RNS Number:1281K
Caliber Global Investment Ltd
18 December 2007
PART 1
Caliber Global Investment Limited ("Caliber" or the "Company")
Preliminary Results for the Year Ended September 30, 2007
* EGM resolution of August 30, 2007, results in unrealised accumulated
losses being taken to the income statement. Net loss for full year to
September 30, 2007 of $228m (2006: $22m net profit)
* Loss per share of $9.29 for the year (2006: EPS $1.18)
* No dividend can be paid for the quarter ending September 30, 2007;
aggregate dividends for the year are $0.25 (2006: $1.10)
* Company only NAV* of $1.29 as at September 30, 2007 (2006: $9.69)
* Reflecting further market uncertainty since the period end, Company only
NAV (unaudited) as at October 31, 2007 is $1.03
* Financing facilities have been restructured stabilising the portfolio
* If severe market disruption continues during the first half of 2008, it
may not be possible to realise the potential value of the portfolio in the
time frame envisaged originally, as Caliber believes that liquidation of the
assets in the current environment would not be in the best interests of
shareholders
*Previously referred to in RNS's as the "adjusted NAV", this figure excludes
those non-recourse special purpose vehicles which contributed negative net
assets to the consolidated NAV.
Haruko Fukuda OBE, Chairman of Caliber, commented:
"This is our third annual report and accounts for Caliber Global Investment
Limited ("Caliber" or "Company").
Caliber has faced considerable challenges throughout 2007 with the turmoil of
the US sub prime markets during the first half of 2007 and the subsequent
disruption in liquidity markets globally.
As the US RMBS market began to destabilise, your Board, with the Investment
Manager, challenged the basic investment thesis of the Company and the
investment restrictions (including asset class, funding and regulatory) under
which it operated and considered anew how best to maximise value for
shareholders. This culminated in a broad ranging strategic review which included
a period of consultation with major shareholders. Following the review your
Board announced that it had concluded that the Company should pursue an orderly
return of capital to investors to maximise value for shareholders. In proposing
this new strategy, the Board recognised that there was insufficient demand for
investment companies exposed to the asset class in which the Company invests. At
the Extraordinary General Meeting ("EGM") on August 30, 2007, shareholders
approved the Company's new investment objective and an orderly return of capital
to shareholders over the period to August 30, 2008.
Implementation of this new strategy to date has been severely hampered by the
continued deterioration in market conditions. The first priority, therefore, has
been to preserve the Company's ability to realise capital for shareholders from
the portfolio, if and when improved liquidity returns to the market. This has
been achieved by restructuring the funding facilities and conserving cash.
The Company's new investment objective has implications for the way in which we
must present our financial statements. In particular, all unrealised losses in
the portfolio have to be reflected in the income statement since Caliber is now,
in theory, unable to hold many of the securities (which have an expected average
life of 3 years) in its portfolio to maturity when they should repay in full. We
are therefore reporting a net loss for the year ended September 30, 2007 of
approximately $228 million or $9.29 per share. It should be noted that the
markets in which Caliber is invested are currently significantly less active
than normal, raising concerns over the validity and accuracy of broker marks and
in such circumstances International Financial Reporting Standards can require
appropriate valuation models to be used. The Board and the Investment Manager
have determined that given scarcity of observable market data on which model
pricing would have to be based, the most appropriate estimate of fair value
remains those of primary broker quotes for Caliber's investments.
Caliber paid a dividend of $0.25 per share in the quarter ended December 31,
2006. However, as Caliber's policy was to pay dividends solely out of
distributable earnings and as the Company has reported a loss in each of the
subsequent two quarters no further dividends have been paid. Furthermore, given
the loss in the final quarter, the Board is not recommending the payment of an
interim dividend for the quarter ended September 30, 2007. Aggregate dividends
for the year were therefore $0.25.
Market conditions
The last 12 months have witnessed a period of unprecedented turmoil in credit
markets. Problems that began in the US sub prime residential mortgage market
have spread more broadly across global credit markets. Global liquidity has very
significantly reduced in recent months. This has been evidenced by the
disruption to asset backed commercial paper markets, difficulties experienced by
many operating in the financial sector and by frequent central bank
intervention.
What appeared to be an unprecedented scale of price dislocation within the US
sub prime market during the first half of 2007 has continued in recent months
with the ABX 2006-2 BBB- index falling by 41 points, or 67%, between July 1,
2007 and December 7, 2007. Over the past five months the rate of deterioration
in credit performance has accelerated with resetting adjustable-rate mortgages
driving up the frequency of borrower delinquency, the contraction in mortgage
credit substantially reducing refinancing opportunities for borrowers, and
declines in nationwide home prices making it harder, and more costly, to
liquidate foreclosed properties. This has led to further negative market
sentiment and price deterioration since September 30, 2007.
Response to market conditions
Caliber has taken significant steps to respond to the difficulties in credit
markets. Despite avoiding securities with more pronounced credit problems (for
example, later 2006 US RMBS securities) the market disruption that occurred in
2007 was considerably greater than the market had expected and it had a material
impact on our entire portfolio.
Caliber responded to the increasing disruption in the markets during July
through September with a series of measures to restructure its committed funding
facilities. One of the strengths of Caliber has always been a secured
diversified source of committed long term non-recourse funding. Importantly this
has provided us with a stable long-term financing platform. During the quarter
ended September 30, 2007, Caliber faced the real risk that it would be required
to provide additional cash collateralisation in respect of funding facilities as
a consequence of either a rating agency downgrade or a further price fall in
securities.
During September, Caliber terminated its interest in Amber Funding Limited ("
Amber"), one of four special purpose vehicles that have held Caliber's
investments. This termination was a further factor behind the decrease in the
investment portfolio in the last quarter (securities with an aggregate market
value of $112 million on September 13, 2007 were derecognised together with $138
million of third party funding). Caliber's securities are therefore now held in
three remaining funding facilities and on the Company's balance sheet. Two of
the three funding facilities (Assabet and Tormes) currently contribute
negatively to the consolidated financial position of the Company. The
non-consolidated balance sheet of the Company is now materially different to the
consolidated balance sheet as it disregards its investments in Assabet and
Tormes. In accordance with the requirements under International Financial
Reporting Standards a separate set of accounts for the Company only on a
non-consolidated basis is provided.
Investment Strategy
With effect from its approval by shareholders on August 30, 2007 the Company's
new investment objective is to manage the sale of the Company's investment
portfolio and maximize the return of invested capital to shareholders during the
12 months ending on August 30, 2008. In particular, in identifying investments
for sale, the Investment Manager is seeking to preserve diversification of the
portfolio as fully as possible, whilst recognising that as investments are sold
the portfolio will become less diversified. Additionally, new investments will
only be made where the Investment Manager considers that it is necessary to
facilitate achievement of the investment objective, for funding-related reasons,
or, for the purposes of efficient portfolio management.
During the last year, our portfolio of securities has been impacted severely by
the market disruption. The Caliber portfolio has fallen from investment in 274
individual securities with a market value of just over $1 billion to 187
securities with a market value of $393 million. There was a net reduction of 87
securities during the year as a result of asset sales and the termination of the
Company's interest in the Amber funding facility.
