

The Fund's performance may be negatively impacted in the event one or more of the Fund's greater than 5% shareholders were to redeem at a given time. Some of the shareholders may be omnibus accounts, which hold shares on behalf of individual shareholders.

Note 7. Contingencies

In the normal course of business, the Fund may provide general indemnifications pursuant to certain contracts and organizational documents. The Fund's maximum exposure under these arrangements is dependent on future claims that may be made against the Fund and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote.

Note 8. Subsequent Events

On May 1, 2024, Credit Suisse Asset Management, LLC ("Credit Suisse") merged into UBS Asset Management (Americas) LLC ("UBS AM (Americas)"), with UBS AM (Americas) as the surviving entity, and UBS AM (Americas) became the investment manager to the Fund. Also on May 1, 2024, UBS Asset Management (US) Inc. replaced CSSU as the Fund's underwriter and distributor.


46



Credit Suisse Multialternative Strategy Fund
Change in Independent Registered Public Accounting Firm
(unaudited)

On April 23, 2024, the Fund's Board approved the dismissal of PricewaterhouseCoopers LLP ("PwC") as the independent registered public accounting firm for the Fund, due to PwC's ceasing to be deemed an independent registered public accounting firm with respect to the Fund after April 30, 2024. The Board's decision to approve the dismissal of PwC was recommended by the Audit Committee of the Board. PwC's reports on the Fund's financial statements for the fiscal periods ended October 31, 2023 and October 31, 2022 contained no adverse opinion or disclaimer of opinion nor were they qualified or modified as to uncertainty, audit scope or accounting principle. During the Fund's fiscal periods ended October 31, 2023 and October 31, 2022 and the subsequent interim period through April 23, 2024, (i) there were no disagreements with PwC on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of PwC, would have caused them to make reference to the subject matter of the disagreements in connection with their reports on the Fund's financial statements for such periods, and (ii) there were no "reportable events" of the kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended.

Upon the recommendation of the Audit Committee of the Fund's Board, the Fund's Board approved the engagement of Ernst & Young LLP ("EY") as the Fund's independent registered public accounting firm for the fiscal year ending October 31, 2024. During the Fund's fiscal periods ended October 31, 2023 and October 31, 2022 and the subsequent interim period through June 19, 2024, neither the Fund, nor anyone on its behalf, consulted with EY on items which: (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Fund's financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(v) of said Item 304).


47



Credit Suisse Multialternative Strategy Fund
Liquidity Risk Management Program
(unaudited)

The Fund has adopted and implemented a written liquidity risk management program (the "Liquidity Program") in accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended. The Liquidity Program seeks to assess and manage the Fund's liquidity risk, i.e., the risk that the Fund is unable to satisfy redemption requests without significantly diluting remaining investors' interests in the Fund. The Board has designated the Fund's investment adviser to administer the Liquidity Program (the "Program Administrator"). Prior to May 1, 2024, Credit Suisse Asset Management, LLC served as Program Administrator. Effective May 1, 2024, UBS Asset Management (Americas) LLC serves as the Program Administrator. Certain aspects of the Liquidity Program rely on third parties to perform certain functions, including the provision of market data and application of models.

Under the Liquidity Program, the Program Administrator assesses, manages and periodically reviews the Fund's liquidity risk and classifies each investment held by the Fund as a "highly liquid investment," "moderately liquid investment," "less liquid investment" or "illiquid investment." The liquidity of the Fund's portfolio investments is determined based on relevant market, trading and investment-specific considerations under the Liquidity Program.

During the six months ended April 30, 2024, the Trust's Board received reports from the Program Administrator that included information to address the operations of the Liquidity Program and assess its adequacy and effectiveness of implementation during the period covered by the reports. The reports indicated that the Liquidity Program is reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the reporting period.

There can be no assurance that the Liquidity Program will achieve its objectives under all circumstances in the future. Please refer to the Fund's prospectus for more information regarding the Fund's exposure to illiquidity risk and other risks to which it may be subject.


48



Credit Suisse Multialternative Strategy Fund
Notice of Privacy and Information Practices
(unaudited)

At UBS AM (Americas), we know that you are concerned with how we protect and handle nonpublic personal information that identifies you. This notice is designed to help you understand what nonpublic personal information we collect from you and from other sources, and how we use that information in connection with your investments and investment choices that may be available to you. Except where otherwise noted, this notice is applicable only to consumers who are current or former investors, meaning individual persons whose investments are primarily for household, family or personal use ("individual investors"). Specified sections of this notice, however, also apply to other types of investors (called "institutional investors"). Where the notice applies to institutional investors, the notice expressly states so. This notice is being provided by Credit Suisse Funds and Credit Suisse Closed-End Funds. This notice applies solely to U.S. registered investment companies advised by UBS AM (Americas).

Categories of information we may collect:

We may collect information about you, including nonpublic personal information, such as

•  Information we receive from you on applications, forms, agreements, questionnaires, Credit Suisse websites and other websites that are part of our investment program, or in the course of establishing or maintaining a customer relationship, such as your name, address, e-mail address, Social Security number, assets, income, financial situation; and

•  Information we obtain from your transactions and experiences with us, our affiliates, or others, such as your account balances or other investment information, assets purchased and sold, and other parties to a transaction, where applicable.

Categories of information we disclose and parties to whom we disclose it:

•  We do not disclose nonpublic personal information about our individual investors, except as permitted or required by law or regulation. Whether you are an individual investor or institutional investor, we may share the information described above with our affiliates that perform services on our behalf, and with our asset management and private banking affiliates; as well as with unaffiliated third parties that perform services on our behalf, such as our accountants, auditors, attorneys, broker-dealers, fund administrators, and other service providers.


49



Credit Suisse Multialternative Strategy Fund
Notice of Privacy and Information Practices
(unaudited) (continued)

•  We want our investors to be informed about additional products or services. We do not disclose nonpublic personal information relating to individual investors to our affiliates for marketing purposes, nor do we use such information received from our affiliates to solicit individual investors for such purposes. Whether you are an individual investor or an institutional investor, we may disclose information, including nonpublic personal information, regarding our transactions and experiences with you to our affiliates.

•  In addition, whether you are an individual investor or an institutional investor, we reserve the right to disclose information, including nonpublic personal information, about you to any person or entity, including without limitation any governmental agency, regulatory authority or self-regulatory organization having jurisdiction over us or our affiliates, if (i) we determine in our discretion that such disclosure is necessary or advisable pursuant to or in connection with any United States federal, state or local, or non-U.S., court order (or other legal process), law, rule, regulation, or executive order or policy, including without limitation any anti-money laundering law or the USA PATRIOT Act of 2001; and (ii) such disclosure is not otherwise prohibited by law, rule, regulation, or executive order or policy.

Confidentiality and security

•  To protect nonpublic personal information about individual investors, we restrict access to those employees and agents who need to know that information to provide products or services to us and to our investors. We maintain physical, electronic, and procedural safeguards to protect nonpublic personal information.

Other Disclosures

This notice is not intended to be incorporated in any offering materials, but is a statement of our current Notice of Privacy and Information Practices and may be amended from time to time. This notice is current as of May 14, 2024.


50



Credit Suisse Multialternative Strategy Fund
Proxy Voting and Portfolio Holdings Information
(unaudited)

Information regarding how the Fund voted proxies related to its portfolio securities during the 12-month period ended June 30 of each year, as well as the policies and procedures that the Fund uses to determine how to vote proxies relating to its portfolio securities are available:

•  By calling 1-877-870-2874

•  On the Fund's website, www.credit-suisse.com/us/funds

•  On the website of the Securities and Exchange Commission, www.sec.gov

The Fund files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund's Forms N-PORT and N-Q are available on the SEC's website at www.sec.gov.


51


P.O. BOX 219916, KANSAS CITY, MO 64121-9916

877-870-2874 www.credit-suisse.com/us/funds

UBS Asset Management (US) Inc., DISTRIBUTOR.  MSF-SAR-0424


CREDIT SUISSE FUNDS

Semiannual Report

April 30, 2024
  (unaudited)

  CREDIT SUISSE
MANAGED FUTURES STRATEGY FUND


The Fund's investment objectives, 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. You may obtain additional copies by calling 877-870-2874 or by visiting our website at www.credit-suisse.com/us/funds.

Credit Suisse Securities (USA) LLC, the Distributor for the six months ended April 30, 2024, is located at Eleven Madison Avenue, New York, NY 10010. UBS Asset Management (US) Inc. became the new distributor as of May 1, 2024. The Credit Suisse Funds were advised by Credit Suisse Asset Management, LLC for the six months ended April 30, 2024. UBS Asset Management (Americas) LLC became the investment manager on May 1, 2024 pursuant an internal merger between Credit Suisse Asset Management LLC and UBS Asset Management (Americas) LLC.

Investors in the Credit Suisse Funds should be aware that they may be eligible to purchase Class I shares (where offered) directly or through certain intermediaries. Such shares are not subject to a sales charge. Investors in the Credit Suisse Funds should also be aware that they may be eligible for a reduction or waiver of the sales charge with respect to Class A or C shares (where offered). For more information, please review the relevant prospectuses or consult your financial representative.

Fund shares are not deposits or other obligations of UBS Asset Management (Americas) LLC or any affiliate, are not FDIC-insured and are not guaranteed by UBS Asset Management (Americas) LLC or any affiliate. Fund investments are subject to investment risks, including loss of your investment.


Credit Suisse Managed Futures Strategy Fund
Semiannual Investment Adviser's Report

April 30, 2024 (unaudited)

April 30, 2024

Dear Shareholder:

We are pleased to present this Semiannual Report covering the activities of the Credit Suisse Managed Futures Strategy Fund (the "Fund") for the six-month period ended April 30, 2024 (the "Period").

Performance Summary
11/1/2023 – 4/30/2024

Fund & Benchmark

 

Performance

 
Class I1    

0.10

%

 
Class A1,2    

-0.05

%

 
Class C1,2    

-0.46

%

 
Credit Suisse Managed Futures Liquid Index3    

-0.16

%

 

Performance shown for the Fund's Class A and Class C Shares does not reflect sales charges, which are a maximum of 5.25% and 1.00%, respectively.2

1​  Fee waivers and/or expense reimbursements reduce expenses for the Fund, without which performance would be lower. The Fund has entered into a written contract limiting operating expenses to 1.55% of the fund's average daily net assets for Class A shares, 2.30% of the fund's average daily net assets for Class C shares, and 1.30% of the fund's average daily net assets for Class I shares at least through February 28, 2025. This limit excludes certain expenses, as set forth in the Fund's Prospectus.

2  ​Total return for the Fund's Class A shares for the reporting period, based on offering price (including maximum sales charge of 5.25%), was (5.32)%. Total return for the Fund's Class C shares for the reporting period, based on redemption value including Contingent Deferred Sales Charge ("CDSC") of 1.00%, was (1.45)%.

3  ​The Credit Suisse Managed Futures Liquid Index is a broadly diversified futures index currently composed of 14 futures contracts and 4 commodity indices which provide exposure to the asset classes. The Index uses a proprietary quantitative methodology to seek to identify price trends in each of the asset classes over a variety of time horizons. Components of the Index, which may change from time to time, are positioned either long or short based on the price trends within the asset classes determined using the Index's quantitative methodology. The Index does not have transaction costs and investors may not invest directly in the Index.

Market Review: Late cycle data dependence

The conundrum of attempting to manage the lagged effects of restrictive monetary policy through forward guidance engrossed markets during the Period. Central bank data dependence amplified the significance of incoming economic data, whipsawing fixed income and currency markets, as suggestions of a soft landing buoyed investor confidence, buttressing uptrends in equity and commodity markets. The Credit Suisse Managed Futures Liquid Index (the "Index") returned -0.16% for the Period.


1


Credit Suisse Managed Futures Strategy Fund
Semiannual Investment Adviser's Report (continued)

April 30, 2024 (unaudited)

In the closing months of 2023, US continuing unemployment claims rose to their highest level in almost two years, underscoring the emergence of a more balanced labor market and dramatically reducing the perceived risk of a wage-price spiral taking hold. The Federal Reserve shifted toward a more dovish stance, reassuring investors reviewing their asset allocation targets ahead of year-end. Interest rate markets rallied. Commodity markets wobbled amidst burgeoning energy inventories, a dissipating Middle East war risk premium, and lethargic Chinese economic activity. The US Dollar lost some of its luster as investors celebrated the apparent slaying of the inflation dragon and capital flowed out of safe havens into riskier assets. While Chinese equities faded on lackluster economic data and investor concerns regarding government measures designed to shore up domestic stocks, markets elsewhere rebounded sharply.

In the new year, global interest rates reversed and drifted higher. European Central Bank board member Isabel Schnabel's February comments to the Financial Times that "the last mile of disinflation may be the most difficult one" rung throughout the Period, with the real economy showing signs of reaccelerating in reaction to lower terminal policy rate expectations. Commodity markets found footing with energy prices soaring on the back of improving prospects for global growth, sustained military conflict proximate to key production zones, and logistical bottlenecks. The Japanese Yen continued to depreciate as the Bank of Japan struck a dovish tone in emphasizing gradualism. Throughout the Period, Commodity currencies appreciated, while the US Dollar fluctuated in reaction to US primary elections and incoming economic data. Global equity markets benefitted from positive fourth quarter 2023 corporate earnings results, upbeat economic data, and constructive investor sentiment before fading in April as the weight of deteriorating international relations and rising interest rates began to be felt.

Strategic Review and Outlook: Neither here nor there

The Fund seeks to give investors industry representative and cost-efficient access to managed futures by aiming to capture the most significant trends across major asset classes — fixed income, commodities, currencies, and equities.

For the Period, the Fund generated a modest gain, slightly outperforming the Index.

The Fund's exposure to fixed income instruments detracted from Fund performance during the Period. The Fund's positioning in the asset class whipsawed, moving from short in November to long in December to short once again in April. The asset class incurred widespread losses, particularly in the first quarter of 2024 as economies globally showed signs of reaccelerating on


2


Credit Suisse Managed Futures Strategy Fund
Semiannual Investment Adviser's Report (continued)

April 30, 2024 (unaudited)

improving consumer sentiment and key interest rates moved higher. The Fund finished the Period net short in the asset class.

Commodity exposures contributed to Fund performance for the Period. Fund positioning shifted from short-biased to long-biased in March, and the program generated gains on both long and short positioning during the Period. Short-biased Agriculture exposure profited from the confluence of faltering demand from China, high inventory levels, inexpensive supply from Russia, and favorable growing conditions across important geographies. Energy positioning also contributed as short exposures gained with expanding inventory levels even as the Israeli-Palestinian conflict mushroomed and frayed previously stable international relations. Short Industrials Metals and Precious Metals positioning struggled for most of the Period before flipping long and generating healthy gains later. The Fund held mixed but long-biased exposure within the asset class at the end of April.

Currencies detracted. The Fund began the Period with across-the-board short currency (long US Dollar) positioning, but the greenback's upward momentum stalled abruptly as US interest rates declined, CNN poll results in the battleground states of Georgia and Michigan underscored the fractious state of US politics and the fragility of the Biden administration's grip on power, and the US gross national debt crossed $34 trillion. Fluctuating commodity prices brought choppiness to the Australian Dollar and Canadian Dollar, which, together with European currency exposures, drove program losses. Short Japanese Yen exposure proved the bright spot, as Bank of Japan dovishness perpetuated the Japanese Yen's ongoing downward slide. The Fund held across-the-board short (long US Dollar) currency exposure at the end of the Period.

The Fund's equity exposures contributed to performance during the Period. During the closing months of 2023, the Fund's positioning in the asset class turned constructive as investors recalibrated their inflation and policy rate expectations. Upbeat economic data, broadly dovish central bank guidance, and solid fourth quarter 2023 earnings reports sustained the sanguine sentiment until April, when the sobering reality of higher interest rates, large currency moves, and escalating military conflict surfaced. While long-biased exposures generally contributed, shifty FTSE 100 and short Hang Seng positioning detracted as markets absorbed unsteady inflation data in the UK and a raft of government policy initiatives and evidence of green shoots in China. The Fund ended the Period net long Equities.


3


Credit Suisse Managed Futures Strategy Fund
Semiannual Investment Adviser's Report (continued)

April 30, 2024 (unaudited)

The Quantitative Investment Strategies Group

Yung-Shin Kung

The Fund is non-diversified, which means it may invest a greater proportion of its assets in the securities of a smaller number of issuers than a diversified mutual fund and may therefore be subject to greater volatility. The Fund's investment in alternative instruments may subject the Fund to greater volatility than investments in traditional securities, particularly in investments involving leverage.

The use of alternative assets and strategies entails substantial risks, including risk of loss of principal, commodity exposure risks, correlation risk, counterparty risk, credit risk, currency risk, derivatives risk, equity exposure risk, fixed income risk, foreign securities risk, forwards risk, futures contracts risk, interest rate risk, leveraging risk, manager/model risk, market risk, model and style risk, non-diversified status, options risk, portfolio turnover risk, repurchase agreement risk, short position risk, speculative exposure risk, subsidiary risk, swap agreements risk, tax risk and U.S. government securities risk. For a detailed discussion of these and other risks, please refer to the Fund's Prospectus, which should be read carefully before investing.

In addition to historical information, this report contains forward-looking statements, which may concern, among other things, domestic and foreign markets, industry and economic trends and developments, and government regulation, and their potential impact on the Fund's investments. These statements are subject to risks and uncertainties and actual trends, developments and regulations in the future, and their impact on the Fund could be materially different from those projected, anticipated, or implied. The Fund has no obligation to update or revise forward-looking statements.

The views of the Fund's management are as of the date of this letter and the Fund holdings described in this document are as of April 30, 2024; these views and Fund holdings may have changed subsequent to these dates. Nothing in this document is a recommendation to purchase or sell securities.


4


Credit Suisse Managed Futures Strategy Fund
Semiannual Investment Adviser's Report (continued)

April 30, 2024 (unaudited)

Average Annual Returns as of April 30, 20241

   

6 Months

 

1 Year

 

5 Years

 

10 Years

 

Class I

   

0.10

%

   

(0.63

)%

   

4.60

%

   

4.05

%

 

Class A Without Sales Charge

   

(0.05

)%

   

(0.90

)%

   

4.33

%

   

3.79

%

 

Class A With Maximum Sales Charge

   

(5.32

)%

   

(6.08

)%

   

3.21

%

   

3.24

%

 

Class C Without CDSC

   

(0.46

)%

   

(1.70

)%

   

3.54

%

   

3.00

%

 

Class C With CDSC

   

(1.45

)%

   

(2.68

)%

   

3.54

%

   

3.00

%

 

Returns represent past performance and include change in share price and reinvestment of dividends, capital gains, and return of capital distributions, if any. Past performance cannot guarantee future results. The current performance of the Fund may be lower or higher than the figures shown. Returns and share price will fluctuate, and redemption value may be more or less than original cost. The performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance information current to the most recent month end is available at www.credit-suisse.com/us/funds.

The annual gross expense ratios as in the February 28, 2024 Prospectus are 1.35% for Class I shares, 1.60% for Class A shares and 2.35% for Class C shares. The annual net expense ratios after fee waivers and/or expense reimbursements as in the February 28, 2024 Prospectus are 1.33% for Class I shares, 1.58% for Class A shares and 2.33% for Class C shares.

1​  Fee waivers and/or expense reimbursements reduce expenses for the Fund, without which performance would be lower. The Fund has entered into a written contract to limit operating expenses to 1.30% of the Fund's average daily net assets for Class I shares, 1.55% of the Fund's average daily net assets for Class A shares and 2.30% of the Fund's average daily net assets for Class C shares through at least February 28, 2025. This limit excludes certain expenses, as set forth in the Fund's Prospectus.


5


Credit Suisse Managed Futures Strategy Fund
Semiannual Investment Adviser's Report (continued)

April 30, 2024 (unaudited)

Information About Your Fund's Expenses

As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees, distribution and service (12b-1) fees and other Fund expenses. Examples of transaction costs include sales charges (loads), redemption fees and account maintenance fees, which are not shown in this section and which would result in higher total expenses. The following table is intended to help you understand your ongoing expenses of investing in the Fund and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. The table is based on an investment of $1,000 made at the beginning of the six months ended April 30, 2024.

The table illustrates your Fund's expenses in two ways:

•  Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses paid on a $1,000 investment in the Fund using the Fund's actual return during the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the "Expenses Paid per $1,000" line.

•  Hypothetical 5% Fund Return. This helps you to compare the Fund's ongoing expenses with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.

Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. If these transaction costs had been included, your costs would have been higher. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expenses of owning different funds.


6


Credit Suisse Managed Futures Strategy Fund
Semiannual Investment Adviser's Report (continued)

April 30, 2024 (unaudited)

Expenses and Value for a $1,000 Investment
for the six-month period ended April 30, 2024

Actual Fund Return

 

Class I

 

Class A

 

Class C

 

Beginning Account Value 11/01/23

 

$

1,000.00

   

$

1,000.00

   

$

1,000.00

   

Ending Account Value 04/30/24

 

$

1,001.00

   

$

999.50

   

$

995.40

   

Expenses Paid per $1,000*

 

$

6.47

   

$

7.71

   

$

11.41

   

Hypothetical 5% Fund Return

 

Beginning Account Value 11/01/23

 

$

1,000.00

   

$

1,000.00

   

$

1,000.00

   

Ending Account Value 04/30/24

 

$

1,018.40

   

$

1,017.16

   

$

1,013.43

   

Expenses Paid per $1,000*

 

$

6.52

   

$

7.77

   

$

11.51

   
   

Class I

 

Class A

 

Class C

 

Annualized Expense Ratios*

   

1.30

%

   

1.55

%

   

2.30

%

 

*  Expenses are equal to the Fund's annualized expense ratio for each share class, multiplied by the average account value over the period, multiplied by 182/366 to reflect the one-half year period.

  The "Expenses Paid per $1,000" and the "Annualized Expense Ratios" in the tables are based on actual expenses paid by the Fund during the period, net of fee waivers and/or actual expense reimbursements, if applicable. If those fee waivers and/or expense reimbursements had not been in effect, the Fund's actual expenses would have been higher. Expenses do not reflect additional charges and expenses that are, or may be, imposed under the variable contracts or plans. Such charges and expenses are described in the prospectus of the insurance company separate account or in the plan documents or other informational materials supplied by plan sponsors. The Fund's expenses should be considered with these charges and expenses in evaluating the overall cost of investing in the separate account.

For more information, please refer to the Fund's Prospectus.

Portfolio Breakdown**

United States Treasury Obligations

   

87.30

%

 

Short-Term Investment

   

12.70

   

Total

   

100.00

%

 

**  Expressed as a percentage of total investments (excluding securities lending collateral, if applicable) and may vary over time.

Derivatives are not reflected in amounts reported above.


7


Credit Suisse Managed Futures Strategy Fund
Consolidated Schedule of Investments

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
UNITED STATES TREASURY OBLIGATIONS (74.2%)      

$

10,000

   

U.S. Treasury Bills(1)

 

(AA+, Aaa)

 

05/16/24

   

4.955

   

$

9,978,083

   
 

19,500

   

U.S. Treasury Bills(1)

 

(AA+, Aaa)

 

06/13/24

   

5.091

     

19,377,202

   
 

10,000

   

U.S. Treasury Bills(1)

 

(AA+, Aaa)

 

07/11/24

   

5.040

     

9,896,360

   
 

10,000

   

U.S. Treasury Bills(1)

 

(AA+, Aaa)

 

08/08/24

   

5.156

     

9,856,106

   
 

19,500

   

U.S. Treasury Bills(1)

 

(AA+, Aaa)

 

09/05/24

   

5.123

     

19,141,372

   
 

10,000

   

U.S. Treasury Bills(1)

 

(AA+, Aaa)

 

10/03/24

   

5.141

     

9,777,187

   
 

10,000

   

U.S. Treasury Bills(1)

 

(AA+, Aaa)

 

10/31/24

   

4.853

     

9,737,700

   
 

19,500

   

U.S. Treasury Bills(1)

 

(AA+, Aaa)

 

11/29/24

   

4.583

     

18,914,924

   
 

10,000

   

U.S. Treasury Bills(1)

 

(AA+, Aaa)

 

12/26/24

   

4.615

     

9,666,396

   
 

10,000

   

U.S. Treasury Bills(1)

 

(AA+, Aaa)

 

01/23/25

   

4.710

     

9,630,669

   
 

19,500

   

U.S. Treasury Bills(1)

 

(AA+, Aaa)

 

02/20/25

   

4.823

     

18,700,243

   
 

10,000

   

U.S. Treasury Bills(1)

 

(AA+, Aaa)

 

03/20/25

   

4.909

     

9,551,361

   
TOTAL UNITED STATES TREASURY OBLIGATIONS (Cost $154,406,082)    

154,227,603

   

Shares

                     
SHORT-TERM INVESTMENTS (10.8%)      
 

22,427,932

    State Street Institutional U.S. Government Money Market Fund — Premier
Class, 5.26% (Cost $22,427,932)
                           

22,427,932

   
TOTAL INVESTMENTS AT VALUE (85.0%) (Cost $176,834,014)    

176,655,535

   
OTHER ASSETS IN EXCESS OF LIABILITIES (15.0%)    

31,128,009

   
NET ASSETS (100.0%)  

$

207,783,544

   

  ​Credit ratings given by the S&P Global Ratings Division of S&P Global Inc. ("S&P") and Moody's Investors Service, Inc. ("Moody's") are unaudited.

(1)  ​Securities are zero coupon. Rate presented is cost yield as of April 30, 2024.

Futures Contracts

Contract Description

 

Currency

  Expiration
Date
  Number of
Contracts
  Notional
Value
  Net Unrealized
Appreciation
(Depreciation)
 

Contracts to Purchase

 

Index Contracts

 

EURO Stoxx 50 Index Futures

 

EUR

     

Jun 2024

   

542

   

$

28,379,755

   

$

(276,193

)

 

FTSE 100 Index Futures

 

GBP

     

Jun 2024

   

371

     

37,900,137

     

1,756,653

   

Nikkei 225 Index Futures OSE

 

JPY

     

Jun 2024

   

92

     

22,490,643

     

(795,688

)

 

S&P 500 E Mini Index Futures

 

USD

     

Jun 2024

   

100

     

25,335,000

     

(510,708

)

 
   

$

174,064

   

See Accompanying Notes to Consolidated Financial Statements.
8


Credit Suisse Managed Futures Strategy Fund
Consolidated Schedule of Investments (continued)

April 30, 2024 (unaudited)

Futures Contracts (continued)

Contract Description

 

Currency

  Expiration
Date
  Number of
Contracts
  Notional
Value
  Net Unrealized
Appreciation
(Depreciation)
 

Contracts to Sell

 

Foreign Exchange Contracts

 
AUD Currency Futures  

USD

     

Jun 2024

   

(598

)

 

$

(38,822,160

)

 

$

(283,915

)

 
CAD Currency Futures  

USD

     

Jun 2024

   

(913

)

   

(66,397,925

)

   

1,073,981

   
EUR Currency Futures  

USD

     

Jun 2024

   

(491

)

   

(65,662,044

)

   

509,674

   
GBP Currency Futures  

USD

     

Jun 2024

   

(777

)

   

(60,737,119

)

   

(350,772

)

 
JPY Currency Futures  

USD

     

Jun 2024

   

(301

)

   

(24,036,731

)

   

1,806,277

   
   

$

2,755,245

   

Index Contracts

 

Hang Seng Index Futures

 

HKD

     

May 2024

   

(21

)

   

(2,378,785

)

 

$

(78,403

)

 

Interest Rate Contracts

 

10YR Japanese Bond Futures

 

JPY

     

Jun 2024

   

(145

)

   

(133,145,871

)

 

$

(172,710

)

 

10YR U.S. Treasury Note Futures

 

USD

     

Jun 2024

   

(405

)

   

(43,512,188

)

   

1,120,482

   
EURO Bund Futures  

EUR

     

Jun 2024

   

(388

)

   

(53,966,158

)

   

708,003

   

Long Gilt Futures

 

GBP

     

Jun 2024

   

(304

)

   

(36,459,018

)

   

376,529

   
   

$

2,032,304

   

Total Net Unrealized Appreciation (Depreciation)

 

$

4,883,210

   

Total Return Swap Contracts

Currency

  Notional
Amount
  Expiration
Date
 

Counterparty

 

Receive

 

Pay

  Periodic
Payment
Frequency
  Upfront
Premiums
Paid/
(Received)
  Unrealized
Appreciation
 


USD
 

$

4,513,332

   

07/22/24
 

Bank of America
 

(0.06)%
  Bloomberg
Agriculture
Index
 
At
Maturity
 

$

   

$

50,574

   
USD    

4,817,163

   

07/22/24

 

Bank of America

  (0.06)%   Bloomberg
Energy
Index
  At
Maturity
   

     

42,716

   
USD    

27,335,586

   

07/22/24

  Goldman Sachs   Bloomberg
Industrial
Metals
Index
  0.10%   At
Maturity
   

     

1,671,753

   
USD    

3,803,571

   

07/22/24

 

Goldman Sachs

  (0.04)%   Bloomberg
Agriculture
Index
  At
Maturity
   

     

17,310

   
   

$

   

$

1,782,353

   

See Accompanying Notes to Consolidated Financial Statements.
9


Credit Suisse Managed Futures Strategy Fund
Consolidated Schedule of Investments (continued)

April 30, 2024 (unaudited)

Total Return Swap Contracts (continued)

Currency

  Notional
Amount
  Expiration
Date
 

Counterparty

 

Receive

 

Pay

  Periodic
Payment
Frequency
  Upfront
Premiums
Paid/
(Received)
  Unrealized
Depreciation
 

USD

   

$

27,931,018

   
07/22/24
 
Goldman Sachs
  Bloomberg
Precious
Metals Index
   

0.07

%

 
At
Maturity
 

$

   

$

(605,970

)

 
   

$

   

$

(605,970

)

 
   

Total

 

$

   

$

1,176,383

   

Currency Abbreviations:

AUD = Australian Dollar

CAD = Canadian Dollar

EUR = Euro

GBP = British Pound

HKD = Hong Kong Dollar

JPY = Japanese Yen

USD = United States Dollar

See Accompanying Notes to Consolidated Financial Statements.
10


Credit Suisse Managed Futures Strategy Fund
Consolidated Statement of Assets and Liabilities

April 30, 2024 (unaudited)

Assets

 

Investments at value (Cost $176,834,014) (Note 2)

 

$

176,655,535

   

Cash segregated at brokers for futures contracts and swap contracts (Note 2)

   

28,461,875

   

Variation margin receivable on futures contracts (Note 2)

   

1,822,302

   

Unrealized appreciation on open swap contracts (Note 2)

   

1,782,353

   

Interest receivable

   

92,639

   

Receivable for Fund shares sold

   

78,324

   

Net receivable for open swap contracts

   

3,470

   

Prepaid expenses

   

30,782

   

Total assets

   

208,927,280

   

Liabilities

 

Investment advisory fee payable (Note 3)

   

311,838

   

Administrative services fee payable (Note 3)

   

15,586

   

Shareholder servicing/Distribution fee payable (Note 3)

   

3,481

   

Unrealized depreciation on open swap contracts (Note 2)

   

605,970

   

Payable for Fund shares redeemed

   

55,484

   

Trustees' fee payable

   

7,691

   

Due to custodian for foreign currency at value (Cost $337)

   

333

   

Accrued expenses

   

143,353

   

Total liabilities

   

1,143,736

   

Net Assets

 

Capital stock, $.001 par value (Note 6)

   

21,920

   

Paid-in capital (Note 6)

   

224,411,392

   

Total distributable earnings (loss)

   

(16,649,768

)

 

Net assets

 

$

207,783,544

   

I Shares

 

Net assets

 

$

199,264,699

   

Shares outstanding

   

21,005,755

   

Net asset value, offering price and redemption price per share

 

$

9.49

   

A Shares

 

Net assets

 

$

8,498,382

   

Shares outstanding

   

912,038

   

Net asset value and redemption price per share

 

$

9.32

   

Maximum offering price per share (net asset value/(1-4.75%))

 

$

9.78

   

C Shares

 

Net assets

 

$

20,463

   

Shares outstanding

   

2,360

   

Net asset value and offering price per share

 

$

8.67

   

See Accompanying Notes to Consolidated Financial Statements.
11


Credit Suisse Managed Futures Strategy Fund
Consolidated Statement of Operations

For the Six Months Ended April 30, 2024 (unaudited)

Investment Income

 

Interest

 

$

5,219,298

   

Total investment income

   

5,219,298

   

Expenses

 

Investment advisory fees (Note 3)

   

1,078,615

   

Administrative services fees (Note 3)

   

23,540

   

Shareholder servicing/Distribution fees (Note 3)

 

Class A

   

10,111

   

Class C

   

126

   

Transfer agent fees

   

175,427

   

Trustees' fees

   

42,576

   

Registration fees

   

35,034

   

Printing fees

   

34,867

   

Audit and tax fees

   

29,211

   

Custodian fees

   

23,405

   

Legal fees

   

20,429

   

Commitment fees (Note 4)

   

10,065

   

Insurance expense

   

6,569

   

Miscellaneous expense

   

5,413

   

Total expenses

   

1,495,388

   

Less: fees waived and expenses reimbursed (Note 3)

   

(136,883

)

 

Net expenses

   

1,358,505

   

Net investment income

   

3,860,793

   
Net Realized and Unrealized Gain (Loss) from Investments, Futures Contracts,
Swap Contracts and Foreign Currency
 

Net realized loss from investments

   

(45,503

)

 

Net realized loss from futures contracts

   

(4,434,870

)

 

Net realized gain from swap contracts

   

896,804

   

Net realized gain from foreign currency transactions

   

11,727

   

Net change in unrealized appreciation (depreciation) from investments

   

58,908

   

Net change in unrealized appreciation (depreciation) from futures contracts

   

(3,164,718

)

 

Net change in unrealized appreciation (depreciation) from swap contracts

   

1,342,014

   

Net change in unrealized appreciation (depreciation) from foreign currency translations

   

33,450

   
Net realized and unrealized loss from investments, futures contracts, swap contracts
and foreign currency transactions
   

(5,302,188

)

 

Net decrease in net assets resulting from operations

 

$

(1,441,395

)

 

See Accompanying Notes to Consolidated Financial Statements.
12



Credit Suisse Managed Futures Strategy Fund
Consolidated Statements of Changes in Net Assets

    For the Six Months
Ended
April 30, 2024
(unaudited)
  For the Year
Ended
October 31, 2023
 

From Operations

 

Net investment income

 

$

3,860,793

   

$

8,806,352

   
Net realized loss from investments, futures contracts,
swap contracts and foreign currency transactions
   

(3,571,842

)

   

(33,937,885

)

 
Net change in unrealized appreciation (depreciation)
from investments, futures contracts, swap contracts
and foreign currency translations
   

(1,730,346

)

   

(4,577,508

)

 

Net decrease in net assets resulting from operations

   

(1,441,395

)

   

(29,709,041

)

 

From Distributions

 

From distributable earnings

 

Class I

   

(1,016,487

)

   

(65,142,642

)

 

Class A

   

(22,549

)

   

(3,766,377

)

 

Class C

   

     

(109,416

)

 

Net decrease in net assets resulting from distributions

   

(1,039,036

)

   

(69,018,435

)

 
From Capital Share Transactions (Note 6)  

Proceeds from sale of shares

   

40,656,964

     

99,232,556

   

Reinvestment of distributions

   

980,257

     

66,170,622

   

Net asset value of shares redeemed

   

(88,707,444

)

   

(272,315,569

)

 

Net decrease in net assets from capital share transactions

   

(47,070,223

)

   

(106,912,391

)

 

Net decrease in net assets

   

(49,550,654

)

   

(205,639,867

)

 

Net Assets

 

Beginning of period

   

257,334,198

     

462,974,065

   

End of period

 

$

207,783,544

   

$

257,334,198

   

See Accompanying Notes to Consolidated Financial Statements.
13


Credit Suisse Managed Futures Strategy Fund
Consolidated Financial Highlights

(For a Class I Share of the Fund Outstanding Throughout Each Period)

    For the Six
Months Ended
April 30, 2024
 

For the Year Ended October 31,

 
   

(unaudited)

 

2023

 

2022

 

2021

 

2020

 

2019

 

Per share data

 

Net asset value, beginning of period

 

$

9.53

   

$

12.31

   

$

11.05

   

$

9.26

   

$

9.94

   

$

9.79

   

INVESTMENT OPERATIONS

 

Net investment income (loss)1

   

0.17

     

0.28

     

(0.06

)

   

(0.13

)

   

(0.03

)

   

0.04

   
Net gain (loss) from investments,
futures contracts, swap contracts
and foreign currency transactions
(both realized and unrealized)
   

(0.16

)

   

(1.19

)

   

2.18

     

1.92

     

(0.48

)

   

0.11

   

Total from investment operations

   

0.01

     

(0.91

)

   

2.12

     

1.79

     

(0.51

)

   

0.15

   

LESS DIVIDENDS AND DISTRIBUTIONS

 

Dividends from net investment income

   

(0.05

)

   

(0.45

)

   

(0.86

)

   

     

(0.17

)

   

   

Distributions from net realized gains

   

     

(1.42

)

   

     

     

     

   

Total dividends and distributions

   

(0.05

)

   

(1.87

)

   

(0.86

)

   

     

(0.17

)

   

   

Net asset value, end of period

 

$

9.49

   

$

9.53

   

$

12.31

   

$

11.05

   

$

9.26

   

$

9.94

   

Total return2

   

0.10

%

   

(7.92

)%

   

21.09

%

   

19.33

%

   

(5.22

)%

   

1.53

%

 

RATIOS AND SUPPLEMENTAL DATA

 

Net assets, end of period (000s omitted)

 

$

199,265

   

$

247,916

   

$

434,818

   

$

382,293

   

$

282,365

   

$

318,590

   
Ratio of net expenses to average
net assets
   

1.30

%3

   

1.30

%

   

1.30

%

   

1.30

%

   

1.30

%

   

1.30

%

 
Ratio of net investment income (loss)
to average net assets
   

3.73

%3

   

2.76

%

   

(0.52

)%

   

(1.28

)%

   

(0.34

)%

   

0.42

%

 
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements
   

0.13

%3

   

0.02

%

   

%

   

0.02

%

   

0.05

%

   

0.02

%

 

Portfolio turnover rate4

   

%

   

%

   

%

   

%

   

%

   

%

 

1  ​Per share information is calculated using the average shares outstanding method.

2  ​Total returns are historical and include change in share price and reinvestment of all distributions. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.

3  ​Annualized.

4  ​Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

See Accompanying Notes to Consolidated Financial Statements.
14


Credit Suisse Managed Futures Strategy Fund
Consolidated Financial Highlights

(For a Class A Share of the Fund Outstanding Throughout Each Period)

    For the Six
Months Ended
April 30, 2024
 

For the Year Ended October 31,

 
   

(unaudited)

 

2023

 

2022

 

2021

 

2020

 

2019

 

Per share data

 

Net asset value, beginning of period

 

$

9.35

   

$

12.11

   

$

10.88

   

$

9.14

   

$

9.82

   

$

9.69

   

INVESTMENT OPERATIONS

 

Net investment income (loss)1

   

0.16

     

0.24

     

(0.08

)

   

(0.16

)

   

(0.05

)

   

0.01

   
Net gain (loss) from investments,
futures contracts, swap contracts
and foreign currency transactions
(both realized and unrealized)
   

(0.17

)

   

(1.16

)

   

2.14

     

1.90

     

(0.49

)

   

0.12

   

Total from investment operations

   

(0.01

)

   

(0.92

)

   

2.06

     

1.74

     

(0.54

)

   

0.13

   

LESS DIVIDENDS AND DISTRIBUTIONS

 

Dividends from net investment income

   

(0.02

)

   

(0.42

)

   

(0.83

)

   

     

(0.14

)

   

   

Distributions from net realized gains

   

     

(1.42

)

   

     

     

     

   

Total dividends and distributions

   

(0.02

)

   

(1.84

)

   

(0.83

)

   

     

(0.14

)

   

   

Net asset value, end of period

 

$

9.32

   

$

9.35

   

$

12.11

   

$

10.88

   

$

9.14

   

$

9.82

   

Total return2

   

(0.05

)%

   

(8.15

)%

   

20.83

%

   

19.04

%

   

(5.53

)%

   

1.34

%

 

RATIOS AND SUPPLEMENTAL DATA

 

Net assets, end of period (000s omitted)

 

$

8,498

   

$

9,350

   

$

27,406

   

$

15,682

   

$

12,506

   

$

24,234

   
Ratio of net expenses to average
net assets
   

1.55

%3

   

1.55

%

   

1.55

%

   

1.55

%

   

1.55

%

   

1.55

%

 
Ratio of net investment income (loss)
to average net assets
   

3.47

%3

   

2.45

%

   

(0.68

)%

   

(1.53

)%

   

(0.51

)%

   

0.14

%

 
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements
   

0.13

%3

   

0.02

%

   

%

   

0.02

%

   

0.05

%

   

0.02

%

 

Portfolio turnover rate4

   

%

   

%

   

%

   

%

   

%

   

%

 

1  ​Per share information is calculated using the average shares outstanding method.

2  ​Total returns are historical and include change in share price, reinvestment of all distributions and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.

3  ​Annualized.

4  ​Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

See Accompanying Notes to Consolidated Financial Statements.
15


Credit Suisse Managed Futures Strategy Fund
Consolidated Financial Highlights

(For a Class C Share of the Fund Outstanding Throughout Each Period)

    For the Six
Months Ended
April 30, 2024
 

For the Year Ended October 31,

 
   

(unaudited)

 

2023

 

2022

 

2021

 

2020

 

2019

 

Per share data

 

Net asset value, beginning of period

 

$

8.71

   

$

11.39

   

$

10.28

   

$

8.70

   

$

9.351

   

$

9.29

   

INVESTMENT OPERATIONS

 

Net investment income (loss)2

   

0.12

     

0.17

     

(0.16

)

   

(0.22

)

   

(0.14

)

   

(0.06

)

 
Net gain (loss) from investments,
futures contracts, swap contracts
and foreign currency transactions
(both realized and unrealized)
   

(0.16

)

   

(1.10

)

   

2.02

     

1.80

     

(0.44

)

   

0.12

   

Total from investment operations

   

(0.04

)

   

(0.93

)

   

1.86

     

1.58

     

(0.58

)

   

0.06

   

LESS DIVIDENDS AND DISTRIBUTIONS

 

Dividends from net investment income

   

     

(0.33

)

   

(0.75

)

   

     

(0.07

)

   

   

Distributions from net realized gains

   

     

(1.42

)

   

     

     

     

   

Total dividends and distributions

   

     

(1.75

)

   

(0.75

)

   

     

(0.07

)

   

   

Net asset value, end of period

 

$

8.67

   

$

8.71

   

$

11.39

   

$

10.28

   

$

8.70

   

$

9.351

   

Total return3

   

(0.46

)%

   

(8.80

)%

   

19.83

%

   

18.16

%

   

(6.24

)%

   

0.65

%

 

RATIOS AND SUPPLEMENTAL DATA

 

Net assets, end of period (000s omitted)

 

$

20

   

$

68

   

$

750

   

$

820

   

$

880

   

$

324

   
Ratio of net expenses to average
net assets
   

2.30

%4

   

2.30

%

   

2.30

%

   

2.30

%

   

2.30

%

   

2.30

%

 
Ratio of net investment income (loss)
to average net assets
   

2.76

%4

   

1.81

%

   

(1.52

)%

   

(2.28

)%

   

(1.56

)%

   

(0.64

)%

 
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements
   

0.13

%4

   

0.02

%

   

%

   

0.02

%

   

0.05

%

   

0.02

%

 

Portfolio turnover rate5

   

%

   

%

   

%

   

%

   

%

   

%

 

1  ​Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon net asset values may differ from the net asset values and returns for shareholder transactions.

2  ​Per share information is calculated using the average shares outstanding method.

3  ​Total returns are historical and include change in share price, reinvestment of all distributions and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.

4  ​Annualized.

5  ​Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

See Accompanying Notes to Consolidated Financial Statements.
16


Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements

April 30, 2024 (unaudited)

Note 1. Organization

Credit Suisse Managed Futures Strategy Fund (the "Fund"), a series of Credit Suisse Opportunity Funds (the "Trust"), a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a non-diversified open-end management investment company that seeks to achieve investment results that correspond generally to the risk and return patterns of managed futures funds. The Trust was organized under the laws of the State of Delaware as a business trust on May 31, 1995.

Credit Suisse Asset Management, LLC ("Credit Suisse" or the "Adviser"), an investment adviser registered with the Securities and Exchange Commission ("SEC") and as a Commodity Pool Operator with the Commodity Futures Trading Commission, was the investment adviser to the Fund during the six months ended April 30, 2024. The Fund seeks to achieve its investment objective by investing directly and/or indirectly through the Credit Suisse Cayman Managed Futures Strategy Fund, Ltd. (the "Subsidiary"), a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands, in a combination of securities and derivative instruments. The Subsidiary invests in commodity-linked derivative instruments, such as swaps and futures, as well as other types of futures, swaps and options. The Subsidiary may also invest in debt securities, some of which are intended to serve as margin or collateral for the Subsidiary's derivatives positions.

The Subsidiary is managed by the same portfolio managers that manage the Fund and the accompanying financial statements reflect the financial position of the Fund and the Subsidiary and the results of operations on a consolidated basis. The consolidated financial statements include portfolio holdings of the Fund and the Subsidiary and all intercompany transactions and balances have been eliminated. The Fund may invest up to 25% of its total assets in the Subsidiary. As of April 30, 2024, the Fund held $37,682,055 in the Subsidiary, representing 18.1% of the Fund's consolidated net assets. For the six months ended April 30, 2024, the net realized gain on securities and other financial instruments held in the Subsidiary was $888,453.

Subsequent references to the Fund within the Notes to Consolidated Financial Statements collectively refer to the Fund and the Subsidiary, unless the context otherwise requires.

The Fund offers three classes of shares: Class I shares, Class A shares and Class C shares. Each class of shares represents an equal pro rata interest in the Fund, except the share classes bear different expenses. Class A shares are sold subject to a front-end sales charge of up to 5.25%. Class C shares are sold subject


17


Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 1. Organization (continued)

to a contingent deferred sales charge ("CDSC") of 1.00% if the shares are redeemed within the first year of purchase. Class I shares are sold without a sales charge. Effective June 30, 2021, Class C shares, upon the eight year anniversary of purchase, will convert to Class A shares.

Note 2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its consolidated financial statements. The policies are in accordance with generally accepted accounting principles in the United States of America ("GAAP"). The preparation of consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the consolidated financial statements. Actual results could differ from those estimates. The Fund is considered an investment company for financial reporting purposes under GAAP and follows the accounting and reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 — Financial Services — Investment Companies.

A) 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 the Adviser, who has established a Pricing Committee and a Pricing Group, which, pursuant to the policies adopted by the Board, are responsible for making fair valuation determinations and overseeing the Fund's pricing policies. The net asset value ("NAV") 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


18


Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Over the counter derivative financial instruments, such as swap agreements, generally derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. Investments in open-ended mutual funds are valued at the NAV as reported on each business day and under normal circumstances. Securities for which market quotations are not readily available are valued at their fair value as determined in good faith by the Adviser, as the Board's valuation designee (as defined in Rule 2a-5 under the 1940 Act), in accordance with the Adviser's procedures. The Board oversees the Adviser in its role as valuation designee in accordance with the requirements of Rule 2a-5 under the 1940 Act. The Fund may utilize a service provided by an independent third party to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its NAV 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 Adviser to be unreliable, the market price may be determined by the 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 NAV, these securities will be fair valued in good faith by the Pricing Group, in accordance with procedures established by the Adviser.

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


19


Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

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 April 30, 2024 in valuing the Fund's assets and liabilities carried at fair value:

Assets

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Investments in Securities

 

United States Treasury Obligations

 

$

   

$

154,227,603

   

$

   

$

154,227,603

   

Short-term Investments

   

22,427,932

     

     

     

22,427,932

   
   

$

22,427,932

   

$

154,227,603

   

$

   

$

176,655,535

   

Other Financial Instruments*

 

Futures Contracts

 

$

7,351,599

   

$

   

$

   

$

7,351,599

   

Swap Contracts

   

     

1,782,353

     

     

1,782,353

   
   

$

7,351,599

   

$

1,782,353

   

$

   

$

9,133,952

   

Liabilities

                 

Other Financial Instruments*

 

Futures Contracts

 

$

2,468,389

   

$

   

$

   

$

2,468,389

   

Swap Contracts

   

     

605,970

     

     

605,970

   
   

$

2,468,389

   

$

605,970

   

$

   

$

3,074,359

   

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

For the six months ended April 30, 2024, 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.

B) DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES — The Fund has adopted a derivatives risk management program pursuant to Rule 18f-4 under the 1940 Act in order to assess and manage the Fund's derivatives risk, taking into account the Fund's derivatives transactions and how these transactions interact with the Fund's other investments. Because the Fund engages in derivatives transactions beyond a certain amount in order


20


Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

to pursue its investment objectives and policies, the Fund is required to comply with value at risk ("VaR") based limits on its leverage risk. The Fund adopted amendments to authoritative guidance on disclosures about derivative instruments and hedging activities which require that a fund disclose (a) how and why an entity uses derivative instruments, (b) how derivative instruments and hedging activities are accounted for and (c) how derivative instruments and related hedging activities affect a fund's financial position, financial performance and cash flows. For the six months ended April 30, 2024, the Fund's derivatives did not qualify for hedge accounting as they are held at fair value.

