FEROX FUND LIMITED - Channel Islands Securities Exchange

Transcription

SECURIS NON-LIFE FUND
AUDITED FINANCIAL STATEMENTS
FOR THE YEAR ENDED
31 DECEMBER 2014
(A Cayman Islands Exempted Investment Feeder Fund)
AUDITED FINANCIAL STATEMENTS
For the year ended 31 December 2014
TABLE OF CONTENTS
PAGE
FUND INFORMATION
3
INVESTMENT MANAGER’S REPORT
4
REPORT OF INDEPENDENT AUDITORS
5-6
STATEMENT OF ASSETS AND LIABILITIES
7
STATEMENT OF OPERATIONS
8
STATEMENT OF CHANGES IN NET ASSETS
9
STATEMENT OF CASH FLOWS
10
NOTES TO THE FINANCIAL STATEMENTS
11 - 16
2
FUND INFORMATION
DIRECTORS
Richard Boléat
George Loraine
Paul Everitt
Mads Jensen
REGISTERED OFFICE
P.O. Box 309GT
Ugland House
South Church Street
George Town
Grand Cayman, KY1-1104
Cayman Islands
ADMINISTRATOR AND
TRANSFER AGENT
Citibank Europe plc
1 North Wall Quay
Dublin 1
Ireland
INVESTMENT MANAGER
Securis Investment Partners LLP
12th Floor
110 Bishopsgate
London, EC2N 4AY
England
MANAGER
Securis Investment Partners Limited
P.O. Box 309GT
Ugland House
South Church Street
George Town
Cayman Islands
LEGAL ADVISORS
(as to Cayman Islands law)
Maples & Calder
11th Floor
200 Aldersgate Street
London, EC1A 4HD
England
LEGAL ADVISORS
(as to English and US law)
Schulte Roth & Zabel International LLP
One Eagle Place
London, SW1Y 6AF
England
AUDITORS
Ernst & Young Ltd.
62 Forum Lane
Suite 6401 Camana Bay
Cayman Islands
LISTING SPONSOR
Capita Financial Administrators (Jersey) Limited
12 Castle Street
St Helier
Jersey, JE2 3RT
Channel Islands
3
INVESTMENT MANAGER’S REPORT
The Securis Non-Life Fund was up +4.12% in 2014, and the annualised return since inception is +5.15%.
While the 2014 result is slightly below target, we feel this is a decent outcome – having regard to the ongoing
spread compression that has taken place in the catastrophe bond market, and our desire to position the fund as
much as possible away from risk. We were especially busy in December 2014 with the annual renewal of the
private non-life book.
While the market remains competitive – given another light year in terms of global catastrophe losses, coupled
with continued capital inflows into the ILS space – we are pleased with the way the renewal has gone as far as
Securis is concerned. We have seen more transactions to consider than in previous years due to the ongoing
expansion of our origination team, and as a result we have been able to be highly selective in terms of
transactions bound.
Securis Investment Partners LLP
12th Floor
110 Bishopsgate
London, EC2N 4AY
England
4
Ernst & Young Ltd.
62 Forum Lane
Camana Bay
P.O. Box 510
Grand Cayman KY1-1106
CAYMAN ISLANDS
Main tel: +1 345 949 8444
Fax: +1 345 949 8529
ey.com
Report of Independent Auditors
The Board of Directors
Securis Non-Life Fund
We have audited the accompanying financial statements of Securis Non-Life Fund (the “Fund”),
which comprise the statement of assets and liabilities as of 31 December 2014, and the related
statements of operations, changes in net assets and cash flows for the year then ended, and the
related notes to the financial statements.
Management’s Responsibility for the Financial Statements
Management is responsible for the preparation and fair presentation of these financial statements
in conformity with U.S. generally accepted accounting principles; this includes the design,
implementation and maintenance of internal control relevant to the preparation and fair
presentation of financial statements that are free of material misstatement, whether due to fraud
or error.
Auditor’s Responsibility
Our responsibility is to express an opinion on these financial statements based on our audit. We
conducted our audit in accordance with auditing standards generally accepted in the United
States. Those standards require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement.
