mf global - first witness ststement of anke heydenreich€¦ · b~~nabl~ to ascertain value~ for...
TRANSCRIPT
(1) Made on behalf of Representative Party A (2) Anke Heydenreich
(3) First Witness Statement
1 f ,}UL (4) Exhibits AH1 to AH19
2012 (5) Dated 16 July 2012
Hindsight Application
No 9527 of 2011
IN THE HIGH COURT OF JUSTICE
CHANCERY DIVISION
COMPANIES COURT "
INTHE:·.MATtER OF MfGLOBAL UK .L1MITED(in~pecialadl11inistratiOn).AND IN THE MATTER OF THE INVESTMENT BANK SPECIAL ADMINISTRATION REGULATIONS 2011
VVITNE5S$JATEI\IIENT OF ANKEHEYDEf\,iREICH
I, Anke. ·HeycJ~nreic;hof AttE:)st6/Capital' LLP; 67 -68.GrosVenOrStreet, LondonW1 K 3JN say as
1.lam:a managingmember()fAtt~stor Capital LLP,Jheirive;J:;;tmentmCinagerof Attestor
Value·MasterFundLLp(the "Fund"), a special situalionsirlVestmentfLmd which engages
i~;i~mong other strate6ies,therole of endbuyerOf<inSOI~eJ,CY claims in the secondary
," -.. .
2. II1l~kethiswitness -..... -. .
statement .... .
fmmmy .'
own knowledge and bE3liet;saveWllere thecohtrary ",
isstated,in~hichcase I give the source ofmyinformatiqhcirlqbelief.
. ." .
3. read the second witness statement of Richard Heis (URH2") in support of the
'ap~licatiOn(the"Application"}issued on3 May2Q12by Ric:hard Heis,Mich~el Robertpink
and Richard Dixon Flem!ng {insolvency, practitioners and partners atKPMG" LLP)in,their ". '".:' ' .. ": ... ,... :'." . - . - .. ' . ". ..... .
capi:\cityasthe joint,'specialadrninistrators (the "Administrators") (lfMFGJobal'UK'Limited
C'MFG'WK"). For ease of reference I utilise the defined terms' Clod abbreviations .- . :. -' , -. . .".
adopfa~d ." :. . ... "'. " .... " :
uS~<:linRH2and;wheredocumentsl refer to below are~lready,exhihited 'to RH2;1 have
Londoi1l014i075841 'O0008iRHT fGXYH gxyh(LDN7W23!!62)
not exhibited them here. The Fund proposes to address the content of RH2 where
appropriate in submissions rather than in this statement.
4. The Application seeks directions as to INhethera client's client money entitlement in
respect of an open position islo be valued as atthePPE by reference to the marketvalue
or any mark-to-marketvalue or by reference lothe liquidation value.
5. Pursuant to the order of Mr·Justice David Ri'chards af.tS June 2012 (the "Order"),the
Fund has been appointed as Representative Party A to the Application, i.e., the
representative respondent fortheclass ofMFG UK clients whose openposition(s) had a
liql.lidation valueless than themark-to-market value as atthe PPE (the "PPE Class").
6; The Fl.Ind has a commercial interest in advancing the intere:')ts of the PPE Class in the
Application. byvirtueoftheassignmenttoitofthedi~nt money claim of NCIFihance
Limited against MFG UK (the "NCI Clierit Money Claim").
7. By a letter dated ,15 May 2012 from the Administrators t() NCI Finance , . . .
Lir:nited(th~>"15
May . 2012 Letter"), the <Administrators
'.. explainedthatifthe
. open positions forming theNCI
GlientMol1~yClaimarevaluedClsatthePPE by reference to the mark':to-market value on
thatdat~,theNCI Client~ol1eyClairnhasa valueofUS$16, 100,434.96. .....
S. The 15 May2012 Letter alsbexplainsthat ·if· the open positions forming· .. :..... ".". . "." ........... '. .... ..
theN<~ICHent .'.
