Credit Suisse Nova (Lux) Unaudited Semi-Annual Report at

Transcription

1 Credit Suisse Nova (Lux) Investment Company with Variable Capital under Luxembourg law - R.C.S. Luxembourg B Unaudited Semi-Annual Report at

2 Table of Contents Page 2 Management and Administration 3 Combined Report 4 Notes 7 Report by Subfund Credit Suisse Nova (Lux) Commodity Plus 10 Credit Suisse Nova (Lux) Commodity Plus Capped Weights 15 Credit Suisse Nova (Lux) Commodity Plus Treasury Collateral 20 Credit Suisse Nova (Lux) CS GAINSSM ARCS Commodity Plus 24 Credit Suisse Nova (Lux) CS GAINSSM Commodity Plus 28 Credit Suisse Nova (Lux) European Senior Loan Fund 33 Credit Suisse Nova (Lux) Fixed Maturity Bond Fund Credit Suisse Nova (Lux) Fixed Maturity US Loan Fund Credit Suisse Nova (Lux) Global Senior Loan Fund 53 Credit Suisse Nova (Lux) Portfolio Premium I (previously Credit Suisse Nova (Lux) Mixed Portfolio Premium I) 66 Credit Suisse Nova (Lux) Supply Chain Finance High Income Fund 71 Unaudited information 75

3 Management and Administration Page 3 The Company Credit Suisse Nova (Lux) 5, rue Jean Monnet, L-2180 Luxembourg R.C.S. Luxembourg B Board of Directors 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, L-2182 Luxembourg AIFM Credit Suisse Fund Management S.A. 5, rue Jean Monnet, L-2180 Luxembourg R.C.S. Luxembourg B Board of Directors of the AIFM Luca Diener (until ) Managing Director, Credit Suisse AG, Zurich Gebhard Giselbrecht (since ) Managing Director, Credit Suisse Asset Management (Switzerland) Ltd., Zurich 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 Director, Credit Suisse Fund Services (Luxembourg) S.A., Luxembourg Auditor of the AIFM 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 Distributor Credit Suisse Fund Management S.A. 5, rue Jean Monnet, L-2180 Luxembourg Investment Managers Credit Suisse AG Paradeplatz 8, CH-8001 Zurich - Credit Suisse Nova (Lux) Portfolio Premium I (previously Credit Suisse Nova (Lux) Mixed Portfolio Premium I) - Credit Suisse Nova (Lux) Supply Chain Finance High Income (since ) Credit Suisse Asset Management LLC One Madison Avenue, New York, NY 10010, USA - Credit Suisse Nova (Lux) Commodity Plus - Credit Suisse Nova (Lux) Commodity Plus Capped Weights - Credit Suisse Nova (Lux) Commodity Plus Treasury Collateral - Credit Suisse Nova (Lux) CS GAINSSM ARCS Commodity Plus - Credit Suisse Nova (Lux) CS GAINSSM Commodity Plus - Credit Suisse Nova (Lux) Fixed Maturity US Loan Fund 2021 Credit Suisse Asset Management Limited One Cabot Square, London E14 4QJ, United Kingdom as Co-Investment Manager and Credit Suisse Asset Management LLC, New York, as Co-Investment Manager One Madison Avenue, New York, NY USA - Credit Suisse Nova (Lux) European Senior Loan Fund (since ) - Credit Suisse Nova (Lux) Global Senior Loan Fund Credit Suisse (Singapore) Limited One Raffles Link, #03#04-01, Singapore Credit Suisse Nova (Lux) Fixed Maturity Bond Fund 2019 Central Administration Credit Suisse Fund Services (Luxembourg) S.A. 5, rue Jean Monnet, L-2180 Luxembourg Representative in Switzerland Credit Suisse Funds AG, Zurich Uetlibergstrasse 231, CH-8070 Zürich Paying Agent in Switzerland Credit Suisse (Switzerland) Ltd. Paradeplatz 8, CH-8001 Zurich Distribution of Shares in Germany No notification pursuant to 323 of the German Capital Investment Code (Kapitalanlagegesetzbuch) has been filed for the following sub-funds and the shares in these sub-funds may not be marketed to investors in the Federal Republic of Germany: - Credit Suisse Nova (Lux) Commodity Plus Capped Weights - Credit Suisse Nova (Lux) Commodity Plus Treasury Collateral - Credit Suisse Nova (Lux) Fixed Maturity Bond Fund Credit Suisse Nova (Lux) Portfolio Premium I 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 SICAV. 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 SICAV is registered.