The following table presents the fair value and the location of derivatives within the Consolidated Statement of Assets and Liabilities at April 30, 2024 and the effect of these derivatives on the Consolidated Statement of Operations for the six months ended April 30, 2024.

Primary Underlying Risk

  Derivative
Assets(1)
  Derivative
Liabilities(1)
  Realized Gain
(Loss)
  Net Change in Unrealized
Appreciation (Depreciation)
 

Foreign currency exchange rate

 

Futures contracts(2)

 

$

3,389,932

   

$

634,687

   

$

(6,388,493

)

 

$

(1,776,558

)

 

Index Contracts

 

Futures contracts(2)

   

1,756,653

     

1,660,992

     

6,689,972

     

189,059

   

Swap contracts

   

1,782,353

     

605,970

     

896,804

     

1,342,014

   

Interest rate

 

Futures contracts(2)

   

2,205,014

     

172,710

     

(4,736,349

)

   

(1,577,219

)

 

Total

 

$

9,133,952

   

$

3,074,359

   

$

(3,538,066

)

 

$

(1,822,704

)

 

(1)​  Generally, the balance sheet location for asset derivatives is receivables/net unrealized appreciation (depreciation) and for liability derivatives is payables/net unrealized appreciation (depreciation).

(2)​  Includes cumulative appreciation (depreciation) of futures contracts as reported in the Consolidated Schedule of Investments. Only variation margin is reported within the receivables and/or payables on the Consolidated Statement of Assets and Liabilities.

The notional amount of futures contracts and swap contracts open at April 30, 2024 is reflected in the Consolidated Schedule of Investments. For the six months ended April 30, 2024, the Fund held average monthly notional values of $244,205,844, $264,927,037 and $58,584,028 in long futures contracts, short futures contracts and swap contracts, respectively.

The Fund is a party to International Swap and Derivatives Association, Inc. ("ISDA") Master Agreements ("Master Agreements") with certain counterparties that govern over-the-counter derivative (including total return, credit default and interest rate swaps) and foreign exchange contracts entered into by the Fund. The Master Agreements may contain provisions regarding,


21


Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. Termination events applicable to the Fund may occur upon a decline in the Fund's net assets below a specified threshold over a certain period of time.

The following table presents by counterparty the Fund's derivative assets, net of related collateral held by the Fund, at April 30, 2024:

Counterparty

  Gross Amount of
Derivative
Assets Presented in
the Consolidated
Statement of Assets
and Liabilities(a)
  Financial
Instruments
and Derivatives
Available for Offset
  Non-Cash
Collateral
Received
  Cash
Collateral
Received(b)
  Net Amount
of Derivative
Assets
 

Bank of America

 

$

93,290

   

$

   

$

   

$

   

$

93,290

   

Goldman Sachs

   

1,689,063

     

(605,970

)

   

     

     

1,083,093

   
   

$

1,782,353

   

$

(605,970

)

 

$

   

$

   

$

1,176,383

   

The following table presents by counterparty the Fund's derivative liabilities, net of related collateral pledged by the Fund, at April 30, 2024:

Counterparty

  Gross Amount of
Derivative
Liabilities Presented in
the Consolidated
Statement of Assets
and Liabilities(a)
  Financial
Instruments
and Derivatives
Available for Offset
  Non-Cash
Collateral
Pledged
  Cash
Collateral
Pledged(b)
  Net Amount
of Derivative
Liabilities
 

Goldman Sachs

 

$

605,970

   

$

(605,970

)

 

$

   

$

   

$

   

(a)​  Swap contracts are included.

(b)​  The actual collateral pledged may be more than the amounts shown.

C) SECURITY TRANSACTIONS AND INVESTMENT INCOME/EXPENSE — Security transactions are accounted for on a trade date basis. Interest income/expense is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Dividend income/expense is recorded on the ex-dividend date. Certain expenses are class-specific expenses, vary by class and are charged only to that class. Income, expenses (excluding class-specific expenses) and realized/unrealized gains/losses are allocated proportionately to each class of shares based upon the relative NAV of the outstanding shares of that class. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest


22


Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

income accruals and consider the realizability of interest accrued up to the date of default or credit event.

D) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income, if any, are declared and paid quarterly. Distributions of net realized capital gains, if any, are declared and paid at least annually. However, to the extent that a net realized capital gain can be reduced by a capital loss carryforward, such gain will not be distributed. Dividends and distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations, which may differ from GAAP.

E) FEDERAL AND OTHER TAXES — No provision is made for federal taxes as it is the Fund's intention to continue to qualify as a regulated investment company ("RIC") under the Internal Revenue Code of 1986, as amended (the "Code"), and to make the requisite distributions to its shareholders, which will be sufficient to relieve it from federal income and excise taxes.

In order to qualify as a RIC under the Code, the Fund must meet certain requirements regarding the source of its income, the diversification of its assets and the distribution of its income. One of these requirements is that the Fund derive at least 90% of its gross income for each taxable year from dividends, interest, payments with respect to certain securities loans, gains from the sale or other disposition of stock, securities or foreign currencies, other income derived with respect to its business of investing in such stock, securities or currencies or net income derived from interests in certain publicly-traded partnerships ("Qualifying Income"). The Internal Revenue Service ("IRS") has issued a ruling that income realized from certain types of commodity-linked derivatives would not be Qualifying Income. As a result, the Fund's ability to realize income from investments in such commodity-linked derivatives as part of its investment strategy would be limited to a maximum of 10% of its gross income.

If the Fund is unable to ensure continued qualification as a RIC, the Fund may be required to change its investment objective, policies or techniques, or may be liquidated. If the Fund fails to qualify as a RIC, the Fund will be subject to federal income tax on its net income and capital gains at regular corporate rates (without reduction for distributions to shareholders). If the Fund were to fail to qualify as a RIC and become subject to federal income tax, shareholders of the Fund would be subject to the risk of diminished returns.


23


Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

The Fund adopted the authoritative guidance for uncertainty in income taxes and recognizes a tax benefit or liability from an uncertain position only if it is more likely than not that the position is sustainable based solely on its technical merits and consideration of the relevant taxing authority's widely understood administrative practices and procedures. The Fund has reviewed its current tax positions and has determined that no provision for income tax is required in the Fund's financial statements. The Fund's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the IRS and state departments of revenue.

F) CASH — The Fund's uninvested cash balance is held in an interest bearing variable rate demand deposit account at State Street Bank and Trust Company ("SSB"), the Fund's custodian.

G) FUTURES — The Fund may enter into futures contracts to the extent permitted by its investment policies and objectives. The Fund may use futures contracts to gain exposure to or hedge against changes in interest rates, equity and market price movements and/or currency risks. Upon entering into a futures contract, the Fund is required to deposit cash and/or pledge U.S. Government securities as initial margin with a Futures Commission Merchant ("FCM"). Subsequent payments, which are dependent on the daily fluctuations in the value of the underlying instrument, are made or received by the Fund each day (daily variation margin) and are recorded as unrealized gains or losses in the Consolidated Statement of Operations until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund's basis in the contract. Risks of entering into futures contracts for hedging purposes include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. Futures have minimal counterparty credit risk because futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. In addition, the purchase of a futures contract involves the risk that the Fund could lose more than the original margin deposit and subsequent payments may be required for a futures transaction. The Fund's open futures contracts are disclosed in the Consolidated Schedule of Investments. At April 30, 2024, the amount of restricted cash held at brokers related to open futures contracts was $26,670,970.


24


Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM's proprietary activities. A customer's cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM's segregation requirements. In the event of an FCM's insolvency, recovery may be limited to the Fund's pro-rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited.

H) SWAPS — The Fund may enter into swap contracts either for hedging purposes or to seek to increase total return. A swap contract is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset or notional principal amount. The Fund will enter into swap contracts only on a net basis, which means that the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments. Risks may arise as a result of the failure of the counterparty to the swap contract to comply with the terms of the swap contract. The extent of the Fund's exposure to credit and counterparty risks is the discounted net value of the cash flows to be received from the counterparty over the contract's remaining life, to the extent that the amount is positive. These risks are mitigated by having a master netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund's exposure to the counterparty. Therefore, the Fund considers the creditworthiness of each counterparty as well as the amounts posted by the counterparty pursuant to the master netting agreement to a swap contract in evaluating potential credit risk. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying reference asset or index.

The Fund may enter into total return swap contracts, involving commitments to pay interest in exchange for a market-linked return, both based on notional amounts. The Fund may invest in total return swap contracts for hedging purposes or to seek to increase total return. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty.

The Fund records unrealized gains or losses on a daily basis representing the value and the current net receivable or payable relating to open swap contracts. Net amounts received or paid on the swap contract are recorded as


25


Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

realized gains or losses. Fluctuations in the value of swap contracts are recorded for financial statement purposes as unrealized appreciation or depreciation from swap contracts. Realized gains and losses from terminated swaps are included in net realized gains/losses from swap contracts. The Fund's open swap contracts are disclosed in the Consolidated Schedule of Investments. At April 30, 2024, the amount of restricted cash held at brokers related to open swap contracts was $1,790,905.

I) SECURITIES LENDING — The initial collateral received by the Fund is required to have a value of at least 102% of the market value of domestic securities on loan (including any accrued interest thereon) and 105% of the market value of foreign securities on loan (including any accrued interest thereon). The collateral is maintained thereafter at a value equal to at least 102% of the current market value of the securities on loan. The market value of loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day. Cash collateral received by the Fund in connection with securities lending activity may be pooled together with cash collateral for other funds/portfolios advised by Credit Suisse and may be invested in a variety of investments, including funds advised by SSB, the Fund's securities lending agent, or money market instruments. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. SSB has been engaged by the Fund to act as the Fund's securities lending agent. The Fund's securities lending arrangement provides that the Fund and SSB will share the net income earned from securities lending activities. Securities lending income is accrued as earned. At April 30, 2024 and for the six months ended April 30, 2024, there were no securities out on loan.

J) OTHER — In the normal course of business, the Fund trades financial instruments and enters into financial transactions for which risk of potential loss exists due to changes in the market (market risk) or failure of the other party to a transaction to perform (credit risk). Similar to credit risk, the Fund may be exposed to counterparty risk, including with respect to securities lending, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. The potential loss could exceed the value of the financial assets recorded in the consolidated financial statements. Financial assets, which potentially expose the Fund to credit risk, consist principally of cash due from counterparties and investments. The extent of the Fund's exposure to credit and counterparty risks in respect to these financial


26


Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

assets approximates their carrying value as recorded in the Fund's Consolidated Statement of Assets and Liabilities.

Note 3. Transactions with Affiliates and Related Parties

Credit Suisse served as investment adviser and co-administrator for the Fund during the six months ended April 30, 2024. For its investment advisory and administration services, Credit Suisse is entitled to receive a fee from the Fund at an annualized rate of 1.04% of the Fund's average daily net assets. For the six months ended April 30, 2024, investment advisory and administration fees earned and fees waived/expenses reimbursed by Credit Suisse were $1,078,615 and $136,883, respectively. Credit Suisse has contractually agreed to limit expenses so that the Fund's annual operating expenses do not exceed 1.30% of the Fund's average daily net assets for Class I shares, 1.55% of the Fund's average daily net assets for Class A shares, and 2.30% of the Fund's average daily net assets for Class C shares. The Fund is authorized to reimburse Credit Suisse for management fees previously waived and/or for expenses previously paid by Credit Suisse, provided, however, that any reimbursement must be paid at a date not more than thirty-six months following the applicable month during which such fees were waived or expenses were paid by Credit Suisse and the reimbursement does not cause the applicable class's aggregate expenses, on an annualized basis, to exceed either (i) the applicable expense limitation in effect at the time such fees were waived or such expenses were paid by Credit Suisse or (ii) the applicable expense limitation in effect at the time of such reimbursement. This contract may not be terminated before February 28, 2025. For the six months ended April 30, 2024, there was no recoupment.

The amounts waived and reimbursed by Credit Suisse, which are available for potential future recoupment by Credit Suisse, and the expiration schedule at April 30, 2024 are as follows:

    Fee waivers/expense
reimbursements
subject to
recoupment
  Expires
October 31,
2024
  Expires
October 31,
2025
  Expires
October 31,
2026
  Expires
October 31
2027
 

Class I

 

$

332,552

   

$

66,980

   

$

22,762

   

$

111,307

   

$

131,503

   

Class A

   

15,590

     

2,749

     

1,439

     

6,038

     

5,364

   

Class C

   

471

     

167

     

47

     

241

     

16

   

Totals

 

$

348,613

   

$

69,896

   

$

24,248

   

$

117,586

   

$

136,883

   


27


Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 3. Transactions with Affiliates and Related Parties (continued)

Credit Suisse Securities (USA) LLC ("CSSU"), an affiliate of Credit Suisse, served as the distributor of the Fund's shares during the six months ended April 30, 2024. Pursuant to a distribution plan adopted by the Fund pursuant to Rule 12b-1 under the 1940 Act, CSSU receives fees for its distribution services. These fees are calculated at an annual rate of 0.25% of the average daily net assets of the Class A shares. For the Class C shares, the fee is calculated at an annual rate of 1.00% of the average daily net assets. For the six months ended April 30, 2024, the Fund paid Rule 12b-1 distribution fees of $10,111 for Class A shares and $126 for Class C shares. Class I shares are not subject to Rule 12b-1 distribution fees.

Note 4. Line of Credit

The Fund, together with other funds/portfolios advised by Credit Suisse (collectively, the "Participating Funds"), participates in a committed, unsecured line of credit facility ("Credit Facility"), with SSB in an aggregated amount of $125 million for temporary or emergency purposes under a first-come, first-served basis. Under the terms of the Credit Facility, the Participating Funds pay an aggregate commitment fee on the average unused amount of the Credit Facility, which is allocated among the Participating Funds in such manner as is determined by the governing boards of the Participating Funds. In addition, the Participating Funds pay interest on borrowings at either the Federal Funds Effective rate or the Overnight Bank Funding rate plus a spread. At April 30, 2024 and for the six months ended April 30, 2024, the Fund had no borrowings outstanding under the Credit Facility.

Note 5. Purchases and Sales of Securities

For the six months ended April 30, 2024, purchases and sales of investment securities (excluding short-term investments) and U.S. Government and Agency Obligations were as follows:

Investment Securities

  U.S. Government/
Agency Obligations
 
Purchases  

Sales

 

Purchases

 

Sales

 
$

0

   

$

0

   

$

0

   

$

0

   

Note 6. Capital Share Transactions

The Fund is authorized to issue an unlimited number of full and fractional shares of beneficial interest, $0.001 par value per share. The Fund offers Class I,


28


Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 6. Capital Share Transactions (continued)

Class A and Class C shares. Transactions in capital shares for each class of the Fund were as follows:

   

Class I

 
    For the Six Months Ended
April 30, 2024 (unaudited)
  For the Year Ended
October 31, 2023
 
   

Shares

 

Value

 

Shares

 

Value

 

Shares sold

   

4,155,158

   

$

38,405,196

     

9,444,889

   

$

93,693,073

   
Shares issued in reinvestment
of distributions
   

103,640

     

958,672

     

6,324,027

     

62,418,151

   

Shares redeemed

   

(9,266,058

)

   

(85,589,342

)

   

(25,069,492

)

   

(250,095,598

)

 

Net decrease

   

(5,007,260

)

 

$

(46,225,474

)

   

(9,300,576

)

 

$

(93,984,374

)

 
   

Class A

 
    For the Six Months Ended
April 30, 2024 (unaudited)
  For the Year Ended
October 31, 2023
 
   

Shares

 

Value

 

Shares

 

Value

 

Shares sold

   

229,975

   

$

2,085,559

     

534,738

   

$

5,472,987

   
Shares issued in reinvestment
of distributions
   

2,375

     

21,585

     

375,660

     

3,643,900

   

Shares redeemed

   

(320,294

)

   

(2,906,856

)

   

(2,173,693

)

   

(21,538,722

)

 

Net decrease

   

(87,944

)

 

$

(799,712

)

   

(1,263,295

)

 

$

(12,421,835

)

 
   

Class C

 
    For the Six Months Ended
April 30, 2024 (unaudited)
  For the Year Ended
October 31, 2023
 
   

Shares

 

Value

 

Shares

 

Value

 

Shares sold

   

19,834

   

$

166,209

     

7,301

   

$

66,497

   
Shares issued in reinvestment
of distributions
   

     

     

11,944

     

108,570

   

Shares redeemed

   

(25,279

)

   

(211,246

)

   

(77,219

)

   

(681,249

)

 

Net decrease

   

(5,445

)

 

$

(45,037

)

   

(57,974

)

 

$

(506,182

)

 

On April 30, 2024, the number of shareholders that held 5% or more of the outstanding shares of each class of the Fund was as follows:

    Number of
Shareholders
  Approximate Percentage
of Outstanding Shares
 

Class I

   

4

     

88

%

 

Class A

   

1

     

71

%

 

Class C

   

3

     

100

%

 

The Fund's performance may be negatively impacted in the event one or more of the Fund's greater than 5% shareholders were to redeem at a given time. Some of the shareholders may be omnibus accounts, which hold shares on behalf of individual shareholders.


29


Credit Suisse Managed Futures Strategy Fund
Notes to Consolidated Financial Statements (continued)

April 30, 2024 (unaudited)

Note 7. Contingencies

In the normal course of business, the Fund may provide general indemnifications pursuant to certain contracts and organizational documents. The Fund's maximum exposure under these arrangements is dependent on future claims that may be made against the Fund and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote.

Note 8. Subsequent Events

On May 1, 2024, Credit Suisse Asset Management, LLC ("Credit Suisse") merged into UBS Asset Management (Americas) LLC ("UBS AM (Americas)"), with UBS AM (Americas) as the surviving entity, and UBS AM (Americas) became the investment manager to the Fund. Also on May 1, 2024, UBS Asset Management (US) Inc. replaced CSSU as the Fund's underwriter and distributor.


30



Credit Suisse Managed Futures Strategy Fund
Change in Independent Registered Public Accounting Firm
(unaudited)

On April 23, 2024, the Fund's Board approved the dismissal of PricewaterhouseCoopers LLP ("PwC") as the independent registered public accounting firm for the Fund, due to PwC's ceasing to be deemed an independent registered public accounting firm with respect to the Fund after April 30, 2024. The Board's decision to approve the dismissal of PwC was recommended by the Audit Committee of the Board. PwC's reports on the Fund's financial statements for the fiscal periods ended October 31, 2023 and October 31, 2022 contained no adverse opinion or disclaimer of opinion nor were they qualified or modified as to uncertainty, audit scope or accounting principle. During the Fund's fiscal periods ended October 31, 2023 and October 31, 2022 and the subsequent interim period through April 23, 2024, (i) there were no disagreements with PwC on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of PwC, would have caused them to make reference to the subject matter of the disagreements in connection with their reports on the Fund's financial statements for such periods, and (ii) there were no "reportable events" of the kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended.

Upon the recommendation of the Audit Committee of the Fund's Board, the Fund's Board approved the engagement of Ernst & Young LLP ("EY") as the Fund's independent registered public accounting firm for the fiscal year ending October 31, 2024. During the Fund's fiscal periods ended October 31, 2023 and October 31, 2022 and the subsequent interim period through June 19, 2024, neither the Fund, nor anyone on its behalf, consulted with EY on items which: (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Fund's financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(v) of said Item 304).


31



Credit Suisse Managed Futures Strategy Fund
Liquidity Risk Management Program
(unaudited)

The Fund has adopted and implemented a written liquidity risk management program (the "Liquidity Program") in accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended. The Liquidity Program seeks to assess and manage the Fund's liquidity risk, i.e., the risk that the Fund is unable to satisfy redemption requests without significantly diluting remaining investors' interests in the Fund. The Board has designated the Fund's investment adviser to administer the Liquidity Program (the "Program Administrator") Prior to May 1, 2024, Credit Suisse Asset Management, LLC served as Program Administrator. Effective May 1, 2024, UBS Asset Management (Americas) LLC serves as the Program Administrator. Certain aspects of the Liquidity Program rely on third parties to perform certain functions, including the provision of market data and application of models.

Under the Liquidity Program, the Program Administrator assesses, manages and periodically reviews the Fund's liquidity risk and classifies each investment held by the Fund as a "highly liquid investment," "moderately liquid investment," "less liquid investment" or "illiquid investment." The liquidity of the Fund's portfolio investments is determined based on relevant market, trading and investment-specific considerations under the Liquidity Program.

During the six months ended April 30, 2024, the Trust's Board received reports from the Program Administrator that included information to address the operations of the Liquidity Program and assess its adequacy and effectiveness of implementation during the period covered by the reports. The reports indicated that the Liquidity Program is reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the reporting period.

There can be no assurance that the Liquidity Program will achieve its objectives under all circumstances in the future. Please refer to the Fund's prospectus for more information regarding the Fund's exposure to illiquidity risk and other risks to which it may be subject.


32



Credit Suisse Managed Futures Strategy Fund
Notice of Privacy and Information Practices
(unaudited)

At UBS AM (Americas), we know that you are concerned with how we protect and handle nonpublic personal information that identifies you. This notice is designed to help you understand what nonpublic personal information we collect from you and from other sources, and how we use that information in connection with your investments and investment choices that may be available to you. Except where otherwise noted, this notice is applicable only to consumers who are current or former investors, meaning individual persons whose investments are primarily for household, family or personal use ("individual investors"). Specified sections of this notice, however, also apply to other types of investors (called "institutional investors"). Where the notice applies to institutional investors, the notice expressly states so. This notice is being provided by Credit Suisse Funds and Credit Suisse Closed-End Funds. This notice applies solely to U.S. registered investment companies advised by UBS AM (Americas).

Categories of information we may collect:

We may collect information about you, including nonpublic personal information, such as

•  Information we receive from you on applications, forms, agreements, questionnaires, Credit Suisse websites and other websites that are part of our investment program, or in the course of establishing or maintaining a customer relationship, such as your name, address, e-mail address, Social Security number, assets, income, financial situation; and

•  Information we obtain from your transactions and experiences with us, our affiliates, or others, such as your account balances or other investment information, assets purchased and sold, and other parties to a transaction, where applicable.

Categories of information we disclose and parties to whom we disclose it:

•  We do not disclose nonpublic personal information about our individual investors, except as permitted or required by law or regulation. Whether you are an individual investor or institutional investor, we may share the information described above with our affiliates that perform services on our behalf, and with our asset management and private banking affiliates; as well as with unaffiliated third parties that perform services on our behalf, such as our accountants, auditors, attorneys, broker-dealers, fund administrators, and other service providers.


33



Credit Suisse Managed Futures Strategy Fund
Notice of Privacy and Information Practices
(unaudited) (continued)

•  We want our investors to be informed about additional products or services. We do not disclose nonpublic personal information relating to individual investors to our affiliates for marketing purposes, nor do we use such information received from our affiliates to solicit individual investors for such purposes. Whether you are an individual investor or an institutional investor, we may disclose information, including nonpublic personal information, regarding our transactions and experiences with you to our affiliates.

•  In addition, whether you are an individual investor or an institutional investor, we reserve the right to disclose information, including nonpublic personal information, about you to any person or entity, including without limitation any governmental agency, regulatory authority or self-regulatory organization having jurisdiction over us or our affiliates, if (i) we determine in our discretion that such disclosure is necessary or advisable pursuant to or in connection with any United States federal, state or local, or non-U.S., court order (or other legal process), law, rule, regulation, or executive order or policy, including without limitation any anti-money laundering law or the USA PATRIOT Act of 2001; and (ii) such disclosure is not otherwise prohibited by law, rule, regulation, or executive order or policy.

Confidentiality and security

•  To protect nonpublic personal information about individual investors, we restrict access to those employees and agents who need to know that information to provide products or services to us and to our investors. We maintain physical, electronic, and procedural safeguards to protect nonpublic personal information.

Other Disclosures

This notice is not intended to be incorporated in any offering materials, but is a statement of our current Notice of Privacy and Information Practices and may be amended from time to time. This notice is current as of May 14, 2024.


34



Credit Suisse Managed Futures Strategy Fund
Proxy Voting and Portfolio Holdings Information
(unaudited)

Information regarding how the Fund voted proxies related to its portfolio securities during the 12-month period ended June 30 of each year, as well as the policies and procedures that the Fund uses to determine how to vote proxies relating to its portfolio securities are available:

•  By calling 1-877-870-2874

•  On the Fund's website, www.credit-suisse.com/us/funds

•  On the website of the Securities and Exchange Commission, www.sec.gov

The Fund files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund's Forms N-PORT and N-Q are available on the SEC's website at www.sec.gov.


35


P.O. BOX 219916, KANSAS CITY, MO 64121-9916

877-870-2874 www.credit-suisse.com/us/funds

UBS Asset Management (US) Inc., DISTRIBUTOR.  MFS-SAR-0424


CREDIT SUISSE FUNDS

Semiannual Report

April 30, 2024
  (unaudited)

  CREDIT SUISSE
STRATEGIC INCOME FUND


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. You may obtain additional copies by calling 877-870-2874 or by visiting our website at www.credit-suisse.com/us/funds.

Credit Suisse Securities (USA) LLC, the Distributor for the six months ended April 30, 2024, is located at Eleven Madison Avenue, New York, NY 10010. UBS Asset Management (US) Inc. became the new distributor as of May 1, 2024. The Credit Suisse Funds were advised by Credit Suisse Asset Management, LLC for the six months ended April 30, 2024. UBS Asset Management (Americas) LLC became the investment manager on May 1, 2024 pursuant an internal merger between Credit Suisse Asset Management LLC and UBS Asset Management (Americas) LLC.

Investors in the Credit Suisse Funds should be aware that they may be eligible to purchase Class I shares (where offered) directly or through certain intermediaries. Such shares are not subject to a sales charge. Investors in the Credit Suisse Funds should also be aware that they may be eligible for a reduction or waiver of the sales charge with respect to Class A or C shares (where offered). For more information, please review the relevant prospectuses or consult your financial representative.

Fund shares are not deposits or other obligations of UBS Asset Management (Americas) LLC or any affiliate, are not FDIC-insured and are not guaranteed by UBS Asset Management (Americas) LLC or any affiliate. Fund investments are subject to investment risks, including loss of your investment.


Credit Suisse Strategic Income Fund
Semiannual Investment Adviser's Report
April 30, 2024 (unaudited)

April 30, 2024

Dear Shareholder:

We are pleased to present this Semiannual Report covering the activities of the Credit Suisse Strategic Income Fund (the "Fund") for the six-month period ended April 30, 2024 (the "Period").

Performance Summary
11/1/2023 – 04/30/24

Fund & Benchmark

 

Performance

 
Class I1    

8.21

%

 
Class A1,2    

8.08

%

 
Class C1,2    

7.68

%

 
ICE BofA 3-Month US Treasury Bill Index3    

2.66

%

 

Performance shown for the Fund's Class A and Class C Shares does not reflect sales charges, which are a maximum of 4.75% and 1.00%, respectively.2

1  ​Fee waivers and/or expense reimbursements reduce expenses for the Fund, without which performance would be lower. Voluntary waivers and /or expense reimbursements may be discontinued at any time.

2  ​Total return for the Fund's Class A shares for the reporting period, based on offering price (including maximum sales charge of 4.75%), was 2.98%. Total return for the Fund's Class C shares for the reporting period, based on redemption value including maximum contingent deferred sales charge ("CDSC") of 1.00%), was 6.68%.

3  ​The ICE BofA 3-Month US Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond 3 months from the rebalancing date. The index does not have transaction costs and investors may not invest directly in the index. The index was previously known as the BofA Merrill Lynch 3-Month US Treasury Bill Index.

Market Review: A Positive Period for Loans and High Yield Assets

The Period was positive for the high yield and loan markets. For the Period, the ICE BofA US High Yield Constrained Index returned 8.96%, while the Credit Suisse Leveraged Loan Index registered a return of 6.13%. In comparison, the Fund's benchmark, the ICE BofA US 3-Month Treasury Index (the "Index"), returned 2.66%.

Default activity has trended below longer-term averages to outperform expectations for the Period. According to JP Morgan, the default rate (including distressed exchanges) ended the Period at 2.33%, which is up slightly over the last twelve months, though down 52 basis points since the end of 2023. The par-weighted default rate in loans ended April at 2.94%. There was an uptick in distressed exchange activity, predominantly in the leveraged loan markets.


1


Credit Suisse Strategic Income Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2024 (unaudited)

In general, however, open capital markets, especially the burgeoning private credit asset class, have enabled lower-than-expected defaults.

Strategic Review and Outlook: Optimism Tempered with Mindfulness

For the Period, all share classes of the Fund outperformed the Index. Within the Fund, returns from the high yield, bank loan, and collateralized loan obligation ("CLO") asset classes contributed positively to returns — with high yield making the largest contribution of 8.96%. From a sector perspective, technology, financials, and metals/minerals made the greatest contributions to returns, while no sector detracted. Ratings-wise, B-rated positions were the largest contributors to returns during the Period.

Demand for leveraged loans and high yield bonds exceeds supply given the current low net issuance volume coupled with elevated cash balances. The fundamentals of high yield issuers remain sound, and we do not anticipate a material increase in distressed activity this year. Looking forward, we are mindful of rising geopolitical tensions in the Middle East, a continuing conflict in Ukraine, and slowly evolving cracks in commercial real estate markets.

The health of issuer balance sheets gives us comfort amid the uncertainty, and the high yield asset class potentially offers a unique opportunity through improved carry return and price upside potential. Focus will continue to be on credit selection to capture opportunities, as the impacts of higher capital costs and other risks spread throughout the global economy.

The Credit Suisse Credit Investments Group

John G. Popp
Andrew H. Marshak
Louis I. Farano
Wing Chan
David Mechlin
Joshua Shedroff

Senior secured floating rate loans ("Senior Loans") typically hold the most senior position in the issuer's capital structure. Senior Loans are subject to the risk that a court could subordinate a Senior Loan to presently existing or future indebtedness or take other action detrimental to the holders of Senior Loans.


2


Credit Suisse Strategic Income Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2024 (unaudited)

High yield bonds are bonds rated below BBB- by S&P or Baa3 by Moody's that are also known as "junk bonds." Such bonds entail greater risks than those found in higher- rated securities.

CLOs are subject to the risk of substantial losses due to actual defaults, decrease of market value due to collateral defaults and disappearance of subordinate tranches, market anticipation of defaults, and investor aversion to CLO securities as a class. The risks of CLOs depend largely on the type of the underlying loans and the tranche of CLOs in which the Fund invests. In addition, CLOs carry risks including interest rate risk and credit risk.

Additional principal risk factors for the Fund include below investment grade securities risk, collateralized loan obligation risk, conflict of interest risk, convertible securities risk, credit risk, derivatives risk, extension risk, foreign securities risk, futures contracts risk, hedged exposure risk, illiquidity risk, interest rate risk, market risk, mortgage- and asset-backed securities risk, prepayment risk, senior loans risk, short position risk, U.S. government securities risk and valuation risk. Before you invest, please make sure you understand the risks that apply to the Fund. As with any mutual fund, you could lose money over any period of time. Investments in the Fund are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any government agency. For a detailed discussion of these and other risks, please refer to the Fund's Prospectus, which should be read carefully before investing.

In addition to historical information, this report contains forward-looking statements, which may concern, among other things, domestic and foreign markets, industry and economic trends and developments and government regulation, and their potential impact on the Fund's investments. These statements are subject to risks and uncertainties and actual trends, developments and regulations in the future, and their impact on the Fund, could be materially different from those projected, anticipated or implied. The Fund has no obligation to update or revise forward-looking statements.

The views of the Fund's management are as of the date of this letter and the Fund holdings described in this document are as of April 30, 2024; these views and Fund holdings may have changed subsequent to these dates. Nothing in this document is a recommendation to purchase or sell securities.


3


Credit Suisse Strategic Income Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2024 (unaudited)

Average Annual Returns as of April 30, 20241

   

6 Months

 

1 Year

 

5 Years

 

10 Years

 

Class I

   

8.21

%

   

11.21

%

   

4.75

%

   

4.97

%

 

Class A Without Sales Charge

   

8.08

%

   

10.93

%

   

4.47

%

   

4.70

%

 
Class A With Maximum Sales
Charge
   

2.98

%

   

5.66

%

   

3.46

%

   

4.19

%

 

Class C Without CDSC

   

7.68

%

   

9.99

%

   

3.69

%

   

3.92

%

 

Class C With CDSC

   

6.68

%

   

8.99

%

   

3.69

%

   

3.92

%

 

Returns represent past performance and include change in share price and reinvestment of dividends, capital gains, and return of capital distributions, if any. Past performance cannot guarantee future results. The current performance of the Fund may be lower or higher than the figures shown. Returns and share price will fluctuate, and redemption value may be more or less than original cost. The performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance information current to the most recent month end is available at www.credit-suisse.com/us/funds.

The annual gross expense ratios as in the February 28, 2024 Prospectus are 1.10% for Class I shares, 1.35% for Class A shares and 2.10% for Class C shares. The annual net expense ratios after fee waivers and/or expense reimbursements as in the February 28, 2024 Prospectus are 0.79% for Class I shares, 1.04% for Class A shares and 1.79% for Class C shares.

1​  Fee waivers and/or expense reimbursements reduce expenses for the Fund, without which performance would be lower. Effective November 12, 2019, the Fund entered into a written contract to limit expenses to 0.79% of the Fund's average daily net assets for Class I shares, 1.04% of the Fund's average daily net assets for Class A shares and 1.79% of the Fund's average daily net assets for Class C shares through at least February 28, 2025. This limit excludes certain expenses, as set forth in the Fund's Prospectus.


4


Credit Suisse Strategic Income Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2024 (unaudited)

Information About Your Fund's Expenses

As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees, distribution and service (12b-1) fees and other Fund expenses. Examples of transaction costs include sales charges (loads), redemption fees and account maintenance fees, which are not shown in this section and which would result in higher total expenses. The following table is intended to help you understand your ongoing expenses of investing in the Fund and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. The table is based on an investment of $1,000 made at the beginning of the six months ended April 30, 2024.

The table illustrates your Fund's expenses in two ways:

•  Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses paid on a $1,000 investment in the Fund using the Fund's actual return during the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the "Expenses Paid per $1,000" line.

•  Hypothetical 5% Fund Return. This helps you to compare the Fund's ongoing expenses with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.

Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. If these transaction costs had been included, your costs would have been higher. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expenses of owning different funds.


5


Credit Suisse Strategic Income Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2024 (unaudited)

Expenses and Value for a $1,000 Investment
for the six-month period ended April 30, 2024

Actual Fund Return

 

Class I

 

Class A

 

Class C

 

Beginning Account Value 11/01/23

 

$

1,000.00

   

$

1,000.00

   

$

1,000.00

   

Ending Account Value 04/30/24

 

$

1,082.10

   

$

1,080.80

   

$

1,076.80

   

Expenses Paid per $1,000*

 

$

4.09

   

$

5.38

   

$

9.24

   

Hypothetical 5% Fund Return

 

Beginning Account Value 11/01/23

 

$

1,000.00

   

$

1,000.00

   

$

1,000.00

   

Ending Account Value 04/30/24

 

$

1,020.93

   

$

1,019.69

   

$

1,015.96

   

Expenses Paid per $1,000*

 

$

3.97

   

$

5.22

   

$

8.97

   
   

Class I

 

Class A

 

Class C

 

Annualized Expense Ratios*

   

0.79

%

   

1.04

%

   

1.79

%

 

*  Expenses are equal to the Fund's annualized expense ratio for each share class, multiplied by the average account value over the period, multiplied by 182/366 to reflect the one-half year period.

  The "Expenses Paid per $1,000" and the "Annualized Expense Ratios" in the tables are based on actual expenses paid by the Fund during the period, net of fee waivers and/or actual expense reimbursements, if applicable. If those fee waivers and/or expense reimbursements had not been in effect, the Fund's actual expenses would have been higher. Expenses do not reflect additional charges and expenses that are, or may be, imposed under the variable contracts or plans. Such charges and expenses are described in the prospectus of the insurance company separate account or in the plan documents or other informational materials supplied by plan sponsors. The Fund's expenses should be considered with these charges and expenses in evaluating the overall cost of investing in the separate account.

For more information, please refer to the Fund's Prospectus.


6


Credit Suisse Strategic Income Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2024 (unaudited)

Credit Quality Breakdown*

(% of Total Investments as of April 30, 2024)

S&P Ratings**

     

A

   

0.1

%

 

BBB

   

2.3

   

BB

   

30.7

   

B

   

42.0

   

CCC

   

8.9

   

D

   

0.01

   

NR

   

4.4

   

Subtotal

   

88.4

   

Equity and Other

   

11.6

   

Total

   

100.0

%

 

*  Expressed as a percentage of total investments (excluding securities lending collateral, if applicable) and may vary over time.

**  Credit Quality is based on ratings provided by the S&P Global Ratings Division of S&P Global Inc. ("S&P"). S&P is a main provider of ratings for credit assets classes and is widely used amongst industry participants. The NR category consists of securities that have not been rated by S&P.

1  This amount represents less than 0.1%.

Derivatives are not reflected in amounts reported above.


7


Credit Suisse Strategic Income Fund
Schedule of Investments

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
CORPORATE BONDS (39.9%)      
Aerospace & Defense (0.3%)      

$

489

    Bombardier, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 02/01/26 @ 103.75)(1),(2)
 

(B, B2)

 

02/01/29

   

7.500

   

$

500,642

   
 

750

    TransDigm, Inc., Rule 144A,
Senior Secured Notes
(Callable 03/01/26 @ 103.19)(1)
 

(B+, Ba3)

 

03/01/29

   

6.375

     

746,733

   
 

750

    TransDigm, Inc., Rule 144A,
Senior Secured Notes
(Callable 03/01/27 @ 103.31)(1)
 

(B+, Ba3)

 

03/01/32

   

6.625

     

749,333

   
     

1,996,708

   
Air Transportation (0.1%)      
 

800

    AAR Escrow Issuer LLC, Rule 144A,
Company Guaranteed Notes
(Callable 03/15/26 @ 103.38)(1)
 

(BB, Ba2)

 

03/15/29

   

6.750

     

805,371

   
Auto Parts & Equipment (0.9%)      
 

250

    Adient Global Holdings Ltd., Rule 144A,
Senior Secured Notes
(Callable 04/15/25 @ 103.50)(1)
 

(BBB-, Ba2)

 

04/15/28

   

7.000

     

252,800

   
 

1,500

    Clarios Global LP/Clarios U.S. Finance Co.,
Rule 144A, Company Guaranteed Notes
(Callable 05/31/24 @ 100.00)(1)
 

(B-, B3)

 

05/15/27

   

8.500

     

1,500,744

   
 

2,250

    Phinia, Inc., Rule 144A,
Senior Secured Notes
(Callable 04/15/26 @ 103.38)(1)
 

(BB+, Ba1)

 

04/15/29

   

6.750

     

2,260,604

   
 

1,000

    TI Automotive Finance PLC, Rule 144A,
Company Guaranteed Notes
(Callable 05/30/24 @ 101.88)(1),(3)
 

(BB, B3)

 

04/15/29

   

3.750

     

988,794

   
     

5,002,942

   
Automakers (0.0%)      
 

250

    Winnebago Industries, Inc., Rule 144A,
Senior Secured Notes
(Callable 05/31/24 @ 103.13)(1)
 

(BB+, Ba3)

 

07/15/28

   

6.250

     

244,909

   
Brokerage (0.8%)      
 

1,500

    StoneX Group, Inc., Rule 144A,
Senior Secured Notes
(Callable 05/31/24 @ 102.16)(1)
 

(BB-, Ba3)

 

06/15/25

   

8.625

     

1,504,955

   
 

3,250

    StoneX Group, Inc., Rule 144A,
Senior Secured Notes
(Callable 03/01/27 @ 103.94)(1)
 

(BB-, Ba3)

 

03/01/31

   

7.875

     

3,293,693

   
     

4,798,648

   

See Accompanying Notes to Financial Statements.
8


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
CORPORATE BONDS (continued)      
Building & Construction (0.7%)      

$

2,000

    Pike Corp., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/24 @ 102.75)(1)
 

(B-, B3)

 

09/01/28

   

5.500

   

$

1,899,370

   
 

1,200

    Pike Corp., Rule 144A,
Senior Unsecured Notes
(Callable 01/31/27 @ 104.31)(1)
 

(B-, B3)

 

01/31/31

   

8.625

     

1,258,812

   
 

1,100

    TopBuild Corp., Rule 144A,
Company Guaranteed Notes
(Callable 10/15/26 @ 102.06)(1)
 

(BB+, Ba2)

 

02/15/32

   

4.125

     

953,381

   
     

4,111,563

   
Building Materials (3.0%)      
 

1,500

    Advanced Drainage Systems, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 07/15/25 @ 103.19)(1)
 

(BB-, Ba2)

 

06/15/30

   

6.375

     

1,489,795

   
 

1,750

    American Builders & Contractors
Supply Co., Inc., Rule 144A,
Senior Secured Notes
(Callable 05/31/24 @ 101.00)(1)
 

(BB+, Ba2)

 

01/15/28

   

4.000

     

1,621,856

   
 

500

    Builders FirstSource, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 06/15/27 @ 103.19)(1)
 

(BB-, Ba2)

 

06/15/32

   

6.375

     

495,105

   
 

756

    Camelot Return Merger Sub, Inc.,
Rule 144A, Senior Secured Notes
(Callable 08/01/24 @ 106.56)(1)
 

(B, B2)

 

08/01/28

   

8.750

     

744,722

   
 

1,500

    Eco Material Technologies, Inc.,
Rule 144A, Senior Secured Notes
(Callable 05/31/24 @ 103.94)(1)
 

(B, B2)

 

01/31/27

   

7.875

     

1,514,687

   
 

1,690

    Foundation Building Materials, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 05/31/24 @ 103.00)(1)
 

(CCC+, Caa1)

 

03/01/29

   

6.000

     

1,489,406

   
 

3,830

    Interface, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/16/24 @ 102.75)(1)
 

(B+, B1)

 

12/01/28

   

5.500

     

3,601,521

   
 

1,828

    Masonite International Corp., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/24 @ 101.34)(1)
 

(BB+, Ba2)

 

02/01/28

   

5.375

     

1,844,187

   
 

500

    Masonite International Corp., Rule 144A,
Company Guaranteed Notes
(Callable 08/15/29 @ 100.00)(1)
 

(BB+, Ba2)

 

02/15/30

   

3.500

     

438,636

   
 

1,940

    Miter Brands Acquisition Holdco, Inc./
MIWD Borrower LLC, Rule 144A,
Senior Secured Notes
(Callable 04/01/27 @ 103.38)(1)
 

(BB-, B1)

 

04/01/32

   

6.750

     

1,931,515

   

See Accompanying Notes to Financial Statements.
9


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
CORPORATE BONDS (continued)      
Building Materials (continued)      

$

1,369

    MIWD Holdco II LLC/MIWD Finance Corp.,
Rule 144A, Company Guaranteed Notes
(Callable 02/01/25 @ 102.75)(1)
 

(B-, B3)

 

02/01/30

   

5.500

   

$

1,240,655

   
 

500

    Oscar AcquisitionCo LLC/Oscar Finance,
Inc., Rule 144A, Senior Unsecured Notes
(Callable 04/15/25 @ 104.75)(1)
 

(CCC+, Caa1)

 

04/15/30

   

9.500

     

481,778

   
 

750

    Summit Materials LLC/Summit Materials
Finance Corp., Rule 144A,
Company Guaranteed Notes
(Callable 01/15/27 @ 103.63)(1)
 

(BB+, Ba3)

 

01/15/31

   

7.250

     

771,239

   
     

17,665,102

   
Cable & Satellite TV (1.0%)      
 

2,500

    Altice Financing SA, Rule 144A,
Senior Secured Notes
(Callable 05/31/24 @ 101.25)(1)
 

(B, B3)

 

01/15/28

   

5.000

     

1,974,878

   
 

300

    CSC Holdings LLC, Rule 144A,
Company Guaranteed Notes
(Callable 11/15/26 @ 102.25)(1)
 

(B-, B2)

 

11/15/31

   

4.500

     

190,649

   
 

500

    CSC Holdings LLC, Rule 144A,
Senior Unsecured Notes
(Callable 01/15/25 @ 102.88)(1)
 

(CCC, Caa2)

 

01/15/30

   

5.750

     

219,998

   
 

1,530

    Sunrise FinCo I BV, Rule 144A,
Senior Secured Notes
(Callable 07/15/26 @ 102.44)(1)
 

(BB-, B1)

 

07/15/31

   

4.875

     

1,331,398

   
 

2,400

    Telenet Finance Luxembourg Notes SARL,
Rule 144A, Senior Secured Notes
(Callable 05/13/24 @ 101.38)(1)
 

(BB-, B1)

 

03/01/28

   

5.500

     

2,261,400

   
     

5,978,323

   
Chemicals (2.3%)      
 

250

    Avient Corp., Rule 144A,
Senior Unsecured Notes
(Callable 05/31/24 @ 100.00)(1)
 

(BB-, Ba3)

 

05/15/25

   

5.750

     

249,074

   
 

750

    Avient Corp., Rule 144A,
Senior Unsecured Notes
(Callable 08/01/25 @ 103.56)(1)
 

(BB-, Ba3)

 

08/01/30

   

7.125

     

759,632

   
 

500

    Axalta Coating Systems Dutch
Holding B BV, Rule 144A,
Company Guaranteed Notes
(Callable 11/15/26 @ 103.63)(1)
 

(BB-, Ba3)

 

02/15/31

   

7.250

     

511,006

   
 

1,250

    Darling Ingredients, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 06/15/25 @ 103.00)(1)
 

(BB+, Ba2)

 

06/15/30

   

6.000

     

1,215,281

   
 

2,843

    HB Fuller Co., Global
Senior Unsecured Notes
(Callable 05/31/24 @ 102.13)
 

(BB-, Ba3)

 

10/15/28

   

4.250

     

2,624,120

   

See Accompanying Notes to Financial Statements.
10


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
CORPORATE BONDS (continued)      
Chemicals (continued)      

$

500

    Herens Holdco SARL, Rule 144A,
Senior Secured Notes
(Callable 05/31/24 @ 102.38)(1)
 

(B-, B2)

 

05/15/28

   

4.750

   

$

432,113

   
 

1,400

    INEOS Finance PLC, Rule 144A,
Senior Secured Notes
(Callable 02/15/25 @ 103.38)(1)
 

(BB, Ba3)

 

05/15/28

   

6.750

     

1,377,572

   
 

500

    INEOS Quattro Finance 2 PLC, Rule 144A,
Senior Secured Notes
(Callable 11/15/25 @ 104.81)(1),(2)
 

(BB, Ba3)

 

03/15/29

   

9.625

     

528,843

   
 

3,550

    Polar U.S. Borrower LLC/Schenectady
International Group, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 05/31/24 @ 101.69)(1)
 

(CCC-, Caa3)

 

05/15/26

   

6.750

     

944,850

   
 

2,000

    Tronox, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/24 @ 102.31)(1)
 

(BB-, B1)

 

03/15/29

   

4.625

     

1,786,144

   
 

3,000

    Vibrantz Technologies, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 02/15/25 @ 104.50)(1),(2)
 

(CCC+, Caa2)

 

02/15/30

   

9.000

     

2,789,943

   
 

427

    WR Grace Holdings LLC, Rule 144A,
Senior Secured Notes
(Callable 03/01/26 @ 103.69)(1)
 

(B-, B1)

 

03/01/31

   

7.375

     

433,337

   
     

13,651,915

   
Consumer/Commercial/Lease Financing (0.4%)      
 

2,750

    Cargo Aircraft Management, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 05/16/24 @ 101.19)(1)
 

(BB, Ba2)

 

02/01/28

   

4.750

     

2,489,038

   
Diversified Capital Goods (0.6%)      
 

2,746

    Atkore, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 06/01/26 @ 102.13)(1)
 

(BB+, Ba2)

 

06/01/31

   

4.250

     

2,415,246

   
 

1,000

    EnerSys, Rule 144A,
Company Guaranteed Notes
(Callable 01/15/27 @ 103.31)(1)
 

(BB+, Ba3)

 

01/15/32

   

6.625

     

997,125

   
     

3,412,371

   
Electronics (0.2%)      
 

1,000

    Entegris, Inc., Rule 144A,
Senior Secured Notes
(Callable 01/15/29 @ 100.00)(1)
 

(BB, Baa3)

 

04/15/29

   

4.750

     

943,964

   
 

535

    ON Semiconductor Corp., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/24 @ 101.94)(1)
 

(BB, Ba2)

 

09/01/28

   

3.875

     

485,958

   
     

1,429,922

   

See Accompanying Notes to Financial Statements.
11


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
CORPORATE BONDS (continued)      
Energy - Exploration & Production (1.6%)      

$

500

    Civitas Resources, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 07/01/25 @ 104.19)(1)
 

(BB-, B1)

 

07/01/28

   

8.375

   

$

522,207

   
 

500

    Civitas Resources, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 07/01/26 @ 104.38)(1)
 

(BB-, B1)

 

07/01/31

   

8.750

     

530,986

   
 

3,750

    CNX Midstream Partners LP, Rule 144A,
Company Guaranteed Notes
(Callable 04/15/25 @ 102.38)(1)
 

