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Ashmore Emerging Markets
Liquid Investment Portfolio
Ashmore Local Currency
Debt Portfolio
Ashmore Russian Debt
Portfolio
ANNUAL REPORT AND ACCOUNTS
For the year ended 31 August 2014
EXPLANATORY NOTE TO READERS
The contents of this publication comprise the Annual Report and Accounts of three Ashmore Funds registered in Guernsey,
Channel Islands and which have been constituted as Unit Trusts that feed into cells of Asset Holder PCC Limited. Further
technical information is set out in the Notes to the Accounts of each Portfolio. The publication is divided as follows:
Annual Report and Accounts of the following Unit Trusts for the year ended 31 August 2014:
•
Ashmore Emerging Markets Liquid Investment Portfolio
•
Ashmore Local Currency Debt Portfolio
•
Ashmore Russian Debt Portfolio
Contents
Introduction
Introduction
Management and Administration – Unit Trusts
Investment Manager’s Report – Unit Trusts
3
4
Investment Manager’s Report
Country Allocation (Unaudited)
Schedule of Investments
History of Quoted Net Asset Values
Summary of Significant Portfolio Changes (Unaudited)
Consolidated Balance Sheet
Unit Trust Balance Sheet
Consolidated Statement of Total Return
27
28
29
46
47
49
50
51
54
55
56
56
57
Statement of Changes in Net Assets Attributable to Unitholders’ Funds
Consolidated Statement of Cash Flows
Notes to the Consolidated Financial Statements
Report of the Trustee
Independent Auditor’s Report
57
58
59
75
76
78
79
80
81
81
82
Statement of Changes in Net Assets Attributable to Unitholders’ Funds
Consolidated Statement of Cash Flows
Notes to the Consolidated Financial Statements
Report of the Trustee
Independent Auditor’s Report
82
83
84
99
100
Ashmore Local Currency Debt Portfolio
Investment Manager’s Report
Country Allocation (Unaudited)
Schedule of Investments
History of Quoted Net Asset Values
Summary of Significant Portfolio Changes (Unaudited)
Consolidated Balance Sheet
Unit Trust Balance Sheet
Consolidated Statement of Total Return
Ashmore Russian Debt Portfolio
Investment Manager’s Report
History of Quoted Net Asset Values
Summary of Significant Portfolio Changes (Unaudited)
Consolidated Balance Sheet
Unit Trust Balance Sheet
Consolidated Statement of Total Return
1
Ashmore Russian Debt Portfolio
Statement of Changes in Net Assets Attributable to Unitholders’ Funds
Consolidated Statement of Cash Flows
Notes to the Consolidated Financial Statements
Report of the Trustee
Independent Auditor’s Report
Ashmore Local Currency Debt Portfolio
6
7
9
24
25
26
26
27
Ashmore Emerging Markets Liquid
Investment Portfolio
Ashmore Emerging Markets Liquid Investment Portfolio
Introduction
Management and Administration – Unit Trusts
Investment Manager’s Report – Unit Trusts
2
3
4
Asset Holder PCC Limited: Annual Report and Accounts
1: Introduction
Management and Administration – Unit Trusts
Directors of the Manager
Nigel Carey
Vic Holmes
Michael Moody (resigned 18 October 2013)
Steve Hicks (appointed 18 October 2013)
Investment Adviser/Investment Manager
(the “Manager”)
Ashmore Investment Advisors Limited
(effective 18 July 2014)
(Authorised and regulated by the Financial
Conduct Authority)
61 Aldwych
London
WC2B 4AE
United Kingdom
Ashmore Investment Management Limited
(until 18 July 2014)
(Authorised and regulated by the Financial
Conduct Authority)
61 Aldwych
London
WC2B 4AE
United Kingdom
Auditor
KPMG Channel Islands Limited
Glategny Court
Glategny Esplanade
St Peter Port
Guernsey
GY1 1WR
Channel Islands
Legal Adviser
Carey Olsen
PO Box 98
Carey House
Les Banques
St Peter Port
Guernsey
GY1 4BZ
Channel Islands
Introduction
Principal Manager
Ashmore Management Company Limited
Trafalgar Court
Les Banques
St Peter Port
Guernsey
GY1 3QL
Channel Islands
Trustee and Principal Banker
Northern Trust (Guernsey) Limited
PO Box 71
Trafalgar Court
Les Banques
St Peter Port
Guernsey
GY1 3DA
Channel Islands
Depositary (effective 18 July 2014)
Northern Trust (Guernsey) Limited
PO Box 71
Trafalgar Court
Les Banques
St Peter Port
Guernsey
GY1 3DA
Channel Islands
Administrator, Company Secretary
and Registrar
Northern Trust International Fund Administration
Services (Guernsey) Limited
PO Box 255
Trafalgar Court
Les Banques
St Peter Port
Guernsey
GY1 3QL
Channel Islands
3
Asset Holder PCC Limited: Annual Report and Accounts
1: Introduction
Investment Manager’s Report – Unit Trusts
Market Overview
The reporting period was a volatile one for
Emerging Market (“EM”) countries but one
which for many of them saw improvements
to fundamental positions which were already
attractive relative to developed markets
(strong economic growth, significant external
foreign exchange balances and low levels of
corporate debt).
Clear signs of policy divergence between the
world’s largest central banks composed the
dominant global macro theme during the final
quarter of 2013. EM US dollar fixed income
markets outperformed local currency markets,
as currency depreciation in countries with larger
current account deficits imposed pressure.
Local currencies underperformed during the
quarter with significant dispersion between
countries, leading the JP Morgan ELMI+ index
to decline 0.2%.
The first quarter of 2014 was full of surprises as
EM assets performed well despite increased
geopolitical and political risk. The situation in
Crimea brought volatility to Russia, Ukraine and
other countries in the region, while fractious
politics in Turkey and Thailand contaminated the
overall mood in EM during the first weeks of
January. However, the situation subsequently
showed dramatic improvement after the central
banks of Turkey, Brazil, India and South Africa
raised interest rates in order to control local
inflation in the wake of strong FX depreciation
experienced in recent years. This change in
monetary policy was decisive in reducing FX
volatility, which, in combination with compelling
levels of real interest rates, pushed investors
to cover their short EM FX positions leading
to a rebound in local currencies and local
currency bonds.
The second quarter of 2014 yielded strong
performance across nearly all of the EM asset
classes, with both equities and fixed income
outperforming developed world peers. The MSCI
EM index rose 5.6% with the MSCI Frontier
Markets up 10.5%. Solid equity performance is
frequently associated with a sell-off of fixed
income assets; however, the effects of a weaker
than expected economic recovery in most of the
world and accommodative policy makers meant
that fixed income assets also performed well.
Towards the end of the fiscal year, most EM
assets underperformed due to a poor trading
environment for high yielding assets in the USD
space (mainly Russian and Ukrainian). Bucking
this trend, investment grade assets performed
strongly, and in spite of the US dollar’s strength
against the G7, local currency bonds also
performed well across the board, with notable
exceptions in Eastern Europe (where currencies
depreciated against the USD due to a weaker
EUR) and Russia (due to the threat of
new sanctions).
EM investors focused on the escalating conflict in
eastern Ukraine as first the US and then the EU
imposed further economic sanctions against
Russia following the tragic shooting down of flight
MH17 in July. Meanwhile, Argentina failed to
reach an agreement with holdout investors and
was forced into a technical default by missing the
30 day grace period for the coupon on its 2033
discount bonds. Despite this, its bonds rallied 4%
over the month, reflecting the expectation that
ultimately Argentina will service its debt in spite
of the court dispute with holdouts. Further
optimism followed Indonesian ballots, which gave
Joko Widodo (Jokowi) a 6% lead over Prabowo.
Jokowi is expected to be announced as president
of the country soon. Chinese growth remained
solid following targeted monetary easing.
Ashmore Investment Advisors Limited*
October 2014
* Ashmore Investment Advisors Limited became the Company’s Investment Manager with effect from 18 July 2014 (date of authorisation),
previously the Investment Manager was Ashmore Investment Management Limited.
4
Ashmore Emerging
Markets Liquid
Investment Portfolio
Investment Manager’s Report
Country Allocation (Unaudited)
Schedule of Investments
History of Quoted Net Asset Values
Summary of Significant Portfolio Changes
(Unaudited)
Consolidated Balance Sheet
Unit Trust Balance Sheet
Consolidated Statement of Total Return
Statement of Changes in Net Assets
Attributable to Unitholders’ Funds
Consolidated Statement of Cash Flows
Notes to the Consolidated Financial Statements
Report of the Trustee
Independent Auditor’s Report
6
7
9
24
25
26
26
27
27
28
29
46
47
5
Asset Holder PCC Limited: Annual Report and Accounts
2: Ashmore Emerging Markets
Liquid Investment Portfolio
Investment Manager’s Report
Performance
The Fund returned 10.41% net of fees over the
year, reaching a price of US$9.86 as at 31 August
2014. This compares to a 14.61% rise in the
JP Morgan EMBI Global Diversified Index over
the same period. The Fund has returned 5.12%
per annum over the past three years and 15.28%
per annum since its launch in October 1992,
compared with annualised returns of 7.00% and
11.32% respectively for the JP Morgan EMBI
Global Diversified Index.
Portfolio Overview
Although it is primarily an external debt fund,
EMLIP can also invest in local currency and
local currency debt, corporate debt and special
situations. Asset allocation across the investment
themes is actively managed by the Investment
Committee and takes into account global macro
factors as well as the local dynamics of all of the
investment themes.
The main index (the JP Morgan EMBI Global
Diversified Index) recovered from weakness in
2013 to post a healthy rise during the first half
of 2014. Falling US treasury yields provided a
strong boost to performance and general demand
for higher yielding assets supported the gains.
Both the investment grade and high yield areas
advanced. The sovereign external debt market
continued its run of positive performance into
August, with the index returning 0.8% for the
month despite a 12 bps widening in spreads.
Most of the spread widening was concentrated
in a couple of High Yield (HY) countries, with the
EMBI GD HY spreads widening 27 bps while
spreads on Investment Grade (IG) bonds widened
by 2 bps. Overall, the HY index declined 0.8%,
whereas IG rose 1.7%, buoyed by strong US
treasury performance.
With regards to country attribution, China, Ivory
Coast and Poland were the top contributors to
performance over the period. In China, the
currency performed well, reverting to a trend
of appreciation following intervention by the
People's Bank of China (PBoC). The economy
responded positively to targeted monetary easing
as the Q2 2014 GDP accelerated from 7.4% to
7.5%. The PBoC announced a further CNY 1trn in
collateralised credit lines for priority sectors, to be
supplied via the China Development Bank with
the objective of supporting key sectors, especially
sections of the housing market, in order to control
the rebalancing of the economy. The HSBC
Manufacturing PMI for China advanced to 52
in July (vs. 51 expected). Allocations to the
Philippines and Singapore were the main
detractors from fund performance.
At theme level, external debt was the main
contributor to performance whereas local
currency, corporate debt and special situations all
detracted. Over the reporting period, the Fund’s
relative allocations between external debt, local
currency debt and corporate debt remained
consistent whereas the proportional allocation
to special situations increased. Notable special
situations realisations during the period included
Taas and ECI and the top issuers within the
special situations portfolio are now AEI, Bitic
and Pacnet.
Ashmore Investment Advisors Limited*
October 2014
* Ashmore Investment Advisors Limited became the Portfolio’s Investment Manager with effect from 18 July 2014 (date of authorisation),
previously the Investment Manager was Ashmore Investment Management Limited.
6
Country Allocation
as at 31 August 2014 (Unaudited)
Country
Fair Value
US$
Repurchase
Agreements,
Forwards and
Derivatives
US$
Total
US$
% of Net
Assets
Argentina
17,243,995
(11,687,945)
5,556,050
0.36
Azerbaijan
11,509,936
(4,661,114)
6,848,822
0.45
Belarus
23,090,245
(14,208,431)
8,881,814
0.58
Bolivia
4,312,030
(1,828,575)
2,483,455
0.16
4.32
Brazil
79,938,862
(13,811,550)
66,127,312
114,737,494
–
114,737,494
7.50
Chile
17,413,611
(2,882,982)
14,530,629
0.95
China
8.58
Cayman Islands
(1,464,300)
131,445,323
77,714,301
(32,327,139)
45,387,162
2.97
Costa Rica
13,082,728
(1,130,764)
11,951,964
0.78
Croatia
20,438,758
(11,135,712)
9,303,046
0.61
Dominican Republic
16,695,951
–
16,695,951
1.09
6,812,488
(2,335,050)
4,477,438
0.29
0.16
Ecuador
Egypt
8,161,475
(5,649,533)
2,511,942
El Salvador
11,061,845
(3,847,100)
7,214,745
0.47
Gabon
10,019,318
(3,338,363)
6,680,955
0.44
Georgia
6,964,164
–
6,964,164
0.46
Guatemala
5,156,100
–
5,156,100
0.34
Guernsey
84,274,060
–
84,274,060
5.50
Hungary
51,742,390
(24,363,240)
27,379,150
1.79
4,417,875
–
4,417,875
0.29
41,383,521
(18,782,859)
22,600,662
1.48
5,165,951
–
5,165,951
0.34
Ivory Coast
39,407,937
(5,050,000)
34,357,937
2.25
Kazakhstan
49,042,587
(13,869,810)
35,172,777
2.30
3,034,800
0.20
India
Indonesia
Iraq
Kenya
Latvia
3,034,800
–
6,504,300
(5,838,300)
666,000
0.04
Lebanon
37,207,102
(8,996,996)
28,210,106
1.84
Lithuania
21,858,151
(2,085,036)
19,773,115
1.29
Luxembourg
97,952,490
–
97,952,490
6.40
Malaysia
11,015,451
(5,883,654)
5,131,797
0.34
Mexico
64,193,615
(17,617,547)
46,576,068
3.04
Morocco
11,175,315
–
11,175,315
0.73
Nigeria
12,600,000
–
12,600,000
0.82
Pakistan
18,963,351
(9,034,242)
9,929,109
0.65
Panama
14,595,390
(3,690,971)
10,904,419
0.71
Paraguay
3,404,037
(3,230,000)
174,037
0.01
Peru
21,787,705
(10,783,254)
11,004,451
0.72
Philippines
93,489,967
(9,191,269)
84,298,698
5.51
Poland
11,646,672
(10,296,612)
1,350,060
0.09
Qatar
9,853,665
(8,476,878)
1,376,787
0.09
Romania
33,167,198
(10,822,570)
22,344,628
1.46
Russia
62,246,900
(23,810,586)
38,436,314
2.51
5,129,167
–
5,129,167
0.34
0.12
Saudi Arabia
Senegal
4,806,897
(3,026,295)
1,780,602
Serbia
16,270,601
(1,671,885)
14,598,716
0.95
Singapore
82,888,684
–
82,888,684
5.42
South Africa
19,749,775
(10,006,422)
9,743,353
0.64
8,354,916
(2,925,360)
5,429,556
0.35
Sri Lanka
7
Ashmore Emerging Markets Liquid
Investment Portfolio
132,909,623
Colombia
Asset Holder PCC Limited: Annual Report and Accounts
2: Ashmore Emerging Markets
Liquid Investment Portfolio
Country Allocation continued
as at 31 August 2014 (Unaudited)
Country
Fair Value
US$
Turkey
52,920,584
Ukraine
57,127,925
United Arab Emirates
Repurchase
Agreements,
Forwards and
Derivatives
US$
Total
US$
% of Net
Assets
(27,877,077)
25,043,507
1.64
(28,270,669)
28,857,256
1.89
95,212,748
(8,280,203)
86,932,545
5.68
Uruguay
20,263,481
(607,500)
19,655,981
1.28
Venezuela
86,558,020
(26,524,327)
60,033,693
3.92
Vietnam
10,238,166
–
10,238,166
0.67
–
786,466
786,466
0.05
(410,535,654) 1,436,378,664
93.86
Other
1,846,914,318
8
Schedule of Investments
as at 31 August 2014
Listed investments
Maturity
Date
Currency
Nominal
Fair Value
US$
% of Net
Assets
Republic of, 7%
03/10/2015
US$
11,535,576
10,924,190
0.71
Republic of, 8.28%, $DSC Series (Defaulted)
31/12/2033
US$
644,838
506,198
0.03
Republic of, 8.75%
02/06/2017
US$
292,210
246,479
0.02
Republic of, Step Coupon
31/12/2038
US$
11,190,207
5,567,128
0.36
17,243,995
1.12
Security
Listed bonds
Argentina (2013: 2.35%)
Azerbaijan (2013: 0.55%)
18/03/2024
US$
3,611,000
3,714,816
0.24
State Oil Co of the Azerbaijan Republic 4.75%
13/03/2023
US$
5,216,000
5,189,920
0.34
State Oil Co of the Azerbaijan Republic 5.45%
09/02/2017
US$
2,496,000
2,605,200
0.17
11,509,936
0.75
Belarus (2013: 1.17%)
Republic of, 8.75%
03/08/2015
US$
10,394,000
10,523,925
0.69
Republic of, 8.95%
26/01/2018
US$
12,083,000
12,566,320
0.82
23,090,245
1.51
0.12
Bolivia (2013: 0.32%)
Plurinational State of, 4.875%
29/10/2022
US$
1,801,000
1,855,030
Plurinational State of, 5.95%
22/08/2023
US$
2,275,000
2,457,000
0.16
4,312,030
0.28
Brazil (2013: 2.45%)
Banco Nacional de Desenvolvimento 5.5%
12/07/2020
US$
723,000
788,974
0.05
Banco Nacional de Desenvolvimento 5.75%
26/09/2023
US$
1,753,000
1,906,388
0.12
Banco Nacional de Desenvolvimento 6.5%
10/06/2019
US$
4,670,000
5,259,588
0.34
Banco Santander SA 8%
18/03/2016
BRL
3,000,000
1,293,826
0.08
Banco Votorantim SA 6.25%
16/05/2016
BRL
4,175,000
2,187,744
0.14
Cosan Luxembourg SA 9.5%
14/03/2018
BRL
5,475,000
2,226,654
0.15
Federal Republic of, 2.625%
05/01/2023
US$
3,582,000
3,376,035
0.22
Federal Republic of, 4.25%
07/01/2025
US$
7,807,000
8,119,280
0.53
Federal Republic of, 4.875%
22/01/2021
US$
2,708,000
2,976,092
0.19
Federal Republic of, 8.875%
15/04/2024
US$
1,425,000
2,012,813
0.13
Federal Republic of, 10%
01/01/2021
BRL
6,348,500
27,399,376
1.79
Federal Republic of, 10%
01/01/2023
BRL
4,573,700
19,574,948
1.28
Itau Unibanco Holding SA 10.5%
23/11/2015
BRL
3,150,000
1,393,712
0.09
Oi SA 9.75%
15/09/2016
BRL
3,500,000
1,423,432
0.09
79,938,862
5.20
0.07
Chile (2013: 1.15%)
Banco del Estado de Chile 3.875%
08/02/2022
US$
1,025,000
1,049,463
Banco del Estado de Chile 4.125%
07/10/2020
US$
1,914,000
2,025,142
0.13
Corp Nacional del Cobre de Chile 3.75%
04/11/2020
US$
3,015,000
3,139,324
0.21
Corp Nacional del Cobre de Chile 3.875%
03/11/2021
US$
2,957,000
3,095,728
0.20
Corp Nacional del Cobre de Chile 7.5%
15/01/2019
US$
1,342,000
1,617,318
0.11
Empresa Nacional Del Petroleo 5.25%
10/08/2020
US$
1,814,000
1,964,156
0.13
Empresa Nacional Del Petroleo 6.25%
08/07/2019
US$
2,865,000
3,252,460
0.21
Republic of, 3.25%
14/09/2021
US$
1,220,000
1,270,020
0.08
17,413,611
1.14
China (2013: 1.72%)
Amber Circle Funding Limited 3.25%
04/12/2022
US$
7,119,000
6,963,450
0.46
China Railway Resources Huitung Limited 3.85%
05/02/2023
US$
2,980,000
2,965,049
0.19
9
Ashmore Emerging Markets Liquid
Investment Portfolio
Republic of, 4.75%
Asset Holder PCC Limited: Annual Report and Accounts
2: Ashmore Emerging Markets
Liquid Investment Portfolio
Schedule of Investments continued
as at 31 August 2014
Listed investments continued
Maturity
Date
Currency
Nominal
China SCE Property Holdings Ltd 10.5%
14/01/2016
CNH
11,750,000
1,958,015
0.13
Emerald Plantation Holdings Ltd PIK
30/01/2020
US$
4,346,105
3,368,231
0.22
Security
Fair Value
US$
% of Net
Assets
Listed bonds continued
China continued
Franshion Development Limited 6.75%
15/04/2021
US$
3,481,000
3,655,050
0.24
Industrial & Commercial Bank of China Asia Limited 5.125%
30/11/2020
US$
3,374,000
3,627,158
0.24
Sinochem Overseas Capital Co Limited 4.5%
12/11/2020
US$
5,768,000
6,161,274
0.40
Sinochem Overseas Capital Co Limited 6.3%
12/11/2040
US$
1,103,000
1,329,705
0.09
Sinopec Group Overseas Development 2012 Limited 4.875%
17/05/2042
US$
2,228,000
2,378,490
0.16
32,406,422
2.13
Colombia (2013: 2.40%)
Ecopetrol SA 7.625%
23/07/2019
US$
1,923,000
2,342,599
0.15
Emgesa SA ESP 8.75%
25/01/2021
COP 1,763,000,000
995,338
0.07
Empresa de Telecomunicaciones de Bogota 7%
17/01/2023
COP 4,528,000,000
2,206,823
0.14
Empresas Publicas de Medellin ESP 8.375%
01/02/2021
COP 2,304,000,000
1,267,623
0.08
Republic of, 4%
26/02/2024
US$
1,940,000
2,027,300
0.13
Republic of, 6.125%
18/01/2041
US$
9,880,000
12,201,800
0.80
Republic of, 7%
04/05/2022
COP 27,292,800,000
14,743,333
0.96
Republic of, 7.375%
27/01/2017
US$
1,608,640
0.11
1,408,000
Republic of, 7.375%
18/09/2037
US$
4,893,000
6,803,717
0.44
Republic of, 7.375%
18/03/2019
US$
6,838,000
8,267,142
0.54
Republic of, 8.125%
21/05/2024
US$
5,500,000
7,491,000
0.49
Republic of, 11.75%
25/02/2020
US$
3,910,000
5,659,725
0.37
65,615,040
4.28
0.14
Costa Rica (2013: 0.83%)
Banco de Costa Rica 5.25%
12/08/2018
US$
2,138,000
2,207,485
Banco de Costa Rica 6.25%
01/11/2023
US$
1,823,000
1,877,690
0.12
Instituto Costarricense de Electricidad 6.375%
15/05/2043
US$
2,019,000
1,806,823
0.12
Instituto Costarricense de Electricidad 6.95%
10/11/2021
US$
470,000
512,300
0.03
Republic of, 4.25%
26/01/2023
US$
4,032,000
3,840,480
0.25
Republic of, 4.375%
30/04/2025
US$
1,350,000
1,275,750
0.08
Republic of, 5.625%
30/04/2043
US$
1,712,000
1,562,200
0.10
13,082,728
0.84
Croatia (2013: 1.72%)
Republic of, 6.25%
27/04/2017
US$
2,750,000
2,954,463
0.19
Republic of, 6.375%
24/03/2021
US$
6,591,000
7,250,100
0.47
Republic of, 6.625%
14/07/2020
US$
5,653,000
6,274,830
0.41
Republic of, 6.75%
05/11/2019
US$
3,551,000
3,959,365
0.26
20,438,758
1.33
Dominican Republic (2013: 0.75%)
Republic of, 5.875%
18/04/2024
US$
4,443,000
4,720,688
0.31
Republic of, 6.6%
28/01/2024
US$
2,585,000
2,830,575
0.18
Republic of, 7.45%
30/04/2044
US$
3,031,000
3,356,833
0.22
Republic of, 7.5%
06/05/2021
US$
5,022,000
5,787,855
0.38
16,695,951
1.09
Ecuador (2013: 0.18%)
Republic of, 7.95%
20/06/2024
US$
3,374,000
3,711,400
0.24
Republic of, 9.375%
15/12/2015
US$
2,905,000
3,101,088
0.20
6,812,488
0.44
10
Schedule of Investments continued
as at 31 August 2014
Listed investments continued
Security
Maturity
Date
Currency
Nominal
Fair Value
US$
% of Net
Assets
Listed bonds continued
Egypt (2013: 0.49%)
Nile Finance Limited 5.25%
05/08/2015
US$
2,500,000
2,537,500
0.17
Republic of, 5.75%
29/04/2020
US$
3,930,000
4,126,500
0.27
Republic of, 6.875%
30/04/2040
US$
1,505,000
1,497,475
0.10
8,161,475
0.54
0.22
El Salvador (2013: 0.59%)
30/01/2025
US$
3,377,000
3,351,673
Republic of, 7.375%
01/12/2019
US$
910,000
1,023,750
0.07
Republic of, 7.625%
01/02/2041
US$
1,095,000
1,196,288
0.08
Republic of, 7.65%
15/06/2035
US$
3,321,000
3,636,495
0.24
Republic of, 8.25%
10/04/2032
US$
1,571,000
1,853,639
0.12
11,061,845
0.73
10,019,318
0.65
10,019,318
0.65
Gabon (2013: 0.14%)
Republic of, 6.375%
12/12/2024
US$
9,171,000
Georgia (2013: 0.41%)
Georgian Railway JSC 7.75%
11/07/2022
US$
4,104,000
4,528,764
0.30
Republic of, 6.875%
12/04/2021
US$
2,160,000
2,435,400
0.16
6,964,164
0.46
5,156,100
0.34
5,156,100
0.34
0.48
Guatemala (2013: 0.34%)
Republic of, 4.875%
13/02/2028
US$
5,055,000
Hungary (2013: 2.37%)
Republic of, 4.125%
19/02/2018
US$
7,040,000
7,304,000
Republic of, 4.75%
03/02/2015
US$
1,337,000
1,357,055
0.09
Republic of, 5.375%
21/02/2023
US$
9,048,000
9,703,980
0.63
Republic of, 5.375%
25/03/2024
US$
4,584,000
4,939,260
0.32
Republic of, 5.75%
22/11/2023
US$
10,468,000
11,514,800
0.75
Republic of, 6.25%
29/01/2020
US$
5,656,000
6,391,280
0.42
Republic of, 7.625%
29/03/2041
US$
8,086,000
10,532,015
0.69
51,742,390
3.38
India (2013: 0.30%)
Export-Import Bank of India 4%
07/08/2017
US$
930,000
970,911
0.06
Export-Import Bank of India 4%
14/01/2023
US$
3,432,000
3,446,964
0.23
4,417,875
0.29
0.19
Indonesia (2013: 3.74%)
Majapahit Holding BV 7.75%
17/10/2016
US$
2,660,000
2,969,225
Majapahit Holding BV 7.75%
20/01/2020
US$
2,078,000
2,449,443
0.16
Majapahit Holding BV 8%
07/08/2019
US$
2,466,000
2,916,045
0.19
Pertamina Persero PT 6%
03/05/2042
US$
3,766,000
3,794,245
0.25
Perusahaan Listrik Negara PT 5.5%
22/11/2021
US$
2,173,000
2,314,245
0.15
Perusahaan Penerbit SBSN Indonesia 6.125%
15/03/2019
US$
3,260,000
3,634,900
0.24
Republic of, 4.875%
05/05/2021
US$
3,753,000
4,011,019
0.26
Republic of, 5.875%
13/03/2020
US$
2,914,000
3,267,323
0.21
Republic of, 6.875%
17/01/2018
US$
7,857,000
8,956,980
0.59
Republic of, 7.75%
17/01/2038
US$
1,241,000
1,639,671
0.11
Republic of, 11.625%
04/03/2019
US$
4,004,000
5,430,425
0.35
41,383,521
2.70
11
Ashmore Emerging Markets Liquid
Investment Portfolio
Republic of, 5.875%
Asset Holder PCC Limited: Annual Report and Accounts
2: Ashmore Emerging Markets
Liquid Investment Portfolio
Schedule of Investments continued
as at 31 August 2014
Listed investments continued
Security
Maturity
Date
Currency
Nominal
Fair Value
US$
% of Net
Assets
15/01/2028
US$
5,829,000
5,165,951
0.34
5,165,951
0.34
Listed bonds continued
Iraq (2013: 0.97%)
Republic of, 5.8%
Ivory Coast (2013: 1.67%)
Republic of, 5.375%
23/07/2024
US$
4,090,000
4,043,619
0.26
Republic of, Step Coupon
31/12/2032
US$
35,475,000
35,364,318
2.31
39,407,937
2.57
Kazakhstan (2013: 2.77%)
Development Bank of Kazakhstan JSC 4.125%
10/12/2022
US$
6,571,000
6,193,168
0.40
KazAgro National Management JSC 4.625%
24/05/2023
US$
2,625,000
2,553,338
0.17
Kazakhstan Temir Zholy Finance 6.375%
06/10/2020
US$
1,613,000
1,790,430
0.12
Kazakhstan Temir Zholy Finance BV 6.95%
10/07/2042
US$
4,460,000
5,039,800
0.33
Kazatoprom Natsionalnaya Atomnaya Kompaniya 6.25%
20/05/2015
US$
2,144,000
2,154,720
0.14
KazMunayGas National Company 4.4%
30/04/2023
US$
6,111,000
6,132,389
0.40
KazMunayGas National Company 5.75%
30/04/2043
US$
7,531,000
7,466,610
0.49
KazMunayGas National Company 6.375%
09/04/2021
US$
1,141,000
1,277,920
0.08
KazMunayGas National Company 7%
05/05/2020
US$
8,278,000
9,601,652
0.63
KazMunayGas National Company 9.125%
02/07/2018
US$
4,206,000
5,062,973
0.33
KazMunayGas National Company 11.75%
23/01/2015
US$
1,703,000
1,769,587
0.12
49,042,587
3.21
3,034,800
0.20
3,034,800
0.20
6,504,300
0.43
6,504,300
0.43
0.38
Kenya (2013: 0.00%)
Republic of, 6.875%
24/06/2024
US$
2,810,000
Latvia (2013: 0.40%)
Republic of, 2.75%
12/01/2020
US$
6,570,000
Lebanon (2013: 1.60%)
Republic of, 4.1%
12/06/2015
US$
5,770,000
5,784,535
Republic of, 5.15%
12/11/2018
US$
719,000
719,000
0.05
Republic of, 5.45%
28/11/2019
US$
2,560,000
2,563,200
0.17
Republic of, 6%
27/01/2023
US$
1,662,000
1,664,077
0.11
Republic of, 6.1%
04/10/2022
US$
9,230,000
9,345,375
0.61
Republic of, 6.375%
09/03/2020
US$
4,276,000
4,489,800
0.29
Republic of, 6.6%
27/11/2026
US$
7,792,000
7,947,840
0.52
Republic of, 8.25%
12/04/2021
US$
4,090,000
4,693,275
0.31
37,207,102
2.44
Lithuania (2013: 1.93%)
Republic of, 5.125%
14/09/2017
US$
2,201,000
2,415,597
0.16
Republic of, 6.125%
09/03/2021
US$
4,730,000
5,545,925
0.36
Republic of, 6.625%
01/02/2022
US$
4,696,000
5,711,510
0.37
Republic of, 7.375%
11/02/2020
US$
6,692,000
8,185,119
0.53
21,858,151
1.42
Malaysia (2013: 0.70%)
Axiata SPV1 Labuan Limited 5.375%
28/04/2020
US$
2,269,000
2,527,074
0.17
Petronas Capital Limited 5.25%
12/08/2019
US$
3,241,000
3,659,407
0.24
Petronas Capital Limited 7.875%
22/05/2022
US$
1,317,000
1,732,330
0.11
Wakala Global Sukuk 4.646%
06/07/2021
US$
2,779,000
3,096,640
0.20
11,015,451
0.72
12
Schedule of Investments continued
as at 31 August 2014
Listed investments continued
Security
Maturity
Date
Currency
Nominal
Fair Value
US$
% of Net
Assets
Listed bonds continued
Mexico (2013: 6.29%)
09/06/2019
MXN
6,300,000
491,935
0.03
America Movil SAB de CV 6.45%
05/12/2022
MXN
13,180,000
998,981
0.07
Comision Federal de Electricidad 4.875%
26/05/2021
US$
2,875,000
3,112,187
0.20
Comision Federal de Electricidad 4.875%
15/01/2024
US$
2,566,000
2,758,450
0.18
Comision Federal de Electricidad 5.75%
14/02/2042
US$
3,385,000
3,733,960
0.24
Desarrolladora Homex SAB de CV 9.5% (Defaulted)
11/12/2019
US$
200,000
35,500
–
Grupo Televisa SAB 7.25%
14/05/2043
MXN
31,000,000
2,062,760
0.13
Mexican Udibonos 4.5%
