N-Q 1 a08-12009_1nq.htm N-Q

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-04171

 

 

CREDIT SUISSE CASH RESERVE FUND, INC.

(Exact name of registrant as specified in charter)

 

c/o Credit Suisse Asset Management, LLC

Eleven Madison Avenue

New York, New York

 



10010

(Address of principal executive offices)

 

(Zip code)

 

J. Kevin Gao, Esq.

Eleven Madison Avenue

New York, New York 10010

(Name and address of agent for service)

 

Registrant's telephone number, including area code:

(212) 325-2000

 

 

Date of fiscal year end:

December 31st

 

 

 

 

Date of reporting period:

January 1, 2008 to March 31, 2008

 

 


 

Item 1:                   Schedule of Investments

 


 

Credit Suisse Cash Reserve Fund

Schedule of Investments

March 31, 2008 (unaudited)

 

Par
(000)

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

COMMERCIAL PAPER (42.4%)

 

 

 

 

 

 

 

 

 

Corporates (42.4%)

 

 

 

 

 

 

 

 

 

$

15,000

 

Australia & New Zealand Banking Group Ltd.

 

(A-1+, P-1)

 

05/06/08

 

2.991

 

$

14,956,979

 

20,000

 

Bank of America Corp.

 

(A-1+, P-1)

 

06/06/08

 

2.954

 

19,894,033

 

10,000

 

Bank of Scotland PLC

 

(A-1+, P-1)

 

04/02/08

 

3.924

 

9,998,925

 

10,000

 

Bank of Scotland PLC

 

(A-1+, P-1)

 

04/28/08

 

3.230

 

9,976,375

 

4,800

 

CBA (Delaware) Finance Inc.

 

(A-1+, P-1)

 

05/01/08

 

3.079

 

4,788,000

 

20,000

 

Depfa Bank PLC

 

(A-1, P-1)

 

04/11/08

 

3.116

 

19,983,167

 

18,000

 

Dexia Delaware

 

(A-1+, P-1)

 

06/03/08

 

2.993

 

17,908,020

 

15,000

 

DNB NORBank ASA

 

(A-1, P-1)

 

04/10/08

 

4.110

 

14,984,737

 

15,000

 

Fortis Banque Luxembourg

 

(A-1+, P-1)

 

05/07/08

 

3.055

 

14,955,300

 

3,100

 

ING (US) Funding LLC

 

(A-1+, P-1)

 

04/04/08

 

4.055

 

3,098,980

 

15,000

 

ING (US) Funding LLC

 

(A-1+, P-1)

 

05/06/08

 

3.121

 

14,956,104

 

15,000

 

JP Morgan Chase & Co

 

(A-1+, P-1)

 

06/06/08

 

3.057

 

14,917,775

 

15,000

 

Macquarie Bank Ltd., Rule 144A, Series DIP, Note‡

 

(A-1, P-1)

 

05/23/08

 

3.008

 

14,934,133

 

16,000

 

Societe Generale North America

 

(A-1+, P-1)

 

04/07/08

 

4.511

 

15,988,267

 

15,000

 

Swedbank

 

(A-1, P-1)

 

09/19/08

 

2.569

 

14,820,450

 

10,000

 

Unicredito Italiano Bank (Ireland) PLC

 

(A-1, P-1)

 

04/22/08

 

4.065

 

9,976,550

 

14,450

 

Unicredito Italiano Bank (Ireland) PLC

 

(A-1, P-1)

 

05/15/08

 

3.122

 

14,396,134

 

TOTAL COMMERCIAL PAPER (Cost $230,533,929)

 

 

 

 

 

 

 

230,533,929

 

 

 

 

 

 

 

 

 

 

 

 

 

CERTIFICATES OF DEPOSIT (20.7%)

 

 

 

 

 

 

 

 

 

Banks (20.7%)

 

 

 

 

 

 

 

 

 

20,000

 

American Express Centurion Bank

 

(A-1, P-1)

 

04/14/08

 

4.060

 

20,000,000

 

20,000

 

Barclays Bank PLC

 

(A-1+, P-1)

 

05/05/08

 

