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| Share Name | Share Symbol | Market | Type | Share ISIN | Share Description |
|---|---|---|---|---|---|
| Nb Global Floating Rate Income Fund Limited | LSE:NBLS | London | Ordinary Share | GG00B3KX4Q34 | RED ORD SHS NPV � |
| Price Change | % Change | Share Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.00 | 0.00% | 81.50 | 81.50 | 82.30 | 0.00 | 01:00:00 |
| Industry Sector | Turnover | Profit | EPS - Basic | PE Ratio | Market Cap |
|---|---|---|---|---|---|
| 0 | 0 | N/A | 0 |
From Apr 2019 to Apr 2024
TIDMNBLS TIDMNBLU
RNS Number : 2106O
NB Global Floating Rate Income Fund
17 August 2017
NB GLOBAL FLOATING RATE INCOME FUND LIMITED
Unaudited Consolidated Interim Financial Statements
For the six months ended 30 June 2017
COMPANY OVERVIEW
Features
NB Global Floating Rate Income Fund Limited (the "Company")
The Company is a closed-ended investment company incorporated and registered in Guernsey on 10 March 2011 with registered number 53155. The Company is governed under the provisions of the Companies (Guernsey) Law, 2008 as amended (the "Law"), and the Registered Collective Investment Scheme Rules 2015 issued by the Guernsey Financial Services Commission. It is a non-cellular Company limited by shares and has been declared by the Guernsey Financial Services Commission to be a registered closed-ended collective investment scheme. On 20 April 2011, the Company was admitted to the Official List of the U.K. Listing Authority with a premium listing trading on the Main Market of the London Stock Exchange ("LSE"). The Company was admitted to the FTSE 250 in March 2012.
Alternative Investment Fund Manager ("AIFM") and Manager
Investment management services are provided to the Company by Neuberger Berman Investment Advisers LLC (the "AIFM") and Neuberger Berman Europe Limited (the "Manager"), collectively the "Investment Manager". The AIFM is responsible for risk management and discretionary management of the Company's portfolio and the Manager provides certain administrative services to the Company.
Investment Objective
The Company's investment objective is to provide its shareholders with regular dividends, at levels that are sustainable, whilst preserving the capital value of its investment portfolio, utilising the investment skills of the Investment Manager.
Investment Policy
To pursue its investment objective, the Company invests mainly in floating rate senior secured loans issued in United States Dollars ("U.S. Dollars"), Pound Sterling and Euros by primarily North American and European Union corporations, partnerships and other business issuers. These loans are at the time of investment often non-investment grade. The Company may also make investments in senior bonds on an opportunistic basis if the Investment Manager believes that such investments are attractively valued up to a maximum in aggregate of 20% of the net asset value at the time of investment. The Company considers debt instruments to be non-investment grade if, at the time of investment, they are rated below the four highest categories (Aaa, Aa, A and Baa) by at least two independent credit ratings agencies or, if unrated, are deemed by the Investment Manager to be of comparable quality.
The Company will generally seek to focus on loans of issuers that the Investment Manager believes have the ability to generate cash flow through a full business cycle, maintain adequate liquidity, possess an enterprise value in excess of senior debt and have access to both debt and equity capital.
Capital Structure
As at 30 June 2017 the Company's share capital comprised 1,087,069,776 Sterling Ordinary Shares of no par value (of which 75,000,000 were held in treasury) and 45,729,127 U.S. Dollar Ordinary Shares of no par value (of which 1,342,627 were held in treasury).
For the purposes of efficient portfolio management, the Company has established a wholly-owned Luxembourg incorporated subsidiary, NB Global Floating Rate Income Fund (Lux) 1 S.à.r.l. which in turn holds a wholly-owned subsidiary, NB Global Floating Rate Income Fund (Lux) 2 S.à.r.l. Part of the portfolio of the Company is held through NB Global Floating Rate Income Fund (Lux) 2 S.à.r.l. All references to the Company in this document refer to the Company together with its wholly-owned Luxembourg subsidiaries.
Non-Mainstream Pooled Investments
The Company currently conducts its affairs so that the shares issued by the Company can be recommended by Independent Financial Advisers to ordinary retail investors in accordance with the Financial Conduct Authority's ("FCA") rules in relation to non-mainstream investment products and intends to continue to do so for the foreseeable future.
The Company's shares are excluded from the FCA's restrictions which apply to non-mainstream investment products because they are shares in an investment company, which if it were domiciled in the United Kingdom, would qualify as an investment trust.
Company Numbers
Sterling Ordinary Shares ("NBLS")
LSE ISIN code: GG00B3KX4Q34
Bloomberg code: NBLS:LN
U.S. Dollar Ordinary Shares ("NBLU")
LSE ISIN code: GG00B3P7S359
Bloomberg code: NBLU:LN
Legal Entity Identifier
549300P4FSBHZFALLG04
Dividends
Paid quarterly in respect of each calendar quarter.
Rolling 12 month dividend yield (based on the previous four quarterly dividends paid and share price as at 30 June 2017):
-- Sterling Ordinary Shares - 3.88% -- U.S. Dollar Ordinary Shares - 3.83%
Website
www.nbgfrif.com
STRATEGIC REVIEW
Financial Highlights
Key Figures
Hot Features
Premium
(U.S. Dollars, except per share As at 30 June As at 31 December
data) 2017 2016
============================================ ============== ==================
Net Asset Value
============================================ ============== ==================
- Sterling Ordinary Shares $1,280.1 $1,228.2
============================================ ============== ==================
- U.S. Dollar Ordinary Shares (1) $43.9 $37.8
============================================ ============== ==================
Net Asset Value per share
============================================ ============== ==================
- Sterling Ordinary Shares GBP0.9737 GBP0.9787
============================================ ============== ==================
- U.S. Dollar Ordinary Shares $0.9883 $0.9881
============================================ ============== ==================
Investments $1,321.20 $1,256.9
============================================ ============== ==================
Cash and Cash Equivalents $35.4 $58.8
============================================ ============== ==================
12 month rolling dividend yield
============================================ ============== ==================
- Sterling Ordinary Shares (2) 3.88% 4.18%
============================================ ============== ==================
- U.S. Dollar Ordinary Shares (2) 3.83% 4.12%
============================================ ============== ==================
Share price
============================================ ============== ==================
- Sterling Ordinary Shares GBP0.9490 GBP0.9690
============================================ ============== ==================
- U.S. Dollar Ordinary Shares $0.9738 $0.9875
============================================ ============== ==================
Discount to Net Asset Value
============================================ ============== ==================
- Sterling Ordinary Shares (2.54%) (0.99%)
============================================ ============== ==================
- U.S. Dollar Ordinary Shares (1.47%) (0.06%)
============================================ ============== ==================
Total Return (3)
============================================ ============== ==================
- Sterling Ordinary Shares 1.27% 8.17%
============================================ ============== ==================
- U.S. Dollar Ordinary Shares 1.81% 8.41%
============================================ ============== ==================
Total Expense Ratio (4)
============================================ ============== ==================
- Sterling Ordinary Shares 0.46% 0.95%
============================================ ============== ==================
- U.S. Dollar Ordinary Shares 0.49% 0.93%
============================================ ============== ==================
(1) In the six months to 30 June 2017, the Company re-issued 1,630,000 U.S. Dollar Ordinary Shares for gross consideration of $1.66 million.
(2) The 30 June 2017 dividend yield is presented on an annual basis and calculated on the four quarterly dividends paid up to 30 June 2017. The 2016 comparative relates to dividends paid during the year from 1 January 2016 to 31 December 2016.
(3) The total return is the NAV return per share plus dividends paid during the period. 2017 figures related to the period 1 January 2017 to 30 June 2017 while 2016 comparative relates to the year 1 January 2016 to 31 December 2016.
(4) Management fees and all other operating expenses expressed as a percent of average net assets. 2017 figures relate to expenses during the period 1 January 2017 to 30 June 2017, expressed as a percentage of the average daily net assets during the same period. 2016 figures relate to expenses during the period 1 January 2016 to 31 December 2016, expressed as a percentage of the average daily net assets during the same period.
Chairman's Statement
Dear Shareholder,
It is my pleasure to present to you the Interim Report of NB Global Floating Rate Income Fund Limited for the six months ended 30 June 2017.
Portfolio and Company Performance
2017 is proving another eventful year to date with the surprise result of the United Kingdom ("UK") General Election which returned a hung parliament and the formal filing of Article 50 on 29 March 2017 as the UK Government prepares to leave the European Union ("EU"). United States' ("U.S.") and European senior secured floating rate loans continue to perform well during the period, as fears over increasing default rates failed to materialise and the defaults that were seen in the market came in easily identifiable sectors such as commodities, reinforcing senior secured loans' credentials as a stable and resilient asset class with attractive risk-adjusted return characteristics.
The Board remains satisfied with the performance of the Company and the progress made by the Investment Manager during the period with the inclusion of dividends declared during the period, the Company's total return per share was 1.27% for the Sterling Ordinary Shares and 1.81% for the U.S. Dollar Ordinary Shares. During the same period the Company's share price return was -2.06% per Sterling Ordinary Share and -1.39% per U.S. Dollar Share.
At the start of the year, the Company's U.S. Dollar Ordinary Shares had traded at a premium. Throughout this period the Board has addressed the premium in the U.S. Dollar Ordinary Shares by issuing 1,630,000 U.S. Dollar Ordinary Shares out of Treasury at a weighted average premium to net asset value ("NAV") of 3.023%.
Your Board notes that subsequent to the period ended 30 June 2017 there has been a widening of the Company's discount. As at the latest practicable date prior to publication of this report the Company's Sterling Ordinary Shares and U.S. Dollar Ordinary Shares trade at a discount of 2.52% and 1.83% respectively. This is disappointing given the solid underlying performance of the portfolio.
As at the latest practicable date prior to publication of this report, the Company's current dividend yield is 3.88% and 3.83% per Sterling Ordinary Share and U.S. Dollar Share respectively (calculated as the last four quarterly dividends expressed as a percentage of the share price). Your Board believes this represents attractive value on both an absolute and a risk-adjusted basis given the current low interest rate environment and taking account of the prudent investment approach taken by the Investment Manager. As at 30 June 2017, 93.44% of the Company's portfolio was invested in issuers with a credit rating of BBB, (8.18%), BB (45.02%) and B (40.24%), reflecting the Investment Manager's preference for higher quality issuers.
The portfolio remains fully invested, with a strong U.S. bias. As at 30 June 2017, 90.95% of the Company was invested in U.S. Dollar denominated assets, with 7.12% invested in Euro denominated assets and 1.93% in Sterling denominated assets (all excluding cash). The Company's Sterling Ordinary Share class hedges all U.S. Dollar and Euro exposure back to Sterling. The Board does not currently expect volatility in the foreign exchange markets to impact materially on the Company's NAV.
Discount / Premium Management
During the six months to 30 June 2017 the Company's maximum (discount)/premium ranged between -2.6% and 2.6% per Sterling Ordinary Share and -1.6% and 6.5% per U.S. Dollar Share. Throughout the period the Board continued to address temporary imbalances between supply and demand in the Company's shares as necessary by re-issuing or buying back shares.In the period to 30 June 2017, the Company has not repurchased any of the Company's own shares.
Since the 30 June 2017, and up to the latest practicable date of writing, the Company has repurchased 6,175,954 Sterling Ordinary Shares and 334,649 U.S. Dollar Shares reflecting the widening of the Company's discount. Your Board will remain vigilant in its approach to both discount and premium control on behalf of shareholders and reaffirms its belief that it is undesirable for the Company's shares to trade at much wider than a 3% discount or premium in normal market conditions. Your Board is reassured that the Company is of sufficient size to pursue its buyback policy and whether these volatile periods of the cycle without being at risk of becoming subscale and having a material impact on the Company's ongoing expenses ratio.
Outlook for the remainder of the financial year
Your Board believes that the outlook for the remainder of 2017 remains positive for short duration asset classes such as senior secured floating rate loans. We believe that moderate U.S. economic growth will lead to continued interest rate hikes which should be constructive for senior floating rate loans. Your Board agrees with the Investment Manager that default rates will stay below historical levels and credit quality is expected to remain favourable, with low volatility compared to other risk asset classes.
At a portfolio level, your Board expects the continued impact of Brexit negotiations to be limited given the robust investment process the Investment Manager has always adopted and its positioning in better rated, performing issuers.
Your Board believes the Company continues to offer an attractive risk-adjusted return, and is satisfied with the Investment Manager's performance to date and strategy. The Investment Manager will continue to update you on the Company's progress by way of the monthly fact sheets and Investment Manager updates.
I would like to close by thanking you for your commitment and support.
William Frewen
Chairman
16 August 2017
Investment Manager's Report
For the six months ended 30 June 2017, the total return of the Company was 2.21% gross of fees. Over the same period the S&P/LSTA Leveraged Loan Index (the "Index"), returned 1.91%.
Demand for loans was robust, with over $50 billion of inflows from collateralized loan obligation (CLO) managers and a further $20 billion from retail funds. For comparison, the first half of 2016 saw $26 billion of inflows from CLO managers, and $9.3 billion of outflows from retail funds. With such high levels of demand, institutional supply has failed to keep up, leading to a continuation of re-pricings within the loan market. Having said this, the second quarter saw the first 3 months of excess supply since Q1 of 2016, suggesting that the supply shortage may be coming to an end.
The par amount outstanding of the Index stood at $943 billion at 30 June 2017, having ended 2016 at $887 billion. The average bid during the period was 98.02, with 58.68% of issues priced at par or above, versus 68.31% at the end of the year. By principal amount the trailing 12 month U.S. default rate was 1.54% at the end of June, in line with the closing figure for 2016.
In Europe the S&P European Leveraged Loan Index ("ELLI") returned 2.65% year-to-date through 30 June 2017 (all numbers excluding currency) and the average bid finished at 99.50, up on the 98.62 as of the end of 2016. Demand was strong and CLO issuance totalled EUR8.3 billion through 30 June 2017, very much in-line with the EUR7.2 billion posted in the first half of 2016. The par amount outstanding of the ELLI ended the quarter at EUR118 billion, an increase on the EUR99 billion one year ago. By principal amount the trailing 12 month default for the ELLI was 2.20% at the end of June, down from 2.40% at the end of 2016.
