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 Return Strategy Fund
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(Exact Name of Registrant as Specified in Charter)
466 Lexington Avenue, New York, New York 10017-3140
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(Address of Principal Executive Offices) (Zip Code)
J. Kevin Gao, Esq.
Credit Suisse Commodity Return Strategy Fund
466 Lexington Avenue
New York, New York 10017-3140
Registrant's telephone number, including area code: (212) 875-3500
Date of fiscal year end: October 31
Date of reporting period: April 30, 2005
ITEM 1. REPORTS TO STOCKHOLDERS.
logo: CREDIT | ASSET
SUISSE | MANAGEMENT
CREDIT SUISSE FUNDS
Semiannual Report
April 30, 2005
(unaudited)
o CREDIT SUISSE
COMMODITY RETURN STRATEGY FUND
The Fund's investment objectives, risks, charges and expenses (which should be
considered carefully before investing), and more complete information about the
Fund, are provided in the Prospectus, which should be read carefully before
investing. You may obtain additional copies by calling 800-927-2874 or by
writing to Credit Suisse Funds, P.O. Box 55030, Boston, MA 02205-5030.
Credit Suisse Asset Management Securities, Inc., Distributor, is located at 466
Lexington Ave., New York, NY 10017-3140. Credit Suisse Funds are advised by
Credit Suisse Asset Management, LLC.
Investors in the Credit Suisse Funds should be aware that they may be eligible
to purchase Common Class shares (where offered) directly or through certain
intermediaries. Such shares are not subject to a sales charge but may be subject
to an ongoing service and distribution fee of up to 0.50% of average daily net
assets. Investors in the Credit Suisse Funds should also be aware that they may
be eligible for a reduction or waiver of the sales charge with respect to Class
A or C shares. For more information, please review the relevant prospectuses or
consult your financial representative.
The views of the Fund's management are as of the date of the letter and the Fund
holdings described in this document are as of April 30, 2005; these views and
Fund holdings may have changed subsequent to these dates. Nothing in this
document is a recommendation to purchase or sell securities.
Fund shares are not deposits or other obligations of Credit Suisse Asset
Management, LLC ("CSAM") or any affiliate, are not FDIC-insured and are not
guaranteed by CSAM or any affiliate. Fund investments are subject to investment
risks, including loss of your investment.
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
SEMIANNUAL INVESTMENT ADVISER'S REPORT
April 30, 2005 (unaudited)
- --------------------------------------------------------------------------------
June 1, 2005
Dear Shareholder:
PERFORMANCE SUMMARY
12/30/04 - 04/30/05
FUND & BENCHMARKS PERFORMANCE
Common1 5.09%
Class A1,2 4.89%
Class C1,2 4.69%
Dow Jones- AIG Commodity Index3 5.26%
Performance for the Fund's Class A shares and Class C shares is without the
maximum sales charge of 3.00% and 1.00%, respectively.2
MARKET OVERVIEW: COMMODITIES MOVE AGAINST THE GRAIN
Commodities moved against the grain of generally sluggish financial markets
in early 2005, providing a lonely opportunity for capital appreciation in the
period. During the course of the Fund's abbreviated fiscal half-year (which
dates from the Fund's inception on December 30, 2004 through April 30, 2005),
the Dow Jones-AIG Commodity Index was up 5.3% compared with a decline of 4.0%
for the S&P 500 Index4 in the period. The Fund underperformed the Dow Jones-AIG
Index slightly due to the costs incurred in replicating the Index components.
Historically, commodity index returns tend to exhibit low correlations with
traditional financial assets, making them a useful counterweight to other
portfolio components, particularly in periods of weaker equity market
performance. Such was the case in the first three months of 2005, when commodity
index returns rose consistently on the back of rising energy prices (which
constitute approximately 36% of the Dow Jones-AIG Commodity Index), falling only
in April when crude oil prices came off their highs.
PORTFOLIO STRATEGY: TOTAL RETURN BY SHADOWING THE INDEX
The Fund seeks total return and is designed to replicate the performance of
the Dow Jones-AIG Commodity Index. To do so, the Fund invests in
commodity-linked derivative instruments, such as commodity swap agreements,
backed by a portfolio of investment grade fixed income securities normally
having an average duration of one year or less.
1
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
SEMIANNUAL INVESTMENT ADVISER'S REPORT (CONTINUED)
April 30, 2005 (unaudited)
- --------------------------------------------------------------------------------
Credit Suisse Commodities Management Team
Jo Ann Corkran
Nelson Louie
This Fund is non-diversified, which means it may invest a greater proportion
of its assets in the securities of a smaller number of issuers than a
diversified fund and may therefore be subject to greater volatility. Exposure to
commodity markets should only form a small part of a diversified portfolio.
Investment in commodity markets may not be suitable for all investors. The
Fund's investment in commodity-linked derivative instruments may subject the
Fund to greater volatility than investment in traditional securities.
The use of derivatives such as swaps, commodity-linked structured notes and
futures entails substantial risks, including risk of loss of a significant
portion of their principal value, lack of a secondary market, increased
volatility, correlation risk, liquidity risk, interest-rate risk, market risk,
credit risk, valuation risk and tax risk. Gains and losses from speculative
positions in derivatives may be much greater than the 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 you invest.
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 investment portfolio. 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.
2
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
SEMIANNUAL INVESTMENT ADVISER'S REPORT (CONTINUED)
April 30, 2005 (unaudited)
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CUMULATIVE RETURNS AS OF MARCH 31, 20051
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INCEPTION INCEPTION
TO DATE DATE
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Common Class 11.71% 12/30/04
Class A Without Sales Charge 11.61% 12/30/04
Class A With Maximum Sales Charge 8.25% 12/30/04
Class C Without CDSC 11.41% 12/30/04
Class C With CDSC 10.41% 12/30/04
CUMULATIVE RETURNS AS OF APRIL 30, 20051
INCEPTION INCEPTION
TO DATE DATE
--------- ---------
Common Class 5.09% 12/30/04
Class A Without Sales Charge 4.89% 12/30/04
Class A With Maximum Sales Charge 1.74% 12/30/04
Class C Without CDSC 4.69% 12/30/04
Class C With CDSC 3.69% 12/30/04
Returns represent past performance and include changes in share price and
reinvestment of dividends and capital gains. PAST PERFORMANCE CANNOT GUARANTEE
FUTURE RESULTS. The current performance of the Fund may be lower or higher than
the figures shown. Returns and share price will fluctuate, and redemption value
may be more or less than original cost. The performance results do not reflect
the deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares. Performance information current to the most recent
month-end is available at www.csam.com/us.
- -----------------
1 Fee waivers and/or expense reimbursements reduced expenses for the Fund,
without which performance would be lower. Waivers and/or reimbursements may
be discontinued at any time.
2 Total return for Class A shares for the reporting period, based on offering
price (with maximum sales charge of 3.00%), was 1.74%. Total return for Class
C shares for the reporting period, based on redemption value (including
maximum contingent deferred sales charge of 1.00%), was 3.69%.
3 The Dow Jones-AIG Commodity Index is composed of futures contracts on 19
physical commodities. Investors cannot invest directly in an index.
4 The Standard & Poor's 500 Index is an unmanaged index (with no defined
investment objective) of common stocks. It includes reinvestment of
dividends, and is a registered trademark of The McGraw-Hill Co., Inc.
