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Close Eur Accelerate (CEAF)

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Wednesday 06 April, 2011

Close Eur Accelerate

Inv Obj & Perf Update

RNS Number : 4182E
Close European Accelerated Fund Ltd
06 April 2011
 



FOR IMMEDIATE RELEASE

 

6 April 2011

 

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 have a nominal value of £6,000,000 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 Banki hf and Kaupthing Bank hf 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 Banki hf and Kaupthing Bank hf, claiming £10,050,000 in respect of each one of these Debt Securities, such amounts being equal to the maximum redemption proceeds of £1.675 per £1 nominal.  The Winding-Up Committee of Kaupthing Bank hf has written to the Company to advise it accepts ISK 1,125,075,218 of the claim.  The Winding-Up Board of Glitnir Banki hf has postponed a decision on the Company's claim until 14 April 2011.

 

Shareholders should be aware that it is likely that Kaupthing Bank hf may not pay the Company the full ISK 1,125,075,218 or, indeed, anything at all and that Glitnir Banki hf may not pay the Company the full amount claimed or anything at all.  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. The amounts claimed or accepted should not be considered forecasts of the amounts which will be due from Kaupthing Bank hf or Glitnir Banki hf on the maturity of the relevant Debt Securities, nor are they a reflection of the net asset value per Share.  The redemption proceeds per Share as 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 Dow Jones Eurostoxx 50 Index (the "Index") on the End Date is known and may not be the amounts claimed or accepted.

 

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.

 

Index Barrier

 

If 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. As at the date of this announcement, an Index Barrier Breach has not occurred.

 

 

As at 31 March 2011

 

The official closing level of the Index as at 31 March 2011 was 2,910.91 .  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 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 redemption proceeds would be approximately 69.50 pence, and if the Index were to fall by approximately a further 65.6 per cent to a level of approximately 1,002 as at the End Date, the redemption proceeds of the Shares would be zero. 

 

Payoff Profile

 

The tables below illustrate how the redemption proceeds of the Shares might vary for different ending levels of the 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

Redemption

Redemption

Redemption

Redemption

50 Index*

Proceeds (1)

Proceeds (2)

Proceeds (1)

Proceeds (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 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 March 2011 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 Bank hf 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 £39,550,000.  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 £Nil 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 £39,550,000, 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.

 

There are currently 39,550,000 Shares in issue.

 

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_products.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.

 

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
 
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