An audit involves performing procedures to obtain audit evidence about the amounts and
disclosures in the financial statements. The procedures selected depend on the auditor’s
judgment, including the assessment of the risks of material misstatement of the financial
statements, whether due to fraud or error. In making those risk assessments, the auditor considers
internal control relevant to the entity’s preparation and fair presentation of the financial
statements in order to design audit procedures that are appropriate in the circumstances, but not
for the purpose of expressing an opinion on the effectiveness of the entity’s internal control.
Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness
of accounting policies used and the reasonableness of significant accounting estimates made by
management, as well as evaluating the overall presentation of the financial statements.
5
A member firm of Ernst & Young Global Limited
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a
basis for our audit opinion.
Opinion
In our opinion, the financial statements referred to above present fairly, in all material respects,
the financial position of Securis Non-Life Fund at 31 December 2014, and the results of its
operations, changes in its net assets and its cash flows for the year then ended in conformity with
U.S. generally accepted accounting principles.
27 April 2015
6
A member firm of Ernst & Young Global Limited
STATEMENT OF OPERATIONS
Note
2014
USD
Net investment income allocated from Securis Non-Life Master Fund
Interest income
Other income
Interest expense
Other expenses
18,426,050
25,948
(210,440)
(1,665,516)
Net investment income from Securis Non-Life Master Fund
16,576,042
Fund expenses
Management fees
Interest expense
Other expenses
Net expenses
Net investment income
Net realised gain and change in unrealised appreciation on investments,
derivatives and foreign currency allocated from Securis Non-Life Master Fund
Net realised gain on investments, derivatives and foreign currency
Net change in unrealised appreciation on investments, derivatives and foreign
currency
Net realised gain and change in unrealised appreciation on investments,
derivatives and foreign currency allocated from Securis Non-Life Master Fund
Net increase in net assets resulting from operations
3
2
3,437,860
446
1,939
3,440,245
13,135,797
2,631,131
3,836,331
6,467,462
19,603,259
The accompanying notes on pages 11 to 16 and the attached financial statements of the Securis Non-Life
Master Fund form an integral part of these financial statements
8
STATEMENT OF CHANGES IN NET ASSETS
2014
USD
Increase in net assets resulting from operations
Net realised gain on investments, derivatives and foreign currency
Net change in unrealised appreciation on investments, derivatives and foreign currency
13,135,797
2,631,131
3,836,331
19,603,259
Increase in net assets resulting from capital transactions
Subscriptions for shares - Class A USD Shares
Subscriptions for shares - Class T1 USD Shares*
Subscriptions for shares - Class T2 USD Shares**
Subscriptions for shares - Class T2 GBP Shares
Redemptions for shares - Class A USD Shares***
15,400,000
158,401,129
356,436,658
50,320,500
(433,089,036)
Increase in net assets resulting from capital transactions
147,469,251
Increase in net assets
167,072,510
Net assets at the beginning of year
445,874,574
Net assets at the end of year
612,947,084
Share Class switch out
*** 3,952,238.27 Class A USD shares were switched out into Class T1 USD and Class T2 USD with a value
of USD433,089,036.
Share Class switch ins
* 1,268,158.60 Class T1 USD shares were switched in from Class A USD shares with a value of
USD126,815,860.
** 3,062,731.76 Class T2 USD shares were switched in from Class A USD shares with a value of
USD306,273,176.
9
STATEMENT OF CASH FLOWS
2014
USD
Cash flow from operating activities
Adjustments to reconcile net increase in net assets resulting from operations to net cash
used in operating activities
Receivable from Securis Non-Life Master Fund
Investments in Securis Non-Life Master Fund
Other receivables
Management fee payable
(32,361)
(167,072,426)
(84)
32,011
Net cash used in operating activities
(147,469,601)
Cash flows from financing activities
Proceeds from subscriptions of shares*
Subscriptions received in advance
Payments for redemptions of shares**
580,558,287
37,000,000
(433,089,036)
Net cash provided by financing activities
Net increase in cash
Cash at beginning of year
Cash at end of year
19,603,259
184,469,251
36,999,650
4,387
37,004,037
Supplementary Information:
Interest paid
446
**Share Class switch out
3,952,238.27 Class A USD shares were switched out into Class T1 USD and Class T2 USD with a value of
USD433,089,036.
