Credit Suisse Index Fund (Lux) Audited Annual Report at

Transcription

1 Credit Suisse Index Fund (Lux) Investment Company with Variable Capital under Luxembourg law - R.C.S. Luxembourg B Audited Annual Report at

2 Table of Contents Page 2 Audit report 3 Management and Administration 5 Combined Report 6 Notes 8 Manager's Report 12 Report by Subfund Credit Suisse Index Fund (Lux) Aggregate Bonds 14 Credit Suisse Index Fund (Lux) Equities Canada 26 Credit Suisse Index Fund (Lux) Equities Emerging Markets 31 Credit Suisse Index Fund (Lux) Equities Emerging Markets Fundamental 41 Credit Suisse Index Fund (Lux) Equities Emerging Markets Minimum Volatility 48 Credit Suisse Index Fund (Lux) Equities Emerging Markets Sustainability Blue 54 Credit Suisse Index Fund (Lux) Equities EMU 61 Credit Suisse Index Fund (Lux) Equities Europe Small Caps 67 Credit Suisse Index Fund (Lux) Equities Japan 77 Credit Suisse Index Fund (Lux) Equities Pacific ex Japan 83 Credit Suisse Index Fund (Lux) Equities US Blue (formerly Credit Suisse Index Fund (Lux) Equities US) 88 Credit Suisse Index Fund (Lux) Equities World Factor Mix 96 Credit Suisse Index Fund (Lux) Equities World Fundamental 108 Credit Suisse Index Fund (Lux) Equities World Minimum Volatility 118 Credit Suisse Index Fund (Lux) Government Bonds Blue (formerly Credit Suisse Index Fund (Lux) Government Bonds ) 124 Unaudited information 130

3 Audit report Page 3 To the Shareholders of Credit Suisse Index Fund (Lux) Our opinion In our opinion, the accompanying financial statements give a true and fair view of the financial position of Credit Suisse Index Fund (Lux) and of each of its Subfunds (the Fund ) as at , and of the results of their operations and changes in their net for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements. What we have audited The Fund s financial statements comprise: the statement of net as at ; the statement of investments in securities as at ; the statement of operations and changes in net for the year then ended; and the notes to the financial statements, which include a summary of significant accounting policies. Basis for opinion We conducted our audit in accordance with the Law of 23 July 2016 on the audit profession (Law of 23 July 2016) and with International Standards on Auditing (ISAs) as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier (CSSF). Our responsibilities under those Law and standards are further described in the Responsibilities of the Réviseur d entreprises agréé for the audit of the financial statements section of our report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. We are independent of the Fund in accordance with the International Ethics Standards Board for Accountants Code of Ethics for Professional Accountants (IESBA Code) as adopted for Luxembourg by the CSSF together with the ethical requirements that are relevant to our audit of the financial statements. We have fulfilled our other ethical responsibilities under those ethical requirements. Other information The Board of Directors of the Fund is responsible for the other information. The other information comprises the information included in the annual report but does not include the financial statements and our audit report thereon. In connection with our audit of the financial statements, our responsibility is to read the other information identified above and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard. Responsibilities of the Board of Directors of the Fund The Board of Directors of the Fund is responsible for the preparation and fair presentation of the financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements, and for such internal control as the Board of Directors of the Fund determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. In preparing the financial statements, the Board of Directors of the Fund is responsible for assessing the Fund s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Board of Directors of the Fund either intends to liquidate the Fund or to cease operations, or has no realistic alternative but to do so. Responsibilities of the Réviseur d entreprises agréé for the audit of the financial statements The objectives of our audit are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an audit report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. As part of an audit in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF, we exercise professional judgment and maintain professional scepticism throughout the audit. Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon. PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg T: , F: , Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n ) R.C.S. Luxembourg B TVA LU

4 Credit Suisse index Fund (Lux) 0 Audited Annual Report as at Audit report Page 4 pwc We also: - identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perfonn audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of intemal control; 0 obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control; - evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Board of Directors of the Fund; 0 conclude on the appropriateness of the Board of Directors of the Fund's use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Fund's ability to continue as a going concern. if we conclude that a material uncertainty exists, we are required to draw attention in our audit report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our audit report. However, future events or conditions may cause the Fund to cease to continue as a going concern; We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify duringiour audit. PricewaterhouseCoopers, Société cooperative ' Represented by Sandra Paulis Luxembourg, March 28, 2018 The English version of the Annual Report has been reviewed by the auditor. Consequently, the audit report only refers to the English version of the report: other versions result from a translation made under the responsibility of the Board of Directors of the Fund. \ t 0 evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

