Saltus European Debt Strategies Ltd Net Asset Value(s) (8493H)

TIDMSED

RNS Number : 8493H

Saltus European Debt Strategies Ltd

17 July 2012

SALTUS EUROPEAN DEBT STRATEGIES LIMITED

(The "Company") (Registered in Guernsey - Number 46912)

Registered Office:

2(ND) FLOOR, REGENCY COURT, GLATEGNY ESPLANADE,

ST PETER PORT, GUERNSEY GY1 3NQ

TELEPHONE: [phone] FACSIMILE: [phone]

E-MAIL: [e-mail]

 
 For immediate Release   17 July 2012 
 

Saltus European Debt Strategies Limited

(SED LN / SED.L)

Estimated Net Asset Value as at end June 2012

As at the close of business on 30 June 2012, the Company's Estimated Net Asset Value per share was as follows:

Ordinary shares

56.50p

This reflects an increase of 0.1% versus the Net Asset Value per share on 31 May 2012, comprising a positive 0.2% foreign exchange translation effect and a negative return of 0.1% in local currency terms.

As at end June, approximately 61% of the Company's net assets were invested in EUR denominated assets, 13% in $ denominated assets and 26% in GBP denominated assets.

These valuations, which have been prepared in good faith by the Company's Sub Manager, are for information purposes only and are based on the unaudited estimated valuations supplied to the administrators or managers of the Company's underlying investments. Such estimates may be subject to little verification or other due diligence and may not comply with generally accepted accounting practices or other generally accepted valuation principles. In addition, some of those estimates may not be supplied on a regular or timely basis with the result that the values of such investments are based on the latest available estimates which may be some time before the date set out above. Other risk factors which may be relevant to this valuation are set out in the Company's prospectus dated 23 May 2007.

Change in basis of valuation

Investors should note that, as previously announced on 22 June 2012, the Board intends as part of the Proposals which were approved by Shareholders at the Annual General Meeting of the Company on 13 July 2012, to change the basis upon which the Company's investment portfolio is valued. The Board may apply discretion in the application of the revised basis of valuation at its sole authority.

The Company's portfolio currently comprises assets which, under IFRS 7, have been categorised as Level 2 assets, being assets which do not have quoted prices but have inputs (in this instance prices provided by the underlying funds as notified to the Company by the relevant fund manager or the relevant administrator) that are observable either directly (i.e. as prices) or indirectly (i.e. derived from prices). Whilst these valuations may be appropriate in relation to the underlying managers' investment objectives and time horizons for their funds and the current investment strategy of the Company, the Board considers that, in the context of the proposed revised strategy for the Company, it is appropriate to apply a policy that reflects fair market values and recovery expectations. This incorporates a methodology that utilises, among other factors, the present value of expected future recoveries, discounted at a rate appropriate for the level of uncertainty over quantum and timeframe. Whilst the adoption of such a policy is not expected to have a material impact on the carrying value of that element of the Company's portfolio which has known redemption dates, it is more likely to lead to a significant reduction in the carrying value of the Company's Long Lock Funds and Liquidating Share Classes.

The methodology used will involve the following principles:

-- where available, recent transactions by third parties in the same securities or fund interests;

-- the present value of expected future cash recoveries from investments, discounted at a rate which the Board believes sufficiently compensates investors for the illiquidity and risk associated with the uncertainty of timing and quantum. The discount rate used will be reviewed from time to time and may vary from investment to investment; and

   --       the nominal value where fair market value is deemed consistent with the stated NAV. 

Using this valuation methodology the Board intends to publish a quarterly NAV. It will also publish the NAV based on the underlying managers' valuations (i.e. in accordance with the historic accounting policy reflected in the estimated NAV of 56.50p shown above) for purposes of comparison. The Board intends to publish the final NAV for 30 June 2012 on the revised basis as soon as it is available.

Whilst there can be no assurances that actual recovery values will approximate estimated values nor any assurances given that recoveries will occur more quickly or more slowly than estimated, the Board believes that as a result of the adoption of this basis of portfolio valuation methodology the reported NAV of the Company will more closely represent its present recovery value.

For more information please contact:

Jon Macintosh

Saltus Partners LLP

[phone]

Ed Gascoigne-Pees

FTI Consulting Group Ltd

[phone]

This information is provided by RNS

The company news service from the London Stock Exchange

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