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 STRATEGY FUNDS |
(Exact name of registrant as specified in charter) |
|
Eleven Madison Avenue, New York, New York | | 10010 |
(Address of principal executive offices) | | (Zip code) |
|
John G. Popp
Credit Suisse Commodity Strategy Funds
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, 2019 to April 30, 2020 | |
| | | | | | | | | |
Item 1. Reports to Stockholders.
CREDIT SUISSE FUNDS
Semiannual Report
April 30, 2020
(unaudited)
n CREDIT SUISSE
COMMODITY RETURN STRATEGY FUND
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund's shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from Credit Suisse Asset Management, LLC or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future reports in paper free of charge. If you hold accounts directly with the Fund, you can call 877-870-2874 to inform Credit Suisse Asset Management, LLC that you wish to continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by Credit Suisse Asset Management, LLC, or all funds held with your financial intermediary, as applicable.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by: (i) accessing the Credit Suisse Asset Management, LLC website at www.credit-suisse.com/us/funds and logging into your accounts, if you hold accounts directly with the Fund, or (ii) contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.
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 877-870-2874 or by visiting our website at www.credit-suisse.com/us/funds.
Credit Suisse Securities (USA) LLC, Distributor, is located at Eleven Madison Avenue, 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 Class I shares (where offered) directly or through certain intermediaries. Such shares are not subject to a sales charge. Investors in the Credit Suisse Funds should also be aware that they may be eligible for a reduction or waiver of the sales charge with respect to Class A or C shares (where offered). For more information, please review the relevant prospectuses or consult your financial representative.
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, 2020 (unaudited)
May 19, 2020
Dear Shareholder:
We are pleased to present this Semiannual Report covering the activities of the Credit Suisse Commodity Return Strategy Fund (the "Fund") for the six-month period ended April 30, 2020.
Performance Summary
11/01/19 – 04/30/20
Fund & Benchmark | | Performance | |
Class I1 | | | (20.85 | )% | |
Class A1,2 | | | (20.97 | )% | |
Class C1,2 | | | (21.10 | )% | |
Bloomberg Commodity Index Total Return3 | | | (22.70 | )% | |
Performance shown for the Fund's Class A and Class C Shares does not reflect sales charges, which are a maximum of 4.75% and 1.00%, respectively.2
Market and Strategy Review:
Commodities decreased for the semiannual period ended April 30, 2020. The Bloomberg Commodity Index Total Return (the "Benchmark") fell 22.70%, with 20 out of 23 index constituents trading lower.
For the six-month period ended April 30, 2020, the Fund outperformed the Benchmark, before fees and fund expenses. Commodity strategies and the underlying cash management both contributed positively to relative performance. Within the Fund's commodity exposure, forward curve positioning in the Energy sector was the main contributor to positive benchmark-relative performance, gross of fees. Positioning within the Livestock, Industrial Metals and Precious Metals sectors also contributed positively to positive relative returns, but to a lesser extent. All Fund share classes outperformed the Benchmark after fees and Fund expenses.
Energy was the worst performing sector for the six-month period, down 50.84%. Crude Oil and petroleum products each suffered steep declines of over 50%. Most countries chose to utilize social distancing measures to slow the spread of the coronavirus (COVID-19), resulting in synchronous bearish demand shocks on most commodities in magnitudes not seen since at least the Global Financial Crisis and within an unprecedented compressed time frame. Certain commodities, such as the ones in the petroleum complex, also experienced bearish supply shocks during the period that created large daily supply and
1
Credit Suisse Commodity Return Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2020 (unaudited)
demand imbalances. The combination of both the bearish pandemic-related global demand shock and bearish supply shock following the decision by the Organization of the Petroleum Exporting Countries (OPEC) and Russia to abandon their production cut agreement and raise oil production loosened the supply and demand balance for crude oil. Natural Gas fell 33.64% as unseasonably warm weather conditions during the majority of the US winter heating season, most notably the warmest January and February in the continental US within the last ten years, suppressed heating demand. Unlike with most other commodities, the impact of the coronavirus pandemic on Natural Gas had initially been deemed to be supportive, as sharply lower crude oil prices could potentially lead to lower associated gas production from shale oil producers. However, as the coronavirus outbreak continued, the potentially bearish impact on domestic and Liquefied Natural Gas export demand eventually overwhelmed the bullish supply shock, erasing all of the initial gains.
Livestock declined 32.30% as Lean Hogs and Live Cattle fell 42.26% and 25.81%, respectively. Lean Hogs decreased initially as the US Department of Agriculture reported large year-over-year increases in pork production while the timing of more US pork exports to China remained uncertain. Later on in the period, both commodities suffered sharp declines as demand from US restaurants and schools, typically representing a substantial portion of domestic meat consumption, diminished as a result of social distancing measures enacted by both federal and state governments to combat the spread of the coronavirus. Moreover, the coronavirus sickened many meat packing workers and forced an increasing number of processing plants to shut down. As a result, processors reduced purchases of cattle and hogs, lowering prices paid to farmers.
Industrial Metals fell 18.25%. Growing cases of the coronavirus worldwide lowered the demand for industrial and construction applications of base metals amid the global economic slowdown, allowing stockpiles to build for most base metals. However, the sector received some support towards the end of the period as a result of reduced supply expectations following reports of temporary mine closures related to the virus outbreak. China's reopening of its manufacturing sector in April also helped to offset some of the losses.
Agriculture decreased 10.48% for the period. Corn fell 21.65% as stay-at-home orders enacted by the US government significantly lowered driving activity within the US, reducing fuel usage of gasoline and corn-based ethanol. Soybeans, down 11.16%, and its by-products declined as a depreciating Brazilian Real and Argentine Peso decreased the competitiveness of US soybeans. In addition, substantial Chinese purchases of US agricultural products, following a Phase
2
Credit Suisse Commodity Return Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2020 (unaudited)
One trade deal between the US and China, failed to materialize as Chinese demand was muted due to slow-downs in Chinese consumption as a result of the Coronavirus.
Precious Metals increased 4.65%. Gold gained 11.29% as uncertainty surrounding the extent of COVID-19 infection rates and the impact on the global economy boosted its safe haven appeal. In addition, the US Federal Reserve lowered the US Federal Funds rate to a 0.00% to 0.25% target range, increasing the attractiveness of gold as an alternative store of wealth. Silver declined 18.47% as losses from reduced industrial demand more than outweighed it safe-haven value.
Outlook:
While the majority of commodities fell due to global shutdowns enacted to slow the spread of the coronavirus, there were signs of emergent recovery towards the end of the period. Some economically sensitive commodities such as Gasoline, Copper, and Nickel rose in April, buoyed by demand optimism around a resumption of travel and manufacturing activity as governments began to relax stay-at-home ordinances. As of April 30th, inflation expectations as implied by 5-Year Treasury Inflation-Protected Securities averaged 0.70%, well below the US Federal Reserve's inflation target of 2%. These low expectations are a direct result of COVID-19 impacting consumption and commodities demand, unemployment and wages, medical care excluding coronavirus related illnesses, and many other components of CPI. However, to counterbalance the rapid decline in economic activity caused by the closure of non-essential activities, many governments and central banks have enacted monetary and fiscal stimulus measures. As the world economy seeks to re-start activities, it is currently expected that the pace of the activity will be slow and cautious with some stops and starts along the way, but ultimately trending upwards. With such low inflation expectations priced into the market, even a modest economic re-acceleration may lead to inflation surpassing expectations, especially in an environment where prices for many commodities are low.
Finally, producer responses may likely also lift commodities prices. Evidence of production cuts after the rapid fall in Crude Oil prices caused WTI Crude Oil to rise 24% in the final two trading days of April. There remains significant demand uncertainty once stay-at-home orders come to an end. If consumers avoid air travel and other forms of public transportation in favor of driving in personal vehicles, this may increase gasoline and other fuel-related commodities prices. Within Agriculture, May is typically a volatile month for grains and
3
Credit Suisse Commodity Return Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2020 (unaudited)
oilseeds based on weather-related production risks. However, this year, grains prices may also be impacted by additional export bans as countries try to ensure food security for large segments of their populations that have been affected as a result of widespread self-isolation measures.
The Credit Suisse Commodities Management Team
Nelson Louie
Christopher Burton
The 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 mutual fund and may therefore be subject to greater volatility. The Fund's investment in commodity-linked derivative instruments may subject the Fund to greater volatility than investments in traditional securities, particularly in investments involving leverage.
The use of derivatives such as commodity-linked structured notes, swaps and futures entails substantial risks, including risk of loss of a significant portion of principal value, commodity exposure risks, correlation risk, derivatives risk, exposure risk, fixed income risk, focus risk, futures contract risk, leveraging risk, liquidity risk, interest rate risk, market risk, non-diversified status, portfolio turnover risk, structured note risk, subsidiary risk, swap agreements risk, U.S. government securities risk, credit risk and tax risk. Gains and losses from speculative positions in derivatives may be much greater than the derivative's 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 investing.
In addition to historical information, this report contains forward-looking statements, which 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.
4
Credit Suisse Commodity Return Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2020 (unaudited)
The views of the Fund's management are as of the date of this letter and the Fund holdings described in this document are as of April 30, 2020; these views and Fund holdings may have changed subsequent to these dates. Nothing in this document is a recommendation to purchase or sell securities.
1 Fee waivers and/or expense reimbursements may reduce expenses for the Fund, without which performance would be lower. The Fund entered into a written contract to limit expenses to 0.80% of the Fund's average daily net assets for Class I shares, 1.05% of the Fund's average daily net assets for Class A shares and 1.80% of the Fund's average daily net assets for Class C shares through at least February 28, 2021. This limit excludes certain expenses, as set out in the Fund's Prospectus.
2 Total return for the Fund's Class A shares for the reporting period, based on offering price (including maximum sales charge of 4.75%), was (24.70)%. 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 (21.89)%.
3 The Bloomberg Commodity Index Total Return is a broadly diversified futures index currently composed of futures contracts on 23 physical commodities. The index does not have transaction costs and investors may not invest directly in the index.
5
Credit Suisse Commodity Return Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2020 (unaudited)
Average Annual Returns as of April 30, 20201
| | | 1 Year | | 5 Years | | 10 Years | |
Class I | | | (21.70 | )% | | | (8.73 | )% | | | (6.97 | )% | |
Class A Without Sales Charge | | | (21.94 | )% | | | (8.96 | )% | | | (7.21 | )% | |
Class A With Maximum Sales Charge | | | (25.72 | )% | | | (9.84 | )% | | | (7.67 | )% | |
Class C Without CDSC | | | (22.46 | )% | | | (9.62 | )% | | | (7.88 | )% | |
Class C With CDSC | | | (23.23 | )% | | | (9.62 | )% | | | (7.88 | )% | |
Returns represent past performance and include change in share price and reinvestment of dividends and capital gain distributions, if any. 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/funds.
The annualized gross expense ratios are 0.80% for Class I shares, 1.05% for Class A shares and 1.80% for Class C shares.
1 Fee waivers and/or expense reimbursements reduce expenses for the Fund, without which performance would be lower. The Fund entered into a written contract to limit expenses to 0.80% of the Fund's average daily net assets for Class I shares, 1.05% of the Fund's average daily net assets for Class A shares and 1.80% of the Fund's average daily net assets for Class C shares through at least February 28, 2021. This limit excludes certain expenses, as set forth in the Fund's Prospectus.
