Replacement Annual Financial Report -28-
April 30 2010 - 11:47AM
UK Regulatory
| IG | | | | | |
+---------+--------+------------------------------+-----------+-----------------------------+-----------+
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 31 December 2009
14. RISK ASSOCIATED WITH FINANCIAL INSTRUMENTS (continued)
14.1. Market risk (continued)
Concentration of index price risk
The table below analyses the Company's concentration of index price risk by
subsector in the secured loan asset class, including investment in subsidiary
(represented above by the iTraxx LEVX and CDX LCDX indices).
+-----------------------------------------+------------+------------+
| | Financial | Financial |
| | assets | assets |
+-----------------------------------------+------------+------------+
| | 31 | 31 |
| | December | December |
| | 2009 | 2008 |
+-----------------------------------------+------------+------------+
| By asset class: | EUR | EUR |
+-----------------------------------------+------------+------------+
| Broadly syndicated sub-investment grade | 10,684,421 | 10,674,117 |
| secured loans - Europe | | |
+-----------------------------------------+------------+------------+
| Broadly syndicated sub-investment grade | 29,538,296 | 34,941,182 |
| secured loans - North America | | |
+-----------------------------------------+------------+------------+
| Middle market secured loans - North | 457,061 | 2,329,195 |
| America | | |
+-----------------------------------------+------------+------------+
| Other | 7,450,724 | 1,875,584 |
+-----------------------------------------+------------+------------+
| Term deposits | | 15,527,145 |
| | - | |
+-----------------------------------------+------------+------------+
| | 48,130,502 | 65,347,223 |
+-----------------------------------------+------------+------------+
| | | |
+-----------------------------------------+------------+------------+
The table below analyses the Company's and group's concentration of market price
risk by geographical area.
+----------------+------------------------+------------------------+------------------------+-------------------------+
| | Company | Consolidated | Company | Consolidated |
+----------------+------------------------+------------------------+------------------------+-------------------------+
| | financial | financial | financial | financial |
| | assets at | assets at | assets at | assets at |
| | market | market | market | market |
| | value | value | value | value |
+----------------+------------------------+------------------------+------------------------+-------------------------+
| | 31 | 31 | 31 | 31 |
| | December | December | December | December |
| | 2009 | 2009 | 2008 | 2008 |
+----------------+------------------------+------------------------+------------------------+-------------------------+
| | EUR | EUR | EUR | EUR |
+----------------+------------------------+------------------------+------------------------+-------------------------+
| Europe | 15,310,415 | 18,601,876 | 12,549,701 | 18,529,351 |
+----------------+------------------------+------------------------+------------------------+-------------------------+
| North America | 32,820,087 | 287,027,830 | 52,797,522 | 7,646,606 |
+----------------+------------------------+------------------------+------------------------+-------------------------+
| | 48,130,502 | 305,629,706 | 65,347,223 | 26,175,957 |
+----------------+------------------------+------------------------+------------------------+-------------------------+
| | | | | |
+----------------+------------------------+------------------------+------------------------+-------------------------+
14.2. Credit risk
Credit risk is the risk that one party to a financial instrument will cause a
financial loss for the other party by failing to discharge an obligation. It is
the Company's policy to enter into financial instruments with a range of
reputable counterparties. Therefore, the Company does not expect to incur
material credit losses on its financial instruments.
The table below analyses the Company's maximum credit exposure to credit risk
for the components of the statement of financial position, including derivative
financial instruments.
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 31 December 2009
14. RISK ASSOCIATED WITH FINANCIAL INSTRUMENTS (continued)
14.2. Credit risk (continued)
+---------------+--------------------------------+--------------------------------+-------------------------------+-------------------------------+
| | Company | Consolidated | Company | Consolidated |
+---------------+--------------------------------+--------------------------------+-------------------------------+-------------------------------+
| | 31 | 31 | 31 | 31 |
| | December | December | December | December |
| | 2009 | 2009 | 2008 | 2008 |
+---------------+--------------------------------+--------------------------------+-------------------------------+-------------------------------+
| | EUR | EUR | EUR | EUR |
+---------------+--------------------------------+--------------------------------+-------------------------------+-------------------------------+
| Cash and cash | 8,293,739 | 21,950,213 | 162,243 | 8,146,587 |
| equivalents | | | | |
+---------------+--------------------------------+--------------------------------+-------------------------------+-------------------------------+
| Amounts due | 909,377 | 909,377 | 909,377 | 909,377 |
| from brokers | | | | |
+---------------+--------------------------------+--------------------------------+-------------------------------+-------------------------------+
| Investments | 40,270,580 | 305,629,706 | 52,641,385 | 252,416,439 |
| at fair value | | | | |
+---------------+--------------------------------+--------------------------------+-------------------------------+-------------------------------+
| Investments | 7,859,922 | | 12,311,214 | |
| in | | - | | - |
| subsidiaries | | | | |
+---------------+--------------------------------+--------------------------------+-------------------------------+-------------------------------+
| Derivative | 399,699 | 399,699 | 680,057 | 680,057 |
| financial | | | | |
| instruments | | | | |
+---------------+--------------------------------+--------------------------------+-------------------------------+-------------------------------+
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