TIDMBBTS
RNS Number : 1080Q
BlueCrest BlueTrend Limited
27 August 2014
BlueCrest BlueTrend Limited
Interim Financial Report
For the period ended 30 June 2014 (Unaudited)
ABOUT THE COMPANY
The Company was incorporated in Guernsey on 10 February 2012 as
a non-cellular company limited by shares under the Companies
(Guernsey) Law, 2008, as amended, with registration number
54646.
From launch on 23 March 2012 until 17 July 2014 the Company had
Sterling and US$ Share classes in issue.
Following completion of the tender offer for up to 100 per cent
of each class of share in issue (excluding treasury shares)
announced on 5 June 2014 (the 'Tender Offer'), the US$ underlying
investments in the BlueTrend Master Fund and BlueTrend Leveraged
Master Fund were redeemed. Details of the Tender Offer results can
be found later in this report.
On 18 July 2014, the US$ Share Class was delisted from the
London Stock Exchange. All remaining US$ Shares which were not
tendered pursuant to the Tender Offer were compulsorily converted
into the Sterling Share Class on that date.
The Sterling Share Class remains admitted to trading on the main
market of the London Stock Exchange and listed on the Official
List.
As at 15 August 2014, the last practicable date prior to the
publication of this report, the Company's total issued share
capital consisted of 50,539,840 Ordinary Sterling Shares, of which
4,757,712 Shares were held in treasury, resulting in total voting
rights of 45,782,128.
Investment Objective and Policy
The Company's investment objective is to seek to achieve long
term appreciation in the value of its assets.
The Company is a feeder fund and pursues its investment
objective by principally investing its assets in BlueTrend Fund
Limited ("BlueTrend Fund") which in turn invests into the market
through an investment in BlueTrend Master Fund Limited ("BlueTrend
Master Fund"). The Company is permitted to retain up to 19.9 per
cent of its total assets in cash or cash equivalents for working
capital purposes and to enable it to fund its discount management
policy.
Notwithstanding the retention of assets in cash or cash
equivalents, it is the intention of the Company to maintain a
substantially similar economic exposure to that which would be
achieved by investing 100 per cent of its available net assets in
BlueTrend Fund. The Company seeks to maintain such a substantially
similar economic exposure by investing an amount broadly equivalent
to its total assets held in cash or cash equivalents (up to 19.9
per cent of its total assets) in BlueTrend 2x Leveraged Fund
Limited ("BlueTrend Leveraged Fund") which in turn invests into the
market through an investment in BlueTrend 2x Leveraged Master Fund
Limited ("BlueTrend Leveraged Master Fund").
BlueTrend Leveraged Master Fund has a substantially similar
investment strategy to BlueTrend Master Fund, save for the fact its
aggregate investment exposure is approximately twice that of
BlueTrend Master Fund (based on an investment of an equal amount in
each of BlueTrend Master Fund and BlueTrend Leveraged Master Fund
(together the "Master Funds")). BlueTrend Leveraged Master Fund may
not always be invested in an identical investment portfolio to that
of BlueTrend Master Fund, which may result in differing investment
returns for the Company compared to a 100 per cent investment in
BlueTrend Fund. In addition, BlueTrend Leveraged Master Fund and
BlueTrend Leveraged Fund incur different ongoing costs and expenses
to those incurred by BlueTrend Master Fund and BlueTrend Fund.
BlueTrend Fund Limited
BlueTrend Fund was incorporated with limited liability in the
Cayman Islands on 16 March 2004 as an exempted company under the
provisions of the Companies Law (2011 Revision) of the Cayman
Islands. It is organised as a feeder fund. All assets of BlueTrend
Fund (to the extent not retained in cash) are invested in the
ordinary shares of BlueTrend Master Fund, a fund incorporated in
the Cayman Islands. Investors in the Company are therefore offered
an opportunity to participate indirectly in BlueTrend Master Fund's
investment portfolio.
The principal investment objective of BlueTrend Master Fund is
to seek to achieve long-term appreciation in the value of its
assets. BlueTrend Master Fund seeks to achieve its investment
objective through the implementation of a systematic trading model
or portfolio of systematic trading models. Such model(s) trade in a
number of debt, equity, foreign exchange and commodity instruments,
and derivatives relating to those instruments, including swaps,
indices, forwards, futures and option contracts.
BlueTrend Master Fund has maximum flexibility to invest in a
wide range of instruments, including listed and unlisted equities,
debt securities (which may be below investment grade), other
collective investment schemes (which may be open-ended or
closed-ended, listed or unlisted and which may employ leverage),
currencies, futures, options, warrants, swaps and other derivative
instruments. Derivative instruments may be exchange-traded or
over-the-counter. BlueTrend Master Fund may engage in short sales.
BlueTrend Master Fund may also retain amounts in cash or cash
equivalents, including money market and similar funds pending
reinvestment or if this is considered appropriate to the investment
objective.
Borrowing and Leverage
The Master Fund may employ borrowing and/or leverage for a
variety of purposes including for managing liquidity, making
investments, hedging exposure to market and credit risk, and/or
implementing the investment objective and approach. Neither the
Fund nor the Master Fund has imposed any restrictions on the extent
to which borrowing or leverage may be employed. The Master Fund may
undertake direct borrowing or leverage including, but not limited
to, through the use of securities margin, futures margin, margined
option premiums, repurchase agreements, bank or dealer credit lines
or the notional principal amounts of swap transactions. The Master
Fund may obtain leverage from Trading Counterparties. The Fund does
not currently use leverage or have any collateral or re-use
arrangements, but may do so in the future.
Indirect Investments
Although the Master Fund generally makes direct investments, the
Master Fund may invest through one or more wholly-owned or
partially-owned subsidiaries or other vehicles (each an "Investment
Vehicle") in circumstances where the Directors of the Master Fund
consider that this would be commercially advantageous and/or
efficient and/or provide an appropriate means of access to the
relevant instrument or strategy. The Master Fund may structure its
economic interest in any Investment Vehicle through a variety of
means, including without limitation by holding equity interests,
debt instruments (including debt instruments secured on the assets
of the relevant Investment Vehicle) or derivatives, or a
combination thereof.
BlueCrest Capital Management LLP ("BlueCrest")
BlueCrest Capital Management Limited ("BlueCrest CML")
At launch and until 1 July 2014, the appointed investment
manager of the Master Funds was BlueCrest Capital Management LLP
(the "Initial Investment Manager"), an English-incorporated limited
liability partnership operating solely out of its permanent
establishment in Guernsey.
In order to align the operations of the investment manager of
the Master Funds with its place of establishment and thereby
achieve greater legal and regulatory certainty going forward, it
was proposed and approved that the Initial Investment Manager
transfer its assets and liabilities to a newly established
Guernsey-domiciled investment manager, BlueCrest Capital Management
Limited (the "New Investment Manager"), a Guernsey domiciled
company, acting solely in its capacity as general partner of
BlueCrest Capital Management LP, a Guernsey-domiciled limited
partnership.
The New Investment Manager has been established in Guernsey. As
was the case for the Initial Investment Manager, the New Investment
Manager is licensed by the Guernsey Financial Services Commission
("GFSC"), registered as an investment adviser with the US
Securities and Exchange Commission, registered as a commodity pool
operator and commodity trading advisor with the US Commodity
Futures Trading Commission and registered or licensed with other
regulatory authorities, as appropriate.
The existing sub-investment managers, appointed by the Initial
Investment Manager on behalf of the Master Funds to manage a
portion of the assets of the Master Funds in the Initial Investment
Manager's place, each as an agent of the Fund and the Master Fund,
will retain their roles as sub-investment managers.
The New Investment Manager has assumed the Initial Investment
Manager's responsibility for the supervision and ongoing monitoring
of the sub-investment managers in the performance of their duties
as agents of the Funds, and retains the responsibility for
performing risk management functions for the Master Funds.
Currency Risk Management
The Directors do not intend that the Company will carry out any
currency hedging arrangements.
The base currency of BlueTrend Fund and BlueTrend Leveraged Fund
(the "Feeder Funds") and the Master Funds is US Dollars.
Accordingly, the administrator of the Feeder Funds may seek to
hedge the foreign exchange exposure of the assets of the Master
Funds attributable to the Sterling denominated shares of the Feeder
Funds in order to neutralise, so far as possible, the impact of
fluctuations in the Sterling/US Dollar exchange rates.
Dividend Policy
The investment objective of the Company is directed towards
long-term capital appreciation. Accordingly, it is not envisaged
that any dividends will be paid by the Company. This does not
however preclude the Directors from declaring a dividend at any
time in the future subject always to the relevant terms of the
Articles and the relevant provisions of The Companies (Guernsey)
Law, 2008 (the 'Companies Law').
Discount management provisions
Share repurchases
The Directors will implement a Share buyback programme, subject
to sufficient portfolio liquidity, to buy back Shares in the market
if they trade at a discount of two per cent or more to the latest
published Net Asset Value ("NAV"). The price at which Shares are
repurchased may be at a wider discount than two per cent to the
latest published NAV to reflect market volatility.
In accordance with the listing rules, the Directors have
shareholder authority to buy back up to 14.99 per cent of the
Shares in issue approved at the annual general meeting held on 18
June 2014. This authority will expire within 15 months of the
annual general meeting date or, if earlier, at the end of the next
annual general meeting of the Company to be held in 2015.
During the period since 1 January 2014 the Company repurchased
18,244,000 Sterling Shares and 7,860,439 US$ Shares, excluding the
Tender Offer. The average discount for each Share Class during the
twelve months to 30 June 2014 was 3.34% and 1.79% respectively.
During the six month period to 30 June 2014 the average discount
was 5.21% and 3.28% respectively.
Treasury Shares
The Company's Articles allow it to hold up to 10 per cent of its
issued Shares in treasury when those Shares have been purchased by
the Company. As at 30 June 2014, the Company had no Sterling or US$
Shares in treasury (30 June 2013: 7,055,000 Sterling Shares). As at
the date of this report the Company held 4,757,712 Sterling Shares
in treasury.
Further issues of Shares
Subject to the terms of the Companies Law, the Listing Rules and
the Articles, in order to manage any Share price premium to NAV if
the Directors believe there is investor demand that cannot be
satisfied through the secondary market, the Company will seek to
issue additional Shares or sell Shares out of treasury. Further
issues or sales of Shares would only be made to raise additional
capital for investment and if the Directors determine such issues
or sales to be in the best interests of shareholders, and the
Company as a whole, and access to BlueTrend Fund and BlueTrend
Leveraged Fund is available. Relevant factors in making such
determination and the price at which Shares will be issued or sold
include NAV performance, share price rating and perceived investor
demand. In the case of further issues or sales of Shares of an
existing class, the Directors' authority to allot and issue or sell
out of treasury shall only be exercised at prices which are greater
than the then latest published NAV of the relevant Share class.
The Directors have shareholder authority to dis-apply
pre-emption rights limited to the allotment and issue of up to
9,469,526 Sterling Shares of the Sterling Shares in issue
(excluding treasury shares) as at the date of the AGM. This
authority is to expire 15 months from 18 June 2014 or, if earlier,
at the end of the next annual general meeting to be held in 2015.
The US$ authority has fallen away following the class closure.
Going Concern
The preparation of the condensed unaudited interim financial
statements requires management to make judgements, estimates and
assumptions that affect the application of accounting policies and
the reported amounts of assets and liabilities, income and expense.
