RNS Number:2618P
New Star RBC Hedge250 IDX (3X GBP)
03 March 2008
The following replaces the Interim Accounts announcement released on 29 February
2008 at (1X: 4.39 p.m.; 3X: 4.44 p.m.) under RNS number (1X: 1244P; 3X: 1251P).
The detailed Interim Accounts Statement replaces the link guide to the Interim
Accounts. All other details remain the same, and the full amendment appears
below.
HEDGE ETS
New Star RBC Hedge 250 Index Exchange Traded Securities
PCC Limited
(A closed-ended investment company incorporated in Guernsey with registered
number 45501 under the provisions of The Companies (Guernsey) Laws 1994 to 1996
and The Protected Cell Companies Ordinance 1997 to 1998, as amended)
Preliminary Statement of Results
for the six months ended 31 December 2007
New Star Hedge 250 Index Exchange Traded Securities PCC Limited (the "Company"
or "Hedge ETS") today announces its preliminary results for the six months ended
31 December 2007.
29 February 2008
For further information please contact:
Ravi Anand, New Star Asset Management Limited, 020 7225 9292
New Star RBC Hedge 250 Index
Exchange Traded Securities PCC Limited
Hedge ETS
Unaudited Financial Statements
For the six month period ended 31 December 2007
Investment objective and policy
The investment objective of the Company is to provide access to performance
representative of the hedge fund asset class. The investment policy of the
Company is to provide access to such performance through investment exposure to
the RBC Hedge 250 Index(R) (the "Index").
The 1X Cell seeks to achieve its investment objective by entering into a swap
agreement with Royal Bank of Canada designed to provide unleveraged exposure to
the performance of the Index.
The 3X Cell seeks to achieve its investment objective by entering into a swap
with Royal Bank of Canada designed to provide approximately three times'
exposure to the performance of the Index.
FINANCIAL RESULTS SUMMARY
For the period ended 31December 2007
* Shareholders' funds at 31 December 2007 were $307.1 million
1X shares 3X shares
$ Euro � $ Euro �
NAV at 31 December 2007 1.0528 1.0392 1.0543 1.0928 1.0722 1.0915
% increase/(decrease) since (0.14)% (0.69)% 0.05 % (4.85)% (5.70)% (4.79)%
June 2007
% increase since launch 7.55% 6.16% 7.70% 11.64% 9.53% 11.50%
Share price at 31 December 2007 1.045 1.035 1.055 1.085 1.065 1.085
% increase/(decrease) since (3.24)% (4.17)% (2.31)% (9.58)% (11.25)% (9.58)%
June 2007
% increase since launch 4.50% 3.50% 5.50% 8.50% 6.50% 8.50%
Chairman's Report
I am pleased to present the Company's interim report and accounts for the six
months to 31 December 2007. The Company seeks to provide access to performance
representative of the hedge fund asset class through exposure to the RBC Hedge
250 Index.
Performance
During the six months to 31 December 2007, the net asset values ("NAVs") of the
1X dollar and euro class shares fell 0.14% and 0.69% respectively while the NAV
of the 1X sterling class shares rose 0.05%. Over the same period, the NAVs of
the 3X dollar, euro and sterling classes of share fell 4.85%, 5.70% and 4.79%
respectively. Details of the performance of the asset classes are detailed in
the Investment Manager's Report.
Share price rating
During the period, the Shares moved from a premium to NAV and temporarily dipped
to a discount. Since September, the Directors have actively repurchased shares
at a narrow discount to NAV.
The Directors believe it is appropriate for the Company's shares to trade at or
around NAV and intend - subject to normal market conditions, accuracy of Index
hedge fund valuations, availability of leverage under the Index Swap and closed
periods - to utilise their ability to buy back shares, exercise redemption
facilities and issue shares to facilitate such a rating.
Share repurchases are expected to continue to be made at a narrow discount, and
issues of new shares at a small premium, to the latest estimated NAV. This NAV
is calculated using the Index value as reported on RBC's website,
www.rbchedge250.com, and the marked-to-market value of collateral held and the
Company's fees and expenses, as set out in its latest Prospectus.
The Directors also intend to seek powers to repurchase shares into treasury and
to resell them in the market at a discount to NAV, no greater than the discount
at which they were acquired. Circular containing full details of this and
convening an extraordinary general meeting will be sent to all shareholders
shortly.
Index swap collateral
The Company obtains Index exposure through a total return swap. Under the swap
RBC pays the Company the Index returns while the Company pays interest at US$
LIBOR. In order to offset this funding cost, Hedge ETS provided collateral
through US treasuries which earned a little less than LIBOR. However, in August
2007, as a result of the credit crunch the differential between LIBOR and US
treasuries widened significantly, impacting the Company's NAV for the period. As
this issue was identified, action was taken and by mid-November US treasuries
were replaced with highly rated short dated commercial paper rated AA or better.
These have reduced the funding gap to a minimal amount going forward.
Outlook
Deteriorating investor sentiment and market volatility affected returns during
the closing weeks of 2007 and the early weeks of 2008. Short-term volatility
does, however, provide potentially profitable opportunities for hedge funds,
whose incentivised and talented managers seek to generate absolute returns.
Christopher Sherwell
29 February 2008
Investment Manager's Report
Global equities faced volatile and challenging conditions during the period
under review, with the MSCI World Total Return Index gaining just 0.07% in
dollar terms amid fears that contagion from the US sub-prime lending crisis
could seriously damage the global economy. Japan fell 6.8% in dollar terms while
the US fell 1.12%. By contrast, Asia excluding Japan gained 19.8% and Latin
America gained 18.6%. Within Europe, the UK was relatively weak, falling 2.9%,
while Europe excluding the UK rose 3.1% in dollars, aided by the euro's
strength.
In the commodities market, the London Brent Crude Oil Index rose 34.1% to $94.92
in response to fears of supply shortages while gold responded to the weakening
dollar, fears of financial instability and inflationary pressures by gaining
28.6% to $836.15.
With risk aversion increasing despite monetary easing in the US and the UK,
government bonds benefited from a "flight to quality", with US Treasury bonds
returning 7.9%. By contrast, lower-quality bonds underperformed. The JPM EMBI+
Total Return Index, which tracks emerging market sovereign debt, returned 5.8%
in dollars while high-yielding corporate bonds fell 1.3%.
Strategy allocation and returns
For the six month period ended 31 December 2007 the RBC Hedge 250 Index rose
1.17%.
The allocations in the nine sub-strategies within the RBC Hedge 250 Index are
rebalanced each month. For the six months to 31 December 2007, the rebalancing
resulted in increased allocations in the credit, equity market neutral, managed
futures and multi-strategy sub-strategies at the expense of convertible
arbitrage, equity long/short, fixed income arbitrage, macro and mergers and
special situations.
