TIDMCEAF
RNS Number : 4135Z
Close European Accelerated Fund Ltd
21 September 2009
CLOSE EUROPEAN ACCELERATED FUND LIMITED
PRELIMINARY ANNOUNCEMENT OF ANNUAL RESULTS
The directors announce the statement of results for the year ended 30 June 2009
as follows:-
About the Company
Close European Accelerated Fund Limited (the "Company") is a Guernsey
incorporated, closed-ended investment company. With the exception of two
Management Shares issued for administrative reasons, the Company's issued share
capital comprises 39,550,000 Participating Shares (the "Shares") the performance
of which is designed to provide investors with a geared capped exposure to the
performance of the Dow Jones EuroStoxx 50 Index (the "Index").
Pursuant to the initial placing and offer for subscription, 36,000,000 Shares
were issued at a price of 100p each on 27 July 2005. A further 3,550,000 Shares
were issued at a price of 107.5p each on 21 September 2006.All 39,550,000 Shares
in issue rank pari passu, have been admitted to the Official List of the United
Kingdom Listing Authority and admitted to trading on the London Stock Exchange.
The Company has an unlimited life but the Shares will be redeemed on or around
29 July 2011 (the "Redemption Date").
Investment Objective and Policy
The investment objective of the Company is to provide shareholders on the
Redemption Date with a payment per Share which will comprise a capital amount of
100p per Share and a growth amount per Share equal to five times any percentage
increase in the value of the Index (the "End Value") as at 26 July 2011 (the
"End Date") relative to its value (the "Start Value") as at 26 July 2005 (the
"Start Date"), such amount being expressed in pence and rounded down to the next
half pence, subject to a maximum increase of 67.5 per cent of the issue price of
100 pence per Share.
If the End Value is lower than the Start Value, the Shares are designed to repay
the full initial subscription amount of 100p per Share on the Redemption Date
provided that the value of the Index has not fallen below 50 per cent. of the
Start Value at close of business on any Index business day between the Start
Date and the End Date (both dates inclusive).
If the value of the Index has fallen below 50 per cent of the Start Value at
close of business on any Index business day between the Start Date and the End
Date and the End Value is not at least equal to the Start Value, shareholders
will be repaid the issue price of 100 pence per Share as reduced by the same
percentage by which the End Value is less than the Start Value.
In accordance with the Company's investment policy, the net proceeds derived by
the Company from the issue of Shares and the sale of a Put option have been
invested in a portfolio of debt securities containing embedded derivatives
related to the Index at prices relative to the value of the Index on 26 July
2005 of 3,302.98. Therefore, if the Dow Jones EuroStoxx 50 Index rises 13.5% or
more from its Start Value of 3,302.98 on the Start Date, which equates to a
level of 3,748.88 or higher as at the End Date, the Shares are designed to
return growth of 67.5% on the Redemption Date. The final return is subject to
there being no counterparty default or any unforeseen circumstances.
As published in all of the annual and half-yearly financial reports of the
Company and as announced on 8 October 2008, the Company currently holds seven
debt securities, including one issued by Glitnir Banki HF ("Glitnir") and one
issued by Kaupthing Bundarbanki Bank HF ("Kaupthing"). These two debt
securities account for approximately 30 per cent of the total nominal value of
the Company's debt securities. Following the Icelandic authorities' decision to
place Glitnir and Kaupthing into receivership, the Board of the Company
considers it likely that they may not pay in full on their obligations. Whilst
recovery rates from issuers that default vary, and in this case are currently
unknown, the worst case scenario would see the Company receive nothing at the
maturity of the relevant debt security.
Given the recent collapse of various financial institutions around the world,
including Glitnir and Kaupthing, and the intervention of various governments, it
is worth commenting on the assets held by the Company. Your attention is drawn
to the Schedule of Investments which show the assets held by the Company, and
note 12 (b) to the financial statements, which refers to the credit risk of the
issuers of these assets as at the end of the reporting period and as at the date
of this report.
In the event of a default by an issuer of a debt security purchased by the
Company, the Company would rank as an unsecured creditor in respect of sums due
from the issuer of such debt security. In such event, the Company may (in
respect of that debt security) receive a lesser amount (if anything) and at a
different time than the proceeds anticipated at the maturity of the relevant
debt security. Any losses would be borne by the Company and returns to
Shareholders would be significantly adversely affected.
CHAIRMAN'S STATEMENT FOR THE YEAR ENDED 30 JUNE 2009
In order to fulfil its investment objective, the Company purchased seven Debt
Securities, including one issued by Glitnir and one issued by Kaupthing. These
latter two Debt Securities account for approximately 30 per cent of the total
nominal value of the Company's Debt Securities. In the event of a default by an
issuer of a Debt Security purchased by the Company, the Company will rank as an
unsecured creditor in respect of sums due from the issuer of such Debt Security.
In such event, the Company may (in respect of that Debt Security) receive a
lesser amount of money than the amount due pursuant to the terms of the Debt
Security, may actually receive the money at a different time than would
otherwise have been the case and the amount received may be zero. Any losses
will be borne by the Company and returns to Shareholders would be significantly
adversely affected.
As a result of Glitnir's and Kaupthing's reported failure to make payments due
on other outstanding debt obligations, the Board of the Company considers it
likely that they may not pay in full on their obligations. Whilst recovery rates
from issuers that default vary, and in this case are currently unknown, the
worst case scenario would see the Company receive nothing from either
institution at the maturity of the relevant Debt Securities.
If the Dow Jones EuroStoxx 50 Index (the "Index") has closed down more than 50
per cent from its Start Value (i.e. below 1,651.49) on any Index Business Day
between the Start Date and the End Date then an Index Barrier Breach will have
occurred. In these circumstances, the amount which the Company will be required
to pay following the Index Barrier Breach will reduce its assets by an amount
which reflects the decline, if any, in the Index between the Start Date and the
End Date.
The official closing level of the Dow Jones EuroStoxx 50 Index as at 30 June
2009 was 2,401.69. If the Index closed at this level on the End Date and an
Index Barrier Breach has not occurred, the Final Capital Entitlement would be
100 pence subject to there being no counterparty default or any unforeseen
circumstances, and in the event of both Glitnir and Kaupthing defaulting and
having a zero recovery rate and there being no insolvency of any other issuer of
Debt Securities held by the Company or any
other event of default or any unforeseen circumstances, the Final Capital
Entitlement would be approximately 69.5 pence, and if the Index were to fall by
approximately a further 58 per cent to a level of approximately 1,002 as at the
End Date, the Final Capital Entitlement of the Shares would be zero.
The table below illustrates how the Final Capital Entitlement of the Shares
might vary for different ending levels of the Dow Jones EuroStoxx 50 Index (1)
subject to there being no counterparty default or any unforeseen circumstances,
and (2) on the assumption of zero recovery in the event of default of the Debt
Securities issued by Glitnir and Kaupthing and there being no insolvency of any
other issuer of Debt Securities held by the Company or any other event of
default or any unforeseen circumstances.
