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| Share Name | Share Symbol | Market | Type | Share ISIN | Share Description |
|---|---|---|---|---|---|
| Caliber Global | LSE:CLBR | London | Ordinary Share | GB00B09LSD21 | ORD NPV |
| Price Change | % Change | Share Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.00 | 0.00% | 0.06 | 0.00 | 01:00:00 |
| Industry Sector | Turnover | Profit | EPS - Basic | PE Ratio | Market Cap |
|---|---|---|---|---|---|
| 0 | 0 | N/A | 0 |
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RNS Number:6871P
Caliber Global Investment Ltd
10 March 2008
Caliber Global Investment Limited ("Caliber" or the "Company")
Preliminary Results for the First Quarter Ended December 31, 2007
* Company only NAV of $0.91 as at December 31, 2007 (September 30, 2007:
$1.29)
* Consolidated NAV of $(3.15) per share at December 31, 2007 (September 30,
2007: $0.10)
* EGM resolution of August 30, 2007 results in unrealized accumulated losses
being taken to the income statement. Net loss for the first quarter to
December 31, 2007 of $80m (Q4 2007: $195m loss) after an impairment charge
of $84m resulting in a loss per share of $3.25 for the quarter (Q4 2007:
Loss per share $7.97)
* Estimated company only NAV at January 31, 2008 is $0.83 and for the
consolidated NAV it is $(3.26)
* At current market levels the first distribution may be delayed beyond
March 2009
* Shareholders will be informed if the target date for realization of assets
is extended beyond August 30, 2008
Caliber Q1 2008 Investment Manager's Report
Overview
Credit market conditions remained turbulent over the last three months as the
global credit crisis continued to deepen and broaden. Multi-billion dollar
asset write-offs by a variety of commercial banks, additional reductions in
liquidity and available financing, worsening collateral performance and fears of
a recession in the US led to dramatically lower dollar prices for the vast
majority of the securities in Caliber's portfolio.
The lower dollar prices have in turn led to a significant decline in the value
of the Company's portfolio during the Company's first quarter. At December 31,
2007 the investment portfolio stood at $251 million in comparison to $393
million at the end of September. The decrease of $142 million was due to $24
million of asset sales with the bulk of the remainder ($118 million) occurring
in the financing facilities which have negative net assets.
Collateral performance in the US security portfolio has been below expectations
and has continued to decline. Delinquency rates, foreclosure rates and loss
severities are all occurring at rates in excess of our projections leading to a
reduction in anticipated recoveries. Liquidity in the Company's target markets
remains poor, but transaction volume in the US has increased since the beginning
of January 2008. Sales from regulated financial institutions and other forced
sellers have been met by increased demand from credit opportunity funds that
started operations towards the end of 2007.
The European Asset Backed Securities ("ABS") market came under significant
pressure at the end of 2007. Despite generally continued favourable collateral
performance, prices for UK and European Residential Mortgage Backed Securities
("RMBS") and European Commercial Mortgage Backed Securities ("CMBS") declined
due to higher required discount rates and dramatically wider credit spreads.
New issuance volumes have declined and many dealers have significantly reduced
their market making activities in ABS.
Cash flows due to net interest margin and principal repayments continued in the
investment portfolio. During the quarter this totalled $43.4 million. The
majority of this cash flow ($41.6 million), however, is in the Company's special
purpose vehicles ("SPVs") which have negative net assets, and has been used to
repay the relevant third party borrowings.
Lastly, it should be noted that after the declines in the market over the past
three months, the majority of the value of the Company derives from the cash and
securities held directly by the Company and the Company's investment in the
Crown Woods SPV. The Assabet and Tormes SPVs, both of which are non-recourse,
have significant negative net assets with little prospect of having a positive
impact on the net asset value ("NAV") during the short to medium term.
Net Asset Value
The company only net asset value per share at December 31, 2007 was $0.91
(September 30, 2007: $1.29). The company only NAV excludes those non-recourse
SPVs which contributed negative net assets to the consolidated NAV per share of
$(3.15) as at December 31, 2007 (September 30, 2007: $0.10). The continued
decline in company only and consolidated NAVs is largely due to unrealized
losses, and reflects the depressed market prices for assets in the Company's
portfolio. In light of the continuing disruption in the financial markets and
the illiquidity of the Company's portfolio, neither NAV should not be taken as a
guide to the likely disposal price of such assets in the current environment or
in the future.
The Investment Manager continues to believe that the consolidated NAV does not
represent the fair NAV of the Company. The net assets of certain of the
Company's various non-recourse funding facilities were negative at December 31,
2007, with the market value of the assets being less than the amount of the
third party borrowings. As discussed in the year end report, the Investment
Manager believes that a more commercially accurate NAV excludes those facilities
from the calculation. The greater decline in the consolidated NAV relative to
the company only NAV reflects the protection afforded to the Company by the
non-recourse nature of the SPVs.
The following table shows the NAV of Caliber and each of its funding SPVs as at
December 31, 2007:
Caliber (company Assabet Crown Woods Tormes Consolidated
only)
($m) ($m) ($m) ($m) ($m)
Investments 7.8 75.6 60.0 107.5 250.9
Investment in 11.5
subsidiaries
Other assets 4.5 52.0 2.5 6.3 65.3
Total Assets 23.8 127.6 62.5 113.8 316.2
3rd party borrowings - (171.4) (50.5) (167.2) (389.1)
Intercompany borrowings - (71.9) (25.9) (43.5)
Other liabilities (1.6) (1.6) (0.5) (0.6) (4.3)
Total Liabilities (1.6) (244.9) (76.9) (211.3) (393.4)
Net Assets 22.2 (117.3) (14.4) (97.5) (77.2)
Net Assets per Share 0.91 - - - (3.15)
Consolidated Investment Portfolio
As of December 31, 2007 the investment portfolio of approximately $251 million
(September 30, 2007: $393 million) comprised 181 (September 30, 2007: 187)
individual investments at an average position size of $1.4 million (September
30, 2007: $2.1 million).
The reduction in portfolio value was largely a result of decreases in the market
value of the company's holdings. During the quarter, securities with a market
value of $24 million were sold and there were no security purchases. The
reduction in the number of securities held was 6. These sales reflected a desire
to improve cash balances to satisfy the company's obligations. No new
investments were made during the quarter.
Sector Profile
Value Gains/losses
($) % ($)
RMBS 140,411,508 56.0% (242,562,703)
CMBS 65,409,680 26.0% (6,733,745)
Other ABS 45,110,524 18.0% (4,531,001)
Total 250,931,712 100.0% (253,827,449)
Holdings of RMBS securities decreased during the quarter from 63.6% at year end,
while holdings of CMBS and other ABS increased.
Geographical Profile
Value Gains/Losses
($) % ($)
US 130,113,838 51.9% (241,999,706)
Europe 43,508,895 17.3% (6,845,198)
UK 77,308,979 30.8% (4,982,545)
Total 250,931,712 100.0% (253,827,449)
US assets now represent only slightly more than half of the company's portfolio,
down from 61.4% at September 30, 2007.
Credit Rating Profile
Value Gains/Losses
($) % ($)
Investment Grade 176,720,239 70.4% (194,050,391)
Sub-investment Grade 65,493,786 26.1% (47,038,392)
Unrated 8,717,687 3.5% (12,738,666)
Total 250,931,712 100% (253,827,449)
The proportion of investment grade assets in the portfolio declined (September
30, 2007: 75%) due to the combination of the impact of asset sales and security
downgrades during the quarter.
US RMBS Analysis
Value Average Price
Rating ($) % % Portfolio ($c)
A 19,420,077 17.4% 7.7% 38.4
BBB 78,339,776 70.3% 31.2% 28.2
BB 12,575,126 11.3% 5.0% 15.9
Other 464,349 0.4% 0.2% 2.9
Unrated 707,436 0.6% 0.3% NA
Totals 111,506,764 100.0% 44.4%
US RMBS portfolio by vintage
Vintage Value % portfolio % US RMBS Average Price
portfolio
($) ($c)
2003 0.0% 0.1% 10.0
83,563
2004 26,926,924 10.7% 24.1% 33.4
2005 82,927,982 33.0% 74.4% 25.5
2006 1,568,295 0.7% 1.4% 5.3
111,506,764 44.4% 100.0%
2006 Vintage
Rating Value % US RMBS % Portfolio Average Price
($) ($c)
BBB 676,860 0.6% 0.3% 12.0
BB 559,000 0.5% 0.2% 4.5
Unrated 332,435 0.3% 0.1% NA
Totals 1,568,295 1.4% 0.6%
In the US RMBS 2006 vintage, the market witnessed further significant pricing
declines at all rating levels.
2nd Lien
Rating Value % US RMBS % Portfolio Average Price
($) ($c)
BBB 2,497,353 2.2% 1.0% 14.8
BB 229,496 0.2% 0.1% 3.7
Other 464,349 0.5% 0.2% 2.9
Totals 3,191,198 2.9% 1.3%
In the US RMBS second lien securities market there were further significant
pricing declines.
