TIDMGSDO TIDMTTM
RNS Number : 9892B
Goldman Sachs Dynamic Opportunities
24 April 2012
Goldman Sachs Dynamic Opportunities Limited (the "Company")
Annual Financial Report The Company has today, in accordance
with DTR 6.3.5, released its Annual Financial Report for the year
ended 31 December 2011. The Report is available from the Company's
website
http://www2.goldmansachs.com/client_services/asset_management/listed/gsdo/index.htmland
will shortly be submitted to the National Storage Mechanism and
will also shortly be available for inspection at
www.hemscott.com/nsm.do
Chairman's Statement
I am pleased to present shareholders with this annual report of
Goldman Sachs Dynamic Opportunities Limited ("GSDO" or the
"Company") for the year ended 31 December 2011.
As detailed in the Investment Manager's Report, the Company's
investments had a mixed performance during the year and overall the
Company's net asset value per share fell by 5.74% during 2011
(measured in Sterling terms, net of fees).
Prior to the commencement of the winding down referred to below,
in the first half of the year the Investment Manager implemented
several changes to the Company's investment portfolio, including
the addition of two new Advisors to the Equity Long/Short sector.
This resulted in a relative increase in the Company's overall
allocation to Equity/Long Short and a decrease in its Event Driven
allocation. The allocation to the Tactical Trading sector decreased
whilst exposure to the Relative Value sector increased due to the
reclassification of one Advisor from Equity Long/Short.
As a result of the discount to NAV at which each share class
traded during 2010, continuation votes for each share class were
triggered in early 2011. At meetings in April 2011 the GBP share
vote passed, whilst the EUR and US$ share votes failed. Following
these votes, redemption offers were made to shareholders of the EUR
and US$ share classes. Approximately 95% of the US$ shares and 43%
of the EUR shares were redeemed. As a result, a redemption
portfolio was established as at 30 June 2011 comprising
approximately 28% of the Company's portfolio. This was in addition
to the 2010 redemption portfolio established the previous year.
Investments in the 2011 Redemption Portfolio are being realised
in a timely manner with the cash proceeds being distributed to
redeeming shareholders in satisfaction of redemption requests.
Certain investments were reallocated from the Redemption Portfolio
to the Main Portfolio at or shortly after the creation of the
Redemption Portfolio in exchange for cash which the Board believes
had a number of benefits for both main and redeeming shareholders.
The reallocated investments were those that would have been
considered by the Investment Manager for direct subscription by the
Main Portfolio and which, in several cases, had been closed to new
investments and which the Investment Manager did not consider
illiquid. Consequently, redeeming shareholders benefitted from a
quicker return of capital whilst main shareholders gained greater
exposure to suitable investments. As at 31 December 2011
approximately 91% (by NAV) of the 2011 Redemption Portfolio
investments had been realised and cash returned to redeeming
shareholders.
Following those redemption offers, compulsory redemptions of the
then remaining issued EUR shares and US$ shares were effected at
the NAV of those EUR shares and US$ shares respectively as at 30
June 2011 (less the costs of implementing the redemptions) with
settlement in full taking place on 23 August 2011. Shortly
afterwards the listings of the EUR shares and US$ shares were
cancelled and such shares ceased to be traded on the London Stock
Exchange.
Subsequently, 1,047,106 GBP shares were converted into 905,326
US$ shares by reference to the 30 June 2011 conversion calculation
date. The EUR share class has been delisted from the LSE and closed
and all US$ shares are delisted from the LSE.
In the period immediately following these compulsory
redemptions, significant trading in the GBP Shares meant that by 27
September 2011 29.67% of the Company's voting rights were held by
funds managed by Weiss Asset Management LP. Further to
correspondence with Weiss, the Board announced on 22 September 2011
that it was consulting with Shareholders as to the future direction
of the Company. On 14 October 2011, the Board announced that it
would recommend to Shareholders that the Company should commence a
managed winding down of the Main Portfolio. On 13 December 2011
shareholders resolved to change the Company's investment objective
and policy and commence a managed winding down and an orderly
realisation of the Company's existing investments in the Main
Portfolio.
Subsequent to year end further investments have been realised as
planned and additional cash reserves accumulated. The Board will be
determining appropriate distributions in the near future. Once
investments have been realised such that the Board believes that
the Company no longer meets the requirements for the continued
listing of the GBP share class (and subject to shareholder
approval), a liquidator will be appointed and the Company will be
wound up. However, due to the illiquidity of certain of the
Company's investments, this may take a considerable time.
Your board would like to thank Shareholders for their support
for the Company during the year.
Christopher Sherwell
Chairman
23 April 2012
Statement of Directors' Responsibilities in Respect of the
Annual Financial Report
The Companies (Guernsey) Law, 2008 requires the Directors to
prepare financial statements for each financial year which give a
true and fair view of the state of affairs of the Company and of
the profit or loss for that year. In preparing those financial
statements, the Directors are required to:
-- select suitable accounting policies and apply them consistently;
-- make judgements and estimates that are reasonable and prudent;
-- state whether applicable accounting standards have been
followed, subject to any material departures disclosed and
explained in the financial statements; and
-- prepare the financial statements on the going concern basis
unless it is inappropriate to presume that the Company will
continue in business.
The Directors confirm that they have complied with the above
requirements in preparing the financial statements.
