18th May 2012 14:53
BLACKROCK ABSOLUTE RETURN STRATEGIES LTDInterim Management Statement - 3 months to 31 March 2012
To the members of BlackRock Absolute Return Strategies Ltd
This interim management statement has been produced solely to provide additional information to shareholders as a body to meet the relevant requirements of the UK Listing Authority's Disclosure & Transparency Rules. It should not be relied on by any other party for any other reason.
This interim management statement relates to the period from 1 January 2012 to 31 March 2012, and contains information that covers this period, and up to the date of publication of this interim management statement. Please note further detailed performance information, including the estimated weekly net asset values are available on the Company's website www.blackrockinternational.com/ bars/library/literature.
Following approval of the Managed Wind-down by Shareholders on 25 August 2011, BlackRock Absolute Return Strategies Ltd is managed with the intention of realising all remaining assets in the Portfolio, in a manner consistent with the principles of prudent investment management and spread of investment risk, with a view to returning invested capital to the Shareholders in an orderly manner.
Stock PerformanceCumulative Performance: 31 March 31 December 30 September 30 June Since 2012 2011 2011 2011 Launch*US$ Shares** Share Price - $9.65 $9.45 $9.45 -Net Asset Value per share - $10.19 $10.23 $10.44 -Discount - 5.30% 7.62% 9.48% - EUR Shares** Share Price - €9.40 €9.20 €9.17 -Net Asset Value per share - €9.93 €9.96 €10.16 -Discount - 5.34% 7.63% 9.74% - GBP Shares Share Price £8.92 £9.31 £9.23 £9.22 -10.8%
Net Asset Value per share £10.07 £9.95 £9.98 £10.18 0.7% Discount
11.41% 6.43% 7.51% 9.43% -
*launch 24 April 2008 ** the Euro and US Dollar denominated share classes were merged into the Sterling denominated share class on 9 March 2012.
Manager's Review
Summary
Markets rallied in the first quarter, driven by waning anxiety over the financial situation in Europe following strong participation in the Long-Term Refinancing Operation by European banks. US economic growth also appeared to show signs of life through job growth, and US consumer sentiment remained resilient. While investors were generally relieved by these developments, many of our underlying managers have maintained a somewhat defensive stance, mindful of still-unresolved macroeconomic risks.
Material Events & Transactions
There were no material events or transactions, except as disclosed, during the three months to 31 March 2012, nor was the Company involved in any other material transactions during the period except the purchase and sale of securities undertaken in the normal course of its business.
Liquidity Update
The following Liquidity Profile for April 2012 was released on 27 April 2012:
The Board of Directors is providing shareholders with an estimate of the current liquidity profile of the portfolio of BlackRock Absolute Return Strategies Ltd (the "Company"). This liquidity profile relates to the availability of funds without taking into consideration issues of portfolio balance. Generally, certain strategies such as Long/Short Equity are more liquid than other strategies, such as Distressed investing. In order to maintain portfolio balance, it may be deemed advisable to effectuate liquidity in a balanced manner rather than the most expeditious manner. This may lead to a slower pace of actualized monetizations as compared to the table below.
The table below sets forth the Company's current estimate of the earliest possible redemption date schedule for the Company's portfolio. It summarises the liquidity of remaining investments as well as taking into account available cash and cash receivables held in the portfolio. The liquidity analysis assumes that: (1) where redemption notices are currently placed, it is assumed redemption proceeds will be received in the normal course following the applicable redemption date; (2) for portfolio holdings for which redemption is possible but redemption notices have not yet been placed due to the balanced manner in which the wind-down is being managed, and taking into consideration lock-ups, fund-level gates that are currently implemented and any investor-level gates, as applicable, it is assumed that redemption notices have been placed at 2nd April 2012 and proceeds will be received in the normal course following the applicable redemption date(s); (3) for portfolio holdings that are either in side-pockets, suspended or liquidating, redemption dates are estimated based on the Investment Manager's current understanding of the underlying fund's targeted date(s) for lifting its suspension or paying out proceeds, as applicable. In each case, actual receipt of proceeds will follow the corresponding redemption date.
Date Cumulative Redemption 30th June 2012 62.7% 30th September 2012 64.8% 31st December 2012 71.0% 31st March 2013 75.2% 30th June 2013 79.3% 30th September 2013 81.4% 31st December 2013 85.6%
The above liquidity schedule is based on the Company's portfolio investments and related estimated net asset values as of 2nd April 2012(1), and actual or anticipated changes in liquidity (gates, side pockets, suspension or liquidation) that have been communicated to the Investment Manager by the underlying funds.
Actual proceeds would be expected to be received following the relevant redemption date in accordance with the underlying fund's stated terms, generally within 60 days (with the exception of proceeds held back until the completion of the applicable annual audit), although where liquidity is constrained, receipt might be further delayed. Other factors, including future events, may affect the Company's ability to redeem its holdings in accordance with the estimated timeframes set out above, as well as the availability, amount or timing of receipt of redemption proceeds.