Outlook
We recognise that the credit performance has deteriorated materially over the
last year. We also consider that market pricing is influenced as much, if not
more so, by forced selling and a lack of liquidity as it is by the credit
fundamentals. During early 2008, we should begin to see some evidence of how the
2005 vintage US RMBS (72% of the US RMBS portfolio and 39% of the overall
portfolio) are performing as they approach their step-down dates when we
anticipate the group should receive cash. The majority of these cash flows will
be used to continue to repay the third party borrowings in the Assabet and
Tormes funding facilities.
The Company only Net Asset Value ("NAV") per share of $1.29 as at September 30,
2007 ($9.69 September 30, 2006) reflects the distressed nature of the market in
which Caliber invests. The measures taken on the funding side to mitigate market
risk, wherever practical, should give Caliber the ability to realise the value
in the portfolio as planned.
At the EGM in August, we set a time period of twelve months to August 30, 2008
as the period during which we would return capital to shareholders. However, if
market conditions do not improve materially in the first half of 2008 it may not
be possible to realise the potential value in the portfolio in the envisaged
timeframe. Caliber may, therefore, conclude that the best option will be to
extend the timing of the return of capital, in which case shareholders would be
informed."
For further information please contact:
Investor Relations:
Cambridge Place Investment Management LLP
+44 (0) 20 7938 5713
Media:
Financial Dynamics
Ed Gascoigne-Pees
+44 (0) 20 7269 7132
About Caliber
Caliber is a Guernsey-incorporated investment company listed on the London Stock
Exchange (CLBR). The investment objective of the Company is to manage the sale
of the Company's investment portfolio and to maximise the return of invested
capital to shareholders during the 12 months ending on August 30, 2008.
Caliber's investment manager is Cambridge Place Investment Management LLP.
www.caliberglobal.com
Chairman's statement
This is our third annual report and accounts for Caliber Global Investment
Limited ("Caliber" or "Company").
Caliber has faced considerable challenges throughout 2007 with the turmoil of
the US sub prime markets during the first half of 2007 and the subsequent
disruption in liquidity markets globally.
As the US RMBS market began to destabilise, your Board, with the Investment
Manager, challenged the basic investment thesis of the Company and the
investment restrictions (including asset class, funding and regulatory) under
which it operated and considered anew how best to maximise value for
shareholders. This culminated in a broad ranging strategic review which included
a period of consultation with major shareholders. Following the review your
Board announced that it had concluded that the Company should pursue an orderly
return of capital to investors to maximise value for shareholders. In proposing
this new strategy, the Board recognised that there was insufficient demand for
investment companies exposed to the asset class in which the Company invests. At
the Extraordinary General Meeting ("EGM") on August 30, 2007, shareholders
approved the Company's new investment objective and an orderly return of capital
to shareholders over the period to August 30, 2008.
Implementation of this new strategy to date has been severely hampered by the
continued deterioration in market conditions. The first priority, therefore, has
been to preserve the Company's ability to realise capital for shareholders from
the portfolio, if and when improved liquidity returns to the market. This has
been achieved by restructuring the funding facilities and conserving cash.
The Company's new investment objective has implications for the way in which we
must present our financial statements. In particular, all unrealised losses in
the portfolio have to be reflected in the income statement since Caliber is now,
in theory, unable to hold many of the securities (which have an expected average
life of 3 years) in its portfolio to maturity when they should repay in full. We
are therefore reporting a net loss for the year ended September 30, 2007 of
approximately $228 million or $9.29 per share. It should be noted that the
markets in which Caliber is invested are currently significantly less active
than normal, raising concerns over the validity and accuracy of broker marks and
in such circumstances International Financial Reporting Standards can require
appropriate valuation models to be used. The Board and the Investment Manager
have determined that given scarcity of observable market data on which model
pricing would have to be based, the most appropriate estimate of fair value
remains those of primary broker quotes for Caliber's investments.
Caliber paid a dividend of $0.25 per share in the quarter ended December 31,
2006. However, as Caliber's policy was to pay dividends solely out of
distributable earnings and as the Company has reported a loss in each of the
subsequent two quarters no further dividends have been paid. Furthermore, given
the loss in the final quarter, the Board is not recommending the payment of an
interim dividend for the quarter ended September 30, 2007. Aggregate dividends
for the year were therefore $0.25.
Market conditions
The last 12 months have witnessed a period of unprecedented turmoil in credit
markets. Problems that began in the US sub prime residential mortgage market
have spread more broadly across global credit markets. Global liquidity has very
significantly reduced in recent months. This has been evidenced by the
disruption to asset backed commercial paper markets, difficulties experienced by
many operating in the financial sector and by frequent central bank
intervention.
What appeared to be an unprecedented scale of price dislocation within the US
sub prime market during the first half of 2007 has continued in recent months
with the ABX 2006-2 BBB- index falling by 41 points, or 67%, between July 1,
2007 and December 7, 2007. Over the past five months the rate of deterioration
in credit performance has accelerated with resetting adjustable-rate mortgages
driving up the frequency of borrower delinquency, the contraction in mortgage
credit substantially reducing refinancing opportunities for borrowers, and
declines in nationwide home prices making it harder, and more costly, to
liquidate foreclosed properties. This has led to further negative market
sentiment and price deterioration since September 30, 2007.
Response to market conditions
Caliber has taken significant steps to respond to the difficulties in credit
markets. Despite avoiding securities with more pronounced credit problems (for
example, later 2006 US RMBS securities) the market disruption that occurred in
2007 was considerably greater than the market had expected and it had a material
impact on our entire portfolio.
Caliber responded to the increasing disruption in the markets during July
through September with a series of measures to restructure its committed funding
facilities. One of the strengths of Caliber has always been a secured
diversified source of committed long term non-recourse funding. Importantly this
has provided us with a stable long-term financing platform. During the quarter
ended September 30, 2007, Caliber faced the real risk that it would be required
to provide additional cash collateralisation in respect of funding facilities as
a consequence of either a rating agency downgrade or a further price fall in
securities.
During September, Caliber terminated its interest in Amber Funding Limited
("Amber"), one of four special purpose vehicles that have held Caliber's
investments. This termination was a further factor behind the decrease in the
investment portfolio in the last quarter (securities with an aggregate market
value of $112 million on September 13, 2007 were derecognised together with $138
million of third party funding). Caliber's securities are therefore now held in
three remaining funding facilities and on the Company's balance sheet. Two of
the three funding facilities (Assabet and Tormes) currently contribute
negatively to the consolidated financial position of the Company. The
non-consolidated balance sheet of the Company is now materially different to the
consolidated balance sheet as it disregards its investments in Assabet and
Tormes. In accordance with the requirements under International Financial
Reporting Standards a separate set of accounts for the Company only on a
non-consolidated basis is provided.
Investment Strategy
With effect from its approval by shareholders on August 30, 2007 the Company's
new investment objective is to manage the sale of the Company's investment
portfolio and maximize the return of invested capital to shareholders during the
12 months ending on August 30, 2008. In particular, in identifying investments
for sale, the Investment Manager is seeking to preserve diversification of the
portfolio as fully as possible, whilst recognising that as investments are sold
the portfolio will become less diversified. Additionally, new investments will
only be made where the Investment Manager considers that it is necessary to
facilitate achievement of the investment objective, for funding-related reasons,
or, for the purposes of efficient portfolio management.
During the last year, our portfolio of securities has been impacted severely by
the market disruption. The Caliber portfolio has fallen from investment in 274
individual securities with a market value of just over $1 billion to 187
securities with a market value of $393 million. There was a net reduction of 87
securities during the year as a result of asset sales and the termination of the
Company's interest in the Amber funding facility.
