BH Macro Limited
Annual Report and Audited Financial Statements 2019
LEI: 549300ZOFF0Z2CM87C29
(Classified Regulated Information, under DTR 6 Annex 1 section
1.1)
The Company has today, in accordance with DTR 6.3.5, released
its Annual Report and Audited financial statements for the year
ended 31 December 2019. The Report
will shortly be available from the Company’s website:
www.bhmacro.com.
In light of the unprecedented practical challenges for some
companies and the audit profession arising from the COVID-19
pandemic, on 21 March 2020, the
Financial Conduct Authority ('FCA') requested that all listed
companies who publish their preliminary results around this time,
observe a moratorium on the publication of preliminary financial
statements for at least two weeks.
Although the Company does not release preliminary results, the
Board takes very seriously the request of the FCA and has
considered this in relation to the release of the Company's Audited
Annual Report & Financial Statements for its year ended 31
December 2019. The Company is in a position where it has
completed all of its reporting processes and the Board has
therefore determined to continue today with the publication of the
Company's Audited Annual Report & Financial Statements in
compliance with its timetable for US regulatory filings.
Chairman’s Statement
I am delighted to present this annual report to you for the
first time as Chairman of BH Macro Limited (the “Company”). The
Company has seen another year of creditable performance in
increasingly turbulent times.
In the year to 31 December 2019,
the Net Asset Value (“NAV”) per Sterling share in the Company increased by 7.98%
and the NAV per US Dollar share increased by 9.38%. The price of a
Sterling share increased by 10.00% over
the year and a US Dollar share by 11.38%.
The Company’s NAV 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. Following a very strong performance in 2018, the Master
Fund again performed creditably in 2019.
As detailed within the Tender Offer which completed in
May 2017, the Company and the Manager
made the following changes to the Management Agreement and the
terms of the Company’s investment in the Master Fund from
1 April 2019:
•
The notice period for termination of the Management Agreement
without cause by either the Company or the Manager has been reduced
from 24 months to three months.
•
The Company is again permitted to redeem its investment in the
Master Fund to finance share buy-backs.
In addition, the Company’s previous class closure and annual
partial capital return provisions have been reinstated and are
applicable in respect of twelve month periods ending on
31 December 2019 and thereafter
except that the relevant trigger for the class closure provisions
is now an eight per cent average discount to the net asset value of
the relevant class of shares over the relevant period, instead of
the previous ten per cent threshold. During 2019 the average
premium at which the Company’s shares traded in relation to monthly
NAV was 1.15% for the US Dollar share class and 0.44% for the
Sterling share class. Consequently, the
class closure provisions have not been triggered in respect of
2019.
Prior to the Tender Offer, the Company used share buy-backs as
one mechanism to reduce the discount at which the shares traded to
NAV. If the Company’s shares were again to trade at wide discounts
to NAV in the future, it would be the Board’s intention to consider
resuming this process.
The Manager’s Report provides commentary on the performance of
the Master Fund in 2019 and the Manager’s view of the economic
outlook. Against this background, 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
continue to be maintained at a high standard.
The Company and its Manager have an active programme for public
communication and investor relations. There was particular interest
from the press following the Company’s strong performance in 2018,
and your Board, the Manager and the Company’s other advisers
actively engaged with existing and potential shareholders during
the year. 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 focused on safeguarding the interests of
Shareholders and believe that the Company observes high standards
of corporate governance. In 2018 the Board commissioned an external
evaluation of its performance which confirmed that the Board works
in a collegiate, harmonious and effective manner. Further to its
recommendations, and in anticipation of the retirement of
Huw Evans after nine years’ service
on the Board, we instigated in early 2019 a process of recruitment
and renewal, with the assistance of Cornforth Consulting Limited,
following which we were delighted to appoint Richard Horlick and Bronwyn Curtis to join the Board respectively in
May 2019 and January 2020. I would like to take this further
opportunity to thank Huw for his years of conscientious service and
wise counsel as a Director and latterly as Chairman of your
Company.
It remains the case, as the Board recognises, that the
performance of the Master Fund will be important in justifying the
future of the Company. There are now clear signs that investors are
focusing closely on the global political and economic uncertainties
lying ahead; the alarming trajectory of the COVID-19 pandemic has
exacerbated these further. The benign investment environment which
has prevailed for a number of years appears, finally, to have come
to an end and the increased volatility arising from this should
present further opportunities for the Master Fund’s macro-trading
strategies.
The events of the past year support the hypothesis that the
Company’s investment in the Master Fund provides a listed vehicle
whose performance is uncorrelated with other asset classes. Through
the narrowing of the discount in 2018 and the emergence of a
premium in 2019, shareholders have demonstrated that they find the
shares in the Company a valuable tool for portfolio diversification
and I would like to take this opportunity to thank them for this
continuing support.
Colin Maltby
Chairman
24 March 2020
Board Members
The Directors of the Company, all of whom are non-executive, are
listed below:
Colin Maltby, age 69,
(appointed Chairman on 20 June
2019)
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.
Bronwyn Curtis, age 71
(appointed 1 January 2020)
Bronwyn Curtis is a UK resident and
Senior Executive with 30 years leadership across banking, media,
commodities and consulting, with global or European wide
responsibilities for 20 years, including at HSBC Bank Plc,
Bloomberg LP, Nomura International and Deutsche Bank Group. She is
presently a non-executive Director at the UK Office of Budget
Responsibility and at Pershing Square Holdings, The Scottish
American Investment Company Plc and JPMorgan Asia Growth and Income
Plc, and is a regular commentator in the media on markets and
economics. Ms Curtis is a UK resident.
Richard Horlick, age 61
(appointed 1 May 2019)
Richard Horlick is UK resident. He
is currently the non-executive chairman of CCLA Investment
Management which manages £10bn of assets for over 38,000 charities
and church and local authority funds. He has served on a number of
closed end fund boards most recently Pacific Assets Trusts Plc from
December 2005 until June 2014 and Tau Capital Plc from May 2007 to January
2014. He was a partner and non-executive chairman of Pensato
Capital LLP until its successful sale to RWC Partners in 2017. He
has had a long and distinguished career in investment management
graduating from Cambridge University in
1980 with an MA in Modern History. After 3 years in the corporate
finance department of Samuel Montagu
he joined Newton Investment Management in January 1984, where he became a Director and
portfolio manager. In 1994, he joined Fidelity International as
President of their institutional business outside the US and in
2001 became President and CEO of Fidelity Management Trust Company
in Boston which was the Trust Bank
for the US Fidelity Mutual fund range and responsible for their
defined benefit pension business. In 2003, he joined Schroders Plc
as a main board director and head of investment worldwide. In
January 2006, he established Spencer
House Capital Management with Lord Jacob
Rothschild. In addition, he has been a business angel
investing in a wide range of private companies. He became a limited
partner in CBE Capital Limited, a property development group.
John Le Poidevin, age
49
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.
Claire Whittet, age 64
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 & Co
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 Chartered Banker, a member of the Chartered Insurance Institute
and holds an IoD Director’s Diploma in Company Direction. She is a
non-executive Director of a number of 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 |
Colin
Maltby |
|
BBGI
SICAV SA
Ocean Wilsons Holdings Limited |
London
London and Bermuda |
Bronwyn
Curtis |
|
JPMorgan
Asia Growth and Income Plc
Pershing Square Holdings Limited
Scottish American Investment Company Plc |
London
London and Euronext Amsterdam
London |
John Le
Poidevin |
Episode
Inc.
International Public Partnerships Limited |
Euronext
Dublin
London |
Claire
Whittet |
|
Eurocastle Investment
Limited |
Euronext
Amsterdam |
International Public
Partnerships Limited |
London |
Riverstone Energy Limited
Third Point Offshore Investors Limited |
London
London |
TwentyFour Select
Monthly Income Fund Limited |
London |
Richard Horlick does not hold any
directorships in other public companies.
Strategic Report
For the year ended 31 December
2019
The Directors submit to the shareholders their Strategic Report
of the Company for the year ended 31
December 2019.
The Strategic Report provides a review of the business for the
financial year and describes how risks are managed. In addition,
the report outlines key developments and financial performance of
the Company during the financial year and the position at the end
of the year, and discusses the main factors that could affect the
future performance, and financial position of the Company.
BUSINESS MODEL AND STRATEGY
Investment Objective and Company Structure
The Company is organised as a feeder fund that invests solely in
the ordinary US Dollar and Sterling
denominated B shares issued by Brevan Howard Master Fund Limited
(the “Master Fund”) – 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. Further details on the Investment Objective and
Policy can be found in the Directors’ Report.
Sources of Cash and Liquidity Requirements
As the Master Fund is not expected to pay dividends, the Company
expects that the primary source of its future liquidity will depend
on borrowings in accordance with its leverage policies and the
periodic redemption of shares from the Master Fund.
BUSINESS ENVIRONMENT
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;
- 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;
- Brexit Risk: Whilst noting that the Company is based in
Guernsey and that it invests
substantially all of its assets into a Caymanian master fund, the
Company may nevertheless be exposed to risks arising from the UK’s
departure from the European Union. In conjunction with the Manager,
the Board will monitor the potential impact on the Company and on
the Company’s performance. In the event of a “No Deal Brexit” at
the end of the transition period on 31
December 2020, the Board will seek to ensure that all
agreements remain compliant; and
- Coronavirus Risk: Despite the reported increased impact of
coronavirus (COVID-19) on businesses, the Board believes that this
is not a major business risk for the Company. The Company uses a
number of service providers for its day to day operations. These
providers have established and regularly tested Business Resiliency
Policies in place, to cover various possible scenarios whereby
staff cannot turn up for work at the designated office and conduct
business as usual (such as work from home facilities and/or
different regions covering work for other regions).
Future Prospects
The Board’s main focus is the achievement of long-term
appreciation. The future of the Company is dependent upon the
success on the investment strategy of the Master Fund. The
investment outlook and future developments are discussed in both
the Chairman’s Statement and the Manager’s Report
Board Diversity
When appointing new directors and reviewing the board composition,
the Board considers, amongst other factors, diversity, balance of
skills, knowledge, gender and experience. The Board however does
not consider it appropriate to establish targets or quotas in this
regard. As at the date of this report, the Board comprised two
female and three male non-executive directors.
Environmental, Social and Governance Factors
The Company does not have employees, it does not own physical
assets and its Board is formed exclusively of non-executive
Directors. As such, the Company does not undertake activity which
would directly affect the environment.
On a regular basis, the Manager assesses the trading activity of
the investment funds it manages, including the Master Fund, to
ascertain whether environmental, social and governance (“ESG”)
factors are appropriate or applicable to such funds. Most ESG
principles have been envisaged in the context of equity or
corporate fixed income investment and therefore are not readily
applicable to most types of instruments traded by the majority of
funds managed by the Manager.
The Manager applies ESG Principles to its activity where
appropriate, considering the structure of relevant Brevan Howard
managed funds and the applicable trading universe. The Manager
continues to monitor developments in this area and will seek to
implement industry best practice where applicable.
POSITION AND PERFORMANCE
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
latest standardised three-page Key Information Document (“KID”) on
the Company on 4 June 2019. The KID
is available on the Company’s website
https://www.bhmacro.com/regulatory-disclosures/ and will be updated
at least every 12 months.
The Company is not responsible for the information contained in
the KID. The process for calculating the risks, cost and potential
returns are prescribed by regulation. The figures in the KID may
not reflect the expected returns for the Company and anticipated
returns cannot be guaranteed.
Performance
Key Performance Indicators (“KPIs”)
At each Board meeting, the Directors consider a number of
performance measures to assess the Company’s success in achieving
its objectives. Below are the main KPIs which have been identified
by the Board for determining the progress of the Company:
1.
Net Asset Value
The Company’s net asset value has appreciated from £10.00 and
US$10.00 per share at launch to
£26.06 and US$26.99 at the year end.
This increase in NAV is largely attributable to the long term
growth strategy and returns. The Directors and Manager are
confident that the current strategy will continue to return
positive levels of growth in future.
2.
