TIDMEET
RNS Number : 5700P
European Equity Tranche Income Ltd.
26 March 2009
European Equity Tranche Income Limited
UNAUDITED HALF-YEARLY RESULTS FOR THE SIX MONTHS ENDED 31 DECEMBER 2008
The directors announce the statement of half-yearly results for the six
months ended 31 December 2008 as follows. A copy of this half-yearly financial
report is expected to be posted to shareholders shortly and a copy will be
posted on the Company's website www.eeti.co.uk.
ABOUT THE COMPANY
European Equity Tranche Income Limited ("the Company") was incorporated in
Guernsey as a closed-ended investment company on 17 March 2006. On 26 April
2006 the Company raised via an institutional offering EUR100 million by the issue
of 100,000,000 Ordinary Shares of no par value at an issue price of EUR1 per
share. The Company purchased for cancellation 2,000,000 Ordinary Shares in the
capital of the Company on 26 July 2007. The total number of shares in issue as
at 31 December 2008 was 98,000,000.
On the 5 February 2009 the Company issued a further 927,000,000 Ordinary Shares
as part of a capital restructuring. On 13 February 2009 the Ordinary Shares were
consolidated into Consolidated Shares on the basis of one Consolidated Share for
every 100 Ordinary Shares. The total number of shares in issue as at the date of
this report is 10,250,000 Consolidated Shares.
On 12 December 2008, Scribona Nordic AB ("Scribona") purchased from Citibank all
outstanding commitments, rights and obligations in relation to the debt owed by
the Company to Citibank under its existing Facility Agreement. As at 31
December 2008 the Company had total drawdowns under the Scribona loan facility
of EUR30,445,279. On 5 February 2009, as part of the capital restructuring
Scribona agreed to waive such amount of the new facility as had the result that
the remaining balance outstanding of the principal amount of the Scribona Loan
amounted to EUR5,706,452.06. As at the date of this report the principal amount of
the Scribona Loan amounted to EUR4,006,452.06
The Company does not have a fixed life. Shareholders will have the opportunity
to review the future of the Company after an initial period of seven years,
being on or after 26 April 2013 and every second year thereafter.
INVESTMENT OBJECTIVE AND POLICY
The Company's investment objective is to deliver stable returns to shareholders
in the form of quarterly dividends and to preserve capital.
The Company seeks to achieve this by investment in non-investment grade and
equity tranche (or "first loss") positions of residential mortgage-backed
securities ("RMBS") and, to a limited extent, other asset-backed securities
("ABS") in Europe. The directors intend that no less than 75 per cent of
investments are made in RMBS with the remainder being in other ABS.
INVESTMENT PERFORMANCE
As at 31 December 2008, the net asset value per Share was EUR0.3023 (30 June 2008:
EUR0.3098), based on the net assets of the Group for the year of EUR29,631,321 (30
June 2008: EUR30,368,171) and on 98,000,000 (30 June 2008: 98,000,000) shares,
being the number of shares in issue at the balance sheet date.
As announced by the Company on 5 February 2009, at the Extraordinary General
Meeting held that day, shareholders approved the capital restructuring of the
Company, which resulted in the issue of 927,000,000 Ordinary Shares at a
discount to NAV, the reduction of debt owed by the Company to Scribona and the
consolidation of every 100 Ordinary Shares of no par value into one Consolidated
Share of no par value. Shareholders also approved the de-listing of the Ordinary
Shares from the Channel Islands Stock Exchange to save the costs and expenses in
relation to such a listing.
Following the consolidation, which became effective on 16 February 2009, the
Company has 10,250,000 Ordinary Shares in issue.
If the net assets as at 31 December 2008 were adjusted to reflect the above
capital restructuring and consolidation, with all other variables held constant,
net assets as at that date would have been EUR55,111,730, representing a net asset
value per Share of EUR5.3767.
CHAIRMAN'S STATEMENT
As noted in our 30 June 2008 year end report and in the various announcements we
have made in the course of 2008, the first half of this 30 June 2009 fiscal year
was dominated by our search to find satisfactory funding. The financing we had
previously arranged for 2009 was an extension of our original facility agreement
with Citibank. Unfortunately however, the deteriorating economy in Europe,
combined with the almost total cessation in trading of our securities, meant
that we would not have satisfied the existing facility's financial covenants. It
was, therefore, with considerable relief that we reached agreement with the
Swedish investment company, Scribona, in relation to a capital restructuring
whereby Scribona made a significant investment in the Company. The net result of
this investment has led to Scribona becoming interested in approximately 84 per
cent. of the Company's share capital. As part of the terms of the capital
restructuring, the Company's debt was significantly reduced to EUR5.7 million at
completion and, as of the end of February 2009, debt has further reduced to
approximately EUR4 million. Our current debt facility falls due for repayment by
mid December this year and the facility's financial covenants provide the
Company with greater flexibility than our previous debt facility. Although we
regret the need to find such financing and the dilution it involved, it should
be noted that Scribona allowed certain shareholders to participate in a non
pre-emptive placing as part of the capital restructuring, which a modest number
did, and without Scribona's support the Company would have been unable to meet
its obligations as they fell due, leading to a likely secured lender enforcement
and/or insolvency proceedings.
Whilst our balance sheet has improved immeasurably we still face many
uncertainties. Economies in Europe continue to decline and the real estate
crisis in Spain is worsening. As noted in the Investment Manager's report, some
of our Pastor investments in Spain remain under pressure, as do our holdings in
the Italian securitisation Sestante, and further provisions against the Sestante
valuations may prove necessary if the Constant Prepayment Rate does not reduce
in line with current assumptions as detailed in the Investment Manger's report.
Having said that, we can now face the future if not with confidence, at least
without the constant worry of finance being withdrawn, and if and when
conditions in Europe start to improve your Company will undoubtedly benefit.
Robin Monro-Davies
Chairman
INVESTMENT MANAGER'S REPORT
The NAV as at 31 December 2008 is estimated at EUR 29,631,321 or EUR 0.3023 per
share. The investment portfolio has not changed since July 2007. Cash flow
remained strong during the fourth quarter of 2008 with EUR2.4 million utilised to
reduce debt. From the Company's IPO on 26 April 2006 until 31 December 2008, the
portfolio has generated cash of over EUR30.9 million.
Market Outlook
European RMBS security issuance has been at record levels in 2008 with EUR585.3bn
issued (2007: EUR259.7bn). The last quarter volume has been exceptionally strong
with EUR307.1bn issued in the fourth quarter of 2008 (Q4 2007: EUR47.5bn). However,
transactions between banks have remained dependent on government guarantees and
central bank liquidity. Consequently, 95% of ABS and RMBS papers issued in 2008
have been structured for the sole purpose of qualifying as collateral for repo
financing with the central banks.
The European Central Bank has reduced interest rates to 2.0%, easing the cash
flow pressure on variable rate mortgage holders. In addition, the Spanish
government is considering various options to ease the plight of mortgage
holders. However, deteriorating economic conditions in all European countries
will certainly cause credit issues for weaker borrowers.
Portfolio Updates
Italy
Prepayment rates in Italy have remained high and continue to increase for
Sestante 2 and Sestante 3 although Sestante 4 registered a modest decline. The
June 2008 mark down on these three transactions assumed a 20% Constant
Prepayment Rate (CPR) until April 09, with it gradually reducing to 12.5% by
January 2010. It should be borne in mind that our net exposure to these
transactions has, following earlier provisions, reduced to around EUR10 million.
+----------------+---------------+--------------+--------------+--------------+
| Annualised CPR | Q1 08 | Q2 08 | Q3 08 | Q4 08 |
+----------------+---------------+--------------+--------------+--------------+
| Sestante 2 | 17.5% | 21.0% | 25.1% | 27.1% |
+----------------+---------------+--------------+--------------+--------------+
| Sestante 3 | 18.0% | 24.8% | 22.5% | 24.5% |
+----------------+---------------+--------------+--------------+--------------+
| Sestante 4 | 11.0% | 19.8% | 24.9% | 21.0% |
+----------------+---------------+--------------+--------------+--------------+
Spain
The deteriorating trend of arrears and defaults in Spain continues as shown in
the table:
+-----------------------+---------------+---------------+------------+------------+
| Arrears as a % of | Q1 08 | Q2 08 | Q3 08 | Q4 08 |
| current balance | | | | |
+-----------------------+---------------+---------------+------------+------------+
| Pastor 2 | 0.12% | 0.15% | 0.29% | 0.40% |
+-----------------------+---------------+---------------+------------+------------+
| Pastor 3 | 1.37% | 2.11% | 3.09% | 3.60% |
+-----------------------+---------------+---------------+------------+------------+
| Pastor 4 | 1.19% | 1.67% | 2.46% | 2.63% |
+-----------------------+---------------+---------------+------------+------------+
| Pastor 5 | 0.22% | 0.68% | 1.18% | 1.93% |
+-----------------------+---------------+---------------+------------+------------+
+-----------------------+---------------+---------------+------------+------------+
| Defaults in EUR | Q1 08 | Q2 08 | Q3 08 | Q4 08 |
| millions | | | | |
+-----------------------+---------------+---------------+------------+------------+
| Pastor 2 | 0.1 | 0.2 | 0.1 | 0.1 |
+-----------------------+---------------+---------------+------------+------------+
| Pastor 3 | 0.5 | 1.1 | 1.2 | 2.3 |
+-----------------------+---------------+---------------+------------+------------+
| Pastor 4 | 1.3 | 1.4 | 1.6 | 2.8 |
+-----------------------+---------------+---------------+------------+------------+
| Pastor 5 | 0.0 | 0.0 | 0.0 | 0.0 |
+-----------------------+---------------+---------------+------------+------------+
The Company have already taken modest provisions for its exposure to Pastor 3
and Pastor 4 as referred to in the announcement on 2 February 2009. Further
provisions could be necessary if conditions do not stabilise.
