Highlights

Net profit for the year was USD 0.845m (2019: net loss of USD 1.1m).

Net Asset Value per share remains stable at USD 0.94 (2019: USD 0.99).

On 08 March 2021, the Company announced an interim dividend of USD 8m (USD 0.0488 per share) to members on the register on 19 March 2021. The dividend was paid on 16 April 2021.

CLO portfolio and warehouse generated USD 21.9m in distributions and USD 1.8m in net gains in 2020. 

Chairman's and Chief Executive's Review

Introduction

We are pleased to announce the financial results for Livermore Investments Group Limited ("Livermore" or "the Company") for the year ended 31 December 2020. References to the Company hereinafter also include its consolidated subsidiary (note 8). References to financial statements hereinafter are to the Company's consolidated financial statements.

The COVID-19 outbreak across the world has triggered tremendous human and economic hardship. Since February 2020, protective measures taken to contain spread of COVID-19 (lockdown) supressed demand in many sectors of the global economy and resulted in supply chain constraints globally. This led to immense job losses and exceptional turbulence in financial markets. In light of the extra-ordinary situation, the Company focussed on protecting its capital, maintaining continuous operations, and ensuring well-being of its employees and consultants.

Management cut warehousing risk before the COVID-19 related market sell-off took hold and maintained a high cash positions of over USD 60m through the end of the first half of the year. This conservative positioning helped the Company navigate the tremendous volatility and uncertainty that ensued and allowed the Company to participate in the recovery phase by deploying capital opportunistically.

We are pleased to report that the Company was successful in achieving all of the above objectives. Our net profit for the year was USD 0.845m (2019 net loss: USD 1.1m) and the year-end NAV was USD 0.94 per share (2019 NAV: USD 0.99 per share) after a dividend payment of USD 6m (USD 0.0343 per share).

The Company recorded net gains of USD 1.8m from its US CLO and warehousing portfolio. Interest and distribution income from the financial portfolio totalled USD 22.0m (2019: USD 29.0m). The Company ended the year with over USD 50.4m in cash at hand. During the second half of the year, the Company added exposure to US equity index ETFs as well as profitably traded some CLO BB tranches.

Financial Review

The NAV of the Company on 31 December 2020 was USD 163.9m (2019: USD 173.1m). Net profit, during the year was USD 0.845m, which represents earnings per share of USD 0.005.

Operating expenses were USD 2.8m (2019: USD 5.1m).

The overall change in the NAV is primarily attributed to the following:

Dividend & Buyback

At 21 February 2020, the Company paid an interim dividend of USD 6m (USD 0.0343 per share) to members on the register on 24 January 2020, as announced by the Board on 30 December 2019.

The Board of Directors will decide future dividends based on profitability, liquidity requirements, portfolio performance, market conditions, and the share price of the Company relative to its NAV.    

During 2021, the Company bought back 10,888,577 shares to be held in treasury for a total cost of USD 6.9m.  The Company had no shares in treasury as at 31 December 2020.

Richard B Rosenberg                                                                                        Noam Lanir

Chairman                                                                                                            Chief Executive Officer

25 May 2021

Review of Activities

Introduction and Overview

2020 will forever be etched in our minds. The COVID-19 pandemic, its immense economic and human devastation, and humanity's fight to survive - through medical and scientific breakthroughs, unparalleled monetary and fiscal stimulus, and individual stories of courage and sacrifice - will all go down in the annals of world history.

Although the year started well for most asset classes and ended even better, only their movements through the year tell the whole story. Once the virus spread out from China, equity and credit markets collapsed globally and developed nation bond yields declined sharply with safe-haven currencies such as the Swiss Franc and US Dollar appreciating, as country after country enforced lockdowns to protect its citizens and prevent their healthcare systems from complete collapse. Central banks and governments across the world responded swiftly and in good measure and seem to have saved the world from a deep economic depression. Global equity markets recovered sharply on these steps taken and hope for effective vaccines against COVID-19 propelled risk markets to further highs.

Floating rate loans in the US declined in line with the broader credit assets but were slower to recover on expectations of very low rates for very long. Rating agencies also acted quickly and downgraded a significant portion of the leveraged loan and high-yield market. The downgrades and a handful of defaults eroded over-collateralization cushions in most CLOs and resulted in steep decline in market valuations of CLO tranches. However, there were almost no forced sales. In April, over 25% of CLO equity in the market (especially short reinvestment period deals) tripped key tests and as expected, diverted some cash away from equity investors to bolster the CLO structure. By October, most CLO deals had recovered, and distributions were made to equity tranches.

Although the Company's CLO portfolio suffered mark-to-market declines, our CLO portfolio received distributions from almost all of our positions as we were positioned with stronger deals with longer reinvestment periods. Further, management had taken a very conservative approach focussed on capital preservation and retained a very high cash position of over USD 50m, allowing us to weather this storm and opportunistically add value through trading secondary CLO positions. For the 2020 year, our CLO and warehouse portfolio generated cash distributions of USD 21.9m. Management had one warehouse open pre-COVID-19 and swiftly converted it to a CLO prior to the market declines. Although the CLO market started to heal towards the end of the year, the mark-to-market declines did not fully recover and adjusted for the valuations, the net gain on the CLO and warehousing portfolio was USD 1.8m (2019: USD 3.35m). Our conservative approach resulted in gains in a year that saw most CLO equity investors experience losses.

For 2020, the Company reported NAV/share of USD 0.94 and net profit of USD 0.845m. Interest and distribution income amounted to USD 22.0m, of which, USD 21.9m was generated from the CLO and warehousing portfolio. The net return of the CLO and warehousing portfolio was USD 1.8m as mark-to-market changes contributed to a loss of USD 19m. Operating expenses amounted to USD 2.8m. In addition, the Company wrote down its investment in Evolution Venture and Elephant Capital. These write downs contributed to USD 3.7m in NAV decline.

During 2020 management added exposure to equity index ETFs mostly in the US to capture some market beta in light of the immense liquidity injected by Central Banks globally. In December 2020, the Company invested USD 10m in a new warehouse that has since been converted to a CLO, in April 2021, and generated a gain of USD 1.8m for 2021. The Company reduced its cash position somewhat ending the year with over USD 50.4m of cash at hand. 

The Company does not have an external management company structure and thus does not bear the burden of external management and performance fees. Furthermore, the interests of Livermore's management are aligned with those of its shareholders as management has a large ownership interest in Livermore shares.

Considering the strong liquidity positions of Livermore, together with its strong foothold in the US CLO markets as well as the robustness of its investment portfolio and the alignment of the management's interests with those of its shareholders, management believes that the company is well positioned to benefit from current conditions.

Global Investment Environment

An already weak global economy on account of trade tensions between the US and China as well as the uncertainty over the UK's exit from the European Union, was plunged sharply into a recession as the COVID-19 outbreak spread rapidly across the world. Preventive measures to slow the infection rate shut down several businesses sectors, disrupted global supply chains, and movement of people across borders was also restricted which varied from country to country.  The resulting jobs losses, especially in the travel, entertainment and retail sectors, inflicted significant economic damage in addition to the health crisis.  Due to lower global production capacity utilization and lower oil prices, consumer price inflation declined in advanced economies. In the second quarter of 2020, GDP in most countries was 10% to 20% lower than at the end of 2019. Unemployment levels rose in most countries and are still above pre crisis levels.

Thankfully, central Banks across the world acted swiftly to lower rates substantially and injected unprecedented amounts of liquidity to ensure orderly functioning of the global markets. In addition, governments responded quickly to provide stimulus, such as forgivable business financing, generous unemployment benefits and short-term work schemes, to blunt the impact of the crisis. These aggressive measures helped stabilize markets and supported household spending which in turn improved sentiments on financial markets by end of March. The decline in new infections, easing of the containment measures in the Summer months, and hopes for an effective vaccine to prevent COVID-19, increasingly allowed a strong recovery of the global economy in the third quarter.

USA: COVID-19 restrictions imposed by governments and the resulting behavioural changes by consumers and businesses resulted in GDP decline of 10% over the first half of 2020, and the unemployment rate spiked to a high of 14.8% in April. To counter the economic decline, the US Federal Reserve (the Fed) eased monetary policy significantly and cuts its policy rate by 1.5%, announced purchase of Treasury and mortgage-backed securities, and introduced various credit facilities to support the flow of credit to households and businesses and support functioning of financial markets. The US government also launched several fiscal measures to support the economy. Still, overall GDP declined 2.5% in 2020. The unemployment rate rose from 3.6% at the beginning of the year to nearly 15% but recovered to 6.3%. Headline inflation fell to 1.2%, from 1.8% in 2019 and remained below pre-COVID-19 levels. In August 2020, the Fed announced that it would seek to achieve inflation that averages 2% over time and is on track to moderately exceed 2% for some time.

Eurozone: COVID-19 spread throughout Europe from mid-February 2020 and most countries introduced restrictive public health measures to limit the spread of the pandemic. Although the measures were eased in May 2020, new strains and colder temperatures caused COVID-19 cases to spread again later in the year. Overall, GDP declined by 6.8% on average for the year. The unemployment rate in the Eurozone area increased, although the rapid expansion of short-time work schemes curtailed the rise. Unemployment rate in the Eurozone was 8.3% in December compared with 7.3% at the beginning of 2020. Eurozone countries and the European Central Bank (ECB) provided extensive fiscal policy support from March 2020 onwards. The ECB eased the conditions and increased the volume of its asset purchase programme. In addition to the short-time work schemes, member states provided liquidity support and loan guarantees for businesses, tax relief and investment in infrastructure. By the end of the year, the ECB had increased the programme to about 15% of GDP and planned to continue it until March 2022. The ECB signalled that it would not raise its key interest rates until inflation had sufficiently firmed.

