UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number | 811-21589 |
|
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND |
(Exact name of registrant as specified in charter) |
|
Eleven Madison Avenue, New York, New York | | 10010 |
(Address of principal executive offices) | | (Zip code) |
|
J. Kevin Gao, Esq.
Credit Suisse Commodity Return Strategy Fund
Eleven Madison Avenue
New York, New York 10010 |
(Name and address of agent for service) |
|
Registrant’s telephone number, including area code: | (212) 325-2000 | |
|
Date of fiscal year end: | October 31 | |
|
Date of reporting period: | November 1, 2006 to April 30, 2007 | |
| | | | | | | | | |
Item 1. Reports to Stockholders.
CREDIT SUISSE FUNDS
Semiannual Report
April 30, 2007
(unaudited)
n CREDIT SUISSE
COMMODITY RETURN STRATEGY FUND
The Fund's investment objectives, risks, charges and expenses (which should be considered carefully before investing), and more complete information about the Fund, are provided in the Prospectus, which should be read carefully before investing. You may obtain additional copies by calling 800-927-2874 or by writing to Credit Suisse Funds, P.O. Box 55030, Boston, MA 02205-5030.
Credit Suisse Asset Management Securities, Inc., Distributor, is located at Eleven Madison Ave., New York, NY 10010. Credit Suisse Funds are advised by Credit Suisse Asset Management, LLC.
Investors in the Credit Suisse Funds should be aware that they may be eligible to purchase Common Class and/or Advisor Class shares (where offered) directly or through certain intermediaries. Such shares are not subject to a sales charge but may be subject to an ongoing service and distribution fee of up to 0.50% of average daily net assets. Investors in the Credit Suisse Funds should also be aware that they may eligible for a reduction or waiver of the sales charge with respect to Class A, B or C shares (where offered). For more information, please review the relevant prospectuses or consult your financial representative.
The views of the Fund's management are as of the date of the letter and the Fund holdings described in this document are as of April 30, 2007; these views and Fund holdings may have changed subsequent to these dates. Nothing in this document is a recommendation to purchase or sell securities.
Fund shares are not deposits or other obligations of Credit Suisse Asset Management, LLC ("Credit Suisse") or any affiliate, are not FDIC-insured and are not guaranteed by Credit Suisse or any affiliate. Fund investments are subject to investment risks, including loss of your investment.
Credit Suisse Commodity Return Strategy Fund
Semiannual Investment Adviser's Report
April 30, 2007 (unaudited)
May 15, 2007
Dear Shareholder:
Performance Summary
11/01/06 – 4/30/07
| Fund & Benchmark | | Performance | |
| Common1 | | | 6.45 | % | |
| Class A1,2 | | | 6.23 | % | |
| Class C1,2 | | | 5.84 | % | |
| Dow Jones-AIG Commodity Index Total Return3 | | | 6.46 | % | |
Performance for the Fund's Class A and Class C Shares is without the maximum sales charge of 3.00% and 1.00%, respectively.2
Market Review: A positive, if volatile, period
In the six-month period ended April 30, 2007, the Dow Jones-AIG Commodity Index Total Return ("DJ-AIG Index") rose 6.46% on the strength of metals. Industrial metals gained 14.48% as low inventories combined with labor unrest in many mines worldwide to drive the market higher, and precious metals gained as the U.S. dollar fell.
The agriculture sector was up more than 12% in late February, but as grain supply expectations increased, the sector fell until it was up only 1.61% for the period. The March 30th USDA Prospective Plantings report projected the highest corn acreage since 1944, sending the agriculture sector tumbling. In fact, corn was down more than 10% over the following two trading sessions.
The energy sector was mixed. Unable to recover from a warm winter, natural gas fell 4.27%. Additionally, heating oil was driven down by the warm weather, but following refinery outages, managed to gain 7.69% for the period. Crude oil was roughly flat (+0.57%) over the period, but with high volatility. It fell briefly below $50 on January 18 based on excess supply, and then spiked briefly above $68 on a rumor of a major escalation in the Middle East.
Strategic review and outlook: Anticipating continued volatility
Significant returns for nickel, which benefited from low inventories and increased demand, contributed to performance. Additionally, gasoline and soybean oil, which both enjoyed increased demand, contributed positively to performance. Leading detractors from performance included sugar, which suffered from a surplus, and cotton and lean hogs.
1
Credit Suisse Commodity Return Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2007 (unaudited)
Going forward, we believe that there will be continued volatility in the industrial metals sector. Though it was led higher over the period by tight supply, we feel this sector has the potential to spike or drop significantly with even small changes in growth forecasts or labor strikes at mines.
We anticipate that, as refineries come back online, the current excess supply of crude oil in the U.S. should be reduced. This will potentially drive prices higher as the summer driving season begins.
Additionally, we believe that the recent sell off in the agriculture sector may present a buying opportunity if any difficulties arise during harvesting — or if rising fuel prices result in more biofueled ethanol substitution.
The DJ-AIG Index is a broadly diversified futures index composed of futures contracts on 19 physical commodities. The Index is weighted among commodity sectors using dollar-adjusted liquidity and production data. Currently, four energy products, six metals and nine agricultural products are represented in the Index. The Index is rebalanced at the beginning of each calendar year so that no single commodity constitutes less than 2% or more than 15% of the Index, and each sector represented in the Index is limited to 33%. However, following this rebalancing and for the remainder of the calendar year, these percentages may change so that a single commodity may constitute a greater or lesser percentage of the DJ-AIG Index and different sectors may represent different proportions of the DJ-AIG Index.
The Fund may seek to track the performance of the DJ-AIG Index Total Return by investing in commodity-linked structured notes and swaps. The Fund has obtained a private letter ruling from the Internal Revenue Service (IRS) confirming that the income produced by certain types of structured notes constitutes "qualifying income" under the Internal Revenue Code of 1986, as amended.
The Credit Suisse Commodities Management Team
Kam T. Poon
Christopher Burton
Andrew S. Lenskold
This Fund is non-diversified, which means it may invest a greater proportion of its assets in the securities of a smaller number of issuers than a diversified fund and may therefore be subject to greater volatility. Exposure to commodity markets should form only a small part of a diversified portfolio. Investment in commodity markets may not
2
Credit Suisse Commodity Return Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2007 (unaudited)
be suitable for all investors. The Fund's investment in commodity-linked derivative instruments may subject the Fund to greater volatility than investment in traditional securities, particularly in investments involving leverage.
The use of derivatives such as swaps, commodity–linked structured notes and futures entails substantial risks, including risk of loss of a significant portion of their principal value, lack of a secondary market, increased volatility, correlation risk, liquidity risk, interest-rate risk, market risk, credit risk, valuation risk and tax risk. Gains and losses from speculative positions in derivatives may be much greater than the derivatives' cost. At any time, the risk of loss of any individual security held by the Fund could be significantly higher than 50% of the security's value. For a detailed discussion of these and other risks, please refer to the Fund's Prospectus, which should be read carefully before you invest.
In addition to historical information, this report contains forward-looking statements that may concern, among other things, domestic and foreign markets, industry and economic trends and developments and government regulation and their potential impact on the Fund's investments. These statements are subject to risks and uncertainties and actual trends, developments and regulations in the future, and their impact on the Fund could be materially different from those projected, anticipated or implied. The Fund has no obligation to update or revise forward-looking statements.
3
Credit Suisse Commodity Return Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2007 (unaudited)
Average Annual Returns as of March 31, 20071
| | | 1 Year | | Since
Inception | | Inception
Date | |
| Common Class | | | 9.10 | % | | | 11.59 | % | | 12/30/04 | |
| Class A Without Sales Charge | | | 8.83 | % | | | 11.29 | % | | 12/30/04 | |
| Class A With Maximum Sales Charge | | | 5.60 | % | | | 9.79 | % | | 12/30/04 | |
| Class C Without CDSC | | | 8.10 | % | | | 10.54 | % | | 12/30/04 | |
| Class C With CDSC | | | 7.10 | % | | | 10.54 | % | | 12/30/04 | |
Average Annual Returns as of April 30, 20071
| | | 1 Year | | Since
Inception | | Inception
Date | |
| Common Class | | | 3.45 | % | | | 11.74 | % | | 12/30/04 | |
| Class A Without Sales Charge | | | 3.11 | % | | | 11.41 | % | | 12/30/04 | |
| Class A With Maximum Sales Charge | | | (0.02 | )% | | | 9.96 | % | | 12/30/04 | |
| Class C Without CDSC | | | 2.41 | % | | | 10.64 | % | | 12/30/04 | |
| Class C With CDSC | | | 1.42 | % | | | 10.64 | % | | 12/30/04 | |
Returns represent past performance and include change in share price and reinvestment of dividends and capital gains. Past performance cannot guarantee future results. The current performance of the Fund may be lower or higher than the figures shown. Returns and share price will fluctuate, and redemption value may be more or less than original cost. The performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Performance information current to the most recent month-end is available at www.credit-suisse.com/us
1 Fee waivers and/or expense reimbursements may reduce expenses for the Fund, without which performance would be lower. Waivers and/or reimbursements may be discontinued at any time.
2 Total return for the Fund's Class A shares for the reporting period, based on offering price (including maximum sales charge of 3.00%), was 3.04%. Total return for the Fund's Class C shares for the reporting period, based on redemption value (including maximum contingent deferred sales charge of 1.00%) was 4.84%.