*Share Class switch ins
1,268,158.60 Class T1 USD shares were switched in from Class A USD shares with a value of
USD126,815,860.
USD306,273,176.
10
1.
GENERAL INFORMATION
Securis Non-Life Fund (the "Fund") is a Cayman Islands exempted company incorporated on 21 June
2012 and registered under the Cayman Islands Mutual Funds Law. The financial statements of Securis
Non-Life Master Fund (the “Master Fund”), including the schedule of investments, are annexed to this
report and should be read in conjunction with the Fund’s financial statements. The percentage of the
Master Fund owned by the Fund at 31 December 2014 was 100% in a master-feeder structure. The
Fund invests all of its investable assets through a "master-feeder" fund structure in Securis Non-Life
Master Fund, an open-end management investment company having the same investment objectives as
the Fund.
The Class A USD and Class A GBP shares are listed on the Channel Islands Securities Exchange.
The Fund was registered with Cayman Islands Monetary Authority pursuant to The Mutual Funds Law
(Revised) of the Cayman Islands on 11 September 2012. Securis Investment Partners LLP (the
“Investment Manager”) registered with the Securities and Exchange Commission on 16 November
2012. The Fund is an investment company following the accounting and reporting guidance in ASC
946.
The Investment Manager registered as an Alternative Investment Fund Manager (“AIFM”) under
Alternative Investment Fund Manager Directive (“AIFMD”) as at 31 July 2014. Securis Investment
Partners Limited (the “Manager”) is a Cayman Islands exempted company incorporated on 18 July
2005.
2.
SIGNIFICANT ACCOUNTING POLICIES
The financial statements have been prepared in accordance with United States of America generally
accepted accounting principles (“US GAAP”) and are stated in United States Dollars (“USD”), which
is the Fund’s functional currency.
The preparation of financial statements in conformity with US GAAP, requires the Directors to make
estimates and assumptions that affect the amounts reported in the financial statements and
accompanying notes. The Directors believe that the estimates utilised in preparing its financial
statements are reasonable and prudent. Actual results could differ from these estimates.
The accounting policies are consistent with those of the previous financial year. The following is a
summary of the significant accounting policies:
(a)
Investment transactions and valuation
The Fund records the proportion of net assets of the Master Fund attributable to the Fund at fair value.
Valuation of securities held by the Master Fund are discussed in the notes of the Master Fund’s
financial statements which are appended to this report and form an integral part of these financial
statements.
(b)
Realised and unrealised gains and losses on investments
The Fund records its proportionate share of the Master Fund’s income, expenses, realised and
unrealised gains/(losses). In addition the Fund accrues its own expenses.
(c)
Cash
Cash represents cash on hand and demand deposits. Cash is held with Citibank N.A. (the Custodian).
The attached financial statements of the Securis Non-Life Master Fund
form an integral part of these financial statements
11
For the year ended 31 December 2014 (continued)
2.
SIGNIFICANT ACCOUNTING POLICIES (continued)
(d)
Currency translation
The functional currency of the Fund is USD. Assets and liabilities denominated in a currency other
than USD are calculated by translating their value expressed in that currency into USD at the exchange
rate prevailing at the close of business at the Statement of Assets and Liabilities date. Transactions
during the year are translated at the rate of exchange prevailing on the date of the transaction. Foreign
currency translation gains and losses are included in the Statement of Operations.
The Master Fund does not isolate that portion of the results of operations resulting from changes in
foreign exchange rates on investments from fluctuations arising from changes in the market prices of
securities. Such fluctuations are included in the net realised and unrealised gain/(loss) from
investments and foreign currency account in the Statement of Operations.
(e)
Interest income and expense
Interest income and expense is recognised on the accrual basis.
(f)
Allocation of income and losses
All net investment income or loss, and realised and changes in unrealised gains or losses of the Master
Fund are allocated to the Fund in proportion to its interest in the net assets of the Master Fund on a
monthly basis. Investment transactions are recorded on a trade-date basis.
