TIDMCMAE TIDMCMAU TIDMCMAS
RNS Number : 2106L
CMA Global Hedge PCC Ltd
30 April 2010
CMA Global Hedge PCC LIMITED
(the "Company")
Stock Exchange Announcement
ANNUAL FINANCIAL REPORT
The Company has today, in accordance with the Disclosure and Transparency Rules
("DTR") 6.3.5, released its Annual Financial Report for the year ending 31st
December 2009 (the "Report"). The Report is available from the Company's
website www.cmaglobalhedge.com and will shortly be available for inspection at
the UK Listing Authority's Document Viewing Facility, which is located at:
Financial Services Authority
25 The North Colonnade
Canary Wharf
London, E14 5HS
1
The Directors of the Company announce the following results for the year ended
31st December 2009:
+-----------------------+-------------+-------------+-------------+
| As at 31st December | US Dollar | Euro class | Sterling |
| 2009 | class | EUR | class |
| | US$ | | GBP |
+-----------------------+-------------+-------------+-------------+
| Total net assets | 12,514,802 | 8,932,074 | 6,356,037 |
+-----------------------+-------------+-------------+-------------+
| Net Assets Value per | 8.13 | 7.64 | 7.77 |
| share | | | |
+-----------------------+-------------+-------------+-------------+
| Total earnings per | 0.20 | (0.01) | 0.94 |
| share | | | |
+-----------------------+-------------+-------------+-------------+
| As at 31st December | | | |
| 2008 | | | |
+-----------------------+-------------+-------------+-------------+
| Total net assets | 86,481,257 | 67,034,563 | 46,283,603 |
+-----------------------+-------------+-------------+-------------+
| Net Assets Value per | 8.09 | 7.80 | 7.90 |
| share | | | |
+-----------------------+-------------+-------------+-------------+
| Total earnings per | (3.43) | (3.70) | (6.36) |
| share | | | |
+-----------------------+-------------+-------------+-------------+
2
Commenting on the results the Chairman has made the following statement:
CHAIRMAN'S STATEMENT
I would like to take this opportunity to thank all of our shareholders for their
past support in CMA Global Hedge PCC Limited and give you an overview of the
Company's progress during 2009.
Developments and changes in the Company during the year
2009 was a year full of very significant events for the Company. It was able to
successfully repay its leverage, complete 3 redemptions of 20 per cent. each,
and following its Shareholders wishes finally proceed with its gradual
dissolution.
As discussed in previous statements, being aware of the wide discounts to net
asset value (NAV) at which the Company's shares had been trading the Board
announced on 21 October 2008 the actions that it believed had to be taken to
narrow the discount to NAV. Proposals were put forward to a Shareholders vote at
the EGM held on 17 December 2008, and both Resolutions put to the vote were duly
passed with 98.18 per cent of the votes cast in support.
Firstly, the Proposals included two redemption offers in December 2008 and March
2009 of up to 20 per cent of the Company's issued share capital with a 4 per
cent Redemption Fee payable to the Investment Manager. Secondly, they included
the creation of an on-going Redemption Facility, whereby Shareholders had the
opportunity to have up to 20 per cent of their Shares redeemed on a half yearly
basis at the discretion of the Directors, with a Redemption Fee of 4 per cent in
2009, 3 per cent in 2010 and 2 per cent in 2011. The redemption proceeds for
Shareholders consisted of two elements: (1) an initial cash element and (2) an
entitlement to receive the realisation proceeds of a pro rata share of the less
liquid portion of the Company's portfolio. Finally, the third proposal approved
at the December 2008 EGM was the reduction of the Management Fee being paid to
the Investment Manager in accordance with the Investment Management Agreement
from 1.25 per cent annually to 1 per cent annually of the Total Assets of the
Company. This reduction was implemented as of 1 January 2009.
The Company was able to successfully complete two Redemption Offers, the
December 2008 and March 2009 offers, and one Redemption Facility Offer, the June
2009 offer. In addition to the initial cash payments that were distributed to
redeeming shareholders, additional cash distributions were made during 2009 and
in early 2010 from all the illiquid entitlement pools.
Summary of Redemption Proceeds Paid to Investors
The December 2008 redemption offer's initial payment was made in February 2009
and represented 52.37 per cent of the total redemption value at NAV, which is
the value of the net assets in the December 2008 Entitlement Pool at the date of
transfer. The entitlement pool which represented the remaining 47.63 per cent
made two cash distributions in 2009 and one in early 2010 representing a total
of 63.36 per cent of its NAV at creation. This means that shareholders who
participated in the December 2008 redemption offer have already received in cash
around 82.55 per cent of their redemption value at NAV.
The March 2009 redemption offer's initial payment was made in May 2009 and
represented 60.64 per cent of the total redemption value at NAV, which is the
value of the net assets in the March 2009 Entitlement Pool at the date of
transfer. The entitlement pool which represented the remaining 39.36 per cent
made one cash distribution in 2009 and one in early 2010 representing a total of
58.77 per cent of its NAV at creation. This means that shareholders who
participated in the March 2009 redemption offer have already received in cash
around 83.69 per cent of their redemption value at NAV.
The June 2009 redemption offer's initial payment was made in August 2009 and
represented 64.03 per cent of the total redemption value at NAV, which is the
value of the net assets in the June 2009 Entitlement Pool at the date of
transfer. The entitlement pool which represented the remaining 35.97 per cent
made its first cash distributions in early 2010 representing 47.03 per cent of
its NAV at creation. This means that shareholders who participated in the June
2009 redemption offer have already received in cash around 80.95 per cent of
their redemption value at NAV.
The Company will continue to publish on a monthly basis an unaudited NAV for the
Entitlement Pools, which Shareholders may choose to take as indicative of the
remaining potential realisation proceeds of the Entitlement Pool and the Actual
Cash Proceeds they may receive.
3
CHAIRMAN'S STATEMENT (continued)
Direction of the Company
On 8 July 2009, the Company communicated its intention to offer its Shareholders
the opportunity to determine the future direction of the Company through a vote
at an EGM. The Board considered that the discontinuation of the Company would be
in the best interests of the Company's Shareholders for several reasons:
Despite the Company's Redemption Offers of December 2008 and March 2009 and the
Redemption Facility Offer of June 2009, the discount to NAV relating to the
remaining shareholders did not decrease to an acceptable level.
The level of Shareholders who participated in the Company's Redemption Offers
and Redemption Facility Offer was overwhelming and indicated that the majority
of Shareholders were seeking to exit their investment in the Company.
After completion of the Redemption Offers and Redemption Facility Offer, the
size of the Company was approximately US$150 million. This was a significant
reduction from a size in excess of US$400 million when the Company was launched
which could have an adverse performance impact on remaining Shareholders, as
well as the liquidity of the Company's shares on the London Stock Exchange.
The results of the Company's 2009 Annual General Meeting, which did not renew
the term of one of the Directors (James T.H. Lee), indicated to the Board that
Shareholders holding a significant proportion of the Company's Shares were
unhappy with the position at that time, and were seeking an opportunity to
decide on the future direction of the Company.
Finally, the performance of the Company's NAV, while in line with the hedge fund
industry in general, was disappointing for the Shareholders over the past year
and a half.
At the EGM held on 3 September 2009 the discontinuation vote passed with 88.93
per cent of shareholders voting in favour. This led the Board to propose two
options by which Shareholders could realize their investment in the Company,
with Shareholders able to elect for the option which best suited their
circumstances in an EGM held on 15 December 2009.
The Options for Shareholders were:
a) to retain an interest in a listed vehicle and receive realisation
distributions until the Company was formally wound up (the "Redemption Option"),
including an initial cash distribution representing a pro rata share of
available cash at the time; or
b) to receive a cash payment or cash payments (the "Cash Distribution")
equivalent to the immediately realisable value of the proportion of the
Portfolio attributable to their shareholding in the Company (the "Cash Option").
At the EGM held on 15 December 2009, approximately 17.5 per cent of shareholders
chose the Cash Option and 82.5 per cent the Redemption Option.
Following approval by the Shareholders at an EGM dated 15 December 2009, the
management fee payable to the Investment Manager was reduced to 0.25 per cent of
the Company's Net Asset Value. In addition, the requirement for the Company to
pay a performance fee to the Investment Manager was removed.
Summary of Proceeds Paid to Cash Option and Redemption Option Shareholders
USD Cash Option shareholders received on the 23 December 2009 an initial payment
of 73.43 per cent and a second and final payment on the 17 March 2010 of 10.60
per cent of NAV after their pro rata share of illiquid assets was sold on the
secondary market, giving them a total payment of 84.03 per cent of NAV. EUR and
GBP Cash Option shareholders received slightly higher total payments due to FX
movements, of 84.68 per cent and 85.05 per cent of NAV respectively.
USD Redemption Option shareholders on 23 December 2009 had 73.43 per cent of
their shares redeemed at NAV and therefore received an initial payment of 73.43
per cent of NAV. EUR and GBP Redemption Shareholders, had due to FX movements,
slightly higher initial payments of 73.55 per cent and 73.61 per cent
respectively. All Redemption Option shareholders also retained the remainder of
their shares which corresponded to the illiquid assets in the Company's
portfolio. They will have additional portions of their shares redeemed (and
receive additional payments) in the future as the Company's illiquid assets are
realised.
4
CHAIRMAN'S STATEMENT (continued)
Performance and Leverage
2009 was an essentially flat to slightly positive period for the Company with
our USD NAV return at +1.11 per cent. This was achieved while the Investment
Manager was raising significant cash in the portfolio throughout the year and
trying to liquidate the portfolio as quickly and efficiently as possible
following the discontinuation vote that was passed in September 2009.
With regard to leverage, I am very pleased to report that due to aggressive cash
raising in the portfolio, leverage was eliminated in mid-March 2009, 2 months
ahead of schedule.
In conclusion, 2009 was a very eventful year for the Company and ended with its
discontinuation according to the wishes of its Shareholders. The Board has
consistently engaged with Shareholders and the Company's advisors in an effort
to provide Shareholders with options and ensure a rapid and fair distribution of
cash proceeds to all Shareholders. 2009 proved mildly positive for the Company's
Net Asset Value, in a year during which the Company was focused on raising cash
and returning it to shareholders, an effort which has been successful and will
continue until dissolution.
In summary, 2009 was complex, busy and trying but overall relatively successful
in the circumstances. Once again, I thank all of our shareholders for bearing
with us as we continue the wind-down.
Christopher Fish
Chairman
5
INVESTMENT MANAGER'S REPORT
For the year ended 31 December 2009
Market Review
The first couple of months of 2009 was a continuation of the severe sell-off we
witnessed during 2008. The markets reached a low in mid March and rallied
significantly thereafter. In some ways the enormous rise seen in both equity and
credit markets since mid March 2009 had some perplexing undertones. While it was
true that markets had fallen way beyond the levels most investors had
anticipated, the speed and breadth of the recovery did not seem to have
fundamental underpinnings. Market participants were discounting government
backstops and future top line growth, paying little attention to the cost
cutting that was driving numbers throughout the year. They also seemed to ignore
global private credit contraction, persistent unemployment and weak bank balance
sheets with lack of clarity in terms of further write-downs. Investors also
shunned global imbalances with significant expansion of central bank balance
sheets, and artificially low interest rates which could at some point reverse.
It is an understatement to affirm that 2009 was much more of a Beta (market
risk) year than an Alpha (outperformance) year. Quality of earnings and cash
flows were not properly rewarded, and sectors moved in tandem with little regard
for underlying valuations. Additionally, the level of credit spread tightening
was somewhat unexpected, with a perceived mispricing of credit risk that we
believe had very benign (and perhaps unrealistic) consequences for volatility in
general.
Company Update
For the Company 2009 was slightly positive with the performance of its USD class
NAV being +1.11 per cent for the year. This performance was achieved while
throughout the year we remained focused on increasing liquidity across the
portfolio.
The Company thus did not participate to any significant extent in the market
rally mentioned above but managed to raise very significant levels of cash. This
was done in light of the overwhelming participation of shareholders in the
December 2008, March 2009 and June 2009 redemptions, as well as the passing by a
very large majority of the discontinuation vote of the Company on the 3rd
September and its EGM on the 15th December 2009.
At the same time in the beginning of the year the Company was able to raise
enough cash to fully repay its leverage.
In December 2009 the Company was able to raise significant further cash and
distribute over 73 per cent of its NAV to all shareholders following the
unanimous passing of the restructuring proposals on the 15 December 2009.
More specifically, USD shareholders received 73.43 per cent of the 4 December
2009 NAV, EUR Shareholders 73.55 per cent, and GBP shareholders 73.61 per cent.
Leverage and FX Hedging
The Company started the year with over 2X leverage and managed at the end of
March 2009 to fully repay its leverage. It has not deployed any leverage since
and will not do so going forward.
The FX hedging program of the Company was stopped in December 2009 at the time
of the cash distribution mentioned above.
The Company will not be performing currency hedging going forward. This means
that the EUR and GBP class are exposed to the USD as substantially all the
remaining underlying holdings are USD denominated.
Portfolio Update
We have been focused on liquidating the portfolio and will continue to do so.
The remainder of the portfolio which has not yet been liquidated represents
illiquid assets invested into Equity, Arbitrage and Trading managers. However
the vast majority of the remaining illiquid holdings of the Company are in
Arbitrage strategies (Absolute Yield, Convertible Arbitrage and Distressed)
which were generally worst affected by illiquidity in the markets.
6
INVESTMENT MANAGER'S REPORT (continued)
Outlook
Given the state of the Company and our continued focus on liquidating the
portfolio and distributing all available cash to Shareholders, our investment
outlook for 2010 is less relevant as we have commenced the distribution of cash
in December 2009 (73.5% of the portfolio) and will not be re-investing any
additional cash raised. Nevertheless, we would like to share with you some
comments on the liquidity of the portfolio and in addition, as a purely
qualitative and subjective outlook, we are also providing an expected
liquidation schedule for the remaining assets of the Company.
As of today, there is still a significant number of hedge fund managers that
maintain locked up capital in so called side pockets or suspended funds.
Bloomberg and Credit Suisse Tremont report the figure of illiquid hedge fund
assets in the industry at over $77 billion, even after the spectacular rebound
in most asset classes. This is still over 5% of the hedge fund industry's total
assets under management, a number we find simply unacceptable and will continue
to weigh-in on the reputation of the industry as a whole. This is something that
is clearly affecting the Company and preventing the complete liquidation of its
portfolio.
We expect the majority of the remaining illiquid holdings of the Company to be
liquidated in the next 2-3 years. The below schedule of expected liquidation is
purely indicative, based on available information at the time and subjective
expectations. It is by no means guaranteed and may be proved significantly
inaccurate.
Liquidation Schedule*
+-----------------------+------+
| Cash distributed - | 73% |
| December 2009 | |
+-----------------------+------+
| Q2 2010 | 6% |
+-----------------------+------+
| Q3 2010 | 4% |
+-----------------------+------+
| Q4 2010 | 2% |
+-----------------------+------+
| 2011 | 4% |
+-----------------------+------+
| 2012 or later | 11% |
+-----------------------+------+
| Total |100% |
+-----------------------+------+
| *(percentages reflected |
| represent rounded figures) |
+-----------------------+------+
C.M. Advisors Limited
30 April 2010
7
DIRECTORS
The Directors of the Company are listed below:
Christopher N. Fish is a British citizen and a Guernsey resident. He was born in
1945. Since August 2004 he has been acting as Non-executive Chairman of Close
International Asset Management Holdings Limited and Close International Bank
Holdings Limited. He is also a Non-executive Director of Close Fund Services
Limited and Close Bank (Guernsey) Limited. Mr. Fish also holds a Personal
Fiduciary Licence (issued by the Guernsey Financial Services Commission)
covering private company directorships and fiduciary activities. He currently
holds directorships in a number of regulated entities including mutual funds.
From 1999 to July 2004, Mr. Fish was a Managing Director of Close International
Private Banking, which provided Banking, Treasury, Trust and Company Services,
Asset Management, Mutual Fund Administration and Custodian Trustee Services. In
1998 he was working for Rea Brothers (Guernsey) Limited as Senior Executive
Director and Group Head of Trust. Rea was acquired by Close Brothers Plc in
1999.
From 1992 to February 1998 he worked at Coutts & Co., as Managing Director,
Coutts & Co (Cayman) Ltd then as Americas Offshore Head, and finally as Senior
Client Partner and Director, Coutts Offshore Businesses: Bahamas, Bermuda,
Cayman, Guernsey, Jersey, Isle of Man. From 1989 to 1992 Mr. Fish was the Chief
Executive of Leopold Joseph Holdings (Guernsey) Ltd and from 1973 to 1989 he was
the Deputy Managing Director of the Royal Bank of Canada (Channel Islands)
Limited. Mr. Fish started his career in 1963 with Lloyds Bank plc in the
Executor & Trustee Division.
Emmanuel Gavaudan was born in 1961 in Paris. He is a French citizen and is
resident in Hong Kong. Mr. Gavaudan is a Partner of Boussard & Gavaudan Asset
Management LP ("BGAM"), an alternative asset management partnership with
approximately US$1.5 billion under management. BGAM's flagship fund in January
2006 won the EuroHedge Award for best "Convertibles & Equity Arbitrage" fund
of the year. Prior to founding BGAM in 2003, Mr. Gavaudan was employed by
Goldman Sachs for 13 years from 1989 until 2002.
Most recently he was a Partner Managing Director of Goldman Sachs. At the time
he left Goldman Sachs he was on the boards of Goldman Sachs International and
Goldman Sachs & Co Bank, as well as being the Co-head of Private Wealth
Management for Europe and a member of the Private Wealth Management global
operating committee. Between 1998 and 2000, he was the General Manager of
Goldman Sachs & Co Bank in Switzerland where he was responsible for all
divisions, including Private Banking, Equities and Investment Banking. From 1990
to 1998, he was a private banker at Goldman Sachs International in London where
his role included all aspects of private client business such as advising
clients on a variety of investments, providing asset allocation analysis and
implementing asset allocation decisions. He holds an MBA from the Wharton
School, University of Pennsylvania (1989) and prior to that he studied at the
Institut d'Etudes Politiques de Paris and the Law School- Paris II Assas:
Licence de Droit.
James T. H. Lee* is a British citizen, born in 1948. He is the Deputy Chief
Executive Officer of EFG International. He previously was the Deputy Chief
Executive Officer of EFG Bank (since 2003). He joined EFG Bank in 2001 as an
advisor and was appointed Head of Merchant Banking and Chairman of the credit
committee in January 2002 and a member of the management committee. Prior to
2001, Mr. Lee worked for UBS on strategic and tactical acquisitions in the field
of private banking (1999-2000), and was the Global Head of International Private
Banking for Bank of America (1997-1998). Between 1973 and 1997 he held various
positions at Citigroup in Corporate, Investment and Private Banking, including
being responsible for the Private Bank's Ultra-High Net Worth business in Asia
and for the Global Investment Advisory business of the Private Bank. In 2000,
Mr. Lee acted as advisor to several start-up businesses active in the fields of
e-commerce and healthcare and co-founded an e-commerce company in the UK to
build portals for specific industries in which he no longer holds any interest.
Mr. Lee obtained a Bachelors of Science (Honours) degree in Electrical
Engineering in 1970 and a Masters degree in Management Science and Operational
Research, both from Imperial College, University of London.
8
DIRECTORS (continued)
Markos Kamchis* (known as Marcos Camhis), born in 1975, is a Greek citizen and a
Swiss resident. He currently holds the position of Director of Business
Development for the EFG Asset Management business, based in Geneva. From July
2008 to December 2009, he held the position of Director of Business Development
at C.M. Advisors Limited, a subsidiary of EFG International, focusing on global
institutional investors. From March 2007 to July 2008 he worked in institutional
sales at EFG Bank London. From January 2000 to February 2007 Markos held various
roles within the CMA group of companies. Prior to joining CMA, he worked as a
consultant in the Strategic Risk Management Group of PriceWaterhouseCoopers in
London. Markos holds a BA in Politics from Warwick University, an MA in Public
Administration from the College of Europe in Bruges.
* - Mr. Lee was a Director of the Company until 8 July 2009. He was replaced by
Mr. Kamchis as an Executive Director on 7 December 2009.
9
DIRECTORS' REPORT
The Directors are pleased to present their Annual Report and the Audited
Financial Statements of CMA Global Hedge PCC Limited (the "Company") for the
year ended 31 December 2009.
PRINCIPAL ACTIVITY
The Company is a Guernsey, closed-ended, investment protected cell company,
established with one Cell, the CMA Global Hedge 1 (the "Cell") on 13 June 2006
to invest in a portfolio of hedge funds managed by C.M. Advisors Limited, a
Bermuda-based exempt company offering investment management and advisory
services to funds of hedge funds as well as hedge fund related products. The
Cell has three classes of shares, US Dollar, Euro and Sterling, each of which is
listed on the London Stock Exchange.
At an Extraordinary General Meeting ("EGM") of the Company on 17 December 2008,
it was resolved that the Company would enter into two Redemption Offers and
create an ongoing discretionary Redemption Facility. On 12 May 2009, the Board
of Directors of the Company resolved to exercise their discretion to enter into
a Redemption Facility Offer with an ongoing Redemption Facility. Details of the
Redemption Offers and Redemption Facility Offer are disclosed on page 11. The
Company still maintains its closed-ended status.
Following the Annual General Meeting ("AGM") on 8 July 2009, the Board
communicated its intention to offer its shareholders the opportunity to
determine the future direction of the Company through a vote at an EGM. The
Board considered that the discontinuation of the Company would be in the best
interests of the Company's Shareholders as a whole. At an EGM of the Company
duly convened and held on 3 September 2009, the resolution for the
discontinuation of the Company was passed and approved as an Ordinary Resolution
of the Company. Further to this business development, the following wind-down
proposals have been passed and approved by the shareholders on 15 December 2009
EGM:
- introduction of two options to realise shareholders' investments in
the Company, with shareholders able
to elect for the option which best suited their circumstances (the Redemption
Option or the Cash Option);
- amendment of the Company's Investment Objective and Policy in order
to become a listed run-off
vehicle;
- amendment of the Company's Articles of Incorporation in a manner
consistent with converting to a
listed run-off vehicle and with offering shareholders the Redemption Option or
the Cash Option. (*)
(*) Details of the two options were:
- Redemption Option: to retain an interest in a listed vehicle and
receive realisation distributions (on
dates at the Directors' sole discretion) until the Company has been formally
wound up, including an
initial cash distribution as soon as practicable representing a pro rata share
of available cash at the time; or
- Cash Option: to receive a cash payment or cash payments (the "Cash
Distribution") equivalent to the
immediately realisable value of the proportion of the Portfolio attributable to
shareholding in the
Company.
