TIDMGMNT
RNS Number : 7317K
Gottex Market Neutral Trust Limited
23 April 2010
Gottex Market Neutral Trust Limited (the" Company")
(a closed-ended investment company incorporated with limited liability under the
laws of Guernsey with registered number 46429)
ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS - 31 DECEMBER 2009
SUMMARY INFORMATION
Structure
Gottex Market Neutral Trust Limited (the "Company") is a closed-ended investment
company, registered in Guernsey on 19 February 2007 as a company limited by
shares. The Company commenced business on its first dealing day on 29 March 2007
and its Shares are listed on the London Stock Exchange.
Investment Objective and Policy
The Company's investment objective is to generate consistent returns over the
medium-term with low beta to major equity and fixed income market benchmarks.
Although not forming part of the investment objective such returns are expected
to be associated with a low degree of risk. The Company's investment policy is
to invest in a diversified portfolio of hedge funds.
At the Extraordinary General Meeting ("EGM") on the 11March 2010, a managed
winding down of the Company was approved. As a result of this, the new
investment objective and investment policy of the Company is to realise the
Company's existing investments in an orderly and timely manner, with a view to
distributing cash to Shareholders at appropriate times as sufficient investments
are realised. The Company will not make any new investments (other than cash and
near cash equivalent securities).
+-----------------------------------------------------+---------------+
| FINANCIAL HIGHLIGHTS | |
| as at 31 December 2009 | |
+-----------------------------------------------------+---------------+
| Total Net Assets | GBP39,505,703 |
+-----------------------------------------------------+---------------+
| Net Asset Value per Share | 87.11p |
+-----------------------------------------------------+---------------+
| | |
+-----------------------------------------------------+---------------+
| FINANCIAL HIGHLIGHTS | |
| as at 31 December 2008 | |
+-----------------------------------------------------+---------------+
| Total Net Assets | GBP35,196,487 |
+-----------------------------------------------------+---------------+
| Net Asset Value per Share | 77.61p |
+-----------------------------------------------------+---------------+
REPORT OF THE INVESTMENT MANAGER
Market and Strategy Review
Q1 2009 was characterised by the continued release of negative economic news
that increasingly reinforced the severity of the global recession, combined with
varying degrees of government intervention aimed at supporting markets. Global
equity markets retested their lows of Q4 2008, but rallied significantly through
the second half of March following the powerful use of "quantitative easing."
Furthermore, credit markets showed signs of improved liquidity, and hedge funds
were generally able to return to profitability.
In January, it was learned that Bank of America needed additional government
funding to absorb the losses on the assets it acquired from Merrill Lynch, and
Citigroup received yet more support from the FDIC. The UK government increased
its stake in Royal Bank of Scotland, while the Irish government took control of
Anglo Irish Bank. Commerzbank received a capital injection from the German
government, which received a 25% equity stake in return. Deutsche Bank
surprised the market with a EUR3.9 billion loss, largely attributed to credit
trading. The financial stresses in Eastern Europe came into focus in February,
as market participants were concerned by the potential knock-on effect of these
problems on the Western European banking sector. However, some US banks
announced that they were profitable for the first two months of the year in
March, and the US congress also suggested changes to accounting practices aimed
at loosening accounting treatment of 'available for sale securities'
('mark-to-market'). The announced purchase of up to USD 300 billion of
Treasuries by the US Federal Reserve (the "Fed"), and the Public Private
Investment Program ("PPIP") aimed at removing toxic assets from bank balance
sheets, gave financials a further boost, and they lead an equity market rally on
improved market sentiment. The US Treasury market entered into a bear steepening
move in January, which continued through February as the spectre of increased
supply slightly outweighed the dire economic data. However, treasuries rallied
in March at the Fed's Treasury Purchase Announcement (quantitative easing), and
the yield on 2-year Treasuries fell from 97 bps to 80 bps, leaving it only
marginally higher than at the start of the year. Corporate credit rallied from
the beginning of the year until mid-February, before spreads widened amidst an
abrupt pullback of liquidity.
Q2 2009 began with a strong rally across markets extending from March through
May. A pause in this rally was notable in June. While profit taking was
partially responsible for this break in the rally, the hiatus seemed to be
driven by investors becoming more guarded about the pace of economic recovery.
However, markets remained quite active throughout June, and although month-end
levels in various markets were not that different from the end of May levels,
there was considerable intra-month volatility, particularly in government bond
markets. Government announcements were less dramatic in Q2 2009. For the first
time in months, the US government did not roll out a major new program. Toward
the end of Q2 2009, the Federal Open Market Committee ("FOMC") announced that it
would continue its buying program. The increase in yields was supportive of
model valuations, although this was somewhat offset by the increase in fixed
income volatility during June. The impact of the recent government programs
remains limited, and the back-up in Treasury yields has kept mortgage rates
above where they were when these programs were introduced. In the mortgage
markets, pass-through securities consistently outperformed Treasuries throughout
Q2 2009, which we believe was due to government buying. The FOMC announced in
late June that it would continue its buying program; market participants had
fretted that the Fed would shift to a higher mix of Treasuries as opposed to
mortgages. The increase in yields was supportive of model valuations, although
this was somewhat offset by the increase in fixed income volatility during the
month.
The Asset Backed Securities ("ABS") market demonstrated mixed results. Toward
the end of Q2 2009, the ABS sector demonstrated significantly range-bound
results. Market participants began to conclude that the US government is
reluctant to extend its Term Asset-Backed Securities Loan Facility ("TALF")
program beyond its current scope, and that Residential Mortgage-Backed
Securities ("RMBS") in particular may never make it into the program. On the
other hand, we feel that private sector financing options are making a comeback,
particularly the Resecuritised Real Estate Mortgage Investment Conduit
("re-REMIC"), where a small number of senior RMBS bonds are bundled and carved
into a simple two-tranche structure. Initiatives such as this, as well as the
PPIP program that was launched in July, will help put a floor under asset
prices. The convertible bond market retained its pace of recovery in Q2 2009.
Strength was especially apparent in June, although the pace of spread tightening
did not match that of previous months. Issuance was quite strong once again,
and there were a number of company buybacks as well.
The springtime rally in global markets seemed to stall in June, and the pullback
was accentuated in early July, when markets appeared to adopt a more
conservative mood. All of that changed mid-month, however, as a resumption of
risk appetite led to a surge in buying activity. By the end of July, global
equity and credit markets had recorded strong gains. The macroeconomic data in
early July gave investors a reason to pause. The all-important June employment
data from the US was disappointing and consumer sentiment surveys were also
weak, but the economic newsflow improved as the month went on. Industrial
production figures for Germany and France surprised to the upside. Both the US
Federal Open Market Committee (FOMC) and the International Monetary Fund (IMF)
made slight upward revisions to their GDP forecasts.
Markets performed quite well again in August, and the economic data released was
generally as good as the economists' predictions. The only significant
disappointment on the economic data front was US retail sales, which declined by
0.6% (ex-autos) as opposed to the 0.1% rise that was expected. For the most
part, global equity markets turned in a positive performance in August.
Financial markets performed positively across all regions and asset classes in
September. Indeed, the pattern was unusual in that equity and credit performed
well, yet government bond markets, often negatively correlated, also recorded
gains.
September's economic news was mixed once again, but with enough positive data
points to keep the current market recovery on track. The September release of
August US employment data stated that US non-farm payrolls contracted by
216,000, a slightly smaller figure than the expected 230,000. Later in the
month, the Bureau of Labor Statistics released a revision to their model which
indicated that the total number of jobs lost since the onset of the current
recession is over 800,000 more than previously forecast. The Institute for
Supply Management (ISM) manufacturing index posted a slight decrease, from 52.9
to 52.6, but remained above the 50 level that is consistent with an expanding
economy (the non-manufacturing component remains below 50). In its meeting at
the end of the month, the FOMC left rates unchanged and signalled that they will
remain so for some time. However, the FOMC adjusted its assessment of the US
economy to say that "economic activity has picked up" and it chose not to add to
its security purchase programs, in fact, it decided to slow the rate of MBS
purchases.
After months of reports hinting that the U.S. economy was beginning to recover,
investors received official evidence early in the fourth quarter, when the
Department of Commerce announced that third-quarter gross domestic product (GDP)
had increased. By the time the reading was finalized, the economy recorded an
annualized 2.2% growth rate for the third calendar quarter. While the good news
was anticipated, it provided a psychological boost that an economic recovery was
indeed under way. Forecasts for U.S. GDP growth over the next year are positive,
as indicated by such measures as inventory levels. Growth signals have also come
from the Institute for Supply Management's Manufacturing Index. After months of
contraction (any reading under 50 indicates contraction), the index has had five
consecutive months of readings showing expansion. In fact, December's reading of
55.9 was the highest for the index since the end of 2005.
The negative return in October broke a streak of seven consecutive months of
positive equity markets performance leading investors to once again consider
whether the market had come too far, too fast. October proved to be a temporary
blip, however, as the bulls resumed their run in November and December. For the
quarter, the S&P 500 Total Return Index rose 6.04% and the FTSE 100 rose 6.16%.
This resilient performance was all the more significant given that investors
were clearly unsettled during November and December by the threat of default in
Dubai and worries about sovereign risk associated with Greece and Spain.
Although November witnessed a mini flight to quality, the fourth quarter was
generally good for risk-based fixed income assets as most sectors were able to
outperform comparable duration U.S. Treasuries. Yields on Treasuries rose across
the board, while issues maturing in seven, ten and 30 years fared the worst. The
Barclay's Aggregate Index was able to eke out a slight positive return for the
quarter despite poor performance in the rising-rate environment of December.
Although corporate bonds posted excess returns relative to Treasuries in the
fourth quarter, it was not enough to offset the December increase in rates
leaving the sector with its first negative monthly total return since March.
Non-investment-grade sectors continued to surge as both global high yield and
emerging market debt both outperformed Treasuries
Performance Review
The Company's NAV delivered a return of +0.90% net of fees in December, putting
the cumulative return for the year to date at +10.29%. The 2009 year end NAV of
the GBP Share was 87.11p (starting NAV of 98.25p after expenses of the issue),
while the last close price on the London Stock Exchange on 25 December 2009 was
71.75p. The HFRI Conservative FOF Index returned 0.62% in December and finished
2009 at +9.57%.
.Relative Value / Arbitrage Strategies
This includes a wide spectrum of primarily quantitative strategies that aim to
profit by capitalising on the mispricing of related securities or financial
assets. Convertible arbitrage for example, typically seeks to profit from the
price relationship between a convertible bond and the underlying common stock.
The Company's best performing strategy was Convertible Arbitrage. The
performance was influenced by credit spreads, as the hedge funds that were
positioned for credit spread tightening outperformed the more hedged portfolios.
No single name stood out amid the spread tightening trend.
The Company's second best performing strategy was Mortgage-Backed Securities
("MBS"). Our managers in this strategy capitalized on a positive backdrop for
several months of 2009 - much of our performance in came from normalization of
spreads following a dislocation in 2008. Although that trend can continue, we
think that a transition to a more trading-oriented posture is the correct way to
exploit the many uncertainties that will drive volatility in this market in
2010.
Our allocation to Long/Short Credit also performed well. Generally speaking, the
high yield and leveraged loan markets continued to show gains from strong demand
for credit and our managers benefitted from their positions in certain stressed
names.
Options Arbitrage was the Company's second worst performing strategy. Although
we would not anticipate our positions here to deliver strong positive returns in
this environment, performance has been below expectations. We have reduced our
allocations, but we continue to believe that these positions are an important
hedge to our overall portfolio.
Event-Driven Strategies
The primary objective is to buy strategies that the underlying manager believes
will increase in value due to a specific catalyst.
Equity Strategies
Strategies in the Equities investment style involve combining long share
positions with short sales of shares or indices. Using similar analytics
employed by traditional equity fund managers, the typical strategy seeks to buy
undervalued shares and short-sell overvalued shares before the market reacts.
Outlook
Having staged a remarkable recovery (one that looked highly unlikely twelve
months ago), financial markets seem to be operating as normal. Judged by
broader metrics, valuations are more or less in line with longer term averages,
and volatility seems contained. The situation looks stable, but artificially
so. An unprecedented effort by the world's governments and central banks was
required to get us to this point. We view 2010 as a relay race where
governments have to "hand off" to the private sector. Some batons may be
dropped, and others will be passed later than anticipated. Ironically, the risk
to future progress could come from the weak balance sheets of governments
themselves.
Although mindful of these risks, our view has been that we will avoid a double
dip recession and although that opinion may look more vulnerable now, it remains
our base case scenario.
We think that governments stand ready to prevent or quench another flare-up of
systemic risk; the wounds of the 2008 crisis are still too raw. Unfortunately,
this means that growth will be limited and that economies will continue to face
headwinds for some time. We believe that this uncertain environment will
continue to lead to choppy financial markets that may be quite volatile at
times, which we hope will lead to good opportunities for our relative value
managers. We are also positive on the outlook for event-driven investing,
albeit more on the credit side (e.g. bankruptcies and debt restructurings) than
the equity side (e.g mergers and spin-offs).
Finally, although security financing markets have recovered, hedge funds' gross
exposure levels remain very low, and therefore there is plenty room for hedge
funds to take up their exposure levels by holding less cash or by using modest
amounts of leverage. In light of our view, we are quietly confident that 2010
will be a strong year for both our Funds and our investors.
Gottex Fund Management Sarl
January 2010
At an Extraordinary General Meeting held on 11 March 2010, the Directors took
the decision to wind down the Fund. We, the Investment Manager are undertaking
the winding down of the Fund in an orderly manner. Redemptions have been placed
for all the underlying funds, where there is the ability to place such
redemptions, and are in accordance with the instructions issued verbally by the
Board's advisers on 22 December 2009, and by letter dated 11 March 2010.
Gottex Fund Management Sarl
April 2010
BOARD MEMBERS
Directors of the Company
The Directors have a range of expertise in the hedge fund sector and other
financial sectors and have considerable experience in supervising closed-ended
funds.
The Directors of the Company, all of whom are non-executive, are listed below.
Joan Beck, (Chairman), aged 63, has over 30 years' experience in the securities
industry. He began his career at Pierson Holding and Pierson, the Amsterdam
based merchant bank, in 1969. After obtaining his MBA at INSEAD he joined
Merrill Lynch in Paris as syndicate manager before joining Morgan Stanley in
1980. From 1984 to 1995 he was deputy chairman of CS First Boston Limited in
charge of the new issues business. In 1996 he was appointed vice chairman of
HSBC Investment Banking. Between 2000 and 2001 he was Director General of
Cazenove & Co Suisse S.A. From 2002 to the present day he has been the chairman
of the European Securities Forum. He is a non-executive director of AIM listed
Dealogic and POWEO, a Paris listed energy company. Mr Beck is resident in
Switzerland.
Richard Hotchkis, aged 59, has some 30 years' investment experience. Until
October 2006 he was an investment manager at the Co-operative Insurance Society
where he started his career in 1976. Mr Hotchkis has a wide experience of
equity investment in both the UK and overseas and also of the externally managed
funds industry, including investment trust and other closed ended funds,
offshore funds and hedge funds. He was a director of Dexion Absolute Limited.
He is a director of several quoted investment companies including FRM Credit
Alpha Fund and Alternative Investment Strategies. Mr Hotchkis is resident in
Guernsey.
Robert Sinclair (Chairman of the Audit Committee), aged 60, is Managing Director
of the Guernsey based Artemis Group and a director of a number of investment
fund management companies and investment funds associated with clients of that
group. Mr Sinclair was a director of The Bioscience Investment Trust plc and is
Chairman of Schroder Oriental Income Fund Limited. He is a director of ING UK
Real Estate Income Trust Limited and Chairman of the Audit Committee of that
company. He is a Fellow of the Institute of Chartered Accountants in England
and Wales. Mr Sinclair is resident in Guernsey.
Nicholas Tostevin, aged 57, is an Advocate of the Royal Court of Guernsey and
the former senior partner of a Guernsey law firm. He is a non-executive
director of a number of investment funds, including F&C Commercial Property
Trust Limited, and of a number of captive insurance companies. Mr Tostevin is
resident in Guernsey.
All the Directors are independent of the Investment Manager.
DIRECTORS' REPORT
On 1 July 2008, the Companies (Guernsey) Law, 1994 was superseded by the
Companies (Guernsey) Law, 2008. The Directors have adopted the provisions of the
Companies (Guernsey) Law, 2008 in preparing the financial statements.
The Directors submit their Report together with the Company's financial
statements for the financial year ended 31 December 2009, which have been
prepared in accordance with International Financial Reporting Standards (IFRS),
and in accordance with any relevant enactment for the time being in force; and
are in agreement with the accounting records, which have been properly kept in
accordance with section 238 of the Companies (Guernsey) Law, 2008.
Guernsey Regulatory Environment
The Company has received consent under the Control of Borrowing (Bailiwick of
Guernsey) Ordinance, 1959 (as amended) to raise up to GBP200 million by way of
shares. To receive such consent, application was made under the Guernsey
Financial Services Commission's framework relating to Registered Closed-ended
Investment Funds. Under this framework neither the Guernsey Financial Services
Commission nor the States of Guernsey Policy Council have reviewed the
prospectus and placing and offer agreement but instead have relied on specific
warranties provided by the Guernsey licensed administrator of the Fund. Neither
the Guernsey Financial Services Commission nor the States of Guernsey Policy
Council takes any responsibility for the financial soundness of the Company or
for the correctness of any of the statements made or opinions expressed with
regard to it.
There have recently been a number of changes to the regulatory regime for
Guernsey funds. A number of provisions which were contained in the Control of
Borrowing (Bailiwick of Guernsey) Ordinance, 1959 to 2003 ('COBO') (which
governed closed ended funds) have been consolidated into the Protection of
Investors (Bailiwick of Guernsey) Law, 1987 as amended (the 'POI Law') (which
governed open-ended funds and licencees) so that the POI Law now governs both
open-ended and closed-ended funds (as well as licensees).
Closed-ended funds are now Category 1 controlled investments under the POI Law.
The changes have also codified in the POI Law a number of standard conditions
and ongoing notification requirements imposed on the licensees of funds which
were listed on the fund's COBO consent, but were not explicitly set out in COBO.
It is intended that the changes will simplify Guernsey's investment fund regime
by categorising all funds (whether open-ended or closed-ended) as either
registered schemes or authorised schemes. The Company is an authorised
close-ended collective investment scheme.
Principal Activity and Investment Objective
The principal activity of the Company is investment with the objective to
generate consistent returns over the medium-term with low beta to major equity
and fixed income market benchmarks.
