BH Macro Limited
Annual Report and Audited Financial Statements 2017
LEI: 549300ZOFF0Z2CM87C29
(Classified Regulated Information, under DTR 6 Annex 1 section
2.5)
Chairman’s Statement
In February and March 2017,
Shareholders approved proposals put forward by the Board, in the
form of a tender offer and associated structural changes. In the
tender, Shareholders holding 52% of the Company’s shares by value
chose to remain invested in the Company with the remaining 48%
taking up the offer in the tender to sell their shares at 96% of
Net Asset Value (“NAV”). This has left the Company a smaller, but
still substantial, fund with a total NAV at 28 February 2018 of the equivalent of
$485 million. As a result of the
tender, the size of the Euro class of the Company’s shares fell
below $25million and, under the terms
of the tender, the Euro shares were converted into Sterling shares in June and the Euro class was
cancelled.
The structural changes delivered a reduction in management and
operational services fees from 2.5% to 1% and in due course a
shortening of the notice period for termination of the Company’s
management agreement with its manager, Brevan Howard Capital
Management LP (the “Manager”) from two years to three months. These
were material improvements for Shareholders.
Following this restructuring, Ian
Plenderleith retired from the Board, having served as
Chairman since the Company was formed in 2007. He presided over the
Company as it grew significantly in the early years and provided
strong leadership and wise counsel to the Board as the Company
adapted to a more challenging investment environment. I would like
to thank Ian again for his service to the Company and to wish him
well in his retirement.
Over 2017, the Net Asset Value per Sterling share in the Company declined by 4.35% and
that per US dollar share declined by 0.30%, despite benefitting
from uplifts as a result of the tender offer, amounting to 1.20%
for the Sterling shares and 4.46% for
the US dollar shares.
The Company’s performance is directly related to the performance
of Brevan Howard Master Fund Limited (the “Master Fund”) into which
the Company invests substantially all of its assets. In recent
years, the Master Fund’s performance has been constrained by market
conditions that have offered few opportunities for its
macro-directional trading focus: major economies experienced
synchronised slow growth; extreme easing in monetary policy
resulted in low interest rates and flat yield curves; and there was
limited trend movement in exchange rates.
During 2016, as recorded in Ian Plenderleith’s Chairman’s
Statement in the Company’s previous Annual Report, the global
economic environment began to change. The major economies began to
display divergent growth performance; there were similar
divergences in monetary policy, with the US finally raising rates,
while further easing was being implemented elsewhere; and exchange
rates responded accordingly.
These developments in the real economy continued throughout
2017, with the US raising rates three times and the UK finally
following suit in November. Despite this, equity markets continued
to rise and volatility fell to historic low levels across many
financial markets. As a result, opportunities for the Master Fund
to achieve trading gains through its strategies continued to be
sparse and its performance was disappointing.
The Master Fund has been alert to the importance of seeking to
preserve investors’ capital. The past performance of the Master
Fund and the Company demonstrates low levels of correlation with
equity markets, but more significant correlation with market
volatility. This was demonstrated by the over 5% increase in NAV
following the unexpected result of the US Presidential Election in
November 2016 and again by the 2.5%
increase in NAV (US Dollar share class) in January 2018.
Many observers believe that the strength in equity markets
cannot continue indefinitely. There are significant local and
international political risks and the increased volatility seen in
late January 2018 has given a warning
of what the current year may hold. As and when the market
environment changes, the Company offers Shareholders the
opportunity to benefit from the Master Fund’s long-term track
record of preserving capital and achieving positive returns,
uncorrelated with equities and other markets.
Following the completion of the tender offer and the consequent
reduction in its size, the Company left the FTSE250 group of
companies listed on the London Stock Exchange in June 2017. Subsequently, the Board concluded that
the benefits of maintaining the listings of the Company’s shares on
the Stock Exchanges in Bermuda and
Dubai did not justify the expense
and, consequently, the listing in Bermuda was terminated in September and the
listing in Dubai in December.
The discount at which the Company’s shares trade in relation to
net asset value has stabilised since the tender offer. The monthly
average discount of the Sterling shares
so far this year has been 6.90% and of the US Dollar shares 6.68%.
As part of the tender offer, the Board agreed that the Company
would not engage in market purchases of its own shares before
1 April 2019, but has committed to
hold a discontinuation vote for either class of share if that class
trades at an average discount of 8% or more to the monthly NAV over
the whole of 2018.
The Board has maintained regular dialogue with the Manager, to
review the Master Fund’s trading strategies and risk exposures and
to satisfy itself that the Manager’s analytical, trading and risk
management capabilities are being maintained to a high standard.
The Board holds extended discussions with the Manager at each of
its quarterly Board meetings and this dialogue has been intensified
in the context of the changes implemented over the past year.
One Board meeting a year is held in
Brevan Howard’s head office in Jersey in order to maintain
first-hand contact with the Manager’s team there; and Directors
hold periodic briefing meetings with Brevan Howard’s trading teams
in London, New York and Geneva. From these contacts, the Board
continues to believe that the management of the Master Fund remains
of a very high standard.
The Company and its Manager have continued to pursue an active
programme for public communication and investor relations.
Up-to-date performance information is provided through NAV data
published monthly on a definitive basis and weekly on an estimated
basis, as well as through monthly risk reports and shareholder
reports. All these reports and further information about the
Company are available on its website (www.bhmacro.com).
The Board is independent of the Brevan Howard group. The
Directors are very closely focused on safeguarding the interests of
Shareholders and believe that the Company observes high standards
of corporate governance. In addition to its quarterly scheduled
meetings, the Board meets ad hoc on other occasions as necessary.
The work of the Board is assisted by the Audit Committee and the
Management Engagement Committee. The Board continues to meet all of
the provisions of the Association of Investment Companies’ Code of
Corporate Governance that are relevant to a company that has no
executive management; the details are described below in the
Directors’ Report. The Board complies with best corporate
governance standards in ensuring that its composition provides
independence, diversity (including gender diversity, with one of
the four Directors being a woman) and necessary skills and
experience. The Board has adopted, and implements, policies and
procedures to ensure appropriate nominations to the Board and its
Committees and succession planning for orderly rotation of
Directors. The Board and its Committees undertake an evaluation of
their own performance every year; in early 2018 the Board
commissioned an external evaluation, which confirmed that the Board
works in a collegiate, harmonious and effective manner. The
evaluation made a number of recommendations for the medium term
structure of the Board which will be adopted if the Company
continues beyond any discontinuation vote in early 2019.
The structural changes the Company has implemented over the past
year have put it on a strong foundation for the future. However,
the Board recognises that improved performance from the Master Fund
will be important in securing the future of the Company. Evident
political and economic uncertainties lying ahead suggest that more
fruitful opportunities will present themselves for the Master
Fund’s
macro-trading strategies. The Board believes that in these
conditions the Company’s investment in the Master Fund will provide
a valuable listed avenue for portfolio diversification that is
uncorrelated with other asset classes.
Huw
Evans
Chairman
22 March 2018
Board Members
The Directors of the Company, all of whom are non-executive, are
listed below:
Huw
Evans, (appointed Chairman on 23 June
2017), age 59
Huw Evans is Guernsey resident and qualified as a Chartered
Accountant with KPMG (then Peat Marwick Mitchell) in 1983. He
subsequently worked for three years in the Corporate Finance
department of Schroders before joining Phoenix Securities Limited
in 1986. Over the next twelve years he advised a wide range of
companies in financial services and other sectors on mergers and
acquisitions and more general corporate strategy. Since moving to
Guernsey in 2005, he has acted as
a professional
non-executive Director of a number of Guernsey-based companies and funds. He holds
an MA in Biochemistry from Cambridge
University. Mr Evans was appointed to the Board in 2010 and
was appointed Chairman on 23 June
2017.
Ian
Plenderleith, (former Chairman), age 74 (retired
23 June 2017)
Ian Plenderleith retired at the
end of 2005 after a three-year term as Deputy Governor of the South
African Reserve Bank. He served on the Bank’s Monetary Policy
Committee and was responsible for money, capital and foreign
exchange market operations and for international banking
relationships. He previously worked for over 36 years at the Bank
of England in London, where he was most recently Executive
Director responsible for the Bank’s financial market operations and
a member of the Bank’s Monetary Policy Committee. He has also
worked at the International Monetary Fund in Washington DC and served on the Board of the
European Investment Bank and on various international committees at
the Bank for International Settlements. Mr Plenderleith holds an MA
from Christ Church, Oxford University,
and an MBA from Columbia Business
School, New York. Mr
Plenderleith is non-executive Chairman of Morgan Stanley
International and of the UK subsidiaries of Sanlam, the South
African financial services group. Mr Plenderleith held the role of
Chairman of the Board from 2007 until his retirement in
2017.
John Le
Poidevin, age 47
John Le Poidevin is Guernsey resident and has over 25 years’
business experience. Mr Le Poidevin
is a graduate of Exeter University
and Harvard Business School, a Fellow
of the Institute of Chartered Accountants in England and Wales and a former partner of BDO LLP in
London where, as Head of Consumer
Markets, he developed an extensive breadth of experience and
knowledge of listed businesses in the UK and overseas. He is an
experienced non-executive who sits on several plc boards and chairs
a number of Audit Committees. He therefore brings a wealth of
relevant experience in terms of corporate governance, audit, risk
management and financial reporting. Mr Le
Poidevin was appointed to the Board in June 2016.
Colin
Maltby, (Senior Independent Director), age 67
Colin Maltby is a resident of
Switzerland. His career in
investment management began in 1975 with NM Rothschild & Sons
and included 15 years with the Kleinwort Benson Group, of which he
was a Group Chief Executive at the time of its acquisition by
Dresdner Bank AG in 1995. Mr Maltby was Chief Executive of
Kleinwort Benson Investment Management from 1988 to 1995, Chief
Investment Officer of Equitas Limited from its formation in 1996,
and Head of Investments at BP from August
2000 to June 2007. He has
served as a non-executive Director of various public companies and
agencies and as an adviser to numerous institutional investors,
including pension funds and insurance companies, and to private
equity and venture capital funds in both Europe and the
United States. He holds a Double First Class Honours degree
in Physics from the University of
Oxford and also studied at the Stanford
University Graduate School of Business. He is a Fellow of
Wolfson College, Oxford and of the Royal Society of Arts and a
member of the Institut National Genevois. Mr Maltby was appointed
to the Board in June 2015.
Claire
Whittet, age 62
Claire Whittet is Guernsey resident and has 40 years’ experience
in the financial services industry. After obtaining a MA (Hons) in
Geography from the University of
Edinburgh, Mrs Whittet joined the Bank of Scotland for 19 years and undertook a wide
variety of roles. She moved to Guernsey in 1996 and was Global Head of
Private Client Credit for Bank of Bermuda before joining Rothschild Bank
International Limited in 2003, initially as Director of Lending and
latterly as Managing Director and Co-Head until May 2016 when she became a Non-Executive
Director. She is an ACIB member of the Chartered Institute of
Bankers in Scotland, a member of
the Chartered Insurance Institute and holds an IoD Director’s
Diploma in Company Direction. She is a Non-Executive Director of
five other listed investment funds. Mrs Whittet was appointed to
the Board in June 2014.
Disclosure of Directorships in Public
Companies Listed on Recognised Stock Exchanges
The following summarises the Directors’ directorships in other
public companies:
|
Exchange |
Huw Evans |
|
Standard Life Investments Property
Income Trust Limited |
London |
VinaCapital Vietnam
Opportunity Fund Limited |
London |
|
|
Ian Plenderleith (retired 23
June 2017) |
|
None |
|
|
|
Colin Maltby |
|
BBGI SICAV SA |
London |
Ocean Wilsons Holdings Limited |
London and Bermuda |
|
|
John Le Poidevin |
|
International Public Partnerships
Limited |
London |
Safecharge International Group
Limited |
London (AIM) |
Stride Gaming Plc |
London (AIM) |
|
|
Claire Whittet |
|
Eurocastle Investment Limited |
Euronext |
International Public Partnerships
Limited |
London |
Riverstone Energy Limited |
London |
Third Point Offshore Investors
Limited |
London |
TwentyFour Select Monthly Income
Fund Limited |
London |
Directors’ Report
31 December 2017
The Directors submit their Report together with the Company’s
Audited Statement of Assets and Liabilities, Audited Statement of
Operations, Audited Statement of Changes in Net Assets, Audited
Statement of Cash Flows and the related notes for the year ended
31 December 2017. The Directors’
Report together with the Audited Financial Statements and their
related notes (the “Financial Statements”) give a true and fair
view of the financial position of the Company. They have been
prepared properly, in conformity with United States Generally
Accepted Accounting Principles (“US GAAP”) and are in agreement
with the accounting records.
The Company
BH Macro Limited is a limited liability closed-ended investment
company incorporated in Guernsey
on
17 January 2007.
The Company was admitted to the Official List of the London
Stock Exchange (“LSE”) in 2007. It had maintained Secondary
listings on the Bermuda Stock Exchange and NASDAQ Dubai since 2008,
but it de-listed from these two stock exchanges on 30 September 2017 and 31
December 2017, respectively.
The Company offers multiple classes of ordinary shares, which
differ in terms of currency of issue. Currently, ordinary shares
are issued in US Dollars and Sterling.
On 29 November 2016, the Company
announced a Tender Offer (the “Tender Offer”) to acquire up to 100%
of each class of the Company’s issued shares at a price equivalent
to 96% of NAV for the relevant class. The Tender Offer was approved
by Shareholders at meetings in February and March 2017 and Shareholders holding 52% of the
Company’s shares by prevailing NAV chose to remain invested in the
Company, with the remaining 48% of shares by value being tendered
for purchase at 96% of NAV for the relevant class. The acquisition
of shares pursuant to the Tender Offer was completed on
25 April 2017. Shares purchased in
the Tender Offer were cancelled.
On 3 May 2017, the Company
announced that, following the completion of the Tender Offer, the
NAV of the Euro share class would likely fall to below the
equivalent of US$25 million on the
next net asset value calculation date on 31
May 2017 and, as stated in the shareholder circular for the
Tender Offer, the Company therefore intended to convert the
remaining Euro shares into shares of the Company’s largest share
class following the Tender Offer, being Sterling shares. Accordingly, the Company converted
all remaining shares in the Euro class into Sterling shares effective 29
June 2017 and all the Euro shares held by the Company in
Treasury were cancelled on that date. The Euro share class then
closed and its listing was cancelled.
Investment Objective and Policy
The Company is organised as a feeder fund that invests all of
its assets (net of short-term working capital requirements)
directly in Brevan Howard Master Fund Limited (the “Master Fund”),
a hedge fund in the form of a Cayman
Islands open-ended investment company, which has as its
investment objective the generation of consistent long-term
appreciation through active leveraged trading and investment on a
global basis. The Master Fund is managed by Brevan Howard Capital
Management LP, the Company’s Manager.
The Master Fund has flexibility to invest in a wide range of
instruments including, but not limited to, debt securities and
obligations (which may be below investment grade), bank loans,
listed and unlisted equities, other collective investment schemes,
currencies, commodities, futures, options, warrants, swaps and
other derivative instruments. The underlying philosophy is to
construct strategies, often contingent in nature, with superior
risk/return profiles, whose outcome will often be crystallised by
an expected event occurring within a pre-determined period of
time.
The Master Fund employs a combination of investment strategies
that focus primarily on economic change and monetary policy and
market inefficiencies.
The Company may employ leverage for the purposes of financing
share purchases or buy backs, satisfying working capital
requirements or financing further investment into the Master Fund,
subject to an aggregate borrowing limit of 20% of the Company’s
NAV, calculated as at the time of borrowing. Borrowing by the
Company is in addition to leverage at the Master Fund level, which
has no limit on its own leverage.