Pursuant to this Resolution of the Company, the Directors created a portfolio of
cash and assets representing the aggregate entitlement of the Redemption
shareholders ("the Redemption Pool") and a pool of cash and assets representing
the aggregate entitlement of the Cash Distribution Shareholders ("the Cash
Pool").
At the initial set-up of these pools, assets, in the form of investments are
transferred in from the Company's main portfolio. Any subsequent costs and
expenses directly attributable to the recovery of the investments are charged
directly to the relevant pool. In the case of the Redemption Pool, the Company
likewise set up a provision for wind-up costs.
INVESTMENT OBJECTIVE AND POLICY
The Company will be managed with the intention of realising all remaining assets
in the Portfolio so as to maximise the value of capital returned to
Shareholders.
No new investments will be made during the return of capital to Shareholders.
The Company is currently ungeared and it is the intention that no new gearing
will be undertaken, other than short-term borrowings for working capital
purposes.
Pending distribution to the Shareholders, the distribution proceeds will be held
in cash on deposit and/or as cash equivalents.
10
DIRECTORS' REPORT (continued)
INVESTMENT OBJECTIVE AND POLICY (continued)
Following the 15 December 2009 EGM, the Company's portfolio no longer retained
sufficient liquidity for the Investment Manager to be able to maintain a full
currency hedging programme. Based on the Board's proposal, the Company ceased
its currency hedging programme following this EGM.
In accordance with the requirements of the UK Listing Authority, any material
change to the investment policy of the Company will be made only with the
approval of Shareholders.
TERMINATION OF CREDIT FACILITY
Due to the high cost of maintaining the Company's existing financial leverage,
in November 2008 the Directors gave six months notice to Citibank International
PLC ("Citibank") to terminate the financing agreement and repaid the loan by 31
March 2009.
REDEMPTION OFFERS AND DISCRETIONARY REDEMPTION FACILITY
Following the EGM on 17 December 2008, the Board implemented the following
proposals approved at the meeting, in order to reduce the imbalance between
supply and demand for the shares in the market and thereby seek to reduce the
discount to Net Asset Value at which the shares of the Company had been trading:
- Redemption Offers in December 2008 and March 2009 of up to 20 per cent.
each of the Company's issued share capital as at the December 2008 Record Date
(15 December 2008) and the March 2009 Record Date (24 March 2009). A redemption
fee was payable to the Investment Manager equal to 4 per cent of the actual
aggregate amount of cash owing to a redeeming shareholder following the
redemption of their shares (the "Actual Cash Proceeds").
- The creation of an on-going Redemption Facility, whereby the Company may
offer, at the discretion of the Directors, to redeem up to 20 per cent. of the
Company's issued share capital on a half yearly basis. Redemption fees payable
to the Investment Manager were 4 per cent, 3 per cent, and 2 per cent of the
Actual Cash Proceeds received by redeeming shareholders in 2009, 2010 and 2011
respectively.
- The reduction in the base fee being paid to the Investment Manager in
accordance with the Investment Management Agreement from 1.25 per cent per annum
to 1 per cent of the Total Assets of the Company.
The Board of Directors of the Company subsequently resolved on 12 May 2009 to
exercise their discretion to offer shareholders in the Company the opportunity
to participate in a Redemption Facility Offer in June 2009 in respect of up to
20 per cent of the Company's issued share capital as at June 2009 Record Rate
(23 June 2009) subject to a redemption fee of 4 per cent of each shareholder's
Actual Cash Proceeds payable to the Investment Manager.
The redemption proceeds for shareholders consisted of both liquid and less
liquid assets. As a result, the amounts payable to redeeming shareholders
("Redemption Portfolio") consisted of two elements: (1) an initial cash element
and (2) an entitlement to receive the realisation proceeds of a pro rata share
of the less liquid portion of the Company's portfolio that had been selected to
be realised as part of the redemptions in the December 2008 and March 2009
Redemption Offers and June 2009 Redemption Facility Offer.
The Company paid redeeming Shareholders the initial cash element of the
redemption proceeds in the currency of shares redeemed. The less liquid assets
which had been selected to be realised were contained in Entitlement Pools in
respect of each Redemption Offer Date. Redeeming shareholders are paid the
realisation proceeds of their share of the Entitlement Pools as and when the
assets are realised and these realisation proceeds may be received as one or
more cash payments.
TAX STATUS
The Company is exempt from Guernsey Income Tax under the Income Tax (Exempt
Bodies) (Guernsey) Ordinances, 1989 and 1992 and is charged an annual exemption
fee of GBP600.
RESULTS
The results for the year are shown in the Statement of Comprehensive Income on
page 20. The Directors do not recommend the payment of a dividend.
11
DIRECTORS' REPORT (continued)
NET ASSET VALUES
At 31 December 2009 the value of net assets available to Shareholders of the
Redemption Pool was as follows:
+----------------------------+---------------+------------------+---------+----------+
| | Net | Shares | Net | Quoted |
| | Asset | in | Asset | |
| | | | Value | |
+----------------------------+---------------+------------------+---------+----------+
| | Value | Issue | Per | Share |
| | | | Share | Price |
+----------------------------+---------------+------------------+---------+----------+
| US Dollar Share | US$12,514,802 | 1,539,414 | US$8.13 | US$6.070 |
| | | | | |
+----------------------------+---------------+------------------+---------+----------+
| Euro Share | EUR8,932,074 | 1,169,040 | EUR7.64 | EUR5.855 |
| | | | | |
+----------------------------+---------------+------------------+---------+----------+
| Sterling Share | GBP6,356,037 | 817,995 | GBP7.77 | GBP5.955 |
| | | | | |
+----------------------------+---------------+------------------+---------+----------+
| | | | | |
+----------------------------+---------------+------------------+---------+----------+
| At 31 December 2008 the value of net assets available to | |
| shareholders was as follows: | |
+-------------------------------------------------------------------------+----------+
| | | | | |
+----------------------------+---------------+------------------+---------+----------+
| | Net | Shares | Net | Quoted |
| | Asset | in | Asset | |
| | | | Value | |
+----------------------------+---------------+------------------+---------+----------+
| | Value | Issue | Per | Share |
| | | | Share | Price |
+----------------------------+---------------+------------------+---------+----------+
| US Dollar Share | US$86,481,257 | 10,686,124 | US$8.09 | US$3.68 |
| | | | | |
+----------------------------+---------------+------------------+---------+----------+
| Euro Share | EUR67,034,562 | 8,596,158 | EUR7.80 | EUR3.39 |
| | | | | |
+----------------------------+---------------+------------------+---------+----------+
| Sterling Share | GBP46,283,602 | 5,855,261 | GBP7.90 | GBP4.03 |
| | | | | |
+----------------------------+---------------+------------------+---------+----------+
| | | | | |
+----------------------------+---------------+------------------+---------+----------+
DIRECTORS
The Directors listed on pages 8 and 9 served during the year.
The Directors did not have any beneficial interest in shares of the Company
during the year or at the end of the year.
There were no relevant contracts in force during or at the end of the year in
which any Director had an interest. There are no service contracts in issue in
respect of the Company's Directors.
Each of the Directors (executive and non-executive) is entitled to receive a fee
of GBP20,000 per annum (GBP35,000 for the Chairman). Markos Kamchis (known as
Marcos Camhis), following the same arrangement as James T. H. Lee, has agreed to
waive his fee during his appointment as Director. Emmanuel Gavaudan, as
Chairman of the Audit Committee, will receive an additional GBP5,000 per annum.
The aggregate remuneration of all Directors shall not exceed GBP150,000.
CORPORATE GOVERNANCE
Introduction
As a closed-ended investment company registered in Guernsey, the Company is
eligible for exemption from the requirements of the Combined Code (the "Code")
issued by the UK Listing Authority which sets out principles of good governance
and a code of best practice. However, the Board has put in place a framework
for corporate governance which it believes is suitable for an investment company
and which enables the Company to voluntarily comply with the main requirements
of the Code.
The Board considers that the Company has complied with the provisions contained
in Section 1 of the Code throughout this accounting period except where
indicated below. The following statement describes how the relevant principles
of governance are applied to the Company.
The Board
The Board currently consists of three Directors, two of whom are non-executive
directors and independent of the Investment Manager. Mr. Kamchis is currently
the Director of Business Development at EFG Bank, a company that is part of the
same group as the Investment Manager. The Board does not consider it necessary
to appoint a senior independent director as Mr. Christopher Fish (Chairman) and
Mr. Emmanuel Gavaudan (Member of the Board) are independent non-executive
Directors. To ensure seat cover (see below) from 16 March 2009 to 16 May 2009,
Mr. Stavros Papastavrou acted as an Alternate Director for Mr. Christopher Fish.
The Articles of Association provide that one third of the Directors retire by
rotation at each annual general meeting. If their number is not three or a
multiple of three, the number nearest to but not exceeding one third, shall
retire from office. A Director who retires at an annual general meeting may, if
willing to act, be re-appointed. The Directors are not subject to automatic
re-appointment.
12
DIRECTORS' REPORT (continued)
CORPORATE GOVERNANCE (continued)
The Board (continued)
The Board meets at least four times a year and between these formal meetings
there is regular contact with the Investment Manager and the Secretary. The
Directors are kept fully informed of investment and financial controls, and
other matters that are relevant to the business of the Company and which should
be brought to the attention of the Directors. The Directors also have access to
the Secretary and, where necessary in the furtherance of their duties, to
independent professional advice at the expense of the Company. For the year
ended 31 December 2009, details of the attendance of Directors on meetings were
are follows:
+-----------------+--+------------------+--------------------+
| Director | Total number of | Total number of |
| |meetings in 2009 | meeting attended |
| | * | |
+--------------------+------------------+--------------------+
| Mr. C. Fish ** | | 19 | 19 |
+-----------------+--+------------------+--------------------+
| Mr. E. Gavaudan | | 19 | 18 |
+-----------------+--+------------------+--------------------+
| Mr. J. T. H. | | 4 | 4 |
| Lee | | | |
+-----------------+--+------------------+--------------------+
| Mr. M. Kamchis | | 2 | 2 |
+-----------------+--+------------------+--------------------+
* comprise of ad hoc meetings, Audit Committee meetings, Management Engagement
Committee meetings, full Board meeting and committee meeting.
** was represented by an Alternate Director, Stavros Papastavrou, in one BM and
ACM held on 27 April 2009
The Board has a breadth of experience relevant to the Company, and the Directors
believe that any changes to the Board's composition can be managed without undue
disruption. With any new Director appointment to the Board, consideration will
be given as to whether an induction process is appropriate.
The Board considers agenda items laid out in the Notice and Agenda which are
formally circulated to the Board in advance of the Meeting as part of the Board
Papers and therefore Directors may request any agenda items be added that they
consider appropriate for Board discussion. Additionally, each Director is
required to inform the Board of any potential or actual conflicts of interest
prior to Board discussion.
The Board has not held formal strategy sessions, as the investment strategy,
which is set out in the Company's prospectus, has been reviewed regularly and
the Investment Manager has been consulted and advises on the adoption of
appropriate strategies to employ under prevailing market conditions at any
particular time within the overall investment restrictions of the Company.
The Board evaluates its performance and considers the tenure of each Director on
an annual basis, and believes that the mix of skills, experience, ages and
length of service are appropriate to the requirements of the Company.
Directors' Duties and Responsibilities
The Directors have adopted a set of Reserved Powers, which establish the key
purpose of the Board and detail its major duties. These duties cover the
following areas of responsibility:
+--+-----------------------------------------------------------+
| - | Statutory obligations and public disclosure; |
+--+-----------------------------------------------------------+
| - | Strategic matters and financial reporting; |
+--+-----------------------------------------------------------+
| - | Oversight of management; |
+--+-----------------------------------------------------------+
| - | Risk assessment and management, including reporting, |
| | monitoring, governance and control; and, |
+--+-----------------------------------------------------------+
| - | Other matters having material effects on the Company. |
+--+-----------------------------------------------------------+
These Reserved Powers of the Board have been adopted by the Directors to clearly
demonstrate the seriousness with which the Board takes its fiduciary
responsibilities and as an ongoing means of measuring and monitoring the
effectiveness of its actions.
Committees of the Board
The Board has not deemed it necessary to appoint a nomination or remuneration
committee as, being majority comprised of non-executive Directors, the whole
Board considers these matters.
13
DIRECTORS' REPORT (continued)
CORPORATE GOVERNANCE (continued)
Management Engagement Committee
A Management Engagement Committee, with defined terms of reference and duties,
has been established to review annually the terms of the investment management
agreement between the Company and the Investment Manager. The Management
Engagement Committee consists of Mr. Gavaudan and Mr. Fish.
Audit Committee
An Audit Committee has been established consisting of Mr. Gavaudan and Mr. Fish.
The Audit Committee is chaired by Mr. Gavaudan. The Audit Committee examines the
effectiveness of the Company's internal control systems, the annual report and
accounts and interim report, the auditors' remuneration and engagement, as well
as the auditors' independence and any non-audit services provided by them. The
Audit Committee receives information from the Secretary's compliance department
and the external auditors, whom the Committee meet with at least once a year.
The Audit Committee meets at least twice a year to review the annual accounts,
interim accounts and audit timetable and other risk management and governance
matters.
Internal Controls
The Board is ultimately responsible for the Company's system of internal control
and for reviewing its effectiveness. The Board confirms that there is an ongoing
process for identifying, evaluating and managing the significant risks faced by
the Company. This process has been in place for the period under review and up
to the date of approval of this Annual Report and Financial Statements, and is
reviewed by the Board and accords with The Turnbull Guidance. The Code requires
Directors to conduct at least annually a review of the Company's system of
internal control, covering all controls, including financial, operational,
compliance and risk management.
The Board has reviewed the effectiveness of the system of internal control. In
particular, it has reviewed and updated the process for identifying and
evaluating the significant risks affecting the Company and the policies by which
these risks are managed.
The internal control systems are designed to meet the Company's particular needs
and the risks to which it is exposed. Accordingly, the internal control systems
are designed to manage rather than eliminate the risk of failure to achieve
business objectives and by their nature can only provide reasonable and not
absolute assurance against misstatement and loss.
The Company has entered into contractual agreements for the provision of custody
services, administration, registrar and corporate secretarial functions
including the independent calculation of the Company's Net Asset Value and the
production of the Annual Report and Financial Statements which are independently
audited. While the Board delegates 'day to day' responsibility, it retains
overall responsibility for the functions it delegates and is responsible for the
systems of internal control.
On an ongoing basis compliance reports are provided at each Board meeting by the
Administrator.
Going Concern
The Directors are satisfied that it is not appropriate to continue to adopt the
going concern basis in preparing the financial statements as a result of the
change in the investment objective of the Company. Consequently, these
financial statements have been prepared in accordance with International
Financial Reporting Standards on a non-going concern basis. Accordingly,
adjustments have been made to the financial statements to reduce assets to their
realisable values, to provide for liabilities arising from the decision, and to
reclassify all assets and liabilities as current.
Relations with Shareholders
The Investment Manager and the Company's broker maintain a regular dialogue with
institutional shareholders, the feedback from which is reported to the Board. In
addition, the Chairman will be available to respond to Shareholders' questions
at the Annual General Meeting, after the formal business has been discussed. The
Board request that all questions be sent to the Company Secretary 48 hours prior
to the Annual General Meeting.
14
DIRECTORS' REPORT (continued)
CORPORATE GOVERNANCE (continued)
Relations with Shareholders (continued)
The Board monitors the trading activity and shareholder profile on a regular
basis and maintains contact with the Company's principal market makers to
ascertain the views of shareholders. Shareholder sentiment is also ascertained
by the careful monitoring of the discount/premium that the shares are traded in
the market against the Net Asset Value per share when compared to the discounts
experienced by the Company's peer group and the results of voting at the various
Shareholder Meetings held throughout the year. Major shareholders are contacted
directly on a regular basis. In addition, the Investment Manager undertakes
quarterly conference calls with shareholders, publishes monthly detailed
performance reports and communicates weekly Net Asset Value estimates.
Redeeming Shareholders are entitled to receive an indicative valuation of their
remaining holdings.
The Company reports formally to Shareholders twice a year and a proxy voting
card is sent to shareholders with the Annual Report and Financial Statements.
Additionally, current information is provided to shareholders on an ongoing
basis through the Company website. The Registrar monitors the voting of the
shareholders and proxy voting is taken into consideration when votes are cast at
the Annual General Meeting. Shareholders may contact the Directors via the
Company Secretary.
MANAGEMENT ARRANGEMENTS
The Company has an agreement with C.M. Advisors Limited for the provision of
investment management services. The Management Engagement Committee has
established a process for the review of the performance of the Investment
Manager in managing the portfolio. The Committee has also reviewed the
appropriateness of the terms of the investment management agreement, in
particular, the length of the notice period and the fees payable to the
Investment Manager.
At the suggestion of the Investment Manager and in consultation with the Board,
the management fee has been reduced from 1 per cent to 0.25 per cent per annum
as of 15 December 2009.
Following their review, it is the opinion of the Directors that the continuing
appointment of the Investment Manager on the terms agreed is in the interest of
shareholders as a whole.
SIGNIFICANT SHAREHOLDINGS
The Directors are aware of the following significant shareholdings at 31
December 2009:
+--+-------+---------+--+---------------+-----------+-----------+--------------------+---------+
| | | | | | | | | % of |
| | | | | | | | | Total |
+--+-------+---------+--+---------------+-----------+-----------+--------------------+---------+
| | | | | US | Euro | Sterling | Total | Shares |
| | | | | Dollar | Shares | Shares | | in |
| | | | | Shares | | | Shares | Issue |
+--+-------+---------+--+---------------+-----------+-----------+--------------------+---------+
| The Bank of New | | 663,775 | 583,765 | 57,006 | 1,304,546 | 36.99% |
| York (Nominees) | | | | | | |
| Limited | | | | | | |
+--------------------+--+---------------+-----------+-----------+--------------------+---------+
| Securities Services | 270,496 | 200,940 | 257,432 | 728,868 | 20.67% |
| Nominees Limited | | | | | |
+-----------------------+---------------+-----------+-----------+--------------------+---------+
| HSBC Global | | | | | | |
| Custody | | | | | | |
+--------------------+--+---------------+-----------+-----------+--------------------+---------+
| Nominee (UK) | | 140,708 | 74,475 | 188,663 | 403,846 | 11.45% |
| Limited | | | | | | |
+--------------------+--+---------------+-----------+-----------+--------------------+---------+
| Euroclear Nominees | | 192,748 | 53,570 | 67,532 | 313,850 | 8.90% |
| Limited | | | | | | |
+--------------------+--+---------------+-----------+-----------+--------------------+---------+
| Roy Nominees | | - | - | 160,561 | 160,561 | 4.55% |
| Limited | | | | | | |
+--------------------+--+---------------+-----------+-----------+--------------------+---------+
| BBHISL Nominees | | 110,690 | 7,882 | 19,980 | 138,552 | 3.93% |
| Limited | | | | | | |
+--+-------+---------+--+---------------+-----------+-----------+--------------------+---------+
SECRETARY
The Secretary as at 31 December 2009, HSBC Securities Services (Guernsey)
Limited, has been in office for the whole of the year.
INDEPENDENT AUDITORS
A resolution to reappoint PricewaterhouseCoopers CI LLP as auditors to the
Company and authorising the Directors to fix their remuneration will be proposed
at the Annual General Meeting.
