# EDGAR Filing Document

**Accession Number:** 0001291446
**File Stem:** 0001752724-23-069991
**Filing Date:** 2023-3
**Character Count:** 68210
**Document Hash:** 5e090ea623c8c31226501e0cac3e3456
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-069991.hdr.sgml**: 20230328

**ACCESSION NUMBER**: 0001752724-23-069991

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230328

**DATE AS OF CHANGE**: 20230328

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Credit Suisse Commodity Strategy Funds
- **CENTRAL INDEX KEY:** 0001291446
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21589
- **FILM NUMBER:** 23768791

**BUSINESS ADDRESS:**
- **STREET 1:** ELEVEN MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010
- **BUSINESS PHONE:** 212-325-2000

**MAIL ADDRESS:**
- **STREET 1:** ELEVEN MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Credit Suisse Commodity Return Strategy Fund
- **DATE OF NAME CHANGE:** 20041007

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Credit Suisse Commodity Plus Strategy Fund
- **DATE OF NAME CHANGE:** 20040521

## Series and Classes Contracts Data

### Credit Suisse Commodity Return Strategy Fund (Series ID: S000010422)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000028810 | Class I      | CRSOX           |
| C000028811 | Class A      | CRSAX           |
| C000028812 | Class C      | CRSCX           |

