Audited Annual Report CS Fund 1

Transcription

1 Audited Annual Report CS Fund 1 Contractual Umbrella Fund under Swiss Law (Type Other Funds for Traditional Investments) December 31, 2015

2 CS Fund 1 Audited Annual Report as at December 31, 2015 Contents Management and statutory bodies 3 Unaudited Report on activities 4 Credit Suisse (CH) Interest & Dividend Focus Income CHF 5 Credit Suisse (CH) Interest & Dividend Focus Income EUR 14 Credit Suisse (CH) Interest & Dividend Focus Balanced CHF 23 Credit Suisse (CH) Interest & Dividend Focus Balanced EUR 33 Credit Suisse (CH) Interest & Dividend Focus Capital Gains CHF 41 Credit Suisse (CH) Interest & Dividend Focus Capital Gains EUR 49 Notes 57 Report of the audit company 60 2

3 CS Fund 1 Audited Annual Report as at December 31, 2015 Management and Statutory Bodies Management Company Credit Suisse Funds AG, Zurich Board of Directors Dr. Thomas Schmuckli, Chairman Luca Diener, Vice President, Managing Director, Credit Suisse AG, Zurich Ruth Bültmann (since October 1, 2015), Member Petra Reinhard Keller (since April 7, 2015), Member, Managing Director, Credit Suisse AG, Zurich Jürg Roth, Member, Managing Director, Credit Suisse AG, Zurich Christian Schärer, Member, Managing Director, Credit Suisse AG, Zurich Dr. Christoph Zaborowski (since July 8, 2015), Member Markus Graf (until January 31, 2015), Member, Chief Executive Officer, Swiss Prime Site AG, Olten Lars Kalbreier (until March 31, 2015), Member, Managing Director, Credit Suisse AG, Zurich Maurizio Pedrini (until August 31, 2015), Member, Managing Director, Credit Suisse AG, Zurich Executive Board Thomas Schärer, Chief Executive Officer Patrick Tschumper, Deputy CEO and Head Fund Solutions Michael Bünzli, Member, Legal Counsel Thomas Federer, Member, Performance & Risk Management Tim Gutzmer, Member, Fund Services Hans Christoph Nickl, Member, COO Thomas Vonaesch, Member, Real Estate Fund Management Gabriele Wyss, Member, Compliance Custodian Bank Credit Suisse AG, Zurich Audit Company KPMG AG, Zurich Information on third parties Delegation of investment decisions Investment decisions have been delegated by the fund management company to Credit Suisse AG, Zurich. Delegation of other specific duties The fund management company has delegated certain fund administration duties to the following group companies of Credit Suisse Group AG: Credit Suisse AG, Switzerland. Duties include providing legal and tax advice, managing the fund management company s finances, real estate portfolio management and administration, facility management, human resources, the Management Information System (MIS), project and user support for fund accounting, risk management, and monitoring of the investment guidelines. Credit Suisse Fund Services (Luxembourg) S.A., Luxembourg: Duties in relation to fund accounting. Credit Suisse (Poland) Sp.z.o.o., Poland: Duties in relation to product master data, price publications, factsheet production, KIID production, report preparation, and other support tasks in relation to risk management. Precise details of how the remit is to be fulfilled are laid down in an agreement between the fund management company and the aforementioned group companies. Further specific tasks may be delegated to the aforementioned group companies. 3

