Credit Suisse Solutions (Lux)

Transcription

1 Credit Suisse Solutions (Lux) Audited Annual Report for the period from (date of incorporation) to Investment Company with Variable Capital under Luxembourg law

2 Table of Contents Page 2 Independent Auditor's Report 3 Management and Administration 4 Consolidated Report 5 Report by Subfund Credit Suisse Solutions (Lux) Best of Inflation and Equity Opportunity 9 Credit Suisse Solutions (Lux) CS Tremont AllHedge Index 12

3 Independent Auditor's Report Page 3 To the Shareholders of Credit Suisse Solutions (Lux) PricewaterhouseCoopers Société à responsabilité limitée Réviseur d'entreprises 400, route d Esch B.P L-1014 Luxembourg Telephone Facsimile info@lu.pwc.com We have audited the accompanying financial statements of Credit Suisse Solutions (Lux) and of each of its Subfunds, which comprise the statement of net assets and the statement of investments in securities and other net assets as at and the statement of operations and changes in net assets for the period from (date of incorporation) to , and a summary of significant accounting policies and other explanatory notes to the financial statements. Board of Directors of the SICAV s responsibility for the financial statements The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. This responsibility includes: designing, implementing and maintaining internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error; selecting and applying appropriate accounting policies; and making accounting estimates that are reasonable in the circumstances. Other matters Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole. PricewaterhouseCoopers S.à r.l. Luxembourg, March 11, 2009 Réviseur d entreprises Represented by Jean-Robert Lentz Auditor s responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted by the Institut des Réviseurs d Entreprises. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the Auditor s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the Auditor considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, these financial statements give a true and fair view of the financial position of Credit Suisse Solutions (Lux) and of each of its Subfunds as of , and of the results of their operations and changes in their net assets for the period from (date of incorporation) to in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. R.C.S. Luxembourg B TVA LU

4 Management and Administration Page 4 Company Credit Suisse Solutions (Lux) 5, rue Jean Monnet, L-2180 Luxembourg R.C.S. Luxembourg B Board of Directors of the Company Lawrence D. Haber, Chairman of the Board (until ) Managing Director, Chief Operating Officer, Asset Management, Credit Suisse, Zurich Raymond Melchers, Member of the Board Credit Suisse Asset Management Fund Service (Luxembourg) S.A., Luxembourg Luca Diener, Member of the Board Managing Director, Credit Suisse, Zurich Germain Trichies, Member of the Board Director, Credit Suisse Asset Management Fund Service (Luxembourg) S.A., Luxembourg Guy Reiter, Member of the Board Director, Credit Suisse Asset Management Fund Service (Luxembourg) S.A., Luxembourg Independent Auditor of the Company PricewaterhouseCoopers S.à r.l. Réviseur d entreprises 400, route d'esch, L-1471 Luxembourg Management Company Credit Suisse Fund Management S.A. 5, rue Jean Monnet, L-2180 Luxembourg R.C.S. Luxembourg B Board of Directors of the Management Company Lawrence D. Haber, Chairman of the Board (until ) Managing Director, Chief Operating Officer, Asset Management, Credit Suisse, Zurich Raymond Melchers, Member of the Board Credit Suisse Asset Management Fund Service (Luxembourg) S.A., Luxembourg Luca Diener, Member of the Board Managing Director, Credit Suisse, Zurich Germain Trichies, Member of the Board Director, Credit Suisse Asset Management Fund Service (Luxembourg) S.A., Luxembourg Paying and Information Agent in Germany Deutsche Bank AG Taunusanlage 12, D Frankfurt/Main Additional Information Agent in Germany Credit Suisse (Deutschland) AG Junghofstrasse 16, D Frankfurt/Main Paying Agent in Austria UniCredit Bank Austria AG Schottengasse 6-8, A-1010 Vienna Paying Agent in the Principality of Liechtenstein LGT Bank in Liechtenstein Aktiengesellschaft Herrengasse 12, FL-9490 Vaduz Custodian Bank Credit Suisse (Luxembourg) S.A. 56, Grand-Rue, L-1660 Luxembourg Distribution Agents Credit Suisse Paradeplatz 8, CH-8001 Zurich Credit Suisse Asset Management Fund Service (Luxembourg) S.A. 5, rue Jean Monnet, L-2180 Luxembourg Investment Advisers Credit Suisse Alternative Capital Inc. Eleven Madison Avenue, 13 th floor, NY New York - Credit Suisse Solutions (Lux) CS Tremont AllHedge Index Credit Suisse Paradeplatz 8, CH-8001 Zurich - Credit Suisse Solutions (Lux) Best of Inflation and Equity Opportunity Central Administration Credit Suisse Asset Management Fund Service (Luxembourg) S.A. 5, rue Jean Monnet, L-2180 Luxembourg Guy Reiter, Member of the Board Director, Credit Suisse Asset Management Fund Service (Luxembourg) S.A., Luxembourg Independent Auditor of the Management Company KPMG Audit S.à r.l. 9, Allée Scheffer, L-2520 Luxembourg Representative in Switzerland Credit Suisse Asset Management Funds AG Sihlcity - Kalandergasse 4, CH-8045 Zurich Paying Agent in Switzerland Credit Suisse Paradeplatz 8, CH-8001 Zurich No subscription may be accepted on the basis of the financial reports. Subscriptions are accepted only on the basis of the current sales prospectus accompanied by the simplified Prospectus, the latest annual report and the latest semi-annual report. The issue and redemption prices are published in Luxembourg at the registered office of the Management Company. The net asset value is also published daily on the Internet and in different newspapers. Shareholders may obtain the Sales Prospectus, the simplified Prospectus, 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 Incorporation free of charge from the registered office of the Management Company, the Representative in Switzerland, the local representatives in the countries where the Fund is registered or the Paying and Information Agent in Germany.