## Nport-Ex

**Credit Suisse Commodity Return Strategy Fund**

**Consolidated Schedule of Investments**

January 31, 2023 (unaudited)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Par<br> (000)** | | **Ratings**†<br> (S&P/Moody's)** | **Maturity** | **Rate%** | **Value** |
| **COMMODITY INDEXED STRUCTURED NOTES** (13.8%)** | **COMMODITY INDEXED STRUCTURED NOTES** (13.8%)** | **COMMODITY INDEXED STRUCTURED NOTES** (13.8%)** |  |  |  |
| $60000 | Bank of Montreal, Commodity Index Linked Senior Unsecured Notes, Rule 144A, SOFR <sup>(1),(2),(3)</sup> | (A+, Aa2) | &nbsp;&nbsp;12/20/23 | 4.300 | $59473776 |
| 76000 | BNP Paribas SA, Commodity Index Linked Bank Guaranteed Notes, Rule 144A, FEDL01 + 0.100% <sup>(1),(2),(3)</sup> | (A+, Aa3) | &nbsp;&nbsp;08/14/23 | 4.430 | 69017478 |
| 55000 | Canadian Imperial Bank of Commerce, Commodity Index Linked Senior Unsecured Notes, Rule 144A, FEDL01 <sup>(1),(2),(3)</sup> | (A+, Aa2) | &nbsp;&nbsp;12/15/23 | 4.330 | 56555298 |
| 90000 | Royal Bank of Canada, Commodity Index Linked Senior Unsecured Notes, Rule 144A, FEDL01 <sup>(1),(2),(3)</sup> | (AA-, Aa1) | &nbsp;&nbsp;05/23/23 | 4.330 | 64928244 |
| 40000 | UBS AG London, Commodity Index Linked Senior Unsecured Notes, Rule 144A, SOFR + 0.200% <sup>(1),(2),(3)</sup> | (A+, Aa2) | &nbsp;&nbsp;08/22/23 | 4.500 | 41015760 |
| **TOTAL COMMODITY INDEXED STRUCTURED NOTES** (Cost $321,000,000)** | **TOTAL COMMODITY INDEXED STRUCTURED NOTES** (Cost $321,000,000)** | **TOTAL COMMODITY INDEXED STRUCTURED NOTES** (Cost $321,000,000)** |  |  | 290990556 |
| **UNITED STATES AGENCY OBLIGATIONS** (28.2%)** | **UNITED STATES AGENCY OBLIGATIONS** (28.2%)** | **UNITED STATES AGENCY OBLIGATIONS** (28.2%)** |  |  |  |
| 10000 | Federal Farm Credit Banks, FEDL01 + 0.030% <sup>(3)</sup> | (AA+, Aaa) | &nbsp;&nbsp;03/09/23 | 4.360 | 9999821 |
| 61000 | Federal Farm Credit Banks, USBMMY3M + 0.035% <sup>(3)</sup> | (AA+, Aaa) | &nbsp;&nbsp;05/03/23 | 4.684 | 61008389 |
| 110600 | Federal Farm Credit Banks, SOFR + 0.380% <sup>(3)</sup> | (AA+, Aaa) | &nbsp;&nbsp;05/08/23 | 4.680 | 110693374 |
| 5600 | Federal Farm Credit Banks | (AA+, Aaa) | &nbsp;&nbsp;09/01/23 | 0.300 | 5449825 |
| 17000 | Federal Farm Credit Banks, SOFR + 0.025% <sup>(3)</sup> | (AA+, Aaa) | &nbsp;&nbsp;09/27/23 | 4.325 | 17003058 |
| 8000 | Federal Farm Credit Banks, SOFR + 0.135% <sup>(3)</sup> | (AA+, Aaa) | &nbsp;&nbsp;11/06/23 | 4.435 | 8001708 |
| 25400 | Federal Farm Credit Banks, SOFR + 0.040% <sup>(3)</sup> | (AA+, Aaa) | &nbsp;&nbsp;02/05/24 | 4.340 | 25382047 |
| 8800 | Federal Farm Credit Banks, SOFR + 0.040% <sup>(3)</sup> | (AA+, Aaa) | &nbsp;&nbsp;05/15/24 | 4.340 | 8803759 |
| 5000 | Federal Farm Credit Banks, SOFR + 0.100% <sup>(3)</sup> | (AA+, Aaa) | &nbsp;&nbsp;08/08/24 | 4.400 | 5002684 |
| 12400 | Federal Home Loan Banks | (AA+, Aaa) | &nbsp;&nbsp;02/28/24 | 2.125 | 12036639 |
| 5300 | Federal Home Loan Banks | (AA+, Aaa) | &nbsp;&nbsp;02/26/26 | 0.620 | 4751677 |
| 30600 | Federal Home Loan Mortgage Corp. | (AA+, Aaa) | &nbsp;&nbsp;01/27/26 | 5.150 | 30583732 |
| 19000 | Federal Home Loan Mortgage Corp. | (AA+, Aaa) | &nbsp;&nbsp;05/05/23 | 0.375 | 18786860 |
| 19500 | Federal Home Loan Mortgage Corp. | (AA+, Aaa) | &nbsp;&nbsp;06/26/23 | 0.250 | 19145451 |
| 16500 | Federal Home Loan Mortgage Corp. | (AA+, Aaa) | &nbsp;&nbsp;05/24/24 | 0.400 | 15599709 |
| 23000 | Federal Home Loan Mortgage Corp. | (AA+, Aaa) | &nbsp;&nbsp;06/18/24 | 0.430 | 21698071 |
| 24500 | Federal Home Loan Mortgage Corp. | (AA+, Aaa) | &nbsp;&nbsp;07/21/25 | 0.375 | 22358913 |
| 22800 | Federal Home Loan Mortgage Corp. | (AA+, Aaa) | &nbsp;&nbsp;08/28/25 | 4.200 | 22497728 |
| 28800 | Federal National Mortgage Association | (AA+, Aaa) | &nbsp;&nbsp;05/22/23 | 0.250 | 28401582 |
| 48100 | Federal National Mortgage Association | (AA+, Aaa) | &nbsp;&nbsp;07/10/23 | 0.250 | 47162511 |
| 3000 | Federal National Mortgage Association | (AA+, Aaa) | &nbsp;&nbsp;11/27/23 | 0.250 | 2889898 |
| 7000 | Federal National Mortgage Association | (AA+, Aaa) | &nbsp;&nbsp;06/14/24 | 0.375 | 6601103 |
| 48000 | Federal National Mortgage Association | (AA+, Aaa) | &nbsp;&nbsp;08/28/24 | 3.875 | 47328883 |
| 21400 | Federal National Mortgage Association | (AA+, Aaa) | &nbsp;&nbsp;04/22/25 | 0.625 | 19778172 |
| 23500 | Federal National Mortgage Association <sup>(4)</sup> | (AA+, Aaa) | &nbsp;&nbsp;06/17/25 | 0.500 | 21585017 |
| **TOTAL UNITED STATES AGENCY OBLIGATIONS** (Cost $604,210,007)** | **TOTAL UNITED STATES AGENCY OBLIGATIONS** (Cost $604,210,007)** | **TOTAL UNITED STATES AGENCY OBLIGATIONS** (Cost $604,210,007)** |  |  | 592550611 |
| **UNITED STATES TREASURY OBLIGATIONS** (51.8%)** | **UNITED STATES TREASURY OBLIGATIONS** (51.8%)** | **UNITED STATES TREASURY OBLIGATIONS** (51.8%)** |  |  |  |
| 20000 | United States Treasury Bills <sup>(5)</sup> | (AA+, Aaa) | &nbsp;&nbsp;03/14/23 | 4.455 | 19898525 |
| 11700 | United States Treasury Bills <sup>(5)</sup> | (AA+, Aaa) | &nbsp;&nbsp;03/23/23 | 1.588 | 11627488 |
| 14300 | United States Treasury Bills <sup>(5)</sup> | (AA+, Aaa) | &nbsp;&nbsp;06/15/23 | 3.026 | 14060165 |
| 23700 | United States Treasury Bills <sup>(4),(5)</sup> | (AA+, Aaa) | &nbsp;&nbsp;08/10/23 | 3.192 | 23124825 |
| 158000 | United States Treasury Floating Rate Notes, USBMMY3M + 0.037% <sup>(3),(6),(7)</sup> | (AA+, Aaa) | &nbsp;&nbsp;07/31/24 | 4.686 | 157956160 |
| 6300 | United States Treasury Floating Rate Notes, USBMMY3M + 0.034% <sup>(3)</sup> | (AA+, Aaa) | &nbsp;&nbsp;04/30/23 | 4.683 | 6303468 |
| 210000 | United States Treasury Floating Rate Notes, USBMMY3M + 0.029% <sup>(3)</sup> | (AA+, Aaa) | &nbsp;&nbsp;07/31/23 | 4.678 | 210033867 |
| 185000 | United States Treasury Floating Rate Notes, USBMMY3M + 0.035% <sup>(3)</sup> | (AA+, Aaa) | &nbsp;&nbsp;10/31/23 | 4.684 | 185039437 |
| 306000 | United States Treasury Floating Rate Notes, USBMMY3M - 0.015% <sup>(3),(6),(7)</sup> | (AA+, Aaa) | &nbsp;&nbsp;01/31/24 | 4.634 | 305996723 |
| 105000 | United States Treasury Floating Rate Notes, USBMMY3M - 0.075% <sup>(3),(7)</sup> | (AA+, Aaa) | &nbsp;&nbsp;04/30/24 | 4.574 | 104870770 |
| 25200 | United States Treasury Notes | (AA+, Aaa) | &nbsp;&nbsp;08/31/24 | 3.250 | 24738328 |
| 10500 | United States Treasury Notes | (AA+, Aaa) | &nbsp;&nbsp;04/30/23 | 0.125 | 10383406 |
| 17200 | United States Treasury Notes | (AA+, Aaa) | &nbsp;&nbsp;08/15/25 | 3.125 | 16829797 |
| **TOTAL UNITED STATES TREASURY OBLIGATIONS** (Cost $1,092,184,024)** | **TOTAL UNITED STATES TREASURY OBLIGATIONS** (Cost $1,092,184,024)** | **TOTAL UNITED STATES TREASURY OBLIGATIONS** (Cost $1,092,184,024)** |  |  | 1090862959 |

---

**Credit Suisse Commodity Return Strategy Fund**

**Consolidated Schedule of Investments (continued)**

January 31, 2023 (unaudited)

