BH Macro Limited
Interim Report and Unaudited Financial Statements 2018
LEI: 549300ZOFF0Z2CM87C29
(Classified Regulated Information, under DTR 6 Annex 1 section
1.2)
The Company has today, in accordance with DTR 6.3.5, released
its Interim Report and Unaudited financial statements for the
period ended 30 June 2018. The Report
will shortly be available from the Company’s website:
www.bhmacro.com.
Chairman’s Statement
Over the first half of 2018, the Net Asset Value (“NAV”) per US
dollar share in the Company increased by 9.58% and the NAV per
Sterling share increased by 8.70%.
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. For
quite some time the Master Fund’s performance was constrained by
market conditions that offered few opportunities for its
macro-directional trading focus. However, in 2018 that has
finally begun to change.
The past performance of the Master Fund and the Company has
shown correlation with market volatility. This was notably
demonstrated by the over 5% increase in NAV following the
unexpected result of the US Presidential Election in November
2016. In 2017, however, market volatility returned to its
historically low levels and the implementation of President Trump’s
tax policies in the current year has stimulated US equity markets
to reach new highs. However, a brief correction in early 2018
showed what the Master Fund can do when volatility returns and the
Company posted a 2.54% increase in NAV (US Dollar shares) and 2.36%
(Sterling shares) in January 2018.
There are significant and increasing local and international
political risks despite the continuing strength in the equity
markets. This was most recently brought to the fore following
the Italian elections where the formation of a coalition government
caused significant turbulence in the foreign exchange and fixed
interest markets. In this period the Master Fund produced its
largest monthly return in several years and the Company’s NAV
increased in May by 8.41% (US Dollar shares) and 8.19%
(Sterling shares).
These unpredictable events have given a warning of what the rest
of the year may hold. The local market upset following the
political developments in Italy
has shown that, when volatility returns, the Company offers
Shareholders the opportunity to benefit from the Master Fund’s
long-term track record of preserving capital and achieving positive
returns.
As part of the tender offer which completed in April 2017, the Board agreed that the Company
would not engage in market purchases of its own shares before
1 April 2019, but 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 per share
over the whole of 2018. The average discount at which each of
the Company’s Sterling and US Dollar
shares have traded in relation to monthly NAV per share so far this
year has been approximately 9.5%. If a discontinuation vote is
triggered for either or both class of share, it will be held in
early 2019.
Over the past six months, the Board has continued its regular
dialogue with the Manager, reviewing the Master Fund’s trading
strategies and risk exposures and satisfying itself that the
Manager’s analytical, trading and risk management capabilities are
being maintained to a high standard.
The Company and its Manager have continued to pursue an active
programme for public communication and investor relations.
There was particular interest from the press following the
Company’s performance in May. 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 early 2018 the Board commissioned
an external evaluation of its performance which confirmed that the
Board works in a collegiate, harmonious and effective manner.
I have commented before that the Board recognises that improved
performance from the Master Fund will be important in securing the
future of the Company. The evidence in the first half of 2018
is that the Company’s investment in the Master Fund provides a
valuable listed avenue for portfolio diversification that is
uncorrelated with other asset classes. There are now clear
signs that investors are beginning to focus more closely on the
political and economic uncertainties lying ahead and any increased
volatility arising from this will present further opportunities for
the Master Fund’s macro-trading strategies.
Huw Evans
Chairman
20 August 2018
Board Members
The Directors of the Company, all of whom are non-executive, are
listed below:
Huw Evans, (Chairman), age
60
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.
John Le Poidevin, age
48
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 63
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 |
Colin
Maltby |
BBGI SICAV SA |
London |
Ocean Wilsons Holdings
Limited |
London and
Bermuda |
John Le
Poidevin |
International Public Partnerships Limited
Safecharge International Group Limited |
London
London (AIM) |
Stride Gaming Plc |
London (AIM) |
Claire
Whittet |
Eurocastle Investment
Limited |
Euronext |
International Public
Partnerships Limited |
London |
Riverstone Energy Limited
Third Point Offshore Investors Limited |
London London |
TwentyFour Select
Monthly Income Fund Limited |
London |
Directors’ Report
30 June 2018
The Directors submit their Interim Report together with the
Company’s Interim Unaudited Statement of Assets and Liabilities,
Interim Unaudited Statement of Operations, Interim Unaudited
Statement of Changes in Net Assets, Interim Unaudited Statement of
Cash Flows and the related notes for the period ended 30 June 2018. The Directors’ Report together with
the Interim Unaudited 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.
Following a tender offer which completed in April 2017, 48% of shares by value being tendered
at 96% of NAV for the relevant class were cancelled. This, in turn,
led to the Company closing the Euro share class, cancelling its
listing and converting the remaining Euro shares into Sterling class shares on 29
June 2017. Currently, ordinary shares are issued in US
Dollars and Sterling.
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 period are set out in the Unaudited Statement
of Operations. The Directors do not recommend the payment of a
dividend.
Share Capital
The number of shares in issue at the period end is disclosed in
note 5 of the Notes to the Interim Unaudited Financial
Statements.
Going Concern
The Directors, having considered the principal risks to which the
Company is exposed which are listed in the Principal Risks and
Uncertainties section below 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 Interim Unaudited
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
period, 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 meetings they were entitled to attend during the
period ended 30 June 2018 and the
number of such meetings attended by each Director.
Scheduled Board
Meetings |
Held |
Attended |
Huw Evans |
2 |
2 |
John Le Poidevin |
2 |
2 |
Colin Maltby |
2 |
2 |
Claire Whittet |
2 |
2 |
Audit Committee Meetings |
Held |
Attended |
John Le Poidevin |
2 |
2 |
Colin Maltby |
2 |
2 |
Claire Whittet |
2 |
2 |
In addition to these scheduled meetings, five ad hoc committee
meetings were held during the period ended 30 June 2018, which were attended by those
Directors available at the time.
