Letter to Investors Re: Repor
|
5 October 2009 |
|
|
Dear Investor
FRM Credit Alpha Limited
We would like to inform you of several improvements we are making to Credit Alpha's reporting.
Going forward, Credit Alpha's monthly reports will include the names of the top 10 positions in the portfolio. In an environment of improved transparency, we believe that disclosing holdings in the portfolio will not limit our ability to invest in the credit space.
As at 31 August 2009, Credit Alpha's top 10 positions were as follows:
|
Position |
Strategy |
Allocation |
|
|
|
|
|
Cash |
n/a |
21.9% |
|
Plainfield Special Situations |
Credit Value |
11.5% |
|
JCAM Global |
Long - Short Credit |
10.3% |
|
Trafalgar Recovery |
Long - Short Credit |
9.8% |
|
Cerberus International |
Credit Value |
8.6% |
|
BlueBay Value Recovery |
Credit Value |
8.4% |
|
Harbinger Capital Partners Special Situations |
Credit Value |
5.2% |
|
King Street |
Long - Short Credit |
4.1% |
|
Gracie International Credit Opportunities |
Long - Short Credit |
4.0% |
|
Blue Mountain Credit Alternatives |
Credit Arbitrage |
3.2% |
|
|
|
|
|
|
|
87.0% |
As at 31 August 2009, Credit Alpha's portfolio allocations were as follows:
|
Credit Value |
|
33.7% |
|
Long - Short Credit |
|
39.1% |
|
Credit Arbitrage |
|
3.2% |
|
Short Credit |
|
2.1% |
|
Cash |
|
21.9% |
|
|
|
100.0% |
Future monthly reports will contain additional granularity, such as performance attribution, liquidity information and exposure information.
In response to requests for disclosure of the liquidity of the underlying portfolio of hedge funds, as at 31 August 2009, Credit Alpha's liquidity profile was as follows:
|
Immediate |
Within 3 months |
3 months to 6 months |
6 months to 1 year |
over 1 year |
Indeterminate |
Total |
|
16.3% |
15.2% |
14.6% |
9.6% |
25% |
19.3% |
100.0% |
The profile shown is following the 20% tender offer in August 2009. It is based on a conservative interpretation of the liquidity information provided by underlying managers. As a consequence, a certain percentage is referred to as 'indeterminate'. Liquidity of these positions is generally related to specific events in the underlying portfolios and cannot be predicted. Cash could be realised from these investments at any point in time.
We will continue meeting with investors over the next few months and welcome your comments.
Sincerely
Financial Risk Management Limited
This information is provided by RNS
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