At the extraordinary general meeting on 11 March 2010, a managed winding down of
the Company was approved. As a result of this, the new investment objective and
investment policy of the Company is to realise the Company's existing
investments in an orderly and timely manner, with a view to distributing cash to
Shareholders at appropriate times as sufficient investments are realised. The
Company will not make any new investments (other than cash and near cash
equivalent securities).
Incorporation
The Company was registered in Guernsey, Channel Islands on 19 February 2007
under the Companies (Guernsey) Law 1994 to 1996 (as amended) (the "Old Law")
with registered number 46429. The Old Law has now been superceded by the
Companies (Guernsey) Law 2008 (the "New Law").
Shareholder Information
The Company announces its net asset value on a monthly basis. Estimated net
asset values are also provided weekly. Under the Listing Rules the top ten
holdings are announced to the London Stock Exchange each quarter.
Results and Dividends
The results for the year are set out in the Statement of Comprehensive Income.
The Directors do not propose a dividend for the year.
Listings
The Company is listed on the London Stock Exchange. Trading in the Company's
Ordinary Shares commenced on 29 March 2007. Throughout the year the Company
considers that it has complied (and intends to comply) with conditions
applicable to closed ended investment companies of the new Listing rules.
A Winding Down is expected to permit the Company to retain the listing of its
Shares on the London Stock Exchange during a significant part of the Winding
Down period.
Discount Management Provisions
As a listed closed-ended Company, there is always the possibility that the
Company's Issued Shares may trade at a discount to their Net Asset Values. In
order to manage this discount risk, the Company's Articles incorporate discount
management provisions which require a continuation vote to be proposed if, in
the 12 months preceding 31 December 2008 or in the 12 months preceding each
subsequent year end of the Company, the Shares of the Company have traded at a
discount in excess of 5 per cent. of the average Net Asset Value for each of the
12 previous Net Asset Value Calculations. If the continuation vote had not been
passed the Directors would have been required to submit redemption proposals to
Shareholders.
In March 2009 the Company announced that the rolling 12 month discount floor
provision of the Company's shares was triggered. In accordance with the
Company's Articles of Association, the Directors put forward a continuation vote
at the annual general meeting of the Company which took place on 8 July 2009.
The continuation vote was passed.
The Board announced on 23 December 2009 that, following a review of a number of
ways of delivering greater value to shareholders, it had concluded that a
managed winding down of the Company and an orderly realisation of its portfolio
of investments was the most appropriate course of action for the Company.
Shareholders were asked (pursuant to the Ordinary Resolution) to approve the
change to the Company's investment policy (as required by the Listing Rules),
certain minor amendments to the Company's existing investment management
agreement with the Investment Manager and (pursuant to the Special Resolution)
amendments to the Company's Articles. These proposals were duly passed at the
Company's extraordinary general meeting held on 11 March 2010.
The Special Resolution passed sought the consent of shareholders to the adoption
of New Articles (i) to enable compulsory redemption of Shares, (ii) to remove
the requirements for continuation votes, (iii) to provide for a winding up
resolution to be put forward following the Realisation Threshold being met or
exceeded so that those Shareholders voting in favour of such winding up
resolution following the Realisation Threshold being met or exceeded will
collectively represent sufficient of all the votes cast (on a poll) on such
resolution to pass such resolution) and (iv) to generally update the Articles to
comply with the provisions of the New Law as it was amended on 1 July 2008.
Life of the Company
At the extraordinary general meeting on 11 March 2010, a managed winding down of
the Company was approved.
The Directors expect to make a first distribution of cash to Shareholders
following the receipt of proceeds from the redemptions placed by the Company for
31 December 2009 and 31 March 2010 which the Company currently anticipates
receiving by 30 April 2010. On this basis a first distribution to Shareholders
is expected to be made at the end of May 2010.
Directors
The Directors of the Company during the year and at the date of this report are
set out on the Management and Administration page.
Directors' Interests
There are no existing or proposed service contracts between any of the Directors
and the Company. The Directors were appointed by the Initial Shareholders in
accordance with the Articles of Association.
At 31 December 2009, Directors of the Company held the following Ordinary GBP
Shares in the Company:
+---------------------+---+----------+------------------+------------------------+
| Director | No. of Shares | % of issued Share |
| | | Capital |
+-------------------------+-----------------------------+------------------------+
| Robert Sinclair | | | 20,000 | 0.044% |
+---------------------+---+----------+------------------+------------------------+
| Nicholas Tostevin | 20,000 | 0.044% |
| | | |
+-------------------------+-----------------------------+------------------------+
| Richard Hotchkis | 20,000 | 0.044% |
+-------------------------+-----------------------------+------------------------+
| | | | | |
+---------------------+---+----------+------------------+------------------------+
Save for the above no Director or any person connected with any Director has any
interest in the share capital of the Company either directly or beneficially.
The Directors are not aware of any, or potential, conflicts of interest in
relation to their duties to the Company arising from their private interests
and/or other duties.
In accordance with the Company's Articles of Association, at each annual general
meeting one third of the Directors (rounded down to the nearest whole number),
shall retire by rotation. Such Directors may be reappointed.
An evaluation of the performance of individual Directors was not carried out
during the year due to the uncertainty surrounding the future of the Company,
but the Board believes that the performance of each Director continues to be
effective and demonstrates commitment to the role.
Significant Shareholdings
Shareholders with holdings more than 3 per cent. of the issued Ordinary Shares
of the Company at 31 December 2009 were as follows:
+----------------------------+-----------------+---------------+
| | Number of | Percentage |
+----------------------------+-----------------+---------------+
| | Ordinary Shares | Of share |
| | | Capital |
+----------------------------+-----------------+---------------+
| The Bank of New York | 19,914,000 | 43.91% |
| (Nominees) Ltd | | |
+----------------------------+-----------------+---------------+
| Quilter Nominees Ltd | 5,485,580 | 12.10% |
+----------------------------+-----------------+---------------+
| HSBC Global Custody | 3,997,667 | 8.82% |
| Nominee (UK) | | |
+----------------------------+-----------------+---------------+
| Pershing Nominees Ltd | 4,320,448 | 9.53% |
+----------------------------+-----------------+---------------+
| Lynchwood Nominees Ltd | 1,840,850 | 4.06% |
+----------------------------+-----------------+---------------+
| Nortrust Nominees Ltd | 1,800,000 | 3.975 |
+----------------------------+-----------------+---------------+
| JP Morgan Cazenove Ltd | 1,569,683 | 3.46% |
+----------------------------+-----------------+---------------+
Remuneration
The board does not have a separate remuneration, management engagement or
nomination committees because these functions are carried out as part of the
regular Board business and all Directors are independent. Directors'
remuneration is considered on an annual basis.
Directors' fees for the year ended 31 December 2009 were:
+---------------------+----+-----------------------+------------+
| Joan Beck | | | GBP25,000 |
+---------------------+----+-----------------------+------------+
| Robert Sinclair | | | GBP22,500 |
+---------------------+----+-----------------------+------------+
| Richard Hotchkis | | | GBP20,000 |
+---------------------+----+-----------------------+------------+
| Nicholas Tostevin | | | GBP20,000 |
+---------------------+----+-----------------------+------------+
No Directors have been paid additional remuneration outside their normal
Directors' fees.
Directors' and Officers' liability insurance cover is maintained by the Company
on behalf of Directors.
Corporate Governance
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. The Board has however 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, which sets out principles of good governance and
a code of best practice.
The Board considers that the Company has complied with the provisions contained
in Section 1 of the Code throughout this accounting year except where indicated
below. The following statement describes how the relevant principles of
governance are applied to the Company.
The Board has determined, as a closed-ended investment company registered in
Guernsey, that it was appropriate to become a member of the Association of
Investment Companies (the "AIC") and has carefully considered the principles and
recommendations of the AIC Code of Corporate Governance (the "AIC Code") and to
follow the AIC's Corporate Governance Guide for Investment Companies (the "AIC
Guide").
The Company Secretary has undertaken a review of the corporate governance
principles of the Board and Committee of the Board of the Company. The Directors
confirm compliance to the AIC Code without exception.
The Board
The Board currently consists of four non-executive Directors, all of whom are
independent of the Manager. The Chairman of the Board is Joan Beck. Biographies
for all the Directors can be found on page 7. In considering the independence
of the Chairman, the Board has taken note of the provisions of the Code relating
to independence, and has determined that Mr Beck is an Independent Director. As
the Chairman is an Independent Director, no appointment of a senior Independent
Director has been made. The Company has no employees and therefore there is no
requirement for a chief executive.
The Company has no executive directors or employees. All matters, including
strategy, investment and dividend policies, gearing, and corporate governance
procedures, are reserved for the approval of the Board of Directors. The Board
currently meets at least quarterly and receives full information on the
Company's investment performance, assets, liabilities and other relevant
information in advance of Board meetings.
The Audit Committee, chaired by Mr Sinclair, operates within clearly defined
terms of reference. The duties of the Audit Committee in discharging its
responsibilities include reviewing the Annual and Interim Accounts, the system
of internal controls and the terms of the appointment of the auditors together
with their remuneration.
The Audit Committee is also the forum through which the auditors report to the
Board of Directors and meets at least twice yearly. The objectivity of the
auditors is reviewed by the Audit Committee which also reviews the terms under
which the external auditors are appointed to perform non-audit services. The
Committee reviews the scope and results of the audit, its cost effectiveness and
the independence and objectivity of the auditors, with particular regard to
non-audit fees. No such services were provided during the year and the Audit
Committee considers KPMG Channel Islands Limited to be independent of the
Company.
The table below sets out the number of Board meetings held during the year ended
31 December 2009 and the number of meetings attended by each Director.
+------------------------------+---------+----------+----------+------+----------+
| | Board | | Audit |
| | Meetings | | Committee |
+------------------------------+--------------------+----------+-----------------+
| | Held |Attended | |Held |Attended |
+------------------------------+---------+----------+----------+------+----------+
| Joan Beck | 4 | 4 | | 3 | 3 |
+------------------------------+---------+----------+----------+------+----------+
| Richard Hotchkis | 4 | 4 | | 3 | 3 |
+------------------------------+---------+----------+----------+------+----------+
| Robert Sinclair | 4 | 3 | | 3 | 3 |
+------------------------------+---------+----------+----------+------+----------+
| Nicholas Tostevin | 4 | 3 | | 3 | 2 |
+------------------------------+---------+----------+----------+------+----------+
Individual Directors may, at the expense of the Company, seek independent
professional advice on any matter that concerns them in the furtherance of their
duties. The Company maintains appropriate Directors' and Officers' liability
insurance.
Internal Controls
The Board is responsible for the Company's system of internal control and for
reviewing its effectiveness. The Board has therefore established an ongoing
process designed to meet the particular needs of the company in managing the
risks to which it is exposed, consistent with the guidance provided by the
Turnbull Committee.
Such review procedures have been in place throughout the financial year and up
to the date of approval of the Annual Report, and the Board is satisfied with
their effectiveness. By their nature these procedures can provide reasonable,
but not absolute, assurance against material misstatement or loss. At each Board
meeting the Board monitors the investment performance of the Company in
comparison to its stated objective. The Board also reviews the Company's
activities since the last Board meeting to ensure that the Investment Manager
adheres to the agreed investment policy and approved investment guidelines and,
if necessary, approves changes to such policy and guidelines. In addition, the
Board receives reports from the Secretary in respect of compliance matters and
duties performed on behalf of the Company.
The Board has reviewed the need for an internal audit function. The Board has
decided that the systems and procedures employed by the Investment Manager and
the Secretary, including their internal audit functions, provide sufficient
assurance that a sound system of internal control, which safeguards the
Company's assets, is maintained. An internal audit function specific to the
Company is therefore considered unnecessary.
Foreign Exchange Hedging
The Company invests in funds which themselves invest in assets which are
predominantly US dollar denominated. The Company has, since its initial public
offering, operated a currency hedging strategy through the use of monthly
rolling forward foreign exchange ("FX") contracts. The purpose of the FX
contracts is to seek to reduce the impact on the Company's shares of
fluctuations in currency exchange rates as between the US dollar and British
pound.
The Company started 2009 with a partial FX hedging programme, up to a level of
approximately 45% of its underlying assets, by the use of monthly rolling
forward FX contracts. On 24 April 2009 the Company reinstated a full FX hedging
programme with effect from 27 April 2009.
If possible, during the Winding Down process the Board intends to maintain the
currency hedging arrangements until at least a majority of the Company's assets
have been returned to Shareholders. However, such currency hedging is subject to
the provider of such currency hedging facility not withdrawing (or not renewing)
that facility, which may occur for a number of reasons. In addition, as the
Company has not had a credit facility since 31 March 2009, it maintains a cash
position of between 10-15 per cent. in order to meet possible currency hedging
margin calls under the currency hedging facility, which it will need to continue
doing whilst such hedging is maintained. The Board anticipates that at some
point during the Winding Down process, the Company's Portfolio will no longer
retain sufficient liquidity and/or be of a sufficient size for the Investment
Manager to be able to maintain a full currency hedging programme or it may
determine that the benefits of returning cash retained to meet possible currency
hedging margin calls outweigh the benefits of continued currency hedging. As the
currency hedging programme currently manages the US Dollar/Sterling exchange
rate exposure in the Company's Portfolio, its removal means that Shareholders
will be exposed to subsequent fluctuations in that exchange rate. For the sake
of clarity, the remaining invested assets of the Company are denominated in US
Dollars so that, from the point of removal of the currency hedge onwards,
Shareholders will be exposed not only to the investment performance of those
assets but also to fluctuations in the US Dollar/Sterling exchange rate. There
may also be some residual exposure due to receivables/payables denominated in US
Dollars.
Going Concern
Gottex Market Neutral Trust Limited (the "Company") announced that the
resolutions to approve the Winding Down Proposals, as described in the circular
to shareholders dated 12 February 2010 (the "Circular"), were duly passed at the
Company's Extraordinary General Meeting held on 11 March 2010. The Directors
have considered all information available and have concluded that the Company
will continue to be able to meet its liabilities as they fall due, and that it
is appropriate to prepare these financial statements on a going concern basis.
As set out in note 20 the Company expects to realise its investments in
accordance with the indicative timetable.
Relations with Shareholders
The Board welcomes shareholders' views and places great importance on
communication with its shareholders. The Chairman and other Directors are
available to meet shareholders if required. The Annual General Meeting of the
Company provides a forum for shareholders to meet and discuss issues with the
Directors and Investment Manager of the Company.
Disclosure of Information to the Auditors
The Directors who held office at the date of the approval of financial
statements confirm that, so far as they are each aware:
- There is no relevant audit information of which the company's auditor is
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 company's auditor is aware of that information
Auditors
KPMG Channel Islands Limited have expressed their willingness to continue in
office as auditors. A resolution for their re-appointment will be proposed at
the next Annual General Meeting.
Robert Sinclair
Nicholas Tostevin
21 April 2010
Statement of Directors' Responsibilities in respect of the Financial Statements
The Directors are responsible for preparing the Directors report and the
financial statements in accordance with applicable law and regulations. Company
Law requires the Directors to prepare financial statements for each financial
year. Under that law they have elected to prepare the financial statements in
accordance with International Financial Reporting Standards (IFRS) and
applicable law. 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 and loss of
the Company for that period. In preparing those financial statements the
directors are required to:
- select suitable accounting policies and then apply them consistently;
- make judgements that are reasonable and prudent;
- state whether applicable accounting standards have been followed, subject to
any material departures
disclosed and explained in the financial statement; and
- prepare the financial statements on a going concern basis unless it is
inappropriate to presume that the
Company will continue in business.
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.
Responsibility Statement
We confirm that to the best of our knowledge:
- the financial statements, prepared in accordance with International Financial
Reporting Standards, give a true and fair view of the assets, liabilities,
financial position and performance of the company; and
- 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.
Robert Sinclair
Nicholas Tostevin
21 April 2010
Independent Auditor's Report to the Members of Gottex Market Neutral Trust
Limited
We have audited the financial statements (the "financial statements") of Gottex
Market Neutral Trust Limited (the "Company") for the year ended 31 December 2009
which comprise the Statement of Comprehensive Income, the Statement of Financial
Position, the Statement of Cash Flows, and the related notes. These financial
statements have been prepared under the accounting policies set out therein.
This report is made solely to the Company's members, as a body, in accordance
with section 262 of the Companies (Guernsey) Law, 2008. Our audit work has been
undertaken so that we might state to the Company's members those matters we are
required to state to them in an auditor's report and for no other purpose. To
the fullest extent permitted by law, we do not accept or assume responsibility
to anyone other than the Company and the Company's members as a body, for our
audit work, for this report, or for the opinions we have formed.
Respective responsibilities of directors and auditors
The directors' responsibilities for preparing the financial statements which
give a true and fair view and are in accordance with International Financial
Reporting Standards and are in compliance with applicable Guernsey law 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).
We report to you our opinion as to whether the financial statements give a true
and fair view, are in accordance with International Financial Reporting
Standards and comply with the Companies (Guernsey) Law, 2008. We also 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 accompanying the financial statements and consider
whether it is consistent with those statements. We consider the implications
for our report if we become aware of any apparent misstatements or material
inconsistencies with the financial statements.
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 of the state of the Company's affairs as at 31
December 2009 and of its profit for the year then ended;
· are in accordance with International Financial Reporting Standards; and
· comply with the Companies (Guernsey) Law, 2008;
Emphasis of matter - Current Market Conditions
In forming our opinion which is not qualified, we have considered the adequacy
of the disclosures in Note 20(c) concerning the impact of the current market
conditions of the Company.
Notwithstanding the commencement of a tentative recovery in the world economic
and credit markets, there still remains significant uncertainty in respect of
liquidity, credit and counterparty risk faced by the Company.
The impact of these heightened risks on the future valuation and realisation
prospects of the Company's investments is subject to a high degree of
uncertainty. There is therefore a material risk that the Company's investments
may not be realised in future at their fair values as included in the Company's
financial statements.
Steven D Stormonth
for and on behalf of KPMG Channel Islands Limited
Chartered Accountants
INVESTMENT POLICY
The Company's investment policy is to invest the Company's assets in an actively
managed portfolio of hedge funds. The Investment Manager seeks to achieve this
by allocating the Company's assets among professionally selected hedge funds
that are managed by experienced portfolio managers employing, as a group, the
following investment strategies (either directly or indirectly).