Investors cannot invest directly in an index.
3
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
SEMIANNUAL INVESTMENT ADVISER'S REPORT (CONTINUED)
April 30, 2005 (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 period ended April 30,
2005.
The table illustrates your Fund's expenses in two ways:
o ACTUAL FUND RETURN. This helps you estimate the actual dollar amount of
ongoing expenses paid on a $1,000 investment in the Fund using the Fund's
actual return during the period. To estimate the expenses you paid over
the period, simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the "Expenses Paid per $1,000" line under the share class
you hold.
o HYPOTHETICAL 5% FUND RETURN. This helps you to compare your Fund's ongoing
expenses with those of other mutual funds using the Fund's actual expense
ratio and a hypothetical rate of return of 5% per year before expenses.
Examples using a 5% hypothetical fund return may be found in the
shareholder reports of other mutual funds. The hypothetical account values
and expenses may not be used to estimate the actual ending account balance
or expenses you paid for the period.
Please note that the expenses shown in these tables are meant to highlight
your ongoing expenses only and do not reflect any transaction costs, such as
sales charges (loads) or redemption fees. If these transaction costs had been
included, your costs would have been higher. The "Expenses Paid per $1,000" line
of the tables is useful in comparing ongoing expenses only and will not help you
determine the relative total expenses of owning different funds.
4
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
SEMIANNUAL INVESTMENT ADVISER'S REPORT (CONTINUED)
April 30, 2005 (unaudited)
- --------------------------------------------------------------------------------
EXPENSES AND VALUE OF A $1,000 INVESTMENT
FOR THE PERIOD ENDED APRIL 30, 2005
- --------------------------------------------------------------------------------
COMMON
ACTUAL FUND RETURN CLASS CLASS A CLASS C
- ----------------------------------------------------------------------------
Beginning Account Value 12/30/04 $1,000.00 $1,000.00 $1,000.00
Ending Account Value 4/30/05 $1,050.90 $1,048.90 $1,046.90
Expenses Paid per $1,000* $ 2.40 $ 3.25 $ 5.82
HYPOTHETICAL 5% FUND RETURN
Beginning Account Value 12/30/04 $1,000.00 $1,000.00 $1,000.00
Ending Account Value 4/30/05 $1,014.37 $1,013.54 $1,011.03
Expenses Paid per $1,000* $ 2.36 $ 3.20 $ 5.71
COMMON
CLASS CLASS A CLASS C
- ----------------------------------------------------------------------------
ANNUALIZED EXPENSE RATIOS* \ 0.70% 0.95% 1.70%
- -----------------
* Expenses are equal to the Fund's annualized expense ratio for each share
class, multiplied by the average account value over the period, multiplied by
the number of days in the most recent fiscal half year period, then divided
by 365.
The "Expenses Paid per $1,000" and the "Annualized Expense Ratios" in the
tables are based on actual expenses paid by the Fund during the period, net
of fee waivers and/or expense reimbursements. If those fee waivers and/or
expense reimbursements had not been in effect, the Fund's actual expenses
would have been higher.
For more information, please refer to the Fund's prospectus.
5
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
SEMIANNUAL INVESTMENT ADVISER'S REPORT (CONTINUED)
April 30, 2005 (unaudited)
- --------------------------------------------------------------------------------
CREDIT QUALITY BREAKDOWN*
S&P RATINGS
- ---------------------------------------
AAA 21.0%
A-1 78.1%
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Subtotal 99.1%
Short-Term Investments 0.9%
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Total 100.0%
======
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* Expressed as a percentage of total investments (excluding security lending
collateral) and may vary over time.
6
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
SCHEDULE OF INVESTMENTS
April 30, 2005 (unaudited)
- --------------------------------------------------------------------------------
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ ------------- -------- ----- -----
ASSET BACKED COMMERCIAL PAPER (39.4%)
LOAN BACKED (1.0%)
$ 900 Atlantis One Funding Corp. (A-1+ , P-1) 05/10/05 2.763 $ 895,875
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MULTISELLER (14.7%)
2,500 Barton Capital Corp. (A-1+ , P-1) 05/04/05 2.803 2,499,417
750 Cafco LLC (A-1+ , P-1) 05/02/05 2.688 746,662
2,000 Lexington Parker Capital Corp. (A-1 , P-1) 05/18/05 2.976 1,997,195
900 Lexington Parker Capital Corp. (A-1 , P-1) 05/23/05 2.839 898,448
400 Mont Blanc Capital Corp. (A-1+ , P-1) 05/13/05 2.738 398,178
500 Mont Blanc Capital Corp. (A-1+ , P-1) 06/15/05 2.962 497,509
2,500 Paradigm Funding LLC (A-1 , P-1) 05/23/05 2.968 2,495,478
650 Ranger Funding Co., LLC (A-1+ , P-1) 05/03/05 2.688 647,108
500 Romulus Funding Corp. (A-1 , P-1) 06/14/05 2.993 497,525
2,000 Romulus Funding Corp. (A-1 , P-1) 07/18/05 3.090 1,986,610
-----------
12,664,130
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SECURITIES ARBITRAGE (4.6%)
2,000 Giro Funding US Corp. (A-1+ , P-1) 07/14/05 3.121 1,987,256
1,200 Giro Funding US Corp. (A-1+ , P-1) 07/15/05 3.063 1,192,400
750 Perry Global Funding LLC (A-1+ , P-1) 06/22/05 3.023 746,188
-----------
3,925,844
-----------
SINGLE SELLER (2.9%)
2,500 Hertz Fleet Funding LLC (A-1 , P-1) 05/16/05 2.956 2,496,925
-----------
STRUCTURED INVESTMENT VEHICLE (16.2%)
4,000 Beta Finance, Inc. (A-1+ , P-1) 07/28/05 3.125 3,969,688
700 Five Finance, Inc. (A-1+ , P-1) 05/20/05 2.818 696,733
500 Five Finance, Inc. (A-1+ , P-1) 07/05/05 3.051 497,265
325 Five Finance, Inc. (A-1+ , P-1) 07/05/05 3.054 323,222
2,300 Five Finance, Inc. (A-1+ , P-1) 07/28/05 3.135 2,282,515
1,200 Sigma Finance, Inc. (A-1+ , P-1) 06/30/05 3.044 1,193,960
1,140 Sigma Finance, Inc. (A-1+ , P-1) 09/19/05 3.237 1,125,757
350 Tango Finance Corp. (A-1+ , P-1) 06/09/05 2.882 348,749
2,600 White Pine Finance LLC (A-1+ , P-1) 05/20/05 2.957 2,595,952
900 White Pine Finance LLC (A-1+ , P-1) 06/01/05 2.871 895,654
-----------
13,929,495
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TOTAL ASSET BACKED COMMERCIAL PAPER (Cost $33,929,726) 33,912,269
-----------
ASSET BACKED SECURITIES (5.5%)
900 Capital Auto Receivables Asset Trust,
Series 2005-SN1A, Class A1 (AAA , Aaa) 05/15/06 3.327 900,000
365 Capital One Auto Finance Trust,
Series 2005-A, Class A1 # (A-1+ , P-1) 04/15/06 3.122 364,943
237 CIT Equipment Collateral Trust,
Series 2005-VT1, Class A1 # (A-1+ , P-1) 03/20/06 3.073 236,559
275 CNH Equipment Trust, Series 2005-A,
Class A1 # (A-1+ , P-1) 04/07/06 3.080 274,822
346 Countrywide Asset-Backed Certificates,
Series 2003-BC4, Class 1A # (AAA , Aaa) 09/25/33 3.290 346,912
See Accompanying Notes to Financial Statements.
