The last two years have not been kind to the Special Asset Finance Fund run by BlueCrest Capital Management. The specialist credit fund of funds is at the end of its rope following a two year period of suspended redemptions.
The U.K. asset manager said in an investor call on Thursday that net assets in SAF, which invests in 30 specialist credit funds, fell from a reported $210 million at the end of August 2008 to just $6 million by Sept. 30 this year, two investors told Reuters.
But investors were told they may be left with even less.
“The new manager of SAF, Robert Heaselgrave, said a large part of net asset values were stale and could have deteriorated, so the fund could be subject to further writedowns,” one European investor told Reuters on condition of anonymity.
“The manager said indicative values could continue to deteriorate, and that SAF still owed leverage provider KBC$197 million. He gave us little hope of getting anything back.”
BlueCrest, which manages over $24 billion, declined to comment.
The fund, launched in July 2007 and seeded by BlueCrest principals, was opened to outside investors in early 2008. It lost heavily in the $3.65 billion Ponzi scheme of convicted fraudster Tom Petters and suspended redemptions shortly after the discovery of the fraud in October 2008.
Documents seen by Reuters show that at the end of August 2008 — the most recent data available at the time redemptions were suspended — the fund had net assets of $210 million and borrowing of $244 million.
“We didn’t expect so much leverage, they said they only used it for bridging purposes,” said the investor.
Fund documents said SAF could use leverage of up to 150 percent of assets under management.
Investors who spoke to Reuters said that early last year they asked for the fund to be liquidated in an effort to recover part of their investment but were rebuffed by BlueCrest, whose principals still held a majority of fund voting rights.
BlueCrest also told investors that Shezad Syed, portfolio manager of SAF since its launch in July 2007, was leaving his position as he was not specialized in fund liquidations, and would be replaced by Heaselgrave, these people said.