---

| | | |
|:---|:---|:---|
| **Shares** | | **Value** |
| **SHORT-TERM INVESTMENTS** (3.1%)** | **SHORT-TERM INVESTMENTS** (3.1%)** |  |
| 40718722 | State Street Institutional U.S. Government Money Market Fund - Premier Class, 4.18% | $40718722 |
| 24097975 | State Street Navigator Securities Lending Government Money Market Portfolio, 4.35%<sup>(8)</sup> | 24097975 |
| **TOTAL SHORT-TERM INVESTMENTS** (Cost $64,816,697)** | **TOTAL SHORT-TERM INVESTMENTS** (Cost $64,816,697)** | 64816697 |
| **TOTAL INVESTMENTS AT VALUE** (96.9%) (Cost $2,082,210,728)** | **TOTAL INVESTMENTS AT VALUE** (96.9%) (Cost $2,082,210,728)** | 2039220823 |
| **OTHER ASSETS IN EXCESS OF LIABILITIES** (3.1%)** | **OTHER ASSETS IN EXCESS OF LIABILITIES** (3.1%)** | 66272964 |
| **NET ASSETS** **<sup>(9)</sup>** (100.0%)** | **NET ASSETS** **<sup>(9)</sup>** (100.0%)** | $2105493787 |

---

---

| | |
|:---|:---|
| <sup>†</sup> | 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. |
| <sup>(1)</sup> | Return on security is linked to the Bloomberg Commodity Index Total Return. The Bloomberg Commodity Index Total Return is composed of futures contracts on 23 physical commodities. |
| <sup>(2)</sup> | 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 January 31, 2023, these securities amounted to a value of $290,990,556 or 13.8% of net assets. |
| <sup>(3)</sup> | Variable rate obligation - The interest rate shown is the rate in effect as of January 31, 2023. |
| <sup>(4)</sup> | Security or portion thereof is out on loan. |
| <sup>(5)</sup> | Securities are zero coupon. Rate presented is cost yield as of January 31, 2023. |
| <sup>(6)</sup> | At January 31, 2023, $69,991,580 in the value of these securities has been pledged to cover initial margin requirements for open futures contracts. |
| <sup>(7)</sup> | At January 31, 2023, $10,092,366 in the value of these securities has been pledged as collateral for open swap contracts. |
| <sup>(8)</sup> | Represents security purchased with cash collateral received for securities on loan. |
| <sup>(9)</sup> | As of January 31, 2023, the Credit Suisse Commodity Return Strategies Fund held $271,673,093 in the wholly-owned subsidiary, Credit Suisse Cayman Commodity Return Strategy Fund, Ltd., representing 12.9% of the Fund's consolidated net assets. |

---

**<u>INVESTMENT ABBREVIATIONS</u>**

**FEDL01 = Federal Funds Rate** 

SOFR = Secured Overnight Financing Rate

USBMMY3M = U.S. Treasury 3 Month Bill Money Market Yield

**Futures Contracts**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Contract Description** | **Currency** | **Expiration<br> Date** | **Number of<br> Contracts** | **Notional Value** | **Net Unrealized<br> Appreciation<br> (Depreciation)** |
| **Contracts to Purchase** | **Contracts to Purchase** | **Contracts to Purchase** | **Contracts to Purchase** | **Contracts to Purchase** | **Contracts to Purchase** |
| Agriculture | Agriculture | Agriculture | Agriculture | Agriculture | Agriculture |
| &nbsp;&nbsp;&nbsp;&nbsp;Coffee "C" Futures | USD | Mar 2023 | 224 | $15267000 | $483184 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corn Futures | USD | Mar 2023 | 540 | 18353250 | 262628 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corn Futures | USD | May 2023 | 233 | 7892875 | 153601 |
| &nbsp;&nbsp;&nbsp;&nbsp;Cotton No. 2 Futures | USD | Mar 2023 | 170 | 7328700 | 187971 |
| &nbsp;&nbsp;&nbsp;&nbsp;Soybean Futures | USD | May 2023 | 45 | 3443063 | 97165 |
| &nbsp;&nbsp;&nbsp;&nbsp;Soybean Futures | USD | Nov 2023 | 776 | 52884400 | 327444 |
| &nbsp;&nbsp;&nbsp;&nbsp;Soybean Meal Futures | USD | Mar 2023 | 114 | 5519880 | 622525 |
| &nbsp;&nbsp;&nbsp;&nbsp;Soybean Meal Futures | USD | Dec 2023 | 229 | 9029470 | (433094) |
| &nbsp;&nbsp;&nbsp;&nbsp;Soybean Oil Futures | USD | Mar 2023 | 430 | 16081140 | (649245) |
| &nbsp;&nbsp;&nbsp;&nbsp;Sugar No. 11 Futures | USD | Apr 2023 | 539 | 12339219 | 689796 |
| &nbsp;&nbsp;&nbsp;&nbsp;Wheat (KC HRW) Futures | USD | Mar 2023 | 99 | 4349813 | (300024) |
| &nbsp;&nbsp;&nbsp;&nbsp;Wheat (KC HRW) Futures | USD | May 2023 | 112 | 4881800 | (62973) |
| &nbsp;&nbsp;&nbsp;&nbsp;Wheat Futures | USD | Mar 2023 | 355 | 13512187 | (1394662) |
|  |  |  |  |  | $(15684) |
| Energy |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Brent Crude Oil Futures | USD | Mar 2023 | 431 | 36708270 | $450688 |
| &nbsp;&nbsp;&nbsp;&nbsp;Gasoline RBOB Futures | USD | Feb 2023 | 72 | 7762003 | 1119590 |
| &nbsp;&nbsp;&nbsp;&nbsp;Gasoline RBOB Futures | USD | Apr 2023 | 39 | 4448153 | 215492 |
| &nbsp;&nbsp;&nbsp;&nbsp;Light Sweet Crude Oil Futures | USD | Jun 2023 | 491 | 38852830 | (670232) |
| &nbsp;&nbsp;&nbsp;&nbsp;Low Sulphur Gasoil Futures | USD | Mar 2023 | 149 | 13406275 | 793200 |
| &nbsp;&nbsp;&nbsp;&nbsp;Natural Gas Futures | USD | Feb 2023 | 2573 | 69059320 | (74170969) |
| &nbsp;&nbsp;&nbsp;&nbsp;NY Harbor ULSD Futures | USD | Feb 2023 | 23 | 3037877 | 80812 |
| &nbsp;&nbsp;&nbsp;&nbsp;NY Harbor ULSD Futures | USD | Mar 2023 | 18 | 2296879 | 30690 |