5 Management and Administration Page 5 The Company Credit Suisse Index Fund (Lux) 5, rue Jean Monnet, L-2180 Luxembourg R.C.S. Luxembourg B Board of Directors of the Company Dominique Délèze Director, Credit Suisse Asset Management (Switzerland) Ltd., Zurich Josef H.M. Hehenkamp Director, Credit Suisse Asset Management (Switzerland) Ltd., Zurich Rudolf Kömen Director, Credit Suisse Fund Management S.A, Luxembourg Guy Reiter Director, Credit Suisse Fund Management S.A., Luxembourg Fernand Schaus Director, Credit Suisse Fund Management S.A., Luxembourg Auditor of the Company PricewaterhouseCoopers, Société coopérative 2, rue Gerhard Mercator, B.P L-1014 Luxembourg Management Company Credit Suisse Fund Management S.A. 5, rue Jean Monnet, L-2180 Luxembourg R.C.S. Luxembourg B Board of Directors of the Management Company Luca Diener (until ) Managing Director, Credit Suisse AG, Zurich Gebhard Giselbrecht (since ) Managing Director, Credit Suisse Asset Management (Switzerland) Ltd., Zurich Paying Agent in Switzerland Credit Suisse AG Paradeplatz, 8, CH-8001 Zurich Information Agent in Germany Credit Suisse (Deutschland) AG Taunustor 1, D Frankfurt am Main Investment Manager Credit Suisse AG (until ) Paradeplatz 8, CH-8001 Zurich Credit Suisse Asset Management (Switzerland) Ltd. (from ) Kalandergasse 4, CH-8045 Zurich Central Administration Credit Suisse Fund Services (Luxembourg) S.A. 5, rue Jean Monnet, L-2180 Luxembourg Distribution Agents Credit Suisse Fund Management S.A. 5, rue Jean Monnet, L-2180 Luxembourg Distribution of shares in Germany No notification pursuant to Sect. 310 of the German Capital Investment Act (Kapitalanlagegesetzbuch) has been filed with respect to the following Subfunds and the shares in such Subfunds may therefore not be distributed to investors in the Federal Republic of Germany: Credit Suisse Index Fund (Lux) Corporate Bonds Credit Suisse Index Fund (Lux) Global High Yield Corporate Bonds Credit Suisse Index Fund (Lux) Government Bonds World ex Rudolf Kömen Director, Credit Suisse Fund Management S.A., Luxembourg Thomas Nummer Independent Director, Luxembourg Guy Reiter (until ) Director, Credit Suisse Fund Management S.A., Luxembourg Daniel Siepmann Managing Director, Credit Suisse Fund Services (Luxembourg) S.A., Luxembourg Auditor of the Management Company KPMG Luxembourg, Société coopérative 39 avenue John F. Kennedy, L-1855 Luxembourg Custodian Bank Credit Suisse (Luxembourg) S.A. 5, rue Jean Monnet, L-2180 Luxembourg Representative in Switzerland Credit Suisse Funds AG Uetlibergstrasse 231, Postfach, CH-8070 Zurich No subscription may be accepted on the basis of the financial reports. Subscriptions are accepted only on the basis of the current prospectus accompanied by the Key Investor Information Documents, the latest annual report and the latest semi-annual report. The issue and redemption prices will be published in Luxembourg at the registered office of the Company. The net asset value will also be published daily on the Internet at and may be published in different newspapers. Shareholders may obtain the prospectus, the Key Investor Information Documents, the latest annual and semi-annual reports, the changes in the composition of the securities portfolio during the reporting period and copies of the Articles of Association free of charge from the registered office of the Company or the local representatives in the countries where the Company is registered.

6 Combined Report Page 6 Statement of Net Assets in Assets Investments in securities at market value 4,493,692, Cash at banks and at brokers 41,061, Income receivable 19,204, Net unrealised gain on financial futures contracts 516, Other 31, ,554,505, Liabilities Due to banks and to brokers 8,871, Provisions for accrued expenses 1,722, Net unrealised loss on financial futures contracts 293, Net unrealised loss on forward foreign exchange contracts 1, Other liabilities 7, ,896, Net 4,543,609,661.18

7 Combined Report Page 7 Statement of Operations Changes in Net Assets in For the period from to Net at the beginning of the year 2,759,385, Income Interest on investments in securities (net) 31,962, Dividends (net) 63,346, Bank interest 68, Securities lending income 1,257, Other income 11, ,647, Expenses Management & all-in management service fee 2,206, Interest and bank charges 100, ,307, Net income (loss) 94,340, Realised gain (loss) Net realised gain (loss) on sales of investments 69,375, Net realised gain (loss) on financial futures contracts 3,493, Net realised gain (loss) on forward foreign exchange contracts -30, Net realised gain (loss) on foreign exchange -637, ,201, Net realised gain (loss) 166,541, Change in net unrealised appreciation (depreciation) Change in net unrealised appreciation (depreciation) on investments 262,542, Change in net unrealised appreciation (depreciation) on financial futures contracts 173, Change in net unrealised appreciation (depreciation) on forward foreign exchange contracts 19, ,734, Net increase (decrease) in net as a result of operations 429,276, Subscriptions Redemptions Subscriptions 2,224,782, Redemptions -739,694, ,485,087, Distribution -2,519, Currency translation adjustment -127,620, Net at the end of the year 4,543,609,661.18

