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 No. 811-21589
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CREDIT SUISSE COMMODITY STRATEGY FUNDS
(formerly known as Credit Suisse Commodity Return Strategy Fund)
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(Exact Name of Registrant as Specified in Charter)
Eleven Madison Avenue, New York, New York 10010
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(Address of Principal Executive Offices) (Zip Code)
John G. Popp
Credit Suisse Commodity Strategy Funds
Eleven Madison Avenue
New York, New York 10010
Registrant’s telephone number, including area code: (212) 325-2000
Date of fiscal year end: October 31st
Date of reporting period: November 1, 2020 to October 31, 2021
Item 1. Reports to Stockholders.
CREDIT SUISSE FUNDS
Annual Report
October 31, 2021
◼ CREDIT SUISSE
COMMODITY RETURN STRATEGY FUND
The Fund's investment objectives, risks, charges and expenses (which should be considered carefully before investing), and more complete information about the Fund, are provided in the Prospectus, which should be read carefully before investing. You may obtain additional copies by calling 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
Annual Investment Adviser's Report
October 31, 2021 (unaudited)
October 31, 2021
Dear Shareholder:
We are pleased to present this Annual Report covering the activities of the Credit Suisse Commodity Return Strategy Fund (the "Fund") for the 12-month period ended October 31, 2021.
Performance Summary
11/01/20 – 10/31/21
Fund & Benchmark | | | |
| Class I1 | | | +43.33% | | |
| Class A1,2 | | | +43.08% | | |
| Class C1,2 | | | +41.75% | | |
| Bloomberg Commodity Index Total Return3 | | | +43.94% | | |
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 increased for the annual period ended October 31, 2021. The Bloomberg Commodity Index Total Return (the "Benchmark") rose 43.94%, with 20 out of 23 index constituents trading higher.
For the 12-month period ended October 31, 2021, the Fund outperformed the Benchmark before fees and Fund expenses and underperformed after. Both the Fund's commodity strategies and cash management contributed positively to relative performance for the period. Within the portfolio's commodity exposure, forward curve positioning in the Agriculture and Livestock Energy sector had the largest positive impact relative to the Benchmark. Positioning within the Industrial Metals sector also contributed positively to relative performance. Positioning within the Energy and Precious Metals sector detracted from performance. On an individual commodity level, the top three estimated contributors to relative performance versus the Benchmark were Soybean Meal (+0.47%), Natural Gas (+0.44%) and Live Cattle (+0.24%). Meanwhile, WTI Crude Oil (-0.46%), Brent Crude Oil (-0.29%) and Corn (-0.20%) had the largest negative impact relative to the Benchmark.
Energy increased 83.49% for the period, the most among all sectors. The petroleum sub-sector performed particularly well, with all components rising more than 120%. RBOB Gasoline led with a +137.70% return, after benefitting from a combination of tight global petroleum supply and increased automotive travel following the distribution of COVID-19 vaccines. WTI and Brent Crude
1
Credit Suisse Commodity Return Strategy Fund
Annual Investment Adviser's Report (continued)
October 31, 2021 (unaudited)
Oil, from which gasoline and other petroleum products are refined, returned 134.28% and 133.79%, respectively. As an example of demand growth over the period, using changes in US supply and excluding imports and exports, implied demand for gasoline throughout most of October 2021 was more than 10% higher than the equivalent dates in 2020. Ongoing export discipline from the Organization of the Petroleum Exporting Countries and its non-OPEC counterparts ("OPEC+") allowed for a dramatic decline in global petroleum inventories as demand returned more quickly than supply, which was bullish for prices. The US government's weekly reporting of domestic commercial petroleum inventories showed inventories peaking the first week of July 2020 and subsequently declining 228 million barrels to end October 2021 below pre-COVID levels.
Agriculture rose 43.29% over the period, led by Soybean Oil, which rose 107.01% during the period. In the last two months of 2021, soybean oil rose as La Nina-related drought in Brazil and Argentina delayed planting and reduced yield expectations. Strikes by Argentine soybean workers and tugboat operators also reduced exports from the country. Meanwhile, increasing domestic US soybean oil demand for renewable diesel and export demand from China also supported prices. Corn rose 55.79% during the period. Meaningful delays in the planting of Brazil's safrinha crop caused over half of the main Brazilian export crop to be planted outside of the ideal planting window. Early frost near crop maturity further cut yields, reducing global supplies from one of the world's biggest corn exporters. Coffee strengthened 79.31% as protests in Colombia disrupted the transportation of beans to the country's main port, reducing global supply expectations. Cotton gained 55.76% as the advent and subsequent adoption of COVID-19 vaccines facilitated economic re-openings across the globe, spurring demand for textiles, and increasing expectations for a second consecutive year of global supply deficits.
Livestock rose 8.64% over the period, led by Lean Hogs. Lean Hogs increased 27.73%. The US Department of Agriculture (USDA) reported consecutive months of strong US pork exports in the first half of 2021. In addition, increasing coronavirus inoculation rates within the US also greatly improved restaurant demand for pork and other meats, supporting Lean Hogs further. Live Cattle declined 0.97%. Dry weather during the summer of 2021 in US Midwest raised feed cost and pressed cattle ranchers to sell cattle early, increasing cattle supplies. In addition, declining wholesale beef price in the third quarter indicated soft demand in domestic market and led Live Cattle lower.
Industrial Metals increased 39.07%. Aluminum and Copper rose 43.66% and 42.92% respectively, fueled by the global energy shortage combined with record
2
Credit Suisse Commodity Return Strategy Fund
Annual Investment Adviser's Report (continued)
October 31, 2021 (unaudited)
high coal prices in China, resulting in an increase in ore smelting costs and production cuts in the country. Aluminum was particularly impacted by this reaching its highest price in 13 years, due to its energy-intensive production process. Zinc gained 31.82%, reaching prices not seen since mid-2007, following the supply squeeze caused by the production cuts of two major zinc smelting companies late in the year.
Precious Metals performed the worst, declining 4.60%. The US Federal Reserve continued its accommodative stance in 2021 through its continued asset purchases and by maintaining the target Federal Funds rate at 0%. However, strong US economic data created optimism around a continued recovery from the economic fallout of the COVID-19 pandemic, encouraging higher bond yields, and thereby increasing the opportunity cost of holding both gold and silver. A marginally higher US Dollar during the period also weighed on precious metals.
Market Outlook:
While weather risks have contributed a large role in driving recent commodity returns, it is also important to consider the impact of broader macroeconomic factors as well. With the US Federal Reserve expected to begin reducing monetary stimulus and raising interest rates within the next year, the speed and magnitude of these actions may become important factors affecting inflation rates. Given recent supply chain disruptions in the economy, and a labor shortage in many industries, there could be scenarios that result in a slower than expected policy adjustment. Commodities have historically performed well during periods of unexpected inflation, slow and inflationary policy results could be bullish for the asset class. Overall, while weather events may dominate the very near term commodity movements, investors should not overlook short term changes to Central Bank policy and inflation outcomes as well.
The Credit Suisse Commodities Management Team
Christopher Burton
John Calvaruso
This Fund is non-diversified, which means it may invest a greater proportion of its assets in the securities of a smaller number of issuers than a diversified 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 investment in traditional securities, particularly in investments involving leverage.
3
Credit Suisse Commodity Return Strategy Fund
Annual Investment Adviser's Report (continued)
October 31, 2021 (unaudited)
The use of derivatives such as commodity-linked swaps, structured notes, and futures entails substantial risks, including risk of loss of a significant portion of their principal value, commodity exposure risks, correlation risk, credit risk, derivatives risk, exposure risk, fixed income risk, focus risk, futures contracts risk, illiquidity risk, interest rate risk, leveraging risk, market risk, non-diversified status, portfolio turnover risk, structured note risk, subsidiary risk, swap agreement risk, tax risk and U.S. government securities 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.
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 October 31, 2021; these views and Fund holdings may have changed subsequent to these dates. Nothing in this document is a recommendation to purchase or sell securities.
4
Credit Suisse Commodity Return Strategy Fund
Annual Investment Adviser's Report (continued)
October 31, 2021 (unaudited)
Comparison of Change in Value of $10,000 Investment in the
Credit Suisse Commodity Return Strategy Fund1 Class I Shares,
Class A Shares2, Class C Shares2 and the Bloomberg
Commodity Index Total Return3
For Ten Years
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, 2023. 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 36.14%. 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 40.75%.
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
Annual Investment Adviser's Report (continued)
October 31, 2021 (unaudited)
Average Annual Returns as of October 31, 20211
| | | 1 Year | | 5 Years | | 10 Years | |
Class I | | | 43.33 | % | | | 5.33 | % | | | (3.05 | )% | |
Class A Without Sales Charge | | | 43.08 | % | | | 5.08 | % | | | (3.29 | )% | |
Class A With Maximum Sales Charge | | | 36.14 | % | | | 4.06 | % | | | (3.76 | )% | |
Class C Without CDSC | | | 41.75 | % | | | 4.27 | % | | | (4.01 | )% | |
Class C With CDSC | | | 40.75 | % | | | 4.27 | % | | | (4.01 | )% | |
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 annual gross expense ratios are 0.82% for Class I shares, 1.07% for Class A shares and 1.82% for Class C shares. The annual net expense ratios after fee waivers and/or expense reimbursements 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, 2023. This limit excludes certain expenses, as set forth in the Fund's Prospectus.
6
Credit Suisse Commodity Return Strategy Fund
Annual Investment Adviser's Report (continued)
October 31, 2021 (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 October 31, 2021.