6
Credit Suisse Commodity Return Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2020 (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 months ended April 30, 2020.
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.
• Hypothetical 5% Fund Return. This helps you to compare the 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.
7
Credit Suisse Commodity Return Strategy Fund
Semiannual Investment Adviser's Report (continued)
April 30, 2020 (unaudited)
Expenses and Value for a $1,000 Investment
for the six-month period ended April 30, 2020
Actual Fund Return | | Class I | | Class A | | Class C | |
Beginning Account Value 11/01/19 | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | |
Ending Account Value 04/30/20 | | $ | 791.50 | | | $ | 790.30 | | | $ | 789.00 | | |
Expenses Paid per $1,000* | | $ | 3.56 | | | $ | 4.67 | | | $ | 8.01 | | |
Hypothetical 5% Fund Return | |
Beginning Account Value 11/01/19 | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | |
Ending Account Value 04/30/20 | | $ | 1,020.89 | | | $ | 1,019.64 | | | $ | 1,015.91 | | |
Expenses Paid per $1,000* | | $ | 4.02 | | | $ | 5.27 | | | $ | 9.02 | | |
| | | Class I | | Class A | | Class C | |
Annualized Expense Ratios* | | | 0.80 | % | | | 1.05 | % | | | 1.80 | % | |
* 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 182/366 to reflect the one-half year period.
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 actual expense reimbursements, if applicable. If those fee waivers and/or expense reimbursements had not been in effect, the Fund's actual expenses would have been higher. Expenses do not reflect additional charges and expenses that are, or may be, imposed under the variable contracts or plans. Such charges and expenses are described in the prospectus of the insurance company separate account or in the plan documents or other informational materials supplied by plan sponsors. The Fund's expenses should be considered with these charges and expenses in evaluating the overall cost of investing in the separate account.
For more information, please refer to the Fund's Prospectus.
Portfolio Breakdown**
United States Agency Obligations | | | 83.00 | % | |
United States Treasury Obligations | | | 17.00 | | |
Total | | | 100.00 | % | |
** Expressed as a percentage of total investments (excluding securities lending collateral, if applicable) and may vary over time.
8
Credit Suisse Commodity Return Strategy Fund
Consolidated Schedule of Investments
April 30, 2020 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| UNITED STATES AGENCY OBLIGATIONS (77.9%) | | | |
$ | 23,011 | | | Federal Farm Credit Banks | | (AA+, Aaa) | | 04/28/25 | | | 1.010 | | | $ | 22,988,387 | | |
| | 15,000 | | | Federal Farm Credit Banks,
LIBOR 1M + 0.160%(1) | | (AA+, Aaa) | | 10/04/21 | | | 1.142 | | | | 15,053,292 | | |
| | 56,700 | | | Federal Farm Credit Banks, 1M + 0.130%(1) | | (AA+, Aaa) | | 11/05/21 | | | 1.112 | | | | 56,861,686 | | |
| | 10,000 | | | Federal Farm Credit Banks, LIBOR 1M + 0.100%(1) | | (AA+, Aaa) | | 12/23/21 | | | 0.725 | | | | 10,012,429 | | |
| | 78,750 | | | Federal Farm Credit Banks | | (AA+, Aaa) | | 04/08/22 | | | 0.950 | | | | 78,928,489 | | |
| | 28,000 | | | Federal Farm Credit Banks,
USBMMY3M + 0.270%(1) | | (AA+, Aaa) | | 05/16/22 | | | 0.390 | | | | 28,017,433 | | |
| | 10,000 | | | Federal Farm Credit Banks | | (AA+, Aaa) | | 06/30/22 | | | 1.000 | | | | 10,007,512 | | |
| | 2,500 | | | Federal Farm Credit Banks | | (AA+, Aaa) | | 08/05/22 | | | 1.630 | | | | 2,500,283 | | |
| | 40,000 | | | Federal Farm Credit Banks, SOFR + 0.310%(1) | | (AA+, Aaa) | | 11/07/22 | | | 0.340 | | | | 39,928,555 | | |
| | 20,000 | | | Federal Farm Credit Banks,
USBMMY3M + 0.420%(1) | | (AA+, Aaa) | | 11/07/22 | | | 0.540 | | | | 20,076,458 | | |
| | 10,252 | | | Federal Farm Credit Banks | | (AA+, Aaa) | | 04/24/24 | | | 0.980 | | | | 10,253,083 | | |
| | 16,401 | | | Federal Farm Credit Banks | | (AA+, Aaa) | | 04/09/25 | | | 1.150 | | | | 16,364,378 | | |
| | 45,500 | | | Federal Farm Credit Banks | | (AA+, Aaa) | | 11/25/25 | | | 2.050 | | | | 45,714,844 | | |
| | 6,010 | | | Federal Farm Credit Banks | | (AA+, Aaa) | | 10/15/26 | | | 2.230 | | | | 6,046,200 | | |
| | 39,200 | | | Federal Home Loan Banks,
LIBOR 1M - 0.010%(1) | | (AA+, Aaa) | | 04/05/21 | | | 0.972 | | | | 39,215,578 | | |
| | 34,300 | | | Federal Home Loan Banks,
LIBOR 1M - 0.010%(1) | | (AA+, Aaa) | | 05/03/21 | | | 1.006 | | | | 34,320,222 | | |
| | 25,500 | | | Federal Home Loan Banks,
LIBOR 1M + 0.000%(1) | | (AA+, Aaa) | | 10/15/21 | | | 0.794 | | | | 25,496,298 | | |
| | 2,005 | | | Federal Home Loan Banks | | (AA+, Aaa) | | 08/25/22 | | | 1.801 | | | | 2,006,876 | | |
| | 21,000 | | | Federal Home Loan Banks | | (AA+, Aaa) | | 08/21/24 | | | 2.000 | | | | 21,072,947 | | |
| | 10,000 | | | Federal Home Loan Banks | | (AA+, Aaa) | | 02/11/27 | | | 2.160 | | | | 10,003,314 | | |
| | 54,600 | | | Federal Home Loan Mortgage Corp.,
SOFR + 0.400%(1) | | (AA+, Aaa) | | 10/21/21 | | | 0.430 | | | | 54,591,866 | | |
| | 76,700 | | | Federal Home Loan Mortgage Corp. | | (AA+, Aaa) | | 03/30/22 | | | 1.150 | | | | 76,790,510 | | |
| | 3,400 | | | Federal Home Loan Mortgage Corp. | | (AA+, Aaa) | | 04/06/22 | | | 1.200 | | | | 3,403,707 | | |
| | 17,700 | | | Federal Home Loan Mortgage Corp. | | (AA+, Aaa) | | 04/13/22 | | | 1.050 | | | | 17,725,560 | | |
| | 59,800 | | | Federal Home Loan Mortgage Corp.,
SOFR + 0.130%(1) | | (AA+, Aaa) | | 08/05/22 | | | 0.160 | | | | 59,390,762 | | |
| | 13,400 | | | Federal Home Loan Mortgage Corp. | | (AA+, Aaa) | | 10/07/22 | | | 1.125 | | | | 13,401,497 | | |
| | 25,000 | | | Federal Home Loan Mortgage Corp. | | (AA+, Aaa) | | 01/13/23 | | | 1.800 | | | | 25,023,385 | | |
| | 6,380 | | | Federal Home Loan Mortgage Corp. | | (AA+, Aaa) | | 02/28/23 | | | 1.725 | | | | 6,386,159 | | |
| | 31,300 | | | Federal National Mortgage Association,
SOFR + 0.320%(1) | | (AA+, Aaa) | | 10/22/21 | | | 0.350 | | | | 31,300,000 | | |
| | 34,000 | | | Federal National Mortgage Association,
SOFR + 0.360%(1) | | (AA+, Aaa) | | 01/20/22 | | | 0.390 | | | | 34,057,965 | | |
| | 25,000 | | | Federal National Mortgage Association,
SOFR + 0.300%(1) | | (AA+, Aaa) | | 01/27/22 | | | 0.330 | | | | 24,995,597 | | |
| | 97,500 | | | Federal National Mortgage Association,
SOFR + 0.350%(1) | | (AA+, Aaa) | | 04/07/22 | | | 0.380 | | | | 97,614,359 | | |
| | 33,100 | | | Federal National Mortgage Association,
SOFR + 0.390%(1) | | (AA+, Aaa) | | 04/15/22 | | | 0.420 | | | | 33,158,890 | | |
| | 21,400 | | | Federal National Mortgage Association | | (AA+, Aaa) | | 04/22/25 | | | 0.625 | | | | 21,442,008 | | |
| TOTAL UNITED STATES AGENCY OBLIGATIONS (Cost $993,359,574) | | | 994,150,529 | | |
See Accompanying Notes to Consolidated Financial Statements.
9
Credit Suisse Commodity Return Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2020 (unaudited)
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| UNITED STATES TREASURY OBLIGATIONS (16.0%) | | | |
$ | 20,000 | | | United States Treasury Bills(2) | | (AA+, Aaa) | | 07/14/20 | | | 0.117 | | | $ | 19,996,917 | | |
| | 34,000 | | | United States Treasury Floating Rate Notes,
USBMMY3M + 0.139%(1) | | (AA+, Aaa) | | 04/30/21 | | | 0.264 | | | | 34,037,444 | | |
| | 20,000 | | | United States Treasury Floating Rate Notes,
USBMMY3M + 0.220%(1),(3) | | (AA+, Aaa) | | 07/31/21 | | | 0.345 | | | | 20,041,751 | | |
| | 74,000 | | | United States Treasury Floating Rate Notes,
USBMMY3M + 0.300%(1),(4) | | (AA+, Aaa) | | 10/31/21 | | | 0.425 | | | | 74,272,763 | | |
| | 50,000 | | | United States Treasury Floating Rate Notes,
USBMMY3M + 0.154%(1),(4) | | (AA+, Aaa) | | 01/31/22 | | | 0.279 | | | | 50,066,735 | | |
| | 5,200 | | | United States Treasury Note | | (AA+, Aaa) | | 05/31/20 | | | 1.375 | | | | 5,205,474 | | |
| TOTAL UNITED STATES TREASURY OBLIGATIONS (Cost $203,207,338) | | | 203,621,084 | | |
| TOTAL INVESTMENTS AT VALUE (93.9%) (Cost $1,196,566,912) | | | 1,197,771,613 | | |
| OTHER ASSETS IN EXCESS OF LIABILITIES (6.1%) | | | 77,984,178 | | |
| NET ASSETS (100.0%) | | $ | 1,275,755,791 | | |
† 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.
(1) Variable rate obligation — The interest rate shown is the rate in effect as of April 30, 2020.
(2) Securities are zero coupon. Rate presented is yield to maturity as of April 30, 2020.
(3) At April 30, 2020, $5,010,400 in the value of this securities has been pledged to cover initial margin requirements for open futures contracts.
(4) At April 30, 2020, $55,365,021 in the value of these securities has been pledged as collateral for open swap contracts.