8 Notes Page 8 General Credit Suisse Index Fund (Lux) ( the Company ) is a Luxembourg investment company with variable capital (SICAV) and has been established on The Company has an umbrella structure and has been launched in Luxembourg as an undertaking for collective investment under Part I of the law of , as amended. As of , the Company had 15 Subfunds. Changes: As at Credit Suisse Index Fund (Lux) Equities North America was renamed into Credit Suisse Index Fund (Lux) Equities US. Credit Suisse Index Fund (Lux) Equities World Factor Mix was launched on Credit Suisse Index Fund (Lux) Equities Emerging Markets Sustainability was launched on As at Credit Suisse Index (Lux) Equities Emerging Markets Sustainability was renamed into Credit Suisse Index (Lux) Equities Emerging Markets Sustainability Blue; Credit Suisse Index Fund (Lux) Equities US was renamed into Credit Suisse Index Fund (Lux) Equities US Blue; Credit Suisse Index Fund (Lux) Government Bonds was renamed into Credit Suisse Index Fund (Lux) Government Bonds Blue. Summary of significant accounting policies The financial statements are prepared in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statement undertakings for collective investments. a) Computation of the net asset value of each Subfund The net asset value of each Subfund is determined each day on the basis of incomeexpenses accrued up to the same day, transactions in the investment portfolio accruing up to and including the preceding day and the valuation of net on the basis of the last known stock exchange prices and foreign exchange rates. The financial statements reflect the net asset values as calculated on based on the market prices of the investments as of b) of investment securities of each Subfund Securities which are listed on a stock exchange or which are regularly traded on such shall be valued at the last available purchase price. If such a price is not available for a particular trading day, but a closing mid-price (the mean of the closing bid and ask prices) or a closing bid price is available, the closing midprice, or alternatively the closing bid price, may be taken as a basis for the valuation. If a security is traded on several stock exchanges, the valuation shall be made by reference to the exchange on which it is chiefly traded. In the case of securities for which trading on a stock exchange is not significant but which are traded on a secondary market with regulated trading among securities dealers (with the effect that the price reflects market conditions), the valuation may be based on this secondary market. Securities traded on a regulated market shall be valued in the same way as those listed on a stock exchange. Securities that are not listed on a stock exchange and are not traded on a regulated market shall be valued at their last available market price. If no such price is available, the Company shall value these securities in accordance with other criteria to be established by the Board of Directors and on the basis of the probable sales price, the value of which shall be estimated with due care and in good faith. Derivatives shall be treated in accordance with the above. OTC swap transactions will be valued on a consistent basis based on bid, offer or mid prices as determined in good faith pursuant to procedures established by the Board of Directors. When deciding whether to use the bid, offer or mid prices the Board of Directors will take into consideration the anticipated subscription or redemption flows, among other parameters. If, in the opinion of the Board of Directors, such values do not reflect the fair market value of the relevant OTC swap transactions, the value of such OTC swap transactions will be determined in good faith by the Board of Directors or by such other method as it deems in its discretion appropriate. The valuation price of a money market instrument which has a maturity or remaining term to maturity of less than 12 months and does not have any specific sensitivity to market parameters, including credit risk, shall, based on the net acquisition price or on the price at the time when the investment s remaining term to maturity falls below 12 months, be progressively adjusted to the repayment price while keeping the resulting investment return constant. In the event of a significant change in market conditions, the basis for the valuation of different investments shall be brought into line with the new market yields. Units or shares of UCITS or other UCIs shall be valued on the basis of their most recently calculated net asset value, where necessary by taking due account of the redemption fee. Where no net asset value and only buy and sell prices are available for units or shares of UCITS or other UCIs, the units or shares of such UCITS or other UCIs may be valued at the mean of such buy and sell prices. Fiduciary and fixed-term deposits shall be valued at their respective nominal value plus accrued interest. c) Net realised gainloss on sales of investments of each Subfund The realised gains or losses on the sales of securities are determined on basis of the average acquisition cost. d) Foreign exchange conversion The financial statements are kept in reference currency of each Subfund and the combined financial statements are kept in. Cash at banks, other net and the value of portfolio securities in currencies other than the reference currency of each Subfund are converted into the reference currency at the foreign exchange rate prevailing on the date of valuation. Income and expenses in currencies other than the reference currency of each Subfund are converted into the reference currency at the foreign exchange rate applicable at the date they accrue to the Subfund. Realised gains or losses on foreign currencies are accounted for in the statement of operations. The acquisition cost of securities in currencies other than the reference currency of each Subfund is converted into the reference currency at the foreign exchange rate valid at the date of acquisition. e) Transactions on investments in securities of each Subfund The transactions on investments in securities are booked on a trade date basis. f) Accrual expenses Expenses which can be allocated directly to a Subfund are charged to this Subfund. Expenses which cannot be allocated directly are divided among the Subfunds in proportion to the net of each Subfund. g) Income recognition Dividends are recorded on ex-dividend date, net of withholding tax. Interests are accrued on a daily basis. h) of financial futures contracts of each Subfund Unmatured financial future contracts are valued at valuation date at market prices prevailing at this date and resulting unrealised gains or losses are posted to the statement of operations and are shown under Net unrealised gainloss on financial future contracts in the statement of net. Realised gains or losses are also posted to the statement of operations under Net realised gain (loss) on financial futures contracts. i) of forward foreign exchange contracts of each Subfund Unmatured forward foreign exchange contracts are valued at valuation date at forward exchange rates prevailing at this date and resulting unrealised gains or losses are posted to the statement of operations and are shown under Net realised gain (loss) on forward foreign exchange contracts in the statement of net. Realised gains or losses are also posted to the statement of operations under Net realised gain (loss) on forward foreign exchange contracts. j) Securities Lending The Company can practise lending of securities included in its portfolios of its Subfunds. The Company may only lend securities within a standardized system of securities lending organised by a recognised institution of securities compensation or by first class financial institutions specialised in this type of operations. The income from securities lending is showing the gross income from securities lending less the direct and indirect costs and fees retained by the counterparty acting as securities lending principal.