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
Annual Investment Adviser's Report (continued)
October 31, 2021 (unaudited)
Expenses and Value for a $1,000 Investment
for the six-month period ended October 31, 2021
Actual Fund Return | | Class I | | Class A | | Class C | |
Beginning Account Value 05/01/21 | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | |
Ending Account Value 10/31/21 | | $ | 1,145.50 | | | $ | 1,144.70 | | | $ | 1,139.90 | | |
Expenses Paid per $1,000* | | $ | 4.33 | | | $ | 5.68 | | | $ | 9.71 | | |
Hypothetical 5% Fund Return | |
Beginning Account Value 05/01/21 | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | |
Ending Account Value 10/31/21 | | $ | 1,021.17 | | | $ | 1,019.91 | | | $ | 1,016.13 | | |
Expenses Paid per $1,000* | | $ | 4.08 | | | $ | 5.35 | | | $ | 9.15 | | |
| | | 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 184/365 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 | | | 38.39 | % | |
United States Treasury Obligations | | | 59.26 | | |
Short-Term Investment | | | 2.35 | | |
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
October 31, 2021
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| UNITED STATES AGENCY OBLIGATIONS (37.7%) | | | |
$ | 5,800 | | | Federal Farm Credit Banks,
USBMMY3M + 0.115%(1) | | (AA+, Aaa) | | 02/24/22 | | | 0.160 | | | $ | 5,802,077 | | |
| | 28,000 | | | Federal Farm Credit Banks,
USBMMY3M + 0.270%(1) | | (AA+, Aaa) | | 05/16/22 | | | 0.325 | | | | 28,040,458 | | |
| | 40,000 | | | Federal Farm Credit Banks, SOFR + 0.310%(1) | | (AA+, Aaa) | | 11/07/22 | | | 0.360 | | | | 40,128,179 | | |
| | 20,000 | | | Federal Farm Credit Banks,
USBMMY3M + 0.420%(1) | | (AA+, Aaa) | | 11/07/22 | | | 0.475 | | | | 20,087,102 | | |
| | 10,000 | | | Federal Farm Credit Banks,
FEDL01 + 0.030%(1) | | (AA+, Aaa) | | 03/09/23 | | | 0.110 | | | | 10,004,366 | | |
| | 61,000 | | | Federal Farm Credit Banks,
USBMMY3M + 0.035%(1) | | (AA+, Aaa) | | 05/03/23 | | | 0.090 | | | | 61,003,806 | | |
| | 110,600 | | | Federal Farm Credit Banks, SOFR + 0.380%(1) | | (AA+, Aaa) | | 05/08/23 | | | 0.430 | | | | 111,223,592 | | |
| | 5,600 | | | Federal Farm Credit Banks | | (AA+, Aaa) | | 09/01/23 | | | 0.300 | | | | 5,594,412 | | |
| | 8,000 | | | Federal Farm Credit Banks, SOFR + 0.135%(1) | | (AA+, Aaa) | | 11/06/23 | | | 0.185 | | | | 8,017,628 | | |
| | 42,000 | | | Federal Home Loan Banks, SOFR + 0.150%(1) | | (AA+, Aaa) | | 11/15/21 | | | 0.200 | | | | 42,002,563 | | |
| | 14,700 | | | Federal Home Loan Banks | | (AA+, Aaa) | | 03/29/22 | | | 0.060 | | | | 14,697,204 | | |
| | 5,300 | | | Federal Home Loan Banks | | (AA+, Aaa) | | 02/26/26 | | | 0.620 | | | | 5,213,982 | | |
| | 12,000 | | | Federal Home Loan Bank Discount Notes(2) | | (AA+, Aaa) | | 11/24/21 | | | 0.030 | | | | 11,999,770 | | |
| | 36,900 | | | Federal Home Loan Mortgage Corp.,
SOFR + 0.145%(1) | | (AA+, Aaa) | | 12/09/21 | | | 0.195 | | | | 36,905,257 | | |
| | 59,800 | | | Federal Home Loan Mortgage Corp.,
SOFR + 0.130%(1) | | (AA+, Aaa) | | 08/05/22 | | | 0.180 | | | | 59,857,846 | | |
| | 19,000 | | | Federal Home Loan Mortgage Corp. | | (AA+, Aaa) | | 05/05/23 | | | 0.375 | | | | 19,006,623 | | |
| | 16,500 | | | Federal Home Loan Mortgage Corp. | | (AA+, Aaa) | | 05/24/24 | | | 0.400 | | | | 16,439,679 | | |
| | 23,000 | | | Federal Home Loan Mortgage Corp. | | (AA+, Aaa) | | 06/18/24 | | | 0.430 | | | | 22,892,987 | | |
| | 24,500 | | | Federal Home Loan Mortgage Corp. | | (AA+, Aaa) | | 07/21/25 | | | 0.375 | | | | 23,989,918 | | |
| | 34,000 | | | Federal National Mortgage Association,
SOFR + 0.360%(1) | | (AA+, Aaa) | | 01/20/22 | | | 0.410 | | | | 34,026,642 | | |
| | 25,000 | | | Federal National Mortgage Association,
SOFR + 0.300%(1) | | (AA+, Aaa) | | 01/27/22 | | | 0.350 | | | | 25,019,481 | | |
| | 97,500 | | | Federal National Mortgage Association,
SOFR + 0.350%(1) | | (AA+, Aaa) | | 04/07/22 | | | 0.400 | | | | 97,645,101 | | |
| | 33,100 | | | Federal National Mortgage Association,
SOFR + 0.390%(1) | | (AA+, Aaa) | | 04/15/22 | | | 0.440 | | | | 33,158,287 | | |
| | 24,000 | | | Federal National Mortgage Association,
SOFR + 0.180%(1) | | (AA+, Aaa) | | 05/13/22 | | | 0.230 | | | | 24,024,080 | | |
| | 28,800 | | | Federal National Mortgage Association | | (AA+, Aaa) | | 05/22/23 | | | 0.250 | | | | 28,741,088 | | |
| | 27,000 | | | Federal National Mortgage Association | | (AA+, Aaa) | | 07/10/23 | | | 0.250 | | | | 26,917,619 | | |
| | 3,000 | | | Federal National Mortgage Association | | (AA+, Aaa) | | 11/27/23 | | | 0.250 | | | | 2,984,679 | | |
| | 7,000 | | | Federal National Mortgage Association | | (AA+, Aaa) | | 06/14/24 | | | 0.375 | | | | 6,957,054 | | |
| | 21,400 | | | Federal National Mortgage Association | | (AA+, Aaa) | | 04/22/25 | | | 0.625 | | | | 21,186,516 | | |
| | 23,500 | | | Federal National Mortgage Association | | (AA+, Aaa) | | 06/17/25 | | | 0.500 | | | | 23,133,549 | | |
| TOTAL UNITED STATES AGENCY OBLIGATIONS (Cost $866,810,617) | | | 866,701,545 | | |
| UNITED STATES TREASURY OBLIGATIONS (58.3%) | | | |
| | 30,000 | | | United States Treasury Bills(2) | | (AA+, Aaa) | | 11/18/21 | | | 0.030 | | | | 29,999,325 | | |
| | 19,000 | | | United States Treasury Bills(2) | | (AA+, Aaa) | | 12/16/21 | | | 0.031 | | | | 18,998,337 | | |
| | 35,000 | | | United States Treasury Bills(2) | | (AA+, Aaa) | | 01/20/22 | | | 0.046 | | | | 34,995,917 | | |
See Accompanying Notes to Consolidated Financial Statements.
9
Credit Suisse Commodity Return Strategy Fund
Consolidated Schedule of Investments (continued)
October 31, 2021
Par
(000) | |
| | Ratings†
(S&P/Moody's) | | Maturity | | Rate% | | Value | |
| UNITED STATES TREASURY OBLIGATIONS (continued) | | | |
$ | 23,000 | | | United States Treasury Bills(2) | | (AA+, Aaa) | | 02/17/22 | | | 0.050 | | | $ | 22,996,377 | | |
| | 11,000 | | | United States Treasury Bills(2) | | (AA+, Aaa) | | 04/21/22 | | | 0.065 | | | | 10,996,996 | | |
| | 50,000 | | | United States Treasury Floating Rate Notes,
USBMMY3M + 0.154%(1) | | (AA+, Aaa) | | 01/31/22 | | | 0.199 | | | | 50,018,956 | | |
| | 139,900 | | | United States Treasury Floating Rate Notes,
USBMMY3M + 0.114%(1),(3),(4) | | (AA+, Aaa) | | 04/30/22 | | | 0.169 | | | | 139,976,934 | | |
| | 177,500 | | | United States Treasury Floating Rate Notes,
USBMMY3M + 0.055%(1),(3) | | (AA+, Aaa) | | 07/31/22 | | | 0.110 | | | | 177,564,363 | | |
| | 76,000 | | | United States Treasury Floating Rate Notes,
USBMMY3M + 0.055%(1),(3) | | (AA+, Aaa) | | 10/31/22 | | | 0.110 | | | | 76,039,950 | | |
| | 250,000 | | | United States Treasury Floating Rate Notes,
USBMMY3M + 0.049%(1) | | (AA+, Aaa) | | 01/31/23 | | | 0.104 | | | | 250,109,072 | | |
| | 259,800 | | | United States Treasury Floating Rate Notes,
USBMMY3M + 0.034%(1),(3),(4) | | (AA+, Aaa) | | 04/30/23 | | | 0.089 | | | | 259,845,546 | | |
| | 221,000 | | | United States Treasury Floating Rate Notes,
USBMMY3M + 0.029%(1) | | (AA+, Aaa) | | 07/31/23 | | | 0.084 | | | | 221,015,614 | | |
| | 35,000 | | | United States Treasury Floating Rate Notes,
USBMMY3M + 0.035%(1) | | (AA+, Aaa) | | 10/31/23 | | | 0.080 | | | | 35,000,000 | | |
| | 10,500 | | | United States Treasury Notes | | (AA+, Aaa) | | 04/30/23 | | | 0.125 | | | | 10,465,752 | | |
| TOTAL UNITED STATES TREASURY OBLIGATIONS (Cost $1,337,818,859) | | | 1,338,023,139 | | |
| SHORT-TERM INVESTMENTS (2.3%) | | | |
| | 52,982,740 | | | State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.03%
(Cost $52,982,740) | | | | | | | | | 52,982,740 | | |
| TOTAL INVESTMENTS AT VALUE (98.3%) (Cost $2,257,612,216) | | | 2,257,707,424 | | |
| OTHER ASSETS IN EXCESS OF LIABILITIES (1.7%) | | | 40,006,387 | | |
| NET ASSETS (100.0%) | | $ | 2,297,713,811 | | |
† 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 October 31, 2021.
(2) Securities are zero coupon. Rate presented is yield to maturity as of October 31, 2021.
(3) At October 31, 2021, $64,601,006 in the value of these securities has been pledged as collateral for open swap contracts.
(4) At October 31, 2021, $4,501,505 in the value of these securities has been pledged to cover initial margin requirements for open futures contracts.
INVESTMENT ABBREVIATIONS
FEDL01 = Federal Funds Rate
SOFR = Secured Overnight Financing Rate
USBMMY3M = U.S. Treasury 3 Month Bill Money Market Yield
See Accompanying Notes to Consolidated Financial Statements.