Pricing distribution
Pricing Total EUR EUR Value % of portfolio US US Value % of portfolio
Distribution (EUR portfolio) (USD portfolio)
($) ($)
($c)
< =20 73 - - 0.0% 73 22,945,008 9.1%
20-30 11 - - 0.0% 11 8,756,168 3.5%
30-40 14 1 777,329 0.3% 13 12,624,890 5.0%
40-50 17 - - 0.0% 17 23,973,352 9.6%
50-60 10 - - 0.0% 10 21,254,128 8.5%
60-70 5 - - 0.0% 5 15,687,140 6.3%
70-80 7 2 6,924,252 2.8% 5 14,330,111 5.7%
80-90 14 11 27,112,063 10.8% 3 8,324,045 3.3%
90-95 21 20 56,064,683 22.3% 1 2,218,995 0.9%
>=95 9 9 29,939,548 11.9% 0 - 0.0%
Total 181 43 120,817,875 48.1% 138 130,113,837 51.9%
The pricing distribution table highlights the profound decline in the market
value of the US portfolio. Since September 30, 2007 the number of securities
priced below 50c increased from 48 to 114 highlighting the significant distress
in the company's portfolio. Additionally, weakness in the market for European
securities can be observed as the number of securities priced below 90c
increased from 6 to 14.
Caliber (Company only)
Sector Profile
Value ($) %
RMBS 3,499,426 44.9%
CMBS 2,982,871 38.3%
Other ABS 1,315,844 16.8%
Total 7,798,141 100.0%
Geographical Profile
Value ($) %
US 5,695,014 73.0%
Europe 1,315,845 16.9%
UK 787,282 10.1%
Total 7,798,141 100.0%
Credit Rating Profile
Value ($) %
Investment Grade 3,817,808 49.0%
Sub-investment Grade 1,947,101 25.0%
Unrated 2,033,232 26.0%
Total 7,798,141 100.0%
Assabet
Sector Profile
Value ($) %
RMBS 70,915,796 93.8%
CMBS 1,489,450 2.0%
Other ABS 3,216,398 4.2%
Total 75,621,644 100.0%
Geographical Profile
Value ($) %
US 75,621,644 100.0%
Total 75,621,644 100.0%
Credit Rating Profile
Value ($) %
Investment Grade 75,506,164 99.8%
Sub-investment Grade 115,480 0.2%
Total 75,621,644 100.0%
Crown Woods
Sector Profile
Value ($) %
RMBS 16,490,152 27.5%
CMBS 25,744,886 42.9%
Other ABS 17,807,047 29.6%
Total 60,042,085 100.0%
Geographical Profile
Value ($) %
US 6,121,726 10.2%
Europe 22,206,068 37.0%
UK 31,714,291 52.8%
Total 60,042,085 100.0%
Credit Rating Profile
Value ($) %
Investment Grade 42,413,891 70.6%
Sub-investment Grade 17,628,194 29.4%
Total 60,042,085 100.0%
Tormes
Sector Profile
Value ($) %
RMBS 49,506,136 46.1%
CMBS 35,192,473 32.7%
Other ABS 22,771,233 21.2%
Total 107,469,842 100.0%
Geographical Profile
Value ($) %
US 42,675,454 39.7%
Europe 19,986,982 18.6%
UK 44,807,406 41.7%
Total 107,469,842 100.0%
Credit Rating Profile
Value ($) %
Investment Grade 54,982,377 51.2%
Sub-investment Grade 45,803,012 42.6%
Unrated 6,684,453 6.2%
Total 107,469,842 100.0%
Funding
Caliber continues to have three dedicated funding lines, Tormes, Assabet and
Crown Woods. The Tormes and Assabet facilities were restructured during 2007
such that these facilities are currently repaying debt on a sequential basis,
using the proceeds from any excess spread, principal repayments or proceeds from
sale to repay the senior loan facilities. Only after these facilities are
repaid in full will the Company receive any excess cashflows (apart from a
nominal amount of excess spread the Company receives monthly on the Tormes
facility). As at December 31, 2007 the outstanding loan amounts for these
facilities were:
(a) Tormes - $167,208,484 and
(b) Assabet - $171,435,000.
The third funding line, Crown Woods, continues to require ongoing credit support
from the Company. As at December 31, 2007 the outstanding amount drawn under
the Crown Woods facility was $50,502,128, backed by a pool of assets with a
market value of $60,042,085. This facility is a market value based facility and
the Company continues to have obligations to support the line, both from a
market value decline standpoint and also an asset eligibility standpoint. Over
the past quarter the Company has on several occasions increased the subordinated
loan it holds in Crown Woods in order to provide support for the underlying
collateral. The Investment Manager anticipates that similar support will
continue to be required, albeit relative to the reduced size of the drawings
under the facility. The Crown Woods line is due to expire on September 1, 2008.
The Company has no assets funded by uncommitted repurchase transactions. There
remain two derivative contracts outstanding at the Company level, which are
fixed to floating interest rate swaps. As at December 31, 2007, the total
notional value of these instruments was $6.25m, of which $4.5m expired in
February 2008 and the remainder is due to expire in June 2010.
Dividend
Prior to the change in its investment objective last year, Caliber's policy was
to pay dividends solely out of distributable earnings and to distribute
substantially all distributable earnings as dividends. Given the continued
impact of impairment charges on distributable earnings no dividend can be paid
in the current quarter. It is anticipated that any future distributions to
shareholders will be in the form of capital rather than in the form of
dividends.
Outlook
The Investment Manager expects that market conditions will remain difficult
during 2008. At the current time, the Investment Manager sees no signs yet of a
return of liquidity in the market. A resumption of more normal lending practice
by commercial banks is a necessary element for an improvement in liquidity.
The Investment Manager will continue to manage the portfolio to preserve the
asset value of the Company and the Crown Woods SPV. Selective and opportunistic
asset sales will continue to support this goal. At the current time, the
prospects for recovery in the value of the Assabet and Tormes SPVs are remote
and uncertain, although the Company has no obligation to provide any additional
support to these SPVs.
The disrupted market conditions have continued to delay the liquidation and
realization timetable for the Company and while this continues to be the case
the Investment Manager continues to believe that liquidating the Company's
assets in the current market is not in the best interests of the Company. At
current market levels, the first distribution may be delayed beyond March 2009
when the contingent liability referred to in Note 13(f) expires.
If market conditions do not improve materially in the remaining first half of
2008 it may not be possible to realise the full potential value in the portfolio
by August 30, 2008. In such circumstances, should Caliber consider the best
option to be to extend the target date for realisation of assets, shareholders
will be informed.
Cambridge Place Investment Management LLP
For further information please contact:
Investor Relations:
Cambridge Place Investment Management LLP
Dominick Peasley
+44 (0) 20 7938 5749
Media:
Financial Dynamics
Ed Gascoigne-Pees
+44 (0) 20 7269 7132
About Caliber
Caliber is a Guernsey-incorporated investment company listed on the London Stock
Exchange (CLBR). The investment objective of the Company is to manage the sale
of the Company's investment portfolio and to maximise the return of invested
capital to shareholders during the 12 months ending on August 30, 2008.
Caliber's investment manager is Cambridge Place Investment Management LLP.
www.caliberglobal.com
CALIBER GLOBAL INVESTMENT LIMITED
Independent review report of KPMG Channel Islands Limited to Caliber Global
Investment Limited ("the Company") on the interim financial information for the
quarter ending December 31, 2007
Introduction
We have been engaged by the Company to review the unaudited quarterly report and
accounts for the three months ended 31 December 2007 (the 'quarterly report')
which comprises the Unaudited Consolidated Income Statement, Unaudited
Consolidated Statement of Changes In Equity, Unaudited Consolidated Balance
Sheet, Unaudited Consolidated Cash Flow Statement and the related notes to the
interim financial information.
We have read the other information contained in the investment manager's report
and considered whether it contains any apparent misstatements or material
inconsistencies with the information in the quarterly report.
This report is made solely to the Company in accordance with the terms of our
engagement contained within our engagement letter dated 14 November 2006. Our
review has been undertaken so that we might state to the Company those matters
we are required to state to it in this report and for no other purpose. To the
fullest extent permitted by law, we do not accept or assume responsibility to
anyone other than the Company for our review work, for this report, or for the
conclusions we have reached.
Directors' Responsibilities
The quarterly report and accounts, is the responsibility of, and has been
approved by, the directors.
As disclosed in note 3, the annual financial statements of the Company are
prepared in accordance with International Financial Reporting Standards. The
quarterly report has been prepared in accordance with the recognition and
measurement principles of International Financial Reporting Standards.
Our responsibility
Our responsibility is to express to the Company a conclusion on the quarterly
report based on our review.
Scope of review
We conducted our review in accordance with International Standard on Review
Engagements (UK and Ireland) 2410 Review of Interim Financial Information
Performed by the Independent Auditor of the Entity issued by the Auditing
Practices Board for use in the UK. A review of interim financial information
consists of making enquiries, primarily of persons responsible for financial and
accounting matters, and applying analytical and other review procedures. A
review is substantially less in scope than an audit conducted in accordance with
International Standards on Auditing (UK and Ireland) and consequently does not
enable us to obtain assurance that we would become aware of all significant
matters that might be identified in an audit. Accordingly, we do not express an
audit opinion.
Conclusion
Based on our review, nothing has come to our attention that causes us to believe
that the quarterly report for the three months ended 31 December 2007 is not
prepared, in all material respects, in accordance with the recognition and
measurement principles of International Financial Reporting Standards.
Emphasis of matter
In forming our review conclusion, which is not qualified, we have considered the
adequacy of the disclosures in note 1 and note 2 concerning the basis of
preparation of the financial statements and the valuation of debt securities
respectively.
As further described in note 1, the financial statements have been prepared on a
basis which assumes that the Group and Company will terminate in the next nine
to eighteen months. In this situation the going concern assumption is not
applicable and provision has been made for termination costs.