Actual results may differ from these estimates.
In preparing these condensed unaudited interim financial
statements, the significant judgements made by management in
applying the Company's accounting policies and the key sources of
estimation uncertainty were the same as those that applied to the
financial statements for the year ended 31 December 2013.
As described under section 'Discount Management and Going
Concern', the Directors put forward a Tender Offer to provide an
exit opportunity for Shareholders. The Directors were cognisant of
the requirement for the Company to be of a sufficient size
following completion of the Tender Offer, both for liquidity
purposes and also to ensure the ongoing expenses of the Company are
not a disproportionate burden on the remaining Shareholders.
Accordingly, a minimum ongoing size of GBP30 million following
completion of the Tender Offer was set and met.
Articles of Incorporation
The Company's Articles state that at the start of each calendar
year the Company shall calculate the average of the monthly NAVs as
at the end of each of October, November and December in the
previous year. If that average is less than US$100 million the
Company shall call a general meeting at which the Directors shall
propose an Ordinary Resolution for the continuation of the Company.
If the NAV remains at or around current levels between the date of
this report and 31 December 2014, it is therefore likely that a
Continuation Vote will be called.
Having considered the Company's investment objective, risk
management and capital management policies, the nature of the
portfolio and expenditure projections, the Directors believe that
the Company is able to meet its liabilities as they fall due, as it
has adequate cash resources to continue in operational existence
for the foreseeable future. Accordingly, notwithstanding the
potential triggering of the continuation vote, the Board considered
that there is reasonable evidence to continue to adopt the going
concern basis in preparing the financial statements.
STATEMENT OF PRINCIPAL RISKS AND UNCERTAINTIES
As described earlier in the section 'About the Company', the
Company is a feeder fund and pursues its investment objective by
principally investing its assets in BlueTrend Fund Limited
("BlueTrend Fund") which in turn invests into the market through an
investment in BlueTrend Master Fund Limited ("BlueTrend Master
Fund").
Its principal risks are financial in nature. The risks, and the
way in which they are managed, is described in more detail in the
Annual Report for the year ended 31 December 2013, Note 12.
The Company's principal risks and uncertainties have not changed
materially since the date of that report and are not expected to
change materially for the remaining six months of the year save for
as noted below.
The most significant risk of the Company during the period under
review was the potential over subscription of the Tender Offer
described in Note 8 of this report. The Directors recognise that
whilst the minimum ongoing size of at least GBP30 million was met,
following the Tender Offer, this may change if continued use of the
Shareholder buyback authority is utilised and/or the net asset
value of the Company falls. The Directors will carefully monitor
the net asset value movement over the remaining six months of the
Company's accounting year.
The remaining risks and analysis thereon are detailed in Note 12
of this report.
After making enquiries and given the nature of the Company and
its investments, the Directors are satisfied that it is appropriate
to continue to adopt the going concern basis in preparing the
financial statements.
RESPONSIBILITY STATEMENT
The Directors confirm that to the best of their knowledge:
-- the interim financial report has been prepared in accordance
with IAS 34 'Interim Financial Reporting' as adopted by the
European Union; and
-- the interim financial report meets the requirements of an
interim management report (as defined below), and includes a fair
review of the information required by:
a) DTR 4.2.7R of the Disclosure and Transparency Rules, being an
indication of important events that have occurred during the first
period of the financial year; and their impact on the interim
financial report; and a description of the principal risks and
uncertainties of the remaining six months of the year; and
b) DTR 4.2.8R of the Disclosure and Transparency Rules, being
related party transactions that have taken place in the first
period of the current financial year and that have materially
affected the financial position or performance of the Company
during the period.
Wayne Bulpitt
Chairman
26 August 2014
CHAIRMAN'S STATEMENT
On behalf of the Board, I am pleased to present Shareholders
with the Interim Report and Accounts of BlueCrest BlueTrend Limited
(the 'Company') for the period ended 30 June 2014.
Financial Results and performance
The results for the period under review are detailed in the
Statement of Comprehensive Income in this report. It is pleasing to
return an increase to Shareholders of GBP0.06218 and US$0.05011 per
Share against the same period last year which provided negative
returns. The assets under management totalled GBP128m against
GBP143m as at the year ended 31 December 2013. This decrease is due
to share buy backs by the Company as part of its discount control
mechanism.
The BlueTrend Master Fund Limited ("BlueTrend Master Fund")
Manager commentary by the Investment Manager of the BlueTrend
Master Fund indicated a turbulent start to the year. Markets staged
a recovery in February although economic data was generally weak at
that time. During March, major equity markets saw mixed returns and
the BlueTrend Master Fund also experienced mixed performance across
each sector traded. A broad rally developed during the latter part
of May that lifted prices.
Discount Management & Going Concern
The Company continued to buy back its shares to assist with the
management of the discount control. However, the ability of the
Company to repurchase its shares was limited both by available cash
and Shareholder authority. As a result of these limitations and the
challenging environment experienced by systematic trading
strategies over recent years, which has triggered a sentiment
change for the broader systematic trend following universe, the
Sterling Shares were trading at 7.3 per cent discount to the latest
published NAV per Sterling Share, and the US$ Shares at a 5.1 per
cent discount to the latest published NAV per US$ Share, as at 25
April 2014. This compares to an average premium of 0.03 per cent
and 0.49 per cent for the Sterling Shares and US$ Shares
respectively in the period from launch to 31 December 2013.
Accordingly, the Directors determined that it was in Shareholders'
interests, both for those wishing to realise par or potentially all
of the investment and those seeking continued exposure to a
systematic trading strategy through an investment in the Company,
to put forward proposals for a Tender Offer as a continuation of
the Company's buy back policy.
As set out in the Circular to Shareholders dated 5 June 2014
(the "Circular"), Shareholders were offered the opportunity to
tender up to 100 per cent of their shares in the Company as at the
record date at 98 per cent of NAV, less costs. The Tender Offer
closed on 25 June 2014. Tenders for 60,271,795 Sterling Shares and
47,886,715 US$ Shares were accepted by the Company, representing
63.7 per cent of the Sterling Share class and 68.0 per cent of the
US$ Share class.
Following completion of the Tender Offer the US$ Share class did
not meet the shares in public hands requirement of the Listing
Rules. Therefore, in accordance with the Articles, and as set out
in the Circular, the Directors resolved to compulsorily convert all
of the US$ Shares which had not been tendered into Sterling Shares.
This conversion took effect at 8 a.m. on 18 July 2014 and from that
date the Company has only Sterling Shares in issue.
The Directors have carefully considered the Going Concern risk
as described in this report and continue to believe it is
appropriate to prepare the condensed unaudited financial statements
on the Going Concern basis.
Outlook
Your Board of Directors will continue to keep the discount
control mechanism, and size of the Company, under careful
review.
We believe the BlueTrend Manager will continue to seek
opportunities to further enhance the performance for the second
half of the year.
Wayne Bulpitt
Chairman
26 August 2014
REPORT OF THE INVESTMENT MANAGER OF BLUETREND FUND LIMITED
Report on BlueTrend Fund Limited ("BlueTrend") by BlueCrest
Capital Management (UK) LLP for the period from 1 January 2014 to
30 June 2014.
The return generated by BlueTrend, over the period under review,
was +6.33% for Class B Sterling Shares and +6.16% for Class B US$
Shares.
Investors entered 2014 with a sense of optimism, although mixed
economic data, unfolding geopolitical events and weakness in select
emerging markets moderated the strength in market performance
during the first quarter. Concerns on mounting issues with Russia
and Ukraine, and tensions in the Middle East, were among the
triggers for risk aversion, but as the situation stabilised and
major central banks continued to promise support, equity market
performance improved in the second quarter. Bond markets were also
stronger, as rate hike expectations were delayed and investor
demand remained high. Commodities and currencies were mixed
performers over the period but the GSCI index appreciated modestly
over the first half of the year whereas the US dollar index ended
June broadly flat to the start of the year.
Global economic data varied through the first half of the year,
demonstrating the continuing divergence between major economies.
The US saw weak Q1 numbers for employment and industrial
production, but these were considered exceptional, caused by
extremely poor winter weather and, subsequently, second quarter
data generally painted a more positive picture. Europe remained
weak with persistently low inflation and high unemployment rates,
driving the European Central Bank ('ECB') to make a further rate
cut in June. Conversely, the UK continued to show improving data
with falling unemployment and consistent GDP growth figures,
resulting in earlier expectations of rate hikes from the Bank of
England. The Bank of Japan continued its massive stimulus through
the asset purchase program, whilst implementing structural reforms
including an increase in the sales tax to aim to improve the
country's fiscal position.
PERFORMANCE ATTRIBUTION
The performance contribution for the period under review was
mixed across sectors with four out of seven sectors posting a
positive return.
The strongest performance was seen from the fund's trading
within the bond sector, where gross returns of 7.86% were
delivered. BlueTrend maintained a long bias, of varying magnitude,
throughout the period; this saw the fund benefit when fixed income
markets rallied, most notably in January and May. The sector
provided a positive contribution in five of the six months in the
first half of the year. The short term interest rate sector was
also positive over the period, but at a much more muted level,
delivering a gross return of +0.08%.
The FX sector detracted marginally from returns over the period
under review (-0.12% gross contribution), with the strategy
alternating between a net long and net short USD bias throughout
the quarter as trend conviction levels in individual currency pairs
varied.
The contribution from commodity markets was mixed over the
period, although negative in aggregate. The energy sector detracted
in the first quarter, before delivering a stronger performance in
the second quarter as the fund's positions reflected the price
rises that followed the continued violence in Iraq; however, the Q2
performance was not strong enough to offset the losses in Q1,
leaving the sector down for the first half of the year (-0.95%
gross contribution). The metal sector was also down for the first
half of the year, delivering a gross return of -0.84%. The crop
sector contributed positively to performance, with a +0.44% gross
return over the period. The largest gains were seen in the three
months from February to April; in this period the fund benefitted
as a combination of weather related factors and expected higher
demand drove many prices higher (for example soybean prices rallied
almost 20% over three months).
The equity sector also provided a positive contribution (+0.91%
gross return), as after a nervous start to the year that saw most
indices retreat in January, many markets then started to trend
higher, albeit with reasonable oscillations along the way. The
sector finished the first half of the year strongly as the general
equity market rally benefitted the net long bias the fund held at
that time.
RISK ALLOCATION
During the period under review the fund's month-end margin to
equity ranged between 14.3% and 18.2%. At the end of 2013 the
margin to equity stood at 16.2%; this rose slightly to 17.0% at the
end of Q1, with the same level then reached at the end of Q2. The
small fluctuations intra-quarter reflected the changing opportunity
set and conviction in trends across the breadth of markets
traded.
The distribution of risk (in terms of VaR) across the sectors
traded saw some larger adjustments at the beginning of the year,
before becoming more muted and incremental as the year progressed.
At the end of 2013 the largest contributors to risk were the equity
and energy sectors, representing 50% and 27% respectively. These
both decreased notably through January, although remained large
components of the portfolio; at the same time the risk contribution
from the bond sector increased. By the end of Q1 the equity, bond
and energy sectors represented about 31%, 27% and 20% of the risk
respectively; these proportions had only changed slightly by the
end of Q2 when those sectors represented 29%, 24% and 22% of the
risk respectively.
