Credit Suisse Multialternative Strategy Fund Consolidated Schedule of Investments December 31, 2014 (unaudited)

Transcription

1 Consolidated Schedule of Investments LONG POSITIONS (51.1%) COMMON STOCKS (36.6%) AUSTRALIA (0.3%) Energy Equipment & Services (0.3%) CAT Oil AG 2,604 $ 46,034 BERMUDA (0.2%) Insurance (0.2%) Catlin Group, Ltd. 2,695 28,085 CANADA (0.5%) Oil, Gas & Consumable Fuels (0.5%) Talisman Energy, Inc. 8,422 66,169 FINLAND (0.3%) Building Products (0.3%) Sanitec Oyj 3,577 43,777 FRANCE (1.6%) Construction Materials (1.5%) Lafarge S.A. 2, ,017 Hotels, Restaurants & Leisure (0.1%) Club Mediterranee S.A , ,811 GUERNSEY (0.7%) Insurance (0.7%) Friends Life Group Ltd. 15,752 89,496 IRELAND (2.2%) Healthcare Equipment & Supplies (2.2%) Covidien PLC 2, ,737 LUXEMBOURG (0.6%) Real Estate Management & Development (0.6%) GAGFAH S.A. 3,488 77,895 NETHERLANDS (1.7%) Food Products (0.5%) Nutreco N.V. 1,307 70,153 Healthcare Equipment & Supplies (0.4%) Tornier N.V. 1,812 46,206 Real Estate Investment Trusts (0.8%) Corio N.V. 2, , ,159 UNITED KINGDOM (1.9%) Diversified Telecommunication Services (0.6%) Jazztel PLC 5,631 85,101 Healthcare Providers & Services (0.5%) Synergy Health PLC 1,904 61,770 Hotels, Restaurants & Leisure (0.4%) Spirit Pub Co. PLC 29,037 47,200 Semiconductor Equipment & Products (0.4%) CSR PLC 4,378 58, ,177 UNITED STATES (26.6%) Auto Components (1.0%) TRW Automotive Holdings Corp. 1, ,510 Banks (2.1%) Hudson City Bancorp, Inc. 21, ,770 Susquehanna Bancshares, Inc. 4,578 61, ,253 Biotechnology (0.5%) Cubist Pharmaceuticals, Inc ,663

2 LONG POSITIONS COMMON STOCKS UNITED STATES Capital Markets (0.4%) GFI Group, Inc. 10,101 $ 55,050 Chemicals (1.9%) Rockwood Holdings, Inc. 1, ,553 Sigma-Aldrich Corp , ,469 Communications Equipment (0.4%) Riverbed Technology, Inc. 2,699 55,087 Electric Utilities (2.0%) Cleco Corp. 1,341 73,138 Pepco Holdings, Inc. 6, , ,005 Energy Equipment & Services (1.7%) Baker Hughes, Inc. 2, ,532 Dresser-Rand Group, Inc. 1,190 97, ,874 Food & Staples Retailing (0.3%) The Pantry, Inc ,762 Healthcare Equipment & Supplies (1.7%) Alere, Inc. 2,312 87,856 CareFusion Corp. 1, ,788 Volcano Corp. 1,734 31, ,648 Healthcare Providers & Services (1.1%) Covance, Inc ,164 Gentiva Health Services, Inc. 3,490 66, ,649 Insurance (1.5%) Protective Life Corp. 2, ,836 Internet Software & Services (0.3%) Digital River, Inc. 1,574 38,925 IT Consulting & Services (0.5%) Sapient Corp. 2,586 64,340 Media (2.2%) Time Warner Cable, Inc. 1, ,347 Multi-utilities (1.1%) Integrys Energy Group, Inc. 1, ,256 Multiline Retail (1.1%) Family Dollar Stores, Inc. 1, ,182 Pharmaceuticals (1.0%) Auxilium Pharmaceuticals, Inc. 1,870 64,300 Avanir Pharmaceuticals, Inc. 3,921 66, ,761 Real Estate Investment Trust (0.5%) Glimcher Realty Trust 5,107 70,170 Semiconductor Equipment & Products (3.0%) International Rectifier Corp. 2,283 91,092 OmniVision Technologies, Inc. 3,003 78,078 TriQuint Semiconductor, Inc. 8, , ,771