Results and dividends
The results for the year are set out in the Audited Statement of
Operations. The Directors do not recommend the payment of a
dividend.
Share Capital
The number of shares in issue at the year end is disclosed in
note 5 of the Notes to the Audited Financial Statements.
On 5 April 2016, the Company
announced a tender offer to acquire up to 25% of the Company’s
issued shares at discounts ranging from 4% to 8% to the NAV as at
31 May 2016.
The tender, which was completed in late June 2016, was oversubscribed: tenders of
Sterling and Euro shares at discounts
of 8%, 7% and 6% were accepted in full, and at 5% in part; tenders
of US Dollar shares at discounts of 8% and 7% were accepted in full
and at 6% in part. Shares purchased in the tender were
cancelled.
As detailed in the Directors’ Report, there was a further tender
offer announced on 29 November 2016,
which was completed on 25 April
2017.
Viability Statement
The investment objective of the Company is to seek to generate
consistent long-term capital appreciation through an investment
policy of investing all of its assets (net of funds required for
its short-term working capital) in the Master Fund.
The Directors have assessed the viability of the Company over
the period to 31 December 2020. The
viability statement covers a period of three years, which the
Directors consider sufficient given the inherent uncertainty of the
investment world and the specific risks to which the Company is
exposed.
The continuation of the Company in its present form is dependent
on the Management Agreement remaining in place. The Management
Agreement is currently terminable on two years’ notice by either
party. Following the implementation of the Tender Offer and
associated structural changes, the notice period of the Management
Agreement shall reduce to three months with effect from
1 April 2019. To ensure that the
Company maintains a constructive and informed relationship with the
Manager, the Directors meet regularly with the Manager to review
the Master Fund’s performance, and through the Management
Engagement Committee, they review the Company’s relationship with
the Manager and the Manager’s performance and effectiveness. The
Board had very constructive discussions with the Manager
surrounding the Tender Offer and the structural changes and the
Manager was supportive of the changes. The Directors currently know
of no reason why either the Company or the Manager might serve
notice of termination of the Management Agreement over the period
of this viability statement.
Besides the possible termination of the Management Agreement, at
the Company level, the main risk to the Company’s continuation
would be adverse investment performance by the Master Fund
precipitating extended downwards pressure on the Company’s share
prices from shareholders seeking to liquidate their investment in
the Company by selling their shares; the Company’s shares could
consequently trade at a significant and persistent discount to NAV.
At the EGM and Class Meetings approving the Tender Offer, one of
the structural changes approved by shareholders was the
modification of the Class Discontinuation vote arrangements to have
a Class Discontinuation vote in the event that, during the period 1
January to 31 December 2018, shares
trade at an average discount in excess of 8% of the monthly
NAV.
Whilst the Directors cannot predict the premium or discount to
NAV at which the Company’s shares will trade in the future, they
note that, following implementation of the Tender Offer, the
Company had a constituency of Shareholders who had chosen to remain
invested with advantageous structural changes including a reduction
in the management fee from 2% to 0.5% per annum. The Directors
monitor the average discount of NAV and between 1 January 2018 and 28
February 2018, the average discount to NAV of the US Dollar
share class was 6.68% and was 6.90% for the Sterling share class.
The Company’s assets exceed its liabilities by a considerable
margin. Further, the majority of the Company’s most significant
expenses, being the fees owing to the Manager and to the Company’s
administrator, fluctuate by reference to the Company’s investment
performance and NAV. The Company is able to meet its expenses by
redeeming shares in the Master Fund as necessary.
The Company’s investment performance depends upon the
performance of the Master Fund and the Manager as manager of the
Master Fund. The Directors, in assessing the viability of the
Company, pay particular attention to the risks facing the Master
Fund. The Manager operates a risk management framework, which is
intended to identify, measure, monitor, report and where
appropriate, mitigate key risks identified by it or its affiliates
in respect of the Master Fund.
After 1 April 2019, in the event
that there is downward pressure on the Company’s share prices, the
Company would be able to consider resuming active discount
management actions, including share buybacks, so that as far as
possible the share prices would more closely reflect the Company’s
underlying performance; such actions should mitigate the risk of
class closure resolutions being triggered after that date.
The Directors have carried out a robust assessment of the risks
and, on the assumption that the risks are managed or mitigated in
the ways noted above, the Directors have a reasonable expectation
that the Company will be able to continue in operation and meet its
liabilities as they fall due over the three-year period of their
assessment.
Going concern
The Directors, having considered the principal risks to which
the Company is exposed which are listed in the Directors’ Report
and on the assumption that these are managed or mitigated as noted,
are not aware of any material uncertainties which may cast
significant doubt upon the Company’s ability to continue as a going
concern and, accordingly, consider that it is appropriate that the
Company continues to adopt the going concern basis of accounting
for these Audited Financial Statements.
The Board
The Board of Directors has overall responsibility for
safeguarding the Company’s assets, for the determination of the
investment policy of the Company, for reviewing the performance of
the service providers and for the Company’s activities. The
Directors, all of whom are non-executive, are listed in the Board
Members section and on the inside back cover.
The Articles provide that, unless otherwise determined by
ordinary resolution, the number of Directors shall not be less than
two. The Company’s policy on Directors’ Remuneration, together with
details of the remuneration of each Director who served during the
year, is detailed in the Directors’ Remuneration Report.
The Board meets at least four times a year and between these
formal meetings there is regular contact with the Manager and the
Administrator. The Directors are kept fully informed of investment
and financial controls, and other matters that are relevant to the
business of the Company are brought to the attention of the
Directors. The Directors also have access to the Administrator and,
where necessary in the furtherance of their duties, to independent
professional advice at the expense of the Company.
For each Director, the tables below set out the number of Board,
Audit Committee and Management Engagement Committee meetings they
were entitled to attend during the year ended 31 December 2017 and the number of such meetings
attended by each Director.
Scheduled Board Meetings |
Held |
Attended |
Huw Evans |
4 |
4 |
Ian Plenderleith |
*2 |
2 |
John Le Poidevin |
4 |
4 |
Colin Maltby |
4 |
4 |
Claire Whittet |
4 |
4 |
|
|
|
Audit Committee Meetings |
Held |
Attended |
Huw Evans |
*2 |
2 |
John Le Poidevin |
4 |
4 |
Colin Maltby |
*3 |
3 |
Claire Whittet |
4 |
4 |
Management Engagement Committee
Meetings |
Held |
Attended |
Claire Whittet |
1 |
1 |
Huw Evans |
1 |
1 |
John Le Poidevin |
1 |
1 |
Colin Maltby |
1 |
1 |
* Indicates the
meetings held during their membership of the relevant Board or
Committee during the year ended 31 December
2017.
In addition to these scheduled meetings, fourteen ad hoc
meetings and one Extraordinary General Meeting were held during the
year ended 31 December 2017, which
were attended by those Directors available at the time.
Directors’ Independence
In January 2016, the then
Chairman, Ian Plenderleith, had
served on the Board for over nine years and under the AIC Code of
Corporate Governance (“AIC Code”) may not have been considered to
be independent. The Board however, took the view that independence
is not necessarily compromised by the length of tenure on the Board
and experience can significantly add to the Board’s strength. It
was therefore determined that in performing his role as the
Chairman (until his retirement on 23 June
2017), Ian Plenderleith
remained wholly independent and all the current Directors are
considered to be independent.
Directors’ interests
The Directors had the following interests in the Company, held
either directly or beneficially:
|
|
|
US
Dollar Shares |
|
|
31.12.17 |
31.12.16 |
Huw Evans |
|
Nil |
Nil |
Ian Plenderleith* |
|
*N/A |
Nil |
John Le Poidevin |
|
Nil |
Nil |
Colin Maltby |
|
Nil |
Nil |
Claire Whittet |
|
Nil |
Nil |
|
|
|
|
|
|
|
**Euro Shares |
|
|
31.12.17 |
31.12.16 |
Huw Evans |
|
N/A |
Nil |
Ian Plenderleith* |
|
*N/A |
Nil |
John Le Poidevin |
|
N/A |
Nil |
Colin Maltby |
|
N/A |
Nil |
Claire Whittet |
|
N/A |
Nil |
|
|
|
|
|
|
|
Sterling Shares |
|
|
31.12.17 |
31.12.16 |
Huw Evans |
|
3,337 |
710 |
Ian Plenderleith* |
|
*N/A |
Nil |
John Le Poidevin |
|
Nil |
Nil |
Colin Maltby |
|
Nil |
Nil |
Claire Whittet |
|
Nil |
Nil |
*
Ian Plenderleith retired from the
Board on 23 June 2017.
** The
Euro share class closed on 29 June
2017.
Directors’ Indemnity
Directors’ and officers’ liability insurance cover is in place
in respect of the Directors.
The Directors entered into indemnity agreements with the Company
which provide for, subject to the provisions of the Companies
(Guernsey) Law, 2008, an indemnity
for Directors in respect of costs which they may incur relating to
the defence of proceedings brought against them arising out of
their positions as Directors, in which they are acquitted or
judgement is given in their favour by the Court. The agreement does
not provide for any indemnification for liability which attaches to
the Directors in connection with any negligence, unfavourable
judgements, breach of duty or trust in relation to the Company.
Corporate Governance
To comply with the UK Listing Regime, the Company must comply
with the requirements of the UK Corporate Governance Code. The
Company is also required to comply with the Code of Corporate
Governance issued by the Guernsey Financial Services
Commission.
The Company is a member of the Association of Investment
Companies (the “AIC”) and by complying with the AIC Code is deemed
to comply with both the UK Corporate Governance Code and the
Guernsey Code of Corporate Governance. The AIC also publishes a
Corporate Governance Guide for Investment Companies (“AIC
Guide”).
To ensure ongoing compliance with the principles and the
recommendations of the AIC Code, the Board receives and reviews a
report from the Secretary, at each quarterly meeting, identifying
whether the Company is in compliance and recommending any changes
that are necessary.
The Company has complied with the recommendations of the AIC
Code and the relevant provisions of the UK Corporate Governance
Code, except as set out below.
The UK Corporate Governance Code includes provisions relating
to:
·
the role of the chief executive
·
executive directors’ remuneration
·
the need for an internal audit function
·
whistle-blowing policy
For the reasons set out in the AIC Guide, and as explained in
the UK Corporate Governance Code, the Board considers these
provisions are not relevant to the position of the Company as it is
an externally managed investment company with a Board formed
exclusively of non-executive Directors. The Company has therefore
not reported further in respect of these provisions. The Company
does not have employees, hence no whistle-blowing policy is
necessary. However, the Directors have satisfied themselves that
the Company’s service providers have appropriate whistle-blowing
policies and procedures and seek regular confirmation from the
service providers that nothing has arisen under those policies and
procedures which should be brought to the attention of the
Board.
The Company has adopted a policy that the composition of the
Board of Directors is at all times such that (i) a majority of the
Directors are independent of the Manager and any company in the
same group as the Manager (the “Manager’s Group”); (ii) the
Chairman of the Board of Directors is free from any conflicts of
interest and is independent of the Manager’s Group; and (iii) no
more than one director, partner, employee or professional adviser
to the Manager’s Group may be a Director of the Company at any one
time.
The Company has adopted a Code of Directors’ dealings in
securities.
The Company’s risk exposure and the effectiveness of its risk
management and internal control systems are reviewed by the Audit
Committee and by the Board at their meetings. The Board believes
that the Company has adequate and effective systems in place to
identify, mitigate and manage the risks to which it is exposed.
In view of its non-executive and independent nature, the Board
considers that it is not necessary for there to be a Nomination
Committee or a Remuneration Committee as anticipated by the AIC
Code. The Board as a whole fulfils the functions of the Nomination
and Remuneration Committees, although the Board has included a
separate Remuneration Report. The Board has adopted a Nomination
Policy covering procedures for nominations to the Board and to
Board committees.
For new appointments to the Board, nominations are sought from
the Directors and from other relevant parties and candidates are
then interviewed by an ad hoc committee of independent Directors.
The Board has a breadth of experience relevant to the Company, and
the Directors believe that any changes to the Board’s composition
can be managed without undue disruption. An induction programme is
provided for newly-appointed Directors.
In line with the AIC Code, Section 21.3 of the Company’s
Articles requires all Directors to retire at each Annual General
Meeting. At the Annual General Meeting of the Company on
23 June 2017, Shareholders re-elected all the Directors of the
Company, with the exception of Ian
Plenderleith who did not put himself forward for
re-election.
The Board regularly reviews its composition and believes that
the current appointments provide an appropriate range of skill,
experience and diversity.
The Board, Audit Committee and Management Engagement Committee
undertake an evaluation of their own performance and that of
individual Directors on an annual basis. In order to review their
effectiveness, the Board and its Committees carry out a process of
formal self-appraisal. The Board and Committees consider how they
function as a whole and also review the individual performance of
their members. This process is conducted by the respective Chairman
reviewing the Directors’ performance, contribution and commitment
to the Company.
Until his appointment as Chairman on 23
June 2017, Huw Evans, as
Senior Independent Director, took the lead in reviewing the
performance of the previous Chairman. Effective from 23 June 2017, Colin
Maltby, as Senior Independent Director, has taken the lead
in reviewing the performance of the Chairman. The Chairman also has
responsibility for assessing the individual Board members’ training
requirements.
The most recent external evaluation of the Board’s performance
was completed in February 2018. The
evaluation confirmed that the Board works in a collegiate,
harmonious and effective manner and made a number of
recommendations for the medium term structure of the Board which
will be adopted if the Company continues beyond any discontinuation
vote in early 2019.
The Board needs to ensure that the Financial Statements, taken
as a whole, are fair, balanced and understandable and provide the
information necessary for Shareholders to assess the Company’s
performance, business model and strategy. In seeking to achieve
this, the Directors have set out the Company’s investment objective
and policy and have explained how the Board and its delegated
Committees operate and how the Directors review the risk
environment within which the Company operates and set appropriate
risk controls. Furthermore, throughout the Annual Report the Board
has sought to provide further information to enable Shareholders to
better understand the Company’s business and financial
performance.
Policy to Combat Fraud, Bribery and
Corruption
The Board has adopted a formal policy to combat fraud, bribery
and corruption. The policy applies to the Company and to each of
its Directors. Further, the policy is shared with each of the
Company’s service providers.
In respect of the UK Criminal Finances Act 2017 which has
introduced a new Corporate Criminal Offence of ‘failing to take
reasonable steps to prevent the facilitation of tax evasion’, the
Board confirm that it is committed to preventing the facilitation
of tax evasion and takes all reasonable steps to do so.
Ongoing Charges
Ongoing charges for the year ended 31
December 2017 and 31 December
2016 have been prepared in accordance with the AIC’s
recommended methodology.
The following table presents the Ongoing Charges for each share
class.
31.12.17 |
|
|
|
|
|
|
|
|
US
Dollar |
*Euro |
Sterling |
|
Shares |
Shares |
Shares |
Company – Ongoing
Charges |
1.46% |
1.76% |
1.19% |
Master Fund – Ongoing
Charges |
0.65% |
0.66% |
0.65% |
Performance fee |
0.00% |
0.00% |
0.00% |
Ongoing Charges plus
performance fee |
2.11% |
2.42% |
1.84% |
*
The Euro share class closed on 29 June
2017.