4 Combined Report Page 4 Statement of Net Assets in Assets Investments in securities at market value 10,595,893, Cash at banks and at brokers 851,099, Receivable for securities sold 122,247, Subscriptions receivable 27,324, Income receivable 51,224, Net unrealised gain on financial futures contracts 22,769, Net unrealised gain on forward foreign exchange contracts 2,920, ,673,479, Liabilities Due to banks and to brokers 16,197, Payable for securities purchased 515,607, Redemptions payable 2,733, Interest payable 1.27 Provisions for accrued expenses 6,737, Net unrealised loss on forward foreign exchange contracts 113,142, Other liabilities 3, ,422, Net assets 11,019,056,975.17

5 Combined Report Page 5 Statement of Operations Changes in Net Assets in For the period from to Net assets at the beginning of the period 11,580,440, Income Interest on investments in securities (net) 239,690, Dividends (net) 135, Bank interest 3,256, Securities lending income 88, Other income 45, ,216, Expenses Management fee 33,677, License fee 867, Custodian and safe custody fees 2,226, Administration expenses 2,317, Printing and publication expenses 277, Interest and bank charges 731, Audit, control, legal, representative bank and other expenses 439, "Taxe d'abonnement" 1,688, ,226, Net income (loss) 200,990, Realised gain (loss) Realised gain on sales of investments 73,825, Realised loss on sales of investments -33,326, Realised gain on financial futures contracts 81,203, Realised loss on financial futures contracts -53,057, Realised gain on forward foreign exchange contracts 128,108, Realised loss on forward foreign exchange contracts -175,095, Realised gain on foreign exchange 16,360, Realised loss on foreign exchange -14,859, ,157, Net realised gain (loss) 224,148,528.18

6 Combined Report Page 6 Statement of Operations Changes in Net Assets in (continued) For the period from to Change in net unrealised appreciation (depreciation) Change in unrealised appreciation on investments 103,347, Change in unrealised depreciation on investments -139,749, Change in unrealised appreciation on futures contracts 41,757, Change in unrealised depreciation on futures contracts -47,560, Change in unrealised appreciation on forward foreign exchange contracts 164,378, Change in unrealised depreciation on forward foreign exchange contracts -115,553, ,619, Net increase (decrease) in net assets as a result of operations 230,767, Subscriptions Redemptions Subscriptions 1,202,244, Redemptions -1,826,565, ,320, Distribution -88,396, Currency translation adjustment -79,434, Net assets at the end of the period 11,019,056,975.17

7 Notes Page 7 General Credit Suisse Nova (Lux) (the "Company") is a Luxembourg investment company with variable capital (SICAV), established on The Company has an umbrella structure and has been registered in Luxembourg as an Undertaking for Collective Investment under Part II of the amended law of and the law of on Alternative Investment Fund Managers («Law of 12 July 2013»). As of the Company had 11 Subfunds. Changes: As at , Credit Suisse Nova (Lux) Mixed Portfolio Premium I was renamed in Credit Suisse Nova (Lux) Portfolio Premium I. Credit Suisse Nova (Lux) European Senior Loan Fund was launched on Credit Suisse Nova (Lux) Supply Chain Finance High Income Fund was launched on Summary of significant accounting policies a) Presentation of financial statements The financial statements are presented in accordance with the requirements of the Luxembourg supervisory authorities. b) Computation of the net asset value of each Subfund The net asset value per share in each Subfund is calculated in the reference currency of the respective Subfund and is determined by the Company in Luxembourg on each day on which banks are normally open for business in Luxembourg for Credit Suisse Nova (Lux) Fixed Maturity Bond Fund 2019 and Credit Suisse Nova (Lux) Supply Chain Finance High Income Fund, and in Luxembourg and in New-York for Credit Suisse Nova (Lux) Commodity Plus, Credit Suisse Nova (Lux) Commodity Plus Capped Weights, Credit Suisse Nova (Lux) Commodity Plus Treasury Collateral, Credit Suisse Nova (Lux) CS GAINSSM ARCS Commodity Plus, Credit Suisse Nova (Lux) CS GAINSSM Commodity Plus, Credit Suisse Nova (Lux) Fixed Maturity US Loan Fund 2021 and for Credit Suisse Nova (Lux) Global Senior Loan Fund (each such day being referred to as a Day ). For Credit Suisse Nova (Lux) European Senior Loan Fund, Credit Suisse Nova (Lux) Fixed Maturity US Loan Fund 2021 and Credit Suisse Nova (Lux) Global Senior Loan Fund: the net asset value of the Subfund is determined daily for subscriptions and twice a month for redemptions, on the first and the fifteenth business day, by using the closing prices of the previous business day. Credit Suisse Nova (Lux) Portfolio Premium I (previously Credit Suisse Nova (Lux) Mixed Portfolio Premium I): the net asset value of the Subfund is determined once a month, by using the closing price of the last business day of the month, when banks are open for business in Luxembourg. The Investment Manager needs to undertake transactions in order to maintain the desired asset allocation as a result of subscriptions or redemptions, which may generate additional costs for the Subfund and its shareholders. As a consequence, in order to protect the existing investors interest, from these capital movements, when net capital movements exceed a threshold pre-defined by the Board of Directors, an adjustment of the NAV per share used is applied. This adjustment reflects the estimated tax and dealing costs that may be incurred by the Subfund as a result of these transactions, and the estimated bid-off spread of the assets in which the fund invests. A periodical review is undertaken in order to verify the appropriateness of the swing factor being applied. For the active Subfunds, the Net Asset Value calculated will be increased by up to a maximum of 2% per Share in the event of a net surplus of subscription applications or reduced by up to a maximum of 2% per Share in the event of a net surplus of redemption applications in respect of the applications received on the respective Day. The NAV per share as disclosed in the statistical information is the published NAV per share whereas the total net assets disclosed in the statement of net assets is the total net asset value excluding period end swing adjustment. 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 although a secondary market with regulated trading among securities dealers does exist (with the effect that the price is set on a market basis), the valuation may be based on this secondary market. Securities traded on a regulated market shall be valued in the same way as securities 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. Shares and units in UCITS andor UCIs shall be valued on the basis of their most recently calculated Net Asset Value, where necessary taking due account of the redemption fee. Where no Net Asset Value and only buy and sell prices are available, the shares or units in such UCITS andor UCIs may be valued at the mean of such buy and sell prices. The valuation price of a money-market investment, based on the net acquisition price, shall be progressively adjusted to the redemption price whilst 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. The valuation of Term Loans is based on prices provided by Markit. Markit loan pricing methodology is based at 99% on Composite prices. The remaining 1% are based on implied or modeled prices. A composite price is an average price based on marks received from various dealers. On daily basis the provider receives thousands of marks provided from over 55 global sell sides desks active in loan sales and trading. After the collection of the price data, a price cleansing based on different criteria s is performed. i.e. Invalid Price Check, Stale Price Check, Price Deviations Check, Price Quality Score Check. The prices are provided via an automated daily pricing feed. d) Cash at banks and at brokers Cash at banks and at brokers includes cash in hand, margin calls and deposits held at call with banks and bank overdrafts. e) Net realised gainloss on sales of investments of each Subfund The realised gains or losses on the sales of securities are calculated on the basis of the average acquisition cost. f) 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 assets and the value of portfolio securities in currencies other than 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 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. g) Transactions on investments in securities of each Subfund The transactions on investments in securities are booked on a trade date basis. h) Formation expenses of each Subfund Formation expenses are amortised on a straight-line basis over a period of five years. As per , no swing pricing was applied on the Subfunds. c) 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 traded price. If such a price is not