Share Prices, Discount/Premium
The Company has traded at an average premium of 1.15% and 0.44%
to NAV for its USD and GBP shares respectively for the year ended
31 December 2019.
3.
Ongoing Charges
The Company's ongoing charges ratio has increased from 2.32% to
3.40% on the USD class and increased from 2.49% to 3.13% on the GBP
class, primarily due to an increase in the performance fee.
The Company reports an aggregated view of the charges for both
the US$ and £ share classes. Further details are in the Directors’
Report.
Return per Share
Total return per share is based on the net total gain on ordinary
activities after tax of US$5,791,771
for the US Dollar Class and £27,463,793 for the Sterling Class
(2018: US$8,353,157 and
£37,510,794).
These calculations are based on the weighted average number of
shares in issue for the year ended 31
December 2019. US Dollar shares: 2,539,270 and Sterling shares: 14,234,399 (2018: US Dollar
shares: 2,725,296 and Sterling shares:
14,089,406).
|
|
|
|
Year
ended |
Year
ended |
|
|
|
|
31.12.19 |
31.12.18 |
|
|
|
|
Per share |
'000 |
Per share |
'000 |
Net total
gain for US Dollar Shares |
|
228.10c |
5,792 |
306.50c |
8,353 |
Net total
gain for Sterling Shares |
|
192.94p |
27,464 |
266.24p |
37,511 |
Net Asset Value
The net asset value per US Dollar share, as at 31 December 2019 was US$26.99 based on net assets of US$65,906,917 divided by number of US$ shares in
issue of 2,442,057 (2018: US$24.67).
The net asset value per Sterling
share, as at 31 December 2019 was
£26.06 based on net assets of £372,893,237, divided by number of
Sterling shares in issue of 14,310,040
(2018: £24.13).
Dividends
No dividends were paid in the year (2018: US$Nil).
Viability Statement
The investment objective of the Company is to seek to generate
consistent long-term capital appreciation through an investment
policy of investing all of its assets (net of funds required for
its short-term working capital) in the Master Fund.
The Directors have assessed the viability of the Company over
the period to 31 December 2022. The
viability statement covers a period of three years, which the
Directors consider sufficient given the inherent uncertainty of the
investment world and the specific risks to which the Company is
exposed.
The continuation of the Company in its present form is dependent
on the Management Agreement remaining in place. The Management
Agreement is currently terminable on three months’ notice by either
party. To ensure that the Company maintains a constructive and
informed relationship with the Manager, the Directors meet
regularly with the Manager to review the Master Fund’s performance,
and through the Management Engagement Committee, they review the
Company’s relationship with the Manager and the Manager’s
performance and effectiveness. The Directors currently know of no
reason why either the Company or the Manager might serve notice of
termination of the Management Agreement over the period of this
viability statement.
The Company’s assets exceed its liabilities by a considerable
margin. Further, the majority of the Company’s most significant
expenses, being the fees owing to the Manager and to the Company’s
administrator, fluctuate by reference to the Company’s investment
performance and NAV. The Company is able to meet its expenses by
redeeming shares in the Master Fund as necessary.
The Company’s investment performance depends upon the
performance of the Master Fund and the Manager as manager of the
Master Fund. The Directors, in assessing the viability of the
Company, pay particular attention to the risks facing the Master
Fund. The Manager operates a risk management framework, which is
intended to identify, measure, monitor, report and where
appropriate, mitigate key risks identified by it or its affiliates
in respect of the Master Fund.
Since 1 April 2019, in the event
that there is downward pressure on the Company’s share prices, the
Company has been able to consider resuming active discount
management actions, including share buybacks, so that as far as
possible the share prices would more closely reflect the Company’s
underlying performance; such actions should help to mitigate the
risk of class closure resolutions being triggered after that date.
Refer to note 8 for details of the Company's discount management
programme.
The Directors have carried out a robust assessment of the risks
and, on the assumption that the risks are managed or mitigated in
the ways noted above, the Directors have a reasonable expectation
that the Company will be able to continue in operation and meet its
liabilities as they fall due over the three-year period of their
assessment.
Although the Company is domiciled in Guernsey, the Board has considered the
guidance set out in the AIC Code in relation to Section 172 of the
Companies Act 2006 in the UK. Section 172 of the Companies Act
requires that the Directors of the Company act in the way they
consider, in good faith, is most likely to promote the success of
the Company for the benefit of all stakeholders, including
suppliers, customers and shareholders.
Key Service Providers
The Company does not have any employees and as such the Board
delegates responsibility for its day to day operations to a number
of key service providers. The activities of each service provider
are closely monitored by the Board and they are required to report
to the Board at set intervals.
In addition, a formal review of the performance of each service
provider is carried out once a year by the Management Engagement
Committee.
The Manager
The Manager is a leading and well established hedge fund manager.
In exchange for its services a fee is payable as detailed in note 4
to the financial statements.
The Board considers that the interests of Shareholders, as a
whole, are best served by the ongoing appointment of the Manager to
achieve the Company’s investment objective.
Administrator and Corporate Secretary
Northern Trust International Fund Administration Services
(Guernsey) Limited is the
Administrator and Corporate Secretary. Further details on fee
structure are included in note 4 to the financial statements.
Signed on behalf of the Board by:
Colin Maltby
Chairman
John Le Poidevin
Director
24 March 2020
Directors’ Report
31 December 2019
The Directors submit their Report together with the BH Macro
Limited (the “Company”) Audited Statement of Assets and
Liabilities, Audited Statement of Operations, Audited Statement of
Changes in Net Assets, Audited Statement of Cash Flows and the
related notes for the year ended 31 December
2019. The Directors’ Report together with the Audited
Financial Statements and their related notes (the “Financial
Statements”) give a true and fair view of the financial position of
the Company. They have been prepared properly, in conformity with
United States Generally Accepted Accounting Principles (“US GAAP”)
and are in agreement with the accounting records.
The Company
BH Macro Limited is a limited liability closed-ended investment
company which was incorporated in Guernsey on 17 January
2007 and then admitted to the Official List of the London
Stock Exchange ("LSE") later that year.
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 year are set out in the Audited Statement of
Operations. The Directors do not recommend the payment of a
dividend.
Share Capital
The number of shares in issue at the period end is disclosed in
note 5 of the Notes to the Audited Financial Statements.
Going Concern
The Directors, having considered the Principal Risks and
Uncertainties to which the Company is exposed which are listed in
the Strategic Report and on the assumption that these are managed
or mitigated as noted, are not aware of any material uncertainties
which may cast significant doubt upon the Company’s ability to
continue as a going concern and, accordingly, consider that it is
appropriate that the Company continues to adopt the going concern
basis of accounting for these Audited Financial Statements.
The Board
The Board of Directors has overall responsibility for safeguarding
the Company’s assets, for the determination of the investment
policy of the Company, for reviewing the performance of the service
providers and for the Company’s activities. The Directors, all of
whom are non-executive are listed on the Board Members section of
this report.
The Articles provide that, unless otherwise determined by
ordinary resolution, the number of Directors shall not be less than
two. The Company’s policy on Directors’ Remuneration, together with
details of the remuneration of each Director who served during the
year, is detailed in the Directors’ Remuneration Report.
The Board meets at least four times a year and between these
formal meetings there is regular contact with the Manager and the
Administrator. The Directors are kept fully informed of investment
and financial controls, and other matters that are relevant to the
business of the Company are brought to the attention of the
Directors. The Directors also have access to the Administrator and,
where necessary in the furtherance of their duties, to independent
professional advice at the expense of the Company.
For each Director, the tables below set out the number of Board
and Audit Committee meetings they were entitled to attend during
the year ended 31 December 2019 and
the number of such meetings attended by each Director.
Scheduled Board
Meetings |
Held |
Attended |
Colin
Maltby |
4 |
4 |
Huw Evans |
*2 |
2 |
Richard Horlick |
*3 |
3 |
John Le Poidevin |
4 |
4 |
Claire
Whittet |
4 |
4 |
Audit Committee Meetings |
Held |
Attended |
John Le Poidevin |
4 |
4 |
Richard Horlick |
*3 |
2 |
Colin Maltby |
*2 |
2 |
Claire Whittet |
4 |
3 |
|
|
|
Management
Engagement Committee Meetings |
Held |
Attended |
John Le Poidevin |
1 |
1 |
Richard Horlick |
1 |
1 |
Colin Maltby |
1 |
1 |
Claire Whittet |
1 |
1 |
* Indicates the meetings held during their
membership of the relevant Board or Committee during the year ended
31 December 2019.
In addition to these scheduled meetings, thirteen ad hoc
committee meetings were held during the year ended 31 December
2019, which were attended by those Directors available at the
time.
The Board has reviewed the composition, structure and diversity
of the Board, succession planning, the independence of the
Directors and whether each of the Directors has sufficient time
available to discharge their duties effectively. The Board confirms
that it believes that it has an appropriate mix of skills and
backgrounds, that all of the Directors are considered to be
independent in accordance with the provisions of the AIC Code and
that all Directors have the time available to discharge their
duties effectively.
On 5 December 2019, the board
resolved to set a policy, limiting the tenure of the Chairman to
nine years, which is consistent with the principles listed in the
UK Corporate Governance Code.
Notwithstanding that some of the Directors sit on the boards of
a number of other listed investment companies, the Board notes that
each appointment is non-executive and that listed investment
companies generally have a lower level of complexity and time
commitment than trading companies. Furthermore, the Board notes
that attendance of all Board and Committee meetings during the
period is high and that each Director has always shown the time
commitment necessary to discharge fully and effectively their
duties as a Director.
Directors’ Interests
The Directors had the following interests in the Company, held
either directly or beneficially:
|
US
Dollar Shares |
|
|
31.12.19 |
31.12.18 |
Colin
Maltby |
|
500 |
Nil |
Huw
Evans |
|
N/A |
Nil |
Richard
Horlick |
|
Nil |
N/A |
John Le
Poidevin |
|
Nil |
Nil |
Claire
Whittet |
|
Nil |
Nil |
|
Sterling Shares |
|
|
31.12.19 |
31.12.18 |
Colin
Maltby |
|
3,000 |
Nil |
Huw
Evans |
|
N/A |
5,270 |
Richard
Horlick |
|
Nil |
N/A |
John Le
Poidevin |
|
3,222 |
Nil |
Claire
Whittet |
|
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 updated its Code in February
2019 to reflect revised Principles and Provisions included
in the UK Corporate Governance Code which was revised in 2018.
These changes apply to financial years beginning on or after
1 January 2019.
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 requirements 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; and
- whistle-blowing policy.
For the reasons 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 of these Audited Financial Statements.
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 the Directors. The Board utilised the services
of an independent, specialist company, Cornforth Consulting Ltd
prior to appointing Richard Horlick
and Bronwyn Curtis. The current
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
20 June 2019, Shareholders re-elected
all the Directors of the Company, with the exception of
Huw Evans, who did not put himself
forward for re-election.
The Board regularly reviews its composition and believes that
the current appointments provide an appropriate range of skill,
experience and diversity.
The Board, Audit Committee and Management Engagement Committee
undertake an evaluation of their own performance and that of
individual Directors on an annual basis. In order to review their
effectiveness, the Board and its Committees carry out a process of
formal self-appraisal. The Board and Committees consider how they
function as a whole and also review the individual performance of
their members. This process is conducted by the respective Chairman
reviewing the Directors’ performance, contribution and commitment
to the Company.
Following the retirement of Huw
Evans and the appointment of Colin
Maltby as Chairman, Claire
Whittet has replaced Colin
Maltby as Senior Independent Director and will take the lead
in evaluating the performance of the new Chairman.
The most recent external evaluation of the Board’s performance
was completed in February 2018 and is
scheduled to take place every three years. 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 have been adopted.
The Board needs to ensure that the Financial Statements, taken
as a whole, are fair, balanced and understandable and provide the
information necessary for Shareholders to assess the Company’s
performance, business model and strategy. In seeking to achieve
this, the Directors have set out the Company’s investment objective
and policy and have explained how the Board and its delegated
Committees operate and how the Directors review the risk
environment within which the Company operates and set appropriate
risk controls. Furthermore, throughout the Annual Report, the Board
has sought to provide further information to enable Shareholders to
better understand the Company’s business and financial
performance.