- Relative Value
- Event Driven
- Hedged Equities
- Trading
At the extraordinary general meeting on 11 March 2010, a managed winding down of
the Company was approved. As a result of this, the new investment objective and
investment policy of the Company is to realise the Company's existing
investments in an orderly and timely manner, with a view to distributing cash to
Shareholders at appropriate times as sufficient investments are realised. The
Company will not make any new investments (other than cash and near cash
equivalent securities).
The management and impact of the risks associated with this Investment Policy
are described in detail in the notes to the Financial Statements (notes 20 and
21).
PORTFOLIO STATEMENT
As at 31.December 2009
+------+----------+-------+---------+--+--+----+----------+-+-+-------+-+---+----------+--+-----+--+----------+----------+---+---------+----------+----------+------+
| | | | | | | Fair | | % of |
+-----------------+-------------------------------------------+---------+---+-------------------+-------------+------------------------+----------+-----------------+
| Description | | | Holding | | Value | | Total Net |
+-------------------------------------------------------------+---------+---+-------------------+-------------+------------------------+----------+-----------------+
| Unlisted investments (2008: 74.85%) | | | GBP | | Assets |
+---------------------------------------------------------------------------+-------------------+-------------+------------------------+----------+-----------------+
| Amida Partners Offshore Fund, Ltd | | | 1,250 | | 1,017,865 | | 2.58 |
+-------------------------------------------------------------+---------+---+-------------------+-------------+------------------------+----------+-----------------+
| Aristeia International Limited, Class A Voting | 2,685 | | 1,209,507 | | 3.06 |
+---------------------------------------------------------------------------+-------------------+-------------+------------------------+----------+-----------------+
| Arrowgrass International Fund Limited, Class B | 10,000 | | 669,918 | | 1.70 |
+---------------------------------------------------------------------------+-------------------+-------------+------------------------+----------+-----------------+
| Artradis Barracuda (Non US Feeder) Fund | | | 40,306 | | 482,943 | | 1.22 |
+-------------------------------------------------------------+---------+---+-------------------+-------------+------------------------+----------+-----------------+
| ASI Offshore Global Relative Value Fund Ltd | | | 2,000 | | 1,272,899 | | 3.22 |
+-------------------------------------------------------------+---------+---+-------------------+-------------+------------------------+----------+-----------------+
| BAM Opportunity Offshore Fund, Ltd. | | | 711 | | 595,070 | | 1.51 |
+-------------------------------------------------------------+---------+---+-------------------+-------------+------------------------+----------+-----------------+
| Blue Mountain Credit Alternatives Fund Ltd. | | 9,970 | | 1,102,687 | | 2.79 |
+-----------------------------------------------------------------------+---+-------------------+-------------+------------------------+----------+-----------------+
| Blue Mountain Equity Alternatives Fund Ltd | | 1,153 | | 713,192 | | 1.81 |
+-----------------------------------------------------------------------+---+-------------------+-------------+------------------------+----------+-----------------+
| Canyon Value Realization Fund (Cayman) Ltd. | | 1,856 | | 1,417,801 | | 3.59 |
+-----------------------------------------------------------------------+---+-------------------+-------------+------------------------+----------+-----------------+
| Centaurus International Risk Arbitrage Fund Ltd. | | 13,323 | | 956,479 | | 2.42 |
+-----------------------------------------------------------------------+---+-------------------+-------------+------------------------+----------+-----------------+
| Chestnut Fund Ltd. - Class A | | 39 | | 13,651 | | 0.04 |
+-----------------------------------------------------------------------+---+-------------------+-------------+------------------------+----------+-----------------+
| Cheyne Special Situations Fund | | 4,974 | | 249,102 | | 0.63 |
+-----------------------------------------------------------------------+---+-------------------+-------------+------------------------+----------+-----------------+
| Contrarian Fund I Offshore | | 1,756 | | 124,135 | | 0.32 |
+-----------------------------------------------------------------------+---+-------------------+-------------+------------------------+----------+-----------------+
| D E Shaw Composite International Fund | | 1,866,036 | | 1,247,494 | | 3.16 |
+-----------------------------------------------------------------------+---+-------------------+-------------+------------------------+----------+-----------------+
| D E Shaw Composite International Fund Side Pocket | | 207,252 | | 121,422 | | 0.31 |
+-----------------------------------------------------------------------+---+-------------------+-------------+------------------------+----------+-----------------+
| DKR Soundshore Oasis Fund Ltd | | 1,597 | | 992,322 | | 2.51 |
+-----------------------------------------------------------------------+---+-------------------+-------------+------------------------+----------+-----------------+
| Ellington Mortgage Opportunities Fund, Class B | | 590 | | 483,825 | | 1.22 |
+-----------------------------------------------------------------------+---+-------------------+-------------+------------------------+----------+-----------------+
| Ellington Overseas Partners, Class A | 296 | | 119,914 | | 0.30 |
+---------------------------------------------------------------------------+-------------------+-------------+------------------------+----------+-----------------+
| Glazer Offshore Fund, Class C | 905 | | 1,002,067 | | 2.54 |
+---------------------------------------------------------------------------+-------------------+-------------+------------------------+----------+-----------------+
| Goldentree Special Holdings I, Ltd. | 1,413 | | 40,433 | | 0.10 |
+---------------------------------------------------------------------------+-------------------+-------------+------------------------+----------+-----------------+
| Gruss Global Investors Ltd, Class E | 1,410 | | 983,836 | | 2.49 |
+---------------------------------------------------------------------------+-------------------+-------------+------------------------+----------+-----------------+
| GSS Offshore SPC | 1,004,998 | | 934,008 | | 2.36 |
+---------------------------------------------------------------------------+-------------------+-------------+------------------------+----------+-----------------+
| Halcyon Structured Opportunities Offshore Fund Ltd. | 595 | | 197,493 | | 0.50 |
+---------------------------------------------------------------------------+-------------------+-------------+------------------------+----------+-----------------+
| Mariner Silvermine Fund Offshore Ltd | 10,000 | | 626,639 | | 1.59 |
+---------------------------------------------------------------------------+-------------------+-------------+------------------------+----------+-----------------+
| Nephila Catastrophe Fund Limited, Class A | 1,000 | | 665,008 | | 1.68 |
+---------------------------------------------------------------------------+-------------------+-------------+------------------------+----------+-----------------+
| New Ellington Credit Overseas, Ltd. | | | 23 | | 23,682 | | 0.06 |
+---------------------------------------------------------+-------------+---+-------------------+-------------+------------------------+----------+-----------------+
| Nisswa Fund Limited Class A | | 886 | | 1,191,926 | | 3.02 |
+-----------------------------------------------------------------------+---+-------------------+-------------+------------------------+----------+-----------------+
| Oak Hill Credit Alpha Fund (Offshore), Ltd. | 1,313 | | 1,146,705 | | 2.90 |
+---------------------------------------------------------------------------+-------------------+-------------+------------------------+----------+-----------------+
| OZ Overseas Fund II, Limited | | 72 | | 35,027 | | 0.09 |
+---------------------------------------------------------------------+-----+-------------------+-------------+------------------------+----------+-----------------+
| Paulson Advantage Plus Ltd. | | 1,780 | | 559,183 | | 1.42 |
+---------------------------------------------------------------------+-----+-------------------+-------------+------------------------+----------+-----------------+
| Petra Offshore Fund | | 1,482,144 | | - | | - |
+---------------------------------------------------------------------+-----+-------------------+-------------+------------------------+----------+-----------------+
| Petra Offshore Fund Side Pocket | | 117,856 | | - | | - |
+---------------------------------------------------------------------+-----+-------------------+-------------+------------------------+----------+-----------------+
| Petra Offshore Fund Side Pocket 2 | | | | 462,604 | | - | | - |
+--------------------------------------+--+---------------------------+-----+-------------------+-------------+------------------------+----------+-----------------+
| Plainfield 2008 Liquidating Limited | | | | 10,899 | | 640,147 | | 1.62 |
+--------------------------------------+--+---------------------------+-----+-------------------+-------------+------------------------+----------+-----------------+
| Post Total Return Offshore Fund II, Ltd. | | 1,827 | | 1,216,250 | | 3.08 |
+---------------------------------------------------------------------+-----+-------------------+-------------+------------------------+----------+-----------------+
| Proprietary Capital | | 17,502 | | 1,292,504 | | 3.27 |
+---------------------------------------------------------------------+-----+-------------------+-------------+------------------------+----------+-----------------+
| QVT Overseas Limited | 1,978 | | 908,366 | | 2.30 |
+---------------------------------------------------------------------------+-------------------+-------------+------------------------+----------+-----------------+
| QVT Overseas Limited, Side Pocket | | 3 | | 2,771 | | 0.01 |
+---------------------------------------------------------------------+-----+-------------------+-------------+------------------------+----------+-----------------+
| Redbrick Capital | | | 9 | | 6,091 | | 0.02 |
+-------------------------+-------------------------------------------+-----+-------------------+-------------+------------------------+----------+-----------------+
| Sandelman Partners Opportunity Fund Ltd Class B1 Series 04B July 2008 | 1,151 | | 487,113 | | 1.23 |
+-----------------------------------------------------------------------------------------+--------+-------------------------+---------+----------+-----------------+
| Sandelman Partners Multi Strategy Fund Ltd Class S Series II | | 406 | | 88,410 | | 0.22 |
+---------------------------------------------------------------------+-----+----------------------+----------+------------------------+----------+-----------------+
| Shepherd Investments International Ltd. | 1,150 | | 640,835 | | 1.62 |
+---------------------------------------------------------------------------+----------------------+----------+------------------------+----------+-----------------+
| Sorin Offshore Fund Ltd, Class A | | 694 | | 443,400 | | 1.12 |
+---------------------------------------------------------------------+-----+----------------------+----------+------------------------+----------+-----------------+
| Stratus Feeder Limited | | | 1,276 | | 1,013,854 | | 2.57 |
+-----------------------------------------+---------------------------+-----+----------------------+----------+------------------------+----------+-----------------+
| TCP SPV Limited | | | 1,036 | | 57,113 | | 0.14 |
+-------------------------+-------------------------------------------+-----+----------------------+----------+------------------------+----------+-----------------+
| The Ratio European Fund, Class A | | 13,417 | | 956,282 | | 2.42 |
+---------------------------------------------------------------------+-----+----------------------+----------+------------------------+----------+-----------------+
| Trafalgar Merchant Fund | | 205 | | 9,422 | | 0.02 |
+---------------------------------------------------------------------+-----+----------------------+----------+------------------------+----------+-----------------+
| Trafalgar Recovery Fund | | 5,274 | | 556,128 | | 1.41 |
+---------------------------------------------------------------------+-----+----------------------+----------+------------------------+----------+-----------------+
| Tykhe Portfolio Ltd , Class L | | 8,881 | | 542 | | - |
+---------------------------------------------------------------------+-----+----------------------+----------+------------------------+----------+-----------------+
| Venus Relative Value (Offshore) Fund QP Ltd | 15,000 | | 981,536 | | 2.48 |
+--------------------------------------------------------------------------------------+-----------+----------+------------------------+---------------------+------+
| Waterfall Eden Fund Ltd | | | 1,584 | | 753,410 | | 1.91 |
+-----------------------------------------------------------+---------+-----+----------------------+---------------------+-------------+----------+-----------------+
| Whitebox Combined Fund Ltd, Class G 8-08 | | | 33 | | 21,047 | | 0.05 |
+-----------------------------------------------------------+---------+-----+----------------------+---------------------+-------------+----------+-----------------+
| Whitebox Combined Fund Class A | | 134 | | 88,170 | | 0.22 |
+---------------------------------------------------------------------+-----+----------------------+---------------------+-------------+----------+-----------------+
| Whitebox Multistrategy Fund Limited, SPV | | 168 | | 77,315 | | 0.20 |
+---------------------------------------------------------------------+-----+----------------------+---------------------+-------------+----------+-----------------+
| Whitebox Multistrategy Fund Limited, Class B | | 1,304 | | 1,039,453 | | 2.63 |
+---------------------------------------------------------------------+-----+----------------------+---------------------+-------------+----------+-----------------+
| | | | | | | 31,476,393 | | 79.68 |
+------+-------------------------------+------------------------------+-----+----------------------+---------------------+-------------+----------+-----------------+
| | | | | | | | | |
+------+-------------------------------+------------------------------+-----+----------------------+---------------------+-------------+----------+-----------------+
| | | | | | | Fair | | % of |
+------+-------------------------------+------------------------------+-----+----------------------+---------------------+-------------+----------+-----------------+
| Description | | | Holding | | Value | | Total Net |
+--------------------------------------+------------------------------+-----+----------------------+---------------------+-------------+----------+-----------------+
| Listed investments (2008: 20.32%) | | | GBP | | Assets |
+---------------------------------------------------------------------------+----------------------+---------------------+-------------+----------+-----------------+
| Arche Fund Limited, Sub Class 3 | | | 671 | | 121,944 | | 0.31 |
+--------------------------------------+------------------+-----------------+----------------------+---------------------+-------------+----------+-----------------+
| CC Arbitrage International Fund Ltd, Class E | 1,267 | | 926,813 | | 2.35 |
+---------------------------------------------------------------------------+----------------------+---------------------+-------------+----------+-----------------+
| GS Gamma Investments Ltd. | | | | 1,433 | | 1,250,388 | | 3.16 |
+-----------------------------------------+----+----------------------+-----+----------------------+---------------------+-------------+----------+-----------------+
| WAF Offshore Fund Limited | | 15,000 | | 1,449,811 | | 3.67 |
+---------------------------------------------------------------------+-----+----------------------+---------------------+-------------+----------+-----------------+
| West Side Offshore Partners | | | 570 | | 19,213 | | 0.05 |
+----------------------------------------------+----------------------+-----+----------------------+---------------------+-------------+----------+-----------------+
| | | | | | | 3,768,169 | | 9.54 |
+-----------------------------------+----------+----------------------+-----+----------------------+---------------------+-------------+----------+-----------------+
| | | | | | | | | |
+-----------------------------------+----------+----------------------+-----+----------------------+---------------------+-------------+----------+-----------------+
| Open Forward Foreign Currency Transactions | | | | | | % of |
+---------------------------------------------------------------------+-----+----------------------+---------------------+-------------+----------+-----------------+
| | Currency | Currency | | Maturity | | Unrealised | | Total Net |
+-----------------------------------+----------+----------------------+-----+----------------------+---------------------+-------------+----------+-----------------+
| Currency Bought | Sold | Rate | | Date | | Gain/(Loss) | | Assets |
| | | | | | | GBP | | |
+-----------------------------------+----------+----------------------+-----+----------------------+---------------------+-------------+----------+-----------------+
| GBP 40,163,989 | USD | 1.62184 | | 27.1.10 | | (178,143) | | (0.45) |
+-----------------------------------+----------+----------------------+-----+----------------------+---------------------+-------------+----------+-----------------+
| USD 1,136,129 | GBP | 1.61900 | | 27.1.10 | | 1,965 | | 0.00 |
+-----------------------------------+----------+----------------------+-----+----------------------+---------------------+-------------+----------+-----------------+
| | | | | | | (176,178) | | (0.45) |
+-----------------------------------+----------+----------------------+-----+----------------------+---------------------+-------------+----------+-----------------+
| | | | | | | | | |
+-----------------------------------+----------+----------------------+-----+----------------------+---------------------+-------------+----------+-----------------+
| Total Investments | | | | | 35,068,384 | | 88.77 |
+----------------------------------------------+----------------------+-----+----------------------+---------------------+-------------+----------+-----------------+
| Other Net Assets | | | | | 4,437,319 | | 11.23 |
+----------------------------------------------+----------------------+-----+----------------------+---------------------+-------------+----------+-----------------+
| Total Value of Company (attributable to Ordinary Shares) | | 39,505,703 | | 100.00 |
+--------------------------------------------------------------------------------------------------+---------------------+-------------+----------+-----------------+
| | | | | | | | | | | | | | | | | | | | | | | | |
+------+----------+-------+---------+--+--+----+----------+-+-+-------+-+---+----------+--+-----+--+----------+----------+---+---------+----------+----------+------+
STATEMENT OF COMPREHENSIVE INCOME
For the year ended 31.December 2009
+------------------------------------------+-------------+--------------+
| | 2009 | 2008 |
+------------------------------------------+-------------+--------------+
| Investment income | GBP | GBP |
+------------------------------------------+-------------+--------------+
| Investment income | 2,990 | 627 |
+------------------------------------------+-------------+--------------+
| Loan interest income | 158,056 | 164,123 |
+------------------------------------------+-------------+--------------+
| Bank interest | - | 81,049 |
+------------------------------------------+-------------+--------------+
| Total investment income | 161,046 | 245,799 |
+------------------------------------------+-------------+--------------+
| | | |
+------------------------------------------+-------------+--------------+
| Net gains/(losses) on financial assets | | |
| and financial liabilities | | |
+------------------------------------------+-------------+--------------+
| Net gains on financial assets and | 2,479,790 | 2,385,591 |
| financial liabilities | | |
+------------------------------------------+-------------+--------------+
| Net gains/(losses) on forward foreign | 4,120,276 | (12,918,262) |
| exchange contracts | | |
+------------------------------------------+-------------+--------------+
| (Losses)/gains on foreign exchange | (1,542,044) | 1,089,370) |
+------------------------------------------+-------------+--------------+
| | 5,058,022 | (9,443,301) |
+------------------------------------------+-------------+--------------+
| | | |
+------------------------------------------+-------------+--------------+
| Total income/(expense) | 5,219,068 | (9,197,502) |
+------------------------------------------+-------------+--------------+
| | | |
+------------------------------------------+-------------+--------------+
| Expenses | | |
+------------------------------------------+-------------+--------------+
| Investment management fees | (330,887) | (430,257) |
+------------------------------------------+-------------+--------------+
| Other expenses | (553,185) | (283,418) |
+------------------------------------------+-------------+--------------+
| | | |
+------------------------------------------+-------------+--------------+
| Total operating expenses before finance | (884,072) | (713,675) |
| costs | | |
+------------------------------------------+-------------+--------------+
| | | |
+------------------------------------------+-------------+--------------+
| Finance Costs | | |
+------------------------------------------+-------------+--------------+
| Interest expense | (25,780) | (170,934) |
+------------------------------------------+-------------+--------------+
| Total Finance Costs | (25,780) | (170,934) |
+------------------------------------------+-------------+--------------+
| | | |
+------------------------------------------+-------------+--------------+
| Total comprehensive income/(loss) for | 4,309,216 | (10,082,111) |
| the year | | |
+------------------------------------------+-------------+--------------+
| | | |
+------------------------------------------+-------------+--------------+
| Earnings per Ordinary Share - basic & | 9.50p | (22.23p) |
| diluted* | | |
+------------------------------------------+-------------+--------------+
| Earnings per Subordinated Non-voting | - | - |
| Share | | |
+------------------------------------------+-------------+--------------+
* Earnings per Ordinary Share is based on the weighted average number of
Ordinary Shares. As there has been no issue of Ordinary Shares during the
period, the weighted average number of ordinary Shares during the period is
45,350,000.