+----------------+---------------+---------------+---------------+---------------+
| | If Dow Jones EuroStoxx 50 | If Dow Jones EuroStoxx 50 |
+----------------+-------------------------------+-------------------------------+
| | Index never closes below | Index closed below 1,651.49+ |
| | 1,651.49+ | |
+----------------+-------------------------------+-------------------------------+
| Final | Final Capital | Final Capital | Final Capital | Final Capital |
| EuroStoxx | | | | |
+----------------+---------------+---------------+---------------+---------------+
| 50 Index* | Entitlement | Entitlement | Entitlement | Entitlement |
| | (1) | (2) | (1) | (2) |
+----------------+---------------+---------------+---------------+---------------+
| 0 | | | 0.0 | 0.0 |
+----------------+---------------+---------------+---------------+---------------+
| 100 | | | 3.0 | 0.0 |
+----------------+---------------+---------------+---------------+---------------+
| 200 | | | 6.0 | 0.0 |
+----------------+---------------+---------------+---------------+---------------+
| 300 | | | 9.0 | 0.0 |
+----------------+---------------+---------------+---------------+---------------+
| 400 | | | 12.0 | 0.0 |
+----------------+---------------+---------------+---------------+---------------+
| 500 | | | 15.0 | 0.0 |
+----------------+---------------+---------------+---------------+---------------+
| 600 | | | 18.0 | 0.0 |
+----------------+---------------+---------------+---------------+---------------+
| 700 | | | 21.0 | 0.0 |
+----------------+---------------+---------------+---------------+---------------+
| 800 | | | 24.0 | 0.0 |
+----------------+---------------+---------------+---------------+---------------+
| 900 | | | 27.0 | 0.0 |
+----------------+---------------+---------------+---------------+---------------+
| 1,000 | | | 30.0 | 0.0 |
+----------------+---------------+---------------+---------------+---------------+
| 1,100 | | | 33.0 | 2.5 |
+----------------+---------------+---------------+---------------+---------------+
| 1,200 | | | 36.0 | 5.5 |
+----------------+---------------+---------------+---------------+---------------+
| 1,300 | | | 39.0 | 9.0 |
+----------------+---------------+---------------+---------------+---------------+
| 1,400 | | | 42.0 | 12.0 |
+----------------+---------------+---------------+---------------+---------------+
| 1,500 | | | 45.0 | 15.0 |
+----------------+---------------+---------------+---------------+---------------+
| 1,600 | | | 48.0 | 18.0 |
+----------------+---------------+---------------+---------------+---------------+
| 1,700 | 100.0 | 69.5 | 51.0 | 21.0 |
+----------------+---------------+---------------+---------------+---------------+
| 1,800 | 100.0 | 69.5 | 54.0 | 24.0 |
+----------------+---------------+---------------+---------------+---------------+
| 1,900 | 100.0 | 69.5 | 57.5 | 27.0 |
+----------------+---------------+---------------+---------------+---------------+
| 2,000 | 100.0 | 69.5 | 60.5 | 30.0 |
+----------------+---------------+---------------+---------------+---------------+
| 2,100 | 100.0 | 69.5 | 63.5 | 33.0 |
+----------------+---------------+---------------+---------------+---------------+
| 2,200 | 100.0 | 69.5 | 66.5 | 36.0 |
+----------------+---------------+---------------+---------------+---------------+
| 2,300 | 100.0 | 69.5 | 69.5 | 39.0 |
+----------------+---------------+---------------+---------------+---------------+
| 2,400 | 100.0 | 69.5 | 72.5 | 42.0 |
+----------------+---------------+---------------+---------------+---------------+
| 2,500 | 100.0 | 69.5 | 75.5 | 45.0 |
+----------------+---------------+---------------+---------------+---------------+
| 2,600 | 100.0 | 69.5 | 78.5 | 48.0 |
+----------------+---------------+---------------+---------------+---------------+
| 2,700 | 100.0 | 69.5 | 81.5 | 51.0 |
+----------------+---------------+---------------+---------------+---------------+
| 2,800 | 100.0 | 69.5 | 84.5 | 54.0 |
+----------------+---------------+---------------+---------------+---------------+
| 2,900 | 100.0 | 69.5 | 87.5 | 57.0 |
+----------------+---------------+---------------+---------------+---------------+
| 3,000 | 100.0 | 69.5 | 90.5 | 60.0 |
+----------------+---------------+---------------+---------------+---------------+
| 3,100 | 100.0 | 69.5 | 93.5 | 63.5 |
+----------------+---------------+---------------+---------------+---------------+
| 3,200 | 100.0 | 69.5 | 96.5 | 66.5 |
+----------------+---------------+---------------+---------------+---------------+
| 3,300 | 100.0 | 69.5 | 99.5 | 69.5 |
+----------------+---------------+---------------+---------------+---------------+
| 3,400 | 114.5 | 79.5 | 114.5 | 79.5 |
+----------------+---------------+---------------+---------------+---------------+
| 3,500 | 129.5 | 90.0 | 129.5 | 90.0 |
+----------------+---------------+---------------+---------------+---------------+
| 3,600 | 144.5 | 100.5 | 144.5 | 100.5 |
+----------------+---------------+---------------+---------------+---------------+
| 3,700 | 160.0 | 111.5 | 160.0 | 111.5 |
+----------------+---------------+---------------+---------------+---------------+
| 3,800 | 167.5 | 116.5 | 167.5 | 116.5 |
+----------------+---------------+---------------+---------------+---------------+
| 3,900 | 167.5 | 116.5 | 167.5 | 116.5 |
+----------------+---------------+---------------+---------------+---------------+
* As at 26 July 2011
+ On any day from 26 July 2005 to 26 July 2011
(1) Subject to there being no counterparty default or any unforeseen
circumstances
(2) The table contemplates default and zero recovery in respect of the Debt
Securities issued by Glitnir and Kaupthing. The Final Capital Entitlement set
out in this table is an example only and not a forecast of actual payments and
is subject to there being no insolvency of any other issuer of Debt Securities
held by the Company or any other event of default or any unforeseen
circumstances. The attention of shareholders is drawn to the section headed
"Risk Factors" in the Prospectus.
Since the financial year end, the rally in financial markets has continued as
central banks around the world kept interest rates close to zero and a range of
data pointed towards a sustained economic recovery, with Germany and France both
recently emerging from recession. From its March low the Index has now climbed
by a remarkable 56.4%
The Dow Jones EuroStoxx 50 closed at 2831.37 on 11 September 2009, a rise of
17.9% since the financial year end on 30 June 2009. I am pleased to report the
Company's shares, by comparison, rose 32.9% over the same period as fears of an
Index Barrier Breach abated, although they remain at a discount to the potential
Final Capital Entitlement based on the Index closing at this level on the End
Date.
Talmai Morgan
18 September
MANAGER'S REPORT FOR YEAR ENDED 30 JUNE 2009
Market Review
Over the period under review, the Dow Jones EuroStoxx 50 Index fell by 28.4% as
the credit crunch that started in the summer of 2007 turned into a global
financial crisis, causing many financial institutions to collapse or have to be
rescued by governments and prompting investors to pare back risk by selling down
their equity exposure. Expectations of a severe economic downturn also pushed
equity valuations lower, as companies forecast falling sales.
The first two months of the period saw the Index drifting as concerns started to
mount over the size of the expected impending recession. The collapse of US
investment bank Lehman Brothers in September, following the US government
bail-out of mortgage providers Freddie Mac and Fannie Mae, was the catalyst for
a marked increase in volatility over the rest of the period.
This led to further downward pressure on share prices, threatening many
seemingly sound financial companies. As the systemic risks became clear,
governments around the world stepped in with a variety of comprehensive plans
designed to shore up the financial system. Whilst these plans were successful in
reducing the systemic risk, share prices continued to fall as the economic
impact of the deleveraging now taking place was factored in.
The Index rallied somewhat heading into the New Year as concerns about the depth
of the recession were weighed against the unprecedented scale of global policy
stimulus now underway. The rally proved short-lived, however, and the Index
plummeted over the next two months to its low of the financial year as the depth
of the recession became apparent, with export dependent countries such as
Germany particularly vulnerable. From its low the Index then climbed by a third
amid signs that the pace of economic decline had eased and the worst of the
recession might already be over. Speculation that a recovery, if not yet
underway, could begin by the end of 2009 further helped to boost sentiment.
The decline in the Index over the last financial year was broad-based with just
4 of the 50 constituents rising. The falls were led by the financial sector with
basic materials, energy and utility stocks also falling heavily as commodity
prices collapsed. The biggest boost to the Index came from Volkswagen which rose
32% after Porsche raised its stake to 50.8% at the start of 2009 and purchased
options on a further 20%.
The European Central Bank ("ECB") raised rates by 0.25% to 4.25% in July 2008 as
inflation fears continued to dominate its thinking with the Consumer Price Index
(CPI) persistently above its target. As commodity prices plunged and the full
impact of the financial crisis became apparent, the ECB changed tack, slashing
rates from 4.25% to 1.0% in seven steps between October 2008 and May 2009. In
contrast to the recent market optimism, the ECB has forecast that GDP will fall
by up to 5.1 per cent this year and a further 1 per cent in 2010.
Market Outlook
There seems to be growing optimism that the worst of the recession could be
over, with the ECB noting that although economic activity over the remainder of
2009 is likely to remain weak, it should decline less strongly than was the case
in the first quarter of 2009, and a gradual recovery with positive quarterly
growth by mid-2010 is expected. Inflation, which had remained stubbornly above
the ECB's 2% ceiling, has now turned negative, primarily due to the large fall
in global commodity prices but, as the base effects drop out, is expected to
return to a level close to target in the medium to longer term. With inflation
so low, there is further scope for lower interest rates although, with rates
already at historic lows, the ECB appears reluctant to cut further, instead
concentrating on ensuring banks have access to ample liquidity.
Close Investments
18 September 2009
MANAGEMENT REPORT FOR THE YEAR ENDED 30 JUNE 2009
Detailed in the section entitled "Investment Objective and Policy", in the
Manager's Report, the Chairman's Statement and in the notes to the financial
statements are a description of important events that have occurred during the
financial year, their impact on the performance of the Company as shown in the
financial statements and a description of the principal risks and uncertainties
facing the Company.
There were no material related party transactions which took place in the
financial year other than those disclosed in note 13..
Going Concern
The performance of the investments held by the Company over the reporting period
and the outlook for the future are described in the Manager's Report. The
Company's financial position, its cash flows and liquidity position are set out
in the financial statements and the Company's financial risk management
objectives and policies, details of its financial instruments and its exposures
to market price risk, credit risk, liquidity risk, portfolio construction risk
and interest rate risk are set out at note 12 to the financial statements.
As highlighted in the section entitled "Investment Objective and Policy", the
Manager's Report and notes 1(k), 5 and 12(d) to the financial statements, during
the period under review, the issuers of two of the debt securities, being
Glitnir and Kaupthing , suffered severe financial difficulties. As such, the
values of the debt instruments issued by Glitnir and Kaupthing cannot be
ascertained with any degree of certainty. Although at the time of writing the
situation remains unclear, the Manager and Board of directors consider it likely
that Glitnir and Kaupthing may not pay in full on their obligations and in the
worst case scenario may pay nothing at all.
