Macquarie Fortress Investments, trustee of the Macquarie Fortress Notes, has told shareholders the net asset value (NAV) of the investment is now zero cents per note.
In a statement to the Australian Securities Exchange (ASX), director Peter Lucas said the deterioration in global financial markets had continued to affect the traded price of US senior secured loans in the portfolio.
“Presently, the cumulative market value of senior loans in the Fortress portfolio is below the total debt facility balance,” the statement said.
“As a result, Macquarie Fortress Investments Limited … estimates that the NAV as at 17 October 2008 was zero cents per note.”
The group said if there is ultimately a shortfall between the total debt facility balance and the cumulative realised value of the senior loans in the portfolio, holders of the Fortress Notes “will not be required to fund this shortfall”.
Macquarie said the portfolio’s refinancing arrangement doesn’t incorporate any market value based repayment triggers and that the finance provider has “no rights to require an accelerated repayment of the debt facility”.
The group said the final return to investors in the Fortress Notes would depend on default and recovery rates of senior loans in the portfolio.
