REG-BH Macro Limited: Interim Report and Unaudited Financial Statements 2022
09/09/2022 17:00
BH Macro Limited
Interim Report and Unaudited Financial Statements 2022
LEI: 549300ZOFF0Z2CM87C29
(Classified Regulated Information, under DTR 6 Annex 1 section 1.2)
The Company has today, in accordance with DTR 6.3.5, released its Interim
Report and Unaudited Financial Statements for the period ended 30 June 2022.
The Report will shortly be available from the Company’s website:
www.bhmacro.com.
Chair’s Statement
I am delighted to present my second interim statement to shareholders.
Over the first half of the year to 30 June 2022 your Company’s share price
has increased significantly, despite (or indeed, perhaps, because of) the very
difficult background for investment markets. Over the first half of 2022, the
Net Asset Value (“NAV”) per Sterling share in the Company increased by
15.53% and the NAV per US Dollar share increased by 14.11%. The share price
total return on a Sterling share was 16.58% over the period and on a US Dollar
share was 11.22%. The Company’s performance is directly related to the
performance of Brevan Howard Master Fund Limited (the “Master Fund”) into
which the Company invests substantially all its assets.
The components of return for your share price are firstly the change in the
NAV of the relevant Company share class driven largely by the change in the
underlying share class of the Master Fund; secondly the change in the premium
(or discount) of the Company’s shares to the NAV of the relevant share
class; and thirdly, to a much smaller extent, any accretion to NAV of the
relevant share class from the Company’s transactions in the relevant share
class (i.e. buying back shares at a discount or as in the current period
issuing shares at a premium).
I am pleased to report that during this period the main elements of return
were as follows:
Sterling share price total return of:
Change in premium: Increase by 0.98% (30 June 2022: premium of 10.02%; 31
December 2021: premium of 9.04%)
Increase in the Sterling share class NAV per share: 15.53%
US Dollar share price total return of:
Change in premium: Decrease of 2.85% (30 June 2022: premium of 9.45%; 31
December 2021: premium of 12.29%)
Increase in US Dollar share class NAV per share: 14.11%
During the period under review the Company issued 3,353,495 Sterling shares in
the following tranches. No US Dollar shares were issued other than inter-class
share conversions.
Date Number of shares Price per share (pence) Premium per share
14/01/2022 921,862 3,670 6.04%
16/03/2022 268,379 3,770 5.93%
19/05/2022 1,521,441 4,270 10.19%
26/05/2022 59,631 4,300 9.89%
16/06/2022 582,182 4,455 10.16%
Last year was dominated by the combination between the Company and BH Global
Limited and I am delighted that the first half of this year has seen an
excellent return for shareholders despite the significant increases in fees
which took place last year. Whilst to a certain extent these have been
defrayed by the issuance of new shares at a premium, it is gratifying that
your confidence in the Manager, and the new arrangements, have been so well
rewarded. Moreover, the shares, whilst generating very good absolute returns,
have also provided even better returns when compared to most other investable
asset classes.
In last year’s interim statement, I commented on the uncertain outlook as
follows: “Against this background the investment strategy of the Company
should provide diversification to other asset classes and the shares remain
one of the few ways for the individual investor to acquire access to a long
established macro-economic hedge fund”. The value of that diversification
has been amply demonstrated in this period under review. It is important for
shareholders to bear in mind the long-term value of this strategy in their
broader portfolio.
Unfortunately, when looking at the outlook for markets from here, I find that
there is little that I can say to shareholders on a positive note.
Geopolitical tensions remain at a very high level. The outcome of the invasion
of Ukraine remains uncertain. The zero-COVID policy in China appears to be
continuing to create severe supply chain disruption. Inflationary pressures
remain strong across the globe though certain component data will start to
decline on a year-on-year basis. Interest rates seem set to rise even further
with significant consequences for the UK and European economies and will only
exacerbate the tensions within the EU. There has been very significant
tightening of money supply as Central Banks move from Quantitative Easing
(“QE”) to Quantitative Tightening (“QT”) and a huge wealth effect from
the evaporation of over $2 trillion of cryptocurrency in a very short space of
time. Energy prices have risen sharply in the past 12 months, caused by
increased demand as countries eased COVID lockdown restrictions; international
travel returning to levels similar to 2019; supply chain slowdowns; and the
supply of oil and natural gas tightening due to sanctions imposed on Russia
over the invasion of Ukraine.
I feel compelled therefore to reiterate what I said last year that the
investment strategy of the Company should continue to provide diversifying
returns against what remains a very difficult background. Your Board continues
to monitor your Company’s Manager closely and believes that it is well
placed to manage your money in these difficult times.
Richard Horlick
Chair
9 September 2022
Board Members
The Directors of the Company, as at the date of signing, all of whom are
non-executive, are listed below:
Richard Horlick (Chair), age 63
Richard Horlick is UK resident. He is currently the non-executive chairman of
CCLA Investment Management which manages 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 VH Global Sustainable Energy Opportunities plc since
January 2021. 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. Mr. Horlick was
appointed to the Board in May 2019 and was appointed Chair in February 2021.
Julia Chapman, age 56
Julia Chapman is a Jersey resident and a solicitor qualified in England &
Wales and in Jersey with over 30 years’ experience in the investment fund
and capital markets sector. After working at Simmons & Simmons in London,
she moved to Jersey and became a partner of Mourant du Feu & Jeune (now
Mourant) in 1999. She was then appointed general counsel to Mourant
International Finance Administration (the firm’s fund administration
division). Following its acquisition by State Street in April 2010, Julia
was appointed European Senior Counsel for State Street’s alternative
investment business. In July 2012, Julia left State Street to focus on the
independent provision of directorship and governance services to a small
number of investment fund vehicles. Mrs. Chapman was appointed to the Board in
October 2021.
Bronwyn Curtis, age 74
Bronwyn Curtis is a UK resident and Senior Executive with 30 years leadership
in finance, commodities, consulting and the media. She is currently chair of
JPMorgan Asia Growth and Income Plc but will step down from the company in
February 2023. She is also a non-executive Director of Pershing Square
Holdings Ltd, the Scottish American Investment Company Plc, Twentyfour Income
Fund Ltd and the UK Office of Budget Responsibility. Her executive roles
included Head of Global Research at HSBC Plc, Managing Editor and Head of
European Broadcast at Bloomberg LP, Chief Economist of Nomura International,
and Global Head of Foreign Exchange and Fixed Income Strategy at Deutsche
Bank. She has also worked as a consultant for the World Bank and UNCTAD. Her
other current appointments include trustee of the Centre for Economic and
Policy Research, the Australia-UK Chamber of Commerce and The Times shadow
MPC. She is a graduate of the London School of Economics and La Trobe
University in Australia where she received a Doctor of Letters in 2017.
Bronwyn was awarded an OBE in 2008 for her services to business economics.
Mrs. Curtis was appointed to the Board in January 2020.
John Le Poidevin, age 52
John Le Poidevin is Guernsey resident and has over 30 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 67
Claire Whittet is Guernsey resident and has over 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 an experienced non-executive director of a number of listed
investment and private equity funds one of which she chairs and a number of
which she is Senior Independent Director. 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
Richard Horlick
VH Global Sustainable Energy Opportunities Plc London
Julia Chapman
GCP Infrastructure Investments Limited London
Henderson Far East Income Limited London
Bronwyn Curtis
JPMorgan Asia Growth and Income Plc London
Pershing Square Holdings Limited London and Euronext Amsterdam
Scottish American Investment Company Plc London
TwentyFour Income Fund Limited London
John Le Poidevin
International Public Partnerships Limited London
Super Group (SGHC) Limited New York
TwentyFour Income Fund Limited London
Claire Whittet
Eurocastle Investment Limited Euronext Amsterdam
Riverstone Energy Limited London
Third Point Investors Limited London
TwentyFour Select Monthly Income Fund Limited London
Directors’ Report
30 June 2022
The Directors submit their Interim Report together with the Company’s
Unaudited Statement of Assets and Liabilities, Unaudited Statement of
Operations, Unaudited Statement of Changes in Net Assets, Unaudited Statement
of Cash Flows and the related notes for the period ended 30 June 2022. The
Directors’ Report together with the Interim Unaudited Financial Statements
and their related notes (the “Financial Statements”) give a true and fair
view of the financial position of the Company. They have been prepared
properly, in accordance 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 Sterling and US Dollars.