10
Credit Suisse Commodity Return Strategy Fund
Consolidated Schedule of Investments (continued)
October 31, 2021
Futures Contracts
Contract Description | | Currency | | Expiration
Date | | Number of
Contracts | | Notional
Value | | Net Unrealized
Appreciation
(Depreciation) | |
Contracts to Purchase | |
Energy | | | | | | | | | | | |
Light Sweet Crude Oil Futures | | USD | | | | Jun 2022 | | | 333 | | | $ | 25,114,860 | | | $ | 2,654,746 | | |
Contracts to Sell | |
Energy | | | | | | | | | | | |
Light Sweet Crude Oil Futures | | USD | | | | Dec 2021 | | | (333 | ) | | | (27,828,810 | ) | | $ | (3,957,973 | ) | |
Natural Gas Futures | | USD | | | | Jan 2021 | | | (485 | ) | | | (26,815,650 | ) | | | 2,218,007 | | |
WTI Crude Futures | | USD | | | | Jan 2021 | | | (41 | ) | | | (3,352,980 | ) | | | (79,938 | ) | |
| | | $ | 834,842 | | |
Commodity Index Swap Contracts
Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive | | Pay | | Payment
Frequency | | Upfront
Premiums
Paid/
(Received) | | Net Unrealized
Appreciation | |
USD | | | | $ | 267,154,782 | | | 11/16/21 | | Bank of
America | | Merrill Lynch
Commodity
Index Extra CS2T
Total Return(a) | | 0.31% | | At
Maturity | | $ | — | | | $ | 2,245,756 | | |
USD | | | | | 263,778,829 | | | 11/16/21 | | Macquarie
Bank Ltd. | | Macquarie
Commodity
Customized
Product
112T Index(b) | | 0.31% | | At
Maturity | | | — | | | | 2,351,997 | | |
USD | | | | | 20,000,000 | | | 11/16/21 | | RBC Capital | | 0.17% | | Bloomberg
Commodity
Index Total
Return | | At
Maturity | | | — | | | | — | | |
| | | $ | — | | | $ | 4,597,753 | | |
Commodity Index Swap Contracts
Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive | | Pay | | Payment
Frequency | | Upfront
Premiums
Paid/
(Received) | | Net Unrealized
Depreciation | |
USD | | | | $ | 114,960,369 | | | 11/16/21 | | Bank of America | | Bloomberg Commodity
Index 2 Month Forward
Total Return | | | 0.17 | % | | At
Maturity | | $ | — | | | $ | (884,258 | ) | |
USD | | | | | 18,161,136 | | | 11/16/21 | | Bank of America | | BofA Merrill Lynch
Commodity MLCILP2
Total Return Strategy(c) | | | 0.21 | % | | At
Maturity | | | — | | | | (113,748 | ) | |
USD | | | | | 101,543,159 | | | 11/16/21 | | BNP Paribas | | Bloomberg Commodity
Index 2 Month Forward
Total Return | | | 0.20 | % | | At
Maturity | | | — | | | | (782,520 | ) | |
See Accompanying Notes to Consolidated Financial Statements.
11
Credit Suisse Commodity Return Strategy Fund
Consolidated Schedule of Investments (continued)
October 31, 2021
Commodity Index Swap Contracts (continued)
Currency | | Notional
Amount | | Expiration
Date | | Counterparty | | Receive | | Pay | | Payment
Frequency | | Upfront
Premiums
Paid/
(Received) | | Net Unrealized
Depreciation | |
USD | | | | $ | 226,317,035 | | | 11/16/21 | | Citigroup | | Bloomberg Commodity
Index 2 Month Forward
Total Return | | | 0.18 | % | | At
Maturity | | $ | — | | | $ | (1,742,285 | ) | |
USD | | | | | 55,194,687 | | | 11/16/21 | | Goldman Sachs | | Bloomberg Commodity
Index Total Return | | | 0.15 | % | | At
Maturity | | | — | | | | (267,036 | ) | |
USD | | | | | 250,160,782 | | | 11/16/21 | | Goldman Sachs | | Bloomberg Commodity
Index 2 Month Forward
Total Return | | | 0.17 | % | | At
Maturity | | | — | | | | (1,924,199 | ) | |
USD | | | | | 137,764,128 | | | 11/16/21 | | JPMorgan Chase | | Bloomberg Commodity
Index Total Return | | | 0.15 | % | | At
Maturity | | | — | | | | (669,009 | ) | |
USD | | | | | 114,771,750 | | | 11/16/21 | | Macquarie
Bank Ltd. | | Bloomberg Commodity
Index Total Return | | | 0.14 | % | | At
Maturity | | | — | | | | (554,521 | ) | |
USD | | | | | 108,048,154 | | | 11/16/21 | | Morgan Stanley | | Bloomberg Commodity
Index 2 Month Forward
Total Return | | | 0.19 | % | | At
Maturity | | | — | | | | (832,511 | ) | |
USD | | | | | 289,494,614 | | | 11/16/21 | | RBC Capital | | Bloomberg Commodity
Index Total Return | | | 0.17 | % | | At
Maturity | | | — | | | | (1,404,407 | ) | |
USD | | | | | 271,232,556 | | | 11/16/21 | | Societe Generale | | Societe Generale
P04 TR Index(d) | | | 0.31 | % | | At
Maturity | | | — | | | | (1,709,227 | ) | |
USD | | | | | 123,824,356 | | | 11/16/21 | | UBS | | Bloomberg Commodity
Index Total Return | | | 0.16 | % | | At
Maturity | | | — | | | | (599,887 | ) | |
| | | $ | — | | | $ | (11,483,608 | ) | |
| | | $ | — | | | $ | (6,885,855 | ) | |
(a) The index seeks to provide exposure to a diversified group of commodities, inclusive of energy, grains, meats, metals, precious,softs, and textiles. The Fund has indirect exposure to all of the below underlying positions that make up the custom index. When applicable, the table is limited to the largest 50 positions (based on absolute market value) and any other position where the notional value for the position exceeds 1% of the notional value of the index.
Commodity Name | | Weight | | Quantity(1) | | 10/31/21 Value(1) | |
NYMEX Nat Gas APR 22 Futures | | | 13.44 | % | | | 895.00 | | | | 36,220,835 | | |
COMEX Gold DEC 21 Futures | | | 10.70 | % | | | 161.56 | | | | 28,821,167 | | |
NYMEX WTI Crude Oil JUN 22 Futures | | | 9.80 | % | | | 350.14 | | | | 26,407,251 | | |
ICE Brent Crude Oil MAR 22 Futures | | | 8.13 | % | | | 269.12 | | | | 21,914,627 | | |
CBOT Corn DEC 21 Futures | | | 5.00 | % | | | 474.14 | | | | 13,471,427 | | |
COMEX High Grade Copper MAR 22 Futures | | | 4.90 | % | | | 121.60 | | | | 13,193,503 | | |
LME Aluminium JUN 22 Futures | | | 4.38 | % | | | 174.76 | | | | 11,802,746 | | |
CBOT Soybeans JAN 22 Futures | | | 4.17 | % | | | 180.06 | | | | 11,248,981 | | |
NYBOT Coffee MAR 22 Futures | | | 3.61 | % | | | 125.44 | | | | 9,721,186 | | |
CBOT Bean Oil JAN 22 Futures | | | 3.46 | % | | | 254.18 | | | | 9,310,775 | | |
CME Live Cattle DEC 21 Futures | | | 3.36 | % | | | 175.10 | | | | 9,054,393 | | |
ICE Gas Oil JAN 22 Futures | | | 3.29 | % | | | 125.89 | | | | 8,872,282 | | |
COMEX Silver MAR 22 Futures | | | 2.96 | % | | | 66.53 | | | | 7,980,966 | | |
NYBOT Sugar MAR 22 Futures | | | 2.94 | % | | | 366.52 | | | | 7,910,387 | | |
See Accompanying Notes to Consolidated Financial Statements.
12
Credit Suisse Commodity Return Strategy Fund
Consolidated Schedule of Investments (continued)
October 31, 2021
Commodity Name | | Weight | | Quantity(1) | | 10/31/21 Value(1) | |
LME Zinc JUN 22 Futures | | | 2.83 | % | | | 92.87 | | | | 7,633,542 | | |
CBOT Wheat MAR 22 Futures | | | 2.70 | % | | | 185.34 | | | | 7,274,750 | | |
NYMEX Unleaded Gasoline MAR 22 Futures | | | 2.62 | % | | | 73.28 | | | | 7,059,739 | | |
NYMEX Heating Oil MAR 22 Futures | | | 2.57 | % | | | 68.37 | | | | 6,914,106 | | |
LME Nickel MAR 22 Futures | | | 2.24 | % | | | 51.88 | | | | 6,041,223 | | |
CBOT Soy Meal JAN 22 Futures | | | 2.17 | % | | | 176.72 | | | | 5,838,835 | | |
NYBOT Cotton MAR 22 Futures | | | 1.64 | % | | | 79.30 | | | | 4,409,652 | | |
KCBOT Kansas Wheat MAR 22 Futures | | | 1.60 | % | | | 109.22 | | | | 4,308,704 | | |
CME Lean Hogs FEB 22 Futures | | | 1.50 | % | | | 128.50 | | | | 4,043,929 | | |
(1) Amounts represent quantity and value of index components as they relate specifically to the Fund's swap position as of October 31, 2021.
(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.
Commodity Name | | Weight | | Quantity(1) | | 10/31/21 Value(1) | |
NYMEX Nat Gas APR 22 Futures | | | 13.43 | % | | | 883.42 | | | | 35,751,812 | | |
COMEX Gold DEC 21 Futures | | | 10.69 | % | | | 159.47 | | | | 28,447,964 | | |
NYMEX WTI Crude Oil JUN 22 Futures | | | 9.79 | % | | | 345.60 | | | | 26,065,304 | | |
ICE Brent Crude Oil MAR 22 Futures | | | 8.13 | % | | | 265.64 | | | | 21,630,856 | | |
CBOT Corn DEC 21 Futures | | | 5.00 | % | | | 468.00 | | | | 13,296,984 | | |
COMEX High Grade Copper MAY 22 Futures | | | 4.90 | % | | | 120.63 | | | | 13,050,628 | | |
LME Aluminium JUN 22 Futures | | | 4.38 | % | | | 172.50 | | | | 11,649,912 | | |
CBOT Soybeans MAR 22 Futures | | | 4.17 | % | | | 176.52 | | | | 11,112,222 | | |
NYBOT Coffee DEC 21 Futures | | | 3.60 | % | | | 125.42 | | | | 9,592,562 | | |
CBOT Bean Oil DEC 21 Futures | | | 3.45 | % | | | 249.92 | | | | 9,187,647 | | |
CME Live Cattle FEB 22 Futures | | | 3.37 | % | | | 167.25 | | | | 8,979,578 | | |
ICE Gas Oil DEC 21 Futures | | | 3.29 | % | | | 123.05 | | | | 8,764,101 | | |
COMEX Silver DEC 21 Futures | | | 2.96 | % | | | 65.80 | | | | 7,879,464 | | |
NYBOT Sugar MAR 22 Futures | | | 2.93 | % | | | 361.77 | | | | 7,807,955 | | |
LME Zinc JUN 22 Futures | | | 2.83 | % | | | 91.66 | | | | 7,534,695 | | |
CBOT Wheat MAR 22 Futures | | | 2.70 | % | | | 182.94 | | | | 7,180,549 | | |
NYMEX Unleaded Gasoline JAN 22 Futures | | | 2.63 | % | | | 71.91 | | | | 7,001,437 | | |
NYMEX Heating Oil JAN 22 Futures | | | 2.57 | % | | | 66.23 | | | | 6,848,577 | | |
LME Nickel MAR 22 Futures | | | 2.24 | % | | | 51.21 | | | | 5,962,995 | | |
CBOT Soy Meal DEC 21 Futures | | | 2.17 | % | | | 173.64 | | | | 5,775,155 | | |
NYBOT Cotton DEC 21 Futures | | | 1.65 | % | | | 76.70 | | | | 4,404,384 | | |
KCBOT Kansas Wheat DEC 21 Futures | | | 1.60 | % | | | 108.22 | | | | 4,251,683 | | |
CME Lean Hogs DEC 21 Futures | | | 1.51 | % | | | 131.72 | | | | 4,008,149 | | |
(1) Amounts represent quantity and value of index components as they relate specifically to the Fund's swap position as of October 31, 2021.
