Distressed Focus Fund October 2007 Thames River Distressed Focus - PowerPoint PPT Presentation

Thames River Distressed Focus Fund October 2007

Thames River Distressed Focus Fund (Thames River Alternative Strategies Limited) Distressed Focused Multi-Manager Managed by Ken Kinsey-Quick October 2007

Contents Industry Background Thames River Capital Multi Manager Team Investment Philosophy, S trategy and Process Thames River Distressed Focus Fund S ummary Appendix Full multi-manager product range - Full multi-manager team biographies - 3

Distressed Market Environment The global credit environment is weakening significantly Default rates are at record lows, but are predicted to rise (Figure 1) LBO activity and re-leveraging of balance sheets will contribute to this, even if there is not a significant economic downturn S ince 1997 sub-CCC new issuance has increased dramatically; historically there has been a strong lagged correlation between issuance quality and default rates Withdrawal of liquidity from markets being seen at present will mean that many companies (especially weaker ones) will not be able to refinance Increased defaults present opportunities for distressed debt managers and, historically, rising defaults have preceded outsize returns for these managers (Figure 2) 4

Moody’s Trailing 12 Month US High Yield Default Rate Figure 1 10.5% 8.7% 8.3% 7.3% Forecast 5.5% 4.7% 4.6% 4.5% 4.0% 3.3% 3.2% 3.0% 2.6% 2.0% 1.8% 1.4% 1.4% 1.7% 1.0% 0.8% 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 Source: Moody’s Investor Service, JP Morgan, Lehman Brothers Fixed Income Research, Basso Capital Management 5

HFRI Distressed Securities Index Performance 1990 to 2006 Figure 2 35.7% 32.5% 29.6% 25.2% 19.7% 20.8% 18.9% 16.9% 15.8% 15.3% 13.3% 8.3% 6.4% 5.3% 3.8% 2.8% 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 -4.2% Source: Pertrac 19/02/07 6

Opportunity Talented managers are raising capital now in anticipation of an increased opportunity set Experienced managers are setting up funds focused on Europe and on Asia In the meantime, managers are positioning themselves defensively (senior in the capital structure) and are being ‘ paid to wait’ Furthermore, although there have been no recent headline-grabbing ‘ fallen angels’ , many smaller managers have unearthed good ‘ under the radar’ trades Multi-manager approach offers an opportunity to allocate to managers differentiated by: - geographical focus stage of the bankruptcy process focus - market cap focus - investment style - The key is to get in early and wait for the cycle to turn, while having access to differentiated opportunities in the meantime 7

Performance of various indices Risk / Return January 1990 to December 2006 16% HFRI Distressed 14% HFRI Composite 12% S&P 500 10% Return MSCI World 8% Lehman Aggregate Bond Index 6% 4% 2% 0% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% Risk Source: Pertrac 16/02/07 8

Thames River Capital Assets Under Management Assets Under Mangement 14,000 12,000 US Dollars (Million) 10,000 8,000 6,000 4,000 Absolute return orientated integrated 2,000 asset manager 0 Aug-98 Aug-99 Aug-00 Aug-01 Aug-02 Aug-03 Aug-04 Aug-05 Aug-06 Aug-07 Established January 1998 147 Staff Assets under management $11.9bn 140 Staff (as at 28.09.07) 120 106 88 100 80 147 staff 80 59 48 60 36 27 40 17 15 20 0 98 99 00 01 02 03 04 05 06 07 The above data include Emerging Market Equity team, Nevsky Capital LLP which is an affiliate of Thames River Capital LLP. 9

Fund Structure Team Assets as at 28 September 2007 MULTI MULTI GLOBAL EUROPEAN JAPAN GLOBAL GLOBAL PROPERTY MANAGER TEAMS MANAGER FIXED CREDIT EQUITIES EQUITIES EQUITIES HEDGE TRADITIONAL $3,050m $538m $3,588m $1,133m $104m $1,950m $1,530m ASSETS Warrior Warrior II Kingsway Sentinel Hillside HEDGE Nevsky Edo Kingsway Plus Equity Focus Apex FUNDS Distressed Focus Tybourne Hedge Ventures 2X Currency Alpha Eastern European Global Boutiques † £ Global Bond 1X Currency Alpha UCITS III Equity Managed † Property Global Emerging Mkts / LONG High € Global Bond European Japan Growth ONLY Balanced Managed † Income European Opps † FUNDS & Income Cautious Managed † $ Global Bond European Abs. Return † Distribution † TRPIT CLOSED Hedge+ ENDED FUNDS Sigma Emerging Longstone NEW Asia Hedge FUNDS 2 Nov 2007 1 Dec 2007‡ † Assets n/a - funds launched 01.10.07 ‡ Subject to regulatory approval 10 Global Equities are managed by Nevsky Capital LLP, an affiliate of Thames River Capital LLP. TRC assets data to 28.09.07

