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| Share Name | Share Symbol | Market | Type | Share ISIN | Share Description |
|---|---|---|---|---|---|
| BH Credit. $ | LSE:BHCU | London | Ordinary Share | GG00B4T5WS56 | ORD RED SHS NPV $ |
| Price Change | % Change | Share Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.00 | 0.00% | 13.85 | 0.00 | 01:00:00 |
| Industry Sector | Turnover | Profit | EPS - Basic | PE Ratio | Market Cap |
|---|---|---|---|---|---|
| 0 | 0 | N/A | 0 |
TIDMBHCU
RNS Number : 7191Y
BH Credit Catalysts Limited $
03 December 2014
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BH CREDIT CATALYSTS LIMITED
MONTHLY SHAREHOLDER REPORT:
OCTOBER 2014
YOUR ATTENTION IS DRAWN TO THE DISCLAIMER AT THE END OF THIS DOCUMENT
BH Credit Overview
Catalysts BH Credit Catalysts Limited ("BHCC") is a closed-ended investment
Limited company, registered and incorporated in Guernsey on 19 October
Manager: 2010 (Registration Number: 52520).
Brevan Howard BHCC invests all of its assets (net of short-term working
Capital capital) in the ordinary shares of Brevan Howard Credit
Management Catalysts Master Fund Limited (the "Fund"). The investment
LP ("BHCM") manager of the Fund is DW Investment Management, LP ("DWIM").
Administrator: BHCC was admitted to the Official List of the UK Listing
Northern Authority and to trading on the Main Market of the London
Trust Stock Exchange on 14 December 2010.
International Total Assets
Fund $224 mm(1)
Administration 1. As at 31 October 2014 by BHCC's administrator, Northern
Services Trust.
(Guernsey)
Limited
("Northern
Trust")
Corporate
Brokers:
J.P. Morgan
Cazenove
Dexion Capital
Plc
Listing:
London Stock
Exchange
(Premium
Listing)
Summary BH Credit Catalysts Limited NAV per Share (as at 31 October
Information 2014) Share NAV (USD NAV per
Class mm) Share
------------ --------- ---------
USD Shares 41.3 $13.66
------------ --------- ---------
GBP Shares 182.8 GBP13.71
------------ --------- ---------
BH Credit Catalysts Limited NAV per Share % Monthly Change USD 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 1.19 1.07 1.74 -0.52 0.16 1.07 1.18 1.68 1.70 1.52 13.50
------ ----- ----- ----- ----- ------ ------ ----- ------ ------ ------ ------ ------ ------
2014 1.07 1.43 0.49 1.51 0.85 1.47 0.58 -1.00 -0.76 -0.72 4.99
------ ----- ----- ----- ----- ------ ------ ----- ------ ------ ------ ------ ------ ------
GBP 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 1.20 1.05 1.81 -0.52 0.18 1.06 1.13 1.71 1.68 1.54 13.62
------ ----- ----- ----- ----- ----- ------ ----- ------ ------ ------ ------ ------ ------
2014 1.08 1.43 0.53 1.51 0.88 1.48 0.63 -1.01 -0.77 -0.71 5.12
------ ----- ----- ----- ----- ----- ------ ----- ------ ------ ------ ------ ------ ------
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 BHCM. 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
ASC 820 Asset Brevan Howard Credit Catalysts Master Fund Limited
Valuation Unaudited Estimates as at 31 October 2014 % of Gross
Categorisation* Market Value*
------- ---------------
Level
1 45.3
------- ---------------
Level
2 49.4
------- ---------------
Level
3 5.3
------- ---------------
Source: BHCM
* These estimates are unaudited and have been calculated
by BHCM 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 The information in this section has been provided to BHCC
Review for by DWIM.
the Fund
The NAV per share of BHCC USD Shares depreciated by 0.72%
(net of fees and expenses) in October. The largest losses
came from performing corporate long/short strategies in
October. Losses also came from mortgage- and asset-backed
strategies, where gains on long positions were slightly
smaller than losses on hedges. Distressed positions were
down slightly on the month, while corporate structured positions
contributed positive returns.
October was an extremely challenging month across financial
markets, as oil and other commodity prices accelerated their
decline (which started in July) and concern increased regarding
global growth, especially in China and Europe.
It was also decidedly a month of two halves - the first
half of October was extremely challenging and difficult
for financial markets broadly. The final days of September
were full of concern regarding the implications of Bill
Gross's late month resignation from PIMCO. Sentiment among
market participants was further weakened when, after market
close on September 30th, a suit filed by shareholders of
Fannie Mae and Freddie Mac was dismissed from US District
Court. While the Fannie/Freddie suit was idiosyncratic in
nature, shares of the companies were widely held by active
market participants, and prices on the shares fell precipitously
- as much as 50% - on the news that the lawsuit was dismissed.
These losses for some players, combined with the concerns
about global growth, produced a strong "risk-off" sentiment
in the first half of October, which was further strengthened
by the collapse of the AbbVie - Shire merger mid-month.
Many of the Fund's strategies lost money for the month.
However, there were gains in the corporate structured credit
strategy and the residential mortgage-backed securities
strategy. Gains from residential mortgage positions reflected
various sources, including put-back related investments.
In corporate structured credit, the Fund's bespoke synthetic
CDO equity positions recovered losses from September.