04/12/2025
MXN
31,620,000
15,059,491
0.98
United Mexican States, 4.75%
08/03/2044
US$
4,138,000
4,340,762
0.28
United Mexican States, 5.75%
12/10/2110
US$
3,418,000
3,802,525
0.25
United Mexican States, 5.95%
19/03/2019
US$
3,184,000
3,677,520
0.24
United Mexican States, 6.05%
11/01/2040
US$
3,034,000
3,792,500
0.25
United Mexican States, 6.75%
27/09/2034
US$
5,299,000
6,994,680
0.46
Petroleos Mexicanos 5.5%
27/06/2044
US$
1,003,000
1,088,004
0.07
0.15
Pemex Project Funding Master Trust 5.75%
01/03/2018
US$
2,059,000
2,310,198
Petroleos Mexicanos 6%
05/03/2020
US$
1,229,000
1,410,277
0.09
Petroleos Mexicanos 6.5%
02/06/2041
US$
4,256,000
5,192,320
0.34
Petroleos Mexicanos 8%
03/05/2019
US$
2,570,000
3,180,375
0.21
Urbi Desarrollos Urbanos SAB de CV 9.75% (Defaulted)
03/02/2022
US$
1,163,000
151,190
0.01
64,193,615
4.18
Morocco (2013: 0.40%)
Kingdom of, 4.25%
11/12/2022
US$
7,918,000
7,957,590
0.52
Kingdom of, 5.5%
11/12/2042
US$
3,178,000
3,217,725
0.21
11,175,315
0.73
Pakistan (2013: 0.45%)
Republic of, 6.875%
01/06/2017
US$
3,595,000
3,666,900
0.24
Republic of, 7.125%
31/03/2016
US$
3,382,000
3,458,095
0.23
Republic of, 7.25%
15/04/2019
US$
5,922,000
6,010,830
0.39
Republic of, 8.25%
15/04/2024
US$
5,643,000
5,827,526
0.38
18,963,351
1.24
Panama (2013: 0.86%)
Republic of, 4.3%
29/04/2053
US$
800,000
730,000
0.05
Republic of, 6.7%
26/01/2036
US$
5,489,000
7,053,365
0.46
Republic of, 7.125%
29/01/2026
US$
525,000
684,600
0.04
Republic of, 8.875%
30/09/2027
US$
2,198,000
3,247,545
0.21
Republic of, 9.375%
01/04/2029
US$
1,864,000
2,879,880
0.19
14,595,390
0.95
3,404,037
0.22
3,404,037
0.22
Paraguay (2013: 0.27%)
Republic of, 4.625%
25/01/2023
US$
3,281,000
Peru (2013: 1.34%)
Republic of, 7.125%
30/03/2019
US$
986,000
1,195,525
0.08
Republic of, 7.35%
21/07/2025
US$
8,551,000
11,501,095
0.75
Republic of, 8.75%
21/11/2033
US$
5,809,000
9,091,085
0.59
21,787,705
1.42
13
Ashmore Emerging Markets Liquid
Investment Portfolio
America Movil SAB de CV 6%
Asset Holder PCC Limited: Annual Report and Accounts
2: Ashmore Emerging Markets
Liquid Investment Portfolio
Schedule of Investments continued
as at 31 August 2014
Listed investments continued
Security
Maturity
Date
Currency
Nominal
Fair Value
US$
% of Net
Assets
Listed bonds continued
Philippines (2013: 2.87%)
Development Bank of the Philippines 5.5%
25/03/2021
US$
2,387,000
2,625,700
0.17
Petron Corp 7%
10/11/2017
PHP
93,000,000
2,224,982
0.15
Power Sector Assets & Liabilities Management Corp 7.25%
27/05/2019
US$
2,124,000
2,538,180
0.17
Power Sector Assets & Liabilities Management Corp 7.39%
02/12/2024
US$
5,436,000
6,978,465
0.46
Republic of, 4%
15/01/2021
US$
7,988,000
8,547,160
0.56
0.54
Republic of, 7.75%
14/01/2031
US$
5,851,000
8,271,851
Republic of, 8.375%
17/06/2019
US$
894,000
1,134,262
0.07
Republic of, 9.5%
02/02/2030
US$
5,784,000
9,268,860
0.61
Republic of, 10.625%
16/03/2025
US$
2,441,000
3,893,395
0.25
45,482,855
2.98
0.07
Poland (2013: 0.32%)
Republic of, 3%
17/03/2023
US$
1,070,000
1,055,287
Republic of, 5%
23/03/2022
US$
2,825,000
3,172,475
0.21
Republic of, 6.375%
15/07/2019
US$
6,245,000
7,418,910
0.48
11,646,672
0.76
Qatar (2013: 0.60%)
Qtel International Finance Limited 4.5%
31/01/2043
US$
710,000
702,900
0.05
Qtel International Finance Limited 7.875%
10/06/2019
US$
7,306,000
9,150,765
0.60
9,853,665
0.65
Romania (2013: 1.76%)
Republic of, 4.375%
22/08/2023
US$
12,066,000
12,593,888
0.82
Republic of, 6.125%
22/01/2044
US$
2,592,000
3,058,560
0.20
Republic of, 6.75%
07/02/2022
US$
14,520,000
17,514,750
1.14
33,167,198
2.16
Russia (2013: 7.00%)
Alfa Bank OJSC Via Alfa Bond Issuance Plc 8.625%
26/04/2016
RUB
115,000,000
2,960,591
0.19
CEDC Finance Corp International Inc, Step Coupon
30/04/2018
US$
1,207,255
1,160,474
0.08
CEDC Finance Corp International Inc PIK
30/04/2018
US$
155,497
135,282
0.01
Gazprom Neft OAO Via GPN Capital SA 4.375%
19/09/2022
US$
3,556,000
3,093,720
0.20
Gazprom Neft OAO Via GPN Capital SA 6%
27/11/2023
US$
3,644,000
3,473,024
0.23
Gazprom OAO Via Gaz Capital SA 4.95%
06/02/2028
US$
3,552,000
3,055,430
0.20
Gazprom OAO Via Gaz Capital SA 8.625%
28/04/2034
US$
1,747,000
2,000,664
0.13
Rosneft Oil Co via Rosneft International Finance Limited 4.199%
06/03/2022
US$
5,942,000
5,035,845
0.33
Russian Foreign Bond – Eurobond 5.625%
04/04/2042
US$
1,000,000
975,100
0.06
Russian Foreign Bond – Eurobond 5.875%
16/09/2043
US$
2,400,000
2,400,480
0.16
Federation of, Step Coupon
31/03/2030
US$
4,870,503
5,418,434
0.35
Sberbank of Russia Via SB Capital SA 3.352%
15/11/2019
EUR
1,990,000
2,393,994
0.16
Sberbank of Russia Via SB Capital SA FRN
26/02/2024
US$
1,443,000
1,259,017
0.08
VEB-Leasing Via VEB Leasing Investment Limited 5.125%
27/05/2016
US$
2,541,000
2,490,180
0.16
VimpelCom Holdings BV 9%
13/02/2018
RUB
118,300,000
3,019,075
0.20
Vnesheconombank Via VEB Finance Plc 5.45%
22/11/2017
US$
3,017,000
2,956,660
0.19
Vnesheconombank Via VEB Finance Plc 5.942%
21/11/2023
US$
1,831,000
1,611,280
0.11
Vnesheconombank Via VEB Finance Plc 6.025%
05/07/2022
US$
1,498,000
1,351,945
0.09
Vnesheconombank Via VEB Finance Plc 6.8%
22/11/2025
US$
6,998,000
6,498,483
0.42
Vnesheconombank Via VEB Finance Plc 6.902%
09/07/2020
US$
8,882,000
8,682,155
0.57
59,971,833
3.92
14
Schedule of Investments continued
as at 31 August 2014
Listed investments continued
Security
Maturity
Date
Currency
Nominal
Fair Value
US$
% of Net
Assets
13/05/2021
US$
4,099,000
4,806,897
0.31
4,806,897
0.31
Listed bonds continued
Senegal (2013: 0.36%)
Republic of, 8.75%
Serbia (2013: 0.62%)
Republic of, 4.875%
25/02/2020
US$
1,495,000
1,521,162
0.10
Republic of, 5.875%
03/12/2018
US$
3,274,000
3,474,532
0.23
Republic of, 7.25%
28/09/2021
US$
9,783,000
11,274,907
0.74
16,270,601
1.07
South Africa (2013: 1.23%)
09/03/2020
US$
6,269,000
6,872,391
0.45
Republic of, 5.875%
30/05/2022
US$
5,049,000
5,699,059
0.37
Republic of, 6.875%
27/05/2019
US$
6,215,000
7,178,325
0.47
19,749,775
1.29
Sri Lanka (2013: 0.73%)
Bank of Ceylon 6.875%
03/05/2017
US$
2,191,000
2,313,696
0.15
Republic of, 6.25%
04/10/2020
US$
3,486,000
3,730,020
0.24
Republic of, 6.25%
27/07/2021
US$
2,160,000
2,311,200
0.15
8,354,916
0.54
Turkey (2013: 3.63%)
Akbank TAS 7.5%
05/02/2018
TRY
3,000,000
1,258,139
0.08
Republic of, 3.25%
23/03/2023
US$
1,597,000
1,493,594
0.10
Republic of, 4.875%
16/04/2043
US$
1,964,000
1,905,080
0.12
Republic of, 5.625%
30/03/2021
US$
1,760,000
1,934,768
0.13
Republic of, 5.75%
22/03/2024
US$
2,416,000
2,682,968
0.18
Republic of, 6%
14/01/2041
US$
1,989,000
2,197,845
0.14
Republic of, 6.25%
26/09/2022
US$
1,684,000
1,919,760
0.13
Republic of, 6.75%
30/05/2040
US$
2,708,000
3,253,662
0.21
Republic of, 6.75%
03/04/2018
US$
9,985,000
11,258,087
0.74
Republic of, 6.875%
17/03/2036
US$
4,337,000
5,281,599
0.35
Republic of, 7%
26/09/2016
US$
3,176,000
3,497,729
0.23
Republic of, 7%
11/03/2019
US$
1,622,000
1,867,246
0.12
Republic of, 7%
05/06/2020
US$
711,000
830,092
0.05
Republic of, 7.375%
05/02/2025
US$
5,450,000
6,779,800
0.44
Republic of, 7.5%
14/07/2017
US$
3,640,000
4,131,109
0.27
Republic of, 7.5%
07/11/2019
US$
1,651,000
1,952,473
0.13
Turkiye Garanti Bankasi AS 7.375%
07/03/2018
TRY
1,640,000
676,633
0.04
52,920,584
3.46
1.17
Ukraine (2013: 4.27%)
Naftogaz 9.5%
30/09/2014
US$
18,638,000
17,942,803
Oschadbank Via SSB No.1 Plc 8.25%
10/03/2016
US$
4,328,000
3,462,400
0.23
Oschadbank Via SSB No.1 Plc 8.875%
20/03/2018
US$
2,722,000
2,123,160
0.14
Republic of, 6.25%
17/06/2016
US$
1,914,000
1,694,273
0.11
Republic of, 7.5%
17/04/2023
US$
4,504,000
3,828,400
0.25
Republic of, 7.75%
23/09/2020
US$
3,517,000
3,077,375
0.20
Republic of, 7.8%
28/11/2022
US$
5,942,000
5,199,250
0.34
Republic of, 7.95%
23/02/2021
US$
4,785,000
4,162,950
0.27
Republic of, 9.25%
24/07/2017
US$
11,693,000
10,786,792
0.70
State Export-Import Bank of Ukraine JSC Via Biz Finance Plc 8.75%
22/01/2018
US$
5,311,000
4,090,532
0.27
15
Ashmore Emerging Markets Liquid
Investment Portfolio
Republic of, 5.5%
Asset Holder PCC Limited: Annual Report and Accounts
2: Ashmore Emerging Markets
Liquid Investment Portfolio
Schedule of Investments continued
as at 31 August 2014
Listed investments continued
Security
Maturity
Date
Currency
Nominal
21/05/2018
US$
987,000
Fair Value
US$
% of Net
Assets
Listed bonds continued
Ukraine continued
Ukraine Railways via Shortline Plc 9.5%
759,990
0.05
57,127,925
3.73
United Arab Emirates (2013: 2.33%)
Anka a Sukuk Limited 10%
25/08/2016
AED
13,400,000
4,079,046
0.27
DEWA Sukuk 2013 Limited 3%
05/03/2018
US$
2,256,000
2,320,860
0.15
Dolphin Energy Limited 5.888%
15/06/2019
US$
2,415,660
2,690,441
0.18
Dubai Electricity & Water Authority 7.375%
21/10/2020
US$
6,467,000
7,970,577
0.52
Dubai Holding Commercial Operations MTN Limited 6.00%
01/02/2017
GBP
1,000,000
1,716,883
0.11
Government of Dubai, 5.25%
30/01/2043
US$
3,930,000
3,772,800
0.25
Emirates Airline 4.5%
06/02/2025
US$
1,950,000
1,947,562
0.13
Emirates Airline 5.125%
08/06/2016
US$
2,404,000
2,533,215
0.17
Jafz Sukuk Limited 7%
19/06/2019
US$
3,214,000
3,702,528
0.24
30,733,912
2.02
0.18
Uruguay (2013: 1.31%)
Republic of, 4.125%
20/11/2045
US$
3,051,578
2,784,565
Republic of, 4.5%
14/08/2024
US$
5,950,819
6,441,464
0.42
Republic of, 7.625%
21/03/2036
US$
3,427,249
4,738,172
0.31
Republic of, 7.875%
15/01/2033
US$
4,531,856
6,299,280
0.41
20,263,481
1.32
Venezuela (2013: 4.91%)
Petroleos de Venezuela SA 4.9%
28/10/2014
US$
14,969,104
14,892,762
0.97
Petroleos de Venezuela SA 5.25%
12/04/2017
US$
3,427,000
2,731,319
0.18
Petroleos de Venezuela SA 5.375%
12/04/2027
US$
2,575,000
1,420,112
0.09
Petroleos de Venezuela SA 9.75%
17/05/2035
US$
4,180,000
3,097,380
0.20
Petroleos de Venezuela SA 12.75%
17/02/2022
US$
1,980,000
1,856,250
0.12
Republic of, 5.75%
26/02/2016
US$
1,906,000
1,747,802
0.11
Republic of, 6%
09/12/2020
US$
2,399,000
1,691,295
0.11
Republic of, 7.65%
21/04/2025
US$
1,843,000
1,285,492
0.08
Republic of, 7.75%
13/10/2019
US$
4,330,000
3,431,525
0.22
Republic of, 8.25%
13/10/2024
US$
3,260,000
2,347,200
0.15
Republic of, 8.5%
08/10/2014
US$
8,357,000
8,306,858
0.54
Republic of, 9%
07/05/2023
US$
3,996,000
3,146,850
0.21
Republic of, 9.25%
15/09/2027
US$
3,693,000
2,908,238
0.19
Republic of, 9.25%
07/05/2028
US$
4,096,000
3,112,960
0.20
Republic of, 11.75%
21/10/2026
US$
17,950,200
15,823,101
1.03
Republic of, 11.95%
05/08/2031
US$
16,091,400
14,200,661
0.93
Republic of, 12.75%
23/08/2022
US$
4,773,000
4,558,215
0.30
86,558,020
5.63
Vietnam (2013: 0.58%)
Socialist Republic of, 6.75%
29/01/2020
US$
5,219,000
5,897,470
0.39
Socialist Republic of, 6.875%
15/01/2016
US$
2,994,000
3,187,113
0.21
Vietnam Joint Stock Commercial Bank for Industry and Trade 8%
17/05/2017
US$
1,074,000
1,153,583
0.08
10,238,166
0.68
1,221,968,946
79.79
Total listed bonds
16
Schedule of Investments continued
as at 31 August 2014
Listed investments continued
Security
Maturity
Date
Currency
Nominal
US$
5,127,828
Fair Value
US$
% of Net
Assets
Listed equity
China (2013: 0.03%)
Emerald Plantation Holdings Ltd
Total listed equity
717,896
0.05
717,896
0.05
717,896
0.05
Listed funds
Luxembourg (2013: 1.90%)
Ashmore SICAV Emerging Markets High Yield Corporate Debt Fund
US$
939,142
Total listed investments
6.40
6.40
97,952,490
6.40
1,320,639,332
86.24
0.80
Unlisted investments
Unlisted bonds
China (2013: 0.61%)
Far East Energy Bermuda Ltd PIK
15/01/2016
US$
12,267,002
12,267,002
Sino-Forest Corp 10.25% (Defaulted)
28/07/2014
US$
5,725,000
–
–
Sino-Forest Corp 10.25% 144A (Defaulted)
28/07/2014
US$
406,000
–
–
Sino-Forest Corp 4.25% (Defaulted)
15/12/2016
US$
1,016,000
–
–
Sino-Forest Corp 4.25% 144A (Defaulted)
15/12/2016
US$
9,398,000
–
–
Sino-Forest Corp 5% (Defaulted)
01/08/2013
US$
900,000
–
–
Sino-Forest Corp 5% 144A (Defaulted)
01/08/2013
US$
2,343,000
–
–
Sino-Forest Corp 6.25% (Defaulted)
21/10/2017
US$
9,294,000
–
–
Sino-Forest Corp 6.25% 144A (Defaulted)
21/10/2017
US$
1,414,000
–
–
12,267,002
0.80
1.17
United Arab Emirates (2013: 0.67%)
Dubai World TLA 1%
30/09/2015
US$
18,988,073
17,848,789
Dubai World TLB 1% + 1.5% PIK
30/09/2018
US$
63,013,578
46,630,047
3.05
64,478,836
4.22
76,745,838
5.02
Total unlisted bonds
Unlisted warrants
China (2013: 0.04%)
Far East Energy
Total unlisted warrants
31/12/2017
US$
9,347,740
458,039
0.03
458,039
0.03
458,039
0.03
17
Ashmore Emerging Markets Liquid
Investment Portfolio
Total listed funds
97,952,490
97,952,490
Asset Holder PCC Limited: Annual Report and Accounts
2: Ashmore Emerging Markets
Liquid Investment Portfolio
Schedule of Investments continued
as at 31 August 2014
Unlisted investments continued
Security
Maturity
Date
Currency
Nominal
Fair Value
US$
% of Net
Assets
Unlisted funds
Guernsey (2013: 12.07%)
Ashmore Asian Recovery Fund
US$
582,079
13,475,189
0.88
Ashmore Emerging Markets Corporate High Yield Fund Limited
US$
523,338
62,646,504
4.09
Ashmore Global Special Situations Fund 4 Limited
US$
14,402,520
4,183,555
0.27
VTBC Ashmore Real Estate Partners 1LP
EUR
2,816,050
3,968,812
0.26
84,274,060
5.50
84,274,060
5.50
Total unlisted funds
Special situations asset class
Cayman Islands (2013: 5.03%)
AEI
AEI Inc – Equity
US$
45,353,925
Total Cayman Islands
114,737,494
7.50
114,737,494
7.50
114,737,494
7.50
China (2013: 3.00%)
BITIC
Win Eagle Investments Limited – Equity
Win Eagle Investments Loan Agreement ZCPN
30/11/2014
HKD
25,000
67,749,318
4.43
US$
13,798,110
19,310,946
1.26
87,060,264
5.69
87,060,264
5.69
Total China
Colombia (2013: 0.54%)
TERRANUM
Terranum Development via Colombian Development Investments Limited
US$
3,655,366
Total Colombia
12,099,261
0.79
12,099,261
0.79
12,099,261
0.79
Nigeria (2013: 0.58%)
GZ INDUSTRIES
Gallant Finance Limited PIK/PPN ZCPN
08/12/2017
US$
13,567,691
Total Nigeria
12,600,000
0.82
12,600,000
0.82
12,600,000
0.82
43,688,962
2.85
Philippines (2013: 2.48%)
ALPHALAND
Ashmore Cayman SPC Limited – Alphaland Segregated Portfolio –
PIK/PPN ZCPN
Ashmore Cayman SPC Limited – Alphaland Segregated Portfolio
18
14/01/2015
US$
56,353,039
US$
2
–
–
43,688,962
2.85
Schedule of Investments continued
as at 31 August 2014
Unlisted investments continued
Security
Maturity
Date
Currency
Nominal
Fair Value
US$
% of Net
Assets
18/11/2018
US$
6,600,000
4,318,150
0.28
4,318,150
0.28
48,007,112
3.13
0.15
Special situations asset class continued
Philippines continued
ISM
Ashmore Cayman SPC – ISM PIK/PPN ZCPN
Total Philippines
Russia (2013: 0.08%)
TEOREMA
07/11/2022
Ritekro Limited – Equity
US$
4,573,000
2,275,067
US$
45,730
–
–
2,275,067
0.15
2,275,067
0.15
Total Russia
Saudi Arabia (2013: 0.00%)
GEMS
Emerging Markets Environmental Company SPC Limited – GEMS
Segregated Portfolio – PIK/PPN ZCPN
22/12/2015
SAR
9,736,820
Total Saudi Arabia
5,129,167
0.34
5,129,167
0.34
5,129,167
0.34
Singapore (2013: 3.58%)
JASPER
Ashmore Cayman SPC – Morton Bay Segregated Portfolio – Equity
US$
1
–
–
Ashmore Cayman SPC No. 1 Limited – Morton Bay PIK/PPN 8%
31/12/2014
US$
9,169,128
–
–
Ashmore Cayman SPC No. 1 Limited – Morton Bay PIK/PPN ZCPN
15/03/2016
US$
1,905,434
–
–
–
–
PACNET
Ashmore Cayman SPC Limited – Pacnet Segregated Portfolio
Pacnet International Limited – PIK/PPN
11/07/2015
US$
1
–
–
US$
134,211,769
70,613,329
4.61
70,613,329
4.61
RUBICON
Rubicon Offshore International Holdings 10% Loan
12/06/2019
US$
6,100,000
6,100,000
0.40
Rubicon Offshore International Holdings 30% PIK Loan
15/12/2014
US$
7,639,302
6,175,355
0.40
12,275,355
0.80
82,888,684
5.41
Total special situations asset class
364,797,049
23.83
Total unlisted investments
526,274,986
34.38
1,846,914,318
120.62
Total Singapore
Total investments
19
Ashmore Emerging Markets Liquid
Investment Portfolio
Ritekro Limited ZCPN
Asset Holder PCC Limited: Annual Report and Accounts
2: Ashmore Emerging Markets
Liquid Investment Portfolio
Schedule of Investments continued
as at 31 August 2014
Derivatives
Security
Maturity Date
Currency
Nominal
Fair Value
US$
% of Net
Assets
Forwards (2013: -0.12%)
Buy BRL 6,690,101 / Sell US$ 2,951,081
03/09/2014
37,974
–
Buy COP 18,988,947,818 / Sell US$ 10,038,299
31/10/2014
(208,651)
(0.01)
Buy EUR 5,583,345 / Sell US$ 7,384,122
14/10/2014
(27,905)
–
Buy GBP 6,086 / Sell US$ 10,104
08/09/2014
3
–
Buy US$ 2,974,899 / Sell BRL 6,690,101
03/09/2014
(14,156)
–
Buy US$ 2,927,194 / Sell BRL 6,690,101
02/10/2014
(36,700)
–
Buy US$ 7,740,000 / Sell COP 14,904,685,800
03/10/2014
488
–
Buy US$ 18,357,227 / Sell COP 34,781,710,791
31/10/2014
352,439
0.02
Buy US$ 19,075,516 / Sell EUR 14,008,314
14/10/2014
619,160
0.04
Buy US$ 1,369,729 / Sell GBP 800,500
14/10/2014
40,740
–
Buy US$ 1,685,184 / Sell MXN 21,978,746
31/10/2014
10,603
–
Buy US$ 7,310,000 / Sell MXN 96,534,270
31/10/2014
(45,036)
–
Buy US$ 2,286,433 / Sell RUB 83,883,495
31/10/2014
57,507
–
Total forwards
786,466
0.05
Total derivatives
786,466
0.05
Repurchase agreements (2013: -21.96%)
Argentina, Republic of, Step Coupon, 31/12/2038
US$
(1,631,295)
(1,631,295)
(0.11)
Argentina, Republic of, Step Coupon, 31/12/2038
US$
(2,506,650)
(2,506,650)
(0.16)
Argentina, Republic of, 7%, 03/10/2015
US$
(7,550,000)
(7,550,000)
(0.49)
Azerbaijan, State Oil Co of the Azerbaijan Republic 4.75%, 13/03/2023
US$
(4,661,114)
(4,661,114)
(0.30)
Belarus, Republic of, 8.75%, 03/08/2015
US$
(2,717,531)
(2,717,531)
(0.18)
Belarus, Republic of, 8.95%, 26/01/2018
US$
(1,013,400)
(1,013,400)
(0.07)
Belarus, Republic of, 8.95%, 26/01/2018
US$
(10,477,500)
(10,477,500)
(0.68)
Bolivia, Plurinational State of, 4.875%, 29/10/2022
US$
(1,828,575)
(1,828,575)
(0.12)
Brazil, Banco Nacional de Desenvolvimento 6.5%, 10/06/2019
US$
(3,678,720)
(3,678,720)
(0.24)
Brazil, Federal Republic of, 2.625%, 05/01/2023
US$
(3,083,346)
(3,083,346)
(0.20)
Brazil, Federal Republic of, 4.25%, 07/01/2025
US$
(7,049,484)
(7,049,484)
(0.46)
Chile, Corp Nacional del Cobre de Chile 7.5%, 15/01/2019
US$
(993,736)
(993,736)
(0.06)
Chile, Empresa Nacional Del Petroleo 6.25%, 08/07/2019
US$
(912,000)
(912,000)
(0.06)
Chile, Empresa Nacional Del Petroleo 6.25%, 08/07/2019
US$
(977,246)
(977,246)
(0.06)
China, Franshion Development Limited 6.75%, 15/04/2021
US$
(1,039,500)
(1,039,500)
(0.07)
(0.03)
China, Sinopec Group Overseas Development 2012 Limited 4.875%, 17/05/2042
US$
(424,800)
(424,800)
Colombia, Republic of, 4%, 26/02/2024
US$
(1,594,566)
(1,594,566)
(0.10)
Colombia, Republic of, 6.125%, 18/01/2041
US$
(6,484,860)
(6,484,860)
(0.42)
Colombia, Republic of, 6.125%, 18/01/2041
US$
(4,175,820)
(4,175,820)
(0.27)
Colombia, Republic of, 7.375%, 18/03/2019
US$
(7,230,015)
(7,230,015)
(0.47)
Colombia, Republic of, 7.375%, 18/09/2037
US$
(1,011,358)
(1,011,358)
(0.07)
Colombia, Republic of, 8.125%, 21/05/2024
US$
(6,005,700)
(6,005,700)
(0.39)
Colombia, Republic of, 8.125%, 21/05/2024
US$
(605,450)
(605,450)
(0.04)
(0.34)
Colombia, Republic of, 11.75%, 25/02/2020
US$
(5,219,370)
(5,219,370)
Costa Rica, Republic of, 4.25%, 26/01/2023
US$
(1,130,764)
(1,130,764)
(0.07)
Croatia, Republic of, 6.375%, 24/03/2021
US$
(3,687,309)
(3,687,309)
(0.24)
Croatia, Republic of, 6.375%, 24/03/2021
US$
(3,047,581)
(3,047,581)
(0.20)
Croatia, Republic of, 6.75%, 05/11/2019
US$
(4,400,822)
(4,400,822)
(0.29)
Ecuador, Republic of, 7.95%, 20/06/2024
US$
(2,335,050)
(2,335,050)
(0.15)
Egypt, Nile Finance Limited 5.25%, 05/08/2015
US$
(2,565,243)
(2,565,243)
(0.17)
20
Schedule of Investments continued
as at 31 August 2014
Repurchase agreements continued
Security
Currency
Nominal
Fair Value
US$
% of Net
Assets
Egypt, Republic of, 5.75%, 29/04/2020
US$
(2,400,000)
(2,400,000)
(0.16)
Egypt, Republic of, 5.75%, 29/04/2020
US$
(684,290)
(684,290)
(0.04)
El Salvador, Republic of, 7.625%, 01/02/2041
US$
(401,000)
(401,000)
(0.03)
El Salvador, Republic of, 7.65%, 15/06/2035
US$
(3,446,100)
(3,446,100)
(0.23)
Gabon, Republic of, 6.375%, 12/12/2024
US$
(1,580,112)
(1,580,112)
(0.10)
Gabon, Republic of, 6.375%, 12/12/2024
US$
(1,758,251)
(1,758,251)
(0.11)
Hungary, Republic of, 4.125%, 19/02/2018
US$
(6,651,540)
(6,651,540)
(0.43)
Hungary, Republic of, 5.375%, 21/02/2023
US$
(5,926,500)
(5,926,500)
(0.39)
Hungary, Republic of, 5.75%, 22/11/2023
US$
(8,845,200)
(8,845,200)
(0.58)
US$
(2,940,000)
(2,940,000)
(0.19)
Indonesia, Republic of, 4.875%, 05/05/2021
US$
(3,443,796)
(3,443,796)
(0.23)
Indonesia, Republic of, 5.875%, 13/03/2020
US$
(2,330,000)
(2,330,000)
(0.15)
Indonesia, Republic of, 6.875%, 17/01/2018
US$
(2,901,443)
(2,901,443)
(0.19)
Indonesia, Republic of, 6.875%, 17/01/2018
US$
(5,070,500)
(5,070,500)
(0.33)
Indonesia, Republic of, 11.625%, 04/03/2019
US$
(5,037,120)
(5,037,120)
(0.33)
Ivory Coast, Republic of, Step Coupon, 31/12/2032
US$
(5,050,000)
(5,050,000)
(0.33)
Kazakhstan, KazMunayGas National Company 4.4%, 30/04/2023
US$
(2,245,500)
(2,245,500)
(0.15)
Kazakhstan, KazMunayGas National Company 4.4%, 30/04/2023
US$
(3,267,360)
(3,267,360)
(0.21)
Kazakhstan, KazMunayGas National Company 5.75%, 30/04/2043
US$
(6,617,700)
(6,617,700)
(0.43)
Kazakhstan, KazMunayGas National Company 9.125%, 02/07/2018
US$
(1,739,250)
(1,739,250)
(0.11)
Latvia, Republic of, 2.75%, 12/01/2020
US$
(5,838,300)
(5,838,300)
(0.38)
Lebanon, Republic of, 5.15%, 12/11/2018
US$
(786,558)
(786,558)
(0.05)
Lebanon, Republic of, 6%, 27/01/2023
US$
(445,125)
(445,125)
(0.03)
Lebanon, Republic of, 6.1%, 04/10/2022
US$
(4,609,350)
(4,609,350)
(0.30)
Lebanon, Republic of, 6.1%, 04/10/2022
US$
(3,155,963)
(3,155,963)
(0.21)
Lithuania, Republic of, 5.125%, 14/09/2017
US$
(2,085,036)
(2,085,036)
(0.14)
Malaysia, Petronas Capital Limited 5.25%, 12/08/2019
US$
(1,221,134)
(1,221,134)
(0.08)
Malaysia, Petronas Capital Limited 5.25%, 12/08/2019
US$
(2,032,920)
(2,032,920)
(0.13)
Malaysia, Wakala Global Sukuk 4.646%, 06/07/2021
US$
(2,629,600)
(2,629,600)
(0.17)
Mexico, Comision Federal de Electricidad 5.75%, 14/02/2042
US$
(3,090,825)
(3,090,825)
(0.20)
Mexico, United Mexican States, 4.75%, 08/03/2044
US$
(3,594,591)
(3,594,591)
(0.23)
Mexico, United Mexican States, 5.75%, 12/10/2110
US$
(3,499,705)
(3,499,705)
(0.23)
Mexico, United Mexican States, 6.05%, 11/01/2040
US$
(1,359,190)
(1,359,190)
(0.09)
Mexico, United Mexican States, 6.75%, 27/09/2034
US$
(6,073,236)
(6,073,236)
(0.40)
Pakistan, Republic of, 7.25%, 15/04/2019
US$
(4,212,642)
(4,212,642)
(0.28)
Pakistan, Republic of, 8.25%, 15/04/2024
US$
(4,821,600)
(4,821,600)
(0.32)
Panama, Republic of, 8.875%, 30/09/2027
US$
(1,103,942)
(1,103,942)
(0.07)
Panama, Republic of, 9.375%, 01/04/2029
US$
(2,587,029)
(2,587,029)
(0.17)
Paraguay, Republic of, 4.625%, 25/01/2023
US$
(3,230,000)
(3,230,000)
(0.21)
Peru, Republic of, 7.35%, 21/07/2025
US$
(10,059,750)
(10,059,750)
(0.66)
Peru, Republic of, 8.75%, 21/11/2033
US$
(723,504)
(723,504)
(0.05)
Philippines, Development Bank of the Philippines 5.5%, 25/03/2021
US$
(501,059)
(501,059)
(0.03)
Philippines, Power Sector Assets & Liabilities Management Corp 7.25%, 27/05/2019
US$
(1,538,810)
(1,538,810)
(0.10)
Philippines, Republic of, 7.75%, 14/01/2031
US$
(7,151,400)
(7,151,400)
(0.47)
Poland, Republic of, 3%, 17/03/2023
US$
(937,057)
(937,057)
(0.06)
Poland, Republic of, 5%, 23/03/2022
US$
(2,780,735)
(2,780,735)
(0.18)
Poland, Republic of, 6.375%, 15/07/2019
US$
(6,578,820)
(6,578,820)
(0.43)
Qatar, Qtel International Finance Limited 4.5%, 31/01/2043
US$
(617,034)
(617,034)
(0.04)
Qatar, Qtel International Finance Limited 7.875%, 10/06/2019
US$
(6,028,124)
(6,028,124)
(0.39)
21
Ashmore Emerging Markets Liquid
Investment Portfolio
Hungary, Republic of, 7.625%, 29/03/2041
Asset Holder PCC Limited: Annual Report and Accounts
2: Ashmore Emerging Markets
Liquid Investment Portfolio
Schedule of Investments continued
as at 31 August 2014
Repurchase agreements continued
Security
Currency
Nominal
Fair Value
US$
% of Net
Assets
Qatar, Qtel International Finance Limited 7.875%, 10/06/2019
US$
(700,604)
(700,604)
(0.05)
Qatar, Qtel International Finance Limited 7.875%, 10/06/2019
US$
(1,131,116)
(1,131,116)
(0.07)
Romania, Republic of, 4.375%, 22/08/2023
US$
(8,008,000)
(8,007,999)
(0.52)
Romania, Republic of, 4.375%, 22/08/2023
US$
(2,814,571)
(2,814,571)
(0.18)
Russia, Federation of, Step Coupon, 31/03/2030
US$
(945,544)
(945,544)
(0.06)
Russia, Federation of, Step Coupon, 31/03/2030
US$
(4,066,614)
(4,066,614)
(0.27)
Russia, Gazprom OAO Via Gaz Capital SA 4.95%, 06/02/2028
US$
(847,800)
(847,800)
(0.06)
Russia, Gazprom OAO Via Gaz Capital SA 4.95%, 06/02/2028
US$
(2,223,417)
(2,223,417)
(0.15)
Russia, Russian Foreign Bond – Eurobond 5.625%, 04/04/2042
US$
(939,330)
(939,330)
(0.06)
Russia, Russian Foreign Bond – Eurobond 5.875%, 16/09/2043
US$
(2,124,000)
(2,124,000)
(0.14)
Russia, VEB-Leasing Via VEB Leasing Investment Limited 5.125%, 27/05/2016
US$
(1,462,690)
(1,462,690)
(0.10)
Russia, Vnesheconombank Via VEB Finance Plc 5.45%, 22/11/2017
US$
(2,955,623)
(2,955,623)
(0.19)
Russia, Vnesheconombank Via VEB Finance Plc 6.8%, 22/11/2025
US$
(1,698,564)
(1,698,564)
(0.11)
Russia, Vnesheconombank Via VEB Finance Plc 6.902%, 09/07/2020
US$
(6,547,005)
(6,547,004)
(0.43)
Senegal, Republic of, 8.75%, 13/05/2021
US$
(3,026,295)
(3,026,295)
(0.20)
Serbia, Republic of, 4.875%, 25/02/2020
US$
(1,671,885)
(1,671,885)
(0.11)
South Africa, Republic of, 5.5%, 09/03/2020
US$
(4,972,500)
(4,972,500)
(0.32)
South Africa, Republic of, 5.875%, 30/05/2022
US$
(5,033,922)
(5,033,922)
(0.33)
Sri Lanka, Republic of, 6.25%, 04/10/2020
US$
(2,925,360)
(2,925,360)
(0.19)
Turkey, Republic of, 3.25%, 23/03/2023
US$
(1,501,092)
(1,501,092)
(0.10)
Turkey, Republic of, 6.25%, 26/09/2022
US$
(1,855,928)
(1,855,928)
(0.12)
Turkey, Republic of, 6.75%, 03/04/2018
US$
(1,384,810)
(1,384,810)
(0.09)
Turkey, Republic of, 6.75%, 03/04/2018
US$
(7,824,960)
(7,824,960)
(0.51)
Turkey, Republic of, 6.75%, 03/04/2018
US$
(1,213,054)
(1,213,054)
(0.08)
Turkey, Republic of, 7%, 11/03/2019
US$
(1,822,268)
(1,822,268)
(0.12)
Turkey, Republic of, 7.25%, 05/03/2038
US$
(608,789)
(608,789)
(0.04)
Turkey, Republic of, 7.375%, 05/02/2025
US$
(5,832,000)
(5,831,999)
(0.38)
Turkey, Republic of, 7.5%, 07/11/2019
US$
(1,889,982)
(1,889,982)
(0.12)
Turkey, Republic of, 7.5%, 14/07/2017
US$
(3,944,195)
(3,944,195)
(0.26)
Ukraine, Republic of, 6.25%, 17/06/2016
US$
(1,472,500)
(1,472,500)
(0.10)
Ukraine, Republic of, 7.5%, 17/04/2023
US$
(1,863,000)
(1,863,000)
(0.12)
Ukraine, Republic of, 7.5%, 17/04/2023
US$
(3,358,520)
(3,358,520)
(0.22)
Ukraine, Republic of, 7.75%, 23/09/2020
US$
(2,857,336)
(2,857,336)
(0.19)
Ukraine, Republic of, 7.8%, 28/11/2022
US$
(858,600)
(858,600)
(0.06)
Ukraine, Republic of, 7.8%, 28/11/2022
US$
(753,024)
(753,024)
(0.05)
Ukraine, Republic of, 7.8%, 28/11/2022
US$
(2,375,793)
(2,375,793)
(0.16)
Ukraine, Republic of, 7.95%, 23/02/2021
US$
(2,499,000)
(2,499,000)
(0.16)
Ukraine, Republic of, 7.95%, 23/02/2021
US$
(1,529,000)
(1,529,000)
(0.10)
Ukraine, Republic of, 9.25%, 24/07/2017
US$
(8,454,780)
(8,454,779)
(0.55)
Ukraine, Republic of, 9.25%, 24/07/2017
US$
(2,249,117)
(2,249,117)
(0.15)
United Arab Emirates, Dolphin Energy Limited 5.888%, 15/06/2019
US$
(2,405,408)
(2,405,408)
(0.16)
United Arab Emirates, Dubai Electricity & Water Authority 7.375%, 21/10/2020
US$
