Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (n-q)
18 Março 2014 - 11:29AM
Edgar (US Regulatory)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
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Investment Company Act file number
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811-21589
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CREDIT SUISSE COMMODITY STRATEGY FUNDS
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(Exact name of registrant as specified in charter)
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c/o Credit Suisse Asset Management, LLC
One Madison Avenue
New York, New York
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10010
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(Address of principal executive offices)
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(Zip code)
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John G. Popp
One Madison Avenue
New York, New York 10010
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(Name and address of agent for service)
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Registrant’s telephone number, including area code:
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(212) 325-2000
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Date of fiscal year end:
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October 31st
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Date of reporting period:
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November 1, 2013 to January 31, 2014
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Item 1:
Schedule of Investments
Credit Suisse Commodity ACCESS Strategy Fund
Consolidated Schedule of Investments
January 31, 2014 (unaudited)
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Par
(000)
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Ratings
†
(S&P/Moody’s)
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Maturity
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Rate%
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Value
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UNITED STATES AGENCY OBLIGATIONS
(68.6%)
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$
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1,000
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Fannie Mae Discount Notes
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(AA+, Aaa)
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05/01/14
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0.121
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$
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999,903
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500
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Fannie Mae Discount Notes
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(AA+, Aaa)
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06/02/14
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0.100
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499,934
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300
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Fannie Mae Discount Notes
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(AA+, Aaa)
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08/18/14
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0.128
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299,902
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500
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Federal Farm Credit Banks#
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(AA+, Aaa)
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05/05/15
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0.210
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500,781
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500
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Federal Farm Credit Banks#
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(AA+, Aaa)
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07/20/15
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0.187
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500,581
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400
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Federal Farm Credit Banks#
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(AA+, Aaa)
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09/21/15
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0.250
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400,452
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300
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Federal Farm Credit Banks#
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(AA+, Aaa)
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02/18/16
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0.196
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300,050
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200
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Federal Farm Credit Banks#
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(AA+, Aaa)
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02/26/16
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0.260
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200,241
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350
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Federal Farm Credit Banks#
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(AA+, Aaa)
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03/29/16
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0.206
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350,095
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300
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Federal Farm Credit Banks#
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(AA+, Aaa)
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04/11/16
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0.260
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300,311
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500
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Federal Farm Credit Banks#
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(AA+, Aaa)
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04/19/16
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0.247
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501,183
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300
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Federal Farm Credit Banks#
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(AA+, Aaa)
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06/09/16
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0.280
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300,372
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300
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Federal Farm Credit Banks#
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(AA+, Aaa)
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06/20/16
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0.270
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300,287
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400
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Federal Farm Credit Banks#
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(AA+, Aaa)
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07/20/16
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0.280
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400,421
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350
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Federal Farm Credit Banks#
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(AA+, Aaa)
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07/27/16
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0.280
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350,357
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1,250
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Federal Farm Credit Banks#
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(AA+, Aaa)
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07/29/16
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0.250
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1,250,334
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300
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Federal Farm Credit Banks#
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(AA+, Aaa)
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11/07/16
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0.300
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300,296
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500
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Federal Home Loan Banks
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(AA+, Aaa)
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09/16/14
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0.125
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500,078
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500
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Federal Home Loan Banks
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(AA+, Aaa)
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10/15/14
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0.230
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500,421
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300
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Federal Home Loan Banks
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(AA+, Aaa)
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12/12/14
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0.875
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301,955
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500
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Federal Home Loan Banks#
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(AA+, Aaa)
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08/19/15
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0.200
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500,178
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500
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Federal Home Loan Banks#
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(AA+, Aaa)
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08/19/15
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0.220
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500,331
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800
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Federal Home Loan Banks#
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(AA+, Aaa)
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10/07/15
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0.220
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800,504
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300
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Federal Home Loan Banks#
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(AA+, Aaa)
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12/16/15
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0.196
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300,116
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300
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Federal Home Loan Banks#
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(AA+, Aaa)
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11/07/16
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0.310
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300,378
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500
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Federal Home Loan Mortgage Corp.
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(AA+, Aaa)
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07/30/14
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1.000
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502,281
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500
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Federal Home Loan Mortgage Corp.
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(AA+, Aaa)
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12/29/14
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0.330
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500,927
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500
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Federal Home Loan Mortgage Corp.
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(AA+, Aaa)
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01/02/15
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0.305
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500,820
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500
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Federal Home Loan Mortgage Corp.
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(AA+, Aaa)
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02/23/15
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0.305
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500,883
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200
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Federal Home Loan Mortgage Corp.
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(AA+, Aaa)
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04/30/15
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0.400
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200,114
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300
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Federal Home Loan Mortgage Corp.
