Inv Obj & Perf Update
February 01 2010 - 12:37PM
UK Regulatory
TIDMCEAF
RNS Number : 4940G
Close European Accelerated Fund Ltd
01 February 2010
1 February 2010
Close European Accelerated Fund Limited (the "Company")
In order to fulfil its investment objective, the Company purchased seven Debt
Securities, including one issued by Glitnir Banki HF and one issued by Kaupthing
Bank HF. These two Debt Securities account for approximately 30 per cent of the
total nominal value of the Company's Debt Securities. In the event of a default
by an issuer of a Debt Security purchased by the Company, the Company will rank
as an unsecured creditor in respect of sums due from the issuer of such Debt
Security. In such event, the Company may (in respect of that Debt Security)
receive a lesser amount of money than the amount due pursuant to the terms of
the Debt Security, may actually receive the money at a different time than would
otherwise have been the case and the amount received may be zero. Any losses
will be borne by the Company and returns to Shareholders would be significantly
adversely affected.
Following the Icelandic authorities' decision to place both Glitnir Banki HF and
Kaupthing Bank HF in receivership, the Board of the Company considers it likely
that they may not pay in full on their obligations. Whilst recovery rates from
issuers that default vary, and in this case are currently unknown, the worst
case scenario would see the Company receive nothing from either institution at
the maturity of the relevant Debt Securities.
If the Dow Jones EuroStoxx 50 Index (the "Index") has closed down more than 50
per cent from its Start Value (i.e. below 1,651.49) on any Index Business Day
between the Start Date and the End Date then an Index Barrier Breach will have
occurred. In these circumstances, the amount which the Company will be required
to pay following the Index Barrier Breach will reduce its assets by an amount
which reflects the decline, if any, in the Index between the Start Date and the
End Date.
The official closing level of the Dow Jones EuroStoxx 50 Index as at 29 January
2010 was 2,776.83 +. If the Index closed at this level on the End Date and an
Index Barrier Breach has not occurred, the Final Capital Entitlement would be
100.00 pence+ subject to there being no counterparty default or any unforeseen
circumstances, and in the event of both Glitnir Banki HF and Kaupthing Bank HF
defaulting and having a zero recovery rate and there being no insolvency of any
other issuer of Debt Securities held by the Company or any other event of
default or any unforeseen circumstances, the Final Capital Entitlement would be
approximately 69.50 + pence, and if the Index were to fall by approximately a
further 63.9 + per cent to a level of approximately 1,002 as at the End Date,
the Final Capital Entitlement of the Shares would be zero. There are currently
39,550,000 Shares in issue.
Payoff Profile
The tables below illustrate how the Final Capital Entitlement of the Shares
might vary for different ending levels of the Dow Jones EuroStoxx 50 Index (1)
subject to there being no counterparty default or any unforeseen circumstances,
and (2) on the assumption of zero recovery in the event of default of the Debt
Securities issued by Glitnir Banki HF and Kaupthing Bank HF and there being no
insolvency of any other issuer of Debt Securities held by the Company or any
other event of default or any unforeseen circumstances.
