MW TOPS Limited
Registered in Guernsey No. 45728
Annual Financial Report
For the year ended 30 September 2009
CONTENTS
Background to the Company 1-4
Financial Highlights 5-7
Chairman's Statement 8
Background to the Investment Manager 9-10
Investment Manager's Report 11-15
Directors 16
Directors' Report 17-22
Management Report 23
Independent Auditor's Report 24-25
Audited Financial Statements 26-57
Company Information 58-59
BACKGROUND TO THE COMPANY
MW TOPS Limited (the "Company") is a closed-ended investment company registered
and incorporated in Guernsey on 25( )October 2006. A continuation vote for each
class of Share will be put to Shareholders of the relevant class at the general
meeting of the Company in 2013 and every seven years thereafter.
The Company's share capital comprises three classes of shares: Euro shares,
Sterling shares and US$ shares. Each of these share classes were initially
admitted to listing on the Euronext Amsterdam stock market. On 18 June 2008,
these shares were admitted to listing on the Official List of the UK Listing
Authority and admitted to trading on the main market of the London Stock
Exchange. On 1 July 2009 the shares were de-listed from Euronext Amsterdam.
In November 2008, the Company offered its shareholders an option to redeem all
or part of their holdings at net asset value per share, less costs.
Immediately following the redemption the shares in issue were as follows:
Share class Number of issued shares remaining (excluding treasury shares)
Euro 5,678,426
Sterling 7,300,798
US$ 1,618,575
At an extraordinary general meeting of shareholders on 8 January 2009,
shareholders voted in favour of resolutions amending the Articles to effect the
following:
1. to delete the discount management provisions of the Company and to replace
such provisions with an annual cash exit facility, under which the Directors
may, in their absolute discretion, offer to redeem up to all of the shares
in issue, or up to all of the shares in issue in a particular class or
classes, once in any 12 month calendar period on or about the time of the
annual general meeting commencing in 2010, at the Net Asset Value ("NAV")
per share of the relevant class, less the aggregate of a discount of up to
2 per cent of such NAV per share and the costs and expenses of implementing
such an offer; and
2. to insert additional provisions empowering the Board to redeem compulsorily
shares of any class if the aggregate NAV of the shares in issue of the
relevant class, or the number of holders of shares of the relevant class,
are such that the continued existence of such class ceases, in the Board's
opinion, ceases to be viable.
Investment Objective of the Company
The investment objective of the Company is to provide consistent absolute
returns primarily derived through trading in equities of companies incorporated
in or whose principal operations are in Europe (including Eastern Europe).
Investment Policy of the Company
The investment policy of the Company is to invest its assets primarily in
European equity markets both by utilising the TOPS investment process and
investing in opportunities chosen by Marshall Wace LLP. TOPS is a framework of
proprietary Marshall Wace applications and models which seek to capture,
appraise, optimise and act upon securities trading ideas received from Marshall
Wace's extensive network of contributors within the brokerage community.
BACKGROUND TO THE COMPANY (CONTINUED)
The Company will pursue its investment policy indirectly through investment in
the sub-trusts of the TOPS Trust (an umbrella unit trust) or in other funds
managed by Marshall Wace (the "Underlying Funds"), the assets of which are used
to trade systematically on the basis of those ideas of the brokerage community
selected by TOPS and to invest in opportunities chosen by Marshall Wace. The
investment policy of each of the Underlying Funds is therefore consistent with
the Company's investment policy. Marshall Wace may in the future seek to
identify opportunities for the Company to invest up to 100 per cent of its
assets in other Underlying Funds than those investing in at the year end, while
remaining within the Company's investment objective and policy.
The Company may also retain amounts in cash or cash equivalents, pending
reinvestment, if this is considered appropriate to the objective of seeking
consistent absolute returns.
The Underlying Funds may invest in a wide range of instruments including listed
and unlisted equities, futures, other derivatives and debt securities and will
take long and short positions over a variety of time periods. The Company will
only enter into derivative transactions for the purposes of efficient portfolio
management and not for speculative purposes.
The Company may employ direct borrowings up to a maximum of 20 per cent of the
NAV at the time of borrowing in order to fund share buy backs and the payment of
fees and expenses by the Company.
The Company has adopted the following investment restrictions for so long as
they remain requirements of the UK Listing Authority:
* the Company will avoid cross-financing between business forming part of its
investment portfolio;
* the Company will avoid the operation of common treasury functions as between
the Company and investee companies;
* neither the Company nor any subsidiary (other than business forming part of
the investment portfolio) will conduct any trading activity which is
significant in the context of the group as a whole; and
* the Company does not intend to invest in other closed-ended investment
funds, and in any case, will not invest more than 10 per cent of the total
assets of the Company in other closed-ended investment funds except for
those which themselves have stated investment policies to invest no more
than 15 per cent of their gross assets in other closed-ended investment
funds.
The investment policy of the Company may only be amended with the consent of a
simple majority of shareholders.
Portfolio History
The Company originally invested 50% of the net proceeds of the global offering
in Euro-denominated units of Sub-Trust C (Opportunistic Hedged) of the TOPS
Trust ("Sub-Trust C"), 50% in Euro-denominated units of Sub-Trust D
(Fundamental-Hedged) of the TOPS Trust ("Sub-Trust D"), this was realigned on
18 February 2008 to invest 10% of assets of the Company in to Euro-denominated
units of Sub-Trust N (Market Neutral) of the TOPS Trust ("Sub-Trust N") and the
investments into Sub-Trust C and Sub-Trust D were reduced proportionately. For
the period from 1 June 2009 to 31 July 2009 the portfolio was reviewed and
reinvested in to the following Euro-denominated Sub-Trusts:
BACKGROUND TO THE COMPANY (CONTINUED)
Sub-Trust A (Opportunistic) 35%
Sub-Trust B (Fundamental) 35%
Sub-Trust H (Balanced Europe) 10%
Sub-Trust N (Market Neutral) 20%
With effect from 1 August 2009 the portfolio was reviewed again and reinvested
in the following Euro-denominated Sub Trusts:
Sub-Trust H (Balanced Europe) 10%
Sub-Trust European TOPS 70%
Sub-Trust N (Market Neutral) 20%
Following the year end, the Board announced its intention to redeem all, or
substantially all, of its holding in the TOPS Trust and to invest all, or
substantially all, of its assets in equivalent units of one or more sub-trusts
of Marshall Wace Investment Strategies, an umbrella unit trust established under
the laws of Ireland. Each Sub-Trust employs Marshall Wace's Trade Optimised
Portfolio System ("TOPS").
The TOPS investment process comprises a framework of proprietary applications
and models that seeks to capture, analyse, optimise and act upon the investment
ideas of contributors from the brokerage community and to aggregate them in a
dynamic portfolio construction process. At the end of September 2009, Marshall
Wace was polling contributors from 314 firms located in over 50 countries.
Marshall Wace believes that investment advice received from the brokerage
community, if systematically monitored and analysed, can be combined into a
diversified portfolio with attractive risk-reward characteristics.
The assets of the Sub-Trusts are used to trade systematically ideas selected by
optimisation models developed by Marshall Wace to exploit these opportunities
and to effect additional investment opportunities chosen by the relevant
investment managers.
The investment process of Sub-Trust H (Balanced Europe) is to trade investment
ideas driven by valuation and fundamental criteria, prevailing market themes and
stock-specific events. The resulting portfolio is expected to be liquid and
characterised by medium to long-term holding periods. The Investment Manager
expects that Sub-Trust H (Balanced Europe)'s portfolio will exhibit higher
levels of volatility than the other sub-trusts with more diversified strategies.
The Investment Manager may also pursue a discretionary hedging policy to control
market, sector and thematic exposures. Sub-Trust H (Balanced Europe)'s net
market exposure will vary but will not normally exceed a range from 20 per cent
net short to 80 per cent net long. Where deemed appropriate, Sub-Trust H
(Balanced Europe) may employ leverage including, without limitation, through
borrowing securities and other investments and by entering into derivatives
transactions. The gross exposure of Sub-Trust H (Balanced Europe) will not
exceed 500 per cent of its NAV.
The investment process of Sub-Trust European TOPS is to trade investment ideas
driven by: (a) general factors such as stock and market momentum, and prevailing
market themes and events affecting an individual stock in particular (e.g. a
merger or takeover, and earnings release, changes to the management of the
issuer, or any other commercially significant event); and (b) valuation and
fundamental criteria such as earnings growth and outlook for a specific stock.
The resulting portfolio is expected to be relatively liquid and diversified and
characterised by relatively high turnover.
BACKGROUND TO THE COMPANY (CONTINUED)
The Investment Manager may pursue a discretionary hedging policy to limit
drawdown and preserve investors' capital. Additional hedging positions will be
used to control market, sector and thematic exposures. The net market exposure
of Sub-Trust European TOPS will vary according to the Investment Manager's view
of market prospects and the Investment Manager will have discretion to be net
short of markets. However, the overall net market exposure of Sub-Trust European
TOPS is not normally expected to exceed a range from 50 per cent net short to
150 per cent net long. Where deemed appropriate, Sub-Trust European TOPS may
employ leverage including, without limitation, through borrowing securities and
other investments and by entering into derivatives transactions. The gross
exposure of Sub-Trust European TOPS will not exceed 300 per cent of its NAV. The
Investment Manager may from time to time consider hedging currency exposure, but
will not generally enter into contracts involving a speculative position in any
currency.
The investment process of Sub-Trust N (Market Neutral) is to trade on the basis
of investment ideas driven by (a) general factors such as stock and market
momentum and prevailing market themes and events affecting an individual stock
in particular (e.g. a merger or takeover, an earnings release, changes to the
management of the issuer, or any other commercially significant event); and (b)
valuation and fundamental criteria such as earnings growth and outlook for a
specific stock. The resulting portfolio is expected to be relatively liquid and
diversified. The Investment Manager will pursue a discretionary hedging policy
to preserve investors' capital in line with its long-term investment strategy.
Although the investment objective of Sub-Trust N (Market Neutral) is to provide
investors with consistent absolute returns by implementing a long term market
neutral investment strategy, the net market exposure of Sub-Trust N (Market
Neutral) may temporarily vary according to the Investment Manager's view of
market prospects and the Investment Manager will have discretion to be net short
of markets. However, the overall net market exposure of Sub-Trust N (Market
Neutral) is not normally expected to exceed a range from 15 per cent net short
to 15 per cent net long. Where deemed appropriate, Sub-Trust N (Market Neutral)
may employ leverage including, without limitation, through borrowing securities
and other investments and by entering into derivatives transactions. The gross
exposure of Sub-Trust N (Market Neutral) will not exceed 600 per cent of its
NAV.
FINANCIAL HIGHLIGHTS
Net Asset Value Summary
* The NAV per share of each share class of MW TOPS Limited has outperformed
the MSCI Europe AC TR Index since launch.
* The multi-factor risk management framework governing the strategies in which
MW TOPS Limited invests has contributed to a limited drawdown during the
challenging market conditions of 2008 and Q1 2009.
* NAV per share continues to exhibit low volatility as measured against the
MSCI Europe AC TR Index.
MW TOPS Limited Total Net Assets: €153,155,177
30 Sept 2009 30 Sept 2009 30 Sept 2009
Euro shares Sterling shares US$ shares
€ £ $
Net Assets 58,541,593 76,174,104 16,467,763
Net Asset Value per share 10.31 10.43 10.17
Mid market share price (LSE)(1) 9.43 9.53 9.33
Total number of shares in 5,678,426 7,300,798 1,618,575
issue(2)
(1) Data source: Bloomberg
(2) To the exclusion of those held in treasury
FINANCIAL HIGHLIGHTS (CONTINUED)
Monthly Track Record
MW TOPS %
Limited Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep % Perf
NAV 2008 2008 2008 2009 2009 2009 2009 2009 2009 2009 2009 2009 YTD Since
Performance Inception
Euro NAV 8.98 9.02 9.04 9.16 9.03 9.20 9.39 9.60 9.71 9.78 9.97 10.31
Euro Net -5.37% 0.45% 0.22% 1.33% -1.42% 1.88% 2.07% 2.24% 1.15% 0.67% 1.99% 3.41% 8.64% 3.10%
Return
GBP NAV 9.10 9.15 9.15 9.27 9.14 9.31 9.50 9.71 9.83 9.89 10.09 10.43
GBP Net -5.11% 0.55% 0.00% 1.31% -1.40% 1.86% 2.04% 2.21% 1.24% 0.63% 2.01% 3.37% 8.76% 4.30%
Return
US$ NAV 8.88 8.91 8.92 9.04 8.92 9.08 9.27 9.47 9.58 9.65 9.84 10.17
US$ Net -5.23% 0.34% 0.11% 1.35% -1.33% 1.79% 2.09% 2.16% 1.16% 0.70% 2.00% 3.35% 8.54% 1.70%
Return
FINANCIAL HIGHLIGHTS (CONTINUED)
Underlying Investment Details
Units held by
Holdings Unit Price in MW TOPS Limited Value of units held
€(1) in €
Sub-Trust H 163.71 95,796.72 15,682,881
(Balanced Europe)
Sub-Trust European 126.72 875,556.24 110,950,487
TOPS
Sub-Trust N (Market 105.25 287,517.96 30,261,265
Neutral)
(1) Unit price to 2 decimal places
Note: The above data is confirmed as at 30 September 2009
Data Source: Citi Hedge Fund Services Limited
Average Premium/Discount since launch 8 December 2006
MW TOPS Limited - EUR share class -6.04%
MW TOPS Limited - US$ share class -5.07%
MW TOPS Limited - GBP share class -4.58%
Industry Average (Single Manager Hedge Fund) -8.94%*
*Data Source: Kepler Partners. Industry average from 1 December 2006 - 30
September 2009
CHAIRMAN'S STATEMENT
I am pleased to present to shareholders the Annual Financial Report of the
Company in this, its third year of operation.
The share price performance of the Company against the continuing difficult
economic backdrop and volatile market conditions was satisfactory in absolute
terms with the Euro share price increasing from €8.70 to € 9.43, a rise of
+8.33%. This compares favourably to a return of European equity markets as
measured by the MSCI AC Daily TR Net Europe Local Index of +1.52%. The
Investment Manager's Report on pages 11 to 15 outlines the performance of the
Company's portfolio and its risk profile over what has been an exceptionally
challenging period. While the absolute return of the Company has been lower than
the objective set out in the prospectus it is notable that it has generated
positive net returns since inception (the NAV per share of the Euro class rising
3.15%) despite the market falling 19.17%.
In November 2008, in response to the torrid market conditions the Board offered
investors the opportunity to redeem all or part of their investment in the
Company at net asset value per share less costs. Redemption requests totalling
approximately 84% of the net assets of the Company were received. The redemption
offer provided liquidity for shareholders at a time of market distress and
demonstrated the Board's and the Investment Manager's commitment to act in
accordance with the interests of shareholders.
In addition, the Board instigated a review of the expenses of the Company to
ensure that costs were being efficiently managed. The most significant result of
this review was the decision to concentrate the Company's trading activity on a
single exchange and consequently the Board decided to delist the Company's
shares from NYSE Euronext Amsterdam on 1 July 2009 and to maintain its listing
on the London Stock Exchange.
While the restrictions on short selling have been eased since December 2008 and
replaced with reporting requirements, the regulatory environment for hedge funds
continues to be in a state of flux. Wide ranging proposals have been put forward
by the European Commission and other national governmental bodies. The
Investment Manager has advised the Board that it believes that these proposals
will not affect its ability to implement the Company's investment strategy.
However, the Investment Manager continues to monitor the developments.