Outlook
We recognise that the credit performance has deteriorated materially over the
last year. We also consider that market pricing is influenced as much, if not
more so, by forced selling and a lack of liquidity as it is by the credit
fundamentals. During early 2008, we should begin to see some evidence of how the
2005 vintage US RMBS (72% of the US RMBS portfolio and 39% of the overall
portfolio) are performing as they approach their step-down dates when we
anticipate the group should receive cash. The majority of these cash flows will
be used to continue to repay the third party borrowings in the Assabet and
Tormes funding facilities.
The Company only Net Asset Value ("NAV") per share of $1.29 as at September 30,
2007 ($9.69 September 30, 2006) reflects the distressed nature of the market in
which Caliber invests. The measures taken on the funding side to mitigate market
risk, wherever practical, should give Caliber the ability to realise the value
in the portfolio as planned.
At the EGM in August, we set a time period of twelve months to August 30, 2008
as the period during which we would return capital to shareholders. However, if
market conditions do not improve materially in the first half of 2008 it may not
be possible to realise the potential value in the portfolio in the envisaged
timeframe. Caliber may, therefore, conclude that the best option will be to
extend the timing of the return of capital, in which case shareholders would be
informed.
Annual General Meeting
The Annual General Meeting for 2007 will be held at the registered office of the
Company on February 28, 2008. Your Board looks forward to seeing you there. The
notice and form of proxy accompany the annual report.
The Board thanks Caliber shareholders for their support during this difficult
year.
Haruko Fukuda
Chairman
Investment Manager's report
Overview
The last nine months have witnessed a period of significant turmoil in credit
markets. Problems that began early in 2007 in the US sub prime residential
mortgage market have spread more broadly across global credit markets. Liquidity
has been very significantly reduced in recent months as evidenced by the
disruption of issuance in asset backed commercial paper markets, the write downs
and losses witnessed by many operating in the financial sector and by frequent
central bank intervention.
Since September 30, 2006, prices of investment grade 2006 vintage US residential
mortgage backed securities ("US RMBS"), as measured by the ABX indices have
fallen steeply. Specifically, from October 1, 2006, the ABX 2006-2 BBB- has
declined by approximately 80% to 20c on the dollar (as at December 7, 2007). The
market value of the Caliber portfolio has decreased by 52% from $824 million to
$393 million since June 30, 2007 primarily as a result of this significant
decline in global credit markets, the restructuring of Amber Funding Limited
("Amber") and asset sales to manage the cash position of the Company.
In the last six months, the failure and or liquidation of a number of funds and
structured investment vehicles ("SIVs") investing in RMBS, either directly or
through Collateralised Debt Obligations ("CDOs"), has placed unprecedented
strain on an already nervous market. Weakness in the corporate credit market has
also placed further strain on bank balance sheets. Together these factors have
contributed to a significant reduction in liquidity in the credit markets. These
markets include both the US and European ABS markets, which represented 61.4%
and 38.6% of Caliber's portfolio respectively at the year end.
Between July and September 2007, in response to the worst of the market
turbulence during the financial year, Caliber took steps to stabilise the
portfolio through a series of restructurings of its committed funding
facilities. Caliber faced the risk that it would be required to provide
additional cash collateralisation in respect of funding facilities as a
consequence of either a rating agency downgrade or a further falls in the market
value of securities.
In particular, on September 13, 2007 Caliber terminated its interest in Amber,
one of the four special purpose vehicles ("SPVs") that hold Caliber's
investments. The impact on the balance sheet from restructuring Amber was that
securities with a market value of $112.1 million and bank borrowings of $138
million were no longer consolidated. The overall positive impact on the
consolidated NAV from the restructuring was approximately $24 million ($0.98 per
share). The other three funding facilities remain in place and are discussed in
more detail below.
Net Asset Value ("NAV")
The Company only, net asset value, previously referred to in RNS's as the
adjusted net asset value, at September 30, 2007 was $1.29 (September 30, 2006:
$9.69). The Company only NAV excludes those non-recourse special purpose
vehicles which contributed negative net assets to the consolidated NAV of $0.10
as at September 30, 2007 (September 30, 2006: $9.69). The substantial decline in
Company-only NAV and consolidated NAV is unrealised but reflects falls in the
prices of the securities within the portfolio as a result of the severe market
disruption in the financial markets during the year. Given this persistent and
significant disruption in the financial markets and continuing low levels of
liquidity any NAV should not be taken as a guide to the likely disposal price
either in the current environment or in the future.
It is the Investment Manager's opinion that the consolidated NAV does not now
represent fairly the NAV of the Company. This is because the net assets of
certain funding facilities were negative as at September 30, 2007, (i.e. the
value of the securities was less than the value of the borrowings). Due to the
non-recourse nature of the funding facilities, in the Board and Investment
Manager's opinion, a more relevant NAV would therefore exclude those SPVs which
show negative net assets. The following table shows the NAV of Caliber and each
of its funding SPVs as at September 30, 2007:
Caliber Assabet Crown Woods Tormes Caliber
(Company only) (consolidated)
Assets
Investments 12.9 128.5 80.3 170.9 392.6
Investments in subsidiaries* 13.9
Other assets 8.3 48.8 6.9 10.9 74.9
Total assets ($m) 35.1 177.3 87.2 181.8 467.5
Liabilities
Third party borrowings (0.7) (178.5) (72.6) (208.2) (460.0)
Amounts owed to Caliber - (71.9) (26.1) (43.7)
Other liabilities (2.7) (1.5) (0.6) (0.3) (5.1)
Total liabilities ($m) (3.4) (251.9) (99.3) (252.2) (465.1)
Net assets ($m) 31.7 (74.6) (12.1) (70.4) 2.4
Net assets per share ($) 1.29 - - - 0.10
*This represents amounts recoverable from subsidiaries after the third party
borrowings have been repaid. Specifically, as at September 30, 2007 this amount
is recoverable from Crown Woods.
Since September 30, 2007 we have strived to conserve cash and preserve the value
of the Company and the Crown Woods SPV through selective asset sales in order to
raise capital for any margin calls on this SPV.
Consolidated Investment Portfolio
As of September 30, 2007 the investment portfolio of approximately $393 million
(September 30, 2006: $1,058 million) comprised 187 (September 30, 2006: 274)
individual investments at an average position size of $2.1 million (September
30, 2006: $3.9 million).
During the year, securities with a market value of $142 million were purchased
and securities with a market value of $580 million were sold. The net reduction
in the number of securities held was 87. These sales reflected a desire to
improve cash balances in an uncertain market environment and realise any
potential gains. No new investments were made after March 28, 2007.
Sector Profile
Sector Value % Unrealised losses
RMBS 249,750,104 63.6% (197,718,180)
CMBS 86,424,867 22.0% (7,295,908)
Other ABS 56,417,731 14.4% (3,088,098)
Total 392,592,702 100.0% (208,102,186)
During 2007 while the percentage of investments in RMBS remained at a similar
level (2006: 61%), holdings of CMBS reduced and Other ABS increased.
Geographical Profile
Region Value % Unrealised losses
US 240,898,457 61.4% (199,858,886)
Europe 48,993,121 12.4% (3,980,664)
UK 102,701,124 26.2% (4,262,636)
Total 392,592,702 100.0% (208,102,186)
The regional breakdown has remained virtually unchanged since 2006.