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 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, digital assets,
futures, options, warrants, swaps and other derivative instruments. The
underlying philosophy is to construct strategies, often contingent in nature,
with superior risk/return profiles, whose outcome will often be crystallised
by an expected event occurring within a pre- determined period of time.
The Master Fund employs a combination of investment strategies that focus
primarily on economic change and monetary policy and market inefficiencies.
The Company may employ leverage for the purposes of financing share purchases
or buy backs, satisfying working capital requirements or financing further
investment into the Master Fund, subject to an aggregate borrowing limit of
20% of the Company’s NAV, calculated as at the time of borrowing. Borrowing
by the Company is in addition to leverage at the Master Fund level, which has
no limit on its own leverage.
Results and Dividends
The results for the period are set out in the Unaudited Statement of
Operations. The Directors do not recommend the payment of a dividend.
Share Capital
On 14 January 2022, the Company issued 921,862 Sterling Shares at a price of
3,670 pence per share.
On 16 March 2022, the Company issued 268,379 Sterling Shares at a price of
3,770 pence per share.
At an Extraordinary General Meeting (“EGM”), held on 5 May 2022,
Shareholders approved a Special Resolution allowing the directors to issue up
to 2,707,396 Sterling Shares, being 10% of the Sterling shares in issue as at
the date of the EGM.
On 19 May 2022, the Company issued 1,521,441 Sterling Shares at a price of
4,270 pence per share.
On 26 May 2022, the Company issued 59,631 Sterling Shares at a price of 4,300
pence per share.
On 16 June 2022, the Company issued 582,182 Sterling Shares at a price of
4,455 pence per share.
The number of shares in issue at period end is disclosed in note 5 of the
Interim Unaudited Financial Statements.
Going Concern
The Directors, having considered the Principal and Emerging Risks and
Uncertainties to which the Company is exposed and on the assumption that these
are managed or mitigated as noted, are not aware of any material uncertainties
which may cast significant doubt upon the Company’s ability to continue as a
going concern and, accordingly, consider that it is appropriate that the
Company continues to adopt the going concern basis of accounting for these
Interim Unaudited Financial Statements.
The Board continues to monitor the ongoing impact of various geo-political
events, including the recovery from the pandemic, the risk of inflation and
Russia's invasion of Ukraine. The Board has concluded that the biggest threat
to the Company in relation to these geo-political concerns remains the failure
of a key service provider to maintain business continuity and resiliency. The
Board has assessed the measures in place by key service providers to maintain
business continuity and so far has not identified any significant issues that
affect the Company. The financial position of the Company has not been
negatively impacted by these geo-political events either. For these reasons,
the Board is confident that these events have not impacted the going concern
assessment of the Company.
The Board
The Board of Directors has overall responsibility for safeguarding the
Company’s assets, for the determination of the investment policy of the
Company, for reviewing the performance of the service providers and for the
Company’s activities. The Directors, all of whom are non-executive, are
listed in the Board Members section.
The Articles provide that, unless otherwise determined by ordinary resolution,
the number of Directors shall not be less than two. The Company’s policy on
Directors’ Remuneration, together with details of the remuneration of each
Director who served during the period, is detailed in the Directors’
Remuneration Report.
The Board meets at least four times a year and between these formal meetings,
there is regular contact with the Manager and the Administrator. The Directors
are kept fully informed of investment and financial controls, and other
matters that are relevant to the business of the Company are brought to the
attention of the Directors. The Directors also have access to the
Administrator and, where necessary in the furtherance of their duties, to
independent professional advice at the expense of the Company.
For each Director, the tables below set out the number of Board and Audit
Committee meetings they were entitled to attend during the period ended 30
June 2022 and the number of such meetings attended by each Director.
Scheduled Board Meetings Held Attended
Richard Horlick 2 2
Julia Chapman 2 2
Bronwyn Curtis 2 2
John Le Poidevin 2 2
Claire Whittet 2 2
Audit Committee Meetings Held Attended
John Le Poidevin 2 2
Julia Chapman 2 2
Bronwyn Curtis 2 2
Claire Whittet 2 2
Remuneration and Nomination Committee Meetings Held Attended
Richard Horlick 1 1
Julia Chapman 1 1
Bronwyn Curtis 1 1
John Le Poidevin 1 1
Claire Whittet 1 1
In addition to these scheduled meetings, six ad-hoc committee meetings were
held during the period ended 30 June 2022, 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 Association of Investment Companies (the
“AIC”) Code and that all Directors have the time available to discharge
their duties effectively.
The Chair’s and Directors’ tenures are limited 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:
Sterling Shares
30.06.22 31.12.21 30.06.21
Richard Horlick 20,000 20,000 Nil
Julia Chapman 626 626 N/A
Bronwyn Curtis 1,000 1,000 Nil
John Le Poidevin 5,482 5,482 3,222
Claire Whittet* 1,500 1,500 Nil
US Dollar Shares
30.06.22 31.12.21 30.06.21
Richard Horlick Nil Nil Nil
Julia Chapman Nil Nil N/A
Bronwyn Curtis Nil Nil Nil
John Le Poidevin Nil Nil Nil
Claire Whittet Nil Nil Nil
* All units are held through a Retirement Annuity Trust
Scheme, jointly owned by Mrs Whittet and her husband.
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, subject to the provisions of the Companies (Guernsey) Law, 2008, for
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 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.
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 Chair 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 appetite and 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 had previously
considered that it was not necessary for there to be a Nomination Committee,
or a Remuneration Committee as anticipated by the AIC Code. A Remuneration and
Nomination Committee was established on 17 June 2022. The Board has included a
separate Directors’ Remuneration Report in these Interim Unaudited Financial
Statements.
For new appointments to the Board, a specialist independent recruitment firm
is engaged as and when appropriate, nominations are sought from the
Directors and from other relevant parties and candidates are then interviewed
by the Directors. 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 24 September 2021, Shareholders re-elected all the
then incumbent Directors of the Company, except for Julia Chapman, who was
appointed on 1 October 2021.
The Board, through the Remuneration and Nomination Committee, regularly
reviews its composition and believes that the current appointments provide an
appropriate range of skill, experience and diversity.
The Board, Audit Committee, Management Engagement Committee and Remuneration
and Nomination 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 Chair reviewing the Directors’ performance,
contribution and commitment to the Company.
Claire Whittet has been Senior Independent Director since 20 June 2019 and
takes the lead in evaluating the performance of the Chair.
Board Performance
The performance of the Board and that of each individual Director is scheduled
for external evaluation every three years.
The most recent external evaluation of the Board’s performance was completed
in March 2022 and is scheduled to take place every three years. The last such
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 the Board intends to adopt.
The Board carries out an annual internal evaluation of its performance in
years when an external evaluation is not taking place. There were no matters
of note in the last annual internal evaluation.
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 Interim Report, the Board has sought to
provide further information to enable Shareholders to better understand the
Company’s business and financial performance.
Policy to Combat Fraud, Bribery and Corruption
The Board has adopted a formal policy to combat fraud, bribery and corruption.
The policy applies to the Company and to each of its Directors. Further, the
policy is shared with each of the Company’s service providers.
In respect of the UK Criminal Finances Act 2017 which introduced a new
Corporate Criminal Offence of ‘failing to take reasonable steps to prevent
the facilitation of tax evasion’, the Board confirms that it is committed to
preventing the facilitation of tax evasion and takes all reasonable steps to
do so.
Social and Environmental Issues
The Board also keeps under review developments involving other social and
environmental issues, such as Modern Slavery, and will report on those to the
extent they are considered relevant to the Company’s operations. Further
explanation is detailed under 'Climate Change and ESG Risks'.
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 period.
Ongoing charges for the six-month period ended 30 June 2022, year ended 31
December 2021 and six-month period ended 30 June 2021 have been prepared in
accordance with the AIC’s recommended methodology.
The following table presents the Ongoing Charges for each share class.
30.06.22
Sterling US Dollar
Shares Shares
Company – Ongoing Charges 1.69% 1.81%
Master Fund – Ongoing Charges 0.33% 0.34%
Performance fees 3.17% 3.24%
Ongoing Charges plus performance fees 5.19% 5.39%
31.12.21
Sterling US Dollar
Shares Shares
Company – Ongoing Charges 1.34% 1.11%
Master Fund – Ongoing Charges 0.45% 0.45%
Performance fees 0.64% 0.69%
Ongoing Charges plus performance fees 2.43% 2.25%
30.06.21
Sterling US Dollar
Shares Shares
Company – Ongoing Charges 0.56% 0.55%
Master Fund – Ongoing Charges 0.69% 0.69%
Performance fees 0.30% 0.32%
Ongoing Charges plus performance fees 1.55% 1.56%
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
Sterling and US Dollar 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
Bronwyn Curtis, Claire Whittet and Julia Chapman. 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 and comprises all members of the Board. It was chaired by
Claire Whittet until 17 June 2022, when Julia Chapman was appointed Chair.