(2,333,580)
(2,333,580)
(0.15)
(0.06)
United Arab Emirates, Dubai Electricity & Water Authority 7.375%, 21/10/2020
US$
(891,714)
(891,714)
United Arab Emirates, Emirates Airline 4.5%, 06/02/2025
US$
(902,610)
(902,610)
(0.06)
United Arab Emirates, Emirates Airline 5.125%, 08/06/2016
US$
(1,144,800)
(1,144,800)
(0.07)
United Arab Emirates, Government of Dubai, 5.25%, 30/01/2043
US$
(602,091)
(602,091)
(0.04)
Uruguay, Republic of, 7.875%, 15/01/2033
US$
(607,500)
(607,500)
(0.04)
Venezuela, Petroleos de Venezuela SA 4.9%, 28/10/2014
US$
(10,940,580)
(10,940,579)
(0.71)
Venezuela, Petroleos de Venezuela SA 4.9%, 28/10/2014
US$
(2,368,100)
(2,368,100)
(0.15)
Venezuela, Petroleos de Venezuela SA 5.375%, 12/04/2027
US$
(1,420,963)
(1,420,963)
(0.09)
22
Schedule of Investments continued
as at 31 August 2014
Repurchase agreements continued
Security
Fair Value
US$
% of Net
Assets
Nominal
Venezuela, Petroleos de Venezuela SA 12.75%, 17/02/2022
US$
(2,085,427)
(2,085,427)
(0.14)
Venezuela, Republic of, 5.75%, 26/02/2016
US$
(574,392)
(574,392)
(0.04)
Venezuela, Republic of, 5.75%, 26/02/2016
US$
(928,950)
(928,950)
(0.06)
Venezuela, Republic of, 6%, 09/12/2020
US$
(1,638,313)
(1,638,313)
(0.11)
Venezuela, Republic of, 7.65%, 21/04/2025
US$
(1,202,688)
(1,202,688)
(0.08)
Venezuela, Republic of, 8.25%, 13/10/2024
US$
(2,232,000)
(2,232,000)
(0.15)
Venezuela, Republic of, 9%, 07/05/2023
US$
(350,700)
(350,700)
(0.02)
Venezuela, Republic of, 9.25%, 15/09/2027
US$
(2,782,215)
(2,782,215)
(0.18)
(411,322,120)
(26.86)
1,436,378,664
93.86
93,890,246
6.14
1,530,268,910
100.00
Total repurchase agreements
Total investments and unrealised gain/(loss) on derivatives
Other net assets
Net assets attributable to unitholders’ funds
23
Ashmore Emerging Markets Liquid
Investment Portfolio
Currency
Asset Holder PCC Limited: Annual Report and Accounts
2: Ashmore Emerging Markets
Liquid Investment Portfolio
History of Quoted Net Asset Values
Number of units outstanding at 31 August 2014
155,197,480
Net Asset Value per unit at 31 August 2014 (bid)
US$9.8601
Net Asset Value per unit at 31 August 2013 (bid)
US$9.5391
Net Asset Value per unit at 31 August 2012 (bid)
US$10.3660
Net Asset Value per unit at 31 August 2011 (bid)
US$11.4440
Net Asset Value per unit at 31 August 2010 (bid)
US$10.2924
Net Asset Value per unit at 31 August 2009 (bid)
US$8.7815
Net Asset Value per unit at 31 August 2008 (bid)
US$10.2438
Net Asset Value per unit at 31 August 2007 (bid)
US$9.6432
Net Asset Value per unit at 31 August 2006 (bid)
US$9.2621
Net Asset Value per unit at 31 August 2005 (bid)
US$8.3175
Net Asset Value per unit at 31 August 2004 (bid)
US$6.9697
Net Asset Value per unit at 31 August 2003 (bid)
US$5.7440
Net Asset Value per unit at 31 August 2002 (bid)
US$4.5179
Net Asset Value per unit at 31 August 2001 (bid)
US$3.8896
Net Asset Value per unit at 31 August 2000 (bid)
US$3.6113
Net Asset Value per unit at 31 August 1999 (bid)
US$2.3338
Net Asset Value per unit at 31 August 1998 (bid)
US$1.8178
Net Asset Value per unit at 31 August 1997 (bid)
US$2.8415
Net Asset Value per unit at 31 August 1996 (bid)
US$1.9511
Net Asset Value per unit at 31 August 1995 (bid)
US$1.4240
Net Asset Value per unit at 31 August 1994 (bid)
US$1.2880
Net Asset Value per unit at 31 August 1993 (bid)
US$1.1981
24
Summary of Significant Portfolio Changes
for the year ended 31 August 2014 (Unaudited)
Nominal/Shares
Cost
US$
Ashmore SICAV Emerging Markets Corporate Debt Fund
1,966,792
211,359,859
Ashmore SICAV Emerging Markets Asian Corporate Debt Fund
1,614,226
163,140,000
48,483,744
38,293,585
Federal Republic of Brazil 10% 01/01/2021
8,528,500
34,590,542
Federal Republic of Brazil 10% 01/01/2023
6,315,700
25,665,341
23,197,841
21,792,815
166,210
19,100,843
ACQUISITIONS
Dubai World TLB 1% + 1.5% PIK 23/03/2019
Petroleos de Venezuela SA 4.9% 28/10/2014
Ashmore Emerging Markets Corporate High Yield Fund Limited
United Mexican States 7.75% 29/05/2031
Dubai World TLA 1% 30/09/2015
Republic of Colombia 10% 24/07/2024
217,600,000
18,236,472
18,299,713
17,060,969
17,029,844
15,998,000
15,913,138
Mexican Udibonos 4.5% 04/12/2025
31,620,000
15,323,671
Republic of Gabon 6.375% 12/12/2024
14,952,000
15,182,177
27,292,800,000
15,124,498
Republic of Hungary 5.75% 22/11/2023
14,440,000
14,488,078
Republic of Argentina 7% 03/10/2015
15,283,000
14,305,254
Republic of Colombia 7% 04/05/2022
Ashmore SICAV Emerging Markets Asian Corporate Debt Fund
131,245
13,124,532
11,571,000
10,900,505
Republic of Serbia 7.25% 28/09/2021
9,870,000
10,718,052
Dubai Electricity & Water Authority 7.375%
9,332,000
Naftogaz 9.5% 30/09/2014
10,233,288
Other
537,117,169
Total
1,238,700,632
Nominal/Shares
Proceeds
US$
Ashmore Emerging Markets Corporate High Yield Fund Limited
2,217,263
261,900,000
Ashmore SICAV Emerging Markets Corporate Debt Fund
2,250,991
241,275,996
DISPOSALS
Ashmore SICAV Emerging Markets High Yield Corporate Debt Fund
675,084
71,314,624
Ashmore SICAV Emerging Markets Asian Corporate Debt Fund
425,595
43,229,350
United Mexican States 5% 15/06/2017
563,500,000
42,987,214
Federation of Russia 6.8% 11/12/2019
1,500,876,000
42,781,964
Republic of Argentina 7% 03/10/2015
40,602,424
39,050,620
Federation of Russia Step Coupon 31/03/2030
30,322,342
34,301,099
United Mexican States 7.75% 29/05/2031
Republic of Argentina 8.28% NY Series 31/12/2033
United Mexican States 10% 20/11/2036
345,800,000
29,052,982
39,625,405
28,797,128
293,900,000
28,106,636
2,449,000
24,688,624
Republic of Iraq 5.8% 15/01/2028
25,531,000
22,638,928
Republic of Ivory Coast Step Coupon 31/12/2032
22,764,000
20,793,172
Republic of Ukraine 7.8% 28/11/2022
20,552,000
18,546,603
Federal Republic of Brazil Serie B 6% 15/08/2020
Republic of Colombia 10% 24/07/2024
25,460,000,000
17,106,613
Republic of Venezuela 11.95% 05/08/2031
18,606,000
16,614,443
Republic of Venezuela 11.75% 21/10/2026
17,846,000
15,795,884
Ashmore Cayman SPC No 3 Ltd – BTS Segregated Portfolio PIK/PPN ZCPN 28/12/2015
12,900,000
13,350,091
8,325,000
13,005,328
Federal Republic of Brazil 10.125% 15/05/2027
Other
1,080,806,490
Total
2,106,143,789
25
Ashmore Emerging Markets Liquid
Investment Portfolio
25,460,000,000
Federal Republic of Brazil 4.25% 07/01/2025
Asset Holder PCC Limited: Annual Report and Accounts
2: Ashmore Emerging Markets
Liquid Investment Portfolio
Consolidated Balance Sheet
as at 31 August 2014
Notes
2014
US$
2013
US$
Assets
Investments
1,846,914,318 2,445,277,358
Derivative assets
12
1,118,914
13,338,191
Debtors
10
99,370,856
200,310,572
Cash and bank balances
16
15,042,692
71,631,435
Total assets
1,962,446,780 2,730,557,556
Liabilities
Repurchase agreements
17
411,322,120
Derivative liabilities
12
332,448
16,667,642
Creditors
11
20,523,302
12,382,883
432,177,870
514,940,774
Total liabilities (excluding net assets attributable to unitholders' funds)
Unitholders' funds
485,890,249
1,530,268,910 2,215,616,782
Net Asset Value per unit
US$ 9.8601
US$ 9.5391
2014
US$
2013
US$
Unit Trust Balance Sheet
as at 31 August 2014
Notes
Investment in subsidiary
Unitholders' funds
2, 3b) 1,530,268,910 2,215,616,782
1,530,268,910 2,215,616,782
The accounts on pages 26 to 45 were approved by the Board of Directors of the Principal Manager on 19 December 2014 and
are signed on its behalf by:
Director
The notes on pages 29 to 45 form an integral part of these consolidated financial statements.
26
Consolidated Statement of Total Return
for the year ended 31 August 2014
2014
Notes
2013
US$
US$
US$
US$
Income
– Net capital gains/(losses)
7
– Revenue
8
133,738,203
Expenses
9
(47,611,695)
(53,753,847)
86,126,508
167,165,496
(38,401)
(500,823)
Net revenue before taxation
Taxation
6
99,196,109
Net revenue after taxation
86,088,107
Total return before distribution
5
Change in net assets attributable to unitholders' funds
166,664,673
185,284,216
7,106,414
(125,145,454)
(194,686,013)
60,138,762
(187,579,599)
Statement of Changes in Net Assets Attributable to Unitholders’ Funds
for the year ended 31 August 2014
2014
2013
US$
Opening net assets attributable to unitholders' funds
US$
US$
2,215,616,782
US$
4,069,567,637
Movement due to issue and redemption of units:
Amounts receivable on issues
Amounts payable on redemptions
Change in net assets attributable to unitholders' funds
Closing net assets attributable to unitholders' funds
163,110,280
321,152,749
(908,596,914)
(1,987,524,005)
(745,486,634)
(1,666,371,256)
60,138,762
(187,579,599)
1,530,268,910
2,215,616,782
The notes on pages 29 to 45 form an integral part of these consolidated financial statements.
27
Ashmore Emerging Markets Liquid
Investment Portfolio
Dividend distributions
(159,558,259)
220,919,343
Asset Holder PCC Limited: Annual Report and Accounts
2: Ashmore Emerging Markets
Liquid Investment Portfolio
Consolidated Statement of Cash Flows
for the year ended 31 August 2014
2014
US$
2013
US$
Operating activities
Net bank interest received
105,311
46,031
(32,690,754)
(77,397,684)
Repurchase agreements
(74,337,346)
(491,767,056)
Investment income received
123,720,580
202,933,038
16,797,791
(366,185,671)
Expenses paid
Net cash inflow/(outflow) from operating activities
Financial investments
Purchases of investments
Sales of investments
(1,233,282,508) (2,044,086,966)
2,043,875,197 3,625,233,714
Net cash flow on derivative instruments and foreign exchange
(13,347,135)
20,118,388
Net cash inflow from financial investments
797,245,554 1,601,265,136
Financing activities
Issue of units
Redemption of units
Dividends paid
Net cash (outflow) from financing activities
(Decrease)/increase in cash and bank balances during the year
51,956,726
142,326,747
(908,596,914) (1,345,652,911)
(13,991,900)
(15,860,011)
(870,632,088) (1,219,186,175)
(56,588,743)
15,893,290
Reconciliation of net cash flow to movement in cash and bank balances
Cash and bank balances at the beginning of the year
(Decrease)/increase in cash and bank balances
Cash and bank balances at the end of the year
The notes on pages 29 to 45 form an integral part of these consolidated financial statements.
28
71,631,435
55,738,145
(56,588,743)
15,893,290
15,042,692
71,631,435
Notes to the Consolidated Financial Statements
1. Constitution of the Trust
The Ashmore Emerging Markets Liquid Investment Portfolio (“the Portfolio”) was constituted in Guernsey as an openended Unit Trust by a Trust Deed dated 23 October 1992, as amended and restated by a trust instrument dated 29 January
2001 between the Manager and Close Bank Guernsey Limited (“Close Bank”) and as amended by a supplemental trust
deed dated 1 March 2001 between the Manager, Close Bank and the Trustee. The Portfolio has been authorised as a Class
“B” Collective Investment Scheme in accordance with the provisions of the Protection of Investors (Bailiwick of Guernsey)
Law 1987, as set out in the Authorised Collective Investment Scheme (Class B) Rules 2013.
2. Acquisition of subsidiary
At 31 August 2014, 155,197,480 (2013: 232,266,775) Shares and a corresponding number of units were in issue.
A protected cell company is one whose assets can be either cellular or non-cellular. The assets attributable to a cell
comprise assets represented by the proceeds of cell share capital, reserves and any other assets attributable to the cell.
The non-cellular assets comprise the assets of the company which are not cellular assets. Where a liability arises from
a transaction in respect of a particular cell, the cellular assets attributable to that cell shall be liable and the liability shall
not be a liability of assets attributable to any other cell or of the non-cellular assets unless the Cell has entered into a
recourse agreement.
In 2011, the following LLC subsidiaries were established: Ashmore Emerging Markets Liquid Investment Portfolio 1 LLC,
a wholly owned subsidiary of Ashmore Emerging Markets Liquid Investment Portfolio 2 LLC, which in turn is a wholly
owned subsidiary of the Cell.
3. Principal accounting policies
The following accounting policies have been applied consistently in dealing with terms which are considered material to
the Portfolio and are consistent with those used in the previous reporting period.
a) Basis of preparation
The consolidated financial statements, which give a true and fair view, are prepared under the historical cost convention,
modified by the revaluation of investments, in accordance with applicable UK accounting standards and the Statement
of Recommended Practice for Authorised Funds (October 2010) issued by the Investment Management Association
(“IMA SORP 2010”) and are in compliance with the Companies (Guernsey) Law 2008.
b) Basis of consolidation
In accordance with Financial Reporting Standard 2, Accounting for Subsidiary Undertakings, and Financial Reporting
Standard 5, Reporting the Substance of Transactions, the accounts of the Portfolio, its subsidiaries and the Cell in
Asset Holder PCC Limited have been consolidated.
c) Revenue
Bond and bank interest, with the exception of non-performing assets, is accounted for on an effective interest rate basis.
For non-performing assets and where the Investment Manager deems it to be more appropriate, income is recognised
on receipt.
29
Ashmore Emerging Markets Liquid
Investment Portfolio
In 1997, the Portfolio acquired a cell (“the Cell”), designated Ashmore Emerging Markets Liquid Investment Portfolio Cell,
in Asset Holder PCC Limited (“PCC”), a protected cell company registered on 2 May 1997. PCC, together with the Portfolio,
has been authorised by the Guernsey Financial Services Commission as a Class “B” Collective Investment Scheme.
PCC was established to act as an underlying investment holding company for a number of unit trusts. The Cell issued
Participating Redeemable Preference Shares (“Shares”) (which comprised 100% of the issued voting shares of that cell)
to the Portfolio in exchange for the transfer of its net assets valued at the date of execution of the transfer. It continues to
issue a corresponding number of Shares as investors subscribe for units in the Portfolio.
Asset Holder PCC Limited: Annual Report and Accounts
2: Ashmore Emerging Markets
Liquid Investment Portfolio
Notes to the Consolidated Financial Statements continued
3. Principal accounting policies continued
c) Revenue continued
Dividend income from quoted equity investments and collective investment schemes is accounted for on an ex-dividend
basis. Dividend income from unquoted equity investments and collective investment schemes is recognised when the
dividend is declared.
Fee rebates on investments in other collective investment schemes are recognised on an accruals basis in revenue, unless
it is the policy of the underlying fund to charge its fees to capital, in which case, fee rebates should be treated as capital
refunds in the investing fund.
All income is shown gross of any withholding tax. Tax consequences are shown in the tax charge.
d) Expenses
Expenses are accounted for on an accruals basis.
e) Distributions
All, or substantially all, dividends, interest and other income, net of expenses, will be distributed within six months of the
financial year end.
Distributions are payable to unitholders. Proposed distributions to unitholders are recognised in the Consolidated Statement
of Total Return when they are appropriately authorised and no longer at the discretion of the Portfolio.
f) Investments
Investments are accounted for on a trade date basis and are recognised at fair value. The fair value of financial instruments is
determined in accordance with the Portfolio’s valuation policy.
Where possible, investments are valued by reference to the most recent prices quoted on a recognised investment
exchange or as supplied by a market maker in the investments concerned, with a view to giving a fair valuation that can
reasonably be obtained and without prejudice to the following:
30
•
bonds and loans are valued at the market price multiplied by the face amount plus accrued interest;
•
investments in collective investment schemes, common investment pools and limited partnerships are valued on
the basis of the latest available net asset value per unit or share, which represents the fair value, quoted by the
administrator of the scheme, pool or partnership in question as at the close of business on the relevant valuation day
(or a net asset value estimate if the scheme, pool or partnership publishes its net asset value less frequently than
the Portfolio);
•
assets issued on a “when and if” basis are valued on the assumption that they will be issued;
•
assets where past due interest is gratis are valued at market price multiplied by the face amount;
•
assets where the market pays for past due interest are valued at the market price multiplied by the face amount,
plus accrued interest;
•
assets where accrued interest is for the account of the holder are valued at the market price multiplied by the
face amount;
•
assets acquired on deferred purchase terms are valued at market price less the amount of the unpaid purchase
consideration and financing costs;
•
zero coupon certificates of deposit and treasury bills are valued at market price multiplied by the nominal
amount thereof.
Notes to the Consolidated Financial Statements continued
3. Principal accounting policies continued
f) Investments continued
In preparing any valuation, the Investment Manager may rely on information provided by any person whom the Investment
Manager considers to be suitably qualified and who is approved by the Directors (an “Approved Person”). Any price or
methodology notified to the Manager by an Approved Person as representing the fair value of any investment shall be
conclusive in the absence of manifest error.
For the above purposes, a “recognised investment exchange” means any stock or investment exchange, institution or
screen based or other electronic quotation or trading system providing dealing facilities or quotations for investments that
has been approved from time to time by the Investment Manager.
Where the Portfolio enters into fully funded total return swap (“TRS”) transactions with a swap counterparty, pursuant to
which the Portfolio makes an initial payment equal to the estimated value of an Emerging Market debt security, loan or other
financial instrument, the TRSs are valued using the same rules as the underlying assets they represent. Fully funded TRSs
are recognised as investments.
As per IMA SORP 2010 requirements, transaction costs related to the acquisition of the investments are capitalised and
form a part of the cost of the investments.
Gains and losses arising from changes in the fair value of the investments are presented in the Consolidated Statement of
Total Return within net capital gains/(losses) in the period in which they arise and can be unrealised or realised.
The unrealised gains and losses comprise changes in the fair value of the investments for the period and the reversal of the
prior period’s unrealised gains and losses for investments which were realised in the reporting period. Realised gains and
losses on disposals of investments are calculated using the FIFO method.
g) Derivatives
Derivatives, including forward foreign currency contracts, total return swaps, interest rate swaps, futures and options are
recognised at fair value on the date on which the derivative contract is entered into and are subsequently remeasured at
their fair value at each valuation point. Fair values are obtained from quoted market prices in active markets, including recent
market transactions, or from market makers.
The Portfolio may enter into interest rate swaps, which are arrangements between two parties to exchange cash flows
based on a notional principal amount, in order to manage the Portfolio’s exposure to interest rates. Interest rate swaps are
marked to market daily and the change in value, if any, is recorded as unrealised gain or loss. Payments made or received
are recorded as part of realised gains and losses.
A forward foreign currency contract involves an obligation to purchase or sell a specific currency at a future date at a price
set at the time the contract is made.
Forward foreign currency contracts are valued by reference to the price at which a new forward contract of the same size
and maturity could be undertaken at the valuation date. The unrealised gain or loss on open forward foreign currency
contracts is calculated as the difference between the contract rate and the forward price. Forward foreign currency contracts
are generally entered into for hedging the Portfolio’s overall currency risk. Unrealised gains or losses on forward foreign
currency contracts are recognised in the Consolidated Statement of Total Return.
31
Ashmore Emerging Markets Liquid
Investment Portfolio
Investments in target entities may be effected via Special Purpose Vehicles (“SPV”). The nominal holding of such
investments reflects the Portfolio’s interest in the SPV and not its interest in the target investment. The valuations of such
positions are performed on a look through basis.
Asset Holder PCC Limited: Annual Report and Accounts
2: Ashmore Emerging Markets
Liquid Investment Portfolio
Notes to the Consolidated Financial Statements continued
3. Principal accounting policies continued
g) Derivatives continued
Options are valued at the market premium multiplied by the nominal amount. The premium on purchased put options
exercised is subtracted from the proceeds of the sale of the underlying security or foreign currency in determining the
realised gain or loss. The premium on purchased call options exercised is added to the cost of the securities or foreign
currency purchased. Premiums paid on the purchase of options that expire unexercised are treated as realised losses
and are reflected in the Consolidated Statement of Total Return. The premium received from options written is initially
recognised as a financial liability. The maximum gain potential is equal to the initial premium received and will be recognised
if the option expires worthless and no subsequent payment is required. Gains and losses associated with the revaluation of
options are recognised as unrealised appreciation or depreciation on investments.
Futures contracts are contractual obligations to buy or sell financial instruments on a future date at a specified price
established in an organised market. Futures contracts are collateralised by cash or marketable securities and changes in
the futures contracts’ value are settled daily with the exchange. Futures contracts are settled on a net basis. Subsequent
measurement of the fair value of a futures contract is calculated as the net difference between the contract price and the
closing price reported on the primary exchange on which the futures contract is traded. Realised and unrealised gains or
losses associated with the revaluation of futures are recognised in the Consolidated Statement of Total Return.
h) Repurchase agreements
Securities sold under agreements to repurchase are treated as collateralised borrowing transactions. The securities continue
to be carried at market value and the loans are carried at the amount at which the securities were sold under the agreement.
Interest expense recognised under these agreements and interest income on collateral securities are included in the
Consolidated Statement of Total Return.
i) Offsetting assets and liabilities
Assets and liabilities should not be offset unless offsetting is required and legally permitted. Assets and liabilities are offset
and the net amount reported in the Consolidated Balance Sheet if, and only if, there is a currently enforceable legal right
to offset the recognised amounts and there is an intention to settle on a net basis, or to realise the asset and settle the
liability simultaneously.
j) Foreign exchange transactions
Transactions in foreign currency are translated at the rate of exchange ruling at the date of the transaction.
Monetary assets and liabilities denominated in foreign currencies are translated to US dollars at the closing foreign currency
exchange rate ruling at the Consolidated Balance Sheet date. Foreign currency exchange differences arising on translation
and realised gains and losses on the disposal or settlement of monetary assets and liabilities are recognised in the
Consolidated Statement of Total Return. Non-monetary assets and liabilities denominated in foreign currencies that are
measured at fair value are translated to US dollars at the foreign currency exchange rate ruling at the date the values were
determined. Foreign currency exchange differences relating to investments and derivative financial instruments are included
in the Consolidated Statement of Total Return.
4. Material agreements
a) Management fees
The Investment Manager is entitled to receive fees at an annual rate of 1.5% of the Net Asset Value of the Portfolio.
These fees are payable monthly in arrears.
Where the Investment Manager or one of its associates acts as investment manager or adviser in respect of any underlying
funds, the Investment Manager will not double charge for management fees in respect of such underlying funds.
Ashmore Investment Advisors Limited was appointed as Investment Manager on 18 July 2014, replacing Ashmore
Investment Management Limited. The management fee rates remained unchanged.
32
Notes to the Consolidated Financial Statements continued
4. Material agreements continued
b) Trustee fees
The fees due to the Trustee are limited to 0.01% per annum of the Portfolio’s Net Asset Value. The Trustee is also entitled
to transaction fees.
c) Depositary fees
The fees due to the Depositary are limited to 0.01% per annum of the Portfolio’s Net Asset Value.
d) Administration fees
The Administrator is entitled to receive a flat fee of 0.02% per annum of the Portfolio’s Net Asset Value.
Should the aggregate Net Asset Value fall below US$500 million the Administrator reserves the right to review the
fees upwards.
Incentive fees based upon the performance of the Portfolio are payable annually to the Manager in arrears, if a Portfolio
achieves a return over the period in excess of 6% per annum. The incentive fee is 20% of the excess. The fee is calculated
separately for investors who join the Portfolio during any period by comparing the Net Asset Value per share of the Portfolio
at the end of the relevant period with the price paid by the investors for their shares rather than the Net Asset Value per
share at the beginning of each period in order to determine whether the Portfolio has achieved a return for those investors
in excess of 6% per annum.
If a unitholder redeems shares during an accounting period, the Manager will calculate the incentive fee (if any) attributable
to the shares to be redeemed, which shall be deducted from the redemption price and retained by the Manager.
5. Dividend distributions
Distributions in respect of the year ended 31 August 2014 will be distributed within six months of the financial year end.