Germany
Eurohypo/Commerzbank, the sponsor of the transactions Provide Gems 2002-1
announced on 2 February 2009 that they will not exercise the early termination
right on the transaction. This investment has a book value of circa EUR3.9
million. We will be monitoring the speed at which the structure releases cash to
determine whether any value impairment will be required.
Portugal
Following the circa EUR10 million mark down suffered in October 2008 on the three
Lusitano transactions, we are following the trend in prepayments and defaults
closely. Should there be further increases in these key performance indicators,
additional mark downs will be necessary.
UNAUDITED CONSOLIDATED INCOME STATEMENT
for the six month period ended 31
December 2008
+-------------------------------------+----------+--------------+--+--------------+
| | | 1 Jul 08 to | | 1 Jul 07 to |
| | | 31 Dec 08 | | 31 Dec 07 |
+-------------------------------------+----------+--------------+--+--------------+
| | Notes | EUR | | EUR |
+-------------------------------------+----------+--------------+--+--------------+
| | | | | |
+-------------------------------------+----------+--------------+--+--------------+
| Operating income | 2 | 7,438,205 | | 6,656,553 |
+-------------------------------------+----------+--------------+--+--------------+
| | | | | |
+-------------------------------------+----------+--------------+--+--------------+
| Losses on fair value through profit | 9 | (5,350,455) | | (15,105,590) |
| and loss financial instruments | | | | |
+-------------------------------------+----------+--------------+--+--------------+
| | | | | |
+-------------------------------------+----------+--------------+--+--------------+
| Realised gain on disposal of | | - | | 27,606 |
| financial instruments | | | | |
+-------------------------------------+----------+--------------+--+--------------+
| | | | | |
+-------------------------------------+----------+--------------+--+--------------+
| Operating expenses | 3 | (1,086,604) | | (898,658) |
+-------------------------------------+----------+--------------+--+--------------+
| | | | | |
+-------------------------------------+----------+--------------+--+--------------+
| Loan interest payable | | (1,247,667) | | (1,289,474) |
+-------------------------------------+----------+--------------+--+--------------+
| | | | | |
+-------------------------------------+----------+--------------+--+--------------+
| Net loss for the period | | (246,521) | | (10,609,563) |
+-------------------------------------+----------+--------------+--+--------------+
| | | | | |
+-------------------------------------+----------+--------------+--+--------------+
| Retained loss transferred to | | (246,521) | | (10,609,563) |
| reserves | | | | |
+-------------------------------------+----------+--------------+--+--------------+
| | | | | |
+-------------------------------------+----------+--------------+--+--------------+
| | | | | |
+-------------------------------------+----------+--------------+--+--------------+
| Basic and diluted loss per share | 7 | (0.0025) | | (0.1079) |
| for the period | | | | |
+-------------------------------------+----------+--------------+--+--------------+
| | | | | |
+-------------------------------------+----------+--------------+--+--------------+
| Proforma basic and diluted loss per | 7 | (0.0025) | | (0.1079) |
| share for the period | | | | |
+-------------------------------------+----------+--------------+--+--------------+
In arriving at the results for the financial period, all amounts above relate to
continuing operations.
There have been no gains or losses in the period that are not included in the
above Income Statement.
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| | | 31 Dec | | 31 Dec | | 30 Jun | | 30 Jun |
| | | 2008 | | 2008 | | 2008 | | 2008 |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| |Notes | EUR | | EUR | | EUR | | EUR |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| ASSETS | | | | | | | | |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| | | | | | | | | |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| Non-current assets | | | | | | | | |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| Investments designated as | 9 | | | 55,940,869 | | | | 61,576,218 |
| at fair value through the | | | | | | | | |
| income statement | | | | | | | | |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| | | | | | | | | |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| Current assets | | | | | | | | |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| Trade and other | 11 | 2,574,615 | | | | 1,120,501 | | |
| receivables | | | | | | | | |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| Cash and cash equivalents | 12 | 2,011,811 | | | | 2,411,764 | | |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| | | | | 4,586,426 | | | | 3,532,265 |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| | | | | | | | | |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| Total assets | | | | 60,527,295 | | | | 65,108,483 |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| | | | | | | | | |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| EQUITY AND LIABILITIES | | | | | | | | |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| | | | | | | | | |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| Equity | | | | | | | | |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| Issued share capital | 13 | - | | | | - | | |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| Share premium | | 50,000,000 | | | | 50,000,000 | | |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| Retained earnings | | (20,359,679) | | | | (19,631,829) | | |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| | | | | 29,631,321 | | | | 30,368,171 |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| | | | | | | | | |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| Current liabilities | | | | | | | | |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| Bank loans and overdrafts | 14 | | | 30,445,279 | | | | 34,238,827 |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| Trade and other payables | 15 | | | 450,695 | | | | 501,485 |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| | | | | | | | | |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
| Total equity and | | | | 60,527,295 | | | | 65,108,483 |
| liabilities | | | | | | | | |
+----------------------------+-------+--------------+--+------------+--+--------------+--+------------+
UNAUDITED CONSOLIDATED BALANCE SHEET as at 31 December 2008
The financial statements were approved by the Board of directors on 26 March
2009 and are signed on its behalf by:
John Le Prevost Tanguy Boullet
Director Director
UNAUDITED CONSOLIDATED CASH FLOW STATEMENT
for the six month period ended 31 December 2008
+----------------------------------------------+--------------+--+--------------+
| | 1 Jul 08 to | | 1 Jul 07 |
| | 31 Dec 08 | | 31 Dec 07 |
+----------------------------------------------+--------------+--+--------------+
| | EUR | | EUR |
+----------------------------------------------+--------------+--+--------------+
| Cash flows from operating activities | | | |
+----------------------------------------------+--------------+--+--------------+
| | | | |
+----------------------------------------------+--------------+--+--------------+
| Net profit / (loss) for the period | (246,521) | | (10,609,563) |
+----------------------------------------------+--------------+--+--------------+
| Losses on fair value through profit and loss | 5,350,455 | | 15,105,590 |
| financial instruments | | | |
+----------------------------------------------+--------------+--+--------------+
| Realised gain on disposal of investment | - | | (27,606) |
+----------------------------------------------+--------------+--+--------------+
| Less: Interest received | (49,725) | | (57,432) |
+----------------------------------------------+--------------+--+--------------+
| Less: Decrease in accrued expenses | (50,790) | | (149,224) |
+----------------------------------------------+--------------+--+--------------+
| Less: (Increase) / decrease in prepayments | (1,454,114) | | 334,304 |
| and accrued income | | | |
+----------------------------------------------+--------------+--+--------------+
| Less: Interest capitalised written back | (1,335,986) | | (1,221,821) |
+----------------------------------------------+--------------+--+--------------+
| | | | |
+----------------------------------------------+--------------+--+--------------+
| Net cash inflow from operating activities | 2,213,319 | | 3,374,248 |
+----------------------------------------------+--------------+--+--------------+
| | | | |
+----------------------------------------------+--------------+--+--------------+
| Cash flows from investing activities | | | |
+----------------------------------------------+--------------+--+--------------+
| | | | |
+----------------------------------------------+--------------+--+--------------+
| Interest received | 49,725 | | 57,432 |
+----------------------------------------------+--------------+--+--------------+
| Purchase of non-current assets | - | | (7,354,795) |
+----------------------------------------------+--------------+--+--------------+
| Sale of non-current assets | - | | 8,100,000 |
+----------------------------------------------+--------------+--+--------------+
| Capital repayments received from investments | 1,620,880 | | 2,939,402 |
+----------------------------------------------+--------------+--+--------------+
| | | | |
+----------------------------------------------+--------------+--+--------------+
| Net cash inflow from investing activities | 1,670,605 | | 3,742,039 |
+----------------------------------------------+--------------+--+--------------+
| | | | |
+----------------------------------------------+--------------+--+--------------+
| Cash flows from financing activities | | | |
+----------------------------------------------+--------------+--+--------------+
| | | | |
+----------------------------------------------+--------------+--+--------------+
| Redemption of share capital | - | | (1,517,367) |
+----------------------------------------------+--------------+--+--------------+
| Dividends | (490,329) | | (3960,000) |
+----------------------------------------------+--------------+--+--------------+
| Bank loan repayments | (3,793,548) | | - |
+----------------------------------------------+--------------+--+--------------+
| | | | |
+----------------------------------------------+--------------+--+--------------+
| Net cash outflow from financing activities | (4,283,877) | | (5,477,367) |
+----------------------------------------------+--------------+--+--------------+
| | | | |
+----------------------------------------------+--------------+--+--------------+
| Cash and cash equivalents at the beginning | 2,411,764 | | 1,757,210 |
| of the period | | | |
+----------------------------------------------+--------------+--+--------------+
| | | | |
+----------------------------------------------+--------------+--+--------------+
| Net (decrease) / increase in cash and cash | (399,953) | | 1,638,920 |
