SALTUS EUROPEAN DEBT STRATEGIES LIMITED
(The "Company")
(Registered in Guernsey - Number 46912)
Registered Office:
2ND FLOOR, REGENCY COURT, GLATEGNY ESPLANADE,
ST PETER PORT, GUERNSEY GY1 3NQ
TELEPHONE: +44 1481 720321
FACSIMILE: +44 1481 716117
E-MAIL: Funds@bfgl.com
|
For Immediate Release
|
8 June 2010
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Liquidity Update
The purpose of this release is to provide shareholders with additional information on portfolio liquidity and an update on progress made to date in respect of realising cash from the illiquid elements of the portfolio.
Liquidity Policy
As previously announced the Company intends to hold a wind-up vote at the Annual General Meeting in 2012. Assuming that this wind-up vote is passed, the Company expects to return capital to shareholders as soon as reasonably practicable thereafter. The liquidity of the portfolio is being managed in the interim period to maximise the expected level of capital which can be returned at that point. To clarify, this means that the Company will not enter into any new investments or commitments which would lock up capital beyond the expected date of the wind-up vote. Moreover, as the Company's surplus liquidity position builds up, it is the manager's intention to use part of such surplus liquidity to return capital to share holders through share buy-backs.
Summary Liquidity Profile
The summary liquidity profile of the Company's investments at 30 April 2010 was as follows:
|
Frequency of Redemption
|
|
Current Value
|
|
|
|
|
|
(% NAV)
|
(£m)
|
|
Quarterly
|
|
|
|
36%
|
10.0
|
|
Semi-annual
|
|
|
8%
|
2.3
|
|
Annual
|
|
|
|
|
7%
|
1.9
|
|
Less frequent (excluding uncalled commitments)
|
|
15%
|
4.0
|
|
Liquidating share classes
|
22%
|
6.0
|
|
Cash
|
|
|
|
|
12%
|
3.3
|
|
Total
|
|
|
|
|
|
100%
|
27.4
|
|
|
|
|
|
|
|
|
The illiquid elements of the portfolio are made up of the "Less Frequent" and "Liquidating Share Classes" categories in the table above. Between them, these account for 37% of the fund's net asset value. In addition there are €3.6m (£3.1m, 11.4% of NAV) of uncalled commitments to funds in the "Less Frequent" category.
This information can be found at http://www.saltus.co.uk/funds/saltus-european-debt-strategies/documents/ updated monthly.
A summary of the liquidity terms, together with portfolio weightings is set out in the table below*:
|
|
Initial
|
Ccy
|
Notice
|
Redemption
|
Weighting
|
|
|
Investment
|
|
Period
|
Frequency
|
(%NAV)
|
|
Liquid Investments
|
|
|
|
|
|
|
Liontrust Credit
|
Jul 07
|
€
|
45
|
Quarterly
|
3.3%
|
|
Trafalgar Discovery - C
|
Jul 07
|
€
|
90
|
Semi-annual
|
5.6%
|
|
Ironshield Special Situations
|
Apr 08
|
€
|
90
|
Quarterly
|
5.0%
|
|
King Street Europe
|
Apr 08
|
$
|
90
|
Monthly
|
10.1%
|
|
Fortelus Special Situations
|
Jul 08
|
€
|
90
|
Annual
|
6.6%
|
|
Strategic Value Partners Restructuring
|
Jul 08
|
$
|
90
|
Quarterly
|
6.5%
|
|
RAB European Credit Opps
|
Aug 08
|
€
|
30
|
Monthly
|
10.9%
|
|
|
|
|
|
|
48.1%
|
|
Funds which are Suspended/Liquidating Share Classes
|
|
|
|
|
|
Cognis I
|
Jul 07
|
€
|
|
|
8.7%
|
|
Oaktree European Credit Opportunities
|
Jul 07
|
€
|
|
|
2.7%
|
|
Pardus
|
Jul 07
|
$
|
|
|
4.7%
|
|
Trafalgar Discovery - E
|
Jul 07
|
€
|
|
|
1.9%
|
|
Trafalgar Kahala Jet
|
Jul 07
|
€
|
|
|
5.0%
|
|
ADM Gladius
|
Dec 07
|
$
|
|
|
1.9%
|
|
|
|
|
|
|
26.6%
|
|
Funds with Private Equity Draw-down Structures
|
|
|
|
|
|
Apollo European Principal Finance Fund
|
Jan 08
|
€
|
|
|
5.9%
|
|
Oaktree European Principal Opportunities
|
Feb 08
|
€
|
|
|
5.1%
|
|
|
|
|
|
|
11.7%
|
|
|
|
|
|
|
|
|
Portfolio Total
|
|
|
|
|
86.4%
|
|
Cash/(Overdraft)
|
|
£
|
|
|
13.6%
|
|
Net Asset Value
|
|
£
|
|
|
100.0%
|
* Investments which were below 1% of NAV are not listed separately, but are included within subtotals throughout.