3 The Dow Jones-AIG Commodity Index is composed of futures contracts on 19 physical commodities. Investors cannot invest directly in an index.
4
Credit Suisse Commodity Return Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2007 (unaudited)
Information About Your Fund's Expenses
As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees, distribution and service (12b-1) fees and other Fund expenses. Examples of transaction costs include sales charges (loads), redemption fees and account maintenance fees, which are not shown in this section and which would result in higher total expenses. The following table is intended to help you understand your ongoing expenses of investing in the Fund and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. The table is based on an investment of $1,000 made at the beginning of the six month period ended April 30, 2007.
The table illustrates your Fund's expenses in two ways:
• Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses paid on a $1,000 investment in the Fund using the Fund's actual return during the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the "Expenses Paid per $1,000" line under the share class you hold.
• Hypothetical 5% Fund Return. This helps you to compare your Fund's ongoing expenses with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. If these transaction costs had been included, your costs would have been higher. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expenses of owning different funds.
5
Credit Suisse Commodity Return Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2007 (unaudited)
Expenses and Value of a $1,000 Investment
for the six month period ended April 30, 2007
| Actual Fund Return | | Common
Class | | Class A | | Class C | |
| Beginning Account Value 11/01/06 | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | |
| Ending Account Value 4/30/07 | | $ | 1,064.50 | | | $ | 1,062.30 | | | $ | 1,058.40 | | |
| Expenses Paid per $1,000* | | $ | 3.58 | | | $ | 4.86 | | | $ | 8.68 | | |
| Hypothetical 5% Fund Return | |
| Beginning Account Value 11/01/06 | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | |
| Ending Account Value 4/30/07 | | $ | 1,021.32 | | | $ | 1,020.08 | | | $ | 1,016.36 | | |
| Expenses Paid per $1,000* | | $ | 3.51 | | | $ | 4.76 | | | $ | 8.50 | | |
| | | Common
Class | | Class A | | Class C | |
| Annualized Expense Ratios* | | | 0.70 | % | | | 0.95 | % | | | 1.70 | % | |
* Expenses are equal to the Fund's annualized expense ratio for each share class, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year period, then divided by 365.
The "Expenses Paid per $1,000" and the "Annualized Expense Ratios" in the tables are based on actual expenses paid by the Fund during the period, net of fee waivers and/or expense reimbursements. If those fee waivers and/or expense reimbursements had not been in effect, the Fund's actual expenses would have been higher.
For more information, please refer to the Fund's prospectus.
6
Credit Suisse Commodity Return Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2007 (unaudited)
| Sector Breakdown* | |
| Commercial Paper | | | 38.2 | % | |
| Structured Notes | | | 35.9 | % | |
| Variable Rate Corporate Obligations | | | 13.6 | % | |
| Mortgage Backed Securities | | | 9.3 | % | |
| Corporate Obligations | | | 1.5 | % | |
| Asset Backed Securities | | | 1.4 | % | |
| Short-Term Investment | | | 0.1 | % | |
| Total | | | 100.0 | % | |
* Expressed as a percentage of total investments and may vary over time.
7
Credit Suisse Commodity Return Strategy Fund
Schedule of Investments
April 30, 2007 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| COMMERCIAL PAPER (38.7%) | | | |
| Asset Backed (38.7%) | | | |
| $ | 15,000 | | | Altius I Funding Corp. | | (A-1+, P-1) | | 06/20/07 | | | 5.341 | | | $ | 14,889,792 | | |
| | 7,000 | | | Bank of America Credit Card Trust | | (A-1+, P-1) | | 06/21/07 | | | 5.305 | | | | 6,947,987 | | |
| | 2,300 | | | Beethoven Funding Corp. | | (A-1, P-1) | | 06/15/07 | | | 5.323 | | | | 2,284,878 | | |
| | 1,400 | | | Brahms Funding Corp. | | (A-1, P-1) | | 05/03/07 | | | 5.314 | | | | 1,399,590 | | |
| | 1,600 | | | Buckingham CDO III LLC | | (A-1+, P-1) | | 05/23/07 | | | 5.319 | | | | 1,594,828 | | |
| | 2,400 | | | Buckingham CDO LLC | | (A-1+, P-1) | | 05/23/07 | | | 5.311 | | | | 2,392,241 | | |
| | 8,500 | | | Capital One Multi-Asset Note | | (A-1+, P-1) | | 06/05/07 | | | 5.318 | | | | 8,456,449 | | |
| | 8,350 | | | Capital One Multi-Asset Note | | (A-1+, P-1) | | 07/18/07 | | | 5.326 | | | | 8,254,835 | | |
| | 3,000 | | | Cedar Spring Capital Company LLC | | (A-1, NR) | | 07/18/07 | | | 5.306 | | | | 2,965,941 | | |
| | 12,500 | | | Citibank Credit Card ISS | | (A-1+, P-1) | | 07/09/07 | | | 5.305 | | | | 12,374,575 | | |
| | 9,000 | | | Five Finance Corp. | | (A-1+, P-1) | | 07/16/07 | | | 5.321 | | | | 8,900,253 | | |
| | 7,800 | | | Harwood Street Funding I LLC | | (A-1+, P-1) | | 05/04/07 | | | 5.343 | | | | 7,796,548 | | |
| | 7,800 | | | Kent Funding Corp. | | (A-1+, P-1) | | 05/01/07 | | | 5.326 | | | | 7,800,000 | | |
| | 6,200 | | | KKR Atlantic Funding Trust | | (A-1+, P-1) | | 05/30/07 | | | 5.313 | | | | 6,173,579 | | |
| | 4,500 | | | Mica Funding LLC | | (A-1, P-1) | | 05/07/07 | | | 5.317 | | | | 4,496,033 | | |
| | 1,500 | | | Mica Funding LLC | | (A-1, P-1) | | 08/15/07 | | | 5.293 | | | | 1,477,034 | | |
| | 5,700 | | | Nelnet Student Asset Funding LLC | | (A-1+, P-1) | | 07/09/07 | | | 5.294 | | | | 5,643,188 | | |
| | 9,900 | | | Nelnet Student Asset Funding LLC | | (A-1+, P-1) | | 07/25/07 | | | 5.329 | | | | 9,777,052 | | |
| | 10,500 | | | Ocala Funding LLC | | (A-1+, P-1) | | 06/04/07 | | | 5.333 | | | | 10,447,541 | | |
| | 15,000 | | | Park Granada LLC | | (A-1+, P-1) | | 06/14/07 | | | 5.321 | | | | 14,903,383 | | |
| | 11,600 | | | Rathgar Capital Corp. | | (A-1+, P-1) | | 07/26/07 | | | 5.337 | | | | 11,455,626 | | |
| | 800 | | | Rhineland Funding Capital Corp. | | (A-1+, P-1) | | 05/14/07 | | | 5.340 | | | | 798,478 | | |
| | 3,500 | | | Rhineland Funding Capital Corp. | | (A-1+, P-1) | | 06/08/07 | | | 5.331 | | | | 3,480,567 | | |
| | 9,500 | | | Romulus Funding Corp. | | (A-1, P-1) | | 07/17/07 | | | 5.321 | | | | 9,393,324 | | |
| | 10,500 | | | Stanfield Victoria Finance, Ltd. | | (A-1+, P-1) | | 06/26/07 | | | 5.315 | | | | 10,414,903 | | |
| | 3,200 | | | Theta Corp. | | (A-1+, P-1) | | 05/16/07 | | | 5.307 | | | | 3,193,047 | | |
| | 4,300 | | | Whistlejacket Capital LLC | | (A-1+, P-1) | | 05/25/07 | | | 5.304 | | | | 4,284,893 | | |
| | 16,000 | | | White Pine Finance LLC | | (A-1+, P-1) | | 06/01/07 | | | 5.293 | | | | 15,927,529 | | |
| | 15,000 | | | Witherspoon CDO Funding LLC# | | (A-1+, P-1) | | 05/15/07 | | | 5.318 | | | | 14,969,112 | | |
| | 3,200 | | | Zane Funding LLC | | (NR, P-1) | | 05/18/07 | | | 5.353 | | | | 3,191,946 | | |
| | 15,000 | | | Zane Funding LLC | | (NR, P-1) | | 05/24/07 | | | 5.341 | | | | 14,949,017 | | |
| TOTAL COMMERCIAL PAPER (Cost $231,034,169) | | | 231,034,169 | | |
| ASSET BACKED SECURITIES | (1.4 | %) | | | |
| | 45 | | | Ace Securities Corp., Series 2003-0P1, Class A2# | | (AAA, Aaa) | | 12/25/33 | | | 5.680 | | | | 45,474 | | |
| | 305 | | | Ameriquest Mortgage Securities, Inc.,
Series 2003-9, Class AV2# | | (AAA, Aaa) | | 09/25/33 | | | 5.660 | | | | 305,864 | | |
| | 34 | | | Bear Stearns Asset Backed Securities, Inc.,
Series 2004-HE8, Class A# | | (AAA, Aaa) | | 09/25/34 | | | 5.700 | | | | 34,363 | | |
| | 10 | | | CDC Mortgage Capital Trust, Series 2003-HE4,
Class A3# | | (AAA, Aaa) | | 03/25/34 | | | 5.870 | | | | 10,346 | | |
| | 75 | | | Countrywide Home Equity Loan Trust,
Series 2004-R, Class 2A# | | (AAA, Aaa) | | 03/15/30 | | | 5.570 | | | | 75,710 | | |
| | 56 | | | Countrywide Home Equity Loan Trust,
Series 2005-B, Class 2A# | | (AAA, Aaa) | | 05/15/35 | | | 5.500 | | | | 56,011 | | |
See Accompanying Notes to Financial Statements.