8 Notes Page 8 i) of financial futures contracts of each Subfund Unmatured financial futures contracts are valued at valuation date at market rates prevailing at this date and resulting unrealised gains or losses are posted to the Statement of Operations Changes in Net Assets and are shown under unrealised gainloss on financial future contracts in the statement of net assets. Realised gains or losses are also posted to the Statement of Operations Changes in Net Assets under "Net realised gain (loss) on financial futures contracts". j) 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 Changes in Net Assets and are shown under unrealised gainloss on forward foreign exchange contracts in the statement of net assets. Realised gains or losses are also posted to the Statement of Operations Changes in Net Assets under "Net realised gain (loss) on forward foreign exchange contracts". k) of swaps On each valuation day, swap agreements are valued at the net present value of the future cash flows, using the relevant interest rate yield curve on valuation day. For the valuation of excess return swaps, the relevant underlying is taken into account. The resulting unrealised gains or losses are shown under unrealised gainloss on swap contracts in the statement of net assets. l) Allocation of accrued 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 assets of each Subfund. m) 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. n) Income recognition Dividends are recorded on ex-dividend date, net of withholding tax. Interests are accrued on a daily basis. o) Other income Other income includes the delayed compensations paid by the Loan Agent when the settlement date of the loan is extended, and fees on promissory notes. p) License fees are payable to licensors of certain trademarks, service marks, or indices for Credit Suisse Nova (Lux) CS GAINSSM ARCS Commodity Plus and Credit Suisse Nova (Lux) CS GAINSSM Commodity Plus. Management fee (see detail at Subfund level) As remuneration for its services and reimbursement of its expenses, the AIFM is entitled to a monthly management fee, payable at the end of each month and calculated on basis of the average of the daily net asset value of each Subfund during the relevant month, from which are deducted fees paid by the Subfund for investment advice. The Investment Managers of Credit Suisse Nova (Lux) CS GAINSSM ARCS Commodity Plus, Credit Suisse Nova (Lux) European Senior Loan Fund and Credit Suisse Nova (Lux) Global Senior Loan Fund are entilted to a Performance fee (see details of its calculation in the Prospectus). Custodian Fee The Custodian receives from the Company such fees and commissions as are in accordance with usual practice in Luxembourg. They will be composed of a fee calculated as a percentage of the relevant Subfund's net assets. "Taxe d'abonnement" Under the prevailing laws and regulations, the Company is subject in Luxembourg, on the basis of its investments, to a "taxe d'abonnement" at the annual rate of 0.05%, payable quarterly and calculated on the basis of the net assets of each Subfund at the end of each quarter. In the case of Share Classes that may only be acquired by institutional investors, this annual tax rate is 0.01%. The portion of net assets, which is invested in other Undertakings for Collective Investment in Securities under Luxembourg law, is exempt from this tax. 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 assets. If a Subfund invests at least 10% of its net assets as a fund of fund in target funds, a composite TER of the fund of funds is to be calculated as follows. The prorated TER of the individual target funds including a performance related remuneration, weighted according to the share they represent in the overall assets of the fund of funds as of the closing date and the TER of the fund of funds minus the retroceded commissions received from the target funds during the reporting period. The TER is calculated following the SFAMA guideline. No TER is disclosed for share classes launched less than 6 months before closing date. Changes in the composition of the securities portfolio Changes in the composition of the securities portfolio during the reporting periodyear are available to Shareholders free of charge at the registered office of the Company or the local representatives in the countries where the Company is registered. Senior loans Senior loans are debt instruments that provide the lender a senior claim on the borrower s assets which take priority over unsecured loans and debt instruments. Some senior loans are not yet settled at period end, and represent 41 operations for Credit Suisse Nova (Lux) European Senior Loan Fund, 2 operations for Credit Suisse Nova (Lux) Fixed Maturity US Loan Fund 2021 and 76 operations for Credit Suisse Nova (Lux) Global Senior Loan Fund. Payable for securities purchased and receivable for securities sold in these Subfunds include those unsettled positions. Unfunded senior loans At period end, the Subfund Credit Suisse Nova (Lux) Fixed Maturity US Loan Fund 2021 held the following unfunded commitments: Description Unfunded commitment CCY NETS HOLDING AS B1E , NIDDA HEALTHCARE B , At period end, the Subfund Global Senior Loan Fund held the following unfunded commitments: Description Unfunded commitment CCY MITCHELLINTERNATIONAL , NIDDA HEALTHCARE B ,649, Exchange Rates The combined financial statements are kept in. For this purpose, the financial statements of the Subfunds are converted into at the foreign exchange rates as of : - 1 = Fund performance (see detail at Subfund level) The performance of the year Y is based on the Net Asset Values as calculated on the last business day of the calendar year Y respectively Y-1. Those Net Asset Values reflect the market prices of the investments as of the last business day of the calendar year Y-1 respectively Y. 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.