| equivalents | | | |
+----------------------------------------------+--------------+--+--------------+
| | | | |
+----------------------------------------------+--------------+--+--------------+
| Cash and cash equivalents at the end of the | 2,011,811 | | 3,396,130 |
| period | | | |
+----------------------------------------------+--------------+--+--------------+
UNAUDITED STATEMENT OF CHANGES IN SHAREHOLDERS' EQUITY
for the six month period ended 31 December 2008
+-----------------------------+------------+------------+--------------+--------------+
| Group | Share | Share | Accumulated | |
+-----------------------------+------------+------------+--------------+--------------+
| | Capital | Premium | Profits | Total |
+-----------------------------+------------+------------+--------------+--------------+
| | EUR | EUR | EUR | EUR |
+-----------------------------+------------+------------+--------------+--------------+
| Balance at 1 July 2008 | - | 50,000,000 | (19,631,829) | 30,368,171 |
+-----------------------------+------------+------------+--------------+--------------+
| | | | | |
+-----------------------------+------------+------------+--------------+--------------+
| Net profit for the period | - | - | (246,521) | (246,521) |
+-----------------------------+------------+------------+--------------+--------------+
| Distribution to ordinary | - | - | (490,329) | (490,329) |
| shareholders | | | | |
+-----------------------------+------------+------------+--------------+--------------+
| | | | | |
+-----------------------------+------------+------------+--------------+--------------+
| Balance at 31 December 2008 | - | 50,000,000 | (20,368,679) | 29,631,321 |
+-----------------------------+------------+------------+--------------+--------------+
| | | | | |
+-----------------------------+------------+------------+--------------+--------------+
| | | | | |
+-----------------------------+------------+------------+--------------+--------------+
| Group | Share | Share | Accumulated | |
+-----------------------------+------------+------------+--------------+--------------+
| | Capital | Premium | Profits | Total |
+-----------------------------+------------+------------+--------------+--------------+
| | EUR | EUR | EUR | EUR |
+-----------------------------+------------+------------+--------------+--------------+
| Balance at 1 July 2007 | - | 50,000,000 | 47,344,025 | 97,344,025 |
+-----------------------------+------------+------------+--------------+--------------+
| | | | | |
+-----------------------------+------------+------------+--------------+--------------+
| Net Loss for the period | - | - | (10,609,563) | (10,609,563) |
+-----------------------------+------------+------------+--------------+--------------+
| Redemption of share capital | - | - | (1,517,367) | (1,517,367) |
+-----------------------------+------------+------------+--------------+--------------+
| Distribution to ordinary | - | - | (3,960,000) | (3,960,000) |
| shareholders | | | | |
+-----------------------------+------------+------------+--------------+--------------+
| | | | | |
+-----------------------------+------------+------------+--------------+--------------+
| Balance at 31 December 2007 | - | 50,000,000 | 31,257,095 | 81,257,095 |
+-----------------------------+------------+------------+--------------+--------------+
NOTES TO THE FINANCIAL STATEMENTS
for the six month period ended 31 December 2008
1ACCOUNTING POLICIES
* Basis of Preparation
The consolidated financial statements of European Equity Tranche Income Limited,
a closed-ended investment group in Guernsey, Channel Islands have been prepared
in conformity with International Financial Reporting Standards ("IFRS") issued
by the International Accounting Standards Board and the Interpretations of
International Financial Reporting Standards issued by the International
Financial Reporting Interpretations Committee of the International Accounting
Standards Board and applicable requirements of Guernsey Law.
The consolidated financial statements have been prepared on an historical cost
basis except for the measurement at fair value of investments designated as at
fair value through the Income Statement. The accounting policies have been
applied consistently by the Group in the accounting period which is from 1 July
2008 to 31 December 2008.The consolidated financial statements have been
prepared in its functional currency, Euro, as this reflects the Group's primary
activity of investing in Euro financial instruments.
Up to the date of approval of these financial statements, certain new standards,
interpretations and amendments to existing standards have been published but are
not yet effective for the reporting period and which the Company has not adopted
early, as follows:
+--------------------------------------------------------+-------------------+
| New standards | Effective for |
| | periods |
| | commencing |
+--------------------------------------------------------+-------------------+
| IFRS 8 Operating segments | 1 January 2009 |
+--------------------------------------------------------+-------------------+
| | |
+--------------------------------------------------------+-------------------+
| Amendments to standards | Effective for |
| | periods |
| | commencing |
+--------------------------------------------------------+-------------------+
| IFRS 1 First-time Adoption of | 1 January 2009 |
| International Financial Reporting | |
| Standards * | |
| Amendment relating to cost of an | |
| investment on first-time adoption of | |
| International Reporting Standards | |
+--------------------------------------------------------+-------------------+
| IFRS 2 Share Based Payment * | 1 January 2009 |
| Amendment relating to vesting | |
| conditions and cancellations | |
+--------------------------------------------------------+-------------------+
| IFRS 3 Business Combinations * | 1 July 2009 |
| Comprehensive revision | |
+--------------------------------------------------------+-------------------+
| IFRS 7 Financial Instruments: | 1 January 2009 |
| Disclosures * | |
| Amendments enhancing disclosures | |
| about fair value and liquidity risk | |
+--------------------------------------------------------+-------------------+
| IAS 1 Presentation of Financial | 1 January 2009 |
| Statements * | 1 January 2009 |
| Comprehensive revision* | |
| Amendments relating to disclosure of | |
| puttable instruments and obligations | |
| arising on liquidation | |
+--------------------------------------------------------+-------------------+
| IAS 23 Borrowing | 1 January 2009 |
| Costs* | |
| Comprehensive | |
| revision | |
+--------------------------------------------------------+-------------------+
| IAS 27 | 1 January 2009 |
| Consolidated and | |
| Separate Financial | |
| Statements * | |
| Amendment relating | |
| to cost of an | |
| investment on | |
| first-time | |
| adoption | |
+--------------------------------------------------------+-------------------+
| IAS 32 Financial | 1 January 2009 |
| Instruments: | |
| Presentation* | |
| Amendments | |
| relating to | |
| disclosure of | |
| puttable | |
| instruments and | |
| obligations | |
| arising on | |
| liquidation | |
+--------------------------------------------------------+-------------------+
| IAS 39 Financial | 1 July 2009 |
| Instruments: | |
| Recognition and | |
| Measurement* | |
| Amendments for | |
| eligible hedged | |
| items | |
+--------------------------------------------------------+-------------------+
| IAS 39 Financial | 30 June 2009 |
| Instruments: | |
| Recognition and | |
| Measurement* | |
| Amendments for | |
| embedded | |
| derivatives when | |
| classifying | |
| financial | |
| instruments | |
+--------------------------------------------------------+-------------------+
+--------------------------------------------------------+-------------------+
| New interpretations | Effective for |
| | periods |
| | commencing |
+--------------------------------------------------------+-------------------+
| IFRIC 15 Agreements for the Construction of Real | 1 January 2009 |
| Estate | |
+--------------------------------------------------------+-------------------+
| IFRIC 16 Hedges of a Net Investment in a Foreign | 1 October 2008 |
| Operation | |
+--------------------------------------------------------+-------------------+
| IFRIC 17 Distribution of Non-cash Assets to Owners | 1 July 2009 |
+--------------------------------------------------------+-------------------+
| IFRIC 18 Transfers of Assets from Customers | 1 July 2009 |
+--------------------------------------------------------+-------------------+
The Directors believe that IFRS's and International Financial Reporting
Interpretations Committee ("IFRIC") pronouncements which are in issue but not
yet operative or adopted by the Group will not have a material impact on the
consolidated financial statements of the Group except for the presentation of
additional disclosures and changes to the presentation of components of the
financial statements.
As set out in note 14, the Company previously had a loan facility with Citibank
which was due to mature on 15 December 2008.
On 12 December 2008, Scribona Nordic A.B. ("Scribona") purchased from Citibank
N.V. ("Citibank") all outstanding commitments, rights and obligations in
relation to the debt by the Company to Citibank under its existing Facility
Agreement. As a condition to the transfer of the existing debt from Citibank to
Scribona, Scribona has agreed to the repayment date under the Facility Agreement
being extended to 15 December 2009 and the interest payable under the terms of
such agreement being EURIBOR +5% per annum.
On 12 December 2008, the Company announced proposals relating to a capital
restructuring which included:
* the conversion by Scribona of EUR5,600,000 of debt to equity at EUR0.0111 per share;
* a non pre-emptive placing of new Ordinary Shares ("Shares") with certain
existing shareholders at a price of EUR0.0111 per share to raise up to EUR4,400,000,
underwritten by Scribona, where such subscription monies would be applied by the
Company in prepayment of the debt owed to Scribona;
* the release by Scribona of the Company from its obligations under the Facility
Agreement to repay such amount as would leave the sum outstanding under the
Facility Agreement at approximately EUR5,700,000; and
* Scribona would be paid a commission of EUR299,700 in relation to its underwriting,
to be satisfied by the issue to it of 27,000,000 Shares at EUR0.0111 each.
As part of the arrangements, the Company also proposed a consolidation of Shares
on the basis of one consolidated Share for every hundred Ordinary Shares to
enable the Company's Shares to trade at a price which the Directors believe is
more likely to lead to a reduction in the bid/offer spread and an improvement in
liquidity.
On 5 February 2009, shareholders voted in favour of the resolutions to approve
the capital restructuring and consolidation of shares. As a consequence of the
restructuring, the Directors consider that the Company can be considered to
continue to operate as a going concern.
