Greenwich Loan Income Fund Limited CONSOLIDATED AND COMPANY ANNUAL - PDF document

Greenwich Loan Income Fund Limited Greenwich Loan Income Fund Limited CONSOLIDATED AND COMPANY ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2010

CONTENTS Page 1 Officers and Professional Advisers 2-3 Investment Policy 4-5 Chairman’s Statement 6-9 Directors’ Report 10 Report of the Independent Auditor 11 Consolidated and Company Income Statements 12 Consolidated and Company Statements of Comprehensive Income 13 Consolidated Statement of Financial Position 14 Company Statement of Financial Position 15 Consolidated Statement of Changes in Shareholders’ Equity 16 Company Statement of Changes in Shareholders’ Equity 17 Consolidated and Company Statements of Cash Flows 18-37 Notes to the Financial Statements 38-39 Portfolio Statement of the Group Greenwich Loan Income Fund Limited FOR THE YEAR ENDED 31 DECEMBER 2010

OFFICERS AND PROFESSIONAL ADVISERS Directors: Geoffrey Richard Miller (Non-Executive Chairman) Frederick Peter Forni (Non-Executive Director) Patrick Anthony Seymour Firth (Non-Executive Director) The address of the Directors is the registered office. Investment Manager: T2 Advisers, LLC 8 Sound Shore Drive, Suite 255 Greenwich Connecticut, 06830 United States Broker: Singer Capital Markets 1 Hanover Street London, W1S 1YZ United Kingdom Administrator: Butterfield Fulcrum Group (Guernsey) Limited Praxis Fund Services Limited (Terminated: 23 July 2010) (Appointed: 23 July 2010) 2nd Floor P.O. Box 296 Regency Court Sarnia House Glategny Esplanade Le Truchot St Peter Port St Peter Port Guernsey, GY1 3NQ Guernsey, GY1 4NA Channel Islands Channel Islands Custodian: Butterfield Bank (Guernsey) Limited P.O. Box 25 Regency Court Glategny Esplanade St Peter Port Guernsey, GY1 3AP Channel Islands Auditors: Grant Thornton Limited PO Box 313, Lefebvre House Lefebvre Street St Peter Port Guernsey, GY1 3TF Channel Islands Nominated adviser: Grant Thornton Corporate Finance 30 Finsbury Square London, EC2P 2YU United Kingdom Legal Advisers: In the Channel Islands: In the UK: Mourant Ozannes Stephenson Harwood 1 Le Marchant Street One, St Paul’s Churchyard St Peter Port London, EC4M 8SH Guernsey, GY1 4HP United Kingdom Channel Islands Registered office: P.O. Box 296 Sarnia House Le Truchot St Peter Port Guernsey, GY1 4NA Channel Islands 1 Greenwich Loan Income Fund Limited FOR THE YEAR ENDED 31 DECEMBER 2010

INVESTMENT POLICY General Investment Policy (as amended 11 January 2011) Greenwich Loan Income Fund Limited (the “Company”) has The Company seeks to achieve its investment objective through a appointed T2 Advisers, LLC to act as the discretionary investment policy of investing principally in syndicated corporate loans issued manager of the assets of the Company. Subject to the overall primarily by companies with experienced management, a significant supervision of the Board and to the investment objectives, policies financial or strategic sponsor, a strong competitive position and and restrictions of the Company, T2 Advisers: determines the positive cash flow. The main focus of these investments is US composition of the portfolio, the nature and timing of changes middle-market companies. thereto, and the manner of implementing such changes; identifies, evaluates and negotiates the structure of investments; arranges Investment will be either direct or indirect. Indirect investment will financing for the Company, subject to Board approval; and closes, be effected by investment in collateralised loan obligations (“CLOs”). monitors and services the investments. The Company may invest 100 per cent. of its assets in CLOs and will not seek to limit its exposure to any one issuer of CLOs. The investment policies of the Company and its subsidiary CLO I (the “Group”) are described herein. At the current time, virtually the Whilst there are no limits to the portfolio make up in terms of entire consolidated portfolio of the Company is invested at CLO I. industry sector, market capitalisation, credit rating or proportion in While there are investment limitations that CLO I has to maintain as listed or unlisted securities, it is intended that the portfolio, when required under its financing indenture (which is described in further viewed on the basis of the underlying businesses to which the detail below), the Company has no such limitations other than at the investments provide exposure, is spread across a broad range of time of purchase an investment is limited to 15% of the Company’s industries and businesses. consolidated gross assets. However, if the Company makes a large investment, in such circumstances it has the sole discretion to Subject to prior approval by the Company’s Board, where it is deemed syndicate or sell a portion of its initial investment. appropriate and beneficial to do so, the Company may also invest in equity, debt instruments (other than loans and CLOs) and other The Group invests primarily in syndicated corporate loans issued investment funds. Investment in equity and debt instruments (other primarily by companies traditionally defined as “middle market”, with than loans and CLOs) are subject to a maximum of 20 per cent. of experienced management, a significant financial or strategic sponsor, gross assets at the time of investment and any investment in the a strong competitive position and positive cash flow. The Company equity or debt instrument (other than loans or CLOs) of a single began with a particular focus on technology related companies and issuer will be subject to a maximum of 15 per cent. of gross assets at continues to leverage the technology-based expertise of its principals. the time of investment. Investment in closed-ended investment funds The investments are senior debt and have either a first or second lien shall be subject to a maximum of 10 per cent. of gross assets at the collateral position in the issuer’s assets. Investments made by CLO I time of investment. must also meet certain tests as required in the financing indenture which include but are not limited to debt ratings levels, currency The Company’s maximum exposure to US issuers is 100 per cent. of denomination, issuer’s location and investment concentration limits. gross assets. Investments outside of the US are limited to a maximum CLO I must also maintain portfolio limitations which include but are 50 per cent. of gross assets at the time of investment. not limited to weighted average maturity, minimum credit spread and maximum risk profile. 2 Greenwich Loan Income Fund Limited FOR THE YEAR ENDED 31 DECEMBER 2010

The maximum allowable gearing is 500 per cent. of the net asset value of the Company and its subsidiaries on a consolidated basis. Where investment is made into CLOs that are not considered subsidiaries of the Company, the borrowings of such CLOs will not be accounted for in the Company’s consolidated Statement of Financial Position and such gearing shall not be taken into account in calculating the maximum allowable gearing of the Company. To manage the risk of such additional gearing the Company may only invest a maximum of 50 per cent. of the Company’s consolidated net asset value at the time of investment in CLOs that are not considered subsidiaries of the Company for accounting purposes. It is expected that the portfolio will be at least 90 per cent. invested in most market conditions, although the Company may maintain larger cash weightings from time to time, to protect capital returns or pending identification of appropriate investment opportunities. The Company may enter into derivative transactions for the purpose of efficient portfolio management hedging (for example, interest rate, currency, or market exposure). Any material change to the investment policy would require Shareholder approval in accordance with the AIM Rules. In the event of any breach of the investment restrictions applicable to the Company, Shareholders will be informed of the remedial actions to be taken by the Company’s Board and the Investment Manager by an announcement issued through a Regulatory Information Service. 3 Greenwich Loan Income Fund Limited FOR THE YEAR ENDED 31 DECEMBER 2010