+-------------------+------------------+------------------+------------------+------------------+
| | If Dow Jones EuroStoxx 50 | If Dow Jones EuroStoxx 50 |
+-------------------+-------------------------------------+-------------------------------------+
| | Index never closes below 1,651.49+ | Index closed below 1,651.49+ |
+-------------------+-------------------------------------+-------------------------------------+
| Final EuroStoxx | Final Capital | Final Capital | Final Capital | Final Capital |
+-------------------+------------------+------------------+------------------+------------------+
| 50 Index* | Entitlement (1) | Entitlement (2) | Entitlement (1) | Entitlement (2) |
+-------------------+------------------+------------------+------------------+------------------+
| 0 | | | 0.0 | 0.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 100 | | | 3.0 | 0.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 200 | | | 6.0 | 0.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 300 | | | 9.0 | 0.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 400 | | | 12.0 | 0.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 500 | | | 15.0 | 0.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 600 | | | 18.0 | 0.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 700 | | | 21.0 | 0.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 800 | | | 24.0 | 0.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 900 | | | 27.0 | 0.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 1,000 | | | 30.0 | 0.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 1,100 | | | 33.0 | 2.5 |
+-------------------+------------------+------------------+------------------+------------------+
| 1,200 | | | 36.0 | 5.5 |
+-------------------+------------------+------------------+------------------+------------------+
| 1,300 | | | 39.0 | 9.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 1,400 | | | 42.0 | 12.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 1,500 | | | 45.0 | 15.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 1,600 | | | 48.0 | 18.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 1,700 | 100.0 | 69.5 | 51.0 | 21.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 1,800 | 100.0 | 69.5 | 54.0 | 24.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 1,900 | 100.0 | 69.5 | 57.5 | 27.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 2,000 | 100.0 | 69.5 | 60.5 | 30.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 2,100 | 100.0 | 69.5 | 63.5 | 33.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 2,200 | 100.0 | 69.5 | 66.5 | 36.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 2,300 | 100.0 | 69.5 | 69.5 | 39.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 2,400 | 100.0 | 69.5 | 72.5 | 42.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 2,500 | 100.0 | 69.5 | 75.5 | 45.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 2,600 | 100.0 | 69.5 | 78.5 | 48.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 2,700 | 100.0 | 69.5 | 81.5 | 51.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 2,800 | 100.0 | 69.5 | 84.5 | 54.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 2,900 | 100.0 | 69.5 | 87.5 | 57.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 3,000 | 100.0 | 69.5 | 90.5 | 60.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 3,100 | 100.0 | 69.5 | 93.5 | 63.5 |
+-------------------+------------------+------------------+------------------+------------------+
| 3,200 | 100.0 | 69.5 | 96.5 | 66.5 |
+-------------------+------------------+------------------+------------------+------------------+
| 3,300 | 100.0 | 69.5 | 99.5 | 69.5 |
+-------------------+------------------+------------------+------------------+------------------+
| 3,400 | 114.5 | 79.5 | 114.5 | 79.5 |
+-------------------+------------------+------------------+------------------+------------------+
| 3,500 | 129.5 | 90.0 | 129.5 | 90.0 |
+-------------------+------------------+------------------+------------------+------------------+
| 3,600 | 144.5 | 100.5 | 144.5 | 100.5 |
+-------------------+------------------+------------------+------------------+------------------+
| 3,700 | 160.0 | 111.5 | 160.0 | 111.5 |
+-------------------+------------------+------------------+------------------+------------------+
| 3,800 | 167.5 | 116.5 | 167.5 | 116.5 |
+-------------------+------------------+------------------+------------------+------------------+
| 3,900 | 167.5 | 116.5 | 167.5 | 116.5 |
+-------------------+------------------+------------------+------------------+------------------+
* As at 26 July 2011
+ On any day from 26 July 2005 to 26 July 2011
(1) Subject to there being no counterparty default or any unforeseen
circumstances
(2) The table contemplates default and zero recovery in respect of the Debt
Securities issued by Glitnir Banki HF and Kaupthing Bank HF. The Final Capital
Entitlement set out in this table is an example only and not a forecast of
actual payments and is subject to there being no insolvency of any other issuer
of Debt Securities held by the Company or any other event of default or any
unforeseen circumstances. The attention of shareholders is drawn to the section
headed "Risk Factors" in the Prospectus.
Defined terms in this announcement shall have the meaning assigned to them in
the Prospectus.
