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July 23, 2007

Clarification on the Impact of the Bear Stearns Hedge Fund Losses on the Credit Suisse/Tremont Hedge Fund Indices

New York, July 23, 2007 The Credit Suisse/Tremont Index is announcing today a clarification of the impact of the Bear Stearns High Grade Structured Credit Fund (“ HGSC”) on the family of Credit Suisse/Tremont Hedge Fund Indices.

The Credit Suisse/Tremont Hedge Fund Indices include a family of three indices: the Broad Index, the Sector Invest Indices and the Blue Chip Investable Index

The Credit Suisse/Tremont Hedge Fund Index ("Broad Index")

• The Bear Stearns HGSC Fund is one of 437 member funds of the Broad Index, has a weight of less than 0.2% and will therefore have limited impact on the overall performance of the Broad Index
• In accordance with the Index Rules, the June 2007 performance numbers announced on July 16 will not be revised.  The Bear Stearns returns provided on the afternoon of Tuesday, July 17, will be included in next month's calculation of the Broad Index, distributed on August 15

The Credit Suisse/Tremont Fixed Income Arbitrage Sector Invest Index ("SECT FIARB")
  
• SECT FIARB is an investable Sector Index derived from the Broad Index
• The Bear Sterns HGSC Fund is a member of the Fixed Income Arbitrage Sector Invest Index (one of 10 member funds) with a weight of 9.86%
• May performance of SECT FIARB was -3.08% and June's performance was -5.98% in June resulting in YTD performance through June of  -7.47% 
• For clarification purposes, on Monday morning, July 16, a value of ‘NA’ was reported for SECT FIARB as the performance of the Bear Stearns HGSC Fund was deemed to be of material importance to the calculation of the overall index and reported to be announced later that day by Bear Stearns.  After receiving the performance in the afternoon Tuesday July 17 from Bear Stearns, confirmed SECT FIARB values for May and estimated values for June were reported on the same day 
• All other Sector Invest Indices remained unchanged and were calculated as per the standard calculation procedure 

The Credit Suisse/Tremont Blue Chip Investable Hedge Fund Index ("INVX")

• The Bear Stearns HGSC Fund is not a member of INVX; therefore, there was no impact to performance

Values for all Credit Suisse/Tremont Hedge Fund Indices through June 2007 can be found on the website: www.hedgeindex.com

The funds in the Credit Suisse/Tremont Investable Index or the Credit Suisse/Tremont Sector Invest Indices are selected from the funds included in the Credit Suisse/Tremont Hedge Fund Index. The Credit Suisse/Tremont Investable Hedge Fund Index and the Credit Suisse/Tremont Sector Invest Index comprise the largest funds that are open to investment and meet certain liquidity conditions in each of the 10 style-based sectors. The fund selection rules can be found on www.hedgeindex.com and include the following criteria:

  • Funds are selected from the Credit Suisse/Tremont Hedge Fund Index by an asset-based formula
  • The funds generally represent the largest eligible "open" funds in each of the ten sectors
  • The funds are determined by application of the construction rules
  • Member funds must provide timely performance reporting, audited financials and offering memorandum review for inclusion

Additional features of the Credit Suisse/Tremont Index series include:

  • Transparency via www.hedgeindex.com and pages on Bloomberg and Reuters, Wall Street Journal Asia and Europe.
  • A broad suite of index-linked investment products through Credit Suisse

Credit Suisse Tremont Index, LLC is the joint venture company of Credit Suisse Index Co., Inc., a subsidiary of Credit Suisse Co., Inc., and Tremont Group Holdings, Inc.  Credit Suisse Tremont Index LLC is headquartered at 11 Madison Avenue, New York, NY 10010-3629.

Credit Suisse As one of the world's leading banks, Credit Suisse provides its clients with investment banking, private banking and asset management services worldwide. Credit Suisse offers advisory services, comprehensive solutions and innovative products to companies, institutional clients and high-net-worth private clients globally, as well as retail clients in Switzerland. Credit Suisse is active in over 50 countries and employs approximately 45,000 people. Credit Suisse's parent company, Credit Suisse Group, is a leading global financial services company headquarterd in Zurich. Credit Suisse Group's registered shares (CSGN) are listed in Switzerland and, in the form of American Depositary Shares (CS), in New York. Further information about Credit Suisse can be found at www.credit-suisse.com. In its asset management business, Credit Suisse offers products across the full spectrum of investment classes, ranging from equities, fixed income and multiple-asset class products, to alternative investments such as real estate, hedge funds, private equity and volatility management. Credit Suisse’s asset management business manages portfolios, mutual funds, and other investment vehicles for a broad spectrum of clients ranging from governments, institutions and corporations to private individuals. With offices focused on asset management in 18 countries, Credit Suisse's asset management business is operated as a globally integrated network to deliver the bank's best investment ideas and capabilities to clients around the world. The asset management business of Credit Suisse is comprised of a number of legal entities around the world that are subject to distinct regulatory requirements; certain asset management products and services may not be available in all jurisdictions or to all client types.

Certain statements in this Press Release constitute "forward looking statements" within the meaning of the Private Securities Litigation Reform Act of 1995. Such forward-looking statements involve known and unknown risks, uncertainties and other factors, which may cause the actual results, performance or achievements of the companies to be materially different from any future results, performance or achievements expressed or implied by such forward looking statements. The Companies assume no obligation to update these forward looking statements to reflect actual results, changes in assumption or changes in other factors affecting such forward looking statements.

Information Oliver Schupp, Credit Suisse, telephone 212 538 8179, oliver.schupp@credit-suisse.comMeg Bode, Bode Associates, telephone 516 869 6610, meg@bodeassociates.comSuzanne Fleming, Credit Suisse, telephone 212 325 7396, suzanne.fleming@credit-suisse.com


© 1999-2014 Credit Suisse Hedge Index LLC. All rights reserved.Credit Suisse Hedge Fund Index was formerly known as Dow Jones Credit Suisse Hedge Fund Index from June 22, 2010 to September 15, 2013. Credit Suisse AllHedge Index was formerly known as Dow Jones Credit Suisse AllHedge Index from June 22, 2010 to September 15, 2013. Credit Suisse Blue Chip Hedge Fund Index was formerly known as Dow Jones Credit Suisse Blue Chip Hedge Fund Index from June 22, 2010 to September 15, 2013.