BLACKROCK ABSOLUTE RETURN STRATEGIES LTD: Interim Management Statement BLACKROCK ABSOLUTE RETURN STRATEGIES LTD Interim Management Statement - 3 months to 30 September 2012 To the members of BlackRock Absolute Return Strategies Ltd This interim management statement has been produced solely to provide additional information to shareholders as a body to meet the relevant requirements of the UK Listing Authority's Disclosure & Transparency Rules. It should not be relied on by any other party for any other reason. This interim management statement relates to the period from 1 July 2012 to 30 September 2012, and contains information that covers this period, and up to the date of publication of this interim management statement. Please note further detailed performance information, including the estimated weekly net asset values are available on the Company's website www.blackrockinternational.com/ bars/library/literature. Following approval of the Managed Wind-down by Shareholders on 25 August 2011, BlackRock Absolute Return Strategies Ltd is managed with the intention of realising all remaining assets in the Portfolio, in a manner consistent with the principles of prudent investment management and spread of investment risk, with a view to returning invested capital to the Shareholders in an orderly manner. Stock Performance Cumulative Performance: 30 September 30 June 31 March 31 December 2012 2012 2012 2011 GBP Shares* Share Price £9.00 £9.56 £8.92 £9.31 Net Asset Value per share £9.66 £9.80 £10.07 £9.95 Discount 6.83% 2.45% 11.42% 6.43% * the Euro and US Dollar denominated share classes were merged into the Sterling denominated share class on 9 March 2012. Manager's Review US and European monetary policy announcements helped to ease investor concerns over lurking macroeconomic risks, generally driving valuations of risk assets higher in the third quarter. The President of the ECB expressed a willingness to "do whatever it takes" to support the financial stability of the Eurozone. Meanwhile, the Fed launched its third major quantitative easing program in an attempt to accelerate tepid US economic growth. Material Events & Transactions There were no material events or transactions, except as disclosed, during the three months to 30 September 2012, nor was the Company involved in any other material transactions during the period except as disclosed herein. Monthly and Quarterly Reports The Company continued to publish monthly and quarterly updates during the period, copies of which were also submitted to the National Storage Mechanism. Liquidity Update The following announcement was released on 19 November 2012: Company Update - Liquidity Profile The Board of Directors is providing shareholders with an estimate of the current liquidity profile of the portfolio of BlackRock Absolute Return Strategies Ltd (the "Company"). This liquidity profile relates to the availability of funds without taking into consideration issues of portfolio balance. Generally, certain strategies such as Long/Short Equity are more liquid than other strategies, such as Distressed investing. In order to maintain portfolio balance, it may be deemed advisable to effectuate liquidity in a balanced manner rather than the most expeditious manner. This may lead to a slower pace of actualized monetizations as compared to the table below. The table below sets forth the Company's current estimate of the earliest possible redemption date schedule for the Company's portfolio. It summarises the liquidity of remaining investments as well as taking into account available cash and cash receivables held in the portfolio. The liquidity analysis assumes that: (1) where redemption notices are currently placed, it is assumed redemption proceeds will be received in the normal course following the applicable redemption date; (2) for portfolio holdings for which redemption is possible but redemption notices have not yet been placed due to the balanced manner in which the wind-down is being managed, and taking into consideration lock-ups, fund-level gates that are currently implemented and any investor-level gates, as applicable, it is assumed that redemption notices have been placed at 1st November 2012 and proceeds will be received in the normal course following the applicable redemption date(s); (3) for portfolio holdings that are either in side-pockets, suspended or liquidating, redemption dates are estimated based on the Investment Manager's current understanding of the underlying fund's targeted date(s) for lifting its suspension or paying out proceeds, as applicable. In each case, actual receipt of proceeds will follow the corresponding redemption date. Date Cumulative Redemption 30th November 2012 40.4% 31st December 2012 65.8% 31st March 2013 68.2% 30th June 2013 71.8% 30th September 2013 75.0% 31st December 2013 80.6% 31st December 2014 91.1% The above liquidity schedule is based on the Company's portfolio investments and related estimated net asset values as of 1st November 2012(1), and actual or anticipated changes in liquidity (gates, side pockets, suspension or liquidation) that have been communicated to the Investment Manager by the underlying funds. Actual proceeds would be expected to be received following the relevant redemption date in accordance with the underlying fund's stated terms, generally within 60 days (with the exception of proceeds held back until the completion of the applicable annual audit), although where liquidity is constrained, receipt might be further delayed. Other factors, including future events, may