The Directors are responsible for keeping proper accounting
records which disclose with reasonable accuracy at any time the
financial position of the Company and enable them to ensure that
the financial statements comply with the Companies (Guernsey) Law,
2008. They are also responsible for safeguarding the assets of the
Company and hence for taking reasonable steps for the prevention
and detection of fraud and other irregularities.
Responsibility Statement under the Disclosure and Transparency
Rules 4.1.12
The Directors confirm to the best of their knowledge that:
i) the financial statements are prepared in accordance with the
applicable accounting standards, give a true and fair view of the
assets, liabilities, financial position and net income or loss of
the Company; and
ii) the annual report includes a fair review of the development
and performance of the business and the position of the Company,
together with a description of the principal risks and
uncertainties that the Company faces.
Statement of Assets and Liabilities (Audited)
As at As at
31 December 31 December
2011 2010
US$ US$
ASSETS
Financial assets at fair value through
profit or loss 171,831,672 292,008,693
Cash and cash equivalents 13,805,927 24,362,803
Subscriptions in investees, made in
advance - 20,000,000
Securities sold receivable 33,773,161 609,962
Other receivables 17,266 32,527
Total assets 219,428,026 337,013,985
============ ============
LIABILITIES
Financial liabilities at fair value
through profit or loss 6,172,520 6,785,238
Redemptions payable 12,567,786 12,483,167
Management fee 444,129 801,391
Legal fees 182,851 84,338
Custodian fee 30,357 42,991
Administration fee 17,781 27,228
Provision for wind down costs 46,758 -
Other expenses 314,505 271,528
------------ ------------
Total liabilities, excluding net assets
attributable
to holders of repayable shares 19,776,687 20,495,881
============ ============
Net assets attributable to holders
of repayable shares 199,651,339 316,518,104
============ ============
Net assets per GBP share GBP1.0582 GBP1.1226
Net assets per US$ share US$1.9655 US$2.0865
Net assets per EUR share (1) - EUR1.5080
(1) The EUR share class was delisted from the LSE and closed
during the year.
Statement of Comprehensive Income (Audited)
For the year
ended For the year ended
31 December 2011 31 December 2010
US$ US$
Income
Interest income 8,046 10,418
Net changes in financial assets
and financial liabilities at fair
value through profit or loss (14,144,031) 37,299,349
Other income 973,633 1,201,624
----------------- --------------------
Total income (13,162,352) 38,511,391
================= ====================
Expenses
Management fee 4,280,222 5,926,463
Legal fees 340,798 494,004
Listing sponsor fees 564,171 171,931
Administration fee 155,903 179,287
Custodian fee 153,105 176,400
Directors' remuneration and expenses 138,930 129,552
Audit fee 108,150 82,526
Interest expense 482,955 439,015
Provision for wind down costs 46,758 -
Other expenses 261,628 249,978
----------------- --------------------
Total operating expenses 6,532,620 7,849,156
================= ====================
Change in net assets from operations (19,694,972) 30,662,235
================= ====================
Other comprehensive income:
Currency translation differences 726,548 (1,985,110)
----------------- --------------------
Total comprehensive income (18,968,424) 28,677,125
================= ====================
Return/(loss) per GBP share (GBP0.0587) GBP0.1293
Return per US$ share US$0.0204 US$0.0083
Return/(loss) per EUR share (1) (EUR0.1082) EUR0.2659
(1) The EUR share class was delisted from the LSE and closed
during the year.
Statement of Changes in Net Assets Attributable to Holders of
Repayable Shares (Audited)
Net Assets
Attributable
to
For the year ended 31 December 2011 Holders of
Repayable
Shares
US$
Net assets at beginning of year 316,518,104
Total comprehensive income for the
year (18,968,424)
Redemption of shares - 2011 redemption
proposals (97,898,341)
Net assets at end of year 199,651,339
============
Net Assets
Attributable
to
For the year ended 31 December 2010 Holders of
Repayable
Shares
US$
Net assets at beginning of year 355,265,787
Total comprehensive income for the
year 28,677,125
Redemption of shares - 2010 redemption
proposals (67,424,808)
Net assets at end of year 316,518,104
============
Statement of Cash Flows (Audited)
For the year
For the year ended ended
31 December
31 December 2011 2010
US$ US$
Cash flows from operating activities
Net income/(loss) from operations (19,694,972) 30,662,235
Adjustments to reconcile net increase/(decrease)
in net assets to net cash
from operating activities:
Net changes in fair value through profit or
loss 13,152,490 (27,154,746)
Purchase of financial assets at fair value
through profit or loss (37,511,512) (37,500,000)
Proceeds from sales of financial assets at
fair value through profit or loss 144,504,498 125,729,699
Net unrealised (gain)/loss on forward currency
contracts (581,173) 3,252,616
(Increase)/decrease in subscriptions in investees,
made in advance 20,000,000 (20,000,000)
(Increase)/decrease in securities sold receivable (33,163,199) (59,558)
(Increase)/decrease in operating assets 15,261 (6,460)
Increase/(decrease) in operating liabilities (191,095) (547,777)
Net cash from operating activities 86,530,298 74,376,009
------------- --------------
Cash flows from financing activities
Redemption of shares (97,679,997) (118,131,425)
Effect of change in fair value of redemptions
payable (133,725) 354,780
------------- --------------
Net cash inflow/(outflow) from financing activities (97,813,722) (117,776,645)
------------- --------------
Net cash increase/(decrease) in cash and cash
equivalents (11,283,424) (43,400,636)
============= ==============
Cash and cash equivalents at beginning of year 24,362,803 69,748,549
Effect of exchange rate on translation 726,548 (1,985,110)
Cash and cash equivalents at end of year 13,805,927 24,362,803
============= ==============
Significant agreements and related parties
a) Investment Manager
The Investment Manager is remunerated at a rate of 0.75% per
annum of the Total Assets attributable to each class of ordinary
shares as at each month end including the Total Assets of each
Redemption Portfolio for the provision of investment management
services. Prior to the Winding Down Resolution being passed on 13
December 2011, the Investment Manager was remunerated at a rate of
1.5% per annum of the Total Assets attributable to the Main
Portfolio out of which it paid the trail commission payable to
qualifying investors. With effect from 13 December 2011 trail
commission is no longer payable. Additionally, the Investment
Manager was entitled to a performance fee equivalent to 10% of the
amount by which the year-end Net Assets attributable to each Class
of ordinary shares at the end of one financial period (having made
adjustments for any issues or repurchases of ordinary shares and
for any contingent or accrued but unpaid liabilities) is greater
than the value of Net Assets attributable to that class of ordinary
shares at the end of the previous financial period. Performance
fees ceased to be paid on the Main Portfolio with effect from 13
December 2011 and were not payable on the Redemption Portfolios.