+-----+-------+--------+---+-------+-------+----------+---------+------+
| STATEMENT OF DIRECTORS' | | | |
| RESPONSIBILITIES | | | |
+------------------------------------------+----------+---------+------+
| The Directors are responsible for preparing the financial |
| statements of the Company for each financial year in accordance |
| with applicable Guernsey law and regulations. |
+----------------------------------------------------------------------+
| | | | | | | | | |
+-----+-------+--------+---+-------+-------+----------+---------+------+
| The financial statements are required by law to give a true and |
| fair view of the state of affairs of the Company and of the |
| profit or loss of the Company for that year. |
+----------------------------------------------------------------------+
| | | | | | | | | |
+-----+-------+--------+---+-------+-------+----------+---------+------+
| In preparing these financial statements, the Directors are |
| required to: |
+----------------------------------------------------------------------+
| | | | | | | | | |
+-----+-------+--------+---+-------+-------+----------+---------+------+
| - | select suitable accounting policies and then apply them |
| | consistently; |
+-----+----------------------------------------------------------------+
| - | make judgements and estimates that are reasonable and |
| | prudent; |
+-----+----------------------------------------------------------------+
| - | state whether applicable accounting standards have been |
| | followed, subject to any material departures disclosed and |
| | explained in the financial statements; and |
+-----+----------------------------------------------------------------+
| - | prepare the financial statements on the going concern basis |
| | unless it is inappropriate to presume that the Company will |
| | continue in business. |
+-----+----------------------------------------------------------------+
| | | | | | | | | |
+-----+-------+--------+---+-------+-------+----------+---------+------+
| The Company will be managed with the intention of realising all |
| remaining assets in the portfolio and the orderly return of |
| capital to Shareholders. As such, the Directors have elected to |
| prepare the financial statements in accordance with |
| International Financial Reporting Standards on a non-going |
| concern basis. Accordingly, adjustments have been made to the |
| financial statements to reduce assets to their realisable |
| values, to provide for liabilities arising from the decision, |
| and to reclassify all assets and liabilities as current. |
+----------------------------------------------------------------------+
| | | | | | | | | |
+-----+-------+--------+---+-------+-------+----------+---------+------+
| The Directors are responsible for keeping proper accounting |
| records which disclose with reasonable accuracy at any time the |
| financial position of the Company and to enable them to ensure |
| that the financial statements comply with The Companies |
| (Guernsey) Law, 2008. They have general responsibility for |
| taking such steps as are reasonably open to them to safeguard |
| the assets of the Company and to prevent and detect fraud and |
| other irregularities. |
+----------------------------------------------------------------------+
| | | | | | | | | |
+-----+-------+--------+---+-------+-------+----------+---------+------+
| The Directors confirm that they have complied with the above |
| requirements in preparing the financial statements. |
+----------------------------------------------------------------------+
| | | | | | | | | |
+-----+-------+--------+---+-------+-------+----------+---------+------+
| DISCLOSURE OF INFORMATION TO AUDITORS | | | |
+------------------------------------------+----------+---------+------+
| The Directors who held office at the date of approval of this |
| Directors report confirm that, so far as they are each aware, |
| there is no relevant audit information of which the Companys |
| auditors are unaware; and each Director has taken all the steps |
| that he ought to have taken as a Director to make himself aware |
| of any relevant audit information and to establish that the |
| Companys auditors are aware of that information. |
+----------------------------------------------------------------------+
| RESPONSIBILITY STATEMENT UNDER THE DISCLOSURE AND TRANSPARENCY |
| RULES 4.1.12 |
+----------------------------------------------------------------------+
| The Directors confirm to the best of | | | |
| their knowledge that: | | | |
+------------------------------------------+----------+---------+------+
| | | | | | | | | |
+-----+-------+--------+---+-------+-------+----------+---------+------+
| i) the financial statements, prepared in accordance with the |
| applicable accounting standards, give a true and fair view of |
| the assets, liabilities, financial position and net income of |
| the Company; and |
+----------------------------------------------------------------------+
| ii) the annual report includes a fair review of the development |
| and performance of the business and the position of the Company, |
| together with a description of the principal risks and |
| uncertainties that the Company faces. |
| |
+----------------------------------------------------------------------+
| The financial statements are published on the website |
| www.cmaglobalhedge.com, which is maintained by the Company's |
| Investment Manager. The maintenance and integrity of the website |
| is, so far as relates to the Company, the responsibility of the |
| Investment Manager. The work carried out by the auditors does |
| not involve consideration of these matters and, accordingly, the |
| auditors accept no responsibility for any changes that may have |
| occurred to the financial statements since they were initially |
| presented on the website. |
+----------------------------------------------------------------------+
| | | | | | | | | |
+-----+-------+--------+---+-------+-------+----------+---------+------+
| By order of the Board | | | | | |
+--------------------------+-------+-------+----------+---------+------+
| | | | | | | | | |
+-----+-------+--------+---+-------+-------+----------+---------+------+
| Christopher | | | | | Emmanuel | |
| Fish | | | | | Gavaudan | |
+-------------+--------+---+-------+-------+--------------------+------+
| Director | | | | | Director | | |
+-------------+--------+---+-------+-------+----------+---------+------+
| | | | | | | | | |
+-----+-------+--------+---+-------+-------+----------+---------+------+
| 30 April 2010 | | | | | | |
+-----+-------+--------+---+-------+-------+----------+---------+------+
16
+----------------------------------------+----------+----------+---------------+----------+------------+
| PORTFOLIO STATEMENT | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| As at 31 December 2009 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| | | | | | Percentage |
| | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| | Number | | | | of Net |
| | of | | | | Asset |
+----------------------------------------+----------+----------+---------------+----------+------------+
| | shares/ | | Value | | Value |
| | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| | units | | US$ | | % |
| | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Investments at net realisable value | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Amber Fund (Cayman) Ltd Class R Sub | 26,987 | | 1,124,637 | | 3.16 |
| Class 3 Series One | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Archer Capital OffshoreFund Ltd Side | 1,793 | | 1,262,093 | | 3.55 |
| Pocket Nov 2008 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Autonomy Capital Fund Ltd Class AB SPV | 9,210 | | 1,457,995 | | 4.10 |
| Shares Series 1 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Autonomy Capital Fund Ltd Class AB SPV | 4,585 | | 725,773 | | 2.03 |
| Shares Series 2 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Autonomy Capital Fund Ltd Class AB SPV | 2,636 | | 417,300 | | 1.17 |
| Shares Series 3 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Autonomy Capital Fund Ltd Class AB SPV | 8,610 | | 1,362,970 | | 3.83 |
| Shares Series 4 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Autonomy Capital Fund Ltd Class AB SPV | 293 | | 46,349 | | 0.13 |
| Shares Series 5 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Autonomy Capital Fund Ltd Class AB SPV | 70 | | 11,069 | | 0.03 |
| Shares Series 6 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Autonomy Capital Fund Ltd Class AB SPV | 62 | | 9,785 | | 0.02 |
| Shares Series 7 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Autonomy Capital Fund Ltd Class AB SPV | 237 | | 37,551 | | 0.11 |
| Shares Series 8 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Autonomy Capital Fund Ltd Class AB SPV | 3,320 | | 525,551 | | 1.48 |
| Shares Series 9 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Autonomy Capital Fund Ltd Class AB SPV | 148 | | 23,445 | | 0.07 |
| Shares Series 10 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Carrington Investment Partners LP | 15,305 | | 10,363,663 | | 29.12 |
| Class A | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| CPIM Structured Credit Fund 1000 Inc | 94,095 | | 2,043,113 | | 5.74 |
| Class AQ1 Shrs | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Enable Ltd Class A Initial Series Seg | 2,391 | | 2,541,346 | | 7.14 |
| Port (10/31) | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Enable Ltd Class A Series May 2009 Seg | 13 | | 11,283 | | 0.03 |
| Port (10/31) | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Epic Special Purpose Vehicle Series | 1,223 | | 617,203 | | 1.73 |
| D11 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| GLG European Long/Short (Special | 15,941 | | 1,329,299 | | 3.74 |
| Assets) Fund Class A | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| GPS Income Fund (Cayman) Ltd Class R | 199 | | 169,646 | | 0.48 |
| Series 1 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| GPS New Equity Fund (Cayman) Ltd Class | 88 | | 73,196 | | 0.21 |
| R Series 1 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| JABCAP Multi-Strategy Fund Ltd Class | 80,983 | | 10,284,794 | | 28.90 |
| D2 Non New Issue | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Laurus Offshore Fund Ltd Class B | 56,649 | | 8,440,640 | | 23.72 |
| Benchmark 2 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Litespeed Offshore Fund Ltd Series S | 4,988 | | 515,674 | | 1.44 |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Lucas Energy Total Return Offshore Ltd | 2,239 | | 1,570,223 | | 4.41 |
| Class B Series Mar 2008 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Lucas Energy Total Return Offshore Ltd | 109 | | 142,484 | | 0.40 |
| Class B Series Mar 2008 - S SH S1 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Ore Hill SLV-2 Ltd Class AR Sub Class | 220 | | 158,490 | | 0.45 |
| F Series Feb 2007 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Ore Hill SLV-2 Ltd Class AR Sub Class | 1,671 | | 1,422,813 | | 4.00 |
| F Series Initial Series | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Pardus Special Opportunities Fund I | 1,500 | | 554,842 | | 1.56 |
| Ltd Class B Series Mar 2007 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Pardus Special Opportunities Fund I | 9,168 | | 5,611,673 | | 15.77 |
| Ltd Class B Series 1 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Pardus Special Opportunities Fund I | 1,500 | | 522,750 | | 1.47 |
| Ltd Class D Series July 2007 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Plexus Fund Ltd Class A-3 | 31,341 | | 1,850,904 | | 5.20 |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Quantek Opportunity Fund Ltd Class A | 3,204 | | 3,393,800 | | 9.54 |
| Series Mar 2008 Participating Non | | | | | |
| Voting Shrs | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Quantek Opportunity Fund Ltd Class A1 | 6,606 | | 7,035,915 | | 19.77 |
| Red Participating Non Voting Shrs | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Tyticus Overseas Partners II Ltd Class | 4,342 | | 3,472,265 | | 9.76 |
| A Tranche II Series Initial | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Warrant Strategies Offshore Fund Ltd | 5,000 | | 5,166,656 | | 14.52 |
| Class B Series Aug 2008 | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Adjustment to the value of Cash Pool | | | (4,002,122) | | (11.25) |
| investments | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Total investments at net realisable | | | 70,295,068 | | 197.53 |
| value | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Cash and cash equivalents | | | 16,487,833 | | 46.33 |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Other net liabilities | | | (51,195,294) | | (143.86) |
+----------------------------------------+----------+----------+---------------+----------+------------+
| | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Total shareholders' funds | | | 35,587,607 | | 100.00 |
+----------------------------------------+----------+----------+---------------+----------+------------+
| | | | | | |
+----------------------------------------+----------+----------+---------------+----------+------------+
| Note: Adjustment to the value of Cash Pool investments (shown above) aggregating to |
| US$4 million relates to the investments allocated to the Cash Pool. This adjustment was |
| assessed on the Cash Pool portfolio as a whole, as derived from the secondary market |
| auction process undertaken and therefore can not be specifically attributed to a |
| specific investment under the Cash Pool portfolio. The table above shows the aggregated |
| portfolio position of the Company as a whole. |
+----------------------------------------+----------+----------+---------------+----------+------------+
17
+----------+----------+------+------+------+------+------+------+------+----------+----------+
| INDEPENDENT AUDITORS' REPORT TO THE MEMBERS OF | |
+---------------------------------------------------------------------------------+----------+
| CMA GLOBAL HEDGE PCC LIMITED | |
+---------------------------------------------------------------------------------+----------+
| We have audited the financial statements of CMA Global Hedge PCC Limited for | |
| the year ended 31 December 2009 which comprise the Statement of Comprehensive | |
| Income, Statement of Changes in Equity, Statement of Financial Position, | |
| Statement of Cash Flows and the related notes. These financial statements have | |
| been prepared under the accounting policies set out therein. | |
+ +----------+
| | |
+ +----------+
| | |
+ +----------+
| | |
+---------------------------------------------------------------------------------+----------+
| Respective responsibilities of directors and auditors | | | | |
+--------------------------------------------------------+------+------+----------+----------+
| The directors' responsibilities for preparing the financial statements in | |
| accordance with applicable Guernsey law and International Financial Reporting | |
| Standards are set out in the Statement of Directors' Responsibilities. | |
+ +----------+
| | |
+---------------------------------------------------------------------------------+----------+
| | | | | | | | | | | |
+----------+----------+------+------+------+------+------+------+------+----------+----------+
| Our responsibility is to audit the financial statements in accordance with | |
| relevant legal and regulatory requirements and International Standards on | |
| Auditing (UK and Ireland). This report, including the opinion, has been | |
| prepared for and only for the Company's members as a body in accordance with | |
| Section 262 of The Companies (Guernsey) Law, 2008 and for no other purpose. We | |
| do not, in giving this opinion, accept or assume responsibility for any other | |
| purpose or to any other person to whom this report is shown or into whose hands | |
| it may come save where expressly agreed by our prior consent in writing. | |
+ +----------+
| | |
+ +----------+
| | |
+ +----------+
| | |
+ +----------+
| | |
+ +----------+
| | |
+---------------------------------------------------------------------------------+----------+
| | | | | | | | | | | |
+----------+----------+------+------+------+------+------+------+------+----------+----------+
| We report to you our opinion as to whether the financial statements give a true | |
| and fair view and are properly prepared in accordance with The Companies | |
| (Guernsey) Law, 2008. We also report to you whether in our opinion the | |
| information given in the Directors' Report is consistent with the financial | |
| statements. | |
+ +----------+
| | |
+ +----------+
| | |
+---------------------------------------------------------------------------------+----------+
| | | | | | | | | | | |
+----------+----------+------+------+------+------+------+------+------+----------+----------+
| In addition we report to you if, in our opinion, the Company has not kept | |
| proper accounting records or if we have not received all the information and | |
| explanations we require for our audit. | |
+ +----------+
| | |
+---------------------------------------------------------------------------------+----------+
| | | | | | | | | | | |
+----------+----------+------+------+------+------+------+------+------+----------+----------+
| We read the other information contained in the Annual Report and consider the | |
| implications for our report if we become aware of any apparent misstatements or | |
| material inconsistencies with the financial statements. The other information | |
| comprises only the investment manager's report, the portfolio statement, the | |
| chairman's statement, the directors' pages and the directors' report. | |
+ +----------+
| | |
+---------------------------------------------------------------------------------+----------+
| | | | | | | | | | | |
+----------+----------+------+------+------+------+------+------+------+----------+----------+
| Basis of audit opinion | | | | | | | | |
+----------------------------+------+------+------+------+------+------+----------+----------+
| We conducted our audit in accordance with International Standards on Auditing | |
| (UK and Ireland) issued by the Auditing Practices Board. An audit includes | |
| examination, on a test basis, of evidence relevant to the amounts and | |
| disclosures in the financial statements. It also includes an assessment of the | |
| significant estimates and judgements made by the directors in the preparation | |
| of the financial statements, and of whether the accounting policies are | |
| appropriate to the Company's circumstances, consistently applied and adequately | |
| disclosed. | |
+ +----------+
| | |
+ +----------+
| | |
+ +----------+
| | |
+ +----------+
| | |
+---------------------------------------------------------------------------------+----------+
| | | | | | | | | | | |
+----------+----------+------+------+------+------+------+------+------+----------+----------+
| We planned and performed our audit so as to obtain all the information and | |
| explanations which we considered necessary in order to provide us with | |
| sufficient evidence to give reasonable assurance that the financial statements | |
| are free from material misstatement, whether caused by fraud or other | |
| irregularity or error. In forming our opinion we also evaluated the overall | |
| adequacy of the presentation of information in the financial statements. | |
+ +----------+
| | |
+ +----------+
| | |
+ +----------+
| | |
+ +----------+
| | |
+---------------------------------------------------------------------------------+----------+
| | | | | | | | | | | |
+----------+----------+------+------+------+------+------+------+------+----------+----------+
| Opinion | | | | | | | | | |
+---------------------+------+------+------+------+------+------+------+----------+----------+
| In our opinion: | | | | | | | | | |
+---------------------+------+------+------+------+------+------+------+----------+----------+
| | | | | | | | | | | |
+----------+----------+------+------+------+------+------+------+------+----------+----------+
| - | the financial statements give a true and fair view, in accordance | |
| | with International Financial Reporting Standards, of the state of | |
| | the Company's affairs as at 31 December 2009 and of its profit and | |
| | cash flows for the year then ended; | |
+----------+ +----------+
| | | |
+----------+ +----------+
| | | |
+----------+----------------------------------------------------------------------+----------+
| | | | | | | | | | | |
+----------+----------+------+------+------+------+------+------+------+----------+----------+
| - | the financial statements have been properly prepared in accordance | |
| | with The Companies (Guernsey) Law, 2008; and | |
+----------+ +----------+
| | | |
+----------+----------------------------------------------------------------------+----------+
| | | | | | | | | | | |
+----------+----------+------+------+------+------+------+------+------+----------+----------+
| - | the information given in the Directors' Report is consistent with | |
| | the financial statements. | |
+----------+----------------------------------------------------------------------+----------+
| | | | | | | | | | | |
+----------+----------+------+------+------+------+------+------+------+----------+----------+
| 18 | |
| | |
| INDEPENDENT AUDITORS' REPORT TO THE MEMBERS OF | |
+---------------------------------------------------------------------------------+----------+
| CMA GLOBAL HEDGE PCC LIMITED (continued) | |
+---------------------------------------------------------------------------------+----------+
| Emphasis of Matter | | | | | | | | |
+----------------------------+------+------+------+------+------+------+----------+----------+
| We draw your attention to Note 1 which explains that the Company will be | |
| managed with the intention of realising all remaining assets in the portfolio | |
| so as to maximise the orderly return of capital to shareholders. Accordingly | |
| the going concern basis of accounting is no longer appropriate. Adjustments | |
| have been made in these financial statements to reduce assets to their | |
| realisable values, to provide for liabilities arising from the decision, and to | |
| reclassify fixed assets and long-term liabilities as current assets and | |
| liabilities. Our opinion is not qualified in this respect. | |
+---------------------------------------------------------------------------------+----------+
| | | | | | | | | | | |
+----------+----------+------+------+------+------+------+------+------+----------+----------+
| | | | | | | | | | | |
+----------+----------+------+------+------+------+------+------+------+----------+----------+
| | | | | | | | | | | |
+----------+----------+------+------+------+------+------+------+------+----------+----------+
| | | | | | | | | | | |
+----------+----------+------+------+------+------+------+------+------+----------+----------+
| | | | | | | | | | | |
+----------+----------+------+------+------+------+------+------+------+----------+----------+
| | | | | | | | | | | |
+----------+----------+------+------+------+------+------+------+------+----------+----------+
| PricewaterhouseCoopers CI LLP | | | | | | | |
+-----------------------------------+------+------+------+------+------+----------+----------+
| Chartered Accountants | | | | | | | | |
+----------------------------+------+------+------+------+------+------+----------+----------+
| Guernsey, Channel Islands | | | | | | | |
+-----------------------------------+------+------+------+------+------+----------+----------+
| 30 April 2010 | | | | | | | | |
+----------------------------+------+------+------+------+------+------+----------+----------+
| | | | | | | | | | | |
+----------+----------+------+------+------+------+------+------+------+----------+----------+
19
+-----------------------------+-------+-------------+----------+-------------+
| STATEMENT OF COMPREHENSIVE INCOME |
+----------------------------------------------------------------------------+
| For the year ended 31st December 2009 |
+----------------------------------------------------------------------------+
| | | CMA Global | Non- | Company |
| | | Hedge 1 | cellular | Total |
| | | Cell | | |
+-----------------------------+-------+-------------+----------+-------------+
| |Notes | US$ | US$ | US$ |
+-----------------------------+-------+-------------+----------+-------------+
| | | | | |
+-----------------------------+-------+-------------+----------+-------------+
| Dividend income | 2(f) | 15,930 | - | 15,930 |
+-----------------------------+-------+-------------+----------+-------------+
| Interest income | 2(f) | 26,105 | - | 26,105 |
+-----------------------------+-------+-------------+----------+-------------+
| Other investment income | | 20,667 | - | 20,667 |
+-----------------------------+-------+-------------+----------+-------------+
| Net changes in value of | | 11,184,345 | - | 11,184,345 |
| investments and derivative | | | | |
| financial instruments | | | | |
+-----------------------------+-------+-------------+----------+-------------+
| Net changes in value of | 5 | 1,656,293 | - | 1,656,293 |
| Cash Pool and Entitlement | | | | |
| Pool liabilities | | | | |
+-----------------------------+-------+-------------+----------+-------------+
| Foreign currency gains | | 734,384 | - | 734,384 |
+-----------------------------+-------+-------------+----------+-------------+
| Total net investment gain | | 13,637,724 | - | 13,637,724 |
+-----------------------------+-------+-------------+----------+-------------+
| Expenses | 7 | (5,198,215) | - | (5,198,215) |
+-----------------------------+-------+-------------+----------+-------------+
| Finance costs | 16 | (613,272) | - | (613,272) |
+-----------------------------+-------+-------------+----------+-------------+
| Profit for the year | | 7,826,237 | - | 7,826,237 |
+-----------------------------+-------+-------------+----------+-------------+
| | | | | |
+-----------------------------+-------+-------------+----------+-------------+
| Basic and diluted earnings | 10 | US$0.20 | | |
| per US Dollar Share | | | | |
+-----------------------------+-------+-------------+----------+-------------+
| Basic and diluted losses | 10 | EUR(0.01) | | |
| per Euro Share | | | | |
+-----------------------------+-------+-------------+----------+-------------+
| Basic and diluted earnings | 10 | GBP0.94 | | |
| per Sterling Share | | | | |
+-----------------------------+-------+-------------+----------+-------------+
| | | | |
+-------------------------------------+-------------+----------+-------------+
| All gains and losses have been recognised on the Statement of |
| Comprehensive Income and arise from discontinuing operations. |
+----------------------------------------------------------------------------+
| |
+----------------------------------------------------------------------------+
| The notes on pages 26 to 46 form an integral part of these |
| financial statements |
+----------------------------------------------------------------------------+
| 20 |
+----------------------------------------------------------------------------+
| |
+-----------------------------+-------+-------------+----------+-------------+
+----------------------------+-------+---------------+----------+---------------+
| STATEMENT OF COMPREHENSIVE INCOME |
+-------------------------------------------------------------------------------+
| For the year ended 31st December 2008 |
+-------------------------------------------------------------------------------+
| | CMA Global | Non- | Company |
| | Hedge 1 | cellular | Total |
| | Cell | | |
+------------------------------------+---------------+----------+---------------+
| |Notes | US$ | US$ | US$ |
+----------------------------+-------+---------------+----------+---------------+