STATEMENT OF COMPREHENSIVE INCOME
For the six months ended 30 June 2014 (unaudited)
Ordinary Shares
Sterling US$ Share
Share Class Class Total
Note GBP $ GBP
Income
Interest income from cash and
cash equivalents 12,141 6,508 16,104
Net gain on financial assets
at fair value through profit
or loss 6 4,477,210 2,704,284 6,009,287
Total net income 4,489,351 2,710,792 6,025,391
-------------- -------------- --------------
Expenses
Directors' fees 3 31,224 23,720 45,217
Transaction costs 31,483 23,426 45,325
Administration and secretarial
fees 3 24,292 24,159 38,520
Legal and professional fees 10,969 8,415 15,944
Other operating expenses 8,178 6,112 11,786
Audit fees 11,291 5,850 14,710
Audit related fees 5,454 4,014 7,801
Regulatory fees 8,637 8,038 13,353
Total operating expenses 131,528 103,734 192,656
-------------- -------------- --------------
Operating profit 4,357,823 2,607,058 5,832,735
Finance income:
Gain on Company share buy backs 615,247 229,527 753,163
Gain on redemptions through
the Tender Offer 1,205,435 948,157 1,759,719
Finance charge:
Profit allocated to shares classified
as liabilities (6,178,505) (3,784,742) (7,228,656)
-------------- -------------- --------------
Net Finance charge (4,357,823) (2,607,058) (4,715,774)
Items that may be reclassified
subsequently to profit and
loss
Currency aggregation adjustment 1 - - (1,116,961)
-------------- -------------- --------------
Other Comprehensive Income - - (1,116,961)
-------------- -------------- --------------
Total Comprehensive Income - - -
-------------- -------------- --------------
Earnings per share Pence (GBP) Cents ($) Pence (GBP)
Basic and diluted 4 6.218 5.011 4.0133
All items in the above statement derive from continuing
operations.
There are no items in other comprehensive income for the period
other than those disclosed above.
The notes form an integral part of these financial
statements.
For the six months ended 30 June 2013 (unaudited)
Ordinary Shares
Sterling US$ Share
Share Class Class Total
Note GBP $ GBP
Income
Interest income from cash
and cash equivalents 10,360 2,666 12,306
Net loss on financial assets
at fair value through profit
or loss 6 (12,208,021) (10,109,678) (18,742,171)
Total net income (12,197,661) (10,107,012) (18,729,865)
------------- ------------- ---------------
Expenses
Directors' fees 3 29,273 23,890 44,856
Transaction costs 22,816 18,971 35,189
Administration and secretarial
fees 3 35,372 28,333 53,737
Legal and professional fees 4,100 3,348 6,283
Other operating expenses 15,440 12,543 23,486
Audit fees 11,963 8,144 17,234
Regulatory fees 7,344 7,244 12,023
Total operating expenses (126,308) (102,473) (192,808)
------------- ------------- ---------------
Items that may be reclassified
subsequently to profit and
loss
Currency aggregation adjustment 1 - - 3,976,099
------------- ------------- ---------------
Other Comprehensive Income - - 3,976,099
------------- ------------- ---------------
Decrease in net assets attributable
to holders of redeemable ordinary
shares (12,323,969) (10,209,485) (14,946,574)
------------- ------------- ---------------
Earnings per share Pence (GBP) Cents ($) Pence (GBP)
- Basic and diluted 4 (10.53) (10.81) (7.07)
All items in the above statement derive from continuing
operations.
There are no items in other comprehensive income for the period
other than those disclosed above.
STATEMENT OF FINANCIAL POSITION
As at 30 June 2014 (unaudited)
Ordinary Shares
Sterling US$ Share
Share Class Class Total
Note GBP $ GBP
Non-Current Assets
Investments designated as fair
value through profit or loss 6 28,903,854 - 28,903,854
Current Assets
Sales awaiting settlement 6 41,627,153 51,886,280 71,959,364
Other receivables and prepayments 5 10,661 7,580 15,092
Cash and cash equivalents 19,271,726 14,146,477 27,541,618
Total assets 89,813,394 66,040,337 128,419,928
Current Liabilities
Cash redemptions awaiting settlement 7 55,823,736 43,864,231 81,466,336
US$ Shares awaiting compulsory
conversion - 22,084,749 12,910,526
Payables 7 215,946 91,357 269,354
------------- ------------- ------------
Net Current Assets 4,869,858 - 4,869,858
Net Assets 33,773,712 - 33,773,712
------------- ------------- ------------
UITY
EQUITY
33,773,712
Stated Capital and Reserves 89,597,448 - 33,773,712
9 33,773,712 - 33,773,712
------------- ------------- ------------
Number of ordinary shares (GBP
class) 94,695,266
60,271,795
Number of Shares awaiting redemption
payment
- 47,886,715
Number of US$ shares awaiting
conversion to the GBP Class
Pence (GBP) 22,588,318
Net asset value per share (excluding 0.9811
GBP and US$ shares awaiting
redemption/conversion)
Cents ($)
-
The NAV per share per the financial statements is equal to the
published NAV per share. The published NAV per share represents the
NAV per share attributable to shareholders in accordance with the
Prospectus.
The financial statements were approved and authorised for issue
by the Board of Directors on 26 August 2014 and are signed on its
behalf by:
Huw Salter
Director
STATEMENT OF FINANCIAL POSITION
As at 31 December 2013
Ordinary Shares
Sterling US$ Share
Share Class Class Total
Note GBP $ GBP
Assets
Cash and cash equivalents 3,691,585 7,884,089 8,453,371
Other receivables and prepayments 5 103,510 245,863 252,005
Financial assets at fair value
through
profit or loss 6 89,987,902 73,323,366 134,273,320
Total assets 93,782,997 81,453,318 142,978,696
------------- ----------- ------------
Liabilities
Payables 7 (402,509) (58,370) (437,763)
Net assets attributable to
holders of
redeemable ordinary shares 9 93,380,488 81,394,948 142,540,933
------------- ----------- ------------
Pence (GBP) Cents ($)
Net asset value per share 0.8924 0.8843
The NAV per share per the financial statements is equal to the
published NAV per share. The published NAV per share represents the
NAV per share attributable to shareholders in accordance with the
Prospectus.
STATEMENT OF CHANGES IN SHAREHOLDERS EQUITY
For the six months ended 30 June 2014 (unaudited)
Ordinary Shares
Sterling Share US$ Share
Class Class Total
Note GBP $ GBP
Net assets at the beginning
of the
period attributable to holders
of
redeemable ordinary shares 93,380,488 81,394,948 142,540,933
Treasury shares purchased 10 (15,806,642) (6,714,330) (19,845,704)
Treasury shares sold 10 - - -
Share conversions 11 7,061,386 (11,563,670) -
Share issue costs 11 (10,853) (4,553) (13,592)
--------------- ------------- -------------
Net decrease from share transactions (8,756,109) (18,282,553) (19,859,296)
Increase in net assets attributable
to
holders of redeemable ordinary
shares 11 6,178,505 3,784,742 8,345,617
Currency aggregation adjustment - - (1,116,961)
--------------- ------------- -------------
Net assets prior to Equity
accounting 90,802,884 66,897,137 129,910,293
--------------- ------------- -------------
Shares redeemed awaiting settlement 57,029,172 44,812,388 83,226,055
US$ Shares awaiting compulsory
conversion - 22,084,749 12,910,526
--------------- ------------- -------------
Balance at 30 June 2014 33,773,712 - 33,773,712
--------------- ------------- -------------
STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF
REDEEMABLE ORDINARY SHARES
For the six months ended 30 June 2013 (unaudited)
Ordinary Shares
Sterling Share US$ Share
Class Class Total
Note GBP $ GBP
Net assets at the beginning
of the
period attributable to holders
of
redeemable ordinary shares 120,714,503 96,844,824 180,292,986
Treasury shares purchased 10 (5,633,046) - (5,633,046)
Treasury shares sold 10 806,645 - 806,645
Share conversions 11 1,591,233 (2,409,073) -
Share issue costs 11 (5,122) 1,581 (4,071)
--------------- ------------- --------------
Net decrease from share transactions (3,240,290) (2,407,492) (4,830,472)
Decrease in net assets attributable
to
holders of redeemable ordinary
shares 11 (12,323,969) (10,209,485) (14,946,574)
--------------- ------------- --------------
Net assets at the end of the
period attributable to holders
of redeemable ordinary shares 9 105,150,244 84,227,847 160,515,940
--------------- ------------- --------------
STATEMENT OF CASH FLOWS
For the period ended 30 June 2014 (unaudited)
Ordinary Shares
Sterling US$
Share Class Share Class Total
Note GBP $ GBP
Cash flows from operating
activities
Interest received 12,047 6,507 16,003
Operating expenses paid (141,380) (109,631) (207,244)
Purchase of investments (12,343,847) (5,388,009) (15,552,787)
Proceeds from disposal of
investments 36,543,460 29,821,678 54,541,722
Net cash generated from operating
activities 24,070,280 24,330,545 38,797,694
------------- ------------- -------------
Cash flows from financing
activities
Purchase of treasury shares (15,540,880) (6,499,934) (19,450,048)
Conversions between
share classes 7,061,386 (11,563,670) -
Share issue costs (10,645) (4,553) (13,381)
------------- ------------- -------------
Net cash used in financing
activities (8,490,139) (18,068,157) (19,463,429)
------------- ------------- -------------
Net increase/ (decrease)
in cash and cash equivalents
during the period 15,580,141 6,262,388 19,334,265
Cash and cash equivalents
at the beginning of the period 3,691,585 7,884,089 8,453,371
Effect of exchange rate changes
on cash and cash equivalents (246,018)
------------- ------------- -------------
Cash and cash equivalents
at the end of the period 19,271,726 14,146,477 27,541,618
------------- ------------- -------------
STATEMENT OF CASH FLOWS
For the period ended 30 June 2013 (unaudited)
Ordinary Shares
Sterling US$
Share Class Share Class Total
Note GBP $ GBP
Cash flows from operating
activities
Interest received 10,307 (1,897) 10,392
Operating expenses paid (133,562) (109,911) (204,885)
Purchase of investments (9,346,432) (1,265,964) (10,172,028)
Proceeds from disposal of
investments 20,310,343 3,675,484 22,750,318
Net cash generated from operating
activities 10,840,656 2,297,712 12,383,797
------------- ------------- -------------
Cash flows from financing
activities
Purchase of treasury shares (5,633,046) - (5,633,046)
Proceeds from sale of treasury
shares 622,275 - 622,275
Net funds from conversions
between
share classes 1,591,233 (2,409,073) -
Share issue costs (5,122) 1,580 (4,072)
------------- ------------- -------------
Net cash used in financing
activities (3,424,660) (2,407,493) (5,014,843)
------------- ------------- -------------
Net increase/ (decrease)
in cash and cash equivalents
during the period 7,415,996 (109,781) 7,368,954
Cash and cash equivalents
at the beginning of the period 3,768,793 4,729,859 6,678,580
Effect of exchange rate changes
on cash and cash equivalents - - 174,174
------------- ------------- -------------
Cash and cash equivalents
at the end of the period 11,184,789 4,620,078 14,221,708
------------- ------------- -------------
The notes form an integral part of these financial
statements.