Policy to Combat Fraud, Bribery and Corruption
The Board has adopted a formal policy to combat fraud, bribery and
corruption. The policy applies to the Company and to each of its
Directors. Further, the policy is shared with each of the Company’s
service providers.
In respect of the UK Criminal Finances Act 2017 which 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 years ended 31
December 2019 and 31 December
2018 have been prepared in accordance with the AIC’s
recommended methodology.
The following table presents the Ongoing Charges for each share
class:
31.12.19 |
|
|
|
|
|
US Dollar |
Sterling |
|
|
Shares |
Shares |
Company – Ongoing
Charges |
|
0.61% |
0.59% |
Master Fund – Ongoing
Charges |
|
0.61% |
0.65% |
Performance fees |
|
2.18% |
1.89% |
Ongoing Charges plus
performance fees |
|
3.40% |
3.13% |
31.12.18 |
|
|
|
|
|
US Dollar |
Sterling |
|
|
Shares |
Shares |
Company – Ongoing
Charges |
|
0.62% |
0.64% |
Master Fund – Ongoing
Charges |
|
0.64% |
0.64% |
Performance fees |
|
1.06% |
1.21% |
Ongoing Charges plus
performance fees |
|
2.32% |
2.49% |
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. 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.
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. It
is chaired by John Le Poidevin and
comprises Richard Horlick, who was
appointed on 1 May 2019, Bronwyn Curtis, who was appointed on
1 January 2020 and Claire Whittet. Colin
Maltby was a member of the Audit Committee until
20 June 2019. The Terms of Reference
of the Audit Committee are available from the Administrator.
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, is chaired by
Claire Whittet and comprises all
members of the Board.
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 details of the Manager’s fees and notice period are set out
in note 4 to the Audited 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 5 September
2019, the Management Engagement Committee concluded that the
continued appointment of the Manager, Administrator, UK and
Guernsey Legal Advisers, Registrar and Corporate Broker 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.
In order to recognise any new risks that could impact the
Company and ensure that appropriate controls are in place to manage
those risks, the Audit Committee undertakes a regular review of the
Company’s Risk Matrix. This review took place on three occasions
during the year.
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.
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 28 June 2019.
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,
with a number of such meetings taking place during the year. 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.
Following the publication of the updated AIC Code in
February 2019, when 20 per-cent or
more of Shareholder votes have been cast against a board
recommendation for a resolution, the Company should explain, when
announcing voting results, what actions it intend to take to
consult Shareholders in order to understand the reasons behind the
result. An update on the views received from shareholders and
actions taken should be published no later than six months after
the shareholder meeting. The board should then provide a final
summary in the annual report and, if applicable, in the explanatory
notes to resolutions at the next shareholder meeting, on what
impact the feedback has had on the decisions the board has taken
and any actions or resolutions now proposed. During the year, no
resolution recommended by the Board received more than 20% of votes
against it.
Significant Shareholders
As at 31 December 2019, the following
Shareholders had significant shareholdings in the Company:
|
|
|
% holding |
|
Total
Shares Held |
in class |
Significant
Shareholders |
|
|
US Dollar
Shares |
|
|
Vidacos Nominees
Limited |
871,736 |
35.70% |
Hero Nominees
Limited |
456,287 |
18.68% |
The Bank of New York
(Nominees) Limited |
234,430 |
9.60% |
Luna Nominees
Limited |
143,960 |
5.90% |
Pershing Nominees
Limited |
111,837 |
4.58% |
Euroclear Nominees
Limited |
75,610 |
3.10% |
|
|
|
% holding |
|
Total
Shares Held |
in class |
Significant
Shareholders |
|
|
Sterling
Shares |
|
|
|
Ferlim Nominees
Limited |
2,841,378 |
19.86% |
Rathbone Nominees
Limited |
1,351,150 |
9.44% |
HSBC Global Custody
Nominee (UK) Limited |
1,191,229 |
8.32% |
Pershing Nominees
Limited |
969,707 |
6.78% |
Smith & Williamson
Nominees Limited |
692,900 |
4.84% |
Harewood Nominees
Limited |
600,559 |
4.20% |
Securities Services
Nominees Limited |
577,524 |
4.04% |
Nortrust Nominees
Limited |
548,518 |
3.83% |
Roy Nominees
Limited |
543,040 |
3.79% |
Lion Nominees
Limited |
528,216 |
3.69% |
The Bank of New York
(Nominees) Limited |
454,924 |
3.18% |
Signed on behalf of the Board by:
Colin Maltby
Chairman
John Le Poidevin
Director
24 March 2020
Statement of Directors’ Responsibility
in Respect of the Annual Report and Audited Financial
Statements
The Directors are responsible for preparing the Annual Report
and Audited Financial Statements in accordance with applicable law
and regulations.
Company law requires the Directors to prepare financial
statements for each financial year. Under that law, they elected to
prepare the financial statements in accordance with accounting
principles generally accepted in the
United States of America and applicable law.
Under Company law, the Directors must not approve the financial
statements unless they are satisfied that they give a true and fair
view of the state of affairs of the Company and of its profit or
loss for that period. In preparing these financial statements, the
Directors are required to:
- select suitable accounting policies and then apply them
consistently;
- make judgements and estimates that are reasonable, relevant and
reliable;
- state whether applicable accounting standards have been
followed, subject to any material departures disclosed and
explained in the financial statements;
- assess the Company’s ability to continue as a going concern,
disclosing, as applicable, matters related to going concern;
and
- use the going concern basis of accounting unless liquidation is
imminent.
The Directors are responsible for keeping proper accounting
records that are sufficient to show and explain the Company’s
transactions and disclose with reasonable accuracy at any time the
financial position of the Company and enable them to ensure that
its financial statements comply with the Companies (Guernsey) Law, 2008. They are responsible for
such internal control as they determine is necessary to enable the
preparation of financial statements that are free from material
misstatement, whether due to fraud or error, and have general
responsibility for taking such steps as are reasonably open to them
to safeguard the assets of the Company and to prevent and detect
fraud and other irregularities.
The Directors are responsible for the maintenance and integrity
of the corporate and financial information included on the
Company’s website. Legislation in Guernsey governing the preparation and
dissemination of financial statements may differ from legislation
in other jurisdictions.
Responsibility statement of the Directors in respect of the
annual financial report
We confirm that to the best of our knowledge:
- so far as each of the Directors is aware, there is no relevant
audit information of which the Company’s Independent Auditor is
unaware, and each has taken all the steps they ought to have taken
as a Director to make themselves aware of any relevant information
and to establish that the Company’s Independent Auditor is aware of
that information;
- the financial statements, prepared in accordance with the
applicable set of accounting standards, give a true and fair view
of the assets, liabilities, financial position and profit or loss
of the Company; and
- the Chairman’s Statement, Strategic Report, Directors’ Report
and Manager’s Report includes a fair review of the development and
performance of the business and the position of the Company,
together with a description of the principal risks and
uncertainties that it faces.
We consider the Annual Report and Audited Financial Statements,
taken as a whole, is fair, balanced and understandable and provides
the information necessary for shareholders to assess the Company’s
position and performance, business model and strategy.
Signed on behalf of the Board by:
Colin Maltby
Chairman
John Le Poidevin
Director
24 March 2020
Directors’ Remuneration Report
31 December 2019
Introduction
An ordinary resolution for the approval of the Directors’
Remuneration Report will be put to the Shareholders at the Annual
General Meeting to be held in June
2020.
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
20 June 2019, Shareholders re-elected all the Directors, with
the exception of Huw Evans, who did
not put himself forward for re-election. Director appointments can
also be terminated in accordance with the Articles. Should
Shareholders vote against a Director standing for re-election, the
Director affected will not be entitled to any compensation. There
are no set notice periods and a Director may resign by notice in
writing to the Board at any time.
Directors are remunerated in the form of fees, payable quarterly
in arrears, to the Director personally.
No other remuneration or compensation was paid or payable by the
Company during the year to any of the Directors apart from the
reimbursement of allowable expenses.
Directors’ fees
The Company’s Articles limit the fees payable to Directors in
aggregate to £400,000 per annum. Until 19
June 2019, the annual fees were £65,000 for Huw Evans, the Chairman, £47,500 for
John Le Poidevin, the Chair of the
Audit Committee, £45,000 for Claire
Whittet, the Chair of the Management Engagement Committee,
£45,000 for Colin Maltby as Senior
Independent Director and £40,000 for all other Directors.
Between 20 June 2019 and
30 September 2019, annual fee levels
remained the same as above, except for Colin Maltby, who was paid at the rate of
£65,000 per annum after succeeding Huw
Evans as Chairman and £47,500 per annum for Claire Whittet, who was appointed Senior
Independent Director.
On 5 September 2019, the Board
agreed to changes to the annual Director’s fees, effective from
1 October 2019 onward. They were
changed to £70,000 for Colin Maltby,
the Chairman, £55,000 for John Le
Poidevin, the Chair of the Audit Committee, £50,000 for
Claire Whittet, as Chair of the
Management Engagement Committee and the Senior Independent Director
and £45,000 for all other Directors.
The fees payable by the Company in respect of each of the
Directors who served during the year ended 31 December 2019 and the year ended 31 December 2018, were as follows:
|
|
Year
ended |
Year
ended |
|
|
31.12.19 |
31.12.18 |
|
|
£ |
£ |
Colin Maltby |
|
56,854 |
45,000 |
Huw Evans* |
|
*30,714 |
65,000 |
Richard Horlick** |
|
**27,953 |
N/A |
John Le Poidevin |
|
49,375 |
47,500 |
Claire Whittet |
|
46,950 |
45,000 |
Total |
|
211,846 |
202,500 |
*
Huw Evans served as Chairman at a
fee of £65,000 pa until his retirement from the Board on
20 June 2019.
**
Richard Horlick was appointed on
1 May 2019 at a fee of £40,000 pa
until 30 September 2019 and £45,000
from 1 October 2019.
Signed on behalf of the Board by:
Colin Maltby
Chairman
John Le Poidevin
Director
24 March 2020
Report of the Audit Committee
31 December 2019
We present the Audit Committee’s (the “Committee”) Report for
2019, setting out the Committee’s structure and composition,
principal duties and key activities during the year. As in previous
years, the Committee has reviewed the Company’s financial
reporting, the independence and effectiveness of the Independent
Auditor and the internal control and risk management systems of the
service providers.
Structure and Composition
The Committee is chaired by John Le
Poidevin and its other members are Claire Whittet, Richard
Horlick and Bronwyn
Curtis.
Appointment to the Committee is for a period up to three years
which may be extended for two further three year periods provided
that the majority of the Committee remains independent of the
Manager. John Le Poidevin and
Claire Whittet are currently serving
their second terms and Richard
Horlick and Bronwyn Curtis
are each serving their first term.
The Committee conducts formal meetings at least three times a
year. The table in the Directors’ Report, sets out the number of
Committee meetings held during the year ended 31 December 2019 and the number of such meetings
attended by each committee member. The Independent Auditor is
invited to attend those meetings at which the annual and interim
reports are considered. The Independent Auditor and the Committee
will meet together without representatives of either the
Administrator or Manager being present if the Committee considers
this to be necessary.
Principal duties
The role of the Committee includes:
- monitoring the integrity of the published Financial Statements
of the Company;
- reviewing and reporting to the Board on the significant issues
and judgements made in the preparation of the Company’s published
Financial Statements, (having regard to matters communicated by the
Independent Auditor), significant financial returns to regulators
and other financial information;
- monitoring and reviewing the quality and effectiveness of the
Independent Auditor and their independence;
- considering and making recommendations to the Board on the
appointment, reappointment, replacement and remuneration to the
Company’s Independent Auditor; and
- monitoring and reviewing the internal control and risk
management systems of the service providers.
The complete details of the Committee’s formal duties and
responsibilities are set out in the Committee’s Terms of Reference,
which can be obtained from the Company’s Administrator.