The preparation of consolidated financial statements in conformity with IFRS
requires the Group to make estimates and assumptions that affect the reported
amounts of assets and liabilities at the date of the consolidated financial
statements and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from those estimates.
* Basis of consolidation
The consolidated financial statements made up to 31 December 2008 incorporate
the financial statements of the Company and entities where the Company is the
majority economic beneficiary in such entity, even though the Company has no
equity control over such an entity (the "Subsidiary") (and together the
"Group"). All inter-group balances, income and expenses are eliminated on
consolidation.
* Foreign currencies
Transactions in foreign currencies are translated into Euros, which is deemed to
be the functional currency, at the rates of exchange ruling on the date on which
the transactions occur. At the balance sheet date, foreign currency monetary
items are translated into Euros at the foreign exchange rate ruling at the
balance sheet date. Foreign exchange differences arising on translation are
recognised in the Income Statement in the period in which they arise. At the
balance sheet date, non-monetary items which are carried at fair value
denominated in foreign currency are reported using the exchange rates that
existed at the date when the fair values were determined.
* Interest income
Interest income is accounted for on an accruals basis on cash and cash
equivalents. Interest income is accrued based on the fair value of the Group's
investments and their contractual terms. Interest income is accrued over the
projected lives of the investments using the effective interest method as
defined under International Accounting Standard 39 "Financial Instruments:
Recognition and Measurement" ("IAS 39").
Where the Group adjusts expected cash flow projections to take account of any
change in underlying assumptions, such adjustments are recognised in the Income
Statement by reflecting changes in a revised amortised cost value of the
investment and applying the original effective interest rate to this revised
amortised cost value for the purposes of calculating future income. The Group's
policy for estimating prepayment speeds for calculating the effective yield is
to evaluate historical performance, market consensus indicators and current
market conditions. Premiums and discounts associated with the purchase of
investments/assets are amortised or accreted into interest income over the
projected term of the investment.
* Fair Value of Financial instruments
Under IAS 39, the Group's investments are measured initially at cost, which is
the fair value of whatever was paid to acquire them. Associated transaction
costs are written off to the income statement. All purchases and sales of
investments are recognised using trade date accounting. After initial
recognition the Group's investments are measured at fair value through the
income statement. The Group's investments are designated to this category at
inception.
Investments, which principally comprise investments in residual income
positions, are fair valued using financial pricing models that reflect numerous
factors including the investment manager's assessment of the nature of the
investment and the collateral, security position, risk profile, historical
default rates and the originator and servicer. Each of these factors involves
subjective judgements and forward-looking determinations by the investment
manager.
Where the fair value of the investment is written down due to changes in
assumptions and expected cash flows, the change in the fair value is taken to
the income statement following the reassessment of the cash flow discounted at
the current market rate estimated.
* Cash and Cash Equivalents
Cash and cash equivalents are carried at cost. Cash and cash equivalents are
defined as cash and deposits at bank.
* Trade and other receivables and payables
Trade and other receivables and payables are initially recorded at fair value
and subsequently measured at amortised cost using the effective interest rate
method, less a provision for impairment in respect of trade and other receivable
balances (if appropriate).A provision for impairment is established where there
is objective evidence that the funds will not be receivable. Impairment losses
are recognised in the income statement.
* Bank loans and associated borrowing costs
Bank loans are raised to support funding of investments. They are recognised as
current liabilities as they are due for repayment within one year. Finance
charges are charged to the Income Statement on an accruals basis using the
effective interest method and are added to the carrying amount of the instrument
to the extent that they are not settled in the period in which they arise.
Interest payable on loans is also recognised in the Income Statement on an
accruals basis.
* Taxation
The Company has been granted exemption under the Income Tax (Exempt Bodies)
(Guernsey) Ordinance, 1989 from Guernsey Income Tax, and is charged an annual
fee of GBP600.
* Earnings per share
The Group calculates both basic and diluted earnings per share in accordance
with International Accounting Standard 33 "Earnings per Share" ("IAS 33"). Under
IAS 33 basic earnings per share is computed using the weighted average number of
shares outstanding during the period under review. Diluted earnings per share is
computed using the weighted average number of shares outstanding during the
period under review plus the dilutive effect of any instruments outstanding
during the period.
* Segmental reporting
In the opinion of the directors the Group has only one business segment and one
geographical segment being investment in European Asset Backed Securities
("ABS"), in particular Residential Mortgage Backed Securities ("RMBS").
* Critical accounting judgements and key sources of estimation uncertainty
In the process of applying the Group's accounting policies, the Group has
determined that the following judgements and estimates have the most significant
effect on the amounts recognised in the financial statements.
Income recognition
The Group invests primarily in a diversified portfolio of residual income
positions, being the subordinated tranches of ABS, principally RMBS. Residual
income positions are typically unrated or rated below investment grade and are
often referred to as the "equity" or "first loss" position of securitisation
structures. Unlike more conventional bonds and the more senior tranches of ABS
(which generally hold the rights to fixed levels of income), the cash flow
profile of a residual income position does not include a contractually
established schedule of fixed payments divided between interest and principal.
Instead the cash flows generally vary over time, and the periodic cash flows
associated with a residual income position may include principal repayment as
well as income payments which fluctuate over time.
A given cash payment received in respect of a residual income position
represents a combination of the return on the investment and the repayment of
some of the capital initially invested. As a result, the stream of expected cash
flows associated with a particular residual income position may have an uneven
payout profile, in that the cash payment expected in one period (and the
proportion of that payment that represents principal repayment versus interest
income) may vary significantly from the cash payments expected in other periods.
The Group follows a policy of accounting for such investments at fair value
through profit or loss and has elected to recognise income on an effective
interest rate ("EIR") method in accordance with Paragraph 30 of International
Accounting Standard 18 "Revenue".
Interest income is recorded based on the EIR, as set out in Note 1(d) above.
Further disclosures of key assumptions and key sources of estimation uncertainty
are set out in Note 17 under the headings "Residual Interest Risk" and
"Liquidity Risk".
Valuation of investments
As described in Note 17 to the accounts, the market for RMBS, including residual
income positions is illiquid and regular traded prices are generally not
available for such investments. There is no active secondary market in residual
income positions and, further, there is no industry standard agreed methodology
to value residual income positions.
In accordance with the Group's accounting policies, fair value of financial
assets is based on quoted bid prices where such bids are available from a third
party in a liquid market. Where quoted bid prices are unavailable, the fair
value of the financial asset is estimated by reference to a valuation model that
incorporates discounted cash flow techniques as required by IAS 39.
The key assumptions upon which the valuation models are based are described in
Note 1(e) to the accounts. Any change to assumptions surrounding the pricing
models may result in different fair values being attributed to the investments.
The fair value of the Group's investments is set out in Note 9 and a further
description of the risks associated with the Group's investments is provided in
Note 17. The Group considers that it would be impractical to disclose the
effects of changes to each assumption in respect of each investment valuation
model.
2 OPERATING INCOME
+---------------------+----------+--+-----------+--+-----------+--+-----------+
| | | | Group |
+---------------------+-------------------------+--+--------------------------+
| | | | | | 1 Jul 08 | | 1 Jul 07 |
| | | | | | to | | to |
| | | | | | 31 Dec | | 31 Dec |
| | | | | | 08 | | 07 |
+---------------------+----------+--+-----------+--+-----------+--+-----------+
| | | | | | EUR | | EUR |
+---------------------+----------+--+-----------+--+-----------+--+-----------+
| Interest on | | | | | 5,825,845 | | 6,599,121 |
| investments in | | | | | | | |
| asset backed | | | | | | | |
| securities | | | | | | | |
+---------------------+----------+--+-----------+--+-----------+--+-----------+
| Interest from cash | | | | | 49,725 | | 57,432 |
| and cash | | | | | | | |
| equivalents | | | | | | | |
+---------------------+----------+--+-----------+--+-----------+--+-----------+
| Compensation | | | | | 1,562,635 | | - |
| received in | | | | | | | |
| relation to | | | | | | | |
| investments | | | | | | | |
+---------------------+----------+--+-----------+--+-----------+--+-----------+
| | | | | | | | |
+---------------------+----------+--+-----------+--+-----------+--+-----------+
| | | | | | 7,438,205 | | 6,656,553 |
+---------------------+----------+--+-----------+--+-----------+--+-----------+
3 OPERATING EXPENSES
+---------------------+----------+--+-----------+--+-----------+--+----------+
| | | | Group |
+---------------------+-------------------------+--+-------------------------+
| | | | | | 1 Jul 08 | | 1 Jul 07 |
| | | | | | to | | to |
| | | | | | 31 Dec | | 31 Dec |
| | | | | | 08 | | 07 |
+---------------------+----------+--+-----------+--+-----------+--+----------+
| | | | | | EUR | | EUR |
+---------------------+----------+--+-----------+--+-----------+--+----------+
| Investment managers | | | | | 320,304 | | 589,044 |
| fees | | | | | | | |
+---------------------+----------+--+-----------+--+-----------+--+----------+
| Directors' | | | | | 49,119 | | 58,748 |
| remuneration | | | | | | | |
+---------------------+----------+--+-----------+--+-----------+--+----------+
| Directors expenses | | | | | 4,949 | | 2,253 |
+---------------------+----------+--+-----------+--+-----------+--+----------+
| Directors & | | | | | 9,811 | | 13,922 |
| Officers insurance | | | | | | | |
+---------------------+----------+--+-----------+--+-----------+--+----------+
| Audit fees | | | | | 41,334 | | 22,840 |
+---------------------+----------+--+-----------+--+-----------+--+----------+
| Administration fees | | | | | 38,600 | | 42,292 |
+---------------------+----------+--+-----------+--+-----------+--+----------+
| Registration fees | | | | | 5,944 | | 10,593 |
+---------------------+----------+--+-----------+--+-----------+--+----------+
| Legal and | | | | | 450,577 | | 75,824 |
| professional fees | | | | | | | |
+---------------------+----------+--+-----------+--+-----------+--+----------+
| Nominated advisor | | | | | 67,583 | | 19,186 |
| fees | | | | | | | |
+---------------------+----------+--+-----------+--+-----------+--+----------+
| Loss on foreign | | | | | 8,006 | | 6,171 |
| exchange | | | | | | | |
+---------------------+----------+--+-----------+--+-----------+--+----------+
| Other operating | | | | | 90,377 | | 57,785 |
| expenses | | | | | | | |
+---------------------+----------+--+-----------+--+-----------+--+----------+
| | | | | | | | |
+---------------------+----------+--+-----------+--+-----------+--+----------+
| | | | | | 1,086,604 | | 898,658 |
+---------------------+----------+--+-----------+--+-----------+--+----------+
4 INVESTMENT MANAGERS FEES
Management Fee
Under the terms of the Investment Management Agreement, a management fee is
payable to the Investment Manager at an annual rate of 1.25 per cent of the
lower of (i) the Net Asset Value of the Group immediately following Admission
and (ii) the Net Asset Value of the Group on 31 March, 30 June, 30 September and
31 December (before deduction of accruals in respect of the management fee for
the current year and any performance fee) (excluding current year income).