The investment management agreement may be terminated by either
party giving to the other not less than 60 days notice, or
otherwise upon notice in circumstances where, amongst other things,
one of the parties commits and fails to rectify a material breach
of the investment management agreement, has a receiver appointed
over substantially all of its assets or an order is made or an
effective resolution passed for its winding up. The investment
management agreement will terminate automatically if a continuation
resolution is not passed and a special resolution for the
winding-up of the Company is subsequently passed; or if a special
resolution is passed pursuant to section 391 of the Companies
(Guernsey) Law, 2008, as amended, requiring the Company to be wound
up, subject to payment of fees to the Investment Manager for a
further 60 days. Goldman, Sachs & Co. did not hold a beneficial
ownership of shares with voting rights in the Sterling class, Euro
class, or the US$ class at 31 December 2011 and 31 December 2010.
Additionally, Goldman, Sachs & Co. held shares in each class in
a nominee capacity which has no voting rights. During the year,
management fees were US$4,280,222 (2010: US$5,926,463). Management
fees payable at year end were US$444,129 (2010: US$801,391).
b) Directors' remuneration and expenses
The annual Directors' fees comprise GBP34,000 paid to Mr
Sherwell, the Chairman, (increased from GBP30,000 on 1 July 2010),
GBP28,000 to Mr Legge, Chairman of the Audit Committee, (increased
from GBP25,000 on 1 July 2010) and GBP25,000 to Mr Morgan
(increased from GBP22,000 on 1 July 2010). Mr Baillie is affiliated
with the Investment Manager and waived his right to a fee of
GBP25,000.
c) Administrator
RBC Offshore Fund Managers Limited (the "Administrator")
performs administrative duties for which it is currently
remunerated at an annual rate of 0.05% (maximum fee allowable is
0.06%) of the Total Assets of each class of shares of the Company,
payable monthly in arrears (subject to a minimum fee of US$100,000
per annum).
Effective 12 January 2010, the annual remuneration rate for
administration fees was 0.05%; (0.025% for the period from 1
January 2009 to 12 January 2010). During the year, administration
fees were US$155,903 (2010: US$179,287). Administration fees
payable at 31 December 2011 were US$17,781 (2010: US$27,228).
Effective 1 January 2012 the annual remuneration rate for
administration fees will be 0.06% of the Total Assets attributable
to each class of shares of the Main Portfolio (subject to a minimum
annual fee of US$100,000 for the Main Portfolio and US$15,000 per
each Redemption Portfolio).
d) Custodian
Royal Bank of Canada (Channel Islands) Limited (the "Custodian")
is currently remunerated at an annual rate of 0.05% (maximum fee
allowable is 0.06%) of the Total Assets of each class of shares of
the Company thereafter, payable quarterly in arrears and subject to
a minimum fee of US$20,000 per annum.
Effective 12 January 2010, the annual remuneration rate for
custodian fees was 0.05%. Custodian fees had been waived for the
period from 1 January 2009 to 12 January 2010 as reimbursement for
a non-recurring administrative event. During the year, custodian
fees were US$153,105 (2010: US$176,400). Custodian fees payable at
31 December 2011 were US$30,357 (2010: US$42,991).
e) Credit facility
The following table summarises the Company's overdraft facility
(the "Facility") and is as follows:
Time Periods Maximum amount Interest rate(3) Commitment
fee
Lesser of $45,000,000;
35% of the collateral LIBOR plus
02/03/10 - 31/12/11(1) value 1.50% 1.00%
Lesser of $30,000,000;
20% of Net Value
of
Assets and the LIBOR plus
31/12/09 - 05/03/10(2) collateral value 0.65% 0.15%
(1) New facility with Royal Bank of Canada, Grand Cayman
effective 2 March 2010. Maturity Date: 27 February 2012. Effective
28 February 2011, the Facility was renewed with the same terms.
(2) The Facility with Royal Bank of Canada (Channel Islands)
Limited matured effective 5 March 2010.
(3) London Interbank Offered Rate ("LIBOR").
Following the Winding Down Resolution, it has been decided that
before any distribution is made to Shareholders, the Company's
existing credit facility would be fully repaid and the Company
would not undertake new borrowings once the Managed Winding Down
had commenced. The facility was terminated on 27 February 2012.