In February this year, Sir Andrew Large announced his resignation from the Board
after serving just over two years as chairman. I was pleased to accept the
Board's offer to succeed Sir Andrew and I would like to thank him for his
contribution to the Company.
The Board maintains an open and constructive relationship with the Investment
Manager and continues to have confidence in the ability of the TOPS strategy to
deliver both alpha and absolute returns.
Dr Cameron McPhail
Chairman
28 January 2010
BACKGROUND TO THE INVESTMENT MANAGER
Marshall Wace LLP ("Marshall Wace" or "MW") was founded by Paul Marshall and Ian
Wace in 1997 and, since the launch of the flagship Eureka Fund in 1998, has
established itself as one of Europe's foremost hedge fund managers.
At the heart of MW's success is the drive to deliver investment performance of
the highest quality for investors. MW is dedicated to building sustainable
competitive advantage within the investment management industry and strives
continuously to enhance its investment process to achieve this aim.
MW's proprietary approach combines both process-driven and manager led
("European Core") strategies. Both approaches draw on an unrivalled information
edge, developed through the unique relationships established with those
providing investment recommendations. The dynamics of this relationship have
aligned the interests of investor, fund manager and service provider in a
virtuous circle and have led to the creation of a revolutionary process-driven
strategy known as TOPS (Trade Optimised Portfolio System).
The TOPS strategies have formed an important platform for the development of MW
due to its direct transferability to other liquid capital markets. In July
2004, recognising this potential and in anticipation of the launch of Americas
TOPS, Marshall Wace opened its first overseas office in the United States. The
roll-out of TOPS continued in 2006 with the expansion of the programme to
include Asian markets and the subsequent opening of an office in Hong Kong in
October that year.
In December 2006, wishing to make the TOPS strategies available to a wider group
of investors, Marshall Wace announced the listing of MW TOPS Limited (the
"Company") on the NYSE Euronext Exchange. The listing of the Company on the
London Stock Exchange followed in June 2008.
The launch of the Marshall Wace TOPS UCITS Fund, incorporated as a Luxembourg
SICAV in November 2007, was intended to broaden the firm's investor base
further, offering an alternative access point to certain MW TOPS strategies for
investors unable to allocate to traditional offshore hedge funds.
The formation of a joint venture, Marshall Wace GaveKal Asia Limited, in June
2008 reflects the Company's strategic objective to develop a greater presence in
Asia. The bringing together of GaveKal's knowledge of the Asia-Pacific region
alongside the innovative product design, portfolio construction and discipline
risk management of Marshall Wace is expected to have powerful synergies. The
offering of a range of funds under the umbrella of the joint venture is intended
to allow investors to capitalise on the long-term growth prospects in Asia.
Paul Marshall
Paul Marshall is a founding partner of Marshall Wace LLP and was responsible for
the development of the "Core" investment management process, utilised both
within the flagship Eureka (Euro) Fund and also now available as a stand-alone
strategy. As CIO for manager-led strategies he has overall responsibility for
the development of this part of the firm's business. Within his role as
Chairman, Paul has responsibility for business development and corporate
governance and, through his chairmanship of the Partnership Management Committee
and the Investment Advisory Committee, plays a central role in the strategic
direction of the firm.
BACKGROUND TO THE INVESTMENT MANAGER (CONTINUED)
Paul was formerly a director of Mercury Asset Management, where he was Chief
Investment Officer for European Equities. At the time of his departure in 1997
he was responsible for a team of 15 managing US$12 billion in European Equities.
Ian Wace
Ian Wace is a founding partner of Marshall Wace LLP. As CEO, he has overseen the
growth and development of the firm since the launch of the Eureka (Euro) Fund in
1997. Marshall Wace employs over 160 personnel, and operates from offices in
London, Greenwich, Connecticut and Hong-Kong. Under his stewardship, the firm
pioneered the development of TOPS and is now extending its manager based product
offering. The firm is one of Europe's largest privately-owned alternative asset
managers, recognised for its robust infrastructure and investment processes. As
CEO, Ian is closely involved with all aspects of the management of the firm and
is instrumental in driving forward the broad range of initiatives which will
take the firm through its next phase of growth.
Prior to founding Marshall Wace, Ian was Global Head of Equity and Derivative
Trading at Deutsche Morgan Grenfell ("DMG"), where he was responsible for Equity
Sales Trading, Programme Trading, Proprietary Trading, Stock Lending and Balance
Sheet Management. Prior to joining DMG in 1995, he worked for eleven years at SG
Warburg, where in 1988, as the youngest ever director, he was appointed head of
European Equity Sales and in 1993, head of Proprietary Trading.
Anthony Clake
Anthony Clake has been responsible for the evolution of the MW TOPS strategies
since their inception in 2001. As the Global Product Manager for MW TOPS, he has
overseen the geographic expansion of this investment process across Europe,
Asia, North and South America as well as Emerging Markets. In recognition of his
contribution to the development of Marshall Wace, Anthony was made a partner of
the firm in 2004.
Anthony joined Marshall Wace in August 2001 directly from university following
consultancy work with the firm during 1999 and 2000. Previously he studied
Philosophy, Politics and Economics at Queen's College, Oxford. He was elected to
the Gibbs scholarship for obtaining the highest marks awarded in preliminary and
final examinations.
INVESTMENT MANAGER'S REPORT
Financial Year ending 30 September 2009
Within the 12 month period covered by this review the global financial crisis
reached its nadir. The severity of the economic contraction in Q4 2008 and level
of cross-regional contagion within the international banking system was
underscored by the release of numerous statistics in early 2009. The continued
fragility of the financial industry together with the efforts of the asset
management community to quickly deleverage combined to heighten equity market
uncertainty in Q1 2009, resulting in heightened levels of volatility at the
single stock, inter- and intra-sector level. However, while the fundamentals of
the global economy continued in Q2 2009 to hamper belief in any sustained
recovery, equity market participants became more optimistic that the attempts by
various governments to inject liquidity into the economy through monetary policy
and fiscal stimuli and to recapitalise a number of financial institutions might
be sufficient in staving off a deeper global recession. Consequently in Q2 2009
sentiment changed within equity markets, which resulted in a large proportion of
equity indices rallying sharply.
During the 12 month period under review, European equity markets* returned only
+1.52% with a volatility of 27.59%, falling -30.10% from 1 October 2008 to 29
February 2009 and then rallying +45.24% from 1 March 2009 to 30 September 2009.
The NAV per share of the Euro, Sterling and US$ classes showed considerable
resilience in this volatile market environment, rising +8.69%, +8.78% and +8.48%
respectively over the financial year and drawing down only -4.78%, -4.64% and
-4.86% during the particularly testing initial 5 months period. With the
improvement in market sentiment, the net and gross market exposures of MW TOPS
Limited (the "Company") incrementally increased (as detailed below). The steady
pace of this portfolio adjustment meant that the Company maintained conservative
levels of risk, while capturing a portion of the market upside, with the NAV per
share of the Euro, Sterling and US$ classes returning +14.14%, +14.08 and
+14.02% respectively from 1 March to 30 September.
* As measured by the MSCI AC Daily TR Net Europe Local Index
Since Inception to 30 September 2009
Since the launch of the Company on 8 December 2006 to the end of September
2009, the greater proportion of the assets of the Company have delivered a level
of capital protection for investors against the background of a rapidly
deteriorating global equity market. Despite a market fall of 19.17% with a
volatility of 20.94% during this period, the NAV per share of the Euro, Sterling
and US$ classes have generated positive net returns of +3.15%, +4.32% and +1.64%
with a volatility of 8.84%, 8.80% and 9.19% respectively. This represents the
delivery of +7.29%, +8.51% and +5.76% net alpha since inception.
Portfolio Composition
The Investment Manager's objective is to generate absolute returns and deliver
consistent alpha from each of the underlying strategies that comprise the
Company within a robust risk framework which seeks to manage volatility and
limit downside. Since inception, the majority of the assets within the Company
have continued to be invested equally in Sub-trust C and Sub-trust D of the
Marshall Wace TOPS Trust. However, from 1 August 2009, a decision was taken to
allocate the assets of the Company to the relevant Sub-trusts of the Marshall
Wace TOPS Trust according to the following approximate proportions: 70% to
Sub-trust European TOPS, 20% to Sub-trust N (Market Neutral) and 10% to
Sub-trust H (Balanced Europe). The allocation to Sub-trusts N and H, was made as
part of a strategy aimed at ensuring that the Company continues to meet its
long-term target risk-return profile, while delivering a more diversified and
decorrelated source of alpha.
INVESTMENT MANAGER'S REPORT (CONTINUED)
As an illustration of diversified nature of the Company, the bar charts below
show the average sector and country exposures of the combined strategies during
September 2009.
While markets moved initially significantly lower and then rebounded sharply
over the period covered by this review, the greatest positive contribution to
return came from Materials and Banks. The table below sets out the top 5 long
and short sectors in terms of P&L attribution from 1 October 2008 to 30
September 2009.
INVESTMENT MANAGER'S REPORT (CONTINUED)
Top 5 Holdings as at 30 September 2009
Over the Company's financial year, typically no single position has represented
more than 3% of NAV and aggregate exposure to mid-cap securities (<€5bn) has
remained below 20% of NAV. As at 30 September 2009, the combined portfolio of
the Company comprised 1,507 long positions and 1,037 short positions*. The table
below displays the top 5 long equity holdings as % of NAV of the aggregate
portfolio at that date.
*The number of positions shown include those held directly through investments
in other Marshall Wace managed MW TOPS sub-strategies.
Liquidity and Market Capitalisation
The MW TOPS strategies generally invest only in securities which trade over
US$1m a day. Coupled with the broad stock diversification mentioned above, this
results in a highly liquid portfolio in which over 98% of positions can be
liquidated in a single trading day. The table below sets out the overall
liquidity profile of the Company for September 2009 (average).
NOTE: This table shows the estimated liquidity profile of the positions held by
the investments of the Company based on trading one third of the average 20 day
daily volume.
Financial instruments for which the liquidity profile is not available or not
known are included in "Other".
Exposures and Volatility
The capital allocation to market neutral portfolios, Sub-trusts N and H, has
allowed the Investment Manager to significantly reduce the beta exposure of the
Company, while diversifying the alpha delivered. The Net Market Exposure ("NME")
of the MW TOPS portfolios into which the Company invests, declined in Q4 2008
and early 2009 in response to the prevailing market instability. From 1 October
2008 to the end of September 2009, the average derived NME of the Company was
6.42% and in early January 2009 it is notable that the Company had a net short
exposure to the market overall. However, commensurate with the reversion in
European equity markets, the NME of the Company gradually increased, maintaining
an average level of 14.40% from 1 February 2009 to the end of the period under
review.
INVESTMENT MANAGER'S REPORT (CONTINUED)
Similarly, the Gross Market Exposure ("GME") of the Company fell sharply during
the period of extreme market dislocation and volatility in Q4 2008 and then
increased incrementally from late January 2009. This is consequent to a number
of developments: first, a greater confidence amongst the MW TOPS contributor
base as the value of fundamentals returned to the fore as the driver of equity
stock pricing, secondly, an increase in the number of ideas submitted per
individual, thirdly, the output of the modular optimisation process and fourthly
due to the active management of exposures driven by the Investment Manager's
risk framework focused on ensuring that the Company operates within its targeted
long term volatility range.
The real-time monitoring of risk governing overall volatility, sector and
country exposures, as well as a range of fundamental factors, is an integral
characteristic of the investment management process. Since 1 October 2008 The
Company has committed significant resource to the further enhancement of our
risk management systems. The Company uses both fundamental and statistical
modelling to monitor the level of risk attributable to a range of factors,
including exposure to sectors, industries and countries, momentum and exchange
rate sensitivity, correlation and bid-offer spreads. The MW TOPS portfolios are
assessed in real-time and automated alerts signal a mandatory review by both the
portfolio and risk manager if any risk factor approaches a pre-defined limit,
with corrective action being promptly implemented to mitigate any unwanted
exposure. In addition to these traditional factor and volatility based
approaches, the Company has developed a risk radar system to help determine the
appropriate gross exposure of the MW TOPS strategies. These are a set of bespoke
early warning indicators, which use proprietary MW TOPS based metrics, such as
contributor performance, dispersion, success ratios and idea frequency, to
identify market regime shifts.
Over the period under review, despite the turbulence of Q4 2008, the realised
volatility of the Company (Euro NAV per Share) measured 6.00% as compared to a
realised market* volatility of 35.61%. Since 8 December 2006, the Company has
maintained a realised annualised volatility of 7.97% against a European equity
market* volatility of 27.02%.
* As measured by the MSCI AC Daily TR Net Europe Local Index
INVESTMENT MANAGER'S REPORT (CONTINUED)
Strategy Outlook
With the re-emergence of a degree of stability and rationality to equity
markets, the success ratios of contributors have recovered and the persistent
delivery of alpha has resumed as evidenced by the quality of raw alpha
generation of the contributor base within Europe during the Company's financial
year. In the rolling 12 month period to 30 September 2009, over 73% of
individuals submitting investment ideas to the European TOPS application
generated positive alpha (see charts below).
As previously reported, Marshall Wace has a team wholly dedicated to managing
the relationships with contributors across the MW TOPS network, both current
participants as well as the recruitment of new joiners. Over the period under
review, there had been a reduction in the number of contributors. This
adjustment was primarily driven by Marshall Wace's critical assessment of
contributor skill rather than turnover within the brokerage community itself. As
of September 2009, in Europe, MW are polling 115 brokerage houses and 1,132
individuals in real-time.
Throughout the financial year, MW have continued to make improvements to their
optimisation methodology. The MW TOPS portfolio construction process explicitly
recognises that patterns of alpha generation differ on the long and short side
across various time horizons and market cycles. Our research effort embodies
this distinction and MW have developed a number of distinct investment
sub-strategies. One model, focuses on individual contributors and the unique
characteristics of their performance, a second analyses patterns of behaviour
within
the networks of contributors, while a third module assesses behaviour and
trading costs at the single stock level. Although the investment horizon within
MW TOPS is typically 20-100 days per idea, the optimisation process also
uses shorter-term pattern recognition techniques to extract value from themes
and changes in sentiment as they are detected.
DIRECTORS
The Directors' biographies, all of whom are non-executive, are as follows:
Dr Cameron McPhail, (Chairman) aged 55, is a co-founder and director of new
start Jersey-based mail order and internet-based retailer Jersey Choice Limited
and is the Chairman of Epic plc Fund Managers. From 1988 until 2002 Dr McPhail
was employed by The Royal Bank of Scotland in a number of roles including as
Chief Executive of Royal Bank of Scotland International between 1995 and 2000
and as Chief Executive of the Wealth Management Division between 2000 and 2002.
Dr McPhail was awarded his PhD at Glasgow University and gained an MBA from
Golden Gate University, San Francisco in 1987. Dr McPhail is British and is
resident in Jersey.
Nicholas Falla, aged 52, has, since 2001, been the Managing Director of Xocoatl
Limited, a private investment company. From 1986 until 2002 Mr Falla was
employed by Bank of Bermuda (Guernsey) Limited in a number of finance-related
roles including, between 2000 and 2002, the European Regional Controller with
responsibility for the finance departments across seven countries, the Director
of Treasury Finance and the Chairman of the Global Tax Committee. Between 1993
and 2000, he was the Financial Controller with broad responsibilities including
regulatory reporting, accounting, internal controls and product development. Mr
Falla qualified as an Accountant in 1983 and gained an MBA specialising in
Financial Management from the Manchester Business School and University of Wales
in 1999. He is a Fellow of the Institute of Chartered Accountants and an
associate member of the Association of Corporate Treasurers. Mr Falla is British
and is resident in Guernsey.