The portfolio has remained very much weighted towards U.S. Dollar issuance, which accounted for 91% of the portfolio at the end of June. The bond allocation remained well below the 20% of NAV permitted, at 7.5%, as we remained focused on keeping duration low and limiting potential areas of volatility. We continued to allocate to better rated assets, and the BBB/BB weighting ended June at 53.2%.
Outlook
Our outlook for the loan market remains positive. Generally we feel that issuers are performing steadily, leverage is being controlled and cash cover metrics are strong. The market today is pricing in approximately a 1.77% imputed U.S. default rate, which is in line with our 2017 expectations of 1.5 - 2.5%. We believe that moderate U.S. economic growth will lead to continued interest rate hikes which should be constructive for senior floating rate loans. We continue to believe that loans will be attractive given the returns on offer, the expected low volatility compared to other risk asset classes and their senior secured nature.
Neuberger Berman Investment Advisers LLC Neuberger Berman Europe Limited
16 August 2017 16 August 2017
Portfolio Infirmation
Top 10 Issuers as at 30 June 2017 (excluding cash)
Issuer Sector Fair Value Portfolio
Weight
------------------------- ---------------------- ------------ ----------
Valeant Pharmaceuticals Drugs 27,587,290 2.09%
------------------------- ---------------------- ------------ ----------
Business Equipment &
First Data Services 26,412,127 2.00%
------------------------- ---------------------- ------------ ----------
Univision Broadcast Radio & TV 15,977,413 1.21%
------------------------- ---------------------- ------------ ----------
Intelsat Telecommunications 15,076,803 1.14%
------------------------- ---------------------- ------------ ----------
CenturyLink Inc Telecommunications 14,667,751 1.11%
------------------------- ---------------------- ------------ ----------
Endo Pharmaceutical Drugs 14,539,469 1.10%
------------------------- ---------------------- ------------ ----------
TXU Utilities 20,905,442 1.58%
------------------------- ---------------------- ------------ ----------
Reynolds Containers & Glass 14,000,572 1.06%
------------------------- ---------------------- ------------ ----------
Wide Open West Cable TV 13,655,397 1.03%
------------------------- ---------------------- ------------ ----------
Virgin Media Cable TV 13,333,317 1.00%
------------------------- ---------------------- ------------ ----------
13.32%
------------------------------------------------ ------------ ----------
Top 10 S&P Sector Breakdown (excluding cash)
http://www.rns-pdf.londonstockexchange.com/rns/2106O_-2017-8-16.pdf
Key Statistics as at 30 June 2017
Current Gross Portfolio Yield (1) 4.53% ========================= ====== Number of Investments 362 ========================= ====== Number of Issuers 270 ========================= ======
(1) The Company's Current Gross Portfolio Yield is a market-value weighted average of the current yields of the holdings in the portfolio, calculated as the coupon (base rate plus spread) divided by current price. The calculation does not take into account any fees, fund expenses or sales charges paid, which would reduce the results. The Current Gross Portfolio Yield for the Company will fluctuate from month to month. The Current Gross Portfolio Yield should be regarded as an estimate of the Company's rate of investment income, and it will not equal the realised distribution rate for each share class.
Currency Breakdown
http://www.rns-pdf.londonstockexchange.com/rns/2106O_-2017-8-16.pdf
Rating Breakdown
http://www.rns-pdf.londonstockexchange.com/rns/2106O_-2017-8-16.pdf
Security Breakdown
http://www.rns-pdf.londonstockexchange.com/rns/2106O_-2017-8-16.pdf
GOVERNANCE
Interim Management Report and Director's Responsibility Statement
Principal Risks and Uncertainties
The principal risks of the Company are in the following areas:
-- macroeconomic conditions; -- credit risk; -- liquidity risk; -- fund performance; -- level of discount or premium; and -- operational risk.
The Board reported on each of these principal risks and uncertainties in the Strategic Report of the Company's latest annual report and audited financial statement for the year ended 31 December 2016, which can be found on the Company's website at http://www.nbgfrif.com/pdf/NBGFRIF_annual_report_2016.pdf. The Board's view is that these risks remain appropriate for the remainder of 2017. A brief description of each of the Principal Risks are detailed below:
Macroeconimic Conditions
Macroeconomic conditions can change significantly and to the detriment of the portfolio or the Company causing a credit or liquidity risk to crystallise.
Credit Risk
The key risk for the Company remains credit risk i.e. that the Investment Manager buys a loan or bond of a particular Issuer and it does not perform as expected and either defaults on a payment or experiences a significant drop in the secondary market value.
Liquidity Risk
Liquidity risk is the risk that the Company will not be able to meet its obligations as and when these fall due.
Fund Performance
The Company's Investment performance could fall below its stated objective or peer group for a variety of reasons including market conditions.
Level of Discount or Premium
A discount or premium to NAV can occur for a variety of reasons, including market conditions or to the extent investors undervalue the management activities of the Investment Manager or discount their valuation methodology and judgment.
Operational Risk
Disruption to, or the failure of either the Investment Manager's, Administrator's or Sub- Administrator's accounting, dealings or payment systems, or the Custodian's records could prevent the accurate reporting or monitoring of the Company's financial position and the receipt or transmission of payments.
Going Concern
Having reassessed the principal risks, the Directors considered it appropriate to prepare the Unaudited Consolidated Interim Financial Statements (the "Financial Statements") on a going concern basis.
Related Party Transactions
Other than fees payable in the ordinary course of business, there have been no material transactions with related parties, which have affected the financial position or performance of the Company in the six month financial period to 30 June 2017. Additional related party disclosures are given in Note 3 and Note 4.
Directors' Responsibilities Statement
The Board of Directors confirms that, to the best of its knowledge:
The Financial Statements, which have been prepared in conformity with United States generally accepted accounting principles ("US GAAP") and the Financial Accounting Standards Board ("FASB"). Accounting Standards Codification ("ASC") 270' "Interim Reporting", gives a true and fair view of the assets, liabilities, financial position and profits/(losses) of the Company, as required by DTR 4.2.4R of the Disclosure Guidance and Transparency Rules ("DTR") of the FCA.
The combination of the Chairman's Statement, the Investment Manager's Report and this Interim Management Report meet the requirements of an Interim Management Report, and include a fair review of the information required by:
1. DTR 4.2.7R of the DTR, of the U.K.'s FCA, being an indication of important events that have occurred during the first six months of the year and their impact on the set of Financial Statements; and a description of the principal risks and uncertainties for the remaining six months of the year; and
2. DTR 4.2.8R of the DTR, of the U.K.'s FCA, being related party transactions that have taken place in the first six months of the current year and that have materially affected the financial position or performance of the Company during that period; and any material changes in the related party transactions described in the last annual report.
William Frewen Richard Battey Chairman Director 16 August 2017 16 August 2017
Independent review report to NB Global Floating Rate Income Fund Limited
Our conclusion
We have reviewed the accompanying condensed consolidated interim financial information of NB Global Floating Rate Income Fund Limited and its subsidiaries (the 'Group') as of 30 June 2017. Based on our review, nothing has come to our attention that causes us to believe that the accompanying condensed consolidated interim financial information is not prepared, in all material respects, in accordance with the Financial Accounting Standards Board Accounting Standards Codification 270, "Interim Reporting" and the Disclosure Guidance and Transparency Rules sourcebook of the United Kingdom's Financial Conduct Authority.
What we have reviewed
The accompanying condensed consolidated interim financial information comprise:
-- the Unaudited Consolidated Statement of Assets and Liabilities as of 30 June 2017; -- the Unaudited Consolidated Condensed Schedule of Investments as of 30 June 2017; -- the Unaudited Consolidated Statement of Operations for the six-month period then ended;
-- the Unaudited Consolidated Statement of Changes in Net Assets for the six-month period then ended;
-- the Unaudited Consolidated Statement of Cash Flows for the six-month period then ended; and
-- the notes, comprising a summary of significant accounting policies and other explanatory information.
The condensed consolidated interim financial information has been prepared in accordance with the Financial Accounting Standards Board Accounting Standards Codification 270, "Interim Reporting" and the Disclosure Guidance and Transparency Rules sourcebook of the United Kingdom's Financial Conduct Authority.
Our responsibilities and those of the directors
The Directors are responsible for the preparation and presentation of this condensed consolidated interim financial information in accordance with the Financial Accounting Standards Board Accounting Standards Codification 270, "Interim Reporting" and the Disclosure Guidance and Transparency Rules sourcebook of the United Kingdom's Financial Conduct Authority.
Our responsibility is to express a conclusion on this condensed consolidated interim financial information based on our review. This report, including the conclusion, has been prepared for and only for the company for the purpose of complying with the Disclosure Guidance and Transparency Rules sourcebook of the United Kingdom's Financial Conduct Authority and for no other purpose. We do not, in giving this conclusion, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing.
Scope of review
We conducted our review in accordance with International Standard on Review Engagements 2410, 'Review of interim financial information performed by the independent auditor of the entity' issued by the International Auditing and Assurance Standards Board. A review of interim financial information consists of making inquiries, 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 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.
We have read the other information contained in the Unaudited Consolidated Interim Financial Statements and considered whether it contains any apparent misstatements or material inconsistencies with the information in the interim financial statements.
PricewaterhouseCoopers CI LLP
Chartered Accountants
Guernsey, Channel Islands
16 August 2017
(a) The maintenance and integrity of the NB Global Floating Rate Income Fund Limited website is the responsibility of the directors; the work carried out by the auditors does not involve consideration of these matters and, accordingly, the auditors accept no responsibility for any changes that may have occurred to the financial statements since they were initially presented on the website.
(b) Legislation in Guernsey governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.
FINANCIAL STATEMENTS
Unaudited Consolidated Statement of Assets and Liabilities
As at 30 June 2017 and 31 December 31 December
2016 30 June 2017 2016
(Expressed in U.S. Dollars) Notes (Unaudited) (Audited)
---------------------------------------- ------- -------------- --------------
Assets
---------------------------------------- ------- -------------- --------------
Investments at fair value
(2017: cost of 1,318,060,273,
2016: cost of 1,262,575,676) 5 1,321,229,556 1,256,886,223
---------------------------------------- ------- -------------- --------------
Cash and cash equivalents:
---------------------------------------- ------- -------------- --------------
- Sterling 4,879,582 10,271,118
---------------------------------------- ------- -------------- --------------
- Euro 7,643,159 20,030,923
---------------------------------------- ------- -------------- --------------
- U.S. Dollar 22,869,534 28,527,585
---------------------------------------- ------- -------------- --------------
Total cash and cash equivalents 35,392,275 58,829,626
---------------------------------------- ------- -------------- --------------
1,356,621,831 1,315,715,849
---------------------------------------- ------- -------------- --------------
Other assets
---------------------------------------- ------- -------------- --------------
Receivables for investments sold 50,474,319 17,394,802
---------------------------------------- ------- -------------- --------------
Interest receivable 3,461,087 4,777,061
---------------------------------------- ------- -------------- --------------
Other receivables and prepayments 147,728 93,369
---------------------------------------- ------- -------------- --------------
Derivative assets 5 2,098,135 15,225,146
---------------------------------------- ------- -------------- --------------
Total other assets 56,181,269 37,490,378
---------------------------------------- ------- -------------- --------------
Total assets 1,412,803,100 1,353,206,227
---------------------------------------- ------- -------------- --------------
Liabilities
---------------------------------------- ------- -------------- --------------
Payables for investments purchased 85,071,142 84,256,725
---------------------------------------- ------- -------------- --------------
Payables to Investment Manager
and affiliates 3 2,434,729 2,365,325
---------------------------------------- ------- -------------- --------------
Derivative liabilities 5 961,634 -
---------------------------------------- ------- -------------- --------------
Accrued expenses and other liabilities 3 413,419 541,645
---------------------------------------- ------- -------------- --------------
Total liabilities 88,880,924 87,163,695
---------------------------------------- ------- -------------- --------------
Total assets less liabilities 1,323,922,176 1,266,042,532
---------------------------------------- ------- -------------- --------------
Share capital 9 1,692,078,755 1,690,371,848
---------------------------------------- ------- -------------- --------------
Accumulated reserves (368,156,579) (424,329,316)
---------------------------------------- ------- -------------- --------------
Total net assets 1,323,922,176 1,266,042,532
---------------------------------------- ------- -------------- --------------
As at 30 June 2017
Net Asset Number of NAV per Share
Value Shares
---------------------------- --------------- -------------- ----------------
U.S. Dollar shareholding
---------------------------- --------------- -------------- ----------------
- Ordinary Shares $43,866,243 44,386,500 $0.9883
----------------------------- --------------- -------------- ----------------
Sterling shareholding
---------------------------- --------------- -------------- ----------------
- Ordinary Shares GBP985,454,354 1,012,069,776 GBP0.9737
---------------------------- --------------- -------------- ----------------
Sterling shareholding
(in U.S.Dollars)
---------------------------- --------------- -------------- ----------------
- Ordinary Shares $1,280,055,933 1,012,069,776 $1.2648
----------------------------- --------------- -------------- ----------------
The Financial Statements were approved and authorised for issue by the Board of Directors on 16 August 2017, and signed on its behalf by:
William Frewen Richard Battey
Chairman Director
The accompanying notes form an integral part of the consolidated financial statements.