Directors’ Independence
Under the AIC Code of Corporate Governance (“AIC Code”), 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 |
|
30.06.18 |
31.12.17 |
30.06.17 |
Huw
Evans |
Nil |
Nil |
Nil |
John Le
Poidevin |
Nil |
Nil |
Nil |
Colin
Maltby |
Nil |
Nil |
Nil |
Claire
Whittet |
Nil |
Nil |
Nil |
|
Sterling Shares |
|
30.06.18 |
31.12.17 |
30.06.17 |
Huw
Evans |
5,270 |
3,337 |
3,337 |
John Le
Poidevin |
Nil |
Nil |
Nil |
Colin
Maltby |
Nil |
Nil |
Nil |
Claire
Whittet |
Nil |
Nil |
Nil |
|
|
|
|
|
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 and 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 in the Directors’ Remuneration Report
below. 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
21 June 2018, Shareholders re-elected
all the Directors of the Company.
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.
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 annual 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 Interim 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 introduced
a new Corporate Criminal Offence of ‘failing to take reasonable
steps to prevent the facilitation of tax evasion’, the Board
confirms 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 six month period ended 30 June 2018, year ended 31 December 2017 and six month period ended
30 June 2017 have been prepared in
accordance with the AIC’s recommended methodology.
The following table presents the Ongoing Charges for each share
class:
30.06.18 |
|
|
|
|
|
US
Dollar |
Sterling |
|
|
Shares |
Shares |
Company – Ongoing
Charges |
|
0.63% |
0.69% |
Master Fund – Ongoing
Charges |
|
0.65% |
0.65% |
Performance fee |
|
0.02% |
0.35% |
Ongoing Charges plus
performance fee |
|
1.29% |
1.69% |
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% |
30.06.17 |
|
|
|
|
US
Dollar |
*Euro |
Sterling |
|
Shares |
Shares |
Shares |
Company – Ongoing
Charges |
1.76% |
1.76% |
1.55% |
Master Fund – Ongoing
Charges |
0.66% |
0.66% |
0.65% |
Performance fee |
0.00% |
0.00% |
0.00% |
Ongoing Charges plus
performance fee |
2.42% |
2.42% |
2.20% |
*The Euro Share class closed on 29 June
2017.
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.
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 European Union Regulation (2017/653)
(“the Regulation”) which deems it to be a PRIIP. In accordance with
the requirements of the Regulation, the Manager published the first
standardised three-page Key Information Document (“KID”) on the
Company 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. One specific aspect of market risk is that of
discontinuation. As part of the tender offer which completed in
April 2017, the Board 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 per
share over the whole of 2018. The average discount at which each of
the Company’s Sterling and US Dollar
shares have traded in relation to monthly NAV per share so far this
year has been approximately 9.5%. Consequently, there is a risk
that discontinuation votes will be held in early 2019 at which
Shareholders may vote to liquidate one or both classes of
shares.
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 was adopted by Guernsey and 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 latest report for CRS to the Director of
Income Tax on 29 June 2018.
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 30 June 2018, the following
Shareholders had significant shareholdings in the Company:
|
|
|
%
holding |
|
Total Shares Held |
in
class |
Significant
Shareholders |
|
|
US Dollar
Shares |
|
|
Vidacos Nominees
Limited |
898,508 |
32.80% |
Hero Nominees
Limited |
428,143 |
15.63% |
The Bank of New York
(Nominees) Limited |
251,654 |
9.19% |
HSBC Global Custody
Nominee (UK) Limited |
226,811 |
8.28% |
Luna Nominees
Limited |
140,647 |
5.13% |
Pershing Nominees
Limited |
115,168 |
4.20% |
Euroclear Nominees
Limited |
104,312 |
3.81% |
Lynchwood Nominees
Limited |
95,141 |
3.47% |
|
|
|
%
holding |
|
Total Shares Held |
in
class |
Significant
Shareholders |
|
|
Sterling
Shares |
|
|
|
Ferlim Nominees
Limited |
2,619,697 |
18.61% |
Rathbone Nominees
Limited |
1,148,628 |
8.16% |
Harewood Nominees
Limited |
993,793 |
7.06% |
The Bank of New York
(Nominees) Limited |
917,685 |
6.52% |
HSBC Global Custody
Nominee (UK) Limited |
860,536 |
6.11% |
Pershing Nominees
Limited |
848,578 |
6.03% |
Nortrust Nominees
Limited |
615,315 |
4.37% |
State Street Nominees
Limited |
587,683 |
4.17% |
BNY (OCS) Nominees
Limited |
549,493 |
3.90% |
Smith & Williamson
Nominees Limited |
528,732 |
3.76% |
Brooks Macdonald
Nominees Limited |
473,669 |
3.36% |
Signed on behalf of the Board by:
Huw Evans
Chairman
John Le Poidevin
Director
20 August 2018
Statement of Directors’ Responsibility
in Respect of the Interim Report and Unaudited Financial
Statements
We confirm to the best of our knowledge that:
- these Interim Unaudited Financial Statements have been prepared
in conformity with United States Generally Accepted Accounting
Principles and give a true and fair view of the assets,
liabilities, financial position and profit or loss; and
- these Interim Unaudited Financial Statements include
information detailed in the Chairman’s Statement, the Directors’
Report, the Manager’s Report and the notes to the Interim Unaudited
Financial Statements, which provides a fair review of the
information required by:
(a) DTR 4.2.7R of the Disclosure and Transparency Rules, being
an indication of important events that have occurred during the
first six months of the financial year and their impact on these
Interim Unaudited Financial Statements and a description of the
principal risks and uncertainties for the remaining six months of
the year; and
(b) DTR 4.2.8R of the Disclosure and Transparency Rules, being
related party transactions that have taken place in the first six
months of the current financial year and that have materially
affected the financial position or performance of the Company
during that period and any changes in the related party
transactions described in the last Annual Audited Financial
Statements that could materially affect the financial position or
performance of the Company.
The Directors are responsible for the maintenance and integrity
of the corporate and financial information included on the
Company’s website and for the preparation and dissemination of
financial statements. Legislation in Guernsey governing the preparation and
dissemination of the financial statements may differ from
legislation in other jurisdictions.