INVESTMENT ABBREVIATIONS
1M = 1 Month
LIBOR = London Interbank Offered Rate
SOFR = Secured Overnight Financing Rate
USBMMY3M = U.S. Treasury 3 Month Bill Money Market Yield
Futures Contracts
Contract Description | | Currency | | Expiration
Date | | Number of
Contracts | | Notional
Value | | Net Unrealized
Appreciation
(Depreciation) | |
Contracts to Purchase | |
Agriculture | | | | | | | | | | | |
Soybean Meal Futures | | USD | | | | Mar 2021 | | | 777 | | | $ | 22,836,030 | | | $ | (1,370,449 | ) | |
Energy | |
Light Sweet Crude Oil Futures | | USD | | | | Aug 2020 | | | 108 | | | | 2,631,960 | | | $ | (26,958 | ) | |
Light Sweet Crude Oil Futures | | USD | | | | Dec 2020 | | | 100 | | | | 2,962,000 | | | | (528,922 | ) | |
Natural Gas Futures | | USD | | | | Jan 2021 | | | 139 | | | | 4,329,850 | | | | 524,296 | | |
Natural Gas Futures | | USD | | | | Mar 2021 | | | 139 | | | | 4,078,260 | | | | 455,094 | | |
| | | $ | 423,510 | | |
See Accompanying Notes to Consolidated Financial Statements.
10
Credit Suisse Commodity Return Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2020 (unaudited)
Futures Contracts (continued)
Contract Description | | Currency | | Expiration
Date | | Number of
Contracts | | Notional
Value | | Net Unrealized
Appreciation
(Depreciation) | |
Contracts to Sell | |
Energy | | | | | | | | | | | |
Light Sweet Crude Oil Futures | | USD | | | | Jul 2020 | | | (108 | ) | | | (2,359,800 | ) | | $ | 13,014 | | |
Light Sweet Crude Oil Futures | | USD | | | | Sep 2020 | | | (100 | ) | | | (2,637,000 | ) | | | 745,686 | | |
Natural Gas Futures | | USD | | | | Nov 2020 | | | (139 | ) | | | (3,700,180 | ) | | | (513,966 | ) | |
Natural Gas Futures | | USD | | | | Apr 2021 | | | (139 | ) | | | (3,637,630 | ) | | | (354,935 | ) | |
| | | | | | | | | | | $ | (1,057,140 | ) | |
Commodity Index Swap Contracts
Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive
Return of the
Reference
Index | | Pay | | Payment
Frequency | | Upfront
Premiums
Paid/
(Received) | | Net Unrealized
Appreciation
(Depreciation) | |
USD | | | | $ | 10,501,656 | | | 05/26/20 | | Bank of America | | Bloomberg Commodity
Index 2 Month Forward
Total Return | | | 0.24 | % | | At
Maturity | | $ | — | | | $ | 15,710 | | |
USD | | | | | 25,999,490 | | | 05/26/20 | | Bank of America | | Bloomberg Commodity
Index 3 Month Forward
Total Return | | | 0.24 | % | | At
Maturity | | | — | | | | (258,263 | ) | |
USD | | | | | 139,092,747 | | | 05/26/20 | | Bank of America | | Merrill Lynch Commodity
Index Extra CS2T
Total Return(a) | | | 0.38 | % | | At
Maturity | | | — | | | | 244,341 | | |
USD | | | | | 10,376,777 | | | 05/26/20 | | Bank of America | | BofA Merrill Lynch
Commodity MLCILP2
Total Return Strategy(a) | | | 0.28 | % | | At
Maturity | | | — | | | | 10,091 | | |
USD | | | | | 57,322,561 | | | 05/26/20 | | BNP Paribas | | Bloomberg Commodity
Index Total Return | | | 0.24 | % | | At
Maturity | | | — | | | | 114,555 | | |
USD | | | | | 8,773,143 | | | 05/26/20 | | BNP Paribas | | Bloomberg Commodity
Index 2 Month Forward
Total Return | | | 0.26 | % | | At
Maturity | | | — | | | | 13,087 | | |
USD | | | | | 51,242,799 | | | 05/26/20 | | CIBC | | Bloomberg Commodity
Index Total Return | | | 0.24 | % | | At
Maturity | | | — | | | | (302,979 | ) | |
USD | | | | | 16,697,043 | | | 05/26/20 | | CIBC | | Bloomberg Commodity
Index 2 Month Forward
Total Return | | | 0.29 | % | | At
Maturity | | | — | | | | 24,818 | | |
USD | | | | | 120,805,754 | | | 05/26/20 | | Citigroup | | Bloomberg Commodity
Index Total Return | | | 0.23 | % | | At
Maturity | | | — | | | | 51,016 | | |
USD | | | | | 123,150,386 | | | 05/26/20 | | Goldman Sachs | | Bloomberg Commodity
Index Total Return | | | 0.22 | % | | At
Maturity | | | — | | | | 246,618 | | |
USD | | | | | 60,382,918 | | | 05/26/20 | | Goldman Sachs | | Bloomberg Commodity
Index 2 Month Forward
Total Return | | | 0.28 | % | | At
Maturity | | | — | | | | 89,866 | | |
USD | | | | | 35,290,578 | | | 05/26/20 | | JP Morgan Chase | | Bloomberg Commodity
Index Total Return | | | 0.22 | % | | At
Maturity | | | — | | | | 70,672 | | |
See Accompanying Notes to Consolidated Financial Statements.
11
Credit Suisse Commodity Return Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2020 (unaudited)
| Commodity Index Swap Contracts (continued) | |
Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive
Return of the
Reference
Index | | Pay | | Payment
Frequency | | Upfront
Premiums
Paid/
(Received) | | Net Unrealized
Appreciation
(Depreciation) | |
USD | | | | $ | 12,505,594 | | | 05/26/20 | | JP Morgan Chase | | Bloomberg Commodity
Index 2 Month Forward
Total Return | | | 0.23 | % | | At
Maturity | | $ | — | | | $ | 18,720 | | |
USD | | | | | 26,584,468 | | | 05/26/20 | | Macquarie | | Bloomberg Commodity
Index Total Return | | | 0.21 | % | | At
Maturity | | | — | | | | 53,288 | | |
USD | | | | | 133,220,043 | | | 05/26/20 | | Macquarie | | Macquarie Commodity
Customized
Product 112T Index(b) | | | 0.38 | % | | At
Maturity | | | — | | | | (34,039 | ) | |
USD | | | | | 37,975,640 | | | 05/26/20 | | Morgan Stanley | | Bloomberg Commodity
Index 2 Month Forward
Total Return | | | 0.26 | % | | At
Maturity | | | — | | | | 56,663 | | |
USD | | | | | 126,529,458 | | | 05/26/20 | | RBC Capital | | Bloomberg Commodity
Index Total Return | | | 0.24 | % | | At
Maturity | | | — | | | | 252,900 | | |
USD | | | | | 38,255,764 | | | 05/26/20 | | RBC Capital | | Bloomberg Commodity
Index 2 Month Forward
Total Return | | | 0.30 | % | | At
Maturity | | | — | | | | 56,788 | | |
USD | | | | | 8,798,891 | | | 05/26/20 | | Societe Generale | | Bloomberg Commodity
Index Total Return | | | 0.23 | % | | At
Maturity | | | — | | | | 17,604 | | |
USD | | | | | 388,293 | | | 05/26/20 | | Societe Generale | | Bloomberg Commodity
Index 2 Month Forward
Total Return | | | 0.26 | % | | At
Maturity | | | — | | | | 579 | | |
USD | | | | | 166,806,460 | | | 05/26/20 | | Societe Generale | | Societe Generale
P04 TR Index(c) | | | 0.38 | % | | At
Maturity | | | — | | | | 584,528 | | |
USD | | | | | 61,338,159 | | | 05/26/20 | | UBS | | Bloomberg Commodity
Index Total Return | | | 0.23 | % | | At
Maturity | | | — | | | | 122,717 | | |
USD | | | | | 12,421,492 | | | 05/26/20 | | UBS | | Bloomberg Commodity
Index 2 Month Forward
Total Return | | | 0.25 | % | | At
Maturity | | | — | | | | 18,558 | | |
| | | $ | 1,467,838 | | |
Commodity Swap Contracts
Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive
Return of the
Reference
Index | | Pay | | Payment
Frequency | | Upfront
Premiums
Paid/
(Received) | | Net Unrealized
Appreciation
(Depreciation) | |
USD | | | | $ | (24,254,055 | ) | | 02/19/21 | | Bank of America | | Return on Soybean
Meal Mar 2021 Futures | | | — | | | At
Maturity | | $ | — | | | $ | 1,418,025 | | |
(a) The index constituents are available on the counterparty's website.
(b) 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.
See Accompanying Notes to Consolidated Financial Statements.
12
Credit Suisse Commodity Return Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2020 (unaudited)
Commodity Name | | Weight | | Quantity(1) | | 4/30/20 Value(1) | |
COMEX Gold AUG 20 Futures | | | 18.60 | % | | | 145.66 | | | | 24,776,007 | | |
NYMEX Nat Gas SEP 20 Futures | | | 10.50 | % | | | 600.17 | | | | 13,989,861 | | |
COMEX High Grade Copper SEP 20 Futures | | | 7.38 | % | | | 167.03 | | | | 9,823,613 | | |
CBOT Soybeans NOV 20 Futures | | | 6.34 | % | | | 196.90 | | | | 8,444,461 | | |
CBOT Corn JUL 20 Futures | | | 6.14 | % | | | 511.20 | | | | 8,179,207 | | |
LME Aluminium SEP 20 Futures | | | 4.41 | % | | | 155.85 | | | | 5,876,691 | | |
COMEX Silver JUL 20 Futures | | | 3.99 | % | | | 71.07 | | | | 5,320,394 | | |
CBOT Soy Meal DEC 20 Futures | | | 3.97 | % | | | 177.63 | | | | 5,291,605 | | |
NYMEX WTI Crude Oil JUL 20 Futures | | | 3.70 | % | | | 225.31 | | | | 4,923,000 | | |
CBOT Wheat JUL 20 Futures | | | 3.67 | % | | | 186.35 | | | | 4,884,823 | | |
ICE Brent Crude Oil JUL 20 Futures | | | 3.61 | % | | | 181.64 | | | | 4,809,952 | | |
LME Zinc DEC 20 Futures | | | 3.49 | % | | | 95.18 | | | | 4,649,462 | | |
CME Live Cattle JUN 20 Futures | | | 3.36 | % | | | 130.03 | | | | 4,470,277 | | |
LME Nickel JUN 20 Futures | | | 3.02 | % | | | 55.20 | | | | 4,027,691 | | |
NYBOT Coffee JUL 20 Futures | | | 2.86 | % | | | 95.60 | | | | 3,810,986 | | |
NYBOT Sugar JUL 20 Futures | | | 2.85 | % | | | 326.70 | | | | 3,794,435 | | |
CBOT Bean Oil JUL 20 Futures | | | 2.78 | % | | | 232.30 | | | | 3,707,448 | | |
KCBOT Kansas Wheat JUL 20 Futures | | | 1.91 | % | | | 104.52 | | | | 2,550,309 | | |
CME Lean Hogs JUN 20 Futures | | | 1.85 | % | | | 104.78 | | | | 2,470,742 | | |
NYBOT Cotton JUL 20 Futures | | | 1.53 | % | | | 71.29 | | | | 2,043,619 | | |
ICE Gas Oil JUL 20 Futures | | | 1.49 | % | | | 73.78 | | | | 1,988,290 | | |
NYMEX Unleaded Gasoline JUL 20 Futures | | | 1.34 | % | | | 52.52 | | | | 1,781,953 | | |
NYMEX Heating Oil JUL 20 Futures | | | 1.19 | % | | | 42.59 | | | | 1,582,114 | | |
(1) Amounts represent quantity and value of index components as they relate specifically to the Fund's swap position as of April 30, 2020.
