Credit Suisse Multialternative Strategy Fund Consolidated Schedule of Investments June 30, 2017 (unaudited)

Transcription

1 Consolidated Schedule of Investments COMMON STOCKS (13.5%) BELGIUM (0.0%) Ageas 267 $ 10,737 BERMUDA (0.0%) Axis Capital Holdings Ltd ,152 XL Group Ltd ,607 21,759 CANADA (0.0%) Auto Components (0.0%) Magna International, Inc ,471 Multiline Retail (0.0%) Dollarama, Inc ,308 Paper & Forest Products (0.0%) West Fraser Timber Co. Ltd ,099 Textiles, Apparel & Luxury Goods (0.0%) Gildan Activewear, Inc ,151 48,029 DENMARK (0.1%) Banks (0.0%) Danske Bank AS ,796 Healthcare Equipment & Supplies (0.1%) Coloplast AS, Class B ,186 William Demant Holding AS ,920 24,106 Tryg AS ,733 Marine (0.0%) AP Moller - Maersk AS, Class B 6 12,066 Pharmaceuticals (0.0%) Novo Nordisk AS, Class B ,045 Textiles, Apparel & Luxury Goods (0.0%) Pandora AS 94 8,761 82,507 FRANCE (0.7%) Aerospace & Defense (0.7%) Dassault Aviation S.A. 8 11,164 Zodiac Aerospace 27, , ,128 Diversified Financial Services (0.0%) Eurazeo S.A ,440 Wendel S.A ,112 24,552 Diversified Telecommunication Services (0.0%) Vivendi S.A ,963 Food & Staples Retailing (0.0%) Casino Guichard Perrachon S.A ,059 Hotels, Restaurants & Leisure (0.0%) Sodexo S.A ,487 IT Services (0.0%) Capgemini SE , ,846 GERMANY (0.0%) Capital Markets (0.0%) Deutsche Bank AG, Reg S ,724 Construction & Engineering (0.0%) Hochtief AG 63 11,549

2 COMMON STOCKS (continued) GERMANY Muenchener Rueckversicherungs-Gesellschaft AG, Reg S 53 $ 10,710 32,983 HONG KONG (0.7%) Diversified Consumer Services (0.7%) Nord Anglia Education, Inc. 26, ,713 IRELAND (0.0%) Trading Companies & Distributors (0.0%) AerCap Holdings NV ,633 ISRAEL (0.6%) Software (0.6%) Mobileye NV 10, ,926 NETHERLANDS (0.8%) Diversified Financial Services (0.0%) EXOR NV ,946 Aegon NV 2,054 10,497 Life Sciences Tools & Services (0.8%) Patheon NV 25, ,756 Media (0.0%) Altice NV, Class B , ,840 SPAIN (1.6%) Independent Power Producers & Energy Traders (0.8%) EDP Renovaveis S.A. 124, ,880 Transportation Infrastructure (0.8%) Abertis Infraestructuras S.A. 48, ,835 1,883,715 SWEDEN (0.0%) Tobacco (0.0%) Swedish Match AB ,401 SWITZERLAND (0.1%) Building Products (0.0%) Geberit AG, Reg S 25 11,689 Electrical Equipment (0.0%) ABB Ltd., Reg S ,507 Electronic Equipment, Instruments & Components (0.0%) TE Connectivity Ltd ,172 Food Products (0.0%) Nestle S.A., Reg S ,314 Healthcare Equipment & Supplies (0.1%) Sonova Holding AG, Reg S 76 12,379 Swiss Re AG ,736 Machinery (0.0%) Schindler Holding AG 54 11,464 Pharmaceuticals (0.0%) Novartis AG, Reg S ,793 Professional Services (0.0%) Adecco Group AG, Reg S , ,344 UNITED KINGDOM (0.4%) Auto Components (0.0%) Delphi Automotive PLC ,482 Chemicals (0.0%) Croda International PLC ,667 Healthcare Equipment & Supplies (0.0%) Smith & Nephew PLC ,642 Hotels, Restaurants & Leisure (0.0%) InterContinental Hotels Group PLC ,132