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(AA+, Aaa)
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09/18/15
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0.550
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300,164
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400
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Federal National Mortgage Association
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(AA+, Aaa)
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12/19/14
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0.750
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402,172
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500
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Federal National Mortgage Association#
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(AA+, Aaa)
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07/25/16
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0.168
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500,207
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500
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Federal National Mortgage Association#
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(AA+, Aaa)
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08/12/16
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0.179
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500,302
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300
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Federal National Mortgage Association#
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(AA+, Aaa)
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08/15/16
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0.180
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300,179
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500
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Freddie Mac Discount Notes
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(AA+, Aaa)
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04/24/14
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0.100
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499,967
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500
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Freddie Mac Discount Notes
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(AA+, Aaa)
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06/18/14
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0.120
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499,925
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TOTAL UNITED STATES AGENCY OBLIGATIONS
(Cost $16,653,196)
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16,667,402
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UNITED STATES TREASURY OBLIGATIONS
(7.4%)
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300
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United States Treasury Notes
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(AA+, Aaa)
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01/31/15
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0.250
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300,328
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300
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United States Treasury Notes
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(AA+, Aaa)
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04/30/15
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0.125
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299,859
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|
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300
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United States Treasury Notes
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(AA+, Aaa)
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06/30/15
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|
0.375
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300,785
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|
|
400
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United States Treasury Notes
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(AA+, Aaa)
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07/15/15
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0.250
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400,297
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|
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300
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United States Treasury Notes
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(AA+, Aaa)
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08/31/15
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0.375
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300,657
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|
|
200
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United States Treasury Notes
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(AA+, Aaa)
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01/15/17
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0.750
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200,414
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TOTAL UNITED STATES TREASURY OBLIGATIONS
(Cost $1,799,052)
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1,802,340
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SHORT-TERM INVESTMENT
(9.3%)
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2,257
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State Street Bank and Trust Co. Euro Time Deposit^^ (Cost $2,257,000)
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02/03/14
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0.010
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2,257,000
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TOTAL INVESTMENTS AT VALUE
(85.3%) (Cost $20,709,248)
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20,726,742
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OTHER ASSETS IN EXCESS OF LIABILITIES
(14.7%)
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|
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3,576,409
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NET ASSETS
(100.0%)
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|
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$
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24,303,151
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†
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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.
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#
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Variable rate obligations — The interest rate is the rate as of January 31, 2014.
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^^
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Security or portion thereof held in the subsidiary.
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At January 31, 2014, Open Futures Contracts were as follows:
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Contract Description
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Currency
|
|
Expiration
Date
|
|
Notional
Value
|
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Net Unrealized
Appreciation/
(Depreciation)
|
|
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Contracts to Purchase
|
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|
|
|
|
|
|
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Energy
|
|
|
|
|
|
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|
|
|
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USD
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|
Apr 2014
|
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$
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1,837,490
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$
|
25,323
|
|
|
|
|
USD
|
|
Apr 2014
|
|
1,481,340
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|
6,840
|
|
|
|
|
USD
|
|
Apr 2014
|
|
2,672,400
|
|
169,641
|
|
|
|
|
USD
|
|
May 2014
|
|
437,900
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|
17,890
|
|
|
|
|
USD
|
|
May 2014
|
|
3,544,600
|
|
99,546
|
|
|
|
|
USD
|
|
Dec 2014
|
|
3,866,560
|
|
(80,656
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)
|
|
|
|
|
|
|
|
|
|
$
|
238,584
|
|
|
Contracts to Sell
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
USD
|
|
Mar 2014
|
|
(4,192,070
|
)
|
$
|
(141,059
|
)
|
|
|
|
USD
|
|
Mar 2014
|
|
(3,460,100
|
)
|
(360,442
|
)
|
|
|
|
USD
|
|
May 2014
|
|
(3,898,690
|
)
|
(10,737
|
)
|
|
|
|
|
|
|
|
|
|
$
|
(512,238
|
)
|
|
Livestock
|
|
|
|
|
|
|
|
|
|
|
|
|
USD
|
|
Mar 2014
|
|
(169,425
|
)
|
$
|
(3,005
|
)
|
|
|
|
USD
|
|
Apr 2014
|
|
(254,512
|
)
|
(1,507
|
)
|
|
|
|
USD
|
|
Apr 2014
|
|
(1,251,360
|
)
|
(41,987
|
)
|
|
|
|
|
|
|
|
|
|
$
|
(46,499
|
)
|
|
Net unrealized appreciation/(depreciation)
|
|
|
|
|
|
|
|
$
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(320,153
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)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At January 31, 2014, Outstanding Swaps Contracts were as follows:
COMMODITY INDEX SWAP CONTRACTS
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Currency
|
|
Notional
Amount
|
|
Expiration
Date
|
|
Counterparty
|
|
Receive
|
|
Pay
|
|
Net Unrealized
Appreciation/
(Depreciation)
|
|
|
USD
|
|
$
|
4,505,818
|
|
02/26/14
|
|
Barclays
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
$
|
(24,658
|
)
|
|
USD
|
|
$
|
6,000,000
|
|
02/07/14
|
|
Goldman Sachs
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(731
|
)
|
|
USD
|
|
$
|
7,106,557
|
|
02/26/14
|
|
Goldman Sachs
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(38,867
|
)
|
|
USD
|
|
$
|
4,702,049
|
|
02/26/14
|
|
JPMorgan Chase
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(25,727
|
)
|
|
USD
|
|
$
|
9,405,800
|
|
02/07/14
|
|
UBS
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(10,935
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(100,918
|
)
|
1
The Commodity Index Return is comprised of futures contracts on physical commodities.