Headline inflation in the Eurozone area fell to 0.3% in 2020, down from 1.2% in 2019. Core inflation was dampened in particular by declining prices for tourism services owing to the pandemic and a temporary reduction in value added tax in Germany.

Japan: In Japan, GDP declined by 4.9% as a result of the pandemic. In the first quarter, the public health measures were still moderate, but a six-week state of emergency declared in mid-April 2020 had a strong impact on economic activity. With the easing of measures in May2020, supported by fiscal policy and global demand, the economy recovered quickly although GDP had still not returned to pre-crisis levels by the end of the year. Labour market conditions remained difficult despite employment subsidies to avoid redundancies. Unemployment rose by almost 1% within the year and stood at 2.9% in December.  In Japan, core inflation was slightly negative as prices for tourism services, in particular, declined sharply in the second half of December 2020.

Since 2016, the Bank of Japan (BoJ) has placed yield curve control at the centre of its monetary policy. In 2020, it maintained the target for 10-year government bond yields at around 0% and its short-term deposit rate at - 0.1%. Further, it announced purchasing Japanese government bonds without an upper limit to stabilise the yield curve across all maturities. It also introduced measures to facilitate banks' lending to small and medium-sized enterprises in particular and increased its purchases of corporate bonds and equity exchange-traded funds (ETFs).

China: China recorded positive GDP growth of 2.3% despite the pandemic. Stringent containment measures put in place in January 2020 resulted in a decline in new infections. The measures were relaxed again in March 2020. After a historic contraction in the first quarter, economic activity recovered quickly, and China's GDP surpassed its pre-crisis level in the third quarter. The recovery was supported by public spending, financial assistance and temporary duty relief for companies. Exports benefited from the increased global demand for medical protective equipment and technical equipment for working from home. The labour market recovered significantly by the end of the year and in urban areas the unemployment rate in December 2020 was back in line with the 2019 levels of 5.2%. Headline inflation was slightly lower at 2.5%, while core inflation hit its lowest level in more than ten years at 0.8%.

To support the recovery, the People's Bank of China lowered its key rates, including its seven-day reverse repo rate by 0.3% to 2.2%, and reduced the reserve requirement ratio for smaller banks.

Brazil, India and Russia were severely affected by the COVID-19 crisis. In India, strict containment measures had a particularly severe impact on economic activity whereas Russia's economy suffered due to the weak global demand for oil. With the easing of containment measures from June 2020, economic activity recovered gradually in all three countries. Headline inflation initially declined in Brazil to 3.2% and Russia to 3.4% but rose in both countries towards the end of the year. In India, however, headline inflation rose to 6.6% as disrupted supply chains caused price increases. The central banks of Brazil, India and Russia also eased their monetary policies. In Brazil, the policy rate was reduced by 2.5% to 2%, in India by 1.15% to 4%, and in Russia by 2% to 4.25%.

Commodities: Commodity prices declined in the first half of the year on account of lower demand. The price of WTI oil futures for May 2020 futures fell temporarily to negative levels on concerns over delivery of physical barrels of oil when storage sites were reaching full maximisation. The oil price recovered as the global economy revived again in the second half of 2020 and output cuts made by OPEC.  Industrial metals prices also recovered from the decline in the first half of the year, supported by increased demand from China, and closed 2020 significantly higher than at the beginning of the year. Gold finished the year up 24.6%.

Equities and Bonds: Swift and plentiful monetary policy support helped financial markets recover and hopes for  efficient vaccine eventually propelled US equity markets to record highs. Global equity prices also recovered and sovereign credit spreads in emerging market economies and in the European periphery narrowed. In major developed economies, government yields remained near historical low levels amid continued monetary policy accommodation. Technology and work-from-home related stocks soared with the NASDAQ composite gaining a monstrous 43.6% (compared to 16.3% for the S&P 500). Small cap stocks in the Russell 2000 outpaced the S&P 500 by 3%, but also saw a steeper drawdown during times of volatility. US equities continued to outperform the European markets.

US government and corporate bonds had a positive year; however, their returns were primarily driven by support from the Federal Reserve's monetary policy. The Federal Reserve increased its portfolio of Treasury notes and bonds by 79% since March 2020, with its total assets reaching $7.3 trillion at the end of 2020.

Foreign exchange: At the onset of the COVID-19 pandemic and the ensuing flight-to-safety, the US Dollar and the Swiss Franc gained against most major currencies. However, as recovery took hold, the US Dollar depreciated, more than reversing its appreciation as policy easing by the Fed resulted in the US Dollar losing its interest-rate advantage. Further fiscal stimulus expectations in the US are likely to weigh on the dollar in the long term. The Swiss Franc was one of the most resilient currencies and also one of the best performers at the end of the year alongside the Euro and Australian Dollar with gains of 9% or more.

Loan Market: US Leveraged Loans fully recovered towards the end of 2020 despite a turbulent start. In light of the COVID-19 pandemic, rating agencies downgraded about 47% of the issuers (~USD 550 billion), the highest ever in a year (640 companies or $550 billion, or 47% of issuers) as reported by J.P. Morgan. Subsequently about 13.6% of the issuers were upgraded and the rate of loan defaults slowed towards end of 2020. The Credit Suisse Leverage Loan Index ("CSLLI") generated a return of 2.78%, while the Merrill Lynch High Yield Master II Index ("MLHYI") generated returns of 6.17%. According to S&P Capital IQ, total institutional loan issuance was $287.8 billion, down 7% from 2019, while total institutional loans outstanding stood at $1.2 trillion as of 31 December 2020. In 2020, mutual funds and ETFs investing in US leveraged loans withdrew $27 billion from the asset class, compared to a withdrawal of $38 billion in 2019. However, we expect this trend to reverse in 2021.

The 12-month trailing par-weighted default rate as of December 2020 was at 3.83% versus expectations of around 10% by rating agencies and bank analysts. This compares to 1.39% in 2019 and the long- term average default rate of 2.9%. Looking into 2021, we expect the default rate to moderate from 2020 levels but remain somewhat elevated.

CLO Market: The CLO market began 2020 strongly after a lacklustre 2019 with lower mezzanine tranches rally leading the way. However, the momentum quickly turned negative in the wake of the pandemic and the freezing of the credit markets. The new issue market was effectively shut down as CLO AAA spreads in the secondary market traded at over 400dm. By June, the market recovered somewhat with CLO AAAs in the mid-190s, and the CLO AAA spreads more or less fully recovered and ended the year close to 2019-year end levels.

Given the challenging environment, the refinancing and reset market option was out-of-the-money as liability spreads were higher than locked-in for existing CLOs. However, with the pace of tightening late in the year as well as the demand for yield in an otherwise yield-less fixed income universe, we expect strong demand to return in 2021 and CLO refinancing and reset market to reopen.

Against this backdrop, CLO equity had a challenging year as higher defaults and significantly higher downgrades eroded the over-collateralization cushion resulting in over 25% of CLOs diverting cash from CLO equity tranche to either buying additional loans or pay down liabilities. By October 2020, however, this number had declined sharply in line with the improvement in the loan market as well as active management and trading by CLO managers to reposition the loan portfolios. Although the loan market default rate remained at an elevated level, our CLOs experienced a much lower default rate due to active management and credit selection by CLO managers.

Sources: Board of Governors of the Federal Reserve System, European Central Bank (ECB), Swiss National Bank, Bloomberg, JP Morgan, Credit Suisse

Livermore's Strategy

The financial portfolio is focused on fixed income instruments which generate regular cash flows and include exposure mainly to senior secured and usually broadly syndicated US loans and to a limited extent emerging market debt through investments in CLOs. This part of the portfolio is geographically focused on the US.  

Strong emphasis is given to maintaining sufficient liquidity and low leverage at the overall portfolio level and to re-invest in existing and new investments along the economic cycle. 

Financial portfolio

The Company manages a financial portfolio valued at USD 99.6m as of 31 December 2020, which is invested mainly in fixed income and credit related securities.

The following is a table summarizing the financial portfolio as of year-end 2020.

Senior Secured Loans and Collateralized Loan Obligations (CLO):

US senior secured loans are a floating rate asset class with a senior secured claim on the borrower and with overall low volatility and low correlation to the equity market. CLOs are managed portfolios invested into diversified pools of senior secured loans and financed with long term financing.

Evaluating the late cycle behaviour in the credit and loan market, the Company had already started cutting down risk in late 2019. The Company started 2020 with over USD 56m in cash and one warehouse open. The CLO market performed strongly until the end of February and CLO tranches continued their late 2019 rally. Management took advantage of this tightening and refinanced one CLO to lower its cost of funding. However, as soon as COVID-19 started spreading outside China, management further cut down risk and exiting its open warehouse position with a net carry of USD 1.6m.

The spread of COVID-19 across Europe and US from early March 2020 caused widespread concern for health and markets declined sharply. The US Central Bank and government responded quickly and in good measure, stemming the decline in broader risk markets. This assistance, however, was not extended to borrowers in the leveraged loan market and the rating agencies quickly downgraded several credits causing significant declines in buffers for most CLOs. As a result, market values across CLO equity positions declined sharply. However, there were almost no forced sales. In April 2020, over 25% of CLO equity in the market (especially short reinvestment period deals) tripped key tests, and as expected, diverted some cash away from equity investors to improve the CLO structure. Our CLO portfolio, however, continued to receive distributions from almost all of our positions as we were positioned with stronger long reinvestment deals. 91% of the portfolio by market value was invested in CLOs with over two years of reinvestment period remaining at January 2020.

The loan market lagged initially but rallied strongly in the last quarter of 2020. Most IG rated CLO tranches recovered to prior year levels and BB and CLO equity valuations were also catching up. As the loan market re-opened, new loans were issued with wider spreads and LIBOR floors. LIBOR floors are very accretive to CLO equity as CLO liabilities do not have a positive LIBOR floor. The positive effect of LIBOR floors in the loan market already resulted in higher cash flows in the fourth quarter payments.

