Carador Income Fund Plc (CIFU LN) December 2014

Transcription

Carador Income Fund Plc (CIFU LN)
December 2014
U.S. $ Share Total NAV Return Performance Data: (1, 3, 4)
MONTH END SHARE PRICE DATA (2,5)
Total Return Data
-0.07%
NAV per U.S. $ Share:
$0.8993
U.S. $ Share Closing Price:
$0.8963
Premium/Discount:
-0.33%
Market Capitalisation:
Total Asset Value:
$486.9m
$488.6m
Dividend:
U.S. $ Shares Historic Yield:
Q4 2014 Dividend per U.S. $ Share:
11.16%
$0.025
$0.025
$0.025
$0.025
KEY FACTS
Manager:
GSO / Blackstone Debt Funds Management LLC
- Mark Moffat
+44 20 7104 4668
- Poh Heng Tan
+44 20 7451 4411
- Marisa Virseda
+44 20 7451 4449
- Adam Hockley
+44 20 7451 4273
Overview:
Carador Income Fund Plc (‘Carador’, the
‘Company’ or the ‘Fund’) is an Irish closedend fund listed and traded on the London
Stock Exchange.
Investment Objective:
To produce attractive and stable returns with
low volatility compared to equity markets by
investing in a diversified portfolio of Senior
Notes of CLOs collateralised by senior
secured Bank Loans and equity and
mezzanine tranches of CLOs.
Dividends:
Carador operates a distribution policy which
pays dividends quarterly from the net income
received from investments save for CLO
equity notes where an element of cash
receipts can be treated as capital.
Fees:
Management
1.5%
Performance
13%
(Hurdle: NAV increased by the greater of: 12
month $LIBOR plus 2%; and 6%. Subject to a
high watermark)
Contact details:
Carador Income Fund Plc
Ciara Timon
State Street Fund Services (Ireland) Limited
Company Secretary
Tel: +353 1 776 6483
Ciara.timon@statestreet.com
Annualised
Vol (%)
YTD (%)
Carador Income $ Share NAV
-0.07%
6.30%
6.30%
18.61%
23.94%
10.30%
CS Leveraged Loan Index ($)
-1.10%
2.06%
2.06%
5.84%
5.83%
5.71%
CS High Yield Index ($)
-1.72%
1.86%
1.86%
7.91%
8.68%
7.78%
S&P 500 Index
-0.26%
13.68%
13.68%
20.40%
15.45%
14.37%
U.S. $ Share Class Cumulative NAV Performance: (1, 4)
320
300
Total Return (Base 100)
U.S. $ Shares Monthly NAV:
Annualised 1 Annualised 3 Annualised 5
year (%) years (%)
years (%)
31-Dec-14
280
260
240
220
200
180
160
140
120
100
80
Carador Income Fund $ NAV Total Return
CS HY Index
CS Leveraged Loan Index
Market Commentary:
 December was an uncertain month for many markets globally. The acceleration of the decline in oil prices,
steep falls in the Russian rouble, and the failure of Greece to elect a President forcing imminent elections, each
focussed attention on risk assets. With this background it was not surprising to see both leveraged loans and
high yield bonds in the U.S. fall, with the respective Credit Suisse indices returning -1.10% and -1.72% in
December, taking 2014 total returns to +2.06% and +1.86%, respectively. The Company outperformed both
indices in the month and has outperformed both during 2014 by +4.24% and +4.44%, respectively. (4)
 The U.S. loan market ended 2014 with total new institutional issuance volume of $379 billion, down from the
2013 total of $455 billion. In part, the decline was due to the welcome fall in loan refinancings to $101 billion
from $213 billion in 2013. Q4 2014 was a particularly light quarter with just $44 billion of new U.S. loans, a three
year low, as loan spreads widened given volatility in the oil and gas sector and continued retail loan fund
outflows. (8)
 There were no defaults in December so the S&P lagging 12 month default rate, by number, ended the year at
0.62%, a 21 month low. However, 2015 has started with the expected default of Caesars Entertainment ($5.4
billion of bank loans outstanding). As at 31 December 2014, Carador had a negligible look-through exposure to
Caesars of 0.077%. (8)
 Secondary CLO volumes were light in December as a bid:offer gap emerged on how severely to treat oil and gas
exposure. The new year has started with a gradual pick-up in secondary activity although CLO Income Note
prices remain relatively soft which, given a growing primary CLO pipeline and continued declines in the oil price,
we believe is likely to continue into February.