affect the Company's ability to redeem its holdings in accordance with the estimated timeframes set out above, as well as the availability, amount or timing of receipt of redemption proceeds. The above details of the Company's estimated portfolio liquidity profile are indicative only and should not under any circumstances be considered a prediction, forecast or guarantee of the Company's actual portfolio liquidity profile or an indication as to the timing of distributions to shareholders pursuant to the managed wind-down of the Company's portfolio which was approved by shareholders on 25 August 2011. In addition, there is no guarantee that the Company's assets will be realized at their net asset value, and it is possible that the Company may not be able to realize some of its assets at any value. Notes: (1) The above liquidity schedule is based on the estimated US dollar net asset values communicated to the Investment Manager by the underlying funds. These estimated net asset values do not take into account the potential impact of the Company's currency hedging policy. Currency fluctuations may impact materially the actual redemption proceeds available for distribution to shareholders. Second Redemption At the close of business on 6 July 2012, 55.9% of the Company's issued share capital was redeemed. The payment made to Shareholders and the number of shares redeemed were as follows: Number of shares Resulting shares Amount paid per redeemed outstanding share Sterling denominated shares 1,806,516 1,428,138 £10.1096 Third Redemption and Cancellation of the Company's Listing The Company released the following announcement on 16 November 2012: Redemption of Shares Further to the powers granted to the Board at the Company's extraordinary general meeting in August 2011, the Company today announces that approximately 35.26 per cent. of the Company's issued share capital will be redeemed at close of business on 23 November 2012 (the "Redemption Date") by way of a compulsory partial redemption of shares by reference to the unaudited estimated monthly NAV of the Company as at 31 October 2012 of £9.71 per Share (the "Third Redemption"). The Third Redemption will be effected pro rata to holdings of shares on the register at the close of business on the Redemption Date (which is the record date for the purposes of the Third Redemption), being 23 November 2012. The payments made to shareholders in respect of redeemed shares will be as follows: GBP4,889,439 to the Sterling share class (equivalent to £9.71 per share) Fractions of Shares will not be redeemed and so the number of shares to be redeemed for each shareholder will be rounded down to the nearest whole number of shares. The amount to be applied to the partial redemption of shares comprises the monies from the realisation of the Company's investments to be received up to and including 13 November 2012 pursuant to the winding down of the Company, less any funds used or required to settle any liabilities (including the estimated ongoing day to day running costs of the Company and the costs and expenses of this partial redemption). As at today's date, the Company has 1,428,138 Sterling shares, in issue of which none are held in treasury. All of the shares redeemed on the Redemption Date will be cancelled. The Company's Shares will be disabled in CREST on the Redemption Date and the existing ISIN number JE00B8BKNL68 (Sterling) will expire. The new ISIN number JE00B705MR41 (Sterling) in respect of the remaining Shares which have not been redeemed will be enabled and available for transactions from and including 26 November 2012. Up to and including the Redemption Date, Shares will be traded under the old ISINs and as such, a purchaser of such Shares would have a market claim for a proportion of the redemption proceeds. CREST will automatically transform any open transactions as at the Redemption Date into the New ISINs. Cancellation of the Company's listing Since the announcement on 28 June 2012, the Board of BlackRock Absolute Return Strategies Ltd has continued to monitor the cost efficiency and benefits of retaining the Company's listing during the managed wind-down process. Given the resulting size of the Company following this third redemption, the Board announces that an extraordinary general meeting (EGM) shall be convened to consider the cancellation of the admission of ordinary shares to the Official List and to trading on the London Stock Exchange's Main Market for listed securities. Such cancellation is expected to become effective, subject to shareholder approval at the EGM, in early January 2013. A shareholder circular and formal notice in respect of the EGM will posted to shareholders as soon as practicable with a view to holding the meeting in December 2012. The meeting will be held at One Waverley Place, Union Street, St Helier Jersey JE2 3RF. The time and date of the meeting will be confirmed in the notice. Half Yearly Financial Report The Company announced its half yearly financial results for the period ended 30 June 2012 on 22 August 2012. The Board is not aware of any material events or transactions, except as disclosed herein, occurring between 1 July 2012 and the date of publication of this interim management statement which would have a material impact on the financial position of the Company. BlackRock (Channel Islands) Limited Secretary Date: 19 November 2012 END -0- Nov/19/2012 16:41 GMT
BLACKROCK ABSOLUTE RETURN STRATEGIES LTD: Interim Management Statement
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