Unaudited Consolidated Condensed Schedule of Investments
Fair Value
As at 30 June 2017 as %
(Expressed in U.S. Dollars) Cost Fair Value of Net Assets
------------------------------------------- ----------------------- ---------------------- ---------------
Portfolio of investments
------------------------------------------- ----------------------- ---------------------- ---------------
Financial investments
------------------------------------------- ----------------------- ---------------------- ---------------
* Floating rate senior secured loans 1,226,808,193 1,226,954,139 92.68%
------------------------------------------- ----------------------- ---------------------- ---------------
* Fixed rate bonds 55,668,075 56,325,844 4.25%
------------------------------------------- ----------------------- ---------------------- ---------------
* Floating rate bonds 35,584,005 37,949,573 2.87%
------------------------------------------- ----------------------- ---------------------- ---------------
Total financial investments 1,318,060,273 1,321,229,556 99.80%
------------------------------------------- ----------------------- ---------------------- ---------------
Total portfolio of investments 1,318,060,273 1,321,229,556 99.80%
------------------------------------------- ----------------------- ---------------------- ---------------
Forwards
------------------------------------------- ----------------------- ---------------------- ---------------
Euro to U.S. Dollar - 180,008 0.02%
------------------------------------------- ----------------------- ---------------------- ---------------
Sterling to U.S. Dollar - 5,978,754 0.45%
------------------------------------------- ----------------------- ---------------------- ---------------
U.S. Dollar to Euro - (4,862,911) (0.37%)
------------------------------------------- ----------------------- ---------------------- ---------------
U.S. Dollar to Sterling - (159,350) (0.01%)
------------------------------------------- ----------------------- ---------------------- ---------------
1,136,501 0.09%
------------------------------------------- ----------------------- ---------------------- ---------------
Fair Value
as %
Cost Fair Value of Net Assets
Geographic diversity of
investment portfolio
------------------------------------------- ----------------------- ---------------------- ---------------
Geographic diversity of
investment portfolio
------------------------------------------- ----------------------- ---------------------- ---------------
Australia/Oceania 2,491,774 2,490,608 0.31%
------------------------------------------- ----------------------- ---------------------- ---------------
Caribbean 31,527,015 33,615,573 2.54%
------------------------------------------- ----------------------- ---------------------- ---------------
North America 1,145,060,654 1,143,189,960 86.23%
------------------------------------------- ----------------------- ---------------------- ---------------
Europe 138,980,830 141,933,415 10.72%
------------------------------------------- ----------------------- ---------------------- ---------------
1,318,060,273 1,321,229,556 99.80%
------------------------------------------- ----------------------- ---------------------- ---------------
Fair Value
As at 31 December 2016 as %
(Expressed in U.S. Dollars) Cost Fair Value of Net Assets
-------------------------------- -------------- -------------- ---------------
Portfolio of investments
-------------------------------- -------------- -------------- ---------------
Financial investments
-------------------------------- -------------- -------------- ---------------
Floating rate senior secured
loans 1,220,170,197 1,213,873,452 95.88%
-------------------------------- -------------- -------------- ---------------
Fixed rate bonds 6,416,388 6,410,344 0.51%
-------------------------------- -------------- -------------- ---------------
Floating rate bonds 35,989,091 36,602,427 2.89%
-------------------------------- -------------- -------------- ---------------
Total financial investments 1,262,575,676 1,256,886,223 99.28%
-------------------------------- -------------- -------------- ---------------
Total portfolio of investments 1,262,575,676 1,256,886,223 99.28%
-------------------------------- -------------- -------------- ---------------
Forwards
-------------------------------- -------------- -------------- ---------------
U.S. Dollar to Euro - 4,074,462 0.32%
-------------------------------- -------------- -------------- ---------------
Sterling to U.S. Dollar - 11,564,568 0.91%
-------------------------------- -------------- -------------- ---------------
U.S. Dollar to Sterling - (148,744) (0.01%)
-------------------------------- -------------- -------------- ---------------
Euro to Sterling - (94,613) (0.01%)
-------------------------------- -------------- -------------- ---------------
Euro to U.S. Dollar - (170,527) (0.01%)
-------------------------------- -------------- -------------- ---------------
15,225,146 1.20%
------------------------------------------------ -------------- ---------------
Fair Value
as %
Cost Fair Value of Net Assets
------------------------------------ -------------- -------------- ---------------
Geographic diversity of investment
portfolio
------------------------------------ -------------- -------------- ---------------
North America 1,119,704,474 1,119,421,012 88.42
------------------------------------ -------------- -------------- ---------------
Australia/Oceania 4,070,889 4,148,949 0.33
------------------------------------ -------------- -------------- ---------------
Europe 138,800,313 133,316,262 10.53
------------------------------------ -------------- -------------- ---------------
1,262,575,676 1,256,886,223 99.28
------------------------------------ -------------- -------------- ---------------
As at 30 June 2017
(Expressed in U.S. Dollars)
30 June 2017 31 December 2016
(Unaudited) (Audited)
Industry diversity of
Investment Portfolio Cost Fair Value Cost Fair Value
--------------------------------- --------------- --------------- -------------- --------------
Aerospace & Defence 5,979,465 5,994,170 6,010,397 6,072,357
--------------------------------- --------------- --------------- -------------- --------------
Air Transport 13,478,730 13,458,697 14,994,162 15,097,483
--------------------------------- --------------- --------------- -------------- --------------
Automotive 13,826,552 13,849,568 13,099,656 13,154,487
--------------------------------- --------------- --------------- -------------- --------------
Broadcast Radio & Television 37,005,631 34,411,724 30,573,209 27,289,619
--------------------------------- --------------- --------------- -------------- --------------
Business Equipment & Services 152,634,983 151,740,373 150,945,338 150,244,072
--------------------------------- --------------- --------------- -------------- --------------
Building & Development 44,993,635 45,139,027 44,749,026 45,156,117
--------------------------------- --------------- --------------- -------------- --------------
Cable & Satellite Television 90,607,441 91,989,333 85,850,028 83,782,756
--------------------------------- --------------- --------------- -------------- --------------
Chemicals & Plastics 26,632,494 27,437,184 28,161,440 28,123,140
--------------------------------- --------------- --------------- -------------- --------------
Conglomerates 2,455,457 2,450,193 3,200,104 3,202,547
--------------------------------- --------------- --------------- -------------- --------------
Containers & Glass Products 73,709,560 74,270,974 81,055,964 81,141,060
--------------------------------- --------------- --------------- -------------- --------------
Cosmetics/Toiletries 6,509,702 6,518,333 - -
--------------------------------- --------------- --------------- -------------- --------------
Drugs 59,649,427 61,004,267 69,848,569 70,837,534
--------------------------------- --------------- --------------- -------------- --------------
Ecological Services &
Equipment 10,686,913 10,735,765 10,761,054 10,897,919
--------------------------------- --------------- --------------- -------------- --------------
Electronics/Electrical 98,358,446 97,652,852 107,678,600 106,903,155
--------------------------------- --------------- --------------- -------------- --------------
Energy - - 2,241,650 2,289,800
--------------------------------- --------------- --------------- -------------- --------------
Equipment Leasing 8,684,676 8,763,034 2,264,131 2,269,040
--------------------------------- --------------- --------------- -------------- --------------
Financial Intermediaries 61,275,951 62,980,548 63,967,235 64,387,402
--------------------------------- --------------- --------------- -------------- --------------
Food Products 15,040,362 14,652,053 21,853,184 20,349,684
--------------------------------- --------------- --------------- -------------- --------------
Food Service 28,138,303 28,698,990 22,181,347 22,640,245
--------------------------------- --------------- --------------- -------------- --------------
Food/Drug Retailers 14,441,001 14,400,463 11,386,389 11,250,561
--------------------------------- --------------- --------------- -------------- --------------
Health Care 104,324,261 105,115,874 89,463,601 88,429,140
--------------------------------- --------------- --------------- -------------- --------------
Hotels & Casinos 80,695,761 82,370,694 76,179,702 78,303,694
--------------------------------- --------------- --------------- -------------- --------------
Industrial Equipment 60,135,539 59,605,598 50,180,235 49,284,624
--------------------------------- --------------- --------------- -------------- --------------
Insurance 7,978,206 8,062,030 8,009,796 8,100,203
--------------------------------- --------------- --------------- -------------- --------------
Leisure Goods/Activities/Movies 35,947,043 36,188,538 38,591,122 38,979,267
--------------------------------- --------------- --------------- -------------- --------------
Oil & Gas 24,716,090 23,838,843 15,787,271 17,026,476
--------------------------------- --------------- --------------- -------------- --------------
Publishing 10,228,978 10,282,142 5,423,978 5,503,203
--------------------------------- --------------- --------------- -------------- --------------
Real Estate - - 844,138 844,544
--------------------------------- --------------- --------------- -------------- --------------
Retailers (except food/
drug retailers) 40,254,638 39,738,533 62,415,601 60,059,477
--------------------------------- --------------- --------------- -------------- --------------
Steel 7,300,654 7,372,297 11,535,856 11,669,916
--------------------------------- --------------- --------------- -------------- --------------
Surface Transport 12,102,852 12,154,995 6,893,898 6,914,697
--------------------------------- --------------- --------------- -------------- --------------
Telecommunications 89,920,394 90,403,139 56,584,506 55,980,742
--------------------------------- --------------- --------------- -------------- --------------
Utilities 80,347,127 79,949,325 69,844,489 70,701,262
--------------------------------- --------------- --------------- -------------- --------------
1,318,060,272 1,321,229,556 1,262,575,676 1,256,886,223
--------------------------------- --------------- --------------- -------------- --------------
As at 30 June 2017, issuers with the following investments comprised of greater than 1% of NAV (Excluding cash):
Securities Country Industry Fair Value %
------------------------------------ ------------ -------------------- -------------------- -------
VALEANT PHARMACEUTICALS 27,587,290 2.09%
------------------------------------------------------------------------ -------------------- -------
VALEANT PHARMACEUTICALS 5.875%
05/15/23 SR:REGS Canada Drugs 19,005,683 1.44%
------------------------------------ ------------ -------------------- -------------------- -------
VALEANT PHARMACEUTICALS 6.500%
03/15/22 SR:144A Canada Drugs 3,595,275 0.27%
------------------------------------ ------------ -------------------- -------------------- -------
VALEANT PHARMACEUTICALS 7.000%
03/15/24 SR:144A Canada Drugs 3,550,019 0.27%
------------------------------------ ------------ -------------------- -------------------- -------
Valeant Pharmaceuticals T/L
- F1 Canada Drugs 1,436,313 0.11%
------------------------------------ ------------ -------------------- -------------------- -------
FIRST DATA CORPORATION 26,412,127 1.99%
------------------------------------------------------------------------ -------------------- -------
First Data Corporation FIRST United Business Equipment
DATA 1L TL States & Services 19,227,275 1.45%
------------------------------------ ------------ -------------------- -------------------- -------
United Business Equipment
First Data Corporation States & Services 5,175,576 0.39%
------------------------------------ ------------ -------------------- -------------------- -------
First Data Corporation FIRST United Business Equipment
DATA 1L TL States & Services 2,009,276 0.15%
------------------------------------ ------------ -------------------- -------------------- -------
TXU 20,905,442 1.58%
------------------------------------------------------------------------ -------------------- -------
United
TXU/TCEH 10/16 Cov-Lite TLB States Utilities 11,469,477 0.87%
------------------------------------ ------------ -------------------- -------------------- -------
United
TXU Energy 1L TL States Utilities 6,806,975 0.51%
------------------------------------ ------------ -------------------- -------------------- -------
United
TXU/TCEH 10/16 Cov-Lite TLC States Utilities 2,628,990 0.20%
------------------------------------ ------------ -------------------- -------------------- -------
UNIVISION COMMUNICATIONS 15,977,413 1.21%
------------------------------------------------------------------------ -------------------- -------
Univision Communications United Broadcast Radio
Inc 1L TL-C5 States & Television 15,977,413 1.21%
------------------------------------ ------------ -------------------- -------------------- -------
INTELSAT JACKSON 15,076,803 1.14%
------------------------------------------------------------------------ -------------------- -------
INTELSAT JACKSON T/L B2 30/06/2019 Luxembourg Telecommunications 15,076,803 1.14%
------------------------------------ ------------ -------------------- -------------------- -------
CENTURYLINK 14,667,751 1.11%
------------------------------------------------------------------------ -------------------- -------
United
CenturyLink 1L TL-B States Telecommunications 14,667,751 1.11%
------------------------------------ ------------ -------------------- -------------------- -------O 14,539,469 1.10%
------------------------------------------------------------------------ -------------------- -------
United
Endo Pharma 1L TL-B States Drugs 11,686,369 0.88%
------------------------------------ ------------ -------------------- -------------------- -------O DAC/FIN LLC/FINCO 5.875% United
10/15/24 SR:REGS States Drugs 2,853,100 0.22%
------------------------------------ ------------ -------------------- -------------------- -------
REYNOLDS 14,000,572 1.06%
------------------------------------------------------------------------ -------------------- -------
Reynolds Group 1/17 (USD) United Containers & Glass
TL States Products 12,434,862 0.94%
------------------------------------ ------------ -------------------- -------------------- -------
REYNOLDS GRP ISS/ 5.750% United Containers & Glass
10/15/20 States Products 1,565,710 0.12%
------------------------------------ ------------ -------------------- -------------------- -------
WIDE OPEN WEST 13,655,397 1.04%
------------------------------------------------------------------------ -------------------- -------
Wide Open West FINANCE LLC United Cable & Satellite
1L TL-B States Television 9,352,282 0.71%
------------------------------------ ------------ -------------------- -------------------- -------
United Cable & Satellite
Wide Open West 1L TL-B States Television 4,303,116 0.33%
------------------------------------ ------------ -------------------- -------------------- -------
VIRGIN MEDIA 13,333,317 1.00%
------------------------------------------------------------------------ -------------------- -------
Virgin Media (fka NTL Investment United Cable & Satellite
Holdings Ltd) 1L TL-J GBP Kingdom Television 6,792,568 0.51%
------------------------------------ ------------ -------------------- -------------------- -------
VIRGIN MEDIA SECURED FIN United Cable & Satellite
5.000% 04/15/27 SR:REGS Kingdom Television 3,341,549 0.25%
------------------------------------ ------------ -------------------- -------------------- -------
Virgin Media (fka NTL Investment United Cable & Satellite
Holdings Ltd) 1L TL-I Kingdom Television 3,199,200 0.24%
------------------------------------ ------------ -------------------- -------------------- -------
176,155,581 13.32%
---------------------------------------------------------------------- -------------------- -------
As at 31 December 2016, issuers with the following investments comprised of greater than 1% of NAV (Excluding cash):
Securities Country Industry Fair Value %
---------------------------------- ------------ ------------------------ ------------ -------
VALEANT PHARMACEUTICALS 33,740,844 2.67%
-------------------------------------------------------------------------- ------------ -------
Valeant Pharmaceuticals
T/L - F1 Canada Drugs 33,740,844 2.67%
---------------------------------- ------------ ------------------------ ------------ -------
FIRST DATA CORPORATION 25,146,475 1.98%
-------------------------------------------------------------------------- ------------ -------
First Data T/L (2021C United Business Equipment
New Dollar) States & Services 19,811,573 1.56%
---------------------------------- ------------ ------------------------ ------------ -------
First Data 2022 C Dollar United Business Equipment
