Macquarie Fortress hit by sub-prime fears
Macquarie Bank has warned that its Fortress Notes portfolio has been adversely impacted by price volatility in the US credit markets as a result of the sub-prime mortgage crisis in the US.
A bank statement to the ASX yesterday said the price volatility could result in a fall of up to 25 per cent in the net asset value (NAV) of the portfolio as at July 31.
The volatility is being caused by “supply demand imbalances in the senior loans market as a whole that are, in large part, being caused by a spill over from the sub-prime mortgage market”, according to Macquarie spokesman Peter Lucas.
He said the price of senior loans, both market wide and in the portfolio, had “declined meaningfully, notwithstanding the fundamental health of the assets in the portfolio”.
The declines in the price of the senior loans underlying Fortress Notes are expected to result in a deterioration of the NAV per note for July 31 of “approximately 20 to 25 cents”, he said.
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