Signed on behalf of the Board by:
Huw Evans
Chairman
John Le Poidevin
Director
20 August 2018
Directors’ Remuneration Report
30 June 2018
Introduction
An ordinary resolution for the approval of the Directors’
Remuneration Report was passed by the Shareholders at the Annual
General Meeting held on 21 June
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
21 June 2018, Shareholders re-elected all the Directors.
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. 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 period ended 30 June 2018, the year ended 31 December 2017 and the period ended
30 June 2017, were as follows:
|
Period
ended |
Year
ended |
Period
ended |
|
30.06.18 |
31.12.17 |
30.06.17 |
|
£ |
£ |
£ |
Huw Evans |
32,500 |
51,250 |
18,750 |
Ian Plenderleith* |
N/A |
*79,611 |
*79,611 |
John Le Poidevin |
23,750 |
40,750 |
17,000 |
Colin Maltby |
22,500 |
39,500 |
17,000 |
Claire Whittet |
22,500 |
41,250 |
18,750 |
Total |
101,250 |
252,361 |
151,111 |
*
Ian Plenderleith served as Chairman
at a fee of £167,000 pa until his retirement from the Board on
23 June 2017.
Signed on behalf of the Board by:
Huw Evans
Chairman
John Le Poidevin
Director
20 August 2018
Manager’s Report
Brevan Howard Capital Management LP is the Manager of the
Company and of Brevan Howard Master Fund Limited (the “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 NAV per share of the USD shares of the Company appreciated by
9.58% in the first half of the year, while the NAV per share of the
GBP shares appreciated by 8.70%.
The month-by-month NAV performance of the USD and GBP currency
classes of the Company since it commenced operations in 2007 is set
out below:
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) |
2018 |
2.54 |
(0.38) |
(1.54) |
1.07 |
8.41 |
(0.57) |
|
|
|
|
|
|
9.58 |
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) |
2018 |
2.36 |
(0.51) |
(1.68) |
1.01 |
8.19 |
(0.66) |
|
|
|
|
|
|
8.70 |
Source: Fund NAV data is provided by the administrator of the
Fund, International Fund Services (Ireland) Limited (“IFS”). 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 and all other fees and expenses payable by BHM. In
addition, the Fund is subject to an operational services fee.
With effect from 1 April 2017, the
management fee is 0.5% per annum. The Company’s investment in the
Fund is subject to an operational services fee of 0.5% per
annum.
No management fee or operational services fee is charged in
respect of performance related growth of NAV for each class of
share in excess of its level on 1 April
2017 as if the tender offer commenced by the Company on
27 January 2017 had completed on
1 April 2017.
NAV performance is provided for information purposes only.
Shares in the Company do not necessarily trade at a price equal to
the prevailing NAV per Share.
Data as at 30 June 2018
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
The Fund’s main exposures at the start of 2018 were short
directional, combined with long volatility, positions in US
interest rates as well as long positions in US equity indices. The
Fund was also short the US dollar versus a basket of currencies.
These themes played out well in the early part of the year; in
particular the opportunity set for US interest rate trading
appeared to improve with the Fed continuing in its attempt to
normalise its policy stance. Further gains were generated from
directional trading of UK interest rates as the Bank of
England responded to weaker data
by temporarily softening its own stance on policy normalisation. As
market stresses increased towards the latter part of the period
under review, the Fund made additional gains from a variety of
trades across multiple asset classes.
Commentary and Outlook
In the first half of 2018, the global economy continued to advance
at an above-trend pace. However, there has been considerably more
dispersion compared with last year among both advanced and emerging
market economies. In addition, investors are grappling with a range
of new risks to the outlook. Tighter monetary policy from the
Federal Reserve and the associated appreciation in the US dollar is
putting pressure on vulnerable emerging market economies. Trade
tensions are escalating with little visibility on the ultimate
economic and financial market effects. Finally, populist political
trends are stretching the status quo, especially in Britain and Italy.
The IMF forecasts global growth rates of nearly 4% for both this
year and next, but the rising risks point to some downside skew in
that projection. Growth is healthy in the advanced economies, but
has slowed from last year’s breakneck pace in the Euro area,
Japan and Britain. The US has been the standout,
clocking up real GDP growth that looks to be better than 3% at an
annual rate in the first half of 2018. Notably, the unemployment
rate in the US plumbed lows last seen in the 1960s and core
inflation rose 2% in the last year.
In emerging economies, China
continues to grow at a solid rate and monetary authorities are
ready to ease further still in order to maintain the momentum. In
response to the differential monetary policies between the US and
China, the renminbi slid
significantly in the last few months. If the trend continues,
investors may fear disorderly capital flight following similar
moves in 2015. Other emerging market central banks are under
similar pressure to respond to a stronger US dollar by defending
their currencies with rate rises. The most vulnerable economies
like Argentina and Turkey have already demonstrated acute strain
with sharp depreciations in their currencies, capital outflows, and
declines in equity prices. Going forward, it is an open question
how other EM economies will cope with higher interest rates and an
appreciation in the US dollar that makes it harder for domestic
borrowers to pay back more expensive dollar-denominated debt.
Although interest rates are relative low, Fed tightening has been
the root cause of many international financial crises in the past.
The other major factor among emerging economies has been higher oil
prices, which have dented prospects for importers while flattering
exporters.
No issue has attracted more attention this year than trade
tensions. Higher tariffs are a negative supply shock that slows
growth and raises inflation. In a worst-case scenario with adverse
effects on confidence, asset prices and investment, an all-out
trade war could cause a global recession. At this point, it is
anyone’s guess how this will play out. The Trump administration
clearly has China in its sights
and tariffs could eventually extend to almost all Chinese imports
into the US. Germany and
especially motor vehicles may become a focus of targeted trade
action. Finally, the negotiations among the NAFTA countries may or
may not be constructive.
Lastly, political developments are going to shape markets in
unpredictable ways going forward. The road ahead for Brexit is
foggy. Italian politics threatens the European consensus on
immigration, fiscal spending, and monetary policy. It seems like a
safe bet to assume that populist politics will continue to throw
curveballs to the market going forward.
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.
20 August
2018
Independent Review Report to BH Macro
Limited
Conclusion
We have been engaged by BH Macro Limited (the “Company”) to review
the Interim Unaudited Financial Statements included in the Interim
Report for the six months ended 30 June
2018 of the Company which comprises the Unaudited Statement
of Assets and Liabilities, the Unaudited Statement of Operations,
the Unaudited Statement of Changes in Net Assets, the Unaudited
Statement of Cash Flows and the related explanatory notes.