Losses for the month were greatest in the performing corporate
long/short strategy, where many positions suffered more
from risk reduction than from changes to either the fundamental
outlook for the companies or the catalysts, which together
form the basis for the Fund's investment. October followed
a difficult third quarter for performing corporate long/short
positions, but in contrast to August and September, there
were no individual positions whose contribution dominated
either losses or gains for the month. Losses were diversified
by sector, across a variety of industries including consumer
discretionary, oil and gas longs, media and technology.
Gains were similarly diverse, with winners in homebuilders,
oil and gas shorts, technology and retail. No individual
position contributed more than approximately 10bp positively
or negatively during the month, but losers outnumbered winners,
leading to overall losses for the month.
As part of our risk aware approach to investing, we reacted
to October's volatility by concentrating risk in our highest
conviction ideas while decreasing exposures across the portfolio
as a whole, and to some individual positions - particularly
those where catalysts were further out on the horizon.
Investment The information in this section has been provided to BHCC
Manager's by DWIM.
Market Review
and Outlook October began under the shadow of macroeconomic concerns
including oil and commodity price weakness and broad concerns
about global growth (particularly outside the US, in Europe
and China), as well as idiosyncratic factors particular
to some hedge funds. These factors resulted in a "risk-off"
sentiment dominating the first half of the month. That sentiment
reached its crescendo on October 15th when the 10yr US Treasury
crossed below the 2% yield level intraday and the AbbVie
- Shire merger was first reported to be in danger of collapse.
Mid-month the S&P 500 had fallen almost 6% (to 1,863) and
high yield CDX index spreads had widened to 400bp from its
starting level of 356bp.
During the final two weeks of the month, however, risk assets
repriced upward. Despite the significant early declines,
the S&P 500 ended the month over 2% higher (2,018 versus
1,946). Similarly, high yield credit spreads ended the month
tighter - closing on October 31st at L+343bp, compared to
L+355bp at the start of the month. Oil, however, did not
recover, and ended October at monthly lows of $80/barrel.
Central banks were active into month end, with the US Fed
officially ending the bond buying portion of its most recent
quantitative easing programme, while just days later the
Bank of Japan announced a ratchet up of its own quantitative
easing programmes.
In corporate credit markets, mutual fund flows were supportive
of investment grade and high yield credit during October.
Investment grade saw positive flows each week in October.
High yield was more mixed, starting the month with outflows,
but seeing positive flows thereafter. While new issue markets
were essentially closed during the difficult two weeks in
the middle of the month, they restarted by month end.
While macro volatility dominated many asset classes over
the month, MBS/ABS held up well. Demand remains strong in
the sector, as demonstrated at the end of October, when
one of the largest legacy, non-agency, residential, mortgage-backed
portfolios to come to market in 2014 traded without any
notable price pressure.
In the commercial real estate space, new issue CMBS spreads
widened early in the month, although very little volume
traded at the lower price levels. As equity and credit markets
rallied into month end, broad CMBS recovered to end October
largely unchanged in terms of prices.
Enquiries Northern Trust International Fund Administration Services
(Guernsey) Limited
Harry Rouillard +44 (0) 1481 74 5315
Important Legal Information and Disclaimer
BH Credit Catalysts Limited ("BHCC") is a feeder fund investing in Brevan Howard Credit Catalysts Master Fund Limited (the "Fund"). Brevan Howard Capital Management LP ("BHCM") and DW Investment Management, LP ("DWIM") have supplied certain information herein regarding BHCC's and the Fund's performance and outlook.
The material relating to BHCC and the Fund included in this report is provided for information purposes only, does not constitute an invitation or offer to subscribe for or purchase shares in BHCC or the Fund and is not intended to constitute "marketing" of either BHCC or the Fund as such term is understood for the purposes of the Alternative Investment Fund Managers Directive as it has been implemented in states of the European Economic Area. 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 to be reliable, but none of BHCC, the Fund, BHCM or DWIM make any representation as to their accuracy or completeness. Any estimates may be subject to error and significant fluctuation, especially during periods of high market volatility or disruption. Any estimates should be taken as indicative values only and no reliance should be placed on them. Estimated results, performance or achievements may materially differ from any actual results, performance or achievements. Except as required by applicable law, BHCC, the Fund, BHCM and DWIM expressly disclaim any obligations to update or revise such estimates to reflect any change in expectations, new information, subsequent events or otherwise.
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. All investments are subject to risk. You are advised to seek expert legal, financial, tax and other professional advice before making any investment decisions.
THE VALUE OF INVESTMENTS CAN GO DOWN AS WELL AS UP. YOU MAY NOT GET BACK THE AMOUNT ORIGINALLY INVESTED AND YOU MAY LOSE ALL OF YOUR INVESTMENT. PAST PERFORMANCE IS NOT A RELIABLE INDICATOR OF FUTURE RESULTS.
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 gaining exposure to the Fund) should consult an authorised person specialising in advising on such investments. Any person acquiring shares in BHCC must be able to bear the risks involved. These include 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 are 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 Fund's 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. There is no secondary market for investors' interests in the Fund and none is expected to develop.
-- 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 and its investment manager are 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 of BHCC or the Fund and therefore reference should be made to publicly available documents and information.
This information is provided by RNS
The company news service from the London Stock Exchange
END
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