9 Notes Page 9 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 Nova (Lux) Fixed Maturity Bond Fund ,294,318 25,549,528 Credit Suisse Nova (Lux) Mixed Portfolio Premium I 2,471,769 2,599,477 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 period ended on , the fees paid to the principal and the Subfunds amounted to as follows: Expenses and commissions Gross amount securities from the securities lending Net Amount Subfund CCY lending counterparty Credit Suisse Nova (Lux) Fixed Maturity Bond Fund , , , Subfund CCY Amount Credit Suisse Nova (Lux) Commodity Plus 0.00 Credit Suisse Nova (Lux) Commodity Plus Capped Weights 0.00 Credit Suisse Nova (Lux) Commodity Plus Treasury Collateral 0.00 Credit Suisse Nova (Lux) CS GAINSSM ARCS Commodity Plus 0.00 Credit Suisse Nova (Lux) CS GAINSSM Commodity Plus 0.00 Credit Suisse Nova (Lux) European Senior Loan Fund 0.00 Credit Suisse Nova (Lux) Fixed Maturity Bond Fund Credit Suisse Nova (Lux) Fixed Maturity US Loan Fund Credit Suisse Nova (Lux) Global Senior Loan Fund 0.00 Credit Suisse Nova (Lux) Mixed Portfolio Premium I 1, Credit Suisse Nova (Lux) Supply Chain Finance High Income Fund Cross Subfunds investments The following investments were not eliminated from the combined figures. At , the total combined NAV of the Company excluding these investments amounted to 10,905,247, Credit Suisse Nova (Lux) CS GAINSSM Commodity Plus investing into: Credit Suisse Nova (Lux) CS GAINSSM ARCS Commodity Plus -B- Credit Suisse Nova (Lux) CS GAINSSM ARCS Commodity Plus -IB- Credit Suisse Nova (Lux) CS GAINSSM ARCS Commodity Plus -IP- Credit Suisse Nova (Lux) Global Senior Loan Fund investing into: (in ) 2,562, ,453, ,570, ,586, Credit Suisse Nova (Lux) Mixed Portfolio Premium I 9, , , Transaction costs Credit Suisse Nova (Lux) European Senior Loan Fund -DBH- (in ) 101,378, ,378, Transaction costs include brokerage fees, stamp duty, local taxes and other foreign charges if incurred during the year. Transaction fees are included in the cost of securities purchased and sold. Not all transaction costs are separately identifiable. For fixed income investments, forward foreign exchange contracts and for some other derivative contracts, transaction costs are included in the purchases and sale prices of the investments. Whilst not separately identifiable these transaction costs are captured within the performance of each Subfund. 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 of each Subfunds. 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. As at , in order to reduce the counterparty risk, the following Subfund has received the following assets as collateral from the following counterparty for an amount of: Subfund Type Counterparty Amount Credit Suisse Nova (Lux) European Senior Loan Fund Cash Morgan Stanley & Co. 2,240,000

