EURO LIQUIDITY FUND
FOR PROFESSIONAL INVESTORS
30th April 2011
EURO LIQUIDITY FUND Standard & Poors AAAm rated
Fitch AAAmmf
Fund Objective
Credit Rating
Short Term S&P
The investment objective of the fund is to maximise the current income consistent with the preservation of principal and liquidity by investing in a diversified portfolio of high quality Euro denominated short term debt and debt related instruments. The primary objective is to maintain the net asset value either constant at par (net of earnings) or at the value of the investors’ initial capital plus earnings.
Investment Manager’s Report
25%
As widely expected, the ECB raised rates at their April meeting to 1.25%. The Central Bank gave no clear indication on timing but a subsequent rate rise is widely expected, in line with the ECB’s stringent view on inflation policy. In terms of market news, the European Debt crisis continues, with Portugal finally signing up for financial help (€78BN 3-year loan package) but with fears still remaining for Greece and Spain. Despite reports from the ECB that demand for official funds increased toward the Easter holiday period, thus improving liquidity levels in the system, we have not yet seen any downward pressure on EONIA fixings (from March average of 0.65% up to a high point of 1.434%, (21/4/11).
58%
17%
This reflects the overall ongoing lack of liquidity within the system (EUR 501BN end-April versus EUR 600BN 1-Feb-11).
A1+
This has maintained, strong yields on short-term investments which your fund has been able to react promptly to, given its low WAM – under 30 days.
A1 under 8 days
A1 over 8 days
Asset Type
Eonia Curve – 1 wk movement
0% 15%
26%
5% 9%
45%
DEPO
CP
CD
FRN
BOND
GOVT
Annualised Monthly Returns 1.00% 0.92% 0.90%
0.90% 0.80% 0.70%
0.69%
0.72%
0.69%
0.73%
0.73%
0.73%
0.73%
0.72%
0.76%
0.80%
0.77%
0.67%
30.00% 26.87%
0.64%
0.57%
0.60%
0.52% 0.50%
24.08%
25.00%
0.52% 0.45%
0.40%
0.34%
0.36%
0.34%
0.19%
19.63% 20.05%
20.00%
0.30% 0.20%
Maturity Profile Euro Liquidity Fund
0.20%
15.00%
0.10% 0.00% May-10
Jun-10
Jul -10
Aug-10
Sep-10
Oct-10
Nov-10
Dec-10
7 Day LIBID
Jan-11
Feb-11
Mar-11
Fund
Apr-11
9.37%
10.00%
Fund Details – annualised monthly returns (net) Fund Return (April) 1 Year Rolling Return (April)
0.92%
WAM
0.83%
Benchmark 7 day € LIBID
7 Day LIBID (April)
0.90%
ECB Repo (April)
1.25%
28.96 days
Sources: 7 Day LIBID: Bloomberg. Fund: Prime Rate Capital Management LLP. All returns are shown annualised on an actual/365 day count basis, ECB Rate and LIBID are annualised on an actual/360 day count basis. Fund returns are net of all fees and charges for share class 3.
5.00% 0.00% 0.00% 0.00%
0.00% O/N
1W
1M
2M
3M
6M
1Y
O1Y
FOR PROFESSIONAL INVESTORS
30th April 2011
EURO LIQUIDITY FUND Standard & Poors AAAm rated
Fitch AAAmmf
Portfolio Top 10 Holdings (excluding overnight deposits) Issuer
Maturity
% of Holding
NORDEA BANK 04-May-11 REGION NORD PAS DE CALAIS 18-May-11 TREASURY CORPORATION OF VICTORIA ROYAL BANK OF SCOTLAND PLC 20-Jun-11 BANK NEDERLANDES GEMEENTEN 04-Jul-11 CAISSE D’AMORTISSEMENT 06-Jul-11 ING SYDNEY 07-Jul-11 RABO 22-May-11 GE CAP 12-May-11 BNP FORTIS 04-May-11
3.55% 3.55% 01-Jun-11 % 5.3 3.55% 3.55% 3.55% 3.55% 3.11% 2.92% 2.66%
Share Class Details Class GBP109.54-1.17+9. ISIN
SEDOL
Dividend
Management Fee
Min Initial Investment
3
Distributing
10bps
€30,000,000
GB00B2R5T591
B2R5T59
Prime Rate Capital Management LLP Prime Rate Capital Management LLP is the first independent, specialist provider of AAA-rated liquidity funds, known as Qualifying Money Market Funds, serving the corporate and institutional market. Prime Rate offers independent, specialist liquidity fund products on a wholesale, competitive basis for a variety of corporate and institutional investors, to distribute to their client base, often under a ‘whitelabelling’ arrangement, or to use in the management of their own liquidity.