The strategy allocation at 31 December 2007 and returns for the sub-strategies
comprising the RBC Hedge 250 Index for the six months to 31 December 2007 are
shown below:
At 31 December 2007
Number of Funds Index Weight Six months to 31 December
2007
% return
Convertible arbitrage 9 2.1% -4.5%
Credit 31 12.9% -0.6%
Equity long/short 93 37.2% 4.7%
Equity market neutral 7 2.6% 1.0%
Fixed income arbitrage 12 4.1% 5.8%
Macro 22 8.2% 1.5%
Managed futures 15 6.1% 3.8%
Mergers & special situations 27 10.4% -1.3%
Multi-strategy 41 16.6% -0.5%
257 100%
Source: RBC Capital Markets
The composition of the Index by fund size and track record at 31 December 2007
is shown below
US$m AUM range of Index funds
US$m % of Index funds
Between 10 and 50 5.8
50 to 100 8.2
100 to 500 37.0
500 to 1,000 21.0
1,000 to 2,000 12.8
Over 2,000 15.2
Track record of Index funds
% of Index funds
1 to 2 years 0.8
2 to 3 years 2.3
3 to 4 years 16.3
4 + years 80.6
As can be seen from the table, five out of the nine strategies produced positive
returns. Fixed income arbitrage benefited from increased volatility and concerns
about the economy and interest rate cut speculation whilst equity long/short
returns disguised one of the most volatile periods for the strategy. Convertible
arbitrage and credit strategies suffered in an environment where credit spreads
widened and interest rate hedges were negative.
Outlook
At the turn of the year, there was increasing evidence that economic conditions
were deteriorating in the US and the more interest rate sensitive economies of
Europe such as the UK, Ireland and Spain. This was reflected in a de-rating of
equities, which were trading at the end of 2007 on a trailing earnings multiple
of 15.7 as measured by the MSCI World Index against a peak of more than 30 in
2002. The dividend yield on the MSCI World Index, meanwhile, had risen to a
four-year high of 2.3%.
Momentum in the emerging markets and positive money supply trends may result in
a "soft landing" but the "credit crunch" has increased the risks of more serious
dislocation. Central banks have responded with looser monetary policies, with
the US Federal Reserve being the most aggressive in its interest rate cuts, but
their room for further interest rate cuts may be constrained by increased
inflationary pressures. This is particularly the case in Europe, where the Bank
of England moved only modestly to ease monetary policy during the period and the
European Central Bank was on hold.
Such conditions may affect the government bond markets negatively. The central
bankers' shifting focus from bearing down on prices towards addressing financial
market dislocation could, however, result in rotation back into equities, which
look modestly valued, assuming the world economy avoids a full-scale recession.
The high dispersion of returns between asset classes, sectors and individual
stocks is likely to continue over the coming months in response to the
challenging economic circumstances. In such an environment, hedge funds should
benefit from short-term volatility and pricing anomalies in equity, fixed income
and commodity markets and be able to generate superior return compared to more
traditional investment strategies.
New Star Asset Management (Bermuda) Limited
29 February 2008
Interim Directors' Report
Net Asset Values
At 31 December 2007 the net asset value of the respective share classes were as
follows:
31 December 2007 30 June 2007
IX
US$ share class US$1.0528 US$1.0543
Euro share class Euro1.0392 Euro1.0464
Sterling share class �1.0543 �1.0538
3X
US$ share class US$1.0928 US$1.1485
Euro share class Euro1.0722 Euro1.1370
Sterling share class �1.0915 �1.1464
An analysis of the performance during the period may be found in the Chairman's
Statement and the Investment Manager's Review.
Conversion facility
The Company's Articles of Association enable Shareholders to convert some or all
of their shares in one class into shares of any other class with the same cell
on the last business day of March, June, September and December in each year or
such other days as the Directors may determine. Shares are converted from one
class to another by reference to the ratio of the most recently published NAV
per share of the respective share classes.
During the period the following shares were converted utilising this facility:
Shares redeemed Shares allotted
1X US dollar shares - 16,181,772
1X Euro shares 151,515 -
1X Sterling shares 7,919,191 107,905
3X US dollar shares 598,828 -
3X Euro shares - -
3X Sterling shares 90,250 293,559
Redemption facility
The Company's Articles of Association enable Shareholders, at the Directors'
discretion, to redeem up to 100 per cent of their shares for cash as at the
first business day in January or July in each year or up to 50 per cent of their
shares for cash in January, April, July, or October in each year.
The redemption facility was operated for the first time on 2 January 2008, with
valid requests for redemption being received in respect of 225,000 US dollar 1X
shares, 118,077 Euro 1X shares and 695,000 Sterling 1X shares. No redemption
requests were received for the 3X US dollar, 3X Euro or 3X sterling shares.
Share buy backs
During the six months to 31 December 2007, the Company repurchased a total of
4,487,500 IX US dollar shares, 9,359,512 1X Euro shares, 2,670,000 3X US dollar
shares, 45,000 3X Euro shares and 275,000 3X Sterling shares.
Further details of the changes to the issued share capital during the period may
be found in Note 10.
Risk management
The Investment Manager's report provides an analysis of the investment risks
faced by the Company in the remainder of the period. Details of the financial
risks faced by the Company may be found in Note 11.
Directors
At 31 December 2007 the Directors of the Company were Christopher Sherwell
(Chairman), John Duffield (Alternate: Thomas MacNeil) and John Hallam. Each of
the Directors served throughout the period.
Related parties
Mr Duffield is chairman of the Investment Manager and the Investment Advisor,
whilst Mr MacNeil, who acts as Mr Duffield's alternate, is the managing director
of the Investment Manager. Details of the fees received by the Investment
Manager may be found in Note 7.
During the period neither Mr Sherwell nor Mr Hallam were involved in any related
party transactions. At 31 December 2007 none of the directors or their families
held any shares in the Company.
Auditors
The half-yearly financial report has not been audited or reviewed by auditors
pursuant to the Auditing Practices Board guidance on the Review of Interim
Financial Information.
Responsibility Statement
We confirm that to the best of our knowledge:
* The condensed set of financial statements contained within the half yearly
report to 31 December 2007 has been prepared in accordance with IAS 34
"Interim Financial Reporting".
* The interim directors' report includes a fair review of important events
that have occurred during the first six months of the financial
year and their impact on financial statements
* The interim directors' report includes a description of the principal risks
and uncertainties for the remaining six months of the year.
* The interim directors' report includes a fair review of the information
concerning related party transactions as required by DTR 4.2.8R of the
FSA's Disclosure and Transparency Rules.
Approved by the Board on 29 February 2008.