3.100

 

20,000,000

 

10,000

 

Caylon NY#

 

(AA-, Aa1)

 

02/13/09

 

2.875

 

9,947,457

 

20,000

 

Citibank NY

 

(A-1+, P-1)

 

04/15/08

 

3.910

 

20,000,000

 

10,400

 

Fortis Bank NY

 

(A-1+, P-1)

 

09/30/08

 

2.646

 

10,394,736

 

3,000

 

Nordea Bank Finland PLC#

 

(AA-, Aa-)

 

02/06/09

 

3.080

 

2,984,782

 

13,400

 

Nordea Bank Finland PLC#

 

(AA-, Aa1)

 

04/09/09

 

3.046

 

13,330,426

 

16,000

 

Skandinavia Enskilda Bank NY#

 

(A+, Aa2)

 

12/08/08

 

2.978

 

15,963,595

 

TOTAL CERTIFICATES OF DEPOSIT (Cost $112,620,996)

 

 

 

 

 

 

 

112,620,996

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE OBLIGATIONS (27.7%)

 

 

 

 

 

 

 

 

 

Banks (5.6%)

 

 

 

 

 

 

 

 

 

3,000

 

Lloyds TSB Group PLC#

 

(AA-, Aa1)

 

09/05/08

 

2.968

 

2,998,584

 

15,000

 

National Australia Bank, Series MTN, Senior Unsecured Notes#

 

(AA, Aa1)

 

02/19/09

 

3.270

 

15,000,000

 

2,000

 

Royal Bank of Scotland Group PLC, Rule 144A, Senior Notes#‡

 

(AA-, Aa1)

 

09/26/08

 

2.756

 

1,996,831

 

8,700

 

Wachovia Bank NA#

 

(AA, Aa1)

 

03/23/09

 

2.639

 

8,682,642

 

2,000

 

Wachovia Corp.#

 

(AA-, Aa3)

 

10/28/08

 

3.301

 

1,995,698

 

 

 

 

 

 

 

 

 

 

 

30,673,755

 

Finance (11.5%)

 

 

 

 

 

 

 

 

 

19,000

 

BNP Paribas, Rule 144A, Notes#‡

 

(AA, Aa1)

 

08/19/08

 

3.060

 

19,000,000

 

8,550

 

General Electric Capital Corp.#

 

(AAA, Aaa)

 

10/24/08

 

3.244

 

8,543,653

 

20,000

 

HSBC Finance Corp. Series EXL#

 

(AA-, Aa3)

 

09/06/08

 

3.100

 

20,002,433

 

15,000

 

Royal Bank of Canada, Rule 144A, Notes#‡

 

(AA-, Aaa)

 

09/05/08

 

3.050

 

15,000,000

 

 

 

 

 

 

 

 

 

 

 

62,546,086

 

Insurance (10.6%)

 

 

 

 

 

 

 

 

 

15,000

 

Allstate Life Global Funding Trust, Series MTN, Senior Notes#

 

(AA, Aa2)

 

09/04/08

 

3.081

 

15,000,000

 

9,700

 

Hartford Life Global Funding, Notes#

 

(AA-, Aa3)

 

09/15/08

 

2.838

 

9,699,900

 

22,800

 

Metropolitan Life Global Funding I, Rule 144A, Notes#‡

 

(AA, Aa2)

 

04/28/08

 

2.788

 

22,801,948

 

10,000

 

Pacific Life Global Funding, Rule 144A, Notes#‡

 

(AA, Aa3)

 

08/08/08

 

4.523

 

10,000,000

 

 

 

 

 

 

 

 

 

 

 

57,501,848

 

TOTAL CORPORATE OBLIGATIONS (Cost $150,721,689)

 

 

 

 

 

 

 

150,721,689

 

 


 

Par
(000)

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

MORTGAGE BACKED SECURITIES (1.8%)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

9,808

 

Paragon Mortgages PLC, Series 15A, Class A1# (Cost $9,807,534)

 

(AAA, Aaa)

 

06/15/08

 

2.818

 

$

9,807,534

 

 

 

 

 

 

 

 

 

 

 

 

 