Liquidity Terms of "Less Frequent Liquidity" Investments
Two investments make up the "less frequent" element of the portfolio. The table below sets out the levels of capital commitments, together with an overview of the legal liquidity terms:
|
Name of Fund
|
Initial Commitment
|
Current Value
|
Uncalled Commitment
|
Legal Life of Fund
|
|
Apollo European Principal Finance Fund
|
€5.0m
|
€1.9m
|
€2.5m
|
Outstanding commitments may be called up to December 2012. The life of the Fund itself is up to December 2014 though this may be extended by a further two years at the discretion of the General Partner and for further periods with consent of a majority of Limited Partners.
|
|
Oaktree European Opportunities Fund
|
€2.5m
|
€1.6m
|
€1.1m
|
Outstanding commitments may be called up to December 2012. There is also provision in the partnership agreement for limited calls after this time to complete fund investments already made. The life of the fund is 10 years (to 2017) extendable by a further 5 years.
|
|
|
|
|
|
|
It should be noted that the managers of these funds expect that capital will be called significantly sooner than the legal investment period allows for in each case, and that the weighted average life of each investment is expected to be significantly shorter than allowed for under the terms of the funds' legal documents. However, there can be no certainty as to the precise timing of cash flows. Capital calls to date have been slower than anticipated at the outset, given the dislocation of credit markets and the cautious stance adopted by the manager in each case. Notwithstanding the above, the managers regard the opportunity set for these investment strategies as particularly compelling in the current environment, with a higher expected premium available to investors prepared to commit to illiquid investments than has been the case historically.
Update on Progress to Date in Realising Liquidity and Performance
The table below sets out redemption and investment activity since 31 December 2008 - the point in time when a number of funds suspended redemptions and/or restructured their fund to create liquidating share classes. Significant progress has been made in this regard. As can be seen from the table, the investments in liquidating share classes have (with a small number of notable exceptions) continued to perform poorly since the suspension of liquidity, in contrast to the liquid portion of the portfolio and the Less Frequent Liquidity funds. All of the poorly performing investments were made during the period prior to the change of portfolio manager in January 2008. Investments made since this date have generally performed strongly.
|
|
Initial Invest
|
|
Valuation at
31/12/08
|
Net Redempts
|
Valuation at 30/04/10
|
Gain/Loss since 31/12/08
|
|
|
Date
|
CCY
|
(LC m)
|
(£ m)
|
(LC m)
|
(LC m)
|
(£ m)
|
(%)
|
(LC m)
|
(%)
|
|
Liquid Investments
|
|
|
|
|
|
|
|
|
|
|
|
Liontrust Credit
|
Jul 07
|
€
|
2.48
|
2.37
|
1.85
|
1.03
|
0.90
|
3.3%
|
+0.40
|
+16.3%
|
|