Money Claim are valuecl at the if liquidation value,the NCI Client Money ClaiTtiwillbe
... vallledafUS$13,12S,071.fh<
9. The Fund· theref()rehasc:lneconomjcinteres( in respect of the NCI Client Mol1eyq~i~jn respect of open posilions beingv~luedby referenceto the market value orirlC3~k~to-markef
value as at the PPEw,fhbllt recourse. to hindsight. A copy oUhe 15 May2012I.etteris
exhiIJitedatAH1. In additiOn;two,sets~fstatements. were provided by the Adlllinistrators
along INiththe '15 May ..•.
2012 ".
Letter. ". '"
Samples ".
of these statements are exhibiteqatAH2·· ".... .• c.
a~d.AH3respettively(tbgether,the"Statentents;'). ·I.am· informed by the Admi~istrators thattheSall1PlesetofstatelT1~ntsatAH2 showthEf Value of Nel FinanceLimited'~open
. .: ............. "<-:<.:.->.- .......... ,.:. '.' :.- ... " .. aUheirrespepti\(emark~t():.market
c'. '.'
2011(the'~PPEV;:llue -.","'.:- .:-.. ::.: -'.: ,",
positions values on 31 October
Statements"}:laminfor:r:n~d by the AClrninistratorsthat the sample set of stat~mentsat
AH3,show the. v;:lllle ofNCIFinanceLimited'spositions()nce .closed-out .(thE:i·,"L.lquidatioll
vajueStatements").lexhibitatAH~tbe.Administrat()r's'·basis of ·preparatioh"· document
whi<::h.provigesaccompanYing notes t6the15 May2012 Letter.
PurposeoflhisStatement
London/014/075841-00008/RHT IGX YH gxyh(LDN7W23862) 2 L-.UVE_EMEA1,13370953v1
10: The purpose of this statement is to set out facts relevant to the positions entered into
between NCI Finance Limited and MFGUK which, along with the Initial margin and
Variation margin posted withMFG UKinrespect of these positions,are the subject of the
NCI Client Money Claim.
11. In my experience these positions tend to be liquid with prices routinely available
throughout the day which, in the n 0(111 a I course, are available from financial information
sources such as Bloombergandtheapplicableexchange itself: ·I,like others in then,arket.
have access to this pricing information. Market participants use this pricing information on
aday~to~day basis for such matters as valuing their own portfolios, hedging andrriaking
investment decisions. These prices are those which, subjectto appropriate commissions, . ." . .' .". "~ .
can be realised for positions on an iOtraday basis.
12. As at the moment ofthe PPE;th~keyil")1pact of the PPE:forCliehtsof MFG UKsuchas
NCI Finance Limited was that;frornthi:lfmoment, they lost the ability to realise their . . "-'. .
positions at their. own instigi3tion: " .. -
Asatthe .... ".
PPE ":"
matterssUc:;has close out and the timing "
of Close out· became outsidetl1eif.controLAs a result oltbedifferent approaches· which
different exchanges and clearin~hous~stook, close out to()k· place at various dates In the
days and weeks that fOllowedth~PREb~yondthe cOiltrolof~FGUK clients such asNCI
FinailceLimited.
Ascanbeseen fromthe Statements,th~NCI '.
Client Money Claim is comprised of .." .. "' .... .
alarg~ ... " ..
nUlllberof exchange tradedfuturesposition~ buttheseallJalljnto the following 4 groups of
ICE BrentCrude Oil Futures<
(ICE) WTI LT ST CruqeOilFuturt3s
(iv) NYMEX LightCfudeOilFutllres
I note that within these 4 groupsoltradedpositionsthere ". . .": ..
area '.
large number of different . .
.
contracts,. each with differenttr~ded?tesailddelive'ryda.tE3sand,consequentIY, different
applicablepriges.
Londoh/014/075841-D0008/RHT IGXYH gxyh(LDN7VV23862) 3
15: In the sections below I have set out my understanding as to the exchange rules, clearing
house rules and contract specifications that apply to each of the types of futures positions
identified above, and as to the availability of pricing information so far as lam aware.
16. ICE BrentCrudeOil Futures are exchange traded futures positioris traded on the
IntercontinentaIExchange(ICE) Futures Europe exchange (HICE"). ICE is a London based
exchange.lexhibitatAH5 two print outs taken from the ICE website which provide some
. brief backgrbundbn .·ICE and what it does. Futures positions traded on ICE are cleared
through Intercontinental Exchange(ICE)ClearEurope (HICEClear") .