Credit Rating Profile
Credit rating Value % Unrealised losses
Investment Grade 294,403,322 75.0% (139,986,903)
Sub-investment Grade 87,893,504 22.4% (51,702,258)
Unrated 10,295,876 2.6% (16,413,025)
Total 392,592,702 100.0% (208,102,186)
Investment grade securities have remained at similar levels (2006: 74%). The
percentage of unrated investments has fallen (2006: 7%) as Caliber has reduced
exposure to the asset class.
US RMBS portfolio by rating
Rating Band Holding % of US RMBS % of Total Portfolio Average Price
Portfolio
($m) (cents)
A 32,470,446 15.2% 8.3% 64.0
BBB 150,971,310 70.7% 38.5% 53.2
BB 25,533,449 11.9% 6.5% 38.0
Other 2,808,292 1.3% 0.7% 13.5
Unrated 1,902,475 0.9% 0.5% NA
Total 213,685,972 100.0% 54.5%
Of the US RMBS portfolio 85.9% is rated investment grade.
US RMBS portfolio by vintage
Vintage Holding % of US RMBS % of Total Portfolio Average Price
Portfolio
($m) (cents)
2003 208,907 0.1% 0.1% 25.0
2004 54,623,427 25.6% 13.9% 59.5
2005 154,112,289 72.1% 39.3% 48.9
2006 4,741,349 2.2% 1.2% 20.1
213,685,972 100.0% 54.5%
US RMBS 2006 vintage by rating
Rating Band Holding % of US RMBS % of Total Average Price
Portfolio Portfolio
($m) (cents)
BBB 1,785,800 0.8% 0.5% 31.3
BB 2,145,000 1.0% 0.5% 17.5
Unrated 810,549 0.4% 0.2% NA
Total 4,741,349 2.2% 1.2%
In the US RMBS 2006 vintage, the market has witnessed further significant
pricing declines at all rating levels. Caliber has reduced its exposure to the
problematic 2006 vintage from 14% of the US RMBS portfolio to 2.2% over the
period from June 30, 2007 to September 30, 2007.
US RMBS 2nd lien by rating
Rating Band Holding % of US RMBS % of Total Average Price
($m) Portfolio Portfolio (cents)
BBB 6,293,758 2.9% 1.6% 36.2
BB 443,102 0.2% 0.1% 7.7
Other 2,808,292 1.3% 0.7% 13.5
Total 9,545,152 4.4% 2.4%
Exposure to US RMBS 2nd lien securities has increased marginally from 4.2% to
4.4% of the US RMBS portfolio over the period from June 30, 2007 to September
30, 2007.
Portfolio pricing distribution
US portfolio European portfolio (includes UK)
Price Total number Number of % of total June 2007 % Number of % of total June 2007 % of
of positions positions portfolio by of portfolio positions portfolio by portfolio by
market value by market market value market value
value
Less than or 17 17 1.1% 0.7% 0 0.0% 0.0%
equal to 20c
20c-30c 8 8 1.5% 0.3% 0 0.0% 0.0%
30c-40c 12 12 2.8% 0.4% 0 0.0% 0.0%
40c-50c 11 11 3.7% 1.0% 0 0.0% 0.0%
50c-60c 24 24 12.1% 1.5% 0 0.0% 0.0%
60c-70c 28 28 15.3% 5.9% 0 0.0% 0.0%
70c-80c 22 21 13.6% 5.0% 1 0.4% 0.0%
80c-90c 10 5 4.6% 12.1% 5 4.1% 0.0%
90c-95c 20 4 3.2% 11.3% 16 12.1% 0.0%
Greater than 23 3 2.0% 21.9% 20 19.9% 38.1%
95c
Other* 12 8 1.5% 1.2% 4 2.1% 0.6%
Total 187 141 61.4% 61.3% 46 38.6% 38.7%
*Includes all unrated securities, real estate loans, corporate loans and equity
investments.
Market pricing on US securities has deteriorated considerably since June 30,
2007.
Caliber (company only) investment portfolio
Sector Profile
Sector Value %
RMBS 8,051,885 62.6%
CMBS 3,533,011 27.5%
Other ABS 1,279,935 9.9%
Total 12,864,831 100.0%
Geographical Profile
Region Value %
US 11,574,709 90.0%
Europe 1,279,935 9.9%
UK 10,187 0.1%
Total 12,864,831 100.0%
Credit Rating Profile
Credit rating Value %
Investment Grade 5,440,324 42.3%
Sub-investment Grade 4,231,911 32.9%
Unrated 3,192,596 24.8%
Total 12,864,831 100.0%
Assabet investment portfolio
Sector Profile
Sector Value %
RMBS 123,559,430 96.1%
CMBS 1,541,527 1.2%
Other ABS 3,408,575 2.7%
Total 128,509,532 100.0%
Geographical Profile
Region Value %
US 128,509,532 100%
Total 128,509,532 100%
Credit Rating Profile
Credit rating Value %
Investment Grade 128,365,182 99.9%
Sub-investment Grade 144,350 0.1%
Total 128,509,532 100.0%
Crown Woods investment portfolio
Sector Profile
Sector Value %
RMBS 21,589,771 26.9%
CMBS 40,169,654 50.0%
Other ABS 18,524,784 23.1%
Total 80,284,209 100.0%
Geographical Profile
Region Value %
US 9,957,642 12.4%
Europe 27,121,834 33.8%
UK 43,204,733 53.8%
Total 80,284,209 100.0%
Credit Rating Profile
Credit rating Value %
Investment Grade 58,295,556 72.6%
Sub-investment Grade 21,988,653 27.4%
Total 80,284,209 100.0%
Tormes investment portfolio
Sector Profile
Sector Value %
RMBS 96,549,017 56.5%
CMBS 41,180,676 24.1%
Other ABS 33,204,436 19.4%
Total 170,934,129 100.0%
Geographical Profile
Region Value %
US 90,856,574 53.2%
Europe 20,591,352 12.0%
UK 59,486,203 34.8%
Total 170,934,129 100.0%
Credit Rating Profile
Credit rating Value %
Investment Grade 102,302,258 59.8%
Sub-investment Grade 61,528,591 36.0%
Unrated 7,103,280 4.2%
Total 170,934,129 100.0%
Impairment
The impairment charge of $208 million represents the unrealised losses on all
securities. An impairment charge has been recognised as the Company may not be
able to hold the securities to their maturity (on average 3 years). This follows
shareholder approval of the return of capital in the twelve months ending August
30, 2008.
Funding
Caliber is almost entirely funded via its committed, non-recourse, non-cross
default, funding facilities or SPVs, totalling $467 million (with only $712,000
of financing via a repurchase agreement as at September 30, 2007). Each
committed facility was negotiated with the lending bank on a bi-lateral basis,
but broadly comprised pre-agreed eligibility criteria that the portfolio being
funded must meet. The advance rate for each line was typically a function of
either a rating agency model, the market value of the securities, or both.