| | | | | |
+----------------------------+-------+---------------+----------+---------------+
| Interest income | 2(f) | 428,751 | - | 428,751 |
+----------------------------+-------+---------------+----------+---------------+
| Other investment income | | 616 | - | 616 |
+----------------------------+-------+---------------+----------+---------------+
| Net changes in value of | 5 | (161,665,302) | - | (161,665,302) |
| investments and derivative | | | | |
| financial instruments | | | | |
+----------------------------+-------+---------------+----------+---------------+
| Foreign currency losses | | (83,286) | - | (83,286) |
+----------------------------+-------+---------------+----------+---------------+
| Total net investment loss | | (161,319,221) | - | (161,319,221) |
+----------------------------+-------+---------------+----------+---------------+
| Expenses | 7 | (12,214,252) | - | (12,214,252) |
+----------------------------+-------+---------------+----------+---------------+
| Finance costs | 16 | (16,884,823) | - | (16,884,823) |
+----------------------------+-------+---------------+----------+---------------+
| Loss for the year | | (190,418,296) | - | (190,418,296) |
+----------------------------+-------+---------------+----------+---------------+
| | | | | |
+----------------------------+-------+---------------+----------+---------------+
| Basic and diluted losses | 10 | US$(3.43) | | |
| per US Dollar Share | | | | |
+----------------------------+-------+---------------+----------+---------------+
| Basic and diluted losses | 10 | EUR(3.70) | | |
| per Euro Share | | | | |
+----------------------------+-------+---------------+----------+---------------+
| Basic and diluted losses | 10 | GBP(6.36) | | |
| per Sterling Share | | | | |
+----------------------------+-------+---------------+----------+---------------+
| | | | |
+------------------------------------+---------------+----------+---------------+
| All gains and losses have been recognised on the Statement of |
| Comprehensive Income and arise from discontinuing operations. |
+-------------------------------------------------------------------------------+
| |
+-------------------------------------------------------------------------------+
| The notes on pages 26 to 46 form an integral part of these |
| financial statements |
+-------------------------------------------------------------------------------+
| 21 |
+----------------------------+-------+---------------+----------+---------------+
+-------------+-------+---------------+--------------+---------------+----------+---------------+
| STATEMENT OF CHANGES IN EQUITY |
+-----------------------------------------------------------------------------------------------+
| For the year ended 31st December 2009 |
+-----------------------------------------------------------------------------------------------+
| | CMA Global Hedge 1 Cell | Non- | |
| | | cellular | |
+---------------------+----------------------------------------------+----------+---------------+
| | Share | Retained | Total | Share | Company |
| | Premium | Earnings | | Capital | |
| | | | | | Total |
+---------------------+---------------+--------------+---------------+----------+---------------+
| | Notes | US$ | US$ | US$ | US$ | US$ |
+-------------+-------+---------------+--------------+---------------+----------+---------------+
| | | | | | | |
+-------------+-------+---------------+--------------+---------------+----------+---------------+
| Equity at 1 | | 336,302,043 | (88,716,669) | 247,585,374 | 2 | 247,585,376 |
| January | | | | | | |
| 2009 | | | | | | |
+-------------+-------+---------------+--------------+---------------+----------+---------------+
| Profit for | | - | 7,826,237 | 7,826,237 | - | 7,826,237 |
| the year | | | | | | |
+-------------+-------+---------------+--------------+---------------+----------+---------------+
| Redemption | | (219,824,004) | - | (219,824,004) | - | (219,824,004) |
| of equity | | | | | | |
| shares | | | | | | |
+-------------+-------+---------------+--------------+---------------+----------+---------------+
| | | | | | | |
+-------------+-------+---------------+--------------+---------------+----------+---------------+
| Equity at | 18 | 116,478,039 | (80,890,432) | 35,587,607 | 2 | 35,587,609 |
| 31 December | | | | | | |
| 2009 | | | | | | |
+-------------+-------+---------------+--------------+---------------+----------+---------------+
| | | | | | |
+-------------+-------+---------------+--------------+---------------+----------+---------------+
+-------------+----+--------------+---------------+---------------+------+---------------+
| Equity at 1 | | 398,597,906 | 101,701,627 | 500,299,533 | 2 | 500,299,535 |
| January | | | | | | |
| 2008 | | | | | | |
+-------------+----+--------------+---------------+---------------+------+---------------+
| Loss for | | - | (190,418,296) | (190,418,296) | - | (190,418,296) |
| the year | | | | | | |
+-------------+----+--------------+---------------+---------------+------+---------------+
| Redemption | | (62,295,863) | - | (62,295,863) | - | (62,295,863) |
| of equity | | | | | | |
| shares | | | | | | |
+-------------+----+--------------+---------------+---------------+------+---------------+
| Equity at |18 | 336,302,043 | (88,716,669) | 247,585,374 | 2 | 247,585,376 |
| 31 December | | | | | | |
| 2008 | | | | | | |
+-------------+----+--------------+---------------+---------------+------+---------------+
| | | | | | |
+-------------+----+--------------+---------------+---------------+------+---------------+
+---------------------------------------------------------------------+
| The notes on pages 26 to 46 form an integral part of these |
| financial statements |
+---------------------------------------------------------------------+
| 22 |
+---------------------------------------------------------------------+
+----------------------------+-------+--------------+----------+--------------+
| STATEMENT OF FINANCIAL POSITION |
+-----------------------------------------------------------------------------+
| As at 31st December 2009 |
+-----------------------------------------------------------------------------+
| |Notes | CMA Global | Non- | Company |
| | | Hedge 1 | cellular | Total |
| | | Cell | | |
+----------------------------+-------+--------------+----------+--------------+
| | | US$ | US$ | US$ |
+----------------------------+-------+--------------+----------+--------------+
| ASSETS | | | | |
+----------------------------+-------+--------------+----------+--------------+
| Investments |2(d), | 70,295,068 | - | 70,295,068 |
| | 5 | | | |
+----------------------------+-------+--------------+----------+--------------+
| Receivables and | 12 | 3,405,212 | 2 | 3,405,214 |
| prepayments | | | | |
+----------------------------+-------+--------------+----------+--------------+
| Cash and cash equivalents | | 16,487,833 | - | 16,487,833 |
+----------------------------+-------+--------------+----------+--------------+
| TOTAL ASSETS | | 90,188,113 | 2 | 90,188,115 |
+----------------------------+-------+--------------+----------+--------------+
| | | | | |
+----------------------------+-------+--------------+----------+--------------+
| EQUITY | | | | |
+----------------------------+-------+--------------+----------+--------------+
| Called up share capital | 17 | - | 2 | 2 |
+----------------------------+-------+--------------+----------+--------------+
| Share premium | | 116,478,039 | - | 116,478,039 |
+----------------------------+-------+--------------+----------+--------------+
| Retained earnings | | (80,890,432) | - | (80,890,432) |
+----------------------------+-------+--------------+----------+--------------+
| TOTAL EQUITY | | 35,587,607 | 2 | 35,587,607 |
+----------------------------+-------+--------------+----------+--------------+
| | | | | |
+----------------------------+-------+--------------+----------+--------------+
| LIABILITIES | | | | |
+----------------------------+-------+--------------+----------+--------------+
| Payables and accrued | 13 | 54,600,506 | - | 54,600,506 |
| expenses | | | | |
+----------------------------+-------+--------------+----------+--------------+
| TOTAL LIABILITIES | | 54,600,506 | - | 54,600,506 |
+----------------------------+-------+--------------+----------+--------------+
| TOTAL EQUITY AND | | 90,188,133 | 2 | 90,188,115 |
| LIABILITIES | | | | |
+----------------------------+-------+--------------+----------+--------------+
| | | | | |
+----------------------------+-------+--------------+----------+--------------+
| Net Asset Value per US | 11 | US$8.13 | | |
| Dollar Share | | | | |
+----------------------------+-------+--------------+----------+--------------+
| Net Asset Value per Euro | 11 | EUR7.64 | | |
| Share | | | | |
+----------------------------+-------+--------------+----------+--------------+
| Net Asset Value per | 11 | GBP7.77 | | |
| Sterling Share | | | | |
+----------------------------+-------+--------------+----------+--------------+
| | | | |
+----------------------------+-------+--------------+----------+--------------+
+---------------------------------------------------------------------+
| The financial statements on pages 20 to 46 were approved by the |
| Board of Directors on 30th April 2010 and were signed on its behalf |
| by : |
| |
| Mr Christopher Fish |
| Mr Emmanuel Gavaudan |
| Director |
| Director |
+---------------------------------------------------------------------+
| |
+---------------------------------------------------------------------+
| The notes on pages 26 to 46 form an integral part of these |
| financial statements |
+---------------------------------------------------------------------+
| 23 |
+---------------------------------------------------------------------+
+----------------------------+-------+--------------+----------+--------------+
| STATEMENT OF FINANCIAL POSITION |
+-----------------------------------------------------------------------------+
| As at 31st December 2008 |
+-----------------------------------------------------------------------------+
| |Notes | CMA Global | Non- | Company |
| | | Hedge 1 | cellular | Total |
| | | Cell | | |
+----------------------------+-------+--------------+----------+--------------+
| | | US$ | US$ | US$ |
+----------------------------+-------+--------------+----------+--------------+
| ASSETS | | | | |
+----------------------------+-------+--------------+----------+--------------+
| Investments |2(d), | 545,440,021 | - | 545,440,021 |
| | 5 | | | |
+----------------------------+-------+--------------+----------+--------------+
| Forward foreign currency |2(d), | 429,368 | - | 429,368 |
| contracts | 5 | | | |
+----------------------------+-------+--------------+----------+--------------+
| Receivables and accrued | 12 | 84,232,731 | 2 | 84,232,733 |
| income | | | | |
+----------------------------+-------+--------------+----------+--------------+
| Cash and cash equivalents | | 16,587,005 | - | 16,587,005 |
+----------------------------+-------+--------------+----------+--------------+
| TOTAL ASSETS | | 646,689,125 | 2 | 646,689,127 |
+----------------------------+-------+--------------+----------+--------------+
| | | | | |
+----------------------------+-------+--------------+----------+--------------+
| EQUITY | | | | |
+----------------------------+-------+--------------+----------+--------------+
| Called up share capital | 17 | - | 2 | 2 |
+----------------------------+-------+--------------+----------+--------------+
| Share premium | | 336,302,043 | - | 336,302,043 |
+----------------------------+-------+--------------+----------+--------------+
| Retained earnings | | (88,716,669) | - | (88,716,669) |
+----------------------------+-------+--------------+----------+--------------+
| TOTAL EQUITY | | 247,585,374 | 2 | 247,585,376 |
+----------------------------+-------+--------------+----------+--------------+
| | | | | |
+----------------------------+-------+--------------+----------+--------------+
| LIABILITIES | | | | |
+----------------------------+-------+--------------+----------+--------------+
| Forward foreign currency |2(d), | 2,179,465 | - | 2,179,465 |
| contracts | 5 | | | |
+----------------------------+-------+--------------+----------+--------------+
| Payables and accrued | 13 | 64,914,902 | - | 64,914,902 |
| expenses | | | | |
+----------------------------+-------+--------------+----------+--------------+
| Loan payable | 16 | 332,009,384 | - | 332,009,384 |
+----------------------------+-------+--------------+----------+--------------+
| TOTAL LIABILITIES | | 399,103,751 | - | 399,103,751 |
+----------------------------+-------+--------------+----------+--------------+
| TOTAL EQUITY AND | | 646,689,125 | 2 | 646,689,127 |
| LIABILITIES | | | | |
+----------------------------+-------+--------------+----------+--------------+
| | | | | |
+----------------------------+-------+--------------+----------+--------------+
| Net Asset Value per US | 11 | US$8.09 | | |
| Dollar Share | | | | |
+----------------------------+-------+--------------+----------+--------------+
| Net Asset Value per Euro | 11 | EUR7.80 | | |
| Share | | | | |
+----------------------------+-------+--------------+----------+--------------+
| Net Asset Value per | 11 | GBP7.90 | | |
| Sterling Share | | | | |
+----------------------------+-------+--------------+----------+--------------+
| | | | |
+----------------------------+-------+--------------+----------+--------------+
+---------------------------------------------------------------------+
| The notes on pages 26 to 46 form an integral part of these |
| financial statements |
+---------------------------------------------------------------------+
| 24 |
+---------------------------------------------------------------------+
+----------------------------------------------------------------------------------+
| STATEMENT OF CASH FLOWS |
| For the year ended 31 December 2009 |
| CMA Global Hedge 1 Cell |
| and Company |
| 2009 2008 |
| US$ US$ |
| CASH FLOWS FROM OPERATING ACTIVITIES |
| Profit/(loss) for the year 7,826,237 (190,418,296) |
| Adjustments for: |
| Net changes in value of (11,184,345) 161,665,302 |
| investments and derivative |
| financial instruments |
| Net changes in value of Cash (1,656,293) - |
| Pool and Entitlement Pool |
| liabilities |
| Dividend income (15,930) - |
| Interest income (26,105) (428,751) |
| (5,056,436) (29,181,745) |
| Changes in other receivables (945,790) (87,674,967) |
| and payables |
| Purchases of investments (15,513,467) (157,758,179) |
| Proceeds from sales of 579,479,557 426,086,386 |
| investments |
| Realised gains/(losses) on forward 1,641,271 (37,782,995) |
| foreign currency contracts |
| 559,605,135 113,688,500 |
| Dividend received 15,930 - |
| Interest received 25,342 429,947 |
| NET CASH FROM OPERATING 559,646,407 114,118,447 |
| ACTIVITIES |
| CASH FLOWS FROM FINANCING ACTIVITIES |
| Loans drawn down 16,140,992 103,409,915 |
| Loans repaid (348,150,376) (222,759,043) |
| Equity shares redeemed (227,736,195) - |
| NET CASH USED IN FINANCING (559,745,579) (119,349,128) |
| ACTIVITIES |
| Net increase/(decrease) in (99,172) (5,230,681) |
| cash and cash equivalents |
| Cash and cash equivalents at 16,587,005 21,817,686 |
| beginning of the year |
| Cash and cash equivalents at 16,487,833 16,587,005 |
| end of the year |
| |
+----------------------------------------------------------------------------------+
+---------------------------------------------------------------------+
| The notes on pages 26 to 46 form an integral part of these |
| financial statements |
+---------------------------------------------------------------------+
25
NOTES TO THE FINANCIAL STATEMENTS
For the year ended 31 December 2009
1. THE COMPANY
CMA Global Hedge PCC Limited (the "Company") is a Guernsey, closed-ended,
investment protected cell company listed on the London Stock Exchange
established with one cell, the CMA Global Hedge 1 (the "Cell") on 13 June 2006
to invest in a portfolio of hedge funds, that is managed by C.M. Advisors
Limited, a Bermuda-based exempt company offering investment management and
advisory services to funds of hedge funds as well as hedge fund related
products. The Cell currently has three share classes, a US Dollar Class, a Euro
Class and a Sterling Class.
Following the Extraordinary General Meeting ("EGM") on 17 December 2008, the
Board implemented the following proposals approved at the meeting, in order to
reduce the imbalance between supply and demand for the shares in the market and
thereby seek to reduce the discount to Net Asset Value at which the shares of
the Company have been trading:
- Redemption Offers in December 2008 and March 2009 of up to 20 per cent
each of the Company's issued share capital as at the December 2008 Record Date
(15 December 2008) and the March 2009 Record Date (24 March 2009). A redemption
fee is payable to the Investment Manager equal to 4 per cent of the actual
aggregate amount of cash owing to a redeeming shareholder following the
redemption of their shares (the "Actual Cash Proceeds").
- The creation of an on-going Redemption Facility, whereby the Company may
offer, at the discretion of the Directors, to redeem up to 20 per cent of the
Company's issued share capital on a half yearly basis. Redemption fees payable
to the Investment Manager are 4 per cent, 3 per cent, and 2 per cent of the
Actual Cash Proceeds received by redeeming shareholders in 2009, 2010 and 2011
respectively.
The Board of Directors of the Company subsequently resolved on 12 May 2009 to
exercise their discretion to offer shareholders in the Company the opportunity
to participate in a Redemption Facility Offer in June 2009 in respect of up to
20 per cent of the Company's issued share capital as at June 2009 Record Rate
(23 June 2009) with a redemption fee of 4 per cent of each shareholder's Actual
Cash Proceeds payable to the Investment Manager.
Following the Annual General Meeting ("AGM") on 8 July 2009, the Board
communicated its intention to offer its shareholders the opportunity to
determine the future direction of the Company through a vote at an EGM. The
Board considered that the discontinuation of the Company would be in the best
interests of the Company's Shareholders as a whole. At an EGM of the Company
duly convened and held on 3 September 2009, the resolution for the
discontinuation of the Company was passed and approved as an Ordinary Resolution
of the Company. Further to this business development, the Company shares are no
longer offered for subscription to potential and current investments. In
addition, the following wind-down proposals have been passed and approved by the
shareholders at the 15 December 2009 EGM:
- introduction of two options to realise shareholders' investments in the
Company, with shareholders able
to elect for the option which best suits their circumstances (the Redemption
Option or the Cash Option);
- amendment of the Company's Investment Objective and Policy in order to
become a listed run-off vehicle;
- amendment of the Company's Articles of Incorporation in a manner
consistent with converting to a
listed run-off vehicle and with offering shareholders the Redemption Option or
the Cash Option.
Details of the two options mentioned above follow:
- Redemption Option: to retain an interest in a listed vehicle and receive
realisation distributions (on dates at the Directors' sole discretion) until the
Company is formally wound up, including initial cash distribution as soon as
practicable representing a pro rata share of available cash at the time; or
- Cash Option: to receive a cash payment or cash payments (the "Cash
Distribution") equivalent to the immediately realisable value of the proportion
of the Portfolio attributable to shareholding in the Company,
The approval of these Options caused the division of the Company's portfolio
into a Redemption Pool and a Cash Pool (Note 15). Net assets attributable to
Redemption Option Shareholders is represented by the total net assets of CMA
Global Hedge 1 Cell.
The Company will be managed with the intention of realising all remaining assets
in the portfolio so as to maximise the orderly return of capital to
shareholders.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
a) Statement of compliance and basis of preparation
The financial statements are prepared in accordance with International Financial
Reporting Standards ("IFRS") on a non-going concern basis and applicable legal
and regulatory requirements of The Companies (Guernsey) Law, 2008. The financial
statements give a true and fair view and are in compliance with The Companies
(Guernsey) Law, 2008.
The financial statements have been prepared in accordance with the Disclosure
and Transparency Rules of the Financial Services Authority.
As the financial statements have been prepared on a non-going concern basis:
- investments and other net assets are stated at their net realisable
values; and
- a provision for future wind up costs of the Company has been included in
the financial statements.
26
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
b) Adoption of new and revised accounting standards
The Company has adopted IAS 32 (amendment), 'Financial instruments:
presentation and consequential amendments to IAS 1 'Presentation of financial
instruments', as of 1 January 2009. The objective of the standard is to enhance
financial statement users' understanding of the significance of financial
instruments to an entity's financial position, performance, and cash flows. In
particular, the standard addresses classification of a financial instrument
issued by an enterprise as a liability or as equity and disclosures about
financial instruments, including information as to their fair value.
The Company has applied revised IAS 1 'Presentation of Financial Statements'
(2007), which became effective as of 1 January 2009. As a result, the Company
presents in the statement of changes in shareholders' equity all owner equity
changes, whereas all non-owner changes in equity are presented in the statement
of comprehensive income. This presentation has been applied in these financial
statements as of and for the year ended 31 December 2009. Comparative
information has been represented so that it also is in conformity with the
revised standard. Since the change in accounting policy only impacts
presentation aspects, there is no impact on earnings per share.
The Company has adopted IFRS 7 (amendment) 'Financial instruments: Disclosures'
as of 1 January 2009. The amendment requires enhanced disclosures about fair
value measurement and liquidity risk. In particular, the amendment requires
disclosure of fair value measurements by level of a fair value measurement
hierarchy. The adoption of the amendment results in additional disclosures but
does not have an impact on the reported Company's financial position or
performance.
The Company has adopted IFRS 8 'Operating segments' as of 1 January 2009. The
standard requires a 'management approach', under which segment information is
presented on the same basis as that used for internal reporting purposes. The
Board, as a whole, has been determined as constituting the chief operating
decision maker of the Company. The Board has considered the requirements of IFRS
8, and is of the view that the Company has three operating segments. These are
the Redemption Pool for those Shareholders who retained an interest in a listed
vehicle and receive realisation distributions, the Cash Pool for those
Shareholders who elected to receive a cash payment equivalent to the immediately
realisable value of the portfolio and the Entitlement Pools where a residual
portfolio is realised on behalf of the Shareholders who elected to enter into
the Redemption Offers.
c) Applicable new standards and interpretations not yet effective
A number of new standards, amendments to standards and interpretations in issue
are not yet effective for the year ended 31 December 2009, and have not been
applied in preparing these financial statements. None of these will have an
effect on the financial statements of the Company, with the exception of IFRS 9
Financial Instruments, published on 12 November 2009 as part of phase 1 of the
IASB's comprehensive project to replace IAS 39.
IFRS 9 deals with classification and measurement of financial assets and its
requirements represent a significant change from the existing requirements in
IAS 39 in respect of financial assets. The standard contains two primary
measurement categories for financial assets: amortised cost and fair value. A
financial asset would be measured at amortised cost if it is held within a
business model whose objective is to hold assets in order to collect contractual
cash flows, and the asset's contractual terms give rise on specified dates to
cash flows that are solely payments of principal and interest on the principal
outstanding. All other financial assets would be measured at fair value. The
standard eliminates the existing IAS 39 categories of held to maturity,
available for sale and loans and receivables.
For an investment in an equity instrument which is not held for trading, the
standard permits an irrevocable election, on initial recognition, on an
individual share-by-share basis, to present all fair value changes from the
investment in other comprehensive income. No amount recognised in other
comprehensive income would ever be reclassified to profit or loss. However,
dividends on such investments are recognised in profit or loss, rather than
other comprehensive income unless they clearly represent a partial recovery of
the cost of the investment. Investments in equity instruments in respect of
which an entity does not elect to present fair value changes in other
comprehensive income would be measured at fair value with changes in fair value
recognised in profit or loss.
The standard requires that derivatives embedded in contracts with a host that is
a financial asset within the scope of the standard are not separated; instead
the hybrid financial instrument is assessed in its entirety as to whether it
should be measured at amortised cost or fair value.
The standard is effective for annual periods beginning on or after 1 January
2013. Earlier application is permitted.
The Company is currently in the process of evaluating the potential effect of
this standard with particular focus on the non-going concern basis of
preparation required for all future financial statements of the Company.
27
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
d) Investments and derivative financial instruments
Following the change in the basis of preparing the financial statements during
the year, brought about by the change in Company's investment objective and
policy, investments and derivative financial instruments have been accounted for
as follows:
For the year ended 31 December 2008
Classification
In accordance with IAS 39, 'Financial Instruments: Recognition and Measurement',
the Company designated all of its investments as at fair value through profit or
loss. The investments of the Company are principally in open ended collective
investment schemes. Derivatives are also categorised as financial assets at fair
value through profit or loss.
Initial recognition and measurement
Financial assets at fair value through profit or loss are recognised on the
trade date at fair value. Subsequent to initial recognition, they are measured
at fair value with changes in their fair value recognised in the Statement of
Comprehensive Income.
Transaction costs are expensed as incurred in the Statement of Comprehensive
Income.
Fair value measurement principles
Investments in the underlying funds are valued at the values (whether final or
estimated, as appropriate) provided by their managers or their administrators.
These values may be unaudited or may themselves be estimates. The managers or
administrators of the underlying funds in most cases provide values as at each
month end.