7
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
April 30, 2005 (unaudited)
- --------------------------------------------------------------------------------
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ ------------- -------- ----- -----
ASSET BACKED SECURITIES
$ 312 Countrywide Home Equity Loan Trust,
Series 2004-R, Class 2A # (AAA , Aaa) 03/15/30 3.204 $ 313,145
220 Countrywide Home Equity Loan Trust,
Series 2005-B, Class 2A # (AAA , Aaa) 05/15/35 3.105 220,034
74 DaimlerChrysler Auto Trust, Series 2005-A,
Class A1 (A-1+ , P-1) 01/08/06 2.630 74,060
185 Equity One ABS, Inc., Series 2004-3,
Class AF1 # (AAA , Aaa) 07/25/34 3.010 185,137
230 GE Capital Credit Card Master Note Trust,
Series 2004-2, Class A # (AAA , Aaa) 09/15/10 2.994 230,194
351 MSDWCC Heloc Trust, Series 2005-1, Class A # (AAA , Aaa) 07/25/17 3.210 350,789
49 Novastar Home Equity Loan, Series 2004-1,
Class A3A # (AAA , Aaa) 06/25/34 3.110 49,361
177 Option One Mortgage Loan Trust, Series 2004-3,
Class A2 # (AAA , Aaa) 11/25/34 3.170 176,987
244 Residential Asset Mortgage Products, Inc.,
Series 2003-RS4, Class AI3 (AAA , Aaa) 11/25/28 2.742 243,697
322 Residential Asset Mortgage Products, Inc.,
Series 2004-RS12, Class AI1 # (AAA , Aaa) 05/25/24 2.990 322,470
205 Residential Asset Mortgage Products, Inc.,
Series 2004-SP1, Class AI1 # (AAA , Aaa) 06/25/13 3.030 205,183
224 Volkswagen Auto Lease Trust, Series 2005-A,
Class A1 (A-1+ , P-1) 03/20/06 2.985 223,683
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TOTAL ASSET BACKED SECURITIES (Cost $4,716,697) 4,717,976
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MORTGAGE-BACKED SECURITIES (0.3%)
273 Washington Mutual, Series 2005 - AR4
(Cost $272,646) (AAA , Aaa) 04/25/35 3.624 272,475
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CERTIFICATES OF DEPOSIT (2.5%)
FINANCE (2.5%)
150 HBOS Treasury Services PLC (A-1+ , P-1) 05/03/05 2.688 149,978
2,000 HBOS Treasury Services PLC (A-1+ , P-1) 07/19/05 3.073 1,986,614
-----------
2,136,592
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TOTAL CERTIFICATES OF DEPOSIT (Cost $2,136,592) 2,136,592
-----------
COMMERCIAL PAPER (37.6%)
AUTOMOBILES (1.0%)
900 American Honda Finance Corp. (A-1 , P-1) 05/06/05 2.754 895,890
-----------
BANKING (15.7%)
1,225 Anz National, Ltd. (A-1+ , P-1) 05/31/05 2.868 1,219,181
600 Barclays US Funding LLC (A-1+ , P-1) 05/03/05 2.669 597,350
1,250 Barclays US Funding LLC (A-1+ , P-1) 07/05/05 3.033 1,243,206
825 Barclays US Funding LLC (A-1+ , P-1) 08/18/05 3.171 817,157
1,000 BNP Paribas NY (A-1+ , P-1) 06/09/05 2.959 994,937
2,000 Depfa Bank PLC (A-1+ , P-1) 07/18/05 3.073 1,986,784
400 Dexia Delaware LLC (A-1+ , P-1) 06/08/05 2.891 398,055
1,100 Dexia Delaware LLC (A-1+ , P-1) 06/27/05 2.997 1,094,536
See Accompanying Notes to Financial Statements.
8
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
April 30, 2005 (unaudited)
- --------------------------------------------------------------------------------
PAR RATINGS+
(000) (S&P/MOODY'S) MATURITY RATE% VALUE
------ ------------- -------- ----- -----
COMMERCIAL PAPER
BANKING
$ 650 Morgan Stanley (A-1 , P-1) 07/11/05 3.083 $ 646,077
2,000 Morgan Stanley (A-1 , P-1) 07/18/05 3.103 1,986,654
2,500 Westpac Capital Corp. (A-1+ , P-1) 10/14/05 3.271 2,462,880
-----------
13,446,817
-----------
DIVERSIFIED FINANCIALS (20.9%)
4,000 Alliance & Leicester PLC (A-1 , P-1) 07/18/05 3.112 3,973,220
1,075 Citigroup Global Markets Holdings, Inc. (A-1+ , P-1) 10/04/05 3.252 1,060,093
1,000 General Electric Capital Corp. (A-1+ , P-1) 05/24/05 2.818 995,256
2,500 George Street Finance LLC (A-1+ , P-1) 05/23/05 2.958 2,495,493
2,000 ING US Funding LLC (A-1+ , P-1) 06/16/05 2.984 1,992,410
1,900 ING US Funding LLC (A-1+ , P-1) 06/22/05 3.004 1,891,794
1,500 Old Line Funding Corp. (A-1+ , P-1) 06/06/05 2.961 1,495,575
650 Old Line Funding Corp. (A-1+ , P-1) 06/20/05 2.973 646,804
900 Rabobank USA Finance Corp. (A-1+ , P-1) 05/10/05 2.765 895,875
1,600 Rabobank USA Finance Corp. (A-1+ , P-1) 06/01/05 2.970 1,595,922
900 UBS Finance Delaware LLC (A-1+ , P-1) 05/06/05 2.733 899,252
-----------
17,941,694
-----------
TOTAL COMMERCIAL PAPER (Cost $32,303,927) 32,284,401
-----------
UNITED STATES AGENCY OBLIGATIONS (17.3%)
218 Fannie Mae Discount Notes (AAA , Aaa) 06/15/05 2.590 216,964
533 Fannie Mae Discount Notes (AAA , Aaa) 06/29/05 2.877 530,386
1,000 Fannie Mae Discount Notes (AAA , Aaa) 07/06/05 2.912 994,755
1,100 Fannie Mae Discount Notes (AAA , Aaa) 07/27/05 2.740 1,092,366
200 Fannie Mae Discount Notes (AAA , Aaa) 08/01/05 2.830 198,481
191 Fannie Mae Discount Notes (AAA , Aaa) 08/03/05 2.770 189,517
250 Fannie Mae Discount Notes (AAA , Aaa) 08/19/05 2.680 247,725
450 Fannie Mae Discount Notes (AAA , Aaa) 08/19/05 2.770 445,906
250 Fannie Mae Discount Notes (AAA , Aaa) 09/02/05 2.680 247,365
400 Fannie Mae Discount Notes (AAA , Aaa) 09/02/05 3.120 395,784
375 Fannie Mae Discount Notes (AAA , Aaa) 09/16/05 3.170 370,598
500 Fannie Mae Discount Notes (AAA , Aaa) 09/26/05 3.210 493,702
2,500 Fannie Mae Discount Notes (AAA , Aaa) 10/19/05 3.155 2,462,752
500 Fannie Mae Discount Notes (AAA , Aaa) 12/19/05 2.900 494,525
138 Federal Home Loan Bank Discount Notes (AAA , Aaa) 06/14/05 2.587 137,355
166 Federal Home Loan Bank Discount Notes (AAA , Aaa) 12/02/05 2.756 162,778
350 Freddie Mac Discount Notes (AAA , Aaa) 07/05/05 2.610 348,193
250 Freddie Mac Discount Notes (AAA , Aaa) 08/02/05 2.840 248,080
400 Freddie Mac Discount Notes (AAA , Aaa) 09/06/05 3.110 395,647
500 Freddie Mac Discount Notes (AAA , Aaa) 10/11/05 2.773 492,901
2,000 Freddie Mac Discount Notes++++ (AAA , Aaa) 11/01/05 3.210 1,967,314
2,756 Freddie Mac Discount Notes (AAA , Aaa) 11/28/05 3.264 2,704,314
-----------
TOTAL UNITED STATES AGENCY OBLIGATIONS (Cost $14,833,690) 14,837,408
-----------
UNITED STATES TREASURY OBLIGATION (0.0%)
10 United States Treasury Billsss.(Cost $9,971) (AAA , Aaa) 06/09/05 2.730 9,966
-----------
See Accompanying Notes to Financial Statements.
