Unaudited Semi-Annual Report Credit Suisse Index Fund II (CH) Umbrel a (previously Credit Suisse Institutional Fund II [CSIF II] Umbrella)

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1 Unaudited Semi-Annual Report Credit Suisse Index Fund II (CH) Umbrella (previously Credit Suisse Institutional Fund II [CSIF II] Umbrella) Umbrella Fund under Swiss Law of the Other Funds for Traditional Investments Type August 31, 2016

2 Credit Suisse Index Fund II (CH) Umbrella (previously Credit Suisse Institutional Fund II [CSIF II] Umbrella) Unaudited Semi-Annual Report as at August 31, 2016 Contents Management and statutory bodies 3 CSIF II (CH) Gold Blue (previously CSIF II Gold Blue) 5 Notes to the Semi-Annual Report 11 2

3 Credit Suisse Index Fund II (CH) Umbrella (previously Credit Suisse Institutional Fund II [CSIF II] Umbrella) Unaudited Semi-Annual Report as at August 31, 2016 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, Member Adam Milenkovic, Member, Managing Director, Credit Suisse AG, Zurich Petra Reinhard Keller, 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, Member 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 in respect of all subfunds have been delegated to Credit Suisse AG, Zurich. Delegation of other specific duties The fund management company has delegated various specific tasks in connection with the administration of the fund to the following group companies of Credit Suisse Group AG: Credit Suisse AG, Switzerland: specific tasks 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: specific tasks relating to fund accounting. Credit Suisse (Poland) Sp.z.o.o., Poland: specific tasks in the areas of product master data, price publication, fact sheet production, KIID production, preparation of reports, and other support tasks relating to risk management Precise details on how the tasks are to be fulfilled are laid down in an agreement between the fund management company and the specified group companies. Further specific tasks may be delegated to the group companies specified. 3

4 CSIF II (CH) Gold Blue (previously CSIF II Gold Blue) Unaudited Semi-Annual Report as at August 31,

5 CSIF II (CH) Gold Blue (previously CSIF II Gold Blue) Unaudited Semi-Annual Report as at August 31, 2016 Highlights Key figures Consolidation Total net assets in millions USD Unit class DB Total net assets in millions USD Net asset value per unit USD Unit class DBH Total net assets in millions USD Net asset value per unit CHF Unit class FB Total net assets in millions USD Net asset value per unit USD Unit class FBH Total net assets in millions USD 14.2 Net asset value per unit CHF Exchange rates Exchange rates as at EURO OUNCE GOLD SWISS FRANC US DOLLAR

6 CSIF II (CH) Gold Blue (previously CSIF II Gold Blue) Unaudited Semi-Annual Report as at August 31, 2016 Assets as at August 31, 2016 Consolidation USD USD Assets Bank deposits, including fiduciary investments with third-party banks, divided into: Sight deposits Securities, including securities loaned and pledged, divided into: Other investments Gold bars Precious metal account Derivative financial instruments Other assets Total fund assets minus: Other liabilities Net assets Number of units in circulation Consolidation USD USD Changes in net assets Net assets at beginning of review period 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 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 Exposure-increasing derivative positions: Currency risk Total exposure-increasing positions Exposure-reducing derivative positions: Currency risk Total exposure-reducing positions

7 CSIF II (CH) Gold Blue (previously CSIF II Gold Blue) Unaudited Semi-Annual Report as at August 31, 2016 Unit class DB Unit class DBH Unit class FB Unit class FBH USD USD USD USD USD USD USD (USD) (USD) (CHF) (CHF) (USD) (USD) (CHF)

8 CSIF II (CH) Gold Blue (previously CSIF II Gold Blue) Unaudited Semi-Annual Report as at August 31, 2016 Statement of income from March 1, 2016 to August 31, 2016 Consolidation USD USD Income Income from bank balances Current net income paid in upon the issue of units Total income minus Interest due Negative interest Statutory remuneration to: Management Company Current net income paid out upon the redemption of units Net income Realized capital gains Realized capital losses Realized income Unrealized capital gains/losses Total income