All items in the above statement are derived from continuing operations.
IAS 1 (revised), 'Presentation of financial statements', allows a choice of
presenting all items of income and expense recognised in a period either (a) in
a single statement of comprehensive income or (b) two statements comprising (i)
a separate income statement, which displays components of profit or loss, and
(ii) a statement of comprehensive income, which begins with profit or loss and
displays components of other comprehensive income. Gottex Market Neutral Trust
Limited has elected to use the single statement approach.
STATEMENT OF CHANGES IN EQUITY
For the year ended 31 December 2009
+-----------------------+--+--------------+-------------+-----------+----+-------------+
| | | | | | |
+-----------------------+--+--------------+-------------+----------------+-------------+
| | | Capital | Revenue | Distributable | |
| | | | | | |
+-----------------------+--+--------------+-------------+----------------+-------------+
| | | Reserve | Reserve | Reserve | Total |
| | | | | | |
+-----------------------+--+--------------+-------------+----------------+-------------+
| | | GBP | GBP | GBP | GBP |
+-----------------------+--+--------------+-------------+----------------+-------------+
| | | | | | |
+-----------------------+--+--------------+-------------+----------------+-------------+
| Opening balances | | (8,151,410) | (1,208,479) | 44,556,376 | 35,196,487 |
+-----------------------+--+--------------+-------------+----------------+-------------+
| Total Comprehensive | | | | | |
| Income | | | | | |
+-----------------------+--+--------------+-------------+----------------+-------------+
| Profit/(loss) for the | | 5,058,022 | (748,806) | - | 4,309,216 |
| year | | | | | |
+-----------------------+--+--------------+-------------+----------------+-------------+
| Closing balances | | (3,093,388) | (1,957,285) | 44,556,376 | 39,505,703 |
+-----------------------+--+--------------+-------------+----------------+-------------+
| | | | | | |
+-----------------------+--+--------------+-------------+----------------+-------------+
| Net assets attributable to holders of Ordinary Shares | | 39,505,703 |
| at the end of the year | | |
+-------------------------------------------------------------------+----+-------------+
| Net assets attributable to the holder of the | | 1 |
| Subordinated Non-voting Share at the end of the year | | |
+-------------------------------------------------------------------+----+-------------+
| | | | | | | |
+-----------------------+--+--------------+-------------+-----------+----+-------------+
For the year ended 31 December 2008
+-----------------------+--+-------------+-------------+--------+------+---------------+
| | | | | | |
+-----------------------+--+-------------+-------------+---------------+---------------+
| | | Capital | Revenue | Distributable | |
| | | | | | |
+-----------------------+--+-------------+-------------+---------------+---------------+
| | | Reserve | Reserve | Reserve | Total |
| | | | | | |
+-----------------------+--+-------------+-------------+---------------+---------------+
| | | GBP | GBP | GBP | GBP |
+-----------------------+--+-------------+-------------+---------------+---------------+
| | | | | | |
+-----------------------+--+-------------+-------------+---------------+---------------+
| Opening balances | | 1,291,891 | (569,669) | 44,556,376 | 45,278,598 |
+-----------------------+--+-------------+-------------+---------------+---------------+
| Total Comprehensive | | (9,443,301) | (638,810) | - | (10,082,111) |
| Income | | | | | |
+-----------------------+--+-------------+-------------+---------------+---------------+
| Closing balances | | (8,151,410) | (1,208,479) | 44,556,376 | 35,196,487 |
+-----------------------+--+-------------+-------------+---------------+---------------+
| | | | | | |
+-----------------------+--+-------------+-------------+---------------+---------------+
| Net assets attributable to holders of Ordinary | | 35,196,487 |
| Shares at the end of the year | | |
+---------------------------------------------------------------+------+---------------+
| Net assets attributable to the holder of the | | 1 |
| Subordinated Non-voting Share at the end of | | |
| the year | | |
+------------------------------------------------------+---------------+---------------+
| | | | | | | |
+-----------------------+--+-------------+-------------+--------+------+---------------+
STATEMENT OF FINANCIAL POSITION
As at 31 December 2009
+--------------------------------------------+--------------+-------------+
| | 2009 | 2008 |
+--------------------------------------------+--------------+-------------+
| Assets | GBP | GBP |
+--------------------------------------------+--------------+-------------+
| Non-current assets | | |
+--------------------------------------------+--------------+-------------+
| Financial assets at fair value through | 35,244,562 | 33,497,319 |
| profit or loss | | |
+--------------------------------------------+--------------+-------------+
| Current Assets | | |
+--------------------------------------------+--------------+-------------+
| Cash | 2,639,366 | 6,658,329 |
+--------------------------------------------+--------------+-------------+
| Loan advanced | 2,058,030 | 2,271,557 |
+--------------------------------------------+--------------+-------------+
| Other receivables | 2,713 | 2,903,705 |
+--------------------------------------------+--------------+-------------+
| Forward foreign currency contracts | 1,965 | - |
+--------------------------------------------+--------------+-------------+
| Total assets | 39,946,636 | 45,330,910 |
+--------------------------------------------+--------------+-------------+
| | | |
+--------------------------------------------+--------------+-------------+
| Equity and Liabilities | | |
+--------------------------------------------+--------------+-------------+
| Current liabilities | | |
+--------------------------------------------+--------------+-------------+
| Forward foreign currency contracts | 178,143 | 592,920 |
+--------------------------------------------+--------------+-------------+
| Loans payable | - | 9,181,012 |
+--------------------------------------------+--------------+-------------+
| Other payables | 262,790 | 360,491 |
+--------------------------------------------+--------------+-------------+
| Total liabilities | 440,933 | 10,134,423 |
+--------------------------------------------+--------------+-------------+
| | | |
+--------------------------------------------+--------------+-------------+
| Equity | | |
+--------------------------------------------+--------------+-------------+
| Distributable Reserve | 44,556,376 | 44,556,376 |
+--------------------------------------------+--------------+-------------+
| Capital and Revenue Reserves | (5,050,673) | (9,359,889) |
+--------------------------------------------+--------------+-------------+
| Total equity | 39,505,703 | 35,196,487 |
+--------------------------------------------+--------------+-------------+
| | | |
+--------------------------------------------+--------------+-------------+
| Total equity and liabilities | 39,949,636 | 49,330,910 |
+--------------------------------------------+--------------+-------------+
| | | |
+--------------------------------------------+--------------+-------------+
| Number of Ordinary Shares in issue | 45,350,000 | 45,350,000 |
+--------------------------------------------+--------------+-------------+
| | | |
+--------------------------------------------+--------------+-------------+
| Net assets attributable to holders of | 87.11p | 77.61p |
| Ordinary Shares | | |
+--------------------------------------------+--------------+-------------+
The financial statements were approved by the Board of Directors on 21 April
2010 and signed on its behalf by:
Robert Sinclair
Nicholas Tostevin
STATEMENT OF CASH FLOWS
For the year ended 31 December 2009
+--------------------------------------------+--------------+---------------+
| | 2009 | 2008 |
+--------------------------------------------+--------------+---------------+
| Cash flows from operating activities | GBP | GBP |
+--------------------------------------------+--------------+---------------+
| Profit/(loss) for the period/year | 4,309,216 | (10,082,111) |
+--------------------------------------------+--------------+---------------+
| Adjusted for: | | |
+--------------------------------------------+--------------+---------------+
| Net losses on financial assets at fair | (2,479,790) | (2,385,591) |
| value through profit or loss | | |
+--------------------------------------------+--------------+---------------+
| Unrealised foreign exchange | (416,741) | 1,802,460 |
| (losses)/gains | | |
+--------------------------------------------+--------------+---------------+
| Interest expense | 25,780) | 170,934) |
+--------------------------------------------+--------------+---------------+
| Interest income | (161,046) | (245,799) |
+--------------------------------------------+--------------+---------------+
| Operating cash flows before movements in | 1,277,419 | (10,740,107)) |
| working capital | | |
+--------------------------------------------+--------------+---------------+
| Increase in creditors | 121,821 | 14,833 |
+--------------------------------------------+--------------+---------------+
| Net cash generated/(paid) from operating | 1,399,240 | (10,725,274) |
| activities | | |
+--------------------------------------------+--------------+---------------+
| | | |
+--------------------------------------------+--------------+---------------+
| Cash flows from investing activities | | |
+--------------------------------------------+--------------+---------------+
| Purchase of financial assets at fair value | (34,444,443) | (33,615,148) |
| through profit or loss | | |
+--------------------------------------------+--------------+---------------+
| Sale of financial assets at fair value | 38,076,656 | 45,302,721 |
| through profit or loss | | |
+--------------------------------------------+--------------+---------------+
| Loan repaid/(advanced) | 213,527 | (2,533,564) |
+--------------------------------------------+--------------+---------------+
| Interest received | 162,371 | 249,735 |
+--------------------------------------------+--------------+---------------+
| Net cash received from investing | 4,008,111 | 9,403,744 |
| activities | | |
+--------------------------------------------+--------------+---------------+
| | | |
+--------------------------------------------+--------------+---------------+
| Cash flows from financing activities | | |
+--------------------------------------------+--------------+---------------+
| Loan (received)/paid | (9,181,012) | 5,574,059 |
+--------------------------------------------+--------------+---------------+
| Interest paid | (245,302) | - |
+--------------------------------------------+--------------+---------------+
| Net cash (paid)/generated from financing | (9,426,314) | 5,574,059 |
| activities | | |
+--------------------------------------------+--------------+---------------+
| | | |
+--------------------------------------------+--------------+---------------+
| Net (decrease)/increase in cash | (4,018,963) | 4,252,529 |
+--------------------------------------------+--------------+---------------+
| Cash at beginning of year | 6,658,329 | 2,405,800 |
+--------------------------------------------+--------------+---------------+
| Cash at end of year | 2,639,366 | 6,658,329 |
+--------------------------------------------+--------------+---------------+
| | | |
+--------------------------------------------+--------------+---------------+
NOTES TO THE FINANCIAL STATEMENTS
For the year ended 31 December 2009
1. Principal Accounting Policies
The following accounting policies have been applied consistently in dealing with
items which are considered to be material in relation to the Company's financial
statements:
Statement of Compliance
The financial statements have been prepared in accordance with International
Financial Reporting Standards (IFRS), the London Stock Exchange Listing Rules
and applicable legal & regulatory requirements of the Guernsey Law. The
financial statements give a true and fair view and are in compliance with the
Companies (Guernsey) Law 2008.
Basis of preparation
The financial statements are presented in Sterling which is also the functional
currency of the Company. The financial statements have been prepared on a
historical cost basis except for the measurement of financial assets and
financial liabilities at fair value through profit or loss, forward currency
deals receivable and forward currency deals payable.
The preparation of financial statements in conformity with IFRS requires
management to make judgments, estimates and assumptions that affect the
application of policies and the reported amounts of assets and liabilities,
income and expense.
The estimates and associated assumptions are based on 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 values of assets and liabilities that are not readily apparent from
other sources. Actual results may differ from these estimates.
As explained in the Directors Report and in note 23, subsequent to the year end,
the orderly wind down of the Company was approved by the shareholders. The
Directors have considered all information available and have concluded that the
Company will continue to be able to meet its liabilities as they fall due, and
that it is appropriate to prepare these financial statements on a going concern
basis.
The principal accounting polices adopted are set out below. The Directors have
sought to prepare the Financial Statements on a basis compliant with the
recommendations of the Statement of Recommended Practice (SORP) for investment
trusts issued by the Association of Investment Companies (AIC) in December 2005
and amended in November 2009 when the presentational guidance set out in the
SORP is consistent with the requirements of IFRS.
Changes in accounting policies
The Company has applied Improving Disclosures about Financial Instruments
(Amendments to IFRS 7), issued in March 2009, that require enhanced disclosures
about fair value measurements and liquidity risk in respect of financial
instruments.
The amendments require that fair value measurement disclosures use a three-level
fair value hierarchy that reflects the significance of the inputs used in
measuring fair values of financial instruments. Specific disclosures are
required when fair value measurements are categorised as Level 3 (significant
unobservable inputs) in the fair value hierarchy. The amendments require that
any significant transfers between Level 1 and Level 2 of the fair value
hierarchy be disclosed separately, distinguishing between transfers into and out
of each level. Furthermore, changes in valuation techniques from one period to
another, including the reasons therefore, are required to be disclosed for each
class of financial instruments.
Revised disclosures in respect of fair values of financial instruments are
included in note 20.
Further, the definition of liquidity risk has been amended and it is now defined
as the risk that an entity will encounter difficulty in meeting obligations
associated with financial liabilities that are settled by delivering cash or
another financial asset.
The amendments require disclosure of a maturity analysis for non-derivative and
derivative financial liabilities, but contractual maturities are required to be
disclosed for derivative financial liabilities only when contractual maturities
are essential for an understanding of the timing of cash flows. For issued
financial guarantee contracts, the amendments require the maximum amount of the
guarantee to be disclosed in the earliest period in which the guarantee could be
called. Revised disclosures in respect of liquidity risk are included in note
20.
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 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.
Other Accounting Developments
In November 2009, the IASB issued IFRS 9 'Financial Instruments' which becomes
effective for accounting periods commencing on or after 1 January 2013. This
represents the first of a three part project to replace IAS 39 'Financial
Instruments: Recognition and Measurement'. The objective of the standard is to
enhance the ability of investors and other users of financial information to
understand the accounting of financial assets and to reduce complexity.
The Company is currently in the process of evaluating the potential impact of
this standard. The standard is not expected to have a significant impact on the
financial statements since the majority of the company's financial assets are
designated at fair value through profit and loss.
Financial instruments
Financial assets and financial liabilities are recognised on the Company's
Statement of Financial Position when the Company become a party to the
contractual provisions of the instrument. Financial liabilities, other than
those at fair value through profit or loss, are measured at amortised cost using
the effective interest rate method.
Financial assets at fair value through profit or loss ("investments")
Investments and forward currency contracts are classified as held at fair value
through profit or loss. Purchases and sales of investments are recognised on
trade date (the date on which the Company commits to purchase or sell the
investment). Investments purchased are initially recorded at cost, being the
consideration given and excluding transaction or other dealing costs associated
with the investment. Investments are derecognised when the rights to receive
cash flows from the investments have expired or the Company has transferred
substantially all risks and rewards of ownership. All gains and losses on
investments are shown in note 11 and recognised in capital in the Statement of
Comprehensive Income in the year in which they arise.
For other financial instruments, including other receivables and other payables,
the carrying amounts as shown in the balance sheet approximate fair value due to
the short term nature of these financial instruments.
Loans and receivables
Loans and receivables are carried at fair value through profit and loss.
Fair value
The fair value of listed investments is determined by reference to bid market
prices at the close of business on the balance sheet date. For unlisted
investments in shares or units in hedge funds, fair value is determined using
the latest estimated net asset value from the administrator of the respective
hedge fund. With many funds, particularly hedge, absolute or alternative funds,
only estimated prices are available from the administrator because of the
complicated nature of the asset valuations. Estimated prices are compared to
the final price supplied by the underlying fund managers and any material
differences are adjusted for in the financial statements.
In the event that such net asset value is not available from the relevant
administrator, the fair value is estimated with care and in good faith by the
Directors in consultation with the investment manager with a view to
establishing the probable realisation value for such units or shares as at close
of business on the relevant valuation day. The Directors have no reason to
believe that the valuations used are unreasonable.
Gains and losses arising from changes in fair value of financial assets are
shown as net gains or losses on financial assets through profit or loss in note
11 and recognised in the capital section of the Statement of Comprehensive
Income in the period in which they arise.
Derecognition of financial instuments
A financial asset is derecognised when: (a) the rights to receive cash flows
from the asset have expired, (b) the Company retains the right to receive cash
flows from the asset, but has assumed an obligation to pay them in full without
material delay to a third party under a "pass through arrangement"; or (c) the
Company has transferred substatially all the risks and rewards of the asset, or
has neither transferred nor retained substantially all the risks and rewards of
the asset, but has transferred control of the asset.
A financial liability is derecognised when the obligation under the liability is
discharged or cancelled.
Income
All income is accounted for on an accruals basis and is recognised in the
Statement of Comprehensive Income. Interest income is recognised in the
Statement of Comprehensive Income as it accrues, using the original effective
interest rate of the instrument.
Expenses
Expenses are accounted for on an accruals basis. Interest expense is recognised
in the Statement of Comprehensive Income as it accrues, using the original
effective interest rate of the instrument.
Cash and cash equivalents
Cash comprises cash on hand, overdrafts and demand deposits. Cash equivalents
are short-term, highly liquid investments that are readily convertible to known
amounts of cash and which are subject to insignificant changes in value.
Capital reserves
Gains and losses recorded on the realisation of investments and realised
exchange differences of a capital nature are accounted for in the realised
capital reserve. Unrealised gains and losses recorded on the revaluation of
investments held at the year end and unrealised exchange differences of a
capital nature are accounted for in the unrealised capital reserve.
Translation of foreign currency
Items included in the Company's Financial Statements are measured using the
currency of the primary economic environment in which it operates ("the
functional currency"). The currency in which the Company's shares are
denominated and in which its operating expenses are incurred is Sterling. While
the majority of the Company's investments are denominated in US dollars,
exposure to that currency is hedged by forward foreign currency contracts as
described below. Accordingly the Directors regard Sterling as the functional
currency. The Company has also adopted Sterling as its presentation currency.
Transactions in currencies other than the functional currency are recorded using
the exchange rate prevailing at the transaction date. Foreign exchange gains and
losses resulting from the settlement of such transactions and those 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.
Translation differences on financial assets held at fair value through profit or
loss are reported as part of net gains or losses on financial assets through
profit or loss in the capital section of the Statement of Comprehensive Income.
Forward foreign currency contracts
Forward foreign currency contracts are derivative contracts and as such are
recognised at fair value on the date on which they are entered into and
subsequently remeasured at their fair value. Fair value is determined by forward
currency rates in active currency markets. The unrealised appreciation on open
forward foreign currency contracts is calculated by reference to the difference
between the contracts rate and the rate to close out the contract. All
derivatives are carried as assets when fair value is positive and as liabilities
when fair value is negative.