NOTES TO THE FINANCIAL STATEMENTS
For the period ended 30 June 2014
1. ACCOUNTING POLICIES
Basis of preparation
These financial statements have been prepared in accordance with
International Accounting Standard ("IAS") 34, Interim Financial
Reporting and in accordance with applicable Guernsey law. In
addition to the requirements of IAS 34, the Company has disclosed
the financial information of each share class in issue in order to
provide more relevant information. The financial information has
been prepared on an historical cost basis, except for financial
assets at fair value through profit or loss, which are measured at
fair value.
The preparation of the condensed unaudited interim financial
statements requires management to make judgements, estimates and
assumptions that affect the application of accounting policies and
the reported amounts of assets and liabilities, income and expense.
Actual results may differ from these estimates.
In preparing these condensed unaudited interim financial
statements, the significant judgements made by management in
applying the Company's accounting policies and the key sources of
estimation uncertainty were the same as those that applied to the
financial statements for the year ended 31 December 2013.
Going Concern
As described earlier in this report, the Directors put forward a
Tender Offer to provide an exit opportunity for Shareholders. The
Directors were cognisant of the requirement for the Company to be
of a sufficient size following completion of the Tender Offer, both
for liquidity purposes and also to ensure the ongoing expenses of
the Company are not a disproportionate burden on the remaining
Shareholders. Accordingly, a minimum viable size of GBP30 million
following completion of the Tender Offer was set and met.
After making enquiries and given the nature of the Company and
its investments, the Directors are satisfied that it is appropriate
to continue to adopt the going concern basis in preparing the
financial statements.
The Company's Articles state that at the start of each calendar
year the Company shall calculate the average of the monthly NAVs as
at the end of each of October, November and December in the
previous year. If that average is less than US$100 million the
Company shall call a general meeting at which the Directors shall
propose an Ordinary Resolution for the continuation of the Company.
If the NAV remains at or around current levels between the date of
this report and 31 December 2014, it is therefore likely that a
Continuation Vote will be called.
Having considered the Company's investment objective, risk
management and capital management policies, the nature of the
portfolio and expenditure projections, the Directors believe that
the Company is able to meet its liabilities as they fall due, as it
has adequate cash resources to continue in operational existence
for the foreseeable future. Accordingly, notwithstanding the
potential triggering of the continuation vote, the Board considered
that there is reasonable evidence to continue to adopt the going
concern basis in preparing the financial statements.
New standards, interpretations and amendments adopted
The accounting policies in the preparation of the interim
financial statements are consistent with those followed in the
preparation of the financial statements for the year ended 31
December 2013, except for the adoption of the new standards and
interpretations effective as of 1 January 2014.
IFRS 10 Consolidated Financial Statements - amended by
Investment Entities, effective for annual periods beginning on or
after 1 January 2014.
IFRS 11 Joint Arrangements- replaces IAS 31 Interests in Joint
Ventures and SIC-13 Jointly-controlled Entities- Non-monetary
Contributions by Venturers effective for annual periods beginning
on or after 1 January 2014.
IFRS 12 Disclosure of Interests in Other Entities- disclosure
requirements for all forms on interests in other entities,
including joint arrangements, associates, special purpose vehicles
and other off balance sheet vehicles, effective for annual periods
beginning on or after 1 January 2014.
The above standards do not impact the annual nor interim
financial statements of the Company.
Standards or Interpretations not yet adopted
A number of new standards, amendments to standards and
interpretations have been issued or amended by the IASB, are not
yet effective and have not been applied in preparing these interim
financial statements. The following standards will in the future
apply to the Company:
IFRS 9 - Financial Instruments:
IFRS 9 - Financial Instruments is effective for accounting
periods beginning on or after 1 January 2018 (EU endorsement
pending).
Summary of significant accounting policies
Interest income
Interest income is recognised in the statement of comprehensive
income for all interest-bearing financial instruments using the
effective interest method.
Net gain/loss on financial assets at fair value through profit
or loss
Net gain/loss on financial assets at fair value through profit
or loss includes all realised and unrealised fair value changes and
foreign exchange differences, but excludes interest and dividend
income. Net realised gain/loss on financial assets at fair value
through profit or loss is calculated using the average cost
method.
Expenses
All expenses are accounted for as the related services are
performed. Expenses relating to the Company are allocated across
the share classes proportionally based on the relative Net Asset
Values ("NAV") of each share class.
Taxation
The Company has been granted exemption under the Income Tax
(Exempt Bodies) (Guernsey) Ordinance, 1989 from Guernsey Income
Tax, and is charged an annual fee of GBP600.
Cash and cash equivalents
Cash and cash equivalents are defined as call deposits and short
term deposits readily convertible to known amounts of cash and
subject to insignificant risk of changes in value, together with
bank overdrafts. For the purposes of the Statement of Cash Flows,
cash and cash equivalents consist of cash and deposits at bank,
together with bank overdrafts.
Due from and due to brokers
Amounts due from and to brokers represent receivables for
securities sold and payables for securities purchased that have
been contracted but not yet settled or delivered respectively on
the statement of financial position date.
Financial instruments
Financial assets and financial liabilities are recognised in the
Company's Statement of Financial Position when the Company becomes
a party to the contractual provisions of the instrument.
Financial assets
The classification of financial assets at initial recognition
depends on the purpose for which the financial asset was acquired
and its characteristics. All financial assets are initially
recognised at fair value. All purchases of financial assets are
recorded at trade date, being the date on which the Company became
party to the contractual requirements of the financial asset. The
Company's financial assets comprise of only loans and receivables
and investments held at fair value through profit or loss.
Loans and receivables
Loans and receivables assets are non-derivative financial assets
with fixed or determinable payments that are not quoted in an
active market. They principally comprise trade and other
receivables and cash and cash equivalents. They are initially
recognised at fair value plus transaction costs that are directly
attributable to the acquisition, and subsequently carried at
amortised cost using the effective interest rate method, less
provision for impairment. The effect of discounting on these
financial instruments is not considered to be material.
Financial assets designated at fair value through profit or loss
upon initial recognition
Classification - All investments are designated upon initial
recognition as financial assets at "fair value through profit or
loss" on the basis that they are part of a group of financial
assets which are managed, and have their performance evaluated, on
a fair value basis in accordance with risk management and
investment strategies of the Company as set out in the Company's
offering document.
Recognition and measurement - Investments are initially
recognised on the date of purchase (on 'trade date' basis) at cost,
being the fair value of the consideration given, excluding
transaction costs associated with the investment.
Fair value estimation - In order to assess the fair value of
unquoted investments the NAVs of the underlying funds are taken
into consideration. The investments in the unquoted investments,
BlueTrend Fund Limited and BlueTrend 2x Leveraged Fund Limited
(together the "Feeder Funds"), are primarily valued based on the
latest available redemption price of such units for each fund, as
determined by the Feeder Funds' administrators.
The Company reviews the details of the reported information
obtained and considers the liquidity of the Feeder Funds or their
underlying investments, the value date of the NAV provided, any
restrictions on redemptions, and the basis of accounting and, in
instances where the basis of accounting is other than fair value,
fair valuation information provided by the Feeder Funds'
administrators. If necessary, the Company makes adjustments to the
NAV of the Feeder Funds to obtain the best estimate of fair
value.
Financial assets designated at fair value through profit or loss
upon initial recognition-continued
De-recognition - A financial asset (in whole or in part) is
derecognised either when the Company has transferred substantially
all the risks and rewards of ownership; or when it has neither
transferred nor retained substantially all the risks and rewards
and when it no longer has control over the assets or a portion of
the asset; or when the contractual right to receive cash flows from
the asset has expired.
Financial liabilities
Classification- The classification of financial liabilities at
initial recognition depends on the purpose for which the financial
liability was issued and its characteristics. The Company's
financial liabilities consist of only financial liabilities
measured at amortised cost and these include trade payables and
other short-term monetary liabilities.
Recognition and measurement - All financial liabilities are
initially recognised at fair value net of transaction costs
incurred. Financial liabilities are recorded on trade date, being
the date on which the Company becomes party to the contractual
requirements of the financial liability.
Financial liabilities at amortised cost are initially recognised
at fair value and subsequently carried at amortised cost using the
effective interest rate method.
De-recognition - A financial liability (in whole or in part) is
derecognised when the Company has extinguished its contractual
obligations, it expires or is cancelled. Any gain or loss on
de-recognition is taken to the statement of comprehensive
income.
Foreign currency translation
The Company's total financial statements are presented in
Sterling, which is the Company's functional and presentation
currency. Operating expenses in foreign currencies are initially
recorded at the functional currency rate ruling at the date of the
transaction. Monetary assets and liabilities denominated in foreign
currencies are translated at the functional currency rate of
exchange ruling at the reporting date. Investments in the US$ share
class are initially recorded in US Dollars and translated into the
Company's functional currency at the reporting date 30 June 2014:
GBP1:US$1.7106 (30 June 2013: GBP1: US$1.5213). All differences on
these foreign currency translations are taken to the Statement of
Comprehensive Income.
The individual share classes record the transactions in their
own functional currencies, being the currency in which the shares
are issued. As such the individual share classes are presented in
their own presentational currency.
The foreign currency translation differences are taken to the
currency aggregation adjustment in the Statement of Comprehensive
Income.
Significant shareholdings
The Company has applied the exemption available under IAS 28 to
account for the investments in the Feeder Funds under IAS 39,
Financial Instruments: Recognition and Measurement. In accordance
with IAS 39, the Company has accounted for the holding in the
Feeder Funds at fair value, with changes in fair value recognised
in profit or loss.
Segment information
For management purposes, the Company is organised into one main
operating segment, which invests in the share classes of the Feeder
Funds which are incorporated in the Cayman Islands. All of the
Company's activities are interrelated, and each activity is
dependent on the others. Accordingly, all significant operating
decisions are based upon the Company as one segment. The financial
statements from this segment are equivalent to the financial
statements of the Company as a whole.
Shares
For the Company's financial statements up to and including the
year ended 31 December 2013, shares in issue were classified and
accounted for as debt.
This treatment did not result in the shares being treated as a
liability for the purpose of applying the solvency test set out in
Section 527 of the Companies (Guernsey) Law, 2008 (the "Law").
Following the Offer in 2014, in accordance with IAS 32, the
Sterling Shares have been classified and accounted for as
liabilities.
In line with the Prospectus, the expenses incurred for the
initial placing were borne by the Company up to a maximum of 1 per
cent of the gross issue proceeds. The initial placing expenses
included placing fees and commissions, registration, listing and
admission fees, the cost of settlement and escrow arrangements,
printing, advertising and distribution costs, legal fees, and any
other applicable expenses incurred in connection with the offering
of shares. All such expenses are recognised in the Statement of
Changes in Net Assets attributable to holders of redeemable
ordinary shares, reducing the issue proceeds received.
2. CRITICAL ACCOUNTING JUDGEMENTS AND KEY SOURCES OF ESTIMATION
UNCERTAINTY
The preparation of the Company's financial statements requires
management to make judgements, estimates and assumptions that
affect the reported amounts recognised in the financial statements
and disclosure of contingent liabilities. However, uncertainty
about these assumptions and estimates could result in outcomes that
require a material adjustment to the carrying amount of the asset
or liability affected in future periods.
Judgement
In the process of applying the Company's accounting policies,
management has made the following judgement, which has the most
significant effect on the amounts recognised in the financial
statements.
Functional currency
The Board of Directors considers Sterling as the currency that
most faithfully represents the economic environment in which the
Company operates.