In respect of the financial statements for the year ended 31 August 2013, the following distributions were paid during this
financial year:
Dividends declared during the year
US$
Net revenue before distribution (US$)
166,664,673
Dividend declared (ex-date 20 December 2013) (US$)
125,145,454
Dividend per share (US$)
0.633117
Dividend paid in cash (US$)
13,991,900
Dividend reinvested (US$)
111,153,554
In respect of the financial year ended 31 August 2012, the following distributions were paid during the previous
financial year:
Dividends declared during the year
US$
Net revenue before distribution (US$)
194,817,011
Dividend declared (ex-date 21 December 2012) (US$)
194,686,013
Dividend per share (US$)
0.5875
Dividend paid in cash (US$)
15,860,011
Dividend reinvested (US$)
178,826,002
Under Guernsey law, companies can pay dividends in excess of accounting profit provided they satisfy the solvency test
prescribed under the Companies (Guernsey) Law 2008. The solvency test considers whether a company is able to pay its
debts when they become due, and whether the value of a company’s assets is greater than its liabilities. The Portfolio
satisfied the solvency test for the dividend payment for the year ended 31 August 2013.
33
Ashmore Emerging Markets Liquid
Investment Portfolio
e) Incentive fees
Asset Holder PCC Limited: Annual Report and Accounts
2: Ashmore Emerging Markets
Liquid Investment Portfolio
Notes to the Consolidated Financial Statements continued
6. Taxation
The PCC and Portfolio have historically applied for and been granted exemption from Guernsey Income Tax under the
Income Tax (Exempt Bodies) (Guernsey) Ordinance 1989 and, as a result, any surplus income of the PCC and Portfolio may
be distributed without deduction of Guernsey Income Tax. It should be noted however that dividend income arising on the
PCC and Portfolio’s investments will be subject, as appropriate, to any withholding taxes in the country of origin. Pursuant to
the application for exemption under the above monitored ordinance, the PCC is subject to an annual fee, currently £600,
payable to the Guernsey Income Tax Authority. The Directors of the Principal Manager intend to apply for exempt status in
future periods.
The tax charge shown in the Consolidated Statement of Total Return relates to withholding tax on the Portfolio’s
interest income.
7. Net capital gains/(losses)
2014
US$
2013
US$
Investment securities
– Realised gains
115,737,932
547,794,732
– Realised losses
(132,499,468)
(155,108,307)
– Unrealised gains
226,482,855
132,006,483
– Unrealised losses
(101,034,552)
(703,625,027)
Derivatives
Forward foreign currency contracts
(12,031)
(157,727)
(8,518,859)
22,096,023
Other gains/(losses)
(692,061)
469,937
Transaction costs
(267,707)
(3,034,373)
99,196,109
(159,558,259)
8. Revenue
2014
US$
2013
US$
Interest on debt securities
99,817,002
173,862,267
Dividends
33,648,377
47,011,045
Bank interest
105,311
46,031
Other income
167,513
–
133,738,203
220,919,343
2014
US$
2013
US$
Management fees
24,174,066
39,806,088
Incentive fees
20,373,803
8,012,746
44,547,869
47,818,834
Custody fees and charges
328,800
1,197,362
Administration fees
353,638
587,293
9. Expenses
Payable to the Investment Manager
Other expenses
Directors' fees and expenses
Audit fees
34
48,583
52,182
161,655
116,919
Legal and professional fees
387,363
292,246
Bank interest paid
438,055
2,455,179
Notes to the Consolidated Financial Statements continued
9. Expenses continued
Other expenses
Total expenses
Total expense ratio
2014
US$
2013
US$
1,345,732
1,233,832
3,063,826
5,935,013
47,611,695
53,753,847
1.74%
1.70%
2014
US$
2013
US$
10. Debtors
Prepayments
26,898
79,454,650
170,166,007
Accrued income
19,884,026
30,088,370
Sundry debtors
–
29,297
99,370,856
200,310,572
2014
US$
2013
US$
11. Creditors
Accrued fees due to Investment Manager
1,734,862
2,333,481
Accrued fees due to Custodian
61,501
207,713
Accrued fees due to Administrator
52,657
84,218
Incentive fees payable
15,262,670
–
–
7,280,525
Repurchase agreements*
1,905,913
1,681,260
Other accrued expenses
1,505,699
795,686
20,523,302
12,382,883
Investment purchase creditors
* The amount represents a payable in respect of repurchase agreements traded before and settled after the Consolidated Balance
Sheet date.
12. Derivatives assets and liabilities
Derivatives
assets
2014
US$
Options
Forward foreign currency contracts
Derivatives
liabilities
2014
US$
Derivatives
assets
2013
US$
Derivatives
liabilities
2013
US$
–
–
16,284
(4,253)
1,118,914
(332,448)
13,321,907
(16,663,389)
1,118,914
(332,448)
13,338,191
(16,667,642)
35
Ashmore Emerging Markets Liquid
Investment Portfolio
32,180
Investment sales debtors
Asset Holder PCC Limited: Annual Report and Accounts
2: Ashmore Emerging Markets
Liquid Investment Portfolio
Notes to the Consolidated Financial Statements continued
13. Related parties
As of and for the year ended 31 August 2014, the Portfolio had the following related party transactions and balances:
2014
US$
2013
US$
– management fees charged for the year
24,174,066
39,806,088
– management fees payable at 31 August
1,734,862
2,333,481
– incentive fees charged for the year
20,373,803
8,012,746
– incentive fees payable at 31 August
15,262,670
–
– Directors' fees charged for the year
48,583
52,182
– Directors' fees payable at 31 August
3,905
1,147
– sales
573,310,667
562,699,283
– purchases
439,357,725
332,511,834
33,648,084
46,997,523
23,150,330
46,851,300
– sales
–
395,949,671
– purchases
–
353,712,239
294
13,522
–
12,239
Ashmore Investment Advisors Limited
Related funds
– dividend income
– of which was reinvested
Ashmore SICAV 2 Global Liquidity US$ Fund
– dividend income
– of which was reinvested
Related funds are other funds managed by the Investment Manager or its associates. As at the Consolidated Balance Sheet
date, there were no amounts outstanding with related funds.
The Portfolio held the following shares in Ashmore related funds:
Ashmore Asian Recovery Fund
Ashmore Emerging Markets Corporate High Yield Fund Limited
2014
2013
582,079
582,079
523,338
2,074,973
14,402,520
14,402,519
Ashmore SICAV Emerging Markets Asian Corporate Debt Fund
–
284,120
Ashmore SICAV Emerging Markets Corporate Debt Fund
–
133,404
Ashmore Global Special Situations Fund 4 Limited
Ashmore SICAV Emerging Markets High Yield Corporate Debt Fund
VTBC Ashmore Real Estate Partners 1 LP
939,142
–
2,816,050
2,816,050
The Directors of the Principal Manager are not aware of any ultimate controlling party as defined by Financial Reporting
Standard 8, Related Party Disclosures.
As at 31 August 2014, Nigel Carey, a Director of the Manager, held 49,143 shares (2013: 45,993) in the Ashmore Emerging
Markets Liquid Investment Portfolio.
Purchases and sales of the Ashmore SICAV 2 Global Liquidity Fund are solely related to cash management of US$ on
account. Funds are swept into the S&P AAAm rated Liquidity Fund and returned as and when required for asset purchases
or distributions. The Liquidity Fund is managed under the dual objectives of preservation of capital and provision of daily
liquidity, investing exclusively in very highly rated short-term liquid money market securities.
36
Notes to the Consolidated Financial Statements continued
14. Risk management
The investment objective of the Portfolio is to enable investors to have access to the returns available from Emerging
Market debt instruments and also from other Emerging Markets investments and products.
Investments may include sovereign and private sector obligations, senior and subordinated debt including convertible bonds
and bonds that may be in default but which have the potential to participate in equity restructurings. In addition, the Portfolio
may opportunistically take short and long positions in security instruments, currencies and other derivatives, and may invest
in equities or discounted equity funds.
In pursuing its investment objective the Portfolio enters into investment transactions in financial instruments, principally the
investment portfolio, the holding of which gives exposure to a variety of financial risks, which include market risk (including
price risk, interest rate risk and currency risk), liquidity risk (including leverage risk) and credit risk.
Further information on how the above risks are mitigated is set out below.
The Investment Committee reviews risk exposure on a weekly basis and the portfolio as a whole is monitored for a number
of factors, including:
•
Interest rate sensitivity
•
Currency sensitivity
•
Liquidity
•
Volatility
•
Duration
With regard to the portfolio construction process, risk is monitored as an integral part of the investment decision process,
and this provides strong risk control on an ongoing basis.
•
Global: Analyse macro issues including global interest rates, liquidity and major events to determine portfolio duration,
interest rate sensitivity and cash levels.
•
Fundamental: Analyse country macro-economic and financial fundamentals.
•
Political: Analyse country and international politics and policy dynamics as large changes result from political events and
the understanding of incentive structures.
•
Asset/Credit: Identify fundamental value across countries globally and their respective assets.
•
Technical/Market: Analyse asset and market technicals, timing and dynamics.
•
Portfolio Construction: Select assets using the Ashmore Portfolio Framework and adjust the portfolio to achieve:
–
Diversification and correlation objectives including those in relation to benchmarks;
–
Desired duration, principally through altering relative asset category proportions;
–
Desired interest rate sensitivity (through split between fixed and floating instruments);
–
Desired cash level;
–
Portfolio liquidity;
–
Conformity with agreed limits and other pre-specified portfolio investment restrictions.
37
Ashmore Emerging Markets Liquid
Investment Portfolio
All investment strategies are approved by the Investment Manager’s Investment Committee, which meets weekly, and are
minuted. Decisions are restricted by the policies contained in the Investment Manager’s Operational Procedures Manual
and the investment restrictions pertaining to the Portfolio.
Asset Holder PCC Limited: Annual Report and Accounts
2: Ashmore Emerging Markets
Liquid Investment Portfolio
Notes to the Consolidated Financial Statements continued
14. Risk management continued
The Investment Manager has established, and periodically reviews, all counterparty limits.
Investment restrictions are as follows:
•
Not more than 35% of the Net Asset Value of the Portfolio will be invested in obligations of or in any one country;
•
Not more than 25% of the Net Asset Value of the Portfolio will be in currencies other than US dollars (unless, over such
amount, such investments are hedged into US dollars);
•
Not more than 15% of the Net Asset Value of the Portfolio will be in any one currency (other than US dollars);
•
Not more than 20% of the Net Asset Value of the Portfolio will be invested in equity securities;
•
Not more than 20% of the Net Asset Value of the Portfolio will be invested in other collective investment schemes
including collective investment schemes managed by the Investment Manager or by an Ashmore Associate.
Market risk
The majority of the Portfolio’s financial instruments are recognised at fair value, and changes in market conditions directly
affect income.
i) Price risk
The main risk arising from the Portfolio’s financial instruments is price risk. All derivatives, trading securities and investments
are recognised at fair value, and all changes in market conditions directly affect net income. Price risk primarily arises from
uncertainty about future prices of the financial instruments held. The Investment Manager, acting within guidelines set by
the Manager and the investment restrictions, regularly assesses the appropriate allocation of assets in order to minimise
the overall risks while continuing to follow the investment objectives. These restrictions are intended to ensure that the
Portfolio’s investments are appropriately diversified. Details of the Portfolio’s investment portfolio as at the Consolidated
Balance Sheet date are disclosed in the Schedule of Investments.
ii) Interest rate risk
A substantial portion of the Portfolio’s financial assets and liabilities are interest bearing and, as a result, a key risk is
fluctuations in the prevailing levels of market interest rates. This risk is managed through duration management and issue
selection (mix between fixed and floating instruments and duration). The Portfolio may also from time to time enter into
transactions in derivative instruments and take short positions with a view to hedging the portfolio’s interest rate exposure.
As at 31 August 2014, if market interest rates had been 10 basis points higher/lower with all other variables held constant,
the increase/decrease in net assets attributable to unitholders’ funds would have been US$1,055,117 (2013: US$1,326,657).
Interest rate risk profile of financial assets and liabilities
The interest rate profile of the Portfolio’s cash and investment assets and liabilities was:
2014
Total
US$
2014
Floating
US$
2014
Fixed
US$
2014
Non-interest
US$
6,826,145 1,340,946,761
407,977,323
Assets
US dollar
Other
1,755,750,229
206,696,551
1,962,446,780
US$
–
118,742,501
87,954,050
6,826,145 1,459,689,262
495,931,373
US$
US$
US$
431,586,051
–
411,398,558
20,187,493
591,819
–
–
591,819
432,177,870
–
411,398,558
20,779,312
Liabilities
US dollar
Other
38
Notes to the Consolidated Financial Statements continued
14. Risk management continued
Market risk continued
ii) Interest rate risk continued
Interest rate risk profile of financial assets and liabilities continued
2013
Total
US$
2013
Floating
US$
2013
Fixed
US$
2013
Non-interest
US$
37,629,610 1,612,542,266
827,461,870
Assets
US dollar
Other
2,477,633,746
252,923,810
2,730,557,556
US$
9,630,033
152,745,429
90,548,348
47,259,643 1,765,287,695
918,010,218
US$
US$
US dollar
Other
498,133,638
–
485,890,249
12,243,389
16,807,136
–
–
16,807,136
514,940,774
–
485,890,249
29,050,525
iii) Currency risk
The Portfolio’s principal exposure to currency risk arises from investments denominated in currencies other than
US dollars. The value of such investments may be affected favourably or unfavourably by fluctuations in exchange rates,
notwithstanding any efforts made to hedge such fluctuations. The Portfolio’s investment portfolio is only partly (10.31%,
2013: 8.91%) invested in securities denominated in currencies other than US dollars. The Portfolio may deal in derivative
instruments and other synthetic products where investing in such vehicles would be more efficient, is required for legal,
tax or regulatory reasons or would otherwise be to the advantage of the Shareholders. If, in the view of the Investment
Manager, it is more efficient or cost effective, the Investment Manager may take exposure to underlying local currency
Emerging Market debt or other Investments through synthetic products offered by third parties. Selling investments short,
including through the use of derivative instruments, is permitted for hedging purposes.
As at 31 August 2014, had the US dollar strengthened/weakened by 10 basis points in relation to all other currencies of the
Portfolio’s financial assets and liabilities, with all other variables held constant, net assets attributable to unitholders’ funds
would have decreased/increased by US$205,868 (2013: US$82,895).
The Portfolio’s net currency exposure was as follows:
Brazilian real
Net assets
2014
US$
Investments
2014
US$
Forward foreign
currency
contracts
2014
US$
Total net
currency
exposure
2014
US$
10,063,139
55,499,693
(12,883)
British pound sterling
1,653,819
1,716,883
40,743
3,411,445
Colombian peso
1,009,005
19,213,117
144,277
20,366,399
Euro
1,372,836
6,362,805
591,255
8,326,896
330
67,749,318
–
67,749,648
Mexican peso
181,282
18,613,167
(34,433)
18,760,016
Russian ruble
105,663
5,979,666
57,507
6,142,836
–
5,129,167
–
5,129,167
34,175
1,934,772
–
1,968,947
Hong Kong dollar
South African rand
Turkish lira
United Arab Emirates dirham
Other
65,549,949
76,004
4,079,046
–
4,155,050
124,826
4,182,997
–
4,307,823
14,621,079
190,460,631
786,466
205,868,176
39
Ashmore Emerging Markets Liquid
Investment Portfolio
US$
Liabilities
Asset Holder PCC Limited: Annual Report and Accounts
2: Ashmore Emerging Markets
Liquid Investment Portfolio
Notes to the Consolidated Financial Statements continued
14. Risk management continued
Market risk continued
iii) Currency risk continued
Net assets
2013
US$
Investments
2013
US$
Forward foreign
currency
contracts
2013
US$
Total net
currency
exposure
2013
US$
Brazilian real
3,318,422
21,150,433
(32,931,435)
Euro
5,829,371
17,391,851
(23,154,393)
66,829
329
51,686,728
–
51,687,057
Mexican peso
10,828,224
81,084,042
(54,483,160)
37,429,106
Russian ruble
612,915
44,413,816
(44,756,504)
270,227
Other
956,963
2,185,062
(1,237,769)
1,904,256
21,546,224
217,911,932
(156,563,261)
82,894,895
Hong Kong dollar
(8,462,580)
Liquidity risk
Liquidity risk is the risk that the Portfolio may not be able to generate sufficient cash resources to settle its obligations in full
as they fall due or can only do so on terms that are materially disadvantageous.
Some of the investments which the Portfolio makes are traded only on over the counter markets and there may not be an
organised public market for such securities. The effect of this is to increase the difficulty of valuing the investments and,
until a market develops, certain of the investments may generally be illiquid. There may be no established secondary market
for certain of the investments made by the Portfolio. Reduced secondary market liquidity may affect adversely the market
price of the investments and the Portfolio’s ability to dispose of particular investments to meet its liquidity requirements
or in response to specific events such as a deterioration in the creditworthiness of any particular issuer. Due to the lack of
adequate secondary market liquidity for certain securities, the Administrator may find it more difficult to obtain accurate
security valuations for the purposes of valuing the Portfolio and calculating the Net Asset Value. Valuations may only be
available from a limited number of sources and may not represent firm bids for actual sales. In addition, the current or future
regulatory regime may adversely affect the Unitholders’ liquidity.
i) Leverage risk
The PCC may borrow for the account of the Portfolio on a secured and unsecured basis and pursuant to repurchase
arrangements and deferred purchase arrangements. The amount of all such borrowings that remain outstanding from time
to time (net of any cash balances held by the Portfolio or collateral balances transferred by the Portfolio) shall not exceed an
amount equal to 50% of the Net Asset Value of the Portfolio.
The Investment Manager may also arrange for temporary borrowings to provide liquidity in connection with redemption
payments provided that the amount borrowed in this respect does not at any time exceed 10% of the Net Asset Value of
the Portfolio.
Most leveraged transactions require the posting of collateral. A decrease in the fair value of such financial assets may result
in lenders, including derivative counterparties, requiring the Portfolio to post additional collateral or sell assets at a time when
it may not be in the Portfolio’s best interest to do so. A failure of the Portfolio to continue to post the required collateral could
result in a disposition of the Portfolio’s assets at times and prices which could be disadvantageous to the Portfolio and could
result in substantial losses, having a material adverse effect on the Portfolio. To the extent that a creditor has a claim on the
Portfolio, such claim would be senior to the rights of unitholders.
40
Notes to the Consolidated Financial Statements continued
14. Risk management continued
Liquidity risk continued
i) Leverage risk continued
Maturity of financial assets and liabilities
The maturity of the Portfolio’s financial assets and liabilities was as follows:
In one year or less
2014
Assets
US$
2014
Liabilities
US$
2013
Assets
US$
2013
Liabilities
US$
311,017,533
432,177,870
221,079,398
25,629,427
In more than one year but less than two years
81,716,248
–
174,818,768
–
In more than two years but less than five years
278,726,938
–
346,087,777
–
In more than five years
914,173,437
– 1,384,366,715
–
No maturity date
376,812,624
604,204,898
489,311,347
432,177,870 2,730,557,556
–
514,940,774
Credit risk
The Portfolio’s financial instruments includes securities and other obligations of companies that are experiencing
significant financial or business distress, including companies involved in bankruptcy or other reorganisation and liquidation
proceedings. Although such purchases may result in significant returns, they involve a substantial degree of risk and may not
show any return for a considerable period of time. In fact, many of these instruments may ordinarily remain unpaid unless
and until the company reorganises and/or emerges from bankruptcy proceedings, and as a result may have to be held for an
extended period of time. The level of analytical sophistication, both financial and legal, necessary for successful investment
in companies or sovereign issuers experiencing significant business and financial distress is unusually high. There is no
assurance that the fund managers will correctly evaluate the nature and magnitude of the various factors that could affect
the prospects for a successful reorganisation or similar action. The completion of debt and/or equity exchange offers,
restructurings, reorganisations, mergers, takeover offers and other transactions can be prevented or delayed, or the terms
changed, by a variety of factors. If a proposed transaction appears likely not to be completed or in fact is not completed or
is delayed, the market price of the investments purchased by the Portfolio may decline sharply and result in losses which
could have a material adverse effect on the performance of the Portfolio and returns to Shareholders.
Moreover, the administrative costs in connection with a bankruptcy or restructuring proceeding are frequently high and will
be paid out of the debtor’s assets prior to any return to creditors (other than out of assets or proceeds thereof, which may
be subject to valid and enforceable liens and other security interests) and equity holders. In addition, certain claims that have
priority by law over the claims of certain creditors (for example, claims for taxes) may reduce any entitlement of the Portfolio.
In any reorganisation or liquidation proceeding relating to a company or sovereign issuance in which the Portfolio invests,
that Portfolio may lose its entire investment or may be required to accept cash or securities with a value less than its original
investment. Under such circumstances, the returns generated from such investments may not compensate investors
adequately for the risks assumed, which could have a material adverse effect on the performance of the Portfolio and
returns to Shareholders.
Additionally, it is frequently difficult to obtain accurate information as to the condition of such entities. Such investments also
may be adversely affected by laws relating to, among other things, fraudulent transfers and other voidable transfers or
payments, lender liability and the bankruptcy court’s power to disallow, reduce, subordinate or disenfranchise particular
claims. The market prices of such securities are also subject to abrupt and erratic market movements and above-average
price volatility, and the spread between the bid and offer prices of such securities may be greater than those prevailing in
other securities markets. It may take a number of years for the market price of such securities to reflect their intrinsic value.
Securities issued by distressed companies or sovereign issuers may have a limited trading market, resulting in limited
liquidity. As a result, the Portfolio may have difficulties in valuing or liquidating positions, which could have a material adverse
effect on the Portfolio’s performance and returns to Shareholders.
41
Ashmore Emerging Markets Liquid
Investment Portfolio
1,962,446,780
Asset Holder PCC Limited: Annual Report and Accounts
2: Ashmore Emerging Markets
Liquid Investment Portfolio
Notes to the Consolidated Financial Statements continued
14. Risk management continued
Credit risk continued
Fair values of financial assets and liabilities
In accordance with the Portfolio’s accounting policies, investments and derivatives are carried at fair value. The carrying
amounts of debtors and creditors are assumed to approximate their fair values due to the short duration to maturity.
At the reporting date, the Portfolio’s financial assets exposed to credit risk amounted to the following:
2014
US$
Investments in debt securities
2013
US$
1,298,714,784 1,756,685,415
Special situations assets
364,797,049
360,219,285
Collective investment schemes
182,226,550
326,612,624
Investments in equities
1,175,935
–
Derivative assets
1,118,914
13,338,191
Investment sales debtors
79,454,650
170,166,007
Cash and bank balances
15,042,692
71,631,435
1,942,530,574 2,698,652,957
At the reporting date, the Portfolio held investments with the following credit quality*:
2014
Fair Value
US$
2013
Fair Value
US$
Investment grade
645,400,071
886,983,999
Below investment grade
476,611,376
669,986,319
Non rated
724,902,871
888,307,040
1,846,914,318 2,445,277,358
* Credit quality based on credit ratings from Standard & Poor’s and Moody’s.
At the reporting date, the Portfolio held the following investments which were past due/in default:
Investments in debt securities
2014
Market Value
US$
2013
Market Value
US$
692,888
258,155
692,888
258,155
15. Fair value measurement
The fair value hierarchy has the following levels:
•
Quoted prices (unadjusted) in active markets for identical assets or liabilities (level 1).
•
Inputs other than quoted prices included within level 1 that are observable for the asset or liability, either directly (that is,
as prices) or indirectly (that is, derived from prices) (level 2).
•
Inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs) (level 3).
The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determined
on the basis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose,
the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement
uses observable inputs that require significant adjustment based on unobservable inputs, that measurement is a level 3
measurement. Assessing the significance of a particular input to the fair value measurement in its entirety requires
judgement, considering factors specific to the asset or liability.
The determination of what constitutes “observable” requires significant judgement by the Portfolio. The Portfolio considers
observable data to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not
proprietary, and provided by independent sources that are actively involved in the relevant market.
42
Notes to the Consolidated Financial Statements continued
15. Fair value measurement continued
The following tables analyse within the fair value hierarchy the Portfolio’s financial assets and liabilities measured at fair value
at 31 August 2014 (in US$).
Level 1
Investments
Level 2
717,896 1,408,768,172
Level 3
Total
437,428,251 1,846,914,318
Derivative instruments
–
786,466
–
786,466
Repurchase agreements
–
(411,322,120)
–
(411,322,120)
717,896
998,232,518
Total
437,428,251 1,436,378,664
The following tables analyse within the fair value hierarchy the Portfolio’s financial assets and liabilities measured at fair value
at 31 August 2013 (in US$).
Level 1
Level 2
1,636,085,648
405,458,934
Level 3
Total
403,732,776 2,445,277,358
Derivative instruments
–
(3,329,451)
–
(3,329,451)
Repurchase agreements
–
(485,890,249)
–
(485,890,249)
1,636,085,648
(83,760,766)
Total
403,732,776 1,956,057,658
Investments, whose values are based on quoted prices in active markets, and which are therefore classified within level 1,
include active listed equities, listed funds, corporate debt securities, US government treasury bills and certain non-US
sovereign obligations. The Portfolio does not adjust the quoted price for these instruments.
Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market
prices, dealer quotations or alternative pricing sources supported by observable inputs are classified within level 2. These
include investment-grade corporate bonds and certain non-US sovereign obligations, listed equities (but not on active
markets) and over-the-counter derivatives. As level 2 investments include positions that are not traded in active markets
and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which
are generally based on available market information.
All debt securities held by the Portfolio were transferred from level 1 to level 2 as the pricing methodology applied was
updated during the year ended 31 August 2014.
No financial assets were transferred from level 2 to level 1 during the year.
Investments classified within level 3 have significant unobservable inputs, as they trade infrequently. Level 3 instruments
include private equity and corporate debt securities. As observable prices are not available for these securities, the Portfolio
has used valuation techniques to derive their fair value.
The Pricing Methodology and Valuation Committee (PMVC) of the Investment Manager, which has been authorised as an
Approved Person to provide valuations to the Administrator, operates and meets to consider the methods for pricing hardto-value investments where a reliable pricing source is not available, if an asset does not trade regularly, or in the case of a
significant event (such as a major event and market volatility outside local market hours). These assets, which are classified
within level 3, include all asset types but are frequently “special situations” style investments, typically incorporating
distressed, illiquid or private equity assets.
For these hard-to-value investments, the methodology and models used to determine fair value are created in accordance
with the International Private Equity and Venture Capital Valuation (IPEV) guidelines. For significant investments the PMVC
engages experienced personnel at an independent third-party valuation specialist to create these models. The valuation is
then subject to review, amendment if necessary, then approval, firstly by the PMVC, and then by the Board of Directors of
the Manager.
Valuation techniques used include the market approach, the income approach or the cost approach for which sufficient
and reliable data is available. Within level 3, the use of the market approach generally consists of using comparable market
transactions, while the use of the income approach generally consists of the net present value of estimated future cash
flows, adjusted as deemed appropriate for liquidity, credit, market and/or other risk factors.
43
Ashmore Emerging Markets Liquid
Investment Portfolio
Investments
Asset Holder PCC Limited: Annual Report and Accounts
2: Ashmore Emerging Markets
Liquid Investment Portfolio
Notes to the Consolidated Financial Statements continued
15. Fair value measurement continued
The main inputs used in estimating the value of level 3 investments include the original transaction price, recent transactions
in the same or similar instruments, completed or pending third-party transactions in the underlying investment or
comparable issuers, subsequent rounds of financing, recapitalisations and other transactions across the capital structure,
offerings in the equity or debt capital markets, and changes in financial ratios or cash flows. Level 3 investments may also
be adjusted to reflect illiquidity and/or non-transferability.
The Portfolio believes that its estimates of fair value are appropriate, however the use of different methodologies or
assumptions could lead to different measurements of fair value. For fair value equity investments in level 3, changing one or
more of the assumptions used to alternative assumptions would result in an increase/(decrease) in net assets attributable
to equity holders. Due to the numerous different factors affecting the assets the impact cannot be reliably quantified. It is
reasonably possible, on the basis of existing knowledge, that outcomes within the next financial year that are different from
the assumptions used could require a material adjustment to the carrying amounts of affected assets.
The following table includes a roll forward of the amounts for the year ended 31 August 2014 for financial instruments
classified within level 3. The classification of a financial instrument within level 3 is based upon the significance of the
unobservable inputs to the overall fair value measurement.
2014
US$
2013
US$
Opening balance
403,732,776
555,158,584
Transfers (out of)/into level 3
(15,306,359)
–
77,364,056
122,968,000
(32,513,631)
(252,400,496)
(62,465,016)
(15,253,450)
Purchases
(Sales)
Gains/(losses):
Realised
Unrealised
Closing balance
Total net unrealised gains/(losses) attributable to level 3 instruments held
66,616,425
(6,739,862)
437,428,251
403,732,776
(161,117,657)
(236,130,731)
16. Cash and bank balances
2014
US$
2013
US$
Current accounts
8,545,282
54,812,226
Cash collateral for derivatives
6,497,410
16,819,209
15,042,692
71,631,435
Cash collateral with counterparty financial institutions is held for the Portfolio’s trading activities, particularly for nondeliverable forward contracts. These deposits may be called back by the Portfolio after settling unrealised profit or loss
on derivative contracts less transaction costs (see note 12).
17. Repurchase agreements
When the Portfolio enters into a repurchase agreement, it sells securities to a broker or financial institution and agrees to
repurchase these securities for the sales price paid by the broker or financial institution, plus interest at a negotiated rate.
A repurchase agreement is in effect a short-term loan whereby the Portfolio borrows funds to purchase additional
investments, and secures the obligation to repay by pledging the securities. These repurchase agreements may be
terminable upon demand.
The aggregate market values of securities pledged at the Consolidated Balance Sheet date under repurchase agreements
were as follows:
Ashmore Emerging Markets Liquid Investment Portfolio
44
2014
US$
2013
US$
470,920,343
519,148,818
Notes to the Consolidated Financial Statements continued
18. Reconciliation between cash flow from operating activities and total return before distribution
2014
US$
2013
US$
Total return for the year before distributions
185,284,216
7,106,414
Net capital (gains)/losses
(99,196,109)
159,558,259
Amortisation of premium and discount
3,072,075
3,682,775
Reinvested income from investments
(23,150,330)
(46,863,539)
Decrease in repurchase agreements
(74,337,346)
(491,767,056)
Increase/(decrease) in accrued expenses
14,920,941
(23,643,837)
Decrease in accrued income
10,204,344
25,741,313
Net cash inflow/(outflow) from operating activities
16,797,791
(366,185,671)
19. Commitments
Ashmore Emerging Markets Liquid
Investment Portfolio
During the year, the Ashmore Emerging Markets Liquid Investment Portfolio made the following commitment which is
related to its investment in ECI:
Ashmore Emerging Markets Liquid Investment Portfolio and certain other Ashmore Funds have acted as applicants for an
US$18,000,000 letter of credit issued by Goldman Sachs Bank USA in favour of Bank Leumi le-Israel Ltd. for the purpose
of discharging invoices of certain suppliers of ECI. The Portfolio’s potential exposure as at 31 August 2014 under this
agreement is US$3,889,440. This agreement was terminated on 2 December 2014 without any actual liability.
20. The Alternative Investment Fund Managers Directive (“AIFMD”)
Ashmore Investment Advisors Limited (“AIAL”) was authorised as an Alternative Investment Fund Manager (“AIFM”)
by the Financial Conduct Authority (“FCA”) on 18 July 2014. The Board has appointed AIAL as the Portfolio’s AIFM and
Ashmore Investment Management Limited has agreed to novate its rights and obligations under the 5 November 2007
Investment Management Agreement (“IMA”) to AIAL. The IMA has been amended: to reflect these changes; to comply
with regulatory obligations; and to provide an appropriate balance between the Board’s independence from the AIFM,
its control over the Portfolio and the Portfolio’s investment policies.
The Portfolio has appointed Northern Trust (Guernsey) Limited (“NTGL”) as its Depositary, an appointment required by the
AIFMD. Under the terms of the new Administration Agreement dated 29 May 2014, in return for performing its duties as
depositary, NTGL is remunerated with a fee based on 0.01% of the Portfolio’s Total Net Assets.
Leverage
In accordance with the AIFMD, the level of leverage for the year ended 31 August 2014 is disclosed below:
Percentage leverage under commitment method:
62.34%
Percentage leverage under gross method:
67.98%
21. Subsequent events
On 19 November 2014, the Ashmore Emerging Market Liquid Investment Portfolio was released from the commitment
described in note 19 with no financial impact on the Portfolio. The Board of Directors has evaluated subsequent events for
the Portfolio, and has concluded that there are no other subsequent events that require disclosure in or adjustments to the
consolidated financial statements.