3 COMMON STOCKS (continued) UNITED KINGDOM Hotels, Restaurants & Leisure William Hill PLC 2,825 $ 9,328 20,460 Internet Software & Services (0.0%) Auto Trader Group PLC 2,094 10,340 Media (0.4%) RELX NV ,612 RELX PLC ,319 Sky PLC 30, , ,580 Specialty Retail (0.0%) Kingfisher PLC 2,519 9,840 Textiles, Apparel & Luxury Goods (0.0%) Michael Kors Holdings Ltd , ,052 UNITED STATES (8.5%) Aerospace & Defense (0.0%) The Boeing Co ,865 Airlines (0.0%) American Airlines Group, Inc ,530 Delta Air Lines, Inc ,360 United Continental Holdings, Inc ,212 36,102 Auto Components (0.0%) Lear Corp ,656 The Goodyear Tire & Rubber Co ,243 20,899 Banks (0.0%) Citigroup, Inc ,771 Regions Financial Corp ,628 22,399 Beverages (0.0%) Brown-Forman Corp., Class B ,081 Monster Beverage Corp ,327 22,408 Capital Markets (0.0%) Ameriprise Financial, Inc ,311 The Goldman Sachs Group, Inc ,207 20,518 Chemicals (0.0%) LyondellBasell Industries NV, Class A 116 9,789 Communications Equipment (0.7%) Brocade Communications Systems, Inc. 64, ,462 F5 Networks, Inc. 74 9,403 Motorola Solutions, Inc , ,447 Computers & Peripherals (0.0%) Apple, Inc ,513 NetApp, Inc ,133 20,646 Consumer Finance (0.1%) American Express Co ,288 Capital One Financial Corp ,080 Discover Financial Services 154 9,577 Navient Corp ,905 42,850 Diversified Consumer Services (0.0%) H&R Block, Inc ,033

4 COMMON STOCKS (continued) UNITED STATES Diversified Financial Services (0.0%) MSCI, Inc. 109 $ 11,226 Voya Financial, Inc ,255 21,481 Electronic Equipment, Instruments & Components (0.0%) Corning, Inc ,750 Food & Staples Retailing (0.0%) CVS Health Corp ,862 Food Products (0.0%) Bunge Ltd ,922 Gas Utilities (0.7%) WGL Holdings, Inc. 10, ,001 Healthcare Equipment & Supplies (0.7%) Alere, Inc. 15, ,511 Healthcare Providers & Services (0.8%) DaVita, Inc ,038 Express Scripts Holding Co ,215 HCA Healthcare, Inc ,377 McKesson Corp ,682 VCA, Inc. 9, , ,687 Hotels, Restaurants & Leisure (0.8%) McDonald's Corp ,406 Panera Bread Co., Class A 2, ,251 Wyndham Worldwide Corp ,551 Yum! Brands, Inc , ,452 Household Durables (0.0%) PulteGroup, Inc ,989 Household Products (0.0%) The Procter & Gamble Co ,284 Independent Power Producers & Energy Traders (0.2%) TerraForm Global, Inc., Class A 35, ,952 Industrial Conglomerates (0.0%) General Electric Co ,562 Insurance (0.5%) American International Group, Inc ,566 Assurant, Inc ,406 Fidelity & Guaranty Life 16, ,504 Lincoln National Corp ,948 The Hartford Financial Services Group, Inc , ,936 Internet & Catalog Retail (0.0%) Liberty Interactive Corp. QVC Group, Class A ,933 Internet Software & Services (0.0%) ebay, Inc ,965 VeriSign, Inc ,248 22,213 IT Services (0.6%) Alliance Data Systems Corp ,781 MoneyGram International, Inc. 9, ,876 NeuStar, Inc., Class A 15, , ,545 Life Sciences Tools & Services (0.8%) PAREXEL International Corp. 11, ,170 Media (0.0%) CBS Corp., Class B 152 9,695 Discovery Communications, Inc., Class C 373 9,403 Sirius XM Holdings, Inc. 2,048 11,202