C Sherwell J E Hallam
(Chairman) Director
Unaudited Balance Sheet
as at 31 December 2007
1X Cell 3X Cell Total
Notes US$ US$ US$
Assets
Financial assets at fair value through profit or 3,4 245,940,907 60,998,774 306,939,681
loss
(cost: 1X Cell US$: 240,597,422; 3X Cell
US$: 57,497,550)
Unrealised gain on open forward exchange contracts 3,4 130,236 25,101 155,337
Due from broker 520,000 353,100 873,100
Cash and cash equivalents 5 3,005,432 5,473,043 8,478,475
Other receivables 251,175 81,932 333,107
Total assets 249,847,750 66,931,950 316,779,700
Liabilities
Unrealised loss on open forward exchange contracts 3,4 132,349 73,618 205,967
Swap interest payable 3,443,218 3,294,419 6,737,637
Investment management fees payable 416,152 119,388 535,540
Administration fees payable 57,374 18,668 76,042
Capital payable 1,040,000 706,200 1,746,200
Share issuance costs payable - 8,952 8,952
Other payables 274,197 96,919 371,116
Total liabilities 5,363,290 4,318,164 9,681,454
Equity
Share Premium 224,412,506 58,104,047 282,516,553
Accumulated Capital Gains 20,071,954 4,509,739 24,581,693
Total equity 244,484,460 62,613,786 307,098,246
Total equity and liabilities 249,847,750 66,931,950 316,779,700
1X Cell 3X Cell
Net Asset Value
US$ share Class US$141,837,608 US$31,041,802
Euro share Class Euro49,118,492 Euro9,636,470
Sterling share Class �15,621,535 �8,829,694
Shares in issue
US$ share Class 10 134,724,543 28,405,282
Euro share Class 10 47,267,434 8,987,527
Sterling share Class 10 14,817,392 8,089,656
Net Asset Value per Share
US$ share Class US$1.0528 US$1.0928
Euro share Class Euro1.0392 Euro1.0722
Sterling share Class �1.0543 �1.0915
The accompanying notes form an integral part of the unaudited financial
statements.
Balance Sheet
as at 30 June 2007
1X Cell 3X Cell Total
Notes US$ US$ US$
Assets
Financial assets at fair value through profit or 3,4 259,195,140 70,593,266 329,788,406
loss (cost: 1X Cell US$: 250,310,776; 3X Cell
US$: 64,908,801)
Unrealised gain on open forward exchange contracts 3,4 652,337 161,030 813,367
Cash and cash equivalents 1,741,413 554,261 2,295,674
Other receivables 73,000 19,765 92,765
Total assets 261,661,890 71,328,322 332,990,212
Liabilities
Swap interest payable 2,869,361 2,227,576 5,096,937
Investment management fees payable 333,723 98,324 432,047
Administration fees payable 33,634 10,235 43,869
Share issuance costs payable 206,000 100,000 306,000
Other payables 350,217 53,175 403,392
Total liabilities 3,792,935 2,489,310 6,282,245
Equity
Share premium 242,942,647 61,785,522 304,728,169
Accumulated capital gains 14,926,308 7,053,490 21,979,798
Total equity 257,868,955 68,839,012 326,707,967
Total equity and liabilities 261,661,890 71,328,322 332,990,212
1X Cell 3X Cell
Net Asset Value
US$ share Class US$129,704,971 US$36,377,058
Euro share Class Euro59,412,211 Euro10,125,624
Sterling share Class �23,845,698 �9,356,173
Shares in issue
US$ share Class 10 123,030,271 31,674,110
Euro share Class 10 56,778,461 8,905,835
Sterling share Class 10 22,628,678 8,161,347
Net Asset Value per Share
US$ share Class US$1.0543 US$1.1485
Euro share Class Euro1.0464 Euro1.1370
Sterling share Class �1.0538 �1.1464
The accompanying notes form an integral part of the unaudited financial
statements.
Unaudited Income Statement
for the six month period ended 31 December 2007
1X Cell 3X Cell Total
Notes US$ US$ US$
Income
Interest 2 800,280 215,701 1,015,981
Investment income 800,280 215,701 1,015,981
Expenses
Swap interest expense 7 7,055,380 6,685,745 13,741,125
Investment management fees 7 1,101,579 334,180 1,435,759
Directors' fees 7 39,666 9,917 49,583
Audit fees 7 81,957 19,745 101,702
Administration fees 7 74,239 22,681 96,920
Custodian fees 7 28,371 9,241 37,612
Other expenses 520,308 188,449 708,757
Operating expenses 8,901,500 7,269,958 16,171,458
Net investment expense (8,101,220) (7,054,257) (15,155,477)
Net realised and unrealised gains/(losses) on investments
and foreign exchange
Net realised gain on investments 19,238,686 7,299,216 26,537,902
Net realised and unrealised loss on foreign exchange (1,796,491) (395,922) (2,192,413)
Net change in unrealised loss on investments and swap (3,540,879) (2,183,241) (5,724,120)
agreements
Net change in unrealised loss on open forward exchange 4 (654,450) (209,547) (863,997)
contracts
Total net realised and unrealised gains on investments 13,246,866 4,510,506 17,757,372
and foreign exchange
Return for the period 5,145,646 (2,543,751) 2,601,895
Earnings/(Loss) per Share 1X Cell 3X Cell
US$ share class US$0.0230 US$(0.0412)
Euro share class Euro0.0194 Euro(0.0436)
Sterling share class �0.0176 �(0.0438)
Weighted average shares for the period 1X Cell 3X Cell
US$ share class 129,679,490 30,601,363
Euro share class 53,154,533 8,961,681
Sterling share class 18,723,035 8,217,168
The accompanying notes form an integral part of the unaudited financial
statements.
Unaudited Statement of Changes in Equity
for the six month period ended 31 December 2007
1X Cell 3X Cell Total
US$ US$ US$
Balance at 30 June 2007 257,868,955 68,839,012 326,707,967
Return for the period 5,145,646 (2,543,751) 2,601,895
Share premium
Subscriptions, net of transfer between classes 16,873,007 820,272 17,693,279
Share issuance costs (124,256) (25,090) (149,346)
Payment on redemptions (35,278,892) (4,476,657) (39,755,549)
Total share premium (18,530,141) (3,681,475) (22,211,616)
Balance at 31 December 2007 244,484,460 62,613,786 307,098,246
The accompanying notes form an integral part of the unaudited financial
statements.
Unaudited Cash Flow Statement
for the six month period ended 31 December 2007
1X Cell 3X Cell Total
US$ US$ US$
Cash flows from operating activities
Return for the period 5,145,646 (2,543,751) 2,601,895
Adjustments to reconcile profit for the financial period
to net cash from operating activities:
Purchases of investments (1,138,240,244) (306,244,429) (1,444,484,673)
Sale of investments 1,159,119,542 319,543,234 1,478,662,776
Realised gain on investments and swap agreements (11,165,944) (5,887,554) (17,053,498)
Unrealised loss on investments and swap agreements 3,540,879 2,183,241 5,724,120
Decrease in unrealised gain on open forward exchange 522,101 135,929 658,030
contracts
Increase in unrealised loss on open forward exchange 132,349 73,618 205,967
contracts
Increase in due from broker (520,000) (353,100) (873,100)
Increase in swap interest payable 573,857 1,066,843 1,640,700
Increase in investment management fees payable 82,429 21,064 103,493
Increase in administration fees payable 23,740 8,433 32,173
Increase in other receivable (178,175) (62,167) (240,342)
Decrease in other payables (76,020) 43,744 (32,276)
Net cash provided by operating activities 18,960,160 7,985,105 26,945,265
Cash flows from financing activities
Subscriptions, net of transfer between classes 16,873,007 820,272 17,693,279
Payment on redemptions (34,238,892) (3,770,457) (38,009,349)
Share issuance costs (330,256) (116,138) (446,394)
Net cash used in financing activities (17,696,141) (3,066,323) (20,762,464)
Net increase cash and cash equivalents 1,264,019 4,918,782 6,182,801
Opening cash and cash equivalents 1,741,413 554,261 2,295,674
Ending cash and cash equivalents 3,005,432 5,473,043
8,478,475
Supplementary cash flow information:
Interest received 690,200 188,970 879,170
Interest paid (6,488,166) (5,618,959) (12,107,126)
The accompanying notes on pages 12 to 24 form an integral part of the unaudited
financial statements.