8
Credit Suisse Commodity Return Strategy Fund
Schedule of Investments (continued)
April 30, 2007 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| ASSET BACKED SECURITIES | | | |
| $ | 101 | | | First Franklin Mortgage Loan Asset Backed
Certificates, Series 2004-FF4, Class A2# | | (AAA, Aaa) | | 06/25/34 | | | 5.610 | | | $ | 101,419 | | |
| | 146 | | | First Franklin Mortgage Loan Asset Backed
Certificates, Series 2004-FF6, Class A2B# | | (AAA, Aaa) | | 07/25/34 | | | 5.730 | | | | 146,424 | | |
| | 230 | | | GE Capital Credit Card Master Note Trust,
Series 2004-2, Class A# | | (AAA, Aaa) | | 09/15/10 | | | 5.360 | | | | 230,191 | | |
| | 122 | | | MSDWCC Heloc Trust, Series 2005-1, Class A# | | (AAA, Aaa) | | 07/25/17 | | | 5.510 | | | | 121,801 | | |
| | 57 | | | Novastar Home Equity Loan Trust,
Series 2004-3, Class A3D# | | (AAA, Aaa) | | 12/25/34 | | | 5.680 | | | | 56,663 | | |
| | 133 | | | Option One Mortgage Loan Trust,
Series 2003-3, Class A2# | | (AAA, Aaa) | | 06/25/33 | | | 5.620 | | | | 133,716 | | |
| | 49 | | | Specialty Underwriting & Residential Finance,
Series 2004-BC2, Class A2# | | (AAA, Aaa) | | 05/25/35 | | | 5.590 | | | | 48,859 | | |
| | 7,000 | | | Whitehawk CDO Funding, Ltd.,
Series 2004-1A, Class A1J# | | (AA-, Aa2) | | 12/15/08 | | | 5.405 | | | | 7,000,000 | | |
| TOTAL ASSET BACKED SECURITIES (Cost $8,365,301) | | | 8,366,841 | | |
| MORTGAGE BACKED SECURITIES (9.5%) | | | |
| | 12,000 | | | Brunel Residential Mortgage Securities,
Series 2007-1A, Class A3# | | (AAA, Aaa) | | 01/13/39 | | | 5.310 | | | | 12,000,000 | | |
| | 14,444 | | | Paragon Mortgages PLC, Series 12A, Class A1‡‡# | | (AAA, Aaa) | | 11/15/38 | | | 5.300 | | | | 14,443,459 | | |
| | 15,000 | | | Paragon Mortgages PLC, Series 14A, Class A1# | | (AAA, Aaa) | | 09/15/39 | | | 5.320 | | | | 15,000,000 | | |
| | 15,000 | | | Pendeford Master Issuer PLC,
Series 2007-1A, Class 1A# | | (A-1+, P-1) | | 02/12/08 | | | 5.310 | | | | 15,000,000 | | |
| | 22 | | | Washington Mutual, Series 2005-AR4, Class A1 | | (AAA, Aaa) | | 04/25/35 | | | 3.624 | | | | 21,556 | | |
| TOTAL MORTGAGE BACKED SECURITIES (Cost $56,465,235) | | | 56,465,015 | | |
| CORPORATE OBLIGATION (1.5%) | | | |
| Finance (1.5%) | | | |
| | 9,000 | | | CC USA, Inc., Series MTN, Notes
(Cost $9,000,000) | | (AAA, Aaa) | | 06/18/07 | | | 5.520 | | | | 8,998,848 | | |
| STRUCTURED NOTES (36.4%) | | | |
| | 15,700 | | | ABN AMRO Bank NV: Commodity Index
Linked Notes# | | (A-1+, P-1) | | 10/22/07 | | | 5.150 | | | | 20,488,971 | | |
| | 13,000 | | | AIG: Commodity Index Linked Notes# | | (A-1+, P-1) | | 12/31/07 | | | 5.301 | | | | 16,270,020 | | |
| | 1,300 | | | AIG: Commodity Index Linked Notes# | | (A-1+, P-1) | | 11/01/07 | | | 5.200 | | | | 1,306,344 | | |
| | 1,000 | | | AIG: Commodity Index Linked Notes# | | (A-1+, P-1) | | 11/01/07 | | | 5.209 | | | | 980,040 | | |
| | 500 | | | AIG: Commodity Index Linked Notes# | | (A-1+, P-1) | | 12/31/07 | | | 5.299 | | | | 667,315 | | |
| | 2,000 | | | AIG: Commodity Index Linked Notes# | | (A-1+, P-1) | | 11/01/07 | | | 5.205 | | | | 2,037,800 | | |
| | 2,000 | | | AIG: Commodity Index Linked Notes# | | (A-1+, P-1) | | 11/01/07 | | | 5.200 | | | | 2,060,240 | | |
| | 800 | | | AIG: Commodity Index Linked Notes# | | (A-1+, P-1) | | 11/01/07 | | | 5.295 | | | | 1,009,000 | | |
| | 2,000 | | | AIG: Commodity Index Linked Notes# | | (A-1+, P-1) | | 11/01/07 | | | 5.205 | | | | 2,053,020 | | |
| | 2,000 | | | AIG: Commodity Index Linked Notes# | | (A-1+, P-1) | | 11/01/07 | | | 5.205 | | | | 1,976,920 | | |
| | 600 | | | AIG: Commodity Index Linked Notes# | | (A-1+, P-1) | | 12/31/07 | | | 5.227 | | | | 759,426 | | |
| | 1,500 | | | AIG: Commodity Index Linked Notes# | | (A-1+, P-1) | | 12/31/07 | | | 5.226 | | | | 1,938,090 | | |
| | 1,000 | | | AIG: Commodity Index Linked Notes# | | (A-1+, P-1) | | 12/31/07 | | | 5.226 | | | | 1,310,840 | | |
| | 2,000 | | | AIG: Commodity Index Linked Notes# | | (A-1+, P-1) | | 12/31/07 | | | 5.225 | | | | 2,681,720 | | |
See Accompanying Notes to Financial Statements.