5 COMMON STOCKS (continued) UNITED STATES Media Twenty-First Century Fox, Inc., Class A 326 $ 9,239 39,539 Multiline Retail (0.0%) Kohl's Corp ,248 Target Corp ,987 20,235 Pharmaceuticals (0.9%) Akorn, Inc. 26, ,947 Allergan PLC 44 10,696 Mallinckrodt PLC ,620 SciClone Pharmaceuticals, Inc. 16, ,583 1,081,846 Professional Services (0.0%) ManpowerGroup, Inc ,500 Real Estate Investment Trusts (0.0%) Weyerhaeuser Co ,385 Semiconductor Equipment & Products (0.1%) Lattice Semiconductor Corp. 21, ,746 Qorvo, Inc , ,497 Software (0.1%) Cadence Design Systems, Inc ,252 CDK Global, Inc ,054 Symantec Corp ,718 VMware, Inc., Class A 114 9,967 40,991 Specialty Retail (0.7%) Bed Bath & Beyond, Inc ,117 Cabela's, Inc. 13, ,245 O'Reilly Automotive, Inc. 39 8,531 Signet Jewelers Ltd , ,506 Textiles, Apparel & Luxury Goods (0.8%) Kate Spade & Co. 47, ,585 Under Armour, Inc., Class A , ,183 Trading Companies & Distributors (0.0%) United Rentals, Inc. 84 9,468 10,119,356 TOTAL COMMON STOCKS (Cost $15,731,121) 16,114,841 EXCHANGE TRADED FUNDS (10.0%) UNITED STATES (10.0%) Diversified Financial Services (10.0%) Alerian MLP ETF 291,722 3,488,995 SPDR Nuveen Bloomberg Barclays Municipal Bond ETF 174,921 8,516,904 TOTAL EXCHANGE TRADED FUNDS (Cost $12,117,597) 12,005,899 Rights RIGHT (0.0%) UNITED STATES (0.0%) Biotechnology (0.0%) Shire Pharmaceuticals International (Cost $6,140) 5,532 6,140 Par (000) Ratings (S&P/Moody's) Maturity Rate% UNITED STATES TREASURY OBLIGATIONS (41.6%) $ 10,000 United States Treasury Bills (AA+, Aaa) 08/10/ ,990,850 20,000 United States Treasury Bills (AA+, Aaa) 10/05/ ,947,260

6 Par (000) Ratings (S&P/Moody's) Maturity Rate% UNITED STATES TREASURY OBLIGATIONS(continued) $ 20,000 United States Treasury Bills (AA+, Aaa) 10/19/ $ 19,938,560 TOTAL UNITED STATES TREASURY OBLIGATIONS (Cost $49,886,893) 49,876,670 SHORT-TERM INVESTMENTS (23.8%) State Street Navigator Securities Lending Government Money Market Portfolio (1) 308, ,628 Par (000) State Street Bank and Trust Co. Euro Time Deposit, 0.090% 07/03/2017 (Cost $28,140,258) $ 28,140 28,140,258 TOTAL SHORT-TERM INVESTMENTS (Cost $28,448,886) 28,448,886 TOTAL INVESTMENTS AT VALUE/LONG POSITIONS (88.9%) (Cost $106,190,637) 106,452,436 OTHER ASSETS IN EXCESS OF LIABILITIES (11.1%) 13,293,630 NET ASSETS (100.0%) $ 119,746,066 (1) Represents security purchased with cash collateral received for securities on loan. Forward Foreign Currency Contracts Forward Foreign Forward Foreign Currency to be Currency to be Expiration on Current Appreciation Purchased (Local) Sold (Local) Date Counterparty Settlement Date /Notional AUD 749,300 USD 570,913 07/20/17 Societe Generale $ 570,913 $ 574,642 $ 3,729 NOK 14,881,451 USD 1,769,411 07/20/17 Societe