Notes to the Unaudited Financial Statements
for the six month period ended 31 December 2007
1 Organisation
New Star RBC Hedge 250 Index Exchange Traded Securities PCC Limited (the "
Company") is a closed ended protected cell company registered and incorporated
on 19 September 2006 in Guernsey under the provisions of the Companies
(Guernsey) Law, 1994 and the Protected Cell Companies Ordinance, 1997 to 1998
(as amended).
The investment objective of the Company is to provide access to performance
representative of the hedge fund asset class. The investment policy of the
Company is to provide access to such performance through investment exposure to
the RBC Hedge 250 Index (the "Index").
The Company has established two Cells, designated as the 1X Cell and the 3X
Cell, so that subject to compliance with certain conditions under Guernsey law,
the liability of the Company attributable to one Cell can only be satisfied out
of the assets of that Cell. Each Cell is deemed a separate reporting segment the
objectives of each are listed below:
* The 1X Cell aims to achieve its investment objective by entering into a
swap agreement (the "Swap") with Royal Bank of Canada ("the Swap
Counterparty"), which initially provides unleveraged exposure to the
performance of the Index.
* The 3X Cell aims to achieve its investment objective by entering into a
swap agreement with the Swap Counterparty, which initially provides
approximately three times exposure to the performance of the Index.
The assets of each Cell are invested in cash or highly rated cash and near cash
instruments with the intention of generating sufficient returns so as to offset
certain US dollar LIBOR based funding charges under the Swap in respect of the
relevant Cell although this cannot be guaranteed. Substantially all of these
instruments are posted under the terms of each Swap as collateral for the
purposes of securing each Cell's obligations to the Swap Counterparty.
The Index is a broad range of hedge funds constructed based on the RBC Hedge 250
Index Rules (the "Rules"). The Rules have been established to produce a
benchmark of the performance of the hedge fund asset class as represented by a
group of hedge funds selected pursuant to the Rules. The hedge funds that are
eligible for inclusion may be limited to the extent necessary to allow RBC to
hedge its exposure with respect to the Index.
The Index was launched on 1 July 2005 and at inception gave approximately equal
weightings to 250 funds representing nine strategies within four sectors.
On 28 November 2006 the 1X Euro Shares, 1X Sterling Shares, 1X US$ Shares, 3X
Euro Shares, 3X Sterling Shares and 3X US$ Shares were listed on the London
Stock Exchange.
Earnings per Share (EPS) have been calculated at Share Class level for the 1X
Cell and the 3X Cell in the base currency of each share Class.
2 Significant accounting policies
(a) Statement of compliance
The financial statements have been prepared in accordance with International
Financial Reporting Standards issued by the International Accounting Standards
Board (IASB), interpretations issued by the International Financial Reporting
Interpretations Committee of the IASB, and the Companies (Guernsey) Law, 1994.
The financial statements are presented in United States dollars ("US$").
(b) Basis of preparation
The financial statements have been prepared on a historical cost basis, except
for financial instruments classified at fair value through profit or loss that
have been measured at fair value. The preparation of financial statements in
conformity with International Financial Reporting Standards requires management
to make estimates and assumptions that affect the amounts reported in the
financial statements and accompanying notes. Management believes that the
estimates utilised in preparing its financial statements are reasonable and
prudent. Actual results could differ from these estimates.
The Company has not early adopted IFRS 7 "Financial Instruments: Disclosures"
which will enhance disclosure requirements of IAS 32 for annual periods
commencing on 1 January 2007.
(c) Financial instruments
(i) Classification
The Company has designated its investments as financial assets and liabilities
at fair value through profit or loss category. This category has two
sub-categories: financial assets and liabilities held for trading and those
designated by management at fair value through profit and loss at inception.
Financial assets or liabilities held for trading are acquired or incurred
principally for the purpose of selling or repurchasing in the short term. All
the investments and derivatives held by the Company have been categorised as
held for trading.
The Company does not designate any derivatives as hedges for hedge accounting
purposes as described under IAS 39.
(ii) Initial measurement
Purchases and sales of financial instruments are accounted for at trade date.
Realised gains and losses on disposals of financial instruments are calculated
using "first-in-first-out" method of valuation.
Financial instruments categorised at fair value through profit or loss is
measured initially at fair value, with transaction costs for such instruments
being recognised directly in the income statement.
Financial instruments, other than those at fair value through profit or loss,
are measured initially at fair value plus transaction costs that are directly
attributable to their acquisition or use.
(iii) Subsequent measurement
After initial measurement, the Company measures financial instruments which are
classified at fair value through profit or loss at their fair values. Fair value
is the amount for which an asset could be exchanged, or a liability settled,
between knowledgeable, willing parties in an arm's length transaction. The fair
value of financial instruments is based on their quoted market prices on a
recognised exchange or sourced from a reputable broker/counterparty in the case
of non-exchange traded instruments, at the balance sheet date without any
deduction for estimated future selling costs. Financial assets are priced at
their current bid prices, while financial liabilities are priced at their
current offer prices.
If a quoted market price is not available on a recognised stock exchange or from
a broker/counterparty, the fair value of the financial instruments may be
estimated by the directors using valuation techniques, including use of recent
arm's length market transactions, reference to the current fair value of another
instrument that is substantially the same, discounted cash flow techniques,
option pricing models or any other valuation technique that provides a reliable
estimate of prices obtained in actual market transactions.
The fair value of derivative financial instruments at the reporting date
generally reflects the amount that the Company would receive or pay to terminate
the contract at the reporting date. Many derivative financial instruments are
exchange traded or are traded in the over the counter market where market values
are readily obtainable.
The unrealised gain or loss on open forward contracts is calculated as the
difference between the forward rate for the transaction specified in the
contract and the forward rate on the valuation date as reported in published
sources, multiplied by the face amount of the forward contract.
Subsequent changes in the fair value of financial instruments at fair value
through profit or loss are recognised in the Income Statement.
(d) Offsetting
Financial assets and liabilities are offset and the net amount reported in the
balance sheet when there is a legally enforceable right to set-off the
recognised amounts and there is an intention to settle on a net basis, or
realise the assets and settle the liability simultaneously.
