A decade of experience with cash-flow based risk … · A decade of experience with cash-flow based...

«Your bridge to the world of private assets.»

Confidential

A decade of experience with cash-flow based risk modelling of

portfolios of private equity funds

Oxford, December 4, 2014

Key take-aways

Cash flow models are important in understanding risk in private equity portfolios

Averages/medians are important, variations/deviations are equally important

Cash flow models allow you to model any private equity portfolio

Confidential 2 Cash flow based risk modelling | Oxford, December 4, 2014

Contents

Introduction and Overview

Risks and cash flow based modelling

Our history using cash flow models

Cash flow modelling – measuring and managing funding risk

Cash flow modeling techniques

Modelling more complex structures

Back-testing

Other cash flow based models

iCaR – cash flow based risk measure

Cash flow analysis during due diligence


Risks and cash flow based modelling

Funding Risk

Measuring funding risk through cash flow models (funding = cash)

Even more important if relying on distributions Focus of presentation

Default risk for over-committed investors/products

Liquidity Risk

Manage necessity to having to sell through use of cash flow models

Availability of external funding, secondary pricing

Market Risk

Relying partially on cash flow models

Add market volatility through NAV-based model (assumptions about NAV volatility necessary) or

NPV-(of future cash flows)-based model (assumptions about discount rate necessary)

Capital Risk

Cash flow based long-term risk measure, e.g. iCaR


Our history using cash flow models

Private equity cash flow models in use since 2000

Prime Edge (2001): leveraged fund of funds with rated notes (cash flow model used, but rating

based on insurance backing)

PineStreet (2002): first AAA-rating purely based on cash flow model (USD 1bn securitization of AIG

portfolio)

HRJ (2009): using cash flow models for calculating funding risk of over-committed fund of funds

(HRJ funds, 2009).

Various other public and private deals, small and large

Also used for cash flow planning and pacing of commitments for all clients

Modelling of long-term capital risk: iCaR (invested Capital at Risk)


Confidential 6

Cash

Flo

w A

ccu

rac

y

Tim

ing

of

Perf

orm

an

ce

Observation Period

Public

Benchmark

Private

Benchmark

Shape

Functions

Historical

Simulation

Conditional

Historical

Simulation

Basic private equity cash flow modeling techniques

Cash flow based risk modelling | Oxford, December 4, 2014

Comparison of models – advantages, disadvantages

Confidential 7

Method Advantages Challenges

Public benchmark Clear benchmark

Free data

Long term history

Proxy to private equity

Cash flows and timing of performance

Overall justifiability except conservativeness

Private benchmark Clear benchmark

Free or ‘almost’ free data

Real performance of private equity

Smaller historical sample

Cash flows and timing of performance

Potentially biased (selection, NAV, …)

Shape functions Real performance of private equity

Modeling of cash flows

Modeling of timing

Short historical sample

Correlations

Cash flow "granularity“ / “randomness”

Historical simulation Real performance of private equity

Modeling of liquidity

Modeling of timing

Short historical sample

All based on past performance

… as all other methods

Conditional

historical simulation

Modeling of private equity performance

Modeling of liquidity

Modeling of non-systematic risk

Requires a base index, or characteristics of a

reference index


Private equity data

Aggregated data

Used for simple models

Widely available (Cambridge, Preqin, Burgiss, Pevara, Bison, etc)

Single fund data

Used for more sophisticated models

Proprietary databases (long-term and large investors)

TVE historical data, Preqin historical data (more recent data), Burgiss (only available to academics)


Confidential 9

1. Draw fund at random from historical database

2. Generate stochastic path for index driving returns

3. Compute scaling factor based on PME+

4. Use rescaled cash flows for simulation

5. Repeat several thousand times

6. Compute probability/severity of a given event

Step 1

Step 2

Step 3

Step 4

Step 5

Step 6

Conditional historical simulation (simplified)


Modelling a private equity portfolio

Confidential 10

Capital calls (cumulative) Distributions (cumulative)

Net cash flows (cumulative) NAV, commitments, target allocation


Confidential 11

Modelling more complicated structures

-100

0

100

200

300

400

500

600

700

800

900

0 1 2 3 4 5 6 7 8 9 10

PE Cash Flow & NAV Model (Conditional Historical Simulation)

Interest Rate Model

Foreign Exchange Model

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

0 1 2 3 4 5 6 7 8 9 10

Waterfall Models Customized to structure, reflecting:

Priority of payments

Priority of funding

Debt terms, covenants

Any other fancy rule

Output and Analysis Output for various quantities:

Debt repayment

Default risk

Over-commitment

Etc.

