TIDMTRMA TIDMTRMU TIDMTTM
RNS Number : 8248S
Thames River Multi Hedge PCC Ltd
25 November 2011
THAMES RIVER MULTI HEDGE PCC LIMITED
INTERIM REPORTING
The Board of Directors of Thames River Multi Hedge PCC Limited
announces unaudited results for the six months ended 30 September
2011. These are extracts taken from the unaudited accounts for the
six months ended 30 September, approved by the Board of Directors
on 25 November 2011.
Chairman's report
I would like to welcome our investors to this interim report for
the period from 1 April to 30 September 2011. My report to you will
follow its usual format of a market context followed by a
performance analysis and a summary of key events for your Company
over the period.
Our new financial year began on a calm note as bonds, equities
and commodities rallied when the Federal Reserve made it very clear
that it had no imminent intention of raising interest rates and
would continue its quantitative easing programme until the end of
June. The ECB governor was forced to defend a 0.25% increase in
interest rates despite Eurozone inflation at 2.7% equalling US CPI.
The calm was short-lived however as Greece appeared increasingly
unlikely to be able to reduce its budget deficit to 7.6% of GDP as
required under terms of its bail-out. Standard and Poor's
downgraded Greece's debt once again and added to contagion fears by
placing Italy on negative outlook too. An enormous $11bn IPO of
Glencore marked the top of equity and commodity markets in May and
the Peoples' Bank of China increased their reserve requirements to
a record high as consumer price inflation and food price inflation
hit 5.5% and 11.7% respectively in June. The European bank stress
test results were released in July. Investors soon realised that
they were worthless as they ignored the possibility of a sovereign
default. Corporate activity slowed sharply given the uncertain
market backdrop and News Corp was forced to abandon its $12bn plan
to acquire BSkyB following a major scandal. Equity market
volatility increased in August as investors ignored the resolution
of the US budget crisis and focused on the lack of effective
leadership in Europe. The ECB intervened to purchase Spanish and
Italian government bonds as their 10-year yields surged above 6%
and the German DAX Index plunged by more than 20% intra-month.
Standard and Poor's soured sentiment even further by cutting the US
debt rating from AAA to AA+ for the first time in history, leading
to a sell-off in risk assets across the board. In September risk
assets again sold off sharply as the IMF slashed its global growth
forecast for the US, Europe and the UK to 1.5%, 1.6% and 1.1%
respectively. The UK service sector saw its sharpest contraction in
a decade and US job growth stagnated. The Fed announced "operation
twist", a strategy to reduce long-term borrowing costs by paying
down long-term debt using short-term borrowing. The German
Bundestag voted to approve an expansion of the European Financial
Stability Fund. There was also some evidence of de-leveraging as we
reached the end of our interim period as investors sold gold, which
fell by 11.4% and unwound dollar-financed carry trades causing the
dollar to rally sharply.
This interim reporting period has been one of the most difficult
periods for financial markets since the Lehman crisis in 2008. This
has been reflected in the HFRX Hedge Fund Index losing 8.8% and the
HFRI Fund of Funds Composite Index losing 6.0% over the review
period. The NAV of the underlying dollar portfolio of your Company
has fallen by 11.0% over this period. This is a disappointing
performance but is understandable given the fact that your
portfolio was, on average, 114.2% invested throughout the review
period and invested primarily in Equity Long / Short and Macro
managers whose portfolios suffered from extreme levels of
intra-month volatility as the European crisis intensified.
On a positive note, your Company has been extremely active in
repurchasing its shares as your Board feel that in a difficult
market climate this is one of the most effective ways of
controlling the discount while also delivering value to the
portfolio. Although your Board decided not to implement the
Redemption Facility, during the review period we repurchased
approximately 24% of the shares in issue, making us one of the most
active companies in the sector. As a result the share prices of our
respective currency classes have barely changed with a modest loss
of 0.42% for the Sterling class and gains of 0.90% and 3.5% for the
Euro and Dollar classes respectively. To implement this aggressive
buy-back programme, we needed to convene an additional EGM to renew
our buy-back authority and I am grateful for your support which
made this possible. I would also like to thank our broker for their
tireless efforts in implementing the buy-back programme.