The management fee accrues daily and is payable quarterly in arrears.
Performance Fee
Under the terms of the Investment Management Agreement, the Investment Manager
is entitled to receive a performance related fee in respect of each performance
period (being quarterly) which will be paid quarterly in arrears.
The performance fee for each performance period will be an amount equal to 20
per cent of the amount by which the Group's net income (as calculated for these
purposes) after tax for the relevant period, before payment of any performance
fee, exceeds an amount equal to a simple interest rate of two per cent per
quarter (the "quarterly hurdle") multiplied by the weighted average number of
Ordinary Shares outstanding during the relevant period multiplied by the
weighted average offer price of such Ordinary Shares, subject to the Net Asset
Value of an Ordinary Share at the end of the relevant performance period being
no less than the Net Asset Value of an Ordinary Share immediately following
Admission.
The sum of quarterly performance fees based on the quarterly hurdle payable to
the Investment Manager for any full financial period will be capped at that
amount which would be payable based on 20 per cent of the amount by which the
Group's net income after tax for the relevant period (before payment of any
performance fees) exceeds an amount equal to an annualised simple interest rate
of eight per cent (the annual hurdle) multiplied by the weighted average number
of Ordinary Shares outstanding during the relevant full financial period
multiplied by the weighted average offer price of such Ordinary Shares.
Where the sum of quarterly performance fees paid for any financial period based
on the quarterly hurdle exceeds that amount which would have been payable based
on the annual hurdle, the Investment Manager shall repay to the Company any such
excess.
The performance fee, if any, will be calculated on behalf of the Company by the
Administrator.
Where there is a difference between the Group's net income for the relevant
performance period as shown in the Group's quarterly management accounts
compared to the Group's audited annual accounts, the net income for the relevant
performance period as reflected in the audited accounts shall prevail. Any
excess performance fee paid or any additional performance fee due in respect of
any performance period attributable to any such difference will be repaid by or
paid to the Investment Manager, as the case may be.
5 STAFF COSTS
The Company has no employees other than the directors. During the period,
Directors' expenses totalled EUR4,949 (2007: EUR2,253).
The Subsidiary has no employees and therefore has no staff costs.
6 DIRECTORS' REMUNERATION
Unless otherwise approved by the Company by ordinary resolution, the Company
shall pay to the directors (but not alternate directors) for their services as
directors out of the funds of the Company by way of fees such sums as the Board
determines (not exceeding GBP200,000 per annum in aggregate or such larger
amount as the Company may by ordinary resolution decide). The aggregate fees
will be divided among the directors in such proportions as the Board decides or,
if no decision is made, equally. Directors' fees for the period totalled EUR49,119
(2007: EUR58,748).
The directors received no other benefits during the period under review.
7 EARNINGS PER SHARE
The earnings per share is based on the net loss of the Group for the period of
EUR246,521 (2007: EUR10,609,563 net loss) and on 98,000,000 (2007: 98,326,087)
shares, being the weighted average number of shares in issue during the period.
There were no dilutive instruments in issue in the period.
Proforma basic and diluted earnings per share is based on the same net profit
and weighted average number of shares in issue i.e. the number of shares is not
adjusted for the prelisting period when the Company did not trade.
8 DIVIDENDS
During the period under review, dividend payments totalling EUR490,329 (2007:
EUR3,960,000) were made by the Company:
In November 2008, being cognisant of recent market conditions, the Board of
directors agreed to suspend dividend payments for the foreseeable future.
9 INVESTMENTS DESIGNATED AS FAIR VALUE THROUGH THE INCOME STATEMENT
+----------------------+----------+--+----------+--+-------------+--+--------------+
| | | | Group |
+----------------------+------------------------+--+-------------------------------+
| Unquoted investments | | | | | 31 Dec | | 30 Jun |
| in RMBS and ABS | | | | | 08 | | 08 |
+----------------------+----------+--+----------+--+-------------+--+--------------+
| | | | | | EUR | | EUR |
+----------------------+----------+--+----------+--+-------------+--+--------------+
| Valuation brought | | | | | 61,576,218 | | 129,069,538 |
| forward | | | | | | | |
+----------------------+----------+--+----------+--+-------------+--+--------------+
| Additions - cost | | | | | - | | 7,354,793 |
+----------------------+----------+--+----------+--+-------------+--+--------------+
| Disposals - cost | | | | | - | | (8,079,707) |
+----------------------+----------+--+----------+--+-------------+--+--------------+
| Capital repayments | | | | | (1,620,880) | | (4,539,074) |
+----------------------+----------+--+----------+--+-------------+--+--------------+
| Interest previously | | | | | 1,335,986 | | 3,803,796 |
| capitalised written | | | | | | | |
| back | | | | | | | |
+----------------------+----------+--+----------+--+-------------+--+--------------+
| Unrealised loss on | | | | | (5,350,455) | | (66,033,128) |
| revaluation for the | | | | | | | |
| period | | | | | | | |
+----------------------+----------+--+----------+--+-------------+--+--------------+
| | | | | | | | |
+----------------------+----------+--+----------+--+-------------+--+--------------+
| | | | | | 55,940,869 | | 61,576,218 |
+----------------------+----------+--+----------+--+-------------+--+--------------+
Income derived from these investments is based on their expected internal rate
of return (IRR) over their estimated life. The IRR reflects a number pf
collateral performance and other assumptions, which may be adjusted over time.
The weighted average expected floating interest rate of each investment is
detailed in note 17(a) to the financial statements.
In order to hedge a foreign currency exposure in respect of an investment
denominated in sterling, the Company entered into a total return swap at the
date of acquisition of the underlying investment. Accordingly there is no
unrealised foreign exchange gain or loss at the period end.
10INVESTMENTS IN SUBSIDIARIES
On 4 July 2007, the Company purchased two Pass-Through Notes from EETI Finance
Limited, ("EETIFL"), a special purpose vehicle incorporated in Ireland, and
transferred in exchange five investments at a book value of EUR39,979,703 to
EETIFL under a Purchase Agreement and a Support Deed. Under the Pass-Through
Notes, the cash flow from the underlying five investments reverts to the
Company.
The fair value of the two Pass-Through Notes as at 31 December 2008 was
EUR19,501,581 (30 June 2008: EUR23,622,581).
As all risks and rewards of the ownership of the investments of EETIFL pass to
the Company,in accordance with SIC12, EETIFL is considered to be a subsidiary of
the Company even though it is not legally owned by the Company.
Under the terms of the Support Deed the Company has agreed to settle on the
Subsidiary's behalf and reimburse the Subsidiary against certain liabilities,
fees, costs, charges, disbursements and expenses paid or payable by the
Subsidiary in relation to its business under the terms and conditions of the
Deed. The running costs to be incurred by EETIFL during its life, are estimated
to be in the region of EUR61,000 per annum. This includes audit fees of EUR9,000 per
annum.