Contact details For a copy of the Prospectus, Simplified Prospectus, information on portfolio holdings or other matters, please contact us on (0)20 3206 7262, or e mail us on [email protected]. Alternatively please see the information on our web site at www.prime-rate.co.uk
DISCLAIMER
This document is issued by Prime Rate Capital Management LLP of One Vine Street, London, W1J 0AH, a limited liability partnership registered in England OC327292 which is authorised and regulated by the Financial Services Authority with FSA reference number 469674. Past performance is no guarantee of future performance and the value of investments and income from them may fall as well as rise and investors may not get back the amount originally invested. Tax assumptions are subject to statutory change and the value of tax reliefs will depend on individual circumstances. This material is not to be regarded as an offer or invitation to buy or sell an investment in the Prime Rate Cash Management Fund nor does it solicit any such offer or invitation. Applications to invest must only be made on the basis of the offer document relating to the investment, which is only available to Eligible Counterparties and Professional Clients.
Fund details Domicile
UK
Structure
OEIC UCITS III
Inception Date 29th April 2008 Dealing Cut Off 1.00pm London time Liquidity
Same day
Currency
EUR
CIO
Dennis Gepp
Portfolio Manager Gary Skedge Benchmark
7 day € LIBID
Dennis Gepp (Chief Investment Officer) is a founding partner of PRCM. He was responsible for the management of treasury departments of UK and international banks from 1973 until he joined Prime Rate in 2007.
Gary Skedge (Senior Portfolio Manager) joined PRCM in September 2007. He co-managed HSBC’s AAA rated liquidity and enhanced cash funds from 2006 to 2007.
Prime Rate Capital Management LLP One Vine Street, London W1J 0AH Telephone: +44 (0) 20 3206 7262 Fax: +44 (0) 20 3206 7010 Email: [email protected] Website: www.prime-rate.co.uk The Prime Rate Sterling Liquidity Fund is a sub fund of the umbrella fund, Prime Rate Cash Management Funds which is an OEIC governed by UK law and authorised by the FSA. Any investment in the funds is made subject to the terms of the Funds’ Prospectus and relevant Simplified Prospectus, which are available from the Investment Manager, Prime Rate Capital Management LLP, One Vine Street, London W1J 0AH.
30th April 2011
EURO LIQUIDITY FUND Standard & Poors AAAm rated
Fitch AAAmmf
Fund Objective
Credit Rating
Short Term S&P
The investment objective of the fund is to maximise the current income consistent with the preservation of principal and liquidity by investing in a diversified portfolio of high quality Euro denominated short term debt and debt related instruments. The primary objective is to maintain the net asset value either constant at par (net of earnings) or at the value of the investors’ initial capital plus earnings.
Investment Manager’s Report
25%
As widely expected, the ECB raised rates at their April meeting to 1.25%. The Central Bank gave no clear indication on timing but a subsequent rate rise is widely expected, in line with the ECB’s stringent view on inflation policy. In terms of market news, the European Debt crisis continues, with Portugal finally signing up for financial help (€78BN 3-year loan package) but with fears still remaining for Greece and Spain. Despite reports from the ECB that demand for official funds increased toward the Easter holiday period, thus improving liquidity levels in the system, we have not yet seen any downward pressure on EONIA fixings (from March average of 0.65% up to a high point of 1.434%, (21/4/11).
58%
17%
This reflects the overall ongoing lack of liquidity within the system (EUR 501BN end-April versus EUR 600BN 1-Feb-11).
A1+
This has maintained, strong yields on short-term investments which your fund has been able to react promptly to, given its low WAM – under 30 days.
A1 under 8 days
A1 over 8 days
Asset Type
Eonia Curve – 1 wk movement
0% 15%
26%
5% 9%
45%
DEPO
CP
CD
FRN
BOND
GOVT
Annualised Monthly Returns 1.00% 0.92% 0.90%
0.90% 0.80% 0.70%
0.69%
0.72%
0.69%
0.73%
0.73%
0.73%
0.73%
0.72%
0.76%
0.80%
0.77%
0.67%
30.00% 26.87%
0.64%
0.57%
0.60%
0.52% 0.50%
24.08%
25.00%
0.52% 0.45%
0.40%
0.34%
0.36%
0.34%
0.19%
19.63% 20.05%
20.00%
0.30% 0.20%
Maturity Profile Euro Liquidity Fund
0.20%
15.00%
0.10% 0.00% May-10
Jun-10
Jul -10
Aug-10
Sep-10
Oct-10
Nov-10
Dec-10
7 Day LIBID
Jan-11
Feb-11
Mar-11
Fund
Apr-11
9.37%
10.00%
Fund Details – annualised monthly returns (net) Fund Return (April) 1 Year Rolling Return (April)
0.92%
WAM
0.83%
Benchmark 7 day € LIBID
7 Day LIBID (April)
0.90%
ECB Repo (April)
1.25%
28.96 days
Sources: 7 Day LIBID: Bloomberg. Fund: Prime Rate Capital Management LLP. All returns are shown annualised on an actual/365 day count basis, ECB Rate and LIBID are annualised on an actual/360 day count basis. Fund returns are net of all fees and charges for share class 3.