The key risks to Caliber arising from the above funding facilities, and which
were exacerbated during the year, included:
* Securities falling outside of the eligibility criteria due to downgrades
by the external rating agencies - resulting in such securities not being
eligible for funding and therefore requiring that Caliber fund these
securities - thus reducing free cash;
* As the portfolio winds down, portfolio composition or performance tests
being breached. Failure to correct these breaches would lead to an event of
default, allowing the lender to enforce against its collateral and
potentially sell assets into a distressed market in order to repay its loan
with the proceeds; and,
* Where the mark to market value of the portfolio falls considerably, margin
payments being required to be made on mark to market funding lines - thus
reducing cash available in Caliber.
During August and September 2007, although the funding facilities or SPVs
remained in compliance with their relevant covenants, the following funding
facilities were restructured in order to mitigate or negate the above risks and
provide Caliber with a stable funding platform for the wind up process.
On August 17, 2007 Tormes Asset Funding Limited ("Tormes") and the funding bank
agreed that the undrawn commitment would be cancelled and no new securities
could be sold into the facility. Additionally all portfolio limits and tests
would no longer apply. Most of the excess interest and all principal payments
will be used to repay interest and principal on the borrowings from the bank.
On August 23, 2007 Crown Woods Limited ("Crown Woods") and the funding bank
agreed that covenants regarding portfolio concentration would no longer apply,
the size of the facility would decrease to the level of borrowings outstanding
and no new securities could be sold into the facility without the prior approval
from the funding bank. However the level of borrowings against the portfolio
would still be based on the latest market value of the securities.
On August 24, 2007 Assabet Funding Limited ("Assabet") and the funding bank
agreed to the following restructuring:
* Caliber paid the bank $10 million as a final margin payment. There
will be no further margin calls.
* An increase in the cost of funds from cost of funds + 50 bps to cost
of funds + 70 bps.
* The underlying portfolio ceased to be actively managed and the
portfolio will amortise with certain disposals of assets being made from time to
time and with all principal and excess spread being used to repay the bank
funding and other amounts due to the bank.
* In lieu of an additional margin requirement of approximately $17
million of margin which was due in late August, the bank will be entitled to
approximately 22c in every dollar realized after all outstanding financing has
been repaid.
On September 13, 2007 Caliber terminated its interest in Amber Funding Limited
("Amber") through the cancellation of the subordinated note issued by Amber to
Caliber. As a consequence the results of Amber for the period from October 1,
2006 to September 13, 2007 are presented in the consolidated income statement of
the company but the assets and liabilities of Amber are not reflected in the
consolidated balance sheet of the company at September 30, 2007.
On December 5, 2007 Crown Woods and the funding bank agreed to reduce the
facility size from $80 million to $50 million.
All other material terms of each of the facilities remain unchanged.
Dividend
Caliber's policy is to pay dividends solely out of distributable earnings and to
distribute substantially all distributable earnings as dividends. Given the
continued impact of impairment charges on distributable earnings no dividend can
be paid in the current quarter. Aggregate dividends for the year were $0.25 per
share.
Following the approval of the resolutions at the EGM on August 30, 2007 and the
expected orderly return of capital to shareholders it is anticipated that any
future distributions to shareholders will be in the form of capital rather than
in the form of dividends.
Outlook
We expect market conditions to remain challenging in the first half of the
2007-2008 financial year when liquidity will continue to be at a premium due to
the constraints on balance sheets of financial institutions. To date, market
conditions have delayed the liquidation and realisation of the portfolio beyond
what was originally anticipated and we believe that attempting to liquidate
assets in the current market environment is not in the best interest of the
Company.
The terms of the funding facilities make it impossible to postpone the
liquidation of the portfolio indefinitely. The Assabet and Tormes facilities
each have a remaining life of approximately two years (May 2010 and August 2009
respectively) and the Crown Woods facility has a remaining life of one year
(September 2008). Our aim in the recent past has been to conserve cash and
preserve the value of the Company (on a stand alone basis), and of Crown Woods,
the SPV with contributes positive net assets to the Company. The latter has been
achieved through selective asset sales in order to raise capital for any margin
calls on Crown Woods. Assabet and Tormes, the SPVs which currently contribute
negative net assets, have been restructured in such a way that the Company has
no potential obligation to make future cash injections (whilst effectively
retaining an option should there be any significant uplift in the market value
of the securities; which is deemed unlikely in the short term given current
market conditions).
Since September 30, 2007, we have sought to conserve cash and preserve the value
of the Company and the Crown Woods SPV through selective asset sales in order to
raise capital for any margin calls on this SPV.
During the first half of 2008 the portfolio should begin to provide additional
cash flow due to the 2005 US RMBS securities hitting certain dates when
potentially significant amounts of cash are currently expected to be released
from the securitisation structures (the "step-down" dates). However most cash
flows received will be used to continue to repay the debt outstanding in the
SPVs (Assabet and Tormes).
Cambridge Place Investment Management LLP
December 17, 2007
Directors' report
The Directors present the report, audited consolidated financial statements and
Company only financial statements for the year ended September 30, 2007.
Principal Activity and Business Review
The principal activity of the Group during the year was that of an investment
company.
On August 30, 2007 the shareholders approved the following two ordinary
resolutions and one special resolution:
Ordinary resolutions:
* To approve a change to the investment objective of the Company to
"manage the sale of the Company's investment portfolio and to maximize the return
of invested capital to shareholders during the 12 months ending on August 30,
2008."
* To approve a change to the Investment Management Agreement pursuant to
the Deed of Amendment dated August 3, 2007
Special resolution:
* To approve the reduction of the share premium account of the Company
to $250,000 and its conversion into a capital realisation reserve
Prior to August 30, 2007 the investment objective of the Company was to
"preserve capital and provide stable returns to shareholders, both in the form of
dividends and capital growth".
Results and Dividends
The results for the year, and the Group's financial position at the end of the
year, are shown.further down.
Caliber's policy is to pay dividends solely out of distributable earnings and to
distribute substantially all distributable earnings as dividends. Given the
continued impact of impairment charges on distributable earnings no dividend can
be paid in respect of the quarter ended September 30, 2007. During the year
ended September 30, 2007 ordinary dividends totalling $0.25 per share were paid
to the shareholders (2006: $1.10 per share).
Investment Manager
The Directors believe that the continuing appointment of the investment manager
on the terms agreed is in the best interests of the shareholders, for the
following reasons:
* The investment manager's extensive knowledge of the portfolio
* The investment manager's level of credit expertise in the asset backed
securities market
* The complexity of the funding structure utilised by the company
The Directors may terminate the Investment Management Agreement without cause at
any time by giving not less that 24 months prior notice in writing. The
Directors may not give notice to terminate prior to the third anniversary of the
effective date of the Investment Management Agreement meaning that the
Investment Management Agreement has a minimum term of five years. The effective
date of the Investment Management Agreement was the date of admission to the
London Stock Exchange, June 13, 2005.
Directors
The Directors of the Company during the year were:
Miss Haruko Fukuda OBE
Mr Anthony Hall
Mr Robert Kramer
Mr Christopher Waldron
The Directors' interests in the share capital of the Company were:
September 30 September 30
2007 2006
Number of Shares Number of Shares
Miss Haruko Fukuda OBE 12,380 8,000
Mr Anthony Hall 45,000 25,000
Mr Robert Kramer 48,415 48,415
Mr Christopher Waldron Nil Nil
Mr Kramer has a direct interest in 18,415 shares of the Company through his
holding in Rebilac Limited and a direct interest in options in respect of 36,830
of the ordinary shares of the Company. Mr Kramer also has an indirect interest
in 30,000 shares of the Company through a holding in Rebilac Limited and an
indirect interest in options in respect of 60,000 of the ordinary shares of the
Company. These are amongst the options initially granted to him at the time of
both the Initial Primary Offer and Follow On.
