Credit Suisse Multialternative Strategy Fund Consolidated Schedule of Investments August 31, 2015 (unaudited)

Transcription

1 Consolidated Schedule of Investments LONG POSITIONS (63.0%) COMMON STOCKS (20.0%) BAHAMAS (0.1%) Diversified Consumer Services (0.1%) Steiner Leisure, Ltd. 146 $ 9,296 BELGIUM (0.6%) Food & Staples Retailing (0.6%) Delhaize Group 1,038 92,740 FRANCE (0.3%) Communications Equipment (0.3%) Alcatel-Lucent 11,947 39,975 ITALY (0.5%) Auto Components (0.3%) Pirelli & C. SpA 2,318 38,781 Healthcare Equipment & Supplies (0.2%) Sorin SpA 9,169 28,679 67,460 NETHERLANDS (0.7%) Air Freight & Logistics (0.2%) TNT Express N.V. 3,767 31,772 Chemicals (0.2%) Koninklijke Ten Cate N.V. 1,191 32,057 Healthcare Equipment & Supplies (0.3%) Tornier N.V. 1,812 40, ,128 SWITZERLAND (0.2%) Chemicals (0.2%) Clariant AG, Reg S 1,620 29,177 UNITED KINGDOM (1.1%) Communications Equipment (0.1%) Pace PLC 1,675 8,773 Electrical Equipment (0.3%) HellermannTyton Group PLC 5,073 37,061 Healthcare Providers & Services (0.3%) Synergy Health PLC 1,904 47,586 Oil, Gas & Consumable Fuels (0.4%) BG Group PLC 4,069 61, ,318 UNITED STATES (16.5%) Aerospace & Defense (0.7%) Precision Castparts Corp ,303 Auto Components (0.2%) Remy International, Inc. 1,128 33,050 Banks (0.6%) City National Corp ,179 Square 1 Financial, Inc., Class A ,277 80,456 Biotechnology (0.3%) KYTHERA Biopharmaceuticals, Inc ,683 Capital Markets (0.4%) GFI Group, Inc. 10,101 61,212 Chemicals (1.4%) Cytec Industries, Inc ,321 OM Group, Inc ,110

2 LONG POSITIONS COMMON STOCKS UNITED STATES Chemicals Sigma-Aldrich Corp. 910 $ 126, ,294 Electric Utilities (1.3%) Cleco Corp. 1,341 71,851 Pepco Holdings, Inc. 5, , ,566 Energy Equipment & Services (0.4%) Baker Hughes, Inc. 1,030 57,680 Gas Utilities (0.5%) AGL Resources, Inc. 1,079 65,599 Healthcare Equipment & Supplies (0.4%) Thoratec Corp ,528 Healthcare Providers & Services (2.4%) Cigna Corp ,108 Health Net, Inc. 1,079 69,121 Humana, Inc ,545 IPC Healthcare, Inc , ,583 Healthcare Technology (0.2%) Merge Healthcare, Inc. 4,020 28,502 Household Durables (0.3%) The Ryland Group, Inc. 1,084 46,872 Insurance (2.1%) HCC Insurance Holdings, Inc ,161 StanCorp Financial Group, Inc ,558 Symetra Financial Corp. 1,683 52,964 The Chubb Corp , ,285 Internet & Catalog Retail (0.5%) Orbitz Worldwide, Inc. 2,574 29,524 zulily, Inc., Class A 2,251 39,955 69,479 Internet Software & Services (0.6%) Dealertrack Technologies, Inc ,333 Xoom Corp. 1,608 39,927 90,260 Pharmaceuticals (0.6%) Hospira, Inc ,703 Real Estate Investment Trusts (0.8%) Gramercy Property Trust, Inc. 2,056 45,458 Home Properties, Inc , ,806 Semiconductor Equipment & Products (1.4%) Altera Corp. 1,038 50,395 Freescale Semiconductor, Ltd. 1,473 52,630 Integrated Silicon Solution, Inc ,619 OmniVision Technologies, Inc. 3,003 71, ,416 Specialty Retail (0.4%) Office Depot, Inc. 6,478 51,371