The independence and objectivity of the Independent Auditor is
reviewed by the Committee, which also reviews the terms under which
the Independent Auditor is appointed to perform non-audit services,
which includes consideration of the 2016 Financial Reporting
Council Ethical Standard. The Committee has also established
policies and procedures for the engagement of the auditor to
provide audit, assurance and other services. The services which the
Independent Auditor may not provide are any which:
- places them in a position to audit their own work;
- creates a mutuality of interest;
- results in the Independent Auditor functioning as a manager or
employee of the Company; or
- puts the Independent Auditor in the role of advocate of the
Company.
Independent Auditor
The audit and any non-audit fees proposed by the Independent
Auditor each year are reviewed by the Committee taking into account
the Company’s structure, operations and other requirements during
the year and the Committee makes recommendations to the Board.
KPMG Channel Islands Limited (“KPMG CI”) has been the Company’s
Independent Auditor from the date of the initial listing on the
London Stock Exchange. The external audit was most recently
tendered for the year ended 31 December
2016, where KPMG CI was re-appointed as auditor following
the completion of the tender process.
Key Activities in 2019
The following sections discuss the assessment made by the Committee
during the year:
Significant Financial Statement Issues
The Committee’s review of the interim and annual Financial
Statements focused on the following area:
The Company’s investment in the Master Fund had a fair value of
US$558.6 million as at 31 December 2019 and represents substantially all
the net assets of the Company. The valuation of the investment is
determined in accordance with the Accounting Policies set out in
note 3 to the Audited Financial Statements. The Financial
Statements of the Master Fund for the year ended 31 December 2019 were audited by KPMG Cayman who
issued an unqualified audit opinion dated 18
March 2020. The Audit Committee has reviewed the Financial
Statements of the Master Fund and the Accounting Policies and
determined the fair value of the investment as at 31 December 2019 is reasonable.
This matter was discussed during the planning and final stage of
the audit and there was no significant divergence of views between
the Committee and the Independent Auditor.
The Committee has carried out a robust assessment of the risks
to the Company in the context of making the viability statement in
these Financial Statements. Furthermore, the Committee has
concluded it appropriate to continue to prepare the Financial
Statements on the going concern basis of accounting.
Effectiveness of the Audit
The Committee held formal meetings with KPMG CI during the course
of the year: 1) before the start of the audit to discuss formal
planning, to discuss any potential issues and to agree the scope
that would be covered; and 2) after the audit work was concluded to
discuss the significant issues including those stated above.
The Committee considered the effectiveness and independence of
KPMG CI by using a number of measures, including but not limited
to:
- Reviewing the audit plan presented to them before the start of
the audit;
- Reviewing and challenging the audit findings report including
variations from the original plan;
- Reviewing any changes in audit personnel; and
- Requesting feedback from both the Manager and the
Administrator.
Further to the above, during the year, the Committee performed a
specific evaluation of the performance of the Independent Auditor.
This was supported by the results of questionnaires completed by
the Committee covering areas such as the quality of the audit team,
business understanding, audit approach and management. This
questionnaire was part of the process by which the Committee
assessed the effectiveness of the audit. There were no significant
adverse findings from the 2019 evaluation.
Audit Fees and Safeguards on Non-Audit Services
The table below summarises the remuneration paid by the Company to
KPMG CI for audit and non-audit services during the years ended
31 December 2019 and 31 December 2018.
|
|
Year
ended |
Year
ended |
|
|
31.12.19 |
31.12.18 |
|
|
£ |
£ |
Annual audit |
|
31,000 |
30,000 |
Interim
review |
|
15,350 |
15,000 |
The Audit Committee has examined the scope and results of the
external audit, its cost effectiveness and the independence and
objectivity of the Independent Auditor, with particular regard to
non-audit fees, and considers KPMG CI, as Independent Auditor, to
be independent of the Company. Further, the Committee has obtained
KPMG CI’s confirmation that the services provided by other KPMG
member firms to the wider Brevan Howard organisation do not
prejudice its independence.
Internal Control
The Audit Committee has also reviewed the need for an internal
audit function. The Committee has concluded that the systems and
procedures employed by the Manager and the Administrator, including
their own internal audit functions, currently provide sufficient
assurance that a sound system of internal control, which safeguards
the Company’s assets, is maintained. An internal audit function
specific to the Company is therefore considered unnecessary.
The Committee examined externally prepared assessments of the
control environment in place at the Manager and the Administrator,
with the Manager providing an International Standard on Assurance
Engagements (“ISAE 3402”) report and the Administrator providing a
Service Organisation Control (“SOC1”) report. No significant
findings have been noted during the year.
Conclusion and Recommendation
After reviewing various reports such as the operational and risk
management framework and performance reports from the Manager and
Administrator, consulting where necessary with KPMG CI, and
assessing the significant Financial Statement issues noted in the
Report of the Audit Committee, the Committee is satisfied that the
Financial Statements appropriately address the critical judgements
and key estimates (both in respect to the amounts reported and the
disclosures). The Committee is also satisfied that the significant
assumptions used for determining the value of assets and
liabilities have been appropriately scrutinised and challenged and
are sufficiently robust. At the request of the Board, the Audit
Committee considered and was satisfied that the 2019 Annual Report
and Audited Financial Statements are fair, balanced and
understandable and provide the necessary information for
Shareholders to assess the Company’s performance, business model
and strategy.
The Independent Auditor reported to the Committee that no
unadjusted material misstatements were found in the course of its
work. Furthermore, both the Manager and the Administrator confirmed
to the Committee that they were not aware of any unadjusted
material misstatements including matters relating to the
presentation of the Financial Statements. The Committee confirms
that it is satisfied that the Independent Auditor has fulfilled its
responsibilities with diligence and professional scepticism.
Consequent to the review process on the effectiveness of the
independent audit and the review of audit and non-audit services,
the Committee has recommended that KPMG CI be reappointed for the
coming financial year.
For any questions on the activities of the Committee not
addressed in the foregoing, a member of the Audit Committee remains
available to attend each Annual General Meeting to respond to such
questions.
John Le Poidevin
Audit Committee Chairman
24 March 2020
Manager’s Report
Brevan Howard Capital Management LP (“BHCM” or the “Manager”) is
the Manager of BH Macro Limited (“BHM” or the “Company”) and of
Brevan Howard Master Fund Limited (the “Master Fund”). The Company
invests all of its assets (net of short-term working capital) in
the ordinary shares of the Master Fund.
Performance Review
The NAV per share of the USD shares of the Company appreciated by
9.38% in 2019, while the NAV per share of the GBP shares
appreciated by 7.98%.
The month-by-month NAV performance of each currency class 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) |
0.91 |
0.90 |
0.14 |
1.32 |
0.38 |
0.47 |
14.16 |
2019 |
0.67 |
(0.70) |
2.45 |
(0.49) |
3.55 |
3.97 |
(0.66) |
1.12 |
(1.89) |
0.65 |
(1.17) |
1.68 |
9.38 |
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) |
0.82 |
0.79 |
0.04 |
1.17 |
0.26 |
0.31 |
12.43 |
2019 |
0.52 |
(0.88) |
2.43 |
(0.60) |
3.53 |
3.82 |
(0.78) |
1.00 |
(1.94) |
0.47 |
(1.22) |
1.52 |
7.98 |
Source: Master Fund NAV data is provided by the administrator of
the Master Fund, International Fund Services (Ireland) Limited (“IFS”). The Company’s NAV
and NAV per Share data is provided by the Company’s administrator,
Northern Trust International Fund Administration Services
(Guernsey) Limited. Company NAV
per Share % Monthly Change is calculated by the Manager. Company
NAV data is unaudited and net of all investment management and all
other fees and expenses payable by the Company. In addition, the
Master 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
Master 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 31 December 2019.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Quarterly and annual contribution (%)
to the performance of the Company’s USD Shares (net of fees and
expenses) by asset class*
|
Rates |
FX |
Commodity |
Credit |
Equity |
Discount
Management |
TOTAL |
|
|
|
|
|
|
|
|
Q1 2019 |
3.16 |
-0.68 |
0.05 |
-0.03 |
-0.09 |
0.00 |
2.41 |
Q2 2019 |
9.14 |
-1.79 |
0.25 |
-0.04 |
-0.29 |
0.00 |
7.14 |
Q3 2019 |
-1.61 |
0.35 |
0.23 |
-0.10 |
-0.30 |
0.00 |
-1.45 |
Q4 2019 |
0.53 |
0.74 |
-0.40 |
0.15 |
0.15 |
0.00 |
1.15 |
2019 |
11.35 |
-1.39 |
0.12 |
-0.02 |
-0.53 |
0.00 |
9.38 |
*Data as at 31 December 2019
Please note that quarterly and annual returns shown in this
table are compounded
Quarterly and annual figures are calculated by BHCM as at
31 December 2019, based on
performance data for each period provided by the Company’s
administrator, Northern Trust. Figures rounded to two decimal
places.
Quarterly and annual returns shown in this table are compounded
and the calculation methodology is in line with that published in
the monthly shareholder reports which are available on the
Company’s website.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Methodology and Definition of Contribution to
Performance:
Attribution by asset class is produced at the instrument level,
with adjustments made based on risk estimates.
The above asset classes are categorised as follows:
“Rates”: interest rates markets
“FX”: FX forwards and options
“Commodity”: commodity futures and options
“Credit”: corporate and asset-backed indices, bonds and
CDS
“Equity”: equity markets including indices and other
derivatives
“Discount Management”: buyback activity for discount
management purposes
Performance and Economic Outlook Commentary
The Master Fund generated positive returns throughout the year,
driven in particular by interest rate trading in the US,
Europe and emerging markets. At
the beginning of 2019, the Master Fund was positioned in
anticipation of monetary policy easing by the Federal Reserve, the
ECB and the Bank of England. These
views were expressed through a combination of directional, yield
curve and volatility positions. In the event, global growth slowed
as the year unfolded, led by notable weakness in the manufacturing
sector, and punctuated by an intensification in trade tensions
between the US and China. As
markets started to anticipate the potential for rate cuts and, in
the case of Europe, further
quantitative easing, these positions profited, in particular during
the second quarter of the year. Markets became more choppy after
the summer. Investors were caught off guard by President Trump’s
demand that US companies move out of China, the designation of China as a currency manipulator, and the
announcement of new tariffs covering all of US trade with
China. The consequences of this
escalation were immediately felt in markets and were reflected in a
further deterioration in business sentiment. Fears of an
uncontrolled trade war and cliff-edge Brexit increased the odds of
global recession. However, risk assets recovered on plans for a
phase one trade deal between the US and China, the prospects for a resolution to
Brexit following the UK election, and hopes that fiscal and
monetary policy easing would buoy growth. Growth in China and Europe stabilised and fears of recession in
the US waned. In this environment, some of the gains from US
interest rate positioning were given back in the third quarter and
position taking became more tactical into the end of the year. In a
number of emerging markets, political and social unrest weighed
heavily on economic activity, enabling the Master Fund to profit in
every quarter from a wide range of idiosyncratic interest rate
trading strategies.
Going into 2020, global growth remained soft, inflation was low,
and geopolitics remained volatile. The outbreak and rapid spread of
coronavirus (COVID-19) has severely impacted global commercial
activities. There have been sharp falls in risk assets and
commodity prices, with policymakers taking substantial steps to
respond. The evolving situation presents a number of challenges to
global economic activity in 2020.
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.
24 March 2020
Independent Auditor’s Report to the
Members of BH Macro Limited
Our opinion is unmodified
We have audited the financial statements of BH Macro
Limited (the “Company”), which comprise the Audited
Statement of Assets and Liabilities as at 31 December
2019, the Audited Statements
of Operations, Changes in Net Assets and Cash
Flows for the year then ended, and notes, comprising
significant accounting policies and other explanatory
information.
In our opinion, the accompanying
financial statements:
- give a true and fair view of the financial position of the
Company as at 31 December 2019, and
of the Company’s financial performance and cash flows for the
year then ended;
- are prepared in conformity with U.S. generally accepted
accounting principles; and
- comply with the Companies (Guernsey) Law, 2008.