T/L States & Services 5,334,902 0.42%
---------------------------------- ------------ ------------------------ ------------ -------
TXU 19,703,064 1.55%
-------------------------------------------------------------------------- ------------ -------
TXU/TCEH 10/16 Cov-Lite United
TLB States Utilities 11,768,911 0.93%
---------------------------------- ------------ ------------------------ ------------ -------
United
TXU Energy 1L TL-DIP States Utilities 5,250,015 0.41%
---------------------------------- ------------ ------------------------ ------------ -------
TXU/TCEH 10/16 Cov-Lite United
TLC States Utilities 2,684,138 0.21%
---------------------------------- ------------ ------------------------ ------------ -------
AVAGO TECHNOLOGIES 18,738,885 1.48%
-------------------------------------------------------------------------- ------------ -------
Cayman
Avago Technologies Tl Islands Electronics/Electrical 18,738,885 1.48%
---------------------------------- ------------ ------------------------ ------------ -------
CHS/COMMUNITY HEALTH INCREMENTAL 16,637,580 1.32%
-------------------------------------------------------------------------- ------------ -------
CHS/Community Health Incremental United
2021 Term H Loan States Health Care 9,502,553 0.75%
---------------------------------- ------------ ------------------------ ------------ -------
CHS/Community Health Incremental United
2019 Term G Loan States Health Care 6,043,947 0.48%
---------------------------------- ------------ ------------------------ ------------ -------
CHS/Community Health Community
Health Systems 1L TL-F1 United
(First-Lien) States Health Care 1,091,080 0.09%
---------------------------------- ------------ ------------------------ ------------ -------
ENERGY TRANSFER EQUITY 15,510,094 1.23%
-------------------------------------------------------------------------- ------------ -------
Energy Transfer Equity United
Tranche B T/L (First-Lien) States Oil & Gas 10,103,973 0.80%
---------------------------------- ------------ ------------------------ ------------ -------
Energy Transfer Equity United
T/L C 12/02/2019 States Oil & Gas 5,406,121 0.43%
---------------------------------- ------------ ------------------------ ------------ -------
INTELSAT JACKSON 14,692,419 1.16%
-------------------------------------------------------------------------- ------------ -------
Intelsat Jackson T/L B2
30/06/2019 Luxembourg Telecommunications 14,692,419 1.16%
---------------------------------- ------------ ------------------------ ------------ -------
INFORMATION RESOURCES 13,731,458 1.08%
-------------------------------------------------------------------------- ------------ -------
Information Resources United Business Equipment
Inc. T/L B 26/09/2020 States & Services 8,664,989 0.68%
---------------------------------- ------------ ------------------------ ------------ -------
Information Resources
Inc. (Symphony IRI Group United Business Equipment
Inc.) States & Services 5,066,469 0.40%
---------------------------------- ------------ ------------------------ ------------ -------O PHARMA 13,489,003 1.07%
-------------------------------------------------------------------------- ------------ -------
United
Endo Pharma T/L B-1 States Drugs 13,489,003 1.07%
---------------------------------- ------------ ------------------------ ------------ -------
BASS PRO SHOPS 12,676,368 1.00%
-------------------------------------------------------------------------- ------------ -------
United Retailers (except
Bass Pro Shops 1L TL-B States food /drug retailers) 8,543,700 0.67%
---------------------------------- ------------ ------------------------ ------------ -------
Bass Pro Shops Tranche United Retailers (except
B-1 T/L (First-Lien) States food /drug retailers) 4,132,668 0.33%
---------------------------------- ------------ ------------------------ ------------ -------
REYNOLDS GROUP 12,641,463 1.00%
-------------------------------------------------------------------------- ------------ -------
Reynolds Group (aka Beverage
Packaging) T/L B-1 1st United Containers & Glass
Lien States Products 12,641,463 1.00%
---------------------------------- ------------ ------------------------ ------------ -------
196,707,653 15.54%
------------------------------------------------------------------------ ------------ -------
As at 30 June 2017, the below were the largest 50 investments based on the NAV:
Fair value
Securities Country Industry $ %
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United Business Equipment
First Data Corporation 1L TL States & Services 19,227,275 1.45%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
Valeant Pharmaceuticals Term Loan
- F1 Canada Drugs 19,005,683 1.44%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
Univision Communications Inc 1L United Broadcast Radio
TL-C5 States & Television 15,977,413 1.21%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
INTELSAT JACKSON T/L B2 30/06/2019 Luxembourg Telecommunications 15,076,803 1.14%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
CenturyLink 1L TL-B States Telecommunications 14,667,751 1.11%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United Containers &
Reynolds Group 1/17 (USD) TL States Glass Products 12,434,862 0.94%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
Endo Pharma 1L TL-B States Drugs 11,686,369 0.88%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
TXU/TCEH 10/16 Cov-Lite TLB States Utilities 11,469,477 0.87%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
IASIS Healthcare Corporation IASIS United
1L TL States Health Care 10,878,724 0.82%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
Grifols WORLDWIDE 1L TL-B States Health Care 10,106,454 0.76%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
FORMULA ONE HLDGS LTD T/L
31/07/2021 Luxembourg Leisure Goods/Activities/Movies 9,812,060 0.74%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
Nautilus Power NAUTILUS POWER United
1L TL-B States Utilities 9,793,569 0.74%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
TPF II POWER LLC T/L B 11/09/2021 States Utilities 9,772,027 0.74%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
Dynegy Holdings Inc 1L States Utilities 9,760,522 0.74%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
Dell 1L TL States Electronics/Electrical 9,666,824 0.73%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
Pharmaceutical Product 5/17
Cov-Lite United
TL States Drugs 9,610,748 0.73%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
Sprint Communications 1L TL-B States Telecommunications 9,598,921 0.73%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
Charter Communications T/L I United Cable & Satellite
(12/16) States Television 9,501,801 0.72%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United Cable & Satellite
Wide Open FINANCE LLC 1L TL-B States Television 9,352,282 0.71%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
Cowlitz Tribal Gaming Authority United
Term Loan B States Hotels & Casinos 9,307,350 0.70%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
Containers &
Verallia SA EUR 1L TL- France Glass Products 9,275,958 0.70%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
FILTRATION GR CO 1ST LIEN T/L United
13/11/2020 States Industrial Equipment 9,062,764 0.68%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
CHS/Community Health Incremental United
2021 Term H Loan States Health Care 8,940,808 0.68%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
Emerald Expositions Holdings
NIELSEN United
BUSINESS MEDIA 1L TL-B States Leisure Goods/Activities/Movies 8,497,275 0.64%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
SYNIVERSE HOLDINGS T/L 10/04/2019 States Telecommunications 8,457,737 0.64%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
Milacron LLC 1L TL-B States Industrial Equipment 8,423,241 0.64%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United Business Equipment
Presidio 1L TL States & Services 8,341,630 0.63%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United Cable & Satellite
Cablevision Systems Corp 1L TL-B States Television 8,333,114 0.63%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United Containers &
Berlin Packaging 5/17 TLB States Glass Products 8,131,858 0.61%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
HCA Inc. 1L TL-B9 States Health Care 8,113,897 0.61%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
DTZ Term B States Building & Development 7,993,216 0.60%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
TWIN RIVER MGT GRP T/L B 1L United
30/06/2020 States Hotels & Casinos 7,930,034 0.60%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
Scientific Games Corp 1L TL-B3 States Hotels & Casinos 7,925,729 0.60%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
Datatel-Sophia LP 1L T States Electronics/Electrical 7,922,441 0.60%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
Eldorado Resorts 1L TL-B States Hotels & Casinos 7,514,666 0.57%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
Energy Transfer Equity 1L TL States Oil&Gas 7,258,974 0.55%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
Team Health Inc. 1L TL-B States Health Care 7,037,854 0.53%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
CROSBY WORLDWIDE LIMITED T/L United
06/11/2020 States Industrial Equipment 7,030,266 0.53%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
99 CENTS ONLY STORES T/L United Retailers (except
11/01/2019 States food/ drug retailers) 6,982,721 0.53%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
Frontier Communications 1L TL-B States Telecommunications 6,944,600 0.52%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
CUMULUS MEDIA HOLDINGS T/L B United Broadcast Radio
18/12/2020 States & Television 6,935,522 0.52%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
TXU Energy 1L TL States Utilities 6,806,975 0.51%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
Virgin Media (fka NTL Investment United Cable & Satellite
Holdings Ltd) 1L TL-J GBP Kingdom Television 6,792,568 0.51%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United Retailers (except
Bass Pro Shops 1L TL-B States food/ drug retailers) 6,778,943 0.51%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
Multiplan Inc. Term Loan B States Health Care 6,745,707 0.51%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
Doosan Infracore BOBCAT 1L TL-B States Industrial Equipment 6,679,996 0.50%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United Containers &
BWAY Corporation 1L TL States Glass Products 6,621,423 0.50%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United Business Equipment
MITCHELL INTL INC T/L B 01/10/2020 States & Services 6,585,025 0.50%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United
ON Semiconductor 1L TL States Electronics/Electrical 6,557,689 0.50%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
United Containers &
Berry Plastics 1L TL-I States Glass Products 6,553,559 0.50%
----------------------------------- ------------ ---------------------------------- ---------------------- -------
463,883,105 35.05%
----------------------------------------------------------------------------------- ---------------------- -------
As at 31 December 2016, the below were the largest 50 investments based on the NAV:
Securities Country Industry Fair Value $ %
------------------------------------ ---------------- ------------------------------------- -------------- -------
Valeant Pharmaceuticals T/L - F1 Canada Drugs 33,740,844 2.67%
------------------------------------ ---------------- ------------------------------------- -------------- -------
First Data T/L (2021C New Dollar) United States Business Equipment & Services 19,811,573 1.56%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Avago Technologies Tl Cayman Islands Electronics/Electrical 18,738,885 1.48%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Intelsat Jackson T/L B2 30/06/2019 Luxembourg Telecommunications 14,692,419 1.16%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Endo Pharma T/L B-1 United States Drugs 13,489,003 1.07%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Reynolds Group (Aka Beverage
Packaging) T/L B-1 1St Lien United States Containers & Glass Products 12,641,463 1.00%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Emerald Expositions Hldg Tl B
12/06/2020 United States Leisure Goods/Activities/Movies 12,280,768 0.97%
------------------------------------ ---------------- ------------------------------------- -------------- -------
TXU/Tceh 10/16 Cov-Lite Tlb United States Utilities 11,768,911 0.93%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Scientific Games T/L B-2 17/09/2021 United States Hotels & Casinos 11,271,791 0.89%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Retailers (except food/ drug
Petsmart Inc 1L Tl-B (First Lien) United States retailers) 11,005,905 0.87%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Iasis Hlthcare Corp T/L B
03/05/2018 United States Health Care 10,732,579 0.85%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Cablevision Systems Corp 1L Tl-B
(First-Lien) United States Cable & Satellite Television 10,217,556 0.81%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Energy Transfer Equity Tranche B
T/L (First-Lien) United States Oil & Gas 10,103,973 0.80%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Burger King Corporation Term B
(First-Lien) 30/09/2021 Canada Food Service 9,968,943 0.79%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Dynegy Holdings Inc 1L Tl-B United States Utilities 9,928,505 0.78%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Univision Communication T/L C
01/03/2020 United States Broadcast Radio & Television 9,895,718 0.78%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Pharmaceutical Product Development
Inc. T/L B United States Drugs 9,757,039 0.77%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Charter Communications Operating
5/16 Tli United States Cable & Satellite Television 9,592,959 0.76%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Wide Open West Finance Llc 1L Tl-B United States Cable & Satellite Television 9,507,862 0.75%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Chs/Community Health Incremental
2021 Term H Loan United States Health Care 9,502,553 0.75%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Presidio Inc T/L B United States Business Equipment & Services 9,442,600 0.75%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Tpf Ii Power Llc T/L B 11/09/2021 United States Utilities 9,236,910 0.73%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Retailers (except food / drug
99 Cents Only Stores T/L 11/01/2019 United States retailers) 9,216,903 0.73%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Walter Inv Mang Corp New T/L
11/12/2020 United States Financial Intermediaries 9,056,480 0.72%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Cowlitz Tribal Gaming Authority
Term Loan B United States Hotels & Casinos 8,992,913 0.71%
------------------------------------ ---------------- ------------------------------------- -------------- -------
On Semiconductor 1L Tl B United States Electronics/Electrical 8,748,268 0.69%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Bway Corporation 1L Tl-B
(First-Lien) United States Containers & Glass Products 8,735,720 0.69%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Information Res Inc T/L B
26/09/2020 United States Business Equipment & Services 8,664,989 0.68%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Formula One Hldgs Ltd T/L
31/07/2021 Luxembourg Leisure Goods/Activities/Movies 8,634,970 0.68%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Verallia Sa 1L Tl-B Eur France Containers & Glass Products 8,585,594 0.68%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Retailers (except food /drug
Bass Pro Shops 1L Tl-B United States retailers) 8,543,700 0.67%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Level 3 Communications T/L B4
15/01/2020 United States Telecommunications 8,471,719 0.67%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Berlin Pckg 1St Ln Cov-Lt T/L
24/09/2021 United States Containers & Glass Products 8,220,577 0.65%
------------------------------------ ---------------- ------------------------------------- -------------- -------
HCA Inc. Term Loan B United States Health Care 8,213,308 0.65%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Retailers (except food/ drug
Michaels Stores T/L B1 United States retailers) 8,191,333 0.65%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Twin River Mgt Grp T/L B 1L
30/06/2020 United States Hotels & Casinos 8,133,685 0.64%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Dtz Term B United States Building & Development 8,088,336 0.64%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Datatel-Sophia Lp Tl B (First-Lien) United States Electronics/Electrical 8,040,274 0.64%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Syniverse Holdings T/L 10/04/2019 United States Telecommunications 7,921,118 0.63%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Talen Energy Supply Llc 4.625%
07/15/19 Sr:144A United States Utilities 7,598,950 0.60%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Zebra Technologies 1L T-B
(First-Lien) United States Electronics/Electrical 7,523,920 0.59%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Berry Plastics Tl United States Containers & Glass Products 7,391,542 0.58%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Dj Orthopedics Llc Tranche B-1 T/L
(First-Lien) United States Health Care 7,013,498 0.55%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Multiplan Inc. T/L B United States Health Care 7,004,501 0.55%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Jeld-Wen Inc T/L 1 Usd United States Building & Development 6,884,458 0.54%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Acosta Holdco Inc T/L 13/08/2021 United States Business Equipment & Services 6,679,632 0.53%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Rexnord Corp 1L Tl-B United States Industrial Equipment 6,592,044 0.52%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Husky Injection Molding T/L
