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Company BH Credit Catalysts Limited $
TIDM BHCU
Headline

Monthly Shareholder Report

Released 15:33 27-Mar-2013
Number 0465B15

RNS Number : 0465B
BH Credit Catalysts Limited $
27 March 2013
 



 

 

 

                       

 

 

 

 

 

 

BH CREDIT CATALYSTS LIMITED

MONTHLY SHAREHOLDER REPORT                                                         
FEBRUARY 2013

ADV04162 CONFIDENTIAL DO NOT COPY OR DISTRIBUTE

Your attention is drawn to the disclaimer at the beginning and end of this document
© Brevan Howard (2013). All Rights Reserved.

 

 

Important Legal Information and Disclaimer

BH Credit Catalysts Limited ("BHCC") is a feeder fund which invests in Brevan Howard Credit Catalysts Master Fund Limited (the "Fund"). DW Investment Management, LP ("DWIM"), Brevan Howard Asset Management LLP ("BHAM") and Brevan Howard Capital Management LP ("BHCM" and BHCM together with BHAM, "Brevan Howard") have supplied the information herein regarding BHCC's and the Fund's performance and outlook.  BHAM is authorised and regulated by the Financial Services Authority (the "FSA") of the United Kingdom.

This material constitutes a financial promotion for the purposes of the Financial Services and Markets Act 2000 and the handbook of rules and guidance issued from time to time by the FSA (the "FSA Rules").

The material relating to BHCC and the Fund included in this report has been prepared by DWIM and Brevan Howard and is provided for information purposes only and does not constitute an invitation or offer to subscribe for or purchase shares in BHCC or the Fund. This material is not intended to provide a sufficient basis on which to make an investment decision. Information and opinions presented in this material relating to BHCC and the Fund have been obtained or derived from sources believed by DWIM and Brevan Howard to be reliable, but DWIM and Brevan Howard make no representation as to their accuracy or completeness. Estimated results, performance or achievements may materially differ from any actual results, performance or achievements. Except as required by applicable law, BHCC, the Fund, DWIM and Brevan Howard expressly disclaim any obligations to update or revise such estimates to reflect any change in expectations, new information, subsequent events or otherwise. All investments are subject to risk. Prospective investors are advised to seek expert legal, financial, tax and other professional advice before making any investment decisions.

Tax treatment depends on the individual circumstances of each investor in BHCC and may be subject to change in the future. Returns may increase or decrease as a result of currency fluctuations.

You should note that, if you invest in BHCC, your capital will be at risk and you may therefore lose some or all of any amount that you choose to invest. This material is not intended to constitute, and should not be construed as, investment advice. Potential investors in BHCC should seek their own independent financial advice.  BHAM neither provides investment advice to, nor receives and transmits orders from, investors in BHCC nor does it carry on any other activities with or for such investors that constitute "MiFID or equivalent third country business" for the purposes of the FSA Rules.

PAST PERFORMANCE IS NOT A RELIABLE INDICATOR OF FUTURE RESULTS

 



BH Credit Catalysts Limited

Manager:

Brevan Howard Capital Management LP ("BHCM")

Administrator:

Northern Trust International Fund Administration Services (Guernsey) Limited ("Northern Trust")

Corporate Brokers:

J.P. Morgan Securities Ltd

Dexion Capital Plc

Listing:

London Stock Exchange

(Premium Listing)

 

Overview

BH Credit Catalysts Limited ("BHCC") is a closed-ended investment company, registered and incorporated in Guernsey on 19 October 2010 with an unlimited life (Registration Number: 52520). The manager of BHCC is Brevan Howard Capital Management LP ("BHCM").

BHCC invests all of its assets (net of short-term working capital) in the ordinary shares of Brevan Howard Credit Catalysts Master Fund Limited (the "Fund"). The investment manager of the Fund is DW Investment Management, LP ("DWIM").

BHCC was admitted to the Official List of the UK Listing Authority and to trading on the main market of the London Stock Exchange on 14 December 2010.

 

 

Total Assets: $184.7mm1

1. As at 28 February 2013 by BHCC's administrator, Northern Trust.

 

 

 

NAV Performance (%)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ASC 820 Asset
Valuation Categorisation*

 

 

 

 

 

 

BH Credit Catalysts Limited NAV per share (as at 28 February 2013)

Shares Class

NAV  (USD mm)

NAV per Share

USD Shares

61.2

$11.69

GBP Shares

123.5

£11.72



 

BH Credit Catalysts Limited NAV per Share % Monthly Change

USD Shares

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

YTD

2011

1.78

1.55

0.91

2.14

-0.03

-2.16

0.50

-0.37

-0.96

-0.50

-1.49

-0.50

0.81

2012

0.64

1.15

2.36

1.51

1.17

-0.10

1.38

1.39

1.65

0.80

0.73

1.26

14.83

2013

1.73

0.24











1.98

 

GBP Shares

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

YTD

2011

1.74

1.54

0.95

2.08

0.05

-2.16

0.51

-0.33

-0.93

-0.50

-1.49

-0.47

0.89

2012

0.64

1.15

2.40

1.50

1.22

-0.06

1.40

1.36

1.62

0.81

0.75

1.26

14.95

2013

1.76

0.27











2.04


Source: Fund data is provided by the Administrator of the Fund, International Fund Services (Ireland) Limited. BHCC NAV and NAV per Share data is provided by BHCC's Administrator, Northern Trust. BHCC NAV per Share % Monthly Change is calculated by Brevan Howard. BHCC NAV data is unaudited and net of all investment management fees (2% annual management fee and 20% performance fee) and all other fees and expenses payable by BHCC.