Duncan Ford, aged 41, has been the Chief Operating Officer of Marshall Wace
since its inception in 1997 with responsibility for administration, operations
and technology. He was appointed a partner of the firm in 2002 and is also a
member of the firm's Operating Committee and Partnership Management Committee.
Prior to joining Marshall Wace, he was, from 1995, an Associate Director of
Deutsche Morgan Grenfell with responsibility for the day-to-day management of
equity operations. Prior to that, he worked for Morgan Stanley covering the
equity settlements, stock lending and structured products. Mr Ford gained a
Bachelor of Law degree from Leeds University in 1990. Mr Ford is British and is
resident in the United Kingdom.
John Le Prevost, aged 58, is the Chairman of Anson Fund Managers Limited and
Anson Registrars Limited and has over 35 years' experience in investments,
during which time he was Managing Director of County NatWest Investment
Management in Guernsey and Royal Bank of Canada's mutual fund company in
Guernsey. He is currently a director of several investment companies including
Bluecrest AllBlue Fund Limited and Guaranteed Investment Products 1 PCC Limited.
Mr Le Prevost is British and is resident in Guernsey.
DIRECTORS' REPORT
The Directors present their report and audited financial statements for the year
ended 30 September 2009.
Principal Activities
The investment objective of the Company is to provide investors with consistent
absolute returns primarily derived through trading in equities of companies
incorporated in or whose principal operations are in Europe (including Eastern
Europe). The Company invests substantially all of its assets in the units of
three Sub-Trusts of the Marshall Wace TOPS Trust namely Sub-Trust H (Balanced
Europe), Sub-Trust European TOPS and Sub-Trust N (Market Neutral).
The Company seeks to preserve capital through the use of various risk management
techniques. There is no assurance the Company will meet its investment
objectives.
Results for the Year and State of Affairs
The Balance Sheet as at 30 September 2009 and the Income Statement for the year
ended 30 September 2009 are set out on pages 26 and 27 respectively.
Dividends
The Directors did not recommend the payment of a dividend in the year (2008:
Nil).
Directors
The Directors at the date of this report are listed on page 16. Duncan Ford is
Chief Operating Officer of Marshall Wace and John Le Prevost is a director and
controller of the Administrator, Secretary and Registrar. Save as disclosed in
these financial statements, the Company is not aware of any other potential
conflicts of interest between any duty of any of the Directors owed to it and
their respective private interests. The Board appointed Nicholas Falla as the
Company's senior independent director. John Le Prevost receives an annual fee of
£22,000. Nicholas Falla (chairman of the Audit Committee) receives an annual fee
of £27,000. The Chairman receives an annual fee of £70,000. Duncan Ford has
waived his right to payment of any fee by the Company.
Directors' interests in shares
As at 30 September 2009, Nicholas Falla had invested, directly or indirectly, in
5,000 (30 September 2008: 5,000) Sterling shares of the Company. Duncan Ford had
invested, directly or indirectly, in 494,414 (30 September 2008: 100,000)
Sterling shares and no (30 September 2008: 151,214) US$ shares of the Company
and John Le Prevost had invested, directly or indirectly, in 1,000 (30 September
2008: 1,000) Sterling shares of the Company.
Corporate Governance Statement
As a closed-ended investment company incorporated in Guernsey, the Company was
not in the year under review required to comply with the requirements of the
Combined Code on Corporate Governance published by the Financial Reporting
Council (the "Code"). However, with effect from 1 October 2008 the Company was
required to comply with the UK Financial Services Authority's Transparency Rules
DTR7 and in accordance with the requirements of DTR7, the Board of directors has
resolved voluntarily to apply the Code. The Code is available for download from
the Financial Reporting Council's web-site www.frc.org.uk
<
http://www.frc.org.uk/>.
DIRECTORS' REPORT (CONTINUED)
The Board meets formally at least four times a year. In addition to these
scheduled meetings, the Board has met on an ad hoc basis and has consulted the
Investment Manager regularly. The Directors are satisfied that they have been
kept fully informed of the investment performance, financial and operational
controls, and other matters relevant to the business of the Company. The
Directors have, where necessary to the furtherance of their duties, taken
independent professional advice at the expense of the Company. The risk
management systems in relation to the financial reporting process are
incorporated by reference in the Management Report on page 23.
The performance of the investments held by the Company over the reporting period
and the outlook for the future are described in the Investment Manager's Report.
The Company's financial position, its cash flows and liquidity position are set
out in the financial statements. Its financial instruments and associated risks,
including but not limited to its capital and risk management, and the details of
the market, equity price, interest rate, currency, liquidity and credit risks
are set out at note 7 to the financial statements.
The attendance record of Directors during the year is set out below.
Quarterly Ad hoc Treasury Conversion Audit Other Ad
Meetings Board Board share Committee Committee hoc
attended Meetings Meetings Committee Meetings Meetings Committee
Meetings Meetings
No. of 4 5 2 11 2
Meetings 3
Held
Sir Andrew 1 1 0 0 1 0
Large
Nicholas 4 5 1 1 3 2
Falla
Duncan 4 2 0 0 1 0
Ford
Cameron 3 3 0 0 1 1
McPhail
John Le 4 4 1 10 1 0
Prevost
The focus at Board meetings is a review of investment performance,
marketing/investor relations, risk management, general administration and
compliance, peer group information and industry issues. Board papers are
circulated in advance, allowing Directors the opportunity to add agenda items
they consider appropriate for Board discussion. Each Director is required to
inform the Board of any potential or actual conflicts of interest prior to Board
discussion. The committees of the Board are described later in this Directors'
Report.
The Board evaluates its performance and the performance of individual Directors
on an annual basis, and believes that the current mix of skills and experience
of the Directors are appropriate to the requirements of the Company.
Directors' Duties and Responsibilities
The Company is a member of the Association of Investment Companies ("AIC") and
follows, where applicable, the AIC Code on Corporate Governance. A summary of
the Directors' duties according to the AIC Code is set out below:
* Statutory obligations and public disclosure;
* Strategic matters and financial reporting;
* Oversight of management and personnel matters;
* Risk assessment and management, including reporting, monitoring, governance
and control; and
* Other matters having a material effect on the Company.
DIRECTORS' REPORT (CONTINUED)
Committees of the Board
The Board has created the committees disclosed below. The Board has not deemed
it necessary to appoint a nomination or remuneration committee as, being
comprised wholly of non-executive Directors, the whole Board considers these
matters.
The Management Engagement Committee
At the first meeting held on 29 November 2007, it was resolved that the Company
would not have a separate Management Engagement Committee but the activities of
the Management Committee will be carried out at the meetings of the full Board.
The Directors do pay full regard to Conflicts of Interests and will, where
appropriate, absent themselves from discussions and decisions where there is the
potential for these to exist.
In the opinion of the Directors, no additional benefit could be gained for
shareholders by changing the Company's Investment Manager and it is in the
interests of shareholders as a whole to retain for the foreseeable future the
Investment Manager on the terms agreed.
Audit Committee
An Audit Committee, with defined terms of reference and duties considers
inter-alia: (a) annual accounts, (b) auditors reports, and (c) terms of
appointment and remuneration for the auditor (including overseeing the
independency of the auditor, particularly as it relates to non-audit services).
In addition the Audit Committee ensures that the Company maintains high
standards of integrity, financial reporting and internal controls. The Board
appointed the following as members: Nicholas Falla (Chairman), Dr Cameron
McPhail, John Le Prevost and Duncan Ford.
Treasury Share Committee
At a Board meeting held on 22 May 2008 the Board resolved that any one Guernsey
resident director may form a Treasury Share Committee. The Committee is
authorised to cancel shares held in treasury if it believes that shares held in
treasury are likely to exceed 10% of the issued share capital of the Company.
Conversion Committee
At a Board meeting held on 11 August 2008 the Board resolved that any one
Guernsey resident director may form a Conversion Committee. The Committee is
authorised to approve the monthly conversion ratios between share classes and to
authorise applications for admission of new shares to any stock exchange the
Company's shares are listed on.
Internal Controls
The Directors review all controls including operations, compliance and risk
management and not just internal financial controls and we report as follows.
The Board is ultimately responsible for the Company's system of internal control
and for reviewing its effectiveness. The Board has developed a framework that is
designed to identify, evaluate and manage the primary operating risks faced by
the Company. The framework specifies an on-going review timetable that ensures
at least an annual review of the Company's system of internal controls,
including financial, operational, compliance and risk management.
DIRECTORS' REPORT (CONTINUED)
The Board has delegated to third parties the management of the Company's
investment portfolio, the provision of custody services, the administration,
registration and corporate secretarial functions (including the independent
calculation of the Company's Net Asset Value), and the production of the Annual
Financial Report which is independently audited. The Board retains
accountability for the functions it delegates and is responsible for the systems
of internal control. Formal contractual arrangements have been put in place
between the Company and the providers of these services.
Compliance reports are provided at each quarterly Board meeting by the
Secretary, Anson Fund Managers Limited.
John Le Prevost has been appointed the Company's Compliance Officer for the
purposes of the Netherlands Authority for the Financial Markets.
The Company does not have a separate internal audit facility. All the Company's
management and administration functions are delegated to independent third
parties and in the Board's opinion there is therefore no need for the Company to
have an internal audit function.
Corporate Responsibility
The Company considers with the Investment Manager the ongoing concerns of
investors on the basis of open and regular dialogue.
The Company keeps abreast of regulatory and statutory changes and responds as
appropriate.
The Board assesses its performance on an annual basis based on the guidelines
set out by the AIC and the Combined Code.
Relations with Shareholders
The Investment Manager maintains a regular dialogue with institutional
shareholders, the feedback from which is reported to the Board. In addition, the
Investment Manager conducts continuous marketing, with the objectives of
ensuring that shareholders remain fully informed as to the Company's investment
process and performance and marketing the Company to potential investors.
The Board monitors the Company's trading activity on a regular basis and
maintains contact with the Company's principal broker. Shareholder sentiment is
gauged in part, by reviewing the relative discounts/premiums experienced by the
Company's peer group.
The Company reports formally to shareholders four times per year. Additionally,
current information is provided to shareholders on an ongoing basis through the
Company's website and monthly newsletter. All holders of shares in the Company
have the right to attend and vote at the general meetings, during which the
Board and the Manager are available to discuss issues affecting the Company.
Shareholders may also contact the Directors via the Secretary,
DIRECTORS' REPORT (CONTINUED)
Substantial Shareholdings
As at the financial year end, the Company has not been notified of any
significant holdings of shares in the Company.
As at the financial year end no director had a substantial interest in the
Company's share capital.
Audit Information
So far as each of the Directors is aware, there is no relevant audit information
of which the Company's auditor is unaware, and each has taken all the steps he
ought to have taken as a Director to make himself aware of any relevant audit
information and to establish that the Company's auditor is aware of that
information.
Summary of the Investment Management Agreement
Pursuant to the Investment Management Agreement dated 10 November 2006 between
the Company and Marshall Wace, Marshall Wace has been appointed to manage and
invest the investments of the Company in its discretion in pursuit of the
Company's investment objective and policy.
The Investment Management Agreement contains provisions under which the Company
exempts Marshall Wace from all liabilities and indemnifies Marshall Wace against
all liabilities suffered by Marshall Wace in its capacity as investment manager
except where due to the negligence, wilful default, fraud of or material breach
of the Investment Management Agreement by Marshall Wace. Marshall Wace
indemnifies the Company against all liabilities suffered by the Company as a
result of negligence, wilful default, fraud of, or material breach of the
Investment Management Agreement by, Marshall Wace.
In respect of its appointment as investment manager to the Company under the
Investment Management Agreement, Marshall Wace is entitled to receive an
investment management fee and a performance fee. No other fees are payable by
the Company to Marshall Wace under the Investment Management Agreement save in
circumstances where the Company terminates the Investment Management Agreement
on less than 24 months' notice without cause, in which case the Company will pay
an amount equal to the aggregate investment management fee which would otherwise
have been paid to Marshall Wace during the 24 months following the date of such
notice (such amount to be calculated by reference to the Net Asset Value of the
Company as at the date of termination).
DIRECTORS' REPORT (CONTINUED)
Statement of Directors' Responsibility
The Directors are responsible for the preparation of financial statements for
each financial year which give a true and fair view of the Company's state of
affairs as at the end of the year and the results of operations for the year
then ended.
In preparing those financial statements, the Directors are required to:
* select suitable accounting policies and then apply them on a consistent
basis;
* make judgments and estimates that are reasonable and prudent; and,
* prepare the financial statements on the going concern basis unless it is not
appropriate to presume that the Company will continue in business.
The Directors are responsible for keeping proper accounting records, which
disclose with reasonable accuracy at any time the financial position of the
Company and to enable them to ensure that the financial statements comply with
The Companies (Guernsey) Law, 2008 (as amended). They are also responsible for
the system of internal controls for safeguarding the assets of the Company and
hence for taking reasonable steps for the prevention and detection of fraud and
other irregularities.
Auditor
Ernst and Young LLP has expressed its willingness to continue in office as
auditor. A resolution proposing its reappointment will be submitted at the
forthcoming General Meeting to be held pursuant to Section 199 of The Companies
(Guernsey) Law, 2008 (as amended).
By order of the Board
Cameron McPhail Nicholas Falla
Chairman Director
28 January 2010
MANAGEMENT REPORT
A description of important events which have occurred during the financial year
and their impact on the performance of the Company as shown in the financial
statements and uncertainties facing the Company is given in the Investment
Manager's Report on pages 11 to 15 and is incorporated here by reference. A
description of the principal risks and uncertainties facing the Company is given
at note 7 to the financial statements.
Details of all related party transactions are given in note 10 to the financial
statements.
Going Concern
The Board considers that the Company is a going concern and on the expectation
of the Directors that the Company will continue for the foreseeable future, the
financial statements have been prepared on a going concern basis.
The Board conducts a rigorous and proportionate assessment of the Company's
operational and financial risk with particular reference to:
* cash flow requirements;
* liquidity requirements;
* the liquidity of the underlying sub-trusts;
* the Company's debt position, which is currently debt free; and
* the continuing viability of the Company on a reduced net asset value and
cost base.
The Company no longer has an automatic cash exit/buy back facility, and a cash
exit remains at the discretion of the Directors to make such an offer. The
Directors have no immediate plans to make a cash exit offer.
The only financial commitments of the Company are its ongoing fees and expenses
stated in note 6 to the financial statements. After making enquiries, the
Directors have a reasonable expectation that the Company has adequate resources
to continue in operational existence for the foreseeable future.
The Directors confirm that to the best of their knowledge:
a. the financial statements, prepared in accordance with International
Financial Reporting Standards,give a true and fair view of the assets,
liabilities, financial position and profit or loss of the Company; and
b. the Management Report includes or incorporates by reference a fair review of
the development and performance of the business and the position of the
Company, together with a description of the principal risks and
uncertainties that they face.
John Le Prevost Nicholas Falla
Director Director
28 January 2010
INDEPENDENT AUDITOR'S REPORT
TO THE MEMBERS OF MW TOPS LIMITED
We have audited the Company's financial statements for the year ended 30
September 2009 which comprise the Balance Sheet, the Income Statement, the
Statement of Changes in Net Assets Attributable to Participating shares, the
Cash Flow Statement and the related Notes 1 to 12. These financial statements
have been prepared under the accounting policies set out therein.
