News
Further valuation guidance provided in respect of the Credit Suisse Supply Chain Finance Funds
April 26, 2021
As previously communicated, the fund boards of four Credit Suisse Asset Management sponsored funds, managed by Credit Suisse Fund Management SA in Luxembourg and VP Fund Solutions AG in Liechtenstein as Alternative Investment Fund Managers (AIFMs), decided to wind down the four supply chain finance funds (“Funds”).
Due to uncertainty related to the valuation of certain investments, the AIFM in Luxembourg appointed a leading global external valuation advisory firm to support in assessing the creditworthiness of the corporate obligors (other than “GFG Alliance”, Bluestone and Katerra) whose receivables are underlying the notes that the Funds invested in as per March 31, 2021:
- For the Credit Suisse (Lux) Supply Chain Finance Fund and the Credit Suisse Nova (Lux) Supply Chain High Income Fund, the valuation uncertainties remain.
- To provide more clarity, valuation results for the portfolio excluding the defined focus areas are provided below as indicative valuations.
Focus areas driving valuation uncertainty
The Funds’ exposures relating to “GFG Alliance”, Bluestone, and Katerra appear to be principal sources of valuation uncertainty. The so-called focus areas comprise 45% of the face value of the outstanding notes across the Funds as of March 31, 2021, as the table below shows:
| Figures in USD mn as of March 31, 2021 | Credit Suisse (Lux) Supply Chain Finance Fund | Credit Suisse Nova (Lux) Supply Chain Finance High Income Fund |
Credit Suisse Nova (Lux) Supply Chain Finance Investment Grade Fund | Credit Suisse Supply Chain Finance Investment Grade Fund | Supply Chain Finance Funds in total |
| Aggregate face value of notes | 3,637 | 1,334 | 83 | 136 | 5,190 |
| Amount related to focus areas (also in %) | 1,842 51% |
505 38% |
0 0% |
0 0% |
2,347 45% |
Credit Suisse Asset Management is working with experts for each of the focus areas. At this stage, it is difficult to specify with reasonable certainty the level of recovery expected from the focus areas, as more time is needed to assess the situation accurately.
Valuation indication for remaining portfolios (as of March 31, 2021)
The fair value assessment of the other obligors and notes (excluding the focus areas and excluding cash and cash equivalents), as determined by the AIFM in Luxembourg and with an external valuation adviser’s opinion taken into account, has resulted in an overall average discount of 7% to the Luxembourg-domiciled funds’ prior book value, as shown in the table below.
| Figures in USD mn, excluding focus areas as of March 31, 2021 |
Credit Suisse (Lux) Supply Chain Finance Fund | Credit Suisse Nova (Lux) Supply Chain Finance High Income Fund |
Credit Suisse Nova (Lux) Supply Chain Finance Investment Grade Fund | Credit Suisse Supply Chain Finance Investment Grade Fund | Supply Chain Finance Funds in total |
| Aggregate book value of notes |
1,783 |
820 |
82 |
136 |
2,822 |
| Aggregate fair value of notes |
1,630 |
788 |
82 |
136 |
2,636 |
| Fair value as % of book value (rounded) | 91% | 96% | 99% | 100% | 93% |
The table below indicates a) the face value of the focus areas (which, for the avoidance of doubt, is not a fair value estimate or a similar calculation regarding the relevant underlying exposures), b) the fair value of the other obligors, and c) the cash and cash equivalents:
| Figures in USD mn |
Credit Suisse (Lux) Supply Chain Finance Fund | Credit Suisse Nova (Lux) Supply Chain Finance High Income Fund |
Credit Suisse Nova (Lux) Supply Chain Finance Investment Grade Fund | Credit Suisse Supply Chain Finance Investment Grade Fund | Supply Chain Finance Funds in total |
| Face value of focus areas |
1,842 |
505 |
0 |
0 |
2,347 |
| Fair value of other obligors |
1,630 |
788 |
82 |
136 |
2,636 |
| Cash and cash equivalents and other investments |
1,256 | 237 | 59 |
54 |
1,605 |