Management also took advantage of depressed and dislocated pricing levels in CLO BB tranches and opportunistically traded them in the second half of the year. In 2020, we received about USD 21.9m in cash distributions from the CLO and warehouse portfolio and we expect to receive strong distributions in the near future. Further, with CLO liability spreads tightening into the year-end and expectations for further tightening in 2021, management opened a new warehouse. As of the date of this report, management have converted this warehouse into a new issue CLO with the tightest liability spreads since 2018. This warehouse generated USD 1.6m in net carry.

As of the end of the year, all of the Company's US CLO equity positions were passing their Junior Overcollateralization (OC) tests. Management continues to actively monitor the CLO portfolio and position it towards longer reinvestment periods through recycling old CLOs into new or refinancing them with extended reinvestment periods, as well as conducting relative value and opportunistic trading. As of the date of this report, management has already refinanced four of its CLOs to lower their cost of funding and reset one 2017 CLO extending its reinvestment period by 5 years and also reduced its cost of funding.

We expect loan default rates to be moderate from 2020 levels but to continue to stay somewhat elevated. Management expects credit markets to remain benign in the near future given the amount of liquidity and lack of yield in investment grade fixed income.

The Company's CLO portfolio is divided into the following geographical areas:

Private Equity Funds 

The other private equity investments held by the Company are incorporated in the form of Managed Funds (mostly closed end funds) mainly in Israel and the emerging economies. The investments of these funds into their portfolio companies were mostly done in 2008 and 2009. The Company expects material exits of portfolio companies from funds to materialize over the next couple of years. 

The following summarizes the book value of the private equity funds as at year-end 2020.

Phytech: Phytech is an agriculture-technology company in Israel providing end-to-end solutions for achieving higher yields on crops and trees. In September 2020, Phytech raised USD 25m at a pre-money valuation of USD 105m. As part of the capital raise, the manager of the investment reduced its holding in Phytech and distributed USD 471k (versus our investment of USD 394k) in cash. Following these transactions, Livermore continues to hold 12.2% in Phytech Global Advisors Ltd, which in turns now holds 11.95% on a fully diluted basis in Phytech Ltd.

The following table reconciles the review of activities to the Company's financial assets as of 31 December 2020:

Events after the reporting date

Details of materials events after the reporting date are disclosed in note 28 to the financial statements.

Litigation

At the time of this Report, there is one matter in litigation that the Company is involved in. Further information is provided in note 23 to the financial statements.

Report of the Directors

The Directors submit their annual report and audited financial statements of the Company for the year ended 31 December 2020.

This report has been prepared on a voluntary basis and it does not contain all of the information that would have been required had it been prepared in accordance with the UK Companies Act 2006 guidance.

The Board's objectives

The Board's primary objectives are to supervise and control the management activities, business development, and the establishment of a strong franchise in the Company's business lines. Measures aimed at increasing shareholders' value over the medium to long-term, such as an increase in NAV are used to monitor performance.

The Board of Directors

Richard Barry Rosenberg (age 65) independent, Non-Executive Director, Chairman of the Board

Richard joined the Company in December 2004. He became Non-Executive Chairman on 31 October 2006.  He qualified as a chartered accountant in 1980 and in 1988 co-founded the accountancy practice SRLV.  He has considerable experience in giving professional advice to clients in the leisure and entertainment sector. Richard is a Director of a large number of companies operating in a variety of business segments.

Noam Lanir (age 54), Founder and Chief Executive Officer

Noam founded the Company in July 1998, to develop a specialist online marketing operation. Noam has led the growth and development of the Company's operations over the last twenty years which culminated in its IPO in June 2005 on AIM. Prior to 1998, Noam was involved in a variety of businesses mainly within the online marketing sector.  He is also the major shareholder of Babylon Ltd, an International Internet Company listed on the Tel Aviv Stock Exchange. He is also a major benefactor of a number of charitable organisations.

Ron Baron (age 53), Executive Director and Chief Investment Officer

Ron was appointed as Executive Director and Chief Investment Officer in August 2007. Ron has led the establishment and development of Livermore's investment platform as a leading specialized house in the credit space. Ron also has wide investment and M&A experience. From 2001 to 2006 Ron served as a member of the management at Bank Leumi, Switzerland and was responsible for investment activity. Prior to this he spent five years as a commercial lawyer advising banks and large corporations on corporate transactions, including buyouts and privatisations. Ron has over 18 years of experience as an investment manager with particular focus on the US credit market and CLOs.  He holds an MBA from INSEAD Fontainebleau and an LLB (LAW) and BA in Economics from Tel Aviv University. Ron is also the founder and owner of the Israel Cycling Academy a non-profit professional cycling team. 

Augoustinos Papathomas (age 58) independent, Non-Executive Director

Augoustinos joined the Board in February 2019. He is a trained and qualified UK Chartered Accountant. He is the senior Partner of APP Audit and APP Advisory in Cyprus with over 30 years of experience in assurance, taxation and advisory for local and international clients. He is also an insolvency practitioner with experience in many liquidations and receiverships. Augoustinos has served as a director in various bodies and organisations and currently he is the chairman of the Famagusta Chamber of Commerce and Industry in Cyprus.

Directors' responsibilities in relation to the financial statements

The Directors are responsible for preparing the Annual Report and the financial statements in accordance with applicable law and International Financial Reporting Standards as adopted by the European Union.

The Directors are required to prepare financial statements for each financial year which give a true and fair view of the financial position of the Company, and its financial performance and cash flows for that period.  In preparing these financial statements, the Directors are required to:

Select suitable accounting policies and then apply them consistently;

Make judgments and estimates that are reasonable and prudent;

State whether applicable accounting standards have been followed, subject to any material departures disclosed and explained in the financial statements;

Prepare the financial statements on the going concern basis unless it is inappropriate to presume that the Company will continue in business.

The Directors are responsible for keeping proper accounting records that are sufficient to show and explain the Company's transactions, and at any time enable the financial position of the Company to be determined with reasonable accuracy and enable them to ensure that the financial statements comply with the applicable law and International Financial Reporting Standards as adopted by the European Union.  They are also responsible for safeguarding the assets of the Company and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities.

The Directors are responsible for the maintenance and integrity of the corporate and financial information included on the Company's website.  Legislation in the British Virgin Islands governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.

Disclosure of information to the Auditor

In so far as the Directors are aware:

there is no relevant audit information of which the Company's auditor is unaware; and

the Directors have taken all steps that they ought to have taken to make themselves aware of any relevant audit information and to establish that the auditor is aware of that information.

Substantial Shareholdings

As at 19 March 2021 the Directors are aware of the following interests in 3 per cent or more of the Company's issued ordinary share capital:

* after consideration of the treasury shares bought during 2021.

Save as disclosed in this report and in the remuneration report, the Company is not aware of any person who is interested directly or indirectly in 3% or more of the issued share capital of the Company or could, directly or indirectly, jointly or severally, exercise control over the Company.

Details of transactions with Directors are disclosed in note 22 to the financial statements.

Corporate Governance Statement

Introduction

The Company recognises the importance of the principles of good Corporate Governance and the Board is pleased to accept its commitment to such high standards throughout the year. 

The Board Constitution and Procedures

The Company is controlled through the Board of Directors, which comprises of two independent Non-Executive Directors (one of which is the Board's Chairman) and two Executive Directors.  The Chief Executive's responsibility is to focus on co-ordinating the company's business and implementing Company strategy. 

A formal schedule of matters is reserved for consideration by the Board, which meets approximately four times each year.  The Board is responsible for implementation of the investing strategy as described in the circular to shareholders dated 6 February 2007 and adopted pursuant to shareholder approval at the Company's EGM on 28 February 2007.  It reviews the strategic direction of the Company, its codes of conduct, its annual budgets, its progress towards achievement of these budgets and any capital expenditure programmes.  In addition, the Directors have access to advice and services of the Company Secretary and all Directors are able to take independent professional advice if relevant to their duties.  The Directors receive training and advice on their responsibilities as necessary.  All Directors submit themselves to re-election at least once every three years.

Board Committees

The Board delegates clearly defined powers to its Audit and Remuneration Committees. The minutes of each Committee are circulated by the Board. 

Remuneration Committee

The Remuneration Committee comprises of the Non-Executive Chairman of the Board and a Non-Executive Director.  The Remuneration Committee considers the terms of employment and overall remuneration of the Executive Directors and key members of Executive management regarding share options, salaries, incentive payments and performance related pay.  The remuneration of Non-Executive Directors is determined by the Board.

Audit Committee

The Audit Committee comprises of the Non-Executive Chairman of the Board and a Non-Executive Director and is chaired by the Chairman of the Board.  The duties of the Committee include monitoring the auditor's performance and reviewing accounting policies and financial reporting procedures. 

The Quoted Company Alliance (QCA) Code

The Directors recognise the importance of good corporate governance and have chosen to apply the Quoted Companies Alliance Corporate Governance Code (the 'QCA Code'). The QCA Code was developed by the QCA in consultation with a number of significant institutional small company investors, as an alternative corporate governance code applicable to AIM companies. The underlying principle of the QCA Code is that "the purpose of good corporate governance is to ensure that the company is managed in an efficient, effective and entrepreneurial manner for the benefit of all shareholders over the longer term". The Directors anticipate that whilst the Company will continue to comply with the QCA Code, given the Group's size and plans for the future, it will also endeavour to have regard to the provisions of the UK Corporate Governance Code as best practice guidance to the extent appropriate for a company of its size and nature. To see how the Company addresses the key governance principles defined in the QCA Code please refer to the table listed on the Company's website, which was last reviewed and updated in February 2021.

A complete index of the disclosures required by the QCA Code, including those on the Company's website, can be found at http://www.livermore-inv.com/CorporateGovernance.