As disclosed in the section entitled "Investment Objective and Policy", the
notes to the financial statements and the schedule of investments, the Company
has sold a Put option to J.P. Morgan Securities Limited (the "Put Option
Counterparty"). The performance of the Put option is linked to the performance
of the Dow Jones Euro Stoxx 50 Index. At an Index value of 3,302.98 or above at
the close of business on 26 July 2011, or if the Index has never closed below
1,651.49 during the calculation period from 26 July 2005 to 26 July 2011 (an
"Index Barrier Breach"), the Put option will be worth GBPNil at maturity. If the
Index has closed below 1,651.49 over the calculation period and the Index is
still below 3,302.98 at 26 July 2011, the Put option will be worth a percentage
of the notional value, being GBP39,550,000, equivalent to the percentage fall in
the level of the Dow Jones Euro Stoxx 50 Index over the calculation period. As
at the accounting reference date and as at the date of this report no Index
Barrier Breach had occurred.
The Company's contingent liability to the Put Option Counterparty under the Put
option sold to the Put Option Counterparty will not crystallise until the Put
option's scheduled maturity date of 28 July 2011. Such contingent liability
under the Put option will be calculated based on the level of the Dow Jones Euro
Stoxx 50 Index as at 26 July 2011. As the contingent liability under the Put
option cannot be quantified and does not crystallise until 26 July 2011, the
directors do not consider that such contingent liability renders the Company
insolvent at this time. Only in the event that the value of the Put option based
on the level of the Dow Jones Euro Stoxx 50 Index as at 26 July 2011 exceeds the
value of the Company's assets on that date might the Company be rendered
insolvent.
As disclosed in the section entitled "Investment Objective and Policy" and note
12(c) to the financial statements, upon the issue of Shares in July 2005 the
Company created a cash reserve (the "Expense Provision") in the amount of 2.10%
of the amount raised by the issue of such shares (the "Initial Gross Proceeds")
plus GBP440,000, such amount being estimated in the opinion of the directors
upon the advice of the Administrator to be sufficient to meet the operating
expenses reasonably expected to be incurred over the life of the Fund. Upon the
issue of additional Shares in September 2006, an additional 2.10% of the
proceeds of that issue of additional Shares was set aside to cover the increase
in the Manager's fee which resulted from that issue of additional Shares, all
other expenses being either fixed for the life of the Shares or deemed unlikely
to increase materially as a result of this issue of additional Shares.
After making enquiries, the directors have a reasonable expectation that the
Company has adequate resources to continue in operational existence for the
foreseeable future.
Responsibility Statement
The Board of directors jointly and severally confirm that, to the best of their
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 profit or loss of the Company; and
This Management Report includes or incorporates by reference 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 it
faces.
Talmai MorganPeter Niven
Director Director
18 September 2009
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED 30 JUNE 2009
+--------------------------------------------+-------+--------------+--+-------------+
| | Notes | Year to | | Year to |
| | | 30 Jun | | 30 Jun |
| | | 2009 | | 2008 |
| | | GBP | | GBP |
+--------------------------------------------+-------+--------------+--+-------------+
| | | | | |
+--------------------------------------------+-------+--------------+--+-------------+
| Net movement in unrealised depreciation on | | | | |
+--------------------------------------------+-------+--------------+--+-------------+
| investments | 5 | (16,319,302) | | (1,716,360) |
+--------------------------------------------+-------+--------------+--+-------------+
| | | | | |
+--------------------------------------------+-------+--------------+--+-------------+
| Unrealised appreciation on value of Put | | (6,153,249) | | (1,771,840) |
| option | | | | |
+--------------------------------------------+-------+--------------+--+-------------+
| | | | | |
+--------------------------------------------+-------+--------------+--+-------------+
| Operating expenses | 2 | (361,648) | | (328,865) |
+--------------------------------------------+-------+--------------+--+-------------+
| | | | | |
+--------------------------------------------+-------+--------------+--+-------------+
| Loss before financing costs and taxation | | (22,834,199) | | (3,817,065) |
+--------------------------------------------+-------+--------------+--+-------------+
| | | | | |
+--------------------------------------------+-------+--------------+--+-------------+
| Loss on ordinary activities before | | (22,834,199) | | (3,817,065) |
| taxation | | | | |
+--------------------------------------------+-------+--------------+--+-------------+
| | | | | |
+--------------------------------------------+-------+--------------+--+-------------+
| Taxation on ordinary activities | | - | | - |
+--------------------------------------------+-------+--------------+--+-------------+
| | | | | |
+--------------------------------------------+-------+--------------+--+-------------+
| Net loss for the year attributable to | | (22,834,199) | | (3,817,065) |
| shareholders | | | | |
+--------------------------------------------+-------+--------------+--+-------------+
| | | | | |
+--------------------------------------------+-------+--------------+--+-------------+
| | | | | |
+--------------------------------------------+-------+--------------+--+-------------+
| | | Pence | | Pence |
+--------------------------------------------+-------+--------------+--+-------------+
| Loss per share for the year | 4 | (57.73) | | (9.65) |
+--------------------------------------------+-------+--------------+--+-------------+
In arriving at the results for the financial year, all amounts above relate to
continuing operations.
There are no recognised gains or losses for the year other than those disclosed
above.
Reconciliation of loss per Share for investment purposes to loss per Share per
the financial statements:
+--------------------------------------------------+------------+--+------------+
| | Pence | | Pence |
+--------------------------------------------------+------------+--+------------+
| Loss per share for investment purposes | (56.82) | | (8.81) |
+--------------------------------------------------+------------+--+------------+
| Adjustment to include expenses on an accruals | (0.91) | | (0.84) |
| basis | | | |
+--------------------------------------------------+------------+--+------------+
| Loss per share per the financial statements | (57.73) | | (9.65) |
+--------------------------------------------------+------------+--+------------+
In accordance with International Financial Reporting Standards, expenses should
be attributed to the period to which they relate. The adjustment to expenses to
reflect the application of this accruals basis increases the loss per share of
the Company by 0.91 pence.
The loss per share for investment purposes represents the loss per share
attributable to shareholders in accordance with the Prospectus, which recognises
all expenses of the Company up to and including the date that the Final Capital
Entitlement becomes payable.
NET ASSET STATEMENT
AS AT 30 JUNE 2009
+--------------------------------------------+-------+------------+--+------------+
| | Notes | 30 Jun | | 30 Jun |
| | | 2009 | | 2008 |
| | | GBP | | GBP |
+--------------------------------------------+-------+------------+--+------------+
| NON-CURRENT ASSETS | | | | |
+--------------------------------------------+-------+------------+--+------------+
| | | | | |
+--------------------------------------------+-------+------------+--+------------+
| Unquoted financial assets designated at | | | | |
| fair value | | | | |
+--------------------------------------------+-------+------------+--+------------+
| through profit or loss | 5 | 27,038,553 | | 43,357,855 |
+--------------------------------------------+-------+------------+--+------------+
| | | | | |
+--------------------------------------------+-------+------------+--+------------+
| CURRENT ASSETS | | | | |
+--------------------------------------------+-------+------------+--+------------+
| | | | | |
+--------------------------------------------+-------+------------+--+------------+
| Receivables | 6 | 318,001 | | 469,450 |
+--------------------------------------------+-------+------------+--+------------+
| Cash at bank | | 616,104 | | 836,501 |
+--------------------------------------------+-------+------------+--+------------+
| | | | | |
+--------------------------------------------+-------+------------+--+------------+
| | | 934,105 | | 1,305,951 |
+--------------------------------------------+-------+------------+--+------------+
| | | | | |
+--------------------------------------------+-------+------------+--+------------+
| CURRENT LIABILITIES | | | | |
+--------------------------------------------+-------+------------+--+------------+
| | | | | |
+--------------------------------------------+-------+------------+--+------------+
| Payables - amounts falling due within one | 7 | 17,377 | | 27,575 |
| year | | | | |
+--------------------------------------------+-------+------------+--+------------+
| | | | | |
+--------------------------------------------+-------+------------+--+------------+
| NET CURRENT ASSETS | | 916,728 | | 1,278,376 |
+--------------------------------------------+-------+------------+--+------------+
| | | | | |
+--------------------------------------------+-------+------------+--+------------+
| TOTAL ASSETS LESS CURRENT LIABILITIES | | 27,955,281 | | 44,636,231 |
| (excluding net assets attributable to | | | | |
| shareholders) | | | | |
+--------------------------------------------+-------+------------+--+------------+
| | | | | |
+--------------------------------------------+-------+------------+--+------------+
| Non-current liabilities excluding net | | | | |
| assets attributable to | | | | |
+--------------------------------------------+-------+------------+--+------------+
| Shareholders | 8 | 9,163,004 | | 3,009,755 |
+--------------------------------------------+-------+------------+--+------------+
| | | | | |
+--------------------------------------------+-------+------------+--+------------+
| NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS | | 18,792,277 | | 41,626,476 |
+--------------------------------------------+-------+------------+--+------------+
| | | | | |
+--------------------------------------------+-------+------------+--+------------+
| SHARES IN ISSUE | | 39,550,000 | | 39,550,000 |
+--------------------------------------------+-------+------------+--+------------+
| | | | | |
+--------------------------------------------+-------+------------+--+------------+
| | | Pence | | Pence |
+--------------------------------------------+-------+------------+--+------------+
| NAV PER SHARE | | 47.52 | | 105.25 |
+--------------------------------------------+-------+------------+--+------------+
Reconciliation of NAV per share for investment purposes to NAV per share per the
financial statements:
+--------------------------------------------------+------------+--+------------+
| | Pence | | Pence |
+--------------------------------------------------+------------+--+------------+
| NAV per share for investment purposes | 45.19 | | 102.01 |
+--------------------------------------------------+------------+--+------------+
| Adjustment to include expenses on an accruals | 2.33 | | 3.24 |
| basis | | | |
+--------------------------------------------------+------------+--+------------+
| NAV per share per the financial statements | 47.52 | | 105.25 |
+--------------------------------------------------+------------+--+------------+
In accordance with International Financial Reporting Standards, expenses should
be attributed to the period to which they relate. The adjustment to expenses to
reflect the application of this accruals basis increases the NAV per share of
the Company by 2.33 pence.