(e) Cash and cash equivalents
Cash includes deposits with the Custodian. Cash equivalents are short-term
highly liquid investments that are readily convertible to known amounts of cash,
are subject to an insignificant risk of changes in value, and are held for the
purpose of the meeting short-term cash commitments rather than for investments
or other purposes.
(f) Foreign currency translation
(i) Functional and presentation currency
Items included in the Company's financial statements are measured using the
currency of the primary economic environment in which it operates ('the
functional currency'). This is the United States dollar, which reflects the
Company's investment objectives.
(ii) Foreign currency transactions
Monetary assets and liabilities denominated in currencies other than the United
States dollar are translated into United States dollar at the closing rates of
exchange at each period end. Transactions during the period, including
purchases and sales of securities, income and expenses, are translated at the
rate of exchange prevailing on the date of the transaction. Foreign currency
transaction gains and losses are included in realised and unrealised gain and
loss on investments.
(g) Interest income and expense
Interest income and non-swap interest expense are recognised on an accruals
basis in line with contractual terms. Interest is accrued on a daily basis.
All expenses, including investment management fees, are recognised in the Income
Statement on an accruals basis, with the exception of commissions payable to
placing agents and the Investment Manager which have been deducted from gross
subscriptions received and all costs associated with the issuance of shares
which have been deducted from share premium.
3. Financial instruments at fair value through profit or loss
Financial assets at fair value through profit or loss
Fair Value Fair Value Fair Value
As at 31 December 2007 1X Cell 3X Cell Total
US$ US$ US$
Bonds 242,002,550 57,842,850 299,845,400
Swap Agreements 3,938,357 3,155,924 7,094,281
Total financial assets at fair value through 245,940,907 60,998,774 306,939,681
profit or loss
Fair Value Fair Value Fair Value
As at 30 June 2007 1X Cell 3X Cell Total
US$ US$ US$
Bonds 250,595,660 64,974,420 315,570,080
Swap Agreements 8,599,480 5,618,846 14,218,326
Total financial assets at fair value through
profit or loss 259,195,140 70,593,266 329,788,406
Open forward foreign currency contracts
Fair Value Fair Value Fair Value
1X Cell 3X Cell Total
As at 31 December 2007 US$ US$ US$
Open forward foreign currency contracts (2,113) (48,517) (50,630)
Total (2,113) (48,517) (50,630)
Fair Value Fair Value Fair Value
1X Cell 3X Cell Total
As at 30 June 2007 US$ US$ US$
Open forward foreign currency contracts 652,337 161,030 813,367
Total 652,337 161,030 813,367
The full amount of the bonds are pledged as explained in note 6.
4. Derivative contracts
Typically, derivative contracts serve as components of the Company's investment
strategy and are utilised primarily to structure and hedge investments to
enhance performance to the Company (the Company does not designate any
derivatives as hedges for hedge accounting purposes as described under IAS 39).
The derivative contracts that the Company holds are swap agreements and forward
foreign exchange contracts.
The Company records its derivative activities on a fair value basis. Fair values
are determined by using quoted market prices. For OTC contracts, the Company
enters into master netting agreements with its counterparties, therefore, assets
represent the Company's unrealised gains, less unrealised losses for OTC
contracts in which the Company has a master netting agreement. Similarly,
liabilities represent net amounts owned to counterparties on OTC contracts.
Each Swap is valued on the basis of the latest available valuation
provided by the Swap Counterparty.
The valuation of each Swap is dependent, among other things, on the Index
Administrator determining the Index level in accordance with the Index Rules.
The Index level may reflect estimates of the net asset value of all or some of
the hedge funds provided by administrators or managers of the relevant hedge
funds. Further, the Index level may be estimated by the index administrator, RBC
Capital Markets Corporation ("Index Administrator").
As at 31 December 2007, the following derivative contracts were included in the
Company's balance sheet at fair value through profit or loss:
Swap agreements:
1X Cell Nominal Unrealised gain
US$
New Star RBC Hedge 250 Index Exchange Traded 250,250,000 3,938,357
Securities Index Swap
3X Cell Nominal Unrealised gain
US$
New Star RBC Hedge 250 Index Exchange Traded 202,160,000 3,155,924
Securities Index Swap
Open forward foreign exchange contracts at 31 December 2007 were:
1X Cell Nominal Unrealised gain/(loss)
US$
EUR /US$ (72,845,232) 130,236
GBP/US$ (32,078,951) (132,349)
Total (2,113)
3X Cell Nominal Unrealised gain/(loss)
US$
EUR /US$ (14,039,941) 25,101
GBP/US$ (17,843,775) (73,618)
Total (48,517)
As at 30 June 2007, the following derivative contracts were included in the
Company's balance sheet at fair value through profit or loss:
Swap agreements:
1X Cell Nominal Unrealised gain
US$
New Star RBC Hedge 250 Index Exchange Traded 213,250,000 8,599,480
Securities Index Swap
3X Cell
New Star RBC Hedge 250 Index Exchange Traded 138,160,000 5,618,846
Securities Index Swap
Open forward foreign exchange contracts at 30 June 2007 were:
1X Cell Nominal Unrealised gain
US$
GBP/US$ 0.49856414 31/07/2007 23,704,444 212,001
EUR/US$ 0.73895111 31/07/2007 59,290,964 440,336
Total 652,337
3X Cell Nominal Unrealised gain
US$
GBP/US$ 0.49856414 31/07/2007 9,313,812 83,298
EUR/US$ 0.73895111 31/07/2007 10,466,595 77,732
Total 161,030
The counterparty for all derivative transactions entered into by the Company is
the Royal Bank of Canada.
The primary difference in the risk associated with OTC contracts and
exchange-traded contracts is credit risk. The Company has credit risk from OTC
contracts when two conditions are present (i) the OTC contracts have unrealised
gains, net of any collateral and (ii) the counterparty to the contract defaults.
The credit risk related to exchange-traded contracts is minimal because the
exchange ensures that their contracts are always honoured.
Swap agreements ("swaps") represent agreements that obligate two parties to
exchange a series of cash flows at specified intervals based upon or calculated
by reference to changes in specified prices or rates for a specified amount of
an underlying asset or otherwise determined notional amount. The payment flows
are usually netted against each other, with the difference being paid by one
party to the other. Therefore amounts required for the future satisfaction of
the swap may be greater or less than the amount recorded.
The realised gain or loss depends upon the prices at which the underlying
financial instruments of the swap are valued at the swap's settlement date and
is included in the income statement. Unrealised gains or losses are fair valued
in accordance with the accounting policy stated in Note 2 and the resulting
movement in the unrealised gain or loss is recorded in the Income Statement.
5. Cash and cash equivalents
To the extent not provided as collateral under the swaps, the Company's
Custodian holds each Cell's cash and cash equivalents balances.
Of the US$3,005,432 and US$5,473,043 in Cash and cash equivalents, the amount of
US$-2,426,393 and US$5,303,668 are collateralised for the 1X Cell and 3X Cell
respectively.