11TRADE AND OTHER RECEIVABLES
+----------------------+----------+--+----------+--+-----------+--+-----------+
| | | | Group |
+----------------------+------------------------+--+--------------------------+
| | | | | | 31 Dec | | 30 Jun |
| | | | | | 08 | | 08 |
+----------------------+----------+--+----------+--+-----------+--+-----------+
| | | | | | EUR | | EUR |
+----------------------+----------+--+----------+--+-----------+--+-----------+
| Prepayments | | | | | 8,953 | | 36,849 |
+----------------------+----------+--+----------+--+-----------+--+-----------+
| Accrued interest - | | | | | 2,565,189 | | 1,061,830 |
| Investments | | | | | | | |
+----------------------+----------+--+----------+--+-----------+--+-----------+
| Accrued interest - | | | | | - | | 8,476 |
| Cash | | | | | | | |
+----------------------+----------+--+----------+--+-----------+--+-----------+
| Sundry debtors | | | | | 473 | | 13,346 |
+----------------------+----------+--+----------+--+-----------+--+-----------+
| | | | | | | | |
+----------------------+----------+--+----------+--+-----------+--+-----------+
| | | | | | 2,574,615 | | 1,120,501 |
+----------------------+----------+--+----------+--+-----------+--+-----------+
12 CASH AT BANK
+----------------------+----------+--+----------+---+-----------+--+-----------+
| | | | Group |
+----------------------+------------------------+---+--------------------------+
| | | | | | 31 Dec | | 30 Jun |
| | | | | | 08 | | 08 |
+----------------------+----------+--+----------+---+-----------+--+-----------+
| | | | | | EUR | | EUR |
+----------------------+----------+--+----------+---+-----------+--+-----------+
| Bank balances | | | | | 1,213,354 | | 1,133,293 |
+----------------------+----------+--+----------+---+-----------+--+-----------+
| Call deposits | | | | | 798,457 | | 1,278,471 |
+----------------------+----------+--+----------+---+-----------+--+-----------+
| | | | | | | | |
+----------------------+----------+--+----------+---+-----------+--+-----------+
| | | | | | 2,011,811 | | 2,411,764 |
+----------------------+----------+--+----------+---+-----------+--+-----------+
The weighted average floating interest rate on call deposits was 1.93%. Call
deposits are due on demand.
13 SHARE CAPITAL
+------------------------------------------+--------------+--+-------------+
| | 31 Dec 08 | | 30 Jun 08 |
+------------------------------------------+--------------+--+-------------+
| | EUR | | EUR |
+------------------------------------------+--------------+--+-------------+
| Authorised | | | |
+------------------------------------------+--------------+--+-------------+
| 100,000,000 ordinary shares of no par | - | | - |
| value | | | |
+------------------------------------------+--------------+--+-------------+
+------------------------------------------+--------------+--+-------------+
| | 31 Dec 08 | | 30 Jun 08 |
+------------------------------------------+--------------+--+-------------+
| | EUR | | EUR |
+------------------------------------------+--------------+--+-------------+
| Issued | | | |
+------------------------------------------+--------------+--+-------------+
| 98,000,000 ordinary shares of no par | - | | - |
| value | | | |
+------------------------------------------+--------------+--+-------------+
The issue and redemption of Ordinary Shares took place as follows:
+----------------------------+-------------+--+--------------+--+-------------+
| | Number | | Price per | | Amount |
+----------------------------+-------------+--+--------------+--+-------------+
| Date of issue | of shares | | share EUR | | received EUR |
+----------------------------+-------------+--+--------------+--+-------------+
| 17 March 2006 | 2 | | 1.000 | | 2 |
+----------------------------+-------------+--+--------------+--+-------------+
| 26 April 2006 | 99,999,998 | | 1.000 | | 99,999,998 |
+----------------------------+-------------+--+--------------+--+-------------+
| Share redemption 31 July | (2,000,000) | | 0.759 | | (1,517,367) |
| 2007 | | | | | |
+----------------------------+-------------+--+--------------+--+-------------+
| | | | | | |
+----------------------------+-------------+--+--------------+--+-------------+
| | 98,000,000 | | | | 98,482,633 |
+----------------------------+-------------+--+--------------+--+-------------+
As the Company has only one class of shares, the holders of its shares will
under general law be entitled to participate in any surplus assets in a
winding-up in proportion to their shareholdings.
14 BANK LOANS AND OVERDRAFTS
In December 2006, Citibank was appointed to structure and arrange a senior
financing facility for the Company to be secured on the Group's investments.
Prior to the closing of the senior term financing, a Warehouse financing
facility was provided by Citibank. This financing facility was due to mature on
15 December 2008.
On 12 December 2008, Scribona purchased from Citibank all outstanding
commitments, rights and obligations in relation to the debt owed by the Company
to Citibank under its existing Facility Agreement. As a condition to the
transfer of the existing debt from Citibank to Scribona, Scribona has agreed to
the repayment date under the Facility Agreement being 15 December 2009. The loan
facility is in the form of a secured loan agreement.
The loan is interest bearing, and the interest rate applied is a margin of 5%
above EURIBOR taking into account any mandatory costs. The interest periods are
three months from the utilisation date and quarterly thereafter. The Company
must pay accrued interest on the last day of each interest period. The annual
average rate applied during the year was 7.03% (2007: 6.82%).
As at 31 December 2008 total drawdowns under the loan facility were EUR30,445,279
(30 June 2008: EUR34,238,827).
15 TRADE AND OTHER PAYABLES
+--------------------+-----------+--+-----------+--+----------+--+----------+
| | | | Group |
+--------------------+--------------------------+--+------------------------+
| | | | | | 31 Dec | | 30 Jun |
| | | | | | 2008 | | 2008 |
+--------------------+-----------+--+-----------+--+----------+--+----------+
| | | | | | EUR | | EUR |
+--------------------+-----------+--+-----------+--+----------+--+----------+
| Accrued investment | | | | | 102,303 | | 248,125 |
| managers fees | | | | | | | |
+--------------------+-----------+--+-----------+--+----------+--+----------+
| Accrued audit fees | | | | | 96,727 | | 101,378 |
+--------------------+-----------+--+-----------+--+----------+--+----------+
| Accrued | | | | | 7,371 | | 5,287 |
| administration | | | | | | | |
| fees | | | | | | | |
+--------------------+-----------+--+-----------+--+----------+--+----------+
| Accrued | | | | | 1,205 | | 796 |
| registration fees | | | | | | | |
+--------------------+-----------+--+-----------+--+----------+--+----------+
| Accrued loan | | | | | 120,690 | | 83,969 |
| interest | | | | | | | |
+--------------------+-----------+--+-----------+--+----------+--+----------+
| Other accrued | | | | | 122,399 | | 61,930 |
| expenses | | | | | | | |
+--------------------+-----------+--+-----------+--+----------+--+----------+
| | | | | | | | |
+--------------------+-----------+--+-----------+--+----------+--+----------+
| | | | | | 450,695 | | 501,485 |
+--------------------+-----------+--+-----------+--+----------+--+----------+
16 FINANCIAL INSTRUMENTS
The Company's main financial instruments comprise:
(a)Cash and cash equivalents that arise directly from the Company's operations;
(b)Non-investment grade and residual income positions of RMBS and ABS originated
in Europe; and
(c)Bank loans and overdrafts.
17 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES
The most important types of risk to which the Group is exposed are market price
risk, discount rate risk, credit risk, prepayment risk, default risk, liquidity
risk, interest rate risk, residual interest risk and currency risk. Save where
the Group purchases synthetic securities to gain exposure to an underlying cash
asset or assets, derivative transactions are only for the purposes of hedging
risks or for efficient portfolio management. The Group will not enter into
derivative transactions for speculative purposes.
(a) Market Price
The Group's exposure to market risk is comprised mainly of movements in the
value of its investments and, to the extent that the Group utilises leverage,
changes in interest rates that either increase its cost of borrowing or decrease
any interest income. Several of the Group's investments are floating rate or
backed by floating rate assets and, as such, are valued based on a market credit
spread over a benchmark (such as EURIBOR). Increases in the credit spreads above
such benchmarks may affect the Group's net equity or net income directly through
their impact on unrealised gains or losses on investments within the portfolio,
and therefore the Group's ability to make gains on such investments, or
indirectly through their impact on the Group's ability to borrow and access
capital.
The following details the weighted average expected floating interest rate of
each investment:
+----------------------------------------------------+------------------+
| NAME OF INVESTMENT | WEIGHTED AVERAGE |
| | EXPECTED |
| | FLOATING |
| | INTEREST RATE |
+----------------------------------------------------+------------------+
| | |
+----------------------------------------------------+------------------+
| Lusitano Mortgages 3 plc Class E Notes | 20% |
+----------------------------------------------------+------------------+
| Lusitano Mortgages 4 plc Class E Notes | 20% |
+----------------------------------------------------+------------------+
| Lusitano Mortgages 5 plc Class E Notes | 20% |
+----------------------------------------------------+------------------+
| FCC Minotaure Compartiment 2004-1-296 Residual R | 20% |
| Bonds and 1 Unit | |
+----------------------------------------------------+------------------+
| Sestante 2 Class D Notes | 20% |
+----------------------------------------------------+------------------+
| Sestante 3 Class D Notes | 20% |
+----------------------------------------------------+------------------+
| Sestante 4 Class D Notes | 20% |
+----------------------------------------------------+------------------+
| Shield I - Class F Bonds | 15% |
+----------------------------------------------------+------------------+
| Memphis 2006-1 | 15% |
+----------------------------------------------------+------------------+
| Ludgate Funding Plc Series 2006 FF1 | 20% |
+----------------------------------------------------+------------------+
| Semper 2006 | 15% |
+----------------------------------------------------+------------------+
| IM Pastor 2 | 15% |
+----------------------------------------------------+------------------+
| IM Pastor 3 | 15% |
+----------------------------------------------------+------------------+
| IM Pastor 4 | 15% |
+----------------------------------------------------+------------------+
| IM Pastor 5 | 15% |
+----------------------------------------------------+------------------+
| Provide Gems | 15% |
+----------------------------------------------------+------------------+
The following details the Group's sensitivity to an increase and decrease in the
yield of its constituent financial assets and liabilities.