The Group and Company holds investments in debt securities. As described in
note 2, current market conditions have introduced uncertainty into debt security
markets with restricted trading and greater price volatility giving rise to
difficulties in determining the fair value of the debt securities held by the
Group and Company. As alluded to in note 14, shareholders, investors and other
stakeholders should be aware that reduced liquidity and increased volatility
have continued to be features of the market since the year end. The ability of
the Group to repay its outstanding debt obligations is dependent upon the
portfolio of debt securities being realized at the requisite level to meet its
obligations.
KPMG Channel Islands Limited
Chartered Accountants
Guernsey
March 7, 2008
CALIBER GLOBAL INVESTMENT LIMITED
Consolidated income statement (unaudited)
For the period from October 1, 2007 to December 31, 2007 and for the period from
October 1, 2006 to December 31, 2006
Note 3 months ended
December 31, December 31,
2007 2006
(unaudited) (unaudited)
$000 $000
Operating income
Interest income 4 13,260 22,223
Gains on investments 5 107 374
Losses on investments 5 (1,289) (282)
Movement in gains on derivatives 600 475
Movement in losses on derivatives (38) (2,891)
Net foreign exchange gains/(losses) (220) 2,488
Total operating income $12,420 $22,387
Operating expenses
Interest expense 6 (5,547) (12,068)
Provision for impairment of investments 9 (84,211) (1,661)
Other operating expenses (2,344) (2,312)
Total operating expenses $(92,102) $(16,041)
Net (loss)/profit $(79,682) $6,346
Earnings per ordinary share
Basic $ (3.2492) $ 0.2588
Diluted $ (3.2492) $ 0.2588
Weighted average ordinary shares outstanding Number Number
Basic 24,523,810 24,523,810
Diluted Number Number
24,523,810 24,523,810
See notes to the interim financial information
CALIBER GLOBAL INVESTMENT LIMITED
Consolidated statement of changes in equity (unaudited)
For the period from October 1, 2007 to December 31, 2007 and for the period from
October 1, 2006 to December 31, 2006
Accumulated (deficit)/profit
Ordinary Net unrealized
Shares Amount gains/(losses) Distributable Non-distributable Total equity
Number $000 $000 $000 $000 $000
Balance at September 30, 2006 24,523,810 $235,198 $(6,477) $7,930 $973 $237,624
(audited)
Net unrealized loss on
available-for-sale securities - - (14,809) - - (14,809)
Dividends paid - - - (7,602)* - (7,602)
Net profit - - - 5,972 374 6,346
Balance at December 31, 2006
(unaudited) 24,523,810 $235,198 $(21,286) $6,300 $1,347 $221,559
Movement in net unrealized
loss on available-for-sale
securities - - 21,286 - - 21,286
Dividends paid - - - (6,131)* - (6,131)
Net deficit - - - (238,877) 4,602 (234,275)
Balance at September 30, 2007
(audited) 24,523,810 $235,198 - $(238,708) $5,949 $2,439
Net deficit - - - (79,789) 107 (79,682)
Balance at December 31, 2007
(unaudited) 24,523,810 $235,198 - $(318,497) $6,056 $(77,243)
See notes to interim financial information.
* Dividends were paid prior to deterioration in the global credit markets.
CALIBER GLOBAL INVESTMENT LIMITED
Consolidated balance sheet (unaudited)
As at December 31, 2007
Note December 31, September 30,
2007 2007
(unaudited) (audited)
$000 $000
Assets
Cash at bank and in hand 8 4,685 11,204
Cash held by brokers as collateral 8 57,888 59,973
Available for sale securities 9 250,932 392,593
Loans and receivables 9 - -
Other assets 10 2,735 3,754
Total assets $316,240 $467,524
Liabilities
Bank overdrafts and loans 6 389,146 459,951
Payables for securities purchased - -
Provision for liquidation costs 1,569 1,569
Trade and other payables 11 2,768 3,565
Total liabilities $393,483 $465,085
Net (liabilities)/assets $(77,243) $2,439
Equity
Share capital - -
Share premium account 233,916 233,916
Share options 13(b) 1,282 1,282
Accumulated deficit (312,441) (232,759)
Equity attributable to equity holders of the Group $(77,243) $2,439
The interim financial information was approved by the Board of Directors on
March 7, 2008.
Signed on behalf of the Board of Directors by:
Haruko Fukuda OBE Chris Waldron
Director Director
See notes to interim financial information.
CALIBER GLOBAL INVESTMENT LIMITED
Company balance sheet (unaudited)
As at December 31, 2007
Note December 31, September 30,
2007 2007
(unaudited) (audited)
$000 $000
Assets
Cash and cash equivalents 8 2,752 5,807
Cash held with brokers as collateral 8 1,153 1,829
Investment in subsidiaries 9 11,542 13,900
Available for sale securities 9 7,798 12,865
Loans and receivables 9 - -
Other assets 10 604 694
Total assets $23,849 $35,095
Liabilities
Bank overdrafts and loans - 712
Provision for liquidation costs 575 575
Trade and other payables 11 1,055 2,083
Total liabilities $1,630 $3,370
Net assets $22,219 $31,725
Equity
Share capital - -
Share premium account 233,916 233,916
Share options 13(b) 1,282 1,282
Accumulated deficit (212,979) (203,473)
Equity attributable to equity holders of the Group $22,219 $31,725
The Company balance sheet does not come under the scope of the interim review
See notes to interim financial information.
CALIBER GLOBAL INVESTMENT LIMITED
Consolidated cash flow statement (unaudited)
For the period from October 1, 2007 to December 31, 2007 and for the period from
October 1, 2006 to December 31, 2006
Note 3 months ended 3 months ended
December 31, December 31,
2007 2006
(unaudited) (unaudited)
$000 $000
Net cash from operating activities 12 9,076 54
Investing activities
Purchases of asset-backed securities - (102,633)
Proceeds on sale of asset-backed securities and paydowns 53,488 73,335
Cash flows from investing activities $53,488 $(29,298)
Financing activities
Decrease in borrowings under repurchase (667) (36,269)
agreements
Decrease in bank borrowings (68,416) 85,254
Dividends paid to shareholders - (7,602)
Cash flows from financing activities $(69,083) $41,383
Net (decrease)/increase in cash and cash equivalents (6,519) 12,139
Cash and cash equivalents at beginning of period 11,204 22,090
Cash and cash equivalents at end of period 8 $4,685 $34,229
3 months ended 3 months ended
December 31, December 31,
2007 2006
(unaudited) (unaudited)
$000 $000
Interest received 14,134 21,853
Interest paid (5,271) (11,088)
See notes to interim financial information.
CALIBER GLOBAL INVESTMENT LIMITED
Notes to the interim financial information
For the period ended December 31, 2007
1. General information
Caliber Global Investment Limited (the "Company") was registered on May 4, 2005
with registered number 43124 and is domiciled in Guernsey, Channel Islands, and
commenced its operations on June 13, 2005. The Company is a closed-ended
investment company with limited liability formed under the Companies Law of
Guernsey and its shares are listed on the London Stock Exchange. The registered
office of the Company is Dorey Court, Admiral Park, St Peter Port, Guernsey, GY1
3BG, Channel Islands. "Group" is defined as the Company and its subsidiaries,
see Note 3 (c) below.
Prior to August 30, 2007 the principal activities of the Group included the
investing in and managing a globally diversified portfolio of mortgage backed
and other asset backed securities and loans. The Group's investment objective
was to preserve capital and provide stable returns to shareholders, both in the
form of dividends and capital growth. It intended to achieve this through
investing primarily in mortgage-backed and other asset-backed securities and
loans. Income would be generated from the difference between income received and
interest expense plus any gains arising from the sale of assets.
On August 30, 2007 the shareholders approved the following two ordinary
resolutions and one special resolution:
Ordinary resolutions:
* To approve a change in the investment objective of the Company to "manage
the sale of the Company's investment portfolio and to maximize the return of
invested capital to shareholders during the 12 months ending on August 30,
2008."
* To approve a change to the Investment Management Agreement pursuant to the
Deed of Amendment dated August 3, 2007.
Special resolution:
* To approve the reduction of the share premium account of the Company to
$250,000 and its conversion into a capital realisation reserve
The financial statements have been prepared on the assumption that the Group and
Company will terminate within the next nine to eighteen months and because the
going concern assumption is not applicable, appropriate provision has been made
for termination costs. Investments, as in previous periods, continue to be
included at their fair vale in the financial statements.
The Group utilises funding facilities in order to enhance returns to
shareholders. The Group mitigates its exposure to interest rate and currency
fluctuations through the use of hedging arrangements. The Group's revised
investment objective, the means by which it will able to achieve this and its
use of funding facilities is affected by the matters described elsewhere in this
report.
The Group's investment management activities are managed by its Investment
Manager, Cambridge Place Investment Management LLP (the "Investment Manager").
The Group has entered into an Investment Management Agreement (the "Investment
Management Agreement") under which the Investment Manager manages its day-to-day
investment operations, subject to the supervision of the Group's Board of
Directors. The Group has no direct employees. For its services, the Investment
Manager receives an annual management fee (which includes a reimbursement of
expenses) and a quarterly performance related fee. The Group has no ownership
interest in the Investment Manager. The Group is administered by Kleinwort
Benson (Channel Islands) Fund Services Limited, ("the Administrator").