10 Credit Suisse Nova (Lux) Commodity Plus Page 10 Technical Data and Notes Technical Data Valoren ISIN Management Fee Total Expense Ratio IB - Capitalisation LU % 0.57% IBH - Capitalisation LU % 0.57% IBH - Capitalisation JPY LU % Fund Performance YTD Since Inception IB - Capitalisation 1.56% 1.43% 13.52% % IBH - Capitalisation 0.47% -1.28% 11.41% % IBH - Capitalisation JPY % Notes Financial futures contracts Description Currency Quantity Engagement Counterparty Counterparty: Goldman Sachs International London (in ) ALUMINIUM HIGH GRADE Commodities ,397, , ALUMINIUM HIGH GRADE Commodities ,888, , BRENT CRUDE OIL Commodities ,647, , BRENT CRUDE OIL Commodities ,017, , BRENT CRUDE OIL Commodities ,403, ,255, CATTLE ALIVE Commodities ,875, , COFFEE Commodities ,466, , COPPER HIGH GRADE Commodities ,296, , CORN ,643, , COTTON Commodities ,599, , COTTON Commodities , GOLD - 1 OZ Commodities ,677, , LEAN HOGS Commodities ,809, , LIGHT SWEET CRUDE OIL Commodities ,193, ,355, LIGHT SWEET CRUDE OIL Commodities ,723, ,006, LIGHT SWEET CRUDE OIL Commodities ,659, ,794, NATURAL GAS Commodities ,644, , NICKEL Commodities ,206, , NICKEL Commodities ,295, , NY HARBOR RBOB Commodities ,949, , NY HARBOR ULSD Commodities ,931, , SILVER - 1 OZ ,155, , SILVER - 1 OZ Commodities ,214, , SOYABEAN ,638, , SOYABEAN FLOUR Commodities ,694, , SOYABEAN OIL Commodities ,464, , SUGAR NR. 11 Commodities ,935, , WHEAT Commodities ,968, , WHEAT HARD RED WINTER Commodities ,875, , ZINC HIGH GRADE Commodities ,095, , ZINC HIGH GRADE Commodities ,134, , Net unrealised gain on financial futures contracts 6,311,615.50

11 Credit Suisse Nova (Lux) Commodity Plus Page 11 Technical Data and Notes Forward foreign exchange contracts Purchases Counterparty 15,340,000-16,033, , JPMorgan Chase Bank (New York) 15,340,000-16,031, , GOLDMAN SACHS INTERNATIONAL LONDON 510, , , JPMorgan Chase Bank (New York) 481, , , JPMorgan Chase Bank (New York) Sales Net unrealised loss on forward foreign exchange contracts Maturity (in ) -1,018,993.53

12 Credit Suisse Nova (Lux) Commodity Plus Page 12 Statement of Net Assets in and Fund Evolution Assets Investments in securities at market value 179,925, Cash at banks and at brokers 4,771, Subscriptions receivable 153, Income receivable 157, Net unrealised gain on financial futures contracts 6,311, ,318, Liabilities Due to banks and to brokers 4,495, Provisions for accrued expenses 84, Net unrealised loss on forward foreign exchange contracts 1,018, ,598, Net assets 185,720, Fund Evolution Total net assets 185,720, ,600, ,388, Net asset value per share IB - Capitalisation IBH - Capitalisation IBH - Capitalisation JPY Number of shares outstanding at the end of the period at the beginning of the period Number of shares issued Number of shares redeemed IB - Capitalisation 212, , , IBH - Capitalisation 54, , IBH - Capitalisation JPY ,000 recorded under Cash at banks and at brokers are held as cash collateral with Goldman Sachs International London, and 480,000 with JP Morgan Chase Bank (New York).