At the first Annual General Meeting on December 9, 2005 all of the Directors
retired and offered themselves for re-election. At each Annual General Meeting
thereafter, Mr Robert Kramer will retire and one of the independent Directors
will retire by rotation, and in each case it is expected that the retiring
Directors will offer themselves for re-election.
Review of controls
During the year the board has periodically met with the Investment Manager,
Administrator and Sub-Administrator and considered the operational and other
risks of the Group. The Board is satisfied with the effectiveness of the Group's
system of internal controls.
Substantial interests in share capital
As at November 30, 2007 the following holdings representing more than 3 per cent
of the Company's issued share capital had been reported:
Number of shares Percentage held
Veer Palthe Voute 7,112,631 29.00%
Deutsche Bank 2,717,513 11.08%
AXA Framlington 2,152,500 8.78%
Tribeca Global Management 1,736,173 7.08%
Jupiter Asset Management 1,250,000 5.10%
Bear Stearns Asset Management 1,114,900 4.55%
Kommunernes Pensionsforsikring 1,000,000 4.08%
Rebilac 995,882 4.06%
Total 18,079,599 73.73%
Subsequent events
Since September 30, 2007 there has been further deterioration in the global
credit markets. The current estimate for the adjusted, or company only, NAV at
October 31, 2007 is $1.03 and for the consolidated NAV it is $(2.05).
On December 5, 2007 Crown Woods and the funding bank agreed to reduce the size
of the facility from $80 million to $50 million.
Auditors
A resolution to re-appoint KPMG Channel Islands Limited as Auditors will be put
to the forthcoming Annual General Meeting on February 28, 2008.
On behalf of the Board on December 17, 2007
Haruko Fukuda OBE Anthony Hall
Director Director
Corporate Governance Report
The Company is committed to the principles of corporate governance contained in
the Combined Code on Corporate Governance which is appended to the Listing Rules
of the Financial Services Authority ("the 2003 FRC Code") and for which the
Board is accountable to shareholders.
Statement of compliance with the Code of Best Practice
Throughout the year ended September 30, 2007, the Company has been in compliance
with the provisions set out in Section 1 of the 2003 FRC Code, except as
explained below.
Further explanation of how the Principles and Supporting Principles have been
applied is set out below and, in connection with Directors' remuneration, in the
Directors' remuneration report.
The Board
The Board provides independent leadership of the Company within a framework of
prudent and effective controls, which enables risk to be assessed and managed.
Miss Fukuda acts as Chairman of the Board. Miss Fukuda, Mr Hall and Mr Waldron
are considered to be independent of the Investment Manager and free from any
business or other business relationship that could materially interfere with the
exercise of their independent judgement. Mr Kramer who is Head of Investments of
the Investment Manager is not regarded as independent. As the Company is an
investment company, all of the Directors are non-executive and most of the
Company's day to day responsibilities are delegated to third parties.
The Board is responsible for the determination of the Company's investment
objective and policies and has overall responsibility for its activities. The
Company has entered into an investment management agreement with the Investment
Manager under which the Investment Manager is responsible for the management of
the Company's assets subject to the overall supervision of the Directors.
Committees of the Board
An Audit Committee and a Nomination Committee have been established. Each
committee has formally delegated duties and responsibilities with written terms
of reference. Since the Company does not have any employees or executive
Directors, a Remuneration Committee has not been established.
The Audit Committee comprises the following Directors: Mr Hall (Chairman), Miss
Fukuda and Mr Waldron. Miss Fukuda serves on the Audit Committee although she
is Chairman of the Board, because the Board feels that it is desirable to have
three members of this Committee and Miss Fukuda brings significant skills and
experience in this area to the Committee. Only independent Directors serve on
the Audit Committee and members of the Committee have no links with the
Company's external auditors and are independent of the Investment Manager. The
terms of reference state that the Committee will meet not less than twice a year
and will meet the external auditors at least once a year without the
non-independent Director present. The Audit Committee is responsible for making
recommendations to the Board on the appointment of the external auditors and
their remuneration. The Committee considers the nature, scope and results of the
auditors' work and reviews (and reserves the right to approve) any non-audit
services that are to be provided by the external auditors. It receives and
reviews reports from the Investment Manager and the Company's external auditors
relating to the Company's annual report and accounts. The Committee focuses
particularly on compliance with legal requirements, accounting standards and the
Listing Rules and ensuring that an effective system of internal financial and
non-financial controls is maintained. The Company does not have an internal
audit function owing to its size.
The Nomination Committee comprises the following Directors: Miss Fukuda
(Chairman of the Committee and acts as Chairman of the Board), Mr Hall and Mr
Waldron. The members of the Nomination Committee are and will be independent of
the Investment Manager. The Committee meets not less than once a year. It has
responsibility for considering the size, structure and composition of the Board,
and retirements and appointments of additional and replacement Directors and
will make appropriate recommendations to the Board.
The following table shows the number of meetings held by the Board and each
committee for the period from October 1, 2006 to September 30, 2007 as well as
the number of attendances at each meeting.
Number of meetings Number of attendances
Board of Directors
Miss Haruko Fukuda OBE (Chairman) 10 10
Mr Anthony Hall 10 8
Mr Robert Kramer 10 10
Mr Christopher Waldron 10 10
Audit Committee
Mr Anthony Hall (Chairman) 4 4
Miss Haruko Fukuda OBE 4 4
Mr Christopher Waldron 4 4
In addition to the above, during the year the Board has had regular contact with
the Investment Manager and its other advisors.
The holders of the position of the Chairman of the committees referred to above
will be reviewed on an annual basis. The membership of these committees and
their terms of reference will be kept under review.
The performance of the Chairman of the Board will be assessed by another of the
independent Directors, through discussions with the other Directors.
In view of the Company's change in investment objective to return capital to
shareholders by the end of August 2008 (or such later date as may be determined)
a Nomination Committee meeting has not been held for 2007.
Investor relations
The Board has appointed Financial Dynamics as public relations consultant and
Citigroup and Deutsche Bank as corporate brokers and expects them together with
the Investment Manager to keep it informed of the views of the Company's major
shareholders.
Directors' remuneration report
This report has been prepared in accordance with the relevant requirement of the
Listing Rules of the United Kingdom Financial Services Authority and describes
how the Board has applied the Principles of Good Governance relating to
Directors' remuneration. A resolution to approve the report will be proposed at
the Annual General Meeting of the Company at which the financial statements will
be presented for approval.
Each of the Directors has signed a letter of appointment with the Company
setting out the terms of their appointment. The basic fee payable to each
independent non-executive Director is payable at a rate of $25,000 per annum,
except for the Chairman who receives $200,000 per annum.
The Company has not established a Remuneration Committee as the Company does not
have any executive Directors or employees. The total amounts for the Directors'
remuneration for the year were as follows:
2007 2006
$ $
Miss Haruko Fukuda OBE 200,000 200,000
Mr Anthony Hall 25,000 25,000
Mr Robert Kramer - -
Mr Christopher Waldron 25,000 25,000
Total Directors' emoluments $250,000 $250,000
Mr Kramer, as Head of Investments for the Investment Manager, does not receive
remuneration from the Company. All remuneration of the Directors was in the form
of fees; there was no performance related compensation.