Source: Capital Dynamics, conceptual

StructureIn USD thousand

CTD Loan Drawn Collection Account Shortfall

0.0002

0.0022

0.0055

2.73%

5.89%

CDI Loan to value ratio Overcommitment Product NCF

0.0002

0.0022

0.0055

2.73%

5.89%

NCF Quarters to repay advances Default timing

0.0002

0.0022

0.0055

0.0273

0.0589

September 30, 2009

-

5,000

10,000

15,000

20,000

25,000

0 1 2 3 4 5 6 7 8 9 10

0.0

0

500

0.0

0

100

00.

00

0

-1040

1

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7000.00

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9000.00

10000.00

0

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40,000

60,000

80,000

100,000

120,000

140,000

160,000

180,000

200,000

0 1 2 3 4 5 6 7 8 9 10

-70,000

-60,000

-50,000

-40,000

-30,000

-20,000

-10,000

0

0 1 2 3 4 5 6 7 8 9 10

-

50,000

100,000

150,000

200,000

250,000

300,000

350,000

400,000

450,000

500,000

0 1 2 3 4 5 6 7 8 9 10

-

10,000

20,000

30,000

40,000

50,000

60,000

70,000

80,000

90,000

0 1 2 3 4 5 6 7 8 9 10

0%

5%

10%

15%

20%

25%

30%

0 1 2 3 4 5 6 7 8 9 10

0

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4

6

8

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12

14

0 1 2 3 4 5 6 7 8 9 10

0.0

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5,000

10,000

15,000

20,000

25,000

30,000

35,000

40,000

45,000

50,000

0 1 2 3 4 5 6 7 8 9 10

0 1 2 3 4 5 6 7 8 9 10

Short of cash

LTV

Min. Liq.

0.0

0

100

0.0

0

200

0.0

0

300

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10,000

15,000

20,000

25,000

30,000

35,000

0 1 2 3 4 5 6 7 8 9 10

-70,000

-60,000

-50,000

-40,000

-30,000

-20,000

-10,000

0

0 1 2 3 4 5 6 7 8 9 10

0%

20%

40%

60%

80%

100%

120%

140%

160%

180%

200%

0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15


Back-testing Portfolios 1 & 2 – 2009 until today

Confidential 12

2009 cash flow forecast –

Global Venture Fund of Funds

2009 cash flow forecast –

US Buyout Fund of Funds

Years

Cu

mu

lati

ve

net

ca

sh

flo

w in

US

D m

illi

on

Years

Cu

mu

lati

ve

net

ca

sh

flo

w i

n U

SD

mil

lio

n

Available funding

Actual cash flows

Available funding

Actual cash flows

Source: Capital Dynamics simulation and investor data

Serious initial over-commitment with risk of default of > 20% and > 10%, respectively.


Back-testing Portfolio 3 – 1997 until 2007

Confidential 13

Capital calls (cumulative)


Actual capital calls (cumulative)



Confidential 14

Distributions (cumulative)


Actual distributions (cumulative)



Confidential 15

Net cash flow (cumulative)


Actual net cash flow (cumulative)



Confidential 16

Net Asset Value (NAV)


Actual NAV

Annual commitments


Back-testing Portfolio 4 – 2006 until today

Confidential 17

Capital calls (cumulative)


Actual capital calls (cumulative)



Confidential 18

Distributions (cumulative)


Actual distributions (cumulative)



Confidential 19

Net cash flow (cumulative)


Actual net cash flow (cumulative)



Confidential 20

Net Asset Value (NAV)


Actual NAV

Annual commitments


0 0.5 1 1.5 2 2.5 3 3.5 4

Multiple

1%

pro

babili

ty

99%

pro

babili

ty

invested Capital

at Risk: 84%

0.16 P

robabili

ty D

ensity

Confidential 21

Source: Capital Dynamics analysis based on Thomson Venture Economics data as of June 30, 2011.