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 Management
Engagement Committee also monitors the performance of all service providers on
an annual basis and writes to each service provider regarding their Business
Continuity Plans. To date, all services have proved to be robust and there has
been no disruption to the Company. 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 Interim Unaudited 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 3 September 2021, 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.
Remuneration and Nomination Committee
The Board established a Remuneration and Nomination Committee on 17 June 2022
with formal duties and responsibilities. The Remuneration and Nomination
Committee meets formally at least once a year, is chaired by Bronwyn Curtis
and comprises all members of the Board.
The function of the Remuneration and Nomination Committee is to:
· regularly review the structure, size and composition of the Board
and make recommendations to the Board with regard to any changes that are
deemed necessary;
· Identify, from a variety of sources, candidates to fill Board
vacancies as and when they arise with a continued focus on Board diversity;
· assess and articulate the time needed to fulfil the role of Chair
and of a non-executive director, and undertake an annual performance
evaluation to ensure that all the members of the Board have devoted sufficient
time to their duties, and also to review their contribution to the work of the
Board and the breadth of experience of the Board as a whole; and
· annually review the levels of remuneration of the Chair of the
Board, the Chair of the Audit & Risk Committee and other committees and other
non-executive directors having regard to the maximum aggregate remuneration
that may be paid under the Company’s Articles of Incorporation.
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 two occasions during the period.
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,
LSE continuing obligations and other matters. The reports were reviewed by the
Board. No material adverse findings were identified in these reports.
Packaged Retail and Insurance Based Investment Products (“PRIIPs”)
From 1 January 2021, the Company became subject to the UK version of
Regulation (EU) No 1286/2014 on key information documents for PRIIPs, which is
part of UK law by virtue of the European Union (Withdrawal) Act 2018, as
amended and supplemented from time to time, including by the Packaged Retail
and Insurance-based Investment Products (EU Exit) Regulations 2019, (the “UK
PRIIPs Laws”), which superseded the EU regulation that previously applied to
the Company. In accordance with the requirements of the UK PRIIPs Laws, the
Manager published the latest standardised three-page Key Information Document
(“KID”) on the Company on 28 April 2022. 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 is prescribed by
regulation. The figures in the KID may not reflect the expected returns for
the Company and anticipated returns cannot be guaranteed.
Principal Risks and Uncertainties
The Board is responsible for the Company’s system of internal controls and
for reviewing its effectiveness. The Board is satisfied that by using the
Company’s risk matrix in establishing the Company’s system of internal
controls, while monitoring the Company’s investment objective and policy,
the Board has carried out a robust assessment of the principal and emerging
risks and uncertainties facing the Company. The principal and emerging 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, or from the unavailability of either the
Administrator or Manager for whatever reason. The Board receives reports
annually from the Manager and Administrator on their respective 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;
· Coronavirus Risk: Despite the impact of Coronavirus (COVID-19)
pandemic, the recovery therefrom and the subsequent impact on businesses, the
Board continues to believe 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);
· Geopolitical Risk: Russia’s ongoing invasion of Ukraine,
along with consequential supply-side inflation, has led to greater economic
uncertainty, variability and volatility. Whilst the Master Fund has no
material direct exposure to Russia, Ukraine or Belarus. the Board has also
made enquiries of key service providers in respect of any impact from
Russia’s invasion of Ukraine and the related instability in world markets
and has been assured that none of the service providers have operations in the
region or are in any way impacted in terms of their ability to continue to
supply their services to the Company; and
· Climate Change and ESG Risks: The Company has no employees and
does not own any physical assets and is therefore not directly exposed to
climate change risk. The Manager monitors developments in this area and
industry best practice on behalf of the Board where appropriate and also
regularly assesses the trading activity of the underlying Master Fund and
sub-funds to ascertain whether environmental, social and governance
(“ESG”) factors are appropriate or applicable to such funds. The Board has
also made enquiries of key service providers in respect of their assessment of
how climate change and ESG risk impacts their own operations and has been
assured that this has no impact on their ability to continue to supply their
services to the Company.
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 three female and two male non-executive directors. The Company
has no employees.
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 2022.
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 Chair and other Directors are
available to meet Shareholders, with a number of such meetings taking place
during the period. 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 intends 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 period, no resolution recommended by the
Board received more than 20% of votes against it.
Significant Shareholders
As at 30 June 2022, the following Shareholders had significant shareholdings
in the Company:
% holding
Total Shares Held in class
Significant Shareholders
Sterling Shares
Ferlim Nominees Limited 5,124,539 17.49%
Rathbone Nominees Limited 2,957,852 10.09%
Smith & Williamson Nominees Limited 2,334,735 7.97%
Cheviot Capital (Nominees) Limited 1,972,538 6.73%
Pershing Nominees Limited 1,428,611 4.88%
Lion Nominees Limited 1,196,798 4.08%
Vestra Nominees Limited 1,091,095 3.72%
HSBC Global Custody Nominee (UK) Limited 1,057,421 3.61%
% holding
Total Shares Held in class
Significant Shareholders
US Dollar Shares
Hero Nominees Limited 494,029 19.12%
Vidacos Nominees Limited 476,674 18.45%
Euroclear Nominees 367,205 14.21%
Luna Nominees Limited 171,447 6.64%
Securities Services Nominees Limited 107,172 4.15%
Rathbone Nominees Limited 97,790 3.78%
Ferlim Nominees Limited 95,703 3.70%
Vestra Nominees Limited 89,589 3.47%
Smith & Williamson Nominees Limited 87,256 3.38%
Signed on behalf of the Board by:
Richard Horlick
Chair
John Le Poidevin
Director
9 September 2022
Statement of Directors’ Responsibility in Respect of the Interim Report and
Unaudited Financial Statements
We confirm to the best of our knowledge that:
• these Interim Unaudited Financial Statements have been prepared in
accordance with United States Generally Accepted Accounting Principles and
give a true and fair view of the assets, liabilities, financial position and
profit or loss; and
• these Interim Unaudited Financial Statements include information
detailed in the Chair’s Statement, the Directors’ Report, the Manager’s
Report and the Notes to the Interim Unaudited Financial Statements, which
provides a fair review of the information required by:
(a) DTR 4.2.7R of the Disclosure Guidance and Transparency Rules, being an
indication of important events that have occurred during the first six months
of the financial year and their impact on these Interim Unaudited Financial
Statements and a description of the principal risks and uncertainties for the
remaining six months of the year; and
(b) DTR 4.2.8R of the Disclosure Guidance and Transparency Rules, being
related-party transactions that have taken place in the first six months of
the current financial year and that have materially affected the financial
position or performance of the Company during that period and any changes in
the related-party transactions described in the last Annual Audited Financial
Statements that could materially affect the financial position or performance
of the Company.
The Directors are responsible for the maintenance and integrity of the
corporate and financial information included on the Company’s website and
for the preparation and dissemination of financial statements. Legislation in
Guernsey governing the preparation and dissemination of the financial
statements may differ from legislation in other jurisdictions.
Signed on behalf of the Board by:
Richard Horlick
Chair
John Le Poidevin
Director
9 September 2022
Directors’ Remuneration Report
30 June 2022
Introduction
An ordinary resolution for the approval of the Directors’ Remuneration
Report was passed by the Shareholders at the Annual General Meeting held on 24
September 2021.
Remuneration policy
A Remuneration and Nomination Committee was established on 17 June 2022. Prior
to this, the Board as a whole considered 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 Chair of the Board is paid a higher fee in recognition of his additional
responsibilities, as are the Chairs of the various Board committees 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 24 September 2021, Shareholders
re-elected all the Directors. Director appointments can also be terminated in
accordance with the Articles. Should Shareholders vote against a Director
standing for re-election, the Director affected will not be entitled to any
compensation. There are no set notice periods and a Director may resign by
notice in writing to the Board at any time.
Directors are remunerated in the form of fees, payable quarterly in arrears,
to the Director personally.
No other remuneration or compensation was paid or payable by the Company
during the period to any of the Directors apart from the reimbursement of
allowable expenses.
Directors’ fees
Until 30 June 2022, The Company’s Articles limited the fees payable to
Directors in aggregate to £400,000 per annum. The annual Directors’ fees
were: £70,000 for Richard Horlick, the Chair; £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.