9
Credit Suisse Commodity Return Strategy Fund
Schedule of Investments (continued)
April 30, 2007 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| STRUCTURED NOTES | | | |
| $ | 1,000 | | | AIG: Commodity Index Linked Notes# | | (A-1+, P-1) | | 12/31/07 | | | 5.220 | | | $ | 1,254,210 | | |
| | 1,600 | | | AIG: Commodity Index Linked Notes# | | (A-1+, P-1) | | 12/31/07 | | | 5.221 | | | | 2,055,648 | | |
| | 1,500 | | | AIG: Commodity Index Linked Notes# | | (A-1+, P-1) | | 12/30/07 | | | 5.221 | | | | 1,974,765 | | |
| | 1,300 | | | AIG: Commodity Index Linked Notes# | | (A-1+, P-1) | | 11/01/07 | | | 5.200 | | | | 1,451,398 | | |
| | 500 | | | AIG: Commodity Index Linked Notes# | | (A-1+, P-1) | | 11/01/07 | | | 5.190 | | | | 531,030 | | |
| | 1,900 | | | AIG: Commodity Index Linked Notes# | | (A-1+, P-1) | | 11/01/07 | | | 5.200 | | | | 2,042,196 | | |
| | 3,000 | | | AIG: Commodity Index Linked Notes# | | (A-1+, P-1) | | 11/01/07 | | | 5.200 | | | | 3,378,930 | | |
| | 26,500 | | | Bank of America NA: Commodity Index
Linked Notes# | | (AAA, Aa) | | 03/28/08 | | | 5.343 | | | | 28,058,200 | | |
| | 15,600 | | | Barclays Bank PLC: Commodity Index
Linked Notes# | | (A-1+, P-1) | | 10/28/07 | | | 5.250 | | | | 20,308,907 | | |
| | 15,500 | | | Bear Stearns Company, Inc.: Commodity Index
Linked Notes# | | (A-1+, P-1) | | 11/06/07 | | | 5.130 | | | | 19,398,870 | | |
| | 18,000 | | | Commonwealth Bank of Australia: Commodity
Index Linked Notes# | | (AAA, Aaa) | | 02/07/08 | | | 4.970 | | | | 20,409,840 | | |
| | 15,500 | | | IXIS: Commodity Index Linked Notes# | | (A-1+, P-1) | | 11/05/07 | | | 5.110 | | | | 20,209,985 | | |
| | 16,100 | | | Morgan Stanley: Commodity Index Linked Notes# | | (A-1, P-1) | | 10/15/07 | | | 5.290 | | | | 17,472,525 | | |
| | 18,750 | | | Svensk Exportkredit AB: Commodity Index
Linked Notes# | | (A-1+, P-1) | | 11/09/07 | | | 5.580 | | | | 23,466,375 | | |
| TOTAL STRUCTURED NOTES (Cost $182,150,000) | | | 217,552,625 | | |
| VARIABLE RATE CORPORATE OBLIGATIONS (13.8%) | | | |
| Diversified Financials (13.8%) | | | |
| | 10,000 | | | Atlas Capital Funding Corp., Series MTN, Notes# | | (AAA, Aaa) | | 07/16/07 | | | 5.310 | | | | 10,000,740 | | |
| | 8,000 | | | Atlas Capital Funding Corp., Series MTN, Notes# | | (AAA, Aaa) | | 12/07/08 | | | 5.360 | | | | 8,003,912 | | |
| | 19,000 | | | Cullinan Finance Corp., Series MTN, Notes# | | (AAA, Aaa) | | 12/07/07 | | | 5.290 | | | | 19,000,057 | | |
| | 6,000 | | | Dorada Finance, Inc., Series MTN, Notes# | | (AAA, Aaa) | | 04/25/08 | | | 5.345 | | | | 6,000,846 | | |
| | 5,500 | | | Five Finance, Inc., Series MTN, Notes# | | (AAA, Aaa) | | 09/13/07 | | | 5.310 | | | | 5,501,738 | | |
| | 16,000 | | | Sedna Finance, Inc., Series MTN, Notes# | | (AAA, Aaa) | | 11/28/07 | | | 5.330 | | | | 16,003,216 | | |
| | 18,000 | | | Stanfield Victoria LLC, Series MTN, Notes# | | (AAA, Aaa) | | 03/27/08 | | | 5.348 | | | | 18,010,818 | | |
| TOTAL VARIABLE RATE CORPORATE OBLIGATIONS (Cost $82,498,545) | | | 82,521,327 | | |
| UNITED STATES AGENCY OBLIGATIONS (0.0%) | | | |
| | 100 | | | Fannie Mae Discount Notes | | (AAA, Aaa) | | 05/11/07 | | | 5.193 | | | | 99,857 | | |
| | 145 | | | Fannie Mae Discount Notes | | (AAA, Aaa) | | 06/06/07 | | | 5.133 | | | | 144,255 | | |
| TOTAL UNITED STATES AGENCY OBLIGATIONS (Cost $244,112) | | | 244,112 | | |
| SHORT-TERM INVESTMENT (0.0%) | | | |
| | 173 | | | State Street Bank and Trust Co. Euro Time Deposit
(Cost $173,000) | | | | 05/01/07 | | | 4.100 | | | | 173,000 | | |
| TOTAL INVESTMENTS AT VALUE (101.3%) (Cost $569,930,362) | | | 605,355,937 | | |
| LIABILITIES IN EXCESS OF OTHER ASSETS (-1.3%) | | | (7,950,987 | ) | |
| NET ASSETS (100.0%) | | $ | 597,404,950 | | |
See Accompanying Notes to Financial Statements.
10
Credit Suisse Commodity Return Strategy Fund
Schedule of Investments (continued)
April 30, 2007 (unaudited)
INVESTMENT ABBREVIATIONS
MTN = Medium Term Note
NR = Not Rated
† Credit ratings given by the Standard & Poor's Division of The McGraw-Hill Companies, Inc. ("S&P") and Moody's Investors Service, Inc. ("Moody's") are unaudited.
# Variable rate obligations — The interest rate shown is the rate as of April 30, 2007.
‡‡ Collateral segregated for futures contracts.
See Accompanying Notes to Financial Statements.
11
Credit Suisse Commodity Return Strategy Fund
Statement of Assets and Liabilities
April 30, 2007 (unaudited)
| Assets | |
Investments at value
(Cost $569,930,362) (Note 2) | | $ | 605,355,937 | | |
| Cash | | | 994 | | |
| Receivable for fund shares sold | | | 8,245,917 | | |
| Interest receivable | | | 2,923,496 | | |
| Prepaid expenses | | | 42,305 | | |
| Total Assets | | | 616,568,649 | | |
| Liabilities | | | | | |
| Advisory fee payable (Note 3) | | | 235,425 | | |
| Administrative services fee payable (Note 3) | | | 76,815 | | |
| Distribution fee payable (Note 3) | | | 62,628 | | |
| Payable for investments purchased | | | 18,098,962 | | |
| Payable for fund shares redeemed | | | 430,261 | | |
| Variation margin payable (Note 2) | | | 148,703 | | |
| Trustees' fee payable | | | 6,906 | | |
| Other accrued expenses payable | | | 103,999 | | |
| Total Liabilities | | | 19,163,699 | | |
| Net Assets | |
| Capital stock, $0.001 par value (Note 6) | | | 52,084 | | |
| Paid-in capital (Note 6) | | | 572,458,971 | | |
| Undistributed net investment income | | | 4,210,294 | | |
| Accumulated net realized loss on investments, futures contracts and swap contracts | | | (14,812,053 | ) | |
| Net unrealized appreciation from investments and futures contracts | | | 35,495,654 | | |
| Net Assets | | $ | 597,404,950 | | |
| Common Shares | |
| Net assets | | $ | 340,161,753 | | |
| Shares outstanding | | | 29,640,565 | | |
| Net asset value, offering price, and redemption price per share | | $ | 11.48 | | |
| A Shares | |
| Net assets | | $ | 241,656,217 | | |
| Shares outstanding | | | 21,083,712 | | |
| Net asset value, offering price, and redemption price per share | | $ | 11.46 | | |
| Maximum offering price per share (net asset value/(1-3.00%)) | | $ | 11.81 | | |
| C Shares | |
| Net assets | | $ | 15,586,980 | | |
| Shares outstanding | | | 1,359,952 | | |
| Net asset value and redemption price per share | | $ | 11.46 | | |
See Accompanying Notes to Financial Statements.
12
Credit Suisse Commodity Return Strategy Fund
Statement of Operations
For the Six Months Ended April 30, 2007 (unaudited)
| Investment Income (Note 2) | |
| Interest | | $ | 12,225,351 | | |
| Expenses | |
| Investment advisory fees (Note 3) | | | 1,195,245 | | |
| Administrative services fees (Note 3) | | | 299,368 | | |
| Distribution fees (Note 3) | |
| Class A | | | 288,032 | | |
| Class C | | | 73,534 | | |
| Transfer agent fees (Note 3) | | | 156,414 | | |
| Legal fees | | | 72,249 | | |
| Registration fees | | | 57,836 | | |
| Printing fees (Note 3) | | | 24,696 | | |
| Audit and tax fees | | | 16,114 | | |
| Custodian fees | | | 14,554 | | |
| Trustees' fees | | | 11,467 | | |
| Insurance expense | | | 7,886 | | |
| Commitment fees (Note 4) | | | 4,347 | | |
| Miscellaneous expense | | | 4,526 | | |
| Total expenses | | | 2,226,268 | | |
| Less: fees waived (Note 3) | | | (191,359 | ) | |
| Net expenses | | | 2,034,909 | | |
| Net investment income | | | 10,190,442 | | |
| Net Realized and Unrealized Gain from Investments and Futures Contracts | |
| Net realized gain from investments | | | 3,108,520 | | |
| Net realized gain from futures contracts | | | 30,175 | | |
| Net change in unrealized appreciation (depreciation) from investments | | | 21,608,852 | | |
| Net change in unrealized appreciation (depreciation) from futures contracts | | | 154,725 | | |
| Net realized and unrealized gain from investments and futures contracts | | | 24,902,272 | | |
| Net increase in net assets resulting from operations | | $ | 35,092,714 | | |
See Accompanying Notes to Financial Statements.
13
Credit Suisse Commodity Return Strategy Fund
Statements of Changes in Net Assets
| | | For the Six Months
Ended
April 30, 2007
(unaudited) | | For the Year
Ended
October 31, 2006 | |
| From Operations | |
| Net investment income | | $ | 10,190,442 | | | $ | 10,195,736 | | |
Net realized gain (loss) from investments, futures contracts
and swap contracts | | | 3,138,695 | | | | (17,926,531 | ) | |
Net change in unrealized appreciation (depreciation) from investments
and futures contracts | | | 21,763,577 | | | | 13,841,964 | | |
| Net increase in net assets resulting from operations | | | 35,092,714 | | | | 6,111,169 | | |
| From Dividends and Distributions | |
| Dividends from net investment income | |
| Common Class shares | | | (4,062,158 | ) | | | (280,022 | ) | |
| Class A shares | | | (3,873,884 | ) | | | (5,744,986 | ) | |
| Class C shares | | | (191,629 | ) | | | (2,734,504 | ) | |
| Distributions from net realized gains | |
| Common Class shares | | | — | | | | (2,883,677 | ) | |
| Class A shares | | | — | | | | (5,418,265 | ) | |
| Class C shares | | | — | | | | (304,976 | ) | |
| Net decrease in net assets resulting from dividends and distributions | | | (8,127,671 | ) | | | (17,366,430 | ) | |
| From Capital Share Transactions (Note 6) | |
| Proceeds from sale of shares | | | 319,048,440 | | | | 333,893,604 | | |
| Reinvestment of dividends and distributions | | | 5,446,043 | | | | 11,220,860 | | |
| Net asset value of shares redeemed | | | (117,621,561 | )1 | | | (132,023,847 | )2 | |
| Net increase in net assets from capital share transactions | | | 206,872,922 | | | | 213,090,617 | | |
| Net increase in net assets | | | 233,837,965 | | | | 201,835,356 | | |
| Net Assets | |
| Beginning of period | | | 363,566,985 | | | | 161,731,629 | | |
| End of period | | $ | 597,404,950 | | | $ | 363,566,985 | | |
| Undistributed net investment income | | $ | 4,210,294 | | | $ | 2,147,523 | | |
1 Net of $12,471 of redemption fees retained by the Fund.
2 Net of $20,115 of redemption fees retained by the Fund.
See Accompanying Notes to Financial Statements.