9
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
April 30, 2005 (unaudited)
- --------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
- -------- -----
SHORT-TERM INVESTMENTS (0.9%)
10,175 State Street Navigator Prime Fundss.ss. $ 10,175
PAR
(000) MATURITY RATE%
------ -------- -----
$ 766 State Street Bank and Trust Co. Euro Time Deposit 05/02/05 1.850 766,000
-----------
TOTAL SHORT-TERM INVESTMENTS (Cost $776,175) 776,175
-----------
TOTAL INVESTMENTS AT VALUE (103.5%) (Cost $88,979,424) 88,947,262
LIABILITIES IN EXCESS OF OTHER ASSETS (-3.5%) (3,020,714)
-----------
NET ASSETS (100.0%) $85,926,548
===========
TOTAL RETURN SWAPS
RECEIVE
TOTAL RETURN APPRECIATION/
COUNTERPARTY BASED ON: PAY FLOATING RATE BASED ON: AMOUNT (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------------------------------
AIG Financial Dow Jones-
Products Corp. AIG Commodity Index 1-month U.S.Treasury Bill, rate plus a spread $ 15,904,569 $(1,029,399)
AIG Financial Dow Jones-
Products Corp. AIG Commodity Index 1-month U.S.Treasury Bill, rate plus a spread 15,956,405 (983,783)
AIG Financial Dow Jones-
Products Corp. AIG Commodity Index 1-month U.S.Treasury Bill, rate plus a spread 281,961 (18,792)
AIG Financial Dow Jones-
Products Corp. AIG Commodity Index 1-month U.S.Treasury Bill, rate plus a spread 331,127 (19,657)
AIG Financial Dow Jones-
Products Corp. AIG Commodity Index 1-month U.S.Treasury Bill, rate plus a spread 404,465 (21,449)
AIG Financial Dow Jones-
Products Corp. AIG Commodity Index 1-month U.S.Treasury Bill, rate plus a spread 374,671 (20,142)
AIG Financial Dow Jones-
Products Corp. AIG Commodity Index 1-month U.S.Treasury Bill, rate plus a spread 315,144 (12,501)
AIG Financial Dow Jones-
Products Corp. AIG Commodity Index 1-month U.S.Treasury Bill, rate plus a spread 2,100,781 (72,735)
AIG Financial Dow Jones-
Products Corp. AIG Commodity Index 1-month U.S.Treasury Bill, rate plus a spread 656,238 (4,657)
AIG Financial Dow Jones-
Products Corp. AIG Commodity Index 1-month U.S.Treasury Bill, rate plus a spread 398,892 (1,615)
AIG Financial Dow Jones-
Products Corp. AIG Commodity Index 1-month U.S.Treasury Bill, rate plus a spread 10,750,843 22,076
AIG Financial Dow Jones-
Products Corp. AIG Commodity Index 1-month U.S.Treasury Bill, rate plus a spread 9,883,989 (90,118)
AIG Financial Dow Jones-
Products Corp. AIG Commodity Index 1-month U.S.Treasury Bill, rate plus a spread 23,599,606 (535,431)
AIG Financial Dow Jones-
Products Corp. AIG Commodity Index 1-month U.S.Treasury Bill, rate plus a spread 1,262,293 (38,778)
AIG Financial Dow Jones-
Products Corp. AIG Commodity Index 1-month U.S.Treasury Bill, rate plus a spread 267,378 (7,824)
AIG Financial Dow Jones-
Products Corp. AIG Commodity Index 1-month U.S.Treasury Bill, rate plus a spread 690,957 (24,502)
See Accompanying Notes to Financial Statements.
10
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
April 30, 2005 (unaudited)
- --------------------------------------------------------------------------------
RECEIVE
TOTAL RETURN APPRECIATION/
COUNTERPARTY BASED ON: PAY FLOATING RATE BASED ON: AMOUNT (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------------------------------
AIG Financial Dow Jones-
Products Corp. AIG Commodity Index 1-month U.S.Treasury Bill, rate plus a spread $1,120,613 $ (39,817)
AIG Financial Dow Jones-
Products Corp. AIG Commodity Index 1-month U.S.Treasury Bill, rate plus a spread 328,407 (11,688)
AIG Financial Dow Jones-
Products Corp. AIG Commodity Index 1-month U.S.Treasury Bill, rate plus a spread 691,823 (8,307)
AIG Financial Dow Jones-
Products Corp. AIG Commodity Index 1-month U.S.Treasury Bill, rate plus a spread 446,547 (3,495)
-----------
$(2,922,614)
===========
+ Credit ratings given by the Standard & Poor's Division of The McGraw-Hill
Companies, Inc. ("S&P") and Moody's Investors Service, Inc. ("Moody's")
are unaudited.
# Variable rate obligations - The interest rate shown is the rate as
of April 30, 2005.
++++ Collateral segregated for futures contracts.
ss. Security or portion thereof is out on loan.
ss.ss. Represents security purchased with cash collateral received for
securities on loan.
See Accompanying Notes to Financial Statements.