If, in the case of any investment, the Directors, at any time consider that the
above basis of valuation is inapplicable or that the value determined in
accordance with the foregoing principles is unfair they shall be entitled to
substitute what, in their opinion, is a fair value thereof. Where no independent
market price is available, the price provided by the Investment Manager has been
used. This will generally be the last traded price in each asset, where this
does not provide a fair estimate of the current value then the prices of
comparable assets will be used as a basis for a valuation.
The value of forwards, futures, options and any other synthetic instruments held
by the Company and traded on an exchange are valued at the closing trading price
at the end of the reporting period. Where such instruments are traded over the
counter they are valued at prices obtained from the relevant counterparty.
Realised and unrealised gains and losses
Realised gains and losses on investments are calculated by reference to the net
proceeds received on disposal and the average cost attributable to those
investments. Unrealised gains and losses are calculated by reference to the
average cost attributable to those investments. All realised and unrealised
gains and losses are included in net gains and losses from investments in the
Statement of Comprehensive Income.
Derecognition
A financial asset is derecognised when the Company no longer has control over
the contractual rights that comprise that asset. This occurs when the rights are
realised, expire or are surrendered.
Investments that are sold are derecognised and corresponding receivables from
the buyer for the payment are recognised as of the date the Company commits to
sell the assets.
For the year ended 31 December 2009
Following the non-going concern basis in preparing the financial statements,
investments and derivative financial instruments are stated at their net
realisable values. Investments realisable at their net asset value price are
valued based on estimated or final prices provided by the underlying fund
managers or their administrators. Investments not realisable at their net asset
value price are valued based on values realisable on a secondary market
transaction.
Investments and other net assets relating to the Cash Pool are valued at the
value inherent in the offer for the whole portfolio rather than a security by
security basis in-line with the secondary market transaction, which was priced
as a portfolio rather than individual securities. Changes in realisable values
are recognised in the Statement of Comprehensive Income. The Directors believe
that this reflects the best estimate of net realisable value.
Adjustment to the value of Cash Pool investments
In the case of investments held under the Cash Pool where immediate realisation
of the assets in a secondary market results in a substantial difference between
the prices provided by the underlying investment fund managers or their
administrators to the actual realisable amount, the Company makes a collective
assessment of these investments as to the realisable value had an immediate sale
occured. The difference between the initial value shown from administrator
statements and the realisable value from immediate realisation is accounted for
as an adjustment to the value of Cash Pool investments included in Net changes
in value of investments in the Statement of Comprehensive Income.
28
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
e) Foreign currency translation
Functional and presentation currency
Subscriptions and redemptions of the shares are denominated in US Dollars, Euro
and Sterling. The primary activity of the Company was to invest in US securities
with the performance of the Company reported to investors in US Dollars. The
Board of Directors considers the US Dollar as the currency that most faithfully
represents the economic effects of the underlying transactions, events and
conditions. The financial statements are presented in US Dollars which is the
Company's functional and presentation currency.
Transactions and balances
Foreign currency denominated monetary assets and liabilities are translated into
the functional currency at the exchange rate ruling at the end of the reporting
period. Transactions in foreign currencies are translated into the functional
currency using the exchange rates ruling at the date of the transactions.
Foreign exchange gains and losses resulting from the settlement of such
transactions and from the translation at year-end exchange rates of monetary
assets and liabilities denominated in foreign currencies are recognised in the
Statement of Comprehensive Income.
The net realisable value/fair value of open forward foreign currency contracts
at year end is calculated as the difference between the contract price and fair
value based upon reported market prices of the underlying variables. Any
unrealised gains and losses arising therefrom are included in the Statement of
Financial Position and in the Statement of Comprehensive Income, and attributed
to the respective Euro and Sterling share classes valuations (in order to hedge
for the Euro and Sterling share classes the US Dollar currency exposure).
f) Income
Under IFRS, interest income should be accounted for using the effective interest
method. However, the accruals method has been used as it does not lead to a
material difference.
Dividend income is recognised when the right to receive payment is established.
g) Cash and cash equivalents
Cash and cash equivalents includes cash in hand, deposits held at call with
banks, other short-term highly liquid investments with original maturities of
three months or less, and bank overdrafts. Cash equivalents are short-term
highly liquid investments that are readily convertible to known amounts of cash,
are subject to an insignificant risk of changes in value, and are held for the
purpose of meeting short-term cash commitments rather than for investment or
other purposes. Cash and cash equivalents are stated at the carrying amount as
this is a reasonable approximation of fair value.
h) Expenses and provisions
Expenses, including interest expense, are accounted for using the accruals
method. Provisions are recognised when the Company has a present legal or
constructive obligation as a result of past events, it is probable that an
outflow of resources will be required to settle the obligation and the amount
can be reliably estimated. An estimate has been included for the incremental
costs associated with the wind-up of the Company.
i) Share capital
Ordinary shares are classified as equity. Incremental costs directly
attributable to the issue of shares is shown in equity as a deduction from the
proceeds. The Company's net asset value per share class is calculated by
dividing the net assets attributable to that class by the number of outstanding
shares for that class at year end. Shares attributable to the Cash Pool and the
Entitlement Pools are classified as financial liabilities as the Company has the
obligation to deliver cash upon subsequent realisation of the assets included in
these pools.
j) Formation and initial expenses
For its services in connection with the Placing, the Placing Agents, EFG
Eurobank Securities and EFG Bank were entitled to a placing commission of 2.5
per cent together with a discretionary incentive fee of 1.0 per cent of initial
gross proceeds.
The formation and initial expenses of the Company are those which are necessary
for the incorporation of the Company and the Placing. Such expenses were
immediately written off and include fees payable under the Placing Agreement,
registration, listing and admission fees, printing, advertising and distribution
costs and legal fees and any other applicable expenses. The formation and
initial expenses were borne by the Placing Agents out of the commissions payable
to them in connection with the Placing.
k) Equalisation
Equalisation accounting is carried out at the fund manager level, when the fund
manager does not operate as a partnership. When the Company buys new shares in a
fund, and the fund maintains equalisation accounting, the amount paid is
allocated between the investment representing the fair value of the assets
purchased, and an equalisation adjustment. The equalisation adjustment will be a
credit when the Company subscribes at a time when the gross asset value (GAV)
per share is higher than the existing high water mark, and a debit if the
reverse is the case. At the end of the performance cycle, further shares are
purchased or redeemed using the equalisation adjustment at the new NAV per
share. If the equalisation adjustment account is not fully cleared in a
performance period, the amount outstanding is carried forward to be used at the
next performance fee calculation, or will be written off to the investor on
redemption of his shares.
l) Dividend distribution
The Directors may from time to time declare dividends on any class of Shares. As
at 31 December 2009 and 31 December 2008, the Directors do not have the
intention to declare any dividend distribution considering the current and
future direction of the Company.
29
3. CRITICAL ACCOUNTING ESTIMATES AND JUDGEMENTS
The preparation of financial statements in conformity with IFRS may require
management to make judgments, estimates and assumptions that affect the
application of policies and the reported amounts of assets and liabilities,
income and expenses. The estimates and associated assumptions are based on the
historical experience and various other factors that are believed to be
reasonable under the circumstances, the results of which form the basis of
making the judgments about carrying value of asset and liabilities that are not
readily apparent from other sources. Actual results may differ from these
estimates. The estimates and assumptions that have a significant risk of causing
a material adjustment to the carrying amounts of assets and liabilities within
the next financial year are addressed below:
If trading volumes or liquidity in the Company's investments are considered by
the Investment Manager to be insufficient to provide evidence of an active
market, the Investment Manager estimates net realisable value/fair value by
reference to other information sources namely index movements or changes in
prices of related funds as required by IAS 39 Financial Instruments: Recognition
and Measurement. Estimate prices from underlying administrators are checked by
the Investment Manager. However, these estimates may be adjusted when the final
prices become available and are deemed materially different. This policy also
applies to the less liquid investments contained in the Entitlement Pools,
Redemption Pool and Cash Pool (see Note 4 on pages 30 to 32).
The Directors do not feel it is appropriate to prepare the financial statements
of the Company on the going concern basis as the Company is formally following
its objective to realise its investments and manage an orderly exit for its
investors. The Directors have considered the costs of break-up and are of the
opinion that a sufficient provision has been made in the valuation of all
investor pools to account for all liquidation costs of the Company.
4. FINANCIAL RISK MANAGEMENT
The Company enters into investment transactions in financial instruments,
principally the investment portfolio, the holding of which gives exposure to
risks, which include market risk (comprising price risk, currency risk and
interest rate risk), liquidity risk and default/credit risk.
Market price risk
Market price risk is risk associated with changes in market prices or rates. In
line with to the Company's revised investment object and policy of realising all
remaining assets in the Portfolio so as to maximise the orderly return of
capital to Shareholders, market risk is no longer actively managed by the
Investment Manager, other than under the terms of this revised investment
objective and policy.
Sensitivity analysis
For illustrative purposes, and based upon the historical correlation between the
portfolio and the MSCI World Index as expressed by the portfolio beta,
correlation and R-squared at closing date, with all other factors held constant,
it can be assumed that a 5 per cent rise in the MSCI World Index at reporting
date would have been accompanied by an increase in the net assets of US$0.45
million in 2009 and US$3.9 million in 2008. A decrease of the MSCI World Index
by 5 per cent would have resulted in an equal but opposite effect on the above
financial statement amounts to the amounts shown above, on the basis that all
other variables remain constant.
However, the Investment Manager cautions against relying on these indicators as
predictors of future performance. It must be emphasized that the investment
strategy of the Company was to construct a solid portfolio of several hedge
funds with relatively uncorrelated returns between strategies and markets.
Correlation was not sought with any market or index, and as a result, a
sensitivity analysis of the portfolio to market price risk is not very
meaningful and, to a certain extent, may even prove misleading. In addition, the
portfolio of the Company in its current state is not managed according to any
investment strategy other than trying to liquidate all assets and return cash to
shareholders. Therefore going forward the portfolio of the Company may become
more concentrated and more or less correlated to any particular market.
Liquidity risk
Some of the investee funds may be or become illiquid, and the realisation of
investments from them may take a considerable time and/or be costly. The
Company's investments in such investee funds may not be readily realisable and
their marketability may be restricted, in particular because investee funds may
have restrictions that allow redemptions only at specific infrequent dates with
considerable notice periods, and apply lock-ups and/or redemption fees. The
Company's ability to withdraw monies from underlying funds with such
restrictions will be limited and such restrictions will limit the Company's
flexibility to realise the assets and distribute proceeds to Shareholders.
30
4. FINANCIAL RISK MANAGEMENT (continued)
Liquidity risk (continued)
At the end of the reporting period, following an assessment by the Investment
Manager, the liquidity profile of the investment portfolio of the Redemption
Pool (including remaining cash, having made the distribution of 73.5% of the
portfolio in December 2009) was as follows:
+----------------------------------------------+-----------+-----------+
| Funding risk | 2009 | 2008 |
+----------------------------------------------+-----------+-----------+
| | % of | % of |
| | Portfolio | Portfolio |
+----------------------------------------------+-----------+-----------+
| Cash | 5.17 | 2.95 |
+----------------------------------------------+-----------+-----------+
| Monthly Trading/ 15 days notice | - | 12.93 |
+----------------------------------------------+-----------+-----------+
| Monthly Trading/ 30 days notice | - | 7.68 |
+----------------------------------------------+-----------+-----------+
| Monthly Trading/ 45 days notice | - | 4.25 |
+----------------------------------------------+-----------+-----------+
| Monthly Trading/ 60 days notice | - | 6.77 |
+----------------------------------------------+-----------+-----------+
| Monthly Trading/ 90 days notice | - | 7.87 |
+----------------------------------------------+-----------+-----------+
| Quarterly Trading/ 30 days notice | - | 4.30 |
+----------------------------------------------+-----------+-----------+
| Quarterly Trading/ 45 days notice | - | 18.69 |
+----------------------------------------------+-----------+-----------+
| Quarterly Trading/ 90 days notice | - | 7.95 |
+----------------------------------------------+-----------+-----------+
| Semi Annually Trading | - | 3.04 |
+----------------------------------------------+-----------+-----------+
| Holdbacks until Audit | 5.44 | 0.22 |
+----------------------------------------------+-----------+-----------+
| Restricted Liquidity | 89.39 | 23.35 |
+----------------------------------------------+-----------+-----------+
| | 100.00 | 100.00 |
+----------------------------------------------+-----------+-----------+
This table is based on the available information to the Investment Manager as of
the end of the reporting period and may change at any time due to changes in the
investee funds and market conditions.
In addition, investee funds may have the ability to temporarily suspend the
right of their investors to redeem their investment during periods of
exceptional market conditions. It may therefore be difficult for the Company to
sell or realise its investments in the investee funds in whole or in part.
Moreover, commitments made or to be made by such investee funds with other
investors in those funds, for example, granting such investors enhanced
liquidity, may adversely affect the Company's investment in such funds.
Withdrawals or redemptions by other investors in the same underlying fund may
also negatively impact the value of the Company's investment in that investee
fund.
Financing risk
The vulnerability of the Company to liquidity risk is particularly high in times
of unstable markets, or when the underlying managers, by introducing side
pockets or by suspending NAV redemptions, transform otherwise very liquid
instruments in normal times into very illiquid positions. The Company management
carefully considered that risk and decided to deleverage the Company. By 31
March 2009 the loan facility was fully repaid to the lenders.
Introduction of gates on redemption
The Company has been closed ended since its inception. However, exceptional
market conditions have dried up the listed funds' markets of potential incoming
investors, transforming it into a buyer's market. This has brought the discount
of the market price to NAV to high levels. To meet shareholder demands and
reduce the discount to NAV, the Directors, by the special resolution approved by
Shareholders at the EGM on 17 December 2008, introduced two Redemption Offers
and an on-going discretionary Redemption Facility. The Redemption Offers for
December 2008 and March 2009 allowed Shareholders to redeem up to 20 per cent of
the value of their shareholding at the December 2008 Record Date and the March
2008 Record Date respectively. A redemption fee of 4 per cent of Actual Cash
Proceeds was paid to the Investment Manager.
On 12 May 2009, the Board of Directors of the Company exercised their discretion
to offer shareholders in the Company the opportunity to participate in a
Redemption Facility Offer in June 2009 in respect of up to 20 per cent of the
Company's issued share capital as at June 2009 Record Rate (23 June 2009) with a
redemption fee of 4 per cent of each Shareholder's Actual Cash Proceeds payable
to the Manager. The total value of shares redeemed during the Redemption
Offers, Redemption Facility Offer and Cash Option was US$219,824,004
(2008:US$62,295,863).
The less liquid assets of the Entitlement Pools and Cash Pool and have a current
estimated value of US$52,727,379. Redeeming Shareholders will be paid the
realisation proceeds of their share of the Entitlement Pools and Cash Pool as
and when the assets are realised and these realisation proceeds may be received
as one or more cash payments.
31
4. FINANCIAL RISK MANAGEMENT (continued)
Introduction of gates on redemption (continued)
The maturity profile of the Company's assets & liabilities as follows:
As at 31 December 2009:
+----------------------------+------------------+--------------+-----------------+----------------+
| | Within | | Not | |
| | | | Stated | |
+----------------------------+------------------+--------------+-----------------+----------------+
| | 3 | 4-12 | Maturity | Total |
| | months | months | | |
+----------------------------+------------------+--------------+-----------------+----------------+
| | US$ | US$ | US$ | US$ |
+----------------------------+------------------+--------------+-----------------+----------------+
| Financial Assets | | | | |
+----------------------------+------------------+--------------+-----------------+----------------+
| Investments | | | 70,295,068 | 70,295,068 |
| | - | - | | |
+----------------------------+------------------+--------------+-----------------+----------------+
| Receivables and accrued | 3,153,146 | 252,068 | | 3,405,214 |
| income | | | - | |
+----------------------------+------------------+--------------+-----------------+----------------+
| Cash and cash equivalents | 16,487,833 | | - | 16,487,833 |
| | | - | | |
+----------------------------+------------------+--------------+-----------------+----------------+
| Total financial assets | 19,640,979 | 252,068 | 70,295,068 | 90,188,115 |
+----------------------------+------------------+--------------+-----------------+----------------+
| Financial liabilities | | | | |
+----------------------------+------------------+--------------+-----------------+----------------+
| Payables and accrued | 3,309,290 | 1,438,589 | 49,852,627 | 54,600,506 |
| expenses* | | | | |
+----------------------------+------------------+--------------+-----------------+----------------+
| Total financial | 3,309,290 | 1,438,589 | 49,852,627 | 54,600,506 |
| liabilities | | | | |
+----------------------------+------------------+--------------+-----------------+----------------+
| | | | | |
+----------------------------+------------------+--------------+-----------------+----------------+
| *Includes the total value of the Redemption Portfolio |
| attributable to redeeming shareholders in the December 2008 and |
| March 2009 Redemption Offers and the June 2009 Redemption |
| Facility Offer. It also includes the residual value of the Cash |
| Pool attributable to Cash Option Shareholders. For the total |
| number of shares redeemed by these Shareholders in 2009, please |
| refer to Note 17. |
+-------------------------------------------------------------------------------------------------+
| | | | | |
+----------------------------+------------------+--------------+-----------------+----------------+
| As at 31 December 2008: | | | | |
+----------------------------+------------------+--------------+-----------------+----------------+
| | Within | | Not | |
| | | | Stated | |
+----------------------------+------------------+--------------+-----------------+----------------+
| | 3 | 4-12 | Maturity | Total |
| | months | months | | |
+----------------------------+------------------+--------------+-----------------+----------------+
| | US$ | US$ | US$ | US$ |
+----------------------------+------------------+--------------+-----------------+----------------+
| Financial Assets | | | | |
+----------------------------+------------------+--------------+-----------------+----------------+
| Investments | - | - | 545,440,021 | 545,440,021 |
+----------------------------+------------------+--------------+-----------------+----------------+
| Forward foreign currency | 429,368 | - | - | 429,368 |
| contracts | | | | |
+----------------------------+------------------+--------------+-----------------+----------------+
| Receivables and accrued | 84,201,456 | 31,277 | - | 84,232,733 |
| income | | | | |
+----------------------------+------------------+--------------+-----------------+----------------+
| Cash and cash equivalents | 16,587,005 | - | - | 16,587,005 |
+----------------------------+------------------+--------------+-----------------+----------------+
| Total financial assets | 101,217,829 | 31,277 | 545,440,021 | 646,689,127 |
+----------------------------+------------------+--------------+-----------------+----------------+
| Financial liabilities | | | | |
+----------------------------+------------------+--------------+-----------------+----------------+
| Forward foreign currency | 2,179,465 | - | - | 2,179,465 |
| contracts | | | | |
+----------------------------+------------------+--------------+-----------------+----------------+
| Payables and accrued | 32,747,135 | 2,496,683 | 29,671,084 | 64,914,902 |
| expenses** | | | | |
+----------------------------+------------------+--------------+-----------------+----------------+
| Loan payable | - | 332,009,384 | - | 332,009,384 |
+----------------------------+------------------+--------------+-----------------+----------------+
| Total financial | 34,926,600 | 334,506,067 | 29,671,084 | 399,103,751 |
| liabilities | | | | |
+----------------------------+------------------+--------------+-----------------+----------------+
| | | | | |
+----------------------------+------------------+--------------+-----------------+----------------+
| **Includes the total value of the Redemption Portfolio |
| attributable to redeeming shareholders in the December 2008 |
| Redemption Offer. For the total number of shares redeemed by |
| Shareholders in 2008, please refer to Note 17. |
+----------------------------+------------------+--------------+-----------------+----------------+
32
4. FINANCIAL RISK MANAGEMENT (continued)
Credit risk
Default/credit risk is the risk that one party to a financial instrument will
fail to discharge an obligation and cause the other party to incur a financial
loss. Credit risk generally is higher when a non-exchange-traded financial
instrument is involved, because the counterparty is not backed by an exchange
clearing house. This risk is mitigated by using reputable brokers for all
investment transactions.
The carrying amounts of financial assets which best represent the maximum credit
risk exposure as at 31 December 2009 are as follows:
+--------------------------------------+------------------+----------------------+
| Asset | Counterparty | Amount |
+--------------------------------------+------------------+----------------------+
| | | US$ |
+--------------------------------------+------------------+----------------------+
| Investments | HSBC Custody | 70,295,068 |
| | Services | |
+--------------------------------------+------------------+----------------------+
| Sales awaiting settlement | Underlying | 2,907,361 |
| | Investee Funds | |
+--------------------------------------+------------------+----------------------+
| Other receivables and accrued income | Various third | 497,853 |
| | parties | |
+--------------------------------------+------------------+----------------------+
| Cash and cash equivalents | HSBC Securities | 16,487,833 |
| | Services | |
+--------------------------------------+------------------+----------------------+
| | | 90,188,115 |
+--------------------------------------+------------------+----------------------+
| Comparative figures as at 31 December, 2008 are as | |
| follows: | |
+---------------------------------------------------------+----------------------+
| | | |
+--------------------------------------+------------------+----------------------+
| Asset | Counterparty | Amount |
+--------------------------------------+------------------+----------------------+
| | | US$ |
+--------------------------------------+------------------+----------------------+
| Investments | HSBC Custody | 545,440,021 |
| | Services | |
+--------------------------------------+------------------+----------------------+
| Forward foreign currency contracts | Citibank | 429,368 |
+--------------------------------------+------------------+----------------------+
| Sales awaiting settlement | Underlying | 84,180,541 |
| | Investee Funds | |
+--------------------------------------+------------------+----------------------+
| Other receivables and accrued income | Various third | 52,192 |
| | parties | |
+--------------------------------------+------------------+----------------------+
| Cash and cash equivalents | HSBC Securities | 16,587,005 |
| | Services | |
+--------------------------------------+------------------+----------------------+
| | | 646,689,127 |
+--------------------------------------+------------------+----------------------+
| | | |
+--------------------------------------+------------------+----------------------+
In the current market environment, sales awaiting settlement are now exposed to
extended repayment periods caused by side-pockets, redemption gates, lock-up
periods and even non-repayment if the underlying fund chooses to eventually
liquidate due to excessive redemptions. This risk is continuously being
monitored by the Investment Manager against current and expected market
conditions.
Sales awaiting settlement as at 31 December 2009 includes US$913,548 (2008:
US$940,146) relating to the Entitlement Pools investments.