31.12.16 |
|
|
|
|
|
|
|
|
US
Dollar |
Euro |
Sterling |
|
Shares |
Shares |
Shares |
Company – Ongoing
Charges |
2.14% |
2.18% |
2.15% |
Master Fund – Ongoing
Charges |
0.63% |
0.63% |
0.63% |
Performance fee |
0.00% |
0.00% |
0.05% |
Ongoing Charges plus
performance fee |
2.77% |
2.81% |
2.83% |
The Master Fund’s Ongoing Charges represent the portion of the
Master Fund’s operating expenses which have been allocated to the
Company. The Company invests substantially all of its investable
assets in ordinary US Dollar and Sterling denominated Class B shares issued by the
Master Fund. It also invested in Euro shares issued by the Master
Fund until the closure of the Company’s Euro share class in
June 2017. These shares are not
subject to management fees and performance fees within the Master
Fund. The Master Fund’s operating expenses include an operational
services fee payable to the Manager of 1/12 of 0.5% per month of
the NAV. Please refer to Note 4, which explains changes to the
calculation methodology during the prior year.
Audit Committee
The Company’s Audit Committee conducts formal meetings at least
three times a year for the purpose, amongst others, of considering
the appointment, independence, effectiveness of the audit and
remuneration of the auditors and to review and recommend the annual
statutory accounts and interim report to the Board of Directors.
Full details of its function and activities are set out in the
Report of the Audit Committee.
Management Engagement Committee
The Board has established a Management Engagement Committee with
formal duties and responsibilities. The Management Engagement
Committee meets formally at least once a year and comprises
Huw Evans, Colin Maltby Claire Whittet and John Le Poidevin. Ian
Plenderleith was also on the Committee until his retirement
on 23 June 2017. Claire Whittet is the Chair of the Management
Engagement Committee.
The function of the Management Engagement Committee is to ensure
that the Company’s Management Agreement is competitive and
reasonable for the Shareholders, along with the Company’s
agreements with all other third party service providers (other than
the Independent Auditors). The Terms of Reference of the Management
Engagement Committee are available from the Administrator.
The principal contents of the Manager’s contract and notice
period are contained in note 4 to the Financial Statements.
The Board continuously monitors the performance of the Manager
and a review of the Manager is conducted by the Management
Engagement Committee annually.
The Manager has wide experience in managing and administering
investment companies and has access to extensive investment
management resources.
At its meeting on 15 September
2017, the Management Engagement Committee concluded that the
continued appointment of the Manager on the terms agreed was in the
interests of the Company’s Shareholders as a whole. At the date of
this report, the Board continues to be of the same opinion.
Internal Controls
Responsibility for the establishment and maintenance of an
appropriate system of internal control rests with the Board and to
achieve this, a process has been established which seeks to:
·
Review the risks faced by the Company and the controls in place to
address those risks;
·
Identify and report changes in the risk environment;
·
Identify and report changes in the operational controls;
·
Identify and report on the effectiveness of controls and errors
arising; and
·
Ensure no override of controls by its service providers, the
Manager and Administrator.
A report is tabled and discussed at each Audit Committee
meeting, and reviewed once a year by the Board, setting out the
Company’s risk exposure and the effectiveness of its risk
management and internal control systems. The Board believes that
the Company has adequate and effective systems in place to
identify, mitigate and manage the risks to which it is exposed.
The Board has delegated the management of the Company, the
administration, corporate secretarial and registrar functions
including the independent calculation of the Company’s NAV and the
production of the Annual Report and Financial Statements, which are
independently audited. Whilst the Board delegates these functions,
it remains responsible for the functions it delegates and for the
systems of internal control. Formal contractual agreements have
been put in place between the Company and the providers of these
services. On an ongoing basis, Board reports are provided at each
quarterly Board meeting from the Manager, Administrator and Company
Secretary and Registrar. A representative from the Manager is asked
to attend these meetings.
In common with most investment companies, the Company does not
have an internal audit function. All of the Company’s management
functions are delegated to the Manager, Administrator and Company
Secretary and Registrar which have their own internal audit and
risk assessment functions.
Further reports are received from the Administrator in respect
of compliance, London Stock Exchange continuing obligations and
other matters. The reports were reviewed by the Board. No material
adverse findings were identified in these reports.
Packaged Retail and Insurance Based
Investment Products (“PRIIPs”)
The Company is subject to a new European Union Regulation
(2017/653) (‘the Regulation’) which deems it to be a PRIIP. In
accordance with the requirements of the Regulation, the Company
published its first standardised three-page Key Information
Document (‘KID’) on 21 December 2017.
The KID is available on the Company’s website www.bhmacro.com and
will be updated at least every 12 months.
Principal Risks and Uncertainties
The Board is responsible for the Company’s system of internal
controls and for reviewing its effectiveness. The Board is
satisfied that by using the Company’s risk matrix in establishing
the Company’s system of internal controls, while monitoring the
Company’s investment objective and policy, the Board has carried
out a robust assessment of the principal risks and uncertainties
facing the Company. The principal risks and uncertainties which
have been identified and the steps which are taken by the Board to
mitigate them are as follows:
· Investment Risks: The
Company is exposed to the risk that its portfolio fails to perform
in line with the Company’s objectives if it is inappropriately
invested or markets move adversely. The Board reviews reports from
the Manager, which has total discretion over portfolio allocation,
at each quarterly Board meeting, paying particular attention to
this allocation and to the performance and volatility of underlying
investments;
· Operational Risks: The
Company is exposed to the risks arising from any failure of systems
and controls in the operations of the Manager or the Administrator.
The Board receives reports annually from the Manager and
Administrator on their internal controls;
· Accounting, Legal and
Regulatory Risks: The Company is exposed to risk if it fails to
comply with the regulations of the UK Listing Authority or if it
fails to maintain accurate accounting records. The Administrator
provides the Board with regular reports on changes in regulations
and accounting requirements; and
· Financial Risks: The
financial risks faced by the Company include market, credit and
liquidity risk. These risks and the controls in place to mitigate
them are reviewed at each quarterly Board meeting.
The Board reviews and updates the risk matrix to reflect any
changes in the control environment.
International Tax Reporting
For purposes of the US Foreign Account Tax Compliance Act, the
Company registered with the US Internal Revenue Services (“IRS”) as
a Guernsey reporting Foreign
Financial Institution (“FFI”), received a Global Intermediary
Identification Number (5QHZVI.99999.SL.831), and can be found on
the IRS FFI list.
The Common Reporting Standard (“CRS”) is a global standard for
the automatic exchange of financial account information developed
by the Organisation for Economic Co-operation and Development
(“OECD”), which has been adopted by Guernsey and which came into effect on
1 January 2016. The CRS replaced the
intergovernmental agreement between the UK and Guernsey to improve international tax
compliance that had previously applied in respect of 2014 and 2015.
The Company made its first report for CRS to the Director of Income
Tax on 22 June 2017.
Relations with Shareholders
The Board welcomes Shareholders’ views and places great
importance on communication with the Company’s Shareholders. The
Board receives regular reports on the views of Shareholders and the
Chairman and other Directors are available to meet Shareholders if
required. The Annual General Meeting of the Company provides a
forum for Shareholders to meet and discuss issues with the
Directors of the Company. The Company provides weekly unaudited
estimates of NAV, month end unaudited estimates and unaudited final
NAVs. The Company also provides a monthly newsletter. These are
published via RNS and are also available on the Company’s website.
Risk reports of the Master Fund are also available on the Company’s
website.
The Manager maintains regular dialogue with institutional
Shareholders, the feedback from which is reported to the Board.
Shareholders who wish to communicate with the Board should contact
the Administrator in the first instance.
Having reviewed the Financial Conduct Authority’s restrictions
on the retail distribution of non-mainstream pooled investments,
the Company, after taking legal advice, announced on 15 January 2014 that it is outside the scope of
those restrictions, so that its shares can continue to be
recommended by UK authorised persons to ordinary retail
investors.
Significant Shareholders
As at 31 December 2017, the
following Shareholders had significant shareholdings in the
Company:
|
|
|
%
holding |
|
Total Shares Held |
in
class |
Significant
Shareholders |
|
|
US Dollar
Shares |
|
|
Vidacos Nominees
Limited |
916,047 |
32.93% |
Hero Nominees
Limited |
397,307 |
14.28% |
The Bank of New York
(Nominees) Limited |
261,086 |
9.38% |
HSBC Global Custody
Nominee (UK) Limited |
227,610 |
8.18% |
Pershing Nominees
Limited |
156,543 |
5.63% |
Luna Nominees
Limited |
145,017 |
5.21% |
Lynchwood Nominees
Limited |
118,691 |
4.27% |
Euroclear Nominees
Limited |
105,547 |
3.79% |
|
|
|
|
|
|
|
%
holding |
|
Total Shares Held |
in
class |
Significant
Shareholders |
|
|
Sterling
Shares |
|
|
|
Ferlim Nominees
Limited |
2,299,861 |
16.37% |
Rathbone Nominees
Limited |
1,169,840 |
8.33% |
The Bank of New York
(Nominees) Limited |
1,093,471 |
7.78% |
Harewood Nominees
Limited |
918,489 |
6.54% |
Pershing Nominees
Limited |
844,857 |
6.01% |
HSBC Global Custody
Nominee (UK) Limited |
778,704 |
5.54% |
Vidacos Nominees
Limited |
726,121 |
5.17% |
BNY (OCS) Nominees
Limited |
651,641 |
4.64% |
Brooks Macdonald
Nominees Limited |
606,458 |
4.32% |
Smith & Williamson
Nominees Limited |
578,868 |
4.12% |
State Street Nominees
Limited |
563,388 |
4.01% |
Nortrust Nominees
Limited |
488,762 |
3.48% |
Signed on behalf of the Board by:
Huw Evans
Chairman
John Le
Poidevin
Director
22 March 2018
Statement of Directors’ Responsibility
in Respect of the Annual Report and Audited Financial
Statements
The Directors are responsible for preparing the Annual Report
and financial statements in accordance with applicable law and
regulations.
Company law requires the Directors to prepare financial
statements for each financial year. Under that law they elected to
prepare the financial statements in accordance with accounting
principles generally accepted in the
United States of America and applicable law.
Under Company law the Directors must not approve the financial
statements unless they are satisfied that they give a true and fair
view of the state of affairs of the Company and of its profit or
loss for that period. In preparing these financial statements, the
Directors are required to:
- select suitable accounting policies and then apply them
consistently;
- make judgements and estimates that are reasonable, relevant and
reliable;
- state whether applicable accounting standards have been
followed, subject to any material departures disclosed and
explained in the financial statements;
- assess the Company’s ability to continue as a going concern,
disclosing, as applicable, matters related to going concern;
and
- use the going concern basis of accounting unless they either
intend to liquidate the Company or to cease operations, or have no
realistic alternative but to do so.
The Directors are responsible for keeping proper accounting
records that are sufficient to show and explain the Company’s
transactions and disclose with reasonable accuracy at any time the
financial position of the Company and enable them to ensure that
its financial statements comply with the Companies (Guernsey) Law, 2008. They are responsible for
such internal control as they determine is necessary to enable the
preparation of financial statements that are free from material
misstatement, whether due to fraud or error, and have general
responsibility for taking such steps as are reasonably open to them
to safeguard the assets of the Company and to prevent and detect
fraud and other irregularities.
The Directors are responsible for the maintenance and integrity
of the corporate and financial information included on the
Company’s website. Legislation in Guernsey governing the preparation and
dissemination of financial statements may differ from legislation
in other jurisdictions.
Responsibility statement of the
Directors in respect of the annual financial report
We confirm that to the best of our knowledge:
- so far as each of the Directors is aware, there is no relevant
audit information of which the Company’s Independent Auditor is
unaware, and each has taken all the steps they ought to have taken
as a Director to make themselves aware of any relevant information
and to establish that the Company’s Independent Auditor is aware of
that information;
- the financial statements, prepared in accordance with the
applicable set of accounting standards, give a true and fair view
of the assets, liabilities, financial position and profit or loss
of the Company; and
- the Chairman’s Statement, Directors’ Report and Manager’s
Report includes 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.
We consider the annual report and audited financial statements,
taken as a whole, is fair, balanced and understandable and provides
the information necessary for shareholders to assess the Company’s
position and performance, business model and strategy.
Signed on behalf of the Board by:
Huw
Evans
Chairman
John Le
Poidevin
Director
22 March 2018
Directors’ Remuneration Report
31 December 2017
Introduction
An ordinary resolution for the approval of the Directors’
Remuneration Report will be put to the Shareholders at the Annual
General Meeting to be held in 2018.
Remuneration policy
All Directors are non-executive and a Remuneration Committee has
not been established. The Board as a whole considers matters
relating to the Directors’ remuneration. No advice or services were
provided by any external person in respect of its consideration of
the Directors’ remuneration.
The Company’s policy is that the fees payable to the Directors
should reflect the time spent by the Directors on the Company’s
affairs and the responsibilities borne by the Directors and be
sufficient to attract, retain and motivate Directors of a quality
required to run the Company successfully. The Chairman of the Board
is paid a higher fee in recognition of his additional
responsibilities, as are the Chairs of the Audit Committee, the
Management Engagement Committee and the Senior Independent
Director. The policy is to review fee rates periodically, although
such a review will not necessarily result in any changes to the
rates, and account is taken of fees paid to Directors of comparable
companies.
There are no long term incentive schemes provided by the Company
and no performance fees are paid to Directors.
No Director has a service contract with the Company but each of
the Directors is appointed by a letter of appointment which sets
out the main terms of their appointment. The Directors were
appointed to the Board for an initial term of three years and
Section 21.3 of the Company’s Articles requires, as does the AIC
Code, that all of the Directors retire at each Annual General
Meeting. At the Annual General Meeting of the Company on
23 June 2017, Shareholders re-elected
all the Directors except Ian
Plenderleith who did not put himself forward for
re-election. Director appointments can also be terminated in
accordance with the Articles. Should Shareholders vote against a
Director standing for re-election, the Director affected will not
be entitled to any compensation. There are no set notice periods
and a Director may resign by notice in writing to the Board at any
time.
Directors are remunerated in the form of fees, payable quarterly
in arrears, to the Director personally.
No other remuneration or compensation was paid or payable by the
Company during the year to any of the Directors apart from the
reimbursement of allowable expenses.
Directors’ fees
The Company’s Articles limit the fees payable to Directors in
aggregate to £400,000 per annum. Until
30 June 2017, the annual fees were
£167,000 for the Chairman, £37,500 for Chairs of both the Audit
Committee and the Management Engagement Committee and £34,000 for
all other Directors.
Changes to the annual fees were made at the Board meeting held
on 23 June 2017. Effective from
1 July 2017, the annual fees are
£65,000 for the Chairman, £47,500 for Chair of the Audit Committee,
£45,000 for each of the Chair of the Management Engagement
Committee and the Senior Independent Director.
The fees payable by the Company in respect of each of the
Directors who served during the years ended 31 December 2017 and 31
December 2016, were as follows:
|
|
Year |
Year |
|
|
ended |
ended |
|
|
31.12.17 |
31.12.16 |
|
|
£ |
£ |
Huw Evans |
|
51,250 |
37,500 |
Ian
Plenderleith*** |
|
*79,611 |
167,000 |
David Barton |
|
N/A |
Nil |
Christopher Legge |
|
N/A |
**18,750 |
John Le Poidevin |
|
40,750 |
**17,000 |
Colin Maltby |
|
39,500 |
34,000 |
Claire Whittet |
|
41,250 |
35,750 |
Total |
|
252,361 |
310,000 |
*
Fees are pro rata for length of service during the year ended
31 December 2017.
** Fees
are pro rata for length of service during the year ended
31 December 2016.
*** Ian Plenderleith retired from the Board on
23 June 2017.
**** David Barton
resigned from and Christopher Legge
retired from the board on 29 February
2016 and 24 June 2016
respectively.