. . J 7 ~ The contracf.specifications applicable to ICE Brent Crude OH . Futures in particular are
exhibited at AH6:TherEigulations applicabletofutures positibnstrpcled on ICE as well as
those applicable tolCEGlear areavailable.on theJCE website:
It is my understanding .. -
that ICE BrentCrLJde .. -.," ..
OiiFutures - ..
pO$itionscanbetraded ."." .
on ICE ," -
between thehour$.§etout . . ,
in the table .
below and that cOnsequently the pricing of ICE
BrentCrudeQil F.utllres. is also availa. Pie . . -.
duringWese . ..
periods.
. Pre-Operl
(Weekday)
00:55 (UK)
FLJrth~r,it isp6Ssibleto obtain historical priCihgirlfqrrnation byreferenceto"marker" prices,
taken twicedailY;:lteach of 16:30 Singappre.timeand16:;3QCon<lbrifime; by visiting the
I.CE web~ite·(https:llwww.theice~com/marketdatalr'eports/ReportCenter.shtml#reportl83): · ... At AHi' •• fe~hipit. apririt()ut from theICEw~biit~sho\hling thE3tw~~v~ilabl~marker prices
f()r ICE.Br l)tCrUdeQiLFutures with a 310ctober 2011, E3 d~li~erydat~ofFebru~rY20120n the date. ofthePPE .
information is Cilsoavailable on marketdata$ources such as
·Bloornberg,wt1ich>pro\fides, among.·others,dC\ilYhigh,Jow,anclclosing .prices for each of
. the ICE BrentCrude OiL FutUres positionstl1at.were· heldbyN.;IFinance limited. At AHsl
· eXhibitPrinfbuts.takenfrom
.. . -"
Bloompergshb)Alingthe<31 . . - .
()ctober high, low and closing
· pricesforaplCEBrent Crude Oil Futurespositiori with a maturity of February 2012.
.LondonlO 14(075841 ·OOOOB/RHT IG)(YH . gxyh(LDN7VV23862) 4
21. In providing the 15 May 2012 Letter, and in cOlllpilingthe PPE Value Statements, the
Administrators have been able to ascertain values for all of the ICE BrentCrudeOil
Futures positions as at the PPE without recourse· to hindsight. By the letter dated· 12 July
2012 (the "12 July 2012 Letter") exhibited at AH9fromthe Administrators' UK legal
coullsel, Weil,Gotshal & Manges ("Weil"), Weil have confirmed that those values were
"based on the live end of day pricing feeds from:31 October 2011 directly from the
exchanges and clearing houses" and that"thisdata was captured and stored in the
Company's systems".
22. Asregardsthe closing prices used to determine the close out values attributed to the ICE
Brent Crude Oil Futures positions set out in the Liquidation Value Statements, I
. understand, . based on the update on the KPMG Websiteexhil:?itedat A1-I10, that positions
ClnlCEwere cI9Sed~011tor.·treated as c1osed-6ut on7November2011. By anemail dated
13 July 2(h2atl1;33~m ". ."
(the "13 July2012Ernail")fr()mKirsten . . - .
Erichsen of Weil
... (exhibited a(AI-/11), IClminformed that the relevant entry as to the applicable close-out ," .
dat.eforNCI Finance Limited's ICE tradedfuturespositions,as shown on that print out, is
thaleritryfor the Intercoritinental Exchange (ICE) Clec:ILEurope (although that emailstates
. JhatHquidations took place between 1 and 7 Novernbec2011 rather than allliquidations
.. h?virigtaken plCiceoriTNovember 2011). . ..
'.. .
·1 llnderstandbyvirtueOfthe . . . '. -. . . -
12 July 2012 Letterthat . . .
"the -'
Liquidati()n . . . :. .
Value is based on
.••. the. inlorirriltlon supplied to the AdministratQ(sand . theii staff directlyJrom . the relevant
~x~hangesand cle&ringhouses fol/owing ... close-aut or the relevant positions by . the . . .
·/-el/3yanf clearing· hous~s" ~ ... However, I do. not have any visibility as.tothe pricing . . . .
irif~rrnation .'