9 CSIF II (CH) Gold Blue (previously CSIF II Gold Blue) Unaudited Semi-Annual Report as at August 31, 2016 Unit class DB Unit class DBH Unit class FB Unit class FBH USD USD USD USD USD USD USD

10 CSIF II (CH) Gold Blue (previously CSIF II Gold Blue) Unaudited Semi-Annual Report as at August 31, 2016 Composition of portfolio, and changes in holdings Description Purchases 1 Disposals Market value % of number/ number/ USD total assets nominal value nominal value Securities traded on an exchange Shares Precious metals and stones GOLD Precious metal account Credit Suisse AG Total shares Total securities traded on an exchange Other investments Forward exchange transactions Total forward exchange transactions (see list) Total forward exchange transactions Total other investments Total investments Cash at banks Other assets Total assets Other liabilities Net assets Inclusive of purchases/sales and corporate actions 2 Of which in the segregation process: / of which exposed to counterparty risk: In accordance with 18 of the fund contract the following units have been issued or redeemed during the reporting period against transfer of assets instead of cash: Classe Date Units Currency NAV Issue Redemption DBH CHF DBH CHF DBH CHF DBH CHF DBH CHF List of forward exchange transactions for the period from March 1, 2016 to August 31, 2016 Maturity Transaction Currency Amount Counter- Countervalue Currency gain/loss % of currency (mandate currency) total assets Bought CHF USD Bought CHF USD Bought CHF USD Bought CHF USD Bought CHF USD Bought CHF USD Bought USD CHF Bought CHF USD Bought CHF USD Bought CHF USD Bought USD CHF Bought CHF USD Bought CHF USD Bought CHF USD Bought CHF USD Bought CHF USD Bought CHF USD Bought CHF USD Bought CHF USD Bought CHF USD Bought CHF USD Bought CHF USD Bought CHF USD Bought CHF USD Bought CHF USD Bought USD CHF Bought CHF USD Bought CHF USD Bought CHF USD Bought CHF USD Bought CHF USD Bought CHF USD Total forward exchange transactions