The NAV per share for investment purposes represents the NAV per share
attributable to shareholders in accordance with the Prospectus, which recognises
all expenses of the Company up to and including the date that the Final Capital
Entitlement becomes payable.
The financial statements were approved by the Board of directors on 18 September
2009 and are signed on its behalf by:
Talmai MorganPeter Niven
Director Director
STATEMENT OF CASH FLOWS
FOR THE YEAR ENDED 30 JUNE 2009
+--------------------------------------------------+--------------+--+-------------+
| | Year to | | Year to |
| | 30 Jun | | 30 Jun |
| | 2009 | | 2008 |
| | GBP | | GBP |
+--------------------------------------------------+--------------+--+-------------+
| Operating activities | | | |
+--------------------------------------------------+--------------+--+-------------+
| | | | |
+--------------------------------------------------+--------------+--+-------------+
| Net loss for the year attributable to | (22,834,199) | | (3,817,065) |
| shareholders | | | |
+--------------------------------------------------+--------------+--+-------------+
| Add: Unrealised depreciation on investments | 16,319,302 | | 1,716,360 |
+--------------------------------------------------+--------------+--+-------------+
| Add: Unrealised appreciation on value of Put | 6,153,249 | | 1,771,840 |
| option | | | |
+--------------------------------------------------+--------------+--+-------------+
| Less: Interest received | (20,054) | | (50,982) |
+--------------------------------------------------+--------------+--+-------------+
| Less: (Decrease) / Increase in accrued expenses | (10,198) | | 17,559 |
+--------------------------------------------------+--------------+--+-------------+
| Less: Decrease in prepayments and accrued income | 151,449 | | 155,645 |
+--------------------------------------------------+--------------+--+-------------+
| | | | |
+--------------------------------------------------+--------------+--+-------------+
| Net cash outflow from operating activities | (240,451) | | (206,643) |
+--------------------------------------------------+--------------+--+-------------+
| | | | |
+--------------------------------------------------+--------------+--+-------------+
| Investing activities | | | |
+--------------------------------------------------+--------------+--+-------------+
| | | | |
+--------------------------------------------------+--------------+--+-------------+
| Interest received | 20,054 | | 50,982 |
+--------------------------------------------------+--------------+--+-------------+
| | | | |
+--------------------------------------------------+--------------+--+-------------+
| Net cash inflow from investing activities | 20,054 | | 50,982 |
+--------------------------------------------------+--------------+--+-------------+
| | | | |
+--------------------------------------------------+--------------+--+-------------+
| Cash and cash equivalents at beginning of year | 836,501 | | 992,162 |
+--------------------------------------------------+--------------+--+-------------+
| | | | |
+--------------------------------------------------+--------------+--+-------------+
| Decrease in cash and cash equivalents | (220,397) | | (155,661) |
+--------------------------------------------------+--------------+--+-------------+
| | | | |
+--------------------------------------------------+--------------+--+-------------+
| Cash and cash equivalents at end of year | 616,104 | | 836,501 |
+--------------------------------------------------+--------------+--+-------------+
STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS
FOR THE YEAR ENDED 30 JUNE 2009
+--------------------------------------------------+--------------+--+-------------+
| | Year to | | Year to |
| | 30 Jun | | 30 Jun |
| | 2009 | | 2008 |
| | GBP | | GBP |
+--------------------------------------------------+--------------+--+-------------+
| | | | |
+--------------------------------------------------+--------------+--+-------------+
| Opening balance | 41,626,476 | | 45,443,541 |
+--------------------------------------------------+--------------+--+-------------+
| | | | |
+--------------------------------------------------+--------------+--+-------------+
| Net loss for the year attributable to | (22,834,199) | | (3,817,065) |
| shareholders | | | |
+--------------------------------------------------+--------------+--+-------------+
| | | | |
+--------------------------------------------------+--------------+--+-------------+
| Closing balance | 18,792,277 | | 41,626,476 |
+--------------------------------------------------+--------------+--+-------------+
NOTES TO THE FINANCIAL STATEMENTS
FOR THE YEAR ENDED 30 JUNE 2009
ACCOUNTING POLICIES
Basis of Preparation
The financial statements have been prepared in accordance with International
Financial Reporting Standards ("IFRS") which comprise standards and
interpretations approved by the International Accounting Standards Board and
International Financial Reporting Interpretations Committee applicable Guernsey
law. The financial statements have been prepared on an historical cost basis
except for the measurement at fair value of financial instruments.
The following Standards or Interpretations that are expected to affect the
Company have been issued but not yet adopted by the Company as shown below.
Other Standards or Interpretations issued by the International Accounting
Standards Board and the International Financial Reporting Interpretations
Committee are not expected to affect the Company.
Amendments to IFRS 1 (revised 2008) First-time Adoption of International
Reporting Standards effective for annual periods beginning on or after 1 January
2009.
Amendments to IFRS 2 (revised 2008) Share-based Payment effective for annual
periods beginning on or after 1 January 2009.
Comprehensive revision to IFRS 3 (revised 2008) Business Combinations effective
for annual periods beginning on or after 1 July 2009.
Amendments to IFRS 7 (revised 2009) Financial Instruments Disclosures for annual
periods beginning on or after 1 January 2009.
IFRS 8 Operating Segments effective for annual periods beginning on or after 1
January 2009.
Comprehensive revision to IAS 23 (revised 2008) Borrowing Costs effective for
annual periods beginning on or after 1 January 2009.
Consequential amendments to IAS 27 (revised 2008) Consolidated and Separate
Financial Statements effective for annual periods beginning on or after 1 July
2009.
Consequential amendments to IAS 28 (revised 2008) Investments in Associates
effective for annual periods beginning on or after 1 July 2009.
Consequential amendments to IAS 31 (revised 2008) Interests in Joint Ventures
effective for annual periods beginning on or after 1 July 2009.
Amendments to IAS 32 and IAS 1 Puttable Financial Instruments effective for
annual periods beginning on or after 1 January 2009.
Amendments to IAS 39 Financial Instruments: Recognition and Measurement
effective for annual periods beginning on or after 1 July 2009.
IFRIC 15 Agreements for the Construction of Real Estate effective for annual
periods beginning on or after 1 July 2009.
IFRIC 16 Hedges of a Net Investment in a Foreign Operation effective for annual
periods beginning on or after 1 October 2008.
IFRIC 17 Distributions of Non-cash Assets to Owners effective for annual periods
beginning on or after 1 July 2009.
IFRIC 18 Transfers of Assets from Customers effective for transfers received on
or after 1 July 2009.
The directors have considered the above and are of the opinion that the above
Standards and Interpretations are not expected to have an impact on the
Company's financial statements except for the presentation of additional
disclosures and changes to the presentation of components of the financial
statements. These items will be applied in the first financial period for which
they are required.
Taxation
The Company has been granted exemption under the Income Tax (Exempt Bodies)
(Guernsey) Ordinance, 1989 from Guernsey Income Tax, and is charged an annual
fee of GBP600.
Expenses
All expenses are accounted for on an accruals basis.
Debt Issue Costs
The debt issue costs incurred amounted to GBP810,000 on the initial share issue
and a further GBP79,609 on the share issue on 21 September 2006. Because the
Company's participating shares are redeemable on or around 29 July 2011, they
are required to be classified as debt instruments under IAS 32. Consequently,
issue costs are required to be amortised over the life of the instrument.
Interest Income
Interest income is accounted for on an accruals basis.
Cash and Cash Equivalents
Cash at bank and short term deposits which are held to maturity are carried at
cost. Cash and cash equivalents are defined as call deposits, short term
deposits and highly liquid investments readily convertible to known amounts of
cash and subject to insignificant risk of changes in value. For the purposes of
the Statement of Cash Flows, cash and cash equivalents consist of cash and
deposits at bank.
Investments
All investments and derivative financial instruments are classified as "at fair
value through profit or loss". Investments are initially recognised at cost,
being the fair value of the consideration given, including transaction costs
associated with the investment. After initial recognition, investments are
measured at fair value, with unrealised gains and losses on investments and
impairment of investments recognised in the Statement of Operations. Fair value
is the amount for which the financial instruments could be exchanged, or a
liability settled, between knowledgeable willing parties in an arms length
transaction. Fair value also reflects the credit quality of the issuers of the
financial instruments.
Except for the debt securities issued by Glitnir and Kaupthing, valuations of
the Company's investments are based on valuations provided to the Company by
Future Value Consultants Limited. These valuations are intended to be an
indication of the fair value of those investments, including an issuer's credit
risk designed to reflect the best estimation of the price at which they could be
sold, even though there is no guarantee that a willing buyer might be found if
the Company chose to sell the relevant investment.
The indicative fair values of the investments are based on an approximation of
the market level of the investments. As the investments are not traded in an
active market, the indicative fair value was determined by using valuation
techniques. Future Value Consultants Limited used a variety of methods and made
assumptions that were based on market conditions existing at the net asset
statement date.