... ," .. itself
." .. " .. that
-" .. has
'".
been -.
used to deterllliheth~ . .. '" ... " '".-
close~outvalues ' .. ' .:.-- ...... .
oUhe ICE Brent
·qrude Oil Fuuire~p(}siti6nsor whethersuchclose-Out prices were calculated by reference·, , .".. . .
. 10tbe pr'ice . of the positions on . the day.· of Close~OlJror sollleearlierdatEl. I am· aware for
eX8lllplethatforLMEcontracts, these were treated as closElcl~out as at1November2011
e"enin circurnstances where actual c10sEl outtdokplacesignifiCantly later.
.... (I QE) WTlL TSTCrude Oil F Lltures are exchangelracled futures. positions also· traded on
(ICE) wn LT 8T Crude Oil Futures in
'l(jslllyunderstandingthat{ICE)WTILTST . -." ..... :-
Crude ."".
DilFutures ........ "." ..
positions can be traded " .. " .
011 .
'ICI;I:?~tWeen the hours setoLltinthe table belowandthaic;onsequently the pricing of (ICE)
·····yVrILT STCrude Oil. Futures is also available during these periods ..
London/Ol ~J075B41.QOOOB/RHT IGXYH gxyh(LDN7W23B62) 5
Pre-Open open Open Close
(Weekday) (Sunday) (Weekday) (Weekday)
(ICE) WTILT 00:55 (UK) '. 23:00(UK) .' 01:00 (UK) 23:00 (UK) .STCrudeOil .
Futures
26. Further, it is possible to obtain historical pricing information by reference to "marker" .prices,
taken twice daily at each·of 16:30 Singapore time and 16:30 Londontime,py visitihgthe
·1 G,E website' (https:lIwww.theice.comlmarketdata/reports/ReportCenter.shtml#r.eportiS4 ),
. AtAH1fl print out from the ICEwebsiteshowing the two . ..
~xhibita .
availablemark~rprices for. (ICE) WTI LT ST Crude Oil Futureswith a delivery date of January20120n$1 October
2011,thedate of thepPE.
27. suchhistdrical pricing information is also available on market data sources such as . . .
.•.. Bloomberg,WhiChprovides;amon~others,daily high, low, and closing.pricesJoreachof
. ···the(ICE)WTI· .'
LT STCrude Oil Futures positions that were held by NCLFincmce Limited. . .. -." ".. .
. ALAH14I· exhibit print. outs takenJromBlo()mbergshowing the 31 October high ,JoW' and
,d<?singpricesforan (ICE) \J\tTI . LTSr Crude Oil Futures Position\fl/itha,rriaturity of
Janl.fary2()12.
28. Ih'prbvidihgthe 15 .. May2012L~tter,andinG()mpiling· the PPE Value Statements; the
" Administh,itorshave. b~~nabl~ to ascertain value~ for all ofthe (ICE) WTI LT sr Crude Oil
Futur~spositions' as atthePPEwithouf recourse to hindsight By the 1i JulyZ012 letter
.... Wei(h~ve,confirmedthaf~hoseyalues 'A'ere" based on the live end of day pricing feeds
';om310ctober2011direCtlYfr(]m the exchanges andcf(:Jaring houses';antlthat"this .' _: .. ::. .... C"',":' .. - . ":,": .. ", .' ..
data was qaptured qhdstoredinthe·Company'ssystems".
. .
29. ASf€)9ardsthe closing prices usedi() determine the close out valuesattributedtothe (ICE)
WTILT ST Crllde()iIFl.ftLlreSp()sitionssetoutinthe LiqllidationVaILl~~tC:lternents,1 unde~stand .. based on . the uPd~teon' the KPMGwebsiteexhibited atAH'iO thatpositions'
on ICE ,were cI()sed-~utortrea~edas closecl-outon 7November201J.E3ylhet3 July
20 12E~aHiaminf6rrll~d ". ".
thatthe'relevantehtry ';
·as to. the . . -.-." '.
applic~bleClOSe~6l.fr.qate. for -. ". "." ... -. . ...
NCIFinanceLimited's .1~Etraded. futuresPPsitions,. as shown on .. thatp~infout, .is that
entrjfor t~elntercontinental ..
,EXGhang(9 .. . .