Signed on behalf of the Board by:
Huw
Evans
Chairman
John Le
Poidevin
Director
22 March 2018
Report of the Audit Committee
31 December 2017
We present the Audit Committee’s (the “Committee”) Report for
2017, setting out the Committee’s structure and composition,
principal duties and key activities during the year. As in previous
years, the Committee has reviewed the Company’s financial
reporting, the independence and effectiveness of the Independent
Auditor and the internal control and risk management systems of the
service providers.
Structure and Composition
The Committee consists of John Le
Poidevin, Colin Maltby and
Claire Whittet. Colin Maltby was appointed Audit Committee
member on 23 June 2017. Huw Evans was also a member of the Committee and
served as the Chairman until 23 June
2017. On that date, John Le
Poidevin was appointed Committee Chairman.
Appointment to the Committee is for a period up to three years
which may be extended for two further three year periods provided
that the majority of the Committee remains independent of the
Manager. Prior to 23 June 2017,
Huw Evans was serving his third
term. Claire Whittet is currently
serving her second term and John Le
Poidevin and Colin Maltby are
each serving their first term.
The Committee conducts formal meetings at least three times a
year. The table in the Directors’ Report sets out the number of
Committee meetings held during the year ended 31 December 2017 and the number of such meetings
attended by each committee member. The Independent Auditor is
invited to attend those meetings at which the annual and interim
reports are considered. The Independent Auditor and the Committee
will meet together without representatives of either the
Administrator or Manager being present if the Committee considers
this to be necessary.
Principal duties
The role of the Committee includes:
- monitoring the integrity of the published Financial Statements
of the Company;
- reviewing and reporting to the Board on the significant issues
and judgements made in the preparation of the Company’s published
Financial Statements, (having regard to matters communicated by the
Independent Auditor), significant financial returns to regulators
and other financial information;
- monitoring and reviewing the quality and effectiveness of the
Independent Auditor and their independence;
- considering and making recommendations to the Board on the
appointment, reappointment, replacement and remuneration to the
Company’s Independent Auditor; and
- monitoring and reviewing the internal control and risk
management systems of the service providers.
The complete details of the Committee’s formal duties and
responsibilities are set out in the Committee’s Terms of Reference,
which can be obtained from the Company’s Administrator.
The independence and objectivity of the Independent Auditor is
reviewed by the Committee, which also reviews the terms under which
the Independent Auditor is appointed to perform non-audit services,
which includes consideration of the 2016 Financial Reporting
Council Ethical Standard. The Committee has also established
policies and procedures for the engagement of the auditor to
provide audit, assurance and other services. The services which the
Independent Auditor may not provide are any which:
- places them in a position to audit their own work;
- creates a mutuality of interest;
- results in the Independent Auditor functioning as a manager or
employee of the Company; or
- puts the Independent Auditor in the role of advocate of the
Company.
Independent Auditor
The audit and any non-audit fees proposed by the Independent
Auditor each year are reviewed by the Committee taking into account
the Company’s structure, operations and other requirements during
the period and the Committee makes recommendations to the
Board.
KPMG Channel Islands Limited (“KPMG CI”) has been the Company’s
Independent Auditor from the date of the initial listing on the
London Stock Exchange. The external audit was most recently
tendered for the year ended 31 December
2016, where KPMG CI was re-appointed as auditor following
the completion of the tender process.
Key Activities in 2017
The following sections discuss the assessment made by the
Committee during the year:
Significant Financial Statement
Issues
The Committee’s review of the interim and annual Financial
Statements focused on the following area:
The Company’s investment in the Master Fund had a fair value of
US$464.7 million as at
31 December 2017 and represents
substantially all the net assets of the Company. The valuation of
the investment is determined in accordance with the Accounting
Policies set out in note 3 to the Audited Financial Statements. The
Financial Statements of the Master Fund for the year ended
31 December 2017 were audited by KPMG
Cayman who issued an unqualified audit opinion dated 21 March 2018. The Audit Committee has reviewed
the Financial Statements of the Master Fund and the Accounting
Policies and determined the fair value of the investment as at
31 December 2017 is reasonable.
This matter was discussed during the planning and final stage of
the audit and there was no significant divergence of views between
the Committee and the Independent Auditor.
The Committee has carried out a robust assessment of the risks
to the Company in the context of making the viability statement in
these Financial Statements. Furthermore, the Committee has
concluded it appropriate to continue to prepare the Financial
Statements on the going concern basis of accounting.
Effectiveness of the Audit
The Committee held formal meetings with KPMG CI during the
course of the year: 1) before the start of the audit to discuss
formal planning, to discuss any potential issues and to agree the
scope that would be covered; and 2) after the audit work was
concluded to discuss the significant issues including those stated
above.
The Committee considered the effectiveness and independence of
KPMG CI by using a number of measures, including but not limited
to:
- Reviewing the audit plan presented to them before the start of
the audit;
- Reviewing and challenging the audit findings report including
variations from the original plan;
- Reviewing any changes in audit personnel; and
- Requesting feedback from both the Manager and the
Administrator.
Further to the above, during the year, the Committee performed a
specific evaluation of the performance of the Independent Auditor.
This was supported by the results of questionnaires completed by
the Committee covering areas such as the quality of the audit team,
business understanding, audit approach and management. This
questionnaire was part of the process by which the Committee
assessed the effectiveness of the audit. There were no significant
adverse findings from the 2017 evaluation.
Audit fees and Safeguards on
Non-Audit Services
The table below summarises the remuneration paid by the Company
to KPMG CI for audit and non-audit services during the years ended
31 December 2017 and 31 December 2016.
|
|
Year |
Year |
|
|
ended |
Ended |
|
|
31.12.17 |
31.12.16 |
|
|
£ |
£ |
Annual audit |
|
28,000 |
28,000 |
Interim review |
|
8,800 |
8,800 |
Specified procedures
relating to the 31 March 2017 Tender offer |
|
10,000 |
– |
Specified procedures
relating to the 31 May 2016 Tender offer |
|
– |
15,000 |
The Audit Committee has examined the scope and results of the
external audit, its cost effectiveness and the independence and
objectivity of the Independent Auditor, with particular regard to
non-audit fees, and considers KPMG CI, as Independent Auditor, to
be independent of the Company. Further, the Committee has obtained
KPMG CI’s confirmation that the services provided by other KPMG
member firms to the wider Brevan Howard organisation do not
prejudice its independence.
Internal Control
The Audit Committee has also reviewed the need for an internal
audit function. The Committee has concluded that the systems and
procedures employed by the Manager and the Administrator, including
their own internal audit functions, currently provide sufficient
assurance that a sound system of internal control, which safeguards
the Company’s assets, is maintained. An internal audit function
specific to the Company is therefore considered unnecessary.
The Committee examined externally prepared assessments of the
control environment in place at the Manager and the Administrator,
with each providing a Service Organisation Control (“SOC1”) report.
No significant findings have been noted during the year.
Conclusion and Recommendation
After reviewing various reports such as the operational and risk
management framework and performance reports from the Manager and
Administrator, consulting where necessary with KPMG CI, and
assessing the significant Financial Statement issues noted in the
Report of the Audit Committee, the Committee is satisfied that the
Financial Statements appropriately address the critical judgements
and key estimates (both in respect to the amounts reported and the
disclosures). The Committee is also satisfied that the significant
assumptions used for determining the value of assets and
liabilities have been appropriately scrutinised and challenged and
are sufficiently robust. At the request of the Board, the Audit
Committee considered and was satisfied that the 2017 Annual Report
and Audited Financial Statements are fair, balanced and
understandable and provide the necessary information for
Shareholders to assess the Company’s performance, business model
and strategy.
The Independent Auditor reported to the Committee that no
unadjusted material misstatements were found in the course of its
work. Furthermore, both the Manager and the Administrator confirmed
to the Committee that they were not aware of any unadjusted
material misstatements including matters relating to the
presentation of the Financial Statements. The Committee confirms
that it is satisfied that the Independent Auditor has fulfilled its
responsibilities with diligence and professional scepticism.
Consequent to the review process on the effectiveness of the
independent audit and the review of audit and non-audit services,
the Committee has recommended that KPMG CI be reappointed for the
coming financial year.
For any questions on the activities of the Committee not
addressed in the foregoing, a member of the Audit Committee remains
available to attend each Annual General Meeting to respond to such
questions.
John Le Poidevin
Audit Committee Chairman
22 March 2018
Manager’s Report
Brevan Howard Capital Management LP is the Manager of the
Company and of Brevan Howard Master Fund Limited (the “Master
Fund”). The Company invests all of its assets (net of short-term
working capital) in the ordinary shares of the Master Fund.
Performance Review
The month-by-month NAV performance of each currency class of the
Company since it commenced operations in 2007 is set out below. The
Euro share class closed in June
2017.
USD |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
YTD |
2007 |
- |
- |
0.10 |
0.90 |
0.15 |
2.29 |
2.56 |
3.11 |
5.92 |
0.03 |
2.96 |
0.75 |
20.27 |
2008 |
9.89 |
6.70 |
(2.79) |
(2.48) |
0.77 |
2.75 |
1.13 |
0.75 |
(3.13) |
2.76 |
3.75 |
(0.68) |
20.32 |
2009 |
5.06 |
2.78 |
1.17 |
0.13 |
3.14 |
(0.86) |
1.36 |
0.71 |
1.55 |
1.07 |
0.37 |
0.37 |
18.04 |
2010 |
(0.27) |
(1.50) |
0.04 |
1.45 |
0.32 |
1.38 |
(2.01) |
1.21 |
1.50 |
(0.33) |
(0.33) |
(0.49) |
0.91 |
2011 |
0.65 |
0.53 |
0.75 |
0.49 |
0.55 |
(0.58) |
2.19 |
6.18 |
0.40 |
(0.76) |
1.68 |
(0.47) |
12.04 |
2012 |
0.90 |
0.25 |
(0.40) |
(0.43) |
(1.77) |
(2.23) |
2.36 |
1.02 |
1.99 |
(0.36) |
0.92 |
1.66 |
3.86 |
2013 |
1.01 |
2.32 |
0.34 |
3.45 |
(0.10) |
(3.05) |
(0.83) |
(1.55) |
0.03 |
(0.55) |
1.35 |
0.40 |
2.70 |
2014 |
(1.36) |
(1.10) |
(0.40) |
(0.81) |
(0.08) |
(0.06) |
0.85 |
0.01 |
3.96 |
(1.73) |
1.00 |
(0.05) |
0.11 |
2015 |
3.14 |
(0.60) |
0.36 |
(1.28) |
0.93 |
(1.01) |
0.32 |
(0.78) |
(0.64) |
(0.59) |
2.36 |
(3.48) |
(1.42) |
2016 |
0.71 |
0.73 |
(1.77) |
(0.82) |
(0.28) |
3.61 |
(0.99) |
(0.17) |
(0.37) |
0.77 |
5.02 |
0.19 |
6.63 |
2017 |
(1.47) |
1.91 |
(2.84) |
3.84 |
(0.60) |
(1.39) |
1.54 |
0.19 |
(0.78) |
(0.84) |
0.20 |
0.11 |
(0.30) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EUR |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
YTD |
2007 |
- |
- |
0.05 |
0.70 |
0.02 |
2.26 |
2.43 |
3.07 |
5.65 |
(0.08) |
2.85 |
0.69 |
18.95 |
2008 |
9.92 |
6.68 |
(2.62) |
(2.34) |
0.86 |
2.84 |
1.28 |
0.98 |
(3.30) |
2.79 |
3.91 |
(0.45) |
21.65 |
2009 |
5.38 |
2.67 |
1.32 |
0.14 |
3.12 |
(0.82) |
1.33 |
0.71 |
1.48 |
1.05 |
0.35 |
0.40 |
18.36 |
2010 |
(0.30) |
(1.52) |
0.03 |
1.48 |
0.37 |
1.39 |
(1.93) |
1.25 |
1.38 |
(0.35) |
(0.34) |
(0.46) |
0.93 |
2011 |
0.71 |
0.57 |
0.78 |
0.52 |
0.65 |
(0.49) |
2.31 |
6.29 |
0.42 |
(0.69) |
1.80 |
(0.54) |
12.84 |
2012 |
0.91 |
0.25 |
(0.39) |
(0.46) |
(1.89) |
(2.20) |
2.40 |
0.97 |
1.94 |
(0.38) |
0.90 |
1.63 |
3.63 |
2013 |
0.97 |
2.38 |
0.31 |
3.34 |
(0.10) |
(2.98) |
(0.82) |
(1.55) |
0.01 |
(0.53) |
1.34 |
0.37 |
2.62 |
2014 |
(1.40) |
(1.06) |
(0.44) |
(0.75) |
(0.16) |
(0.09) |
0.74 |
0.18 |
3.88 |
(1.80) |
0.94 |
(0.04) |
(0.11) |
2015 |
3.34 |
(0.61) |
0.40 |
(1.25) |
0.94 |
(0.94) |
0.28 |
(0.84) |
(0.67) |
(0.60) |
2.56 |
(3.22) |
(0.77) |
2016 |
0.38 |
0.78 |
(1.56) |
(0.88) |
(0.38) |
3.25 |
(0.77) |
0.16 |
(0.56) |
0.59 |
5.37 |
0.03 |
6.37 |
2017 |
(1.62) |
1.85 |
(3.04) |
0.54 |
(0.76) |
* |
|
|
|
|
|
|
(3.07) |
*As previously announced by the Company, the Company determined
that all remaining shares in the Euro share class be converted into
Sterling shares effective as of
29 June 2017 and all Euro shares held
by the Company in treasury were cancelled on that date. The Euro
share class has been closed and its listing has been cancelled.
GBP |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
YTD |
2007 |
- |
- |
0.11 |
0.83 |
0.17 |
2.28 |
2.55 |
3.26 |
5.92 |
0.04 |
3.08 |
0.89 |
20.67 |
2008 |
10.18 |
6.85 |
(2.61) |
(2.33) |
0.95 |
2.91 |
1.33 |
1.21 |
(2.99) |
2.84 |
4.23 |
(0.67) |
23.25 |
2009 |
5.19 |
2.86 |
1.18 |
0.05 |
3.03 |
(0.90) |
1.36 |
0.66 |
1.55 |
1.02 |
0.40 |
0.40 |
18.00 |
2010 |
(0.23) |
(1.54) |
0.06 |
1.45 |
0.36 |
1.39 |
(1.96) |
1.23 |
1.42 |
(0.35) |
(0.30) |
(0.45) |
1.03 |
2011 |
0.66 |
0.52 |
0.78 |
0.51 |
0.59 |
(0.56) |
2.22 |
6.24 |
0.39 |
(0.73) |
1.71 |
(0.46) |
12.34 |
2012 |
0.90 |
0.27 |
(0.37) |
(0.41) |
(1.80) |
(2.19) |
2.38 |
1.01 |
1.95 |
(0.35) |
0.94 |
1.66 |
3.94 |
2013 |
1.03 |
2.43 |
0.40 |
3.42 |
(0.08) |
(2.95) |
(0.80) |
(1.51) |
0.06 |
(0.55) |
1.36 |
0.41 |
3.09 |
2014 |
(1.35) |
(1.10) |
(0.34) |
(0.91) |
(0.18) |
(0.09) |
0.82 |
0.04 |
4.29 |
(1.70) |
0.96 |
(0.04) |
0.26 |
2015 |
3.26 |
(0.58) |
0.38 |
(1.20) |
0.97 |
(0.93) |
0.37 |
(0.74) |
(0.63) |
(0.49) |
2.27 |
(3.39) |
(0.86) |
2016 |
0.60 |
0.70 |
(1.78) |
(0.82) |
(0.30) |
3.31 |
(0.99) |
(0.10) |
(0.68) |
0.80 |
5.05 |
0.05 |
5.79 |
2017 |
(1.54) |
1.86 |
(2.95) |
0.59 |
(0.68) |
(1.48) |
1.47 |
0.09 |
(0.79) |
(0.96) |
0.09 |
(0.06) |
(4.35) |
Source: Fund NAV data is provided by the administrator of the
Fund, International Fund Services (Ireland) Limited. BH Macro Limited (“BHM”) NAV
and NAV per Share data is provided by BHM’s administrator, Northern
Trust International Fund Administration Services (Guernsey) Limited. BHM NAV per Share % Monthly
Change is calculated by the Manager (“BHCM”). BHM NAV data is
unaudited and net of all investment management fees and all other
fees and expenses payable by BHM. In addition, the Fund is subject
to an operational services fee of 50bps per annum.