Haruko Fukuda OBE
Chairman
Statement of Directors' responsibilities
The Directors are responsible for preparing consolidated financial statements
for each financial year which give a true and fair view of the state of affairs
of the Company and the Group as at the end of the financial reporting period and
of the income statements of the Company and the Group for that period and which
are in accordance with applicable laws. In preparing those consolidated
financial statements, the Directors are required to:
* select suitable accounting policies and then apply them consistently;
* make judgements and estimates that are reasonable and prudent;
* state whether applicable accounting standards have been followed
subject to any material departures disclosed and explained in the financial
statements; and
* prepare the financial statements on the going concern basis unless it
is inappropriate to presume that the Group will continue in business. As
disclosed in further detail in Note 1, on August 30, 2007 the Shareholders
approved an ordinary resolution to manage the sale of the Company's investment
portfolio and to maximize the return of invested capital to shareholders during
the 12 months ending on August 30, 2008.
The Directors are responsible for keeping proper accounting records which
disclose with reasonable accuracy at any time the financial position of the
Group and to enable them to ensure that the financial statements have been
properly prepared in accordance with the Companies (Guernsey) Law, 1994. They
are also responsible for safeguarding the assets of the Group and hence for
taking reasonable steps for the prevention and detection of fraud and other
irregularities.
Independent auditor's report to the members of Caliber Global Investment Limited
We have audited the group and parent company financial statements (the "
financial statements") of Caliber Global Investment Limited for the year ended
30 September 2007 which comprise the Consolidated and Company Income Statements,
the Consolidated and Company Statement of Changes in Equity, the Consolidated
and Company Balance Sheets, the Consolidated and Company Cash Flow Statements
and the related notes. These financial statements have been prepared under the
accounting policies set out therein.
This report is made solely to the company's members, as a body, in accordance
with section 64 of The Companies (Guernsey) Law, 1994. 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.
Respective responsibilities of directors and auditors
The directors are responsible for preparing the Directors' Report and the
financial statements in accordance with applicable Guernsey law and
International Financial Reporting Standards as set out in the Statement of
Directors' Responsibilities.
Our responsibility is to audit the financial statements in accordance with
relevant legal and regulatory requirements and International Standards on
Auditing (UK and Ireland).
We report to you our opinion as to whether the financial statements give a true
and fair view and are properly prepared in accordance with The Companies
(Guernsey) Law, 1994. We also report to you if, in our opinion, the company has
not kept proper accounting records, or if we have not received all the
information and explanations we require for our audit.
We read the Directors' Report and consider the implications for our report if we
become aware of any apparent misstatements within it.
We read the other information accompanying the financial statements and consider
whether it is consistent with those statements. We consider the implications
for our report if we become aware of any apparent misstatements or material
inconsistencies with the financial statements.
Basis of audit opinion
We conducted our audit in accordance with International Standards on Auditing
(UK and Ireland) issued by the Auditing Practices Board. An audit includes
examination, on a test basis, of evidence relevant to the amounts and
disclosures in the financial statements. It also includes an assessment of the
significant estimates and judgements made by the directors in the preparation of
the financial statements, and of whether the accounting policies are appropriate
to the company's circumstances, consistently applied and adequately disclosed.
We planned and performed our audit so as to obtain all the information and
explanations which we considered necessary in order to provide us with
sufficient evidence to give reasonable assurance that the financial statements
are free from material misstatement, whether caused by fraud or other
irregularity or error. In forming our opinion we also evaluated the overall
adequacy of the presentation of information in the financial statements.
Opinion
In our opinion the financial statements:
* give a true and fair view, in accordance with International Financial
Reporting Standards, of the state of the Group's and the parent company's
affairs as at 30 September 2007 and of the group's and parent company's
loss for the year then ended; and
* have been properly prepared in accordance with The Companies (Guernsey)
Law, 1994.
Emphasis of matter - Basis of accounting and market turmoil
In forming our opinion which is not qualified we have considered the adequacy of
the disclosures in note 1 and note 2 concerning the basis of preparation of the
financial statements and the valuation of debt securities respectively.
As further described in note 1, the financial statements have been prepared on a
basis which assumes that the Group and Company will terminate in the next one to
two years. In this situation the going concern assumption is not applicable and
provision has been made for termination costs.
The Group and Company holds investments in debt securities. As described in
note 2, current market conditions have introduced uncertainty into debt security
markets with restricted trading and greater price volatility giving rise to
difficulties in determining the fair value of the debt securities held by the
Group and Company. As alluded to in note 22, shareholders, investors and other
stakeholders should be aware that reduced liquidity and increased volatility
have continued to be features of the market since the year end and show no
imminent signs of easing. The ability of the Group to repay its outstanding
debt obligations is dependent upon the portfolio of debt securities being
realized at the requisite level to meet its obligations.
Chartered Accountants
Guernsey
Date:
Consolidated income statement
For the years ended September 30, 2007 and September 30, 2006
Note Year Year
ended ended
September 30 September 30
2007 2006
$000 $000
Operating income
Interest income 6 85,556 66,360
Gains on investments 7 4,976 694
Losses on investments 7 (70,217) (1,944)
Movement in gains on derivatives 16 679 1,250
Movement in losses on derivatives (11,021) (367)
Net foreign exchange gains 455 996
Total operating income $10,428 $66,989
Operating expenses
Interest expense 8 (41,987) (35,958)
Gain on write off of SPV borrowings 23,928 -
Provision for impairment of investments 13 (208,102) (825)
Provision for liquidation costs (1,569) -
Other operating expenses (10,627) (8,027)
Total operating expenses $(238,357) $(44,810)
Net (deficit)/profit $(227,929) $22,179
Earnings per ordinary share
Basic 10 $ (9.2942) $ 1.1841
Diluted 10 $ (9.2942) $ 1.1836
Weighted average ordinary shares outstanding
Number Number
Basic 10 24,523,810 18,731,246
Number Number
Diluted 10 24,523,810 18,738,709
See notes to the financial statements.
Company income statement
For the years ended September 30, 2007 and September 30, 2006
Note Year Year
ended ended
September 30 September 30
2007 2006 (unaudited)
$000 $000
Operating income
Interest income 6 21,591 32,709
Gains on investments 7 14,053 1,130
Losses on investments 7 (23,261) (3,078)
Movement in gains on derivatives 16 679 1,250
Movement in losses on derivatives (11,021) (361)
Net foreign exchange gains 844 434
Total operating income $2,885 $32,084
Operating expenses
Interest expense 8 (7,088) (8,251)
Loss on write off of SPV borrowings (23,789) -
Provision for impairment of investments 13 (150,718) (825)
Provision for liquidation costs (575) -
Other operating expenses (8,245) (7,319)
Total operating expenses $(190,415) $(16,395)
Net (deficit)/profit $(187,530) $15,689
Earnings per ordinary share
Basic 10 $ (7.6468) $ 0.8376
Diluted 10 $ (7.6468) $ 0.8372
Weighted average ordinary shares outstanding
Number Number
Basic 10 24,523,810 18,731,246
Number Number
Diluted 10 24,523,810 18,738,709
See notes to the financial statements. The notes relating to the year ended
September 30, 2006 balances are unaudited.