14
Credit Suisse Commodity Return Strategy Fund
Financial Highlights
(For a Common Class Share of the Fund Outstanding Throughout Each Period)
| | | For the Six
Months Ended
April 30, 2007
(unaudited) | | For the Year
Ended
October 31, 2006 | | For the Period
Ended
October 31, 20051 | |
| Per share data | |
| Net asset value, beginning of period | | $ | 10.98 | | | $ | 11.47 | | | $ | 10.00 | | |
| INVESTMENT OPERATIONS | |
| Net investment income2 | | | 0.24 | | | | 0.48 | | | | 0.23 | | |
Net gain on investments, futures contracts and swap contracts
(both realized and unrealized) | | | 0.46 | | | | 0.05 | | | | 1.39 | | |
| Total from investment operations | | | 0.70 | | | | 0.53 | | | | 1.62 | | |
| REDEMPTION FEES | | | 0.003 | | | | 0.003 | | | | — | | |
| LESS DIVIDENDS AND DISTRIBUTIONS | |
| Dividends from net investment income | | | (0.20 | ) | | | (0.40 | ) | | | (0.15 | ) | |
| Distributions from net realized gains | | | — | | | | (0.62 | ) | | | — | | |
| Total dividends and distributions | | | (0.20 | ) | | | (1.02 | ) | | | (0.15 | ) | |
| Net asset value, end of period | | $ | 11.48 | | | $ | 10.98 | | | $ | 11.47 | | |
| Total return4 | | | 6.45 | % | | | 4.72 | % | | | 16.25 | % | |
| RATIOS AND SUPPLEMENTAL DATA | |
| Net assets, end of period (000s omitted) | | $ | 340,162 | | | $ | 125,613 | | | $ | 48,207 | | |
| Ratio of expenses to average net assets | | | 0.70 | %5 | | | 0.70 | % | | | 0.70 | %5 | |
| Ratio of net investment income to average net assets | | | 4.42 | %5 | | | 4.29 | % | | | 2.53 | %5 | |
Decrease reflected in above operating expense ratios due to
waivers/reimbursements | | | 0.09 | %5 | | | 0.25 | % | | | 0.80 | %5 | |
| Portfolio turnover rate | | | 24 | % | | | 60 | % | | | 0 | % | |
1 For the period December 30, 2004 (inception date) through October 31, 2005.
2 Per share information is calculated using the average shares outstanding method.
3 This amount represents less than $0.01 per share.
4 Total returns are historical and assume changes in share price and reinvestment of all dividends and distributions. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.
5 Annualized.
See Accompanying Notes to Financial Statements.
15
Credit Suisse Commodity Return Strategy Fund
Financial Highlights
(For an Class A Share of the Fund Outstanding Throughout Each Period)
| | | For the Six
Months Ended
April 30, 2007
(unaudited) | | For the Year
Ended
October 31, 2006 | | For the Period
Ended
October 31, 20051 | |
| Per share data | |
| Net asset value, beginning of period | | $ | 10.97 | | | $ | 11.45 | | | $ | 10.00 | | |
| INVESTMENT OPERATIONS | |
| Net investment income2 | | | 0.23 | | | | 0.45 | | | | 0.23 | | |
Net gain on investments, futures contracts and swap contracts
(both realized and unrealized) | | | 0.45 | | | | 0.06 | | | | 1.36 | | |
| Total from investment operations | | | 0.68 | | | | 0.51 | | | | 1.59 | | |
| REDEMPTION FEES | | | 0.003 | | | | 0.003 | | | | — | | |
| LESS DIVIDENDS AND DISTRIBUTIONS | |
| Dividends from net investment income | | | (0.19 | ) | | | (0.37 | ) | | | (0.14 | ) | |
| Distributions from net realized gains | | | — | | | | (0.62 | ) | | | — | | |
| Total dividends and distributions | | | (0.19 | ) | | | (0.99 | ) | | | (0.14 | ) | |
| Net asset value, end of period | | $ | 11.46 | | | $ | 10.97 | | | $ | 11.45 | | |
| Total return4 | | | 6.23 | % | | | 4.51 | % | | | 15.91 | % | |
| RATIOS AND SUPPLEMENTAL DATA | |
| Net assets, end of period (000s omitted) | | $ | 241,656 | | | $ | 223,377 | | | $ | 108,431 | | |
| Ratio of expenses to average net assets | | | 0.95 | %5 | | | 0.95 | % | | | 0.95 | %5 | |
| Ratio of net investment income to average net assets | | | 4.16 | %5 | | | 4.04 | % | | | 2.28 | %5 | |
Decrease reflected in above operating expense ratios due to
waivers/reimbursements | | | 0.09 | %5 | | | 0.25 | % | | | 0.80 | %5 | |
| Portfolio turnover rate | | | 24 | % | | | 60 | % | | | 0 | % | |
1 For the period December 30, 2004 (inception date) through October 31, 2005.
2 Per share information is calculated using the average shares outstanding method.
3 This amount represents less than $0.01 per share.
4 Total returns are historical and assume changes in share price, reinvestment of all dividends and distributions and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.
5 Annualized.
See Accompanying Notes to Financial Statements.
16
Credit Suisse Commodity Return Strategy Fund
Financial Highlights
(For a Class C Share of the Fund Outstanding Throughout Each Period)
| | | For the Six
Months Ended
April 30, 2007
(unaudited) | | For the Year
Ended
October 31, 2006 | | For the Period
Ended
October 31, 20051 | |
| Per share data | |
| Net asset value, beginning of period | | $ | 10.97 | | | $ | 11.43 | | | $ | 10.00 | | |
| INVESTMENT OPERATIONS | |
| Net investment income2 | | | 0.19 | | | | 0.37 | | | | 0.17 | | |
Net gain on investments, futures contracts and swap contracts
(both realized and unrealized) | | | 0.44 | | | | 0.06 | | | | 1.36 | | |
| Total from investment operations | | | 0.63 | | | | 0.43 | | | | 1.53 | | |
| REDEMPTION FEES | | | 0.003 | | | | 0.003 | | | | — | | |
| LESS DIVIDENDS AND DISTRIBUTIONS | |
| Dividends from net investment income | | | (0.14 | ) | | | (0.27 | ) | | | (0.10 | ) | |
| Distributions from net realized gains | | | — | | | | (0.62 | ) | | | — | | |
| Total dividends and distributions | | | (0.14 | ) | | | (0.89 | ) | | | (0.10 | ) | |
| Net asset value, end of period | | $ | 11.46 | | | $ | 10.97 | | | $ | 11.43 | | |
| Total return4 | | | 5.84 | % | | | 3.78 | % | | | 15.29 | % | |
| RATIOS AND SUPPLEMENTAL DATA | |
| Net assets, end of period (000s omitted) | | $ | 15,587 | | | $ | 14,577 | | | $ | 5,094 | | |
| Ratio of expenses to average net assets | | | 1.70 | %5 | | | 1.70 | % | | | 1.70 | %5 | |
| Ratio of net investment income to average net assets | | | 3.41 | %5 | | | 3.29 | % | | | 1.53 | %5 | |
Decrease reflected in above operating expense ratios due to
waivers/reimbursements | | | 0.09 | %5 | | | 0.25 | % | | | 0.80 | %5 | |
| Portfolio turnover rate | | | 24 | % | | | 60 | % | | | 0 | % | |
1 For the period December 30, 2004 (inception date) through October 31, 2005.
2 Per share information is calculated using the average shares outstanding method.
3 This amount represents less than $0.01 per share.
4 Total returns are historical and assume changes in share price, reinvestment of all dividends and distributions and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized.
5 Annualized.
See Accompanying Notes to Financial Statements.
17
Credit Suisse Commodity Return Strategy Fund
Notes to Financial Statements
April 30, 2007 (unaudited)
Note 1. Organization
Credit Suisse Commodity Return Strategy Fund (the "Fund") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a non-diversified open-end management investment company that seeks total return. The Fund was organized as a statutory trust under the laws of the State of Delaware on May 19, 2004.
The Fund is authorized to offer three classes of shares: Common Class, Class A shares and Class C shares. Each class of shares represents an equal pro rata interest in the Fund, except that they bear different expenses which reflect the differences in the range of services provided to them. The Fund's Common Class shares are closed to new investors, with certain exceptions as set forth in the prospectus. Class A shares are sold subject to a front end sales charge of up to 3.00%. Class C Shares are sold subject to a contingent deferred sales charge of 1.00% if redeemed within the first year of purchase.