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.
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. Short-term fixed income securities that will mature in 60 days or less may be valued at amortized cost.
Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. The forward is valued at the net of the present value and the spot rate and are generally categorized as Level 2. 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 of Trustees 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 broker/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, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.
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 measurement date. These inputs are summarized in the three broad levels listed below:
|
·
|
Level 1 — quoted prices in active markets for identical investments
|
|
·
|
Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
|
|
·
|
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
|
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of January 31, 2014 in valuing the Fund’s assets and liabilities carried at fair value:
|
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
|
Investments in Securities
|
|
|
|
|
|
|
|
|
|
|
United States Agency Obligations
|
|
$
|
—
|
|
$
|
16,667,402
|
|
$
|
—
|
|
$
|
16,667,402
|
|
|
United States Treasury Obligations
|
|
—
|
|
1,802,340
|
|
—
|
|
1,802,340
|
|
|
Short-term Investment
|
|
—
|
|
2,257,000
|
|
—
|
|
2,257,000
|
|
|
Other Financial Instruments*
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
(320,153
|
)
|
—
|
|
—
|
|
(320,153
|
)
|
|
Swap Contracts
|
|
—
|
|
(100,918
|
)
|
—
|
|
(100,918
|
)
|
|
|
|
$
|
(320,153
|
)
|
$
|
20,625,824
|
|
$
|
—
|
|
$
|
20,305,671
|
|
*
Other financial instruments include unrealized appreciation/(depreciation) on futures and swap contracts.
The Fund follows Financial Accounting Standards Board (“FASB”) amendments to authoritative guidance which require the Fund to disclose details of transfers in and out of Level 1 and Level 2 measurements and Level 2 and Level 3 measurements and the reasons for the transfers. For the quarter ended January 31, 2014, there were no transfers in and out of Level 1, Level 2 and Level 3. All transfers are assumed to occur at the end of the reporting period.
Federal Income Tax Cost - At January 31, 2014, the cost of investments (excluding foreign currency related transactions) and net unrealized appreciation/(depreciation) for income tax purposes were as follows:
|
Cost of Investments
|
|
$
|
20,709,248
|
|
|
Unrealized appreciation
|
|
$
|
17,494
|
|
|
Unrealized depreciation
|
|
(0
|
)
|
|
Net unrealized appreciation/(depreciation)
|
|
$
|
17,494
|
|
Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Fund’s website at www.credit-suisse.com/us/funds as well as on the website of the Securities and Exchange Commission at www.sec.gov.