NAV performance is provided for information purposes only. Shares in BHCC do not necessarily trade at a price equal to the prevailing NAV per Share.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

 

 

 

 

Brevan Howard Credit Catalysts Master Fund Limited

Unaudited Estimates as at 28 February 2013

 

 

% of Gross Market Value

Level 1

52

Level 2

46

Level 3

2

 

Source: Brevan Howard

* These estimates are unaudited and have been calculated by Brevan Howard using the same methodology as that used in the most recent audited financial statements of the Fund. These estimates are subject to change.

Level 1: This represents the level of assets in the portfolio which are priced using unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities.

Level 2: This represents the level of assets in the portfolio which are priced using either (i) quoted prices that are identical or similar in markets that are not active or (ii) model-derived valuations for which all significant inputs are observable, either directly or indirectly in active markets.

Level 3: This represents the level of assets in the portfolio which are priced or valued using inputs that are both significant to the fair value measurement and are not observable directly or indirectly in an active market.

Performance Review

DW Investment Management, LP ("DWIM") has provided the following performance review and market summary.

 

The NAV per share of BHCC USD shares appreciated by 0.24% (net of fees) in February. The Fund generated gains from MBS/ABS strategies and incurred losses in corporate credit strategies.

The leading contributor to MBS/ABS strategies was non-agency US residential MBS, where the Fund's long positions continued to appreciate, well above the losses from short positions against the RMBS longs. Gains were roughly equal across wrapped (insured) and uninsured RMBS. There were gains from a small multi-asset class CDO position that had a strong payoff on one of the underlying securities in the CDO. There were also gains in non-mortgage ABS as well as small losses in CMBX and European MBS.   

In corporate credit strategies, small gains in distressed and structured securities were offset by losses in single-name performing positions. 

 

Market Summary

 

 

 

 

 

US corporate credit spreads were relatively unchanged in February, while European credit spreads widened in the month, driven largely by Eurozone banks, which were markedly wider, with the widening occurring after the Italian elections.

Interestingly, the predicted "Great Rotation" from credit instruments into equities is not happening, at least with respect to retail investors. US mutual fund investors continued to show a preference for credit instruments over equities, with both receiving in-flows while investors drew down cash balances. We are seeing a rotation from fixed rate high yield unsecured bonds to floating rate high yield leveraged loans from those investors, as the former saw small outflows while leveraged loans had very strong in-flows in February. While there was strong gross issuance of corporate bonds in the US ($58 billion with investment grade ratings and $18 billion of below investment grade), the net supply after taking into account maturing corporate debt (only $41 billion combined) is well below the amount of fixed income instruments the Fed continues to take out of the market through secondary purchases of agency MBS and treasuries. The ABX and CMBX mortgage indices actually fell slightly in price terms. 

While some market participants, seeing the improved employment data in the US, were ready to call for the Fed to stop asset purchases and perhaps think about raising rates, Fed Chairman Bernanke and his 'dovish' colleagues continue to pursue quantitative easing, and may continue even as the US economy continues to improve. The fiscal headwinds are reasonably strong, at least for this year, and, as we saw in February, there is still at least some risk of European surprise. This will likely lead to the Fed continuing asset purchases longer than might have analytically been predicted.

 

 

Enquiries

 

 

Northern Trust International Fund Administration Services (Guernsey) Limited

Harry Rouillard +44 (0) 1481 74 5315



 

Risk Factors

Acquiring shares in BHCC may expose an investor to a significant risk of losing all of the amount invested. Any person who is in any doubt about investing in BHCC (and therefore the Fund) should consult an authorised person specialising in advising on such investments. Any person subscribing for shares in BHCC must be able to bear the risks involved. These include, among others detailed in BHCC's Prospectus, the following:

• The Fund is speculative and involves substantial risk.

• The Fund will be leveraged and will engage in speculative investment practices that may increase the risk of investment loss. The Fund may invest in illiquid securities.

• Past results of the Fund's investment manager is not necessarily indicative of future performance of the Fund, and the Fund's performance may be volatile.

• An investor could lose all or a substantial amount of his or her investment.

• The investment manager has total investment and trading authority over the Fund, and the Fund is dependent upon the services of the investment manager. The use of a single advisor could mean lack of diversification and, consequently, higher risk.

• Investments in the Fund are subject to restrictions on withdrawal or redemption and should be considered illiquid.

• The investment manager's incentive compensation, fees and expenses may offset the Fund's trading and investment profits.

• The Fund is not required to provide periodic pricing or valuation information to investors with respect to individual investments.

• The Fund is not subject to the same regulatory requirements as mutual funds.

• A portion of the trades executed for the Fund may take place on foreign markets.

• The Fund is subject to conflicts of interest.

• The Fund is dependent on the services of certain key personnel, and, were certain or all of them to become unavailable, the Fund may prematurely terminate.

• The Fund's managers will receive performance-based compensation. Such compensation may give such managers an incentive to make riskier investments than they otherwise would.

• The Fund may make investments in securities of issuers in emerging markets. Investment in emerging markets involve particular risks, such as less strict market regulation, increased likelihood of severe inflation, unstable currencies, war, expropriation of property, limitations on foreign investments, increased market volatility, less favourable or unstable tax provisions, illiquid markets and social and political upheaval.

The above summary risk factors do not purport to be a complete description of the relevant risks of an investment in shares in BHCC and therefore reference should be had to BHCC's Prospectus and related offering documentation for a complete description of these and other relevant risks.

 


This information is provided by RNS
The company news service from the London Stock Exchange
 
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