11 Credit Suisse Index Fund II (CH) Umbrella (previously Credit Suisse Institutional Fund II [CSIF II] Umbrella) Unaudited Semi-Annual Report as at August 31, 2016 Notes to the Semi-Annual Report as at August 31, 2016 Note 1: Sales Restrictions USA With respect to the issue and redemption of units of these subfunds outside Switzerland, the regulations valid in the country in question apply. Units of this collective investment scheme may not be offered, sold or delivered within the United States or its territories. Nor may these units be offered, sold or delivered to citizens and/or residents of the United States of America and/or persons or entities whose income and/or revenue, irrespective of source, is subject to US income tax, including those deemed to be US persons under Regulation S of the US Securities Act of 1933 and/or the US Commodity Exchange Act, as amended. Note 2: Key figures and technical data Fund Unit Swiss Cur- flat-rate Total Portfolio class securities rency management Expense Turnover number commission 1 Ratio (TER) 2 Rate (PTR) 3 CSIF II (CH) Gold Blue DB USD CSIF II (CH) Gold Blue DBH CHF CSIF II (CH) Gold Blue FB USD CSIF II (CH) Gold Blue FBH CHF Information regarding the SFAMA guideline on transparent management fees: From the sales-related component of the management fee, the fund management is able to offer refunds to the following institutional investors which, in a business sense, hold fund units for third parties: Life insurance companies, Pension funds and other retirement benefits institutions, Investment foundations, Swiss fund management companies, Foreign fund management companies, Investment companies. The fund management may also draw on the sales-related component of the management fee to pay commission on fund unit holdings to the following fund distributors/distribution partners: authorized distributors, fund management companies, banks, brokers, Swiss Post, and insurance companies, distribution partners that place fund units exclusively with institutional investors that have a professional treasury, asset managers. The fund manager has not concluded any fee-sharing agreements or agreements with regard to retrocessions in the form of soft commissions. 2 TER (Total Expense Ratio) describes the sum of all periodic costs and commissions that are charged to the fund s assets. It is expressed retroactively as a percentage of average fund assets. Any reimbursements/commissions for client unit holdings from target funds have been credited to the fund and thus reduce the TER. 3 The PTR (Portfolio Turnover Rate) is an indicator of the relevance of ancillary costs incurred by the Fund in the purchase and sale of investments, and denotes the portfolio turnover rate of the fund portfolio. The PTR shows how many transactions have been carried out on the assets of an investment fund or a security portfolio mostly on the basis of an annual calculation. The PTRs were not audited by KPMG. Note 3: Fund performance Fund/Benchmark Unit Inception Swiss Cur Cumulative class date securities rency since number launch CSIF II (CH) Gold Blue DB USD 23.4% 8.8% 12.2% 0.0% London Gold Fixing PM USD 23.5% 12.1% 0.1% CSIF II (CH) Gold Blue DBH CHF 14.2% London Gold Fixing PM (Hedged into CHF) CHF CSIF II (CH) Gold Blue FB USD 23.3% 4.0% 12.3% London Gold Fixing PM USD 23.5% 12.1% CSIF II (CH) Gold Blue FBH CHF 1.3% London Gold Fixing PM (Hedged into CHF) CHF Source: Lipper, a Thomson Reuters company 1 Fund performance is based on officially published net asset values which in turn are based on stock exchange closing prices at the end of the month in question. 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 fund units. Note 4: Valuation of the Fund s Assets and the Units 1. The net asset value of each subfund and the share of assets attributable to the individual classes are calculated in the accounting currency of the subfund concerned at the market value as of the end of the financial year and as a minimum for each day on which units are issued or redeemed (cf. 17, prov. 1). The assets of a subfund will not be calculated on days when the stock exchanges/markets in the main investment countries of the subfund concerned or precious metals trading in London are closed (e.g. bank and stock exchange holidays). 2. Securities traded on a stock exchange or another regulated market open to the public shall be valued at the prices paid on the main market or at the most recent price set (bid, ask, or mid rates). The value of precious metal is calculated in London on the basis of end-of-day fixings in precious metals trading. Other investments for which no current market value is available shall be valued at the price which would probably be obtained in a diligent sale at the time of the valuation. In such cases, the fund management company shall use appropriate and recognized valuation models and principles to determine the market value. The regulations set out in prov. 4 below shall apply. 3. Open-ended collective investment schemes are valued at their redemption price / net asset value. If they are regularly traded on an exchange or another regulated market open to the public, the fund management company may calculate their value in accordance with prov The value of money market instruments that are not traded on a stock exchange or another regulated market open to the public is determined as follows: The valuation price of such investments, based on the 11