Financial risk management
The Company may invest in positions in a variety of Investees
and forward currency contracts as determined by its investment
management strategy. See Note 2 of the Annual Report and Financial
Statements - Investment objective, regarding the change to
investment objective and policy.
The Investees' investing activities expose the Company to
various types of risks that are associated with the financial
investments and markets in which they invest. The significant types
of financial risks which the Company is exposed to are market risk,
liquidity risk, credit risk and investment in Investees risk. The
prospectus provides details of these and other types of risks, some
of which are additional to that information provided in these
financial statements.
Following the Winding Down Resolution the Company is exposed to
additional specific risk factors related to the Winding Down
Resolution. See Note 10(d) of the Annual Report and Financial
Statements - Material risk factors associated with the Winding Down
Resolution.
Asset allocation was determined by the Company's Investment
Manager who managed the allocation of assets to achieve the
investment objectives as detailed in Note 2 of the Annual Report
and Financial Statements - Investment objective. Achievement of the
investment objectives involves taking risks. The Investment Manager
utilised analysis, research and risk management techniques when
making investment decisions. Divergence from target asset
allocations and the composition of the portfolio were monitored by
the Company's Investment Manager.
The risk management policies employed by the Company are
detailed below.
a) Market risk
The potential for changes in the fair value of the Company's
investment portfolio is referred to as market risk.
Commonly used categories of market risk include currency risk,
interest rate risk and other price risk.
-- Currency risk may result from exposures to changes in spot
prices, forward prices and volatilities of currency exchange
rates.
-- Interest rate risk may result from exposures to changes in
the level, slope and curvature of the yield curve, the volatilities
of interest rates, mortgage prepayment speeds and credit
spreads.
-- Other price risk is the risk that the value of an instrument
will fluctuate as a result of changes in market prices other than
those arising from currency risk or interest rate risk.
The Company's market risk management strategy is driven by the
Company's investment risk and return objectives. The purpose of
these objectives is to produce a portfolio that generates a return
distribution that meets the following standards:
-- Consistency with the Investment Manager and Board
expectations. The risk capital consumed by the Investment Manager
should approximate the risk budget articulated in the risk and
return objectives for the Company.
-- Returns should be derived from Investment Manager strengths
(e.g. knowledge of particular Investees, portfolio construction
techniques, etc.)
-- The result of a well articulated and well defined process and risk culture.
The Investment Manager has recommended to the Board that it will
manage market risk through the application of risk budgeting
principles and the Board has agreed. At the Investee level, market
risk is monitored on a regular basis. Where position level detail
is available, the Investment Manager monitors its exposure to
market risk through a variety of analytical techniques, including
Value at Risk ("VaR"). Where position level detail is unavailable,
the Company relies on risk reports provided by the Investees as
well as through open communication channels with the Advisors of
the Investees, which generally includes site visits and monthly
conference calls ("Due Diligence Process"). As part of the ongoing
Due Diligence Process, the Investment Manager evaluates a number of
critical risk factors including, but not limited to the review of
an Investee's liquidity, its concentration of investments held as
well as its leverage in an effort to determine the level of risk at
the Investees. As the Company is primarily a price taker from the
Investees, there is no guarantee that the ongoing Due Diligence
Process and oversight in place will be adequate to ensure that
errors or fraud will not take place at an Investee level. The
Company's maximum risk of loss is limited to the Company's
investment in the Investees.
Tracking Error
Predicted tracking error is one possible measure of the forward
looking or forecasted dispersion of a portfolio's excess returns
(defined as differences between the Company's returns and those of
its benchmark). More specifically, it is the forward looking
forecast of the standard deviation of such excess returns. Normal
statistical distributions of returns suggests that approximately
two thirds of the time the Company's returns will lie in a range
equal to the benchmark return plus or minus the predicted tracking
error estimate if the market behaves in a manner suggested by the
historical relationships used to produce the predictions. Predicted
tracking error is derived from current holdings and historical
return patterns. Predicted tracking error measures therefore apply
statistical probabilities (and the language of uncertainty) and so
cannot be completely predictive of actual results. Realised
(Historical) Tracking Error is the standard deviation of the
difference between the performance of a portfolio and that of its
benchmark. Assuming a normal distribution of excess returns, the
realised gross excess returns above or below the benchmark will be
within a portfolio's expected gross excess returns plus or minus
the Company's Predicted Tracking Error approximately two thirds of
the time.
The following table sets forth the Company's Annualised
Predicted Tracking Errors at 31 December 2011 and 31 December
2010:
Benchmark 31 December 2011 31 December 2010
3 Month LIBOR 5.41% 6.60%
The following table sets forth the Company's Predicted One Day
Tracking Errors at 31 December 2011 and 31 December 2010:
Benchmark 31 December 2011 31 December 2010
3 Month LIBOR 0.34% 0.42%
Predicted Tracking Error calculations contain inherent
limitations and different Tracking Error methodologies and
distributional assumptions could produce a materially different
result. Such limitations include, but are not limited to, the
assumption that historical market risk factors are good predictors
of future market risk, and that historical volatility of returns
will be repeated in the future. In addition, changes in the
investment positions could create material differences between
predicted and realised levels of Tracking Error. Predicted Tracking
Error is most effective in estimating risk exposures in markets
without sudden fundamental changes or sudden shifts in market
conditions. Also, past tracking error is not indicative of future
tracking errors and there can be no assurance that future levels of
tracking error experienced by the Company will be at levels
reflected by the Company's historical performance, or will be at
levels suggested by predictive forecasts. Moreover, there can be no
assurance that historically achieved levels of volatility are
predictive of levels that will be produced in the future.