(BB, B1)

 

04/15/30

   

4.750

     

3,320,553

   
 

3,075

    CQP Holdco LP/BIP-V Chinook Holdco LLC,
Rule 144A, Senior Secured Notes
(Callable 12/15/28 @ 103.75)(1)
 

(BB, B1)

 

12/15/33

   

7.500

     

3,096,915

   
 

250

    Matador Resources Co., Rule 144A,
Company Guaranteed Notes
(Callable 04/15/25 @ 103.44)(1)
 

(BB-, B1)

 

04/15/28

   

6.875

     

252,142

   
 

1,000

    Northern Oil & Gas, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 05/31/24 @ 104.06)(1)
 

(B+, B2)

 

03/01/28

   

8.125

     

1,015,786

   
 

500

    Northern Oil & Gas, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 06/15/26 @ 104.38)(1)
 

(B+, B2)

 

06/15/31

   

8.750

     

526,960

   
     

9,265,549

   
Environmental (0.3%)      
 

250

    Clean Harbors, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 02/01/26 @ 103.19)(1)
 

(BB+, Ba3)

 

02/01/31

   

6.375

     

247,911

   
 

1,200

    GFL Environmental, Inc., Rule 144A,
Senior Secured Notes
(Callable 01/15/27 @ 103.38)(1)
 

(BB, Ba3)

 

01/15/31

   

6.750

     

1,210,236

   
     

1,458,147

   
Food - Wholesale (0.2%)      
 

666

    U.S. Foods, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 09/15/25 @ 103.44)(1)
 

(BB-, B2)

 

09/15/28

   

6.875

     

672,464

   
 

684

    U.S. Foods, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 09/15/26 @ 103.63)(1)
 

(BB-, B2)

 

01/15/32

   

7.250

     

699,392

   
     

1,371,856

   
Gaming (0.3%)      
 

400

    Boyd Gaming Corp., Rule 144A,
Company Guaranteed Notes
(Callable 06/15/26 @ 102.38)(1)
 

(BB, B1)

 

06/15/31

   

4.750

     

354,507

   

See Accompanying Notes to Financial Statements.
12


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
CORPORATE BONDS (continued)      
Gaming (continued)      

$

500

    Caesars Entertainment, Inc., Rule 144A,
Senior Secured Notes
(Callable 02/15/26 @ 103.50)(1)
 

(BB-, Ba3)

 

02/15/30

   

7.000

   

$

503,328

   
 

1,000

    Caesars Entertainment, Inc., Rule 144A,
Senior Secured Notes
(Callable 02/15/27 @ 103.25)(1)
 

(BB-, Ba3)

 

02/15/32

   

6.500

     

986,429

   
     

1,844,264

   
Gas Distribution (1.4%)      
 

625

    Genesis Energy LP/Genesis Energy
Finance Corp., Global
Company Guaranteed Notes
(Callable 04/15/26 @ 104.44)
 

(B, B3)

 

04/15/30

   

8.875

     

647,699

   
 

550

    Global Partners LP/GLP Finance Corp.,
Rule 144A, Company Guaranteed Notes
(Callable 01/15/27 @ 104.13)(1)
 

(B+, B2)

 

01/15/32

   

8.250

     

565,222

   
 

750

    Hess Midstream Operations LP, Rule 144A,
Company Guaranteed Notes
(Callable 10/15/25 @ 102.75)(1)
 

(BB+, Ba2)

 

10/15/30

   

5.500

     

717,968

   
 

2,034

    New Fortress Energy, Inc., Rule 144A,
Senior Secured Notes
(Callable 05/31/24 @ 101.63)(1)
 

(BB-, B1)

 

09/30/26

   

6.500

     

1,949,312

   
 

2,500

    Rockies Express Pipeline LLC, Rule 144A,
Senior Unsecured Notes
(Callable 04/15/29 @ 100.00)(1)
 

(BB+, Ba2)

 

07/15/29

   

4.950

     

2,312,374

   
 

1,250

    Rockies Express Pipeline LLC, Rule 144A,
Senior Unsecured Notes
(Callable 02/15/30 @ 100.00)(1)
 

(BB+, Ba2)

 

05/15/30

   

4.800

     

1,127,196

   
 

1,000

    Tallgrass Energy Partners LP/Tallgrass
Energy Finance Corp., Rule 144A,
Senior Unsecured Notes
(Callable 02/15/26 @ 103.69)(1)
 

(BB-, B1)

 

02/15/29

   

7.375

     

1,002,015

   
     

8,321,786

   
Health Facility (0.4%)      
 

2,560

    Option Care Health, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 10/31/24 @ 102.19)(1)
 

(B, B2)

 

10/31/29

   

4.375

     

2,295,016

   
Health Services (0.5%)      
 

975

    AMN Healthcare, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/24 @ 101.16)(1)
 

(BB-, Ba3)

 

10/01/27

   

4.625

     

916,920

   
 

1,360

    AMN Healthcare, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/13/24 @ 102.00)(1)
 

(BB-, Ba3)

 

04/15/29

   

4.000

     

1,206,669

   

See Accompanying Notes to Financial Statements.
13


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
CORPORATE BONDS (continued)      
Health Services (continued)      

$

750

    Pediatrix Medical Group, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 02/15/25 @ 102.69)(1)
 

(BB-, Ba3)

 

02/15/30

   

5.375

   

$

656,996

   
     

2,780,585

   
Hotels (0.3%)      
 

160

    Hilton Domestic Operating Co., Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 04/01/26 @ 102.94)(1)
 

(BB+, Ba2)

 

04/01/29

   

5.875

     

158,000

   
 

400

    Raising Cane's Restaurants LLC, Rule 144A,
Senior Unsecured Notes
(Callable 11/01/25 @ 104.69)(1)
 

(B, B3)

 

05/01/29

   

9.375

     

429,577

   
 

1,325

    RHP Hotel Properties LP/RHP
Finance Corp., Rule 144A,
Company Guaranteed Notes
(Callable 04/01/27 @ 103.25)(1)
 

(BB-, B1)

 

04/01/32

   

6.500

     

1,299,970

   
     

1,887,547

   
Insurance Brokerage (1.2%)      
 

850

    Alliant Holdings Intermediate LLC/
Alliant Holdings Co-Issuer, Rule 144A,
Senior Secured Notes
(Callable 04/15/25 @ 103.38)(1)
 

(B, B2)

 

04/15/28

   

6.750

     

847,831

   
 

1,085

    Alliant Holdings Intermediate LLC/
Alliant Holdings Co-Issuer, Rule 144A,
Senior Secured Notes
(Callable 01/15/27 @ 103.50)(1)
 

(B, B2)

 

01/15/31

   

7.000

     

1,090,945

   
 

750

    GTCR AP Finance, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 05/31/24 @ 100.00)(1)
 

(CCC+, Caa2)

 

05/15/27

   

8.000

     

750,986

   
 

2,300

    Jones Deslauriers Insurance
Management, Inc., Rule 144A,
Senior Secured Notes
(Callable 03/15/26 @ 104.25)(1)
 

(B-, B2)

 

03/15/30

   

8.500

     

2,366,900

   
 

1,200

    Jones Deslauriers Insurance
Management, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 12/15/25 @ 105.25)(1)
 

(CCC, Caa2)

 

12/15/30

   

10.500

     

1,271,390

   
 

647

    Ryan Specialty LLC, Rule 144A,
Senior Secured Notes
(Callable 02/01/25 @ 102.19)(1)
 

(BB-, B1)

 

02/01/30

   

4.375

     

594,181

   
     

6,922,233

   
Investments & Misc. Financial Services (2.9%)      
 

4,250

    Armor Holdco, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 11/15/24 @ 104.25)(1)
 

(CCC+, Caa1)

 

11/15/29

   

8.500

     

3,957,807

   

See Accompanying Notes to Financial Statements.
14


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
CORPORATE BONDS (continued)      
Investments & Misc. Financial Services (continued)      

$

3,500

    Boost Newco Borrower LLC, Rule 144A,
Senior Secured Notes
(Callable 01/15/27 @ 103.75)(1)
 

(BB, Ba3)

 

01/15/31

   

7.500

   

$

3,615,065

   
 

1,000

    Compass Group Diversified Holdings LLC,
Rule 144A, Company Guaranteed Notes
(Callable 05/31/24 @ 102.63)(1)
 

(B+, B1)

 

04/15/29

   

5.250

     

936,868

   
 

3,275

    Compass Group Diversified Holdings LLC,
Rule 144A, Senior Unsecured Notes
(Callable 01/15/27 @ 102.50)(1)
 

(B+, B1)

 

01/15/32

   

5.000

     

2,902,261

   
 

776

    Jane Street Group/JSG Finance, Inc.,
Rule 144A, Senior Secured Notes
(Callable 11/15/24 @ 102.25)(1),(2)
 

(BB, Ba2)

 

11/15/29

   

4.500

     

706,345

   
 

1,500

    Jane Street Group/JSG Finance, Inc.,
Rule 144A, Senior Secured Notes
(Callable 04/30/27 @ 103.56)(1)
 

(BB, Ba2)

 

04/30/31

   

7.125

     

1,512,214

   
 

1,400

    Paysafe Finance PLC/Paysafe Holdings
U.S. Corp., Rule 144A,
Senior Secured Notes
(Callable 06/15/24 @ 102.00)(1),(2)
 

(B, B2)

 

06/15/29

   

4.000

     

1,232,186

   
 

2,650

    Shift4 Payments LLC/Shift4 Payments
Finance Sub, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/24 @ 101.16)(1)
 

(NR, Ba3)

 

11/01/26

   

4.625

     

2,553,997

   
     

17,416,743

   
Life Insurance (0.3%)      
 

2,000

    Panther Escrow Issuer LLC, Rule 144A,
Senior Secured Notes
(Callable 06/01/27 @ 103.56)(1)
 

(B, B2)

 

06/01/31

   

7.125

     

2,011,970

   
Machinery (2.1%)      
 

3,476

    Arcosa, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/24 @ 102.19)(1)
 

(BB, Ba2)

 

04/15/29

   

4.375

     

3,168,016

   
 

4,325

    ATS Corp., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/24 @ 102.06)(1)
 

(BB, B2)

 

12/15/28

   

4.125

     

3,888,974

   
 

2,200

    Dornoch Debt Merger Sub, Inc.,
Rule 144A, Senior Unsecured Notes
(Callable 10/15/24 @ 103.31)(1)
 

(CCC, Caa2)

 

10/15/29

   

6.625

     

1,819,646

   
 

963

    Enviri Corp., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/24 @ 101.44)(1)
 

(B, B3)

 

07/31/27

   

5.750

     

901,947

   
 

250

    Hillenbrand, Inc., Global
Company Guaranteed Notes
(Callable 05/13/24 @ 101.44)
 

(BB+, Ba1)

 

06/15/25

   

5.750

     

248,111

   

See Accompanying Notes to Financial Statements.
15


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
CORPORATE BONDS (continued)      
Machinery (continued)      

$

1,500

    Hillenbrand, Inc., Global
Company Guaranteed Notes
(Callable 02/15/26 @ 103.13)
 

(BB+, Ba1)

 

02/15/29

   

6.250

   

$

1,493,187

   
 

500

    Hillenbrand, Inc., Global
Company Guaranteed Notes
(Callable 03/01/26 @ 101.88)
 

(BB+, Ba1)

 

03/01/31

   

3.750

     

428,551

   
 

319

    Regal Rexnord Corp., Rule 144A,
Company Guaranteed Notes
(Callable 01/15/33 @ 100.00)(1)
 

(BB+, Baa3)

 

04/15/33

   

6.400

     

321,695

   
     

12,270,127

   
Managed Care (0.2%)      
 

1,475

    HealthEquity, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 10/01/24 @ 102.25)(1)
 

(B+, B2)

 

10/01/29

   

4.500

     

1,345,333

   
Media - Diversified (0.1%)      
 

500

    News Corp., Rule 144A,
Company Guaranteed Notes
(Callable 02/15/27 @ 102.56)(1)
 

(BB+, Ba1)

 

02/15/32

   

5.125

     

458,714

   
 

84

    Tech 7 SAS Super
Senior (New Money Tranche 1)(3),(4),(5)
 

(NR, NR)

 

03/31/26

   

1.000

     

89,855

   
 

50

    Tech 7 SAS Super
Senior (New Money Tranche 2)(3),(4),(5)
 

(NR, NR)

 

03/31/26

   

1.000

     

53,913

   
 

25

   

Tech 7 SAS Technicolor(3),(4),(5)

 

(NR, NR)

 

03/31/26

   

1.000

     

26,956

   
     

629,438

   
Media Content (0.5%)      
 

2,200

    Sirius XM Radio, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 09/01/26 @ 101.94)(1)
 

(BB, Ba3)

 

09/01/31

   

3.875

     

1,771,899

   
 

1,000

    Sirius XM Radio, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 07/01/24 @ 102.75)(1)
 

(BB, Ba3)

 

07/01/29

   

5.500

     

931,441

   
     

2,703,340

   
Metals & Mining - Excluding Steel (1.2%)      
 

750

    Canpack SA/Canpack U.S. LLC, Rule 144A,
Company Guaranteed Notes
(Callable 11/15/24 @ 101.94)(1)
 

(BB-, NR)

 

11/15/29

   

3.875

     

658,047

   
 

3,010

    ERO Copper Corp., Rule 144A,
Company Guaranteed Notes
(Callable 02/15/25 @ 103.25)(1),(2)
 

(B, B1)

 

02/15/30

   

6.500

     

2,853,421

   
 

300

    First Quantum Minerals Ltd.,
Rule 144A, Secured Notes
(Callable 03/01/26 @ 104.69)(1)
 

(B, NR)

 

03/01/29

   

9.375

     

311,000

   

See Accompanying Notes to Financial Statements.
16


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
CORPORATE BONDS (continued)      
Metals & Mining - Excluding Steel (continued)      

$

1,845

    Kaiser Aluminum Corp., Rule 144A,
Company Guaranteed Notes
(Callable 06/01/26 @ 102.25)(1)
 

(BB-, B2)

 

06/01/31

   

4.500

   

$

1,617,617

   
 

500

    Novelis Corp., Rule 144A,
Company Guaranteed Notes
(Callable 01/30/25 @ 102.38)(1)
 

(BB, Ba3)

 

01/30/30

   

4.750

     

457,952

   
 

1,000

    SunCoke Energy, Inc., Rule 144A,
Senior Secured Notes
(Callable 06/30/24 @ 102.44)(1)
 

(BB, B1)

 

06/30/29

   

4.875

     

889,144

   
 

500

    Taseko Mines Ltd., Rule 144A,
Senior Secured Notes
(Callable 11/01/26 @ 104.13)(1)
 

(B-, B3)

 

05/01/30

   

8.250

     

508,378

   
     

7,295,559

   
Non - Electric Utilities (0.5%)      
 

524

    Suburban Propane Partners LP/
Suburban Energy Finance Corp.,
Rule 144A, Senior Unsecured Notes
(Callable 06/01/26 @ 102.50)(1)
 

(BB-, B1)

 

06/01/31

   

5.000

     

465,942

   
 

700

    Sunoco LP, Rule 144A,
Senior Unsecured Notes
(Callable 05/01/27 @ 103.63)(1)
 

(BB, Ba3)

 

05/01/32

   

7.250

     

714,150

   
 

1,545

    Sunoco LP/Sunoco Finance Corp.,
Rule 144A, Company Guaranteed Notes
(Callable 09/15/25 @ 103.50)(1)
 

(BB, Ba3)

 

09/15/28

   

7.000

     

1,568,622

   
     

2,748,714

   
Packaging (1.2%)      
 

350

    Ardagh Metal Packaging Finance USA LLC/
Ardagh Metal Packaging Finance PLC,
Rule 144A, Senior Unsecured Notes
(Callable 05/30/24 @ 101.50)(1),(3)
 

(CCC+, Caa1)

 

09/01/29

   

3.000

     

301,842

   
 

1,920

    Mauser Packaging Solutions Holding Co.,
Rule 144A, Senior Secured Notes
(Callable 02/15/25 @ 103.94)(1)
 

(B, B2)

 

04/15/27

   

7.875

     

1,958,400

   
 

348

    Owens-Brockway Glass Container, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 05/15/26 @ 103.63)(1)
 

(B+, B2)

 

05/15/31

   

7.250

     

348,390

   
 

250

    Sealed Air Corp./Sealed Air Corp.
U.S., Rule 144A,
Company Guaranteed Notes
(Callable 02/01/25 @ 103.06)(1)
 

(BB+, Ba2)

 

02/01/28

   

6.125

     

247,225

   
 

700

    Trident TPI Holdings, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 12/31/25 @ 106.38)(1)
 

(CCC+, Caa2)

 

12/31/28

   

12.750

     

758,645

   

See Accompanying Notes to Financial Statements.
17


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
CORPORATE BONDS (continued)      
Packaging (continued)      

$

3,807

    TriMas Corp., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/24 @ 102.06)(1)
 

(BB-, Ba3)

 

04/15/29

   

4.125

   

$

3,421,380

   
     

7,035,882

   
Personal & Household Products (1.0%)      
 

350

    Acushnet Co., Rule 144A,
Company Guaranteed Notes
(Callable 10/15/25 @ 103.69)(1)
 

(BB, Ba3)

 

10/15/28

   

7.375

     

359,726

   
 

2,290

    MajorDrive Holdings IV LLC, Rule 144A,
Senior Unsecured Notes
(Callable 06/01/24 @ 103.19)(1)
 

(CCC+, Caa2)

 

06/01/29

   

6.375

     

2,150,955

   
 

375

    Mattel, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/13/24 @ 101.88)(1)
 

(BBB, Baa3)

 

04/01/29

   

3.750

     

340,737

   
 

350

    Prestige Brands, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 04/01/26 @ 101.88)(1)
 

(BB, B1)

 

04/01/31

   

3.750

     

298,164

   
 

2,100

    Tempur Sealy International, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 10/15/26 @ 101.94)(1)
 

(BB, Ba2)

 

10/15/31

   

3.875

     

1,736,531

   
 

913

    Verde Purchaser LLC, Rule 144A,
Senior Secured Notes
(Callable 11/30/26 @ 105.25)(1)
 

(B+, B2)

 

11/30/30

   

10.500

     

962,967

   
     

5,849,080

   
Pharmaceuticals (0.1%)      
 

922

    Emergent BioSolutions, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/24 @ 101.94)(1)
 

(CCC, Caa3)

 

08/15/28

   

3.875

     

470,270

   
Rail (0.4%)      
 

2,325

    Genesee & Wyoming, Inc., Rule 144A,
Senior Secured Notes
(Callable 04/15/27 @ 103.13)(1)
 

(BB, Ba3)

 

04/15/32

   

6.250

     

2,317,454

   
Real Estate Investment Trusts (0.9%)      
 

2,349

    Global Net Lease, Inc./Global Net Lease
Operating Partnership LP, Rule 144A,
Company Guaranteed Notes
(Callable 09/15/27 @ 100.00)(1)
 

(BB+, WR)

 

12/15/27

   

3.750

     

2,006,212

   
 

2,146

    Starwood Property Trust, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 01/15/26 @ 100.00)(1)
 

(BB-, Ba3)

 

07/15/26

   

3.625

     

1,988,075

   
 

1,150

    Starwood Property Trust, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 07/15/26 @ 100.00)(1)
 

(BB-, Ba3)

 

01/15/27

   

4.375

     

1,066,571

   
     

5,060,858

   

See Accompanying Notes to Financial Statements.
18


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
CORPORATE BONDS (continued)      
Recreation & Travel (1.4%)      

$

2,430

    Boyne USA, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 05/31/24 @ 102.38)(1)
 

(B, B1)

 

05/15/29

   

4.750

   

$

2,213,406

   
 

582

    SeaWorld Parks & Entertainment, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 08/15/24 @ 102.63)(1)
 

(B, B2)

 

08/15/29

   

5.250

     

540,269

   
 

750

    SeaWorld Parks & Entertainment, Inc.,
Rule 144A, Senior Secured Notes
(Callable 05/02/24 @ 100.00)(1)
 

(BB, WR)

 

05/01/25

   

8.750

     

750,000

   
 

3,372

    Six Flags Entertainment Corp., Rule 144A,
Company Guaranteed Notes
(Callable 05/15/26 @ 103.63)(1)
 

(B-, B3)

 

05/15/31

   

7.250

     

3,367,690

   
 

1,000

    Speedway Motorsports LLC/Speedway
Funding II, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 05/31/24 @ 101.22)(1)
 

(BB, B2)

 

11/01/27

   

4.875

     

942,505

   
 

500

    Vail Resorts, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 05/15/27 @ 103.25)(1)
 

(BB, Ba3)

 

05/15/32

   

6.500

     

501,508

   
     

8,315,378

   
Restaurants (0.2%)      
 

1,300

    Papa John's International, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 09/15/24 @ 101.94)(1)
 

(BB-, B1)

 

09/15/29

   

3.875

     

1,132,646

   
Software - Services (3.1%)      
 

600

    Black Knight InfoServ LLC, Rule 144A,
Company Guaranteed Notes
(Callable 05/13/24 @ 101.81)(1)
 

(A-, Baa3)

 

09/01/28

   

3.625

     

558,750

   
 

627

    CA Magnum Holdings, Rule 144A,
Senior Secured Notes
(Callable 05/31/24 @ 102.69)(1)
 

(NR, B1)

 

10/31/26

   

5.375

     

592,618

   
 

1,047

    Elastic NV, Rule 144A,
Senior Unsecured Notes
(Callable 07/15/24 @ 102.06)(1)
 

(BB-, B1)

 

07/15/29

   

4.125

     

933,448

   
 

3,395

    Newfold Digital Holdings Group, Inc.,
Rule 144A, Senior Unsecured Notes
(Callable 05/31/24 @ 103.00)(1)
 

(CCC+, Caa2)

 

02/15/29

   

6.000

     

2,548,933

   
 

972

    Open Text Corp., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/24 @ 100.97)(1)
 

(BB-, Ba3)

 

02/15/28

   

3.875

     

889,327

   
 

3,000

    Open Text Corp., Rule 144A,
Company Guaranteed Notes
(Callable 12/01/24 @ 101.94)(1)
 

(BB-, Ba3)

 

12/01/29

   

3.875

     

2,628,744

   

See Accompanying Notes to Financial Statements.
19


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
CORPORATE BONDS (continued)      
Software - Services (continued)      

$

475

    Open Text Holdings, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 12/01/26 @ 102.06)(1)
 

(BB-, Ba3)

 

12/01/31

   

4.125

   

$

407,523

   
 

1,295

    Presidio Holdings, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/24 @ 102.06)(1)
 

(CCC+, Caa1)

 

02/01/28

   

8.250

     

1,310,736

   
 

1,000

    UKG, Inc., Rule 144A,
Senior Secured Notes
(Callable 02/01/27 @ 103.44)(1)
 

(B-, B2)

 

02/01/31

   

6.875

     

1,004,448

   
 

4,075

    Virtusa Corp., Rule 144A,
Senior Unsecured Notes
(Callable 05/31/24 @ 103.56)(1)
 

(CCC+, Caa1)

 

12/15/28

   

7.125

     

3,675,650

   
 

368

    VT Topco, Inc., Rule 144A,
Senior Secured Notes
(Callable 08/15/26 @ 104.25)(1)
 

(B, B2)

 

08/15/30

   

8.500

     

381,575

   
 

4,203

    ZoomInfo Technologies LLC/ZoomInfo
Finance Corp., Rule 144A,
Company Guaranteed Notes
(Callable 05/13/24 @ 101.94)(1)
 

(B+, B1)

 

02/01/29

   

3.875

     

3,700,315

   
     

18,632,067

   
Specialty Retail (1.4%)      
 

500

    Amer Sports Co., Rule 144A,
Senior Secured Notes
(Callable 02/16/27 @ 103.38)(1)
 

(BB, B1)

 

02/16/31

   

6.750

     

492,111

   
 

370

    Asbury Automotive Group, Inc., Global
Company Guaranteed Notes
(Callable 05/13/24 @ 101.25)
 

(BB, B1)

 

03/01/28

   

4.500

     

347,470

   
 

67

    Asbury Automotive Group, Inc., Global
Company Guaranteed Notes
(Callable 03/01/25 @ 102.38)
 

(BB, B1)

 

03/01/30

   

4.750

     

60,802

   
 

48

    Eagle Intermediate Global Holding BV/
Eagle U.S. Finance LLC, Rule 144A,
Senior Secured Notes
(Callable 05/13/24 @ 100.00)(1),(4),(5)
 

(NR, Caa3)

 

05/01/25

   

7.500

     

30,071

   
 

1,750

    Eagle Intermediate Global Holding BV/
Eagle U.S. Finance LLC, Rule 144A,
Senior Secured Notes
(Callable 05/13/24 @ 100.00)(1)
 

(NR, Caa3)

 

05/01/25

   

7.500

     

1,112,754

   
 

64

    Eagle Intermediate Global Holding BV/
Ruyi U.S. Finance LLC(4),(5)
 

(NR, NR)

 

05/01/25

   

0.000

     

35,943

   
 

1,575

    Group 1 Automotive, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/24 @ 102.00)(1)
 

(BB+, Ba2)

 

08/15/28

   

4.000

     

1,434,853

   

See Accompanying Notes to Financial Statements.
20


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
CORPORATE BONDS (continued)      
Specialty Retail (continued)      

$

1,000

    LCM Investments Holdings II LLC,
Rule 144A, Senior Unsecured Notes
(Callable 05/31/24 @ 102.44)(1)
 

(B+, B2)

 

05/01/29

   

4.875

   

$

914,400

   
 

750

    LCM Investments Holdings II LLC,
Rule 144A, Senior Unsecured Notes
(Callable 08/01/26 @ 104.13)(1)
 

(B+, B2)

 

08/01/31

   

8.250

     

779,923

   
 

2,567

    Murphy Oil USA, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 02/15/26 @ 101.88)(1)
 

(BB+, Ba2)

 

02/15/31

   

3.750

     

2,206,535

   
 

1,225

    Sonic Automotive, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 11/15/24 @ 102.31)(1)
 

(BB-, B1)

 

11/15/29

   

4.625

     

1,098,158

   
     

8,513,020

   
Support - Services (3.6%)      
 

1,342

    Allied Universal Holdco LLC/
Allied Universal Finance Corp.,
Rule 144A, Senior Unsecured Notes
(Callable 05/31/24 @ 102.44)(1)
 

(CCC+, Caa2)

 

07/15/27

   

9.750

     

1,337,971

   
 

1,200

    Allied Universal Holdco LLC/Allied
Universal Finance Corp., Rule 144A,
Senior Unsecured Notes
(Callable 06/01/24 @ 103.00)(1),(2)
 

(CCC+, Caa2)

 

06/01/29

   

6.000

     

1,020,402

   
 

944

    Allied Universal Holdco LLC/Allied
Universal Finance Corp./
Atlas Luxco 4 SARL, Rule 144A,
Senior Secured Notes
(Callable 06/01/24 @ 101.81)(1),(3)
 

(B, B3)

 

06/01/28

   

3.625

     

927,815

   
 

1,113

    ASGN, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/24 @ 101.52)(1)
 

(BB-, Ba3)

 

05/15/28

   

4.625

     

1,039,585

   
 

4,100

    CoreLogic, Inc., Rule 144A,
Senior Secured Notes
(Callable 05/31/24 @ 102.25)(1)
 

(B-, B2)

 

05/01/28

   

4.500

     

3,551,779

   
 

3,885

    GEMS MENASA Cayman Ltd./GEMS
Education Delaware LLC, Rule 144A,
Senior Secured Notes
(Callable 05/31/24 @ 101.78)(1)
 

(B, B2)

 

07/31/26

   

7.125

     

3,864,052

   
 

3,360

    H&E Equipment Services, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/24 @ 101.94)(1)
 

(BB-, B1)

 

12/15/28

   

3.875

     

2,973,866

   
 

3,233

    TMS International Corp., Rule 144A,
Senior Unsecured Notes
(Callable 05/13/24 @ 103.13)(1)
 

(B, Caa1)

 

04/15/29

   

6.250

     

2,982,745

   

See Accompanying Notes to Financial Statements.
21


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
CORPORATE BONDS (continued)      
Support - Services (continued)      

$

500

    WESCO Distribution, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/24 @ 103.63)(1)
 

(BB, Ba3)

 

06/15/28

   

7.250

   

$

508,350

   
 

250

    XPO, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 06/01/26 @ 103.56)(1)
 

(BB-, Ba3)

 

06/01/31

   

7.125

     

251,476

   
 

1,000

    XPO, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 02/01/27 @ 103.56)(1)
 

(BB-, Ba3)

 

02/01/32

   

7.125

     

1,008,335

   
 

1,250

    XPO, Inc., Rule 144A,
Senior Secured Notes
(Callable 06/01/25 @ 103.13)(1)
 

(BBB-, Ba1)

 

06/01/28

   

6.250

     

1,247,600

   
 

800

    ZipRecruiter, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 01/15/25 @ 102.50)(1)
 

(B+, B2)

 

01/15/30

   

5.000

     

703,812

   
     

21,417,788

   
Tech Hardware & Equipment (0.4%)      
 

3,250

    CommScope Technologies LLC, Rule 144A,
Company Guaranteed Notes
(Callable 05/13/24 @ 100.00)(1)
 

(CCC-, Ca)

 

06/15/25

   

6.000

     

2,571,563

   
Telecom - Wireline Integrated & Services (1.3%)      
 

1,000

    Altice France SA, Rule 144A,
Senior Secured Notes
(Callable 05/31/24 @ 102.56)(1)
 

(CCC+, Caa1)

 

07/15/29

   

5.125

     

654,275

   
 

1,770

    Altice France SA, Rule 144A,
Senior Secured Notes
(Callable 10/15/24 @ 102.75)(1)
 

(CCC+, Caa1)

 

10/15/29

   

5.500

     

1,160,713

   
 

2,005

    LCPR Senior Secured Financing DAC,
Rule 144A, Senior Secured Notes
(Callable 05/31/24 @ 101.69)(1)
 

(B+, B2)

 

10/15/27

   

6.750

     

1,862,689

   
 

1,000

    LCPR Senior Secured Financing DAC,
Rule 144A, Senior Secured Notes
(Callable 07/15/24 @ 102.56)(1)
 

(B+, B2)

 

07/15/29

   

5.125

     

834,854

   
 

1,500

    Level 3 Financing, Inc.,
Rule 144A, Secured Notes
(Callable 03/22/25 @ 101.81)(1)
 

(B-, Caa2)

 

10/15/30

   

3.875

     

832,223

   
 

500

    Virgin Media Secured Finance PLC,
Rule 144A, Senior Secured Notes
(Callable 08/15/25 @ 102.25)(1)
 

(B+, Ba3)

 

08/15/30

   

4.500

     

422,519

   
 

2,500

    Vmed O2 U.K. Financing I PLC,
Rule 144A, Senior Secured Notes
(Callable 01/31/26 @ 102.13)(1)
 

(B+, Ba3)

 

01/31/31

   

4.250

     

2,052,083

   
     

7,819,356

   

See Accompanying Notes to Financial Statements.
22


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
CORPORATE BONDS (continued)      
Theaters & Entertainment (0.4%)      

$

500

    Live Nation Entertainment, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 05/31/24 @ 100.00)(1)
 

(B+, B1)

 

11/01/24

   

4.875

   

$

496,580

   
 

500

    Live Nation Entertainment, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 05/31/24 @ 102.38)(1)
 

(B+, B1)

 

10/15/27

   

4.750

     

471,678

   
 

1,500

    Live Nation Entertainment, Inc., Rule 144A,
Senior Secured Notes
(Callable 05/31/24 @ 103.25)(1)
 

(BB, Ba2)

 

05/15/27

   

6.500

     

1,503,546

   
     

2,471,804

   
Trucking & Delivery (0.2%)      
 

1,252

    RXO, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 11/15/24 @ 103.75)(1)
 

(BB+, Baa3)

 

11/15/27

   

7.500

     

1,271,395

   
TOTAL CORPORATE BONDS (Cost $242,349,928)    

237,033,580

   
BANK LOANS (42.8%)      
Advertising (0.3%)      
 

1,531

    MH Sub I LLC,
1 mo. USD Term SOFR + 4.250%(6)
 

(B, B1)

 

05/03/28

   

9.566

     

1,527,512

   
Aerospace & Defense (1.1%)      
 

1,100

    Amentum Government Services
Holdings LLC,
1 mo. USD Term SOFR + 7.500%(5),(6)
 

(NR, NR)

 

02/15/30

   

12.915

     

1,109,625

   
 

495

    Amentum Government Services
Holdings LLC,
1 mo. USD Term SOFR + 4.000%(6)
 

(B, B2)

 

02/15/29

   

9.315

     

496,714

   
 

499

    Arcline FM Holdings LLC,
3 mo. USD Term SOFR + 4.750%(6)
 

(B, B3)

 

06/23/28

   

10.321

     

500,546

   
 

1,459

    Brown Group Holding LLC,
3 mo. USD Term SOFR + 3.750%(6)
 
(B+, B2)
 
07/02/29
  8.316 -
9.093
   

1,462,636

   
 

249

    Brown Group Holding LLC,
1 mo. USD Term SOFR + 2.750%(6)
 

(B+, B2)

 

06/07/28

   

8.166

     

249,115

   
 

2,219

    KKR Apple Bidco LLC,
1 mo. USD Term SOFR + 2.750%(6)
 

(B, B2)

 

09/22/28

   

8.180

     

2,224,573

   
 

395

    TransDigm, Inc.,
1 mo. USD Term SOFR + 3.250%(6)
 

(B+, Ba3)

 

02/28/31

   

8.559

     

397,476

   
     

6,440,685

   
Auto Parts & Equipment (1.5%)      
 

1,538

    Autokiniton U.S. Holdings, Inc.,
1 mo. USD Term SOFR + 4.000%(6)
 

(B, B2)

 

04/06/28

   

9.430

     

1,547,689

   
 

844

    Dealer Tire Financial LLC,
1 mo. USD Term SOFR + 3.750%(5),(6)
 
(B-, B1)
 
12/14/27
  9.066 -
9.067
   

849,968

   

See Accompanying Notes to Financial Statements.
23


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Auto Parts & Equipment (continued)      

$

995

   

First Brands Group LLC(7)

 

(B+, B1)

 

03/30/27

   

0.000

   

$

953,648

   
 

803

    First Brands Group LLC,
3 mo. USD Term SOFR + 5.000%(6)
 

(B+, B1)

 

03/30/27

   

10.591

     

771,209

   
 

249

    Garrett LX I SARL,
3 mo. USD Term SOFR + 3.250%(6)
 

(BB-, Ba2)

 

04/30/28

   

8.841

     

249,554

   
 

1,200

    Garrett Motion, Inc.,
3 mo. USD Term SOFR + 4.500%(6)
 

(BB-, Ba2)

 

04/30/28

   

9.830

     

1,206,000

   
 

206

    Jason Group, Inc.,
3 mo. USD Term SOFR + 6.000%,
0.000% PIK(6),(8)
 

(NR, WR)

 

08/28/25

   

11.591

     

187,516

   
 

1,240

    Les Schwab Tire Centers,
3 mo. USD Term SOFR + 3.000%(6)
 

(B, B2)

 

04/23/31

   

8.317

     

1,244,810

   
 

1,795

    RVR Dealership Holdings LLC,
1 mo. USD Term SOFR + 3.750%(6)
 

(B, B3)

 

02/08/28

   

9.168

     

1,689,889

   
     

8,700,283

   
Automakers (0.1%)      
 

597

    Fastlane Parent Co., Inc.,
1 mo. USD Term SOFR + 4.500%(6)
 

(B-, B3)

 

09/29/28

   

9.816

     

600,108

   
Banking (0.1%)      
 

637

    Harbourvest Partners LLC,
3 mo. USD Term SOFR + 2.500%(6)
 

(BB+, Ba2)

 

04/18/30

   

7.843

     

638,431

   
Beverages (0.1%)      
 

527

    Aspire Bakeries Holdings LLC,
1 mo. USD Term SOFR + 4.250%(6)
 

(B, B2)

 

12/13/30

   

9.565

     

529,443

   
Brokerage (0.5%)      
 

2,969

    DRW Holdings LLC,
1 mo. USD Term SOFR + 3.750%(6)
 

(BB-, Ba3)

 

03/01/28

   

9.183

     

2,970,270

   
Building & Construction (0.8%)      
 

1,500

    Quikrete Holdings, Inc.,
1 mo. USD Term SOFR + 2.500%(6)
 

(BB, Ba2)

 

03/25/31

   

7.819

     

1,502,678

   
 

1,500

    Quikrete Holdings, Inc.,
1 mo. USD Term SOFR + 2.250%(6)
 

(NR, Ba2)

 

03/19/29

   

7.569

     

1,503,217

   
 

1,496

    Service Logic Acquisition, Inc.,
1 mo. USD Term SOFR + 4.000%,
3 mo. USD Term SOFR + 4.000%(6)
 

(B, B2)
 
10/29/27
  9.430 -
9.591
   

1,501,754

   
     

4,507,649

   
Building Materials (1.0%)      
 

997

    Cornerstone Building Brands, Inc.,
1 mo. USD Term SOFR + 3.250%(6)
 

(B, B2)

 

04/12/28

   

8.671

     

979,560

   
 

176

    Cornerstone Building Brands, Inc.,
1 mo. USD Term SOFR + 5.625%(6)
 

(B, B2)

 

08/01/28

   

10.946

     

178,699

   
 

1,250

    Kodiak Building Partners, Inc.,
3 mo. USD Term SOFR + 3.750%(6)
 

(B+, B2)

 

03/17/28

   

9.059

     

1,256,256

   

See Accompanying Notes to Financial Statements.
24


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Building Materials (continued)      

$

2,000

    MI Windows and Doors LLC,
1 mo. USD Term SOFR + 3.500%(6)
 

(BB-, B1)

 

03/28/31

   

8.816

   

$

2,011,670

   
 

957

    Oscar AcquisitionCo LLC,
3 mo. USD Term SOFR + 4.500%(6)
 

(B, B1)

 

04/29/29

   

9.902

     

962,367

   
 

447

    Summit Materials LLC,
3 mo. USD Term SOFR + 2.500%(6)
 

(BBB-, Baa3)

 

01/12/29

   

7.799

     

450,870

   
     

5,839,422

   
Cable & Satellite TV (0.2%)      
 

1,167

    Altice Financing SA,
3 mo. USD Term SOFR + 5.000%(6)
 

(B, B3)

 

10/31/27

   

10.329

     

1,063,213

   
Chemicals (1.1%)      
 

423

    Ascend Performance Materials
Operations LLC,
3 mo. USD Term SOFR + 4.750%(6)
 

(B, B1)

 

08/27/26

   

10.074

     

416,242

   
 

430

    CPC Acquisition Corp.,
3 mo. USD Term SOFR + 7.750%(6)
 

(CCC-, Ca)

 

12/29/28

   

13.321

     

258,026

   
 

451

    INEOS Enterprises Holdings
U.S. Finco LLC, 2 mo. USD Term
SOFR + 3.750%(6)
 

(BB, Ba3)

 

07/08/30

   

9.193

     

453,224

   
 

494

    INEOS Quattro Holdings U.K. Ltd.,
1 mo. USD Term SOFR + 4.250%(6)
 

(BB, Ba3)

 

04/02/29

   

9.666

     

493,691

   
 

1,956

    Polar U.S. Borrower LLC,
3 mo. USD Term SOFR + 4.750%(6)
 

(CCC, Caa1)

 

10/15/25

   

10.178

     

1,476,861

   
 

300

    RelaDyne, Inc,
1 mo. USD Term SOFR + 4.500%(6)
 

(B, B2)

 

12/22/28

   

9.817

     

301,687

   
 

283

   

SK Neptune Husky Finance SARL(5),(9),(10)

 

(NR, WR)

 

04/30/24

   

0.000

     

247,769

   
 

1,306

   

SK Neptune Husky Group SARL(9),(10)

 

(D, Caa2)

 

01/03/29

   

0.000

     

24,753

   
 

1,104

    Sparta U.S. HoldCo LLC,
1 mo. USD Term SOFR + 3.250%(6)
 

(B+, B1)

 

08/02/28

   

8.693

     

1,108,164

   
 

1,717

    Vantage Specialty Chemicals, Inc.,
1 mo. USD Term SOFR + 4.750%(6)
 

(B-, B3)

 

10/26/26

   

10.065

     

1,696,613

   
     

6,477,030

   
Diversified Capital Goods (1.0%)      
 

1,541

    Dynacast International LLC,
3 mo. USD Term SOFR + 4.500%(6)
 

(CCC+, B2)

 

07/22/25

   

9.943

     

1,478,982

   
 

578

    Dynacast International LLC,
3 mo. USD Term SOFR + 9.000%(6)
 

(CCC-, Caa2)

 

10/22/25

   

14.443

     

430,396

   
 

855

    Electrical Components International, Inc.,
1 mo. USD Term SOFR + 4.250%(6)
 

(B-, B2)

 

06/26/25

   

9.567

     

856,588

   
 

480

    INNIO Group Holding GmbH,
3 mo. USD Term SOFR + 4.250%(6)
 
(B+, B2)
 
11/02/28
  9.575 -
9.578
   

483,751

   
 

2,532

    Vertiv Group Corp.,
1 mo. USD Term SOFR + 2.500%(6)
 

(BB, Ba3)

 

03/02/27

   

7.943

     

2,544,705

   
     

5,794,422

   

See Accompanying Notes to Financial Statements.
25


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Electric - Generation (0.1%)      

$

332

    WEC U.S. Holdings Ltd.,
1 mo. USD Term SOFR + 2.750%(6)
 

(B+, B1)

 

01/27/31

   

8.066

   

$

332,650

   
Electronics (0.9%)      
 

1,950

    Idemia Group,
3 mo. USD Term SOFR + 4.250%(6)
 

(B, B2)

 

09/30/28

   

9.559

     

1,959,122

   
 

110

   

II-VI, Inc.(7)

 

(BB-, Ba1)

 

07/02/29

   

0.000

     

110,776

   
 

500

    Infinite Bidco LLC,
3 mo. USD Term SOFR + 7.000%(6)
 

(CCC, Caa2)

 

03/02/29

   

12.591

     

427,500

   
 

1,500

    Ingram Micro, Inc.,
3 mo. USD Term SOFR + 3.000%(6)
 

(BB-, B1)

 

06/30/28

   

8.571

     

1,506,563

   
 

1,229

    MKS Instruments, Inc.,
1 mo. USD Term SOFR + 2.500%(6)
 

(BB, Ba1)

 

08/17/29

   

7.823

     

1,232,439

   
     

5,236,400

   
Energy - Exploration & Production (0.5%)      
 

1,045

    BIP PipeCo Holdings LLC,
3 mo. USD Term SOFR + 3.250%(6)
 

(B+, Ba3)

 

12/06/30

   

8.548

     

1,047,118

   
 

1,078

    CQP Holdco LP,
3 mo. USD Term SOFR + 3.000%(6)
 

(BB, B1)

 

12/31/30

   

8.302

     

1,082,025

   
 

314

    GIP Pilot Acquisition Partners LP,
3 mo. USD Term SOFR + 3.000%(6)
 

(BB-, Ba3)

 

10/04/30

   

8.308

     

315,940

   
 

728

    M6 ETX Holdings II Midco LLC,
1 mo. USD Term SOFR + 4.500%(6)
 

(B, B2)

 

09/19/29

   

9.916

     

729,837

   
 

922

   

PES Holdings LLC, 3.000% PIK(5),(8),(9),(10)

 

(NR, WR)

 

12/31/24

   

3.000

     

13,824

   
     

3,188,744

   
Environmental (0.2%)      
 

750

    The Action Environmental Group, Inc.,
3 mo. USD Term SOFR + 4.500%(5),(6)
 

(B, B2)

 

10/24/30

   

9.825

     

753,750

   
 

571

    Vestis Corp.,
3 mo. USD Term SOFR + 2.250%(6)
 

(BB+, Ba2)

 

02/22/31

   

7.576

     

572,871

   
     

1,326,621

   
Food & Drug Retailers (0.2%)      
 

866

    Sharp Services LLC,
3 mo. USD Term SOFR + 3.750%(5),(6)
 

(B-, B3)

 

12/31/28

   

9.052

     

870,143

   
 

866

    WOOF Holdings, Inc.,
3 mo. USD Term SOFR + 7.250%(6)
 

(CCC-, Ca)

 

12/21/28

   

12.673

     

370,284

   
     

1,240,427

   
Food - Wholesale (0.8%)      
 

1,657

    AI Aqua Merger Sub, Inc.,
1 mo. USD Term SOFR + 3.750%(6)
 

(B, B3)

 

07/31/28

   

9.324

     

1,664,157

   
 

523

    AI Aqua Merger Sub, Inc.,
1 mo. USD Term SOFR + 4.250%(6)
 
(B, B3)
 
07/31/28
  9.566 -
9.574
   

525,784

   

See Accompanying Notes to Financial Statements.
26


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Food - Wholesale (continued)      

$

1,152

    B&G Foods, Inc.,
1 mo. USD Term SOFR + 2.500%(6)
 

(B+, B1)

 

10/10/26

   

7.818

   

$

1,152,279

   
 

1,219

   

Sycamore Buyer LLC(7)

 

(BB, Ba3)

 

07/23/29

   

0.000

     

1,209,954

   
     

4,552,174

   
Gaming (0.3%)      
 

1,217

    Arcis Golf LLC,
1 mo. USD Term SOFR + 3.750%(6)
 

(B+, B2)

 

11/24/28

   

9.180

     

1,222,823

   
 

679

    ECL Entertainment LLC,
1 mo. USD Term SOFR + 4.750%(6)
 

(B+, B2)

 

08/31/30

   

10.066

     

682,951

   
     

1,905,774

   
Gas Distribution (0.4%)      
 

1,340

    AL NGPL Holdings LLC,
3 mo. USD Term SOFR + 3.250%(6)
 

(B+, Ba3)

 

04/13/28

   

8.556

     

1,346,718

   
 

1,109

    BCP Renaissance Parent LLC,
3 mo. USD Term SOFR + 3.500%(6)
 

(B+, B2)

 

10/31/28

   

8.829

     

1,115,935

   
     

2,462,653

   
Health Facilities (1.1%)      
 

1,296

    Bayou Intermediate II LLC,
3 mo. USD Term SOFR + 4.500%(6)
 

(B-, B2)

 

08/02/28

   

10.091

     

1,285,951

   
 

647

    Carestream Health, Inc.,
3 mo. USD Term SOFR + 7.500%(6)
 

(B-, Caa1)

 

09/30/27

   

12.909

     

587,463

   
 

995

    Insulet Corp.,
1 mo. USD Term SOFR + 3.000%(6)
 

(BB-, Ba2)

 

05/04/28

   

8.316

     

1,000,173

   
 

1,941

    Loire Finco Luxembourg SARL,
1 mo. USD Term SOFR + 3.750%(6)
 

(B, B3)

 

04/21/27

   

9.166

     

1,905,641

   
 

1,500

    Surgery Center Holdings, Inc.,
1 mo. USD Term SOFR + 3.500%(6)
 

(B, Ba3)

 

12/19/30

   

8.815

     

1,510,702

   
     

6,289,930

   
Health Services (3.0%)      
 

1,996

    ADMI Corp.,
1 mo. USD Term SOFR + 3.375%(6)
 

(B-, B3)

 

12/23/27

   

8.805

     

1,929,381

   
 

249

    ADMI Corp.,
1 mo. USD Term SOFR + 5.750%(6)
 

(B-, B3)

 

12/23/27

   

11.066

     

250,740

   
 

1,879

    Athenahealth Group, Inc.,
1 mo. USD Term SOFR + 3.250%(6)
 

(B-, B2)

 

02/15/29

   

8.566

     

1,877,956

   
 

218

    EyeCare Partners LLC,
3 mo. USD Term SOFR + 1.000%(6)
 

(NR, NR)

 

11/30/28

   

6.328

     

139,210

   
 

63

   

EyeCare Partners LLC(7)

 

(NR, NR)

 

08/31/28

   

0.000

     

63,824

   
 

1,247

    IVC Acquisition Ltd.,
3 mo. USD Term SOFR + 5.500%(6)
 

(B, B3)

 

12/12/28

   

10.809

     

1,252,174

   
 

1,407

    Learning Care Group, Inc.,
3 mo. USD Term SOFR + 4.750%(6)
 
(B, B2)
 
08/11/28
  10.059 -
10.093
   

1,412,615

   

See Accompanying Notes to Financial Statements.
27


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Health Services (continued)      

$

907

    MedAssets Software Intermediate
Holdings, Inc.,
3 mo. USD Term SOFR + 4.000%(6)
 

(CCC, Caa1)

 

12/18/28

   

9.424

   

$

768,097

   
 

1,259

    Pacific Dental Services LLC,
1 mo. USD Term SOFR + 3.250%(6)
 

(B, B1)

 

03/15/31

   

8.571

     

1,263,136

   
 

1,407

    Packaging Coordinators Midco, Inc.,
3 mo. USD Term SOFR + 3.500%(6)
 

(B-, B3)

 

11/30/27

   

9.071

     

1,413,646

   
 

525

    PointClickCare Technologies, Inc.,
2 mo. USD Term SOFR + 3.000%(5),(6)
 

(NR, B2)

 

12/29/27

   

8.324

     

528,768

   
 