5 Consolidated Report Page 5 Statement of Net Assets in Assets Investments in securities at market value 7,436, Cash at banks 33,842, Receivable for securities sold 149, Subscriptions receivable 192, Income receivable 12, Formation expenses 458, Other assets 64,021, ,114, Liabilities Redemptions payable 1,292, Provisions for accrued expenses 111, Other liabilities 7,874, ,278, Net assets 96,836, The notes are an integral part of the financial statements.

6 Consolidated Report Page 6 Statement of Operations in For the period from to Income Bank interest 44, Other income 1,625, ,669, Expenses Management fee 333, Custodian and safe custody fees 9, Printing and publication expenses 4, Audit, control, legal, representative bank and other expenses 10, "Taxe d'abonnement" 30, Amortisation of formation expenses 50, , Net income (loss) 1,231, Realised gain (loss) Net realised gain (loss) on sales of investments -827, Net realised gain (loss) on swaps contracts -7,568, Net realised gain (loss) on forward foreign exchange contracts -8,913, ,309, Net realised gain (loss) -16,078, Change in net unrealised appreciation (depreciation) Change in net unrealised appreciation (depreciation) on investments -1,887, Change in net unrealised appreciation (depreciation) on swaps contracts -17,974, Change in net unrealised appreciation (depreciation) on forward foreign exchange contracts -7,853, ,716, Net increase (decrease) in net assets as a result of operations -43,794, Subscriptions / Redemptions Subscriptions 198,844, Redemptions -58,214, ,630, The notes are an integral part of the financial statements.

