Inv Obj & Perf Update
September 03 2010 - 12:19PM
UK Regulatory
TIDMCEAF
RNS Number : 1656S
Close European Accelerated Fund Ltd
03 September 2010
FOR IMMEDIATE RELEASE
3 September 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 ("Glitnir") and one issued
by Kaupthing Bunadarbanki ("Kaupthing"). These two Debt Securities have a
nominal value of GBP6,000,000 each and in aggregate 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.
The Winding-Up Boards for Glitnir and Kaupthing have asked all parties claiming
debts of any sort or other rights to submit claims by 26 November 2009 and 30
December 2009 respectively. Consequently the Company submitted claim forms to
each of Glitnir and Kaupthing, claiming GBP10,050,000 in respect of each one of
these Debt Securities, such amounts being equal to the maximum redemption
proceeds of GBP1.675 per GBP1 nominal.
The amount claimed should not be considered a forecast of the amount which will
be due from Glitnir and Kaupthing on the maturity of the relevant Debt
Securities, which may not be the amount currently claimed, nor is it a
reflection of the net asset value per Share.. The redemption proceeds per Share
per the Company's investment objective will not be known until after the end of
the life of the Company when the closing value of the DJ Eurostoxx 50 Index on
the End Date is known and may not be the amount currently claimed.
Shareholders should be aware that it is likely that Glitnir and Kaupthing may
not pay the Company the full amounts claimed. 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. Any claims which are paid may be paid
before or after the end of the life of the Company and in the case of early
payment it may not be possible to reinvest the proceeds in Debt securities which
replicate the investment characteristics of the original Debt Securities. Any
claims which are paid may be paid in currencies other than Sterling and/or in
forms other than cash. Any payments received by the Company may therefore be
subject to currency fluctuations and/or other market movements.
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 31 August
2010 was 2,622.95 +. If the Index closed at this level on the End Date and an
Index Barrier Breach has not occurred, the redemption proceeds would be 100.00
pence+ subject to there being no counterparty default or any unforeseen
circumstances, and in the event of both Glitnir and Kaupthing 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 redemption proceeds would be approximately 69.50 +
pence, and if the Index were to fall by approximately a further 61.8 + per cent
to a level of approximately 1,002 as at the End Date, the redemption proceeds of
the Shares would be zero. There are currently 39,550,000 Shares in issue.
Payoff Profile
The tables below illustrate how the redemption proceeds 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 and Kaupthing 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 | If Dow Jones EuroStoxx |
| | 50 | 50 |
+------------+-------------------------+-------------------------+
| | Index never closes | Index closed below |
| | below 1,651.49+ | 1,651.49+ |
+------------+-------------------------+-------------------------+
| Final |Redemption |Redemption |Redemption |Redemption |
| EuroStoxx | | | | |
+------------+------------+------------+------------+------------+
| 50 Index* | Proceeds | Proceeds | Proceeds | Proceeds |
| | (1) | (2) | (1) | (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 and Kaupthing. The redemption proceeds 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 31 August 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
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