11
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2005 (unaudited)
- --------------------------------------------------------------------------------
ASSETS
Investments at value, including collateral for securities on loan
of $10,175 (Cost $88,979,424) (Note 2) $88,947,2621
Cash 279
Receivable for fund shares sold 811,484
Offering costs 194,141
Receivable from investment adviser (Note 3) 23,310
Interest receivable 4,951
Variation margin receivable (Note 2) 2,000
Prepaid expenses and other assets 21,638
-----------
Total Assets 90,005,065
-----------
LIABILITIES
Administrative services fee payable (Note 3) 12,682
Distribution fee payable (Note 3) 5,834
Unrealized depreciation on swap contracts (Note 2) 2,922,614
Payable for fund shares redeemed 761,324
Payable upon return of securities loaned (Note 2) 10,175
Trustees' fee payable 3,552
Other accrued expenses payable 362,336
-----------
Total Liabilities 4,078,517
-----------
NET ASSETS
Capital stock, $0.001 par value (Note 6) 8,211
Paid-in capital (Note 6) 86,203,824
Accumulated net investment income 98,375
Undistributed net realized gain on investments and swap contracts 2,575,289
Net unrealized depreciation from investments, futures contracts
and swap contracts (2,959,151)
-----------
Net Assets $85,926,548
===========
COMMON SHARES
Net assets $29,846,420
Shares outstanding 2,849,223
-----------
Net asset value, offering price, and redemption price per share $10.48
======
A SHARES
Net assets $54,986,602
Shares outstanding 5,256,854
-----------
Net asset value, offering price, and redemption price per share $10.46
======
Maximum offering price per share (net asset value/(1-3.00%)) $10.78
======
C SHARES
Net assets $1,093,526
Shares outstanding 104,711
-----------
Net asset value and redemption price per share $10.44
======
- ----------------------------------------------------------------------------------
1 Including $9,972 of securities on loan.
See Accompanying Notes to Financial Statements.
12
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
STATEMENT OF OPERATIONS
For the Period December 30, 20041 through April 30, 2005 (unaudited)
- --------------------------------------------------------------------------------
INTEREST INCOME (Note 2) $279,769
EXPENSES
Investment advisory fees (Note 3) 50,623
Administrative services fees (Note 3) 18,162
Distribution fees (Note 3)
Class A 5,870
Class C 1,082
Offering costs (Note 2) 97,478
Legal fees 20,522
Custodian fees 20,400
Audit fees 13,169
Transfer agent fees (Note 3) 11,466
Printing fees (Note 3) 8,971
Trustees' fees 6,443
Registration fees 4,132
Commitment fees (Note 4) 798
Interest expense (Note 4) 248
Miscellaneous expense 4,198
-----------
Total expenses 263,562
Less: fees waived and expenses reimbursed (Note 3) (185,737)
-----------
Net expenses 77,825
-----------
Net investment income 201,944
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS,
FUTURE CONTRACTS, AND SWAP CONTRACTS
Net realized gain from investments 63
Net realized gain from swap contracts 2,575,226
Net change in unrealized appreciation (depreciation)
from investments (32,162)
Net change in unrealized appreciation (depreciation) from
futures contracts (4,375)
Net change in unrealized appreciation (depreciation) from
swap contracts (2,922,614)
-----------
Net realized and unrealized loss from investments,
futures contracts and swap contracts (383,862)
-----------
Net decrease in net assets resulting from operations $ (181,918)
===========
- --------------------------------------------------------------------------------
1 Commencement of operations.
See Accompanying Notes to Financial Statements.
13
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
FOR THE PERIOD
ENDED
4/30/20051
(UNAUDITED)
-----------
FROM OPERATIONS
Net investment income $ 201,944
Net realized gain from investments and swap contracts. 2,575,289
Net change in unrealized appreciation (depreciation)
from investments, futures contracts and swap contracts (2,959,151)
-----------
Net decrease in net assets resulting from operations (181,918)
-----------
FROM DIVIDENDS
Dividends from net investment income
Common Class shares (87,481)
Class A shares (14,706)
Class C shares (1,382)
-----------
Net decrease in net assets resulting from dividends (103,569)
-----------
FROM CAPITAL SHARE TRANSACTIONS (Note 6)
Proceeds from sale of shares 95,357,066
Reinvestment of dividends 10,213
Net asset value of shares redeemed (9,255,244)
-----------
Net increase in net assets from capital share transactions 86,112,035
-----------
Net increase in net assets 85,826,548
NET ASSETS
Beginning of period 100,0002
-----------
End of period $85,926,548
===========
Undistributed net investment income $ 98,375
===========
- --------------------------------------------------------------------------------
1 For the period December 30, 2004 (inception date) through April 30, 2005.
2 The Fund was seeded on December 1, 2004 and commenced operations on December
30, 2004.
See Accompanying Notes to Financial Statements.
14
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
FINANCIAL HIGHLIGHTS
(For Common Class, Class A and Class C Shares of the Fund
Outstanding Throughout the Period)
- --------------------------------------------------------------------------------
FOR THE PERIOD
ENDED APRIL 30, 20051
------------------------------------
COMMON CLASS A CLASS C
-------- -------- --------
PER SHARE DATA
Net asset value, beginning of period $ 10.00 $ 10.00 $ 10.00
-------- -------- --------
INVESTMENT OPERATIONS
Net investment income2 0.07 0.08 0.04
Net gain on investments, futures
contracts and swap contracts
(both realized and unrealized) 0.44 0.41 0.43
-------- -------- --------
Total from investment operations 0.51 0.49 0.47
-------- -------- --------
LESS DIVIDENDS
Dividends from net investment income (0.03) (0.03) (0.03)
-------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 10.48 $ 10.46 $ 10.44
======== ======== ========
Total return3 5.09% 4.89% 4.69%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $ 29,846 $ 54,987 $ 1,094
Ratio of expenses to average net assets4 0.70% 0.95% 1.70%
Ratio of net investment income
to average net assets4 2.02% 1.96% 1.17%
Decrease reflected in above operating expense
ratios due to waivers/reimbursements4 2.12% 0.92% 1.31%
Portfolio turnover rate 0% 0% 0%
- --------------------------------------------------------------------------------
1 For the period December 30, 2004 (inception date) through April 30, 2005.
2 Per share information is calculated using the average shares outstanding
method.
3 Total returns are historical and assume changes in share price, reinvestment
of all dividends and distributions and no sales charge. Had certain expenses
not been reduced during the period shown, total returns would have been
lower. Total returns for periods less than one year are not annualized.
4 Annualized.
See Accompanying Notes to Financial Statements.
15
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
NOTES TO FINANCIAL STATEMENTS
April 30, 2005 (unaudited)
- --------------------------------------------------------------------------------
NOTE 1. ORGANIZATION
Credit Suisse Commodity Return Strategy Fund (the "Fund") is registered under
the Investment Company Act of 1940, as amended (the "1940 Act"), as a
non-diversified open-end management investment company that seeks to maximize
total investment return. The Fund was incorporated under the laws of the State
of Delaware on May 19, 2004.
The Fund is authorized to offer three classes of shares: Common Class, Class
A shares and Class C shares. Each class of shares represents an equal pro rata
interest in the Fund, except that they bear different expenses which reflect the
differences in the range of services provided to them. The Fund's Common Class
shares may be purchased only by (1) investors in employee retirement, stock,
bonus, pension, or profit sharing plans, (2) investment advisory clients of
Credit Suisse Asset Management, LLC ("CSAM(3) certain registered investment
advisers ("RIAs"), (4) certain broker-dealers and RIAs with clients
participating in comprehensive fee programs, (5) employees of CSAM or its
affiliates and current and former Trustees of funds advised by CSAM or its
affiliates and (6) CSAM or its affiliates. Class A shares are sold subject to a
front-end sales charge of up to 3.00%. Class C Shares are sold subject to a
contingent deferred sales charge of 1.00% if redeemed within the first year of
purchase.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
A) SECURITY VALUATION -- The net asset value of the Fund is determined daily
as of the close of regular trading on the New York Stock Exchange, Inc. (the
"Exchange") on each day the Exchange is open for business. Debt securities with
a remaining maturity greater than 60 days are valued in accordance with the
price supplied by a pricing service, which may use a matrix, formula or other
objective method that takes into consideration market indices, yield curves and
other specific adjustments. Debt obligations that will mature in 60 days or less
are valued on the basis of amortized cost, which approximates market value,
unless it is determined that using this method would not represent fair value.