Basis for opinion
We conducted our audit in accordance with International Standards
on Auditing (UK) (“ISAs (UK)”) and applicable law. Our
responsibilities are described below. We have fulfilled our ethical
responsibilities under, and are independent of the Company in
accordance with, UK ethical requirements including FRC Ethical
Standards, as applied to listed entities. We believe that the audit
evidence we have obtained is a sufficient and appropriate basis for
our opinion.
Key audit matters: our assessment of the risks of material
misstatement
Key audit matters are those matters that, in our professional
judgment, were of most significance in the audit of
the financial statements and include the most significant
assessed risks of material misstatement (whether or not due to
fraud) identified by us, including those which had the greatest
effect on: the overall audit strategy; the allocation of resources
in the audit; and directing the efforts of the engagement team.
These matters were addressed in the context of our audit of
the financial statements as a whole, and in forming our
opinion thereon, and we do not provide a separate opinion on these
matters. In arriving at our audit opinion above, the key
audit matter was as follows (unchanged from 2018):
|
The risk |
Our response |
|
|
|
Valuation of
Investment in Brevan Howard Master Fund Limited (the “Master
Fund”)
$558,606,000; (2018: $500,567,000);
Refer to the Audit Committee Report and note 3 accounting
policy
|
Basis:
The Company, which is a multi-class feeder fund, had invested
99.79% (2018: 100.05%) of its net assets at 31 December 2019 into
the ordinary US Dollar and Sterling denominated Class B Shares
issued by the Master Fund, which is an open ended investment
company
The Company’s investment holdings in the Master Fund are valued
using the respective net asset value per share class as provided by
the Master Fund’s administrator
Risk:
The valuation of the Company’s Investment in the Master Fund, given
that it represents the majority of the net assets of the Company,
is a significant area of our audit
|
Our audit procedures
included, but were not limited to:
Obtained an independent confirmation from the administrator of the
Master Fund of the net asset value per share for both the US Dollar
and Sterling Class B shares and reconciled these to the net asset
values used in the valuation of the Investment in the Master Fund
Reviewed the audit work performed by the auditor of the Master Fund
to gain insight over the work performed on the significant elements
of the Master Fund’s net asset value; and held discussions on key
audit findings with the auditor of the Master Fund
Examined the Master Fund’s coterminous audited financial statements
to corroborate the net asset value per share of both the US Dollar
and Sterling Class B shares
We also considered the Company’s investment valuation policies as
disclosed in note 3 to the financial statements for conformity with
U.S. generally accepted accounting principles |
Our application of materiality and an overview of the scope
of our audit
Materiality for the financial statements as a whole was set at
$8,182,000, determined with reference
to a benchmark of Net Assets of $559,765,000, of which it represents
approximately 1.5%.
We reported to the Audit Committee any corrected or uncorrected
identified misstatements exceeding $409,000, in addition to other identified
misstatements that warranted reporting on qualitative grounds.
Our audit of the Company was undertaken to the materiality
level specified above, which has informed our identification of
significant risks of material misstatement and the associated audit
procedures performed in those areas as detailed above.
We have nothing to report on going concern
We are required to report to you if we have anything material to
add or draw attention to in relation to the directors’ statement in
note 3 to the financial statements on the use of the going
concern basis of accounting with no material uncertainties that may
cast significant doubt over the Company’s use of that basis for a
period of at least twelve months from the date of approval of the
financial statements. We have nothing to report in this
respect.
Other information
The directors are responsible for the other information. The
other information comprises the information included in the Annual
Report but does not include the financial statements and
our auditor's report thereon. Our opinion on the financial
statements does not cover the other information and we do not
express an audit opinion or any form of assurance conclusion
thereon.
In connection with our audit of the financial statements,
our responsibility is to read the other information and, in doing
so, consider whether the other information is materially
inconsistent with the financial statements or our knowledge
obtained in the audit, or otherwise appears to be materially
misstated. If, based on the work we have performed, we
conclude that there is a material misstatement of this other
information, we are required to report that fact. We have nothing
to report in this regard.
Disclosures of principal risks and longer term
viability
Based on the knowledge we acquired during our financial statements
audit, we have nothing material to add or draw attention to in
relation to:
- the Directors’ confirmation within the Viability Statement in
the Strategic Report that they have carried out a robust assessment
of the principal risks facing the Company, including those that
would threaten its business model, future performance, solvency or
liquidity;
- the Principal Risks disclosures describing these risks and
explaining how they are being managed or mitigated;
- the Directors’ explanation in the Viability Statement in
the Strategic Report as to how they have assessed the prospects of
the Company, over what period they have done so and why they
consider that period to be appropriate, and their statement as to
whether they have a reasonable expectation that the Company will be
able to continue in operation and meet its liabilities as they fall
due over the period of their assessment, including any related
disclosures drawing attention to any necessary qualifications or
assumptions.
Corporate governance disclosures
We are required to report to you if:
- we have identified material inconsistencies between the
knowledge we acquired during our financial statements audit and the
Directors’ statement that they consider that the Annual
Report and financial statements taken as a whole is fair,
balanced and understandable and provides the information necessary
for shareholders to assess the Company’s position and performance,
business model and strategy; or
- the section of the Annual Report describing the work
of the Audit Committee does not appropriately address matters
communicated by us to the Audit Committee.
We are required to report to you if the Corporate Governance
Statement does not properly disclose a departure from the
provisions of the UK Corporate Governance Code specified by the
Listing Rules for our review.
We have nothing to report to you in these respects.
We have nothing to report on other matters on which we are
required to report by exception
We have nothing to report in respect of the following matters where
the Companies (Guernsey) Law, 2008
requires us to report to you if, in our opinion:
- the Company has not kept proper accounting records; or
- the financial statements are not in agreement with the
accounting records; or
- we have not received all the information and explanations,
which to the best of our knowledge and belief are necessary for the
purpose of our audit.
Respective responsibilities
Directors' responsibilities
As explained more fully in their statement set out in the Statement
of Directors’ Responsibility in Respect of the Annual Report and
Audited Financial Statements, the Directors are responsible
for: the preparation of the financial statements including
being satisfied that they give a true and fair view; such internal
control as they determine is necessary to enable the preparation
of financial statements that are free from material
misstatement, whether due to fraud or error; assessing the
Company’s ability to continue as a going concern, disclosing, as
applicable, matters related to going concern; and using the going
concern basis of accounting unless liquidation is
imminent.
Auditor's responsibilities
Our objectives are to obtain reasonable assurance about whether
the financial statements as a whole are free from material
misstatement, whether due to fraud or error, and to issue our
opinion in an auditor’s report. Reasonable assurance is a high
level of assurance, but does not guarantee that an audit conducted
in accordance with ISAs (UK) will always detect a material
misstatement when it exists. Misstatements can arise from fraud or
error and are considered material if, individually or in aggregate,
they could reasonably be expected to influence the economic
decisions of users taken on the basis of the financial
statements.
A fuller description of our responsibilities is provided on the
FRC’s website at www.frc.org.uk/auditorsresponsibilities.
The purpose of this report and restrictions on its use by
persons other than the Company's members as a body
This report is made solely to the Company’s members, as a body, in
accordance with section 262 of the Companies (Guernsey) Law, 2008. Our audit work has
been undertaken so that we might state to the
Company’s members those matters we are required to state to
them in an auditor’s report and for no other purpose. To the
fullest extent permitted by law, we do not accept or assume
responsibility to anyone other than the Company and the
Company’s members, as a body, for our audit work, for this report,
or for the opinions we have formed.
Barry Ryan
for and on behalf of KPMG Channel Islands Limited
Chartered Accountants and Recognised Auditors
Guernsey
24 March 2020
Audited Statement of Assets and Liabilities
As at 31 December 2019
|
|
|
|
|
|
|
|
|
31.12.19 |
|
31.12.18 |
|
|
|
|
|
|
|
|
|
US$'000 |
|
US$'000 |
Assets |
|
|
|
|
|
|
|
|
|
|
|
Investment
in the Master Fund |
|
|
|
|
|
|
558,606 |
|
500,567 |
Master
Fund redemption proceeds receivable |
|
|
|
|
|
11,433 |
|
- |
Prepaid
expenses |
|
|
|
|
|
|
|
46 |
|
64 |
Cash and
bank balances denominated in US Dollars |
|
|
|
|
|
172 |
|
750 |
Cash and
bank balances denominated in Sterling |
|
|
|
|
|
522 |
|
4,926 |
Total
assets |
|
|
|
|
|
|
|
570,779 |
|
506,307 |
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
Performance fees
payable (note 4) |
|
|
|
|
|
|
|
|
10,505 |
|
5,684 |
Management fees payable (note 4) |
|
|
|
|
|
394 |
|
203 |
Accrued
expenses and other liabilities |
|
|
|
|
|
91 |
|
93 |
Administration fees payable (note 4) |
|
|
|
|
|
24 |
|
24 |
Total
liabilities |
|
|
|
|
|
|
|
11,014 |
|
6,004 |
|
|
|
|
|
|
|
|
|
|
|
|
Net
assets |
|
|
|
|
|
|
|
559,765 |
|
500,303 |
|
|
|
|
|
|
|
|
|
|
|
|
Number
of shares in issue (note 5) |
|
|
|
|
|
|
|
|
US Dollar
shares |
|
|
|
|
|
|
|
2,442,057 |
|
2,664,541 |
Sterling
shares |
|
|
|
|
|
|
|
14,310,040 |
|
14,136,242 |
|
|
|
|
|
|
|
|
|
|
|
|
Net
asset value per share (notes 7 and 9) |
|
|
|
|
|
|
|
|
US Dollar
shares |
|
|
|
|
|
|
|
US$26.99 |
|
US$24.67 |
Sterling shares |
|
|
|
|
|
|
|
|
£26.06 |
|
£24.13 |
See accompanying Notes to the Audited
Financial Statements.
Signed on behalf of the Board by:
Colin Maltby
Chairman
John Le Poidevin
Director
24 March 2020
Audited Statement of Operations
For the year ended 31 December
2019
|
|
|
|
|
|
01.01.19 |
|
01.01.18 |
|
|
|
|
|
|
31.12.19 |
|
31.12.18 |
|
|
|
|
|
|
US$'000 |
|
US$'000 |
Net
investment loss allocated from the Master Fund |
|
|
|
|
|
|
|
Interest income |
|
|
|
|
|
22,303 |
|
7,298 |
Dividend
and other income (net of withholding tax: |
|
|
|
|
|
|
|
31
December 2019: US$34,677; 31 December 2018: US$25,955) |
88 |
|
1,621 |
Expenses |
|
|
|
|
|
(27,628) |
|
(13,809) |
Net
investment loss allocated from the Master Fund |
|
|
|
|
(5,237) |
|
(4,890) |
|
|
|
|
|
|
|
|
|
Company
income |
|
|
|
|
|
|
|
|
Fixed deposit
income |
|
|
|
|
|
1 |
|
- |
Foreign exchange gains
(note 3) |
|
|
|
|
|
18,544 |
|
- |
Total Company
income |
|
|
|
|
|
18,545 |
|
- |
|
|
|
|
|
|
|
|
|
Company
expenses |
|
|
|
|
|
|
|
|
Performance fees (note
4) |
|
|
|
|
|
10,196 |
|
5,904 |
Management fees (note
4) |
|
|
|
|
|
2,281 |
|
2,355 |
Other expenses |
|
|
|
|
|
469 |
|
476 |
Directors' fees |
|
|
|
|
|
271 |
|
269 |
Administration fees
(note 4) |
|
|
|
|
|
94 |
|
94 |
Foreign exchange
losses (note 3) |
|
|
|
|
|
- |
|
23,246 |
Total Company
expenses |
|
|
|
|
|
13,311 |
|
32,344 |
|
|
|
|
|
|
|
|
|
Net investment
loss |
|
|
|
|
|
(3) |
|
(37,234) |
|
|
|
|
|
|
|
|
|
Net
realised and unrealised gain on investments allocated from the
Master Fund |
|
|
Net realised gain on
investments |
|
|
|
|
|
8,371 |
|
72,315 |
Net
unrealised gain/(loss) on investments |
|
|
|
|
51,094 |
|
(96) |
Net
realised and unrealised gain on investments allocated from the
Master Fund |
|
59,465 |
|
72,219 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net
increase in net assets resulting from operations |
|
|
|
59,462 |
|
34,985 |
See accompanying Notes to the Audited
Financial Statements.