---

**Credit Suisse Commodity Return Strategy Fund**

**Consolidated Schedule of Investments (continued)**

January 31, 2023 (unaudited)

**Futures Contracts (continued)**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Contract Description** | **Currency** | **Expiration<br> Date** | **Number of<br> Contracts** | **Notional Value** | **Net Unrealized<br> Appreciation<br> (Depreciation)** |
| **Contracts to Purchase(continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;NY Harbor ULSD Futures | USD | Apr 2023 | 46 | $5697854 | $(191279) |
|  |  |  |  |  | $(72342008) |
| Industrial Metals |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;LME Lead Future | USD | Mar 2023 | 95 | 5065281 | $(238471) |
| &nbsp;&nbsp;&nbsp;&nbsp;LME Nickel Futures | USD | Mar 2023 | 164 | 29762064 | 3808720 |
| &nbsp;&nbsp;&nbsp;&nbsp;LME Primary Aluminum Futures | USD | Mar 2023 | 506 | 33250525 | 3305683 |
| &nbsp;&nbsp;&nbsp;&nbsp;LME Zinc Futures | USD | Mar 2023 | 272 | 23111568 | 3431336 |
|  |  |  |  |  | $10307268 |
| Livestock |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Lean Hogs Futures | USD | Apr 2023 | 272 | 9403040 | $(34600) |
| &nbsp;&nbsp;&nbsp;&nbsp;Live Cattle Futures | USD | Apr 2023 | 246 | 16041660 | 193339 |
|  |  |  |  |  | $158739 |
| Precious Metals |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper Futures | USD | May 2023 | 250 | 26465625 | $4287125 |
| &nbsp;&nbsp;&nbsp;&nbsp;Gold 100 oz. Futures | USD | Apr 2023 | 369 | 71781570 | (4141) |
| &nbsp;&nbsp;&nbsp;&nbsp;Silver Futures | USD | Mar 2023 | 177 | 21094860 | 3436640 |
|  |  |  |  |  | $7719624 |
| **Contracts to Sell** |  |  |  |  |  |
| Agriculture |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Soybean Futures | USD | Mar 2023 | (458) | (35220200) | $(1093475) |
| Energy |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Natural Gas Futures | USD | Apr 2023 | (1468) | (41735240) | $28092467 |
| Industrial Metals |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;LME Nickel Futures | USD | Mar 2023 | (87) | (15788412) | $(1520726) |
| &nbsp;&nbsp;&nbsp;&nbsp;LME Primary Aluminum Futures | USD | Mar 2023 | (170) | (11171125) | (734593) |
| &nbsp;&nbsp;&nbsp;&nbsp;LME Zinc Future | USD | Mar 2023 | (94) | (7987086) | (730395) |
|  |  |  |  |  | $(2985714) |
|  |  |  |  |  | $(30158783) |

---

**Commodity Index Swap Contracts**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional<br> Amount** | **Expiration<br> Date** | **Counterparty** | **Receive** | **Pay** | **Payment Frequency** | **Upfront Premiums Paid/<br> (Received)** | **Unrealized<br> Appreciation** |
| USD | $46588244 | 02/15/23 | Bank of America | Bloomberg Commodity Index Total Return | 4.71% | At Maturity | $– $| 1389145 |
| USD | 100849194 | 02/15/23 | Bank of America | Merrill Lynch Commodity Index Extra CS2T Total Return<sup>(a)</sup> | 4.86% | At Maturity | – | 2764990 |
| USD | 130893693 | 02/15/23 | Goldman Sachs | Bloomberg Commodity Index Total Return | 4.70% | At Maturity | – | 3903891 |
| USD | 59194604 | 02/15/23 | JPMorgan Chase | Bloomberg Commodity Index 2 Month Forward Total Return | 4.71% | At Maturity | – | 1959958 |
| USD | 79244273 | 02/15/23 | Macquarie Bank Ltd. | Bloomberg Commodity Index Total Return | 4.69% | At Maturity | – | 2364039 |

---

**Credit Suisse Commodity Return Strategy Fund**

**Consolidated Schedule of Investments (continued)**

January 31, 2023 (unaudited)

**Commodity Index Swap Contracts (continued)**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional<br> Amount** | **Expiration<br> Date** | **Counterparty** | **Pay** | **Payment<br> Frequency** | **Upfront Premiums Paid/<br> (Received)** | **Unrealized<br> Appreciation** |
| USD | 91063662 | 02/15/23 | Macquarie Bank Ltd. Macquarie Commodity Customized Product 112T Index<sup>(b)</sup> | 4.86% | At Maturity |  | 2293267 |
| USD | 101927752 | 02/15/23 | Societe Generale Societe Generale P04 TR Index<sup>(c)</sup> | 4.86% | At Maturity |  | 2735937 |
|  |  |  |  |  |  | $— | $17411227 |

---

<sup>(a)</sup> The index seeks to provide exposure to a diversified group of commodities, inclusive of energy, grains, meats, metals, precious, softs, and textiles. The Fund has indirect exposure to all of the below underlying positions that make up the custom index. When applicable, the table is limited to the largest 50 positions (based on absolute market value) and any other position where the notional value for the position exceeds 1% of the notional value of the index. 