See Accompanying Notes to Consolidated Financial Statements.
13
Credit Suisse Commodity Return Strategy Fund
Consolidated Schedule of Investments (continued)
October 31, 2021
(c) The index seeks to provide exposure to a diversified group of commodities, inclusive of energy, grains, meats, metals, precious,softs, and textiles. The Fund has indirect exposure to all of the below underlying positions that make up the custom index. When applicable, the table is limited to the largest 50 positions (based on absolute market value) and any other position where the notional value for the position exceeds 1% of the notional value of the index.
Commodity Name | | Weight | | Quantity(1) | | 10/31/21 Value(1) | |
NYMEX Nat Gas MAR 22 Futures | | | 12.18 | % | | | 42.72 | | | | 2,198,043 | | |
NYMEX WTI Crude Oil MAR 22 Futures | | | 9.91 | % | | | 22.80 | | | | 1,789,170 | | |
COMEX Gold APR 22 Futures | | | 7.92 | % | | | 7.99 | | | | 1,428,964 | | |
ICE Brent Crude Oil MAY 22 Futures | | | 5.81 | % | | | 13.17 | | | | 1,048,432 | | |
CBOT Corn MAR 22 Futures | | | 5.14 | % | | | 32.21 | | | | 928,150 | | |
COMEX High Grade Copper MAR 22 Futures | | | 5.00 | % | | | 8.31 | | | | 902,055 | | |
LME Aluminium MAR 22 Futures | | | 4.44 | % | | | 11.79 | | | | 800,520 | | |
CBOT Soybeans MAR 22 Futures | | | 4.26 | % | | | 12.23 | | | | 769,695 | | |
NYBOT Coffee MAR 22 Futures | | | 3.68 | % | | | 8.58 | | | | 665,103 | | |
CBOT Bean Oil MAR 22 Futures | | | 3.48 | % | | | 17.32 | | | | 628,179 | | |
ICE Gas Oil MAR 22 Futures | | | 3.26 | % | | | 8.50 | | | | 587,917 | | |
COMEX Silver MAR 22 Futures | | | 3.02 | % | | | 4.55 | | | | 545,742 | | |
LME Zinc MAR 22 Futures | | | 2.98 | % | | | 6.41 | | | | 537,061 | | |
NYBOT Sugar MAR 22 Futures | | | 2.91 | % | | | 24.35 | | | | 525,518 | | |
COMEX Gold FEB 22 Futures | | | 2.88 | % | | | 2.91 | | | | 519,129 | | |
CBOT Wheat MAR 22 Futures | | | 2.78 | % | | | 12.80 | | | | 502,221 | | |
CME Live Cattle APR 22 Futures | | | 2.66 | % | | | 8.74 | | | | 479,478 | | |
NYMEX Unleaded Gasoline MAR 22 Futures | | | 2.65 | % | | | 4.97 | | | | 479,075 | | |
NYMEX Heating Oil MAR 22 Futures | | | 2.57 | % | | | 4.59 | | | | 463,835 | | |
LME Nickel MAR 22 Futures | | | 2.30 | % | | | 3.56 | | | | 414,445 | | |
CBOT Soy Meal MAR 22 Futures | | | 2.18 | % | | | 11.86 | | | | 393,010 | | |
ICE Brent Crude Oil MAR 22 Futures | | | 2.16 | % | | | 4.79 | | | | 389,866 | | |
NYBOT Cotton MAR 22 Futures | | | 1.66 | % | | | 5.40 | | | | 300,105 | | |
KCBOT Kansas Wheat MAR 22 Futures | | | 1.63 | % | | | 7.48 | | | | 295,039 | | |
CME Lean Hogs APR 22 Futures | | | 1.19 | % | | | 6.52 | | | | 214,027 | | |
CME Live Cattle FEB 22 Futures | | | 0.94 | % | | | 3.18 | | | | 170,544 | | |
CME Lean Hogs FEB 22 Futures | | | 0.41 | % | | | 2.37 | | | | 74,627 | | |
(1) Amounts represent quantity and value of index components as they relate specifically to the Fund's swap position as of October 31, 2021.
(d) 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) | | 10/31/21 Value(1) | |
NYMEX Nat Gas DEC 21 Futures | | | 12.86 | % | | | 638.92 | | | | 34,667,812 | | |
COMEX Gold FEB 22 Futures | | | 10.74 | % | | | 162.12 | | | | 28,952,745 | | |
NYMEX WTI Crude Oil MAR 22 Futures | | | 10.00 | % | | | 343.52 | | | | 26,952,471 | | |
ICE Brent Crude Oil MAR 22 Futures | | | 8.18 | % | | | 270.67 | | | | 22,040,749 | | |
CBOT Corn DEC 21 Futures | | | 5.02 | % | | | 476.39 | | | | 13,535,543 | | |
COMEX High Grade Copper JUL 22 Futures | | | 4.94 | % | | | 123.45 | | | | 13,309,097 | | |
LME Aluminium MAR 22 Futures | | | 4.38 | % | | | 174.02 | | | | 11,812,935 | | |
CBOT Soybeans JAN 22 Futures | | | 4.20 | % | | | 181.06 | | | | 11,311,519 | | |
NYBOT Coffee DEC 21 Futures | | | 3.62 | % | | | 127.67 | | | | 9,764,138 | | |
See Accompanying Notes to Consolidated Financial Statements.
14
Credit Suisse Commodity Return Strategy Fund
Consolidated Schedule of Investments (continued)
October 31, 2021
Commodity Name | | Weight | | Quantity(1) | | 10/31/21 Value(1) | |
CBOT Bean Oil JAN 22 Futures | | | 3.47 | % | | | 255.08 | | | | 9,343,595 | | |
CME Live Cattle DEC 21 Futures | | | 3.38 | % | | | 175.95 | | | | 9,098,279 | | |
ICE Gas Oil DEC 21 Futures | | | 3.31 | % | | | 125.24 | | | | 8,920,357 | | |
COMEX Silver MAR 22 Futures | | | 2.97 | % | | | 66.83 | | | | 8,017,268 | | |
NYBOT Sugar MAR 22 Futures | | | 2.95 | % | | | 368.22 | | | | 7,947,178 | | |
LME Zinc MAR 22 Futures | | | 2.89 | % | | | 92.86 | | | | 7,777,343 | | |
CBOT Wheat DEC 21 Futures | | | 2.71 | % | | | 189.29 | | | | 7,313,668 | | |
NYMEX Unleaded Gasoline MAR 22 Futures | | | 2.64 | % | | | 73.79 | | | | 7,108,788 | | |
NYMEX Heating Oil MAR 22 Futures | | | 2.58 | % | | | 68.72 | | | | 6,949,737 | | |
LME Nickel JUN 22 Futures | | | 2.25 | % | | | 52.32 | | | | 6,054,736 | | |
CBOT Soy Meal JAN 22 Futures | | | 2.16 | % | | | 176.16 | | | | 5,820,203 | | |
NYBOT Cotton MAR 22 Futures | | | 1.65 | % | | | 79.74 | | | | 4,434,568 | | |
KCBOT Kansas Wheat MAR 22 Futures | | | 1.60 | % | | | 109.06 | | | | 4,302,475 | | |
CME Lean Hogs DEC 21 Futures | | | 1.51 | % | | | 134.04 | | | | 4,078,725 | | |
(1) Amounts represent quantity and value of index components as they relate specifically to the Fund's swap position as of October 31, 2021.
See Accompanying Notes to Consolidated Financial Statements.
15
Credit Suisse Commodity Return Strategy Fund
Consolidated Statement of Assets and Liabilities
October 31, 2021
Assets | |
Investments at value (Cost $2,257,612,216) (Note 2) | | $ | 2,257,707,424 | | |
Cash | | | 380,000 | | |
Cash segregated at brokers for futures and swap contracts (Note 2) | | | 62,106,190 | | |
Receivable for investments sold | | | 32,500,000 | | |
Receivable for Fund shares sold | | | 9,414,662 | | |
Unrealized appreciation on open swap contracts (Note 2) | | | 4,597,753 | | |
Variation margin receivable on futures contracts (Note 2) | | | 1,456,681 | | |
Interest receivable | | | 914,250 | | |
Prepaid expenses | | | 108,788 | | |
Total assets | | | 2,369,185,748 | | |
Liabilities | |
Investment advisory fee payable (Note 3) | | | 1,130,261 | | |
Administrative services fee payable (Note 3) | | | 126,994 | | |
Shareholder servicing/Distribution fee payable (Note 3) | | | 14,405 | | |
Payable for investments purchased | | | 35,000,087 | | |
Payable for Fund shares redeemed | | | 22,727,441 | | |
Unrealized depreciation on open swap contracts (Note 2) | | | 11,483,608 | | |
Trustees' fee payable | | | 16,394 | | |
Accrued expenses | | | 972,747 | | |
Total liabilities | | | 71,471,937 | | |
Net Assets | |
Capital stock, $.001 par value (Note 6) | | | 63,365 | | |
Paid-in capital (Note 6) | | | 1,913,361,581 | | |
Total distributable earnings (loss) | | | 384,288,865 | | |
Net assets | | $ | 2,297,713,811 | | |
I Shares | |
Net assets | | $ | 2,249,941,785 | | |
Shares outstanding | | | 61,998,854 | | |
Net asset value, offering price and redemption price per share | | $ | 36.29 | | |
A Shares | |
Net assets | | $ | 40,692,652 | | |
Shares outstanding | | | 1,150,529 | | |
Net asset value and redemption price per share | | $ | 35.37 | | |
Maximum offering price per share (net asset value/(1-4.75%)) | | $ | 37.13 | | |
C Shares | |
Net assets | | $ | 7,079,374 | | |
Shares outstanding | | | 215,638 | | |
Net asset value and offering price per share | | $ | 32.83 | | |
See Accompanying Notes to Consolidated Financial Statements.