45
Asset Holder PCC Limited: Annual Report and Accounts
2: Ashmore Emerging Markets
Liquid Investment Portfolio
Report of the Trustee to Unitholders of Ashmore Emerging Markets
Liquid Investment Portfolio
Opinion
In our opinion Ashmore Management Company
Limited has managed Ashmore Emerging
Markets Liquid Investment Portfolio during the
year ended 31 August 2014 in accordance with
the provisions of the principal documents and
the rules made under the Protection of Investors
(Bailiwick of Guernsey) Law, 1987 as set out in
the Authorised Collective Investment Scheme
(Class B) Rules 2013.
Northern Trust (Guernsey) Limited
as Trustee of Ashmore Emerging Markets
Liquid Investment Portfolio
Trafalgar Court
Les Banques
St Peter Port
Guernsey
GY1 3DA
Channel Islands
19 December 2014
46
Independent Auditor’s Report to Unitholders of Ashmore Emerging Markets
Liquid Investment Portfolio
We have audited the consolidated financial statements of
Ashmore Emerging Markets Liquid Investment Portfolio (the
“Trust”) for the year ended 31 August 2014 which comprise
the Consolidated Balance Sheet, Unit Trust Balance Sheet,
the Consolidated Statement of Total Return, the Statement
of Changes in Net Assets Attributable to Unitholders’ Funds,
the Consolidated Statement of Cash Flows and the related
notes. The financial reporting framework that has been applied
in their preparation is applicable law and United Kingdom
Accounting Standards.
Scope of the audit of the financial statements
An audit involves obtaining evidence about the amounts and
disclosures in the financial statements sufficient to give
reasonable assurance that the financial statements are free
from material misstatement, whether caused by fraud or error.
This includes an assessment of: whether the accounting
policies are appropriate to the Trust’s circumstances and
have been consistently applied and adequately disclosed;
the reasonableness of significant accounting estimates made
by the Manager; and the overall presentation of the financial
statements. In addition, we read all the financial and nonfinancial information in the Annual Report to identify material
inconsistencies with the audited financial statements. If we
become aware of any apparent material misstatements or
inconsistencies we consider the implications for our report.
Opinion on financial statements
In our opinion the consolidated financial statements:
Respective responsibilities of Manager and auditor
The Manager is responsible for preparing the Manager’s
report and, as described below, the financial statements
in accordance with applicable Guernsey law and UK
Accounting Standards.
The Manager is responsible for preparing financial statements
for each financial period which give a true and fair view of
the state of affairs of the Unit Trust and of the profit or loss
of the Unit Trust for that period and are in accordance with
applicable laws.
•
give a true and fair view of the state of the Trust’s affairs
as at 31 August 2014 and of its result for the year
then ended;
•
are in accordance with United Kingdom Accounting
Standards;
•
have been properly prepared in accordance with the trust
deed; and
•
have been properly prepared in accordance with the
Authorised Collective Investment Schemes (Class B)
Rules 1990 and the principal documents.
In preparing the financial statements, the Manager is
required to:
Matters on which we are required to report
by exception
•
select suitable accounting policies and then apply
them consistently;
•
make judgements and estimates that are reasonable
and prudent;
•
prepare the financial statements on the going concern
basis unless it is inappropriate to presume that the Unit
Trust will continue in business; and
•
the Manager has not kept proper accounting records; or
•
the financial statements are not in agreement with the
accounting records; or
state whether applicable accounting standards have been
followed subject to any material departures disclosed and
explained in the financial statements.
•
we have not received all the information and explanations,
which to the best of our knowledge and belief are
necessary for the purpose of our audit.
•
The Manager is responsible for keeping proper accounting
records, which disclose with reasonable accuracy at any time
the financial position of the Unit Trust. It is also responsible for
safeguarding the assets of the Unit Trust and hence taking
reasonable steps for the prevention and detection of fraud and
other irregularities. Our responsibility is to audit and express an
opinion on the financial statements in accordance with
We have nothing to report in respect of the following matters
where the Authorised Collective Investment Schemes (Class
B) Rules 1990 require us to report to you if, in our opinion:
KPMG Channel Islands Limited
Chartered Accountants
19 December 2014
47
Ashmore Emerging Markets Liquid
Investment Portfolio
This report is made solely to the Trust’s unitholders in
accordance with our Terms of Engagement as detailed in our
letter of 29 November 2013 and rule 4.02(3) of the Authorised
Collective Investment Schemes (Class B) Rules 1990. Our
audit work has been undertaken so that we might state to the
Trust’s unitholders 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 Trust and the Trust’s
unitholders as a body, for our audit work, for this report, or for
the opinions we have formed.
applicable law and International Standards on Auditing (UK
and Ireland). Those standards require us to comply with
the Auditing Practices Board's (APB's) Ethical Standards
for Auditors.
Ashmore
Local Currency
Debt Portfolio
Investment Manager’s Report
Country Allocation (Unaudited)
Schedule of Investments
History of Quoted Net Asset Values
Summary of Significant Portfolio Changes
(Unaudited)
Consolidated Balance Sheet
Unit Trust Balance Sheet
Consolidated Statement of Total Return
Statement of Changes in Net Assets
Attributable to Unitholders’ Funds
Consolidated Statement of Cash Flows
Notes to the Consolidated Financial Statements
Report of the Trustee
Independent Auditor’s Report
48
49
50
51
54
55
56
56
57
57
58
59
75
76
3: Ashmore Local Currency Debt Portfolio
Investment Manager’s Report
Performance
The Fund returned 3.03% net of fees over the
year to 31 August 2014 compared to a return of
3.35% for the JP Morgan ELMI+ index. This
equated to a price of US$28.30 as at 31 August
2014. The Fund’s annualised returns over the last
three years and since its launch in March 1997
were -1.19% per annum and 8.66% per annum
respectively compared with -0.82% and 6.30%
respectively for the JP Morgan ELMI+ index.
Portfolio Overview
LCD is a short duration Fund which invests
primarily in Emerging Markets (“EM”) currencies.
It also utilises some of our best ideas in the
bond space.
Ashmore Investment Advisors Limited*
October 2014
Ashmore Local Currency Debt Portfolio
The local currency market saw some meaningful
changes to its composition over the period. The
benchmark index for the theme, the JP Morgan
ELMI+ Index, was rebalanced between the
end of March and the end of June in a move to
make it broader-based, more transparent and
more sustainable. This involved the removal of
Argentina (on the grounds of diminished liquidity)
and the exclusion of Hong Kong (owing to the
explicit “peg” where the currency is managed
to move broadly in line with the US dollar). As a
counterbalance, South Korea has been introduced
as the index provider broadens its exposure
across Asia ex Japan.
The Brazilian real, Indonesian rupiah and Russian
ruble were the main detractors from performance
over the period. The Ruble performed poorly as
a result of escalation of the conflict in eastern
Ukraine between pro-Russian separatists and
the Ukrainian army. The Russian Central Bank
announced measures introducing greater FX
flexibility and the economy surprised on the
upside with higher than expected retail sales and
with industrial production and inflation inching
downwards. However, the risk of further
sanctions aligned with reduced intervention by
the Central Bank knocked the RUB down 3.9%
against the USD in August 2014, to end the fiscal
year at RUB 37.12.
With regards to currency attribution, the Hong
Kong dollar, Chinese renminbi and Uruguayan
peso were the main contributors over the period.
The latter has underperformed the currencies
of its principal neighbours (excluding Argentina)
due to high levels of inflation, but the high yields
offered for its local bonds may prove sufficiently
interesting to attract the attention of foreign
investors and we expect the Uruguayan peso
to continue to perform well in an environment
of strong demand for EM assets.
* Ashmore Investment Advisors Limited became the Portfolio’s Investment Manager with effect from 18 July 2014 (date of authorisation),
previously the Investment Manager was Ashmore Investment Management Limited.
49
Asset Holder PCC Limited: Annual Report and Accounts
3: Ashmore Local Currency Debt Portfolio
Country Allocation
as at 31 August 2014 (Unaudited)
Country
Brazil
Colombia
China
Luxembourg
Fair Value
US$
Repurchase
Agreements,
Forwards and
Derivatives
US$
Total
US$
% of Net
Assets
35,446,900
–
35,446,900
9.52
6,644,447
–
6,644,447
1.78
29,355,003
–
29,355,003
7.89
234,607,459
–
234,607,459
63.02
Mexico
25,900,735
–
25,900,735
6.96
Romania
5,380,711
–
5,380,711
1.45
South Africa
5,965,157
–
5,965,157
1.60
Uruguay
5,195,518
–
5,195,518
1.40
–
62,276
62,276
0.02
348,495,930
62,276
348,558,206
93.64
Other
50
Schedule of Investments
as at 31 August 2014
Listed investments
Maturity
Date
Currency
Republic of, 10%
01/01/2021
BRL
700,000
3,021,117
0.81
Republic of, 10%
01/01/2023
BRL
1,929,000
8,255,914
2.22
Security
Nominal
Fair Value
US$
% of Net
Assets
Listed bonds
Brazil (2013: 2.88%)
Republic of, 10%
01/01/2025
BRL
955,000
4,051,719
1.09
Republic of, ZCPN
01/01/2016
BRL
2,837,000
10,984,458
2.95
Republic of, ZCPN
01/01/2017
BRL
2,626,000
9,133,692
2.45
35,446,900
9.52
Colombia (2013: 0.73%)
Republic of, 6%
28/04/2028
COP 1,875,000,000
903,073
0.24
Republic of, 7%
04/05/2022
COP 3,526,000,000
1,904,714
0.51
Republic of, 8%
28/10/2015
COP 4,647,000,000
2,507,968
0.67
Republic of, 10%
24/07/2024
COP 2,034,000,000
1,328,692
0.36
6,644,447
1.78
Mexico (2013: 4.74%)
United Mexican States, 4%
15/11/2040
MXN
4,070,000
1,824,673
0.49
United Mexican States, 5%
16/06/2016
MXN
26,970,000
11,599,119
3.12
United Mexican States, 6%
18/06/2015
MXN
145,530,000
11,386,032
3.06
United Mexican States, 7.75%
29/05/2031
MXN
12,530,000
1,090,911
0.29
25,900,735
6.96
Romania (2013: 1.64%)
28/11/2018
RON
930,000
304,533
0.08
Republic of, 5.8%
26/10/2015
RON
3,010,000
934,824
0.25
Republic of, 5.9%
26/07/2017
RON
2,750,000
886,860
0.24
Republic of, 6%
30/04/2015
RON
10,610,000
3,254,494
0.88
5,380,711
1.45
5,965,157
1.60
5,965,157
1.60
South Africa (2013: 0.00%)
Republic of, 8.25%
15/09/2017
ZAR
61,000,000
Uruguay (2013: 1.34%)
Republic of, 3.25%
27/01/2019
UYU
3,050,000
365,114
0.10
Republic of, 3.7%
26/06/2037
UYU
12,390,000
924,161
0.25
Republic of, 4.25%
05/04/2027
UYU
11,300,000
914,608
0.25
Republic of, 4.375%
15/12/2028
UYU
22,900,000
1,351,331
0.36
Republic of, 5%
14/09/2018
UYU
19,680,000
1,640,304
0.44
5,195,518
1.40
Total listed bonds
84,533,468
22.71
Total listed investments
84,533,468
22.71
29,355,003
7.89
29,355,003
7.89
Unlisted funds
China (2013: 5.27%)
Ashmore Greater China Fund Limited – Fixed Income Sub-Fund
US$
265,771
51
Ashmore Local Currency Debt Portfolio
Republic of, 5.6%
Asset Holder PCC Limited: Annual Report and Accounts
3: Ashmore Local Currency Debt Portfolio
Schedule of Investments continued
as at 31 August 2014
Unlisted funds continued
Security
Maturity
Date
Currency
Nominal
US$
234,607,459
Fair Value
US$
% of Net
Assets
Luxembourg (2013: 54.55%)
Ashmore SICAV 2 Global Liquidity US$ Fund
234,607,459
63.02
234,607,459
63.02
Total unlisted funds
263,962,462
70.91
Total investments
348,495,930
93.62
Derivatives
Forwards (2013: -0.16%)
Buy BRL 10,280,599 / Sell US$ 4,486,136
03/09/2014
107,109
0.03
Buy CLP 3,406,673,757 / Sell US$ 5,957,286
30/10/2014
(226,180)
(0.06)
Buy CNH 87,699,920 / Sell US$ 14,237,000
04/03/2015
(132,156)
(0.04)
Buy CNH 89,002,649 / Sell US$ 14,275,477
19/03/2015
27,380
0.01
Buy CNH 222,044,328 / Sell US$ 33,578,541
13/04/2015
2,056,465
0.55
Buy CNH 124,498,040 / Sell US$ 18,918,603
04/05/2015
1,039,056
0.28
Buy CNH 57,941,830 / Sell US$ 8,720,664
17/07/2015
534,997
0.14
Buy CNH 10,127,505 / Sell US$ 1,590,000
06/03/2017
865
–
Buy CNH 58,171,750 / Sell US$ 9,100,000
20/06/2017
28,241
0.01
Buy CNY 55,109,421 / Sell US$ 8,924,603
31/10/2014
1,988
–
Buy COP 14,291,666,427 / Sell US$ 7,593,038
31/10/2014
(194,943)
(0.05)
Buy CZK 263,673,149 / Sell US$ 12,609,907
31/10/2014
(88,282)
(0.02)
Buy GBP 1,484 / Sell US$ 2,464
08/09/2014
1
–
Buy HUF 2,049,192,217 / Sell US$ 8,772,915
31/10/2014
(231,257)
(0.06)
Buy IDR 176,354,525,144 / Sell US$ 14,927,961
31/10/2014
14,029
–
Buy ILS 20,356,726 / Sell US$ 5,970,240
31/10/2014
(262,423)
(0.07)
Buy INR 310,642,661 / Sell US$ 5,078,009
30/09/2014
22,916
0.01
Buy INR 1,816,565,489 / Sell US$ 29,771,637
31/10/2014
(67,382)
(0.02)
Buy INR 81,001,644 / Sell US$ 1,308,607
28/11/2014
9,443
–
Buy KRW 29,442,203,222 / Sell US$ 28,805,318
30/09/2014
170,609
0.05
Buy KRW 8,234,996,000 / Sell US$ 7,986,767
31/10/2014
105,006
0.03
Buy MXN 230542411 / Sell US$ 17676457
31/10/2014
(111,217)
(0.03)
Buy MXN 120,183,158 / Sell US$ 9,106,688
31/10/2014
50,178
0.01
Buy MYR 57,361,704 / Sell US$ 17,641,613
30/09/2014
476,449
0.13
Buy PEN 14,413,000 / Sell US$ 4,929,207
10/11/2014
92,697
0.02
Buy PHP 289695517 / Sell US$ 6652052
30/09/2014
(16,891)
–
Buy PHP 42601250 / Sell US$ 968783
30/09/2014
6,953
–
Buy PHP 313,807,267 / Sell US$ 7,237,401
31/10/2014
(43,981)
(0.01)
Buy PHP 46,429,800 / Sell US$ 1,060,162
31/10/2014
4,150
–
Buy PLN 20,300,000 / Sell US$ 6,584,282
30/09/2014
(246,373)
(0.07)
Buy PLN 27,290,000 / Sell US$ 8,815,417
31/10/2014
(310,645)
(0.08)
Buy PLN 4,678,346 / Sell US$ 1,469,330
28/11/2014
(13,514)
–
Buy RON 8,870,000 / Sell US$ 2,704,268
31/10/2014
(54,905)
(0.01)
Buy RUB 616,466,543 / Sell US$ 17,032,841
30/09/2014
(523,680)
(0.14)
Buy RUB 413,759,368 / Sell US$ 11,277,938
31/10/2014
(283,655)
(0.08)
Buy RUB 288,190,574 / Sell US$ 7,804,966
28/11/2014
(197,360)
(0.05)
Buy SGD 42,742,758 / Sell US$ 34,431,093
30/09/2014
(181,484)
(0.05)
Buy THB 635,149,201 / Sell US$ 19,500,745
30/09/2014
358,552
0.10
Buy THB 158,639,283 / Sell US$ 4,935,266
31/10/2014
17,653
–
52
Schedule of Investments continued
as at 31 August 2014
Derivatives continued
Security
Maturity
Date
Fair Value
US$
% of Net
Assets
Forwards continued
Buy THB 40,618,631 / Sell US$ 1,269,086
28/11/2014
(2,498)
–
Buy TRY 13,900,000 / Sell US$ 6,473,848
30/09/2014
(71,521)
(0.02)
Buy TRY 13,570,000 / Sell US$ 6,270,360
31/10/2014
(61,838)
(0.02)
Buy TRY 7,494,971 / Sell US$ 3,368,224
28/11/2014
40,146
0.01
Buy TWD 775,743,439 / Sell US$ 25,927,202
30/09/2014
72,327
0.02
Buy US$ 4,531,922 / Sell BRL 10,280,599
03/09/2014
(61,323)
(0.02)
Buy US$ 359,046 / Sell BRL 820,599
02/10/2014
(4,502)
–
Buy US$ 580,000 / Sell CLP 336,053,160
30/10/2014
14,652
–
Buy US$ 9,100,000 / Sell CNH 57,207,150
19/03/2015
(93,273)
(0.03)
Buy US$ 34,100,000 / Sell CNH 222,044,328
13/04/2015
(1,535,006)
(0.41)
Buy US$ 19,130,000 / Sell CNH 124,498,040
04/05/2015
(827,659)
(0.22)
Buy US$ 8,740,000 / Sell CNH 57,941,830
17/07/2015
(515,661)
(0.14)
Buy US$ 14,237,000 / Sell CNH 88,853,117
06/03/2017
279,631
0.08
Buy US$ 4,172,173 / Sell CNH 26,409,856
20/03/2017
24,192
0.01
Buy US$ 1,590,000 / Sell CNY 9,931,140
04/03/2015
(12,871)
–
Buy US$ 10,103,304 / Sell CNY 63,741,744
20/03/2017
16,361
–
03/10/2014
321
–
Buy US$ 5,180,000 / Sell COP 9,952,609,400
31/10/2014
28,022
0.01
Buy US$ 12,850,000 / Sell CZK 264,346,024
31/10/2014
296,421
0.08
Buy US$ 7,435,714 / Sell EUR 5,549,868
31/10/2014
122,747
0.03
Buy US$ 9,298,223 / Sell EUR 7,059,002
28/11/2014
(5,320)
–
Buy US$ 4,170,000 / Sell HUF 968,107,200
30/09/2014
130,868
0.04
Buy US$ 4,170,000 / Sell HUF 965,313,300
17/10/2014
144,579
0.04
Buy US$ 50,000 / Sell HUF 11,688,830
31/10/2014
1,277
–
Buy US$ 670,000 / Sell ILS 2,293,037
31/10/2014
27,056
0.01
Buy US$ 14,910,000 / Sell MXN 198,072,186
31/10/2014
(181,303)
(0.05)
Buy US$ 1,334,257 / Sell MYR 4,256,279
30/09/2014
(10,116)
(0.01)
Buy US$ 2,123,360 / Sell PEN 5,986,088
31/10/2014
35,112
0.01
Buy US$ 1,770,000 / Sell PLN 5,529,907
31/10/2014
46,636
–
Buy US$ 3,412,234 / Sell RON 11,360,923
31/10/2014
18,862
0.01
Buy US$ 1,777,210 / Sell RUB 61,285,315
30/09/2014
135,971
0.04
Buy US$ 1,790,000 / Sell RUB 65,138,100
31/10/2014
59,171
0.02
Buy US$ 3,670,000 / Sell SGD 4,578,325
30/09/2014
1,406
–
Buy US$ 1,490,000 / Sell TRY 3,233,807
31/10/2014
10,475
(0.01)
Buy US$ 2,790,000 / Sell TWD 83,700,000
30/09/2014
(15,258)
–
Buy US$ 800,000 / Sell ZAR 8,673,197
31/10/2014
(7,696)
–
Buy ZAR 28,337,325 / Sell US$ 2,619,429
31/10/2014
19,499
0.01
Buy ZAR 6,664,155 / Sell US$ 613,676
28/11/2014
3,980
–
Total forwards
62,276
0.02
Total derivatives
62,276
0.02
348,558,206
93.64
23,689,666
6.36
372,247,872
100.00
Total investments and unrealised gain/(loss) on derivatives
Other net assets
Net assets attributable to unitholders’ funds
53
Ashmore Local Currency Debt Portfolio
Buy US$ 5,080,000 / Sell COP 9,782,403,600
Asset Holder PCC Limited: Annual Report and Accounts
3: Ashmore Local Currency Debt Portfolio
History of Quoted Net Asset Values
Number of units outstanding at 31 August 2014
13,151,643
Net Asset Value per unit at 31 August 2014 (bid)
US$28.3043
Net Asset Value per unit at 31 August 2013 (bid)
US$27.7373
Net Asset Value per unit at 31 August 2012 (bid)
US$28.4183
Net Asset Value per unit at 31 August 2011 (bid)
US$30.1866
Net Asset Value per unit at 31 August 2010 (bid)
US$27.4928
Net Asset Value per unit at 31 August 2009 (bid)
US$26.9968
Net Asset Value per unit at 31 August 2008 (bid)
US$29.8246
Net Asset Value per unit at 31 August 2007 (bid)
US$26.5698
Net Asset Value per unit at 31 August 2006 (bid)
US$24.0877
Net Asset Value per unit at 31 August 2005 (bid)
US$22.0274
Net Asset Value per unit at 31 August 2004 (bid)
US$19.0638
Net Asset Value per unit at 31 August 2003 (bid)
US$17.5308
Net Asset Value per unit at 31 August 2002 (bid)
US$15.1611
Net Asset Value per unit at 31 August 2001 (bid)
US$14.1605
Net Asset Value per unit at 31 August 2000 (bid)
US$13.7599
Net Asset Value per unit at 31 August 1999 (bid)
US$8.9831
Net Asset Value per unit at 31 August 1998 (bid)
US$6.7503
Net Asset Value per unit at 31 August 1997 (bid)
US$10.1496
Net Asset Value per unit at launch
US$10.0000
54
Summary of Significant Portfolio Changes
for the year ended 31 August 2014 (Unaudited)
Nominal/Shares
Cost
US$
112,223,244
112,223,244
7,985,000
28,495,151
United Mexican States 6% 18/06/2015
311,800,000
24,519,815
United Mexican States 8% 17/12/2015
297,800,000
24,476,292
United Mexican States 5% 16/06/2016
40,260,000
17,219,255
301,670,000
15,014,639
ACQUISITIONS
Ashmore SICAV 2 Global Liquidity US$ Fund
Federal Republic of Brazil ZCPN 01/01/2016
Czech Republic 1.5% 29/10/2019
Federal Republic of Brazil ZCPN 01/01/2017
4,540,000
13,460,599
Federal Republic of Brazil 10% 01/01/2023
2,745,000
10,820,654
Federal Republic of Brazil ZCPN 01/01/2015
Federation of Russia 7.6% 14/04/2021
Republic of South Africa 8.25% 15/09/2017
Federation of Russia 7.4% 14/06/2017
Republic of Romania 6% 30/04/2015
Federal Republic of Brazil 10% 01/01/2025
United Mexican States 8.5% 18/11/2038
Ashmore Brasil Fund Limited
Federal Republic of Brazil 10% 01/01/2021
2,830,000
10,799,667
331,987,000
10,140,021
94,000,000
9,157,188
320,977,000
9,041,936
26,100,000
8,382,138
1,467,000
5,934,582
52,500,000
4,837,790
43,083
4,664,641
999,000
4,156,772
137,032,000
3,498,096
United Mexican States 6.5% 09/06/2022
43,000,000
3,386,053
United Mexican States 7.75% 29/05/2031
35,700,000
Federation of Russia 7% 16/08/2023
2,991,922
Other
20,159,301
Total
343,379,756
Proceeds
US$
Ashmore SICAV 2 Global Liquidity US$ Fund
241,000,000
241,000,000
United Mexican States 8% 19/12/2013
474,000,000
36,153,354
329,989
36,065,172
DISPOSALS
Ashmore Brasil Fund Limited
United Mexican States 8% 17/12/2015
297,800,000
24,357,974
49,050,000
21,457,227
Federal Republic of Brazil Serie B 6% 15/08/2020
1,950,000
19,489,957
Federal Republic of Brazil ZCPN 01/01/2016
5,148,000
18,771,020
Czech Republic 1.5% 29/10/2019
301,670,000
15,028,512
Federation of Russia 7.4% 14/06/2017
494,647,000
13,740,714
United Mexican States 6% 18/06/2015
166,270,000
13,022,998
27,600,000
12,518,426
Republic of Poland 3% 24/08/2016
Republic of Turkey 9% 05/03/2014
Ashmore Greater China Fund Limited – Fixed Income Sub-Fund
100,661
11,000,000
2,830,000
10,706,558
Federation of Russia 7.6% 14/04/2021
331,987,000
9,900,875
Federation of Russia 7.4% 19/04/2017
312,974,000
8,956,843
Federal Republic of Brazil ZCPN 01/01/2015
Romania Treasury Bills ZCPN 08/01/2014
28,080,000
8,683,967
Republic of Romania 5.85% 28/07/2014
26,400,000
8,169,728
1,914,000
6,195,016
Federal Republic of Brazil ZCPN 01/01/2017
Turkiye Garanti Bankasi AS ZCPN 15/11/2013
12,484,000
6,144,154
United Mexican States 5% 16/06/2016
13,290,000
5,739,102
Other
78,606,944
Total
605,708,541
55
Ashmore Local Currency Debt Portfolio
Nominal/Shares
Asset Holder PCC Limited: Annual Report and Accounts
3: Ashmore Local Currency Debt Portfolio
Consolidated Balance Sheet
as at 31 August 2014
Notes
2014
US$
2013
US$
Assets
Investments
348,495,930
690,311,267
Derivative assets
12
6,654,449
15,061,432
Debtors
10
917,544
2,670,673
Cash and bank balances
16
23,775,614
66,933,284
379,843,537
774,976,656
15,592,154
Total assets
Liabilities
Derivative liabilities
12
6,592,173
Creditors
11
1,003,492
1,568,113
7,595,665
17,160,267
372,247,872
757,816,389
US$ 28.3043
US$ 27.7373
Notes
2014
US$
2013
US$
2, 3b)
372,247,872
757,816,389
372,247,872
757,816,389
Total liabilities (excluding net assets attributable to unitholders' funds)
Unitholders' funds
Net Asset Value per unit
Unit Trust Balance Sheet
as at 31 August 2014
Investment in subsidiary
Unitholders' funds
The accounts on pages 56 to 74 were approved by the Board of Directors of the Principal Manager on 19 December 2014 and
are signed on its behalf by:
Director
The notes on pages 59 to 74 form an integral part of these consolidated financial statements.
56
Consolidated Statement of Total Return
for the year ended 31 August 2014
2014
Notes
2013
US$
US$
US$
US$
Income
– Net capital gains/(losses)
7
– Revenue
8
12,993,227
23,368,031
Expenses
9
(9,594,554)
(15,448,959)
3,398,673
7,919,072
(20,932)
(712,691)
Net revenue before taxation
Taxation
6
14,112,204
Net revenue after taxation
3,377,741
Total return before distribution
Dividend distributions
(8,007,164)
5
Change in net assets attributable to unitholders' funds
7,206,381
17,489,945
(800,783)
(6,969,653)
(13,491,209)
10,520,292
(14,291,992)
Statement of Changes in Net Assets Attributable to Unitholders’ Funds
for the year ended 31 August 2014
2014
2013
US$
Opening net assets attributable to unitholders' funds
US$
US$
757,816,389
US$
895,370,429
Amounts receivable on issues
Amounts payable on redemptions
Change in net assets attributable to unitholders' funds
Closing net assets attributable to unitholders' funds
19,025,629
138,150,052
(415,114,438)
(261,412,100)
(396,088,809)
(123,262,048)
10,520,292
(14,291,992)
372,247,872
757,816,389
The notes on pages 59 to 74 form an integral part of these consolidated financial statements.
57
Ashmore Local Currency Debt Portfolio
Movement due to issue and redemption of units:
Asset Holder PCC Limited: Annual Report and Accounts
3: Ashmore Local Currency Debt Portfolio
Consolidated Statement of Cash Flows
for the year ended 31 August 2014
2014
US$
2013
US$
Operating activities
Net bank interest received
Expenses paid
Investment income received
Net cash inflow from operating activities
–
57,378
(10,277,105)
(15,759,172)
10,516,022
20,130,163
238,917
4,428,369
(313,812,439)
(806,354,504)
667,189,031
931,813,458
6,285,283
18,949,591
359,661,875
144,408,545
Financial investments
Purchases of investments
Sales of investments
Net cash flow on derivative instruments and foreign exchange
Net cash inflow from financial investments
Financing activities
Issue of units
Redemption of units
Dividends paid
Net cash outflow from financing activities
(Decrease)/increase in cash and bank balances during the year
13,579,342
127,310,575
(415,114,438)
(261,412,100)
(1,523,366)
(2,651,732)
(403,058,462)
(136,753,257)
(43,157,670)
12,083,657
Reconciliation of net cash flow to movement in cash and bank balances
Cash and bank balances at the beginning of the year
(Decrease)/increase in cash and bank balances
Cash and bank balances at the end of the year
The notes on pages 59 to 74 form an integral part of these consolidated financial statements.
58
66,933,284
54,849,627
(43,157,670)
12,083,657
23,775,614
66,933,284
Notes to the Consolidated Financial Statements
1. Constitution of the Trust
The Ashmore Local Currency Debt Portfolio (“the Portfolio”) is an open-ended Unit Trust established in Guernsey by a trust
instrument dated 7 March 1997 between the Trustee and the Manager, as amended and restated by a trust instrument
dated 29 January 2001 between the Manager and Close Bank Guernsey Limited (“Close Bank”) and as amended by a
supplemental trust deed dated 1 March 2001 between the Manager, Close Bank and the Trustee. The Portfolio has been
authorised as a Class “B” Collective Investment Scheme in accordance with the provisions of the Protection of Investors
(Bailiwick of Guernsey) Law 1987, as set out in the Authorised Collective Investment Scheme (Class B) Rules 2013.
2. Acquisition of subsidiary
In 1997, the Portfolio acquired a cell (“the Cell”), designated Ashmore Local Currency Debt Portfolio Cell, in Asset Holder
PCC Limited (“PCC”), a protected cell company registered on 2 May 1997. PCC, together with the Portfolio, has been
authorised by the Guernsey Financial Services Commission as a Class “B” Collective Investment Scheme. PCC was
established to act as an underlying investment holding company for a number of unit trusts. The Cell issued Participating
Redeemable Preference Shares (“Shares”) (which comprised 100% of the issued voting shares of the cell) to the Portfolio
in exchange for the transfer of its net assets valued at the date of execution of the transfer. It continues to issue a
corresponding number of Shares as investors subscribe for units in the Portfolio.
At 31 August 2014, 13,151,643 (2013: 27,321,160) Shares and a corresponding number of units were in issue.
A protected cell company is one whose assets can be either cellular or non-cellular. The assets attributable to a cell
comprise assets represented by the proceeds of cell share capital, reserves and any other assets attributable to the cell.
The non-cellular assets comprise the assets of the company which are not cellular assets. Where a liability arises from
a transaction in respect of a particular cell, the cellular asset attributable to that cell shall be liable and the liability shall
not be a liability of assets attributable to any other cell or of the non-cellular assets unless the Cell has entered into a
recourse agreement.
Ashmore Local Currency Debt Portfolio
In 2011, the following LLC subsidiaries were established: Ashmore Local Currency Debt Portfolio 1 LLC, a wholly owned
subsidiary of Ashmore Local Currency Debt Portfolio 2 LLC, which in turn is a wholly owned subsidiary of the Cell.
3. Principal accounting policies
The following accounting policies have been applied consistently in dealing with terms which are considered material to
the Portfolio and are consistent with those used in the previous reporting period.
a) Basis of preparation
The consolidated financial statements, which give a true and fair view, are prepared under the historical cost convention,
modified by the revaluation of investments, in accordance with applicable UK accounting standards and the Statement
of Recommended Practice for Authorised Funds (October 2010) issued by the Investment Management Association
(“IMA SORP 2010”) and are in compliance with the Companies (Guernsey) Law 2008.
b) Basis of consolidation
In accordance with Financial Reporting Standard 2, Accounting for Subsidiary Undertakings, and Financial Reporting
Standard 5, Reporting the Substance of Transactions, the accounts of the Portfolio, its subsidiaries and the Cell in
Asset Holder PCC Limited have been consolidated.
c) Revenue
Bond and bank interest, with the exception of non-performing assets, is accounted for on an effective interest rate basis.