Credit Suisse Commodity Return Strategy Fund
Consolidated Schedule of Investments
January 31, 2014 (unaudited)
|
Par
(000)
|
|
|
|
Ratings†
(S&P/Moody’s)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
COMMODITY INDEXED STRUCTURED NOTES
(3.0%)
|
|
|
|
|
|
|
|
|
|
|
$
|
26,000
|
|
BNP Paribas, Commodity Index Linked Senior Unsecured Notes#
|
|
(A+, A2)
|
|
04/17/14
|
|
0.254
|
|
$
|
19,227,000
|
|
|
62,800
|
|
BNP Paribas, Commodity Index Linked Senior Unsecured Notes#
|
|
(A+, A2)
|
|
04/25/14
|
|
0.245
|
|
46,151,720
|
|
|
32,000
|
|
Deutsche Bank AG London, Commodity Index Linked Senior Unsecured Notes#
|
|
(A, A2)
|
|
02/13/14
|
|
0.004
|
|
23,580,800
|
|
|
26,600
|
|
Deutsche Bank AG London, Commodity Index Linked Senior Unsecured Notes#
|
|
(A, A2)
|
|
03/02/15
|
|
0.021
|
|
26,044,060
|
|
|
43,300
|
|
Svensk Exportkredit AB, Commodity Index Linked Senior Unsecured Notes#
|
|
(AA+, Aa1)
|
|
02/02/15
|
|
0.248
|
|
41,926,759
|
|
|
TOTAL COMMODITY INDEXED STRUCTURED NOTES
(Cost $190,700,000)
|
|
|
|
|
|
156,930,339
|
|
|
|
|
|
|
|
|
|
|
|
UNITED STATES AGENCY OBLIGATIONS
(70.4%)
|
|
|
|
|
|
|
|
|
|
|
30,000
|
|
Fannie Mae Discount Notes^^
|
|
(AA+, Aaa)
|
|
05/01/14
|
|
0.121
|
|
29,997,090
|
|
|
70,200
|
|
Fannie Mae Discount Notes
|
|
(AA+, Aaa)
|
|
06/02/14
|
|
0.100
|
|
70,190,734
|
|
|
64,500
|
|
Fannie Mae Discount Notes
|
|
(AA+, Aaa)
|
|
08/18/14
|
|
0.128
|
|
64,478,908
|
|
|
20,800
|
|
Fannie Mae Discount Notes^^
|
|
(AA+, Aaa)
|
|
09/02/14
|
|
0.142
|
|
20,791,472
|
|
|
16,800
|
|
Federal Farm Credit Banks#^^
|
|
(AA+, Aaa)
|
|
03/16/15
|
|
0.230
|
|
16,817,388
|
|
|
50,000
|
|
Federal Farm Credit Banks#
|
|
(AA+, Aaa)
|
|
05/05/15
|
|
0.210
|
|
50,078,100
|
|
|
50,000
|
|
Federal Farm Credit Banks#
|
|
(AA+, Aaa)
|
|
09/21/15
|
|
0.250
|
|
50,056,500
|
|
|
12,000
|
|
Federal Farm Credit Banks#^^
|
|
(AA+, Aaa)
|
|
11/19/15
|
|
0.157
|
|
12,007,284
|
|
|
44,000
|
|
Federal Farm Credit Banks#
|
|
(AA+, Aaa)
|
|
02/01/16
|
|
0.250
|
|
44,047,916
|
|
|
94,475
|
|
Federal Farm Credit Banks#^^
|
|
(AA+, Aaa)
|
|
02/18/16
|
|
0.196
|
|
94,490,588
|
|
|
62,300
|
|
Federal Farm Credit Banks#
|
|
(AA+, Aaa)
|
|
03/29/16
|
|
0.206
|
|
62,316,946
|
|
|
50,000
|
|
Federal Farm Credit Banks#
|
|
(AA+, Aaa)
|
|
04/11/16
|
|
0.260
|
|
50,051,850
|
|
|
83,000
|
|
Federal Farm Credit Banks#
|
|
(AA+, Aaa)
|
|
04/19/16
|
|
0.247
|
|
83,196,461
|
|
|
82,200
|
|
Federal Farm Credit Banks#
|
|
(AA+, Aaa)
|
|
05/02/16
|
|
0.184
|
|
82,273,569
|
|
|
60,600
|
|
Federal Farm Credit Banks#^^
|
|
(AA+, Aaa)
|
|
06/02/16
|
|
0.189
|
|
60,658,479
|
|
|
50,000
|
|
Federal Farm Credit Banks#
|
|
(AA+, Aaa)
|
|
06/09/16
|
|
0.280
|
|
50,062,050
|
|
|
72,050
|
|
Federal Farm Credit Banks#
|
|
(AA+, Aaa)
|
|
06/20/16
|
|
0.270
|
|
72,118,880
|
|
|
90,800
|
|
Federal Farm Credit Banks#
|
|
(AA+, Aaa)
|
|
07/20/16
|
|