4 CS Fund 1 Audited Annual Report as at December 31, 2015 Unaudited Report on Activities from January 1, 2015 to December 31, 2015* In comparison to previous years, 2015 was a less favorable investment year. The equity market only grew by a very marginal amount in the US. In Asia (with the exception of Japan), the euro zone, and Switzerland, the overall performance of equities was also rather modest. In addition, the ongoing downturn in the commodity markets had a negative impact on price development in the emerging markets. Apart from Swiss and US bonds with good credit ratings, the yield on fixed-income corporate and government bonds was generally disappointing. The first quarter of 2015 was characterized by the surprise abolition of the minimum exchange rate of CHF 1.20 per euro and the simultaneous introduction of a negative base rate of 0.75%. This measure hit domestic investors particularly hard. Internationally, the European and Asian central banks further eased their monetary policies compared with the US central bank (the Federal Reserve Board). The ECB began with the purchase of euro-denominated public-sector securities. Then, at the end of March, the ten-year German government bond yields fell to a record low of 0.2%. The prices for US and UK government bonds came under pressure, because in both cases the markets expected an increase in the base rate by the end of the year. The European and Asian equity markets ultimately benefited from the expansive monetary policies. In the second quarter of 2015, interest was primarily focused on the debt crisis and the associated threat of a Greek exit from the euro zone (Grexit). The next major issue was the market expectation fueled by the positive economic data of an imminent first interest rate hike by the US central bank. While the yields of fixed-income government bonds grew on both sides of the Atlantic, in the equity market only the American and Asian securities benefited. In contrast, the performance of euro zone equities and Swiss equities worsened significantly as a result of the Grexit debate. Although the third quarter of 2015 got off to a promising start with the agreement over the Greek debt crisis, the nervousness in the markets continued due to the disappointing growth in China and other emerging markets. The continuing debate about US central bank policy, as well as the unexpected problems of major corporations such as VW and Glencore took their toll on the mood of the markets. While the government bond yields in the US and Europe continued to increase, significantly higher risk premiums for high-interest corporate bonds were demanded on the market in some cases. The negative mood was most apparent in the equity markets. In addition, the remaining Asian, US, and European securities did not escape the impact of the slump in prices in the Chinese market. Moreover, commodity producers around the world were also confronted with the reduced demand from China. Following the significant price corrections during the summer months, the mood in the global equity markets improved slightly at the start of the fourth quarter of 2015, not least thanks to the monetary support on the part of the main central banks. Scarcely any disturbance was caused by the first interest rate hike by the US central bank (the Federal Reserve Board) for almost ten years, which took place in December 2015, but the anticipated year-end rally in the equity markets largely failed to materialize. Given the general expectation that the US central bank (the Federal Reserve Board) will increase the base rate in small increments and the fact that the fundamentals in the US are largely static at present, the first half of 2016 could present a somewhat uncertain environment for US equities. In the euro zone, it remains to be seen whether the comparatively weak euro and the relaxed monetary policy of the ECB will stimulate the economy. The focus of attention, however, is expected to be on economic development in China, where the central government is likely to try to encourage growth in the export industry. At present, we prefer securities from the euro zone and Switzerland. We are less positive about investments in US equities. The bond market is currently not very attractive, which is why we also favor equities over bonds for In foreign exchange, based on monetary tightening, we expect a slight appreciation of the US dollar. * The information stated relates to the period under review and is not indicative of future returns. 4

5 Credit Suisse (CH) Interest & Dividend Focus Income CHF Audited Annual Report as at December 31, 2015 Highlights Key figures Consolidation Total net assets in millions CHF Unit class A Total net assets in millions CHF Net asset value per unit (Swung NAV) CHF Net asset value per unit (Unswung NAV) CHF Distribution per unit CHF Distribution from capital gains per unit CHF Unit class B Total net assets in millions CHF Net asset value per unit (Swung NAV) CHF Net asset value per unit (Unswung NAV) CHF Delivery withholding tax per unit CHF Unit class IA Total net assets in millions CHF 8.1 Net asset value per unit (Swung NAV) CHF Net asset value per unit (Unswung NAV) CHF Distribution per unit CHF 8.20 Distribution from capital gains per unit CHF 5.90 Unit class UA Total net assets in millions CHF Net asset value per unit (Swung NAV) CHF Net asset value per unit (Unswung NAV) CHF Distribution per unit CHF 0.46 Distribution from capital gains per unit CHF 1.10 Unit class UB Total net assets in millions CHF 24.9 Net asset value per unit (Swung NAV) CHF Net asset value per unit (Unswung NAV) CHF Delivery withholding tax per unit CHF 0.25 Annual distribution for For unitholders domiciled in Switzerland For unitholders domiciled outside Switzerland (without affidavit) Unit class A Unit class IA Unit class UA Gross CHF CHF CHF Less 35% Swiss withholding tax CHF CHF CHF Net distribution from income CHF CHF CHF and Net distribution from capital gains CHF CHF CHF For unitholders domiciled outside Switzerland (with affidavit) Gross CHF CHF CHF Net distribution from income CHF CHF CHF and Net distribution from capital gains CHF Coupon no. income Coupon no. capital gains Payable on or after February 16, 2016 at CREDIT SUISSE AG, Zurich, and at their branch offices in Switzerland Exchange rates % of total assets Australian dollar Pound sterling Euro Yen Canadian dollar Swiss franc US dollar