5.00% 0.00% 0.00% 0.00%
0.00% O/N
1W
1M
2M
3M
6M
1Y
O1Y
FOR PROFESSIONAL INVESTORS
30th April 2011
EURO LIQUIDITY FUND Standard & Poors AAAm rated
Fitch AAAmmf
Portfolio Top 10 Holdings (excluding overnight deposits) Issuer
Maturity
% of Holding
NORDEA BANK 04-May-11 REGION NORD PAS DE CALAIS 18-May-11 TREASURY CORPORATION OF VICTORIA ROYAL BANK OF SCOTLAND PLC 20-Jun-11 BANK NEDERLANDES GEMEENTEN 04-Jul-11 CAISSE D’AMORTISSEMENT 06-Jul-11 ING SYDNEY 07-Jul-11 RABO 22-May-11 GE CAP 12-May-11 BNP FORTIS 04-May-11
3.55% 3.55% 01-Jun-11 % 5.3 3.55% 3.55% 3.55% 3.55% 3.11% 2.92% 2.66%
Share Class Details Class GBP109.54-1.17+9. ISIN
SEDOL
Dividend
Management Fee
Min Initial Investment
3
Distributing
10bps
€30,000,000
GB00B2R5T591
B2R5T59
Prime Rate Capital Management LLP Prime Rate Capital Management LLP is the first independent, specialist provider of AAA-rated liquidity funds, known as Qualifying Money Market Funds, serving the corporate and institutional market. Prime Rate offers independent, specialist liquidity fund products on a wholesale, competitive basis for a variety of corporate and institutional investors, to distribute to their client base, often under a ‘whitelabelling’ arrangement, or to use in the management of their own liquidity.
Contact details For a copy of the Prospectus, Simplified Prospectus, information on portfolio holdings or other matters, please contact us on (0)20 3206 7262, or e mail us on [email protected]. Alternatively please see the information on our web site at www.prime-rate.co.uk
DISCLAIMER
This document is issued by Prime Rate Capital Management LLP of One Vine Street, London, W1J 0AH, a limited liability partnership registered in England OC327292 which is authorised and regulated by the Financial Services Authority with FSA reference number 469674. Past performance is no guarantee of future performance and the value of investments and income from them may fall as well as rise and investors may not get back the amount originally invested. Tax assumptions are subject to statutory change and the value of tax reliefs will depend on individual circumstances. This material is not to be regarded as an offer or invitation to buy or sell an investment in the Prime Rate Cash Management Fund nor does it solicit any such offer or invitation. Applications to invest must only be made on the basis of the offer document relating to the investment, which is only available to Eligible Counterparties and Professional Clients.
Fund details Domicile
UK
Structure
OEIC UCITS III
Inception Date 29th April 2008 Dealing Cut Off 1.00pm London time Liquidity
Same day
Currency
EUR
CIO
Dennis Gepp
Portfolio Manager Gary Skedge Benchmark
7 day € LIBID
Dennis Gepp (Chief Investment Officer) is a founding partner of PRCM. He was responsible for the management of treasury departments of UK and international banks from 1973 until he joined Prime Rate in 2007.
Gary Skedge (Senior Portfolio Manager) joined PRCM in September 2007. He co-managed HSBC’s AAA rated liquidity and enhanced cash funds from 2006 to 2007.
Prime Rate Capital Management LLP One Vine Street, London W1J 0AH Telephone: +44 (0) 20 3206 7262 Fax: +44 (0) 20 3206 7010 Email: [email protected] Website: www.prime-rate.co.uk The Prime Rate Sterling Liquidity Fund is a sub fund of the umbrella fund, Prime Rate Cash Management Funds which is an OEIC governed by UK law and authorised by the FSA. Any investment in the funds is made subject to the terms of the Funds’ Prospectus and relevant Simplified Prospectus, which are available from the Investment Manager, Prime Rate Capital Management LLP, One Vine Street, London W1J 0AH.