1,780

    Radiology Partners, Inc.,
3 mo. USD Term SOFR + 3.500%,
3 mo. USD Term SOFR + 5.000%(6)
 
(B-, B3)
 
01/31/29
  8.812 -
9.087
   

1,712,626

   
 

1,221

    Therapy Brands Holdings LLC,
1 mo. USD Term SOFR + 4.000%(5),(6)
 

(B-, B2)

 

05/18/28

   

9.430

     

1,080,810

   
 

2,360

    U.S. Radiology Specialists, Inc.,
3 mo. USD Term SOFR + 5.250%(6)
 

(B-, B3)

 

12/15/27

   

10.702

     

2,369,056

   
 

272

    Western Dental Services, Inc.
(2021 Delayed Draw Term Loan),
3 mo. USD Term SOFR + 4.500%(6)
 

(CCC, Caa1)

 

08/18/28

   

10.105

     

170,626

   
 

2,562

    Western Dental Services, Inc.
(2021 Term Loan B),
3 mo. USD Term SOFR + 4.500%(6)
 

(CCC, Caa1)

 

08/18/28

   

10.105

     

1,607,104

   
     

17,839,769

   
Hotels (0.6%)      
 

1,997

    Alterra Mountain Co.,
1 wk. USD Term SOFR + 3.250%(6)
 

(B+, B1)

 

08/17/28

   

8.577

     

2,008,678

   
 

386

    Alterra Mountain Co.,
1 mo. USD Term SOFR + 3.500%(6)
 

(B+, B1)

 

05/31/30

   

8.827

     

388,367

   
 

1,435

    Hilton Domestic Operating Co., Inc.,
1 mo. USD Term SOFR + 2.000%(6)
 

(BBB-, Baa2)

 

11/08/30

   

7.417

     

1,439,460

   
     

3,836,505

   
Insurance Brokerage (2.0%)      
 

2,101

    Alliant Holdings Intermediate LLC,
1 mo. USD Term SOFR + 3.500%(6)
 

(B, B2)

 

11/06/30

   

8.819

     

2,111,779

   
 

1,245

    AmWINS Group, Inc.,
1 mo. USD Term SOFR + 2.250%(6)
 

(B+, Ba3)

 

02/19/28

   

7.695

     

1,248,033

   
 

497

    AmWINS Group, Inc.,
1 mo. USD Term SOFR + 2.750%(6)
 

(B+, Ba3)

 

02/19/28

   

8.180

     

499,441

   
 

1,803

    Howden Group Holdings Ltd.,
1 mo. USD Term SOFR + 4.000%(6)
 

(B, B2)

 

04/18/30

   

9.316

     

1,813,593

   
 

1,494

    Howden Group Holdings Ltd.,
1 mo. USD Term SOFR + 3.500%(6)
 

(B, B2)

 

02/15/31

   

8.816

     

1,500,868

   
 

4,581

    HUB International Ltd.,
3 mo. USD Term SOFR + 3.250%(6)
 
(B, B2)
 
06/20/30
  8.565 -
8.575
   

4,609,413

   
     

11,783,127

   

See Accompanying Notes to Financial Statements.
28


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Investments & Misc. Financial Services (2.1%)      

$

399

    Altisource Solutions SARL,
3 mo. USD Term SOFR + 8.750%(6),(11)
 

(CCC-, Caa2)

 

04/30/25

   

14.159

   

$

231,071

   
 

2,288

    Ankura Consulting Group LLC,
6 mo. USD Term SOFR + 4.250%(6)
 

(B-, B2)

 

03/17/28

   

9.564

     

2,298,145

   
 

2,493

    AqGen Island Holdings, Inc.,
1 mo. USD Term SOFR + 3.500%(6)
 

(B-, B3)

 

08/02/28

   

8.930

     

2,495,017

   
 

3,136

    Citadel Securities LP,
1 mo. USD Term SOFR + 2.250%(6)
 

(BBB-, Baa3)

 

07/29/30

   

7.566

     

3,145,556

   
 

1,601

    Galaxy U.S. Opco, Inc.,
3 mo. USD Term SOFR + 4.750%(6)
 

(CCC+, B3)

 

04/29/29

   

10.080

     

1,440,488

   
 

1,706

    HighTower Holdings LLC,
3 mo. USD Term SOFR + 4.000%(6)
 

(B-, B2)

 

04/21/28

   

9.586

     

1,716,922

   
 

499

    Jane Street Group LLC,
1 mo. USD Term SOFR + 2.500%(6)
 

(BB, Ba2)

 

01/26/28

   

7.930

     

499,704

   
 

976

    Mariner Wealth Advisors LLC,
1 mo. USD Term SOFR + 3.250%(6)
 

(B-, Ba3)

 

08/18/28

   

8.680

     

979,219

   
     

12,806,122

   
Life Insurance (0.3%)      
 

279

    OneDigital Borrower LLC,
1 mo. USD Term SOFR + 4.250%(6)
 

(B, B3)

 

11/16/27

   

9.666

     

279,099

   
 

1,000

   

Truist Insurance Holdings LLC(7)

 

(B, B2)

 

03/24/31

   

0.000

     

1,003,285

   
 

352

   

Truist Insurance Holdings LLC(7)

 

(CCC+, Caa2)

 

03/08/32

   

0.000

     

355,752

   
     

1,638,136

   
Machinery (1.4%)      
 

1,976

    19th Holdings Golf LLC,
1 mo. USD Term SOFR + 3.350%(6)
 

(B, B1)

 

02/07/29

   

8.673

     

1,953,388

   
 

1,420

    CPM Holdings, Inc.,
1 mo. USD Term SOFR + 4.500%(6)
 

(B, B2)

 

09/28/28

   

9.829

     

1,425,648

   
 

1,495

    LSF12 Badger Bidco LLC,
1 mo. USD Term SOFR + 6.000%(6)
 

(B, B2)

 

08/30/30

   

11.316

     

1,505,278

   
 

411

    LTI Holdings, Inc.,
1 mo. USD Term SOFR + 6.750%(6),(11)
 

(CCC+, Caa2)

 

09/06/26

   

12.180

     

386,479

   
 

2,397

    LTI Holdings, Inc.,
1 mo. USD Term SOFR + 3.500%(6)
 

(B-, B2)

 

09/06/25

   

8.930

     

2,376,447

   
 

920

    LTI Holdings, Inc.,
1 mo. USD Term SOFR + 4.750%(6)
 

(B-, B2)

 

07/24/26

   

10.180

     

911,114

   
     

8,558,354

   
Media - Diversified (0.7%)      
 

2,625

   

Cast & Crew Payroll LLC(7)

 

(B, B2)

 

12/29/28

   

0.000

     

2,632,232

   
 

496

    Cast & Crew Payroll LLC,
1 mo. USD Term SOFR + 3.750%(6)
 

(B, B2)

 

02/09/26

   

9.180

     

497,004

   
 

392

    Technicolor Creative Studios,
3 mo. EUR EURIBOR + 5.000%(3),(4),(5),(6)
 

(NR, NR)

 

06/05/30

   

8.795

     

   
 

1,028

   

Technicolor Creative Studios(3),(9),(10)

 

(NR, NR)

 

08/06/33

   

0.000

     

5,771

   

See Accompanying Notes to Financial Statements.
29


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Media - Diversified (continued)      

$

66

    Technicolor Creative Studios
(2023 EUR PIK Incremental New
Money Term Loan)(3),(4),(9),(10)
 

(NR, NR)

 

07/31/26

   

0.000

   

$

24,775

   
 

174

    Technicolor Creative Studios
(2023 EUR PIK New Money
Tranche A2 Undrawn)(3),(5),(9),(10)
 

(NR, NR)

 

07/31/26

   

0.000

     

64,941

   
 

207

    Technicolor Creative Studios
(2023 EUR PIK New Money
Tranche)(3),(5),(9),(10)
 

(NR, NR)

 

07/31/26

   

0.000

     

77,576

   
 

750

   

United Talent Agency LLC(4),(5),(7)

 

(NR, NR)

 

07/07/28

   

0.000

     

750,000

   
     

4,052,299

   
Media Content (0.2%)      
 

857

    Aragorn Parent Corp.,
1 mo. USD Term SOFR + 4.250%(6)
 

(B, B2)

 

12/15/28

   

9.569

     

863,037

   
 

500

    WMG Acquisition Corp.,
1 mo. USD Term SOFR + 2.000%(6)
 

(BB+, Ba2)

 

01/24/31

   

7.316

     

500,485

   
     

1,363,522

   
Medical Products (0.3%)      
 

1,938

    Viant Medical Holdings, Inc.,
1 mo. USD Term SOFR + 3.750%(6)
 

(B-, B3)

 

07/02/25

   

9.180

     

1,938,560

   
Packaging (1.3%)      
 

687

    Chart Industries, Inc.,
1 mo. USD Term SOFR + 3.250%(6)
 

(BB-, Ba3)

 

03/15/30

   

8.673

     

690,055

   
 

960

    Mauser Packaging Solutions Holding Co.,
3 mo. USD Term SOFR + 3.500%(6)
 

(B, B2)

 

04/15/27

   

8.815

     

962,071

   
 

248

    Nexcycle Canada Ltd.,
3 mo. USD Term SOFR + 6.500%(5),(6)
 

(NR, NR)

 

07/21/28

   

11.827

     

250,814

   
 

4,348

    Proampac PG Borrower LLC,
1 mo. USD Term SOFR + 4.000%,
3 mo. USD Term SOFR + 4.000%(6)
 
(B-, B3)
 
09/15/28
  9.321 -
9.329
   

4,382,406

   
 

88

    Strategic Materials Holding Corp.,
3 mo. USD Term SOFR + 7.500%(5),(6)
 

(NR, NR)

 

01/23/29

   

13.088

     

87,924

   
 

945

    Strategic Materials Holding Corp.,
3 mo. USD Term SOFR + 6.500%(5),(6)
 

(NR, NR)

 

07/21/28

   

12.088

     

949,895

   
 

335

    Technimark Holdings LLC,
1 mo. USD Term SOFR + 3.750%(6)
 

(B-, B2)

 

07/07/28

   

9.180

     

336,261

   
     

7,659,426

   
Personal & Household Products (0.6%)      
 

3,296

    ABG Intermediate Holdings 2 LLC,
1 mo. USD Term SOFR + 3.500%(6)
 

(BB-, B1)

 

12/21/28

   

8.918

     

3,316,996

   
 

121

    Serta Simmons Bedding LLC,
3 mo. USD Term SOFR + 7.500%(6)
 

(NR, NR)

 

06/29/28

   

12.924

     

106,525

   
 

13

   

Serta Simmons Bedding LLC(5),(7)

 

(NR, NR)

 

06/29/28

   

0.000

     

13,180

   
     

3,436,701

   

See Accompanying Notes to Financial Statements.
30


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Rail (0.5%)      

$

3,000

    Genesee & Wyoming, Inc.,
2 mo. USD Term SOFR + 2.000%(6)
 

(BB, Ba3)

 

04/10/31

   

7.301

   

$

3,004,455

   
Real Estate Development & Management (0.4%)      
 

2,320

    BIFM U.S. Finance LLC,
1 mo. USD Term SOFR + 4.250%(6)
 

(B, B3)

 

05/31/28

   

9.566

     

2,337,964

   
Real Estate Investment Trusts (0.1%)      
 

725

    Claros Mortgage Trust, Inc.,
1 mo. USD Term SOFR + 4.500%(5),(6)
 

(B-, Ba3)

 

08/09/26

   

9.918

     

645,692

   
Recreation & Travel (1.1%)      
 

3,456

    Bulldog Purchaser, Inc.,
3 mo. USD Term SOFR + 3.750%(6)
 

(B-, B3)

 

09/05/25

   

9.193

     

3,428,211

   
 

1,048

   

Cedar Fair LP(7)

 

(BB+, Ba2)

 

04/18/31

   

0.000

     

1,049,615

   
 

1,224

   

Motion Finco SARL(7)

 

(B+, B2)

 

11/12/29

   

0.000

     

1,224,093

   
 

714

    SeaWorld Parks & Entertainment, Inc.,
1 mo. USD Term SOFR + 2.500%(6)
 

(BB, Ba2)

 

08/25/28

   

7.816

     

714,739

   
     

6,416,658

   
Restaurants (2.2%)      
 

1,647

    1011778 BC Unlimited Liability Co.,
1 mo. USD Term SOFR + 2.250%(6)
 

(BB+, Ba2)

 

09/20/30

   

7.566

     

1,651,581

   
 

995

    Flynn Restaurant Group LP,
1 mo. USD Term SOFR + 4.250%(6)
 

(B, B2)

 

12/01/28

   

9.680

     

999,995

   
 

4,253

    IRB Holding Corp.,
1 mo. USD Term SOFR + 2.750%(6)
 

(B+, B2)

 

12/15/27

   

8.166

     

4,264,592

   
 

1,905

   

K-Mac Holdings Corp.(7)

 

(B-, B3)

 

07/21/28

   

0.000

     

1,910,629

   
 

2,217

    Tacala LLC,
1 mo. USD Term SOFR + 4.000%(6)
 

(B-, B3)

 

01/31/31

   

9.316

     

2,229,108

   
 

2,069

    Whatabrands LLC,
1 mo. USD Term SOFR + 3.250%(6)
 

(B, B2)

 

08/03/28

   

8.680

     

2,079,537

   
     

13,135,442

   
Software - Services (8.5%)      
 

2,130

    Applied Systems, Inc.,
3 mo. USD Term SOFR + 3.500%(6)
 

(B-, B2)

 

02/24/31

   

8.809

     

2,147,957

   
 

1,310

    AQ Carver Buyer, Inc.,
3 mo. USD Term SOFR + 5.500%(6)
 

(B, B2)

 

08/02/29

   

10.930

     

1,317,621

   
 

1,688

    Aston FinCo SARL,
1 mo. USD Term SOFR + 4.250%(6)
 

(CCC+, B3)

 

10/09/26

   

9.680

     

1,519,628

   
 

1,426

    Astra Acquisition Corp.,
3 mo. USD Term SOFR + 5.250%(6)
 

(CCC+, Caa1)

 

10/25/28

   

10.821

     

842,574

   
 

671

   

Astra Acquisition Corp.(4),(5),(7)

 

(NR, NR)

 

02/25/28

   

0.000

     

657,166

   
 

1,170

    Camelot U.S. Acquisition LLC,
1 mo. USD Term SOFR + 2.750%(6)
 

(BB-, B1)

 

01/31/31

   

8.066

     

1,173,773

   
 

1,015

   

Cloud Software Group, Inc.(7)

 

(B, B2)

 

09/29/28

   

0.000

     

1,016,147

   

See Accompanying Notes to Financial Statements.
31


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Software - Services (continued)      

$

791

   

Cloud Software Group, Inc.(7)

 

(B, B2)

 

03/30/29

   

0.000

   

$

792,194

   
 

1,235

    ConnectWise LLC,
3 mo. USD Term SOFR + 3.500%(6)
 

(NR, B2)

 

09/29/28

   

9.064

     

1,238,818

   
 

1,226

    Cornerstone OnDemand, Inc.,
1 mo. USD Term SOFR + 3.750%(5),(6)
 

(B-, B2)

 

10/16/28

   

9.180

     

1,181,185

   
 

3,000

    Dayforce, Inc.,
1 mo. USD Term SOFR + 2.500%(5),(6)
 

(BB-, Ba3)

 

02/26/31

   

7.816

     

3,009,375

   
 

1,250

    DCert Buyer, Inc.,
1 mo. USD Term SOFR + 7.000%(6)
 

(CCC, Caa2)

 

02/19/29

   

12.316

     

1,133,206

   
 

503

    Evertec Group LLC,
1 mo. USD Term SOFR + 3.500%(5),(6)
 

(BB-, Ba3)

 

10/30/30

   

8.816

     

505,884

   
 

1,000

    Fleet Midco I Ltd.,
1 mo. USD Term SOFR + 3.250%(5),(6)
 

(B+, B2)

 

02/21/31

   

8.566

     

1,005,000

   
 

1,907

    Flexera Software LLC,
1 mo. USD Term SOFR + 3.750%(6)
 

(B-, B2)

 

03/03/28

   

9.180

     

1,914,588

   
 

419

    IGT Holding IV AB,
3 mo. USD Term SOFR + 3.400%(6)
 

(B, B2)

 

03/31/28

   

8.972

     

420,498

   
 

1,833

    Instructure Holdings, Inc.,
3 mo. USD Term SOFR + 2.750%(6)
 

(NR, B1)

 

10/30/28

   

8.355

     

1,843,114

   
 

1,027

    Marcel LUX IV SARL,
1 mo. USD Term SOFR + 4.500%(6)
 

(B+, B2)

 

11/11/30

   

9.810

     

1,032,813

   
 

484

    Mosel Bidco SE,
3 mo. USD Term SOFR + 4.750%(5),(6)
 

(B, B2)

 

09/16/30

   

10.059

     

486,248

   
 

1,500

    Particle Investments SARL,
3 mo. USD Term SOFR + 4.000%(5),(6)
 

(B+, B1)

 

03/28/31

   

9.323

     

1,511,250

   
 

1,952

    Perforce Software, Inc.,
1 mo. USD Term SOFR + 3.750%(6)
 

(B-, B2)

 

07/01/26

   

9.166

     

1,942,005

   
 

4,129

    Polaris Newco LLC,
3 mo. USD Term SOFR + 4.000%(6)
 

(B-, B2)

 

06/02/28

   

9.591

     

4,109,496

   
 

1,000

   

Press Ganey Holdings, Inc.(7)

 

(B-, B3)

 

04/24/31

   

0.000

     

998,125

   
 

2,760

    Project Alpha Intermediate Holding, Inc.,
3 mo. USD Term SOFR + 4.750%(6)
 

(B, B2)

 

10/28/30

   

10.074

     

2,773,621

   
 

2,426

    Project Boost Purchaser LLC,
1 mo. USD Term SOFR + 3.500%(6)
 

(B-, B2)

 

06/01/26

   

8.930

     

2,434,471

   
 

748

    Project Boost Purchaser LLC,
1 mo. USD Term SOFR + 3.500%,
3 mo. USD Term SOFR + 3.500%(6)
 
(B-, B2)
 
05/30/26
  8.930 -
9.071
   

750,882

   
 

3,184

    Quest Software U.S. Holdings, Inc.,
3 mo. USD Term SOFR + 4.250%(6)
 

(CCC+, B3)

 

02/01/29

   

9.730

     

2,250,978

   
 

1,082

   

RealPage, Inc.(7)

 

(B, B2)

 

04/24/28

   

0.000

     

1,044,109

   
 

1,232

    Redstone Holdco 2 LP,
1 mo. USD Term SOFR + 4.750%(6)
 

(B-, B3)

 

04/27/28

   

10.180

     

969,609

   
 

497

    Sovos Compliance LLC,
1 mo. USD Term SOFR + 4.500%(6)
 

(B-, B3)

 

08/11/28

   

9.930

     

492,341

   
 

1,636

    SS&C Technologies, Inc.,
1 mo. USD Term SOFR + 1.750%(6)
 

(BB+, Ba1)

 

04/16/25

   

7.180

     

1,638,526

   

See Accompanying Notes to Financial Statements.
32


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Software - Services (continued)      

$

2,147

    Transact Holdings, Inc.,
1 mo. USD Term SOFR + 4.250%(6)
 

(B, B2)

 

04/30/26

   

9.680

   

$

2,160,826

   
 

1,000

   

UKG, Inc.(7)

 

(B-, B2)

 

02/10/31

   

0.000

     

1,005,735

   
 

2,250

    VS Buyer LLC,
1 mo. USD Term SOFR + 3.250%(6)
 

(B, B2)

 

04/14/31

   

8.569

     

2,259,202

   
 

1,000

    Waystar Technologies, Inc.,
1 mo. USD Term SOFR + 4.000%(6)
 

(B-, B3)

 

10/22/29

   

9.316

     

1,006,875

   
     

50,585,840

   
Specialty Retail (0.5%)      
 

2,450

    Mister Car Wash Holdings, Inc.,
1 mo. USD Term SOFR + 3.000%(6)
 

(B, B2)

 

03/21/31

   

8.318

     

2,458,428

   
 

820

    Wand NewCo 3, Inc.,
1 mo. USD Term SOFR + 3.750%(6)
 

(B, B3)

 

01/30/31

   

9.066

     

826,310

   
     

3,284,738

   
Steel Producers/Products (0.1%)      
 

746

    Grinding Media, Inc.,
3 mo. USD Term SOFR + 4.000%(5),(6)
 

(B, B2)

 

10/12/28

   

9.555

     

745,241

   
Support - Services (1.8%)      
 

779

    Belfor Holdings, Inc.,
1 mo. USD Term SOFR + 3.750%(6)
 

(B-, B1)

 

11/01/30

   

9.066

     

782,305

   
 

718

    CoreLogic, Inc.,
1 mo. USD Term SOFR + 3.500%(6)
 

(B-, B2)

 

06/02/28

   

8.930

     

696,633

   
 

491

    Global Education Management
Systems Establishment,
1 mo. USD Term SOFR + 4.750%(6)
 

(B, B2)

 

07/31/26

   

10.180

     

494,167

   
 

830

    LaserShip, Inc.,
3 mo. USD Term SOFR + 7.500%(6)
 

(CCC-, Caa3)

 

05/07/29

   

13.071

     

694,730

   
 

2,097

    LaserShip, Inc.,
3 mo. USD Term SOFR + 4.500%(6)
 

(CCC+, B3)

 

05/07/28

   

10.071

     

1,971,352

   
 

1,776

    Nuvei Technologies Corp.,
1 mo. USD Term SOFR + 3.000%(6)
 

(BB-, Ba3)

 

12/19/30

   

8.416

     

1,781,935

   
 

537

   

Savage Enterprises LLC(7)

 

(BB-, B1)

 

09/15/28

   

0.000

     

539,547

   
 

1,492

    Tempo Acquisition LLC,
1 mo. USD Term SOFR + 2.750%(6)
 

(BB-, Ba3)

 

08/31/28

   

8.066

     

1,498,429

   
 

392

    Teneo Holdings LLC,
1 mo. USD Term SOFR + 4.750%(6)
 

(B, B2)

 

03/13/31

   

10.066

     

395,127

   
 

400

    TruGreen LP,
3 mo. USD Term SOFR + 8.500%(6)
 

(CCC, Caa3)

 

11/02/28

   

14.091

     

316,334

   
 

1,500

    Wrench Group LLC,
3 mo. USD Term SOFR + 4.000%(6)
 

(B-, B2)

 

10/30/28

   

9.571

     

1,504,372

   
     

10,674,931

   

See Accompanying Notes to Financial Statements.
33


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Tech Hardware & Equipment (0.4%)      

$

1,224

    Atlas CC Acquisition Corp.,
3 mo. USD Term SOFR + 4.250%(6)
 

(B, Caa1)

 

05/25/28

   

9.855

   

$

1,127,635

   
 

249

    Atlas CC Acquisition Corp.,
3 mo. USD Term SOFR + 4.250%(6)
 

(B+, B1)

 

05/25/28

   

9.855

     

229,349

   
 

249

    CommScope, Inc.,
1 mo. USD Term SOFR + 3.250%(6)
 

(CCC+, B3)

 

04/06/26

   

8.680

     

219,891

   
 

1,070

    Ultra Clean Holdings, Inc.,
1 mo. USD Term SOFR + 3.500%(6)
 

(B+, B1)

 

02/28/28

   

8.816

     

1,073,589

   
     

2,650,464

   
Telecom - Wireless (0.3%)      
 

1,755

    SBA Senior Finance II LLC,
1 mo. USD Term SOFR + 2.000%(6)
 

(BBB-, Ba2)

 

01/25/31

   

7.320

     

1,762,441

   
Telecom - Wireline Integrated & Services (0.7%)      
 

986

    Altice France SA,
3 mo. USD Term SOFR + 5.500%(6)
 

(CCC+, Caa1)

 

08/15/28

   

10.829

     

743,593

   
 

883

    Altice France SA,
3 mo. USD LIBOR + 3.688%(6)
 

(CCC+, Caa1)

 

01/31/26

   

9.278

     

761,854

   
 

2,133

    Patagonia Holdco LLC,
3 mo. USD Term SOFR + 5.750%(6)
 

(NR, B1)

 

08/01/29

   

11.064

     

1,983,490

   
 

1,000

   

Virgin Media Bristol LLC(7)

 

(B+, Ba3)

 

01/31/29

   

0.000

     

986,875

   
     

4,475,812

   
Theaters & Entertainment (1.4%)      
 

3,730

    UFC Holdings LLC,
3 mo. USD Term SOFR + 2.750%(6)
 

(BB, Ba3)

 

04/29/26

   

8.336

     

3,742,401

   
 

4,553

    William Morris Endeavor Entertainment LLC,
1 mo. USD Term SOFR + 2.750%(6)
 

(BB-, B3)

 

05/18/25

   

8.180

     

4,570,355

   
     

8,312,756

   
TOTAL BANK LOANS (Cost $259,066,981)    

254,568,796

   
ASSET BACKED SECURITIES (3.7%)      
Collateralized Debt Obligations (3.7%)      
 

1,350

    Anchorage Capital CLO 15 Ltd.,
2020-15A, Rule 144A,
3 mo. USD Term SOFR + 7.662%(1),(6)
 

(NR, Ba3)

 

07/20/34

   

12.986

     

1,336,769

   
 

1,000

    Anchorage Capital CLO 4-R Ltd.,
2014-4RA, Rule 144A,
3 mo. USD Term SOFR + 2.862%(1),(6)
 

(BBB-, NR)

 

01/28/31

   

8.186

     

997,252

   
 

1,000

    Battalion CLO XIV Ltd.,
2019-14A, Rule 144A,
3 mo. USD Term SOFR + 3.702%(1),(6)
 

(NR, Baa3)

 

01/20/35

   

9.026

     

991,543

   
 

1,000

    BlueMountain CLO Ltd.,
2016-2A, Rule 144A,
3 mo. USD Term SOFR + 4.562%(1),(6)
 

(BBB-, NR)

 

08/20/32

   

9.881

     

985,198

   

See Accompanying Notes to Financial Statements.
34


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
ASSET BACKED SECURITIES (continued)      
Collateralized Debt Obligations (continued)      

$

1,000

    BlueMountain Fuji U.S. CLO I Ltd.,
2017-1A, Rule 144A,
3 mo. USD Term SOFR + 6.262%(1),(6)
 

(BB-, NR)

 

07/20/29

   

11.586

   

$

958,089

   
 

1,000

    BlueMountain Fuji U.S. CLO III Ltd.,
2017-3A, Rule 144A,
3 mo. USD Term SOFR + 5.462%(1),(6)
 

(BB-, NR)

 

01/15/30

   

10.790

     

936,413

   
 

750

    Carlyle Global Market Strategies CLO Ltd.,
2014-3RA, Rule 144A,
3 mo. USD Term SOFR + 5.662%(1),(6)
 

(BB-, NR)

 

07/27/31

   

10.986

     

717,156

   
 

1,250

    CIFC Funding Ltd., 2013-2A, Rule 144A,
3 mo. USD Term SOFR + 6.782%(1),(6)
 

(B+, NR)

 

10/18/30

   

12.109

     

1,243,882

   
 

750

    CIFC Funding Ltd., 2014-1A, Rule 144A,
3 mo. USD Term SOFR + 6.112%(1),(6)
 

(B+, NR)

 

01/18/31

   

11.439

     

741,407

   
 

2,150

    Generate CLO 3 Ltd., Rule 144A,
3 mo. USD Term SOFR + 4.900%(1),(6)
 

(BBB-, NR)

 

10/20/36

   

10.225

     

2,159,676

   
 

1,250

    Generate CLO 5 Ltd., Rule 144A,
3 mo. USD Term SOFR + 6.272%(1),(6)
 

(NR, Ba3)

 

10/22/31

   

11.596

     

1,250,062

   
 

750

    Goldentree Loan Opportunities XI Ltd.,
2015-11A, Rule 144A,
3 mo. USD Term SOFR + 5.662%(1),(6)
 

(NR, Ba3)

 

01/18/31

   

10.989

     

753,633

   
 

1,225

    Greywolf CLO V Ltd., 2015-1A, Rule 144A,
3 mo. USD Term SOFR + 6.112%(1),(6)
 

(BB-, NR)

 

01/27/31

   

11.435

     

1,211,081

   
 

500

    Halcyon Loan Advisors Funding Ltd.,
2015-2A, Rule 144A(1),(11)
 

(NR, NR)

 

07/25/27

   

0.000

     

75

   
 

1,000

    KKR CLO 16 Ltd., Rule 144A,
3 mo. USD Term SOFR + 7.372%(1),(6)
 

(BB-, NR)

 

10/20/34

   

12.696

     

1,002,009

   
 

500

    KKR CLO 20 Ltd., Rule 144A,
3 mo. USD Term SOFR + 5.762%(1),(6)
 

(NR, Ba3)

 

10/16/30

   

11.089

     

496,382

   
 

1,500

    KKR Financial CLO Ltd.,
2013-1A, Rule 144A,
3 mo. USD Term SOFR + 6.342%(1),(6)
 

(NR, Ba3)

 

04/15/29

   

11.670

     

1,500,333

   
 

1,000

    Marble Point CLO XXIII Ltd.,
2021-4A, Rule 144A,
3 mo. USD Term SOFR + 6.012%(1),(6)
 

(NR, Ba1)

 

01/22/35

   

11.336

     

971,665

   
 

1,000

    Oaktree CLO Ltd., 2019-4A, Rule 144A,
3 mo. USD Term SOFR + 7.492%(1),(6)
 

(BB-, NR)

 

10/20/32

   

12.816

     

1,008,247

   
 

500

    Venture XXVIII CLO Ltd.,
2017-28A, Rule 144A,
3 mo. USD Term SOFR + 6.412%(1),(6)
 

(NR, Ba3)

 

07/20/30

   

11.736

     

379,435

   
 

1,000

    Vibrant CLO III Ltd., 2015-3A, Rule 144A,
3 mo. USD Term SOFR + 3.762%(1),(6)
 

(NR, Ba1)

 

10/20/31

   

9.086

     

986,079

   
 

750

    Vibrant CLO VI Ltd., 2017-6A, Rule 144A,
3 mo. USD Term SOFR + 6.012%(1),(6)
 

(NR, Ba3)

 

06/20/29

   

11.344

     

724,879

   
 

500

    Voya CLO Ltd., 2014-4A, Rule 144A,
3 mo. USD Term SOFR + 3.612%(1),(6)
 

(BBB-, NR)

 

07/14/31

   

8.940

     

487,766

   
TOTAL ASSET BACKED SECURITIES (Cost $22,529,443)    

21,839,031

   

See Accompanying Notes to Financial Statements.
35


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Shares

                 

Value

 
COMMON STOCKS (0.7%)      
Auto Parts & Equipment (0.0%)      
 

23,475

   

Jason, Inc.(10)

                         

$

211,277

   
Cable & Satellite TV (0.0%)      
 

54,000

   

Altice USA, Inc., Class A(10)

                           

104,220

   
Chemicals (0.1%)      
 

25,202

   

Proppants Holdings LLC(4),(5),(10),(11)

                           

504

   
 

6,341

   

UTEX Industries, Inc.(10)

                           

295,915

   
     

296,419

   
Energy - Exploration & Production (0.0%)      
 

37,190

   

PES Energy, Class A(4),(5),(10),(11)

                           

372

   
Metals & Mining - Excluding Steel (0.5%)      
 

1,100,000

   

Taseko Mines Ltd.(10)

                           

2,722,277

   
Packaging (0.1%)      
 

24,990

   

SMI Topco LLC(10)

                           

237,405

   
Personal & Household Products (0.0%)      
 

29,405

   

Dream Well, Inc.(10)

                           

183,781

   
 

29,405

   

Serta Simmons Bedding Equipment Co.(4),(5),(10)

                           

0

   
     

183,781

   
Pharmaceuticals (0.0%)      
 

37,299

   

Akorn, Inc.(10)

                           

1,865

   
Private Placement (0.0%)      
 

65,034

   

Technicolor Creative Studios SA(10),(12)

                           

695

   
Recreation & Travel (0.0%)      
 

7,268

   

Cineworld Group PLC(10)

                           

137,547

   
Specialty Retail (0.0%)      
 

66

   

Eagle Investments Holding Co. LLC, Class B(4),(5),(10)

                           

1

   
TOTAL COMMON STOCKS (Cost $4,898,997)    

3,895,859

   
WARRANTS (0.0%)      
Chemicals (0.0%)      
 

6,300

   

Project Investor Holdings LLC, expires 02/20/2022(4),(5),(10),(11)

                     

   

0

   
Investments & Misc. Financial Services (0.0%)      
 

2,847

   

Altisource Solutions SARL, expires 05/31/2027(4),(5),(10)

                           

5,666

   
 

6,000

   

Movella Holdings, Inc., expires 12/31/2027(4),(5),(10)

                           

360

   
 

2,500

   

Northern Star Investment Corp. IV, expires 12/31/2027(4),(5),(10)

                           

0

   
     

6,026

   
Software - Services (0.0%)      
 

26,666

   

Brand Engagement Network, Inc., expires 03/14/2029(10)

                           

2,532

   
TOTAL WARRANTS (Cost $21,320)    

8,558

   

See Accompanying Notes to Financial Statements.
36


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Shares

                 

Value

 
SHORT-TERM INVESTMENTS (12.0%)  
 

63,662,234

    State Street Institutional U.S. Government Money Market Fund —
Premier Class, 5.26%
                         

$

63,662,234

   
 

7,817,518

    State Street Navigator Securities Lending Government Money Market
Portfolio, 5.34%(13)
                           

7,817,518

   
TOTAL SHORT-TERM INVESTMENTS (Cost $71,479,752)    

71,479,752

   
TOTAL INVESTMENTS AT VALUE (99.1%) (Cost $600,346,421)    

588,825,576

   
OTHER ASSETS IN EXCESS OF LIABILITIES (0.9%)    

5,209,460

   
NET ASSETS (100.0%)  

$

594,035,036

   

†  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)​  Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2024, these securities amounted to a value of $252,816,004 or 42.6% of net assets.

(2)​  Security or portion thereof is out on loan (See Note 2-K).

(3)​  This security is denominated in Euro.

(4)​  Not readily marketable security; security is valued at fair value as determined in good faith by Credit Suisse Asset Management, LLC as the Fund's valuation designee under the oversight of the Board of Trustees (See Note 2-A).

(5)​  Security is valued using significant unobservable inputs.

(6)​  Variable rate obligation — The interest rate shown is the rate in effect as of April 30, 2024. The rate may be subject to a cap and floor.

(7)​  The rates on certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The interest rate shown is the rate in effect as of April 30, 2024.

(8)​  PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal.

(9)​  Bond is currently in default.

(10)​  Non-income producing security.

(11)​  Illiquid security.

(12)​  Security is held through holdings of 100 shares of the CIG Special Purpose SPC — Credit Suisse Strategic Income Fund Segregated Portfolio, an affiliated entity.

(13)​  Represents security purchased with cash collateral received for securities on loan.

See Accompanying Notes to Financial Statements.
37


Credit Suisse Strategic Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

INVESTMENT ABBREVIATIONS

1 mo. = 1 month

2 mo. = 2 month

3 mo. = 3 month

6 mo. = 6 month

EURIBOR = Euro Interbank Offered Rate

LIBOR = London Interbank Offered Rate

NR = Not Rated

SARL = société à responsabilité limitée

SOFR = Secured Overnight Financing Rate

WR = Withdrawn Rating

Forward Foreign Currency Contracts

Forward
Currency to be
Purchased
  Forward
Currency to be
Sold
  Expiration
Date
 

Counterparty

  Value on
Settlement
Date
  Current
Value/
Notional
  Unrealized
Appreciation
 

USD

2,826,028

   

CAD

3,839,000

   

10/07/24

 

Deutsche Bank AG

 

$

(2,826,028

)

 

$

(2,802,547

)

 

$

23,481

   

USD

210,127

   

CAD

286,000

   

10/07/24

 

JPMorgan Chase

   

(210,127

)

   

(208,786

)

   

1,341

   

USD

409,849

   

CAD

550,000

   

10/07/24

 

Morgan Stanley

   

(409,849

)

   

(401,511

)

   

8,338

   

Total Unrealized Appreciation

 

$

33,160

   

Forward Foreign Currency Contracts

Forward
Currency to be
Purchased
  Forward
Currency to be
Sold
  Expiration
Date
 

Counterparty

  Value on
Settlement
Date
  Current
Value/
Notional
  Unrealized
Depreciation
 

CAD

803,000

   

USD

593,619

   

10/07/24

 

Deutsche Bank AG

 

$

593,619

   

$

586,206

   

$

(7,413

)

 

EUR

615,039

   

USD

675,207

   

10/07/24

 

Deutsche Bank AG

   

675,207

     

662,353

     

(12,854

)

 

USD

3,276,506

   

EUR

3,057,169

   

10/07/24

 

Morgan Stanley

   

(3,276,506

)

   

(3,292,350

)

   

(15,844

)

 

Total Unrealized Depreciation

 

$

(36,111

)

 

Total Net Unrealized Appreciation/(Depreciation)

 

$

(2,951

)

 

Currency Abbreviations:

CAD = Canadian Dollar

EUR = Euro

USD = United States Dollar

See Accompanying Notes to Financial Statements.
38


Credit Suisse Strategic Income Fund
Statement of Assets and Liabilities

April 30, 2024 (unaudited)

Assets

 
Investments at value, including collateral for securities on loan of $7,817,518
(Cost $600,346,421) (Note 2)
 

$

588,825,5761

   

Cash

   

559,258

   

Foreign currency at value (Cost $80,431)

   

80,865

   

Receivable for Fund shares sold

   

40,937,825

   

Interest receivable

   

6,173,029

   

Receivable for investments sold

   

3,637,301

   

Unrealized appreciation on forward foreign currency contracts (Note 2)

   

33,160

   

Prepaid expenses and other assets

   

50,130

   

Total assets

   

640,297,144

   

Liabilities

 

Investment advisory fee payable (Note 3)

   

966,795

   

Administrative services fee payable (Note 3)

   

36,555

   

Shareholder servicing/Distribution fee payable (Note 3)

   

76,090

   

Payable for investments purchased

   

32,370,167

   

Payable upon return of securities loaned (Note 2)

   

7,817,518

   

Payable for Fund shares redeemed

   

4,433,154

   

Dividend payable

   

423,236

   

Unrealized depreciation on forward foreign currency contracts (Note 2)

   

36,111

   

Trustees' fee payable

   

7,691

   

Accrued expenses

   

94,791

   

Total liabilities

   

46,262,108

   

Net Assets

 

Capital stock, $.001 par value (Note 6)

   

62,927

   

Paid-in capital (Note 6)

   

644,854,191

   

Total distributable earnings (loss)

   

(50,882,082

)

 

Net assets

 

$

594,035,036

   

I Shares

 

Net assets

 

$

514,709,211

   

Shares outstanding

   

54,526,110

   

Net asset value, offering price and redemption price per share

 

$

9.44

   

A Shares

 

Net assets

 

$

42,047,741

   

Shares outstanding

   

4,454,335

   

Net asset value and redemption price per share

 

$

9.44

   

Maximum offering price per share (net asset value/(1-4.75%))

 

$

9.91

   

C Shares

 

Net assets

 

$

37,278,084

   

Shares outstanding

   

3,946,337

   

Net asset value, offering price and redemption price per share

 

$

9.45

   

1​  Includes $7,652,635 of securities on loan.

See Accompanying Notes to Financial Statements.
39


Credit Suisse Strategic Income Fund
Statement of Operations

For the Six Months Ended April 30, 2024 (unaudited)

Investment Income

 

Interest

 

$

20,810,006

   

Other Income

   

1,958

   

Dividends

   

932

   

Securities lending (net of rebates)

   

61,164

   

Total investment income

   

20,874,060

   

Expenses

 

Investment advisory fees (Note 3)

   

1,978,693

   

Administrative services fees (Note 3)

   

59,334

   

Shareholder servicing/Distribution fees (Note 3)

 

Class A

   

40,543

   

Class C

   

169,535

   

Transfer agent fees

   

178,535

   

Custodian fees

   

52,597

   

Registration fees

   

45,415

   

Trustees' fees

   

42,576

   

Commitment fees (Note 4)

   

40,416

   

Audit and tax fees

   

24,928

   

Printing fees

   

22,409

   

Legal fees

   

17,538

   

Insurance expense

   

5,191

   

Miscellaneous expense

   

7,551

   

Total expenses

   

2,685,261

   

Less: fees waived and expenses reimbursed (Note 3)

   

(614,267

)

 

Net expenses

   

2,070,994

   

Net investment income

   

18,803,066

   
Net Realized and Unrealized Gain (Loss) from Investments, Foreign Currency and
Forward Foreign Currency Contracts
 

Net realized loss from investments

   

(545,271

)

 

Net realized loss from foreign currency transactions

   

(894

)

 

Net change in unrealized appreciation (depreciation) from investments

   

16,330,926

   

Net change in unrealized appreciation (depreciation) from foreign currency translations

   

1,080

   
Net change in unrealized appreciation (depreciation) from forward foreign
currency contracts
   

(2,796

)

 
Net realized and unrealized gain from investments, foreign currency transactions and
forward foreign currency contracts
   

15,783,045

   

Net increase in net assets resulting from operations

 

$

34,586,111

   

See Accompanying Notes to Financial Statements.
40



Credit Suisse Strategic Income Fund
Statements of Changes in Net Assets

    For the Six Months
Ended
April 30, 2024
(unaudited)
  For the Year
Ended
October 31, 2023
 

From Operations

 

Net investment income

 

$

18,803,066

   

$

25,775,883

   
Net realized loss from investments, foreign currency
transactions and forward foreign currency contracts
   

(546,165

)

   

(18,387,719

)

 
Net change in unrealized appreciation (depreciation)
from investments, foreign currency translations and
forward foreign currency contracts
   

16,329,210

     

24,337,697

   

Net increase in net assets resulting from operations

   

34,586,111

     

31,725,861

   

From Distributions

 

From distributable earnings

 

Class I

   

(16,299,482

)

   

(21,861,973

)

 

Class A

   

(1,269,977

)

   

(1,766,502

)

 

Class C

   

(1,202,131

)

   

(2,146,176

)

 

Net decrease in net assets resulting from distributions

   

(18,771,590

)

   

(25,774,651

)

 
From Capital Share Transactions (Note 6)  

Proceeds from sale of shares

   

264,824,857

     

253,132,745

   

Reinvestment of distributions

   

16,661,874

     

23,268,008

   

Net asset value of shares redeemed

   

(76,500,346

)

   

(324,419,661

)

 
Net increase (decrease) in net assets from capital
share transactions
   

204,986,385

     

(48,018,908

)

 

Net increase (decrease) in net assets

   

220,800,906

     

(42,067,698

)

 

Net Assets

 

Beginning of period

   

373,234,130

     

415,301,828

   

End of period

 

$

594,035,036

   

$

373,234,130

   

See Accompanying Notes to Financial Statements.
41


Credit Suisse Strategic Income Fund
Financial Highlights

(For a Class I Share of the Fund Outstanding Throughout Each Period)

    For the Six
Months Ended
April 30, 2024
 

For the Year Ended October 31,

 
   

(unaudited)

 

2023

 

2022

 

2021

 

2020

 

2019

 

Per share data

 

Net asset value, beginning of period

 

$

9.08

   

$

8.91

   

$

10.12

   

$

9.57

   

$

9.88

   

$

9.96

   

INVESTMENT OPERATIONS

 

Net investment income1

   

0.38

     

0.75

     

0.47

     

0.40

     

0.51

     

0.53

   
Net gain (loss) from investments,
foreign currency transactions and
forward foreign currency contracts
(both realized and unrealized)
   

0.36

     

0.17

     

(1.20

)

   

0.56

     

(0.31

)

   

(0.08

)

 

Total from investment operations

   

0.74

     

0.92

     

(0.73

)

   

0.96

     

0.20

     

0.45

   

LESS DIVIDENDS AND DISTRIBUTIONS

 

Dividends from net investment income

   

(0.38

)

   

(0.75

)

   

(0.48

)

   

(0.41

)

   

(0.51

)

   

(0.52

)

 

Return of capital

   

     

     

     

     

     

(0.01

)

 

Total dividends and distributions

   

(0.38

)

   

(0.75

)

   

(0.48

)

   

(0.41

)

   

(0.51

)

   

(0.53

)

 

Net asset value, end of period

 

$

9.44

   

$

9.08

   

$

8.91

   

$

10.12

   

$

9.57

   

$

9.88

   

Total return2

   

8.21

%

   

10.57

%

   

(7.41

)%

   

10.11

%

   

2.21

%

   

4.68

%

 

RATIOS AND SUPPLEMENTAL DATA

 

Net assets, end of period (000s omitted)

 

$

514,709

   

$

316,613

   

$

363,915

   

$

420,435

   

$

190,537

   

$

230,330

   
Ratio of net expenses to average
net assets
   

0.79

%3

   

0.79

%

   

0.79

%

   

0.79

%

   

0.80

%

   

0.99

%

 
Ratio of net investment income to
average net assets
   

8.07

%3

   

8.14

%

   

4.88

%

   

3.93

%

   

5.33

%

   

5.36

%

 
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements
   

0.26

%3

   

0.31

%

   

0.29

%

   

0.26

%

   

0.31

%

   

0.10

%

 

Portfolio turnover rate4

   

20

%

   

73

%

   

56

%

   

46

%

   

34

%

   

37

%

 

1  ​Per share information is calculated using the average shares outstanding method.

2  ​Total returns are historical and include change in share price and reinvestment of all distributions. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.

3  ​Annualized.

4  ​Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

See Accompanying Notes to Financial Statements.
42


Credit Suisse Strategic Income Fund
Financial Highlights

(For a Class A Share of the Fund Outstanding Throughout Each Period)

    For the Six
Months Ended
April 30, 2024
 

For the Year Ended October 31,

 
   

(unaudited)

 

2023

 

2022

 

2021

 

2020

 

2019

 

Per share data

 

Net asset value, beginning of period

 

$

9.08

   

$

8.91

   

$

10.13

   

$

9.57

   

$

9.88

   

$

9.96

   

INVESTMENT OPERATIONS

 

Net investment income1

   

0.37

     

0.72

     

0.44

     

0.38

     

0.49

     

0.51

   
Net gain (loss) from investments,
foreign currency transactions and
forward foreign currency contracts
(both realized and unrealized)
   

0.36

     

0.18

     

(1.21

)

   

0.56

     

(0.31

)

   

(0.08

)

 

Total from investment operations

   

0.73

     

0.90

     

(0.77

)

   

0.94

     

0.18

     

0.43

   

LESS DIVIDENDS AND DISTRIBUTIONS

 

Dividends from net investment income

   

(0.37

)

   

(0.73

)

   

(0.45

)

   

(0.38

)

   

(0.49

)

   

(0.50

)

 

Return of capital

   

     

     

     

     

     

(0.01

)

 

Total dividends and distributions

   

(0.37

)

   

(0.73

)

   

(0.45

)

   

(0.38

)

   

(0.49

)

   

(0.51

)

 

Net asset value, end of period

 

$

9.44

   

$

9.08

   

$

8.91

   

$

10.13

   

$

9.57

   

$

9.88

   

Total return2

   

8.08

%

   

10.30

%

   

(7.73

)%

   

9.95

%

   

1.96

%

   

4.42

%

 

RATIOS AND SUPPLEMENTAL DATA

 

Net assets, end of period (000s omitted)

 

$

42,048

   

$

25,795

   

$

21,933

   

$

31,102

   

$

34,254

   

$

50,343

   
Ratio of net expenses to average
net assets
   

1.04

%3

   

1.04

%

   

1.04

%

   

1.04

%

   

1.05

%

   

1.24

%

 
Ratio of net investment income to
average net assets
   

7.84

%3

   

7.90

%

   

4.62

%

   

3.78

%

   

5.10

%

   

5.13

%

 
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements
   

0.26

%3

   

0.31

%

   

0.29

%

   

0.26

%

   

0.31

%

   

0.10

%

 

Portfolio turnover rate4

   

20

%

   

73

%

   

56

%

   

46

%

   

34

%

   

37

%

 

1  ​Per share information is calculated using the average shares outstanding method.

2  ​Total returns are historical and include change in share price, reinvestment of all distributions and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.

3  ​Annualized.