(c) 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) | | 4/30/20 Value(1) | |
COMEX Gold DEC 20 Futures | | | 18.63 | % | | | 182.93 | | | | 31,187,233 | | |
NYMEX Nat Gas SEP 20 Futures | | | 10.34 | % | | | 742.58 | | | | 17,309,500 | | |
COMEX High Grade Copper DEC 20 Futures | | | 7.26 | % | | | 205.63 | | | | 12,145,109 | | |
CBOT Soybeans JUL 20 Futures | | | 6.33 | % | | | 247.61 | | | | 10,588,258 | | |
CBOT Corn SEP 20 Futures | | | 6.12 | % | | | 627.57 | | | | 10,245,081 | | |
LME Aluminium SEP 20 Futures | | | 4.38 | % | | | 194.24 | | | | 7,323,894 | | |
NYMEX WTI Crude Oil NOV 20 Futures | | | 4.20 | % | | | 244.52 | | | | 7,022,568 | | |
COMEX Silver DEC 20 Futures | | | 4.03 | % | | | 88.68 | | | | 6,737,982 | | |
CBOT Soy Meal JUL 20 Futures | | | 3.93 | % | | | 223.00 | | | | 6,580,623 | | |
CBOT Wheat JUL 20 Futures | | | 3.60 | % | | | 230.04 | | | | 6,029,867 | | |
ICE Brent Crude Oil SEP 20 Futures | | | 3.59 | % | | | 201.58 | | | | 6,003,082 | | |
LME Zinc SEP 20 Futures | | | 3.44 | % | | | 118.39 | | | | 5,753,651 | | |
CME Live Cattle JUN 20 Futures | | | 3.39 | % | | | 164.87 | | | | 5,668,275 | | |
NYBOT Sugar JUL 20 Futures | | | 3.00 | % | | | 432.98 | | | | 5,028,795 | | |
LME Nickel SEP 20 Futures | | | 2.96 | % | | | 67.43 | | | | 4,946,767 | | |
NYBOT Coffee DEC 20 Futures | | | 2.87 | % | | | 117.25 | | | | 4,807,823 | | |
See Accompanying Notes to Consolidated Financial Statements.
13
Credit Suisse Commodity Return Strategy Fund
Consolidated Schedule of Investments (continued)
April 30, 2020 (unaudited)
Commodity Name | | Weight | | Quantity(1) | | 4/30/20 Value(1) | |
CBOT Bean Oil JUL 20 Futures | | | 2.76 | % | | | 289.91 | | | | 4,627,027 | | |
CME Lean Hogs JUN 20 Futures | | | 1.97 | % | | | 139.64 | | | | 3,292,823 | | |
KCBOT Kansas Wheat JUL 20 Futures | | | 1.89 | % | | | 129.81 | | | | 3,167,270 | | |
NYBOT Cotton JUL 20 Futures | | | 1.49 | % | | | 87.13 | | | | 2,497,657 | | |
ICE Gas Oil SEP 20 Futures | | | 1.41 | % | | | 81.67 | | | | 2,352,016 | | |
NYMEX Unleaded Gasoline JUL 20 Futures | | | 1.31 | % | | | 64.43 | | | | 2,186,287 | | |
NYMEX Heating Oil JUL 20 Futures | | | 1.12 | % | | | 50.65 | | | | 1,881,613 | | |
(1) Amounts represent quantity and value of index components as they relate specifically to the Fund's swap position as of April 30, 2020.
See Accompanying Notes to Consolidated Financial Statements.
14
Credit Suisse Commodity Return Strategy Fund
Consolidated Statement of Assets and Liabilities
April 30, 2020 (unaudited)
Assets | |
Investments at value (Cost $1,196,566,912) (Note 2) | | $ | 1,197,771,613 | | |
Cash | | | 28,691,281 | | |
Cash segregated held at brokers for futures and swap contracts (Note 2) | | | 42,974,811 | | |
Receivable for Fund shares sold | | | 10,450,956 | | |
Unrealized appreciation on open swap contracts (Note 2) | | | 3,481,144 | | |
Interest receivable | | | 1,390,576 | | |
Variation margin receivable on futures contracts (Note 2) | | | 61,850 | | |
Prepaid expenses and other assets | | | 140,593 | | |
Total assets | | | 1,284,962,824 | | |
Liabilities | |
Investment advisory fee payable (Note 3) | | | 672,071 | | |
Administrative services fee payable (Note 3) | | | 84,223 | | |
Shareholder servicing/Distribution fee payable (Note 3) | | | 8,637 | | |
Payable for investments purchased | | | 5,051,425 | | |
Payable for Fund shares redeemed | | | 2,078,362 | | |
Unrealized depreciation on open swap contracts (Note 2) | | | 595,281 | | |
Trustees' fee payable | | | 16,304 | | |
Accrued expenses | | | 700,730 | | |
Total liabilities | | | 9,207,033 | | |
Net Assets | |
Capital stock, $.001 par value (Note 6) | | | 356,750 | | |
Paid-in capital (Note 6) | | | 1,821,451,272 | | |
Total distributable earnings (loss) | | | (546,052,231 | ) | |
Net assets | | $ | 1,275,755,791 | | |
I Shares | |
Net assets | | $ | 1,241,034,300 | | |
Shares outstanding | | | 346,788,441 | | |
Net asset value, offering price and redemption price per share | | $ | 3.58 | | |
A Shares | |
Net assets | | $ | 32,356,769 | | |
Shares outstanding | | | 9,242,084 | | |
Net asset value and redemption price per share | | $ | 3.50 | | |
Maximum offering price per share (net asset value/(1-4.75%)) | | $ | 3.67 | | |
C Shares | |
Net assets | | $ | 2,364,722 | | |
Shares outstanding | | | 719,455 | | |
Net asset value and offering price per share | | $ | 3.29 | | |
See Accompanying Notes to Consolidated Financial Statements.
15
Credit Suisse Commodity Return Strategy Fund
Consolidated Statement of Operations
For the Six Months Ended April 30, 2020 (unaudited)
Investment Income | |
Interest | | $ | 11,300,435 | | |
Other | | | 1,500 | | |
Securities lending (net of rebates) | | | 961 | | |
Total investment income | | | 11,302,896 | | |
Expenses | |
Investment advisory fees (Note 3) | | | 4,414,444 | | |
Administrative services fees (Note 3) | | | 122,098 | | |
Shareholder servicing/Distribution fees (Note 3) | |
Class A | | | 48,224 | | |
Class C | | | 14,491 | | |
Transfer agent fees (Note 3) | | | 1,058,082 | | |
Printing fees | | | 106,507 | | |
Registration fees | | | 62,339 | | |
Custodian fees | | | 59,206 | | |
Insurance expense | | | 36,341 | | |
Trustees' fees | | | 32,351 | | |
Audit and tax fees | | | 31,958 | | |
Legal fees | | | 26,388 | | |
Commitment fees (Note 4) | | | 16,967 | | |
Miscellaneous expense | | | 18,963 | | |
Total expenses | | | 6,048,359 | | |
Net investment income | | | 5,254,537 | | |
Net Realized and Unrealized Gain (Loss) from Investments, Futures Contracts and Swap Contracts | |
Net realized loss from investments | | | (309,589 | ) | |
Net realized loss from futures contracts | | | (1,946,854 | ) | |
Net realized loss from swap contracts | | | (322,225,304 | ) | |
Net change in unrealized appreciation (depreciation) from investments | | | 2,116,251 | | |
Net change in unrealized appreciation (depreciation) from futures contracts | | | (1,019,232 | ) | |
Net change in unrealized appreciation (depreciation) from swap contracts | | | (12,372,670 | ) | |
Net realized and unrealized loss from investments, futures contracts and swap contracts | | | (335,757,398 | ) | |
Net decrease in net assets resulting from operations | | $ | (330,502,861 | ) | |
See Accompanying Notes to Consolidated Financial Statements.
16
Credit Suisse Commodity Return Strategy Fund
Consolidated Statements of Changes in Net Assets
| | | For the Six Months
Ended
April 30, 2020
(unaudited) | | For the Year
Ended
October 31, 2019 | |
From Operations | |
Net investment income | | $ | 5,254,537 | | | $ | 34,693,359 | | |
Net realized loss from investments, futures contracts and swap contracts | | | (324,481,747 | ) | | | (185,142,570 | ) | |
Net change in unrealized appreciation (depreciation) from investments,
futures contracts and swap contracts | | | (11,275,651 | ) | | | 79,880,680 | | |
Net decrease in net assets resulting from operations | | | (330,502,861 | ) | | | (70,568,531 | ) | |
From Distributions | |
From distributable earnings | |
Class I | | | (5,523,180 | ) | | | (27,184,125 | ) | |
Class A | | | (96,978 | ) | | | (867,010 | ) | |
Class C | | | — | | | | (15,463 | ) | |
Net decrease in net assets resulting from dividends | | | (5,620,158 | ) | | | (28,066,598 | ) | |
From Capital Share Transactions (Note 6) | |
Proceeds from sale of shares | | | 615,181,866 | | | | 1,021,883,081 | | |
Reinvestment of dividends | | | 3,364,786 | | | | 15,834,996 | | |
Net asset value of shares redeemed | | | (688,678,944 | ) | | | (2,002,760,382 | ) | |
Net decrease in net assets from capital share transactions | | | (70,132,292 | ) | | | (965,042,305 | ) | |
Net decrease in net assets | | | (406,255,311 | ) | | | (1,063,677,434 | ) | |
Net Assets | |
Beginning of period | | | 1,682,011,102 | | | | 2,745,688,536 | | |
End of period | | $ | 1,275,755,791 | | | $ | 1,682,011,102 | | |
See Accompanying Notes to Consolidated Financial Statements.
