Valuation
Valuation
The administrator for TFG
(the “Administrator”) values the investments of the
Master Fund on an ongoing basis. The NAV per Share is
expected to fluctuate over time with the performance of TFG’s
investments. The NAV of TFG and the Master Fund and the NAV
per Share are determined as at the close of business on the last
business day of each fiscal quarter (each, a “Valuation
Day”) for purposes of calculating incentive fees.
As TFG makes all of its
investments through the Master Fund, TFG’s NAV will equal the
NAV of the Master Fund before incentive fees. The following
valuation principles relate to both TFG and the Master
Fund:
- The values of Residual
Tranches in Securitization Vehicles (each as defined on this
website) are determined by reference to a third party valuation
model that is used by both the Investment Manager and the
Administrator. The model contains characteristics of the
Securitization Vehicle structure, including current assets and
liabilities and inception to date performance, based upon
information derived by a specialist firm from the trustee reports.
Key model inputs include asset spreads, expected defaults and
expected recovery rates for the relevant category of underlying
collateral held in the Securitization Vehicle. These inputs
are derived by reference to a variety of market sources, which are
used by both the Investment Manager and the Administrator.
The model is used to project performance, or expected
internal rate of return (“IRR”), for each investment.
The NAV of the Residual Tranche is then marked to model
(i.e., the expected IRR represents the effective accretion
rate to NAV). As income is received from the Securitization
Vehicle, only the value up to the expected IRR is recognized as
income and the remainder is treated as repayment of principal.
If income received is less than expected IRR in a period, the
shortfall is added to principal.
- Other non-equity investments
(i.e., rated tranches (as defined below)) in Securitization
Vehicles are valued on the basis of the latest available valuation
provided by an independent valuation agent.
- Any security which is listed
or quoted on any securities exchange or similar electronic system
and regularly traded thereon is valued at its last traded price on
the relevant Valuation Day or, if no trades occurred on such day,
at the closing bid price if held long by the Master Fund and at the
closing offer price if sold short by the Master Fund, as at the
relevant Valuation Day, and as adjusted in such manner as the Board
of Directors, in its sole discretion, thinks fit, having regard to
the fair value of the security, and where prices are available on
more than one exchange or system for a particular security the
price is the last traded price or closing bid or offer price, as
the case may be, on the exchange which constitutes the main market
for such security or the one which the Board of Directors in its
sole discretion determines provides the fairest criteria in
ascribing a value to such security.
- Any security which is not
listed or quoted on any securities exchange or similar electronic
system or if, being so listed or quoted, is not regularly traded
thereon or in respect of which no prices as described above are
available, is valued by the Board of Directors in good faith having
regard to its cost price, the price at which any recent transaction
in the security may have been effected, the size of the holding
having regard to the total amount of such security in issue, and
such other factors as the Board of Directors in its sole discretion
deems relevant in considering a positive or negative adjustment to
the valuation.
- Investments, other than
securities, which are dealt in or traded through a clearing firm or
an exchange or through a financial institution are valued by
reference to the most recent official settlement price quoted by
that clearing house, exchange or financial institution. If
there is no such price, then the average will be taken between the
lowest offer price and the highest bid price at the close of
business on any market on which such investments are or can be
dealt in or traded, provided that where such investments are dealt
in or traded on more than one market, the Board of Directors may
determine at its discretion which market shall
prevail.
- Investments, other than
securities, which are not dealt in or traded through a clearing
firm or an exchange or through a financial institution are valued
on the basis of the latest available valuation provided by the
relevant counterparty.
- Deposits are valued at their
cost plus accrued interest.
- Any value (whether an
investment or cash) denominated other than in U.S. Dollars is
converted into U.S. Dollars at the rate (whether official or
otherwise) which the Board of Directors in its absolute discretion,
deems applicable as at the close of business on the relevant
Valuation Day, having regard, among other things, to any premium or
discount which they consider may be relevant and to costs of
exchange.
The Board of Directors or the
Administrator, as the Investment Manager’s appointed
designee, may, at its discretion, permit any other method of
valuation to be used if it considers that such method of valuation
better reflects value and is in accordance with good accounting
practice. To the extent feasible, expenses, fees and
liabilities are accrued in accordance with U.S. GAAP. Reserves
(whether or not in accordance with U.S. GAAP) may be taken for
estimated or accrued expenses, liabilities or contingencies.
Where there is any conflict between U.S. GAAP and the
valuation principles set out in TFG’s and the Master
Fund’s Memorandum and Articles of
Incorporation and
herein in relation to the calculation of NAV, the latter principles
shall take precedence. However, U.S. GAAP will take
precedence for the purposes of financial reporting. NAV per
Share will be made available to Shareholders on a monthly basis
through TFG’s website.
The
information contained in this webpage supersedes any other
disclosure by TFG or the Master Fund with respect to such
information. Subject to the foregoing, additional information
with respect to TFG’s or the Master Fund’s valuation
policies may be found in each company’s annual audited
financial statements.