Communication with Investors

The Directors are available to meet with shareholders throughout the year.  In particular the Executive Directors prepare a general presentation for analysts and institutional shareholders following the interim and preliminary results announcements of the Company.  The chairman, Richard Rosenberg, is available for meetings with shareholders throughout the year.  The Board endeavours to answer all queries raised by shareholders promptly.

Shareholders are encouraged to participate in the Annual General Meeting at which the Chairman will present the key highlights of the Company's performance.  The Board will be available at the Annual General Meeting to answer questions from shareholders.

Internal Control

The Board is responsible for ensuring that the Company has in place a system of internal controls and for reviewing its effectiveness.  In this context, control is defined in the policies and processes established to ensure that business objectives are achieved cost effectively, assets and shareholder value safeguarded, and that laws and regulations are complied with.  Controls can provide reasonable but not absolute assurance that risks are identified and adequately managed to achieve business objectives and to minimise material errors, frauds and losses or breaches of laws and regulations.

The Company operates a sound system of internal control, which is designed to ensure that the risk of misstatement or loss is kept to a minimum.

Given the Company's size and the nature of its business, the Board does not consider that it is necessary to have an internal audit function.  An internal audit function will be established as and when the Company is of an appropriate size.

The Board undertakes a review of its internal controls on an ongoing basis.

Going Concern

The Directors have reviewed the current and projected financial position of the Company, making reasonable assumptions about interest and distribution income, future trading performance, valuation projections and debt requirements. On the basis of this review, the Directors have a reasonable expectation that the Company has adequate resources to continue in operational existence for the foreseeable future. Accordingly, they continue to adopt the going concern basis in preparing the Annual Report and accounts.

Independence of Auditor

The Board undertakes a formal assessment of the auditor's independence each year, which includes:

-a review of non-audit related services provided to the Company and related fees;

-discussion with the auditor of a written report detailing all relationships with the Company and any other parties which could affect independence or the perception of independence;

-a review of the auditor's own procedures for ensuring independence of the audit firm and partners and staff involved in the audit, including the rotation of the audit partner;

-obtaining written confirmation from the auditor that it is independent;

-a review of fees paid to the auditor in respect of audit and non-audit services.

Remuneration Report

The Directors' emoluments, benefits and shareholdings during the year ended 31 December 2020 were as follows:

Directors' Emoluments

Each of the Directors has a service contract with the Company.

The dates are presented in day / month / year format.

Directors' Interests

Interests of Directors in ordinary shares 

Notes:

a) Noam Lanir has his interest in ordinary shares by virtue of the fact that he owns directly or indirectly all of the issued share capital of Groverton Management Limited. Further information is provided in note 22 to the financial statements. --

Remuneration Policy

The Company's policy has been designed to ensure that the Company has the ability to attract, retain and motivate executive Directors and other key management personnel to ensure the success of the organization.

The following key principles guide its policy:

-policy for the remuneration of executive Directors will be determined and regularly reviewed independently of executive management and will set the tone for the remuneration of other senior executives.

-the remuneration structure will support and reflect the Company's stated purpose to maximize long-term shareholder value.

-the remuneration structure will reflect a just system of rewards for the participants.

-the overall quantum of all potential remuneration components will be determined by the exercise of informed judgement of the independent remuneration committee, taking into account the success of the Company and the competitive global market.

-a significant personal shareholding will be developed in order to align executive and shareholder interests.

-the assessment of performance will be quantitative and qualitative and will include exercise of informed judgement by the remuneration committee within a framework that takes account of sector characteristics and is approved by shareholders.

-the committee will be proactive in obtaining an understanding of shareholder preferences.

-remuneration policy and practices will be as transparent as possible, both for participants and shareholders

-the wider scene, including pay and employment conditions elsewhere in the Company, will be taken into account, especially when determining annual salary increases.

Review of the Business and Risks

Risks

The Board considers that the risks the Shareholders face can be divided into external and internal risks.

External risks to shareholders and their returns are those that can severely influence the investment environment within which the Company operates, and include economic recession, declining corporate profitability, higher corporate default rates and lower than historical recoveries, rising inflation and interest rates and excessive stock-market speculation.

The Company's portfolio is exposed to interest rate changes, credit risk, liquidity risk and volatility particularly in the US. In addition, the portfolio is exposed to currency risks as some of the underlying portfolio is invested in assets denominated in non-US currencies while the Company's functional currency is USD. Investments in certain emerging markets are exposed to governmental and regulatory risks. 

The mitigation of these risks is achieved by following micro and macroeconomic trends and changes, regular monitoring of underlying assets and price movements and investment diversification. The Company also engages from time to time in certain hedging activities to mitigate these risks.

As of the date of this report, large-scale vaccination programs and huge fiscal and monetary stimulus seem to have been successful in reducing the spread and health impact of the virus, as well as put most developed countries on a strong recovery course. Unfortunately, the virus continues to spread in less developed regions such as India and the risk of a vaccine-resistant mutated virus remains. The Company is primarily exposed to the US economy and is benefiting from the economic recovery as tighter credit spreads and reduced distressed credits increase the value of the Company's CLO portfolio. While the Company continues to be conservatively positioned with cash in excess of USD 45m as of 13 May 2021, the Company plans to increase its investments in the CLO market in the near-mid term. At the same time, the Company plans to maintain strong liquidity and stay debt free.

Internal risks to shareholders and their returns are related to Portfolio risks (investment and geography selection and concentration), balance sheet risk (gearing) and/or investment mismanagement risks. The Company's portfolio has a significant exposure to senior secured loans of US companies and therefore has a concentration risk to this asset class.

A periodic internal review is performed to ensure transparency of Company activities and investments. All service providers to the Company are regularly reviewed. The mitigation of the risks related to investments is effected by investment restrictions and guidelines and through reviews at Board Meetings.

As the portfolio of the Company is currently invested in USD denominated assets, movements in other currencies are expected to have a limited impact on the business.

On the asset side, the Company's exposure to interest rate risk is limited to the interest-bearing deposits and portfolio of bonds and loans in which the Company invests. Currently, the Company is primarily invested in sub-investment grade corporate loans through CLOs, which exposes the Company to credit risk (defaults and recovery rates, loan spreads over base rate) as well as liquidity risks in the CLO market.

Management monitors liquidity to ensure that sufficient liquid resources are available to the Company. The Company's credit risk is primarily attributable to its fixed income portfolio, which is exposed to corporate bonds with a particular exposure to the financial sector and to US senior secured loans.

Further information on Financial risk management is provided in note 26 of the financial statements.   

Share Capital

There was no change in the authorised share capital during the year to 31 December 2020. The authorised share capital is 1,000,000,000 ordinary shares with no par value.

Related party transactions

Details of any transactions of the Company with related parties during the year to 31 December 2020 are disclosed in note 22 to the financial statements.

By order of the Board of Directors

Chief Executive Officer

25 May 2021

Independent Auditor's Report to the Members of Livermore Investments Group Limited

Opinion

We have audited the consolidated financial statements of Livermore Investments Group Limited (the ''Company'') and its subsidiary Livermore Capital AG (the ''Group''), which are presented in pages 24 to 51  and comprise the consolidated statement of financial position as at 31 December 2020, and the consolidated statements of profit or loss, Consolidated statement of comprehensive income, Consolidated statement of changes in equity and Consolidated statement of cash flows for the year then ended, and notes to the consolidated financial statements, including a summary of significant accounting policies.

In our opinion, the accompanying consolidated financial statements give a true and fair view of the consolidated financial position of the Group as at 31 December 2020, and of its consolidated financial performance and its consolidated cash flows for the year then ended in accordance with International Financial Reporting Standards (IFRSs) as adopted by the European Union.

Basis for Opinion

We conducted our audit in accordance with International Standards on Auditing (ISAs). Our responsibilities under those standards are further described in the ''Auditor's Responsibilities for the Audit of the Consolidated Financial Statements'' section of our report. We are independent of the Group in accordance with the International Ethics Standards Board for Accountants' International Code of Ethics for Professional Accountants (including International Independence Standards) (IESBA Code) together with the ethical requirements that are relevant to our audit of the consolidated financial statements in Cyprus, and we have fulfilled our other ethical responsibilities in accordance with these requirements and the IESBA Code. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Emphasis of Matter - Uncertain Outcome of a Legal Claim

We draw attention to note 23 of the consolidated financial statements which describes the uncertainty outcome of a legal claim against one of the custodian banks that the Group and the Company uses on its behalf. Our opinion is not modified in respect of this matter.

Key Audit Matters

Key audit matters are those matters that, in our professional judgment, were of most significance in our audit of the consolidated financial statements of the current period. These matters were addressed in the context of our audit of the consolidated financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters. This is not a complete list of all risks identified by our audit.

Other Information

The Board of Directors is responsible for the other information. The other information comprises the information included in the Highlights, Chairman's and Chief Executive's Review, Review of Activities, Report of the Directors, Corporate Governance Statement, Remuneration report, Review of the Business and Risks, but does not include the consolidated financial statements and our auditor's report thereon.

Our opinion on the consolidated financial statements does not cover the other information and we do not express any form of assurance conclusion thereon.

In connection with our audit of the consolidated financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the consolidated financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard.

Responsibilities of the Board of Directors for the Consolidated Financial Statements

The Board of Directors is responsible for the preparation of consolidated financial statements that give a true and fair view in accordance with International Financial Reporting Standards as adopted by the European Union, and for such internal control as the Board of Directors determines is necessary to enable the preparation of consolidated financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the consolidated financial statements, the Board of Directors is responsible for assessing the Group's ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Board of Directors either intends to liquidate the Group or to cease operations, or has no realistic alternative but to do so.

Those charged with governance are responsible for overseeing the Group's financial reporting process.

Auditor's Responsibilities for the Audit of the Consolidated Financial Statements

Our objectives are to obtain reasonable assurance about whether the consolidated financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor's report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these consolidated financial statements.