12 Credit Suisse Index Fund II (CH) Umbrella (previously Credit Suisse Institutional Fund II [CSIF II] Umbrella) Unaudited Semi-Annual Report as at August 31, 2016 net acquisition price, shall be progressively adjusted to the redemption price whilst keeping the resulting investment return constant. If there are significant changes in market conditions, the valuation principles for the individual investments will be adjusted in line with the new market returns. If there is no current market price in such instances, the calculations are as a rule based on the valuation of money market instruments with the same characteristics (quality and domicile of the issuer, issuing currency, term to maturity). 5. Bank deposits are valued on the basis of the amount due plus accrued interest. If there are significant changes in the market conditions or the credit rating, the valuation principles for time deposits will be adjusted in line with the new circumstances. 6. The net asset value of the unit of a given class of a subfund is determined by the proportion of this subfund s assets as valued at the market value attributable to the given unit class, minus any of this subfund s liabilities that are attributed to the given unit class, divided by the number of units of the given class in circulation. In each case it is rounded up or down to the smallest unit of the subfund s accounting currency (in the case of precious metals to four places after the decimal point). 7. The share of the market value of the net assets of a subfund (the subfund s assets minus liabilities) attributable to the respective unit classes is determined for the first time at the initial issue of more than one class of units (if this occurs simultaneously) or the initial issue of a further unit class. The calculation is made on the basis of the assets accruing to the subfund concerned for each unit class. The share is recalculated when one of the following events occurs: a) when units are issued and redeemed; b) on the pertinent date for distributions or reinvestments, provided that (i) such distributions or reinvestments are only made for individual unit classes (distribution or capital growth classes) or provided that (ii) the distributions or reinvestments of the various unit classes differ when expressed as a percentage of the respective net asset values, or provided that (iii) different commission or costs are charged on the distributions or reinvestments of the various unit classes when expressed as a percentage of the distribution or reinvestment; c) when the net asset value is calculated, as part of the allocation of liabilities (including due or accrued costs and commissions) to the various unit classes, provided that the liabilities of the various unit classes are different when expressed as a percentage of the respective net asset value, especially if (i) different commission rates are applied for the various unit classes or if (ii) class-specific costs are charged; d) when the net asset value is calculated, as part of the allocation of income or capital gains to the various unit classes, provided the income or capital gains stem from transactions made solely in the interests of one unit class or in the interests of several unit classes but disproportionately to their share of the net assets of a subfund. Note 5: Amendments to the fund contract as of March 1, 2016 The Swiss Financial Market Supervisory Authority FINMA issued an order on February 22, 2016 approving the amendments to the fund contract proposed by the management company and the custodian bank. These amendments entered into force on March 1, 2016 and read as follows: Amendment of the Fund Contract of the Credit Suisse Institutional Fund II (CSIF II) Umbrella as of March 1, 2016, with a View to the Extension of Investor Eligibility and the Appropriation of Net Income Credit Suisse Funds AG, Zurich, as fund management company, with the consent of Credit Suisse AG, Zurich, as the custodian bank, intends to make the following changes to the fund contract of the Credit Suisse Institutional Fund II (CSIF II) Umbrella: Appropriation of Net Income and Extension of Investor Eligibility 1. Appropriation of Net Income ( 23 of the Fund Contract): Switch to Capital Growth The net income of the subfund CSIF II Gold Blue will be added to the fund s assets annually for reinvestment and will no longer be distributed to investors. The provisions of the fund contract relating to the calculation of the net asset value ( 16) and the appropriation of net income ( 23) will be amended accordingly. As a result, the unit classes will also be converted (see section 2. b. below). 2. Extension of Investor Eligibility Investor eligibility for the subfunds of the Credit Suisse Institutional Fund II (CSIF II) Umbrella is currently restricted to qualified investors as defined in the Swiss Federal Act on Collective Investment Schemes (CISA) and the Ordinance on Collective Investment Schemes (CISO), and in the fund contract ( 1 prov. 1 and 5 prov. 1). The fund management company intends to lift this restriction on investor eligibility and extend eligibility for the umbrella fund and its subfunds to non-qualified investors ( 1 prov. 1 and 5 prov. 1 will be amended accordingly). As a result, the following changes are required: a. Adjustment of the Name of the Umbrella Fund and the Subfund Old Name of Umbrella Fund New Name of Umbrella Fund Credit Suisse Institutional Fund II (CSIF II) Umbrella Credit Suisse Index Fund II (CH) Umbrella Old Name of Subfund New Name of Subfund CSIF II Gold Blue CSIF II (CH) Gold Blue 12