Borrowing costs
Borrowing costs are recognised as an expense when incurred.
Determination and presentation of operating segments
The Company has adopted IFRS 8, 'Operating segments' as of 1 January 2009. The
new standard requires a 'management approach', under which segment information
is presented on the same basis as that used for internal reporting purposes.
The Board has considered the requirements of IFRS 8 'Operating Segments', and is
of the view that the Company is engaged in a single segment of business, being
investment in hedge funds. The Board, as a whole, has been determined as
constituting the chief operating decision maker of the Company. The key measure
of performance used by the Board to assess the Company's performance and to
allocate resources is the total return on the Company's net asset value, as
calculated under IFRS, and therefore no reconciliation is required between the
measure of profit or loss used by the Board and that contained in these
financial statements.
The Board of Directors is charged with setting the Company's investment strategy
in accordance with the Prospectus. They have delegated the day to day
implementation of this strategy to its Investment Manager but retain
responsibility to ensure that adequate resources of the Company are directed in
accordance with their decisions. The investment decisions of the Investment
Manager are reviewed on a regular basis to ensure compliance with the policies
and legal responsibilities of the Board. The Investment Manager has been given
full authority to act on behalf of the Company, including the authority to
purchase and sell securities and other investments on behalf of the Company and
to carry out other actions as appropriate to give effect thereto. Whilst the
Investment Manager may make the investment decisions on a day to day basis re
the allocation of funds to different investments, any changes to the investment
strategy or major allocation decisions have to be approved by the Board, even
though they may be proposed by the Investment Manager. The Board therefore
retains full responsibility as to the major allocations decisions made on an
ongoing basis. The Investment Manager will always act under the terms of the
Prospectus which cannot be radically changed without the approval of the Board
of Directors.
2. Taxation
The Company is exempt from taxation in Guernsey under the provisions of the
Income Tax (Exempt Bodies) (Guernsey) Ordinance 1989 and has paid an annual
exemption fee of GBP600.
3. Distribution to Shareholders
It is the intention of the Company to distribute substantially all of any
significant net income by way of an annual dividend. However, considering the
investment objectives and policies of the Company, it is not anticipated that
net income will be sufficient for the payment of dividends. To the extent that
any distributions are paid they will be in accordance with the Articles, any
applicable laws and the regulations of the UK Listing Authority. No
distributions have been paid or declared in the current year or prior year.
The Directors expect to make a first distribution of cash to Shareholders
following the receipt of proceeds from the redemptions placed by the Company for
31 December 2009 and 31 March 2010 which the Company currently anticipates
receiving by 30 April 2010. On this basis a first distribution to Shareholders
is expected to be made at the end of May 2010.
4. Gains/(Losses) on Foreign Exchange
+--------+------+------+------+------+----------+----------+---------+----------+---------------+
| | | | | | | | 2009 | | 2008 |
+--------+------+------+------+------+----------+----------+---------+----------+---------------+
| | | | | | | | GBP | | GBP |
+--------+------+------+------+------+----------+----------+---------+----------+---------------+
| Realised gain/(loss) on forward foreign | 3,703,535 | | (12,778,392) |
| currency contracts | | | |
+-----------------------------------------------+--------------------+----------+---------------+
| Unrealised gains/(loss) on forward foreign | 416,741 | | (139,870) |
| currency contracts | | | |
+-----------------------------------------------+--------------------+----------+---------------+
| Unrealised exchange gain/(loss) on loan | 1,235,696 | | (1,662,590) |
| advanced | | | |
+-----------------------------------------------+--------------------+----------+---------------+
| Realised exchange (loss)/gain on investments | (2,777,740) | | 2,751,960 |
+-----------------------------------------------+--------------------+----------+---------------+
| | 2,578,232 | | (11,828,892) |
+--------+------+------+------+------+----------+----------+---------+----------+---------------+
5. Operating Segments
Information on realised gains and losses derived from sales of investments are
disclosed in Note 4 to the financial statements.
The Company is domiciled in Guernsey. The Company's financial investments are
derivative financial instruments and its corresponding net income arising
thereon are in respect of investments entities and derivative counterparties
domiciled in both the Fund's domicile country as well as in other countries. In
presenting information on the basis of geographical segments, segment
investments and derivative financial instruments and the corresponding segment
net investment income arising thereon are determined based on the domicile
countries of the respective investment entities and derivative counterparties.
The Company has a highly diversified portfolio of investments and, as disclosed
on page 17, no single investment accounts for more than 3.67% of the Company's
net assets.
Geographical split of investments based on where funds are registered
+------------------------------+----+----+------------+-----------+---------+-----------+------------+
| | | | | | Virgin | |
+------------------------------+---------+------------+-----------+---------+-----------+------------+
| | | Cayman | | United | Islands | |
+------------------------------+---------+------------+-----------+---------+-----------+------------+
| | Bermuda | Islands | Guernsey | States | (British) | Total |
+------------------------------+---------+------------+-----------+---------+-----------+------------+
| 31 December 2009 | GBP | GBP | GBP | GBP | GBP | GBP |
+------------------------------+---------+------------+-----------+---------+-----------+------------+
| Financial assets at fair | 787,494 | 30,588,767 | 1,965 | - | 3,868,301 | 35,246,527 |
| value through profit or loss | | | | | | |
+------------------------------+---------+------------+-----------+---------+-----------+------------+
| Financial liabilities at | - | - | (178,143) | - | - | (178,143) |
| fair value through profit or | | | | | | |
| loss | | | | | | |
+------------------------------+---------+------------+-----------+---------+-----------+------------+
| Net investment income | - | 2,990 | - | 158,056 | - | 161,046 |
+------------------------------+---------+------------+-----------+---------+-----------+------------+
| | | | | | | |
+------------------------------+---------+------------+-----------+---------+-----------+------------+
| 31 December 2008 | | | | | | |
+------------------------------+---------+------------+-----------+---------+-----------+------------+
| Financial assets at fair | 338,704 | 29,397,674 | - | - | 3,760,941 | 33,497,319 |
| value through profit or loss | | | | | | |
+------------------------------+---------+------------+-----------+---------+-----------+------------+
| Financial liabilities at fair | - | - | (592,920) | - | - | (592,920) |
| value through profit or loss | | | | | | |
+-----------------------------------+----+------------+-----------+---------+-----------+------------+
| Net investment income | - | 627 | - | 245,172 | - | 245,799 |
+------------------------------+---------+------------+-----------+---------+-----------+------------+
| | | | | | | | |
+------------------------------+----+----+------------+-----------+---------+-----------+------------+
6. Investment Management Fees
The Company's investment manager is Gottex Fund Management SARL (the "Investment
Manager"). The Investment Manager is entitled to an annual investment management
fee at the rate of 0.75% of the Net Asset Value of the Company, calculated and
payable monthly in arrears. Effective from 1 August 2009, the management fee for
the Company has been reduced from 1 per cent. per annum to 0.75 per cent. per
annum. The Manager is also entitled to reimbursement of certain expenses
incurred by it in connection with its duties.
During the year to 31 December 2009, management fees of GBP330,887 (2008:
GBP430,257) were charged to the Company with GBP25,378 (2008: GBP60,651) payable
at year end.
7. Performance Fee
The Investment Manager is also entitled to receive a performance fee. This is
calculated as 10% of the amount by which the Net Asset Value of a Share at the
end of a financial year exceeds the Net Asset Value of a Share of that class at
the start of the financial year having adjusted for any distributions of the
Company during the year and adding back investment management fees paid subject
to (i) such increase as a percentage of the year start Net Asset Value of that
Share exceeding average 3 month LIBOR during that year and (ii) the year end Net
Asset Value of that Share exceeding the previous highest year end Net Asset
Value for a Share of that class. The performance fee is calculated and accrued
as at each valuation day and paid at the end of the fiscal year of the Company.
As at 31 December 2009, there were no performance fees accrued or paid during
the year (2008: Nil).
8. Administration Fee
The Company's administrator, secretary and registrar is Northern Trust
International Fund Administration Services (Guernsey) Limited (the
"Administrator"). The Administrator is entitled to receive an annual fee based
on the Net Asset Value of the Company, as at the last valuation day in the
month, payable quarterly in arrears, and at the rate of 0.1% of the Net Asset
Value of the Company, subject to a minimum fee of GBP75,000 per annum.
In addition, the Administrator is entitled to be reimbursed certain expenses
incurred in the course of carrying out its duties. During the year to 31
December 2009, administration fees of GBP75,154 (2008: GBP76,074) were charged
to the Company and GBP18,904 (2008: GBP18,750) was payable at the year end.
9. Custodian Fee
The Company's custodian is Northern Trust (Guernsey) Limited (the "Custodian").
The Custodian is entitled to receive an annual fee at a rate of 0.05% per annum
of the Net Asset Value of the Company calculated and accrued monthly and paid
quarterly in arrears. The Company will also pay transaction fees of GBP125 for
every transaction and reimburse the Custodian for certain expenses incurred in
the course of carrying out its duties. During the year to 31 December 2009,
custodian fees of GBP18,579 (2008: GBP23,245) were charged to the Company and
GBP1,675 (2008: GBP3,033) was payable at the year end.
10. Other Expenses
+-------------+--+--------+----------+--------+----------+----------+----------+-+----------+
| | | | | | | | | | |
+-------------+--+--------+----------+--------+----------+----------+----------+-+----------+
| | | | | | | | 2009 | | 2008 |
+-------------+--+--------+----------+--------+----------+----------+----------+-+----------+
| | | | | | | | GBP | | GBP |
+-------------+--+--------+----------+--------+----------+----------+----------+-+----------+
| General | | | | | | | 45,892 | | 61,449 |
| expenses | | | | | | | | | |
+-------------+--+--------+----------+--------+----------+----------+----------+-+----------+
| Legal & | | | | | | 245,228 | | - |
| Professional | | | | | | | | |
| fees | | | | | | | | |
+----------------+--------+----------+--------+----------+----------+----------+-+----------+
| Directors' | | | | | | 94,810 | | 87,741 |
| fees (note 19) | | | | | | | | |
+----------------+--------+----------+--------+----------+----------+----------+-+----------+
| Administration fee | | | | | 75,154 | | 76,074 |
| (note 8) | | | | | | | |
+-------------------------+----------+--------+----------+----------+----------+-+----------+
| Custodian fee | | | | | | 18,579 | | 23,245 |
| (note 9) | | | | | | | | |
+----------------+--------+----------+--------+----------+----------+----------+-+----------+
| Audit fee | | | | | | | 53,417 | | 25,067 |
+-------------+--+--------+----------+--------+----------+----------+----------+-+----------+
| Transaction costs on financial assets at fair value through | 20,105 | | 9,842 |
| profit or loss | | | |
+-------------------------------------------------------------------+----------+-+----------+
| Total other | | | | | | 553,185 | | 283,418 |
| expenses | | | | | | | | |
+-------------+--+--------+----------+--------+----------+----------+----------+-+----------+
Included in the above Legal and Professional fees are fees of GBP130,000
relating to the winding down of the Company and fees of GBP73,000 relating to
the continuation vote which took place in July 2009
11. Financial Instruments
In accordance with its investment objectives and policies, the Company holds
financial instruments which at any one time may comprise the following:
- securities held in accordance with the investment objectives and policies;
- cash and short-term debtors and creditors arising directly from operations;
- derivative transactions including forward currency contracts; and
- short-term borrowings up to a maximum of the lower of 20 per cent. of the
Company's Net Asset Value
as at 2 April 2007 or US$80 million.
The financial instruments held by the Company are comprised principally of hedge
fund assets
(a) Details of the significant accounting policies and methods adopted,
including the criteria for recognition, the basis of measurement and the basis
on which income and expenses are recognised, in respect of its financial assets
and liabilities are disclosed in note 1. The following table analyses the
carrying amounts of the financial assets and liabilities by category as defined
in IAS 39.
(b) Categories of financial instruments:
+-----------------------+------------+--------------+-------------+--------------+
| | | 2009 | | 2008 |
+-----------------------+------------+--------------+-------------+--------------+
| | | GBP | | GBP |
+-----------------------+------------+--------------+-------------+--------------+
| | | % of net | | % of |
| | | assets | | net |
| | | | | assets |
+-----------------------+------------+--------------+-------------+--------------+
| | Fair | Attributable | Fair | Attributable |
| | Value | to | Value | to |
+-----------------------+------------+--------------+-------------+--------------+
| | GBP | shareholders | GBP | shareholders |
+-----------------------+------------+--------------+-------------+--------------+
| Financial instruments | | | | |
| designated at fair | | | | |
| value through profit | | | | |
| or loss | | | | |
+-----------------------+------------+--------------+-------------+--------------+
| Listed equity | 3,768,169 | 9.54 | 7,155,133 | 20.32 |
| securities | | | | |
+-----------------------+------------+--------------+-------------+--------------+
| Unlisted equity | 31,476,393 | 79.68 | 26,342,186 | 74.85 |
| securities | | | | |
+-----------------------+------------+--------------+-------------+--------------+
| Forward currency | (178,143) | (0.45) | (592,920) | (1.68) |
| contracts payable | | | | |
| (note 11d) | | | | |
+-----------------------+------------+--------------+-------------+--------------+
| | 35,066,419 | 88.77 | 32,904,399 | 93.49 |
+-----------------------+------------+--------------+-------------+--------------+
| | | | | |
+-----------------------+------------+--------------+-------------+--------------+
| Financial instruments | | | | |
| designated as | | | | |
| receivables, payables | | | | |
| and loans | | | | |
+-----------------------+------------+--------------+-------------+--------------+
| Loan advanced (note | 2,058,030 | 5.21 | 2,271,557 | 6.45 |
| 14) | | | | |
+-----------------------+------------+--------------+-------------+--------------+
| Cash and cash | 2,639,366 | 6.68 | 6,658,329 | 18.92 |
| equivalents (note14) | | | | |
+-----------------------+------------+--------------+-------------+--------------+
| Receivables (note 13) | 2,713 | - | 2,903,705 | 8.25 |
+-----------------------+------------+--------------+-------------+--------------+
| Payables | (262,790) | (0.66) | (360,491) | (1.02) |
+-----------------------+------------+--------------+-------------+--------------+
| Loan payable | - | - | (9,181,012) | (26.09) |
+-----------------------+------------+--------------+-------------+--------------+
| | 4,437,319 | 11.23 | 2,292,088 | 6.51 |
+-----------------------+------------+--------------+-------------+--------------+
(c) Net gains on Financial Assets held at Fair Value Through Profit or Loss
+------------------------------------------------+-----------+----+------+
| | 2009 | 2008 |
+------------------------------------------------+-----------+-----------+
| | GBP | GBP |
+------------------------------------------------+-----------+-----------+
| The net gains on financial assets at fair value through | |
| profit or loss during the period comprise: | |
+-----------------------------------------------------------------+------+
| Realised gain on financial assets designated | 2,172,860 | 2,264,458 |
| at fair value through profit or loss | | |
+------------------------------------------------+-----------+-----------+
| Net unrealised gains on financial assets | | |
| designated at fair value through profit or | 306,930 | 121,133 |
| loss | | |
+------------------------------------------------+-----------+-----------+
| Net gains on financial assets at fair value | 2,479,790 | 3,385,591 |
| through profit or loss | | |
+------------------------------------------------+-----------+-----------+
| | | | |
+------------------------------------------------+-----------+----+------+
Realised and unrealised gains and losses on investments include currency gains
and losses where the investment is a non-sterling based investment.
(d) Forward foreign exchange contracts
+---------------+----+-----+------------+-------------+------------+-------------+------------+
| | | Contract | | Fair | Fair | |
| | | | | Value | Value | |
+---------------+----------+------------+-------------+------------+-------------+------------+
| | Average | value | Contract | in | in | |
| | | in | | GBP- | GBP- | |
+---------------+----------+------------+-------------+------------+-------------+------------+
| Outstanding | Exchange | Foreign | Value | financial | financial | Unrealised |
| | | | in | | | |
+---------------+----------+------------+-------------+------------+-------------+------------+
| contracts | rate | currency | GBP | assets | liabilities | (loss) |
+---------------+----------+------------+-------------+------------+-------------+------------+
| Less than 3 | | | | | | |
| months | | | | | | |
+---------------+----------+------------+-------------+------------+-------------+------------+
| Buy GBP | | | 40,163,989 | 40,163,989 | 40,342,132 | (178,143) |
+---------------+----------+------------+-------------+------------+-------------+------------+
| Sell USD | 1.622 | 65,139,564 | | | | |
+---------------+----------+------------+-------------+------------+-------------+------------+
| | | | | | | |
+---------------+----------+------------+-------------+------------+-------------+------------+
| Buy USD | | 701,660 | | | | |
+---------------+----------+------------+-------------+------------+-------------+------------+
| Sell GBP | 1.619 | | (1,136,129) | 1,138,094 | 1,136,129 | 1,965 |
+---------------+----------+------------+-------------+------------+-------------+------------+
| | | | | 41,302,083 | 41,478,261 | (176,178) |
+---------------+----------+------------+-------------+------------+-------------+------------+
| | | | | | | |
+---------------+----------+------------+-------------+------------+-------------+------------+
| As at 31 December | | Contract | | Fair | Fair | |
| 2008 | | | | Value | Value | |
+--------------------+-----+------------+-------------+------------+-------------+------------+
| | Average | Value | Contract | In | In | |
| | | in | | GBP- | GBP- | |
+---------------+----------+------------+-------------+------------+-------------+------------+
| Outstanding | Exchange | Foreign | Value | Financial | Financial | Unrealised |
| | | | in | | | |
+---------------+----------+------------+-------------+------------+-------------+------------+
| contracts | rate | currency | GBP | assets | liabilities | (loss) |
+---------------+----------+------------+-------------+------------+-------------+------------+
| Less than 3 | | | | | | |
| months | | | | | | |
+---------------+----------+------------+-------------+------------+-------------+------------+
| Buy GBP | | | 20,206,588 | 20,206,588 | 20,799,508 | (592,920) |
+---------------+----------+------------+-------------+------------+-------------+------------+
| Sell USD | 1.479 | 29,883,524 | | | | |
+---------------+----------+------------+-------------+------------+-------------+------------+
| | | | | 20,206,588 | 20,799,508 | (592,920) |
+---------------+----------+------------+-------------+------------+-------------+------------+
| | | | | | | | |
+---------------+----+-----+------------+-------------+------------+-------------+------------+
The Company invests in underlying assets which are predominantly US dollar
denominated. The Directors believe it is in the best interests of Shareholders
for the Company to consistently engage in currency hedging (subject only to the
availability of appropriate foreign exchange and credit lines) in the attempt to
reduce the impact on the GBP Shares of currency fluctuations and the volatility
of returns which may result from such currency exposure. This will involve
hedging the relevant proportion of the Company's assets against sterling through
the use of rolling forward foreign exchange transactions. The Company's currency
hedging policy will be for the purposes of efficient portfolio management only.
