Business
Quarterly NAV and Monthly CLO
Quarterly NAV and Monthly CLO.
About this update from Sancus Lending Group Limited
[{"type":"text","content":"\n RNS Number : 7926X T2 Income Fund Limited 21 August 2009 \n \nT2 Income Fund Limited ('T2I' or the 'Company')\n\nQuarterly NAV and Monthly CLO Test Results\n\nThe Company announces that as at 30 June 2009 its preliminary unaudited net asset value per share was £1.44. The Company anticipates releasing its financial statements for the six-month period in early September. The increase in NAV, when compared to the NAV at 31 December 2008 of £1.25 per share, was due primarily to mark-ups of the portfolio investments in excess of mark-ups on the CLO notes, offset to some extent by the weakening of the US dollar against the British pound sterling for the six-month period. \n\nIn the year-end accounts, the Chairman's Statement discussed at some length the anomaly created by the requirement to carry investments and liabilities at fair value, which for financial reporting purposes under International Financial Reporting Standards (IFRS) resulted in a substantial unrealized gain and an increase in NAV at year-end due to the comparatively greater decline in value of the CLO loan notes than the portfolio investments. At 30 June 2009, the portfolio investments and the CLO notes were both marked-up in value compared to year-end. The net effect of these fair value determinations was a further increase in NAV. \n\nShareholders should be aware that the Company's realization of the full incremental value suggested by the markdowns on the CLO loan notes is almost certain to prove to be unattainable and should consider evaluating the NAV reported under IFRS accordingly.\n\nThe Company also announces the test results as of 2 August 2009 pursuant to the indenture of the Company's subsidiary, T2 Income Fund CLO I Ltd (the 'CLO'). The report summarising the results of those tests can be found at the link below:\n \n\nhttp://www.rns-pdf.londonstockexchange.com/rns/7926X_-2009-8-20.pdf\n \nWith respect to the various tests required under the CLO indenture, on 14 August 2009, the CLO passed all collateral coverage tests. It should be noted that the implications of failing the collateral coverage tests could include interest diversion, principal repayment, and/or limitations on reinvestment of available cash balances.\n\n\nThe CLO failed five portfolio percentage limitation tests, four of whic...