Organisational Structure 146 staff* as at 28 September 2007 Chief Executive CHARLIE PORTER Executive Team COO CFO CCARO Jeremy Charles Toby Hampden-Acton Loudon Greenlees FUND MANAGEMENT SALES ADMINISTRATION AND CONTROL Global Credit - 15 Property - 8 Global Equities - 27 Sales - 15 Financial Investment Michael Mabbutt Chris Turner Martin Taylor Edward Morse Control - 8 Admin - 8 Bernt Tallaksen Marcus Phayre-Mudge Nick Barnes Matthew Sethard-Wright Adrian Johnson Daniel Stanford Gavin Corr James Wilkinson Maggie Cowell Andrew White Mehrdad Noorani Martin Weisinger Howard Thomas Joanne Elliott James Young Mark Denny Chris Currington Michael Baker Katie Blacklock Karim Pabani Simon King Abigail Kuti Stefan Benedetti Matthew Inglis John Davitte Christian Roos Dean Kushin Rodney Thomas Katherine Gregory Mark Francis Michael Sell Sarah Dillon George Gay Zafar Zohidov Ann-Marie King Nuno Vieira Stephen Barrett James Beddall Nicola Williamson Amy Xie Michael Woolley Kyle Edwards-Brookes Clare Hindley Jason Anderson Frank Engels Hina Tailor Lucien Najev Thomas Giles Paul Moulton Japan Equities - 5 Nikolaus Siegfried Ian Smith Compliance and Vanessa Lawley Huw Llewellyn Sonal Desai Risk - 3 Operations - 5 James Richards Hendrik Heicks Mark Fawcett Michelle Lynch Innes Smith Matthew Orchard Yuri Maslov Tom Ormrod Paul Colaco Rob Leahy James Tappenden Joe Allen Henry Cobbe Gemma Munford Brent Smith Malene Garfield-Davies Chun-Hou Tan Matthew Stinchcombe Claudine Edwards Nadia Samuels James Pratt Simon Holmes Marc Franklin Marcus Horne Multi-Manager Joris Nathanson Legal - 2 Emma Clarke Global Fixed - 3 Hedge - 8 Ben Joseph Rosalind Smyth Paul Thursby Marketing - 6 Ken Kinsey-Quick Alex Kwok Jason Collison IT and Application Peter Geikie-Cobb Michael Warren Alex Kuiper James Coats Support - 6 Helen Pike Denise Ruegg Bill Muysken Amanda Cooke Neil Tunley Belinda Salmon Nicolas Karageorgis Simon Williams Craig Pescod European Amy Zillmann James Rous Dominic St George Equities - 10 Gary Dolan Tamsin Webb Stan Chaudhry Geoff Bamber Tony Zucker Robert Cockerill Ben Harris Sheena Wilkinson Rohit Goel John Ferrario Ali Samiei Christina Wiens Elkington William Kirby Secretarial - 7 Chris Wright Alex Risby Warren Turner Melanie Williams Marco Bianchi Multi-Manager Anne Lamont Jeff Thomson Traditional - 5 Odette Miseria Nicolas Ziegelasch Robert Burdett Facilities - 1 Helen Stone Thomas Brown Gary Potter Jeremy Woolcock Natalie Hayes Jonathan Parsons Anthony Willis Vanessa Simpson Jonathan Callow Paul Green Samantha Fry Phil Heady Kelly Prior Note: (x) denotes years of relevant experience 11 *Staff count includes Nevsky Capital LLP, an affiliate of Thames River Capital LLP

Investment Team Experienced… Focused… Innovative 8 Investment Professionals Head of Multi-Manager Ken Kinsey-Quick Management Risk Alex Kuiper Management Risk Bill Muysken Investment Risk Nicolas Karageorgis Opportunity Risk James Rous Operational Risk Stan Chaudhry Process/Compliance Risk Sheena Wilkinson Administration Risk Christina Wiens Elkington 12

Investment Philosophy Simple Primary Objective: Capital Preservation (i.e. don’t lose money) Secondary Objective: Capital Appreciation (i.e. make money) Investment Philosophy Investment Philosophy Investment Strategy Investment Strategy Note: there is no assurance that the investment objectives will be achieved and capital is not guaranteed. Investment Process Investment Process 13

Investment Strategy Adaptable Innovative Dynamic portfolio management Active risk management Investment Philosophy Investment Philosophy Investment Strategy Investment Strategy Investment Process Investment Process 14

Investment Process Robust Portfolio Due Diligence Detailed Analysis: Qualitative Detailed Analysis: Quantitative Watch List Investment Philosophy Investment Philosophy Screening: Qualitative Investment Strategy Investment Strategy Screening: Quantitative Information Sources (6,000+ managers) Investment Process Investment Process 15

Thames River Distressed Focus Fund Targets Target return 10%+ p.a. (net) Target risk 5 - 10% standard deviation Target loss period no losing 12 months Target max. drawdown <10% Note: targets are not guaranteed 16

Thames River Distressed Focus Characteristics global Distressed absolute return style focus distressed multi-strategy 5-20% target allocation Focused portfolio on an absolute basis by managers relative to their style peers Moderate leverage strategic leverage at portfolio level absolute parameters Tight risk management portfolio volatility < MSCI World Index developed by fund manager over 10 year period Robust investment process flexible to adapt to the investment environment 17