13 Credit Suisse Nova (Lux) Commodity Plus Page 13 Statement of Operations Changes in Net Assets in For the period from to Net assets at the beginning of the period 170,600, Income Interest on investments in securities (net) 1,219, Bank interest 25, ,244, Expenses Management fee 355, Custodian and safe custody fees 35, Administration expenses 44, Printing and publication expenses 4, Interest and bank charges 2, Audit, control, legal, representative bank and other expenses 20, "Taxe d'abonnement" 46, , Net income (loss) 734, Realised gain (loss) Realised gain on sales of investments 134, Realised loss on sales of investments -123, Realised gain on financial futures contracts 22,291, Realised loss on financial futures contracts -14,269, Realised gain on forward foreign exchange contracts 1,706, Realised loss on forward foreign exchange contracts -1,396, Realised gain on foreign exchange 474, Realised loss on foreign exchange -380, ,436, Net realised gain (loss) 9,171, Change in net unrealised appreciation (depreciation) Change in unrealised appreciation on investments 129, Change in unrealised depreciation on investments -206, Change in unrealised appreciation on futures contracts 12,477, Change in unrealised depreciation on futures contracts -13,992, Change in unrealised appreciation on forward foreign exchange contracts 332, Change in unrealised depreciation on forward foreign exchange contracts -1,024, ,284, Net increase (decrease) in net assets as a result of operations 6,886, Subscriptions Redemptions Subscriptions 8,951, Redemptions -718, ,233, Net assets at the end of the period 185,720,000.73

14 Credit Suisse Nova (Lux) Commodity Plus Page 14 Statement of Investments in Securities Breakdown by Country USA Total Statement of Investments in Securities Description Quantity Nominal Securities listed on a stock exchange or other organised markets: Bonds (in ) % of net assets Breakdown by Economic Sector Countries and central governments Banks and other credit institutions Mortgage and funding institutions (MBA, ABS) Total Bonds FANNIE MAE FRN ,400,000 3,396, FANNIE MAE FRN ,400,000 9,401, FANNIE MAE FRN ,900,000 4,894, FANNIE MAE ,900,000 5,894, FEDERAL FARM CREDIT BANK FRN18-3,800,000 3,806, FEDERAL FARM CREDIT BANKS FRN 16-3,200,000 3,207, FEDERAL FARM CREDIT BANKS FRN 16-3,400,000 3,398, FEDERAL FARM CREDIT BANKS FRN 16-3,700,000 3,703, FEDERAL FARM CREDIT BANKS FRN 17-1,600,000 1,602, FEDERAL FARM CREDIT BANKS FRN 17-2,400,000 2,398, FEDERAL FARM CREDIT BANKS FRN 17-4,000,000 4,004, FEDERAL FARM CREDIT BANKS FRN 18-1,000,000 1,001, FEDERAL HOME LOAN BANK frn ,700,000 3,698, FEDERAL HOME LOAN BANK SYSTEM FHLB 6,800,000 6,822, FRN FEDERAL HOME LOAN BANK SYSTEM FHLB 2,700,000 2,698, FRN FEDERAL HOME LOAN BANK SYSTEM (FHLB) 3,100,000 3,109, S. IU-9020 FRN FEDERAL HOME LOAN BANK SYSTEM FRN 16-4,200,000 4,202, FEDERAL HOME LOAN BANK 1.55%17-4,100,000 4,049, FFCB FRN ,500,000 2,488, FFCB FRN ,200,000 2,206, FFCB FRN ,800,000 5,799, FREDDIE MAC FRN ,200,000 2,202, FREDDIE MAC FRN ,600,000 14,587, FREDDIE MAC FRN ,600,000 9,589, US S. H % ,500,000 6,453, US TREASURY FRN S. -BA FRN18-13,700,000 13,701, US TREASURY NB 1.375% ,000,000 2,963, US TREASURY S. -AW FRN 17-6,000,000 6,009, US TREASURY S. -AW FRN 18-5,400,000 5,398, US TREASURY S. -BA FRN 17-6,500,000 6,507, US TREASURY S. -BE FRN 17-7,900,000 7,910, US TREASURY S. -BJ FRN ,600,000 3,604, US TREASURY S. -BJ FRN ,200,000 13,210, Bonds 173,926, Money Market Instruments TREASURY BILL 0% ,000,000 5,999, Money Market Instruments 5,999, Securities listed on a stock exchange or other organised markets: Bonds 179,925, Total of Portfolio 179,925, Cash at banks and at brokers 4,771, Due to banks and to brokers -4,495, Other net assets 5,519, Total net assets 185,720, Any differences in the percentage of Net Assets are the result of roundings.