6 Credit Suisse (CH) Interest & Dividend Focus Income CHF Audited Annual Report as at December 31, 2015 Assets as at December 31, 2015 Consolidation CHF CHF Assets Bank deposits, including fiduciary investments with third-party banks, divided into: Sight deposits Securities, including securities loaned and pledged, divided into: Bonds, convertible bonds, warrant bonds and other debt instruments and rights Structured products Shares and other equity instruments and rights Units of other collective investment schemes Other assets Derivative financial instruments Other assets Total fund assets minus: Other liabilities Due to banks Net assets Number of units in circulation Consolidation CHF CHF Changes in net assets Net assets at beginning of review period Ordinary annual distribution/delivery withholding tax Capital distribution Issue of units Redemption of units Other items from unit transactions Total income Net assets at end of review period Changes in units in circulation Number at beginning of the review period Number of units issued Number of units redeemed Number at the end of the review period Net asset value per unit (Swung NAV) Net asset value per unit (Unswung NAV) Off-balance-sheet business Equivalent As % of Equivalent As % of underlying value net fund underlying value net fund in fund currency assets in fund currency assets Gross Gross Market risk (risk of change in share price) Currency risk Total Net Net Market risk (risk of change in share price) Currency risk Total Volume of securities lent and income from lending commissions Volume of securities lent Income from commissions

7 Credit Suisse (CH) Interest & Dividend Focus Income CHF Audited Annual Report as at December 31, 2015 Unit class A Unit class B Unit class IA Unit class UA Unit class UB CHF CHF CHF CHF CHF CHF CHF (CHF) (CHF) (CHF) (CHF) (CHF) (CHF) (CHF)

8 Credit Suisse (CH) Interest & Dividend Focus Income CHF Audited Annual Report as at December 31, 2015 Statement of income from January 1, 2015 to December 31, 2015 Consolidation CHF CHF Income Income from bank balances Securities income, divided into: Bonds, convertible bonds, warrant bonds and other debt instruments and rights Shares and other equity instruments and rights, including bonus shares Units of other collective investment schemes Substitute payments Securities Lending Income from retrocessions Other income Current income paid in by new subscribers Total income minus Interest due Negative interest Audit costs Statutory remuneration to: Management Company Custodian Bank Other expenses Current net income paid out upon the redemption of units Net income before tax adjustment Tax adjustment due to income from target funds Net income after tax adjustment Realized capital gains Realized capital losses Partial transfer of tax adjustment due to income from target funds Realized income Unrealized capital gains/losses Total income Application of results Net income of financial year Carried forward of the previous year Carried forward of the previous year due to merger Net income available for distribution Net income earmarked for distribution to investors Distribution/delivery withholding tax (35%)* For reinvestment of retained earnings (65%) Carried forward to following year * Investors domiciled in Switzerland may reclaim the withholding tax through their tax declaration. Investors domiciled abroad may settle the withholding tax through the custodian bank. 8

9 Credit Suisse (CH) Interest & Dividend Focus Income CHF Audited Annual Report as at December 31, 2015 Unit class A Unit class B Unit class IA Unit class UA Unit class UB CHF CHF CHF CHF CHF CHF CHF