As part of an audit in accordance with ISAs, we exercise professional judgment and maintain professional scepticism throughout the audit. We also:

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.

We also provide those charged with governance with a statement that we have complied with relevant ethical requirements regarding independence, and to communicate with them all relationships and other matters that may reasonably be thought to bear on our independence, and where applicable, related safeguards.

From the matters communicated with those charged with governance, we determine those matters that were of most significance in the audit of the consolidated financial statements of the current period and are therefore the key audit matters. We describe these matters in our auditor's report unless law or regulation precludes public disclosure about the matter or when, in extremely rare circumstances, we determine that a matter should not be communicated in our report because the adverse consequences of doing so would reasonably be expected to outweigh the public interest benefits of such communication.

Other Matter

This report, including the opinion, has been prepared for and only for the Group's members as a body and for no other purpose. We do not, in giving this opinion, accept or assume responsibility for any other purpose or to any other person to whose knowledge this report may come to.

The engagement partner on the audit resulting in this independent auditor's report is Mrs Froso Yiangoulli.

Livermore Investments Group Limited

Consolidated Statement of Financial Position as at 31 December 2020

These financial statements were approved by the Board of Directors on 25 May 2021.

 The notes 1 to 28 form part of these consolidated financial statements.

Livermore Investment Group Limited

Consolidated Statement of Profit or Loss for the year ended 31 December 2020

The profit / (loss) for the year is wholly attributable to the owners of the parent.

The notes 1 to 28 form part of these consolidated financial statements.

Livermore Investment Group Limited

Consolidated Statement of Comprehensive Income for the year ended 31 December 2020

The total comprehensive loss for the year is wholly attributable to the owners of the parent.

The notes 1 to 28 form part of these consolidated financial statements.

Livermore Investment Group Limited

Consolidated Statement of Changes in Equity for the year ended 31 December 2020

The notes 1 to 28 form part of these consolidated financial statements.

Livermore Investments Group Limited

Consolidated Statement of Cash Flows for the year ended 31 December 2020 

The notes 1 to 28 form part of these consolidated financial statements.

Notes on the Consolidated Financial Statements

1.    General Information

Incorporation, principal activity and status of the Company

1.1.   The Company was incorporated as an international business company and registered in the British Virgin Islands (BVI) on 2 January 2002 under IBC Number 475668 with the name Clevedon Services Limited. The liability of the members of the Company is limited.  

1.2.   The Company changed its name to Empire Online Limited on 5 May 2005 and then to Livermore Investments Group Limited on 28 February 2007.

1.3.   The principal activity of the Company changed to investment activities on 1 January 2007. Before that the principal activity of the Company was the provision of marketing services to the online gaming industry and, since 1 January 2006, the operation of online gaming.

1.4.   The principal legislation under which the Company operates is the BVI Business Companies Act, 2004.

1.5.   The Company is tax resident in the Republic of Cyprus.

1.6.   The registered office of the Company is located at Trident Chambers, PO Box 146, Road Town, Tortola, British Virgin Islands.

2.    Basis of preparation

The consolidated financial statements ("the financial statements") of Livermore Investments Group Limited have been prepared in accordance with International Financial Reporting Standards ("IFRS") adopted pursuant to Regulation (EC) No 1606/2002 as it applies in the European Union (EU).  The financial statements have been prepared on an accrual basis (other than for cash flow information) using the significant accounting policies and measurement bases summarised in note 3, and also on a going concern basis.

The financial information is presented in US dollars because this is the currency in which the Company primarily operates (i.e., the Company's functional currency).

References to the Company hereinafter also include its consolidated subsidiary (note 8).

The Directors have reviewed the accounting policies used by the Company and consider them to be the most appropriate.

3.    Accounting Policies

The significant accounting policies applied in the preparation of the financial statements are as follows:

3.1.   Adoption of new and revised IFRS 

As from 1 January 2020, the Company adopted any applicable new or revised IFRS and relevant amendments and interpretations which became effective, and also were endorsed pursuant to Regulation (EC) No 1606/2002 as it applies in the European Union.

The following IASB or IFRIC documents were issued by the date of authorisation of these financial statements but are not yet effective for the year ended 31 December 2020, or have not yet been endorsed either pursuant to Regulation (EC) No 1606/2002 as it applies in the European Union by 31 December 2020, or by the UK Endorsement Board (UKEB) after 31 December 2020:

The Board of Directors expects that when the above become effective in future periods, they will not have any material effect on the financial statements.

3.2.   Investments in subsidiaries and basis of consolidation

Subsidiaries are entities controlled either directly or indirectly by the Company.

Control is achieved where the Company is exposed, or has right, to variable returns from its involvement with a subsidiary and has the ability to affect those returns through its power over the subsidiary.

The Directors have determined that Livermore meets the definition of an investment entity, as this is defined in IFRS 10 "Financial Statements". As per IFRS 10 an investment entity is an entity that:

(a)     obtains funds from one or more investors for the purpose of providing those investors with investment management services;

(b)    commits to its investors that its business purpose is to invest funds solely for returns from capital appreciation, investment income, or both; and

(c)     measures and evaluates the performance of substantially all of its investments on a fair value basis.

An investment entity is exempted from consolidating its subsidiaries, unless any subsidiary which is not itself an investment entity mainly provides services that relate to the investment entity's investment activities.

The financial statements consolidate the Company and one of its subsidiaries providing such services (note 8 shows further details of the consolidated and unconsolidated subsidiaries).

Investments in unconsolidated subsidiaries are initially recognised at their fair value and subsequently measured at fair value through profit or loss.  Subsequently, any gains or losses arising from changes in their fair value are included in profit or loss for the year.

Dividends and other distributions from unconsolidated subsidiaries are recognised as income when the Company's right to receive payment has been established.

A subsidiary that is not an investment entity itself and which provides services that relate to the Company's investment activities is consolidated rather than included within the investments in subsidiaries measured at fair value through profit or loss.

The financial statements of the consolidated subsidiary are prepared using uniform accounting policies.  Where necessary, adjustments are made to the financial statements of consolidated subsidiary to bring its accounting policies into line with those used by the Company.  The consolidated subsidiary has a reporting date of 31 December.

All intra-group transactions, balances, income and expenses are eliminated on consolidation.

The results and cash flows of any consolidated subsidiary acquired or disposed of during the year are consolidated from the effective date of acquisition or up to the effective date of disposal.

3.3.   Interest and distribution income  

·     Interest income is recognised based on the effective interest method. 

·     Distribution income is recognised on the date that the Company's right to receive payment is established, which in the case of quoted securities is the ex-dividend date. 

3.4.   Foreign currency

The financial statements of the Company are presented in USD, which is the currency of the primary economic environment in which it operates (its functional currency). 

Transactions in foreign currencies are recorded at the rates of exchange prevailing on the dates of the transaction.  Monetary assets and liabilities denominated in non-functional currencies are translated into functional currency using year-end spot foreign exchange rates.  Non-monetary assets and liabilities are translated upon initial recognition using exchange rates prevailing at the dates of the transactions.  Non-monetary assets that are measured in terms of historical cost in foreign currency are not subsequently re-translated. 

Gains and losses arising on the settlement of monetary items and on the re-translation of monetary items are included in the profit or loss for the year.  Those that arise on the re-translation of non-monetary items carried at fair value are included in the profit or loss of the year as part of the fair value gain or loss except for differences arising on the re-translation of non-monetary financial assets designated at fair value through other comprehensive income in respect of which gains and losses are recognised in other comprehensive income.  For such non-monetary items any exchange component of that gain or loss is also recognised in other comprehensive income.      

The results and financial position of consolidated subsidiaries that have a functional currency different from US dollars are translated into the presentation currency as follows:

(a)   assets and liabilities are translated at the closing rate at the reporting date;

(b)   income and expenses and also cash flows are translated at an average exchange rate (unless this average is not a reasonable approximation of the cumulative effect of the rates prevailing on the transaction dates, in which case the items are translated at the rates prevailing at the dates of the transactions); and

(c)   exchange differences arising are recognised in other comprehensive income within the translation reserve.   Such translation exchange differences are reclassified to profit or loss in the period in which the foreign operation is disposed of.

3.5.   Taxation

Current tax is the tax currently payable based on taxable profit for the year in accordance with the applicable tax laws.

Current and deferred tax assets and liabilities are calculated at tax rates that are expected to apply to their respective period of realisation, provided they are enacted or substantively enacted as at the reporting date.

3.6.   Equity instruments

Equity instruments issued by the Company are recorded at proceeds received, net of direct issue costs.

The share premium account includes any premiums received on the initial issuing of the share capital. Any transaction costs associated with the issuing of shares are deducted from the premium received.
 

3.7.   Financial assets

Financial assets are recognised when the Company becomes a party to the contractual provisions of the financial instrument.

A financial asset is derecognised only where the contractual rights to the cash flows from the asset expire or the financial asset is transferred, and that transfer qualifies for derecognition.  A financial asset is transferred if the contractual rights to receive the cash flows of the asset have been transferred or the Company retains the contractual rights to receive the cash flows of the asset but assumes a contractual obligation to pay the cash flows to one or more recipients.  A financial asset that is transferred qualifies for derecognition if the Company transfers substantially all the risks and rewards of ownership of the asset, or if the Company neither retains nor transfers substantially all the risks and rewards of ownership but does transfer control of that asset.

The Company classifies its financial assets in the following measurement categories:

(a)    those to be measured at fair value (either through other comprehensive income, or through profit or loss), and

(b)    those to be measured at amortised cost.

At initial recognition, the Company measures a financial asset at its fair value plus, in the case of a financial asset not at fair value through profit or loss, transaction costs that are directly attributable to the acquisition of the financial asset. Transaction costs of financial assets carried at fair value through profit or loss are expensed in profit or loss.