For non-performing assets and where the Investment Manager deems it to be more appropriate, income is recognised
on receipt.
Dividend income from quoted equity investments and collective investment schemes is accounted for on an ex-dividend
basis. Dividend income from unquoted equity investments and collective investment schemes is recognised when the
dividend is declared.
59
Asset Holder PCC Limited: Annual Report and Accounts
3: Ashmore Local Currency Debt Portfolio
Notes to the Consolidated Financial Statements continued
3. Principal accounting policies continued
c) Revenue continued
Fee rebates on investments in other collective investment schemes are recognised on an accruals basis in revenue, unless
it is the policy of the underlying fund to charge its fees to capital, in which case, fee rebates should be treated as capital
refunds in the investing fund.
All income is shown gross of any withholding tax. Tax consequences are shown in the tax charge.
d) Expenses
Expenses are accounted for on an accruals basis.
e) Distributions
All, or substantially all, dividends, interest and other income, net of expenses, will be distributed within six months of the
financial year end.
Distributions are payable to unitholders. Proposed distributions to unitholders are recognised in the Consolidated Statement
of Total Return when they are appropriately authorised and no longer at the discretion of the Portfolio.
f) Investments
Investments are accounted for on a trade date basis and are recognised at fair value. The fair value of financial instruments is
determined in accordance with the Portfolio’s valuation policy.
Where possible, investments are valued by reference to the most recent prices quoted on a recognised investment
exchange or as supplied by a market maker in the investments concerned, with a view to giving a fair valuation that can
reasonably be obtained and without prejudice to the following:
•
bonds and loans are valued at the market price multiplied by the face amount plus accrued interest;
•
investments in collective investment schemes, common investment pools and limited partnerships are valued on
the basis of the latest available net asset value per unit or share, which represents the fair value, quoted by the
administrator of the scheme, pool or partnership in question, as at the close of business on the relevant valuation
day (or a net asset value estimate if the scheme, pool or partnership publishes its net asset value less frequently
than the Portfolio);
•
assets issued on a “when and if” basis are valued on the assumption that they will be issued;
•
assets where past due interest is gratis are valued at the market price multiplied by the face amount;
•
assets where the market pays for past due interest are valued at the market price multiplied by the face amount,
plus accrued interest;
•
assets where accrued interest is for the account of the holder are valued at the market price multiplied by the
face amount;
•
assets acquired on deferred purchase terms are valued at market price less the amount of the unpaid purchase
consideration and financing costs;
•
zero coupon certificates of deposit and treasury bills are valued at market price multiplied by the nominal
amount thereof.
In preparing any valuation, the Investment Manager may rely on information provided by any person whom the Investment
Manager considers to be suitably qualified and who is approved by the Directors (an “Approved Person”). Any price or
methodology notified to the Investment Manager by an Approved Person as representing the fair value of any investment
shall be conclusive in the absence of manifest error.
60
Notes to the Consolidated Financial Statements continued
3. Principal accounting policies continued
f) Investments continued
For the above purposes, a “recognised investment exchange” means any stock or investment exchange, institution or
screen based or other electronic quotation or trading system providing dealing facilities or quotations for investments that
has been approved from time to time by the Investment Manager.
Investments in target entities may be effected via Special Purpose Vehicles (“SPV”). The nominal holding of such
investments reflects the Portfolio’s interest in the SPV and not its interest in the target investment. The valuations of such
positions are performed on a look through basis.
Where the Portfolio enters into fully funded total return swap (“TRS”) transactions with a swap counterparty, pursuant to
which the Portfolio makes an initial payment equal to the estimated value of an Emerging Market debt security, loan or other
financial instrument, the TRSs are valued using the same rules as the underlying assets they represent. Fully funded TRSs
are recognised as investments.
As per IMA SORP 2010 requirements, transaction costs related to the acquisition of the investments are capitalised and
form a part of the cost of the investments.
Gains and losses arising from changes in the fair value of the investments are presented in the Consolidated Statement of
Total Return within net capital gains/(losses) in the period in which they arise and can be unrealised or realised.
The unrealised gains and losses comprise changes in the fair value of the investments for the period and the reversal of the
prior period’s unrealised gains and losses for investments which were realised in the reporting period. Realised gains and
losses on disposals of investments are calculated using the FIFO method.
g) Derivatives
The Portfolio may enter into interest rate swaps, which are arrangements between two parties to exchange cash flows
based on a notional principal amount in order to manage the Portfolio’s exposure to interest rates. Interest rate swaps are
marked to market daily and the change in value, if any, is recorded as unrealised gain or loss. Payments made or received
are recorded as part of realised gains and losses.
A forward foreign currency contract involves an obligation to purchase or sell a specific currency at a future date at a price
set at the time the contract is made.
Forward foreign currency contracts are valued by reference to the price at which a new forward contract of the same size
and maturity could be undertaken at the valuation date. The unrealised gain or loss on open forward foreign currency
contracts is calculated as the difference between the contract rate and the forward price. Forward foreign currency contracts
are generally entered into for hedging the Portfolio’s overall currency risk. Unrealised gains or losses on forward foreign
currency contracts are recognised in the Consolidated Statement of Total Return.
Options are valued at the market premium multiplied by the nominal amount. The premium on purchased put options
exercised is subtracted from the proceeds of the sale of the underlying security or foreign currency in determining the
realised gain or loss. The premium on purchased call options exercised is added to the cost of the securities or foreign
currency purchased. Premiums paid on the purchase of options that expire unexercised are treated as realised losses
and are reflected in the Consolidated Statement of Total Return. The premium received from options written is initially
recognised as a financial liability. The maximum gain potential is equal to the initial premium received and will be recognised
if the option expires worthless and no subsequent payment is required. Gains and losses associated with the revaluation of
options are recognised as unrealised appreciation or depreciation on investments.
61
Ashmore Local Currency Debt Portfolio
Derivatives, including forward foreign currency contracts, total return swaps, interest rate swaps, futures and options, are
recognised at fair value on the date on which the derivative contract is entered into and are subsequently remeasured at
their fair value at each valuation point. Fair values are obtained from quoted market prices in active markets, including recent
market transactions, or from market makers.
Asset Holder PCC Limited: Annual Report and Accounts
3: Ashmore Local Currency Debt Portfolio
Notes to the Consolidated Financial Statements continued
3. Principal accounting policies continued
g) Derivatives continued
Futures contracts are contractual obligations to buy or sell financial instruments on a future date at a specified price
established in an organised market. Futures contracts are collateralised by cash or marketable securities and changes in
the futures contracts’ value are settled daily with the exchange. Futures contracts are settled on a net basis. Subsequent
measurement of the fair value of a futures contract is calculated as the net difference between the contract price and the
closing price reported on the primary exchange on which the futures contract is traded. Realised and unrealised gains or
losses are associated with the revaluation of futures, and are recognised in the Consolidated Statement of Total Return.
h) Repurchase agreements
Securities sold under agreements to repurchase are treated as collateralised borrowing transactions. The securities continue
to be carried at market value and the loans are carried at the amount at which the securities were sold under the agreement.
Interest expense recognised under these agreements and interest income on collateral securities are included in the
Consolidated Statement of Total Return.
i) Offsetting assets and liabilities
Assets and liabilities should not be offset unless offsetting is required and legally permitted. Assets and liabilities are offset
and the net amount reported in the Consolidated Balance Sheet if, and only if, there is a currently enforceable legal right
to offset the recognised amounts and there is an intention to settle on a net basis, or to realise the asset and settle the
liability simultaneously.
j) Foreign exchange transactions
Transactions in foreign currency are translated at the rate of exchange ruling at the date of the transaction.
Monetary assets and liabilities denominated in foreign currencies are translated to US dollars at the closing foreign currency
exchange rate ruling at the Consolidated Balance Sheet date. Foreign currency exchange differences arising on translation
and realised gains and losses on the disposal or settlement of monetary assets and liabilities are recognised in the
Consolidated Statement of Total Return. Non-monetary assets and liabilities denominated in foreign currencies that are
measured at fair value are translated to US dollars at the foreign currency exchange rate ruling at the date the values were
determined. Foreign currency exchange differences relating to investments and derivative financial instruments are included
in the Consolidated Statement of Total Return.
4. Material agreements
a) Management fees
The Investment Manager is entitled to receive fees at an annual rate of 1.75% of the Net Asset Value of the Portfolio.
These fees are payable monthly in arrears.
Where the Investment Manager or one of its associates acts as investment manager or adviser in respect of any underlying
funds, the Investment Manager will not double charge for management fees in respect of such underlying funds.
Ashmore Investment Advisors Limited was appointed as Investment Manager on 18 July 2014, replacing Ashmore
Investment Management Limited. The management fee rates remained unchanged.
b) Trustee fees
The fees due to the Trustee are limited to 0.01% per annum of the Portfolio’s Net Asset Value. The Trustee is also entitled
to transaction fees.
c) Depositary fees
The fees due to the Depositary are limited to 0.01% per annum of the Portfolio’s Net Asset Value.
62
Notes to the Consolidated Financial Statements continued
4. Material agreements continued
d) Administration fees
The Administrator is entitled to receive a flat fee of 0.02% per annum of the Portfolio’s Net Asset Value.
Should the aggregate Net Asset Value fall below US$500 million the Administrator reserves the right to review the
fees upwards.
e) Incentive fees
Incentive fees based upon the performance of the Portfolio are payable annually to the Manager in arrears, if a Portfolio
achieves a return over the period in excess of 6% per annum. The incentive fee is 20% of the excess. The fee is calculated
separately for investors who join the Portfolio during any period by comparing the Net Asset Value per share of the Portfolio
at the end of the relevant period with the price paid by the investors for their shares rather than the Net Asset Value per
share at the beginning of each period in order to determine whether the Portfolio has achieved a return for those investors
in excess of 6% per annum.
If a unitholder redeems shares during an accounting period, the Manager will calculate the incentive fee (if any) attributable
to the shares to be redeemed, which shall be deducted from the redemption price and retained by the Manager.
5. Dividend distributions
Distributions in respect of the year ended 31 August 2014 will be distributed within six months of the financial year end.
In respect of the financial statements for the year ended 31 August 2013, the following distributions were paid during this
financial year:
Dividends declared during the year
US$
Net revenue before distribution (US$)
7,206,381
Dividend declared (ex-date 20 December 2013) (US$)
6,969,653
0.269505
Dividend paid in cash (US$)
1,523,366
Dividend reinvested (US$)
5,446,287
In respect of the financial year ended 31 August 2012, the following distributions were paid during the previous
financial year:
Dividends declared during the year
US$
Net revenue before distribution (US$)
13,391,468
Dividend declared (ex-date 21 December 2012) (US$)
13,491,209
Dividend per share (US$)
0.4353
Dividend paid in cash (US$)
2,651,732
Dividend reinvested (US$)
10,839,477
Under Guernsey law, companies can pay dividends in excess of accounting profit provided they satisfy the solvency test
prescribed under the Companies (Guernsey) Law 2008. The solvency test considers whether a company is able to pay its
debts when they become due, and whether the value of a company’s assets is greater than its liabilities. The Portfolio
satisfied the solvency test for the dividend payment for the year ended 31 August 2013.
6. Taxation
The PCC and Portfolio have historically applied for and been granted exemption from Guernsey Income Tax under the
Income Tax (Exempt Bodies) (Guernsey) Ordinance 1989 and, as a result, any surplus income of the PCC and Portfolio may
be distributed without deduction of Guernsey Income Tax. It should be noted however that dividend income arising on the
PCC and Portfolio’s investments will be subject, as appropriate, to any withholding taxes in the country of origin. Pursuant
to the application for exemption under the above monitored ordinance, the PCC is subject to an annual fee, currently £600,
payable to the Guernsey Income Tax Authority. The Directors of the Principal Manager intend to apply for exempt status in
future periods.
63
Ashmore Local Currency Debt Portfolio
Dividend per share (US$)
Asset Holder PCC Limited: Annual Report and Accounts
3: Ashmore Local Currency Debt Portfolio
Notes to the Consolidated Financial Statements continued
6. Taxation continued
The tax charge shown in the Consolidated Statement of Total Return relates to withholding tax on the Portfolio’s
interest income.
7. Net capital gains/(losses)
2014
US$
2013
US$
Investment securities
– Realised gains
19,593,325
17,365,377
– Realised losses
(19,680,986)
(26,889,360)
– Unrealised gains
17,431,884
3,328,104
– Unrealised losses
(10,171,643)
(17,631,698)
Derivatives
Forward foreign currency contracts
Other gains/(losses)
Transaction costs
(368,466)
(32,180)
6,455,124
16,141,500
860,733
324,648
(7,767)
(613,555)
14,112,204
(8,007,164)
8. Revenue
2014
US$
2013
US$
Interest on debt securities
8,065,176
20,998,260
Dividends
4,887,885
2,230,057
Bank interest
40,166
57,378
Other income
–
82,336
12,993,227
23,368,031
2014
US$
2013
US$
8,999,227
13,838,158
9. Expenses
Payable to the Investment Manager
Management fees
Incentive fees
30,119
416,166
9,029,346
14,254,324
Other expenses
Custody fees and charges
93,901
379,893
119,995
214,191
Directors' fees and expenses
16,023
16,499
Audit fees
53,654
19,973
Administration fees
Legal and professional fees
Bank interest paid
Other expenses
Total expenses
Total expense ratio
64
105,976
50,859
–
77,904
175,659
435,316
565,208
1,194,635
9,594,554
15,448,959
1.50%
1.77%
Notes to the Consolidated Financial Statements continued
10. Debtors
2014
US$
Prepayments
Accrued income
Sundry debtors
2013
US$
10,132
7,727
907,412
2,653,186
–
9,760
917,544
2,670,673
2014
US$
2013
US$
11. Creditors
Accrued fees due to Investment Manager
475,142
980,325
Accrued fees due to Custodian
13,218
116,825
Accrued fees due to Administrator
13,350
25,764
Incentive fees payable
Other accrued expenses
276
–
501,506
445,199
1,003,492
1,568,113
Derivatives
assets
2013
US$
Derivatives
liabilities
2013
US$
12. Derivatives assets and liabilities
Derivatives
assets
2014
US$
Options
Forward foreign currency contracts
Futures
Derivatives
liabilities
2014
US$
–
–
221,250
(3,222)
6,654,449
(6,592,173)
14,404,872
(15,588,932)
–
–
435,310
–
6,654,449
(6,592,173)
15,061,432
(15,592,154)
13. Related parties
2014
US$
2013
US$
8,999,227
13,838,158
475,142
980,325
30,119
416,166
Ashmore Investment Advisors Limited
– management fees charged for the year
– management fees payable at 31 August
– incentive fees charged for the year
– incentive fees payable at 31 August
276
–
– Directors' fees charged for the year
16,023
16,499
– Directors' fees payable at 31 August
1,040
405
– sales
81,558,794
59,580,368
– purchases
34,449,660
56,362,345
4,664,641
1,819,316
4,664,641
1,792,014
241,000,000
376,100,000
62,223,244
366,410,741
223,244
410,741
223,244
410,741
Related funds
– dividend income
– of which was reinvested
Ashmore SICAV 2 Global Liquidity US$ Fund
– sales
– purchases
– dividend income
– of which was reinvested
Related funds are other funds managed by the Investment Manager or its associates. As at the Consolidated Balance Sheet
date, there were no amounts outstanding with related funds.
65
Ashmore Local Currency Debt Portfolio
As of and for the year ended 31 August 2014, the Portfolio had the following related party transactions and balances:
Asset Holder PCC Limited: Annual Report and Accounts
3: Ashmore Local Currency Debt Portfolio
Notes to the Consolidated Financial Statements continued
13. Related parties continued
The Portfolio held the following shares in Ashmore related funds:
Ashmore Brasil Fund Limited
Ashmore Greater China Fund Limited – Fixed Income Sub-fund
Ashmore SICAV 2 Global Liquidity US$ Fund
2014
2013
–
329,989
265,771
366,433
234,607,459
413,384,214
The Directors of the Principal Manager are not aware of any ultimate controlling party as defined by Financial Reporting
Standard 8, Related Party Disclosures.
Purchases and sales of the Ashmore SICAV 2 Global Liquidity Fund are solely related to cash management of US$ on
account. Funds are swept into the S&P AAAm rated Liquidity Fund and returned as and when required for asset purchases.
The Liquidity Fund is managed under the dual objectives of preservation of capital and provision of daily liquidity, investing
exclusively in very highly rated short-term liquid money market securities.
14. Risk management
The investment objective of the Portfolio is to enable investors to have access to the returns available from local currency
Emerging Market debt instruments (mostly sovereign or guaranteed debt obligations).
Investments may include sovereign and private sector obligations, senior and subordinated debt including convertible bonds
and bonds that may be in default but which have the potential to participate in equity restructurings. In addition, the Portfolio
may opportunistically take short and long positions in securities instruments and currencies and may invest in equities or
discounted equity funds.
In pursuing its investment objective the Portfolio enters into investment transactions in financial instruments, principally the
investment portfolio, the holding of which gives exposure to a variety of financial risks, which include market risk (including
price risk, interest rate risk and currency risk), liquidity risk (including leverage risk) and credit risk.
All investment strategies are approved by the Investment Manager’s Investment Committee, which meets weekly, and are
minuted. Decisions are restricted by the policies contained in the Investment Manager’s Operational Procedures Manual
and the investment restrictions pertaining to the Portfolio.
The Investment Committee reviews risk exposure on a weekly basis and the portfolio as a whole is monitored with
regards to:
•
Interest rate sensitivity
•
Currency sensitivity
•
Liquidity
•
Volatility
•
Duration
With regard to the portfolio construction process, risk is monitored as an integral part of the investment decision process,
and this provides strong risk control on an ongoing basis.
66
•
Global: Analyse macro issues including global interest rates, liquidity and major events to determine portfolio duration,
interest rate sensitivity and cash levels.
•
Fundamental: Analyse country macro-economic and financial fundamentals.
•
Political: Analyse country and international politics and policy dynamics as large changes result from political events
and the understanding of incentive structures.
•
Asset/Credit: Identify fundamental value across countries globally and their respective assets.
Notes to the Consolidated Financial Statements continued
14. Risk management continued
•
Technical/Market: Analyse asset and market technicals, timing and dynamics.
•
Portfolio Construction: Select assets using the Ashmore Portfolio Framework and adjust the portfolio to achieve:
–
Diversification and correlation objectives including those in relation to benchmarks;
–
Desired duration, principally through altering relative asset category proportions;
–
Desired interest rate sensitivity (through the split between fixed and floating instruments);
–
Desired cash level;
–
Portfolio liquidity;
–
Conformity with limits agreed for currency risk, portfolio volatility and pre-specified portfolio investment restrictions.
The Investment Manager has established, and periodically reviews, all counterparty limits.
Investment restrictions are as follows:
Not more than 30% of the Net Asset Value of the Portfolio will be invested in investments denominated in any single
currency other than US dollars (unless, over such amount, such investments are hedged into US dollars);
•
Not more than 20% of the Net Asset Value of the Portfolio will consist of equity securities or similar instruments such
as privatisation vouchers;
•
Not more than 20% of the Net Asset Value of the Portfolio will be invested in securities of any one issue. For this
purpose, securities are regarded as being of different issues even though issued by the same issuer if issued on
different terms, whether as to interest rates or repayment dates or otherwise, provided that in the case of synthetic
products the maximum limit shall be increased to 35%;
•
Not more than 20% of the Net Asset Value of the Portfolio will consist of interests in other collective investment
schemes, including collective investment schemes managed by the Investment Manager or by an Ashmore Associate;
•
The Portfolio shall not hold more than 10% of any class of security issued by any single issuer, provided that this
restriction shall not apply to synthetic products.
Market risk
The majority of the Portfolio’s financial instruments are recognised at fair value, and changes in market conditions directly
affect income.
i) Price risk
The main risk arising from the Portfolio’s financial instruments is price risk. All derivatives, trading securities and investments
are recognised at fair value, and all changes in market conditions directly affect net income. Price risk primarily arises from
uncertainty about future prices of the financial instruments held. The Investment Manager, acting within guidelines set by
the Manager and the investment restrictions, regularly assesses the appropriate allocation of assets in order to minimise
the overall risks while continuing to follow the investment objectives. These restrictions are intended to ensure that the
Portfolio’s investments are appropriately diversified. Details of the Portfolio’s investment portfolio as at the Consolidated
Balance Sheet date are disclosed in the Schedule of Investments.
ii) Interest rate risk
A substantial portion of the Portfolio’s financial assets and liabilities are interest bearing and, as a result, a key risk is
fluctuations in the prevailing levels of market interest rates. This risk is managed through duration management and issue
selection (mix between fixed and floating instruments and duration). The Portfolio may also from time to time enter into
transactions in derivative instruments and take short positions with a view to hedging the Portfolio’s interest rate exposure.
67
Ashmore Local Currency Debt Portfolio
•
Asset Holder PCC Limited: Annual Report and Accounts
3: Ashmore Local Currency Debt Portfolio
Notes to the Consolidated Financial Statements continued
14. Risk management continued
Market risk continued
ii) Interest rate risk continued
As at 31 August 2014, if market interest rates had been 10 basis points higher/lower with all other variables held constant,
the increase/decrease in net assets attributable to unitholders’ funds would have been US$49,087 (2013: US$199,657).
Interest rate risk profile of financial assets and liabilities
The interest rate profile of the Portfolio’s cash and investment assets and liabilities was:
2014
Total
US$
2014
Floating
US$
2014
Fixed
US$
2014
Non-interest
US$
287,494,089
92,349,448
–
–
287,494,089
–
49,086,567
43,262,881
379,843,537
–
49,086,567
330,756,970
2014
US$
2014
US$
2014
US$
2014
US$
Assets
US dollar
Other
Liabilities
US dollar
Other
668,810
–
–
668,810
6,926,855
–
–
6,926,855
7,595,665
–
–
7,595,665
2013
Total
US$
2013
Floating
US$
2013
Fixed
US$
2013
Non-interest
US$
556,895,645
Assets
US dollar
556,895,645
–
–
Other
218,081,011
28,174,818
171,482,482
18,423,711
774,976,656
28,174,818
171,482,482
575,319,356
US$
US$
US$
US$
Liabilities
US dollar
Other
1,349,396
–
–
1,349,396
15,810,871
–
–
15,810,871
17,160,267
–
–
17,160,267
iii) Currency risk
The Portfolio’s principal exposure to currency risk arises from investments denominated in currencies other than
US dollars. The value of such investments may be affected favourably or unfavourably by fluctuations in exchange rates,
notwithstanding any efforts made to hedge such fluctuations. A significant portion of the Portfolio’s investments as at
the Consolidated Balance Sheet date (24.26%, 2013: 28.92%) were denominated in currencies other than US dollars.
The Portfolio may deal in derivative instruments and other synthetic products where investing in such vehicles would be
more efficient, is required for legal, tax or regulatory reasons or would otherwise be to the advantage of the Shareholders.
If, in the view of the Investment Manager, it is more efficient or cost effective, the Investment Manager may take exposure
to underlying local currency Emerging Market debt or other Investments through synthetic products offered by third parties.
Selling investments short, including through the use of derivative instruments, is permitted for hedging purposes.
As at 31 August 2014, had the US dollar strengthened/weakened by 10 basis points in relation to all other currencies of the
Portfolio’s financial assets and liabilities, with all other variables held constant, net assets attributable to unitholders’ funds
would have decreased/increased by US$85,423 (2013: US$585,603).
68
Notes to the Consolidated Financial Statements continued
14. Risk management continued
Market risk continued
iii) Currency risk continued
The Portfolio’s net currency exposure was as follows:
Net
assets/(liabilities)
2014
US$
Investments
2014
US$
Forward foreign
currency
contracts
2014
US$
Total net
currency
exposure
2014
US$
Brazilian real
(331,146)
35,446,900
41,284
35,157,038
Chilean peso
–
–
(211,528)
(211,528)
Chinese renminbi
–
–
892,551
892,551
384,619
6,644,447
(166,600)
6,862,466
208,139
Colombian peso
Czech Republic koruna
Hungarian forint
Israeli shekel
Malaysian ringgit
Mexican peso
New Taiwan dollar
–
–
208,139
1,450
–
45,468
46,918
–
–
(235,367)
(235,367)
–
–
466,333
466,333
264,706
25,900,734
(242,342)
25,923,098
–
–
57,069
57,069
218
–
(523,896)
(523,678)
Romanian leu
125,847
5,380,711
(36,043)
5,470,515
Russian ruble
(100,808)
–
(809,554)
(910,362)
South African rand
217,794
5,965,157
15,783
6,198,734
South Korean won
–
–
275,615
275,615
Thai baht
–
–
373,707
373,707
Turkish lira
–
–
(82,740)
(82,740)
65,910
5,195,518
–
5,261,428
Polish zloty
Uruguayan peso
198,257
–
(5,604)
192,653
826,847
84,533,467
62,275
85,422,589
Investments
2013
US$
Forward foreign
currency
contracts
2013
US$
Total net
currency
exposure
2013
US$
21,305,121
Net assets
2013
US$
Argentine peso
–
–
21,305,121
Brazilian real
5,123
21,896,824
(24,797,113)
(2,895,166)
Chilean peso
–
–
12,689,706
12,689,706
415,752
5,552,178
2,111,838
8,079,768
–
–
25,154,350
25,154,350
16,534,844
Colombian peso
Czech Republic koruna
Hungarian forint
1,518
–
16,533,326
Korean won
435,316
28,536,815
(28,971,019)
1,112
Indian rupee
421,464
5,099,536
49,147,702
54,668,702
Indonesian rupiah
–
–
26,674,271
26,674,271
Israeli shekel
–
–
10,860,024
10,860,024
Malaysian ringgit
–
–
32,566,587
32,566,587
Mexican peso
560,116
35,911,287
45,394,896
81,866,299
Nigerian naira
121,687
6,888,421
–
7,010,108
59,761
2,720,605
6,094,263
8,874,629
8,253
20,142,527
18,877,292
39,028,072
Romanian leu
186,032
20,622,530
(10,264,278)
10,544,284
Russian ruble
312,676
14,854,170
29,320,847
44,487,693
Singapore dollar
–
–
53,257,857
53,257,857
South African rand
–
–
16,367,758
16,367,758
Philippine peso
Polish zloty
69
Ashmore Local Currency Debt Portfolio
Other
Asset Holder PCC Limited: Annual Report and Accounts
3: Ashmore Local Currency Debt Portfolio
Notes to the Consolidated Financial Statements continued
14. Risk management continued
Market risk continued
iii) Currency risk continued
Net assets
2013
US$
Thai baht
Turkish lira
Uruguayan peso
Other
Investments
2013
US$
Forward foreign
currency
contracts
2013
US$
Total net
currency
exposure
2013
US$
26,528,621
–
–
26,528,621
592,789
19,549,645
(13,947,068)
6,195,366
86,597
10,183,778
–
10,270,375
589,816
7,698,984
67,244,218
75,533,018
3,796,900
199,657,300
382,149,199
585,603,399
Liquidity risk
Liquidity risk is the risk that the Portfolio may not be able to generate sufficient cash resources to settle its obligations in full
as they fall due or can only do so on terms that are materially disadvantageous.
The Portfolio’s financial instruments include investments which may be relatively illiquid, making it difficult to dispose of
them at their fair value. Accordingly, this may impair the ability of the Portfolio to respond to market movements and
the Portfolio may experience adverse price movements upon the liquidation of such investments. The settlement of
transactions may be subject to delay and uncertainty and may involve higher selling expenses than the sale of securities
eligible for trading on national securities exchanges or in over-the-counter markets. The Portfolio may not be able readily
to dispose of such illiquid investments and, in some cases, may be contractually prohibited from disposing of such
investments for a specified period of time, which could have a material adverse effect on the Portfolio’s performance and
returns to Shareholders. Such restricted securities may sell at a price lower than similar securities that are not subject to
restrictions on resale.
i) Leverage risk
The PCC may borrow for the account of the Portfolio on a secured and unsecured basis and pursuant to repurchase
arrangements and deferred purchase arrangements. The amount of all such borrowings that remain outstanding from time
to time (net of any cash balances held by the Portfolio or collateral balances transferred by the Portfolio) shall not exceed an
amount equal to 75% of the Net Asset Value of the Portfolio.
The Investment Manager may also arrange for temporary borrowings to provide liquidity in connection with redemption
payments provided that the amount borrowed in this respect does not at any time exceed 10% of the Net Asset Value of
the Portfolio.
Maturity of financial assets and liabilities
The maturity of the Portfolio’s financial assets and liabilities was as follows:
2014
Assets
US$
2014
Liabilities
US$
2013
Assets
US$
2013
Liabilities
US$
In one year or less
44,928,729
7,595,665
93,634,191
13,332,244
In more than one year but less than two years
26,337,794
–
3,012,103
2,259,910
In more than two years but less than five years
18,914,360
–
54,594,904
–
In more than five years
25,700,192
–
63,477,534
–
263,962,462
–
560,257,924
1,568,113
379,843,537
7,595,665
774,976,656
17,160,267
No maturity date
70
Notes to the Consolidated Financial Statements continued
14. Risk management continued
Credit risk
The Portfolio’s financial instruments includes securities and other obligations of companies that are experiencing
significant financial or business distress, including companies involved in bankruptcy or other reorganisation and liquidation
proceedings. Although such purchases may result in significant returns, they involve a substantial degree of risk and may not
show any return for a considerable period of time. In fact, many of these instruments may ordinarily remain unpaid unless
and until the company reorganises and/or emerges from bankruptcy proceedings, and as a result may have to be held for an
extended period of time. The level of analytical sophistication, both financial and legal, necessary for successful investment
in companies or sovereign issuers experiencing significant business and financial distress is unusually high. There is no
assurance that the fund managers will correctly evaluate the nature and magnitude of the various factors that could affect
the prospects for a successful reorganisation or similar action. The completion of debt and/or equity exchange offers,
restructurings, reorganisations, mergers, takeover offers and other transactions can be prevented or delayed, or the terms
changed, by a variety of factors. If a proposed transaction appears likely not to be completed or in fact is not completed or
is delayed, the market price of the investments purchased by the Portfolio may decline sharply and result in losses, which
could have a material adverse effect on the performance of the Portfolio and returns to Shareholders.
Moreover, the administrative costs in connection with a bankruptcy or restructuring proceeding are frequently high and will
be paid out of the debtor’s assets prior to any return to creditors (other than out of assets or proceeds thereof, which may
be subject to valid and enforceable liens and other security interests) and equity holders. In addition, certain claims that have
priority by law over the claims of certain creditors (for example, claims for taxes) may reduce any entitlement of the Portfolio.
In any reorganisation or liquidation proceeding relating to a company or sovereign issuance in which the Portfolio invests,
the Portfolio may lose its entire investment or may be required to accept cash or securities with a value less than its original
investment. Under such circumstances, the returns generated from such investments may not compensate investors
adequately for the risks assumed, which could have a material adverse effect on the performance of the Portfolio and
returns to Shareholders.
The economic and political conditions in Emerging Markets differ from those in developed markets, and offer less social,
political and economic stability. The absence in many cases, until relatively recently, of any move towards capital markets
structures or to a free market economy means investing in Emerging Markets is more risky than investing in developed
markets. These risks are likely to exist to a greater or lesser degree in most of the markets in which the Portfolio may invest.
Fair values of financial assets and liabilities
In accordance with the Portfolio’s accounting policies, investments and derivatives are carried at fair value. The carrying
amounts of debtors and creditors are assumed to approximate their fair values due to the short duration to maturity.
At the reporting date, the Portfolio’s financial assets exposed to credit risk amounted to the following:
2014
US$
2013
US$
Investments in debt securities
84,533,468
199,657,300
Collective investment schemes
263,962,462
490,653,967
6,654,449
15,061,432
Derivative assets
Cash and bank balances
23,775,614
66,933,284
378,925,993
772,305,983
71
Ashmore Local Currency Debt Portfolio
Additionally, it is frequently difficult to obtain accurate information as to the condition of such entities. Such investments
also may be adversely affected by laws relating to, among other things, fraudulent transfers and other voidable transfers
or payments, lender liability and the bankruptcy court’s power to disallow, reduce, subordinate or disenfranchise particular
claims. The market prices of such securities are also subject to abrupt and erratic market movements and above-average
price volatility, and the spread between the bid and offer prices of such securities may be greater than those prevailing in
other securities markets. It may take a number of years for the market price of such securities to reflect their intrinsic value.
Securities issued by distressed companies or sovereign issuers may have a limited trading market, resulting in limited
liquidity. As a result, the Portfolio may have difficulties in valuing or liquidating positions, which could have a material adverse
effect on the Portfolio’s performance and returns to Shareholders.