Based on our review, nothing has come to our attention that
causes us to believe that the financial statements for the period
ended 30 June 2018 do not give a true
and fair view of the financial position of the Company as at
30 June 2018 and of its financial
performance and its cash flows for the six month period then ended
in conformity with U.S generally accepted accounting principles and
the Disclosure Guidance and Transparency Rules (“the DTR”) of the
UK’s Financial Conduct Authority (“the UK FCA”).
Emphasis of matter
We draw attention to Note 8 of the Interim Unaudited Financial
Statements, which sets out the requirements outlined in the
Company’s Articles of Incorporation that 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 hold 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. The average discount to monthly
NAV per share for the seven month period ended 31 July 2018 was approximately 9.5% for both the
Sterling share class and the US Dollar
share class. Our conclusion is not modified in respect of this
matter.
Scope of review
We conducted our review in accordance with International Standard
on Review Engagements (UK and Ireland) 2410 Review of Interim Financial
Information Performed by the Independent Auditor of the Entity
issued by the Auditing Practices Board for use in the UK. A review
of interim financial information consists of making enquiries,
primarily of persons responsible for financial and accounting
matters, and applying analytical and other review procedures. We
read the other information contained in the Interim Report and
consider whether it contains any apparent misstatements or material
inconsistencies with the information in the unaudited interim
financial statements.
A review is substantially less in scope than an audit conducted
in accordance with International Standards on Auditing (UK) and
consequently does not enable us to obtain assurance that we would
become aware of all significant matters that might be identified in
an audit. Accordingly, we do not express an audit opinion.
Directors’ responsibilities
The Interim Report and Unaudited Financial Statements are the
responsibility of, and have been approved by, the directors. The
directors are responsible for preparing the Interim Report and
Unaudited Financial Statements in accordance with the DTR of the UK
FCA.
The Interim Unaudited Financial Statements included in this
Interim Report have been prepared in conformity with U.S generally
accepted accounting principles.
Our responsibility
Our responsibility is to express to the Company a conclusion on the
Interim Unaudited Financial Statements included in this Interim
Report based on our review.
The purpose of our review work and to whom we owe our
responsibilities
This report is made solely to the Company in accordance with the
terms of our engagement letter to assist the Company in meeting the
requirements of the DTR of the UK FCA. Our review has been
undertaken so that we might state to the Company those matters we
are required to state to it in this 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 for our
review work, for this report, or for the conclusions we have
reached.
Barry
Ryan
for and on behalf of KPMG CHANNEL
ISLANDS LIMITED
Chartered Accountants, Guernsey
20 August 2018
Unaudited Statement of Assets and Liabilities
As at 30 June 2018
|
|
|
|
30.06.18 |
|
31.12.17 |
|
30.06.17 |
|
|
|
|
(Unaudited) |
|
(Audited) |
|
(Unaudited) |
|
|
|
|
US$'000 |
|
US$'000 |
|
US$'000 |
Assets |
|
|
|
|
|
|
|
|
Investment
in the Master Fund |
|
499,195 |
|
464,663 |
|
451,222 |
Master
Fund redemption proceeds receivable |
100 |
|
- |
|
- |
Prepaid
expenses |
|
|
95 |
|
44 |
|
181 |
Cash and
bank balances denominated in US Dollars |
94 |
|
189 |
|
219 |
Cash and
bank balances denominated in Euro |
- |
|
- |
|
73 |
Cash and
bank balances denominated in Sterling |
949 |
|
891 |
|
1,065 |
Total
assets |
|
|
500,433 |
|
465,787 |
|
452,760 |
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
Performance fees payable (note 4) |
1,481 |
|
- |
|
- |
Management
fees payable (note 4) |
|
193 |
|
197 |
|
186 |
Accrued
expenses and other liabilities |
151 |
|
169 |
|
171 |
Directors'
fees payable |
|
|
- |
|
70 |
|
99 |
Administration fees payable (note 4) |
24 |
|
33 |
|
74 |
Total
liabilities |
|
|
1,849 |
|
469 |
|
530 |
|
|
|
|
|
|
|
|
|
Net assets |
|
|
|
498,584 |
|
465,318 |
|
452,230 |
|
|
|
|
|
|
|
|
|
Number
of shares in issue (note 5) |
|
|
|
|
|
|
US Dollar
shares |
|
|
2,739,468 |
|
2,782,034 |
|
2,849,663 |
Sterling
shares |
|
|
14,077,945 |
|
14,046,048 |
|
13,995,456 |
|
|
|
|
|
|
|
|
|
Net
asset value per share (notes 7 and 9) |
|
|
|
|
|
US Dollar
shares |
|
|
US$23.68 |
|
US$21.62 |
|
US$21.53 |
Sterling
shares |
|
|
£23.33 |
|
£21.47 |
|
£21.50 |
See accompanying Notes to the Interim
Unaudited Financial Statements.