Valuation techniques used may include the use of comparable recent arm's length
transactions (where available), discounted cash flow analysis, option pricing
models and other valuation techniques commonly used by market participants.
Models use observable data, to the extent practicable. However, areas such as
credit risk, volatilities and correlations require Future Value Consultants
Limited to make estimates. Changes in assumptions about these factors could
affect the reported fair value of financial instruments.
Different assumptions regarding these factors, combined with different valuation
techniques and models used, could lead to different valuations of the financial
instruments produced by different parties. In previous accounting periods, the
valuation data was provided by J.P. Morgan Securities Limited and did not take
account of the current counterparty credit risk of the issuers of the debt
securities held by the Company. Being cognisant of current market conditions,
the Company believes that the valuations provided by Future Value Consultants
Limited comply with the definition of fair value as defined by International
Financial Reporting Standards and are more appropriate.
The values of the debt instruments issued by Glitnir and Kaupthing cannot be
ascertained with any degree of certainty. Therefore the directors have exercised
their judgement in the best interests of both shareholders and creditors to
value these investments at GBPnil.
Put Option
The Put option was initially recognised at the fair value of the consideration
received on the date of sale, and included within Creditors falling due after
more than one year. After initial recognition, the Put option is measured at
fair value with unrealised gains and losses being recognised in the Statement of
Operations. The Put option will be derecognised at expiry on 26 July 2011.
Trade Date Accounting
All "regular way" purchases and sales of financial assets are recognised on the
"trade date", i.e. the date that the entity commits to purchase or sell the
asset. Regular way purchases or sales are purchases or sales of financial assets
that require delivery of the asset within the timeframe generally established by
regulation or convention in the market place.
(j) Segmental Reporting
In the opinion of the directors the Company is engaged in a single segment of
business, being investment business in the United Kingdom.
(k) Critical accounting estimates and judgements
Management make critical accounting estimates and judgements concerning the
future. The resulting accounting estimates will, by definition, seldom equal the
related actual results. The estimates and assumptions that have a significant
risk of causing a material adjustment to the carrying amounts of assets and
liabilities within the financial period are outlined below:
Fair value of derivative financial instruments
The Company has invested in a portfolio of debt securities containing embedded
derivatives related to the Dow Jones EuroStoxx 50 Index. As the investments are
not traded in an active market, the fair value, based on valuations provided by
Future Value Consultants Limited, was determined by using valuation techniques.
Future Value Consultants Limited used a variety of methods and made assumptions
that were based on market conditions existing at the balance sheet date.
During the period under review, the issuers of two of the debt securities held
by the Company, being Glitnir and Kaupthing, suffered severe financial
difficulties.
On 8 October 2008 the government of Iceland announced that "the Icelandic
Financial Services Authority, Fjármálaeftirlitiõ (FME) had decided to take over
the powers invested in Glitnir's shareholders meeting and Glitnir's Board of
directors". The FME has appointed a receivership committee which has assumed the
role of the Board of directors. By law, the action of appointing a receivership
committee does not have the effect of creating a default under any loan
documents.
On 9 October 2008, Icelandic Financial Supervisory Authority ("FME") announced
it had taken control of Kaupthing under powers granted by the Icelandic
Parliament and appointed a receivership committee.
The debt securities issued by Glitnir and Kaupthing held by the Company are
senior unsecured debt. This means that they fall behind the Icelandic
government, liquidators and any secured creditors in terms of repaying capital,
but before or pari passu with all other creditors. In the event of default, MTN
holders would likely get back some money at the "recovery rate" but in a worst
case scenario may receive nothing at all. In practice the recovery rate is
likely to be above zero, but it is not possible to assign a recovery rate to the
notes at this point in time. As the value of these debt instruments cannot be
ascertained with any degree of certainty, the directors have exercised their
judgement in the best interests of both shareholders and creditors to value
these investments at GBPnil, which valuations differ from the valuations
provided by Future Value Consultants Limited.
+------+--------------------------------------------+------------+--+------------+
| 2 | OPERATING EXPENSES | | | |
| | | | | |
+------+--------------------------------------------+------------+--+------------+
| | | Year to | | Year to |
| | | 30 Jun | | 30 Jun |
| | | 2009 | | 2008 |
| | | GBP | | GBP |
+------+--------------------------------------------+------------+--+------------+
| | | | | |
+------+--------------------------------------------+------------+--+------------+
| | Amortisation of debt issue costs | 151,364 | | 151,779 |
+------+--------------------------------------------+------------+--+------------+
| | Investment management fees (1) | 139,165 | | 139,549 |
+------+--------------------------------------------+------------+--+------------+
| | Administration fees | 21,970 | | 22,030 |
+------+--------------------------------------------+------------+--+------------+
| | Directors' remuneration | 15,000 | | 15,000 |
+------+--------------------------------------------+------------+--+------------+
| | Registration fees | 8,564 | | 12,127 |
+------+--------------------------------------------+------------+--+------------+
| | Directors' & Officers' Insurance | 7,832 | | 6,644 |
+------+--------------------------------------------+------------+--+------------+
| | Audit fees | 8,000 | | 6,500 |
+------+--------------------------------------------+------------+--+------------+
| | Annual fees | 22,253 | | 16,190 |
+------+--------------------------------------------+------------+--+------------+
| | Other operating expenses | 7,554 | | 10,028 |
+------+--------------------------------------------+------------+--+------------+
| | | | | |
+------+--------------------------------------------+------------+--+------------+
| | | 381,702 | | 379,847 |
+------+--------------------------------------------+------------+--+------------+
| | | | | |
+------+--------------------------------------------+------------+--+------------+
| | Less: Interest earned on expense provision | (20,054) | | (50,982) |
| | bank account | | | |
+------+--------------------------------------------+------------+--+------------+
| | | | | |
+------+--------------------------------------------+------------+--+------------+
| | | 361,648 | | 328,865 |
+------+--------------------------------------------+------------+--+------------+
(1) The Manager is entitled to receive a fee from the Company at an annual rate
of 0.35% of the Initial Gross Proceeds.
DIRECTORS' REMUNERATION
The Prospectus provides that each director will be paid a fee of GBP5,000 per
annum by the Company. This remuneration will remain fixed over the life of the
Company.
LOSS PER SHARE
The loss per share is based on the net loss for the year of GBP22,834,199 (2008:
loss GBP3,817,065) and on 39,550,000 shares (2008: 39,550,000 shares), being the
weighted average number of shares in issue during the year.
+------+-------------------------------------------+--------------+--+-------------+
| 5 | INVESTMENTS DESIGNATED AS FAIR VALUE THROUGH PROFIT OR LOSS |
+------+---------------------------------------------------------------------------+
| | | | | |
+------+-------------------------------------------+--------------+--+-------------+
| | | 30 Jun 2009 | | 30 Jun 2008 |
| | | GBP | | GBP |
+------+-------------------------------------------+--------------+--+-------------+
| | UNQUOTED FINANCIAL ASSETS | | | |
+------+-------------------------------------------+--------------+--+-------------+
| | | | | |
+------+-------------------------------------------+--------------+--+-------------+
| | Portfolio cost | 39,889,380 | | 39,889,380 |
+------+-------------------------------------------+--------------+--+-------------+
| | Unrealised appreciation on valuation | 3,468,475 | | 5,184,835 |
| | brought forward | | | |
+------+-------------------------------------------+--------------+--+-------------+
| | Unrealised depreciation on valuation for | (16,319,302) | | (1,716,360) |
| | the year | | | |
+------+-------------------------------------------+--------------+--+-------------+
| | | | | |
+------+-------------------------------------------+--------------+--+-------------+
| | Unrealised (depreciation) / appreciation | (12,850,827) | | 3,468,475 |
| | on valuation carried forward | | | |
+------+-------------------------------------------+--------------+--+-------------+
| | | | | |
+------+-------------------------------------------+--------------+--+-------------+
| | Closing valuation | 27,038,553 | | 43,357,855 |
+------+-------------------------------------------+--------------+--+-------------+
Except for the debt securities issued by Glitnir and Kaupthing, valuations of
investments are based on valuations provided by Future Value Consultants Limited
(the "Calculation Agent"). The provided valuations were derived from proprietary
models based upon well-recognised financial principles and reasonable estimates
about relevant future market conditions.
To comply with the definition of fair value as defined by International
Financial Reporting Standards, Future Value Consultants Limited was engaged to
provide valuations of the investments, taking account of the current
counterparty credit risk of the issuers of the debt securities held by the
Company.
Since the introduction of IAS39 "Financial Instruments: Recognition and
Measurement", the valuation data provided by J P Morgan Securities Limited is no
longer appropriate for account reporting purposes as it does not take account of
the current counterparty credit risk of the issuers of the debt securities held
by the Company. As detailed in note 1(j) to the financial statements, the value
of the debt instruments issued by Glitnir and Kaupthing cannot be ascertained
with any degree of certainty. Therefore the directors have exercised their
judgement in the best interests of both shareholders and creditors to value
these investments at GBPnil which valuations differ from the valuations provided
by Future Value Consultants Limited.
The performance of the financial assets is based on the closing level of the Dow
Jones EuroStoxx 50 Index on 29 July 2011. If the Dow Jones EuroStoxx 50 Index
closes above 3,302.98 the instruments are designed to give a return of five
times the performance up a maximum return of 67.5% of the capital.