7 Consolidated Report Page 7 Notes General Credit Suisse Solutions (Lux) (the "Company") was established on as an open-ended investment fund in the legal form of an investment company with variable capital (Société d Investissement à Capital Variable, SICAV) in accordance with Part I of the Luxembourg Law dated relating to undertakings for collective investment ( Law of 20 December 2002 ). As of the Company had 2 Subfunds. Changes: - Credit Suisse Solutions (Lux) CS Tremont AllHedge Index -B-: the 1st NAV has been calculated on Credit Suisse Solutions (Lux) CS Tremont AllHedge Index -I-: the 1st NAV has been calculated on Credit Suisse Solutions (Lux) CS Tremont AllHedge Index -R- CHF: the 1st NAV has been calculated on Credit Suisse Solutions (Lux) CS Tremont AllHedge Index -R- : the 1st NAV has been calculated on Credit Suisse Solutions (Lux) CS Tremont AllHedge Index -S- : the 1st NAV has been calculated on Credit Suisse Solutions (Lux) CS Tremont AllHedge Index -R- GBP: the 1st NAV has been calculated on Credit Suisse Solutions (Lux) CS Tremont AllHedge Index -R- HUF: the 1st NAV has been calculated on Credit Suisse Solutions (Lux) Best of Inflation and Equity Opportunity -A-: the 1st NAV has been calculated 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 Credit Suisse Solutions (Lux) CS Tremont AllHedge Index: The Valuation Day is defined as being every Thursday which is a banking day in London and Luxembourg. If such a day is a holiday in London or Luxembourg, the Valuation Day will be the next following business day. If London and/or New York are closed on any business day between the Dealing Day (inclusive) and the Valuation Day (exclusive), the calculation of the Net Asset Value per share shall be deferred without undue delay until information required for the valuation shall be normally available. If on any Valuation Day the aggregate transactions in shares of the relevant Subfund results in a net increase or decrease of shares which exceeds a threshold set by the Company s Board of Directors from time to time for the relevant Subfund, the net asset value of the relevant Subfund will be adjusted by an amount of respectively 0.50% in case of a net increase of shares and 1.50% in case of a net decrease of shares which reflects both the dealing costs that may be incurred by the Subfunds and the estimated bid/offer spread of (i) the assets in which the relevant Subfund invests and (ii) the constituents of the relevant Underlying Index. In the event that on any calendar quarter the aggregate net redemption orders (incl. aggregated net subscriptions over the quarter) do exceed 10% of the net asset value of the initial total net assets of the relevant Subfund as of the beginning of the relevant calendar quarter, the net asset value of the relevant Subfund will be decreased by an amount of 3% on the relevant Valuation Day (instead of 1.5% as referred above). In the event that on any calendar quarter the aggregate net redemption orders (incl. aggregated net subscriptions over the quarter) do exceed 20% of the net asset value of the initial total net assets of the relevant Subfund as of the beginning of the relevant calendar quarter, the net asset value of the relevant Subfund may be determined on the basis of bid prices (instead of the above fixed percentages). Resulting income are disclosed under other income. Credit Suisse Solutions (Lux) Best of Inflation and Equity Opportunity: Valuation Days will be on each week, i.e. every Wednesday which is a banking day in Luxembourg it being understood that: - if such a day is a holiday in Luxembourg, the Valuation Day will be the next following business day; and, - if London and/or Milan are closed on any business day between the Dealing Day (inclusive) and the Valuation Day (exclusive), the calculation of the Net Asset Value per share shall be deferred without undue delay until information required for the valuation shall be normally available. The financial statements reflect the net asset values as calculated on c) Valuation of investment securities of each Subfund Securities which are listed or regularly traded on a stock exchange shall be valued at the last available purchase price. If such a price is not available for a particular trading day, but a closing mid-price (the mean of the closing bid and ask prices) or a closing bid price is available, the closing mid-price, 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 the security is chiefly traded. In the case of securities for which trading on a stock exchange is not significant whereas 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 neither listed on a stock exchange nor 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. The valuation price of a money market instrument shall be progressively adjusted to the redemption price, based on the net acquisition price and keeping the resultant investment yield 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. If a valuation in accordance with the above rules is rendered impossible or incorrect owing to special or changed circumstances, then the Company s Board of Directors shall be entitled to use other generally recognized and auditable valuation principles in order to value the Subfund s assets. In exceptional circumstances, further valuations may be carried out on the same day; such valuations will be valid for any applications for purchase and/or redemption subsequently received. d) Net realised gain/loss 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. e) Foreign exchange conversion The financial statements are kept in reference currency of each Subfund and the consolidated 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. f) Transactions on investments in securities of each Subfund The transactions on investments in securities are booked on a trade date basis. g) Formation expenses of each Subfund Formation expenses are amortised on a straight-line basis over a period of five years.