All net investment income or loss, and realised and changes in unrealised gains or losses of the Fund
are allocated to each class and series of shares outstanding on a monthly basis in proportion to its
interest in the Net Asset Value of the Fund.
(g)
Expenses
Expenses are charged to the Statement of Operations except for expenses incurred on the acquisition of
an investment, which are included within the cost of that investment. Expenses arising on the disposal
of an investment are deducted from the disposal proceeds. Expenses are recognised on the accruals
basis.
(h)
Taxation
The Fund complies with ASC740, “Income Taxes”. The Directors have determined that their
evaluation of the Standard has resulted in no impact to the Fund’s financial statements as at 31
December 2014. The Fund recognises the tax benefits of uncertain tax positions only where the
positions are “more likely than not” to be sustained assuming examination by the relevant tax
authorities. The Directors have analysed the Fund’s tax position, and have concluded that no liability
should be recorded related to uncertain tax positions for open tax years since inception (2012-2014)
and for the tax year ended 31 December 2014. The Fund recognises interest and penalties, if any,
related to unrecognised tax benefits as an income tax expense in the Statement of Operations. During
the year ended 31 December 2014, the Directors do not incur any interest or penalties. The Directors
are not aware of any tax positions for which it is reasonably possible that total amounts of recognised
tax benefits will change materially in the next twelve months.
The Fund is exempt from all forms of taxation in the Cayman Islands, including income, capital gains
and withholding taxes. In jurisdictions other than the Cayman Islands, in some cases foreign taxes are
withheld at source on dividends and interest received by the Fund. Capital gains derived by the Fund in
such jurisdictions are generally exempt from foreign income or withholding taxes at source.
(i)
Subscriptions received in advance
Subscriptions received in advance are amounts for subscriptions that have been received but not yet
invested at year end.
12
3.
MANAGEMENT FEES
Pursuant to the Management Agreement, the Fund pays the Manager the Management fees payable
monthly as of the last day of each month.
With respect to each Class A Share, equal to 0.0625% (0.75% per annum) of the Net Asset Value of
the Class A Shares as of the end of such month.
With respect to each series of T1 Shares, equal to 0.050% (0.60% per annum) where the Aggregate
Investment in the Fund is less than USD200 million; equal to 0.0433% (0.52% per annum) where the
Aggregate Investment in the Fund is equal to or greater than USD200 million and equal to or less than
USD500 million; and equal to 0.0416% (0.50% per annum) where the Aggregate Investment in the
Fund is greater than USD500 million, as of the end of such month.
With respect to each series of T2 Shares, equal to 0.0625% (0.75% per annum) where the Aggregate
Investment in the Fund is less than USD200 million; equal to 0.0542% (0.65% per annum) where the
Aggregate Investment in the Fund is equal to or greater than USD200 million and equal to or less than
USD500 million; equal to 0.050% (0.60% per annum) where the Aggregate Investment in the Fund is
equal to or greater than USD500 million and equal to or less than USD1000 million; and equal to
0.0416% (0.50% per annum) where the Aggregate Investment in the Fund is greater than USD1000
million, as of the end of such month.
The Management fees are calculated and paid in arrears. Payment of the Management fees are made
within 10 days of the last day of each month, or as soon as reasonably practicable thereafter. The
Management Shares will be subject to no or a reduced Management fee. The Manager shares the
Management fees with the Investment Manager. No management fees were charged on the
Management Shares during the year.
Each of the Manager or the Investment Manager may, at its sole discretion, rebate fees to certain
strategic shareholders and any such rebate may be used to subscribe for additional shares.
Total Management fees for the year amounted to USD3,437,860 and the Management fees payable at
31 December 2014 are USD297,150. Management fees rebates of USD68,078 and USD163,482 were
accounted for during the year on Class T1 USD and Class T2 USD, respectively.
No incentive fees are chargeable to the Fund.
4.