Signed on behalf of the Board by:
Huw
Evans
Chairman
John Le
Poidevin
Director
20 August 2018
Unaudited Statement of Operations
For the period from 1 January 2018 to
30 June 2018
|
|
|
|
|
|
01.01.18 |
|
01.01.17 |
|
01.01.17 |
|
|
|
|
|
|
to
30.06.18 |
|
to
31.12.17 |
|
to
30.06.17 |
|
|
|
|
|
|
(Unaudited) |
|
(Audited) |
|
(Unaudited) |
|
|
|
|
|
|
US$'000 |
|
US$'000 |
|
US$'000 |
Net
investment loss allocated from the Master Fund |
|
|
|
|
|
Interest income |
|
|
|
|
|
2,007 |
|
1,190 |
|
55 |
Dividend
income (net of withholding tax: |
|
|
|
|
|
|
|
|
30 June 2018: 17,643; US$ 31 December 2017: US$19,017;
30 June 2017: US$5,680) |
3 |
|
62 |
|
26 |
Expenses |
|
|
|
|
|
(8,946) |
|
(12,274) |
|
(12,809) |
Net
investment loss allocated from the Master Fund |
|
|
(6,936) |
|
(11,022) |
|
(12,728) |
|
|
|
|
|
|
|
|
|
|
|
Company
income |
|
|
|
|
|
|
|
|
|
|
Fixed deposit
income |
|
|
|
|
|
- |
|
2 |
|
2 |
Foreign exchange gains
(note 3) |
|
|
|
|
|
- |
|
50,659 |
|
36,482 |
Total Company
income |
|
|
|
|
|
- |
|
50,661 |
|
36,484 |
|
|
|
|
|
|
|
|
|
|
|
Company
expenses |
|
|
|
|
|
|
|
|
|
|
Performance fees (note
4) |
|
|
|
|
|
1,531 |
|
- |
|
- |
Management fees (note
4) |
|
|
|
|
|
1,190 |
|
14,369 |
|
13,036 |
Other expenses |
|
|
|
|
|
268 |
|
1,575 |
|
1,223 |
Directors' fees |
|
|
|
|
|
135 |
|
326 |
|
195 |
Administration fees
(note 4) |
|
|
|
|
|
46 |
|
141 |
|
72 |
Foreign
exchange losses (note 3) |
|
|
|
|
8,249 |
|
- |
|
- |
Total Company
expenses |
|
|
|
|
|
11,419 |
|
16,411 |
|
14,526 |
|
|
|
|
|
|
|
|
|
|
|
Net investment
(loss)/gain |
|
|
|
|
|
(18,355) |
|
23,228 |
|
9,230 |
|
|
|
|
|
|
|
|
|
|
|
Net realised and unrealised gain/(loss) on
investments
allocated from the Master Fund |
|
|
|
|
Net
realised gain on investments |
|
|
|
|
6,681 |
|
11,279 |
|
2,995 |
Net
unrealised gain/(loss) on investments |
|
|
|
44,940 |
|
(29,782) |
|
(20,588) |
Net realised and unrealised gain/(loss) on
investments
allocated from the Master Fund |
51,621 |
|
(18,503) |
|
(17,593) |
|
|
|
|
|
|
|
|
|
|
|
Net
increase/(decrease) in net assets resulting from
operations |
33,266 |
|
4,725 |
|
(8,363) |
See accompanying Notes to the Interim
Unaudited Financial Statements.
Unaudited Statement of Changes in Net Assets
For the period from 1 January 2018 to
30 June 2018
|
|
|
|
|
|
|
|
01.01.18 |
|
01.01.17 |
|
01.01.17 |
|
|
|
|
|
|
|
|
to
30.06.18 |
|
to
31.12.17 |
|
to
30.06.17 |
|
|
|
|
|
|
|
|
(Unaudited) |
|
(Audited) |
|
(Unaudited) |
|
|
|
|
|
|
|
|
US$'000 |
|
US$'000 |
|
US$'000 |
Net
increase/(decrease) in net assets resulting from
operations |
|
|
|
|
|
|
|
Net
investment (loss)/gain |
|
|
|
|
|
|
(18,355) |
|
23,228 |
|
9,230 |
Net
realised gain on investments allocated from the Master Fund |
|
|
6,681 |
|
11,279 |
|
2,995 |
Net
unrealised gain/(loss) on investments allocated from the Master
Fund |
44,940 |
|
(29,782) |
|
(20,588) |
|
|
|
|
|
|
|
|
33,266 |
|
4,725 |
|
(8,363) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Tender
offer |
|
|
|
|
|
|
|
|
|
|
|
US Dollar
shares |
|
|
|
|
|
|
- |
|
(140,757) |
|
(140,757) |
Euro
shares |
|
|
|
|
|
|
- |
|
(13,908) |
|
(13,908) |
Sterling
shares |
|
|
|
|
|
|
- |
|
(249,585) |
|
(249,585) |
Total
share capital transactions |
|
|
|
|
|
- |
|
(404,250) |
|
(404,250) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net
increase/(decrease) in net assets |
|
|
|
|
33,266 |
|
(399,525) |
|
(412,613) |
Net
assets at the beginning of the period/year |
|
465,318 |
|
864,843 |
|
864,843 |
Net
assets at the end of the period/year |
|
|
|
|
498,584 |
|
465,318 |
|
452,230 |
See accompanying Notes to the Interim
Unaudited Financial Statements.
Unaudited Statement of Cash Flows
For the period from 1 January 2018 to
30 June 2018
|
|
|
|
|
01.01.18 |
|
01.01.17 |
|
01.01.17 |
|
|
|
|
|
to
30.06.18 |
|
to
31.12.17 |
|
to
30.06.17 |
|
|
|
|
|
(Unaudited) |
|
(Audited) |
|
(Unaudited) |
|
|
|
|
|
US$'000 |
|
US$'000 |
|
US$'000 |
Cash flows from
operating activities |
|
|
|
|
|
|
|
|
|
Net
increase/(decrease) in net assets resulting from operations |
|
|
|
|
33,266 |
|
4,725 |
|
(8,363) |
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 |
|
|
|
6,936 |
|
11,022 |
|
12,728 |
Net
realised gain on investments allocated from the Master Fund |
|
|
(6,681) |
|
(11,279) |
|
(2,995) |
Net
unrealised (gain)/loss on investments allocated from the Master
Fund |
(44,940) |
|
29,782 |
|
20,588 |
Increase
in Master Fund redemption proceeds receivable |
|
|
|
(100) |
|
- |
|
- |
Purchase of investment
in the Master Fund |
|
|
|
|
- |
|
(17,341) |
|
(17,341) |
Proceeds
from sale of investment in the Master Fund |
|
|
|
1,739 |
|
414,331 |
|
412,988 |
Foreign exchange
losses/(gains) |
|
|
|
|
8,249 |
|
(50,659) |
|
(36,482) |
(Increase)/decrease in
prepaid expenses |
|
|
|
|
(51) |
|
32 |
|
(105) |
Increase/(decrease) in performance fees payable |
|
|
|
1,481 |
|
(318) |
|
(318) |
Decrease in management
fees payable |
|
|
|
|
(4) |
|
(1,189) |
|
(1,200) |
(Decrease)/increase in accrued expenses and other liabilities |
|
|
(18) |
|
114 |
|
115 |
(Decrease)/increase in Directors' fees payable |
|
|
|
(70) |
|
(25) |
|
4 |
(Decrease)/increase in administration fees payable |
|
|
|
(9) |
|
(9) |
|
32 |
Net
cash (used in)/provided by operating activities |
|
|
|
(202) |
|
379,186 |
|
379,651 |
|
|
|
|
|
|
|
|
|
|
Cash flows from
financing activities |
|
|
|
|
|
|
|
|
|
Tender offer |
|
|
|
|
- |
|
(404,250) |
|
(404,250) |
Net cash used in
financing activities |
|
|
|
|
- |
|
(404,250) |
|
(404,250) |
|
|
|
|
|
|
|
|
|
|
Change in
cash |
|
|
|
|
(202) |
|
(25,064) |
|
(24,599) |
Cash, beginning of
the period/year |
|
|
|
|
1,080 |
|
18,903 |
|
18,903 |
Effect of exchange
rate fluctuations |
|
|
|
|
165 |
|
7,241 |
|
7,053 |
Cash, end of the
period/year |
|
|
|
|
1,043 |
|
1,080 |
|
1,357 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash, end of the
period/year |
|
|
|
|
|
|
|
|
|
Cash and
bank balances denominated in US Dollars |
|
|
|
94 |
|
189 |
|
219 |
Cash and
bank balances denominated in Euro1 |
|
|
|
- |
|
- |
|
73 |
Cash and
bank balances denominated in Sterling2 |
|
|
|
949 |
|
891 |
|
1,065 |
|
|
|
|
|
1,043 |
|
1,080 |
|
1,357 |
|
|
|
|
|
|
|
|
|
|
1. Cash and bank
balances in Euro (EUR'000) |
|
|
|
|
- |
|
- |
|
64 |
2. Cash and
bank balances in Sterling (GBP'000) |
|
|
|
719 |
|
664 |
|
820 |
See accompanying Notes to the Interim
Unaudited Financial Statements.