6. Collateral
Under the terms of Swap relating to 1X and 3X Cells both Cells are required to
post collateral to secure their obligations to the Swap Counterparty at the
outset of the swap equal to the full value of the initial notional amount under
the swap for the 1X Cell and approximately one third of the initial notional
amount under the swap for the 3X Cell. In addition, during the life of the swap,
the Company may be required to post further collateral to secure its obligations
to the Swap Counterparty under the swap in the event that the leverage ratio
under the Swap reaches 1.5 times in relation to the 1X Cell and four times in
relation to the 3X Cell, in order to reduce the leverage ratio.
7. Fees and expenses
Investment management fees
New Star Asset Management (Bermuda) Limited (the "Investment Manager") is paid
by the Company an investment management fee of 0.85% and 1% per annum of the Net
Asset Value for 1X Cell and 3X Cell, respectively (before deducting the amounts
of that months' investment management fees). The fee is calculated and paid
monthly in arrears. Management fees of US$1,101,579 and US$334,180 respectively
for 1X Cell and 3X Cell were incurred during the six month period ended 31
December 2007, of which US$416,152 (June 2007: US$333,723) and US$119,388 (June
2007: US$98,324) was outstanding at the period end.
Swap interest expense
Both 1X and 3X Cells are liable to pay a swap interest charge on the floating
notional amount under the relevant swap. The swap interest charge is monthly US
dollar LIBOR plus a spread, which varies according to the level of collateral
posted in respect of the swap, on an annualised basis. The spread is initially
anticipated to be between 0.50 and 0.75% for 1X Cell and 0.98 and 1.16% for 3X
Cell, depending on the leverage ratio under the swap. During the period under
review the Company incurred swap interest expense of US$7,055,380 and
US$6,685,745 for 1X Cell and 3X Cell respectively, of which US$3,443,218 (June
2007: US$ 2,869,361) and US$3,294,419 (June 2007: US$2,227,576) was outstanding
at the period end.
Administration fees
HSBC Securities Services (Guernsey) Limited, (the "Administrator" and "Company
Secretary"), a company incorporated in Guernsey is paid an annual fee on a time
cost basis (with an annual minimum of US$5,800) by the Company for corporate
secretarial and administrative services and is also reimbursed all reasonable
out of pocket expenses owed to the Administrator. The Administrator is
responsible for payment of all of the Sub-Administrator's fees and expenses.
Each Cell pays fees to the Administrator on a sliding scale basis. The rates are
0.06% per annum on the first US$37.5 million Net Asset Value of each Cell, 0.05%
per annum on the next US$37.5 million of the Net Asset Value of each Cell and
0.04% per annum on the remaining Net Asset Value. These fees are accrued and
calculated monthly and paid monthly in arrears. During the six month period
ended 31 December 2007 administration fees of US$74,239 and US$22,681 for the 1X
Cell and 3X Cell, respectively, were incurred, of which US$57,374 (June 2007:
US$33,634) and US$18,668 (June 2007: US$10,235) was outstanding at the period
end.
Custodian fees
HSBC Institutional Trust Services (Ireland) Limited (the "Custodian") is paid a
fee by each Cell equal to 0.03% per annum on the first US$50 million Net Asset
Value of each Cell and 0.02% per annum of the Net Asset Value of each Cell above
US$50 million. The custody fee is accrued and calculated monthly and paid
monthly in arrears. During the six month period ended 31 December 2007 custodian
fees of US$28,371and US$9,241 were incurred by the 1X Cell and 3X Cell,
respectively, of which US$ 28,371 (June 2007: US$ 16,610) and US$ 9,241 (June
2007: US$5,229) was outstanding at the period end.
Registrar fees
Capita Registrars (Guernsey) Limited, (the "Registrar"), is paid a fee
calculated on the basis of number of shareholders and the number of transfers
processed. During the six month period ended 31 December 2007 registrar fees of
US$7,593 and US$1,807 were incurred by the 1X Cell and 3X Cell, respectively, of
which US$12,058 (June 2007: US$3,574) and US$21,321 (June 2007: US$2,755) were
prepaid to the Registrar as at the period end.
Directors' fees
The directors are entitled to receive remuneration not exceeding �50,000 in
aggregate for all of them for the first financial year of the Company.
Christopher Sherwell is entitled to receive �20,000 per annum directors' fees,
payable quarterly in advance and John Duffield and John Hallam are entitled to
receive �15,000 each per annum as directors, fees payable quarterly in advance.
Directors' remuneration for the six month period ended 31 December 2007 amounted
to US$39,666 and US$9,917 for 1X and 3X Cell respectively, of which US$20,722
and US$3,952 were prepaid at the period end. However for the period ended 30
June 2007 the director fees of US$2,414 and US$822 was outstanding for the 1X
Cell and 3X Cell respectively.
Auditors' remuneration
Auditors remuneration for other professional services for the period amounted to
US$101,702.
8. Dividend policy
The Directors intend to seek certification of each Sterling Share class in the
Company as having distributing fund status with a view to ensuring that on a
disposal of Sterling Shares (by way of redemption, transfer or otherwise) UK
resident Shareholders are subject to capital gains tax rather than income tax.
It cannot be guaranteed, however, that the conditions necessary to obtain
distributing fund status will always be met.
It is not envisaged that any income or gains will be distributed on the US
Dollar and Euro shares by way of dividend.
9. Taxation
The Company is registered in Guernsey as an exempt company and therefore, is not
liable for Guernsey income tax.
Guernsey does not levy capital gains tax (with the exception of dwellings profit
tax) and therefore, the Company will not suffer any tax in Guernsey on capital
gains. Payments made by the Company to non Guernsey resident shareholders
whether made during the life of the Company or by distribution on the
liquidation of the Company will not be subject to Guernsey tax. The Directors
intend to conduct the affairs of the Company so that it does not become resident
in the United Kingdom for taxation purposes.
As a result, and provided the Company does not trade in the United Kingdom
through a fixed place of business or agent situated therein that constitutes a "
permanent establishment" for United Kingdom taxation purposes and that all its
trading transactions in the United Kingdom are carried out through a broker or
investment manager acting as an agent of independent status in the ordinary
course of its business, the Company will not be subject to United Kingdom
corporation tax or income tax on its profits.
10. Share capital
Authorised:
The authorised share capital of the Company consists of two Management Shares of
no par value and unlimited number of ordinary shares of no par value.
Issued:
The Company is a closed ended protected cell investment company. Two management
shares have been allotted in respect of the non cellular assets of the Company
to the Investment Manager and to the nominee of the Administrator. There have
been no other transactions in the non cellular assets of the Company.