This report is made solely to the Company's members, as a body, in accordance
with Section 262 of The Companies (Guernsey) Law, 2008. Our audit work has been
undertaken so that we might state to the Company's members those matters we are
required to state to them in an auditor's report and for no other purpose. To
the fullest extent permitted by law, we do not accept or assume responsibility
to anyone other than the Company and the Company's members as a body, for our
audit work, for this report, or for the opinions we have formed.
Respective responsibilities of directors and auditors
The Directors are responsible for the preparation of the financial statements in
accordance with applicable Guernsey law as set out in the Statement of
Directors' Responsibilities.
Our responsibility is to audit the financial statements in accordance with
relevant legal and regulatory requirements and International Standards on
Auditing (UK and Ireland).
We report to you our opinion as to whether the financial statements give a true
and fair view and are properly prepared in accordance with The Companies
(Guernsey) Law, 2008. We also report to you if, in our opinion, the Company has
not kept proper accounting records, if the financial statements are not in
agreement with the accounting records, or if we have not received all the
information and explanations we require for our audit.
We read other information contained in the Annual Report and consider whether it
is consistent with the audited financial statements. The other information
comprises only the Background to the Company, Financial Highlights, Chairman's
Statement, Background to the Investment Manager, Investment Manager's Report,
Directors, Directors' Report, Management Report, and Company Information. We
consider the implications for our report if we become aware of any apparent
misstatements or material inconsistencies with the financial statements. Our
responsibilities do not extend to any other information.
Basis of audit opinion
We conducted our audit in accordance with International Standards on Auditing
(UK and Ireland) issued by the Auditing Practices Board. An audit includes
examination, on a test basis, of evidence relevant to the amounts and
disclosures in the financial statements. It also includes an assessment of the
significant estimates and judgments made by the Directors in the preparation of
the financial statements, and of whether the accounting policies are appropriate
to the Company's circumstances, consistently applied and adequately disclosed.
We planned and performed our audit so as to obtain all the information and
explanations which we considered necessary in order to provide us with
sufficient evidence to give reasonable assurance that the financial statements
are free from material misstatement, whether caused by fraud or other
irregularity or error. In forming our opinion we also evaluated the overall
adequacy of the presentation of information in the financial statements.
INDEPENDENT AUDITOR'S REPORT
TO THE MEMBERS OF MW TOPS LIMITED (CONTINUED)
Opinion
In our opinion the financial statements give a true and fair view, in accordance
with International Financial Reporting Standards, of the state of the Company's
affairs as at 30 September 2009 and of its loss for the year then ended and have
been properly prepared in accordance with The Companies (Guernsey) Law, 2008.
Ernst & Young LLP
Guernsey
January 2010
MW TOPS Limited (the "Company")
BALANCE SHEET
As at 30 September 2009
+-----------------------+---------------+----------------------+---------------+
| | Notes| 2009| 2008|
+-----------------------+---------------+----------------------+---------------+
| | | €| €|
+-----------------------+---------------+----------------------+---------------+
|Assets | | | |
+-----------------------+---------------+----------------------+---------------+
|Cash and cash | | 16,572 | 1,916,196|
|equivalents | | | |
+-----------------------+---------------+----------------------+---------------+
|Financial assets at | 4| 156,894,633 | 1,063,305,461|
|fair value through | | | |
|profit or loss | | | |
+-----------------------+---------------+----------------------+---------------+
|Trade and other | | 29,523| 136,001|
|receivables | | | |
+-----------------------+---------------+----------------------+---------------+
+-----------------------+---------------+----------------------+---------------+
|Total assets | | 156,940,728| 1,065,357,658|
+-----------------------+---------------+----------------------+---------------+
+-----------------------+---------------+----------------------+---------------+
|Liabilities | | | |
+-----------------------+---------------+----------------------+---------------+
|Financial liabilities | 4| 3,372,891| -|
|at fair value through | | | |
|profit or loss | | | |
+-----------------------+---------------+----------------------+---------------+
|Investment management | 6| 255,693| 1,560,590|
|fee | | | |
+-----------------------+---------------+----------------------+---------------+
|Administration fees | 6| 9,820| 10,240|
+-----------------------+---------------+----------------------+---------------+
|Trade and other | | 147,147| 312,461|
|payables | | | |
+-----------------------+---------------+----------------------+---------------+
|Interest payable | | -| 3,704,288|
+-----------------------+---------------+----------------------+---------------+
|Share buy-back payable | 3| -| 29,984,619|
+-----------------------+---------------+----------------------+---------------+
|Loan payable | 11| -| 95,000,000|
+-----------------------+---------------+----------------------+---------------+
+-----------------------+---------------+----------------------+---------------+
|Total liabilities | | | |
|excluding net assets | | 3,785,551| 130,572,198|
|attributable to | | | |
|participating shares | | | |
+-----------------------+---------------+----------------------+---------------+
+-----------------------+---------------+----------------------+---------------+
|Net Assets | | 153,155,177| 934,785,460|
+-----------------------+---------------+----------------------+---------------+
+-----------------------+---------------+----------------------+---------------+
|Net Assets Attributable| | | |
|to: | | | |
+-----------------------+---------------+----------------------+---------------+
+-----------------------+---------------+----------------------+---------------+
|Management shares | | | |
+-----------------------+---------------+----------------------+---------------+
|Share capital | 9| 2| 2|
+-----------------------+---------------+----------------------+---------------+
+-----------------------+---------------+----------------------+---------------+
|Participating shares | | | |
+-----------------------+---------------+----------------------+---------------+
|Other distributable | | 317,237,909 | 1,060,039,850|
|reserves | | | |
+-----------------------+---------------+----------------------+---------------+
|Retained earnings | | (164,082,734)| (125,254,392)|
+-----------------------+---------------+----------------------+---------------+
+-----------------------+---------------+----------------------+---------------+
| | | 153,155,177| 934,785,460|
+-----------------------+---------------+----------------------+---------------+
+-----------------------+---------------+----------------------+---------------+
| |Net Asset Value| Number of shares in|Net Asset Value|
| | per share| issue| |
| | | | 30 Sept 2009|
| | 30 Sept 2009| 30 Sep 2009| |
+-----------------------+---------------+----------------------+---------------+
+-----------------------+---------------+----------------------+---------------+
|Euro Class | €10.31| 5,678,426| €58,541,594|
|Participating shares | | | |
+-----------------------+---------------+----------------------+---------------+
|Sterling Class | £10.43| 7,300,798| £76,174,104|
|Participating shares | | | |
+-----------------------+---------------+----------------------+---------------+
|US$ Class Participating| $10.17| 1,618,575| $16,467,763|
|shares | | | |
+-----------------------+---------------+----------------------+---------------+
|Management shares | €1.00| 2| €2|
+-----------------------+---------------+----------------------+---------------+
+-----------------------+---------------+----------------------+---------------+
| |Net Asset Value| Number of shares in|Net Asset Value|
| | per share| issue| |
| | | | 30 Sept 2008|
| | 30 Sept 2008| 30 Sep 2008| |
+-----------------------+---------------+----------------------+---------------+
+-----------------------+---------------+----------------------+---------------+
|Euro Class | €9.49| 45,789,776| €434,436,194|
|Participating shares | | | |
+-----------------------+---------------+----------------------+---------------+
|Sterling Class | £9.59| 21,302,908| £204,358,463|
|Participating shares | | | |
+-----------------------+---------------+----------------------+---------------+
|US$ Class Participating| $9.37| 36,117,560| $338,560,844|
|shares | | | |
+-----------------------+---------------+----------------------+---------------+
|Management shares | €1.00| 2| €2|
+-----------------------+---------------+----------------------+---------------+
+-----------------------+---------------+----------------------+---------------+
The financial statements on pages 26 to 57 were approved by the Board of
Directors on 28 January 2010 and signed on its behalf by:
John Le Prevost Nicholas Falla
Director Director
See notes to the financial statements.
MW TOPS Limited (the "Company")
INCOME STATEMENT
For the year ended 30 September 2009
+--------------------------------------+----+------------+---------------------+
| | | | |
| | | | |
| |Note| 2009| 2008|
+--------------------------------------+----+------------+---------------------+
| | | €| €|
+--------------------------------------+----+------------+---------------------+
+--------------------------------------+----+------------+---------------------+
|Investment income | | | |
+--------------------------------------+----+------------+---------------------+
|Interest income | | 969,378| 829,351|
+--------------------------------------+----+------------+---------------------+
|Net realised (loss)/gain on financial | | | |
|assets at fair value through profit or| 4|(43,404,616)| 50,309,110|
|loss | | | |
+--------------------------------------+----+------------+---------------------+
|Net realised gain/(loss) on foreign | 4| 1,713,417| (91,029,868)|
|exchange | | | |
+--------------------------------------+----+------------+---------------------+
|Net unrealised gain/(loss) on | | | |
|financial assets at fair value through| 4| 30,619,599| (171,781,444)|
|profit or loss | | | |
+--------------------------------------+----+------------+---------------------+
|Net unrealised (loss)/gain on foreign | 4|(20,158,547)| 40,014,221|
|exchange | | | |
+--------------------------------------+----+------------+---------------------+
+--------------------------------------+----+------------+---------------------+
|Total investment losses | |(30,260,769)| (171,658,630)|
+--------------------------------------+----+------------+---------------------+
+--------------------------------------+----+------------+---------------------+
|Expenses | | | |
+--------------------------------------+----+------------+---------------------+
|Investment management fees | 6| 7,381,874| 25,979,820|
+--------------------------------------+----+------------+---------------------+
|Other expenses | 6| 495,621| 1,025,233|
+--------------------------------------+----+------------+---------------------+
|Interest expense | | 236,034| 3,707,799|
+--------------------------------------+----+------------+---------------------+
|Directors' fees | | 140,299| 202,888|
+--------------------------------------+----+------------+---------------------+
|Administration fees | 6| 113,242| 184,233|
+--------------------------------------+----+------------+---------------------+
|Audit fees | | 86,143| 63,205|
+--------------------------------------+----+------------+---------------------+
|Legal fees | | 71,134| 172,576|
+--------------------------------------+----+------------+---------------------+
|Custodian fees | | 43,226| 205,547|
+--------------------------------------+----+------------+---------------------+
+--------------------------------------+----+------------+---------------------+
|Total expenses | | 8,567,573| 31,541,301|
+--------------------------------------+----+------------+---------------------+
+--------------------------------------+----+------------+---------------------+
|Net result attributable to | | | |
|participating shares | |(38,828,342)| (203,199,931)|
+--------------------------------------+----+------------+---------------------+
+--------------------------------------+----+------------+---------------------+
+--------------------------------------+----+------------+---------------------+
| | | Basic and Diluted earnings per |
| | | share |
+--------------------------------------+----+------------+---------------------+
| | | 2009| 2008|
+--------------------------------------+----+------------+---------------------+
+--------------------------------------+----+------------+---------------------+
|Euro Class Participating shares | 5| €(0.50)| €(1.10)|
+--------------------------------------+----+------------+---------------------+
|Sterling Class Participating shares | 5| £(3.27)| £(2.60)|
+--------------------------------------+----+------------+---------------------+
|US$ Class Participating shares | 5| $1.77 | $(1.60)|
+--------------------------------------+----+------------+---------------------+
|Management shares | | €0.00| €0.00|
+--------------------------------------+----+------------+---------------------+
+--------------------------------------+----+------------+---------------------+
+--------------------------------------+----+------------+---------------------+
See notes to the financial statements.
MW TOPS Limited (the "Company")
STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO PARTICIPATING SHARES
For the year ended 30 September 2009
+----------------------+-------+-------------------+-------------+-------------+
| | |Other distributable| | |
| | Share| | Retained| |
| | | Reserves| | Total|
| |Capital| | Earnings| |
+----------------------+-------+-------------------+-------------+-------------+
|EURO CLASS | €| €| €| €|
+----------------------+-------+-------------------+-------------+-------------+
+----------------------+-------+-------------------+-------------+-------------+
|Balance at 1 October | 2| 443,905,120| (9,468,928)| 434,436,194|
|2008 | | | | |
+----------------------+-------+-------------------+-------------+-------------+
|Buy-back of shares | -| (11,191,029)| -| (11,191,029)|
+----------------------+-------+-------------------+-------------+-------------+
|Conversion of shares | -| 68,453,795| -| 68,453,795|
+----------------------+-------+-------------------+-------------+-------------+
|Redemptions | -| (423,489,957)| -|(423,489,957)|
+----------------------+-------+-------------------+-------------+-------------+
|Loss | -| -| (9,667,409)| (9,667,409)|
+----------------------+-------+-------------------+-------------+-------------+
+----------------------+-------+-------------------+-------------+-------------+
|Balance at 30 | 2| 77,677,929| (19,136,337)| 58,541,594|
|September 2009 | | | | |
+----------------------+-------+-------------------+-------------+-------------+
+----------------------+-------+-------------------+-------------+-------------+
+----------------------+-------+-------------------+-------------+-------------+
|STERLING CLASS | | | | |
+----------------------+-------+-------------------+-------------+-------------+
+----------------------+-------+-------------------+-------------+-------------+
|Balance at 1 October | -| 349,893,933| (90,572,903)| 259,321,030|
|2008 | | | | |
+----------------------+-------+-------------------+-------------+-------------+
|Buy-back of shares | -| (9,166,313)| -| (9,166,313)|
+----------------------+-------+-------------------+-------------+-------------+
|Conversion of shares | -| 45,202,734| -| 45,202,734|
+----------------------+-------+-------------------+-------------+-------------+
|Redemptions | -| (170,737,231)| -|(170,737,231)|
+----------------------+-------+-------------------+-------------+-------------+
|Loss | -| -| (41,272,732)| (41,272,732)|
+----------------------+-------+-------------------+-------------+-------------+
+----------------------+-------+-------------------+-------------+-------------+
|Balance at 30 | -| 215,193,123|(131,845,635)| 83,347,488|
|September 2009 | | | | |
+----------------------+-------+-------------------+-------------+-------------+
+----------------------+-------+-------------------+-------------+-------------+
+----------------------+-------+-------------------+-------------+-------------+
|US$ CLASS | | | | |
+----------------------+-------+-------------------+-------------+-------------+
+----------------------+-------+-------------------+-------------+-------------+
|Balance at 1 October | -| 266,240,797| (25,212,561)| 241,028,236|
|2008 | | | | |
+----------------------+-------+-------------------+-------------+-------------+
|Buy-back of shares | -| (7,279,250)| -| (7,279,250)|
+----------------------+-------+-------------------+-------------+-------------+
|Conversion of shares | -| (113,656,701)| -|(113,656,701)|
+----------------------+-------+-------------------+-------------+-------------+
|Redemptions | -| (120,937,989)| -|(120,937,989)|
+----------------------+-------+-------------------+-------------+-------------+
|Profit | -| -| 12,111,799| 12,111,799|
+----------------------+-------+-------------------+-------------+-------------+
+----------------------+-------+-------------------+-------------+-------------+
|Balance at 30 | -| 24,366,857| (13,100,762)| 11,266,095|
|September 2009 | | | | |
+----------------------+-------+-------------------+-------------+-------------+
+----------------------+-------+-------------------+-------------+-------------+
+----------------------+-------+-------------------+-------------+-------------+
|TOTAL | | | | |
+----------------------+-------+-------------------+-------------+-------------+
+----------------------+-------+-------------------+-------------+-------------+
|Balance at 1 October | 2| 1,060,039,850|(125,254,392)| 934,785,460|
|2008 | | | | |
+----------------------+-------+-------------------+-------------+-------------+
|Buy-back of shares | -| (27,636,592)| -| (27,636,592)|
+----------------------+-------+-------------------+-------------+-------------+
|Conversion of shares | -| (172)| -| (172)|
+----------------------+-------+-------------------+-------------+-------------+
|Redemptions | -| (715,165,177)| -|(715,165,177)|
+----------------------+-------+-------------------+-------------+-------------+
|Loss | -| -| (38,828,342)| (38,828,342)|
+----------------------+-------+-------------------+-------------+-------------+
+----------------------+-------+-------------------+-------------+-------------+
|Balance at 30 | 2| 317,237,909|(164,082,734)| 153,155,177|
|September 2009 | | | | |
+----------------------+-------+-------------------+-------------+-------------+
See notes to the financial statements.