4  ​Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

See Accompanying Notes to Financial Statements.
43


Credit Suisse Strategic Income Fund
Financial Highlights

(For a Class C Share of the Fund Outstanding Throughout Each Period)

    For the Six
Months Ended
April 30, 2024
 

For the Year Ended October 31,

 
   

(unaudited)

 

2023

 

2022

 

2021

 

2020

 

2019

 

Per share data

 

Net asset value, beginning of period

 

$

9.08

   

$

8.92

   

$

10.13

   

$

9.57

   

$

9.88

   

$

9.961

   

INVESTMENT OPERATIONS

 

Net investment income2

   

0.33

     

0.66

     

0.37

     

0.31

     

0.41

     

0.43

   
Net gain (loss) from investments,
foreign currency transactions and
forward foreign currency contracts
(both realized and unrealized)
   

0.37

     

0.16

     

(1.20

)

   

0.56

     

(0.31

)

   

(0.08

)

 

Total from investment operations

   

0.70

     

0.82

     

(0.83

)

   

0.87

     

0.10

     

0.35

   

LESS DIVIDENDS AND DISTRIBUTIONS

 

Dividends from net investment income

   

(0.33

)

   

(0.66

)

   

(0.38

)

   

(0.31

)

   

(0.41

)

   

(0.42

)

 

Return of capital

   

     

     

     

     

     

(0.01

)

 

Total dividends and distributions

   

(0.33

)

   

(0.66

)

   

(0.38

)

   

(0.31

)

   

(0.41

)

   

(0.43

)

 

Net asset value, end of period

 

$

9.451

   

$

9.08

   

$

8.92

   

$

10.13

   

$

9.57

   

$

9.88

   

Total return3

   

7.80

%

   

9.36

%

   

(8.32

)%

   

9.13

%

   

1.19

%

   

3.64

%

 

RATIOS AND SUPPLEMENTAL DATA

 

Net assets, end of period (000s omitted)

 

$

37,278

   

$

30,826

   

$

29,454

   

$

39,867

   

$

42,566

   

$

53,410

   
Ratio of net expenses to average
net assets
   

1.79

%4

   

1.79

%

   

1.79

%

   

1.79

%

   

1.80

%

   

1.99

%

 
Ratio of net investment income to
average net assets
   

7.10

%4

   

7.19

%

   

3.89

%

   

3.03

%

   

4.35

%

   

4.38

%

 
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements
   

0.26

%4

   

0.31

%

   

0.29

%

   

0.26

%

   

0.31

%

   

0.10

%

 

Portfolio turnover rate5

   

20

%

   

73

%

   

56

%

   

46

%

   

34

%

   

37

%

 

1  ​Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon net asset values may differ from the net asset values and returns for shareholder transactions.

2  ​Per share information is calculated using the average shares outstanding method.

3  ​Total returns are historical and include change in share price, reinvestment of all distributions and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.

4  ​Annualized.

5  ​Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

See Accompanying Notes to Financial Statements.
44


Credit Suisse Strategic Income Fund
Notes to Financial Statements

April 30, 2024 (unaudited)

Note 1. Organization

Credit Suisse Strategic Income Fund (the "Fund"), a series of Credit Suisse Opportunity Funds (the "Trust"), a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a diversified open-end management investment company that seeks total return. The Trust was organized under the laws of the State of Delaware as a business trust on May 31, 1995.

The Fund offers three classes of shares: Class I shares, Class A shares and Class C shares. Each class of shares represents an equal pro rata interest in the Fund, except the share classes bear different expenses. Class A shares are sold subject to a front-end sales charge of up to 4.75%. Class C shares are sold subject to a contingent deferred sales charge ("CDSC") of 1.00% if the shares are redeemed within the first year of purchase. Class I shares are sold without a sales charge. Effective June 30, 2021, Class C shares, upon the eight year anniversary of purchase, will convert to Class A shares.

Note 2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies are in accordance with generally accepted accounting principles in the United States of America ("GAAP"). The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is considered an investment company for financial reporting purposes under GAAP and follows the accounting and reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 — Financial Services — Investment Companies.

A) 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 during the six months ended April 30, 2024 ("Credit Suisse" or the "Adviser"), who has established a Pricing Committee and a Pricing Group, which, pursuant to the policies adopted by the Board, are responsible for making fair valuation determinations and overseeing the Fund's pricing policies. The net asset value ("NAV") 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


45


Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional "round lot" size, but some trades occur in smaller "odd lot" sizes which may be effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. Investments in open-ended mutual funds are valued at the NAV as reported on each business day and under normal circumstances. Securities for which market quotations are not readily available are valued at their fair value as determined in good faith by the Adviser, as the Board's valuation designee (as defined in Rule 2a-5 under the 1940 Act), in accordance with the Adviser's procedures. The Board oversees the Adviser in its role as valuation designee in accordance with the requirements of Rule 2a-5 under the 1940 Act. The Fund may utilize a service provided by an independent third party to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its NAV 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 Adviser to be unreliable, the market price may be determined by the 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 NAV, these securities


46


Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

will be fair valued in good faith by the Pricing Group, in accordance with procedures established by the Adviser.

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

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 April 30, 2024 in valuing the Fund's assets and liabilities carried at fair value:

Assets

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Investments in Securities

 

Corporate Bonds

 

$

   

$

236,796,842

   

$

236,738

   

$

237,033,580

   

Bank Loans

   

     

237,172,768

     

17,396,028

     

254,568,796

   

Asset Backed Securities

   

     

21,839,031

     

     

21,839,031

   

Common Stocks

   

2,826,497

     

1,068,485

     

877

     

3,895,859

   

Warrants

   

2,532

     

     

6,026

     

8,558

   

Short-term Investments

   

71,479,752

     

     

     

71,479,752

   
   

$

74,308,781

   

$

496,877,126

   

$

17,639,669

   

$

588,825,576

   

Other Financial Instruments*

 

Forward Foreign Currency Contracts

 

$

   

$

33,160

   

$

   

$

33,160

   

Liabilities

                 

Other Financial Instruments*

 

Forward Foreign Currency Contracts

 

$

   

$

36,111

   

$

   

$

36,111

   

*  Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts.


47


Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

The following is a reconciliation of investments as of April 30, 2024 for which significant unobservable inputs were used in determining fair value.

    Corporate
Bonds
  Bank
Loans
  Common
Stocks
 

Warrants

 

Total

 

Balance as of October 31, 2023

 

$

71,931

   

$

12,193,802

   

$

255,199

   

$

8,996

   

$

12,529,928

   

Accrued discounts (premiums)

 

 

   

100,025

     

     

     

100,025

   

Purchases

   

171,178

     

12,188,368

         

     

12,359,546

   

Sales

   

(3,750

)

   

(2,745,211

)

   

(38

)

   

     

(2,748,999

)

 

Realized gain (loss)

   

3,750

     

71,173

     

(4,876

)

   

     

70,047

   
Change in unrealized appreciation
(depreciation)
   

(6,371

)

   

(336,328

)

   

(38,131

)

   

(3,330

)

   

(384,160

)

 

Transfers into Level 3

   

     

3,527,961

     

     

360

     

3,528,321

   

Transfers out of Level 3

   

     

(7,603,762

)

   

(211,277

)

   

     

(7,815,039

)

 

Balance as of April 30, 2024

 

$

236,738

   

$

17,396,028

   

$

877

   

$

6,026

   

$

17,639,669

   
Net change in unrealized appreciation
(depreciation) from investments
still held as of April 30, 2024
 

$

(746

)

 

$

74,606

   

$

   

$

(3,330

)

 

$

70,530

   

 

 

Quantitative Disclosure About Significant Unobservable Inputs

 
Asset Class   Fair Value
At April 30,
2024
  Valuation
Technique
  Unobservable
Input
  Price Range
(Weighted Average)*
 
Corporate Bonds  

$

66,014

   

Income Approach

  Expected Remaining
Distribution
 

$

0.56 – $0.63

($0.59)

 

   

170,724

   

Recent Transactions

 

Trade Price

   

1.07

(1.07)

 
Bank Loans    

892,517

   

Income Approach

  Expected Remaining
Distribution
  0.00 – 1.00

(0.90)

 

   

657,166

   

Recent Transactions

 

Trade Price

   

0.98

(0.98)

 

   

15,846,345

   

Vendor Pricing

 

Single Broker Quote

   

0.01 – 1.01

(0.99)

 
Common Stocks    

877

   

Income Approach

  Expected Remaining
Distribution
  0.01 – 0.02

(0.02)

 

   

0

   

Recent Transactions

 

Trade Price

    0.00 (N/A)    
Warrants    

6,026

   

Income Approach

  Expected Remaining
Distribution
  0.00 – 1.99

(1.87)

 

*  Weighted by relative fair value

Each fair value determination is based on a consideration of relevant factors, including both observable and unobservable inputs. Observable and unobservable inputs that Credit Suisse considers may include (i) the existence of any contractual restrictions on the disposition of securities; (ii) information obtained from the company, which may include an analysis of the company's financial statements, the company's products or intended markets or the company's technologies; (iii) the price of the same or similar security negotiated at arm's length in an issuer's completed subsequent round of financing; (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies; or (v) a probability and time value adjusted analysis of contractual term. Where available and appropriate, multiple valuation


48


Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

methodologies are applied to confirm fair value. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, determining fair value requires more judgment. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the investments existed. Accordingly, the degree of judgment exercised by the Fund in determining fair value is greatest for investments categorized in Level 3. In some circumstances, the inputs used to measure fair value might be categorized within different levels of the fair value hierarchy. In those instances, the fair value measurement is categorized in its entirety in the fair value hierarchy based on the least observable input that is significant to the fair value measurement. Additionally, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different from the valuations used at the date of these financial statements.

For the six months ended April 30, 2024, $3,528,321 was transferred from Level 2 to Level 3 due to a lack of a pricing source supported by observable inputs and $7,815,039 was transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs. All transfers, if any, are assumed to occur at the end of the reporting period.

B) DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES — The Fund adopted amendments to authoritative guidance on disclosures about derivative instruments and hedging activities which require that a fund disclose (a) how and why an entity uses derivative instruments, (b) how derivative instruments and hedging activities are accounted for and (c) how derivative instruments and related hedging activities affect a fund's financial position, financial performance and cash flows. For the six months ended April 30, 2024, the Fund's derivatives did not qualify for hedge accounting as they are held at fair value.

The following table presents the fair value and the location of derivatives within the Statement of Assets and Liabilities at April 30, 2024 and the effect of these derivatives on the Statement of Operations for the six months ended April 30, 2024.

Primary Underlying Risk

  Derivative
Assets
  Derivative
Liabilities
  Realized Gain
(Loss)
  Net Change in Unrealized
Appreciation (Depreciation)
 
Foreign currency exchange rate
Forward contracts
 

$

33,160

   

$

36,111

   

$

   

$

(2,796

)

 


49


Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

For the six months ended April 30, 2024, the Fund held an average monthly value on a net basis of $6,131,339 in forward foreign currency contracts.

The Fund is a party to International Swap and Derivatives Association, Inc. ("ISDA") Master Agreements ("Master Agreements") with certain counterparties that govern over-the-counter derivative (including total return, credit default and interest rate swaps) and foreign exchange contracts entered into by the Fund. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. Termination events applicable to the Fund may occur upon a decline in the Fund's net assets below a specified threshold over a certain period of time.

The following table presents by counterparty the Fund's derivative assets, net of related collateral held by the Fund, at April 30, 2024:

Counterparty

  Gross Amount of
Derivative Assets
Presented in the
Statement of Assets
and Liabilities(a)
  Financial
Instruments
and Derivatives
Available for Offset
  Non-Cash
Collateral
Received
  Cash
Collateral
Received
  Net Amount
of Derivative
Assets
 
Deutsche
Bank AG
 

$

23,481

   

$

(20,267

)

 

$

   

$

   

$

3,214

   

JPMorgan Chase

   

1,341

     

     

     

     

1,341

   

Morgan Stanley

   

8,338

     

(8,338

)

   

     

     

   
   

$

33,160

   

$

(28,605

)

 

$

   

$

   

$

4,555

   

The following table presents by counterparty the Fund's derivative liabilities, net of related collateral pledged by the Fund, at April 30, 2024:

Counterparty

  Gross Amount of
Derivative Liabilities
Presented in the
Statement of Assets
and Liabilities(a)
  Financial
Instruments
and Derivatives
Available for Offset
  Non-Cash
Collateral
Pledged
  Cash
Collateral
Pledged
  Net Amount
of Derivative
Liabilities
 
Deutsche
Bank AG
 

$

20,267

   

$

(20,267

)

 

$

   

$

   

$

   

Morgan Stanley

   

15,844

     

(8,338

)

   

     

     

7,506

   
   

$

36,111

   

$

(28,605

)

 

$

   

$

   

$

7,506

   

(a)​  Forward foreign currency contracts are included.

C) FOREIGN CURRENCY TRANSACTIONS — The books and records of the Fund are maintained in U.S. dollars. Transactions denominated in foreign currencies are recorded at the current prevailing exchange rates. All assets and liabilities denominated in foreign currencies, including purchases and sales of


50


Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

investments, and income and expenses, are translated into U.S. dollar amounts on the date of those transactions.

Reported net realized gain (loss) from foreign currency transactions arises from sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on securities transactions; and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net change in unrealized gains and losses on translation of assets and liabilities denominated in foreign currencies arises from changes in the fair values of assets and liabilities, other than investments, at the end of the period, resulting from changes in exchange rates.

The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held. Such fluctuations are included with net realized and unrealized gain or loss from investments in the Statement of Operations.

D) SECURITY TRANSACTIONS AND INVESTMENT INCOME/EXPENSE — Security transactions are accounted for on a trade date basis. Interest income/expense is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Dividend income/expense is recorded on the ex-dividend date. Certain expenses are class-specific expenses, vary by class and are charged only to that class. Income, expenses (excluding class-specific expenses) and realized/unrealized gains/losses are allocated proportionately to each class of shares based upon the relative NAV of the outstanding shares of that class. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.

E) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income, if any, are declared daily and paid monthly. Distributions of net realized capital gains, if any, are declared and paid at least annually. However, to the extent that a net realized capital gain can be reduced by a capital loss carryforward, such gain will not be distributed. Dividends and distributions to shareholders of the Fund are recorded on the ex-dividend


51


Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

date and are determined in accordance with federal income tax regulations, which may differ from GAAP.

F) FEDERAL AND OTHER TAXES — No provision is made for federal taxes as it is the Fund's intention to continue to qualify as a regulated investment company ("RIC") under the Internal Revenue Code of 1986, as amended (the "Code"), and to make the requisite distributions to its shareholders, which will be sufficient to relieve it from federal income and excise taxes.

In order to qualify as a RIC under the Code, the Fund must meet certain requirements regarding the source of its income, the diversification of its assets and the distribution of its income. One of these requirements is that the Fund derive at least 90% of its gross income for each taxable year from dividends, interest, payments with respect to certain securities loans, gains from the sale or other disposition of stock, securities or foreign currencies, other income derived with respect to its business of investing in such stock, securities or currencies or net income derived from interests in certain publicly-traded partnerships ("Qualifying Income"). The Fund adopted the authoritative guidance for uncertainty in income taxes and recognizes a tax benefit or liability from an uncertain position only if it is more likely than not that the position is sustainable based solely on its technical merits and consideration of the relevant taxing authority's widely understood administrative practices and procedures. The Fund has reviewed its current tax positions and has determined that no provision for income tax is required in the Fund's financial statements. The Fund's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

G) CASH — The Fund's uninvested cash balance is held in an interest bearing variable rate demand deposit account at State Street Bank and Trust Company ("SSB"), the Fund's custodian.

H) FUTURES — The Fund may enter into futures contracts to the extent permitted by its investment policies and objectives. The Fund may use futures contracts to gain exposure to or hedge against changes in interest rates, equity and market price movements and/or currency risks. Upon entering into a futures contract, the Fund is required to deposit cash and/or pledge U.S. Government securities as initial margin with a Futures Commission Merchant ("FCM"). Subsequent payments, which are dependent on the daily fluctuations in the value of the underlying instrument, are made or received by the Fund


52


Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

each day (daily variation margin) and are recorded as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund's basis in the contract. Risks of entering into futures contracts for hedging purposes include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. Futures have minimal counterparty credit risk because futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. In addition, the purchase of a futures contract involves the risk that the Fund could lose more than the original margin deposit and subsequent payments may be required for a futures transaction. The Fund's open futures contracts are disclosed in the Schedule of Investments. At April 30, 2024, the Fund had no open futures contracts.

The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM's proprietary activities. A customer's cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM's segregation requirements. In the event of an FCM's insolvency, recovery may be limited to the Fund's pro-rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited.

I) FORWARD FOREIGN CURRENCY CONTRACTS — A forward foreign currency exchange contract ("forward currency contract") is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. The Fund will enter into forward currency contracts primarily for hedging foreign currency risk. Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and unrealized gain/loss is recorded daily. On the settlement date of the forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was closed. Certain risks may arise upon entering into forward currency contracts from the potential inability of counterparties to meet the terms of their contracts. The maximum counterparty credit risk to the Fund is measured by the unrealized gain on appreciated contracts. Additionally, when utilizing forward currency contracts to hedge, the Fund forgoes the opportunity to profit from favorable exchange rate movements during the term of the contract. The


53


Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

Fund's open forward currency contracts at April 30, 2024 are disclosed in the Schedule of Investments.

J) UNFUNDED LOAN COMMITMENTS — The Fund enters into certain agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these loan commitments at the borrowers' discretion. Funded and unfunded portions of credit agreements are presented on the Schedule of Investments. As of April 30, 2024, the Fund held no unfunded loan commitments.

Unfunded loan commitments and funded portions of credit agreements are marked to market daily and any unrealized appreciation or depreciation is included in the Statement of Assets and Liabilities and the Statement of Operations.

K) SECURITIES LENDING — The initial collateral received by the Fund is required to have a value of at least 102% of the market value of domestic securities on loan (including any accrued interest thereon) and 105% of the market value of foreign securities on loan (including any accrued interest thereon). The collateral is maintained thereafter at a value equal to at least 102% of the current market value of the securities on loan. The market value of loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day. Cash collateral received by the Fund in connection with securities lending activity may be pooled together with cash collateral for other funds/portfolios advised by Credit Suisse and may be invested in a variety of investments, including funds advised by SSB, the Fund's securities lending agent, or money market instruments. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Fund or the borrower at any time.

SSB has been engaged by the Fund to act as the Fund's securities lending agent. As of April 30, 2024, the Fund had outstanding loans of securities to certain approved brokers for which the Fund received collateral:

Market Value of
Loaned Securities
  Market Value of
Cash Collateral
 

Total Collateral

 
$

7,652,635

   

$

7,817,518

   

$

7,817,518

   


54


Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

The following table presents financial instruments that are subject to enforceable netting arrangements as of April 30, 2024.

Gross Amounts Not Offset in the Statement of Assets and Liabilities

 
Gross Asset
Amounts Presented in
the Statement of Assets
and Liabilities(a)
  Collateral
Received(b)
 

Net Amount

 
$

7,652,635

   

$

(7,652,635

)

 

$

   

(a)​  Represents market value of loaned securities at period end.

(b)​  The actual collateral received is greater than the amount shown here due to collateral requirements of the security lending agreement.

The Fund's securities lending arrangement provides that the Fund and SSB will share the net income earned from securities lending activities. Securities lending income is accrued as earned. For the six months ended April 30, 2024, total earnings received in connection with securities lending arrangements was $255,784, of which $174,215 was rebated to borrowers (brokers). The Fund retained $61,164 in income, and SSB, as lending agent, was paid $20,405.

L) OTHER — The high yield, fixed income securities in which the Fund invests will primarily consist of senior secured floating rate loans ("Senior Loans") issued by non-investment grade companies. Senior Loans are typically secured by specific collateral of the issuer and hold the most senior position in the issuer's capital structure. The interest rate on Senior Loans is periodically adjusted to a recognized base rate. While these characteristics may reduce interest rate risk and mitigate losses in the event of borrower default, the Senior Loans in which the Fund invests have below investment grade credit ratings and thereby are considered speculative because of the significant credit risk of their issuers.

The United Kingdom's Financial Conduct Authority (the "FCA"), which regulates LIBOR, has ceased publishing all LIBOR settings. In April 2023, however, the FCA announced that some USD LIBOR settings will continue to be published under a synthetic methodology until September 30, 2024 for certain legacy contracts. The Secured Overnight Financing Rate, or "SOFR," is a broad measure of the cost of borrowing cash overnight collateralized by U.S. Treasury securities in the purchase agreement ("repo") market and has been used increasingly on a voluntary basis in new instruments and transactions. On March 15, 2022, the Adjustable Interest Rate Act was signed into law, providing a statutory fallback mechanism to replace LIBOR with a benchmark rate that is selected by the Federal Reserve Board and based on SOFR for certain contracts that reference LIBOR without adequate fallback provisions. On


55


Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

December 16, 2022, the Federal Reserve Board adopted regulations implementing the Adjustable Interest Rate Act by identifying benchmark rates based on SOFR that replaced LIBOR in different categories of financial contracts after June 30, 2023. These regulations apply only to contracts governed by U.S. law, among other limitations. Neither the effect of the LIBOR transition process nor its ultimate success can yet be known. Not all existing LIBOR-based instruments may have alternative rate-setting provisions and there remains uncertainty regarding the willingness and ability of issuers to add alternative rate-setting provisions in certain existing instruments. Parties to contracts, securities or other instruments using LIBOR may disagree on transition rates or the application of applicable transition regulation, potentially resulting in uncertainty of performance and the possibility of litigation. The Fund may have instruments linked to other interbank offered rates that may also cease to be published in the future.

Lower-rated debt securities (commonly known as "junk bonds") possess speculative characteristics and are subject to greater market fluctuations and risk of lost income and principal than higher-rated debt securities for a variety of reasons. Also, during an economic downturn or substantial period of rising interest rates, highly leveraged issuers may experience financial stress which would adversely affect their ability to service their principal and interest payment obligations, to meet projected business goals and to obtain additional financing.

In addition, periods of economic uncertainty and changes can be expected to result in increased volatility of market prices of lower-rated debt securities and the Fund's NAV.

In the normal course of business, the Fund trades financial instruments and enters into financial transactions for which risk of potential loss exists due to changes in the market (market risk) or failure of the other party to a transaction to perform (credit risk). Similar to credit risk, the Fund may be exposed to counterparty risk, including with respect to securities lending, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. The potential loss could exceed the value of the financial assets recorded in the financial statements. Financial assets, which potentially expose the Fund to credit risk, consist principally of cash due from counterparties and investments. The extent of the Fund's exposure to credit and counterparty risks in respect to these financial assets approximates their carrying value as recorded in the Fund's Statement of Assets and Liabilities.


56


Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 3. Transactions with Affiliates and Related Parties

Credit Suisse served as investment adviser and co-administrator for the Fund during the six months ended April 30, 2024. For its investment advisory and administration services, Credit Suisse is entitled to receive a fee from the Fund at an annualized rate of 0.84% of the Fund's average daily net assets. For the six months ended April 30, 2024, investment advisory and administration fees earned and fees waived/expenses reimbursed by Credit Suisse were $1,978,693 and $614,267, respectively. Effective November 12, 2019, Credit Suisse contractually agreed to limit expenses so that the Fund's annual operating expenses do not exceed 0.79% of the Fund's average daily net assets for Class I shares, 1.04% of the Fund's average daily net assets for Class A shares, and 1.79% of the Fund's average daily net assets for Class C shares. The Fund is authorized to reimburse Credit Suisse for management fees previously waived and/or for expenses previously paid by Credit Suisse, provided, however, that any reimbursement must be paid at a date not more than thirty-six months following the applicable month during which such fees were waived or expenses were paid by Credit Suisse and the reimbursement does not cause the applicable class's aggregate expenses, on an annualized basis, to exceed either (i) the applicable expense limitation in effect at the time such fees were waived or such expenses were paid by Credit Suisse or (ii) the applicable expense limitation in effect at the time of such reimbursement. This contract may not be terminated before February 28, 2025. For the six months ended April 30, 2024, there was no recoupment.

The amounts waived and reimbursed by Credit Suisse, which are available for potential future recoupment by Credit Suisse, and the expiration schedule at April 30, 2024 are as follows:

    Fee waivers/expense
reimbursements
subject to
recoupment
  Expires
October 31,
2024
  Expires
October 31,
2025
  Expires
October 31,
2026
  Expires
October 31,
2027
 

Class I

 

$

3,302,337

   

$

810,885

   

$

1,142,709

   

$

821,815

   

$

526,928

   

Class A

   

278,466

     

89,377

     

78,116

     

68,421

     

42,552

   

Class C

   

349,113

     

110,388

     

102,580

     

91,358

     

44,787

   

Totals

 

$

3,929,916

   

$

1,010,650

   

$

1,323,405

   

$

981,594

   

$

614,267

   

Credit Suisse Asset Management Limited ("Credit Suisse U.K."), an affiliate of Credit Suisse, served as sub-investment advisor to the Fund directly during the six months ended April 30, 2024. Credit Suisse U.K.'s sub-investment advisor fees are paid by Credit Suisse.


57


Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 3. Transactions with Affiliates and Related Parties (continued)

Credit Suisse Securities (USA) LLC ("CSSU"), an affiliate of Credit Suisse, served as the distributor of the Fund's shares during the six months ended April 30, 2024. Pursuant to a distribution plan adopted by the Fund pursuant to Rule 12b-1 under the 1940 Act, CSSU receives fees for its distribution services. These fees are calculated at an annual rate of 0.25% of the average daily net assets of the Class A shares. For the Class C shares, the fee is calculated at an annual rate of 1.00% of the average daily net assets. For the six months ended April 30, 2024, the Fund paid Rule 12b-1 distribution fees of $40,543 for Class A shares and $169,535 for Class C shares. Class I shares are not subject to Rule 12b-1 distribution fees.

For the six months ended April 30, 2024, CSSU and its affiliates advised the Fund that they retained $8,971 from commissions earned on the sale of the Fund's Class A shares. There were no commissions earned on the sale of Class C shares.

The Fund from time to time purchases or sells loan investments in the secondary market through Credit Suisse or its affiliates acting in the capacity as broker-dealer. Credit Suisse or its affiliates may have acted in some type of agent capacity to the initial loan offering prior to such loan trading in the secondary market.

Note 4. Line of Credit

The Fund, together with other funds/portfolios advised by Credit Suisse (collectively, the "Participating Funds"), participates in a committed, unsecured line of credit facility ("Credit Facility"), with SSB in an aggregated amount of $125 million for temporary or emergency purposes under a first-come, first-served basis. Under the terms of the Credit Facility, the Participating Funds pay an aggregate commitment fee on the average unused amount of the Credit Facility, which is allocated among the Participating Funds in such manner as is determined by the governing boards of the Participating Funds. In addition, the Participating Funds pay interest on borrowings at either the Federal Funds Effective rate or the Overnight Bank Funding rate plus a spread. At April 30, 2024 and for the six months ended April 30, 2024, the Fund had no borrowings outstanding under the Credit Facility. Additionally, the Fund and another Participating Fund are parties to a joint uncommitted line of credit facility with SSB in an aggregated amount of $200 million. For the six months ended April 30, 2024, the line was not drawn upon and no fees were incurred.


58


Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 5. Purchases and Sales of Securities

For the six months ended April 30, 2024, purchases and sales of investment securities (excluding short-term investments) and U.S. Government and Agency Obligations were as follows:

Investment Securities

  U.S. Government/
Agency Obligations
 
Purchases  

Sales

 

Purchases

 

Sales

 
$

237,006,965

   

$

88,286,163

   

$

0

   

$

0

   

Note 6. Capital Share Transactions

The Fund is authorized to issue an unlimited number of full and fractional shares of beneficial interest, $0.001 par value per share. The Fund offers Class I, Class A and Class C shares. Transactions in capital shares for each class of the Fund were as follows:

   

Class I

 
    For the Six Months Ended
April 30, 2024 (unaudited)
  For the Year Ended
October 31, 2023
 
   

Shares

 

Value

 

Shares

 

Value

 

Shares sold

   

25,108,120

   

$

235,952,238

     

22,998,520

   

$

210,846,122

   
Shares issued in reinvestment
of distributions
   

1,522,505

     

14,359,169

     

2,133,728

     

19,560,498

   

Shares redeemed

   

(6,979,008

)

   

(65,704,891

)

   

(31,089,579

)

   

(282,854,090

)

 

Net increase (decrease)

   

19,651,617

   

$

184,606,516

     

(5,957,331

)

 

$

(52,447,470

)

 
   

Class A

 
    For the Six Months Ended
April 30, 2024 (unaudited)
  For the Year Ended
October 31, 2023
 
   

Shares

 

Value

 

Shares

 

Value

 

Shares sold

   

2,255,969

   

$

21,192,492

     

3,808,781

   

$

35,081,977

   
Shares issued in reinvestment
of distributions
   

123,306

     

1,162,745

     

175,926

     

1,613,666

   

Shares redeemed

   

(766,270

)

   

(7,200,538

)

   

(3,603,778

)

   

(33,123,535

)

 

Net increase

   

1,613,005

   

$

15,154,699

     

380,929

   

$

3,572,108

   
   

Class C

 
    For the Six Months Ended
April 30, 2024 (unaudited)
  For the Year Ended
October 31, 2023
 
   

Shares

 

Value

 

Shares

 

Value

 

Shares sold

   

814,488

   

$

7,680,127

     

785,243

   

$

7,204,646

   
Shares issued in reinvestment
of distributions
   

120,863

     

1,139,960

     

228,207

     

2,093,844

   

Shares redeemed

   

(382,073

)

   

(3,594,917

)

   

(922,901

)

   

(8,442,036

)

 

Net increase

   

553,278

   

$

5,225,170

     

90,549

   

$

856,454

   


59


Credit Suisse Strategic Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 6. Capital Share Transactions (continued)

On April 30, 2024, the number of shareholders that held 5% or more of the outstanding shares of each class of the Fund was as follows:

    Number of
Shareholders
  Approximate Percentage
of Outstanding Shares
 

Class I

   

7

     

86

%

 

Class A

   

5

     

66

%

 

Class C

   

5

     

87

%

 

The Fund's performance may be negatively impacted in the event one or more of the Fund's greater than 5% shareholders were to redeem at a given time. Some of the shareholders may be omnibus accounts, which hold shares on behalf of individual shareholders.

Note 7. Contingencies

In the normal course of business, the Fund may provide general indemnifications pursuant to certain contracts and organizational documents. The Fund's maximum exposure under these arrangements is dependent on future claims that may be made against the Fund and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote.

Note 8. Subsequent Events

On May 1, 2024, Credit Suisse Asset Management, LLC ("Credit Suisse") merged into UBS Asset Management (Americas) LLC ("UBS AM (Americas)"), with UBS AM (Americas) as the surviving entity, and UBS AM (Americas) became the investment manager to the Fund. Also on May 1, 2024, UBS Asset Management (US) Inc. replaced CSSU as the Fund's underwriter and distributor.


60



Credit Suisse Strategic Income Fund
Change in Independent Registered Public Accounting Firm
(unaudited)

On April 23, 2024, the Fund's Board approved the dismissal of PricewaterhouseCoopers LLP ("PwC") as the independent registered public accounting firm for the Fund, due to PwC's ceasing to be deemed an independent registered public accounting firm with respect to the Fund after April 30, 2024. The Board's decision to approve the dismissal of PwC was recommended by the Audit Committee of the Board. PwC's reports on the Fund's financial statements for the fiscal periods ended October 31, 2023 and October 31, 2022 contained no adverse opinion or disclaimer of opinion nor were they qualified or modified as to uncertainty, audit scope or accounting principle. During the Fund's fiscal periods ended October 31, 2023 and October 31, 2022 and the subsequent interim period through April 23, 2024, (i) there were no disagreements with PwC on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of PwC, would have caused them to make reference to the subject matter of the disagreements in connection with their reports on the Fund's financial statements for such periods, and (ii) there were no "reportable events" of the kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended.

Upon the recommendation of the Audit Committee of the Fund's Board, the Fund's Board approved the engagement of Ernst & Young LLP ("EY") as the Fund's independent registered public accounting firm for the fiscal year ending October 31, 2024. During the Fund's fiscal periods ended October 31, 2023 and October 31, 2022 and the subsequent interim period through June 19, 2024, neither the Fund, nor anyone on its behalf, consulted with EY on items which: (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Fund's financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(v) of said Item 304).


61



Credit Suisse Strategic Income Fund
Liquidity Risk Management Program
(unaudited)

The Fund has adopted and implemented a written liquidity risk management program (the "Liquidity Program") in accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended. The Liquidity Program seeks to assess and manage the Fund's liquidity risk, i.e., the risk that the Fund is unable to satisfy redemption requests without significantly diluting remaining investors' interests in the Fund. The Board has designated the Fund's investment adviser to administer the Liquidity Program (the "Program Administrator"). Prior to May 1, 2024, Credit Suisse Asset Management, LLC served as Program Administrator. Effective May 1, 2024, UBS Asset Management (Americas) LLC serves as the Program Administrator. Certain aspects of the Liquidity Program rely on third parties to perform certain functions, including the provision of market data and application of models.

Under the Liquidity Program, the Program Administrator assesses, manages and periodically reviews the Fund's liquidity risk and classifies each investment held by the Fund as a "highly liquid investment," "moderately liquid investment," "less liquid investment" or "illiquid investment." The liquidity of the Fund's portfolio investments is determined based on relevant market, trading and investment-specific considerations under the Liquidity Program.

During the six months ended April 30, 2024, the Trust's Board received reports from the Program Administrator that included information to address the operations of the Liquidity Program and assess its adequacy and effectiveness of implementation during the period covered by the reports. The reports indicated that the Liquidity Program is reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the reporting period.

There can be no assurance that the Liquidity Program will achieve its objectives under all circumstances in the future. Please refer to the Fund's prospectus for more information regarding the Fund's exposure to illiquidity risk and other risks to which it may be subject.


62



Credit Suisse Strategic Income Fund
Notice of Privacy and Information Practices
(unaudited)

At UBS AM (Americas), we know that you are concerned with how we protect and handle nonpublic personal information that identifies you. This notice is designed to help you understand what nonpublic personal information we collect from you and from other sources, and how we use that information in connection with your investments and investment choices that may be available to you. Except where otherwise noted, this notice is applicable only to consumers who are current or former investors, meaning individual persons whose investments are primarily for household, family or personal use ("individual investors"). Specified sections of this notice, however, also apply to other types of investors (called "institutional investors"). Where the notice applies to institutional investors, the notice expressly states so. This notice is being provided by Credit Suisse Funds and Credit Suisse Closed-End Funds. This notice applies solely to U.S. registered investment companies advised by UBS AM (Americas).

Categories of information we may collect:

We may collect information about you, including nonpublic personal information, such as

•  Information we receive from you on applications, forms, agreements, questionnaires, Credit Suisse websites and other websites that are part of our investment program, or in the course of establishing or maintaining a customer relationship, such as your name, address, e-mail address, Social Security number, assets, income, financial situation; and

•  Information we obtain from your transactions and experiences with us, our affiliates, or others, such as your account balances or other investment information, assets purchased and sold, and other parties to a transaction, where applicable.

Categories of information we disclose and parties to whom we disclose it:

•  We do not disclose nonpublic personal information about our individual investors, except as permitted or required by law or regulation. Whether you are an individual investor or institutional investor, we may share the information described above with our affiliates that perform services on our behalf, and with our asset management and private banking affiliates; as well as with unaffiliated third parties that perform services on our behalf, such as our accountants, auditors, attorneys, broker-dealers, fund administrators, and other service providers.


63



Credit Suisse Strategic Income Fund
Notice of Privacy and Information Practices
(unaudited) (continued)

•  We want our investors to be informed about additional products or services. We do not disclose nonpublic personal information relating to individual investors to our affiliates for marketing purposes, nor do we use such information received from our affiliates to solicit individual investors for such purposes. Whether you are an individual investor or an institutional investor, we may disclose information, including nonpublic personal information, regarding our transactions and experiences with you to our affiliates.

•  In addition, whether you are an individual investor or an institutional investor, we reserve the right to disclose information, including nonpublic personal information, about you to any person or entity, including without limitation any governmental agency, regulatory authority or self-regulatory organization having jurisdiction over us or our affiliates, if (i) we determine in our discretion that such disclosure is necessary or advisable pursuant to or in connection with any United States federal, state or local, or non-U.S., court order (or other legal process), law, rule, regulation, or executive order or policy, including without limitation any anti-money laundering law or the USA PATRIOT Act of 2001; and (ii) such disclosure is not otherwise prohibited by law, rule, regulation, or executive order or policy.

Confidentiality and security

•  To protect nonpublic personal information about individual investors, we restrict access to those employees and agents who need to know that information to provide products or services to us and to our investors. We maintain physical, electronic, and procedural safeguards to protect nonpublic personal information.

Other Disclosures

This notice is not intended to be incorporated in any offering materials, but is a statement of our current Notice of Privacy and Information Practices and may be amended from time to time. This notice is current as of May 14, 2024.


64



Credit Suisse Strategic Income Fund
Proxy Voting and Portfolio Holdings Information
(unaudited)

Information regarding how the Fund voted proxies related to its portfolio securities during the 12-month period ended June 30 of each year, as well as the policies and procedures that the Fund uses to determine how to vote proxies relating to its portfolio securities are available:

•  By calling 1-877-870-2874

•  On the Fund's website, www.credit-suisse.com/us/funds

•  On the website of the Securities and Exchange Commission, www.sec.gov

The Fund files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund's Forms N-PORT and N-Q are available on the SEC's website at www.sec.gov.


65


P.O. BOX 219916, KANSAS CITY, MO 64121-9916

877-870-2874 www.credit-suisse.com/us/funds

UBS Asset Management (US) Inc., DISTRIBUTOR.  SIF-SAR-0424


CREDIT SUISSE FUNDS

Semiannual Report

April 30, 2024
  (unaudited)

  CREDIT SUISSE
FLOATING RATE HIGH INCOME FUND


The Fund's investment objectives, 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. You may obtain additional copies by calling 877-870-2874 or by visiting our website at www.credit-suisse.com/us/funds.

Credit Suisse Securities (USA) LLC, the Distributor for the six months ended April 30, 2024, is located at Eleven Madison Avenue, New York, NY 10010. UBS Asset Management (US) Inc. became the new distributor as of May 1, 2024. The Credit Suisse Funds were advised by Credit Suisse Asset Management, LLC for the six months ended April 30, 2024. UBS Asset Management (Americas) LLC became the investment manager on May 1, 2024 pursuant an internal merger between Credit Suisse Asset Management LLC and UBS Asset Management (Americas) LLC.

Investors in the Credit Suisse Funds should be aware that they may be eligible to purchase Class I shares (where offered) directly or through certain intermediaries. Such shares are not subject to a sales charge. Investors in the Credit Suisse Funds should also be aware that they may be eligible for a reduction or waiver of the sales charge with respect to Class A or C shares (where offered). For more information, please review the relevant prospectuses or consult your financial representative.

Fund shares are not deposits or other obligations of UBS Asset Management (Americas) LLC or any affiliate, are not FDIC-insured and are not guaranteed by UBS Asset Management (Americas) LLC or any affiliate. Fund investments are subject to investment risks, including loss of your investment.


Credit Suisse Floating Rate High Income Fund
Semiannual Investment Adviser's Report

April 30, 2024 (unaudited)

April 30, 2024

Dear Shareholder:

We are pleased to present this Semiannual Report covering the activities of the Credit Suisse Floating Rate High Income Fund (the "Fund") for the six-month period ended April 30, 2024 (the "Period").

Performance Summary
11/1/2023 – 04/30/24

Fund & Benchmark

 

Performance

 
Class I1    

5.56

%

 
Class A1,2    

5.43

%

 
Class C1,2    

5.04

%

 
Credit Suisse Leveraged Loan Index3    

6.13

%

 

Performance shown for the Fund's Class A and Class C Shares does not reflect sales charges, which are a maximum of 4.75% and 1.00%, respectively.2

1​  Fee waivers and/or expense reimbursements reduce expenses for the Fund, without which performance would be lower. Voluntary waivers and/or expense reimbursements may be discontinued at any time.

2​  Total return for the Fund's Class A shares for the reporting period, based on offering price (including maximum sales charge of 4.75%), was 0.36%. Total return for the Fund's Class C shares for the reporting period, based on redemption value (including maximum contingent deferred sales charge ("CDSC") of 1.00%), was 4.04%.

3  ​Credit Suisse Leveraged Loan Index is an unmanaged index that is designed to mirror the investable universe of the U.S. dollar denominated institutional leveraged loan market. The index does not have transaction costs and investors cannot invest directly in the index.

Market Review: A Positive Period for Loans

The Period was a positive one for loans, with the Credit Suisse Leveraged Loan Index (the "Index"), registering a return of 6.13%. The Index saw positive returns in each of the six months of the Period. The senior loan discount margin, assuming a three-year average life, tightened by 74 basis points to end the period at 504 basis points. The average price of the Index finished the period 1.80 points higher at 95.92.

From a quality standpoint, CCC/split CCC-rated outperformed B-rated, while BB-rated lagged both. The lower tier returned 8.43% while the middle and upper tiers returned 6.33% and 4.92% respectively.

On the sector front, the Index was led by housing and healthcare, returning 7.28% and 7.23%, respectively for the period. Media/telecommunications and food/tobacco were the largest sector laggards, returning 4.80% and 5.29% respectively.


1


Credit Suisse Floating Rate High Income Fund
Semiannual Investment Adviser's Report (continued)

April 30, 2024 (unaudited)

The par-weighted default rate in loans ended April at 2.94%, but we anticipate it to increase as we continue to operate in a heightened rate environment.

The recent rise in rates has had a ripple effect on the market. More expensive financing has led to a decrease in mergers and acquisitions ("M&A"). In turn, this has restricted new paper from entering the market through primary offerings, subsequently ushering all buyers into the secondary market. Unsurprisingly, secondary price increases, coupled with a lack of real new issuance, has created an environment conducive to repricing transactions. According to JPMorgan, gross/net new issuance over the period was lopsided at $470.5 billion/$61.2 billion respectively.

According to JPMorgan, fund flows have been positive in all but one of the last six months to total +$7.8 billion, with $4.7 billion of this total occurring over the last two months. This strength has extended into the collateralized loan obligation ("CLO") market as well, which saw a notable amount of refinancing/reset activity during the period to deliver gross/net issuance of $155.2 billion/$85.9 billion respectively.

Strategic Review and Outlook: Credit Selection Continues to be Critical

For the Period, all Fund share classes slightly underperformed the Index. The Fund's allocation to high yield and CLOs contributed to relative performance, while negative selection within the bank loan sector detracted from relative returns. Healthcare, service, and information technology contributed positively to relative returns, while media/telecommunications, chemicals and manufacturing were the largest detractors. From a ratings perspective, positive selection within B-rated investments contributed to performance, while negative selection within CCC- and CC-rated positions detracted.

Demand for leveraged loans and high yield bonds exceeds supply given the current low net issuance volume coupled with elevated cash balances. The fundamentals of leveraged loan and high yield issuers remain sound, and we do not expect a material increase in distressed activity this year. Looking forward, we are mindful of rising geopolitical tensions in the Middle East, a continuing conflict in Ukraine, and slowly evolving cracks in commercial real estate markets.

The health of issuer balance sheets gives us comfort amid the uncertainty, and we will continue to focus on credit selection to capture opportunities, as the impacts of higher capital costs and other risks spread throughout the global economy.


2


Credit Suisse Floating Rate High Income Fund
Semiannual Investment Adviser's Report (continued)

April 30, 2024 (unaudited)

The Credit Suisse Credit Investments Group Team

John G. Popp
Wing Chan
David Mechlin
Louis Farano
Joshua Shedroff

Senior secured floating rate loans ("Senior Loans") typically hold the most senior position in the issuer's capital structure. Senior Loans are subject to the risk that a court could subordinate a Senior Loan to presently existing or future indebtedness or take other action detrimental to the holders of Senior Loans.

High yield bonds are bonds rated below BBB- by S&P or Baa3 by Moody's that are also known as "junk bonds." Such bonds entail greater risks than those found in higher- rated securities.

Additional principal risk factors for the Fund include below investment grade securities risk, conflict of interest risk, credit risk, foreign securities risk, illiquidity risk, interest rate risk, market risk, prepayment risk, reference rate replacement risk, senior loan risk, and valuation risk. Before you invest, please make sure you understand the risks that apply to the Fund. As with any mutual fund, you could lose money over any period of time.

Investments in the Fund are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any government agency. For a detailed discussion of these and other risks, please refer to the Fund's Prospectus, which should be read carefully before investing.

In addition to historical information, this report contains forward-looking statements, which may concern, among other things, domestic and foreign markets, industry and economic trends and developments and government regulation, and their potential impact on the Fund's investments. These statements are subject to risks and uncertainties and actual trends, developments and regulations in the future, and their impact on the Fund, could be materially different from those projected, anticipated or implied. The Fund has no obligation to update or revise forward-looking statements.


3


Credit Suisse Floating Rate High Income Fund
Semiannual Investment Adviser's Report (continued)

April 30, 2024 (unaudited)

The views of the Fund's management are as of the date of this letter and the Fund holdings described in this document are as of April 30, 2024; these views and Fund holdings may have changed subsequent to these dates. Nothing in this document is a recommendation to purchase or sell securities.


4


Credit Suisse Floating Rate High Income Fund
Semiannual Investment Adviser's Report (continued)

April 30, 2024 (unaudited)

Average Annual Returns as of April 30, 20241

   

6 Months

 

1 Year

 

5 Years

 

10 Years

 

Class I

   

5.56

%

   

11.00

%

   

4.78

%

   

4.34

%

 

Class A Without Sales Charge

   

5.43

%

   

10.72

%

   

4.50

%

   

4.08

%

 

Class A With Maximum Sales Charge

   

0.36

%

   

5.54

%

   

3.48

%

   

3.57

%

 

Class C Without CDSC

   

5.04

%

   

9.90

%

   

3.73

%

   

3.30

%

 

Class C With CDSC

   

4.04

%

   

8.90

%

   

3.73

%

   

3.30

%

 

Returns represent past performance and include change in share price and reinvestment of dividends, capital gains, and return of capital distributions, if any. Past performance cannot guarantee future results. The current performance of the Fund may be lower or higher than the figures shown. Returns and share price will fluctuate, and redemption value may be more or less than original cost. The performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance information current to the most recent month end is available at www.credit-suisse.com/us/funds.

The annual gross expense ratios as in the February 28, 2024 Prospectus are 0.81% for Class I shares, 1.06% for Class A shares and 1.81% for Class C shares. The annual net expense ratios after fee waivers and/or expense reimbursements as in the February 28, 2024 Prospectus are 0.70% for Class I shares, 0.95% for Class A shares and 1.70% for Class C shares.

1​  Fee waivers and/or expense reimbursements reduce expenses for the Fund, without which performance would be lower. Effective April 22, 2019, the Fund entered into a written contract to limit expenses to 0.70% of the Fund's average daily net assets for Class I shares, 0.95% of the Fund's average daily net assets for Class A shares and 1.70% of the Fund's average daily net assets for Class C shares through at least February 28, 2025. This limit excludes certain expenses, as set forth in the Fund's Prospectus.


5


Credit Suisse Floating Rate High Income Fund
Semiannual Investment Adviser's Report (continued)

April 30, 2024 (unaudited)

Information About Your Fund's Expenses

As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees, distribution and service (12b-1) fees and other Fund expenses. Examples of transaction costs include sales charges (loads), redemption fees and account maintenance fees, which are not shown in this section and which would result in higher total expenses. The following table is intended to help you understand your ongoing expenses of investing in the Fund and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. The table is based on an investment of $1,000 made at the beginning of the six months ended April 30, 2024.

The table illustrates your Fund's expenses in two ways:

•  Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses paid on a $1,000 investment in the Fund using the Fund's actual return during the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the "Expenses Paid per $1,000" line.

•  Hypothetical 5% Fund Return. This helps you to compare the Fund's ongoing expenses with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.

Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. If these transaction costs had been included, your costs would have been higher. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expenses of owning different funds.


6


Credit Suisse Floating Rate High Income Fund
Semiannual Investment Adviser's Report (continued)

April 30, 2024 (unaudited)

Expenses and Value for a $1,000 Investment
for the six-month period ended April 30, 2024

Actual Fund Return

 

Class I

 

Class A

 

Class C

 

Beginning Account Value 11/01/23

 

$

1,000.00

   

$

1,000.00

   

$

1,000.00

   

Ending Account Value 04/30/24

 

$

1,055.60

   

$

1,054.30

   

$

1,050.40

   

Expenses Paid per $1,000*

 

$

3.58

   

$

4.85

   

$

8.67

   

Hypothetical 5% Fund Return

 

Beginning Account Value 11/01/23

 

$

1,000.00

   

$

1,000.00

   

$

1,000.00

   

Ending Account Value 04/30/24

 

$

1,021.38

   

$

1,020.14

   

$

1,016.41

   

Expenses Paid per $1,000*

 

$

3.52

   

$

4.77

   

$

8.52

   
   

Class I

 

Class A

 

Class C

 

Annualized Expense Ratios*

   

0.70

%

   

0.95

%

   

1.70

%

 

*  Expenses are equal to the Fund's annualized expense ratio for each share class, multiplied by the average account value over the period, multiplied by 182/366 to reflect the one-half year period.

  The "Expenses Paid per $1,000" and the "Annualized Expense Ratios" in the tables are based on actual expenses paid by the Fund during the period, net of fee waivers and/or actual expense reimbursements, if applicable. If those fee waivers and/or expense reimbursements had not been in effect, the Fund's actual expenses would have been higher. Expenses do not reflect additional charges and expenses that are, or may be, imposed under the variable contracts or plans. Such charges and expenses are described in the prospectus of the insurance company separate account or in the plan documents or other informational materials supplied by plan sponsors. The Fund's expenses should be considered with these charges and expenses in evaluating the overall cost of investing in the separate account.

For more information, please refer to the Fund's Prospectus.


7


Credit Suisse Floating Rate High Income Fund
Semiannual Investment Adviser's Report (continued)

April 30, 2024 (unaudited)

Credit Quality Breakdown*

(% of Total Investments as of April 30, 2024)

S&P Ratings**

     

A

   

0.4

%

 

AAA

   

0.4

   

BBB

   

6.5

   

BB

   

19.6

   

B

   

50.1

   

CCC

   

9.6

   

D

   

0.2

   

NR

   

7.2

   

Subtotal

   

94.0

   

Equity and Other

   

6.0

   

Total

   

100.0

%

 

*  ​Expressed as a percentage of total investments (excluding securities lending collateral if applicable) and may vary over time.