---

| | | | |
|:---|:---|:---|:---|
| **Commodity Name** | **Weight** | **Quantity(1)** | **1/31/23 Value(1)** |
| CBOT Bean Oil MAR 23 Futures | 3.07% | 85.45 | 3195518 |
| CBOT Corn MAY 23 Futures | 5.45% | 167.39 | 5670450 |
| NYMEX WTI Crude Oil MAR 23 Futures | 7.96% | 104.96 | 8278510 |
| ICE Brent Crude Oil MAY 23 Futures | 7.52% | 91.81 | 7819195 |
| NYBOT Cotton MAR 23 Futures | 1.51% | 36.31 | 1565282 |
| COMEX Gold APR 23 Futures | 15.02% | 80.27 | 15614192 |
| COMEX High Grade Copper MAY 23 Futures | 5.45% | 53.53 | 5666541 |
| NYMEX Heating Oil MAR 23 Futures | 2.18% | 17.15 | 2265688 |
| NYBOT Coffee MAR 23 Futures | 3.18% | 48.54 | 3308254 |
| KCBOT Kansas Wheat MAY 23 Futures | 1.76% | 42.07 | 1833943 |
| LME Aluminium MAR 23 Futures | 4.49% | 71.06 | 4669421 |
| CME Live Cattle APR 23 Futures | 3.35% | 53.41 | 3482914 |
| CME Lean Hogs APR 23 Futures | 1.80% | 53.99 | 1866527 |
| LME Lead MAR 23 Futures | 0.89% | 17.27 | 920907 |
| LME Nickel MAR 23 Futures | 2.91% | 16.66 | 3023184 |
| LME Zinc MAR 23 Futures | 3.18% | 38.89 | 3304776 |
| NYMEX Nat Gas MAR 23 Futures | 5.96% | 230.92 | 6197850 |
| ICE Gas Oil MAR 23 Futures | 2.82% | 32.56 | 2929625 |
| NYBOT Sugar MAY 23 Futures | 2.80% | 126.99 | 2907069 |
| CBOT Soybeans MAY 23 Futures | 5.69% | 77.34 | 5917586 |
| COMEX Silver MAR 23 Futures | 4.46% | 38.93 | 4639413 |
| CBOT Soy Meal MAY 23 Futures | 3.41% | 75.78 | 3550432 |
| CBOT Wheat MAY 23 Futures | 2.74% | 73.96 | 2849183 |
| NYMEX Unleaded Gasoline MAY 23 Futures | 2.41% | 21.94 | 2502886 |

---

<sup>(1)</sup> Amounts represent quantity and value of index components as they relate specifically to the Fund's swap position as of January 31, 2023.

<sup>(b)</sup> The index seeks to provide exposure to a diversified group of commodities, inclusive of energy, livestock and meat, agricultural and metals. The Fund has indirect exposure to all of the below underlying positions that make up the custom index. When applicable, the table is limited to the largest 50 positions (based on absolute market value) and any other position where the notional value for the position exceeds 1% of the notional value of the index. 

---

| | | | |
|:---|:---|:---|:---|
| **Commodity Name** | **Weight** | **Quantity(1)** | **1/31/23 Value(1)** |
| CBOT Bean Oil MAR 23 Futures | 3.08% | 77.05 | 2881393 |
| CBOT Corn DEC 23 Futures | 5.38% | 170.69 | 5041708 |
| NYMEX WTI Crude Oil MAR 23 Futures | 7.97% | 94.65 | 7464717 |
| NYBOT Cotton MAR 23 Futures | 1.51% | 32.74 | 1411412 |
| COMEX Gold APR 23 Futures | 15.03% | 72.38 | 14079289 |
| COMEX High Grade Copper MAY 23 Futures | 5.45% | 48.27 | 5109510 |
| NYMEX Heating Oil MAR 23 Futures | 2.18% | 15.47 | 2042967 |
| NYBOT Coffee MAR 23 Futures | 3.18% | 43.77 | 2983046 |
| KCBOT Kansas Wheat MAY 23 Futures | 1.77% | 37.94 | 1653663 |
| CME Live Cattle APR 23 Futures | 3.35% | 48.16 | 3140538 |
| ICE Brent Crude Oil MAY 23 Futures | 7.53% | 82.78 | 7050554 |
| ICE Gas Oil MAR 23 Futures | 2.82% | 29.36 | 2641638 |
| CME Lean Hogs APR 23 Futures | 1.80% | 48.69 | 1683043 |
| LME Aluminium MAR 23 Futures | 4.49% | 64.07 | 4210409 |
| LME Nickel MAR 23 Futures | 2.91% | 15.02 | 2725999 |
| LME Lead MAR 23 Futures | 0.89% | 15.57 | 830380 |
| LME Zinc MAR 23 Futures | 3.18% | 35.07 | 2979910 |
| NYMEX Nat Gas MAR 23 Futures | 5.97% | 208.22 | 5588591 |
| NYMEX Unleaded Gasoline MAY 23 Futures | 2.41% | 19.79 | 2256848 |
| CBOT Soybeans MAY 23 Futures | 5.70% | 69.74 | 5335877 |
| NYBOT Sugar MAY 23 Futures | 2.80% | 114.50 | 2621299 |
| COMEX Silver MAR 23 Futures | 4.47% | 35.10 | 4183350 |
| CBOT Soy Meal MAY 23 Futures | 3.42% | 68.33 | 3201419 |
| CBOT Wheat MAY 23 Futures | 2.74% | 66.69 | 2569103 |

---

<sup>(1)</sup> Amounts represent quantity and value of index components as they relate specifically to the Fund's swap position as of January 31, 2023.

<sup>(c)</sup> The index seeks to provide exposure to a diversified group of commodities, inclusive of energy, livestock and meat, agricultural and metals. The Fund has indirect exposure to all of the below underlying positions that make up the custom index. When applicable, the table is limited to the largest 50 positions (based on absolute market value) and any other position where the notional value for the position exceeds 1% of the notional value of the index. 