Fund Commentary:
 The Company received an estimated $16,239,545 worth of net cash flows in Q4 2014 (Q3 2014; $13,650,265) or
approximately $0.0299 per share.
 The annualised cash on cash payments on Income Notes received by the Company during Q4 2014 ranged from
9.36% to 38.57% (weighted average; 20.21%) based on original purchase price, or 9.10% to 50.01% (weighted
average; 25.26%) based on the latest valuation.
 In total, an estimated 7.05% of the cash flow received by the Company from Income Notes during Q4 2014 was
allocated to principal (Q3 2014; 5.49%).
 The Company added three positions in December at varying risk:return levels: firstly, in the secondary market,
an Income Note from a 2013 vintage CLO managed by THL Credit Advisors for a target 14% IRR; secondly, a
primary B rated investment from the same manager for a target 11.6% IRR; and lastly a BB investment from a
primary CLO managed by Highbridge Capital for a target IRR of 9.8%. Prices for both the BB and B bonds were in
the high 80s offering upside in the event of higher than forecast prepayments.
 Concurrent with the release of this report the Board has declared a dividend of $0.0250 per U.S. Dollar Share for
Q4 2014 taking the total declared dividends in respect of 2014 to $0.100 per U.S. Dollar Share representing
approximately 95% of the net income for the year. The dividend is payable on 4 February 2015 to shareholders
on the register as at the close of business on 30 January 2015 and the corresponding Ex-Dividend Date will be 29
January 2015. The Directors also announced that for 2015 the Company will maintain a target annual dividend
of $0.100 per U.S. Dollar Share distributed evenly in four quarterly payments. Based on the closing share price
of $0.8988 on 21 January 2015 this would equate to a prospective dividend yield of 11.1%.
For footnotes, please see final page. Your attention is drawn to the disclaimer on the final page of this document.
Past performance is not necessarily indicative of future performance results and there can be no assurance that Carador will continue to achieve comparable
results.
Page 1
December 2014
Portfolio Income Statement: (6)
Distributions Received From Income Notes:
- Diverted to Capital:
- Allocated to Income:
Income Accrued from Debt Investments:
Total Gross Income:
4Q14 to
3Q14 to
31-Dec-14 30-Sep-14
16,168,899 13,814,128
(1,140,250)
(758,663)
15,028,649 13,055,464
2,208,322
2,414,633
$17,236,971 $15,470,097
Change
+17.05%
+50.30%
+15.11%
-8.54%
+11.42%
Estimated Expenses during Period:
Estimated Annualised Total Expense Ratio during Period:
($2,137,676) ($2,578,496)
1.74%
2.06%
-17.10%
-15.70%
Net Income:
Net Cash Flow / Net Income:
Net Income per USD Share:
$15,099,295 $12,891,602
1.08x
1.06x
$0.0278
$0.0237
+17.13%
Portfolio by Tranche: (7)
Portfolio Look-Through Exposure by Industry: (7)
Income Notes
(Unrated),
64.9%
60.00%
50.00%
30.00%
Cash, 0.8%
10.00%
0.00%
-10.00%
Aerospace and
Defense
2%
Containers and
Glass Products
2%
Food Products
2%
Industrial
Equipment Lodging and
Casinos
2%
3%
Broadcast Radio &
Television
Automotive
3%
3%
Electronics /
Electric
7%
Chemicals /
Plastics
4%
Retailers (except
food and drug)
4%
Cable Television
4%
Telecommunicatio
Financial
ns
Intermediaries
3%
3%
Utilities
3%
Leisure
Goods/Activities/
Movies
4%
Oil and Gas
4%
Portfolio by NAV of Securities: (5)
Portfolio by Par Value of Securities:
Mezzanine Notes (Original rating BBB/BB/B)
Income Notes (Unrated)
Business
Equipment &
Services
8%
Other
27%
Non-Ferrous
Metals / Minerals
2%
40.00%
20.00%
Healthcare
9%
Building and
Development
2%
Mezzanine
Notes (Original
Rating
A/BBB/BB/B),
34.3%
70.00%
+17.28%
$186,775,145
$440,950,017
Mezzanine Notes (Original rating BBB/BB/B)
Income Notes (Unrated)
$167,395,983
$317,314,344
Portfolio top 10 look-through exposures by individual issuers (7)
Carador is currently exposed on a look-through basis to greater than 1,300 individual corporates.