The Fund's equity investments are valued at market value, which is generally
determined using the closing price on the exchange or market on which the
security is primarily traded at the time of valuation (the "Valuation Time"). If
no sales are reported, equity investments are generally valued at the most
recent bid quotation as of the Valuation Time or at the lowest asked quotation
in the case of a short sale of securities. Securities and other assets for which
market quotations are not readily available, or whose values have been
materially affected by events
16
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
April 30, 2005 (unaudited)
- --------------------------------------------------------------------------------
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
occurring before the Fund's Valuation Time but after the close of the
securities' primary markets, are valued at fair value as determined in good
faith by, or under the direction of, the Board of Trustees under procedures
established by the Board of Trustees. The Fund may utilize a service provided by
an independent third party which has been approved by the Board of Trustees to
fair value certain securities.
B) SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
accounted for on a trade date basis. Interest income is recorded on the accrual
basis. Dividends are recorded on the ex-dividend date. Certain expenses are
class-specific expenses and vary by class. Income, expenses (excluding
class-specific expenses) and realized/unrealized gains/losses are allocated
proportionately to each class of shares based upon the relative net asset value
of the outstanding shares of that class. The cost of investments sold is
determined by use of the specific identification method for both financial
reporting and income tax purposes.
C) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net
investment income are declared and paid quarterly. Distributions of net realized
capital gains, if any, are declared and paid at least annually. However, to the
extent that a net realized capital gain can be reduced by a capital loss
carryforward, such gain will not be distributed. Income and capital gain
distributions are determined in accordance with federal income tax regulations,
which may differ from accounting principles generally accepted in the United
States of America ("GAAP").
D) FEDERAL INCOME TAXES -- No provision is made for federal taxes as it is
the Fund's intention to have the Fund continue to qualify for and elect the tax
treatment applicable to regulated investment companies under the Internal
Revenue Code of 1986, as amended, 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, the fund must meet certain requirements
regarding the source of its income, the diversification of its assets and the
distribution of its assets and the distribution of its income. The status of
commodity-linked swaps and structured notes in which the fund may invest under
such tests to qualify as a RIC under the Code is not certain, and the fund does
not intend to obtain a ruling from the Internal Revenue Service. In the
17
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
April 30, 2005 (unaudited)
- --------------------------------------------------------------------------------
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
event these instruments are adversely treated under these tests, the fund will
take all available steps to lesson any adverse tax consequences, although there
can be no guarantee that it will be able to do so. If the fund fails to qualify
as a RIC, the fund will be subject to federal income tax on its net income at
regular corporate rates (without reduction for distributions to shareholders).
When distributed, that income would also be taxable to shareholders as an
ordinary dividend to the extent attributable to the fund's earnings and profits.
E) USE OF ESTIMATES -- The preparation of financial statements in conformity
with GAAP requires management to make estimates and assumptions that affect the
reported amounts of assets and liabilities and disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts
of revenues and expenses during the reporting period. Actual results could
differ from these estimates.
F) SHORT-TERM INVESTMENTS -- The Fund, together with other funds/portfolios
advised by CSAM, an indirect, wholly-owned subsidiary of Credit Suisse Group,
pools available cash into either a short-term variable rate time deposit issued
by State Street Bank and Trust Company ("SSB"), the Fund's custodian, or a money
market fund advised by CSAM. The short-term time deposit issued by SSB is a
variable rate account classified as a short-term investment.
G) FUTURES -- The Fund may enter into futures contracts to the extent
permitted by its investment policies and objectives. Upon entering into a
futures contract, the Fund is required to deposit cash and/or pledge U.S.
Government securities as initial margin. Subsequent payments, which are
dependent on the daily fluctuations in the value of the underlying instrument,
are made or received by the Fund each day (daily variation margin) and are
recorded as unrealized gains or losses until the contracts are closed. When the
contracts are closed, the Fund records a realized gain or loss equal to the
difference between the proceeds from (or cost of) the closing transactions and
the Fund's basis in the contract. Risks of entering into futures contracts for
hedging purposes include the possibility that a change in the value of the
contract may not correlate with the changes in the value of the underlying
instruments. In addition, the purchase of a futures contract involves the risk
that the Fund could lose more than the original margin deposit and subsequent
payments required for a futures transaction. At April 30, 2005, the Fund had the
following open futures contracts:
18
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
April 30, 2005 (unaudited)
- --------------------------------------------------------------------------------
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
NUMBER OF EXPIRATION CONTRACT CONTRACT UNREALIZED
FUTURES CONTRACT CONTRACTS DATE AMOUNT VALUE DEPRECIATION
- -----------------------------------------------------------------------------------------------
U.S. Treasury 2 Year
Notes Futures (8) 6/30/05 $(1,657,250) $(1,661,625) $(4,375)
H) SWAPS - The Fund may enter into index swaps for hedging purposes or to
seek to increase total return. A swap is an agreement that obligates two parties
to exchange a series of cash flows at specified intervals based upon or
calculated by reference to changes in specified prices or rates for a specified
amount of an underlying asset or notional principal amount. The Fund will enter
into index swaps only on a net basis, which means that the two payment streams
are netted out, with the Fund receiving or paying, as the case may be, only the
net amount of the two payments. Risks may arise as a result of the failure of
the counterparty to the swap contract to comply with the terms of the swap
contract. The loss incurred by the failure of a counterparty is generally
limited to the net interest payment to be received by the Fund, and/or the
termination value at the end of the contract. Therefore, the Fund considers the
creditworthiness of each counterparty to a swap contract in evaluating potential
credit risk. Additionally, risks may arise from unanticipated movements in
interest rates or in the value of the underlying reference asset or index.
The Fund will enter into Total return swap contracts, involving commitments
to pay interest in exchange for a market-linked return, both based on notional
amounts. To the extent the total return of the security or index underlying the
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 swaps contracts are recorded for
financial statement purposes as unrealized appreciation or depreciation of swap
contracts. Realized gains and losses from terminated swaps are included in net
realized gains/losses on swap contracts transactions.
I) SECURITIES LENDING -- Loans of securities are required at all times to be
secured by collateral at least equal to 102% of the market value of domestic
securities on loan (including any accrued interest thereon) and 105% of the
19
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
April 30, 2005 (unaudited)
- --------------------------------------------------------------------------------
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
market value of foreign securities on loan (including any accrued interest
thereon). Cash collateral received by the Fund in connection with securities
lending activity may be pooled together with cash collateral for other
funds/portfolios advised by CSAM and may be invested in a variety of
investments, including certain CSAM-advised funds, funds advised by SSB, the
Fund's securities lending agent or money market instruments. However, in the
event of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral may be subject to legal proceedings.
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. During the
period ended April 30, 2005, total earnings from the Fund's investment in cash
collateral received in connection with securities lending arrangements was $3 of
which $3 was rebated to borrowers (brokers). The Fund retained $0 from the cash
collateral investment and SSB, as a lending agent, was paid $0. The Fund may
also be entitled to certain minimum amounts of income from its securities
lending activities. Securities lending income is accrued as earned.