Estimates and assumptions
The key assumptions concerning the future and other key sources
of estimation uncertainty at the reporting date, that have a
significant risk of causing a material adjustment to the carrying
amounts of assets and liabilities are discussed below. The
management of the Company based its assumptions and estimates on
parameters available when the financial information was prepared.
However, existing circumstances and assumptions about future
developments may change due to market changes or circumstances
arising beyond the control of the Company. Such changes are
reflected in the assumptions when they occur.
Fair value of financial assets at fair value through profit or
loss
The Directors consider that the confirmed NAVs for the
investments in the Feeder Funds, as described in Note 1 and
produced by the Feeder Funds' administrators, represent the fair
value of the investments held by the Company.
3. AGREEMENTS AND RELATED PARTIES
Investments
The Company's investments include holdings of:
Pre Redemption BlueTrend Fund Limited Class BlueTrend 2x Leveraged Fund
B Limited Class A
30 June 2014 1.8% 33.3%
30 June 2013 2.2% 20.3%
Post Redemption
30 June 2014 0.6% 6.6%
These transactions are transactions with related parties as
defined within IAS 24, Related Party Disclosures. The totals of
such transactions are shown in Note 6.
Administration agreement
The Company has appointed Dexion Capital (Guernsey) Limited as
Secretary and Administrator (or Designated Manager) pursuant to the
Administration Agreement. In such capacity, the Administrator is
responsible for the general secretarial functions required by the
Law and for ensuring that the Company complies with its continuing
obligations as an investment company holding a premium listing on
the Official List and admitted to trading on the main market of the
London Stock Exchange. The Administrator is also responsible for
the Company's general administrative functions such as the
calculation of the NAV of the shares, the maintenance of accounting
and statutory records and, if required, the safekeeping of any
share certificates and other documents of title relating to the
investment of the Company's cash and other assets. In addition, at
the direction and request of the Board, the Administrator is
responsible for taking the required actions to adjust the Company's
portfolio in order that investments are made in accordance with the
Company's investment policy.
The Administrator is entitled to an annual fee in respect of
administration services from the Company calculated by reference to
the NAV, such fee not to be less than GBP3,750 per calendar month.
In addition, the Administrator is paid a minimum fee per annum of
GBP25,000 in respect of company secretarial services and GBP16,000
per annum (plus inflation in each year) together with a one off
payment in the first year of GBP1,000 in respect of the preparation
of annual and interim accounts.
For the period ended 30 June 2014, the Administration fee was
GBP22,203 (30 June 2013: GBP26,713) and the Secretarial fee was
GBP24,118 (30 June 2013: GBP27,024). Of these amounts an
Administration fee of GBP3,822 (31 December 2013: GBP7,529) and a
Secretarial fee of GBP7,117 (31 December 2013: GBP15,071) were
unpaid at the period end.
Directors' remuneration and other interests
The Directors are related parties and are remunerated for their
services at a fee not to exceed GBP35,000 per annum (GBP50,000 for
the Chairman). In addition, the chairman of the audit committee
receives an additional GBP5,000 per annum for his services in this
role. Andrew Dodd, the sole non-independent director, has waived
his fee for his services as a director.
For the period ended 30 June 2014, the Directors' fees amounted
to GBP45,217 (30 June 2013: GBP44,856). Of this amount GBP7,555 (31
December 2013: GBP7,500) was unpaid at the period end.
Wayne Bulpitt held 25,000 Sterling Class Shares at the period
end (31 December 2013: 25,000).
Huw Salter held 20,000 Sterling Class Shares at the period end
(31 December: 20,000).
4. EARNINGS PER SHARE
Basic earnings per share is calculated by dividing the
profit/(loss) for the period (as represented by the profit
allocated to shares classified as liabilities for the period ended
30 June 2014) by the weighted average number of ordinary shares in
issue during the period, excluding the average number of shares
purchased by the Company and held as treasury shares.
Ordinary shares
Sterling US$ Share
For the period ended 30 June Share Class Class Total
2014
Profit allocated to shares
classified as liabilities
for the period 6,178,505 3,784,742 7,228,656
Weighted average number of
ordinary shares in issue 99,355,372 75,535,925 174,891,297
------------- ----------- ------------
Pence (GBP) Cents ($) Pence (GBP)
Earnings per share 6.218 5.011 4.133
------------- ----------- ------------
Earnings per share are calculated prior to the allocation of the
finance charges.
Ordinary shares
Sterling US$ Share Total
For the period ended 30 June Share Class Class
2013
Loss for the period GBP(12,323,969) $(10,209,485) GBP(14,946,574)
Weighted average number of
ordinary shares in issue 117,077,262 94,443,813 211,521,075
---------------- -------------- ----------------
Pence (GBP) Cents ($) Pence (GBP)
Earnings per share (10.53) (10.81) (7.07)
---------------- -------------- ----------------
5. OTHER RECEIVABLES AND PREPAYMENTS
Ordinary shares
Sterling Share US$ Share
30 June 2014 Class Class Total
GBP $ GBP
Income
Interest receivable 95 2 96
Prepayments
Directors indemnity insurance 6,121 4,181 8,565
Other 4,445 3,397 6,431
10,661 7,580 15,092
--------------- ---------- --------
Ordinary shares
Sterling US$ Share
31 December 2013 Share Class Class Total
GBP $ GBP
Interest receivable 4,698 4,926 7,673
Prepayments
Prepayment of acquisition
of investments 93,000 236,000 235,538
Directors indemnity insurance 1,337 1,113 2,022
Other 4,475 3,804 6,772
103,510 245,863 252,005
------------- ---------- --------
6. FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR
LOSS
Ordinary shares
Sterling US$ Share Total
As at 30 June 2014 Share Class Class
GBP $ GBP
Unlisted managed funds
Cost brought forward 101,320,899 80,810,692 151,649,178
Purchases at fair value 12,436,847 5,754,517 15,871,208
Disposals during the period (40,829,563) (34,678,929) (61,742,121)
Redemptions awaiting settlement (41,627,153) (51,886,280) (71,959,364)
Currency aggregation adjustment - - (2,517,871)
Unrealised losses on valuation
carried forward (2,397,176) - (2,397,176)
------------- ------------- -------------
Financial assets at fair
value
through profit or loss 28,903,854 - 28,903,854
------------- ------------- -------------
Unrealised gains/(losses)
on valuation 8,758,818 6,996,693 12,887,866
Realised gains /(losses)
on disposals (4,281,608) (4,292,409) (6,878,579)
------------- ------------- -------------
Net gains on financial
assets
at fair value through profit
or loss 4,477,210 2,704,284 6,009,287
------------- ------------- -------------
Ordinary shares
Sterling US$ Share Total
As at 31 December 2013 Share Class Class
GBP $ GBP
Unlisted managed funds
Cost brought forward 114,117,644 89,590,583 170,059,694
Purchases at fair value 11,256,214 6,797,146 15,557,565
Disposals during the year (24,052,958) (15,577,037) (33,968,081)
Currency aggregation adjustment - - (1,520,708)
Unrealised losses on valuation
carried forward (11,332,998) (7,487,326) (15,855,150)
--------------- --------------- ---------------
Financial assets at fair
value
through profit or loss 89,987,902 73,323,366 134,273,320
--------------- --------------- ---------------
Unrealised losses on valuation (14,189,757) (10,040,312) (20,282,494)
Realised gains /(losses)
on disposal 717,324 (1,187,574) (15,880)
Net losses on financial
assets
at fair value through profit
or loss (13,472,433) (11,227,886) (20,298,373)
--------------- --------------- ---------------
Ordinary shares
Sterling US$ Share Total
As at 30 June 2013 Share Class Class
GBP $ GBP
Unlisted managed funds
Cost brought forward 114,117,644 89,590,583 170,059,694
Purchases at fair value 8,044,861 1,035,582 8,721,462
Disposals during the period (18,995,005) (3,476,075) (21,302,649)
Currency aggregation adjustment - - 2,975,582
Unrealised losses on valuation
carried forward (10,482,040) (7,525,719) (15,428,939)
------------- ------------- -------------
Financial assets at fair
value
through profit or loss 92,685,460 79,624,371 145,025,150
------------- ------------- -------------
Unrealised losses on valuation (13,338,799) (10,078,705) (19,856,284)
Realised gains /(losses)
on disposals 1,130,778 (30,973) 1,114,113
------------- ------------- -------------
Net losses on financial
assets
at fair value through profit
or loss (12,208,021) (10,109,678) (18,742,171)
------------- ------------- -------------
7. PAYABLES
Ordinary shares
Sterling US$ Share
30 June 2014 Share Class Total
Class
GBP $ GBP
Cash redemption awaiting settlement 55,823,736 43,864,231 81,466,336
US$ Shares awaiting compulsory
conversion - 22,084,749 12,910,526
----------- ----------- -----------
55,823,736 65,948,980 94,376,862
Contingent redemption fee
payable 167,812 51,571 197,960
Directors' fees 5,267 3,914 7,555
Transaction costs 12,007 8,292 16,855
Administration and secretarial
fees 5,237 9,754 10,939
Other expenses 7,843 5,543 11,084
Audit fees 12,326 8,269 17,160
Audit related fees 5,454 4,014 7,801
----------- ----------- -----------
215,946 91,357 269,354
----------- ----------- -----------
56,039,682 66,040,337 94,646,216
----------- ----------- -----------
Ordinary shares
Sterling US$ Share
31 December 2013 Share Class Total
Class
GBP $ GBP
Directors' fees 4,965 4,198 7,500
Amount payable on purchase
of treasury shares 349,483 15,131 358,622
Transaction costs 9,632 7,997 14,462
Administration and secretarial
fees 15,135 12,359 22,600
Other expenses 5,095 4,073 7,555
Audit fees 18,199 14,612 27,024
402,509 58,370 437,763
----------- ----------- -----------
8. SHARE CAPITAL
Authorised share capital
An unlimited number of unclassified shares of no par value.
