Inv Obj & Perf update
03 Junio 2010 - 11:29AM
UK Regulatory
TIDMJAC
RNS Number : 0565N
Close Fund Mngmt Portfolios II PCC
03 June 2010
FOR IMMEDIATE RELEASE
3 June 2010
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 GBP7,100,000 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 claim forms to each of Glitnir Banki HF and
Kaupthing Bank HF, claiming GBP12,780,000 in respect of each one of these Debt
Securities, such amounts being equal to the maximum redemption proceeds of
GBP1.80 per GBP1 nominal.
The amount claimed should not be considered a forecast of the amount which will
be due from Glitnir Banki HF and Kaupthing Bank HF 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 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 on the End Date is known and may not be the amount currently
claimed.
Shareholders should be aware that it is likely that Glitnir Banki HF and
Kaupthing Bank HF may not pay the Company on account of the Cell 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 Cell
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 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 Nikkei 225 Index (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 Nikkei 225 Index as at 28 May 2010 was
9,762.98 +. If the Index closed at this level on the End Date, the redemption
proceeds would be approximately 61.00 + 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 30.00 + pence. If the Index were
to fall by approximately a further 50.3 + per cent to a level of approximately
4,852.19+ as at the End Date, the redemption proceeds of the Shares would be
zero. There are currently 46,700,000 Shares in issue.
Payoff Profile
The tables below illustrate how the redemption proceeds of the Shares might vary
for different ending levels of the Nikkei 225 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 28 May 2010 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 | 4,200,000 |
| January 2012 | |
+------------------------------------------------+------------+
| | |
+------------------------------------------------+------------+
| 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 GBP46,700,000. 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 GBPNil at
maturity. If the Index is still below 15,957.57 at 21 December 2011, the Put
option will be worth at maturity a percentage of the notional value, being
GBP46,700,000, equivalent to the percentage fall in the level of the Index over
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
This information is provided by RNS
The company news service from the London Stock Exchange
END
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