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Close Fd MngmtPortII (JAC)

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Wednesday 06 April, 2011

Close Fd MngmtPortII

Inv Obj & Perf Update

RNS Number : 4186E
Close Fund Mngmt Portfolios II PCC
06 April 2011
 



FOR IMMEDIATE RELEASE

 

6 April 2011

 

Close Fund Management Portfolios II PCC Limited (the "Company")

 

- Japanese Accelerated Return Fund II (the "Cell")

 

In order to fulfil the investment objective for the Cell, the Company for the account of the Cell holds seven Debt Securities, including one issued by Glitnir Banki hf and one issued by Kaupthing Bank hf.  These Debt Securities have a nominal value of £7,100,000 each and in aggregate account for approximately 30 per cent of the total nominal value of the Cell's Debt Securities.  In the event of a default by an issuer of a Debt Security purchased by the Company on behalf of the Cell, the Cell will rank as an unsecured creditor in respect of sums due from the issuer of such Debt Security.  In such event, the Cell 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 Cell 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 on behalf of the Cell submitted claims to each of Glitnir Banki hf and Kaupthing Bank hf for £12,780,000 in respect of each one of these Debt Securities, such amounts being equal to the maximum redemption proceeds of £1.80 per £1 nominal. The Winding-Up Committee of Kaupthing Bank hf has written to the Company to advise it accepts ISK 1,356,668,000 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 on account of the Cell the full ISK 1,356,668,000 or, indeed, anything at all and that Glitnir Banki hf may not pay the Company on account of the Cell 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 Cell 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 Cell Share.  The redemption proceeds per Cell Share per the Company's investment objective for the Cell will not be known until after the end of the life of the Cell when the closing value of the Nikkei 225 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 Cell 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 on account of the Cell may therefore be subject to currency fluctuations and/or other market movements.

 

As the Index has closed down more than 50 per cent from its Start Value (i.e. below 7,978.79) on an Index Business Day between the Start Date and the End Date, an Index Barrier Breach has occurred.  In these circumstances, the amount which the Company for the account of the Cell will be required to pay on behalf of the Cell 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 Index as at 31 March 2011 was 9,755.10 .  If the Index closed at this level on the End Date, the redemption proceeds would be approximately 61 pence subject to there being no counterparty default or any unforeseen circumstances.  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 30 pence.  If the Index were to fall by approximately a further 50.3 per cent to a level of approximately 4852.19 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

 

 

Final Nikkei 225

Final Capital

Final Capital

Index*

Entitlement (1)

Entitlement (2)

0

0

0

500

3

0

1,000

6

0

1,500

9

0

2,000

12

0

2,500

15

0

3,000

18

0

3,500

21

0

4,000

25

0

4,500

28

0

5,000

31

0

5,500

34

4

6,000

37

7

6,500

40

10

7,000

43

13

7,500

46

16

8,000

50

19

8,500

53

22

9,000

56

25

9,500

59

29

10,000

62

32

10,500

65

35

11,000

68

38

11,500

72

41

12,000

75

44

12,500

78

47

13,000

81

51

13,500

84

54

14,000

87

57

14,500

90

60

15,000

93

63

15,500

97

66

16,000

101

70

16,500

116

81

17,000

132

92

17,500

148

103

18,000

163

114

18,500

179

125

19,000

180

125

 

* As at 21 December 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 for the account of the Cell were:

 

 

NOMINAL

DEBT SECURITIES PORTFOLIO

HOLDINGS

 

GBP

 

 

Abbey National Treasury Services Plc EMTN 11 January 2012

4,200,000

 

 

Glitnir Banki EMTN 11 January 2012

7,100,000

 

 

HBOS Treasury Services EMTN 11 January 2012

7,100.000

 

 

Irish Life & Permanent EMTN 11 January 2012

7,100,000

 

 

Kaupthing hf EMTN 11 January 2012

7,100,000

 

 

KBC IFIMA EMTN 11 January 2012

7,100,000

 

 

Royal Bank of Scotland EMTN 11 January 2012

7,000,000

 

 

 

TOTAL

 

GBP

 

 

 

46,700,000

 

The Company has also sold for the account of the Cell a Put option with a notional amount of £46,700,000.  The performance of the Put option is linked to the performance of the Index.  At an Index value of 15,957.57 or above at the close of business on 21 December 2011, the Put option will be worth £Nil at maturity.  If the Index is below 15,957.57 at 21 December 2011, the Put option will be worth at maturity a percentage of the notional value, being £46,700,000, equivalent to the percentage fall in the level of the Index over the Calculation Period.

 

There are currently 46,700,000 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
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