Investors Fund Services (Ireland) Limited ("IFS") provides certain
administration services to the Group under a sub-administration agreement
between IFS, the Administrator and the Group.
On June 13, 2005 the Group issued 15,000,000 ordinary shares in its Initial
Public Offering at a price of $10 per share, for net proceeds of $140.5 million.
On May 11, 2006 the Group issued 9,523,810 ordinary shares in a Follow On at a
price of $10.50 per share, for net proceeds of $94.7 million.
2. Financial instruments valuations
The portfolio of asset backed securities at December 31, 2007 was US$250.9
million (September 30, 2007 $392.6 million) ("the Debt securities") and has been
fair valued using independent broker quotes received.
In preparing the Debt securities fair value estimates the Directors have taken
account of the recent market turmoil in financial markets. Current market
conditions have introduced uncertainty into the debt security market with
restricted trading and greater price volatility which has given rise to
difficulties in pricing the portfolio of Debt securities.
As a consequence of these conditions, the Directors consider that markets as at
December 31, 2007, and subsequently, were less active than normal for the type
of securities held by the Group. Reduced levels of market data raise significant
uncertainties over the broker quotes used as fair value estimates for such
positions. In such circumstances, IFRS can require appropriate valuation models
to be used in order to estimate fair values. However, it is unlikely that the
use of market models would provide more appropriate valuations, given the
scarcity of observable data in the marketplace upon which to prepare fair value
estimates.
In these circumstances, the Directors are of the view that the most appropriate
estimate of the fair value of the Debt securities remains the independent broker
quotes sourced for these positions. Consequently the Directors have opted to use
the broker quotes provided. Due to the inherent uncertainty of valuation and a
low level of trading activity in such Debt securities, if any, these broker
values may differ from the values that would have been used had a more active
market for the securities existed and the differences could be material. Note
14 on subsequent events confirms that reduced liquidity and increased volatility
have continued to be features of the market since the year end and show no
imminent signs of easing.
3. Significant accounting policies
a) Statement of compliance
The interim financial information has been prepared in accordance to the
recognition and measurement principles of International Financial Reporting
Standards (IFRS) and interpretations adopted by the International Accounting
Standards Board (IASB).
The interim financial statements do not include all of the information required
for full annual financial statements, and should be read in conjunction with the
Consolidated financial statements of the Group as at and for the year ended
September 30, 2007. The Consolidated financial statements of the Group as at
and for the year ended September 30, 2007 was prepared in accordance with
International Financial Reporting Standards (IFRS).
b) Basis of preparation
The interim financial information is presented in US dollars and rounded to the
nearest thousand. The interim financial information is for the period from
October 1, 2007 to December 31, 2007. The comparative figures in respect of the
Consolidated Income Statement, Consolidated Statement of Changes in Equity and
the Consolidated Cash Flow Statement are for the period from October 1, 2006, to
December 31, 2006. They are prepared on a fair value basis for available for
sale investments, with fair value changes being taken directly to reserves
unless impaired. Derivatives are also recognised on a fair value basis, with
fair value changes being recognised in the Income Statement. Any other financial
assets and financial liabilities are stated at amortised cost.
A Company-only balance sheet has been prepared and are included in these
financial statements as the results and reserves of the Company are materially
different from those of the consolidated Group, due to the non-recourse nature
of the funding facilities.
The preparation of financial information in accordance with the recognition and
measurement principles of IFRS requires the Board to make judgments, estimates
and assumptions that affect the application of policies and the reported amounts
of assets and liabilities, income and expense.
The estimates and associated assumptions are based on historical experience and
various other factors that are believed to be reasonable under the
circumstances, the results of which form the basis of making the judgments about
carrying values of assets and liabilities that are not readily apparent from
other sources. Actual results may differ from these estimates. The estimates and
underlying assumptions are reviewed on an ongoing basis. Revisions to accounting
estimates are recognised in the period in which the estimate is revised if the
revision affects only that period, or in the period of the revision and future
periods if the revision affects both current and future periods.
The accounting policies have been applied consistently by the Group and the
Company.
c) Basis of consolidation
The consolidated interim financial information comprises the financial
information of Caliber Global Investment Limited and its subsidiaries for the
period from October 1, 2007 to December 31, 2007. Subsidiaries are consolidated
from the date on which control is transferred to the Company and cease to be
consolidated from the date on which control is transferred from the Company.
Control exists when the Company has the power, directly or indirectly, to govern
the financial and operating policies of an entity so as to obtain benefits from
its activities. Minority interests represent interests held by outside parties
in the consolidated subsidiaries.
At December 31, 2007 the Company's subsidiaries consisted of its interests in
Assabet Funding Limited, Crown Woods Limited, O.F.L. Limited, Tormes Asset
Funding Limited and Serval Asset Funding Limited. The ordinary share capital of
these companies is held by outside parties and the Company has no associated
voting rights. The Company retains control over these companies through its
retention of the residual risks and rewards of the assets transferred to these
companies. In accordance with Standing Interpretations Committee Interpretation
12 (Special Purpose Entities), the Company consolidates these entities as it
retains control of them and retains the residual risks and rewards of ownership
of them.
At December 31, 2007 the Company consolidated the results of Serval Asset
Funding Limited, a special purpose entity which purchases securities from and
provides loans to structured finance entities. To fund the purchases and loans
the company is able to borrow under a multi user £200 million revolving credit
facility provided by a US bank and issue notes to the Company. The borrowings
under the facility rank senior to the notes issued to the Company. During the
year ended September 30, 2007 the borrowings were repaid and the remaining cash
balance has been consolidated.
At September 30, 2007 the Company has consolidated the results of Amber Funding
Limited up to September 13, 2007, the date on which the Company transferred the
residual risks and rewards associated with the assets and liabilities of Amber
Funding Limited to the senior lender.
On August 24, 2007 the terms of Assabet Funding Limited were renegotiated. The
significant terms of the restructuring are documented in the Investment
Manager's report. The results of Assabet for the quarter ended December 31, 2007
and the assets and liabilities as at December 31, 2007 are shown in the
consolidated income statement and balance sheet of the Company as under the
terms of the restructuring the Company still retains the significant risks and
rewards associated with the assets.
On August 17, 2007 the terms of Tormes Asset Funding Limited ("Tormes") were
renegotiated. The significant terms of the restructuring are documented in the
Investment Manager's report. The results of Tormes for the quarter ended
December 31, 2007 and the assets and liabilities as at December 31, 2007 are
shown in the consolidated income statement and balance sheet of the Company as
under the terms of the restructuring the Company still retains the significant
risks and rewards associated with the assets.
Intragroup balances, and any unrealized gains and losses or income and expenses
arising from intragroup transactions, are eliminated in preparing the
consolidated financial information. Unrealized gains arising from transactions
with jointly controlled entities are eliminated to the extent of the Group's
interest in the entity.
Unrealized losses are eliminated in the same way as unrealized gains, but only
to the extent that there is no evidence of impairment.
d) Foreign currency translation
Transactions in foreign currencies, other than US$, are translated at the
foreign currency exchange rate ruling at the date of the transaction. Monetary
assets and liabilities denominated in foreign currencies are translated to US
dollars at the foreign currency closing exchange rate ruling at the balance
sheet date. Foreign currency exchange differences arising on translation and
realized gains and losses on disposals or settlements of monetary assets and
liabilities are recognised in the income statement. Non-monetary assets and
liabilities denominated in foreign currencies that are measured at fair value
are translated to US dollars at the foreign currency exchange rates ruling at
the dates that the values were determined. Foreign currency exchange differences
relating to investments at fair value through the income statement and
derivative financial instruments are included in gains and losses on investments
and gains and losses on derivatives, respectively.
All other foreign currency exchange differences relating to monetary items,
including cash and cash equivalents are presented separately in the income
statement.
e) Financial instruments
Financial assets and liabilities are recognised on the Group's balance sheet
when the Group becomes a party to the contractual provisions of the instrument.
(i) Investments
IAS 39 establishes specific categories into which all financial assets and
liabilities must be classified. The classification of financial instruments
dictates how these assets and liabilities are subsequently measured in the
financial statements. There are four categories of financial assets: assets at
fair value through the income statement, available for sale, loans and
receivables and held to maturity.
A regular way purchase of financial assets is recognised using trade date
accounting. From this date any gains and losses arising from changes in fair
value of the financial assets or financial liabilities are recorded.
Financial instruments are measured initially at fair value (transaction price)
plus, in case of a financial asset or financial liability not at fair value
through the income statement, transaction costs that are directly attributable
to the acquisition or issue of the financial asset or financial liability.
Transaction costs on financial assets and financial liabilities at fair value
through the income statement are expensed immediately, while on other financial
instruments they are amortised. Subsequent to initial recognition, all
instruments classified at fair value through the income statement are measured
at fair value with changes in their fair value recognised in the income
statement. Financial investments held by the Group classified as available for
sale are stated at fair value, with any resultant gain or loss being recognised
directly in equity, except for impairment losses and, in the case of monetary
items such as debt securities, foreign exchange gains and losses. The fair value
of debt securities classified as available for sale is determined through
third-party broker quotes for each investment.
Financial assets classified as loans and receivables are carried at amortised
cost using the effective interest rate method, less impairment losses, if any.
Financial liabilities, other than those at fair value through the income
statement, are measured at amortised cost using the effective interest rate
method.
The fair value of financial instruments is based on their quoted market prices
at the balance sheet date without any deduction for estimated future selling
costs. Financial assets are priced at current bid prices, while financial
liabilities are priced at current asking prices.
