16 Jun 2009 16:58
RNS Number : 9973T
T2 Income Fund Limited
16 June 2009
T2 Income Fund Limited ("T2I" or the "Company")
Quarterly NAV and CLO Test Results
Unaudited net asset value ("NAV")
The Company announces that as at 31 March 2009 its unaudited net asset value per share was £1.71. The increase, when compared to the NAV at 31 December 2008 of £1.25 per share, was due primarily to continued strengthening of the US dollar and markdowns of the CLO notes in excess of markdowns on the CLO portfolio investments.
The unaudited results for the Company include the impact of carrying its investments and its liabilities at fair value; in our case, the markdowns associated with the change in fair value of the loan notes of our CLO subsidiary substantially exceed the markdown of the investments held in the Company's and the CLO’s portfolio, causing the NAV to increase significantly for book purposes under International Financial Reporting Standards (IFRS). Shareholders 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
CLO monthly test results
The Company also announces the test results as of 2 June 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:
http://www.rns-pdf.londonstockexchange.com/rns/9973T_-2009-6-16.pdf
With respect to the various collateral covenant tests (the “Collateral Tests”) required under the CLO indenture, the quarterly Collateral Test results can trigger interest diversion and debt repayment. The monthly results as of 2 June 2009 indicate that those Collateral Tests had been passed, however the ability to maintain compliance with such tests may change prior to the next quarterly test date which is in July 2009.
While the Company continues to monitor the situation closely, there is currently only limited visibility with respect to which of the CLO Collateral Tests may or may not be met on future dates, and whether any further principal paydowns or interest diversions may occur and, if so, the magnitude of those paydowns or diversions.
As described in previous press releases, the CLO indenture contains a variety of covenants (including the Collateral Tests), compliance with which could be made more difficult or impossible should credit markets deteriorate and which if violated could result in further principal paydowns or interest diversion.
Contacts:
Patrick Conroy T2 Income Fund Limited +1 203 983 5282
Philip Secrett
Nominated Adviser
Grant Thornton UK LLP
+44 207 383 5100
This information is provided by RNS
The company news service from the London Stock Exchange