BHCM shall waive its entitlement to a management fee in respect
of any performance-related growth of BHM from 3 October 2016 onwards. In addition BHM’s
investment in the Fund will not bear an operational services fee in
respect of any performance-related growth from 3 October 2016 onwards.
Shares in the Company do not necessarily trade at a price equal
to the prevailing NAV per Share.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
The NAV per share of the USD share class of the Company
depreciated by 0.30% in 2017, and the NAV per share of the
Sterling shares depreciated by 4.35% in
2017. At the start of the year, the Master Fund was positioned for
a continuation of the “Trump Trade” that had been in-play since the
election victory of President Trump in November 2016. The largest exposures were long
positions in the US dollar, US equities and interest rate
volatility combined with short positions in US, Japanese and UK
interest rate markets. Furthermore, given the upcoming elections in
France, Germany, Netherlands and possibly Italy, the Master Fund was also positioned for
an increase in volatility within European markets. This view was
expressed via swap spread and government bond relative value
positions together with option and volatility positions in rates
and the euro currency.
The reversal, early on in the year, in the direction of the US
dollar and euro, together with the lack of directional
follow-through in US interest rates led to losses, which were
partially offset by gains from the European trades.
Losses in Q2 stemmed partially from the very benign outcome in
the first round of the French election. Positions designed to
benefit from an increase in volatility during the election, without
taking a view on the eventual outcome, suffered as a result. These
losses were further compounded as the likelihood of snap elections
in Italy receded.
During the second half of the year, in what were largely
trendless markets, the Master Fund’s performance was approximately
flat. Positioning in the euro currency was reversed with long euro
positions generating profits early in Q3. European swap spread and
relative-value bond trading detracted slightly as did volatility
positioning across several markets.
The Master Fund’s value at risk (“VaR”) fell during the second
half of the year to levels in line with recent historic norms,
although we would caution that during extended periods of low
volatility VaR can be a poor measure of P&L potential,
particularly for a portfolio that contains option strategies with
asymmetric pay-offs.
Commentary and Outlook
The global expansion accelerated and broadened in 2017, leaving
behind lingering worries about downside risks. At the same time,
inflation remained calm in most major economies, except the UK
which experienced a sharp increase on the heels of the
Brexit-related fall in Sterling. The
combination of strong growth and generally modest inflation led to
a continuation of monetary policy trends, with the US and
Canada gradually removing policy
accommodation, the Euro area tapering asset purchases, and
Japan maintaining a high level of
accommodation. Political risks that loomed large at the start of
2017, such as the upcoming elections in France, Germany, Netherlands and possibly Italy, were favourably resolved with little
disruption. This favourable backdrop buoyed financial markets,
leading to record highs in many global equity markets, relatively
low interest rates, and tight credit spreads.
As we enter the ninth year of the expansion in 2018, the ageing
business cycle would typically be displaying late-cycle dynamics of
slower growth and rising inflation. However, this cycle is defying
that pattern. Economic activity appears to be accelerating further
above trend in most economies and inflation pressures are only
beginning to emerge. Despite the age of the business cycle, the
data suggest that this cycle is behaving more mid-cycle or even
early-cycle in certain sectors like manufacturing. Underpinning
this dynamic are the early signs that business investment and
productivity are picking up from the doldrums. If those trends
continue, they could have far reaching consequences, including
continued support for risk assets, higher equilibrium interest
rates, and an end to secular stagnation. Tax reform in the US is a
further tailwind promoting growth and investment in an economy
that’s already operating above its potential. If these favorable
trends persist, there will be pressure on central banks to provide
less accommodation going forward. Policy makers will face a tricky
balancing act between strong growth and easy financial conditions,
on the one hand, and inflation that generally remains below target,
on the other hand.
We look forward to exploiting any opportunities that these
factors may create.
Brevan Howard wishes to thank shareholders once again for their
continued support.
Brevan Howard Capital Management LP,
acting by its sole general partner,
Brevan Howard Capital Management Limited.
22 March 2018
Independent Auditor’s Report to the
Members of BH Macro Limited
Our opinion is unmodified
We have audited the financial statements of BH Macro Limited
(the “Company”), which comprise the Audited Statement of Assets and
Liabilities as at 31 December 2017,
the Audited Statements of Operations, Changes in Net Assets and
Cash Flows for the year then ended, and notes, comprising
significant accounting policies and other explanatory
information.
In our opinion, the accompanying
financial statements:
- give a true and fair view of the financial position of the
Company as at 31 December 2017, and
of the Company’s financial performance and the Company’s cash flows
for the year then ended;
- are prepared in conformity with United States Generally
Accepted Accounting Principles; and
- comply with the Companies (Guernsey) Law, 2008.
Basis for Opinion
We conducted our audit in accordance with International
Standards on Auditing (UK) (ISAs (UK)) and applicable law. Our
responsibilities are described below. We have fulfilled our ethical
responsibilities under, and are independent of the Company in
accordance with, UK ethical requirements including FRC Ethical
Standards as applied to listed entities. We believe that the audit
evidence we have obtained is a sufficient and appropriate basis for
our opinion.
Key Audit Matters: our assessment of
the risks of material misstatement
Key audit matters are those matters that, in our professional
judgment, were of most significance in the audit of the financial
statements and include the most significant assessed risks of
material misstatement (whether or not due to fraud) identified by
us, including those which had the greatest effect on: the overall
audit strategy; the allocation of resources in the audit; and
directing the efforts of the engagement team. These matters were
addressed in the context of our audit of the financial statements
as a whole, and in forming our opinion thereon, and we do not
provide a separate opinion on these matters. In arriving at our
audit opinion above, the key audit matter was as follows (unchanged
from 2016):
|
The risk |
Our response |
Valuation of Investment in Brevan Howard Master Fund Limited
(the “Master Fund”)
$464,663,000;
(2016: $847,761,000)
Refer to the Report of the Audit Committee and note 3 accounting
policy |
Basis:
The Company, which is a multi-class feeder fund, had invested 99.9%
of its net assets at 31 December 2017 into the ordinary US Dollar
and Sterling denominated Class B Shares issued by the Master Fund,
which is an open ended investment company.
The Company’s investment holdings in the Master Fund are valued
using the respective net asset value per share class as provided by
the Master Fund’s administrator.
The valuation of the Company’s Investment in the Master Fund, given
it represents the majority of the net assets of the Company, is a
significant area of our audit. |
Our audit procedures included, but were not limited
to: |
Our application of materiality and an
overview of the scope of our audit
Materiality for the financial statements as a whole was set at
$13,959,000, determined with
reference to a benchmark of Net Assets of $465,318,000 of which it represents approximately
3% (2016: 3%).
We reported to the Audit Committee any corrected or uncorrected
identified misstatements exceeding $697,000, in addition to other identified
misstatements that warranted reporting on qualitative grounds.
Our audit of the Company was undertaken to the materiality level
specified above, which has informed our identification of
significant risks of material misstatement and the associated audit
procedures performed in those areas as detailed above.
We have nothing to report on going
concern
We are required to report to you if we have anything material to
add or draw attention to in relation to the directors’ statement in
note 3 to the financial statements on the use of the going concern
basis of accounting with no material uncertainties that may cast
significant doubt over the Company’s use of that basis for a period
of at least twelve months from the date of approval of the
financial statements. We have nothing to report in this
respect.
We have nothing to report on the other
information in the Annual Report
The directors are responsible for the other information
presented in the Annual Report together with the financial
statements. Our opinion on the financial statements does not cover
the other information and we do not express an audit opinion or any
form of assurance conclusion thereon.
Our responsibility is to read the other information and, in
doing so, consider whether, based on our financial statements audit
work, the information therein is materially misstated or
inconsistent with the financial statements or our audit knowledge.
Based solely on that work we have not identified material
misstatements in the other information.
Disclosures of principal risks and
longer-term viability
Based on the knowledge we acquired during our financial
statements audit, we have nothing material to add or draw attention
to in relation to:
- the directors’ confirmation within the Viability Statement that
they have carried out a robust assessment of the principal risks
facing the Company, including those that would threaten its
business model, future performance, solvency or liquidity;
- the Principal Risks disclosures describing these risks and
explaining how they are being managed or mitigated; and
- the directors’ explanation in the Viability Statement as to how
they have assessed the prospects of the Company, over what period
they have done so and why they consider that period to be
appropriate, and their statement as to whether they have a
reasonable expectation that the Company will be able to continue in
operation and meet its liabilities as they fall due over the period
of their assessment, including any related disclosures drawing
attention to any necessary qualifications or assumptions.
Corporate governance disclosures
We are required to report to you if:
- we have identified material inconsistencies between the
knowledge we acquired during our financial statements audit and the
directors’ statement that they consider that the annual report and
financial statements taken as a whole is fair, balanced and
understandable and provides the information necessary for
shareholders to assess the Company’s position and performance,
business model and strategy; or
- the section of the annual report describing the work of the
Audit Committee does not appropriately address matters communicated
by us to the Audit Committee.
We are required to report to you if the Corporate Governance
Statement does not properly disclose a departure from the eleven
provisions of the 2016 UK Corporate Governance Code specified by
the Listing Rules for our review.
We have nothing to report to you in these respects.
We have nothing to report on other
matters on which we are required to report by exception
We have nothing to report in respect of the following matters
where the Companies (Guernsey)
Law, 2008 requires us to report to you if, in our opinion:
•
the Company has not kept proper accounting records; or
•
the financial statements are not in agreement with the accounting
records; or
• we have not received
all the information and explanations, which to the best of our
knowledge and belief are necessary for the purpose of our
audit.
Respective responsibilities
Directors’ responsibilities
As explained more fully in their statement, the Directors are
responsible for: the preparation of the financial statements
including being satisfied that they give a true and fair view; such
internal control as they determine is necessary to enable the
preparation of financial statements that are free from material
misstatement, whether due to fraud or error; assessing the
Company’s ability to continue as a going concern, disclosing, as
applicable, matters related to going concern; and using the going
concern basis of accounting unless they either intend to liquidate
the Company or to cease operations, or have no realistic
alternative but to do so.
Auditor’s responsibilities
Our objectives are to obtain reasonable assurance about whether
the financial statements as a whole are free from material
misstatement, whether due to fraud or error, and to issue our
opinion in an auditor’s report. Reasonable assurance is a high
level of assurance, but does not guarantee that an audit conducted
in accordance with ISAs (UK) will always detect a material
misstatement when it exists. Misstatements can arise from fraud or
error and are considered material if, individually or in aggregate,
they could reasonably be expected to influence the economic
decisions of users taken on the basis of the financial
statements.
A fuller description of our responsibilities is provided on the
FRC’s website at www.frc.org.uk/auditorsresponsibilities.
The purpose of this report and
restrictions on its use by persons other than the Company’s members
as a body
This report is made solely to the Company’s members, as a body,
in accordance with section 262 of the Companies (Guernsey) Law, 2008. Our audit work has been
undertaken so that we might state to the Company’s members those
matters we are required to state to them in an auditor’s report and
for no other purpose. To the fullest extent permitted by law, we do
not accept or assume responsibility to anyone other than the
Company and the Company’s members, as a body, for our audit work,
for this report, or for the opinions we have formed.
Barry T.
Ryan
for and on behalf of KPMG CHANNEL ISLANDS LIMITED
Chartered Accountants and Recognised
Auditors, Guernsey
22 March 2018
Audited Statement of Assets and
Liabilities
As at 31 December 2017
|
|
|
|
|
31.12.17 |
|
31.12.16 |
|
|
|
|
|
US$'000 |
|
US$'000 |
Assets |
|
|
|
|
|
|
|
Investment
in the Master Fund |
|
|
464,663 |
|
847,761 |
Prepaid
expenses |
|
|
|
44 |
|
76 |
Cash and
bank balances denominated in US Dollars |
|
189 |
|
5,564 |
Cash and
bank balances denominated in Euro |
|
- |
|
1,087 |
Cash and
bank balances denominated in Sterling |
|
891 |
|
12,252 |
Total
assets |
|
|
|
465,787 |
|
866,740 |
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
Performance fees payable (note 4) |
|
|
|
- |
|
318 |
Management
fees payable (note 4) |
|
197 |
|
1,386 |
Accrued
expenses and other liabilities |
|
169 |
|
56 |
Directors'
fees payable |
|
|
|
70 |
|
95 |
Administration fees payable (note 4) |
|
33 |
|
42 |
Total
liabilities |
|
|
|
469 |
|
1,897 |
|
|
|
|
|
|
|
|
Net
assets |
|
|
|
465,318 |
|
864,843 |
|
|
|
|
|
|
|
|
Number
of shares in issue (note 5) |
|
|
|
|
US Dollar
shares |
|
|
|
2,782,034 |
|
9,975,524 |
Euro
shares |
|
|
|
- |
|
1,514,872 |
Sterling
shares |
|
|
|
14,046,048 |
|
22,371,669 |
|
|
|
|
|
|
|
|
Net
asset value per share (notes 7 and 9) |
|
|
|
|
US Dollar
shares |
|
|
|
US$21.62 |
|
US$21.68 |
Euro
shares |
|
|
|
- |
|
€21.87 |
Sterling shares |
|
|
|
|
£21.47 |
|
£22.44 |
See accompanying notes to the Audited
Financial Statements.
Signed on behalf of the Board by:
Huw
Evans
Chairman
John Le
Poidevin
Director
22 March 2018
Audited Statement of Operations
For the year ended 31 December
2017
|
|
|
01.01.17 |
|
01.01.16 |
|
|
|
to
31.12.17 |
|
to
31.12.16 |
|
|
|
US$'000 |
|
US$'000 |
Net investment loss
allocated from the Master Fund |
|
|
|
|
|
Interest income |
|
|
1,190 |
|
18,854 |
Dividend income (net
of withholding tax: |
|
|
|
|
|
31 December 2017:
US$19,017; 31 December 2016: US$26,177) |
|
|
62 |
|
73 |
Expenses |
|
|
(12,274) |
|
(20,785) |
Net investment loss
allocated from the Master Fund |
|
|
(11,022) |
|
(1,858) |
|
|
|
|
|
|
Company
income |
|
|
|
|
|
Fixed deposit
income |
|
|
2 |
|
- |
Foreign exchange gains
(note 3) |
|
|
50,659 |
|
(159,828) |
Total Company
income |
|
|
50,661 |
|
(159,828) |
|
|
|
|
|
|
Company
expenses |
|
|
|
|
|
Performance fees (note
4) |
|
|
- |
|
351 |
Management fees (note
4) |
|
|
14,369 |
|
20,871 |
Other expenses |
|
|
1,575 |
|
1,766 |
Directors' fees |
|
|
326 |
|
427 |
Administration fees
(note 4) |
|
|
141 |
|
208 |
Total Company
expenses |
|
|
16,411 |
|
23,623 |
|
|
|
|
|
|
Net investment
gain/(loss) |
|
|
23,228 |
|
(185,309) |
|
|
|
|
|
|
Net
realised and unrealised (loss)/gain on investments allocated from
the Master Fund |
|
|
|
Net realised gain on
investments |
|
|
11,279 |
|
43,035 |
Net unrealised loss on
investments |
|
|
(29,782) |
|
(7,971) |
Net
realised and unrealised (loss)/gain on investments allocated from
the Master Fund |
(18,503) |
|
35,064 |
|
|
|
|
|
|
Net
increase/(decrease) in net assets resulting from
operations |
|
|
4,725 |
|
(150,245) |
See accompanying Notes to the Audited
Financial Statements.