3 LONG POSITIONS COMMON STOCKS UNITED STATES Thrifts & Mortgage Finance (1.0%) Hudson City Bancorp, Inc. 15,948 $ 148,316 2,362,964 TOTAL COMMON STOCKS (Cost $2,969,706) 2,861,058 EXCHANGE TRADED FUNDS (33.6%) UNITED STATES (33.6%) Diversified Financial Services (33.6%) Health Care Select Sector SPDR Fund 8, ,557 i iboxx $ High Yield Corporate Bond ETF 38,262 3,299,715 Powershares QQQ Trust Series 1 8, ,694 TOTAL EXCHANGE TRADED FUNDS (Cost $5,039,684) 4,810,966 INVESTMENT COMPANY (9.4%) UNITED STATES (9.4%) Credit Suisse Managed Futures Strategy Fund, I (Cost $1,185,117) 114,789 1,346,474 Rights RIGHT (0.0%) UNITED STATES (0.0%) Biotechnology (0.0%) Trius Therapeutics, Inc. (Cost $0) SHORT-TERM INVESTMENTS (62.7%) State Street Navigator Prime Portfolio 1 4,035,677 4,035,677 Par (000) State Street Bank and Trust Co. Euro Time Deposit, 0.010% 09/01/2015 (Cost $4,956,118) $ 4,956 4,956,118 TOTAL SHORT-TERM INVESTMENTS (Cost $8,991,795) 8,991,795 TOTAL INVESTMENTS AT VALUE/LONG POSITIONS (125.7%) (Cost $18,186,302) 18,010,345 TOTAL SECURITIES SOLD SHORT (-7.4%) (Proceeds $1,153,971) (1,057,337) LIABILITIES IN EXCESS OF OTHER ASSETS (-18.3%) (2,620,037) NET ASSETS (100.0%) $ 14,332,971 SHORT POSITIONS (-7.4%) COMMON STOCKS (-6.8%) CANADA (-0.2%) Banks (-0.2%) Royal Bank of Canada (479) (26,403) FINLAND (-0.3%) Computers & Peripherals (-0.3%) Nokia Oyj (6,571) (41,166) NETHERLANDS (-1.0%) Food & Staples Retailing (-0.7%) Koninklijke Ahold N.V. (4,931) (97,109) Semiconductor Equipment & Products (-0.3%) NXP Semiconductors N.V. (519) (43,934)

4 SHORT POSITIONS COMMON STOCKS NETHERLANDS $ (141,043) SWITZERLAND (-0.4%) Construction Materials (0.0%) LafargeHolcim, Ltd., Reg S (2) (127) Insurance (-0.4%) ACE, Ltd. (596) (60,887) (61,014) UNITED KINGDOM (-0.3%) Oil, Gas & Consumable Fuels (-0.3%) Royal Dutch Shell PLC, A (1,818) (47,471) UNITED STATES (-4.6%) Banks (-1.3%) M&T Bank Corp. (1,340) (158,442) PacWest Bancorp (577) (24,603) (183,045) Communications Equipment (-0.1%) ARRIS Group, Inc. (244) (6,447) Energy Equipment & Services (-0.3%) Halliburton Co. (1,153) (45,371) Healthcare Equipment & Supplies (-0.9%) Cyberonics, Inc. (433) (28,292) STERIS Corp. (820) (52,521) Wright Medical Group, Inc. (1,758) (40,557) (121,370) Healthcare Providers & Services (-1.2%) Aetna, Inc. (547) (62,642) Anthem, Inc. (436) (61,498) Centene Corp. (671) (41,414) (165,554) Household Durables (-0.3%) Standard Pacific Corp. (5,522) (46,661) Internet & Catalog Retail (-0.1%) Liberty Interactive Corp. QVC Group, Class A (697) (18,847) Metals & Mining (0.0%) Alcoa, Inc. (1) (9) Oil, Gas & Consumable Fuels (0.0%) Noble Energy, Inc. (1) (33) Real Estate Investment Trusts (-0.3%) Chambers Street Properties (6,560) (44,411) Specialty Retail (-0.1%) Staples, Inc. (1,417) (20,136) (651,884) TOTAL COMMON STOCKS (Proceeds $1,052,650) (968,981) EXCHANGE TRADED FUND (-0.6%) UNITED STATES (-0.6%) Diversified Financial Services (-0.6%) i MSCI Emerging Markets ETF(Proceeds $101,321) (2,611) (88,356) TOTAL SHORT POSITIONS (Proceeds $1,153,971) $ (1,057,337) 1 Represents security purchased with cash collateral received for securities on loan.