3 LONG POSITIONS COMMON STOCKS UNITED STATES Software (0.0%) Covisint Corp. 750 $ 1,988 Specialty Retail (0.6%) PetSmart, Inc ,848 Tobacco (1.7%) Lorillard, Inc. 3, ,136 3,527,530 TOTAL COMMON STOCKS (Cost $4,767,577) 4,858,870 EXCHANGE TRADED FUNDS (6.0%) UNITED STATES (6.0%) Diversified Financial Services (6.0%) i iboxx $ High Yield Corporate Bond ETF 3, ,544 Materials Select Sector SPDR Fund 10, ,900 TOTAL EXCHANGE TRADED FUNDS (Cost $781,955) 795,444 INVESTMENT COMPANY (8.5%) UNITED STATES (8.5%) Credit Suisse Managed Futures Strategy Fund, I (Cost $997,497 ) 99,759 1,129,270 Rights RIGHTS (0.0%) UNITED STATES (0.0%) Biotechnology (0.0%) Trius Therapeutics, Inc. (Cost $0 ) TOTAL LONG POSITIONS (Cost $6,547,029) 6,783,636 SHORT-TERM INVESTMENTS (49.2%) State Street Bank and Trust Co. Euro Time Deposit, 0.010% 01/02/2015 (Cost $6,530,000) $ 6,530 6,530,000 TOTAL INVESTMENTS AT VALUE (100.3%) (Cost $13,077,029) 13,313,636 TOTAL SECURITIES SOLD SHORT (-15.3%) (Proceeds $1,965,712) (2,031,699) OTHER ASSETS IN EXCESS OF LIABILITIES (15.0%) 1,988,615 NET ASSETS (100.0%) $ 13,270,552 SHORT POSITIONS (-15.3%) Par (000) COMMON STOCKS (-15.3%) FRANCE (-0.8%) Real Estate Investment Trusts (-0.8%) Klepierre (2,439) (104,726) GERMANY (-0.3%) Real Estate Management & Development (-0.3%) Deutsche Annington Immobilien SE (1,248) (42,372) IRELAND (-0.3%) Insurance (-0.1%) XL Group PLC (351) (12,064)

4 SHORT POSITIONS COMMON STOCKS IRELAND Pharmaceuticals (-0.2%) Endo International PLC (456) $ (32,886) (44,950) SWITZERLAND (-1.5%) Construction Materials (-1.5%) Holcim Ltd., Reg S (2,835) (202,770) UNITED KINGDOM (-1.0%) Hotels, Restaurants & Leisure (-0.3%) Greene King PLC (3,839) (44,400) Insurance (-0.7%) Aviva PLC (11,658) (87,627) (132,027) UNITED STATES (-11.4%) Banks (-2.1%) BB&T Corp. (1,158) (45,035) M&T Bank Corp. (1,799) (225,990) (271,025) Chemicals (-0.4%) Albemarle Corp. (771) (46,360) Energy Equipment & Services (-0.7%) Halliburton Co. (2,487) (97,814) Healthcare Equipment & Supplies (-2.4%) Becton Dickinson and Co. (145) (20,178) Medtronic, Inc. (2,783) (200,933) STERIS Corp. (820) (53,177) Wright Medical Group, Inc. (1,758) (47,237) (321,525) Healthcare Providers & Services (-0.2%) Laboratory Corp. of America Holdings (207) (22,335) Media (-2.4%) Comcast Corp., Class A (5,510) (319,635) Multi-utilities (-0.8%) Wisconsin Energy Corp. (2,090) (110,227) Real Estate Investment Trust (-0.1%) Washington Prime Group, Inc. (1,016) (17,496) Semiconductor Equipment & Products (-1.8%) RF Micro Devices, Inc. (13,960) (231,596) Tobacco (-0.5%) Reynolds American, Inc. (1,040) (66,841) (1,504,854) TOTAL SHORT POSITIONS (Proceeds $1,965,712) $ (2,031,699)