The Company has no intention of using its borrowing facility for the purposes of
currency speculation for its own account.
12. Loan advanced
The Company has a financial commitment up to the level of US$3,600,000. The
commitment is towards a facility agreement entered between Pacific Alliance Asia
Opportunity Fund Limited and Gottex Fund Management SARL. At 31 December 2009,
the Company has advanced an amount of GBP1,011,446 (US$1,633,333),(2008:
GBP2,271,557, US$3,266,667). The loan bears interest at a rate of 12% per annum.
The loan is repayable in full on 20 July 2010.
On 22 April 2009 the Company entered into a facility agreement with Citibank
N.A. At 31 December 2009 the Company has advanced an amount of GBP1,046,584
(US$1,690,076). The loan bears interest at the overnight ask rate.
The carrying value of the loans approximate fair value, given the short term
nature of the loans.
13. Other Receivables
The Directors consider that the carrying value of the other receivables
approximate their fair value.
+----------------+----------+--------+-+-------+---------+----------+------------+
| | | | | 2009 | | 2008 |
+---------------------------+--------+-+-------+---------+----------+------------+
| | | | | | GBP | | GBP |
+----------------+----------+--------+-+-------+---------+----------+------------+
| Interest | | | | | - | | 1,325 |
| receivable | | | | | | | |
+----------------+----------+--------+-+-------+---------+----------+------------+
| Sales awaiting settlement | | | | 2,713 | | 2,902,380 |
+---------------------------+--------+-+-------+---------+----------+------------+
| | | | | | 2,713 | | 2,903,705 |
+----------------+----------+--------+-+-------+---------+----------+------------+
.
14. Cash
+-------------+--+--------+----------+----------+------------+----------+------------+
| | | | | | | | |
+-------------+--+--------+----------+----------+------------+----------+------------+
| | | | | | 2009 | | 2008 |
+-------------+--+--------+----------+----------+------------+----------+------------+
| | | | | | GBP | | GBP |
| | | | | | | | |
+-------------+--+--------+----------+----------+------------+----------+------------+
| Net current deposits | | | 2,639,366 | | 6,658,329 |
| with banks | | | | | |
+-------------+--+--------+----------+----------+------------+----------+------------+
All cash balances are subject to variable interest rates.
15. Borrowing Facility
Under a Note Purchase Agreement between the Company and JP Morgan Ventures
Corporation (JPMVC) dated 1 March 2007, the Company has negotiated a borrowing
facility from JPMVC. The borrowing facility is for up to the lower of (i) 20 per
cent. of its Net Asset Value as at 2 April 2007 and (ii) US$16 million for
short-term or temporary liquidity purposes as may be necessary to facilitate
investment and withdrawals from underlying funds, to meet ongoing expenses, to
implement the Company's currency hedging strategy and to fund any purchases of
the Company's own Shares (pending realisation of assets). As at 31 December
2009, loan payable under this facility was Nil (GBPNil) (2008: US$13,200,000
(GBP9,181,012)).
This facility was not used in the year therefore during the year to 31 December
2009, interest expense of Nil (2008: GBP170,934) was charged to the Company and
Nil (2008: GBP43,946) was payable at the year end.
The weighted average effective interest rate on the loan up to 31 March 2008 was
2.28%.
On 22 April 2009 the Company entered into an ISDA Master Agreement with Citibank
NA in respect of the Company's FX Hedging programme, whereby Citibank NA act as
counterparty to the forward foreign currency contracts, allowing the Company to
reinstate a full foreign exchange hedging programme against the value of the
portfolio.
16. Other Payables
+----------------+----------+--------+----------+-----+-----------+----------+----------+
| | | | | | | |
+---------------------------+--------+----------+-----+-----------+----------+----------+
| | | | | | 2009 | | 2008 |
+----------------+----------+--------+----------+-----+-----------+----------+----------+
| | | | | | GBP | | GBP |
+----------------+----------+--------+----------+-----+-----------+----------+----------+
| Interest | | | | | 67 | | 219,589 |
| payable | | | | | | | |
+----------------+----------+--------+----------+-----+-----------+----------+----------+
| Management fee payable (note 6) | | | 25,378 | | 60,651 |
+------------------------------------+----------+-----+-----------+----------+----------+
| Directors fee payable (note 19) | | | 21,452 | | 14,866 |
+------------------------------------+----------+-----+-----------+----------+----------+
| Administration fee payable (note | | | 18,904 | | 18,750 |
| 8) | | | | | |
+------------------------------------+----------+-----+-----------+----------+----------+
| Audit fee | | | | | 33,422 | | 17,612 |
| payable | | | | | | | |
+----------------+----------+--------+----------+-----+-----------+----------+----------+
| Custodian fee payable (note 9) | | | 1,675 | | 3,033 |
+------------------------------------+----------+-----+-----------+----------+----------+
| Legal and Professional | | | | 146,617 | | - |
| fees | | | | | | |
+---------------------------+--------+----------+-----+-----------+----------+----------+
| Other expenses payable | | | | 15,275 | | 25,990 |
+---------------------------+--------+----------+-----+-----------+----------+----------+
| | | | | | 260,790 | | 360,491 |
+----------------+----------+--------+----------+-----+-----------+----------+----------+
The Directors consider that the carrying value of the other payables approximate
their fair value
17. Share Capital, Share Premium and Distributable Reserves
+------+------+------+------+----------+-------+----------+--------+
| | | | | | 2009 | | 2008 |
+------+------+------+------+----------+-------+----------+--------+
| | | | | | GBP | | GBP |
+------+------+------+------+----------+-------+----------+--------+
| Authorised Share | | | | | |
| Capital | | | | | |
+--------------------+------+----------+-------+----------+--------+
| Unlimited number of Unclassified | - | | - |
| Shares of no par value | | | |
+------+------+------+------+----------+-------+----------+--------+
The Company is a closed ended investment company. At the Extraordinary General
Meeting on 11 March 2010, the Winding Down proposals for the Company were
approved. The Ordinary Shares are not puttable instruments. As such they are not
required to be classified as debt under IAS 32 because redemption is conditional
upon certain market conditions and Board approval.
IFRIC Interpretation 2: 'Members' Shares in Co-operative Entities and Similar
Instruments' paragraph 7 states "Members' share is equity if the entity has an
unconditional right to refuse redemption of the members' share". As defined in
the Articles of Association, redemption of Ordinary Shares is at the sole
discretion of the Directors, therefore the Ordinary Shares have been classified
as equity.
The Company's capital is represented by an unlimited number of ordinary shares
of no par value, and each share carries one vote. They are entitled to dividends
when declared. The Company has no restrictions or specific capital requirements
on the issue or repurchase of ordinary shares.
+-------------+--+------+-------------+----------+---------+----------+----------+---------------+
| | | | No. of | | Share | | | Distributable |
| | | | | | | | | |
+-------------+--+------+-------------+----------+---------+----------+----------+---------------+
| | | | Shares | | Capital | | | Reserve |
| | | | | | | | | |
+-------------+--+------+-------------+----------+---------+----------+----------+---------------+
| Issued | | | | | GBP | | | GBP |
| Share | | | | | | | | |
| Capital | | | | | | | | |
+-------------+--+------+-------------+----------+---------+----------+----------+---------------+
| Subordinated | 1 | | - | | | 1 |
| Non-Voting Share | | | | | | |
+-----------------------+-------------+----------+---------+----------+----------+---------------+
| | | | | | | | | |
+-------------+--+------+-------------+----------+---------+----------+----------+---------------+
| Equity | | | | | | | | |
| Shares | | | | | | | | |
+-------------+--+------+-------------+----------+---------+----------+----------+---------------+
| At | | | | | | | | |
| 31.12.2009 | | | | | | | | |
+-------------+--+------+-------------+----------+---------+----------+----------+---------------+
| GBP | | | | | | | | |
| Ordinary | | | | | | | | |
| Shares | | | | | | | | |
+-------------+--+------+-------------+----------+---------+----------+----------+---------------+
| Balance at start and | 45,350,000 | | - | | | 44,556,375 |
| end of year | | | | | | |
+-------------+--+------+-------------+----------+---------+----------+----------+---------------+
+-------------+--+------+-------------+----------+---------+----------+----------+---------------+
| | | | No. of | | Share | | | Distributable |
| | | | | | | | | |
+-------------+--+------+-------------+----------+---------+----------+----------+---------------+
| At | | | Shares | | Capital | | | Reserve |
| 31.12.2008 | | | | | | | | |
+-------------+--+------+-------------+----------+---------+----------+----------+---------------+
| GBP | | | | | GBP | | | GBP |
| Ordinary | | | | | | | | |
| Shares | | | | | | | | |
+-------------+--+------+-------------+----------+---------+----------+----------+---------------+
| Balance at | | 45,350,000 | | - | | | 44,556,375 |
| start and end | | | | | | | |
| of year | | | | | | | |
+-------------+--+------+-------------+----------+---------+----------+----------+---------------+
The Directors may, on issue, designate any unissued Shares as GBP Shares (or
Shares of any other currency or with other special rights) or as C Shares
convertible into GBP Shares (or Shares of any other currency or with other
special rights) or otherwise as they see fit.
Ordinary Shares carry the right to vote at general meetings of the Company and
to receive dividends and, in a winding-up rank may participate in surplus assets
remaining after settlement of any outstanding liabilities of the Company.
On 1 March 2007 the Company issued to the Investment Manager for cash credited
as fully paid, one Subordinated Non-voting Share with no rights to dividends or
other distributions or to any capital of the Company on a winding up or
otherwise. This Share was issued to facilitate any future redemption by the
Company of its share capital.
On 23 February 2007 the Ordinary Shareholders passed a Special Resolution
approving the cancellation of the entire amount which would stand to the credit
of the share premium account immediately after the issuance of the GBP Ordinary
Shares. As a result, a balance of GBP44,556,376 was transferred from share
premium to distributable reserve. The Royal Court of Guernsey's approval was
obtained on 3 August 2007.
At the annual general meeting held on 5 June 2008, the Ordinary Shareholders
passed a Resolution granting the Company the authority to make market purchases
of up to 14.99 per cent. of each class of Ordinary Shares issued by the Company.
This authority expired on 22 August 2009. A renewal of the authority to make
purchases of Ordinary Shares will be sought from Ordinary Shareholders at each
annual general meeting of the Company.
The impact of the two resolutions described above are to enable the Company to
effect purchases of its own Shares at a time to be decided by the Directors.
Purchases will only be made, pursuant to this authority and in accordance with
the rules and regulations of the UK Listing Authority, through the market for
cash at prices below the prevailing Net Asset Value of an Ordinary Share where
the Directors believe such purchases will result in an increase in the Net Asset
Value of the remaining Ordinary Shares of that class and to assist in narrowing
any discount to Net Asset Value at which Ordinary Shares of that class may
trade.
At the Extraordinary General Meeting held on 11 March 2010, the special
resolution passed sought the consent of shareholders to the adoption of New
Articles (i) to enable compulsory redemption of Shares, (ii) to remove the
requirements for continuation votes, (iii) to provide for a winding up
resolution to be put forward following the Realisation Threshold being met or
exceeded so that those Shareholders voting in favour of such winding up
resolution following the Realisation Threshold being met or exceeded will
collectively represent sufficient of all the votes cast (on a poll) on such
resolution to pass such resolution) and (iv) to generally update the Articles to
comply with the provisions of the New Law as it was amended on 1 July 2008.
18. Net Assets Attributable to Holders of Ordinary Shares
+------+------+------+------+------+----------+-------------+--+-------------+
| | | | | |
+----------------------------------+----------+-------------+--+-------------+
| | | | | | | 2009 | | 2008 |
+------+------+------+------+------+----------+-------------+--+-------------+
| | | | | | | GBP | | GBP |
+------+------+------+------+------+----------+-------------+--+-------------+
| | | | | | | | | |
+------+------+------+------+------+----------+-------------+--+-------------+
| Total assets less | | | 39,505,703 | | 35,196,487 |
| liabilities | | | | | |
+---------------------------+------+----------+-------------+--+-------------+
| Less: amount attributable to | | - | | - |
| Subordinated Non-voting Share | | | | |
+----------------------------------+----------+-------------+--+-------------+
| Amount attributable to Ordinary | | 39,505,703 | | 35,196,487 |
| Shares | | | | |
+----------------------------------+----------+-------------+--+-------------+
| | | | | | | | | |
+------+------+------+------+------+----------+-------------+--+-------------+
| Number of Ordinary Shares | | 45,350,000 | | 45,350,000 |
| outstanding | | | | |
+----------------------------------+----------+-------------+--+-------------+
| | | | | | | | | |
+------+------+------+------+------+----------+-------------+--+-------------+
| Net assets attributable to | | 87.1129p | | 77.6108p |
| holders of Ordinary Shares (per | | | | |
| share) | | | | |
+------+------+------+------+------+----------+-------------+--+-------------+
19. Related Party Transactions
Parties are considered to be related if one party has the ability to control the
other party or exercise significant influence over the other party in making
financial or operational decisions.
The Directors are responsible for the determination of the investment policy of
the Company and have overall responsibility for the Company's activities.
The Company is managed by Gottex Fund Management, SARL which is part of the
Gottex Group.
The Company and the Investment Manager have entered into an Investment
Management Agreement dated 1 March 2007 (as amended) under which the Investment
Manager has been given responsibility for the day-to-day discretionary
management of the Company's assets (including uninvested cash) in accordance
with the Company's investment objective and policy, subject to the overall
supervision of the Directors and in accordance with the investment restrictions
in the Investment Management Agreement and the Articles of Association. Details
of the investment management and performance fees to which the Investment
Manager is entitled are included in notes 6 and 7.
The Company has four non-executive directors, all independent of the Manager.
All Directors are entitled to receive an annual fee of GBP20,000 per annum, with
the exception of the Chairman who is entitled to GBP25,000 per annum and the
Chairman of the Audit Committee who is entitled to GBP22,500 per annum. Total
Directors' fees for the year, including outstanding fees at the end of the year,
are set out below:
+--------------+--+--------+----------+------------+---------+----------+---------+
| | | | | | 2009 | | 2008 |
+--------------+--+--------+----------+------------+---------+----------+---------+
| | | | | | GBP | | GBP |
+--------------+--+--------+----------+------------+---------+----------+---------+
| | | | | | | | |
+--------------+--+--------+----------+------------+---------+----------+---------+
| Directors' fees for the | | | 94,810 | | 87,741 |
| period | | | | | |
+--------------------------+----------+------------+---------+----------+---------+
| | | | | | | | |
+--------------+--+--------+----------+------------+---------+----------+---------+
| Accrued at end of the | | | 21,452 | | 14,866 |
| period | | | | | |
+--------------------------+----------+------------+---------+----------+---------+
| | | | | | | | |
+--------------+--+--------+----------+------------+---------+----------+---------+
| | | | | | | | |
+--------------+--+--------+----------+------------+---------+----------+---------+
| As at 31 December 2009, Directors of the Company held the following numbers |
| of Ordinary Shares beneficially: |
+---------------------------------------------------------------------------------+
| | | | | | | | |
+--------------+--+--------+----------+------------+---------+----------+---------+
| | | | | | 2009 | | 2008 |
+--------------+--+--------+----------+------------+---------+----------+---------+
| Directors | | | | | | | |
| | | | | | Shares | | Shares |
+--------------+--+--------+----------+------------+---------+----------+---------+
| Robert | | | | | 20,000 | | 20,000 |
| Sinclair | | | | | | | |
+--------------+--+--------+----------+------------+---------+----------+---------+
| Nicholas | | | | | 20,000 | | 20,000 |
| Tostevin | | | | | | | |
+--------------+--+--------+----------+------------+---------+----------+---------+
| Richard | | | | | 20,000 | | - |
| Hotchkis | | | | | | | |
+--------------+--+--------+----------+------------+---------+----------+---------+
20. Financial Risk Management
The Fund is exposed to a variety of financial risks as a result of its
activities. These risks include market risk (including price risk, interest rate
risk and foreign currency risk), credit risk and liquidity risk.
(a) Market Risk
The company's activities expose it primarily to the market risks of changes in
market prices, interest rates and foreign currency exchange rates.
Price risk
Market price risk arises mainly from the uncertainty about future prices of the
financial instruments held by the underlying hedge funds. It represents the
potential loss the Company may suffer through holding market positions in the
face of price movements.
The Company's investment portfolio is exposed to market price fluctuations which
are monitored by the Investment Manager in pursuance of the investment
objectives and policies. Adherence to investment guidelines and to investment
and borrowing powers set out in the Placing and Offer for Subscription document
mitigates the risk of excessive exposure to any particular type of security or
issuer. However with respect to the investment strategy utilised by hedge funds
into which the Investment Manager will invest the assets of the Company there is
always some, and occasionally significant degree of market risk.
Price sensitivity analysis
The sensitivity analysis below has been determined based on the exposure to
equity price risks at the reporting date. The 10% for the Company price movement
estimate has been arrived at by taking the average of the total price movement
changes during the year.
As at the 31 December 2009 a 10% increase in equity prices would increase net
assets by 8.92%, (10% increase 2008: 9.52%) while a 10% decrease in equity
prices would have an equal and opposite effect.
Interest rate risk
Interest rate risk represents the uncertainty of investment return due to
changes in the market rates of interest.
Interest receivable on bank deposits or payable on bank overdraft and loan
positions will be affected by fluctuations in interest rates. All cash balances
are at variable rates, see note 14.
The Investment Manager manages the Company's exposure to interest rate risk on a
daily basis in accordance with the Company's investment objective and policies.
The value of securities tends to be sensitive to interest rate fluctuations that
will in turn result in increases or decreases in the market value of those
instruments. The Company's investments in hedge funds may move in directions not
originally expected by the underlying hedge fund managers as a result of
interest rate fluctuations.
The following table details the Company's exposure to interest rate risk on a
daily basis in accordance with the Company's investment objective and policies.