Valuation data provided by Future Value Consultants Limited to the Company is
provided for informational purposes only and does not represent an offer to buy
or sell the debt securities by Future Value Consultants Limited or any other
party. The valuations provided are an indication of market levels and do not
imply that they can be sold at that valuation price. They are based on
assumptions and data Future Value Consultants Limited considers in its judgement
reasonable, but an alternative valuer might arrive at different valuations for
the same investments.
+------+-------------------------------------------+-------------+--+---+-------------+
| 6 | RECEIVABLES |
+------+------------------------------------------------------------------------------+
| | | | | |
+------+-------------------------------------------+-------------+------+-------------+
| | | 30 Jun 2009 | | 30 Jun 2008 |
| | | GBP | | GBP |
+------+-------------------------------------------+-------------+------+-------------+
| | |
+------+------------------------------------------------------------------------------+
| | Accrued income | - | | 1,246 |
+------+-------------------------------------------+-------------+--+-----------------+
| | Prepayments | 318,001 | | 468,204 |
+------+-------------------------------------------+-------------+--+-----------------+
| | | | | |
+------+-------------------------------------------+-------------+--+-----------------+
| | | 318,001 | | 468,204 |
+------+-------------------------------------------+-------------+--+---+-------------+
+------+-------------------------------------------+-------------+--+-------------+
| 7 | PAYABLES (amounts falling due within one year) |
+------+--------------------------------------------------------------------------+
| | | | | |
+------+-------------------------------------------+-------------+--+-------------+
| | | 30 Jun 2009 | | 30 Jun 2008 |
| | | GBP | | GBP |
+------+-------------------------------------------+-------------+--+-------------+
| | |
+------+--------------------------------------------------------------------------+
| | Accrued administration fees | 1,808 | | 1,803 |
+------+-------------------------------------------+-------------+--+-------------+
| | Accrued registration fees | 458 | | 1,766 |
+------+-------------------------------------------+-------------+--+-------------+
| | Accrued audit fees | 8,000 | | 5,000 |
+------+-------------------------------------------+-------------+--+-------------+
| | Accrued investment manager's fee | - | | 11,423 |
+------+-------------------------------------------+-------------+--+-------------+
| | Other accrued expenses | 7,111 | | 7,583 |
+------+-------------------------------------------+-------------+--+-------------+
| | Expense provision | 242,377 | | 241,127 |
+------+-------------------------------------------+-------------+--+-------------+
| | Less: Prepaid expense provision (see Note | (242,377) | | (241,127) |
| | 8) | | | |
+------+-------------------------------------------+-------------+--+-------------+
| | | | | |
+------+-------------------------------------------+-------------+--+-------------+
| | | 17,377 | | 27,575 |
+------+-------------------------------------------+-------------+--+-------------+
+------+-------------------------------------------+-------------+--+---+-------------+
| 8 | PAYABLES (amounts falling due after one year) |
+------+------------------------------------------------------------------------------+
| | | | | |
+------+-------------------------------------------+-------------+------+-------------+
| | | 30 Jun 2009 | | 30 Jun 2008 |
| | | GBP | | GBP |
+------+-------------------------------------------+-------------+------+-------------+
| | |
+------+------------------------------------------------------------------------------+
| | Expense provision | 356,350 | | 569,045 |
+------+-------------------------------------------+-------------+--+-----------------+
| | Less: Prepaid expense provision | (356,350) | | (569,045) |
+------+-------------------------------------------+-------------+--+-----------------+
| | | | | |
+------+-------------------------------------------+-------------+--+-----------------+
| | | - | | - |
+------+-------------------------------------------+-------------+--+-----------------+
| | | | | |
+------+-------------------------------------------+-------------+--+-----------------+
| | | | | |
+------+-------------------------------------------+-------------+--+-----------------+
| | FINANCIAL LIABILITIES | | | |
+------+-------------------------------------------+-------------+--+-----------------+
| | | 30 Jun 2009 | | 30 Jun 2008 |
| | | GBP | | GBP |
+------+-------------------------------------------+-------------+--+-----------------+
| | | | | |
+------+-------------------------------------------+-------------+--+-----------------+
| | Fair value of the Put option | 9,163,004 | | 3,009,755 |
+------+-------------------------------------------+-------------+--+-----------------+
| | | | | |
+------+-------------------------------------------+-------------+--+-----------------+
| | | 9,163,004 | | 3,009,755 |
+------+-------------------------------------------+-------------+--+---+-------------+
The prepaid expense provision represents monies set aside to meet the on-going,
annual and redemption expenses of the Company, as set out in the Prospectus.
If, at the Redemption Date, there is any surplus remaining from the expense
provision (together with accrued interest thereon), this surplus will revert to
the Manager. In the event of redemption or repurchase of all of the Shares, or
upon a winding-up of the Company, in each case prior to the Redemption Date, any
balance of the expense provision (together with accrued interest thereon) other
than the investment management fee will also revert to the Manager.
The performance of the Put option is linked to the performance of the Dow Jones
Euro Stoxx 50 Index. At an Index value of 3,302.98 or above at the close of
business on 26 July 2011, or if the Index has never closed below 1,651.49 during
the calculation period from 26 July 2005 to 26 July 2011, the Put option will be
worth GBPNil at maturity. If the Index has closed below 1,651.49 over the
calculation period and the Index is still below 3,302.98 at 26 July 2011, the
Put option will be worth a percentage of the notional value, being
GBP39,550,000, equivalent to the percentage fall in the level of the Dow Jones
Euro Stoxx 50 Index over the calculation period.
The Put option is not exercisable until the maturity date of 26 July 2011.
The fair value of the Put option is based on the valuation provided by Future
Value Consultants Limited There is no active market regarding the Put option.
J.P. Morgan Chase Bank N.A., in its capacity as the Put option counterparty (the
"Put Option Counterparty"), has security over the financial assets held by the
Company for payment of any monies owed upon expiry or termination of the Put
option contract.
The proceeds from the sale of the Put option were GBP3,292,880.
+------+----------------------------------------+--------------+--+--------------+
| 9 | SHARE CAPITAL |
+------+-------------------------------------------------------------------------+
| | | | | |
+------+----------------------------------------+--------------+--+--------------+
| | Authorised | SHARES | | GBP |
+------+----------------------------------------+--------------+--+--------------+
| | | | | |
+------+----------------------------------------+--------------+--+--------------+
| | Unclassified shares of 0.01p each | 100,000,000 | | 10,000 |
+------+----------------------------------------+--------------+--+--------------+
| | Management shares of GBP1.00 each | 100 | | 100 |
+------+----------------------------------------+--------------+--+--------------+
| | | | | |
+------+----------------------------------------+--------------+--+--------------+
| | | | | 10,100 |
+------+----------------------------------------+--------------+--+--------------+
+------+----------------------------------------+--------------+--+--------------+
| | Issued | 30 Jun 2009 | | 30 Jun 2008 |
+------+----------------------------------------+--------------+--+--------------+
| | | | | |
+------+----------------------------------------+--------------+--+--------------+
| | Participating shares - fully paid | 39,550,000 | | 39,550,000 |
+------+----------------------------------------+--------------+--+--------------+
| | Management shares - fully paid | 2 | | 2 |
+------+----------------------------------------+--------------+--+--------------+
| | | | | |
+------+----------------------------------------+--------------+--+--------------+
| | Number of shares in issue | 39,550,002 | | 39,550,002 |
+------+----------------------------------------+--------------+--+--------------+
+------+----------------------------------------+--------------+--+--------------+
| | Issued Share Capital | 30 Jun 2009 | | 30 Jun 2008 |
| | | GBP | | GBP |
+------+----------------------------------------+--------------+--+--------------+
| | | | | |
+------+----------------------------------------+--------------+--+--------------+
| | Participating shares - fully paid | 3,955 | | 3,955 |
+------+----------------------------------------+--------------+--+--------------+
| | Management shares - fully paid | 2 | | 2 |
+------+----------------------------------------+--------------+--+--------------+
| | | | | |
+------+----------------------------------------+--------------+--+--------------+
| | | 3,957 | | 3,957 |
+------+----------------------------------------+--------------+--+--------------+
+------+------------------------+--------------+--+--------------+--+--------------+
| | The issues of Participating Shares took place as follows: |
+------+---------------------------------------------------------------------------+
| | | | | |
+------+------------------------------------------+--------------+--+--------------+
| | Date of issue | Number | | Price per | | Amount |
| | | of Shares | | Share Pence | | Received GBP |
+------+------------------------+--------------+--+--------------+--+--------------+
| | | | | | | |
+------+------------------------+--------------+--+--------------+--+--------------+
| | 27 July 2005 | 36,000,000 | | 100.00 | | 36,000,000 |
+------+------------------------+--------------+--+--------------+--+--------------+
| | 21 September 2006 | 3,550,000 | | 107.50 | | 3,816,250 |
+------+------------------------+--------------+--+--------------+--+--------------+
Shares are redeemable on or around 29 July 2011. The Company is closed-ended and
therefore shareholders have no right to request the Company to repurchase their
Shares or to redeem them prior to the redemption date. If the Company is wound
up prior to the redemption date, shareholders will be entitled to the net asset
value of the Shares on the winding up date. No dividends will be paid on the
Shares.
Management shares are not redeemable, do not carry any right to dividends and in
a winding up rank only for a return of the amount of paid up capital after
return of capital on Shares and nominal shares. Given the immateriality of the
management shares to the net assets of the Company, they have been included in
net assets attributable to participating shareholders.