5 Forward Foreign Currency Contracts Forward Foreign Forward Foreign Current Net Unrealized Currency to be Currency to be Expiration on / Appreciation Purchased (Local) Sold (Local) Date Counterparty Settlement Date Notional AUD 154,751 USD 126,837 01/21/15 JPMorgan Chase $ 126,837 $ 126,495 $ (342) EUR 369,459 USD 462,308 01/21/15 JPMorgan Chase 462, ,140 (15,168) GBP 7,410 USD 11,653 01/21/15 JPMorgan Chase 11,653 11,552 (101) NOK 283,477 USD 37,890 01/21/15 JPMorgan Chase 37,890 37,792 (98) NZD 310,529 USD 240,877 01/21/15 JPMorgan Chase 240, ,350 1,473 USD 25,375 CAD 29,541 01/20/15 JPMorgan Chase (25,375) (25,495) (120) USD 513,510 CHF 492,786 01/21/15 JPMorgan Chase (513,510) (496,056) 17,454 USD 376,181 EUR 300,629 01/21/15 JPMorgan Chase (376,181) (363,839) 12,342 USD 162,184 JPY 18,997,066 01/21/15 JPMorgan Chase (162,184) (158,467) 3,717 USD 58,451 SEK 445,122 01/21/15 JPMorgan Chase (58,451) (56,864) 1,587 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 $ 20,744 Total Return Swap Contracts Notional Amount Expiration Date Counterparty Receive Pay Net Unrealized Appreciation Currency USD $ 1,279,000 06/22/15 Goldman Sachs Yield Index Fee Plus LIBOR $ (12,307) USD $ 136,756 10/16/15 Goldman Sachs Fee Plus LIBOR MSCI Daily TR Emerging Markets Index (7,296) USD $ 676,475 11/18/15 Goldman Sachs Fee Plus LIBOR MSCI Daily TR Emerging Markets Index (16,894) USD $ 1,051,636 11/18/15 Goldman Sachs MSCI EAFE Index Fee Plus LIBOR 4,920 USD $ 448,000 03/20/15 Goldman Sachs Yield Index Fee Plus LIBOR (4,739) USD $ 55,000 03/20/15 Goldman Sachs Yield Index Fee Plus LIBOR (1,102) USD $ 412,000 03/20/15 Goldman Sachs Yield Index Fee Plus LIBOR (4,903) USD $ 45,000 03/20/15 Goldman Sachs Yield Index Fee Plus LIBOR (547) USD $ 237,000 06/22/15 Goldman Sachs Yield Index Fee Plus LIBOR (37) USD $ 61,805 08/18/15 Goldman Sachs Russell 2000 Total Return Index Fee Plus LIBOR 703 USD $ 1,663,000 06/22/15 JPMorgan Chase Yield Index Fee Plus LIBOR (19,345) USD $ 28,000 03/20/15 JPMorgan Chase Yield Index Fee Plus LIBOR (576) USD $ 370,948 06/17/15 JPMorgan Chase Russell 2000 Total Return Index Fee Plus LIBOR 9,781 USD $ 710,612 11/18/15 Societe Generale Russell 2000 Total Return Index Fee Plus LIBOR 22,435 NASDAQ-100 Total USD $ 1,215,232 11/18/15 Societe Generale Return Fee Plus LIBOR _ (939) $ (30,846)

6 Credit Default Swap Contracts Bought Currency Notional Amount Expiration Date Counterparty USD $ 204,000 12/20/19 Goldman Sachs Societe USD $ 138,700 12/20/19 Generale Referenced Obligation Rate Paid by the Fund Credit Received at 12/31/2014 Market Upfront Premiums Received Net Unrealized Appreciation CDX North America High Yield Index 5.0% $ (12,669) $ 13,403 $ 734 CDX North America High Yield Index 5.0% (8,614) 6,935 (1,679) $ (945) Option Contracts Current Net Unrealized Expiration Premiums / Appreciation Contracts Call Written Options Date Received Notional 3 S&P 500 Index, $2,100 01/17/15 $ 876 $ (1,725) $ (849) Current Net Unrealized Expiration Premiums / Appreciation Contracts Put Written Options Date Received Notional 3 S&P 500 Index, $1,950 01/17/15 $ 8,991 $ (1,905) $ 7,086 3 S&P 500 Index, $1,980 01/17/15 14,241 (2,745) 11,496 $ 18,582 Net Unrealized Appreciation $ 17,733 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.