16
Credit Suisse Commodity Return Strategy Fund
Consolidated Statement of Operations
For the Year Ended October 31, 2021
Investment Income | |
Interest | | $ | 3,892,243 | | |
Securities lending (net of rebates) | | | 408 | | |
Total investment income | | | 3,892,651 | | |
Expenses | |
Investment advisory fees (Note 3) | | | 11,179,251 | | |
Administrative services fees (Note 3) | | | 304,343 | | |
Shareholder servicing/Distribution fees (Note 3) | |
Class A | | | 93,137 | | |
Class C | | | 46,261 | | |
Transfer agent fees (Note 3) | | | 3,252,222 | | |
Printing fees | | | 254,236 | | |
Registration fees | | | 154,819 | | |
Custodian fees | | | 109,108 | | |
Insurance expense | | | 79,011 | | |
Trustees' fees | | | 64,527 | | |
Legal fees | | | 52,784 | | |
Audit and tax fees | | | 52,770 | | |
Commitment fees (Note 4) | | | 34,687 | | |
Miscellaneous expense | | | 40,176 | | |
Total expenses | | | 15,717,332 | | |
Less: fees waived and expenses reimbursed (Note 3) | | | (419,628 | ) | |
Net expenses | | | 15,297,704 | | |
Net investment loss | | | (11,405,053 | ) | |
Net Realized and Unrealized Gain (Loss) from Investments, Futures Contracts and Swap Contracts | |
Net realized gain from investments | | | 378,480 | | |
Net realized gain from futures contracts | | | 3,132,761 | | |
Net realized gain from swap contracts | | | 686,826,992 | | |
Net change in unrealized appreciation (depreciation) from investments | | | (2,863,954 | ) | |
Net change in unrealized appreciation (depreciation) from futures contracts | | | (3,007,260 | ) | |
Net change in unrealized appreciation (depreciation) from swap contracts | | | (14,992,291 | ) | |
Net realized and unrealized gain from investments, futures contracts and swap contracts | | | 669,474,728 | | |
Net increase in net assets resulting from operations | | $ | 658,069,675 | | |
See Accompanying Notes to Consolidated Financial Statements.
17
Credit Suisse Commodity Return Strategy Fund
Consolidated Statements of Changes in Net Assets
| | | For the Year
Ended
October 31, 2021 | | For the Year
Ended
October 31, 2020 | |
From Operations | |
Net investment income (loss) | | $ | (11,405,053 | ) | | $ | 2,784,384 | | |
Net realized gain (loss) from investments, futures contracts and swap contracts | | | 690,338,233 | | | | (102,398,794 | ) | |
Net change in unrealized appreciation (depreciation) from investments,
futures contracts and swap contracts | | | (20,863,505 | ) | | | 598,078 | | |
Net increase (decrease) in net assets resulting from operations | | | 658,069,675 | | | | (99,016,332 | ) | |
From Distributions | |
From distributable earnings | | | — | | | | — | | |
Class I | | | — | | | | (2,201,128 | ) | |
Class A | | | — | | | | (38,648 | ) | |
Return of capital | | | — | | | | — | | |
Class I | | | — | | | | (3,322,052 | ) | |
Class A | | | — | | | | (58,330 | ) | |
Net decrease in net assets resulting from distributions | | | — | | | | (5,620,158 | ) | |
| From Capital Share Transactions (Note 6) | |
Proceeds from sale of shares | | | 790,433,772 | | | | 904,206,393 | | |
Reinvestment of dividends | | | — | | | | 3,364,786 | | |
Net asset value of shares redeemed | | | (628,596,415 | ) | | | (1,007,139,012 | ) | |
Net increase (decrease) in net assets from capital share transactions | | | 161,837,357 | | | | (99,567,833 | ) | |
Net increase (decrease) in net assets | | | 819,907,032 | | | | (204,204,323 | ) | |
Net Assets | |
Beginning of year | | | 1,477,806,779 | | | | 1,682,011,102 | | |
End of year | | $ | 2,297,713,811 | | | $ | 1,477,806,779 | | |
See Accompanying Notes to Consolidated Financial Statements.
18
Credit Suisse Commodity Return Strategy Fund
Consolidated Financial Highlights
(For a Class I Share of the Fund Outstanding Throughout Each Year)
| | | For the Year Ended October 31, | |
| | | 20211 | | 20201 | | 20191 | | 20181 | | 20171 | |
Per share data | |
Net asset value, beginning of year | | $ | 25.32 | | | $ | 27.24 | | | $ | 28.50 | | | $ | 30.24 | | | $ | 29.46 | | |
INVESTMENT OPERATIONS | |
Net investment income (loss)2 | | | (0.19 | ) | | | 0.06 | | | | 0.42 | | | | 0.30 | | | | 0.06 | | |
Net gain (loss) from investments,
futures contracts and swap contracts
(both realized and unrealized) | | | 11.16 | | | | (1.86 | ) | | | (1.32 | ) | | | (1.02 | ) | | | 0.72 | | |
Total from investment operations | | | 10.97 | | | | (1.80 | ) | | | (0.90 | ) | | | (0.72 | ) | | | 0.78 | | |
LESS DIVIDENDS | |
Dividends from net investment income | | | — | | | | (0.06 | ) | | | (0.36 | ) | | | (1.02 | ) | | | — | | |
Return of capital | | | — | | | | (0.06 | ) | | | — | | | | — | | | | — | | |
Total dividends | | | — | | | | (0.12 | ) | | | (0.36 | ) | | | (1.02 | ) | | | — | | |
Net asset value, end of year | | $ | 36.29 | | | $ | 25.32 | | | $ | 27.24 | | | $ | 28.50 | | | $ | 30.24 | | |
Total return3 | | | 43.33 | % | | | (6.70 | )% | | | (3.13 | )% | | | (2.48 | )% | | | 2.65 | % | |
RATIOS AND SUPPLEMENTAL DATA | |
Net assets, end of year (000s omitted) | | $ | 2,249,942 | | | $ | 1,442,691 | | | $ | 1,634,169 | | | $ | 2,654,009 | | | $ | 3,383,007 | | |
Ratio of net expenses to average
net assets | | | 0.80 | % | | | 0.80 | % | | | 0.78 | % | | | 0.78 | % | | | 0.79 | % | |
Ratio of net investment income
(loss) to average net assets | | | (0.59 | )% | | | 0.20 | % | | | 1.62 | % | | | 1.02 | % | | | 0.23 | % | |
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements | | | 0.02 | % | | | 0.04 | % | | | — | % | | | — | % | | | — | % | |
Portfolio turnover rate4 | | | 22 | % | | | 215 | % | | | 130 | % | | | 90 | % | | | 86 | % | |
1 A one for six reverse share split, effective October 15, 2021, has been retroactively applied. See Note 6 in the Notes to Financial Statements.
2 Per share information is calculated using the average shares outstanding method.
3 Total returns are historical and include change in share price and reinvestment of all dividends and distributions.
4 Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
See Accompanying Notes to Consolidated Financial Statements.
19
Credit Suisse Commodity Return Strategy Fund
Consolidated Financial Highlights
(For a Class A Share of the Fund Outstanding Throughout Each Year)
| | | For the Year Ended October 31, | |
| | | 20211 | | 20201 | | 20191 | | 20181 | | 20171 | |
Per share data | |
Net asset value, beginning of year | | $ | 24.72 | | | $ | 26.64 | | | $ | 27.84 | | | $ | 29.58 | | | $ | 28.86 | | |
INVESTMENT OPERATIONS | |
Net investment income (loss)2 | | | (0.26 | ) | | | (0.00 | )3 | | | 0.36 | | | | 0.24 | | | | (0.00 | )3 | |
Net gain (loss) from investments, futures
contracts and swap contracts
(both realized and unrealized) | | | 10.91 | | | | (1.86 | ) | | | (1.26 | ) | | | (1.08 | ) | | | 0.72 | | |
Total from investment operations | | | 10.65 | | | | (1.86 | ) | | | (0.90 | ) | | | (0.84 | ) | | | 0.72 | | |
LESS DIVIDENDS | |
Dividends from net investment income | | | — | | | | (0.00 | )3 | | | (0.30 | ) | | | (0.90 | ) | | | — | | |
Return of capital | | | — | | | | (0.06 | ) | | | — | | | | — | | | | — | | |
Total dividends | | | — | | | | (0.06 | ) | | | (0.30 | ) | | | (0.90 | ) | | | — | | |
Net asset value, end of year | | $ | 35.37 | | | $ | 24.72 | | | $ | 26.64 | | | $ | 27.84 | | | $ | 29.58 | | |
Total return4 | | | 43.08 | % | | | (6.97 | )% | | | (3.24 | )% | | | (2.97 | )% | | | 2.49 | % | |
RATIOS AND SUPPLEMENTAL DATA | |
Net assets, end of year (000s omitted) | | $ | 40,693 | | | $ | 32,422 | | | $ | 44,469 | | | $ | 86,467 | | | $ | 93,047 | | |
Ratio of net expenses to average
net assets | | | 1.05 | % | | | 1.05 | % | | | 1.03 | % | | | 1.03 | % | | | 1.04 | % | |
Ratio of net investment income
(loss) to average net assets | | | (0.84 | )% | | | (0.02 | )% | | | 1.38 | % | | | 0.78 | % | | | (0.01 | )% | |
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements | | | 0.02 | % | | | 0.04 | % | | | — | % | | | — | % | | | — | % | |
Portfolio turnover rate5 | | | 22 | % | | | 215 | % | | | 130 | % | | | 90 | % | | | 86 | % | |
1 A one for six reverse share split, effective October 15, 2021, has been retroactively applied. See Note 6 in the Notes to Financial Statements.
2 Per share information is calculated using the average shares outstanding method.
3 This amount represents less than $0.01 per share.
4 Total returns are historical and include change in share price, reinvestment of all dividends and distributions and no sales charge.
5 Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
See Accompanying Notes to Consolidated Financial Statements.
20
Credit Suisse Commodity Return Strategy Fund
Consolidated Financial Highlights
(For a Class C Share of the Fund Outstanding Throughout Each Year)
| | | For the Year Ended October 31, | |
| | | 20211 | | 20201 | | 20191 | | 20181 | | 20171 | |
Per share data | |
Net asset value, beginning of year | | $ | 23.16 | | | $ | 25.02 | | | $ | 26.22 | | | $ | 27.66 | | | $ | 27.24 | | |
INVESTMENT OPERATIONS | |
Net investment income (loss)2 | | | (0.46 | ) | | | (0.18 | ) | | | 0.18 | | | | 0.003 | | | | (0.24 | ) | |
Net gain (loss) from investments,
futures contracts and swap contracts
(both realized and unrealized) | | | 10.13 | | | | (1.68 | ) | | | (1.26 | ) | | | (0.90 | ) | | | 0.66 | | |
Total from investment operations | | | 9.67 | | | | (1.86 | ) | | | (1.08 | ) | | | (0.90 | ) | | | 0.42 | | |
LESS DIVIDENDS | |
Dividends from net investment income | | | — | | | | — | | | | (0.12 | ) | | | (0.54 | ) | | | — | | |
Total dividends | | | — | | | | — | | | | (0.12 | ) | | | (0.54 | ) | | | — | | |
Net asset value, end of year | | $ | 32.83 | | | $ | 23.16 | | | $ | 25.02 | | | $ | 26.22 | | | $ | 27.66 | | |
Total return4 | | | 41.75 | % | | | (7.43 | )% | | | (4.23 | )% | | | (3.42 | )% | | | 1.54 | % | |
RATIOS AND SUPPLEMENTAL DATA | |
Net assets, end of year (000s omitted) | | $ | 7,079 | | | $ | 2,694 | | | $ | 3,374 | | | $ | 5,213 | | | $ | 6,038 | | |
Ratio of net expenses to average
net assets | | | 1.80 | % | | | 1.80 | % | | | 1.78 | % | | | 1.78 | % | | | 1.79 | % | |
Ratio of net investment income
(loss) to average net assets | | | (1.60 | )% | | | (0.78 | )% | | | 0.62 | % | | | 0.02 | % | | | (0.77 | )% | |
Decrease reflected in above
operating expense ratios due to
waivers/reimbursements | | | 0.02 | % | | | 0.04 | % | | | — | % | | | — | % | | | — | % | |
Portfolio turnover rate5 | | | 22 | % | | | 215 | % | | | 130 | % | | | 90 | % | | | 86 | % | |
1 A one for six reverse share split, effective October 15, 2021, has been retroactively applied. See Note 6 in the Notes to Financial Statements.