Note 2. Significant Accounting Policies
A) SECURITY VALUATION — 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. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (the "Valuation Time"). If no sales are reported, equ ity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities. Investments in mutual funds are valued at the mutual fund's closing net asset value per share on the day of valuation. Swap contracts are generally valued at a price at which the counterparty to such contract would repurchase the instrument or terminate the contract. Securities, options, futures contracts and other assets (including swap and structured note agreements), for which market quotations are not readily available, or whose values have been materially affected by events occurring before the Fund's Valuation Time but after the close of the securities' primary markets, are valued at fair value as determined in good faith by, or under the direction of, the Board of Trustees under procedures established by
18
Credit Suisse Commodity Return Strategy Fund
Notes to Financial Statements (continued)
April 30, 2007 (unaudited)
Note 2. Significant Accounting Policies
the Board of Trustees. The Fund may utilize a service provided by an independent third party which has been approved by the Board of Trustees to fair value certain securities. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.
B) SECURITY TRANSACTIONS AND INVESTMENT INCOME — Security transactions are accounted for on a trade date basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Certain expenses are class-specific expenses and vary by class. Income, expenses (excluding class-specific expenses) and realized/unrealized gains/losses are allocated proportionately to each class of shares based upon the relative net asset value of the outstanding shares of that class. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes.
C) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income are declared and paid quarterly. Distributions of net realized capital gains, if any, are declared and paid at least annually. However, to the extent that a net realized capital gain can be reduced by a capital loss carryforward, such gain will not be distributed. Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America ("GAAP").
D) FEDERAL INCOME TAXES — No provision is made for federal taxes as it is the Fund's intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies ("RICs") under the Internal Revenue Code of 1986, as amended (the "Code"), and to make the requisite distributions to its shareholders, which will be sufficient to relieve it from federal income and excise taxes.
In order to qualify as a RIC under the Code, the Fund must meet certain requirements regarding the source of its income, the diversification of its assets and the distribution of its income. The Internal Revenue Service ("the IRS") has issued a ruling that causes certain income from commodity-linked swaps, in which the Fund invests to gain exposure to the Dow Jones AIG Commodity Index ("DJ-AIG Index"), to not be considered income from qualifying sources under the Code. As a result, the income the Fund derives from such commodity-linked swaps or certain other commodity-linked derivatives must be limited to a maximum of 10 percent of its annual gross
19
Credit Suisse Commodity Return Strategy Fund
Notes to Financial Statements (continued)
April 30, 2007 (unaudited)
Note 2. Significant Accounting Policies
income. The Fund may seek to track the performance of the DJ-AIG Index through investing in structured notes designed to track the performance of the DJ-AIG Index. The Fund has obtained a private letter ruling from the IRS confirming that the income produced by certain types of structured notes constitutes income from qualifying sources under the Code. If the Fund is unable to ensure continued qualification, the Fund may be required to change its investment objective, policies or techniques, or may be liquidated. A liquidation would subject investors to tax on the difference between the liquidating distribution and their basis in their shares, if those shares are held in a taxable account. If the Fund fails to qualify as a RIC, the Fund will be subject to federal income tax on its net income and capital gains at regular corporate rates (without reduction for distributions to shareholders). When distributed, that income would also be taxable to shareholders as an ordinary dividend to the extent attributable to the Fund's earnings and profits. If the Fund were to fail to qualify as a RIC and become subject to federal income tax, shareholders of the Fund would be subject to the risk of diminished returns.
E) USE OF ESTIMATES — The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
F) SHORT-TERM INVESTMENTS — The Fund, together with other funds/portfolios advised by Credit Suisse Asset Management, LLC ("Credit Suisse"), an indirect, wholly-owned subsidiary of Credit Suisse Group, pools available cash into either a short-term variable rate time deposit issued by State Street Bank and Trust Company ("SSB"), the Fund's custodian, or a money market fund advised by Credit Suisse. The short-term time deposit issued by SSB is a variable rate account classified as a short-term investment.
G) FUTURES — The Fund may enter into futures contracts to the extent permitted by its investment policies and objectives. Upon entering into a futures contract, the Fund is required to deposit cash and/or pledge U.S. Government securities as initial margin. Subsequent payments, which are dependent on the daily fluctuations in the value of the underlying instrument, are made or received by the Fund each day (daily variation margin) and are recorded as unrealized gains or losses until the contracts are closed. When the
20
Credit Suisse Commodity Return Strategy Fund
Notes to Financial Statements (continued)
April 30, 2007 (unaudited)
Note 2. Significant Accounting Policies
contracts are closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund's basis in the contract. Risks of entering into futures contracts for hedging purposes include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. In addition, the purchase of a futures contract involves the risk that the Fund could lose more than the original margin deposit and subsequent payments required for a futures transaction. At April 30, 2007, the Fund had the following open futures contracts:
| Futures Contract | | Number of
Contracts | | Expiration
Date | | Contract
Amount | | Contract
Value | | Unrealized
Appreciation | |
U.S. Treasury
10 Year Notes Futures | | | (307 | ) | | | 06/20/07 | | | $ | (33,326,813 | ) | | $ | (33,256,734 | ) | | $ | 70,079 | | |
H) SWAPS — The Fund may enter into index swaps for hedging purposes or to seek to increase total return. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset or notional principal amount. The Fund will enter into index swaps only on a net basis, which means that the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments. Risks may arise as a result of the failure of the counterparty to the swap contract to comply with the terms of the swap contract. The loss incurred by the failure of a counterparty is generally limited to the net interest payment to be received by the Fund, and/or the termination value at the end of the contract. Therefore, the Fund considers the creditworthiness of ea ch counterparty to a swap contract in evaluating potential credit risk. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying reference asset or index.
The Fund may enter into total return swap contracts, involving commitments to pay interest in exchange for a market-linked return, both based on notional amounts. To the extent the total return of the security or index underlying the transactions exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty.
The Fund records unrealized gains or losses on a daily basis representing the value and the current net receivable or payable relating to open swap contracts. Net amounts received or paid on the swap contract are recorded as realized
21
Credit Suisse Commodity Return Strategy Fund
Notes to Financial Statements (continued)
April 30, 2007 (unaudited)
Note 2. Significant Accounting Policies
gains or losses. Fluctuations in the value of swaps contracts are recorded for financial statement purposes as unrealized appreciation or depreciation of swap contracts. Realized gains and losses from terminated swaps are included in net realized gains/losses on swap contracts transactions.
I) COMMODITY INDEX-LINKED NOTES — The fund may invest in structured notes whose value is based on the price movements of a commodity index. The structured notes are often leveraged, increasing the volatility of each note's value relative to the change in the underlying linked financial element. The value of these notes will rise and fall in response to changes in the underlying commodity index. Structured notes may entail a greater degree of market risk than other types of debt securities because the investor bears the risk of the underlying commodity index. Structured notes may also be more volatile, less liquid, and more difficult to accurately price than less complex securities or more traditional debt securities. Fluctuations in the value of the structured notes are recorded as unrealized gains and losses in the accompanying financial statements. Net payments are recorded as net realized gains/(losses). These notes are subject to pr epayment, credit and interest risks. The Fund has the option to request prepayment from the issuer. At maturity, or when a note is sold, the Fund records a realized gain or loss. At April 30, 2007, the value of these securities comprised 36.4% of the Fund's net assets and resulted in unrealized appreciation of $35,402,625.
J) SECURITIES LENDING — Loans of securities are required at all times to be secured by collateral at least equal to 102% of the market value of domestic securities on loan (including any accrued interest thereon) and 105% of the market value of foreign securities on loan (including any accrued interest thereon). Cash collateral received by the Fund in connection with securities lending activity may be pooled together with cash collateral for other funds/portfolios advised by Credit Suisse and may be invested in a variety of investments, including certain Credit Suisse-advised funds, funds advised by SSB, the Fund's securities lending agent or money market instruments. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. The Fund had no securities out on loan during the six months ended April 30, 2007.
SSB has been engaged by the Fund to act as the Fund's securities lending agent. The Fund's securities lending arrangement provides that the Fund and SSB will share the net income earned from securities lending activities. The
22
Credit Suisse Commodity Return Strategy Fund
Notes to Financial Statements (continued)
April 30, 2007 (unaudited)
Note 2. Significant Accounting Policies
Fund may also be entitled to certain minimum amounts of income from its securities lending activities. Securities lending income is accrued as earned.
K) OTHER — The Fund may invest in securities of foreign countries and governments which involve certain risks in addition to those inherent in domestic investments. Such risks generally include, among others, currency risks (fluctuations in currency exchange rates), information risk (key information may be inaccurate or unavailable) and political risk (expropriation, nationalization or the imposition of capital or currency controls or punitive taxes). Other risks of investing in foreign securities include liquidity and valuation risks.
The Fund may be subject to taxes imposed by countries in which it invests with respect to its investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Fund accrues such taxes when the related income is earned or gains are realized.
Note 3. Transactions with Affiliates and Related Parties
Credit Suisse serves as investment adviser for the Fund. For its investment advisory services, Credit Suisse is entitled to receive a fee from the Fund at an annual rate of 0.50% of the Fund's average daily net assets. For the six months ended April 30, 2007, investment advisory fees earned and voluntarily waived were $1,195,245, and $191,359, respectively. Fee waivers and reimbursements are voluntary and may be discontinued by Credit Suisse at any time.