Sterling US$ Share
Share Class Class
Number of shares in issue at
30 June 2014 94,695,266 70,475,033
------------- -------------
Ordinary Shares
The movement in shares took place Number of Number of
as follows: Sterling US$ Share
Share Class Class
Date of movement
(redemptions are for cancellation
unless otherwise stated)
Brought forward as at 31 December
2013 104,641,389 92,039,989
Conversion 2 January 2014 (18,528) 30,972
Redemption 3 January 2014 (380,000) -
Redemption 7 January 2014 (US$
for treasury) (350,000) (55,000)
Redemption 14 January 2014 (2,000,000) -
Redemption 21 January 2014 (640,000) -
Redemption 28 January 2014 (US$
for treasury) (170,000) (1,050,000)
Conversion 3 February 2014 9,650,596 (16,005,660)
Redemption 4 February 2014 (150,000) -
Redemption 11 February 2014 (US$
for treasury) (3,211,000) (320,000)
Redemption 18 February 2014 (748,000) -
Conversion 3 March 2014 (10,000) 16,945
Redemption 4 March 2014 (1,335,000) -
Redemption 11 March 2014 (US$
for treasury) (1,020,000) (1,350,000)
Redemption 18 March 2014 (3,240,000) -
Redemption 20 March 2014 (5,000,000) -
Redemption 25 March 2014 (US$
for treasury) - (1,248,000)
Conversion 1 April 2014 (527,461) 892,046
Redemption 2 April 2014 (US$
for treasury) - (1,940,940)
Redemption 8 April 2014 (US$
for treasury) - (776,499)
Redemption 15 April 2014 - (620,000)
Redemption 23 April 2014 - (500,000)
Conversion 1 May 2014 (796,730) 1,361,180
As at 30 June 2014 94,695,266 70,475,033
------------- -------------
Number of Redeemed Shares awaiting
settlement 60,271,795 47,886,715
Number of US$ Shares awaiting
conversion to the GBP Class - 22,588,318
Ordinary Shares
The movement in shares took place Number of Number
as follows: Sterling of US$
Share Class Share Class
Date of movement
Brought forward as at 1 January
2013 119,878,829 96,280,055
Conversion 2 January 2013 (22,078) 35,901
Treasury shares purchased 8 January (550,000) -
2013
Treasury shares purchased 22 (300,000) -
January 2013
Treasury shares purchased 29 (250,000) -
January 2013
Conversion 1 February 2013 73,693 (117,055)
Treasury shares purchased 4 February (325,000) -
2013
Treasury shares purchased 12 (1,500,000) -
February 2013
Treasury shares purchased 19 (865,000) -
February 2013
Treasury shares purchased 26 (1,250,000) -
February 2013
Conversion 1 March 2013 (13,942) 21,207
Conversion 1 March 2013 2,122,103 (3,228,000)
Treasury shares purchased 26 (150,000) -
March 2013
Conversion 2 April 2013 (332,658) 507,186
Treasury shares purchased 9 April (400,000) -
2013
Conversion 1 May 2013 (197,100) 307,221
Treasury shares sold 15 May 2013 250,000 -
Treasury shares sold 17 May 2013 100,000 -
Treasury shares sold 30 May 2013 235,000 -
Conversion 3 June 2013 (75,436) 114,976
Treasury shares sold 27 June 200,000 -
2013
Conversion 1 July 2013 15,821 (24,193)
Treasury shares sold 5 July 2013 100,000 -
Tap issue 25 July 2013 - 1,200,000
Conversion 1 August 2013 (79,415) 121,714
Treasury shares purchased 20
August 2013 (850,000) (70,000)
Treasury shares purchased 28
August 2013 - (50,000)
Conversion 2 September 2013 750,328 (1,169,018)
Treasury shares purchased 17
September 2013 (520,000) (200,000)
Treasury shares purchased 24 (1,650,000) -
September 2013
Conversion 1 October 2013 (9,300) 15,129
Treasury shares purchased 1 October (175,000) -
2013
Treasury shares purchased 8 October
2013 (670,000) (170,000)
Treasury shares purchased 15
October 2013 (1,149,000) (300,000)
Treasury shares purchased 22 (150,000) -
October 2013
Treasury shares purchased 29
October 2013 (260,000) (40,000)
Conversion 1 November 2013 273,420 (442,113)
Treasury shares purchased 4 November (627,000) -
2013
Treasury shares purchased 12 (830,000) -
November 2013
Treasury shares purchased 19 (2,250,000) -
November 2013
Treasury shares purchased 26 (835,000) -
November 2013
Conversion 2 December 2013 251,124 (415,021)
Treasury shares purchased 3 December (645,000) -
2013
Treasury shares purchased 10
December 2013 (848,000) (50,000)
Treasury shares purchased 17
December 2013 (520,000) (43,000)
Treasury shares purchased 23
December 2013 (900,000) (227,000)
Treasury shares purchased 31
December 2013 (410,000) (18,000)
As at 31 December 2013 104,641,389 92,039,989
------------- -------------
In order to manage any share price premium to net asset value,
if the Directors believe there is investor demand that cannot be
satisfied through the secondary market, the Company may seek to
issue additional shares ("tap issues") or sell shares out of
treasury, subject to access to the Feeder Funds being
available.
As explained in Note 1, the Company's shares are recognised as
liabilities.
On return of capital or a winding-up of the Company, the surplus
assets attributable to a class of shares (as determined by the
Directors) and available for distribution shall be paid to holders
of shares of each class pro rata to the relative NAV of each of the
classes of shares calculated in accordance with the Articles.
Within each such class, such assets shall be divided pari passu
among the holders of shares of that class in proportion to the
number of shares of such class held by them.
If, as at 31 March, 30 June, 30 September or 31 December in any
calendar year, the ordinary shares of any class in issue have, over
the last three calendar months preceding such date, traded at an
average discount to NAV of more than 5 per cent the Directors will
consider, subject to any legal or regulatory requirements,
implementing a redemption offer. The Company will offer to redeem
up to 25 per cent of the shares (excluding shares held in treasury)
of such class then in issue at the NAV per share at the redemption
date that occurs two months after the discount calculation period,
less costs attributable to the relevant redemption offer. When
made, the terms of the redemption offer will provide that
shareholders requesting in excess of 25 per cent of their shares to
be redeemed will have their redemption requests in respect of such
excess accepted pro rata to the size of their shareholding if, and
then only to the extent that, total redemption requests are made
for less than 25 per cent of the prevailing issued share capital of
the Company.
At the beginning of each calendar year, the management of the
Company shall calculate the average of the monthly NAVs as at the
end of each of October, November and December in the preceding
calendar year. If such average is less than US$100 million the
Company will, no later than the last business day of February in
that year, call a general meeting to be held by no later than the
date falling 28 days after the notice convening the general meeting
is published by the Company. At that general meeting, the Directors
will propose an ordinary resolution for the continuation of the
Company. If the continuation resolution is not passed by
shareholders, proposals will be put forward by the Directors to
conduct an orderly winding-up or reconstruction of the Company
which, for the avoidance of doubt, shall include an option that
allows shareholders to realise their entire holding for cash at NAV
less costs. The Directors will cause a general meeting of the
Company to be convened for a date not later than 180 days after the
date of the general meeting at which the continuation resolution is
not passed (or, if adjourned, the date of the adjourned
meeting).
On 5 June 2014, the Company issued a Shareholder Circular
offering a Tender Offer (the 'Tender Offer') for up to 100 per cent
of the then Sterling and US$ Shares in issue (minus one share). A
minimum viable size of GBP30 million following completion of the
Tender Offer (on the basis of the latest published NAV per Share as
at the date of the EGM), was set and if this could not be met the
Company would have been wound up voluntarily.
The Tender Offer closed on 25 June 2014. Tenders for 60,271,795
Sterling Shares and 47,886,715 US$ Shares were accepted by the
Company, representing 63.7 per cent of the Sterling Share class and
68.0 per cent of the US$ Share class.
The Listing Rules require at least 25 per cent. of each class of
Shares of a listed company to be in "public
hands" (as defined in the Listing Rules) (the "Shares in Public
Hands Requirement"). In particular, any Shareholders with an
interest in 5 per cent. or more of the Shares of any class are
excluded from the definition of "public hands" in relation to that
class. In addition, the Shares held by the Directors are also
excluded from the number of Shares held in "public hands" and
following the completion of the Tender Offer, the US$ Class no
longer met the Shares in Public Hands Requirement. In accordance
with the Articles the Directors compulsorily converted all of the
untendered US$ Shares into Sterling Shares on 18 July 2014. As at
8.00 a.m. on 18 July 2014, the US$ Share Class was delisted from
the London Stock Exchange.
9. STATEMENT OF SHAREHOLDERS EQUITY
Ordinary shares
Sterling US$ Share
30 June 2014 Note Share Class Class Total
GBP $ GBP
Represented by:
Stated Capital - - -
Treasury shares - - -
Distributable reserves 33,773,712 - 33,773,712
33,773,712 - 33,773,712
------------- ---------- -----------
NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE ORDINARY
SHARES
Ordinary shares
Sterling US$ Share
31 December 2013 Note Share Class Class Total
GBP $ GBP
Represented by:
Share capital 8 - - -
Treasury shares 10 (18,481,914) (996,189) (19,102,325)
Reserves 11 111,862,402 82,391,137 161,643,259
------------- ----------- -------------
93,380,488 81,394,948 142,540,933
------------- ----------- -------------
10. TREASURY SHARES
Ordinary shares
Sterling US$ Share
30 June 2014 Share Class Class Total
GBP $ GBP
Brought forward as at 1 January
2014 18,481,914 996,189 19,102,325
Shares purchased for cancellation/treasury 15,806,642 6,714,330 19,731,774
Treasury shares sold - - -
Treasury shares cancelled (34,288,556) (7,710,519) (38,834,099)
- - -
------------- ------------ -------------
Ordinary shares
Sterling US$ Share
31 December 2013 Share Class Class Total
GBP $ GBP
Brought forward as at 1 January
2013 2,155,500 - 2,155,500
Treasury shares sold (898,645) - (898,645)
Treasury shares purchased 17,205,606 996,189 17,826,017
Net gain on sale of treasury
shares 19,453 - 19,453
18,481,914 996,189 19,102,325
------------- ---------- -----------
The Treasury shares represent nil (31 December 2013: 8,764,000)
Sterling Class shares held by the Company in Treasury. There were
no Treasury shares purchased or sold during the period under
review, however, all Treasury shares were cancelled at the end of
June in preparation for the Tender Offer.
11. DISTRIBUTABLE RESERVES
Ordinary shares
Sterling US$ Share Total
30 June 2014 Note Share Class Class
GBP $ GBP
Balance at 1 January 2014 111,862,402 82,391,137 161,643,258
Cancellation of 31 December
year-end Treasury shares (18,481,914) (996,189) (19,102,325)
Cancellation of shares bought
back during the period 1/1/2014-30/6/2014 (15,806,642) (6,714,330) (19,845,704)
Share conversions 7,061,386 (11,563,670) -
Share conversion & buy back
costs (10,853) (4,553) (13,592)
------------- ------------- --------------
Net change from share transactions
for the period (27,238,023) (19,278,742) (122,681,637)
Increase in net assets attributable
to holders of redeemable
shares 6,178,505 3,784,742 7,228,656
------------- ------------- --------------
Balance at 30 June 2014 90,802,884 66,897,137 129,910,293
------------- ------------- --------------
Shares redeemed awaiting
settlement 57,029,172 44,812,388 83,226,055
US$ Shares awaiting compulsory
conversion - 22,084,749 12,910,526
------------- ------------- --------------
Balance at 30 June 2014 33,773,712 - 33,773,712
------------- ------------- --------------
Sterling US$ Share Total
31 December 2013 Note Share Class Class
GBP $ GBP
Balance at 1 January 2013 122,870,003 96,844,824 182,448,486
Share conversions 2,675,787 (4,124,413) -
Net gain on sale of treasury
shares 19,453 - 19,453
Share issue / conversion
costs (13,015) (8,209) (18,294)
Tap issues - 1,101,600 715,789
------------- ------------- -------------
Net change from share issues
for the period 2,682,225 (3,031,022) 716,948
Decrease in net assets attributable
to holders of redeemable
shares (13,689,826) (11,422,665) (21,522,175)
------------- ------------- -------------
Balance at 31 December 2013 111,862,402 82,391,137 161,643,259
------------- ------------- -------------
The Companies (Guernsey) Law, 2008 does not require share
premium to be held in a separate account and any share premium at
which the shares are issued can be used for all purposes, including
the buy- back of shares and the payment of dividends, provided that
the Company would after distribution still meet the solvency test
as such is defined in the 2008 Law. Accordingly, upon the issue of
shares the entire amount of share premium received on the issue of
such shares is immediately recognised in distributable
reserves.
12. FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES
The Company's objective in managing risk is the creation and
protection of shareholder value. Risk is inherent in the Company's
activities, but it is managed through a process of ongoing
identification, measurement and monitoring, subject to risks limits
and other controls.
Risk management structure
The Company's Board of Directors is responsible for identifying
and controlling risks and is ultimately responsible for the overall
risk management of the Company.
Risk mitigation
So far as the Company is concerned, the only risk the Board can
monitor and control is the liquidity risk attaching to its ability
to realise shares in the Feeder Funds for the purpose of meeting
ongoing expenses of the Company. Thereafter the Board recognises
that the Company has, via its holding of shares in the Feeder
Funds, an indirect exposure to the risks summarised below. However
there is little or nothing which the Board can do to manage each of
these risks within the Feeder Funds or the Master Funds, in which
the Company invests under the current investment objective of the
Company.
Risk concentration
The main risks arising from the Company's financial instruments
concerns its holding of shares in the Feeder Funds and the risks
attaching to those shares, which are market price risk, credit
risk, liquidity risk, interest rate risk, and increased volatility
due to leverage employed by the Master Funds as explained
below.
(a) Market risk
Market risk is the risk that the fair value or future cash flows
of financial instruments will fluctuate due to changes in market
variables such as interest rates, foreign exchange rates and
pricing.
Interest rate risk
Interest rate risk arises from the possibility that changes in
interest rates will affect future cash flows or the fair values of
financial instruments. The prices of securities tend to be
sensitive to interest rate fluctuations.
Unexpected fluctuations in interest rates could cause the
corresponding prices of long positions and short positions adopted
to move in directions which were not originally anticipated. In
addition, interest rate increases generally increase the interest
or carrying costs of investments. However, the Company's
investments designated as at fair value through profit or loss are
non-interest bearing, and therefore are not exposed to interest
rate risk.
The Company's own cash balances are not materially exposed to
interest rate risk as cash and cash equivalents are held on
floating interest rate deposits with banks and the Company does not
rely on income from bank interest to meet day to day expenses.
Currency risk
Currency risk is the risk that the value of a financial
instrument will fluctuate due to changes in foreign exchange rates.
The Company invests in financial instruments and enters into
transactions that are denominated in US Dollars (USD) through its
US$ share class. Consequently, the Company is exposed to risk that
the exchange rate of Sterling, relative to the USD, may change in a
manner that has a favourable or adverse effect on the reported
value of the Company's financial assets or financial liabilities
that are denominated in USD. At the reporting date the carrying
value of the Company's net assets held in USD was GBP38,553,128 (30
June 2013: GBP55,365,705) and 30.1% (30 June 2013: 34.5%) expressed
as a percentage of net assets. The Directors do not intend that the
Company will carry out any currency hedging arrangements. Foreign
currency risk is managed at a class level in order to ensure that
there is no exposure for shareholders.
Currency sensitivity
At 30 June 2014, had the exchange rate of Sterling increased or
decreased compared to USD by 5% with all other variables held
constant, the decrease or increase respectively in net assets
attributable to holders of redeemable ordinary shares relating to
financial assets was +GBP1,838,406 and -GBP1,930,326 (30 June 2013:
GBP151,846 - monetary assets only).
Price risk
The success of the Feeder Funds and, therefore, the Company's
activities will be affected by general economic and market
conditions, such as interest rates, availability of credit,
inflation rates, economic uncertainty, changes in laws, trade
barriers, currency exchange controls and national and international
political circumstances. These factors may affect the level and
volatility of securities' prices and the liquidity of the Master
Funds' investments. Volatility or illiquidity could impair the
Master Funds' profitability or result in losses.
Price sensitivity
The Company invests substantially all its assets in the Feeder
Funds and does not undertake any significant structural borrowing
or hedging activity at the Company level. Its performance is
therefore directly linked to the NAV of the Feeder Funds, which are
driven by the NAVs of the Master Funds. Overall portfolio
diversification by the Master Funds is achieved by trading in more
than 150 investments globally across a number of key asset
classes.
At 30 June 2014 (31 December 2013 for comparative), if the NAV
of the Feeder Funds had been 10% higher with all other variables
held constant, the net assets attributable to shareholders for the
period ended would have increased as stated below, arising due to
the increase in the fair value of financial assets at fair value
through profit or loss.
As at 30 As at 31
June 2014 December
2013
GBP GBP
Sterling shareholders 2,890,385 8,998,790
Dollar shareholders - 4,428,542
----------- -----------
Total 2,890,385 13,427,332
----------- -----------
A 10% decrease in the NAV at 30 June 2014 (31 December 2013 for
comparative) would have resulted in an equal but opposite effect to
the amounts shown above.
(b) Credit risk
The Company is exposed to credit risk, which is the risk that
one party to a financial instrument will cause a financial loss for
the other party by failing to discharge an obligation.
The nature of commercial arrangements made in the normal course
of business between many prime brokers and custodians means that,
in the event of any one prime broker or custodian defaulting on its
obligations to the Master Funds the effects of such a default may
have negative effects on other prime brokers with whom the Master
Funds deal. The Master Funds, and by extension, the Feeder Funds
and the Company may, therefore, be exposed to systemic risk when
the Master Funds deal with prime brokers and custodians whose
creditworthiness may be interlinked.
The assets of the Master Funds may be pledged as margin with
prime brokers or other counterparties or held with prime brokers or
banks whereas the assets of the Feeder Funds, to the extent not
invested in the Master Funds are held with banks. In the event of
the default of any of these prime brokers, banks or counterparties,
the Feeder Funds may not recover back all or any of the assets
pledged or held with the defaulting party.
The Company's risk on liquid funds is minimised as all their
money is held by the Royal Bank of Scotland International Limited
at the Guernsey branch which has a credit rating of 'A'.
The maximum credit risk to which the Company was exposed at the
period-end was:
Sterling US$ Share
As at 30 June 2014: Share Class Class Total
GBP $ GBP
Investments 28,903,854 - 28,903,854
Sales awaiting settlement 41,627,153 51,886,280 71,959,364
Cash and cash equivalents 19,271,726 14,146,477 27,541,618
Other assets (excluding
prepayments) 95 2 96
------------- ----------- ------------
89,802,828 66,032,759 128,404,932
------------- ----------- ------------
Sterling US$ Share
As at 31 December 2013: Share Class Class Total
GBP $ GBP
Investments 89,987,902 73,323,366 134,273,320
Cash and cash equivalents 3,691,585 7,884,089 8,453,371
Other assets (excluding
repayments) 4,698 4,926 7,673
------------- ----------- ------------
93,684,185 81,212,381 142,734,364
------------- ----------- ------------
The main concentration of risk for the Company relates to the
investments. None of these amounts are impaired nor past due but
not impaired.
(c) Liquidity risk
Liquidity risk is the risk that the company may not be able to
generate sufficient cash resources to settle its obligations in
full as they fall due or can only do so on terms that are
materially disadvantageous.
The Company may redeem its shares in each of the Feeder Funds
only on a monthly basis. However, if the Feeder Funds receive
applications to redeem in respect of more than 25 per cent of their
aggregate shares in issue in respect of any redemption date, then
they are entitled to scale down the redemption requests on a pro
rata basis so as to carry out only sufficient redemptions which, in
aggregate, amount to 25 per cent of their shares in issue. As such,
in circumstances where the Company wishes to redeem part
or all of its holdings in the Feeder Funds, they may not be able
to achieve this on a single redemption date and the Company may not
be able to realise all of its investments through a single
redemption request.
There can be no assurance that the liquidity of the investments
of the Feeder Funds will always be sufficient to meet redemption
requests as and when made. Any such lack of liquidity may affect
the ability of the Company to realise its shares in the Feeder
Funds and the value of shares in the Company.
For such reasons the Feeder Funds' treatment of redemption
requests may be deferred in exceptional circumstances including
that of a lack of liquidity which may result in difficulties in
determining the NAV and the NAV per share in the Feeder Funds. This
in turn would limit the ability of the Directors to realise the
Company's investments should they consider it appropriate to do so
and may result in difficulties in determining the NAV of a share in
the Company. There was no deferral of redemptions in respect of the
Feeder Funds during the period.
In some circumstances, investments held by underlying funds of
the Master Funds may be relatively illiquid making it difficult to
acquire or dispose of them at the prices quoted on the various
exchanges. Accordingly, the Master Funds' ability to respond to
market movements may be impaired and, consequently, the Master
Funds may experience adverse price movements upon liquidation of
its investments which may in turn affect the value of the Feeder
Fund's and hence the Company's investments. Settlement of
transactions may be subject to delay and administrative
formalities.
The market prices, if any, for such illiquid investments tend to
be volatile and may not be readily ascertainable and the Master
Funds may not be able to sell them when it desires to do so or to
realise what it perceives to be their fair value in the event of a
sale.
The size of the Master Funds' positions may magnify the effect
of a decrease in market liquidity for such instruments. Changes in
overall market leverage, deleveraging as a consequence of a
decision by the counterparties with which the Master Funds enter
into repurchase/reverse repurchase agreements or derivative
transactions to reduce the level of leveraging, or the liquidation
by other market participants of the same or similar positions may
also adversely affect the Master Funds' portfolios.
The sale of restricted and illiquid securities often requires
more time and results in higher brokerage charges or dealer
discounts and other selling expenses than does the sale of
securities eligible for trading on national securities exchanges or
in the over-the-counter markets.
The Master Funds may not be able readily to dispose of such
illiquid investments and, in some cases, may be contractually
prohibited from disposing of such investments for a specified
period of time. Restricted securities may sell at a price lower
than similar securities that are not subject to restrictions on
resale.
The table below details the residual contractual maturities of
financial liabilities:
0-3 months Total
GBP GBP
As at 30 June 2014:
Accrued expenses 269,354 269,354
Shares redeemed awaiting
settlement 81,466,336 81,466,336
US$ Shares awaiting compulsory
conversion 12,910,526 12,910,526
----------- -----------
94,642,216 94,642,216
----------- -----------
0-3 months Payable Total
in the event
of liquidation
GBP GBP GBP
As at 31 December 2013:
Accrued expenses 437,763 - 437,763
Shares - 142,540,933 142,540,933
----------- ---------------- ------------
437,763 142,540,933 142,978,696
----------- ---------------- ------------
(d) Leverage by underlying funds
Each of the Master Funds may employ leverage for the purposes of
making investment, the funding of redemptions, the payment of
expenses and/or to fund the repayment of other borrowings. The
Master Funds may employ leverage (including through borrowings) in
order to increase investment exposure with a view to achieving
their target returns at target volatilities. The positions
maintained by the Master Funds may, in aggregate value be in excess
of the net asset value of the Master Funds. This leverage presents
the potential for a higher rate of total returns but will also
increase the volatility of the Master Funds and, as a consequence,
the Company, including the risk of a total loss of the amount
invested.
(e) Capital management
The investment objective of the Company is to achieve long term
appreciation in the value of its assets through an investment
policy of investing substantially all of its assets in the Feeder
Funds, which in turn invests into the market through investments in
the Master Funds.