Audited Statement of Changes in Net
Assets
For the year ended 31 December
2017
|
|
|
|
|
|
|
|
|
01.01.17 |
|
01.01.16 |
|
|
|
|
|
|
|
|
|
to
31.12.17 |
|
to
31.12.16 |
|
|
|
|
|
|
|
|
|
US$'000 |
|
US$'000 |
Net
increase/(decrease) in net assets resulting from
operations |
|
|
|
|
|
|
Net
investment gain/(loss) |
|
|
|
|
|
|
|
23,228 |
|
(185,309) |
Net
realised gain on investments allocated from the Master Fund |
|
11,279 |
|
43,035 |
Net
unrealised loss on investments allocated from the Master Fund |
|
(29,782) |
|
(7,971) |
|
|
|
|
|
|
|
|
|
4,725 |
|
(150,245) |
|
|
|
|
|
|
|
|
|
|
|
|
Share
capital transactions |
|
|
|
|
|
|
|
|
|
|
Purchase of own shares |
|
|
|
|
|
|
|
|
|
|
US Dollar
shares |
|
|
|
|
|
|
|
- |
|
(50,853) |
Euro
shares |
|
|
|
|
|
|
|
- |
|
(17,894) |
Sterling
shares |
|
|
|
|
|
|
|
- |
|
(124,878) |
|
|
|
|
|
|
|
|
|
|
|
|
Tender
offer |
|
|
|
|
|
|
|
|
|
|
|
US Dollar
shares |
|
|
|
|
|
|
|
(140,757) |
|
(70,174) |
Euro
shares |
|
|
|
|
|
|
|
(13,908) |
|
(17,827) |
Sterling
shares |
|
|
|
|
|
|
|
(249,585) |
|
(198,179) |
Total
share capital transactions |
|
|
|
|
|
|
(404,250) |
|
(479,805) |
|
|
|
|
|
|
|
|
|
|
|
|
Net
decrease in net assets |
|
|
|
|
|
|
|
(399,525) |
|
(630,050) |
Net
assets at the beginning of the year |
|
|
|
|
|
864,843 |
|
1,494,893 |
Net
assets at the end of the year |
|
|
|
|
|
|
465,318 |
|
864,843 |
See accompanying Notes to the Audited
Financial Statements.
Audited Statement of Cash Flows
For the year ended 31 December
2017
|
|
|
|
|
|
01.01.17 |
|
01.01.16 |
|
|
|
|
|
|
to
31.12.17 |
|
to
31.12.16 |
|
|
|
|
|
|
US$'000 |
|
US$'000 |
Cash flows from
operating activities |
|
|
|
|
|
|
|
|
Net
increase/(decrease) in net assets resulting from operations |
|
|
|
|
4,725 |
|
(150,245) |
Adjustments to reconcile net increase/(decrease) in net assets
resulting from |
|
|
|
|
operations to net cash provided by operating
activities: |
|
|
|
|
|
|
|
Net
investment loss allocated from the Master Fund |
|
|
|
|
11,022 |
|
1,858 |
Net
realised gain on investments allocated from the Master Fund |
|
|
(11,279) |
|
(43,035) |
Net
unrealised loss on investments allocated from the Master Fund |
|
29,782 |
|
7,971 |
Purchase of investment
in the Master Fund |
|
|
|
|
|
(17,341) |
|
(32,746) |
Proceeds
from sale of investment in the Master Fund |
|
|
|
|
414,331 |
|
549,978 |
Foreign exchange
(gains)/losses |
|
|
|
|
|
(50,659) |
|
159,828 |
Decrease in prepaid
expenses |
|
|
|
|
|
32 |
|
15 |
(Decrease)/increase in performance fees payable |
|
|
|
|
(318) |
|
45 |
Decrease in management
fees payable |
|
|
|
|
|
(1,189) |
|
(1,027) |
Increase/(decrease) in accrued expenses and other liabilities |
|
|
|
114 |
|
(128) |
Decrease in directors'
fees payable |
|
|
|
|
|
(25) |
|
(19) |
Decrease in
administration fees payable |
|
|
|
|
|
(9) |
|
(31) |
Net cash provided
by operating activities |
|
|
|
|
|
379,186 |
|
492,464 |
|
|
|
|
|
|
|
|
|
Cash flows from
financing activities |
|
|
|
|
|
|
|
|
Purchase of own
shares |
|
|
|
|
|
- |
|
(195,323) |
Tender offer |
|
|
|
|
|
(404,250) |
|
(286,180) |
Net cash used in
financing activities |
|
|
|
|
|
(404,250) |
|
(481,503) |
|
|
|
|
|
|
|
|
|
Change in
cash |
|
|
|
|
|
(25,064) |
|
10,961 |
Cash, beginning of
the year |
|
|
|
|
|
18,903 |
|
35,587 |
Effect of exchange
rate fluctuations |
|
|
|
|
|
7,241 |
|
(27,645) |
Cash, end of the
year |
|
|
|
|
|
1,080 |
|
18,903 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash, end of the
year |
|
|
|
|
|
|
|
|
Cash and
bank balances denominated in US Dollars |
|
|
|
|
189 |
|
5,564 |
Cash and
bank balances denominated in Euro1 |
|
|
|
|
- |
|
1,087 |
Cash and
bank balances denominated in Sterling2 |
|
|
|
|
891 |
|
12,252 |
|
|
|
|
|
|
1,080 |
|
18,903 |
|
|
|
|
|
|
|
|
|
1. Cash and bank
balances in Euro (EUR'000) |
|
|
|
|
|
- |
|
1,036 |
2. Cash
and bank balances in Sterling (GBP'000) |
|
|
|
|
664 |
|
10,022 |
See accompanying Notes to the Audited
Financial Statements.
Notes to the Audited Financial
Statements
For the year ended 31 December
2017
1. The Company
BH Macro Limited (the “Company”) is a limited liability
closed-ended investment company incorporated in Guernsey on 17 January
2007.
The Company was admitted to the Official List of the London
Stock Exchange (“LSE”) in 2007. It had maintained Secondary
listings on the Bermuda Stock Exchange and NASDAQ Dubai since 2008,
but it de-listed from these two stock exchanges on 30 September 2017 and 31
December 2017, respectively.
The Company offers multiple classes of ordinary shares, which
differ in terms of currency of issue. Currently, ordinary shares
are issued in US Dollars and Sterling.
On 29 November 2016, the Company
announced a Tender Offer (the “Tender Offer”) to acquire up to 100%
of each class of the Company’s issued shares at a price equivalent
to 96% of NAV for the relevant class. The Tender Offer was approved
by Shareholders at meetings in February and March 2017 and Shareholders holding 52% of the
Company’s shares by prevailing NAV chose to remain invested in the
Company, with the remaining 48% of shares by value being tendered
for purchase at 96% of NAV for the relevant class. The acquisition
of shares pursuant to the Tender Offer was completed on
25 April 2017. Shares purchased in
the Tender Offer were cancelled.
On 3 May 2017, the Company
announced that, following the completion of the Tender Offer, the
NAV of the Euro share class would likely fall to below the
equivalent of US$25 million on the
next net asset value calculation date on 31
May 2017 and, as stated in the shareholder circular for the
Tender Offer, the Company therefore intended to convert the
remaining Euro shares into shares of the Company’s largest share
class following the Tender Offer, being Sterling shares. Accordingly, the Company converted
all remaining shares in the Euro class into Sterling shares effective 29
June 2017 and all the Euro shares held by the Company in
Treasury were cancelled on that date. The Euro share class then
closed and its listing was cancelled.
2. Organisation
The Company is organised as a feeder fund and seeks to achieve
its investment objective by investing all of its investable assets,
net of short-term working capital requirements, in the ordinary US
Dollar, Euro (up to the point of closure) and Sterling denominated Class B shares issued by
Brevan Howard Master Fund Limited (the “Master Fund”), and, as
such, the Company is directly and materially affected by the
performance and actions of the Master Fund.
The Master Fund is an open-ended investment company with limited
liability formed under the laws of the Cayman Islands on 22
January 2003. The investment objective of the Master Fund is
to generate consistent long-term appreciation through active
leveraged trading and investment on a global basis. The Master Fund
employs a combination of investment strategies that focus primarily
on economic change and monetary policy and market inefficiencies.
The underlying philosophy is to construct strategies, often
contingent in nature with superior risk/return profiles, whose
outcome will often be crystallised by an expected event occurring
within a pre-determined period of time. New trading strategies will
be added as investment opportunities present themselves.
As such the Audited Financial Statements of the Company should
be read in conjunction with the Audited Financial Statements of the
Master Fund which can be found on the Company’s website,
www.bhmacro.com.
At the date of these Audited Financial Statements, there were
two other feeder funds in operation in addition to the Company that
invest all of their assets (net of working capital) in the Master
Fund. Furthermore, Brevan Howard Multi-Strategy Master Fund
Limited, another fund managed by the Manager, invests some of its
assets in the Master Fund as at the date of these Financial
Statements.
Off-balance sheet, market and credit risks of the Master Fund’s
investments and activities are discussed in the notes to the Master
Fund’s Audited Financial Statements. The Company’s investment in
the Master Fund exposes it to various types of risk, which are
associated with the financial instruments and markets in which the
Brevan Howard underlying funds invest.
Market risk represents the potential loss in value of financial
instruments caused by movements in market factors including, but
not limited to, market liquidity, investor sentiment and foreign
exchange rates.
The Manager
Brevan Howard Capital Management LP (the “Manager”) is the
manager of the Company. The Manager is a Jersey Limited
Partnership, the general partner of which is Brevan Howard Capital
Management Limited, a Jersey Limited Company (the “General
Partner”). The General Partner is regulated in the conduct of fund
services business by the Jersey Financial Services Commission
pursuant to the Financial Services (Jersey) Law 1998 and the Orders
made thereunder.
The Manager also manages the Master Fund and in that capacity,
as at the date of these Financial Statements, has delegated the
function of investment management of the Master Fund to Brevan
Howard Asset Management LLP, Brevan Howard (Hong Kong) Limited, Brevan Howard
(Israel) Limited, Brevan Howard
Investment Products Limited, Brevan Howard US Investment Management
LP, Brevan Howard Private Limited, DW Partners, LP and BH-DG
Systematic Trading LLP.
3. Significant accounting policies
The Annual Audited Financial Statements, which give a true and
fair view, are prepared in conformity with United States Generally
Accepted Accounting Principles and comply with the Companies
(Guernsey) Law, 2008. The
functional and reporting currency of the Company is US Dollars.
As further described in the Directors’ Report, these Audited
Financial Statements have been prepared using the going concern
basis of accounting.
The Company is an Investment Entity which has applied the
provisions of Accounting Standards Codification (“ASC”) 946.
The following are the significant accounting policies adopted by
the Company:
Valuation of investments
The Company records its investment in the Master Fund at fair
value. Fair value is determined as the Company’s proportionate
share of the Master Fund’s capital, which approximates fair value.
At 31 December 2017, the Company is
the sole investor in the Master Fund’s ordinary US Dollar and
Sterling Class B shares as disclosed below. Within the table below,
the investment in each share class in the Master Fund is included,
with the overall total investment shown in the Audited Statement of
Assets and Liabilities.
|
Percentage of Master Fund's capital |
NAV per Share |
Shares held in the Master Fund |
Investment in Master Fund |
Investment in Master Fund |
|
|
(Class B) |
|
(Class B) |
CCY '000 |
US$'000 |
31
December 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
US Dollar |
1.25% |
$2,786.39 |
21,536 |
$60,007 |
60,007 |
Sterling |
8.40% |
£2,901.80 |
103,788 |
£301,173 |
404,656 |
|
|
|
|
|
|
|
|
|
464,663 |
|
|
|
|
|
|
|
|
|
|
|
31
December 2016 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
US Dollar |
1.76% |
$2,887.21 |
73,103 |
$211,064 |
211,064 |
Euro |
0.29% |
€2,892.07 |
11,118 |
€32,152 |
33,722 |
Sterling |
5.16% |
£3,038.32 |
162,324 |
£493,191 |
602,975 |
|
|
|
|
|
|
|
|
|
847,761 |
ASC Topic 820 defines fair value as the price that the Company
would receive upon selling a security in an orderly transaction to
an independent buyer in the principal or most advantageous market
of the security.
The valuation and classification of securities held by the
Master Fund is discussed in the notes to the Master Fund’s Audited
Financial Statements which are available on the Company’s website,
www.bhmacro.com.
Income and expenses
The Company records monthly its proportionate share of the
Master Fund’s income, expenses and realised and unrealised gains
and losses. In addition, the Company accrues its own income and
expenses.
Use of estimates
The preparation of Financial Statements in conformity with
United States Generally Accepted Accounting Principles requires
management to make estimates and assumptions that affect the
reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of those Financial
Statements and the reported amounts of increases and decreases in
net assets from operations during the reporting period. Actual
results could differ from those estimates.
Leverage
The Manager has discretion, subject to the prior approval of a
majority of the independent Directors, to employ leverage for and
on behalf of the Company by way of borrowings to effect share
purchases or share buy-backs, to satisfy working capital
requirements and to finance further investments in the Master
Fund.
The Company may borrow up to 20% of its NAV, calculated as at
the time of borrowing. Additional borrowing over 20% of NAV may
only occur if approved by an ordinary resolution of the
Shareholders.
Foreign exchange
Investment securities and other assets and liabilities of the
Sterling share class and, up until its
closure, the Euro share class are, or were, translated into US
Dollars, the Company’s reporting currency, using exchange rates at
the reporting date. Transactions reported in the Audited Statement
of Operations are translated into US Dollar amounts at the date of
such transactions. The share capital and other capital reserve
accounts are translated at the historic rate ruling at the date of
the transaction. Exchange differences arising on translation are
included in the Audited Statement of Operations. This adjustment
has no effect on the value of net assets allocated to the
individual share classes.
Cash and bank balances
Cash and bank balances comprise cash on hand and demand
deposits.
Allocation of results of the Master
Fund
Net realised and unrealised gains/losses of the Master Fund are
allocated to the Company’s share classes based upon the percentage
ownership of the equivalent Master Fund class.
Treasury shares
Where the Company purchases its own share capital, the
consideration paid, which includes any directly attributable costs,
is recognised as a deduction from equity Shareholders’ funds
through the Company’s reserves.
When such shares are subsequently sold or reissued to the
market, any consideration received, net of any directly
attributable incremental transaction costs, is recognised as an
increase in equity Shareholders’ funds through the share capital
account. Where the Company cancels treasury shares, no further
adjustment is required to the share capital account of the Company
at the time of cancellation. Shares held in treasury are excluded
from calculations when determining NAV per share as detailed in
note 7 and in the Financial Highlights in note 9.
Refer to note 8 for details of changes to the purchases by the
Company of its share capital.