---

| | | | |
|:---|:---|:---|:---|
| **Commodity Name** | **Weight** | **Quantity(1)** | **1/31/23 Value(1)** |
| LME Aluminium MAR 23 Futures | 4.49% | 71.75 | 4714921 |
| ICE Brent Crude Oil MAY 23 Futures | 7.52% | 92.71 | 7896363 |
| CBOT Bean Oil MAR 23 Futures | 3.07% | 86.28 | 3226606 |
| NYMEX WTI Crude Oil MAR 23 Futures | 7.96% | 106.00 | 8360608 |
| NYBOT Coffee MAR 23 Futures | 3.18% | 49.02 | 3341092 |
| CBOT Corn MAY 23 Futures | 5.45% | 169.04 | 5726386 |
| NYBOT Cotton MAR 23 Futures | 1.51% | 36.67 | 1580743 |
| COMEX High Grade Copper MAR 23 Futures | 5.45% | 54.14 | 5720084 |
| ICE Gas Oil MAY 23 Futures | 2.82% | 34.97 | 2966125 |
| NYMEX Heating Oil MAY 23 Futures | 2.19% | 18.58 | 2301268 |
| CME Live Cattle APR 23 Futures | 3.35% | 53.93 | 3516497 |
| NYMEX Nat Gas MAR 23 Futures | 5.96% | 233.19 | 6258902 |
| LME Nickel MAR 23 Futures | 2.91% | 16.82 | 3052252 |
| LME Lead MAR 23 Futures | 0.89% | 17.43 | 929540 |
| NYMEX Unleaded Gasoline MAR 23 Futures | 2.40% | 23.41 | 2523937 |
| CBOT Soy Meal MAR 23 Futures | 3.42% | 74.17 | 3591070 |
| CBOT Soybeans MAY 23 Futures | 5.69% | 78.11 | 5976364 |
| NYBOT Sugar JUL 23 Futures | 2.78% | 133.54 | 2920961 |
| KCBOT Kansas Wheat MAY 23 Futures | 1.76% | 42.48 | 1851728 |
| CBOT Wheat MAY 23 Futures | 2.74% | 74.67 | 2876847 |
| COMEX Silver MAR 23 Futures | 4.46% | 39.31 | 4685511 |
| COMEX Gold APR 23 Futures | 15.01% | 81.04 | 15765417 |
| LME Zinc MAR 23 Futures | 3.18% | 39.27 | 3336891 |

---

<sup>(1)</sup> Amounts represent quantity and value of index components as they relate specifically to the Fund's swap position as of January 31, 2023.

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 ("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 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 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 net asset value 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 which has been approved by the Board to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value 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 investment adviser to be unreliable, the market price may be determined by the investment 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 net asset value, 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.

Generally accepted accounting principles in the United States of America ("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:

&nbsp;&nbsp;&nbsp;&nbsp;· Level 1—quoted prices in active markets for identical investments

&nbsp;&nbsp;&nbsp;&nbsp;· Level 2—other significant observable inputs (including quoted prices for similar investments, interest
rates, prepayment speeds, credit risk, etc.)

&nbsp;&nbsp;&nbsp;&nbsp;· 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 January 31, 2023 in valuing the Fund's assets and liabilities carried at fair value:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Investments in Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Commodity Indexed Structured Notes | $— | $290990556 | $— | $290990556 |
| &nbsp;&nbsp;&nbsp;United States Agency Obligations |  | 592550611 |  | 592550611 |
| &nbsp;&nbsp;&nbsp;United States Treasury Obligations |  | 1090862959 |  | 1090862959 |
| &nbsp;&nbsp;&nbsp;Short-term Investments | 64816697 |  |  | 64816697 |
|  | $64816697 | $1974404126 | $— | $2039220823 |
| Other Financial Instruments\* |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Futures Contracts | $52070096 | $— | $— | $52070096 |
| &nbsp;&nbsp;&nbsp;Swap Contracts |  | 17411227 |  | 17411227 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Liabilities** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Other Financial Instruments\* |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Futures Contracts | $82228879 | $— | $— | $82228879 |

---

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

During the period ended January 31, 2023, 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.

Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Fund's website at www.credit-suisse.com/us/funds, as well as on the website of the Securities and Exchange Commission at www.sec.gov.

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Credit Suisse Commodity Strategy Funds

- **b. Investment Company Act file number:** 811-21589

- **c. CIK number of Registrant:** 0001291446

- **d. LEI of Registrant:** 549300KFU6FOOSD82072

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** ELEVEN MADISON AVENUE

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10010

  - **Telephone number:** 212-325-2000

**Item A.2. Information about the Series.**

- **a. Name of Series:** Credit Suisse Commodity Return Strategy Fund

- **b. EDGAR series identifier (if any):** S000010422

- **c. LEI of Series:** 549300W7TSDOCAWFEM71

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $2131438198.81

**Total Liabilities:** $26259445.38

**Net Assets:** $2105178753.43

**Amount of Assets Invested in Other Investment Companies:** $281660327.73

**Cash Not Reported:** $50803393.93

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** -12434.91000000 | **1-Year:** -21751.39000000 | **5-Year:** -2856.33000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000028810 | 2.93%                | -2.39%               | -0.68%               |
| Class ID C000028811 | 2.96%                | -2.46%               | -0.70%               |
| Class ID C000028812 | 2.86%                | -2.48%               | -0.79%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $6172.72                 | $25587032.18                               |
| Month 2  | $131496.94               | $-20564192.02                              |
| Month 3  | $0.00                    | $-2952120.13                               |