Asset Holder PCC Limited: Annual Report and Accounts
3: Ashmore Local Currency Debt Portfolio
Notes to the Consolidated Financial Statements continued
14. Risk management continued
Credit risk continued
At the reporting date, the Portfolio held investments with the following credit quality*:
Investment grade
Below investment grade
Non rated
2014
Fair Value
US$
2013
Fair Value
US$
78,787,643
129,244,568
–
8,595,749
269,708,287
552,470,950
348,495,930
690,311,267
* Credit quality based on credit ratings from Standard & Poor’s and Moody’s.
At the reporting date, the Portfolio held no investments which were past due/in default.
15. Fair value measurement
The fair value hierarchy has the following levels:
•
Quoted prices (unadjusted) in active markets for identical assets or liabilities (level 1).
•
Inputs other than quoted prices included within level 1 that are observable for the asset or liability, either directly (that is,
as prices) or indirectly (that is, derived from prices) (level 2).
•
Inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs) (level 3).
The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determined
on the basis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose,
the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement
uses observable inputs that require significant adjustment based on unobservable inputs, that measurement is a level 3
measurement. Assessing the significance of a particular input to the fair value measurement in its entirety requires
judgement, considering factors specific to the asset or liability.
The determination of what constitutes “observable” requires significant judgement by the Portfolio. The Portfolio considers
observable data to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not
proprietary, and provided by independent sources that are actively involved in the relevant market.
The following table analyses within the fair value hierarchy the Portfolio’s financial assets and liabilities measured at fair value
at 31 August 2014 (in US$).
Investments
Derivative instruments
Total
Level 1
Level 2
Level 3
Total
234,607,459
113,888,471
–
348,495,930
–
62,276
–
62,276
234,607,459
113,950,747
–
348,558,206
The following table analyses within the fair value hierarchy the Portfolio’s financial assets and liabilities measured at fair value
at 31 August 2013 (in US$).
Investments
Derivative instruments
Total
Level 1
Level 2
Level 3
Total
38,866,194
635,510,562
15,934,511
690,311,267
–
(530,722)
–
(530,722)
38,866,194
634,979,840
15,934,511
689,780,545
Investments, whose values are based on quoted market prices in active markets, and therefore classified within level 1,
include active listed equities, exchange traded derivatives, US government treasury bills and certain non-US sovereign
obligations. The Portfolio does not adjust the quoted price for these instruments.
72
Notes to the Consolidated Financial Statements continued
15. Fair value measurement continued
Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market
prices, dealer quotations or alternative pricing sources supported by observable inputs are classified within level 2. These
include investment-grade corporate bonds and certain non-US sovereign obligations, listed equities (but not on active
markets) and over-the-counter derivatives. As level 2 investments include positions that are not traded in active markets
and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which
are generally based on available market information.
One financial asset held by the Portfolio was transferred from level 2 to level 1 during the year.
Investments classified within level 3 have significant unobservable inputs, as they trade infrequently. Level 3 instruments
include private equity and corporate debt securities. As observable prices are not available for these securities, the Portfolio
has used valuation techniques to derive their fair value.
The Pricing Methodology and Valuation Committee (PMVC) of the Investment Manager, which has been authorised as an
Approved Person to provide valuations to the Administrator, operates and meets to consider the methods for pricing hardto-value investments where a reliable pricing source is not available, if an asset does not trade regularly, or in the case of a
significant event (such as a major event and market volatility outside local market hours). These assets, which are classified
within level 3, include all asset types but are frequently “special situations” style investments, typically incorporating
distressed, illiquid or private equity assets.
For these hard-to-value investments, the methodology and models used to determine fair value are created in accordance
with the International Private Equity and Venture Capital Valuation (IPEV) guidelines. For significant investments, the PMVC
engages experienced personnel at an independent third-party valuation specialist to create these models. The valuation is
then subject to review, amendment if necessary, then approval, firstly by the PMVC, and then by the Board of Directors of
the Manager.
The main inputs used in estimating the value of level 3 investments include the original transaction price, recent transactions
in the same or similar instruments, completed or pending third-party transactions in the underlying investment or
comparable issuers, subsequent rounds of financing, recapitalisations and other transactions across the capital structure,
offerings in the equity or debt capital markets, and changes in financial ratios or cash flows. Level 3 investments may also be
adjusted to reflect illiquidity and/or non-transferability.
The Portfolio believes that its estimates of fair value are appropriate, however the use of different methodologies or
assumptions could lead to different measurements of fair value. For fair value equity investments in Level 3, changing one
or more of the assumptions used to alternative assumptions would result in an increase/(decrease) in net assets attributable
to equity holders. Due to the numerous different factors affecting the assets the impact cannot be reliably quantified. It is
reasonably possible, on the basis of existing knowledge, that outcomes within the next financial year that are different from
the assumptions used could require a material adjustment to the carrying amounts of affected assets.
The following table includes a roll forward of the amounts for the year ended 31 August 2014 for financial instruments
classified within level 3. The classification of a financial instrument within level 3 is based upon the significance of the
unobservable inputs to the overall fair value measurement.
2014
US$
2013
US$
Opening balance
15,934,511
9,425,984
Transfers (out)/into level 3
(1,393,557)
(930,339)
–
13,679,257
(14,864,294)
(5,509,401)
Purchases
(Sales)
73
Ashmore Local Currency Debt Portfolio
Valuation techniques used include the market approach, the income approach or the cost approach for which sufficient
and reliable data is available. Within level 3, the use of the market approach generally consists of using comparable market
transactions, while the use of the income approach generally consists of the net present value of estimated future cash
flows, adjusted as deemed appropriate for liquidity, credit, market and/or other risk factors.
Asset Holder PCC Limited: Annual Report and Accounts
3: Ashmore Local Currency Debt Portfolio
Notes to the Consolidated Financial Statements continued
15. Fair value measurement continued
2014
US$
2013
US$
Gains/(losses):
Realised
(270,691)
Unrealised
(2,368,854)
594,031
1,637,864
Closing balance
–
15,934,511
Total net unrealised gains/(losses) attributable to level 3 instruments held
–
358,618
2014
US$
2013
US$
16. Cash and bank balances
Current accounts
Cash collateral for derivatives
5,701,205
24,794,982
18,074,409
42,138,302
23,775,614
66,933,284
Cash collateral with counterparty financial institutions is held for the Portfolio’s trading activities, particularly for nondeliverable forward contracts. These deposits may be called back by the Portfolio after settling unrealised profit or loss
on derivative contracts less transaction costs (see note 12).
17. Reconciliation between cash flow from operating activities and total return before distribution
2014
US$
Total return for the year before distributions
Net capital (gains)/losses
2013
US$
17,489,945
(800,783)
(14,112,204)
8,007,164
Amortisation of premium and discount
685,838
(1,330,480)
Reinvested income from investments
(4,887,885)
(2,202,755)
Decrease in accrued expenses
Decrease in accrued income
Net cash inflow from operating activities
(682,551)
(310,213)
1,745,774
1,065,436
238,917
4,428,369
18. The Alternative Investment Fund Managers Directive (“AIFMD”)
Ashmore Investment Advisors Limited (“AIAL”) was authorised as an Alternative Investment Fund Manager (“AIFM”)
by the Financial Conduct Authority (“FCA”) on 18 July 2014. The Board has appointed AIAL as the Portfolio’s AIFM and
Ashmore Investment Management Limited has agreed to novate its rights and obligations under the 5 November 2007
Investment Management Agreement (“IMA”) to AIAL. The IMA has been amended: to reflect these changes; to comply
with regulatory obligations; and to provide an appropriate balance between the Board’s independence from the AIFM, its
control over the Portfolio and the Portfolio’s investment policies.
The Portfolio has appointed Northern Trust (Guernsey) Limited (“NTGL”) as its Depositary, an appointment required
by the AIFMD. Under the terms of the new Administration Agreement dated 29 May 2014, in return for performing its
duties as depositary, NTGL is remunerated with a fee based on 0.01% of the Portfolio’s Total Net Assets.
Leverage
In accordance with the AIFMD, the level of leverage for the year ended 31 August 2014 is disclosed below:
Percentage leverage under commitment method:
113.03%
Percentage leverage under gross method:
213.50%
19. Subsequent events
The Board of Directors has evaluated subsequent events for the Portfolio, and has concluded that there are no subsequent
events that require disclosure in or adjustments of the financial statements.
74
Report of the Trustee to Unitholders of Ashmore Local Currency Debt Portfolio
Opinion
In our opinion Ashmore Management Company
Limited has managed Ashmore Local Currency
Debt Portfolio during the year ended 31 August
2014 in accordance with the provisions of the
principal documents and the rules made under
the Protection of Investors (Bailiwick of Guernsey)
Law, 1987 as set out in the Authorised Collective
Investment Scheme (Class B) Rules 2013.
Northern Trust (Guernsey) Limited
as Trustee of Ashmore Local Currency
Debt Portfolio
Trafalgar Court
Les Banques
St Peter Port
Guernsey
GY1 3DA
Channel Islands
19 December 2014
Ashmore Local Currency Debt Portfolio
75
Asset Holder PCC Limited: Annual Report and Accounts
3: Ashmore Local Currency Debt Portfolio
Independent Auditor’s Report to Unitholders of Ashmore Local Currency
Debt Portfolio
We have audited the consolidated financial statements of
Ashmore Local Currency Debt Portfolio (the “Trust”) for the
year ended 31 August 2014 which comprise the Consolidated
Balance Sheet, Unit Trust Balance Sheet, the Consolidated
Statement of Total Return, the Statement of Changes in Net
Assets Attributable to Unitholders’ Funds, the Consolidated
Statement of Cash Flows and the related notes. The financial
reporting framework that has been applied in their preparation
is applicable law and United Kingdom Accounting Standards.
This report is made solely to the Trust’s unitholders in
accordance with our Terms of Engagement as detailed in our
letter of 29 November 2013 and rule 4.02(3) of the Authorised
Collective Investment Schemes (Class B) Rules 1990. Our
audit work has been undertaken so that we might state to the
Trust’s unitholders 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 Trust and the Trust’s
unitholders as a body, for our audit work, for this report, or for
the opinions we have formed.
Respective responsibilities of Manager and auditor
The Manager is responsible for preparing the Manager’s
Report and, as described below, the financial statements
in accordance with applicable Guernsey law and UK
Accounting Standards.
The Manager is responsible for preparing financial statements
for each financial period which give a true and fair view of
the state of affairs of the Unit Trust and of the profit or loss
of the Unit Trust for that period and are in accordance with
applicable laws.
applicable law and International Standards on Auditing (UK
and Ireland). Those standards require us to comply with
the Auditing Practices Board's (APB's) Ethical Standards
for Auditors.
Scope of the audit of the financial statements
An audit involves obtaining evidence about the amounts and
disclosures in the financial statements sufficient to give
reasonable assurance that the financial statements are free
from material misstatement, whether caused by fraud or error.
This includes an assessment of: whether the accounting
policies are appropriate to the Trust’s circumstances and
have been consistently applied and adequately disclosed; the
reasonableness of significant accounting estimates made by
the Manager; and the overall presentation of the financial
statements. In addition, we read all the financial and nonfinancial information in the Annual Report to identify material
inconsistencies with the audited financial statements. If we
become aware of any apparent material misstatements or
inconsistencies we consider the implications for our report.
Opinion on financial statements
In our opinion the consolidated financial statements:
•
give a true and fair view of the state of the Trust’s affairs
as at 31 August 2014 and of its result for the year
then ended;
•
are in accordance with United Kingdom Accounting
Standards;
•
have been properly prepared in accordance with the trust
deed; and
•
have been properly prepared in accordance with the
Authorised Collective Investment Schemes (Class B)
Rules 1990 and the principal documents.
In preparing the financial statements the Manager is
required to:
•
select suitable accounting policies and then apply them
consistently;
Matters on which we are required to report
by exception
•
make judgements and estimates that are reasonable
and prudent;
We have nothing to report in respect of the following matters
where the Authorised Collective Investment Schemes (Class
B) Rules 1990 require us to report to you if, in our opinion:
•
prepare the financial statements on the going concern
basis unless it is inappropriate to presume that the Unit
Trust will continue in business; and
•
the Manager has not kept proper accounting records; or
•
state whether applicable accounting standards have been
followed subject to any material departures disclosed and
explained in the financial statements.
the financial statements are not in agreement with the
accounting records; or
•
we have not received all the information and explanations,
which to the best of our knowledge and belief are
necessary for the purpose of our audit.
•
The Manager is responsible for keeping proper accounting
records, which disclose with reasonable accuracy at any time
the financial position of the Unit Trust. It is also responsible
for safeguarding the assets of the Unit Trust and hence taking
reasonable steps for the prevention and detection of fraud and
other irregularities. Our responsibility is to audit and express
an opinion on the financial statements in accordance with
76
KPMG Channel Islands Limited
Chartered Accountants
19 December 2014
Ashmore Russian
Debt Portfolio
Investment Manager’s Report
History of Quoted Net Asset Values
Summary of Significant Portfolio Changes
(Unaudited)
Consolidated Balance Sheet
Unit Trust Balance Sheet
Consolidated Statement of Total Return
Statement of Changes in Net Assets
Attributable to Unitholders’ Funds
Consolidated Statement of Cash Flows
Notes to the Consolidated Financial Statements
Report of the Trustee
Independent Auditor’s Report
78
79
80
81
81
82
82
83
84
99
100
77
Asset Holder PCC Limited: Annual Report and Accounts
4: Ashmore Russian Debt Portfolio
Investment Manager’s Report
The investment objective of the Portfolio was to
take advantage of the investment opportunities
available in Russian corporates and the corporates
of other Eastern European countries, including in
debt or equity investments. The final NAV was
struck on 29 November 2013 following a vote
by investors in favour of an orderly wind up of
the Portfolio.
Ashmore Investment Advisors Limited*
October 2014
* Ashmore Investment Advisors Limited became the Portfolio’s Investment Manager with effect from 18 July 2014 (date of authorisation),
previously the Investment Manager was Ashmore Investment Management Limited.
78
History of Quoted Net Asset Values
Number of units outstanding at 31 August 2014
–
Net Asset Value per unit at 31 August 2014 (bid)
–
Net Asset Value per unit at 31 August 2013 (bid)
US$71.4578
Net Asset Value per unit at 31 August 2012 (bid)
US$72.4694
Net Asset Value per unit at 31 August 2011 (bid)
US$79.5989
Net Asset Value per unit at 31 August 2010 (bid)
US$81.2093
Net Asset Value per unit at 31 August 2009 (bid)
US$62.6931
Net Asset Value per unit at 31 August 2008 (bid)
US$52.8460
Net Asset Value per unit at 31 August 2007 (bid)
US$54.9882
Net Asset Value per unit at 31 August 2006 (bid)
US$57.4824
Net Asset Value per unit at 31 August 2005 (bid)
US$58.6948
Net Asset Value per unit at 31 August 2004 (bid)
US$48.4868
Net Asset Value per unit at 31 August 2003 (bid)
US$45.2308
Net Asset Value per unit at 31 August 2002 (bid)
US$33.9347
Net Asset Value per unit at 31 August 2001 (bid)
US$22.4533
Net Asset Value per unit at 31 August 2000 (bid)
US$18.1499
Net Asset Value per unit at 31 August 1999 (bid)
US$6.2138
Net Asset Value per unit at 31 August 1998 (bid)
US$2.0500
Net Asset Value per unit at 31 August 1997 (bid)
US$14.3600
Net Asset Value per unit at launch
US$10.0000
Ashmore Russian Debt Portfolio
79
Asset Holder PCC Limited: Annual Report and Accounts
4: Ashmore Russian Debt Portfolio
Summary of Significant Portfolio Changes
for the year ended 31 August 2014 (Unaudited)
Nominal/Shares
Cost
US$
Russian Foreign Bond – Eurobond 5.875%, 16/09/2043
400,000
388,748
Sberbank of Russia Via SB Capital SA 5.25%, 23/05/2023
230,000
214,006
Belarus, Republic of, 8.95%, 26/01/2018
100,000
93,250
ACQUISITIONS
CEDC Finance Corp International Inc PIK, 30/04/2018
12,363
Total
12,364
708,368
Nominal/Shares
Proceeds
US$
DISPOSALS
Federal Republic of, Step-up, 31/03/2030
1,329,900
1,558,643
TMK OAO Via TMK Capital SA 7.75%, 27/01/2018
1,430,000
1,494,350
VimpelCom Holdings BV 7.5043%, 01/03/2022
960,000
998,400
Avangardco Investments Public Limited 10%, 29/10/2015
1,000,000
992,500
Far East Capital Limited SA 8%, 02/05/2018
1,100,000
988,625
Far East Capital Limited SA 8.75%, 02/05/2020
1,100,000
987,250
Federal Republic of, 12.75%, 24/06/2028
575,000
983,365
Russian Standard Bank Via Russian Standard Finance SA 9.25%, 11/07/2017
850,000
889,313
VTB Bank OJSC Via VTB Capital SA 6%, 12/04/2017
800,000
852,000
Kazkommerts International BV 7.5%, 29/11/2016
Mriya Agro Holding Plc 9.45%, 19/04/2018
Gazprom Neft OAO Via GPN Capital SA 4.375%, 19/09/2022
Federal Republic of, 6.8%, 11/12/2019
850,000
846,770
1,000,000
845,000
850,000
783,360
24,680,000
725,812
Evraz Group SA 6.75%, 27/04/2018
700,000
685,500
Ukrlandfarming Plc 10.875%, 26/03/2018
700,000
633,500
DTEK Finance Plc 7.875%, 04/04/2018
700,000
617,400
MHP SA 8.25%, 02/04/2020
700,000
591,500
Alfa Bank OJSC Via Alfa Bond Issuance Plc 7.5%, 26/09/2019
450,000
479,250
Tristan Oil Limited 0%, 01/01/2016
800,000
464,000
Tinkoff Credit Systems Via TCS Finance Limited 11.5%, 21/04/2014
400,000
410,000
Other
3,210,689
Total
20,037,227
80
Consolidated Balance Sheet
as at 31 August 2014
Notes
2014
US$
2013
US$
–
19,249,992
Derivative assets
12
–
19,078
Debtors
10
–
477,386
Cash and bank balances
16
31,622
279,675
31,622
20,026,131
–
3,023,292
Assets
Investments
Total assets
Liabilities
Repurchase agreements
Derivative liabilities
12
–
13,448
Creditors
11
18,700
342,948
Total liabilities (excluding net assets attributable to unitholders' funds)
18,700
3,379,688
Unitholders' funds
12,922
16,646,443
N/A
US$ 71.4578
Notes
2014
US$
2013
US$
2, 3b)
12,922
16,646,443
12,922
16,646,443
Net Asset Value per unit
Unit Trust Balance Sheet
as at 31 August 2014
Investment in subsidiary
Unitholders' funds
The accounts on pages 81 to 98 were approved by the Board of Directors of the Principal Manager on 19 December 2014 and
are signed on its behalf by:
Director
Ashmore Russian Debt Portfolio
The notes on pages 84 to 98 form an integral part of these consolidated financial statements.
81
Asset Holder PCC Limited: Annual Report and Accounts
4: Ashmore Russian Debt Portfolio
Consolidated Statement of Total Return
for the year ended 31 August 2014
2014
Notes
2013
US$
US$
US$
US$
Income
– Net capital gains/(losses)
7
– Revenue
8
446,932
Expenses
9
(132,114)
(575,450)
314,818
1,299,085
–
–
Net revenue before taxation
Taxation
6
(14,052)
Net revenue after taxation
314,818
Total return before distribution
Dividend distributions
243,716
1,874,535
300,766
1,542,801
–
(1,674,133)
300,766
(131,332)
5
Change in net assets attributable to unitholders' funds
1,299,085
Statement of Changes in Net Assets Attributable to Unitholders’ Funds
for the year ended 31 August 2014
2014
2013
US$
Opening net assets attributable to unitholders' funds
US$
US$
16,646,443
US$
16,980,898
Movement due to issue and redemption of units:
Amounts receivable on issues
Amounts payable on redemptions
Change in net assets attributable to unitholders' funds
Closing net assets attributable to unitholders' funds
–
1,569,415
(16,934,287)
(1,772,538)
(16,934,287)
(203,123)
300,766
(131,332)
12,922
16,646,443
The notes on pages 84 to 98 form an integral part of these consolidated financial statements.
82
Consolidated Statement of Cash Flows
for the year ended 31 August 2014
2014
US$
2013
US$
Operating activities
Net bank interest received
Expenses paid
Repurchase agreements
Investment income received
Net cash (outflow)/inflow from operating activities
–
274
(312,503)
(502,398)
(3,023,292)
(213,328)
858,065
1,460,914
(2,477,730)
745,462
Financial investments
Purchases of investments
Sales of investments
Net cash flow on derivative instruments and foreign exchange
Net cash inflow from financial investments
(855,166)
(13,698,650)
20,037,227
14,650,595
(18,097)
15,360
19,163,964
967,305
Financing activities
Issue of units
Redemption of units
Dividends paid
Net cash outflow from financing activities
Decrease in cash and bank balances during the year
–
1,583
(16,934,287)
(1,772,538)
–
(106,301)
(16,934,287)
(1,877,256)
(248,053)
(164,489)
Reconciliation of net cash flow to movement in cash and bank balances
Cash and bank balances at the beginning of the year
Decrease in cash and bank balances
Cash and bank balances at the end of the year
279,675
444,164
(248,053)
(164,489)
31,622
279,675
Ashmore Russian Debt Portfolio
The notes on pages 84 to 98 form an integral part of these consolidated financial statements.
83
Asset Holder PCC Limited: Annual Report and Accounts
4: Ashmore Russian Debt Portfolio
Notes to the Consolidated Financial Statements
1. Constitution of the Trust
The Ashmore Russian Debt Portfolio (“the Portfolio”) was an open-ended Unit Trust established in Guernsey by a trust
instrument dated 18 October 1996 between the Trustee and the Manager, as amended and restated by a trust instrument
dated 29 January 2001 between the Manager and Close Bank Guernsey Limited (“Close Bank”) and as amended by a
supplemental trust deed dated 1 March 2001 between the Manager, Close Bank and the Trustee. The Portfolio was
authorised as a Class “B” Collective Investment Scheme in accordance with the provisions of the Protection of Investors
(Bailiwick of Guernsey) Law 1987, as set out in the Authorised Collective Investment Scheme (Class B) Rules 2013.
On 25 November 2013 an Extraordinary Resolution was passed to close the Ashmore Russian Debt Portfolio. All of the
investments in the Portfolio have been disposed of and the proceeds paid to Unitholders.
2. Acquisition of subsidiary
In 1997, the Portfolio acquired a cell (“the Cell”), designated Ashmore Russian Debt Portfolio Cell, in Asset Holder PCC
Limited (“PCC”), a protected cell company registered on 2 May 1997. PCC, together with the Portfolio, was authorised by
the Guernsey Financial Services Commission as a Class “B” Collective Investment Scheme. PCC was established to act as
an underlying investment holding company for a number of unit trusts. The Cell issued Participating Redeemable Preference
Shares (“Shares”) (which comprised 100% of the issued voting shares of that cell) to the Portfolio in exchange for the
transfer of its net assets valued at the date of execution of the transfer.
At 31 August 2014, no Shares were in issue (2013: 232,955 and a corresponding number of units).
A protected cell company is one whose assets can be either cellular or non-cellular. The assets attributable to a cell
comprise assets represented by the proceeds of cell share capital, reserves and any other assets attributable to the cell.
The non-cellular assets comprise the assets of the company which are not cellular assets. Where a liability arises from
a transaction in respect of a particular cell, the cellular assets attributable to that cell shall be liable and the liability shall
not be a liability of assets attributable to any other cell or of the non-cellular assets unless the Cell has entered into a
recourse agreement.
3. Principal accounting policies
The following accounting policies were applied consistently in dealing with terms which are considered material to the
Portfolio and were consistent with those used in the previous reporting period.
a) Basis of preparation
The consolidated financial statements, which give a true and fair view, were prepared under the historical cost convention,
modified by the revaluation of investments, in accordance with applicable UK accounting standards and the Statement
of Recommended Practice for Authorised Funds (October 2010) issued by the Investment Management Association
(“IMA SORP 2010”) and are in compliance with the Companies (Guernsey) Law 2008. The financial statements were
not prepared on a going concern basis.
b) Basis of consolidation
In accordance with Financial Reporting Standard 2, Accounting for Subsidiary Undertakings, and Financial Reporting
Standard 5, Reporting the Substance of Transactions, the accounts of the Portfolio and the Cell in Asset Holder PCC Limited
were consolidated.
c) Revenue
Bond and bank interest, with the exception of non-performing assets, was accounted for on an effective interest rate basis.
For non-performing assets and where the Investment Manager deemed it to be more appropriate, income was recognised
on receipt.
Dividend income from quoted equity investments and collective investment schemes was accounted for on an ex-dividend
basis. Dividend income from unquoted equity investments and collective investment schemes was recognised when the
dividend was declared.
84
Notes to the Consolidated Financial Statements continued
3. Principal accounting policies continued
c) Revenue continued
Fee rebates on investments in other collective investment schemes were recognised on an accruals basis in revenue,
unless it was the policy of the underlying fund to charge its fees to capital, in which case, fee rebates were treated as
capital refunds in the investing fund.
All income was shown gross of any withholding tax. Tax consequences were shown in the tax charge.
d) Expenses
Expenses were accounted for on an accruals basis.
e) Distributions
All, or substantially all, dividends, interest and other income, net of expenses, were distributed within six months of the
financial year end.
Distributions were payable to unitholders. Proposed distributions to unitholders were recognised in the Consolidated
Statement of Total Return when they were appropriately authorised and no longer at the discretion of the Portfolio.
f) Investments
Investments were accounted for on a trade date basis and were recognised at fair value. The fair value of financial
instruments was determined in accordance with the Portfolio’s valuation policy.
Where possible, investments were valued by reference to the most recent prices quoted on a recognised investment
exchange or as supplied by a market maker in the investments concerned, with a view to giving a fair valuation that could
reasonably be obtained and without prejudice to the following:
bonds and loans were valued at the market price multiplied by the face amount plus accrued interest;
•
investments in collective investment schemes, common investment pools and limited partnerships were valued on
the basis of the latest available net asset value per unit or share, which represented the fair value, quoted by the
administrator of the scheme, pool or partnership in question as at the close of business on the relevant valuation day
(or a net asset value estimate if the scheme, pool or partnership published its net asset value less frequently than
the Portfolio);
•
assets issued on a “when and if” basis were valued on the assumption that they would be issued;
•
assets where past due interest is gratis were valued at market price multiplied by the face amount;
•
assets where the market pays for past due interest were valued at the market price multiplied by the face amount,
plus accrued interest;
•
assets where accrued interest was for the account of the holder were valued at the market price multiplied by the
face amount;
•
assets acquired on deferred purchase terms were valued at the market price less the amount of the unpaid purchase
consideration and financing costs;
•
zero coupon certificates of deposit and treasury bills were valued at the market price multiplied by the nominal
amount thereof.
Ashmore Russian Debt Portfolio
•
In preparing any valuation, the Investment Manager relied on information provided by any person whom the Investment
Manager considered to be suitably qualified to do so and who was approved by the Directors (an “Approved Person”).
Any price or methodology notified to the Investment Manager by an Approved Person as representing the fair value of
any investment were conclusive in the absence of manifest error.
85
Asset Holder PCC Limited: Annual Report and Accounts
4: Ashmore Russian Debt Portfolio
Notes to the Consolidated Financial Statements continued
3. Principal accounting policies continued
f) Investments continued
For the above purposes a “recognised investment exchange” meant any stock or investment exchange, institution or
screen based or other electronic quotation or trading system providing dealing facilities or quotations for investments that
was approved from time to time by the Investment Manager.
Investments in target entities may have been effected via Special Purpose Vehicles (“SPV”). The nominal holding of such
investments reflected the Portfolio’s interest in the SPV and not its interest in the target investment. The valuations of such
positions were performed on a look through basis.
Where the Portfolio entered into fully funded total return swap (“TRS”) transactions with a swap counterparty, pursuant to
which the Portfolio made an initial payment equal to the estimated value of an Emerging Market debt security, loan or other
financial instrument, the TRSs were valued using the same rules as the underlying assets they represented. Fully funded
TRSs were recognised as investments.
As per IMA SORP 2010 requirements, transaction costs related to the acquisition of the investments were capitalised and
formed a part of the cost of the investments.
Gains and losses arising from changes in the fair value of the investments were presented in the Consolidated Statement of
Total Return within net capital gains/(losses) in the period in which they arose and could be unrealised or realised.
The unrealised gains and losses comprised changes in the fair value of the investments for the period and the reversal of the
prior period’s unrealised gains and losses for investments which were realised in the reporting period. Realised gains and
losses on disposals of investments were calculated using the FIFO method.
g) Derivatives
Derivatives, including forward foreign currency contracts, total return swaps, interest rate swaps, futures and options were
recognised at fair value on the date on which the derivative contract was entered into and were subsequently remeasured
at their fair value at each valuation point. Fair values were obtained from quoted market prices in active markets, including
recent market transactions, or from market makers.
The Portfolio was able to enter into interest rate swaps, which are arrangements between two parties to exchange cash
flows based on notional principal amount in order to manage the Portfolio’s exposure to interest rates. Interest rate swaps
were marked to market daily and the change in value, if any, was recorded as unrealised gain or loss. Payments made or
received were recorded as part of realised gains and losses.
A forward foreign currency contract involves an obligation to purchase or sell a specific currency at a future date at a price
set at the time the contract is made.
Forward foreign currency contracts were valued by reference to the price at which a new forward contract of the same
size and maturity could be undertaken at the valuation date. The unrealised gain or loss on open forward foreign currency
contracts was calculated as the difference between the contract rate and the forward price. Forward foreign currency
contracts were generally entered into for hedging the Portfolio’s overall currency risk. Unrealised gains or losses on forward
foreign currency contracts were recognised in the Consolidated Statement of Total Return.
Options were valued at the market premium multiplied by the nominal amount. The premium on purchased put options
exercised was subtracted from the proceeds of the sale of the underlying security or foreign currency in determining the
realised gain or loss. The premium on purchased call options exercised was added to the cost of the securities or foreign
currency purchased. Premiums paid on the purchase of options that expire unexercised were treated as realised losses
and are reflected in the Consolidated Statement of Total Return. The premium received from options written was initially
recognised as a financial liability. The maximum gain potential was equal to the initial premium received and was recognised
if the option expired worthless and no subsequent payment is required. Gains and losses associated with the revaluation of
options were recognised as unrealised appreciation or depreciation on investments.
86
Notes to the Consolidated Financial Statements continued
3. Principal accounting policies continued
g) Derivatives continued
Futures contracts are contractual obligations to buy or sell financial instruments on a future date at a specified price
established in an organised market. Futures contracts were collateralised by cash or marketable securities and changes
in the futures contracts’ value were settled daily with the exchange. Futures contracts were settled on a net basis.
Subsequent measurement of the fair value of a futures contract was calculated as the net difference between the
contract price and the closing price reported on the primary exchange on which the futures contract was traded.
Realised and unrealised gains or losses are associated with the revaluation of futures, and were recognised in the
Consolidated Statement of Total Return.
h) Repurchase agreements
Securities sold under agreements to repurchase were treated as collateralised borrowing transactions. The securities
continued to be carried at market value and the loans were carried at the amount at which the securities were sold under
the agreement. Interest expense recognised under these agreements and interest income on collateral securities were
included in the Consolidated Statement of Total Return.
i) Offsetting assets and liabilities
Assets and liabilities should not be offset unless offsetting is required and legally permitted. Assets and liabilities were offset
and the net amount reported in the Consolidated Balance Sheet if, and only if, there was a currently enforceable legal right
to offset the recognised amounts and there was an intention to settle on a net basis, or to realise the asset and settle the
liability simultaneously.
j) Foreign exchange transactions
Transactions in foreign currency were translated at the rate of exchange ruling at the date of the transaction.
Monetary assets and liabilities denominated in foreign currencies were translated to US dollars at the foreign currency
closing exchange rate ruling at the Consolidated Balance Sheet date. Foreign currency exchange differences arising on
translation and realised gains and losses on the disposal or settlement of monetary assets and liabilities were recognised
in the Consolidated Statement of Total Return. Non-monetary assets and liabilities denominated in foreign currencies that
are measured at fair value were translated to US dollars at the foreign currency exchange rate ruling at the date the values
were determined. Foreign currency exchange differences relating to investments and derivative financial instruments were
included in the Consolidated Statement of Total Return.