4. Management, performance and
administration agreements
Management and performance fee
The Company has entered into a management agreement with the
Manager to manage the Company’s investment portfolio. Until
2 October 2016, the Manager received
a management fee of 1/12 of 2% (or a pro rata proportion thereof)
per month of the Net Asset Value (the “NAV”) of each class of
shares (before deduction of that month’s management fee and before
making any deduction for any accrued performance fee) as at the
last business day in each month, payable monthly in arrears. The
management fee charged by the Company is reduced by the Company’s
share of management fees incurred by the Master Fund through any
underlying investments of the Master Fund that share the same
Manager as the Company. The investment in the Class B shares of the
Master Fund is not subject to management fees, but is subject to an
operational services fee payable to the Manager of 1/12 of 0.5% per
month of the NAV.
From 3 October 2016, the Manager
will not charge the Company a management fee in respect of any
increase in the NAV of each class of shares above the relevant NAV
at that date resulting from performance or any own share purchases
or redemptions. The Company’s investment in the Master Fund also
will not bear an operational services fee in respect of performance
related growth in its investment in the Master Fund from that
date.
The following changes were made to the Company’s structure and
Management Agreement with effect from 1
April 2017:
- the management fee was reduced to 1/12 of 0.5% per month of the
NAV;
- the investment in the Class B shares of the Master Fund remains
subject to an operational services fee of 1/12 of 0.5% per month of
the NAV; and
- the management fee and operational services fee concession
described above will continue to apply in respect of performance
related growth in the Company’s NAV for each class of share in
excess of its level on 1 April 2017
as if the Tender Offer had completed on that date.
During the year ended 31 December 2017, US$14,368,940 (31 December
2016: US$20,870,959) was
earned by the Manager as net management fees. At 31 December 2017, US$197,034 (31 December
2016: US$1,385,840) of the fee
remained outstanding.
The Management fee charge included a balance of US$8,350,050 (31 December
2016: US$Nil), which was incurred in accordance with the
terms of the Tender Offer that concluded on 25 April 2017. Under the terms of the Tender
Offer, the Manager was entitled to a fee of 2% of the NAV of the
shares tendered, instead of 4%, that would have been payable if the
Company served notice of termination of the management agreement
between the Company and the Manager on less than 24 months’
notice.
The Manager is also entitled to an annual performance fee for
each share class. The performance fee is equal to 20% of the
appreciation in the NAV per share of that class during that
calculation period which is above the base NAV per share of that
class, other than that arising to the remaining shares of the
relevant class from any repurchase, redemption or cancellation of
any share in the calculation period. The base NAV per share is the
greater of the NAV per share of the relevant class at the time of
issue of such share and the highest NAV per share achieved as at
the end of any previous calculation period.
The Manager will be paid an estimated performance fee on the
business day preceding the last business day of each calculation
period. Within 5 business days of the publication of the final NAV
of each class of shares as at the end of the calculation period,
any difference between the actual performance fee and the estimated
amount will be paid to or refunded by the Manager, as appropriate.
Any accrued performance fee in respect of shares which are
converted into another share class prior to the date on which the
performance fee would otherwise have become payable in respect of
those shares will crystallise and become payable on the date of
such conversion. The performance fee is accrued on an on-going
basis and is reflected in the Company’s published NAV. During the
year ended 31 December 2017 US$Nil
(31 December 2016: US$350,887) was earned by the Manager as
performance fees. At 31 December
2017, US$Nil (31 December
2016: US$317,812) of the fee
remained outstanding.
The Master Fund may hold investments in other funds managed by
the Manager. To ensure that Shareholders of the Company are not
subject to two tiers of fees, the fees paid to the Manager as
outlined above are reduced by the Company’s share of any fees paid
to the Manager by the underlying Master Fund investments, managed
by the Manager.
The Management Agreement may be terminated by either party
giving the other party not less than 24 months’ written notice. In
certain circumstances the Company will be obliged to pay
compensation to the Manager of the aggregate management fees which
would otherwise have been payable during the 24 months following
the date of such notice and the aggregate of any accrued
performance fee in respect of the current Calculation Period.
Compensation is not payable if more than 24 months’ notice of
termination is given.
Under the terms of the Tender Offer, from 1 April 2019, the notice period for termination
of the Management Agreement without cause by both the Company and
the Manager will be reduced from 24 months to three months.
Administration fee
The Company has appointed Northern Trust International Fund
Administration Services (Guernsey)
Limited as Administrator and Corporate Secretary. The Administrator
is paid fees based on the NAV of the Company, payable quarterly in
arrears. The fee is at a rate of 0.015% of the average month end
NAV of the Company, subject to a minimum fee of £67,500 per annum.
In addition to the NAV based fee, the Administrator is also
entitled to an annual fee of £36,000 for certain additional
administration services. The Administrator is entitled to be
reimbursed for out-of-pocket expenses incurred in the course of
carrying out its duties as Administrator. During the year ended
31 December 2017, US$140,721 (31 December 2016: US$208,383) was earned by the Administrator as
administration fees. The amounts outstanding are disclosed on the
Audited Statement of Assets and Liabilities.
5. Share capital
Issued and authorised share
capital
The Company has the power to issue an unlimited number of
ordinary shares with no par value and an unlimited number of shares
with a par value. Shares may be divided into at least two classes
denominated in US Dollar and Sterling,
following the Euro share class closure. Further issue of shares may
be made in accordance with the Articles. Shares may be issued in
differing currency classes of ordinary redeemable shares including
C shares. The treasury shares have arisen as a result of the
discount management programme as described in note 8. The tables
below show the movement in ordinary and treasury shares.
|
|
|
|
|
US
Dollar shares |
|
Euro
shares |
|
Sterling shares |
Number
of ordinary shares |
|
|
|
|
|
|
|
|
In issue at 1
January 2017 |
|
|
|
|
9,975,524 |
|
1,514,872 |
|
22,371,669 |
Share
conversions |
|
|
|
(261,016) |
|
(890,769) |
|
954,079 |
Tender
offer shares transferred to treasury (note 8) |
|
(6,932,474) |
|
(624,103) |
|
(9,279,700) |
In
issue at 31 December 2017 |
|
|
|
2,782,034 |
|
- |
|
14,046,048 |
|
|
|
|
|
|
|
|
|
|
Number of treasury
shares |
|
|
|
|
|
|
|
|
|
In
issue at 1 January 2017 |
|
|
|
1,406,228 |
|
271,854 |
|
2,650,652 |
Tender
offer shares transferred to treasury (note 8) |
|
|
6,932,474 |
|
624,103 |
|
9,279,700 |
Shares
cancelled |
|
|
|
(1,075,000) |
|
(271,854) |
|
(1,200,000) |
Tender
offer shares cancelled (note 8) |
|
|
|
(6,932,474) |
|
(624,103) |
|
(9,279,700) |
In issue at 31
December 2017 |
|
|
|
|
331,228 |
|
- |
|
1,450,652 |
Percentage of class |
|
|
|
10.64% |
|
- |
|
9.36% |
There were no on market purchases in the year ended 31 December 2017.
|
|
|
|
|
US
Dollar shares |
|
Euro
shares |
|
Sterling shares |
Number
of ordinary shares |
|
|
|
|
|
|
|
|
In
issue at 1 January 2016 |
|
|
|
17,202,974 |
|
4,163,208 |
|
33,427,871 |
Share
conversions |
|
|
|
(737,163) |
|
(939,574) |
|
1,318,504 |
Purchase
of shares into Treasury |
|
|
|
(2,685,193) |
|
(847,431) |
|
(4,562,483) |
Tender
offer shares transferred to treasury (note 8) |
|
(3,805,094) |
|
(861,331) |
|
(7,812,223) |
In
issue at 31 December 2016 |
|
|
|
9,975,524 |
|
1,514,872 |
|
22,371,669 |
|
|
|
|
|
|
|
|
|
|
Number
of treasury shares |
|
|
|
|
|
|
|
|
In
issue at 1 January 2016 |
|
|
|
1,537,035 |
|
362,723 |
|
2,943,169 |
On market
purchases* |
|
|
|
2,685,193 |
|
847,431 |
|
4,562,483 |
Tender
offer shares transferred to treasury (note 8) |
|
3,805,094 |
|
861,331 |
|
7,812,223 |
Shares
cancelled |
|
|
|
(2,816,000) |
|
(938,300) |
|
(4,855,000) |
Tender
offer shares cancelled (note 8) |
|
|
|
(3,805,094) |
|
(861,331) |
|
(7,812,223) |
In
issue at 31 December 2016 |
|
|
|
1,406,228 |
|
271,854 |
|
2,650,652 |
Percentage of class |
|
|
|
12.36% |
|
15.22% |
|
10.59% |
|
|
|
|
|
|
|
|
|
|
*On market
purchases in the year ended 31 December 2016. |
|
|
|
|
|
|
|
|
|
|
Number of shares purchased |
|
|
|
Cost (in currency) |
Treasury shares |
|
|
Cost
(US$) |
|
US Dollar
shares |
|
|
|
2,685,193 |
|
50,853,441 |
|
$50,853,441 |
Euro
shares |
|
|
|
847,431 |
|
17,893,603 |
|
€16,080,450 |
Sterling
shares |
|
|
|
4,562,483 |
|
124,878,082 |
|
£90,182,054 |
Share classes
In respect of each class of shares a separate class account has
been established in the books of the Company. An amount equal to
the aggregate proceeds of issue of each share class has been
credited to the relevant class account. Any increase or decrease in
the NAV of the Master Fund US Dollar shares and Master Fund
Sterling shares as calculated by the Master Fund is allocated to
the relevant class account in the Company. Each class account is
allocated those costs, pre-paid expenses, losses, dividends,
profits, gains and income which the Directors determine in their
sole discretion relate to a particular class.
On 3 May 2017, the Company
announced that, following the completion of the Tender Offer, the
NAV of the Euro share class would likely fall to below the
equivalent of US$25 million on the
next net asset value calculation date on 31
May 2017 and as stated in the shareholder circular for the
Tender Offer, the Company therefore intended to convert the
remaining Euro shares into shares of the Company’s largest share
class following the Tender Offer, being Sterling shares.
Accordingly, the Company determined that all remaining shares in
the Euro class would be converted into Sterling shares with effect 29 June 2017 and all the Euro shares held by the
Company in Treasury were cancelled on that date. The Euro share
class then closed and its listing was cancelled.
Voting rights of shares
Ordinary shares carry the right to vote at general meetings of
the Company and to receive any dividends attributable to the
ordinary shares as a class declared by the Company and, in a
winding-up will be entitled to receive, by way of capital, any
surplus assets of the Company attributable to the ordinary shares
as a class in proportion to their holdings remaining after
settlement of any outstanding liabilities of the Company.
As prescribed in the Company’s Articles, the different classes
of ordinary shares have different values attributable to their
votes. The attributed values have been calculated on the basis of
the Weighted Voting Calculation (as described in the Articles)
which takes into account the prevailing exchange rates on the date
of initial issue of ordinary shares. On a vote, a single US Dollar
ordinary share has 0.7606 votes and a single Sterling ordinary share has 1.4710 votes.
Treasury shares do not have any voting rights.
Repurchase of ordinary shares
Under the Company’s Articles, Shareholders of a class of shares
have the ability to call for repurchase of that class of shares in
certain circumstances. See note 8 for further details.
Further issue of shares
As approved by the Shareholders at the Annual General Meeting
held on 23 June 2017, the Directors
have the power to issue further shares totalling 990,034 US Dollar shares and 4,395,593
Sterling shares respectively. This
power expires fifteen months after the passing of the resolution or
on the conclusion of the next Annual General Meeting of the
Company, whichever is earlier, unless such power is varied, revoked
or renewed prior to that Meeting by a resolution of the Company in
general meeting.
Distributions
The Master Fund has not previously paid dividends to its
investors. This does not prevent the Directors of the Company from
declaring a dividend at any time in the future if the Directors
consider payment of a dividend to be appropriate in the
circumstances. If the Directors declare a dividend, such dividend
will be paid on a per class basis.
As announced on 15 January 2014,
the Company intends to be operated in such a manner to ensure that
its shares are not categorised as non-mainstream pooled
investments. This may mean that the Company may pay dividends in
respect of any income that it receives or is deemed to receive for
UK tax purposes so that it would qualify as an investment trust if
it were UK tax-resident.
Further, the Company will first apply any such income in payment
of its management and performance fees.
Treasury shares are not entitled to distributions.
Share conversion scheme
The Company has implemented a Share Conversion Scheme. The
scheme provides Shareholders with the ability to convert some or
all of their ordinary shares in the Company of one class into
ordinary shares of the other class. Shareholders are able to
convert ordinary shares on the last business day of every month.
Each conversion will be based on the NAV (note 7) of the shares of
the class to be converted.
6. Taxation
Overview
The Company is exempt from taxation in Guernsey under the provisions of the Income
Tax (Exempt Bodies) (Guernsey)
Ordinance 1989.
Uncertain tax positions
The Company recognises the tax benefits of uncertain tax
positions only where the position is more-likely-than-not (i.e.
greater than 50%), to be sustained assuming examination by a tax
authority based on the technical merits of the position. In
evaluating whether a tax position has met the recognition
threshold, the Company must presume that the position will be
examined by the appropriate taxing authority that has full
knowledge of all relevant information. A tax position that meets
the more-likely-than-not recognition threshold is measured to
determine the amount of benefit to recognise in the Company’s
Audited Financial Statements. Income tax and related interest and
penalties would be recognised by the Company as tax expense in the
Audited Statement of Operations if the tax positions were deemed
not to meet the more-likely-than-not threshold.
The Company analyses all open tax years for all major taxing
jurisdictions. Open tax years are those that are open for
examination by taxing authorities, as defined by the Statute of
Limitations in each jurisdiction. The Company identifies its major
tax jurisdictions as the Cayman
Islands and foreign jurisdictions where the Company makes
significant investments. The Company has no examinations by tax
authorities in progress.
The Directors have analysed the Company’s tax positions, and
have concluded that no liability for unrecognised tax benefits
should be recorded related to uncertain tax positions. Further, the
Directors are not aware of any tax positions for which it is
reasonably possible that the total amounts of unrecognised tax
benefits will significantly change in the next twelve months.
7. Publication and calculation of Net
Asset Value (“NAV”)
The NAV of the Company is equal to the value of its total assets
less its total liabilities. The NAV per share of each class will be
calculated by dividing the NAV of the relevant class account by the
number of shares of the relevant class in issue on that day.
The Company publishes the NAV per share for each class of shares
as calculated by the Administrator based in part on information
provided by the Master Fund, monthly in arrears, as at each
month-end.
The Company also publishes an estimate of the NAV per share for
each class of shares as calculated by the Administrator based in
part on information provided by the Master Fund, weekly in
arrears.
8. Discount management programme
The Company has previously implemented a number of methods in
order to seek to manage any discount to NAV at which the Company’s
shares trade.
Market purchases
Until October 2016, the Company
regularly utilised its ability to make market purchases of its
shares as part of the discount management programme. The purchase
of these shares was funded by the Company redeeming underlying
shares in the Master Fund. The number of shares held in treasury as
at
31 December 2017 are disclosed in
note 5.
However, following the announcement of the results of the Tender
Offer on 24 February 2017, the
Company is no longer permitted to redeem its investment in the
Master Fund to finance own-share purchases until 1 April 2019. The Company, therefore, does not
intend to make any own-share purchases in that period. The Company
would be required to pay a redemption fee to the Master Fund of 10%
on any other redemptions from the Master Fund (except for any
redemptions required by the Company for working capital purposes,
in which case no fee will apply).