Audited Statement of Changes in Net Assets
For the year ended 31 December
2019
|
|
|
|
|
|
|
|
|
01.01.19 |
|
01.01.18 |
|
|
|
|
|
|
|
|
|
31.12.19 |
|
31.12.18 |
|
|
|
|
|
|
|
|
|
US$'000 |
|
US$'000 |
Net
increase in net assets resulting from operations |
|
|
|
|
|
|
Net
investment loss |
|
|
|
|
|
|
|
(3) |
|
(37,234) |
Net
realised gain on investments allocated from the Master Fund |
|
|
|
8,371 |
|
72,315 |
Net
unrealised gain/(loss) on investments allocated from the Master
Fund |
|
51,094 |
|
(96) |
|
|
|
|
|
|
|
|
|
59,462 |
|
34,985 |
|
|
|
|
|
|
|
|
|
|
|
|
Net
increase in net assets |
|
|
|
|
|
|
|
59,462 |
|
34,985 |
Net
assets at the beginning of the year |
|
|
|
|
|
500,303 |
|
465,318 |
Net
assets at the end of the year |
|
|
|
|
|
|
559,765 |
|
500,303 |
See accompanying Notes to the Audited
Financial Statements.
Audited Statement of Cash Flows
For the year ended to 31 December
2019
|
|
|
|
|
|
01.01.19 |
|
01.01.18 |
|
|
|
|
|
|
31.12.19 |
|
31.12.18 |
|
|
|
|
|
|
US$'000 |
|
US$'000 |
Cash flows from
operating activities |
|
|
|
|
|
|
|
|
Net increase in net
assets resulting from operations |
|
|
|
|
|
59,462 |
|
34,985 |
Adjustments to
reconcile net increase in net assets resulting from |
|
|
|
|
|
|
|
|
operations to net cash provided by operating activities: |
|
|
|
|
|
|
|
|
Net
investment loss allocated from the Master Fund |
|
|
|
|
5,237 |
|
4,890 |
Net
realised gain on investments allocated from the Master Fund |
|
|
|
(8,371) |
|
(72,315) |
Net
unrealised (gain)/loss on investments allocated from the Master
Fund |
|
(51,094) |
|
96 |
Increase
in Master Fund redemption proceeds receivable |
|
|
|
|
(11,433) |
|
- |
Proceeds
from sale of investment in the Master Fund |
|
|
|
|
15,055 |
|
7,982 |
Foreign exchange
(gains)/losses |
|
|
|
|
|
(18,544) |
|
23,246 |
Decrease/(increase) in
prepaid expenses |
|
|
|
|
|
18 |
|
(20) |
Increase in
performance fees payable |
|
|
|
|
|
4,821 |
|
5,684 |
Increase in management
fees payable |
|
|
|
|
|
191 |
|
6 |
Decrease
in accrued expenses and other liabilities |
|
|
|
|
(2) |
|
(76) |
Decrease in Directors'
fees payable |
|
|
|
|
|
- |
|
(70) |
Decrease in
administration fees payable |
|
|
|
|
|
- |
|
(9) |
Net
cash (used in)/provided by operating activities |
|
|
|
|
(4,660) |
|
4,399 |
|
|
|
|
|
|
|
|
|
Change in
cash |
|
|
|
|
|
(4,660) |
|
4,399 |
Cash, beginning of
the year |
|
|
|
|
|
5,676 |
|
1,080 |
Effect of exchange
rate fluctuations |
|
|
|
|
|
(322) |
|
197 |
Cash, end of the
year |
|
|
|
|
|
694 |
|
5,676 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash, end of the
year |
|
|
|
|
|
|
|
|
Cash and
bank balances denominated in US Dollars |
|
|
|
|
172 |
|
750 |
Cash and
bank balances denominated in Sterling1 |
|
|
|
|
522 |
|
4,926 |
|
|
|
|
|
|
694 |
|
5,676 |
|
|
|
|
|
|
|
|
|
1. Cash
and bank balances in Sterling (GBP'000) |
|
|
|
|
394 |
|
3,868 |
See accompanying Notes to the Audited
Financial Statements.
Notes to the Audited Financial Statements
For the year ended 31 December
2019
1. The Company
BH Macro Limited is a limited liability closed-ended investment
company which was incorporated in Guernsey on 17 January
2007 and then admitted to the Official List of the London
Stock Exchange ("LSE") later that year.
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 and Sterling denominated Class B
shares issued by Brevan Howard Master Fund Limited (the “Master
Fund”) and, as such, the Company is directly and materially
affected by the performance and actions of the Master Fund.
The Master Fund is an open-ended investment company with limited
liability formed under the laws of the Cayman Islands on 22
January 2003. The investment objective of the Master Fund is
to generate consistent long-term appreciation through active
leveraged trading and investment on a global basis. The Master Fund
employs a combination of investment strategies that focus primarily
on economic change and monetary policy and market inefficiencies.
The underlying philosophy is to construct strategies, often
contingent in nature with superior risk/return profiles, whose
outcome will often be crystallised by an expected event occurring
within a pre-determined period of time. New trading strategies will
be added as investment opportunities present themselves.
As such, the Audited Financial Statements of the Company should
be read in conjunction with the Audited Financial Statements of the
Master Fund which can be found on the Company’s website,
www.bhmacro.com.
At the date of these Audited Financial Statements, there were
two other feeder funds in operation in addition to the Company that
invest all of their assets (net of working capital) in the Master
Fund. Furthermore, Brevan Howard Multi-Strategy Master Fund
Limited, another fund managed by the Manager, invests some of its
assets in the Master Fund as at the date of these Financial
Statements.
Off-Balance Sheet, market and credit risks of the Master Fund’s
investments and activities are discussed in the notes to the Master
Fund’s Audited Financial Statements. The Company’s investment in
the Master Fund exposes it to various types of risk, which are
associated with the financial instruments and markets in which the
Brevan Howard underlying funds invest.
Market risk represents the potential loss in value of financial
instruments caused by movements in market factors including, but
not limited to, market liquidity, investor sentiment and foreign
exchange rates.
The Manager
Brevan Howard Capital Management LP (the “Manager”) is the Manager
of the Company. The Manager is a Jersey Limited Partnership, the
general partner of which is Brevan Howard Capital Management
Limited, a Jersey Limited Company (the “General Partner”). The
General Partner is regulated in the conduct of fund services
business by the Jersey Financial Services Commission pursuant to
the Financial Services (Jersey) Law 1998 and the Orders made
thereunder.
The Manager also manages the Master Fund and in that capacity,
as at the date of these Financial Statements, has delegated the
function of investment management of the Master Fund to Brevan
Howard Asset Management LLP, Brevan Howard (Hong Kong) Limited, Brevan Howard 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 Audited Financial Statements, which give a true and fair
view, are prepared in conformity with United States Generally
Accepted Accounting Principles and comply with the Companies
(Guernsey) Law, 2008. The
functional and reporting currency of the Company is US Dollars.
As further described in the Directors’ Report, these Audited
Financial Statements have been prepared using the going concern
basis of accounting.
The Company is an Investment Entity which has applied the
provisions of Accounting Standards Codification (“ASC”) 946.
The following are the significant accounting policies adopted by
the Company:
Valuation of investments
The Company records its investment in the Master Fund at fair
value. Fair value is determined as the Company’s proportionate
share of the Master Fund’s capital, which approximates fair value.
At 31 December 2019, the Company is
the sole investor in the Master Fund’s ordinary US Dollar and
Sterling Class B shares as disclosed below. Within the table below,
the investment in each share class in the Master Fund is included,
with the overall total investment shown in the Audited Statement of
Assets and Liabilities.
|
Percentage of |
NAV per Share |
Shares held in the Master Fund |
Investment in Master Fund |
Investment in Master Fund |
|
|
Master
Fund's capital |
(Class
B) |
|
(Class B) |
CCY
'000 |
US$'000 |
31
December 2019 |
|
|
|
|
|
|
|
|
|
US Dollar |
2.17% |
$3,635.03 |
18,082 |
$65,734 |
65,734 |
Sterling |
16.27% |
£3,674.06 |
101,291 |
£372,147 |
492,872 |
|
|
|
|
|
|
|
|
|
558,606 |
31
December 2018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
US Dollar |
2.69% |
$3,234.22 |
20,315 |
$65,704 |
65,704 |
Sterling |
17.81% |
£3,321.41 |
102,785 |
£341,390 |
434,863 |
|
|
|
|
|
|
|
|
|
500,567 |
ASC Topic 820 defines fair value as the price that the Company
would receive upon selling a security in an orderly transaction to
an independent buyer in the principal or most advantageous market
of the security.
The valuation and classification of securities held by the
Master Fund is discussed in the notes to the Master Fund’s Audited
Financial Statements which are available on the Company’s website,
www.bhmacro.com.
Income and expenses
The Company records monthly its proportionate share of the Master
Fund’s income, expenses and realised and unrealised gains and
losses. In addition, the Company accrues its own income and
expenses.
Use of estimates
The preparation of Financial Statements in conformity with United
States Generally Accepted Accounting Principles requires management
to make estimates and assumptions that affect the reported amounts
of assets and liabilities and disclosure of contingent assets and
liabilities at the date of those Financial Statements and the
reported amounts of increases and decreases in net assets from
operations during the reporting period. Actual results could differ
from those estimates.
Leverage
The Manager has discretion, subject to the prior approval of a
majority of the independent Directors, to employ leverage for and
on behalf of the Company by way of borrowings to effect share
purchases or share buy-backs, to satisfy working capital
requirements and to finance further investments in the Master
Fund.
The Company may borrow up to 20% of its NAV, calculated as at
the time of borrowing. Additional borrowing over 20% of NAV may
only occur if approved by an ordinary resolution of the
Shareholders.
Foreign exchange
Investment securities and other assets and liabilities of the
Sterling share class are translated
into US Dollars, the Company’s reporting currency, using exchange
rates at the reporting date. Transactions reported in the Audited
Statement of Operations are translated into US Dollar amounts at
the date of such transactions. The share capital and other capital
reserve accounts are translated at the historic rate ruling at the
date of the transaction. Exchange differences arising on
translation are included in the Audited Statement of Operations.
This adjustment has no effect on the value of net assets allocated
to the individual share classes.
Cash and bank balances
Cash and bank balances comprise 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 the purchases by the Company of
its share capital.
New Accounting Pronouncements
In August 2018, the Financial
Accounting Standards Board (“FASB”) issued Accounting Standards
Update (“ASU”) No. 2018-13, Fair Value Measurements (Topic 820):
Changes to the Disclosure Requirements for Fair Value Measurements.
ASU 2018-13 eliminates the requirement to disclose (i) transfers
between level 1 and level 2 of the fair value hierarchy, (ii) the
policy for timing of transfers between levels, (iii) valuation
processes and (iv) for non public entities, changes in unrealised
gains/losses for the year included in earnings for recurring Level
3 fair value measurements. The ASU also modifies existing
disclosure requirements for the roll forward of Level 3 fair value
measurements as well as disclosures of the timing of liquidating
distributions from portfolio investments. The amendments are
effective for annual periods beginning after 15 December 2019 and early adoption is permitted.
The Master Fund has not early adopted ASU 2018-13 for the Audited
Financial Statements as of 31 December
2019. The Company anticipates that the adoption of ASU
2018-13 for the year ended 31 December
2020 will not have a material impact on the financial
statements.