At 31 December 2008, if the estimated yield of the non-current asset investments
had been 5% higher with all the other variables held constant the net assets
attributable to shareholders would have been EUR10,987,151 lower, arising due to
the decrease in the fair value of financial assets at fair value through profit
or loss.
At 31 December 2008, if the estimated yield of the non-current asset investments
had been 5% lower with all the other variables held constant the net assets
attributable to shareholders would have been EUR14,966,395 higher, arising due to
the increase in the fair value of financial assets at fair value through profit
or loss.
At 31 December 2008, if the estimated yield of the non-current asset investments
had been 10% higher with all the other variables held constant the net assets
attributable to shareholders would have been EUR19,214,700 lower, arising due to
the decrease in the fair value of financial assets at fair value through profit
or loss.
At 31 December 2008, if the estimated yield of the non-current asset investments
had been 10% lower with all the other variables held constant the net assets
attributable to shareholders would have been EUR35,788,755 higher arising due to
the decrease in the fair value of financial assets at fair value through profit
or loss.
(b)Credit Risk
The Group is subject to the risk that issuers of asset backed securities in
which it invests may default on their obligations under such instruments and
that certain events may occur which have an immediate and significant adverse
effect on the value of such instruments. There can be no assurance that an
issuer of an instrument in which the Group invests will not default or that an
event which has an immediate and significant adverse effect will not occur, and
that the Group will not sustain a loss on the transaction as a result.
A further credit risk arises from the Company's use of a Special Purpose Vehicle
("SPV") to hold title to certain investments. There is a risk that the SPV may
not pass the cash flows generated by the underlying investment onwards to the
Company. There is also a risk that the SPV may fail to achieve the tax savings
that it was designed for.
The Group seeks to mitigate credit risk by actively monitoring its portfolio of
investments and the underlying credit quality of its holdings. The Group seeks
to minimise credit risk further by ensuring its investment portfolio is
diversified by geography, originator, servicer and issuer. The Group does not
intend to undertake any credit hedging activities other than from time to time
entering into transactions to hedge its credit exposure in relation to
individual investments.
(c)Prepayment Risk
Prepayment risk refers to the possibility that the individual borrowers will
prepay the mortgage loans that collateralise the Group's investments.While the
Group's valuations take into account expected prepayment rates of the loans that
collateralise the Group's investments, the Group's investments and the assets
that collateralise them may prepay more quickly than expected and have an impact
on the value of the Group's portfolio. The Investment Manager reviews the
prepayment assumptions each quarter and will update as required. These
assumptions are considered by review of the underlying loan performance
information of the securitisations.
Prepayment rates are influenced by changes in interest rates and a variety of
economic, geographic and other factor beyond the Group's control and
consequently cannot be predicted with certainty. The level and timings of
prepayments made by borrowers in respect of the mortgage loans that
collateralise certain investments may have an adverse impact on the income
earned by the Group from those investments.
(d)Default Risk
Default risk refers to each individual borrower's ability to make the required
interest and principal payments on the scheduled due dates.
While the Group's valuations take into account expected default rates and the
expected loss given a default rate, the Group's investments may be subject to
higher losses through a combination of higher default rates. Default rate risk
is managed by the Investment Manager by regular review of the positions held.
The Investment Manager reviews these assumptions each quarter and will update
as required. These assumptions are considered by review of the underlying loan
performance information of the securitisations.
Default rates are influenced by changes in interest rates and a variety of
economic, geographic and other factors beyond the Group's control and
consequently cannot be predicted with certainty. The level and timings of
defaults made by borrowers in respect of the mortgage loans that collateralise
certain investments may have an adverse impact on the income earned by the Group
from those investments.
(e) Liquidity Risk
Liquidity risk is the risk that the Group will encounter difficulty in realising
assets or otherwise raising funds to meet financial commitments. The market for
subordinated asset-backed securities, including residual income positions, is
illiquid. Accordingly, many of the Group's investments are illiquid. In
addition, investments that the Group purchases in privately negotiated (also
called "over the counter" or "OTC") transactions may not be registered under
relevant securities laws or otherwise may not be freely tradable, resulting in
restrictions on their transfer, sale, pledge or other disposition except in a
transaction that is exempt from the registration requirements of, or is
otherwise in accordance with, those laws.
As a result of this illiquidity, the Group's ability to vary its portfolio in a
timely fashion and to receive a fair price in response to changes in economic
and other conditions may be limited.
Furthermore, where the Group acquires investments for which there is not a
readily available market, the Group's ability to deal in any such investment or
obtain reliable information about the value of such investment or risks to which
such investment is exposed may be limited.
The main financial commitments of the Group are the interest on the bank loan
from Citibank and the meeting of ongoing operational costs. These commitments
are met by the cash flows received from the investments, which are monitored by
the Investment Manager.
The following illustrates the maturity analysis of the Group's financial assets
and liabilities as at the period end:
+--------------+-----------+-----------+------------+----------+------------+------------+
| | Due on | Due | Due | Due | Due >5 | |
| | | within | between | between | | |
+--------------+-----------+-----------+------------+----------+------------+------------+
| | Demand | 3 | 3 and 12 | 1 and 5 | Years | Total |
| | | months | months | years | | |
+--------------+-----------+-----------+------------+----------+------------+------------+
| | EUR | EUR | EUR | EUR | EUR | EUR |
+--------------+-----------+-----------+------------+----------+------------+------------+
| Assets | | | | | | |
+--------------+-----------+-----------+------------+----------+------------+------------+
| Investments | - | - | - | 98,274 | 55,842,595 | 55,940,869 |
| designated | | | | | | |
| at fair | | | | | | |
| value | | | | | | |
+--------------+-----------+-----------+------------+----------+------------+------------+
| Trade and | - | 2,565,189 | 9,426 | - | - | 2,574,615 |
| other | | | | | | |
| receivables | | | | | | |
+--------------+-----------+-----------+------------+----------+------------+------------+
| Cash and | 2,011,811 | - | - | - | - | 1,538,373 |
| cash | | | | | | |
| equivalents | | | | | | |
+--------------+-----------+-----------+------------+----------+------------+------------+
| | | | | | | |
+--------------+-----------+-----------+------------+----------+------------+------------+
| Total assets | 2,011,811 | 2,565,189 | 9,426 | 98,274 | 55,842,595 | 60,527,295 |
+--------------+-----------+-----------+------------+----------+------------+------------+
+--------------+--------+--------+------------+----------+---------+------------+
| Liabilities | | | | | | |
+--------------+--------+--------+------------+----------+---------+------------+
| Bank loans | - | - | 30,445,279 | - | - | 30,445,279 |
| and | | | | | | |
| overdrafts | | | | | | |
+--------------+--------+--------+------------+----------+---------+------------+
| Trade and | - | - | 450,695 | - | - | 450,695 |
| other | | | | | | |
| payables | | | | | | |
+--------------+--------+--------+------------+----------+---------+------------+
| | | | | | | |
+--------------+--------+--------+------------+----------+---------+------------+
| Total | - | - | 30,895,974 | - | - | 30,895,974 |
| liabilities | | | | | | |
+--------------+--------+--------+------------+----------+---------+------------+
(f) Interest Rate Risk
Changes in interest rates, other than changes in spread between different
interest rate benchmarks, do not affect the Group's ability to acquire loans and
investments, the value of its investments and the Group's ability to realise
gains from the settlement of such assets.
The Company's weighted average effective interest rate for cash and bank
balances as at 31 December 2008 was 2.40% (2007: 1.93%).
The Subsidiary's weighted average effective interest rate for cash and bank
balances as at 31 December 2008 was 1.48% (2007: 1.91%).
Interest rate sensitivity
If interest rates for cash and bank balances had been 100 basis points higher
and all other variables were held constant, the Group's net loss per the
consolidated income statement for the period ended 31 December 2008 would have
decreased by EUR23,425 (2007: EUR24,539 decrease in net loss) due to an increase in
the amount of interest receivable on the bank account.
If interest rates for cash and bank balances had been 100 basis points lower and
all other variables were held constant, the Group's net loss per the
consolidated income statement for the period ended 31 December 2008 would have
increased by EUR23,425 (2007: EUR24,539 increase in net loss) due to a decrease in
the amount of interest receivable on the bank account.
The Group's sensitivity to interest rates is lower in 2008 than in 2007 because
of a decrease in the average cash balances held.
The weighted average effective interest rate on the loan facility as at 31
December 2008 was 7.03% (2007: 6.82%).
If interest rates for the loan facility balance had been 100 basis points higher
and all other variables were held constant, the Group's net loss per the
consolidated income statement for the period ended 31 December 2008 would have
increased by EUR344,694 (2007: EUR362,388 increase in net loss) due to an increase
in the amount of interest payable on the loan facility.
If interest rates for the loan facility balance had been 100 basis points lower
and all other variables were held constant, the Group's net loss per the
consolidated income statement for the period ended 31 December 2008 would have
decreased by EUR344,694 (2007: EUR362,388 decrease in net loss) due to a decrease in
the amount of interest payable on the loan facility.
The Group's sensitivity to interest rates on the loan facility is lower in 2008
than in 2007 because of a decrease in the average loan balance outstanding over
the period.