From 1 July 2022, the annual aggregate limit was increased to £800,000 per
annum. The annual Directors’ fees were changed to being £90,000 for Richard
Horlick, the Chair; £65,000 for John Le Poidevin, the Chair of the Audit
Committee; £55,000 for Julia Chapman, as Chair of the Management Engagement
Committee; £55,000 for Bronwyn Curtis, as Chair of the Remuneration and
Nomination Committee; £55,000 for Claire Whittet, as Senior Independent
Director and £50,000 for all other Directors.
The fees payable by the Company in respect of each of the Directors who served
during the period ended 30 June 2022, the year ended 31 December 2021 and the
period ended 30 June 2021, were as follows:
Period Year Period
ended ended ended
30.06.22 31.12.21 30.06.21
£ £ £
Richard Horlick* 35,000 *66,678 *31,678
Colin Maltby** N/A **8,822 **8,822
Julia Chapman*** 22,500 ***11,250 N/A
Bronwyn Curtis 22,500 45,000 22,500
John Le Poidevin 27,500 55,000 27,500
Claire Whittet 25,000 50,000 25,000
Total 132,500 236,750 115,500
* On 15 February 2021, Richard Horlick was appointed Chair
at a fee of £70,000 p.a. Prior to that date, he served as a Director at a fee
of £45,000 p.a.
** Colin Maltby retired as Chair and Director on 15 February
2021 and was paid a fee of £70,000 p.a. until that date.
*** Julia Chapman was appointed to the Board on 1 October 2021 at a
fee of £45,000 p.a.
Signed on behalf of the Board by:
Richard Horlick
Chair
John Le Poidevin
Director
9 September 2022
Manager’s Report
Brevan Howard Capital Management LP (“BHCM” or the “Manager”) is the
manager of BH Macro Limited (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 GBP shares of the Company appreciated 15.53% during
the first half of 2022, while the NAV per share of the USD shares appreciated
by 14.11%.
The month-by-month NAV performance of each currency class of the Company since
it commenced operations in 2007 is set out below.
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
2020 (1.42) 5.49 18.31 0.19 (0.85) (0.53) 1.74 0.94 (1.16) (0.02) 0.75 3.04 28.09
2021 1.20 0.32 0.81 0.15 0.25 (1.50) (0.49) 0.87 0.40 0.27 0.00 0.47 2.76
2022 0.94 1.79 5.39 3.86 1.66 1.05 15.53
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
2020 (1.25) 5.39 18.40 0.34 (0.82) (0.54) 1.84 0.97 (1.11) (0.01) 0.76 3.15 28.89
2021 1.21 0.31 0.85 0.16 0.26 (1.47) (0.47) 0.86 0.31 0.14 (0.09) 0.59 2.67
2022 0.74 1.77 5.27 3.80 1.09 0.76 14.11
Source: Master Fund NAV data is provided by the administrator of the Master
Fund, State Street Fund Services (Ireland) Limited. The Company’s NAV and
NAV per Share data is provided by the Company’s administrator, Northern
Trust International Fund Administration Services (Guernsey) Limited.
The Company’s NAV per Share % Monthly Change is calculated by BHCM.
The Company’s NAV data is unaudited and net of all investment management and
performance fees and all other fees and expenses payable by the Company. In
addition, the Company’s investment in the Master Fund is subject to an
operational services fee.
NAV performance is provided for information purposes only. Shares in the
Company do not necessarily trade at a price equal to the prevailing NAV per
Share.
Data as at 30 June 2022.
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 Commodities Credit Equity Digital Assets TOTAL
Q1 2022 7.28 1.30 0.72 0.09 (1.05) (0.39) 7.93
Q2 2022 6.91 (0.37) (0.22) (0.43) 0.41 (0.51) 5.73
YTD 2022 14.70 0.92 0.50 (0.35) (0.64) (0.90) 14.11
Data as at 30 June 2022.
Quarterly and YTD figures are calculated by BHCM as at 30 June 2022, based on
performance data for each period provided by the Company’s administrator,
Northern Trust. Figures rounded to two decimal places.
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
“Commodities”: commodity futures and options on commodities including
mining indices
“Credit”: corporate and asset-backed indices, bonds and CDS
“Equity”: equity markets including indices and other derivatives
“Digital Assets”: crypto-currencies including derivatives
Performance and Economic Outlook Commentary
Headline and core inflation rose to 40-year highs in the US in the first half
of the year. Overall GDP growth has been subpar because of a combination of
factors. Inventories and international trade pulled down real GDP in the first
quarter. Real consumption spending slowed in the second quarter because
inflation ran so hot and residential investment fell as the housing sector
cooled. It’s possible that both quarters eventually report declines in real
GDP, which would meet the casual definition of recession. However, with real
GDI growing and the labour market continuing to power ahead, there is no
widespread decline in economic activity which is required to meet the
technical definition of a recession. Indeed, the labour market has never been
tighter according to a number of metrics. The unemployment rate is low, the
broadest measure of labour-market slack (U-6) declined to a record low in
June, and job openings are near record highs. After having fallen behind the
curve, the Federal Reserve (“Fed”) has moved quickly to tighten financial
conditions, delivering an initial 25 basis point hike in March and
accelerating the removal of accommodation in May and June with 50 bps and 75
bps rate hikes, respectively. In response to the Fed’s “expeditious”
pace of rate hikes, mortgage rates rose, equities fell, and the US dollar
appreciated.
Over the course of H1 the Master Fund profited broadly from these events,
making gains from the move higher in US and global interest rates as well as
inflation and volatility markets. Additional gains came from commodity trading
as well as from a wide range of idiosyncratic emerging market interest rate
and FX positioning, while credit, equity and digital asset trading strategies
detracted modestly.
Going into the second half of the year, the Fed will likely continue raising
rates into restrictive territory. Investors will be asking whether the economy
slows enough to reduce inflationary pressures. The global picture shared a
number of themes with the US. Inflation is very high in most developed market
economies and virtually all Emerging Market economies. Even Japan is beginning
to see signs of inflationary pressures as the Bank of Japan maintains
hyper-accommodative and perhaps unsustainable monetary policy easing. China
suffered from COVID-pandemic-related shutdowns that brought economic activity
to a standstill. Although China deployed a number of fiscal measures to
promote growth there’s no plan to end its dynamic zero-COVID policy. Europe
faces the most profound economic challenges that point to stagflation in the
second half of the year as Putin uses energy as a strategic weapon. Inflation
is too high, growth is at risk, and policy rates are too low among the
European central banks. The European Central Bank (“ECB”) is in an
especially parlous position. Inflation is at a record-high for the Euro era,
policy rates are still negative, and the planned pace of rate hikes is
relatively leisurely.
The biggest threat to financial stability may be a renewal of worries about
the sustainability of sovereign debt in heavily-indebted peripheral countries.
Indeed, political risks in Italy may flare up again and prove to be a catalyst
for market stress. Taken as a whole, the global macro environment is
complicated, challenging and changing at a fast pace.
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.
9 September 2022
Independent Review Report to BH Macro Limited
Conclusion
We have been engaged by BH Macro Limited (the "Company") to review the
financial statements in the half-yearly financial report for the six months
ended 30 June 2022 of the Company, which comprises the unaudited statement of
assets and liabilities, the unaudited statement of operations, the unaudited
statement of changes in net assets, the unaudited statement of cash flows and
the related explanatory notes.
Based on our review, nothing has come to our attention that causes us to
believe that the financial statements in the half-yearly financial report for
the period ended 30 June 2022 do not give a true and fair view of the
financial position of the Company as at 30 June 2022 and of its financial
performance and its cash flows for the six month period then ended, in
accordance with U.S generally accepted accounting principles and the
Disclosure Guidance and Transparency Rules ("the DTR") of the UK's Financial
Conduct Authority ("the UK FCA").
Scope of review
We conducted our review in accordance with International Standard on Review
Engagements (UK) 2410 Review of Interim Financial Information Performed by the
Independent Auditor of the Entity (“ISRE (UK) 2410”) issued by the
Financial Reporting Council for use in the UK. A review of interim financial
information consists of making enquiries, primarily of persons responsible for
financial and accounting matters, and applying analytical and other review
procedures. We read the other information contained in the half-yearly
financial report and consider whether it contains any apparent misstatements
or material inconsistencies with the information in the financial statements.
A review is substantially less in scope than an audit conducted in accordance
with International Standards on Auditing (UK) and consequently does not enable
us to obtain assurance that we would become aware of all significant matters
that might be identified in an audit. Accordingly, we do not express an audit
opinion.