+-------------+--+--+--+----------+-----------+-----------+-----------+--------------+------------+
| At 31 December 2009 | | | | | |
+---------------------------------+-----------+-----------+-----------+--------------+------------+
| | Weighted | Less | | | Non-interest | |
| | | than | | | | |
+-------------+-------------------+-----------+-----------+-----------+--------------+------------+
| | Average | I | 3-12 | >12 | bearing | Total |
| | | month | months | months | | |
+-------------+-------------------+-----------+-----------+-----------+--------------+------------+
| | EIR % | GBP | GBP | GBP | GBP | GBP |
+-------------+-------------------+-----------+-----------+-----------+--------------+------------+
| Financial | | | | | | |
| Assets | | | | | | |
+-------------+-------------------+-----------+-----------+-----------+--------------+------------+
| Non-interest | 0.00% | - | - | - | 35,247,275 | 35,247,275 |
| bearing | | | | | | |
+----------------+----------------+-----------+-----------+-----------+--------------+------------+
| Fixed | 12.00% | - | 1,011,446 | - | - | 1,011,446 |
| interest | | | | | | |
| rate | | | | | | |
+-------------+-------------------+-----------+-----------+-----------+--------------+------------+
| Floating | 0.88% | - | - | 1,046,584 | - | 1,046,584 |
| interest rate | | | | | | |
+----------------+----------------+-----------+-----------+-----------+--------------+------------+
| Cash and cash | | 2,639,366 | - | - | - | 2,639,366 |
| equivalents | | | | | | |
+----------------------+----------+-----------+-----------+-----------+--------------+------------+
| Total financial assets | 2,639,366 | 1,011,446 | 1,046,584 | 35,247,275 | 39,944,671 |
+---------------------------------+-----------+-----------+-----------+--------------+------------+
| | | | | | | |
+-------------+-------------------+-----------+-----------+-----------+--------------+------------+
| Financial | | | | | | |
| liabilities | | | | | | |
+-------------+-------------------+-----------+-----------+-----------+--------------+------------+
| Non-interest | 0% | 178,143 | - | - | 262,760 | 440,933 |
| bearing | | | | | | |
+-------------------+-------------+-----------+-----------+-----------+--------------+------------+
| Total financial | | 179,143 | - | - | 262,790 | 440,933 |
| liabilities | | | | | | |
+-------------------+-------------+-----------+-----------+-----------+--------------+------------+
| | | | | | | | | | |
+-------------+--+--+--+----------+-----------+-----------+-----------+--------------+------------+
+-------------+--+----+----------+-----------+-----------+-----------+--------------+------------+
| At 31 December 2008 | | | | | |
+--------------------------------+-----------+-----------+-----------+--------------+------------+
| | Weighted | Less | | | Non-interest | |
| | | than | | | | |
+-------------+------------------+-----------+-----------+-----------+--------------+------------+
| | Average | I | 3-12 | >12 | bearing | Total |
| | | month | months | months | | |
+-------------+------------------+-----------+-----------+-----------+--------------+------------+
| | EIR % | GBP | GBP | GBP | GBP | GBP |
+-------------+------------------+-----------+-----------+-----------+--------------+------------+
| Financial | | | | | | |
| Assets | | | | | | |
+-------------+------------------+-----------+-----------+-----------+--------------+------------+
| Non-interest | 0.00% | 1,325 | - | - | 36,399,699 | 36,401,024 |
| bearing | | | | | | |
+----------------+---------------+-----------+-----------+-----------+--------------+------------+
| Fixed | 12.00% | - | - | 2,271,557 | - | 2,271,557 |
| interest | | | | | | |
| rate | | | | | | |
+-------------+------------------+-----------+-----------+-----------+--------------+------------+
| Cash and cash | 2.75% | 6,658,329 | - | - | - | 6,658,329 |
| equivalents | | | | | | |
+----------------+---------------+-----------+-----------+-----------+--------------+------------+
| Total | | 6,658,654 | - | 2,271,557 | 36,399,699 | 45,330,910 |
| financial | | | | | | |
| assets | | | | | | |
+----------------+---------------+-----------+-----------+-----------+--------------+------------+
| | | | | | | |
+-------------+------------------+-----------+-----------+-----------+--------------+------------+
| Financial | | | | | | |
| liabilities | | | | | | |
+-------------+------------------+-----------+-----------+-----------+--------------+------------+
| Non-interest | 0% | 592,920 | | - | 360,491 | 953,411 |
| bearing | | | | | | |
+----------------+---------------+-----------+-----------+-----------+--------------+------------+
| Floating | 2.28% | - | 9,181,012 | -- | - | 9,181,012 |
| interest rate | | | | | | |
+----------------+---------------+-----------+-----------+-----------+--------------+------------+
| Total financial | | 592,920 | 9,181,012 | -- | 360,491 | 10,134,423 |
| liabilities | | | | | | |
+---------------------+----------+-----------+-----------+-----------+--------------+------------+
| | | | | | | | | |
+-------------+--+----+----------+-----------+-----------+-----------+--------------+------------+
Interest rate sensitivity
The sensitivity analysis below has been determined based on the exposure to
interest rates at the reporting date and the stipulated change taking place at
the beginning of the financial year and held constant throughout the reporting
period. A 100 bps change is used, being the average movement of the interest
rates over the reporting period.
At reporting date, with all other variables held constant, a 100bps increase in
interest rate would increase net asset value by 1.19bps (2008: 0.71bps) while a
100 bps decrease in interest rate would have an equal and opposite effect.
Foreign currency risk
Foreign currency risk arises from fluctuations in the value of a foreign
currency. It represents the potential loss the Company may suffer through
holding financial instruments that will fluctuate because of foreign exchange
rates.
Exchange rates exposure are managed within approved policy parameters utilising
forward foreign exchange contracts as detailed in note 11(d) to the financial
statements.
The Company's currency exposure relates primarily to investments and loans in
USD.
At reporting date, the Company holds the following assets and liabilities in
USD:
+----------------------+------------+------------+
| | 31.12.09 | 31.12.08 |
+----------------------+------------+------------+
| | GBP | GBP |
+----------------------+------------+------------+
| Assets | 40,622,940 | 45,322,814 |
+----------------------+------------+------------+
| Liabilities | 40,163,989 | 9,773,932 |
+----------------------+------------+------------+
Foreign currency sensitivity
At reporting date, if the USD had weakened by 5% against the GBP with all other
variables held constant, net asset value would be GBP22,948 (2008: GBP849,351)
lower, mainly as a result of foreign exchange losses on translation of USD
denominated financial assets and liabilities to GBP. A 5% strengthening of the
USD against GBP would have an equal and opposite effect.
(b) Credit Risk
Credit Risk refers to the risk that a counterparty will default on its
contractual obligations resulting in financial loss to the Company.
At the Statement of Financial Position date financial assets exposed to credit
risk include loan advanced disclosed in note 12 to the financial statements. The
credit risk on cash is mitigated as all cash is placed with Northern Trust (AA
rating by Standard & Poors) (2008: AA rating by Standard & Poors). Debtors
comprise of interest receivable and securities sold receivable. The maximum
credit risk exposure as at 31 December 2009 amounts to GBP4,700,109 (2008:
GBP11,833,592). It is the opinion of the Board of Directors that the carrying
amounts of these financial assets represent the maximum credit risk exposure at
the statement of financial position date.
In accordance with the investment restrictions as described in its Offering
Memorandum, the Company may not invest more than 20% of the Company's gross
assets or be exposed to the creditworthiness or solvency of any one
counterparty. However, this restriction shall not apply to securities issued or
guaranteed by a government, government agency or instrumentality of any European
Union or OECD Member States or by any supranational authority of which one or
more European Union or OECD Member States are members. Furthermore, the
restriction does not apply to transactions effected with any counterparty, which
advances full and appropriate collateral in respect of such transactions or
where the counterparty (i) is regulated by CFTC or the FSA and (ii) has
financial resources of US$ 20 million (or its equivalent in another currency).
c) Liquidity Risk
Liquidity risk is the risk that the Company will encounter difficulties in
realising assets or otherwise raising funds to meet financial commitments.
The Company invests its assets in redeemable participating shares of other
private investment companies which may be illiquid. As a result the Company may
not be able to quickly liquidate its investments in these instruments at an
amount close to their fair value in order to meet the Company's liquidity
requirements or to respond to specific events such as deterioration of credit
worthiness of any particular issuer.
Underlying funds may place some of the Company's holding in a side pocket which
is a type of account used to separate illiquid assets from other more liquid
investments, or suspend redemption completely for a certain period. Once an
investment enters a side pocket account, only the present participants in the
fund will be entitled to a share of it. Investors who leave the fund will still
receive a share of the side pocket's value when the side pocket investment is
realised.
Some of the underlying funds held by the Company are also in the process of
liquidating and/or restructuring.
The Directors of the Company believe that the fair value as stated at year end
31 December 2009 for the following underlying funds, represents the most likely
value that would have been recoverable at that time given market prices and the
liquidity of the securities held. However, because of the inherent uncertainty
of such valuation, these estimates may differ significantly from the values that
actually would have been achieved had a ready market existed, and such
differences could be material.
In the period prior to 31 December 2009, the Investment Manager submitted
revocable redemption notices in respect of certain investments in the Portfolio
in anticipation of the approval of the winding up of the Company as set out in
note 23. Such investments accounted for approximately 32.5 per cent. or
GBP12,839,353 of the NAV of the Portfolio as at 31 December 2009.
As at 31 December 2009
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Liquidity | Liquidity | Underlying |Liquidity | Notice | Initial | % |
| Issue | Issue | Fund Name | Terms | Period | Lock-Up | of |
| |Implementation | | | For | Period | NAV |
| | Date | | |Redemptions | | as |
| | | | | | | at |
| | | | | | |31/12/2008 |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Suspended/Restructuring | 30/06/2008 | Arche Fund | Single | 120 | 365D | 0.31% |
| | | Limited, | | | | |
| | | Class A | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 30/09/2008 | Chesnut | Yearly | 180 | 720D | 0.04% |
| | | Fund Side | | | | |
| | | Pocket | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 31/03/2008 | Cheyne |Quarterly | 30 | 183D | 0.16% |
| | | Special | | | | |
| | | Situations | | | | |
| | | Fund Inc. | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 31/03/2008 | Cheyne |Quarterly | 30 | 183D | 0.20% |
| | | Special | | | | |
| | | Situations | | | | |
| | | Fund Inc. | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 31/3/2008 | Cheyne |Quarterly | 30 | 183D | 0.27% |
| | | Special | | | | |
| | | Situations | | | | |
| | | Fund Inc. | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 31/10/2008 | Contrarian | Yearly | 90 | | 0.32% |
| | | Fund I | | | | |
| | | Offshore | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Gate | 30/11/2008 | D E Shaw |Quarterly | 90 | | 3.16% |
| | | Composite | | | | |
| | | International | | | | |
| | | Fund | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 31/01/2006 | D E Shaw | Monthly | 90 | 1095D | 0.31 |
| | | Composite | | | | |
| | | Side | | | | |
| | | International | | | | |
| | | Pocket | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Gate | 30/09/2008 | DKR | Yearly | 60 | 600D | 2.51% |
| | | Soundshore | | | | |
| | | Oasis Fund | | | | |
| | | Ltd | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 30/04/09 | Ellington |Quarterly | 60 | | 0.30% |
| | | Offshore | | | | |
| | | Partners | | | | |
| | | Fund, Class | | | | |
| | | A | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 30/09/2008 | Goldentree |Quarterly | 45 | 548D | 0.10% |
| | | Special | | | | |
| | | Holdings I, | | | | |
| | | Ltd | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Suspended/Restructuring | 30/06/2008 | Halcyon |Quarterly | 90 |12M;2%<15M;1.5%<18M; | 0.50% |
| | | Structured | | | 1%<21M; 0.5%<24M | |
| | | Opportunities | | | | |
| | | Offshore Fund | | | | |
| | | Ltd. | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 30/09/2007 | New | Yearly | 90 | 365D | 0.06% |
| | | Ellington | | | | |
| | | Credit | | | | |
| | | Overseas | | | | |
| | | Ltd. | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 31/10/2007 | Oz Overseas |Quarterly | 30 | 2%<1095D | 0.09% |
| | | Fund II, | | | | |
| | | Limited | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Suspended/Restructuring | 31/08/2008 | Petra | Yearly | 90 | 1Y;5%<2Y | 0.00% |
| | | Offshore | | | | |
| | | Fund | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 31/08/2008 | Petra | Yearly | 90 | 365D | 0.00% |
| | | Offshore | | | | |
| | | Fund Side | | | | |
| | | Pocket | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 31/08/2008 | Petra | Yearly | 90 | 365D | 0.00% |
| | | Offshore | | | | |
| | | Side Pocket | | | | |
| | | 2 | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 30/09/2008 | Plainfield |Quarterly | 60 | 365D | 1.62% |
| | | 2008 | | | | |
| | | Liquidating | | | | |
| | | Limited | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 31/01/2008 | Ovt |Quarterly | 65 | 1095D | 0.01% |
| | | Overseas | | | | |
| | | Limited, | | | | |
| | | Side Pocket | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 30/09/2008 | Redbrick | Monthly | 30 | 5%<1Y | 0.02% |
| | | Capital | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 30/06/2008 | Sandelman |Quarterly | 65 | 365D | 0.22% |
| | | Partners | | | | |
| | |Multi-Strategy | | | | |
| | | Fund Ltd. | | | | |
| | |Class S Series | | | | |
| | | II | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Restructuring | 30/06/2008 | Sandelman |Quarterly | 65 | 365D | 1.23% |
| | | Partners | | | | |
| | | Opportunity | | | | |
| | | Fund Ltd | | | | |
| | | Class B1 | | | | |
| | | Series 04B | | | | |
| | | July 2008 | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 30/09/2008 | Sorin |Quarterly | 90 | 3%<365D | 1.12% |
| | | Offshore | | | | |
| | | Fund Ltd, | | | | |
| | | Class A | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 28/02/2009 | TCF SPV |Quarterly | 90 | | 0.14% |
| | | Limited | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 30/01/2009 | Trafalgar |Quarterly | 90 | | 0.02% |
| | | Merchant | | | | |
| | | Fund | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 28/02/2009 | Trafalgar |Quarterly | 90 | | 1.41% |
| | | Recovery | | | | |
| | | Fund | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 30/11/2008 | Tykhe | Monthly | 30 | 0.03 | 0.00% |
| | | Portfolio | | | | |
| | | Ltd, Class | | | | |
| | | L | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Suspended/Restructuring | 28/02/2009 | Waterfall |Quarterly | 60 | 3%<12M | 1.91% |
| | | Eden Fund | | | | |
| | | Ltd. | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 31/08/2007 | West Side |Quarterly | 30 | 2.5%<12M | 0.05% |
| | | Offshore | | | | |
| | | Fund | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 21/10/2008 | Whitebox |Quarterly | 45 | 365D | 0.05% |
| | | Combined | | | | |
| | | Fund Ltd | | | | |
| | | Class G | | | | |
| | | 8-08 | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 21/10/2008 | Whitebox |Quarterly | 45 | | 0.22% |
| | | Combined | | | | |
| | | Fund, Class | | | | |
| | | A | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| Sidepocket/Liquidating | 21/10/2008 | Whitebox |Quarterly | 45 | 365D | 0.20% |
| | | Multistrategy | | | | |
| | | Fund Limited, | | | | |
| | | SPV | | | | |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
| | | | | | Total | 16.55% |
+-------------------------+----------------+----------------+-----------+-------------+----------------------+------------+
As at 31 December 2008
+-----------------+----------------+----------+-----+----------+-----------+-------------+---------+------------+
| Liquidity | Liquidity | Underlying Fund Name |Liquidity | Notice |Initial | % of NAV |
| Issue | Issue | | Terms | Period |Lock-Up | as at |
| |Implementation | | | For | Period |31/12/2008 |
| | Date | | |Redemptions | | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| Gate | 21/10/2008 | Aristeia International |Quarterly | 60 | N/A | 4.55% |
| | | Limited, Class 'B' | | | | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| Gate/SidePocket | 30/09/2008 |DKR Soundshore Oasis Fund | Yearly | 60 | 600 | 3.30% |
| | | | | | days | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| Gate | 30/11/2008 | DE Shaw Composite Fund |Quarterly | 90 | N/A | 4.62% |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| Liquidating | 31/10/2008 | Blue Mountain Cr Alt | Monthly | 90 | N/A | 2.79% |
| | | 11/2003* | | | | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| Liquidating | 30/09/2007 | New Ellington | Yearly | 90 | 365 | 0.46% |
| | | | | | days | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| Liquidating | 31/10/2008 | Oak Hill SPV |Quarterly | 60 | N/A | 0.00% |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| Liquidating | 30/09/2008 | Redbrick Capital | Monthly | 30 | 5% for | 2.44% |
| | | | | | 1 year | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| Liquidating | 30/11/2008 | Tykhe Portfolio, Class | Monthly | 30 | N/A | 0.02% |
| | | 'L' | | | | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| Liquidating | 31/08/2007 | West Side Offshore |Quarterly | 30 | 5% for | 1.72% |
| | | | | | 1 year | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| Liquidating | 21/10/2008 |Whitebox Combined Class G | Monthly | 30 | N/A | 1.13% |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| Restructuring | 30/06/2008 | Arche Fund Limited | Single | 120 | 365 | 0.95% |
| | | | | | days | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| Restructuring | 30/11/2008 | Ellington Overseas |Quarterly | 60 | N/A | 2.30% |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| Restructuring | 30/06/2008 | Halcyon Structured |Quarterly | 90 | 2% for | 1.99% |
| | | Opportunities | | | 12 | |
| | | | | |months, | |
| | | | | | 1.5% | |
| | | | | | for 15 | |
| | | | | |months, | |
| | | | | | 1% for | |
| | | | | | 18 | |
| | | | | |months, | |
| | | | | | 0.5% | |
| | | | | | for 24 | |
| | | | | | months | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| Restructuring | 30/12/2008 | Oak Hill Credit Alpha |Quarterly | 60 | 3% for | 3.57% |
| | | 01/01/4 | | | 1 year | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| Restructuring | 30/06/2008 | Sandelman Class B1 04B |Quarterly | 65 | 365 | 2.84% |
| | | Jul08 | | | days | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| Restructuring | 30/09/2008 | Sorin Offshore Fund, |Quarterly | 90 | 3% for | 3.09% |
| | | Class 'A' | | | 365 | |
| | | | | | days | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| SidePocket | 31/10/2008 | Canyon SPV | Yearly | 90 | 365 | 2.89% |
| | | | | | days | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| SidePocket | 31/03/2008 | Cheyne Special Situation |Quarterly | 30 | 180 | 0.45% |
| | | Runoff Class 'D3' | | | days | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| SidePocket | 30/12/2008 | Contrarian Fund Offshore | Yearly | 90 | 365 | 4.18% |
| | | | | | days | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| SidePocket | 30/09/2008 | DKR Soundshore Oasis | Yearly | 180 | 720 | 0.00% |
| | | Chestnut | | | days | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| SidePocket | 30/09/2008 | GoldenTree |Quarterly | 45 | 548 | 0.26% |
| | | | | | days | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| SidePocket | 30/06/2008 | Sandelman II, Class S |Quarterly | 65 | 365 | 0.95% |
| | | Series 1 | | | days | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| SidePocket | 31/01/2008 | D E Shaw Composite Side | Yearly | 0 | 1,825 | 0.32% |
| | | | | | days | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| SidePocket | 30/04/2007 | Shepherd Investment |Quarterly | 90 | 1,095 | 0.42% |
| | | International * | | | days | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| Suspended | 30/11/2008 | III Relative Value |Quarterly | 30 | N/A | 1.16% |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| Suspended | 31/08/2008 | Petra Offshore LP |Quarterly | 180 | 5% for | 0.12% |
| | | | | | 1 year | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| Suspended | 31/12/2008 | QVT Overseas Limited |Quarterly | 65 | 761 | 2.51% |
| | | | | | days | |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| Suspended | 21/10/2008 | Whitebox Combined | Monthly | 30 | N/A | 3.29% |
+-----------------+----------------+---------------------------+-----------+-------------+---------+------------+
| | | | | | | | Total | 52.32% |
+-----------------+----------------+----------+-----+----------+-----------+-------------+---------+------------+
| * Represents the portion of the investments held at 31 December 2008 that is |
| Liquidating/Sidepocketed |
+---------------------------------------------------------------------------------------------------------------+
| | | | | | | | | |
+-----------------+----------------+----------+-----+----------+-----------+-------------+---------+------------+
As set out in note 23, subsequent to the year end the managed winding down of
the Company was approved. Under the proposal approved by the shareholders, the
Company expects to realize its investments in accordance with the following
indicative timetable:
+----------------------------------------+--------------+
| | Cumulative |
| | percentage |
+----------------------------------------+--------------+
| | of entire |
| | portfolio |
+----------------------------------------+--------------+
| Realisation proceeds received by: | received by |
| | company |
+----------------------------------------+--------------+
| 31 March 2010 | 10-15 |
+----------------------------------------+--------------+
| 30 April 2010 | 45-50 |
+----------------------------------------+--------------+
| 31 July 2010 | 80-85 |
+----------------------------------------+--------------+
| 31 October 2010 | 80-85 |
+----------------------------------------+--------------+
| 31 January 2011 | 85-90 |
+----------------------------------------+--------------+
| After | 100 |
+----------------------------------------+--------------+
The following table details the Company's liquidity analysis for its financial
liabilities. The table has been drawn up based on the undiscounted net cash
flows on the financial liabilities that settle on a net basis and the
undiscounted gross cash flows on those financial liabilities that require gross
settlement.