Financial assets at fair value through profit or loss

The Company classifies the following financial assets at fair value through profit or loss:

(a)    equity investments that are held for trading;

(b)    other equity investments for which the Directors have not elected to recognise fair value gains and losses through other comprehensive income; and

(c)    debt investments that do not qualify for measurement at either amortised cost or at fair value through other comprehensive income.

All financial assets within this category are measured at their fair value, with changes in value recognised in the profit or loss when incurred.

Financial assets at fair value through other comprehensive income

Financial assets at fair value through other comprehensive income (OCI) comprise equity securities which are not held for trading, and for which the Company has made an irrevocable election at initial recognition to recognise changes in fair value through OCI rather than profit or loss.

Where the Company's management has elected to present fair value gains and losses on equity investments in other comprehensive income, there is no subsequent reclassification of fair value gains and losses to profit or loss. Dividends from such investments continue to be recognised in profit or loss when the Company's right to receive payments is established.

Financial assets at amortised cost

Assets that are held for collection of contractual cash flows where those cash flows represent solely payments of principal and interest are measured at amortised cost. A gain or loss on a financial asset that is measured at amortised cost is recognised in profit or loss when the asset is derecognised or impaired. Interest income from these financial assets is recognised based on the effective interest rate method.

The classification of debt instruments depends on the entity's business model for managing the financial assets and the contractual terms of the cash flows. Financial assets with embedded derivatives are considered in their entirety when determining whether their cash flows are solely payment of principal and interest.

Impairment

The Company assesses the expected credit losses associated with its assets carried at amortised cost, on a forward-looking basis. The impairment methodology applied depends on whether there has been a significant increase in credit risk. For trade and other receivables only, the Company applies the simplified approach permitted by IFRS 9, which permits expected lifetime losses to be recognised from initial recognition of the receivables.

Write offs

The Company writes off a financial asset when there is information indicating that the counterparty is in severe financial difficulty and there is no realistic prospect of recovery, e.g., when the counterparty has been placed under liquidation or has entered into bankruptcy proceedings. Financial assets written off may still be subject to enforcement activities, taking into account legal advice where appropriate. Any recoveries made are recognised in profit or loss.

3.8.   Financial liabilities

Financial liabilities are recognised when the Company becomes a party to the contractual provisions of the financial instrument.

A financial liability is derecognised when it is extinguished, discharged, cancelled or expires.

Financial liabilities at amortised cost

Financial liabilities are measured initially at fair value plus transaction costs.

After initial recognition financial liabilities are measured at amortised cost using the effective interest rate method.

3.9.   Cash and cash equivalents

Cash comprises cash in hand and on demand deposits with banks.  Cash equivalents are short term, highly liquid investments that are readily convertible to known amounts of cash.  They include unrestricted short-term bank deposits originally purchased with maturities of three months or less.

Any bank overdrafts are considered to be a component of cash and cash equivalents, since they form an integral part of the Company's cash management.  

3.10. Segment reporting

In making investment decisions, Management assesses individual investments and then, in analysing their performance, it receives and uses information for each investment product separately rather than based on any segmental information. Given that, Management regards that all the Company's activities fall under a single operating segment.

3.11. Critical accounting judgments and key sources of estimation uncertainty

The preparation of financial statements in conformity with IFRS requires the use of certain critical accounting estimates and requires management to exercise its judgement in the process of applying the Company's accounting policies. It also requires the use of assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period.  Although these estimates are based on management's best knowledge of current events and actions, actual results may ultimately differ from those estimates.

Estimates and judgements are continually evaluated and are based on historical experience and other factors, including expectations of future events that are believed to be reasonable under the circumstances.

Critical accounting judgements

(i)   Classification of financial assets

Management exercises significant judgement in determining the appropriate classification of the financial assets of the Company. The Directors determine the appropriate classification of the Company's financial assets based on Livermore's business model. An entity's business model refers to how an entity manages its financial assets in order to generate cash flows, considering all relevant and objective evidence.  The factors considered include the contractual terms and characteristics which are very carefully examined, and also the Company's intentions and expected needs for realisation of the financial assets.

All investments (except from certain equity instruments that are designated at fair value through other comprehensive income) are classified as financial assets at fair value through profit or loss, because this reflects more fairly the way these assets are managed by the Company. The Company's business is investing in financial assets with a view to profiting from their total return in the form of income and capital growth. This portfolio of financial assets is managed, and its performance evaluated on a fair value basis, in accordance with a documented investment strategy, and information about the portfolio is provided internally on that basis to the Company's Board of Directors and other key management personnel.

(ii)  Consolidation of subsidiary

Management exercised significant judgment in determining which of the subsidiaries that are not investment entities themselves, provide services that relate to the Company's investment activities and therefore need to be consolidated rather than included within the investments in subsidiaries measured at fair value through profit or loss.

Estimation uncertainty

Fair value of financial instruments

Management uses valuation techniques in measuring the fair value of financial instruments, where active market quotes are not available. Details of the bases used for financial assets and liabilities are disclosed in note 7.  In applying the valuation techniques management makes maximum use of market inputs, and uses estimates and assumptions that are, as far as possible, consistent with observable data that market participants would use in pricing the instrument. Where applicable data is not observable (level 3), management uses its best estimates which may vary from the actual prices that would be achieved in an arm's length transaction at the reporting date. Further information on level 3 valuations of financial assets is provided in note 7.2.

4.        Financial assets at fair value through profit or loss

For description of each of the above categories, refer to note 6.

The above investments represent financial assets that are mandatorily measured at fair value through profit or loss.

The Company treats its investments in the loan market through CLOs as non-current investments as the Company generally intends to hold such investments over a period longer than twelve months.

5.        Financial assets at fair value through other comprehensive income

For description of each of the above categories, refer to note 6.

The above investments are non-trading equity investments that have been designated at fair value through other comprehensive income.

6.        Financial assets at fair value

The Company allocates its non-derivative financial assets at fair value (notes 4 and 5) as follows:

-Fixed income investments relate to fixed and floating rate bonds, perpetual bank debt, investments in the loan market through CLOs, and investments in open warehouse facilities.

-Public equity investments relate to investments in shares of companies listed on public stock exchanges.

-Private equities relate to investments in the form of equity purchases in both high growth opportunities in emerging markets and deep value opportunities in mature markets. The Company generally invests directly in prospects where it can exert influence. Main investments under this category are in the fields of real estate. 

7.        Fair value measurements of financial assets and liabilities

The table in note 7.2 presents financial assets and liabilities measured at fair value in the consolidated statement of financial position in accordance with the fair value hierarchy.  This hierarchy groups financial assets and liabilities into three levels based on the significance of inputs used in measuring the fair value of the financial assets and liabilities. The fair value hierarchy has the following levels:

-       Level 1: quoted prices (unadjusted) in active markets for identical assets or liabilities that the entity can access at the measurement date;

-       Level 2: inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly; and

-       Level 3: unobservable inputs for the asset or liability.

The level within which the financial asset is classified is determined based on the lowest level of significant input to the fair value measurement.

7.1          Valuation of financial assets

·    Fixed Income Investments and Public Equity Investments are valued per their closing market prices on quoted exchanges, or as quoted by market maker. Investments in open warehouse facilities that have not yet been converted to CLOs, are valued based on an adjusted net asset valuation.   

The Company values the CLOs based on the valuation reports provided by market makers. CLOs are typically valued by market makers using discounted cash flow models. The key assumptions for cash flow projections include default and recovery rates, prepayment rates and reinvestment assumptions on the underlying portfolios (typically senior secured loans) of the CLOs.

Default and recovery rates: The amount and timing of defaults in the underlying collateral and the amount and timing of recovery upon a default are key to the future cash flows a CLO will distribute to the CLO equity tranche. All else equal, higher default rates and lower recovery rates typically lead to lower cash flows. Conversely, lower default rates and higher recoveries lead to higher cash flows.

Prepayment rates: Senior loans can be pre-paid by borrowers. CLOs that are within their reinvestment period may, subject to certain conditions, reinvest such prepayments into other loans which may have different spreads and maturities. CLOs that are beyond their reinvestment period typically pay down their senior liabilities from proceeds of such pre-payments. Therefore, the rate at which the underlying collateral prepays impacts the future cash flows that the CLO may generate.

Reinvestment assumptions: A CLO within its reinvestment period may reinvest proceeds from loan maturities, prepayments, and recoveries into purchasing additional loans. The reinvestment assumptions define the characteristics of the loans that a CLO may reinvest in. These assumptions include the spreads, maturities, and prices of such loans. Reinvestment into loans with higher spreads and lower prices will lead to higher cash flows. Reinvestment into loans with lower spreads will typically lead to lower cash flows.

Discount rate: The discount rate indicates the yield that market participants expect to receive and is used to discount the projected future cash flows. Higher yield expectations or discount rates lead to lower prices and lower discount rates lead to higher prices for CLOs.     

·    Private Equities are valued using market valuation techniques as determined by the Directors, mainly on the basis of valuations reported by third-party managers of such investments.  Real Estate entities are valued by independent qualified property valuers with substantial relevant experience on such investments. Underlying property values are determined based on their estimated market values.    

·    Investments in subsidiaries are valued at fair value as determined on a net asset valuation basis. The Company has determined that the reported net asset value of each subsidiary represents its fair value at the end of the reporting period.

7.2 Fair value hierarchy

Financial assets measured at fair value in the consolidated statement of financial position are grouped into the fair value hierarchy as follows:           

The Company has no financial liabilities measured at fair value.

The methods and valuation techniques used for the purpose of measuring fair value are unchanged compared to the previous reporting year.

No financial assets have been transferred between different levels. 

Financial assets within level 3 can be reconciled from beginning to ending balances as follows:

The above gains and losses recognised can be allocated as follows:

The Company has not developed any quantitative unobservable inputs for measuring the fair value of its level 3 financial assets at 31 December 2020 and 2019.  Instead, the Company used prices from third-party pricing information without adjustment.