(g) Residual Interest Risk
The majority of the Group's investments consist of interests in and/or economic
exposures to limited recourse securities that are subordinated in right of
payment and ranked junior to other securities that are secured by or represent
ownership in the same pool of assets. In the event of default by an issuer in
relation to such investments, holders of the issuer's more senior securities are
entitled to payments in priority to the Group. Some of the Group's investments
also have structural features that divert payments of interest and/or principal
to more senior classes of securities secured by or representing ownership in the
same pool of assets when the delinquency or loss experience of the pool exceeds
certain levels. This may lead to interruptions in the income stream that the
Group anticipates receiving from its investment portfolio, which may lead to the
Company having less income to distribute to shareholders.
Although holders of asset-backed securities generally have the benefit of first
ranking security (or other priority rights) over any collateral, control of the
timing and manner of the disposal of such collateral upon a default typically
will devolve to the holders of the senior class of securities outstanding. There
can be no assurance that the proceeds of any such sale of collateral will be
adequate to repay in full the Group's investments.
(h) Currency Risk
The Group's accounts are denominated in Euros while investments may be made and
realised in both Euros and Sterling. Changes in rates of exchange may have an
adverse effect on the value, price or income of the investments. A change in
foreign currency exchange rates may adversely impact returns on the Group's
non-Euro denominated investments.
The Group seeks to reduce the currency risk by financing investments in the same
currency as the relevant investment where commercially practical or enter into
hedging transactions for whole or part of the currency exposure. The Investment
Manager may elect, however, to have the Group bear a level of currency risk that
could otherwise be hedged where it considers that bearing such risks is
acceptable.
At the balance sheet date the Group has no material financial assets or
liabilities not denominated in Euros, other than those covered by the hedging
agreement detailed below.
On 7 December 2006, the Company entered into a QUANTO FX deal with a
counterparty which was structured as a Total Return Swap and which will
terminate on 31 December 2013. The purpose of the agreement is to hedge a
foreign exchange transaction entered into by the Company involving GBP5,525,000
worth of investments secured over Mortgage-only repayment certificates due 2060
and Residual certificates due 2060.
The counterparty will own the securities through a Total Swap Return Agreement
which will be cash collateralised in full by the Company. The effect of the
transaction is that the Company has the right to receive all the flows from the
certificates converted into Euros through the QUANTO FX trade.
(i) Political Risk
Retrospective political law changes may have an adverse effect on the value
of the Group's investments. It is difficult to assess exactly how these changes
will impact consumer behaviour. It is possible that prepayment rates will
increase impacting the expected cash flows from investments and the ability of
the Company to maintain the same level of dividend payments.
(j) Collateral
Under the terms of the deed of assignment dated 15 February 2007 and the
amendments dated 25 July 2007, 17 December 2007 and 12 December 2008 entered
into between the Company, Citibank N.A. and Scibona Nordic A.B., the Company has
assigned absolutely the unquoted investments in RMBS and ABS and all rights,
title and interest, present and future, without limitation, and its right to
receive monies or securities to Scribona A.B. as security for the loan facility.
Where there is an event of default in respect of the Company under the loan
facility, Scribona A.B. will be entitled to enforce its security over the
collateral.
(k) Capital management
The Group monitors capital on the basis of the carrying amount of equity as
presented on the face of the balance sheet. Capital for the reporting periods
under review is summarised as follows:
+-------------------+-----------+--+-----------+--+--------------+--+--------------+
| | | | Group |
+-------------------+--------------------------+--+--------------------------------+
| | | | | | 31 Dec 08 | | 30 Jun 08 |
+-------------------+-----------+--+-----------+--+--------------+--+--------------+
| | | | | | EUR | | EUR |
+-------------------+-----------+--+-----------+--+--------------+--+--------------+
| Share premium | | | | | 50,000,000 | | 50,000,000 |
+-------------------+-----------+--+-----------+--+--------------+--+--------------+
| Retained earnings | | | | | (20,368,679) | | (19,631,829) |
+-------------------+-----------+--+-----------+--+--------------+--+--------------+
| | | | | | | | |
+-------------------+-----------+--+-----------+--+--------------+--+--------------+
| | | | | | 29,631,321 | | 30,368,171 |
+-------------------+-----------+--+-----------+--+--------------+--+--------------+
18 RELATED PARTY TRANSACTIONS
Anson Fund Managers Limited is the Company's administrator and secretary and
Anson Registrars Limited is the Company's registrar, transfer agent and paying
agent. John R Le Prevost is a director and controller of Anson Fund Managers
Limited and of Anson Registrars Limited. EUR44,544 (2007: EUR52,885) of fees were
incurred by the Company with these related parties in the year, of which EUR8,576
(2007: EUR7,251) was due to these related parties as at 31 December 2008.
19EVENTS AFTER THE REPORTING PERIOD
On 5 February 2009, shareholders voted in favour of the following resolutions
relating to a capital restructuring:
* the conversion by Scribona of EUR5,600,000 of debt to equity at EUR0.0111 per share;
* a non pre-emptive placing of new ordinary shares with certain existing
shareholders at a price of EUR0.0111 per share to raise up to EUR4,400,000,
underwritten by Scribona, where such subscription monies will be applied by the
Company in prepayment of the debt owed to Scribona;
* the release by Scribona of the Company from its obligations under the Facility
Agreement to repay such amount as will leave the sum outstanding under the
Facility Agreement at approximately EUR5,700,000; and
* Scribona will be paid a commission of EUR299,700 in relation to its underwriting,
to be satisfied by the issue to it of 27,000,000 Shares at EUR0.0111 each.
As a consequence of the above restructuring, 927,000,000 Ordinary Shares were
issued and the amount outstanding under the Facility Agreement was reduced to
EUR5,706,452.
On 5 February 2009, shareholders also voted in favour of a resolution relating
to a consolidation of the number of shares in issue on the basis of one
consolidated share for every hundred Ordinary Shares in issue, effective on 16
February 2009.
As a consequence of the consolidation, the total number of shares in issue was
reduced from 1,025,000,000 Ordinary Shares to 10,250,000 Consolidated Ordinary
Shares.
If the net assets as at 31 December 2008 were adjusted to reflect the above
capital restructuring and consolidation, with all other variables held constant,
net assets as at that date would have been EUR55,111,730, representing a net asset
value per Share of EUR5.3767.
On 5 March 2009, the Company repaid EUR1,700,000 of the outstanding balance of the
loan facility. As at the date of this report, the outstanding balance payable to
Scribona under the loan facility was EUR4,006,452.
20 ULTIMATE CONTROLLING PARTY
In the opinion of the directors, the Group has no ultimate controlling party.
SCHEDULE OF INVESTMENTS
+------------------------------+-------------+--+---------+--+------------+--+---------+
| Group | 31 Dec 2008 | | 30 Jun 2008 |
+------------------------------+--------------------------+--+-------------------------+
| | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| NAME OF INVESTMENT | VALUATION | | TOTAL | | VALUATION | | TOTAL |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| | | | ASSETS | | | | ASSETS |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| | EUR | | % | | EUR | | % |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| Lusitano Mortgages 3 plc | 3,621,859 | | 5.98% | | 3,363,731 | | 5.17% |
| Class E Notes | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| Lusitano Mortgages 4 plc | 2,049,990 | | 3.39% | | 2,040,107 | | 3.13% |
| Class E Notes | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| Lusitano Mortgages 5 plc | 4,797,424 | | 7.93% | | 5,379,117 | | 8.26% |
| Class E Notes | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| FCC Minotaure Compartiment | | | | | | | |
| 2004-1-296 | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| Residual R Bonds and 1 Unit | 2,368,416 | | 3.91% | | 2,798,522 | | 4.30% |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| Sestante 2 Class D Notes | 3,258,326 | | 5.38% | | 2,954,627 | | 4.54% |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| Sestante 3 Class D Notes | 2,742,929 | | 4.53% | | 2,487,269 | | 3.82% |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| Sestante 4 Class D Notes | 3,826,671 | | 6.32% | | 3,469,998 | | 5.33% |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| Shield I - Class F Bonds | 6,909,100 | | 11.41% | | 6,871,718 | | 10.55% |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| Memphis 2006-1 | 3,429,935 | | 5.67% | | 3,432,937 | | 5.27% |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| Ludgate Funding Plc Series | 98,274 | | 0.16% | | 266,722 | | 0.41% |
| 2006 FF1 | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| Semper 2006 | 5,314,750 | | 8.78% | | 5,356,989 | | 8.23% |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| IM Pastor 2 | 5,721,424 | | 9.45% | | 6,116,210 | | 9.39% |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| IM Pastor 3 | 4,064,222 | | 6.71% | | 7,294,995 | | 11.20% |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| IM Pastor 4 | 2,955,651 | | 4.88% | | 3,688,550 | | 5.66% |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| IM Pastor 5 | 2,274,135 | | 3.76% | | 2,236,668 | | 3.43% |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| Provide Gems | 3,910,728 | | 6.46% | | 4,478,401 | | 6.88% |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| Less: Capitalised interest | | | | | | | |
| included in | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| above figures | (1,402,965) | | | | (660,343) | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| | | | | | | | |
+------------------------------+-------------+--+---------+--+------------+--+---------+
| | 55,940,869 | | 94.72% | | 61,576,218 | | 95.57% |
+------------------------------+-------------+--+---------+--+------------+--+---------+
For further information contact:
Alastair Moreton
Arbuthnot Securities Limited
Nominated Adviser
Tel: 020 7012 2000
Anson Fund Managers Limited
Secretary
Tel: Guernsey 01481 722260
26 March 2009
END OF ANNOUNCEMENT
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