+-----------------------------------------------------------------+------------+
|MW TOPS Limited (the "Company") | |
+-----------------------------------------------------------------+------------+
|STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO PARTICIPATING | |
|SHARES (continued) | |
| | |
|For the year ended 30 September 2008 | |
+-----------------------------------------------------------------+------------+
+------------------+-------+-------------------+-------------+----+------------+
| | |Other distributable| | |
| | Share| | Retained| |
| | | Reserves| | Total|
| |Capital| | Earnings| |
+------------------+-------+-------------------+-------------+-----------------+
|EURO CLASS | €| €| €| €|
+------------------+-------+-------------------+-------------+-----------------+
+------------------+-------+-------------------+-------------+-----------------+
|Balance at 1 | 2| 831,247,362| 65,835,603| 897,082,967|
|October 2007 | | | | |
+------------------+-------+-------------------+-------------+-----------------+
|Buy-back of shares| -| (261,502,966)| -| (261,502,966)|
+------------------+-------+-------------------+-------------+-----------------+
|Conversion of | -| (125,839,276)| -| (125,839,276)|
|shares | | | | |
+------------------+-------+-------------------+-------------+-----------------+
|Loss | -| -| (75,304,531)| (75,304,531)|
+------------------+-------+-------------------+-------------+-----------------+
+------------------+-------+-------------------+-------------+-----------------+
|Balance at 30 | 2| 443,905,120| (9,468,928)| 434,436,194|
|September 2008 | | | | |
+------------------+-------+-------------------+-------------+-----------------+
+------------------+-------+-------------------+-------------+-----------------+
+------------------+-------+-------------------+-------------+-----------------+
|STERLING CLASS | | | | |
+------------------+-------+-------------------+-------------+-----------------+
+------------------+-------+-------------------+-------------+-----------------+
|Balance at 1 | -| 463,638,572| 10,555,896| 474,194,468|
|October 2007 | | | | |
+------------------+-------+-------------------+-------------+-----------------+
|Sell-back of | -| 101,913| -| 101,913|
|shares | | | | |
+------------------+-------+-------------------+-------------+-----------------+
|Buy-back of shares| -| (114,031,272)| -| (114,031,272)|
+------------------+-------+-------------------+-------------+-----------------+
|Conversion of | -| 184,720| -| 184,720|
|shares | | | | |
+------------------+-------+-------------------+-------------+-----------------+
|Loss | -| -|(101,128,799)| (101,128,799)|
+------------------+-------+-------------------+-------------+-----------------+
+------------------+-------+-------------------+-------------+-----------------+
|Balance at 30 | -| 349,893,933| (90,572,903)| 259,321,030|
|September 2008 | | | | |
+------------------+-------+-------------------+-------------+-----------------+
+------------------+-------+-------------------+-------------+-----------------+
+------------------+-------+-------------------+-------------+-----------------+
|US$ CLASS | | | | |
+------------------+-------+-------------------+-------------+-----------------+
+------------------+-------+-------------------+-------------+-----------------+
|Balance at 1 | -| 191,572,132| 1,554,040| 193,126,172|
|October 2007 | | | | |
+------------------+-------+-------------------+-------------+-----------------+
|Sell-back of | -| 19,143| -| 19,143|
|shares | | | | |
+------------------+-------+-------------------+-------------+-----------------+
|Buy-back of shares| -| (51,006,508)| -| (51,006,508)|
+------------------+-------+-------------------+-------------+-----------------+
|Conversion of | -| 125,656,030| -| 125,656,030|
|shares | | | | |
+------------------+-------+-------------------+-------------+-----------------+
|Loss | -| -| (26,766,601)| (26,766,601)|
+------------------+-------+-------------------+-------------+-----------------+
+------------------+-------+-------------------+-------------+-----------------+
|Balance at 30 | -| 266,240,797| (25,212,561)| 241,028,236|
|September 2008 | | | | |
+------------------+-------+-------------------+-------------+-----------------+
+------------------+-------+-------------------+-------------+-----------------+
+------------------+-------+-------------------+-------------+-----------------+
|TOTAL | | | | |
+------------------+-------+-------------------+-------------+-----------------+
+------------------+-------+-------------------+-------------+-----------------+
|Balance at 1 | 2| 1,486,458,066| 77,945,539| 1,564,403,607|
|October 2007 | | | | |
+------------------+-------+-------------------+-------------+-----------------+
|Sell-back of | -| 121,056| -| 121,056|
|shares | | | | |
+------------------+-------+-------------------+-------------+-----------------+
|Buy-back of shares| -| (426,540,746)| -| (426,540,746)|
+------------------+-------+-------------------+-------------+-----------------+
|Conversion of | -| 1,474| -| 1,474|
|shares | | | | |
+------------------+-------+-------------------+-------------+-----------------+
|Loss | -| -|(203,199,931)| (203,199,931)|
+------------------+-------+-------------------+-------------+-----------------+
+------------------+-------+-------------------+-------------+-----------------+
|Balance at 30 | 2| 1,060,039,850|(125,254,392)| 934,785,460|
|September 2008 | | | | |
+------------------+-------+-------------------+-------------+-----------------+
See notes to the financial statements.
MW TOPS Limited (the "Company")
CASH FLOW STATEMENT
For the year ended 30 September 2009
+------------------------------------------------+++-------------+-------------+
| ||| 2009| 2008|
+------------------------------------------------+++-------------+-------------+
| ||| €| €|
+------------------------------------------------+++-------------+-------------+
|Cash flows from operating activities ||| | |
+------------------------------------------------+++-------------+-------------+
+------------------------------------------------+++-------------+-------------+
|Net result attributable to participating shares ||| (38,828,342)|(203,199,931)|
+------------------------------------------------+++-------------+-------------+
+------------------------------------------------+++-------------+-------------+
|Adjustments to reconcile loss from ordinary ||| | |
|activities to net cash used in operating ||| | |
|activities: ||| | |
+------------------------------------------------+++-------------+-------------+
|Decrease in trade and other receivables ||| 106,478| 60,862|
+------------------------------------------------+++-------------+-------------+
|(Decrease)/increase in interest payable ||| (3,704,288)| 3,704,288|
+------------------------------------------------+++-------------+-------------+
|Decrease in management fee payable ||| (1,304,897)| (1,093,331)|
+------------------------------------------------+++-------------+-------------+
|Decrease in administration fee payable ||| (420)| (3,217)|
+------------------------------------------------+++-------------+-------------+
|(Decrease)/increase in trade and other payables ||| (165,314)| 178,158|
+------------------------------------------------+++-------------+-------------+
|Decrease in performance fee payable ||| -| (25,283,501)|
+------------------------------------------------+++-------------+-------------+
|Less movement in unrealised (gain)/loss on ||| | |
|investments at fair value through profit or loss||| (30,619,599)| 171,781,444|
+------------------------------------------------+++-------------+-------------+
|Less unrealised (loss)/gain on forward foreign ||| 20,325,210| (40,180,265)|
|exchange ||| | |
+------------------------------------------------+++-------------+-------------+
|Less realised (loss)/gain on investments ||| 43,404,616| (50,309,110)|
+------------------------------------------------+++-------------+-------------+
+------------------------------------------------+++-------------+-------------+
|Net cash outflow from operating activities ||| (10,786,556)|(144,344,603)|
+------------------------------------------------+++-------------+-------------+
+------------------------------------------------+++-------------+-------------+
+------------------------------------------------+++-------------+-------------+
|Cash flows from investing activities: ||| | |
+------------------------------------------------+++-------------+-------------+
|Purchase of investments in financial assets |||(314,144,993)|(155,881,761)|
+------------------------------------------------+++-------------+-------------+
|Sale of investments in financial assets |||1,190,818,485| 594,299,561|
+------------------------------------------------+++-------------+-------------+
+------------------------------------------------+++-------------+-------------+
|Net cash inflow from investing activities ||| 876,673,492| 438,417,800|
+------------------------------------------------+++-------------+-------------+
+------------------------------------------------+++-------------+-------------+
+------------------------------------------------+++-------------+-------------+
|Cash flows from financing activities: ||| | |
+------------------------------------------------+++-------------+-------------+
|Sell-back of shares ||| -| 121,056|
+------------------------------------------------+++-------------+-------------+
|Buy-back of share ||| (57,621,211)|(396,556,127)|
+------------------------------------------------+++-------------+-------------+
|Conversion of shares ||| (172)| 1,474|
+------------------------------------------------+++-------------+-------------+
|Redemptions |||(715,165,177)| -|
+------------------------------------------------+++-------------+-------------+
|Loan payable ||| (95,000,000)| 95,000,000|
+------------------------------------------------+++-------------+-------------+
+------------------------------------------------+++-------------+-------------+
|Net cash outflow from financing activities: |||(867,786,560)|(301,433,597)|
+------------------------------------------------+++-------------+-------------+
+------------------------------------------------+++-------------+-------------+
+------------------------------------------------+++-------------+-------------+
|Net decrease in cash and cash equivalents ||| (1,899,624)| (7,360,400)|
+------------------------------------------------+++-------------+-------------+
|Cash and cash equivalents at beginning of year ||| 1,916,196| 9,276,596|
+------------------------------------------------+++-------------+-------------+
+------------------------------------------------+++-------------+-------------+
|Cash and cash equivalents at end of year ||| 16,572| 1,916,196|
+------------------------------------------------+++-------------+-------------+
+------------------------------------------------+++-------------+-------------+
+------------------------------------------------+++-------------+-------------+
|Supplementary cash flow information: ||| | |
+------------------------------------------------+++-------------+-------------+
|Cash received for interest ||| 969,370| 834,413|
+------------------------------------------------+++-------------+-------------+
|Cash paid for interest ||| 3,940,322| 3,511|
+------------------------------------------------+++-------------+-------------+
+------------------------------------------------+++-------------+-------------+
+------------------------------------------------+++-------------+-------------+
See notes to the financial statements.
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS
For the year ended 30 September 2009
1 ORGANISATION
MW TOPS Limited was registered as a closed ended investment company in Guernsey
on 25 October 2006 and commenced operations on 8 December 2006. The Company is
organised as a feeder fund with three share classes. At the financial year end
the Company invested substantially all of its assets in the following Sub-Trusts
of the Marshall Wace TOPS Trust (the "Master Fund"): Sub-Trust H (Balanced
Europe), Sub-Trust European TOPS and Sub-Trust N (Market Neutral), an umbrella
unit trust established in the Cayman Islands on 11 October 2004. Sub-Trust H,
Sub-Trust European TOPS and Sub-Trust N are independently valued on a weekly
basis and investments may be subscribed or redeemed at each valuation point.
The Company's share capital comprises four classes of shares: Euro shares,
Sterling shares, US$ shares and Management shares. The Euro shares, Sterling
shares and US$ shares are each traded on the London Stock Exchange. Management
shares are not redeemable, do not carry any right to dividends and in a winding
up rank only for a return of the amount of the share capital paid up on them.
The Company's investment objective is to provide via the Master Fund consistent
absolute returns primarily derived through trading in equities of companies
incorporated in or whose principal operations are in Europe (including Eastern
Europe). There is no assurance the Company will meet its investment objective.
2 SIGNIFICANT ACCOUNTING POLICIES
(a) Statement of compliance
The financial statements have been prepared in accordance with International
Financial Reporting Standards (IFRS) issued by the International Accounting
Standards Board (IASB), interpretations issued by the International Financial
Reporting Interpretations Committee (IFRIC) and with applicable requirements of
The Companies (Guernsey) Law, 2008.
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
2 SIGNIFICANT ACCOUNTING POLICIES (continued)
(a) Statement of compliance (continued)
The accounting policies adopted are consistent with those of the previous
financial year.
At the date of authorisation of these financial statements the following
Standards and Interpretations which have not been applied in these financial
statements were in issue but not yet effective.
IFRS 1 First time adoption of International Financial Reporting Standards - cost
of an investment in a subsidiary, jointly controlled entity or associate
(amendments). Effective for annual periods beginning on or after 1 January 2009.
IFRS 1 First time adoption of International Financial Reporting Standards -
additional exemptions for first-time adopters. Effective for annual periods
beginning on or after 1 January 2010.
IFRS 2 (revised 2008) Share-based Payment. Effective for annual periods
beginning on or after 1 January 2009.
IFRS 2 Share-based payments-group cash-settled share-based payment transactions.
Effective for annual periods beginning on or after 1 January 2010.
IFRS 3 (revised 2008) Business Combinations. Effective for annual periods
beginning on or after 1 July 2009.
IFRS 7 (revised March 2009) Financial Instruments: Disclosures. Effective for
annual periods beginning on or after 1 January 2009.
IFRS 8 Operating segments. Effective for annual periods beginning on or after 1
January 2009.
IAS 1 (revised 2007) Presentation of Financial Statements. Effective for annual
periods beginning on or after 1 January 2009.
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
2 SIGNIFICANT ACCOUNTING POLICIES (continued)
(a) Statement of compliance (continued)
IAS 23 (revised 2007) Borrowing costs. Effective for borrowing costs relating to
qualifying assets for which the commencement date of capitalisation is on or
after 1 January 2009.
IAS 27 (revised 2008) Consolidated and Separate Financial Statements. Effective
for annual periods beginning on or after 1 January 2009.
IAS 27 (amendment) Consolidated and Separate Financial Statements. Effective for
annual periods beginning on or after 1 July 2009.
IAS 32 (revised 2008) Financial Instruments: Presentation. Effective for annual
periods beginning on or after 1 January 2009.
IAS 39 (revised July 2008) Financial Instruments: Recognition and Measurement.
Effective for annual periods beginning on or after 1 July 2009
The Directors do not anticipate that the adoption of these Standards and
Interpretations in future years will have a material impact on the financial
statements of the Company when the relevant Standards and interpretations come
into effect.
(b) Basis of preparation
The financial statements have been prepared on a historical cost basis, except
for financial instruments classified as at fair value through profit or loss
that have been measured at fair value.
The Company operates as one geographic and one economic segment. Consequently no
segment reporting is provided in the Company's financial statements.
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
2 SIGNIFICANT ACCOUNTING POLICIES (continued)
(c) Financial instruments at fair value through profit or loss
(i) Classification
The Company designates its financial assets and liabilities, except loans
payable, at fair value through profit or loss. The category of financial assets
and liabilities at fair value through profit or loss comprises the following
items:
Financial instruments at fair value through profit or loss
These include forward contracts and collective investment schemes. These
instruments are acquired or incurred principally for the purpose of generating a
profit from short-term fluctuation in price. Derivatives are categorised as held
for trading, as the Company does not designate any derivatives as hedges for
hedge accounting purposes as described under IAS 39 Financial Instruments:
Recognition and Measurement ("IAS 39").
Loans
Loans represent non-derivative financial liabilities with fixed or determinable
payments that are not quoted in an active market.
(ii) Initial measurements
Purchases and sales of financial instruments are accounted for at trade date.
Realised gains and losses on disposals of financial instruments are calculated
using the first-in-first-out (FIFO) method.