8 Consolidated Report Page 8 Notes h) Valuation 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. i) Valuation of financial futures contracts of each Subfund Unmatured financial futures contracts are valued at valuation date at market prices prevailing at this date and resulting unrealised gains or losses are posted to the statement of operations. j) Allocation of accrued expenses Accrued expenses which can be allocated directly to a Subfund are charged to this Subfund. Accrued expenses which cannot be allocated directly are divided among the Subfunds in proportion to the net assets of each Subfund. Fund performance (see detail at Subfund level) The performance of the year Y is based on the net asset values as calculated on the first business day of the year Y respectively Y+1. Those net asset values reflect the market prices of the investments as of the last business day of the year Y-1 respectively Y. The YTD (year-to-date) Performance includes the period from until Historical performance is no indicator of current or future performance. The performance data given does not take into account commissions and costs incurred in the purchase or redemption of Company s shares. Management fee (see detail at Subfund level) As remuneration for its services and reimbursement of its expenses, the Management Company is entitled to a yearly management fee, payable at the end of each month and calculated on the basis of the average of the daily net asset value of each portfolio during the relevant month. Actually no fees are charged for Credit Suisse Solutions (Lux) Best of Inflation and Equity Opportunity. "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. 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 Company s assets, taken retrospectively as a percentage of these assets. Actually no fees are charged for Credit Suisse Solutions (Lux) Best of Inflation and Equity Opportunity. Portfolio Turnover Rate (PTR) (see detail at fund level) The PTR is used as the indicator for the Company s trading activities (excluding purchases and sales resulting from subscriptions and buybacks) and is expressed as a percentage of the average net assets of the Company during the preceding twelve-month period. The PTR is calculated following the SFA guideline. Changes in the composition of the securities portfolio Changes in the composition of the securities portfolio during the reporting period are available to shareholders free of charge at the registered office of the Management Company or the local representatives in the countries where the Company is registered. Exchange Rates The consolidated 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 =

9 Credit Suisse Solutions (Lux) Best of Inflation and Equity Opportunity Page 9 Manager's Report, Technical Data and Notes Manager's Report Since the Subfund just started, no investments have been made yet. All subscriptions have been held on current account. So market developments had no influence yet on the Subfund performance. The Subfund will deliver the returns as defined in the prospectus going forward. Given the Subfund structure the discretion of the Subfund manager is very limited. Important factors for the performance going forward will be the developement of the Italian Stock Market, the level of inflation, interest rates and volatilities for both stocks and interest rates. (The information stated relates to the period under review and is not indicative of future returns.) Technical Data Valoren ISIN Management Fee Total Expense Ratio A - Distribution LU % / Credit Suisse Solutions (Lux) Best of Inflation and Equity Opportunity -A-: the 1st NAV has been calculated on Fund Performance YTD Since Inception A - Distribution / 0.14%

10 Credit Suisse Solutions (Lux) Best of Inflation and Equity Opportunity Page 10 Statement of Net Assets in and Fund Evolution Assets Cash at banks 23,950, Income receivable 9, ,960, Net assets 23,960, Fund Evolution Total net assets Net asset value per share A - Distribution 23,960, Number of shares outstanding at the end of the period at the beginning of the period Number of shares issued Number of shares redeemed A - Distribution 239, , The notes are an integral part of the financial statements.

11 Credit Suisse Solutions (Lux) Best of Inflation and Equity Opportunity Page 11 Statement of Operations / Changes in Net Assets in For the period from to Net assets at the beginning of the period 0.00 Income Bank interest 9, , Net income (loss) 9, Net realised gain (loss) 9, Net increase (decrease) in net assets as a result of operations 9, Subscriptions / Redemptions Subscriptions 23,950, Redemptions ,950, Net assets at the end of the period 23,960, The notes are an integral part of the financial statements.