15 Credit Suisse Nova (Lux) Commodity Plus Capped Weights Page 15 Technical Data and Notes Technical Data Valoren ISIN Management Fee Total Expense Ratio MBH - Capitalisation LU % 0.58% Fund Performance YTD Since Inception 2017 MBH - Capitalisation 2.48% -1.73% 2.10% 8.87% 2016 Notes Financial futures contracts Description Currency Quantity Engagement Counterparty Counterparty: Goldman Sachs International London Some financial futures contracts have a quantity of 0.00 because they have contracts with the same long and short quantity. (in ) ALUMINIUM HIGH GRADE Commodities ,491, , ALUMINIUM HIGH GRADE Commodities ,596, , BRENT CRUDE OIL Commodities ,738, , BRENT CRUDE OIL Commodities ,953, , CATTLE ALIVE Commodities ,220, , CATTLE FEEDER Commodities ,827, , COCOA Commodities , , COFFEE Commodities ,243, , COPPER GRADE A Commodities , COPPER GRADE A Commodities ,144, , COPPER GRADE A Commodities CORN ,594, , COTTON Commodities ,389, , COTTON Commodities , GASOIL LOW SULPHUR Commodities ,886, , GASOIL LOW SULPHUR Commodities ,225, , GOLD - 1 OZ Commodities ,155, , LEAD Commodities , LEAD Commodities ,217, , LEAD Commodities , LEAN HOGS Commodities ,315, , LIGHT SWEET CRUDE OIL Commodities ,982, , LIGHT SWEET CRUDE OIL Commodities ,456, ,526, NATURAL GAS Commodities ,752, , NICKEL Commodities , , NICKEL Commodities , , NY HARBOR RBOB Commodities ,042, , NY HARBOR ULSD Commodities ,527, , SILVER - 1 OZ , , SILVER - 1 OZ Commodities , SOYABEAN ,347, , SUGAR NR. 11 Commodities ,276, , WHEAT Commodities ,849, , WHEAT HARD RED WINTER Commodities ,908, , ZINC HIGH GRADE Commodities , , ZINC HIGH GRADE Commodities ,560, , Net unrealised gain on financial futures contracts 3,956,890.74

16 Credit Suisse Nova (Lux) Commodity Plus Capped Weights Page 16 Technical Data and Notes Forward foreign exchange contracts Purchases Counterparty 41,710,000-51,765, ,286, GOLDMAN SACHS INTERNATIONAL LONDON 41,710,000-51,779, ,300, JPMorgan Chase Bank (New York) 1,427,000-1,770, , GOLDMAN SACHS INTERNATIONAL LONDON 675, , , JPMorgan Chase Bank (New York) Sales Net unrealised loss on forward foreign exchange contracts Maturity (in ) -2,622,023.42

17 Credit Suisse Nova (Lux) Commodity Plus Capped Weights Page 17 Statement of Net Assets in and Fund Evolution Assets Investments in securities at market value 98,600, Cash at banks and at brokers 5,973, Income receivable 47, Net unrealised gain on financial futures contracts 3,956, ,578, Liabilities Due to banks and to brokers 3,121, Provisions for accrued expenses 47, Net unrealised loss on forward foreign exchange contracts 2,622, ,791, Net assets 102,787, Fund Evolution Total net assets 102,787, ,777, ,164, Net asset value per share MBH - Capitalisation Number of shares outstanding at the end of the period at the beginning of the period Number of shares issued Number of shares redeemed MBH - Capitalisation 86, , ,790,000 recorded under Cash at banks and at brokers are held as cash collateral with Goldman Sachs International London, and 1,150,000 with JP Morgan Chase Bank (New York).

18 Credit Suisse Nova (Lux) Commodity Plus Capped Weights Page 18 Statement of Operations Changes in Net Assets in For the period from to Net assets at the beginning of the period 93,777, Income Interest on investments in securities (net) 716, Bank interest 23, , Expenses Management fee 222, Custodian and safe custody fees 19, Administration expenses 24, Printing and publication expenses 2, Interest and bank charges 2, Audit, control, legal, representative bank and other expenses 11, "Taxe d'abonnement" 5, , Net income (loss) 450, Realised gain (loss) Realised gain on sales of investments 50, Realised loss on sales of investments -88, Realised gain on financial futures contracts 16,339, Realised loss on financial futures contracts -8,731, Realised gain on forward foreign exchange contracts 6,458, Realised loss on forward foreign exchange contracts -404, Realised gain on foreign exchange 477, Realised loss on foreign exchange -2,516, ,584, Net realised gain (loss) 12,035, Change in net unrealised appreciation (depreciation) Change in unrealised appreciation on investments 70, Change in unrealised depreciation on investments -43, Change in unrealised appreciation on futures contracts 6,641, Change in unrealised depreciation on futures contracts -7,821, Change in unrealised appreciation on forward foreign exchange contracts 757, Change in unrealised depreciation on forward foreign exchange contracts -2,630, ,025, Net increase (decrease) in net assets as a result of operations 9,009, Subscriptions Redemptions Subscriptions 0.00 Redemptions Net assets at the end of the period 102,787,092.22