Credit Suisse Asset Management Securities, Inc. ("CSAMSI"), an affiliate of Credit Suisse, and SSB serve as co-administrators to the Fund. For its co-administrative services, CSAMSI currently receives a fee calculated at an annual rate of 0.09% of the Fund's average daily net assets. For the six months ended April 30, 2007, co-administrative services fees earned by CSAMSI were $218,276. Effective December 1, 2006, the co-administration fee was reduced from an annual rate of 0.10% to 0.09%.
For its co-administrative services, SSB receives a fee, exclusive of out-of-pocket expenses, calculated in total for all the Credit Suisse funds/portfolios co-administered by SSB and allocated based upon relative average net assets of each fund/portfolio, subject to an annual minimum fee. For the six months
23
Credit Suisse Commodity Return Strategy Fund
Notes to Financial Statements (continued)
April 30, 2007 (unaudited)
Note 3. Transactions with Affiliates and Related Parties
ended April 30, 2007, co-administrative services fees earned by SSB (including out-of-pocket expenses) were $81,092.
In addition to serving as the Fund's co-administrator, CSAMSI currently serves as distributor of the Fund's shares. Pursuant to distribution plans adopted by the Fund pursuant to Rule 12b-1 under the 1940 Act, CSAMSI receives fees for its distribution services. These fees are calculated at an annual rate of 0.25% of the average daily net assets of the Class A shares and 1.00% of the average daily net assets of the Class C shares. Common Class shares are not subject to distribution fees.
Certain brokers, dealers and financial representatives provide transfer agent related services to the Fund, and receive compensation for these services from Credit Suisse. Credit Suisse is then reimbursed by the Fund. For the six months ended April 30, 2007, the Fund reimbursed Credit Suisse $42,494, which is included in the Fund's transfer agent expense.
For the six months ended April 30, 2007, CSAMSI and its affiliates advised the Fund that they retained $27,823 from commissions earned on the sale of the Fund's Class A shares.
Merrill Corporation ("Merrill"), an affiliate of Credit Suisse, has been engaged by the Fund to provide certain financial printing and fulfillment services. For the six months ended April 30, 2007, Merrill was paid $19,231 for its services to the Fund.
Note 4. Line of Credit
The Fund, together with other funds/portfolios advised by Credit Suisse (collectively, the "Participating Funds"), participates in a $75 million committed, unsecured line of credit facility ("Credit Facility") for temporary or emergency purposes with Deutsche Bank, A.G. as administrative agent and syndication agent and SSB as operations agent. Under the terms of the Credit Facility, the Participating Funds pay an aggregate commitment fee at a rate of 0.10% per annum on the average unused amount of the Credit Facility, which is allocated among the Participating Funds in such manner as is determined by the governing Boards of the Participating Funds. In addition, the Participating Funds pay interest on borrowings at the Federal Funds rate plus 0.50%. At April 30, 2007 and during the six months ended April 30, 2007, the Fund had no borrowings under the Credit Facility.
24
Credit Suisse Commodity Return Strategy Fund
Notes to Financial Statements (continued)
April 30, 2007 (unaudited)
Note 5. Purchases and Sales of Securities
For the six months ended April 30, 2007, purchases and sales of investment securities (excluding short-term investments) were $166,360,000, and $61,687,983, respectively.
At April 30, 2007, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized appreciation from investments were $569,930,362, $35,470,165, $(44,590) and $35,425,575, respectively.
Note 6. Capital Share Transactions
The Fund is authorized to issue an unlimited number of shares of beneficial interest, $.001 par value per share. The Fund currently offers Common Class, Class A and Class C shares. Transactions in capital shares for each class of the Fund were as follows:
| | | Common Class | |
| | | For the Six Months Ended
April 30, 2007 (unaudited) | | For the Year Ended
October 31, 2006 | |
| | | Shares | | Value | | Shares | | Value | |
| Shares sold | | | 24,763,052 | | | $ | 272,131,695 | | | | 11,424,189 | | | $ | 127,730,179 | | |
Shares issued in reinvestment
of dividends and distributions | | | 181,699 | | | | 2,010,953 | | | | 107,152 | | | | 1,151,007 | | |
| Shares redeemed | | | (6,745,552 | ) | | | (75,393,172 | ) | | | (4,293,659 | ) | | | (48,444,519 | ) | |
| Net increase | | | 18,199,199 | | | $ | 198,749,476 | | | | 7,237,682 | | | $ | 80,436,667 | | |
| | | Class A | |
| | | For the Six Months Ended
April 30, 2007 (unaudited) | | For the Year Ended
October 31, 2006 | |
| | | Shares | | Value | | Shares | | Value | |
| Shares sold | | | 4,099,868 | | | $ | 45,095,141 | | | | 17,309,927 | | | $ | 194,057,517 | | |
Shares issued in reinvestment of
dividends and distributions | | | 296,621 | | | | 3,268,379 | | | | 865,886 | | | | 9,606,302 | | |
| Shares redeemed | | | (3,683,893 | ) | | | (40,576,967 | ) | | | (7,273,976 | ) | | | (80,937,976 | ) | |
| Net increase | | | 712,596 | | | $ | 7,786,553 | | | | 10,901,837 | | | $ | 122,725,843 | | |
| | | Class C | |
| | | For the Six Months Ended
April 30, 2007 (unaudited) | | For the Year Ended
October 31, 2006 | |
| | | Shares | | Value | | Shares | | Value | |
| Shares sold | | | 165,175 | | | $ | 1,821,604 | | | | 1,076,973 | | | $ | 12,105,908 | | |
Shares issued in reinvestment
of dividends and distributions | | | 15,150 | | | | 166,711 | | | | 41,893 | | | | 463,551 | | |
| Shares redeemed | | | (149,723 | ) | | | (1,651,422 | ) | | | (235,096 | ) | | | (2,641,352 | ) | |
| Net increase | | | 30,602 | | | $ | 336,893 | | | | 883,770 | | | $ | 9,928,107 | | |
25
Credit Suisse Commodity Return Strategy Fund
Notes to Financial Statements (continued)
April 30, 2007 (unaudited)
Note 6. Capital Share Transactions
A redemption fee of 2% of the value of Common Class shares, Class A shares and Class C shares redeemed or exchanged within 30 days from the date of purchase is charged to shareholders. Reinvested dividends and distributions are not subject to the fee. The fee is charged based on the value of shares at redemption, is paid directly to the Fund and becomes part of the Fund's daily net asset value calculation. When shares are redeemed that are subject to the fee, reinvested dividends and distributions are redeemed first, followed by the shares held longest.
On April 30, 2007, the number of shareholders that held 5% or more of the outstanding shares of each class of the Fund was as follows:
| Fund | | Number of
Shareholders | | Approximate Percentage
of Outstanding Shares | |
| Common Class | | | 2 | | | | 28 | % | |
| Class A | | | 3 | | | | 63 | % | |
Some of the shareholders are omnibus accounts, which hold shares on behalf of individual shareholders.
Note 7. Contingencies
In the normal course of business, the Fund may provide general indemnifications pursuant to certain contracts and organizational documents. The Fund's maximum exposure under these arrangements is dependent on future claims that may be made against the Fund and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote.
Note 8. Recent Accounting Pronouncements
During June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation 48 ("FIN 48" or the "Interpretation"), Accounting for Uncertainty in Income Taxes — an interpretation of FASB statement 109. FIN 48 supplements FASB Statement 109, Accounting for Income Taxes, by defining the confidence level that a tax position must meet in order to be recognized in the financial statements. FIN 48 prescribes a comprehensive model for how a fund should recognize, measure, present, and disclose in its financial statements uncertain tax positions that the fund has taken or expects to take on a tax return. FIN 48 requires that the tax effects of a position be recognized only if it is "more likely than not" to be sustained based solely on its technical merits. Management must be ab le to conclude that the tax law, regulations, case law,
26
Credit Suisse Commodity Return Strategy Fund
Notes to Financial Statements (continued)
April 30, 2007 (unaudited)
Note 8. Recent Accounting Pronouncements
and other objective information regarding the technical merits sufficiently support the position's sustainability with a likelihood of more than 50 percent. FIN 48 is effective for fiscal periods beginning after December 15, 2006. At adoption, the financial statements must be adjusted to reflect only those tax positions that are more likely than not to be sustained as of the adoption date.
On September 20, 2006, the FASB released Statement of Financial Accounting Standards No. 157 "Fair Value Measurements" ("FAS 157"). FAS 157 establishes an authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair-value measurements. The application of FAS 157 is required for fiscal years, beginning after November 15, 2007 and interim periods within those fiscal years.
At this time, management is evaluating the implications of FIN 48 and FAS 157 and their impact on the financial statements has not yet been determined.
27
Credit Suisse Commodity Return Strategy Fund
Board Approval of Advisory Agreement (unaudited)
In approving the renewal of the current Advisory Agreement, the Board of Trustees, including the Independent Trustees, at a meeting on November 14-15, 2006, considered the following factors with respect to the Credit Suisse Commodity Return Strategy Fund (the "Fund"):
Investment Advisory Fee Rate
The Board reviewed and considered the contractual advisory fee rate of 0.50% (the "Contractual Advisory Fee") in light of the extent and quality of the advisory services provided by Credit Suisse Asset Management, LLC ("Credit Suisse"). The Board also reviewed and considered the fee waiver and/or expense reimbursement arrangements currently in place for the Fund and considered the actual fee rate of 0.26% paid by the Fund after taking waivers and reimbursements into account (the "Net Advisory Fee"). The Board acknowledged that fee waivers and expense reimbursements could be discontinued at any time.