+------+----------------------------------------+--------------+--+--------------+
| 10 | SHARE PREMIUM |
+------+-------------------------------------------------------------------------+
| | | | | |
+------+----------------------------------------+--------------+--+--------------+
| | | 30 Jun 2009 | | 30 Jun 2008 |
| | | GBP | | GBP |
+------+----------------------------------------+--------------+--+--------------+
| | | | | |
+------+----------------------------------------+--------------+--+--------------+
| | Opening and closing balance | 39,812,295 | | 39,812,295 |
+------+----------------------------------------+--------------+--+--------------+
11 FINANCIAL INSTRUMENTS
The Company's main financial instruments comprise:
a) Cash and cash equivalents that arise directly from the Company's operations;
b) Debt securities whose performance is based on the performance of the Dow
Jones EuroStoxx 50 Index. Details of these investments are shown in the schedule
of investments.
c) The Company has also sold a Put option, whose performance is based on the Dow
Jones EuroStoxx 50 Index. Details of the option contract are shown in Note 8.
12 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES
The main risks arising from the Company's financial instruments are market price
risk, credit risk, liquidity risk, interest rate risk and currency risk. The
Board regularly reviews and agrees policies for managing each of these risks and
these are summarised below:
(a) Market Price Risk
Market price risk arises mainly from uncertainty about future prices of
financial instruments held. It represents the potential loss the Company might
suffer through holding market positions in the face of price movements. The
Manager actively monitors market prices and reports to the Board as to the
appropriateness of the prices used for valuation purposes. A list of investments
held by the Company is shown in the schedule of investments.
Price sensitivity
The following details the Company's sensitivity to a 10% increase and decrease
in the final market prices of its constituent financial assets and liabilities.
The final redemption value of the Shares is determined by reference to the level
of the Dow Jones EuroStoxx 50 Index (the "Index") on 26 July 2011 and at that
date, if the Index stands at 3,748.89 (the "Index Cap Level"), the maximum
redemption entitlement of 167.5 pence per Share will have been reached; any
further increase in the level of the Index will cause no further increase in the
redemption entitlement.
On 30 June 2009 the Index stood at 2,401.69, a fall of 35.94% since the Start
Date.
During the period from the Start Date to 30 June 2009 the Index had not closed
below 1651.49, being 50% of the Start Value. As the Index would need to decline
by more than 31.23% from its level as at 30 June 2009 for the redemption
entitlement to be less than 100.00 pence per share and further as the Index
would need to rise by more than 35.94% as at the End Date for the redemption
entitlement due to be more than 100.00 pence per share, as at 30 June 2009 the
Company had no material sensitivity to either a 10% increase of decrease in the
level of the Index, all provided that no counterparty defaults on its
obligations to the Company.
(b) Credit Risk
Credit risk is the risk that an issuer or counterparty will be unable or
unwilling to meet a commitment that it has entered into with the Company.
At the date of this report and at the balance sheet date, five of the seven
issuers carried an investment grade credit rating. The following table details
the aggregate investment grade of the debt instruments in the portfolio based on
the valuations of the investments at 30 June 2009 (30 June 2008 for the
comparative period), as rated by Moody's Investor Services Inc ("Moody's"):
+----------------------+--------------------+-------------+--------------+
| Rating | 18 September 2009* | 30 Jun 2009 | 30 Jun 2008 |
+----------------------+--------------------+-------------+--------------+
| | | | |
+----------------------+--------------------+-------------+--------------+
| Aaa | 0.00% | 0.00% | 0.00% |
+----------------------+--------------------+-------------+--------------+
| Aa | 100.00% | 100.00% | 69.71% |
+----------------------+--------------------+-------------+--------------+
| A | 0.00% | 0.00% | 30.29% |
+----------------------+--------------------+-------------+--------------+
* Based on the value of the Company's investments at 30 June 2009.
The Board monitors credit risk and will consider further action if the credit
rating of an issuer falls below A- or A3 as ranked by S&P and Moody's
respectively.
At the date of this report and at the balance sheet date, two of the seven
issuers, being Glitnir and Kaupthing, carried a speculative grade credit rating
as rated by Moody's. As the value of these debt instruments cannot be
ascertained, the directors have exercised their judgement in the best interests
of both shareholders and creditors to value these investments at GBPnil.
Credit risks are mitigated in the Company because the MTN's have been purchased
from several different issuers.
The credit risk on cash transactions and transactions involving derivative
financial instruments is mitigated by transacting with counterparties that are
regulated entities subject to prudential supervision, or with high credit
ratings assigned by international credit rating agencies.
(c) Liquidity Risk
Liquidity risk is the risk that the Company will encounter difficulty in
realising assets or otherwise raising funds to meet financial commitments. The
Company's main financial commitments are its ongoing operating expenses and any
cash settlement due to the Put Option Counterparty on the maturity of the Put
option, scheduled to occur on 26 July 2011.
Upon the issue of the shares in July 2005 the Company created a cash reserve
(the "Expense Provision") in the amount of 2.10% of the amount raised by the
issue of the shares (the "Initial Gross Proceeds") plus GBP440,000, such amount
being estimated in the opinion of the directors upon the advice of the
Administrator to be sufficient to meet the operating expenses reasonably
expected to be incurred over the life of the shares. Upon the issue of
additional shares in September 2006 an additional 2.10% of the proceeds of that
issue of additional Shares was set aside to cover the increase in the Manager's
fee which resulted from that issue of additional shares, all other expenses
being either fixed for the life of the Company or deemed unlikely to increase
materially as a result of this issue of additional shares.
At each quarterly Board meeting and at the end of each financial period the
directors review the Expense Provision against the expected future expenses
(other than the Manager's fee) of the Company. To the extent that the directors
consider that the Expense Provision is less than 150 per cent of the expected
future expenses of the Company (other than the Manager's fee), the directors
may, having first consulted the Manager, at their discretion reduce the amount
of investment management fees payable to the Manager (subject to a maximum
reduction of 50 per cent) in order to re-establish the 150 per cent cover.
If at any time during the life of the Company, notwithstanding the arrangements
summarised above, the Expense Provision is exhausted then, subject to the
relevant excess expenses having been agreed by the Manager, the Manager will
make good such shortfall from its own resources, subject to a maximum in each of
the first five annual financial periods of 0.25 per cent of the Initial Gross
Proceeds and in the last financial period preceding the Redemption Date, of a
maximum amount of GBP100,000. Should these expenses exceed this cap the return
to Shareholders will be adversely impacted. The directors do not anticipate that
the expenses will exceed the Expense Provision.
The Euro Medium Term Notes (the "Debt Securities") purchased by the Company
mature on 28 July 2011 (the "Maturity Date") and are due to be redeemed at their
notional face value plus five times the performance increase between 26 July
2005 and 26 July 2011 in the EuroStoxx 50 Index, capped at an amount equal to
67.50% of the notional face value, so that the aggregate maturity proceeds are
expected to be between GBP39,550,000 if the EuroStoxx 50 Index closes on 26 July
2011 at or below its starting value on 26 July 2005 of 3,302.98 and a maximum of
GBP66,246,250 if the EuroStoxx closes at or above 3,748.89 on 26 July 2011, all
provided that no counterparty defaults on its obligations to the Company.
Provided that none of the issuers of the Debt Securities defaults on its
obligation to pay the maturity proceeds on the Maturity Date, the minimum
maturity proceeds of GBP39,550,000 due are intended to satisfy the maximum
payment due to be made by the Company to the Put Option Counterparty on the
maturity of the Put Option of GBP39,550,000.
The directors and the Manager monitor the credit ratings of all issuers of the
Debt Securities. In the event of any downgrading in the long-term credit rating
of any issuer below A- or A3, as determined by Standard & Poor's and/or Moody's
Investor Services Inc respectively, the Company may in its absolute discretion
seek to sell the relevant Debt Securities to third party purchasers and to
reinvest the proceeds in the purchase of Debt Securities of another issuer such
that the new Debt Securities will replicate as closely as possible the terms and
conditions of the original Debt Securities. The directors will only seek to
sell the relevant Debt Securities if they consider on the advice of the Manager
that such would be in the best interest of the Company and its shareholders. In
the event of such sales, if the purchase of such Debt Securities is not
possible, the directors may reinvest such proceeds as they see fit in
investments which, in the opinion of the directors, as nearly as is practicable,
replicate the investment characteristics of the Debt Securities sold and so that
the proceeds are invested, as nearly as is practicable, in accordance with the
Company's stated investment objective. As at the accounting reference date and
the date of this report, five of the seven issuers of the Debt Securities
carried an investment grade credit rating. Two of the seven issuers of the Debt
Securities carried a speculative grade credit rating.
(d) Portfolio Construction Risk
Portfolio construction risk arises when the intended balance or resultant effect
of movements in value of assets and liabilities is disturbed because of some
unintended external event.
In the case of the Company's investment portfolio there is an intended balance
between the aggregate nominal value of the debt instruments held and the nominal
value of the Put option and, if one or more of the debt instrument issuers were
to default, in part or in total, there will not be a corresponding reduction in
the value of the Put option. Thus, if such an issuer default did occur and there
was an index barrier breach which caused the put option to take effect, the
default would cause an acceleration in the reduction of the final redemption
value of a share such that it will fall to zero well before the index reaches
nil.