0.280
|
|
90,895,612
|
|
|
53,000
|
|
Federal Farm Credit Banks#
|
|
(AA+, Aaa)
|
|
07/27/16
|
|
0.280
|
|
53,054,007
|
|
|
88,100
|
|
Federal Farm Credit Banks#
|
|
(AA+, Aaa)
|
|
07/29/16
|
|
0.250
|
|
88,123,523
|
|
|
70,000
|
|
Federal Farm Credit Banks#
|
|
(AA+, Aaa)
|
|
11/07/16
|
|
0.300
|
|
70,068,950
|
|
|
152,000
|
|
Federal Farm Credit Banks#^^
|
|
(AA+, Aaa)
|
|
11/21/16
|
|
0.252
|
|
152,378,024
|
|
|
100,000
|
|
Federal Farm Credit Banks#
|
|
(AA+, Aaa)
|
|
12/06/16
|
|
0.263
|
|
100,243,900
|
|
|
15,000
|
|
Federal Farm Credit Banks#
|
|
(AA+, Aaa)
|
|
01/17/17
|
|
0.209
|
|
15,016,815
|
|
|
20,200
|
|
Federal Home Loan Bank Discount Notes^^
|
|
(AA+, Aaa)
|
|
04/01/14
|
|
0.160
|
|
20,199,030
|
|
|
50,000
|
|
Federal Home Loan Bank Discount Notes
|
|
(AA+, Aaa)
|
|
05/01/14
|
|
0.170
|
|
49,995,150
|
|
|
65,500
|
|
Federal Home Loan Bank Discount Notes
|
|
(AA+, Aaa)
|
|
05/21/14
|
|
0.110
|
|
65,492,205
|
|
|
45,000
|
|
Federal Home Loan Banks
|
|
(AA+, Aaa)
|
|
10/15/14
|
|
0.120
|
|
45,003,330
|
|
|
75,000
|
|
Federal Home Loan Banks
|
|
(AA+, Aaa)
|
|
10/15/14
|
|
0.230
|
|
75,063,225
|
|
|
28,000
|
|
Federal Home Loan Banks^^
|
|
(AA+, Aaa)
|
|
12/12/14
|
|
2.750
|
|
28,630,308
|
|
|
50,000
|
|
Federal Home Loan Banks#
|
|
(AA+, Aaa)
|
|
08/14/15
|
|
0.220
|
|
50,033,250
|
|
|
110,000
|
|
Federal Home Loan Banks#^^
|
|
(AA+, Aaa)
|
|
08/19/15
|
|
0.200
|
|
110,039,050
|
|
|
74,600
|
|
Federal Home Loan Banks#
|
|
(AA+, Aaa)
|
|
08/19/15
|
|
0.220
|
|
74,649,460
|
|
|
10,000
|
|
Federal Home Loan Banks#^^
|
|
(AA+, Aaa)
|
|
10/01/15
|
|
0.210
|
|
10,004,700
|
|
|
85,000
|
|
Federal Home Loan Banks#
|
|
(AA+, Aaa)
|
|
10/07/15
|
|
0.220
|
|
85,053,550
|
|
|
88,600
|
|
Federal Home Loan Banks#
|
|
(AA+, Aaa)
|
|
10/07/15
|
|
0.220
|
|
88,655,818
|
|
|
70,000
|
|
Federal Home Loan Banks#
|
|
(AA+, Aaa)
|
|
12/16/15
|
|
0.196
|
|
70,026,950
|
|
|
55,250
|
|
Federal Home Loan Banks#
|
|
(AA+, Aaa)
|
|
11/07/16
|
|
0.310
|
|
55,319,560
|
|
|
45,200
|
|
Federal Home Loan Banks
|
|
(AA+, Aaa)
|
|
01/30/17
|
|
1.010
|
|
45,282,716
|
|
|
107,650
|
|
Federal Home Loan Mortgage Corp.^^
|
|
(AA+, Aaa)
|
|
12/03/14
|
|
0.320
|
|
107,824,824
|
|
|
100,000
|
|
Federal Home Loan Mortgage Corp.
|
|
(AA+, Aaa)
|
|
12/29/14
|
|
0.330
|
|
100,185,500
|
|
|
67,580
|
|
Federal Home Loan Mortgage Corp.^^
|
|
(AA+, Aaa)
|
|
12/29/14
|
|
0.625
|
|
67,885,732
|
|
|
75,000
|
|
Federal Home Loan Mortgage Corp.
|
|
(AA+, Aaa)
|
|
01/02/15
|
|
0.305
|
|
75,123,000
|
|
|
100,000
|
|
Federal Home Loan Mortgage Corp.
|
|
(AA+, Aaa)
|
|
02/23/15
|
|
0.305
|
|
100,176,700
|
|
|
43,000
|
|
Federal Home Loan Mortgage Corp.
|
|
(AA+, Aaa)
|
|
04/30/15
|
|
0.400
|
|
43,024,467
|
|
|
35,000
|
|
Federal Home Loan Mortgage Corp.
|
|
(AA+, Aaa)
|
|
09/04/15
|
|
0.550
|
|
35,012,110
|
|
|
69,885
|
|
Federal Home Loan Mortgage Corp.