Financial instruments categorised at fair value through profit or loss are
measured initially at the fair value of the consideration granted. Transaction
costs for such instruments are recognised directly in the Income Statement.
Financial liabilities, other than those at fair value through profit or loss,
are recognised initially at fair value plus transaction costs that are directly
attributable to their acquisition or issue.
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
2 SIGNIFICANT ACCOUNTING POLICIES (continued)
(c) Financial instruments at fair value through profit or loss
(iii) Subsequent measurement
After initial measurement, the Company measures financial instruments which are
classified as fair value through profit or loss, at fair value. Fair value is
the proportion of the net asset value of the Master Fund held by the Company.
Financial assets are priced at their current bid prices, while financial
liabilities are priced at their current offer price.
The fair value of forward contracts is based on their quoted market prices on a
recognised exchange or sourced from a reputable broker/counterparty, in the case
of non-exchange traded instruments, at the balance sheet date without any
deduction for estimated future selling costs.
Loans payable are measured at amortised cost using the effective interest
method.
(d) Offsetting financial instruments
Financial assets and liabilities are offset and the net amount reported in the
Balance Sheet when there is a legally enforceable right to set off the
recognised amounts and there is an intention to settle on a net basis, or
realise the asset and settle the liability simultaneously.
(e) Cash and cash equivalents
Cash comprises cash on hand and demand deposits. Cash equivalents are short
term, highly liquid investments that are readily convertible to known amounts of
cash and which are subject to insignificant changes in value.
(f) Functional and presentational currency
Items included in the Company's financial statements are measured and presented
using the currency of the primary economic environment in which it operates (the
"functional currency"). This is the Euro, which reflects the Company's primary
activity of investing in European securities and derivatives.
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
2 SIGNIFICANT ACCOUNTING POLICIES (continued)
(g) Foreign currency transactions
Monetary assets and liabilities denominated in currencies other than the Euro
are translated into the Euro at the closing rates of exchange at each year end.
Share capital is valued at historic cost. Transactions during the year including
purchases and sales of securities, income and expenses, are translated at the
rate of exchange prevailing on the date of the transaction. Foreign currency
transaction gains and losses are included in realised and unrealised gain and
loss on foreign exchange on the Income Statement.
The Company does not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on investments, from the fluctuations
arising from changes in the market prices of securities. Fluctuations in the
value of foreign currency hedging instruments are included in the net realised
and unrealised gain or loss on foreign exchange.
(h) Guernsey tax exemption
The Company has been granted exemption under the Income Tax (Exempt Bodies)
(Guernsey) Ordinance, 1989 from Guernsey Income Tax, and is charged the annual
fee of £600.
(i) Interest income and expense
Interest income and interest expense are recognised in the Income Statement for
all interest bearing instruments on the effective interest method.
(j) Management shares
The Company's Management shares are issued for administrative purposes only in
accordance with the Company's Articles of Association. These shares do not
participate in the profits of the Company.
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
2 SIGNIFICANT ACCOUNTING POLICIES (continued)
(k) Participating shares
Participating shares have been classified as liabilities in accordance with IAS
32 because they meet the definition of puttable instruments, the Company as a
whole does not have the power to decline a cash exit vote by any share class at
the 2013 and every seventh subsequent annual general meeting.
3 SHARE BUY-BACK PAYABLE
The amount of share buy-backs payable as at 30 September 2009 was €Nil (2008:
€29,984,619). This amount represents shares bought back in the market before the
year end but not yet settled.
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
4. FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH PROFIT OR LOSS
+---------------------------------++-------------+---------------+-------------+
| || |Appreciation / | 2009|
| || Cost| | |
| || | (Depreciation)| Fair Value|
+---------------------------------++-------------+---------------+-------------+
| || €| €| €|
+---------------------------------++-------------+---------------+-------------+
|Financial assets at fair value || | | |
|through profit or loss || | | |
+---------------------------------++-------------+---------------+-------------+
|Hedge funds || 147,762,603| 9,132,030| 156,894,633|
+---------------------------------++-------------+---------------+-------------+
+---------------------------------++-------------+---------------+-------------+
|Total held for trading || 147,762,603| 9,132,030| 156,894,633|
+---------------------------------++-------------+---------------+-------------+
+---------------------------------++-------------+---------------+-------------+
+---------------------------------++-------------+---------------+-------------+
| || | | 2008|
| || Cost| Depreciation| |
| || | | Fair Value|
+---------------------------------++-------------+---------------+-------------+
| || €| €| €|
+---------------------------------++-------------+---------------+-------------+
|Financial assets at fair value || | | |
|through profit or loss || | | |
+---------------------------------++-------------+---------------+-------------+
|Hedge funds ||1,067,840,711| (21,487,569)|1,046,353,142|
+---------------------------------++-------------+---------------+-------------+
|Forward contracts || -| -| 16,952,319|
+---------------------------------++-------------+---------------+-------------+
+---------------------------------++-------------+---------------+-------------+
|Total held for trading ||1,067,840,711| (21,487,569)|1,063,305,461|
+---------------------------------++-------------+---------------+-------------+
+---------------------------------++-------------+---------------+-------------+
+---------------------------------++-------------+---------------+-------------+
+---------------------------------------------------+++-------------+----------+
| ||| 2009|Net Assets|
+---------------------------------------------------+++-------------+----------+
| ||| €| %|
+---------------------------------------------------+++-------------+----------+
|Schedule of investments ||| | |
+---------------------------------------------------+++-------------+----------+
|(Investment in Sub-Trusts divided by net assets of ||| | |
|the Company) ||| | |
+---------------------------------------------------+++-------------+----------+
|Marshall Wace TOPS Trust ||| | |
+---------------------------------------------------+++-------------+----------+
|Marshall Wace TOPS Sub-Trust H ||| 15,682,881| 10.24%|
+---------------------------------------------------+++-------------+----------+
|Marshall Wace Sub Trust European TOPS ||| 110,950,487| 72.44%|
+---------------------------------------------------+++-------------+----------+
|Marshall Wace TOPS Sub-Trust N ||| 30,261,265| 19.76%|
+---------------------------------------------------+++-------------+----------+
+---------------------------------------------------+++-------------+----------+
|Total investment in Marshall Wace TOPS Trust ||| 156,894,633| 102.44%|
+---------------------------------------------------+++-------------+----------+
+---------------------------------------------------+++-------------+----------+
+---------------------------------------------------+++-------------+----------+
| ||| 2008|Net Assets|
+---------------------------------------------------+++-------------+----------+
| ||| €| %|
+---------------------------------------------------+++-------------+----------+
|Schedule of investments ||| | |
+---------------------------------------------------+++-------------+----------+
|Marshall Wace TOPS Trust ||| | |
+---------------------------------------------------+++-------------+----------+
|Marshall Wace TOPS Sub-Trust C ||| 457,957,516| 48.99%|
+---------------------------------------------------+++-------------+----------+
|Marshall Wace TOPS Sub-Trust D ||| 485,030,817| 51.89%|
+---------------------------------------------------+++-------------+----------+
|Marshall Wace TOPS Sub-Trust N ||| 103,364,809| 11.06%|
+---------------------------------------------------+++-------------+----------+
+---------------------------------------------------+++-------------+----------+
|Total investment in Marshall Wace TOPS Trust |||1,046,353,142| 111.94%|
+---------------------------------------------------+++-------------+----------+
+---------------------------------------------------+++-------------+----------+
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
4 FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH PROFIT OR LOSS (continued)
+-------------------------------------------------+++------------+-------------+
| ||| 2009| 2008|
+-------------------------------------------------+++------------+-------------+
| ||| €| €|
+-------------------------------------------------+++------------+-------------+
|Net loss on foreign exchange and financial assets||| | |
|at fair value through profit or loss ||| | |
+-------------------------------------------------+++------------+-------------+
|Net realised (loss)/gain on financial assets at |||(43,404,616)| 50,309,110|
|fair value through profit or loss ||| | |
+-------------------------------------------------+++------------+-------------+
|Net realised gain/(loss) on foreign exchange ||| 1,713,417| (91,029,868)|
+-------------------------------------------------+++------------+-------------+
|Net unrealised gain/(loss) on financial assets at||| | |
|fair value through profit or loss ||| 30,619,599|(171,781,444)|
+-------------------------------------------------+++------------+-------------+
|Net unrealised (loss)/gain on foreign exchange |||(20,158,547)| 40,014,221|
+-------------------------------------------------+++------------+-------------+
+-------------------------------------------------+++------------+-------------+
| |||(31,230,147)|(172,487,981)|
+-------------------------------------------------+++------------+-------------+
+-------------------------------------------------+++------------+-------------+
+-------------------------------------------------+++------------+-------------+
+-------------------------------------------------+++------------+-------------+
| ||| 2009| 2008|
+-------------------------------------------------+++------------+-------------+
| ||| Fair Value| Fair Value|
+-------------------------------------------------+++------------+-------------+
| ||| €| €|
+-------------------------------------------------+++------------+-------------+
|Financial liabilities at fair value through ||| | |
|profit or loss ||| | |
+-------------------------------------------------+++------------+-------------+
|Forward contracts ||| (3,372,891)| -|
+-------------------------------------------------+++------------+-------------+
+-------------------------------------------------+++------------+-------------+
|Total held for trading ||| (3,372,891)| -|
+-------------------------------------------------+++------------+-------------+
5 BASIC EARNINGS PER SHARE
The basic earnings per each class of share is based on the net (loss)/gain for
the year of loss £37,720,553 (2008: loss £79,694,752) and 11,538,744 (2008:
30,677,069) shares in the Sterling share class, €9,667,409 loss (2008: loss
€75,304,531) and 19,482,572 (2008: 68,537,502) shares in the Euro share class
and $17,703,938 gain (2008: loss $37,597,760) and 10,020,618 (2008: 23,507,310)
shares in the US$ share class, each being the weighted average number of shares
of each class in issue during the year. Earnings is pro-rated between the
different classes of share after adjustments for subscriptions, redemptions,
conversions and forward foreign currency contracts relating to specific share
classes. Basic earnings per share differs from the changes in NAV per share
because of the effects of the currency hedging programme, the facility for
conversion between share classes, the liquidity enhancement programme and the
cash exit offer during the year.
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
6 FEES AND EXPENSES
Investment management and distribution fee
Pursuant to the Investment Management Agreement, the Investment Manager receives
monthly from the Company an investment management fee equal to one-twelfth of
2% of the Net Asset Value of the Company (before deduction of that month's
investment management fee and before deduction for any accrued performance fees)
as at each valuation day.
90% of estimated management fees are paid on the valuation date to the
Investment Manager and the remaining balance is then paid once the management
fee figures are finalised following publication of the agreed month end NAV. The
Investment management fee charged for the year amounted to €7,381,874 (2008:
€25,979,820), of which €255,693 (2008: €1,560,590) were payable at 30 September
2009.
Under the distribution agreement, the Investment Manager was entitled to receive
a fee for its services in connection with the solicitation of subscriptions for
shares. The fees did not exceed the expenses incurred by the Investment Manager.
The distribution fee paid for the year amounted to €79,672 (2008: €100,275) of
which €Nil (2008: €70,328) was payable at 30 September 2009.
Performance fee
The Investment Manager is also entitled to receive a performance fee from the
Company calculated on a share-by-share basis so that each share is charged a
performance fee, which precisely equates with that share's performance. The
performance fee is calculated in respect of each twelve-month period ending on
30 September in each year (a "Calculation Period").
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
6 FEES AND EXPENSES (continued)
Performance fee (continued)
In respect of each Calculation Period, the performance fee is calculated by
aggregating the monthly increase or decrease (as the case may be) in the net
asset value of the relevant class of shares (as adjusted for any increases or
decreases in net asset value arising from issues, repurchases or redemptions of
shares or any conversions of shares from one class into any other class and
before deduction for any accrued performance fees) disregarding any increases or
decreases in the net asset value of the relevant class of shares that occur
below the "high water mark" as at the relevant month-end NAV calculation date
for each month during the relevant Calculation Period. The sum of the
performance fee will equal 20% of such amount (if positive) payable only if the
NAV of any class of shares at the end of a Calculation Period exceeds the "high
water mark".
The performance fee is calculated and payable in any of the currencies in which
the shares may be denominated and will normally be paid within 30 calendar days
of the end of each financial year. The performance fee is deemed to accrue as at
each month-end NAV calculation date. Performance fees charged for the year
amount to €Nil (2008: €Nil).
Administrator and secretary
The Administrator is paid an annual fee of approximately £40,000 (the "Base
Administration Fee") plus 0.005% of the net asset value of the Company above
€100m (the "Variable Administration Fee"), plus additional fees calculated on a
time cost basis for services and involvement with matters of a non-routine or ad
hoc nature, all payable monthly in arrears. Administrator fees charged for the
period amounted to €77,242 (2008: €102,103) of which €3,820 (2008: €7,240) was
outstanding at the year end.
The Sub-Administrator is also paid an annual fee of €36,000 plus reasonable out
of pocket expenses in relation to certain administrative functions delegated to
it by the Administrator. Sub-Administrator fees charged for the year amounted to
€36,000 (2008: €36,000) of which €6,000 (2008: €3,000) was outstanding at the
year end.
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
6 FEES AND EXPENSES (continued)
Operating expenses
The Company is responsible for all other normal operating expenses, including
audit, legal and regulatory fees, and other charges, including expenses of
acquiring and disposing of investments. These expenses are accrued throughout
the period for which the Company receives the related benefit.
7 FINANCIAL INSTRUMENTS AND ASSOCIATED RISKS
Risk is inherent in the Company's activities but it is managed through a process
of ongoing identification, measurement and monitoring, subject to risks limits
and other controls. The process of risk management is critical to the Company's
continuing profitability. The Company is exposed to market risk (which includes
currency risk, interest rate risk and other price risk), credit risk and
liquidity risk arising from the financial instruments it holds.
As mentioned above, the Company invests substantially all of its assets in the
units of three Sub-Trusts of the Master Fund namely Sub-Trust H (Balanced
Europe), Sub-Trust European TOPS and Sub-Trust N (Market Neutral). As such,
through its investment in the Master Fund, the Company is exposed to market risk
(which includes currency risk, interest rate risk and other price risk), credit
risk and liquidity risk arising from the financial instruments it holds. Further
details of these risks are outlined below.
Risk management structure
The Directors are ultimately responsible for identifying and controlling risks.
However, administration of the day-to-day management of the Company's risk has
been delegated to Marshall Wace LLP as Investment Manager to the Company and
Master Fund.
Risk measurement and reporting system
As detailed above, the Company invests substantially all of its assets in the
three Sub-Trusts of the Master Fund. Risk measurement and reporting is therefore
performed at the Sub-Trust level. The Investment Manager combines proprietary
models and systems with third party risk systems to produce, on a daily
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
7 FINANCIAL INSTRUMENTS AND ASSOCIATED RISKS (continued)
Risk measurement and reporting system (continued)
basis, a detailed risk profile of each of the Sub-Trusts as well as computing
annualised volatility and Value at Risk (VaR) for all client portfolios.
This process is managed by a dedicated risk team within the Investment Manager.
Calculations are performed using risk engines provided by APT and Barclays which
have been tailored to internal requirements via proprietary risk technology. The
risk models are used to measure the risk characteristics of the portfolio and to
ensure that the portfolios operate within the pre-defined portfolio parameters.
VaR is a statistical estimation as to maximum losses which will not be exceeded
with a given probability. VaR is a point in time calculation, reflecting
positions as recorded at that date, which do not necessarily reflect the risk
positions held at any other time. VaR is a statistical estimation and therefore
it is possible that there could be, in any period, a greater number of days in
which losses could exceed the calculated VaR than implied by the confidence
level. Although losses are not expected to exceed the calculated VaR on 99% of
occasions, on the other 1% of occasions, losses will be greater and might be
substantially greater than the calculated VaR.