Generale 1,769,411 1,777,113 7,702 NZD 1,698,748 USD 1,232,255 07/20/17 Societe Generale 1,232,255 1,243,510 11,255 USD 1,293,491 CAD 1,711,638 07/19/17 Societe Generale (1,293,491) (1,318,341) (24,850) USD 753,677 JPY 83,298,631 07/20/17 Societe Generale (753,677) (741,824) 11,853 USD 234,532 GBP 181,590 07/20/17 Societe Generale (234,532) (235,989) (1,457) USD 911,513 SEK 7,917,039 07/20/17 Societe Generale (911,513) (939,422) (27,909) USD 1,878,198 CHF 1,823,843 07/20/17 Societe Generale (1,878,198) (1,906,284) (28,086) USD 6,412,357 EUR 5,716,285 07/20/17 Societe Generale (6,412,357) (6,524,723) (112,366) USD 393,868 GBP 307,868 09/20/17 Societe Generale (393,868) (400,850) (6,982) USD 526,595 CAD 695,497 09/20/17 Societe Generale (526,595) (536,186) (9,591) USD 861,726 CHF 834,030 09/20/17 Societe Generale (861,726) (875,181) (13,455) USD 1,812,543 EUR 1,613,806 09/20/17 Societe Generale (1,812,543) (1,848,041) (35,498) USD 7,133,332 SAR 27,659,494 06/17/20 JPMorgan Chase (7,133,332) (7,072,585) 60,747 $ (164,908) Futures Contracts Expiration Notional Appreciation Contract Description Currency Date Contracts Contracts to Purchase Precious Metals Gold 100 oz. Futures USD Dec $ 4,498,560 $ (13,279) Energy Brent Crude Oil Futures USD Nov ,515,830 $ 78,086 Foreign Exchange Contracts AUD Currency Futures USD Sep ,528,250 $ 50,309 CAD Currency Futures USD Sep ,939,240 30,581

7 Futures Contracts (continued) Contract Description Currency Expiration Date Contracts Notional Appreciation Contracts to Purchase Foreign Exchange Contracts EUR Currency Futures USD Sep $ 5,016,812 $ 84,756 GBP Currency Futures USD Sep ,188 9,767 $ 175,413 Index Contracts EURO Stoxx 50 Index Futures EUR Sep ,034,878 $ (68,958) FTSE 100 Index Futures GBP Sep ,634,139 (70,639) Hang Seng Index Futures HKD Jul ,621,934 (11,127) Nikkei 225 Index Futures OSE JPY Sep ,138,128 (13,955) S&P 500 E Mini Index Futures USD Sep ,178,810 (6,230) $ (170,909) Industrial Metals LME Nickel Futures USD Jul ,683,900 $ (5,765) LME Nickel Futures USD Sep ,875 27,839 LME Primary Aluminum Futures USD Jul ,773,237 (25,306) LME Primary Aluminum Futures USD Sep ,919,500 (26,790) LME Zinc Futures USD Jul ,067,563 86,885 LME Zinc Futures USD Sep ,035,000 48,210 $ 105,073 Interest Rate Contracts 10YR U.S. Treasury Note Futures USD Sep ,272,313 $ (48,072) German EURO Bund Futures EUR Sep ,015,591 (114,073) Long Gilt Futures GBP Sep ,056,381 (87,845) $ (249,990) Livestock Lean Hogs Futures USD Oct ,580 $ 20,421 Live Cattle Futures USD Oct ,520,640 17,523 $ 37,944 Contracts to Sell Precious Metals Gold 100 oz. Futures USD Aug 2017 (36) (4,472,280) $ 12,901 Energy Brent Crude Oil Futures USD Sep 2017 (51) (2,487,270) $ (78,204) Foreign Exchange Contracts JPY Currency Futures USD Sep 2017 (20) (2,227,500) $ 22,360 Industrial Metals LME Nickel Futures USD Jul 2017 (30) (1,683,900) $ 