5 Forward Foreign Currency Contracts Forward Foreign Forward Foreign Net Unrealized Currency to be Currency to be Expiration on Current Appreciation Purchased (Local) Sold (Local) Date Counterparty Settlement Date /Notional AUD 219,250 USD 160,536 09/18/15 Societe Generale $ 160,536 $ 155,309 $ (5,227) GBP 139,475 USD 218,432 09/18/15 Societe Generale 218, ,492 (3,940) NOK 675,385 USD 81,429 09/18/15 Societe Generale 81,429 80,516 (913) NZD 785,032 USD 515,832 09/18/15 Societe Generale 515, ,516 (19,316) USD 443,699 CAD 580,353 09/17/15 Societe Generale (443,699) (436,166) 7,533 USD 62,783 SEK 536,356 09/18/15 Societe Generale (62,783) (63,232) (449) USD 133,698 CHF 130,626 09/18/15 Societe Generale (133,698) (135,146) (1,448) USD 352,548 JPY 43,856,479 09/18/15 Societe Generale (352,548) (361,982) (9,434) USD 1,095,385 EUR 993,242 09/18/15 Societe Generale (1,095,358) (1,113,184) (17,826) Currency Abbreviations: AUD = Australian Dollar CAD = Canadian Dollar CHF = Swiss Franc EUR = Euro GBP = British Pound JPY = Japanese Yen NOK = Norwegian Krone NZD = New Zealand Dollar SEK = Swedish Krona USD = United States Dollar $ (51,020) Total Return Swap Contracts Notional Amount Expiration Date Counterparty Receive Pay Net Unrealized Appreciation Currency USD $ 312,000 12/21/15 Goldman Sachs iboxx $ Liquid High Yield Index Fee Plus LIBOR $ (9,435) USD $ 155,000 12/21/15 Goldman Sachs iboxx $ Liquid High Yield Index Fee Plus LIBOR (4,170) USD $ 166,340 06/16/16 Goldman Sachs Fee Plus LIBOR MSCI Daily TR Emerging Markets Index 6,904 USD $ 92,393 02/18/16 Goldman Sachs Russell 2000 Total Return Index Fee Plus LIBOR (4,173) USD $ 317,600 08/18/16 Goldman Sachs Russell 2000 Total Return Index Fee Plus LIBOR (14,343) USD $ 310,000 09/21/15 JPMorgan Chase iboxx $ Liquid High Yield Index Fee Plus LIBOR (5,928) Russell 2000 Total USD $ 346,495 11/18/15 Societe Generale Return Index Fee Plus LIBOR _ (15,670) _ $ (46,815) _ Credit Default Swap Contracts Bought Rate Paid Credit Received Upfront Net Unrealized Notional Expiration Referenced by the at Market Premiums Appreciation Currency Amount Date Counterparty Obligation Fund 8/31/2015 Received USD $ 329,175 06/20/20 BNP CDX North America High Yield Index 5.0% $ 14,872 $ 15,438 $ (566)

6 Option Contracts Current Net Unrealized Expiration Premiums / Appreciation Contracts Put Written Options Date Received Notional 4 S&P 500 Index, $2,095 09/18/15 $ 12,188 $ (50,920) (38,732) of Credit Suisse Funds are currently offered only in the U.S. and are not registered for sale in any other jurisdiction. Fund shares are not deposits or other obligations of Credit Suisse or any affiliate, are not FDIC-insured and are not guaranteed by Credit Suisse or any affiliate. Current and future fund investments are subject to investment risks, including possible loss of your investment. There are also special risk considerations associated with international, global, emerging-market, small-company, high-yield debt, single-industry, single-country and regional funds and other special, aggressive or concentrated investment strategies. Past performance cannot guarantee future results. Holdings are unaudited and may have changed subsequently. This is not a recommendation to purchase or to sell securities. The fund's investment objective, risks, charges and expenses (which should be considered carefully before investing), and more complete information about the fund, are provided in the Prospectus, which should be read carefully before investing. Additional copies are available at or by calling Credit Suisse Funds at Copyright Credit Suisse (USA) LLC, distributor.