17
Credit Suisse Commodity Return Strategy Fund
Consolidated Financial Highlights
(For a Class I Share of the Fund Outstanding Throughout Each Period)
| | | For the Six
Months Ended
April 30, 2020 | | For the Year Ended October 31, | |
| | | (unaudited) | | 2019 | | 2018 | | 2017 | | 2016 | | 2015 | |
Per share data | |
Net asset value, beginning of period | | $ | 4.54 | | | $ | 4.75 | | | $ | 5.04 | | | $ | 4.91 | | | $ | 5.02 | | | $ | 6.76 | | |
INVESTMENT OPERATIONS | |
Net investment income (loss)1 | | | 0.01 | | | | 0.07 | | | | 0.05 | | | | 0.01 | | | | (0.01 | ) | | | (0.03 | ) | |
Net gain (loss) from investments,
futures contracts and swap contracts
(both realized and unrealized) | | | (0.95 | ) | | | (0.22 | ) | | | (0.17 | ) | | | 0.12 | | | | (0.10 | ) | | | (1.71 | ) | |
Total from investment operations | | | (0.94 | ) | | | (0.15 | ) | | | (0.12 | ) | | | 0.13 | | | | (0.11 | ) | | | (1.74 | ) | |
LESS DIVIDENDS | |
Dividends from net investment income | | | (0.02 | ) | | | (0.06 | ) | | | (0.17 | ) | | | — | | | | — | | | | — | | |
Total dividends | | | (0.02 | ) | | | (0.06 | ) | | | (0.17 | ) | | | — | | | | — | | | | — | | |
Net asset value, end of period | | $ | 3.58 | | | $ | 4.54 | | | $ | 4.75 | | | $ | 5.04 | | | $ | 4.91 | | | $ | 5.02 | | |
Total return2 | | | (20.85 | )% | | | (3.13 | )% | | | (2.48 | )% | | | 2.65 | % | | | (2.19 | )% | | | (25.74 | )% | |
RATIOS AND SUPPLEMENTAL DATA | |
Net assets, end of period (000s omitted) | | $ | 1,241,034 | | | $ | 1,634,169 | | | $ | 2,654,009 | | | $ | 3,383,007 | | | $ | 3,874,976 | | | $ | 5,103,563 | | |
Ratio of net expenses to average
net assets | | | 0.80 | %3 | | | 0.78 | % | | | 0.78 | % | | | 0.79 | % | | | 0.79 | % | | | 0.78 | % | |
Ratio of net investment income
(loss) to average net assets | | | 0.71 | %3 | | | 1.62 | % | | | 1.02 | % | | | 0.23 | % | | | (0.16 | )% | | | (0.48 | )% | |
Portfolio turnover rate | | | 132 | % | | | 130 | % | | | 90 | % | | | 86 | % | | | 151 | % | | | 122 | % | |
1 Per share information is calculated using the average shares outstanding method.
2 Total returns are historical and include change in share price and reinvestment of all dividends and distributions. Total returns for periods less than one year are not annualized.
3 Annualized.
See Accompanying Notes to Consolidated Financial Statements.
18
Credit Suisse Commodity Return Strategy Fund
Consolidated Financial Highlights
(For a Class A Share of the Fund Outstanding Throughout Each Period)
| | | For the Six
Months Ended
April 30, 2020 | | For the Year Ended October 31, | |
| | | (unaudited) | | 2019 | | 2018 | | 2017 | | 2016 | | 2015 | |
Per share data | |
Net asset value, beginning of period | | $ | 4.44 | | | $ | 4.64 | | | $ | 4.93 | | | $ | 4.81 | | | $ | 4.93 | | | $ | 6.65 | | |
INVESTMENT OPERATIONS | |
Net investment income (loss)1 | | | 0.01 | | | | 0.06 | | | | 0.04 | | | | (0.00 | )2 | | | (0.02 | ) | | | (0.04 | ) | |
Net gain (loss) from investments, futures
contracts and swap contracts
(both realized and unrealized) | | | (0.94 | ) | | | (0.21 | ) | | | (0.18 | ) | | | 0.12 | | | | (0.10 | ) | | | (1.68 | ) | |
Total from investment operations | | | (0.93 | ) | | | (0.15 | ) | | | (0.14 | ) | | | 0.12 | | | | (0.12 | ) | | | (1.72 | ) | |
LESS DIVIDENDS | |
Dividends from net investment income | | | (0.01 | ) | | | (0.05 | ) | | | (0.15 | ) | | | — | | | | — | | | | — | | |
Total dividends | | | (0.01 | ) | | | (0.05 | ) | | | (0.15 | ) | | | — | | | | — | | | | — | | |
Net asset value, end of period | | $ | 3.50 | | | $ | 4.44 | | | $ | 4.64 | | | $ | 4.93 | | | $ | 4.81 | | | $ | 4.93 | | |
Total return3 | | | (20.97 | )% | | | (3.24 | )% | | | (2.97 | )% | | | 2.49 | % | | | (2.43 | )% | | | (25.86 | )% | |
RATIOS AND SUPPLEMENTAL DATA | |
Net assets, end of period (000s omitted) | | $ | 32,357 | | | $ | 44,469 | | | $ | 86,467 | | | $ | 93,047 | | | $ | 94,484 | | | $ | 132,417 | | |
Ratio of net expenses to average
net assets | | | 1.05 | %4 | | | 1.03 | % | | | 1.03 | % | | | 1.04 | % | | | 1.04 | % | | | 1.03 | % | |
Ratio of net investment income
(loss) to average net assets | | | 0.48 | %4 | | | 1.38 | % | | | 0.78 | % | | | (0.01 | )% | | | (0.42 | )% | | | (0.73 | )% | |
Portfolio turnover rate | | | 132 | % | | | 130 | % | | | 90 | % | | | 86 | % | | | 151 | % | | | 122 | % | |
1 Per share information is calculated using the average shares outstanding method.
2 This amount represents less than $0.01 per share.
3 Total returns are historical and include change in share price, reinvestment of all dividends and distributions and no sales charge. Total returns for periods less than one year are not annualized.
4 Annualized.
See Accompanying Notes to Consolidated Financial Statements.
19
Credit Suisse Commodity Return Strategy Fund
Consolidated Financial Highlights
(For a Class C Share of the Fund Outstanding Throughout Each Period)
| | | For the Six
Months Ended
April 30, 2020 | | For the Year Ended October 31, | |
| | | (unaudited) | | 2019 | | 2018 | | 2017 | | 2016 | | 2015 | |
Per share data | |
Net asset value, beginning of period | | $ | 4.17 | | | $ | 4.37 | | | $ | 4.61 | | | $ | 4.54 | | | $ | 4.68 | | | $ | 6.37 | | |
INVESTMENT OPERATIONS | |
Net investment income (loss)1 | | | (0.01 | ) | | | 0.03 | | | | 0.002 | | | | (0.04 | ) | | | (0.05 | ) | | | (0.08 | ) | |
Net gain (loss) from investments,
futures contracts and swap contracts
(both realized and unrealized) | | | (0.87 | ) | | | (0.21 | ) | | | (0.15 | ) | | | 0.11 | | | | (0.09 | ) | | | (1.61 | ) | |
Total from investment operations | | | (0.88 | ) | | | (0.18 | ) | | | (0.15 | ) | | | 0.07 | | | | (0.14 | ) | | | (1.69 | ) | |
LESS DIVIDENDS | |
Dividends from net investment income | | | — | | | | (0.02 | ) | | | (0.09 | ) | | | — | | | | — | | | | — | | |
Total dividends | | | — | | | | (0.02 | ) | | | (0.09 | ) | | | — | | | | — | | | | — | | |
Net asset value, end of period | | $ | 3.29 | | | $ | 4.17 | | | $ | 4.37 | | | $ | 4.61 | | | $ | 4.54 | | | $ | 4.68 | | |
Total return3 | | | (21.10 | )% | | | (4.23 | )% | | | (3.42 | )% | | | 1.54 | % | | | (2.99 | )% | | | (26.53 | )% | |
RATIOS AND SUPPLEMENTAL DATA | |
Net assets, end of period (000s omitted) | | $ | 2,365 | | | $ | 3,374 | | | $ | 5,213 | | | $ | 6,038 | | | $ | 6,516 | | | $ | 8,155 | | |
Ratio of net expenses to average
net assets | | | 1.80 | %4 | | | 1.78 | % | | | 1.78 | % | | | 1.79 | % | | | 1.79 | % | | | 1.78 | % | |
Ratio of net investment income
(loss) to average net assets | | | (0.27 | )%4 | | | 0.62 | % | | | 0.02 | % | | | (0.77 | )% | | | (1.16 | )% | | | (1.49 | )% | |
Portfolio turnover rate | | | 132 | % | | | 130 | % | | | 90 | % | | | 86 | % | | | 151 | % | | | 122 | % | |
1 Per share information is calculated using the average shares outstanding method.
2 This amount represents less than $0.01 per share.
3 Total returns are historical and include change in share price, reinvestment of all dividends and distributions and no sales charge. Total returns for periods less than one year are not annualized.
4 Annualized.
See Accompanying Notes to Consolidated Financial Statements.
20
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements
April 30, 2020 (unaudited)
Credit Suisse Commodity Return Strategy Fund (the "Fund"), a series of Credit Suisse Commodity Strategy Funds (the "Trust"), a Delaware statutory trust, 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 that exceeds the return of its benchmark index, the Bloomberg Commodity Index Total Return (the "Benchmark"). The Trust was organized under the laws of the State of Delaware as a statutory trust on May 19, 2004.
Credit Suisse Asset Management, LLC ("Credit Suisse"), the investment adviser to the Fund, is registered as an investment adviser with the Securities and Exchange Commission and as a Commodity Pool Operator with the Commodity Futures Trading Commission. The Fund intends to gain exposure to commodity derivatives through investing in a wholly-owned subsidiary, Credit Suisse Cayman Commodity Fund I, Ltd. (the "Subsidiary"), organized under the laws of the Cayman Islands. The Subsidiary invests in commodity-linked derivative instruments, such as swaps and futures. The Subsidiary may also invest in debt securities, some of which are intended to serve as margin or collateral for the Subsidiary's derivatives positions.
The Subsidiary is managed by the same portfolio managers that manage the Fund and the accompanying financial statements reflect the financial position of the Fund and the Subsidiary and the results of operations on a consolidated basis. The consolidated financial statements include portfolio holdings of the Fund and the Subsidiary and all intercompany transactions and balances have been eliminated. The Fund may invest up to 25% of its total assets in the Subsidiary. As of April 30, 2020, the Fund held $283,201,126 in the Subsidiary, representing 22.2% of the Fund's consolidated net assets. For the six months ended April 30, 2020, the net realized loss on securities and other financial instruments held in the Subsidiary was $324,069,942.
Subsequent references to the Fund within the Notes to Consolidated Financial Statements collectively refer to the Fund and the Subsidiary.
The Fund offers three classes of shares: Class I shares, Class A shares and Class C shares. Each class of shares represents an equal pro rata interest in the Fund, except the share classes bear different expenses. Class A shares are sold subject to a front-end sales charge of up to 4.75%. Class C shares are sold subject to a contingent deferred sales charge ("CDSC") of 1.00% if the shares are redeemed within the first year of purchase. Class I shares are sold without a sales charge. Effective February 20, 2020, Class C shares, upon the ten year anniversary of purchase will convert to Class A shares.
21
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2020 (unaudited)
Note 2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its consolidated financial statements. The policies are in accordance with generally accepted accounting principles in the United States of America ("GAAP"). The preparation of consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the consolidated financial statements. Actual results could differ from those estimates. The Fund is considered an investment company for financial reporting purposes under GAAP and follows the accounting and reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 — Financial Services — Investment Companies.
A) 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 which, pursuant to the policies adopted by the Board, is 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 affected 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
22
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2020 (unaudited)
Note 2. Significant Accounting Policies (continued)
to the expiration date of the forward and calculates its present value. 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. 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 Committee, in accordance with procedures adopted by the Board.
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.
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:
• Level 1 – quoted prices in active markets for identical investments
• Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
• 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.