2 Per share information is calculated using the average shares outstanding method.
3 This amount represents less than $0.01 per share.
4 Total returns are historical and include change in share price, reinvestment of all dividends and distributions and no sales charge.
5 Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
See Accompanying Notes to Consolidated Financial Statements.
21
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements
October 31, 2021
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 18, 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 October 31, 2021, the Fund held $449,556,102 in the Subsidiary, representing 19.6% of the Fund's consolidated net assets. For the year ended October 31, 2021, the net realized gain on securities and other financial instruments held in the Subsidiary was $690,070,471.
Subsequent references to the Fund within the Notes to Consolidated Financial Statements collectively refer to the Fund and the Subsidiary, unless the context otherwise requires.
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
22
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
October 31, 2021
Note 1. Organization (continued)
sales charge. Effective June 30, 2021, Class C shares, upon the eight year anniversary of purchase, will convert to Class A shares.
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 effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based
23
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
October 31, 2021
Note 2. Significant Accounting Policies (continued)
on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Over-the-counter derivative financial instruments, such as swap agreements, generally derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. 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.)
24
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
October 31, 2021
Note 2. Significant Accounting Policies (continued)
• Level 3 – significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of October 31, 2021 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 | | $ | — | | | $ | 866,701,545 | | | $ | — | | | $ | 866,701,545 | | |
United States Treasury Obligations | | | — | | | | 1,338,023,139 | | | | — | | | | 1,338,023,139 | | |
Short-term Investment | | | 52,982,740 | | | | — | | | | — | | | | 52,982,740 | | |
| | | $ | 52,982,740 | | | $ | 2,204,724,684 | | | $ | — | | | $ | 2,257,707,424 | | |
Other Financial Instruments* | |
Futures Contracts | | $ | 4,872,753 | | | $ | — | | | $ | — | | | $ | 4,872,753 | | |
Swap Contracts | | | — | | | | 4,597,753 | | | | — | | | | 4,597,753 | | |
Liabilities | | Level 1 | | Level 2 | | Level 3 | | Total | |
Other Financial Instruments* | |
Futures Contracts | | $ | 4,037,911 | | | $ | — | | | $ | — | | | $ | 4,037,911 | | |
Swap Contracts | | | — | | | | 11,483,608 | | | | — | | | | 11,483,608 | | |
* Other financial instruments include unrealized appreciation(depreciation) on futures and swap contracts.
For the year ended October 31, 2021, 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 year ended October 31, 2021, the Fund's derivatives did not qualify for hedge accounting as they are held at fair value.
25
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
October 31, 2021
Note 2. Significant Accounting Policies (continued)
The following table presents the fair value and the location of derivatives within the Consolidated Statement of Assets and Liabilities at October 31, 2021 and the effect of these derivatives on the Consolidated Statement of Operations for the year ended October 31, 2021.
Primary Underlying Risk | | Derivative
Assets(1) | | Derivative
Liabilities(1) | | Realized Gain
(Loss) | | Change in Unrealized
Appreciation (Depreciation) | |
Commodity price | |
Futures contracts(2) | | $ | 4,872,753 | | | $ | (4,037,911 | ) | | $ | 3,132,761 | | | $ | (3,007,260 | ) | |
Total return swap contracts | | | 4,597,753 | | | | (11,483,608 | ) | | | 686,826,992 | | | | (14,992,291 | ) | |
| | | $ | 9,470,506 | | | $ | (15,521,519 | ) | | $ | 689,959,753 | | | $ | (17,999,551 | ) | |
(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 Consolidated Schedule of Investments. Only variation margin is reported within the receivables and/or payables on the Consolidated Statement of Assets and Liabilities.
The notional amount of futures contracts and swap contracts open at October 31, 2021 is reflected in the Consolidated Schedule of Investments. For the year ended October 31, 2021, the Fund held average monthly notional values of $31,799,835, $27,311,771 and $1,882,325,122 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 October 31, 2021:
Counterparty | | Gross Amount of
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 | | $ | 2,245,756 | | | $ | (998,006 | ) | | $ | — | | | $ | — | | | $ | 1,247,750 | | |
Macquarie Bank Ltd. | | | 2,351,997 | | | | (554,521 | ) | | | — | | | | — | | | | 1,797,476 | | |
| | | $ | 4,597,753 | | | $ | (1,552,527 | ) | | $ | — | | | $ | — | | | $ | 3,045,226 | | |
26
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
October 31, 2021
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 October 31, 2021:
Counterparty | | Gross Amount of
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 | | $ | 998,006 | | | $ | (998,006 | ) | | $ | — | | | $ | — | | | $ | — | | |
BNP Paribas | | | 782,520 | | | | — | | | | — | | | | (782,520 | ) | | | — | | |
Citigroup | | | 1,742,285 | | | | — | | | | (1,742,285 | ) | | | — | | | | — | | |
Goldman Sachs | | | 2,191,235 | | | | — | | | | (2,191,235 | ) | | | — | | | | — | | |
JPMorgan Chase | | | 669,009 | | | | — | | | | — | | | | (669,009 | ) | | | — | | |
Macquarie Bank Ltd. | | | 554,521 | | | | (554,521 | ) | | | — | | | | — | | | | — | | |
Morgan Stanley | | | 832,511 | | | | — | | | | — | | | | (832,511 | ) | | | — | | |
RBC Capital | | | 1,404,407 | | | | — | | | | (1,404,407 | ) | | | — | | | | — | | |
Societe Generale | | | 1,709,227 | | | | — | | | | (1,709,227 | ) | | | — | | | | — | | |
UBS | | | 599,887 | | | | — | | | | — | | | | (599,887 | ) | | | — | | |
| | | $ | 11,483,608 | | | $ | (1,552,527 | ) | | $ | (7,047,154 | ) | | $ | (2,883,927 | ) | | $ | — | | |
(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.
27
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
October 31, 2021
Note 2. Significant Accounting Policies (continued)
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 "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.
28
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
October 31, 2021
Note 2. Significant Accounting Policies (continued)
G) FUTURES — The Fund may enter into futures contracts to the extent permitted by its investment policies and objectives. The Fund may use futures 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 October 31, 2021, the amount of restricted cash held at brokers related to open futures contracts was $1,827,189.
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
29
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
October 31, 2021
Note 2. Significant Accounting Policies (continued)
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 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 October 31, 2021, the amount of restricted cash held at brokers related to open swap contracts was $60,279,001.
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
30
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
October 31, 2021
Note 2. Significant Accounting Policies (continued)
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 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 October 31, 2021, there were no securities out on loan.
During the year ended October 31, 2021, total earnings from the Fund's investment in cash collateral received in connection with securities lending arrangements was $97, and fees collected from borrowers (brokers), excluding commissions, was $447. The Fund retained $408 in income from the cash collateral investment, and SSB, as lending agent, was paid $136. 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 with respect to 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.
31
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
October 31, 2021
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 year ended October 31, 2021, investment advisory and administration fees earned and fees waived/expenses reimbursed by Credit Suisse were $11,179,251 and $419,628 respectively. 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, 2023. For the year ended October 31, 2021, there was no recoupment.
The amounts waived and reimbursed by Credit Suisse, which are available for potential future recoupment by Credit Suisse, and the expiration schedule at October 31, 2021 are as follows:
| | Fee waivers/expense
reimbursements
subject to
recoupment | | Expires
October 31,
2023 | | Expires
October 31,
2024 | |
Class I | | $ | 926,254 | | | $ | 516,032 | | | $ | 410,222 | | |
Class A | | | 21,149 | | | | 12,711 | | | | 8,438 | | |
Class C | | | 1,953 | | | | 985 | | | | 968 | | |
Totals | | $ | 949,356 | | | $ | 529,728 | | | $ | 419,628 | | |
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 year ended October 31, 2021, co-administrative services fees earned by SSB (including out-of-pocket expenses) with respect to the Fund were $304,343.
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
32
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
October 31, 2021
Note 3. Transactions with Affiliates and Related Parties (continued)
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 year ended October 31, 2021, the Fund paid Rule 12b-1 distribution fees of $93,137 for Class A shares and $46,261 for Class C shares. Class I shares are not subject to Rule 12b-1 distribution fees.
For the year ended October 31, 2021, CSSU and its affiliates advised the Fund that they retained $6,598 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 $125 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 October 31, 2021 and during the year ended October 31, 2021, the Fund had no borrowings outstanding under the Credit Facility.
Note 5. Purchases and Sales of Securities
For the year ended October 31, 2021, 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 | | | $ | 1,106,599,414 | | | $ | 374,775,284 | | |
33
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
October 31, 2021
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, Class A and Class C shares. Transactions in capital shares for each class of the Fund were as follows:
| | | Class I | |
| | | For the Year Ended
October 31, 2021 | | For the Year Ended
October 31, 2020 | |
| | | Shares1 | | Value | | Shares1 | | Value | |
Shares sold | | | 25,052,948 | | | $ | 775,123,092 | | | | 37,980,491 | | | $ | 892,091,775 | | |
Shares issued in reinvestment
of dividends | | | — | | | | — | | | | 133,078 | | | | 3,280,768 | | |
Shares redeemed | | | (20,022,574 | ) | | | (611,398,301 | ) | | | (41,152,544 | ) | | | (985,617,725 | ) | |
Net increase (decrease) | | | 5,030,374 | | | $ | 163,724,791 | | | | (3,038,975 | ) | | $ | (90,245,182 | ) | |
| | | Class A | |
| | | For the Year Ended
October 31, 2021 | | For the Year Ended
October 31, 2020 | |
| | | Shares1 | | Value | | Shares1 | | Value | |
Shares sold | | | 386,766 | | | $ | 11,588,601 | | | | 482,164 | | | $ | 11,315,216 | | |
Shares issued in reinvestment
of dividends | | | — | | | | — | | | | 3,399 | | | | 84,018 | | |
Shares redeemed | | | (546,622 | ) | | | (16,359,869 | ) | | | (844,289 | ) | | | (20,282,977 | ) | |
Net decrease | | | (159,856 | ) | | $ | (4,771,268 | ) | | | (358,726 | ) | | $ | (8,883,743 | ) | |
| | | Class C | |
| | | For the Year Ended
October 31, 2021 | | For the Year Ended
October 31, 2020 | |
| | | Shares1 | | Value | | Shares1 | | Value | |
Shares sold | | | 129,348 | | | $ | 3,722,079 | | | | 35,562 | | | $ | 799,402 | | |
Shares redeemed | | | (30,090 | ) | | | (838,245 | ) | | | (53,909 | ) | | | (1,238,310 | ) | |
Net increase (decrease) | | | 99,258 | | | $ | 2,883,834 | | | | (18,347 | ) | | $ | (438,908 | ) | |
1 A one for six reverse share split, effective October 15, 2021, has been retroactively applied.
On August 18, 2021, reverse share splits were announced for each class of the Fund, pursuant to which shareholders received one share in exchange for every six shares of the Fund.