Consolidated statement of changes in equity
For the years ended September 30, 2007 and September 30, 2006
Accumulated (deficit)/profit
Ordinary Net unrealized Distributable Non-distributable Total
Shares Amount gains/(losses) equity
Number $000 $000 $000 $000 $000
Balance at September 30, 2005 15,000,000 $140,467 $(4,820) $3,950 $279 $139,876
(audited)
Issuance of ordinary shares 9,523,810 100,000 - - - 100,000
Share options issued - 571 - - - 571
Costs related to issuance of - (5,840) - - - (5,840)
ordinary shares
Net unrealized loss on - - (1,657) - - (1,657)
available-for-sale securities
Dividends paid - - - (17,505) - (17,505)
Net profit - - - 21,485 694 22,179
Balance at September 30, 2006 24,523,810 $235,198 $(6,477) $7,930 $973 $237,624
(audited)
Movement in net unrealized - - 6,477 - - 6,477
loss on available-for-sale
securities
Dividends paid - - - (13,733) - (13,733)
Net deficit - - - (232,905) 4,976 (227,929)
Balance at September 30, 2007 24,523,810 $235,198 - $(238,708) $5,949 $2,439
(audited)
Dividends paid relate to the quarter ended September 30, 2006 final interim
dividend and the quarter ended December 31, 2006 interim dividend. See note 9.
See notes to financial statements.
Company statement of changes in equity
For the years ended September 30, 2007 and September 30, 2006
Accumulated (deficit)/profit
Ordinary Net unrealized Distributable Non-distributable Total
Shares Amount gains/(losses) equity
Number $000 $000 $000 $000 $000
Balance at September 30, 2005 15,000,000 $140,467 $(197) $(1,282) $888 $139,876
(unaudited)
Issuance of ordinary shares 9,523,810 100,000 - - - 100,000
Share options issued - 571 - - - 571
Costs related to issuance of - (5,840) - - - (5,840)
ordinary shares
Net unrealized loss on - - 4,833 - - 4,833
available-for-sale securities
Dividends paid - - - (17,505) - (17,505)
Net profit - - - 14,559 1,130 15,689
Balance at September 30, 2006 24,523,810 $235,198 $4,636 $(4,228) $2,018 $237,624
(unaudited)
Net unrealized loss on - - (4,636) - - (4,636)
available-for-sale securities
Dividends paid - - - (13,733) - (13,733)
Net deficit - - - (201,583) 14,053 (187,530)
Balance at September 30, 2007 24,523,810 $235,198 - $(219,544) $16,071 $31,725
(audited)
Dividends paid relate to the quarter ended September 30, 2006 final interim
dividend and the quarter ended December 31, 2006 interim dividend. See note 9.
See notes to financial statements.
Consolidated balance sheet
As at September 30, 2007
Note September 30 September 30
2007 2006
$000 $000
Assets
Cash at bank and in hand 12 11,204 22,090
Cash held by brokers as collateral 12 59,973 49,652
Available for sale securities 13 392,593 996,922
Loans and receivables 13 - 60,843
Other assets 14 3,754 8,477
Total assets $467,524 $1,137,984
Liabilities
Bank overdrafts and loans 15 459,951 879,487
Payables for securities purchased 17 - 14,678
Provision for liquidation costs 1,569 -
Trade and other payables 17 3,565 6,195
Total liabilities $465,085 $900,360
Net assets $2,439 $237,624
Equity
Share capital 18 - -
Share premium account 19 233,916 233,916
Share options 21 1,282 1,282
(Accumulated deficit)/Retained earnings (232,759) 8,903
Unrealized loss on available-for-sale securities - (6,477)
Equity attributable to equity holders of the Group $2,439 $237,624
These financial statements were approved by the Board of Directors on.
Signed on behalf of the Board of Directors by:
Haruko Fukuda OBE Anthony Hall
Director Director
See notes to financial statements.
Company balance sheet
As at September 30, 2007
Note September 30 September 30
2007 2006 (unaudited)
$000 $000
Assets
Cash and cash equivalents 12 5,807 11,638
Cash held with brokers as collateral 12 1,829 4,564
Investment in subsidiaries 13 13,900 99,687
Available for sale securities 13 12,865 418,054
Loans and receivables 13 - 60,843
Receivable for securities sold 14 - 4,003
Other assets 14 694 6,001
Total assets $35,095 $604,790
Liabilities
Bank overdrafts and loans 15 712 348,151
Payables for securities purchased 17 - 14,678
Trade and other payables 17 2,658 4,337
Total liabilities $3,370 $367,166
Net assets $31,725 $237,624
Equity
Share capital 18 - -
Share premium account 19 233,916 233,916
Share options 21 1,282 1,282
(Accumulated deficit)/Retained earnings (203,473) (2,210)
Unrealized gain on available-for-sale securities - 4,636
Equity attributable to equity holders of the Company $31,725 $237,624
These financial statements were approved by the Board of Directors on.
Signed on behalf of the Board of Directors by:
Haruko Fukuda OBE Anthony Hall
Director Director
See notes to financial statements. The notes relating to the September 30, 2006
balances are unaudited.
Consolidated cash flow statement
For the years ended September 30, 2007 and September 30, 2006
Note Year Year
ended ended
September 30 September 30
2007 2006
$000 $000
Net cash from operating activities 20 (14,105) 7,833
Investing activities
Purchases of asset-backed securities (142,352) (430,820)
Proceeds from sale of asset-backed securities 580,418 163,043
Cash flows from investing activities $438,066 $(267,777)
Financing activities
Proceeds from issuance of ordinary shares - 100,000
Costs related to issuance of ordinary shares - (5,269)
(Decrease)/increase in borrowings under repurchase (327,561) 183,115
agreements
Repayments on/(proceeds from) bank borrowings (93,553) 11,730
Dividends paid to shareholders (13,733) (17,505)
Cash flows from financing activities $(434,847) $272,071
Net (decrease)/increase in cash and cash equivalents (10,886) 12,127
Cash and cash equivalents at beginning of year 22,090 9,963
Cash and cash equivalents at end of year 12 $11,204 $22,090
Supplementary information
2007 2006
$000 $000
Interest received 88,550 64,722
Interest paid (44,203) (35,108)
See notes to financial statements.
Company cash flow statement
For the years ended September 30, 2007 and September 30, 2006
Year ended
Year ended September 30
September 30 2006
Note 2007 (unaudited)
$000 $000
Net cash from operating activities 20 (28,062) 6,500
Investing activities
Purchases of asset-backed securities (724,825) (818,667)
Proceeds from sale of asset-backed securities 1,108,799 536,542
Cash flows from investing activities $383,974 $(282,125)
Financing activities
Proceeds from issuance of ordinary shares - 100,000
Costs related to issuance of ordinary shares - (5,269)
Increase in borrowings under repurchase agreements (327,560) 183,016
Proceeds from bank borrowings (20,450) 20,450
Dividends paid to shareholders (13,733) (17,505)
Cash flows from financing activities $(361,743) $280,692
Net increase in cash and cash equivalents (5,831) 5,067
Cash and cash equivalents at beginning of year 11,638 6,571
Cash and cash equivalents at end of year 12 $5,807 $11,638
Supplementary information
2007 2006
$000 $000
Interest received 24,908 31,144
Interest paid (8,794) (7,216)
See notes to financial statements. The notes relating to year ended September
30, 2006 balances are unaudited.
This information is provided by RNS
The company news service from the London Stock Exchange
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