In November 2016, the FASB issued
ASU 2016-18, Statement of Cash Flows (Topic 230) – Restricted Cash,
which requires the Statement of Cash Flows to explain the change
during the year in the total of cash, cash equivalents and amounts
generally described as restricted cash or restricted cash
equivalents. Therefore amounts generally described as restricted
cash or restricted cash equivalents should be included with cash
and cash equivalents when reconciling the beginning of the year and
end of the year total amounts shown in the Audited Statement of
Cash Flows. The Company adopted ASU 2016-18 on a retrospective
basis as of 1 January 2019, but the
pronouncement has not materially affected the financial statements,
due to the Company holding no restricted cash.
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 management fee charged is 1/12 of 0.5%
per month of the NAV. 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 in
excess of its level on 1 April 2017,
as if the Company’s 2017 tender offer had completed on that date,
resulting from performance or any own share purchases or
redemptions. The Company’s investment in the Master Fund also does
not bear an operational services fee in respect of performance
related growth in its investment in the Master Fund.
During the year ended 31 December
2019, US$2,281,263
(31 December 2018: US$2,354,588) was earned by the Manager as net
management fees. At 31 December 2019,
US$394,432 (31 December 2018:
US$203,414) of the fee remained
outstanding.
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 year
ended 31 December 2019, US$10,196,480 (31 December
2018: US$5,903,616) was earned
by the Manager as performance fees. At 31
December 2019, US$10,504,617
(31 December 2018: US$5,683,990) 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 3 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 3 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 3 months’ notice of termination is
given.
The notice period for termination of the Management Agreement
without cause by both the Company and the Manager was reduced from
24 months to 3 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 2018: £6,000) for certain additional administration
services. The Administrator is entitled to be reimbursed for
out-of-pocket expenses incurred in the course of carrying out its
duties as Administrator. During the year ended 31 December 2019, US$94,049 (31 December
2018: US$94,382) was earned by
the Administrator as administration fees. The amounts outstanding
are disclosed on the Audited Statement of Assets and
Liabilities.
5. Share capital
Issued and authorised share capital
The Company has the power to issue an unlimited number of ordinary
shares with no par value and an unlimited number of shares with a
par value. Shares may be divided into at least two classes
denominated in US Dollar and Sterling.
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
year ended 31 December 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
US Dollar
shares |
|
Sterling
shares |
Number
of ordinary shares |
|
|
|
|
|
|
|
|
In issue at 1
January 2019 |
|
|
|
|
|
|
2,664,541 |
|
14,136,242 |
Share
conversions |
|
|
|
|
|
(222,484) |
|
173,798 |
In
issue at 31 December 2019 |
|
|
|
|
|
2,442,057 |
|
14,310,040 |
|
|
|
|
|
|
|
|
|
|
Number
of treasury shares |
|
|
|
|
|
|
|
|
In issue at 1 January
2019 and 31 December 2019 |
|
|
|
|
331,228 |
|
1,450,652 |
Percentage of class |
|
|
|
|
|
11.94% |
|
9.20% |
For the
year ended to 31 December 2018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
US Dollar
shares |
|
Sterling
shares |
Number
of ordinary shares |
|
|
|
|
|
|
|
|
In
issue at 1 January 2018 |
|
|
|
|
|
2,782,034 |
|
14,046,048 |
Share
conversions |
|
|
|
|
|
(117,493) |
|
90,194 |
In
issue at 31 December 2018 |
|
|
|
|
|
2,664,541 |
|
14,136,242 |
|
|
|
|
|
|
|
|
|
|
Number of treasury
shares |
|
|
|
|
|
|
|
|
|
In
issue at 1 January 2018 and 31 December 2018 |
|
|
|
331,228 |
|
1,450,652 |
Percentage of class |
|
|
|
|
|
11.06% |
|
9.31% |
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 20 June 2019, the Directors have
the power to issue further shares totalling 867,004 US Dollar shares and 5,068,228
Sterling shares, respectively and, as
described in the Company’s announcement on 4
June 2019, shall limit the use of authority in respect of
the Sterling shares to 4,727,417
Sterling shares. This power expires
fifteen months after the passing of the resolution or on the
conclusion of the next Annual General Meeting of the Company,
whichever is earlier, unless such power is varied, revoked or
renewed prior to that Meeting by a resolution of the Company in
general meeting.
Distributions
The Master Fund has not previously paid dividends to its investors.
This does not prevent the Directors of the Company from declaring a
dividend at any time in the future if the Directors consider
payment of a dividend to be appropriate in the circumstances. If
the Directors declare a dividend, such dividend will be paid on a
per class basis.
As announced on 15 January 2014,
the Company intends to be operated in such a manner to ensure that
its shares are not categorised as non-mainstream pooled
investments. This may mean that the Company may pay dividends in
respect of any income that it receives or is deemed to receive for
UK tax purposes so that it would qualify as an investment trust if
it were UK tax-resident.
Further, the Company will first apply any such income in payment
of its management and performance fees.
Treasury shares are not entitled to distributions.
Share conversion scheme
The Company has implemented a share conversion scheme. The scheme
provides Shareholders with the ability to convert some or all of
their ordinary shares in the Company of one class into ordinary
shares of the other class. Shareholders are able to convert
ordinary shares on the last business day of every month. Each
conversion will be based on the NAV (note 7) of the shares of the
class to be converted.
6. Taxation
Overview
The Company is exempt from taxation in Guernsey under the provisions of the Income
Tax (Exempt Bodies) (Guernsey)
Ordinance 1989.
Uncertain tax positions
The Company recognises the tax benefits of uncertain tax positions
only where the position is more-likely-than- not (i.e. greater than
50%), to be sustained assuming examination by a tax authority based
on the technical merits of the position. In evaluating whether a
tax position has met the recognition threshold, the Company must
presume that the position will be examined by the appropriate
taxing authority that has full knowledge of all relevant
information. A tax position that meets the more-likely-than-not
recognition threshold is measured to determine the amount of
benefit to recognise in the Company’s Audited Financial Statements.
Income tax and related interest and penalties would be recognised
by the Company as tax expense in the Audited Statement of
Operations if the tax positions were deemed not to meet the
more-likely-than-not threshold.
The Company analyses all open tax years for all major taxing
jurisdictions. Open tax years are those that are open for
examination by taxing authorities, as defined by the Statute of
Limitations in each jurisdiction. The Company identifies its major
tax jurisdictions as: Guernsey;
the Cayman Islands; and foreign
jurisdictions where the Company makes significant investments. The
Company has no examinations by tax authorities in progress.
The Directors have analysed the Company’s tax positions, and
have concluded that no liability for unrecognised tax benefits
should be recorded related to uncertain tax positions. Further, the
Directors are not aware of any tax positions for which it is
reasonably possible that the total amounts of unrecognised tax
benefits will significantly change in the next twelve months.
7. Publication and calculation of Net Asset Value
(“NAV”)
The NAV of the Company is equal to the value of its total assets
less its total liabilities. The NAV per share of each class will be
calculated by dividing the NAV of the relevant class account by the
number of shares of the relevant class in issue on that day.
The Company publishes the NAV per share for each class of shares
as calculated by the Administrator based in part on information
provided by the Master Fund, monthly in arrears, as at each
month-end.
The Company also publishes an estimate of the NAV per share for
each class of shares as calculated by the Administrator based in
part on information provided by the Master Fund, weekly in
arrears.
8. Discount management programme
The Company has previously implemented a number of methods in
order to seek to manage any discount to NAV at which the Company’s
shares trade.
Market purchases
Until October 2016, the Company
regularly utilised its ability to make market purchases of its
shares as part of the discount management programme. The purchase
of these shares was funded by the Company redeeming underlying
shares in the Master Fund. The number of shares held in treasury as
at 31 December 2019 is disclosed in
note 5.
However, following the completion of the Tender Offer in
April 2017, the Company was not
permitted to redeem its investment in the Master Fund to finance
own-share purchases before 1 April
2019. For much of the period since that date, the Company’s
shares have traded at a premium or minimal discount to NAV.
However, if the Company’s shares were again to trade at wide or
volatile discounts to NAV in the future, it would be the Board’s
intention to consider resuming market purchases of shares.
Annual offer of partial return of capital
Under the Company’s Articles of Incorporation, once in every
calendar year the Directors have 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 have 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 the annual partial capital return
provisions were disapplied but have now been reinstated for the
year ended 31 December 2019.
Class closure resolutions
If in the year from 1 January 2019 to
31 December 2019, any class of shares
had traded at an average discount at or in excess of 8% of the
monthly NAV (prior to 1 January 2018,
a threshold of 10% applied in respect of the Company’s class
closure provisions), the Company would have held a class closure
vote of the relevant class. The average premiums to NAV for the
Sterling and US Dollar shares for the
year were 0.44% and 1.15% respectively and consequently no closure
vote will be held in 2020.
The Company’s class closure provisions set out in the Articles
of Incorporation have now been reinstated in respect of the twelve
month period ended on 31 December
2019 and thereafter.
The arrangements are described more fully in the Company’s
principal documents which were approved at the EGM on 24 February 2017.
9. Financial highlights
The following tables include selected data for a single ordinary
share of each of the ordinary share classes in issue at
31 December 2019 and other
performance information derived from the Financial Statements.
The per share amounts and ratios which are shown reflect the
income and expenses of the Company for each class of ordinary
share.
|
|
|
|
|
|
|
31.12.19 |
|
31.12.19 |
|
|
|
|
|
|
|
US Dollar
shares |
|
Sterling
shares |
|
|
|
|
|
|
|
US$ |
|
£ |
Per
share operating performance |
|
|
|
|
|
|
|
|
Net
asset value at beginning of the year |
|
|
|
|
|
24.67 |
|
24.13 |
|
|
|
|
|
|
|
|
|
|
Income
from investment operations |
|
|
|
|
|
|
|
|
Net investment
loss* |
|
|
|
|
|
|
(0.94) |
|
(0.89) |
Net
realised and unrealised gain on investment |
|
|
|
3.32 |
|
2.81 |
Other
capital items** |
|
|
|
|
|
(0.06) |
|
0.01 |
Total
gain |
|
|
|
|
|
2.32 |
|
1.93 |
|
|
|
|
|
|
|
|
|
|
Net
asset value, end of the year |
|
|
|
|
|
26.99 |
|
26.06 |
|
|
|
|
|
|
|
|
|
|
Total gain
before performance fees |
|
|
|
|
|
11.69% |
|
9.97% |
Performance fees |
|
|
|
|
|
(2.31%) |
|
(1.99%) |
Total
gain after performance fees |
|
|
|
|
|
9.38% |
|
7.98% |
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 2019 to 31
December 2019. An individual Shareholder’s return may vary
from these returns based on the timing of their purchase or sale of
shares.