The reverse share splits were effective October 15, 2021. The reverse splits reduced the number of outstanding shares of each class of the Fund and proportionately increased the net asset value ("NAV") per share of each class of the Fund such that the market value of the Fund's shares will remain the same. The reverse share splits applied the same ratio to each class of shares of the Fund.
34
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
October 31, 2021
Note 6. Capital Share Transactions (continued)
A reverse share split does not alter the rights or total value of a shareholder's investment in the Fund, nor will it be a taxable event for Fund investors.
The Capital Share Transactions and Financial Highlights prior to October 15, 2021 for the Fund has been adjusted to reflect the reverse share split.
On October 31, 2021, 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 | | | | 69 | % | |
Class A | | | 6 | | | | 65 | % | |
Class C | | | 5 | | | | 81 | % | |
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.
Note 7. Income Tax Information and Distributions to Shareholders
Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
The tax character of distributions paid by the Fund during the year ended October 31, 2021 and 2020, respectively, was as follows:
Ordinary Income | | Return of Capital | |
| 2021 | | 2020 | | 2021 | | 2020 | |
| $ | 0 | | | $ | 2,239,776 | | | $ | 0 | | | $ | 3,380,382 | | |
The tax basis components of distributable earnings differ from book basis by temporary book/tax differences. These differences are primarily due to differing treatments of premium amortization accruals, and Subsidiary adjustments.
At October 31, 2021, the components of distributable earnings on a tax basis were as follows:
Undistributed net investment income | | $ | 609,762,800 | | |
Accumulated net realized loss | | | (225,533,151 | ) | |
Unrealized appreciation | | | 59,216 | | |
| | $ | 384,288,865 | | |
35
Credit Suisse Commodity Return Strategy Fund
Notes to Consolidated Financial Statements (continued)
October 31, 2021
Note 7. Income Tax Information and Distributions to Shareholders (continued)
For the year ended October 31, 2021, capital loss carry over used in current year was $239,745.
At October 31, 2021, the Fund had $177,919,318 of unlimited short-term capital loss carryforwards and $47,613,833 of unlimited long-term capital loss carryforwards available to offset possible future capital gains.
At October 31, 2021, the cost and net unrealized appreciation (depreciation) of investments and derivatives for income tax purposes were as follows:
Cost of Investments | | $ | 2,312,281,331 | | |
Unrealized appreciation | | $ | 12,364,199 | | |
Unrealized depreciation | | | (12,304,983 | ) | |
Net unrealized appreciation (depreciation) | | $ | 59,216 | | |
To adjust for current period permanent book/tax differences which arose principally from differing book/tax treatment of equalization, premium amortization adjustments, and Subsidiary cumulative income/loss, paid-in capital was credited $50,962,487 and distributable earnings/loss was charged $50,962,487. Net assets were not affected by this reclassification.
Note 8. Contingencies
In the normal course of business, the Fund may provide general indemnifications pursuant to certain contracts and organizational documents. The Fund's maximum exposure under these arrangements is dependent on future claims that may be made against the Fund and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote.
Note 9. Subsequent Events
In preparing the financial statements as of October 31, 2021, 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.
36
Credit Suisse Commodity Return Strategy Fund
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Credit Suisse Commodity Strategy Funds and Shareholders of Credit Suisse Commodity Return Strategy Fund
Opinion on the Financial Statements
We have audited the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, of Credit Suisse Commodity Return Strategy Fund (one of the funds constituting Credit Suisse Commodity Strategy Funds, referred to hereafter as the "Fund") as of October 31, 2021, the related consolidated statement of operations for the year ended October 31, 2021, the consolidated statement of changes in net assets for each of the two years in the period ended October 31, 2021, including the related notes, and the consolidated financial highlights for each of the two years in the period ended October 31, 2021 (collectively referred to as the "consolidated financial statements"). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Fund as of October 31, 2021, the results of its operations for the year then ended, and the changes in its net assets and the financial highlights for each of the two years in the period ended October 31, 2021 in conformity with accounting principles generally accepted in the United States of America.
The consolidated financial statements of the Fund as of and for the year ended October 31, 2019 and the consolidated financial highlights for the years ended October 31, 2019, 2018 and 2017 (not presented herein, other than the consolidated financial highlights), prior to the reflection of the reverse stock split as described in Note 6, were audited by other auditors whose report dated December 20, 2019 expressed an unqualified opinion on those consolidated financial statements and consolidated financial highlights.
We also have audited the adjustments to the financial highlights for the years ended October 31, 2019, 2018 and 2017 to reflect the reverse stock split, as described in Note 6. In our opinion, such adjustments are appropriate and have been properly applied. We were not engaged to audit, review, or apply any procedures to the 2019, 2018 or 2017 financial statements and financial highlights of the Fund other than with respect to the adjustments and, accordingly, we do not express an opinion or any other form of assurance on the 2019, 2018 or 2017 financial statements and financial highlights taken as a whole.
Basis for Opinion
These consolidated financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's consolidated financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight
37
Credit Suisse Commodity Return Strategy Fund
Report of Independent Registered Public Accounting Firm
Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these consolidated financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. Our procedures included confirmation of securities owned as of October 31, 2021 by correspondence with the custodian, transfer agent, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/S/PricewaterhouseCoopers LLP
New York, New York
December 29, 2021
We have served as the auditor of one or more investment companies in Credit Suisse Asset Management, LLC investment companies since 2020.
38
Credit Suisse Commodity Return Strategy Fund
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees
Credit Suisse Commodity Return Strategy Fund:
Opinion on the Consolidated Financial Statements
We have audited, before the effects of the adjustments to retrospectively apply the one for six reverse share split described in Note 6, the consolidated statement of assets and liabilities of Credit Suisse Commodity Return Strategy Fund (the Fund), a series of the Credit Suisse Commodity Strategy Funds, including the consolidated schedule of investments, as of October 31, 2019, the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the consolidated financial statements) and the consolidated financial highlights for each of the years in the three-year period then ended. The consolidated financial statements before the effects of the adjustments described in Note 6 are not presented herein. In our opinion, the consolidated financial statements, before the effects of the adjustments to retrospectively apply the one for six reverse share split described in Note 6, and consolidated financial highlights present fairly, in all material respects, the financial position of the Fund as of October 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the consolidated financial highlights for each of the years in the three-year period then ended, in conformity with U.S. generally accepted accounting principles.
We were not engaged to audit, review, or apply any procedures to the adjustments to retrospectively apply the one for six reverse share split described in Note 6 and, accordingly, we do not express an opinion or any other form of assurance about whether such adjustments are appropriate and have been properly applied. Those adjustments were audited by other auditors.
Basis for Opinion
These consolidated financial statements and consolidated financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these consolidated financial statements and consolidated financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
39
Credit Suisse Commodity Return Strategy Fund
Report of Independent Registered Public Accounting Firm
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements and consolidated financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements and consolidated financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements and consolidated financial highlights. Such procedures also included confirmation of securities owned as of October 31, 2019, by correspondence with custodians and brokers or by other appropriate auditing procedures when replies were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements and consolidated financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We served as the auditor of one or more Credit Suisse Asset Management, LLC investment companies from 2015 to 2019.
New York, New York
December 20, 2019
40
Credit Suisse Commodity Return Strategy Fund
Information Concerning Trustees and Officers (unaudited)
Name, Address
(Year of Birth) | | Position(s)
Held with
Fund | | Term
of Office1
and
Length
of Time
Served | | Principal
Occupation(s) During
Past Five Years | | Number of
Portfolios
in Fund
Complex
Overseen
by Trustee | | Other
Trusteeships
Held by Trustee
During Past Five Years | |
Independent Trustees | | | | | | | | | | | |
Laura A. DeFelice
c/o Credit Suisse Asset Management, LLC
Attn: General Counsel
Eleven Madison Avenue
New York, New York
10010
(1959) | | Trustee, Nominating and Audit Committee member | | Since 2017 | | Partner of Acacia Properties LLC (multi-family and commercial real estate ownership and operation) from 2008 to present; Stonegate Advisors LLC (renewable energy and energy efficiency) from 2007 to present. | | | 9 | | | None | |
Jeffrey E. Garten
c/o Credit Suisse Asset Management, LLC
Attn: General Counsel
Eleven Madison Avenue
New York, New York
10010
(1946) | | Trustee, Nominating and Audit Committee member | | Since Fund Inception | | Dean Emeritus of Yale School of Management from July 2015 to present; Partner and Chairman of Garten Rothkopf (consulting firm) from October 2005 to June 2017. | | | 9 | | | Director of Aetna, Inc. (insurance company) from January 1999 to 2019; Director of CarMax Group (used car dealers) from January 2002 to 2019; Director of Miller Buckfire & Co., LLC (financial restructuring) from January 2008 to 2019. | |
Mahendra R. Gupta
c/o Credit Suisse Asset Management, LLC
Attn: General Counsel
Eleven Madison Avenue
New York, New York
10010
(1956) | | Trustee, Nominating Committee member and Audit Committee Chairman | | Since 2017 | | Professor, Washington University in St. Louis from July 1990 to present; Partner, R.J. Mithaiwala (food manufacturing and retail, India) from March 1977 to present; Partner, F.F.B. Corporation (agriculture, India) from March 1977 to present; Partner, RPMG Research Corporation (benchmark research) from July 2001 to present. | | | 9 | | | Director of Caleres Inc. (footwear) from May 2012 to present; Director of Koch Development Corporation (real estate development) from November 2017 to present; Director of Supernova (fin-tech) from June 2014 to September 2018. | |
1 Subject to the Trust's retirement policy, each Trustee may continue to serve as a Trustee until the last day of the calendar year in which the applicable Trustee attains age 75. The Board may determine to extend the terms of Trustees beyond age 75 on a case-by-case basis. Each officer serves until his or her respective successor has been duly elected and qualified.
