DCR Defined Cap.

 

TIDMDCR 
 
RNS Number : 8877X 
Defined Capital Return Fund Ltd 
24 August 2009 
 
The Defined Capital Return Fund Limited 
 
 
Interim Management Review for the three months ended 31 July 2009 
 
 
The Board of The Defined Capital Return Fund Limited (the "Company") is pleased 
to announce its interim management review for the three months ended 31 July 
2009. 
 
 
Total Net Assets 
 
 
+------------+------------+------------+ 
| 31         | 30         | Increase   | 
| July       | April      | /          | 
| 2009       | 2009       | (Decrease) | 
+------------+------------+------------+ 
| 37,424,982 | 33,842,026 | 10.59%     | 
+------------+------------+------------+ 
 
 
Ordinary Shares in Issue on 31 July 2009 
 
 
28,000,000 shares 
 
 
+-------------+---------+--------+------------+ 
|             | 31      | 30     | Increase   | 
|             | July    | April  | /          | 
|             | 2009    | 2009   | (Decrease) | 
+-------------+---------+--------+------------+ 
| Accrued     | 134.37  | 132.28 | 1.58%      | 
| Entitlement |         |        |            | 
| per Share   |         |        |            | 
| under the   |         |        |            | 
| Defined     |         |        |            | 
| Capital     |         |        |            | 
| Return (p)  |         |        |            | 
+-------------+---------+--------+------------+ 
| Net         | 133.66  | 120.86 | 10.59%     | 
| Asset       |         |        |            | 
| Value       |         |        |            | 
| per         |         |        |            | 
| Share       |         |        |            | 
| (p)         |         |        |            | 
+-------------+---------+--------+------------+ 
| Market      | 124.50  | 113.50 | 9.69%      | 
| Price       |         |        |            | 
| per         |         |        |            | 
| Share       |         |        |            | 
| (p)         |         |        |            | 
+-------------+---------+--------+------------+ 
| Premium     | (6.85)% | (6.09) | -          | 
| /           |         |        |            | 
| (Discount)  |         |        |            | 
| to NAV      |         |        |            | 
|             |         |        |            | 
+-------------+---------+--------+------------+ 
 
 
* Unaudited. The Net Asset Value is calculated on the basis of market valuations 
of the Company's portfolio holdings supplied by UBS AG. 
 
 
Portfolio Holdings on 31 July 2009 
 
 
+------------+--------+ 
| Company    | % of   | 
|            | Total  | 
|            | Net    | 
|            | Assets | 
+------------+--------+ 
| Bayerische | 13.26  | 
| Landesbank |        | 
| FRN        |        | 
| 30/10/2009 |        | 
+------------+--------+ 
| Depfa      |   7.79 | 
| Bank       |        | 
| FRN        |        | 
| 30/10/2009 |        | 
+------------+--------+ 
| HBOS       | 13.22  | 
| Treasury   |        | 
| SVS FRN    |        | 
| 30/10/2009 |        | 
+------------+--------+ 
| NIB        | 12.89  | 
| Capital    |        | 
| Bank       |        | 
| FRN        |        | 
| 30/10/2009 |        | 
+------------+--------+ 
| Royal      | 13.24  | 
| Bank       |        | 
| of         |        | 
| Scotland   |        | 
| FRN        |        | 
| 30/10/2009 |        | 
+------------+--------+ 
| Swedbank   | 13.29  | 
| Hypotek    |        | 
| FRN        |        | 
| 30/10/2009 |        | 
+------------+--------+ 
| Total      | 73.69  | 
+------------+--------+ 
 
 
Where "FRN" means Floating Rate Note. 
 
 
Future of the Company 
The Company is approaching its planned wind up date of 30 October 2009.  In 
addition to the Shareholders' entitlement to a full cash exit, the Board is 
actively considering various options to allow Shareholders to continue their 
investment in a UK capital gains tax efficient manner in the shares of an 
investment trust under the management of Philip Gibbs of Jupiter Asset 
Management Limited. A further announcement will be made in September and a 
circular will then be sent to all Shareholders containing full details of the 
Board's recommended proposals. 
 