4. Material agreements
a) Management fees
The Investment Manager was entitled to receive fees at an annual rate of 2.0% of the Net Asset Value of the Portfolio until
its termination on 25 November 2013. These fees were payable monthly in arrears.
Where the Investment Manager or one of its associates acts as investment manager or adviser in respect of any underlying
funds, the Investment Manager did not double charge for management fees in respect of such underlying funds.
Ashmore Russian Debt Portfolio
b) Trustee fees
The fees due to the Trustee were limited to 0.01% per annum of the Portfolio’s Net Asset Value. The Trustee was also
entitled to transaction fees.
c) Depositary fees
The fees due to the Depositary were limited to 0.01% per annum of the Portfolio’s Net Asset Value.
d) Administration fee
The Administrator was entitled to receive a flat fee of 0.02% per annum of the Portfolio’s Net Asset Value.
Should the aggregate Net Asset Value fall below US$500 million the Administrator reserved the right to review the
fees upwards.
87
Asset Holder PCC Limited: Annual Report and Accounts
4: Ashmore Russian Debt Portfolio
Notes to the Consolidated Financial Statements continued
4. Material agreements continued
e) Incentive fees
Incentive fees based upon the performance of the Portfolio were payable annually to the Investment Manager in arrears,
if a Portfolio achieved a return over the period in excess of 6% per annum. The incentive fee was 20% of the excess.
The fee was calculated separately for investors who joined the Portfolio during any period by comparing the Net Asset Value
per share of the Portfolio at the end of the relevant period with the price paid by the investors for their shares rather than the
Net Asset Value per share at the beginning of each period in order to determine whether the Portfolio had achieved a return
for those investors in excess of 6% per annum.
If a unitholder redeemed shares during an accounting period, the Investment Manager calculated the incentive fee
(if any) attributable to the shares redeemed, which was deducted from the redemption price and retained by the
Investment Manager.
5. Dividend distributions
In respect of the financial statements for the year ended 31 August 2013, the following distributions were paid during this
financial year:
Dividends declared during the year
Net revenue before distribution (US$)
US$
1,299,085
Dividend declared (ex-date 20 December 2013) (US$)
–
Dividend per share (US$)
–
Dividend paid in cash (US$)
–
Dividend reinvested (US$)
–
In respect of the financial year ended 31 August 2012, the following distributions were paid during the previous
financial year:
Dividends declared during the year
US$
Net revenue before distribution (US$)
1,617,229
Dividend declared (ex-date 21 December 2012) (US$)
1,674,133
Dividend per share (US$)
Dividend paid in cash (US$)
Dividend reinvested (US$)
7.8702
106,301
1,567,832
Under Guernsey law, companies can pay dividends in excess of accounting profit provided they satisfy the solvency test
prescribed under the Companies (Guernsey) Law 2008. The solvency test considers whether a company is able to pay its
debts when they become due, and whether the value of a company’s assets is greater than its liabilities. The Portfolio
satisfied the solvency test for the dividend payment for the year ended 31 August 2013.
6. Taxation
The PCC and Portfolio have historically applied for and been granted exemption from Guernsey Income Tax under the
Income Tax (Exempt Bodies) (Guernsey) Ordinance 1989 and, as a result, any surplus income of the PCC and Portfolio could
be distributed without deduction of Guernsey Income Tax. It should be noted however that dividend income arising on the
PCC and Portfolio’s investments was subject, as appropriate, to any withholding taxes in the country of origin. Pursuant to
the application for exemption under the above monitored ordinance, the PCC was subject to an annual fee, currently £600,
payable to the Guernsey Income Tax Authority.
88
Notes to the Consolidated Financial Statements continued
7. Net capital gains/(losses)
2014
US$
2013
US$
Investment securities
– Realised gains
936,520
2,401,413
– Realised losses
(1,118,087)
(1,283,999)
– Unrealised gains
1,098,501
1,652,491
(904,307)
(2,574,980)
– Unrealised losses
Forward foreign currency contracts
Other gains/(losses)
Transaction costs
(24,548)
70,686
2,337
(18,075)
(4,468)
(3,820)
(14,052)
243,716
8. Revenue
Interest on debt securities
2014
US$
2013
US$
446,878
1,874,233
Dividends
11
28
Bank interest
43
274
446,932
1,874,535
2014
US$
2013
US$
Management fees
84,299
344,603
Incentive fees
11,127
168,056
95,426
512,659
(461)
11,934
842
4,570
9. Expenses
Payable to the Investment Manager
Other expenses
Custody fees and charges
Administration fees
Directors' fees and expenses
Audit fees
Legal and professional fees
Bank interest paid
Other expenses
Total expenses
333
5,464
1,009
20,002
16,965
–
3,025
10,774
24,955
36,688
62,791
132,114
575,450
–
3.39%
2014
US$
2013
US$
10. Debtors
Prepayments
–
1,529
Accrued income
–
475,857
–
477,386
89
Ashmore Russian Debt Portfolio
Total expense ratio
67
Asset Holder PCC Limited: Annual Report and Accounts
4: Ashmore Russian Debt Portfolio
Notes to the Consolidated Financial Statements continued
11. Creditors
2014
US$
2013
US$
Accrued fees due to Investment Manager
63
27,653
Accrued fees due to Custodian
86
4,374
Accrued fees due to Administrator
63
630
–
146,995
Incentive fees payable
Repurchase agreements*
Other accrued expenses
–
142,339
18,488
20,957
18,700
342,948
* The amount represents a payable in respect of repurchase agreements traded before and settled after the Consolidated Balance
Sheet date.
12. Derivatives assets and liabilities
Forward foreign currency contracts
Derivatives
assets
2014
US$
Derivatives
liabilities
2014
US$
Derivatives
assets
2013
US$
Derivatives
liabilities
2013
US$
–
–
19,078
(13,448)
–
–
19,078
(13,448)
13. Related parties
As of and for the year ended 31 August 2014, the Portfolio had the following related party transactions and balances:
2014
US$
2013
US$
84,299
344,603
Ashmore Investment Advisors Limited
– management fees charged for the year
– management fees payable at 31 August
63
27,653
11,127
168,056
– incentive fees payable at 31 August
–
146,995
– Directors' fees charged for the year
67
333
– Directors' fees payable at 31 August
–
–
350,000
1,460,000
–
1,810,000
11
27
–
–
– incentive fees charged for the year
Ashmore SICAV 2 Global Liquidity US$ Fund
– sales
– purchases
– dividend income
– of which was reinvested
Related funds are other funds managed by the Investment Manager or its associates. As at the Consolidated Balance Sheet
date, there are no amounts outstanding with related funds.
The Directors of the Principal Manager are not aware of any ultimate controlling party as defined by Financial Reporting
Standard 8, Related Party Disclosures.
The Portfolio held the following shares in Ashmore related funds:
Ashmore SICAV 2 Global Liquidity US$ Fund
90
2014
2013
–
350,000
Notes to the Consolidated Financial Statements continued
14. Risk management
The investment objective of the Portfolio was to take advantage of the investment opportunities available in Russian
corporates and the corporates of other Eastern European countries, including in debt or equity investments, which may
have had good medium to long-term return potential.
Investments included sovereign and private sector obligations, senior and subordinated debt including convertible bonds
and bonds that may have been in default but which had the potential to participate in equity restructurings. In addition, the
Portfolio opportunistically took short and long positions in securities instruments and currencies and invested in equities or
discounted equity funds.
In pursuing its investment objective the Portfolio entered into investment transactions in financial instruments which gave
exposure to a variety of financial risks, which included market risk (including price risk, interest rate risk and currency risk),
liquidity risk (including leverage risk) and credit risk.
All investment strategies were approved by the Investment Manager’s Investment Committee, which met weekly, and
were minuted. Decisions were restricted by the policies contained in the Investment Manager’s Operational Procedures
Manual and the investment restrictions pertaining to the Portfolio.
The Investment Committee reviewed risk exposure on a weekly basis and the portfolio as a whole was monitored with
regards to:
•
Interest rate sensitivity
•
Currency sensitivity
•
Liquidity
•
Volatility
•
Duration
With regard to the portfolio construction process, risk was monitored as an integral part of the investment decision process,
and this provided strong risk control on an ongoing basis.
Global: Analyse macro issues including global interest rates, liquidity and major events to determine portfolio duration,
interest rate sensitivity and cash levels.
•
Fundamental: Analyse country macro-economic and financial fundamentals.
•
Political: Analyse country and international politics and policy dynamics as large changes result from political events and
the understanding of incentive structures.
•
Asset/Credit: Identify fundamental value across countries globally and their respective assets.
•
Technical/Market: Analyse asset and market technicals, timing and dynamics.
•
Portfolio Construction: Select assets using the Ashmore Portfolio Framework and adjust the portfolio to achieve:
Ashmore Russian Debt Portfolio
•
–
Diversification and correlation objectives including those in relation to benchmarks;
–
Desired duration, principally through altering relative asset category proportions;
–
Desired interest rate sensitivity (through the split between fixed and floating instruments);
–
Desired cash level;
–
Portfolio liquidity;
–
Conformity with limits agreed for currency risk, portfolio volatility and pre-specified portfolio investment restrictions.
91
Asset Holder PCC Limited: Annual Report and Accounts
4: Ashmore Russian Debt Portfolio
Notes to the Consolidated Financial Statements continued
14. Risk management continued
The Investment Manager established, and periodically reviewed, all counterparty limits.
Investment restrictions were as follows:
•
Not more than 25% of the Net Asset Value of the Portfolio was to be invested in investments denominated in
currencies other than US dollars or Russian rubles;
•
Not more than 20% of the Net Asset Value of the Portfolio was to be invested in any one corporate issuer;
•
The aggregate exposure to non-Russian issuers (excluding cash and cash equivalents) was to be no greater than that
to Russian issuers (excluding cash and cash equivalents);
•
Not more than 30% of the Net Asset Value of the Portfolio was to consist of equity securities or similar instruments
such as privatisation vouchers;
•
Not more than 20% of the Net Asset Value of the Portfolio was to consist of interests in other collective investment
schemes managed by the Investment Manager or by an Ashmore Associate.
Market risk
The majority of the Portfolio’s financial instruments were recognised at fair value, and changes in market conditions directly
affected income.
i) Price risk
The main risk arising from the Portfolio’s financial instruments was price risk. All derivatives, trading securities and
investments were recognised at fair value, and all changes in market conditions directly affected net income. Price risk
primarily arose from uncertainty about future prices of the financial instruments held. The Investment Manager, acting within
guidelines set by the Portfolio and the investment restrictions, regularly assessed the appropriate allocation of assets in
order to minimise the overall risks while continuing to follow the investment objectives. These restrictions were intended to
ensure that the Portfolio’s investments were appropriately diversified. Details of the Portfolio’s investment portfolio as at the
Consolidated Balance Sheet date were disclosed in the Schedule of Investments.
ii) Interest rate risk
A substantial portion of the Portfolio’s financial assets and liabilities were interest bearing and, as a result, a key risk was
fluctuations in the prevailing levels of market interest rates. This risk was managed through duration management and
issue selection (mix between fixed and floating instruments and duration). The Portfolio also from time to time entered into
transactions in derivative instruments and took short positions with a view to hedging the portfolio’s interest rate exposure.
The Portfolio was terminated on 29 November 2013 and had no shares outstanding as at 31 August 2014. If market interest
rates had been 10 basis points higher/lower with all other variables held constant, the net assets attributable to unitholders’
funds would not have changed (2013: would have increased/decreased by US$15,874).
Interest rate risk profile of financial assets and liabilities
The interest rate profile of the Portfolio’s cash and investment assets and liabilities was:
2014
Total
US$
2014
Floating
US$
2014
Fixed
US$
2014
Non-interest
US$
31,622
–
–
31,622
31,622
–
–
31,622
US$
US$
US$
US$
18,700
–
–
18,700
18,700
–
–
18,700
Assets
US dollar
Liabilities
US dollar
92
Notes to the Consolidated Financial Statements continued
14. Risk management continued
Market risk continued
ii) Interest rate risk continued
Interest rate risk profile of financial assets and liabilities continued
2013
Total
US$
2013
Floating
US$
2013
Fixed
US$
2013
Non-interest
US$
18,886,529
–
17,790,473
1,096,056
1,139,602
–
1,106,829
32,773
20,026,131
–
18,897,302
1,128,829
US$
US$
US$
US$
3,366,240
–
3,023,292
342,948
13,448
–
–
13,448
3,379,688
–
3,023,292
356,396
Assets
US dollar
Other
Liabilities
US dollar
Other
iii) Currency risk
The Portfolio’s principal exposure to currency risk arose from investments denominated in currencies other than US dollars.
The value of such investments may have been affected favourably or unfavourably by fluctuations in exchange rates,
notwithstanding any efforts made to hedge such fluctuations. No investments were held as at the Consolidated Balance
Sheet date. An insignificant portion of the Portfolio’s investments as at the previous Consolidated Balance Sheet date
(5.75%) were denominated in currencies other than US dollars. The Portfolio was able to deal in derivative instruments and
other synthetic products where investing in such vehicles would have been more efficient, was required for legal, tax or
regulatory reasons or would otherwise have been to the advantage of the Shareholders. If, in the view of the Investment
Manager, it was more efficient or cost effective, the Investment Manager was able to take exposure to the underlying
local currency Emerging Market debt or other Investments through synthetic products offered by third parties. Selling
Investments short, including through the use of derivative instruments, was permitted for hedging purposes.
The Portfolio was terminated on 29 November 2013 and had no shares outstanding as at 31 August 2014. Had the US dollar
strengthened/weakened by 10 basis points in relation to all other currencies of the Portfolio’s financial assets and liabilities,
with all other variables held constant, net assets attributable to unitholders’ funds would not have changed (2013: would
have increased/decreased by US$57).
The Portfolio’s net currency exposure was as follows:
Investments
2014
US$
Euro
–
–
–
–
Russian ruble
–
–
–
–
–
–
–
–
Net assets
2013
US$
Investments
2013
US$
Forward foreign
currency
contracts
2013
US$
Total net
currency
exposure
2013
US$
Euro
Russian ruble
Total net
currency
exposure
2014
US$
3,616
376,500
(394,045)
10,079
730,329
(783,466)
(13,929)
(43,058)
13,695
1,106,829
(1,177,511)
(56,987)
93
Ashmore Russian Debt Portfolio
Net assets
2014
US$
Forward foreign
currency
contracts
2014
US$
Asset Holder PCC Limited: Annual Report and Accounts
4: Ashmore Russian Debt Portfolio
Notes to the Consolidated Financial Statements continued
14. Risk management continued
Liquidity risk
Liquidity risk is the risk that the Portfolio may not be able to generate sufficient cash resources to settle its obligations in full
as they fall due or can only do so on terms that are materially disadvantageous.
Some of the investments which the Portfolio made were traded only on over-the-counter markets and there may not
have been an organised public market for such securities. The effect of this was to increase the difficulty of valuing the
investments and certain of the investments were considered illiquid. There may have been no established secondary market
for certain of the investments made by the Portfolio. Reduced secondary market liquidity may have adversely affected the
market price of the Portfolio’s investments and the Portfolio’s ability to dispose of particular investments to meet its liquidity
requirements or in response to specific events such as deterioration in the creditworthiness of any particular issuer. Due to
the lack of adequate secondary market liquidity for certain securities, the Administrator may have found it more difficult to
obtain accurate security valuations for the purposes of valuing the Portfolio and calculating the Net Asset Value. Valuations
may have only been available from a limited number of sources and may not have represented firm bids for actual sales. In
addition, the regulatory regime may have adversely affected the Shareholders’ liquidity.
Any investor who wished to redeem their shares had to give the Investment Manager notice of their intention at least
90 clear days before the relevant Dealing Day in respect of which the application was made, unless the Investment
Manager agreed, at its sole discretion, to a shorter notice period.
i) Leverage risk
The Portfolio was able to borrow for the account of the Portfolio on a secured and unsecured basis and pursuant to
repurchase arrangements and deferred purchase arrangements. The amount of all such borrowings that remained
outstanding from time to time (net of any cash balances held by the Portfolio or collateral balances transferred by the
Portfolio) was not permitted to exceed an amount equal to 50% of the Net Asset Value of the Portfolio.
Most leveraged transactions require the posting of collateral. A decrease in the fair value of such financial assets may have
resulted in lenders, including derivative counterparties, requiring the Portfolio to post additional collateral or sell assets at a
time when it may not have been in the Portfolio’s best interest to do so. A failure of the Portfolio to continue to post the
required collateral could have resulted in a disposition of the Portfolio’s assets at times and prices which could have been
disadvantageous to the Portfolio and could have resulted in substantial losses, having a material adverse effect on the
Portfolio. To the extent that a creditor had a claim on the Portfolio, such a claim would have been senior to the rights
of unitholders.
Maturity of financial assets and liabilities
The maturity of the Portfolio’s financial assets and liabilities was as follows:
In one year or less
94
2014
Assets
US$
2014
Liabilities
US$
2013
Assets
US$
2013
Liabilities
US$
155,787
31,622
18,700
436,078
In more than one year but less than two years
–
–
294,323
–
In more than two years but less than five years
–
–
10,504,251
–
In more than five years
–
–
7,681,728
–
No maturity date
–
–
1,109,751
3,223,901
31,622
18,700
20,026,131
3,379,688
Notes to the Consolidated Financial Statements continued
14. Risk management continued
Credit risk
The Portfolio’s financial instruments included purchases of securities and other obligations of companies that were
experiencing significant financial or business distress, including companies involved in bankruptcy or other reorganisation
and liquidation proceedings. Although such purchases have the potential for significant returns, they involve a substantial
degree of risk and may not show any return for a considerable period of time. In fact, many of these instruments ordinarily
remain unpaid unless and until the company reorganises and/or emerges from bankruptcy proceedings, and as a result may
have to be held for an extended period of time. The level of analytical sophistication, both financial and legal, necessary for
successful investment in companies or sovereign issuers experiencing significant business and financial distress is unusually
high. The completion of debt and/or equity exchange offers, restructurings, reorganisations, mergers, takeover offers and
other transactions can be prevented or delayed, or the terms changed, by a variety of factors. Moreover, the administrative
costs in connection with a bankruptcy or restructuring proceeding are frequently high and are paid out of the debtor’s assets
prior to any return to creditors (other than out of assets or proceeds thereof, which may be subject to valid and enforceable
liens and other security interests) and equity holders. In addition, certain claims have priority by law over the claims of
certain creditors (for example, claims for taxes). Additionally, it is frequently difficult to obtain accurate information as to
the condition of such entities. Such investments may also be adversely affected by laws relating to, among other things,
fraudulent transfers and other voidable transfers or payments, lender liability and the bankruptcy court’s power to disallow,
reduce, subordinate or disenfranchise particular claims. The market prices of such securities are also subject to abrupt and
erratic market movements and above-average price volatility, and the spread between the bid and offer prices of such
securities may be greater than those prevailing in other securities markets. Securities issued by distressed companies
or sovereign issuers may have a limited trading market, resulting in limited liquidity.
The economic and political conditions in Emerging Markets differ from those in developed markets, and offer less social,
political and economic stability. The absence, until relatively recently, of any move towards capital markets structures or to
a free market economy means investing in these countries is more risky than investing in developed markets. Although a
number of risk factors are illustrated by reference to Russia, as that represented the primary focus of the Portfolio, similar
risks exist in Eastern European countries and other Emerging Markets in which the Portfolio was able to invest.
Fair values of financial assets and liabilities
In accordance with the Portfolio’s accounting policies, investments and derivatives were carried at fair value. The carrying
amounts of debtors and creditors were assumed to approximate their fair values due to the short duration to maturity.
At reporting date, the Portfolio’s financial assets exposed to credit risk amounted to the following:
2013
US$
Investments in debt securities
–
18,897,302
Collective investment schemes
–
350,000
Derivative assets
–
19,078
31,622
279,675
31,622
19,546,055
2014
Fair Value
US$
2013
Fair Value
US$
Cash and bank balances
At the reporting date, the Portfolio held investments with the following credit quality*:
Investment grade
–
5,278,284
Below investment grade
–
11,962,799
Non rated
–
2,008,909
–
19,249,992
* Credit quality based on credit ratings from Standard & Poor’s and Moody’s.
95
Ashmore Russian Debt Portfolio
2014
US$
Asset Holder PCC Limited: Annual Report and Accounts
4: Ashmore Russian Debt Portfolio
Notes to the Consolidated Financial Statements continued
14. Risk management continued
Credit risk continued
At the reporting date, the Portfolio held the following investments which were past due/in default:
Investments in debt securities
2014
Market Value
US$
2013
Market Value
US$
–
2,690
–
2,690
15. Fair value measurement
The fair value hierarchy has the following levels:
•
Quoted prices (unadjusted) in active markets for identical assets or liabilities (level 1).
•
Inputs other than quoted prices included within level 1 that are observable for the asset or liability, either directly (that is,
as prices) or indirectly (that is, derived from prices) (level 2).
•
Inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs) (level 3).
The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determined
on the basis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose,
the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement
uses observable inputs that require significant adjustment based on unobservable inputs, that measurement is a level 3
measurement. Assessing the significance of a particular input to the fair value measurement in its entirety requires
judgement, considering factors specific to the asset or liability.
The determination of what constitutes “observable” requires significant judgement by the Portfolio. The Portfolio considers
observable data to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not
proprietary, and provided by independent sources that are actively involved in the relevant market.
The following tables analyse within the fair value hierarchy the Portfolio’s financial assets and liabilities measured at fair value
at 31 August 2014 (in US$):
Level 1
Level 2
Level 3
Total
Investments
–
–
–
–
Derivative instruments
–
–
–
–
Repurchase agreements
–
–
–
–
Total
–
–
–
–
The following tables analyse within the fair value hierarchy the Portfolio’s financial assets and liabilities measured at fair value
at 31 August 2013 (in US$):
Investments
Level 1
Level 2
Level 3
Total
18,477,302
770,000
2,690
19,249,992
Derivative instruments
–
5,630
–
5,630
Repurchase agreements
–
(3,023,292)
–
(3,023,292)
18,477,302
(2,247,662)
2,690
16,232,330
Total
Investments, whose values are based on quoted market prices in active markets, and therefore classified within level 1,
include active listed equities, exchange traded derivatives, US government treasury bills and certain non-US sovereign
obligations. The Portfolio does not adjust the quoted price for these instruments.
96
Notes to the Consolidated Financial Statements continued
15. Fair value measurement continued
Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market
prices, dealer quotations or alternative pricing sources supported by observable inputs are classified within level 2. These
include investment-grade corporate bonds and certain non-US sovereign obligations, listed equities (but not on active
markets) and over-the-counter derivatives. As level 2 investments include positions that are not traded in active markets
and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which
are generally based on available market information.
No financial assets held by the Portfolio were transferred from level 1 to level 2.
Investments classified within level 3 have significant unobservable inputs, as they trade infrequently. Level 3 instruments
include private equity and corporate debt securities. As observable prices are not available for these securities, the Portfolio
has used valuation techniques to derive their fair value.
The Pricing Methodology and Valuation Committee (PMVC) of the Investment Manager, which has been authorised as an
Approved Person to provide valuations to the Administrator, operates and meets to consider the methods for pricing hardto-value investments where a reliable pricing source is not available, if an asset does not trade regularly, or in the case of a
significant event (such as a major event and market volatility outside local market hours). These assets, which are classified
within level 3, include all asset types but are frequently “special situations” style investments, typically incorporating
distressed, illiquid or private equity assets.
For these hard-to-value investments, the methodology and models used to determine fair value are created in accordance
with the International Private Equity and Venture Capital Valuation (IPEV) guidelines. For significant investments the PMVC
engages experienced personnel at an independent third-party valuation specialist to create these models. The valuation is
then subject to review, amendment if necessary, then approval, firstly by the PMVC, and then by the Board of Directors of
the Manager.
Valuation techniques used include the market approach, the income approach or the cost approach for which sufficient
and reliable data is available. Within level 3, the use of the market approach generally consists of using comparable market
transactions, while the use of the income approach generally consists of the net present value of estimated future cash
flows, adjusted as deemed appropriate for liquidity, credit, market and/or other risk factors.
The main inputs used in estimating the value of level 3 investments include the original transaction price, recent transactions
in the same or similar instruments, completed or pending third-party transactions in the underlying investment or
comparable issuers, subsequent rounds of financing, recapitalisations and other transactions across the capital structure,
offerings in the equity or debt capital markets, and changes in financial ratios or cash flows. Level 3 investments may also
be adjusted to reflect illiquidity and/or non-transferability.
Ashmore Russian Debt Portfolio
The Portfolio believes that its estimates of fair value were appropriate, however the use of different methodologies or
assumptions could lead to different measurements of fair value. For fair value equity investments in level 3, changing
one or more of the assumptions used to alternative assumptions would have resulted in an increase/(decrease) in net
assets attributable to equity holders. Due to the numerous different factors affecting the assets, the impact could not
be reliably quantified.
97
Asset Holder PCC Limited: Annual Report and Accounts
4: Ashmore Russian Debt Portfolio
Notes to the Consolidated Financial Statements continued
15. Fair value measurement continued
The following tables include a roll forward of the amounts for the year ended 31 August 2014 for financial instruments
classified within level 3. The classification of a financial instrument within level 3 is based upon the significance of the
unobservable inputs to the overall fair value measurement.
2014
US$
Opening balance
2013
US$
2,690
3,181
–
105,872
(1,372)
(1,040)
(104,504)
(38,617)
103,186
(66,706)
Closing balance
–
2,690
Total net unrealised gains/(losses) attributable to level 3 instruments held
–
(103,185)
Purchases
(Sales)
Gains/(losses):
Realised
Unrealised
16. Cash and bank balances
Current accounts
Cash collateral for derivatives
2014
US$
2013
US$
31,622
254,608
–
25,067
31,622
279,675
Cash collateral with counterparty financial institutions was held for the Portfolio’s trading activities, particularly for nondeliverable forward contracts. These deposits could be called back by the Portfolio after settling unrealised profit or loss
on derivative contracts less transaction costs (see note 12).
17. Reconciliation between the cash flow from operating activities and total return before distribution
Total return for the year before distributions
Net capital losses/(gains)
Amortisation of premium and discount
Decrease in repurchase agreements
(Decrease)/increase in accrued expenses
Decrease/(increase) in accrued income
Net cash (outflow)/inflow from operating activities
2014
US$
2013
US$
300,766
1,542,801
14,052
(243,716)
(64,724)
(377,034)
(3,023,292)
(213,328)
(180,389)
73,052
475,857
(36,313)
(2,477,730)
745,462
18. Subsequent events
The Board of Directors has evaluated subsequent events for the Portfolio, and has concluded that there are no subsequent
events that require disclosure in or adjustments of the financial statements.
98
Report of the Trustee to Unitholders of Ashmore Russian Debt Portfolio
Opinion
In our opinion Ashmore Management Company
Limited has managed Ashmore Russian Debt
Portfolio during the year ended 31 August 2014
in accordance with the provisions of the principal
documents and the rules made under the
Protection of Investors (Bailiwick of Guernsey)
Law, 1987 as set out in the Authorised Collective
Investment Scheme (Class B) Rules 2013.
Northern Trust (Guernsey) Limited
as Trustee of Ashmore Russian Debt Portfolio
Trafalgar Court
Les Banques
St Peter Port
Guernsey
GY1 3DA
Channel Islands
19 December 2014
Ashmore Russian Debt Portfolio
99
Asset Holder PCC Limited: Annual Report and Accounts
4: Ashmore Russian Debt Portfolio
Independent Auditor’s Report to Unitholders of Ashmore Russian Debt Portfolio
We have audited the consolidated financial statements of
Ashmore Russian Debt Portfolio (the “Trust”) for the year
ended 31 August 2014 which comprise the Consolidated
Balance Sheet, Unit Trust Balance Sheet, the Consolidated
Statement of Total Return, the Statement of Changes in Net
Assets Attributable to Unitholders’ Funds, the Consolidated
Statement of Cash Flows and the related notes. The financial
reporting framework that has been applied in their preparation
is applicable law and United Kingdom Accounting Standards.
This report is made solely to the Trust’s unitholders in
accordance with our Terms of Engagement as detailed in our
letter of 29 November 2013 and rule 4.02(3) of the Collective
Investment Schemes (Class B) Rules 1990. Our audit work
has been undertaken so that we might state to the Trust’s
unitholders 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 Trust and the Trust’s
unitholders as a body, for our audit work, for this report, or for
the opinions we have formed.
Respective responsibilities of Manager and auditor
The Manager is responsible for preparing the Manager’s
Report and, as described below, the financial statements
in accordance with applicable Guernsey law and UK
Accounting Standards.
The Manager is responsible for preparing financial statements
for each financial period which give a true and fair view of
the state of affairs of the Unit Trust and of the profit or loss
of the Unit Trust for that period and are in accordance with
applicable laws.
applicable law and International Standards on Auditing (UK
and Ireland). Those standards require us to comply with
the Auditing Practices Board's (APB's) Ethical Standards
for Auditors.
Scope of the audit of the financial statements
An audit involves obtaining evidence about the amounts and
disclosures in the financial statements sufficient to give
reasonable assurance that the financial statements are free
from material misstatement, whether caused by fraud or error.
This includes an assessment of: whether the accounting
policies are appropriate to the Trust’s circumstances and
have been consistently applied and adequately disclosed;
the reasonableness of significant accounting estimates made
by the Manager; and the overall presentation of the financial
statements. In addition, we read all the financial and nonfinancial information in the Annual Report to identify material
inconsistencies with the audited financial statements. If we
become aware of any apparent material misstatements or
inconsistencies we consider the implications for our report.
Opinion on financial statements
In our opinion the consolidated financial statements:
•
give a true and fair view of the state of the Trust’s affairs
as at 31 August 2013 and of its result for the year
then ended;
•
are in accordance with United Kingdom Accounting
Standards;
•
have been properly prepared in accordance with the trust
deed; and
•
have been properly prepared in accordance with the
Collective Investment Schemes (Class B) Rules 1990
and the principal documents.
In preparing the financial statements the Manager is
required to:
•
select suitable accounting policies and then apply
them consistently;
Matters on which we are required to report by
exception
•
make judgements and estimates that are reasonable
and prudent;
We have nothing to report in respect of the following matters
where the Collective Investment Schemes (Class B) Rules
1990 require us to report to you if, in our opinion:
•
prepare the financial statements on the going concern
basis unless it is inappropriate to presume that the Unit
Trust will continue in business; and
•
the Manager has not kept proper accounting records; or
•
state whether applicable accounting standards have been
followed subject to any material departures disclosed and
explained in the financial statements.
the financial statements are not in agreement with the
accounting records; or
•
we have not received all the information and explanations,
which to the best of our knowledge and belief are
necessary for the purpose of our audit.
•
The manager is responsible for keeping proper accounting
records, which disclose with reasonable accuracy at any time
the financial position of the Unit Trust. It is also responsible
for safeguarding the assets of the Unit Trust and hence taking
reasonable steps for the prevention and detection of fraud and
other irregularities. Our responsibility is to audit and express
an opinion on the financial statements in accordance with
100
KPMG Channel Islands Limited
Chartered Accountants
19 December 2014
Circulation Restrictions
Prospective investors should not treat the contents of this document as advice relating to legal, taxation or investment matters
and are advised to consult their own professional advisers concerning the acquisition, holding or disposal of, as applicable,
Participating Shares in a cell of Asset Holder PCC Limited, or Units in a Unit Trust. This document does not constitute, and may
not be used for the purpose of, an offer or invitation to subscribe for any Participating Shares or Units by any person in any
jurisdiction (i) in which such offer or invitation is not authorised or (ii) in which the person making such offer or invitation is not
qualified to do so or (iii) to any person to whom it is unlawful to make such an offer or invitation. If you are not so permitted you
should return this document to Ashmore Investment Management Limited immediately. In particular, investors should read,
understand and comply with, to the extent possible, such statements and disclosures set out at “Important Information” and
“Jurisdictional Statements” of the Principal Particulars of a Unit Trust or a Company and such statements and disclosures set
out in the Application Form relating to a Unit Trust, or, as applicable, in the Supplemental Scheme Particulars and Application
Form relating to a particular cell of a Company.
Participating Shares and Units do not represent deposits or other liabilities of Ashmore Investment Management
Limited or any other member of the Ashmore Group of Companies. Investors’ holdings of Participating Shares and
Units are subject to investment risk, including possible delays in repayment and loss of income and principal invested.
Neither Ashmore Investment Management Limited nor any other member of the Ashmore Group of Companies in any
way stands behind the capital value and/or performance of Participating Shares and Units or of the assets held by any
Cell or Portfolio.
Ashmore Investment Advisors Limited
61 Aldwych
London
WC2B 4AE
United Kingdom
Authorised and regulated by the Financial Conduct Authority