9 Notes Page 9 Management fee All-in management service fee (see detail at Subfund level) As remuneration for its services and reimbursement of its expenses, the Management Company is entitled to a monthly management fee, payable at the beginning of each next following month and calculated on basis of the average of the daily Net Asset Value of each Subfund during the relevant month. No management fee is currently paid with respect to DB and DA share classes. However, these share classes are subject, as all other share classes, to an all-in management service fee covering all fees and expenses, with the exception of the investment advisory and distribution fee which will be charged directly to the investor. "Taxe d'abonnement" Under the prevailing laws and regulations, the Company is subject in Luxembourg to a "Taxe d'abonnement" at the annual rate of 0.05%, payable quarterly and calculated on the basis of the net of each Subfund at the end of each quarter. A reduced tax rate of 0.01% p.a. of the net will apply to share classes of the respective Subfund which are only sold to and held by institutional investors. The reduced tax rate of 0.01% will apply to share classes QB and QBH of the respective Subfund where: - securities are listed or traded on at least one stock exchange or another regulated market operating regularly, recognised and open to the public; - whose exclusive object is to replicate the performance of one or more indices as required by Article 175 e) of the amended Law of The Taxe d abonnement is included in the Statement of Operations Changes in Net Assets under Management & all-in management service fee. Transaction costs Transactions costs include brokerage fees, stamp duty, local taxes and other foreign charges if incurred during the period. Transaction fees are included in the cost of securities purchased and sold. For the year ended on , the Company incurred transaction costs relating to purchase or sale of investments in securities and similar transactions, (including derivatives instruments or other eligible ) as follows: Credit Suisse Index Fund (Lux) Aggregate Bonds 0.00 Credit Suisse Index Fund (Lux) Equities Canada CAD 17, Credit Suisse Index Fund (Lux) Equities Emerging Markets 412, Credit Suisse Index Fund (Lux) Equities Emerging Markets Fundamental 141, Credit Suisse Index Fund (Lux) Equities Emerging Markets Minimum Volatility 508, Credit Suisse Index Fund (Lux) Equities Emerging Markets Sustainability Blue 539, Credit Suisse Index Fund (Lux) Equities EMU 1,447, Credit Suisse Index Fund (Lux) Equities Europe Small Caps Credit Suisse Index Fund (Lux) Equities Japan JPY 911, Credit Suisse Index Fund (Lux) Equities Pacific ex Japan 5, Credit Suisse Index Fund (Lux) Equities US Blue (formerly Credit Suisse Index Fund (Lux) Equities US) 28, Credit Suisse Index Fund (Lux) Equities World Factor Mix 21, Credit Suisse Index Fund (Lux) Equities World Fundamental 57, Credit Suisse Index Fund (Lux) Equities World Minimum Volatility 21, Credit Suisse Index Fund (Lux) Government Bonds Blue (formerly Credit Suisse Index Fund (Lux) Government Bonds ) 0.00 Total Expense Ratio (TER) (see detail at Subfund level) The TER expresses the sum of all costs and commissions charged on an ongoing basis to the respective Subfund, taken retrospectively as a percentage of these. The TER is calculated following the SFAMA guideline. For shares launched less than 6 months ago no TER is disclosed. Changes in the composition of the securities portfolio Changes in the composition of the securities portfolio during the reporting period are available to shareholders free of charge at the registered office of the Company or the local representatives in the countries where the SICAV is registered. Exchange Rates The combined financial statements are kept in. For this purpose, the financial statements of the Subfunds are converted into at the following foreign exchange rates: - 1 = CAD = JPY = Fund performance (see detail at Subfund level) The performance of the period Y is based on the Net Asset Values as calculated on the last business day of the period Y respectively Y-1. Those Net Asset Values reflect the market prices of the investments as of the last business day of the period Y-1 respectively Y. The YTD (year-to-date) performance includes the period from until Historical performance is no indicator of current or future performance. The performance data given does not take into account commissions and costs incurred in the purchase or redemption of the Company s shares. For shares launched more than 3 years ago no performance since inception is disclosed. Risk management The global exposure of the Subfunds will be calculated on the basis of the commitment approach. Not all transaction costs are separately identifiable. For fixed income investments, forward currency contracts and for some other derivative contracts, transaction costs will be included in the purchase and sales price of the investment. Whilst not separately identifiable these transaction costs will be captured within the performance of each Subfund.