Transactions in ordinary shares during the six month period ended 31 December
2007 were as follows:
Class 1X Cell 3X Cell
US$ Shares shares shares
Opening balance 123,030,271 31,674,110
Shares issued 16,181,772 -
Shares redeemed (4,487,500) (3,268,828)
Closing balance 134,724,543 28,405,282
Class 1X Cell 3X Cell
Euro Shares Shares Shares
Opening balance 56,778,461 8,905,835
Shares issued - 126,692
Shares redeemed (9,511,027) (45,000)
Closing balance 47,267,434 8,987,527
Class 1X Cell 3X Cell
Sterling Shares Shares Shares
Opening balance 22,628,678 8,161,347
Shares issued 107,905 293,559
Shares redeemed (7,919,191) (365,250)
Closing balance 14,817,392 8,089,656
11. Risks
The Company's investing activities expose it to various types of risk, which are
associated with the financial instruments and markets in which it invests. The
Company uses derivatives and other instruments for trading purposes and in
connection with its risk management activities. These risks are discussed below.
The Company has investment guidelines that set out its overall business
strategies, its tolerance for risk and its general risk management philosophy
and has established processes to monitor and control economic hedging
transactions in a timely and accurate manner. The Company's accounting policies
in relation to derivatives are set out in Note 2. As an investment company, the
Company buys sells or holds financial assets and liabilities in order to take
advantage of changes in market prices or rates.
(a) Business risk
The business risk is the risk that the Company may not achieve its investment
objective. Meeting that objective is a target but the existence of such an
objective should not be considered as an assurance or guarantee that it can or
will be met. The investment results of the Company are reliant upon the
performance of the Index. There is no assurance about the performance of the
Index over the life of the Company and as a result Net Asset Value per Share may
not increase over its issue price and may decrease below its issue price.
(b) Liquidity risk
The Swap Counterparty may terminate the Swap in whole or in part in
accordance with the conditions set out in the terms of the Swap and without
consultation with, consideration of, or regard for the Company. Such termination
may result in realisation of losses for the Company. The Company may by 3
business days' prior notice terminate a Swap for any reason at any time, such
termination to become effective at the end of the next quarter. Other than the
Swap the Company invests in instruments which are readily realisable.
The swap Counterparty may terminate the swap in whole or in part in
accordance with the conditions set out in the terms of the swap and without
consultation with, consideration of, or regard for the Company. Such termination
may result in realisation of losses for the Company.
(c) Market price risk
The assets of each Cell are invested by the Investment Manager and/or
Investment Advisor in cash or highly rated cash and/or near cash instruments
with the aim of generating a return so as to offset part or all (depending on
the amount of leverage (if any)) of the USD LIBOR-based funding charges in
respect of the relevant Cell. The return on the Company's instruments may
generate a return less than USD LIBOR and such differences may be significant
from time to time.
(d) Use of estimates in the calculation of the Net Asset Value
The Company normally determines the value of the swaps and calculates and
publishes figures for the Net Asset Value for each Cell and the Net Asset Value
per Share of each Class before the final Index level for a month end is
determined, on the basis of a reasonably accurate estimate of the Index for that
month end by the directors in consultation with the Investment Manager and
Investment Advisor.
(e) Counterparty risk
Each Cell is subject to significant exposure to the creditworthiness of RBC as
the Swap Counterparty and the risk of the inability of the Swap Counterparty to
perform with respect to its obligations under each swap, whether due to
insolvency or other causes. However, under the terms of each swap and the
relevant collateral agreements, collateral held by or on behalf of the Swap
Counterparty is held in custody and, in the event of the insolvency of the Swap
Counterparty the portion of collateral held by or on behalf of the Swap
Counterparty (which is not needed to satisfy the Company's obligations upon
close-out of the Swap) is recoverable by the Company.
(f) Leverage risk
The swap entered into by the 3X Cell is highly leveraged, which increases the
potential for volatility in the performance of the 3X Cell Shares. The use of
leverage creates special risks and may significantly increase the 3X Cell's
investment risk. Leverage creates the opportunity for greater total return but,
at the same time, increases the 3X Cell's exposure to capital risk and interest
costs. Whilst the use of leverage may cause the Net Asset Value of the 3X Shares
to increase more rapidly than would otherwise be the case without leverage,
leverage may also cause the Net Asset Value of the 3X Shares to decrease more
rapidly than would otherwise be the case without leverage.
An increase in one month USD LIBOR rates causes an increase in the payments due
by the relevant Cell to the Swap Counterparty under the swap entered into by
each Cell, and such increase may cause the market price of the relevant Shares
to fall. Considering the leverage under the swap entered into by the 3X Cell,
any fall in the market price of the 3X Cell Shares may be greater than would
otherwise be the case without leverage. As a result of the leverage within the
3X Cell, it is expected that the amount of interest generated on the collateral
provided by the 3X Cell will be less than the funding charges payable under the
swap as they are charged under the floating notional amount under the 3X Cell
Swap (which, assuming a leverage ratio of 3 times, is 3 times the collateral
provided). Any increase in one month USD LIBOR increases this shortfall and
hence increases the potential losses to which the 3X Cell is exposed.
A sudden or sharp decline in the value of the notional interests in the Index
and/or foreign exchange transactions under the swap entered into by the 3X Cell
may result in losses under the swap exceeding the value of the collateral posted
by the 3X Cell in respect of the swap (and any other assets of the 3X Cell), and
in such circumstances investors in 3X Shares would lose their entire investment.
Neither the Company nor any of the Cells borrow any monies directly. However,
each Cell is able to take advantage of leverage embedded within each relevant
swap, and the ability to make adjustments under each relevant swap, for
investment and liquidity purposes.
With respect to the 1X Cell, the Investment Manager and/or Investment Advisor do
not utilise leverage for investment purposes but may do so for liquidity
purposes. It is not anticipated that the leverage ratio will be more than 1.25
times exposure to the performance of the Index. The leverage ratio may go above
that temporarily due to market fluctuations.
With respect to the 3X Cell, the Investment Manager and/or Investment Advisor
may utilise leverage for investment and liquidity purposes. The Investment
Manager and/or Investment Advisor target a leverage ratio of approximately 3
times exposure to the performance of the Index and endeavour to maintain a
leverage ratio between 2.7 and 3.3 times. The leverage ratio may go outside this
range temporarily due to market fluctuations.
(g) Interest rate risk
The majority of the Company's financial assets and liabilities are interest
bearing and as a result the Company is subject to significant amounts of risk
due to fluctuations in the prevailing market interest rate. In addition to other
interest rate-related risks, if US dollar interest rates rise, the market price
of the Shares may be adversely affected.
(h) Currency risk
The Company invests in securities and other investments that are denominated in
currencies other than that of the Sterling and Euro Share Classes. Accordingly,
the value of these Share Classes may be affected favourably or unfavourably by
fluctuations in currency rates and therefore be subject to foreign exchange
risks.
The primary purpose of the Company's foreign currency economic hedging
activities is to protect against the volatility associated with investments in
foreign currencies and other assets and liabilities created in the normal course
of business. The Company primarily utilises forward foreign exchange contracts
to hedge foreign currency denominated financial assets, liabilities and firm
commitments. Increases or decreases in the Company's foreign currency
denominated financial assets and liabilities are partially offset by gains and
losses on the economic hedging instruments.