Interest rate risk
The Company is exposed to interest rate risk. Interest receivable on bank
deposits or payable on bank overdraft positions and the credit facility will be
affected by fluctuations in interest rates. The following table details the
Company's exposure to interest rate risks. It includes the Company's assets and
trading liabilities at net realisable value (2008: fair value), categorised by
the earlier of contractual re-pricing or maturity date measured by the carrying
value of the assets and liabilities. As at 31 December 2009 the Company's
interest bearing assets and liabilities, all of which receive and pay interest
at a variable rate, were as follows:
+-----------------------------------+-------------+--------------+-------------+
| | Less | Non-interest | |
| | than | | |
+-----------------------------------+-------------+--------------+-------------+
| | 1 | bearing | Total |
| | month | | |
+-----------------------------------+-------------+--------------+-------------+
| | US$ | US$ | US$ |
+-----------------------------------+-------------+--------------+-------------+
| Assets | | | |
+-----------------------------------+-------------+--------------+-------------+
| Investments | - | 70,295,068 | 70,295,068 |
+-----------------------------------+-------------+--------------+-------------+
| Receivables and prepayments | - | 3,405,214 | 3,405,214 |
+-----------------------------------+-------------+--------------+-------------+
| Cash and cash equivalents | 16,487,833 | - | 16,487,833 |
+-----------------------------------+-------------+--------------+-------------+
| Total assets | 16,487,833 | 73,700,282 | 90,188,115 |
+-----------------------------------+-------------+--------------+-------------+
| | | | |
+-----------------------------------+-------------+--------------+-------------+
| Liabilities | | | |
+-----------------------------------+-------------+--------------+-------------+
| Payables and accrued expenses | - | 54,600,506 | 54,600,506 |
+-----------------------------------+-------------+--------------+-------------+
| Total liabilities | - | 54,600,506 | 54,600,506 |
+-----------------------------------+-------------+--------------+-------------+
| | | | |
+-----------------------------------+-------------+--------------+-------------+
| Interest rate gap | 16,487,833 | | |
+-----------------------------------+-------------+--------------+-------------+
| | | | |
+-----------------------------------+-------------+--------------+-------------+
33
4. FINANCIAL RISK MANAGEMENT (continued)
Interest rate risk (continued)
+-----------------------------------+---------------+--------------+--------------+
| As at 31 December 2008: | Less | Non-interest | |
| | than | | |
+-----------------------------------+---------------+--------------+--------------+
| | 1 | bearing | Total |
| | month | | |
+-----------------------------------+---------------+--------------+--------------+
| | US$ | US$ | US$ |
+-----------------------------------+---------------+--------------+--------------+
| Assets | | | |
+-----------------------------------+---------------+--------------+--------------+
| Investments | - | 545,440,021 | 545,440,021 |
+-----------------------------------+---------------+--------------+--------------+
| Forward foreign currency | - | 429,368 | 429,368 |
| contracts | | | |
+-----------------------------------+---------------+--------------+--------------+
| Receivables and prepayments | - | 84,232,733 | 84,232,733 |
+-----------------------------------+---------------+--------------+--------------+
| Cash and cash equivalents | 16,587,005 | - | 16,587,005 |
+-----------------------------------+---------------+--------------+--------------+
| Total Assets | 16,587,005 | 630,102,122 | 646,689,127 |
+-----------------------------------+---------------+--------------+--------------+
| | | | |
+-----------------------------------+---------------+--------------+--------------+
| Liabilities | | | |
+-----------------------------------+---------------+--------------+--------------+
| Forward foreign currency | - | 2,179,465 | 2,179,465 |
| contracts | | | |
+-----------------------------------+---------------+--------------+--------------+
| Payables and accrued expenses | - | 64,914,902 | 64,914,902 |
+-----------------------------------+---------------+--------------+--------------+
| Loan payable | 332,009,384 | - | 332,009,384 |
+-----------------------------------+---------------+--------------+--------------+
| Total Liabilities | 332,009,384 | 67,094,367 | 399,103,751 |
+-----------------------------------+---------------+--------------+--------------+
| | | | |
+-----------------------------------+---------------+--------------+--------------+
| Interest rate gap | (315,422,379) | | |
+-----------------------------------+---------------+--------------+--------------+
| | | | |
+-----------------------------------+---------------+--------------+--------------+
The Company decided to deleverage its portfolio, in order to reduce financial
risks. As a result, the Company gave notice to the credit facility provider
Citibank International PLC and repaid the outstanding loan payable by 31 March
2009. This has significantly reduced the Company's exposure to interest rate
risk.
Sensitivity analysis
At 31 December 2009, should the LIBOR rate have increased on average by 100
basis points with all other variables held constant, the increase in net assets
for the year would amount to approximately US$0.2 million (2008: decrease of
US$3.2 million) arising substantially from the decreased cost of short-term
interest payment on the loan facility. If LIBOR rate had decreased by 100 basis
points, the decrease in net assets would amount to approximately the same amount
but in the opposite direction.
Currency risk
The Company invests in underlying hedge funds which are predominately US dollar
denominated as most hedge funds raise money in US dollars. The Company is
therefore exposed to changes in the exchange rate between Sterling and the US
dollar and the exchange rate between Euros and the US dollar which, unhedged,
have the potential to have a significant effect on returns for each of the
Sterling and Euro share classes.
Following approval by the Shareholders at an EGM dated 15 December 2009, as the
Company's portfolio does no longer retain sufficient liquidity for the
Investment Manager to be able to maintain a full currency hedging programme, the
Company ceased its currency hedging programme.
Shareholders in the Sterling or Euro Classes who opted to redeem their
shareholdings in accordance with the December 2008 or March 2009 Redemption
Offers or the June 2009 Redemption Facility Offer and Shareholders in the
Redemption and Cash Pools receive an entitlement to future cash proceeds from
less liquid assets. This entitlement is denominated in US dollars and is
unhedged.
The Company did not hold any forward foreign exchange contracts as at 31
December 2009.
The Company had the following forward foreign exchange contracts as at 31
December 2008:
+------------------------+--------------+--------------+------------+-------------+
| | Forward | Market | | Unrealised |
| | | Value | | |
+------------------------+--------------+--------------+------------+-------------+
| Quantity bought | Counter | Of | Maturity | Gain/(loss) |
| | Value | Contract | date | |
+------------------------+--------------+--------------+------------+-------------+
| | US$ | US$ | | US$ |
+------------------------+--------------+--------------+------------+-------------+
| EUR76,796,376 | 106,735,443 | 107,164,811 | 30/01/2009 | 429,368 |
+------------------------+--------------+--------------+------------+-------------+
| | | | | |
+------------------------+--------------+--------------+------------+-------------+
| GBP59,320,844 | 88,566,020 | 86,386,555 | 30/01/2009 | (2,179,465) |
+------------------------+--------------+--------------+------------+-------------+
| | | | | |
+------------------------+--------------+--------------+------------+-------------+
| | | | | (1,750,097) |
+------------------------+--------------+--------------+------------+-------------+
34
4. FINANCIAL RISK MANAGEMENT (continued)
Currency exposures
As at 31 December 2009, the Company's currency exposure, expressed in US Dollar
was as follows:
+------------------------+---------------+-------------+------------+---------------+
| | USD | EUR | GBP | TOTAL |
+------------------------+---------------+-------------+------------+---------------+
| | US$ | US$ | US$ | US$ |
+------------------------+---------------+-------------+------------+---------------+
| Investments | 69,084,602 | 1,210,466 | - | 70,295,068 |
+------------------------+---------------+-------------+------------+---------------+
| Cash and cash | 16,207,734 | 280,083 | 16 | 16,487,833 |
| equivalents | | | | |
+------------------------+---------------+-------------+------------+---------------+
| Sales awaiting | 2,907,361 | - | - | 2,907,361 |
| settlement | | | | |
+------------------------+---------------+-------------+------------+---------------+
| Amount payable to | (52,467,506) | (710,288) | 450,415 | (52,727,379) |
| redeeming shareholders | | | | |
+------------------------+---------------+-------------+------------+---------------+
| Other net liabilities | (441,820) | - | (933,454) | (1,375,274) |
+------------------------+---------------+-------------+------------+---------------+
| Net statement of | 35,290,371 | 780,261 | (483,023) | 35,587,609 |
| financial position | | | | |
| exposure | | | | |
+------------------------+---------------+-------------+------------+---------------+
| | | | | |
+------------------------+---------------+-------------+------------+---------------+
As the Company did not enter into forward foreign currency contracts as at 31
December 2009, the Euro Class and the Sterling Class were not hedged against
exchange rate fluctuations.
As at 31 December 2008, the Company's currency exposure, expressed in US Dollar
was as follows:
+------------------------+----------------+-------------+-----------+---------------+
| | USD | EUR | GBP | TOTAL |
+------------------------+----------------+-------------+-----------+---------------+
| | US$ | US$ | US$ | US$ |
+------------------------+----------------+-------------+-----------+---------------+
| Investments | 543,357,840 | 2,082,181 | - | 545,440,021 |
+------------------------+----------------+-------------+-----------+---------------+
| Cash and cash | 16,567,454 | 14,689 | 4,862 | 16,587,005 |
| equivalents | | | | |
+------------------------+----------------+-------------+-----------+---------------+
| Sales awaiting | 84,180,541 | - | - | 84,180,541 |
| settlement | | | | |
+------------------------+----------------+-------------+-----------+---------------+
| Loan payable | (332,009,384) | - | - | (332,009,384) |
+------------------------+----------------+-------------+-----------+---------------+
| Amount payable to | (62,295,863) | - | - | (62,295,863) |
| redeeming shareholders | | | | |
+------------------------+----------------+-------------+-----------+---------------+
| Other net liabilities | (2,540,216) | - | (26,631) | (2,566,847) |
+------------------------+----------------+-------------+-----------+---------------+
| Net statement of | 247,260,372 | 2,096,870 | (21,769) | 249,335,473 |
| financial position | | | | |
| exposure | | | | |
+------------------------+----------------+-------------+-----------+---------------+
| | | | | |
+------------------------+----------------+-------------+-----------+---------------+
5. INVESTMENTS AND DERIVIATIVE FINANCIAL INSTRUMENTS
+----------------------------------------------+--------------------+---------------+
| | CMA Global Hedge 1 |
| | Cell and Company |
+----------------------------------------------+------------------------------------+
| | 31 | 31 |
| | December | December |
+----------------------------------------------+--------------------+---------------+
| | 2009 | 2008 |
+----------------------------------------------+--------------------+---------------+
| | US$ | US$ |
+----------------------------------------------+--------------------+---------------+
| Investments | 70,295,068 | 545,440,021 |
+----------------------------------------------+--------------------+---------------+
| Derivatives - forward foreign currency | - | (1,750,097) |
| contracts (net) | | |
+----------------------------------------------+--------------------+---------------+
| | 70,295,068 | 543,689,924 |
+----------------------------------------------+--------------------+---------------+
| | |
+-------------------------------------------------------------------+---------------+
| Net changes in net realisable value/fair | | |
| value on financial assets: | | |
+----------------------------------------------+--------------------+---------------+
| Realised gains/(losses) on investments in | 33,900,961 | (14,491,912) |
| investments funds | | |
+----------------------------------------------+--------------------+---------------+
| Change in unrealised loss on investments in | (26,107,984) | (105,641,953) |
| investments funds | | |
+----------------------------------------------+--------------------+---------------+
| Realised gains/(losses) on derivatives | 1,641,271 | (37,782,995) |
+----------------------------------------------+--------------------+---------------+
| Change in unrealised gain/loss on | 1,750,097 | (3,748,442) |
| derivatives | | |
+----------------------------------------------+--------------------+---------------+
| Total net gains/(losses) | 11,184,345 | (161,665,302) |
+----------------------------------------------+--------------------+---------------+
| | | |
+----------------------------------------------+--------------------+---------------+
Under IFRS, financial instruments recorded at fair value are analysed by using a
fair value hierarchy that reflects the significance of inputs. The fair value
hierarchy has the following levels:
- Level 1: Quoted prices (unadjusted) in active market for identical assets
or liabilities
- Level 2: Inputs other than quoted prices included within Level 1 that are
observable for the asset or
liability, either directly (that is, as prices) or indirectly (that is
derived from prices)
- Level 3: Inputs for the asset or liability that are not based on observable
market data (that is,
unobservable inputs)
Had the investment been carried at fair value under the going concern basis, all
the investments held by the Company at year end would be classified as Level 3
in the fair value hierachy on the basis that the market for these investments is
highly illiquid and the prices (either estimated or final) from administrators
and/or underlying fund managers may not reflect observable market data.
35
6. GUERNSEY TAX EXEMPT STATUS
With effect from 1 January 2008, Guernsey abolished the exempt company regime
for some entities. At the same time the standard rate of income tax for
companies moved from 20 per cent to 0 per cent. Therefore some entities
previously exempt from tax under the provisions of the Income Tax (Exempt
Bodies) (Guernsey) Ordinance 1989 are now taxed at 0 per cent. However, The
States of Guernsey Income Tax Authority has confirmed that collective investment
schemes such as this Company can continue to apply for exempt status. The
Company renewed its exempt status in 2009.
7. EXPENSES
+----------------------------------------------+---------------------+----------------------+
| | CMA Global Hedge 1 |
| | Cell and Company |
+----------------------------------------------+--------------------------------------------+
| | 31 | 31 |
| | December | December |
+----------------------------------------------+---------------------+----------------------+
| | 2009 | 2008 |
+----------------------------------------------+---------------------+----------------------+
| | US$ | US$ |
+----------------------------------------------+---------------------+----------------------+
| Investment management fees | 2,242,533 | 10,904,753 |
+----------------------------------------------+---------------------+----------------------+
| Setup costs - Entitlement Pools | 803,863 | - |
+----------------------------------------------+---------------------+----------------------+
| Restructuring fee | 481,808 | - |
+----------------------------------------------+---------------------+----------------------+
| Administration fees | 428,319 | 470,261 |
+----------------------------------------------+---------------------+----------------------+
| Legal and professional fees | 281,763 | 88,724 |
+----------------------------------------------+---------------------+----------------------+
| Provision for wind up costs | 225,000 | - |
+----------------------------------------------+---------------------+----------------------+
| Custodian fees | 150,000 | 176,541 |
+----------------------------------------------+---------------------+----------------------+
| Directors' fees and expenses | 134,430 | 167,452 |
+----------------------------------------------+---------------------+----------------------+
| Audit fees | 83,727 | 64,628 |
+----------------------------------------------+---------------------+----------------------+
| Bank charges and interest expenses | 3,608 | 4,249 |
+----------------------------------------------+---------------------+----------------------+
| Miscellaneous expenses | 363,164 | 337,644 |
+----------------------------------------------+---------------------+----------------------+
| | | |
+----------------------------------------------+---------------------+----------------------+
| | 5,198,215 | 12,214,252 |
+----------------------------------------------+---------------------+----------------------+
| | | |
+----------------------------------------------+---------------------+----------------------+
8. SIGNIFICANT AGREEMENTS AND RELATED PARTIES
a) The Investment Manager
The Investment Manager was entitled to a fee of 1 per cent per annum of the
total assets of the Company calculated and accrued on a monthly basis and
payable quarterly in arrears. The fee for the year is shown in Note 7 and the
amount outstanding at year end is shown in Note 13 as "Investment management
fees" and "Investment management fees payable", respectively.
In addition, a performance fee of 5 per cent of the amount (if any) by which the
Net Asset Value of the Company at the end of any accounting period (ending on 31
December) exceeded the Net Asset Value at launch or at the start of any such
accounting period (or, if higher, the highest previous Net Asset Value in
respect of which a performance fee was paid) was payable. This performance fee
was therefore subject to a so-called "high watermark" test. The calculation of
the total amount of any performance fee would be adjusted for the repurchase or
issue of shares in any given accounting period. There was no performance fee
payable during 2009.
Following approval by the Shareholders at an EGM dated 15 December 2009, the
management fee payable to the Investment Manager was reduced to 0.25 per cent of
the Company's Net Asset Value. In addition, the requirement for the Company to
pay a performance fee to the Investment Manager was removed.
With the Redemption Offer and Redemption Facility introduced by the Directors,
the Investment Manager will be entitled to receive all redemption fees paid by
the redeeming shareholders in the December 2008 and March 2009 Redemption
Offers, the June 2009 Redemption Facility Offer and any Redemption Facility
Offers introduced by the Company in 2009, 2010 and 2011. The redemption fee
payable by Shareholders for the December 2008 and March 2009 Redemption Offers
will be equivalent to 4 per cent of each shareholder's actual cash proceeds. The
redemption fee payable by Shareholders for the June 2009 Redemption Facility
Offer will be equivalent to 4 per cent of each shareholder's actual cash
proceeds received as a result of the redemption of their shares. For the year
ended 31 December 2009, redemption fees of US$456,000 (2008: nil) were incurred
and paid by Shareholders of the December 2008 Redemption Offer and redemption
fees of US$192,000 (2008: nil) were incurred and paid by Shareholders of the
March 2009 Redemption Offer to the Investment Manager.
The Management Agreement may be terminated by either the Investment Manager or
the Company giving to the other not less than 18 months' notice in writing, such
notice not to expire before the second anniversary of Admission. The Company
shall not serve notice to terminate the agreement on notice unless this course
of action has been unanimously agreed to by the independent Directors.
36
8. SIGNIFICANT AGREEMENTS AND RELATED PARTIES (continued)
b) Custodian fees
The Custodian was entitled to an annual fee equivalent to 0.04 per cent per
annum of the Net Asset Value up to US$500 million and 0.03 per cent per annum
where the Net Asset Value exceeds US$500 million. This was subject to a minimum
fee of US$150,000 per annum per Cell of the Company. The fee for the year is
shown in Note 7 and the amount outstanding at year end is shown in Note 13 as
"Custodian fees" and "Custodian fees payable", respectively. Effective 1 January
2010, an annual fee of GBP31,250 will be charged against the Company.
c) Directors' fees and expenses
Each of the Directors, (executive and non-executive) is entitled to receive a
fee of GBP20,000 per annum (GBP35,000 for the Chairman). James Lee agreed to
waive his fee during the continuance of his appointment as Director. Markos
Kamchis (known as Marcos Camhis) has agreed to waive his fee during his
appointment as Director. The Chairman of the Audit Committee will receive an
additional GBP5,000 per annum. The aggregate of all Directors fees shall not
exceed GBP150,000. The fee for the year is shown in Note 7 and the amount
outstanding at year end is shown in Note 13 as "Directors' fee and expenses" and
"Directors' fees and expenses payable", respectively.
d) Administration fees
The Administrator was entitled to an annual fee equivalent to 0.075 per cent per
annum of the Net Asset Value up to US$600 million and 0.05 per cent per annum
where the Net Asset Value exceeds US$600 million. This was subject to a minimum
fee of US$250,000 per annum. The fee for the year is shown in Note 7 and the
amount outstanding at year end is shown in Note 13 as "Administration fees" and
"Administration fees payable", respectively. Effective 1 January 2010, an
annual fee of GBP62,500 will be charged.
e) Other related party transactions
The Investment Manager, C.M. Advisors Limited, is a wholly owned subsidiary of
EFG International. For its services in connection with the placing, EFG
International received placing fees as detailed in note 2(j). EFG International
also holds 610,399 Sterling shares (2008: 1,063,520 Sterling shares) in the Cell
at 31 December 2009.
9. OPERATING SEGMENTS
The Board of Directors of the Company makes the strategic asset allocations on
behalf of the Company. The Company has determined the operating segments based
on the reports reviewed by the Board of Directors that are used to make
strategic decisions. As discussed in Note 2, the Board considers the business as
organised into three operating segments: Redemption Pool, Cash Pool and
Entitlement Pools (2008: two operating segments - Continuing Portfolio and
Entitlement Pool).
The Company's assets are invested in open ended collective investment schemes.
Although all of the Company's activities are interrelated, activities are driven
by the option selected by the Shareholders. Accordingly, significant operating
decisions are based upon analysis of the Company into three operating segments
which are also considered as reportable (2008: two reportable operating
segments).
The financial positions and results of all the segments are equivalent to the
financial statements of the Company as a whole as internal reports to the Board
are prepared on a consistent basis with the measurement and recognition
principles of IFRS.
The Company is domiciled in Guernsey. The Company's income from investments is
primarily derived from investment funds that are incorporated in countries other
than Guernsey.
The segment information provided to the Board for the reportable segments is as
follows:
+------------------------+-------------+-------------+--------------+--------------+
| For the year ended 31 | Redemption | Cash | Entitlement | |
| December 2009: | | | | |
+------------------------+-------------+-------------+--------------+--------------+
| | Pool | Pool | Pools | Total |
+------------------------+-------------+-------------+--------------+--------------+
| | US$ | US$ | US$ | US$ |
+------------------------+-------------+-------------+--------------+--------------+
| Dividend income | 15,930 | - | - | 15,930 |
+------------------------+-------------+-------------+--------------+--------------+
| Interest income | 25,689 | - | 416 | 26,105 |
+------------------------+-------------+-------------+--------------+--------------+
| Other investment | 20,469 | - | 198 | 20,667 |
| income | | | | |
+------------------------+-------------+-------------+--------------+--------------+
| Net changes in value | 12,368,462 | (4,559,600) | 3,375,483 | 11,184,345 |
| on investments and | | | | |
| derivative financial | | | | |
| instruments | | | | |
+------------------------+-------------+-------------+--------------+--------------+
| Net changes in value | - | 4,041,476 | (2,385,183) | 1,656,293 |
| of Cash Pool and | | | | |
| Entitlement Pool | | | | |
| liabilities | | | | |
+------------------------+-------------+-------------+--------------+--------------+
| Foreign currency gains | 246,788 | 518,124 | (30,528) | 734,384 |
+------------------------+-------------+-------------+--------------+--------------+
| Expenses | (4,237,829) | - | (960,386) | (5,198,215) |
+------------------------+-------------+-------------+--------------+--------------+
| Finance costs | (613,272) | - | - | (613,272) |
+------------------------+-------------+-------------+--------------+--------------+
| Total net segment | 7,826,237 | - | - | 7,826,237 |
| income | | | | |
+------------------------+-------------+-------------+--------------+--------------+
| Total segment assets | 36,880,696 | 3,317,560 | 49,989,857 | 90,188,113 |
+------------------------+-------------+-------------+--------------+--------------+
| Total segment | (1,293,089) | (3,317,560) | (49,989,857) | (54,600,506) |
| liabilities | | | | |
+------------------------+-------------+-------------+--------------+--------------+
37
9. OPERATING SEGMENTS (continued)
Total segment assets include:
+------------------------+-------------+------------+-------------+-------------+
| | Redemption | Cash | Entitlement | |
+------------------------+-------------+------------+-------------+-------------+
| | Pool | Pool | Pools | Total |
+------------------------+-------------+------------+-------------+-------------+
| | US$ | US$ | US$ | US$ |
+------------------------+-------------+------------+-------------+-------------+
| Investments | 32,629,237 | 2,900,000 | 34,765,831 | 70,295,068 |
+------------------------+-------------+------------+-------------+-------------+
| Other | 4,251,459 | 417,560 | 15,224,026 | 19,893,045 |
+------------------------+-------------+------------+-------------+-------------+
| | 36,880,696 | 3,317,560 | 49,989,857 | 90,188,113 |
+------------------------+-------------+------------+-------------+-------------+
| | | | | |
+------------------------+-------------+------------+-------------+-------------+
Total segments assets detailed above differ from that presented in the Statement
of Financial Position as non-cellular assets (US$2) are not allocated to any of
the three reportable segments.