|
|
(AA+, Aaa)
|
|
09/18/15
|
|
0.550
|
|
69,923,157
|
|
|
123,440
|
|
Federal National Mortgage Association^^
|
|
(AA+, Aaa)
|
|
12/19/14
|
|
0.750
|
|
124,110,279
|
|
|
63,000
|
|
Federal National Mortgage Association
|
|
(AA+, Aaa)
|
|
03/16/15
|
|
0.375
|
|
63,152,460
|
|
|
137,900
|
|
Federal National Mortgage Association#
|
|
(AA+, Aaa)
|
|
07/25/16
|
|
0.168
|
|
137,956,953
|
|
|
117,000
|
|
Federal National Mortgage Association#^^
|
|
(AA+, Aaa)
|
|
08/12/16
|
|
0.179
|
|
117,070,785
|
|
|
92,500
|
|
Federal National Mortgage Association#
|
|
(AA+, Aaa)
|
|
08/15/16
|
|
0.180
|
|
92,555,315
|
|
|
20,000
|
|
Freddie Mac Discount Notes^^
|
|
(AA+, Aaa)
|
|
04/24/14
|
|
0.100
|
|
19,998,660
|
|
|
71,000
|
|
Freddie Mac Discount Notes
|
|
(AA+, Aaa)
|
|
04/24/14
|
|
0.120
|
|
70,995,243
|
|
|
20,000
|
|
Freddie Mac Discount Notes^^
|
|
(AA+, Aaa)
|
|
05/08/14
|
|
0.110
|
|
19,997,920
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings†
(S&P/Moody’s)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
UNITED STATES AGENCY OBLIGATIONS
|
|
|
|
|
|
|
|
|
|
$
|
62,500
|
|
Freddie Mac Discount Notes^^
|
|
(AA+, Aaa)
|
|
06/18/14
|
|
0.120
|
|
$
|
62,490,625
|
|
|
TOTAL UNITED STATES AGENCY OBLIGATIONS
(Cost $3,661,129,714)
|
|
|
|
|
|
3,664,347,078
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
UNITED STATES TREASURY OBLIGATIONS
(15.0%)
|
|
|
|
|
|
|
|
|
|
|
15,000
|
|
United States Treasury Bills^^
|
|
(AA+, Aaa)
|
|
03/20/14
|
|
0.025
|
|
14,999,511
|
|
|
24,000
|
|
United States Treasury Bills^^
|
|
(AA+, Aaa)
|
|
04/03/14
|
|
0.065
|
|
23,999,520
|
|
|
28,500
|
|
United States Treasury Bills^^
|
|
(AA+, Aaa)
|
|
09/18/14
|
|
0.107
|
|
28,489,455
|
|
|
15,000
|
|
United States Treasury Notes^^
|
|
(AA+, Aaa)
|
|
04/30/14
|
|
0.250
|
|
15,006,735
|
|
|
25,000
|
|
United States Treasury Notes^^
|
|
(AA+, Aaa)
|
|
05/15/14
|
|
1.000
|
|
25,065,925
|
|
|
25,000
|
|
United States Treasury Notes^^
|
|
(AA+, Aaa)
|
|
07/15/14
|
|
0.625
|
|
25,062,000
|
|
|
10,000
|
|
United States Treasury Notes^^
|
|
(AA+, Aaa)
|
|
07/31/14
|
|
0.125
|
|
10,002,150
|
|
|
35,000
|
|
United States Treasury Notes^^
|
|
(AA+, Aaa)
|
|
07/31/14
|
|
2.625
|
|
35,436,800
|
|
|
25,000
|
|
United States Treasury Notes^^
|
|
(AA+, Aaa)
|
|
08/15/14
|
|
4.250
|
|
25,553,225
|
|
|
26,500
|
|
United States Treasury Notes^^
|
|
(AA+, Aaa)
|
|
08/31/14
|
|
0.250
|
|
26,523,294
|
|
|
20,000
|
|
United States Treasury Notes^^
|
|
(AA+, Aaa)
|
|
01/15/15
|
|
0.250
|
|
20,021,880
|
|
|
40,000
|
|
United States Treasury Notes§
|
|
(AA+, Aaa)
|
|
01/31/15
|
|
0.250
|
|
40,043,760
|
|
|
50,000
|
|
United States Treasury Notes§
|
|
(AA+, Aaa)
|
|
04/30/15
|
|
0.125
|
|
49,976,550
|
|
|
50,000
|
|
United States Treasury Notes§
|
|
(AA+, Aaa)
|
|
06/15/15
|
|
0.375
|
|
50,128,900
|
|
|
62,500
|
|
United States Treasury Notes^^
|
|
(AA+, Aaa)
|
|
06/30/15
|
|
0.375
|
|
62,663,562
|
|
|
102,000
|
|
United States Treasury Notes^^
|
|
(AA+, Aaa)
|
|
07/15/15
|
|
0.250
|
|
102,075,684
|
|
|
95,000
|
|
United States Treasury Notes^^
|
|
(AA+, Aaa)
|
|
08/31/15
|
|
0.375
|
|
95,207,860
|
|
|
50,000
|
|
United States Treasury Notes
|
|
(AA+, Aaa)
|
|
09/30/15
|
|
1.250
|
|
50,817,400
|
|
|
82,800
|
|
United States Treasury Notes§
|
|
(AA+, Aaa)
|
|
01/15/17
|
|
0.750
|
|
82,971,396
|
|
|
TOTAL UNITED STATES TREASURY OBLIGATIONS
(Cost $783,116,605)
|
|
|
|
|
|
784,045,607
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
Shares
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS
(9.4%)
|
|
|
|
|
|
|
|
|
|
|
158,960,484
|
|
State Street Navigator Prime Portfolio, 0.05%§§
|
|
|
|
|
|
|
|
158,960,484
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
|
|
Maturity
|
|
Rate%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
329,510
|
|
State Street Bank and Trust Co. Euro Time Deposit^^
|
|
02/03/14
|
|
0.010
|
|
329,510,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $488,470,484)
|
|
|
|
|
|
488,470,484
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS AT VALUE
(97.8%) (Cost $5,123,416,803)
|
|
|
|
|
|
5,093,793,508
|
|
|
|
|
|
|
|
|
|
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES
(2.2%)
|
|
|
|
|
|
112,106,835
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS
(100.0%)
|
|
|
|
|
|
$
|
5,205,900,343
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
†
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 is the rate as of January 31, 2014.