Additionally, the Board received and considered information comparing the Fund's Contractual Advisory Fee, Net Advisory Fee and the Fund's overall expenses with those of funds in both the relevant expense group ("Expense Group") and universe of funds (the "Expense Universe") provided by Lipper Inc., an independent provider of investment company data.
Nature, Extent and Quality of the Services under the Advisory Agreement
The Board received and considered information regarding the nature, extent and quality of services provided to the Fund by Credit Suisse under the Advisory Agreement. The Board also noted information received at regular meetings throughout the year related to the services rendered by Credit Suisse. The Board reviewed background information about Credit Suisse, including its Form ADV. The Board considered the background and experience of Credit Suisse's senior management and the expertise of, and the amount of attention given to the Fund by, senior personnel of Credit Suisse. In addition, the Board reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day portfolio management of the Fund and the extent of the resources devoted to research and analysis of actual and potential investments. The Board also received and considered information about the nature, extent and quality of services and fee rates offered to other Credit Suisse clients for comparable services.
28
Credit Suisse Commodity Return Strategy Fund
Board Approval of Advisory Agreement (unaudited) (continued)
Fund Performance
The Board received and considered the performance results of the Fund for the one year ended August 31, 2006, along with comparisons both to the relevant performance group ("Performance Group") and universe of funds ("Performance Universe") for the Fund. The Board was provided with a description of the methodology used to arrive at the funds included in the Performance Group and Performance Universe.
Credit Suisse Profitability
The Board received and considered a profitability analysis of Credit Suisse based on the fees payable under the Advisory Agreement for the Fund, including any fee waivers or fee caps, as well as other relationships between the Fund on the one hand and Credit Suisse affiliates on the other. The Board received profitability information for the other funds in the Credit Suisse family of funds.
Economies of Scale
The Board considered whether economies of scale in the provision of services to the Fund were being passed along to the shareholders. Accordingly, the Board considered whether alternative fee structures (such as breakpoint fee structures) would be more appropriate or reasonable taking into consideration economies of scale or other efficiencies that might accrue from increases in the Fund's asset levels.
Other Benefits to Credit Suisse
The Board considered other benefits received by Credit Suisse and its affiliates as a result of its relationships with the Fund. Such benefits include, among others, benefits potentially derived from an increase in Credit Suisse's business as a result of its relationship with the Fund (such as the ability to market to shareholders other financial products offered by Credit Suisse and its affiliates).
The Board considered the standards applied and performance achieved in seeking best execution and reviewed Credit Suisse's method for allocating portfolio investment opportunities among the Fund and other advisory clients.
29
Credit Suisse Commodity Return Strategy Fund
Board Approval of Advisory Agreement (unaudited) (continued)
Conclusions
In selecting Credit Suisse, and approving the Advisory Agreement and the investment advisory fee under such agreement, the Board concluded that:
• As the Contractual Advisory Fee was among the lowest in the Expense Group and the Net Advisory Fee was the lowest of the Expense Group, the Board considered the fees to be reasonable.
• The Fund's return for the year was the highest in the Performance Group and the second highest in the Performance Universe.
• The Board was satisfied with the nature and extent of the investment advisory services provided to the Fund by Credit Suisse and that, based on dialogue with management and counsel, the services provided by Credit Suisse under the Advisory Agreement are typical of, and consistent with, those provided to similar mutual funds by other investment advisers.
• In light of the costs of providing investment management and other services to the Fund and Credit Suisse's ongoing commitment to the Fund and willingness to cap fees and expenses, the profits and other ancillary benefits that Credit Suisse and its affiliates received were considered reasonable.
• Credit Suisse's profitability based on fees payable under the Advisory Agreement was reasonable in light of the nature, extent and quality of the services provided to the Fund thereunder.
• In light of the amount of the Contractual Advisory Fee and Net Advisory Fee, the Fund's current fee structure (without breakpoints) was considered reasonable.
No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the Advisory Agreement. The Independent Trustees were advised by separate independent legal counsel throughout the process.
30
Credit Suisse Commodity Return Strategy Fund
Privacy Policy Notice (unaudited)
Important Privacy Choices for Consumers
We are committed to maintaining the privacy of every current and prospective customer. We recognize that you entrust important personal information to us, and we wish to assure you that we take seriously our responsibilities in protecting and safeguarding this information.
In connection with making available investment products and services to current and potential customers, we may obtain nonpublic personal information about you. This information may include your name, address, e-mail address, social security number, account number, assets, income, financial situation, transaction history and other personal information.
We may collect nonpublic information about you from the following sources:
• Information we receive on applications, forms, questionnaires, web sites, agreements or in the course of establishing or maintaining a customer relationship; and
• Information about your transactions with us, our affiliates, or others.
We do not disclose any nonpublic personal information about our customers or former customers to anyone, except with your consent or as otherwise permitted by law.
In cases where we believe that additional products and services may be of interest to you, we may share the information described above with our affiliates.
We may also disclose this information to firms that perform services on our behalf. These agents and service providers are required to treat the information confidentially and use it only for the purpose for which it is provided.
We restrict access to nonpublic personal information about you to those employees, agents or other parties who need to know that information to provide products or services to you or in connection with your investments with or through us. We maintain physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
Note: This Notice is provided to clients and prospective clients of Credit Suisse Asset Management, LLC ("Credit Suisse"), and Credit Suisse Asset Management Securities, Inc., and shareholders and prospective shareholders in Credit Suisse-sponsored and advised investment companies, including Credit Suisse Funds, and other consumers and customers, as applicable. This Notice is not intended to be incorporated in any offering materials but is merely a statement of our current Privacy Policy, and may be amended from time to time upon notice to you. This Notice is dated as of June 5, 2007.
31
Credit Suisse Commodity Strategy Return Fund
Proxy Voting and Portfolio Holdings Information (unaudited)
Information regarding how the Fund voted proxies related to its portfolio securities during the 12 month period ended June 30 of each year, as well as the policies and procedures that the Fund uses to determine how to vote proxies relating to its portfolio securities will be available:
• By calling 1-800-927-2874
• On the Fund's website, www.credit-suisse.com/us
• On the website of the Securities and Exchange Commission, www.sec.gov.
The Fund files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Fund's Forms N-Q are available on the SEC's website at www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the SEC's Public Reference Room may be obtained by calling 1-202-551-8090.
32
P.O. BOX 55030, BOSTON, MA 02205-5030
800-927-2874 n www.credit-suisse.com/us
CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., DISTRIBUTOR. COM-SAR-0407
Item 2. Code of Ethics.
This item is inapplicable to a semi-annual report on Form N-CSR.
Item 3. Audit Committee Financial Expert.
This item is inapplicable to a semi-annual report on Form N-CSR.
Item 4. Principal Accountant Fees and Services.
This item is inapplicable to a semi-annual report on Form N-CSR.
Item 5. Audit Committee of Listed Registrants.
This item is not applicable to the registrant.
Item 6. Schedule of Investments.
Included as part of the report to shareholders filed under Item 1 of this Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
This item is not applicable to the registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
This item is not applicable to the registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
This item is not applicable to the registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
The Nominating Committee recommends Board member candidates. Shareholders of the registrant may also submit nominees that will be considered by the Committee. Recommendations should be mailed to the registrant’s Secretary, c/o Credit Suisse Asset Management, LLC, Eleven Madison Avenue, New York, NY 10010. Any submission should include at a minimum the following information: the name, age, business address, residence address and principal occupation or employment of such individual; the class, series and number of shares of the registrant that are beneficially owned by such individual; the date such shares were acquired and the investment intent of such acquisition; whether such shareholder believes such individual is, or is not, an “interested person” of the registrant (as defined in the Investment Company Act of 1940) and information regarding such individual that is sufficient, in the Committee’s discretion, to make such determination; and all other information relating to such individual that is required to be disclosed in solicitation of proxies for election of directors in an election contest (even if an election contest is not involved) or is otherwise required pursuant to the rules for proxy materials under the Securities Exchange Act of 1934.
Item 11. Controls and Procedures.
(a) As of a date within 90 days from the filing date of this report, the principal executive officer and principal financial officer concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) were effective
based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934.
(b) There were no changes in registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) | Not applicable. |
| |
(a)(2) | The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report. |
| |
(a)(3) | Not applicable. |
| |
(b) | The certifications of the registrant as required by Rule 30a-2(b) under the Act are an exhibit to this report. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND | | |
| | |
| /s/ Keith M. Schappert | |
| Name: | Keith M. Schappert |
| Title: | Chief Executive Officer |
| Date: | July 5, 2007 |
| | | | | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| /s/ Keith M. Schappert | |
| Name: | Keith M. Schappert |
| Title: | Chief Executive Officer |
| Date: | July 5, 2007 |
| | | |
| /s/ Michael A. Pignataro | |
| Name: | Michael A. Pignataro |
| Title: | Chief Financial Officer |
| Date: | July 5, 2007 |
| | | |