Measuring capital risk: iCaR – invested Capital at Risk

1 fund

iCaR describes the percentage/

amount of invested capital that

can be lost (similar to Value-at-

Risk)

iCaR is a measure of long-term

“Capital Risk”

Based on cash flows, not

valuations


Confidential 22

Source: Capital Dynamics analysis based on Thomson Venture Economics data as of June 30, 2011

The effect of diversification in capital risk

Venture Capital Buyout/Mezzanine

0% - 10%

10% - 20%

20% - 30%

30% - 40%

40% - 50%

50% - 60%

Invested Capital at Risk:

60% - 70%

> 70%

Vintage years 1 3 5 7 9 11 13 15

1

3

5

7

9

11

13

15

Vintage years

Fu

nd

s p

er

vin

tag

e y

ea

r

1 3 5 7 9 11 13 15 1

3

5

7

9

11

13

15


Liquidity benchmarking during due diligence

Confidential 23

Understanding the historical cash flow pattern

Comparison with average of real vintage year

Comparison with longer history


Confidential 24

For further information, please contact:

www.capdyn.com

London

New York

Zug

Beijing*

Tokyo

Hong Kong

Silicon Valley

Sao Paulo

Munich

Birmingham

Seoul

Brisbane

Shanghai*

Scottsdale

* Capital Dynamics China is a legally separate company operating under a strategic cooperation with the Capital Dynamics group.


Ivan Herger, Managing Director

Capital Dynamics AG

Bahnhofstrasse 22

6301 Zug

Switzerland

Phone: +41 41 748 8424

Mobile: +41 76 314 8424

Email: [email protected]

Confidential 25

Capital Dynamics worldwide

London Capital Dynamics, Ltd.

21 Sackville Street

London W1S 3DN

United Kingdom

Phone: +44 207 297 0200

Fax: +44 207 297 0299

Birmingham Capital Dynamics, Ltd.

(Main UK office)

9 Colmore Row

Birmingham B3 2BJ

United Kingdom

Phone: +44 121 200 8800

Fax: +44 121 200 8899

New York Capital Dynamics, Inc. /

Capital Dynamics Broker

Dealer (Main US office)

645 Madison Avenue

19th Floor,

New York, NY 10022 – USA

Phone: +1 212 798 3400

Fax: +1 212 798 3499

Brisbane Capital Dynamics, Ltd.

Suite 2.03

15-21 Via Roma

Isle of Capri 4217 QLD

Australia

Phone: +61 7 5592 6669

Fax: +61 7 5531 5172

Hong Kong Capital Dynamics, HK Ltd.

16/F Nexxus Building

41 Connaught Road

Central Hong Kong

Phone: +852 3757 9818

Fax: +852 3757 9401

Munich Capital Dynamics, GmbH

Possartstrasse 13

81679 Munich

Germany

Phone: +49 89 2000 418-0

Fax: +49 89 2000 418-99

Silicon Valley Capital Dynamics, Inc./

Capital Dynamics Broker Dealer

2550 Sand Hill Road

Suite 150

Menlo Park, CA 94025

USA

Phone: +1 650 388 7000

Fax: +1 650 388 7099

Zug Capital Dynamics AG

Bahnhofstrasse 22

6301 Zug

Switzerland

Phone: +41 41 748 8444

Fax: +41 41 748 8440

Beijing Capital Dynamics China1

Room 806, Tower E3

Oriental Plaza

1 East Chang An Avenue

Dongcheng District

Beijing 100738, China

Phone: +86 10 8518 5701

Fax: +86 10 8518 5701-100

Sao Paulo Capital Dynamics

Investimentos, Ltda.

Rua das Olimpiadas

205 conj.41 – 4º floor

São Paulo – SP

04551-000 Brazil

Phone: :+55 11 3728-9289

Seoul Capital Dynamics (Hong Kong

Limited), Korea Office

Kyobo Securities Building,

Yoido-dong 97 Uisadang-daero

Yeongdeungpo-go, Seoul

Phone: +82 2 6336 6724

Fax: +82 2 6336 6710

Tokyo Capital Dynamics Co., Ltd.

Office 9, Shin-Marunouchi Building

10F, 1-5-1 Marunouchi

Chiyoda-ku

Tokyo 100-6510

Japan

Phone: +81 3 3287 7370

Fax: +81 3 3287 7371

(1) Capital Dynamics China is a legally separate company operating under a strategic cooperation with the Capital Dynamics group.