We set out at the beginning of this financial year with the
intention of delivering a double-digit return to our shareholders
and your investment manager positioned the portfolio in hedge fund
strategies and managers with the highest expected returns to make
this happen. Unfortunately the escalation of the crisis in Europe
has thwarted the manager's best efforts and in view of this we are
now actively consulting with our shareholders to organise the
substantial liquidity event which the Board promised in the event
of your Company failing to deliver a double digit return. Your
portfolio is well positioned to benefit from any rebound in asset
markets and/or the emergence of a more rational value-seeking
environment and this was demonstrated in a substantial NAV uplift
just after the end of the review period in October.
William Backhouse
25 November 2011
Balance Sheet
As at 30 September 2011
September March
2011 2011
US$000's US$000's
Current assets
Financial assets at fair value
through profit or loss 274,943 359,566
Debtors 505 19,613
Margin cash 2,691 4,916
Cash 24,329 16,972
Total assets 302,468 401,067
--------------------- --------------------
Current liabilities
Financial liabilities at fair
value through profit or loss (4,794) (2,839)
Creditors (5,103) (3,949)
Bank borrowings (83,000) (60,000)
Total liabilities (92,897) (66,788)
--------------------- --------------------
Total net assets 209,571 334,279
===================== ====================
Capital and revenue attributable
to the Fund's equity holders
Share capital - -
Share premium & other
distributable
reserves 409,522 490,018
Retained earnings (199,951) (155,739)
Total equity 209,571 334,279
===================== ====================
Shares in issue
Sterling shares 97,449,973 135,112,990
Euro shares 1,751,857 2,339,921
Dollar shares 9,681,001 12,339,368
Net asset value per share
Sterling shares GBP1.2930 GBP1.4536
Euro shares EUR1.1756 EUR1.3212
Dollar shares $1.0869 $1.2211
Statement of
Changes in
Equity
For the six months ended 30
September
2011
Share Premium
& September
Share Other Distributable Retained 2011
Capital Reserves Earnings Total
US$000's US$000's US$000's US$000's
Management
Shares - - - -
================ ============================= ==================== =====================
Sterling
Shares
Opening
balance 1
April
2011 - 465,847 (151,023) 314,824
Purchase of
shares for
cancellation - (77,465) - (77,465)
Switches - 852 - 852
Net loss for
the period - - (41,916) (41,916)
---------------------
Closing
balance 30
September
2011 - 389,234 (192,939) 196,295
================ ============================= ==================== =====================
Euro Shares
Opening
balance 1
April
2011 - 2,837 1,550 4,387
Purchase of
shares for
cancellation - (556) - (556)
Switches - (440) - (440)
Net loss for
the period - - (637) (637)
---------------------
Closing
balance 30
September
2011 - 1,841 913 2,754
================ ============================= ==================== =====================
Dollar Shares
Opening
balance 1
April
2011 - 21,334 (6,266) 15,068
Purchase of
shares for
cancellation - (2,475) - (2,475)
Switches - (412) - (412)
Net loss for
the period - - (1,659) (1,659)
Closing
balance 30
September
2011 - 18,447 (7,925) 10,522
================ ============================= ==================== =====================
Total
Opening
balance 1
April
2011 - 490,018 (155,739) 334,279
Purchase of
shares for
cancellation - (80,496) - (80,496)
Switches - - - -
Net loss for
the period - - (44,212) (44,212)
Closing
balance 30
September
2011 - 409,522 (199,951) 209,571
================ ============================= ==================== =====================
Statement of
Changes in
Equity
For the year
ended 31
March 2011
Share Premium
& March
Share Other Distributable Retained 2011
Capital Reserves Earnings Total
US$000's US$000's US$000's US$000's
Management
Shares - - - -
================ ============================= ==================== =====================
Sterling
Shares
Opening
balance 1
April
2010 - 558,257 (165,094) 393,163
Redemption of
shares - (37,447) - (37,447)
Purchase of
shares into
treasury - (30,893) - (30,893)
Purchase of
shares for
cancellation - (32,453) - (32,453)
Switches - 8,383 - 8,383
Net gain for
the year - - 14,071 14,071
---------------------
Closing
balance 31
March
2011 - 465,847 (151,023) 314,824