10 Credit Suisse (CH) Interest & Dividend Focus Income CHF Audited Annual Report as at December 31, 2015 Composition of portfolio, and changes in holdings Description Purchases 1 Disposals Market value % of number/ number/ CHF total assets nominal value nominal value Securities traded on an exchange Shares Swiss franc ABB (reg. shares) ADECCO (reg. shares) BALOISE-HOLDING (reg. shares) CEMBRA MONEY (reg. shares) CIE FINANCIERE RICHEMONT (reg. shares) CREDIT SUISSE REAL ESTATE FUND GLOBAL (rights) CS GROUP (reg. shares) CREDIT SUISSE GROUP (rights) GIVAUDAN (reg. shares) KUEHNE & NAGEL INTERNATIONAL LAFARGEHOLCIM (reg. shares) NESTLE (reg. shares) NOVARTIS (reg. shares) ROCHE HOLDINGS (cert. shares) SOCIETE GENERALE DE SURVEILLANCE HOLDING (reg. sha SWISS REINSURANCE SWISSCOM (reg. shares) SYNGENTA (reg. shares) THE SWATCH GROUP UBS GROUP ZURICH INSURANCE GROUP (reg. shares) Total shares Bonds Australian dollar 4.25 ABB FINANCE AUSTRALIA 4.25%/ ANZ BANKING GROUP (reg. -S-) S %/ ASIAN DEVELOPMENT BANK 5%/ BMW US CAPITAL 4%/ GE CAPITAL AUSTRALIA FUNDING 4.75%/ HOLCIM FINANCE AUSTRALIA 6%/ NATIONAL AUSTRALIA BANK (reg. -S-) S %/ NESTLE HOLDINGS 3.875%/ RABOBANK NEDERLAND (reg. -S-) S. 2709A 4.625%/ WESTPAC BANKING (reg. -S-) 4.375%/ Euro 3.75 GLENCORE FINANCE (EUROPE) 3.75% Canadian dollar ANHEUSER-BUSCH INBEV FINANCE 3.375%/ BANK OF NOVA SCOTIA 2.37%/ BP CAPITAL MARKETS 2.744%/ CANADIAN UTILITIES 3.122%/ HSBC BANK CANADA 2.572%/ NEDERLANDSE WATERSCHAPSBANK 2.125%/ PROVINCE OF BRITISH COLUMBIA S. BCCD %/ PROVINCE OF QUEBEC 3.5%/ ROYAL BANK OF CANADA 2.26%/ TOTAL CAPITAL INTERNATIONAL (reg. -S-) S. 76 2%/ WELLS FARGO CANADA 3.46%/ WELLS FARGO FINANCIAL CANADA 2.944%/ Swiss franc 1 BANCO SANTANDER CHILE 1%/ COOP-GRUPPE 0.25%/ CREDIT SUISSE 2.375%/ CREDIT SUISSE FRN CREDIT SUISSE LONDON FRN GOLDMAN SACHS GROUP 1.5%/ LAFARGEHOLCIM 0.375%/ ZUERICHER KANTONALBANK S. 126 FRN Total bonds Structured products US dollar CS AG LONDON (CS US EQ ENHANC CALL WRITING INDEX JP MORGAN STRUCTURED PRODUCTS Total structured products Total securities traded on an exchange Securities without market Structured products Australian dollar UBS (PERLES ON S&P/ASX AUSTRALIAN DIVIDEND OPPORTU Total structured products Total securities without market