41
Credit Suisse Commodity Return Strategy Fund
Information Concerning Trustees and Officers (unaudited) (continued)
Name, Address
(Year of Birth) | | Position(s)
Held with
Fund | | Term
of Office1
and
Length
of Time
Served | | Principal
Occupation(s) During
Past Five Years | | Number of
Portfolios
in Fund
Complex
Overseen
by Trustee | | Other
Trusteeships
Held by Trustee
During Past Five Years | |
Independent Trustees | | | | | | | | | | | |
Steven N. Rappaport
c/o Credit Suisse Asset Management, LLC
Attn: General Counsel
Eleven Madison Avenue
New York, New York
10010
(1948) | | Chairman of the Board, Nominating Committee Chairman and Audit Committee member | | Trustee since Fund Inception and Chairman since 2005 | | Partner of Lehigh Court, LLC and RZ Capital (private investment firms) from July 2002 to present; Partner of Backstage Acquisition Holdings, LLC (publication job postings) from November 2013 to 2018. | | | 9 | | | Director of Aberdeen Emerging Markets Equity Income Fund, Inc. (a closed-end investment company); Director of Aberdeen Funds (18 open-end portfolios); Director of iCAD, Inc. (surgical & medical instruments & apparatus company) from 2006 to 2018. | |
Interested Trustee | | | | | | | | | | | |
John G. Popp2
Credit Suisse Asset
Management, LLC
Eleven Madison Avenue
New York, New York
10010
(1956) | | Trustee, Chief Executive Officer and President | | Trustee since 2017
Chief Executive Officer and President since 2010 | | Managing Director of Credit Suisse; Global Head and Chief Investment Officer of the Credit Investments Group; Associated with Credit Suisse or its predecessor since 1997; Officer of other Credit Suisse Funds. | | | 9 | | | None. | |
1 Subject to the Trust's retirement policy, each Trustee may continue to serve as a Trustee until the last day of the calendar year in which the applicable Trustee attains age 75. The Board may determine to extend the terms of Trustees beyond age 75 on a case-by-case basis. Each officer serves until his or her respective successor has been duly elected and qualified.
2 Mr. Popp is an "interested person" of the Trust, as defined in the 1940 Act, by virtue of his current position as an officer of Credit Suisse.
42
Credit Suisse Commodity Return Strategy Fund
Information Concerning Trustees and Officers (unaudited) (continued)
Name, Address
(Year of Birth) | | Position(s)
Held with
Fund | | Term of
Office
and
Length of
Time
Served | | Principal Occupation(s) During Past Five Years | |
Officers* | | | | | | | |
Emidio Morizio**
Credit Suisse Asset
Management, LLC
Eleven Madison Avenue
New York, New York 10010
(1966) | | Chief Compliance Officer | | Since Fund Inception | | Managing Director and Global Head of Compliance of Credit Suisse since 2010; Associated with Credit Suisse since July 2000; Officer of other Credit Suisse Funds. | |
Lou Anne McInnis
Credit Suisse Asset Management, LLC
Eleven Madison Avenue
New York, New York 10010
(1959) | | Chief Legal Officer | | Since 2015 | | Director of Credit Suisse; Associated with Credit Suisse since April 2015; Counsel at DLA Piper US LLP from 2011 to April 2015; Associated with Morgan Stanley Investment Management from 1997 to 2010; Officer of other Credit Suisse Funds. | |
Omar Tariq
Credit Suisse Asset
Management, LLC
Eleven Madison Avenue
New York, New York 10010
(1983) | | Chief Financial Officer and Treasurer | | Since 2019 | | Director of Credit Suisse since 2019; Senior Manager of PricewaterhouseCoopers,LLP from September 2010 to March 2019; Officer of other Credit Suisse Funds. | |
Karen Regan
Credit Suisse Asset
Management, LLC
Eleven Madison Avenue
New York, New York 10010
(1963) | | Vice President and Secretary | | Since 2010 | | Vice President of Credit Suisse; Associated with Credit Suisse since December 2004; Officer of other Credit Suisse Funds. | |
* The officers of the Fund shown are officers that make policy decisions.
** Effective December 16, 2021, Jason Gossett replaced Emidio Morizio as Interim Chief Compliance Officer. Mr. Gossett has been a Vice President of Credit Suisse since 2018 and has been associated with Credit Suisse since June 2015. Mr. Gossett also serves as an officer of other Credit Suisse funds.
The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling 877-870-2874.
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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.
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P.O. BOX 219916, KANSAS CITY, MO 64121-9916
877-870-2874 ◼ www.credit-suisse.com/us/funds
CREDIT SUISSE SECURITIES (USA) LLC, DISTRIBUTOR. COM-AR-1021
Item 2. Code of Ethics.
The registrant has adopted a code of ethics applicable to its Chief Executive Officer, President, Chief Financial Officer and Chief Accounting Officer, or persons performing similar functions. A copy of the code is filed as Exhibit 12(a)(1) to this Form. There were no amendments to the code during the fiscal year ended October 31, 2021. There were no waivers or implicit waivers from the code granted by the registrant during the fiscal year ended October 31, 2021.
Item 3. Audit Committee Financial Expert.
The registrant's governing board has determined that it has two audit committee financial experts serving on its audit committee: Mahendra R. Gupta and Steven N. Rappaport. Each audit committee financial expert is "independent" for purposes of this item.
Item 4. Principal Accountant Fees and Services.
(a) through (d). The information in the table below is provided for services rendered to the registrant showing the amount of fees billed to the registrant during the registrant’s last two fiscal years by PricewaterhouseCoopers LLP (“PwC”), the registrant’s current independent registered public accounting firm, and the registrant’s former independent registered public accounting firm. The tax fees billed to the registrant for the fiscal year 2020 are the only fees that have been billed to the registrant by its former independent registered public accounting firm. For engagements with PwC and the registrant’s former independent registered public accounting firm the Audit Committee approved in advance all audit services and non-audit services that PwC and the registrant’s former independent registered public accounting firm provided to the registrant for its fiscal years ended October 31, 2020 and October 31, 2021.
| | | 2020 | | | 2021 | |
| Audit Fees | | $ | 51,300 | | | $ | 51,300 | |
| Audit-Related Fees1 | | $ | - | | | $ | - | |
| Tax Fees2 | | $ | 4,940 | | | $ | 4,000 | |
| All Other Fees | | $ | - | | | $ | - | |
| Total | | $ | 56,240 | | | $ | 55,300 | |
1 Services include agreed-upon procedures in connection with the registrant’s semi-annual financial statements ($0 in 2020 and $0 in 2021).
2 Tax services in connection with the registrant’s excise tax calculations and review of the registrant’s applicable tax returns.
The information in the table below is provided with respect to non-audit services that directly relate to the registrant’s operations and financial reporting and that were rendered by PwC to the registrant’s investment adviser, Credit Suisse Asset Management, LLC (“Credit Suisse”), and any service provider to the registrant controlling, controlled by or under common control with Credit Suisse that provided ongoing services to the registrant (“Covered Services Provider”), for the registrant’s fiscal years ended October 31, 2020 and October 31, 2021.
| | | | 2020 | | | | 2021 | |
| Audit-Related Fees | | | N/A | | | | N/A | |
| Tax Fees | | | N/A | | | | N/A | |
| All Other Fees | | | N/A | | | | N/A | |
| Total | | | N/A | | | | N/A | |
(e)(1) Pre-Approval Policies and Procedures. The Audit Committee (“Committee”) of the registrant is responsible for pre-approving (i) all audit and permissible non-audit services to be provided by the independent registered public accounting firm to the registrant and (ii) all permissible non-audit services to be provided by the independent registered public accounting firm to Credit Suisse and any Covered Services Provider if the engagement relates directly to the operations and financial reporting of the registrant. The Committee may delegate its responsibility to pre-approve any such audit and permissible non-audit services to the Chairperson of the Committee, and the Chairperson shall report to the Committee, at its next regularly scheduled meeting after the Chairperson’s pre-approval of such services, his or her decision(s). The Committee may also establish detailed pre-approval policies and procedures for pre-approval of such services in accordance with applicable laws, including the delegation of some or all of the Committee’s pre-approval responsibilities to other persons (other than Credit Suisse or the registrant’s officers). Pre-approval by the Committee of any permissible non-audit services shall not be required so long as: (i) the aggregate amount of all such permissible non-audit services provided to the registrant, Credit Suisse and any Covered Services Provider constitutes not more than 5% of the total amount of revenues paid by the registrant to its independent registered public accounting firm during the fiscal year in which the permissible non-audit services are provided; (ii) the permissible non-audit services were not recognized by the registrant at the time of the engagement to be non-audit services; and (iii) such services are promptly brought to the attention of the Committee and approved by the Committee (or its delegate(s)) prior to the completion of the audit.
(e)(2) The information in the table below sets forth the percentages of fees for services (other than audit, review or attest services) rendered by PwC to the registrant for which the pre-approval requirement was waived pursuant to Rule 2-01(c)(7)(i)(C) of Regulation S-X:
| | | | 2020 | | | | 2021 | |
| Audit-Related Fees | | | N/A | | | | N/A | |
| Tax Fees | | | N/A | | | | N/A | |
| All Other Fees | | | N/A | | | | N/A | |
| Total | | | N/A | | | | N/A | |
The information in the table below sets forth the percentages of fees for services (other than audit, review or attest services) rendered by PwC to Credit Suisse and any Covered Services Provider required to be approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X, for the registrant’s fiscal years ended October 31, 2020 and October 31, 2021:
| | | | 2020 | | | | 2021 | |
| Audit-Related Fees | | | N/A | | | | N/A | |
| Tax Fees | | | N/A | | | | N/A | |
| All Other Fees | | | N/A | | | | N/A | |
| Total | | | N/A | | | | N/A | |
(f) Not Applicable.
(g) The aggregate fees billed by the registrant’s former independent registered public accounting firm for the fiscal year ended October 31, 2020 were $4,940 and by PwC for the fiscal year ended October 31, 2021 were $4,000 for non-audit services rendered to the registrant, Credit Suisse and Covered Service Providers.
(h) Not Applicable.
Item 5. Audit Committee of Listed Registrants.
Form N-CSR disclosure requirement 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.
Form N-CSR disclosure requirement is not applicable to the registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Form N-CSR disclosure requirement is not applicable to the registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Form N-CSR disclosure requirement is not applicable to the registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
None.
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 most recent fiscal half-year covered by this report 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.
Form N-CSR disclosure requirement is not applicable to the registrant.
Item 13. Exhibits.
(other) Iran related activities disclosure requirement.
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: | January 6, 2022 | |
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: | January 6, 2022 | |
| | |
| /s/ Omar Tariq | |
| Name: | Omar Tariq | |
| Title: | Chief Financial Officer and Treasurer | |
| Date: | January 6, 2022 | |