19 Credit Suisse Nova (Lux) Commodity Plus Capped Weights Page 19 Statement of Investments in Securities Breakdown by Country USA Total Statement of Investments in Securities Description Quantity Nominal Securities listed on a stock exchange or other organised markets: Bonds (in ) % of net assets Breakdown by Economic Sector Countries and central governments Total Bonds US S. H % ,900,000 3,871, US S. P % ,700,000 6,687, US S % ,800,000 3,795, US TREASURY FRN S. -BA FRN18-2,500,000 2,500, US TREASURY NB 1.375% ,700,000 1,679, US TREASURY S. -AW FRN 17-8,100,000 8,112, US TREASURY S. -AW FRN 18-13,100,000 13,097, US TREASURY S. -BA FRN 17-15,500,000 15,518, US TREASURY S. -BE FRN 16-3,600,000 3,602, US TREASURY S. -BE FRN 17-13,700,000 13,717, US TREASURY S. -BJ FRN ,000,000 5,005, US TREASURY S. -BJ FRN ,800,000 15,812, Bonds 93,401, Money Market Instruments TREASURY BILL 0% ,200,000 5,199, Money Market Instruments 5,199, Securities listed on a stock exchange or other organised markets: Bonds 98,600, Total of Portfolio 98,600, Cash at banks and at brokers 5,973, Due to banks and to brokers -3,121, Other net assets 1,334, Total net assets 102,787, Any differences in the percentage of Net Assets are the result of roundings.

20 Credit Suisse Nova (Lux) Commodity Plus Treasury Collateral Page 20 Technical Data and Notes Technical Data Valoren ISIN Management Fee Total Expense Ratio MB - Capitalisation LU % 0.57% Fund Performance YTD Since Inception MB - Capitalisation 1.76% 1.40% 13.82% % Notes Financial futures contracts Description Currency Quantity Engagement Counterparty Counterparty: Goldman Sachs International London Some financial futures contracts have a quantity of 0.00 because they have contracts with the same long and short quantity. (in ) ALUMINIUM HIGH GRADE Commodities ,095, , ALUMINIUM HIGH GRADE Commodities ,090, , BRENT CRUDE OIL Commodities ,033, , BRENT CRUDE OIL Commodities ,913, , BRENT CRUDE OIL Commodities ,457, , CATTLE ALIVE Commodities ,328, , COFFEE Commodities ,809, , COPPER HIGH GRADE Commodities ,608, , CORN ,794, , COTTON Commodities ,592, , COTTON Commodities , GOLD - 1 OZ Commodities ,381, , LEAN HOGS Commodities ,384, , LIGHT SWEET CRUDE OIL Commodities ,776, ,470, NATURAL GAS Commodities ,100, , NICKEL Commodities ,389, , NICKEL Commodities ,059, , NY HARBOR RBOB Commodities ,912, , NY HARBOR ULSD Commodities ,320, , SILVER - 1 OZ ,576, , SILVER - 1 OZ Commodities ,394, , SOYABEAN ,182, , SOYABEAN FLOUR Commodities ,134, , SOYABEAN OIL Commodities ,719, , SUGAR NR. 11 Commodities ,066, , WHEAT Commodities ,237, , WHEAT HARD RED WINTER Commodities ,773, , ZINC HIGH GRADE Commodities , , ZINC HIGH GRADE Commodities ,652, , Net unrealised gain on financial futures contracts 3,953,862.93

21 Credit Suisse Nova (Lux) Commodity Plus Treasury Collateral Page 21 Statement of Net Assets in and Fund Evolution Assets Investments in securities at market value 111,902, Cash at banks and at brokers 2,366, Income receivable 48, Net unrealised gain on financial futures contracts 3,953, ,270, Liabilities Due to banks and to brokers 2,776, Provisions for accrued expenses 52, ,829, Net assets 115,441, Fund Evolution Total net assets 115,441, ,719, ,226, Net asset value per share MB - Capitalisation Number of shares outstanding at the end of the period at the beginning of the period Number of shares issued Number of shares redeemed MB - Capitalisation 182, ,

22 Credit Suisse Nova (Lux) Commodity Plus Treasury Collateral Page 22 Statement of Operations Changes in Net Assets in For the period from to Net assets at the beginning of the period 110,719, Income Interest on investments in securities (net) 819, Bank interest 20, , Expenses Management fee 251, Custodian and safe custody fees 22, Administration expenses 27, Printing and publication expenses 2, Interest and bank charges 3.05 Audit, control, legal, representative bank and other expenses 11, "Taxe d'abonnement" 5, , Net income (loss) 517, Realised gain (loss) Realised gain on sales of investments 53, Realised loss on sales of investments -89, Realised gain on financial futures contracts 12,629, Realised loss on financial futures contracts -7,132, Realised gain on foreign exchange ,461, Net realised gain (loss) 5,978, Change in net unrealised appreciation (depreciation) Change in unrealised appreciation on investments 75, Change in unrealised depreciation on investments -55, Change in unrealised appreciation on futures contracts 6,978, Change in unrealised depreciation on futures contracts -8,256, ,257, Net increase (decrease) in net assets as a result of operations 4,721, Subscriptions Redemptions Subscriptions 0.00 Redemptions Net assets at the end of the period 115,441,606.72