11 Credit Suisse (CH) Interest & Dividend Focus Income CHF Audited Annual Report as at December 31, 2015 Description Purchases 1 Disposals Market value % of number/ number/ CHF total assets nominal value nominal value Other assets Forward exchange transactions Total forward exchange transactions (see list) Total forward exchange transactions Financial Futures Pound sterling FTSE 100 INDEX 20/03/ FTSE 100 INDEX 19/06/ FTSE 100 INDEX 18/09/ FTSE 100 INDEX 18/12/ FTSE 100 INDEX 18/03/ US dollar S&P E-MINI 500 STOCK INDEX 18/12/ S&P E-MINI 500 STOCK INDEX 18/03/ Total Financial Futures Fund units Australian dollar SPDR S&P/ASX 200 FUND ETF SSGA AUSTRALIA INDEX EQUITY-I VANGUARD AUSTRALIAN SHARES HIGH YIELD EXCHANGE TRA Pound sterling ISHARES FTSE UK DIVIDEND PLUS ISHARES II UK PROPERTY UCITS ETF ISHARES III ISHARES FTSE UK GILTS VANGUARD UK INV GRADE BOND INDEX FUND VANGUARD UK INV GRADE BOND INDEX FUND INSTITUTIONA Euro AMUNDI ETF CAC 40 UCITS FCP -C AMUNDI ETF GOVT BOND LOWEST RATED EUROMTS INVESTME DB X-TRACKERS II ITRAXX CROSSOVER 5-YEAR TOTAL RET DEKA DAX UCITS DX STRACKERS II SICAV s D IBOXX SOVEREIGNS EUROZON FTSE EPRA EUROZONE THEAM EASY UCITS ETF FCP INVESCO FUNDS SICAV - INVESCO EURO CORPORATE BOND ISHARES BARCLAYS EURO AGGREGATE BOND ISHARES DIVDAX R UCITS ETF (DE) ISHARES EURO CORPORATE BOND LARGE CAP ISHARES EURO COVERED BOND UCITS ETF ISHARES EURO STOXX 50 UCITS ETF ISHARES FTSE MIB UCITS ETF ISHARES MSCI EUROPE MINIMUM VOLATILITY UCITS ETF LYXOR INTERNATIONAL ASSET MANAGEMENT ETF IBEX OSSIAM LUX SICAV - OSSIAM ISTOXX EUROPE MINMUM VAR SPDR S&P EURO DIVIDEND ARISTOCRATS ETF SWISSCANTO BOND INVEST -P H EUR Yen TOPIX EXCHANGE TRADED FUND VANGUARD JAPAN GOVRNMENT BONDD INSTITUTIONAL PLUS Canadian dollar CREDIT SUISSE INSTITUTIONAL FUND - CANADA INDEX -D ISHARES S&P/TSXC CANADIAN DIVIDEND ARISTOCRATS IND SSGA CANADA INDEX EQUITY FUND -I Swiss franc CREDIT SUISSE (LUX) GLOBAL INFLATION LINKED BOND F CREDIT SUISSE INSTITUTIONAL FUND SWITZERLAND BOND CREDIT SUISSE REAL ESTATE FUND GLOBAL CS SWISS DIVIDEND PLUS -EB- CHF CSIF ASIA -F CSIF REAL ESTATE -F CSIF SWITHERLAND BOND AAA-BBB BLUE -F ISHARES (CH) SMIM(r) UBS SMI R CHF US dollar AXA FIIS US SHORT DURATION HIGH YIELD -A DIS CREDIT SUISSE (LUX) GLOBAL INFLATION LINKED BOND F CREDIT SUISSE (LUX) GLOBAL PROPERTY INCOME MAXIMIS CREDIT SUISSE (LUX) GLOBAL SECURITIZED BOND FUND CREDIT SUISSE FUND (LUX) ASIA PACIFIC INCOME MAXIM CREDIT SUISSE FUND (LUX) ASIA PACIFIC INCOME MAXIM CS INVESTMENT FUNDS 2 SICAV - CS (Lux) GLOBAL PRO CSIF BOND AGGREGATE USD -D CSIF BOND USD INDEX BLUE -D DB X-TRACKERS S&P SELECT FRONTIER UCITS ETF ISHARES DJ ASIA/PACIFIC SELECT DIVIDEND ISHARES FTSE EPRA/NAREIT US PROPERTY YIELD ISHARES II PLC - ISHARES JP MORGAN USD EMERGING MA ISHARES MSCI EMERGING MARKETS SMALLCAP ISHARES MSCI EMERGING MARKETS UCITS ETF ISHARES S&P MIDCAP JULIUS BAER MULTIBOND SICAV - LOCAL EMERGING BOND