(ICE) Clear Europe (althoughthafemail . "." ....
states that
IiquidCltionstookplatebetwe~n1i3nd7N()velllber 2011 rather thCin'allon7<November
30~1 understand by virtue of the 12 Jl.lIY 2012 Letter that "the LiquidationVailJel$ based on ..... ' .... ,....... . . ....... .' " .. " : .' .. "'
the' infaitn~tiohsuhplied tathe . Administrators" and their.' staff directly framtherelevant londonIOW075841.,oOO08IRHTfGXYH gxyh(lDN7W23862) 6 'l_lIVEc-EMEA":13370953v1
exchanges and clearing houses following close-out of the relevant positions by the
relevant clearing houses". However,1 do not have any visibility as to the pricing
information itselfthat hasbeenu$ed to determine the closecout values of the (ICE) WTI LT
STCrude OilFuturespositionsbr whether such close-out prices were calculated by
reference to the price of the positions on the day of close-out or some earlier date.
ICE GAS Oil Futures
31. ICE Gas Oil Futures are exchange traded futures positionsalsotradecl on ICE. The
cortract $pecificationsapplicable.to ICE Gas Oil Futures in particular are exhibited at
AH15.
32. It ismy understandingthaLIC>EGl:isOiL Futures positio~s can be traded onlCEbet\Neen
the. hours set out in the table : ".. .
bt:)lowand that consequently the pricing of ICE Gas Oil . " ..
Futures is also available dLlringtheseperiods.
Close
(Weekday)
23:00 (ljK)
Further;itis pO$sibleto obtainhi$ioricalpricing infofrT1~tion byreference to "marker"prices;
taken twice daily.ateach.of16:3dsi~gapOre time and 1 p:30 L()ndon time,byVisjtingthe'
AtAH16 I exhibit a . printoUtf,.om theICEwebsiteshowingthetwoavailablem~rke; prices
for ICE Gas Oil.Flitureswith~>d~liV~rYdateof JanuaryZ012on31 October2011 .. Jh~date ofthePPE.
Such historical pricingihf()rmationisalso" avajlable onrnarketdatasourcessuch as .
Bloomberg, which .providescIOSIngprices· for each of the JCE •.. Gas ·Oil Futures~ositions •.. . that were held by NCIFinance Limited. At AH17 I exhibitp~intoutstaken fromBloomPerg ....
showing the 310ctoberclosin~ pri6eforanlCEGas dilFutures position with a maturity o{
January 2012,
Inprovidirig the 15 May<2(n2Letter, and incompilihgttlepPI; Value Staternents, the
Administrators :'-.... -:-. <have
. ."'
been ..........
.. abletdascertain , ."-." ... - '.'
valuesforaUoflhe . :"-.- ..... " '-'," '::
ICE Gas OH ."
Futures " ...... .
positions asat theF'PEWith()ut~ecour~etohindsight. Bythe12 July 2012 letterW~ilh~ve . confirmed thatthbsevaluesl,.yere"basedon the li1ieerldofdaypricing ··feeds ';om·31
LJIVE_EMEA.1.1.3370953vl
October 2011 directly from the exchanges and clearing houses"andthcH "this data was
captured and stored in the Company's systems".
36. As regardsthe closil)gprices used to determine the closeoutvaluespttributed to the ICE
Gas Oil Futures. positions set outin the· Liquidation ValueStatements,l. understand based
on the update onihe KPMGwebsite exhibited atAH10 that positions on ICE were closed
out or treated as dosed-out on 7 November 2011. By the 13 July 2012 Email I am
informed that the relevant entrY as to the applicable close~out date for NCI Finance
Limited's 'ICE traded futures positions, as shown on thatprintout,isthat entry for the
Intercontinental ExchEmge (ICE) Clear Europe (;;jlthough thatemailstates that liquidations
took placebetWeent al1d 7 November 2011 ratherthanalloil7 November 2011).
I understand by virtlleofthe 12 )uly2012 L(3tter that "the Liquidation Value is based on ".. . . .
the inforrnatioh.supplied to the AdllJinistrators and their staffcJire.ctlY from the relevant
exchanges and clearing houses fOllo1Nin~close-out ofif1e relevanl positions by the
relevantclearioghouses". Howev~r,ldo not have anyyislbHity as to the pricing
ihformatiol1itselfthatllasbeenusedtodeterminethe ".". .".. . - ... " .. ".".