23
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2020 (unaudited)
Note 2. Significant Accounting Policies (continued)
The following is a summary of the inputs used as of April 30, 2020 in valuing the Fund's assets and liabilities carried at fair value:
Assets | | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities | |
United States Agency Obligations | | $ | — | | | $ | 994,150,529 | | | $ | — | | | $ | 994,150,529 | | |
United States Treasury Obligations | | | — | | | | 203,621,084 | | | | — | | | | 203,621,084 | | |
| | | $ | — | | | $ | 1,197,771,613 | | | $ | — | | | $ | 1,197,771,613 | | |
Other Financial Instruments* | |
Futures Contracts | | $ | 1,738,090 | | | $ | — | | | $ | — | | | $ | 1,738,090 | | |
Swap Contracts** | | | — | | | | 3,481,144 | | | | — | | | | 3,481,144 | | |
Liabilities | | Level 1 | | Level 2 | | Level 3 | | Total | |
Other Financial Instruments | |
Futures Contracts | | $ | 2,795,230 | | | $ | — | | | $ | — | | | $ | 2,795,230 | | |
Swap Contracts** | | | — | | | | 595,281 | | | | | | 595,281 | | |
* Other financial instruments include unrealized appreciation(depreciation) on futures and swap contracts.
** Value includes any premium paid or received with respect to swap contracts, if applicable.
For the six months ended April 30, 2020, there were no transfers among Level 2 and Level 3. All transfers, if any, are assumed to occur at the end of the reporting period.
B) DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES — The Fund adopted amendments to authoritative guidance on disclosures about derivative instruments and hedging activities which require that a fund disclose (a) how and why an entity uses derivative instruments, (b) how derivative instruments and hedging activities are accounted for and (c) how derivative instruments and related hedging activities affect a fund's financial position, financial performance and cash flows. For the six months ended April 30, 2020, the Fund's derivatives did not qualify for hedge accounting as they are held at fair value.
The following table presents the fair value and the location of derivatives within the Consolidated Statement of Assets and Liabilities at April 30, 2020 and the effect of these derivatives on the Consolidated Statement of Operations for the six months ended April 30, 2020.
Primary Underlying Risk | | Derivative
Assets(1) | | Derivative
Liabilities(1) | | Realized
Gain (Loss) | | Change in Unrealized
Appreciation
(Depreciation) | |
Commodity price | |
Futures contracts(2) | | $ | 1,738,090 | | | $ | 2,795,230 | | | $ | (1,946,854 | ) | | $ | (1,019,232 | ) | |
Total return swap contracts | | | 3,481,144 | | | | 595,281 | | | | (322,225,304 | ) | | | (12,372,670 | ) | |
| | | $ | 5,219,234 | | | $ | 3,390,511 | | | $ | (324,172,158 | ) | | $ | (13,391,902 | ) | |
24
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2020 (unaudited)
Note 2. Significant Accounting Policies (continued)
(1) Generally, the balance sheet location for asset derivatives is receivables/net unrealized appreciation (depreciation) and for liability derivatives is payables/net unrealized appreciation (depreciation).
(2) Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only variation margin is reported within the receivables and/or payables on the Statement of Assets and Liabilities.
The notional amount of futures contracts and swap contracts open at April 30, 2020 is reflected in the Consolidated Schedule of Investments. For the six months ended April 30, 2020, the Fund held average monthly notional values on a net basis of $12,961,205, $23,119,152 and $1,150,474,429 in long futures contracts, short futures contracts and swap contracts, respectively.
The Fund is a party to International Swap and Derivatives Association, Inc. ("ISDA") Master Agreements ("Master Agreements") with certain counterparties that govern over-the-counter derivative (including Total Return, Credit Default and Interest Rate Swaps) and foreign exchange contracts entered into by the Fund. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. Termination events applicable to the Fund may occur upon a decline in the Fund's net assets below a specified threshold over a certain period of time.
The following table presents by counterparty the Fund's derivative assets, net of related collateral held by the Fund, at April 30, 2020:
| Counterparty | | Gross Amount
of Derivative
Assets Presented
in the Consolidated
Statement of Assets
and Liabilities(a) | | Financial
Instruments
and Derivatives
Available for Offset | | Non-Cash
Collateral
Received(b) | | Cash
Collateral
Received(b) | | Net Amount
of Derivative
Assets | |
Bank of America | | $ | 1,688,167 | | | $ | (258,263 | ) | | $ | — | | | $ | — | | | $ | 1,429,904 | | |
BNP Paribas | | | 127,642 | | | | — | | | | — | | | | — | | | | 127,642 | | |
CIBC | | | 24,818 | | | | (24,818 | ) | | | — | | | | — | | | | — | | |
Citigroup | | | 51,016 | | | | — | | | | — | | | | — | | | | 51,016 | | |
Goldman Sachs | | | 336,484 | | | | — | | | | — | | | | — | | | | 336,484 | | |
JP Morgan Chase | | | 89,392 | | | | — | | | | — | | | | — | | | | 89,392 | | |
Macquarie | | | 53,288 | | | | (34,039 | ) | | | — | | | | — | | | | 19,249 | | |
Morgan Stanley | | | 56,663 | | | | — | | | | — | | | | — | | | | 56,663 | | |
RBC Capital | | | 309,688 | | | | — | | | | — | | | | — | | | | 309,688 | | |
Societe Generale | | | 602,711 | | | | — | | | | — | | | | — | | | | 602,711 | | |
UBS | | | 141,275 | | | | — | | | | — | | | | — | | | | 141,275 | | |
| | | $ | 3,481,144 | | | $ | (317,120 | ) | | $ | — | | | $ | — | | | $ | 3,164,024 | | |
25
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2020 (unaudited)
Note 2. Significant Accounting Policies (continued)
The following table presents by counterparty the Fund's derivative liabilities, net of related collateral pledged by the Fund, at April 30, 2020:
| Counterparty | | Gross Amount
of Derivative
Liabilities Presented
in the Consolidated
Statement of Assets
and Liabilities(a) | | Financial
Instruments
and Derivatives
Available for Offset | | Non-Cash
Collateral
Pledged(b) | | Cash
Collateral
Pledged(b) | | Net Amount
of Derivative
Liabilities | |
Bank of America | | $ | 258,263 | | | $ | (258,263 | ) | | $ | — | | | $ | — | | | $ | — | | |
CIBC | | | 302,979 | | | | (24,818 | ) | | | — | | | | — | | | | 278,161 | | |
Macquarie | | | 34,039 | | | | (34,039 | ) | | | — | | | | — | | | | — | | |
| | | $ | 595,281 | | | $ | (317,120 | ) | | $ | — | | | $ | — | | | $ | 278,161 | | |
(a) Swap contracts are included.
(b) The actual collateral pledged may be more than the amounts shown.
C) SECURITY TRANSACTIONS AND INVESTMENT INCOME/EXPENSE — Security transactions are accounted for on a trade date basis. Interest income/expense is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Dividend income/expense is recorded on the ex-dividend date. Certain expenses are class-specific expenses, vary by class and are charged only to that 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. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.
D) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income, if any, 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. Dividends and distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations, which may differ from GAAP.
E) FEDERAL AND OTHER TAXES — No provision is made for federal taxes as it is the Fund's intention to continue to qualify as a regulated investment company ("RIC") under the Internal Revenue Code of 1986, as amended (the
26
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2020 (unaudited)
Note 2. Significant Accounting Policies (continued)
"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. One of these requirements is that the Fund derive at least 90% of its gross income for each taxable year from dividends, interest, payments with respect to certain securities loans, gains from the sale or other disposition of stock, securities or foreign currencies, other income derived with respect to its business of investing in such stock, securities or currencies or net income derived from interests in certain publicly-traded partnerships ("Qualifying Income").
The Fund may invest in structured notes designed to track the performance of the Benchmark. The Fund may, through its investment in the Subsidiary, invest in commodity-linked swaps and/or futures contracts.
If the Fund is unable to ensure continued qualification as a RIC, the Fund may be required to change its investment objective, policies or techniques, or may be liquidated. 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). 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.
The Fund adopted the authoritative guidance for uncertainty in income taxes and recognizes a tax benefit or liability from an uncertain position only if it is more likely than not that the position is sustainable based solely on its technical merits and consideration of the relevant taxing authority's widely understood administrative practices and procedures. The Fund has reviewed its current tax positions and has determined that no provision for income tax is required in the Fund's financial statements. The Fund's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
F) CASH — The Fund's uninvested cash balance is held in an interest bearing variable rate demand deposit account at State Street Bank and Trust Company ("SSB"), the Fund's custodian.
G) FUTURES — The Fund may enter into futures contracts to the extent permitted by its investment policies and objectives. The Fund may use futures
27
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2020 (unaudited)
Note 2. Significant Accounting Policies (continued)
contracts to gain exposure to or hedge against changes in commodities. Upon entering into a futures contract, the Fund is required to deposit cash and/or pledge U.S. Government securities as initial margin with a Futures Commission Merchant ("FCM"). 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 in the Consolidated Statement of Operations until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction 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. Futures have minimal counterparty credit risk because futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. 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 may be required for a futures transaction. The Fund's open futures contracts are disclosed in the Consolidated Schedule of Investments. At April 30, 2020, the amount of restricted cash held at brokers related to open futures contracts was $2,309,999.
The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM's proprietary activities. A customer's cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM's segregation requirements. In the event of an FCM's insolvency, recovery may be limited to the Fund's pro-rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited.
H) SWAPS — The Fund may enter into commodity index swaps either for hedging purposes or to seek to increase total return. A swap contract 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 swap contracts 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 extent of the
28
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2020 (unaudited)
Note 2. Significant Accounting Policies (continued)
Fund's exposure to credit and counterparty risks is the discounted net value of the cash flows to be received from the counterparty over the contract's remaining life, to the extent that the amount is positive. These risks are mitigated by having a master netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund's exposure to the counterparty. Therefore, the Fund considers the creditworthiness of each counterparty as well as the amounts posted by the counterparty pursuant to the master netting agreement 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. The Fund may invest in total return swap contracts for hedging purposes or to seek to increase total return. To the extent the total return of the security or index underlying the transaction 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 gains or losses. Fluctuations in the value of swap contracts are recorded for financial statement purposes as unrealized appreciation or depreciation from swap contracts. Realized gains and losses from terminated swaps are included in net realized gains/losses from swap contracts. The Fund's open swap contracts are disclosed in the Consolidated Schedule of Investments. At April 30, 2020, the amount of restricted cash held at brokers related to open swap contracts was $40,664,812.
I) SECURITIES LENDING — The initial collateral received by the Fund is required to have a value of at least 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). The collateral is maintained thereafter at a value equal to at least 102% of the current market value of the securities on loan. The market value of loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day. Cash collateral received by the Fund in connection with securities lending activity may be
29
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2020 (unaudited)
Note 2. Significant Accounting Policies (continued)
pooled together with cash collateral for other funds/portfolios advised by Credit Suisse and may be invested in a variety of investments, including 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.
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. Securities lending income is accrued as earned. At April 30, 2020, there were no securities out on loan.
During the six months ended April 30, 2020, total earnings from the Fund's investment in cash collateral received in connection with securities lending arrangements was $8,004, of which $6,723 was rebated to borrowers (brokers). The Fund retained $961 in income from the cash collateral investment, and SSB, as lending agent, was paid $320. Securities lending income is accrued as earned.