12 Credit Suisse (CH) Interest & Dividend Focus Income CHF Audited Annual Report as at December 31, 2015 Description Purchases 1 Disposals Market value % of number/ number/ CHF total assets nominal value nominal value NOMURA FUNDS IRELAND - US HIGH YIELD BOND FUND -D PICTET SICAV - GLOBAL EMERGING DEBT I USD PIMCO FIXED INCOME SOURCE ETF - EMERGING MARKETS A PIMCO FIXED INCOME SOURCE ETFS PLC - PIMCO US DOLL PIONEER FUNDS FCP - EMERGING MARKET BOND -I POWERSHARES QQQ TRUST SERIES I SOURCE MORNINGSTAR US ENERGY INFRASTRUCTURE MLP UC SPDR BARCLAYS CAPITAL SHORT TERM CORPORATE BOND ET SPDR BARCLAYS CONVERTIBLE SPDR S&P US DIVIDEND ARISTOCRATS ETF UBAM FCP - EM INVESTMENT GRADE CORPORATE BOND -ID VANGUARD FUND PLC - S&P 500 EXCHANGE TRADED FUND VANGUARD HIGH DIVIDEND YIELD INDEX FUND VANGUARD TOTAL BOND MARKET INDEX FUND VANGUARD US INVESTMENT GRADE CREDIT INDEX FUND USD Total fund units Call Options Swiss franc SYNGENTA (reg. shares), 420, Total Call Options Total other assets Total investments Cash at banks Other assets Total assets Other liabilities Net assets Inclusive of purchases/sales and corporate actions 2 Securities holdings loaned wholly or in part (securities lending) List of forward exchange transactions for the period from January 1, 2015 to December 31, 2015 Maturity Transaction Currency Amount Counter- Countervalue Currency gain/loss % of currency (mandate currency) total assets Bought CHF JPY Bought CHF USD Bought CHF EUR Bought CHF USD Bought CHF AUD Bought CHF CAD Bought CHF EUR Bought CHF GBP Bought CAD CHF Bought CHF JPY Bought CHF AUD Bought CAD CHF Bought USD CHF Bought CHF EUR Bought CHF JPY Bought CHF USD Bought CHF USD Bought JPY CHF Bought EUR CHF Bought AUD CHF Bought JPY CHF Bought CHF USD Bought CHF USD Bought CHF CAD Bought CHF USD Bought CHF USD Bought CHF JPY Bought EUR CHF Bought JPY CHF Bought CHF USD Bought EUR CHF Bought CHF GBP Bought CHF EUR Bought CHF USD Bought CHF GBP Bought CHF AUD Bought CHF JPY Bought CHF CAD Bought JPY CHF Bought USD CHF Bought CHF CAD Bought CHF USD Bought CHF EUR Bought CHF USD Bought CHF USD Bought CHF USD Bought CHF EUR Bought CHF EUR Bought CHF EUR Bought CHF GBP Bought JPY CHF Bought CHF EUR

13 Credit Suisse (CH) Interest & Dividend Focus Income CHF Audited Annual Report as at December 31, 2015 Maturity Transaction Currency Amount Counter- Countervalue Currency gain/loss % of currency (mandate currency) total assets Bought CHF EUR Bought CHF USD Bought EUR CHF Bought CHF AUD Bought JPY CHF Bought GBP CHF Bought CHF GBP Bought CHF JPY Bought CHF AUD Bought USD CHF Bought CHF JPY Bought CHF CAD Bought CHF JPY Bought CHF USD Bought CHF USD Bought CHF USD Bought CHF EUR Bought CHF USD Total forward exchange transactions

