BH CREDIT CATALYSTS LIMITED
INTERIM MANAGEMENT STATEMENT
FOR THE PERIOD FROM 1 JULY 2014 TO 14 NOVEMBER 2014
YOUR ATTENTION IS DRAWN TO THE DISCLAIMER AT THE END OF THIS DOCUMENT
BH CREDIT CATALYSTS LIMITED
INTERIM MANAGEMENT STATEMENT
T +44 (0)20 7022 6250 www.brevanhoward.com
Overview BH Credit Catalysts Limited ("BHCC" or the "Company") is a closed-ended
and investment company, registered and incorporated in Guernsey on 19 October 2010
Objective with an unlimited life (Registration Number: 52520). The manager of BHCC is
Brevan Howard Capital Management LP ("BHCM").
BHCC invests all of its assets (net of short-term working capital) in the
ordinary shares of Brevan Howard Credit Catalysts Master Fund Limited (the
"Fund"). The investment manager of the Fund is DW Investment Management, LP
("DWIM").
BHCC was admitted to the Official List of the UK Listing Authority and to
trading on the Main Market of the London Stock Exchange on 14 December 2010.
This Interim Management Statement covers the period from 1 July 2014 to the
date of its publication.
Company The total net assets of BHCC are summarised as follows:
Size
30 September 30 June 2014 Change in Net 30 September 30 June 2014
2014 Assets 2014
Share Currency: In Currency
Class Currency: USD USD 30 June 2014 to In Currency of Class
(mm) (mm) 30 September 2014 of Class (mm)
Currency: USD (mm)
(mm)
USD 51.8 54.9 -3.1 51.8 54.9
Shares
GBP 176.4 185.7 -9.3 108.8 108.6
Shares
Total 228.2 240.6 -12.4 - -
Source: Northern Trust International Fund Administration Services (Guernsey)
Limited ("Northern Trust")
Figures are rounded to one decimal place.
Share The number of shares in issue in each share class of BHCC is summarised as
Capital follows:
Share Class 13 November 2014* 30 September 2014 30 June 2014
USD Shares 3,023,926 3,763,806 3,942,710
GBP Shares 8,333,377 7,879,093 7,773,327
Source: Northern Trust
* 13 November 2014 being the latest practicable date prior to the date of this
Interim Management Statement.
Performance The closing share price* of each share class of BHCC is summarised as
Review follows:
Share Class 13 November 2014** 30 September 2014 30 June 2014
USD Shares (US$) 14.145 14.225 13.985
GBP Shares (£) 14.035 14.12 14.10
Source: Bloomberg
The NAV per share* of each share class of BHCC is summarised as follows:
Share Class 7 November 2014*** 30 September 2014 30 June 2014
USD Shares (US$) 13.62 13.75 13.92
GBP Shares (£) 13.67 13.81 13.97
* NAV performance is provided for information purposes only. Shares in BHCC
do not necessarily trade at a price equal to the prevailing NAV per Share.
** 13 November 2014 being the latest practicable date prior to the date of
this Interim Management Statement.
*** Estimated as at 7 November 2014, such date being the most recent date for
which an estimated NAV for the Company has been published. The relevant final
month-end NAVs may be materially different from these estimated weekly
values, which should only be taken as indicative values provided for
information only and no reliance should be placed on them. Estimated results,
performance or achievements may differ materially from any actual results,
performance or achievements.
Source: BHCC's Net Asset Value per Share data is provided by BHCC's
Administrator, Northern Trust, and is based on the Fund's Net Asset Value
data provided by the Administrator of the Fund, International Fund Services
(Ireland) Limited. BHCC's Net Asset Value data in this report is unaudited
and net of all investment management fees (2% annual management fee and 20%
performance fee) and all other fees and expenses payable by BHCC.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
Further details of monthly performance information and the outlook of the
Fund and BHCC can be obtained from BHCC's Shareholder Reports, copies of
which are to be found on BHCC's website: www.bhcreditcatalysts.com
Investment The change in the investment profile* (by strategy) of the Fund is summarised
Profile as follows (percentage of total VaR**):
Strategy 30 September 2014 30 June 2014
% of total VaR % of total VaR
Corporate Performing 43% 42%
Corporate Distressed 7% 7%
Corporate Structured 12% 7%
MBS/ABS 38% 44%
Source: DWIM
* Investment profile is subject to change.Figures rounded to nearest whole
number.
