Fact Sheet

RNS Number : 7904P

Real Estate Credit Inv. PCC Ltd

07 October 2011

 



07 October 2011

Manager Commentary                                                                                                                 

·      Broader financial markets continue to weaken on fears of inadequate policy response in the Eurozone and associated reduction of economic growth

·      RMBS and CMBS bonds trade lower in sympathy with general widening of credit spreads rather than concerns over credit risk

·      Maintaining a defensive stance whilst selectively adding exposure to good quality bonds with high expected yield to maturity

Figures for RECI Core stated in GBP for 15 September & 30 September 2011

Pro Forma Monthly RECI Core NAV1 (in £ million)	15/09/20117	30/09/20117
Investment Portfolio	81.07	77.69
Cash and Cash Equivalents	14.92	14.75
Derivative Assets	1.37	1.65
Other Assets 2,3	0.86	0.84
	98.22	94.93
Other Liabilities4	(1.01)	(0.99)
Preference Dividend5	(0.85)	-
Ordinary Dividend6	-	(0.56)
Preference Share Liability	(49.96)	(49.96)
	(51.80)	(51.51)
Net Assets (estimate)	46.42	43.42
Shares outstanding	39,966,985	39,966,985
Net Assets per Ordinary Share (estimate)	1.16	1.09

Pro Forma NAV Assumptions

1.        Unaudited figures produced by Cheyne Capital for Investment Portfolio, Cash and Cash Equivalents and Derivative Assets, otherwise uses latest public financial statement figures.  Figures are estimates, and actual audited values may be materially different from the numbers shown.  2.        Other Assets excludes accrued interest on the Investment Portfolio as Investment Portfolio figure includes accrued interest. 3.        Other than above, the Other Assets figure is the same as latest public financial statement figures as at 30 June 2011. 4.        Other Liabilities (predominantly prepaid expenses) stay the same as latest public financial statement figures as at 30 June 2011, apart from a transfer at 31 August of EUR 750k released from Core to Cell in respect of the legal reserve for NGATE litigation. 5.        Preference Dividend liability accrue monthly over the quarter and are paid on each quarter end. 6.        Ordinary Dividend liability is either ex  or cum the dividend at the valuation date. 7.        15 September figures use EURGBP FX rates at 15 September 2011 and 30 September figures use EURGBP FX rates as at 30 September 2011.

Source:  Cheyne Capital. Unaudited. The NAV at the next reporting date may be materially different from the valuations implied above.

Portfolio Summary
Number of bonds	102
Weighted Average Market Price of Portfolio as at 30 September	0.69
Weighted Average Purchase Price of Portfolio as at 30 September	0.69
Asset Purchases 1 September to 30 September 2011 (cost)	2,517,456
Average Purchase Price between 1 September and 30 September 2011	0.61
Average Effective Yield of Purchases between 1 September and 30 September1	22.3%
Asset Sales 1 September to 30 September 2011 (cost)	5,582,401
Average Sale Price between 1 September and 30 September 2011	0.79

1.        The weighted average effective yield is based on Cheyne's pricing assumptions and actual returns may differ materially from those expressed or implied herein. Figures quoted include accrued interest.

Monthly Performance Summary

	April	May	June	July	August	September
% Fair Value Change	0.66%	2.92%	-0.47%	-1.53%	-4.27%	-4.67%
WA Purchase Price	0.78	0.66	0.80	0.69	0.73	0.61
WA Purchase Yield	9.28%	10.57%	11.23%	14.01%	13.00%	22.27%

Portfolio Breakdown as at 30 September 2011

Current Rating2	UK CMBS	UK RMBS	Euro CMBS	Euro RMBS	SME	Total (31 Aug)
AAA	0.0%	0.0%	0.0%	0.0%	0.0%	0.0% (0.0%)
AA	3.0%	13.4%	1.1%	0.0%	0.0%	17.5% (15.8%)
A	5.0%	5.6%	11.5%	0.3%	0.0%	22.4% (23.0%)
BBB	6.9%	5.5%	10.6%	0.0%	1.2%	24.2% (24.2%)
BB and Below	14.2%	3.9%	14.9%	2.9%	0.0%	36.9% (36.9%)
Grand Total	29.1%	28.5%	38.1%	3.2%	1.2%	100.0%

Source:  Cheyne Capital. Unaudited.  N.B. Column totals may not sum due to rounding.  2. Ratings sourced from S&P or Fitch

Top 10 Bonds³ as at 30 September 2011
Market Value                                    £29.0 million
WA Original LTV⁴                             48.5%
WA Cheyne Current LTV⁴             61.8%
WA Effective Yield⁵                       13.9%   

Bond	Class		Collateral Description
TITN 2006-4FS		A2	Portfolio of nursing homes operated by Four Seasons Health Care Group
FLTST 2		A	Senior most bond in a portfolio of Karstadt retail stores in Germany
MPS 4		B	Portfolio of UK non-conforming mortgages
ECLIP 2007-2		A	Senior most bond in a portfolio of 13 loans in Germany & Sweden
TITN 2006-4FS		A1	Portfolio of nursing homes operated by Four Seasons Health Care Group
ESAIL 2006-1		B	Portfolio of UK non-conforming mortgages
PARGN 11		B	Portfolio of UK buy-to-let mortgages
FLTST 2		D	Portfolio of Karstadt retail stores in Germany
TITN 2006-2		B	Portfolio of multi family properties in Germany
QUOKK 2006-1		E	Portfolio of multi family properties in Germany