14 Credit Suisse (CH) Interest & Dividend Focus Income EUR Audited Annual Report as at December 31, 2015 Highlights Key figures Consolidation Total net assets in millions EUR Unit class A Total net assets in millions EUR Net asset value per unit (Swung NAV) EUR Net asset value per unit (Unswung NAV) EUR Distribution per unit EUR Distribution from capital gains per unit EUR Unit class AH Total net assets in millions EUR Net asset value per unit (Swung NAV) CHF Net asset value per unit (Unswung NAV) CHF Distribution per unit CHF EUR 1.08 Distribution from capital gains per unit CHF EUR 0.80 Unit class B Total net assets in millions EUR Net asset value per unit (Swung NAV) EUR Net asset value per unit (Unswung NAV) EUR Delivery withholding tax per unit EUR Unit class UA Total net assets in millions EUR 14.1 Net asset value per unit (Swung NAV) EUR Net asset value per unit (Unswung NAV) EUR Distribution per unit EUR 0.60 Distribution from capital gains per unit EUR 2.10 Unit class UAH Total net assets in millions EUR 0.3 Net asset value per unit (Swung NAV) CHF Net asset value per unit (Unswung NAV) CHF Distribution per unit CHF 0.84 Distribution from capital gains per unit CHF 1.80 Unit class UB Total net assets in millions EUR 2.9 Net asset value per unit (Swung NAV) EUR Net asset value per unit (Unswung NAV) EUR Delivery withholding tax per unit EUR

15 Credit Suisse (CH) Interest & Dividend Focus Income EUR Audited Annual Report as at December 31, 2015 Annual distribution for For unitholders domiciled in Switzerland For unitholders domiciled outside Switzerland (without affidavit) Unit class A Unit class AH Unit class UA Unit class UAH Gross EUR CHF EUR CHF Less 35% Swiss withholding tax EUR CHF EUR CHF Net distribution from income EUR CHF EUR CHF and Net distribution from capital gains EUR CHF EUR CHF For unitholders domiciled outside Switzerland (with affidavit) Gross EUR CHF EUR CHF Net distribution from income EUR CHF EUR CHF and Net distribution from capital gains EUR CHF EUR CHF Coupon no. income Coupon no. capital gains Payable on or after February 16, 2016 at CREDIT SUISSE AG, Zurich, and at their branch offices in Switzerland Exchange rates % of total assets Australian dollar Pound sterling Euro Yen Canadian dollar Swiss franc US dollar

16 Credit Suisse (CH) Interest & Dividend Focus Income EUR Audited Annual Report as at December 31, 2015 Assets as at December 31, 2015 Consolidation EUR EUR Assets Bank deposits, including fiduciary investments with third-party banks, divided into: Sight deposits Securities, including securities loaned and pledged, divided into: Bonds, convertible bonds, warrant bonds and other debt instruments and rights Structured products Units of other collective investment schemes Other assets Derivative financial instruments Other assets Total fund assets minus: Other liabilities Due to banks Net assets Number of units in circulation Consolidation EUR EUR Changes in net assets Net assets at beginning of review period Ordinary annual distribution/delivery withholding tax Capital distribution Issue of units Redemption of units Other items from unit transactions Total income Net assets at end of review period Changes in units in circulation Number at beginning of the review period Number of units issued Number of units redeemed Number at the end of the review period Net asset value per unit (Swung NAV) Net asset value per unit (Unswung NAV) Off-balance-sheet business Equivalent As % of Equivalent As % of underlying value net fund underlying value net fund in fund currency assets in fund currency assets Gross Gross Market risk (risk of change in share price) Currency risk Total Net Net Market risk (risk of change in share price) Currency risk Total Volume of securities lent and income from lending commissions Volume of securities lent Income from commissions

17 Credit Suisse (CH) Interest & Dividend Focus Income EUR Audited Annual Report as at December 31, 2015 Unit class Unit class Unit class Unit class A Unit class AH Unit class B UA UAH UB EUR EUR EUR EUR EUR EUR EUR EUR EUR (EUR) (EUR) (CHF) (CHF) (EUR) (EUR) (EUR) (CHF) (EUR)