12 Credit Suisse Solutions (Lux) CS Tremont AllHedge Index Page 12 Manager's Report, Technical Data and Notes Manager's Report A number of extraordinary market events occurred in The combination of these events has led to extreme market volatility and extraordinary government intervention, both of which have affected the hedge fund industry and prompted the de-leveraging of hedge fund portfolios. The current credit crisis accelerated with the failure of Lehman Brothers on September 15th and was followed shortly thereafter with the emergency rescue of AIG. One of these events alone may have resulted in a major market impact on hedge funds, but the combination of these events has exacerbated the market stress. Performance of the Credit Suisse Solutions (Lux) CS Tremont AllHedge Index ( the Subfund ) reflects the volatility experienced in both hedge funds and broad financial markets in general. The objective of the Subfund is to achieve a similar performance to the Credit Suisse/Tremont AllHedge Index ( the Index ). The Subfund has a negative return for the year reflecting overall negative hedge fund industry performance year to date. On , Bernard Madoff, president of Bernard L. Madoff Investment Securities LLC, was charged with securities fraud by federal prosecutors in New York and was accused by the SEC in a civil complaint of operating a multi-billion dollar Ponzi scheme. Madoff managed the assets of some hedge funds that are constituent funds of the Credit Suisse/Tremont AllHedge Index. As of October 1st, the weight of the affected funds, Kingate Global / Fairfield Sentry, within the AllHedge Index was 0.8%. These funds were in the Equity Market Neutral sector. Based upon our analysis of this development, the value of these assets was marked down to zero and the loss was reflected in the December 2008 and January 2009 returns of the Credit Suisse Solutions (Lux) CS Tremont AllHedge Index. (The information stated relates to the period under review and is not indicative of future returns.) Technical Data Valoren ISIN Management Fee Total Expense Ratio I - Capitalisation LU % 0.57% B - Capitalisation LU % 1.12% CHF LU % 1.10% GBP LU % 1.20% HUF LU % 1.28% S - Capitalisation LU % 0.50% LU % 1.15% Credit Suisse Solutions (Lux) CS Tremont AllHedge Index -B-: the 1st NAV has been calculated on Credit Suisse Solutions (Lux) CS Tremont AllHedge Index -I-: the 1st NAV has been calculated on Credit Suisse Solutions (Lux) CS Tremont AllHedge Index -R- CHF: the 1st NAV has been calculated on Credit Suisse Solutions (Lux) CS Tremont AllHedge Index -R- : the 1st NAV has been calculated on Credit Suisse Solutions (Lux) CS Tremont AllHedge Index -S- : the 1st NAV has been calculated on Credit Suisse Solutions (Lux) CS Tremont AllHedge Index -R- GBP: the 1st NAV has been calculated on Credit Suisse Solutions (Lux) CS Tremont AllHedge Index -R- HUF: the 1st NAV has been calculated on The Portfolio Turnover Rate was % for the period from to Fund Performance YTD Since Inception I - Capitalisation / % B - Capitalisation / % CHF / % GBP / % HUF / % S - Capitalisation / % / % Notes

13 Credit Suisse Solutions (Lux) CS Tremont AllHedge Index Page 13 Manager's Report, Technical Data and Notes Forward foreign exchange contracts Purchases Sales 63,363,418-90,039, ,693, GBP 1,125,560-1,999, , CHF 1,967,282-1,771, , HUF 240,799,088-1,399, , ,579,132-3,317, , ,837 HUF -15,975, , ,272 HUF -37,172, , ,149 GBP -173, , ,036 CHF -265, , ,267,603-8,285, , CHF 116, , , ,721,591-6,388, , ,573,875-3,463, , ,082 CHF -44, , ,257,103-11,357, , ,745 GBP -75, , ,384 HUF -24,274, , ,865 CHF -91, , ,263, , ,330,443-1,043, , ,155 GBP -151, , ,564,371-3,622, , ,245 CHF -108, , ,437 HUF -15,251, , , , , ,048, , , Net unrealised loss on forward foreign exchange contracts Funded Swap Maturity Valuation (in ) -7,853, The Subfund invested the net proceeds of the issued shares on the launch date in one derivative contract in the form of a Funded Swap due and entered into with Credit Suisse International acting as the swap counterparty. The purpose of the Funded Swap is to exchange the net proceeds against the performance of the CS Tremont AllHedge Index. The index is a diversified benchmark of the hedge fund universe, capturing the dynamic characteristics of the industry. As of , the valuation of the Funded Swap was 64,021, for a notional of 80,500, Compared to a cost of 81,996,204.61, the unrealised loss was -17,974, The Subfund reduced the gross counterparty risk of the Subfund's OTC swap transactions by causing the swap counterparty to deliver to the relevant Subfund collateral in the form of (i) liquid assets, (ii) debt instruments having an external rating at least equivalent to investment grade, (iii) quoted equities or convertible bonds being part of a main index, (iv) shares or units issued by money market UCITS rated AAA or its equivalent and (v) shares or units issued by bond UCITS rated AAA or its equivalent and provided that the Subfund does not exchange the performance of the bonds against the performance of another asset class. Such collateral is kept by a first class financial institution in a segregated account opened on behalf of the Subfund and shall be enforceable by the Company for the account of the Subfund at all times and will be marked to market on a daily basis. As of , the market value of the collateral was 65,786, The funded swap will be valued on a consistent basis based on bid, offer or mid prices as determined in good faith pursuant to procedures established by the Board of Directors. When deciding whether to use the bid, offer or mid prices the Board of Directors will take into consideration the anticipated subscription or redemption flows, among other parameters. If, in the opinion of the Board of Directors, such values do not reflect the fair market value of the relevant OTC swap transactions, the value of such OTC swap transactions will be determined in good faith by the Board of Directors or by such other method as it deems in its discretion appropriate.