If a quoted market price is not available on a recognised stock exchange or from
a broker/dealer for non-exchange-traded financial instruments, the fair value of
the instrument is estimated using valuation techniques, including use of recent
arm's length market transactions, reference to the current fair value of another
instrument that is substantially the same, discounted cash flow techniques,
option pricing models or any other valuation technique that provides a reliable
estimate of prices obtained in actual market transactions.
The fair value of derivatives that are not exchange-traded is estimated at the
amount that the Group would receive or pay to terminate the contract at the
balance sheet date taking into account current market conditions (volatility,
appropriate yield curve) and the current creditworthiness of the counterparties.
Specifically, the fair value of a forward contract is determined as a net
present value of estimated future cash flows, discounted at appropriate market
rates on the valuation date. The fair value of an option contract may be
determined by applying a binomial option valuation model.
Unquoted equity securities
For unquoted equity securities independent valuations are received from an
independent investment bank who value the securities using appropriate private
equity valuation techniques. These include discounted cash flow models, together
with applicable price/earnings ratios for similar listed companies to estimate
the fair value of the securities.
(ii) Financial liabilities and equity
Financial liabilities and equity instruments are classified according to the
substance of the contractual arrangements entered into. An equity instrument is
any contract that evidences a residual interest in the assets of the Group after
deducting all of its liabilities.
(iii) Bank borrowings
Interest bearing bank loans and overdrafts are recorded as the amount of the
proceeds received, net of direct issue costs. Finance charges, including
premiums payable on settlement or redemption and direct issue costs, are
accounted for on an accruals basis to the income statement using the effective
interest rate 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.
(iv) Derivative financial instruments and hedge accounting
The Group may use derivative financial instruments to hedge its exposure to
foreign exchange and interest rate risks arising from operational, financing and
investment activities. However derivatives that do not qualify for hedge
accounting are accounted for as trading instruments. Derivative financial
instruments are recognised initially at cost. Subsequent to initial recognition,
derivative financial instruments are stated at fair value. The gain or loss on
re-measurement to fair value is recognised immediately in the income statement.
However, where derivatives qualify for hedge accounting, recognition of any
resultant gain or loss depends on the nature of the item being hedged.
The fair value of interest rate swaps is the estimated amount that the Group
would receive or pay to terminate the swap at the balance sheet date, taking
into account current interest rates and the current creditworthiness of the swap
counterparties. The fair value of forward exchange contracts is their quoted
market price at the balance sheet date, being the present value of the quoted
forward price. Financial assets and liabilities are offset and the net amount is
reported within assets and liabilities where there is a legally enforceable
right to set off the recognised amounts and there is an intention to settle on a
net basis, or realize the asset and settle the liability simultaneously.
Cashflow hedges
Where a derivative financial instrument is designated as a hedge of the
variability in cashflows of a recognised asset or liability, or a highly
probable forecasted transaction, the effective part of any gain or loss on the
derivative financial instrument is recognised directly in equity. When the
forecasted transaction subsequently results in the recognition of a
non-financial asset or non-financial liability, or the forecast transaction for
a non-financial asset or non-financial liability, the associated cumulative gain
or loss is removed from equity and included in the initial cost or other
carrying amount of the non-financial asset or liability. If a hedge of a
forecasted transaction subsequently results in the recognition of a financial
asset or a financial liability, the associated gains and losses that were
recognised directly in equity are reclassified into the income statement in the
same period or periods during which the asset acquired or liability assumed
affects the income statement (i.e. when interest income or expense is
recognised).
For cashflow hedges, other than those covered by the preceding two policy
statements, the associated cumulative gain or loss is removed from equity and
recognised in the income statement in the same period or periods during which
the hedged forecast transaction affects the income statement. The ineffective
part of any gain or loss is recognised immediately in the income statement.
When a hedging instrument expires or is sold, terminated or exercised, or the
Group revokes designation of the hedge relationship but the hedged forecast
transaction is still expected to occur, the cumulative gain or loss at that
point remains in equity and is recognised in accordance with the above policy
when the transaction occurs. If the hedged transaction is no longer expected to
take place, the cumulative unrealized gain or loss recognised in equity is
recognised immediately in the income statement.
Hedge of monetary assets and liabilities
Where a derivative financial instrument is used to hedge economically the
foreign exchange exposure of a recognised monetary asset or liability, no hedge
accounting is applied and any gain or loss on the hedging instrument is
recognised in the income statement.
Fair value hedges
Changes in fair value of derivatives that qualify and are designated as fair
value hedges are recorded in the income statement, together with changes in the
fair value of the hedged asset or liability that are attributable to the risk
being hedged.
If the hedge no longer meets the criteria for hedge accounting, the fair value
hedging adjustment cumulatively made to the carrying value of the hedged item
is, for items carried at amortised cost, amortised over the period to maturity
of the previously designated hedge relationship using the effective interest
rate method. For available-for-sale items this fair value hedging adjustment
remains in equity until the hedged item affects the income statement.
If the hedged item is sold or repaid, the unamortised fair value adjustment is
recognised immediately in the income statement.
Embedded derivatives
Derivatives embedded in other financial instruments or other host contracts are
treated as separate derivatives when their risks and characteristics are not
closely related to those of host contracts and the host contracts are not
carried at fair value with unrealized gains or losses reported in the income
statement.
Credit default swaps
Credit default swaps are contracts in which the Group pays or receives premium
flows in return for the counterparty accepting or selling all or part of the
risk of default or failure to pay of a reference entity on which the swap is
written. Where the Group has bought protection the maximum potential loss is the
value of the premium flows the Group is contracted to pay until maturity of the
contract. Where the Group has sold protection the maximum potential loss is the
nominal value of the protection sold.
Credit default swaps are stated at market value. The net income or expense on
the swap agreements entered into by the Group is reflected in the income
statement. Unrealized gains are reported as an asset and unrealized losses are
reported as a liability in the balance sheet. Changes in the market value are
reflected in the Income Statement in the period in which they occur.
(v) Specific instruments
Cash and cash equivalents
Cash comprises cash balances and call deposits with banks. Cash equivalents are
short-term highly liquid investments that are readily convertible to known
amounts of cash, are subject to an insignificant risk of changes in value, and
are held for the purpose of meeting short-term cash commitments rather than for
investment or other purposes. Bank overdrafts that are repayable on demand and
form an integral part of the Group's cash management are included as a component
of cash and cash equivalents for the purpose of the statement of cash flows.
Repurchase and reverse repurchase agreements
Securities purchased under agreements to resell ("repurchase agreements") and
securities sold under agreements to repurchase ("reverse repurchase agreements")
are treated as collateralised financing transactions and are carried at the
amounts at which the securities were acquired or sold plus accrued interest,
which approximates fair value. It is the Group's policy to take possession of
securities purchased under agreements to resell. Interest earned on securities
owned on reverse repurchase agreements and interest expense on securities sold,
not yet purchased and repurchase agreements are included in the income
statement.
Securities sold short and associated securities borrowing
Securities sold short are those positions where the Group has sold a security
that it does not own in anticipation of a decline in the market value of the
security and are classified as liabilities held for trading. To enter a short
sale, the Group may need to borrow the security for delivery to the buyer. On
each day obligations to deliver securities borrowed by the Group to fulfil its
short sale contracts are marked to market and an unrealized gain or loss is
recorded in gains and losses on investments in the income statement. While the
transaction is open the Group will also incur an expense for any dividends or
interest that will be paid to the lender of the securities.
(vi) Derecognition of financial assets and liabilities
The Company and Group derecognise a financial asset when the contractual rights
to the cash flows from the financial asset expire or it transfers the financial
asset and the transfer qualifies for derecognition in accordance with IAS 39.
The Company and Group use the first in first out ("FIFO") method to determine
realized gains and losses on derecognition. A financial liability is
derecognised when the obligation specified in the contract is discharged,
cancelled or expired.
f) Impairment
Financial assets that are stated at cost or amortised cost are reviewed at each
balance sheet date to determine whether there is objective evidence of
impairment. If any such indication exists, an impairment loss is recognised in
the income statement as the difference between the asset's carrying amount and
the present value of estimated future cash flows discounted at the financial
asset's original effective interest rate.
Objective evidence that a financial asset is impaired includes observable data
that comes to the attention of the Group about any of the following loss events:
1) Significant financial difficulty of the issuer or obligor;
2) A breach of contract, such as a default or delinquency in interest or
principal payments, granting to the borrower a concession that the lender would
not otherwise consider;
3) It becomes probable that the borrower will enter bankruptcy,
administration or other analogous financial reorganisation; or
4) The disappearance of an active market for that financial asset because
of financial difficulties.
At December 31, 2007 the entire portfolio has been classified as impaired as
Caliber is now unable to hold many of the securities (which have an expected
average life of 3 years) in its portfolio to maturity.
When a decline in the fair value of an available-for-sale financial asset has
been recognised directly in equity and there is objective evidence that the
asset is impaired, the cumulative loss that had been recognised directly in
equity is recognised in the income statement even though the financial assets
have not been derecognised. The amount of the cumulative loss that is recognised
in the income statement is the difference between the acquisition cost and the
current fair value, less any impairment loss on that financial asset previously
recognised in the income statement.
Calculation of recoverable amount
The recoverable amount of the Group's investments in loans and receivables
carried at amortised cost is calculated as the present value of estimated future
cash flows, discounted at the original effective interest rate (i.e. the
effective interest rate computed at initial recognition of these financial
assets). Receivables with a short duration are not discounted.