Issuer
Rating
Sector
%
1
2
Calpine
First Data
Ba3/BB
B1/BB-
Utilities
Financial Intermediaries
0.91%
0.83%
3
4
5
6
7
8
9
10
Community Health Systems
Asurion
Mediacom
Freescale Semiconductor
FMG Resources
Charter Communications
Valeant Pharmaceuticals
Delta Airlines
Ba2/BB
Ba3/B
Ba3/BB
B1/B
Ba1/BB+
Baa3/BB+
Ba1/BB
Ba1/BBB-
Healthcare
Insurance
Cable Television
High Tech Industries
Metals & Mining
Cable Television
Healthcare
Air Transport
0.81%
0.72%
0.63%
0.61%
0.60%
0.60%
0.58%
0.57%
results.
Page 2
December 2014
Portfolio Details:
Investment (*)
1 ACASC 2013-1X F
2 ACASC 2013-2X E
3 ADPK 2013-1A E
4 APID 2013-14A E
5 APID 2013-14A F
6 APID 2013-14A INC
7 APID 2014-17X E
8 Ares 2007-3 RA E
9 Ares 2013-3X SUB
10 ARES 2014-32X E
11 BABSN 2013-IX SUB
12 BRCHW 2014-1X INC
13 BNPIP 2014-1X D
14 BNPIP 2014-1X E
15 BNPIP 2014-1X SUB
16 Callidus V-X INC
17 Callidus VI-A INC
18 Callidus VII-A INC
19 Carlyle Daytona CLO B2L
20 Carlyle Daytona CLO INCOME
21 CDAR 2013-1A SUBA
22 CLRLK 2006-1A D
23 DRSLF 2013-26I SUB
24 Eaton Vance CDO VIII SUBORD
25 EATON 2014-1X INC
26 ECP 2014-6X E
27 FLAT 2014-1X SUB
28 Gale Force 3 CLO E
29 Gale Force 3 CLO PREF
30 Gale Force 4 CLO INCOME
31 HLM 2015-5X E
32 Inwood Park CDO 2006-1 A E
33 Inwood Park CDO SUBORD
34 KEUKA 2013-1A E
35 Mountain View CLO II E
36 NACLO 2006-1 A E
37 NEUB 2013-14A E
38 NEUB 2013-14A SUB
39 NEUB 2013-15X SUB
40 NEUB 2014-16X F
41 NEUB 2014-17X SFN
42 NEUB 2014-17X SUB
43 NYLIM Flatiron CDO 2006-1 SUBORD
44 OHAPA 2007-1A SUB
45 PPARK 2014-1A SUB
46 Rampart CLO 2007-1A SUBORD
47 Saturn 2007-1 D
48 Sheridan Square 2013-1A F
49 Sheridan Square 2013-1A INC
50 Silverado CLO 2006-I SUBORD
51 SMORE 2014-1X BSUB
52 SPARK 2014-1X SUB
53 TPCLO 2013-1X E
54 TPCLO 2013-1A SUB
55 VOYA CLO II Pref
56 WINDR 2013-2A INC
57 WINDR 2014-3X F
Cash
Manager
American Capital Leveraged Finance
American Capital Leveraged Finance
Apidos Capital Management
Ares Capital Management
Babson Capital
BNP Paribas Asset Management
The Carlyle Group
The Carlyle Group
40/86 Advisors
Babson Capital
Prudential Investment Management
Eaton Vance
Eaton Vance
Silvermine Capital Management LLC
New York Life
Highbridge Principal Stategies
Seix Advisors
Fortis Investment Management
Neuberger Berman
Neuberger Berman
Neuberger Berman
Neuberger Berman
Neuberger Berman
Neuberger Berman
New York Life
Oak Hill Advisors
Stone Tower Debt Advisors
Pinebridge Investments
Wells Capital Management
Silvermine Capital Management LLC
VOYA Alternative Asset Management
THL Credit Advisors
THL Credit Advisors
Original Rating
NR/B
NR/B
NR/BBNR/BB
NR/B
NR/NR
B2/NR
Ba2/BB
NR/NR
B2/NR
NR/NR
NR/NR
NR/BB
NR/B
NR/NR
NR/NR
NR/NR
NR/NR
Ba2/BB
NR/NR
NR/NR
Ba2/BB
NR/NR
NR/NR
NR/NR
B2/NR
NR/NR
Ba2/BB
NR/NR
NR/NR
NR/BB
Ba2/BB
NR/NR
Ba3/NR
Ba2/BB
Ba2/BB
NR/BB
NR/NR
NR/NR
NR/B
NR/NR
NR/NR
NR/NR
NR/NR
NR/NR
NR/NR
Ba2/BB
NR/B
NR/NR
NR/NR
NR/NR
NR/NR
NR/B
NR/NR
NR/NR
NR/NR
B1/NR
% NAV
0.91%
1.25%
1.01%
0.71%
0.87%
1.15%
2.05%
1.36%
2.39%
0.70%
3.98%
0.19%
3.01%
2.44%
4.04%
1.18%
1.75%
0.25%
2.38%
0.66%
1.69%
1.21%
1.05%
1.47%
1.52%
0.70%
5.77%
0.80%
1.07%
1.60%
0.90%
2.36%
2.59%
1.45%
1.60%
0.99%
1.27%
3.37%
0.61%
2.07%
0.31%
5.21%
0.18%
1.15%
4.89%
1.11%
0.81%
2.11%
6.81%
0.17%
1.46%
1.33%
0.84%
2.22%
2.96%
0.85%
0.45%
0.81%
(*) Investment in Gale Force 3 Combination Note split into individual components
results.