As at 29 January 2010 the investments held by the Company were:
+-------------------------------------------------------------------------+------------------+
| | NOMINAL |
+-------------------------------------------------------------------------+------------------+
| DEBT SECURITIES PORTFOLIO | HOLDINGS |
+-------------------------------------------------------------------------+------------------+
| | GBP |
+-------------------------------------------------------------------------+------------------+
| | |
+-------------------------------------------------------------------------+------------------+
| BNP Paribas EMTN 28 July 2011 | 6,000,000 |
+-------------------------------------------------------------------------+------------------+
| | |
+-------------------------------------------------------------------------+------------------+
| Caixa Geral de Depositas EMTN 28 July 2011 | 6,000,000 |
+-------------------------------------------------------------------------+------------------+
| | |
+-------------------------------------------------------------------------+------------------+
| Erste Bank EMTN 28 July 2011 | 6,000,000 |
+-------------------------------------------------------------------------+------------------+
| | |
+-------------------------------------------------------------------------+------------------+
| Glitnir Banki HF EMTN 28 July 2011 | 6,000,000 |
+-------------------------------------------------------------------------+------------------+
| | |
+-------------------------------------------------------------------------+------------------+
| Kaupthing Bunadarbanki EMTN 28 July 2011 | 6,000,000 |
+-------------------------------------------------------------------------+------------------+
| | |
+-------------------------------------------------------------------------+------------------+
| KBC IFIMA EMTN 28 July 2011 | 6,000,000 |
+-------------------------------------------------------------------------+------------------+
| | |
+-------------------------------------------------------------------------+------------------+
| RBS EMTN 28 July 2011 | 3,550,000 |
+-------------------------------------------------------------------------+------------------+
| | |
+-------------------------------------------------------------------------+------------------+
| | TOTAL |
+-------------------------------------------------------------------------+------------------+
| | GBP |
+-------------------------------------------------------------------------+------------------+
| | |
+-------------------------------------------------------------------------+------------------+
| | 39,550,000 |
+-------------------------------------------------------------------------+------------------+
The Company has also sold a Put option with a notional amount of GBP39,550,000.
The performance of the Put option is linked to the performance of the Index. At
an Index value of 3,302.98 or above at the close of business on 26 July 2011, or
if the Index has never closed below 1,651.49 during the calculation period from
26 July 2005 to 26 July 2011 (the "Calculation Period"), the Put option will be
worth GBPNil at maturity. If the Index has closed below 1,651.49 over the
Calculation Period and the Index is still below 3,302.98 at 26 July 2011, the
Put option will be worth at maturity a percentage of the notional value, being
GBP39,550,000, equivalent to the percentage fall in the level of the Index over
the Calculation Period. As at the date of this announcement the Index has not
closed below 1,651.49 during the Calculation Period.
Capital at Risk Products
The Company has been advised that the Company is a Capital at Risk Product as
defined by the Financial Services Authority (FSA). Investors should refer to the
FSA factsheet, which is available at
www.moneymadeclear.fsa.gov.uk/products/investments/types/pooled/structured_prod
cts.html
The return of capital invested at the end of the investment period is not
guaranteed and therefore the investor may get back less than was originally
invested. Investors should not enter into a transaction to purchase Shares
unless they are prepared to lose some or all of the money they have invested.
They should satisfy themselves that the Shares are suitable for them in the
light of their circumstances and financial position, and if in any doubt they
should seek professional advice. Investors may only achieve the rate of return
advertised over a set period and the return may depend on specific conditions
being met.
+This data has been provided by Close Investments Limited. Close Investments
Limited may source data from third party data providers such as, but not limited
to, Bloomberg. Close Investments Limited accepts no responsibility or liability
for the accuracy of data sourced from such third parties. All data in this
document has been procured and may have been acted upon by Close Investments
Limited for its own purpose. The results are being made available to you for
information purposes only and incidentally. This data is provided purely for
information purposes only and should not be relied upon.
The monthly factsheet is available on the website www.closeam.com.
For further information contact:
Anson Fund Managers Limited
Secretary
Tel: 01481 722260
E&OE - in transmission
This information is provided by RNS
The company news service from the London Stock Exchange
END
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