For the year ended 31 December 2008:
+--+---------------------+---+----------+---------------+----------+--------------+----------+---------------+
| | | | | Continuing | | Entitlement | | |
| | | | | | | | | |
+--+---------------------+---+----------+---------------+----------+--------------+----------+---------------+
| | | | | Portfolio | | Pools | | Total |
+--+---------------------+---+----------+---------------+----------+--------------+----------+---------------+
| | | | | US$ | | US$ | | US$ |
+--+---------------------+---+----------+---------------+----------+--------------+----------+---------------+
| Interest income | | | 428,751 | | - | | 428,751 |
+------------------------+---+----------+---------------+----------+--------------+----------+---------------+
| Other investment | | | 616 | | - | | 616 |
| income | | | | | | | |
+------------------------+---+----------+---------------+----------+--------------+----------+---------------+
| Net changes in value on | | | | | | - |
| financial assets | | | | | | |
+----------------------------+----------+---------------+----------+--------------+----------+---------------+
| and derivative | | | (161,665,302) | | - | | (161,665,302) |
| financial instruments | | | | | | | |
+------------------------+---+----------+---------------+----------+--------------+----------+---------------+
| Foreign currency gains | | | (83,286) | | - | | (83,286) |
+------------------------+---+----------+---------------+----------+--------------+----------+---------------+
| Expenses | | | (12,214,252) | | - | | (12,214,252) |
+------------------------+---+----------+---------------+----------+--------------+----------+---------------+
| Finance costs | | | (16,884,823) | | - | | (16,884,823) |
+------------------------+---+----------+---------------+----------+--------------+----------+---------------+
| Total net segment | | | (190,418,296) | | - | | (190,418,296) |
| income | | | | | | | |
+------------------------+---+----------+---------------+----------+--------------+----------+---------------+
| Total segment assets | | | 584,393,262 | | 62,295,863 | | 646,689,125 |
+------------------------+---+----------+---------------+----------+--------------+----------+---------------+
| Total segment | | | (336,807,888) | | (62,295,863) | | (399,103,751) |
| liabilities | | | | | | | |
+------------------------+---+----------+---------------+----------+--------------+----------+---------------+
| | | | | | | | | |
+--+---------------------+---+----------+---------------+----------+--------------+----------+---------------+
| Total segment assets | | | | | | | |
| include: | | | | | | | |
+------------------------+---+----------+---------------+----------+--------------+----------+---------------+
| | | | | Continuing | | Entitlement | | |
| | | | | | | | | |
+--+---------------------+---+----------+---------------+----------+--------------+----------+---------------+
| | | | | Portfolio | | Pools | | Total |
+--+---------------------+---+----------+---------------+----------+--------------+----------+---------------+
| | | | | US$ | | US$ | | US$ |
+--+---------------------+---+----------+---------------+----------+--------------+----------+---------------+
| | | | | | | | | |
+--+---------------------+---+----------+---------------+----------+--------------+----------+---------------+
| Investments | | | 515,768,937 | | 29,671,084 | | 545,440,021 |
+------------------------+---+----------+---------------+----------+--------------+----------+---------------+
| Other | | | 68,624,325 | | 32,624,779 | | 101,249,104 |
+------------------------+---+----------+---------------+----------+--------------+----------+---------------+
| | | | | 584,393,262 | | 62,295,863 | | 646,689,125 |
+--+---------------------+---+----------+---------------+----------+--------------+----------+---------------+
Transactions between reportable segments during the year were as follows:
After the first Redemption Offer tendered on December 2008, the Company made two
additional Redemptions in March 2009 and June 2009. This resulted in the
transfer of a portion of the Continuing Portfolio's investments to the
Entitlement Pools. Notes 1 and 14 provide details of these two Redemption
Offers.
At an EGM dated 3 September 2009 approving the resolution for the
discontinuation of the Company and the introduction of two options to realise
Shareholders' investments in the Company, a portion of the Company's remaining
investments on the Continuing Portfolio was transferred to the Cash Pool.
Please refer to Notes 1 and 15 for further details on these two options/pools.
The net value of the assets transferred from the Continuing Portfolio amounts to
US$47,987,674, US$41,384,495 and US$29,804,117 for the March 2009 Entitlement
Pool, June 2009 Entitlement Pool, and the Cash Pool, respectively. The remaining
net assets in the Continuing Portfolio are attributable to the Company's
Redemption Pool.
38
9. OPERATING SEGMENTS (continued)
In December 2008, further to the Company's first Redemption Offer (December
2008), a portion of the Company's investments were transferred to the
Entitlement Pool. For further details, please refer to Notes 1 and 14.
The net value of the assets transferred from the Continuing Portfolio to the
December 2008 Entitlement Pool amounts to US$62,295,863.
The table below analyses the Company's net investment income by geographical
location. The basis for attributing income is the place of incorporation of the
instrument's counterparty.
+----------------------------------------------+---------------+----------------+
| Country | 2009 | 2008 |
+----------------------------------------------+---------------+----------------+
| | US$ | US$ |
+----------------------------------------------+---------------+----------------+
| Bahamas | 16,631,686 | 8,356,465 |
+----------------------------------------------+---------------+----------------+
| Bermuda | - | 673,930 |
| | | |
+----------------------------------------------+---------------+----------------+
| Cayman Islands | (5,962,509) | (104,928,198) |
+----------------------------------------------+---------------+----------------+
| Ireland | 6,185,801 | (11,413,221) |
+----------------------------------------------+---------------+----------------+
| Norway | (1,688,319) | (9,940,377) |
+----------------------------------------------+---------------+----------------+
| United Kingdom | 5,811,845 | (39,765,757) |
+----------------------------------------------+---------------+----------------+
| United States of America | (7,340,780) | (4,302,063) |
+----------------------------------------------+---------------+----------------+
| | 13,637,724 | (161,319,221) |
+----------------------------------------------+---------------+----------------+
| |
| For the country breakdown of the Company's investments, please |
| refer to the table below: |
+-------------------------------------------------------------------------------+
| Country | 2009 | 2008 |
+----------------------------------------------+---------------+----------------+
| | US$ | US$ |
+----------------------------------------------+---------------+----------------+
| Bahamas | - | 84,599,281 |
+----------------------------------------------+---------------+----------------+
| Cayman Islands | 38,450,531 | 391,590,839 |
+----------------------------------------------+---------------+----------------+
| Ireland | - | 14,704,769 |
| | | |
+----------------------------------------------+---------------+----------------+
| Norway | 11,821,234 | 16,586,574 |
+----------------------------------------------+---------------+----------------+
| United States of America | 20,023,303 | 37,958,558 |
+----------------------------------------------+---------------+----------------+
| | 70,295,068 | 545,440,021 |
+----------------------------------------------+---------------+----------------+
| | | |
+----------------------------------------------+---------------+----------------+
The Company has no assets classified as non-current assets.
The Company has a diversified shareholder population. However, as at 31 December
2009 the following shareholders held more than 10 per cent of the total shares
in issue of the Company:
+----------------------------------------------+----------+-----------+
| | 2009 | 2008 |
+----------------------------------------------+----------+-----------+
| | (%) | (%) |
+----------------------------------------------+----------+-----------+
| The Bank of New York (nominees) Limited* | 36.99 | - |
+----------------------------------------------+----------+-----------+
| Securities Services Nominees Limited | 20.67 | 28.34 |
+----------------------------------------------+----------+-----------+
| HSBC Global Custody Nominee (UK) Limited | 11.45 | 18.84 |
+----------------------------------------------+----------+-----------+
* No percentage holdings for 2008 as holdings were below 10% as at 31st December
2008
39
10. EARNINGS PER SHARE
The calculation of the basic earnings per share of the US Dollar, Euro and
Sterling share is based on the profit/(loss) for the year attributable to US
Dollar, Euro and Sterling shareholders and on the weighted average number of US
Dollar, Euro and Sterling Shares outstanding during the year. The Company's
diluted earnings per share is the same as basic earnings per share since the
Company has not issued any instrument with dilutive potential.
Prior to 15 December 2009, the currency hedging programme was undertaken for the
Sterling and Euro share classes. The gains and losses arising from the currency
hedging programme in the year are allocated to the Sterling and Euro share
classes only and are reflected in the earnings per share of these classes
disclosed below:
+---------------------------------+-----------------+------------+-----------+
| As at 31 December 2009: | | | |
+---------------------------------+-----------------+------------+-----------+
| | Profit/(loss) | Average | Earnings |
| | | No. of | per |
| | | Shares | Share |
+---------------------------------+-----------------+------------+-----------+
| US Dollar Share | US$1,522,264 | 7,786,468 | US$0.20 |
| | | | |
+---------------------------------+-----------------+------------+-----------+
| Euro Share | EUR(39,296) | 6,247,197 | EUR(0.01) |
+---------------------------------+-----------------+------------+-----------+
| Sterling Share | GBP4,049,076 | 4,293,238 | GBP0.94 |
+---------------------------------+-----------------+------------+-----------+
| | | | |
+---------------------------------+-----------------+------------+-----------+
| As at 31 December 2008: | | | |
+---------------------------------+-----------------+------------+-----------+
| | Loss | Average | Earnings |
| | | No. of | per |
| | | Shares | Share |
+---------------------------------+-----------------+------------+-----------+
| US Dollar Share | US$(46,346,772) | 13,517,509 | US$(3.43) |
+---------------------------------+-----------------+------------+-----------+
| Euro Share | EUR(40,076,449) | 10,819,374 | EUR(3.70) |
+---------------------------------+-----------------+------------+-----------+
| Sterling Share | GBP(46,229,003) | 7,272,272 | GBP(6.36) |
+---------------------------------+-----------------+------------+-----------+
| | | | |
+---------------------------------+-----------------+------------+-----------+
11. NET ASSET VALUE PER SHARE
The net asset value of the US Dollar, Euro and Sterling shares has been
determined by dividing the net assets attributable to that class by the number
of US Dollar, Euro and Sterling shares in issue at the year end.
+---------------------------------+---------------+------------+----------+
| As at 31 December 2009: | | | |
+---------------------------------+---------------+------------+----------+
| | Net | No. of | Net |
| | assets | Shares | assets |
| | attributable | | per |
| | to each | | Share |
| | share class | | |
+---------------------------------+---------------+------------+----------+
| US Dollar Share | US$12,514,802 | 1,539,414 | US$8.13 |
+---------------------------------+---------------+------------+----------+
| Euro Share | EUR8,932,074 | 1,169,040 | EUR7.64 |
+---------------------------------+---------------+------------+----------+
| Sterling Share | GBP6,356,037 | 817,995 | GBP7.77 |
+---------------------------------+---------------+------------+----------+
| | | | |
+---------------------------------+---------------+------------+----------+
| As at ended 31 December 2008: | | | |
+---------------------------------+---------------+------------+----------+
| | Net | No. of | Net |
| | assets | Shares | assets |
| | attributable | | per |
| | to each | | Share |
| | share class | | |
+---------------------------------+---------------+------------+----------+
| US Dollar Share | US$86,481,257 | 10,686,124 | US$8.09 |
+---------------------------------+---------------+------------+----------+
| Euro Share | EUR67,034,562 | 8,596,158 | EUR7.80 |
+---------------------------------+---------------+------------+----------+
| Sterling Share | GBP46,283,602 | 5,855,261 | GBP7.90 |
+---------------------------------+---------------+------------+----------+
| | | | |
+---------------------------------+---------------+------------+----------+
40
12. RECEIVABLES AND PREPAYMENTS
+---------------------------------+-------------+--------------+--------------+
| As at 31 December 2009: | | | |
+---------------------------------+-------------+--------------+--------------+
| | CMA | Non-Cellular | Company |
| | Global | | Total |
| | Hedge 1 | | |
| | Cell | | |
+---------------------------------+-------------+--------------+--------------+
| | US$ | US$ | US$ |
+---------------------------------+-------------+--------------+--------------+
| Sales awaiting settlement | 2,907,361 | - | 2,907,361 |
+---------------------------------+-------------+--------------+--------------+
| Due from broker | 245,020 | - | 245,020 |
+---------------------------------+-------------+--------------+--------------+
| Interest receivable | 763 | - | 763 |
+---------------------------------+-------------+--------------+--------------+
| Prepaid directors' insurance | 29,720 | - | 29,720 |
+---------------------------------+-------------+--------------+--------------+
| Prepaid listing fee | 3,329 | - | 3,329 |
+---------------------------------+-------------+--------------+--------------+
| Prepaid consulting fees | 910 | - | 910 |
+---------------------------------+-------------+--------------+--------------+
| Other prepaid expenses | 52 | - | 52 |
+---------------------------------+-------------+--------------+--------------+
| Other debtors | 218,057 | 2 | 8,059 |
+---------------------------------+-------------+--------------+--------------+
| | 3,405,212 | 2 | 3,405,214 |
+---------------------------------+-------------+--------------+--------------+
| | | | |
+---------------------------------+-------------+--------------+--------------+
| As at 31 December 2008: | | | |
+---------------------------------+-------------+--------------+--------------+
| | US$ | US$ | US$ |
+---------------------------------+-------------+--------------+--------------+
| Sales awaiting settlement | 84,180,541 | - | 84,180,541 |
+---------------------------------+-------------+--------------+--------------+
| Prepaid directors' insurance | 20,913 | - | 20,913 |
+---------------------------------+-------------+--------------+--------------+
| Prepaid listing fee | 2,253 | - | 2,253 |
+---------------------------------+-------------+--------------+--------------+
| Other debtors | 29,024 | 2 | 29,026 |
+---------------------------------+-------------+--------------+--------------+
| | 84,232,731 | 2 | 84,232,733 |
+---------------------------------+-------------+--------------+--------------+
| | | | |
+---------------------------------+-------------+--------------+--------------+
13. PAYABLES AND ACCRUED EXPENSES
+----------------------------------------------+-------------+-------------+
| | CMA Global Hedge 1 |
| | Cell and Company |
+----------------------------------------------+---------------------------+
| | 31 | 31 |
| | December | December |
+----------------------------------------------+-------------+-------------+
| | 2009 | 2008 |
+----------------------------------------------+-------------+-------------+
| | US$ | US$ |
+----------------------------------------------+-------------+-------------+
| Investment management fees payable | 340,120 | 2,409,855 |
+----------------------------------------------+-------------+-------------+
| Administration fees payable | 183,631 | 79,180 |
+----------------------------------------------+-------------+-------------+
| Audit fees payable | 67,582 | 51,005 |
+----------------------------------------------+-------------+-------------+
| Custodian fees payable | 42,472 | 37,705 |
+----------------------------------------------+-------------+-------------+
| Directors' fees and expenses payable | 28,170 | - |
+----------------------------------------------+-------------+-------------+
| Loan interest payable | - | 13,476 |
+----------------------------------------------+-------------+-------------+
| Restructuring fee payable | 542,646 | - |
+----------------------------------------------+-------------+-------------+
| Set up cost payable - Entitlement Pools | 362,230 | - |
+----------------------------------------------+-------------+-------------+
| Amounts payable to redeeming shareholders | 52,727,379 | 62,295,863 |
| (*) | | |
+----------------------------------------------+-------------+-------------+
| Provision for wind up costs | 225,000 | - |
+----------------------------------------------+-------------+-------------+
| Sundry creditors | 81,276 | 27,818 |
+----------------------------------------------+-------------+-------------+
| | 54,600,506 | 64,914,902 |
+----------------------------------------------+-------------+-------------+
| | | |
+----------------------------------------------+-------------+-------------+
| | 31 | 31 |
| | December | December |
+----------------------------------------------+-------------+-------------+
| | 2009 | 2008 |
+----------------------------------------------+-------------+-------------+
| | US$ | US$ |
+----------------------------------------------+-------------+-------------+
| (*) Reconciliation of Amounts payable to | | |
| redeeming shareholders: | | |
+----------------------------------------------+-------------+-------------+
| Redemption Offers and Redemption Facility | 49,627,627 | 62,295,863 |
| Offer Redemption Portfolios (see Note 14)) | | |
+----------------------------------------------+-------------+-------------+
| Cash Pool (see Note 15) | 3,099,752 | - |
+----------------------------------------------+-------------+-------------+
| | 52,727,379 | 62,295,863 |
+----------------------------------------------+-------------+-------------+
| | | |
+----------------------------------------------+-------------+-------------+
14. REDEMPTION OFFERS AND REDEMPTION FACILITY OFFER
The Entitlement Pools represent the pools of less liquid assets comprised in the
Redemption Portfolio for each Redemption Offer or Redemption Facility Offer
which will be realised in order to pay Shareholders the final balance of their
cash proceeds.
The Company will, on a monthly basis, publish an unaudited Net Asset Value for
the Entitlement Pools, which shareholders may choose to take as an indicator of
the potential realisation proceeds of the Entitlement Pools and the Actual Cash
Proceeds they may receive. Shareholders should be aware that the realisation
proceeds will be affected by the ability of the Investment Manager to realise
assets at the same price as those assets are held at Net Asset Value, taking
into account market conditions, and the deduction of the costs and expenses
associated with the December 2008 and March 2009 Redemption Facility Offers and
the June 2009 Redemption Facility Offer. Therefore, the Actual Cash Proceeds
received may be materially different to that indicated by any of the monthly
unaudited Net Asset Values published for the Entitlement Pools.
41
14. REDEMPTION OFFERS AND REDEMPTION FACILITY OFFER (continued)
Movement analyses of Entitlement Pool liabilities follow:-
+----------------------------+------------------+-----------+--------------+---------+
| | December 2008 | March 2009 |
| | Redemption Offer | Redemption Offer |
+----------------------------+------------------------------+------------------------+
| | US$ | % | US$ | % |
+----------------------------+------------------+-----------+--------------+---------+
| Initial net asset value of | 62,295,863 | 100.00 | 47,987,674 | 100.00 |
| Redemption Portfolio | | | | |
+----------------------------+------------------+-----------+--------------+---------+
| Cash element distributed | (32,624,780) | (52.37) | (29,101,899) | (60.64) |
| at creation | | | | |
+----------------------------+------------------+-----------+--------------+---------+
| Entitlement Pool at | 29,671,083 | 47.63 | 18,885,775 | 39.36 |
| creation | | | | |
+----------------------------+------------------+-----------+--------------+---------+
| | | | | |
+----------------------------+------------------+-----------+--------------+---------+
| First cash payment from | (5,600,000) | (8.99) | (4,800,000) | (10.00) |
| Entitlement Pool * | | | | |
+----------------------------+------------------+-----------+--------------+---------+
| Second cash payment from | (5,800,000) | (9.31) | - | - |
| Entitlement Pool * | | | | |
+----------------------------+------------------+-----------+--------------+---------+
| | (11,400,000) | (18.30) | (4,800,000) | (10.00) |
+----------------------------+------------------+-----------+--------------+---------+
| Net changes in value of | 535,365 | 0.86 | 1,323,648 | 2.76 |
| Entitlement Pool | | | | |
| liabilities ** | | | | |
+----------------------------+------------------+-----------+--------------+---------+
| Estimated value of | 18,806,448 | 30.19 | 15,409,423 | 32.11 |
| Entitlement Pool at 31 | | | | |
| December 2009 | | | | |
+----------------------------+------------------+-----------+--------------+---------+
| | | | | |
+----------------------------+------------------+-----------+--------------+---------+
| | June 2009 | Total | |
| | Redemption Facility | | |
| | Offer | | |
+----------------------------+------------------------------+--------------+---------+
| | US$ | % | US$ | |
+----------------------------+------------------+-----------+--------------+---------+
| Initial net asset value of | 41,384,495 | 100.00 | 151,668,032 | |
| the Redemption Portfolio | | | | |
+----------------------------+------------------+-----------+--------------+---------+
| Cash element distributed | (26,498,909) | (64.03) | (88,225,588) | |
| at creation | | | | |
+----------------------------+------------------+-----------+--------------+---------+
| Entitlement Pool at | 14,885,586 | 35.97 | 63,442,444 | |
| creation | | | | |
+----------------------------+------------------+-----------+--------------+---------+
| | | | | |
+----------------------------+------------------+-----------+--------------+---------+
| First cash payment* from | - | - | (10,400,000) | |
| Entitlement Pool | | | | |
+----------------------------+------------------+-----------+--------------+---------+
| Second cash payment* from | - | - | (5,800,000) | |
| Entitlement Pool | | | | |
+----------------------------+------------------+-----------+--------------+---------+
| | - | - | (16,200,000) | |
+----------------------------+------------------+-----------+--------------+---------+
| Net changes in value of | 526,170 | 1.27 | 2,385,183 | |
| Entitlement Pool | | | | |
| liabilities ** | | | | |
+----------------------------+------------------+-----------+--------------+---------+
| Estimated value of | 15,411,756 | 37.24 | 49,627,627 | |
| Entitlement Pool at 31 | | | | |
| December 2009 | | | | |
+----------------------------+------------------+-----------+--------------+---------+
| | | | | |
+----------------------------+------------------+-----------+--------------+---------+
*Gross of redemption fees of 4% payable to the Investment Manager
**From inception date of the Entitlement Pools to the reporting date
15. REDEMPTION AND CASH POOLS
Further to the introduction of the Cash Option and Redemption Option, the Board
divided the Company's Portfolio into a Redemption Pool and a Cash Pool.