**  ​Credit Quality is based on ratings provided by the S&P Global Ratings Division of S&P Global Inc. ("S&P"). S&P is a main provider of ratings for credit assets classes and is widely used amongst industry participants. The NR category consists of securities that have not been rated by S&P.

Derivatives are not reflected in amounts reported above.


8


Credit Suisse Floating Rate High Income Fund
Schedule of Investments

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (81.8%)      
Advertising (0.4%)      

$

7,685

    MH Sub I LLC,
1 mo. USD Term SOFR + 4.250%(1)
 

(B, B1)

 

05/03/28

   

9.566

   

$

7,669,641

   
Aerospace & Defense (2.6%)      
 

4,750

    Amentum Government Services
Holdings LLC, 1 mo. USD Term
SOFR + 8.750%(1),(2)
 

(NR, NR)

 

01/31/28

   

14.180

     

4,791,563

   
 

6,000

    Amentum Government Services
Holdings LLC, 1 mo. USD Term
SOFR + 7.500%(1),(2)
 

(NR, NR)

 

02/15/30

   

12.915

     

6,052,500

   
 

2,881

    Amentum Government Services
Holdings LLC, 1 mo. USD Term
SOFR + 4.000%(1)
 

(B, B2)

 

02/15/29

   

9.315

     

2,890,961

   
 

2,754

    Arcline FM Holdings LLC,
3 mo. USD Term SOFR + 4.750%(1)
 

(B, B3)

 

06/23/28

   

10.321

     

2,764,519

   
 

4,174

    Brown Group Holding LLC,
1 mo. USD Term SOFR + 3.000%,
3 mo. USD Term SOFR + 3.000%(1)
 
(B+, B2)
 
07/02/29
  8.327 -
8.330
   

4,185,683

   
 

6,142

    Brown Group Holding LLC,
1 mo. USD Term SOFR + 2.750%(1)
 

(B+, B2)

 

06/07/28

   

8.166

     

6,154,416

   
 

1,929

    Fly Funding II SARL,
3 mo. USD LIBOR + 1.750%(1)
 

(CCC+, B2)

 

08/11/25

   

7.330

     

1,883,210

   
 

3,000

    KBR, Inc.,
1 mo. USD Term SOFR + 2.250%(1)
 

(BB, Ba1)

 

01/17/31

   

7.566

     

3,012,495

   
 

1,977

    KKR Apple Bidco LLC,
1 mo. USD Term SOFR + 2.750%(1)
 

(B, B2)

 

09/22/28

   

8.180

     

1,981,257

   
 

3,739

    KKR Apple Bidco LLC,
1 mo. USD Term SOFR + 3.500%(1)
 

(B, B2)

 

09/22/28

   

8.816

     

3,754,213

   
 

12,386

    Peraton Corp.,
1 mo. USD Term SOFR + 3.750%(1)
 

(B, B1)

 

02/01/28

   

9.166

     

12,405,744

   
 

2,296

    TransDigm, Inc.,
1 mo. USD Term SOFR + 3.250%(1)
 

(B+, Ba3)

 

02/28/31

   

8.559

     

2,311,883

   
     

52,188,444

   
Auto Parts & Equipment (3.2%)      
 

8,950

    Autokiniton U.S. Holdings, Inc.,
1 mo. USD Term SOFR + 4.000%(1)
 

(B, B2)

 

04/06/28

   

9.430

     

9,006,365

   
 

9,556

    Clarios Global LP,
1 mo. USD Term SOFR + 3.000%(1)
 

(B+, Ba3)

 

05/06/30

   

8.316

     

9,601,059

   
 

6,452

    Dealer Tire Financial LLC,
1 mo. USD Term SOFR + 3.750%(1),(2)
 
(B-, B1)
 
12/14/27
  9.066 -
9.067
   

6,500,848

   
 

4,066

   

First Brands Group LLC(3)

 

(B+, B1)

 

03/30/27

   

0.000

     

3,897,581

   
 

2,366

    First Brands Group LLC,
3 mo. USD Term SOFR + 5.000%(1)
 

(B+, B1)

 

03/30/27

   

10.591

     

2,273,753

   
 

1,347

    Garrett LX I SARL,
3 mo. USD Term SOFR + 3.250%(1)
 

(BB-, Ba2)

 

04/30/28

   

8.841

     

1,351,584

   

See Accompanying Notes to Financial Statements.
9


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Auto Parts & Equipment (continued)      

$

6,571

    Garrett Motion, Inc.,
3 mo. USD Term SOFR + 4.500%(1)
 

(BB-, Ba2)

 

04/30/28

   

9.830

   

$

6,604,286

   
 

1,596

    Gates Global LLC,
1 mo. USD Term SOFR + 2.500%(1)
 

(BB-, Ba2)

 

03/31/27

   

7.916

     

1,603,342

   
 

2,736

    Jason Group, Inc.,
3 mo. USD Term SOFR + 6.000%,
0.000% PIK(1),(4)
 

(NR, WR)

 

08/28/25

   

11.591

     

2,484,831

   
 

5,378

    Les Schwab Tire Centers,
3 mo. USD Term SOFR + 3.000%(1)
 

(B, B2)

 

04/23/31

   

8.317

     

5,398,974

   
 

6,944

    RVR Dealership Holdings LLC,
1 mo. USD Term SOFR + 3.750%(1)
 

(B, B3)

 

02/08/28

   

9.168

     

6,535,682

   
 

6,864

    TI Group Automotive Systems LLC,
3 mo. EUR EURIBOR + 3.250%(1),(2),(5)
 

(BBB-, Ba3)

 

12/16/26

   

7.152

     

7,385,235

   
     

62,643,540

   
Banking (0.2%)      
 

3,700

    Citco Funding LLC,
3 mo. USD Term SOFR + 3.500%(1)
 

(BB, Ba2)

 

04/27/28

   

8.672

     

3,717,907

   
 

1,191

    Citco Funding LLC,
3 mo. USD Term SOFR + 3.250%(1)
 

(BB, Ba2)

 

04/27/28

   

8.422

     

1,196,977

   
     

4,914,884

   
Beverages (0.1%)      
 

2,986

    Aspire Bakeries Holdings LLC,
1 mo. USD Term SOFR + 4.250%(1)
 

(B, B2)

 

12/13/30

   

9.565

     

3,000,180

   
Brokerage (0.4%)      
 

7,194

    DRW Holdings LLC,
1 mo. USD Term SOFR + 3.750%(1)
 

(BB-, Ba3)

 

03/01/28

   

9.183

     

7,196,144

   
Building & Construction (1.0%)      
 

5,464

    Latham Pool Products, Inc.,
1 mo. USD Term SOFR + 3.750%(1)
 

(BB-, B2)

 

02/23/29

   

9.179

     

5,385,404

   
 

4,187

    Pike Corp.,
1 mo. USD Term SOFR + 3.000%(1)
 

(BB-, Ba3)

 

01/21/28

   

8.430

     

4,207,495

   
 

2,399

    Quikrete Holdings, Inc.,
1 mo. USD Term SOFR + 2.500%(1)
 

(BB, Ba2)

 

03/25/31

   

7.819

     

2,403,515

   
 

5,000

    Quikrete Holdings, Inc.,
1 mo. USD Term SOFR + 2.250%(1)
 

(NR, Ba2)

 

03/19/29

   

7.569

     

5,010,725

   
 

2,996

    Service Logic Acquisition, Inc.,
1 mo. USD Term SOFR + 4.000%,
3 mo. USD Term SOFR + 4.000%(1)
 

(B, B2)
 

10/29/27
 
9.430 -
9.591
   

3,007,419

   
     

20,014,558

   

See Accompanying Notes to Financial Statements.
10


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Building Materials (2.6%)      

$

5,695

    Core & Main LP,
1 mo. USD Term SOFR + 2.500%,
3 mo. USD Term SOFR + 2.500%(1),(2)
 

(BB-, Ba3)

 

07/27/28

   

7.918

   

$

5,730,559

   
 

3,591

    Core & Main LP,
3 mo. USD Term SOFR + 2.250%(1),(2)
 

(BB-, Ba3)

 

02/09/31

   

7.568

     

3,608,955

   
 

8,498

    Cornerstone Building Brands, Inc.,
1 mo. USD Term SOFR + 3.250%(1)
 

(B, B2)

 

04/12/28

   

8.671

     

8,345,348

   
 

3,607

    Cornerstone Building Brands, Inc.,
1 mo. USD Term SOFR + 5.625%(1)
 

(B, B2)

 

08/01/28

   

10.946

     

3,663,324

   
 

522

    CPG International, Inc.,
1 mo. USD Term SOFR + 2.500%(1)
 

(BB-, B1)

 

04/28/29

   

7.916

     

523,897

   
 

6,178

    GYP Holdings III Corp.,
1 mo. USD Term SOFR + 2.250%(1)
 

(BB-, Ba1)

 

05/12/30

   

7.566

     

6,197,317

   
 

3,873

    MI Windows and Doors LLC,
1 mo. USD Term SOFR + 3.500%(1)
 

(BB-, B1)

 

03/28/31

   

8.816

     

3,895,949

   
 

5,044

    Oscar AcquisitionCo LLC,
3 mo. USD Term SOFR + 4.500%(1)
 

(B, B1)

 

04/29/29

   

9.902

     

5,073,289

   
 

6,699

    SRS Distribution, Inc.,
1 mo. USD Term SOFR + 3.500%(1)
 

(B-, B3)

 

06/02/28

   

8.930

     

6,754,452

   
 

1,979

    SRS Distribution, Inc.,
1 mo. USD Term SOFR + 3.250%(1)
 

(B-, B3)

 

06/02/28

   

8.666

     

1,995,263

   
 

5,252

    Summit Materials LLC,
3 mo. USD Term SOFR + 2.500%(1)
 

(BBB-, Baa3)

 

01/12/29

   

7.799

     

5,297,615

   
     

51,085,968

   
Cable & Satellite TV (0.8%)      
 

1,297

    Altice Financing SA,
3 mo. USD Term SOFR + 5.000%(1)
 

(B, B3)

 

10/31/27

   

10.329

     

1,181,095

   
 

6,449

    Charter Communications Operating LLC,
3 mo. USD Term SOFR + 2.000%(1)
 

(BBB-, Ba1)

 

12/07/30

   

7.302

     

6,366,545

   
 

7,000

    Ziggo BV,
1 mo. EUR EURIBOR + 3.000%(1),(5)
 

(B+, B1)

 

01/31/29

   

6.879

     

7,349,725

   
     

14,897,365

   
Chemicals (4.3%)      
 

3,059

    Ascend Performance Materials
Operations LLC, 3 mo. USD Term
SOFR + 4.750%(1)
 

(B, B1)

 

08/27/26

   

10.074

     

3,011,593

   
 

4,000

    CeramTec AcquiCo GmbH,
3 mo. EUR EURIBOR + 3.500%(1),(5)
 

(B, B2)

 

03/16/29

   

7.452

     

4,270,756

   
 

3,455

    CPC Acquisition Corp.,
3 mo. USD Term SOFR + 7.750%(1)
 

(CCC-, Ca)

 

12/29/28

   

13.321

     

2,073,888

   
 

3,477

    CPC Acquisition Corp.,
3 mo. USD Term SOFR + 3.750%(1)
 

(CCC+, Caa2)

 

12/29/27

   

9.321

     

2,952,199

   
 

1,859

    Eastman Chemical Co.,
3 mo. USD Term SOFR + 5.250%(1)
 

(B, B2)

 

11/01/28

   

10.821

     

1,822,823

   

See Accompanying Notes to Financial Statements.
11


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Chemicals (continued)      

$

4,314

    Element Solutions, Inc.,
1 mo. USD Term SOFR + 2.000%(1)
 

(BBB-, Ba1)

 

12/18/30

   

7.316

   

$

4,322,713

   
 

10,835

    Hexion Holdings Corp.,
3 mo. USD Term SOFR + 4.500%(1)
 

(B-, B2)

 

03/15/29

   

9.976

     

10,673,401

   
 

4,190

    INEOS Quattro Holdings U.K. Ltd.,
1 mo. USD Term SOFR + 4.250%(1)
 

(BB, Ba3)

 

04/02/29

   

9.666

     

4,187,381

   
 

2,588

    Ineos U.S. Finance LLC,
1 mo. USD Term SOFR + 3.750%(1)
 

(NR, Ba3)

 

02/07/31

   

9.066

     

2,599,572

   
 

2,654

    Nouryon Finance BV,
3 mo. USD Term SOFR + 4.000%(1)
 

(B+, B2)

 

04/03/28

   

9.419

     

2,664,757

   
 

5,121

    PMHC II, Inc.,
3 mo. USD Term SOFR + 4.250%(1)
 

(B-, B3)

 

04/23/29

   

9.706

     

5,056,317

   
 

11,074

    Polar U.S. Borrower LLC,
3 mo. USD Term SOFR + 4.750%(1)
 

(CCC, Caa1)

 

10/15/25

   

10.178

     

8,360,820

   
 

8,167

    Ravago Holdings America, Inc.,
3 mo. USD Term SOFR + 2.500%(1)
 

(NR, B1)

 

03/04/28

   

8.064

     

8,167,400

   
 

2,072

    RelaDyne, Inc.,
1 mo. USD Term SOFR + 4.250%(1)
 

(B, B2)

 

12/22/28

   

9.566

     

2,079,300

   
 

5,430

    RelaDyne, Inc.,
1 mo. USD Term SOFR + 4.500%(1)
 

(B, B2)

 

12/22/28

   

9.818

     

5,460,516

   
 

2,001

   

SK Neptune Husky Finance SARL(2),(6),(7)

 

(NR, WR)

 

04/30/24

   

0.000

     

1,751,124

   
 

9,227

   

SK Neptune Husky Group SARL(6),(7)

 

(D, C)

 

01/03/29

   

0.000

     

174,941

   
 

1,968

    Sparta U.S. HoldCo LLC,
1 mo. USD Term SOFR + 3.250%(1)
 

(B+, B1)

 

08/02/28

   

8.693

     

1,976,415

   
 

1,113

    Starfruit Finco BV,
1 mo. USD Term SOFR + 4.000%(1)
 

(B+, B2)

 

04/03/28

   

9.423

     

1,116,514

   
 

10,187

    Vantage Specialty Chemicals, Inc.,
1 mo. USD Term SOFR + 4.750%(1)
 

(B-, B3)

 

10/26/26

   

10.065

     

10,064,225

   
 

2,193

    Zep, Inc.,
3 mo. USD Term SOFR + 4.000%(1),(2),(8)
 

(NR, NR)

 

10/02/28

   

9.309

     

2,083,491

   
     

84,870,146

   
Diversified Capital Goods (2.5%)      
 

11,254

    Dynacast International LLC,
3 mo. USD Term SOFR + 4.500%(1)
 

(CCC+, B2)

 

07/22/25

   

9.943

     

10,804,165

   
 

1,969

    Dynacast International LLC,
3 mo. USD Term SOFR + 9.000%(1)
 

(CCC-, Caa2)

 

10/22/25

   

14.443

     

1,467,243

   
 

2,941

    Electrical Components International, Inc.,
1 mo. USD Term SOFR + 8.500%(1),(2),(9)
 

(CCC, Caa2)

 

06/26/26

   

13.916

     

2,779,132

   
 

4,873

    Electrical Components International, Inc.,
U.S. (Fed) Prime Rate + 7.500%(1),(2)
 

(B-, B2)

 

06/26/25

   

16.000

     

4,818,101

   
 

2,983

    flin Components International, Inc.,
1 mo. USD Term SOFR + 4.250%(1)
 

(B-, B2)

 

06/26/25

   

9.666

     

2,987,190

   
 

2,343

    INNIO Group Holding GmbH,
3 mo. USD Term SOFR + 4.250%(1)
 
(B+, B2)
 
11/02/28
  9.575 -
9.578
   

2,361,510

   

See Accompanying Notes to Financial Statements.
12


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Diversified Capital Goods (continued)      

$

9,816

    Topgolf Callaway Brands Corp.,
1 mo. USD Term SOFR + 3.000%(1)
 

(B+, B1)

 

03/15/30

   

8.316

   

$

9,861,871

   
 

14,524

    Vertiv Group Corp.,
1 mo. USD Term SOFR + 2.500%(1)
 

(BB, Ba3)

 

03/02/27

   

7.943

     

14,595,188

   
     

49,674,400

   
Electric - Generation (0.1%)      
 

1,402

    WEC U.S. Holdings Ltd.,
1 mo. USD Term SOFR + 2.750%(1)
 

(B+, B1)

 

01/27/31

   

8.066

     

1,404,327

   
Electronics (3.0%)      
 

8,393

    Entegris, Inc.,
3 mo. USD Term SOFR + 2.500%(1)
 

(BB, Baa3)

 

07/06/29

   

7.809

     

8,439,513

   
 

3,930

    Escape Velocity Holdings, Inc.,
3 mo. USD Term SOFR + 4.250%(1)
 

(B, B3)

 

10/08/28

   

9.821

     

3,918,437

   
 

11,935

    Idemia Group,
3 mo. USD Term SOFR + 4.250%(1)
 

(B, B2)

 

09/30/28

   

9.559

     

11,991,330

   
 

7,000

    Idemia Identity & Security France SAS,
3 mo. EUR EURIBOR + 4.000%(1),(5)
 

(B, B2)

 

09/30/28

   

7.902

     

7,508,551

   
 

6,966

    II-VI, Inc.,
1 mo. USD Term SOFR + 2.500%(1)
 

(BB-, Ba1)

 

07/02/29

   

7.829

     

7,007,477

   
 

1,548

    Infinite Bidco LLC,
3 mo. USD Term SOFR + 7.000%(1)
 

(CCC, Caa2)

 

03/02/29

   

12.591

     

1,323,214

   
 

7,823

    Ingram Micro, Inc.,
3 mo. USD Term SOFR + 3.000%(1)
 

(BB-, B1)

 

06/30/28

   

8.571

     

7,857,666

   
 

1,000

    MaxLinear, Inc.,
1 mo. USD Term SOFR + 2.250%(1),(2)
 

(BB-, Ba3)

 

06/23/28

   

7.680

     

995,000

   
 

9,991

    MKS Instruments, Inc.,
1 mo. USD Term SOFR + 2.500%(1)
 

(BB, Ba1)

 

08/17/29

   

7.823

     

10,021,986

   
     

59,063,174

   
Energy - Exploration & Production (0.8%)      
 

1,641

    BIP PipeCo Holdings LLC,
3 mo. USD Term SOFR + 3.250%(1)
 

(B+, Ba3)

 

12/06/30

   

8.548

     

1,644,987

   
 

11,615

    CQP Holdco LP,
3 mo. USD Term SOFR + 3.000%(1)
 

(BB, B1)

 

12/31/30

   

8.302

     

11,661,994

   
 

1,633

    GIP Pilot Acquisition Partners LP,
3 mo. USD Term SOFR + 3.000%(1)
 

(BB-, Ba3)

 

10/04/30

   

8.308

     

1,642,889

   
 

16,147

   

PES Holdings LLC, 3.000% PIK(2),(4),(7)

 

(NR, WR)

 

12/31/24

   

3.000

     

242,199

   
     

15,192,069

   
Environmental (0.7%)      
 

5,389

    Clean Harbors, Inc.,
1 mo. USD Term SOFR + 1.750%(1)
 

(BBB-, Ba1)

 

10/08/28

   

7.180

     

5,416,052

   
 

2,678

    LRS Holdings LLC,
1 mo. USD Term SOFR + 4.250%(1),(2)
 

(B, B3)

 

08/31/28

   

9.680

     

2,681,191

   

See Accompanying Notes to Financial Statements.
13


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Environmental (continued)      

$

3,819

    Patriot Container Corp.,
1 mo. USD Term SOFR + 3.750%(1)
 

(CCC, B2)

 

03/20/25

   

9.166

   

$

3,673,876

   
 

2,111

    Vestis Corp.,
3 mo. USD Term SOFR + 2.250%(1)
 

(BB+, Ba2)

 

02/22/31

   

7.576

     

2,117,431

   
     

13,888,550

   
Food & Drug Retailers (0.7%)      
 

5,401

    Sharp Services LLC,
3 mo. USD Term SOFR + 3.750%(1),(2)
 

(B-, B3)

 

12/31/28

   

9.052

     

5,428,417

   
 

8,902

    WOOF Holdings, Inc.,
3 mo. USD Term SOFR + 3.750%(1)
 

(CCC+, Caa2)

 

12/21/27

   

9.321

     

6,965,820

   
 

2,923

    WOOF Holdings, Inc.,
3 mo. USD Term SOFR + 7.250%(1)
 

(CCC-, Ca)

 

12/21/28

   

12.673

     

1,249,715

   
     

13,643,952

   
Food - Wholesale (1.1%)      
 

9,137

    AI Aqua Merger Sub, Inc.,
1 mo. USD Term SOFR + 4.000%(1)
 

(B, B3)

 

07/31/28

   

9.324

     

9,178,941

   
 

1,393

    AI Aqua Merger Sub, Inc.,
1 mo. USD Term SOFR + 4.250%(1)
 
(B, B3)
 
07/31/28
  9.566 -
9.574
   

1,402,091

   
 

2,000

    Froneri International Ltd.,
6 mo. EUR EURIBOR + 2.125%(1),(5)
 

(BB-, Ba3)

 

01/29/27

   

5.991

     

2,134,651

   
 

5,872

    UTZ Quality Foods LLC,
3 mo. USD Term SOFR + 2.750%(1)
 

(NR, B2)

 

01/20/28

   

8.066

     

5,894,476

   
 

4,223

    Zara U.K. Midco Ltd.,
3 mo. EUR EURIBOR + 5.750%(1),(5)
 

(B-, Caa1)

 

08/01/28

   

9.672

     

3,805,886

   
     

22,416,045

   
Gaming (0.8%)      
 

6,008

    Arcis Golf LLC,
1 mo. USD Term SOFR + 3.750%(1)
 

(B+, B2)

 

11/24/28

   

9.180

     

6,036,026

   
 

2,675

    Fertitta Entertainment LLC,
1 mo. USD Term SOFR + 3.750%(1)
 

(B, B2)

 

01/27/29

   

9.069

     

2,684,190

   
 

3,586

    Light & Wonder International, Inc.,
1 mo. USD Term SOFR + 2.750%(1)
 

(BB, Ba1)

 

04/14/29

   

8.071

     

3,598,544

   
 

3,021

    PENN Entertainment, Inc.,
1 mo. USD Term SOFR + 2.750%(1)
 

(BB, Ba3)

 

05/03/29

   

8.166

     

3,028,316

   
     

15,347,076

   
Gas Distribution (0.9%)      
 

2,568

    AL NGPL Holdings LLC,
3 mo. USD Term SOFR + 3.250%(1)
 

(B+, Ba3)

 

04/13/28

   

8.556

     

2,580,684

   
 

6,045

    BCP Renaissance Parent LLC,
3 mo. USD Term SOFR + 3.500%(1)
 

(B+, B2)

 

10/31/28

   

8.829

     

6,081,627

   
 

9,183

    Traverse Midstream Partners LLC,
3 mo. USD Term SOFR + 3.500%(1)
 

(B+, B2)

 

02/16/28

   

8.830

     

9,221,491

   
     

17,883,802

   

See Accompanying Notes to Financial Statements.
14


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Health Facilities (1.2%)      

$

5,127

    Bayou Intermediate II LLC,
3 mo. USD Term SOFR + 4.500%(1)
 

(B-, B2)

 

08/02/28

   

10.091

   

$

5,088,827

   
 

2,931

    Carestream Health, Inc.,
3 mo. USD Term SOFR + 7.500%(1)
 

(B-, Caa1)

 

09/30/27

   

12.909

     

2,660,213

   
 

3,226

    Insulet Corp.,
1 mo. USD Term SOFR + 3.000%(1)
 

(BB-, Ba2)

 

05/04/28

   

8.316

     

3,243,025

   
 

7,185

    Loire Finco Luxembourg SARL,
1 mo. USD Term SOFR + 3.750%(1)
 

(B, B3)

 

04/21/27

   

9.166

     

7,054,939

   
 

5,583

    Surgery Center Holdings, Inc.,
1 mo. USD Term SOFR + 3.500%(1)
 

(B, Ba3)

 

12/19/30

   

8.815

     

5,622,748

   
     

23,669,752

   
Health Services (4.8%)      
 

10,992

    ADMI Corp.,
1 mo. USD Term SOFR + 3.375%(1)
 

(B-, B3)

 

12/23/27

   

8.805

     

10,626,653

   
 

1,535

    ADMI Corp.,
1 mo. USD Term SOFR + 5.750%(1)
 

(B-, B3)

 

12/23/27

   

11.066

     

1,547,448

   
 

12,572

    Athenahealth Group, Inc.,
1 mo. USD Term SOFR + 3.250%(1)
 

(B-, B2)

 

02/15/29

   

8.566

     

12,567,759

   
 

1,339

    EyeCare Partners LLC,
3 mo. USD Term SOFR + 1.000%(1)
 

(NR, NR)

 

11/30/28

   

6.328

     

856,742

   
 

390

   

EyeCare Partners LLC(3)

 

(NR, NR)

 

08/31/28

   

0.000

     

392,791

   
 

4,988

    IVC Acquisition Ltd.,
3 mo. USD Term SOFR + 5.500%(1)
 

(B, B3)

 

12/12/28

   

10.809

     

5,008,697

   
 

9,356

    Learning Care Group, Inc.,
3 mo. USD Term SOFR + 4.750%(1)
 
(B, B2)
 
08/11/28
   

10.093

     

9,395,013

   
 

4,741

    MedAssets Software Intermediate
Holdings, Inc., 1 mo. USD Term
SOFR + 6.750%(1),(2)
 

(D, Ca)

 

12/17/29

   

12.180

     

3,330,303

   
 

1,481

    MedAssets Software Intermediate
Holdings, Inc., 3 mo. USD Term
SOFR + 4.000%(1)
 

(CCC, Caa1)

 

12/18/28

   

9.424

     

1,254,281

   
 

4,383

    Pacific Dental Services LLC,
1 mo. USD Term SOFR + 3.250%(1)
 

(B, B1)

 

03/15/31

   

8.571

     

4,399,486

   
 

3,593

    Packaging Coordinators Midco, Inc.,
3 mo. USD Term SOFR + 3.500%(1)
 

(B-, B3)

 

11/30/27

   

9.071

     

3,609,358

   
 

9,076

    PointClickCare Technologies, Inc.,
2 mo. USD Term SOFR + 3.000%(1),(2)
 

(NR, B2)

 

12/29/27

   

9.309

     

9,144,376

   
 

4,782

    Radiology Partners, Inc.,
3 mo. USD Term SOFR + 3.500%,
3 mo. USD Term SOFR + 5.000%(1)
 
(B-, B3)
 
01/31/29
  9.087 -
10.587
   

4,600,819

   
 

3,823

    Select Medical Corp.,
1 mo. USD Term SOFR + 3.000%(1)
 

(BB-, Ba2)

 

03/06/27

   

8.316

     

3,831,557

   
 

4,433

    Southern Veterinary Partners LLC,
1 mo. USD Term SOFR + 4.000%(1)
 

(B-, B2)

 

10/05/27

   

9.430

     

4,448,440

   

See Accompanying Notes to Financial Statements.
15


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Health Services (continued)      

$

7,594

    U.S. Radiology Specialists, Inc.,
3 mo. USD Term SOFR + 5.250%(1)
 

(B-, B3)

 

12/15/27

   

10.702

   

$

7,622,045

   
 

1,816

    Western Dental Services, Inc.
(2021 Delayed Draw Term Loan),
3 mo. USD Term SOFR + 4.500%(1)
 

(CCC, Caa1)

 

08/18/28

   

10.105

     

1,138,726

   
 

15,325

    Western Dental Services, Inc.
(2021 Term Loan B),
3 mo. USD Term SOFR + 4.500%(1)
 

(CCC, Caa1)

 

08/18/28

   

10.105

     

9,611,741

   
 

1,938

    Women's Care Enterprises LLC,
3 mo. USD Term SOFR + 4.500%(1)
 

(B-, B2)

 

01/15/28

   

9.930

     

1,812,959

   
     

95,199,194

   
Hotels (0.9%)      
 

7,588

    Alterra Mountain Co.,
1 wk. USD Term SOFR + 3.250%(1)
 

(B+, B1)

 

08/17/28

   

8.577

     

7,630,703

   
 

1,029

    Alterra Mountain Co.,
1 mo. USD Term SOFR + 3.500%(1)
 

(B+, B1)

 

05/31/30

   

8.827

     

1,035,644

   
 

6,893

    Hilton Domestic Operating Co., Inc.,
1 mo. USD Term SOFR + 2.000%(1)
 

(BBB-, Baa2)

 

11/08/30

   

7.417

     

6,915,812

   
 

1,580

    RHP Hotel Properties, LP,
1 mo. USD Term SOFR + 2.250%(1)
 

(NR, Ba3)

 

05/18/30

   

7.566

     

1,584,028

   
     

17,166,187

   
Insurance Brokerage (3.0%)      
 

8,826

    Alliant Holdings Intermediate LLC,
1 mo. USD Term SOFR + 3.500%(1)
 

(B, B2)

 

11/06/30

   

8.819

     

8,870,658

   
 

3,838

    AmWINS Group, Inc.,
1 mo. USD Term SOFR + 2.250%(1)
 

(B+, Ba3)

 

02/19/28

   

7.680

     

3,848,206

   
 

5,773

    AmWINS Group, Inc.,
1 mo. USD Term SOFR + 2.750%(1)
 

(B+, Ba3)

 

02/19/28

   

8.180

     

5,795,407

   
 

3,392

    Howden Group Holdings Ltd.,
1 mo. USD Term SOFR + 4.000%(1)
 

(B, B2)

 

04/18/30

   

9.316

     

3,412,117

   
 

7,058

    Howden Group Holdings Ltd.,
1 mo. EUR EURIBOR + 4.000%(1),(5)
 

(B, B2)

 

02/15/31

   

7.875

     

7,583,581

   
 

5,597

    Howden Group Holdings Ltd.,
1 mo. USD Term SOFR + 3.500%(1)
 

(B, B2)

 

02/15/31

   

8.816

     

5,622,257

   
 

21,658

    HUB International Ltd.,
3 mo. USD Term SOFR + 3.250%(1)
 
(B, B2)
 
06/20/30
  8.565 -
8.575
   

21,791,971

   
 

1,995

    Ryan Specialty Group LLC,
1 mo. USD Term SOFR + 2.750%(1)
 

(BB-, B1)

 

09/01/27

   

8.066

     

2,001,066

   
     

58,925,263

   
Investments & Misc. Financial Services (5.3%)      
 

7,457

    Altisource Solutions SARL,
3 mo. USD Term SOFR + 8.750%(1),(9)
 

(CCC-, Caa2)

 

04/30/25

   

14.159

     

4,313,335

   
 

6,685

    Ankura Consulting Group LLC,
6 mo. USD Term SOFR + 4.250%(1)
 

(B-, B2)

 

03/17/28

   

9.564

     

6,715,436

   

See Accompanying Notes to Financial Statements.
16


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Investments & Misc. Financial Services (continued)      

$

10,440

    AqGen Island Holdings, Inc.,
1 mo. USD Term SOFR + 3.500%(1)
 

(B-, B3)

 

08/02/28

   

8.930

   

$

10,446,456

   
 

13,405

    Citadel Securities LP,
1 mo. USD Term SOFR + 2.250%(1)
 

(BBB-, Baa3)

 

07/29/30

   

7.566

     

13,447,028

   
 

5,377

    CTC Holdings LP,
3 mo. USD Term SOFR + 5.000%(1),(2)
 

(B+, B1)

 

02/20/29

   

10.476

     

5,363,314

   
 

3,723

    Deerfield Dakota Holding LLC,
3 mo. USD Term SOFR + 3.750%(1)
 

(B-, B2)

 

04/09/27

   

9.059

     

3,724,847

   
 

1,193

    EIG Management Co. LLC,
1 mo. USD Term SOFR + 3.750%(1),(2)
 

(BB, Ba2)

 

02/22/25

   

9.166

     

1,192,148

   
 

6,267

    Galaxy U.S. Opco, Inc.,
3 mo. USD Term SOFR + 4.750%(1)
 

(CCC+, B3)

 

04/29/29

   

10.080

     

5,640,614

   
 

14,850

    GTCR W Merger Sub LLC,
1 mo. USD Term SOFR + 3.000%(1)
 

(BB, Ba3)

 

01/31/31

   

8.309

     

14,919,646

   
 

5,105

    Hudson River Trading LLC,
1 mo. USD Term SOFR + 3.000%(1)
 

(BB-, Ba3)

 

03/20/28

   

8.433

     

5,097,982

   
 

4,628

    Jane Street Group LLC,
1 mo. USD Term SOFR + 2.500%(1)
 

(BB, Ba2)

 

01/26/28

   

7.930

     

4,637,653

   
 

3,148

    Jump Financial LLC,
3 mo. USD Term SOFR + 4.500%(1),(2)
 

(BB-, Ba2)

 

08/07/28

   

10.071

     

3,136,018

   
 

4,086

    Mariner Wealth Advisors LLC,
1 mo. USD Term SOFR + 3.250%(1)
 

(B-, Ba3)

 

08/18/28

   

8.680

     

4,101,098

   
 

5,536

    Resolute Investment Managers, Inc.,
3 mo. USD Term SOFR + 6.500%(1)
 

(B, B2)

 

04/30/27

   

12.071

     

5,480,557

   
 

8,394

    Sedgwick Claims Management
Services, Inc., 1 mo. USD Term
SOFR + 3.750%(1)
 

(B+, B2)

 

02/24/28

   

9.066

     

8,437,619

   
 

8,628

    VFH Parent LLC,
1 mo. USD Term SOFR + 3.000%(1)
 

(B+, Ba3)

 

01/13/29

   

8.416

     

8,640,205

   

   

105,293,956

   
Life Insurance (0.4%)      
 

6,250

   

Truist Insurance Holdings LLC(3)

 

(B, B2)

 

03/24/31

   

0.000

     

6,270,531

   
 

986

   

Truist Insurance Holdings LLC(3)

 

(CCC+, Caa2)

 

03/08/32

   

0.000

     

996,107

   
     

7,266,638

   
Machinery (2.7%)      
 

7,122

    19th Holdings Golf LLC,
1 mo. USD Term SOFR + 3.350%(1)
 

(B, B1)

 

02/07/29

   

8.673

     

7,042,042

   
 

5,073

    Alloy Finco Ltd.,
0.500% Cash, 13.500% PIK(2),(4),(10)
 

(NR, NR)

 

03/06/25

   

14.000

     

5,463,195

   
 

5,167

    Alloy Finco Ltd.,
0.500% Cash, 13.500% PIK(4),(9)
 

(NR, NR)

 

03/06/25

   

14.000

     

4,460,150

   
 

7,660

    CPM Holdings, Inc.,
1 mo. USD Term SOFR + 4.500%(1)
 

(B, B2)

 

09/28/28

   

9.827

     

7,691,209

   

See Accompanying Notes to Financial Statements.
17


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Machinery (continued)      

$

328

    Griffon Corp.,
3 mo. USD Term SOFR + 2.250%(1)
 

(BB, Ba2)

 

01/24/29

   

7.702

   

$

329,658

   
 

5,062

    LSF12 Badger Bidco LLC,
1 mo. USD Term SOFR + 6.000%(1)
 

(B, B2)

 

08/30/30

   

11.316

     

5,096,778

   
 

4,296

    LTI Holdings, Inc.,
1 mo. USD Term SOFR + 6.750%(1),(9)
 

(CCC+, Caa2)

 

09/06/26

   

12.180

     

4,035,033

   
 

9,631

    LTI Holdings, Inc.,
1 mo. USD Term SOFR + 3.500%(1)
 

(B-, B2)

 

09/06/25

   

8.930

     

9,548,159

   
 

5,903

    LTI Holdings, Inc.,
1 mo. USD Term SOFR + 4.750%(1)
 

(B-, B2)

 

07/24/26

   

10.180

     

5,849,137

   
 

4,515

    Pro Mach Group, Inc.,
1 mo. USD Term SOFR + 3.750%(1)
 

(B-, B1)

 

08/31/28

   

9.066

     

4,540,664

   
     

54,056,025

   
Media - Diversified (0.5%)      
 

7,335

   

Cast & Crew Payroll LLC(3)

 

(B, B2)

 

12/29/28

   

0.000

     

7,354,781

   
 

1,829

    Cast & Crew Payroll LLC,
1 mo. USD Term SOFR + 3.750%(1)
 

(B, B2)

 

02/09/26

   

9.180

     

1,832,446

   
 

3,069

   

Technicolor Creative Studios(2),(5),(6),(7),(8)

 

(NR, NR)

 

08/06/33

   

0.000

     

0

   
 

8,059

    Technicolor Creative Studios,
3 mo. EUR EURIBOR + 5.000%(1),(5)
 
(NR, NR)
 
08/06/33
  8.486 -
8.885
   

45,240

   
 

519

    Technicolor Creative Studios
(2023 EUR PIK Incremental
New Money Term Loan)(5),(6),(7),(8)
 

(NR, NR)

 

07/31/26

   

0.000

     

194,221

   
 

1,360

    Technicolor Creative Studios
(2023 EUR PIK New Money Tranche
A2 Undrawn)(2),(5),(6),(7)
 

(NR, NR)

 

07/31/26

   

0.000

     

509,081

   
 

1,624

    Technicolor Creative Studios
(2023 EUR PIK New Money
Tranche)(2),(5),(6),(7)
 

(NR, NR)

 

07/31/26

   

0.000

     

607,785

   
     

10,543,554

   
Media Content (0.4%)      
 

3,114

    Aragorn Parent Corp.,
1 mo. USD Term SOFR + 4.250%(1)
 

(B, B2)

 

12/15/28

   

9.569

     

3,134,428

   
 

4,230

    WMG Acquisition Corp.,
1 mo. USD Term SOFR + 2.000%(1)
 

(BB+, Ba2)

 

01/24/31

   

7.316

     

4,234,342

   
     

7,368,770

   
Medical Products (1.5%)      
 

3,757

    Covetrus, Inc.,
3 mo. USD Term SOFR + 5.000%(1)
 

(B-, B1)

 

10/13/29

   

10.309

     

3,767,985

   
 

10,467

    Medline Borrower LP,
1 mo. USD Term SOFR + 2.750%(1)
 

(B+, B1)

 

10/23/28

   

8.068

     

10,506,365

   
 

4,197

    Sotera Health Holdings LLC,
1 mo. USD Term SOFR + 2.750%(1)
 

(BB-, B1)

 

12/11/26

   

8.180

     

4,194,581

   

See Accompanying Notes to Financial Statements.
18


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Medical Products (continued)      

$

9,215

    Viant Medical Holdings, Inc.,
1 mo. USD Term SOFR + 3.750%(1)
 

(B-, B3)

 

07/02/25

   

9.180

   

$

9,218,998

   
 

1,500

    Viant Medical Holdings, Inc.,
1 mo. USD Term SOFR + 7.750%(1),(9)
 

(CCC, Caa3)

 

07/02/26

   

13.180

     

1,482,187

   
     

29,170,116

   
Packaging (2.5%)      
 

996

    Altium Packaging LLC,
1 mo. USD Term SOFR + 2.750%(1)
 

(B+, B2)

 

02/03/28

   

8.192

     

1,000,706

   
 

2,155

    Anchor Glass Container Corp.,
3 mo. USD Term SOFR + 9.000%(1)
 

(CCC-, Caa3)

 

06/07/26

   

14.827

     

924,024

   
 

6,737

    Anchor Glass Container Corp.,
3 mo. USD Term SOFR + 5.000%(1)
 
(CCC+, Caa1)
 
12/07/25
  10.320 -
10.827
   

5,532,996

   
 

3,932

    Flint Group Midco Ltd.,
3 mo. USD Term SOFR + 4.512%,
0.750% PIK(1),(4)
 

(B-, B3)

 

12/31/26

   

10.588

     

3,741,557

   
 

661

    Flint Group Packaging INKS
North America Holdings LLC,
3 mo. EUR EURIBOR + 4.250%,
0.750% PIK(1),(4),(5)
 

(B-, B3)

 

12/31/26

   

8.892

     

677,712

   
 

450

    Flint Group Packaging INKS
North America Holdings LLC,
3 mo. EUR EURIBOR + 0.100%,
6.900% PIK(1),(4),(5)
 

(CCC-, Caa3)

 

12/30/27

   

10.892

     

76,047

   
 

338

    Flint Group Packaging INKS
North America Holdings LLC,
3 mo. EUR EURIBOR + 0.100%,
6.900% PIK(1),(4),(5)
 

(CCC-, Caa2)

 

12/30/27

   

10.892

     

303,628

   
 

2,033

    Flint Group Topco Ltd.,
3 mo. USD Term SOFR + 0.362%,
6.900% PIK(1),(4)
 

(CCC-, Caa2)

 

12/31/27

   

12.588

     

1,687,684

   
 

2,666

    Flint Group Topco Ltd.,
3 mo. USD Term SOFR + 0.362%,
6.900% PIK(1),(4)
 

(CCC-, Caa3)

 

12/31/27

   

12.588

     

419,854

   
 

5,694

    Mauser Packaging Solutions Holding Co.,
3 mo. USD Term SOFR + 3.500%(1)
 

(B, B2)

 

04/15/27

   

8.815

     

5,707,942

   
 

791

    Nexcycle Canada Ltd.,
3 mo. USD Term SOFR + 6.500%(1),(2)
 

(NR, NR)

 

07/21/28

   

11.827

     

799,340

   
 

15,901

    Proampac PG Borrower LLC,
1 mo. USD Term SOFR + 4.000%,
3 mo. USD Term SOFR + 4.000%(1)
 
(B-, B3)
 
09/15/28
  9.321 -
9.329
   

16,026,599

   
 

281

    Strategic Materials Holding Corp.,
3 mo. USD Term SOFR + 7.500%(1),(2)
 

(NR, NR)

 

01/23/29

   

13.088

     

280,211

   
 

3,012

    Strategic Materials Holding Corp.,
3 mo. USD Term SOFR + 6.500%(1),(2)
 

(NR, NR)

 

07/21/28

   

12.088

     

3,027,298

   

See Accompanying Notes to Financial Statements.
19


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Packaging (continued)      

$

5,349

    Technimark Holdings LLC,
1 mo. USD Term SOFR + 3.750%(1)
 

(B-, B2)

 

07/07/28

   

9.180

   

$

5,372,178

   
 

3,742

    TricorBraun Holdings, Inc.,
1 mo. USD Term SOFR + 3.250%(1)
 

(B-, B2)

 

03/03/28

   

8.680

     

3,706,285

   
     

49,284,061

   
Personal & Household Products (1.8%)      
 

16,569

    ABG Intermediate Holdings 2 LLC,
1 mo. USD Term SOFR + 3.500%(1)
 

(BB-, B1)

 

12/21/28

   

8.918

     

16,673,415

   
 

8,269

   

Keter Group BV (EUR Term Loan B)(5),(6),(7)

 

(B+, Ca)

 

03/31/25

   

0.000

     

7,490,335

   
 

6,388

    Keter Group BV
(EUR Term Loan B3A)(5),(6),(7)
 

(B+, Ca)

 

03/31/25

   

0.000

     

5,786,284

   
 

4,685

    Serta Simmons Bedding LLC,
3 mo. USD Term SOFR + 7.500%(1)
 

(NR, NR)

 

06/29/28

   

12.924

     

4,111,396

   
 

511

   

Serta Simmons Bedding LLC(2),(3)

 

(NR, NR)

 

06/29/28

   

0.000

     

508,683

   
     

34,570,113

   
Pharmaceuticals (0.6%)      
 

9,144

    Certara LP,
3 mo. USD Term SOFR + 3.500%(1)
 

(BB-, B1)

 

08/15/26

   

9.105

     

9,186,722

   
 

2,943

    IQVIA, Inc.,
3 mo. USD Term SOFR + 2.000%(1)
 

(BBB-, Baa3)

 

01/02/31

   

7.309

     

2,960,693

   
     

12,147,415

   
Rail (0.5%)      
 

10,184

    Genesee & Wyoming, Inc.,
2 mo. USD Term SOFR + 2.000%(1)
 

(BB, Ba3)

 

04/10/31

   

7.301

     

10,199,120

   
Real Estate Development & Management (0.5%)      
 

10,486

    BIFM U.S. Finance LLC,
1 mo. USD Term SOFR + 4.250%(1)
 

(B, B3)

 

05/31/28

   

9.566

     

10,569,319

   
Real Estate Investment Trusts (0.8%)      
 

6,566

    Claros Mortgage Trust, Inc.,
1 mo. USD Term SOFR + 4.500%(1),(2)
 

(B-, Ba3)

 

08/09/26

   

9.918

     

5,843,752

   
 

4,170

    Starwood Property Trust, Inc.,
1 mo. USD Term SOFR + 3.250%(1)
 

(BB, Ba2)

 

07/26/26

   

8.666

     

4,175,441

   
 

4,876

    Starwood Property Trust, Inc.,
1 mo. USD Term SOFR + 3.250%(1)
 

(BB, Ba2)

 

11/18/27

   

8.566

     

4,885,489

   
     

14,904,682

   
Recreation & Travel (0.9%)      
 

2,154

    Bulldog Purchaser, Inc.,
3 mo. USD Term SOFR + 7.750%(1)
 

(CCC-, Caa3)

 

09/04/26

   

13.193

     

1,954,615

   
 

8,868

    Bulldog Purchaser, Inc.,
3 mo. USD Term SOFR + 3.750%(1)
 

(B-, B3)

 

09/05/25

   

9.193

     

8,795,499

   
 

4,160

   

Cedar Fair LP(3)

 

(BB+, Ba2)

 

04/18/31

   

0.000

     

4,164,873

   

See Accompanying Notes to Financial Statements.
20


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Recreation & Travel (continued)      

$

330

   

Motion Finco SARL(3)

 

(B+, B2)

 

11/12/29

   

0.000

   

$

330,041

   
 

2,333

   

SeaWorld Parks & Entertainment, Inc.(3)

 

(BB, Ba2)

 

08/25/28

   

0.000

     

2,335,282

   
     

17,580,310

   
Restaurants (1.8%)      
 

11,400

    1011778 BC Unlimited Liability Co.,
1 mo. USD Term SOFR + 2.250%(1)
 

(BB+, Ba2)

 

09/20/30

   

7.566

     

11,431,752

   
 

6,334

    Flynn Restaurant Group LP,
1 mo. USD Term SOFR + 4.250%(1)
 

(B, B2)

 

12/01/28

   

9.680

     

6,366,862

   
 

14,779

    IRB Holding Corp.,
1 mo. USD Term SOFR + 2.750%(1)
 

(B+, B2)

 

12/15/27

   

8.166

     

14,818,083

   
 

1,210

   

Tacala LLC(3)

 

(B-, B3)

 

01/31/31

   

0.000

     

1,216,337

   
 

2,196

   

Whatabrands LLC(3)

 

(B, B2)

 

08/03/28

   

0.000

     

2,207,534

   
     

36,040,568

   
Software - Services (14.9%)      
 

10,427

    Applied Systems, Inc.,
3 mo. USD Term SOFR + 3.500%(1)
 

(B-, B2)

 

02/24/31

   

8.809

     

10,517,130

   
 

6,145

    AQ Carver Buyer, Inc.,
3 mo. USD Term SOFR + 5.500%(1)
 

(B, B2)

 

08/02/29

   

10.930

     

6,179,806

   
 

2,678

    AQA Acquisition Holding, Inc.,
3 mo. USD Term SOFR + 4.250%(1)
 

(B-, B2)

 

03/03/28

   

9.841

     

2,685,604

   
 

10,620

    Aston FinCo SARL,
1 mo. USD Term SOFR + 4.250%(1)
 

(CCC+, B3)

 

10/09/26

   

9.680

     

9,557,619

   
 

8,837

    Astra Acquisition Corp.,
3 mo. USD Term SOFR + 5.250%(1)
 

(CCC+, Caa1)

 

10/25/28

   

10.821

     

5,220,930

   
 

4,155

   

Astra Acquisition Corp.(2),(3),(8)

 

(NR, NR)

 

02/25/28

   

0.000

     

4,072,068

   
 

2,186

    Camelot U.S. Acquisition LLC,
1 mo. USD Term SOFR + 2.750%(1)
 

(BB-, B1)

 

01/31/31

   

8.066

     

2,192,924

   
 

3,000

   

Cloud Software Group, Inc.(3)

 

(B, B2)

 

03/30/29

   

0.000

     

3,004,530

   
 

4,931

    CommerceHub, Inc.,
3 mo. USD Term SOFR + 4.000%(1)
 

(B, B2)

 

12/29/27

   

9.476

     

4,826,197

   
 

9,529

    ConnectWise LLC,
3 mo. USD Term SOFR + 3.500%(1)
 

(NR, B2)

 

09/29/28

   

9.064

     

9,554,850

   
 

8,898

    Corel Corp.,
3 mo. USD Term SOFR + 5.000%(1)
 

(B-, B2)

 

07/02/26

   