Fixed income investments within level 3 represent open warehouses that have been valued based on their net asset value.  The net asset value of a warehouse is primarily driven by the fair value of its underlying loan asset portfolio (as determined by the warehouse's manager) plus received and accrued interest less the nominal value of the financing and accrued interest on the financing. In all cases, due to the nature and the short life of a warehouse, the carrying amounts of the warehouses' underlying assets and liabilities are considered as representative of their fair values.

Private equities within level 3 represent investments in private equity funds.  Their value has been determined by each fund manager based on the funds' net asset value. Each fund's net asset value is primarily driven by the fair value of its underlying investments. In all cases, considering that such investments are measured at fair value, the carrying amounts of the funds' underlying assets and liabilities are considered as representative of their fair values.

Investments in subsidiaries have been valued based on their net asset position. The main assets of the subsidiaries represent investments measured at fair value and receivables from the Company itself as well as third parties.  Their net asset value is considered as a fair approximation of their fair value.

A reasonable change in any individual significant input used in the level 3 valuations is not anticipated to have a significant change in fair values as above.

8.    Investments in subsidiaries

Details of the investments in which the Company has a controlling interest as at 31 December 2020 are as follows:

9.        Trade and other receivables

For the Company's receivables of a financial nature, no lifetime expected credit losses and no corresponding allowance for impairment have been recognised, as their default rates have been determined to be close to 0%.

No receivable amounts have been written-off during either 2020 or 2019.

10.      Cash and cash equivalents

Cash and cash equivalents included in the consolidated statement of cash flows comprise the following at the reporting date:

11.      Share capital

Authorised share capital

The Company has authorised share capital of 1,000,000,000 ordinary shares with no par value, and no restrictions.

12.      Trade and other payables

13.      Dividend

At 21 February 2020, the Company paid an interim dividend of USD 6m (USD 0.0343 per share) to members on the register on 24 January 2020, as announced by the Board on 30 December 2019.

14.      Net asset value per share

Net asset value per share has been calculated by dividing the net assets attributable to ordinary shareholders by the closing number of ordinary shares in issue during the relevant financial periods. 

The diluted net asset value per share equals the basic net asset value per share since no potentially dilutive shares exist as at 31 December 2020 and 2019.

15.      Segment reporting

The Company's activities fall under a single operating segment.

The Company's investment income and its investments are divided into the following geographical areas:

Investment income, comprising interest and distribution income as well as fair value gains or losses on investments, is allocated on the basis of the issuer's location. Investments are also allocated based on the issuer's location.

The Company has no significant dependencies, in respect of its investment income, on any single issuer.

16.      Interest and distribution income

Interest and distribution income is analysed between different categories of financial assets, as follows:

The Company's distribution income derives from multiple issuers.  The Company does not have concentration to any single issuer. 

17.  Fair value changes of investments

The investments disposed of had the following cumulative (i.e., from the date of their acquisition up to the date of their disposal) financial impact in the Company's net asset position:

* difference between disposal proceeds and original acquisition cost

18.      Operating expenses

Throughout 2020 the Company employed 4 members of staff (2019: 4). Two of those members are the Company's executive Directors. 

Other salaries and expenses include USD 16,527 of social insurance and similar contributions (2019: USD 10,708), as well as USD 3,148 of defined contributions plan costs (2019: USD 4,898).   

19.      Finance costs and income

20.      Taxation

The Company is a British Virgin Islands (BVI) international business company and until early 2019 was not subject to corporation tax, under the BVI laws.  During 2019 the Company became a tax resident in the Republic of Cyprus and since then it is subject to taxation under the tax laws and regulations in Cyprus.

The current tax charge relates to the results of the Company for 2020, as explained above, and the Company's consolidated subsidiary in Switzerland (note 8).

21.      Earnings / (loss) per share

The basic earnings / (loss) per share has been calculated by dividing the profit / (loss) for the year attributable to ordinary shareholders of the Company by the weighted average number of ordinary shares in issue of the Company during the relevant financial year. 

The diluted earnings / (loss) per share equals the basic earnings / (loss) per share since no potentially dilutive shares were in existence during 2020 and 2019.

22.      Related party transactions

The Company is controlled by Groverton Management Ltd, an entity owned by Noam Lanir, which at 31 December 2020 held 76.62% (2019: 76.62%) of the Company's voting rights.

(1)   The amounts receivable from unconsolidated subsidiaries and any Director's current accounts with debit balances are interest free, unsecured, and have no stated repayment date.

(2)   A loan with a balance at 31 December 2020 of USD 1m was made during 2019 to a key management employee and a Company's Director. The loan is free of interest, is unsecured and is repayable on demand. This loan is included within trade and other receivables (note 9).

(3)   A loan with a balance at 31 December 2020 of USD 6.93m was made to the Company's parent, Groverton Management Ltd. The loan is free of interest, is unsecured and is repayable on demand. This loan is included within trade and other receivables (note 9).

(4)   The amounts payable to unconsolidated subsidiaries and Director's current accounts with credit balances are interest free, unsecured, and have no stated repayment date. 

(5)   A loan with a balance at 31 December 2020 of USD 0.149m has been received from a related company (under common control), Chanpak Ltd. The loan is free of interest, is unsecured and is repayable on demand. This loan is included within trade and other payables (note 12). 

(6)   The amount payable to other key management personnel relates to payments made on behalf of the Company for investment purposes and accrued consultancy fees. 

(7)   These payments were made directly to companies which are related to the Directors.   

(8)   Other key management fees are included within professional fees (note 18).  

No social insurance and similar contributions nor any other defined benefit contributions plan costs were incurred for the Company in relation to its key management personnel in either 2020 or 2019.

Noam Lanir, through an Israeli partnership, was the major shareholder of Babylon Ltd, an Israel based Internet Services Company. Noam Lanir sold his interest in Babylon during the first half of 2020. Babylon Ltd changed its name to ABRA INFO TECH BR immediately after the sale. The Company as of 31 December 2020 held a total of 1.941m shares at a value of USD 2.224m (2019: 1.941m shares at a value of USD 1.199m) which represents 4% of its effective voting rights. The investment in ABRA INFO TECH BR is held through the Company's subsidiary Livermore Israel Investments Ltd. 

23.      Litigation

Fairfield Sentry Ltd vs custodian bank and beneficial owners

One of the custodian banks that the Company used faces a contingent claim up to USD 2.1m, and any interest as will be decided by a US court and related legal fees, with regards to the redemption of shares in Fairfield Sentry Ltd, which were bought in 2008 at the request of Livermore and on its behalf. If the claim proves to be successful Livermore will have to compensate the custodian bank since the transaction was carried on Livermore's behalf. The same case was also filed in BVI where the Privy Council ruled against the plaintiffs.

As a result of the surrounding uncertainties over the existence of any obligation for Livermore, as well as for the potential amount of exposure, the Directors cannot form an estimate of the outcome for this case and therefore no provision has been made.

No further information is provided on the above case as the Directors consider it could prejudice its outcome.

24.      Commitments

The Company has expressed its intention to provide financial support to its subsidiaries, where necessary, to enable them to meet their obligations as they fall due.

Other than the above, the Company has no capital or other commitments as at 31 December 2020.

25.      Impact of COVID-19

As of the date of this report, large-scale vaccination programs and huge fiscal and monetary stimulus seem to have been successful in reducing the spread and health impact of the virus, as well as put most developed countries on a strong recovery course. Unfortunately, the virus continues to spread in less developed regions such as India and the risk of a vaccine-resistant mutated virus remains. The Company is primarily exposed to the US economy and is benefiting from the economic recovery as tighter credit spreads and reduced distressed credits increase the value of the Company's CLO portfolio. While the Company continues to be conservatively positioned with cash in excess of USD 45m as of 13 May 2021, the Company plans to increase its investments in the CLO market in the near-mid term. At the same time, the Company plans to maintain strong liquidity and stay debt free.

26.  Financial risk management objectives and policies

Background

The Company's financial instruments comprise financial assets at fair value through profit or loss, financial assets at fair value through other comprehensive income, and financial assets and liabilities at amortised cost that arise directly from its operations.  For an analysis of financial assets and liabilities by category, refer to note 27.

Risk objectives and policies

The objective of the Company is to achieve growth of shareholder value, in line with reasonable risk, taking into consideration that the protection of long-term shareholder value is paramount. The policy of the Board is to provide a framework within which the investment manager can operate and deliver the objectives of the Company.

Risks associated with financial instruments

Foreign currency risk

Foreign currency risks arise in two distinct areas which affect the valuation of the investment portfolio, 1) where an investment is denominated and paid for in a foreign currency; and 2) where an investment has substantial exposure to non-US Dollar underlying assets or cash flows denominated in a foreign currency. The Company in general does not hedge its currency exposure. The Company discretionally and partially hedges against foreign currency movements affecting the value of the investment portfolio based on its view on the relative strength of certain currencies.  Any hedging transactions represent economic hedges; the Company does not apply hedge accounting in any case.  Management monitors the effect of foreign currency fluctuations through the pricing of the investments. The Company's exposure to financial instruments denominated in foreign currencies is the following:

Also, some of the USD denominated investments are backed by underlying assets which are invested in non-USD assets. For instance, investments in certain emerging market private equity funds are denominated in USD but the funds in turn have invested in assets denominated in non-USD currencies.

A 10% increase of the following currency rates against the rate of United States Dollar (USD) at 31 December would have the following impact.  A 10% decrease of the following currencies against USD would have an approximately equal but opposite impact.

The above analysis assumes that all other variables in particular, interest rates, remain constant. 

Interest rate risk

The Company is exposed to interest rate risk on its interest-bearing instruments which are affected by changes in market interest rates.

As at 31 December 2020 and 31 December 2019, the Company had no financial liabilities that bore an interest rate risk.