^^
Security or portion thereof held in the subsidiary.
§
Security or portion thereof is out on loan.
§§
Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at January 31, 2014.
At January 31, 2014, Open Futures Contracts were as follows:
|
Contract Description
|
|
Currency
|
|
Expiration
Date
|
|
Notional
Value
|
|
Net Unrealized
Appreciation/
(Depreciation)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts to Purchase
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
USD
|
|
Apr 2014
|
|
$
|
73,134,680
|
|
$
|
4,708,121
|
|
|
|
|
USD
|
|
May 2014
|
|
12,129,830
|
|
490,294
|
|
|
|
|
USD
|
|
Dec 2014
|
|
107,724,160
|
|
(2,225,140
|
)
|
|
|
|
|
|
|
|
|
|
$
|
2,973,275
|
|
|
Contracts to Sell
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
USD
|
|
Mar 2014
|
|
(116,793,020
|
)
|
$
|
(3,929,966
|
)
|
|
|
|
USD
|
|
Mar 2014
|
|
(94,856,170
|
)
|
(12,162,654
|
)
|
|
|
|
|
|
|
|
|
|
$
|
(16,092,620
|
)
|
|
Net unrealized appreciation/(depreciation)
|
|
|
|
|
|
|
|
$
|
(13,119,345
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At January 31, 2014, Outstanding Swaps Contracts were as follows:
COMMODITY INDEX SWAP CONTRACTS
|
Currency
|
|
Notional
Amount
|
|
Expiration
Date
|
|
Counterparty
|
|
Receive
|
|
Pay
|
|
Net Unrealized
Appreciation/
(Depreciation)
|
|
|
USD
|
|
$
|
202,581,885
|
|
02/26/14
|
|
Bank of America
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
$
|
(2,334,260
|
)
|
|
USD
|
|
$
|
88,171,701
|
|
02/26/14
|
|
Bank of America
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(1,015,818
|
)
|
|
USD
|
|
$
|
341,926,343
|
|
02/26/14
|
|
Bank of America
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(1,007,082
|
)
|
|
USD
|
|
$
|
97,334,263
|
|
02/26/14
|
|
Bank of America
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(358,292
|
)
|
|
USD
|
|
$
|
48,950,923
|
|
02/26/14
|
|
Bank of America
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(167,212
|
)
|
|
USD
|
|
$
|
42,392,703
|
|
02/26/14
|
|
Barclays
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(488,542
|
)
|
|
USD
|
|
$
|
360,698,054
|
|
02/26/14
|
|
Barclays
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(1,062,370
|
)
|
|
USD
|
|
$
|
55,011,770
|
|
02/26/14
|
|
BNP Paribas
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(633,942
|
)
|
|
USD
|
|
$
|
51,606,864
|
|
02/26/14
|
|
BNP Paribas
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(152,037
|
)
|
|
USD
|
|
$
|
204,574,470
|
|
02/26/14
|
|
CIBC
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(2,357,555
|
)
|
|
USD
|
|
$
|
160,944,593
|
|
02/26/14
|
|
CIBC
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(474,033
|
)
|
|
USD
|
|
$
|
495,907,699
|
|
02/26/14
|
|
Citigroup
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(1,460,334
|
)
|
|
USD
|
|
$
|
175,689,515
|
|
02/26/14
|
|
Goldman Sachs
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(2,024,487
|
)
|
|
USD
|
|
$
|
154,623,666
|
|
02/26/14
|
|
Goldman Sachs
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(455,500
|
)
|
|
USD
|
|
$
|
24,469,077
|
|
02/26/14
|
|
JPMorgan Chase
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(281,973
|
)
|
|
USD
|
|
$
|
480,914,598
|
|
02/26/14
|
|
JPMorgan Chase
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(1,415,919
|
)
|
|
USD
|
|
$
|
20,034,079
|
|
02/26/14
|
|
Macquarie
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(230,855
|
)
|
|
USD
|
|
$
|
315,663,062
|
|
02/26/14
|
|
Macquarie
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(928,344
|
)
|
|
USD
|
|
$
|
50,000,000
|
|
02/26/14
|
|
Macquarie
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
0
|
|
|
USD
|
|
$
|
335,934,815
|
|
02/26/14
|
|
Morgan Stanley
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(3,871,377
|
)
|
|
USD
|
|
$
|
151,756,085
|
|
02/26/14
|
|
Morgan Stanley
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(446,970
|
)
|
|
USD
|
|
$
|
234,904,783
|
|
02/26/14
|
|
Societe Generale
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(2,706,959
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency
|
|
Notional
Amount
|
|
Expiration
Date
|
|
Counterparty
|
|
Receive
|
|
Pay
|
|
Net Unrealized
Appreciation/
(Depreciation)
|
|
|
USD
|
|
$
|
189,221,232
|
|
02/26/14
|
|
Societe Generale
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
$
|
(557,213
|
)
|
|
USD
|
|
$
|
250,590,053
|
|
02/26/14
|
|
UBS
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(2,887,848
|
)
|
|
USD
|
|
$
|
147,279,427
|
|
02/26/14
|
|
UBS
|
|
Commodity Index Return
1
|
|
Fee Plus Treasury Bill Rate
|
|
(433,704
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(27,752,626
|
)
|
1
The Commodity Index Return is comprised of futures contracts on physical commodities.