18 Credit Suisse (CH) Interest & Dividend Focus Income EUR Audited Annual Report as at December 31, 2015 Statement of income from January 1, 2015 to December 31, 2015 Consolidation EUR EUR Income Income from bank balances Securities income, divided into: Bonds, convertible bonds, warrant bonds and other debt instruments and rights Units of other collective investment schemes Substitute payments Securities Lending Income from retrocessions Other income Current income paid in by new subscribers Total income minus Interest due Negative interest Audit costs Statutory remuneration to: Management Company Custodian Bank Other expenses Current net income paid out upon the redemption of units Net income before tax adjustment Tax adjustment due to income from target funds Net income after tax adjustment Realized capital gains Realized capital losses Partial transfer of tax adjustment due to income from target funds Realized income Unrealized capital gains/losses Total income Application of results Net income of financial year Carried forward of the previous year Net income available for distribution Net income earmarked for distribution to investors Distribution/delivery withholding tax (35%)* For reinvestment of retained earnings (65%) Carried forward to following year * Investors domiciled in Switzerland may reclaim the withholding tax through their tax declaration. Investors domiciled abroad may settle the withholding tax through the custodian bank. 18

19 Credit Suisse (CH) Interest & Dividend Focus Income EUR Audited Annual Report as at December 31, 2015 Unit class Unit class Unit class Unit class A Unit class AH Unit class B UA UAH UB EUR EUR EUR EUR EUR EUR EUR EUR EUR

20 Credit Suisse (CH) Interest & Dividend Focus Income EUR Audited Annual Report as at December 31, 2015 Composition of portfolio, and changes in holdings Description Purchases 1 Disposals Market value % of number/ number/ EUR total assets nominal value nominal value Securities traded on an exchange Bonds Australia 4.25 ABB FINANCE AUSTRALIA 4.25%/ ANZ BANKING GROUP (reg. -S-) S %/ GE CAPITAL AUSTRALIA FUNDING 4.75%/ HOLCIM FINANCE AUSTRALIA 6%/ NATIONAL AUSTRALIA BANK (reg. -S-) S %/ WESTPAC BANKING (reg. -S-) 4.375%/ France 2 TOTAL CAPITAL INTERNATIONAL (reg. -S-) S. 76 2%/ International organisations 5 ASIAN DEVELOPMENT BANK 5%/ Canada 2.37 BANK OF NOVA SCOTIA 2.37%/ CANADIAN UTILITIES 3.122%/ HSBC BANK CANADA 2.572%/ PROVINCE OF BRITISH COLUMBIA S. BCCD %/ PROVINCE OF QUEBEC 3.5%/ ROYAL BANK OF CANADA 2.26%/ WELLS FARGO CANADA 3.46%/ WELLS FARGO FINANCIAL CANADA 2.944%/ Netherlands NEDERLANDSE WATERSCHAPSBANK 2.125%/ RABOBANK NEDERLAND (reg. -S-) S. 2709A 4.625%/ USA ANHEUSER-BUSCH INBEV FINANCE 3.375%/ BMW US CAPITAL 4%/ NESTLE HOLDINGS 3.875%/ United Kingdom BP CAPITAL MARKETS 2.744%/ Total bonds Structured products Netherlands JP MORGAN STRUCTURED PRODUCTS United Kingdom CS AG LONDON (CS US EQ ENHANC CALL WRITING INDEX Total structured products Total securities traded on an exchange Securities without market Structured products United Kingdom UBS (PERLES ON S&P/ASX AUSTRALIAN DIVIDEND OPPORTU Total structured products Total securities without market Other assets Forward exchange transactions Total forward exchange transactions (see list) Total forward exchange transactions Financial Futures USA S&P E-MINI 500 STOCK INDEX 18/12/ S&P E-MINI 500 STOCK INDEX 18/03/ United Kingdom FTSE 100 INDEX 20/03/ FTSE 100 INDEX 19/06/ FTSE 100 INDEX 18/09/ FTSE 100 INDEX 18/12/ FTSE 100 INDEX 18/03/ Total Financial Futures Fund units Australia SPDR S&P/ASX 200 FUND ETF VANGUARD AUSTRALIAN SHARES HIGH YIELD EXCHANGE TRA Germany DEKA DAX UCITS ISHARES DIVDAX R UCITS ETF (DE)