================ ============================= ==================== =====================
Euro Shares
Opening
balance 1
April
2010 - 9,402 1,357 10,759
Redemption of
shares - (459) - (459)
Purchase of
shares into
treasury - (365) - (365)
Switches - (5,741) - (5,741)
Net gain for
the year - - 193 193
---------------------
Closing
balance 31
March
2011 - 2,837 1,550 4,387
================ ============================= ==================== =====================
Dollar Shares
Opening
balance 1
April
2010 - 29,035 (6,031) 23,004
Redemption of
shares - (1,738) - (1,738)
Purchase of
shares into
treasury - (1,542) - (1,542)
Purchase of
shares for
cancellation - (1,779) - (1,779)
Switches - (2,642) - (2,642)
Net loss for
the year - - (235) (235)
Closing
balance 31
March
2011 - 21,334 (6,266) 15,068
================ ============================= ==================== =====================
Total
Opening
balance 1
April
2010 - 596,694 (169,768) 426,926
Redemption of
shares - (39,644) - (39,644)
Purchase of
shares into
treasury - (32,800) - (32,800)
Purchase of
shares for
cancellation - (34,232) - (34,232)
Switches - - - -
Net gain for
the year - - 14,029 14,029
Closing
balance 31
March
2011 - 490,018 (155,739) 334,279
================ ============================= ==================== =====================
Income Statement
For the six months ended 30
September
2011
6 months 6 months
to to
Sept 2011 Sept 2010
US$000's US$000's
Revenue
Other income 188 -
Net (loss)/gain on financial
assets
and liabilities at fair value
through profit or loss (40,798) 7,682
Total investment
(expense)/income (40,610) 7,682
----------------- -----------------
Expenses
Management fees 2,138 2,824
Administration fee 140 187
Directors' fees 86 87
Custody fees 83 90
Directors' and Officers'
Insurance 37 37
General expenses 36 38
Total operating expenses 2,520 3,263
----------------- -----------------
Operating (loss)/profit (43,130) 4,419
Finance costs - interest expense (1,082) (934)
Net (loss)/gain for the period
attributable
to the Fund's equity holders (44,212) 3,485
================= =================
September 2011
Sterling Euro US Dollar
Earnings per share Shares Shares Shares
Net loss attributable to the
Fund's
equity holders (US$000's) (41,916) (637) (1,659)
Number of shares in issue
(weighted
average in the period) 116,405,151 1,985,693 10,609,155
Basic earnings per share
(expressed
in US$ per share) (36.01)c (32.08)c (15.64)c
Basic earnings per share in
share
class currency (22.17)p (22.42)c (15.64)c
September 2010
Sterling Euro US Dollar
Earnings per share Shares Shares Shares
Net gain/(loss) attributable to
the
Fund's equity holders
(US$000's) 4,002 (48) (469)
Number of shares in issue
(weighted
average in the period) 174,521,338 6,022,076 16,680,031
Basic earnings per share
(expressed
in US$ per share) 2.29c (0.80)c (2.81)c
Basic earnings per share in
share
class currency 1.50p (0.61)c (2.81)c
Cashflow Statement
For the six months ended 30 September
2011
6 months 6 months
to to
Sept 2011 Sept 2010
US$000's US$000's
Cash flows from operating activities
Purchase of financial assets and settlement
of financial liabilities (58,966) (39,789)
Proceeds from sale of financial assets
at fair value through
profit or loss and forward foreign currency
contracts 123,716 92,371
Movements in margin accounts 2,225 5,922
Other operating expenses (2,054) (937)
Interest received 2 -
Net cash inflow from operating activities 64,923 57,567
-------------------- -------------------
Cash flows from financing activities
Interest paid (6) (2,291)
Proceeds from participating shares issued - -
Redemption of participating shares (80,496) (29,082)
Net cash outflow from financing activities (80,502) (31,373)
-------------------- -------------------
Net (decrease)/increase in cash and
cash equivalents (15,579) 26,194
Cash and cash equivalents at the start
of the period (43,028) (19,239)
Exchange loss on cash and cash equivalents (64) (345)
Cash and cash equivalents at the end
of the period (58,671) 6,610
==================== ===================
Cash at the end of the period is comprised
of:
Cash at bank 24,329 31,610
Bank borrowings (83,000) (25,000)
(58,671) 6,610
==================== ===================
This information is provided by RNS
The company news service from the London Stock Exchange
END
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