J) OTHER — In the normal course of business the Fund trades financial instruments and enters into financial transactions for which risk of potential loss exists due to changes in the market (market risk) or failure of the other party to a transaction to perform (credit risk). Similar to credit risk, the Fund may be exposed to counterparty risk, including securities lending, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. The potential loss could exceed the value of the financial assets recorded in the consolidated financial statements. Financial assets, which potentially expose the Fund to credit risk, consist principally of cash due from counterparties and investments. The extent of the Fund's exposure to credit and counterparty risks in respect to these financial assets approximates their carrying value as recorded in the Fund's Consolidated Statement of Assets and Liabilities.
K) RECENT ACCOUNTING PRONOUNCEMENTS — In August 2018, the FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement ("ASU 2018-13"). The update provides guidance that eliminates, adds and modifies certain disclosure requirements for fair value measurements. ASU 2018-13 will be effective for annual periods beginning after December 15, 2019. Management is currently assessing the potential impact of these changes to future financial statements.
30
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2020 (unaudited)
Note 2. Significant Accounting Policies (continued)
L) SUBSEQUENT EVENTS — In preparing the financial statements as of April 30, 2020, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements through the date of release of this report. No such events requiring recognition or disclosure were identified through the date of the release of this report.
Note 3. Transactions with Affiliates and Related Parties
Credit Suisse serves as investment adviser and co-administrator for the Fund. For its investment advisory and administration services, Credit Suisse is entitled to receive a fee from the Fund at an annualized rate of 0.59% of the Fund's average daily net assets. For the six months ended April 30, 2020, investment advisory and administration fees earned $4,414,444. Credit Suisse has contractually agreed to limit expenses so that the Fund's annual operating expenses do not exceed 0.80% of the Fund's average daily net assets for Class I shares, 1.05% of the Fund's average daily net assets for Class A shares, and 1.80% of the Fund's average daily net assets for Class C shares. The Fund is authorized to reimburse Credit Suisse for management fees previously limited and/or for expenses previously reimbursed by Credit Suisse, provided, however, that any reimbursements must be paid at a date not more than thirty-six months following the applicable month during which such fees were limited or expenses were reimbursed by Credit Suisse and the reimbursements do not cause the Fund to exceed the applicable expense limitation in the contract at the time the fees are recouped. This contract may not be terminated before February 28, 2021.
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 the relative average net assets of each fund/portfolio, subject to an annual minimum fee. For the six months ended April 30, 2020, co-administrative services fees earned by SSB (including out-of-pocket expenses) with respect to the Fund were $122,098.
Credit Suisse Securities (USA) LLC ("CSSU"), an affiliate of Credit Suisse, serves as the distributor of the Fund's shares. Pursuant to a distribution plan adopted by the Fund pursuant to Rule 12b-1 under the 1940 Act, CSSU 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. For the Class C shares, the fee is calculated at an annual rate of 1.00% of the average daily net assets. For the six months ended April 30, 2020, the Fund paid Rule 12b-1
31
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2020 (unaudited)
Note 3. Transactions with Affiliates and Related Parties (continued)
distribution fees of $48,224 for Class A shares and $14,491 for Class C shares. Class I shares are not subject to Rule 12b-1 distribution fees.
Certain brokers, dealers and financial representatives provide transfer agent-related services to the Fund and receive compensation from the Fund. For the six months ended April 30, 2020, the Fund paid $735,613, which is included within transfer agent fees.
For the six months ended April 30, 2020, CSSU and its affiliates advised the Fund that they retained $2,972 from commissions earned on the sale of the Fund's Class A shares. There were no commissions earned on the sale of Class C shares.
Note 4. Line of Credit
The Fund, together with other funds/portfolios advised by Credit Suisse (collectively, the "Participating Funds"), participates in a committed, unsecured line of credit facility ("Credit Facility"), with SSB in an aggregated amount of $250 million for temporary or emergency purposes under a first-come, first-served basis. Under the terms of the Credit Facility, the Participating Funds pay an aggregate commitment fee 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 either the Overnight Federal Funds rate or the Overnight LIBOR rate plus a spread. At April 30, 2020 and during the six months ended April 30, 2020, the Fund had no borrowings outstanding under the Credit Facility.
Note 5. Purchases and Sales of Securities
For the six months ended April 30, 2020, purchases and sales of investment securities (excluding short-term investments) and U.S. Government and Agency Obligations were as follows:
Investment Securities | | U.S. Government/
Agency Obligations | |
| Purchases | | Sales | | Purchases | | Sales | |
| $ | 0 | | | $ | 0 | | | $ | 1,718,023,240 | | | $ | 1,947,920,325 | | |
Note 6. Capital Share Transactions
The Fund is authorized to issue an unlimited number of full and fractional shares of beneficial interest, $.001 par value per share. The Fund offers Class I,
32
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2020 (unaudited)
Note 6. Capital Share Transactions (continued)
Class A and Class C shares. Transactions in capital shares for each class of the Fund were as follows:
| | | Class I | |
| | | For the Six Months Ended
April 30, 2020 (unaudited) | | For the Year Ended
October 31, 2019 | |
| | | Shares | | Value | | Shares | | Value | |
Shares sold | | | 155,306,679 | | | $ | 607,450,874 | | | | 208,048,866 | | | $ | 953,727,365 | | |
Shares issued in reinvestment
of dividends | | | 798,310 | | | | 3,280,768 | | | | 3,384,657 | | | | 15,387,022 | | |
Shares redeemed | | | (169,289,283 | ) | | | (677,050,682 | ) | | | (410,527,652 | ) | | | (1,893,825,796 | ) | |
Net decrease | | | (13,184,294 | ) | | $ | (66,319,040 | ) | | | (199,094,129 | ) | | $ | (924,711,409 | ) | |
| | | Class A | |
| | | For the Six Months Ended
April 30, 2020 (unaudited) | | For the Year Ended
October 31, 2019 | |
| | | Shares | | Value | | Shares | | Value | |
Shares sold | | | 1,840,402 | | | $ | 7,255,206 | | | | 15,161,669 | | | $ | 67,592,496 | | |
Shares issued in reinvestment
of dividends | | | 20,390 | | | | 84,018 | | | | 97,917 | | | | 435,371 | | |
Shares redeemed | | | (2,631,373 | ) | | | (10,792,325 | ) | | | (23,865,915 | ) | | | (106,745,169 | ) | |
Net decrease | | | (770,581 | ) | | $ | (3,453,101 | ) | | | (8,606,329 | ) | | $ | (38,717,302 | ) | |
| | | Class C | |
| | | For the Six Months Ended
April 30, 2020 (unaudited) | | For the Year Ended
October 31, 2019 | |
| | | Shares | | Value | | Shares | | Value | |
Shares sold | | | 125,277 | | | $ | 475,786 | | | | 134,502 | | | $ | 563,220 | | |
Shares issued in reinvestment
of dividends | | | 0 | | | | 0 | | | | 3,013 | | | | 12,603 | | |
Shares redeemed | | | (214,023 | ) | | | (835,937 | ) | | | (523,127 | ) | | | (2,189,417 | ) | |
Net decrease | | | (88,746 | ) | | $ | (360,151 | ) | | | (385,612 | ) | | $ | (1,613,594 | ) | |
On April 30, 2020, the number of shareholders that held 5% or more of the outstanding shares of each class of the Fund was as follows:
| | | Number of
Shareholders | | Approximate Percentage
of Outstanding Shares | |
Class I | | | 4 | | | | 73 | % | |
Class A | | | 4 | | | | 67 | % | |
Class C | | | 6 | | | | 78 | % | |
The Fund's performance may be negatively impacted in the event one or more of the Fund's greater than 5% shareholders were to redeem at a given time. Some of the shareholders may be omnibus accounts, which hold shares on behalf of individual shareholders.
33
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
April 30, 2020 (unaudited)
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.
34
Credit Suisse Commodity Return Strategy Fund
Board Approval of Investment Management Agreement (unaudited)
In approving the renewal of the amended and restated investment management agreement (the "Investment Management Agreement") for the Credit Suisse Commodity Return Strategy Fund (the "Fund"), a series of Credit Suisse Commodity Strategy Funds (the "Trust"), the Board of Trustees of the Trust (the "Board"), including all of the trustees who are not "interested persons" of the Trust as defined in the Investment Company Act of 1940 (the "Independent Trustees") at a Special Telephonic Meeting held on November 5, 2019 where the Board discussed information and materials previously provided to them in connection with the renewal of the Investment Management Agreement, and at an in-person meeting held on November 11 and 12, 2019, considered the following factors:
Investment Management Fee Rates and Expenses
The Board reviewed and considered the contractual management fee rate of 0.59% for the Fund (the "Contractual Management Fee") in light of the extent and quality of the management services provided by Credit Suisse Asset Management, LLC ("Credit Suisse"), the Fund's investment manager. The Board also considered that Credit Suisse entered into a contractual expense limitation agreement ("Expense Limitation Agreement") limiting the Fund's total net expenses to 1.05%, 1.80% and 0.80% of the average daily net assets of Class A, Class C and Class I, respectively, until February 28, 2021.
Additionally, the Board received and considered information comparing the Fund's Contractual Management Fee, Contractual Management Fee less waivers and/or reimbursements ("Net Management Fee") and the Fund's overall expenses with those of funds in both the relevant expense group ("Expense Group") and universe of funds ("Expense Universe") provided by Broadridge, an independent provider of investment company data. The Board noted that the Fund's Contractual Management Fee, Net Management Fee and overall expenses were within the middle range of its peers as presented in the Broadridge report. The Board was provided with a description of the methodology used to arrive at the funds included in the Expense Group and the Expense Universe.
Nature, Extent and Quality of the Services under the Management Agreement
The Board received and considered information regarding the nature, extent and quality of services provided to the Fund by Credit Suisse under the Investment Management Agreement. The Board also noted information received at regular meetings throughout the year related to the services
35
Credit Suisse Commodity Return Strategy Fund
Board Approval of Investment Management Agreement (unaudited) (continued)
rendered by Credit Suisse which, in addition to portfolio management and investment management services set forth in the Investment Management Agreement, included credit analysis and research, supervising the day-to-day operations of the Fund's non-advisory functions which include accounting, administration, custody, transfer agent and other applicable third party service providers, overseeing and facilitating audits, overseeing the Fund's credit facility and supervising and/or preparing applicable Fund filings, disclosures and shareholder reports. The Board noted that the extensive investment management services provided by Credit Suisse included broad supervisory responsibility and oversight over other service providers to the Fund. The Board also considered Credit Suisse's compliance program with respect to the Fund. The Board noted that Credit Suisse reports to the Board about portfolio management and compliance matters on a periodic basis. The Board reviewed background information about Credit Suisse including its Form ADV Part 2 — Disclosure Brochure and Brochure Supplement. 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, as well as the resources provided to them. The Board evaluated the ability of Credit Suisse, based on its resources, reputation and other attributes, to attract and retain qualified investment professionals, including research, advisory, and supervisory personnel. 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. The Board acknowledged Credit Suisse's representation that the services provided to the Fund are more extensive than the services provided in connection with other types of accounts, such as separate accounts, offered by Credit Suisse and the services are also more extensive from those offered and provided to a sub-advised fund. The Board also considered that the services provided by Credit Suisse have expanded over time as a result of regulatory and other developments.