13 Credit Suisse Index Fund II (CH) Umbrella (previously Credit Suisse Institutional Fund II [CSIF II] Umbrella) Unaudited Semi-Annual Report as at August 31, 2016 b. Unit Classes The DA unit class will become the DB unit class. The new definition is as follows: Class DB units are capital growth units (previously: distribution units) and are only accessible to investors who have signed an asset management or similar written agreement with the fund management company or with Credit Suisse AG, Zurich, or who invest through a financial intermediary that has signed a cooperation agreement with the fund management company or with Credit Suisse AG, Zurich. The following types of mandate are not eligible for this class: Private Mandates, ExclusiveSelection, FundSelection, AsianOpportunities, IndexSelection, Emerging Market Debt, Emerging Market Mixed, DynamicAllocation, DividendValue, Defender, Challenger, TargetVolatility Private, MyChoice, Premium, GPM Flessibili, GPF Flessibili, Classic Mandates Index, Corporate Bond Strategie, Absolute Return Strategie, Global Equity, Mandate PEA, Mandate Life Insurance, and actively managed investment groups of the Credit Suisse investment foundations as well as Credit Suisse Invest investment solutions. The DAH unit class will become the DBH unit class. The new definition is as follows: Class DBH units are capital growth units (previously: distribution units) for which risk exposure in terms of investment currencies is hedged against CHF to the greatest possible extent where economically worthwhile. They are only accessible to investors who have signed an asset management or similar written agreement with the fund management company or with Credit Suisse AG, Zurich, or who invest through a financial intermediary that has signed a cooperation agreement with the fund management company or with Credit Suisse AG, Zurich. The following types of mandate are not eligible for this class: Private Mandates, ExclusiveSelection, FundSelection, AsianOpportunities, IndexSelection, Emerging Market Debt, Emerging Market Mixed, DynamicAllocation, DividendValue, Defender, Challenger, TargetVolatility Private, MyChoice, Premium, GPM Flessibili, GPF Flessibili, Classic Mandates Index, Corporate Bond Strategie, Absolute Return Strategie, Global Equity, Mandate PEA, Mandate Life Insurance, and actively managed investment groups of the Credit Suisse investment foundations as well as Credit Suisse Invest investment solutions. The EA unit class will be repositioned and renamed the FB unit class. The new definition is as follows: Class FB Units are capital growth units. The EAH unit class will be repositioned and renamed the FBH unit class. The definition is as follows: Class FBH units are capital growth units for which risk exposure in terms of investment currencies is hedged against CHF to the greatest possible extent where economically worthwhile. The ZA unit class will become the ZB unit class. The new definition is as follows: Class ZB units are capital growth units for which no management commission is charged. They may only be held by investors pursuant to Art. 10 paras. 3 4 CISA in conjunction with Art. 6 and Art. 6a CISO. Qualified investors within the meaning of Art. 10 para. 3 CISA are regulated financial intermediaries such as banks, securities dealers, and fund management companies of collective investment schemes, as well as central banks, regulated insurance companies, public-law entities and pension funds with a professional treasury unit, and companies with a professional treasury unit. Wealthy individuals who meet the conditions set out in this provision and in Art. 6 and Art. 6a CISO are deemed to be qualified investors pursuant to Art. 10 para. 3bis CISA. Qualified investors pursuant to Art. 10 para. 3ter CISA are defined as discretionary mandate clients subject to the requirements stated in this provision. A company or public-law entity or pension fund has a professional treasury unit if it entrusts at least one qualified person with experience in the financial sector with managing the financial resources on a permanent basis. The fund management company and the custodian bank shall ensure that the investors meet the investor eligibility requirements. The investors have signed an asset management or similar written agreement with the fund management company or with Credit Suisse AG, Zurich, or have invested through a financial intermediary that has signed a cooperation agreement with the fund management company or with Credit Suisse AG, Zurich. Purchases of class ZB units must be explicitly provided for in the asset management agreement, in a similar written agreement, or in the cooperation agreement. Compensation for the fund management company and for asset management is charged through the aforementioned agreements. Costs incurred by the management of Class ZB units are payable to the fund management company on the basis of a separate contractual agreement. The ZAH unit class will become the ZBH unit class. The new definition is as follows: Class ZBH units are capital growth units for which no management commission is charged and for which risk exposure in terms of investment currencies is hedged against CHF to the greatest possible extent where economically worthwhile. They may only be held by investors pursuant to Art. 10 paras. 