Portfolio assets including cash were allocated to the Cash Pool and to the
Redemption Pool pro rata, in proportion to the aggregate shareholdings of the
Cash Option Shareholders and the Redemption Option Shareholders.
The Redemption Pool represents the assets of the Company to be realised on an
ongoing basis, the proceeds of such realisations will be distributed during the
Realisation Period to those shareholders who elected for the Redemption Option.
The Investment Manager will sell the non-cash assets allocated to the Cash Pool
in the secondary market as soon as practicable, and the proceeds of such
secondary market sales shall be aggregated with the cash assets allocated to the
Cash Pool and distributed as cash distributions to Cash Option Shareholders. The
immediate secondary market realisation of the non-cash assets in the Cash Pool
is likely to result in those assets being sold at a material discount, and this
is likely to result in the value of cash distribution being at a material
discount to the Net Asset Value represented by the Cash Pool assets as a whole.
42
15. REDEMPTION AND CASH POOLS (continued)
First redemption option payment
Details of the first cash payment received by each Redemption Option Shareholder
on 23 December 2009 are outlined below. Each Shareholder, by way of redemption
of shares, received an initial cash payment equal to the following percentage of
his total number of shares, multiplied by the Net Asset Value per share on 4
December 2009.
+---------------------------------+-----------+------------+---------------+
| | | Net Asset | |
+---------------------------------+-----------+------------+---------------+
| | | Value per | |
+---------------------------------+-----------+------------+---------------+
| | | Share at | Total |
+---------------------------------+-----------+------------+---------------+
| | % of | 4 December | Redemption |
| | Initial | | |
+---------------------------------+-----------+------------+---------------+
| Share Class | Payment | 2009 | Amount |
+---------------------------------+-----------+------------+---------------+
| US Dollar | 73.43 | US$8.34 | US$35,509,184 |
| | | | |
+---------------------------------+-----------+------------+---------------+
| Euro | 73.55 | EUR7.86 | EUR |
| | | | 25,535,984 |
+---------------------------------+-----------+------------+---------------+
| Sterling | 73.61 | GBP7.94 | GBP18,123,401 |
+---------------------------------+-----------+------------+---------------+
| | | | |
+---------------------------------+-----------+------------+---------------+
| The remaining shares of the Redemption Option Shareholders are |
| detailed in Note 17. |
+---------------------------------+-----------+------------+---------------+
First cash option payment
Details of the first cash payment received by each Cash Option Shareholder on 23
December 2009 are outlined below. Each Shareholder received an initial cash
payment equal to the following percentage of his total number of shares,
multiplied by the Net Asset Value per share on 4 December 2009.
+------------------------------------------------------------------+-----------+------------+--------------+
| | | Net Asset | |
+------------------------------------------------------------------+-----------+------------+--------------+
| | | Value per | |
+------------------------------------------------------------------+-----------+------------+--------------+
| | | Share at | Total |
+------------------------------------------------------------------+-----------+------------+--------------+
| | % of | 4 December | Cash |
| | Initial | | |
+------------------------------------------------------------------+-----------+------------+--------------+
| Share Class | Payment | 2009 | Distribution |
+------------------------------------------------------------------+-----------+------------+--------------+
| US Dollar | 73.43 | US$8.34 | US$6,590,206 |
| | | | |
+------------------------------------------------------------------+-----------+------------+--------------+
| Euro | 73.55 | EUR7.86 | EUR5,757,061 |
| | | | |
+------------------------------------------------------------------+-----------+------------+--------------+
| Sterling | 73.61 | GBP7.94 | GBP4,090,366 |
| | | | |
+------------------------------------------------------------------+-----------+------------+--------------+
| |
| Estimated remaining value of Cash |
| Pool |
| 31 31 |
| December December |
| 2009 2008 |
| US$ US$ |
| Estimated remaining value of Cash 3,099,752 - |
| Pool |
| |
+------------------------------------------------------------------+-----------+------------+--------------+
16. LOAN PAYABLE
The Company acting on behalf of CMA Global Hedge 1 Cell entered into a
US$420,000,000 Credit Facility Agreement on 27 September 2006 with Citibank
International plc. On 22 June 2007, this facility was extended to
US$540,000,000. Interest was accrued and calculated as the aggregate of the
margin, LIBOR and mandatory cost (currently nil). The proceeds of these
drawdowns were used for investing.
+----------------------------------------------+---------------+---------------+
| | CMA Global Hedge 1 |
| | Cell and Company |
+----------------------------------------------+-------------------------------+
| | 31 | 31 |
| | December | December |
+----------------------------------------------+---------------+---------------+
| | 2009 | 2008 |
+----------------------------------------------+---------------+---------------+
| | US$ | US$ |
+----------------------------------------------+---------------+---------------+
| Balance at the beginning of the year | 332,009,384 | 451,358,512 |
+----------------------------------------------+---------------+---------------+
| Capital drawdown | 15,527,720 | 86,525,092 |
+----------------------------------------------+---------------+---------------+
| Capital repayment | (348,150,376) | (222,759,043) |
+----------------------------------------------+---------------+---------------+
| Capitalised interest | 613,272 | 16,884,823 |
+----------------------------------------------+---------------+---------------+
| | | |
+----------------------------------------------+---------------+---------------+
| Balance at the end of the year | - | 332,009,384 |
+----------------------------------------------+---------------+---------------+
| | | |
+----------------------------------------------+---------------+---------------+
43
16. LOAN PAYABLE (continued)
The loan facility was granted for a period of seven years, in the form of
monthly advances. Each advance, with its monthly accrued interest as reduced or
increased by forward foreign exchange gains or losses, is rolled as the new
principal into the following month upon request to the lender, up to the maximum
loan commitment, until the last month preceding the expiry date of the facility.
The outstanding amount of the loan was therefore the cumulative amount of
advances, loan repayments and accrued interest as reduced by gains on forward
foreign contracts in the course of this year and prior periods. The purpose of
the loan was to enable the Investment Manager to leverage its investment
portfolio in accordance with the investment objectives and policies as set out
in its Offering Memorandum. Under the terms of the loan agreement, this facility
was available up to the total principal amount at any time, up to and including
the month preceding the maturity date falling due 7 years after the date of the
signature of the agreement, that is, 27 September 2013.
Due to the high cost of maintaining the Company's existing financial leverage,
in November 2008 the Directors gave six months notice to Citibank International
PLC to terminate the contract and repaid the loan by 31 March 2009.
17. SHARES IN ISSUE
+-------------------------------+-------------+-------------+-------------+
| a) Authorised chare capital | | 31 | 31 |
| | | December | December |
+-------------------------------+-------------+-------------+-------------+
| | | 2009 | 2008 |
+-------------------------------+-------------+-------------+-------------+
| | | US$ | US$ |
+-------------------------------+-------------+-------------+-------------+
| 2 Management shares of | | 2 | 2 |
| US$1.00 each | | | |
+-------------------------------+-------------+-------------+-------------+
| Unlimited Unclassified Shares | | - | - |
| of Nil value | | | |
+-------------------------------+-------------+-------------+-------------+
| | | 2 | 2 |
+-------------------------------+-------------+-------------+-------------+
| b) Called up share capital | | | |
+-------------------------------+-------------+-------------+-------------+
| | US Dollar | Euro Share | Sterling |
| | Share | | Share |
+-------------------------------+-------------+-------------+-------------+
| As at 31 December 2009 | No. of | No. of | No. of |
| | Shares | Shares | Shares |
+-------------------------------+-------------+-------------+-------------+
| In issue at the start of the | 10,686,124 | 8,596,158 | 5,855,261 |
| year | | | |
+-------------------------------+-------------+-------------+-------------+
| i) Shares conversions | (95,711) | (8,453) | 75,114 |
+-------------------------------+-------------+-------------+-------------+
| ii) Shares redeemed as a | | (1,639,166) | (1,273,275) |
| result of March 2009 | (2,095,961) | | |
| Redemption Offer | | | |
+-------------------------------+-------------+-------------+-------------+
| iii) Shares redeemed as a | (1,624,198) | (1,533,046) | (857,957) |
| result of June 2009 | | | |
| Redemption Facility Offer | | | |
+-------------------------------+-------------+-------------+-------------+
| iv) Shares redeemed as a | (4,255,376) | (3,250,151) | (2,281,587) |
| result of Redemption Option | | | |
+-------------------------------+-------------+-------------+-------------+
| v) Shares redeemed as a | (1,075,464) | (996,302) | (699,561) |
| result of Cash Option | | | |
+-------------------------------+-------------+-------------+-------------+
| In issue at the end of the | 1,539,414 | 1,169,040 | 817,995 |
| year | | | |
+-------------------------------+-------------+-------------+-------------+
| | | | |
+-------------------------------+-------------+-------------+-------------+
| The facility to convert between share classes operated in respect |
| of the 31 December 2008 and 30 June 2009 Conversion Calculation |
| Date. Following the EGM on 15 December 2009, the Company ceased to |
| offer a conversion option to the shareholders going forward. |
| |
+-------------------------------------------------------------------------+
| | US Dollar | Euro Share | Sterling |
| | Share | | Share |
+-------------------------------+-------------+-------------+-------------+
| As at 31 December 2008 | No. of | No. of | No. of |
| | Shares | Shares | Shares |
+-------------------------------+-------------+-------------+-------------+
| In issue at the start of the | 15,520,033 | 11,528,966 | 5,692,880 |
| year | | | |
+-------------------------------+-------------+-------------+-------------+
| i) Shares conversions | (2,233,453) | (922,398) | 1,807,207 |
+-------------------------------+-------------+-------------+-------------+
| ii) Shares redeemed as a | (2,600,456) | (2,010,410) | (1,644,826) |
| result of December 2008 | | | |
| Redemption Offer | | | |
+-------------------------------+-------------+-------------+-------------+
| In issue at the end of the | 10,686,124 | 8,596,158 | 5,855,261 |
| year | | | |
+-------------------------------+-------------+-------------+-------------+
| | | | |
+-------------------------------+-------------+-------------+-------------+
The facility to convert between share classes dated 18 February 2008 and 18
August 2008 operated in respect of the December 2007 and 30 June 2008 Conversion
Calculation Date, respectively.
The principal rights attaching to the classes of shares are as follows:
Unclassified Shares
The Unclassified Shares may be issued as Participating Shares or Nominal Shares
that may be issued as Cell Shares.
Management Shares
The Management Shares in issue were issued at par and are beneficially owned by
the Investment Manager. The Management Shares have been created so Participating
Shares may be issued. To qualify as Participating Shares, the Participating
Shares are required, under Guernsey Law, to have a preference over some other
class of share capital. The Management Shares carry one vote each on a poll or
on a show of hands, do not carry any right to dividends and, in a winding up,
rank only for a return of paid up capital (after return of capital on
Participating Shares and Nominal Shares). The Management Shares are not
redeemable.
44
17. SHARES IN ISSUE (continued)
b) Called up share capital (continued)
Participating Shares
The Participating Shares carry the right to dividends as determined by the
Company in a general meeting. Each holder of Participating Shares is entitled,
in person or by proxy, to one vote for each Participating Share held. In a
winding up, each Participating Share has a preferential right to return of
capital paid up in priority to a payment in respect of shares of any other class
and a right to share in surplus assets after a return of capital paid up on
Nominal and Management Shares. A fraction of a Participating Share will rank
pari passu and proportionately with a whole Participating Share.
Before the December 2008 Redemption Offer was introduced by the Directors, each
holder of Cell Shares could, at the sole option of the Directors on any
Redemption Date, request the redemption of the whole or any number of Cell
Shares comprised in his holding of Cell Shares. The Company will not give effect
to redemption requests in respect of more than 25 per cent of the Shares of the
relevant class of the relevant Cell or such lesser percentage of Shares in
respect of which the Directors decide to give effect to redemption requests. If
on any Redemption Date the number of Shares for which valid redemption requests
have been delivered cause the limit to be exceeded, the number of Shares to be
redeemed on the Redemption Date will be reduced pro rata according to the number
of Shares to which each redemption request relates.
By the Special Resolution approved by the shareholders at the Extraordinary
General Meeting on 17 December 2008, the Redemption Offer and the Redemption
Facility was introduced and implemented. The Directors introduced two
redemption offers of up to 20 per cent each of the Company's share capital in
issue as at the December 2008 Record Date and the March 2009 Record Date with a
redemption fee of 4 per cent of Actual Cash Proceeds to the Investment Manager.
An on-going Redemption Facility was made available to the shareholders whereby
the Company may offer, at the discretion of the Directors, to redeem up to 20
per cent of the Company's issued share capital on a half yearly basis, with a
redemption fee payable to the Investment Manager of 4 per cent, 3 per cent, and
2 per cent on redemptions made in 2009, 2010 and 2011, respectively. Each
shareholder would be paid the actual cash proceeds of the redemption of their
shares as one or more payments. The actual cash proceeds would be made up of
two elements, a cash element and a pro rata share of the realisation proceeds of
the not immediately liquid portion of the Company's portfolio that would be
realised as part of each redemption.
The Board of Directors of the Company subsequently resolved on 12 May 2009 to
exercise their discretion to offer shareholders in the Company the opportunity
to participate in a Redemption Facility Offer in June 2009 in respect of up to
20 per cent of the Company's issued share capital as at June 2009 Record Rate
(23 June 2009) subject to a redemption fee of 4 per cent of each Shareholder's
actual cash proceeds payable to the Investment Manager.
The redemption proceeds for shareholders consists of both liquid and less liquid
assets. As a result, the amounts payable to redeeming Shareholders ("Redemption
Portfolio") consisted of two elements: (1) an initial cash element and (2) an
entitlement to receive the realisation proceeds of a pro rata share of the less
liquid portion of the Company's portfolio that has been selected to be realised
as part of the redemptions in the December 2008 and March 2009 Redemption Offers
and the June 2009 Redemption Facility Offer.
The Company paid redeeming shareholders the initial cash element of the
redemption proceeds in the currency of shares redeemed. The less liquid assets
which have been selected to be realised are contained in Entitlement Pools in
respect of each Redemption Offer Date. Redeeming shareholders are paid the
realisation proceeds of their share of the Entitlement Pools as and when the
assets are realised and these realisation proceeds may be received as one or
more cash payments.
18. RECONCILIATION OF PUBLISHED NET ASSET VALUE ATTRIBUTABLE
TO EQUITY SHAREHOLDERS TO THE IFRS EQUIVALENT
+------------------------------+---------+----+-----------+-+-------------+--------------+--+
| As at 31 December 2009 | US Dollar | Euro Share | Sterling | Total | |
| | Share | | Share | | |
+------------------------------+--------------+-------------+-------------+--------------+--+
| | US$ | EUR | GBP | US$ | |
+------------------------------+--------------+-------------+-------------+--------------+--+
| Published Net Asset Value | 12,593,926 | 8,988,546 | 6,396,223 | 35,812,607 | |
+------------------------------+--------------+-------------+-------------+--------------+--+
| Adjustments to Net Asset | | | | | |
| Value: | | | | | |
+------------------------------+--------------+-------------+-------------+--------------+--+
| Provision for wind up costs | (79,124) | (56,472) | (40,186) | (225,000) | |
+------------------------------+--------------+-------------+-------------+--------------+--+
| | | | | | |
+------------------------------+--------------+-------------+-------------+--------------+--+
| Net Asset Value per | 12,514,802 | 8,932,074 | 6,356,037 | 35,587,607 | |
| financial statements | | | | | |
+------------------------------+--------------+-------------+-------------+--------------+--+
| | | | | | |
+------------------------------+--------------+-------------+-------------+--------------+--+
| | | US Dollar | Euro Share | Sterling |
| | | Share | | Share |
+------------------------------+---------+----------------+---------------+-----------------+
| | | per share in | per share in | per share in |
| | | US$ | EUR | GBP |
+------------------------------+---------+----------------+---------------+-----------------+
| Published Net Asset Value | | 8.18 | 7.69 | 7.82 |
| per share | | | | |
+------------------------------+---------+----------------+---------------+-----------------+
| Adjustments to Net Asset | | | | |
| Value per share: | | | | |
+------------------------------+---------+----------------+---------------+-----------------+
| Provision for wind up costs | | (0.05) | (0.05) | (0.05) |
+------------------------------+---------+----------------+---------------+-----------------+
| | | | | |
+------------------------------+---------+----------------+---------------+-----------------+
| Net Asset Value per share per | 8.13 | 7.64 | 7.77 |
| financial statements | | | |
+----------------------------------------+----------------+---------------+-----------------+
| | | | | | |
+------------------------------+--------------+-------------+-------------+--------------+--+
| | | | | | | | |
+------------------------------+---------+----+-----------+-+-------------+--------------+--+
45
18. RECONCILIATION OF PUBLISHED NET ASSET VALUE ATTRIBUTABLE
TO EQUITY SHAREHOLDERS TO THE IFRS EQUIVALENT (continued)
+----------------------------+------------+--+------------+-+--------------+---------------+----------+
| As at 31 December 2008 | US Dollar | Euro | Sterling | Total | |
| | Share | Share | Share | | |
+----------------------------+---------------+--------------+--------------+---------------+----------+
| | US$ | EUR | GBP | US$ | |
+----------------------------+---------------+--------------+--------------+---------------+----------+
| Published Net Asset Value | 108,221,361 | 83,246,747 | 59,668,511 | 311,481,489 | |
+----------------------------+---------------+--------------+--------------+---------------+----------+
| Adjustments to Net Asset | | | | | |
| Value: | | | | | |
+----------------------------+---------------+--------------+--------------+---------------+----------+
| Accrual for amounts | (21,181,138) | (15,778,911) | (13,085,757) | (62,295,863) | |
| payable to redeeming | | | | | |
| Shareholders | | | | | |
+----------------------------+---------------+--------------+--------------+---------------+----------+
| Estimated prices adjusted | (558,966) | (433,273) | (299,151) | (1,600,252) | |
| to final prices | | | | | |
+----------------------------+---------------+--------------+--------------+---------------+----------+
| | | | | | |
+----------------------------+---------------+--------------+--------------+---------------+----------+
| Net Asset Value per | 86,481,257 | 67,034,563 | 46,283,603 | 247,585,374 | |
| financial statements | | | | | |
+----------------------------+---------------+--------------+--------------+---------------+----------+
| | | | | | |
+----------------------------+---------------+--------------+--------------+---------------+----------+
| | | US Dollar | Euro Share | Sterling Share |
| | | Share | | |
+----------------------------+------------+---------------+----------------+--------------------------+
| | | per share | per share | per share in GBP |
| | | in US$ | in EUR | |
+----------------------------+------------+---------------+----------------+--------------------------+
| Published Net Asset Value | | 8.15 | 7.85 | 7.96 |
| per share | | | | |
+----------------------------+------------+---------------+----------------+--------------------------+
| Adjustments to Net Asset | | | | |
| Value per share: | | | | |
+----------------------------+------------+---------------+----------------+--------------------------+
| Estimated prices adjusted | | (0.06) | (0.05) | (0.06) |
| to final prices | | | | |
+----------------------------+------------+---------------+----------------+--------------------------+
| | | | | |
+----------------------------+------------+---------------+----------------+--------------------------+
| Net Asset Value per share per | 8.09 | 7.80 | 7.90 |
| financial statements | | | |
+-----------------------------------------+---------------+----------------+--------------------------+
| | | | | | |
+----------------------------+---------------+--------------+--------------+---------------+----------+
| | | | | | | | |
+----------------------------+------------+--+------------+-+--------------+---------------+----------+
The Net Asset Value for amounts payable to redeeming Shareholders are accounted
for as payables in the financial statements.
19. ULTIMATE CONTROLLING PARTY
In the opinion of the Directors on the basis of the shareholdings advised to
them, the Company has no ultimate controlling party.
20. POST BALANCE SHEET EVENTS
Second and Final Cash Pool Payment
Following the sale of the pro rata share of all remaining illiquid assets, Cash
Option Shareholders received their second and final cash payment on 17 March
2010. Details of the final settlement are outlined below. Each Cash Option
Shareholder received a second and final cash payment equal to the following
value per share held.
+----------------------------------------------+-----------+--------------+
| | Second | |
| | and | |
+----------------------------------------------+-----------+--------------+
| | Final | Total |
| | Payment | Cash |
+----------------------------------------------+-----------+--------------+
| Share Class | (per | Distribution |
| | share) | |
+----------------------------------------------+-----------+--------------+
| US Dollar | US$0.8844 | US$951,140 |
| | | |
+----------------------------------------------+-----------+--------------+
| Euro | EUR0.8747 | EUR871,465 |
| | | |
+----------------------------------------------+-----------+--------------+
| Sterling | GBP0.9091 | GBP635,971 |
| | | |
+----------------------------------------------+-----------+--------------+
| | | |
+----------------------------------------------+-----------+--------------+
Cash Payments from the Entitlement Pools
On 23 April 2010, the December 2008, March 2009 and June 2009 Entitlement Pool
Shareholders received payments relating to realisation proceeds of certain of
the assets held on the three Entitlement Pools. Details of cash payments (before
deduction of the 4 per cent redemption fee charged by the Investment Manager)
made to Entitlement Pool Shareholders were as follows:
- Third payment relating to the December 2008 Redemption Offer amounting to US$
2.5 million, EUR
1.9 million, and GBP 1.5 million for the US Dollar, Euro, and Sterling share
classes, respectively.
- A second cash payment relating to the March 2009 Redemption Offer
amounting to US$2.2
million, EUR1.6 million, and GBP1.2 million for the US Dollar, Euro, and Sterling
share classes,
respectively.
- First payment relating to the June 2009 Redemption Facility Offer
amounting to US$2.3 million, EUR
2.1 million, and GBP 1.2 million for the US Dollar, Euro, and Sterling share
classes, respectively.
46
For CMA Global Hedge PCC Limited
HSBC Securities Services (Guernsey) Limited, Secretary
30th April 2010
END
This information is provided by RNS
The company news service from the London Stock Exchange
END
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