10 Notes Page 10 Securities lending As per the Subfunds participated in the securities lending system with Credit Suisse (Switzerland) Ltd., Zurich as follows: Subfund Ccy Stock lending market value Collateral market value Credit Suisse Index Fund (Lux) Aggregate Bonds 30,639,208 32,194,329 Credit Suisse Index Fund (Lux) Equities Canada CAD 7,946,575 8,349,911 Credit Suisse Index Fund (Lux) Equities Emerging Markets 17,725,489 18,625,163 Credit Suisse Index Fund (Lux) Equities Emerging Markets Fundamental 946, ,181 Credit Suisse Index Fund (Lux) Equities Emerging Markets Minimum Volatility 1,934,422 2,032,605 Credit Suisse Index Fund (Lux) Equities EMU 13,929,374 14,636,372 Credit Suisse Index Fund (Lux) Equities Europe Small Caps 10,440,431 10,970,345 Credit Suisse Index Fund (Lux) Equities Japan JPY 1,934,469,060 2,032,654,835 Credit Suisse Index Fund (Lux) Equities Pacific ex Japan 153, ,554 Credit Suisse Index Fund (Lux) Equities World Factor Mix 19,637 20,634 Credit Suisse Index Fund (Lux) Equities World Fundamental 376, ,478 Credit Suisse Index Fund (Lux) Equities World Minimum Volatility 432, ,865 The collateral delivered by the securities lending counterparty to the Company is composed of a well diversified portfolio of securities consisting of - highly rated bonds issued or guaranteed by governments, government agencies, bodies regulated by public law or corporations (excluding Credit Suisse affiliates) from selected OECD countries. - highly rated bonds from supranational organisations. - equities listed on selected stock exchanges within the OECD on the condition that the shares are included in a main and liquid index. The determination of the market value of the collateral is subject to the application of appropriate haircuts adapted to the volatility of the collateral type. The revenues mentioned in the Statement of Operations Changes in Net Assets under Security Lending Income are the net amounts received from the lending principal. Any direct and indirect operational costs and fees are borne by the principal out of its fee and include the liability risk assumed by the principal. For the year ended on , the fee paid to the principal amounted to as follows: Subfund Ccy Gross amount securities lending Income Expenses and commission from the securities lending counterparty Net amount Credit Suisse Index Fund (Lux) Aggregate Bonds 150, , , Credit Suisse Index Fund (Lux) Equities Canada CAD 351, , , Credit Suisse Index Fund (Lux) Equities Emerging Markets 181, , , Credit Suisse Index Fund (Lux) Equities Emerging Markets Fundamental 22, , , Credit Suisse Index Fund (Lux) Equities Emerging Markets Minimum Volatility 174, , , Credit Suisse Index Fund (Lux) Equities EMU 831, , , Credit Suisse Index Fund (Lux) Equities Europe Small Caps 459, , , Credit Suisse Index Fund (Lux) Equities Japan JPY 8,304, ,321, ,982, Credit Suisse Index Fund (Lux) Equities Pacific ex Japan 3, , , Credit Suisse Index Fund (Lux) Equities US Blue (formerly Credit Suisse Index Fund (Lux) Equities US) Credit Suisse Index Fund (Lux) Equities World Factor Mix Credit Suisse Index Fund (Lux) Equities World Fundamental 41, , , Credit Suisse Index Fund (Lux) Equities World Minimum Volatility 8, , , Financial Derivative Instruments The Subfunds may engage in derivative transactions for the purpose of efficient portfolio management. Details of the derivatives are displayed in the Notes pages. Depending on the type of derivatives held, collateral might be received from the different counterparts to reduce the counterparty exposure. For other type of derivatives, margin accounts might be used. No collateral was received by the Company to reduce the counterparty risk as of