The recoverable amount of other assets is the greater of their net selling price
and value in use. In assessing value in use, the estimated future cash flows are
discounted to their present value using a pre-tax discount rate that reflects
current market assessments of the time value of money and the risks specific to
the asset. For an asset that does not generate largely independent cash inflows,
the recoverable amount is determined for the cash-generating unit to which the
asset belongs.
Reversals of impairment
If in a subsequent period the amount of an impairment loss recognised on a
financial asset carried at amortised cost decreases and the decrease can be
linked objectively to an event occurring after the write-down, the write-down is
reversed through the income statement.
An impairment loss in respect of an investment in an equity instrument
classified as available for sale is not reversed through the income statement.
If the fair value of a debt instrument classified as available for sale
increased and the increase can be objectively related to an event occurring
after the impairment loss was recognised in the income statement, the impairment
loss shall be reversed, with the amount of the reversal recognised in the income
statement.
In respect of other assets, an impairment loss is reversed if there has been a
change in the estimates used to determine the recoverable amount.
An impairment loss is reversed only to the extent that the asset's carrying
amount does not exceed the carrying amount that would have been determined, net
of depreciation or amortisation, if no impairment loss had been recognised.
g) Trade and other payables
Trade and other payables are stated at cost.
h) Provisions
A provision is recognised in the balance sheet when the Group has a present
legal or constructive obligation as a result of a past event, and it is probable
that an outflow of economic benefits will be required to settle the obligation.
If the effect is material, provisions are determined by discounting the expected
future cash flows at a pre-tax rate that reflects current market assessments of
the time value of money and, where appropriate, the risks specific to the
liability.
The Group has provided for expected termination costs in relation to the company
and any agreements which it has entered into.
i) Share capital
The initial set up costs of the Group have been charged to the share premium
account and the expenses directly related to the Follow On.
j) Revenue and expenses
Revenue is recognised to the extent that it is possible that economic benefits
will flow to the Group and the revenue can be reliably measured. Deferred
financing costs represent costs associated with the issuance of certain
securities and are amortised over the term of such financing using effective
yield methodology. Expenses are accounted for an on accruals basis.
Dividend income is recognised in the income statement on the date the entity's
right to receive payments is established which, in the case of quoted
securities, is usually the ex-dividend date.
Interest income and expense is recognised in the income statement as it accrues,
using the original effective interest rate of the instrument calculated at the
acquisition or origination date. Interest income includes the amortisation of
any discount or premium, transaction costs or other differences between the
initial carrying amount of an interest-bearing instrument and its amount at
maturity calculated on an effective interest rate basis.
Interest income on debt instruments at fair value through the income statement
is accrued using the original effective interest rate and classified to the
interest income line item within the income statement. Interest income is
recognised on a gross basis, including withholding tax, if any. In preparing the
original effective interest rate, the Board has made its best estimate of the
expected inflows on the investments held. Such estimates and associated
assumptions are based on historical experience and various other factors that
are believed to be reasonable under the circumstances. Actual timing and amounts
of future inflows on these investments may differ from these estimates.
Expenses are charged to the income statement except for expenses incurred on an
acquisition of an investment which are included within the cost of that
investment. Expenses arising on the disposal of investments are deducted from
the disposal proceeds.
k) Dividend income
Dividend income relating to exchange-traded equity investments is recognised in
the income statement on the ex-dividend date.
In some cases, the Group may receive or choose to receive dividends in the form
of additional shares rather than cash. In such cases the Group recognises the
divided income for the amount of the cash dividend alternative with the
corresponding debit treated as an additional investment.
Income distributions from private equity investments and other investment
companies are recognised in the income statement as dividend income when
declared.
l) Net financing costs
Net financing costs comprise interest payable on financing facilities calculated
using the effective interest rate method, dividends on redeemable preference
shares, interest receivable on funds invested, dividend income, foreign exchange
gains and losses, and gains and losses on hedging instruments that are
recognised in the income statement.
m) Taxation
The Group is classed as exempt for taxation purposes under the Income Tax
(Exempt Bodies) (Guernsey) Ordinance, 1989 and as such incurs a flat fee
(presently £600 per annum). No other taxes are incurred in Guernsey.
n) Dividends payable
Dividends payable on ordinary shares are recognised in the statement of changes
in equity.
o) Ancillary costs
Ancillary costs incurred in the arrangement of financing facilities are
capitalised and amortised from the date the facilities are available for use to
the termination date of the financing facility. Following the approval of the
resolutions at the Extraordinary General Meeting on August 30, 2007 the
ancillary costs will be amortised over a one year period to August 31, 2008.
However, the remaining lives of the facilities, based on current commitments,
are as follows:
* Assabet Funding Limited 30 months (June 2010)
* Crown Woods Limited 9 months (September 2008)
* Tormes Asset Funding Limited 18 months (August 2009)
4. Interest income (Group)
3 months ended 3 months ended
December 31, 2007 December 31, 2006
(unaudited) (unaudited)
$000 $000
Interest income arises from:
Cash and cash equivalents 91 374
Investments in asset-backed securities 13,169 20,834
Investments in loans and receivables - 1,015
Total interest income $13,260 $22,223
5. Gains and losses on debt and equity investments (Group)
3 months ended 3 months ended
December 31, 2007 December 31, 2006
(unaudited) (unaudited)
$000 $000
Net gains and losses on debt investments 2,037 1,693
Net gains and losses on equity investments - -
Net gains and losses on debt and equity investments $2,037 $1,693
Realized gains on investments 107 374
Realized gains (foreign exchange) 3,219 1,613
Total gains $3,326 $1,987
Realized losses on investments (1,289) (282)
Realized losses (foreign exchange) - (12)
Total losses $(1,289) $(294)
6. Interest expense and sources of funding (Group)
3 months ended 3 months ended
December 31, 2007 December 31, 2006
(unaudited) (unaudited)
$000 $000
Interest expense arises from:
Committed financing 5,541 4,801
Sale and repurchase agreements 6 4,340
Commercial paper borrowings - 2,927
Total finance costs $5,547 $12,068
December 31, 2007 September 30, 2007
(unaudited) (audited)
$000 $000
Sources of funding:
Committed financing 389,146 459,239
Sale and repurchase agreements - 712
$389,146 $459,951
6. Interest expense and sources of funding
All borrowings are secured on specific assets. Collateral pledged against
securities sold under agreements to repurchase amounts to US$nil at December 31,
2007 (US$1 million approximately at September 30, 2007).
7. Subsidiaries
The following entities are deemed to be subsidiaries of Caliber Global
Investment Limited at December 31, 2007 as it retains control over these
entities through its retention of the residual risks and rewards of the assets
transferred to, or purchased from, these entities. The ordinary share capital of
these entities is held by outside parties and the Group has no associated voting
rights. The subsidiaries each have minimal ordinary share capital and therefore
minority interests are immaterial. The subsidiaries provide the funding
referred to in Note 6.
Name of subsidiary Place of incorporation Proportion of Proportion Method used to account
(or registration) and ownership of voting for investment
operation power
Assabet Funding Limited Jersey - - Purchase method
Crown Woods Limited Republic of Ireland - - Purchase method
O.F.L. Limited Jersey - - Purchase method
Serval Asset Funding Limited Republic of Ireland - - Purchase method
Tormes Asset Funding Limited Republic of Ireland - - Purchase method
See Note 3 (c) above.
8. Current deposits with bank and brokers
Group
December 31, 2007 September 30, 2007
(unaudited) (audited)
$000 $000
Cash and cash equivalents 4,685 11,204
Cash held with brokers as collateral 57,888 59,973
$62,573 $71,177
Cash and cash equivalents comprise cash at bank and other short-term highly
liquid investments with a maturity of three months or less. Included in the cash
held with brokers as collateral is a balance of $45,000,000 (September 30, 2007:
$45,000,000) which is held on deposit as security under the terms of a loan
arrangement. This deposit is available to the Group upon the repayment of
amounts due under this specific loan arrangement. Also included is a balance of
US$12,888,251 (September 30, 2007: $14,973,318) which represents amounts held
with other brokers as collateral.
Company
December 31, 2007 September 30, 2007
(unaudited) (audited)
$000 $000
Cash and cash equivalents 2,752 5,807
Cash held with brokers as collateral 1,153 1,829
$3,905 $7,636
9. Investments
Available-for-sale securities
The following is a summary of the Group's available-for-sale securities at
December 31, 2007 (unaudited):
Gross unrealized Weighted average
Current Amortised Gains Losses Carrying S&P Coupon Expected Years to
face amount cost basis value Rating Expected
% Yield % Maturity
$000 $000 $000 $000 $000
RMBS - Rated 406,960 139,704 - - 139,704 BBB- 6.70 7.00 1.91
RMBS - Unrated 660,740 707 - - 707 NR 4.70 46.2 3.42
CMBS - Rated 107,130 58,715 - - 58,715 BBB- 6.40 6.70 3.92
CMBS - Unrated 6,824 6,695 - - 6,695 NR 2.60 13.10 3.70
Other ABS - 48,670 43,795 - - 43,795 BBB- 7.30 7.50 3.82
Rated
Other ABS - 1,462 1,316 - - 1,316 NR 16.0 12.0 7.25
Unrated
$1,231,786 $250,932 - - $250,932
The following is a summary of the Group's available-for-sale securities at
September 30, 2007 (audited):
Gross unrealized Weighted average
Current Amortised Gains Losses Carrying S&P Coupon Expected Years to
face amount cost basis value Rating Expected
% Yield % Maturity
$000 $000 $000 $000 $000
RMBS - Rated 439,152 247,848 - - 247,848 BBB- 7.30 8.90 1.99
RMBS - Unrated 683,244 1,902 - - 1,902 NR 5.20 26.90 4.55
CMBS Rated 132,930 79,311 - - 79,311 BBB- 6.90 7.20 4.69
CMBS Unrated 7,406 7,114 - - 7,114 NR 5.20 18.30 3.95
Other ABS - 59,354 55,138 - - 55,138 BBB- 7.70 7.80 4.17
Rated
Other ABS - 1,447 1,280 - - 1,280 NR 16.50 12.50 8.00
Unrated
$1,323,533 $392,593 - - $392,593
The expected yield is based on the US 1 month LIBOR rate as at December 31, 2007
and September 30, 2007, respectively, and the expected yield over LIBOR of the
securities.