Notes to the Interim Unaudited
Financial Statements
For the period from 1 January 2018 to
30 June 2018
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.
Following a tender offer which completed in April 2017, 48% of shares by value being tendered
at 96% of NAV for the relevant class were cancelled. This, in turn,
led to the Company closing the Euro share class, cancelling its
listing and converting the remaining Euro shares into Sterling class shares on 29
June 2017. Currently, ordinary shares are issued in US
Dollars and Sterling.
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 Interim Unaudited Financial Statements of the
Company should be read in conjunction with the Interim Unaudited
Financial Statements of the Master Fund which can be found on the
Company’s website, www.bhmacro.com.
At the date of these Interim Unaudited 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 Interim Unaudited 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 most recent 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.
These Interim Unaudited Financial Statements have been prepared
following the same accounting policies and methods of computation
as the most recent Annual Audited Financial Statements. The
functional and reporting currency of the Company is US Dollars. As
further described in the Directors’ Report, these Interim Unaudited
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 30 June 2018, 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 Interim Unaudited 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 |
30 June
2018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
US Dollar |
1.95% |
$3,063.81 |
21,129 |
$64,734 |
64,734 |
Sterling |
13.06% |
£3,175.61 |
103,626 |
£329,075 |
434,461 |
|
|
|
|
|
|
|
|
|
499,195 |
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
30 June
2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
US Dollar |
0.81% |
$2,763.85 |
22,133 |
$61,174 |
61,174 |
Sterling |
5.11% |
£2,895.64 |
103,705 |
£300,291 |
390,048 |
|
|
|
|
|
|
|
|
451,222 |
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 Interim
Unaudited 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 Unaudited
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 Unaudited 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 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 has purchased its own share capital, the
consideration paid, which includes any directly attributable costs,
has been recognised as a deduction from equity Shareholders’ funds
through the Company’s reserves.
If such shares were to be subsequently sold or reissued to the
market, any consideration received, net of any directly
attributable incremental transaction costs, would be 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. 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.
The Manager does not charge the Company a management fee in
respect of any increase in the NAV of each class of shares above
the NAV at 3 October 2016 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 3
October 2016.
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 (previously 1/12 of 2%);
- 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 period ended 30 June
2018, US$1,190,736
(31 December 2017: US$14,368,940 and 30 June
2017: US$13,036,669) was
earned by the Manager as net management fees. At 30 June 2018, US$193,118 (31 December 2017: US$197,034 and 30 June
2017: US$185,603) of the fee
remained outstanding.
In the prior year, the Management fee charge included a balance
of US$8,350,050 which was incurred in
accordance with the terms of the Tender Offer that concluded on
25 April 2017. There was no
additional charge in the current period. 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 had
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
both share classes. 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 ongoing basis
and is reflected in the Company’s published NAV. During the period
ended 30 June 2018, US$1,530,947 (31 December
2017: US$Nil and 30 June 2017:
US$Nil) was earned by the Manager as performance fees. At
30 June 2018, US$1,480,830 (31 December
2017: US$Nil and 30 June 2017:
US$Nil) 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, 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, with effect from 1 April
2019.
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 £6,000 (31
December 2017 and 30 June
2017: £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 period ended 30 June 2018, US$46,444 (31 December
2017: US$140,721 and
30 June 2017: US$72,210) was earned by the Administrator as
administration fees. The amounts outstanding are disclosed on the
Unaudited 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.
For the
period from 1 January 2018 to 30 June 2018 |
|
US
Dollar shares |
|
Euro
shares* |
|
Sterling shares |
Number of ordinary
shares |
|
|
|
|
|
In issue at 1
January 2018 |
2,782,034 |
|
- |
|
14,046,048 |
Share conversions |
(42,566) |
|
- |
|
31,897 |
In issue at 30 June
2018 |
2,739,468 |
|
- |
|
14,077,945 |
|
|
|
|
|
|
Number of treasury
shares |
|
|
|
|
|
In issue at 1
January 2018 and 30 June 2018 |
331,228 |
|
- |
|
1,450,652 |
Percentage of
class |
10.79% |
|
- |
|
9.34% |
For the
year ended to 31 December 2017 |
|
|
|
|
|
|
|
|
|
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% |
Number
of ordinary shares |
|
|
US Dollar shares |
|
Euro
shares* |
|
Sterling shares |
In
issue at 1 January 2017 |
|
|
9,975,524 |
|
1,514,872 |
|
22,371,669 |
Share
conversions |
|
|
(193,387) |
|
(890,769) |
|
903,487 |
Tender
offer shares transferred to treasury (note 8) |
(6,932,474) |
|
(624,103) |
|
(9,279,700) |
In
issue at 30 June 2017 |
|
|
2,849,663 |
|
- |
|
13,995,456 |
|
|
|
|
|
|
|
|
|
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 30 June 2017 |
|
|
331,228 |
|
- |
|
1,450,652 |
Percentage of class |
|
|
10.41% |
|
- |
|
9.39% |
|
|
|
|
|
|
|
|
|
|
|
|
*The Euro share class closed on
29 June 2017
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, prepaid expenses, losses, dividends,
profits, gains and income which the Directors determine in their
sole discretion relate to a particular class.