Tender offers
On 5 April 2016, the Company
announced a tender offer to acquire up to 25% of the Company’s
shares at discounts ranging from 4% to 8%. The purpose of the
tender was to permit those Shareholders who wished to realise some
(or possibly all) of their investment in the Company to do so,
subject to the terms of the tender offer, while also offering
potential enhancements to the Company’s NAV for Shareholders who
remained invested in the Company. The discounts were set by taking
account of both the approximate discounts to NAV at which the
Company’s shares had traded in the past 12 months and the Company’s
probable liquidation value.
This tender, which was completed in late June 2016, was oversubscribed: tenders of
Sterling and Euro shares at discounts
of 8%, 7% and 6% were accepted in full, and at 5% in part; tenders
of Dollar shares at discounts of 8% and 7% were accepted in full,
and at 6% in part. Shares purchased in the tender were
cancelled.
On 29 November 2016, the Company
announced a further tender offer to acquire up to 100% of each
class of the Company’s issued shares at a price equivalent to 96%
of NAV for the relevant class.
This Tender Offer was approved by Shareholders at meetings in
February and March 2017 and
Shareholders holding 52% of the Company’s shares by prevailing NAV
chose to remain invested in the Company, with the remaining 48% of
shares by value being tendered for purchase at 96% of NAV. The
acquisition of shares pursuant to the Tender Offer was completed on
25 April 2017. Shares purchased in
the tender were cancelled.
Annual offer of partial return of
capital
Under the Company’s Articles of Incorporation, once in every
calendar year the Directors had discretion to determine that the
Company make an offer of a partial return of capital in respect of
such number of shares of the Company in issue as they determined,
provided that the maximum amount distributed did not exceed 100% of
the increase in NAV of the Company in the prior calendar year.
The Directors had discretion to determine the particular class
or classes of shares in respect of which a partial return of
capital would be made, the timetable for that partial return of
capital and the price at which the shares of each relevant class
were returned.
The decision to make a partial return of capital in any
particular year and the amount of the return depended, among other
things, on prevailing market conditions, the ability of the Company
to liquidate its investments to fund the capital return, the
success of prior capital returns and applicable legal, regulatory
and tax considerations.
As part of the Tender Offer that was completed on 25 April 2017 and changes to the Company’s
structure, the annual partial capital return provisions have been
disapplied for the years ending
31 December 2016, 2017 and 2018.
Class closure resolutions
Also under the Articles of Incorporation, the Company had an
obligation to propose class closure resolutions if, in any fixed
discount management period (1 January to 31 December each
year), the average daily closing market price of the relevant class
of shares during such period was 10% or more below the average NAV
per share of the relevant class taken over the 12 monthly NAV
Determination Dates in that fixed discount management period.
As part of the Tender Offer that was completed on 25 April 2017 and changes to the Company’s
structure, these class closure provisions have also been disapplied
for the years ending 31 December
2016, 2017 and 2018.
However if, in the period from 1 January
2018 to 31 December 2018, any
class of shares trades at an average discount at or in excess of 8%
of the monthly NAV, the Company will propose a vote of the relevant
class to discontinue that class. Any such class discontinuation
vote will take place on or prior to 28
February 2019.
In that event and if a Class Discontinuation Vote is passed by
three-quarters of the votes cast on the resolution, holders of
shares of the relevant class will be able to opt to receive:
- 97.5 per cent of the NAV per share of the relevant class as at
31 March 2019 (with the remaining
2.5% of the NAV per share being retained by the Master Fund);
or
- 50 per cent of the NAV per share of the relevant class as at
31 March 2019 and 50% of the NAV per
share as at 30 June 2019.
From 1 April 2019, the Company’s
class closure provisions and annual partial capital return will be
reinstated and applicable in respect of the twelve month period
ending on 31 December 2019 and
thereafter, except that the relevant trigger for the class closure
provisions will be 8% discount to the net asset value of the
relevant class of shares over the relevant period, instead of the
previous 10% threshold.
The arrangements are described more fully in the Company’s
principal documents which were approved at the EGM on 24 February 2017.
9. Financial highlights
The following tables include selected data for a single ordinary
share of each of the ordinary share classes in issue at
31 December 2017 and other
performance information derived from the Financial Statements.
The per share amounts and ratios which are shown reflect the
income and expenses of the Company for each class of ordinary
share.
|
|
|
|
|
31.12.17 |
|
31.12.17^ |
|
31.12.17 |
|
|
|
|
|
US
Dollar shares |
|
Euro
shares |
|
Sterling shares |
|
|
|
|
|
US$ |
|
€ |
|
£ |
Per
share operating performance |
|
|
|
|
|
|
|
Net
asset value at beginning of the year |
|
21.68 |
|
21.87 |
|
22.44 |
|
|
|
|
|
|
|
|
|
|
Income
from investment operations |
|
|
|
|
|
|
|
Net
investment loss* |
|
|
|
(1.80) |
|
(1.03) |
|
(1.01) |
Net
realised and unrealised loss on investment |
|
(0.71) |
|
(0.74) |
|
(0.83) |
Other
capital items** |
|
|
|
2.45 |
|
1.10 |
|
0.87 |
Total
loss |
|
|
|
(0.06) |
|
(0.67) |
|
(0.97) |
|
|
|
|
|
|
|
|
|
|
Net
asset value, end of the year/period |
|
|
|
21.62 |
|
21.20 |
|
21.47 |
|
|
|
|
|
|
|
|
|
|
Total loss
before performance fee |
|
|
|
(0.30%) |
|
(3.07%) |
|
(4.35%) |
Total
loss after performance fee^ |
|
|
(0.30%) |
|
(3.07%) |
|
(4.35%) |
^ Net asset value and
returns on the Euro share class have been calculated up to the NAV
date preceding the conversion of shares to the Sterling share class.
Total return reflects the net return for an investment made at
the beginning of the year and is calculated as the change in the
NAV per ordinary share during the year from 1 January 2017 to 31
December 2017. An individual shareholder’s return may vary
from these returns based on the timing of their purchase or sale of
shares.
|
|
|
|
|
31.12.17 |
|
31.12.17^^ |
|
31.12.17 |
|
|
|
|
|
US
Dollar shares |
|
Euro
shares |
|
Sterling shares |
|
|
|
|
|
US$'000 |
|
€'000 |
|
£'000 |
Supplemental data |
|
|
|
|
|
|
|
|
Net
asset value, end of the year |
|
|
|
60,136 |
|
- |
|
301,565 |
Average
net asset value for the year |
|
99,784 |
|
21,875 |
|
348,983 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.17 |
|
31.12.17 |
|
31.12.17 |
|
|
|
|
|
US
Dollar shares |
|
Euro
shares |
|
Sterling shares |
Ratio
to average net assets |
|
|
|
|
|
|
|
|
Operating
expenses |
|
|
|
|
|
|
|
|
|
Company
expenses*** |
|
|
|
4.52% |
|
2.25% |
|
2.52% |
|
Master
Fund expenses**** |
|
|
1.41% |
|
0.53% |
|
1.31% |
|
Master
Fund interest expense***** |
|
1.19% |
|
1.48% |
|
0.74% |
Performance fee |
|
|
|
- |
|
- |
|
- |
|
|
|
|
|
7.12% |
|
4.26% |
|
4.57% |
|
|
|
|
|
|
|
|
|
|
Net
investment loss before performance fee* |
|
(6.98%) |
|
(4.28%) |
|
(4.33%) |
|
|
|
|
|
|
|
|
|
|
Net
investment loss after performance fees* |
|
(6.98%) |
|
(4.28%) |
|
(4.33%) |
^^ The average Euro share
class net asset value for the year is calculated based on published
NAVs from the start of the year up to the Euro share class
closure.
|
|
|
|
|
31.12.16 |
|
31.12.16 |
|
31.12.16 |
|
|
|
|
|
US
Dollar shares |
|
Euro
shares |
|
Sterling shares |
|
|
|
|
|
US$ |
|
€ |
|
£ |
Per
share operating performance |
|
|
|
|
|
|
Net
asset value at beginning of the year |
|
20.33 |
|
20.56 |
|
21.21 |
|
|
|
|
|
|
|
|
|
|
Income
from investment operations |
|
|
|
|
|
|
|
|
Net
investment loss* |
|
|
|
(0.46) |
|
(0.45) |
|
(0.50) |
Net
realised and unrealised gain on investment |
|
1.00 |
|
0.81 |
|
0.91 |
Other
capital items** |
|
|
|
0.81 |
|
0.95 |
|
0.82 |
Total
return |
|
|
|
1.35 |
|
1.31 |
|
1.23 |
|
|
|
|
|
|
|
|
|
|
Net
asset value, end of the year |
|
|
|
21.68 |
|
21.87 |
|
22.44 |
|
|
|
|
|
|
|
|
|
|
Total
return before performance fee |
|
|
6.63% |
|
6.37% |
|
5.84% |
Performance fee |
|
|
|
- |
|
- |
|
(0.05%) |
Total
return after performance fee |
|
|
6.63% |
|
6.37% |
|
5.79% |
Total return reflects the net return for an investment made at
the beginning of the year and is calculated as the change in the
NAV per ordinary share during the year from 1 January 2016 to 31
December 2016. An individual shareholder’s return may vary
from these returns based on the timing of their purchase or sale of
shares.
|
|
|
|
|
31.12.16 |
|
31.12.16 |
|
31.12.16 |
|
|
|
|
|
US
Dollar shares |
|
Euro
shares |
|
Sterling shares |
|
|
|
|
|
US$'000 |
|
€'000 |
|
£'000 |
Supplemental data |
|
|
|
|
|
|
|
|
Net
asset value, end of the year |
|
|
|
216,252 |
|
33,128 |
|
502,083 |
Average
net asset value for the year |
|
261,058 |
|
55,907 |
|
560,351 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.16 |
|
31.12.16 |
|
31.12.16 |
|
|
|
|
|
US
Dollar shares |
|
Euro
shares |
|
Sterling shares |
Ratio
to average net assets |
|
|
|
|
|
|
|
|
Operating
expenses |
|
|
|
|
|
|
|
|
|
Company
expenses*** |
|
|
|
2.15% |
|
2.21% |
|
2.15% |
|
Master
Fund expenses**** |
|
|
1.02% |
|
1.03% |
|
1.04% |
|
Master
Fund interest expense***** |
|
0.86% |
|
0.82% |
|
0.90% |
Performance fee |
|
|
|
0.00% |
|
0.00% |
|
0.05% |
|
|
|
|
|
4.03% |
|
4.06% |
|
4.14% |
|
|
|
|
|
|
|
|
|
|
Net
investment loss before performance fee* |
|
(2.32%) |
|
(2.26%) |
|
(2.33%) |
|
|
|
|
|
|
|
|
|
|
Net
investment loss after performance fees* |
|
(2.32%) |
|
(2.26%) |
|
(2.38%) |
Notes
* The net investment
loss figures disclosed above, does not include net realised and
unrealised gains/losses on investments allocated from the Master
Fund.
** Included in other capital items
are the discounts and premiums on conversions between share classes
and on the sale of treasury shares as well as any partial capital
return effected in the relevant period as compared to the NAV per
share at the beginning of the year.
*** Company expenses are as disclosed in
the Audited Statement of Operations excluding the performance fee
and Foreign Exchange.
**** Master Fund expenses are the operating
expenses of the Master Fund excluding the interest and dividend
expenses of the Master Fund.
***** Master Fund interest expense includes interest
and dividend expenses on investments sold short.
10. Related party transactions
Parties are considered to be related if one party has the
ability to control the other party or exercise significant
influence over the party in making financial or operational
decisions.
Management and performance fees are disclosed in note 4.
Directors’ fees are disclosed in the Directors’ Remuneration
Report.
Directors’ interests are disclosed in the Directors’ Report and
also the Board Members section.
11. Subsequent events
The Directors have evaluated subsequent events up to
22 March 2018, which is the date that
the Audited Financial Statements were available to be issued, and
have concluded there are no further items that require disclosure
or adjustment to the Audited Financial Statements.
Historic Performance Summary
As at 31 December 2017
|
|
|
31.12.17 |
31.12.16 |
31.12.15 |
31.12.14 |
31.12.13 |
|
|
|
US$'000 |
US$'000 |
US$'000 |
US$'000 |
US$'000 |
Net
increase/(decrease) in net assets |
|
|
|
|
|
|
resulting from operations |
|
4,725 |
(150,245) |
(91,220) |
(122,858) |
105,344 |
Total
assets |
|
465,787 |
866,740 |
1,499,648 |
1,768,337 |
2,255,031 |
Total
liabilities |
|
(469) |
(1,897) |
(4,755) |
(5,519) |
(8,176) |
Net assets |
|
|
465,318 |
864,843 |
1,494,893 |
1,762,818 |
2,246,855 |
|
|
|
|
|
|
|
|
Number
of shares in issue |
|
|
|
|
|
|
US Dollar shares |
|
|
2,782,034 |
9,975,524 |
17,202,974 |
18,332,029 |
24,967,761 |
Euro
shares |
|
- |
1,514,872 |
4,163,208 |
5,112,916 |
6,792,641 |
Sterling shares |
|
|
14,046,048 |
22,371,669 |
33,427,871 |
37,717,793 |
43,602,671 |
|
|
|
|
|
|
|
|
Net
asset value per share |
|
|
|
|
|
|
US Dollar shares |
|
|
US$21.62 |
US$21.68 |
US$20.33 |
US$20.62 |
US$20.60 |
Euro
shares |
|
- |
€21.87 |
€20.56 |
€20.72 |
€20.74 |
Sterling shares |
|
|
£21.47 |
£22.44 |
£21.21 |
£21.40 |
£21.34 |
Affirmation of the Commodity Pool
Operator
31 December 2017
To the best of my knowledge and belief, the information detailed
in this Annual Report and these Audited Financial Statements is
accurate and complete.
By:
Name: Jonathan Wrigley
Title: Group Head of Finance and Authorised Signatory
Brevan Howard Capital Management Limited as general partner of
Brevan Howard Capital Management LP, the manager and commodity pool
operator of BH Macro Limited
22 March 2018
Company Information
Directors
Huw Evans (Chairman, from
23 June 2017)
Ian Plenderleith (Chairman,
until 23 June 2017)
Claire Whittet
Colin Maltby
John Le Poidevin
(All Directors are non-executive and independent for
the purpose of Listing Rule 15.2.12-A)
Registered Office
PO Box 255
Trafalgar Court
Les Banques
St Peter Port
Guernsey
Channel Islands GY1 3QL
Manager
Brevan Howard Capital Management LP
6th Floor
37 Esplanade
St Helier
Jersey
Channel Islands JE2 3QA
Administrator and Corporate
Secretary
Northern Trust International Fund
Administration Services (Guernsey)
Limited
PO Box 255
Trafalgar Court
Les Banques
St Peter Port
Guernsey
Channel Islands GY1 3QL
Independent Auditor
KPMG Channel Islands Limited
Glategny Court, Glategny Esplanade
St Peter Port
Guernsey
Channel Islands GY1 1WR
Registrar and CREST Service
Provider
Computershare Investor Services (Guernsey) Limited
1st Floor
Tudor House
Le Bordage
St Peter Port
Guernsey GY1 1DB
Legal Advisors (Guernsey Law)
Carey Olsen
Carey House
Les Banques
St Peter Port
Guernsey
Channel Islands GY1 4BZ
Legal Advisors (UK Law)
Hogan Lovells LLP
Atlantic House
Holborn Viaduct
London EC1A 2FG
Corporate Broker
JPMorgan Cazenove
25 Bank Street
Canary Wharf
London E14 5JP
Tax Adviser
Deloitte LLP
PO Box 137
Regency Court
Glategny Esplanade
St Peter Port
Guernsey
Channel Islands GY1 3HW
For the latest information
www.bhmacro.com