Conclusions relating to going concern
Based on our review procedures, which are less extensive than those performed
in an audit as described in the Scope of review section of this report,
nothing has come to our attention to suggest that the directors have
inappropriately adopted the going concern basis of accounting or that the
directors have identified material uncertainties relating to going concern
that are not appropriately disclosed.
This conclusion is based on the review procedures performed in accordance with
ISRE (UK) 2410. however future events or conditions may cause the Company to
cease to continue as a going concern, and the above conclusions are not a
guarantee that the Company will continue in operation.
Director's responsibilities
The half-yearly financial report is the responsibility of, and has been
approved by, the directors. The directors are responsible for preparing the
interim financial report in accordance with the DTR of the UK FCA.
The financial statements included in this interim report have been prepared in
accordance with U.S generally accepted accounting principles.
In preparing the half-yearly financial report, the directors are responsible
for 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.
Our responsibility
Our responsibility is to express to the Company a conclusion on the financial
statements in the half-yearly financial report based on our review. Our
conclusion, including our conclusions relating to going concern, are based on
procedures that are less extensive than audit procedures, as described in the
scope of review paragraph of this report.
The purpose of our review work and to whom we owe our responsibilities
This report is made solely to the Company in accordance with the terms of our
engagement letter to assist the Company in meeting the requirements of the DTR
of the UK FCA. Our review has been undertaken so that we might state to the
Company those matters we are required to state to it in this report and for no
other purpose. To the fullest extent permitted by law, we do not accept or
assume responsibility to anyone other than the Company for our review work,
for this report, or for the conclusions we have reached.
Simon Guilbert
For and on behalf of KPMG Channel Islands Limited
Chartered Accountants
Guernsey
9 September 2022
Unaudited Statement of Assets and Liabilities
As at 30 June 2022
30.06.22 31.12.21 30.06.21
(Unaudited) (Audited) (Unaudited)
US$'000 US$'000 US$'000
Assets
Investment in the Master Fund (note 3) 1,523,101 1,288,417 709,628
Master Fund redemption proceeds receivable - 600 68,211
Master Fund subscription paid in advance 32,180 - -
Prepaid expenses 333 294 112
Cash and bank balances denominated in Sterling 4,820 15,884 2,657
Cash and bank balances denominated in US Dollars 334 546 441
Combination costs receivable - 1,749 -
Total assets 1,560,768 1,307,490 781,049
Liabilities
Performance fees payable (note 4) 43,130 6,205 2,344
Management fees payable (note 4) 2,020 3,252 640
Repurchases in respect of the tender offer payable - - 65,215
Legal and professional fees payable - - 1,467
Accrued expenses and other liabilities 227 254 166
Administration fees payable (note 4) 58 51 32
Total liabilities 45,435 9,762 69,864
Net assets 1,515,333 1,297,728 711,185
Number of shares in issue (note 5)
Sterling shares 29,300,836 25,864,663 13,750,456
US Dollar shares 2,583,898 2,689,547 1,968,239
Net asset value per share (notes 7 and 9)
Sterling shares £39.63 £34.30 £33.78
US Dollar shares US$40.76 US$35.71 US$35.24
See accompanying Notes to the Interim Unaudited Financial Statements.
Signed on behalf of the Board by:
Richard Horlick
Chair
John Le Poidevin
Director
9 September 2022
Unaudited Statement of Operations
For the period ended 30 June 2022
01.01.22 01.01.21 01.01.21
30.06.22 31.12.21 30.06.21
(Unaudited) (Audited) (Unaudited)
US$'000 US$'000 US$'000
Net investment loss allocated from the Master Fund
Interest income 7,473 4,830 1,628
Dividend and other income (net of withholding tax:
30 June 2022: $59,896; 31 December 2021: US$41,739; 30 June 2021: US$24,654) 333 443 189
Expenses (13,094) (9,738) (6,179)
Net investment loss allocated from the Master Fund (5,288) (4,465) (4,362)
Company income
Bank interest income 3 - -
Foreign exchange gains (note 3) - - 7,305
Total Company income 3 - 7,305
Company expenses
Performance fees (note 4) 45,802 6,286 2,350
Management fees (note 4) 11,427 10,921 1,273
Legal and professional fees - - 1,471
Other expenses 389 1,465 644
Directors' fees 172 326 161
Administration fees (note 4) 113 156 63
Foreign exchange losses (note 3) 144,433 13,044 -
Total Company expenses 202,336 32,198 5,962
Net investment loss (207,621) (36,663) (3,019)
Net realised and unrealised gain on investments allocated from the Master Fund
Net realised gain on investments 46,061 46,982 25,643
Net unrealised gain/(loss) on investments 203,762 1,691 (7,393)
Net realised and unrealised gain on investments allocated from the Master Fund 249,823 48,673 18,250
Net increase in net assets resulting from operations 42,202 12,010 15,231
See accompanying Notes to the Interim Unaudited Financial Statements
Unaudited Statement of Changes in Net Assets
For the period ended 30 June 2022
01.01.22 01.01.21 01.01.21
30.06.22 31.12.21 30.06.21
(Unaudited) (Audited) (Unaudited)
US$'000 US$'000 US$'000
Net increase in net assets resulting from operations
Net investment loss (207,621) (36,663) (3,019)
Net realised gain on investments allocated from the Master Fund 46,061 46,982 25,643
Net unrealised gain/(loss) on investments allocated from the Master Fund 203,762 1,691 (7,393)
42,202 12,010 15,231
Share capital transactions
Proceeds on issue of shares from treasury (note 5)
Sterling shares - 129,006 -
US Dollar shares - 3,216 -
Issue of new shares from the Combination with BH Global Limited (in Voluntary Winding Up)
Sterling shares - 339,914 -
US Dollar shares - 25,733 -
Issue of new shares
Sterling shares 175,403 91,896 -
US Dollar shares - - -
Tender offer
Sterling shares - (60,902) (60,901)
US Dollar shares - (4,314) (4,314)
Total share capital transactions 175,403 524,549 (65,215)
Net increase/(decrease) in net assets 217,605 536,559 (49,984)
Net assets at the beginning of the period/year 1,297,728 761,169 761,169
Net assets at the end of the period/year 1,515,333 1,297,728 711,185
See accompanying Notes to the Interim Unaudited Financial Statements.
Unaudited Statement of Cash Flows
For the period ended 30 June 2022
01.01.22 01.01.21 01.01.21
30.06.22 31.12.21 30.06.21
(Unaudited) (Audited) (Unaudited)
US$'000 US$'000 US$'000
Cash flows from operating activities
Net increase in net assets resulting from operations 42,202 12,010 15,231
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 5,288 4,465 4,362
Net realised gain on investments allocated from the Master Fund (46,061) (46,982) (25,643)
Net unrealised (gain)/loss on investments allocated from the Master Fund (203,762) (1,691) 7,393
Purchase of investment in the Master Fund (1) (142,989) (145,200) -
Proceeds from sale of investment in the Master Fund 7,261 113,482 44,546
Increase in Master Fund subscription paid in advance (32,180) - -
Foreign exchange losses/(gains) 144,433 13,044 (7,305)
Increase in prepaid expenses (39) (258) (76)
Increase/(decrease) in performance fees payable 36,925 (34,263) (38,124)
(Decrease)/increase in management fees payable (1,232) 2,830 218
(Decrease)/increase in accrued expenses and other liabilities (27) 152 64
Decrease/(increase) in combination fees receivable 1,749 (1,749) -
Increase in legal and professional fees payable - - 1,467
Increase/(decrease) in administration fees payable 7 (12) (31)
Net cash (used in)/generated from operating activities (188,425) (84,172) 2,102
Cash flows from financing activities
Purchase of own shares into treasury - (65,216) -
Proceeds from share issue (1,2) 175,403 160,179 -
Net cash generated from financing activities 175,403 94,963 -
Change in cash (13,022) 10,791 2,102
Cash, beginning of the period/year 16,430 961 961
Effect of exchange rate fluctuations 1,746 4,678 35
Cash, end of the period/year 5,154 16,430 3,098
Cash, end of the period/year
Cash and bank balances denominated in Sterling (3) 4,820 15,884 2,657
Cash and bank balances denominated in US Dollars 334 546 441
5,154 16,430 3,098
Supplemental disclosure of non-cash financing activities
(1.)Supplemental disclosure of non-cash financing activities: In the year ended 31 December 2021, non-cash amounts of US$429.6 million in relation to the Combination with BH Global Limited (in Voluntary Winding Up) have been excluded from the Statement of Cash Flows.