3 4 CISA in conjunction with Art. 6 and Art. 6a CISO. Qualified investors within the meaning of Art. 10 para. 3 CISA are regulated financial intermediaries such as banks, securities dealers, and fund management companies of collective investment schemes, as well as central banks, regulated insurance companies, public-law entities and pension funds with a professional treasury unit, and companies with a professional treasury unit. Wealthy individuals who meet the conditions set out in this provision and in Art. 6 and Art. 6a CISO are deemed to be qualified investors pursuant to Art. 10 para. 3bis CISA. Qualified investors pursuant to Art. 10 para. 3ter CISA are defined as discretionary mandate clients subject to the requirements stated in this provision. A company or public-law entity or pension fund has a professional treasury unit if it entrusts at least one qualified person with experience in the financial sector with managing the financial resources on a permanent basis. The fund management company and the custodian bank shall ensure that the investors meet the investor eligibility requirements. The investors have signed an asset management or similar written agreement with the fund management company or with Credit Suisse AG, Zurich, or have invested through a financial intermediary that has signed a cooperation agreement with the fund management company or with Credit Suisse AG, Zurich. Purchases of class ZBH units must be explicitly provided for in the asset management agreement, in a similar written agreement, or in the cooperation agreement. Compensation for the fund management company and for asset management is charged through the aforementioned agreements. Costs incurred by the management of Class ZBH units are payable to the fund management company on the basis of a separate contractual agreement. c. Obligation to Publish Prices, Obligation to Issue and Redeem Units in Cash, Obligation to Prepare a Prospectus, the Key Investor Information Document (KIID) and a Semi-Annual Report The extension of investor eligibility means that the exemptions from the obligation to publish prices, to issue and redeem units in cash and to prepare a prospectus, the Key Investor Information Document (KIID) and a semi-annual report, granted by FINMA at the time of the launch of the umbrella fund, no longer apply; 1 prov. 5 of the fund contract will therefore be deleted. The following changes have been made in the fund contract: The fund management company now publishes issue and redemption prices and/or net asset values (with a note stating that commission is excluded) on the website. The fund management company is obliged to undertake the issuing and redemption of units in cash. Instead of an appendix to the fund contract, the fund management company will prepare and publish a prospectus. The information provided in the appendix will be taken over and presented in the prospectus, supplemented with additional information. The references to the appendix in the fund contract will be amended accordingly. In addition, the fund management company will prepare and publish the Key Investor Information Document for investors ( 24). Within two months of the end of the first half of the financial year, the fund management company will prepare and publish a semi-annual report ( 21). d. Fees and Incidental Costs Charged to the Assets of the Subfunds The need to prepare the additional documents mentioned under letter c above as a consequence of the extension of investor eligibility to non-qualified investors will mean that additional costs will be incurred for this purpose. 20 prov. 2 of the fund contract will therefore be amended as follows: The management fee does not necessarily include the following payments and ancillary costs incurred by the fund management company and the custodian bank, which may be charged directly to the subfund s assets: costs for the publication of the net asset value of the subfunds, as well as all costs for the issuing of notices to the investors, including translation costs, where such costs are not ascribed to an error on the part of the fund management company (new); cost of printing legal documents as well as the annual and semi-annual reports of the umbrella fund (new). Note 6: Amendments to the fund contract as of May 31, 2016 The Swiss Financial Market Supervisory Authority FINMA issued an order on May 23, 2016 approving the amendments to the fund contract proposed by the management company and the custodian bank. These amendments entered into force on May 31, 2016 and read as follows: I. Amendment of the Fund Contract Adjustments to the Revised Provisions of the Ordinance of the Swiss Financial Market Supervisory Authority on Collective Investment Schemes (CISO-FINMA), as well as to the Model Fund Contract for Securities Funds Published by the Swiss Funds & Asset Management Association SFAMA The fully revised CISO-FINMA entered into force effective January 1, In this context, the SFAMA s model fund contract for securities funds was also updated. The following amendments have been made in order to bring the contract into line with the fully revised CISO-FINMA and the new SFAMA model fund contract for securities funds. 10 Securities Lending In accordance with Art. 3(1) CISO-FINMA, prov. 3 has been changed to the effect that the fund management company shall conduct such securities lending transactions exclusively with first-class supervised borrowers and agents that specialize in these types of transactions, such as banks, brokers and insurance companies as well as authorized and recognized central counterparties and central securities depositories that can guarantee the proper execution of the transactions. 13