The above details of the Company's estimated portfolio liquidity profile are indicative only and should not under any circumstances be considered a prediction, forecast or guarantee of the Company's actual portfolio liquidity profile or an indication as to the timing of distributions to shareholders pursuant to the managed wind-down of the Company's portfolio which was approved by shareholders on 25 August 2011. In addition, there is no guarantee that the Company's assets will be realized at their net asset value, and it is possible that the Company may not be able to realize some of its assets at any value.
Note:
(1) The above liquidity schedule is based on the estimated US dollar net asset values communicated to the Investment Manager by the underlying funds. These estimated net asset values do not take into account the potential impact of the Company's currency hedging policy. Currency fluctuations may impact materially the actual redemption proceeds available for distribution to shareholders.
Directorate Change It was announced on 26 April 2012 that in view of the Company's change in corporate strategy that Mr Ruck Keene had resigned as a director of the Company with immediate effect.
Merger of Share Classes On 1 March 2012 it was announced that the Company's Euro and US Dollar share classes would be merged into the Sterling Class as at 5.00 pm on Friday, 9 March 2012.
The merger took place via a conversion of all Euro and US Dollar shares into Sterling shares in accordance with the Company's standard Share Conversion mechanism and the conversion was effected on the basis of the ratio of the February Estimated Monthly Net Asset Value ("NAV") per Share of the class of Shares held (calculated in Euros and US Dollars) to the February Estimated Monthly NAV per Share of the Sterling share class. Fractions of Shares arising on conversion were rounded down.
It was announced on 9 March 2012 that 441,405 Euro denominated shares would be converted to 366,762 Sterling denominated shares and 457,729 US Dollar denominated shares would be converted to 296,763 Sterling denominated shares at 5.00 pm on 9 March 2012.
The Currency Conversion ratios were calculated in accordance with the Company's Articles of Association taking the NAV ratios as per the estimated February Monthly NAVs and the spot currency exchange rates as at 29 February 2012. The conversion ratios were:
0.83092 Sterling denominated Shares for every one Euro denominated Share
0.64836 Sterling denominated Shares for every one US Dollar denominated Share
Shareholder CREST accounts were credited with the new Sterling Shares on 12 March 2012.
The Company made an application to admit 663,525 Sterling denominated Shares to the official list of the UK Listing Authority and to trading on the London Stock Exchange on 12 March 2012.
The Euro and US Dollar share classes were cancelled after the conversion had been completed.
Voting Rights Following the merger of the share classes the Company's issued share capital consisted of 3,234,654 Sterling denominated shares of no par value with 1 voting right per share.
Redemption
On 6 February 2012, the Company announced that approximately 73.5% of the Company's issued share capital would be redeemed at the close of business on 10 February 2012 by way of a compulsory partial redemption of shares by reference to the unaudited monthly NAV of the Company as at December 2011, ("the First Redemption").
The First Redemption was effected pro rata to holdings of shares on the register at the close of business on the Redemption date, the record date for the purposes of the First Redemption, being 10 February 2012. The payments made to shareholders of each share class in respect of redeemed shares were:
£70,929,969 to the Sterling share class (equivalent to £9.9465 per share);
$12,939,932 to the Dollar share class (equivalent to $10.1927 per share);and
€12,151,515 to the Euro share class (equivalent to €9.9256 per share).
Fractions of Shares were not redeemed and the number of shares redeemed for each shareholder was rounded down to the nearest whole number of shares. The amount applied to the partial redemption of shares comprised the monies from the realisation of the Company's investments received up to and including 2 February 2012 pursuant to the winding down of the Company, less any funds used or required to settle any liabilities (including the estimated ongoing day to day running costs of the Company and the costs and expenses of the partial redemption).
The shares of each of the Company's share classes were disabled in CREST on the Redemption Date and the existing ISIN numbers JE00B2PXDB91 (Sterling), JE00B2PXNQ43 (Dollar) and JE00B2PXNC07 (Euro) expired. The new ISIN numbers
JE00B7GVN842 (Sterling), JE00B7GVP227 (Dollar) and JE00B7GVN396 (Euro) in respect of the remaining Shares which were not redeemed were enabled and available for transactions from and including 13 February 2012.
Currency Hedging In an announcement made on 21 November, the Board had advised that it anticipated that the Company's hedging programme would become inefficient as the Company's portfolio was realised. The Board therefore advised on 6 February 2012 that the currency hedging programme had been terminated.
Consequently, holders of Sterling and Euro class shares became exposed to Sterling:US Dollar and the Euro:US dollar exchange rate fluctuations respectively.
Financial Report The Company announced its financial results for the year ended 31 December 2011 on 26 April 2012.
The Board is not aware of any material events or transactions, except as disclosed herein, occurring between 1 April 2012 and the date of publication of this interim management statement which would have a material impact on the financial position of the Company.
BlackRock (Channel Islands) LimitedSecretaryDate: 18 May 2012
XLONRelated Shares:
Smo Gold