10.443

     

8,810,197

   
 

5,705

    Cornerstone OnDemand, Inc.,
1 mo. USD Term SOFR + 3.750%(1),(2)
 

(B-, B2)

 

10/16/28

   

9.180

     

5,498,385

   
 

13,920

    Dayforce, Inc.,
1 mo. USD Term SOFR + 2.500%(1),(2)
 

(BB-, Ba3)

 

02/26/31

   

7.816

     

13,963,500

   
 

845

    DCert Buyer, Inc.,
1 mo. USD Term SOFR + 4.000%(1)
 

(B-, B2)

 

10/16/26

   

9.316

     

843,910

   
 

2,083

    DCert Buyer, Inc.,
1 mo. USD Term SOFR + 7.000%(1)
 

(CCC, Caa2)

 

02/19/29

   

12.316

     

1,888,821

   
 

4,468

    EAB Global, Inc.,
1 mo. USD Term SOFR + 3.500%(1)
 

(B-, B2)

 

08/16/28

   

8.930

     

4,478,547

   

See Accompanying Notes to Financial Statements.
21


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Software - Services (continued)      

$

7,481

    Epicor Software Corp.,
1 mo. USD Term SOFR + 3.250%(1)
 

(B-, B2)

 

07/30/27

   

8.680

   

$

7,522,362

   
 

5,409

    EverCommerce, Inc.,
1 mo. USD Term SOFR + 3.000%(1)
 

(B+, B1)

 

07/06/28

   

8.430

     

5,417,934

   
 

2,765

    Evertec Group LLC,
1 mo. USD Term SOFR + 3.500%(1),(2)
 

(BB-, Ba3)

 

10/30/30

   

8.816

     

2,782,363

   
 

2,053

    Fleet Midco I Ltd.,
1 mo. USD Term SOFR + 3.250%(1),(2)
 

(B+, B2)

 

02/21/31

   

8.566

     

2,062,903

   
 

10,903

    Flexera Software LLC,
1 mo. USD Term SOFR + 3.750%(1)
 

(B-, B2)

 

03/03/28

   

9.180

     

10,948,866

   
 

5,072

    Go Daddy Operating Co. LLC,
1 mo. USD Term SOFR + 2.000%(1)
 

(BB, Ba1)

 

11/09/29

   

7.316

     

5,080,026

   
 

4,850

    IGT Holding IV AB,
3 mo. USD Term SOFR + 3.400%(1)
 

(B, B2)

 

03/31/28

   

8.972

     

4,871,219

   
 

4,875

    Instructure Holdings, Inc.,
3 mo. USD Term SOFR + 2.750%(1)
 

(NR, B1)

 

10/30/28

   

8.355

     

4,902,344

   
 

5,927

    Marcel LUX IV SARL,
1 mo. USD Term SOFR + 4.500%(1)
 

(B+, B2)

 

11/11/30

   

9.810

     

5,962,582

   
 

4,283

    Mitnick Corporate Purchaser, Inc.,
3 mo. USD Term SOFR + 4.500%(1)
 

(B-, B3)

 

05/02/29

   

9.930

     

4,113,664

   
 

1,869

    Mosel Bidco SE,
3 mo. USD Term SOFR + 4.750%(1),(2)
 

(B, B2)

 

09/16/30

   

10.059

     

1,879,951

   
 

3,709

    NAB Holdings LLC,
3 mo. USD Term SOFR + 2.750%(1)
 

(B+, B1)

 

11/23/28

   

8.209

     

3,710,508

   
 

15,976

    Open Text Corp.,
1 mo. USD Term SOFR + 2.750%(1)
 

(BBB-, Ba1)

 

01/31/30

   

8.166

     

16,040,864

   
 

5,752

    Perforce Software, Inc.,
1 mo. USD Term SOFR + 3.750%(1)
 

(B-, B2)

 

07/01/26

   

9.166

     

5,721,978

   
 

16,925

    Polaris Newco LLC,
3 mo. USD Term SOFR + 4.000%(1)
 

(B-, B2)

 

06/02/28

   

9.591

     

16,845,973

   
 

1,663

   

Press Ganey Holdings, Inc.(3)

 

(B-, B3)

 

04/24/31

   

0.000

     

1,660,312

   
 

13,981

    Project Alpha Intermediate Holding, Inc.,
3 mo. USD Term SOFR + 4.750%(1)
 

(B, B2)

 

10/28/30

   

10.080

     

14,049,839

   
 

5,496

    Project Boost Purchaser LLC,
1 mo. USD Term SOFR + 3.500%(1)
 

(B-, B2)

 

06/01/26

   

8.930

     

5,515,534

   
 

6,665

    Project Boost Purchaser LLC,
1 mo. USD Term SOFR + 3.500%,
3 mo. USD Term SOFR + 3.500%(1)
 
(B-, B2)
 
05/30/26
  8.930 -
9.071
   

6,690,113

   
 

5,030

    Project Ruby Ultimate Parent Corp.,
1 mo. USD Term SOFR + 3.250%(1)
 

(B, B2)

 

03/10/28

   

8.680

     

5,032,791

   
 

14,753

    Quest Software U.S. Holdings, Inc.,
3 mo. USD Term SOFR + 4.250%(1)
 

(CCC+, B3)

 

02/01/29

   

9.730

     

10,428,819

   
 

3,925

   

RealPage, Inc.(3)

 

(B, B2)

 

04/24/28

   

0.000

     

3,789,150

   
 

7,743

    Redstone Holdco 2 LP,
1 mo. USD Term SOFR + 4.750%(1)
 

(B-, B3)

 

04/27/28

   

10.180

     

6,094,768

   

See Accompanying Notes to Financial Statements.
22


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Software - Services (continued)      

$

1,572

    Rinchem Co., Inc.,
3 mo. USD Term SOFR + 4.250%(1)
 

(CCC+, B3)

 

03/02/29

   

9.659

   

$

1,399,080

   
 

3,509

    SkillSoft Corp.,
1 mo. USD Term SOFR + 5.250%(1)
 

(B-, B2)

 

07/14/28

   

10.680

     

2,831,857

   
 

2,510

    Sovos Compliance LLC,
1 mo. USD Term SOFR + 4.500%(1)
 

(B-, B3)

 

08/11/28

   

9.930

     

2,483,801

   
 

3,383

    SS&C European Holdings SARL,
1 mo. USD Term SOFR + 1.750%(1)
 

(BB+, Ba1)

 

04/16/25

   

7.180

     

3,386,415

   
 

3,398

    SS&C Technologies, Inc.,
1 mo. USD Term SOFR + 1.750%(1)
 

(BB+, Ba1)

 

04/16/25

   

7.180

     

3,401,308

   
 

6,740

    Storable, Inc.,
1 mo. USD Term SOFR + 3.500%,
3 mo. USD Term SOFR + 3.500%(1)
 
(B, B2)
 
04/17/28
  8.684 -
8.816
   

6,761,156

   
 

3,949

    Symplr Software, Inc.,
3 mo. USD Term SOFR + 4.500%(1)
 

(B-, B3)

 

12/22/27

   

9.930

     

3,761,527

   
 

4,109

    Transact Holdings, Inc.,
1 mo. USD Term SOFR + 4.250%(1)
 

(B, B2)

 

04/30/26

   

9.680

     

4,134,209

   
 

3,000

   

UKG, Inc.(3)

 

(B-, B2)

 

02/10/31

   

0.000

     

3,017,205

   
 

6,836

    VS Buyer LLC,
1 mo. USD Term SOFR + 3.250%(1)
 

(B, B2)

 

04/14/31

   

8.569

     

6,863,831

   
 

3,011

    Waystar Technologies, Inc.,
1 mo. USD Term SOFR + 4.000%(1)
 

(B-, B3)

 

10/22/29

   

9.316

     

3,031,663

   
 

2,638

    WEX, Inc.,
1 mo. USD Term SOFR + 2.000%(1)
 

(BB-, Ba2)

 

03/31/28

   

7.316

     

2,648,083

   
 

2,154

    World Wide Technology Holding Co. LLC,
1 mo. USD Term SOFR + 2.750%(1),(2)
 

(BB, Ba3)

 

03/01/30

   

8.171

     

2,169,262

   
 

2,488

    ZoomInfo LLC,
1 mo. USD Term SOFR + 2.250%(1),(2)
 

(NR, Ba1)

 

02/28/30

   

7.566

     

2,503,047

   
     

292,812,325

   
Specialty Retail (0.2%)      
 

3,210

    Amer Sports Co.,
3 mo. USD Term SOFR + 3.250%(1)
 

(BB, B1)

 

02/17/31

   

8.576

     

3,223,049

   
Steel Producers/Products (0.2%)      
 

3,521

    Grinding Media, Inc.,
3 mo. USD Term SOFR + 4.000%(1),(2)
 

(B, B2)

 

10/12/28

   

9.555

     

3,516,560

   
Support - Services (5.2%)      
 

2,931

   

AECOM(3)

 

(BBB-, Baa3)

 

04/17/31

   

0.000

     

2,947,647

   
 

849

    Allied Universal Holdco LLC,
1 mo. USD Term SOFR + 3.750%(1)
 

(B, B3)

 

05/12/28

   

9.166

     

850,784

   
 

4,005

    Belfor Holdings, Inc.,
1 mo. USD Term SOFR + 3.750%(1)
 

(B-, B1)

 

11/01/30

   

9.066

     

4,022,402

   
 

5,487

    Belron Finance U.S. LLC,
3 mo. USD Term SOFR + 2.000%(1)
 

(BBB-, Ba1)

 

04/13/28

   

7.578

     

5,501,234

   

See Accompanying Notes to Financial Statements.
23


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Support - Services (continued)      

$

1,880

    Centuri Group, Inc.,
1 mo. USD Term SOFR + 2.500%(1)
 

(B+, Ba3)

 

08/27/28

   

7.930

   

$

1,884,031

   
 

7,687

    CoreLogic, Inc.,
1 mo. USD Term SOFR + 3.500%(1)
 

(B-, B2)

 

06/02/28

   

8.930

     

7,456,230

   
 

10,000

    Fugue Finance BV,
3 mo. EUR EURIBOR + 4.250%(1),(5)
 

(B, B2)

 

01/31/28

   

8.202

     

10,772,693

   
 

987

    Fugue Finance BV,
3 mo. USD Term SOFR + 4.000%(1)
 

(B, B2)

 

01/31/28

   

9.343

     

992,592

   
 

10,305

    Global Education Management
Systems Establishment,
1 mo. USD Term SOFR + 4.750%(1)
 

(B, B2)

 

07/31/26

   

10.180

     

10,364,539

   
 

4,430

    LaserShip, Inc.,
3 mo. USD Term SOFR + 7.500%(1)
 

(CCC-, Caa3)

 

05/07/29

   

13.071

     

3,709,797

   
 

9,299

    LaserShip, Inc.,
3 mo. USD Term SOFR + 4.500%(1)
 

(CCC+, B3)

 

05/07/28

   

10.071

     

8,741,366

   
 

7,119

    Nuvei Technologies Corp.,
1 mo. USD Term SOFR + 3.000%(1)
 

(BB-, Ba3)

 

12/19/30

   

8.416

     

7,141,197

   
 

1,357

    Savage Enterprises LLC,
1 mo. USD Term SOFR + 3.250%(1)
 

(BB-, B1)

 

09/15/28

   

8.680

     

1,364,783

   
 

7,031

    SRAM LLC,
1 mo. USD Term SOFR + 2.750%(1)
 

(BB-, B1)

 

05/18/28

   

8.180

     

7,038,102

   
 

8,525

    Tempo Acquisition LLC,
1 mo. USD Term SOFR + 2.750%(1)
 

(BB-, Ba3)

 

08/31/28

   

8.066

     

8,558,872

   
 

1,436

    Teneo Holdings LLC,
1 mo. USD Term SOFR + 4.750%(1)
 

(B, B2)

 

03/13/31

   

10.066

     

1,448,798

   
 

1,639

    Trans Union LLC,
1 mo. USD Term SOFR + 2.000%(1)
 

(BBB-, Ba2)

 

12/01/28

   

7.316

     

1,643,654

   
 

3,025

    TruGreen LP,
3 mo. USD Term SOFR + 8.500%(1)
 

(CCC, Caa3)

 

11/02/28

   

14.091

     

2,392,276

   
 

3,083

    United Rentals, Inc.,
1 mo. USD Term SOFR + 1.750%(1)
 

(BBB-, Baa3)

 

02/14/31

   

7.066

     

3,100,677

   
 

10,000

    Wrench Group LLC,
3 mo. USD Term SOFR + 4.000%(1)
 

(B-, B2)

 

10/30/28

   

9.571

     

10,029,150

   
 

3,435

    XPO Logistics, Inc.,
1 mo. USD Term SOFR + 2.000%(1)
 

(BBB-, Ba1)

 

02/03/31

   

7.319

     

3,445,734

   
     

103,406,558

   
Tech Hardware & Equipment (0.6%)      
 

7,781

    Atlas CC Acquisition Corp.,
3 mo. USD Term SOFR + 4.250%(1)
 

(B, Caa1)

 

05/25/28

   

9.855

     

7,165,391

   
 

1,582

    Atlas CC Acquisition Corp.,
3 mo. USD Term SOFR + 4.250%(1)
 

(B+, B1)

 

05/25/28

   

9.855

     

1,457,368

   
 

4,071

    Ultra Clean Holdings, Inc.,
1 mo. USD Term SOFR + 3.500%(1)
 

(B+, B1)

 

02/28/28

   

8.816

     

4,085,012

   
     

12,707,771

   

See Accompanying Notes to Financial Statements.
24


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
BANK LOANS (continued)      
Telecom - Wireless (1.0%)      

$

5,018

    Eagle Broadband Investments LLC,
3 mo. USD Term SOFR + 3.000%(1)
 

(B+, B2)

 

11/12/27

   

8.571

   

$

4,997,678

   
 

13,431

    SBA Senior Finance II LLC,
1 mo. USD Term SOFR + 2.000%(1)
 

(BBB-, Ba2)

 

01/25/31

   

7.320

     

13,489,666

   
 

7,072

   

Xplornet Communications, Inc.(6),(7)

 

(D, Ca)

 

10/02/28

   

0.000

     

1,425,475

   
     

19,912,819

   
Telecom - Wireline Integrated & Services (1.4%)      
 

193

    Altice France SA,
3 mo. USD LIBOR + 4.000%(1)
 

(CCC+, Caa1)

 

08/14/26

   

9.569

     

163,764

   
 

12,424

    Altice France SA,
3 mo. USD Term SOFR + 5.500%(1)
 

(CCC+, Caa1)

 

08/15/28

   

10.829

     

9,368,441

   
 

2,979

    Ciena Corp.,
1 mo. USD Term SOFR + 2.000%(1)
 

(BB+, Baa3)

 

10/24/30

   

7.315

     

2,992,425

   
 

8,518

    Patagonia Holdco LLC,
3 mo. USD Term SOFR + 5.750%(1)
 

(NR, B1)

 

08/01/29

   

11.064

     

7,922,052

   
 

2,900

    Virgin Media Bristol LLC,
1 mo. USD Term SOFR + 3.250%(1)
 

(B+, Ba3)

 

01/31/29

   

8.686

     

2,861,938

   
 

3,493

    Virgin Media Bristol LLC,
1 mo. USD Term SOFR + 2.500%(1)
 

(B+, Ba3)

 

01/31/28

   

7.936

     

3,433,069

   
 

941

    Voyage Australia Pty. Ltd.,
3 mo. USD Term SOFR + 3.500%(1)
 

(BB-, B1)

 

07/20/28

   

9.086

     

944,221

   
     

27,685,910

   
Theaters & Entertainment (2.0%)      
 

1,444

    Herschend Entertainment Co. LLC,
1 mo. USD Term SOFR + 3.000%(1)
 

(BB-, B1)

 

08/27/28

   

8.316

     

1,450,422

   
 

3,712

    NAI Entertainment Holdings LLC,
1 mo. USD Term SOFR + 3.000%(1),(9)
 

(B, Caa1)

 

05/08/25

   

10.933

     

3,705,996

   
 

14,394

    UFC Holdings LLC,
3 mo. USD Term SOFR + 2.750%(1)
 

(BB, Ba3)

 

04/29/26

   

8.336

     

14,443,524

   
 

18,891

    William Morris Endeavor
Entertainment LLC,
1 mo. USD Term SOFR + 2.750%(1)
 

(BB-, B3)

 

05/18/25

   

8.180

     

18,962,169

   
     

38,562,111

   
TOTAL BANK LOANS (Cost $1,675,083,874)    

1,612,776,411

   
CORPORATE BONDS (8.6%)      
Auto Parts & Equipment (0.1%)      
 

3,000

    TI Automotive Finance PLC, Rule 144A,
Company Guaranteed Notes
(Callable 05/30/24 @ 101.88)(5),(11)
 

(BB, B3)

 

04/15/29

   

3.750

     

2,966,383

   

See Accompanying Notes to Financial Statements.
25


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
CORPORATE BONDS (continued)      
Brokerage (0.4%)      

$

1,256

    StoneX Group, Inc., Rule 144A,
Senior Secured Notes
(Callable 05/31/24 @ 102.16)(11)
 

(BB-, Ba3)

 

06/15/25

   

8.625

   

$

1,260,149

   
 

7,100

    StoneX Group, Inc., Rule 144A,
Senior Secured Notes
(Callable 03/01/27 @ 103.94)(11)
 

(BB-, Ba3)

 

03/01/31

   

7.875

     

7,195,452

   
     

8,455,601

   
Building Materials (0.2%)      
 

2,974

    GYP Holdings III Corp., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/24 @ 102.31)(11)
 

(B, Ba2)

 

05/01/29

   

4.625

     

2,762,220

   
 

720

    Miter Brands Acquisition Holdco, Inc./
MIWD Borrower LLC, Rule 144A,
Senior Secured Notes
(Callable 04/01/27 @ 103.38)(11)
 

(BB-, B1)

 

04/01/32

   

6.750

     

716,851

   
     

3,479,071

   
Cable & Satellite TV (0.1%)      
 

1,000

    CSC Holdings LLC, Rule 144A,
Company Guaranteed Notes
(Callable 11/15/26 @ 102.25)(11)
 

(B-, B2)

 

11/15/31

   

4.500

     

635,495

   
 

1,400

    Telenet Finance Luxembourg Notes SARL,
Rule 144A, Senior Secured Notes
(Callable 05/13/24 @ 101.38)(11)
 

(BB-, B1)

 

03/01/28

   

5.500

     

1,319,150

   
     

1,954,645

   
Chemicals (0.7%)      
 

1,854

    HB Fuller Co., Global Senior Unsecured
Notes (Callable 05/31/24 @ 102.13)
 

(BB-, Ba3)

 

10/15/28

   

4.250

     

1,711,262

   
 

4,000

    Herens Holdco SARL, Rule 144A,
Senior Secured Notes
(Callable 05/31/24 @ 102.38)(11)
 

(B-, B2)

 

05/15/28

   

4.750

     

3,456,902

   
 

4,750

    Polar U.S. Borrower LLC/Schenectady
International Group, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 05/31/24 @ 101.69)(11)
 

(CCC-, Caa3)

 

05/15/26

   

6.750

     

1,264,236

   
 

8,000

    Vibrantz Technologies, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 02/15/25 @ 104.50)(11),(12)
 

(CCC+, Caa2)

 

02/15/30

   

9.000

     

7,439,849

   
     

13,872,249

   
Diversified Capital Goods (0.1%)      
 

2,916

    Atkore, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 06/01/26 @ 102.13)(11)
 

(BB+, Ba2)

 

06/01/31

   

4.250

     

2,564,769

   

See Accompanying Notes to Financial Statements.
26


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
CORPORATE BONDS (continued)      
Electronics (0.1%)      

$

1,637

    Synaptics, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 06/15/24 @ 102.00)(11),(12)
 

(B+, Ba3)

 

06/15/29

   

4.000

   

$

1,439,377

   
Energy - Exploration & Production (0.1%)      
 

1,000

    CQP Holdco LP/BIP-V Chinook Holdco LLC,
Rule 144A, Senior Secured Notes
(Callable 12/15/28 @ 103.75)(11)
 

(BB, B1)

 

12/15/33

   

7.500

     

1,007,127

   
Gas Distribution (0.1%)      
 

3,000

    New Fortress Energy, Inc., Rule 144A,
Senior Secured Notes
(Callable 05/31/24 @ 101.63)(11)
 

(BB-, B1)

 

09/30/26

   

6.500

     

2,875,091

   
Health Services (0.1%)      
 

1,793

    Radiology Partners, Inc., Rule 144A,
Senior Secured Notes
(Callable 05/31/24 @ 100.00)(11)
 

(B-, B3)

 

01/31/29

   

8.500

     

1,656,127

   
Insurance Brokerage (0.3%)      
 

6,050

    Jones Deslauriers Insurance
Management, Inc., Rule 144A,
Senior Secured Notes
(Callable 03/15/26 @ 104.25)(11)
 

(B-, B2)

 

03/15/30

   

8.500

     

6,225,976

   
 

328

    Jones Deslauriers Insurance
Management, Inc., Rule 144A,
Senior Unsecured Notes
(Callable 12/15/25 @ 105.25)(11)
 

(CCC, Caa2)

 

12/15/30

   

10.500

     

347,514

   
     

6,573,490

   
Investments & Misc. Financial Services (0.9%)      
 

13,911

    Armor Holdco, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 11/15/24 @ 104.25)(11)
 

(CCC+, Caa1)

 

11/15/29

   

8.500

     

12,954,602

   
 

3,000

    Compass Group Diversified
Holdings LLC, Rule 144A,
Senior Unsecured Notes
(Callable 01/15/27 @ 102.50)(11)
 

(B+, B1)

 

01/15/32

   

5.000

     

2,658,560

   
 

2,400

    Jane Street Group/JSG Finance, Inc.,
Rule 144A, Senior Secured Notes
(Callable 04/30/27 @ 103.56)(11)
 

(BB, Ba2)

 

04/30/31

   

7.125

     

2,419,542

   
     

18,032,704

   
Life Insurance (0.1%)      
 

1,500

    Panther Escrow Issuer LLC, Rule 144A,
Senior Secured Notes
(Callable 06/01/27 @ 103.56)(11)
 

(B, B2)

 

06/01/31

   

7.125

     

1,508,978

   

See Accompanying Notes to Financial Statements.
27


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
CORPORATE BONDS (continued)      
Machinery (0.2%)      

$

4,508

    Arcosa, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/24 @ 102.19)(11)
 

(BB, Ba2)

 

04/15/29

   

4.375

   

$

4,108,578

   
Media - Diversified (0.1%)      
 

659

    Tech 7 SAS Super Senior
(New Money Tranche 1)(2),(5),(8)
 

(NR, NR)

 

03/31/26

   

1.000

     

704,385

   
 

395

    Tech 7 SAS Super Senior
(New Money Tranche 2)(2),(5),(8)
 

(NR, NR)

 

03/31/26

   

1.000

     

422,631

   
 

198

   

Tech 7 SAS Technicolor(2),(5),(8)

 

(NR, NR)

 

03/31/26

   

1.000

     

211,315

   
     

1,338,331

   
Metals & Mining - Excluding Steel (0.1%)      
 

2,975

    ERO Copper Corp., Rule 144A,
Company Guaranteed Notes
(Callable 02/15/25 @ 103.25)(11),(12)
 

(B, B1)

 

02/15/30

   

6.500

     

2,820,241

   
Packaging (0.3%)      
 

6,675

    TriMas Corp., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/24 @ 102.06)(11)
 

(BB-, Ba3)

 

04/15/29

   

4.125

     

5,998,874

   
Personal & Household Products (0.1%)      
 

1,700

    MajorDrive Holdings IV LLC, Rule 144A,
Senior Unsecured Notes
(Callable 06/01/24 @ 103.19)(11)
 

(CCC+, Caa2)

 

06/01/29

   

6.375

     

1,596,779

   
Recreation & Travel (0.3%)      
 

1,552

    SeaWorld Parks & Entertainment, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 08/15/24 @ 102.63)(11)
 

(B, B2)

 

08/15/29

   

5.250

     

1,440,718

   
 

3,625

    Six Flags Entertainment Corp.,
Rule 144A, Company Guaranteed Notes
(Callable 05/15/26 @ 103.63)(11)
 

(B-, B3)

 

05/15/31

   

7.250

     

3,620,367

   
     

5,061,085

   
Software - Services (1.2%)      
 

4,962

    Newfold Digital Holdings Group, Inc.,
Rule 144A, Senior Unsecured Notes
(Callable 05/31/24 @ 103.00)(11)
 

(CCC+, Caa2)

 

02/15/29

   

6.000

     

3,725,422

   
 

4,100

    Open Text Corp., Rule 144A,
Company Guaranteed Notes
(Callable 12/01/24 @ 101.94)(11)
 

(BB-, Ba3)

 

12/01/29

   

3.875

     

3,592,617

   
 

1,692

    Presidio Holdings, Inc., Rule 144A,
Company Guaranteed Notes
(Callable 05/31/24 @ 102.06)(11)
 

(CCC+, Caa1)

 

02/01/28

   

8.250

     

1,712,559

   

See Accompanying Notes to Financial Statements.
28


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
CORPORATE BONDS (continued)      
Software - Services (continued)      

$

2,000

    UKG, Inc., Rule 144A,
Senior Secured Notes
(Callable 02/01/27 @ 103.44)(11)
 

(B-, B2)

 

02/01/31

   

6.875

   

$

2,008,897

   
 

11,561

    Virtusa Corp., Rule 144A, Senior
Unsecured Notes
(Callable 05/31/24 @ 103.56)(11)
 

(CCC+, Caa1)

 

12/15/28

   

7.125

     

10,428,022

   
 

1,603

    ZoomInfo Technologies LLC/ZoomInfo
Finance Corp., Rule 144A,
Company Guaranteed Notes
(Callable 05/13/24 @ 101.94)(11)
 

(B+, B1)

 

02/01/29

   

3.875

     

1,411,278

   
     

22,878,795

   
Specialty Retail (0.1%)      
 

102

    Eagle Intermediate Global Holding
BV/Eagle U.S. Finance LLC, Rule 144A,
Senior Secured Notes
(Callable 05/13/24 @ 100.00)(2),(8),(11)
 

(NR, Caa3)

 

05/01/25

   

7.500

     

63,902

   
 

3,745

    Eagle Intermediate Global Holding
BV/Eagle U.S. Finance LLC, Rule 144A,
Senior Secured Notes
(Callable 05/13/24 @ 100.00)(11)
 

(NR, Caa3)

 

05/01/25

   

7.500

     

2,381,294

   
 

137

    Eagle Intermediate Global Holding
BV/Ruyi U.S. Finance LLC(2),(8)
 

(NR, NR)

 

05/01/25

   

0.000

     

76,940

   
     

2,522,136

   
Support - Services (2.0%)      
 

5,251

    Allied Universal Holdco LLC/Allied
Universal Finance Corp., Rule 144A,
Senior Unsecured Notes
(Callable 05/31/24 @ 102.44)(11)
 

(CCC+, Caa2)

 

07/15/27

   

9.750

     

5,235,234

   
 

4,455

    Allied Universal Holdco LLC/Allied
Universal Finance Corp., Rule 144A,
Senior Unsecured Notes
(Callable 06/01/24 @ 103.00)(11),(12)
 

(CCC+, Caa2)

 

06/01/29

   

6.000

     

3,788,244

   
 

1,471

    Allied Universal Holdco LLC/Allied
Universal Finance Corp./Atlas
Luxco 4 SARL, Rule 144A,
Senior Secured Notes
(Callable 06/01/24 @ 101.81)(5),(11)
 

(B, B3)

 

06/01/28

   

3.625

     

1,445,779

   
 

11,000

    CoreLogic, Inc., Rule 144A,
Senior Secured Notes
(Callable 05/31/24 @ 102.25)(11)
 

(B-, B2)

 

05/01/28

   

4.500

     

9,529,163

   
 

9,565

    GEMS MENASA Cayman Ltd./GEMS
Education Delaware LLC, Rule 144A,
Senior Secured Notes
(Callable 05/31/24 @ 101.78)(11)
 

(B, B2)

 

07/31/26

   

7.125

     

9,513,426

   

See Accompanying Notes to Financial Statements.
29


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
CORPORATE BONDS (continued)      
Support - Services (continued)      

$

2,250

    H&E Equipment Services, Inc.,
Rule 144A, Company Guaranteed Notes
(Callable 05/31/24 @ 101.94)(11)
 

(BB-, B1)

 

12/15/28

   

3.875

   

$

1,991,428

   
 

7,153

    TMS International Corp., Rule 144A,
Senior Unsecured Notes
(Callable 05/13/24 @ 103.13)(11)
 

(B, Caa1)

 

04/15/29

   

6.250

     

6,599,311

   
 

375

    XPO, Inc., Rule 144A,
Senior Secured Notes
(Callable 06/01/25 @ 103.13)(11)
 

(BBB-, Ba1)

 

06/01/28

   

6.250

     

374,280

   
     

38,476,865

   
Tech Hardware & Equipment (0.2%)      
 

6,000

    CommScope Technologies LLC,
Rule 144A, Company Guaranteed Notes
(Callable 05/13/24 @ 100.00)(11),(12)
 

(CCC-, Ca)

 

06/15/25

   

6.000

     

4,747,500

   
Telecom - Wireline Integrated & Services (0.7%)      
 

590

    Altice France SA, Rule 144A,
Senior Secured Notes
(Callable 05/31/24 @ 102.56)(11)
 

(CCC+, Caa1)

 

07/15/29

   

5.125

     

386,022

   
 

3,775

    Altice France SA, Rule 144A,
Senior Secured Notes
(Callable 10/15/24 @ 102.75)(11),(12)
 

(CCC+, Caa1)

 

10/15/29

   

5.500

     

2,475,531

   
 

4,486

    LCPR Senior Secured Financing DAC,
Rule 144A, Senior Secured Notes
(Callable 05/31/24 @ 101.69)(11)
 

(B+, B2)

 

10/15/27

   

6.750

     

4,167,594

   
 

4,752

    LCPR Senior Secured Financing DAC,
Rule 144A, Senior Secured Notes
(Callable 07/15/24 @ 102.56)(11)
 

(B+, B2)

 

07/15/29

   

5.125

     

3,967,225

   
 

2,064

    Level 3 Financing, Inc., Rule 144A,
Secured Notes
(Callable 03/22/26 @ 102.13)(11)
 

(B-, Caa2)

 

04/01/30

   

4.500

     

1,206,134

   
 

2,000

    Level 3 Financing, Inc., Rule 144A,
Secured Notes
(Callable 03/22/25 @ 101.81)(11)
 

(B-, Caa2)

 

10/15/30

   

3.875

     

1,109,631

   
     

13,312,137

   
TOTAL CORPORATE BONDS (Cost $180,271,224)    

169,246,933

   
ASSET BACKED SECURITIES (5.0%)      
Collateralized Debt Obligations (5.0%)      
 

3,000

    ALM Ltd., 2020-1A, Rule 144A,
3 mo. USD Term SOFR + 6.262%(1),(11)
 

(BB-, NR)

 

10/15/29

   

11.590

     

3,011,922

   
 

3,500

    Anchorage Capital CLO 16 Ltd.,
2020-16A, Rule 144A,
3 mo. USD Term SOFR + 3.982%(1),(11)
 

(NR, NR)

 

01/19/35

   

9.308

     

3,488,640

   

See Accompanying Notes to Financial Statements.
30


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
ASSET BACKED SECURITIES (continued)      
Collateralized Debt Obligations (continued)      

$

1,250

    Anchorage Capital CLO 3-R Ltd.,
2014-3RA, Rule 144A,
3 mo. USD Term SOFR + 2.112%(1),(11)
 

(A, NR)

 

01/28/31

   

7.436

   

$

1,251,884

   
 

1,388

    Anchorage Capital CLO Ltd.,
2018-10A, Rule 144A,
3 mo. USD Term SOFR + 1.462%(1),(11)
 

(AAA, NR)

 

10/15/31

   

6.790

     

1,388,755

   
 

2,500

    Battalion CLO XXI Ltd.,
2021-21A, Rule 144A,
3 mo. USD Term SOFR + 3.562%(1),(11)
 

(NR, Baa3)

 

07/15/34

   

8.890

     

2,493,064

   
 

1,750

    Benefit Street Partners CLO X Ltd.,
2016-10A, Rule 144A,
3 mo. USD Term SOFR + 7.012%(1),(11)
 

(BB-, NR)

 

04/20/34

   

12.336

     

1,756,863

   
 

2,100

    BlueMountain CLO Ltd.,
2015-3A, Rule 144A,
3 mo. USD Term SOFR + 5.662%(1),(11)
 

(B+, NR)

 

04/20/31

   

10.986

     

1,967,860

   
 

5,500

    BlueMountain CLO Ltd.,
2016-2A, Rule 144A,
3 mo. USD Term SOFR + 4.562%(1),(11)
 

(BBB-, NR)

 

08/20/32

   

9.881

     

5,418,588

   
 

3,000

    BlueMountain Fuji U.S. CLO III Ltd.,
2017-3A, Rule 144A,
3 mo. USD Term SOFR + 1.962%(1),(11)
 

(A, NR)

 

01/15/30

   

7.290

     

3,001,457

   
 

750

    Carlyle Global Market Strategies CLO Ltd.,
2014-3RA, Rule 144A,
3 mo. USD Term SOFR + 5.662%(1),(11)
 

(BB-, NR)

 

07/27/31

   

10.986

     

717,156

   
 

2,000

    Carlyle Global Market Strategies CLO Ltd.,
2014-5A, Rule 144A,
3 mo. USD Term SOFR + 3.412%(1),(11)
 

(BBB-, NR)

 

07/15/31

   

8.740

     

1,966,033

   
 

2,625

    CIFC Funding Ltd., 2014-1A, Rule 144A,
3 mo. USD Term SOFR + 6.112%(1),(11)
 

(B+, NR)

 

01/18/31

   

11.439

     

2,594,923

   
 

4,000

    Crown Point CLO IV Ltd.,
2018-4A, Rule 144A,
3 mo. USD Term SOFR + 3.012%(1),(11)
 

(NR, Baa3)

 

04/20/31

   

8.336

     

3,906,383

   
 

3,365

    Dewolf Park CLO Ltd.,
2017-1A, Rule 144A,
3 mo. USD Term SOFR + 1.182%(1),(11)
 

(NR, Aaa)

 

10/15/30

   

6.510

     

3,367,822

   
 

1,750

    Dryden 86 CLO Ltd.,
2020-86A, Rule 144A,
3 mo. USD Term SOFR + 3.462%(1),(11)
 

(BBB-, NR)

 

07/17/34

   

8.779

     

1,752,466

   
 

7,000

    Galaxy XXII CLO Ltd.,
2016-22A, Rule 144A,
3 mo. USD Term SOFR + 1.462%(1),(11)
 

(AAA, NR)

 

04/16/34

   

6.789

     

7,020,915

   
 

5,000

    Galaxy XXVIII CLO Ltd.,
2018-28A, Rule 144A,
3 mo. USD Term SOFR + 3.262%(1),(11)
 

(BBB-, NR)

 

07/15/31

   

8.590

     

4,933,504

   

See Accompanying Notes to Financial Statements.
31


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
ASSET BACKED SECURITIES (continued)      
Collateralized Debt Obligations (continued)      

$

3,500

    Greywolf CLO II Ltd.,
2013-1A, Rule 144A,
3 mo. USD Term SOFR + 4.460%(1),(11)
 

(BBB-, NR)

 

04/15/34

   

9.789

   

$

3,466,979

   
 

3,390

    Greywolf CLO II Ltd.,
2019-1A, Rule 144A,
3 mo. USD Term SOFR + 3.910%(1),(11)
 

(BBB-, NR)

 

04/17/34

   

9.227

     

3,405,355

   
 

2,800

    Greywolf CLO III Ltd.,
2020-3RA, Rule 144A,
3 mo. USD Term SOFR + 2.710%(1),(11)
 

(A, NR)

 

04/15/33

   

8.035

     

2,802,992

   
 

1,000

    Greywolf CLO III Ltd.,
2020-3RA, Rule 144A,
3 mo. USD Term SOFR + 3.610%(1),(11)
 

(BBB-, NR)

 

04/15/33

   

8.935

     

1,001,407

   
 

2,000

    Greywolf CLO III Ltd.,
2020-3RA, Rule 144A,
3 mo. USD Term SOFR + 7.180%(1),(11)
 

(BB-, NR)

 

04/15/33

   

12.505

     

2,006,080

   
 

3,950

    Greywolf CLO V Ltd.,
2015-1A, Rule 144A,
3 mo. USD Term SOFR + 3.262%(1),(11)
 

(BBB-, NR)

 

01/27/31

   

8.585

     

3,899,226

   
 

2,500

    KKR CLO 14 Ltd., Rule 144A,
3 mo. USD Term SOFR + 6.412%(1),(11)
 

(NR, B1)

 

07/15/31

   

11.740

     

2,512,814

   
 

5,000

    KKR Financial CLO Ltd.,
2013-1A, Rule 144A,
3 mo. USD Term SOFR + 6.342%(1),(11)
 

(NR, Ba3)

 

04/15/29

   

11.670

     

5,001,110

   
 

1,900

    Marble Point CLO XVII Ltd.,
2020-1A, Rule 144A,
3 mo. USD Term SOFR + 7.082%(1),(11)
 

(NR, Ba3)

 

04/20/33

   

12.406

     

1,856,896

   
 

3,450

    Marble Point CLO XVIII Ltd.,
2020-2A, Rule 144A,
3 mo. USD Term SOFR + 7.962%(1),(11)
 

(NR, Ba3)

 

10/15/34

   

13.290

     

3,345,063

   
 

5,275

    Marble Point CLO XXIII Ltd.,
2021-4A, Rule 144A,
3 mo. USD Term SOFR + 6.012%(1),(11)
 

(NR, Ba1)

 

01/22/35

   

11.336

     

5,125,535

   
 

2,250

    Octagon Investment Partners 26 Ltd.,
2016-1A, Rule 144A,
3 mo. USD Term SOFR + 3.112%(1),(11)
 

(BBB-, NR)

 

07/15/30

   

8.440

     

2,190,075

   
 

3,000

    Venture 35 CLO Ltd.,
2018-35A, Rule 144A,
3 mo. USD Term SOFR + 3.762%(1),(11)
 

(NR, Baa1)

 

10/22/31

   

9.086

     

2,921,305

   
 

3,278

    Venture XXIII CLO Ltd.,
2016-23A, Rule 144A,
3 mo. USD Term SOFR + 5.332%(1),(11)
 

(NR, Ba1)

 

07/19/34

   

10.658

     

2,988,964

   
 

1,750

    Vibrant CLO 1X Ltd.,
2018-9A, Rule 144A,
3 mo. USD Term SOFR + 3.462%(1),(11)
 

(NR, Baa3)

 

07/20/31

   

8.786

     

1,724,450

   

See Accompanying Notes to Financial Statements.
32


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Par
(000)
 
  Ratings†
(S&P/Moody's)
 

Maturity

 

Rate%

 

Value

 
ASSET BACKED SECURITIES (continued)      
Collateralized Debt Obligations (continued)      

$

1,500

    Vibrant CLO VI Ltd.,
2017-6A, Rule 144A,
3 mo. USD Term SOFR + 6.012%(1),(11)
 

(NR, Ba3)

 

06/20/29

   

11.344

   

$

1,449,759

   
 

3,000

    Voya CLO Ltd.,
2014-4A, Rule 144A,
3 mo. USD Term SOFR + 3.612%(1),(11)
 

(BBB-, NR)

 

07/14/31

   

8.940

     

2,926,596

   
TOTAL ASSET BACKED SECURITIES (Cost $98,947,113)    

98,662,841

   

Shares

                     
COMMON STOCKS (0.8%)      
Auto Parts & Equipment (0.1%)      
 

311,079

   

Jason, Inc.(6)

                           

2,799,711

   
Chemicals (0.5%)      
 

529,264

   

Proppants Holdings LLC(2),(6),(8),(9)

                           

10,585

   
 

191,054

   

Utex Industries(6)

                           

8,915,917

   
     

8,926,502

   
Energy - Exploration & Production (0.0%)      
 

926,254

   

PES Energy, Class A(2),(6),(8),(9)

                           

9,263

   
Investments & Misc. Financial Services (0.0%)      
 

68,579

   

Resolute Topco, Inc.(6)

                           

685,790

   
Machinery (0.0%)      
 

6,708,021

   

Alloy Topco Ltd.(2),(6),(8),(10)

                           

0

   
Packaging (0.0%)      
 

2,646,421

   

Campfire Topco Ltd.(2),(5),(6),(8)

                           

0

   
 

82,543

   

SMI Topco LLC(6)

                           

784,158

   
     

784,158

   
Personal & Household Products (0.1%)      
 

196,189

   

Dream Well, Inc.(6)

                           

1,226,181

   
 

196,189

   

Serta Simmons Bedding Equipment Co.(2),(6),(8)

                           

0

   
     

1,226,181

   
Pharmaceuticals (0.0%)      
 

156,133

   

Akorn, Inc.(6)

                           

7,807

   
Private Placement (0.0%)      
 

515,586

   

Technicolor Creative Studios SA(6),(13)

                           

5,513

   
Recreation & Travel (0.1%)      
 

115,069

   

Cineworld Group PLC(6)

                           

2,177,681

   
Software - Services (0.0%)      
 

3,935

   

Skillsoft Corp.(6)

                           

28,293

   

See Accompanying Notes to Financial Statements.
33


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

Shares

 
 
 
 
 
Value
 
COMMON STOCKS (continued)      
Specialty Retail (0.0%)      
 

141

    Eagle Investments Holding Co. LLC,
Class B(2),(6),(8)
                         

$

1

   
TOTAL COMMON STOCKS (Cost $37,643,777)    

16,650,900

   
WARRANTS (0.0%)      
Chemicals (0.0%)      
 

132,316

   

Project Investor Holdings LLC, expires 02/20/2022(2),(6),(8),(9)

                           

0

   
Investments & Misc. Financial Services (0.0%)      
 

53,142

   

Altisource Solutions SARL, expires 05/31/2027(2),(6),(8)

                           

105,752

   
TOTAL WARRANTS (Cost $68,804)    

105,752

   
SHORT-TERM INVESTMENTS (6.0%)      
 

102,761,314

    State Street Institutional U.S. Government Money Market
Fund — Premier Class, 5.26%
                           

102,761,314

   
 

14,455,400

    State Street Navigator Securities Lending Government Money
Market Portfolio, 5.34%(14)
                           

14,455,400

   
TOTAL SHORT-TERM INVESTMENTS (Cost $117,216,714)    

117,216,714

   
TOTAL INVESTMENTS AT VALUE (102.2%) (Cost $2,109,231,506)    

2,014,659,551

   
LIABILITIES IN EXCESS OF OTHER ASSETS (-2.2%)    

(43,640,498

)

 
NET ASSETS (100.0%)  

$

1,971,019,053

   

  ​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 April 30, 2024. The rate may be subject to a cap and floor.

(2)  ​Security is valued using significant unobservable inputs.

(3)  ​The rates on certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The interest rate shown is the rate in effect as of April 30, 2024.

(4)  ​PIK: Payment-in-kind security for which part of the income earned may be paid as additional principal.

(5)  ​This security is denominated in Euro.

(6)  ​Non-income producing security.

(7)  ​Bond is currently in default.

(8)  ​Not readily marketable security; security is valued at fair value as determined in good faith by Credit Suisse Asset Management, LLC as the Fund's valuation designee under the oversight of the Board of Trustees (See Note 2-A).

(9)  ​Illiquid security.

(10)  ​This security is denominated in British Pound.

(11)  ​Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2024, these securities amounted to a value of $264,783,241 or 13.4% of net assets.

See Accompanying Notes to Financial Statements.
34


Credit Suisse Floating Rate High Income Fund
Schedule of Investments (continued)

April 30, 2024 (unaudited)

(12)  ​Security or portion thereof is out on loan (See Note 2-J).

(13)  ​Security is held through holdings of 100 shares of the CIG Special Purpose SPC — Credit Suisse Floating Rate High Income Fund Segregated Portfolio, an affiliated entity.

(14)  ​Represents security purchased with cash collateral received for securities on loan.

INVESTMENT ABBREVIATIONS

1 mo. = 1 month

2 mo. = 2 month

3 mo. = 3 month

6 mo. = 6 month

EURIBOR = Euro Interbank Offered Rate

LIBOR = London Interbank Offered Rate

NR = Not Rated

SARL = société à responsabilité limitée

SOFR = Secured Overnight Financing Rate

WR = Withdrawn Rating

Forward Foreign Currency Contracts

Forward
Currency to be
Purchased
  Forward
Currency to be
Sold
  Expiration
Date
 

Counterparty

  Value on
Settlement
Date
  Current
Value/
Notional
  Unrealized
Appreciation
 

USD

89,701,048

   

EUR

82,789,701

   

09/26/24

 

Deutsche Bank AG

 

$

(89,701,048

)

 

$

(89,110,797

)

 

$

590,251

   

USD

782,013

   

EUR

700,375

   

10/07/24

 

Deutsche Bank AG

   

(782,013

)

   

(754,254

)

   

27,759

   

Total Unrealized Appreciation

 

$

618,010

   

Forward Foreign Currency Contracts

Forward
Currency to be
Purchased
  Forward
Currency to be
Sold
  Expiration
Date
 

Counterparty

  Value on
Settlement
Date
  Current
Value/
Notional
  Unrealized
Depreciation
 

EUR

17,785,564

   

USD

19,573,433

   

09/26/24

 

Deutsche Bank AG

 

$

19,573,433

   

$

19,143,514

   

$

(429,919

)

 

EUR

750,000

   

USD

818,692

   

09/26/24

 

Morgan Stanley

   

818,692

     

807,263

     

(11,429

)

 

EUR

1,275,868

   

USD

1,391,294

   

10/07/24

 

Deutsche Bank AG

   

1,391,294

     

1,374,017

     

(17,277

)

 

GBP

278,215

   

USD

350,919

   

10/07/24

 

Deutsche Bank AG

   

350,919

     

348,744

     

(2,175

)

 

USD

6,303,561

   

EUR

5,876,386

   

10/07/24

 

Morgan Stanley

   

(6,303,561

)

   

(6,328,444

)

   

(24,883

)

 

USD

59,260

   

GBP

47,858

   

10/07/24

 

Barclays Bank PLC

   

(59,260

)

   

(59,990

)

   

(730

)

 

USD

186,859

   

GBP

150,017

   

10/07/24

 

Deutsche Bank AG

   

(186,859

)

   

(188,047

)

   

(1,188

)

 

USD

8,914,389

   

GBP

7,312,859

   

10/07/24

 

Morgan Stanley

   

(8,914,389

)

   

(9,166,704

)

   

(252,315

)

 

Total Unrealized Depreciation

 

$

(739,916

)

 

Total Net Unrealized Appreciation/(Depreciation)

 

$

(121,906

)

 

Currency Abbreviations:

EUR = Euro

GBP = British Pound

USD = United States Dollar

See Accompanying Notes to Financial Statements.
35


Credit Suisse Floating Rate High Income Fund
Statement of Assets and Liabilities

April 30, 2024 (unaudited)

Assets

 
Investments at value, including collateral for securities on loan of $14,455,400
(Cost $2,109,231,506) (Note 2)
 

$

2,014,659,5511

   

Cash

   

3,010,925

   

Foreign currency at value (Cost $1,033,699)

   

1,036,568

   

Receivable for investments sold

   

24,686,300

   

Interest receivable

   

21,160,737

   

Receivable for Fund shares sold

   

4,548,241

   

Unrealized appreciation on forward foreign currency contracts (Note 2)

   

618,010

   

Prepaid expenses and other assets

   

51,917

   

Total assets

   

2,069,772,249

   

Liabilities

 

Investment advisory fee payable (Note 3)

   

3,241,866

   

Administrative services fee payable (Note 3)

   

116,458

   

Shareholder servicing/Distribution fee payable (Note 3)

   

125,652

   

Due to brokers for forward contracts

   

23,002

   

Payable for investments purchased

   

72,143,144

   

Payable upon return of securities loaned (Note 2)

   

14,455,400

   

Payable for Fund shares redeemed

   

4,087,568

   

Dividend payable

   

2,907,707

   

Unrealized depreciation on forward foreign currency contracts (Note 2)

   

739,916

   

Trustees' fee payable

   

7,691

   

Accrued expenses

   

904,792

   

Total liabilities

   

98,753,196

   

Net Assets

 

Capital stock, $.001 par value (Note 6)

   

310,165

   

Paid-in capital (Note 6)

   

2,296,786,971

   

Total distributable earnings (loss)

   

(326,078,083

)

 

Net assets

 

$

1,971,019,053

   

I Shares

 

Net assets

 

$

1,804,277,394

   

Shares outstanding

   

284,068,524

   

Net asset value, offering price and redemption price per share

 

$

6.35

   

A Shares

 

Net assets

 

$

122,568,175

   

Shares outstanding

   

19,199,068

   

Net asset value and redemption price per share

 

$

6.38

   

Maximum offering price per share (net asset value/(1-4.75%))

 

$

6.70

   

C Shares

 

Net assets

 

$

44,173,484

   

Shares outstanding

   

6,897,251

   

Net asset value and offering price per share

 

$

6.40

   

1  ​Includes $14,095,924 of securities on loan.