Page 3
December 2014
Footnotes
1.
Past performance is not necessarily indicative of future results, and there can be no assurance that Carador will achieve comparable results, will meet its target
returns, achieve its investment objectives or be able to implement its investment strategy. All returns are net of an accrued performance fee because the NAV and
distributions to the end of the month for the U.S. $ Shares were in excess of their respective thresholds.
2.
The 12 month Dividend Yield is based on last four quarterly dividends declared. Share price data is as at the end of the respective month.
3.
YTD and Monthly performance are non-annualised. 1, 3 and 5 year performance figures are annualised using a geometric mean. Dividends are assumed to be
reinvested in security at the NAV. Annualised volatility is measured since the launch of the US$ Shares in December 2008.
4.
Source: Credit Suisse, Bloomberg as at the month end. The volatility of the indices reflected above and elsewhere in this report may be materially different from that
of the performance of Carador. In particular, Carador does not have direct exposure to leveraged loans, but rather its exposure comes through its ownership of CLO
securities. In addition, these indices employ different investment guidelines and criteria than Carador; as a result, Carador’s exposure to leveraged loans may differ
significantly from the securities or other assets that comprise the indices. The performance of these indices has not been selected to represent an appropriate
benchmark to compare to the performance of Carador, but rather is disclosed to allow for comparison of the performance of Carador to that of well known, relevant
indices. A summary of the investment guidelines of these indices is available upon request. Annualised data for the indices use the geometric mean.
5.
As calculated by Carador’s Administrator in accordance with the provisions of Carador’s Prospectus and Pricing Policy. Per share data based on final number of shares
in the period.
6.
Data based on general portfolio attributable to Carador.
7.
Based on notional tranche weighted exposure to par portfolios of CLO investments as at the month end. Source: Intex, trustee reports and Bloomberg as at the month
end. Excludes CLO’s that have been called or are yet to price.
8.
S&P, LCD Quarterly Review, Q4 2014.
Important Information
Any reference herein to future returns or distributions is a target and not a forecast and there can be no guarantee or assurance that it will be achieved. The actual
principal and income in any particular case will be determined by the cash flows received.