VaR
VaR is a statistically based estimate of the potential loss in
value of the Company's investments due to adverse market movements
over a defined time horizon with a specified confidence level. VaR
is presented below as a sensitivity analysis of the Company's
investment portfolio. The Investment Manager believes that the VaR
assumptions it utilises are reasonable given that VaR is only one
determinant in the Investment Manager's overall risk
management.
In general the Company obtains VaR from Predicted Tracking Error
(TE) by scaling the annualised TE forecast into a daily forecast
(by dividing by the square root of 252, representing the number of
business days in a year) and then multiplying that result by 1.645
to give a 95% confidence level. 1.645 is a statistical measure of
the distance from the mean, within which 95% of a data set will be
located in a normally distributed data set. In other words the
Company's VaR assessment assumes a normal distribution and is based
on assuming that all instruments are linear instruments (i.e. lack
optionality).
For the VaR numbers reported below, a one-day time horizon and a
95% confidence level were used. This means that there is a 5%
probability (i.e. 1 day out of 20), the Company will experience
losses in an amount equal to the reported VaR or greater. Losses
greater than or equal to the reported VaR would be anticipated to
occur, on average, about once a month. Losses on a single day can
exceed reported VaR by significant amounts. Losses can also
accumulate over a longer time horizon such as a number of
consecutive trading days.
The Company's Predicted One Day VaR for 31 December 2011 and 31
December 2010 is shown below:
31 December 2011 31 December 2010
One Day VaR 0.56% 0.68%
The Predicted One Day VaR for the benchmark for 31 December 2011
and 31 December 2010 is shown below:
Benchmark 31 December 2011 31 December 2010
3 Month LIBOR
One Day VaR 0.01% 0.05%
The Investment Manager uses historical volatility data of
returns and correlation amongst the Investees to estimate the
Company's VaR. Given its reliance on historical data, VaR is most
effective in estimating risk exposures in markets in which there
are no sudden fundamental changes or sudden shifts in market
conditions. An inherent limitation of VaR is that the distribution
of past changes in market risk factors may not produce accurate
predictions of future risk. Different VaR methodologies and
distributional assumptions could produce a materially different
VaR.
Moreover, VaR calculated for a one-day time horizon does not
fully capture the market risk of positions that cannot be
liquidated or offset with hedges within one day. Changes in VaR
between reporting periods are generally due to changes in levels of
exposure, volatilities and/or correlations among asset classes.
(i) Currency risk
The Company and its Investees may invest in financial
investments and enter into transactions denominated in currencies
other than its functional currency. Consequently, the Company may
be exposed to risks that the exchange rate of its functional
currency relative to other foreign currencies may change in a
manner that has an adverse effect on the value of that portion of
the Company's assets or liabilities denominated in currencies other
than the functional currency. Exposure to foreign currency risk at
the Investee Level is unknown and the Company does not manage this
risk. The Company may enter into forward currency contracts as a
way of managing foreign exchange risk for specific share classes
and as such the amounts of assets exposed to currency risk are not
significant.
To the extent unhedged, the value of the Company's net assets
will fluctuate with U.S. Dollar exchange rates as well as with
price changes of an Advisor's investments in the various local
markets and currencies. Forward currency contracts and options may
be used by Advisors to hedge against currency fluctuations, but the
Advisors are not required to use such techniques, and there can be
no assurance that such hedging transactions will be available or,
even if undertaken, effective.
(ii) Interest rate risk
The Investees may invest in fixed income securities and interest
rate swap contracts. Any change to relevant interest rates for
particular securities may result in the advisors being unable to
secure similar returns on the expiry of contracts or the sale of
securities. In addition, changes to prevailing interest rates or
changes in expectations of future rates may result in an increase
or decrease in the value of the securities held. In general, if
interest rates rise, the value of fixed income securities will
decline. A decline in interest rates will in general have the
opposite effect. The majority of the Company's financial assets and
liabilities are non-interest bearing. As a result, the Company is
not subject to significant amounts of risk due to fluctuations in
the prevailing levels of market interest rates. Any excess cash and
cash equivalents are invested at short-term market interest
rates.
(iii) Price risk
Price risk is the risk that the value of the Investees'
financial investments will fluctuate as a result of changes in
market prices, other than those arising from currency risk or
interest rate risk whether caused by factors specific to an
individual investment, its issuer or any factor affecting financial
investments traded in the market.
As the Company's investments in Investees are carried at fair
value with fair value changes recognised in the Statement of
Comprehensive Income, all changes in market conditions will
directly affect net assets.
The investments in the Investees are valued based on the latest
available unaudited redemption price of such shares as determined
by the administrator of the Investees. Furthermore, valuations
received from the administrator of the Investees may be estimates
and such values generally can be used to calculate the NAV of the
Company. Such estimates provided by the administrators of the
Investees may be subject to subsequent revisions which may not be
restated for the purposes of the Company's final month-end NAV. See
Note 3(b) of the Annual Report and Financial Statements - Investees
for further information regarding investment valuation.
Currency, interest rate and price risk are managed by the
Company's Investment Manager as part of the integrated market risk
management processes described above.
b) Liquidity risk
Liquidity risk is the risk that the Company will encounter
difficulty in meeting obligations associated with financial
liabilities. The Company's investments in the Investees can be
redeemed on a limited basis. As a result, the Company may not be
able to liquidate quickly some of its investments in these
instruments in order to respond to specific events such as
deterioration in the creditworthiness of any particular Investee.