 
 
 
 
 
 
 
Investment Objective and Policy 
 
 
The investment objective of the Company is to provide ordinary Shareholders with 
a defined capital 
payment per share of 136.49 pence ("Defined Capital Return") at the winding-up 
date. This return will be contingent on the level of the FTSE 100 at the end of 
the life of the Company. Provided that the FTSE 100 on the winding-up date is 
not below 85% per cent of its level on the start date of 4,615.40 ("Start 
Value"), Shareholders will receive the Defined Capital Return on or soon after 2 
November 2009. 
 
 
The Company has and will continue throughout its life to be invested in a 
portfolio of at least 6 medium term floating rate notes ("Bonds") which pay 
interest gross. The interest received from these Bonds is used to meet ongoing 
costs and to fund payments due under the FTSE Transaction which it has entered 
into with UBS AG ("FTSE Transaction Counterparty"). Under the FTSE Transaction, 
the Company swaps periodic amounts based on the interest return received by it 
in respect of the Bonds with the FTSE Transaction Counterparty. In addition, 
under the FTSE Transaction, the FTSE Transaction Counterparty is (provided that 
the final FTSE level is not below the break-even level) obliged to pay an amount 
which, together with the principal amounts payable on redemption of the Bonds, 
is intended to provide the final capital entitlement. If, however, the final 
FTSE level is below the break-even level, no payment is due from the FTSE 
Transaction Counterparty under the FTSE Transaction and, instead, the Company is 
obliged to pay an amount to the FTSE Transaction Counterparty, which amount is 
intended to be funded from the principal amounts payable on redemption of the 
Bonds. 
 
 
The final capital entitlement is only payable at the winding-up date. If at the 
winding-up date the final FTSE level is at least equal to 85% of the Start Value 
then the final capital entitlement will be equal to the Defined Capital Return. 
If the final FTSE level is below 85 per cent of the Start Value, the final 
capital entitlement will be reduced on a straight line basis from the Defined 
Capital Return down to zero when the final FTSE level is less than or equal to 
25 per cent of the Start Value. 
 
 
As at 31 July 2009, the FTSE stood at 4,608.36 and the index cover was 1.174676 
times, this representing the extent to which the FTSE was higher than the level 
required for Defined Capital Return to be paid. If the winding-up date had been 
31 July 2009, the accrued entitlement as at that date would have been 134.37 
pence per share. 
 
 
Any material change in the investment policy of the Company described above may 
only be made with the approval of Shareholders by an ordinary resolution and the 
separate class approval of Geared Income Shareholders. 
 
 
Exposure to other Investment Companies 
 
 
The Company had no exposure to other UK listed investment companies as at 31 
July 2009. 
 
 
Material Events 
 
 
The Board is not aware of any material events or transactions which have 
occurred between 31 October 2008 and the date of publication of this interim 
management statement which would have a material impact on the financial 
position of the Company. 
 
 
Mr Vernon Breese was appointed as a director of the Company on 26 February 2009 
He is considered by the Board to be independent of the Investment Manager for 
the purposes of the Listing Rules of the UK Listing Authority. 
 
 
Availability of Accounts and Monthly Fact Sheets 
 
 
Copies of the Company's most recent report and Accounts to Shareholders together 
with monthly fact sheets for the Company are available for download from 
www.jupiteronline.co.uk and by post or fax on request from the company 
secretarial department. 
 
 
The Company's Ordinary shares are listed on the London Stock Exchange and the 
prices are published in the Financial Times under `Investment Companies'. 
 
 
The Net Asset Values of the Company's ordinary shares are calculated monthly and 
can be viewed on the London Stock Exchange website at 
www.londonstockexchange.com (under the heading 'Market News'). 
 
 
Share Identifiers 
 
 
ISIN: GB00B02WRN57 
Sedol: B02WRN5 
Ticker: DCR/LON 
 
 
For further information, please contact 
 
 
Richard Pavry 
Director of Investment Trusts 
Jupiter Asset Management Limited 
rpavry@jupiter-group.co.uk 
020 7314 4822 
 
 
The Company's Registered office is at Standard Bank House, PO Box 583, 47-49 La 
Motte Street, St Helier, Jersey JE4 8XR, Channel Islands. 
 
 
This interim management statement has been prepared solely to provide 
information to meet the requirements of the UK Listing Authority's Disclosure 
and Transparency Rules. 
 
This information is provided by RNS 
            The company news service from the London Stock Exchange 
   END 
 
 IMSPUUWARUPBUBC 
 

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