Fund Performance
The Board received and considered performance results of the Fund over the previous year as well as over longer time periods, along with comparisons both to the relevant performance group ("Performance Group") and universe of funds provided in the Broadridge materials ("Performance Universe") for
36
Credit Suisse Commodity Return Strategy Fund
Board Approval of Investment Management Agreement (unaudited) (continued)
the Fund. The Board was provided with a description of the methodology used to arrive at the funds included in the Performance Group and the Performance Universe. The Board noted that the Fund slightly outperformed the majority of its Performance Universe for the one-year period reported, and either performed in line with or slightly underperformed its Performance Universe over various longer investment periods reported. The Board also considered the investment performance of the Fund relative to its stated objectives over various periods of time and over various commodities cycles.
Credit Suisse Profitability
The Board received and considered a profitability analysis of Credit Suisse based on the fees payable under the Investment Management Agreement for the Fund, including any fee waivers, as well as other relationships between the Fund on the one hand and Credit Suisse affiliates on the other. The Board deliberations also reflected Credit Suisse's methodology for allocating costs to the Fund, recognizing that cost allocation methodologies are inherently subjective. The Board also received net profitability information for the other funds in the Credit Suisse family of funds, which include both open-end and closed-end funds. The Board also reviewed Credit Suisse's profit margin as reflected in the profitability analysis, as well as reviewing profitability in light of appropriate court cases and the services rendered to the Fund.
Economies of Scale
The Board considered information regarding whether there have been economies of scale with respect to the management of the Fund, whether the Fund has appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Board noted that asset growth could result in additional efficiencies and economies of scale and additionally noted the current contractual expense limitations in place between the Fund and Credit Suisse. The Board received information regarding Credit Suisse's profitability in connection with providing investment management services to the Fund, including Credit Suisse's costs in providing the services.
Other Benefits to Credit Suisse
The Board considered other benefits received by Credit Suisse and its affiliates as a result of their relationship with the Fund. Such benefits include, among others, benefits potentially derived from an increase in Credit Suisse's
37
Credit Suisse Commodity Return Strategy Fund
Board Approval of Investment Management Agreement (unaudited) (continued)
businesses and its reputation as a result of its relationship with the Fund (such as the ability to market its advisory services to other clients or investors including separate account or third party sub-advised mandates or other financial products offered by Credit Suisse and its affiliates), as well as the fees paid to an affiliate of Credit Suisse for distribution services.
The Board considered the standards applied in seeking best execution and their policies and practices regarding soft dollars and reviewed Credit Suisse's method for allocating portfolio investment opportunities among its advisory clients.
Other Factors and Broader Review
As discussed above, the Board reviewed detailed materials received from Credit Suisse as part of the annual approval process. The Board also reviews and assesses the quality of the services that the Fund receives throughout the year. In this regard, the Board reviews reports of Credit Suisse at least quarterly, which include, among other things, detailed portfolio and market reviews, detailed fund performance reports and Credit Suisse's compliance procedures.
Conclusions
In selecting Credit Suisse, and approving the renewal of the Investment Management Agreement and the investment management fee under such agreement, the Board concluded that:
• The Contractual Management Fee and Net Management Fee, reviewed along with information provided by Broadridge for the funds in the Fund's Expense Group and Expense Universe, were reasonable in relation to the services provided by Credit Suisse.
• The Board was satisfied with the nature, extent and quality of the investment management services provided to the Fund by Credit Suisse in a challenging commodities environment and that, based on dialogue with management and counsel, the services provided by Credit Suisse under the Investment Management Agreement are typical of, and consistent with, those provided to similar mutual funds by other investment managers.
38
Credit Suisse Commodity Return Strategy Fund
Board Approval of Investment Management Agreement (unaudited) (continued)
• 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 waive fees (by agreeing to an expense limitation), Credit Suisse's net profitability based on fees payable under the Investment Management Agreement, as well as other ancillary benefits that Credit Suisse and its affiliates received, were considered reasonable.
• In light of the information received and considered by the Board, the Fund's current fee structure 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 renewal of the Investment Management Agreement. The Independent Trustees were advised by separate independent legal counsel throughout the process.
39
Credit Suisse Commodity Return Strategy Fund
Liquidity Risk Management Program (unaudited)
The Fund has adopted and implemented a written liquidity risk management program (the "Liquidity Program") in accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended. The Liquidity Program seeks to assess and manage the Fund's liquidity risk, i.e., the risk that the Fund is unable to satisfy redemption requests without significantly diluting remaining investors' interests in the Fund. The Board of Trustees of the Trust has designated Credit Suisse Asset Management, LLC, the Fund's investment adviser, to administer the Liquidity Program (the "Program Administrator"). Certain aspects of the Liquidity Program rely on third parties to perform certain functions, including the provision of market data and application of models.
Under the Liquidity Program, the Program Administrator assesses, manages and periodically reviews each Fund's liquidity risk and classifies each investment held by each Fund as a "highly liquid investment," "moderately liquid investment," "less liquid investment" or "illiquid investment." The liquidity of a Fund's portfolio investments is determined based on relevant market, trading and investment-specific considerations under the Liquidity Program.
During the six months ended April 30, 2020, the Trust's Board of Trustees received reports from the Program Administrator that included information to address the operations of the Liquidity Program and assess its adequacy and effectiveness of implementation during the period covered by the reports. The reports indicated that the Liquidity Program is reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the reporting period.
There can be no assurance that the Liquidity Program will achieve its objectives under all circumstances in the future. Please refer to the Fund's prospectus for more information regarding the Fund's exposure to illiquidity risk and other risks to which it may be subject.
40
Credit Suisse Commodity Return Strategy Fund
Change in Independent Registered Public Accounting Firm (unaudited)
Effective June 25, 2020, KPMG LLP ("KPMG") was dismissed as the independent registered public accounting firm to the Fund. The Audit Committee of the Board participated in, and approved, the decision to change the independent registered public accounting firm on June 25, 2020. KPMG's reports on the Fund's financial statements for the fiscal periods ended October 31, 2019 and October 31, 2018 contained no adverse opinion or disclaimer of opinion nor were they qualified or modified as to uncertainty, audit scope or accounting principle. During the Fund's fiscal periods ended October 31, 2019 and October 31, 2018 and the subsequent interim period through June 25, 2020, (i) there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused them to make reference to the subject matter of the disagreements in connection with their reports on the Fund's financial statements for such periods, and (ii) there were no "reportable events" of the kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended.
The Audit Committee of the Board approved the engagement of PricewaterhouseCoopers LLP ("PwC") as the Fund's independent registered public accounting firm for the fiscal year ending October 31, 2020. During the Fund's fiscal periods ended October 31, 2019 and October 31, 2018 and the subsequent interim period through June 25, 2020, neither the Fund, nor anyone on its behalf, consulted with PwC on items which: (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Fund's financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(v) of said Item 304).
41
Credit Suisse Commodity Return Strategy Fund
Notice of Privacy and Information Practices (unaudited)
At Credit Suisse, we know that you are concerned with how we protect and handle nonpublic personal information that identifies you. This notice is designed to help you understand what nonpublic personal information we collect from you and from other sources, and how we use that information in connection with your investments and investment choices that may be available to you. Except where otherwise noted, this notice is applicable only to consumers who are current or former investors, meaning individual persons whose investments are primarily for household, family or personal use ("individual investors"). Specified sections of this notice, however, also apply to other types of investors (called "institutional investors"). Where the notice applies to institutional investors, the notice expressly states so. This notice is being provided by Credit Suisse Funds and Credit Suisse Closed-End Funds. This notice applies solely to U.S. registered investment companies advised by Credit Suisse Asset Management, LLC.
Categories of information we may collect:
We may collect information about you, including nonpublic personal information, such as
• Information we receive from you on applications, forms, agreements, questionnaires, Credit Suisse websites and other websites that are part of our investment program, or in the course of establishing or maintaining a customer relationship, such as your name, address, e-mail address, Social Security number, assets, income, financial situation; and
• Information we obtain from your transactions and experiences with us, our affiliates, or others, such as your account balances or other investment information, assets purchased and sold, and other parties to a transaction, where applicable.
Categories of information we disclose and parties to whom we disclose it:
• We do not disclose nonpublic personal information about our individual investors, except as permitted or required by law or regulation. Whether you are an individual investor or institutional investor, we may share the information described above with our affiliates that perform services on our behalf, and with our asset management and private banking affiliates; as well as with unaffiliated third parties that perform services on our behalf, such as our accountants, auditors, attorneys, broker-dealers, fund administrators, and other service providers.
42
Credit Suisse Commodity Return Strategy Fund
Notice of Privacy and Information Practices (unaudited) (continued)
• We want our investors to be informed about additional products or services. We do not disclose nonpublic personal information relating to individual investors to our affiliates for marketing purposes, nor do we use such information received from our affiliates to solicit individual investors for such purposes. Whether you are an individual investor or an institutional investor, we may disclose information, including nonpublic personal information, regarding our transactions and experiences with you to our affiliates.
• In addition, whether you are an individual investor or an institutional investor, we reserve the right to disclose information, including nonpublic personal information, about you to any person or entity, including without limitation any governmental agency, regulatory authority or self-regulatory organization having jurisdiction over us or our affiliates, if (i) we determine in our discretion that such disclosure is necessary or advisable pursuant to or in connection with any United States federal, state or local, or non-U.S., court order (or other legal process), law, rule, regulation, or executive order or policy, including without limitation any anti-money laundering law or the USA PATRIOT Act of 2001; and (ii) such disclosure is not otherwise prohibited by law, rule, regulation, or executive order or policy.
Confidentiality and security
• To protect nonpublic personal information about individual investors, we restrict access to those employees and agents who need to know that information to provide products or services to us and to our investors. We maintain physical, electronic, and procedural safeguards to protect nonpublic personal information.
Other Disclosures
This notice is not intended to be incorporated in any offering materials but is a statement of our current Notice of Privacy and Information Practices and may be amended from time to time. This notice is current as of May 19, 2020.
43
Credit Suisse Commodity Return Strategy 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 are available:
• By calling 1-877-870-2874
• On the Fund's website, www.credit-suisse.com/us/funds
• 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 as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund's Forms N-PORT and N-Q are available on the SEC's website at www.sec.gov.
44
P.O. BOX 219916, KANSAS CITY, MO 64121-9916
877-870-2874 n www.credit-suisse.com/us/funds
CREDIT SUISSE SECURITIES (USA) LLC, DISTRIBUTOR. COM-SAR-0420
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 most recent fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
This item is not applicable to the registrant.
Item 13. Exhibits.
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 STRATEGY FUNDS |
| | |
/s/ John G. Popp | |
Name: | John G. Popp | |
Title: | Chief Executive Officer and President | |
Date: | July 9, 2020 | |
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/ John G. Popp | |
Name: | John G. Popp | |
Title: | Chief Executive Officer and President | |
Date: | July 9, 20120 | |
| | |
| | |
/s/ Omar Tariq | |
Name: | Omar Tariq | |
Title: | Chief Financial Officer and Treasurer | |
Date: | July 9, 2020 | |