16,284 LME Nickel Futures USD Sep 2017 (15) (844,875) (48,940) LME Primary Aluminum Futures USD Jul 2017 (79) (3,773,238) 31,322 LME Primary Aluminum Futures USD Sep 2017 (40) (1,919,500) (19,540) LME Zinc Futures USD Jul 2017 (30) (2,067,562) (105,761) LME Zinc Futures USD Sep 2017 (15) (1,035,000) (103,984) $ (230,619) Interest Rate Contracts 10YR JGB Mini Futures JPY Sep 2017 (49) (6,551,504) $ 7,612 Livestock Lean Hogs Futures USD Aug 2017 (31) (1,038,500) $ (40,629) Live Cattle Futures USD Aug 2017 (33) (1,535,160) (3,077) $ (43,706) Net unrealized appreciation (depreciation) $ (347,318)

8 Total Return Swap Contracts Notional Amount Expiration Date Counterparty Receive Pay Appreciation Currency _ USD $ 7,915,443 07/18/17 Barclays Bank plc Barclays Hedging Insights Index Fixed Rate $ (118,060) USD 3,680,603 07/18/17 Barclays Bank plc Barclays Hong Kong Equity Delta-Hedged Short Strangles USD Strategy Fixed Rate (13,711) USD 3,668,337 07/21/17 Barclays Bank plc Barclays U.S. Short Variance Index Fixed Rate (42,405) USD 1,812,511 10/18/17 BNP Paribas Russell 2000 Total Return Index Fee Plus LIBOR 76,064 USD 474,513 04/27/18 BNP Paribas Fee Plus LIBOR Kennedy-Wilson Holdings, Inc. 10,950 GBP 485,630 04/27/18 BNP Paribas Kennedy Wilson Europe Real Estate PLC Fee Plus LIBOR 35,542 USD 6,071,853 06/18/18 BNP Paribas MSCI EAFE Index Fee Plus LIBOR (26,673) USD 3,258,455 06/18/18 BNP Paribas Fee Plus LIBOR Energy Select Sector Index 71,320 USD 1,699,940 07/18/17 Goldman Sachs Fixed Rate Bloomberg Energy Index (32,232) USD 497,179 07/18/17 Goldman Sachs Bloomberg Industrial Metals Index Fixed Rate 25,102 USD 70,278 07/18/17 Goldman Sachs Fixed Rate Bloomberg Precious Metals Index 691 USD 1,148,489 07/18/17 Goldman Sachs Fixed Rate Bloomberg Precious Metals Index 1,898 USD 3,660,588 07/18/17 Goldman Sachs Goldman Sachs RP Equity World Long Short Series 53 Excess Return Index Fixed Rate (72,082) USD 1,105,556 07/18/17 Goldman Sachs Fixed Rate Bloomberg Precious Metals Index 3,736 USD 756,762 07/18/17 Goldman Sachs Fixed Rate Bloomberg Precious Metals Index 7,236 USD 2,521,062 07/18/17 Goldman Sachs Fixed Rate Bloomberg Agriculture Index (23,098) USD 1,296,650 09/20/17 Goldman Sachs Fee Plus LIBOR iboxx $ Liquid High Yield Index (9,317) USD 804,606 02/16/18 Goldman Sachs PrivateBancorp, Inc. Fee Plus LIBOR 17,392 CAD 413,547 02/16/18 Goldman Sachs Fee Plus CDOR Canadian Imperial Bank of Commerce 407 GBP 668,730 02/16/18 Goldman Sachs Fee Plus LIBOR Tesco PLC 49,399 CAD 813,664 02/16/18 Goldman Sachs Fee Plus CDOR Potash Corp. of Saskatchewan 33,765 GBP 875,586 02/16/18 Goldman Sachs Booker Group PLC Fee Plus LIBOR (82,207) CAD 816,785 02/16/18 Goldman Sachs Agrium, Inc. Fee Plus CDOR (39,642) MacDonald Dettwiler & CAD 398,550 03/01/18 Goldman Sachs Fee Plus CDOR Associates Ltd. (23,676) USD 852,635 03/01/18 Goldman Sachs