Shanghai Capital Dynamics China1

Room 20101

Level 20 The Centre

989 ChangLe Road

Shanghai 200031

China

Phone: +86 21 5117 5818

Fax: +86 21 5116 6899

Scottsdale Capital Dynamics Inc. /

Capital Dynamics Broker Dealer

8800 North Gainey Center Drive,

Suite 250

Scottsdale, AZ 85258

USA

Phone: +1 480 253 3910

Fax: +1 480 948 1412


Disclaimer

Confidential 26

This document contains information that has been provided by a number of sources not affiliated with Capital Dynamics. This document contains performance information which has been

prepared by Investment Management professionals at Capital Dynamics. “Capital Dynamics” comprises Capital Dynamics Holding AG and its affiliates. Capital Dynamics has not verified the

information provided. Nothing contained herein shall constitute any representation or warranty and no responsibility or liability is accepted by Capital Dynamics as to the accuracy or

completeness of any information supplied herein. This document contains past performance and projected performance information and it must be noted that past performance and projected

performance is not a reliable indicator of future results. This document does not constitute an offer to sell or a solicitation of an offer to purchase any securities of any kind in Capital Dynamics,

including any of its funds. Any such offer or solicitation shall be made pursuant to a private placement memorandum furnished by Capital Dynamics. This document shall not, nor the fact of its

distribution, form the basis for, or be relied upon in connection with, any contract. Before relying on this information in any way, Capital Dynamics advises the recipient of this information (the

“Recipient”) to perform independent verification of the data and conduct his or her own analysis hereto with appropriate advisors. Statements contained in this document may include

statements of future expectations and other forward-looking statements. Any projections or other estimates in these materials are based upon certain assumptions. Case studies included

herein, if any, are for illustrative purposes only, do not necessarily represent any portfolio's performance, and should not be used for the purpose of making an investment decision without the

addition of other relevant information, including, but not limited to, a current placement memorandum. Actual events may differ materially from those assumed, which may have a material

impact on any projections or estimates provided herein. In addition, certain assumptions may have been made to simplify the document and/ or calculation of projections or estimates. Capital

Dynamics does not purport that any such assumptions will reflect actual future events, and reserves the right to change its assumptions without notice to the Recipient. The information

contained herein may contain general, summary discussions of certain tax, regulatory, accounting and/ or legal issues. Any such discussions and issues may be generic and may not be

applicable to or complete for the Recipient. Capital Dynamics does not offer investment, tax, regulatory, accounting or legal advice and this document should not and cannot be relied upon as

such. Prior to entering into any proposed transaction or agreeing to proposals made herein, the Recipient should determine, in consultation with the Recipient’s own legal, tax, regulatory and

accounting advisors, the economic risks and merits of any action, as well as the legal, tax, regulatory and accounting consequences of such action. When considering alternative investments,

such as private equity funds, the Recipient should consider various risks including the fact that some funds may use leverage and engage in a substantial degree of speculation that may

increase the risk of investment loss, can be illiquid, are not required by law to provide periodic pricing or valuation information to investors, may involve complex tax structures and delays in

distributing important tax information, are not subject to the same regulatory requirements as mutual funds, often charge high fees, and in many cases the underlying investments are not

transparent and are known only to the investment manager. This document is for informational purposes only, is confidential and may not be reproduced in whole or in part (whether in

electronic or hard-copy form).

Material notes to investors based in China (excluding Hong Kong Special Administrative Region, Macau Special Administrative Region and Taiwan):

Pursuant to the Notice of the General Office of National Development and Reform Commission ("NDRC") on Promoting the Standardized Development of Equity Investment Enterprises (Fa

Gai Ban Cai Jin [2011] No. 2864), the fund may only raise investments through private placement, i.e. from specific qualified investors who are capable of identifying and tolerating risks, and

cannot be promoted to non-specific and non-qualified investors, directly or indirectly, through public ways. The fund shall entrust an independent custodian for asset custody purposes, except

all investors agree otherwise. Diligence Capital, operating in English under the brand Capital Dynamics China, shall attend to the filing with NDRC. The investor should be informed that upon

becoming a limited partner of the fund, neither the return of the principal amount nor the distribution of any profit is guaranteed. Any investment in the fund involves certain risks of loss,

including but not limited to risks caused by fluctuations in interest rates, currency and other market factors, or credit risk of other partners of the funds or affiliated parties thereof. Neither this

document nor any other document or information contained or incorporated by reference herein relating to any investment in the fund may be construed in such a way that Capital Dynamics

(a foreign entity) is marketing or doing business in China. The information contained or incorporated by reference herein relating to the investment in the fund does not constitute any offer to

sell, or any solicitation or any offer to subscribe or purchase any securities in the PRC.