(2.)The balance from the year ended 31 December 2021 contains proceeds from both the Combination with BH Global Limited (in Voluntary Winding Up) and subsequent block listings.
(3.)Cash and bank balances in Sterling (GBP'000) 3,969 11,726 1,923
See accompanying Notes to the Interim Unaudited Financial Statements
Notes to the Interim Unaudited Financial Statements
For the period from 1 January 2022 to 30 June 2022
1. The Company
BH Macro Limited (the “Company”) 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 Sterling and US Dollars.
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 Sterling and US Dollar denominated Class
B shares issued by Brevan Howard Master Fund Ltd (the “Master Fund”) and,
as such, the Company is directly and materially affected by the performance
and actions of the Master Fund.
The Master Fund is an open-ended investment company with limited liability
formed under the laws of the Cayman Islands on 22 January 2003. The investment
objective of the Master Fund is to generate consistent long-term appreciation
through active leveraged trading and investment on a global basis. The Master
Fund employs a combination of investment strategies that focus primarily on
economic change and monetary policy and market inefficiencies. The underlying
philosophy is to construct strategies, often contingent in nature with
superior risk/return profiles, whose outcome will often be crystallised by an
expected event occurring within a pre-determined period of time. New trading
strategies will be added as investment opportunities present themselves.
As such, the Interim Unaudited Financial Statements of the Company should be
read in conjunction with the Interim Unaudited Financial Statements of the
Master Fund which can be found on the Company’s website, www.bhmacro.com.
At the date of these Interim Unaudited Financial Statements, there were two
other feeder funds in operation in addition to the Company that invest all of
their assets (net of working capital) in the Master Fund. Furthermore, other
funds managed by the Manager invest some of their assets in the Master Fund as
at the date of these Financial Statements.
Off-Balance Sheet, market and credit risks of the Master Fund’s investments
and activities are discussed in the notes to the Master Fund’s Interim
Unaudited Financial Statements. The Company’s investment in the Master Fund
exposes it to various types of risk, which are associated with the financial
instruments and markets in which the Brevan Howard underlying funds invest.
Market risk represents the potential loss in value of financial instruments
caused by movements in market factors including, but not limited to, market
liquidity, investor sentiment and foreign exchange rates.
The Manager
Brevan Howard Capital Management LP (the “Manager”) is the Manager of the
Company. The Manager is a Jersey Limited Partnership, the general partner of
which is Brevan Howard Capital Management Limited, a Jersey Limited Company
(the “General Partner”). The General Partner is regulated in the conduct
of fund services business by the Jersey Financial Services Commission pursuant
to the Financial Services (Jersey) Law, 1998 and the Orders made thereunder.
The Manager also manages the Master Fund and in that capacity, as at the date
of these Financial Statements, has delegated the function of investment
management of the Master Fund to Brevan Howard Asset Management LLP, Brevan
Howard (Hong Kong) Limited, Brevan Howard Investment Products Limited, Brevan
Howard US Investment Management LP, Brevan Howard Private Limited and BH-DG
Systematic Trading LLP.
Subsequent to the resolutions passed at an Extraordinary General Meeting
(“EGM”) on 29 March 2021, the Management Agreement was amended and
restated with effect from 1 July 2021 to reflect the following changes:
i) Increase in Management Fee
The monthly management fee (the “Management Fee”) payable by the Company
(excluding the operational services fee payable at the level of the Master
Fund) was increased to an amount equal to one-twelfth of one and a half (1.5)%
of the prevailing NAV of each class of Shares.
The monthly Management Fee was previously equal to one-twelfth of one-half
(0.5)% of the lower of (a) the prevailing NAV of each class of Shares and (b)
the NAV of that class of Shares as at 1 April 2017, on the basis that all
Shares redeemed pursuant to the Company’s 2017 own share tender offer had
been redeemed on that date (subject to certain other adjustments, including
taking account of conversions between Share classes).
This change reversed, in part, the reduction in the Management Fee from
one-twelfth of two (2)% per month of the NAV of each class of Shares effective
from 1 April 2017 and reversed in full the agreement by the Manager not to
charge the Management Fee on performance-related growth of the Company which
first applied from October 2016.
In addition, the waiver since October 2016 of the operational services fees in
respect of performance-related growth of the Company was discontinued so that
those fees revert to being charged on the entire amount of the Company’s
investment in the Master Fund.
ii) Extension of notice period
The notice period for termination of the Management Agreement without cause by
the Company or the Manager was increased to 12 months from three months (which
is the notice period that has been effective from 1 April 2019 when it was
reduced from 24 months).
iii) Introduction of fee relating to certain share redemptions and repurchases
If, in any calendar year, the Company makes repurchases or redemptions of any
class of its Shares above a number equal to 5% of the shares in issue of the
relevant class as at 31 December in the prior year (the “Annual Buy Back
Allowance”), the Company will be required to pay the Manager a fee equal to
2% of the price paid by the Company to repurchase or redeem those additional
Shares. The purpose of this fee is to compensate the Manager in respect of the
Management Fee that would otherwise have been payable by the Company in
respect of the relevant Shares had they not been repurchased or redeemed. The
fee will be payable in respect of all Shares which are repurchased or redeemed
by the Company in excess of the Annual Buy Back Allowance in any year,
including by way of market purchases, tender offer, annual partial capital
return or the class closure provisions included in the Company’s Articles of
Incorporation.
iv) Introduction of liquidation vote trigger
In the event that the Company’s aggregate NAV at the end of any calendar
quarter for all share classes combined is lower than US$300 million (on the
basis of the then prevailing exchange rate), the Board will be required to
propose a vote to Shareholders for the liquidation of the Company. If the vote
were to be passed by Shareholders and the Company placed into liquidation, the
Management Agreement would be terminated and the Company would be required to
pay the Manager a payment equal to 2% of the Company’s NAV (net of any
Annual Buy Back Allowance for the relevant calendar year that remains unused),
in lieu of the Management Fee that would otherwise have been payable if the
Management Agreement had been terminated on 12 months’ notice, in addition
to any other fees owing to the Manager at the time of termination of the
Management Agreement. These arrangements effectively replicate the previous
position under the Management Agreement if the Management Agreement were to
have been terminated without notice having been served as a result of
Shareholders voting to wind up the Company. Further, there would be no
obligation on Shareholders to vote in favour of the liquidation in these
circumstances.
The annual performance fee payable by the Company to the Manager remains at
20% of the appreciation in the NAV per Share of each class of the Shares
during the relevant period above any prior high-water mark. The other terms of
the Management Agreement also remained unchanged.
3. Significant accounting policies
The Interim Unaudited Financial Statements, which give a true and fair view,
are prepared in accordance 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 Interim Unaudited
Financial Statements have been prepared using the going concern basis of
accounting.
The Company is an Investment Company which has applied the provisions of
Accounting Standards Codification (“ASC”) 946.
The following are the significant accounting policies adopted by the Company:
Valuation of investments
The Company records its investment in the Master Fund at fair value. Fair
value is determined as the Company’s proportionate share of the Master
Fund’s capital, which approximates fair value. At 30 June 2022, the Company
is the sole investor in the Master Fund’s ordinary Sterling and US Dollar
Class B shares as disclosed on the below. Within the table on the below, the
investment in each share class in the Master Fund is included, with the
overall total investment shown in the Unaudited 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
30 June 2022
Sterling 14.41% £6,185.20 188,158 £1,163,801 1,413,264
US Dollar 1.12% $6,150.35 17,859 $109,837 109,837
1,523,101
31 December 2021
Sterling 14.73% £5,196.52 169,474 £880,666 1,192,908
US Dollar 1.18% $5,179.12 18,439 $95,511 95,509
1,288,417
30 June 2021
Sterling 8.89% £5,080.47 91,251 £463,591 640,545
US Dollar 0.96% $5,059.24 13,652 $69,083 69,083
709,628
As at 30 June 2022, there was a Master Fund subscription paid in advance
balance of 4,284 Sterling Class B shares for £26,500,000 ($32,180,275). No
subscriptions were paid in advance as at 31 December 2021 and 30 June 2021.
ASC Topic 820 defines fair value as the price that the Company would receive
upon selling a security in an orderly transaction to an independent buyer in
the principal or most advantageous market of the security.
The valuation and classification of securities held by the Master Fund is
discussed in the notes to the Master Fund’s Interim Unaudited Financial
Statements which are available on the Company’s website, www.bhmacro.com.