Because each Sub-Trust undertakes different investment strategies under normal
market conditions, their actual performance compared to that predicted under VaR
behaves independently of each other's. Under the extraordinary volatile market
conditions, that have prevailed since 2007, it is normal to expect that actual
losses (or gains) will have exceeded those calculated by the Investment Manager
VaR models on more occasions than predicted.
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
7 FINANCIAL INSTRUMENTS AND ASSOCIATED RISKS (continued)
Risk measurement and reporting system (continued)
Estimated VaR for each of the Sub-Trusts as at 30 September 2009 and 2008 is
disclosed below (based on a confidence level of 99%, one month), based upon a
52 week calibration period. The period of one month has been used as it is
considered industry standard.
2009 2008
Sub-Trust European TOPS 5.71% N/A
Sub-Trust H (Balanced Europe) 4.18% N/A
Sub-Trust C (Opportunistic-Hedged) 5.05% 3.20%
Sub-Trust D (Fundamental-Hedged) 4.49% 2.60%
Sub-Trust N (Market Neutral) 2.08% 2.00%
Risk mitigation
The Company has investment guidelines that set out its overall investment
strategies, its tolerance for risk and its general risk management philosophy
and have established processes to monitor and control economic hedging
transactions in a timely and accurate manner. The Investment Manager uses
derivatives and other instruments in connection with its risk management
activities.
Market risk
Market risk is the risk that the fair value or future cash flows of a financial
instrument will fluctuate because of changes in market prices and includes
interest rate risk, foreign currency risk and "other price risks", such as
equity risk. The Company's market risk exposure is primarily through its
investments in the Master Fund.
The Master Fund's market price risk is managed through diversification of the
investment portfolio. Additionally, the Investment Manager uses derivative
instruments to hedge the investment portfolio against market risk.
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
7 FINANCIAL INSTRUMENTS AND ASSOCIATED RISKS (continued)
Market risk (continued)
The Investment Manager rebalances the holdings in the Sub-Trusts on an ad-hoc
basis as deemed necessary. This was carried out twice in the accounting period
under review. For the period 1 June to 31 July 2009 the ratio was set at 35%
Sub-Trust A, 35% Sub-Trust B, 10% Sub-Trust H and 20% Sub-Trust N. A further
rebalancing was carried out, and with effect from 1 August 2009 the ratio was
set at 10% Sub-Trust H, 70% Sub-Trust European TOPS and 20% Sub-Trust N.
Securities sold short and options written represent obligations of the Master
Fund to deliver the specified security at the contracted price, and thereby
create a liability to repurchase the security in the market at prevailing
prices. Accordingly, these securities may result in off-balance sheet risk as
the Master Fund's satisfaction of the obligations may exceed the amount
recognised in the Balance Sheet.
Equity price risk
Equity price risk is the risk that the fair values of equities decrease as the
result of changes in the levels of equity indices and the value of individual
stocks. The trading equity price risk exposure arises from the Master Fund's
investment portfolio. The Investment Manager manages this risk through
diversification of its portfolio and the
use of derivatives. The derivative contracts that the Master Fund holds or
issues are forward contracts, futures and CFDs.
Interest rate risk
Interest rate risk arises from the possibility that changes in interest rates
will affect future cash flows or the fair values of financial instruments.
The majority of the Company's and Master Fund's financial assets are equity
shares and other instruments which neither pay interest not have a maturity date
and as a result the Company is not subject to significant amounts of risk due to
fluctuations in the prevailing levels of market interest rates.
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
7 FINANCIAL INSTRUMENTS AND ASSOCIATED RISKS (continued)
Currency risk
Currency risk is the risk that the value of a financial instrument will
fluctuate due to changes in foreign exchange rates. The shares of the Company
are denominated in Euro, Sterling and US$. Certain of the assets of the Master
Fund may, however, be invested in securities and other investments that are
denominated in currencies other than the currencies mentioned above.
Accordingly, the value of the Company's assets may be affected favourably or
unfavourably by fluctuations in currency rates and therefore the Company will
necessarily be subject to foreign exchange risks.
The primary purpose of the Company's and Master Fund's foreign currency economic
hedging activities is to protect against the volatility associated with
investments denominated in foreign currencies and other assets and liabilities
created in the normal course of business. The Company and Master Fund primarily
utilise forward exchange contracts with maturities of less than twelve months to
hedge foreign-currency-denominated financial assets and liabilities.
Increases or decreases in the Company's and Master Fund's
foreign-currency-denominated financial assets and liabilities are partially
offset by gains and losses on the economic hedging instruments.
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
7 FINANCIAL INSTRUMENTS AND ASSOCIATED RISKS (continued)
Currency risk (continued)
Concentration of direct currency exposure
+--------------------------+-------------+-----------+-----------+-------------+
|2009 | €| £| $| Total|
+--------------------------+-------------+-----------+-----------+-------------+
+--------------------------+-------------+-----------+-----------+-------------+
|Assets | 156,930,007| 2,713| 8,008| 156,940,728|
+--------------------------+-------------+-----------+-----------+-------------+
|Liabilities | (3,785,551)| -| -| (3,785,551)|
+--------------------------+-------------+-----------+-----------+-------------+
+--------------------------+-------------+-----------+-----------+-------------+
|Net Assets | 153,144,456| 2,713| 8,008| 153,155,177|
+--------------------------+-------------+-----------+-----------+-------------+
+--------------------------+-------------+-----------+-----------+-------------+
|Effect of Forwards Foreign| | | | |
|Exchange Contracts | (94,771,404)| 83,487,767| 11,283,637| -|
+--------------------------+-------------+-----------+-----------+-------------+
+--------------------------+-------------+-----------+-----------+-------------+
|Net exposure | 58,373,052| 83,490,480| 11,291,645| 153,155,177|
+--------------------------+-------------+-----------+-----------+-------------+
+--------------------------+-------------+-----------+-----------+-------------+
+--------------------------+-------------+-----------+-----------+-------------+
|2008 | €| £| $| Total|
+--------------------------+-------------+-----------+-----------+-------------+
+--------------------------+-------------+-----------+-----------+-------------+
|Assets |1,065,330,887| 19,212| 7,558|1,065,357,658|
+--------------------------+-------------+-----------+-----------+-------------+
|Liabilities |(130,572,198)| -| -|(130,572,198)|
+--------------------------+-------------+-----------+-----------+-------------+
+--------------------------+-------------+-----------+-----------+-------------+
|Net Assets | 934,758,689| 19,212| 7,558| 934,785,460|
+--------------------------+-------------+-----------+-----------+-------------+
+--------------------------+-------------+-----------+-----------+-------------+
|Effect of Forwards Foreign| | | | |
|Exchange Contracts |(500,483,185)|259,225,888|241,257,297| -|
+--------------------------+-------------+-----------+-----------+-------------+
+--------------------------+-------------+-----------+-----------+-------------+
|Net exposure | 434,275,504|259,245,100|241,264,855| 934,785,460|
+--------------------------+-------------+-----------+-----------+-------------+
+--------------------------+-------------+-----------+-----------+-------------+
Forward foreign exchange contracts are held to hedge the USD and GBP share class
exposure.
Liquidity risk
Liquidity risk is the risk that the Company will encounter difficulty in
realising assets or otherwise raising funds to meet financial commitments. Those
financial commitments are represented from time to time, by fees payable and
other expenses of the Company, amounts payable for share buy-backs, repayment of
short-term borrowing in connection with buy-back programme, interest expenses
and amounts payable under forward foreign exchange contracts. The Company
managed its ability to fulfil these commitments through redemption in the Master
Fund.
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
7 FINANCIAL INSTRUMENTS AND ASSOCIATED RISKS (continued)
Liquidity risk (continued)
The Company may redeem its units, shares or interests in the Master Funds only
on a weekly basis and does not have any special or preferential rights in the
Master Fund.
The Company entered into a secured loan facility agreement on 1 October 2007 in
connection with the Company's Liquidity Programme, as disclosed in Note 11 to
the Financial Statements. The Loan was terminated and repaid on 18 October 2008.
All financial liabilities as at 30 September 2009 and 2008 were due to settle
within one month.
Forward foreign exchange contracts are settled net, the net amounts receivable /
(payable) at 30 September 2009 was €(3,372,891) payable (2008: €16,952,319
receivable). The gross amounts receivable and payable are disclosed in Note 8.
Although the investments held by the Master Fund are highly liquid, the Master
Fund itself is relatively illiquid. There is currently no active market in the
units, shares or interests of any of the Master Fund and none is expected to
develop. Accordingly, in order to realise its investment in the Master Fund, the
Company will need to exercise its redemption rights as a holder of units, shares
or interests in the Master Fund. The Company may redeem its units, shares or
interests in the Master Fund only on a weekly basis subject to giving 30 days
notice and does not have any special preferential rights in the Master Fund.
Furthermore, the Trustee of the Master Fund has the ability, subject to certain
time restrictions, to suspend temporarily the right of investors in each of the
Initial Funds to redeem their investment in certain circumstances.
These limitations on the Company's ability to redeem its investments in the
Master Fund may limit the ability of the Company to realise its investments at
the optimal time and / or price. These limitations on the Company's ability to
respond to general adverse economic or market changes, as well as adverse
changes in the Master
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
7 FINANCIAL INSTRUMENTS AND ASSOCIATED RISKS (continued)
Liquidity risk (continued)
Fund, may adversely impact the value of its investments as well as the value of
the shares. Shareholders could therefore also be adversely affected.
Credit risk
Credit risk is the risk that one party to a financial instrument will cause a
financial loss for the other party by failing to discharge an obligation. It is
the Master Fund's policy to enter into financial instruments with a range of
reputable counterparties. Therefore, the Master Fund does not expect to incur
material credit losses on its financial instruments.
The Master Fund's maximum exposure to credit risk (not taking into account the
value of any collateral or other security held) in the event that counterparties
fail to perform their obligations as of 30 September 2009 in relation to each
class of recognised financial assets, other than derivatives, is the carrying
amount of those assets as indicated in the Balance Sheet of each of the
Sub-Trusts.
With respect to derivative financial instruments, credit risk arises from the
potential failure of counterparties to meet their obligations under the contract
or arrangement. The Company's and Master Fund's maximum credit risk exposure for
forward foreign exchange contracts is the full amount of the foreign currency
the Company or Master Fund will be required to pay or purchase when settling the
forward foreign exchange contracts, should the counterparties not pay the
currency they are committed to deliver to the Company or Master Fund. The
counterparty to the Company's forward foreign exchange contracts held directly
by the Company were Sub-Trust C US$Nil and £Nil (30 September 2008:
US$152,490,000 and £91,920,000), Sub-Trust D US$Nil and £Nil (30 September
2008: US$152,490,000 and £91,920,000), Sub-Trust N US$3,298,700 and £15,260,500
(30 September 2008: US$33,890,000 and £20,430,000), Sub-Trust H US$1,649,300 and
£7,630,300 (30 September 2008: US$Nil and £Nil) and Sub-Trust European TOPS
US$11,545,400 and £53,411,800 (30 September 2008: US$Nil and £Nil).
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
7 FINANCIAL INSTRUMENTS AND ASSOCIATED RISKS (continued)
Credit risk (continued)
The Company's cash and cash equivalents are held with one bank whose credit
worthiness is monitored by reference to published ratings by Moody's and
Standard & Poor's and through the Investment Manager's own internal due
diligence processes.
Significant concentration of credit risk
The Master Fund's portfolio of financial instruments is broadly diversified
along industry, product and geographic lines, and transactions are entered into
with a range of counterparties, thereby mitigating any significant concentration
of credit risk.
Capital management
In managing the capital of the Company the Investment Manager seeks to provide
consistent absolute returns derived through trading in equities of companies in
accordance with the Company's investment objectives and policies. The capital
structure of the Company consists of Net Assets attributable to participating
shares of €153,155,177 (2008: €934,785,460) and short-term debt of €Nil (2008:
€95,000,000). The Company is not subject to any externally imposed capital
requirements. The Company operates a share buy-back programme designed to manage
the discount of share price to net asset value. Transactions under the programme
are disclosed in Note 9.
8 DERIVATIVE CONTRACTS
Typically, derivative contracts serve as components of the Company's investment
strategy and are utilised primarily to structure and hedge investments, to
enhance performance and reduce foreign exchange risk to the Company (the Company
does not designate any derivatives as hedges for hedge accounting purposes as
described under IAS 39). The derivative contracts that the Company holds or
issues are forward contracts.
The Company records its derivative activities on a fair value basis. Fair values
are determined by using quoted market prices.
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
8 DERIVATIVE CONTRACTS (continued)
As of 30 September 2009, the following derivative contracts were included in the
Company's Balance Sheet at fair value through profit or loss:
+-----------+-------------+----------+--------------+------------+-------------+
|Purchase | Notional| | Notional| | Unrealised|
|Currency | Amount| Sale| Amount| Settlement|Gain / (Loss)|
| | | Currency| | Date| €|
+-----------+-------------+----------+--------------+------------+-------------+
+-----------+-------------+----------+--------------+------------+-------------+
|GBP | 76,302,600| EUR| (86,651,117)| 1 Oct 09| (3,163,350)|
+-----------+-------------+----------+--------------+------------+-------------+
|USD | 16,493,400| EUR| (11,493,178)| 1 Oct 09| (209,541)|
+-----------+-------------+----------+--------------+------------+-------------+
+-----------+-------------+----------+--------------+------------+-------------+
| | | | | | (3,372,891)|
+-----------+-------------+----------+--------------+------------+-------------+
As of 30 September 2008, the following derivative contracts were included in the
Company's Balance Sheet at fair value through profit or loss:
+-----------+-------------+----------+---------------+------------+------------+
|Purchase | Notional| | | | Unrealised|
|Currency | Amount| Sale|Notional Amount| Settlement| Gain €|
| | | Currency| | Date| |
+-----------+-------------+----------+---------------+------------+------------+
+-----------+-------------+----------+---------------+------------+------------+
|GBP | 204,270,000| EUR| (252,932,029)| 1 Oct 08| 6,270,386|
+-----------+-------------+----------+---------------+------------+------------+
|USD | 338,870,000| EUR| (230,539,492)| 1 Oct 08| 10,681,933|
+-----------+-------------+----------+---------------+------------+------------+
+-----------+-------------+----------+---------------+------------+------------+
| | | | | | 16,952,319|
+-----------+-------------+----------+---------------+------------+------------+
Forward contracts entered into by the Company represent a firm commitment to buy
or sell an underlying asset, or currency at a specified value and point in time
based upon an agreed or contracted quantity. The realised/unrealised gain or
loss is equal to the difference between the value of the contract at the onset
and the value of the contract at settlement date/year end date and is included
in the Income Statement. The Company would be contractually required to pay this
amount at maturity.
9 SHARE CAPITAL
The authorised share capital of the Company is an unlimited number of shares of
no par value and 100 Management shares of par value €1 each. The issued share
capital comprises 2 (30 September 2008: 2) Management shares and 14,597,799
(2008: 103,210,244) Redeemable Participating Preference shares. Shareholders
have the right to receive notice of and to attend and vote at general meetings
of the Company.
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
9 SHARE CAPITAL (continued)
Each share has equal dividend, distribution and liquidation rights. Each
Shareholder who is present at a general meeting in person or by Proxy has one
vote per share. On a winding up, shares are entitled, in priority to the
Management shares, to the return of capital paid up thereon and to the surplus
assets of the Company. Management shares only have the right to vote when there
are no redeemable Preference shares of the Company in issue and do not carry any
rights to dividends.