12. Exchange Rates
The following exchange rates were used to translate assets and liabilities into
the reporting currency (United States dollar) at :
31 December 2007
US$: Euro 1 : 0.68540
US$: Sterling 1 : 0.50420
The following exchange rates were used to translate assets and liabilities into
the reporting currency (United States dollar) at :
30 June 2007
US$: Euro 1 : 0.73972
US$: Sterling 1 : 0.49836
13. Related parties
Except for Mr Duffield who is chairman of the Investment Manager and the
Investment Advisor and Mr MacNeil who is the managing director of the Investment
Manager, which receives fees as per Note 7, none of the directors was a party to
any transaction which was unusual in its nature or conditions or significant to
the business of the Company or has any actual or potential conflicts of
interests between their duties to the Company and their private interests or
other duties.
As at 31 December 2007 none of the directors or their families held any shares
in the Company.
14. Cross Cell and cross class liability
The Company has been constituted as a protected cell company under Guernsey law.
A protected cell company is a multi-cellular company whose principal feature is
that each cell has its own distinct assets which are not available to creditors
of other cells of that company or the company as a whole. Jurisdictions other
than Guernsey may not be prepared to accept that creditors of a particular Cell
are prevented from gaining access to the assets of other Cells or that creditors
of a multi-cellular company as a whole do not have access to those assets
specifically designated as cellular assets.
Where a Cell utilises a higher level of leverage than another Cell (such as the
3X Cell compared to the 1X Cell), there is a higher risk that the assets of the
higher leveraged Cell will be insufficient to satisfy the claims of any
creditors of that Cell.
The Company issued more than one Class of Share in each Cell. Although the
Articles of the Company require the establishment of accounts for each Class of
Shares and the attribution of assets and liabilities to the relevant Class, if
the liabilities of a Class exceed its assets, creditors of the Company may have
recourse to the assets attributable to the other Classes in that Cell. As at the
date of this document, the directors are not aware of any such existing or
contingent liability.
15. Comparative figures
As this is the first set of interim financial statements, only the
comparative for Balance sheet (30 June 2007) has been given.
16. Approval of financial statements
The Financial Statements were approved by the Directors on 29
February, 2008.
Schedule of Investments
1X Cell
As at 31 December 2007
Quantity/ Financial Assets at Fair Value through Profit or Loss Fair Value US$ % of Net Assets
Nominal
Bond - Fixed income
25,500,000 ABN Amro Australia, Zero Coupon 09/05/2008 25,020,600 10.23
25,500,000 Bank of Scotland, Zero Coupon 09/05/2008 25,030,800 10.24
25,500,000 Barclays Bank, Zero Coupon 09/05/2008 25,061,400 10.25
25,500,000 Commonwealth Bank of Australia, Zero Coupon 09/05/2008 25,030,800 10.24
25,500,000 Fortis Lux Finance, Zero Coupon 11/02/2008 25,362,300 10.37
25,500,000 Natixis, Zero Coupon 11/02/2008 25,349,550 10.37
15,500,000 Royal Bank of Scotland, Zero Coupon 11/02/2008 15,407,000 6.30
25,500,000 SG Australia, Zero Coupon 11/02/2008 25,347,000 10.37
25,500,000 Toyota Motor Finance, Zero Coupon 09/05/2008 25,030,800 10.24
25,500,000 UBS London, Zero Coupon 11/02/2008 25,362,300 10.37
Swap
250,250,000 New Star RBC Hedge 250 Index Swap 3,938,357 1.61
Forward foreign exchange contracts
(72,845,232) EUR/US$ 31/01/2008 130,236 0.05
(32,078,951) GBP/US$ 31/01/2008 (132,349) (0.05)
Total forward foreign exchange contracts (2,113)
-
Financial assets at fair value through profit or loss 245,938,794 100.59
Cash at bank 3,005,432 1.23
Other net liabilities (4,459,766) (1.82)
Net asset value 244,484,460 100.00
3X Cell
As at 31 December 2007
Quantity/ Financial Assets at Fair Value through Profit or Loss Fair Value US$ % of Net Assets
Nominal
Bond - Fixed income
6,500,000 Bank of Scotland, Zero Coupon 09/05/2008 6,380,400 10.19
6,500,000 Barclays Bank, Zero Coupon 09/05/2008 6,388,200 10.20
6,500,000 Commonwealth Bank of Australia, Zero Coupon 09/05/2008 6,380,400 10.19
6,500,000 Fortis Lux Finance, Zero Coupon 11/02/2008 6,464,900 10.33
6,500,000 Natixis, Zero Coupon 11/02/2008 6,461,650 10.32
6,500,000 Royal Bank of Scotland, Zero Coupon 11/02/2008 6,461,000 10.32
6,500,000 SG Australia, Zero Coupon 11/02/2008 6,461,000 10.32
6,500,000 Toyota Motor Finance, Zero Coupon 09/05/2008 6,380,400 10.19
6,500,000 UBS London, Zero Coupon 11/02/2008 6,464,900 10.32
Swap
202,160,000 New Star RBC Hedge 250 Index Swap 3,155,924 5.04
Forward foreign exchange contracts
(14,039,941) EUR/US$ 31/01/2008 25,101 0.04
(17,843,775) GBP/US$ 31/01/2008 (73,618) (0.12)
Total forward foreign exchange contracts (48,517) (0.08)
Financial assets at fair value through profit or loss 60,950,257 97.34
Cash at bank 5,473,043 8.74
Other net liabilities (3,809,514) (6.08)
Net asset value 62,613,786 100.00
1X Cell
As at 30 June 2007
Quantity/ Financial Assets at Fair Value Fair Value % of Net Assets
Nominal through Profit or Loss US$
Bond - Fixed income
251,080,000 US Treasury Bill 4.35% 19/07/2007 250,595,660 97.18
Swap
213,250,000 New Star RBC Hedge 250 Index Swap 8,599,480 3.33
Forward foreign exchange contracts
23,704,444 GBP/US$ 31/07/2007 212,001 0.08
59,290,964 EUR/US$ 31/07/2007 440,336 0.17
Total forward foreign exchange contracts 652,337 0.25
Financial assets at fair value through profit or loss 259,847,477 100.76
Cash at bank 1,741,413 0.68
Other net liabilities (3,719,935) (1.44)
Net asset value 257,868,955 100.00
3X Cell
As at 30 June 2007
Quantity/ Financial Assets at Fair Value Fair Value % of Net Assets
Nominal through Profit or Loss US$
Bond - Fixed income
65,000,000 US Treasury Bill 4.35% 19/07/2007 64,974,420 94.39
Swap
138,160,00 RBC Hedge 250 Index Swap 5,618,846 8.16
Forward foreign exchange contracts
10,466,595 EUR/US$ 31/07/2007 77,732 0.11
9,313,812 GBP/US$ 31/07/2007 83,298 0.12
Total forward foreign exchange contracts 161,030 0.23
Financial assets at fair value through profit or loss 70,754,296 102.78
Cash at bank 554,261 0.81
Other net assets (2,469,545) (3.59)
Net asset value 68,839,012 100.00
This information is provided by RNS
The company news service from the London Stock Exchange
END
IR BRGDXLSGGGIX
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