30/06/2021 Canada Industrial Equipment 6,587,802 0.52%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Citycenter Holdings Llc T/L B
09/10/2020 United States Hotels & Casinos 6,583,301 0.52%
------------------------------------ ---------------- ------------------------------------- -------------- -------
Dell T/L B United States Electronics/Electrical 6,551,149 0.52%
------------------------------------ ---------------- ------------------------------------- -------------- -------
498,199,443 39.36%
------------------------------------------------------------------------------------------- -------------- -------
Unaudited Consolidated Statement of Operations
1 January
1 January 2017 2016 to
to 31 December
For the six months ended 30 June 2017 30 June 2017 2016
(Expressed in U.S. Dollars) (Unaudited) (Audited)
------------------------------------------------------ --------------- --------------
Income
------------------------------------------------------ --------------- --------------
Interest income (net of withholding taxes,
2017: $Nil; 2016: $Nil ) 27,054,028 67,802,475
------------------------------------------------------ --------------- --------------
Other income from investments 805,331 1,047,152
------------------------------------------------------ --------------- --------------
Total income 27,859,359 68,849,627
------------------------------------------------------ --------------- --------------
Expenses
------------------------------------------------------ --------------- --------------
Investment management and services 4,797,345 10,664,024
------------------------------------------------------ --------------- --------------
Administration and professional fees 974,955 2,544,696
------------------------------------------------------ --------------- --------------
Directors' fees and travel expenses 119,393 258,827
------------------------------------------------------ --------------- --------------
Total expenses 5,891,693 13,467,547
------------------------------------------------------ --------------- --------------
Net investment income 21,967,666 55,382,080
------------------------------------------------------ --------------- --------------
Realised and unrealised gains and losses
------------------------------------------------------ --------------- --------------
Net realised loss on investments (709,526) (52,229,039)
------------------------------------------------------ --------------- --------------
Net realised gain/(loss) on derivatives 63,070,504 (288,288,255)
------------------------------------------------------ --------------- --------------
Total net realised gain/(loss) 62,360,978 (340,517,294)
------------------------------------------------------ --------------- --------------
Net change in unrealised appreciation
on investments 8,858,735 97,557,925
------------------------------------------------------ --------------- --------------
Net change in unrealised (depreciation)/appreciation
on derivatives (14,088,645) 48,360,316
------------------------------------------------------ --------------- --------------
Total net unrealised (depreciation)/appreciation (5,229,910) 145,918,241 ------------------------------------------------------ --------------- -------------- Realised and unrealised gain/(loss) on foreign currency 344,367 (2,123,380) ------------------------------------------------------ --------------- -------------- Net realised and unrealised gain/(loss) 57,475,435 (196,722,433) ------------------------------------------------------ --------------- -------------- Net increase/(decrease) in net assets resulting from operations 79,443,101 (141,340,353) ------------------------------------------------------ --------------- --------------
Unaudited Consolidated Statement of Changes in Net Assets
For the six months ended 30 June 2017 Ordinary Shares (Expressed in U.S. Dollars) (Unaudited) -------------------------------------------- ---------------- Net assets as at 1 January 2017 1,266,042,532 --------------------------------------------- ---------------- Dividends (23,270,363) --------------------------------------------- ---------------- Share issue 1,658,319 --------------------------------------------- ---------------- Net movement from share buybacks and swaps 48,587 --------------------------------------------- ---------------- Net increase in net assets resulting from operations 79,443,101 --------------------------------------------- ---------------- Net assets as at 30 June 2017 1,323,922,176 --------------------------------------------- ---------------- 31 December 2016 Ordinary Shares (Expressed in U.S. Dollars) (Audited) -------------------------------------------- ---------------- Net assets as at 1 January 2016 1,714,972,853 --------------------------------------------- ---------------- Dividends (63,223,857) --------------------------------------------- ---------------- Net movement from share buybacks and swaps (244,366,111) --------------------------------------------- ---------------- Net decrease in net assets resulting from operations (141,340,353) --------------------------------------------- ---------------- Net assets as at 31 December 2016 1,266,042,532 --------------------------------------------- ----------------
Unaudited Consolidated Statement of Cash Flows
1 January 2016
1 January 2017 to
For the six months ended 30 June 2017 to 31 December
(Expressed in U.S. Dollars) 30 June 2017 2016
------------------------------------------------- --------------- ---------------
Cash flows from operating activities:
------------------------------------------------- --------------- ---------------
Net increase/(decrease) in net assets
resulting from operations 79,443,101 (141,340,353)
------------------------------------------------- --------------- ---------------
Adjustment to reconcile net increase/(decrease)
in net assets resulting from operations
to net cash (used in)/provided by operating
activities:
------------------------------------------------- --------------- ---------------
Net realised loss on investments 709,526 52,229,039
------------------------------------------------- --------------- ---------------
Net change in unrealised depreciation
/(appreciation) on investments and
derivatives 5,229,910 (145,918,242)
------------------------------------------------- --------------- ---------------
Changes in receivables for investments
sold (33,079,517) 22,043,853
------------------------------------------------- --------------- ---------------
Changes in interest receivable 1,315,974 2,240,939
------------------------------------------------- --------------- ---------------
Changes in other receivables and prepayments (54,359) (18,680)
------------------------------------------------- --------------- ---------------
Changes in payables for investments
purchased 814,417 (4,585,958)
------------------------------------------------- --------------- ---------------
Changes in payables to Investment Manager
and affiliates 69,404 (1,012,887)
------------------------------------------------- --------------- ---------------
Changes in accrued expenses and other
liabilities (128,226) (805,310)
------------------------------------------------- --------------- ---------------
Purchase of investments (582,144,308) (981,314,788)
------------------------------------------------- --------------- ---------------
Sale of investments 525,950,184 1,484,766,986
------------------------------------------------- --------------- ---------------
Net cash (used in)/provided by operating
activities (1,873,894) 286,284,599
------------------------------------------------- --------------- ---------------
Cash flows from financing activities:
------------------------------------------------- --------------- ---------------
Share issues 1,658,319 -
------------------------------------------------- --------------- ---------------
Net movement from share buybacks and
swaps 48,587 (244,366,111)
------------------------------------------------- --------------- ---------------
Dividends paid (23,270,363) (63,223,857)
------------------------------------------------- --------------- ---------------
Net cash used in financing activities (21,563,457) (307,589,968)
------------------------------------------------- --------------- ---------------
Net decrease in cash and cash equivalents (23,437,351) (21,305,369)
------------------------------------------------- --------------- ---------------
Cash and cash equivalents at beginning
of the period/year 58,829,626 80,134,995
------------------------------------------------- --------------- ---------------
Cash and cash equivalents at end of
the period/year 35,392,275 58,829,626
------------------------------------------------- --------------- ---------------
Notes to the Unaudited Consolidated Interim Financial Statements
For the period ended 30 June 2017
NOTE 1 - DESCRIPTION OF BUSINESS
The Company is a closed-ended investment company incorporated and registered in Guernsey with registered number 53155. It is a non-cellular company limited by shares and has been declared by the Guernsey Financial Services Commission to be a registered closed-ended collective investment scheme. On 20 April 2011, the Company was admitted to the Official List of the U.K. Listing Authority with a premium listing trading on the Main Market of the LSE.
On 30 September 2011, the Company raised an additional $187 million by means of a Placing and Offer for Subscription of C Shares and the shares were admitted to trading on the Main Market of the LSE on 5 October 2011. On 21 March 2013 and 24 October 2013, the Company raised an additional $550 million and $705 million by means of a Placing and Offer for Subscription of C Shares and the shares were admitted to trading on the Main Market of the LSE on 26 March 2013 and 29 October 2013 respectively. On 22 July 2013, through a tap issue, the Company raised gross proceeds of $69 million. The Sterling C Shares issued on 21 March 2013 were converted into 360,521,605 Sterling Ordinary Shares on 16 July 2013 and the Sterling Ordinary Shares issued on 24 October 2013 were converted into 421,103,481 Sterling Ordinary Shares on 21 January 2014.
At the AGM of the Company held in June 2017, the Directors were granted the general authority to purchase in the market up to 14.99% of the Ordinary Shares of each class in issue (as at 14 June 2017). This authority will expire at the next AGM in 2018. Pursuant to this authority, and subject to the Law and the discretion of the Directors, the Company may purchase shares of any of its classes in the market on an on-going basis with a view to addressing any imbalance between the supply of and demand for such shares, thereby increasing the NAV per share of the shares and assisting in managing the discount to NAV per share of the shares in relation to the price at which the shares of such class may be trading.
As required under Article 51 of the Company's Articles of Incorporation, an Extraordinary General Meeting ("EGM") was convened on 5 April 2017, being the sixth anniversary of the IPO admission date, to propose an ordinary resolution that the Company continues its business as a closed-ended investment company, which was duly passed. From 2018, a continuation vote will be proposed annually at the AGM.
The Company re-issued 1,630,000 U.S. Dollar Ordinary Shares from treasury in 12 tranches between 2 March 2017 and 5 May 2017.
The Company's investment objective is to provide its shareholders with regular dividends, at levels that are sustainable, whilst preserving the capital value of its investment portfolio, utilising the investment skills of the Investment Manager to pursue its investment objective. The Company invests mainly in floating rate senior secured loans issued in U.S. Dollars, Sterling and Euros by primarily North American and European Union corporations, partnerships and other business issuers. These loans will at the time of investment often be non-investment grade. The Company considers debt instruments to be non-investment grade if, at the time of investment, they are rated below the four highest categories (AAA, AA, A and BAA) by at least two independent credit rating agencies or, if unrated, are deemed by the Investment Manager to be of comparable quality.
For the purposes of efficient portfolio management, the Company has established a wholly-owned Luxembourg incorporated subsidiary, NB Global Floating Rate Income Fund (Lux) 1 S.à.r.l. which in turn holds a wholly-owned subsidiary, NB Global Floating Rate Income Fund (Lux) 2 S.à.r.l. All references to the Company in this document refer to the Company and its wholly owned Luxembourg subsidiaries. The directors of these companies are unrelated to the Directors of the Company.
The Company's share capital is denominated in Pound Sterling and U.S. Dollars and consists of Pound Sterling Ordinary Shares and U.S. Dollar Ordinary Shares as at 30 June 2017.
NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Basis of preparation
The accompanying Consolidated Financial Statements have been presented on a going concern basis and on the accrual basis of accounting in conformity with United States generally accepted accounting principles ("US GAAP"). The Company is regarded as an Investment Company and it follows the accounting and reporting requirements of the FASB ASC 946. The Board believes that the underlying assumptions are appropriate and that the Company's Consolidated Financial Statements therefore present a true and fair financial position.
Basis of consolidation
The Financial Statements comprise the financial statements of the Company and its wholly owned subsidiary undertakings as at 30 June 2017. The subsidiaries are NB Global Floating Rate Income Fund (Lux) 1 S.à.r.l. and its wholly-owned subsidiary, NB Global Floating Rate Income Fund (Lux) 2 S.à.r.l. The Company and all its wholly owned subsidiaries have United States Dollars as their functional and reporting currency. The results of the subsidiary undertakings are included in the Unaudited Consolidated Statement of Operations.
All intra-group balances, transactions, income and expenses are eliminated in full.
Use of estimates
The preparation of Financial Statements in conformity with US GAAP requires that the Directors make estimates and assumptions that affect the application of policies and reported amounts of assets and liabilities, income and expenses. Such estimates and associated assumptions are generally based on historical experience and various other factors that are believed to be reasonable under the circumstances, and form the basis of making the judgments about attributing values of assets and liabilities that are not readily apparent from other sources. Actual results may vary from such accounting estimates in amounts that may have a material impact on the financial information of the Company.
Revenue recognition
Interest earned on debt instruments is accounted for net of applicable withholding taxes and is recognised as income over the terms of the loans. Discounts received or premiums paid in connection with the acquisition of loans are amortised into interest income using the effective interest method over the contractual life of the related loan. If a loan pays off prior to maturity, the recognition of the fees and costs is accelerated as appropriate. The Company raises a provision when the collection of interest is deemed doubtful.
Cash and cash equivalents
The Company's cash and cash equivalents comprise cash in hand and demand deposits and highly liquid investments with original maturities of less than 90 days that are both readily convertible to known amounts of cash and so near maturity that they represent insignificant risk of changes in value.
Valuation of investments
The Company carries investments on its Consolidated Statement of Assets and Liabilities at fair value in accordance with US GAAP, with changes in fair value recognised within the Consolidated Statement of Operations in each reporting period. Quoted investments are valued according to their bid price as at the close of the relevant reporting date. Investments in private securities are priced at the bid price using a pricing service for private loans. Asset backed securities are valued according to their bid price. If a price cannot be ascertained from the above sources, the Company will seek bid prices from third party broker/dealer quotes for the investments. The Investment Manager believes that bid price is the best estimate of fair value and is in line with the valuation policy adopted by the Company.
In cases where no third party price is available, or where the Investment Manager determines that the provided price is not an accurate representation of the fair value of the investment, the Investment Manager determines the valuation based on the Investment Manager's fair valuation policy. The overall criterion for fair value is a price at which the securities involved would change hands in a transaction between a willing buyer and a willing seller, neither being under compulsion to buy or sell and both having the same knowledge of the relevant facts.
Consistent with the above criterion, the following criteria are considered when applicable:
-- Valuation of other securities by the same issuer for which market quotations are available; -- Reasons for absence of market quotations; -- The credit quality of the issuer and the related economics; -- Recent sales prices and/or bid and ask quotations for the security;
-- Value of similar securities of issuers in the same or similar industries for which market quotations are available;
-- Economic outlook of the industry; -- Issuer's position in the industry; -- The financial information of the issuer; and -- The nature and duration of any restriction on disposition of the security.