SHARE CAPITAL
The Fund has an authorised share capital of USD50,000 divided into 10 Founder Shares par value
USD0.001 per share and 49,999,990 ordinary shares par value USD0.001 per share. The Fund
currently has the following share classes in operation, A Shares, T1 Shares, T2 Shares and
Management Shares each of which can be denominated in US Dollars, Australian Dollars, Euros,
Norwegian Krone, Sterling, Swiss Francs, and Yen. A Shares, T1 Shares, T2 Shares and Management
Shares are entitled to the same rights and privileges and are subject to the same terms and conditions in
all respects except with respect to the fee payable to the Manager. The Fund may also issue DI Shares
as described in the Offering Memorandum under "Investment Program – Designated Investments". No
such shares were issued at year end.
Shares may be subscribed on a monthly basis.
Shares may generally be redeemed at the option of the shareholder on a half yearly basis as of each
redemption day, Class DI shares are not redeemable at the option of the shareholder.
13
4.
SHARE CAPITAL (continued)
The Founder Shares confer upon the holder rights to a return of paid up capital on a winding up or
repayment of capital. The Founder Shares confer no other right to participate in the profits or assets of
the Fund. The holder of the Founder Shares has the right to change the name of the Fund, to appoint or
remove any Director, to wind-up the Fund, to make amendments to the authorised share capital, to
vary rights attached to the Founder shares and to make amendments to the Memorandum or Articles.
The Founder Shares are held by the Manager.
Transactions in ordinary shares for the year ended 31 December 2014 were as follows, the amounts
shown below are in the Fund’s functional currency (USD).
Number of
Number of
shares
shares
outstanding
Value of
outstanding
31 December
Shares
Shares
Shares Value of Shares 31 December
2013
subscribed
subscribed
redeemed
redeemed
2014
4,110,959.19
140,762.70
15,400,000 (3,952,238.27)*** (433,089,036)***
299,483.62
8,000.00
8,000.00
5,000.00
5,000.00
- 1,584,249.94
- 1,584,249.94* 158,401,129*
- 3,565,638.31
- 3,565,638.31** 356,436,658**
300,000.00
300,000.00
50,320,500
Class A USD Shares
Class A GBP Shares
Class USD Management Shares
Class T1 USD Shares
Class T2 USD Shares
Class T2 GBP Shares
*
USD126,815,860.
** 3,062,731.76 Class T2 USD shares were switched in from Class A USD shares with a value of
USD306,273,176.
*** 3,952,238.27 Class A USD shares were switched out into Class T1 USD and Class T2 USD with
a value of USD433,089,036.
5.
FINANCIAL HIGHLIGHTS
The following represents the per share operating performance of the Fund, ratios to average net costs
and total return information for the year ended 31 December 2014.
Class A
USD
Per share operating performance:
Beginning Net Asset Value / upon issuance
Income from investment operations:
Net realised and unrealised gain from securities
transactions allocated from the Master
Class A Class T1* Class T2* Class T2*
USD
USD
GBP
GBP
107.98
108.20
100.00
100.00
100.00
1.78
2.67
3.16
1.64
1.25
1.53
1.17
1.53
0.98
2.19
Ending Net Asset Value
112.43
113.00
102.78
102.70
103.17
Total return
4.12%
4.44%
2.78%
2.70%
3.17%
(0.99)%
(0.99)%
(0.99)%
(0.99)%
(0.99)%
2.45%
2.45%
2.45%
2.45%
6.49%
Ratios to average net assets:
Total expenses
14
5.
FINANCIAL HIGHLIGHTS (continued)
*Expense and net investment income ratios have been annualised for share classes newly launched
during the year. Total return as computed is not annualised.
The financial highlights are calculated for the lead share class taken as a whole. An individual
shareholder’s financial highlights may vary from the above based on the timing of capital transactions
and individual fee arrangements.
6.
RELATED PARTY TRANSACTIONS
The Directors are individually entitled to receive from the Fund a fee of USD5,000 per annum. This is
paid by the Master Fund. Refer to Master Fund Note 12 for a breakdown of figures. As per Note 3, the
Fund pays a Management fees to the Manager.
Mr Espen Nordhus and Mr Rob Proctor are both Directors of the Manager and Managing Partners of
the Investment Manager. As at 31 December 2014, Mr Nordhus held 2,500.00 Class USD
Management Shares and Mr Proctor held 2,500.00 Class USD Management Shares of the Fund.