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. 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. Short-term fixed income securities that will mature in 60 days or less may be valued at amortized cost. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. The forward is valued at the net of the present value and the spot rate and are generally categorized as Level 2. 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 of Trustees 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 broker/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, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.
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 measurement date. These inputs are summarized in the three broad levels listed below:
|
|
·
|
Level 1 — quoted prices in active markets for identical investments
|
|
|
·
|
Level
2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
|
|
|
·
|
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
|
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of January 31, 2014 in valuing the Fund’s assets and liabilities carried at fair value:
|
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
|
Investments in Securities
|
|
|
|
|
|
|
|
|
|
|
Commodity Indexed Structured Notes
|
|
$
|
—
|
|
$
|
156,930,339
|
|
$
|
—
|
|
$
|
156,930,339
|
|
|
United States Agency Obligations
|
|
—
|
|
3,664,347,078
|
|
—
|
|
3,664,347,078
|
|
|
United States Treasury Obligations
|
|
—
|
|
784,045,607
|
|
—
|
|
784,045,607
|
|
|
Short-term Investments
|
|
—
|
|
488,470,484
|
|
—
|
|
488,470,484
|
|
|
Other Financial Instruments*
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
(13,119,345
|
)
|
—
|
|
—
|
|
(13,119,345
|
)
|
|
Swap Contracts
|
|
—
|
|
(27,752,626
|
)
|
—
|
|
(27,752,626
|
)
|
|
|
|
$
|
(13,119,345
|
)
|
$
|
5,066,040,882
|
|
$
|
—
|
|
$
|
5,052,921,537
|
|
*
Other financial instruments include unrealized appreciation/(depreciation) on futures and swap contracts.
The Fund follows Financial Accounting Standards Board (“FASB”) amendments to authoritative guidance which require the Fund to disclose details of transfers in and out of Level 1 and Level 2 measurements and Level 2 and Level 3 measurements and the reasons for the transfers. For the quarter ended January 31, 2014, there were no transfers in and out of Level 1, Level 2 and Level 3. All transfers are assumed to occur at the end of the reporting period.
Federal Income Tax Cost - At January 31, 2014, the cost of investments (excluding foreign currency related transactions) and net unrealized appreciation/(depreciation) for income tax purposes were as follows:
|
Cost of Investments
|
|
$
|
5,123,416,803
|
|
|
Unrealized appreciation
|
|
$
|
4,151,053
|
|
|
Unrealized depreciation
|
|
(33,774,348
|
)
|
|
Net unrealized appreciation/(depreciation)
|
|
$
|
(29,623,295
|
)
|
Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Fund’s website at www.credit-suisse.com/us/funds as well as on the website of the Securities and Exchange Commission at www.sec.gov.
Item 2:
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 and Exchange Act of 1934.
(b)
There were no changes in the 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 quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3:
Exhibits
1.
The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits 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 STRATEGY FUNDS
|
/s/John G. Popp
|
|
|
Name:
|
John G. Popp
|
|
|
Title:
|
Chief Executive Officer and President
|
|
|
Date:
|
March 18, 2014
|
|
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:
|
March 18, 2014
|
|
|
/s/Bruce S. Rosenberg
|
|
|
Name:
|
Bruce S. Rosenberg
|
|
|
Title:
|
Chief Financial Officer
|
|
|
Date:
|
March 18, 2014
|
|
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