See Accompanying Notes to Financial Statements.
36


Credit Suisse Floating Rate High Income Fund
Statement of Operations

For the Six Months Ended April 30, 2024 (unaudited)

Investment Income

 

Interest

 

$

100,828,398

   

Other Income

   

41,128

   

Dividends

   

19,574

   

Securities lending (net of rebates)

   

35,796

   

Total investment income

   

100,924,896

   

Expenses

 

Investment advisory fees (Note 3)

   

6,006,835

   

Administrative services fees (Note 3)

   

168,703

   

Shareholder servicing/Distribution fees (Note 3)

 

Class A

   

149,970

   

Class C

   

224,004

   

Transfer agent fees

   

1,059,959

   

Commitment fees (Note 4)

   

300,969

   

Custodian fees

   

243,266

   

Legal fees

   

121,838

   

Printing fees

   

66,572

   

Registration fees

   

46,306

   

Insurance expense

   

43,609

   

Trustees' fees

   

42,576

   

Audit and tax fees

   

26,970

   

Miscellaneous expense

   

21,771

   

Total expenses

   

8,523,348

   

Less: fees waived and expenses reimbursed (Note 3)

   

(1,140,617

)

 

Net expenses

   

7,382,731

   

Net investment income

   

93,542,165

   
Net Realized and Unrealized Gain (Loss) from Investments, Foreign Currency and
Forward Foreign Currency Contracts
 

Net realized loss from investments

   

(12,555,576

)

 

Net realized gain from foreign currency transactions

   

526,804

   

Net change in unrealized appreciation (depreciation) from investments

   

28,432,137

   
Net change in unrealized appreciation (depreciation) from foreign currency
translations
   

15,267

   
Net change in unrealized appreciation (depreciation) from forward foreign
currency contracts
   

(861,428

)

 
Net realized and unrealized gain from investments, foreign currency
transactions and forward foreign currency contracts
   

15,557,204

   

Net increase in net assets resulting from operations

 

$

109,099,369

   

See Accompanying Notes to Financial Statements.
37



Credit Suisse Floating Rate High Income Fund
Statements of Changes in Net Assets

    For the Six Months
Ended
April 30, 2024
(unaudited)
  For the Year
Ended
October 31, 2023
 

From Operations

 

Net investment income

 

$

93,542,165

   

$

196,738,803

   
Net realized loss from investments, foreign currency
transactions and forward foreign currency contracts
   

(12,028,772

)

   

(77,667,677

)

 
Net change in unrealized appreciation (depreciation) from
investments, foreign currency translations and forward
foreign currency contracts
   

27,585,976

     

126,101,132

   

Net increase in net assets resulting from operations

   

109,099,369

     

245,172,258

   

From Distributions

 

From distributable earnings

 

Class I

   

(85,659,046

)

   

(182,837,373

)

 

Class A

   

(5,441,250

)

   

(9,847,877

)

 

Class C

   

(1,866,123

)

   

(3,663,893

)

 

Return of capital

 

Class I

   

     

(626,387

)

 

Class A

   

     

(33,738

)

 

Class C

   

     

(12,552

)

 

Net decrease in net assets resulting from distributions

   

(92,966,419

)

   

(197,021,820

)

 
From Capital Share Transactions (Note 6)  

Proceeds from sale of shares

   

367,140,439

     

737,057,328

   

Reinvestment of distributions

   

74,888,232

     

161,320,735

   

Net asset value of shares redeemed

   

(465,145,045

)

   

(1,514,656,539

)

 

Net decrease in net assets from capital share transactions

   

(23,116,374

)

   

(616,278,476

)

 

Net decrease in net assets

   

(6,983,424

)

   

(568,128,038

)

 

Net Assets

 

Beginning of period

   

1,978,002,477

     

2,546,130,515

   

End of period

 

$

1,971,019,053

   

$

1,978,002,477

   

See Accompanying Notes to Financial Statements.
38


Credit Suisse Floating Rate High Income Fund
Financial Highlights

(For a Class I Share of the Fund Outstanding Throughout Each Period)

    For the Six
Months Ended
April 30, 2024
 

For the Year Ended October 31,

 
   

(unaudited)

 

2023

 

2022

 

2021

 

2020

 

2019

 

Per share data

 

Net asset value, beginning of period

 

$

6.30

   

$

6.171

   

$

6.62

   

$

6.31

   

$

6.56

   

$

6.811

   

INVESTMENT OPERATIONS

 

Net investment income2

   

0.30

     

0.55

     

0.29

     

0.24

     

0.30

     

0.35

   
Net gain (loss) from investments,
foreign currency transactions and
forward foreign currency contracts
(both realized and unrealized)
   

0.05

     

0.14

     

(0.45

)

   

0.31

     

(0.25

)

   

(0.25

)

 

Total from investment operations

   

0.35

     

0.69

     

(0.16

)

   

0.55

     

0.05

     

0.10

   

LESS DIVIDENDS AND DISTRIBUTIONS

 

Dividends from net investment income

   

(0.30

)

   

(0.56

)

   

(0.29

)

   

(0.24

)

   

(0.30

)

   

(0.35

)

 

Return of capital

   

     

(0.00

)3

   

     

     

     

   

Total dividends and distributions

   

(0.30

)

   

(0.56

)

   

(0.29

)

   

(0.24

)

   

(0.30

)

   

(0.35

)

 

Net asset value, end of period

 

$

6.35

   

$

6.30

   

$

6.171

   

$

6.62

   

$

6.31

   

$

6.56

   

Total return4

   

5.56

%

   

11.54

%

   

(2.42

)%

   

8.86

%

   

0.92

%

   

1.47

%

 

RATIOS AND SUPPLEMENTAL DATA

 

Net assets, end of period (000s omitted)

 

$

1,804,277

   

$

1,816,028

   

$

2,376,866

   

$

2,770,167

   

$

1,699,373

   

$

2,199,606

   
Ratio of net expenses to average
net assets
   

0.70

%5

   

0.70

%

   

0.70

%

   

0.70

%

   

0.70

%

   

0.70

%

 
Ratio of net investment income to
average net assets
   

9.38

%5

   

8.79

%

   

4.54

%

   

3.62

%

   

4.80

%

   

5.18

%

 
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements
   

0.11

%5

   

0.11

%

   

0.09

%

   

0.07

%

   

0.09

%

   

0.08

%

 

Portfolio turnover rate6

   

24

%

   

35

%

   

47

%

   

54

%

   

30

%

   

23

%

 

1  ​Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon net asset values may differ from the net asset values and returns for shareholder transactions.

2  ​Per share information is calculated using the average shares outstanding method.

3  ​This amount represents less than $0.01 per share.

4  ​Total returns are historical and include change in share price, reinvestment of all distributions. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.

5  ​Annualized.

6  ​Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

See Accompanying Notes to Financial Statements.
39


Credit Suisse Floating Rate High Income Fund
Financial Highlights

(For a Class A Share of the Fund Outstanding Throughout Each Period)

    For the Six
Months Ended
April 30, 2024
 

For the Year Ended October 31,

 
   

(unaudited)

 

2023

 

2022

 

2021

 

2020

 

2019

 

Per share data

 

Net asset value, beginning of period

 

$

6.33

   

$

6.21

   

$

6.65

   

$

6.34

   

$

6.59

   

$

6.841

   

INVESTMENT OPERATIONS

 

Net investment income2

   

0.29

     

0.54

     

0.28

     

0.23

     

0.29

     

0.33

   
Net gain (loss) from investments,
foreign currency transactions and
forward foreign currency contracts
(both realized and unrealized)
   

0.05

     

0.12

     

(0.44

)

   

0.31

     

(0.25

)

   

(0.25

)

 

Total from investment operations

   

0.34

     

0.66

     

(0.16

)

   

0.54

     

0.04

     

0.08

   

LESS DIVIDENDS AND DISTRIBUTIONS

 

Dividends from net investment income

   

(0.29

)

   

(0.54

)

   

(0.28

)

   

(0.23

)

   

(0.29

)

   

(0.33

)

 

Return of capital

   

     

(0.00

)3

   

     

     

     

   

Total dividends and distributions

   

(0.29

)

   

(0.54

)

   

(0.28

)

   

(0.23

)

   

(0.29

)

   

(0.33

)

 

Net asset value, end of period

 

$

6.38

   

$

6.33

   

$

6.21

   

$

6.65

   

$

6.34

   

$

6.59

   

Total return4

   

5.43

%

   

11.07

%

   

(2.48

)%

   

8.57

%

   

0.70

%

   

1.23

%

 

RATIOS AND SUPPLEMENTAL DATA

 

Net assets, end of period (000s omitted)

 

$

122,568

   

$

116,439

   

$

116,540

   

$

144,713

   

$

146,803

   

$

199,328

   
Ratio of net expenses to average
net assets
   

0.95

%5

   

0.95

%

   

0.95

%

   

0.95

%

   

0.95

%

   

0.95

%

 
Ratio of net investment income to
average net assets
   

9.13

%5

   

8.59

%

   

4.25

%

   

3.41

%

   

4.54

%

   

4.93

%

 
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements
   

0.11

%5

   

0.11

%

   

0.09

%

   

0.07

%

   

0.09

%

   

0.08

%

 

Portfolio turnover rate6

   

24

%

   

35

%

   

47

%

   

54

%

   

30

%

   

23

%

 

1  ​Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon net asset values may differ from the net asset values and returns for shareholder transactions.

2  ​Per share information is calculated using the average shares outstanding method.

3  ​This amount represents less than $0.01 per share.

4  ​Total returns are historical and include change in share price, reinvestment of all distributions and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.

5  ​Annualized.

6  ​Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

See Accompanying Notes to Financial Statements.
40


Credit Suisse Floating Rate High Income Fund
Financial Highlights

(For a Class C Share of the Fund Outstanding Throughout Each Period)

    For the Six
Months Ended
April 30, 2024
 

For the Year Ended October 31,

 
   

(unaudited)

 

2023

 

2022

 

2021

 

2020

 

2019

 

Per share data

 

Net asset value, beginning of period

 

$

6.35

   

$

6.221

   

$

6.68

   

$

6.36

   

$

6.61

   

$

6.871

   

INVESTMENT OPERATIONS

 

Net investment income2

   

0.27

     

0.50

     

0.23

     

0.18

     

0.24

     

0.28

   
Net gain (loss) from investments,
foreign currency transactions and
forward foreign currency contracts
(both realized and unrealized)
   

0.05

     

0.13

     

(0.46

)

   

0.32

     

(0.25

)

   

(0.26

)

 

Total from investment operations

   

0.32

     

0.63

     

(0.23

)

   

0.50

     

(0.01

)

   

0.02

   

LESS DIVIDENDS AND DISTRIBUTIONS

 

Dividends from net investment income

   

(0.27

)

   

(0.50

)

   

(0.23

)

   

(0.18

)

   

(0.24

)

   

(0.28

)

 

Return of capital

   

     

(0.00

)3

   

     

     

     

   

Total dividends and distributions

   

(0.27

)

   

(0.50

)

   

(0.23

)

   

(0.18

)

   

(0.24

)

   

(0.28

)

 

Net asset value, end of period

 

$

6.40

   

$

6.35

   

$

6.221

   

$

6.68

   

$

6.36

   

$

6.61

   

Total return4

   

5.04

%

   

10.42

%

   

(3.48

)%

   

7.90

%

   

(0.05

)%

   

0.34

%

 

RATIOS AND SUPPLEMENTAL DATA

 

Net assets, end of period (000s omitted)

 

$

44,173

   

$

45,535

   

$

52,725

   

$

60,182

   

$

58,959

   

$

87,380

   
Ratio of net expenses to average
net assets
   

1.70

%5

   

1.70

%

   

1.70

%

   

1.70

%

   

1.70

%

   

1.70

%

 
Ratio of net investment income to
average net assets
   

8.39

%5

   

7.82

%

   

3.54

%

   

2.66

%

   

3.83

%

   

4.19

%

 
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements
   

0.11

%5

   

0.11

%

   

0.09

%

   

0.07

%

   

0.09

%

   

0.08

%

 

Portfolio turnover rate6

   

24

%

   

35

%

   

47

%

   

54

%

   

30

%

   

23

%

 

1  ​Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon net asset values may differ from the net asset values and returns for shareholder transactions.

2  ​Per share information is calculated using the average shares outstanding method.

3  ​This amount represents less than $0.01 per share.

4  ​Total returns are historical and include change in share price, reinvestment of all distributions and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.

5  ​Annualized.

6  ​Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

See Accompanying Notes to Financial Statements.
41


Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements

April 30, 2024 (unaudited)

Note 1. Organization

Credit Suisse Floating Rate High Income Fund (the "Fund"), a series of Credit Suisse Opportunity Funds (the "Trust"), a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a diversified open-end management investment company that seeks to provide a high level of current income and, secondarily, capital appreciation. The Trust was organized under the laws of the State of Delaware as a business trust on May 31, 1995.

The Fund offers three classes of shares: Class I shares, Class A shares and Class C shares. Each class of shares represents an equal pro rata interest in the Fund, except the share classes bear different expenses. Class A shares are sold subject to a front-end sales charge of up to 4.75%. Class C shares are sold subject to a CDSC of 1.00% if the shares are redeemed within the first year of purchase. Class I shares are sold without a sales charge. Effective June 30, 2021, Class C shares, upon the eight year anniversary of purchase, will convert to Class A shares.

Note 2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies are in accordance with generally accepted accounting principles in the United States of America ("GAAP"). The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is considered an investment company for financial reporting purposes under GAAP and follows the accounting and reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standard Codification ("ASC") Topic 946 — Financial Services — Investment Companies.

A) 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 during the six months ended April 30, 2024 ("Credit Suisse" or the "Adviser"), who has established a Pricing Committee and a Pricing Group, which, pursuant to the policies adopted by the Board, are responsible for making fair valuation determinations and overseeing the Fund's pricing policies. The net asset value ("NAV") 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


42


Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. These pricing services generally price fixed income securities assuming orderly transactions of an institutional "round lot" size, but some trades occur in smaller "odd lot" sizes which may be effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. Investments in open-ended mutual funds are valued at the NAV as reported on each business day and under normal circumstances. Securities for which market quotations are not readily available are valued at their fair value as determined in good faith by the Adviser, as the Board's valuation designee (as defined in Rule 2a-5 under the 1940 Act), in accordance with the Adviser's procedures. The Board oversees the Adviser in its role as valuation designee in accordance with the requirements of Rule 2a-5 under the 1940 Act. The Fund may utilize a service provided by an independent third party to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its NAV 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 Adviser to be unreliable, the market price may be determined by the 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


43


Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

the Fund calculates its NAV, these securities will be fair valued in good faith by the Pricing Group, in accordance with procedures established by the Adviser.

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

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 April 30, 2024 in valuing the Fund's assets and liabilities carried at fair value:

Assets

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Investments in Securities

 

Bank Loans

 

$

   

$

1,480,274,553

   

$

132,501,858

   

$

1,612,776,411

   

Corporate Bonds

   

     

167,767,760

     

1,479,173

     

169,246,933

   

Asset Backed Securities

   

     

98,662,841

     

     

98,662,841

   

Common Stocks

   

28,293

     

16,602,758

     

19,849

     

16,650,900

   

Warrants

   

     

     

105,752

     

105,752

   

Short-term Investments

   

117,216,714

     

     

     

117,216,714

   
   

$

117,245,007

   

$

1,763,307,912

   

$

134,106,632

   

$

2,014,659,551

   

Other Financial Instruments*

 
Forward Foreign Currency
Contracts
 

$

   

$

618,010

   

$

   

$

618,010

   

Liabilities

                 

Other Financial Instruments*

 
Forward Foreign Currency
Contracts
 

$

   

$

739,916

   

$

   

$

739,916

   

*  Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts.


44


Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

The following is a reconciliation of investments as of April 30, 2024 for which significant unobservable inputs were used in determining fair value.

    Bank
Loans
  Corporate
Bonds
  Common
Stocks
 

Warrants

 

Total

 

Balance as October 31, 2023

 

$

117,212,484

   

$

141,447

   

$

3,390,086

   

$

167,953

   

$

120,911,970

   

Accrued discounts (premiums)

   

732,023

     

     

     

     

732,023

   

Purchases

   

60,088,169

     

1,341,898

     

     

     

61,430,067

   

Sales

   

(38,335,528

)

   

     

(794

)

   

     

(38,336,322

)

 

Realized gain (loss)

   

365,424

     

     

(102,413

)

   

     

263,011

   
Change in unrealized
appreciation (depreciation)
   

(2,679,567

)

   

(4,172

)

   

(467,319

)

   

(62,201

)

   

(3,213,259

)

 

Transfers into Level 3

   

41,694,296

     

     

     

     

41,694,296

   

Transfers out of Level 3

   

(46,575,443

)

   

     

(2,799,711

)

   

     

(49,375,154

)

 

Balance as of April 30, 2024

 

$

132,501,858

   

$

1,479,173

   

$

19,849

   

$

105,752

   

$

134,106,632

   
Net change in unrealized
appreciation (depreciation)
from investments still held
as of April 30, 2024
 

$

762,391

   

$

(4,172

)

 

$

   

$

(62,201

)

 

$

696,018

   

 

 

Quantitative Disclosure About Significant Unobservable Inputs

 
Asset Class   Fair Value
At April 30, 2024
  Valuation
Technique
  Unobservable
Input
  Price Range
(Weighted Average)*
 
Bank Loans  

$

3,200,357

   

Income Approach

  Expected Remaining
Distribution
 

$

0.00 – $0.95

($0.75)

 

   

4,072,068

   

Recent Transactions

 

Trade Price

   

0.98

(0.98)

 

   

125,229,433

   

Vendor Pricing

 

Single Broker Quote

   

0.01 – 1.08

(0.99)

 
Corporate Bonds    

140,842

   

Income Approach

  Expected Remaining
Distribution
  0.56 – 0.63

(0.59)

 

   

1,338,331

   

Recent Transactions

 

Trade Price

   

1.07

(1.07)

 
Common Stocks    

19,849

   

Income Approach

  Expected Remaining
Distribution
  0.00 – 0.02

(0.02)

 

   

0

   

Recent Transactions

 

Trade Price

    0.00 (N/A)    
Warrants    

105,752

   

Income Approach

  Expected Remaining
Distribution
  0.00 – 1.99

(1.99)

 

*  Weighted by relative fair value

Each fair value determination is based on a consideration of relevant factors, including both observable and unobservable inputs. Observable and unobservable inputs that Credit Suisse considers may include (i) the existence of any contractual restrictions on the disposition of securities; (ii) information obtained from the company, which may include an analysis of the company's financial statements, the company's products or intended markets or the company's technologies; (iii) the price of the same or similar security negotiated at arm's length in an issuer's completed subsequent round of financing; (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies; or (v) a probability and time value adjusted analysis


45


Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

of contractual term. Where available and appropriate, multiple valuation methodologies are applied to confirm fair value. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, determining fair value requires more judgment. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the investments existed. Accordingly, the degree of judgment exercised by the Fund in determining fair value is greatest for investments categorized in Level 3. In some circumstances, the inputs used to measure fair value might be categorized within different levels of the fair value hierarchy. In those instances, the fair value measurement is categorized in its entirety in the fair value hierarchy based on the least observable input that is significant to the fair value measurement. Additionally, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different from the valuations used at the date of these financial statements.

For the six months ended April 30, 2024, $41,694,296 was transferred from Level 2 to Level 3 due to a lack of pricing source supported by observable inputs and $49,375,154 was transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs. All transfers, if any, are assumed to occur at the end of the reporting period.

B) DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES — The Fund adopted amendments to authoritative guidance on disclosures about derivative instruments and hedging activities which require that a fund disclose (a) how and why an entity uses derivative instruments, (b) how derivative instruments and hedging activities are accounted for and (c) how derivative instruments and related hedging activities affect a fund's financial position, financial performance and cash flows. For the six months ended April 30, 2024, the Fund's derivatives did not qualify for hedge accounting as they are held at fair value.

The following table presents the fair value and the location of derivatives within the Statement of Assets and Liabilities at April 30, 2024 and the effect of these derivatives on the Statement of Operations for the six months ended April 30, 2024.

Primary Underlying Risk

  Derivative
Assets
  Derivative
Liabilities
  Realized
Gain (Loss)
  Net Change in Unrealized
Appreciation (Depreciation)
 
Foreign currency exchange rate
Forward contracts
 

$

618,010

   

$

739,916

   

$

   

$

(861,428

)

 


46


Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

For the six months ended April 30, 2024, the Fund held an average monthly value on a net basis of $120,591,150 in forward foreign currency contracts.

The Fund is a party to International Swap and Derivatives Association, Inc. ("ISDA") Master Agreements ("Master Agreements") with certain counterparties that govern over-the-counter derivative (including total return, credit default and interest rate swaps) and foreign exchange contracts entered into by the Fund. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. Termination events applicable to the Fund may occur upon a decline in the Fund's net assets below a specified threshold over a certain period of time.

The following table presents by counterparty the Fund's derivative assets, net of related collateral held by the Fund, at April, 30 2024:

Counterparty

  Gross Amount of
Derivative
Assets Presented in
the Statement of
Assets and Liabilities(a)
  Financial
Instruments
and Derivatives
Available for Offset
  Non-Cash
Collateral
Received
  Cash
Collateral
Received
  Net Amount
of Derivative
Assets
 

Deutsche Bank AG

 

$

618,010

   

$

(450,559

)

 

$

   

$

   

$

167,451

   

The following table presents by counterparty the Fund's derivative liabilities, net of related collateral pledged by the Fund, at April 30, 2024:

Counterparty

  Gross Amount of
Derivative
Liabilities Presented in
the Statement of
Assets and Liabilities(a)
  Financial
Instruments
and Derivatives
Available for Offset
  Non-Cash
Collateral
Pledged
  Cash
Collateral
Pledged
  Net Amount
of Derivative
Liabilities
 

Barclays Bank PLC

 

$

730

   

$

   

$

   

$

   

$

730

   

Deutsche Bank AG

   

450,559

     

(450,559

)

   

     

     

   

Morgan Stanley

   

288,627

     

     

     

     

288,627

   
   

$

739,916

   

$

(450,559

)

 

$

   

$

   

$

289,357

   

(a)​  Forward foreign currency contracts are included.

C) FOREIGN CURRENCY TRANSACTIONS — The books and records of the Fund are maintained in U.S. dollars. Transactions denominated in foreign currencies are recorded at the current prevailing exchange rates. All assets and liabilities denominated in foreign currencies, including purchases and sales of investments, and income and expenses are translated into U.S. dollar amounts on the date of those transactions.


47


Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

Reported net realized gain (loss) from foreign currency transactions arises from sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on securities transactions; and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net change in unrealized gains and losses on translation of assets and liabilities denominated in foreign currencies arises from changes in the fair values of assets and liabilities, other than investments at the end of the period, resulting from changes in exchange rates.

The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held. Such fluctuations are included with net realized and unrealized gain or loss from investments in the Statement of Operations.

D) SECURITY TRANSACTIONS AND INVESTMENT INCOME/EXPENSE — Security transactions are accounted for on a trade date basis. Interest income/expense is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Dividend income/expense is recorded on the ex-dividend date. Certain expenses are class-specific expenses, vary by class and are charged only to that class. Income, expenses (excluding class-specific expenses) and realized/unrealized gains/losses are allocated proportionately to each class of shares based upon the relative NAV of the outstanding shares of that class. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.

E) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income, if any, are declared daily and paid monthly. Distributions of net realized capital gains, if any, are declared and paid at least annually. However, to the extent that a net realized capital gain can be reduced by a capital loss carryforward, such gain will not be distributed. Dividends and distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations, which may differ from GAAP.


48


Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

F) FEDERAL AND OTHER TAXES — No provision is made for federal taxes as it is the Fund's intention to continue to qualify as a regulated investment company ("RIC") under the Internal Revenue Code of 1986, as amended (the "Code"), and to make the requisite distributions to its shareholders, which will be sufficient to relieve it from federal income and excise taxes.

In order to qualify as a RIC under the Code, the Fund must meet certain requirements regarding the source of its income, the diversification of its assets and the distribution of its income. One of these requirements is that the Fund derive at least 90% of its gross income for each taxable year from dividends, interest, payments with respect to certain securities loans, gains from the sale or other disposition of stock, securities or foreign currencies, other income derived with respect to its business of investing in such stock, securities or currencies or net income derived from interests in certain publicly-traded partnerships ("Qualifying Income").

The Fund adopted the authoritative guidance for uncertainty in income taxes and recognizes a tax benefit or liability from an uncertain position only if it is more likely than not that the position is sustainable based solely on its technical merits and consideration of the relevant taxing authority's widely understood administrative practices and procedures. The Fund has reviewed its current tax positions and has determined that no provision for income tax is required in the Fund's financial statements. The Fund's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

G) CASH — The Fund's uninvested cash balance is held in an interest bearing variable rate demand deposit account at State Street Bank and Trust Company ("SSB"), the Fund's custodian.

H) FORWARD FOREIGN CURRENCY CONTRACTS — A forward foreign currency exchange contract ("forward currency contract") is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. The Fund will enter into forward currency contracts primarily for hedging foreign currency risk. Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and unrealized gain/loss is recorded daily. On the settlement date of the forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was closed. Certain risks may arise upon entering into forward currency


49


Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

contracts from the potential inability of counterparties to meet the terms of their contracts. The maximum counterparty credit risk to the Fund is measured by the unrealized gain on appreciated contracts. Additionally, when utilizing forward currency contracts to hedge, the Fund forgoes the opportunity to profit from favorable exchange rate movements during the term of the contract. The Fund's open forward currency contracts at April 30, 2024 are disclosed in the Schedule of Investments. At April 30, 2024 the amount of restricted cash due to brokers related to forward foreign currency contracts was $23,002.

I) UNFUNDED LOAN COMMITMENTS — The Fund enters into certain agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these loan commitments at the borrowers' discretion. Funded and unfunded portions of credit agreements are presented in the Schedule of Investments. As of April 30, 2024, the Fund held no unfunded commitments.

Unfunded loan commitments and funded portions of credit agreements are marked to market daily and any unrealized appreciation or depreciation is included in the Statement of Assets and Liabilities and the Statement of Operations.

J) SECURITIES LENDING — The initial collateral received by the Fund is required to have a value of at least 102% of the market value of domestic securities on loan (including any accrued interest thereon) and 105% of the market value of foreign securities on loan (including any accrued interest thereon). The collateral is maintained thereafter at a value equal to at least 102% of the current market value of the securities on loan. The market value of loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day. Cash collateral received by the Fund in connection with securities lending activity may be pooled together with cash collateral for other funds/portfolios advised by Credit Suisse and may be invested in a variety of investments, including funds advised by SSB, the Fund's securities lending agent, or money market instruments. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Fund or the borrower at any time.


50


Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

SSB has been engaged by the Fund to act as the Fund's securities lending agent. As of April 30, 2024, the Fund had outstanding loans of securities to certain approved brokers for which the Fund received collateral:

Market Value of
Loaned Securities
  Market Value of
Cash Collateral
 

Total Collateral

 
$

14,095,924

   

$

14,455,400

   

$

14,455,400

   

The following table presents financial instruments that are subject to enforceable netting arrangements as of April 30, 2024.

Gross Amounts Not Offset in the Statement of Assets and Liabilities

 
Gross Asset
Amounts Presented in
the Statement of Assets
and Liabilities(a)
  Collateral
Received(b)
 

Net Amount

 
$

14,095,924

   

$

(14,095,924

)

 

$

   

(a)​  Represents market value of loaned securities at period end.

(b)​  The actual collateral received is greater than the amount shown here due to collateral requirements of the security lending agreement.

The Fund's securities lending arrangement provides that the Fund and SSB will share the net income earned from securities lending activities. Securities lending income is accrued as earned. For the six months ended April 30, 2024, total earnings received in connection with securities lending arrangements was $454,092, of which $406,306 was rebated to borrowers (brokers). The Fund retained $35,796 in income, and SSB, as lending agent, was paid $11,990.

K) OTHER — The high yield, fixed income securities in which the Fund invests will primarily consist of senior secured floating rate loans ("Senior Loans") issued by non-investment grade companies. Senior Loans are typically secured by specific collateral of the issuer and hold the most senior position in the issuer's capital structure. The interest rate on Senior Loans is periodically adjusted to a recognized base rate. While these characteristics may reduce interest rate risk and mitigate losses in the event of borrower default, the Senior Loans in which the Fund invests have below investment grade credit ratings and thereby are considered speculative because of the significant credit risk of their issuers.

The United Kingdom's Financial Conduct Authority (the "FCA"), which regulates LIBOR, has ceased publishing all LIBOR settings. In April 2023, however, the FCA announced that some USD LIBOR settings will continue to be published under a synthetic methodology until September 30, 2024 for certain legacy contracts. The Secured Overnight Financing Rate, or "SOFR," is


51


Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

a broad measure of the cost of borrowing cash overnight collateralized by U.S. Treasury securities in the purchase agreement ("repo") market and has been used increasingly on a voluntary basis in new instruments and transactions. On March 15, 2022, the Adjustable Interest Rate Act was signed into law, providing a statutory fallback mechanism to replace LIBOR with a benchmark rate that is selected by the Federal Reserve Board and based on SOFR for certain contracts that reference LIBOR without adequate fallback provisions. On December 16, 2022, the Federal Reserve Board adopted regulations implementing the Adjustable Interest Rate Act by identifying benchmark rates based on SOFR that replaced LIBOR in different categories of financial contracts after June 30, 2023. These regulations apply only to contracts governed by U.S. law, among other limitations. Neither the effect of the LIBOR transition process nor its ultimate success can yet be known. Not all existing LIBOR-based instruments may have alternative rate-setting provisions and there remains uncertainty regarding the willingness and ability of issuers to add alternative rate-setting provisions in certain existing instruments. Parties to contracts, securities or other instruments using LIBOR may disagree on transition rates or the application of applicable transition regulation, potentially resulting in uncertainty of performance and the possibility of litigation. The Fund may have instruments linked to other interbank offered rates that may also cease to be published in the future.

Lower-rated debt securities (commonly known as "junk bonds") possess speculative characteristics and are subject to greater market fluctuations and risk of lost income and principal than higher-rated debt securities for a variety of reasons. Also, during an economic downturn or substantial period of rising interest rates, highly leveraged issuers may experience financial stress which would adversely affect their ability to service their principal and interest payment obligations, to meet projected business goals and to obtain additional financing.

In addition, periods of economic uncertainty and changes can be expected to result in increased volatility of market prices of lower-rated debt securities and the Fund's NAV.

In the normal course of business, the Fund trades financial instruments and enters into financial transactions for which risk of potential loss exists due to changes in the market (market risk) or failure of the other party to a transaction to perform (credit risk). Similar to credit risk, the Fund may be exposed to counterparty risk, including with respect to securities lending, or the risk that


52


Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 2. Significant Accounting Policies (continued)

an institution or other entity with which the Fund has unsettled or open transactions will default. The potential loss could exceed the value of the financial assets recorded in the financial statements. Financial assets, which potentially expose the Fund to credit risk, consist principally of cash due from counterparties and investments. The extent of the Fund's exposure to credit and counterparty risks in respect to these financial assets approximates their carrying value as recorded in the Fund's Statement of Assets and Liabilities.

Note 3. Transactions with Affiliates and Related Parties

Credit Suisse served as investment adviser and co-administrator for the Fund during the six months ended April 30, 2024. For its investment advisory and administration services, Credit Suisse is entitled to receive a fee from the Fund at an annual rate of 0.79% of the Fund's average daily net assets less than or equal to $100 million and 0.59% of the Fund's average daily net assets greater than $100 million. For the six months ended April 30, 2024, investment advisory and administration fees earned and fees waived/expenses reimbursed by Credit Suisse were $6,006,835 and $1,140,617, respectively. Effective April 22, 2019, Credit Suisse has contractually agreed to limit expenses so that the Fund's annual operating expenses do not exceed 0.70% of the Fund's average daily net assets for Class I shares, 0.95% of the Fund's average daily net assets for Class A shares and 1.70% of the Fund's average daily net assets for Class C shares. The Fund is authorized to reimburse Credit Suisse for management fees previously waived and/or for expenses previously paid by Credit Suisse, provided, however, that any reimbursement must be paid at a date not more than thirty-six months following the applicable month during which such fees were waived or expenses were paid by Credit Suisse and the reimbursement does not cause the applicable class's aggregate expenses, on an annualized basis, to exceed either (i) the applicable expense limitation in effect at the time such fees were waived or such expenses were paid by Credit Suisse or (ii) the applicable expense limitation in effect at the time of such reimbursement. This contract may not be terminated before February 28, 2025. Prior to April 22, 2019, these expense limitations were voluntary. For the six months ended April 30, 2024, there was no recoupment.


53


Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 3. Transactions with Affiliates and Related Parties (continued)

The amounts waived and reimbursed by Credit Suisse, which are available for potential future recoupment by Credit Suisse, and the expiration schedule at April 30, 2024 are as follows:

    Fee waivers/expense
reimbursements
subject to
recoupment
  Expires
October 31,
2024
  Expires
October 31,
2025
  Expires
October 31,
2026
  Expires
October 31,
2027
 

Class I

 

$

7,516,502

   

$

1,570,467

   

$

2,639,316

   

$

2,259,861

   

$

1,046,858

   

Class A

   

412,570

     

104,171

     

116,498

     

123,793

     

68,108

   

Class C

   

172,498

     

43,325

     

52,688

     

50,834

     

25,651

   

Totals

 

$

8,101,570

   

$

1,717,963

   

$

2,808,502

   

$

2,434,488

   

$

1,140,617

   

Credit Suisse Securities (USA) LLC ("CSSU"), an affiliate of Credit Suisse, served as the distributor of the Fund's shares during the six months ended April 30, 2024. Pursuant to a distribution plan adopted by the Fund pursuant to Rule 12b-1 under the 1940 Act, CSSU receives fees for its distribution services. These fees are calculated at an annual rate of 0.25% of the average daily net assets of the Class A shares. For the Class C shares, the fee is calculated at an annual rate of 1.00% of the average daily net assets. For the six months ended April 30, 2024, the Fund paid Rule 12b-1 distribution fees of $149,970 for Class A shares and $224,004 for Class C shares. Class I shares are not subject to Rule 12b-1 distribution fees.

For the six months ended April 30, 2024, CSSU and its affiliates advised the Fund that they retained $4,243 from commissions earned on the sale of the Fund's Class A shares. There were no commissions earned on the sale of Class C shares.

The Fund from time to time purchases or sells loan investments in the secondary market through Credit Suisse or its affiliates acting in the capacity as broker-dealer. Credit Suisse or its affiliates may have acted in some type of agent capacity to the initial loan offering prior to such loan trading in the secondary market.

Note 4. Line of Credit

The Fund, together with other funds/portfolios advised by Credit Suisse (collectively, the "Participating Funds"), participates in a committed, unsecured line of credit facility ("Credit Facility"), with SSB in an aggregated amount of $250 million for temporary or emergency purposes on a first-come, first-served basis. Of the aggregate $250 million amount, $125 million is specifically designated for the Fund. The remaining $125 million is available to all


54


Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 4. Line of Credit (continued)

Participating Funds, including the Fund. Under the terms of the Credit Facility, the Participating Funds pay an aggregate commitment fee on the average unused amount of the Credit Facility, which is allocated among the Participating Funds in such manner as is determined by the governing boards of the Participating Funds. In addition, the Participating Funds pay interest on borrowings at either the Federal Funds Effective rate or the Overnight Bank Funding rate plus a spread. At April 30, 2024 and for the six months ended April 30, 2024, the Fund had no borrowings outstanding under the Credit Facility. Additionally, the Fund and another Participating Fund are parties to a joint uncommitted line of credit facility with SSB in an aggregated amount of $200 million. For the six months ended April 30, 2024, the line was not drawn upon and no fees were incurred.

Note 5. Purchases and Sales of Securities

For the six months ended April 30, 2024, purchases and sales of investment securities (excluding short-term investments) and U.S. Government and Agency Obligations were as follows:

Investment Securities

  U.S. Government/
Agency Obligations
 
Purchases  

Sales

 

Purchases

 

Sales

 
$

470,152,277

   

$

524,812,214

   

$

0

   

$

0

   

Note 6. Capital Share Transactions

The Fund is authorized to issue an unlimited number of full and fractional shares of beneficial interest, $0.001 par value per share. The Fund offers Class I, Class A, and Class C shares. Transactions in capital shares for each class of the Fund were as follows:

   

Class I

 
    For the Six Months Ended
April 30, 2024 (unaudited)
  For the Year Ended
October 31, 2023
 
   

Shares

 

Value

 

Shares

 

Value

 

Shares sold

   

53,109,202

   

$

337,354,613

     

110,944,148

   

$

696,216,807

   
Shares issued in reinvestment
of distributions
   

10,810,081

     

68,771,915

     

23,910,029

     

150,149,227

   

Shares redeemed

   

(68,036,887

)

   

(432,738,960

)

   

(231,689,918

)

   

(1,452,088,296

)

 

Net decrease

   

(4,117,604

)

 

$

(26,612,432

)

   

(96,835,741

)

 

$

(605,722,262

)

 


55


Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 6. Capital Share Transactions (continued)

   

Class A

 
    For the Six Months Ended
April 30, 2024 (unaudited)
  For the Year Ended
October 31, 2023
 
   

Shares

 

Value

 

Shares

 

Value

 

Shares sold

   

3,908,980

   

$

24,983,769

     

4,954,585

   

$

31,321,019

   
Shares issued in reinvestment
of distributions
   

702,859

     

4,492,619

     

1,273,924

     

8,044,816

   

Shares redeemed

   

(3,795,417

)

   

(24,265,054

)

   

(6,626,901

)

   

(41,761,989

)

 

Net increase (decrease)

   

816,422

   

$

5,211,334

     

(398,392

)

 

$

(2,396,154

)

 
   

Class C

 
    For the Six Months Ended
April 30, 2024 (unaudited)
  For the Year Ended
October 31, 2023
 
   

Shares

 

Value

 

Shares

 

Value

 

Shares sold

   

748,792

   

$

4,802,057

     

1,500,639

   

$

9,519,502

   
Shares issued in reinvestment
of distributions
   

253,240

     

1,623,698

     

493,655

     

3,126,692

   

Shares redeemed

   

(1,270,806

)

   

(8,141,031

)

   

(3,298,938

)

   

(20,806,254

)

 

Net decrease

   

(268,774

)

 

$

(1,715,276

)

   

(1,304,644

)

 

$

(8,160,060

)

 

On April 30, 2024, the number of shareholders that held 5% or more of the outstanding shares of each class of the Fund was as follows:

    Number of
Shareholders
  Approximate Percentage
of Outstanding Shares
 

Class I

   

8

     

66

%

 

Class A

   

5

     

73

%

 

Class C

   

6

     

81

%

 

The Fund's performance may be negatively impacted in the event one or more of the Fund's greater than 5% shareholders were to redeem at a given time. Some of the shareholders are omnibus accounts, which hold shares on behalf of individual shareholders.

Note 7. Contingencies

In the normal course of business, the Fund may provide general indemnifications pursuant to certain contracts and organizational documents. The Fund's maximum exposure under these arrangements is dependent on future claims that may be made against the Fund and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote.


56


Credit Suisse Floating Rate High Income Fund
Notes to Financial Statements (continued)

April 30, 2024 (unaudited)

Note 8. Subsequent Events

On May 1, 2024, Credit Suisse Asset Management, LLC ("Credit Suisse") merged into UBS Asset Management (Americas) LLC ("UBS AM (Americas)"), with UBS AM (Americas) as the surviving entity, and UBS AM (Americas) became the investment manager to the Fund. Also on May 1, 2024, UBS Asset Management (US) Inc. replaced CSSU as the Fund's underwriter and distributor.


57



Credit Suisse Floating Rate High Income Fund
Change in Independent Registered Public Accounting Firm
(unaudited)

On April 23, 2024, the Fund's Board approved the dismissal of PricewaterhouseCoopers LLP ("PwC") as the independent registered public accounting firm for the Fund, due to PwC's ceasing to be deemed an independent registered public accounting firm with respect to the Fund after April 30, 2024. The Board's decision to approve the dismissal of PwC was recommended by the Audit Committee of the Board. PwC's reports on the Fund's financial statements for the fiscal periods ended October 31, 2023 and October 31, 2022 contained no adverse opinion or disclaimer of opinion nor were they qualified or modified as to uncertainty, audit scope or accounting principle. During the Fund's fiscal periods ended October 31, 2023 and October 31, 2022 and the subsequent interim period through April 23, 2024, (i) there were no disagreements with PwC on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of PwC, would have caused them to make reference to the subject matter of the disagreements in connection with their reports on the Fund's financial statements for such periods, and (ii) there were no "reportable events" of the kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended.

Upon the recommendation of the Audit Committee of the Fund's Board, the Fund's Board approved the engagement of Ernst & Young LLP ("EY") as the Fund's independent registered public accounting firm for the fiscal year ending October 31, 2024. During the Fund's fiscal periods ended October 31, 2023 and October 31, 2022 and the subsequent interim period through June 19, 2024, neither the Fund, nor anyone on its behalf, consulted with EY on items which: (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Fund's financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(v) of said Item 304).


58



Credit Suisse Floating Rate High Income Fund
Liquidity Risk Management Program
(unaudited)

The Fund has adopted and implemented a written liquidity risk management program (the "Liquidity Program") in accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended. The Liquidity Program seeks to assess and manage the Fund's liquidity risk, i.e., the risk that the Fund is unable to satisfy redemption requests without significantly diluting remaining investors' interests in the Fund. The Board has designated the Fund's investment adviser to administer the Liquidity Program (the "Program Administrator"). Prior to May 1, 2024, Credit Suisse Asset Management, LLC served as Program Administrator. Effective May 1, 2024, UBS Asset Management (Americas) LLC serves as the Program Administrator. Certain aspects of the Liquidity Program rely on third parties to perform certain functions, including the provision of market data and application of models.

Under the Liquidity Program, the Program Administrator assesses, manages and periodically reviews the Fund's liquidity risk and classifies each investment held by the Fund as a "highly liquid investment," "moderately liquid investment," "less liquid investment" or "illiquid investment." The liquidity of the Fund's portfolio investments is determined based on relevant market, trading and investment-specific considerations under the Liquidity Program.

During the six months ended April 30, 2024, the Trust's Board received reports from the Program Administrator that included information to address the operations of the Liquidity Program and assess its adequacy and effectiveness of implementation during the period covered by the reports. The reports indicated that the Liquidity Program is reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the reporting period.

There can be no assurance that the Liquidity Program will achieve its objectives under all circumstances in the future. Please refer to the Fund's prospectus for more information regarding the Fund's exposure to illiquidity risk and other risks to which it may be subject.


59



Credit Suisse Floating Rate High Income Fund
Notice of Privacy and Information Practices
(unaudited)

At UBS AM (Americas), we know that you are concerned with how we protect and handle nonpublic personal information that identifies you. This notice is designed to help you understand what nonpublic personal information we collect from you and from other sources, and how we use that information in connection with your investments and investment choices that may be available to you. Except where otherwise noted, this notice is applicable only to consumers who are current or former investors, meaning individual persons whose investments are primarily for household, family or personal use ("individual investors"). Specified sections of this notice, however, also apply to other types of investors (called "institutional investors"). Where the notice applies to institutional investors, the notice expressly states so. This notice is being provided by Credit Suisse Funds and Credit Suisse Closed-End Funds. This notice applies solely to U.S. registered investment companies advised by UBS AM (Americas).

Categories of information we may collect:

We may collect information about you, including nonpublic personal information, such as

•  Information we receive from you on applications, forms, agreements, questionnaires, Credit Suisse websites and other websites that are part of our investment program, or in the course of establishing or maintaining a customer relationship, such as your name, address, e-mail address, Social Security number, assets, income, financial situation; and

•  Information we obtain from your transactions and experiences with us, our affiliates, or others, such as your account balances or other investment information, assets purchased and sold, and other parties to a transaction, where applicable.

Categories of information we disclose and parties to whom we disclose it:

•  We do not disclose nonpublic personal information about our individual investors, except as permitted or required by law or regulation. Whether you are an individual investor or institutional investor, we may share the information described above with our affiliates that perform services on our behalf, and with our asset management and private banking affiliates; as well as with unaffiliated third parties that perform services on our behalf, such as our accountants, auditors, attorneys, broker-dealers, fund administrators, and other service providers.


60



Credit Suisse Floating Rate High Income Fund
Notice of Privacy and Information Practices
(unaudited) (continued)

•  We want our investors to be informed about additional products or services. We do not disclose nonpublic personal information relating to individual investors to our affiliates for marketing purposes, nor do we use such information received from our affiliates to solicit individual investors for such purposes. Whether you are an individual investor or an institutional investor, we may disclose information, including nonpublic personal information, regarding our transactions and experiences with you to our affiliates.

•  In addition, whether you are an individual investor or an institutional investor, we reserve the right to disclose information, including nonpublic personal information, about you to any person or entity, including without limitation any governmental agency, regulatory authority or self-regulatory organization having jurisdiction over us or our affiliates, if (i) we determine in our discretion that such disclosure is necessary or advisable pursuant to or in connection with any United States federal, state or local, or non-U.S., court order (or other legal process), law, rule, regulation, or executive order or policy, including without limitation any anti-money laundering law or the USA PATRIOT Act of 2001; and (ii) such disclosure is not otherwise prohibited by law, rule, regulation, or executive order or policy.

Confidentiality and security

•  To protect nonpublic personal information about individual investors, we restrict access to those employees and agents who need to know that information to provide products or services to us and to our investors. We maintain physical, electronic, and procedural safeguards to protect nonpublic personal information.

Other Disclosures

This notice is not intended to be incorporated in any offering materials, but is a statement of our current Notice of Privacy and Information Practices and may be amended from time to time. This notice is current as of May 14, 2024.


61



Credit Suisse Floating Rate High Income Fund
Proxy Voting and Portfolio Holdings Information
(unaudited)

Information regarding how the Fund voted proxies related to its portfolio securities during the 12-month period ended June 30 of each year, as well as the policies and procedures that the Fund uses to determine how to vote proxies relating to its portfolio securities are available:

•  By calling 1-877-870-2874

•  On the Fund's website, www.credit-suisse.com/us/funds

•  On the website of the Securities and Exchange Commission, www.sec.gov

The Fund files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund's Forms N-PORT and N-Q are available on the SEC's website at www.sec.gov.


62


P.O. BOX 219916, KANSAS CITY, MO 64121-9916

877-870-2874 www.credit-suisse.com/us

UBS Asset Management (US) Inc., DISTRIBUTOR.  FLHI-SAR-0424


 

Item 2. Code of Ethics.

 

This item is inapplicable to a semi-annual report on Form N-CSR.

 

Item 3. Audit Committee Financial Expert.

 

This item is inapplicable to a semi-annual report on Form N-CSR.

 

Item 4. Principal Accountant Fees and Services.

 

This item is inapplicable to a semi-annual report on Form N-CSR.

 

Item 5. Audit Committee of Listed Registrants.

 

This item is not applicable to the registrant.

 

Item 6. Schedule of Investments.

 

Included as part of the report to shareholders filed under Item 1 of this Form.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

 

This item is not applicable to the registrant.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

 

This item is not applicable to the registrant.

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

 

This item is not applicable to the registrant.

 

Item 10. Submission of Matters to a Vote of Security Holders.

 

The Nominating Committee recommends Board member candidates. Shareholders of the registrant may also submit nominees that will be considered by the Committee. Recommendations should be mailed to the registrant’s Secretary, c/o UBS Asset Management (Americas) LLC, Eleven Madison Avenue, New York, NY 10010. Any submission should include at a minimum the following information: the name, age, business address, residence address and principal occupation or employment of such individual; the class, series and number of shares of the registrant that are beneficially owned by such individual; the date such shares were acquired and the investment intent of such acquisition; whether such shareholder believes such individual is, or is not, an “interested person” of the registrant (as defined in the Investment Company Act of 1940) and information regarding such individual that is sufficient, in the Committee’s discretion, to make such determination; and all other information relating to such individual that is required to be disclosed in solicitation of proxies for election of directors in an election contest (even if an election contest is not involved) or is otherwise required pursuant to the rules for proxy materials under the Securities Exchange Act of 1934.

 

Item 11. Controls and Procedures.

 

(a) As of a date within 90 days from the filing date of this report, the principal executive officer and principal financial officer concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) were effective based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934.

 

 

 

 

(b) There were no changes to the Registrant's internal control over financial reporting that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

 

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

 

This item is not applicable to the registrant.

 

Item 13. Exhibits.

 

(a)(1) Not applicable.

 

(a)(2) The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report.

 

(a)(3) Not applicable.

 

(b) The certifications of the registrant as required by Rule 30a-2(b) under the Act are an exhibit to this report.

  

 

 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

  CREDIT SUISSE OPPORTUNITY FUNDS  
     
  /s/ Omar Tariq  
  Name: Omar Tariq  
  Title: Chief Executive Officer and President (Principal Executive Officer)  
  Date: July 2, 2024  

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

     
  /s/ Omar Tariq  
  Name: Omar Tariq  
  Title: Chief Executive Officer and President (Principal Executive Officer)  
  Date: July 2, 2024  
     
  /s/ Rose Ann Bubloski  
  Name: Rose Ann Bubloski  
  Title: Chief Financial Officer and Treasurer (Principal Financial Officer)  
  Date: July 2, 2024