11 Notes Page 11 Cross Subfund investments The following investments were not eliminated from the combined figures. At , the total combined NAV of the Company excluding these investments amounted to 4,538,319, The following investments were not eliminated from the combined figures: Credit Suisse Index Fund (Lux) Equities Emerging Markets investing into Credit Suisse Index Fund (Lux) Equities Emerging Markets Sustainability Blue -DB- (in ) 6,352, Tracking error versus index Under normal market conditions, it is expected that the anticipated level of tracking error is less than: Credit Suisse Index Fund (Lux) Aggregate Bonds 0.20% Credit Suisse Index Fund (Lux) Equities Canada 0.10% Credit Suisse Index Fund (Lux) Equities Emerging Markets 0.50% Credit Suisse Index Fund (Lux) Equities Emerging Markets Fundamental 0.50% Credit Suisse Index Fund (Lux) Equities Emerging Markets Minimum Volatility 0.50% Credit Suisse Index Fund (Lux) Equities Emerging Markets Sustainability Blue 0.50% Credit Suisse Index Fund (Lux) Equities EMU 0.10% Credit Suisse Index Fund (Lux) Equities Europe Small Caps 0.20% Credit Suisse Index Fund (Lux) Equities Japan 0.20% Credit Suisse Index Fund (Lux) Equities Pacific ex Japan 0.20% Credit Suisse Index Fund (Lux) Equities US Blue (formerly Credit Suisse Index Fund (Lux) Equities US) 0.10% Credit Suisse Index Fund (Lux) Equities World Factor Mix 0.20% Credit Suisse Index Fund (Lux) Equities World Fundamental 0.20% Credit Suisse Index Fund (Lux) Equities World Minimum Volatility 0.20% Credit Suisse Index Fund (Lux) Government Bonds Blue (formerly Credit Suisse Index Fund (Lux) Government Bonds ) 0.15% Subsequent events Credit Suisse Index Fund (Lux) Corporate Bonds was launched on

12 Manager's Report Page 12 Credit Suisse Index Fund (Lux) Aggregate Bonds Over the period, the Subfund with reinvested gross coupons () returned 0.62%. The Bloomberg Barclays Euro-Aggregate Bond Index returned 0.68% between the beginning and the end of the reporting period. The relative performance of the Subfund against its benchmark was -0.06%. As at , there were 1,063 constituents in the Subfund vs. 4,571 in the index and the Subfund showed an expected tracking error of 0.04% p.a. At the end of the business year, the Subfund s net totaled approximately million. The in the Credit Suisse Index Fund (Lux) Aggregate Bonds are managed on an indexed basis in accordance with the optimized sampling method, which means that not all index constituents are bought but only a representative subset. The primary drivers of tracking difference are the difference between fund holdings and index constituents, the Subfund s total expense ratio (TER), transaction and rebalancing costs, securities lending income and dividend taxation. Credit Suisse Index Fund (Lux) Equities Canada Over the period since inception, the Subfund with reinvested net dividends (CAD) returned 8.58%. The MSCI Canada Index returned 8.45% between the beginning and the end of the reporting period. The relative performance of the Subfund against its benchmark was +0.13%. As at , there were 93 constituents in the Subfund vs. 92 in the index and the Subfund showed an expected tracking error of 0.02% p.a. At the end of the business year, the Subfund s net totaled approximately CAD million. The in the Credit Suisse Index Fund (Lux) Equities Canada are managed on an indexed basis in accordance with the full replication method; all index changes were therefore replicated in the Subfund portfolio. The primary drivers of tracking difference are the Subfund s total expense ratio (TER), transaction and rebalancing costs, securities lending income and dividend taxation. Credit Suisse Index Fund (Lux) Equities Emerging Markets Over the period, the Subfund with reinvested net dividends () returned 37.03%. The MSCI Emerging Markets Index, which comprises 24 emerging market countries, returned 37.28% between the beginning and the end of the reporting period. The relative performance of the Subfund against its benchmark was -0.25%. As at , there were 856 constituents in the Subfund vs. 856 in the index and the Subfund showed an expected tracking error of 0.09% p.a. At the end of the business year, the Subfund s net totaled approximately million. The in the Credit Suisse Index Fund (Lux) Equities Emerging Markets are managed on an indexed basis in accordance with the optimized sampling method, which means that not all index constituents are bought but only a representative subset. The primary drivers of tracking difference are the difference between fund holdings and index constituents, the Subfund s total expense ratio (TER), transaction and rebalancing costs, securities lending income and dividend taxation. Credit Suisse Index Fund (Lux) Equities Emerging Markets Fundamental Over the period, the Subfund with reinvested net dividends () returned 25.62%. The FTSE RAFI Emerging Markets Index, which comprises 13 emerging market countries, returned 26.33% between the beginning and the end of the reporting