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 21 June 2018, the Directors have
the power to issue further shares totaling 919,366 US Dollar shares and 4,687,366
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 Interim Unaudited Financial
Statements. Income tax and related interest and penalties would be
recognised by the Company as tax expense in the Interim Unaudited
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 30 June 2018 are disclosed in note
5.
However, following completion of the Tender Offer in
April 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 before
that date. 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 offer
On 29 November 2016, the Company
announced a 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 completed in 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 completed in 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 hold 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. The average discount at which
each of the Company’s Sterling and US
Dollar shares have traded in relation to monthly NAV per share so
far this year has been approximately 9.5%.
9. Financial highlights
The following tables include selected data for a single ordinary
share of each of the ordinary share classes in issue at
30 June 2018 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.
|
|
|
|
|
30.06.18 |
|
30.06.18 |
|
30.06.18 |
|
|
|
|
|
US
Dollar shares |
|
Euro
shares^ |
|
Sterling shares |
|
|
|
|
|
US$ |
|
€ |
|
£ |
Per
share operating performance |
|
|
|
|
|
|
|
|
Net
asset value at beginning of the period |
|
21.62 |
|
- |
|
21.47 |
|
|
|
|
|
|
|
|
|
|
Income
from investment operations |
|
|
|
|
|
|
|
|
Net
investment loss* |
|
|
|
(0.39) |
|
- |
|
(0.47) |
Net
realised and unrealised gain on investment |
|
2.45 |
|
- |
|
2.33 |
Other
capital items** |
|
|
|
- |
|
- |
|
- |
Total
gain |
|
|
|
2.06 |
|
- |
|
1.86 |
|
|
|
|
|
|
|
|
|
|
Net
asset value, end of the period |
|
|
|
23.68 |
|
- |
|
23.33 |
|
|
|
|
|
|
|
|
|
|
Total
income before performance fee |
|
|
|
9.63% |
|
- |
|
9.07% |
Performance fee |
|
|
|
(0.05%) |
|
- |
|
(0.37%) |
Total
gain after performance fee |
|
|
|
9.58% |
|
- |
|
8.70% |
An individual Shareholder’s return may vary from these returns
based on the timing of their purchase or sale of shares. All
figures contained herein in repeat of the period ended 30 June 2018 are not annualised.
|
|
|
|
|
30.06.18 |
|
30.06.18 |
|
30.06.18 |
|
|
|
|
|
US
Dollar shares |
|
Euro
shares^ |
|
Sterling shares |
|
|
|
|
|
US$'000 |
|
€'000 |
|
£'000 |
Supplemental data |
|
|
|
|
|
|
|
|
Net
asset value, end of the period |
|
|
|
64,882 |
|
- |
|
328,499 |
Average
net asset value for the period |
|
|
62,728 |
|
- |
|
313,433 |
|
|
|
|
|
30.06.18 |
|
30.06.18 |
|
30.06.18 |
|
|
|
|
|
US
Dollar shares |
|
Euro
shares^ |
|
Sterling shares |
Ratio
to average net assets |
|
|
|
|
|
|
|
|
Operating
expenses |
|
|
|
|
|
|
|
|
|
Company
expenses*** |
|
|
|
0.31% |
|
- |
|
0.34% |
|
Master Fund
expenses**** |
|
|
|
0.96% |
|
- |
|
0.97% |
|
Master
Fund interest expense***** |
|
0.85% |
|
- |
|
0.86% |
Performance fee |
|
|
|
0.02% |
|
- |
|
0.36% |
|
|
|
|
|
2.14% |
|
- |
|
2.53% |
|
|
|
|
|
|
|
|
|
|
Net
investment loss before performance fee* |
(1.71%) |
|
- |
|
(1.75%) |
|
|
|
|
|
|
|
|
|
|
Net
investment loss after performance fees* |
(1.73%) |
|
- |
|
(2.11%) |
|
|
|
|
|
31.12.17 |
|
31.12.17 |
|
31.12.17 |
|
|
|
|
|
US
Dollar shares |
|
Euro
shares^ |
|
Sterling shares |
|
|
|
|
|
US$ |
|
€ |
|
£ |
Per
share operating performance |
|
|
|
|
|
|
|
|
Net
asset value at beginning of the year/period |
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
return |
|
|
|
(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%) |
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$'000 |
|
€'000 |
|
£'000 |
Supplemental data |
|
|
|
|
|
|
|
|
Net
asset value, end of the year/period |
60,136 |
|
- |
|
301,565 |
Average
net asset value for the year/period |
99,784 |
|
21,875 |
|
348,983 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.17 |
|
31.12.17 |
|
31.12.17 |
|
|
|
|
|
US
Dollar shares |
|
Euro
shares |
|
Sterling shares |
Ratio
to average net assets |
|
|
|
|
|
|
|
|
Operating
expenses |
|
|
|
|
|
|
|
|
|
Company
expenses*** |
|
|
|
4.52% |
|
2.25% |
|
2.52% |
|
Master Fund
expenses**** |
|
|
|
1.41% |
|
0.53% |
|
1.31% |
|
Master
Fund interest expense***** |
|
1.19% |
|
1.48% |
|
0.74% |
|
|
|
|
|
7.12% |
|
4.26% |
|
4.57% |
|
|
|
|
|
|
|
|
|
|
Net
investment loss before performance fee* |
(6.98%) |
|
(4.28%) |
|
(4.33%) |
|
|
|
|
|
|
|
|
|
|
Net
investment loss after performance fees* |
(6.98%) |
|
(4.28%) |
|
(4.33%) |
|
|
|
|
|
30.06.17 |
|
30.06.17 |
|
30.06.17 |
|
|
|
|
|
US
Dollar shares |
|
Euro
shares^ |
|
Sterling shares |
|
|
|
|
|
US$ |
|
€ |
|
£ |
Per
share operating performance |
|
|
|
|
|
|
|
|
Net
asset value at beginning of the period |
21.68 |
|
21.87 |
|
22.44 |
|
|
|
|
|
|
|
|
|
|
Income
from investment operations |
|
|
|
|
|
|
|
|
Net
investment loss* |
|
|
|
(1.44) |
|
(1.03) |
|
(0.94) |
Net
realised and unrealised loss on investment |
|
(0.63) |
|
(0.74) |
|
(0.82) |
Other
capital items** |
|
|
|
1.92 |
|
1.10 |
|
0.82 |
Total loss |
|
|
|
|
(0.15) |
|
(0.67) |
|
(0.94) |
|
|
|
|
|
|
|
|
|
|
Net
asset value, end of the period |
|
|
|
21.53 |
|
21.20 |
|
21.50 |
|
|
|
|
|
|
|
|
|
|
Total loss
before performance fee |
|
|
|
(0.69%) |
|
(3.07%) |
|
(4.19%) |
Total
loss after performance fee^ |
|
|
|
(0.69%) |
|
(3.07%) |
|
(4.19%) |
An individual shareholder’s return may vary from these returns
based on the timing of their purchase or sale of shares. All
figures contained herein in repeat of the period ended 30 June 2017 are not annualised.