7.
INDEMNIFICATION
The Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum
exposures under these arrangements is unknown. However, the Fund has not had prior claims or losses
pursuant to these contracts and considers the risk of loss to be remote.
8.
AMENDMENTS TO EXISTING STANDARDS EFFECTIVE 1 JANUARY 2014
On 7 June 2013, FASB issued ASU 2013-08 that affects the scope, measurement, and disclosure
requirements for investment companies under US GAAP. It sets forth a new approach for determining
whether an entity is an investment company. It requires an investment company to measure noncontrolling ownership interests in other investment companies at fair value rather than using the equity
method of accounting. It also requires the additional disclosures: (a) the fact that the entity is an
investment company and is applying the guidance in ASC 946, (b) information about changes, if any,
in an entity’s status as an investment company, and (c) information about financial support provided or
contractually required to be provided by an investment company to any of its investees. This ASU is
effective for fiscal years beginning after 15 December 2013, and earlier application is prohibited. We
have noted on page 11 that the Fund follows the accounting and reporting guidance in ASC 946.
9.
NEW STANDARDS NOT YET EFFECTIVE
On 11 June 2014 the FASB issued ASU 2014-11, Transfers and Servicing: Repurchase-to-Maturity
Transactions repurchase Financings and Disclosures, to improve the reporting of repurchase
agreements and other similar transactions. New disclosures are required for (i) certain transactions
accounted for as secured borrowings and (ii) transfers accounted for as sales when the transferor also
retains substantially all of the exposure to the economic return on the transferred financial assets
throughout the term of the transaction. The guidance is effective for public business entities for the
first interim or annual period beginning after 15 December 2014, except for disclosure requirements
related to secured borrowings, which are effective for periods beginning after 15 March 2015. For all
other entities, the guidance is effective for annual periods beginning after 15 December 2014. The
adoption of this guidance is not expected to have a material effect on the financial statement
disclosures.
15
9.
NEW STANDARDS NOT YET EFFECTIVE (continued)
In August 2014, the FASB issued ASU 2014-15, Disclosure of Uncertainties About an Entity’s Ability
to Continue as a Going Concern, which provides guidance on determining when and how to disclose
going-concern uncertainties in the financial statements. The new standard requires management to
perform interim and annual assessments of an entity’s ability to continue as a going concern within one
year of the date the financial statements are issued. An entity must provide certain disclosures if
conditions or events raise substantial doubt about the entity’s ability to continue as a going concern.
ASU 2014-15 applies to all entities and is effective for annual periods ending 15 December 2016, and
interim periods thereafter, with early adoption permitted. The Fund did not early adopt and expects
that the adoption of this guidance will not have a material effect on the financial statements.
10.
SIGNIFICANT EVENTS DURING THE YEAR
The Investment Manager registered as an AIFM under AIFMD as at 31 July 2014.
Class T1 USD and T2 USD Shares were issued on 1 May 2014, Class T2 GBP shares were issued on 1
June 2014.
11.
NET ASSET RECONCILIATION TO PUBLISHED VALUATION
USD
612,947,084
612,947,084
Net Assets per SOAL
FAS 150 Redemptions
Net Assets per Valuation
12.
SUBSEQUENT EVENTS
In connection with the preparation of these financial statements as at 31 December 2014, the Directors
have evaluated the impact of all subsequent events on the Fund through 27 April 2015, being the date
on which the financial statements were issued and have determined that there were no additional
subsequent events requiring recognition or disclosure in the financial statements.
Subsequent to 31 December 2014, shareholders in Securis Non-Life Fund contributed
USD37,000,000, NOK20,000,000 and redeemed USDNil.
Breakdown as follows:
Total Subscriptions Notices
1 January 2015
1 February 2015
1 March 2015
USD37,000,000
USD2,590,000
USDNil
Total Redemptions Notices
31 January 2015
28 February 2015
31 March 2015
USDNil
USDNil
USDNil
16

FEROX FUND LIMITED - Channel Islands Securities Exchange

Transcription

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