Source:  Cheyne Capital. Unaudited. 3. Based on fair value of bonds.  4. The Weighted Average Original Loan to Value has been calculated by reference to the original acquisition value of the relevant collateral as disclosed at the time of issue of the relevant bond. The Original LTV is weighted by the market value of the bonds.   The Weighted Average Cheyne Current LTV has been calculated by Cheyne by reference to the current value ascribed to the collateral by Cheyne.  In determining these values, Cheyne has undertaken its own internal valuation of the underlying collateral.  Such valuations have not been subject to independent verification or review.   5.  WA effective yield is based on the effective yield as at most recent purchase and is based on Cheyne's pricing assumptions and actual returns may differ materially from those expressed or implied herein.

RECI Cell Position Summary
Number of Positions	8
Residual Income Portfolio Valuation (30 June 2011)6	€19,867,783

RECI Cell Cash Summary
Cash as at 30 September 2011	€2,380,698

Source:  Cheyne Capital. Unaudited.  Valuation of the Residual Income Portfolio may change, possibly materially, on the next reporting date.  The NAV at the next reporting date may be materially different from the valuation implied above.

6. This figure contains the Residual Income Positions remaining as at 15 September, but at the value per 30 June 2011, unaudited.

Disclaimer:

This document is issued by Cheyne Capital Management (UK) LLP ("Cheyne Capital").  Cheyne is authorised and regulated by the Financial Services Authority of the United Kingdom (the "FSA").

This document is being issued inside and outside the United Kingdom by Cheyne only to and/or is directed only at persons who are professional clients or eligible counterparties for the purposes of the FSA's Conduct of Business Sourcebook.  This document must not be relied or acted upon by any other persons. Cheyne neither provides investment advice to, nor receives and transmits orders from, investors in Real Estate Credit Investments PCC Limited ("RECI") nor does it carry on any other activities with or for such investors that constitute "MiFID or equivalent third country business" for the purposes of the FSA Rules.

The information contained herein is intended only for the person or entity to which it is addressed and may contain confidential and/or privileged material. Any dissemination or other unauthorised use of this information by any person or entity is strictly prohibited. The distribution of this document may be further restricted by law. No action has been or will be taken by either of Cheyne or RECI, to permit the possession or distribution of this document in any jurisdiction (other than as expressly described herein) where action for that purpose may be required. Accordingly, this document may not be given or used in any jurisdiction except under circumstances that will result in compliance with any applicable laws and regulations. Persons to whom this document is communicated should inform themselves about and observe any such restrictions.

This document is not intended to constitute, and should not be construed as, investment advice. Potential investors in RECI should seek their own independent financial advice. This document has been provided to you for informational purposes only and may not be relied upon by you in evaluating the merits of investing in any securities or interests referred to herein. This document is not intended as and is not to be taken as an offer or solicitation with respect to the purchase or sale of any security or interest, nor does it constitute an offer or solicitation in any jurisdiction, including those in which such an offer or solicitation is not authorised or to any person to whom it is unlawful to make such a solicitation or offer. Any person subscribing for an investment must be able to bear the risks involved and must meet the suitability requirements relating to such investments. Some or all alternative investment programs may not be suitable for certain investors.

Although the information in this document is believed to be materially correct, no representation or warranty is given as to the accuracy of any of the information provided. Certain information included in this document is based on information obtained from sources considered to be reliable.  We have not verified any such information and assume no responsibility for the accuracy or completeness thereof.  Any projections or analysis provided to assist the recipient of this document in evaluating the matters described herein may be based on subjective assessments and assumptions and may use one among alternative methodologies that produce different results. Accordingly, any projections or analysis are subject to change without prior notification and should not be viewed as factual and should not be relied upon as an accurate prediction of future results. Furthermore, to the extent permitted by law, neither RECI nor Cheyne nor any of their respective directors, agents, service providers or professional advisers assumes any liability or responsibility nor owes any duty of care for any consequences of any person acting or refraining to act in reliance on the information contained in this document or for any decision based on it.

Past performance is not a reliable indicator of future results.

Among the risks we wish to call to the particular attention of recipients are the following: (1) RECI's investment programme is speculative in nature and entails substantial risks; (2) the investments of RECI may be subject to sudden and large falls in price or value and there could be a large loss upon realisation of a holder's investment, which could equal the total amount invested; (3) as there is no recognised market for many of the investments of RECI, it may be difficult or impossible for RECI to obtain complete and/or reliable information about the value of such investments or the extent of the risks to which such investments are exposed; (4) the use of a single investment manager could mean a lack of diversification and, consequently, higher risk, and may depend upon the services of key personnel, and if certain or all of them become unavailable, RECI may suffer losses; (5) Cheyne will receive performance-based remuneration; (6) the market price of shares in RECI does not necessarily reflect its underlying net asset value; and (7) the price of shares (and the income from them) can go down as well as up and may be affected by changes in rates of exchange.

 

END

 

 

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