Income and expenses
The Company records monthly its proportionate share of the Master Fund’s
income, expenses and realised and unrealised gains and losses. In addition,
the Company accrues its own income and expenses.
Use of estimates
The preparation of Financial Statements in accordance 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
Transactions reported in the Unaudited Statement of Operations are translated
into US Dollar amounts at the date of such transactions. Assets and
liabilities denominated in foreign currencies are translated into US Dollars
at the exchange rate at reporting date. The share capital and other capital
reserves are translated at the historic ruling at the date of the transaction.
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. The Unaudited Statement of Operations
items of the Sterling share class are converted into US Dollar using the
average exchange rate. Exchange differences arising on translation are
included in foreign exchange losses in the Unaudited Statement of Operations.
This foreign exchange 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.
Where such shares have been subsequently sold or reissued to the market, any
consideration received, net of any directly attributable incremental
transaction costs, is recognised as an increase in equity Shareholders’
funds through the share capital account. Where the Company cancels treasury
shares, no further adjustment is required to the share capital account of the
Company at the time of cancellation. Shares held in treasury are excluded from
calculations when determining NAV per share as detailed in note 7 and in the
Financial Highlights in note 9.
Refer to note 8 for details of sales of shares from treasury or purchases by
the Company of its share capital.
4. Management agreement and administration agreement
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 to 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. Effective from 1 July 2021, the management
fee charged was changed to 1/12 of 1.5% per month of the NAV, as described in
note 2. Until 30 June 2021, the management fee charged was the lower of (a)
0.5% the prevailing NAV of each class of Shares and (b) 0.5% the NAV of that
class of Shares as at 1 April 2017(1). The investment in the Class B shares of
the Master Fund is not subject to management fees, but was subject to an
operational services fee payable to the Manager of 1/12 of 0.5% per month of
the NAV.
During the six-month period ended 30 June 2022, US$11,426,798 (year ended 31
December 2021: US$10,921,176; six-month period ended 30 June 2021 $1,272,590)
was earned by the Manager as net management fees. At 30 June 2022,
US$2,020,089 (31 December 2021: US$3,251,592; 30 June 2021: $639,957) 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 six-month period ended 30 June 2022, US$45,801,636
(year ended 31 December 2021: US$6,285,545; six-month period ended 30 June
2021: US$2,349,730) was earned by the Manager as performance fees. At 30 June
2022, US$43,130,012 (31 December 2021: US$6,205,245; 30 June 2021:
US$2,343,535) 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.
Until 30 June 2021, the Management Agreement could have been terminated by
either party giving the other party not less than 3 months’ written notice.
In certain circumstances, the Company would have been 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 would not have been 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 increased from 3 months to 12 months,
with effect from 1 July 2021.
(1) On the basis that all shares redeemed pursuant to the Company's 2017 own
share tender offer had been redeemed on that date (subject to certain other
adjustments, including to take account of conversions between share classes).
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 2021 and 30 June 2021: £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 six-month period ended 30 June 2022, US$113,453
(year ended 31 December 2021: US$155,973; six-month period ended 30 June 2021:
US$62,848) was earned by the Administrator as administration fees. The amounts
outstanding are disclosed on the Unaudited Statement of Assets and
Liabilities.
5. Share capital
Issued and authorised share capital
The Company has the power to issue an unlimited number of ordinary shares with
no-par value and an unlimited number of shares with a par value. Shares may be
divided into at least two classes denominated in Sterling and US Dollar.
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 arose as a result of the discount
management programme as described in note 8. The tables below show the
movement in ordinary and treasury shares.
On 14 January 2022, the Company issued 921,862 Sterling Shares at a price of
3,670 pence per share.
On 16 March 2022, the Company issued 268,379 Sterling Shares at a price of
3,770 pence per share.
At an EGM held on 5 May 2022, Shareholders approved a Resolution allowing the
directors to issue up to 2,707,396 Sterling Shares, being 10% of the Sterling
shares in issue as at the date of the EGM.
On 19 May 2022, the Company issued 1,521,441 Sterling Shares at a price of
4,270 pence per share.
On 26 May 2022, the Company issued 59,631 Sterling Shares at a price of 4,300
pence per share.
On 16 June 2022, the Company issued 582,182 Sterling Shares at a price of
4,455 pence per share.
For the period from 1 January 2022 to 30 June 2022
Sterling shares US Dollar shares
Number of ordinary shares
In issue at 1 January 2022 25,864,663 2,689,547
Share conversions 82,678 (105,649)
Issue of new shares 3,353,495 -
In issue at 30 June 2022 29,300,836 2,583,898
Number of treasury shares
In issue at 1 January 2022 - -
Tender offer shares transferred to treasury (note 8) - -
Sale of shares from treasury - -
In issue at 30 June 2022 - -
Percentage of class 0.00% 0.00%
For the year ended 31 December 2021
Sterling shares US Dollar shares
Number of ordinary shares
In issue at 1 January 2021 15,009,868 2,191,379
Share conversions 153,458 (202,031)
Issue of new shares 9,689,134 449,971
Sale of shares from treasury 2,346,302 375,391
Tender offer shares transferred to treasury (note 8) (1,334,099) (125,163)
In issue at 31 December 2021 25,864,663 2,689,547
Number of treasury shares
In issue at 1 January 2021 1,012,203 250,228
Tender offer shares transferred to treasury (note 8) 1,334,099 125,163
Sale of shares from treasury (2,346,302) (375,391)
In issue at 31 December 2021 - -
Percentage of class 0.00% 0.00%
For the period from 1 January 2021 to 30 June 2021
Sterling shares US Dollar shares
Number of ordinary shares
In issue at 1 January 2021 15,009,868 2,191,379
Share conversions 74,687 (97,977)
Tender offer shares transferred to treasury (note 8) (1,334,099) (125,163)
In issue at 30 June 2021 13,750,456 1,968,239
Number of treasury shares
In issue at 1 January 2021 1,012,203 250,228
Tender offer shares transferred to treasury (note 8) 1,334,099 125,163
In issue at 30 June 2021 2,346,302 375,391
Percentage of class 14.58% 16.02%
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.
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 24
September 2021, the Directors have the power to issue further shares for cash
on a non-pre-emptive basis totalling 7,965,377 Sterling shares and 931,107 US
Dollar shares, respectively. This power expires fifteen months after the
passing of the resolution or on the conclusion of the next Annual General
Meeting of the Company, whichever is earlier, unless such power is varied,
revoked or renewed prior to that Meeting by a resolution of the Company in
general meeting.
As approved by the Shareholders at an EGM held on 5 May 2022, the Directors
have the power to issue further shares for cash on a non-pre-emptive basis
totalling 2,707,396 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 Interim Unaudited Financial Statements. Income tax and related
interest and penalties would be recognised by the Company as tax expense in
the Unaudited Statement of Operations if the tax positions were deemed not to
meet the more-likely-than-not threshold.
The Company analyses all open tax years for all major taxing jurisdictions.
Open tax years are those that are open for examination by taxing authorities,
as defined by the Statute of Limitations in each jurisdiction. The Company
identifies its major tax jurisdictions as: 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 remainder of the
year.
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. There were no shares held in treasury as at 30 June 2022,
as 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 is the Board’s intention to keep
any resumption of market purchases of shares under review.
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 determine, 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.
Class closure resolutions
If any class of shares trades at an average discount at or in excess of 8% of
the monthly NAV in any year from 1 January to 31 December, the Company will
hold a class closure vote of the relevant class.
The average premiums to NAV for the Sterling and US Dollar shares for the year
ended 31 December 2021 were 2.27% and 2.46% respectively and consequently, no
closure vote will be held in 2022.
The average premiums to NAV for the Sterling and US Dollar shares for the
six-month period ended 30 June 2022 were 8.49% and 9.41% respectively.
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 30 June 2022 and other performance
information derived from the Financial Statements.
The per share amounts and ratios which are shown reflect the income and
expenses of the Company for each class of ordinary share.
30.06.22 30.06.22
Sterling shares US Dollar shares
£ US$
Per share operating performance
Net asset value at beginning of the year 34.30 35.71
Income from investment operations
Net investment loss* (1.65) (1.74)
Net realised and unrealised gain on investment 6.16 6.87
Other capital items** 0.82 (0.08)
Total gain 5.33 5.05
Net asset value, end of the year 39.63 40.76
Total gain before performance fees 19.03% 17.61%
Performance fees (3.50%) (3.50%)
Total gain after performance fees 15.53% 14.11%
An individual Shareholder’s return may vary from these returns based on the
timing of their purchase or sale of shares. All figures contained herein in
respect of the period ended 30 June 2022 are not annualised.