Glose~oQ{values - . - - ... ".. - .. orthe ICE Gas Oil
Futures positions. or whether.suchclos~-outprices wereGal~ulatedby reference to the
.. price ofthepositions·on the dayofGlos(3-ouiorsomeearlierdate.
The contracfspecificationsapplicapleto NYMEX1.ight Grude.Qil Futures in particular are ". . . . .. ~ " ..
exhibited pfAH18. The regulations applicable to futures positiohs·traded on NYMEX as
are available on the website.
ILis my·understanding thatNYMEX ~ighrCrude Oil Futuresp?sitions can be traded
betweentllehoLlrs set out in the table.belowandthat conseq~entlythepricing of NYMEX
LightdlldeQil··Futures is also·availableduringlhese peri()ds.···.
17:45 (EST)
I·.· I Monday
41. Historical pnclng illformation is available on market data sources such as Bloomberg,
which pr6Yides, among others, daily high,low, anqclosingprices for each of theNYMEX
Light Crude Oil Futures positions that were heldbyNCIFinarice Limited; At AH191 exhibit
printouts takenfrbmBlool1lberg showing the310ctobethigh, low and closing prices for a
NYMEX LightGrude Oil Futures position with a mat~rity of Apri12012.
42. In providing the 15 May 2012 Letter, andincompilingthePPE Value Statements, the
Adrninistratorsl)a\lebeen able to ascertain values fOr all of the NYMEX Light Crude Oil
... FiJtures ".. ...
positionsasatthe PPE withoutrecoursetol1indsightBythe 12 July 2012 Letter ,"... - ." -. ." . ' ...
. VVeil haVec6nfirmedth~t· .'
those values were :'based on the live end of day pricing feeds -. .". '::.
from·. 31 .. Oc;toLJeri011 directly from· theex.chanr;wsand clearing. houses" and· that "this
datawascapturedanCJstored in theCompanY'sfystems".
".". .
As .
regards .. .
the .
closing '" .. : ."...
prices used to determine ..... ". - -
the close outvalues .. -
attributed .". .
to the
NYMEX Light Crude . Oil Futures positi6ns set out in the Liquidation\talueStatements, I
·drlderstandhas~d()n the ·update on ·.the~PMGweb~iteexhibitedat ··AH1 0 that .positions
on NYMEXwereclosetl-out or treated as closed-out~n18No\fember2011.
1.\.1 nd erstand by virtue of the 12 July 20 12lettettl)at"the Uq uidation Value is based on
. ···ihe}nfoirnatiqn;suppliedto· the A dm in is tratdrs and . their staff directly from the relevant
·exchangesandQleafing houses following close-out .of therelevcwt positions by the
·relevantc/~Clringhouses". However, .1 do not have any visibility . as· t~ the pncmg
information its~lf that has been used to determin~ the closec()utvalues of the NYMEX
Ligl)tCruqeOilFuturespositions . " .. :'"
or wh~thers~chclos~-out '. . -c. "'" .. -
prices .- .
were calculated by
reference to the price oUhe positions onthedW ClLclose-out Q[solTle earlier date. I am
~\VareJoreXa~ple ~hatfor LME contracts, these~eretreat~dasClOSed~Qut as at 1
. NoVel)1ber2011~\lenincircumstanceswhereactl.i.aIClOse"~o~tto()k place significantly
Londorit0141075841.Q(]008IRHTIGl':YH 'gxyh(LDN7W23862) L_UVE~EMEA 1. 13370953v1
Statement· of Truth
.... /} l I
::~::~~."" believe that
'~~::ld:~---'" th~j'a1s~~t:d in this witness statementare true.
Position: Partner
Dated: 16 July 2012
Hindsight Application
Claim No 9527 of 2011
IN THE HIGH COURT OF JUSTICE
CHANCERVDIVISION
COMPANIES GOURT
WITNESS STATEMENT OF ANKE HEYDENREICH
..
Simmons & Simmon$ CityPoint
One'RbpemakerStr$et . London
EC2Y 9SS
Ri3f: FMDLlI RHT
11