**Designated Index Information**

- **Index Name:** Bloomberg Commodity Total Rtn Idx

- **Index Identifier:** BCOM

### Schedule of Portfolio Investments

| Name                         | Title                                                                       | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FREDDIE MAC                  | Federal Home Loan Mortgage Corp                                             | CUSIP: 3134GXCF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |  16500000 | PA      | $15599709.35  | 0.74%             | 2024-05-24      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade       | SOYBEAN FUTURE MAY23                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |        63 | NC      | $136031.49    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange | NY HARB ULSD FUT APR23                                                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |        18 | NC      | $30689.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ROYAL BANK OF CANADA         | Royal Bank of Canada                                                        | CUSIP: 78011GBV8<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  90000000 | PA      | $64928243.70  | 3.08%             | 2023-05-23      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| United States Treasury       | United States Treasury Note/Bond                                            | CUSIP: 91282CBX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10500000 | PA      | $10383406.43  | 0.49%             | 2023-04-30      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK       | Canadian Imperial Bank of Commerce                                          | CUSIP: 13605VGH0<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | SN               | CORP              | CA        |  55000000 | PA      | $56555298.25  | 2.69%             | 2023-12-15      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                   | Federal National Mortgage Association                                       | CUSIP: 3135GA5Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   7000000 | PA      | $6601103.25   | 0.31%             | 2024-06-14      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Macquarie                    | MQCC112T.IDX                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |  91063662 | OU      | $2293267.21   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale             | SGCOP04T.IDX                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        | 101927752 | OU      | $2735936.54   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.       | COTTON NO.2 FUTR MAR23                                                      | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |       170 | NC      | $187971.23    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FANNIE MAE                   | Federal National Mortgage Association                                       | CUSIP: 3135G03U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |  21400000 | PA      | $19778171.68  | 0.94%             | 2025-04-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs                | BCOMTR.IDX                                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        | 130893693 | OU      | $3903891.42   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Macquarie                    | BCOMTR.IDX                                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |  79244273 | OU      | $2364038.78   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury       | United States Treasury Floating Rate Note                                   | CUSIP: 91282CDE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 185000000 | PA      | $185039436.45 | 8.79%             | 2023-10-31      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| United States Treasury       | United States Treasury Note/Bond                                            | CUSIP: 91282CFG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25200000 | PA      | $24738328.19  | 1.18%             | 2024-08-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK     | Federal Farm Credit Banks Funding Corp                                      | CUSIP: 3133EM6F4<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |  17000000 | PA      | $17003058.13  | 0.81%             | 2023-09-27      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade       | WHEAT FUTURE(CBT) MAR23                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |       388 | NC      | $-1539013.37  | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| State Street Global Advisors | State Street Navigator Securities Lending Government Money Market Portfolio | CUSIP: 857492706<br>LEI: 5493008BJIBKQ5KTIF74 | Long             | STIV             | RF                | US        |  24097975 | NS      | $24097975.00  | 1.14%             |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange        | LME ZINC FUTURE MAR23                                                       | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |       -81 | NC      | $-730282.01   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF MONTREAL             | Bank of Montreal                                                            | CUSIP: 06367UDP9<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | SN               | CORP              | CA        |  60000000 | PA      | $59473776.00  | 2.83%             | 2023-12-20      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                  | Federal Home Loan Mortgage Corp                                             | CUSIP: 3134GXGS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |  23000000 | PA      | $21698070.97  | 1.03%             | 2024-06-18      | Fixed         | 0.43%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange        | LME PRI ALUM FUTR MAR23                                                     | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |       506 | NC      | $3305683.49   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury       | United States Treasury Bill                                                 | CUSIP: 912796XY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  23700000 | PA      | $23124825.17  | 1.10%             | 2023-08-10      | None          | 0.00%                 | No            |                  2 | On Loan: —       |
| London Metal Exchange        | LME PRI ALUM FUTR MAR23                                                     | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |      -120 | NC      | $-734157.70   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe           | LOW SU GASOIL G MAR23                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |       165 | NC      | $923437.90    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Commodities Exchange Center  | SILVER FUTURE MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       193 | NC      | $3813555.38   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC                  | Federal Home Loan Mortgage Corp                                             | CUSIP: 3137EAER6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |  19000000 | PA      | $18786860.09  | 0.89%             | 2023-05-05      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange        | LME NICKEL FUTURE MAR23                                                     | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |       -87 | NC      | $-1520725.77  | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange | WTI CRUDE FUTURE MAR23                                                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |         8 | NC      | $8478.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade       | SOYBEAN OIL FUTR MAR23                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |       430 | NC      | $-649244.69   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL FARM CREDIT BANK     | Federal Farm Credit Banks Funding Corp                                      | CUSIP: 3133ENQB9<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |  38500000 | PA      | $38499596.52  | 1.83%             | 2023-03-03      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange        | LME LEAD FUTURE MAR23                                                       | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        95 | NC      | $-238471.20   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.       | SUGAR 11 (WORLD) MAY23                                                      | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |       598 | NC      | $768851.79    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC                  | Federal Home Loan Mortgage Corp                                             | CUSIP: 3134GXS47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |  22800000 | PA      | $22497728.09  | 1.07%             | 2025-08-28      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK     | Federal Farm Credit Banks Funding Corp                                      | CUSIP: 3133ENE89<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   5000000 | PA      | $5002683.50   | 0.24%             | 2024-08-08      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury       | United States Treasury Floating Rate Note                                   | CUSIP: 91282CEL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 105000000 | PA      | $104870770.20 | 4.98%             | 2024-04-30      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade       | CORN FUTURE MAY23                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |       300 | NC      | $197769.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury       | United States Treasury Bill                                                 | CUSIP: 912796Z69<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  20000000 | PA      | $19898525.00  | 0.95%             | 2023-03-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade       | KC HRW WHEAT FUT MAR23                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |        99 | NC      | $-300023.73   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC                  | Federal Home Loan Mortgage Corp                                             | CUSIP: 3137EAES4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |  19500000 | PA      | $19145450.81  | 0.91%             | 2023-06-26      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase              | BCOMF2T.IDX                                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |  59194604 | OU      | $1959958.07   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury       | United States Treasury Floating Rate Note                                   | CUSIP: 91282CFD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 158000000 | PA      | $157956159.74 | 7.50%             | 2024-07-31      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange | NY HARB ULSD FUT MAR23                                                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |        23 | NC      | $80811.49     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL FARM CREDIT BANK     | Federal Farm Credit Banks Funding Corp                                      | CUSIP: 3133EMGG1<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   8000000 | PA      | $8001708.48   | 0.38%             | 2023-11-06      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                   | Federal National Mortgage Association                                       | CUSIP: 3135G04Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |  28800000 | PA      | $28401581.66  | 1.35%             | 2023-05-22      