Equity securities
The Group did not hold any equity securities in its portfolio as at December 31,
2007 or September 30, 2007.
Loans and receivables
The Group did not hold any loans and receivables in its portfolio as at December
31, 2007 or September 30, 2007.
Available-for-sale securities
The following is a summary of the Company's available-for-sale securities at
December 31, 2007 (unaudited):
Gross unrealized Weighted average
Current Amortised Gains Losses Carrying S&P Coupon Expected Years to
face amount cost basis value Rating Expected
% Yield % Maturity
$000 $000 $000 $000 $000
RMBS - Rated 32,934 2,792 - - 2,792 BBB- 7.50 31.30 2.52
RMBS - Unrated 660,740 707 - - 707 NR 4.70 46.20 3.42
CMBS Rated 44,746 2,973 - - 2,973 BBB- 1.60 6.90 3.41
CMBS Unrated 10 10 - - 10 NR 4.70 4.70 1.75
Other ABS - - - - - - - - - -
Rated
Other ABS - 1,462 1,316 - - 1,316 NR 16.00 12.0 7.25
Unrated
$739,892 $7,798 - - $7,798
The following is a summary of the Company's available-for-sale securities at
September 30, 2007 (audited):
Gross unrealized Weighted average
Current Amortised Gains Losses Carrying S&P Coupon Expected Years to
face amount cost basis value Rating Expected
% Yield % Maturity
$000 $000 $000 $000 $000
RMBS - Rated 26,859 6,149 - - 6,149 BBB- 8.20 79.70 2.02
RMBS - Unrated 683,244 1,903 - - 1,903 NR 5.20 26.90 4.80
CMBS Rated 49,092 3,523 - - 3,523 BBB- 5.20 12.20 4.00
CMBS Unrated 10 10 - - 10 NR 5.20 5.20 2.00
Other ABS - - - - - - - - - -
Rated
Other ABS - 1,447 1,280 - - 1,280 NR 16.50 12.50 8.00
Unrated
$760,652 $12,865 - - $12,865
The expected yield is based on the US 1 month LIBOR rate as at December 31, 2007
and September 30, 2007, respectively, and the expected yield over LIBOR of the
securities.
Equity securities
The Company did not hold any equity securities in its portfolio as at December
31, 2007 or September 30, 2007.
Loans and receivables
The Company did not hold any loans and receivables in its portfolio as at
December 31, 2007 or September 30, 2007.
Impairment of securities
As at December 31, 2007, additional unrealised losses of $84,210,565 have been
recognised following a review of the portfolio for impairment and transferred
from equity to the income statement. As at December 31, 2007 the total
impairment charges for the quarter ended December 31, 2007, based on the fair
value of the securities, was $84,210,565 (December 31, 2006 $1,661,436).
As at September 30, 2007, unrealised losses of $170,651,092 have been recognised
following a review of the portfolio for impairment and transferred from equity
to the income statement. As at September 30, 2007 the total impairment charges
for the year ended September 30, 2007, based on the fair value of the
securities, was $208,102,186.
A total of $118.4 million (2006: $394,256) of income has been recognised on the
impaired securities since purchase, as at December 31, 2007 and December 31,
2006 respectively. For the quarter ended December 31, 2007 $13.2 million of
income has been recognised. (December 31, 2006 $65,824).
Investment in subsidiaries
This balance relates to the recoverability of a subordinated note issued by
Crown Woods. At December 31, 2007 the total note issued by Crown Woods amounted
to $26 million with $11.5 million recorded as recoverable by the Company. At
September 30, 2007 the total note issued by Crown Woods amounted to $26 million
with $13.7 million recorded as recoverable by the Company. The actual amount to
be recovered is dependent upon the realised value of Crown Woods' portfolio of
securities. See notes 2 and 14 for further information relating to current
valuation risks and subsequent events.
10. Other financial assets
Group
December 31, 2007 September 30, 2007
(unaudited) (audited)
$000 $000
Interest receivable 2,075 2,948
Derivative financial assets - unrealized gains on forward 34 54
contracts
Derivative financial assets - unrealized gains on swaps - 27
Capitalised ancillary costs 260 326
Amounts paid in advance 128 185
Other receivables 238 214
$2,735 $3,754
Company
December 31, 2007 September 30, 2007
(unaudited) (audited)
$000 $000
Interest receivable 187 351
Derivative financial assets - unrealized gains on forward contracts 34 54
Derivative financial assets - unrealized gains on swaps - 27
Amounts paid in advance 128 185
Other receivables 76 77
Receivable from O.F.L. Limited 52 -
Other assets 127
$604 $694
11. Other financial liabilities
Group
December 31, 2007 September 30, 2007
(unaudited) (audited)
$000 $000
Unsettled security purchases - -
- -
Interest payable 1,322 1,046
Derivative financial liabilities - unrealized loss on forward 229 849
contracts
Derivative financial liabilities - unrealized loss on swaps 166 95
Due to related parties - Investment Manager - 360
Accrued expenses and other payables 1,051 1,215
$2,768 $3,565
Company
December 31, 2007 September 30, 2007
(unaudited) (audited)
$000 $000
Unsettled security purchases - -
- -
Interest payable - 10
Derivative financial liabilities - unrealized loss on forward 229 849
contracts
Derivative financial liabilities - unrealized loss on swaps 166 95
Due to related parties - Investment Manager - 360
Accrued expenses and other payables 660 769
$1,055 $2,083
12. Notes to cashflow statement
Group
December 31, 2007 December 31, 2006
(unaudited) (unaudited)
$000 $000
(Deficit)/Profit from operations (79,682) $6,346
Adjustments for:
Movement in unrealized gain on derivatives - (2)
Movement in unrealized loss on derivatives (502) 2,594
Unrealized FX (gain)/loss 2,281 (8,806)
Impairment losses 84,211 1,661
Operating cash flows before movements in working capital 6,308 1,793
Decrease/(increase) in receivables 876 (349)
(Decrease)/increase in payables (250) 477
Decrease in amounts paid in advance 57 43
Decrease/(increase) in cash held with brokers as collateral 2,085 (1,910)
Cash provided by/(used by) operations 2,768 (1,739)
Net cash from operating activities $9,076 $54
13. Investment Management Agreement and related party transactions
a) Investment Management Agreement
The Group entered into the Investment Management Agreement with the Manager,
which provides for an initial term of five years from June 13, 2005 subject to
certain termination rights. The Group may terminate the Investment Management
Agreement without cause at any time by giving not less than 24 months' prior
notice in writing. The Group may not give notice to terminate prior to the third
anniversary of the effective date of the Investment Management Agreement meaning
that the Investment Management Agreement has a minimum term of five years.
If following notice of termination by the Group to the Investment Manger the
Group and the Investment Manager agree that the Investment Manager will cease to
act as such during the 24 months to which such notice of termination applied
there shall be payable to the Investment Manager an early termination payment
calculated in the following manner:
The Early Termination Payment will be an amount equal to the Projected
Termination Payment less any management fees and performance fees paid or
accrued and payable to the Investment Manager during such notice period. The
Projected Termination Payment will, following the second anniversary of the date
of the agreement, be an amount equal to the aggregate, over the previous eight
completed quarters, of the Management Fees and Performance Fees paid to the
Investment Manager. As at December 31, 2007 the aggregate amount paid to the
Investment Manager over the previous eight completed quarters was $10,170,927.
The effective date of the Investment Management Agreement was the date of
admission to the London Stock Exchange, June 13, 2005. If the Investment Manager
commits any material breach of its obligations under the Investment Management
Agreement and fails (in the case of a breach capable of rectification) to make
good such breach within 30 days of receipt of written notice from the Group
requiring it to do so, the Group may terminate the Investment Management
Agreement with cause by giving the Investment Manager not less than 60 days'
prior notice in writing. Such termination shall not take effect until the Group
has appointed a replacement Investment Manager. The Group may terminate the
Investment Management Agreement by giving notice to the Investment Manager,
effective forthwith, if the Investment Manager is dissolved or unable to pay its
debts or commits any act of bankruptcy or if a receiver is appointed over all or
a substantial portion of its assets.