Derivative financial instruments
The Company may, from time to time, hold derivative financial instruments for the purposes of hedging foreign currency exposure. These derivatives are measured at fair value in accordance with US GAAP, with changes in fair value recognised within the Unaudited Consolidated Statement of Operations in each reporting period.
Depending on the product and the terms of the transaction, the fair value of the over the counter (OTC) derivative products, such as foreign exchange contracts, can be modelled taking into account the counterparties' credit worthiness and using a series of techniques, including simulation models.
Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments and the pricing inputs are observed from actively quoted markets. The forward exchange contracts valued by the Company using pricing models fall into this category and are categorised within level 2 of the fair value hierarchy.
As shares are denominated in U.S. Dollars and Pound Sterling and investments are denominated in U.S. Dollars, Euro or Sterling, holders of any class of shares are subject to foreign currency fluctuations between the currency in which such shares are denominated and the currency of the investments made by the Company. Consequently, the Investment Manager seeks to engage in currency hedging between the U.S. Dollar and any other currency in which the assets of the Company or a class of shares is denominated, subject to suitable hedging contracts such as forward currency exchange contracts being available in a timely manner and on terms acceptable to the Investment Manager, in their sole and absolute discretion.
Note 5 details the gross and net derivative asset and liability position by contract type and the amount for those derivative contracts for which netting is permissible under US GAAP. The derivative assets and liabilities have been netted where an enforceable master netting arrangement is in place.
Realised gains and losses on investments
All investment transactions are recorded on a trade date basis. Upon sale or maturity, the difference between the consideration received and the cost of the investment is recognised as a realised gain or loss. The cost is determined based on the first in, first out ("FIFO") cost method.
Operating expenses
Operating expenses are recognised on an accruals basis. Operating expenses include amounts directly or indirectly incurred by the Company as part of its operations.
Currency translation
Monetary assets and liabilities denominated in a currency other than U.S. Dollars are translated into U.S. Dollar equivalents using spot rates as at the reporting period end date. On initial recognition, a foreign currency transaction is recorded and translated at the spot exchange rate at the transaction date. Non-monetary assets and liabilities are translated at the historic exchange rate. There were no non-monetary assets held during the period. Transactions during the period, including purchases and sales of securities, income and expenses, are translated at the rate of exchange prevailing on the date of the transaction. The rates of exchange against U.S. Dollars at 30 June 2017 were 1.29895 USD: 1GBP and 1.14055 USD: 1EUR (31 December 2016: 1.23565 USD: 1GBP and 1.05475 USD: 1EUR).
Buybacks cost
Any costs incurred by a share buyback will be charged to that share class.
Re-Issuance of Shares cost
Any costs incurred by a re-issue of shares held in treasury will be charged to that share class.
NOTE 3 - AGREEMENTS AND RELATED PARTIES
Investment Management Agreement
The Board is responsible for managing the business affairs of the Company but delegated certain functions to the Investment Manager under the Investment Management Agreement ("the Agreement") dated 18 March 2011.
The Manager of the Company is Neuberger Berman Europe Limited (which is a related party), an indirectly wholly owned subsidiary of the NB Group. On 17 July 2014, the Company, the Manager and Neuberger Berman Investment Advisers LLC (which was the Sub Investment Manager) made certain classificatory amendments to the Agreement for the purposes of the AIFM Directive.
The Sub-Investment Management Agreement was terminated on 17 July 2014 and the Sub-Investment Manager was appointed as the AIFM per the amended and restated IMA dated 17 July 2014. The Manager, Neuberger Berman Europe Limited, was appointed under the same agreement. In accordance with the terms of the IMA, the Manager shall pay a fee to the AIFM out of the investment management fee received from the Company. The Company does not pay any fees to the AIFM.
The AIFM is responsible for risk management and the discretionary management of the assets held in the Company's portfolio and will conduct the day-to-day management of the Company's assets (including un-invested cash). The AIFM is not required to and generally will not submit individual investment decisions for approval by the Board. The Manager provides certain administrative services to the Company.
As per the IMA dated 17 July 2014, the Manager is entitled to a management fee, which shall accrue daily, and be payable quarterly in arrears, at the following rate per annum of the Company's NAV:
On first GBP1bn of the NAV 0.75% On GBP1bn - GBP2bn of the NAV 0.70% Any amount greater than GBP2bn of the NAV 0.65%
For the period ended 30 June 2017, the management fee expense was $4,797,345 (31 December 2016: $10,664,024), of which $2,434,729 (31 December 2016: $2,365,325) was unpaid at the period end.
The Manager is not entitled to a performance fee.
Administration, Custody and Company Secretary Agreement
Effective 1 March 2015, the Company entered into an Administration and Sub-Administrator agreement with U.S. Bancorp Fund Services (Guernsey) Limited ("Administrator") and Quintillion Limited ("Sub-Administrator"), both wholly owned subsidiaries of U.S. Bancorp. Under the terms of the agreement, Sub-Administration services are delegated to Quintillion Limited.
The Sub-Administrator is responsible, amongst other things, for the day-to-day administration of the Company (including but not limited to the calculation and publication of the estimated daily NAV).
The Administrator is entitled to an annual fee, accrued daily and paid monthly in arrears, in accordance with the schedule below and subject to an annual minimum of $75,000.
On first $250m of the NAV 0.05%
On $250m - $500m of the NAV 0.04%
On $500m - $1bn of the NAV 0.03%
Any amount greater than $1bn of the NAV 0.02%
For the period ended 30 June 2017, the administration fee was $265,562 (31 December 2016: $542,415) of which $43,889 (31 December 2016: $42,704) was unpaid at the period end.
Effective 14 June 2017, Carey Commercial Limited was appointed the Company Secretary in replacement of C.L. Secretaries Limited, a wholly owned subsidiary of Carey Commercial Limited. The Company Secretary is entitled to an annual fee of GBP78,300 plus out of pocket expenses.
For the period ended 30 June 2017, the secretarial fee was $66,808 (31 December 2016: $202,589), of which $8,618 related to administration of the re-issuance of U.S. Dollar Ordinary Shares, of which $19,632 (31 December 2016: prepaid of $6,020) was unpaid at the period-end.
Effective 1 March 2015, US Bank National Association ("Custodian") became the Custodian of the Company.
The Custodian is entitled to a fee of 0.025 per cent of the Market Value of the portfolio per annum, with a minimum annual fee of $25,000 in respect of portfolio and loan administration. For the period ended 30 June 2017, the custodian fee was $174,144 (31 December 2016: $416,006) of which $163,934 (31 December 2016: $262,470) was unpaid, all of which was due to US Bank National Association at the period end.
Registrar's Agreement
Capita Registrars (Guernsey) Limited has been appointed as registrar of the Company. The fee charged is at a rate of GBP2.00 per holder of shares appearing on the registry during the fee period, with a minimum charge per annum of GBP9,000. For the period ended 30 June 2017, the Registrars fees amounted to $54,395 (31 December 2016: $100,061). Of these, $8,304 (31 December 2016: $12,868) was unpaid at the period end.
NOTE 4 - RELATED PARTY TRANSACTIONS
Directors
The Directors are related parties and are remunerated for their services at a fee of GBP35,000 per annum (GBP45,000 for the Chairman). In addition, the Chairman of the Audit and Risk Committee receives an additional GBP5,000 for his services in this role. The Chairman of the Management Engagement Committee and the Chairman of the Remuneration Committee receive an additional GBP2,500 each per annum. The Directors' fee for the two Luxembourg subsidiaries, whose Directors are unrelated to the Guernsey Board members, amounts to EUR14,700 per annum per subsidiary. Of these, $17,400 were prepaid at the period end. For the period ended 30 June 2017, the Guernsey Directors' fees and travel expenses amounted to $120,423 (31 December 2016: $238,873). Of these, $ Nil were prepaid at the period end (31 December 2016: $ Nil). As at 30 June 2017, Mr Battey, Mrs Platts, Mr Dorey and Mr Frewen had 30,077, 10,069, 20,000 and 9,895 Sterling Ordinary Shares in the Company respectively (31 December 2016: Mr Battey, Mrs Platts, Mr Dorey and Mr Frewen 30,077,10,069, 20,000 and 9,895 Sterling Ordinary Shares in the Company respectively).
Neuberger Berman Europe Limited and Neuberger Berman Investment Advisers LLC
The contracts with Neuberger Berman Europe Limited and Neuberger Berman Investment Advisers LLC are classified as related party transactions. Other than fees payable in the ordinary course of business and the additional fees disclosed in Note 3, there have been no material transactions with related parties, which have affected the financial position or performance of the Company in the financial period.
NOTE 5 - FAIR VALUE OF FINANCIAL INSTRUMENTS
A financial instrument is defined by FASB ASC 825, Disclosures about Fair Value of Financial Instruments, as cash, evidence of an ownership interest in an entity, or a contract that creates a contractual obligation or right to deliver to or receive cash or another financial instrument from a second entity on potentially favourable terms. Fair value estimates are made at a discrete point in time, based on relevant market data, information about the financial instruments, and other factors.
Fair value was determined using available market information and appropriate valuation methodologies. Estimates of fair value of financial instruments without quoted market prices are subjective in nature and involve various assumptions and estimates that are matters of judgment. Accordingly, fair values are not necessarily indicative of the amounts realised on disposition of financial instruments. The use of different market assumptions and/or estimation methodologies may have a material effect on estimated fair value amounts.
The following estimates and assumptions were used at 30 June 2017 to estimate the fair value of each class of financial instruments:
- Valuation of financial investments - The loans and bonds are valued at bid price. The Investment Manager believes that bid price is the best estimate of fair value and is in line with the valuation policy adopted by the Company.
- Cash and cash equivalents - The net realisable value is a reasonable estimate of fair value due to the short-term nature of these instruments.
- Receivables for investments sold - The net realisable value reasonably approximates fair value as they reflect the value at which investments are sold to a willing buyer and settlement period on their balances is short term.
- Interest receivables - The net realisable value reasonably approximates fair value.
- Other receivables and prepayments - The net realisable value reasonably approximates fair value.
- Derivatives - The Company estimates fair values of derivatives based on the latest available forward exchange rates.
- Payables for investments purchased - The net realisable value reasonably approximates fair value as they reflect the value at which investments are purchased from a willing seller and settlement period on their balances is short term.
- Payables to the Investment Manager and affiliates - The net realisable value reasonably approximate fair value.
- Accrued expenses and other liabilities - The net realisable value reasonably approximates fair value.
A fair value hierarchy that prioritises the inputs to valuation techniques used to measure fair value is established under FASB ASC Topic 820. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to valuations based upon unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to valuations based upon unobservable inputs that are significant to the valuation (Level 3). The levels of the fair value hierarchy under FASB ASC Topic 820-10-35-39 to 55 are as below:
The guidance establishes three levels of the fair value hierarchy as follows:
Level 1: price quotations in active markets/exchanges for identical securities;
Level 2: other observable inputs (including but not limited to: quoted prices for similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs); and
Level 3: unobservable inputs based on the best information available in the circumstance, to the extent observable inputs are not available (including the Company's own assumption used in determining the fair value of investments).
The Company has adopted the authoritative guidance contained in FASB ASC 820-10, Fair Value Measurements and Disclosures, for estimating the fair value of the financial instruments that have calculated NAV per share in accordance with FASB ASC 946-10.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table details the Company's financial instruments that were accounted for at fair value as at 30 June 2017.
Financial Instruments at Fair Value as at 30 June 2017
----------------------------------------------------------------------------------------------------
Level Level 2 Level 3
Financial investments 1 ($) ($) ($) Total ($)
------------------------------- ----------- ------- -------------- ------------- --------------
Floating rate senior
secured loans - 1,177,904,805 49,049,334 1,226,954,139
------------------------------- ----------- ------- -------------- ------------- --------------
Fixed rate bonds/corporate
loans - 56,325,844 - 56,325,844
------------------------------- ----------- ------- -------------- ------------- --------------
Floating rate bonds/corporate
loans - 37,949,573 - 37,949,573
------------------------------- ----------- ------- -------------- ------------- --------------
Total financial investments - 1,272,180,222 49,049,334 1,321,229,556
------------------------------- ----------- ------- -------------- ------------- --------------
Level Level 2 Level 3
1 ($) ($) ($) Total ($)
------------------------------- ----------- ------- -------------- ------------- --------------
Balance at start of
the period - 1,204,755,476 52,130,747 1,256,886,223
------------------------------- ----------- ------- -------------- ------------- --------------
Purchases during the
period(5) - 866,838,270 12,741,929 879,580,199
------------------------------- ----------- ------- -------------- ------------- --------------
Sales during the period(5) - (801,206,821) (22,179,253) (823,386,074)
------------------------------- ----------- ------- -------------- ------------- --------------
Realised loss on investments - (826,998) 117,472 (709,526)
------------------------------- ----------- ------- -------------- ------------- --------------
Unrealised gain on
revaluation - 9,070,549 (211,815) 8,858,734
------------------------------- ----------- ------- -------------- ------------- --------------
Transfer from Level
2 to Level 3 - (28,796,357) 28,796,357 -
------------------------------- ----------- ------- -------------- ------------- --------------
Transfer from Level
3 to Level 2 - 22,346,103 (22,346,103) -
------------------------------- ----------- ------- -------------- ------------- --------------
Balance at end of
the year - 1,272,180,222 49,049,334 1,321,229,556
------------------------------- ----------- ------- -------------- ------------- --------------
(5) Included in this figure is $297,435,890 of non-cash transactions.
These arose due to the repricing and restructuring of certain
investments during the period. These have also been excluded
from the sales and purchases in the Unaudited Consolidated Statement
of Cash Flows table for the six months ended 30 June 2017.