The Company, being closed-ended, was able to invest its portfolio
with less regard to the issues arising from the limited liquidity
of the Investees than would be the case for open-ended funds of
hedge funds. In order to help mitigate liquidity risk, the Company
maintained a short-term overdraft facility as detailed in Note 9(e)
of the Annual Report and Financial Statements - Credit
facility.
The Advisors of the Investees may, at their discretion, transfer
a portion of the Company's investment into share classes where
liquidity terms are directed by the Advisor in accordance with the
respective Investee's offering memorandum, commonly referred to as
side pocket share classes. These side pocket share classes may have
restricted liquidity and prohibit the Company from fully
liquidating its investments without delay. The Company's Investment
Manager attempts to determine the Investees strategy on side
pockets prior to making an allocation to the Investee through its
due diligence process. However, no assurance can be given on
whether or not the Investee will implement side pockets during the
investment period. The Advisors of the Investees may also, at their
discretion, suspend redemptions or implement other restrictions on
liquidity which could impact the Company. As at 31 December 2011,
US$22,223,871 or 10% (2010: US$29,057,526 or 9%) of Net Assets,
inclusive of assets attributable to redeeming Shareholders, were
considered illiquid by the Company due to restrictions implemented
by certain Advisors of the Investees. These illiquids will limit
the Company's flexibility to realise the assets and distribute
proceeds to Shareholders.
Certain of the Company's Investees may have liquidity exposure
related to the Advisors' estimates of the recovery value of claims
against Lehman Brothers Holdings, Inc. and for certain of its
subsidiaries and affiliates ("Lehman"), including cash claims
involving amounts owed to the Investees by Lehman and/or
proprietary claims involving recovery of Investees' assets held by
Lehman at the time of its insolvency. These estimates are based on
information received from the majority, but not all of, the
Advisors, and the Company has no way of independently verifying or
otherwise confirming the accuracy of the information provided. As a
result, there can be no guarantee that such estimates are accurate.
There is significant uncertainty with respect to the ultimate
outcome of the Lehman insolvency proceedings, and therefore the
amounts ultimately recovered from Lehman could be materially
different than such estimates. Based on the information received,
the gross indirect exposure to Lehman did not materially affect the
Company's net assets attributable to holders of repayable
shares.
The following table summarises the liquidity provisions related
to the Company's investments in Investees at 31 December 2011:
Redemption Remaining Holding
Investees Period Period
Eton Park Overseas Fund, Ltd.(1) Annually None
Brookside II Cayman Limited Quarterly None
Silver Point Capital Offshore Fund, Ltd.(1) Annually None
Moore Global Investments, Ltd. Quarterly None
Goldman Sachs BH Fund Offshore, SPC Monthly None
TPG-Axon Partners (Offshore), Ltd.(1) Quarterly None
Goldman Sachs Classic Offshore Holdings,
Ltd. Quarterly None
Moon Capital Global Equity Offshore Fund
Ltd. Quarterly None
Spinnaker Global Opportunity Fund Ltd. Quarterly None
AKO Fund Limited Quarterly None
Conatus Capital Overseas Ltd. Quarterly None
Perry Partners International, Inc. Quarterly None
Anchorage Capital Partners Offshore, Ltd. Annually None
Harbinger Capital Partners Special Situations
Offshore Fund, L.P.(1) N/A N/A
Spinnaker Capital Pacnet Holdings Inc.(1) N/A N/A
Amaranth International Limited(1) N/A N/A
GLG Tisbury Fund Limited(1) N/A N/A
(1) This Investee has notified the Company of certain
restrictions on liquidity, which may include side pocket
investments, suspended redemptions or other implemented
restrictions on liquidity.
The table below sets forth the liabilities of the Company as at
31 December 2011 and 31 December 2010 and are rated into relevant
maturity groupings based on the earliest potential settlement.
Amounts due within 12 months equal their carrying balances.
Financial liabilities
Less than Greater than
31 December 2011 1year 1 year No Stated Maturity
US$ US$ US$
Financial liabilities at
fair value through profit
or loss 6,172,520 - -
Redemptions payable - - 12,567,786
Other liabilities 989,623 46,758 -
Repayable shares - - 199,651,339
7,162,143 46,758 212,219,125
========== ============= ====================
Less than Greater than
31 December 2010 1 year 1 year No Stated Maturity
US$ US$ US$
Financial liabilities at
fair value through profit
or loss 6,785,238 - -
Redemptions payable - - 12,483,167
Other liabilities 1,227,476 - -
Repayable shares - - 316,518,104
8,012,714 - 329,001,271
========== ============= ====================
Some of the investments made by the Company may not be readily
realisable and their marketability may be restricted, in particular
because markets in those investments may be made only by the
relevant Advisor who may allow redemptions only at specific times
and dates, and it may be difficult for the Company to sell or
realise its investments in whole or in part.
c) Credit risk
Credit risk is the risk that one party to a financial investment
will cause a financial loss by failing to discharge an obligation.
The Investment Manager has adopted procedures to reduce credit risk
related to the Company's dealings with counterparties and
Investees. Before transacting with any counterparty or Investee,
the Investment Manager or its affiliates evaluate both
creditworthiness and reputation by conducting a credit analysis of
the party, their business and reputation. The credit risk of
approved counterparties and Investees is then monitored on an
ongoing basis, including periodic reviews of financial statements
and interim financial reports as needed.