The Company's shares are traded on the London Stock Exchange and
may trade at a discount to their NAV per share. However, in
structuring the Company, the Directors have given detailed
consideration to the discount risk and how this may be managed. The
Directors are authorised to buy back up to 14.99 per cent of the
aggregate number of each class of shares in issue. The Company's
authority was renewed as the annual general meeting held on 18 June
2014, to expire within 15 months of this date or, if earlier, at
the end of the next annual general meeting of the Company to be
held in 2015.
The Directors intend that purchases will only be made pursuant
to this authority through the market, for cash, at prices below the
prevailing NAV per share. In addition, if the Directors consider
the share buy-back programme has not been effective in correcting a
market imbalance, the Directors will, subject to the requirements
of the Law, make a redemption offer to shareholders of that
class.
The Company's Articles allow it to hold up to 10 per cent of
each class of shares in issue in treasury when those shares have
been purchased by the Company. It is the intention of the Board
that any shares that might be held in treasury would be reissued
only at a price equal to or above the NAV per share.
The Company's authorised share capital is such that further
issues of new ordinary shares could be made. Subject to prevailing
market conditions, and only if the Board determines that such
issues are in the best interest of shareholders, the Board may
decide to make one or more further such issues or reissues of
shares for cash from time to time. Any further issues of new
ordinary shares or reissues of ordinary shares held in treasury
will rank pari passu with ordinary shares in issue.
There are no provisions within the Law which confer rights of
pre-emption in respect of the allotment of shares. There are,
however, pre-emption rights contained in the Articles, but the
Directors have been granted the power to issue further Shares on a
non-pre-emptive basis for a period concluding immediately prior to
the first annual general meeting of the company. The Directors
intend to request that the authority to allot shares on a
non-pre-emptive basis is renewed at each subsequent general meeting
of the Company.
The monthly conversion facility was in place for the period up
to 30 June 2014 whereby shareholders could request to convert their
shares in any class of shares to shares in another class. Following
the closure and delisting of the US$ Share Class on 18 July 2014
the monthly conversion is no longer applicable.
(f) Fair value statement
The carrying value of all financial instruments approximate the
fair value at the period end.
(g) Fair value estimation
At 30 June 2014, 100% of financial assets at fair value through
profit or loss comprise investments in the Master Funds and the
Feeder Funds that have been fair valued in accordance with the
policies set out in Note 2. The shares of the Feeder Funds are not
publicly traded and redemption can be made by the Company only on
the redemption dates and subject to the required notice periods
specified in the offering documents of each of the Feeder Funds. As
a result, the carrying values of the Feeder Funds may not be
indicative of the values ultimately realised on redemption. The
funds are managed by portfolio managers who are compensated by the
respective funds for their services. Such compensation generally
consists of an asset-based fee and a performance-based incentive
fee. Such compensation is reflected in the valuation of the
Company's investment in each of the Feeder Funds.
The Feeder Funds are not traded on an active market and
therefore their fair value is determined using valuation
techniques. The value is primarily based on the latest available
redemption price of the Feeder Funds' shares as reported by the
administrators of the Feeder Funds. The Company may make
adjustments to the value based on considerations such as liquidity
of the Feeder Fund or the Master Funds, the valuation date of the
NAV, any restrictions on redemptions and the basis of
accounting.
IFRS 7 requires fair value to be disclosed by the source of
inputs, using a three-level hierarchy:
- Quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1);
- Inputs other than quoted prices included in Level 1 that are
observable for the asset or liability, either directly (as prices)
or indirectly (derived from prices) (Level 2); and
- Inputs for the asset or liability that are not based on
observable market data (unobservable inputs) (Level 3).
For financial instruments that are recognised at fair value on a
recurring basis, the Company determines whether transfers have
occurred between Levels in the hierarchy by re-assessing
categorisation (based on the lowest level input that is significant
to the fair value measurement as a whole) at the end of the
reporting period.
The investments held by the Company have been classified as
Level 2. This is in accordance with the fair value hierarchy.
13. EVENTS AFTER THE REPORTING PERIOD
Pursuant to the announcement on 27 June 2014 of the results of
the Tender Offer for up to 100 per cent of each class of share in
issue in the Company (excluding treasury shares) which closed on 25
June 2014 (the "Tender Offer") the Company announced on 10 July
2014 the conversion ratio in connection with the compulsory
conversion into Sterling Shares of the US$ Shares which had not
been tendered ("Conversion"), of US$ to Sterling 0.582322.
On 18 July 2014, the Company's issued share capital was
47,577,128 Sterling Shares (excluding shares held in treasury).
The Company has made the following own share purchases for
cancellation since 30 June 2014:
22 July 2014 100,000 at GBP.094 per share
29 July 2014 250,000 at GBP0.94968 per share
04 Aug 2014 255,000 at GBP0.9469 per share
12 Aug 2014 1,190,000 at GBP0.92875 per share
Securities portfolio Nominal Holdings Valuation Valuation Total Assets
Source Currency
GBP %
BlueTrend Fund Limited
* Class B Sterling Shares 98,274.486 23,765,921 23,765,921 18.51
BlueTrend 2x Leveraged Fund Limited
* Series 32 GBP shares 5,277.9037 605,303 605,303 0.47
* Series 33 GBP shares 40,750 4,532,630 4,532,630 3.53
----------- -------------
5,137,933 4.00
----------- -------------
Portfolio value 28,903,854 22.51
----------- -------------
* Investments redeemed awaiting settlement
BlueTrend Fund Limited
* Class B Sterling Shares 138,468.6219 33,486,152 33,486,152 26.08
* Class B USD Shares 154,666.369 42,225,368 24,684,536 19.22
----------- -------------
58,170,688 45.30
BlueTrend 2x Leveraged Fund Limited
* Series 21 GBP shares 7,247.1898 585,423 585,423 0.46
* Series 22 GBP shares 2,050 157,580 157,580 0.12
* Series 23 GBP shares 3,070 233,875 233,875 0.18
* Series 24 GBP shares 1,900 142,742 142,742 0.11
* Series 25 GBP shares 3,060 254,030 254,030 0.20
* Series 26 GBP shares 1,068.9565 82,458 82,458 0.06
* Series 27 GBP shares 57,780 4,294,805 4,294,805 3.34
* Series 29 GBP shares 11,170 1,157,472 1,157,472 0.90
* Series 30 GBP shares 6,700 706,716 706,716 0.55
* Series 31 GBP shares 930 100,212 100,212 0.08
* Series 32 GBP shares 3,676.5839 425,687 425,687 0.33
* Series 33 USD shares 3,996.1811 320,895 187,592 0.15
* Series 34 USD shares 520 39,744 23,234 0.02
* Series 35 USD shares 1,050 87,208 50,981 0.04
* Series 43 USD shares 6,540 688,585 402,540 0.31
* Series 44 USD shares 41,650 4,507,574 2,635,083 2.05
* Series 46 USD shares 2,360 254,042 148,511 0.12
* Series 47 USD shares 2,300 266,077 155,546 0.12
* Series 49 USD shares 1,305.0796 151,566 88,604 0.07
* Series 50 USD shares 29,149.1883 3,345,221 1,955,585 1.52
----------- -------------
13,788,676 10.73
----------- -------------
Total Investments redeemed awaiting settlement 71,959,364 56.03
----------- -------------
As at 31 December 2013 Nominal Holdings Valuation Valuation Total Net
Securities portfolio Source Currency Assets
GBP %
BlueTrend Fund Limited
* Class B Sterling Shares 352,830 GBP80,246,383 80,246,383 56.30%
* Class B USD Shares 253,941 $65,306,645 39,443,526 27.67%
* Series 21 GBP shares 45,067 GBP3,317,019 3,317,019 2.33%
* Series 22 GBP shares 2,050 GBP143,579 143,579 0.10%
* Series 23 GBP shares 3,070 GBP213,094 213,094 0.15%
* Series 24 GBP shares 1,900 GBP130,059 130,059 0.09%
* Series 25 GBP shares 3,060 GBP231,458 231,458 0.16%
* Series 26 GBP shares 1,069 GBP75,131 75,131 0.05%
* Series 27 GBP shares 57,780 GBP3,913,196 3,913,196 2.75%
* Series 29 GBP shares 11,170 GBP1,065,033 1,065,033 0.75%
* Series 30 GBP shares 6,700 GBP652,950 652,950 0.46%
* Series 33 USD shares 41,986 $3,076,895 1,858,365 1.30%
* Series 34 USD shares 520 $36,271 21,907 0.02%
* Series 35 USD shares 1,050 $79,587 48,068 0.03%
* Series 43 USD shares 6,540 $636,526 384,445 0.27%
* Series 44 USD shares 41,650 $4,187,442 2,529,107 1.77%
Total 134,273,320 94.20%
------------ ----------
SCHEDULE OF INFORMATION
As at 30 June 2014
The Company's Sterling Shares are capable of being traded on the
London Stock Exchange's main market for listed securities. All
Shares may be dealt in directly through a stockbroker or
professional adviser acting on an investor's behalf. The buying and
selling of Shares may be settled through CREST.
Approximately 6 business days after the end of each month the
confirmed net asset value for each class of Share is announced,
together with information on the Company's investments and
performance report, to a regulatory information service provider of
the London Stock Exchange. In addition, on a weekly basis the
Company announces in the same manner the estimated net asset value
for each class of Share.
The ISIN, SEDOL and the London Stock Exchange mnemonic of each
share class issued by the Company to date is:
ISIN SEDOL LSE mnemonic
Sterling Class shares GG00B7MSX903 B7MSX90 BBTS
For reference only as US$ Class shares de-listed
US$ Class shares GG00B73CPL70 B73CPL7 BBTU
Conversion between share classes
The Company no longer offers monthly conversion between share
classes.
Shareholder enquiries
The Company's CREST compliant registrar is Computershare
Investor Services (Guernsey) Limited, which maintains the Company's
register of shareholders and act as Transfer Agent and Paying
Agent. Shareholder enquiries are handled by the Transfer Agent who
may be contacted by telephone on +44 (0) 870 7074040.
Further information regarding the Company can be found on its
website at www.bluecrestbluetrend.com.
DIRECTORS AND SERVICE PROVIDERS
Directors Wayne Bulpitt (Chairman)
Huw Salter
Andrew Dodd
Robert Heaselgrave (alternate director for Andrew Dodd)
Registered Office 1 Le Truchot
St. Peter Port
Guernsey GY1 1WD
Channel Islands
Administrator, Secretary and Dexion Capital (Guernsey) Limited
Designated Manager 1 Le Truchot
St. Peter Port
Guernsey GY1 3SZ
Channel Islands
Corporate Broker Dexion Capital plc
1 Tudor Street
London EC4Y 0AH
United Kingdom
Legal advisers to the Company Herbert Smith Freehills LLP
Exchange House
Primrose Street
London EC2A 2HS
United Kingdom
Advocates to the Company Carey Olsen
as to Guernsey Law P.O. Box 98
Carey House
Les Banques
St. Peter Port
Guernsey GY1 4BZ
Channel Islands
Registrar, Transfer Agent and Computershare Investor Services (Guernsey) Limited
Paying Agent 3rd Floor
NatWest House
Le Truchot
St. Peter Port
Guernsey GY1 1WD
Channel Islands
Independent Auditor of the Company Ernst & Young LLP
PO Box 9
Royal Chambers
St. Julian's Avenue
St. Peter Port
Guernsey GY1 4AF
Channel Islands
This information is provided by RNS
The company news service from the London Stock Exchange
END
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