14 Credit Suisse Solutions (Lux) CS Tremont AllHedge Index Page 14 Statement of Net Assets in and Fund Evolution Assets Investments in securities at market value 7,436, Cash at banks 3,452, Receivable for securities sold 149, Subscriptions receivable 192, Income receivable Formation expenses 458, Other assets 64,021, ,711, Liabilities Redemptions payable 1,292, Provisions for accrued expenses 111, Other liabilities 7,874, ,278, Net assets 66,433, Fund Evolution Total net assets Net asset value per share I - Capitalisation B - Capitalisation S - Capitalisation CHF GBP HUF 66,433, , Number of shares outstanding at the end of the period at the beginning of the period Number of shares issued Number of shares redeemed I - Capitalisation 3, , B - Capitalisation 192, , , CHF 21, , GBP 11, , HUF 24, , S - Capitalisation 15, , , , , , The notes are an integral part of the financial statements.

15 Credit Suisse Solutions (Lux) CS Tremont AllHedge Index Page 15 Statement of Operations / Changes in Net Assets in For the period from to Net assets at the beginning of the period 0.00 Income Bank interest 32, Other income 1,625, ,657, Expenses Management fee 333, Custodian and safe custody fees 9, Printing and publication expenses 4, Audit, control, legal, representative bank and other expenses 10, "Taxe d'abonnement" 30, Amortisation of formation expenses 50, , Net income (loss) 1,219, Realised gain (loss) Net realised gain (loss) on sales of investments -827, Net realised gain (loss) on swaps contracts -7,568, Net realised gain (loss) on forward foreign exchange contracts -8,913, ,309, Net realised gain (loss) -16,090, Change in net unrealised appreciation (depreciation) Change in net unrealised appreciation (depreciation) on investments -1,887, Change in net unrealised appreciation (depreciation) on swaps contracts -17,974, Change in net unrealised appreciation (depreciation) on forward foreign exchange contracts -7,853, ,716, Net increase (decrease) in net assets as a result of operations -43,806, Subscriptions / Redemptions Subscriptions 168,453, Redemptions -58,214, ,239, Net assets at the end of the period 66,433, The notes are an integral part of the financial statements.

16 Credit Suisse Solutions (Lux) CS Tremont AllHedge Index Page 16 Breakdown by Country and Economic Sector of the Investments in Securities Statement of Investments in Securities and Other Net Assets Breakdown by Country USA Luxembourg Total Breakdown by Economic Sector Financial, investment and other div. companies Investment trusts/funds Total Statement of Investments in Securities and Other Net Assets Description Quantity / Nominal Valuation (in ) Securities listed on a stock exchange or other org. markets: Investment funds Fund units (Open-End) HSBC GLOBAL INVESTMENT FUNDS SICAV - US DOLLAR RESERVE -AC- JP MORGAN LIQUIDITY FUNDS SICAV - US DOLLAR LIQUIDITY FUND -A- % of net assets 19, , , Fund units (Open-End) 670, Securities listed on a stock exchange or other org. markets: Investment funds 670, Money Market Instruments Certificates CREDIT SUISSE DELTA 1 CERTIFICATE TO ALL HEDGE INDEX 8,500,000 6,766, Certificates 6,766, Money Market Instruments 6,766, Total of Portfolio 7,436, Cash at banks 3,452, Other net assets 55,544, Total net assets 66,433, The notes are an integral part of the financial statements. Any differences in the percentage of Net Assets are the result of roundings.

17 CREDIT SUISSE SOLUTIONS (LUX) 5, rue Jean Monnet L-2180 Luxembourg