period. The relative performance of the Subfund against its benchmark was -0.71%. As at , there were 351 constituents in the Subfund vs. 360 in the index and the Subfund showed an expected tracking error of 0.08% p.a. At the end of the business year, the Subfund s net totaled approximately million. The in the Credit Suisse Index Fund (Lux) Equities Emerging Markets Fundamental are managed on an indexed basis in accordance with the optimized sampling method, which means that not all index constituents are bought but only a representative subset. The primary drivers of tracking difference are the difference between fund holdings and index constituents, the Subfund s total expense ratio (TER), transaction and rebalancing costs, securities lending income and dividend taxation. Credit Suisse Index Fund (Lux) Equities Emerging Markets Minimum Volatility Over the period, the Subfund with reinvested net dividends () returned 26.95%. The MSCI Emerging Markets Minimum Volatility Index, which comprises 24 emerging market countries, returned 26.73% between the beginning and the end of the reporting period. The relative performance of the Subfund against its benchmark was +0.22%. As at , there were 268 constituents in the Subfund vs. 266 in the index and the Subfund showed an expected tracking error of 0.10% p.a. At the end of the business year, the Subfund s net totaled approximately million. The in the Credit Suisse Index Fund (Lux) Equities Emerging Markets Minimum Volatility are managed on an indexed basis in accordance with the optimized sampling method, which means that not all index constituents are bought but only a representative subset. The primary drivers of tracking difference are the difference between fund holdings and index constituents, the Subfund s total expense ratio (TER), transaction and rebalancing costs, securities lending income and dividend taxation. Credit Suisse Index Fund (Lux) Equities Emerging Markets Sustainability Blue Over the period since , the Subfund with reinvested net dividends () returned 18.79%. The MSCI Emerging Markets ESG Leaders Index, which comprises 24 emerging market countries, returned 19.31% between the beginning and the end of the reporting period. The relative performance of the Subfund against its benchmark was -0.52%. As at , there were 409 constituents in the Subfund vs. 408 in the index and the Subfund showed an expected tracking error of 0.05% p.a. At the end of the business year, the Subfund s net totaled approximately million. The in the Credit Suisse Index Fund (Lux) Equities Emerging Markets Sustainability Blue are managed on an indexed basis in accordance with the optimized sampling method, which means that not all index constituents are bought but only a representative subset. The primary drivers of tracking difference are the difference between fund holdings and index constituents, the Subfund s total expense ratio (TER), transaction and rebalancing costs, securities lending income and dividend taxation. Credit Suisse Index Fund (Lux) Equities EMU Over the period, the Subfund with reinvested net dividends () returned 12.90%. The MSCI EMU Index, which comprises 10 European developed market countries, returned 12.49% between the beginning and the end of the reporting period. The relative performance of the Subfund against its benchmark was +0.41%. As at , there were 249 constituents in the Subfund vs. 249 in the index and the Subfund showed an expected tracking error of 0.03% p.a. At the end of the business year, the Subfund s net totaled approximately 1, million. The in the Credit Suisse Index Fund (Lux) Equities EMU are managed on an indexed basis in accordance with the full replication method; all index changes were therefore replicated in the Subfund portfolio. The primary drivers of tracking difference are the Subfund s total expense ratio (TER), transaction and rebalancing costs, securities lending income and dividend taxation. Credit Suisse Index Fund (Lux) Equities Europe Small Caps Over the period, the Subfund with reinvested net dividends () returned 18.99%. The MSCI Europe Small Cap Index, which comprises 15 European developed market countries, returned 19.03% between the beginning and the end of the reporting period. The relative performance of the Subfund against its benchmark was -0.04%. As at , there were 930 constituents in the Subfund vs. 1,005 in the index and the Subfund showed an expected tracking error of 0.06% p.a. At the end of the business year, the Subfund s net totaled approximately million. The in the Credit Suisse Index Fund (Lux) Equities Europe Small Caps are managed on an indexed basis in accordance with the optimized sampling method, which means that not all index constituents are bought but only a representative subset. The primary drivers of tracking difference are the difference between fund holdings and index constituents, the Subfund s total expense ratio (TER), transaction and rebalancing costs, securities lending income and dividend taxation.