14 Credit Suisse Index Fund II (CH) Umbrella (previously Credit Suisse Institutional Fund II [CSIF II] Umbrella) Unaudited Semi-Annual Report as at August 31, 2016 In accordance with Art. 5(2) and Art. 6(1) CISO-FINMA, the length of the notice period has been reduced from ten to seven bank working days (prov. 4). Prov. 5 has been amended to the effect that the fund management company shall conclude an agreement with the borrower or intermediary whereby the latter shall pledge or transfer collateral to the fund management company for the purposes of guaranteeing restitution in accordance with Art. 51 CISO-FINMA. In accordance with Art. 7(4)(a) CISO-FINMA, the value of the collateral must be appropriate and at all times be equal to at least 100% of the market value of the loaned securities. The requirements applied to the collateral and its management and safekeeping in accordance with Arts. 51, 52 and 54 CISO-FINMA are now defined in prov. 5 as follows: The issuer of the collateral must have a high credit rating, and must not be the counterparty itself or a company belonging to, or otherwise dependent on, the corporate group of the counterparty. The collateral must be highly liquid, must be traded at a transparent price on an exchange or on another regulated market open to the public, and must be valued at least once a day on all trading days. When managing the collateral, the fund management company and its agents must fulfill the obligations and requirements set out under Art. 52 CISO-FINMA. In particular, they must ensure appropriate diversification of the collateral by country, market, and issuer; appropriate issuer diversification is deemed to have been achieved as long as the collateral of a single issuer does not correspond to more than 20% of the net asset value of a subfund. Exceptions for publicly guaranteed or publicly issued investments pursuant to Art. 83 CISO remain reserved. Furthermore, the fund management company and its agents must be able to demand, at any time, right and power of disposal with respect to the collateral received in the event of default on the part of the counterparty, and without the involvement or approval of the counterparty. The collateral received may be held by a supervised third-party depositary on the fund management company s behalf, provided the collateral s ownership is not transferred to the fund management company and the depositary is independent of the counterparty. In accordance with Art. 1(a) CISO-FINMA, prov. 6 makes it clear that the borrower or intermediary is liable for ensuring the prompt, unconditional payment of any income accruing during the lending period, as well as for the assertion of other proprietary rights and for the contractually agreed return of securities of the same type, quantity and quality. 12 Derivatives In the provision permitting the fund management company to use derivatives, the reference stating that such use is for the efficient management of the subfunds assets has been deleted. In addition, in accordance with Art. 24 of CISO-FINMA it is specified that the fund management company shall ensure that, even under extreme market circumstances, the financial effect of the use of derivatives does not result in a deviation from the investment objectives set out in the fund contract or change the investment character of the subfunds. Furthermore, the underlyings of the derivatives must be permitted as investments for the relevant subfunds according to the present fund contract (prov. 1). Based on a corresponding amendment of CISO-FINMA, the classification of the subfunds of the umbrella fund as simple funds has been dropped. For the assessment of risk, Commitment Approach I will still be applied. In accordance with Art. 34(1) CISO-FINMA, mention is made of the fact that, taking account of the cover required under this section ( 12), the use of derivatives does not result in a leverage effect on the subfunds assets, nor does it correspond to shortselling. The existing provision stating that the fund management company must always be able to meet the delivery and payment obligations entered into in respect of the derivatives from the assets of the relevant subfund, as stipulated by the legislation on collective investment schemes, has been deleted (prov. 2). Prov. 6 has been clarified to state that in the case of exposure-increasing derivatives, the underlying equivalents must at all times be covered by near-money assets in accordance with Art. 34 (5) CISO-FINMA. In addition, it is stipulated that in the case of futures, options, swaps and forwards, the underlying equivalent is calculated in accordance with Annex 1 to CISO-FINMA. In the new prov. 7, the authorized netting rules and hedging transactions pursuant to Art. 