Investee risk is monitored within VaR as described above.
At 31 December 2011 and 31 December 2010, the following
financial assets were exposed to counterparty credit risk:
Financial assets at fair value through profit or loss, Cash and
cash equivalents, Securities sold receivable and Subscriptions in
investees, made in advance. The carrying amounts of financial
assets best represent the maximum credit risk exposure at the year
end date. The main concentration to which the Company is exposed
arises from investments in Investees. However there is no
significant concentration arising on investments in an individual
Investee.
The maximum exposure to credit risk as at the reporting date can
be analysed as follows for the year ended
31 December 2011 and 31 December 2010:
31 December 2011 31 December 2010
Financial assets US$ US$
Financial assets at fair value
through profit or loss 171,831,672 292,008,693
Securities sold receivable 33,773,161 609,962
Subscriptions in investees, made
in advance - 20,000,000
Cash and cash equivalents 13,805,927 24,362,803
Total assets exposed to credit
risk 219,410,760 336,981,458
================== ==================
The Investees held by the Company are not actively traded and
have no credit ratings available. The Company maintains its cash
and cash equivalents, when held, at RBC, which is subject to the
Company's credit risk monitoring policies as described above.
d) Material risk factors associated with the Winding Down
Resolution
The Board has identified a number of material risk factors
associated with the Winding Down Resolution and which are known to
the Company. Please refer to the Winding Down Circular announced on
18 November 2011 for a list of certain identified risk factors.
Shareholders should carefully consider all such risk factors
(although there may be others which are of equal or greater
magnitude which are not known to the Company or which the Company
deems to be immaterial and which, accordingly, are not set out in
the circular or which may be applicable to certain Shareholders or
types of Shareholders and of which the Company is unaware).
Further, as the Main Portfolio and/or liquidity constraints
and/or market conditions change or develop over time, these matters
may be subject to risk factors not currently contemplated.
e) Investment in Investees risk
The Investment Manager generally has limited access, if at all,
to specific information regarding the Advisors'
portfolios and relies on valuations provided by, or on behalf
of, the Advisors. The Company will be affected by the Advisors'
investment policies and decisions in direct proportion to the
amount of the Company's assets that are invested with the Advisors.
The NAV of the Advisors' assets will fluctuate in response to,
among other things, various market and economic prospects of
investments that the Advisors make, and as a result, the NAV of the
Company will be impacted. Generally, the NAVs provided by, or on
behalf of, the Advisors are only audited on an annual basis and are
not subject to independent third party verification.
In the normal course of business, the Advisors may trade various
financial instruments and enter into various investment
transactions with off-balance sheet risk, which include, but are
not limited to, securities sold short, futures, forwards, swaps and
written options. The Investment Manager generally will have limited
ability to monitor such investments, to obtain full and current
information and to exercise control rights over such investments.
This could have an adverse effect on the performance of such
investments and, therefore, on the performance of the Company. In
order to manage this risk, the Investment Manager performs due
diligence reviews with respect to the Advisors' valuation policies
and procedures and performs certain analytical procedures with
respect to the NAV information received. The review and procedures
performed by the Investment Manager support its ability to rely on
the NAVs supplied by, or on behalf of, the Advisors.
Share capital
31 December
31 December 2011 2010
US$ US$
Authorised: unlimited number of shares of
no par value - -
- -
============ =============
Issued and fully paid
GBP shares of no par value 120,332,912 159,768,713
US$ shares of no par value 890,628 10,710,735
EUR shares of no par value (delisted from
the LSE and closed during the year) - 6,606,264
The rights attaching to the Ordinary Shares are as follows:
a) Subject to any restrictions set out in the Company's Articles
of Association, each Ordinary Share carries one vote per share at a
general meeting.
b) The holders of Ordinary Shares of the relevant classes shall
confer the right to dividends declared in accordance with the
Company's Articles of Association.
c) No dividend or other distribution shall be made or paid by
the Company on any of its Shares between the Calculation Time and
the Conversion Time and no dividend shall be declared with a record
date falling between the dates.
d) The Ordinary Share Surplus shall be divided amongst the
Ordinary Shareholders pro rata according to their holdings as if
the Ordinary Share Surplus comprised the assets of the Company
available for distribution.
e) The capital and assets of the Company shall on a winding-up
be divided amongst the Shareholders on the basis of the capital
attributable to the respective classes of Shares at the date of
winding up and amongst the members of a particular class pro rata
according to their holdings of Shares of that Class.
Expenses incurred for each share class are charged to that
class.
2011 Continuation resolutions and redemptions
Over the 12 month period and similar to the prior year, the
Company's GBP shares, the EUR shares and the US$ shares traded, on
average, at discounts to their respective Net Asset Values in
excess of the discount management provisions, as described in the
Articles of Association, and accordingly, the Directors announced
on 13 January 2011 that the Company was required to propose 2011
continuation resolutions in respect to each share class.
At the Class Meetings held on 14 April 2011, Shareholders passed
a continuation resolution for the GBP shares, however, continuation
resolutions for the EUR shares and the US$ shares failed to pass.
As announced on 16 June 2011, the Board received acceptances for
redemption proposals for 40,649,280 US$ shares and 3,055,335 EUR
shares.
The shares were cancelled in June 2011 and as a result all
holders of the redeemed shares ceased to be Shareholders in the
Company and were classified as unsecured creditors on the Statement
of Assets and Liabilities. See Note 11 of the Annual Report and
Financial Statements - Redemptions payable.