Based in Hong Kong: This document does not constitute or form part of any offer any offer, solicitation or invitation to subscribe or purchase any securities nor shall it or any part of it form

the basis of or be relied upon in connection with any contract or commitment whatsoever. Any such offer, solicitation or invitation can only be made by a private placement memorandum,

which is available solely on request, on a private basis and will only be extended to a person if that person has first satisfied Capital Dynamics that the person is a "professional investor"

within the meaning of the Securities and Futures Ordinance (Cap. 571 of the Laws of Hong Kong). If you are in any doubt about any of the contents of this document, you should obtain

independent professional advice. Please note that the contents of this document have not been reviewed by any regulatory authority in Hong Kong.


Disclaimer

Confidential 27

Based in Taiwan: The information contained in this document is only for informational purposes. No information in this document constitutes a solicitation or an offer to buy or sell or not to

buy or sell any product, instruments or investment, to effect any transactions, or to conclude any legal act of any kind whatsoever. The funds may be made available outside Taiwan for

purchase outside Taiwan by persons residing in Taiwan but may not be offered or sold in Taiwan.

Based in Japan: The intended recipient understands and acknowledges that upon becoming a limited partner of the fund, neither the return of the principal amount nor the distribution of any

profit is guaranteed. Any investment in the interests involves certain risks of loss, including but not limited to risks caused by fluctuations in interest rates, currency and other market factors, or

the credit risk of other partners of the funds or affiliated parties thereof. Any person interested in purchasing an interest is advised to read the terms of investment carefully, paying particular

attention to those provisions that relate to limitations on the period in which rights relating to such investment can be exercised. The registration statement under Article 4, Paragraph 1 of the

Financial Instruments And Exchange Act of Japan ( Act No.25 of 1948 , as amended , “ FIEA”), has not been and will not be filed with respect to the offering of the interests of the fund (the

"Interests") as the offering consists of a “solicitation for a small number of people” (as defined in Article 23-13, Paragraph 4 of the FIEA), and the Interests, which are “securities” within the

meaning of Article 2, Paragraph 2, Item 6 of the FIEA, will be offered in accordance with Article 2, Paragraph 3, Item 3 of the FIEA, where the Interests shall not be held by 500 or more

investors. The offering and sale of the Interests by the general partner is intended to be exempt from the registration requirement under the FIEA in reliance on the exemption provided for in

Article 63, Paragraph 1, Item 1 of the FIEA, and the management of the fund's assets by the general partner is intended to be exempt from the registration requirement under the FIEA in

reliance on the exemptions provided for in (i) Article 63, Paragraph 1, Item 2 of the FIEA or (ii) Article 16, Paragraph 1, Item 13 of the Cabinet Office Ordinance Concerning Definition Provided

in Article 2 of the FIEA. The general partner has not been and will not be registered under the FIEA as “investment management business” (toshi unyo gyo) as defined in Article 28 of the

FIEA and no Interests held by an investor can be transferred in any manner whatsoever if the transfer causes the general partner to be registered as “investment management business”

under the FIEA.

Based in Korea: This document is being provided to you to gauge your preliminary interest in possible investment in the fund, and the provision of this document shall not be construed as

marketing or soliciting investment in the fund. The interests/shares of the fund have not been registered with the Financial Supervisory Commission of Korea (the “FSC”) in Korea for public

offering under the Financial Investment Services and Capital Markets Act of Korea, and the interests/shares of the fund may not be offered, sold or delivered, or offered or sold to any person

for reoffering or resale, directly or indirectly, in Korea or to any resident of Korea except pursuant to applicable laws and regulations of Korea. Furthermore, the interests/shares of the fund

may not be resold to Korean residents unless the purchaser of the interests/shares of the fund complies with all applicable regulatory requirements (including, without limitation, governmental

approval requirements under the Foreign Exchange Transaction Law and its subordinate decrees and regulations) in connection with the purchase of the interests/shares of the fund. None of

the fund, the [General Partner/Investment Manager or any placement agent] makes any representation with respect to the eligibility of any recipients of this document to acquire the

interests/shares in the funds under the laws of Korea, including but without limitation the Foreign Exchange Transaction Law and regulations thereunder.