REPURCHASE AGREEMENT (7.5%)

 

 

 

 

 

 

 

 

 

40,526

 

Deutsche Bank Tri Party Repo (Agreement dated 03/31/08, to be repurchased at $40,528,533, collateralized by $37,212,000 Fannie Mae Note, 5.50% due 07/18/16. Market value of collateral is $41,336,681) (Cost $40,526,000)

 

(AAA, Aaa)

 

04/01/08

 

2.250

 

40,526,000

 

TOTAL INVESTMENTS AT VALUE (100.1%) (Cost $544,210,148)

 

 

 

 

 

 

 

544,210,148

 

 

 

 

 

 

 

 

 

 

 

LIABILITIES IN EXCESS OF OTHER ASSETS (-0.1%)

 

 

 

 

 

 

 

(336,981

)

 

 

 

 

 

 

 

 

 

 

NET ASSETS (100.0%)

 

 

 

 

 

 

 

$

543,873,167

 

 

 

 

 

 

 

 

 

 

 

 

Average Weighted Maturity - 34 days


INVESTMENT ABBREVIATION
MTN = Medium Term Note

 

†

Credit ratings given by the Standard & Poor’s Division of The McGraw-Hill Companies, Inc. (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”) are unaudited.

#

Variable rate obligations — The interest rate shown is the rate as of March 31, 2008.

‡

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2008, these securities amounted to a value of $66,801,948 or 12.3% of net assets.

 

Security Valuation — The net asset value of the Fund is determined at 12:00 noon eastern time and at the close of regular trading on the New York Stock Exchange, Inc. (normally 4:00 p.m. eastern time) each day the Fund is open for business. The Fund’s investments are valued under the amortized cost method, which has been determined by the Fund’s Board of Directors to represent the fair value of the Fund’s investments. Amortized cost involves valuing a Fund’s holding initially at its cost and then assuming a constant amortization to maturity of any discount or premium. The amortized cost method ignores any impact of fluctuating interest rates. The Board of Directors has established procedures intended to stabilize the Fund’s net asset value for purposes of sales and redemptions at $1.00 per share. These procedures include review by the Board of Directors, at such intervals as it deems appropriate, to determine the extent, if any, to which the Fund’s net asset value per share calculated by using available market quotations deviates from $1.00 per share. In the event such deviation exceeds 1/2 of 1%, the Board of Directors will promptly consider what action, if any, should be initiated.

 

The Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”), effective January 1, 2008. In accordance with FAS 157, fair value is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. FAS 157 established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.

 

·

 

Level 1 – quoted prices in active markets for identical investments

·

 

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

·

 

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used as of March 31, 2008 in valuing the Fund’s investments carried at value:

 

Valuation Inputs

 

Investments
in
Securities

 

Other
Financial
Instruments*

 

Level 1 - Quoted Prices

 

$

—

 

$

—

 

Level 2 - Other Significant Observable Inputs

 

544,210,148

 

—

 

Level 3 - Significant Unobservable Inputs

 

—

 

—

 

Total

 

$

544,210,148

 

$

—

 

 

*Other financial instruments include futures, forwards and swap contracts.

 

Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders. This information is also available on the Fund’s website at www.credit-suisse.com/us as well as on the website of the Securities and Exchange Commission at www.sec.gov.

 


 

Item 2:                   Controls and Procedures

 

(a)           As of a date within 90 days from the filing date of this report, the principal executive officer and principal financial officer concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)), were effective based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities and Exchange Act of 1934.

 

(b)           There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3:                   Exhibits

 

1.             The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report.

 


 

SIGNATURES

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

 

CREDIT SUISSE CASH RESERVE FUND, INC.

 

/s/Lawrence D. Haber

 

Name:

Lawrence D. Haber

Title:

Chief Executive Officer

Date:

May 19, 2008

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

/s/Lawrence D. Haber

 

Name:

Lawrence D. Haber

Title:

Chief Executive Officer

Date:

May 19, 2008

 

 

/s/Michael A. Pignataro

 

Name:

Michael A. Pignataro

Title:

Chief Financial Officer

Date:

May 19, 2008