|
|
|
|
|
|
|
31.12.19 |
|
31.12.19 |
|
|
|
|
|
|
|
US Dollar
shares |
|
Sterling
shares |
|
|
|
|
|
|
|
US$'000 |
|
£'000 |
Supplemental data |
|
|
|
|
|
|
|
|
Net
asset value, end of the year |
|
|
|
|
|
65,907 |
|
372,893 |
Average
net asset value for the year |
|
|
|
|
|
66,034 |
|
362,275 |
|
|
|
|
|
|
|
31.12.19 |
|
31.12.19 |
|
|
|
|
|
|
|
US Dollar
shares |
|
Sterling
shares |
Ratio
to average net assets |
|
|
|
|
|
|
|
|
Operating
expenses |
|
|
|
|
|
|
|
|
|
Company
expenses*** |
|
|
|
|
|
0.61% |
|
0.59% |
|
Master Fund
expenses**** |
|
|
|
|
|
1.71% |
|
1.73% |
|
Master
Fund interest expenses***** |
|
|
|
3.43% |
|
3.49% |
Performance fees |
|
|
|
|
|
2.18% |
|
1.89% |
|
|
|
|
|
|
|
7.93% |
|
7.70% |
|
|
|
|
|
|
|
|
|
|
Net
investment loss before performance fees* |
|
|
|
(1.43%) |
|
(1.59%) |
|
|
|
|
|
|
|
|
|
|
Net
investment loss after performance fees* |
|
|
|
(3.61%) |
|
(3.48%) |
|
|
|
|
|
|
|
31.12.18 |
|
31.12.18 |
|
|
|
|
|
|
|
US Dollar
shares |
|
Sterling
shares |
|
|
|
|
|
|
|
US$ |
|
£ |
Per
share operating performance |
|
|
|
|
|
|
|
|
Net
asset value at beginning of the year |
|
|
|
|
|
21.62 |
|
21.47 |
|
|
|
|
|
|
|
|
|
|
Income
from investment operations |
|
|
|
|
|
|
|
|
Net
investment loss* |
|
|
|
|
|
(0.63) |
|
(0.66) |
Net
realised and unrealised gain on investment |
|
|
|
3.75 |
|
3.31 |
Other
capital items** |
|
|
|
|
|
(0.07) |
|
0.01 |
Total
gain |
|
|
|
|
|
3.05 |
|
2.66 |
|
|
|
|
|
|
|
|
|
|
Net
asset value, end of the year |
|
|
|
|
|
24.67 |
|
24.13 |
|
|
|
|
|
|
|
|
|
|
Total gain
before performance fees |
|
|
|
|
|
15.32% |
|
13.73% |
Performance fees |
|
|
|
|
|
(1.16%) |
|
(1.30%) |
Total
gain after performance fees |
|
|
|
|
|
14.16% |
|
12.43% |
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 2018 to 31
December 2018. An individual Shareholder’s return may vary
from these returns based on the timing of their purchase or sale of
shares.
|
|
|
|
|
|
|
31.12.18 |
|
31.12.18 |
|
|
|
|
|
|
|
US Dollar
shares |
|
Sterling
shares |
|
|
|
|
|
|
|
US$'000 |
|
£'000 |
Supplemental data |
|
|
|
|
|
|
|
|
Net
asset value, end of the year |
|
|
|
|
|
65,745 |
|
341,151 |
Average
net asset value for the year |
|
|
|
|
|
63,940 |
|
325,195 |
|
|
|
|
|
|
|
31.12.18 |
|
31.12.18 |
|
|
|
|
|
|
|
US Dollar
shares |
|
Sterling
shares |
Ratio
to average net assets |
|
|
|
|
|
|
|
|
Operating
expenses |
|
|
|
|
|
|
|
|
|
Company
expenses*** |
|
|
|
|
|
0.62% |
|
0.65% |
|
Master Fund
expenses**** |
|
|
|
|
|
1.62% |
|
1.64% |
|
Master
Fund interest expenses***** |
|
|
|
1.15% |
|
1.14% |
Performance fees |
|
|
|
|
|
1.06% |
|
1.21% |
|
|
|
|
|
|
|
4.45% |
|
4.64% |
|
|
|
|
|
|
|
|
|
|
Net
investment loss before performance fees* |
|
|
|
(1.62%) |
|
(1.63%) |
|
|
|
|
|
|
|
|
|
|
Net
investment loss after performance fees* |
|
|
|
(2.68%) |
|
(2.84%) |
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 year as compared to the NAV per share at the beginning of
the year.
*** Company
expenses are as disclosed in the Audited Statement of Operations
excluding the performance fee and foreign exchange
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 expenses include
interest and dividend expenses on investments sold short.
10.
Related party transactions
Parties are considered to be related if one party has the
ability to control the other party or exercise significant
influence over the party in making financial or operational
decisions.
Management and performance fees are disclosed in note 4.
The Company’s Articles limit the fees payable to Directors in
aggregate to £400,000 per annum. Until 19
June 2019, the annual fees were £65,000 for Huw Evans, the Chairman, £47,500 for
John Le Poidevin, the Chair of the
Audit Committee, £45,000 for Claire
Whittet, the Chair of the Management Engagement Committee,
£45,000 for Colin Maltby as Senior
Independent Director and £40,000 for all other Directors.
Between 20 June 2019 and
30 September 2019, annual fees
remained the same as above, except for Colin Maltby, who was paid at a rate of £65,000
per annum after succeeding Huw Evans
as Chairman and £47,500 per annum for Claire Whittet, who was appointed Senior
Independent Director.
From 1 October 2019, the annual
Director’s fees were £70,000 for Colin
Maltby, the Chairman, £55,000 for John Le Poidevin, the Chair of the Audit
Committee, £50,000 for Claire
Whittet, as Chair of the Management Engagement Committee and
the Senior Independent Director and £45,000 for all other
Directors.On 22 January 2019,
John Le Poidevin purchased 3,222
Sterling Class Shares.
On 26 March 2019, Colin Maltby purchased 500 US Dollar Class Shares and 3,000 Sterling
Class Shares.
11.
Subsequent events
The Directors have evaluated subsequent events up to
24 March 2020, which is the date that
the Audited Financial Statements were available to be issued, and
have concluded there are no further items that require disclosure
or adjustment to the Audited Financial Statements, other than those
listed below.
Since the start of January 2020,
the outbreak of coronavirus, which is a rapidly evolving situation,
has adversely impacted global commercial activities. The rapid
development and fluidity of this situation precludes any prediction
as its ultimate impact, which may have a continued adverse impact
on economic and market conditions and trigger a period of global
economic slowdown. The Directors do not believe there is any
financial impact to the Financial Statements as at 31 December 2019 as a result of this subsequent
event.
The Manager is monitoring developments relating to coronavirus
and is coordinating its operational response based on existing
business continuity plans and on guidance from global health
organisations, relevant governments, and general pandemic response
best practices.
On 20 February 2020, 25,000
Sterling Class Shares were sold from Treasury for 2,621.4 pence per share.
On 12 March 2020, 125,000 Sterling
Class Shares were sold from Treasury for 2,943.0 pence per share.
Historic Performance Summary
As at 31 December 2019
|
|
31.12.19 |
31.12.18 |
31.12.17 |
31.12.16 |
31.12.15 |
|
|
US$'000 |
US$'000 |
US$'000 |
US$'000 |
US$'000 |
Net
increase/(decrease) in net assets |
|
|
|
|
|
|
resulting from operations |
59,462 |
34,985 |
4,725 |
(150,245) |
(91,220) |
Total
assets |
570,779 |
506,307 |
465,787 |
866,740 |
1,499,648 |
Total
liabilities |
(11,014) |
(6,004) |
(469) |
(1,897) |
(4,755) |
Net assets |
|
559,765 |
500,303 |
465,318 |
864,843 |
1,494,893 |
|
|
|
|
|
|
|
Number
of shares in issue |
|
|
|
|
|
US Dollar shares |
|
2,442,057 |
2,664,541 |
2,782,034 |
9,975,524 |
17,202,974 |
Euro
shares |
- |
- |
- |
1,514,872 |
4,163,208 |
Sterling shares |
|
14,310,040 |
14,136,242 |
14,046,048 |
22,371,669 |
33,427,871 |
|
|
|
|
|
|
|
Net
asset value per share |
|
|
|
|
|
US Dollar shares |
|
US$26.99 |
US$24.67 |
US$21.62 |
US$21.68 |
US$20.33 |
Euro
shares |
- |
- |
- |
€21.87 |
€20.56 |
Sterling shares |
|
£26.06 |
£24.13 |
£21.47 |
£22.44 |
£21.21 |
Affirmation of the Commodity Pool Operator
31 December 2019
To the best of my knowledge and belief, the information detailed
in this Annual Report and these Audited Financial Statements is
accurate and complete.
By:
Name: Reamonn O’Sullivan
Title: Head of Compliance and Authorised Signatory
Brevan Howard Capital Management Limited as general partner of
Brevan Howard Capital Management LP, the manager and commodity pool
operator of BH Macro Limited
24 March 2020
Glossary of Terms and Alternative
Performance Measures
Alternative Performance Measures (“APMS”)
We assess our performance using a variety of measures that are not
specifically defined under US GAAP and therefore termed APMs. The
APMs that we use may not be directly comparable with those used by
other companies.
Average Premium/Discount to NAV
The average premium/discount to NAV of the whole year is calculated
for each share class by using the following formula:
(A-B)
------------
B
Where:
- ‘A’ is the average closing market price of a share of the share
class as derived from the trading price on the London Stock
Exchange, calculated as the sum of all the closing market prices
per share of that class as at each London Stock Exchange trading
day during a calendar year, divided by the number of such trading
days in such period; and
- ‘B’ is the average Net Asset Value per share of the shares of
the share class taken over the 12 NAV Calculation Dates in a
calendar year calculated as the sum of the final Net Asset Value of
the share class as at each NAV Calculation Date during a calendar
year, divided by 12.
Discount/Premium
If the share price of an investment is lower than the NAV per
share, the shares are said to be trading at a discount. The size of
the discount is calculated by subtracting the share price from the
NAV per share and is usually expressed as a percentage of the NAV
per share. If the share price is higher than the NAV per share, the
shares are said to be trading at a premium. The Board monitors the
level of discount or premium and consideration is given to ways in
which share price performance may be enhanced, including the
effectiveness of marketing and share buy-backs, where appropriate.
The premium/discount is shown below.
|
|
|
|
|
US
Dollar Shares |
Sterling Shares |
|
|
|
|
|
31.12.19 |
31.12.18 |
31.12.19 |
31.12.18 |
Share
Price at Year End (A) |
|
|
$27.40 |
$24.60 |
£26.10 |
£23.65 |
NAV per
Share (B) |
|
|
|
$26.99 |
$24.67 |
£26.06 |
£24.13 |
Premium/(Discount) to NAV (A-B)/B |
|
|
1.52% |
-0.28% |
0.15% |
-1.99% |
Ongoing Charges
The ongoing charges represent the Company’s management fee and all
other operating expenses, excluding finance costs, performance
fees, share issue or buyback costs and non-recurring legal and
professional fees, expressed as a percentage of the average of the
daily net assets during the year. The Board continues to be
conscious of expenses and works hard to maintain a sensible balance
between good quality service and cost. The ongoing charges
calculation is shown below:
|
|
|
|
US
Dollar Shares |
Sterling Shares |
|
|
|
|
Year
ended |
Year
ended |
|
|
|
|
31.12.19 |
31.12.18 |
31.12.19 |
31.12.18 |
Average
NAV for the year (a) |
|
$66,033,640 |
$63,939,510 |
£362,275,318 |
£325,195,194 |
|
|
|
|
|
|
|
|
Investment
management fee |
|
$277,326 |
$300,188 |
£1,566,321 |
£1,545,243 |
Other
Company expenses |
|
|
$124,616 |
$97,538 |
£552,410 |
£556,953 |
Total
Company Expenses |
|
|
$401,942 |
$397,726 |
£2,118,731 |
£2,102,196 |
|
|
|
|
|
|
|
|
Expenses
allocated from the Master Fund |
$398,891 |
$409,159 |
£2,356,180 |
£2,088,573 |
|
|
|
|
|
|
|
|
Performance Fee |
|
|
$1,437,594 |
$679,789 |
£6,846,136 |
£3,928,561 |
|
|
|
|
|
|
|
|
Total
Expenses (b) |
|
|
$2,238,427 |
$1,486,674 |
£11,321,047 |
£8,119,330 |
|
|
|
|
|
|
|
|
Ongoing
Charges b/a |
|
|
3.40% |
2.32% |
3.13% |
2.49% |
Net Asset Value (“NAV”)
The NAV is the net assets attributable to shareholders that is,
total assets less total liabilities, expressed as an amount per
individual share.
Return per Share
Return per share is calculated using the net return on ordinary
activities after finance costs and taxation (US$5,791,771 and £27,463,793) divided by the
weighted average number of shares in issue for the year ended
31 December 2019 (2,442,057 US Dollar shares and 14,310,040
Sterling shares). The Directors also
regard return per share to be a key indicator of performance. The
return per share is shown in the Strategic Report.
Company Information
Directors
Colin Maltby (Chairman, from
20 June 2019)
Huw Evans (Chairman and Director,
until his retirement on 20 June
2019)
Bronwyn Curtis (appointed
1 January 2020)
Richard Horlick (appointed
1 May 2019)
John Le Poidevin
Claire Whittet
(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