Replacement Annual Financial Report -29-
April 30 2010 - 11:47AM
UK Regulatory
| Interest | 1,200,933 | 2,846,921 | 1,079,064 | 2,223,882 |
| receivable | | | | |
+---------------+--------------------------------+--------------------------------+-------------------------------+-------------------------------+
| Securities | 35,198 | 35,198 | | |
| sold | | | - | - |
| receivable | | | | |
+---------------+--------------------------------+--------------------------------+-------------------------------+-------------------------------+
The change in fair value of the loans and receivables designated at fair value
through profit or loss attributable to changes in credit risk amounts to a loss
to the group of EUR19,993,442 (31 December 2008: EUR2,057,477). The estimate is
based on the change in the average bid of loans held in Gale Force 4 which
suffered credit rating changes by Moody's during the year, adjusted by the
change in the S&P LCD All Loans Index and the change in the average bid of the
CLO investments held which suffered credit rating changes by Moody's during the
year, adjusted for the average bid for similarly rated assets. There were 93
loans downgraded by S&P, 83 loans downgraded by Moody's, 62 loans upgraded by
S&P and 30 loans upgraded by Moody's. The average bid of the S&P LCD All Loans
Index increased by 41.48% during the year.
The change in fair value of the financial liabilities at fair value through
profit or loss, attributable to changes in credit risk amounts to a loss to the
Group of EUR72,149,881 (31 December 2008: EUR2,417,549).
There is no significant credit risk attached to cash and cash equivalents,
amounts due from brokers or derivative financial instruments.
The Company also quantifies the exposure to the credit risk of all financial
assets (excluding equities) by geographic region:
+----------------+-------------------------------------+------------------------------------+-------------------------------------+------------------------------+
| | Company | Consolidated | Company | Consolidated |
+----------------+-------------------------------------+------------------------------------+-------------------------------------+------------------------------+
| | 31 December 2009 | 31 December 2009 | 31 December 2008 | 31 December 2008 |
+----------------+-------------------------------------+------------------------------------+-------------------------------------+------------------------------+
| | EUR | EUR | EUR | EUR |
+----------------+-------------------------------------+------------------------------------+-------------------------------------+------------------------------+
| Cayman Islands | 26,773,769 | 19,972,262 | 35,742,592 | 24,310,051 |
+----------------+-------------------------------------+------------------------------------+-------------------------------------+------------------------------+
| United States | 6,317,458 | 260,878,039 | 16,660,306 | 208,113,832 |
+----------------+-------------------------------------+------------------------------------+-------------------------------------+------------------------------+
| Canada | - | 6,448,669 | - | 6,414,151 |
+----------------+-------------------------------------+------------------------------------+-------------------------------------+------------------------------+
| Ireland | 9,193,666 | 9,193,666 | 6,653,959 | 6,653,958 |
+----------------+-------------------------------------+------------------------------------+-------------------------------------+------------------------------+
| Luxembourg | - | - | 515,750 | 680,312 |
+----------------+-------------------------------------+------------------------------------+-------------------------------------+------------------------------+
| Netherlands | 5,845,609 | 7,872,100 | 5,379,992 | 5,379,992 |
+----------------+-------------------------------------+------------------------------------+-------------------------------------+------------------------------+
| Norway | - | 1,264,971 | - | 864,143 |
+----------------+-------------------------------------+------------------------------------+-------------------------------------+------------------------------+
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)
The table below summarises the Company's portfolio concentrations as of 31
December 2009 and 31 December 2008.
+--------------+--------+-----------+--------+------------------+
| | | Maximum | | |
| | |portfolio | | |
| | | holdings | | |
+--------------+--------+-----------+--------+------------------+
| | | of a | | Average |
| | | single | | portfolio |
| | | asset | | holdings |
+--------------+--------+-----------+--------+------------------+
| | | % of | | % of total |
| | | total | | portfolio |
| | |portfolio | | |
+--------------+--------+-----------+--------+------------------+
| | | | | |
+--------------+--------+-----------+--------+------------------+
| 31 December 2009 | 13.53% | | 2.07% |
| Company | | | |
+-----------------------+-----------+--------+------------------+
| 31 December 2009 | 12.83% | | 2.03% |
| Consolidated | | | |
+-----------------------+-----------+--------+------------------+
| 31 December 2008 | 18.86% | | 1.73% |
| Company | | | |
+-----------------------+-----------+--------+------------------+
| 31 December 2008 | 10.63% | | 1.39% |
| Consolidated | | | |
+--------------+--------+-----------+--------+------------------+
The Company's and group's portfolio is mostly invested in the equity tranches of
cash flow collateralised debt obligations that, by definition, are not rated
("NR") securities. The Company and group assesses the quality of NR assets
based on a fundamental analysis of the underlying loans in the respective
portfolios and the effect of the liabilities and terms and conditions determined
in the relevant CLO document in the expected cash flow allocation to the NR
tranche. The Company has invested in the following securities which are rated as
at 31 December 2009; Westbrook CLO which had a rating of A1 with Moodys and AA
with Standard and Poors; Apidos Quattro CDO which had a rating of A2 with Moodys
and AA- with Standard and Poors; Mountain View Funding CLO which had a rating of
A2 with Moodys and AA with Standard and Poors; Hyde Park CDO which had a rating
of Ba1 with Moodys and A- with Standard and Poors; Foxe Basin CLO which had a
rating of Ba2 with Moodys and A- with Standard and Poors; Leopard CLO which had
a rating of Baa1 with Moodys and AA with Standard and Poors; and Green Park CDO
which had a rating of Caa2 with Moodys and BB- with Standard and Poors. The
consolidated portfolio also contains Gale Force 4 loans.
The ratings of the consolidated portfolio are as follows:
+-------------+-----------------------------+-------------------------------+-------------------------------------+-------------------------------------+
| | Company | Consolidated | Company | Consolidated |
+-------------+-----------------------------+-------------------------------+-------------------------------------+-------------------------------------+
| | 31 | 31 | 31 December 2008 | 31 December 2008 |
| | December | December | | |
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