----------------------------------------------------------------------------------------------------
Level Level 2 Level 3
1 ($) ($) ($) Total ($)
------------------------------- ----------- ------- -------------- ------------- --------------
No. of
Financial assets contracts
------------------------------- ----------- ------- -------------- ------------- --------------
Derivatives (for hedging
purposes only) 12 - 2,098,135 - 2,098,135
------------------------------- ----------- ------- -------------- ------------- --------------
Financial liabilities
------------------------------- ----------- ------- -------------- ------------- --------------
Derivatives (for hedging
purposes only) 12 - (961,634) - (961,634)
------------------------------- ----------- ------- -------------- ------------- --------------
Total 24 - 1,136,501 - 1,136,501
------------------------------- ----------- ------- -------------- ------------- --------------
Financial Instruments at Fair Value as at 31 December 2016
Level Level 2 Level
Financial investments 1 ($) ($) 3 ($) Total ($)
Floating rate senior
secured loans - 1,161,742,705 52,130,747 1,213,873,452
Fixed rate bonds/corporate
loans - 6,410,344 - 6,410,344
Floating rate bonds/corporate
loans - 36,602,427 - 36,602,427
Total financial investments - 1,204,755,476 52,130,747 1,256,886,223
Level Level 2 Level
1 ($) ($) 3 ($) Total ($)
Balance at start of
the year - 1,669,812,289 45,197,246 1,715,009,535
Purchases during the
year - 950,168,859 31,145,929 981,314,788
Sales during the year - (1,453,052,585) (31,714,401) (1,484,766,986)
Realised loss on investments - (46,603,485) (5,625,554) (52,229,039)
Unrealised gain on
revaluation - 86,491,473 11,066,452 97,557,925
Transfer from Level
2 to Level 3 - (54,881,616) 54,881,616 -
Transfer from Level
3 to Level 2 - 52,820,541 (52,820,541) -
Balance at end of
the year - 1,204,755,476 52,130,747 1,256,886,223
Level Level 2 Level
Financial assets No of contracts 1 ($) ($) 3 ($) Total ($)
Derivatives (for hedging
purposes only) 15 - 15,225,146 - 15,225,146
Financial liabilities
Derivatives (for hedging
purposes only) 15 - - - -
Total 30 - 15,225,146 - 15,225,146
The derivatives assets and liabilities are offset in accordance with the guidance in sections 210-20-45 and 815-10-45 to determine the net amounts presented in the Consolidated Statement of Assets and Liabilities. All derivative trades have an enforceable master netting agreement so the net amount based on this is the same as the net amount disclosed in the Consolidated Statement of Assets and Liabilities. As at 30 June 2017, there were two counterparties for the forward contracts (31 December 2016: two).
Due to changes in observable inputs, the Company transferred securities from Level 2 to Level 3 and from Level 3 to Level 2 of the fair value hierarchy. Level 3 assets are valued using single broker quotes.
The following table presents the impact of derivative instruments on the Unaudited Consolidated Statement of Operations in conformity with US GAAP.
For the period For the year
ended ended
30 June 2017 31 December 2016
Primary underlying risk ($) ($)
------------------------------------------ --------------- ------------------
Net realised gain/(loss) on derivatives 63,070,504 (288,288,255)
------------------------------------------ --------------- ------------------
Net change in unrealised (depreciation)/
appreciation on derivatives (14,088,645) 48,360,316
------------------------------------------ --------------- ------------------
Total 48,981,859 (239,927,939)
------------------------------------------ --------------- ------------------
Primary underlying risks (credit risk, liquidity risk and market risk) associated with the derivatives are explained in Note 6.
There is no collateral for forward contracts.
The Company presents the gain or loss on derivatives in the Unaudited Consolidated Statement of Operations.
The Company uses independent third party vendors to price its portfolio. As part of its valuation process, the AIFM evaluates the number of broker quotes that combine to make up the valuation provided by these vendors and if it believes that the number of broker quotes is not sufficient to ensure a Level 2 price it designates those positions Level 3. As at 30 June 2017 the AIFM designated 17 (31 December 2016: 16) of its floating rate senior secured loans at Level 3.
NOTE 6 - RISKS
The Company is subject to various risks, including, but not limited to, market risk, foreign exchange risk, credit risk, geographic concentration risk and liquidity risk. The Investment Manager attempts to monitor and manage these risks on an ongoing basis.
Market Risk
Market risk is the potential for changes in the value of investments. Market risk includes interest rate risk, foreign exchange risk and price risk. Interest rate risk primarily results from exposures to changes in the level, slope and curvature of the yield curve, the volatility of interest rates and credit spreads. Floating rate investments, such as senior secured loans, typically receive a fixed coupon, which is linked to a variable base rate, usually LIBOR or EURIBOR. As such, income earned will be affected by changes in the variable component albeit downward moves are likely to be capped by the LIBOR/EURIBOR floors that are prevalent in the majority of transactions. The Company invests predominantly in floating rate investments; however, it does have some exposure to fixed rate investments, which are subject to interest rate risk through movements in their market price when interest rates change.
Price Risk is the risk that the price of the security will fall. The Investment Manager manages the exposure to price risk by diversifying the portfolio.
Foreign Exchange Risk arises from various currency exposures, primarily with respect to Sterling and Euro investments and share issue proceeds. The Company makes use of hedging techniques, as part of its risk management strategy, including but not limited to the use of forward exchange contracts to mitigate its exposure to this risk. These instruments involve market risk, credit risk, or both kinds of risks. Risks arise from the possible inability of counterparties to meet the terms of their contracts and from movement in currency and interest rates.
Credit Risk
The Company maintains positions in a variety of securities, derivative financial instruments and cash and cash equivalents in accordance with its investment strategy and guidelines. The Company's trading activities expose the Company to counterparty credit risk from brokers, dealers and other financial institutions (collectively, "counterparties") with which it transacts business. "Counterparty credit risk" is the risk that a counterparty to a trade will fail to meet an obligation that it has entered into with the Company, resulting in a financial loss to the Company. The Company's policy with respect to counterparty credit risk is to minimize its exposure to counterparties with perceived higher risk of default by dealing only with counterparties that meet the credit standards set out by the Investment Manager.
All the Company's assets other than derivative financial instruments were held by the Custodian. The Custodian segregates the assets of the Company from the Custodian's assets and other Custodian clients. The Investment Manager believes the risk is low with respect to any losses as a result of this concentration. The Company conducts its trading activities with respect to non-derivative positions with a number of counterparties. Counterparty credit risk borne by these transactions is mitigated by trading with multiple counterparties.
In addition, the Company trades in over-the-counter ("OTC") derivative instruments. The Company is subject to counterparty credit risk related to the potential inability of counterparties to these derivative transactions to perform their obligations to the Company. The Company's exposure to counterparty credit risk associated with counterparty nonperformance is generally limited to the fair value (derivative assets and liabilities) of OTC derivatives reported as net assets, net of collateral received or paid, pursuant to agreements with each counterparty.
The Investment Manager attempts to reduce the counterparty credit risk of the Company by establishing certain credit terms in its ISDA Master Agreements (with netting terms) with counterparties, and through credit policies and monitoring procedures. Under ISDA Master Agreements in certain circumstances (e.g., when a credit event such as a default occurs) all outstanding transactions under the agreement are terminated, the termination value is assessed and only a single net amount is due or payable in settlement of all transactions. The Company receives and gives collateral in the form of cash and marketable securities and it is subject to the ISDA Master Agreement Credit Support Annex. This means that securities received/given as collateral can be pledged or sold during the term of the transaction. The terms also give each party the right to terminate the related transactions on the other party's failure to post collateral.
The Company may invest in a range of bank debt investments and corporate and other bonds. Until such investments are sold or are paid in full at maturity, the Company is exposed to issuer credit risk, relating to whether the issuer will make interest and/or principal payments on their debt obligations.
Geographic Concentration Risk
The Company may invest a relatively large percentage of its assets in issuers located in a single country, a small number of countries, or a particular geographic region. As a result, the Company's performance may be closely aligned with the market, currency or economic, political or regulatory conditions and developments in those countries or that region, and could be more volatile than the performance of more geographically diversified investments.
Liquidity Risk
Liquidity risk is the risk that the Company will not be able to meet its obligations as and when these fall due. Liquidity risk is managed by the Investment Manager to ensure that the Company maintains sufficient working capital in cash or near cash form so as to be able to meet the Company's ongoing requirements as they fall due.
Participation Commitments
With respect to the senior loans the Company may: 1) invest in assignments; 2) act as a participant in primary lending syndicates; or 3) invest in participations. If a Company purchases a participation of a senior loan interest, the Company would typically enter into a contractual agreement with the lender or other third party selling the participation, rather than directly with the borrower. As such, the Company not only assumes the credit risk of the borrower, but also that of the selling participant or other persons inter positioned between the Company and the borrower. As of 30 June 2017, there were no such outstanding participation commitments in the Company.
Other Risks
Legal, tax and regulatory changes could occur during the term of the Company that may adversely affect the Company. The regulatory environment for alternative investment companies is evolving, and changes in the regulation of investment companies may adversely affect the value of investments held by the Company or the ability of the Company to pursue its trading strategies. The effect of any future regulatory change on the Company could be substantial and adverse. The Board has considered the specific risks faced by the Company as a result of Brexit. At the portfolio level, the Board expects the impact of Brexit to be limited given the hedging arrangements in place and the robust investment process the Investment Manager has always adopted and its positioning in better rated, performing issuers. At the Company level the impact could be felt more directly through volatility of the Company's share price. The Board seeks to mitigate this risk by continuing to address any imbalances in supply and demand of the Company's shares through the use of further share buybacks in line with its stated policy.
NOTE 7 - INCOME TAXES
The Company is exempt from Guernsey tax on income derived from non-Guernsey sources. However, certain of its underlying investments may generate income that is subject to tax in other jurisdictions, principally in the United States. The Company files tax returns for its Luxembourg entities.
In accordance with US GAAP, management is required to determine whether a tax position of the Company is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The tax benefit to be recognised is measured as the largest amount of benefit that it has 50% or higher chance of being realised upon ultimate settlement. De-recognition of a tax benefit previously recognised could result in the Company recording a tax liability that would reduce net assets. This policy also provides guidance on thresholds, measurement, de-recognition, classification, interest and penalties, accounting in periods, disclosure, and transition that intends to provide better financial statement comparability among different entities.
As of 30 June 2017, the Company has recorded no liability for net unrecognised tax benefits relating to uncertain tax positions it has taken or expects to take in future tax returns (31 December 2016: Nil).
NOTE 8 - FINANCIAL HIGHLIGHTS
30 June 2017
Sterling
U.S. Dollar Ordinary Share
Ordinary Share as at
as at 30 June 30 June 2017
2017 ($) (GBP)
------------------------------------------
Per share operating performance
------------------------------------------ ----------------------------------
NAV per share at the beginning of the
period 0.9881 0.9787
------------------------------------------ ---------------- ----------------
Shareholder activity during the period 0.0012 -
------------------------------------------ ---------------- ----------------
Income from investment operations (a)
------------------------------------------ ---------------- ----------------
Net income per share for the period
(b) 0.0165 0.0167
------------------------------------------ ---------------- ----------------
Net realised and unrealised loss from
investments (0.0001) (0.0002)
------------------------------------------ ---------------- ----------------
Foreign currency translation - (0.0038)
------------------------------------------ ---------------- ----------------
Total gain from operations 0.0164 0.0127
------------------------------------------ ---------------- ----------------
Distribution per share during the period (0.0174) (0.0177)
------------------------------------------ ---------------- ----------------
NAV per share at the end of the period 0.9883 0.9737
------------------------------------------ ---------------- ----------------
Total return(6) (b)
------------------------------------------ ---------------- ----------------
Total return(6) 1.81% 1.27%
------------------------------------------ ---------------- ----------------
Ratios to average net assets (b)
------------------------------------------ ---------------- ----------------
Net investment income 1.67% 1.71%
------------------------------------------ ---------------- ----------------
Expenses (0.49%) (0.46%)
------------------------------------------ ---------------- ----------------
(a) Average shares outstanding were used for calculation.
(b) An individual shareholder's return may vary from these returns based on the timing of the shareholder's investments in the Company.
(6) The total return is the NAV return per share plus dividends paid during the period. This figure is for the period ended 30 June 2017.
31 December 2016
Sterling
U.S. Dollar Ordinary Share
Ordinary Share as at
as at 31 December 31 December 2016
2016 ($) (GBP)
----------------------------------- ------------------- ------------------
Per share operating performance
----------------------------------- ------------------- ------------------
NAV per share at the beginning of
the year 0.9490 0.9422
----------------------------------- ------------------- ------------------
Shareholder activity during the
year 0.0089 0.0094
----------------------------------- ------------------- ------------------
Income from investment operations
(a)
----------------------------------- ------------------- ------------------
Net income per share for the year
(b) 0.0376 0.0373
----------------------------------- ------------------- ------------------
Net realised and unrealised gain
from investments 0.0356 0.0357
----------------------------------- ------------------- ------------------
Foreign currency translation - (0.0034)
----------------------------------- ------------------- ------------------
Total gain from operations 0.0732 0.0696
----------------------------------- ------------------- ------------------
Distribution per share during the
year (0.0430) (0.0425)
----------------------------------- ------------------- ------------------
Net asset value per share at the
end of the year 0.9881 0.9787
----------------------------------- ------------------- ------------------
Total return(7) (b)
---------------------------------- -------- --------
Total return(7) 8.41% 8.17%
---------------------------------- -------- --------
Ratios to average net assets (b)
---------------------------------- -------- --------
Net investment income 3.91% 3.90%
---------------------------------- -------- --------
Expenses (0.93%) (0.95%)
---------------------------------- -------- --------
(a) Average shares outstanding were used for calculation.
(b) An individual shareholder's return may vary from these returns based on the timing of the shareholder's investments in the Company.
(7) The total return is the NAV return per share plus dividends paid during the year. This figure is for the year to 31 December 2016.
NOTE 9 - SHARE CAPITAL
The share capital of the Company consists of an unlimited number of Ordinary Shares of no par value, which upon issue the Directors may classify as:
(i) U.S. Dollar Ordinary Shares, Sterling Ordinary Shares or Euro Ordinary Shares or as shares of such other classes as the Directors may determine;
(ii) B Shares of such classes denominated in such currencies as the Directors may determine; and
(iii) C Shares of such classes denominated in such currencies as the Directors may determine.