As disclosed in note 1(k) above, in October 2008, the FME took control of both
Glitnir and Kaupthing and appointed a receivership committee of each.
The MTN's issued by Glitnir and Kaupthing held by the Company are senior
unsecured debt. In the event of a default by either Glitnir or Kaupthing, MTN
holders would likely get back some money at the "recovery rate" rather than
zero. In practice the recovery rate is likely to be above zero, but it is not
possible to assign a recovery rate to the notes at this point.Although at the
time of writing the situation remains unclear, the Manager and Board of
directors consider it likely that Glitnir and Kaupthing may not pay in full on
their obligations and in the worst case scenario may pay nothing at all.
(e) Interest Rate Risk
The Company holds cash on fixed deposit, the return on which is subject to
fluctuations in market interest rates. All fixed deposits mature within three
months.
The weighted average effective interest rate for cash and bank balances as at 30
June 2009 was 2.1% (2008: 5.74%).
None of the other assets or liabilities of the Company attract or incur
interest.
Interest rate sensitivity
Interest rate risk arises from the possibility that changes in interest rates
will affect future cash flows or the fair value of financial instruments. Except
for cash set aside to meet expenses, the Company's assets and liabilities are
expected to be held until the Redemption Date.
If interest rates had been 100 basis points higher and all other variables were
held constant, the Company's decrease in net assets attributable for the period
ended 30 June 2009 would have been GBP6,161 less (2008: GBP8,365) due to an
increase in the amount of interest receivable on the bank balances.
If interest rates had been 100 basis points lower and all other variables were
held constant, the Company's decrease in net assets attributable for the period
ended 30 June 2009 would have been GBP6,161 greater (2008: GBP8,365) due to a
decrease in the amount of interest receivable on the bank balances.
The Company's sensitivity to interest rates is lower in 2009 than in 2008
because of a decrease in the amount of cash balances held and the general level
of rates available in the market.
(f) Currency Risk
As both the Shares and the Debt Securities are Sterling-denominated,
shareholders investing for Sterling returns will not be exposed to direct
currency risk. The value of the underlying securities comprising the Dow Jones
EuroStoxx 50 may be affected by changes in the economic, political or social
environment in Europe, as well as globally, including changes in exchange rates.
(g) Capital Management
The investment objective of the Company is to provide shareholders, on the
Redemption Date, with a payment which will comprise a capital amount of 100p per
Share and a growth amount per Share equal to five times any percentage increase
in the value of the Index (the "End Value") as at 26 July 2011 (the "End Date")
relative to its value (the "Start Value") as at 26 July 2005 (the "Start Date"),
such amount being expressed in pence and rounded down to the next half pence,
subject to a maximum increase of 67.5 per cent of the issue price of 100 pence
per Share.
The Company has an unlimited life but the Shares will be redeemed on or around
29 July 2011.
(h) Collateral
Under the terms of a Pledge Agreement dated 2 August 2005 and the amendment
dated 18 September 2006 entered into between the Company and the Put Option
Counterparty, the Company has pledged the Debt Securities, and all rights, title
and interest therein, and any and all proceeds resulting from the sale or
repayment of the Debt Securities as security for the Company's contingent
liability under the Put Option sold to the Put Option Counterparty, further
details of which are shown at Note 8. The collateral is held by a custodian in a
segregated account in Euroclear. Where there is an event of default in respect
of the Company under the Put Option, the Put Option Counterparty will be
entitled to enforce its security over the Debt Securities.
13 RELATED PARTIES
Anson Fund Managers Limited is the Company's Administrator and Secretary, Anson
Registrars Limited is the Company's Registrar, Transfer Agent and Paying Agent
and Anson Administration (UK) Limited is the UK Transfer Agent. John R Le
Prevost is a director of Anson Fund Managers Limited, Anson Registrars Limited
and Anson Administration (UK) Limited. GBP30,534 (2008: GBP34,157) of costs were
incurred by the Company with these related parties during the year, of which
GBP2,266 (2008: GBP3,569) was due to these related parties at 30 June 2009.
SCHEDULE OF INVESTMENTS
AS AT 30 JUNE 2009
+--------------------------------------+-----------+--+------------+--+------------+
| | NOMINAL | | VALUATION | | TOTAL NET |
+--------------------------------------+-----------+--+------------+--+------------+
| DEBT SECURITIES PORTFOLIO | HOLDINGS | | GBP | | ASSETS % |
+--------------------------------------+-----------+--+------------+--+------------+
| | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| BNP Paribas 0% EMTN 28 July 2011 | 6,000,000 | | 6,012,804 | | 32.00% |
+--------------------------------------+-----------+--+------------+--+------------+
| | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| Caixa Geral de Depositas 0% EMTN 28 | | | | | |
| July | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| 2011 | 6,000,000 | | 5,983,009 | | 31.84% |
+--------------------------------------+-----------+--+------------+--+------------+
| | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| Erste Bank 0% EMTN 28 July 2011 | 6,000,000 | | 5,770,172 | | 30.71% |
+--------------------------------------+-----------+--+------------+--+------------+
| | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| Glitnir Banki HF 0% EMTN 28 July | 6,000,000 | | - | | 0.00% |
| 2011 | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| Kaupthing Bunadarbanki 0% EMTN 28 | 6,000,000 | | - | | 0.00% |
| July 2011 | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| KBC IFIMA 0% EMTN 28 July 2011 | 6,000,000 | | 5,789,313 | | 30.81% |
+--------------------------------------+-----------+--+------------+--+------------+
| | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| RBS 0% EMTN 28 July 2011 | 3,550,000 | | 3,483,255 | | 18.54% |
+--------------------------------------+-----------+--+------------+--+------------+
| | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| | | | 27,038,553 | | 143.88% |
+--------------------------------------+-----------+--+------------+--+------------+
The Company has also sold a Put option, details of which are shown below.
+-------------------------------------+------------+--+-------------+--+------------+
| | NOTIONAL | | VALUATION | | |
+-------------------------------------+------------+--+-------------+--+------------+
| | HOLDING | | GBP | | |
+-------------------------------------+------------+--+-------------+--+------------+
| | | | | | |
+-------------------------------------+------------+--+-------------+--+------------+
| JPM EUROSTOXX 50 Put Option | | | | | |
| expiring 28 | | | | | |
+-------------------------------------+------------+--+-------------+--+------------+
| July 2011 | 39,550,000 | | (9,163,004) | | |
+-------------------------------------+------------+--+-------------+--+------------+
SCHEDULE OF INVESTMENTS
AS AT 30 JUNE 2008
+--------------------------------------+-----------+--+------------+--+------------+
| | NOMINAL | | VALUATION | | TOTAL NET |
+--------------------------------------+-----------+--+------------+--+------------+
| DEBT SECURITIES PORTFOLIO | HOLDINGS | | GBP | | ASSETS % |
+--------------------------------------+-----------+--+------------+--+------------+
| | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| BNP Paribas 0% EMTN 28 July 2011 | 6,000,000 | | 6,600,000 | | 15.86% |
+--------------------------------------+-----------+--+------------+--+------------+
| | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| Caixa Geral de Depositas 0% EMTN 28 | | | | | |
| July | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| 2011 | 6,000,000 | | 6,601,800 | | 15.86% |
+--------------------------------------+-----------+--+------------+--+------------+
| | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| Erste Bank 0% EMTN 28 July 2011 | 6,000,000 | | 6,601,800 | | 15.86% |
+--------------------------------------+-----------+--+------------+--+------------+
| | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| Glitnir Banki HF 0% EMTN 28 July | 6,000,000 | | 6,560,400 | | 15.76% |
| 2011 | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| Kaupthing Bunadarbanki 0% EMTN 28 | 6,000,000 | | 6,574,800 | | 15.79% |
| July 2011 | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| KBC IFIMA 0% EMTN 28 July 2011 | 6,000,000 | | 6,520,800 | | 15.67% |
+--------------------------------------+-----------+--+------------+--+------------+
| | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| RBS 0% EMTN 28 July 2011 | 3,550,000 | | 3,898,255 | | 9.36% |
+--------------------------------------+-----------+--+------------+--+------------+
| | | | | | |
+--------------------------------------+-----------+--+------------+--+------------+
| | | | 43,357,855 | | 104.16% |
+--------------------------------------+-----------+--+------------+--+------------+
The Company has also sold a Put option, details of which are shown below.
+-------------------------------------+------------+--+-------------+--+------------+
| | NOTIONAL | | VALUATION | | |
+-------------------------------------+------------+--+-------------+--+------------+
| | HOLDING | | GBP | | |
+-------------------------------------+------------+--+-------------+--+------------+
| | | | | | |
+-------------------------------------+------------+--+-------------+--+------------+
| JPM EUROSTOXX 50 Put Option | | | | | |
| expiring 28 | | | | | |
+-------------------------------------+------------+--+-------------+--+------------+
| July 2011 | 39,550,000 | | (3,009,755) | | |
+-------------------------------------+------------+--+-------------+--+------------+
A pdf version of the annual financial report will shortly be posted on the
Managers web-site www.closeam.com and a further announcement will be made once
the annual financial report is available to be downloaded.
For further information contact:
Anson Fund Managers Limited
Secretary.
Tel: Guernsey 01481 722260
21 SEPTEMBER 2009
END OF ANNOUNCEMENT
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