30.06.22 30.06.22
Sterling shares US Dollar shares
£'000 US$'000
Supplemental data
Net asset value, end of the period 1,161,139 105,307
Average net asset value for the period 1,035,217 101,791
30.06.22 30.06.22
Sterling shares US Dollar shares
Ratio to average net assets
Operating expenses
Company expenses*** 0.83% 0.90%
Master Fund expenses**** 0.29% 0.30%
Master Fund interest expenses***** 0.62% 0.61%
Performance fees 3.16% 3.25%
4.90% 5.06%
Net investment loss before performance fees* (1.20%) (1.26%)
Net investment loss after performance fees* (4.36%) (4.51%)
31.12.21 31.12.21
Sterling shares US Dollar shares
£ US$
Per share operating performance
Net asset value at beginning of the year 33.38 34.78
Income from investment operations
Net investment loss* (0.86) (0.82)
Net realised and unrealised gain on investment 1.40 1.66
Other capital items** 0.38 0.09
Total gain 0.92 0.93
Net asset value, end of the year 34.30 35.71
Total gain before performance fees 3.45% 3.39%
Performance fees (0.69%) (0.72%)
Total gain after performance fees 2.76% 2.67%
Total gain 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 2021 to 31 December 2021. An individual
Shareholder’s return may vary from these returns based on the timing of
their purchase or sale of shares.
31.12.21 31.12.21
Sterling shares US Dollar shares
£'000 US$'000
Supplemental data
Net asset value, end of the year 887,143 96,050
Average net asset value for the year 651,999 83,120
31.12.21 31.12.21
Sterling shares US Dollar shares
Ratio to average net assets
Operating expenses
Company expenses*** 1.33% 1.12%
Master Fund expenses**** 0.68% 0.68%
Master Fund interest expenses***** 0.32% 0.33%
Performance fees 0.64% 0.70%
2.97% 2.83%
Net investment loss before performance fees* (1.79%) (1.58%)
Net investment loss after performance fees* (2.43%) (2.28%)
30.06.21 30.06.21
Sterling shares US Dollar shares
£ US$
Per share operating performance
Net asset value at beginning of the period 33.38 34.78
Income from investment operations
Net investment loss* (0.45) (0.44)
Net realised and unrealised gain on investment 0.85 0.90
Total gain 0.40 0.46
Net asset value, end of the period 33.78 35.24
Total gain before performance fees 1.51% 1.63%
Performance fees (0.30%) (0.32%)
Total gain after performance fees 1.21% 1.31%
An individual Shareholder’s return may vary from these returns based on the
timing of their purchase or sale of shares. All figures contained herein in
respect of the period ended 30 June 2021 are not annualised.
30.06.21 30.06.21
Sterling shares US Dollar shares
£'000 US$'000
Supplemental data
Net asset value, end of the period 464,520 69,361
Average net asset value for the period 505,641 73,537
30.06.21 30.06.21
Sterling shares US Dollar shares
Ratio to average net assets
Operating expenses
Company expenses*** 0.47% 0.41%
Master Fund expenses**** 0.35% 0.34%
Master Fund interest expenses***** 0.45% 0.44%
Performance fees 0.30% 0.32%
1.57% 1.51%
Net investment loss before performance fee* (1.04%) (0.96%)
Net investment loss after performance fees* (1.34%) (1.28%)
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/period.
*** Company expenses are as disclosed in the Unaudited Statement of
Operations excluding the performance fee and foreign exchange losses/gains.
**** 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 fees, performance fees and administration fees are disclosed in
note 4.
Until 30 June 2022, The Company’s Articles limited the fees payable to
Directors in aggregate to £400,000 per annum. The annual Directors’ fees
were: £70,000 for Richard Horlick, the Chair; £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.
From 1 July 2022, the annual aggregate limit was increased to £800,000 per
annum. The annual Directors’ fees were changed to being £90,000 for Richard
Horlick, the Chair; £65,000 for John Le Poidevin, the Chair of the Audit
Committee; £55,000 for Julia Chapman, as Chair of the Management Engagement
Committee; £55,000 for Bronwyn Curtis, as Chair of the Remuneration and
Nomination Committee; £55,000 for Claire Whittet, as Senior Independent
Director and £50,000 for all other Directors.
11. Subsequent events
On 5 July 2022, the Company completed the share conversion for the 31 May 2022
share conversion date, issuing 35,223 US Dollar Shares and cancelling 28,831
Sterling Shares.
On 7 July 2022, the Company issued 187,684 Sterling Shares pursuant to its
block listing facility at a price of 4,300 pence per share.
On 3 August 2022, the Company completed the share conversion for the 30 June
2022 share conversion date, issuing 1,791 US Dollar Shares and cancelling
1,530 Sterling Shares.
On 11 August 2022, the Company issued 356,458 Sterling Shares and 185,000 US
Dollar Shares pursuant to its block listing facility at a price of 4,375 pence
and $44.20 per share respectively.
On 2 September 2022, the Company issued 94,360 US Dollar Shares pursuant to
its block listing facility at a price of $47.30 per share.
On 5 September 2022, the Company completed the share conversion for the 31
July 2022 share conversion date, issuing 4,297 Sterling Shares and cancelling
5,089 US Dollar Shares.
The Directors have evaluated subsequent events up to 9 September 2022, which
is the date that the Interim Unaudited Financial Statements were approved and
available to be issued and have concluded there are no further items that
require disclosure or adjustment to the Interim Unaudited Financial
Statements.
Historic Performance Summary
As at 30 June 2022
30.06.22 31.12.21 31.12.20 31.12.19 31.12.18
US$'000 US$'000 US$'000 US$'000 US$'000
Net increase in net assets
resulting from operations 42,202 12,010 181,533 59,462 34,985
Total assets 1,560,768 1,307,490 802,224 570,779 506,307
Total liabilities (45,435) (9,762) (41,055) (11,014) (6,004)
Net assets 1,515,333 1,297,728 761,169 559,765 500,303
Number of shares in issue
Sterling shares 29,300,836 25,864,663 15,009,868 14,310,040 14,136,242
US Dollar shares 2,583,898 2,689,547 2,191,379 2,442,057 2,664,541
Net asset value per share
Sterling shares £39.63 £34.30 £33.38 £26.06 £24.13
US Dollar shares US$40.76 US$35.71 US$34.78 US$26.99 US$24.67
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 6 month-end NAV Calculation Dates in the period
ended 30 June 2022 calculated as the sum of the final Net Asset Value of the
share class as at each month-end NAV Calculation Date during the period ended
30 June 2022, divided by 6.
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
is shown below.
Sterling Shares US Dollar Shares
30.06.22 31.12.21 30.06.22 31.12.21
Share Price at Period/Year End (A) £43.60 £37.40 $44.60 $40.10
NAV per Share (B) £39.63 £34.30 $40.76 $35.71
Premium to NAV (A-B)/B 10.02% 9.04% 9.45% 12.29%
Ongoing Charges
The ongoing charges are calculated using the AIC Ongoing Charges methodology,
which was last updated in April 2022 and is available on the AIC website
(theaic.co.uk). They 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 and are expressed
as a percentage of the average of the daily net assets during the period (see
the Directors’ Report). 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:
Sterling Shares US Dollar Shares
Period ended Year ended Period ended Year ended
30.06.22 31.12.21 30.06.22 31.12.21
Average NAV for the period/year (a) £1,035,216,503 £651,999,493 $101,791,311 $83,119,938
Investment management fee £16,442,109 £7,337,629 $1,737,210 $840,210
Other Company expenses £969,985 £1,353,514 $104,191 $86,917
Total Company Expenses £17,412,094 £8,691,143 $1,841,401 $927,127
Expenses allocated from the Master Fund £3,333,375 £2,938,057 $343,652 $374,525
Performance Fee £32,798,424 £4,155,847 $3,301,246 $575,942
Total Expenses (b) £53,543,893 £15,785,047 $5,486,299 $1,877,594
Ongoing Charges (b/a) 5.19% 2.43% 5.39% 2.25%
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.
Company Information
Directors
Richard Horlick (Chair)
Julia Chapman
Bronwyn Curtis
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 Advisor (Guernsey Law)
Carey Olsen Carey House Les Banques St Peter Port Guernsey
Channel Islands GY1 4BZ
Legal Advisor (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
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