Based in the United States of America: Capital Dynamics, Inc. is registered as an Investment Adviser with the Securities and Exchange Commission (SEC). Securities are offered through

Capital Dynamics Broker Dealer LLC, a registered broker-dealer with the SEC, and a member of the Financial Industry Regulatory Authority (FINRA) and Securities Investor Protection

Corporation (SIPC). Any Recipient not interested in the analysis described herein should return this presentation to Capital Dynamics, Inc. or Capital Dynamics Broker Dealer LLC, 645

Madison Avenue 19th floor, New York, NY 10022 USA and contact Capital Dynamics as soon as possible (t. +1 212 798 3400).

Based in Switzerland: Material is presented to investors by Capital Dynamics AG. Capital Dynamics AG is registered with the US SEC. It does not constitute a public offering or distribution

within the meaning of the Swiss Act on Collective Investment Schemes or the Swiss Code of obligations, respectively. It is addressed to a limited group of qualified investors. Any recipient not

addressed by Capital Dynamics AG should return this presentation to Capital Dynamics AG, Bahnhofstrasse 22, 6301 Zug, Switzerland and contact Capital Dynamics AG as soon as possible

(t. +41 41 748 84 44).


Disclaimer

Confidential 28

Based in the United Kingdom: This document has been issued by Capital Dynamics Limited who is authorised and regulated by the Financial Conduct Authority (“FCA”). This document is

addressed only to persons falling within one or more of the following exemptions from the restrictions in section 21 of the Financial Services and Markets Act 2000 (“FSMA”):

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employees acting for such entities in relation to investment; and

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The distribution of this document to any person in the United Kingdom not falling within one of the above categories is not permitted by the Issuer and may contravene FSMA. No person

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Based in select countries in the European Union (Austria, Belgium, Cyprus, Czech Republic, Denmark, Finland, France, Greece, Liechtenstein, Luxembourg, Malta, Netherlands,

Norway, Poland, Portugal, Republic of Ireland, Spain, Sweden): Material is presented to investors by Capital Dynamics Ltd. Capital Dynamics Ltd is authorized and regulated by the

Financial Conduct Authority (FCA). Any Recipient not interested in the analysis described herein should return this document to Capital Dynamics Ltd, 9 Colmore Row, Birmingham, B3 2BJ,

United Kingdom and contact Capital Dynamics as soon as possible (t. +44 121 200 8800).

Based in Germany: This presentation is issued and distributed by Capital Dynamics GmbH in accordance with the legal requirements for marketing securities and/or investment funds in

Germany. Any recipient not addressed by Capital Dynamics GmbH should return this presentation to Capital Dynamics GmbH, Possartstrasse 13, 81679 Munich, and contact Capital

Dynamics GmbH as soon as possible (t. +49 89 2000 4180).

Based in Israel: The securities discussed in this presentation have not been and will not be authorized by the Israeli securities authority or any comparable securities authority of any other

jurisdiction and no securities authority has confirmed the accuracy or determined the adequacy of this document. The securities discussed in this presentation will not be registered under the

securities laws of the state of Israel or any other jurisdiction. The materials in this presentation should be considered only by sophisticated professional investors and only to investors to whom

an offer of securities may be made without the requirement to publish a prospectus, and does not involve any public offering. This presentation shall not constitute an offer to sell or the

solicitation of an offer to buy nor shall there be any sale of securities in any jurisdiction in which such offer, solicitation or sale is not authorized or to any person to whom it is unlawful to make

such offer, solicitation or sale.

Based in Australia: This offer is only open to wholesale clients, as that term is defined in the Corporations Act 2001 (Cth) (Act). Prospective investors should not treat the contents of this

document as investment advice or advice relating to legal, taxation or any other matters. The offer is issued by Capital Dynamics Investments (Australia) Limited ARBN 145 827 738, a

company registered in the United Kingdom. The issuer is operating in Australia under relief issued by the Australian Securities and Investments Commission from the requirement to hold an

Australian financial services (AFS) license under the Act and therefore the issuer does not hold an AFS license. The issuer is regulated by the Financial Conduct Authority (FCA) under United

Kingdom laws, which differ from Australian laws.

Based in other jurisdictions: The distribution of this document in certain jurisdictions may be restricted by law. Persons into whose possession this document comes are required by Capital

Dynamics to inform themselves about, and to observe, any such restrictions. This document does not constitute an offer to sell or the solicitation of an offer to purchase any securities in any

state or other jurisdiction: (i) in which such offer or invitation is not authorized; (ii) in which the person making such offer or invitation is not qualified to do so; or (iii) to any person to whom it is

unlawful to make such offer or solicitation.


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