The rights attached to the above shares are one vote in respect of each share held and, in the case of a general meeting of all shareholders:
(a) One vote in respect of each U.S. Dollar Ordinary Share held by the shareholder;
(b) 1.6 votes in respect of each Sterling Ordinary Share held by the shareholder; and
(c) In respect of a Share of a class denominated in any currency other than U.S. Dollars or Sterling held by the shareholder, such number of votes per Share of such class as shall be determined by the Directors in their absolute discretion upon the issue for the first time of shares of the relevant class.
The Directors may effect distributions of capital proceeds attributable to the Ordinary Shares to holders of Ordinary Shares by issuing B Shares of a particular class to holders of Ordinary Shares of a particular class pro-rata to their holding of Ordinary Shares of such class.
The B Shares are issued on terms that each B Share shall be compulsorily redeemed by the Company shortly following issue and the redemption proceeds paid to the holders of such B Shares on such terms and in such manner as the Directors may from time to time determine.
The Directors are authorised to issue C Shares of such classes (and denominated in such currencies) as they may determine in accordance with Article 4 and with C Shares of each such class being convertible into Ordinary Shares of such class as the Directors may determine at the time of issue of such C Shares.
The C Shares will not carry the right to attend and receive notice of any general meetings of the Company, nor will they carry the right to vote at such meetings.
The C Shares will be entitled to participate in a winding-up of the Company or on a return of capital in relation to the C share surplus as defined in the Prospectus.
The C Shares will be entitled to receive such dividends as the Directors may resolve to pay to such holders out of the assets attributable to such class of C Shares.
There were no Euro Ordinary Shares in issue as at 30 June 2017 (31 December 2016: none).
As at 30 June 2017, there were no C Shares in issue (31 December 2016: none).
From 1 January 2017 to 30 U.S. Dollar Sterling June 2017 Ordinary Shares Ordinary Shares Total ---------------------------------- ----------------- ----------------- -------------- Balance as at 1 January 2017 38,270,109 1,015,614,330 1,053,884,439 ---------------------------------- ----------------- ----------------- -------------- Monthly conversions(8) 4,486,391 (3,544,554) 941,837 ---------------------------------- ----------------- ----------------- -------------- Share issuance (out of Treasury) 1,630,000 - 1,630,000 ---------------------------------- ----------------- ----------------- -------------- Share buybacks - - - ---------------------------------- ----------------- ----------------- -------------- Balance as at 30 June 2017(9) 44,386,500 1,012,069,776 1,056,456,276 ---------------------------------- ----------------- ----------------- -------------- From 1 January 2016 to 31 U.S. Dollar Sterling December 2016 Ordinary Shares Ordinary Shares Total --------------------------- ----------------- ----------------- -------------- Balance as at 1 January 2016 52,380,402 1,199,095,966 1,251,476,368 --------------------------- ----------------- ----------------- -------------- Monthly conversions(8) (8,444,322) 4,357,949 (4,086,373) --------------------------- ----------------- ----------------- -------------- Share buybacks (5,665,971) (187,839,585) (193,505,556) --------------------------- ----------------- ----------------- -------------- Balance as at 31 December 2016(9) 38,270,109 1,015,614,330 1,053,884,439 --------------------------- ----------------- ----------------- --------------
(8) The Company offers a monthly conversion facility pursuant to which shareholders may elect to convert some or all of their shares of a class into shares of any other class.
(9) Balance of issued shares (less Treasury shares) used to calculate NAV.
Treasury Shares
As at 30 June 2017, the Company held the following shares in treasury.
31 December
30 June 2017 2016
Sterling Ordinary Treasury
Shares(10) 75,000,000 75,000,000
U.S. Dollar Ordinary
Treasury Shares(10) 1,342,627 2,972,627
(10) The Company has an approved share buyback programme and may elect to buyback ordinary shares at certain times during the period for either cancellation or to be held as Treasury shares. During the period, the Company has not repurchased any shares to be held in Treasury or for cancellation.
The Company has issued 1,630,000 USD Dollar Ordinary Shares out of Treasury during the period.
NOTE 10 - SUBSEQUENT EVENTS
Since the period ended 30 June 2017 and up the last practicable date prior to publishing, the Company has repurchased 6,175,954 Sterling Ordinary Shares and 334,649 US Dollar Ordinary Shares for cancellation.
There were no other subsequent events in the period ended 30 June 2017.
NOTE 11 - DIVIDS
The following dividends were declared for shareholders of Ordinary and C Shares since inception:
Dividend
per U.S. Dividend
Dollar per Sterling
Period Date Declared Payment Date Share Share
--------------------------- -------------- ------------- ---------- --------------
Period 20 April 2011 12 October 9 December
to 30 September 2011 2011 2011 $0.01486 GBP0.01486
--------------------------- -------------- ------------- ---------- --------------
Quarter ended 31 December 5 January 24 February
2011 2012 2012 $0.01187 GBP0.01187
--------------------------- -------------- ------------- ---------- --------------
Quarter ended 31 December 5 January 24 February
2011- C Shares 2012 2012 $0.00323 GBP0.00323
--------------------------- -------------- ------------- ---------- --------------
Quarter ended 31 March 12 April
2012 2012 25 May 2012 $0.01260 GBP0.01260
--------------------------- -------------- ------------- ---------- --------------
Quarter ended 30 June 24 August
2012 5 July 2012 2012 $0.01310 GBP0.01310
--------------------------- -------------- ------------- ---------- --------------
Quarter ended 30 September 3 October 23 November
2012 2012 2012 $0.01210 GBP0.01210
--------------------------- -------------- ------------- ---------- --------------
Quarter ended 31 December 9 January 22 February
2012 2013 2013 $0.01160 GBP0.01160
--------------------------- -------------- ------------- ---------- --------------
Quarter ended 31 March 8 April
2013 2013 24 May 2013 $0.01220 GBP0.01220
--------------------------- -------------- ------------- ---------- --------------
Quarter ended 30 June 16 August
2013 4 July 2013 2013 $0.01110 GBP0.01110
--------------------------- -------------- ------------- ---------- --------------
Quarter ended 30 June
2013 - C Shares 4 July 2013 26 July 2013 - GBP0.00550
--------------------------- -------------- ------------- ---------- --------------
Quarter ended 30 September 7 October 22 November
2013 2013 2013 $0.00890 GBP0.00890
--------------------------- -------------- ------------- ---------- --------------
Quarter ended 31 December 6 January 21 February
2013 2014 2014 $0.00940 GBP0.00940
--------------------------- -------------- ------------- ---------- --------------
Quarter ended 31 December 6 January 7 February
2013 - C Shares 2014 2014 - GBP0.00200
--------------------------- -------------- ------------- ---------- --------------
Quarter ended 31 March 4 April
2014 2014 27 May 2014 $0.00860 GBP0.00860
--------------------------- -------------- ------------- ---------- --------------
Quarter ended 30 June 15 August
2014 3 July 2014 2014 $0.00890 GBP0.00890
--------------------------- -------------- ------------- ---------- --------------
Quarter ended 30 September 3 October 21 November
2014 2014 2014 $0.00950 GBP0.00950
--------------------------- -------------- ------------- ---------- --------------
Quarter ended 31 December 7 January 20 February
2014 2015 2015 $0.00960 GBP0.00960
--------------------------- -------------- ------------- ---------- --------------
Quarter ended 31 March 7 April
2015 2015 26 May 2015 $0.00890 GBP0.00890
--------------------------- -------------- ------------- ---------- --------------
Quarter ended 30 June 15 August
2015 3 July 2015 2015 $0.01030 GBP0.01030
--------------------------- -------------- ------------- ---------- --------------
Quarter ended 30 September 5 October 23 October
2015 2015 2015 $0.00910 GBP0.00910
--------------------------- -------------- ------------- ---------- --------------
Quarter ended 31 December 6 January 19 February
2015 2016 2016 $0.00990 GBP0.00990
--------------------------- -------------- ------------- ---------- --------------
Quarter ended 31 March 5 April 2016 2016 25 May 2016 $0.01030 GBP0.01030 --------------------------- -------------- ------------- ---------- -------------- Quarter ended 30 June 19 August 2016 6 July 2016 2016 $0.01080 GBP0.01080 --------------------------- -------------- ------------- ---------- -------------- Quarter ended 30 September 05 October 17 November 2016 2016 2016 $0.01100 GBP0.01090 --------------------------- -------------- ------------- ---------- -------------- Quarter ended 31 December 05 January 17 February 2016 2017 2017 $0.00860 GBP0.00850 --------------------------- -------------- ------------- ---------- -------------- Quarter ended 31 March 05 April 2017 2017 23 May 2017 $0.00910 GBP0.00900 --------------------------- -------------- ------------- ---------- -------------- Quarter ended 30 June 05 July 18 August 2017 2017 2017 $0.00860 GBP0.00840 --------------------------- -------------- ------------- ---------- --------------
The Company has issued the following Ordinary Shares under Scrip Dividend Alternative since inception:
Number of Number of Rate per Rate per
U.S. Dollar Sterling U.S. Dollar Sterling
Ordinary Ordinary Ordinary Ordinary
Period Shares Shares Share Share
---------------------------- ------------- ---------- ------------- -----------
Quarter ended 30 September
2011 91,565 710,833 $0.95880 GBP0.96320
---------------------------- ------------- ---------- ------------- -----------
Quarter ended 31 December
2011 68,398 592,380 $0.95300 GBP0.95760
---------------------------- ------------- ---------- ------------- -----------
Quarter ended 31 March
2012 84,444 14,653 $0.99300 GBP1.00020
---------------------------- ------------- ---------- ------------- -----------
Quarter ended 30 June
2012 97,572 792,651 $0.97840 GBP0.97160
---------------------------- ------------- ---------- ------------- -----------
Quarter ended 30 September
2012 91,479 567,376 $1.00400 GBP0.99030
---------------------------- ------------- ---------- ------------- -----------
Quarter ended 31 December
2012 29,500 821,100 $1.02000 GBP1.00650
---------------------------- ------------- ---------- ------------- -----------
Quarter ended 31 March
2013 69,213 38,805 $1.05700 GBP1.05080
---------------------------- ------------- ---------- ------------- -----------
Quarter ended 30 June
2013 28,237 221,317 $1.06700 GBP1.03880
---------------------------- ------------- ---------- ------------- -----------
Quarter ended 30 September
2013 58,190 365,543 $1.03870 GBP1.03360
---------------------------- ------------- ---------- ------------- -----------
Quarter ended 31 December
2013 67,590 217,354 $1.06900 GBP1.04880
---------------------------- ------------- ---------- ------------- -----------
Quarter ended 31 March
2014 67,228 668,002 $1.03950 GBP0.99010
---------------------------- ------------- ---------- ------------- -----------
Quarter ended 30 June
2014 27,941 341,872 $1.00280 GBP0.99390
---------------------------- ------------- ---------- ------------- -----------
Quarter ended 30 September
2014 28,942 233,785 $0.98230 GBP0.97500
---------------------------- ------------- ---------- ------------- -----------
Quarter ended 31 December
2014 30,277 181,999 $0.99520 GBP0.97040
---------------------------- ------------- ---------- ------------- -----------
Quarter ended 31 March
2015 23,310 202,637 $0.99600 GBP0.98790
---------------------------- ------------- ---------- ------------- -----------
Quarter ended 30 June
2015 6,507 609,773 $0.98890 GBP0.98110
---------------------------- ------------- ---------- ------------- -----------
Quarter ended 30 September
2015 5,231 50,620 $0.96770 GBP0.96010
---------------------------- ------------- ---------- ------------- -----------
The Board decided to replace the Scrip Dividend option with a Dividend Re-investment Plan, whereby the shareholders have the option to re-invest their cash dividend in the Company's shares on an efficient basis.
NOTE 12 - OTHER
The Company has determined that no accrual or loss contingency is required in the consolidated financial statements.
Additional Information
Contact details
Directors Registered Office
William Frewen (Chairman) 1(st) & 2(nd) Floors, Elizabeth
Sandra Platts House
Richard Battey Les Ruettes Brayes
Rupert Dorey St Peter Port
Guernsey
All c/o the Company's registered GY1 1EW
office.
---------------------------------------- -------------------------------------
Alternative Investment Fund Manager Manager
Neuberger Berman Investment Advisers Neuberger Berman Europe Limited
LLC 4(th) Floor, 57 Berkeley Square
190 S LaSalle Street London
Chicago United Kingdom
IL 60603 W1J 6ER
United States of America
---------------------------------------- -------------------------------------
Designated Administrator Sub-Administrator
U.S. Bancorp Fund Services (Guernsey), Quintillion
Limited 24/26 City Quay
1(st) Floor Dublin
Tudor House Ireland
Le Bordage
St Peter Port
Guernsey
GY1 1DB
---------------------------------------- -------------------------------------
Custodian and Principal Bankers Company Secretary
US Bank National Association Carey Commercial Limited
214 North Tryon Street (Formerly C.L. Secretaries Limited)
26(th) Floor, Charlotte 1(st) & 2(nd) Floors, Elizabeth
North Carolina 28202 House
United States of America Les Ruettes Brayes
St Peter Port
Guernsey
GY1 1EW
---------------------------------------- -------------------------------------
Joint Financial Adviser and Joint Joint Financial Adviser and Joint
Corporate Broker Corporate Broker
Stifel Nicolaus Europe Limited Fidante Capital
150 Cheapside 1 Tudor Street
London London
United Kingdom United Kingdom
EC2V 6ET EC4Y 0AH
---------------------------------------- -------------------------------------
Solicitors to the Company (as Advocates to the Company (as
to English law and U.S. securities to Guernsey law)
law)
Carey Olsen
Herbert Smith Freehills LLP PO Box 98
Exchange House Carey House
Primrose Street Les Banques
London St. Peter Port
United Kingdom Guernsey
EC2A 2EG GY1 4BZ
---------------------------------------- -------------------------------------
Independent Auditors Registrar
PricewaterhouseCoopers CI LLP Capita Registrars (Guernsey)
Royal Bank Place Limited
1 Glategny Esplanade Mont Crevelt House
St. Peter Port Bulwer Avenue
Guernsey St. Sampson
GY1 4ND Guernsey
GY2 4LH
---------------------------------------- -------------------------------------
This information is provided by RNS
The company news service from the London Stock Exchange
END
IR BLGDIRSBBGRL
(END) Dow Jones Newswires
August 17, 2017 02:00 ET (06:00 GMT)
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