13 Manager's Report Page 13 Credit Suisse Index Fund (Lux) Equities Japan Over the period, the Subfund with reinvested net dividends () returned 8.92%. The MSCI Japan Index returned 8.89% between the beginning and the end of the reporting period. The relative performance of the Subfund against its benchmark was +0.03%. As at , there were 321 constituents in the Subfund vs. 321 in the index and the Subfund showed an expected tracking error of 0.02% p.a. At the end of the business year, the Subfund s net totaled approximately JPY 19, million. The in the Credit Suisse Index Fund (Lux) Equities Japan are managed on an indexed basis in accordance with the full replication method; all index changes were therefore replicated in the Subfund portfolio. The primary drivers of tracking difference are the Subfund s total expense ratio (TER), transaction and rebalancing costs, securities lending income and dividend taxation. Credit Suisse Index Fund (Lux) Equities Pacific ex Japan Over the period, the Subfund with reinvested net dividends () returned 25.83%. The MSCI Pacific ex Japan Index, which comprises four developed market countries in Asia Pacific, returned 25.88% between the beginning and the end of the reporting period. The relative performance of the Subfund against its benchmark was -0.05%. As at , there were 150 constituents in the Subfund vs. 150 in the index and the Subfund showed an expected tracking error of 0.08% p.a. At the end of the business year, the Subfund s net totaled approximately million. The in the Credit Suisse Index Fund (Lux) Equities Pacific ex Japan are managed on an indexed basis in accordance with the full replication method; all index changes were therefore replicated in the Subfund portfolio. The primary drivers of tracking difference are the Subfund s total expense ratio (TER), transaction and rebalancing costs, securities lending income and dividend taxation. Credit Suisse Index Fund (Lux) Equities US Blue (formerly Credit Suisse Index Fund (Lux) Equities US) Over the period, the Subfund with reinvested net dividends () returned 20.90%. The MSCI USA Index returned 20.93% between the beginning and the end of the reporting period. The relative performance of the Subfund against its benchmark was -0.03%. As at , there were 634 constituents in the Subfund vs. 633 in the index and the Subfund showed an expected tracking error of 0.02% p.a. At the end of the business year, the Subfund s net totaled approximately million. The in the Credit Suisse Index Fund (Lux) Equities US Blue (formerly Credit Suisse Index Fund (Lux) Equities US) are managed on an indexed basis in accordance with the full replication method; all index changes were therefore replicated in the Subfund portfolio. The primary drivers of tracking difference are the Subfund s total expense ratio (TER), transaction and rebalancing costs, securities lending income and dividend taxation. Credit Suisse Index Fund (Lux) Equities World Factor Mix Over the period since , the Subfund with reinvested net dividends (CHF) returned 10.81%. The MSCI World Factor Mix A-Series Index, which comprises 23 developed market countries, returned 10.84% between the beginning and the end of the reporting period. The relative performance of the Subfund against its benchmark was -0.03%. As at , there were 1,336 constituents in the Subfund vs. 1,653 in the index and the Subfund showed an expected tracking error of 0.06% p.a. At the end of the business year, the Subfund s net totaled approximately million. The in the Credit Suisse Index Fund (Lux) Equities World Factor Mix are managed on an indexed basis in accordance with the optimized sampling method, which means that not all index constituents are bought but only a representative subset. The primary drivers of tracking difference are the difference between fund holdings and index constituents, the Subfund s total expense ratio (TER), transaction and rebalancing costs, securities lending income and dividend taxation. Credit Suisse Index Fund (Lux) Equities World Fundamental Over the period, the Subfund with reinvested net dividends () returned 20.73%. The FTSE RAFI Developed 1000 Index, which comprises 24 developed market countries, returned 20.68% between the beginning and the end of the reporting period. The relative performance of the Subfund against its benchmark was +0.05%. As at , there were 1,022 constituents in the Subfund vs. 1,021 in the index and the Subfund showed an expected tracking error of 0.04% p.a. At the end of the business year, the Subfund s net totaled approximately million. The in the Credit Suisse Index Fund (Lux) Equities World Fundamental are managed on an indexed basis in accordance with the full replication method; all index changes were therefore replicated in the Subfund portfolio. The primary drivers of tracking difference are the Subfund s total expense ratio (TER), transaction and rebalancing costs, securities lending income and dividend taxation. Credit Suisse Index Fund (Lux) Equities World Minimum Volatility Over the period, the Subfund with reinvested net dividends (CHF) returned 12.40%. The MSCI World Minimum Volatility Index, which comprises 23 developed market countries, returned 12.49% between the beginning and the end of the reporting period. The relative performance of the Subfund against its benchmark was -0.09%. As at , there were 332 constituents in the Subfund vs. 332 in the index and the Subfund showed an expected tracking error of 0.10% p.a. At the end of the business year, the Subfund s net totaled approximately 48.37million. The in the Credit Suisse Index Fund (Lux) Equities World Minimum Volatility are managed on an indexed basis in accordance with the full replication method; all index changes were therefore replicated in the Subfund portfolio. The primary drivers of tracking difference are the Subfund s total expense ratio (TER), transaction and rebalancing costs, securities lending income and dividend taxation. Credit Suisse Index Fund (Lux) Government Bonds Blue (formerly Credit Suisse Index Fund (Lux) Government Bonds ) Over the period, the Subfund with reinvested gross coupons () returned 0.12%. The Citigroup EMU Government Bond Index, which comprises 9 European developed market countries, returned 0.15% between the beginning and the end of the reporting period. The relative performance of the Subfund against its benchmark was -0.03%. As at , there were 294 constituents in the Subfund vs. 298 in the index and the Subfund showed an expected tracking error of 0.07% p.a. At the end of the business year, the Subfund s net totaled approximately million. The in the Credit Suisse Index Fund (Lux) Government Bonds Blue (formerly Credit Suisse Index Fund (Lux) Government Bonds ) are managed on an indexed basis in accordance with the optimized sampling method, which means that not all index constituents are bought but only a representative subset. The primary drivers of tracking difference are the difference between fund holdings and index constituents, the Subfund s total expense ratio (TER), transaction and rebalancing costs, securities lending income and dividend taxation. The information stated relates to the period under review and is not indicative of future returns.

14 Credit Suisse Index Fund (Lux) Aggregate Bonds Page 14 Technical Data and Notes Technical Data Valoren ISIN Management Fee Total Expense Ratio LU % 0.02% LU % 0.23% LU % 0.17% CHF LU % 0.02% All share classes are subject to an all-in management service fee covering all fees and expenses, with the exception of the investment advisory and distribution fee which will be charged directly to the investor. As at share classes EB were renamed into QB. As at for share classes -FB-, the management fee decreased from % to % and the management service fee increased from % to %. Fund Performance YTD Since Inception 0.62% -1.32% 0.42% -2.08% 0.48% -0.35% CHF 9.84% 5.61%