+-----------------------+---------+--------+---------+---------+
| At 31 December 2009 | Less | | | |
| | than | | | |
+-----------------------+---------+--------+---------+---------+
| | 1 month | 1-3 | 3-12 | Total |
| | | months | months | |
+-----------------------+---------+--------+---------+---------+
| | GBP | GBP | GBP | GBP |
+-----------------------+---------+--------+---------+---------+
| Forward foreign | 178,143 | - | - | 178143 |
| currency contracts | | | | |
+-----------------------+---------+--------+---------+---------+
| Management fee | 25,378 | - | - | 25,378 |
| payable | | | | |
+-----------------------+---------+--------+---------+---------+
| Custodian fee payable | 1,675 | - | - | 1,675 |
+-----------------------+---------+--------+---------+---------+
| Audit fee payable | - | - | 33,422 | 33,422 |
+-----------------------+---------+--------+---------+---------+
| Admin fee payable | 18,904 | - | - | 18,904 |
+-----------------------+---------+--------+---------+---------+
| Directors fee payable | - | 21,452 | - | 21,452 |
+-----------------------+---------+--------+---------+---------+
| General expenses | - | 15,275 | - | 15,275 |
| payable | | | | |
+-----------------------+---------+--------+---------+---------+
| Loan interest payable | 67 | - | - | 67 |
+-----------------------+---------+--------+---------+---------+
| Legal and | - | - | 146,617 | 146,617 |
| Professional fees | | | | |
+-----------------------+---------+--------+---------+---------+
| | 224,167 | 36,727 | 180,039 | 440,933 |
+-----------------------+---------+--------+---------+---------+
+-----------------------+---------+--------+-----------+------------+
| At 31 December 2008 | Less | | | |
| | than | | | |
+-----------------------+---------+--------+-----------+------------+
| | 1 month | 1-3 | 3-12 | Total |
| | | months | months | |
+-----------------------+---------+--------+-----------+------------+
| | GBP | GBP | GBP | GBP |
+-----------------------+---------+--------+-----------+------------+
| Forward foreign | 592,920 | - | - | 592,920 |
| currency contracts | | | | |
+-----------------------+---------+--------+-----------+------------+
| Loans payable | - | - | 9,181,012 | 9,181,012 |
+-----------------------+---------+--------+-----------+------------+
| Management fee | 60,651 | - | - | 60,651 |
| payable | | | | |
+-----------------------+---------+--------+-----------+------------+
| Custodian fee payable | 3,033 | - | - | 3,033 |
+-----------------------+---------+--------+-----------+------------+
| Audit fee payable | - | - | 17,612 | 17,612 |
+-----------------------+---------+--------+-----------+------------+
| Admin fee payable | 18,750 | - | - | 18,750 |
+-----------------------+---------+--------+-----------+------------+
| Directors fee payable | - | 14,866 | - | 14,866 |
+-----------------------+---------+--------+-----------+------------+
| General expenses | - | 25,990 | - | 25,990 |
| payable | | | | |
+-----------------------+---------+--------+-----------+------------+
| Loan interest payable | 219,589 | - | - | 219,589 |
+-----------------------+---------+--------+-----------+------------+
| | 894,943 | 40,856 | 9,198,624 | 10,134,423 |
+-----------------------+---------+--------+-----------+------------+
Fair Value Hierarchy
The Company adopted the amendment to IFRS 7, effective 1 January 2009. This
requires the Company to classify its financial instruments in a fair value
hierarchy that reflects the significance of the inputs used in making the
measurements. IFRS 7 establishes a fair value hierarchy that prioritizes the
inputs to valuation techniques used to measure fair value. The hierarchy gives
the highest priority to unadjusted quoted prices in active markets for identical
assets or liabilities (Level 1 measurements) and the lowest priority to
unobservable inputs (Level 3 measurements). The three levels of the fair value
hierarchy under IFRS 7 are as follows:
· Level 1: quoted prices (unadjusted) in active markets 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 (i.e., derived from
prices)
· Level 3: inputs for the asset or liability that are not based on
observable market data (unobservable inputs)
The level in the fair value hierarchy within which the fair value measurement is
categorized in its entirety is determined on the basis of the lowest level input
that is significant to the fair value measurement in its entirety. For this
purpose, the significance of an input is assessed against the fair value
measurement in its entirety. If a fair value measurement uses observable inputs
that require significant adjustment based on unobservable inputs, that
measurement is a level 3 measurement. Assessing the significance of a particular
input to the fair value measurement in its entirety requires judgment,
considering factors specific to the asset or liability.
The determination of what constitutes 'observable' requires significant judgment
by the Company. The Company considers observable data to be that market data
that is readily available, regularly distributed or updated, reliable and
verifiable, not proprietary, and provided by independent sources that are
actively involved in the relevant market.
The following tables presents the Company's financial assets and liabilities by
level within the valuation hierarchy as of 31 December 2009.
+----------------------------+-------+------------+-----------+------------+
| Gottex Market Neutral Fund | Level | Level | Level | Total |
| | 1 | 2 | 3 | |
+----------------------------+-------+------------+-----------+------------+
| | GBP | GBP | GBP | GBP |
+----------------------------+-------+------------+-----------+------------+
| 31 December 2009 | | | | |
+----------------------------+-------+------------+-----------+------------+
| Financial assets | - | 28,707,651 | 6,536,910 | 35,244,561 |
| designated at fair value | | | | |
| through profit or loss | | | | |
+----------------------------+-------+------------+-----------+------------+
| Derivative financial | - | 1,965 | - | 1,965 |
| assets | | | | |
+----------------------------+-------+------------+-----------+------------+
| | - | 28,709,616 | 6,536,910 | 35,246,526 |
+----------------------------+-------+------------+-----------+------------+
| | | | | |
+----------------------------+-------+------------+-----------+------------+
| Financial liabilities | - | (178,143) | - | (178,143) |
| designated at fair value | | | | |
| through profit or loss | | | | |
+----------------------------+-------+------------+-----------+------------+
| | - | (178,413) | - | (178,143) |
+----------------------------+-------+------------+-----------+------------+
The Investee Funds held by the Company are not quoted in active markets.
The Investee Funds classified in Level 2 were fair valued using the net asset
value of the Investee Fund, as reported by the respective Investee Fund's
administrator. For these Investee Funds, Management believes the Fund could have
redeemed its investment at the net asset value per share at the statement of
financial position date.
Liquidity issues relating to certain Funds were resolved during 2009 enabling
transfers from level 3 to level 2 during the year. The following table presents
the transfers between levels for the year ended 31 December 2009s.
+-----------------------------------+---------+-----------+--------+
| | Level | Level | Total |
| | 2 | 3 | |
+-----------------------------------+---------+-----------+--------+
| | GBP | GBP | GBP |
+-----------------------------------+---------+-----------+--------+
| Transfers from level 3 to level 2 | 480,207 | (480,207) | - |
+-----------------------------------+---------+-----------+--------+
The following table presents movement in Level 3 for the period ended 31
December 2009.
+----------------------------------------------------+--------------+
| | Level 3 |
+----------------------------------------------------+--------------+
| Gottex Market Neutral Fund | GBP |
+----------------------------------------------------+--------------+
| Opening Value 31 December 2008 | 17,445,102 |
+----------------------------------------------------+--------------+
| Purchases | 3,252,476 |
+----------------------------------------------------+--------------+
| Sales | (10,896,092) |
+----------------------------------------------------+--------------+
| Transfers | (480,207) |
+----------------------------------------------------+--------------+
| Realised gains | 1,037,648 |
+----------------------------------------------------+--------------+
| Unrealised (losses) | (3,822,017) |
+----------------------------------------------------+--------------+
| Closing Value 31 December 2009 | 6,536,910 |
+----------------------------------------------------+--------------+
Gains or losses are included in statement of comprehensive income for assets
held at end of the year.
Level 3 is comprised of 32 Investee Funds which were fair valued with reference
to the net asset value as reported by the Investee Fund's administrator. As
detailed on pages 42 and 43, 28 of these 32 Funds have sidepockets, redemption
gates or other liquidity restrictions and amount to 15.61% of the net asset
value. The fair values of the remaining 4 Funds were adjusted to take into
account the restrictions applicable to them and amount to 0.94% of the net asset
value.
21. Capital Risk Management
The Investment Manager manages the capital of the Company in accordance with the
Company's investment objectives and policies. The Fund has no restrictions or
specific capital requirements on the subscriptions and redemptions of shares.
The Investment Manager reviews the capital structure on a monthly basis. It is
the Company's policy not to have any long-term or fixed stuctural gearing.
However, the Company may be indirectly exposed to gearing to the extent that the
underlying funds are themselves geared.
+-------------------------------------------+-------------+-------------+
| | 2009 | 2008 |
+-------------------------------------------+-------------+-------------+
| | GBP | GBP |
+-------------------------------------------+-------------+-------------+
| Borrowings | - | 9,181,012 |
+-------------------------------------------+-------------+-------------+
| Cash and bank balances | (2,639,366) | (6,658,329) |
+-------------------------------------------+-------------+-------------+
| Borrowings net of cash and bank balances | (2,639,366) | 2,522,683 |
+-------------------------------------------+-------------+-------------+
| | | |
+-------------------------------------------+-------------+-------------+
| Net assets attribute to holders of | 39,505,703 | 35,196,487 |
| ordinary shares | | |
+-------------------------------------------+-------------+-------------+
| | (0.07)% | 7.17% |
+-------------------------------------------+-------------+-------------+
22. Reconciliation of net asset value attributable to equity shareholders to the
published net asset value
+-------------------------------------------+------------+------------+
| | 2009 | 2008 |
+-------------------------------------------+------------+------------+
| As at 31 December 2009 | GBP | GBP |
+-------------------------------------------+------------+------------+
| Published net asset value | 39,505,703 | 35,818,924 |
+-------------------------------------------+------------+------------+
| Adjustments to net asset value relating | - | (622,437) |
| to final confirmed prices | | |
+-------------------------------------------+------------+------------+
| | 39,505,703 | 35,196,487 |
+-------------------------------------------+------------+------------+
| | | |
+-------------------------------------------+------------+------------+
| Published net asset value | 87.11p | 78.98p |
+-------------------------------------------+------------+------------+
| Adjustments to net asset value relating | - | (1.37p) |
| to final confirmed prices | | |
+-------------------------------------------+------------+------------+
| | 87.11p | 77.61p |
+-------------------------------------------+------------+------------+
These adjustments arise due to the use of estimate prices of the underlying
funds which are available at the time of valuation and the final prices which
are available when the financial statements are prepared.
23. Subsequent Events
At the Extraordinary General Meeting ("EGM") on 11 March 2010, a managed winding
down of the Company was approved. Up to March 2010 7.98% of the portfolio has
been realised.
The return of cash to Shareholders will be effected through the compulsory
redemptions of Shares at times determined by the Directors. In determining the
timing of such redemptions and the number of Shares to be redeemed, the
Directors will take into account, in particular, the amount of cash then
available for distribution and the costs associated with such redemption.
The Directors expect to make a first distribution of cash to Shareholders
following the receipt of proceeds from the redemptions placed by the Company for
31 December 2009 and 31 March 2010 which the Company currently anticipates
receiving by 30 April 2010. On this basis a first distribution to Shareholders
is expected to be made at the end of May 2010.
+---------------------------------+--+-------------------------+
| Management and Administration | | |
+---------------------------------+--+-------------------------+
| | | |
+---------------------------------+--+-------------------------+
| Directors | | |
+---------------------------------+--+-------------------------+
| Joan Beck (Chairman) | | Robert Sinclair |
+---------------------------------+--+-------------------------+
| Trafalgar Court, Les Banques, | | Trafalgar Court, Les |
| | | Banques, |
+---------------------------------+--+-------------------------+
| St Peter Port, Guernsey, | | St Peter Port, |
| | | Guernsey, |
+---------------------------------+--+-------------------------+
| Channel Islands, GY1 3QL. | | Channel Islands, GY1 |
| | | 3QL. |
+---------------------------------+--+-------------------------+
| | | |
+---------------------------------+--+-------------------------+
| Richard Hotchkis | | Nicholas Tostevin |
+---------------------------------+--+-------------------------+
| Trafalgar Court, Les Banques, | | Trafalgar Court, Les |
| | | Banques, |
+---------------------------------+--+-------------------------+
| St Peter Port, Guernsey, | | St Peter Port, |
| | | Guernsey, |
+---------------------------------+--+-------------------------+
| Channel Islands, GY1 3QL. | | Channel Islands, GY1 |
| | | 3QL. |
+---------------------------------+--+-------------------------+
| | | |
+---------------------------------+--+-------------------------+
| (All Directors are independent of | |
| the Investment Manager) | |
+------------------------------------+-------------------------+
| | | |
+---------------------------------+--+-------------------------+
| Investment Manager | | Registered Office |
+---------------------------------+--+-------------------------+
| Gottex Fund Management, Sarl | | Trafalgar Court, Les |
| | | Banques, |
+---------------------------------+--+-------------------------+
| Avenue de Rhodanie 48, | | St Peter Port, |
| | | Guernsey, |
+---------------------------------+--+-------------------------+
| 1007 Lausanne, | | Channel Islands, GY1 |
| | | 3QL. |
+---------------------------------+--+-------------------------+
| Switzerland. | | |
+---------------------------------+--+-------------------------+
| | | |
+---------------------------------+--+-------------------------+
| Administrator, Secretary and | | Custodian and Principal |
| Registrar | | Banker |
+---------------------------------+--+-------------------------+
| Northern Trust International | | Northern Trust |
| Fund | | (Guernsey) Limited |
+---------------------------------+--+-------------------------+
| Administration Services | | P.O Box 71, |
| (Guernsey) Limited, | | |
+---------------------------------+--+-------------------------+
| P.O Box 255, | | Trafalgar Court, Les |
| | | Banques, |
+---------------------------------+--+-------------------------+
| Trafalgar Court, Les Banques, | | St Peter Port, |
| | | Guernsey, |
+---------------------------------+--+-------------------------+
| St Peter Port, Guernsey, | | Channel Islands, GY1 |
| | | 3DA. |
+---------------------------------+--+-------------------------+
| Channel Islands, GY1 3QL. | | |
+---------------------------------+--+-------------------------+
| | | |
+---------------------------------+--+-------------------------+
| Guernsey Legal Advisors | | Auditors |
+---------------------------------+--+-------------------------+
| Ogier | | KPMG Channel Islands |
| | | Limited |
+---------------------------------+--+-------------------------+
| Ogier House, | | 20 New Street, |
+---------------------------------+--+-------------------------+
| St Julian's Avenue, | | St Peter Port, |
| | | Guernsey, |
+---------------------------------+--+-------------------------+
| St Peter Port, Guernsey, | | Channel Islands, GY1 |
| | | 4AN. |
+---------------------------------+--+-------------------------+
| Channel Islands, GY1 1WA. | | |
+---------------------------------+--+-------------------------+
| | | |
+---------------------------------+--+-------------------------+
| UK Legal Advisors | | |
+---------------------------------+--+-------------------------+
| Binghams LLP | | |
+---------------------------------+--+-------------------------+
| 41 Lothbury, | | |
+---------------------------------+--+-------------------------+
| London EC2R 7HF. | | |
+---------------------------------+--+-------------------------+
| | | |
+---------------------------------+--+-------------------------+
The Audited Report and Financial Statements of the Company will be mailed to
shareholders shortly and a copy will be posted on the Company's website.
This information is provided by RNS
The company news service from the London Stock Exchange
END
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