The Investment Manager may resign its appointment at any time by giving the
Group not less than 60 days' prior notice in writing, provided that such
termination shall not take effect until the earlier of (i) the date on which the
Group has appointed a replacement Investment Manager; and (ii) six months after
the date on which the Investment Manager gave such notice. The Investment
Manager may resign its appointment by giving the Group not less than 60 days'
prior notice in writing if the Group commits any material breach with respect to
its obligations under the Investment Management Agreement and fails to make good
any breach within 30 days of receipt of written notice from the Investment
Manager requiring it to do so. The Investment Manager may resign its appointment
by giving notice in writing to the Group, effective forthwith, if the Group is
dissolved or is unable to pay its debts or commits any act of bankruptcy or if a
receiver is appointed over all or a substantial portion of its assets.
Under the terms of the Investment Management Agreement the Group also pays or
reimburses in respect of all out-of-pocket expenses reasonably incurred by it in
the performance of its duties under the Investment Management Agreement. These
expenses include (without limitation) all expenses connected to cash deposits
made by the Group, issuance and transaction costs incidental to the acquisition,
disposition and financing of investments, legal and auditing fees and expenses,
the compensation and expenses of the Directors, the costs associated with the
establishment and maintenance of any credit facilities and other indebtedness of
the Group (including commitment fees, legal fees, closing costs, etc.), all fees
and expenses incurred in relation to the incorporation and initial organisation
of the Company and the special purpose vehicles, expenses associated with other
securities offerings of the Group, the costs of printing and mailing proxies and
reports to its shareholders, costs incurred by employees for travel on the
Group's behalf, costs associated with any computer software or hardware that is
used by the Group, costs to obtain liability insurance to indemnify the
Directors and officers and the compensation and expenses of its transfer agent,
custodian, prime broker, Registrar and Administrator.
Under the terms of the Investment Management Agreement the Investment Manager is
entitled to receive from the Group an annual management fee of 1.75 per cent of
the gross equity of the Group, payable monthly in arrears. For these purposes, "
gross equity" means the aggregate gross proceeds to the Group of all issues of
shares in the capital of the Group (less any capital dividends paid or capital
distributions made by the Group). The Investment Manager is entitled to receive
a performance-related fee in respect of each incentive period which will be paid
quarterly in arrear. An incentive period comprises each successive three-month
period, except the first period was the period from admission to the London
Stock Exchange to September 30, 2005.
The performance-related fee is equivalent to 25 per cent of the amount by which
A exceeds B x C where:
A = the Group's consolidated net income before tax as shown in the Group's
consolidated management accounts for the relevant period, and before
payment of the performance-related fee;
B = gross equity; and
C = the greater of (i) 2 per cent or (ii) 1 percent plus one quarter of the
interest rate on ten-year US Treasury Bonds (as at the beginning of the
relevant quarter).
During the period October 1, 2007 to December 31, 2007 a management fee of
$1,090,753 (October 1, 2006 to December 31, 2006: $1,114,726) and an incentive
fee of $nil (October 1, 2006 to December 31, 2006: $326,173) was earned by the
Investment Manager. At December 31, 2007, management fees and expense
reimbursements of US$nil (2006: $697,748) were due to the Investment Manager.
The Investment Management Agreement was amended at the EGM held on August 30,
2007.
b) Rebilac Limited
At the Initial Public Offering 840,000 shares of no par value were issued to
Rebilac Limited, an affiliate of the Investment Manager, for $10 each. 1,500,000
options were granted to Cambridge Place Investment Management LLP as a fee for
its work in raising capital for the Group. Cambridge Place Investment Management
LLP subsequently transferred these options to Rebilac Limited. The options
represent the right to purchase 1,500,000 shares in the Group. The options are
fully vested and immediately exercisable from the date of the grant at an
exercise price per share equal to $10 and will remain exercisable until the
tenth anniversary of admission and listing. Included in the expenses of issue of
ordinary shares borne by the Group is $260,849 relating to legal and
professional fees incurred in setting up Rebilac Limited.
The fair value of the options granted using a binomial option valuation model
was $0.474 per share. This equates to $711,000 and is regarded as a cost of the
Initial Public Offering.
At the Follow On, 204,297 shares of no par value were issued to Rebilac Limited
for $10.50 each. In addition 952,381 options were granted to Cambridge Place
Investment Management LLP as a fee for its work in raising capital for the
Group. Cambridge Place Investment Management LLP transferred 408,594 of these
options to Rebilac Limited on November 30, 2006. The options represent the right
to purchase 952,381 shares in the Group. The options are fully vested and
immediately exercisable from the date of the grant at an exercise price per
share equal to $10.50 and will remain exercisable until the tenth anniversary of
the Follow On. Included in the expenses of the Follow On borne by the Group is
$75,000 relating to legal and professional fees incurred in relation to Rebilac.
The fair value of the options granted using a binomial option valuation model
was $0.5994 per share. This equates to $570,837 and is regarded as a cost of the
Follow On.
No. of options Exercise price
As at October 1, 2007 2,452,381 $10.19
Granted during the 3 months ended December 31, 2007 - -
Exercised during the 3 months ended December 31, 2007 - -
Outstanding as at December 31, 2007 2,452,381 $10.19
The options will be settled with the issuance of new shares when they are
exercised.
c) Old Court Funding plc
Cambridge Place Investment Management LLP is the Investment Manager of Old Court
Funding, a commercial paper conduit, which provides funding to the Group by way
of loans on arms length terms (see Note 6 above). Cambridge Place Investment
Management LLP does not receive any fees or remuneration from Old Court Funding.
As at December 31, 2007 the amount owed to Old Court Funding was $nil (December
31, 2006: $185.6 million) and interest payable to Old Court Funding from October
1, 2007 to December 31, 2007 was $nil (October 1, 2006 to December 31, 2006:
$1,275,642). As at December 31, 2007 the amount owed to Old Court Funding in
respect of interest was $nil (December 31, 2006: $629,831).
d) Directors' Interests
Mr Kramer has a direct interest in 18,415 shares of the Company through his
holding in Rebilac Limited and a direct interest in options in respect of 36,830
of the ordinary shares of the Company. Mr Kramer also has an indirect interest
in 30,000 shares of the Company through a holding in Rebilac Limited and an
indirect interest in options in respect of 60,000 of the ordinary shares of the
Company. These are amongst the options initially granted at the time of the
Initial Public Offer and Follow On.
The directors' interests in the share capital of the Company were:
December 31, 2007 December 31, 2006
Miss Haruko Fukuda OBE 12,380 8,000
Mr Anthony Hall 45,000 25,000
Mr Robert Kramer 48,415 48,415
Mr Chris Waldron Nil Nil
e) Other investments of Investment Manager
During the year ended September 30, 2007 the private investments held at
September 30, 2006 were sold to other funds managed by CPIM at the latest
available independent third party valuations. Total proceeds received were $30.8
million.
f) Contingent Liabilities
Except for the Early Termination Payment, described in Note 13 (a), as of
December 31, 2007, under the terms of a share purchase agreement, following the
disposal of an interest in a UK property, the Group has guarantee obligations to
the purchaser of the asset for a maximum of £6.56 million, for a period of up to
two years, effective from March 2007.
14. Repayment risk
Shareholders, investors and other stakeholders should be aware that reduced
liquidity and increased volatility have continued to be features of the market
since the period end and show no imminent signs of easing. Linked to the
uncertainty surrounding the fair value estimates of debt securities held by the
Group, the ability of the Group to repay its outstanding debt obligations is
dependent upon the portfolio of debt securities being realised at the requisite
level to meet its obligations. Given these further falls in the market value of
the securities there is a risk that the borrowings from the funding providers
will not be repaid in full.
15. Subsequent events
Since December 31, 2007 there has been further deterioration in the global
credit markets. The current estimate for the company only NAV at January 31,
2008, as indicated by the Administrator, is $0.83 and for the consolidated NAV
it is $(3.26).
Registrar Capita IRG (CI) Limited
2nd Floor
No. 1 Le Truchot
St. Peter Port
Guernsey
UK transfer agent Capita IRG Plc
The Registry
34 Beckenham Road
Beckenham
Kent BR3 4TU
Tel: +44 (0) 870 162 3100
Fax: +44 (0) 20 8639 3197
e-mail: ssd@capitaregistrars.com
Cambridge Place Investment Management LLP Lexicon House
17 Old Court Place
London W8 4PL
Tel: +44 (0) 20 7938 5700
Attention: Elizabeth Wade
Public relations consultant Financial Dynamics
Business Communications
Holborn Gate
26 Southampton Buildings
London WC2A 1PB
Tel: +44 (0) 20 7831 3113
Attention: Ed Gascoigne-Pees or
Geoffrey Pelham-Lane
ABS Asset-backed securities - debt securities which have
their interest and principal repayments sourced
principally from a generic group of income producing
assets.
CDS Credit default swap - contracts in which one market
participant pays or receives premium flows in return for
the counterparty accepting or selling all or part of the
risk of default or failure to pay of a reference
security on which the swap is written
CMBS Commercial mortgage-backed securities - a category of
ABS which have their interest and principal repayments
sourced principally from a pool of commercial real
estate assets.
EURIBOR The euro-area inter-bank offered rate for the Euro
IPO Initial Public Offer
LIBOR London Interbank Offer Rate for sterling, dollars or
euros as applicable.
Repurchase agreement A method of financing the acquisition of an asset
involving an agreement for the sale of securities for
spot or current delivery and the simultaneous repurchase
of those securities for forward or delayed delivery. The
difference between the sale price and the higher
purchase prices provides income to the counterparty.
RMBS Residential mortgage-backed securities - a category of
ABS which have their interest and principal repayments
sourced principally from a pool of residential real
estate assets.
This information is provided by RNS
The company news service from the London Stock Exchange
END
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