** Value-at-Risk ("VaR") is calculated by BHCM using a 95% confidence
interval, one day time horizon and two years of historical data. Strategy
level numbers are expressed as a percentage of the sum of individual strategy
VaRs, which may not equal the Fund's overall total VaR due to diversification
across strategies.
Material Manager Arrangements
Events and
Transactions As announced on 7 October and 11 November 2014, BHCM and DWIM have sent
papers to investors in the private feeder funds into the Fund regarding the
proposed transfer of management of the Fund from BHCM to DWIM. The transfer
of the role of manager to DWIM is expected to take place on or before the
beginning of 2015. Pursuant to the transfer, DWIM will assume risk management
functions for the Fund as well as providing investor relations, legal and
regulatory support. BHCM and its affiliates will provide certain other
operational support services in respect of the Fund following the transfer,
to ensure a smooth transition while DWIM further enhances its internal
operational capabilities and processes. Following the proposed transfer of
the management of the Fund, Brevan Howard will obtain an economic interest in
DWIM, and DWIM will continue to manage capital on behalf of other Brevan
Howard funds.
The board of the Company is supportive of the proposed assumption by DWIM
from BHCM of the wider management responsibilities of the Fund and also of
the assumption by DWIM of management responsibilities in relation to the
Company itself.
The Company is in the process of finalising with DWIM the specific terms on
which DWIM will act as manager of the Company and the Company will continue
its investment exposure to the Fund. It is anticipated that a meeting of the
Company's shareholders will be held in December to approve changes to the
Company's investment policy and name to facilitate the transfer of management
and that a circular setting out the proposed changes will be sent to
shareholders towards the end of November.
Board Statement
The board of directors of the Company is not aware of any other significant
events or transactions that have occurred between 1 July 2014 and the
publication date of this Interim Management Statement which would have a
material impact on the financial position of the Company.
Enquiries Northern Trust International Fund Administration Services (Guernsey) Limited
Andrew Maiden +44 (0) 1481 745 368
Important Legal Information and Disclaimer
BH Credit Catalysts Limited ("BHCC") is a feeder fund investing in Brevan
Howard Credit Catalysts Master Fund Limited (the "Fund"). Brevan Howard
Capital Management LP ("BHCM") has supplied certain information herein
regarding BHCC's and the Fund's performance and outlook.
The material relating to BHCC and the Fund included in this report is provided
for information purposes only, does not constitute an invitation or offer to
subscribe for or purchase shares in BHCC or the Fund and is not intended to
constitute "marketing" of either BHCC or the Fund as such term is understood
for the purposes of the Alternative Investment Fund Managers Directive as it
has been implemented in states of the European Economic Area. This material is
not intended to provide a sufficient basis on which to make an investment
decision.
Any estimates may be subject to error and significant fluctuation, especially
during periods of high market volatility or disruption. Any estimates should be
taken as indicative values only and no reliance should be placed on them.
Estimated results, performance or achievements may materially differ from any
actual results, performance or achievements. Except as required by applicable
law, BHCC, the Fund and BHCM expressly disclaim any obligations to update or
revise such estimates to reflect any change in expectations, new information,
subsequent events or otherwise.
Tax treatment depends on the individual circumstances of each investor in BHCC
and may be subject to change in the future. Returns may increase or decrease as
a result of currency fluctuations.
You should note that, if you invest in BHCC, your capital will be at risk and
you may therefore lose some or all of any amount that you choose to invest.
This material is not intended to constitute, and should not be construed as,
investment advice. All investments are subject to risk. You are advised to
seek expert legal, financial, tax and other professional advice before making
any investment decisions.
THE VALUE OF INVESTMENTS CAN GO DOWN AS WELL AS UP. YOU MAY NOT GET BACK THE
AMOUNT ORIGINALLY INVESTED AND YOU MAY LOSE ALL OF YOUR INVESTMENT. PAST
PERFORMANCE IS NOT A RELIABLE INDICATOR OF FUTURE RESULTS