|
|
|
|
|
30.06.17 |
|
30.06.17^^ |
|
30.06.17 |
|
|
|
|
|
US
Dollar shares |
|
Euro
shares^ |
|
Sterling shares |
|
|
|
|
|
US$'000 |
|
€'000 |
|
£'000 |
Supplemental data |
|
|
|
|
|
|
|
|
Net
asset value, end of the period |
|
61,347 |
|
- |
|
300,934 |
Average
net asset value for the period |
|
138,239 |
|
21,875 |
|
394,978 |
|
|
|
|
|
30.06.17 |
|
30.06.17 |
|
30.06.17 |
|
|
|
|
|
US
Dollar shares |
|
Euro
shares^ |
|
Sterling shares |
Ratio
to average net assets |
|
|
|
|
|
|
|
|
Operating
expenses |
|
|
|
|
|
|
|
|
|
Company
expenses*** |
|
|
|
3.09% |
|
2.25% |
|
1.95% |
|
Master Fund
expenses**** |
|
|
|
0.53% |
|
0.53% |
|
0.52% |
|
Master
Fund interest expense***** |
|
1.53% |
|
1.48% |
|
1.38% |
|
|
|
|
|
5.15% |
|
4.26% |
|
3.85% |
|
|
|
|
|
|
|
|
|
|
Net
investment loss before performance fee* |
|
(5.17%) |
|
(4.28%) |
|
(3.82%) |
|
|
|
|
|
|
|
|
|
|
Net
investment loss after performance fees* |
|
(5.17%) |
|
(4.28%) |
|
(3.82%) |
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/year as
compared to the NAV per share at the beginning of the
period/year.
*** Company expenses are as
disclosed in the Unaudited Statement of Operations excluding the
performance fee and foreign exchange gains/losses.
**** 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.
^ Net asset value and
returns on the Euro share class have been calculated up to
31 May 2017, which was the NAV date
preceding the conversion of shares to the Sterling share class.
^^ 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.
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.
The Company’s Articles limit the fees payable to Directors in
aggregate to £400,000 per annum. 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.
As at 30 June 2018, Huw Evans held 5,270 shares (31 December 2017: 3,337 shares) in the
Sterling share class.
11. Subsequent events
The Directors have evaluated subsequent events up to 20 August 2018, which is the date that the
Interim Unaudited Financial Statements were available to be issued,
and have concluded there are no further items that require
disclosure or adjustment to the Interim Unaudited Financial
Statements.
Historic Performance Summary
As at 30 June 2018
|
|
|
|
|
30.06.18 |
|
31.12.17 |
|
31.12.16 |
|
31.12.15 |
|
31.12.14 |
|
|
|
|
|
US$'000 |
|
US$'000 |
|
US$'000 |
|
US$'000 |
|
US$'000 |
|
|
|
|
|
|
|
|
|
|
|
Net
increase/(decrease) in net assets resulting from
operations |
33,266 |
|
4,725 |
|
(150,245) |
|
(91,220) |
|
(122,858) |
Total
assets |
|
|
|
500,433 |
|
465,787 |
|
866,740 |
|
1,499,648 |
|
1,768,337 |
Total
liabilities |
|
|
|
(1,849) |
|
(469) |
|
(1,897) |
|
(4,755) |
|
(5,519) |
Net assets |
|
|
|
|
498,584 |
|
465,318 |
|
864,843 |
|
1,494,893 |
|
1,762,818 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number
of shares in issue |
|
|
|
|
|
|
|
|
|
|
|
|
US Dollar shares |
|
|
|
|
2,739,468 |
|
2,782,034 |
|
9,975,524 |
|
17,202,974 |
|
18,332,029 |
Euro
shares |
|
|
|
- |
|
- |
|
1,514,872 |
|
4,163,208 |
|
5,112,916 |
Sterling shares |
|
|
|
|
14,077,945 |
|
14,046,048 |
|
22,371,669 |
|
33,427,871 |
|
37,717,793 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net
asset value per share |
|
|
|
|
|
|
|
|
|
|
|
|
US Dollar shares |
|
|
|
|
US$23.68 |
|
US$21.62 |
|
US$21.68 |
|
US$20.33 |
|
US$20.62 |
Euro
shares |
|
|
|
- |
|
- |
|
€21.87 |
|
€20.56 |
|
€20.72 |
Sterling shares |
|
|
|
|
£23.33 |
|
£21.47 |
|
£22.44 |
|
£21.21 |
|
£21.40 |
Company Information
Directors
Huw Evans
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
For the latest information
www.bhmacro.com
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 International 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