On 11 July 2011, the Board announced that it had determined to
exercise powers of redemption in respect of the then remaining
issued EUR Shares and US$ Shares as permitted by the Company's
articles of association but subject to such Shareholders first
being offered the opportunity to convert their EUR Shares and/or
US$ Shares into GBP Shares. 207,493 EUR Shares and 5,176 US$ Shares
in aggregate were converted into GBP Shares by reference to the 30
June 2011 NAV Calculation Date.
On 29 July 2011, 3,889,485 EUR shares and 2,207,586 US$ shares
were redeemed. This represented all of the remaining EUR and US$
Shareholders at that date and as a result of the redemptions, the
listings of the remaining EUR and US$ shares was cancelled on 1
August 2011.
On 23 August 2011 EUR5,511,667 and US$4,617,950 were paid out to
the redeeming Shareholders which represented 100% of the redemption
proceeds from the compulsory redemption of the EUR Shareholders and
US$ Shareholders.
On 18 August 2011, 1,047,106 GBP Shares were converted into
905,326 US$ Shares by reference to the 30 June 2011 conversion
calculation date. All such US$ Shares are unlisted.
Winding Down Resolution
On 22 September 2011, the Board announced that it was consulting
with Shareholders as to the future direction of the Company.
On 14 October 2011, the Board announced that it would recommend
to Shareholders that the Company should commence a managed winding
down of the Main Portfolio. On 18 November 2011, the Board
announced recommended proposals for a change to the Company's
investment policy to permit a Winding Down (the "Winding Down
Proposals") and put forward a resolution to that effect. On 13
December 2011 Shareholders passed the resolution.
The Winding Down Proposals were designed to provide for a
managed winding down of the Company with an orderly realisation of
the Company's existing investments comprised in the Main Portfolio
and subsequently (and subject to Shareholder approval) the
appointment of a Liquidator and the winding up of the Company. As
at 31 December 2011, a Liquidator has not yet been appointed.
In November 2011, 14,698 US$ shares were converted into 17,517
GBP shares by reference to the 30 September 2011 conversion
calculation date. On the basis of Conversion Notices received by
the Company, the Company's issued share capital at 18 November 2011
consisted of 120,332,912 GBP shares and 890,628 US$ shares.
The issued share capital activities for the year ended 31
December 2011 are summarised in the following table:
GBP shares US$ shares EUR shares
31 December 2010 issued share capital 159,768,713 10,710,735 6,606,264
December 2010 share conversions (32,328,196) 26,400,428 858,933
------------- ------------- ------------
127,440,517 37,111,163 7,465,197
March 2011 share conversions (6,316,681) 5,750,879 (312,884)
------------- ------------- ------------
121,123,836 42,862,042 7,152,313
2011 Redemption proposal acceptances - (40,649,280) (3,055,335)
------------- ------------- ------------
30 June 2011 issued share capital 121,123,836 2,212,762 4,096,978
Conversion opportunity 238,665 (5,176) (207,493)
------------- ------------- ------------
29 July 2011 issued share capital
pre redemption of shares 121,362,501 2,207,586 3,889,485
Redemption of EUR shares and US$ shares - (2,207,586) (3,889,485)
------------- ------------- ------------
29 July 2011 issued share capital 121,362,501 - -
1 August 2011 delisting of shares - Delisted Delisted
August 2011 share conversions (1,047,106) 905,326 -
September 2011 share conversions 17,517 (14,698) -
------------- ------------- ------------
31 December 2011 issued share capital 120,332,912 890,628(1) -(2)
(1) The US$ shares comprise a delisted share class and no longer
trades on the LSE.
(2) The EUR share class has been delisted from the LSE and
closed.
As of 31 March, 30 June, 30 September and 31 December of each
year a shareholder may elect to convert some or all of his Ordinary
Shares of one currency class into Ordinary Shares of another
currency class. The Board has decided that the conversion mechanism
should remain in place going forward, even during the Managed
Winding Down.
2010 Continuation resolutions and redemptions
A meeting to consider the 2010 continuation resolutions was held
on 23 April 2010. Shareholders passed a continuation resolution for
the GBP shares, however, continuation resolutions for the EUR
shares and the US$ shares failed to pass. As announced on 24 June
2010, the Board received acceptances for redemption proposals for
29,090,245 US$ shares and 4,130,495 EUR shares. Those shares were
cancelled in July 2010 and as a result, all holders of those
redeemed shares ceased to be Shareholders in the Company and were
classified as unsecured creditors on the Statement of Assets and
Liabilities. See Note 11 of the Annual Report and Financial
Statements - Redemptions payable.
These are not full statutory accounts. The full audited accounts
for 31 December 2011 will be sent to Shareholders and will be
available for inspection at Canada Court, Upland Road, St Peter
Port, Guernsey, the registered office of the Company or the
Company's website
http://www2.goldmansachs.com/client_services/asset_management/listed/gsdo/index.html.
Enquiries:
Robin Amer
RBC Offshore Fund Managers Limited
Tel: +44 (0)1481 744130
This information is provided by RNS
The company news service from the London Stock Exchange
END
ACSIIMFTMBTTBBT
Grafico Azioni Goldman D GBP (LSE:GSDO)
Storico
Da Mag 2024 a Giu 2024
Grafico Azioni Goldman D GBP (LSE:GSDO)
Storico
Da Giu 2023 a Giu 2024