Shares that have been bought back are held in a Treasury account and have been
removed from the open market. Such shares may not exceed 10% of the total shares
in issue for the relevant class, with any subsequent share purchases cancelled
by the Company.
Shareholders of any one class of shares have the right to convert all or part of
their holding into any other class of shares to an equivalent net asset value on
a monthly basis in accordance with the detailed provisions of the Articles.
Pursuant to an application to the Royal Court of Guernsey share premium was
converted to distributable reserves on 15 December 2006.
On 19 November 2008, the Directors offered all shareholders in the Company the
opportunity to redeem any number of their shares, at a redemption price per
share equal to the Net Asset Value per share of the relevant class as at 23
January 2009, less costs of implementing the redemption offer.
As a result of the redemption offer, 46,529,177 Euro class shares, 17,337,463
Sterling class shares and 17,228,171 US$ class shares were redeemed by
shareholders and subsequently cancelled by the Company at a redemption price of
€9.0880, £9.2008 and $8.9649 respectively.
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
9 SHARE CAPITAL (continued)
Pursuant to the Discount Management Provisions of the Company's Articles of
Incorporation, if in any period of 12 months, the shares of any class have
traded, on average, at a discount in excess of 5% of the average Net Asset Value
per share of that class taken over the 12 month-end NAV calculation dates in the
period, the Directors were required to convene a General Meeting of shareholders
of that class in order for shareholders of that class to consider a continuation
vote.
During the period under review the requirement to convene a General Meeting of
Euro shareholders in respect of the Euro Share class had been triggered. At a
General Meeting of Euro shareholders on 8 January 2009, Euro shareholders voted
in favour of a resolution to waive the requirement for a continuation vote in
respect of the Euro Share class.
At an extraordinary general meeting of all shareholders on 8 January 2009,
shareholders voted in favour of the following resolutions amending the Articles
to effect the following:
1. to delete the Discount Management Provisions of the Company and to replace
such provisions with an annual cash exit facility, under which the Directors
may, in their absolute discretion, offer to redeem up to all of the shares
in issue, or up to all of the shares in issue in a particular class or
classes, once in any 12 month calendar period on or about the time of the
annual general meeting commencing in 2010, at the NAV per share of the
relevant class, less the aggregate of a discount of up to 2 per cent of such
NAV per share and the costs and expenses of implementing such an offer; and
2. to insert additional provisions empowering the Board to redeem compulsorily
shares of any class if the aggregate Net Asset Value of the shares in issue
of the relevant class, or the number of holders of shares of the relevant
class, are such that the continued existence of such class ceases, in the
Board's opinion, ceases to be viable.
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
9 SHARE CAPITAL (continued)
Share capital transactions in the Company's shares for the year ended 30
September 2009, were as follows:
+-------------------------------------------+++----------------+---------------+
| |||Number of shares| |
| ||| |Treasury shares|
+-------------------------------------------+++----------------+---------------+
|Euro Class shares ||| | |
+-------------------------------------------+++----------------+---------------+
+-------------------------------------------+++----------------+---------------+
|Balance outstanding at the beginning of the||| 45,789,776| 4,624,620|
|year ||| | |
+-------------------------------------------+++----------------+---------------+
|Shares bought back ||| (1,275,899)| 1,275,899|
+-------------------------------------------+++----------------+---------------+
|Shares converted ||| 7,693,726| -|
+-------------------------------------------+++----------------+---------------+
|Share redemption and cancellation ||| (46,529,177)| -|
+-------------------------------------------+++----------------+---------------+
|Shares cancelled ||| -| (5,300,919)|
+-------------------------------------------+++----------------+---------------+
+-------------------------------------------+++----------------+---------------+
|Balance outstanding at the end of the year ||| 5,678,426| 599,600|
+-------------------------------------------+++----------------+---------------+
+-------------------------------------------+++----------------+---------------+
| |||Number of shares| |
| ||| |Treasury shares|
+-------------------------------------------+++----------------+---------------+
|Sterling Class shares ||| | |
+-------------------------------------------+++----------------+---------------+
+-------------------------------------------+++----------------+---------------+
|Balance outstanding at the beginning of the||| 21,302,908| 2,167,420|
|year ||| | |
+-------------------------------------------+++----------------+---------------+
|Shares bought back ||| (811,359)| 811,359|
+-------------------------------------------+++----------------+---------------+
|Shares converted ||| 4,146,712| -|
+-------------------------------------------+++----------------+---------------+
|Share redemption and cancellation ||| (17,337,463)| -|
+-------------------------------------------+++----------------+---------------+
|Shares cancelled ||| -| (2,408,879)|
+-------------------------------------------+++----------------+---------------+
+-------------------------------------------+++----------------+---------------+
|Balance outstanding at the end of the year ||| 7,300,798| 569,900|
+-------------------------------------------+++----------------+---------------+
+-------------------------------------------+++----------------+---------------+
| |||Number of shares| |
| ||| |Treasury shares|
+-------------------------------------------+++----------------+---------------+
|US$ Class shares ||| | |
+-------------------------------------------+++----------------+---------------+
+-------------------------------------------+++----------------+---------------+
|Balance outstanding at the beginning of the||| 36,117,560| 1,949,395|
|year ||| | |
+-------------------------------------------+++----------------+---------------+
|Shares bought back ||| (1,129,245)| 1,129,245|
+-------------------------------------------+++----------------+---------------+
|Shares converted ||| (16,141,569)| -|
+-------------------------------------------+++----------------+---------------+
|Share redemption and cancellation ||| (17,228,171)| -|
+-------------------------------------------+++----------------+---------------+
|Shares cancelled ||| -| (2,928,640)|
+-------------------------------------------+++----------------+---------------+
+-------------------------------------------+++----------------+---------------+
|Balance outstanding at the end of the year ||| 1,618,575| 150,000|
+-------------------------------------------+++----------------+---------------+
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
9 SHARE CAPITAL (continued)
Share capital transactions in the Company's shares for the year ended 30
September 2008, were as follows:
+-------------------------------------------+++----------------+---------------+
| |||Number of shares| |
| ||| |Treasury shares|
+-------------------------------------------+++----------------+---------------+
|Euro Class shares ||| | |
+-------------------------------------------+++----------------+---------------+
+-------------------------------------------+++----------------+---------------+
|Balance outstanding at the beginning of the||| 84,422,142| 8,095,014|
|year ||| | |
+-------------------------------------------+++----------------+---------------+
|Shares bought back ||| (26,636,178)| -|
+-------------------------------------------+++----------------+---------------+
|Shares converted ||| (11,996,188)| -|
+-------------------------------------------+++----------------+---------------+
|Shares held in treasury ||| -| 26,636,178|
+-------------------------------------------+++----------------+---------------+
|Shares cancelled ||| -| (30,106,572)|
+-------------------------------------------+++----------------+---------------+
+-------------------------------------------+++----------------+---------------+
|Balance outstanding at the end of the year ||| 45,789,776| 4,624,620|
+-------------------------------------------+++----------------+---------------+
+-------------------------------------------+++----------------+---------------+
| |||Number of shares| |
| ||| |Treasury shares|
+-------------------------------------------+++----------------+---------------+
|Sterling Class shares ||| | |
+-------------------------------------------+++----------------+---------------+
+-------------------------------------------+++----------------+---------------+
|Balance outstanding at the beginning of the||| 30,868,827| -|
|year ||| | |
+-------------------------------------------+++----------------+---------------+
|Shares sold back ||| 6,823| -|
+-------------------------------------------+++----------------+---------------+
|Shares bought back ||| (8,961,599)| -|
+-------------------------------------------+++----------------+---------------+
|Shares converted ||| (611,143)| -|
+-------------------------------------------+++----------------+---------------+
|Shares held in treasury ||| -| 8,954,776|
+-------------------------------------------+++----------------+---------------+
|Shares cancelled ||| -| (6,787,356)|
+-------------------------------------------+++----------------+---------------+
+-------------------------------------------+++----------------+---------------+
|Balance outstanding at the end of the year ||| 21,302,908| 2,167,420|
+-------------------------------------------+++----------------+---------------+
+-------------------------------------------+++----------------+---------------+
| |||Number of shares| |
| ||| |Treasury shares|
+-------------------------------------------+++----------------+---------------+
|US$ Class shares ||| | |
+-------------------------------------------+++----------------+---------------+
+-------------------------------------------+++----------------+---------------+
|Balance outstanding at the beginning of the||| 25,629,883| 1,562,946|
|year ||| | |
+-------------------------------------------+++----------------+---------------+
|Shares sold back ||| 2,600| -|
+-------------------------------------------+++----------------+---------------+
|Shares bought back ||| (7,605,302)| -|
+-------------------------------------------+++----------------+---------------+
|Shares converted ||| 180,090,379| -|
+-------------------------------------------+++----------------+---------------+
|Shares held in treasury ||| -| 7,602,702|
+-------------------------------------------+++----------------+---------------+
|Shares cancelled ||| -| (7,216,253)|
+-------------------------------------------+++----------------+---------------+
+-------------------------------------------+++----------------+---------------+
|Balance outstanding at the end of the year ||| 36,117,560| 1,949,395|
+-------------------------------------------+++----------------+---------------+
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
10 RELATED PARTIES
The members of the Board of Directors are shown on page 16 of the annual
financial report.
John Le Prevost receives an annual fee of £22,000. Nicholas Falla (as chairman
of the Audit Committee) receives an annual fee of £27,000. The Chairman receives
an annual fee of £70,000. Duncan Ford has waived his right to payment of any fee
by the Company.
The Directors are also entitled to payment of all reasonable expenses incurred
in connection with their appointment as Directors of the Company. Directors'
fees charged for the year amounted to £119,000 (2008: £141,000) with £2,745
(2008: £4,851) payable at year end.
Duncan Ford is a partner of Marshall Wace LLP, the Investment Manager. During
this year management fees of €7,381,874 (2008: €25,979,820) have been earned by
Marshall Wace LLP, of which €255,693 (2008: €1,560,590) were payable at 30
September 2009.
John R Le Prevost is a director and controller of Anson Fund Managers Limited,
the Company's Administrator and Secretary, and Anson Registrars Limited the
Company's Registrar. Administrator fees charged for the period amounted to
€77,242 (2008: €102,103)
As at 30 September 2009, Nicholas Falla had invested, directly or indirectly, in
5,000 (30 September 2008: 5,000) Sterling shares of the Company. Duncan Ford had
invested, directly or indirectly, in 494,414 (30 September 2008: 100,000)
Sterling shares and no (30 September 2008: 151,214) US$ shares of the Company
and John Le Prevost had invested, directly or indirectly, in 1,000 (30 September
2008: 1,000) Sterling shares of the Company.
As at 25 February 2009, being the date of his resignation, Sir Andrew Large had
invested, directly or indirectly, in 25,000 (30 September 2008: 25,000) Sterling
class shares of the Company.
MW TOPS Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the year ended 30 September 2009
10 RELATED PARTIES (continued)
Principals of Marshall Wace LLP, the Investment Manager, have collectively
invested directly, or indirectly, in Nil Euro class shares (30 September
2008: 1,871,498), 281,121 Sterling class shares (30 September 2008: 865,844) and
250,000 US$ class shares (30 September 2008: 5,050,892).
As at 30 September 2009, the Company held 6.6% of Sub-Trust N (Market Neutral),
60.4% of Sub Trust European TOPS and 9.0% of Sub-Trust H (Balanced Europe).
These Sub-Trusts are managed by Marshall Wace LLP and are deemed related parties
in accordance with IAS 24 Related Party Disclosures. The Company's investment in
these Sub-Trusts is detailed in note 4.
11 LOAN FACILITY AGREEMENT
On 1 October 2007 the Company entered into a loan facility agreement with
Citibank for an amount of €100,000,000 in connection with the liquidity
enhancement programme. The Loan was terminated and repaid on 18 October 2008.
12 EVENTS AFTER THE BALANCE SHEET DATE
There were no material events subsequent to 30 September 2009.
MW TOPS Limited (the "Company")
Registered in Guernsey No. 45728
COMPANY INFORMATION
+------------------------------+----------------------------------------------+
| | Cameron McPhail |
| | |
| | Nicholas Falla |
| | |
| Directors | Duncan Ford |
| | |
| | John Le Prevost |
| | |
| | Sir Andrew Large (resigned 25 February 2009) |
+------------------------------+----------------------------------------------+
| | Marshall Wace LLP |
| | |
| | The Adelphi |
| | |
| Investment Manager | 1/11 John Adam Street |
| | |
| | London WC2N 6HT |
| | |
| | United Kingdom |
+------------------------------+----------------------------------------------+
| | Anson Place |
| | |
| | Mill Court |
| | |
| Registered Office | La Charroterie |
| | |
| | St Peter Port |
| | |
| | Guernsey GY1 1EJ |
+------------------------------+----------------------------------------------+
| | Anson Registrars Limited |
| | |
| | PO Box 426 |
| | |
| | Anson Place |
| | |
| Registrar | Mill Court |
| | |
| | La Charroterie |
| | |
| | St Peter Port |
| | |
| | Guernsey GY1 3WX |
+------------------------------+----------------------------------------------+
| | Anson Fund Managers Limited |
| | |
| | PO Box 405 |
| | |
| | Anson Place |
| | |
| Administrator and Secretary | Mill Court |
| | |
| | La Charroterie |
| | |
| | St Peter Port |
| | |
| | Guernsey GY1 3GF |
+------------------------------+----------------------------------------------+
| | Citi Hedge Fund Services (Ireland) Limited |
| | |
| | 1 George's Quay Plaza |
| Sub-Administrator | |
| | Dublin 2 |
| | |
| | Ireland |
+------------------------------+----------------------------------------------+
| | Royal Bank of Scotland International Limited |
| | |
| | Royal Bank Place |
| | |
| Principal Bankers | 1 Glategny Esplanade |
| | |
| | St Peter Port |
| | |
| | Guernsey GY1 4BQ |
+------------------------------+----------------------------------------------+
| | Ernst & Young LLP |
| | |
| | Royal Chambers |
| | |
| Auditors | St Julian's Avenue |
| | |
| | St Peter Port |
| | |
| | Guernsey GY1 4AF |
+------------------------------+----------------------------------------------+
| | Kas Bank |
| | |
| | PO Box 24001 |
| Paying Agent | |
| | 1000 C N Amsterdam |
| | |
| | The Netherlands |
+------------------------------+----------------------------------------------+
+------------------------------+----------------------------------------------+
| | (as to English law) |
| | |
| | Herbert Smith LLP |
| | |
| Solicitors | Exchange House |
| | |
| | Primrose Street |
| | |
| | London EC2A 2HS |
+------------------------------+----------------------------------------------+
| | (as to Guernsey law) |
| | |
| | Carey Olsen |
| | |
| Advocates | 7 New Street |
| | |
| | St Peter Port |
| | |
| | Guernsey GY1 4BZ |
+------------------------------+----------------------------------------------+
| | (as to Netherlands law) |
| | |
| | Stibbe N V |
| | |
| | Stibbertoren |
| Legal Advisers | |
| | Strawinsylaan 2001 |
| | |
| | 1077 ZZ Amsterdam |
| | |
| | The Netherlands |
+------------------------------+----------------------------------------------+
| | RBS Hoare Govett Limited |
| | |
| Corporate Broker | 250 Bishopsgate |
| | |
| | London EC2M 4AA |
+------------------------------+----------------------------------------------+
Further information regarding the Company can be found on its website at:
www.mwtops.eu.
[HUG#1378776]