J) OTHER -- The Fund may invest in securities of foreign countries and
governments which involve certain risks in addition to those inherent in
domestic investments. Such risks generally include, among others, currency risks
(fluctuations in currency exchange rates), information risk (key information may
be inaccurate or unavailable) and political risk (expropriation, nationalization
or the imposition of capital or currency controls or punitive taxes). Other
risks of investing in foreign securities include liquidity and valuation risks.
The Fund may be subject to taxes imposed by countries in which it invests
with respect to its investments in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Fund accrues such
taxes when the related income or gains are earned.
The Fund's investments in securities of issuers located in less developed
countries considered to be "emerging markets" involve risks in addition to those
generally applicable to foreign securities. Focusing on emerging (less
developed) markets involves higher levels of risk, including increased currency,
information, liquidity, market, political and valuation risks. Deficiencies in
20
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
April 30, 2005 (unaudited)
- --------------------------------------------------------------------------------
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
regulatory oversight, market infrastructure, shareholder protections and company
laws could expose the Fund to operational and other risks as well. Some
countries may have restrictions that could limit the Fund's access to attractive
investment opportunities. Additionally, emerging markets often face serious
economic problems (such as high external debt, inflation and unemployment) that
could subject the portfolio to increased volatility or substantial declines in
value.
Lower-rated debt securities (commonly known as "junk bonds") possess
speculative characteristics and are subject to greater market fluctuations and
risk of lost income and principal than higher-rated debt securities for a
variety of reasons. Also, during an economic downturn or substantial period of
rising interest rates, highly leveraged issuers may experience financial stress
which would adversely affect their ability to service their principal and
interest payment obligations, to meet projected business goals and to obtain
additional financing.
In addition, periods of economic uncertainty and changes can be expected to
result in increased volatility of market prices of lower-rated debt securities
and (to the extent the Fund invests in junk bonds) the Fund's net asset value.
NOTE 3. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
CSAM serves as investment adviser for the Fund. For its investment advisory
services, CSAM is entitled to receive a fee from the Fund at an annual rate of
0.50% of the Fund's average daily net assets. For the period ended April 30,
2005, investment advisory fees earned, voluntarily waived and reimbursed were as
follows:
GROSS NET
ADVISORY ADVISORY EXPENSE
FEE WAIVER FEE REIMBURSEMENT
- ------------------------------------------------------------------------------
$50,623 ($50,623) $-- $(135,114)
Credit Suisse Asset Management Securities, Inc. ("CSAMSI"), an affiliate of
CSAM, and SSB serve as co-administrators to the Fund.
For its co-administrative services, CSAMSI currently receives a fee
calculated at an annual rate of 0.10% of the Fund's average daily net assets.
For the period ended April 30, 2005, co-administrative services fees earned by
CSAMSI were $10,125.
21
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
April 30, 2005 (unaudited)
- --------------------------------------------------------------------------------
NOTE 3. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
For its co-administrative services, SSB receives a fee, exclusive of
out-of-pocket expenses, calculated in total for all the Credit Suisse
funds/portfolios co-administered by SSB and allocated based upon relative
average net assets of each fund/portfolio, subject to an annual minimum fee. For
the period ended April 30, 2005, co-administrative services fees earned by SSB
(including out-of-pocket expenses) were $8,037.
In addition to serving as the Fund's co-administrator, CSAMSI currently
serves as distributor of the Fund's shares. Pursuant to distribution plans
adopted by the Fund for its Class A and Class C shares pursuant to Rule 12b-1
under the 1940 Act, CSAMSI receives fees for its distribution services. These
fees are calculated at an annual rate of 0.25% of the average daily net assets
of the Class A shares and 1.00% of the average daily net assets of the Class C
shares. Common Class shares are not subject to distribution fees.
For the period ended April 30, 2005, CSAMSI and its affiliates advised the
Fund that they retained $7,257 from commissions earned on the sale of the Fund's
Class A shares.
The Fund will reimburse CSAM for offering costs in the amount of $291,619,
that have been paid by CSAM. Offering costs, including initial registration
costs, have been deferred and will be charged to expenses during the Fund's
first year of operation. For the period ended April 30, 2005, $97,478 has been
expensed to the Fund.
NOTE 4. LINE OF CREDIT
The Fund, together with other funds/portfolios advised by CSAM (collectively,
the "Participating Funds"), participates in a $75 million committed, unsecured
line of credit facility ("Credit Facility") for temporary or emergency purposes
with Deutsche Bank, A.G. as administrative agent and syndication agent and SSB
as operations agent. Under the terms of the Credit Facility, the Participating
Funds pay an aggregate commitment fee at a rate of 0.10% per annum on the
average unused amount of the Credit Facility, which is allocated among the
Participating Funds in such manner as is determined by the governing Boards of
the Participating Funds. In addition, the Participating Funds pay interest on
borrowings at the Federal Funds rate plus 0.50%. At April 30, 2005, the Fund had
no borrowings under the Credit Facility. During the period ended April 30, 2005,
the Fund had borrowings under the Credit Facility as follows:
22
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
April 30, 2005 (unaudited)
- --------------------------------------------------------------------------------
NOTE 4. LINE OF CREDIT
AVERAGE DAILY WEIGHTED AVERAGE MAXIMUM DAILY
LOAN BALANCE INTEREST RATE % LOAN OUTSTANDING
- -------------------------------------------------------------------------------
$1,350,000 3.313% $2,600,000
NOTE 5. PURCHASES AND SALES OF SECURITIES
For the period ended April 30, 2005, purchases and sales of investment
securities (excluding short-term investments) were $5,811,883 and $0,
respectively.
At April 30, 2005, the identified cost for federal income tax purposes, as
well as the gross unrealized appreciation from investments for those securities
having an excess value over cost, gross unrealized depreciation from investments
for those securities having an excess of cost over value and the net unrealized
depreciation from investments were $88,979,424, $8,090, ($40,252) and ($32,162),
respectively.
NOTE 6. CAPITAL SHARE TRANSACTIONS
The Fund is authorized to issue an unlimited number of shares of beneficial
interest, $.001 par value per share. The Fund currently offers Common Class,
Class A and Class C shares. Transactions in capital shares for each class of the
Fund were as follows:
COMMON CLASS
-----------------------------
FOR THE PERIOD ENDED
APRIL 30, 2005 (UNAUDITED)1,2
-----------------------------
SHARES VALUE
----------- -----------
Shares sold 3,713,757 $38,220,092
Shares issued in reinvestment of dividends 72 803
Shares redeemed (864,606) (9,003,646)
----------- -----------
Net increase 2,849,223 $29,217,249
=========== ===========
23
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
April 30, 2005 (unaudited)
- --------------------------------------------------------------------------------
NOTE 6. CAPITAL SHARE TRANSACTIONS
CLASS A
-----------------------------
FOR THE PERIOD ENDED
APRIL 30, 2005 (UNAUDITED)1,3
-----------------------------
SHARES VALUE
----------- -----------
Shares sold 5,278,902 $56,000,244
Shares issued in reinvestment of dividends 734 8,176
Shares redeemed (22,783) (244,636)
----------- -----------
Net increase 5,256,853 $55,763,784
=========== ===========
CLASS C
-----------------------------
FOR THE PERIOD ENDED
APRIL 30, 2005 (UNAUDITED)1,2
-----------------------------
SHARES VALUE
----------- ----------
Shares sold 105,233 $1,136,730
Shares issued in reinvestment of dividends 111 1,234
Shares redeemed (633) (6,962)
----------- ----------
Net increase 104,711 $1,131,002
=========== ==========
- --------------------------------------------------------------------------------
1 For the period December 30, 2004 (inception date) through April 30, 2005.
2 The Classes were seeded on December 1, 2004 with initial capital of $10 and 1
share each.