Taconic
|
Jul 07
|
$
|
4.14
|
2.84
|
4.55
|
0.00
|
0.00
|
0.0%
|
+0.41
|
+9.9%
|
|
Trafalgar Discovery - C
|
Jul 07
|
€
|
1.50
|
1.44
|
|
1.78
|
1.55
|
5.6%
|
+0.28
|
+18.5%
|
|
Ironshield Special Situations
|
Apr 08
|
€
|
3.08
|
2.11
|
1.91
|
1.59
|
1.38
|
5.0%
|
+0.42
|
+13.6%
|
|
King Street Europe
|
Apr 08
|
$
|
7.72
|
5.30
|
3.58
|
4.22
|
2.76
|
10.1%
|
+0.07
|
+10.9%
|
|
Fortelus Special Situations
|
Jul 08
|
€
|
1.27
|
1.21
|
|
2.10
|
1.82
|
6.6%
|
+0.83
|
+65.4%
|
|
Strategic Value Partners Restructuring
|
Jul 08
|
$
|
2.08
|
1.43
|
|
2.72
|
1.78
|
6.5%
|
+0.64
|
+30.7%
|
|
RAB European Credit Opps
|
Aug 08
|
€
|
2.30
|
2.20
|
|
3.44
|
2.99
|
10.9%
|
+1.14
|
+49.4%
|
|
|
|
|
|
18.91
|
|
|
13.17
|
34.1%
|
|
|
|
Liquidating Share Classes
|
|
|
|
|
|
|
|
|
|
|
|
Aladdin Credit Relative Value
|
Jul 07
|
€
|
1.35
|
1.29
|
1.20
|
0.00
|
0.00
|
0.0%
|
-0.15
|
-11.0%
|
|
Cognis I
|
Jul 07
|
€
|
3.25
|
3.11
|
0.09
|
2.74
|
2.38
|
8.7%
|
-0.42
|
-13.1%
|
|
MKM Longboat
|
Jul 07
|
$
|
0.78
|
0.54
|
0.63
|
0.00
|
0.00
|
0.0%
|
-0.15
|
-19.4%
|
|
Novator
|
Jul 07
|
$
|
2.56
|
1.76
|
2.25
|
0.00
|
0.00
|
0.0%
|
-0.31
|
-12.0%
|
|
Oaktree European Credit Opps
|
Jul 07
|
€
|
0.25
|
0.24
|
|
0.86
|
0.74
|
2.7%
|
+0.61
|
+244.3%
|
|
Orn European Distressed Debt
|
Jul 07
|
$
|
4.53
|
3.11
|
3.78
|
0.37
|
0.24
|
0.9%
|
-0.37
|
-8.3%
|
|
Pardus
|
Jul 07
|
$
|
1.08
|
0.74
|
0.14
|
1.98
|
1.29
|
4.7%
|
+1.03
|
+94.7%
|
|
Tisbury Europe
|
Jul 07
|
€
|
0.27
|
0.26
|
0.17
|
0.06
|
0.05
|
0.2%
|
-0.04
|
-12.9%
|
|
Trafalgar Discovery - D
|
Jul 07
|
€
|
0.26
|
0.25
|
|
0.21
|
0.19
|
0.7%
|
-0.05
|
-19.6%
|
|
Trafalgar Discovery - E
|
Jul 07
|
€
|
1.77
|
1.69
|
0.99
|
0.59
|
0.51
|
1.9%
|
-0.19
|
-10.6%
|
|
Trafalgar Kahala Jet
|
Jul 07
|
€
|
3.88
|
3.71
|
2.25
|
1.57
|
1.36
|
5.0%
|
-0.06
|
-1.5%
|
|
ADM Gladius
|
Dec 07
|
$
|
1.73
|
1.19
|
1.28
|
0.81
|
0.53
|
1.9%
|
+0.36
|
+20.8%
|
|
|
|
|
|
17.89
|
|
|
7.30
|
26.6%
|
|
|
|
Funds with Private Equity Structures
|
|
|
|
|
|
|
|
|
|
|
|
Apollo European Principal Finance
|
Jan 08
|
€
|
1.59
|
1.52
|
-0.06
|
1.86
|
1.61
|
5.9%
|
+0.23
|
+10.3%
|
|
Oaktree European Principal Opps
|
Feb 08
|
€
|
0.85
|
0.82
|
-0.50
|
1.62
|
1.40
|
5.1%
|
+0.26
|
+19.5%
|
|
|
|
|
|
2.82
|
|
|
3.20
|
11.7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio Total
|
|
|
|
39.62
|
|
|
23.66
|
86.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash/(Overdraft)
|
|
|
|
-14.75
|
|
3.74
|
3.74
|
13.6%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value
|
|
|
|
24.87
|
|
|
27.40
|
100.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
GBP:EUR
|
|
|
|
1.0442
|
|
|
1.151
|
|
|
|
|
GBP:USD
|
|
|
|
1.4575
|
|
|
1.528
|
|
|
|
Further Information
If you would like additional information or clarification any of the information contained in this release, or would like to arrange a meeting with the manager, please contact either Saltus Partners or Kepler.
Enquiries:
Saltus Partners LLP
Jon Macintosh 020 7290 9400
Kepler (Investor Liaison)
Hugh van Cutsem 020 7297 5283