This document has been issued by GSO / Blackstone Debt Funds Management LLC (the “Manager”), a wholly owned subsidiary of GSO Capital Partners LP, which is registered
as an investment adviser with the U.S. Securities and Exchange Commission. It does not constitute an invitation and should not be taken as an inducement to engage in any
investment activity and is for the purpose of providing information about the Manager and certain of the Manager’s affiliates, including without limitation, the Blackstone
Group LP, GSO Capital Partners LP and GSO Capital Partners International LLP, collectively the “Manager’s Affiliates”. It may not be relied upon and should not be used for the
purpose of making any investment decision. This document and the information contained herein is not for release, publication or distribution (directly or indirectly) in or
into the United States, Canada, Australia or Japan or to any "U.S. person" as defined in Regulation S under the United States Securities Act of 1933, as amended (the
"Securities Act") or into any other jurisdiction where applicable laws prohibit its release, distribution or publication. It does not constitute or contain an offer of, or the
solicitation of an offer to buy or subscribe for, securities for sale anywhere in the world, including in or into the United States, Canada, Australia or Japan. This document is
being furnished to you solely for your information and no recipient may forward, reproduce, distribute, or make available in whole or in part, this document (directly or
indirectly) to any other person. The distribution of this document in certain jurisdictions may be restricted by law and recipients of this document should inform themselves
about and observe any such restrictions and other applicable legal requirements in their jurisdictions. Accordingly, recipients represent that they are able to receive this
document without contravention of any applicable legal or regulatory restrictions in the jurisdiction in which they reside or conduct business. By accepting this document,
you agree to be bound by the foregoing limitations. This document has been prepared by Carador Income Fund Plc ("Carador") and is the sole responsibility of Carador. No
liability whatsoever (whether in negligence or otherwise) arising directly or indirectly from the use of this document is accepted and no representation, warranty or
undertaking, express or implied, is or will be made by Carador, the Manager or any of their respective directors, officers, employees, advisers, representatives or other agents
("Agents") for any information or any of the opinions contained herein or for any errors, omissions or misstatements. None of the Manager nor any of its respective Agents
makes or has been authorised to make any representation or warranties (express or implied) in relation to Carador or as to the truth, accuracy or completeness of this
document, or any other written or oral statement provided. In particular, no representation or warranty is given as to the achievement or reasonableness of, and no reliance
should be placed on any projections, targets, estimates or forecasts contained in this document and nothing in this document is or should be relied on as a promise or
representation as to the future.
Although the portfolio reflected in this document (the “Portfolio”) is consistent with the investment strategy of Carador, there is no guarantee that, in the future, the
portfolio acquired will remain identical to the make-up of the Portfolio. Moreover, future investments to be made by Carador may differ substantially from the investments
included in the Portfolio. Therefore, the Portfolio parameters, industry concentration, rating concentration, spread distribution and other factors related to the Portfolio
could all be materially different than those of the future portfolio acquired by Carador.
Carador has not been and will not be registered under the U.S. Investment Company Act of 1940, as amended (the "Investment Company Act") and investors will not be
entitled to the benefits of that Act. The securities described in this document have not been and will not be registered under the Securities Act, or the laws of any state of the
United States. Consequently, such securities may not be offered, sold or otherwise transferred within the United States or to or for the account or benefit of U.S. persons (as
such term is defined in Regulation S under the Securities Act) except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the
Securities Act, applicable state laws and under circumstances which will not require Carador to register under the Investment Company Act. No public offering of the
securities is being made in the United States. If you are in the United States and are not either (a) a "qualified institutional buyer" (as defined in Rule 144a under the Securities
Act) who is also a "qualified purchaser" (as defined in Section 2(a)(51) of the Investment Company Act) for purposes of Section 3(c)(7) of the Investment Company Act; or (b)
an "accredited investor" (as defined in Rule 501 of the Securities Act) who is either a qualified purchaser or an eligible Investment Company Act investor, you should not open
this document and should destroy it.
Certain information contained in this document constitutes “forward-looking statements,” which can be identified by the use of forward-looking terminology such as “may,”
“will,” “should,” “expect,” “anticipate,” “target,” “intend,” “continue” or “believe,” or the negatives thereof, other variations thereon or comparable terminology. Due to
various risks and uncertainties, actual events or results or the actual performance of Carador described herein may differ materially from the events, results or performance
reflected or contemplated in such forward-looking statements. Any forecasts and estimates contained herein are based upon certain assumptions that Carador considers
reasonable. Forecasts and estimates are necessarily speculative in nature, and it can be expected that some or all of the assumptions underlying the projections will not
materialize and/or that actual events and consequences thereof will vary significantly from the assumptions upon which projections contained herein have been based. The
inclusion of forecasts and estimates herein should not be regarded as a representation or guarantee regarding the reliability, accuracy or completeness of the information
contained herein, Carador is under no obligation to update or keep current such information. Unless otherwise indicated, the information provided herein is based on
matters as they exist as of the date of preparation and not as of any future date. Recipients of this document are encouraged to contact Carador’s representatives to discuss
the procedures and methodologies used to make the projections and other information provided herein.
Carador is an investment company with variable capital incorporated under the laws of Ireland and authorised by the Central Bank of Ireland as a professional investor fund.
A copy of the Carador prospectus may be obtained from the website of the Company at www.carador.co.uk.
Past performance is not necessarily indicative of future performance results and there can be no assurance that Carador will achieve comparable results.
Page 4

Carador Income Fund Plc (CIFU LN) December 2014

Transcription

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