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Commodities Exchange Center  | COPPER FUTURE MAY23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       282 | NC      | $5018411.62   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL FARM CREDIT BANK     | Federal Farm Credit Banks Funding Corp                                      | CUSIP: 3133ENYU8<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   8800000 | PA      | $8803758.92   | 0.42%             | 2024-05-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK       | Federal Home Loan Banks                                                     | CUSIP: 3130ARHG9<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  12400000 | PA      | $12036638.71  | 0.57%             | 2024-02-28      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade       | SOYBEAN FUTURE MAR23                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |      -458 | NC      | $-1093475.00  | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL FARM CREDIT BANK     | Federal Farm Credit Banks Funding Corp                                      | CUSIP: 3133ENVX5<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |  25400000 | PA      | $25382047.03  | 1.21%             | 2024-02-05      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange | NY HARB ULSD FUT MAY23                                                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |        46 | NC      | $-191278.51   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange  | LIVE CATTLE FUTR APR23                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |       262 | NC      | $205284.55    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury       | United States Treasury Floating Rate Note                                   | CUSIP: 91282CDU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 306000000 | PA      | $305996722.74 | 14.54%            | 2024-01-31      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                   | Federal National Mortgage Association                                       | CUSIP: 3135G04Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |  23500000 | PA      | $21585017.20  | 1.03%             | 2025-06-17      | Fixed         | 0.50%                 | No            |                  2 | On Loan: —       |
| New York Mercantile Exchange | GASOLINE RBOB FUT MAY23                                                     | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |        50 | NC      | $282583.94    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury       | United States Treasury Bill                                                 | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  11700000 | PA      | $11627488.43  | 0.55%             | 2023-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON                | UBS AG/London                                                               | CUSIP: 902674ZF0<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | SN               | CORP              | CH        |  40000000 | PA      | $41015760.00  | 1.95%             | 2023-08-22      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors | State Street Institutional US Government Money Market Fund                  | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |  32291302 | NS      | $32291302.48  | 1.53%             |  |  |  | No            |                  1 | On Loan: No      |
| Commodities Exchange Center  | GOLD 100 OZ FUTR APR23                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       405 | NC      | $227153.66    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade       | CORN FUTURE MAR23                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |       540 | NC      | $262628.23    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury       | United States Treasury Floating Rate Note                                   | CUSIP: 91282CCQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 210000000 | PA      | $210033866.70 | 9.98%             | 2023-07-31      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange        | LME ZINC FUTURE MAR23                                                       | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |       272 | NC      | $3431336.38   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange | NATURAL GAS FUTR MAR23                                                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |      2573 | NC      | $-74170968.88 | -3.52%            |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC                  | Federal Home Loan Mortgage Corp                                             | CUSIP: 3134GYEK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |  30600000 | PA      | $30583732.43  | 1.45%             | 2026-01-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.       | COFFEE 'C' FUTURE MAR23                                                     | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |       243 | NC      | $343114.32    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury       | United States Treasury Floating Rate Note                                   | CUSIP: 91282CBY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6300000 | PA      | $6303468.09   | 0.30%             | 2023-04-30      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange | WTI CRUDE FUTURE JUL23                                                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |       534 | NC      | $-728928.16   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL FARM CREDIT BANK     | Federal Farm Credit Banks Funding Corp                                      | CUSIP: 3133ELYS7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        | 110600000 | PA      | $110693374.05 | 5.26%             | 2023-05-08      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange | NATURAL GAS FUTR MAY23                                                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |     -1367 | NC      | $28092742.39  | 1.33%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN BANK       | Federal Home Loan Banks                                                     | CUSIP: 3130AKXZ4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   5300000 | PA      | $4751676.58   | 0.23%             | 2026-02-26      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe           | BRENT CRUDE FUTR MAY23                                                      | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |       476 | NC      | $500929.38    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America              | BCOMTR.IDX                                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |  46588244 | OU      | $1389145.14   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC                  | Federal Home Loan Mortgage Corp                                             | CUSIP: 3137EAEU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |  24500000 | PA      | $22358913.40  | 1.06%             | 2025-07-21      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange  | LEAN HOGS FUTURE APR23                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |       272 | NC      | $-34600.24    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade       | SOYBEAN MEAL FUTR DEC23                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |       256 | NC      | $-489926.13   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL FARM CREDIT BANK     | Federal Farm Credit Banks Funding Corp                                      | CUSIP: 3133EL5J9<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   5600000 | PA      | $5449825.19   | 0.26%             | 2023-09-01      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| Bank of America              | MLBXCS2T.IDX                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        | 100849194 | OU      | $2764989.70   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK     | Federal Farm Credit Banks Funding Corp                                      | CUSIP: 3133EMXZ0<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |  61000000 | PA      | $61008388.72  | 2.90%             | 2023-05-03      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                   | Federal National Mortgage Association                                       | CUSIP: 3135G06H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   3000000 | PA      | $2889898.26   | 0.14%             | 2023-11-27      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK     | Federal Farm Credit Banks Funding Corp                                      | CUSIP: 3133EMSV5<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |  10000000 | PA      | $9999820.50   | 0.48%             | 2023-03-09      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade       | SOYBEAN FUTURE NOV23                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |       784 | NC      | $304235.60    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury       | United States Treasury Note/Bond                                            | CUSIP: 91282CFE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17200000 | PA      | $16829796.83  | 0.80%             | 2025-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange        | LME NICKEL FUTURE MAR23                                                     | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |       164 | NC      | $3808719.56   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury       | United States Treasury Bill                                                 | CUSIP: 912796X53<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  14300000 | PA      | $14060164.55  | 0.67%             | 2023-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                  | BNP Paribas SA                                                              | CUSIP: 05601WWL1<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | SN               | CORP              | FR        |  76000000 | PA      | $69017477.96  | 3.28%             | 2023-08-14      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade       | KC HRW WHEAT FUT MAY23                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |       112 | NC      | $-62973.41    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade       | SOYBEAN MEAL FUTR MAR23                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |       116 | NC      | $637962.15    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Global Advisors | State Street Institutional US Government Money Market Fund                  | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |   8427420 | NS      | $8427419.89   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange | GASOLINE RBOB FUT MAR23                                                     | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |        76 | NC      | $1182957.24   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| FANNIE MAE                   | Federal National Mortgage Association                                       | CUSIP: 3135G05G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |  48100000 | PA      | $47162510.80  | 2.24%             | 2023-07-10      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                   | Federal National Mortgage Association                                       | CUSIP: 3135G06W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |  48000000 | PA      | $47328883.20  | 2.25%             | 2024-08-28      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-01

**Name of Applicant:** Credit Suisse Commodity Strategy Funds

**Signature:** Omar Tariq

**Name of Signer:** Omar Tariq

**Title:** Director