34(6) in conjunction with Art. 36(1), (2) and (4) CISO-FINMA, are replicated with the following wording: The fund management company must take into account the following rules when netting derivative positions: a) Opposite positions in derivatives relating to the same underlying as well as opposite positions in derivatives and investments relating to the same underlying may be netted, irrespective of the maturity date of the derivatives, provided that the derivative transaction was concluded with the sole purpose of eliminating the risks associated with the derivatives or investments acquired, no material risks are disregarded in the process, and the eligible amount of the derivatives is determined pursuant to Art. 35 CISO-FINMA. b) If the derivatives in hedging transactions do not relate to the same underlying as the asset that is to be hedged, in addition to the rules of lit. a above, any netting must also fulfill hedging prerequisites, i.e. derivatives transactions may not be based on an investment strategy designed to generate a profit. In addition, the derivative must lead to a demonstrable reduction of risk, the risks of the derivative must be balanced out, derivatives, underlyings or assets that are to be netted must relate to the same class of financial instruments, and the hedging strategy must be effective even under extraordinary market conditions. c) Derivatives that are used purely to hedge foreign currency risks and do not involve any leverage effect or additional market risks may be netted when calculating overall derivatives exposure, without being subject to the requirements of lit. b. d) Covered hedging transactions involving interest rate derivatives are permissible. Convertible bonds need not be taken into account when calculating the overall exposure to derivatives. In the context of OTC transactions, it is pointed out in accordance with Art. 30(2)(c) in conjunction with Art. 31(1) and (2) CISO-FINMA that the counterparty or its guarantor must have a high credit rating if the counterparty is not the custodian bank (new section 9 lit. a; previously section 8 lit. a). In accordance with Art. 30(4)-(6) CISO-FINMA, the new prov. 9 lit. c (previously prov. 8 lit. c) states the following in relation to the price of an OTC derivative and the conclusion of a contract concerning such a derivative: If no market price is available for an OTC-traded derivative, it must be possible to determine the price at any time using an appropriate valuation model that is recognized in practice, based on the market value of the underlying on which the derivative is based. Before concluding a contract for such a derivative, specific offers should in principle be obtained from at least two potential counterparties, following which the contract should be concluded with the counterparty providing the most favorable offer in terms of price. Deviations from this principle are permissible for reasons of risk diversification or if other aspects of the contract such as the credit rating or range of services offered by the counterparty make another offer appear more advantageous for investors overall. Moreover, in exceptional situations the requirement to obtain offers from at least two potential counterparties may be waived if this is deemed to be in the best interests of investors. The reasons for this, as well as the conclusion of the transaction and pricing shall be clearly documented. The new prov. 9 lit. d states that the fund management company and its agents may only accept collateral in the context of an OTC transaction if it meets the requirements set out under Art. 51 CISO-FINMA. In relation to the collateral requirements and to the management and safekeeping of collateral in accordance with Arts. 51, 52 and 54 CISO-FINMA, the description of the requirements set out above in relation to 10 Securities Lending is repeated verbatim in 10 prov Risk Diversification Prov. 5 has been clarified to state that claims arising from OTC transactions are not taken into account when calculating counterparty risk if they are secured by collateral in the form of liquid assets in accordance with Arts CISO-FINMA. Formal or Editorial Changes Other, formal changes have also been made which do not affect investors interests and have therefore not been published. Note 7: Adjustment of interim gains/stock earnings Adjusted interim gains/stock earnings have been published for the subfund CSIF II (CH) Gold Blue (previously CSIF II Gold Blue) for the period Investors taxable in Germany who have carried out purchases, sales, subscriptions, or withdrawals in the affected fund during this period can find information about the publication of adjusted tax figures at 14

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