DigitalGlobe, Inc. Fee Plus LIBOR 43,035 Aberdeen Asset Management PLC Fee Plus LIBOR 48,114 GBP 856,262 03/08/18 Goldman Sachs GBP 861,461 03/08/18 Goldman Sachs Fee Plus LIBOR Standard Life PLC (43,252) GBP 802,859 03/15/18 Goldman Sachs AMEC PLC Fee Plus LIBOR (67,674) GBP 851,265 03/15/18 Goldman Sachs Fee Plus LIBOR Wood Group PLC 95,463 USD 461,995 03/15/18 Goldman Sachs Astoria Financial Corp. Fee Plus LIBOR 28,738 USD 469,886 03/15/18 Goldman Sachs Fee Plus LIBOR Sterling Bancorp (25,572) USD 279,565 04/26/18 Goldman Sachs Fee Plus LIBOR Becton, Dickinson & Co. (2,954) USD 893,417 04/26/18 Goldman Sachs C.R. Bard, Inc. Fee Plus LIBOR 8,128 USD 490,302 04/26/18 Goldman Sachs Fee Plus LIBOR RLJ Lodging Trust 19,204 USD 479,416 04/26/18 Goldman Sachs FelCor Lodging Trust, Inc. Fee Plus LIBOR (7,204) USD 796,794 05/10/18 Goldman Sachs Care Capital Properties, Inc. Fee Plus LIBOR 15,206 Sabra Health Care REIT, Inc. (30,055) USD 793,033 05/10/18 Goldman Sachs Fee Plus LIBOR CHF 836,229 05/24/18 Goldman Sachs Fee Plus LIBOR Clariant AG (11,146) USD 787,335 05/24/18 Goldman Sachs Huntsman Corp. Fee Plus LIBOR 42,724

9 Total Return Swap Contracts (continued) Notional Amount Expiration Date Counterparty Receive Pay Appreciation Currency _ USD $ 895,580 06/14/18 Goldman Sachs DuPont Fabros Technology, Inc. Fee Plus LIBOR $ (37,260) USD 898,219 06/14/18 Goldman Sachs Fee Plus LIBOR Digital Realty Trust, Inc. 34,378 USD 759,630 06/21/18 Goldman Sachs Fee Plus LIBOR EQT Corp. (116,056) USD 953,073 06/21/18 Goldman Sachs Rice Energy, Inc. Fee Plus LIBOR 122,593 USD 15,873,481 07/18/17 JPMorgan Chase JPMorgan Helix 2 Index Fixed Rate (60,873) USD 19,793,414 07/18/17 JPMorgan Chase JPMorgan Seasonal Spreads Portfolio Commodity Index Fixed Rate 75,818 USD 3,691,082 09/20/17 JPMorgan Chase iboxx $ Liquid High Yield Index Fee Plus LIBOR 117,162 USD 13,000,000 12/20/17 JPMorgan Chase iboxx $ Liquid High Yield Index Fee Plus LIBOR 93,600 USD 3,625,543 12/18/17 Morgan Stanley Russell 2000 Total Return Index Fee Plus LIBOR 61,674 Russell 2000 Total USD 3,014,455 06/18/18 Societe Generale Return Index Fee Plus LIBOR 77,827 $ 332,017 WRITTEN OPTIONS Expiration Premiums Current Appreciation Contracts Call Written Options Date Received 78 S&P 500 Index, 2,475 07/21/17 $ 84,080 $ (12,480) $ 71,600 Current Expiration Premiums Appreciation Contracts Put Written Options Date Received 7 S&P 500 Index, 2,430 07/21/17 $ 16,786 $ (15,610) $ 1, S&P 500 Index, 2,350 07/21/17 66,141 (48,360) 17,781 $ 18,957 Appreciation $ 90,557 Currency Abbreviations: AUD = Australian Dollar CAD = Canadian Dollar CHF = Swiss Franc EUR = Euro GBP = British Pound HKD = Hong Kong Dollar JPY = Japanese Yen NOK = Norwegian Krone NZD = New Zealand Dollar SAR = South African Rand SEK = Swedish Krona USD = United States Dollar 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.