Interest rate changes will also impact equity prices. The level and direction of changes in equity prices are subject to prevailing local and world economics as well as market sentiment all of which are very difficult to predict with any certainty.

The Company has fixed and floating rate financial assets including bank balances that bear interest at rates based on the banks floating interest rates.  In particular, the fair value of the Company's fixed rate financial assets is likely to be negatively impacted by an increase in interest rates.  The interest income of the Company's floating rate financial assets is likely to be positively impacted by an increase in interest rates.

The Company has exposure to US bank loans through CLO equity tranches as well as through warehousing facilities. An investment in the CLO equity tranche or first loss tranche of a warehouse represents a leveraged investment into such loans. As these loans (assets of a CLO) and the liabilities of a CLO are floating rate in nature (typically 3-month LIBOR as the base rate), the residual income to CLO equity tranches and warehouse first loss tranches is normally linked to the floating rate benchmark and thus normally do not carry substantial interest rate risk.

The Company's financial assets affected by interest rate changes are as follows:     

An increase of 1% (100 basis points) in interest rates would have the following impact in profit or loss and consequently to equity as well.  An equivalent decrease would have an approximately equal but opposite impact.  There would be no impact in other comprehensive income.

The above analysis assumes that all other variables, in particular currency rates, remain constant.  

Market price risk

By the nature of its activities, most of the Company's investments are exposed to market price fluctuations. The Board monitors the portfolio valuation on a regular basis and consideration is given to hedging or adjusting the portfolio against large market movements.

The Company had no single major financial instrument that in absolute terms and as a proportion of the portfolio could result in a significant reduction in the NAV and share price.  Due to the very low exposure of the Company to public equities, and having no specific correlation to any market, the equity price risk is low.  The portfolio as a whole does not correlate exactly to any Index.

Management of risks is primarily achieved by having a diversified portfolio to spread the market price risk. The Company mainly has investments in CLO equity tranches as well as first loss tranches of warehouse facilities. Investments in the equity tranche of US CLOs represent a levered exposure to senior secured corporate loans in the US, and are thus subject to many risks including but not limited to lack of liquidity, credit or default risk, and risks related to movements in market prices as well as the variations of risk premium in the market.

Prices of these CLO investments may be volatile and will generally fluctuate due to a variety of factors that are inherently difficult to predict, including but not limited to changes in prevailing credit spreads and yield expectations, interest rates, underlying portfolio credit quality and market expectations of default rates on non-investment grade loans, general economic conditions, financial market conditions, legal and regulatory developments, domestic and international economic or political events, developments or trends in any particular industry, and the financial condition of the obligors that constitute the underlying portfolio.

A 10% uniform change in the value of the Company's portfolio of financial assets (excluding level 3 investments) would result in a 5.46% change in the net asset value as at 31 December 2020 (2019: 5.85%), and would have the following impact in profit or loss and consequently to equity as well (either positive or negative, depending on the corresponding sign of the change). There would be no impact in other comprehensive income.

Derivatives

The Investment Manager may use derivative instruments in order to mitigate market risk or to take a directional investment. These provide a limited degree of protection and would not materially impact the portfolio returns if a large market movement did occur.

Credit risk

The Company invests in a wide range of securities with various credit risk profiles including investment grade securities and sub investment grade positions. The investment manager mitigates the credit risk via diversification across issuers. However, the Company is exposed to a migration of credit rating, widening of credit spreads and default of any specific issuer.

The Company only transacts with regulated institutions on normal market terms which are trade date plus one to three days. The levels of amounts outstanding from brokers are regularly reviewed by the management. The duration of credit risk associated with the investment transactions is the period between the date the transaction took place, the trade date and the date the stock and cash are transferred, the settlement date. The level of risk during the period is the difference between the value of the original transaction and its replacement with a new transaction.

The Company is mainly exposed to credit risk in respect of its fixed income investments (mainly CLOs) and to a lesser extend in respect of its financial assets at amortised cost, and other instruments held for trading (perpetual bonds).  

The Company's maximum credit risk exposure at 31 December is as follows:

No collaterals are held by the Company itself in relation to the Company's financial assets subject to credit risk.

The fair values of the above financial assets at fair value through profit or loss are also affected by the credit risk of those instruments.  However, it is not practical to provide an analysis of the changes in fair values due to the credit risk impact for the year or previous periods, nor to provide any relevant sensitivity analysis.

The Company has exposure to US senior secured loans and to a lesser degree emerging market loans through CLO equity tranches as well as warehouse first loss tranches. These loans are primarily non-investment grade loans or interests in non-investment grade loans, which are subject to credit risk among liquidity, market value, interest rate, reinvestment and certain other risks. It is anticipated that these non-investment grade loans generally will be subject to greater risks than investment grade corporate obligations.

A non-investment grade loan or debt obligation or an interest in a non-investment grade loan is generally considered speculative in nature and may become a defaulted security for a variety of reasons. A defaulted security may become subject to either substantial workout negotiations or restructuring, which may entail, among other things, a substantial reduction in the interest rate, a substantial write-down of principal, and a substantial change in the terms, conditions and covenants with respect to such defaulted security. In addition, such negotiations or restructuring may be quite extensive and protracted over time, and therefore may result in substantial uncertainty with respect to the ultimate recovery on such defaulted security. Bank loans have historically experienced greater default rates than has been the case for investment grade securities. 

The Company has no investment in sovereign debt as at 31 December 2020 or 2019.

At 31 December the credit rating distribution of the Company's asset portfolio subject to credit risk was as follows:

Included within "not rated" amounts are investments in loan market through CLOs (equity tranches) of USD 77.006m and open warehouses of USD 10.036m (2019: CLOs of USD 98.417m and open warehouses of USD 0.0m). 

The modelled Internal Rates of Return on the CLO portfolio as well as the warehouse first loss tranches are in low teens percentage points.

Liquidity risk

The following table summarizes the contractual cash outflows in relation to the Company's financial liabilities according to their maturity.

A small proportion of the Company's portfolio is invested in mid-term private equity investments with low or no liquidity. The investments of the Company in publicly traded securities are subject to availability of buyers at any given time and may be very low or non-existent subject to market conditions.

There is currently no exchange traded market for CLO securities and they are traded over-the-counter through private negotiations or auctions subject to market conditions.  Currently the CLO market is liquid, but in times of market distress the realization of the investments in CLOs through sales may be below fair value.

Warehouse facilities are private negotiated financing facilities and are not traded and have no active market. The Company, however, can opt to terminate such facility.

Management takes into consideration the liquidity of each investment when purchasing and selling in order to maximise the returns to shareholders by placing suitable transaction levels into the market.

At 31 December 2020, the Company had liquid investments totalling USD 137.9m, comprising of USD 50.4m in cash and cash equivalents, USD 77.0m in investments in loan market through CLOs, USD 12.5m in public equities. Management structures and manages the Company's portfolio based on those investments which are considered to be long term, core investments and those which could be readily convertible to cash, are expected to be realised within normal operating cycle and form part of the Company's treasury function.

Capital management

The Company considers its capital to be its total equity (i.e., its share capital and all of its reserves).

The Company manages its capital to ensure that it will be able to continue as a going concern while maximising the return to shareholders through the optimisation of the balance between its net debt and equity. During 2020 and 2019 the Company had no borrowings and therefore it is wholly capital funded.

Net debt to equity ratio is calculated using the following amounts as included on the consolidated statement of financial position, for the reporting periods under review:

27.      Financial assets and liabilities by class

The carrying amount of the financial assets and liabilities at amortised cost approximates to their fair value.

28.  Events after the reporting date

The following non-adjusting events occurred in 2021:

-On 8 March 2021, the Board announced an interim dividend of USD 8m (USD 0.0488 per share) to members on the register on 19 March 2021. The dividend was paid on 16 April 2021.

-The Company bought back 10,888,577 shares to be held in treasury for a total cost of USD 6.9m. 

-The Company invested an additional amount of USD 10m to the open warehouse facility as at 31 December 2020, increasing its total investment to USD 20m. Livermore's investment amount plus net carry amounting to a total of USD 1.6m became receivable in April 2021.  

-The loans receivable from the Company's parent and a Director, with a total carrying amount of USD 7.9m (note 22), were fully settled during 2021.

There were no other material events after the end of the reporting year, which have a bearing on the understanding of these financial statements.

Shareholder Information

Registrars

All enquiries relating to shares or shareholdings should be addressed to:

Link Asset Services

34 Beckenham Road

Beckenham

Kent BR3 4TU

Telephone: 0871 664 0300

Facsimile: 020 8639 2342

Change of Address

Shareholders can change their address by notifying Link Asset Services in writing at the above address.

Website

www.livermore-inv.com

The Company's website provides, amongst other things, the latest news and details of the Company's activities, share price details, share price information and links to the websites of our brands.

Direct Dividend Payments

Dividends can be paid automatically into shareholders' bank or building society accounts. Two primary benefits of this service are:

-There is no chance of the dividend cheque going missing in the post; and

-The dividend payment is received more quickly because the cash sum is paid directly into the account on the payment date without the need to pay in the cheque and wait for it to clear.

As an alternative, shareholders can download a dividend mandate and complete and post to Link Asset Services.

Lost Share Certificate

If your share certificate is lost or stolen, you should immediately contact Link Asset Services on 0871 664 0300who will advise on the process for arranging a replacement.

Duplicate Shareholder Accounts

If, as a shareholder, you receive more than one copy of a communication from the Company you may have your shares registered in at least two accounts.  This happens when the registration details of separate transactions differ slightly.  If you wish to consolidate such multiple accounts, please call Link Asset Services on 0871 664 0300.

Please note that the Directors of the Company are not seeking to encourage shareholders to either buy or sell the Company's shares.

Enquiries

Livermore Investments Group Limited           +41 43 344 3200

Gaurav Suri

Nominated Adviser and Broker                        +44 (0)207 614 5900

Arden Partners plc

Richard Johnson