3 The Class was seeded on December 1, 2004 with initial capital of $99,980 and
9,998 shares.
On April 30, 2005, the number of shareholders that held 5% or more of the
outstanding shares of each class of the Fund was as follows:
NUMBER OF APPROXIMATE PERCENTAGE
SHAREHOLDERS OF OUTSTANDING SHARES
- -------------------------------------------------------------------------
Common Class 1 98%
Class A 2 51%
Class C 2 39%
Some of the shareholders are omnibus accounts, which hold shares on behalf of
individual shareholders.
NOTE 7. CONTINGENCIES
In the normal course of business, the Fund may provide general
indemnifications pursuant to certain contracts and organizational documents. The
Fund's maximum exposure under these arrangements is dependent on future claims
that may be made against the Fund and, therefore, cannot be estimated; however,
based on experience, the risk of loss from such claims is considered remote.
24
CREDIT SUISSE COMMODITY RETURN STRATEGY FUND
PRIVACY POLICY NOTICE (UNAUDITED)
- --------------------------------------------------------------------------------
Important Privacy Choices for Consumers
---------------------------------------
We are committed to maintaining the privacy of every current and prospective
customer. We recognize that you entrust important personal information to us,
and we wish to assure you that we take seriously our responsibilities in
protecting and safeguarding this information.
In connection with making available investment products and services to
current and potential customers, we may obtain nonpublic personal information
about you. This information may include your name, address, e-mail address,
social security number, account number, assets, income, financial situation,
transaction history and other personal information.
We may collect nonpublic information about you from the following sources:
o Information we receive on applications, forms, questionnaires, web sites,
agreements or in the course of establishing or maintaining a customer
relationship; and
o Information about your transactions with us, our affiliates, or others.
We do not disclose any nonpublic personal information about our customers or
former customers to anyone, except with your consent or as otherwise permitted
by law.
RESTRICT INFORMATION SHARING WITH AFFILIATES: In cases where we believe that
additional products and services may be of interest to you, we may share the
information described above with our affiliates unless you say "No."
[ ] No, please do not share personal and financial information with your
affiliated companies. [If you check this box, you must send this notice
back to us with your name, address and account number to Credit Suisse
Funds, 466 Lexington Avenue, New York, New York 10017.]
We may also disclose this information to firms that perform services on our
behalf. These agents and service providers are required to treat the information
confidentially and use it only for the purpose for which it is provided.
We restrict access to nonpublic personal information about you to those
employees, agents or other parties who need to know that information to provide
products or services to you or in connection with your investments with or
through us. We maintain physical, electronic and procedural safeguards that
comply with federal standards to guard your nonpublic personal information.
Note: This Notice is provided to clients and prospective clients of Credit
Suisse Asset Management, LLC ("CSAM") and Credit Suisse Asset Management
Securities, Inc., and shareholders and prospective shareholders in CSAM
sponsored and advised investment companies, including Credit Suisse Funds, and
other consumers and customers, as applicable. This Notice is not intended to be
incorporated in any offering materials but is merely a statement of our current
Privacy Policy, and may be amended from time to time upon notice to you. This
Notice is dated as of May 17, 2005.
25
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 period ending June 30, 2005, and the policies and
procedures that the Fund uses to determine how to vote proxies relating to its
portfolio securities will be available, once filed with the Securities and
Exchange Commission:
o By calling 1-800-927-2874
o On the Fund's website, www.csam.com/us
o On the website of the Securities and Exchange Commission,
http://www.sec.gov.
The Fund files a complete schedule of its portfolio holdings for the first
and third quarters of its fiscal year with the SEC on Form N-Q. The Fund's Forms
N-Q are available on the SEC's website at http://www.sec.gov and may be reviewed
and copied at the SEC's Public Reference Room in Washington, DC. Information on
the operation of the SEC's Public Reference Room may be obtained by calling
1-800-SEC-0330.
26
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logo:
P.O. BOX 55030, BOSTON, MA 02205-5030 CREDIT | ASSET
800-927-2874 o www.csam.com/us SUISSE | MANAGEMENT
CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., DISTRIBUTOR. COM-SAR-0405
ITEM 2. CODE OF ETHICS.
This item is inapplicable to a semi-annual report on Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
This item is inapplicable to a semi-annual report on Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
This item is inapplicable to a semi-annual report on Form N-CSR.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the registrant.
ITEM 6. SCHEDULE OF INVESTMENTS
Included as part of the report to shareholders filed under Item 1 of this Form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
This item is not applicable to the registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
The Nominating Committee recommends Board member candidates. Shareholders of the
registrant may also submit nominees that will be considered by the Committee.
Recommendations should be mailed to the registrant's Secretary, c/o Credit
Suisse Asset Management, LLC, 466 Lexington Avenue, New York, NY 10017. Any
submission should include at a minimum the following information: the name, age,
business address, residence address and principal occupation or employment of
such individual; the class, series and number of shares of the registrant that
are beneficially owned by such individual; the date such shares were acquired
and the investment intent of such acquisition; whether such shareholder believes
such individual is, or is not, an "interested person" of the registrant (as
defined in the Investment Company Act of 1940) and information regarding such
individual that is sufficient, in the Committee's discretion, to make such
determination; and all other information relating to such individual that is
required to be disclosed in solicitation of proxies for election of directors in
an election contest (even if an election contest is not involved) or is
otherwise required pursuant to the rules for proxy materials under the
Securities Exchange Act of 1934.
ITEM 11. CONTROLS AND PROCEDURES.
(a) As of a date within 90 days from the filing date of this report, the
principal executive officer and principal financial officer concluded that the
registrant's disclosure controls and procedures (as defined in Rule 30a-3(c)
under the Investment Company Act of 1940 (the "Act")) were effective based on
their evaluation of the disclosure controls and procedures required by Rule
30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934.
(b) There were no changes in registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the
registrant's last fiscal half-year that have materially affected, or are
reasonably likely to materially affect, the registrant's internal control over
financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Not applicable.
(a)(2) The certifications of the registrant as required by Rule 30a-2(a) under
the Act are exhibits to this report.
(a)(3) Not applicable.
(b) The certifications of the registrant as required by Rule 30a-2(b) under
the Act are an exhibit to this report.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Credit Suisse Commodity Return Strategy Fund
/s/ Michael E. Kenneally
--------------------------------
Name: Michael E. Kenneally
Title: Chief Executive Officer
Date: July 5, 2005
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/ Michael E. Kenneally
--------------------------------
Name: Michael E. Kenneally
Title: Chief Executive Officer
Date: July 5, 2005
/s/ Michael A. Pignataro
--------------------------------
Name: Michael A. Pignataro
Title: Chief Financial Officer
Date: July 5, 2005